UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number(s) 811-22845

Barings Funds Trust

(Exact Name of Registrant as Specified in Charter)

550 South Tryon Street

Suite 3300

Charlotte, NC 28202

(Address of Principal Executive Offices)

Registrant’s telephone number, including area code: (704) 805-7200

Janice M. Bishop

Secretary and Chief Legal Officer

c/o Barings LLC

Independence Wharf

470 Atlantic Avenue

Boston MA 02210

(Name and Address of Agent for Service)

Date of fiscal year end: June 30

Date of reporting period: December 31, 2016

Item 1. Reports to Stockholders.

BARINGS FUNDS TRUST

Semi-Annual Report

December 31, 2016

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Duncan Robertson

President,

Barings Funds Trust

Barings Funds Trust

Barings Global Floating Rate Fund

Barings Global Credit Income Opportunities Fund

Barings Active Short Duration Bond Fund

Barings Total Return Bond Fund

Barings Emerging Markets Debt Blended Total Return Fund

Barings Emerging Markets Local Currency Debt Fund

Barings Global High Yield Fund

Barings U.S. High Yield Fund

Dear Shareholder,

Thank you for your continued trust and partnership in 2016. The year was characterized by turbulence in markets and change on the geopolitical landscape. Markets got off to an inauspicious start with major stock indices and oil prices hitting their lows for the year in February before beginning an extended rebound that stretched through year end. Similarly, credit markets across the globe began the year in “risk off” mode but subsequently rebounded with asset classes including high yield bonds, senior secured loans and emerging market debt all experiencing strong returns for the full year.

In the political arena, few predicted a “Leave” result in the U.K.’s June European Union referendum (“Brexit”) vote, and even fewer predicted the meteoric rise of Donald Trump from political outsider to the winning candidate in November’s U.S. Presidential election. Even so, markets remained resilient, experiencing volatility around both events but ultimately sustaining a broad-based rally across risk assets, pushing equity markets to new all-time highs and resulting in tightened credit spreads across fixed income markets.

Looking ahead to 2017, we see reasons for continued optimism, while at the same time, recognizing a number of potential volatility triggers. The economic growth outlook has generally improved, helped in part by expectations of potential tax reform and deregulation under the Trump administration. The financial health of the corporate sector across developed and emerging markets also appears encouraging suggesting that fears of an impending end to the credit cycle may be overblown. But in similar fashion to 2016, we do not expect a completely smooth ride for markets in 2017. In fact, potential policy missteps by the Trump administration, headline risk around the Brexit negotiations and the outcome of several key elections in Europe all have the potential to spark renewed volatility in markets. Additionally, continued geopolitical tensions in the Middle East, question marks around the economic and political prospects for China and diverging monetary policies across developed and emerging markets all have the potential to complicate the picture for markets in 2017.

At Barings, we often find opportunity in markets during periods of volatility and change. The key is to be nimble and to adapt as the environment changes. This is also true in the way that we manage our own business—we believe that the ability to adapt to change is critical. This was the main driver behind our decision in 2016 to merge four Massachusetts Mutual Life Insurance Company affiliates (Babson Capital Management, Cornerstone Real Estate Advisers, Wood Creek Capital Management and Baring Asset Management) into the new Barings. While our investment process has stayed the same: a strict focus on bottom-up, fundamental analysis and long-term investing, we believe that this new global platform will help to provide our clients with solutions to meet their evolving needs and investment goals.

On behalf of the entire Barings team, we thank you for your partnership and trust, and we look forward to helping you achieve your investment objectives.

Sincerely,

Duncan Robertson

President

Cautionary Notice: Certain statements contained in this report may be “forward looking” statements. Investors are cautioned not to place undue reliance on forward-looking statements, which speak only as of the date in which they are made and reflect management’s current estimates, projections, expectations or beliefs, and which are subject to risks and uncertainties that may cause actual results to differ materially. These statements are subject to change at any time based upon economic, market or other conditions and may not be relied upon as investment advice or an indication of the Trust’s trading intent. References to specific securities are not recommendations of such securities, and may not be representative of the Trusts’ current or future investments. We undertake no obligation to publicly update these forward looking statements, whether as a result of new information, future events, or otherwise.

ALPS Distributors, Inc. is the distributor for the Barings mutual funds. ALPS and Barings are separate and unaffiliated. A prospectus can be obtained by calling 1.855.439.5459. Read the prospectus carefully before investing. Investors should carefully consider the investment objective, risks, charges and expenses of any mutual fund before investing. This and other important information is contained in the prospectus.

Barings Global Floating Rate Fund 2016 Semi-Annual Report

Investment Objective

The investment objective of the Barings Global Floating Rate Fund (“Global Floating Rate Fund” or the “Fund”) is to seek a high level of current income. Preservation of capital is a secondary goal.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a net total rate of return for the six month reporting period from June 30, 2016 through December 31, 2016 of 7.43% and outperformed the Credit Suisse Global Loan Benchmark, which returned 5.36%.¹

What factors influenced performance of the Fund?

∎ For the semi-annual reporting period, the Fund’s U.S. loans were the largest contributor to outperformance, contributing 247 basis points (“bps”). European loans contributed 32 bps and bonds contributed 8 bps to outperformance, while cash detracted 33 bps.

∎ All sectors in the Fund, except broadcasting (which was down 2.02%), generated positive returns during the six month period. The sectors that contributed the most to outperformance were metals / minerals (+87 bps) and energy (+85 bps). The two sectors that detracted the most from performance versus the Index were consumer non-durables (-6 bps) and broadcasting (-3 bps). The Fund’s top eight contributors were commodity-related, and six of the bottom 10 contributors were European companies.

Describe recent portfolio activity.

∎ The number of holdings in the portfolio decreased to 160 names from 187 during the six-month period, while the Fund’s asset size declined by $6.2 million to $160.4 million. Over the last six months, the Fund increased its exposure to the U.S. and reduced its exposure to Europe. The Fund’s U.S. exposure increased by 6.7%.

∎ However, despite the decrease in European exposure, the Fund remained overweight to European assets relative to the global senior secured loan market. The Fund increased its exposure to U.S. assets over the last six months as Barings found more attractive opportunities in the U.S. versus Europe. In Barings’ opinion, this exposure positions the Fund to capture the best risk-adjusted returns from the market.

∎ Over the last six months, two of the Fund’s top three industry exposures have changed—only healthcare, education & childcare remained in the top three. The Fund’s three largest sector exposures were healthcare, education & childcare (which increased 4.0%), oil and gas (which increased 3.5%) and diversified / conglomerate services (increased 1.5%). The two sector exposures that decreased the most during the period were chemicals, plastics & rubber, which declined 2.9%, and machinery non-agriculture, non-construction, non-electronic, which declined 2.0%.

¹  Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Credit Suisse Global Loan Benchmark is a market capitalization weighted average of the Credit Suisse Leveraged Loan Index and the Credit Suisse Western European Leveraged Loan Index. The Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. The Credit Suisse Western European Leveraged Loan Index is designed to mirror the investable universe of the Western European leveraged loan market, with loans denominated in U.S. and Western European currencies. Indices are unmanaged. It is not possible to invest directly in an index.

2

Barings Global Floating Rate Fund 2016 Semi-Annual Report

Describe portfolio positioning at period end.

∎ The Fund finished the six month reporting period, ending December 31, 2016, with 83.4% weighting to global senior secured loans, 8.2% to global senior secured high yield bonds, 8.3% to cash and 0.1% to equities.

∎ From an industry perspective, the Fund remains well-diversified across a number of sectors, with higher concentrations in healthcare, education & childcare (15.2%), oil and gas (7.8%), and diversified / conglomerate services (7.3%) as of December 31, 2016.

∎ As of December 31, 2016, the Fund had the following credit quality breakdown: 2.1% in Baa assets, 20.2% in Ba assets, 56.6% in B credits and 6.1% in Caa and below assets. Approximately 6.7% of the Fund’s assets are not publicly rated and consist primarily of European issuers that Barings believes have a credit quality similar to that of other assets in the portfolio. Cash and accrued assets accounted for the remaining 8.3% of the portfolio assets. During the last six months, the B and Caa and below assets increased, while the assets not publically rated as well as the Baa and Ba assets all decreased.²

∎ The top five countries in the portfolio at the end of the semi-annual reporting period are the U.S. (75.8%), the United Kingdom (7.9%), Germany (7.3%), France (2.6%) and the Netherlands (1.8%). Overall, the Fund has exposure to 15 different countries, and Barings continues to focus on building a well-diversified portfolio of global floating rate securities.

Describe market and portfolio outlook.

∎ In 2017, the political environment in both the U.S. and Europe will likely continue to dominate headlines and remain at the forefront of the market’s attention. With the U.S. government now under Republican control, policy positions and political appointments are likely to diverge significantly from what was seen under the Obama administration.

∎ To date, markets have reacted positively to the election results, although there has been some division across industries as investors anticipate regulatory changes. Despite the market’s exuberance over the expected policy moves of the new administration, much remains unknown and volatility may resurface should any major political surprises appear.

∎ Particularly, industries that have traded on policy speculation such as banking and energy, which have rallied since the election, and healthcare and pharmaceuticals, which have fallen, are likely to see additional volatility as concrete policy initiatives begin to materialize.

∎ In Europe, elections are scheduled to take place in many of the Eurozone’s most influential countries in 2017 including France, Germany and the Netherlands as populist sentiment continues to build. Moreover, as the European Central Bank and the Federal Reserve continue to diverge, government rates and currency volatility will likely remain a primary factor for risk assets throughout the year.

²  Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

3

Barings Global Floating Rate Fund 2016 Semi-Annual Report

PORTFOLIO COMPOSITION (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

COUNTRY COMPOSITION (% of Assets**)

** Percentage of assets is expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of December 31, 2016.

4

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

Investment Objective

The investment objective of the Barings Global Credit Income Opportunities Fund (“Global Credit Income Opportunities Fund” or the “Fund”) is to seek an absolute return, primarily through current income and secondarily through capital appreciation.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a net total rate of return for the six month reporting period from June 30, 2016 through December 31, 2016, of 9.86% and outperformed the three month USD LIBOR + 500 basis points¹ (“bps”) benchmark, which returned 2.95%.²

What factors influenced performance of the Fund?

∎ During the semi-annual reporting period, all of the Fund’s asset classes, bond, loans, collateralized loan obligations (CLOs) and special situations contributed to performance. CLO’s and special situations had the highest returns during the last six months of 20% and 44%, respectively. On a gross basis, bonds contributed 409 bps, loans contributed 259 bps, CLO’s contributed 281 bps and special situations contributed 74 bps to performance.

∎ Almost all sectors were positive contributors, with energy (188 bps contribution), metals/minerals (80 bps contribution) and services (60 bps contribution) being the largest three sector contributors. The Fund’s top three contributors during the reporting period were commodity names, while five of the remaining seven top ten top contributors were CLOs.

∎ On a gross basis, the Fund’s North American assets contributed 784 bps, and the European assets contributed 257 bps.

Describe recent portfolio activity.

∎ The number of holdings in the portfolio remained consistent over the last six months, but the Fund grew from $98.9 million to $122.9 million since June 30^th 2016. The Fund increased its exposure to North America by 6.5% to 71.8% and reduced its exposure to Europe.

∎ During the last six months, the Fund increased its exposure to global senior secured loans (up 2.2%) and global high yield bonds (up 1.6%) to focus on what Barings believes to be a more attractive part of the below-investment grade market from a risk-adjusted basis. The Fund’s exposure to CLO’s declined by 2.4% and to special situations by 1.4%.

∎ The following industries all had shifts of greater than 1% over the last six months, oil & gas up 3.4%, chemicals, plastics & rubber up 3.7%, healthcare, education & childcare up 3.7%, finance down 2.4% and broadcasting & entertainment down 1.1%.

¹  A unit that is equal to 1/100th of 1% or 0.01%.

²  Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The 3 Month USD LIBOR (London Interbank Offered Rate) is an average interest rate, determined by the Intercontinental Exchange, that banks charge one another for the use of short-term money (3 months) in England’s Eurodollar market. The return shown includes 3 Month USD LIBOR plus 500 bps, or 5% per annum. LIBOR is unmanaged. It is not possible to invest directly in LIBOR. No assurance can be given that the Fund’s performance will exceed that of LIBOR by any given increment, or at all. Indices are unmanaged. It is not possible to invest directly in an index.

5

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

Describe portfolio positioning at period end.

∎ The Fund finished the semi-annual reporting period, December 31, 2016, with an allocation of 55.5%, 25%, and 12.9% to global high yield bonds, global senior secured loans and CLOs, respectively. The remainder of the portfolio was invested in a few opportunistic special situation credits at 0.2%, equity at 0.4% and cash at 6.0%. A significant portion of the portfolio (59.0%) is senior secured in nature (includes CLO’s backed by secured loans), which can potentially mitigate principal loss in the event that default rates increase.

∎ From an industry perspective, the Fund remains well-diversified across a number of sectors, with higher concentrations in oil & gas (9.5%), diversified/conglomerate services (7.9%), and healthcare, education & childcare (7.6%) as of December 31, 2016.

∎ As of December 31, 2016, the Fund had the following credit quality breakdown: 0.2% in Baa assets, 30.9% in Ba assets, 46.9% in single-B credits and 13.2% in Caa and below. Approximately 3.1% of the Fund’s assets are not publicly rated, primarily consisting of European issuers that Barings believes have a credit quality similar to that of other assets in the portfolio. Over the last six months there were no material changes to the ratings profile of the Fund.³

∎ The top 5 countries in the portfolio at the end of the semi-annual reporting period are the U.S. (71.2%), the United Kingdom (11.0%), Germany (3.5%), the Netherlands (3.4%), and France (2.4%). The Cayman Islands exposure related to the Fund’s CLO holdings is included in the U.S. Overall, the Fund has exposure to 19 different countries, and Barings continues to focus on building a well-diversified portfolio of global high yield securities.

Describe market and portfolio outlook.

∎ For 2017, we believe the political environment in both the U.S. and Europe will likely continue to dominate headlines and remain at the forefront of the market’s attention. With the U.S. government now under Republican control, policy positions and political appointments are likely to diverge significantly from what was seen under the Obama administration.

∎ To date, markets have reacted positively to the election results, although there has been some division across industries as investors anticipate regulatory changes. Despite the market’s exuberance over the expected policy moves of the new administration, much remains unknown and volatility may resurface should any major political surprises appear.

∎ In particular this applies to industries that have traded on policy speculation such as banking and energy, which have rallied since the election, and healthcare and pharmaceuticals, which have fallen, are likely to see additional volatility as concrete policy initiatives begin to materialize.

∎ In Europe, elections are scheduled to take place in many of the Eurozone’s most influential countries during 2017 including France, Germany, and the Netherlands as populist sentiment continues to build. Moreover, as the European Central Bank and the Federal Reserve continue to diverge, government rates and currency volatility will likely remain a primary factor for risk assets throughout 2017.

³  Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

6

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

PORTFOLIO COMPOSITION (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

COUNTRY COMPOSITION (% of Assets**)

** Percentage of assets is expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of December 31, 2016.

7

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

Investment Objective

Barings Active Short Duration Bond Fund (“Active Short Duration Bond Fund” or the “Fund”) seeks to achieve a high total rate of return, mainly from current income, while minimizing fluctuations in capital values. It does so by investing primarily in a diversified portfolio of short-term investment grade fixed income securities.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a net total rate of return for the reporting period through December 31, 2016 of 0.57%, outperforming the Bloomberg Barclays U.S. 1-3 Year Government Bond Index, which returned -0.55%.¹

What factors influenced performance of the Fund?

∎ Duration positioning positively contributed to performance. From June to October, the front-end of the yield curve, between three months and three years, was fairly flat. In accordance with Barings’ duration management process, the Fund shortened duration to 1.5 years in early November. Following the outcome of the U.S. presidential election, the front-end of the yield curve steepened. This short duration position helped performance during the fourth quarter of 2016 as yields rose.

∎ The Fund’s allocation to corporate credit contributed positively to performance. Investment grade corporate credit was a strong driver of corporate outperformance. Allocations to banking and automobiles benefitted the Fund. An allocation to BB-rated high yield bonds also helped performance during the period.

∎ The securitized sector positively impacted performance over the period. Asset backed securities (ABS) with allocations to student loans and automobile receivables were the largest contributing subsectors. Allocations to residential mortgage backed securities (RMBS) and commercial mortgage backed securities (CMBS) also added to performance.

Describe recent portfolio activity.

∎ The Fund has not made significant sector changes over the period. Following the U.S. presidential election in November, a 1% Treasury Inflation Protected Security (TIPS) position was added in 5-year maturities in order to take advantage of widening break-even inflation rates.

∎ The Fund maintains an active allocation to ABS and took advantage of issuance in student loans as well as automobile and timeshare receivables. The Fund continues to hold a 4% diversified position in short, weighted average life, AAA-rated collateralized loan obligations (CLOs).

∎ The corporate credit allocation remained steady during the period. Purchases were broad-based across industries.

¹  Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bloomberg Barclays U.S. 1-3 Year Government Bond Index is comprised of the U.S. Treasury and U.S. Agency Indices. The U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government) that have remaining maturities of more than one year and up to but not including 3 years. Indices are unmanaged. It is not possible to invest directly in an index.

8

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

Describe portfolio positioning at period end.

∎ Since the outcome of the U.S. election, interest rates have increased and the yield curve has steepened in anticipation of fiscal stimulus, increasing budget deficits and potential inflation. The duration of the Fund was increased to 2 years in accordance with Barings’ duration management process.

∎ From a sector perspective, the Fund continues to be well-diversified across corporate, securitized and government products. The corporate allocation is at approximately 42%, with 36% in investment grade corporates and 6% in BB-rated and crossover high yield. U.S. money centers and regional banks represent the largest corporate allocation to the Fund. Away from the Banking sector, opportunities exist in specific single names, often post M&A-event new issuance, where management is committed to maintaining an investment grade rating. Barings believes opportunities such as these will provide attractive spreads going forward.

∎ The securitized ABS allocation remains at approximately 27%. Automotive loan collateral represents the largest positioning, followed by student loans. Additional ABS subsectors consist of timeshares and franchise receivables. An active CMBS positioning remains in shorter-maturity seasoned issues.

∎ The agency MBS allocation is split almost equally between lower coupon 15-year FNMAs and agency collateralized mortgage obligations (CMOs), which have more stable duration characteristics.

Describe market and portfolio outlook.

∎ Unexpected voter outcomes, global central banks and commodity price volatility took center stage in 2016. Major central banks continue to be accommodative amid low growth. The U.S. Federal Reserve remains the outlier, acknowledging modest growth and higher base inflation. This confirms a tightening bias in U.S. monetary policy direction, allowing for a rise in both interest rate term premiums and inflation expectations.

∎ With a steepening of the yield curve, the duration of the Fund was increased to 2.0 years in accordance with Barings’ duration management process. The duration will likely continue to lengthen toward the maximum of three years early into 2017 as the yield curve remains steep.

∎ The Fund will continue to maintain the large underweight in both Treasury and Agency securities, with an active allocation to corporate bonds. Although fundamentals have slowed, there was record new issuance in 2016. Issuance in 2017 is expected to remain robust given the strong demand for corporate paper. The Fund’s credit exposure is focused on short / intermediate maturities with attractive roll-down characteristics.

∎ The Fund will continue to selectively add exposure to ABS, such as subprime automobile receivables, student loans and franchise whole business deals as opportunities arise.

9

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

CREDIT QUALITY BREAKDOWN (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

PORTFOLIO COMPOSITION (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

10

Barings Total Return Bond Fund 2016 Semi-Annual Report

Investment Objective

Barings Total Return Bond Fund (“Total Return Bond Fund” or the “Fund”) seeks a superior total rate of return by investing in fixed income instruments.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a net total rate of return for the reporting period through December 31, 2016 of -1.25%, outperforming the Bloomberg Barclays U.S. Aggregate Index, which returned -2.53%.¹

What factors influenced performance of the Fund?

∎ Although the Fund posted a negative return for the six month period, it outperformed the benchmark on a relative basis.

∎ An out-of-index allocation to high yield was the primary positive contributor to performance as commodity related sectors recovered. Away from commodities, the Fund benefitted from the investment grade corporate insurance and banking industries.

∎ An underweight to Agency Mortgage Backed Securities (MBS) positively contributed to performance. Positioning in lower coupons and navigating between 15-year and 30-year mortgages during the period also helped.

∎ Asset backed securities (ABS) contributed positively, largely due to holdings in private and government-guaranteed FFELP student loans and whole business franchise receivables.

∎ An underweight to higher quality AAA, AA, and A-rated securities detracted from performance over the period.

∎ The currency overlay strategy, which is 5% of the Fund on a notional basis and helps to lower tracking error, was a slight positive contributor over the period.

∎ Downside derivative mitigation, such as using investment grade CDX index credit default swaps (a swap where the seller compensates the buyer in the event of a default) to partially hedge longer duration ABS exposures, modestly benefitted the Fund’s performance during the period.

Describe recent portfolio activity.

∎ The Agency MBS allocation remains underweight. The Fund opportunistically reduced the Government National Mortgage Association (GNMA) allocation and added to Federal National Mortgage Association (FNMA) conventionals based on relative value.

∎ The Fund maintained an active allocation to Asset Backed Securities (ABS), with purchases in Consumer and Commercial sectors such as student loans, timeshares, and automobile receivables.

∎ The Fund modestly reduced the Investment Grade Corporate allocation and maintained the High Yield exposure.

¹  Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bloomberg Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. Indices are unmanaged. It is not possible to invest directly in an index.

11

Barings Total Return Bond Fund 2016 Semi-Annual Report

Describe portfolio positioning at period end.

∎ The Fund was duration and curve neutral relative to the benchmark.

∎ The largest overweight relative to the benchmark is the ABS allocation, which represents 15% of the Fund. The allocation to ABS comprises of traditional automotive loan collateral, FFELP student loans, and compelling esoteric collateral such as timeshares, cell towers and personal consumer loans.

∎ Corporate credit represents approximately a 42% allocation versus 31% for the index. High yield corporates made up 9.6% of that exposure. Diversified industrials and banking were the largest industries within corporate credit. Select credits in recent M&A issues where management is committed to maintaining an investment grade rating provide attractive spread opportunities.

∎ Within Agency MBS, the Fund was underweight (20.6%) relative to the benchmark (28.1%). There has been a rotation from to-be-announced (TBA) securities into call-protected MBS pools.

∎ Commercial Mortgage Backed Securities (CMBS) has organically drifted lower through pay downs. The Fund’s strategy is tilted towards seasoned vintages, and BBB-rated tranches backed by 2012 vintage collateral that we believe represent the best value. However, they are difficult to source given their strong underwriting profile. The Fund has gained exposure to these vintages using CMBX, a synthetic index.

Describe market and portfolio outlook.

∎ Unexpected voter outcomes, global central banks, and commodity price volatility all took center stage in 2016. Major central banks continue to be accommodative, amid low growth. The U.S. Federal Reserve remains the outlier, acknowledging modest growth and higher base inflation. This confirms a tightening bias in the U.S.’ monetary policy direction, allowing for a rise in both interest rate term premiums and inflation expectations.

∎ Despite uncertainty surrounding the direction of weakened corporate fundamentals and monetary policy, we believe spreads will tighten modestly, driven by the strong technical backdrop and the new U.S. political administration, which appears to be pro-business. Given the strong technical backdrop, but limited overall spread tightening opportunity in corporate bonds, we will likely remain overweight risk, but in short-end maturities rather than farther along the curve.

∎ Within ABS, opportunities in the transportation sector (railcar, container, aviation) remain attractive, as energy and global growth concerns have weighed on the sectors.

∎ The Fund remains overweight spread sectors such as corporates and structured products relative to liquid products such as governments and agencies, and seeks to add alpha or return in excess to the benchmark by investing in under covered sectors where we have competitive advantages, such as esoteric ABS, CLOs, and emerging market corporates.

12

Barings Total Return Bond Fund 2016 Semi-Annual Report

CREDIT QUALITY BREAKDOWN (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

PORTFOLIO COMPOSITION (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

13

Barings Emerging Markets Debt Blended Total Return Fund 2016 Semi-Annual Report

Investment Objective

The Barings Emerging Markets Debt Blended Total Return Fund (“EMD Blended Total Return” or the “Fund”) seeks to achieve maximum total return, consistent with preservation of capital and prudent investment management, through high current income generation and, where appropriate, capital appreciation.

Portfolio Management Commentary

How did the Fund perform?

∎ As a whole, emerging markets (EM) debt performance was mixed during the second half of 2016; EM corporates were slightly positive, whereas EM sovereign and EM local returned negative performance, driven largely by the outcome of the U.S. presidential election. Most developed market central banks remained dovish, including the European Central Bank, Bank of England and Bank of Japan, however, the U.S. Federal Reserve increased the short-term rate by 25 bps and surprised markets by indicating it may raise rates three times in 2017.

∎ The Fund reported a net total rate of return for the semi-annual reporting period from June 30, 2016 through December 31, 2016 of 0.90%.¹

What factors influenced performance of the Fund?

∎ For the semi-annual reporting period, the Fund’s positions in the Chinese renminbi, Ghana, PEMEX, Digicel and South Africa, as well as the Korean won were the primary contributors to performance. In addition, corporate holdings in Marfrig Global Foods, SB Capital and Next LP aided returns. Key detractors from performance were the Fund’s overall positioning in Mexico, local rates and currency in Malaysia, local rates in Peru, and local rates and currency in Indonesia. The Fund’s position in Office Cheriffen also detracted from returns.

∎ All EM debt asset classes experienced large sell-offs following the November U.S. Presidential election. Especially hard hit were the Fund’s overweight positions in Latin America, which took the brunt of the impact due to President Donald Trump’s anti-trade campaign rhetoric and cabinet, which the market believes will have a large and detrimental impact on Mexico’s trade with the U.S. For Mexico in particular, the Fund’s largest overall exposure was impacted across corporates, sovereign hard currency, local rates and the Mexican peso, whereby traders sent the Mexican peso to its lowest valuation ever versus the U.S. dollar.

Describe recent portfolio activity.

∎ As a result of overall moderate growth, low inflation and high rates in select EM local markets, the Fund increased its local rates exposure to 38% on expectations that local rates will fall over the next 12 months in countries that are well managed and where inflation is falling. The Fund increased its exposure to Colombia, Peru and Mexico. The Fund reduced its corporate holdings by reducing holdings in the Mexican oil company Pemex, as well as in Turkish manufacturer Acrelik. Additionally, during the reporting period, the Fund increased its exposure to Argentina by adding the Province of Santa Fe.

¹  Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative.

14

Barings Emerging Markets Debt Blended Total Return Fund 2016 Semi-Annual Report

Describe portfolio positioning at period end.

∎ The Fund finished the semi-annual reporting period, December 31, 2016, with a 38% exposure to EM local debt and currencies, 35% exposure to corporate bonds, 25% exposure to sovereign hard currency bonds and a 1% cash position.

∎ The Top 5 countries in the portfolio at the end of the semi-annual reporting period are Mexico (23.2%), Brazil (15.9%), South Africa (10.5%), Peru (8.1%) and Colombia (6.84%). The Top 5 corporate bonds are Petrobas (4.5%), Fermaca Enterprises (2.4%), BBVA Bancomer (2.3%), VTR Finance (2.2%) and Altice Financing (2.1%). Overall, the Fund had exposure to 25 countries, 12 corporates, and 21 different currencies.

Describe market and portfolio outlook.

∎ Barings remains optimistic that some EM headwinds have reversed or are in the process of reversing to become tailwinds or at least stabilize. EM debt flows were +41.4 billion in 2016.

∎ Credit selection will be key to seeking the best risk-adjusted return opportunities across the EM corporate debt spectrum.

∎ Lower net supply, driven by reduced issuance and heightened buyback activity, will likely serve as a strong supportive technical factor for EM corporate debt.

∎ For EM sovereigns, Barings continues to favor select Latin American and Eastern European countries that have made meaningful fiscal adjustments on the back of lower currency prices.

∎ Currency valuations have adjusted significantly over the past 30 months and along with current commodity prices, Barings is now seeing some EM currencies at their most attractive levels in more than 10 years, thereby providing for selective EM growth prospects.

∎ The portfolio continues to be positioned in selective rates where inflation is falling along with narrowing current account deficits.

15

Barings Emerging Markets Debt Blended Total Return Fund 2016 Semi-Annual Report

PORTFOLIO COMPOSITION (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

COUNTRY COMPOSITION (% of Assets**)

** Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of December 31, 2016.

16

Barings Emerging Markets Local Currency Debt Fund 2016 Semi-Annual Report

Investment Objective

The Barings Emerging Markets Local Currency Debt Fund (“EM Local Debt Fund” or the “Fund”) seeks long-term total return through investment in a diversified portfolio of emerging markets local currency-denominated debt securities.

Portfolio Management Commentary

How did the Fund perform?

∎ During the second half of 2016, Emerging Markets (EM) local debt declined following the U.S. presidential election outcome and as a result of President Trump’s anti-trade campaign rhetoric, as well as higher U.S. Treasury rates. EM currencies declined 4.48% vs the U.S. dollar, despite higher oil and commodity prices, while rates gained 0.90% on overall lower inflation across EM countries.

∎ The Fund reported a net total rate of return for the semi-annual reporting period from June 30, 2016 through December 31, 2016 of -3.33% and outperformed the J.P. Morgan Government Bond Index Emerging Markets Global Diversified Index, which returned -3.58%.¹

What factors influenced performance of the Fund?

∎ For the semi-annual reporting period, the Fund’s positions in Mexico, Poland and Hungary were the primary detractors from performance relative to the benchmark. The Fund’s underweight Turkey, as well as underweight positioning in Asian currencies, positively impacted Fund performance.

∎ Mexico, Poland, Malaysia, Indonesia, Thailand and Romania all experienced large sell-offs following the November U.S. presidential election, and the Fund’s overweight positions were more negatively affected than the benchmark. Mexico, in particular, underperformed due to the then President-elect Trump’s anti-trade campaign rhetoric and initial cabinet nominees, which the market believes will have a large and detrimental impact on Mexico’s trade with the United States. Both rates and currency were affected, and the Mexican Peso dropped to its lowest ever valuation versus the U.S. dollar.

Describe recent portfolio activity.

∎ The Fund initiated underweight and defensive currency positioning in select Asian currencies, as well as in the Canadian dollar following the U.S. presidential election. The Fund also increased its exposure to select Eastern European currencies in countries that are experiencing healthy growth and where Barings expects the currencies to continue appreciating versus the euro.

¹  Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. J.P. Morgan GBI-EM Global Diversified consists of regularly traded, fixed-rate, domestic currency government bonds which international investors can readily access. The maximum weight to any country in the index is capped at 10%. The performance of the index does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the fund expenses, including sales charges if applicable. Indices are unmanaged. It is not possible to invest directly in an index.

17

Barings Emerging Markets Local Currency Debt Fund 2016 Semi-Annual Report

Describe portfolio positioning at period end.

∎ The Fund finished the semi-annual reporting period, December 31, 2016, with a 92.9% exposure to emerging market bonds and a 7.1% cash position. The Fund had a duration of 2.075 years greater than the benchmark and 87% exposure to EM currencies.

∎ The top five countries in the portfolio at the end of the semi-annual reporting period [+/- years duration versus the benchmark] are South Africa (+.91 years), Mexico (+.55 years), Brazil (+.54 years), Colombia (+.29 years) and Peru (+.24 years). Overall, the Fund has exposure to 19 different countries and 30 different currencies.

Describe market and portfolio outlook.

∎ Barings believes EM local debt is still in a position to potentially deliver high single-digit returns over the next 12 months, as global growth is positive and inflation remains low.

∎ Barings is optimistic that select EM countries will continue to make the necessary adjustments to their current account deficits, although the adjustments are unlikely to be equally advanced across all countries.

∎ Moderate global growth, along with the fiscal adjustments EM countries have already made, will likely continue to keep inflation tamed over the next several years.

∎ As inflationary pressures fall, Barings expects to see lower overall interest rates for EM local bonds where nominal yields offer significant compensation for risk.

18

Barings Emerging Markets Local Currency Debt Fund 2016 Semi-Annual Report

COUNTRY COMPOSITION (% of Assets*)

* Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of December 31, 2016.

CONTRIBUTION TO DURATION (In Years**)

** The values shown above represent the contribution to duration, in years, of the assets as of December 31, 2016.

19

Barings Global High Yield Fund 2016 Semi-Annual Report

Investment Objective

The investment objective of the Barings Global High Yield Fund (“Global High Yield Fund” or the “Fund”) is to seek to provide a high level of income generation and, where appropriate, capital appreciation.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a net total return for the six month reporting period from June 30, 2016 through December 31, 2016 of 9.02% and outperformed the Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index (the “Index”) which returned 7.39%.

What factors influenced performance of the Fund?

∎ Over the last six months the high yield market experienced a strong rally, due to the recovery of commodity-related sectors in the U.S. and continued support from accommodative central bank measures in Europe. The Fund outperformed the Index during this period by selecting quality energy companies that rallied more than the market. Similarly, credit selection within the telecommunications sector drove outperformance relative to the Index.

∎ From a ratings category perspective, the Fund outperformed primarily due to its underweight position in the BB segment of the market coupled with prudent credit selection. The Fund’s overweight to the B and CCC segments also drove relative outperformance as these categories rallied most over the six month reporting period. Credit selection within the B category was also a benefit to performance.

∎ From a geographical perspective, the Fund’s overweight positioning to the European market and underweight to the U.S. market did not have a significant impact on performance. Credit selection, however, within both regions was the main contributor to performance relative to the Index.

Describe recent portfolio activity.

∎ The Fund remains underweight the BB ratings category relative to the Index, favoring the B and CCC rated credits that Barings believes will continue to outperform. Over the reporting period, the Fund’s allocation shifted slightly by increasing exposure to CCC rated credits and reducing allocation to BB and B credits.

∎ The Fund’s exposure to the Oil & Gas sector experienced a large market value increase over the past six months compared to other sectors and is now overweight compared to the Index, due largely to meaningful upward moves in market values as the sector continued to recover from their February troughs. Exposure to the telecommunications sector also increased over the period to take advantage of attractive investment opportunities in the space.

∎ The Fund’s geographical allocations shifted slightly over the past six months by reducing U.S. exposure by approximately 4% and increasing exposure to European assets. The Fund continues to emphasize an overweight to Europe, and the rest of world, and an underweight to the U.S. market.

¹  Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index contains all securities in the Bank of America Merrill Lynch Global High Yield Index that are non-financials and from developed markets countries, but caps issuer exposure at 2%. Developed markets is defined as an FX-G10 member, a Western European nation, or a territory of the U.S. or a Western European nation. Indices are unmanaged. It is not possible to invest directly in an index.

20

Barings Global High Yield Fund 2016 Semi-Annual Report

Describe portfolio positioning at period end.

∎ On a traded basis, the Fund finished 2016 with a 29.3% weighting to senior secured high yield bonds and a 67.4% weighting to senior unsecured high yield bonds. The remaining balance of the portfolio was in cash and accrued income at 3.3%.

∎ From an industry perspective, the Fund remains well-diversified across a number of Moody’s-based industries, with higher concentrations in oil & gas (15.6%), telecommunications (10.8%), and leisure, amusement, entertainment (7.5%), as of December 31, 2016.

∎ In terms of portfolio credit quality at the end of 2016, the Fund had the following weighting breakdown: 4.5% in Baa, 28.2% in Ba, 51.5% in B, 12.6% in Caa and below and 3.3% in cash and accrued income.²

∎ The top five countries in the portfolio as of December 31, 2016 were the U.S. (66.1%), the U.K. (13.7%), France (5.0%), Canada (2.3%) and the United Arab Emirates (1.5%). Overall, the Fund has exposure to 18 countries and supports Barings focus on building a well-diversified portfolio of global high yield bonds.

Describe market and portfolio outlook.

∎ As we enter 2017, the political environment in both the U.S. and Europe will likely continue to dominate headlines and remain at the forefront of the market’s attention. With the U.S. government now under Republican control, policy positions and political appointments are likely to diverge significantly from what was seen under the Obama administration.

∎ To date, markets have reacted positively to the election results, although there has been some division across industries as investors anticipate regulatory changes. Despite the market’s exuberance over the expected policy moves of the new administration, much remains unknown, and volatility may resurface should any major political surprises appear.

∎ In particular this applies to industries that have traded on policy speculation such as banking and energy, which have rallied since the election, and healthcare and pharmaceuticals, which have fallen, are likely to see additional volatility as concrete policy initiatives materialize.

∎ In Europe, elections are scheduled to take place in many of the Eurozone’s most influential countries during 2017 including France, Germany, and the Netherlands, as populist sentiment continues to build. Moreover, as the European Central Bank and Federal Reserve continue to diverge, government rates and currency volatility will likely remain a primary factor for risk assets throughout 2017.

²  Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

21

Barings Global High Yield Fund 2016 Semi-Annual Report

CREDIT QUALITY COMPOSITION (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

Country Composition (% of Assets*)

* Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of December 31, 2016.

22

Barings U.S. High Yield Fund 2016 Semi-Annual Report

Investment Objective

The investment objective of the Barings U.S. High Yield Fund (“U.S. High Yield Fund” or the “Fund”) is to seek to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a net total return for the six month reporting period from June 30, 2016 through December 31, 2016 of 7.88% and outperformed the Bloomberg Barclays U.S. Corporate High Yield Index which returned 7.40%.¹

What factors influenced performance of the Fund?

∎ Over the last six months, the high yield market experienced a strong rally which can be mainly attributed to the recovery of commodity-related sectors. The Fund outperformed the Index during this period by selecting quality energy companies that rallied more than the market. Similarly, credit selection within the telecommunications sector drove outperformance relative to the Index.

∎ From a ratings category perspective, the Fund outperformed primarily due to its underweight to the BB segment of the market coupled with prudent credit selection. The Fund’s overweight to the B and CCC segments also drove outperformance relative to the Index as these categories rallied most over the six month reporting period.

Describe recent portfolio activity.

∎ The Fund continues to be underweight in the double-B ratings category relative to the Index, favoring the B and CCC ratings categories that Barings believes will continue to outperform. During the reporting period, the Fund’s allocation shifted slightly by increasing exposure to CCC rated credits and reducing its allocation to B credits.

∎ The Fund’s exposure to the Oil and Gas sector experienced the largest market value increase compared to other sectors. It is now overweight compared to the benchmark, largely due to meaningful upward moves in market values as the sector continued to recover from their February troughs. The healthcare, education & childcare and chemicals, plastics & rubber sectors experienced modest decreases in exposure over the period.

¹  Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bloomberg Barclays U.S. Corporate High Yield Index covers the universe of fixed-rate, non-investment grade debt focusing on corporate USD denominated and non-convertible debt. Indices are unmanaged. It is not possible to invest directly in an index.

23

Barings U.S. High Yield Fund 2016 Semi-Annual Report

Describe portfolio positioning at period end.

∎ On a traded basis, the Fund finished December 31, 2016 with a 93.2% weighting to high yield bonds. The remaining balance of the portfolio was invested in senior secured loans at 1.7% and cash and accrued income at 5.1%.

∎ From a sector perspective, the Fund remains well-diversified across a number of industries, with higher concentrations in Oil & Gas (17.3%), Healthcare, Education & Childcare (9.5%), and Telecommunications (8.2%) as of December 31, 2016.

∎ In terms of portfolio credit quality, as of December 31, 2016, the Fund had the following weighting breakdown: 6.9% in Baa, 31.1% in Ba, 40.3% in single-B, 16.1% in Caa and below and cash and accrued income at 5.6%.²

Describe market and portfolio outlook.

∎ As we enter 2017, the political environment in both the U.S. and Europe will likely continue to dominate headlines and remain at the forefront of the market’s attention. With the U.S. government now under Republican control, policy positions and political appointments are likely to diverge significantly from what was seen under the Obama administration.

∎ To date, markets have reacted positively to the election results, although there has been some division across industries as investors anticipate regulatory changes. Despite the market’s exuberance over the expected policy moves of the new administration, much remains unknown, and volatility may resurface should major political surprises appear.

∎ In particular this applies to industries that have traded on policy speculation such as banking and energy, which have rallied since the election, and healthcare and pharmaceuticals, which have fallen, are likely to see additional volatility as concrete policy initiatives materialize.

²  Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

24

Barings U.S. High Yield Fund 2016 Semi-Annual Report

CREDIT QUALITY COMPOSITION (% of Assets*)

* The percentages shown above represent a percentage of the assets as of December 31, 2016.

COUNTRY COMPOSITION (% of Assets*)

* Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of December 31, 2016.

25

Barings Funds Trust 2016 Semi-Annual Report

SHAREHOLDER EXPENSES (UNAUDITED)

As a shareholder of Barings Global Floating Rate Fund (formerly known as Babson Global Floating Rate Fund), Barings Global Credit Income Opportunities Fund (formerly known as Babson Global Credit Income Opportunities Fund), Barings Active Short Duration Bond Fund (formerly known as Babson Active Short Duration Bond Fund), Barings Total Return Bond Fund (formerly known as Babson Total Return Bond Fund), Barings Emerging Markets Debt Blended Total Return Fund (formerly known as Babson Emerging Markets Debt Blended Total Return Fund), Barings Emerging Markets Local Currency Debt Fund (formerly known as Babson Emerging Markets Local Currency Debt Fund), Barings Global High Yield Fund (formerly known as Babson Global High Yield Fund) or Barings U.S. High Yield Fund (formerly known as Babson U.S. High Yield Fund) you incur ongoing expenses, such as management fees, shareholder service fees, distribution fees and other fund expenses. The following table is intended to help you understand your ongoing expenses (in dollars and cents) of investing in the Funds and to compare these expenses with the ongoing expenses of investing in other funds.

The table is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2016 to December 31, 2016.

Actual Expenses

The first line in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for the Fund under the heading entitled “Operating Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line in the table below provides information about the hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Barings Global Floating Rate Fund (formerly known as Babson Global Floating Rate Fund)

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		0.97	%**	$	1,000.00	$	1,072.90	$	1,036.45	$	5.07
Hypothetical		0.97	%**		1,000.00		1,020.30		1,010.15		4.94
Class C
Actual		1.66	%**		1,000.00		1,069.30		1,034.65		8.66
Hypothetical		1.66	%**		1,000.00		1,016.80		1,008.40		8.44
Class I
Actual		0.75	%		1,000.00		1,074.40		1,037.20		3.92
Hypothetical		0.75	%		1,000.00		1,021.40		1,010.70		3.82
Class Y
Actual		0.75	%		1,000.00		1,074.30		1,037.15		3.92
Hypothetical		0.75	%		1,000.00		1,021.40		1,010.70		3.82

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 184/365.

** Expenses shown for each of Class A Shares and Class C Shares reflect a one-time voluntary reimbursement to the Fund during the period. The expense cap applicable to each of Class A Shares and Class C Shares is currently 1.00% and 1.75%, respectively.

26

Barings Funds Trust 2016 Semi-Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Barings Global Credit Income Opportunities Fund (formerly known as Babson Global Credit Income Opportunities Fund)

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.20	%	$	1,000.00	$	1,097.30	$	1,048.65	$	6.34
Hypothetical		1.20	%		1,000.00		1,019.20		1,009.60		6.11
Class C
Actual		1.95	%		1,000.00		1,093.10		1,046.55		10.29
Hypothetical		1.95	%		1,000.00		1,015.40		1,007.70		9.91
Class I
Actual		0.95	%		1,000.00		1,098.60		1,049.30		5.03
Hypothetical		0.95	%		1,000.00		1,020.40		1,010.20		4.84
Class Y
Actual		0.95	%		1,000.00		1,098.60		1,049.30		5.03
Hypothetical		0.95	%		1,000.00		1,020.40		1,010.20		4.84

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 184/365.

Barings Active Short Duration Bond Fund (formerly known as Babson Active Short Duration Bond Fund)

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		0.65	%	$	1,000.00	$	1,004.20	$	1,002.10	$	3.28
Hypothetical		0.65	%		1,000.00		1,021.90		1,010.95		3.31
Class C
Actual		(0.15	%)**		1,000.00		1,008.40		1,004.20		(0.76	)
Hypothetical		(0.15	%)**		1,000.00		1,026.00		1,013.00		(0.77	)
Class I
Actual		0.40	%		1,000.00		1,006.20		1,003.10		2.02
Hypothetical		0.40	%		1,000.00		1,023.20		1,011.60		2.04
Class Y
Actual		0.40	%		1,000.00		1,005.70		1,002.85		2.02
Hypothetical		0.40	%		1,000.00		1,023.20		1,011.60		2.04

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 184/365.

** Expenses shown reflect a reimbursement to the Fund during the period for an overaccrual of 12b-1 fees made during and prior to the period.

27

Barings Funds Trust 2016 Semi-Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Barings Total Return Bond Fund (formerly known as Babson Total Return Bond Fund)

	EXPENSE RATIO**			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		0.80	%	$	1,000.00	$	986.20	$	993.10	$	4.01
Hypothetical		0.80	%		1,000.00		1,021.20		1,010.60		4.08
Class C
Actual		1.55	%		1,000.00		982.50		991.25		7.75
Hypothetical		1.55	%		1,000.00		1,017.40		1,008.70		7.88
Class I
Actual		0.55	%		1,000.00		987.50		993.75		2.76
Hypothetical		0.55	%		1,000.00		1,022.40		1,011.20		2.80
Class Y
Actual		0.55	%		1,000.00		987.50		993.75		2.76
Hypothetical		0.55	%		1,000.00		1,022.40		1,011.20		2.80

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 184/365.

** Expense ratios (as disclosed in the table) do not include the expenses of any underlying funds in which the Fund invests. The annualized expense ratios, as stated in the fee table of the Prospectus, may differ from the expense ratios disclosed in this report.

Barings Emerging Markets Debt Blended Total Return Fund (formerly known as Babson Emerging Markets Debt Blended Total Return Fund)

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.09	%	$	1,000.00	$	1,007.70	$	1,003.85	$	5.52
Hypothetical		1.09	%		1,000.00		1,019.70		1,009.85		5.55
Class C
Actual		1.83	%		1,000.00		1,004.00		1,002.00		9.24
Hypothetical		1.83	%		1,000.00		1,016.00		1,008.00		9.30
Class I
Actual		0.85	%		1,000.00		1,009.00		1,004.50		4.30
Hypothetical		0.85	%		1,000.00		1,020.90		1,010.45		4.33
Class Y
Actual		0.85	%		1,000.00		1,009.00		1,004.50		4.30
Hypothetical		0.85	%		1,000.00		1,020.90		1,010.45		4.33

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 184/365.

28

Barings Funds Trust 2016 Semi-Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Barings Emerging Markets Local Currency Debt Fund (formerly known as Babson Emerging Markets Local Currency Debt Fund)

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		0.98	%	$	1,000.00	$	965.50	$	982.75	$	4.86
Hypothetical		0.98	%		1,000.00		1,020.30		1,010.15		4.99
Class C
Actual		1.72	%		1,000.00		961.90		980.95		8.51
Hypothetical		1.72	%		1,000.00		1,016.50		1,008.25		8.74
Class I
Actual		0.73	%		1,000.00		966.70		983.35		3.62
Hypothetical		0.73	%		1,000.00		1,021.50		1,010.75		3.72
Class Y
Actual		0.73	%		1,000.00		966.70		983.35		3.62
Hypothetical		0.73	%		1,000.00		1,021.50		1,010.75		3.72

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 184/365.

Barings Global High Yield Fund (formerly known as Babson Global High Yield Fund)

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.05	%	$	1,000.00	$	1,088.80	$	1,044.40	$	5.53
Hypothetical		1.05	%		1,000.00		1,019.90		1,009.95		5.35
Class C
Actual		1.80	%		1,000.00		1,084.70		1,042.35		9.46
Hypothetical		1.80	%		1,000.00		1,016.10		1,008.05		9.15
Class I
Actual		0.80	%		1,000.00		1,090.20		1,045.10		4.21
Hypothetical		0.80	%		1,000.00		1,021.20		1,010.60		4.08
Class Y
Actual		0.80	%		1,000.00		1,090.20		1,045.10		4.21
Hypothetical		0.80	%		1,000.00		1,021.20		1,010.60		4.08

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 184/365.

29

Barings Funds Trust 2016 Semi-Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Barings U.S. High Yield Fund (formerly known as Babson U.S. High Yield Fund)

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.00	%	$	1,000.00	$	1,077.40	$	1,038.70	$	5.24
Hypothetical		1.00	%		1,000.00		1,020.20		1,010.10		5.09
Class C
Actual		1.75	%		1,000.00		1,073.50		1,036.75		9.15
Hypothetical		1.75	%		1,000.00		1,016.40		1,008.20		8.89
Class I
Actual		0.75	%		1,000.00		1,078.90		1,039.45		3.93
Hypothetical		0.75	%		1,000.00		1,021.40		1,010.70		3.82
Class Y
Actual		0.75	%		1,000.00		1,078.80		1,039.40		3.93
Hypothetical		0.75	%		1,000.00		1,021.40		1,010.70		3.82

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 184/365.

30

Barings Funds Trust 2016 Semi-Annual Report

BARINGS FUNDS TRUST

FINANCIAL REPORT

Statement of Assets and Liabilities	32
Statement of Operations	36
Statements of Changes in Net Assets	40
Financial Highlights	44
Schedule of Investments	76-154
Notes to Financial Statements	155-197

31

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2016 (Unaudited)

	BARINGS GLOBAL FLOATING RATE FUND		BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND		BARINGS ACTIVE SHORT DURATION BOND FUND		BARINGS TOTAL RETURN BOND FUND
Assets
Investments, at fair value (cost $171,374,204, $122,062,085, $252,059,103 and $31,092,445, respectively)	$	167,778,893	$	119,522,484	$	251,290,322	$	31,168,820
Cash		10,845		–		–		–
Cash collateral held		–		150,000		–		–
Foreign currency, at value (cost $314,268, $40,912, $0 and $0, respectively)		315,241		40,521		–		–
Receivable for investments sold		5,533,109		1,229,849		–		–
Receivable for TBA securities sold		–		–		1,406,426		364,629
Receivable for Fund shares sold		1,378,339		4,067,381		2,692,859		914,000
Interest and dividends receivable		1,183,093		1,806,002		1,282,248		154,051
Interest receivable on swap contracts		–		–		–		35
Receivable from adviser (see Note 3)		–		–		335		8,009
Cash collateral held at broker on open swap contracts		–		–		–		1,229
Receivable for variation margin on open centrally cleared swap contracts		–		–		319		100
Receivable for variation margin on open futures contracts		–		–		–		8,583
Foreign tax reclaims receivable		625		1,814		–		–
Unrealized appreciation on forward foreign currency exchange contracts		297,336		358,535		266,105		113,553
Prepaid expenses		61,640		34,916		77,666		25,155
Total assets		176,559,121		127,211,502		257,016,280		32,758,164
Liabilities
Payable for investments purchased		15,556,766		2,703,741		510		468,812
Payable for TBA and when-issued securities purchased		–		–		7,383,188		4,117,648
Payable for Fund shares repurchased		248,844		388,045		921,466		385
Swap contracts, at fair value (up-front net premiums received of $0, $0, $21,571 and $5,480, respectively)		–		–		29,569		7,392
Interest payable on swap contracts		–		–		–		160
Payable for variation margin on open futures contracts		–		–		36,358		–
Investment advisory fee payable (see Note 3)		24,726		44,396		–		–
Cash collateral Due to Broker		–		664,000		–		–
Distribution fees payable		12,682		7,722		19,610		215
Dividends payable		45,994		348,600		48,580		95,910
Unrealized depreciation on forward foreign currency exchange contracts		1,660		4,208		255,735		114,839
Unrealized depreciation on unfunded loan commitments		13		13		–		–
Accrued expenses and other liabilities		221,922		129,938		104,786		47,366
Total liabilities		16,112,607		4,290,663		8,799,802		4,852,727
Total net assets	$	160,446,514	$	122,920,839	$	248,216,478	$	27,905,437

See accompanying Notes to the Financial Statements.

32

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

December 31, 2016 (Unaudited)

	BARINGS GLOBAL FLOATING RATE FUND			BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BARINGS ACTIVE SHORT DURATION BOND FUND			BARINGS TOTAL RETURN BOND FUND
Composition of net assets
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized	$	168		$	131		$	250		$	28
Additional paid-in capital		167,037,400			127,658,031			248,370,507			28,169,916
Undistributed (distributions in excess of) net investment income		(1,114,255	)		(704,450	)		20,581			(6,141	)
Accumulated net realized gain (loss)		(2,182,819	)		(1,834,611	)		536,109			(315,476	)
Net unrealized appreciation (depreciation)		(3,293,980	)		(2,198,262	)		(710,969	)		57,110
Total net assets	$	160,446,514		$	122,920,839		$	248,216,478		$	27,905,437
Class A
Net assets applicable to outstanding shares	$	31,155,971		$	21,926,510		$	94,342,847		$	219,746
Shares of beneficial interest outstanding		3,259,232			2,342,680			9,491,882			22,177
Net asset value per share outstanding	$	9.56		$	9.36		$	9.94		$	9.91
Maximum offering price per share outstanding (Net asset value plus sales charge of 3.00%, 4.00%, 0.00% and 4.00%, respectively)	$	9.86		$	9.75		$	9.94		$	10.32
Class C
Net assets applicable to outstanding shares	$	8,157,749		$	4,586,273		$	268,045		$	198,771
Shares of beneficial interest outstanding		856,402			490,569			26,985			20,061
Net asset value per share outstanding	$	9.53		$	9.35		$	9.93		$	9.91
Class I
Net assets applicable to outstanding shares	$	21,039,613		$	26,272,488		$	99,477		$	12,241,727
Shares of beneficial interest outstanding		2,196,697			2,807,664			10,010			1,235,482
Net asset value per share outstanding	$	9.58		$	9.36		$	9.94		$	9.91
Class Y
Net assets applicable to outstanding shares	$	100,093,181		$	70,135,568		$	153,506,109		$	15,245,193
Shares of beneficial interest outstanding		10,454,087			7,495,156			15,452,728			1,538,565
Net asset value per share outstanding	$	9.57		$	9.36		$	9.93		$	9.91

See accompanying Notes to the Financial Statements.

33

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

December 31, 2016 (Unaudited)

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND			BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND			BARINGS GLOBAL HIGH YIELD FUND		BARINGS U.S. HIGH YIELD FUND
Assets
Investments, at fair value (cost $9,820,349, $4,803,741, $26,085,360 and $30,414,834, respectively)	$	9,592,771		$	4,720,572		$	26,461,958	$	31,535,948
Foreign currency, at value (cost $1,804, $3,167, $4,701 and $0, respectively)		1,731			3,164			4,600		–
Receivable for Fund shares sold		–			–			98,761		–
Interest receivable		174,923			79,829			489,044		552,053
Receivable from adviser (see Note 3)		9,396			11,620			1,518		–
Receivable for variation margin on open futures contracts		10,382			–			–		–
Swap contracts, at fair value		10,672			–			–		–
Foreign tax reclaims receivable		–			510			751		–
Unrealized appreciation on forward foreign currency exchange contracts		291,224			214,831			109,460		–
Prepaid expenses		24,694			24,606			25,018		25,211
Total assets		10,115,793			5,055,132			27,191,110		32,113,212
Liabilities
Payable for Fund shares repurchased		–			–			424		16,613
Swap contracts, at fair value (up-front net premiums received of $0, $0, $0 and $0, respectively)		–			6,122			–		–
Investment advisory fee payable (see Note 3)		–			–			–		362
Distribution fees payable		208			104			190		559
Dividends payable		41,464			20,161			141,889		143,359
Unrealized depreciation on forward foreign currency exchange contracts		288,771			198,984			2,354		–
Accrued expenses and other liabilities		38,926			33,846			47,728		47,645
Total liabilities		369,369			259,217			192,585		208,538
Total net assets	$	9,746,424		$	4,795,915		$	26,998,525	$	31,904,674
Composition of net assets
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized	$	10		$	5		$	26	$	31
Additional paid-in capital		10,017,344			4,999,995			26,453,982		30,726,635
Undistributed (distributions in excess of) net investment income		(64,320	)		(165,357	)		54,472		(94	)
Accumulated net realized gain		98,740			37,726			10,267		56,988
Net unrealized appreciation (depreciation)		(305,350	)		(76,454	)		479,778		1,121,114
Total net assets	$	9,746,424		$	4,795,915		$	26,998,525	$	31,904,674

See accompanying Notes to the Financial Statements.

34

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

December 31, 2016 (Unaudited)

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND		BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND		BARINGS GLOBAL HIGH YIELD FUND		BARINGS U.S. HIGH YIELD FUND
Class A
Net assets applicable to outstanding shares	$	194,679	$	95,919	$	106,799	$	2,237,636
Shares of beneficial interest outstanding		20,006		10,000		10,447		215,185
Net asset value per share outstanding	$	9.73	$	9.59	$	10.22	$	10.40
Maximum offering price per share outstanding (Net asset value plus sales charge of 4.00%)	$	10.14	$	9.99	$	10.65	$	10.83
Class C
Net assets applicable to outstanding shares	$	199,979	$	95,919	$	196,204	$	110,015
Shares of beneficial interest outstanding		20,552		10,000		19,192		10,579
Net asset value per share outstanding	$	9.73	$	9.59	$	10.22	$	10.40
Class I
Net assets applicable to outstanding shares	$	4,672,192	$	2,302,039	$	12,675,770	$	15,364,711
Shares of beneficial interest outstanding		480,156		240,000		1,240,000		1,477,389
Net asset value per share outstanding	$	9.73	$	9.59	$	10.22	$	10.40
Class Y
Net assets applicable to outstanding shares	$	4,679,574	$	2,302,038	$	14,019,752	$	14,192,312
Shares of beneficial interest outstanding		480,900		240,000		1,371,477		1,364,767
Net asset value per share outstanding	$	9.73	$	9.59	$	10.22	$	10.40

See accompanying Notes to the Financial Statements.

35

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF OPERATIONS

For the Six Months Ended December 31, 2016 (Unaudited)

	BARINGS GLOBAL FLOATING RATE FUND			BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BARINGS ACTIVE SHORT DURATION BOND FUND			BARINGS TOTAL RETURN BOND FUND
Investment Income
Interest income	$	4,658,109		$	4,058,787		$	2,245,451		$	345,678
Dividends		–			–			–			122,182
Other income		152,829			69,220			519			–
Total investment income		4,810,938			4,128,007			2,245,970			467,860
Operating Expenses
Advisory fees		529,884			417,572			359,358			53,767
12b-1 distribution and servicing plan
Class A		27,899			19,853			93,650			276
Class C		35,480			20,715			(776	)		1,025
Administrator fees		170,816			100,518			126,932			29,833
Custody fees		119,549			71,089			98,529			25,238
Professional fees		55,365			47,818			30,711			16,276
Transfer agent fees		18,000			21,642			29,011			9,517
Directors’ fees		27,143			20,044			24,294			13,006
Registration fees		40,186			30,112			58,304			23,196
Printing and mailing expenses		10,361			6,118			8,712			1,617
Interest expense		–			–			64			30
Other operating expenses		24,591			14,492			22,576			4,636
Total operating expenses		1,059,274			769,973			851,365			178,417
Reimbursement of expenses
Class A		(54,721	)		(30,591	)		(120,067	)		(3,061	)
Class C		(23,681	)		(10,129	)		(3,737	)		(2,994	)
Class I		(46,495	)		(44,788	)		(5,489	)		(46,449	)
Class Y		(265,958	)		(114,976	)		(218,444	)		(50,654	)
Net operating expenses		668,419			569,489			503,628			75,259
Net investment income		4,142,519			3,558,518			1,742,342			392,601

See accompanying Notes to the Financial Statements.

36

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Six Months Ended December 31, 2016 (Unaudited)

	BARINGS GLOBAL FLOATING RATE FUND			BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BARINGS ACTIVE SHORT DURATION BOND FUND			BARINGS TOTAL RETURN BOND FUND
Realized and Unrealized Gains (Losses) on Investments
Net realized loss on investments	$	(2,389,702	)	$	(1,035,733	)	$	(73,779	)	$	(72,764	)
Net realized gain on forward foreign currency exchange contracts		3,668,047			2,957,387			–			833
Net realized loss on foreign currency and translation		(357,089	)		(10,596	)		–			–
Net realized gain (loss) on futures contracts		–			–			809,340			(101,606	)
Net realized loss on swap contracts		–			–			(11,561	)		(14,347	)
Net realized gain (loss)		921,256			1,911,058			724,000			(187,884	)
Net change in unrealized appreciation (depreciation) on investments		8,028,954			5,738,679			(1,785,082	)		(440,935	)
Net change in unrealized appreciation (depreciation) on unfunded loan commitments		(13	)		(13	)		–			–
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		(1,501,095	)		(1,024,556	)		12,342			327
Net change in unrealized depreciation on foreign currency and translation		(6,583	)		(37,458	)		–			–
Net change in unrealized appreciation (depreciation) on futures contracts		–			–			173,895			(107,400	)
Net change in unrealized appreciation on swap contracts		–			–			11,299			2,996
Net change in unrealized appreciation (depreciation)		6,521,263			4,676,652			(1,587,546	)		(545,012	)
Net realized and unrealized gains (losses) on investments		7,442,519			6,587,710			(863,546	)		(732,896	)
Net increase (decrease) in net assets resulting from operations	$	11,585,038		$	10,146,228		$	878,796		$	(340,295	)

See accompanying Notes to the Financial Statements.

37

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Six Months Ended December 31, 2016 (Unaudited)

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND			BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND			BARINGS GLOBAL HIGH YIELD FUND			BARINGS U.S. HIGH YIELD FUND
Investment Income
Interest income (net of withholding tax of $1,102, $3,056, $0 and $0, respectively)	$	321,584		$	52,973		$	973,191		$	1,124,536
Other income		–			–			5,985			–
Total investment income		321,584			52,973			979,176			1,124,536
Operating Expenses
Advisory fees		37,833			20,296			80,017			84,564
12b-1 distribution and servicing plan
Class A		252			135			135			1,902
Class C		1,014			541			843			531
Administrator fees		17,075			13,781			27,985			29,673
Custody fees		14,375			13,734			20,181			20,805
Professional fees		12,720			12,210			15,056			13,189
Transfer agent fees		12,732			9,168			10,556			9,554
Directors’ fees		11,294			10,796			12,940			13,200
Registration fees		22,309			21,903			22,640			23,075
Printing and mailing expenses		616			330			1,582			1,746
Other operating expenses		2,374			1,590			4,551			4,922
Total operating expenses		132,594			104,484			196,486			203,161
Reimbursement of expenses
Class A		(4,670	)		(3,773	)		(2,901	)		(5,862	)
Class C		(4,687	)		(3,780	)		(3,017	)		(2,538	)
Class I		(39,616	)		(38,188	)		(40,742	)		(40,708	)
Class Y		(39,654	)		(38,189	)		(42,159	)		(36,306	)
Net operating expenses		43,967			20,554			107,667			117,747
Net investment income		277,617			32,419			871,509			1,006,789

See accompanying Notes to the Financial Statements.

38

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Six Months Ended December 31, 2016 (Unaudited)

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND			BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND			BARINGS GLOBAL HIGH YIELD FUND			BARINGS U.S. HIGH YIELD FUND
Realized and Unrealized Gains (Losses) on Investments
Net realized gain on investments	$	183,130		$	91,844		$	112,901		$	322,895
Net realized gain on forward foreign currency exchange contracts		78,437			20,587			623,851			–
Net realized loss on foreign currency and translation		(4,345	)		(1,063	)		(14,944	)		–
Net realized gain (loss) on futures contracts		1			(160	)		–			–
Net realized gain on swap contracts		7,337			10,498			–			–
Net realized gain		264,560			121,706			721,808			322,895
Net change in unrealized appreciation (depreciation) on investments		(420,030	)(1)		(302,950	)(2)		864,799			939,691
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		(31,084	)		17,042			(173,783	)		–
Net change in unrealized appreciation (depreciation) on foreign currency and translation		(1,211	)		(4,152	)		1,867			–
Net change in unrealized appreciation on futures contracts		2,868			–			–			–
Net change in unrealized (depreciation) on swap contracts		(3,270	)		(42,602	)		–			–
Net change in unrealized appreciation (depreciation)		(452,727	)		(332,662	)		692,883			939,691
Net realized and unrealized gains (losses) on investments		(188,167	)		(210,956	)		1,414,691			1,262,586
Net increase (decrease) in net assets resulting from operations	$	89,450		$	(178,537	)	$	2,286,200		$	2,269,375

(1) Net of change in unrealized appreciation (depreciation) of foreign capital gains taxes of $(1,609).

(2) Net of change in unrealized appreciation (depreciation) of foreign capital gains taxes of $3,532.

See accompanying Notes to the Financial Statements.

39

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

(Unaudited)

	BARINGS GLOBAL FLOATING RATE FUND						BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE SIX MONTHS ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED JUNE 30, 2016
Operations
Net investment income	$	4,142,519		$	8,206,929		$	3,558,518		$	5,621,819
Net realized gain (loss) on investments		921,256			(3,068,981	)		1,911,058			(2,698,429	)
Net change in unrealized appreciation (depreciation) on investments		6,521,263			(4,711,060	)		4,676,652			(3,086,490	)
Net increase (decrease) in net assets from operations		11,585,038			426,888			10,146,228			(163,100	)
Dividends to Common Shareholders
Net investment income
Class A		(536,495	)		(304,354	)		(488,582	)		(835,584	)
Class C		(149,993	)		(268,027	)		(112,854	)		(205,363	)
Class I		(497,800	)		(1,191,256	)		(838,701	)		(1,782,878	)
Class Y		(2,957,893	)		(6,742,434	)		(2,118,575	)		(3,292,537	)
Total dividends to common shareholders		(4,142,181	)		(8,506,071	)		(3,558,712	)		(6,116,362	)
Capital Share Transactions
Net proceeds from sale of shares		81,459,469			76,837,249			25,974,809			38,204,380
Net Asset Value of shares issued to shareholders in payment of distributions declared		2,936,411			6,057,323			1,403,349			2,714,185
Cost of shares redeemed		(98,035,251	)		(74,331,498	)		(9,965,531	)		(17,451,036	)
Net increase (decrease) in net assets resulting from capital stock transactions		(13,639,371	)		8,563,074			17,412,627			23,467,529
Total increase (decrease) in net assets		(6,196,514	)		483,891			24,000,143			17,188,067
Net Assets
Beginning of period		166,643,028			166,159,137			98,920,696			81,732,629
End of period (includes undistributed net investment income of $(1,114,255), $(1,114,593), $(704,450) and $(704,256), respectively)	$	160,446,514		$	166,643,028		$	122,920,839		$	98,920,696

See accompanying Notes to the Financial Statements.

40

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)

(Unaudited)

	BARINGS ACTIVE SHORT DURATION BOND FUND						BARINGS TOTAL RETURN BOND FUND
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)			FOR THE SIX MONTHS ENDED DECEMBER 31, 2016			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Operations
Net investment income	$	1,742,342		$	1,645,747		$	392,601		$	675,606
Net realized gain (loss) on investments		724,000			(74,313	)		(187,884	)		(74,427	)
Net change in unrealized appreciation (depreciation) on investments		(1,587,546	)		876,577			(545,012	)		602,122
Net increase (decrease) in net assets from operations		878,796			2,448,011			(340,295	)		1,203,301
Dividends to Common Shareholders
Net investment income
Class A		(577,846	)		(189,128	)		(2,966	)		(5,003	)
Class C		(3,312	)		(2,030	)		(1,974	)		(3,522	)
Class I		(10,205	)		(328,113	)		(184,545	)		(336,827	)
Class Y		(1,160,196	)		(1,108,430	)		(203,474	)		(338,788	)
Net realized gain
Class A		(38,267	)		–			–			(403	)
Class C		(114	)		–			–			(402	)
Class I		(42	)		–			–			(24,782	)
Class Y		(63,403	)		–			–			(24,827	)
Total dividends to common shareholders		(1,853,385	)		(1,627,701	)		(392,959	)		(734,554	)
Capital Share Transactions
Net proceeds from sale of shares		150,896,792			209,020,134			2,712,412			25,427,645
Net Asset Value of shares issued to shareholders in payment of distributions declared		1,543,602			841,543			18,759			111,617
Cost of shares redeemed		(59,113,830	)		(54,817,484	)		(100,489	)		–
Net increase in net assets resulting from capital stock transactions		93,326,564			155,044,193			2,630,682			25,539,262
Total increase in net assets		92,351,975			155,864,503			1,897,428			26,008,009
Net Assets
Beginning of period		155,864,503			–			26,008,009			–
End of period (includes undistributed net investment income of $20,581, $29,798, $(6,141) and $(5,783), respectively)	$	248,216,478		$	155,864,503		$	27,905,437		$	26,008,009

(1) Fund commenced operations on July 8, 2015.

See accompanying Notes to the Financial Statements.

41

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)

(Unaudited)

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND						BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1)			FOR THE SIX MONTHS ENDED DECEMBER 31, 2016			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (2)
Operations
Net investment income	$	277,617		$	448,418		$	32,419		$	257,477
Net realized gain (loss) on investments		264,560			(334,735	)		121,706			110,231
Net change in unrealized appreciation (depreciation) on investments		(452,727	)		147,377			(332,662	)		256,208
Net increase (decrease) in net assets from operations		89,450			261,060			(178,537	)		623,916
Dividends to Common Shareholders
Net investment income
Class A		(4,978	)		(6,867	)		(7,784	)		(3,143	)
Class C		(4,253	)		(5,895	)		(7,383	)		(2,726	)
Class I		(125,440	)		(172,655	)		(190,048	)		(78,768	)
Class Y		(125,597	)		(172,655	)		(190,045	)		(78,767	)
Net realized gain
Class A		–			(62	)		(1,816	)		–
Class C		–			(62	)		(1,816	)		–
Class I		–			(1,488	)		(43,584	)		–
Class Y		–			(1,488	)		(43,584	)		–
Total dividends to common shareholders		(260,268	)		(361,172	)		(486,060	)		(163,404	)
Capital Share Transactions
Net proceeds from sale of shares		29,818			10,000,000			–			5,000,000
Net Asset Value of shares issued to shareholders in payment of distributions declared		118			3,100			–			–
Cost of shares redeemed		(15,682	)		–			–			–
Net increase in net assets resulting from capital stock transactions		14,254			10,003,100			–			5,000,000
Total increase (decrease) in net assets		(156,564	)		9,902,988			(664,597	)		5,460,512
Net Assets
Beginning of period		9,902,988			–			5,460,512			–
End of period (includes undistributed net investment income of $(64,320), $(81,669), $(165,357) and $197,484, respectively)	$	9,746,424		$	9,902,988		$	4,795,915		$	5,460,512

(1) Fund commenced operations on October 21, 2015.

(2) Fund commenced operations on December 8, 2015.

See accompanying Notes to the Financial Statements.

42

Barings Funds Trust 2016 Semi-Annual Report

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)

(Unaudited)

	BARINGS GLOBAL HIGH YIELD FUND						BARINGS U.S. HIGH YIELD FUND
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)			FOR THE SIX MONTHS ENDED DECEMBER 31, 2016			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Operations
Net investment income	$	871,509		$	980,491		$	1,006,789		$	1,053,626
Net realized gain on investments		721,808			345,486			322,895			288,570
Net change in unrealized appreciation (depreciation) on investments		692,883			(213,105	)		939,691			181,423
Net increase in net assets resulting from operations		2,286,200			1,112,872			2,269,375			1,523,619
Dividends to Common Shareholders
Net investment income
Class A		(3,412	)		(3,764	)		(47,686	)		(4,605	)
Class C		(4,615	)		(3,285	)		(2,957	)		(3,286	)
Class I		(423,302	)		(486,534	)		(506,144	)		(559,016	)
Class Y		(440,179	)		(486,908	)		(450,096	)		(486,719	)
Net realized gain
Class A		(3,988	)		–			(24,333	)		–
Class C		(7,212	)		–			(1,951	)		–
Class I		(474,176	)		–			(274,369	)		–
Class Y		(517,180	)		–			(253,824	)		–
Total dividends to common shareholders		(1,874,064	)		(980,491	)		(1,561,360	)		(1,053,626	)
Capital Share Transactions
Net proceeds from sale of shares		1,287,536			25,138,500			4,029,649			27,302,500
Net Asset Value of shares issued to shareholders in payment of distributions declared		64,433			262			233,068			72,759
Cost of shares redeemed		(36,723	)		–			(911,310	)		–
Net increase in net assets resulting from capital stock transactions		1,315,246			25,138,762			3,351,407			27,375,259
Total increase in net assets		1,727,382			25,271,143			4,059,422			27,845,252
Net Assets
Beginning of period		25,271,143			–			27,845,252			–
End of period (includes undistributed net investment income of $54,472, $54,471, $(94) and $0, respectively)	$	26,998,525		$	25,271,143		$	31,904,674		$	27,845,252

(1) Fund commenced operations on October 30, 2015.

See accompanying Notes to the Financial Statements.

43

Barings Global Floating Rate Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.13		$	9.60		$	10.20		$	10.00
Income from investment operations:
Net investment income (3)		0.16			0.44			0.44			0.30
Net realized and unrealized gain (loss) on investments		0.50			(0.45	)		(0.35	)		0.08
Total increase (decrease) from investment operations		0.66			(0.01	)		0.09			0.38
Less dividends and distributions:
From net investment income		(0.23	)		(0.46	)		(0.68	)		(0.18	)
From net realized gain		–			–			(0.01	)		–
Total dividends and distributions		(0.23	)		(0.46	)		(0.69	)		(0.18	)
Redemption fees		0.00			0.00			0.00	(4)		0.00
Net asset value, at end of period	$	9.56		$	9.13		$	9.60		$	10.20
Total investment return (5)		7.29	%(6)		(0.04	)%		0.95	%		3.81	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	31,156		$	13,980		$	5,153		$	12,464
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.46	%(8)		1.72	%		1.74	%		2.27	%(8)
Ratio of net expenses to average net assets (7)		0.97	%(8)(9)		1.05	%(10)		1.05	%(10)		1.05	%(8)(10)
Ratio of net investment income to average net assets		4.81	%(8)		4.74	%		4.44	%		3.76	%(8)
Portfolio turnover rate		44.23	%(6)		62.99	%		63.17	%		49.51	%(6)

(1) Unaudited.

(2) Fund commenced operations on September 16, 2013.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.00% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

(9) Net expenses reflect a one-time voluntary reimbursement to the Fund during the period in connection with a change to the fee waiver and/or expense reimbursement agreement.

(10) Net expenses reflect a previous fee waiver and/or expense reimbursement agreement.

See accompanying Notes to the Financial Statements.

44

Barings Global Floating Rate Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.10		$	9.57		$	10.16		$	10.00
Income from investment operations:
Net investment income (3)		0.21			0.37			0.35			0.24
Net realized and unrealized gain (loss) on investments		0.42			(0.45	)		(0.33	)		0.07
Total increase (decrease) from investment operations		0.63			(0.08	)		0.02			0.31
Less dividends and distributions:
From net investment income		(0.20	)		(0.39	)		(0.60	)		(0.15	)
From net realized gain		–			–			(0.01	)		–
Total dividends and distributions		(0.20	)		(0.39	)		(0.61	)		(0.15	)
Redemption fees		0.00			0.00			0.00	(4)		0.00
Net asset value, at end of period	$	9.53		$	9.10		$	9.57		$	10.16
Total investment return (5)		6.93	%(6)		(0.81	)%		0.30	%		3.15	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	8,158		$	6,803		$	5,461		$	2,396
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.33	%(8)		2.50	%		3.12	%		4.97	%(8)
Ratio of net expenses to average net assets (7)		1.66	%(8)(9)		1.80	%(10)		1.80	%(10)		1.80	%(8)(10)
Ratio of net investment income to average net assets		4.23	%(8)		4.04	%		3.60	%		3.07	%(8)
Portfolio turnover rate		44.23	%(6)		62.99	%		63.17	%		49.51	%(6)

(1) Unaudited.

(2) Fund commenced operations on September 16, 2013.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.75% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

(9) Net expenses reflect a one-time voluntary reimbursement to the Fund during the period in connection with a change to the fee waiver and/or expense reimbursement agreement.

(10) Net expenses reflect a previous fee waiver and/or expense reimbursement agreement.

See accompanying Notes to the Financial Statements.

45

Barings Global Floating Rate Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.15		$	9.62		$	10.21		$	10.00
Income from investment operations:
Net investment income (3)		0.23			0.47			0.46			0.30
Net realized and unrealized gain (loss) on investments		0.44			(0.45	)		(0.34	)		0.10
Total increase from investment operations		0.67			0.02			0.12			0.40
Less dividends and distributions:
From net investment income		(0.24	)		(0.49	)		(0.70	)		(0.19	)
From net realized gain		–			–			(0.01	)		–
Total dividends and distributions		(0.24	)		(0.49	)		(0.71	)		(0.19	)
Redemption fees		0.00			0.00			0.00	(4)		0.00
Net asset value, at end of period	$	9.58		$	9.15		$	9.62		$	10.21
Total investment return (5)		7.44	%(6)		0.25	%		1.34	%		4.04	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	21,040		$	19,903		$	25,885		$	32,772
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.23	%(8)		1.29	%		1.31	%		1.52	%(8)
Ratio of net expenses to average net assets (7)		0.75	%(8)		0.75	%		0.75	%		0.75	%(8)
Ratio of net investment income to average net assets		5.17	%(8)		5.07	%		4.69	%		3.72	%(8)
Portfolio turnover rate		44.23	%(6)		62.99	%		63.17	%		49.51	%(6)

(1) Unaudited.

(2) Fund commenced operations on September 16, 2013.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

46

Barings Global Floating Rate Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.15		$	9.62		$	10.21		$	10.00
Income from investment operations:
Net investment income (3)		0.20			0.47			0.45			0.30
Net realized and unrealized gain (loss) on investments		0.46			(0.45	)		(0.33	)		0.10
Total increase from investment operations		0.66			0.02			0.12			0.40
Less dividends and distributions:
From net investment income		(0.24	)		(0.49	)		(0.70	)		(0.19	)
From net realized gain		–			–			(0.01	)		–
Total dividends and distributions		(0.24	)		(0.49	)		(0.71	)		(0.19	)
Redemption fees		0.00			0.00			0.00	(4)		0.00
Net asset value, at end of period	$	9.57		$	9.15		$	9.62		$	10.21
Total investment return (5)		7.43	%(6)		0.22	%		1.28	%		4.04	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	100,093		$	125,957		$	129,659		$	66,999
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.22	%(8)		1.27	%		1.25	%		1.53	%(8)
Ratio of net expenses to average net assets (7)		0.75	%(8)		0.75	%		0.75	%		0.75	%(8)
Ratio of net investment income to average net assets		5.17	%(8)		5.08	%		4.58	%		3.80	%(8)
Portfolio turnover rate		44.23	%(6)		62.99	%		63.17	%		49.51	%(6)

(1) Unaudited.

(2) Fund commenced operations on September 16, 2013.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

47

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (2)
Per Common Share Data
Net asset value, beginning of period	$	8.80		$	9.51		$	10.45		$	10.00
Income from investment operations:
Net investment income (3)		0.27			0.56			0.54			0.40
Net realized and unrealized gain (loss) on investments		0.58			(0.66	)		(0.57	)		0.33
Total increase (decrease) from investment operations		0.85			(0.10	)		(0.03	)		0.73
Less dividends and distributions:
From net investment income		(0.29	)		(0.61	)		(0.78	)		(0.28	)
From net realized gain		–			–			(0.13	)		–
Total dividends and distributions		(0.29	)		(0.61	)		(0.91	)		(0.28	)
Redemption fees		0.00			0.00			0.00	(4)		0.00
Net asset value, at end of period	$	9.36		$	8.80		$	9.51		$	10.45
Total investment return (5)		9.73	%(6)		(0.84	)%		(0.11	)%		7.30	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	21,927		$	12,340		$	12,718		$	2,591
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.59	%(8)		1.90	%		1.98	%		3.95	%(8)
Ratio of net expenses to average net assets (7)		1.20	%(8)		1.20	%		1.20	%		1.20	%(8)
Ratio of net investment income to average net assets		6.15	%(8)		6.28	%		5.46	%		4.88	%(8)
Portfolio turnover rate		21.74	%(6)		58.08	%		84.65	%		99.72	%(6)

(1) Unaudited.

(2) Fund commenced operations on September 16, 2013.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

48

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (2)
Per Common Share Data
Net asset value, beginning of period	$	8.79		$	9.50		$	10.45		$	10.00
Income from investment operations:
Net investment income (3)		0.29			0.49			0.47			0.35
Net realized and unrealized gain (loss) on investments		0.52			(0.65	)		(0.58	)		0.32
Total increase (decrease) from investment operations		0.81			(0.16	)		(0.11	)		0.67
Less dividends and distributions:
From net investment income		(0.25	)		(0.55	)		(0.71	)		(0.22	)
From net realized gain		–			–			(0.13	)		–
Total dividends and distributions		(0.25	)		(0.55	)		(0.84	)		(0.22	)
Redemption fees		0.00			0.00			0.00	(4)		0.00
Net asset value, at end of period	$	9.35		$	8.79		$	9.50		$	10.45
Total investment return (5)		9.31	%(6)		(1.59	)%		(0.93	)%		6.75	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	4,586		$	3,578		$	3,579		$	944
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.44	%(8)		2.91	%		4.09	%		10.50	%(8)
Ratio of net expenses to average net assets (7)		1.95	%(8)		1.95	%		1.95	%		1.95	%(8)
Ratio of net investment income to average net assets		5.45	%(8)		5.50	%		4.79	%		4.39	%(8)
Portfolio turnover rate		21.74	%(6)		58.08	%		84.65	%		99.72	%(6)

(1) Unaudited.

(2) Fund commenced operations on September 16, 2013.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

49

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (2)
Per Common Share Data
Net asset value, beginning of period	$	8.80		$	9.51		$	10.46		$	10.00
Income from investment operations:
Net investment income (3)		0.30			0.58			0.56			0.41
Net realized and unrealized gain (loss) on investments		0.56			(0.65	)		(0.58	)		0.35
Total increase (decrease) from investment operations		0.86			(0.07	)		(0.02	)		0.76
Less dividends and distributions:
From net investment income		(0.30	)		(0.64	)		(0.80	)		(0.30	)
From net realized gain		–			–			(0.13	)		–
Total dividends and distributions		(0.30	)		(0.64	)		(0.93	)		(0.30	)
Redemption fees		0.00			0.00			0.00	(4)		0.00
Net asset value, at end of period	$	9.36		$	8.80		$	9.51		$	10.46
Total investment return (5)		9.86	%(6)		(0.61	)%		0.05	%		7.59	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	26,272		$	24,689		$	26,428		$	26,406
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.30	%(8)		1.54	%		1.58	%		1.83	%(8)
Ratio of net expenses to average net assets (7)		0.95	%(8)		0.95	%		0.95	%		0.95	%(8)
Ratio of net investment income to average net assets		6.49	%(8)		6.54	%		5.69	%		5.02	%(8)
Portfolio turnover rate		21.74	%(6)		58.08	%		84.65	%		99.72	%(6)

(1) Unaudited.

(2) Fund commenced operations on September 16, 2013.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

50

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (2)
Per Common Share Data
Net asset value, beginning of period	$	8.80		$	9.51		$	10.46		$	10.00
Income from investment operations:
Net investment income (3)		0.31			0.59			0.56			0.41
Net realized and unrealized gain (loss) on investments		0.55			(0.66	)		(0.58	)		0.35
Total increase (decrease) from investment operations		0.86			(0.07	)		(0.02	)		0.76
Less dividends and distributions:
From net investment income		(0.30	)		(0.64	)		(0.80	)		(0.30	)
From net realized gain		–			–			(0.13	)		–
Total dividends and distributions		(0.30	)		(0.64	)		(0.93	)		(0.30	)
Redemption fees		0.00			0.00			0.00	(4)		0.00
Net asset value, at end of period	$	9.36		$	8.80		$	9.51		$	10.46
Total investment return (5)		9.86	%(6)		(0.61	)%		0.05	%		7.59	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	70,136		$	58,312		$	39,006		$	33,885
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.30	%(8)		1.55	%		1.58	%		1.84	%(8)
Ratio of net expenses to average net assets (7)		0.95	%(8)		0.95	%		0.95	%		0.95	%(8)
Ratio of net investment income to average net assets		6.47	%(8)		6.56	%		5.67	%		5.04	%(8)
Portfolio turnover rate		21.74	%(6)		58.08	%		84.65	%		99.72	%(6)

(1) Unaudited.

(2) Fund commenced operations on September 16, 2013.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

51

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.98		$	10.00
Income from investment operations:
Net investment income (3)		0.08			0.15
Net realized and unrealized loss on investments		(0.04	)		(0.03	)(4)
Total increase from investment operations		0.04			0.12
Less dividends and distributions:
From net investment income		(0.08	)		(0.14	)
From net realized gain		(0.00	)(5)		–
Total dividends and distributions		(0.08	)		(0.14	)
Net asset value, at end of period	$	9.94		$	9.98
Total investment return (6)		0.42	%(7)		1.17	%(7)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	94,343		$	39,992
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.97	%(9)		1.18	%(9)
Ratio of net expenses to average net assets (8)		0.65	%(9)		0.65	%(9)
Ratio of net investment income to average net assets		1.53	%(9)		1.51	%(9)
Portfolio turnover rate		59.76	%(7)		218.67	%(7)

(1) Unaudited.

(2) Fund commenced operations on July 8, 2015.

(3) Calculated using average shares outstanding.

(4) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(5) Amount rounds to less than $.01 per share.

(6) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(7) Not annualized.

(8) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .65% as a percentage of average daily net assets.

(9) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

52

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.97		$	10.00
Income from investment operations:
Net investment income (3)		0.12			0.07
Net realized and unrealized loss on investments		(0.04	)		(0.03	)(4)
Total increase from investment operations		0.08			0.04
Less dividends and distributions:
From net investment income		(0.12	)		(0.07	)
From net realized gain		(0.00	)(5)		–
Total dividends and distributions		(0.12	)		(0.07	)
Net asset value, at end of period	$	9.93		$	9.97
Total investment return (6)		0.84	%(7)(8)		0.39	%(7)(9)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	268		$	257
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.51	%(8)(11)		5.44	%(9)(11)
Ratio of net expenses to average net assets (10)		(0.15	)%(8)(11)		1.40	%(9)(11)
Ratio of net investment income to average net assets		2.35	%(8)(11)		0.71	%(9)(11)
Portfolio turnover rate		59.76	%(7)		218.67	%(7)

(1) Unaudited.

(2) Fund commenced operations on July 8, 2015.

(3) Calculated using average shares outstanding.

(4) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(5) Amount rounds to less than $.01 per share.

(6) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(7) Not annualized.

(8) Expenses shown reflect a reimbursement to the Fund during the period for an overaccrual of 12b-1 fees made during and prior to the period.

(9) Expenses shown reflect an overaccrual of 12b-1 fees for the period of $1,478 or 0.50% of average net assets over the period. Subsequent to the period, the Fund was reimbursed for the overaccrued amount.

(10) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.90% as a percentage of average daily net assets.

(11) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

53

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.97		$	10.00
Income from investment operations:
Net investment income (3)		0.09			0.16
Net realized and unrealized loss on investments		(0.03	)		(0.03	)(4)
Total increase from investment operations		0.06			0.13
Less dividends and distributions:
From net investment income		(0.09	)		(0.16	)
From net realized gain		(0.00	)(5)		—
Total dividends and distributions		(0.09	)		(0.16	)
Net asset value, at end of period	$	9.94		$	9.97
Total investment return (6)		0.62	%(7)		1.35	%(7)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	99		$	5,971
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.37	%(9)		0.96	%(9)
Ratio of net expenses to average net assets (8)		0.40	%(9)		0.44	%(9)
Ratio of net investment income to average net assets		1.82	%(9)		1.67	%(9)
Portfolio turnover rate		59.76	%(7)		218.67	%(7)

(1) Unaudited.

(2) Fund commenced operations on July 8, 2015.

(3) Calculated using average shares outstanding.

(4) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(5) Amount rounds to less than $.01 per share.

(6) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(7) Not annualized.

(8) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .40% as a percentage of average daily net assets.

(9) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

54

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.97		$	10.00
Income from investment operations:
Net investment income (3)		0.09			0.17
Net realized and unrealized loss on investments		(0.04	)		(0.04	)(4)
Total increase from investment operations		0.05			0.13
Less dividends and distributions:
From net investment income		(0.09	)		(0.16	)
From net realized gain		(0.00	)(5)		–
Total dividends and distributions		(0.09	)		(0.16	)
Net asset value, at end of period	$	9.93		$	9.97
Total investment return (6)		0.57	%(7)		1.36	%(7)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	153,506		$	109,645
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.74	%(9)		0.87	%(9)
Ratio of net expenses to average net assets (8)		0.40	%(9)		0.41	%(9)
Ratio of net investment income to average net assets		1.79	%(9)		1.73	%(9)
Portfolio turnover rate		59.76	%(7)		218.67	%(7)

(1) Unaudited.

(2) Fund commenced operations on July 8, 2015.

(3) Calculated using average shares outstanding.

(4) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(5) Amount rounds to less than $.01 per share.

(6) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(7) Not annualized.

(8) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .40% as a percentage of average daily net assets.

(9) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

55

Barings Total Return Bond Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.18		$	10.00
Income from investment operations:
Net investment income (3)		0.14			0.25
Net realized and unrealized gain (loss) on investments		(0.27	)		0.20
Total increase (decrease) from investment operations		(0.13	)		0.45
Less dividends and distributions:
From net investment income		(0.14	)		(0.25	)
From net realized gain		–			(0.02	)
Total dividends and distributions		(0.14	)		(0.27	)
Net asset value, at end of period	$	9.91		$	10.18
Total investment return (4)		(1.38	)%(5)		4.63	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	220		$	211
Ratio of total expenses (before reductions and reimbursements) to average net assets		3.57	%(7)		5.60	%(7)
Ratio of net expenses to average net assets (6)(8)		0.80	%(7)		0.80	%(7)
Ratio of net investment income to average net assets		2.68	%(7)		2.52	%(7)
Portfolio turnover rate		125.07	%(5)		434.37	%(5)

(1) Unaudited.

(2) Fund commenced operations on July 8, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

(8) Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests.

See accompanying Notes to the Financial Statements.

56

Barings Total Return Bond Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.18		$	10.00
Income from investment operations:
Net investment income (3)		0.10			0.17
Net realized and unrealized gain (loss) on investments		(0.27	)		0.21
Total increase (decrease) from investment operations		(0.17	)		0.38
Less dividends and distributions:
From net investment income		(0.10	)		(0.18	)
From net realized gain		–			(0.02	)
Total dividends and distributions		(0.10	)		(0.20	)
Net asset value, at end of period	$	9.91		$	10.18
Total investment return (4)		(1.75	)%(5)		3.87	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	199		$	204
Ratio of total expenses (before reductions and reimbursements) to average net assets		4.47	%(7)		6.38	%(7)
Ratio of net expenses to average net assets (6)(8)		1.55	%(7)		1.55	%(7)
Ratio of net investment income to average net assets		1.92	%(7)		1.77	%(7)
Portfolio turnover rate		125.07	%(5)		434.37	%(5)

(1) Unaudited.

(2) Fund commenced operations on July 8, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.55% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

(8) Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests.

See accompanying Notes to the Financial Statements.

57

Barings Total Return Bond Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.18		$	10.00
Income from investment operations:
Net investment income (3)		0.15			0.27
Net realized and unrealized gain (loss) on investments		(0.27	)		0.20
Total increase (decrease) from investment operations		(0.12	)		0.47
Less dividends and distributions:
From net investment income		(0.15	)		(0.27	)
From net realized gain		–			(0.02	)
Total dividends and distributions		(0.15	)		(0.29	)
Net asset value, at end of period	$	9.91		$	10.18
Total investment return (4)		(1.25	)%(5)		4.89	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	12,242		$	12,582
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.29	%(7)		1.37	%(7)
Ratio of net expenses to average net assets (6)(8)		0.55	%(7)		0.55	%(7)
Ratio of net investment income to average net assets		2.92	%(7)		2.77	%(7)
Portfolio turnover rate		125.07	%(5)		434.37	%(5)

(1) Unaudited.

(2) Fund commenced operations on July 8, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .55% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

(8) Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests.

See accompanying Notes to the Financial Statements.

58

Barings Total Return Bond Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.18		$	10.00
Income from investment operations:
Net investment income (3)		0.15			0.27
Net realized and unrealized gain (loss) on investments		(0.27	)		0.20
Total increase (decrease) from investment operations		(0.12	)		0.47
Less dividends and distributions:
From net investment income		(0.15	)		(0.27	)
From net realized gain		–			(0.02	)
Total dividends and distributions		(0.15	)		(0.29	)
Net asset value, at end of period	$	9.91		$	10.18
Total investment return (4)		(1.25	)%(5)		4.89	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	15,245		$	13,011
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.28	%(7)		1.36	%(7)
Ratio of net expenses to average net assets (6)(8)		0.55	%(7)		0.55	%(7)
Ratio of net investment income to average net assets		2.94	%(7)		2.77	%(7)
Portfolio turnover rate		125.07	%(5)		434.37	%(5)

(1) Unaudited.

(2) Fund commenced operations on July 8, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .55% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

(8) Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests.

See accompanying Notes to the Financial Statements.

59

Barings Emerging Markets Debt Blended Total Return Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.90		$	10.00
Income from investment operations:
Net investment income (3)		0.27			0.43
Net realized and unrealized loss on investments		(0.19	)		(0.19	)
Total increase from investment operations		0.08			0.24
Less dividends and distributions:
From net investment income		(0.25	)		(0.34	)
From net realized gain		–			(0.00	)(4)
Total dividends and distributions		(0.25	)		(0.34	)
Net asset value, at end of period	$	9.73		$	9.90
Total investment return (5)		0.77	%(6)		2.62	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	195		$	198
Ratio of total expenses (before reductions and reimbursements) to average net assets		5.73	%(8)		6.82	%(8)
Ratio of net expenses to average net assets (7)		1.09	%(8)(9)		1.16	%(8)
Ratio of net investment income to average net assets		5.28	%(8)		6.52	%(8)
Portfolio turnover rate		35.31	%(6)		83.26	%(6)

(1) Unaudited.

(2) Fund commenced operations on October 21, 2015.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

(9) Net expenses reflect voluntary expense reimbursements to prevent a negative yield.

See accompanying Notes to the Financial Statements.

60

Barings Emerging Markets Debt Blended Total Return Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.90		$	10.00
Income from investment operations:
Net investment income (3)		0.24			0.38
Net realized and unrealized loss on investments		(0.20	)		(0.19	)
Total increase from investment operations		0.04			0.19
Less dividends and distributions:
From net investment income		(0.21	)		(0.29	)
From net realized gain		–			(0.00	)(4)
Total dividends and distributions		(0.21	)		(0.29	)
Net asset value, at end of period	$	9.73		$	9.90
Total investment return (5)		0.40	%(6)		2.10	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	200		$	198
Ratio of total expenses (before reductions and reimbursements) to average net assets		6.46	%(8)		7.57	%(8)
Ratio of net expenses to average net assets (7)		1.83	%(8)(9)		1.90	%(8)
Ratio of net investment income to average net assets		4.54	%(8)		5.79	%(8)
Portfolio turnover rate		35.31	%(6)		83.26	%(6)

(1) Unaudited.

(2) Fund commenced operations on October 21, 2015.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

(9) Net expenses reflect voluntary expense reimbursements to prevent a negative yield.

See accompanying Notes to the Financial Statements.

61

Barings Emerging Markets Debt Blended Total Return Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.90		$	10.00
Income from investment operations:
Net investment income (3)		0.28			0.45
Net realized and unrealized loss on investments		(0.19	)		(0.19	)
Total increase from investment operations		0.09			0.26
Less dividends and distributions:
From net investment income		(0.26	)		(0.36	)
From net realized gain		–			(0.00	)(4)
Total dividends and distributions		(0.26	)		(0.36	)
Net asset value, at end of period	$	9.73		$	9.90
Total investment return (5)		0.90	%(6)		2.79	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	4,672		$	4,753
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.48	%(8)		2.58	%(8)
Ratio of net expenses to average net assets (7)		0.85	%(8)(9)		0.92	%(8)
Ratio of net investment income to average net assets		5.53	%(8)		6.77	%(8)
Portfolio turnover rate		35.31	%(6)		83.26	%(6)

(1) Unaudited.

(2) Fund commenced operations on October 21, 2015.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

(9) Net expenses reflect voluntary expense reimbursements to prevent a negative yield.

See accompanying Notes to the Financial Statements.

62

Barings Emerging Markets Debt Blended Total Return Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	9.90		$	10.00
Income from investment operations:
Net investment income (3)		0.28			0.45
Net realized and unrealized loss on investments		(0.19	)		(0.19	)
Total increase from investment operations		0.09			0.26
Less dividends and distributions:
From net investment income		(0.26	)		(0.36	)
From net realized gain		–			(0.00	)(4)
Total dividends and distributions		(0.26	)		(0.36	)
Net asset value, at end of period	$	9.73		$	9.90
Total investment return (5)		0.90	%(6)		2.79	%(6)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	4,680		$	4,754
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.48	%(8)		2.58	%(8)
Ratio of net expenses to average net assets (7)		0.85	%(8)(9)		0.92	%(8)
Ratio of net investment income to average net assets		5.53	%(8)		6.77	%(8)
Portfolio turnover rate		35.31	%(6)		83.26	%(6)

(1) Unaudited.

(2) Fund commenced operations on October 21, 2015.

(3) Calculated using average shares outstanding.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets.

(8) Annualized for periods less than one full year.

(9) Net expenses reflect voluntary expense reimbursements to prevent a negative yield.

See accompanying Notes to the Financial Statements.

63

Barings Emerging Markets Local Currency Debt Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.92		$	10.00
Income from investment operations:
Net investment income (3)		0.05			0.50
Net realized and unrealized gain (loss) on investments		(0.42	)		0.73
Total increase (decrease) from investment operations		(0.37	)		1.23
Less dividends and distributions:
From net investment income		(0.78	)		(0.31	)
From net realized gain		(0.18	)		–
Total dividends and distributions		(0.96	)		(0.31	)
Net asset value, at end of period	$	9.59		$	10.92
Total investment return (4)		(3.45	)%(5)		12.58	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	96		$	109
Ratio of total expenses (before reductions and reimbursements) to average net assets		7.95	%(7)		8.55	%(7)
Ratio of net expenses to average net assets (6)		0.98	%(7)(8)		1.08	%(7)
Ratio of net investment income to average net assets		0.98	%(7)		8.82	%(7)
Portfolio turnover rate		38.78	%(5)		37.68	%(5)

(1) Unaudited.

(2) Fund commenced operations on December 8, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

(8) Net expenses reflect voluntary expense reimbursements to prevent a negative yield.

See accompanying Notes to the Financial Statements.

64

Barings Emerging Markets Local Currency Debt Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.92		$	10.00
Income from investment operations:
Net investment income (3)		0.01			0.46
Net realized and unrealized gain (loss) on investments		(0.42	)		0.73
Total increase (decrease) from investment operations		(0.41	)		1.19
Less dividends and distributions:
From net investment income		(0.74	)		(0.27	)
From net realized gain		(0.18	)		–
Total dividends and distributions		(0.92	)		(0.27	)
Net asset value, at end of period	$	9.59		$	10.92
Total investment return (4)		(3.81	)%(5)		12.13	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	96		$	109
Ratio of total expenses (before reductions and reimbursements) to average net assets		8.70	%(7)		9.30	%(7)
Ratio of net expenses to average net assets (6)		1.72	%(7)(8)		1.81	%(7)
Ratio of net investment income to average net assets		0.24	%(7)		8.09	%(7)
Portfolio turnover rate		38.78	%(5)		37.68	%(5)

(1) Unaudited.

(2) Fund commenced operations on December 8, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

(8) Net expenses reflect voluntary expense reimbursements to prevent a negative yield.

See accompanying Notes to the Financial Statements.

65

Barings Emerging Markets Local Currency Debt Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.92		$	10.00
Income from investment operations:
Net investment income (3)		0.07			0.52
Net realized and unrealized gain (loss) on investments		(0.43	)		0.73
Total increase (decrease) from investment operations		(0.36	)		1.25
Less dividends and distributions:
From net investment income		(0.79	)		(0.33	)
From net realized gain		(0.18	)		–
Total dividends and distributions		(0.97	)		(0.33	)
Net asset value, at end of period	$	9.59		$	10.92
Total investment return (4)		(3.33	)%(5)		12.73	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	2,302		$	2,621
Ratio of total expenses (before reductions and reimbursements) to average net assets		3.67	%(7)		4.03	%(7)
Ratio of net expenses to average net assets (6)		0.73	%(7)(8)		0.84	%(7)
Ratio of net investment income to average net assets		1.22	%(7)		9.07	%(7)
Portfolio turnover rate		38.78	%(5)		37.68	%(5)

(1) Unaudited.

(2) Fund commenced operations on December 8, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

(8) Net expenses reflect voluntary expense reimbursements to prevent a negative yield.

See accompanying Notes to the Financial Statements.

66

Barings Emerging Markets Local Currency Debt Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.92		$	10.00
Income from investment operations:
Net investment income (3)		0.07			0.52
Net realized and unrealized gain (loss) on investments		(0.43	)		0.73
Total increase (decrease) from investment operations		(0.36	)		1.25
Less dividends and distributions:
From net investment income		(0.79	)		(0.33	)
From net realized gain		(0.18	)		–
Total dividends and distributions		(0.97	)		(0.33	)
Net asset value, at end of period	$	9.59		$	10.92
Total investment return (4)		(3.33	)%(5)		12.73	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	2,302		$	2,621
Ratio of total expenses (before reductions and reimbursements) to average net assets		3.67	%(7)		4.03	%(7)
Ratio of net expenses to average net assets (6)		0.73	%(7)(8)		0.84	%(7)
Ratio of net investment income to average net assets		1.22	%(7)		9.07	%(7)
Portfolio turnover rate		38.78	%(5)		37.68	%(5)

(1) Unaudited.

(2) Fund commenced operations on December 8, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

(8) Net expenses reflect voluntary expense reimbursements to prevent a negative yield.

See accompanying Notes to the Financial Statements.

67

Barings Global High Yield Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.05		$	10.00
Income from investment operations:
Net investment income (3)		0.33			0.38
Net realized and unrealized gain on investments		0.55			0.05
Total increase from investment operations		0.88			0.43
Less dividends and distributions:
From net investment income		(0.33	)		(0.38	)
From net realized gain		(0.38	)		–
Total dividends and distributions		(0.71	)		(0.38	)
Net asset value, at end of period	$	10.22		$	10.05
Total investment return (4)		8.88	%(5)		4.45	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	107		$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets		6.40	%(7)		7.14	%(7)
Ratio of net expenses to average net assets (6)		1.05	%(7)		1.04	%(7)
Ratio of net investment income to average net assets		6.30	%(7)		5.83	%(7)
Portfolio turnover rate		41.80	%(5)		83.24	%(5)

(1) Unaudited.

(2) Fund commenced operations on October 30, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.05% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

68

Barings Global High Yield Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.05		$	10.00
Income from investment operations:
Net investment income (3)		0.29			0.33
Net realized and unrealized gain on investments		0.55			0.05
Total increase from investment operations		0.84			0.38
Less dividends and distributions:
From net investment income		(0.29	)		(0.33	)
From net realized gain		(0.38	)		–
Total dividends and distributions		(0.67	)		(0.33	)
Net asset value, at end of period	$	10.22		$	10.05
Total investment return (4)		8.47	%(5)		3.94	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	196		$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets		5.38	%(7)		7.89	%(7)
Ratio of net expenses to average net assets (6)		1.80	%(7)		1.78	%(7)
Ratio of net investment income to average net assets		5.47	%(7)		5.09	%(7)
Portfolio turnover rate		41.80	%(5)		83.24	%(5)

(1) Unaudited.

(2) Fund commenced operations on October 30, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.80% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

69

Barings Global High Yield Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.05		$	10.00
Income from investment operations:
Net investment income (3)		0.34			0.39
Net realized and unrealized gain on investments		0.55			0.05
Total increase from investment operations		0.89			0.44
Less dividends and distributions:
From net investment income		(0.34	)		(0.39	)
From net realized gain		(0.38	)		–
Total dividends and distributions		(0.72	)		(0.39	)
Net asset value, at end of period	$	10.22		$	10.05
Total investment return (4)		9.02	%(5)		4.62	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	12,676		$	12,466
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.43	%(7)		1.51	%(7)
Ratio of net expenses to average net assets (6)		0.80	%(7)		0.79	%(7)
Ratio of net investment income to average net assets		6.55	%(7)		6.08	%(7)
Portfolio turnover rate		41.80	%(5)		83.24	%(5)

(1) Unaudited.

(2) Fund commenced operations on October 30, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

70

Barings Global High Yield Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.05		$	10.00
Income from investment operations:
Net investment income (3)		0.34			0.39
Net realized and unrealized gain on investments		0.55			0.05
Total increase from investment operations		0.89			0.44
Less dividends and distributions:
From net investment income		(0.34	)		(0.39	)
From net realized gain		(0.38	)		–
Total dividends and distributions		(0.72	)		(0.39	)
Net asset value, at end of period	$	10.22		$	10.05
Total investment return (4)		9.02	%(5)		4.62	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	14,020		$	12,604
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.43	%(7)		1.51	%(7)
Ratio of net expenses to average net assets (6)		0.80	%(7)		0.79	%(7)
Ratio of net investment income to average net assets		6.54	%(7)		6.08	%(7)
Portfolio turnover rate		41.80	%(5)		83.24	%(5)

(1) Unaudited.

(2) Fund commenced operations on October 30, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

71

Barings U.S. High Yield Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.14		$	10.00
Income from investment operations:
Net investment income (3)		0.33			0.39
Net realized and unrealized gain on investments		0.45			0.13
Total increase from investment operations		0.78			0.52
Less dividends and distributions:
From net investment income		(0.33	)		(0.38	)
From net realized gain		(0.19	)		–
Total dividends and distributions		(0.52	)		(0.38	)
Net asset value, at end of period	$	10.40		$	10.14
Total investment return (4)		7.74	%(5)		5.36	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	2,238		$	206
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.77	%(7)		5.47	%(7)
Ratio of net expenses to average net assets (6)		1.00	%(7)		0.99	%(7)
Ratio of net investment income to average net assets		6.27	%(7)		5.93	%(7)
Portfolio turnover rate		29.21	%(5)		77.52	%(5)

(1) Unaudited.

(2) Fund commenced operations on October 30, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.00% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

72

Barings U.S. High Yield Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.14		$	10.00
Income from investment operations:
Net investment income (3)		0.29			0.33
Net realized and unrealized gain on investments		0.45			0.14
Total increase from investment operations		0.74			0.47
Less dividends and distributions:
From net investment income		(0.29	)		(0.33	)
From net realized gain		(0.19	)		–
Total dividends and distributions		(0.48	)		(0.33	)
Net asset value, at end of period	$	10.40		$	10.14
Total investment return (4)		7.35	%(5)		4.85	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	110		$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets		6.53	%(7)		7.30	%(7)
Ratio of net expenses to average net assets (6)		1.75	%(7)		1.73	%(7)
Ratio of net investment income to average net assets		5.57	%(7)		5.08	%(7)
Portfolio turnover rate		29.21	%(5)		77.52	%(5)

(1) Unaudited.

(2) Fund commenced operations on October 30, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.75% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

73

Barings U.S. High Yield Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.14		$	10.00
Income from investment operations:
Net investment income (3)		0.34			0.40
Net realized and unrealized gain on investments		0.45			0.13
Total increase from investment operations		0.79			0.53
Less dividends and distributions:
From net investment income		(0.34	)		(0.39	)
From net realized gain		(0.19	)		–
Total dividends and distributions		(0.53	)		(0.39	)
Net asset value, at end of period	$	10.40		$	10.14
Total investment return (4)		7.89	%(5)		5.53	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	15,365		$	14,863
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.28	%(7)		1.38	%(7)
Ratio of net expenses to average net assets (6)		0.75	%(7)		0.74	%(7)
Ratio of net investment income to average net assets		6.57	%(7)		6.11	%(7)
Portfolio turnover rate		29.21	%(5)		77.52	%(5)

(1) Unaudited.

(2) Fund commenced operations on October 30, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

74

Barings U.S. High Yield Fund 2016 Semi-Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (1)			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (2)
Per Common Share Data
Net asset value, beginning of period	$	10.14		$	10.00
Income from investment operations:
Net investment income (3)		0.34			0.39
Net realized and unrealized gain on investments		0.45			0.14
Total increase from investment operations		0.79			0.53
Less dividends and distributions:
From net investment income		(0.34	)		(0.39	)
From net realized gain		(0.19	)		–
Total dividends and distributions		(0.53	)		(0.39	)
Net asset value, at end of period	$	10.40		$	10.14
Total investment return (4)		7.88	%(5)		5.52	%(5)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	14,192		$	12,675
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.28	%(7)		1.42	%(7)
Ratio of net expenses to average net assets (6)		0.75	%(7)		0.74	%(7)
Ratio of net investment income to average net assets		6.56	%(7)		6.06	%(7)
Portfolio turnover rate		29.21	%(5)		77.52	%(5)

(1) Unaudited.

(2) Fund commenced operations on October 30, 2015.

(3) Calculated using average shares outstanding.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

(7) Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

75

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS

December 31, 2016 (Unaudited)

						SHARES		COST		FAIR VALUE
Common Stocks — 0.1%*:
Mining, Steel, Iron and Non-Precious Metals — 0.0%*:
Boomerang Tube LLC¤(1)							2,007		$—		$—
Oil and Gas — 0.1%*:
Sabine Oil & Gas LLC¤							1,230		5,523		8,610
Sabine Oil & Gas LLC¤							219		595		1,314
Sabine Oil & Gas LLC¤							387		22,597		17,415
Southcross Energy Partners LP							22		5,500		7,810
Southcross Holdings LP¤							22		—		—
Templar Energy LLC							8,219		47,506		51,369
Templar Energy LLC							5,479		54,790		65,748
Total Oil and Gas							15,578		136,511		152,266
Total Common Stocks							17,585		136,511		152,266
	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 91.6%*:
Bank Loans — 83.4%*§:
Aerospace and Defense — 1.0%*:
Doncasters Finance US LLC		4.50	%		4/9/2020		1,689,030		1,650,621		1,640,048
Automobile — 2.8%*:
FPC Holdings, Inc.		5.25			11/19/2019		485,063		432,071		456,968
Gates Global LLC		4.25			7/6/2021		1,449,802		1,445,899		1,449,802
NN, Inc.		5.00			10/19/2022		936,643		938,987		943,668
Tectum Holdings, Inc.		5.75			8/24/2023		1,570,821		1,569,045		1,590,456
Total Automobile							4,442,329		4,386,002		4,440,894
Beverage, Food and Tobacco — 2.0%*:
CTI Foods Holding Co. LLC		4.50			6/29/2020		1,371,856		1,363,031		1,351,279
Del Monte Foods, Inc.		4.25			2/18/2021		1,489,920		1,385,478		1,363,277
Deoleo S.A.+		4.50			6/11/2021		500,000		677,556		450,208
Total Beverage, Food and Tobacco							3,361,776		3,426,065		3,164,764
Broadcasting and Entertainment — 2.7%*:
All3Media International+		5.25			6/30/2021		1,500,000		2,303,573		1,829,443
AP NMT Acquisition B.V.+		6.75			8/13/2021		1,104,671		1,040,642		1,015,899
AP NMT Acquisition B.V.+		7.00			8/13/2021		532,232		644,671		518,835
AP NMT Acquisition B.V.+		10.00			8/13/2022		182,721		155,572		145,915
DLG Acquisitions Ltd.+		8.25			6/30/2022		500,000		672,347		511,062
Tech Finance & Co. S.C.A+		5.00			7/11/2020		319,459		357,334		337,436
Total Broadcasting and Entertainment							4,139,083		5,174,139		4,358,590

See accompanying Notes to the Financial Statements.

76

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Buildings and Real Estate — 1.8%*:
Cemex SAB de CV+		3.25	%		7/23/2020		97,070		$106,733		$101,158
Cemex SAB de CV+		4.02			7/23/2020		441,849		441,849		435,500
Jeld-Wen, Inc.		4.75			7/1/2022		995,703		998,828		1,006,905
Quikrete Holdings, Inc.		4.00			11/15/2023		1,427,119		1,437,506		1,440,206
Total Buildings and Real Estate							2,961,741		2,984,916		2,983,769
Chemicals, Plastics and Rubber — 4.9%*:
Allnex (Luxembourg) & Cy S.C.A.+		5.00			9/13/2023		698,250		789,562		743,833
Allnex (Luxembourg) & Cy S.C.A.+		5.13			9/13/2023		426,673		424,621		428,807
Allnex USA, Inc.		5.13			9/13/2023		321,452		319,905		323,059
Flint Group GmbH+		4.50			9/7/2021		89,648		89,041		89,984
Flint Group US LLC+		4.50			9/7/2021		542,298		538,624		544,332
INEOS Styrolution Group GmbH+		4.75			9/30/2021		417,609		474,836		445,790
Methanol Holdings (Trinidad) Ltd.+		4.27			6/30/2022		1,118,429		1,109,624		1,091,867
Novacap S.A.+		4.25			6/22/2023		500,000		558,248		530,141
OXEA Finance & Cy S.C.A.+		4.50			1/15/2020		492,386		521,783		500,252
OXEA Finance LLC+		4.25			1/15/2020		350,507		345,968		341,306
Platform Specialty Products Corp.		4.25			6/7/2020		493,763		533,506		523,439
Platform Specialty Products Corp.		4.50			6/5/2020		862,439		863,344		871,426
Tronox Pigments (Netherlands) B.V.+		4.50			3/19/2020		1,389,203		1,344,848		1,393,829
Total Chemicals, Plastics and Rubber							7,702,657		7,913,910		7,828,065
Containers, Packaging and Glass — 6.4%*:
Consolidated Container Co. LLC		4.75			7/3/2019		1,650,268		1,647,612		1,658,519
Consolidated Container Co. LLC		7.75			1/3/2020		188,280		186,228		184,044
Mauser US Corporate LLC+		4.50			7/31/2021		1,548,547		1,548,678		1,558,225
Mauser US Corporate LLC+		8.75			7/31/2022		120,928		103,221		120,324
Multi Packaging Solutions, Inc.		4.25			9/30/2020		278,163		275,710		278,163
ProAmpac Intermediate Inc.		9.50			11/18/2024		750,000		738,900		750,000
Prolampac Intermediate Inc.		5.00			11/18/2023		750,000		753,734		757,972
Reynolds Group Holdings, Inc.		4.25			2/5/2023		1,778,484		1,787,451		1,800,305
Signode Industrial Group US, Inc.		4.00			5/1/2021		1,521,971		1,528,129		1,533,386
Tekni-Plex, Inc.		4.50			6/1/2022		1,655,079		1,636,793		1,661,286
Total Containers, Packaging and Glass							10,241,720		10,206,456		10,302,224
Diversified/Conglomerate Manufacturing — 1.3%*:
MTS Systems Corp.		5.00			7/5/2023		391,827		388,173		396,972
Pelican Products, Inc.		5.25			4/10/2020		967,841		966,289		961,192
STS Operating, Inc.		4.75			2/12/2021		302,043		302,289		289,961
Triple Point Technology, Inc.		5.25			7/10/2020		334,622		317,234		295,026
Triple Point Technology, Inc.††		9.25			7/10/2021		145,676		138,825		103,431
West Corp.		2.77			7/1/2019		53,942		52,892		53,537
Total Diversified/Conglomerate Manufacturing							2,195,951		2,165,702		2,100,119

See accompanying Notes to the Financial Statements.

77

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Diversified/Conglomerate Service — 6.8%*:
Acosta Holdco, Inc.		4.25	%		9/26/2021		1,174,748	$	1,168,101	$	1,143,911
Aquilex Holdings LLC		5.00			12/31/2020		183,676		183,412		178,855
Atrium Innovations, Inc.		4.25			2/13/2021		1,611,587		1,604,156		1,611,587
Garda World Security Corp.+		4.00			11/6/2020		84,179		84,011		84,179
Garda World Security Corp.+		4.00			11/8/2020		88,458		88,305		88,458
Northgate Information Solutions Ltd.+		6.50			3/23/2022		500,000		520,776		503,430
PowerTeam Services, LLC		8.25			11/6/2020		500,000		497,220		497,500
Prime Security Services Borrower, LLC		4.25			5/2/2022		1,502,353		1,506,101		1,524,137
Quest Software US Holdings, Inc.		7.00			10/31/2022		1,499,130		1,483,365		1,516,939
RP Crown Parent, LLC		4.50			10/12/2023		1,778,012		1,773,037		1,795,347
Triangle FM Services Holding GmbH+		5.25			8/31/2023		500,000		552,965		531,789
VF Holding Corp.		4.75			6/30/2023		1,496,250		1,499,452		1,499,450
Total Diversified/Conglomerate Service							10,918,393		10,960,901		10,975,582
Ecological — 0.8%*:
Emerald 3 Ltd.+		8.00			5/31/2022		390,426		387,746		339,671
Emerald US, Inc.+		5.00			5/9/2021		600,000		554,250		534,000
PHS Group Ltd.+		6.25			4/17/2020		299,197		369,978		368,730
Total Ecological							1,289,623		1,311,974		1,242,401
Electronics — 5.2%*:
First Data Corp.		3.76			7/10/2022		953,925		963,339		963,665
Informatica Corp.		4.50			8/5/2022		654,861		652,725		651,312
Kronos, Inc.		5.00			11/1/2023		1,111,111		1,116,667		1,124,133
MH Sub I, LLC		4.75			7/8/2021		578,536		576,382		581,069
Renaissance Learning, Inc.		4.50			4/9/2021		1,471,010		1,456,097		1,474,070
Sophia, L.P.		4.75			9/30/2022		1,106,638		1,117,704		1,117,018
Tessera Holding Corp.		4.00			12/1/2023		1,500,000		1,499,192		1,512,195
Western Digital Corp.		4.52			4/29/2023		944,206		949,500		958,662
Total Electronics							8,320,287		8,331,606		8,382,124
Finance — 4.2%*:
Alliant Holdings I, Inc.		4.75			8/12/2022		1,234,336		1,225,380		1,239,742
Cunningham Lindsey U.S., Inc.		5.03			12/10/2019		481,024		479,882		402,377
Cunningham Lindsey U.S., Inc.		9.32			6/10/2020		748,546		749,608		348,074
GENEX Holdings, Inc.		5.25			5/30/2021		1,481,013		1,476,659		1,469,905
Moneygram International, Inc.		4.25			3/27/2020		1,290,447		1,227,427		1,273,245
SAM Finance Lux S.A.R.L+		5.00			12/17/2020		335,477		542,214		415,096
Sedgwick Claims Management Services, Inc.		3.75			3/1/2021		984,968		982,392		986,376
Sedgwick Claims Management Services, Inc.		6.75			2/28/2022		561,418		560,950		560,015
Total Finance							7,117,229		7,244,512		6,694,830
Healthcare, Education and Childcare — 14.8%*:
Alere, Inc.		4.25			6/18/2022		1,120,234		1,118,662		1,118,833
Arbor Pharmaceuticals, Inc.		6.00			7/5/2023		1,606,733		1,587,811		1,620,792

See accompanying Notes to the Financial Statements.

78

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Healthcare, Education and Childcare (Continued)
CareCore National, LLC		5.50	%		3/5/2021		660,304	$	660,054	$	648,749
Community Health Systems, Inc.		4.18			12/31/2018		1,740,261		1,730,269		1,709,806
Concentra, Inc.		4.00			6/1/2022		1,492,424		1,478,093		1,496,155
Envision Healthcare Corp.		4.00			12/12/2023		472,544		467,866		476,976
Explorer Holdings, Inc.		6.00			5/2/2023		526,030		521,257		537,209
Greatbatch Ltd.		5.25			10/27/2022		1,485,000		1,475,284		1,491,029
Jaguar Holding Co. II		4.25			8/18/2022		1,514,252		1,517,964		1,529,773
Kindred Healthcare, Inc.		4.25			4/9/2021		1,677,522		1,633,769		1,674,033
Kinetic Concepts, Inc.		5.00			11/4/2020		1,816,127		1,800,998		1,819,160
Ortho-Clinical Diagnostics, Inc.		4.75			6/30/2021		2,015,337		2,005,865		1,995,909
Press Ganey Holdings, Inc.		4.25			10/21/2023		1,250,000		1,261,875		1,256,250
Press Ganey Holdings, Inc.		8.25			10/21/2024		821,256		832,603		833,575
Riemser Pharma GmbH+		5.50			7/31/2023		500,000		537,103		495,272
Rodenstock GmbH+		4.13			5/30/2019		1,500,000		1,768,402		1,502,395
Tecomet, Inc.		5.75			12/5/2021		1,365,277		1,320,004		1,365,277
Tunstall Group Holdings Ltd.+		5.53			10/16/2020		500,000		794,934		537,123
Valeant Pharmaceuticals International, Inc.		5.50			4/1/2022		1,600,814		1,566,674		1,601,119
Total Healthcare, Education and Childcare							23,664,115		24,079,487		23,709,435
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.4%*:
Serta Simmons Bedding, LLC		4.50			11/8/2023		1,730,289		1,721,704		1,748,128
Serta Simmons Bedding, LLC		9.00			11/8/2024		500,000		492,588		501,665
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							2,230,289		2,214,292		2,249,793
Hotels, Motels, Inns and Gaming — 1.4%*:
Cyan Blue Holdco 3 Ltd.+		6.25			2/25/2022		500,000		737,746		620,051
Financiere Sun S.A.S.+		6.00			3/14/2023		500,000		537,670		526,983
HNVR Holdco Ltd.+		6.25			5/31/2023		500,000		550,413		527,641
Tackle S.A.R.L+		6.50			8/8/2022		500,000		553,965		534,136
Total Hotels, Motels, Inns and Gaming							2,000,000		2,379,794		2,208,811
Insurance — 1.7%*:
Asurion LLC		4.02			7/8/2020		761,643		764,763		767,592
Asurion LLC		4.75			11/3/2023		890,439		886,071		902,683
York Risk Services Holding Corp.		4.75			10/1/2021		1,174,653		1,150,841		1,107,110
Total Insurance							2,826,735		2,801,675		2,777,385
Leisure, Amusement, Entertainment — 1.3%*:
Delta 2 (LUX) S.a.r.l.+		5.07			7/30/2021		1,587,247		1,583,576		1,602,627
Delta 2 (LUX) S.a.r.l.+		8.07			7/29/2022		437,500		436,894		440,051
Total Leisure, Amusement, Entertainment							2,024,747		2,020,470		2,042,678
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 3.6%*:
Alison Bidco S.a.r.l.+		5.25			8/29/2021		290,570		288,626		288,632

See accompanying Notes to the Financial Statements.

79

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Machinery Non-Agriculture, Non-Construction, Non-Electronic (Continued)
Apex Tool Group, LLC		4.50	%		1/31/2020		1,974,359	$	1,951,152	$	1,954,615
Gardner Denver, Inc.		4.56			7/30/2020		1,622,401		1,551,867		1,604,523
Husky Injection Molding Systems Ltd.+		4.25			6/30/2021		1,380,456		1,376,027		1,387,538
Schenck Measuring and Process Technologies+		6.25			5/13/2022		500,000		549,155		524,572
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							5,767,786		5,716,827		5,759,880
Mining, Steel, Iron and Non-Precious Metals — 2.7%*:
Arch Coal Inc.		10.00			6/15/2021		255,489		255,489		258,790
Boomerang Tube, LLC¤††		15.00			2/2/2020		32,825		26,312		26,260
Boomerang Tube, LLC¤††		15.77			2/2/2020		95,096		95,096		95,096
Boomerang Tube, LLC¤††		18.27			2/2/2020		79,295		79,295		11,894
Boomerang Tube, LLC¤††		20.00			2/2/2020		34,590		32,392		31,131
FMG Resources (August 2006) Pty Ltd.+		3.75			6/30/2019		1,041,821		1,004,602		1,043,904
H.C. Starck GmbH+		8.00			5/30/2020		1,043,604		1,048,776		902,116
Murray Energy Corp.		8.25			4/16/2020		769,627		754,984		733,555
Peabody Energy Corp.		4.25			9/24/2020		618,791		573,783		601,001
Zekelman Industries, Inc.		6.00			6/14/2021		598,392		593,017		602,880
Total Mining, Steel, Iron and Non-Precious Metals							4,569,530		4,463,746		4,306,627
Oil and Gas — 6.3%*:
Caelus Energy Alaska O3, LLC		8.75			4/15/2020		1,692,308		1,573,042		1,353,846
Fieldwood Energy LLC PIK		8.00			8/31/2020		555,855		499,304		525,283
Fieldwood Energy LLC PIK		8.38			9/30/2020		1,613,837		856,065		1,252,949
Floatel International, Ltd.		6.00			6/27/2020		400,294		397,936		321,736
Gulf Finance, LLC		6.25			8/25/2023		1,496,250		1,453,494		1,499,991
Paragon Offshore Finance Co.		5.50			7/18/2021		545,863		465,236		200,152
Seadrill Partners Finco, LLC		4.00			2/21/2021		2,454,213		1,570,729		1,671,319
Southcross Holdings Borrower LP		9.00			4/13/2023		20,011		20,011		15,175
TPF II Power LLC		5.00			10/2/2021		488,206		485,709		492,112
UTEX Industries, Inc.		5.00			5/22/2021		993,127		846,788		917,401
UTEX Industries, Inc.		8.25			5/22/2022		1,000,000		545,400		698,330
Western Refining, Inc.		5.50			6/23/2023		1,117,500		1,096,732		1,123,087
Total Oil and Gas							12,377,464		9,810,446		10,071,381
Personal Transportation — 1.1%*:
Travelport Finance (Luxembourg) S.a.r.l		5.00			9/2/2021		1,758,167		1,753,691		1,773,833
Printing and Publishing — 2.1%*:
Cengage Learning Acquisitions, Inc.		5.25			6/7/2023		812,340		812,295		789,116
Houghton Mifflin Harcourt Publishing Co.		4.00			5/31/2021		680,238		671,934		646,226
Springer Science+Business Media Deutschland GmbH+		4.75			8/14/2020		1,883,036		1,874,848		1,882,245
Total Printing and Publishing							3,375,614		3,359,077		3,317,587

See accompanying Notes to the Financial Statements.

80

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Retail Stores — 3.5%*:
Academy, Ltd.		5.00	%		7/1/2022		1,580,359		$1,544,564		$1,459,461
Advantage Sales & Marketing, Inc.		4.25			7/23/2021		1,101,107		1,096,365		1,104,136
Maxeda DIY B.V.+		7.00			6/28/2019		583,334		651,037		564,732
Nature’s Bounty Co. (The)		5.00			5/5/2023		1,791,000		1,798,353		1,803,877
The Talbots, Inc.		5.50			3/19/2020		729,795		722,315		708,266
Total Retail Stores							5,785,595		5,812,634		5,640,472
Telecommunications — 1.4%*:
Consolidated Communications, Inc.		4.00			10/4/2023		177,315		176,884		178,233
Numericable U.S. LLC+		4.04			1/14/2025		1,500,000		1,495,504		1,511,625
UPC Financing Partnership+		3.00			6/17/2025		500,000		525,284		527,804
Total Telecommunications							2,177,315		2,197,672		2,217,662
Utilities — 2.2%*:
Calpine Construction Finance Co., LP		3.27			1/31/2022		994,861		984,480		993,926
Dynegy, Inc.		5.00			6/27/2023		1,500,000		1,485,982		1,518,120
Vistra Operations Co. LLC		4.00			12/14/2023		1,089,696		1,100,610		1,103,317
Total Utilities							3,584,557		3,571,072		3,615,363
Total Bank Loans							136,521,733		135,937,687		133,804,317
Corporate Bonds — 8.2%*:
Banking — 0.1%*:
Lock AS+		5.50	#		8/15/2020		100,000		110,831		105,486
Broadcasting and Entertainment — 0.2%*:
Entertainment One Ltd.+		6.88			12/15/2022		100,000		150,232		133,777
VTR Finance B.V.+^		6.88			1/15/2024		211,000		214,400		217,857
Total Broadcasting and Entertainment							311,000		364,632		351,634
Buildings and Real Estate — 0.1%*:
Paroc Group Oy+		6.25			5/15/2020		100,000		137,565		107,897
Paroc Group Oy MTN+		4.94	#		5/15/2020		100,000		137,565		103,823
Total Buildings and Real Estate							200,000		275,130		211,720
Cargo Transport — 0.3%*:
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		336,000		336,000		346,920
WFS Global Holding SAS+		9.50			7/15/2022		100,000		113,435		108,228
Total Cargo Transport							436,000		449,435		455,148
Chemicals, Plastics and Rubber — 0.1%*:
Pinnacle Operating Corp.^		9.00			11/15/2020		500,000		525,607		220,000
Containers, Packaging and Glass — 0.1%*:
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu^		5.13			7/15/2023		178,000		178,000		181,783

See accompanying Notes to the Financial Statements.

81

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Diversified/Conglomerate Manufacturing — 0.3%*:
Appvion, Inc.^		9.00	%		6/1/2020		460,000	$	465,729	$	257,600
Galapagos SA/Luxembourg+		4.43	#		6/15/2021		200,000		272,630		196,422
Total Diversified/Conglomerate Manufacturing							660,000		738,359		454,022
Diversified/Conglomerate Service — 0.5%*:
Carlson Travel, Inc.		4.43	#		6/15/2023		150,000		158,362		160,677
Sabre GLBL, Inc.^		5.38			4/15/2023		561,000		570,869		572,220
Total Diversified/Conglomerate Service							711,000		729,231		732,897
Electronics — 0.3%*:
First Data Corp.^		5.00			1/15/2024		179,000		177,970		179,953
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		271,000		271,000		295,051
Total Electronics							450,000		448,970		475,004
Finance — 0.9%*:
Arrow Global Finance PLC+		4.75	#		5/1/2023		100,000		111,285		108,592
Arrow Global Finance PLC+		4.94	#		11/1/2021		150,000		167,753		164,839
Galaxy Bidco Ltd.+		5.40	#		11/15/2019		100,000		161,221		123,008
Garfunkelux Holdco 3 SA+		5.50	#		10/1/2021		100,000		111,952		106,841
Garfunkelux Holdco 3 SA+		8.50			11/1/2022		250,000		386,591		320,424
Marlin Intermediate Holdings PLC MTN+		10.50			8/1/2020		500,000		819,332		670,117
Total Finance							1,200,000		1,758,134		1,493,821
Grocery — 0.2%*:
Premier Foods Finance PLC+		5.37	#		3/16/2020		100,000		167,370		121,830
Premier Foods Finance PLC+		6.50			3/15/2021		100,000		146,338		126,506
Total Grocery							200,000		313,708		248,336
Healthcare, Education and Childcare — 0.4%*:
HCA, Inc.		5.25			6/15/2026		82,000		82,000		84,768
IDH Finance PLC+		6.25			8/15/2022		100,000		131,025		119,543
Tenet Healthcare Corp.		4.46	#		6/15/2020		489,000		487,260		492,667
Total Healthcare, Education and Childcare							671,000		700,285		696,978
Hotels, Motels, Inns and Gaming — 0.3%*:
TVL Finance PLC+		8.50			5/15/2023		350,000		497,072		457,220
Leisure, Amusement, Entertainment — 0.1%*:
Vue International Bidco PLC+		4.94	#		7/15/2020		100,000		134,821		105,412
WMG Acquisition Corp.^		5.00			8/1/2023		63,000		63,000		63,315
Total Leisure, Amusement, Entertainment							163,000		197,821		168,727

See accompanying Notes to the Financial Statements.

82

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas — 1.4%*:
Citgo Holding, Inc.^		10.75	%		2/15/2020		1,500,000	$	1,482,958	$	1,608,750
Kosmos Energy Ltd.^		7.88			8/1/2021		200,000		192,918		199,000
Shelf Drilling Holdings Ltd.+^		8.63			11/1/2018		438,000		391,140		367,920
Total Oil and Gas							2,138,000		2,067,016		2,175,670
Retail Stores — 1.3%*:
Boing Group Financing PLC MTN+		6.63			7/15/2019		350,000		398,344		365,296
House of Fraser Funding PLC+		6.13	#		9/15/2020		300,000		464,681		330,899
HSS Financing PLC+		6.75			8/1/2019		68,000		112,557		84,935
Takko Luxembourg 2 S.C.A. MTN+		9.88			4/15/2019		425,000		377,843		360,585
Travelex Financing PLC+		6.40	#		8/1/2018		700,000		1,122,903		838,525
Travelex Financing PLC+		8.00			8/1/2018		100,000		158,875		123,240
Total Retail Stores							1,943,000		2,635,203		2,103,480
Telecommunications — 1.6%*:
Hughes Satellite Systems Corp.^		5.25			8/1/2026		1,388,000		1,398,150		1,360,240
Numericable-SFR SA+^		6.00			5/15/2022		646,000		645,376		662,957
Numericable-SFR SA+^		7.38			5/1/2026		217,000		217,000		222,425
Ziggo Secured Finance B.V.+		4.25			1/15/2027		350,000		372,443		367,159
Total Telecommunications							2,601,000		2,632,969		2,612,781
Total Corporate Bonds							12,812,000		14,622,403		13,144,707
Total Fixed Income							149,333,733		150,560,090		146,949,024
Short-Term Investment — 12.9%*:
Bank Deposit — 12.9%*:
State Street Bank & Trust Co. Euro Time Deposit		0.01			1/3/2017		20,677,603		20,677,603		20,677,603
Total Investments							170,028,921		171,374,204		167,778,893
Other assets and liabilities — (4.6%)*											(7,332,379	)
Net Assets — 100.0%											$160,446,514

MTN	Medium Term Note
PIK	Payment-in-kind

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

See accompanying Notes to the Financial Statements.

83

Barings Global Floating Rate Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	75.8%
United Kingdom	7.9%
Germany	7.3%
France	2.6%
Netherlands	1.8%
Canada	1.1%
Other (Individually less than 1%)	3.5%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

§ Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at December 31, 2016. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.

¤ For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

†† Illiquid security.

# Variable rate security. The interest rate shown is the rate in effect at December 31, 2016.

(1) Non-income producing security.

A summary of outstanding derivatives at December 31, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/13/17	Morgan Stanley & Co.		EUR	36,126		38,052		37,892	$	160
1/13/17	Morgan Stanley & Co.		GBP	506,076		623,884		625,383		(1,499	)
Net unrealized depreciation on forward foreign exchange contracts to buy									$	(1,339	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/3/17	Morgan Stanley & Co.		EUR	36,126		38,028		37,867	$	(161	)
1/13/17	Morgan Stanley & Co.		EUR	13,865,327		14,604,236		14,739,294		135,058
1/13/17	Morgan Stanley & Co.		GBP	6,526,413		8,045,680		8,207,798		162,118
Net unrealized appreciation on forward foreign exchange contracts to sell									$	297,015

Currency Legend

EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

84

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS

December 31, 2016 (Unaudited)

						SHARES		COST		FAIR VALUE
Common Stocks — 0.4%*:
Retail Stores — 0.4%*:
Maxeda DIY B.V.+¤							18,859,871		$373,738		$397,057
Maxeda DIY B.V.+¤							10,446		–		99,272
Total Retail Stores							18,870,317		373,738		496,329
Mining, Steel, Iron and Non-Precious Metals — 0.0%*:
Boomerang Tube LLC¤(1)††							2,007		–		–
Oil and Gas — 0.0%*:
Southcross Holdings LP¤(1)							11		–		–
Southcross Energy Partners LP							11		2,750		3,905
Total Oil and Gas							22		2,750		3,905
Total Common Stocks							18,872,346		376,488		500,234
	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 91.3%*:
Asset-Backed Securities — 12.9%*:
CDO/CLO — 12.9%*:
ALM VI Ltd. 2012-6A ER^		7.28	#%		7/15/2026		371,795		233,605		320,043
Apidos CLO XII 2013-12A F^		5.78	#		4/15/2025		500,000		453,869		397,957
Apidos CLO XV 2013-15A E^		6.38	#		10/20/2025		500,000		466,467		405,453
Apidos CLO XVI 2013-16A D^		5.38	#		1/19/2025		500,000		445,095		437,754
Atlas Senior Loan Fund VI Ltd. 2014-6A E^		6.08	#		10/15/2026		800,000		737,572		724,622
Atrium IX 9A E^		5.94	#		2/28/2024		500,000		428,630		461,139
BlueMountain CLO Ltd. 2014-1A^		Zero Coupon			4/30/2026		250,000		240,390		167,046
Cairn CLO B.V. 2013-3A E+^		4.90	#		10/20/2028		1,000,000		1,026,958		969,703
Carlyle Global Market Strategies CLO Ltd. 2013-3A D^		5.48	#		7/15/2025		500,000		462,320		452,690
Carlyle Global Market Strategies CLO Ltd. 2013-4A E^		5.38	#		10/15/2025		500,000		467,089		452,705
Carlyle Global Market Strategies CLO Ltd. 2013-4A F^		6.08	#		10/15/2025		500,000		459,998		410,185
Carlyle Global Market Strategies CLO Ltd. 2014-1A E^		5.33	#		4/17/2025		1,000,000		897,640		891,162
Carlyle Global Market Strategies CLO Ltd. 2014-5A D^		5.65	#		10/16/2025		500,000		457,345		460,455
Carlyle Global Market Strategies CLO Ltd. 2015-1A E1^		6.18	#		4/20/2027		500,000		445,001		460,036
Dryden 41 Senior Loan Fund 2015-41A E^		6.53	#		1/15/2028		500,000		467,115		468,966
Dryden 45 Senior Loan Fund 2016-45A E^		7.66	#		7/15/2027		500,000		480,414		490,325
Dryden XXXI Senior Loan Fund 2014-31A E^		5.13	#		4/18/2026		1,000,000		902,270		874,426
Eaton Vance CLO Ltd. 2013-1A DR^		8.33	#		1/15/2028		500,000		487,423		487,401

See accompanying Notes to the Financial Statements.

85

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
CDO/CLO (Continued)
GoldenTree Loan Opportunities VII Ltd. 2013-7A F^		6.13	# %		4/25/2025		500,000		$470,474		$404,833
LCM XIII LP 13A ER^		8.18	#		7/19/2027		750,000		721,047		721,140
LCM XV LP 15A E1^		5.38	#		8/25/2024		500,000		471,177		437,520
LCM XVII LP 17A E^		5.63	#		10/15/2026		1,000,000		906,063		899,418
Madison Park Funding XIII Ltd. 2014-13A^		Zero Coupon			1/19/2025		500,000		400,249		366,011
Oak Hill Credit Partners X Ltd. 2014-10A^		Zero Coupon	#		7/20/2026		500,000		455,704		327,773
OHA Credit Partners IX Ltd. 2013-9A E^		5.88	#		10/20/2025		500,000		471,453		465,142
Pinnacle Park CLO Ltd. 2014-1A E^		5.83	#		4/15/2026		500,000		472,870		447,828
Seneca Park CLO Ltd. 2014-1A E^		5.58	#		7/17/2026		1,020,000		936,505		898,274
Tryon Park CLO Ltd. 2013-1A D^		5.28	#		7/15/2025		500,000		467,717		443,149
Voya CLO Ltd. 2013-2A E^		6.38	#		4/25/2025		500,000		469,974		415,735
Voya CLO Ltd. 2013-3A D^		5.38	#		1/18/2026		750,000		683,424		679,759
Total CDO/CLO							17,941,795		16,485,858		15,838,650
Total Asset-Backed Securities							17,941,795		16,485,858		15,838,650
Bank Loans — 24.4%*§:
Aerospace and Defense — 1.2%*:
Swissport Investments SA+		6.25			2/9/2022		500,000		533,443		533,268
TransDigm, Inc.		3.77			6/9/2023		498,747		496,918		503,485
TransDigm, Inc.		3.85			5/14/2022		495,206		490,285		499,143
Total Aerospace and Defense							1,493,953		1,520,646		1,535,896
Automobile — 0.1%*:
Tectum Holdings, Inc.		5.75			8/24/2023		121,113		119,960		122,627
Beverage, Food and Tobacco — 0.4%*:
Deoleo S.A.+		4.50			6/11/2021		500,000		555,397		450,208
Broadcasting and Entertainment — 1.4%*:
All3Media International+		5.25			6/30/2021		500,000		834,813		609,656
AP NMT Acquisition B.V.+		6.75			8/13/2021		498,725		454,624		458,647
AP NMT Acquisition B.V.+		7.00			8/13/2021		397,190		485,606		387,192
AP NMT Acquisition B.V.+		10.00			8/13/2022		300,000		283,040		239,571
Total Broadcasting and Entertainment							1,695,915		2,058,083		1,695,066
Buildings and Real Estate — 0.1%*:
Jeld-Wen, Inc.		4.75			7/1/2022		161,885		161,489		163,706
Chemicals, Plastics and Rubber — 1.2%*:
INEOS Styrolution Group GmbH+		4.75			9/30/2021		348,008		395,697		371,492
Methanol Holdings (Trinidad) Ltd.		4.27			6/30/2022		347,203		344,469		338,957
Platform Specialty Products Corp.		4.50			6/7/2020		272,729		273,015		275,571
Tronox Pigments (Netherlands) B.V.		4.50			3/19/2020		496,144		479,202		497,796
Total Chemicals, Plastics and Rubber							1,464,084		1,492,383		1,483,816

See accompanying Notes to the Financial Statements.

86

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Containers, Packaging and Glass — 1.2%*:
Consolidated Container Co. LLC		5.00	%		7/3/2019		721,787	$	716,078	$	725,395
Consolidated Container Co. LLC		7.75			1/3/2020		94,140		93,114		92,022
ProAmpac Intermediate Inc.		9.50			11/18/2024		500,000		492,600		500,000
Signode Industrial Group US, Inc.		4.00			5/1/2021		176,541		175,665		177,865
Total Containers, Packaging and Glass							1,492,468		1,477,457		1,495,282
Diversified/Conglomerate Manufacturing — 0.3%*:
Triple Point Technology, Inc.		5.25			7/10/2020		334,622		317,234		295,026
Triple Point Technology, Inc.††		9.25			7/10/2021		50,845		48,215		36,100
West Corp.		2.77			7/1/2019		39,870		39,094		39,571
Total Diversified/Conglomerate Manufacturing							425,337		404,543		370,697
Diversified/Conglomerate Service — 4.3%*:
Aquilex Holdings LLC		5.00			12/31/2020		91,838		91,706		89,427
Atrium Innovations, Inc.		4.25			2/13/2021		954,444		946,491		954,444
MH Sub I, LLC		8.50			7/8/2022		650,000		646,971		648,375
PowerTeam Services, LLC		8.25			11/6/2020		300,000		299,149		298,500
Quest Software US Holdings, Inc.		7.00			10/31/2022		1,005,892		997,493		1,017,841
RP Crown Parent, LLC		4.50			10/12/2023		743,298		739,691		750,545
Triangle FM Services Holding GmbH+		5.25			8/31/2023		500,000		552,965		531,789
VF Holding Corp.		4.75			6/30/2023		997,500		999,629		999,635
Total Diversified/Conglomerate Service							5,242,972		5,274,095		5,290,556
Ecological — 0.1%*:
Emerald 3 Ltd.+		8.00			5/31/2022		196,488		195,129		170,945
Electronics — 0.2%*:
Tessera Holding Corp.		4.00			12/1/2023		183,808		181,986		185,302
Finance — 0.7%*:
Moneygram International, Inc.		4.25			3/27/2020		616,025		592,239		607,813
Sedgwick Claims Management Services, Inc.		3.75			3/1/2021		290,439		290,006		290,854
Total Finance							906,464		882,245		898,667
Healthcare, Education and Childcare — 2.2%*:
Arbor Pharmaceuticals, Inc.		6.00			7/5/2023		123,412		116,485		124,492
Concentra, Inc.		4.00			6/1/2022		994,949		985,395		997,437
Envision Healthcare Corp.		4.00			12/11/2023		158,096		156,531		159,579
Jaguar Holding Co. II		4.25			8/18/2022		105,040		104,783		106,117
Ortho-Clinical Diagnostics, Inc.		4.75			6/30/2021		250,887		246,497		248,468
Rodenstock GmbH+		4.13			5/30/2019		500,000		537,127		500,798
Tecomet, Inc.		5.75			12/5/2021		573,644		548,285		573,644
Total Healthcare, Education and Childcare							2,706,028		2,695,103		2,710,535

See accompanying Notes to the Financial Statements.

87

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.6%*:
Serta Simmons Bedding, LLC		4.50	%		11/8/2023		236,156	$	234,988	$	238,591
Serta Simmons Bedding, LLC		9.00			11/8/2024		500,000		492,588		501,665
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							736,156		727,576		740,256
Hotels, Motels, Inns and Gaming — 0.5%*:
Parkdean Resorts Holdco Ltd.+		5.28			11/10/2022		500,000		756,172		616,329
Leisure, Amusement, Entertainment — 0.7%*:
Delta 2 (LUX) S.a.r.l.+		8.07			7/31/2022		125,000		124,658		125,729
Lions Gate Entertainment Corp.+		3.75			12/8/2023		676,957		673,598		680,342
Total Leisure, Amusement, Entertainment							801,957		798,256		806,071
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.8%*:
Alison Bidco S.a.r.l.+		5.25			8/29/2021		145,284		144,314		144,315
Gardner Denver, Inc.		4.56			7/30/2020		860,488		825,481		851,005
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							1,005,772		969,795		995,320
Mining, Steel, Iron and Non-Precious Metals — 0.6%*:
Arch Coal Inc.		10.00			6/15/2021		127,527		127,527		129,175
Boomerang Tube LLC¤††		18.77			8/1/2017		9,289		9,289		9,289
Boomerang Tube LLC¤††		18.77			8/12/2017		9,289		9,289		9,289
Boomerang Tube, LLC¤††		15.00			2/20/2020		32,825		26,312		26,260
Boomerang Tube, LLC¤††		15.77			2/2/2020		95,096		95,096		95,096
Boomerang Tube, LLC¤††		18.27			2/2/2020		79,294		79,294		11,894
Boomerang Tube, LLC¤††		20.00			2/2/2020		34,590		32,391		31,131
Murray Energy Corp.		8.25			4/16/2020		205,073		201,172		195,462
Zekelman Industries, Inc.		6.00			6/14/2021		179,294		177,683		180,638
Total Mining, Steel, Iron and Non-Precious Metals							772,277		758,053		688,234
Oil and Gas — 4.9%*:
Ascent Resources — Marcellus LLC		8.50			8/4/2021		60,369		59,773		7,244
Caelus Energy Alaska O3, LLC		8.75			4/15/2020		846,154		783,896		676,923
Fieldwood Energy LLC PIK		8.00			9/30/2020		649,368		583,304		613,653
Fieldwood Energy LLC PIK		8.38			8/31/2020		1,025,641		582,643		717,949
Fieldwood Energy LLC PIK		8.38			9/30/2020		859,699		317,212		745,789
Floatel International, Ltd.		6.00			6/27/2020		200,147		198,968		160,868
Gulf Finance, LLC		6.25			8/25/2023		994,447		971,147		996,933
Jonah Energy LLC		7.50			5/12/2021		173,566		171,941		162,862
Paragon Offshore Finance Co.		5.50			7/18/2021		479,874		399,462		175,955
Seadrill Partners Finco, LLC		4.00			2/21/2021		252,460		169,193		171,925
Southcross Holdings Borrower LP		9.00			4/13/2023		10,005		10,006		7,588

See accompanying Notes to the Financial Statements.

88

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Oil and Gas (Continued)
UTEX Industries, Inc.		5.00	%		5/22/2021		1,271,260	$	1,083,896	$	1,174,326
Western Refining, Inc.		5.50			6/23/2023		372,500		365,577		374,363
Total Oil and Gas							7,195,490		5,697,018		5,986,378
Printing and Publishing — 0.7%*:
Springer Science+Business Media Deutschland GmbH+		4.75			8/14/2020		448,858		437,986		448,670
Springer Science+Business Media Deutschland GmbH+		9.00			8/14/2021		446,875		517,761		470,403
Total Printing and Publishing							895,733		955,747		919,073
Retail Stores — 1.2%*:
Academy, Ltd.		5.00			7/1/2022		494,682		475,009		456,839
Container Store, Inc. (The)		4.25			4/6/2019		495,760		458,488		451,142
Maxeda DIY B.V.+		7.00			6/28/2019		583,333		638,024		564,732
Total Retail Stores							1,573,775		1,571,521		1,472,713
Utilities — 1.0%*:
Dynegy, Inc.		5.00			6/27/2023		499,093		494,429		505,122
EFS Cogen Holdings I LLC		4.50			6/28/2023		757,730		750,680		763,224
Total Utilities							1,256,823		1,245,109		1,268,346
Total Bank Loans							31,328,498		30,497,763		30,066,023
Corporate Bonds — 54.0%*:
Aerospace and Defense — 0.7%*:
CPI International, Inc.		8.75			2/15/2018		814,000		821,178		826,210
Automobile — 2.8%*:
Allied Specialty Vehicles, Inc.^		8.50			11/1/2019		1,000,000		1,019,192		1,027,500
Gates Global LLC/Gates Global Co.^		6.00			7/15/2022		1,000,000		788,997		978,000
International Automotive Components Group SA^		9.13			6/1/2018		940,000		952,242		916,500
JB Poindexter & Co., Inc.^		9.00			4/1/2022		500,000		519,906		525,000
Total Automobile							3,440,000		3,280,337		3,447,000
Banking — 0.4%*:
Lock AS+		7.00			8/15/2021		500,000		620,407		558,884
Beverage, Food and Tobacco — 0.7%*:
Boparan Finance PLC+		5.50			7/15/2021		550,000		740,500		661,901
US Foods, Inc.^		5.88			6/15/2024		154,000		154,000		159,390
Total Beverage, Food and Tobacco							704,000		894,500		821,291
Broadcasting and Entertainment — 2.2%*:
DISH DBS Corp.		7.75			7/1/2026		750,000		755,421		845,625

See accompanying Notes to the Financial Statements.

89

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Broadcasting and Entertainment (Continued)
Entertainment One Ltd.+		6.88	%		12/15/2022		200,000	$	302,481	$	267,554
RCN Telecom Services LLC/RCN Capital Corp.^		8.50			8/15/2020		775,000		777,178		821,500
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH+		3.50			1/15/2027		300,000		326,933		309,479
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH+		6.25			1/15/2029		200,000		246,781		232,668
VTR Finance B.V.+^		6.88			1/15/2024		250,000		243,740		258,125
Total Broadcasting and Entertainment							2,475,000		2,652,534		2,734,951
Buildings and Real Estate — 1.6%*:
Cemex Finance LLC+^		9.38			10/12/2022		400,000		431,937		436,000
Cemex SAB de CV+		4.38			3/5/2023		100,000		111,980		107,897
GEO Group, Inc. (The)		5.88			1/15/2022		500,000		475,058		506,250
Keystone Financing PLC+		9.50			10/15/2019		350,000		564,905		451,095
Paroc Group Oy+		6.25			5/15/2020		100,000		137,565		107,897
Paroc Group Oy MTN+		4.94	#		5/15/2020		100,000		137,565		103,823
William Lyon Homes, Inc.		7.00			8/15/2022		295,000		299,987		305,325
Total Buildings and Real Estate							1,845,000		2,158,997		2,018,287
Cargo Transport — 1.9%*:
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		580,000		580,000		598,850
Kenan Advantage Group, Inc.^		7.88			7/31/2023		1,367,000		1,367,000		1,380,670
Moto Finance PLC+		6.38			9/1/2020		200,000		300,330		256,339
WFS Global Holding SAS+		9.50			7/15/2022		150,000		170,153		162,342
Total Cargo Transport							2,297,000		2,417,483		2,398,201
Chemicals, Plastics and Rubber — 2.2%*:
A. Schulman, Inc.^		6.88			6/1/2023		500,000		513,592		522,500
Consolidated Energy Finance SA+^		6.75			10/15/2019		1,000,000		995,076		1,000,000
LSB Industries, Inc.		8.50			8/1/2019		238,000		209,395		218,960
Monitchem HoldCo 2 SA+		6.88			6/15/2022		200,000		199,877		193,170
Pinnacle Operating Corp.^		9.00			11/15/2020		600,000		611,968		264,000
Platform Specialty Products Corp.^		10.38			5/1/2021		250,000		271,858		276,875
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc.		6.38			5/1/2022		200,000		219,995		225,267
Total Chemicals, Plastics and Rubber							2,988,000		3,021,761		2,700,772
Containers, Packaging and Glass — 3.2%*:
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+		6.75			5/15/2024		300,000		343,004		337,111
Coveris Holdings SA^		7.88			11/1/2019		900,000		902,144		893,250
Horizon Holdings I SASU+		7.25			8/1/2023		300,000		347,914		337,111
Iron Mountain Europe PLC+		6.13			9/15/2022		300,000		432,355		390,055
SIG Combibloc Holdings SCA+		7.75			2/15/2023		700,000		817,824		791,530

See accompanying Notes to the Financial Statements.

90

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Containers, Packaging and Glass (Continued)
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc.^		6.38	%		5/1/2022		1,200,000	$	1,191,492	$	1,197,000
Total Containers, Packaging and Glass							3,700,000		4,034,733		3,946,057
Diversified/Conglomerate Manufacturing — 2.6%*:
Appvion, Inc.^		9.00			6/1/2020		500,000		509,523		280,000
CTP Transportation Products LLC/CTP Finance, Inc.^		8.25			12/15/2019		648,000		660,169		558,900
EnPro Industries, Inc.		5.88			9/15/2022		400,000		403,530		411,000
Galapagos SA+		5.38			6/15/2021		175,000		219,859		175,003
Griffon Corp.		5.25			3/1/2022		800,000		791,013		810,600
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary		7.88			6/1/2021		500,000		514,084		455,000
West Corp.^		5.38			7/15/2022		500,000		478,988		483,125
Total Diversified/Conglomerate Manufacturing							3,523,000		3,577,166		3,173,628
Diversified/Conglomerate Service — 3.6%*:
Carlson Travel, Inc.		4.43	#		6/15/2023		100,000		105,575		107,118
Carlson Travel, Inc.^		6.75			12/15/2023		238,000		238,000		247,520
Carlson Travel, Inc.^		9.50			12/15/2024		277,000		277,000		289,811
Infor Software Parent LLC/Infor Software Parent, Inc. PIK^		7.13			5/1/2021		1,200,000		1,130,324		1,236,000
Nuance Communications, Inc.^		5.63			12/15/2026		1,000,000		990,639		983,250
ServiceMaster Co. LLC (The)^		5.13			11/15/2024		627,000		627,000		636,405
Zachry Holdings, Inc.^		7.50			2/1/2020		871,000		868,401		893,864
Total Diversified/Conglomerate Service							4,313,000		4,236,939		4,393,968
Electronics — 1.0%*:
NXP BV/NXP Funding LLC^		4.13			6/1/2021		226,000		229,898		233,345
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		491,000		491,000		534,576
WESCO Distribution, Inc.^		5.38			6/15/2024		443,000		443,000		444,108
Total Electronics							1,160,000		1,163,898		1,212,029
Finance — 2.4%*:
Arrow Global Finance PLC+		5.13			9/15/2024		200,000		258,495		245,740
Galaxy Finco Ltd.+		7.88			11/15/2021		550,000		817,078		681,033
Garfunkelux Holdco 3 SA+		7.50			8/1/2022		100,000		110,305		109,739
Garfunkelux Holdco 3 SA+		8.50			11/1/2022		650,000		1,006,774		833,102
Marlin Intermediate Holdings PLC MTN+		10.50			8/1/2020		200,000		304,158		268,047
National Financial Partners Corp.^		9.00			7/15/2021		779,000		779,068		821,845
Total Finance							2,479,000		3,275,878		2,959,506

See accompanying Notes to the Financial Statements.

91

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Grocery — 0.4%*:
C&S Group Enterprises LLC^		5.38	%		7/15/2022		270,000	$	260,613	$	260,550
Premier Foods Finance PLC+		6.50			3/15/2021		200,000		338,450		253,012
Total Grocery							470,000		599,063		513,562
Healthcare, Education and Childcare — 5.4%*:
Alere, Inc.^		6.38			7/1/2023		490,000		490,000		486,938
Alere, Inc.		6.50			6/15/2020		500,000		505,630		492,500
Capsugel SA PIK^		7.00			5/15/2019		500,000		503,906		504,375
Cerberus Nightingale 1 Sarl+		8.25			2/1/2020		550,000		625,184		593,721
Cognita Financing PLC+		7.75			8/15/2021		600,000		884,750		783,865
Halyard Health, Inc.		6.25			10/15/2022		288,000		289,698		296,640
IDH Finance PLC+		6.25			8/15/2022		250,000		327,563		298,857
Kinetic Concepts, Inc./KCI USA, Inc.^		7.88			2/15/2021		199,000		208,410		215,915
Kinetic Concepts, Inc./KCI USA, Inc.^		9.63			10/1/2021		1,100,000		1,100,000		1,163,250
Quintiles IMS, Inc.^		5.00			10/15/2026		533,000		533,000		534,333
Tenet Healthcare Corp.		6.75			6/15/2023		294,000		292,756		259,455
Valeant Pharmaceuticals International, Inc.		4.50			5/15/2023		100,000		89,349		75,822
Valeant Pharmaceuticals International, Inc.^		6.13			4/15/2025		1,325,000		1,103,665		995,406
Total Healthcare, Education and Childcare							6,729,000		6,953,911		6,701,077
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.4%*:
LSF9 Balta Issuer SA+		7.75			9/15/2022		400,000		478,550		463,166
Hotels, Motels, Inns and Gaming — 1.9%*:
MGM Resorts International		4.63			9/1/2026		1,000,000		1,000,000		962,500
NH Hotels SA+		3.75			10/1/2023		200,000		224,580		217,056
Thomas Cook Group PLC+		6.25			6/15/2022		300,000		319,905		332,501
TVL Finance PLC+		8.50			5/15/2023		600,000		857,927		783,806
Total Hotels, Motels, Inns and Gaming							2,100,000		2,402,412		2,295,863
Leisure, Amusement, Entertainment — 2.6%*:
AMC Entertainment Holdings, Inc.		6.38			11/15/2024		100,000		121,910		130,326
CPUK Finance Ltd.+		7.00			8/28/2020		483,000		734,239		628,674
Interval Acquisition Corp.		5.63			4/15/2023		459,000		459,000		468,180
NCL Corp. Ltd.^		4.75			12/15/2021		653,000		653,000		652,595
Perform Group Financing PLC+		8.50			11/15/2020		150,000		224,468		189,020
WMG Acquisition Corp.		4.13			11/1/2024		150,000		165,758		163,424
WMG Acquisition Corp.^		6.75			4/15/2022		950,000		902,371		999,875
Total Leisure, Amusement, Entertainment							2,945,000		3,260,746		3,232,094
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 2.5%*:
Apex Tool Group LLC^		7.00			2/1/2021		750,000		665,807		671,250
Gardner Denver, Inc.^		6.88			8/15/2021		1,000,000		1,000,000		995,000
Milacron LLC/Mcron Finance Corp.^		7.75			2/15/2021		905,000		927,033		929,888

See accompanying Notes to the Financial Statements.

92

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Machinery Non-Agriculture, Non-Construction, Non-Electronic (Continued)
Xerium Technologies, Inc.^		9.50	%		8/15/2021		500,000	$	495,644	$	498,750
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							3,155,000		3,088,484		3,094,888
Mining, Steel, Iron and Non-Precious Metals — 1.9%*:
BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC+^		6.50			5/15/2021		166,000		166,000		175,894
Constellium NV+		7.00			1/15/2023		600,000		646,768		634,748
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^		7.38			2/1/2020		550,000		545,983		547,250
TMS International Corp.^		7.63			10/15/2021		1,000,000		960,189		955,000
Total Mining, Steel, Iron and Non-Precious Metals							2,316,000		2,318,940		2,312,892
Oil and Gas — 4.6%*:
Citgo Holding, Inc.^		10.75			2/15/2020		350,000		341,554		375,375
Energy Transfer Equity LP		5.50			6/1/2027		111,000		95,831		108,225
EP Energy LLC/Everest Acquisition Finance, Inc.		9.38			5/1/2020		350,000		285,901		322,654
Genesis Energy LP/Genesis Energy Finance Corp.		6.75			8/1/2022		500,000		481,818		519,500
Globe Luxembourg S.C.A.^+		9.63			5/1/2018		450,000		423,469		444,375
Jupiter Resources, Inc.+^		8.50			10/1/2022		1,450,000		1,209,629		1,250,627
Kosmos Energy Ltd.^		7.88			8/1/2021		1,325,000		1,278,602		1,318,375
Shelf Drilling Holdings Ltd.+^		8.63			11/1/2018		439,000		392,033		368,760
Sunoco LP/Sunoco Finance Corp.		5.50			8/1/2020		302,000		302,000		308,040
Sunoco LP/Sunoco Finance Corp.		6.25			4/15/2021		600,000		598,692		611,250
Total Oil and Gas							5,877,000		5,409,529		5,627,181
Personal and Non-Durable Consumer Products Mfg. Only — 0.2%*:
Wolverine World Wide, Inc.^		5.00			9/1/2026		283,000		283,000		272,388
Personal Transportation — 0.9%*:
AA Bond Co. Ltd.+		5.50			7/31/2022		850,000		1,153,635		1,069,276
Personal, Food and Miscellaneous — 0.2%*:
Wagamama Finance PLC+		7.88			2/1/2020		200,000		296,719		257,581
Printing and Publishing — 0.4%*:
MHGE Parent LLC/MHGE Parent Finance, Inc.^		8.50			8/1/2019		500,000		506,775		502,500
Retail Stores — 2.7%*:
Boing Group Financing PLC MTN+		6.63			7/15/2019		300,000		375,386		313,111
Dollar Tree, Inc.		5.75			3/1/2023		815,000		838,144		862,938
House of Fraser Funding PLC+		6.13	#		9/15/2020		150,000		232,340		165,450
HSS Financing PLC+		6.75			8/1/2019		204,000		307,968		254,804
Penske Automotive Group, Inc.		5.50			5/15/2026		545,000		543,670		538,187
Takko Luxembourg 2 S.C.A.+		6.69	#		4/15/2019		100,000		67,837		76,843

See accompanying Notes to the Financial Statements.

93

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Retail Stores (Continued)
Takko Luxembourg 2 S.C.A. MTN+		9.88	%		4/15/2019		525,000	$	512,083	$	445,429
Travelex Financing PLC+		8.00			8/1/2018		500,000		643,158		616,200
Total Retail Stores							3,139,000		3,520,586		3,272,962
Telecommunications — 4.3%*:
Altice Financing SA+^		7.50			5/15/2026		825,000		827,027		858,000
Altice Luxembourg SA+		6.25			2/15/2025		250,000		284,288		274,870
Hughes Satellite Systems Corp.^		6.63			8/1/2026		426,000		425,481		428,130
LGE HoldCo VI B.V.+		7.13			5/15/2024		250,000		308,472		298,689
Numericable-SFR SA+^		6.00			5/15/2022		315,000		315,000		323,269
Numericable-SFR SA+^		7.38			5/1/2026		397,000		397,000		406,925
T-Mobile USA, Inc.		6.50			1/15/2026		294,000		294,000		317,887
Telenet Finance VI Luxembourg S.C.A.+		4.88			7/15/2027		100,000		114,211		109,737
UPCB Finance IV Ltd.+		4.00			1/15/2027		250,000		278,881		262,505
Virgin Media Finance PLC+		6.38			10/15/2024		250,000		375,139		325,834
Wind Acquisition Finance SA+^		7.38			4/23/2021		1,200,000		1,168,594		1,248,000
Ziggo Secured Finance B.V.+		4.25			1/15/2027		400,000		446,180		419,610
Total Telecommunications							4,957,000		5,234,273		5,273,456
Utilities — 0.3%*:
NRG Energy, Inc.^		7.25			5/15/2026		327,000		327,000		325,365
Total Corporate Bonds							64,486,000		67,989,434		66,405,035
Total Fixed Income							113,756,293		114,973,055		112,309,708
Short-Term Investment — 5.5%*:
Bank Deposit — 5.5%*:
State Street Bank & Trust Co. Euro Time Deposit		0.01			1/3/2017		6,712,542		6,712,542		6,712,542
Total Investments							139,341,181		122,062,085		119,522,484
Other assets and liabilities – 2.8%*											3,398,355
Net Assets – 100.0%											$122,920,839

MTN Medium Term Note

OTC Over the Counter

PIK Payment-in-kind

TBA To Be Announced: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement.

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

See accompanying Notes to the Financial Statements.

94

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	71.2%
United Kingdom	11.0%
Germany	3.5%
Netherlands	3.4%
France	2.4%
Switzerland	1.4%
Canada	1.1%
Italy	1.1%
Other (Individually less than 1%)	4.9%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

§ Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at December 31, 2016. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.

¤ For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

†† Illiquid security.

# Variable rate security. The interest rate shown is the rate in effect at December 31, 2016.

(1) Non-income producing security.

A summary of outstanding derivatives at December 31, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/13/17	Citibank N.A.		EUR	667,734		703,319		700,714	$	2,605
1/13/17	Morgan Stanley & Co.		EUR	19,890		20,950		20,838		112
1/13/17	Morgan Stanley & Co.		GBP	160,421		197,765		201,973		(4,208	)
Net unrealized depreciation on forward foreign exchange contracts to buy									$	(1,491	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION
1/13/17	Citibank N.A.		EUR	13,855,695		14,594,090		14,718,251	$	124,161
1/13/17	JPMorgan Chase Bank N.A.		GBP	9,269,055		11,426,775		11,658,432		231,657
Net unrealized appreciation on forward foreign exchange contracts to sell									$	355,818

See accompanying Notes to the Financial Statements.

95

Barings Global Credit Income Opportunities Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Currency Legend

EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

96

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 97.6%*:
Asset-Backed Securities — 31.6%*:
CDO/CLO — 4.2%*:
AIMCO CLO Series 2014-A A^		2.42	#%		7/20/2026		450,000		$448,927		$450,016
ALM VII Ltd. 2012-7A A1R^		2.33	#		10/15/2028		390,000		390,000		391,161
ALM XIV Ltd. 2014-14A A1^		2.32	#		7/28/2026		500,000		498,854		499,998
Apidos CLO XXV 2016-25A A1^		2.20	#		10/20/2028		470,000		470,000		470,072
BlueMountain CLO Ltd. 2013-3A A^		2.29	#		10/29/2025		500,000		497,073		500,135
BlueMountain CLO Ltd. 2015-2A A1^		2.31	#		7/18/2027		500,000		492,858		501,193
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1^		2.38	#		10/15/2026		250,000		250,000		250,165
Galaxy XX CLO Ltd. 2015-20A A^		2.33	#		7/20/2027		250,000		247,026		250,323
Goldentree Loan Opportunities VIII Ltd. 2014-8A A^		2.33	#		4/19/2026		900,000		896,167		900,034
LCM XIV LP 2014-A^		2.03	#		7/15/2025		700,000		699,153		697,484
LCM XVI LP 16A A^		2.38	#		7/15/2026		250,000		250,000		250,069
LCM XXIII Ltd. 23A A1^		2.51	#		10/20/2029		610,000		610,000		609,995
Madison Park Funding XII Ltd. 2014-12A A^		2.38	#		7/20/2026		250,000		248,377		250,067
Madison Park Funding XIV Ltd. 2014-14A A2^		2.33	#		7/20/2026		250,000		249,856		250,052
Madison Park Funding XXII Ltd. 2016-22A A^		2.38	#		10/25/2029		350,000		350,000		350,776
Magnetite XVIII Ltd. 2016-8A A^		2.25	#		11/15/2028		380,000		380,000		379,988
OHA Loan Funding Ltd. 2015-1A AR^		2.35	#		8/15/2029		840,000		840,000		839,997
Seneca Park CLO Ltd. 2014-1A A^		2.36	#		7/17/2026		360,000		358,549		360,065
Symphony CLO XV Ltd. 2014-15A A^		2.33	#		10/17/2026		250,000		248,138		250,064
TCI-Symphony CLO Ltd. 2016-1A A^		2.40	#		10/13/2029		320,000		320,000		320,979
Treman Park CLO Ltd.^		2.25	#		4/20/2027		970,000		970,000		970,000
Voya CLO Ltd. 2014-2A A1^		2.33	#		7/17/2026		535,000		535,000		535,003
Total CDO/CLO							10,275,000		10,249,978		10,277,636
Other Asset-Backed Securities — 27.4%*:
321 Henderson Receivables II LLC 2006-3A A1^		0.64	#		9/15/2041		196,003		190,302		184,857
Access Group, Inc. 2002-A A2		2.05	#		9/25/2037		850,000		781,487		833,000
Access Group, Inc. 2005-1 A3		1.15	#		6/22/2022		87,208		86,127		86,597
Access Group, Inc. 2015-1 A^		1.46	#		7/25/2056		172,791		168,986		170,764
Access Group, Inc. 2015-1 B^		2.26	#		7/25/2058		100,000		86,323		82,798
Alterna Funding I LLC Series 2014-1A^		1.64			2/15/2021		236,445		233,929		229,795
American Credit Acceptance Receivables Trust 2015-3 A^		1.95			9/12/2019		40,382		40,380		40,446
American Credit Acceptance Receivables Trust 2016-1A^		2.37			5/12/2020		50,911		50,910		51,026
American Credit Acceptance Receivables Trust 2016-2^		2.22			7/13/2020		298,427		298,421		298,819
AmeriCredit Automobile Receivables Trust 2014-1 D		2.54			6/8/2020		310,000		309,638		312,012
Arbys Funding LLC 2015-1A A2^		4.97			10/30/2045		79,200		79,200		80,041

See accompanying Notes to the Financial Statements.

97

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-W10		1.48	# %		10/25/2034		366,141	$	331,724	$	350,188
ARI Fleet Lease Trust 2016-A A3^		2.11			7/15/2024		200,000		199,964		198,990
Asset Backed Securities Corp. Home Equity Loan Trust 2005-HE1 M1		1.51	#		3/25/2035		517,033		513,909		523,169
AVANT Loans Funding Trust 2016-A A^		4.11			5/15/2019		347,218		348,909		347,961
AVANT Loans Funding Trust 2016-C A^		2.96			9/16/2019		98,892		98,890		98,836
Avis Budget Rental Car Funding AESOP LLC Series 2012-3A A^		2.10			3/20/2019		240,000		238,982		240,246
BCC Funding XIII LLC 2016-1 A1^		1.10			9/20/2017		548,895		548,895		547,542
Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1^		2.49			12/16/2041		380,000		380,000		380,594
BlueVirgo Trust 2015-1A^		3.00			12/15/2022		267,045		266,020		269,862
Capital Automotive REIT 2010-1A A^		5.73			12/15/2038		90,688		94,335		91,765
CarFinance Capital Auto Trust 2013-2A^		4.04			8/15/2019		650,000		652,612		655,492
CarFinance Capital Auto Trust 2014-2^		1.44			11/16/2020		122,078		121,145		121,934
Cazenovia Creek Funding I LLC 2015-1A A^		2.00			12/10/2023		161,607		160,011		160,294
Centex Home Equity Loan Trust 2006-A AV4		1.01	#		6/25/2036		222,011		216,679		220,501
Chase Issuance Trust Series 2014-A1		1.15			1/15/2019		3,000,000		3,003,798		3,000,009
Chesapeake Funding II LLC^		1.88			6/15/2028		290,000		289,985		289,294
Citi Held For Asset Issuance 2015-PM1 A^		1.85			12/15/2021		4,517		4,517		4,514
Citi Held For Asset Issuance 2015-PM2 A^		2.35			3/15/2022		21,962		21,961		21,974
Citi Held For Asset Issuance 2015-PM3 A^		2.56			5/16/2022		31,833		31,833		31,798
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates 2005-OPT3 M2		1.43	#		5/25/2035		408,878		407,865		408,723
CKE Restaurant Holdings, Inc. 2013-1A A2^		4.47			3/20/2043		457,719		462,073		452,026
CLI Funding V LLC 2013-1A^		2.83			3/18/2028		60,900		60,608		58,662
CLI Funding V LLC 2014-1A A^		3.29			6/18/2029		186,760		181,419		180,120
College Loan Corp. Trust I 2005-2 B		1.37	#		1/15/2037		224,108		196,694		188,913
CPS Auto Receivables Trust 2013-A A^		1.31			6/15/2020		117,943		117,570		117,544
CPS Auto Receivables Trust 2014-D A^		1.49			4/15/2019		96,671		96,316		96,584
CPS Auto Receivables Trust 2015-B A^		1.65			11/15/2019		127,219		126,312		127,292
CPS Auto Receivables Trust 2015-C A^		1.77			6/17/2019		41,072		41,070		41,124
CPS Auto Receivables Trust 2015-C B^		2.55			2/18/2020		100,000		99,987		100,492
CPS Auto Receivables Trust 2016-A A^		2.25			10/15/2019		95,608		95,605		95,980
CPS Auto Receivables Trust 2016-B A^		2.07			11/15/2019		183,469		183,464		183,689
CPS Auto Receivables Trust 2016-C A^		1.62			1/15/2020		142,833		142,833		142,836
CPS Auto Receivables Trust 2016-C B^		2.48			9/15/2020		180,000		179,984		179,914
Credit Suisse ABS Repackaging Trust 2013-A B^		2.50			1/25/2030		105,896		100,766		98,608
DB Master Finance LLC 2015-1A A2I^		3.26			2/20/2045		609,150		604,624		609,949
DB Master Finance LLC 2015-1A A2II^		3.98			2/20/2045		1,179,000		1,187,836		1,196,687
Diamond Resorts Owner Trust 2013-1^		1.95			1/20/2025		428,928		426,304		425,313
Diamond Resorts Owner Trust 2013-2 A^		2.27			5/20/2026		628,877		624,028		625,534
Diamond Resorts Owner Trust 2015-1 A^		2.73			7/20/2027		41,142		41,139		40,893
Diamond Resorts Owner Trust 2015-2^		2.99			5/22/2028		167,247		169,138		166,224

See accompanying Notes to the Financial Statements.

98

Barings Active Short Duration Bond Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Diamond Resorts Owner Trust 2015-2 B^		3.54	%		5/22/2028		60,817	$	60,814	$	60,878
Diamond Resorts Owner Trust 2016-1^		3.08			11/20/2028		1,403,725		1,403,725		1,395,096
Domino’s Pizza Master Issuer LLC 2012-1A A2^		5.22			1/25/2042		232,800		238,390		237,447
Domino’s Pizza Master Issuer LLC 2015 1A-A2I^		3.48			10/25/2045		336,600		330,775		333,099
DRB Prime Student Loan Trust 2015-A A2^		3.06			7/25/2031		99,892		98,628		96,968
DRB Prime Student Loan Trust 2015-B A2^		3.17			7/25/2031		275,385		274,316		275,131
DRB Prime Student Loan Trust 2015-B A3^		2.54			4/27/2026		55,876		55,870		55,265
DRB Prime Student Loan Trust 2015-D A1^		2.46	#		1/25/2040		230,415		225,507		229,261
DRB Prime Student Loan Trust 2015-D A2^		3.20			1/25/2040		1,004,386		1,003,326		996,942
DRB Prime Student Loan Trust 2016-A A1^		2.76	#		4/25/2040		281,151		280,577		280,369
DRB Prime Student Loan Trust 2016-B^		2.89			6/25/2040		272,194		272,112		263,789
DRB Prime Student Loan Trust 2016-R^		2.43	#		10/25/2044		1,049,153		1,049,153		1,049,153
Drive Auto Receivables Trust 2015-AA C^		3.06			5/17/2021		500,000		505,769		504,477
Drive Auto Receivables Trust 2016-B^		2.56			6/15/2020		130,000		129,996		130,508
Drive Auto Receivables Trust 2016-C^		0.90			12/15/2017		1,054,131		1,054,131		1,054,118
Drug Royalty LP 1 2012-1 A1^		6.13	#		7/15/2024		60,641		62,009		61,496
DT Auto Owner Trust 2015-3A A^		1.66			3/15/2019		18,676		18,675		18,677
DT Auto Owner Trust 2016-1A A^		2.00			9/16/2019		109,925		109,922		109,902
DT Auto Owner Trust 2016-1A B^		2.79			5/15/2020		230,000		229,991		231,324
DT Auto Owner Trust 2016-2A B^		2.92			5/15/2020		460,000		459,992		463,857
Earnest Student Loan Program LLC 2016-B A1^		2.81	#		2/26/2035		399,400		399,400		399,399
Earnest Student Loan Program LLC 2016-C A2^		2.68			7/25/2035		533,045		529,936		518,163
Earnest Student Loan Program LLC 2016-D A2^		2.72			1/25/2041		603,065		602,876		593,297
ECMC Group Student Loan Trust 2016-1A A^		2.11	#		7/26/2066		594,220		594,220		592,468
Education Funding Capital Trust IV 2004-1 A5		1.45	#		6/15/2043		50,000		47,071		48,451
Elara HGV Timeshare Issuer LLC 2014-A B^		3.02			2/25/2027		42,781		42,421		42,981
Elara HGV Timeshare Issuer LLC 2016-A^		2.73			4/25/2028		308,283		308,278		302,393
Element Rail Leasing II LLC 2015-1A A1^		2.71			2/19/2045		479,216		474,963		467,600
Element Rail Leasing II LLC 2015-1A A1+^		3.97			3/19/2046		151,668		151,668		152,069
Entegry New Orleans Storm Recovery Funding I LLC 2015-1 A		2.67			6/1/2027		159,174		159,140		160,729
Enterprise Fleet Financing LLC 2016-1 A2^		1.83			9/20/2021		580,057		579,988		580,336
Exeter Automobile Receivables Trust 2015-2A C^		3.90			3/15/2021		800,000		811,579		808,677
Exeter Automobile Receivables Trust 2015-3A A^		2.00			3/16/2020		104,240		104,276		104,415
Exeter Automobile Receivables Trust 2016-3A B^		2.84			8/16/2021		240,000		239,959		239,055
First Franklin Mortgage Loan Trust 2004-FFH4 M5		2.33	#		1/25/2035		400,000		401,965		403,896
First Franklin Mortgage Loan Trust 2005 FF3 M3		1.48	#		4/25/2035		432,904		430,783		431,209
First Investors Auto Owner Trust 2015-2A A1^		1.59			12/16/2019		20,835		20,835		20,846
First Investors Auto Owner Trust 2016-1A A1^		1.92			5/15/2020		247,350		247,345		247,884
First Investors Auto Owner Trust 2016-2A B^		2.21			7/15/2022		520,000		519,973		515,160
Flagship Credit Auto Trust 2013-2 B^		3.21			8/15/2019		250,000		252,311		250,881

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Flagship Credit Auto Trust 2014-1 A^		1.21	%		4/15/2019		38,991	$	38,915	$	38,979
Flagship Credit Auto Trust 2015-2 A^		1.98			10/15/2020		66,633		66,628		66,724
Flagship Credit Auto Trust 2015-3 A^		2.38			10/15/2020		436,135		437,802		437,599
Flagship Credit Auto Trust 2016-1 A^		2.77			12/15/2020		330,472		329,810		332,939
Flagship Credit Auto Trust 2016-3 B^		2.43			6/15/2021		310,000		309,974		308,787
Flagship Credit Auto Trust 2016-4 B^		2.41			10/15/2021		940,000		939,886		932,383
Flagship Credit Auto Trust 2016-4 B^		2.71			11/15/2022		410,000		409,978		405,262
FNA Trust 2015-1 A^		3.24			12/10/2023		273,386		273,517		271,773
FRS I LLC 2013-1A A1^		1.80			4/15/2043		38,619		38,225		37,847
Global SC Finance II SRL 2014-1A A1+^		3.19			7/17/2029		235,083		235,033		225,545
Goal Structured Solution Trust 2015-1 B^		2.26	#		9/25/2043		100,000		75,840		87,913
Goodgreen Trust 2016-1 A^		3.23			10/15/2052		639,620		639,302		634,983
Green Tree Agency Advance Funding Trust I 2015-T2 AT2^		3.09			10/15/2048		100,000		100,000		100,000
GSAMP Trust 2005-SEA2 A1^		1.11	#		1/25/2045		47,580		45,735		47,237
HERO Funding Trust 2015-1A^		3.84			9/21/2040		1,184,484		1,206,656		1,205,212
HERO Funding Trust 2016-4A A1^		3.57			9/20/2047		930,000		929,626		930,000
Hilton Grand Vacations Trust 2013-A^		2.28			1/25/2026		78,471		77,316		77,824
Leaf Receivables Funding 11 LLC 2016-1 A1^		1.00			6/15/2017		132,978		132,978		132,883
Marlette Funding Trust 2016-1A A^		3.06			1/17/2023		846,293		847,159		845,500
Miramax LLC 2014-1A A2^		3.34			7/20/2026		130,788		131,222		130,062
Morgan Stanley ABS Capital I, Inc. Trust 2005-WMC6 M2		1.51	#		7/25/2035		22,024		21,808		21,958
MVW Owner Trust 2013-1A A^		2.15			4/22/2030		208,682		206,000		206,706
MVW Owner Trust 2015-1A A^		2.52			12/20/2032		66,518		66,513		66,058
MVW Owner Trust 2016-1A A^		2.25			12/20/2033		94,591		94,582		92,705
Nations Equipment Finance Funding III LLC 2016-1A A^		3.61			2/20/2021		255,896		255,892		255,768
Navient Private Education Loan Trust 2015-BA A1^		1.30	#		5/15/2023		487		487		487
Navient Student Loan Trust 2016-6 A3^		2.06	#		3/25/2066		1,100,000		1,100,000		1,100,009
Navistar Financial Dealer Note Master Owner Trust II 2016-1 A^		2.11	#		9/27/2021		550,000		550,000		550,441
Navitas Equipment Receivables LLC 2015-1 A2^		2.12			11/15/2018		178,254		178,212		178,441
Nelnet Private Education Loan Trust 2016-A A1A^		2.37	#		12/26/2040		500,000		500,000		499,849
Nelnet Private Education Loan Trust 2016-A A1B^		3.60			12/26/2040		360,000		357,602		359,580
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^		2.58			10/15/2049		1,950,000		1,950,000		1,926,867
NextGear Floorplan Master Owner Trust 2015-2A A^		2.38			10/15/2020		100,000		99,993		100,444
NextGear Floorplan Master Owner Trust 2016-1A A1^		2.40	#		4/15/2021		490,000		490,000		496,734

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
NextGear Floorplan Master Owner Trust 2016-2A A2^		2.19	%		9/15/2021		762,000	$	759,320	$	755,848
Northstar Education Finance, Inc. 2005-1 A5		1.64	#		10/30/2045		255,900		244,832		242,785
NovaStar Mortgage Funding Trust 2004-4 M5		2.48	#		3/25/2035		600,000		599,813		603,844
NRZ Advance Receivables Trust 2016-T4 AT4^		3.11			12/15/2050		900,000		900,000		899,999
OnDeck Asset Securitization Trust II LLC 2016-1A A^		4.21			5/17/2020		110,000		109,994		108,607
OneMain Financial Issuance Trust 2014-2A A^		2.47			9/18/2024		139,685		140,133		139,743
Orange Lake Timeshare Trust 2016-A^		2.61			3/8/2029		323,633		323,597		319,939
Oscar US Funding Trust II 2015 1A A3^		1.86			10/15/2019		720,000		717,925		715,705
Oscar US Funding Trust II 2015 1A A4^		2.44			6/15/2022		270,000		262,729		265,889
Oscar US Funding Trust IV 2016 1A A2B^		2.40	#		7/15/2020		162,718		162,718		162,769
Oscar US Funding Trust IV 2016-1A A2A^		2.53			7/15/2020		406,795		407,877		406,823
Oscar US Funding Trust V 2016-2A A1^		0.90			9/17/2017		211,039		211,039		210,889
Oscar US Funding Trust V 2016-2A A2A^		2.31			11/15/2019		450,000		449,949		450,269
Oxford Finance Funding LLC 2016-1A A^		3.97			6/17/2024		170,000		170,000		169,298
PFS Financing Corp. 2014-AA A^		1.30	#		2/15/2019		820,000		819,714		819,522
Popular ABS Mortgage Pass-Through Trust 2006-B A3		1.04	#		5/25/2036		117,045		112,327		116,528
Prestige Auto Receivables Trust 2015-1 B^		2.04			4/15/2021		260,000		260,864		259,271
Santander Drive Auto Receivables Trust 2014-4 B		1.82			5/15/2019		147,986		148,450		148,119
Santander Drive Auto Receivables Trust 2014-4 D		3.10			11/16/2020		540,000		545,870		546,840
Santander Drive Auto Receivables Trust 2015-2 C		2.44			4/15/2021		720,000		725,467		723,816
Santander Drive Auto Receivables Trust 2016-1 A3		1.62			3/16/2020		180,000		179,978		180,018
Santander Drive Auto Receivables Trust 2016-1 B		2.47			12/15/2020		360,000		359,984		363,041
Santander Drive Auto Receivables Trust 2016-1 D		4.02			4/15/2022		430,000		439,986		446,356
Sierra Timeshare Receivables Funding LLC 2014-1A A^		2.07			3/20/2030		107,874		107,225		107,145
Sierra Timeshare Receivables Funding LLC 2014-2A A^		2.05			6/20/2031		95,988		94,912		95,813
Sierra Timeshare Receivables Funding LLC 2014-3A A^		2.30			10/20/2031		353,249		351,114		352,664
Sierra Timeshare Receivables Funding LLC 2015 3A B^		3.08			9/20/2032		50,730		50,729		49,904
Sierra Timeshare Receivables Funding LLC 2015-1A A^		2.40			3/22/2032		270,261		266,917		269,721
Sierra Timeshare Receivables Funding LLC 2015-2A B^		3.02			6/20/2032		42,097		42,088		42,364
Sierra Timeshare Receivables Funding LLC 2015-3A A^		2.58			9/20/2032		50,730		50,720		50,044
SLC Private Student Loan Trust 2006-A A5		1.05	#		7/15/2036		184,327		183,262		183,986
SLC Private Student Loan Trust 2006-A C		1.33	#		7/15/2036		350,000		309,178		312,557
SLC Student Loan Trust 2005-1 B		1.10	#		2/15/2045		294,470		245,227		248,736
SLM Student Loan Trust 2003-14 A6		1.18	#		7/25/2025		40,000		38,467		39,134

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
SLM Student Loan Trust 2003-4 B		1.61	# %		6/15/2038		138,380	$	126,688	$	121,348
SLM Student Loan Trust 2005-4 B		1.06	#		7/25/2040		438,312		364,837		376,630
SLM Student Loan Trust 2006-5 B		1.09	#		10/25/2040		493,355		424,791		425,344
SLM Student Loan Trust 2006-9 A5		0.98	#		1/26/2026		140,793		137,127		138,258
SLM Student Loan Trust 2012-5 A2		1.06	#		6/25/2019		58,790		58,495		58,519
SMB Private Education Loan Trust 2015-A A2B^		1.70	#		6/15/2027		100,000		98,250		99,173
SMB Private Education Loan Trust 2016-A A1^		1.40	#		5/15/2023		395,425		395,425		396,101
SMB Private Education Loan Trust 2016-B A2B^		2.15	#		2/17/2032		132,000		132,000		132,000
SoFi Consumer Loan Program LLC 2016-1A A^		3.26			8/25/2025		1,003,818		1,007,750		1,005,103
SoFi Consumer Loan Program LLC 2016-2A A^		3.09			10/27/2025		474,158		474,087		472,732
SoFi Consumer Loan Program LLC 2016-3 A^		3.05			12/26/2025		415,401		415,393		413,756
SoFi Consumer Loan Program LLC 2016-5 A^		3.06			9/25/2028		2,300,000		2,292,237		2,295,678
SoFi Professional Loan Program LLC 2015-C A2^		2.51			8/25/2033		65,185		64,850		64,701
SoFi Professional Loan Program LLC 2016 A A1^		2.51	#		8/25/2036		259,800		257,528		267,457
SoFi Professional Loan Program LLC 2016-B A1^		1.96	#		6/25/2033		304,425		304,425		307,739
SoFi Professional Loan Program LLC 2016-B A2A^		1.68			3/25/2031		252,361		252,341		251,857
SoFi Professional Loan Program LLC 2016-D A1^		1.71	#		1/25/2039		210,016		210,016		210,699
SoFi Professional Loan Program LLC 2016-E A2B^		2.49			1/25/2036		330,000		329,344		327,040
SpringCastle America Funding LLC 2016-AA A^		3.05			4/25/2029		687,134		687,108		690,570
Springleaf Funding Trust 2016-AA A^		2.90			11/15/2029		1,560,000		1,559,760		1,556,515
SPS Servicer Advance Receivable 2015-T3 AT3^		2.92			7/15/2047		100,000		99,991		100,080
SPS Servicer Advance Receivable 2016-T1 AT1^		2.53			11/16/2048		1,040,000		1,039,909		1,037,302
SVO VOI Mortgage LLC 2012-AA A^		2.00			9/20/2029		449,577		443,330		441,569
Taco Bell Funding LLC 2016-1A A2I^		3.83			5/25/2046		329,175		330,266		331,283
Trinity Rail Leasing LP 2012-1A A1^		2.27			1/15/2043		65,324		63,365		62,448
VSE VOI Mortgage LLC 2016-A A^		2.54			7/20/2033		809,788		809,706		801,394
Wendys Funding LLC 2015 1A A2I^		3.37			6/15/2045		740,625		738,110		739,496
Westgate Resorts LLC 2015-2A A^		3.20			7/20/2028		293,539		293,178		292,523
Westlake Automobile Receivables Trust 2016-1A A2B^		1.75	#		1/15/2019		251,169		251,169		251,395
Westlake Automobile Receivables Trust 2016-2A A2^		1.57			6/17/2019		290,000		289,986		290,251
Total Other Asset-Backed Securities							68,517,774		68,058,730		68,062,337
Total Asset-Backed Securities							78,792,774		78,308,708		78,339,973

See accompanying Notes to the Financial Statements.

102

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds — 42.3%*:
Advertising — 0.4%*:
S&P Global, Inc.		2.50	%		8/15/2018		260,000		$260,687		$262,171
S&P Global, Inc.		3.30			8/14/2020		700,000		727,702		713,712
Total Advertising							960,000		988,389		975,883
Aerospace/Defense — 0.9%*:
Harris Corp.		2.00			4/27/2018		785,000		786,297		785,478
Harris Corp.		2.70			4/27/2020		330,000		330,535		329,637
L-3 Communications Corp.		5.20			10/15/2019		1,065,000		1,124,415		1,145,478
Total Aerospace/Defense							2,180,000		2,241,247		2,260,593
Agriculture — 1.0%*:
Bunge Ltd. Finance Corp.		3.50			11/24/2020		1,050,000		1,073,823		1,068,716
Imperial Brands Finance PLC+^		2.05			7/20/2018		335,000		334,107		334,924
Imperial Brands Finance PLC+^		2.95			7/21/2020		1,097,000		1,119,418		1,103,712
Total Agriculture							2,482,000		2,527,348		2,507,352
Airlines — 0.2%*:
WestJet Airlines Ltd.+^		3.50			6/16/2021		490,000		489,401		489,795
Auto Manufacturers — 1.8%*:
Ford Motor Credit Co. LLC		2.24			6/15/2018		930,000		928,847		931,260
Ford Motor Credit Co. LLC		3.34			3/18/2021		315,000		315,000		317,186
General Motors Co.		3.50			10/2/2018		250,000		253,531		254,975
General Motors Financial Co., Inc.		3.20			7/13/2020		1,350,000		1,346,839		1,354,061
Hyundai Capital America^		2.00			7/1/2019		70,000		69,959		69,459
Hyundai Capital America^		2.40			10/30/2018		150,000		150,050		150,626
Hyundai Capital America^		2.55			2/6/2019		620,000		626,303		623,627
Hyundai Capital America^		3.00			10/30/2020		280,000		284,800		280,000
Nissan Motor Acceptance Corp.^+		1.90			9/14/2021		560,000		558,623		540,374
Total Auto Manufacturers							4,525,000		4,533,952		4,521,568
Auto Parts&Equipment — 0.9%*:
Goodyear Tire & Rubber Co. (The)		5.13			11/15/2023		1,115,000		1,154,012		1,148,450
Lear Corp.		4.75			1/15/2023		1,110,000		1,150,383		1,132,200
Total Auto Parts&Equipment							2,225,000		2,304,395		2,280,650
Beverages — 0.8%*:
Anheuser-Busch InBev Finance, Inc.+		2.65			2/1/2021		695,000		705,512		698,993
Coca-Cola Femsa SAB de CV+		2.38			11/26/2018		964,000		974,394		970,695
Molson Coors Brewing Co.		2.10			7/15/2021		325,000		322,334		316,521
Total Beverages							1,984,000		2,002,240		1,986,209
Biotechnology — 0.5%*:
Celgene Corp.		2.13			8/15/2018		420,000		420,635		421,687
Celgene Corp.		2.25			5/15/2019		250,000		250,365		250,143
Celgene Corp.		2.88			8/15/2020		680,000		698,575		687,789
Total Biotechnology							1,350,000		1,369,575		1,359,619

See accompanying Notes to the Financial Statements.

103

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Chemicals — 2.3%*:
Air Liquide Finance SA+^		1.75	%		9/27/2021		500,000	$	494,734	$	481,955
Airgas, Inc.		2.38			2/15/2020		250,000		248,218		250,123
Airgas, Inc.		3.05			8/1/2020		450,000		457,039		460,082
CF Industries, Inc.		6.88			5/1/2018		1,190,000		1,267,261		1,252,642
Dow Chemical Co. (The)		8.55			5/15/2019		125,000		143,613		143,260
Ecolab, Inc.		2.00			1/14/2019		530,000		534,255		530,407
Incitec Pivot Finance LLC+^		6.00			12/10/2019		195,000		208,345		209,787
LyondellBasell Industries NV		5.00			4/15/2019		837,000		882,188		884,418
LyondellBasell Industries NV		6.00			11/15/2021		300,000		348,580		340,221
RPM International, Inc.		6.13			10/15/2019		855,000		936,222		938,932
RPM International, Inc.		6.50			2/15/2018		265,000		277,299		277,731
Total Chemicals							5,497,000		5,797,754		5,769,558
Commercial Banks — 6.5%*:
ANZ New Zealand Int’l Ltd.+^		2.25			2/1/2019		1,225,000		1,231,115		1,226,203
Bancolombia SA+		5.95			6/3/2021		315,000		344,687		341,870
Bank of America Corp.		5.42			3/15/2017		1,000,000		1,007,249		1,007,246
Bank of America Corp. MTN		2.25			4/21/2020		850,000		833,981		845,045
CIT Group, Inc.		4.25			8/15/2017		1,275,000		1,287,611		1,292,531
Citigroup, Inc.		2.35			8/2/2021		1,160,000		1,161,682		1,134,711
First Horizon National Corp.		3.50			12/15/2020		1,570,000		1,580,602		1,584,300
First Tennessee Bank N.A.		2.95			12/1/2019		550,000		547,364		551,364
Goldman Sachs Group, Inc. (The)		2.38			1/22/2018		590,000		594,390		593,508
Goldman Sachs Group, Inc. (The)		2.55			10/23/2019		650,000		649,719		654,772
Goldman Sachs Group, Inc. (The)		2.88			2/25/2021		1,035,000		1,061,495		1,039,786
Itau Unibanco Holding SA+^		2.85			5/26/2018		400,000		396,596		401,000
Macquarie Bank Ltd.+^		2.85			1/15/2021		130,000		133,977		130,542
Mitsubishi UFJ Trust & Banking Corp.+^		2.65			10/19/2020		1,080,000		1,090,720		1,076,172
Morgan Stanley		2.13			4/25/2018		415,000		416,989		416,653
Morgan Stanley		2.45			2/1/2019		1,405,000		1,418,669		1,414,648
Regions Bank		7.50			5/15/2018		212,000		227,764		227,122
Regions Financial Corp.		3.20			2/8/2021		1,130,000		1,163,829		1,145,989
Sumitomo Mitsui Financial Group, Inc.+		2.06			7/14/2021		582,000		577,600		562,905
SVB Financial Group		5.38			9/15/2020		200,000		217,913		216,704
Turkiye Garanti Bankasi AS+^		4.75			10/17/2019		325,000		334,868		323,131
Total Commercial Banks							16,099,000		16,278,820		16,186,202
Construction Materials — 1.3%*:
Holcim US Finance Sarl & Cie SCS+^		6.00			12/30/2019		1,210,000		1,330,008		1,325,668
James Hardie International Finance Ltd.+^		5.88			2/15/2023		650,000		688,193		672,750
Masco Corp.		3.50			4/1/2021		380,000		383,570		380,950
Masco Corp.		7.13			3/15/2020		715,000		809,782		804,375
Total Construction Materials							2,955,000		3,211,553		3,183,743

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Diversified Financial Services — 2.6%*:
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust+		2.75	%		5/15/2017		415,000	$	414,714	$	415,519
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust		3.95			2/1/2022		380,000		379,358		383,325
Air Lease Corp.		2.13			1/15/2018		530,000		527,436		530,943
Air Lease Corp.		2.13			1/15/2020		400,000		398,675		394,031
Air Lease Corp.		2.63			9/4/2018		125,000		124,651		125,872
Air Lease Corp.		3.38			1/15/2019		200,000		203,137		203,391
Ally Financial, Inc.		4.75			9/10/2018		1,355,000		1,387,136		1,395,650
BGC Partners, Inc.		5.13			5/27/2021		770,000		782,168		792,369
Icahn Enterprises LP/Icahn Enterprises Finance Corp.		3.50			3/15/2017		1,100,000		1,100,687		1,102,062
International Lease Finance Corp.		3.88			4/15/2018		350,000		351,037		356,562
Lazard Group LLC		4.25			11/14/2020		715,000		749,520		748,432
Total Diversified Financial Services							6,340,000		6,418,519		6,448,156
Electric — 1.7%*:
Ameren Corp.		2.70			11/15/2020		560,000		567,574		563,006
Duke Energy Corp.		1.80			9/1/2021		610,000		594,454		587,615
EDP Finance BV+^		4.13			1/15/2020		1,060,000		1,087,782		1,083,235
EDP Finance BV+^		4.90			10/1/2019		89,000		93,135		93,262
Entergy Texas, Inc.		2.55			6/1/2021		170,000		169,722		169,436
Entergy Texas, Inc.		7.13			2/1/2019		300,000		329,275		330,148
IPALCO Enterprises, Inc.		5.00			5/1/2018		150,000		154,733		154,875
Israel Electric Corp. Ltd.+^		7.25			1/15/2019		320,000		350,944		345,565
Majapahit Holding B.V.+^		7.75			1/20/2020		300,000		338,919		336,750
Southern Co. (The)		1.85			7/1/2019		130,000		129,980		129,598
Southern Co. (The)		2.35			7/1/2021		440,000		441,549		432,526
Total Electric							4,129,000		4,258,067		4,226,016
Electronics — 0.4%*:
FLIR Systems, Inc.		3.13			6/15/2021		480,000		490,195		481,268
Tech Data Corp.		3.75			9/21/2017		60,000		60,744		60,738
Tyco Electronics Group SA+		2.35			8/1/2019		135,000		134,954		135,402
Tyco Electronics Group SA+		2.38			12/17/2018		200,000		201,572		201,929
Total Electronics							875,000		887,465		879,337
Engineering&Construction — 0.1%*:
SBA Tower Trust^		3.60			4/15/2018		330,000		328,666		331,218
Environmental Control — 0.2%*:
Clean Harbors, Inc.		5.25			8/1/2020		415,000		422,427		424,856
Food — 1.1%*:
Danone SA^+		2.08			11/2/2021		1,310,000		1,310,000		1,272,137
JBS Investments GmbH+^		7.75			10/28/2020		415,000		441,916		440,440

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Food (Continued)
Mondelez International Holdings Netherlands B.V.^		2.00	%		10/28/2021		600,000	$	585,359	$	574,824
Tyson Foods, Inc.		2.65			8/15/2019		335,000		337,266		338,193
Total Food							2,660,000		2,674,541		2,625,594
Forestry and Paper Products — 0.4%*:
Sappi Papier Holding GmbH+^		7.75			7/15/2017		960,000		979,954		972,000
Hand/Machine Tools — 0.4%*:
Stanley Black & Decker, Inc.		1.62			11/17/2018		315,000		315,000		313,061
Stanley Black & Decker, Inc.		2.45			11/17/2018		700,000		708,724		705,998
Total Hand/Machine Tools							1,015,000		1,023,724		1,019,059
Healthcare-Products — 0.8%*:
Abbott Laboratories		2.35			11/22/2019		600,000		599,433		600,707
Abbott Laboratories		2.90			11/30/2021		610,000		608,942		608,262
Boston Scientific Corp.		2.85			5/15/2020		350,000		353,522		355,220
Zimmer Biomet Holdings, Inc.		2.00			4/1/2018		480,000		480,470		480,586
Total Healthcare-Products							2,040,000		2,042,367		2,044,775
Healthcare-Services — 2.0%*:
Aetna, Inc.		1.90			6/7/2019		690,000		691,547		688,418
Anthem, Inc.		1.88			1/15/2018		250,000		250,048		250,110
Cigna Corp.		4.00			2/15/2022		442,000		473,602		461,768
Cigna Corp.		4.50			3/15/2021		580,000		625,627		616,472
HCA, Inc.		3.75			3/15/2019		1,130,000		1,150,942		1,161,075
Humana, Inc.		6.30			8/1/2018		150,000		159,785		160,607
Laboratory Corp. of America Holdings		2.63			2/1/2020		520,000		521,437		519,490
UnitedHealth Group, Inc.		1.70			2/15/2019		1,150,000		1,154,575		1,146,543
Total Healthcare-Services							4,912,000		5,027,563		5,004,483
Home Builders — 0.5%*:
Lennar Corp.		4.50			6/15/2019		150,000		152,888		154,875
Lennar Corp.		4.50			11/15/2019		850,000		878,292		882,937
Lennar Corp.		4.75			4/1/2021		140,000		140,000		144,550
Total Home Builders							1,140,000		1,171,180		1,182,362
Housewares — 0.4%*:
Newell Brands, Inc.		2.60			3/29/2019		910,000		919,385		919,985
Insurance — 2.1%*:
American International Group, Inc.		3.30			3/1/2021		700,000		699,458		716,998
CNA Financial Corp.		5.75			8/15/2021		341,000		374,447		380,930
Lincoln National Corp.		4.20			3/15/2022		350,000		376,809		370,458
Lincoln National Corp.		6.25			2/15/2020		300,000		328,045		331,325

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Insurance (Continued)
Reinsurance Group of America, Inc.		5.63	%		3/15/2017		450,000	$	453,415	$	453,660
TIAA Asset Management Finance Co. LLC^		2.95			11/1/2019		1,145,000		1,162,842		1,164,764
Trinity Acquisition PLC		3.50			9/15/2021		600,000		602,189		605,855
Unum Group		3.00			5/15/2021		120,000		119,770		119,650
Willis Towers Watson PLC		5.75			3/15/2021		370,000		404,164		404,309
XLIT Ltd.+		5.75			10/1/2021		585,000		661,850		650,129
Total Insurance							4,961,000		5,182,989		5,198,078
Internet — 0.5%*:
Alibaba Group Holding Ltd.+		2.50			11/28/2019		250,000		248,631		251,124
Expedia, Inc.		7.46			8/15/2018		999,000		1,081,462		1,080,466
Total Internet							1,249,000		1,330,093		1,331,590
Investment Company Security — 0.3%*:
Ares Capital Corp.		3.88			1/15/2020		317,000		326,703		321,430
Ares Capital Corp.		4.88			11/30/2018		200,000		206,039		207,299
FS Investment Corp.		4.00			7/15/2019		335,000		337,920		335,863
Total Investment Company Security							852,000		870,662		864,592
IT Services — 0.7%*:
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		3.48			6/1/2019		405,000		407,044		413,426
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		4.42			6/15/2021		370,000		378,696		382,856
Leidos Holdings, Inc.		4.45			12/1/2020		975,000		989,831		1,004,348
Total IT Services							1,750,000		1,775,571		1,800,630
Leisure Time — 0.4%*:
Brunswick Corp.^		4.63			5/15/2021		1,111,000		1,137,568		1,123,499
Lodging — 0.4%*:
Marriott International, Inc.		2.30			1/15/2022		300,000		298,877		291,014
Marriott International, Inc.		2.88			3/1/2021		605,000		614,028		607,728
Total Lodging							905,000		912,905		898,742
Machinery-Diversified — 0.5%*:
CNH Industrial Capital LLC		3.38			7/15/2019		885,000		897,096		887,212
CNH Industrial Capital LLC		3.88			10/15/2021		260,000		258,459		255,775
Total Machinery-Diversified							1,145,000		1,155,555		1,142,987
Media — 0.9%*:
Charter Communications Operating LLC/Charter Communications Operating Capital		3.58			7/23/2020		575,000		582,873		586,635
Sirius XM Radio, Inc.^		4.25			5/15/2020		625,000		631,399		634,375
Sirius XM Radio, Inc.^		5.75			8/1/2021		200,000		206,193		208,250

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Media (Continued)
Viacom, Inc.		2.25	%		2/4/2022		80,000	$	79,764	$	75,179
Viacom, Inc.		2.75			12/15/2019		275,000		281,502		274,641
Viacom, Inc.		6.13			10/5/2017		400,000		409,874		411,444
Total Media							2,155,000		2,191,605		2,190,524
Mining — 0.5%*:
Glencore Canada Corp.+		5.50			6/15/2017		696,000		705,339		707,162
Glencore Finance Canada Ltd.+^		2.70			10/25/2017		430,000		430,762		433,290
Total Mining							1,126,000		1,136,101		1,140,452
Office/Business Equip — 0.6%*:
Pitney Bowes, Inc.		3.38			10/1/2021		1,225,000		1,222,127		1,189,333
Pitney Bowes, Inc.		4.75			5/15/2018		200,000		206,687		205,928
Total Office/Business Equip							1,425,000		1,428,814		1,395,261
Packaging and Containers — 0.5%*:
Graphic Packaging International, Inc.		4.75			4/15/2021		1,086,000		1,143,398		1,140,300
Pharmaceuticals — 1.8%*:
AbbVie, Inc.		1.80			5/14/2018		1,020,000		1,022,539		1,020,766
Actavis Funding SCS+		2.35			3/12/2018		335,000		336,039		336,937
Baxalta, Inc.		2.00			6/22/2018		705,000		704,596		705,037
Express Scripts Holding Co.		3.30			2/25/2021		835,000		842,078		850,671
Express Scripts Holding Co.		4.75			11/15/2021		250,000		279,502		268,518
Shire Acquisitions Investments Ireland DAC		2.40			9/23/2021		290,000		289,703		280,136
Teva Pharmaceutical Finance Netherlands III B.V.+		2.20			7/21/2021		1,140,000		1,139,942		1,090,623
Total Pharmaceuticals							4,575,000		4,614,399		4,552,688
Real Estate Investment Trusts — 1.8%*:
American Tower Corp.		2.25			1/15/2022		330,000		329,553		316,097
American Tower Corp.		3.30			2/15/2021		530,000		538,172		536,037
American Tower Corp.		4.50			1/15/2018		300,000		307,246		307,918
Crown Castle International Corp.		3.40			2/15/2021		732,000		758,553		742,798
DDR Corp.		4.75			4/15/2018		445,000		457,934		457,666
DDR Corp. MTN		7.50			7/15/2018		31,000		33,375		33,397
Digital Realty Trust LP		3.40			10/1/2020		385,000		388,869		392,273
Duke Realty LP		3.88			2/15/2021		100,000		102,998		104,217
Duke Realty LP		6.50			1/15/2018		140,000		146,103		146,566
Highwoods Realty LP		7.50			4/15/2018		370,000		394,314		394,750
Simon Property Group LP		2.35			1/30/2022		705,000		702,732		695,530
Weyerhaeuser Co.		7.38			10/1/2019		315,000		350,894		353,615
Total REITS							4,383,000		4,510,743		4,480,864

See accompanying Notes to the Financial Statements.

108

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Retail — 1.3%*:
AutoNation, Inc.		3.35	%		1/15/2021		355,000	$	356,056	$	356,717
CVS Health Corp.		2.13			6/1/2021		805,000		805,336		789,338
Dollar Tree, Inc.		5.75			3/1/2023		1,090,000		1,151,050		1,154,114
Home Depot, Inc. (The)		2.00			4/1/2021		575,000		578,376		569,418
QVC, Inc.		3.13			4/1/2019		297,000		303,147		300,090
Total Retail							3,122,000		3,193,965		3,169,677
Semiconductors — 0.7%*:
Analog Devices, Inc.		2.50			12/5/2021		250,000		248,999		247,706
KLA-Tencor Corp.		2.38			11/1/2017		390,000		391,184		392,336
KLA-Tencor Corp.		3.38			11/1/2019		200,000		203,853		204,752
NXP BV/NXP Funding LLC^		4.13			6/1/2021		770,000		784,772		795,025
Total Semiconductors							1,610,000		1,628,808		1,639,819
Telecommunications — 0.1%*:
Verizon Communications, Inc.		1.75			8/15/2021		290,000		288,836		278,197
Transportation — 1.3%*:
Asciano Finance Ltd.+^		5.00			4/7/2018		550,000		563,283		565,073
Penske Truck Leasing Co. LP/PTL Finance Corp.^		3.05			1/9/2020		470,000		477,663		475,137
PT Penske Truck Leasing Co. LP/L Finance Corp.^		2.50			6/15/2019		285,000		281,702		285,690
PT Penske Truck Leasing Co. LP/L Finance Corp.^		3.20			7/15/2020		135,000		134,930		136,497
PT Penske Truck Leasing Co. LP/L Finance Corp.^		3.30			4/1/2021		240,000		247,014		242,697
Ryder System, Inc.		2.25			9/1/2021		475,000		472,590		463,876
Ryder System, Inc.		2.45			9/3/2019		200,000		203,638		201,108
Ryder System, Inc.		2.50			3/1/2018		250,000		250,490		251,814
Ryder System, Inc.		2.55			6/1/2019		185,000		184,694		186,392
Ryder System, Inc.		2.88			9/1/2020		200,000		198,389		202,175
TTX Co.^		2.25			2/1/2019		250,000		249,776		249,856
Total Transportation							3,240,000		3,264,169		3,260,315
Trucking and Leasing — 0.7%*:
Aviation Capital Group Corp.^		2.88			9/17/2018		955,000		959,949		966,937
Aviation Capital Group Corp.^		6.75			4/6/2021		200,000		219,338		231,000
GATX Corp.		2.60			3/30/2020		575,000		566,531		567,910
Total Trucking and Leasing							1,730,000		1,745,818		1,765,847
Total Corporate Bonds							103,188,000		105,410,531		104,973,075
Mortgage-Backed Securities — 3.1%*:
Banc of America Commercial Mortgage Trust 2007-4 AM		5.81	#		2/10/2051		255,000		272,333		259,694

See accompanying Notes to the Financial Statements.

109

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Mortgage-Backed Securities (Continued)
Banc of America Commercial Mortgage Trust 2008-1 A1A		6.19	# %		2/10/2051		632,747	$	661,173	$	649,913
Banc of America Commercial Mortgage Trust 2008-1 A4		6.24	#		2/10/2051		181,398		197,147		186,084
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 AM		5.89	#		6/11/2050		160,000		171,689		163,452
COMM Mortgage Trust 2007-C9 AM		5.65	#		12/10/2049		100,000		106,541		101,212
Fannie Mae Connecticut Avenue Securities CAS 2015-C03 1M1		2.26	#		7/25/2025		50,411		50,429		50,505
Fannie Mae Connecticut Avenue Securities CAS 2015-C04 1M1		2.36	#		4/25/2028		65,194		65,194		65,317
Fannie Mae Connecticut Avenue Securities CAS 2016-C04 1M1		2.21	#		1/25/2029		693,046		695,663		695,802
Fannie Mae Connecticut Avenue Securities CAS 2016-C05 2M1		2.11	#		1/25/2029		738,649		740,684		740,296
Fannie Mae Connecticut Avenue Securities CAS 2016-C06 1M1		2.06	#		4/25/2029		564,606		564,606		567,380
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M1		2.21	#		7/25/2028		170,776		170,776		171,231
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7 AM		5.93	#		4/17/2045		17,843		18,511		17,816
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18 AM		5.47	#		6/12/2047		700,000		717,031		704,375
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 A4		5.79	#		2/12/2051		176,965		184,034		179,680
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 AM		5.96	#		2/12/2051		210,000		228,020		215,055
ML-CFC Commercial Mortgage Trust 2007-9 AM		5.86	#		9/12/2049		450,000		467,713		461,857
Morgan Stanley Capital I Trust 2008-TOP29 A4		6.28	#		1/11/2043		183,666		200,776		190,287
New Residential Mortgage Loan Trust 2016-4A A1^		3.75	#		11/25/2056		596,021		614,042		614,340
Shellpoint Co-Originator Trust 2016-1 2A3^		3.00	#		10/25/2031		1,064,720		1,076,298		1,070,959
Velocity Commercial Capital Loan Trust 2016-2 AFX		3.00	#		10/25/2046		490,083		490,083		490,083
Wachovia Bank Commercial Mortgage Trust 2007-C33 A1A		5.97	#		2/15/2051		193,699		208,216		196,845
Total Mortgage-Backed Securities							7,694,824		7,900,959		7,792,183
U.S. Treasury & Government Agencies — 20.6%*:
Education Loan Asset-Backed Trust I 2013-1 A1^		1.56	#		6/25/2026		692,899		684,386		685,773
Federal Home Loan Mortgage Corp.		1.15	#		9/15/2042		438,620		436,440		435,195
Federal Home Loan Mortgage Corp.		1.18	#		10/15/2040		490,313		489,854		489,549
Federal Home Loan Mortgage Corp.		3.50			6/15/2042		503,380		529,585		513,975
Federal Home Loan Mortgage Corp.		4.00			3/15/2040		451,472		481,642		473,959

See accompanying Notes to the Financial Statements.

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December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
U.S. Treasury & Government Agencies (Continued)
Federal Home Loan Mortgage Corp. TBA		4.00	%		2/1/2047		1,350,000	$	1,404,422	$	1,416,076
Federal National Mortgage Association REMICS 2012-111 EC		2.00			12/25/2041		1,168,280		1,171,882		1,128,949
Federal National Mortgage Association REMICS 2015-58 JP		2.50			3/25/2037		90,892		92,813		91,512
Federal National Mortgage Association REMICS 2015-62 VA		4.00			10/25/2026		129,893		139,796		137,453
Federal National Mortgage Association REMICS 2016-62 FA		1.26	#		9/25/2046		929,916		929,916		931,757
Federal National Mortgage Association REMICS 2016-62 FC		1.26	#		9/25/2046		640,397		639,998		636,559
Federal National Mortgage Association REMICS 2016-74 GF		1.26	#		10/25/2046		847,421		847,493		842,059
Federal National Mortgage Association TBA		4.00			1/1/2047		4,325,000		4,557,469		4,546,656
Goal Capital Funding Trust 2010-1 A^		1.63	#		8/25/2048		117,816		113,002		114,038
Higher Education Funding I 2004-1 B1^		0.35	#		1/1/2044		950,000		824,324		820,192
Navient Student Loan Trust 2015-2 A3		1.33	#		11/26/2040		500,000		492,544		493,245
Navient Student Loan Trust 2016-5A A^		2.01	#		6/25/2065		1,232,701		1,238,167		1,250,775
Nelnet Student Loan Trust 2006-2 A6		1.00	#		4/25/2031		280,000		273,794		274,647
Nelnet Student Loan Trust 2014-6A A^		1.41	#		11/25/2052		416,202		403,090		404,595
NorthStar Student Loan Trust III 2016-1 A^		2.01	#		5/27/2036		296,588		283,348		284,177
PHEAA Student Loan Trust 2016-2A A^		1.50	#		11/25/2065		870,000		870,000		869,889
SLM Student Loan Trust 2003-12 A5^		1.24	#		9/15/2022		70,461		70,010		70,304
SMB Private Education Loan Trust 2016-C^		1.80	#		9/15/2034		280,000		280,000		280,006
U.S. Treasury Note		0.13			4/15/2021		2,345,724		2,360,895		2,359,950
U.S. Treasury Note		0.63			6/30/2018		3,700,000		3,692,243		3,676,731
U.S. Treasury Note		0.75			10/31/2018		2,700,000		2,677,555		2,680,592
U.S. Treasury Note		0.88			7/15/2018		13,000,000		13,036,901		12,958,361
U.S. Treasury Note``		0.88			7/31/2019		8,600,000		8,590,165		8,500,223
U.S. Treasury Note		1.75			10/31/2018		3,660,000		3,708,307		3,699,030
Total U.S. Treasury & Government Agencies							51,077,975		51,320,041		51,066,227
Total Fixed Income							240,753,573		242,940,239		242,171,458
Short-Term Investments — 3.6%*:
Bank Deposit — 0.8%*:
State Street Bank & Trust Co. Euro Time Deposit		0.01			1/3/2017		2,119,459		2,119,459		2,119,459
Commercial Paper — 2.8%*:
Chemicals, Plastics and Rubber — 1.2%*:
ONEOK Partners LP		Zero Coupon			1/5/2017		3,000,000		2,999,600		2,999,600

See accompanying Notes to the Financial Statements.

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December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE		DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Commercial Paper (Continued)
Electric Utilities — 1.6%*:
Edison International		Zero Coupon		1/3/2017		4,000,000	$	3,999,805	$	3,999,805
Total Commercial Paper						7,000,000		6,999,405		6,999,405
Total Short-Term Investments						9,119,459		9,118,864		9,118,864
Total Investments						249,873,032		252,059,103		251,290,322
Other assets and liabilities — (1.2%)*										(3,073,844	)
Net Assets — 100.0%										$248,216,478

MTN	Medium Term Note
OTC	Over the Counter
TBA	To Be Announced: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement.

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	91.7%
Switzerland	1.1%
Other (Individually less than 1%)	7.2%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

# Variable rate security. The interest rate shown is the rate in effect at December 31, 2016.

`` Security has been fully or partially segregated to cover margin requirements for open futures contracts as of December 31, 2016.

A summary of outstanding derivatives at December 31, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED DEPRECIATION
3/15/17	JPMorgan Chase Bank N.A.		CNH	29,376,600		4,133,895		4,389,630	$	(255,735	)

See accompanying Notes to the Financial Statements.

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December 31, 2016 (Unaudited)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION
3/15/17	JPMorgan Chase Bank N.A.		CNH	29,376,600		4,133,895		4,400,000	$	266,105

Currency Legend

CNH – Chinese Yuan Renminbi

Futures

TYPE	EXPIRATION DATE		CONTRACTS		POSITION		FAIR VALUE		UNREALIZED DEPRECIATION
Long Future
U.S. 2-Year Treasury Note		03/31/17		311		Long	$	67,389,812	$	(23,512	)

TYPE	EXPIRATION DATE		CONTRACTS		POSITION		FAIR VALUE		UNREALIZED APPRECIATION
Short Futures
U.S. 10-Year Treasury Note		03/22/17		73		Short	$	9,072,531	$	11,802
U.S. 10-Year Ultra Bond		03/22/17		13		Short		1,742,812		10,723
U.S. 5-Year Treasury Note		03/31/17		121		Short		14,237,352		52,134
U.S. Long Bond		03/22/17		4		Short		602,625		2,707
Total Short Futures									$	77,366

OTC Credit Default Swaps — Sell Protection^{(1) (2)}

REFERENCE OBLIGATION	FIIXED-DEAL RECEIVED RATE			MATURITY DATE		COUNTERPARTY	ORIGINAL NOTIONAL AMOUNT		CURRENT NOTIONAL AMOUNT(3)		UPFRONT PREMIUMS PAID/ (RECEIVED)			FAIR VALUE(4)			UNREALIZED APPRECIATION (DEPRECIATION)
CMBX.NA. BBB-.6†		3.00	%		11/17/2045	JPMorgan Chase Bank N.A.		230,000		230,000	$	543		$	(13,079	)	$	(13,622	)
CMBX.NA. BBB-.6†		3.00	%		5/11/2063	Goldman Sachs & Co.		290,000		290,000		(22,114	)		(16,490	)		5,624
Total OTC Credit Default Swap												(21,571	)		(29,569	)		(7,998	)

Centrally Cleared Credit Default Swaps — Buy Protection

REFERENCE OBLIGATION	FIXED-DEAL RECEIVED RATE			MATURITY DATE		ORIGINAL NOTIONAL AMOUNT		CURRENT NOTIONAL AMOUNT(3)		UPFRONT PREMIUMS PAID/ (RECEIVED)			FAIR VALUE(4)			UNREALIZED APPRECIATION
CDX.NA.JG.26in		1.00	%		12/20/2021		1,530,000		1,530,000	$	(24,552	)	$	(22,966	)		1,586

See accompanying Notes to the Financial Statements.

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December 31, 2016 (Unaudited)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽²⁾ Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index.

⁽³⁾ The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit event as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the expected amount paid or received for the credit derivative if the amount of the swap agreement was closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements.

† Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

See accompanying Notes to the Financial Statements.

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December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 84.5%*:
Asset-Backed Securities — 23.6%*:
CDO/CLO — 4.5%*:
ALM VII Ltd. 2012-7A A1R^		2.33	#%		10/15/2028		250,000		$250,000		$250,744
ALM XIV Ltd. 2014-14A A1^		2.32	#		7/28/2026		250,000		249,428		249,999
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1^		2.38	#		10/15/2026		250,000		250,000		250,165
LCM XXIII Ltd. 23A A1^+		2.51	#		10/20/2029		250,000		250,000		249,998
Madison Park Funding XIV Ltd. 2014-14A A2^		2.33	#		7/20/2026		250,000		249,856		250,052
Total CDO/CLO							1,250,000		1,249,284		1,250,958
Other Asset-Backed Securities — 19.1%*:
Access Group, Inc. 2006-1 B		1.38	#		8/25/2037		74,364		64,979		66,501
Access Group, Inc. 2015-1 A^		1.46	#		7/25/2056		75,127		73,472		74,245
Access Group, Inc. 2015-1 B^		2.26	#		7/25/2058		100,000		86,323		82,798
American Credit Acceptance Receivables Trust 2016-1A^		2.37			5/12/2020		12,728		12,728		12,757
Arbys Funding LLC 2015-1A A2^		4.97			10/30/2045		39,600		39,600		40,021
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-W10		1.48	#		10/25/2034		65,905		59,710		63,034
Asset Backed Securities Corp. Home Equity Loan Trust 2005-HE1 M1		1.51	#		3/25/2035		89,919		89,376		90,986
Citi Held For Asset Issuance 2015-PM1 A^		1.85			12/15/2021		4,517		4,517		4,514
CKE Restaurant Holdings, Inc. 2013-1A A2^		4.47			3/20/2043		122,687		125,612		121,162
CLI Funding VI LLC 2016 1A A^		4.21			2/18/2041		84,797		84,789		83,462
College Loan Corp. Trust I 2005-2 B		1.37	#		1/15/2037		117,657		103,264		99,179
CPS Auto Receivables Trust 2013-A A^		1.31			6/15/2020		50,126		49,967		49,956
Credit Suisse ABS Repackaging Trust 2013-A B^		2.50			1/25/2030		44,123		42,040		41,087
CWABS Asset-Backed Certificates Trust 2005-4 MV5		1.25	#		10/25/2035		60,000		53,794		56,146
DB Master Finance LLC 2015-1A A2I^		3.26			2/20/2045		98,250		98,280		98,379
DB Master Finance LLC 2015-1A A2II^		3.98			2/20/2045		49,125		50,141		49,862
Diamond Resorts Owner Trust 2013-2 A^		2.27			5/20/2026		45,829		45,534		45,586
Diamond Resorts Owner Trust 2015-1 A^		2.73			7/20/2027		41,142		41,139		40,893
Diamond Resorts Owner Trust 2016-1^		3.37			11/20/2028		145,213		145,186		144,327
Domino’s Pizza Master Issuer LLC 2015 1A-A2I^		3.48			10/25/2045		59,400		59,400		58,782
Domino’s Pizza Master Issuer LLC 2015-1A A2II^		4.47			10/25/2045		59,400		59,400		56,500
DRB Prime Student Loan Trust 2015-B^		2.49	#		10/27/2031		70,191		70,063		71,528
DRB Prime Student Loan Trust 2016-R^		3.07			10/25/2044		99,919		99,901		99,919
Drive Auto Receivables Trust 2016-B^		2.56			6/15/2020		20,000		19,999		20,078
Drug Royalty LP 1 2012-1 A1^		6.13	#		7/15/2024		27,564		28,302		27,953
Earnest Student Loan Program LLC 2016-C A1^		2.61	#		10/27/2036		100,630		100,630		100,630
ECMC Group Student Loan Trust 2016-1A A^		2.11	#		7/26/2066		92,847		92,847		92,573
Element Rail Leasing II LLC 2015-1A A1^		2.71			2/19/2045		73,726		71,217		71,938

See accompanying Notes to the Financial Statements.

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December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Entegry New Orleans Storm Recovery Funding I LLC 2015-1 A		2.67	%		6/1/2027		88,430		$88,411		$89,294
First Franklin Mortgage Loan Trust 2004-FFH4		2.48	#		1/25/2035		50,000		49,813		49,876
First Franklin Mortgage Loan Trust 2005 FF3 M3		1.48	#		4/25/2035		75,037		74,669		74,743
Flagship Credit Auto Trust 2016-2^		3.05			8/16/2021		60,000		59,997		60,388
Flagship Credit Auto Trust 2016-4 B^		2.71			11/15/2022		40,000		39,998		39,538
FNA Trust 2015-1 A^		3.24			12/10/2023		39,055		39,089		38,825
GSAMP Trust 2005-SEA2 A1^		1.11	#		1/25/2045		13,125		12,617		13,031
HERO Funding Trust 2015-1A^		3.84			9/21/2040		133,254		135,749		135,586
J.G. Wentworth XXXV LLC 2015-2A A^		3.87			3/15/2058		49,084		49,046		47,816
Marlette Funding Trust 2016-1A A^		3.06			1/17/2023		73,591		73,689		73,522
Miramax LLC 2014-1A A2^		3.34			7/20/2026		62,280		62,683		61,934
Navient Student Loan Trust 2016-6 A3^		2.06	#		3/25/2066		290,000		290,000		290,003
Nelnet Private Education Loan Trust 2016-A A1B^		3.60			12/26/2040		100,000		99,334		99,883
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^		2.58			10/15/2049		250,000		250,000		247,034
Northstar Education Finance, Inc. 2005-1 A5		1.64	#		10/30/2045		32,324		30,926		30,668
NovaStar Mortgage Funding Trust 2004-4 M5		2.48	#		3/25/2035		100,000		99,969		100,641
NRZ Advance Receivables Trust 2016-T4 AT4^		3.11			12/15/2050		100,000		100,000		100,000
NRZ Advance Receivables Trust Advance Receivables Backed 2016-T3^		2.83			10/16/2051		230,000		230,000		223,923
OneMain Financial Issuance Trust 2014-2A A^		2.47			9/18/2024		78,952		79,206		78,985
OSCAR US Funding Trust V 2016-2A A4^		2.99			12/15/2023		80,000		79,979		78,410
Popular ABS Mortgage Pass-Through Trust 2006-B A3		1.04	#		5/25/2036		56,851		54,559		56,599
Santander Drive Auto Receivables Trust 2014-4 B		1.82			5/15/2019		68,301		68,515		68,363
Sierra Timeshare Receivables Funding LLC 2015-2A B^		3.02			6/20/2032		42,097		42,088		42,364
SLC Private Student Loan Trust 2006-A A5		1.05	#		7/15/2036		52,665		52,360		52,567
SLC Private Student Loan Trust 2006-A C		1.33	#		7/15/2036		140,000		124,624		125,023
SLC Student Loan Trust 2005-1 B		1.10	#		2/15/2045		111,899		95,848		94,520
SLM Student Loan Trust 2002-7 A11		3.03	#		3/15/2028		50,000		49,403		49,991
SLM Student Loan Trust 2003-2		4.16	#		9/15/2028		100,000		99,755		99,547
SLM Student Loan Trust 2003-4 B		1.61	#		6/15/2038		78,415		71,790		68,764
SLM Student Loan Trust 2005-4 B		1.06	#		7/25/2040		107,213		90,883		92,125
SLM Student Loan Trust 2006-5 B		1.09	#		10/25/2040		66,670		57,404		57,479
Sofi Consumer Loan Program 2016-5 LLC^		4.55	#		9/25/2028		100,000		98,187		98,036
SoFi Consumer Loan Program LLC 2016-1A A^		3.26			8/25/2025		83,651		83,643		83,759
SoFi Consumer Loan Program LLC 2016-5 A^		3.06			9/25/2028		160,000		159,460		159,699
SPS Servicer Advance Receivables Trust^		2.75			11/15/2049		100,000		99,985		99,479
Taco Bell Funding LLC 2016-1A A23^		4.97			5/25/2046		69,825		70,458		70,766
Taco Bell Funding LLC 2016-1A A2I^		3.83			5/25/2046		79,800		80,050		80,311

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Wendys Funding LLC 2015 1A A2I^		3.37	%		6/15/2045		128,375		$127,939		$128,179
Total Other Asset-Backed Securities							5,465,680		5,344,336		5,326,467
Total Asset-Backed Securities							6,715,680		6,593,620		6,577,425
Corporate Bonds — 31.3%*:
Advertising — 0.5%*:
S&P Global, Inc.		3.30			8/14/2020		45,000		44,961		45,881
S&P Global, Inc.		4.00			6/15/2025		50,000		50,187		51,369
WPP Finance 2010+		5.63			11/15/2043		35,000		38,184		37,390
Total Advertising							130,000		133,332		134,640
Aerospace/Defense — 0.0%*:
Spirit AeroSystems, Inc.		3.85			6/15/2026		5,000		4,996		4,933
Agriculture — 1.2%*:
Altria Group, Inc.		2.85			8/9/2022		50,000		48,463		50,061
Altria Group, Inc.		4.25			8/9/2042		30,000		26,866		29,524
Bunge Ltd. Finance Corp.		3.25			8/15/2026		25,000		24,977		24,007
Bunge Ltd. Finance Corp.		3.50			11/24/2020		5,000		4,997		5,089
Imperial Tobacco Finance PLC+^		3.75			7/21/2022		200,000		197,366		205,314
Reynolds American, Inc.		4.45			6/12/2025		30,000		30,591		31,674
Total Agriculture							340,000		333,260		345,669
Airlines — 0.1%*:
WestJet Airlines Ltd.+^		3.50			6/16/2021		14,000		13,983		13,994
Auto Manufacturers — 1.1%*:
Ford Motor Co.		7.45			7/16/2031		60,000		75,863		75,303
General Motors Co.		5.20			4/1/2045		35,000		34,583		33,737
General Motors Financial Co., Inc.		3.20			7/6/2021		130,000		129,784		128,915
General Motors Financial Co., Inc.		3.70			5/9/2023		25,000		24,941		24,600
General Motors Financial Co., Inc.		4.30			7/13/2025		50,000		49,683		49,599
Total Auto Manufacturers							300,000		314,854		312,154
Beverages — 0.4%*:
Anheuser-Busch InBev Finance, Inc.+		3.65			2/1/2026		50,000		49,923		50,760
Anheuser-Busch InBev Worldwide, Inc.+		8.20			1/15/2039		35,000		52,158		52,636
Molson Coors Brewing Co.		4.20			7/15/2046		10,000		9,936		9,323
Total Beverages							95,000		112,017		112,719
Biotechnology — 0.4%*:
Amgen, Inc.		5.15			11/15/2041		25,000		26,046		26,429
Celgene Corp.		3.55			8/15/2022		60,000		59,866		61,535
Gilead Sciences, Inc.		4.75			3/1/2046		10,000		9,960		10,347
Total Biotechnology							95,000		95,872		98,311

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Chemicals — 0.9%*:
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP^		3.40	%		12/1/2026		40,000	$	39,896	$	39,932
LYB International Finance B.V.		5.25			7/15/2043		35,000		35,996		37,630
Monsanto Co.		4.40			7/15/2044		15,000		14,279		14,497
RPM International, Inc.		6.13			10/15/2019		90,000		97,922		98,835
Westlake Chemical Corp.		3.60			7/15/2022		50,000		49,561		49,985
Total Chemicals							230,000		237,654		240,879
Commercial Banks — 4.0%*:
Associated Banc-Corp		2.75			11/15/2019		45,000		45,178		45,116
Associated Banc-Corp		4.25			1/15/2025		70,000		70,019		69,371
Bank of America Corp.		7.63			6/1/2019		120,000		134,690		134,846
Bank of America Corp. MTN		3.95			4/21/2025		45,000		43,982		44,797
Bank of America Corp. MTN		4.18			11/25/2027		65,000		65,000		65,042
Bank of America Corp. MTN		4.45			3/3/2026		25,000		25,000		25,763
Bank of America Corp. MTN		5.88			2/7/2042		25,000		28,672		30,216
Bank of Nova Scotia (The)+		4.50			12/16/2025		30,000		30,381		30,819
Citigroup, Inc.		3.88			3/26/2025		60,000		58,502		59,604
Citigroup, Inc.		4.60			3/9/2026		45,000		44,917		46,511
Goldman Sachs Group, Inc. (The)		3.50			11/16/2026		35,000		34,910		34,195
Goldman Sachs Group, Inc. (The)		5.15			5/22/2045		70,000		67,771		73,616
Goldman Sachs Group, Inc. (The)		5.95			1/15/2027		57,000		63,689		64,961
JPMorgan Chase & Co.		3.63			12/1/2027		80,000		79,863		77,615
JPMorgan Chase & Co.		4.50			1/24/2022		25,000		26,501		26,961
JPMorgan Chase & Co.		4.95			6/1/2045		40,000		39,309		42,652
Morgan Stanley		3.95			4/23/2027		100,000		95,060		98,991
Morgan Stanley MTN		6.63			4/1/2018		110,000		116,394		116,328
SVB Financial Group		3.50			1/29/2025		40,000		39,147		38,541
Total Commercial Banks							1,087,000		1,108,985		1,125,945
Commercial Services — 0.3%*:
ERAC USA Finance LLC^		4.20			11/1/2046		70,000		69,468		63,968
ERAC USA Finance LLC^		5.63			3/15/2042		20,000		21,538		22,045
Total Commercial Services							90,000		91,006		86,013
Construction Materials — 0.4%*:
Masco Corp.		3.50			4/1/2021		48,000		47,859		48,120
Owens Corning		4.20			12/1/2024		50,000		49,385		51,219
Total Construction Materials							98,000		97,244		99,339
Distribution/Wholesale — 0.2%*:
Ingram Micro, Inc.		5.45			12/15/2024		45,000		46,195		42,344
Diversified Financial Services — 2.4%*:
Affiliated Managers Group, Inc.		4.25			2/15/2024		50,000		51,328		50,261

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Diversified Financial Services (Continued)
Air Lease Corp.		2.63	%		9/4/2018		110,000	$	109,692	$	110,767
Air Lease Corp.		3.38			1/15/2019		25,000		25,407		25,424
Air Lease Corp.		3.38			6/1/2021		5,000		4,959		5,069
Brookfield Finance, Inc.+		4.25			6/2/2026		60,000		59,449		59,430
Discover Financial Services		3.75			3/4/2025		30,000		28,929		29,330
General Electric Co. MTN		6.88			1/10/2039		35,000		46,754		49,348
International Lease Finance Corp.		6.25			5/15/2019		145,000		156,690		155,875
Lazard Group LLC		3.63			3/1/2027		50,000		49,787		47,381
Lazard Group LLC		4.25			11/14/2020		130,000		135,336		136,079
Legg Mason, Inc.		4.75			3/15/2026		5,000		4,998		5,175
Total Diversified Financial Services							645,000		673,329		674,139
Electric — 1.4%*:
Appalachian Power Co.		6.70			8/15/2037		30,000		37,503		38,443
CMS Energy Corp.		3.88			3/1/2024		50,000		51,261		52,001
Duke Energy Corp.		3.75			9/1/2046		25,000		24,986		22,505
Duke Energy Florida LLC		3.10			8/15/2021		50,000		51,203		51,274
Indianapolis Power & Light Co.^		4.05			5/1/2046		45,000		44,703		42,472
LG&E and KU Energy LLC		4.38			10/1/2021		50,000		53,276		53,213
NiSource Finance Corp.		6.13			3/1/2022		50,000		56,386		57,663
Puget Sound Energy, Inc.		4.30			5/20/2045		30,000		30,659		31,184
Southwestern Public Service Co.		6.00			10/1/2036		30,000		35,595		35,965
Total Electric							360,000		385,572		384,720
Electrical Components and Equipment — 0.2%*:
Legrand France SA+		8.50			2/15/2025		35,000		46,211		45,158
Electronics — 0.3%*:
Agilent Technologies, Inc.		3.88			7/15/2023		50,000		50,534		51,442
Avnet, Inc.		3.75			12/1/2021		10,000		9,978		10,062
FLIR Systems, Inc.		3.13			6/15/2021		25,000		24,985		25,066
Total Electronics							85,000		85,497		86,570
Environmental Control — 0.4%*:
Republic Services, Inc.		4.75			5/15/2023		50,000		53,865		54,608
Waste Management, Inc.		7.00			7/15/2028		50,000		64,556		64,787
Total Environmental Control							100,000		118,421		119,395
Food — 0.1%*:
Kraft Heinz Foods Co.		3.00			6/1/2026		20,000		19,917		18,777
Forestry and Paper Products — 0.6%*:
Celulosa Arauco y Constitucion SA+		4.75			1/11/2022		30,000		31,042		31,210
Domtar Corp.		4.40			4/1/2022		50,000		50,715		51,443
International Paper Co.		9.38			5/15/2019		73,000		83,782		84,776
Total Forestry and Paper Products							153,000		165,539		167,429

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Gas — 0.3%*:
CenterPoint Energy Resources Corp.		4.50	%		1/15/2021		25,000	$	26,553	$	26,230
CenterPoint Energy Resources Corp.		5.85			1/15/2041		20,000		23,387		22,629
Spire, Inc.		4.70			8/15/2044		25,000		25,257		23,511
Total Gas							70,000		75,197		72,370
Healthcare-Products — 0.3%*:
Abbott Laboratories		2.90			11/30/2021		30,000		29,948		29,914
Abbott Laboratories		3.75			11/30/2026		20,000		19,853		19,862
Abbott Laboratories		4.90			11/30/2046		15,000		14,883		15,395
Becton Dickinson and Co.		4.69			12/15/2044		25,000		25,956		25,899
Total Healthcare-Products							90,000		90,640		91,070
Healthcare-Services — 0.3%*:
Aetna, Inc.		2.40			6/15/2021		35,000		34,997		34,842
Aetna, Inc.		3.20			6/15/2026		40,000		39,858		39,571
Aetna, Inc.		4.38			6/15/2046		10,000		9,990		10,041
Total Healthcare-Services							85,000		84,845		84,454
Housewares — 0.3%*:
Newell Rubbermaid, Inc.		3.85			4/1/2023		40,000		39,989		41,492
Newell Rubbermaid, Inc.		3.90			11/1/2025		20,000		19,943		20,183
Toro Co. (The)		7.80			6/15/2027		25,000		31,791		30,370
Total Housewares							85,000		91,723		92,045
Insurance — 2.0%*:
Allstate Corp. (The)		5.75	#		8/15/2053		110,000		116,518		113,729
American International Group, Inc.		3.90			4/1/2026		20,000		19,991		20,352
Arch Capital Finance LLC		4.01			12/15/2026		20,000		20,000		20,288
Arch Capital Group US, Inc.		5.14			11/1/2043		25,000		25,308		26,396
Brown & Brown, Inc.		4.20			9/15/2024		13,000		13,082		13,096
Liberty Mutual Group, Inc.^		4.25			6/15/2023		50,000		51,423		52,349
Marsh & McLennan Cos., Inc.		5.88			8/1/2033		20,000		23,094		23,707
Prudential Financial, Inc.		8.88	#		6/15/2068		100,000		117,116		108,000
Reinsurance Group of America, Inc.		3.95			9/15/2026		40,000		39,999		39,573
Trinity Acquisition PLC+		4.40			3/15/2026		5,000		4,980		5,061
Unum Group		3.00			5/15/2021		20,000		19,962		19,942
Unum Group		4.00			3/15/2024		30,000		30,787		30,122
Willis North America, Inc.+		7.00			9/29/2019		50,000		54,734		55,629
XLIT Ltd.+		5.50			3/31/2045		30,000		28,774		28,466
Total Insurance							533,000		565,768		556,710
Internet — 1.0%*:
Baidu, Inc.+		2.25			11/28/2017		200,000		200,465		200,482
Expedia, Inc.		5.00			2/15/2026		40,000		39,829		41,236
Expedia, Inc.		7.46			8/15/2018		45,000		48,554		48,670
Total Internet							285,000		288,848		290,388

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Investment Company Security — 0.2%*:
Ares Capital Corp.		3.88	%		1/15/2020		30,000	$	30,514	$	30,419
FS Investment Corp.		4.00			7/15/2019		30,000		30,398		30,077
Total Investment Company Security							60,000		60,912		60,496
Iron/Steel — 0.1%*:
Vale Overseas Ltd.+		6.88			11/21/2036		15,000		14,988		14,775
IT Services — 0.3%*:
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		4.42			6/15/2021		45,000		44,988		46,564
Leidos Holdings, Inc.		4.45			12/1/2020		50,000		50,322		51,505
Total IT Services							95,000		95,310		98,069
Lodging — 0.4%*:
Wyndham Worldwide Corp.		5.63			3/1/2021		90,000		97,015		98,683
Machinery-Diversified — 0.0%*:
Xylem, Inc.		3.25			11/1/2026		10,000		9,980		9,711
Media — 0.5%*:
Comcast Corp.		3.40			7/15/2046		20,000		19,827		17,466
Discovery Communications LLC		4.88			4/1/2043		25,000		22,770		23,102
Time Warner Cable, Inc.		4.50			9/15/2042		60,000		49,331		54,339
Time Warner Cable, Inc.		5.50			9/1/2041		35,000		32,653		35,582
Viacom, Inc.		2.25			2/4/2022		15,000		14,956		14,096
Total Media							155,000		139,537		144,585
Medical Equipment and Devices Manufacturing — 0.1%*:
St. Jude Medical, Inc.		2.80			9/15/2020		40,000		39,986		40,224
Miscellaneous Manufacturing — 0.4%*:
Carlisle Cos., Inc.		3.75			11/15/2022		50,000		50,170		49,713
Textron, Inc.		4.30			3/1/2024		50,000		51,239		51,863
Total Miscellaneous Manufacturing							100,000		101,409		101,576
Office/Business Equip — 0.4%*:
Pitney Bowes, Inc.		3.38			10/1/2021		115,000		114,699		111,652
Oil and Gas — 1.2%*:
Anadarko Petroleum Corp.		5.55			3/15/2026		20,000		19,942		22,385
Nabors Industries, Inc.^		5.50			1/15/2023		10,000		10,000		10,413
Newfield Exploration Co.		5.38			1/1/2026		140,000		139,869		142,744
Petroleos Mexicanos+		5.50			1/21/2021		55,000		58,838		56,581
Petroleos Mexicanos^+		6.50			3/13/2027		15,000		14,865		15,472
Phillips 66		4.65			11/15/2034		30,000		29,843		31,228
Pioneer Natural Resources Co.		7.50			1/15/2020		50,000		56,181		56,839

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas (Continued)
Rowan Cos., Inc.		4.88	%		6/1/2022		8,000	$	7,986	$	7,560
Total Oil and Gas							328,000		337,524		343,222
Oil and Gas Services — 0.5%*:
Schlumberger Holdings Corp.^		4.00			12/21/2025		25,000		24,985		26,200
SESI LLC		7.13			12/15/2021		32,000		33,543		32,560
Weatherford International Ltd.		5.95			4/15/2042		30,000		25,152		22,650
Weatherford International Ltd.		6.00			3/15/2018		50,000		51,371		49,500
Total Oil and Gas Services							137,000		135,051		130,910
Packaging and Containers — 0.4%*:
Brambles USA, Inc.+^		4.13			10/23/2025		10,000		9,978		10,181
Brambles USA, Inc.+^		5.35			4/1/2020		50,000		53,709		53,916
Sonoco Products Co.		4.38			11/1/2021		41,000		43,161		43,219
Total Packaging and Containers							101,000		106,848		107,316
Pharmaceuticals — 2.2%*:
AbbVie, Inc.		3.20			5/14/2026		60,000		59,783		57,085
AbbVie, Inc.		4.50			5/14/2035		30,000		29,821		29,476
Actavis Funding SCS+		3.45			3/15/2022		50,000		49,756		50,750
Allergan, Inc.		2.80			3/15/2023		50,000		46,786		47,877
AstraZeneca PLC+		6.45			9/15/2037		35,000		44,781		45,279
Express Scripts Holding Co.		3.00			7/15/2023		60,000		59,950		58,081
Express Scripts Holding Co.		3.30			2/25/2021		10,000		9,982		10,188
Express Scripts Holding Co.		4.80			7/15/2046		25,000		24,957		23,936
McKesson Corp.		6.00			3/1/2041		50,000		55,843		57,850
Mylan NV+^		3.95			6/15/2026		25,000		24,817		23,396
Mylan NV+^		5.25			6/15/2046		40,000		39,994		36,892
Mylan, Inc.		2.55			3/28/2019		60,000		59,751		59,871
Shire Acquisitions Investments Ireland DAC+		2.88			9/23/2023		100,000		99,987		95,045
Teva Pharmaceutical Finance Netherlands III B.V.+		4.10			10/1/2046		10,000		9,917		8,568
Total Pharmaceuticals							605,000		616,125		604,294
Pipelines — 0.9%*:
Energy Transfer Partners LP		4.75			1/15/2026		30,000		29,829		31,015
EnLink Midstream Partners LP		4.85			7/15/2026		10,000		9,986		10,087
Enterprise Products Operating LLC		5.95			2/1/2041		25,000		26,706		28,223
Kinder Morgan Energy Partners LP MTN		6.95			1/15/2038		30,000		32,016		34,799
Kinder Morgan, Inc.		3.05			12/1/2019		35,000		35,091		35,503
MPLX LP		4.00			2/15/2025		77,000		75,563		74,845
Phillips 66 Partners LP		4.90			10/1/2046		15,000		14,896		14,404
Plains All American Pipeline LP/PAA Finance Corp.		4.50			12/15/2026		30,000		29,916		30,433
Total Pipelines							252,000		254,003		259,309

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Real Estate — 0.1%*:
Prologis LP		3.35	%		2/1/2021		25,000	$	25,417	$	25,726
Real Estate Investment Trusts — 1.0%*:
American Tower Corp.		3.45			9/15/2021		80,000		80,054		81,035
Brandywine Operating Partnership LP		4.95			4/15/2018		40,000		41,262		41,349
CubeSmart LP		3.13			9/1/2026		45,000		44,784		42,410
DDR Corp.		4.75			4/15/2018		3,000		3,095		3,085
Digital Realty Trust LP		3.40			10/1/2020		20,000		19,966		20,378
Digital Realty Trust LP		3.95			7/1/2022		35,000		35,204		35,966
Host Hotels & Resorts LP		4.75			3/1/2023		50,000		52,115		52,078
Weingarten Realty Investors		3.25			8/15/2026		10,000		9,918		9,434
Total REITS							283,000		286,398		285,735
Retail — 2.0%*:
Advance Auto Parts, Inc.		4.50			12/1/2023		65,000		70,115		67,213
CVS Health Corp.		2.88			6/1/2026		10,000		9,918		9,532
CVS Health Corp.		3.50			7/20/2022		120,000		119,958		123,299
CVS Pass-Through Trust^		5.93			1/10/2034		30,576		34,946		34,928
El Puerto de Liverpool SAB de CV+^		3.95			10/2/2024		200,000		199,136		190,000
O’Reilly Automotive, Inc.		3.55			3/15/2026		10,000		9,984		9,935
O’Reilly Automotive, Inc.		4.88			1/14/2021		30,000		32,312		32,206
Wal-Mart Stores, Inc.		5.63			4/1/2040		30,000		35,606		37,112
Walgreens Boots Alliance, Inc.		2.70			11/18/2019		25,000		25,142		25,332
Walgreens Boots Alliance, Inc.		3.80			11/18/2024		35,000		34,625		35,622
Total Retail							555,576		571,742		565,179
Semiconductors — 0.2%*:
Lam Research Corp.		2.75			3/15/2020		50,000		49,937		50,104
Software — 0.2%*:
Broadridge Financial Solutions, Inc.		3.40			6/27/2026		20,000		19,922		19,300
Oracle Corp.		5.38			7/15/2040		35,000		39,004		40,674
Total Software							55,000		58,926		59,974
Telecommunications — 0.8%*:
AT&T, Inc.		3.40			5/15/2025		40,000		38,565		38,553
AT&T, Inc.		6.55			2/15/2039		25,000		28,969		28,943
Telefonaktiebolaget LM Ericsson+		4.13			5/15/2022		30,000		31,148		30,106
Verizon Communications, Inc.		3.50			11/1/2024		35,000		34,436		34,888
Verizon Communications, Inc.		6.55			9/15/2043		75,000		93,720		93,673
Total Telecommunications							205,000		226,838		226,163
Transportation — 0.2%*:
Penske Truck Leasing Co. LP/PTL Finance Corp.^		3.38			2/1/2022		45,000		44,281		45,381

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Trucking and Leasing — 0.1%*:
Aviation Capital Group Corp.^		2.88	%		9/17/2018		40,000	$	39,896	$	40,500
Total Corporate Bonds							8,436,576		8,707,727		8,723,749
Foreign Government — 0.6%*:
Canada — 0.2%*:
Province of Quebec Canada+		2.63			2/13/2023		25,000		25,210		25,062
Province of Quebec Canada+		7.50			9/15/2029		15,000		21,375		21,018
Total Canada							40,000		46,585		46,080
Mexico — 0.4%*:
Mexico Government International Bond+		4.75			3/8/2044		68,000		69,504		61,965
Mexico Government International Bond+		5.55			1/21/2045		60,000		64,663		61,125
Total Mexico							128,000		134,167		123,090
Total Foreign Government							168,000		180,752		169,170
Mortgage-Backed Securities — 2.3%*:
Banc of America Commercial Mortgage Trust 2008-1 A4		6.24	#		2/10/2051		100,777		109,517		103,380
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 AM		5.89	#		6/11/2050		85,000		91,210		86,834
GS Mortgage Securities Trust 2015-GC32 B		4.40	#		7/10/2048		100,000		102,880		105,578
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7 AM		5.93	#		4/17/2045		9,733		10,097		9,718
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 AM		5.96	#		2/12/2051		110,000		119,439		112,648
Morgan Stanley Capital I Trust 2008-TOP29 A4		6.28	#		1/11/2043		103,811		113,482		107,553
Wachovia Bank Commercial Mortgage Trust 2007-C33 A1A		5.97	#		2/15/2051		105,654		$114,406		$107,370
Total Mortgage-Backed Securities							614,975		661,031		633,081
U.S. Treasury & Government Agencies — 26.7%*:
Federal Home Loan Mortgage Corp.		3.50			11/1/2045		231,822		241,242		238,169
Federal Home Loan Mortgage Corp.		3.50			7/1/2046		59,306		62,744		60,900
Federal Home Loan Mortgage Corp.		3.50			11/1/2046		79,881		84,429		82,000
Federal Home Loan Mortgage Corp.		4.50			8/1/2040		18,652		20,502		20,190
Federal Home Loan Mortgage Corp.		4.50			10/1/2040		26,796		29,304		29,052
Federal Home Loan Mortgage Corp.		4.50			10/1/2041		32,092		35,090		34,634
Federal Home Loan Mortgage Corp.		4.50			1/1/2042		24,879		27,208		26,936
Federal Home Loan Mortgage Corp.		4.50			5/1/2042		131,820		143,878		141,862
Federal Home Loan Mortgage Corp.		4.50			9/1/2043		22,148		24,289		24,072
Federal Home Loan Mortgage Corp. TBA		3.00			1/1/2047		175,000		174,371		173,865
Federal Home Loan Mortgage Corp. TBA		4.00			2/1/2047		350,000		364,109		367,131
Federal National Mortgage Association		3.50			12/1/2028		60,656		64,492		63,515
Federal National Mortgage Association		3.50			11/1/2045		299,785		312,304		308,147

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
U.S. Treasury & Government Agencies (Continued)
Federal National Mortgage Association		3.50	%		12/1/2045		102,483	$	105,924	$	105,422
Federal National Mortgage Association		3.50			1/1/2046		279,528		290,385		287,510
Federal National Mortgage Association		4.00			9/1/2042		70,939		76,672		75,110
Federal National Mortgage Association		4.00			4/1/2046		23,548		25,301		24,792
Federal National Mortgage Association		4.50			9/1/2040		13,986		15,313		15,092
Federal National Mortgage Association		4.50			3/1/2041		20,097		22,103		21,766
Federal National Mortgage Association		4.50			10/1/2042		27,484		30,063		29,729
Federal National Mortgage Association		4.50			11/1/2042		51,262		56,269		55,559
Federal National Mortgage Association		5.00			6/1/2040		13,640		15,185		15,065
Federal National Mortgage Association		5.00			7/1/2040		104,190		115,497		113,802
Federal National Mortgage Association		5.00			2/1/2044		40,036		44,491		43,773
Federal National Mortgage Association TBA		2.50			1/1/2032		1,575,000		1,576,231		1,578,568
Federal National Mortgage Association TBA		3.00			1/1/2047		200,000		205,156		198,844
Federal National Mortgage Association TBA		3.50			1/1/2047		800,000		817,906		820,000
Federal National Mortgage Association TBA		4.00			1/1/2047		350,000		368,813		367,938
Government National Mortgage Association TBA		2.50			1/1/2047		250,000		242,578		242,596
U.S. Treasury Bond		2.50			5/15/2046		305,000		272,682		271,045
U.S. Treasury Bond		3.50			2/15/2039		500,000		577,386		546,797
U.S. Treasury Inflation Indexed Note		0.13			7/15/2026		262,189		256,207		253,594
U.S. Treasury Note		0.75			10/31/2018		150,000		148,904		148,922
U.S. Treasury Note		1.13			9/30/2021		425,000		408,301		409,942
U.S. Treasury Note		1.25			3/31/2021		100,000		97,652		97,691
U.S. Treasury Note		2.00			11/15/2026		155,000		148,298		149,133
Total U.S. Treasury & Government Agencies							7,332,219		7,501,279		7,443,163
Total Fixed Income							23,267,450		23,644,409		23,546,588
						SHARES		COST		FAIR VALUE
Mutual Fund — 8.8%*:
Barings US High Yield Fund							237,389		2,294,646		2,468,842
	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Short-Term Investments — 18.4%*:
Bank Deposit — 2.5%*:
State Street Bank & Trust Co. Euro Time Deposit		0.01			1/3/2017		707,678		707,678		707,678
Commercial Paper — 15.9%*:
Auto Manufacturers — 2.2%*:
Ford Motor Credit Co. LLC		Zero Coupon			2/3/2017		625,000		624,364		624,364

See accompanying Notes to the Financial Statements.

125

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE		DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Commercial Paper (Continued)
Electric — 2.3%*:
Molex Electronics Technologies		Zero Coupon		1/25/2017		625,000		$624,521		$624,521
Lodging — 2.3%*:
Marriott International, Inc.		Zero Coupon		1/25/2017		625,000		624,521		624,521
Oil and Gas — 2.2%*:
Sempra Global		Zero Coupon		2/7/2017		625,000		624,229		624,229
Oil and Gas Services — 2.5%*:
Spectra Energy Capital		Zero Coupon		1/5/2017		700,000		699,922		699,922
Pipelines — 2.2%*:
Bell Canada		Zero Coupon		2/28/2017		625,000		623,842		623,842
Retail — 2.2%*:
CVS Corp.		Zero Coupon		2/6/2017		625,000		624,313		624,313
Total Commercial Paper						4,450,000		4,445,712		4,445,712
Total Short-Term Investments						5,157,678		5,153,390		5,153,390
Total Investments						28,662,517		31,092,445		31,168,820
Other assets and liabilities — (11.7%)*										(3,263,383	)
Net Assets — 100.0%										$27,905,437

MTN Medium Term Note

OTC Over the Counter

TBA To Be Announced: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement.

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	93.4%
Canada	2.5%
Mexico	1.3%
Other (Individually less than 1%)	2.8%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

# Variable rate security. The interest rate shown is the rate in effect at December 31, 2016.

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

A summary of outstanding derivatives at December 31, 2016 is as follows:

Cross Currency Forward Foreign Currency Exchange Contracts

EXPIRATION DATE	DELIVER/ RECEIVE	COUNTERPARTY	CONTRACT AMOUNT PURCHASED		CONTRACT AMOUNT SOLD		NET UNREALIZED (DEPRECIATION)
1/17/17	EUR/PLN	JPMorgan Chase Bank N.A.		269,273		62,534	$	(1,547	)

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	Citibank N.A.		CHF	13,835		13,598		13,526	$	72
2/22/17	Bank of America N.A.		CNH	237,722		33,587		35,270		(1,683	)
3/15/17	JPMorgan Chase Bank N.A.		CNH	11,016,225		1,550,210		1,646,111		(95,901	)
1/17/17	BNP Paribas S.A.		COP	40,481,560		13,452		13,619		(167	)
1/17/17	JPMorgan Chase Bank N.A.		HKD	271,429		35,005		34,957		48
1/17/17	BNP Paribas S.A.		JPY	1,429,125		12,238		12,164		74
1/17/17	JPMorgan Chase Bank N.A.		KRW	15,542,800		12,874		13,582		(708	)
1/17/17	JPMorgan Chase Bank N.A.		KZT	11,655,000		34,837		34,482		355
1/17/17	JPMorgan Chase Bank N.A.		MXN	2,166,829		104,331		112,479		(8,148	)
1/17/17	BNP Paribas S.A.		MXN	263,770		12,700		13,000		(300	)
1/17/17	Bank of America N.A.		MXN	258,050		12,425		13,000		(575	)
1/17/17	JPMorgan Chase Bank N.A.		RUB	2,283,896		37,153		35,786		1,367
1/17/17	Citibank N.A.		SEK	288,968		31,748		33,109		(1,361	)
1/17/17	Bank of America N.A.		SEK	26,653		2,928		3,000		(72	)
1/17/17	JPMorgan Chase Bank N.A.		SGD	49,135		33,926		35,540		(1,614	)
1/17/17	JPMorgan Chase Bank N.A.		THB	1,201,294		33,542		33,787		(245	)
Net unrealized depreciation on forward foreign exchange contracts to buy									$	(108,858	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	Citibank N.A.		AUD	9		7		7	$	—
1/17/17	BNP Paribas S.A.		CAD	47,031		35,035		35,000		(35	)
1/17/17	JPMorgan Chase Bank N.A.		CHF	13,835		13,598		14,087		489
2/6/17	Bank of America N.A.		CLP	9,208,500		13,717		14,000		283
2/22/17	JPMorgan Chase Bank N.A.		CNH	237,722		33,588		35,000		1,412
3/15/17	JPMorgan Chase Bank N.A.		CNH	11,016,225		1,550,211		1,650,000		99,789
11/14/17	BNP Paribas S.A.		CNH	487,606		66,789		70,000		3,211
1/17/17	Citibank N.A.		COP	40,481,560		13,451		13,364		(87	)
1/17/17	BNP Paribas S.A.		EUR	28,650		30,182		30,000		(182	)
1/17/17	Goldman Sachs & Co.		HKD	271,429		35,005		35,008		3
1/17/17	BNP Paribas S.A.		ILS	77,916		20,233		20,479		246

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	BNP Paribas S.A.		JPY	1,429,125		12,238		14,000	$	1,762
1/17/17	BNP Paribas S.A.		KRW	15,542,800		12,874		14,000		1,126
1/17/17	JPMorgan Chase Bank N.A.		MXN	299,996		14,445		16,000		1,555
1/17/17	BNP Paribas S.A.		RUB	2,283,896		37,152		34,938		(2,214	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	JPMorgan Chase Bank N.A.		SGD	49,135		33,925		35,686	$	1,761
Net unrealized appreciation on forward foreign exchange contracts to sell									$	109,119

Currency Legend

AUD	–	Australian Dollar
CAD	–	Canadian Dollar
CHF	–	Swiss Franc
CLP	–	Chilean Peso
CNH	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
EUR	–	Euro
HKD	–	Hong Kong Dollar
ILS	–	Israeli Shekel
JPY	–	Japanese Yen
KRW	–	South Korean Won
KZT	–	Kazakhstani Tenge
MXN	–	Mexican Peso
PLN	–	Polish Zloty
RUB	–	Russian Ruble
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
THB	–	Thai Baht

Futures

TYPE	EXPIRATION DATE	CONTRACTS		POSITION		FAIR VALUE		UNREALIZED DEPRECIATION
Long Futures
U.S. 2-Year Treasury Note	03/31/17		12		Long	$	2,600,250	$	(2,129	)
U.S. 5-Year Treasury Note	03/31/17		11		Long		1,294,305		(4,934	)
U.S. Long Bond	03/22/17		1		Long		150,656		(1,245	)
U.S. Ultra Bond	03/22/17		6		Long		961,500		(8,799	)
Total Long Futures								$	(17,107	)

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

TYPE	EXPIRATION DATE	CONTRACTS		POSITION		FAIR VALUE		UNREALIZED APPRECIATION
Short Future
U.S. 10-Year Ultra Bond	03/22/17		1		Short	$	134,063	$	825

OTC Credit Default Swaps – Sell Protection⁽¹⁾⁽²⁾

REFERENCE OBLIGATION	FIIXED-DEAL RECEIVED RATE			MATURITY DATE		COUNTERPARTY	ORIGINAL NOTIONAL AMOUNT		CURRENT NOTIONAL AMOUNT(3)		UPFRONT PREMIUMS PAID/ (RECEIVED)			FAIR VALUE(4)			UNREALIZED APPRECIATION (DEPRECIATION)
CMBX.NA. BBB-.6†		3.00	%		11/17/2045	JPMorgan Chase Bank N.A.		60,000		60,000	$	(142	)	$	(3,411	)	$	(3,553	)
CMBX.NA. BBB-.6†		3.00	%		5/11/2063	Goldman Sachs & Co.		70,000		70,000		(5,338	)		(3,981	)		1,357
Total OTC Credit Default Swap											$	(5,480	)	$	(7,392	)	$	(2,196	)

Centrally Cleared Credit Default Swaps – Buy Protection

REFERENCE OBLIGATION	FIXED-DEAL RECEIVED RATE			MATURITY DATE		ORIGINAL NOTIONAL AMOUNT		CURRENT NOTIONAL AMOUNT(3)		UPFRONT PREMIUMS PAID/ (RECEIVED)			FAIR VALUE(4)			UNREALIZED APPRECIATION
CDX.NA.BBB-.6		1.00	%		12/20/2021		480,000		480,000		(7,703	)		(7,205	)		498

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽²⁾ Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index.

⁽³⁾ The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit event as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the expected amount paid or received for the credit derivative if the amount of the swap agreement was closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements.

† Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

See accompanying Notes to the Financial Statements.

129

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SCHEDULE OF INVESTMENTS

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 97.4%*:
Corporate Bonds — 34.5%*:
Auto Parts&Equipment — 1.5%*:
Metalsa SA de CV+^		4.90	%		4/24/2023		150,000		$137,080		$142,549
Chemicals — 2.1%*:
OCP SA+		6.88			4/25/2044		200,000		209,849		201,025
Commercial Banks — 8.1%*:
BBVA Bancomer SA+^		5.35	#		11/12/2029		200,000		198,588		184,000
BBVA Bancomer SA+^		6.75			9/30/2022		200,000		220,743		218,500
Sberbank of Russia Via SB Capital SA+^		5.50	#		2/26/2024		200,000		187,440		202,250
Turkiye Halk Bankasi AS+^		3.88			2/5/2020		200,000		195,340		187,000
Total Commercial Banks							800,000		802,111		791,750
Construction Materials — 1.7%*:
Cemex SAB de CV+^		4.38			3/5/2023		150,000		165,321		161,845
Electric — 2.1%*:
Abengoa Transmision Sur SA+^		6.88			4/30/2043		199,580		204,522		204,569
Engineering&Construction — 2.0%*:
Mexico City Airport Trust+^		4.25			10/31/2026		200,000		198,059		196,000
Food — 4.1%*:
Marfrig Overseas Ltd.+^		9.50			5/4/2020		200,000		205,526		205,750
Minerva Luxembourg SA+^		6.50			9/20/2026		200,000		198,229		192,750
Total Food							400,000		403,755		398,500
Gas — 2.4%*:
Fermaca Enterprises S de RL de CV+^		6.38			3/30/2038		238,428		232,547		234,852
Media — 4.2%*:
Altice Financing SA+^		6.63			2/15/2023		200,000		196,724		205,500
VTR Finance B.V.+^		6.88			1/15/2024		200,000		186,752		206,500
Total Media							400,000		383,476		412,000
Oil and Gas — 4.5%*:
Petrobras Global Finance B.V.+		3.25			4/1/2019		125,000		134,147		134,049
Petrobras Global Finance B.V.+		3.75			1/14/2021		225,000		247,847		236,550
Petrobras Global Finance BV+		5.63			5/20/2043		100,000		75,568		73,750
Total Oil and Gas							450,000		457,562		444,349
Telecommunications — 1.8%*:
Digicel Ltd.+^		6.75			3/1/2023		200,000		188,631		180,326
Total Corporate Bonds							3,388,008		3,382,913		3,367,765

See accompanying Notes to the Financial Statements.

130

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government — 62.9%*:
Argentina — 3.5%*:
Province of Santa Fe+^		6.90	%		11/1/2027		150,000	$	150,000	$	141,000
Provincia de Cordoba+^		7.13			6/10/2021		200,000		200,000		205,000
Total Argentina							350,000		350,000		346,000
Armenia — 2.2%*:
Republic of Armenia International Bond^+		7.15			3/26/2025		200,000		212,286		210,000
Brazil — 6.8%*:
Brazil Notas do Tesouro Nacional Serie B+		6.00			8/15/2050		460,000		383,600		434,727
Brazilian Government International Bond+		8.25			1/20/2034		200,000		230,497		230,750
Total Brazil							660,000		614,097		665,477
Colombia — 6.7%*:
Colombia Government International Bond+		5.63			2/26/2044		200,000		206,445		206,000
Colombian TES+		7.75			9/18/2030		1,311,000,000		454,641		450,871
Total Colombia							1,311,200,000		661,086		656,871
Croatia — 2.2%*:
Croatia Government Bond+^		5.50			4/4/2023		200,000		207,125		210,750
Dominican Republic — 2.1%*:
Dominican Republic International Bond+^		5.88			4/18/2024		200,000		197,026		200,000
El Salvador — 2.1%*:
Republic of El Salvador+^		7.38			12/1/2019		200,000		205,160		206,000
Ghana — 4.4%*:
Ghana Government International Bond+^		7.88			8/7/2023		200,000		180,808		196,750
Ghana Government International Bond+^		10.75			10/14/2030		200,000		213,475		236,750
Total Ghana							400,000		394,283		433,500
Indonesia — 2.4%*:
Indonesia Treasury Bond+		8.38			3/15/2034		3,140,000,000		214,852		233,417
Malaysia — 3.4%*:
Malaysia Government Bond+		4.13			4/15/2032		1,610,000		360,800		328,478
Mexico — 11.0%*:
Mexican Bonos+		7.50			6/3/2027		6,900,000		409,369		331,284
Mexican Bonos+		5.75			10/12/2110		430,000		413,343		398,288
Mexican Bonos+		7.75			11/13/2042		7,100,000		482,963		339,080
Total Mexico							14,430,000		1,305,675		1,068,652
Peru — 5.8%*:
Peru Government Bond+		6.85			2/12/2042		590,000		184,279		169,589
Peru Government Bond+		6.90			8/12/2037		600,000		197,132		177,457
Peru Government Bond+		6.95			8/12/2031		720,000		241,847		217,769
Total Peru							1,910,000		623,258		564,815

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued)
South Africa — 10.3%*:
South Africa Government Bond+		6.50	%		2/28/2041		4,200,000	$	206,424	$	217,570
South Africa Government Bond+		8.75			2/28/2048		11,800,000		786,484		784,596
Total South Africa							16,000,000		992,908		1,002,166
Total Foreign Government							4,487,360,000		6,338,556		6,126,126
Total Fixed Income							4,490,748,008		9,721,469		9,493,891
Short-Term Investment — 1.0%*:
Bank Deposit — 1.0%*:
State Street Bank & Trust Co. Euro Time Deposit		0.01			1/3/2017		98,880		98,880		98,880
Total Investments							4,490,846,888		9,820,349		9,592,771
Other assets and liabilities — 1.6%*											153,653
Net Assets — 100.0%											$9,746,424

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

Mexico	23.2%
Brazil	15.9%
South Africa	10.5%
Peru	8.1%
Colombia	6.9%
Ghana	4.6%
Argentina	3.6%
Malaysia	3.5%
Indonesia	2.5%
Croatia	2.2%
Armenia	2.2%
Chile	2.2%
El Salvador	2.2%
Portugal	2.2%
Russia	2.1%
Morocco	2.1%
Dominican Republic	2.1%
Turkey	2.0%
Jamaica	1.9%
Total	100.0%

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

# Variable rate security. The interest rate shown is the rate in effect at December 31, 2016.

A summary of outstanding derivatives at December 31, 2016 is as follows:

Cross Currency Forward Foreign Currency Exchange Contracts

EXPIRATION DATE	DELIVER/RECEIVE	COUNTERPARTY	CONTRACT AMOUNT PURCHASED		CONTRACT AMOUNT SOLD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	EUR/PLN	JPMorgan Chase Bank N.A.		3,973,789		922,849	$	(22,829	)
1/17/17	HUF/EUR	Citibank N.A.		144,710		44,262,285		1,715
Net unrealized depreciation on cross currency forward foreign currency exchange contracts							$	(21,114	)

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	JPMorgan Chase Bank N.A.		BRL	375,269		114,868		117,144	$	(2,276	)
1/17/17	Citibank N.A.		CHF	196,650		193,281		192,266		1,016
2/22/17	JPMorgan Chase Bank N.A.		CNH	223,512		31,580		34,000		(2,420	)
2/22/17	Bank of America N.A.		CNH	3,172,518		448,245		470,700		(22,453	)
1/17/17	BNP Paribas S.A.		COP	606,073,167		201,393		203,893		(2,500	)

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	JPMorgan Chase Bank N.A.		HKD	4,001,618		516,067		515,360	$	707
1/17/17	Citibank N.A.		HUF	127,109,790		432,868		463,738		(30,870	)
1/17/17	JPMorgan Chase Bank N.A.		KRW	219,819,600		182,081		192,100		(10,019	)
1/17/17	JPMorgan Chase Bank N.A.		KZT	171,001,500		511,131		505,922		5,209
1/17/17	JPMorgan Chase Bank N.A.		MXN	23,348,118		1,124,198		1,211,994		(87,796	)
1/17/17	BNP Paribas S.A.		MXN	4,078,290		196,367		201,000		(4,633	)
1/17/17	Bank of America N.A.		MXN	3,989,850		192,109		201,000		(8,891	)
1/17/17	JPMorgan Chase Bank N.A.		RUB	33,350,197		542,516		522,563		19,953
1/17/17	Citibank N.A.		SEK	2,522,873		277,184		289,067		(11,883	)
1/17/17	JPMorgan Chase Bank N.A.		SGD	702,553		485,088		508,162		(23,074	)
1/17/17	JPMorgan Chase Bank N.A.		THB	18,004,993		502,725		506,398		(3,673	)
Net unrealized depreciation on forward foreign exchange contracts to buy									$	(183,603	)

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	Citibank N.A.		AUD	1,394		1,006		1,051	$	45
1/17/17	BNP Paribas S.A.		BRL	189,582		58,030		57,000		(1,030	)
1/17/17	Citibank N.A.		BRL	185,687		56,838		56,141		(697	)
1/17/17	BNP Paribas S.A.		CAD	681,281		507,507		507,000		(507	)
1/17/17	JPMorgan Chase Bank N.A.		CHF	196,650		193,281		200,234		6,953
2/6/17	Bank of America N.A.		CLP	134,181,000		199,872		204,000		4,128
2/22/17	JPMorgan Chase Bank N.A.		CNH	3,396,030		479,825		500,000		20,175
11/14/17	BNP Paribas S.A.		CNH	7,063,321		967,484		1,014,000		46,516
1/17/17	JPMorgan Chase Bank N.A.		COP	1,358,169,780		451,309		452,533		1,224
1/17/17	BNP Paribas S.A.		COP	327,240,000		108,739		108,000		(739	)
1/17/17	Citibank N.A.		EUR	973,314		1,025,361		1,078,080		52,719
1/17/17	BNP Paribas S.A.		EUR	372,456		392,373		390,000		(2,373	)
1/17/17	Goldman Sachs & Co.		HKD	4,001,618		516,067		516,109		42
1/17/17	BNP Paribas S.A.		ILS	1,179,274		306,227		309,948		3,721
1/17/17	BNP Paribas S.A.		KRW	219,819,600		182,081		198,000		15,919
1/17/17	JPMorgan Chase Bank N.A.		MXN	11,662,231		561,530		623,311		61,781
1/17/17	JPMorgan Chase Bank N.A.		MYR	1,596,736		355,834		379,877		24,043
2/6/17	JPMorgan Chase Bank N.A.		PEN	683,700		202,908		200,000		(2,908	)
1/17/17	BNP Paribas S.A.		RUB	33,350,197		542,516		510,185		(32,331	)
1/17/17	Citibank N.A.		SGD	46,568		32,154		34,000		1,846
1/17/17	JPMorgan Chase Bank N.A.		SGD	655,985		452,934		476,446		23,512
1/17/17	JPMorgan Chase Bank N.A.		ZAR	3,863,176		280,631		265,762		(14,869	)
Net unrealized appreciation on forward foreign exchange contracts to sell									$	207,170

Currency Legend

AUD	–	Australian Dollar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CHF	–	Swiss Franc
CLP	–	Chilean Peso
CNH	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
CZK	–	Czech Koruna
EUR	–	Euro
HKD	–	Hong Kong Dollar
HRK	–	Croatian Kuna
HUF	–	Hungarian Forint
ILS	–	Israeli Shekel
KRW	–	South Korean Won
KZT	–	Kazakhstani Tenge
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
PEN	–	Peruvian Nouveau Sol

See accompanying Notes to the Financial Statements.

134

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

PLN	–	Polish Zloty
RSD	–	Serbian Dinar.
RUB	–	Russian Ruble
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
THB	–	Thai Baht
ZAR	–	South African Rand

Future

TYPE	EXPIRATION DATE		CONTRACTS		POSITION		FAIR VALUE		UNREALIZED APPRECIATION
Short Future
U.S. Ultra Bond		03/22/17		2		Short	$	320,500	$	2,868

OTC – Interest Rate Swaps

DESCRIPTION	NOTIONAL AMOUNT			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Agreement with Bank of America N.A. dated 12/9/15 receiving a fixed rate of 12.50% paying the notional amount multiplied by the BRL-BZDIO rate. Expiring 1/2/25		BRL	625,257	$	10,977		$	10,977
Agreement with Bank of America N.A. dated 12/9/15 paying a fixed rate of 1.48% receiving the notional amount multiplied by the KRW-KSDA rate. Expiring 10/24/26		KRW	172,000,000		4,537			4,537
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 receiving a fixed rate of 11.45% paying the notional amount multiplied by the BRL-MBZDIO rate. Expiring 1/2/23		BRL	1,017,920		(4,549	)		(4,549	)
Agreement with JPMorgan Chase Bank N.A. dated 4/26/16 paying a fixed rate of 0.26% receiving the notional amount multiplied by the CZK-PRIBO rate. Expiring 7/15/21		CZK	15,800,000		5,547			5,547
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 receiving a fixed rate of 2.46% paying the notional amount multiplied by the PLN-WIBOR rate. Expiring 6/21/26		PLN	1,100,000		(8,216	)		(8,216	)
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 paying a fixed rate of 1.64% receiving the notional amount multiplied by the KRW-KSDA rate. Expiring 5/20/26		KRW	190,000,000		2,376			2,376
Total Interest Rate Swaps							$	10,672

Abbreviation Legend

OTC – Over the Counter

See accompanying Notes to the Financial Statements.

135

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SCHEDULE OF INVESTMENTS

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 91.3%*:
Foreign Government — 91.3%*:
Brazil — 5.0%*:
Brazil Notas do Tesouro Nacional Serie B+		6.00	%		8/15/2050		200,000		$160,976		$189,012
Brazil Notas do Tesouro Nacional Serie F+		10.00			1/1/2025		180,000		54,515		51,314
Total Brazil							380,000		215,491		240,326
Chile — 1.1%*:
Chile Government International Bond+		5.50			8/5/2020		32,300,000		47,918		50,619
Colombia — 8.3%*:
Colombian TES+		7.50			8/26/2026		223,500,000		76,812		76,387
Colombian TES+		7.75			9/18/2030		929,000,000		255,496		319,496
Total Colombia							1,152,500,000		332,308		395,883
Croatia — 2.2%*:
Croatia Government Bond+		4.25			12/14/2026		700,000		110,343		107,752
Ghana — 1.2%*:
Ghana Government Bond+		24.75			3/1/2021		100,000		26,772		27,007
Ghana Government Bond+		24.75			7/19/2021		110,000		28,592		30,154
Total Ghana							210,000		55,364		57,161
Hungary — 4.9%*:
Hungary Government Bond+		6.75			11/24/2017		64,970,000		242,247		235,002
Indonesia — 9.9%*:
Indonesia Treasury Bond+		8.38			3/15/2024		1,000,000,000		82,304		75,489
Indonesia Treasury Bond+		8.38			3/15/2034		5,369,000,000		367,833		399,113
Total Indonesia							6,369,000,000		450,137		474,602
Malaysia — 9.3%*:
Malaysia Government Bond+		3.48			3/15/2023		1,540,000		346,512		327,241
Malaysia Government Bond+		4.50			4/15/2030		550,000		128,548		118,803
Total Malaysia							2,090,000		475,060		446,044
Mexico — 9.7%*:
Mexican Bonos+		5.00			6/15/2017		1,960,000		105,127		94,617
Mexican Bonos+		7.50			6/3/2027		930,000		52,905		44,929
Mexican Bonos+		7.75			11/13/2042		6,830,000		407,239		328,215
Total Mexico							9,720,000		565,271		467,761
Peru — 4.8%*:
Peru Government Bond+		6.85			2/12/2042		270,000		83,508		77,681
Peru Government Bond+		6.95			8/12/2031		310,000		103,981		93,850
Peru Government Bond+		7.84			8/12/2020		183,000		54,267		59,290
Total Peru							763,000		241,756		230,821

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued)
Poland — 4.9%*:
Poland Government Bond+		2.50	%		7/25/2018		970,000	$	255,373	$	234,282
Romania — 4.5%*:
Romania Government Bond+		5.80			7/26/2027		180,000		52,769		49,102
Romania Government Bond+		5.90			7/26/2017		160,000		39,964		38,196
Romania Government Bond+		6.75			6/11/2017		550,000		137,321		130,980
Total Romania							890,000		230,054		218,278
Russia — 4.4%*:
Russian Federal Bond — OFZ+		7.00			8/16/2023		8,243,000		117,594		126,299
Russian Federal Bond — OFZ+		7.60			7/20/2022		2,325,000		34,196		37,095
Russian Federal Bond — OFZ+		8.50			9/17/2031		3,000,000		49,008		49,078
Total Russia							13,568,000		200,798		212,472
South Africa — 9.5%*:
South Africa Government Bond+		6.50			2/28/2041		1,200,000		58,642		62,430
South Africa Government Bond+		7.00			2/28/2031		1,900,000		110,216		113,524
South Africa Government Bond+		8.75			2/28/2048		4,200,000		254,063		280,462
Total South Africa							7,300,000		422,921		456,416
Thailand — 4.9%*:
Thailand Government Bond+		1.20			7/14/2021		8,539,200		228,578		232,771
Turkey — 4.5%*:
Turkey Government Bond+		8.00			3/12/2025		910,000		281,199		215,626
Ukrainian — 2.2%*:
Ukraine Government International Bond+^		Zero Coupon			5/31/2040		350,000		109,475		105,308
Total Foreign Government							7,665,160,200		4,464,293		4,381,124
Total Fixed Income							7,665,160,200		4,464,293		4,381,124
Short-Term Investments — 7.1%*:
Bank Deposit — 7.1%*:
State Street Bank & Trust Co. Euro Time Deposit		0.01			1/3/2017		339,448		339,448		339,448
Total Investments							7,665,499,648		4,803,741		4,720,572
Other assets and liabilities – 1.6%*											75,343
Net Assets – 100.0%											$4,795,915

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

See accompanying Notes to the Financial Statements.

137

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

Indonesia	10.8%
Mexico	10.7%
South Africa	10.4%
Malaysia	10.2%
Colombia	9.0%
Brazil	5.5%
Hungary	5.4%
Poland	5.3%
Thailand	5.3%
Peru	5.3%
Romania	5.0%
Turkey	4.9%
Russia	4.8%
Croatia	2.5%
Ukrainian	2.4%
Ghana	1.3%
Chile	1.2%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

A summary of outstanding derivatives at December 31, 2016 is as follows:

Cross Currency Forward Foreign Currency Exchange Contracts

EXPIRATION DATE	DELIVER/ RECEIVE	COUNTERPARTY	CONTRACT AMOUNT PURCHASED		CONTRACT AMOUNT SOLD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/17/17	EUR/PLN	JPMorgan Chase Bank N.A.		432,275		100,389	$	(2,439	)
1/17/17	EUR/RON	Bank of America N.A.		775,316		172,352		(1,818	)
1/17/17	EUR/RON	JPMorgan Chase Bank N.A.		250,179		56,000		(994	)
3/7/17	EUR/RSD	BNP Paribas S.A.		11,646,600		94,000		(535	)
1/17/17	HUF/EUR	Citibank N.A.		103,293		31,739,221		598
1/17/17	PLN/EUR	Citibank N.A.		40,000		176,804		(121	)
Net unrealized depreciation on cross currency forward foreign currency exchange contracts							$	(5,309	)

See accompanying Notes to the Financial Statements.

138

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
3/1/17	JPMorgan Chase Bank N.A.		ARS	1,881,000		113,938		100,000	$	13,938
1/17/17	BNP Paribas S.A.		BRL	361,892		110,773		109,000		1,773
3/16/17	BNP Paribas S.A.		BRL	591,915		178,330		174,168		4,162
1/17/17	JPMorgan Chase Bank N.A.		CAD	29,428		21,948		22,000		(52	)
1/17/17	Citibank N.A.		CHF	98,547		97,054		96,350		704
1/17/17	Citibank N.A.		CLP	6,043,500		9,015		9,000		15
2/22/17	Bank of America N.A.		CNH	1,698,015		240,115		251,931		(11,816	)
11/14/17	JPMorgan Chase Bank N.A.		CNH	107,746		14,772		15,000		(228	)
1/17/17	BNP Paribas S.A.		COP	497,208,530		165,250		167,269		(2,019	)
1/17/17	JPMorgan Chase Bank N.A.		HKD	2,101,639		271,084		270,666		418
1/17/17	Citibank N.A.		HUF	103,050,842		352,069		375,963		(23,894	)
1/17/17	BNP Paribas S.A.		JPY	11,297,148		96,941		96,159		782
1/17/17	JPMorgan Chase Bank N.A.		KRW	118,791,400		98,611		103,811		(5,200	)
1/17/17	JPMorgan Chase Bank N.A.		KZT	35,964,000		107,498		106,402		1,095
1/17/17	Citibank N.A.		MXN	703,544		34,090		34,000		90
1/17/17	JPMorgan Chase Bank N.A.		MXN	13,268,817		642,932		688,780		(45,848	)
1/17/17	BNP Paribas S.A.		MXN	669,570		32,443		33,000		(557	)
1/17/17	Bank of America N.A.		MXN	655,050		31,740		33,000		(1,260	)
1/17/17	Bank of America N.A.		MYR	476,748		106,257		114,000		(7,743	)
1/17/17	BNP Paribas S.A.		NOK	1,152,510		133,918		133,882		36
1/17/17	JPMorgan Chase Bank N.A.		PHP	5,579,800		112,393		115,000		(2,607	)
1/17/17	JPMorgan Chase Bank N.A.		PLN	2,499,050		598,518		644,832		(46,314	)
1/17/17	JPMorgan Chase Bank N.A.		RUB	14,101,301		230,653		220,953		9,700
1/17/17	Citibank N.A.		SEK	1,395,666		153,780		159,913		(6,133	)
1/17/17	BNP Paribas S.A.		SGD	196,275		135,850		142,000		(6,150	)
1/17/17	JPMorgan Chase Bank N.A.		THB	11,409,605		318,573		320,900		(2,327	)
1/17/17	Bank of America N.A.		TRY	458,439		129,952		145,550		(15,598	)
1/17/17	JPMorgan Chase Bank N.A.		ZAR	2,566,826		187,262		176,409		10,853
Net unrealized depreciation on forward foreign exchange contracts to buy									$	(134,180	)

See accompanying Notes to the Financial Statements.

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December 31, 2016 (Unaudited)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
3/1/17	BNP Paribas S.A.		ARS	1,881,000		113,938		116,327	$	2,389
1/17/17	Citibank N.A.		AUD	74,437		53,881		56,126		2,245
1/17/17	Goldman Sachs & Co.		CAD	74,482		55,551		56,269		718
1/17/17	BNP Paribas S.A.		CAD	274,125		204,448		204,000		(448	)
1/17/17	JPMorgan Chase Bank N.A.		CHF	98,547		97,054		100,343		3,289
1/17/17	Goldman Sachs & Co.		CLP	66,527,421		99,237		98,878		(359	)
2/6/17	Bank of America N.A.		CLP	35,518,500		52,911		54,000		1,089
2/22/17	JPMorgan Chase Bank N.A.		CNH	1,698,015		240,115		250,000		9,885
11/14/17	BNP Paribas S.A.		CNH	3,037,089		416,391		436,000		19,609
1/17/17	Citibank N.A.		COP	247,272,480		82,182		82,507		325
1/17/17	BNP Paribas S.A.		COP	233,310,000		77,542		77,000		(542	)
1/17/17	Citibank N.A.		EUR	471,498		497,703		522,250		24,547
1/17/17	BNP Paribas S.A.		EUR	181,453		191,537		190,000		(1,537	)
1/17/17	Goldman Sachs & Co.		HKD	2,101,639		271,084		271,059		(25	)
1/17/17	Goldman Sachs & Co.		HUF	39,770,728		135,875		140,621		4,746
1/17/17	BNP Paribas S.A.		ILS	635,218		165,096		166,954		1,858
1/17/17	BNP Paribas S.A.		JPY	5,614,422		48,177		55,000		6,823
1/17/17	JPMorgan Chase Bank N.A.		JPY	5,682,726		48,764		55,192		6,428
1/17/17	BNP Paribas S.A.		KRW	118,791,400		98,611		107,000		8,389
1/17/17	JPMorgan Chase Bank N.A.		MXN	6,511,282		315,500		341,678		26,178
1/17/17	Citibank N.A.		MYR	440,110		98,091		105,959		7,868
1/17/17	JPMorgan Chase Bank N.A.		MYR	168,752		37,611		40,148		2,537
1/17/17	Goldman Sachs & Co.		NOK	1,152,510		133,918		140,931		7,013
3/16/17	BNP Paribas S.A.		NZD	153,780		106,994		110,772		3,778
2/6/17	JPMorgan Chase Bank N.A.		PEN	540,123		160,448		158,000		(2,448	)
1/17/17	Citibank N.A.		PHP	14,893,755		300,002		303,057		3,055
1/17/17	Goldman Sachs & Co.		RON	231,895		53,871		56,330		2,459
1/17/17	JPMorgan Chase Bank N.A.		RON	892,495		207,334		220,565		13,231
1/17/17	BNP Paribas S.A.		RUB	7,255,934		118,684		111,000		(7,684	)
1/17/17	JPMorgan Chase Bank N.A.		SGD	352,442		243,940		255,981		12,041
1/17/17	JPMorgan Chase Bank N.A.		THB	1,875,380		52,363		52,000		(363	)
1/17/17	Citibank N.A.		TRY	49,471		14,024		14,000		(24	)
1/17/17	BNP Paribas S.A.		ZAR	1,065,522		77,735		76,000		(1,735	)
Net unrealized appreciation on forward foreign exchange contracts to sell									$	155,335

See accompanying Notes to the Financial Statements.

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December 31, 2016 (Unaudited)

Currency Legend

ARS	–	Argentine Peso
AUD	–	Australian Dollar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CHF	–	Swiss Franc
CLP	–	Chilean Peso
CNH	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
CZK	–	Czech Koruna
EUR	–	Euro
HKD	–	Hong Kong Dollar
HUF	–	Hungarian Forint
ILS	–	Israeli Shekel
JPY	–	Japanese Yen
KRW	–	South Korean Won
KZT	–	Kazakhstani Tenge
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NOK	–	Norwegian Krona
NZD	–	New Zealand Dollar
PEN	–	Peruvian Nouveau Sol
PHP	–	Philippines Peso
PLN	–	Polish Zloty
RON	–	New Romanian Leu
RSD	–	Serbian Dinar.
RUB	–	Russian Ruble
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
THB	–	Thai Baht
TRY	–	New Turkish Lira
ZAR	–	South African Rand

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

OTC – Interest Rate Swaps

DESCRIPTION	NOTIONAL AMOUNT		UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Agreement with Bank of America N.A. dated 6/24/16 receiving a fixed rate of 12.50% paying the notional amount multiplied by the BRL-CDI rate. Expiring 1/2/25	BRL	220,679	$	3,874		$	3,874
Agreement with Bank of America N.A. dated 12/9/15 receiving a fixed rate of 8.68% paying the notional amount multiplied by the ZAR-JIBAR rate. Expiring 12/9/25	ZAR	8,000,000		15,927			15,927
Agreement with JPMorgan Chase Bank N.A. dated 6/7/16 receiving a fixed rate of 2.46% paying the notional amount multiplied by the PLN-WIBOR rate. Expiring 6/21/26	PLN	600,000		(4,530	)		(4,530	)
Agreement with JPMorgan Chase Bank N.A. dated 12/9/15 receiving a fixed rate of 6.35% paying the notional amount multiplied by the MXN-TIIE rate. Expiring 11/27/25	MXN	4,750,000		(23,310	)		(23,310	)
Agreement with JPMorgan Chase Bank N.A. dated 9/28/16 receiving a fixed rate of 11.45% paying the notional amount multiplied by the BRL-CDI rate. Expiring 1/02/23	BRL	508,960		(2,275	)		(2,275	)
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 paying a fixed rate of 1.64% receiving the notional amount multiplied by the KRW-KSDA rate. Expiring 5/20/26	KRW	159,000,000		1,988			1,988
Agreement with JPMorgan Chase Bank N.A. dated 7/13/16 paying a fixed rate of 0.26% receiving the notional amount multiplied by the CZK-PRIBO rate. Expiring 7/15/21	CZK	4,300,000		1,513			1,513
Agreement with JPMorgan Chase Bank N.A. dated 12/12/15 paying a fixed rate of 0.25% receiving the notional amount multiplied by the CZK-PRIBO rate. Expiring 2/16/21	CZK	2,500,000		691			691
Total Interest Rate Swaps						$	(6,122	)

Abbreviation Legend

OTC – Over the Counter

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 97.0%*:
Corporate Bonds — 97.0%*:
Aerospace and Defense — 2.9%*:
American Airlines Group, Inc.^		5.50	%		10/1/2019		265,000		$269,904		$273,613
CPI International, Inc.		8.75			2/15/2018		500,000		501,932		507,500
Total Aerospace and Defense							765,000		771,836		781,113
Automobile — 3.0%*:
Allison Transmission, Inc.^		5.00			10/1/2024		176,000		176,000		177,760
Gates Global LLC/Gates Global Co.^		6.00			7/15/2022		125,000		98,625		122,250
International Automotive Components Group SA^		9.13			6/1/2018		250,000		251,441		243,750
JB Poindexter & Co., Inc.^		9.00			4/1/2022		250,000		262,152		262,500
Total Automobile							801,000		788,218		806,260
Banking — 0.4%*:
Lock AS+		7.00			8/15/2021		100,000		114,475		111,777
Beverage, Food and Tobacco — 0.7%*:
Boparan Finance PLC+		5.25			7/15/2019		150,000		192,008		185,784
Broadcasting and Entertainment — 4.6%*:
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.75			2/15/2026		250,000		250,000		258,750
DISH DBS Corp.		7.75			7/1/2026		316,000		316,000		356,290
Entertainment One Ltd.+		6.88			12/15/2022		100,000		150,232		133,777
Netflix, Inc.^		4.38			11/15/2026		300,000		300,000		291,000
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH+		3.50			1/15/2027		200,000		214,769		206,319
Total Broadcasting and Entertainment							1,166,000		1,231,001		1,246,136
Buildings and Real Estate — 2.9%*:
Brookfield Residential Properties, Inc.^		6.50			12/15/2020		250,000		249,498		255,625
GEO Group, Inc. (The)		6.00			4/15/2026		250,000		250,000		245,625
Keystone Financing PLC+		9.50			10/15/2019		100,000		133,497		128,884
Paroc Group Oy+		6.25			5/15/2020		150,000		159,303		161,845
Total Buildings and Real Estate							750,000		792,298		791,979
Cargo Transport — 4.0%*:
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		387,000		394,662		399,578
Kenan Advantage Group, Inc.^		7.88			7/31/2023		400,000		412,733		404,000
WFS Global Holding SAS+		9.50			7/15/2022		250,000		280,189		270,570
Total Cargo Transport							1,037,000		1,087,584		1,074,148
Chemicals, Plastics and Rubber — 4.4%*:
A. Schulman, Inc.^		6.88			6/1/2023		250,000		253,045		261,250
Consolidated Energy Finance SA+^		6.75			10/15/2019		370,000		364,870		370,000

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Chemicals, Plastics and Rubber (Continued)
LBC Tank Terminals Holding Netherlands BV^		6.88	%		5/15/2023		215,000	$	207,551	$	219,837
LSB Industries, Inc.		8.50			8/1/2019		232,000		204,240		213,440
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc.		6.38			5/1/2022		100,000		116,901		112,634
Total Chemicals, Plastics and Rubber							1,167,000		1,146,607		1,177,161
Containers, Packaging and Glass — 4.6%*:
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+		6.75			5/15/2024		100,000		110,781		112,370
Coveris Holdings SA^		7.88			11/1/2019		372,000		353,363		369,210
Horizon Holdings I SASU+		7.25			8/1/2023		300,000		345,789		337,111
Iron Mountain Europe PLC+		6.13			9/15/2022		100,000		132,632		130,018
Plastipak Holdings, Inc.^		6.50			10/1/2021		125,000		125,555		130,625
SIG Combibloc Holdings SCA+		7.75			2/15/2023		150,000		172,460		169,614
Total Containers, Packaging and Glass							1,147,000		1,240,580		1,248,948
Diversified Natural Resources, Precious Metals and Minerals — 0.8%*:
Kinross Gold Corp.+		5.95			3/15/2024		127,000		132,521		128,587
Kinross Gold Corp.		6.88			9/1/2041		82,000		81,591		75,748
Total Diversified Natural Resources, Precious Metals and Minerals							209,000		214,112		204,335
Diversified/Conglomerate Manufacturing — 2.3%*:
Boise Cascade Co.^		5.63			9/1/2024		157,000		157,000		155,823
EnPro Industries, Inc.		5.88			9/15/2022		221,000		222,893		227,078
West Corp.^		5.38			7/15/2022		250,000		240,914		241,562
Total Diversified/Conglomerate Manufacturing							628,000		620,807		624,463
Diversified/Conglomerate Service — 3.2%*:
Carlson Travel, Inc.^		9.50			12/15/2024		280,000		280,000		292,950
Infor Software Parent LLC/Infor Software Parent, Inc. PIK^		7.13			5/1/2021		304,000		270,109		313,120
Zachry Holdings, Inc.^		7.50			2/1/2020		250,000		252,363		256,563
Total Diversified/Conglomerate Service							834,000		802,472		862,633
Electronics — 2.3%*:
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		7.13			6/15/2024		154,000		154,000		170,967
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		250,000		250,000		272,188
Western Digital Corp.^		10.50			4/1/2024		150,000		150,000		177,375
Total Electronics							554,000		554,000		620,530
Finance — 3.7%*:
Aircastle Ltd.		5.00			4/1/2023		19,000		20,013		19,380
Aircastle Ltd.		5.50			2/15/2022		19,000		20,444		20,140

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Finance (Continued)
Arrow Global Finance PLC+		5.13	%		9/15/2024		100,000	$	118,600	$	122,870
Galaxy Finco Ltd.+		7.88			11/15/2021		250,000		381,558		309,560
Garfunkelux Holdco 3 SA+		8.50			11/1/2022		300,000		460,048		384,509
Marlin Intermediate Holdings PLC MTN+		10.50			8/1/2020		100,000		141,446		134,024
Total Finance							788,000		1,142,109		990,483
Grocery — 0.5%*:
Premier Foods Finance PLC+		6.50			3/15/2021		100,000		146,338		126,506
Healthcare, Education and Childcare — 6.1%*:
Cerberus Nightingale 1 Sarl+		8.25			2/1/2020		100,000		110,265		107,949
HCA, Inc.		5.38			2/1/2025		375,000		380,908		375,938
Horizon Pharma, Inc./Horizon Pharma USA, Inc.^		8.75			11/1/2024		125,000		125,000		126,563
IDH Finance PLC+		6.25			8/15/2022		100,000		131,025		119,543
Kinetic Concepts, Inc./KCI USA, Inc.^		9.63			10/1/2021		375,000		375,000		396,562
RegionalCare Hospital Partners Holdings, Inc.^		8.25			5/1/2023		132,000		132,000		131,670
Valeant Pharmaceuticals International, Inc.^		5.50			3/1/2023		101,000		73,450		75,750
Valeant Pharmaceuticals International, Inc.^		6.13			4/15/2025		424,000		367,782		318,530
Total Healthcare, Education and Childcare							1,732,000		1,695,430		1,652,505
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.6%*:
LSF9 Balta Issuer SA+		7.75			9/15/2022		150,000		171,213		173,687
Hotels, Motels, Inns and Gaming — 2.9%*:
NH Hotels SA+		3.75			10/1/2023		100,000		112,290		108,528
Pinnacle Entertainment, Inc.^		5.63			5/1/2024		250,000		251,220		250,625
Thomas Cook Group PLC+		6.25			6/15/2022		150,000		159,952		166,250
TVL Finance PLC+		8.50			5/15/2023		200,000		285,595		261,269
Total Hotels, Motels, Inns and Gaming							700,000		809,057		786,672
Insurance — 1.4%*:
Centene Corp.		4.75			1/15/2025		174,000		174,000		169,868
York Risk Services Holding Corp.^		8.50			10/1/2022		250,000		226,642		208,750
Total Insurance							424,000		400,642		378,618
Leisure, Amusement, Entertainment — 7.5%*:
AMC Entertainment Holdings, Inc.^		5.88			11/15/2026		250,000		250,000		255,625
AMC Entertainment Holdings, Inc.		6.38			11/15/2024		100,000		121,910		130,326
Brunswick Corp.		7.13			8/1/2027		817,000		867,523		953,848
CPUK Finance Ltd.+		7.00			8/28/2020		100,000		155,834		130,160
Perform Group Financing PLC+		8.50			11/15/2020		100,000		149,645		126,013
WMG Acquisition Corp.		4.13			11/1/2024		100,000		110,505		108,949
WMG Acquisition Corp.^		5.00			8/1/2023		160,000		160,000		160,800
WMG Acquisition Corp.^		6.75			4/15/2022		150,000		151,043		157,875
Total Leisure, Amusement, Entertainment							1,777,000		1,966,460		2,023,596

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.5%*:
Gardner Denver, Inc.^		6.88	%		8/15/2021		124,000	$	119,263	$	123,380
Mining, Steel, Iron and Non-Precious Metals — 4.8%*:
Constellium NV+		7.00			1/15/2023		130,000		126,480		137,529
Freeport-McMoRan, Inc.		3.55			3/1/2022		213,000		174,903		198,090
Freeport-McMoRan, Inc.		4.00			11/14/2021		107,000		84,863		104,325
Grinding Media, Inc./MC Grinding Media Canada, Inc.^		7.38			12/15/2023		94,000		94,000		98,756
Hecla Mining Co.		6.88			5/1/2021		250,000		218,238		255,625
HudBay Minerals, Inc.+^		7.25			1/15/2023		56,000		56,000		57,960
HudBay Minerals, Inc.+^		7.63			1/15/2025		65,000		65,000		67,560
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.		7.38			2/1/2020		60,000		59,560		59,700
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.2^		7.38			2/1/2020		324,000		276,662		322,582
Total Mining, Steel, Iron and Non-Precious Metals							1,299,000		1,155,706		1,302,127
Oil and Gas — 15.6%*:
Chesapeake Energy Corp.^		8.00			1/15/2025		200,000		197,053		204,000
Citgo Holding, Inc.^		10.75			2/15/2020		341,000		344,974		365,722
Continental Resources, Inc.		5.00			9/15/2022		250,000		219,936		252,348
EP Energy LLC/Everest Acquisition Finance, Inc.^		8.00			11/29/2024		125,000		125,000		134,338
EP Energy LLC/Everest Acquisition Finance, Inc.		9.38			5/1/2020		183,000		168,508		168,702
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.		8.63			6/15/2020		250,000		251,434		246,250
Genesis Energy LP/Genesis Energy Finance Corp.		6.75			8/1/2022		250,000		245,124		259,750
Globe Luxembourg S.C.A.+^		9.63			5/1/2018		200,000		184,150		197,500
Hornbeck Offshore Services, Inc.		5.88			4/1/2020		250,000		165,918		178,750
Jupiter Resources, Inc.+^		8.50			10/1/2022		405,000		322,627		349,312
Kosmos Energy Ltd.^		7.88			8/1/2021		250,000		226,999		248,750
Newfield Exploration Co.		5.38			1/1/2026		250,000		242,008		254,900
Rowan Cos., Inc.		7.38			6/15/2025		188,000		188,000		191,760
Sabine Pass Liquefaction LLC^		5.88			6/30/2026		250,000		250,000		269,375
Summit Midstream Holdings LLC/Summit Midstream Finance Corp.		5.50			8/15/2022		291,000		213,516		283,725
Topaz Marine SA+^		8.63			11/1/2018		400,000		390,587		388,000
Tullow Oil PLC+^		6.25			4/15/2022		250,000		199,964		232,500
Total Oil and Gas							4,333,000		3,935,798		4,225,682
Personal Transportation — 0.9%*:
AA Bond Co. Ltd.+		5.50			7/31/2022		200,000		276,607		251,594

See accompanying Notes to the Financial Statements.

146

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Retail Stores — 4.1%*:
Boing Group Financing PLC MTN+		6.63	%		7/15/2019		100,000	$	103,186	$	104,370
Debenhams PLC+		5.25			7/15/2021		150,000		232,603		193,456
Dollar Tree, Inc.		5.75			3/1/2023		250,000		260,285		264,705
HSS Financing PLC+		6.75			8/1/2019		68,000		98,004		84,935
Penske Automotive Group, Inc.		5.50			5/15/2026		250,000		250,000		246,875
Takko Luxembourg 2 S.C.A. MTN+		9.88			4/15/2019		100,000		74,989		84,844
Travelex Financing PLC+		6.40	#		8/1/2018		100,000		121,688		119,789
Total Retail Stores							1,018,000		1,140,755		1,098,974
Telecommunications — 10.8%*:
Altice Financing SA+^		6.63			2/15/2023		250,000		251,521		256,875
Altice Luxembourg SA+		6.25			2/15/2025		100,000		113,715		109,948
Digicel Ltd.+^		6.00			4/15/2021		250,000		230,007		226,118
GTT Escrow Corp.^		7.88			12/31/2024		250,000		250,000		260,675
Hughes Satellite Systems Corp.^		6.63			8/1/2026		270,000		269,845		271,350
Numericable-SFR SA+^		7.38			5/1/2026		350,000		350,000		358,750
Sprint Corp.		7.00			8/15/2020		75,000		74,143		79,508
Sprint Corp.		7.88			9/15/2023		389,000		366,569		415,257
Telenet Finance VI Luxembourg S.C.A.+		4.88			7/15/2027		100,000		115,250		109,739
UPCB Finance IV Ltd.+		4.00			1/15/2027		200,000		216,548		210,004
Virgin Media Secured Finance PLC MTN+		5.13			1/15/2025		150,000		227,441		188,982
Wind Acquisition Finance SA+^		7.38			4/23/2021		200,000		205,286		208,000
Ziggo Bond Finance BV+		4.63			1/15/2025		200,000		206,457		215,004
Total Telecommunications							2,784,000		2,876,782		2,910,210
Textiles and Leather — 1.5%*:
Hanesbrands, Inc.^		4.63			5/15/2024		167,000		167,000		161,990
Hanesbrands, Inc.^		4.88			5/15/2026		246,000		246,000		240,465
Total Textiles and Leather							413,000		413,000		402,455
Total Corporate Bonds							25,150,000		25,805,158		26,181,756
Total Fixed Income							25,150,000		25,805,158		26,181,756
Short-Term Investment — 1.0%*:
Bank Deposit — 1.0%*:
State Street Bank & Trust Co. Euro Time Deposit		0.01			1/3/2017		280,202		280,202		280,202
Total Investments							25,430,202		26,085,360		26,461,958
Other assets and liabilities – 2.0%*											536,567
Net Assets – 100.0%											$26,998,525

MTN Medium Term Note

PIK Payment-in-kind

See accompanying Notes to the Financial Statements.

147

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	66.1%
United Kingdom	13.7%
France	5.0%
Canada	2.3%
United Arab Emirates	1.5%
Switzerland	1.5%
Trinidad And Tobago	1.4%
Germany	1.1%
Belgium	1.1%
Portugal	1.0%
Other (Individually less than 1%)	5.3%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

# Variable rate security. The interest rate shown is the rate in effect at December 31, 2016.

A summary of outstanding derivatives at December 31, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED DEPRECIATION
1/9/17	JPMorgan Chase Bank N.A.		EUR	169,887		178,898		180,836	$	(1,938	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
1/9/17	Bank of America N.A.		EUR	2,974,410		3,132,182		3,157,190	$	25,008
1/9/17	JPMorgan Chase Bank N.A.		EUR	150,000		157,957		160,816		2,859
1/9/17	Goldman Sachs & Co.		EUR	62,428		65,739		65,323		(416	)
1/9/17	Citibank N.A.		GBP	2,511,695		3,096,004		3,171,995		75,991
1/9/17	JPMorgan Chase Bank N.A.		GBP	154,103		189,953		195,555		5,602
Net unrealized appreciation on forward foreign exchange contracts to sell									$	109,044

Currency Legend

EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

148

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SCHEDULE OF INVESTMENTS

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 94.9%*:
Bank Loans — 1.7%*§:
Oil and Gas — 1.7%*:
Fieldwood Energy LLC PIK		8.00	%		8/31/2020		172,215		$154,695		$162,743
Fieldwood Energy LLC PIK		8.38			9/30/2020		500,000		225,706		388,190
Total Oil and Gas							672,215		380,401		550,933
Total Bank Loans							672,215		380,401		550,933
Corporate Bonds — 93.2%*:
Aerospace and Defense — 3.3%*:
American Airlines Group, Inc.^		4.63			3/1/2020		250,000		249,060		253,125
American Airlines Group, Inc.^		5.50			10/1/2019		282,000		288,307		291,165
CPI International, Inc.		8.75			2/15/2018		500,000		501,932		507,500
Total Aerospace and Defense							1,032,000		1,039,299		1,051,790
Automobile — 3.0%*:
Allison Transmission, Inc.^		5.00			10/1/2024		176,000		176,000		177,760
Gates Global LLC/Gates Global Co.^		6.00			7/15/2022		125,000		98,625		122,250
International Automotive Components Group SA^		9.13			6/1/2018		250,000		251,441		243,750
JB Poindexter & Co., Inc.^		9.00			4/1/2022		410,000		429,922		430,500
Total Automobile							961,000		955,988		974,260
Beverage, Food and Tobacco — 2.4%*:
Carrols Restaurant Group, Inc.		8.00			5/1/2022		260,000		273,544		280,150
KeHE Distributors LLC/KeHE Finance Corp.^		7.63			8/15/2021		203,000		200,351		201,985
Manitowoc Foodservice, Inc.		9.50			2/15/2024		250,000		250,000		288,125
Total Beverage, Food and Tobacco							713,000		723,895		770,260
Broadcasting and Entertainment — 4.5%*:
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.75			2/15/2026		500,000		500,000		517,500
DISH DBS Corp.		7.75			7/1/2026		316,000		316,000		356,290
Netflix, Inc.^		4.38			11/15/2026		300,000		300,000		291,000
RCN Telecom Services LLC/RCN Capital Corp.^		8.50			8/15/2020		250,000		256,457		265,000
Total Broadcasting and Entertainment							1,366,000		1,372,457		1,429,790
Buildings and Real Estate — 5.0%*:
Beazer Homes USA, Inc.^		8.75			3/15/2022		194,000		194,000		209,520
BMC East LLC^		5.50			10/1/2024		100,000		100,000		99,750
Brookfield Residential Properties, Inc.^+		6.50			12/15/2020		250,000		249,498		255,625
GEO Group, Inc. (The)		6.00			4/15/2026		250,000		250,000		245,625
M/I Homes, Inc.		6.75			1/15/2021		250,000		250,000		260,625
MPT Operating Partnership LP/MPT Finance Corp.		6.38			3/1/2024		495,000		495,000		517,894
Total Buildings and Real Estate							1,539,000		1,538,498		1,589,039

See accompanying Notes to the Financial Statements.

149

Barings U.S. High Yield Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Cargo Transport — 2.9%*:
Deck Chassis Acquisition, Inc.^		10.00	%		6/15/2023		454,000	$	464,714	$	468,755
Kenan Advantage Group, Inc.^		7.88			7/31/2023		450,000		464,939		454,500
Total Cargo Transport							904,000		929,653		923,255
Chemicals, Plastics and Rubber — 3.4%*:
A. Schulman, Inc.^		6.88			6/1/2023		250,000		253,045		261,250
Consolidated Energy Finance SA+^		6.75			10/15/2019		370,000		364,870		370,000
LBC Tank Terminals Holding Netherlands BV^		6.88			5/15/2023		250,000		241,338		255,625
LSB Industries, Inc.		8.50			8/1/2019		232,000		204,240		213,440
Total Chemicals, Plastics and Rubber							1,102,000		1,063,493		1,100,315
Containers, Packaging and Glass — 2.0%*:
Coveris Holdings SA^		7.88			11/1/2019		500,000		467,679		496,250
Plastipak Holdings, Inc.^		6.50			10/1/2021		125,000		125,555		130,625
Total Containers, Packaging and Glass							625,000		593,234		626,875
Diversified Natural Resources, Precious Metals and Minerals — 0.8%*:
Kinross Gold Corp.+		5.95			3/15/2024		152,000		158,639		153,900
Kinross Gold Corp.		6.88			9/1/2041		99,000		98,506		91,451
Total Diversified Natural Resources, Precious Metals and Minerals							251,000		257,145		245,351
Diversified/Conglomerate Manufacturing — 3.3%*:
Amsted Industries, Inc.^		5.38			9/15/2024		200,000		193,257		196,500
Boise Cascade Co.^		5.63			9/1/2024		157,000		157,000		155,823
EnPro Industries, Inc.		5.88			9/15/2022		220,000		221,885		226,050
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary		7.88			6/1/2021		250,000		257,835		227,500
West Corp.^		5.38			7/15/2022		250,000		240,914		241,562
Total Diversified/Conglomerate Manufacturing							1,077,000		1,070,891		1,047,435
Diversified/Conglomerate Service — 3.4%*:
Carlson Travel, Inc.^		9.50			12/15/2024		350,000		350,000		366,187
Infor Software Parent LLC/Infor Software Parent, Inc. PIK^		7.13			5/1/2021		319,000		283,386		328,570
Ritchie Bros Auctioneers, Inc.^		5.38			1/15/2025		139,000		139,000		141,780
Zachry Holdings, Inc.^		7.50			2/1/2020		250,000		252,363		256,563
Total Diversified/Conglomerate Service							1,058,000		1,024,749		1,093,100
Electronics — 4.0%*:
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		7.13			6/15/2024		154,000		154,000		170,967
NXP BV/NXP Funding LLC^		4.13			6/1/2021		250,000		254,312		258,125
NXP BV/NXP Funding LLC^		4.63			6/1/2023		270,000		270,000		283,500
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		250,000		250,000		272,188

See accompanying Notes to the Financial Statements.

150

Barings U.S. High Yield Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Electronics (Continued)
Western Digital Corp.^		10.50	%		4/1/2024		250,000	$	250,000	$	295,625
Total Electronics							1,174,000		1,178,312		1,280,405
Finance — 1.7%*:
Aircastle Ltd.		5.00			4/1/2023		271,000		272,119		276,420
Aircastle Ltd.		5.50			2/15/2022		21,000		22,597		22,260
MSCI, Inc.^		4.75			8/1/2026		250,000		250,000		248,750
Total Finance							542,000		544,716		547,430
Healthcare, Education and Childcare — 9.5%*:
Alere, Inc.^		6.38			7/1/2023		325,000		335,256		322,969
AMN Healthcare, Inc.^		5.13			10/1/2024		231,000		231,000		230,423
Capsugel SA PIK^		7.00			5/15/2019		350,000		351,938		353,062
HCA, Inc.		5.25			6/15/2026		225,000		225,000		232,594
HCA, Inc.		5.38			2/1/2025		375,000		380,908		375,937
Horizon Pharma, Inc./Horizon Pharma USA, Inc.^		8.75			11/1/2024		125,000		125,000		126,563
inVentiv Group Holdings Inc/inVentiv Health Inc/inVentiv Health Clinical, Inc.^		7.50			10/1/2024		156,000		156,000		163,394
Kinetic Concepts, Inc./KCI USA, Inc.^		9.63			10/1/2021		375,000		375,000		396,562
RegionalCare Hospital Partners Holdings, Inc.^		8.25			5/1/2023		132,000		132,000		131,670
Tenet Healthcare Corp.		6.75			6/15/2023		250,000		250,549		220,625
Valeant Pharmaceuticals International, Inc.^		5.50			3/1/2023		118,000		85,813		88,500
Valeant Pharmaceuticals International, Inc.^		6.13			4/15/2025		516,000		447,211		387,645
Total Healthcare, Education and Childcare							3,178,000		3,095,675		3,029,944
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.7%*:
Louisiana-Pacific Corp.		4.88			9/15/2024		250,000		250,000		242,500
Hotels, Motels, Inns and Gaming — 1.2%*:
Hilton Domestic Operating Co., Inc.^		4.25			9/1/2024		127,000		127,000		123,190
Pinnacle Entertainment, Inc.^		5.63			5/1/2024		250,000		251,220		250,625
Total Hotels, Motels, Inns and Gaming							377,000		378,220		373,815
Insurance — 1.2%*:
Centene Corp.		4.75			1/15/2025		174,000		174,000		169,868
York Risk Services Holding Corp.^		8.50			10/1/2022		250,000		226,642		208,750
Total Insurance							424,000		400,642		378,618
Leisure, Amusement, Entertainment — 5.2%*:
AMC Entertainment Holdings, Inc.^		5.88			11/15/2026		250,000		250,000		255,625
Brunswick Corp.		7.13			8/1/2027		567,000		603,395		661,972
Lions Gate Entertainment Corp.^		5.88			11/1/2024		175,000		175,000		177,625
NCL Corp. Ltd.^		4.75			12/15/2021		250,000		250,000		249,845
WMG Acquisition Corp.^		5.00			8/1/2023		160,000		160,000		160,800

See accompanying Notes to the Financial Statements.

151

Barings U.S. High Yield Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Leisure, Amusement, Entertainment (Continued)
WMG Acquisition Corp.^		6.75	%		4/15/2022		150,000	$	151,042	$	157,875
Total Leisure, Amusement, Entertainment							1,552,000		1,589,437		1,663,742
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.5%*:
Gardner Denver, Inc.^		6.88			8/15/2021		149,000		143,305		148,255
Mining, Steel, Iron and Non-Precious Metals — 5.3%*:
Constellium NV+^		7.88			4/1/2021		300,000		300,000		322,500
Freeport-McMoRan, Inc.		3.55			3/1/2022		253,000		208,439		235,290
Freeport-McMoRan, Inc.		4.00			11/14/2021		107,000		84,863		104,325
Grinding Media, Inc./MC Grinding Media Canada, Inc.^		7.38			12/15/2023		94,000		94,000		98,756
Hecla Mining Co.		6.88			5/1/2021		250,000		218,238		255,625
HudBay Minerals, Inc.^+		7.25			1/15/2023		56,000		56,000		57,960
HudBay Minerals, Inc.^+		7.63			1/15/2025		65,000		65,000		67,560
Novelis Corp.^		5.88			9/30/2026		159,000		159,000		160,590
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.		7.38			2/1/2020		70,000		69,486		69,650
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.2^		7.38			2/1/2020		325,000		277,516		323,578
Total Mining, Steel, Iron and Non-Precious Metals							1,679,000		1,532,542		1,695,834
Oil and Gas — 15.6%*:
Chesapeake Energy Corp.^		8.00			1/15/2025		300,000		295,579		306,000
Citgo Holding, Inc.^		10.75			2/15/2020		341,000		344,974		365,722
Continental Resources, Inc.		5.00			9/15/2022		250,000		219,936		252,348
Energy Transfer Equity LP		5.88			1/15/2024		80,000		74,751		82,600
EP Energy LLC/Everest Acquisition Finance, Inc.^		8.00			11/29/2024		150,000		150,000		161,205
EP Energy LLC/Everest Acquisition Finance, Inc.		9.38			5/1/2020		207,000		190,608		190,827
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.		8.63			6/15/2020		250,000		251,434		246,250
Genesis Energy LP/Genesis Energy Finance Corp.		6.75			8/1/2022		250,000		245,124		259,750
Hornbeck Offshore Services, Inc.		5.88			4/1/2020		250,000		165,918		178,750
Jupiter Resources, Inc.+^		8.50			10/1/2022		479,000		384,150		413,137
Kosmos Energy Ltd.^		7.88			8/1/2021		466,000		444,612		463,670
Newfield Exploration Co.		5.38			1/1/2026		250,000		242,008		254,900
Rowan Cos., Inc.		7.38			6/15/2025		188,000		188,000		191,760
Sabine Pass Liquefaction LLC^		5.88			6/30/2026		250,000		250,000		269,375
SM Energy Co.		6.50			1/1/2023		250,000		188,439		254,063
Sunoco LP/Sunoco Finance Corp.		6.25			4/15/2021		250,000		250,000		254,688
Topaz Marine SA^+		8.63			11/1/2018		400,000		390,587		388,000
Tullow Oil PLC+^		6.25			4/15/2022		250,000		199,964		232,500

See accompanying Notes to the Financial Statements.

152

Barings U.S. High Yield Fund 2016 Semi-Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas (Continued)
Welltec A/S+^		8.00	%		2/1/2019		200,000	$	191,925	$	201,000
Total Oil and Gas							5,061,000		4,668,009		4,966,545
Personal Transportation — 0.8%*:
Watco Cos. LLC/Watco Finance Corp.^		6.38			4/1/2023		250,000		250,547		258,750
Printing and Publishing — 0.8%*:
MHGE Parent LLC/MHGE Parent Finance, Inc.^		8.50			8/1/2019		250,000		251,818		251,250
Retail Stores — 1.6%*:
Dollar Tree, Inc.		5.75			3/1/2023		250,000		260,285		264,705
Penske Automotive Group, Inc.		5.50			5/15/2026		250,000		250,000		246,875
Total Retail Stores							500,000		510,285		511,580
Telecommunications — 8.2%*:
Altice Financing SA+^		6.63			2/15/2023		250,000		251,521		256,875
Altice Financing SA+^		7.50			5/15/2026		250,000		250,000		260,000
Digicel Ltd.+^		6.00			4/15/2021		250,000		229,873		226,118
GTT Escrow Corp.^		7.88			12/31/2024		285,000		285,000		297,169
Hughes Satellite Systems Corp.^		6.63			8/1/2026		355,000		354,741		356,775
Numericable-SFR SA+^		6.00			5/15/2022		250,000		251,486		256,563
Numericable-SFR SA+^		7.38			5/1/2026		350,000		350,000		358,750
RP Crown Parent LLC^		7.38			10/15/2024		96,000		96,000		99,600
Sprint Corp.		7.00			8/15/2020		75,000		74,143		79,508
Sprint Corp.		7.88			9/15/2023		416,000		392,924		444,080
Total Telecommunications							2,577,000		2,535,688		2,635,438
Textiles and Leather — 1.3%*:
Hanesbrands, Inc.^		4.63			5/15/2024		167,000		167,000		161,990
Hanesbrands, Inc.^		4.88			5/15/2026		246,000		246,000		240,465
Total Textiles and Leather							413,000		413,000		402,455
Utilities — 1.6%*:
NRG Energy, Inc.^		7.25			5/15/2026		250,000		250,000		248,750
Teine Energy Ltd.+^		6.88			9/30/2022		250,000		230,013		255,312
Total Utilities							500,000		480,013		504,062
Total Corporate Bonds							29,504,000		28,791,511		29,742,093
Total Fixed Income							30,176,215		29,171,912		30,293,026

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

December 31, 2016 (Unaudited)

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Short-Term Investment — 3.9%*:
Bank Deposit — 3.9%*:
State Street Bank & Trust Co. Euro Time Deposit		0.01	%		1/3/2017		1,242,922		$1,242,922		$1,242,922
Total Investments							31,419,137		30,414,834		31,535,948
Other assets and liabilities — 1.2%*											368,726
Net Assets — 100.0%											$31,904,674

PIK Payment-in-kind

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	87.4%
Canada	3.1%
France	3.1%
Portugal	1.7%
United Arab Emirates	1.3%
Trinidad And Tobago	1.2%
Other (Individually less than 1%)	2.2%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

§ Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at December 31, 2016. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.

See accompanying Notes to the Financial Statements.

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NOTES TO FINANCIAL STATEMENTS

December 31, 2016 (Unaudited)

1. Organization

Barings Funds Trust (formerly known as Babson Capital Funds Trust) (the “Trust”) was organized as a business trust under the laws of the Commonwealth of Massachusetts on May 3, 2013 and commenced operations on September 16, 2013. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of December 31, 2016, the Trust consists of eight funds (separately, a “Fund” and collectively, the “Funds”): Barings Global Floating Rate Fund (formerly known as Babson Global Floating Rate Fund) (“Global Floating Rate Fund”), Barings Global Credit Income Opportunities Fund (formerly known as Babson Global Credit Income Opportunities Fund) (“Global Credit Income Opportunities Fund”), Barings Active Short Duration Bond Fund (formerly known as Babson Active Short Duration Bond Fund) (“Active Short Duration Bond Fund”), Barings Total Return Bond Fund (formerly known as Babson Total Return Bond Fund) (“Total Return Bond Fund”), Barings Emerging Markets Debt Blended Total Return Fund (formerly known as Babson Emerging Markets Debt Blended Total Return Fund) (“Emerging Markets Debt Blended Total Return Fund”), Barings Emerging Markets Local Currency Debt Fund (formerly known as Babson Emerging Markets Local Currency Debt Fund) (“Emerging Markets Local Currency Debt Fund”), Barings Global High Yield Fund (formerly known as Babson Global High Yield Fund) (“Global High Yield Fund”) and Barings U.S. High Yield Fund (formerly known as Babson U.S. High Yield Fund) (“U.S. High Yield Fund”). Each Fund, other than Active Short Duration Bond Fund and Total Return Bond Fund, is a “non-diversified” investment company. Active Short Duration Bond Fund and Total Return Bond Fund commenced operations on July 8, 2015. Emerging Markets Debt Blended Total Return Fund commenced operations on October 21, 2015. Emerging Markets Local Currency Debt Fund commenced operations on December 8, 2015. Global High Yield Fund and U.S. High Yield Fund commenced operations on October 30, 2015.

Barings LLC (the “Adviser”), a wholly-owned indirect subsidiary of Massachusetts Mutual Life Insurance Company, is a registered investment adviser under the 1940 Act, as amended, and serves as investment adviser to the Funds.

Barings Global Advisers Limited (“BGA”), an indirect wholly-owned subsidiary of the Adviser, serves as a sub-adviser with respect to the Global Floating Rate Fund, Global Credit Income Opportunities Fund, Emerging

Markets Debt Blended Total Return Fund and Global High Yield Fund European investments.

During the relavant period, Barings Real Estate Advisers LLC (formerly known as Cornerstone Real Estate Advisers LLC) (“BREA”), a direct wholly-owned subsidiary of the Adviser, served as sub-adviser to the Active Short Duration Bond Fund and Total Return Bond Fund investment in commercial mortgage-backed securities. Effective following the close of markets on December 30, 2016, BREA merged into the Adviser.

The primary investment objective of the Global Floating Rate Fund is to seek a high level of current income. The Fund seeks preservation of capital as a secondary investment objective. The investment objective of the Global Credit Income Opportunities Fund is to seek an absolute return, primarily through current income and secondarily through capital appreciation. The investment objective of the Active Short Duration Bond Fund is to seek to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities. The investment objective of the Total Return Bond Fund is to seek a superior total rate of return by investing in fixed income instruments. The investment objective of the Emerging Markets Debt Blended Total Return Fund is to seek to achieve maximum total return, consistent with preservation of capital and prudent investment management, through high current income generation and, where appropriate, capital appreciation. The investment objective of the Emerging Markets Local Currency Debt Fund is to seek long-term total return through investment in a diversified portfolio of emerging markets local currency denominated debt securities. The investment objective of the Global High Yield Fund is to seek to provide high current income generation and, where appropriate, capital appreciation. The investment objective of the U.S. High Yield Fund is to seek to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities.

There can be no assurance that the Funds will achieve their investment objectives. Under normal market conditions, the Global Floating Rate Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in income producing floating rate debt securities, consisting of floating rate loans, bonds and notes, issued primarily by North American and Western European companies that are, at the time of purchase, rated below-investment grade

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December 31, 2016 (Unaudited)

(below Baa3 by Moody’s Investors Service, Inc. (“Moody’s”) or below BBB- by either Standard & Poor’s Rating Services, a division of the McGraw-Hill Company, Inc. (“S&P”) or Fitch, Inc. (“Fitch”)) or unrated but judged by the Adviser or BGA to be of comparable quality. Under normal market conditions, the Global Credit Income Opportunities Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in debt instruments, consisting of loans, bonds and notes, based in U.S. and non-U.S. markets, as well as over-the-counter and exchange traded derivatives. Investments may be issued or guaranteed by governments and their agencies, corporations, financial institutions and supranational organizations that the Global Floating Rate Fund and Global Credit Income Opportunities Fund believe have the potential to provide a high total return over time. A significant portion of the Global Floating Rate Fund and Global Credit Income Opportunities Fund’s investments in debt instruments will be denominated in a currency other than the U.S. dollar. Although the investments in non-U.S. dollar denominated assets may be on a currency hedged or unhedged basis, the Global Floating Rate Fund and Global Credit Income Opportunities Fund expect that, under current market conditions, they will seek to hedge substantially all of their exposure to foreign currencies. Under normal market conditions, the Active Short Duration Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa or higher by Moody’s or BBB or higher by S&P or, if unrated, determined to be of comparable quality by the Adviser). These typically include U.S. dollar-denominated corporate obligations, securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, U.S. and foreign issuer dollar-denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale pursuant to Rule 144A, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Total Return Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in fixed income securities. These typically include: U.S. dollar denominated corporate obligations and bank loans, securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, U.S. and foreign issuer dollar denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale

pursuant to Rule 144A, convertible bonds, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Emerging Markets Debt Blended Total Return Fund will invest at least 80% of its net assets (including the amount of any borrowings for investment purposes) in (i) securities denominated in currencies of the emerging market countries, (ii) fixed income securities or debt instruments issued by emerging market entities or sovereign nations, and/or (iii) debt instruments denominated in or based on the currencies, interest rates, or issues of emerging market countries. Emerging market countries are defined to include any country that did not become a member of the Organization for Economic Cooperation and Development (O.E.C.D.) prior to 1975 and Turkey. Certain emerging market countries are referred to as “frontier” market countries. The Fund will likely focus its investments in Asia, Africa, the Middle East, Latin America and the developing countries of Europe. Under normal market conditions, the Emerging Markets Local Currency Debt Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in local currency-denominated debt instruments issued by emerging markets governments, and their quasi sovereign agencies (including supranational and sub-national government issuers). The Adviser will select the Fund’s country and currency composition based on its evaluation of relative interest rates, inflation rates, exchange rates, monetary and fiscal policies, trade and current account balances, legal and political developments, and any other specific factors the Adviser believes to be relevant. The Fund will likely focus its investments in Asia, Africa, the Middle East, Latin America and the developing countries of Europe. Under normal conditions, the Global High Yield Fund will invest at least 80% of its net assets (including the amount of any borrowing for investment purposes) in below investment grade (“high yield”) fixed and floating rate corporate debt securities including bonds, notes and other fixed and floating rate income securities issued primarily by North American and Western European companies. For this purpose, debt instruments issued by issuers based in the Channel Islands, Cayman Islands and Bermuda will be considered North American and Western European companies. Such debt securities may be secured or unsecured, and, either senior or subordinated. Secured debt means that collateral has been pledged as security against default, while investors in senior debt instruments are legally entitled to be repaid ahead of investors in subordinated (i.e. non-senior) instruments issued by the same corporation. Derivative instruments that provide

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December 31, 2016 (Unaudited)

exposure to such high yield debt securities or have similar economic characteristics may be used to satisfy the Fund’s 80% policy. The Adviser expects that such instruments will primarily, at the time of purchase, be rated below investment grade (commonly referred to as “junk bonds”) by at least one credit rating agency (below Baa3 by Moody’s or below BBB- by either S&P, or Fitch) or unrated but judged by the Adviser or BGA, to be of comparable quality. The Fund may invest in high yield securities of any rating, including securities that are in default at the time of purchase. Under normal circumstances, the U.S. High Yield Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s or BBB by S&P (using the lower rating) or, if unrated, determined by the Adviser to be of comparable quality), and at least 80% of its net assets (including the amount of any borrowings for investment purposes) in securities of U.S. issuers. The Fund may also invest in convertible securities, preferred stocks, warrants, bank loans, and other fixed income securities, including Rule 144A securities, of both U.S. and foreign issuers. Currently, the Adviser does not expect that the Fund will invest more than 20% of its total assets in bank loans. The Fund may invest up to 15% of its total assets in securities that are not denominated in U.S. dollars including, but not limited to, corporate bonds, government and agency issues, Rule 144A securities, convertible securities, bank loans, mortgage-backed, and asset-backed securities.

Each Fund, with the exception of Active Short Duration Bond Fund which has no sales charge on any class, has four classes of shares: Class A, C, I, and Y, each with different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, I, and Y shares. There may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without an initial sales charge and redeemed within the first year of purchase (subject to certain exceptions as set forth in each Fund’s prospectus) and Class C shares redeemed within the first year of purchase. All classes of shares have equal voting rights, with the exception of matters that relate solely to one class.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by the Funds in the preparation of their financial statements in conformity

with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

A. Valuation of Investments

The Funds’ investments in fixed income securities are generally valued using the prices provided directly by independent third party services or provided directly from one or more broker dealers or market makers, each in accordance with the valuation policies and procedures approved by the Funds’ Board of Trustees (the “Board”).

The pricing services may use valuation models or matrix pricing, which consider yield or prices with respect to comparable bond quotations from bond dealers or by reference to other securities that are considered comparable in such characteristics as credit rating, interest rates and maturity date to determine the current value. The Funds’ investments in bank loans are normally valued at the bid quotation obtained from dealers in loans by an independent pricing service in accordance with the Funds’ valuation policies and procedures approved by the Board. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value. Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.

The assets and liabilities shown in the Statements of Assets and Liabilities related to investments purchased for “to-be-announced” (“TBA”) or when-issued securities approximate fair value and are determined using Level 2 inputs, as of December 31, 2016. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts are determined using Level 1 inputs as of December 31, 2016.

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December 31, 2016 (Unaudited)

A Valuation Committee, made up of officers of the Trust and employees of the Adviser, is responsible for determining, in accordance with the Funds’ valuation policies and procedures approved by the Board; (1) whether market quotations are readily available for investments held by the Fund; and (2) the fair value of investments held by the Fund for which market quotations are not readily available or are deemed not reliable by the Adviser. In certain cases, authorized pricing service vendors may not provide prices for a security held by the Funds, or the price provided by such pricing service vendor is deemed unreliable by the Adviser. In such cases, the Funds may use market maker quotations provided by an established market maker for that security (i.e., broker quotes) to value the security if the Adviser has experience obtaining quotations from the market maker and the Adviser determines that quotations obtained from the market maker in the past have generally been reliable (or, if the Adviser has no such experience with respect to a market maker, it determines based on other information available to it that quotations to be obtained by it from the market maker are reasonably likely to be reliable). In any such case, the Adviser will review any market quotations so obtained in light of other information in its possession for their general reliability.

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Bank loan positions are valued at the bid price from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche.

Bank loans in which the Funds may invest have similar risks to lower-rated fixed income securities. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults.

Senior secured bank loans are supported by collateral; however, the value of the collateral may be insufficient to cover the amount owed to the Funds. By relying on a third party to administer a loan, the Funds are subject to the risk that the third party will fail to perform its obligations. The loans in which the Funds will invest are largely floating rate instruments; therefore, the interest rate risk generally is lower than for fixed-rate debt obligations. However, from the perspective of the borrower, an increase in interest rates may adversely affect the borrower’s financial condition. Due to the unique and customized nature of loan agreements evidencing loans and the private syndication thereof, loans are not as easily purchased or sold as publicly traded securities. Although the range of investors in loans has broadened in recent years, there can be no assurance that future levels of supply and demand in loan trading will provide the degree of liquidity which currently exists in the market. In addition, the terms of the loans may restrict their transferability without borrower consent. These factors may have an adverse effect on the market price and the Funds’ ability to dispose of particular portfolio investments. A less liquid secondary market also may make it more difficult for the Funds to obtain precise valuations of the high yield loans in its portfolio.

The Funds may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. For example, market participants would consider the risk inherent in a particular valuation technique used to measure fair value, such as a pricing model, and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The following is a summary of the inputs used as of December 31, 2016 in valuing the Funds’ investments:

Global Floating Rate Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3			TOTAL INVESTMENTS
Assets:*
Equities:
Common Stocks	$	–	$	7,810		$	144,456	**	$	152,266
Total Equities		–		7,810			144,456			152,266
Fixed Income:
Bank Loans		–		133,639,936			164,381			133,804,317
Corporate Bonds		–		13,144,707			–			13,144,707
Total Fixed Income		–		146,784,643			164,381			146,949,024
Short-Term Investment		–		20,677,603			–			20,677,603
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		297,336			–			297,336
Total	$	–	$	167,767,392		$	308,837		$	168,076,229
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(1,660	)		–			(1,660	)
Total Investments	$	–	$	167,765,732		$	308,837		$	168,074,569

* There were no transfers between levels during the period ended December 31, 2016.

** Includes two securities valued at $0.

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

INVESTMENTS IN SECURITIES	BALANCE AS OF JULY 1, 2016		REALIZED GAIN (LOSS)		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)			NET TRANSFERS IN (OUT) OF LEVEL 3		ACCRUED PREMIUMS/ DISCOUNTS		PURCHASES		SALES		BALANCE AS OF DECEMBER 31, 2016		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT DECEMBER 31, 2016
Equities
Common Stock	$	–	$	–	$	13,445		$	–	$	–	$	131,011	$	–	$	144,456	$	13,445
Fixed Income
Bank Loans	$	221,345	$	–	$	(68,076	)	$	–	$	349	$	17,328	$	–	$	170,946	$	(68,075	)
Total	$	221,345	$	–	$	(54,631	)	$	–	$	349	$	148,339	$	–	$	315,402	$	(54,631	)

Global Credit Income Opportunities Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3			TOTAL INVESTMENTS
Assets:*
Equities:
Common Stocks	$	–	$	3,905		$	496,329	**	$	500,234
Total Equities		–		3,905			496,329			500,234
Fixed Income:
Asset-Backed Securities		–		15,351,249			487,401			15,838,650
Bank Loans		–		29,883,064			182,959			30,066,023
Corporate Bonds		–		66,405,035			–			66,405,035
Total Fixed Income		–		111,639,348			670,360			112,309,708
Short-Term Investment		–		6,712,542			–			6,712,542
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		358,535			–			358,535
Total	$	–	$	118,714,330		$	1,166,689		$	119,881,019
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(4,208	)		–			(4,208	)
Total Investments	$	–	$	118,710,122		$	1,166,689		$	119,876,811

* There were no transfers between levels during the period ended December 31, 2016.

** Includes two securities valued at $0.

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December 31, 2016 (Unaudited)

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

INVESTMENTS IN SECURITIES	BALANCE AS OF JULY 1, 2016		REALIZED GAIN (LOSS)		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)			NET TRANSFERS IN (OUT) OF LEVEL 3		ACCRUED PREMIUMS/ DISCOUNTS		PURCHASES		SALES		BALANCE AS OF DECEMBER 31, 2016		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT DECEMBER 31, 2016
Equities
Common Stock	$	418,595	$	–	$	77,734		$	–	$	–	$	–	$	–	$	496,329	$	77,734
Fixed Income
Bank Loans	$	221,345	$	–	$	(68,075	)	$	–	$	348	$	35,905	$	–	$	189,523	$	(68,075	)
Asset Backed Securities	$	–	$	–	$	(22	)	$	–	$	22	$	487,401	$	–	$	487,401	$	(22	)
Total	$	639,940	$	–	$	9,637		$	–	$	370	$	523,306	$	–	$	1,173,253	$	9,637

Active Short Duration Bond Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Asset-Backed Securities	$	–	$	71,060,973		$	7,279,000	$	78,339,973
Corporate Bonds		–		104,973,075			–		104,973,075
Mortgage-Backed Securities		–		7,792,183			–		7,792,183
U.S. Treasury & Government Agencies		–		51,066,227			–		51,066,227
Total Fixed Income		–		234,892,458			7,279,000		242,171,458
Short-Term Investments:
Bank Deposit		–		2,119,459			–		2,119,459
Commercial Paper		–		6,999,405			–		6,999,405
Total Short-Term Investments		–		9,118,864			–		9,118,864
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		266,105			–		266,105
Futures**		–		77,366			–		77,366
Total Derivative Securities		–		343,471			–		343,471
Total	$	–	$	244,354,793		$	7,279,000	$	251,633,793
Liabilities:*
Derivative Securities:
Centrally Cleared Credit Default Swaps**		–		(22,966	)		–		(22,966	)
Forward Foreign Currency Exchange Contracts		–		(255,735	)		–		(255,735	)
Futures**		–		(23,512	)		–		(23,512	)
OTC – Credit Default Swaps		–		(29,569	)		–		(29,569	)
Total Derivative Securities		–		(331,782	)		–		(331,782	)
Total Investments	$	–	$	244,023,011		$	7,279,000	$	251,302,011

* There were no transfers between levels during the period ended December 31, 2016.

** Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

INVESTMENTS IN SECURITIES	BALANCE AS OF JULY 1, 2016		REALIZED GAIN (LOSS)		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)			NET TRANSFERS IN (OUT) OF LEVEL 3		ACCRUED PREMIUMS/ DISCOUNTS		PURCHASES		SALES			BALANCE AS OF DECEMBER 31, 2016		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT DECEMBER 31, 2016
Asset Backed Securities	$	–	$	–	$	(22,298	)	$	–	$	68	$	7,302,077	$	(847	)	$	7,279,000	$	(22,298	)
Total	$	–	$	–	$	(22,298	)	$	–	$	68	$	7,302,077	$	(847	)	$	7,279,000	$	(22,298	)

Total Return Bond Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Asset-Backed Securities	$	–	$	5,649,335		$	928,090	$	6,577,425
Corporate Bonds		–		8,723,749			–		8,723,749
Foreign Government		–		169,170			–		169,170
Mortgage-Backed Securities		–		633,081			–		633,081
U.S. Treasury & Government Agencies		–		7,443,163			–		7,443,163
Total Fixed Income		–		22,618,498			928,090		23,546,588
Mutual Fund:
Mutual Fund		2,468,842		–			–		2,468,842
Short-Term Investments:
Bank Deposit		–		707,678			–		707,678
Commercial Paper		–		4,445,712			–		4,445,712
Total Short-Term Investments		–		5,153,390			–		5,153,390
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		113,553			–		113,553
Futures**		–		825			–		825
Total Derivative Securities		–		114,378			–		114,378
Total	$	2,468,842	$	27,886,266		$	928,090	$	31,283,198
Liabilities:*
Derivative Securities:
Centrally Cleared Credit Default Swaps**		–		(7,205	)		–		(7,205	)
Forward Foreign Currency Exchange Contracts		–		(114,839	)		–		(114,839	)
Futures**		–		(17,107	)		–		(17,107	)
OTC – Credit Default Swaps		–		(7,392	)		–		(7,392	)
Total Derivative Securities		–		(146,543	)		–		(146,543	)
Total Investments	$	2,468,842	$	27,739,723		$	928,090	$	31,136,655

* There were no transfers between levels during the period ended December 31, 2016.

** Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities.

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December 31, 2016 (Unaudited)

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

INVESTMENTS IN SECURITIES	BALANCE AS OF JULY 1, 2016		REALIZED GAIN (LOSS)		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)			NET TRANSFERS IN (OUT) OF LEVEL 3		ACCRUED PREMIUMS/ DISCOUNTS		PURCHASES		SALES		BALANCE AS OF DECEMBER 31, 2016		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT DECEMBER 31, 2016
Asset
Backed Securities	$	–	$	–	$	(9,442	)	$	–	$	18	$	937,595	$	81	$	928,090	$	(9,442	)
Total	$	–	$	–	$	(9,442	)	$	–	$	18	$	937,595	$	81	$	928,090	$	(9,442	)

Emerging Markets Debt Blended Total Return Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Corporate Bonds	$	–	$	3,367,765		$	–	$	3,367,765
Foreign Government		–		6,126,126			–		6,126,126
Total Fixed Income		–		9,493,891			–		9,493,891
Short-Term Investment		–		98,880			–		98,880
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		291,224			–		291,224
Futures**		–		2,868			–		2,868
Interest Rate Swaps		–		23,437			–		23,437
Total Derivative Securities		–		317,529			–		317,529
Total	$	–	$	9,910,300		$	–	$	9,910,300
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(288,771	)		–		(288,771	)
Interest Rate Swaps		–		(12,765	)		–		(12,765	)
Total Derivative Securities		–		(301,536	)		–		(301,536	)
Total Investments	$	–	$	9,608,764		$	–	$	9,608,764

* There were no transfers between levels during the period ended December 31, 2016.

** Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities.

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Emerging Markets Local Currency Debt Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Foreign Government	$	–	$	4,381,124		$	–	$	4,381,124
Total Fixed Income		–		4,381,124			–		4,381,124
Short-Term Investment		–		339,448			–		339,448
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		214,664			–		214,664
Interest Rate Swaps		–		23,993			–		23,993
Total Derivative Securities		–		238,657			–		238,657
Total	$	–	$	4,959,396		$	–	$	4,959,396
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(198,818	)		–		(198,818	)
Interest Rate Swaps		–		(30,115	)		–		(30,115	)
Total Derivative Securities		–		(228,933	)		–		(228,933	)
Total Investments	$	–	$	4,730,296		$	–	$	4,730,296

* There were no transfers between levels during the period ended December 31, 2016.

Global High Yield Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Corporate Bonds	$	–	$	26,181,756		$	–	$	26,181,756
Total Fixed Income		–		26,181,756			–		26,181,756
Short-Term Investment		–		280,202			–		280,202
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		109,460			–		109,460
Total	$	–	$	26,571,418		$	–	$	26,571,418
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(2,354	)		–		(2,354	)
Total Investments	$	–	$	26,569,064		$	–	$	26,569,064

* There were no transfers between levels during the period ended December 31, 2016.

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December 31, 2016 (Unaudited)

U.S. High Yield Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Bank Loans	$	–	$	550,933	$	–	$	550,933
Corporate Bonds		–		29,742,093		–		29,742,093
Total Fixed Income		–		30,293,026		–		30,293,026
Short-Term Investment		–		1,242,922		–		1,242,922
Total	$	–	$	31,535,948	$	–	$	31,535,948
Total Investments	$	–	$	31,535,948	$	–	$	31,535,948

* There were no transfers between levels during the period ended December 31, 2016.

B. When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

The Funds may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair

value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

C. Cash and Short-Term Investments

Cash and cash equivalents consist principally of short-term investments that are readily convertible into cash and have original maturities of three months or less. At December 31, 2016, all cash and cash equivalents are held by the custodian.

D. Investment Transactions, Related Investment Income and Expenses

Investment transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis, including the amortization of premiums and accretion of discounts on bonds held using the yield-to-maturity method.

Realized gains and losses on investment transactions and unrealized appreciation and depreciation of investments are reported for financial statement and Federal income tax purposes on the identified cost method.

Expenses are recorded on the accrual basis as incurred.

E. Redemption Fees

Effective July 1, 2015, the Funds no longer had redemption fees.

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December 31, 2016 (Unaudited)

F. Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.

G. Federal Income Taxation

The Funds have elected to be taxed as a Regulated Investment Company (“RIC”) under sub-chapter M of the U.S. Internal Revenue Code of 1986, as amended, and intend to maintain this qualification and to distribute substantially all of their net taxable income to their shareholders. As of December 31, 2016, the Funds had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Funds file a U.S. federal income tax return annually after their fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of the filings.

H. Dividends and Distributions

Each Fund declares a dividend daily based on the Adviser’s projections of the Funds’ estimated net investment income and distributes such dividend monthly. To the extent that these distributions exceed net investment income, they may be classified as return of capital. The Funds also pay a distribution at least annually from their net realized capital gains, if any. Dividends and distributions are recorded on the ex-dividend date. All common shares have equal dividend and other distribution rights. A notice disclosing the source(s) of a distribution will be provided if payment is made from any source other than net investment income. Any such notice would be provided only for informational purposes in order to comply with the requirements of Section 19(a) of the 1940 Act and not for tax reporting purposes. The tax composition of the Funds’ distributions for each calendar year is reported on Internal Revenue Service Form 1099-DIV.

Dividends from net investment income and distributions from realized gains from investment transactions have been determined in accordance with Federal income tax regulations and may differ from net investment income and realized gains recorded by the Funds for financial reporting purposes. These differences, which could be temporary or permanent in nature may result in

reclassification of distributions; however, net investment income, net realized gains and losses, and net assets are not affected.

I. Bank Loans

The Funds may invest in bank loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The Funds record an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).

The loans in which the Funds invest may be subject to some restrictions on resale. For example, the Funds may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Funds generally have no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Funds assume the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Funds may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.

Unfunded commitments represent the remaining obligation of the Funds to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statements of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statements of

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December 31, 2016 (Unaudited)

Assets and Liabilities represents mark to market of the unfunded portion of the Funds’ bank loans. As of December 31, 2016, the following Funds had unfunded loan commitments:

FUND	SECURITY	AMOUNT
Global Floating Rate Fund	Boomerang Tube, LLC, 15.00%, 2/2/2020	$	6,565
Global Credit Income Opportunities Fund	Boomerang Tube, LLC, 15.00%, 2/2/2020	$	6,565

J. Derivative Instruments

The following is a description of the derivative instruments that the Funds utilize as part of their investment strategy, including the primary underlying risk exposures related to the instrument.

The Funds are subject to foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may use forward foreign currency exchange contracts to hedge against changes in the value of foreign currencies. The Funds may enter into forward foreign currency exchange contracts obligating the Funds to deliver or receive a currency at a specified future date. Forward contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time the forward contract expires. Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. The Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk quarterly. The Funds are also subject to credit risk with respect to the counterparties to derivative contracts that are not cleared through a central counterparty but instead are traded over-the-counter between two counterparties. If a counterparty to an over-the-counter derivative becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Funds may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The Funds may obtain only a limited recovery or may obtain no recovery in such circumstances. The counterparty risk for cleared derivatives is generally lower than for uncleared over-the-counter derivative transactions since

generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Funds. In addition, in the event of a bankruptcy of a clearing house, the Funds could experience a loss of the funds deposited with such clearing house as margin and of any profits on its open positions. The counterparty risk to the Funds is limited to the net unrealized gain, if any, on the contract.

The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the Funds’ investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency exchange contract would limit the risk of loss due to a decline in the value of a particular currency; however, it would also limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the amount of receivable or payable reflected on the Statement of Assets and Liabilities.

The Funds may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.

The Funds may purchase call or put options. When a Fund purchases an option, the premium paid by the Fund is recorded as an asset and is subsequently adjusted to the current fair value of the option purchased. Purchasing call options tends to increase the Fund’s exposure to the

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December 31, 2016 (Unaudited)

underlying instrument. Purchasing put options tends to decrease the Fund’s exposure to the underlying instrument. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying security to determine the realized gain or loss. The risks associated with purchasing put and call options are potential loss of the premium paid and, in the instances of over-the-counter derivatives, the failure of the counterparty to honor its obligation under the contract.

The Funds may enter into swap options (“swaptions”). A swaption is an option to enter into a pre-defined swap agreement by some specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed rate receiver or a fixed rate buyer. Depending on the terms of the particular option agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised.

When a Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when a Fund writes a put option, it is exposed to a decline in the price of the underlying security.

Whether an option which a Fund has written expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which a Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally

received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.

The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Funds’ exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.

The Funds may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty (or central clearing party in the case of centrally cleared swaps) in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty (or central clearing party in the case of centrally cleared swaps) a periodic stream of payments over the term of the contract.

As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty (or central clearing party in the case of centrally cleared swaps) in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund would make periodic payments to the counterparty (or central clearing party in the case of centrally cleared swaps) over the term of the contracts, provided no event of default has occurred.

These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. During the period, Active Short Duration Bond Fund and Total Return Bond Fund entered into credit default swaps based on a CMBX index, which is comprised of commercial mortgage-backed securities and a CDX index, which is comprised of North American and Emerging Market companies.

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December 31, 2016 (Unaudited)

Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund.

Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the central clearing party daily.

Entering into swap agreements involves counterparty and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, that there may be unfavorable changes in interest rates, and, in the case of credit default swaps, that the Adviser does not

correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the central clearing party.

Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

During the period ended December 31, 2016, the Funds’ direct investment in derivatives consisted of forward foreign currency exchange contracts, futures contracts, credit default swaps, interest rate swaps and purchased options.

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December 31, 2016 (Unaudited)

The following is a summary of the fair value of derivative instruments held directly by the Funds as of December 31, 2016:

Global Floating Rate Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	297,015
Total		$	297,015

LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(1,339	)
Total		$	(1,339	)

Global Credit Income Opportunities Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	358,535
Total		$	358,535

LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(4,208	)
Total		$	(4,208	)

Active Short Duration Bond Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	266,105	$	–	$	–	$	266,105
Futures Contracts	Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–		77,366		–		77,366
Swaps Contracts	Swap contracts, at fair value		–		–		7,210		7,210
Total		$	266,105	$	77,366	$	7,210	$	350,681

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December 31, 2016 (Unaudited)

LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(255,735	)	$	–		$			$	(255,735	)
Futures Contracts	Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.					(23,512	)		–			(23,512	)
Swaps Contracts	Swap contracts, at fair value					–			(13,622	)		(13,622	)
Total		$	(255,735	)	$	(23,512	)	$	(13,622	)	$	(292,869	)

Total Return Bond Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	113,553	$	–	$	–	$	113,553
Futures Contracts	Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–		825		–		825
Swaps Contracts	Swap contracts, at fair value		–		–		1,855		1,855
Total		$	113,553	$	825	$	1,855	$	116,233

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December 31, 2016 (Unaudited)

LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(114,839	)	$	–		$			$	(114,839	)
Futures Contracts	Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.					(17,107	)		–			(17,107	)
Swaps Contracts	Swap contracts, at fair value					–			(3,553	)		(3,553	)
Total		$	(114,839	)	$	(17,107	)	$	(3,553	)	$	(135,499	)

Emerging Markets Debt Blended Total Return Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	291,224	$	–	$	291,224
Futures Contracts	Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–		2,868		2,868
Swaps Contracts	Swap contracts, at fair value				23,437		23,437
Total		$	291,224	$	26,305	$	317,529

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December 31, 2016 (Unaudited)

LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(288,771	)	$	–		$	(288,771	)
Swaps Contracts	Swap contracts, at fair value					(12,765	)		(12,765	)
Total		$	(288,771	)	$	(12,765	)	$	(301,536	)

Emerging Markets Local Currency Debt Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	214,664	$	–	$	214,664
Swaps Contracts	Swap contracts, at fair value				15,927		15,927
Total		$	214,664	$	15,927	$	230,591

LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(198,818	)	$	–		$	(198,818	)
Swaps Contracts	Swap contracts, at fair value					(30,115	)		(30,115	)
Total		$	(198,818	)	$	(30,115	)	$	(228,933	)

Global High Yield Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	109,460
Total		$	109,460

LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(2,354	)
Total		$	(2,354	)

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December 31, 2016 (Unaudited)

Amount of Realized Gain/(Loss) on Derivatives:

Global Floating Rate Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	3,668,258
Total	$	3,668,258

Global Credit Income Opportunities Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	2,957,387	$	–		$	2,957,387
Purchased Options		–		(319,720	)		(319,720	)
Total	$	2,957,387	$	(319,720	)	$	2,637,667

Active Short Duration Bond Fund

	INTEREST RATE RISK		CREDIT RISK			TOTAL
Futures Contracts	$	809,340	$	–		$	809,340
Swaps Contracts		–		(11,561	)		(11,561	)
Total	$	809,340	$	(11,561	)	$	797,779

Total Return Bond Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	833	$	–		$	–		$	833
Futures Contracts		–		(101,606	)		–			(101,606	)
Swaps Contracts		–		–			(14,347	)		(14,347	)
Total	$	833	$	(101,606	)	$	(14,347	)	$	(115,120	)

Emerging Markets Debt Blended Total Return Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	78,437	$	–	$	78,437
Futures Contracts		–		1		1
Swaps Contracts		–		7,337		7,337
Total	$	78,437	$	7,338	$	85,775

Emerging Markets Local Currency Debt Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	20,587	$	–		$	20,587
Futures Contracts		–		(160	)		(160	)
Swaps Contracts		–		10,498			10,498
Total	$	20,587	$	10,338		$	30,925

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December 31, 2016 (Unaudited)

Global High Yield Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	623,851
Total	$	623,851

Change in Unrealized Appreciation/(Depreciation) on Derivatives:

Global Floating Rate Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	295,675
Total	$	295,675

Global Credit Income Opportunities Fund

	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	(1,024,556	)	$	–	$	(1,024,556	)
Total	$	(1,024,556	)	$	–	$	(1,024,556	)

Active Short Duration Bond Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	12,342	$	–	$	–	$	12,342
Futures Contracts		–		173,895		–		173,895
Swaps Contracts		–		–		11,299		11,299
Total	$	12,342	$	173,895	$	11,299	$	197,536

Total Return Bond Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK			CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	327	$	–		$	–	$	327
Futures Contracts		–		(107,400	)		–		(107,400	)
Swaps Contracts		–		–			2,996		2,996
Total	$	327	$	(107,400	)	$	2,996	$	(104,077	)

Emerging Markets Debt Blended Total Return Fund

	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	(31,084	)	$	–		$	(31,084	)
Futures Contracts		–			2,868			2,868
Swaps Contracts		–			(3,270	)		(3,270	)
Total	$	(31,084	)	$	(402	)	$	(31,486	)

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December 31, 2016 (Unaudited)

Emerging Markets Local Currency Debt Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	17,042	$	–		$	17,042
Futures Contracts		–		1			1
Swaps Contracts		–		(42,602	)		(42,602	)
Total	$	17,042	$	(42,601	)	$	(25,559	)

Global High Yield Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	(173,783	)
Total	$	(173,783	)

Global Floating Rate Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts(1)		34,370,432
Total		34,370,432

(1) Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

Global Credit Income Opportunities Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts(1)	$	30,748,097	$	–	$	30,748,097
Purchased Options(1)		–		42,920,000		42,920,000
Total	$	30,748,097	$	42,920,000	$	73,668,097

(1) Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

Active Short Duration Bond Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts(1)	$	8,476,826	$	–	$	–	$	8,476,826
Futures Contracts(2)		–		231		–		231
Swap Contracts(1)		–		–		2,050,000		2,050,000
Total	$	8,476,826	$	231	$	2,050,000	$	10,527,057

(1) Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

(2) Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

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December 31, 2016 (Unaudited)

Total Return Bond Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/ UNITS	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts(1)		3,910,247		–		–		3,910,247
Futures Contracts(2)		–		5		–		5
Swap Contracts(1)		–		–		610,000		610,000
Total		3,910,247		5		610,000		4,520,252

(1) Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

(2) Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

Emerging Markets Debt Blended Total Return Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts(1)	$	13,516,875	$	–	$	13,516,875
Futures Contracts(2)		–		2		2
Swap Contracts(1)		–		287,026,211		287,026,211
Total	$	13,516,875	$	287,026,213	$	300,543,088

(1) Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

(2) Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

Emerging Markets Local Currency Debt Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts(1)	$	9,205,551	$	–	$	9,205,551
Futures Contracts(2)		–		1		1
Swap Contracts(1)		–		238,182,963		238,182,963
Total	$	9,205,551	$	238,182,964	$	247,388,515

(1) Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

(2) Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

Global High Yield Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts(1)		6,657,539
Total	$	6,657,539

(1) Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

K. Disclosures about Offsetting Assets and Liabilities

The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a Fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013-01 “Clarifying the Scope of Offsetting Assets and Liabilities” (“ASU 2013-01”), specifying which transactions are subject to disclosures about offsetting. In order to better define its contractual rights and to secure rights that will

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December 31, 2016 (Unaudited)

help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the

right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements. The result would cause the Fund to accelerate payment of any net liability owed to the counterparty.

The following tables illustrate gross and net information about recognized assets eligible for offset in the Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between two counterparties who have multiple contracts with each other that provides for the net settlement of all contracts, as well as cash collateral, through a single payment in the event of default on or termination of any one contract:

Global Floating Rate Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	297,336	$	–	$	297,336
Total	$	297,336	$	–	$	297,336

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)		NET AMOUNT (b)
Morgan Stanley & Co.	$	297,336	$	(1,660	)	$	–	$	295,676
Total	$	297,336	$	(1,660	)	$	–	$	295,676

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

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December 31, 2016 (Unaudited)

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	1,660	$	–	$	1,660
Total	$	1,660	$	–	$	1,660

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)		NET AMOUNT (b)
Morgan Stanley & Co.	$	1,660	$	(1,660	)	$	–	$	–
Total	$	1,660	$	(1,660	)	$	–	$	–

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

Global Credit Income Opportunities Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES
Forward Foreign Currency Exchange Contracts	$	358,535	$	–	$	358,535
Total	$	358,535	$	–	$	358,535

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)		NET AMOUNT (b)
Citibank N.A.	$	126,766	$	–		$	126,766	$	–
JPMorgan Chase Bank N.A.		231,657		–			231,657		–
Morgan Stanley & Co.		112		(112	)		–		–
Total	$	358,535	$	(112	)	$	358,423	$	–

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December 31, 2016 (Unaudited)

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	4,208	$	–	$	4,208
Total	$	4,208	$	–	$	4,208

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)		NET AMOUNT (b)
Morgan Stanley & Co.	$	4,208	$	(112	)	$	—	$	4,096
Total	$	4,208	$	(112	)	$	—	$	4,096

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

Active Short Duration Bond Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES
Forward Foreign Currency Exchange Contracts	$	266,105	$	—	$	266,105
Swap Contracts		5,624		—		5,624
Total	$	271,729	$	—	$	271,729

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)		NET AMOUNT (b)
Goldman Sachs & Co.	$	5,624	$	—		$	—	$	5,624
JPMorgan Chase Bank N.A.		266,105		(266,105	)		—		—
Total	$	271,729	$	(266,105	)	$	—	$	5,624

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December 31, 2016 (Unaudited)

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS  AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	255,735	$	—	$	255,735
Swap Contracts		13,622		—		13,622
Total	$	269,357	$	—	$	269,357

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)		NET AMOUNT (b)
JPMorgan Chase Bank N.A.	$	269,357	$	(266,105	)	$	—	$	3,252
Total	$	269,357	$	(266,105	)	$	—	$	3,252

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

Total Return Bond Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	113,553	$	—	$	113,553
Swap Contracts		1,357		—		1,357
Total	$	114,910	$	—	$	114,910

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December 31, 2016 (Unaudited)

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)		NET AMOUNT (b)
Bank of America N.A.	$	283	$	(283	)	$	—	$	—
BNP Paribas S.A.		6,419		(2,898	)		—		3,521
Citibank N.A.		72		(72	)		—		—
Goldman Sachs & Co.		1,360		—			—		1,360
JPMorgan Chase Bank N.A.		106,776		(106,776	)		—		—
Total	$	114,910	$	(110,029	)	$	—	$	4,881

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	114,839	$	—	$	114,839
Swap Contracts		3,553		—		3,553
Total	$	118,392	$	—	$	118,392

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)		NET AMOUNT (b)
Bank of America N.A.	$	2,330	$	(283	)	$	—	$	2,047
BNP Paribas S.A.		2,898		(2,898	)		—		—
Citibank N.A.		1,448		(72	)		—		1,376
JPMorgan Chase Bank N.A.		111,716		(106,776	)		—		4,940
Total	$	118,392	$	(110,029	)	$	—	$	8,363

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Emerging Markets Debt Blended Total Return Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	291,224	$	—	$	291,224
Swap Contracts		23,437		—		23,437
Total	$	314,661	$	—	$	314,661

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)		NET AMOUNT (b)
Bank of America N.A.	$	15,105	$	(15,105	)	$	—	$	—
BANK OF AMERICA, N.A.		4,537		—			—		4,537
BNP Paribas S.A.		66,156		(44,113	)		—		22,043
Citibank N.A.		57,341		(43,450	)		—		13,891
Goldman Sachs & Co.		42		—			—		42
JPMORGAN CHASE BANK		5,547		—			—		5,547
JPMorgan Chase Bank N.A.		165,933		(165,933	)		—		—
Total	$	314,661	$	(268,601	)	$	—	$	46,060

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF  ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES
Forward Foreign Currency Exchange Contracts	$	288,771	$	–	$	288,771
Swap Contracts		12,765		–		12,765
Total	$	301,536	$	–	$	301,536

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)		NET AMOUNT (b)
Bank of America N.A.	$	31,344	$	(15,105	)	$	–	$	16,239
BNP Paribas S.A.		44,113		(44,113	)		–		–
Citibank N.A.		43,450		(43,450	)		–		–
JP MORGAN		4,549		–			–		4,549
JPMorgan Chase Bank N.A.		178,080		(165,933	)		–		12,147
Total	$	301,536	$	(268,601	)	$	–	$	32,935

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

Emerging Markets Local Currency Debt Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES
Forward Foreign Currency Exchange Contracts	$	214,831	$	–	$	214,831
Swap Contracts		23,993		–		23,993
Total	$	238,824	$	–	$	238,824

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)		NET AMOUNT (b)
Bank of America N.A.	$	20,890	$	(20,890	)	$	–	$	–
BNP Paribas S.A.		49,599		(21,207	)		–		28,392
Citibank N.A.		39,614		(30,339	)		–		9,275
Goldman Sachs & Co.		14,936		(384	)		–		14,552
JPMorgan Chase Bank N.A.		113,785		(113,785	)		–		–
Total	$	238,824	$	(186,605	)	$	–	$	52,219

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES
Forward Foreign Currency Exchange Contracts	$	198,985	$	–	$	198,985
Swap Contracts		30,115		–		30,115
Total	$	229,100	$	–	$	229,100

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)		NET AMOUNT (b)
Bank of America N.A.	$	38,235	$	(20,890	)	$	–	$	17,345
BNP Paribas S.A.		21,207		(21,207	)		–		–
Citibank N.A.		30,339		(30,339	)		–		–
Goldman Sachs & Co.		384		(384	)		–		–
JPMorgan Chase Bank N.A.		138,935		(113,785	)		–		25,150
Total	$	229,100	$	(186,605	)	$	–	$	42,495

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

Global High Yield Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES
Forward Foreign Currency Exchange Contracts	$	109,460	$	–	$	109,460
Total	$	109,460	$	–	$	109,460

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)		NET AMOUNT (b)
Bank of America N.A.	$	25,008	$	–		$	–	$	25,008
Citibank N.A.		75,991		–			–		75,991
JPMorgan Chase Bank N.A.		8,461		(1,938	)		–		6,523
Total	$	109,460	$	(1,938	)	$	–	$	107,522

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES
Forward Foreign Currency Exchange Contracts	$	2,354	$	–	$	2,354
Total	$	2,354	$	–	$	2,354

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)		NET AMOUNT (b)
Goldman Sachs & Co.	$	416	$	–		$	–	$	416
JPMorgan Chase Bank N.A.		1,938		(1,938	)		–		–
Total	$	2,354	$	(1,938	)	$	–	$	416

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

L. Foreign Securities

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include valuation of currencies and adverse political and economic

developments. Moreover, securities of many foreign companies, foreign governments, and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government.

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December 31, 2016 (Unaudited)

M. Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. Foreign currency transactions are translated into U.S. dollars on the following basis: (i) market value of investment securities, assets and liabilities at the daily rates of exchange, and (ii) purchases and sales of investment securities, dividend and interest income and certain expenses at the rates of exchange prevailing on the respective dates of such transactions. For financial reporting purposes, the Funds do not isolate changes in the exchange rate of investment securities from the fluctuations arising from changes in the market prices of securities. However, for Federal income tax purposes, the Funds do isolate and treat as ordinary income the effect of changes in foreign exchange rates on realized gain or loss from the sale of investment securities and payables and receivables arising from trade-date and settlement-date differences.

N. Counterparty Risk

The Funds seek to manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations. The Adviser monitors the financial stability of the Funds’ counterparties.

3. Advisory Fee

The Funds have entered into an Investment Management Agreement (the “Agreement”) with the Adviser. Pursuant to the Agreement, the Funds have agreed to pay the Adviser a fee payable at the end of each calendar month as set forth below:

Global Floating Rate Fund	0.65% of average daily net assets
Global Credit Income Opportunities Fund	0.75% of average daily net assets
Active Short Duration Bond Fund	0.35% of average daily net assets
Total Return Bond Fund	0.40% of average daily net assets
Emerging Markets Blended Total Return Fund	0.75% of average daily net assets
Emerging Markets Local Currency Debt Fund	0.75% of average daily net assets
Global High Yield Fund	0.60% of average daily net assets
U.S. High Yield Fund	0.55% of average daily net assets

The Adviser has contractually agreed to waive and/or reimburse fees and/or expenses (excluding 12b-1 fees, interest expenses, taxes, acquired fund fees and expenses, fees incurred in acquiring and disposing of securities and extraordinary expenses) such that total net annual operating expenses (including 12b-1 fees) for each class do not exceed the following rates:

	CLASS A			CLASS C			CLASS I			CLASS Y
Global Floating Rate Fund		1.00	%		1.75	%		0.75	%		0.75	%
Global Credit Income Opportunities Fund		1.20	%		1.95	%		0.95	%		0.95	%
Active Short Duration Bond Fund		0.65	%		0.90	%		0.40	%		0.40	%
Total Return Bond Fund		0.80	%		1.55	%		0.55	%		0.55	%
Emerging Markets Debt Blended Total Return Fund		1.20	%		1.95	%		0.95	%		0.95	%
Emerging Markets Local Currency Debt Fund		1.20	%		1.95	%		0.95	%		0.95	%
Global High Yield Fund		1.05	%		1.80	%		0.80	%		0.80	%
U.S. High Yield Fund		1.00	%		1.75	%		0.75	%		0.75	%

Pursuant to the expense waiver/reimbursement agreement, the Adviser is entitled to be reimbursed for any fees the Adviser waives and Fund expenses that the Adviser reimburses for a period of three years following such fee waivers and expense reimbursements, to the extent that such reimbursement of the Adviser by a Fund will not cause the Fund to exceed any applicable expense limitation that is in place for the Fund.

The contractual management fee waiver and expense reimbursement agreements between the Funds and the Adviser will remain in effect until November 1, 2017 and may be terminated only upon the approval of the Funds’ Board of Trustees.

Subject to the supervision of the Adviser and the Board, BGA manages the investment and reinvestment of a portion of the assets of the Funds, as allocated from time to time to BGA. The Adviser (not the Funds) will pay a portion of the fees it receives to BGA in return for its services.

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

The Adviser or its affiliates voluntarily agreed to waive certain fees for the Global Floating Rate Fund, the Total Return Bond Fund, the Emerging Markets Debt Blended Total Return Fund and the Emerging Markets Local Currency Debt Fund in order to maintain a minimum net investment income of not less than $0. Such arrangements may be discontinued by the investment adviser at any time. For the six months ended December 31, 2016 the amount of the waivers were $93, $2, $5,220, and $5,829, respectively.

4. 12b-1 Distribution and Service Plan

ALPS Distributors, Inc. (the “Distributor”) is the Distributor of the Funds’ shares as of December 31, 2016.

The Funds have adopted a Distribution and Shareholder Services Plan (the “Plan”), pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund’s Class A and Class C shares may compensate certain financial institutions, including the Distributor, for certain distribution and shareholder servicing activities. The Funds’ Class A shares may expend an aggregate amount, on an annual basis, not to exceed 0.25% of the value of the average daily net assets of a Fund attributable to Class A shares and 1.00% (0.50% for Active Short Duration Bond Fund) of the value of the average daily net assets of a Fund attributable to Class C shares. The Plan provides that the distribution and service fees are payable to the Distributor regardless of the amounts actually expended by the Distributor for distribution of the Funds’ shares and service activities.

Under its terms, the Funds’ Plan shall remain in effect from year to year, provided such continuance is approved annually by a vote of a majority of the Boards’ members and a majority of those Boards’ members who are not “interested persons” of the Funds and who have no direct or indirect financial interest in the operation of the Plan or in any agreement related to the Plan.

5. Sales Charges and Commissions

For the year ended December 31, 2016, the amount of sales charges retained by the Distributor on sales of Class A and Class C shares of the Funds were as follows:

	CLASS C
Global Floating Rate Fund	$	2,238
Global Credit Income Opportunities Fund		201
Active Short Duration Bond Fund		40

For the year ended December 31, 2016, the Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers:

	DISTRIBUTOR COMMISSIONS		DEALERS’ CONCESSIONS
Global Floating Rate Fund	$	484	$	222,012
Global Credit Income Opportunities Fund		4,136		54,067
Active Short Duration Bond Fund		–		140
Total Return Bond Fund		–		–
Emerging Markets Debt Blended Total Return Fund		–		53
Emerging Markets Local Currency Debt Fund		–		–
Global High Yield Fund		23		1,074
U.S. High Yield Fund		–		59

6. Administrator, Custody, and Transfer Agent Fees

The Funds have engaged State Street Bank and Trust (“SSB”) to serve as the Funds’ administrator, custodian, and fund accountant. SSB also served as transfer agent from the period July 1, 2015 to November 6, 2015. Effective November 7, 2015, the Funds engaged ALPS Fund Services, Inc. (“ALPS”) as transfer agent. For each of these services, the Funds have agreed to pay SSB and ALPS fees payable at the end of each calendar month pursuant to fee agreements between SSB, ALPS, and the Funds, respectively. For the six months ended December 31, 2016, the aggregate effective fee for the services was at the following annual rate of each Fund’s average daily managed assets:

Global Floating Rate Fund	0.38	%
Global Credit Income Opportunities Fund	0.35	%
Active Short Duration Bond Fund	0.25	%
Total Return Bond Fund	0.48	%
Emerging Markets Debt Blended Total Return Fund	0.88	%
Emerging Markets Local Currency Debt Fund	1.36	%
Global High Yield Fund	0.44	%
U.S. High Yield Fund	0.39	%

7. Income Taxes

It is the Funds’ intention to qualify as a RIC under subchapter M of the Internal Revenue Code and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements.

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

The tax character of dividends paid to shareholders during the tax year ended June 30, 2016 was as follows:

	ORDINARY INCOME		NET LONG-TERM CAPITAL GAINS		TOTAL DISTRIBUTIONS PAID
Global Floating Rate Fund	$	8,506,071	$	–	$	8,506,071
Global Credit Income Opportunities Fund		6,116,362		–		6,116,362
Active Short Duration Bond Fund		1,627,701		–		1,627,701
Total Return Bond Fund		732,690		1,864		734,554
Emerging Markets Debt Blended Total Return Fund		358,072		3,100		361,172

	ORDINARY INCOME		NET LONG-TERM CAPITAL GAINS		TOTAL DISTRIBUTIONS PAID
Emerging Markets Local Currency Debt Fund	$	163,404	$	–	$	163,404
Global High Yield Fund		980,491		–		980,491
U.S. High Yield Fund		1,053,626		–		1,053,626

In accordance with the Regulated Investment Company Modernization Act of 2010, the Funds will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely. Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.

As of December 31, 2016, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:

	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
Global Floating Rate Fund	$	171,695,299	$	2,073,801	$	(5,983,642	)	$	(3,909,841	)
Global Credit Income Opportunities Fund		122,085,055		2,676,302		(5,232,308	)		(2,556,006	)
Active Short Duration Bond Fund		252,091,504		608,672		(1,409,854	)		(801,182	)
Total Return Bond Fund		31,113,744		303,892		(248,816	)		55,076
Emerging Markets Debt Blended Total Return Fund		9,820,349		193,381		(411,704	)		(218,323	)
Emerging Markets Local Currency Debt Fund		4,803,872		186,223		(265,500	)		(79,277	)
Global High Yield Fund		26,085,360		988,202		(611,604	)		376,598
U.S. High Yield Fund		30,414,834		1,369,207		(248,093	)		1,121,114

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to wash sales.

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

8. Investment Transactions

Purchases and sales of securities (excluding short-term debt securities) for the year ended December 31, 2016 were as follows:

	PURCHASES		SALES		GOVERNMENT PURCHASES		GOVERNMENT SALES
Global Floating Rate Fund	$	67,189,240	$	76,748,633	$	–	$	–
Global Credit Income Opportunities Fund		43,556,056		22,606,343		–		–
Active Short Duration Bond Fund		102,848,816		57,828,094		128,619,572		60,623,100
Total Return Bond Fund		4,981,949		1,628,123		31,156,226		30,541,348
Emerging Markets Debt Blended Total Return Fund		5,107,284		3,372,807		–		–
Emerging Markets Local Currency Debt Fund		1,853,658		2,266,064		–		–
Global High Yield Fund		12,225,100		10,796,715		–		–
U.S. High Yield Fund		12,742,091		8,676,166		–		–

9. Common Stock

Transactions in common stock for the year ended December 31, 2016 were as follows:

Global Floating Rate Fund

	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016						FOR THE YEAR ENDED JUNE 30, 2016
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		1,809,249		$	16,965,916			1,852,982		$	17,065,312
Shares sold through reinvestments of distributions		56,305			530,002			32,710			300,004
Shares redeemed		(137,127	)		(1,297,317	)		(891,508	)		(8,232,099	)
Net increase		1,728,427		$	16,198,601			994,184		$	9,133,217
CLASS C
Shares sold		219,408		$	2,064,160			373,886		$	3,471,934
Shares sold through reinvestments of distributions		14,543			136,166			26,532			241,938
Shares redeemed		(125,143	)		(1,165,680	)		(223,482	)		(2,060,431	)
Net increase		108,808		$	1,034,646			176,936		$	1,653,441
CLASS I
Shares sold		2,195,701		$	21,011,826			–		$	82
Shares sold through reinvestments of distributions		3,209			30,739			19,954			191,130
Shares redeemed		(2,177,717	)		(20,747,335	)		(535,014	)		(5,000,000	)
Net increase (decrease)		21,193		$	295,230			(515,060	)	$	(4,808,788	)
CLASS Y
Shares sold		4,394,123		$	41,417,567			6,086,197		$	56,300,003
Shares sold through reinvestments of distributions		238,450			2,239,504			579,714			5,324,169
Shares redeemed		(7,950,420	)		(74,824,919	)		(6,374,723	)		(59,038,968	)
Net increase (decrease)		(3,317,847	)	$	(31,167,848	)		291,188		$	2,585,204

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Global Credit Income Opportunities Fund

	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016						FOR THE YEAR ENDED JUNE 30, 2016
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		1,449,304		$	13,318,671			649,098		$	5,795,169
Shares sold through reinvestments of distributions		45,531			418,569			84,775			750,428
Shares redeemed		(554,522	)		(5,025,835	)		(668,631	)		(5,921,877	)
Net increase		940,313		$	8,711,405			65,242		$	623,720
CLASS C
Shares sold		124,711		$	1,140,087			112,563		$	1,006,877
Shares sold through reinvestments of distributions		10,185			93,460			17,988			158,913
Shares redeemed		(51,394	)		(466,486	)		(100,203	)		(894,804	)
Net increase		83,502		$	767,061			30,348		$	270,986
CLASS I
Shares sold		3,073		$	27,397			–		$	666
Shares sold through reinvestments of distributions		50			457			27,127			254,427
Shares redeemed		(1,510	)		(13,652	)		–			–
Net increase		1,613		$	14,202			27,127		$	255,093
CLASS Y
Shares sold		1,257,051		$	11,488,654			3,557,814		$	31,402,334
Shares sold through reinvestments of distributions		97,021			890,863			173,660			1,549,751
Shares redeemed		(486,469	)		(4,459,558	)		(1,205,725	)		(10,634,355	)
Net increase		867,603		$	7,919,959			2,525,749		$	22,317,730

191

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Active Short Duration Bond Fund

	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016						PERIOD FROM JULY 8, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		7,412,384		$	73,964,643			4,326,156		$	42,899,831
Shares sold through reinvestments of distributions		61,147			609,321			18,550			184,208
Shares redeemed		(1,989,031	)		(19,832,069	)		(337,324	)		(3,344,883	)
Net increase		5,484,500		$	54,741,895			4,007,382		$	39,739,156
CLASS C
Shares sold		2,805		$	28,000			47,683		$	474,468
Shares sold through reinvestments of distributions		343			3,425			124			1,231
Shares redeemed		(1,909	)		(19,025	)		(22,061	)		(218,571	)
Net increase		1,239		$	12,400			25,746		$	257,128
CLASS I
Shares sold		10,010		$	100,000			2,230,000		$	22,300,000
Shares sold through reinvestments of distributions		–			–			4,437			44,099
Shares redeemed		(598,837	)		(5,976,390	)		(1,635,600	)		(16,250,000	)
Net increase (decrease)		(588,827	)	$	(5,876,390	)		598,837		$	6,094,099
CLASS Y
Shares sold		7,703,931		$	76,804,149			14,461,202		$	143,345,835
Shares sold through reinvestments of distributions		93,452			930,856			61,721			612,005
Shares redeemed		(3,339,782	)		(33,286,346	)		(3,527,796	)		(35,004,030	)
Net increase		4,457,601		$	44,448,659			10,995,127		$	108,953,810

* Commencement of operations

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Total Return Bond Fund

	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016						PERIOD FROM JULY 8, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES			AMOUNT			SHARES		AMOUNT
Shares sold		1,858		$	19,007			20,626	$	206,304
Shares sold through reinvestments of distributions		22			223			83		821
Shares redeemed		(412	)		(4,094	)		–		–
Net increase		1,468		$	15,136			20,709	$	207,125
CLASS C
Shares sold		–		$	–			20,000	$	200,000
Shares sold through reinvestments of distributions		–			–			61		596
Shares redeemed		–			–			–		–
Net increase		–		$	–			20,061	$	200,596
CLASS I
Shares sold		–		$	–			1,230,000	$	12,300,000
Shares sold through reinvestments of distributions		–			–			5,482		54,097
Shares redeemed		–			–			–		–
Net increase		–		$	–			1,235,482	$	12,354,097
CLASS Y
Shares sold		268,703		$	2,693,405			1,271,976	$	12,721,341
Shares sold through reinvestments of distributions		1,846			18,536			5,682		56,103
Shares redeemed		(9,642	)		(96,395	)		–		–
Net increase		260,907		$	2,615,546			1,277,658	$	12,777,444

* Commencement of operations

193

Barings Funds Trust 2016 Semi-Annual Report

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Emerging Markets Debt Blended Total Return Fund

	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016						PERIOD FROM OCTOBER 21, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES			AMOUNT			SHARES		AMOUNT
Shares sold		–		$	–			20,000	$	200,000
Shares sold through reinvestments of distributions		–			–			6		62
Shares redeemed		–			–			–		–
Net increase		–		$	–			20,006	$	200,062
CLASS C
Shares sold		543		$	5,318			20,000	$	200,000
Shares sold through reinvestments of distributions		3			25			6		62
Shares redeemed		–			(1	)		–		–
Net increase		546		$	5,342			20,006	$	200,062
CLASS I
Shares sold		–		$	–			480,000	$	4,800,000
Shares sold through reinvestments of distributions		–			–			156		1,488
Shares redeemed		–			–			–		–
Net increase		–		$	–			480,156	$	4,801,488
CLASS Y
Shares sold		2,383		$	24,500			480,000	$	4,800,000
Shares sold through reinvestments of distributions		10			93			156		1,488
Shares redeemed		(1,649	)		(15,681	)		–		–
Net increase		744		$	8,912			480,156	$	4,801,488

* Commencement of operations

194

Barings Funds Trust 2016 Semi-Annual Report

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Emerging Markets Local Currency Debt Fund

	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016				PERIOD FROM DECEMBER 8, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES		AMOUNT		SHARES		AMOUNT
Shares sold		–	$	–		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–		–		–
Shares redeemed		–		–		–		–
Net increase		–	$	–		10,000	$	100,000
CLASS C
Shares sold		–	$	–		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–		–		–
Shares redeemed		–		–		–		–
Net increase		–	$	–		10,000	$	100,000
CLASS I
Shares sold		–	$	–		240,000	$	2,400,000
Shares sold through reinvestments of distributions		–		–		–		–
Shares redeemed		–		–		–		–
Net increase		–	$	–		240,000	$	2,400,000
CLASS Y
Shares sold		–	$	–		240,000	$	2,400,000
Shares sold through reinvestments of distributions		–		–		–		–
Shares redeemed		–		–		–		–
Net increase		–	$	–		240,000	$	2,400,000

* Commencement of operations

195

Barings Funds Trust 2016 Semi-Annual Report

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

Global High Yield Fund

	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016						PERIOD FROM OCTOBER 30, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES			AMOUNT			SHARES		AMOUNT
Shares sold		565		$	5,820			10,000	$	100,000
Shares sold through reinvestments of distributions		28			291			–		–
Shares redeemed		(146	)		(1,491	)		–		–
Net increase		447		$	4,620			10,000	$	100,000
CLASS C
Shares sold		8,858		$	91,630			10,000	$	100,000
Shares sold through reinvestments of distributions		500			5,125			–		–
Shares redeemed		(166	)		(1,719	)		–		–
Net increase		9,192		$	95,036			10,000	$	100,000
CLASS I
Shares sold		–		$	–			1,240,000	$	12,400,000
Shares sold through reinvestments of distributions		–			–			–		–
Shares redeemed		–			–			–		–
Net increase		–		$	–			1,240,000	$	12,400,000
CLASS Y
Shares sold		115,074		$	1,190,086			1,253,790	$	12,538,500
Shares sold through reinvestments of distributions		5,768			59,017			27		262
Shares redeemed		(3,181	)		(33,513	)		–		–
Net increase		117,661		$	1,215,590			1,253,817	$	12,538,762

* Commencement of operations

196

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 2016 (Unaudited)

U.S. High Yield Fund

	FOR THE SIX MONTHS ENDED DECEMBER 31, 2016						PERIOD FROM OCTOBER 30, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES			AMOUNT			SHARES		AMOUNT
Shares sold		274,361		$	2,858,871			20,304	$	202,500
Shares sold through reinvestments of distributions		6,253			65,146			11		107
Shares redeemed		(85,744	)		(905,713	)		–		–
Net increase		194,870		$	2,018,304			20,315	$	202,607
CLASS C
Shares sold		568		$	5,933			10,000	$	100,000
Shares sold through reinvestments of distributions		12			123			–		–
Shares redeemed		(1	)		(12	)		–		–
Net increase		579		$	6,044			10,000	$	100,000
CLASS I
Shares sold		–		$	–			1,458,295	$	14,500,000
Shares sold through reinvestments of distributions		11,742			122,182			7,352		72,465
Shares redeemed		–			–			–		–
Net increase		11,742		$	122,182			1,465,647	$	14,572,465
CLASS Y
Shares sold		111,039		$	1,164,845			1,249,862	$	12,500,000
Shares sold through reinvestments of distributions		4,384			45,617			18		187
Shares redeemed		(536	)		(5,585	)		–		–
Net increase		114,887		$	1,204,877			1,249,880	$	12,500,187

* Commencement of operations

10. Line of Credit

During the six months ended December 31, 2016, the Trust (the “Borrower”) entered into a Credit Agreement (the “Credit Agreement”) with State Street Bank and Trust Company (the “Bank”). The Credit Agreement provides for a revolving credit facility of $40,000,000 (the “Facility Amount”) to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. Per the Credit Agreement, outstanding principal on the loan shall bear interest at a variable rate per annum equal to the higher of (a) the Federal Funds Rate as in effect on the day of the borrowing plus 1.25% and (b) the Overnight LIBOR rate as in effect on the day of the borrowing plus 1.25%. In addition, the Borrower shall pay to the Bank a commitment fee at the rate of 0.25% per annum on the daily unused portion of the Facility Amount. As of

December 31, 2016, there were no loans outstanding pursuant to the Credit Agreement.

11. Subsequent Events

Management has considered the circumstances under which the Funds should recognize or make disclosures regarding events or transactions occurring subsequent to December 31, 2016 through the date the financial statements were issued. Adjustments or additional disclosures, if any, have been included in these financial statements.

197

Barings Funds Trust¹ 2016 Semi-Annual Report

RENEWAL OF INVESTMENT MANAGEMENT AGREEMENT AND SUB-ADVISORY AGREEMENTS

The Investment Company Act of 1940 (the “1940 Act”) requires that a majority of both the full Board of Trustees and the Trustees who are not interested persons of the Trust, as defined under the 1940 Act (“Independent Trustees”), voting separately, annually approve the continuation of the Investment Management Agreement between Barings Funds Trust (the “Trust”), on behalf of each of its eight series funds (the “Funds”), and Barings LLC (“Barings”) (the “Management Agreement”), the Sub-Advisory Agreement between Barings and Barings Global Advisers Limited (formerly, Babson Capital Global Advisors Limited) (“BGA”) (the “BGA Sub-Advisory Agreement”) and the Sub-Advisory Agreement between Barings and Barings Real Estate Advisers LLC (formerly, Cornerstone Real Estate Advisers LLC) (“BREA”) (the “BREA Sub-Advisory Agreement,” and together with the Management Agreement and the BGA Sub-Advisory Agreement, the “Agreements”). The Trustees considered matters bearing on the Funds and the Agreements at their meetings throughout the year, including a review of the Funds’ performance at each regular meeting. At meetings held on May 5, 2016 and July 18, 2016 (the “Meetings”), the Trustees met for the purpose of considering whether to approve the continuation of the Agreements for the Funds. The Trustees’ review process and considerations in approving the Agreements are summarized below.

Prior to the Meetings, the Trustees requested and received from Ropes & Gray LLP, counsel to the Funds, a memorandum describing the Trustees’ legal responsibilities in connection with their review and approval of the Agreements. The Independent Trustees requested and received a similar memorandum from Morgan, Lewis & Bockius LLP, independent legal counsel to the Independent Trustees. The Independent Trustees met prior to the July Board meeting with independent legal counsel to discuss their duties, the memoranda and the Agreements. The Trustees noted that they initially approved the Agreements for Barings Global Credit Income Opportunities Fund and Barings Global Floating Rate Fund in July 2013, and that they initially approved the Agreements for Barings Active Short Duration Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Emerging Markets Local Currency Debt Fund, Barings Global High Yield Fund, Barings Total Return Bond Fund and Barings U.S. High Yield Fund in January 2015. The Trustees also requested and received from Barings extensive written and oral information regarding various matters including: the principal terms of the Agreements; Barings and its personnel; the Funds’ investment performance, including comparative performance information; the nature and quality of the services provided by Barings to the Funds; the financial strength of Barings; the fee arrangements between Barings and each Fund and each Fund’s fee and expense information, including comparative fee and expense information; the profitability of the Agreements to Barings; and the potential “fallout” benefits to Barings resulting from the Agreements.

The Trustees’ conclusion as to the continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board and not the result of any single issue. Some of the more significant factors that influenced the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to different factors. It is also important to recognize that the Board’s review of the Agreements is the result of ongoing review and discussion, rather than a single discussion. The Trustees’ conclusions may be based, in part, on their consideration of these arrangements throughout the year and in prior years.

The Trustees considered the terms of the Agreements, including the scope of the advisory and non-advisory services provided under the Agreements or otherwise. In evaluating the nature, scope and quality of the services provided by Barings to Barings Emerging Markets Local Currency Debt Fund and Barings U.S. High Yield Fund; by Barings and BGA to Barings Emerging Markets Debt Blended Total Return Fund, Barings Global Credit Income Opportunities Fund, Barings Global Floating Rate Fund and Barings Global High Yield Fund (“BGA Funds”); and by Barings and BREA to Barings Active Short Duration Fund and Barings Total Return Bond Fund (“BREA Funds”), the Trustees considered the specific responsibilities of each of Barings, BGA and BREA in the day-to-day management of the Fund, the qualifications, experience and

¹  On September 12, 2016, the name of the “Babson Capital Funds Trust” changed to the “Barings Funds Trust” and the names of its eight series funds also changed from “Babson” to “Barings”. The name change was intended to clarify the Trust’s relationship to Babson Capital Management LLC, its investment adviser, which also changed its name to “Barings LLC”. The name changes were effected in connection with Babson Capital’s combination with two of its subsidiaries, BREA and Wood Creek Capital Management, and its sister company, Baring Asset Management Limited.

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responsibilities of the portfolio managers and other key personnel who are involved in the day-to-day management of the Fund, the ability of each of Barings, BGA and BREA to attract and retain high-quality personnel, and the organizational depth and stability of each of Barings, BGA and BREA. The Trustees also considered the trading capabilities of each of Barings, BGA and BREA.

The Trustees reviewed the Funds’ investment performance, as well as the performance of peer groups of funds, over various time periods, using information provided by Broadridge Financial Solutions, Inc. (“Broadridge”) (formerly known as Lipper Inc.) and Barings. The Trustees noted that the total return performance of Barings Global Floating Rate Fund’s and Babson Global Credit Income Opportunities Fund’s shares ranked in the 4^th quintile of their respective Broadridge performance universes for the one-year period ended March 31, 2016 (the 1^st quintile being the best performers and the 5^th quintile being the worst performers). The Trustees noted that the remaining six Funds had commenced operations on July 8, 2015 or later, and had limited or no operating histories and performance records. For these Funds, the Trustees reviewed the year-to-date returns as of March 31, 2016. Of their respective Broadridge performance universes: U.S. High Yield Fund ranked in the 2^nd quintile; Global High Yield Fund ranked in the 3^rd quintile; Active Short Duration Bond Fund ranked in the 1^st quintile; Total Return Bond Fund ranked in the 2^nd quartile; Emerging Markets Debt Blended Total Return Fund ranked in the 5^th quintile; and Emerging Markets Local Currency Debt ranked in the 1^st quintile. In the course of their deliberations, the Trustees also took into account information provided by Barings during investment review meetings conducted with portfolio management personnel during the course of the year. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that they were satisfied with the performance achieved by Barings, BGA and BREA.

The Trustees considered the investment management fee paid by each Fund to Barings pursuant to the Management Agreement. The Trustees noted that Barings (and not the BGA Funds) pays BGA its sub-advisory fee under the BGA Sub-Advisory Agreement and that Barings (and not the BREA Funds) pays BREA its sub-advisory fee under the BREA Sub-Advisory Agreement. In assessing the reasonableness of the fee paid by the Funds under the Management Agreement, the Trustees considered, among other information, each Fund’s advisory fee and the total expense ratio for the Fund’s shares as a percentage of net asset value and the advisory fee and total expense ratios of peer groups of funds based on information provided by Broadridge. The Trustees considered that, according to the Broadridge data (which takes into account any fee reductions or expense limitations that were in effect during the last fiscal year), for each of Barings Global Floating Rate Fund and Barings Global High Yield Fund, its effective advisory fee rate was lower than the Broadridge expense group median and its total expense ratio was approximately at the Broadridge expense group median. The Trustees considered that, according to the Broadridge data, for each of Barings Global Credit Income Opportunities Fund and Barings Emerging Markets Local Currency Debt Fund, its effective advisory fee rate was lower than the Broadridge expense group median and its total expense ratio was above the Broadridge expense group median. The Trustees considered that, according to the Broadridge data, for each of Barings U.S. High Yield Fund, Barings Active Short Duration Bond Fund and Barings Total Return Bond Fund, its effective advisory fee rate and total expense ratio were each lower than the Broadridge expense group median. The Trustees also considered that, according to the Broadridge data, Barings Emerging Markets Debt Blended Total Return Fund’s effective advisory fee rate approximately at the Broadridge expense group median and its total expense ratio was above the Broadridge expense group median.

The Trustees then considered that, as each Fund’s assets increase, each Fund and its shareholders would be expected to realize economies of scale as certain expenses, such as fixed operating costs, become a smaller percentage of overall assets. They considered the extent to which any such savings would benefit shareholders and Barings’s statement that it would consider proposing breakpoints in the management fee payable by a Fund once a Fund approached the break-even point. The Trustees noted that Barings has instituted caps on expenses that insulate shareholders from the effects on expenses of the Funds’ relatively small size.

The Trustees reviewed information prepared by Barings regarding Barings’s costs of managing the Funds, and the profitability of the Management Agreement to Barings. In considering the profitability of Barings, the Board noted that BGA and BREA are affiliates of Barings and are paid by Barings, and, therefore, did not consider their profitability separately. The Trustees then considered potential “fall-out” benefits to Barings and its affiliates as a result of Barings’s relationship with BFT. The Board concluded that, in light of the expected costs of providing investment management and other services to BFT

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and Barings’ commitment to cap the expenses of each Fund, the other ancillary benefits that Barings and its affiliates expect to receive supported the approval of the Agreements. The Trustees concluded that, at this time, and in light of the nature, extent and quality of the respective services expected to be provided by Barings, the fee rates and expenses of each Fund supported the approval of the Management Agreement, the BGA Sub-Advisory Agreement and the BREA Sub-Advisory Agreement.

Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the Independent Trustees, concluded that the Management Agreement, the BGA Sub-Advisory Agreement and the BREA Sub-Advisory Agreement should be continued for an additional one-year period through July 31, 2017.

200

    Barings Funds Trust

Item 2. Code of Ethics.

Not applicable to this semi-annual report.

Item 3. Audit Committee Financial Expert.

Not applicable to this semi-annual report.

Item 4. Principal Accountant Fees and Services.

Not applicable to this semi-annual report.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this semi-annual report.

Item 6. Schedule of Investments.

(a) The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Semi-Annual Report to Shareholders filed under Item 1 of this form.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Investment Management Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1)	Not applicable.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act are attached hereto.
	Exhibit 99.1 Cert
	Exhibit 99.2 Cert
(a)(3)	Not applicable.
(b)	Certification pursuant to Rule 30a-2(b) under the 1940 Act is attached hereto.
	Exhibit 99.906 Cert

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Barings Funds Trust

By (Signature and Title)	/s/ Duncan Robertson
	Duncan Robertson, President (Principal Executive Officer)
Date March 10, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By (Signature and Title)	/s/ Duncan Robertson
	Duncan Robertson, President (Principal Executive Officer)
Date March 10, 2017
By (Signature and Title)	/s/ Carlene Pollock
	Carlene Pollock, Chief Financial Officer (Principal Financial Officer)
Date March 10, 2017