Schroder Special Situations Fund
Audited Annual Report
31 December 2016
Luxembourg
R.C.S. Luxembourg B 58.066
Schroder Special Situations Fund
Société d’Investissement à Capital Variable (SICAV)
Audited Annual Report
31 December 2016
No subscriptions can be received on the basis of financial reports. Subscriptions are valid
only if made on the basis of the current prospectus, the current Key Investors Information
Documents, accompanied by the last available audited annual report or unaudited semiannual report if published thereafter.
Audited annual and unaudited semi-annual reports, the current prospectus, KIID and the
Articles of Incorporation of Schroder Special Situations Fund (the 'Company') are
available, free of charge, at the Company’s registered office, 5, rue Höhenhof, L-1736
Senningerberg, Grand Duchy of Luxembourg.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 5
Table of contents
Schroder Special Situations Fund . . . . . . . . . . . . . . . . . . . . . . .
7
Board of Directors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8
Administration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9
Directors’ Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10
Investment Managers’ Report . . . . . . . . . . . . . . . . . . . . . . . . . .
11
Notes to the Financial Statements . . . . . . . . . . . . . . . . . . . . . .
13
Audit Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
20
Statement of Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
21
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
25
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . . . . .
26
Distribution of Investments by Industry . . . . . . . . . . . . . . . . . .
27
Portfolio of Investments
Schroder SSF BCC Cedola Paesi Emergenti 2019 . . . . . . . . . .
Schroder SSF International Equity . . . . . . . . . . . . . . . . . . . . . . .
Schroder SSF Multi-Asset 80 . . . . . . . . . . . . . . . . . . . . . . . . . .
Schroder SSF QEP Japanese Core . . . . . . . . . . . . . . . . . . . . . .
Schroder SSF Sterling Liquidity Plus . . . . . . . . . . . . . . . . . . . . .
28
29
30
31
34
Appendix I - Audited TER . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
37
Appendix II - Global exposure and leverage (unaudited) . . . . .
38
Appendix III - Securities Financing Transactions (Unaudited) .
39
Appendix IV – Remuneration Disclosures . . . . . . . . . . . . . . . . .
42
Appendix V – Unaudited Collateral Exposure . . . . . . . . . . . . . .
44
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 7
Schroder Special Situations Fund
The Company
Schroder Special Situations Fund (the ‘Company’) is an open-ended investment company
organised as a ‘société anonyme’ under the laws of the Grand Duchy of Luxembourg. The
Company operates separate ‘Funds’, each of which is represented by one or more classes of
shares. The Funds are distinguished by their specific investment policy or any other specific
features. Please refer to the current prospectus for the investment objectives of the Funds as
well as the investment restrictions.
This report covers the year from 1 January 2016 to 31 December 2016. At the date of this
report, there were 5 Funds available for investment. The last day on which prices were
calculated was 30 December 2016, the last working day of the year under review. The
financial statements are prepared in accordance with Luxembourg regulations relating to
undertakings for collective investments.
Hereafter, names of the Funds will be preceded by Schroder SSF, e.g. Schroder SSF
International Equity.
Schroders is a FATCA compliant organisation. The FATCA classification of this entity and its
GIIN is as follows: FATCA entity classification: FFI; Sponsoring entity: Schroder Investment
Management (Luxembourg) S.A.; Sponsoring entity GIIN: 4RIMT7.00000.SP.442
Corporate Governance
The Company is subject to corporate governance based on:
1. Its obligations as defined by the UCITS Directive 2009/65/EC dated 13 July 2009, as
implemented in Luxembourg law, which is available for inspection at the registered office of the
Company at 5, rue Höhenhof, 1736 Senningerberg, Grand Duchy of Luxembourg.
2. Its Articles of Incorporation which are available for inspection at the registered office of the
Company and at the Luxembourg corporate and trade register, Registre de Commerce et des
Sociétés (‘RCSL’).
3. Its obligations in respect of the management of the Company, for which the Company has
appointed Schroder Investment Management (Luxembourg) S.A., which is subject to the
requirements of the Management Company Directive 2010/43/EC, as implemented in
Luxembourg law.
4. The Association of the Luxembourg Fund Industry (‘ALFI’) code of conduct, which the
Company has voluntarily adopted.
Internal Control and Risk Management Systems
The Board of Directors is responsible for establishing and maintaining adequate internal control
and risk management systems of the Company in relation to the financial reporting process.
Such systems are designed to manage rather than eliminate the risk of error or fraud in
achieving the Company's financial reporting objectives and can only provide reasonable and
not absolute assurance against material misstatement or loss.
The Board of Directors has contracted with the Management Company to put procedures in
place to ensure all relevant accounting records are properly maintained and are readily
available, including the production of annual and semi-annual reports. The annual and semiannual reports of the Company are required to be approved by the Board of Directors of the
Company and filed with the Commission de Surveillance du Secteur Financier (‘CSSF’) and in
the case of annual reports with the RCSL. The annual statutory financial statements are
required to be audited by independent auditors who report to the Board of Directors on their
findings.
The Board meets at least four times a year and ensures that the Company maintains high
standards of integrity and control in its operations and that it possesses adequate governance
and means of control as law and regulation demand.
Page 8
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Board of Directors
Chairman
— Richard Mountford *
Global Head of Product
Schroder Investment Management Limited
31, Gresham Street
London EC2V 7QA
United Kingdom
— Carlo Trabattoni **
Head of Pan European Intermediary Distribution and GFIG
Schroder Investment Management Limited
31, Gresham Street
London EC2V 7QA
United Kingdom
Directors
— Mike Champion
Head of Product Development
Schroder Investment Management Limited
31, Gresham Street
London EC2V 7QA
United Kingdom
— Marie-Jeanne Chevremont-Lorenzini
Independent Director
19, rue de Bitbourg
1273 Luxembourg
Grand Duchy of Luxembourg
— Daniel De Fernando Garcia
Independent Director
Serano 1
28001 Madrid
Spain
— Jacques Elvinger ***
Avocat
Elvinger Hoss Prussen
2, place Winston Churchill
1340 Luxembourg
Grand Duchy of Luxembourg
— Bernard Herman****
Independent Director
19 rue de Bitbourg
1273 Luxembourg
Grand Duchy of Luxembourg
— Achim Kuessner
Country Head Germany, Austria & CEE
Schroder Investment Management GmbH
Taunustor 1 (TaunusTurm)
60310 Frankfurt am Main
Germany
— Ketil Petersen
Country Head Nordic Region
Schroders Denmark Filial af Schroder Investment Management (Luxembourg) S.A.
Store Strandstraede 21
1255 Copenhagen K
Denmark
* Richard Mountford was appointed Director and Chairman of the Board of Directors on 2 February 2017.
** Carlo Trabattoni resigned from the Board of Directors on 29 July 2016.
*** Jacques Elvinger resigned from the Board of Directors on 31 December 2016.
**** Bernard Herman was appointed to the Board of Directors on 16 November 2016.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 9
Administration
Registered Office
5, rue Höhenhof, 1736 Senningerberg, Grand Duchy of Luxembourg
Management Company, Domiciliary
Agent and Principal Paying Agent,
Registrar and Transfer Agent
Schroder Investment Management (Luxembourg) S.A.
5, rue Höhenhof, 1736 Senningerberg, Grand Duchy of Luxembourg
Custodian and Fund Administrator
J.P. Morgan Bank Luxembourg S.A.
European Bank & Business Centre, 6, route de Trèves, 2633 Senningerberg, Grand Duchy of
Luxembourg
Principal Legal Adviser
Elvinger Hoss Prussen
2, place Winston Churchill, 1340 Luxembourg, Grand Duchy of Luxembourg
Independent Auditor
PricewaterhouseCoopers, Société Coopérative
2, rue Gerhard Mercator, 2182 Luxembourg, Grand Duchy of Luxembourg
Investment Managers
Schroder Investment Management Limited
31, Gresham Street, London EC2V 7QA, United Kingdom
Schroder
Schroder
Schroder
Schroder
SSF International Equity
SSF Multi-Asset 80
SSF QEP Japanese Core
SSF Sterling Liquidity Plus
Schroder Investment Management North America Inc.
875 Third Avenue, 22nd Floor, New York, NY 10022- 6225, United States of America
Schroder SSF BCC Cedola Paesi Emergenti 2019
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 10
Directors’ Report
Introduction
The directors of the Company submit their report and the audited financial statements for the year ended 31 December 2016.
Activities during the year
On 31 December 2016, the total net assets of the Company were EUR 5,689,616,596 compared to EUR 5,145,346,626 on 31 December 2015,
representing an increase of 10.58%.
The following changes took effect during the year under review:
1 July 2016
1 August 2016
Reduction of maximum TA fees from 0.30% to 0.25%
Reduction of TA fees for Schroder SSF Sterling Liquidity Plus C Acc and C Dis classes from 0.10% to 0.03%
The Board of Directors
Schroder Special Situations Fund
31 December 2016
The figures stated in this report are historical and not necessarily indicative of future performance.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 11
Investment Managers’ Report
Economic review
2016 started on an uncertain footing as global investors digested the December 2015 interest rate rise from the US Federal Reserve (Fed). Mixed
US macroeconomic data, coupled with uncertainty stemming from other regions, saw the Fed keep monetary policy on hold for much of the period.
However, evidence towards the end of the year pointed to a stronger US economy - GDP grew by 3.5% (annualised) in the third quarter - and rates
were raised again in December 2016. Rebounding energy prices contributed to higher inflation expectations. The prospect of higher inflation
appeared increasingly likely following the election in November of Donald Trump as the next US president, given his pro-growth policies. The dollar
gained against other major currencies.
The eurozone economy continued its slow recovery, with quarterly GDP growth of 0.3% in both the second and third quarters. However, inflation
remained below target. The European Central Bank (ECB) eased monetary policy early in the year, increasing monthly quantitative easing (QE)
purchases to €80 billion and also including corporate bonds in the purchases. However, in December the central bank announced that it would trim
the size of monthly purchases, albeit also extending the timeframe for QE to December 2017. Political events were an important focus given the
UK’s referendum on EU membership and Italy’s constitutional referendum.
In the UK, the referendum on EU membership dominated the year. Sterling fell as the referendum date was announced in February, and took
another plunge lower after the vote to leave was confirmed in June. Prime Minister David Cameron resigned and was replaced by Theresa May. The
Bank of England (BoE) cut interest rates to 0.25% from 0.5% and re-started its quantitative easing programme, buying £60 billion of assets per
month. The impact on economic growth was more limited than had been feared – with GDP growth slowing to 0.5% in Q3 from 0.7% in Q2 although the form of the UK’s future relationship with the EU remained unclear.
In Japan, the central bank introduced a negative deposit rate of -0.1% in an effort to encourage lending as economic indicators remained weak. The
Japanese government launched a ¥4.6 trillion ($45 billion) stimulus package aimed at boosting infrastructure spending and consumption.
Subsequently, the Bank of Japan (BoJ) formulated new policy measures, including a stated intention to overshoot the 2% inflation target.
Political factors were to the fore in emerging markets as well. Brazil was in focus as increasing numbers of business and political figures were
implicated in the ‘Lava Jato’ scandal while the economy experienced its longest recession since the 1930s. The Senate formally voted to impeach
President Dilma Rousseff in September. India approved a long-awaited Goods & Services Tax in a move designed to remove a wide range of
distortions and inefficiencies. The introduction of the tax also raised hopes for further economic reform measures. However, the decision to
withdraw 500 and 1,000 rupee banknotes from circulation led to uncertainty over the economic outlook.
Elsewhere, the Russian economy remained in recession but the pace of contraction slowed, helped by a weaker currency and gains in the oil price
towards the end of the period. China’s central bank announced further easing measures in the first half of the period and these supported an
economic growth rate of 6.7% in the first, second and third quarters of 2016.
Equity market review
Global equities started 2016 on an uncertain footing reaching a trough in mid-February and then broadly gaining over the subsequent weeks. The
actions of central banks and a recovery in the oil price were important contributors to the market turnaround. Markets made a confident start to Q2
although the UK’s vote to leave the EU overshadowed other developments by the end of the period. The third quarter was largely marked by lower
volatility, supporting stockmarket gains. The US election then dominated market sentiment towards the end of the year.
Against this backdrop, global equities posted positive returns for the year, with the MSCI World index up 8.2% 1. The gradual improvement in
macroeconomic data from major economies, combined with expectations for reflationary policies in the US under Donald Trump, helped value
stocks to outperform growth.
At the regional level, US equities were strong, returning 12.0% 2, led by the energy sector as oil prices recovered over the year. UK equities
registered even higher returns in local currency, up 16.8% 3, although returns were negative in US dollar terms. The basic materials and oil & gas
sectors saw particularly strong returns, helped by the US-dollar denominated earnings of these sectors.
In the eurozone, returns were positive with Austria, France and the Netherlands leading the way. Italy posted a negative return despite a sharp rally
in December. Japanese returns were close to flat for the year. Emerging markets outperformed their developed market counterparts, returning
11.6% 4 with particular strength in the Brazilian market given hopes for political change and higher commodity prices.
1
DataStream, MSCI World index in USD.
2
DataStream, S&P 500 in USD.
3
DataStream, FTSE All-Share in GBP.
4
DataStream, MSCI EM in USD.
Page 12
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Investment Managers’ Report (cont)
Bond market review
Risk across most asset classes was shunned in the opening half of Q1 2016 amid concerns over global growth. However, a rebound in the oil price
in mid-February helped to support sentiment while key economic data points also improved. Perhaps most importantly, support from major central
banks continued. However, the UK’s EU referendum in late June ultimately overshadowed other market drivers by the end of Q2. The 10-year US
Treasury started 2016 at 2.27% but this dropped back to 1.47% at the end of the second quarter. Other government bond markets followed a
similar trajectory and German 10-year Bund yields turned negative following the UK’s Brexit vote.
Bond markets were strikingly calm in Q3, particularly when compared to the tumultuous final week of June. Markets returned to the more familiar
ground of assessing policy moves from the world’s major central banks. In the final quarter of 2016, global bond market movements were
overwhelmingly driven by political factors, notably the victory of Donald Trump in the US presidential election. Despite the volatility, expectations for
global economic growth tentatively grew more optimistic. Overall, government bond yields moved higher and yield curves steepened. The 10-year
US Treasury yield ended the year at 2.44% and German 10-year yields returned to positive territory.
Investment grade bonds outperformed government bonds over the year, returning 4.3% 5. However, high yield debt was even stronger, returning
14.8% 6.
Outlook
After a series of downgrades, Schroders’ economists have revised up their forecasts for global growth with 2016 now expected to come in at 2.6%
(previously 2.3%) and at 2.8% in 2017 (previously 2.6%). For 2017, the upgrade was largely a reflection of a more optimistic view on the emerging
markets (EM), the UK and the US.
Inflation is expected to pick up in 2017 to 2.4% from 2% in 2016, primarily led by oil price base effects in the advanced economies. The picture in
2018 is more mixed as price pressures continue to build in the US, but tend to moderate elsewhere.
For the US, our economists still expect the Fed funds rate to rise to 1.25% by end 2017. Moving into 2018, the Fed is expected to tighten further as
fiscal policy supports economic growth and with US inflation rising, policy rates are expected to end the year at 2.25%.
The BoE is expected to keep rates on hold throughout the forecast period. The ECB is also assumed to keep the deposit rate at current levels with
asset purchases to be maintained at €60 billion per month beyond the end of 2017.
The BoJ is expected to keep rates on hold, but maintain QE as, in a rising US rate environment, purchases will be needed to maintain the 10-year
Japanese government bond yield at zero. The People’s Bank of China is still expected to ease policy this year.
The Investment Managers
Schroder Special Situations Fund
31 December 2016
5
DataStream, BofA Merrill Lynch Global Corporate Index in USD.
6
DataStream, BofA Merrill Lynch Global High Yield index in USD.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 13
Notes to the Financial Statements
as at 31 December 2016
The Company
The Company is an umbrella structured open-ended investment company with limited liability, organised as a ‘société anonyme’ and qualifies as a
‘Société d’Investissement à Capital Variable’ (‘SICAV’), regulated by the provisions of Part I of the Luxembourg Law of 17 December 2010 regarding
undertaking for collective investment (the “2010” law). The Company was incorporated in Luxembourg on 7 February 1997 and its Articles were
published in the Mémorial on 11 March 1997. The Articles were last amended on 26 May 2009 and were published in the Mémorial on 16 June
2009.
Directors’ Fee
Daniel de Fernando Garcia and Marie-Jeanne Chevremont-Lorenzini each received in remuneration the amount of EUR 17,304 per annum.
Georges-Arnaud Saier received in remuneration the amount of EUR 5,000 related to services performed in 2015.
The remaining directors have waived their remuneration.
Classes of Shares
Classes of shares available for investment in each Fund during the year under review are shown below:
Fund
Class
Schroder SSF BCC Cedola Paesi Emergenti 2019
A Distribution
A Distribution EUR Hedged
Schroder SSF International Equity
I Accumulation
Schroder SSF Multi-Asset 80
C Accumulation
Schroder SSF QEP Japanese Core
C (Inst.) Distribution
C (Inst.) Distribution (GBP)
I Accumulation
I Accumulation (GBP)
Schroder SSF Sterling Liquidity Plus
C Accumulation
C Distribution
I Accumulation
I Distribution
S Accumulation
S Distribution
X Accumulation
Initial Charges
During the year under review, an initial charge of up to 1.01% of the Net Asset Value per share was attributable to the C (Inst.) Classes of Schroder
SSF QEP Japanese Core. There are no other initial charges attributable to any other classes of shares available for investment within the Company.
Redemption Charges
During the year under review, a redemption charge of up to 2.00% of the Net Asset Value per share was attributable to Schroder SSF BCC Cedola
Paesi Emergenti 2019. No redemption charge will be payable on redemptions after the end of the principal investment period. Further details on the
conditions under which redemption charges are calculated can be found in the current Prospectus.
Taxation
The Company is not subject to any taxes in Luxembourg on income or capital gains. The only tax to which the Company is subject in Luxembourg
is the ‘taxe d’abonnement’ at a rate of 0.05% per annum based on the net asset value of each Fund at the end of the relevant quarter, calculated
and paid quarterly.
In regard to any Class of Shares which comprises only to institutional investors (within the meaning of article 174 of the Law of 17 December 2010),
the tax levied is at the rate of 0.01% per annum.
Interest and dividend income received by the Company may be subject to non-recoverable withholding tax in the countries of origin.
The Company may further be subject to tax on the realised or unrealised capital appreciation of its assets in the countries of origin.
Changes in the Funds
A list specifying for each Fund the total purchases and sales, which took place during the year under review, may be obtained free of charge upon
request from the Company’s registered office.
Page 14
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Notes to the Financial Statements
as at 31 December 2016 (cont)
Minimum Subscription Amount, Minimum Additional Subscription Amount and Minimum Holding Amount
The Minimum Subscription Amounts, Minimum Additional Subscription Amount and Minimum Holding Amount for each class are set out in the
following table. The amounts are stated in relevant currency although near equivalent amounts to any other freely convertible currency are
acceptable.
These minima may be waived at the Directors’ discretion from time to time.
Fund and Class
Minimum Subscription
Amount
Minimum Additional
Subscription Amount
Minimum Holding
Amount
Schroder SSF BCC Cedola Paesi Emergenti 2019
A Distribution
A Distribution EUR Hedged
USD 1,000
EUR 1,000
No minimum amount
No minimum amount
USD 1,000
EUR 1,000
Schroder SSF International Equity
I Accumulation
USD 5,000,000
USD 2,500,000
USD 5,000,000
Schroder SSF Multi-Asset 80
C Accumulation
EUR 500,000
EUR 1,000
EUR 500,000
Schroder SSF QEP Japanese Core
C (Inst.) Distribution, C (Inst.) Distribution (GBP), I Accumulation and I Accumulation (GBP)
JPY 500,000,000
JPY 250,000,000
JPY 500,000,000
Schroder SSF Sterling Liquidity Plus
C Accumulation and C Distribution
I Accumulation and I Distribution
S Accumulation and S Distribution
X Accumulation
GBP 300,000
GBP 3,000,000
No minimum amount
GBP 25,000,000
GBP 150,000
GBP 1,500,000
No minimum amount
GBP 12,500,000
GBP 300,000
GBP 3,000,000
No minimum amount
GBP 25,000,000
Performance Fees
In accordance with the provisions of the current prospectus, the Investment Manager of Schroder SSF QEP Japanese Core is entitled to receive a
performance fee from the Fund, provided that the increase in the Net Asset Value per share over the calendar year outperforms the Topix Total
Return Index benchmark over the same period, using the benchmark without a High Water Mark principle. The performance period shall normally
be each year except in the event of underperformance, when the performance fee period will continue into the following year and thereafter in the
event of continued underperformance.
Performance fees are only applicable for two share classes, C (Inst.) Distribution and C (Inst.) Distribution (GBP).
The performance fee is 12.5% of the outperformance and is payable annually in January. Further details of the calculation of the performance fees
can be found in the current prospectus.
No performance fees are payable for the financial year under review.
Custodian and Administration fees
The Custodian and fund administrator are entitled to fees for related services rendered in accordance with common practice in Luxembourg,
payable monthly, out of the net assets of the Fund.
Net Asset Value
Calculation of Net Asset Value per Share
The Net Asset Value per share of each class is calculated on each Dealing Day in the currency of the relevant class. It is calculated by dividing the
Net Asset Value attributable to each class, being the proportionate value of its assets less its liabilities, by the number of shares of such class then in
issue. The resulting sum is rounded to the nearest two decimal places. Further details on rules that apply in valuing total assets can be found in the
current prospectus.
The Directors reserve the right to allow the Net Asset Value per share of each class to be calculated more frequently than once daily, or to otherwise
alter dealing arrangements on a permanent or temporary basis, for example, when it is considered that a material change to the market value of the
investments in one or more Funds so demands. The prospectus will be amended following any permanent alteration and shareholders will be
informed accordingly.
Valuation of the Assets of the Company
The value of securities, financial derivative instruments and assets is determined on the basis of the last available price on the stock exchange or any
other regulated market on which those securities or assets are traded or admitted for trading. Where such securities or other assets are quoted or
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 15
Notes to the Financial Statements
as at 31 December 2016 (cont)
Net Asset Value (cont)
Valuation of the Assets of the Company (cont)
dealt in on more than one stock exchange or any other regulated market, the Directors shall make regulations for the order of priority in which stock
exchanges or other regulated markets shall be used for the provision of prices of securities or other assets.
If a security is not traded on or admitted to any official stock exchange or any other regulated market or, in the case of securities so traded or
admitted, the last available price does not reflect their true value, the Directors are required to proceed on the basis of their expected sales price,
which shall be valued with prudence and in good faith.
Liquid assets and money market instruments held within the liquidity Funds are usually valued on an amortised cost basis.
The value of any cash in hand or on deposit, bills and demand notes and accounts receivable, prepaid expenses, cash dividends and interest
declared or accrued and not yet received shall be deemed to be the full amount thereof, unless in any case the same is unlikely to be paid or
received in full, in which case the value thereof shall be arrived at after making such discount as the Company may consider appropriate in such
case to reflect the true value thereof.
Financial derivative instruments which are not listed on any official stock exchange or traded on any other organised market will be valued, in a
reliable and verifiable manner on a daily basis, in accordance with market practice.
Units or shares in undertakings for collective investments shall be valued on the basis of their last available net asset value. Any assets or liabilities in
currencies other than the base currency of the Funds are converted using the relevant spot rate quoted by a bank or other responsible financial
institution.
Swaps are valued based on the underlying data (at the last available values as at the valuation point of the funds) as well as on the characteristics of
the underlying commitments.
If any of the aforesaid valuation principles do not reflect the valuation method commonly used in specific markets or if any such valuation principles
do not seem accurate for the purpose of determining the value of the Company’s assets, the Directors may fix different valuation principles in good
faith and in accordance with generally accepted valuation principles and procedures.
Swing Pricing Adjustment
A Fund may suffer dilution of the Net Asset Value per Share due to investors buying or selling Shares in a Fund at a price that does not reflect the
dealing and other costs that arise when security trades are undertaken by the Investment Manager to accommodate cash inflows or outflows.
In order to counter this impact, a Swing Pricing mechanism may be adopted to protect the interests of Shareholders of the Fund. If on any Valuation
Date, the aggregate net transactions in Shares of a Fund exceed a pre-determined threshold, as determined and reviewed for each Fund on a
periodic basis by the Management Company, the Net Asset Value per Share may be adjusted upwards or downwards to reflect net inflows and net
outflows respectively.
The net inflows and net outflows will be determined by the Management Company based on the latest available information at the time of calculation
of the Net Asset Value per Share. The extent of the price adjustment will be set by the Management Company to reflect dealing and other costs.
Such adjustment may vary from Fund to Fund and will not exceed 2% of the original Net Asset Value per Share.
The mechanism has been implemented in the Company from 24 August 2009.
No Swing Pricing adjustment was required on 30 December 2016, the last working day of the year under review.
Fair Value Pricing
In accordance with the provisions of the current prospectus, fair value pricing may be implemented to protect the interests of the Company’s
Shareholders against market timing practices. Accordingly, if a Fund is primarily invested in markets that are closed for business at the time the
Fund is valued, the Directors may, during periods of market volatility and by derogation from the provisions above under ‘Calculation of Net Asset
Value per share’, cause the Fund Administrator to allow for the Net Asset Value per share to be adjusted to reflect more accurately the fair value of
the Fund’s investments at the point of valuation.
The level of adjustment is based upon the movement in a chosen surrogate, up until the point of valuation, provided that such movement exceeds
the threshold as determined by the Directors for the relevant Fund. The surrogate will usually be in the form of a futures index but might also be a
basket of securities, which the Directors believe is strongly correlated to and representative of the performance of the Fund.
Where an adjustment is made as per the foregoing, it is applied consistently to all classes of shares in the same Fund.
During the year under review, fair value pricing was applied to 2 Funds. The Directors, however, reserve the right to extend the implementation of
fair value pricing in respect of other Funds wherever they deem it appropriate.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 16
Notes to the Financial Statements
as at 31 December 2016 (cont)
Fair Value Pricing (cont)
The Funds in relation to which fair value pricing was applied during the year under review as well as details of the relevant reference indices,
thresholds and surrogates are shown below:
Fund
Threshold
Schroder SSF International Equity
Schroder SSF QEP Japanese Core
0.50%
0.50%
Surrogate
CME S&P 500 Index Futures
CME Yen Denominated Nikkei 225 Index Futures
No fair value pricing adjustment was required on 30 December 2016, the last working day of the year under review.
Expense Subsidy
The administration fees, custodian fees, management fees, distribution fees and statutory fees are calculated and accrued daily by reference to the
Net Asset Value of the Funds and are paid monthly. These fees, as applied to the Funds during the year under review, were monitored to ensure
the total expenses incurred were not deemed to be significant relative to the Net Asset Value of the Funds by the Board of Directors. During the
year under review, the Management Company has opted to subsidise various expenses of Schroder SSF QEP Japanese Core and Schroder SSF
Sterling Liquidity Plus. The TER cap for Schroder SSF QEP Japanese Core equals 0.07% for I Accumulation and I Accumulation (GBP) share
classes and 0.30% for C (Inst.) Distribution and C (Inst.) Distribution (GBP) share classes. The TER cap for Schroder SSF Sterling Liquidity Plus
equals 0.02% for X Accumulation share class.
Management Fees
For their services, the Investment Managers are entitled to receive management fees, which are calculated and accrued daily by reference to the Net
Asset Value of the Funds and are paid monthly. The actual rates payable as at 31 December 2016, which vary from Fund to Fund and from share
class to share class are set out in the following table:
Fund
Schroder
Schroder
Schroder
Schroder
Schroder
SSF BCC Cedola Paesi Emergenti 2019
SSF International Equity
SSF Multi-Asset 80
SSF QEP Japanese Core
SSF Sterling Liquidity Plus
A
C
C
C (Inst.)
I
I
S
S
X
Dis
Acc
Dis
Dis
Acc
Dis
Acc
Dis
Acc
1.60%
-
1.35%
0.10%
0.10%
0.20%
-
0.60%
0.00%
0.00%
0.00%
0.06%
0.06%
0.00%
Total Return Swaps
The Company may use total return swaps. A total return swap is a bilateral financial contract which allows the Company to enjoy all of the cash flow
benefits of an underlying asset without actually owning this asset (the ’Reference Asset’). The Company will have to pay a periodic fee (fixed or
floating payment) in exchange of its right to receive the total return of the Reference Asset (coupons and capital gains or losses). The Reference
Asset can be almost any asset, index or basket of asset which constitutes an eligible investment for the Company.
The Company will only enter into a total return swap transaction with highly rated financial institutions specialised in this type of transaction.
In addition, the use of total return swaps must comply with the investment objectives and policies and risk profile of the relevant Fund. The total
commitments arising from the use of total return swaps together with the total commitments arising from the use of other derivative instruments may
not, at anytime, exceed the net assets of the relevant Fund.
The total return swaps were valued at the last available price on 30 December 2016. The unrealised gain or loss on total return swaps at year-end is
represented by the values of interests to be received (or paid), based on relevant swap agreements’ interest rates less (or plus, respectively), the
value of the performance to be paid (or received, respectively), based on the total return value of underlying assets, which is made of the current fair
value of equities plus the dividend distributed for such equities for the relevant swap period. The unrealised depreciation is shown in the Statement
of Net Assets under ‘Net unrealised appreciation/(depreciation) on total return swaps contracts’.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 17
Notes to the Financial Statements
as at 31 December 2016 (cont)
Total Return Swaps (cont)
On 31 December 2016, the following Fund was committed to total return swaps:
Description
Counterparty
Currency
Nominal Amount
Maturity Date
EUR
11,610,000
01-Jul-2018
Unrealised
Appreciation
Schroder SSF Multi-Asset 80
Pay Notional amount
Receive Performance of the underlying basket
BNP Paribas
224,837
EUR
224,837
Underlying basket:
Asset
Class
Cash & Government Bonds
Geographical sector
Cash
Europe
Japan
United States of America
Approximate
allocation
Unrealised
Appreciation
10%
10%
10%
2%
22,484
22,484
22,484
4,497
Commodity
United States of America
6%
13,490
Developed Equity
United States of America
Japan
United Kingdom
Europe
Germany
24%
6%
4%
3%
3%
53,960
13,490
8,993
6,745
6,745
Emerging Equity
Emerging countries
8%
17,987
High Yield Credit
Emerging countries
Global
7%
5%
15,739
11,242
Property
Europe
2%
4,497
EUR
224,837
Forward Foreign Exchange Contracts
Outstanding forward foreign exchange contracts were valued at the last available price at NAV calculation day, by reference to the forward rate of
exchange applicable to the maturity of the contracts. The unrealised appreciation/(depreciation) is shown in the Statement of Net Assets under ‘Net
unrealised appreciation/(depreciation) on forward foreign exchange contracts’.
On 31 December 2016, the following Fund was committed to outstanding forward foreign exchange contracts:
Currency Bought
Schroder SSF BCC Cedola Paesi Emergenti 2019
Share Class Hedging
EUR
417,868,647
EUR
202,593,769
Currency Sold
USD
USD
Unrealised
Appreciation/
(Depreciation)
Maturity Date
441,946,951
212,344,405
25-Jan-2017
01-Mar-2017
USD
Forward foreign exchange contracts related to share class hedging are fully collateralised.
( 780,080 )
1,877,059
1,096,979
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 18
Notes to the Financial Statements
as at 31 December 2016 (cont)
Forward Foreign Exchange Contracts (cont)
The forward foreign exchange contracts were with the following counterparties:
Fund
Unrealised
Appreciation
Counterparty
Schroder SSF BCC Cedola Paesi Emergenti 2019
Bank of America
461,575
HSBC
635,404
USD
1,096,979
Futures Contracts
Futures contracts were valued at the last available price at NAV calculation day. The unrealised depreciation is shown in the Statement of Net
Assets under ‘Net unrealised appreciation/(depreciation) on futures contracts’.
On 31 December 2016, the following Fund held open futures contracts:
Maturity Date
Quantity
Contract
Local
Currency
Market Price
Base Currency
Global Exposure
JPY
1,518
JPY
288,420,000
( 5,780,000 )
JPY
( 5,780,000 )
Unrealised (Depreciation)
Schroder SSF QEP Japanese Core
Mar 2017
19
Topix Index
Dividends
The Directors declared the following dividend during the year under review:
Record
Date
Ex-Dividend
Date
Payment
Date
Fund
Share Class
Currency
Gross
Dividend
Dividend
per Share
25-Jan-2016
26-Jan-2016
05-Feb-2016
Schroder SSF Sterling Liquidity Plus
S Distribution
GBP
0.30
0.020804
14-Dec-2016
15-Dec-2016
13-Jan-2017
Schroder SSF BCC Cedola Paesi Emergenti 2019
A Distribution
USD
42.40
2.789988
Schroder SSF BCC Cedola Paesi Emergenti 2019 EUR
Hedged
A Distribution
EUR
17,255,037.13
2.746198
Schroder SSF QEP Japanese Core
C (Inst) Distribution
JPY
3,196.81
140.766622
Schroder SSF QEP Japanese Core GBP
C (Inst) Distribution
GBP
2,747,804.43
2.147725
Schroder SSF Sterling Liquidity Plus
C Distribution
GBP
1,254.86
0.437018
Schroder SSF Sterling Liquidity Plus
I Distribution
GBP
561,752.27
0.591100
Schroder SSF Sterling Liquidity Plus
S Distribution
GBP
29,096.14
0.531730
Disclosure of Transaction Costs
The transaction costs shown in the following table are broker commission fees and taxes related to the purchase and sale of transferable securities.
Custodian transaction costs are not included in this table. The transaction costs have been reduced by the corresponding elements of the swing
pricing factors that were applied when net flows in a Fund exceeded 1% on any business day during the year under review. Bond funds will
generally show the figure of zero as the broker commission fees are included in the spread, which is excluded from the calculation pursuant to
Annex I, Schedule B, Chapter V of Directive 2009/65/EC of the European Parliament. For Schroder SSF Multi-Asset 80 the amount of transaction
costs will also show zero as they are already included in the market value of swaps held by the fund.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 19
Notes to the Financial Statements
as at 31 December 2016 (cont)
Disclosure of Transaction Costs (cont)
For the year ended 31 December 2016, the transaction costs are set out in the following table:
Fund
Currency
Commission
Other Expenses
Total
Schroder SSF BCC Cedola Paesi Emergenti 2019
USD
-
-
-
Schroder SSF International Equity
USD
35,021
8,219
43,240
Schroder SSF Multi-Asset 80
EUR
-
-
-
Schroder SSF QEP Japanese Core
JPY
16,787,448
-
16,787,448
Schroder SSF Sterling Liquidity Plus
GBP
-
-
-
Subsequent Events
As at the date of the approval of the Financial Statements, there were no significant subsequent events.
Page 20
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Audit Report
_FL
pwc
Audit Report
To the Shareholders of
Schroder Special Situations Fund
We have audited the accompanying financial statements of Schroder Special Situations Fund and of each of its sub-funds, which comprise the
statement of net assets and the portfolio of investments as at 31 December 2016 and the statement of operations and the statement of changes in
net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements.
Responsibility of the Board of Directors of the SICAV for the financial statements
The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with
Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of
Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether
due to fraud or error.
Responsibility of the "Reviseur d'entreprises agree"
Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with
International Standards on Auditing as adopted for Luxembourg by the "Commission de Surveillance du Secteur Financier". Those standards require
that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are
free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures
selected depend on the judgment of the "Reviseur d'entreprises agree", including the assessment of the risks of material misstatement of the
financial statements, whether due to fraud or error. In making those risk assessments, the "Reviseur d'entreprises agree" considers internal control
relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating
the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as
well as evaluating the overall presentation of the financial statements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Opinion
In our opinion, the financial statements give a true and fair view of the financial position of Schroder Special Situations Fund and of each of its subfunds as of 31 December 2016, and of the results of their operations and changes in their net assets for the year then ended in accordance with
Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.
Other information
The Board of Directors of Schroder Special Situations Fund is responsible for the other information. The other information comprises the information
included in the annual report but does not include the financial statements and our audit report thereon.
Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.
In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the
other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially
misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to
report this fact. We have nothing to report in this regard.
Pricewaterho seCoopers, Societe cooperative
Represente y
Bertrand Jaboulay
PricewaterhouseCoopers, Societe cooperative, 2, rue Gerhard Mercator, B.P.1443, 1014 Luxembourg
T: +352494848 1, F: +352 494848 2900, www.pwc.lu
Cabinet de revision agree. Expert-comptable (autorisation gouvernementale n°10028256)
R.C.S. Luxembourg B 65 477 - TVA LU25482518
Luxembourg, 24 March 2017
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 21
Statement of Net Assets as at
31 December 2016
Schroder SSF
BCC Cedola Paesi
Emergenti 2019
Schroder SSF
International
Equity
Schroder SSF
Multi-Asset
80
USD
USD
EUR
Securities at cost
656,072,823
44,315,356
-
Unrealised appreciation/(depreciation)
( 2,546,985 )
3,680,702
-
Securities at Market Value
653,525,838
47,996,058
-
-
ASSETS
Investments
Net unrealised appreciation/(depreciation)
on forward foreign exchange contracts
1,096,979
-
on futures contracts
-
-
-
on total return swaps contracts
-
-
224,837
654,622,817
47,996,058
224,837
408,311
1,302,024
98,998
-
-
12,126,763
Cash at banks
Amount due from broker
Receivables for securities sold
4,249,434
-
-
Hedged currency class forward contract collateral receivable
3,842,267
-
-
Net hedged currency class forward contract collateral calls receivable
1,394,919
-
-
Dividends and interest receivable
9,343,143
35,293
-
899,820
45,385
-
674,760,711
49,378,760
12,450,598
Sundry receivables and prepayments
TOTAL ASSETS
LIABILITIES
Payables for redemptions
40,827
-
-
18,360,264
-
-
Management fees payable
869,964
24,166
13,662
Other payables and accruals
905,226
11,464
3,979
TOTAL LIABILITIES
20,176,281
35,630
17,641
TOTAL NET ASSETS
654,584,430
49,343,130
12,432,957
Dividends payable
The notes on pages 13 to 19 form an integral part of these financial statements.
Page 22
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Statement of Net Assets as at
31 December 2016 (cont)
Schroder SSF
QEP
Japanese
Core
Schroder SSF
Sterling
Liquidity
Plus
Total *
JPY
GBP
EUR
24,543,725,453
4,062,650,454
5,619,421,158
3,686,110,770
711,468
31,809,798
28,229,836,223
4,063,361,922
5,651,230,956
ASSETS
Investments
Securities at cost
Unrealised appreciation/(depreciation)
Securities at Market Value
Net unrealised appreciation/(depreciation)
on forward foreign exchange contracts
on futures contracts
on total return swaps contracts
Cash at banks
-
-
1,040,432
( 5,780,000 )
-
( 46,887 )
-
-
224,837
28,224,056,223
4,063,361,922
5,652,449,338
981,920,443
10,586,290
22,079,572
Amount due from broker
-
-
12,126,763
Receivables for securities sold
-
-
4,030,383
Hedged currency class forward contract collateral receivable
-
-
3,644,205
Net hedged currency class forward contract collateral calls receivable
Dividends and interest receivable
Sundry receivables and prepayments
TOTAL ASSETS
-
-
1,323,013
39,526,491
6,173,372
16,442,637
8,348,073
286,292
1,299,355
29,253,851,230
4,080,407,876
5,713,395,266
LIABILITIES
Payables for redemptions
Dividends payable
-
-
38,722
400,985,180
592,103
21,359,763
Management fees payable
4,762,150
24,665
929,206
Other payables and accruals
5,468,984
455,464
1,450,979
411,216,314
1,072,232
23,778,670
28,842,634,916
4,079,335,644
5,689,616,596
TOTAL LIABILITIES
TOTAL NET ASSETS
* * For the total of the Statement of Net Assets, which has been presented in Euro, assets and liabilities stated in currencies other than Euro have been converted at the following exchange rates ruling as at 31
December 2016: 1 Euro = 1.054349970 US Dollar; 1 Euro = 0.854208851 British Pound; 1 Euro = 123.274598449 Japanese Yen.
The notes on pages 13 to 19 form an integral part of these financial statements.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 23
Statement of Net Assets as at
31 December 2016 (cont)
Schroder SSF
BCC Cedola Paesi
Emergenti 2019
Schroder SSF
International
Equity
Schroder SSF
Multi-Asset
80
Schroder SSF
QEP
Japanese
Core
Schroder SSF
Sterling
Liquidity
Plus
USD
USD
EUR
JPY
GBP
654,584,430
677,291,195
-
49,343,130
48,126,787
40,297,797
12,432,957
11,032,391
6,424,358
28,842,634,916
30,058,663,020
25,577,834,015
4,079,335,644
3,114,148,212
2,566,098,097
Shares Outstanding *
as at 31 December 2016
Class A Dis
Class A Dis EUR Hedged
Class C Dis
Class C Acc
Class C (Inst.) Dis
Class C (Inst.) Dis GBP
Class I Dis
Class I Acc
Class I Acc GBP
Class S Dis
Class S Acc
Class X Acc
15
6,274,953
-
2,611,217
-
116,939
-
23
1,279,402
20
15
-
2,871
2,403,921
1,014,284
21,288,637
71,649
13
9,649,923
as at 31 December 2015
Class A Dis
Class A Dis EUR Hedged
Class C Dis
Class C Acc
Class C (Inst.) Dis
Class C (Inst.) Dis GBP
Class I Dis
Class I Acc
Class I Acc GBP
Class S Dis
Class S Acc
Class X Acc
15
6,433,963
-
2,611,217
-
105,818
-
22
1,324,685
20
15
-
2,871
2,023,258
597,993
23,821,412
14
13
13
-
2,190,563
-
59,417
-
22
1,255,264
20
15
-
10
1,869,892
45,177
19,959,176
4,685
13
13
Net Asset Value
as at 31 December 2016
as at 31 December 2015
as at 31 December 2014
as at 31 December 2014
Class C Dis
Class C Acc
Class C (Inst.) Dis
Class C (Inst.) Dis GBP
Class I Dis
Class I Acc
Class I Acc GBP
Class S Dis
Class S Acc
Class X Acc
* Please refer to the ‘Classes of Shares’ section of the Notes to the Financial Statements for the naming convention used for the share classes.
The notes on pages 13 to 19 form an integral part of these financial statements.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 24
Statement of Net Assets as at
31 December 2016 (cont)
Net Asset Value per Share * **
as at 31 December 2016
Class A Dis
Class A Dis EUR Hedged
Class C Dis
Class C Acc
Class C (Inst.) Dis
Class C (Inst.) Dis GBP
Class I Dis
Class I Acc
Class I Acc GBP
Class S Dis
Class S Acc
Class X Acc
as at 31 December 2015
Class A Dis
Class A Dis EUR Hedged
Class C Dis
Class C Acc
Class C (Inst.) Dis
Class C (Inst.) Dis GBP
Class I Dis
Class I Acc
Class I Acc GBP
Class S Dis
Class S Acc
Class X Acc
as at 31 December 2014
Class C Dis
Class C Acc
Class C (Inst.) Dis
Class C (Inst.) Dis GBP
Class I Dis
Class I Acc
Class I Acc GBP
Class S Dis
Class S Acc
Class X Acc
Schroder SSF
BCC Cedola Paesi
Emergenti 2019
Schroder SSF
International
Equity
Schroder SSF
Multi-Asset
80
Schroder SSF
QEP
Japanese
Core
Schroder SSF
Sterling
Liquidity
Plus
USD
USD
EUR
JPY
GBP
100.71
98.94
-
18.90
-
106.32
-
10,132.56
156.21
11,912.76
183.95
-
104.90
116.82
105.19
119.04
105.10
117.21
119.14
97.01
96.68
-
18.43
-
104.26
-
10,199.62
127.03
11,800.96
147.22
-
104.77
116.18
105.05
118.21
104.98
116.46
118.32
-
18.40
-
108.12
-
9,158.97
109.76
10,441.26
125.31
-
104.69
115.66
104.97
117.47
104.91
115.76
117.53
Please refer to the Directors’ Report
for the details of all corporate actions
that occurred during the period under
review.
* Please refer to the ‘Classes of Shares’ section of the Notes to the Financial Statements for the naming convention used for the share classes.
** The Net Asset Value per Share of each share class is stated in the currency of the share class.
The notes on pages 13 to 19 form an integral part of these financial statements.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 25
Statement of Operations
for the Year Ended 31 December 2016
Schroder SSF
BCC Cedola
Paesi
Emergenti 2019
Schroder SSF
International
Equity
Schroder SSF
Multi-Asset
80
Schroder SSF
QEP
Japanese
Core
Schroder SSF
Sterling
Liquidity
Plus
Total *
USD
USD
EUR
JPY
GBP
EUR
Bank interest
13,239
1,079
3
45
93,339
122,853
Bond interest
38,270,669
-
-
-
23,882,314
64,256,282
Net dividends
-
759,565
-
537,136,261
-
5,077,645
Other Income
-
5,926
-
-
-
5,621
38,283,908
766,570
3
537,136,306
23,975,653
69,462,401
INCOME
Total Income
EXPENSES
361,816
51,908
13,520
17,507,286
1,020,357
1,742,441
11,253,298
281,611
155,604
53,552,948
290,526
11,870,439
Administration fees
Management fees
6,049
1
559
544,086
-
10,711
68,477
13,300
2,667
7,827,981
316,865
514,674
351,661
4,694
5,763
2,849,136
431,457
871,956
70,333
4,694
1,287
2,677,625
379,041
537,900
Total Expenses
12,111,634
356,208
179,400
84,959,062
2,438,246
15,548,121
Expense subsidy
-
-
-
3,913,711
286,292
366,902
26,172,274
410,362
(179,397)
456,090,955
21,823,699
54,281,182
Bank and interest charges
Custodian fees
Taxe d'abonnement
Other Expenses
NET INVESTMENT INCOME/(LOSS)
* For the total of the Statement of Operations, which has been presented in Euro, assets and liabilities stated in currencies other than Euro have been converted at the following exchange rates ruling as at 31
December 2016: 1 Euro = 1.054349970 US Dollar; 1 Euro = 0.854208851 British Pound; 1 Euro = 123.274598449 Japanese Yen.
The notes on pages 13 to 19 form an integral part of these financial statements.
Page 26
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Statement of Changes in Net Assets for
the Year Ended 31 December 2016
Schroder SSF
BCC Cedola
Paesi
Emergenti 2019
Schroder SSF
International
Equity
Schroder SSF
Multi-Asset
80
Schroder SSF
QEP
Japanese
Core
Schroder SSF
Sterling
Liquidity
Plus
Total *
USD
USD
EUR
JPY
GBP
EUR
26,172,274
410,362
(179,397)
456,090,955
21,823,699
54,281,182
Net realised gains/(losses)
on securities sold
on futures contracts
on total return swaps contracts
on forward foreign exchange contracts
on foreign exchange on other net assets
(1,037,773)
(12,152,743)
(17,120,394)
(1,720,753)
1,006
14,976
190,278
-
604,186,224
(16,742,146)
9,148
5,069,183
3,241,011
-
6,078,980
(135,812)
190,278
(11,525,261)
(16,182,541)
NET REALISED PROFIT/(LOSS)
(30,310,910)
(1,704,771)
190,278
592,522,409
3,241,011
(21,574,356)
20,391,653
(3,175,576)
131,606
2,508,104
2,648
234,867
-
(904,960,119)
(9,305,000)
(5,070,255)
1,144,262
-
15,717,860
(75,482)
234,867
(3,011,880)
86,204
17,347,683
2,510,752
234,867
(919,335,374)
1,144,262
12,951,569
13,209,047
1,216,343
245,748
129,277,990
26,208,972
45,658,395
Net proceeds from issue of shares
Payment for shares redeemed
79,963
(17,635,511)
-
1,275,907
(121,089)
1,117,377,740
(2,061,698,654)
12,702,331,835
(11,762,761,271)
14,880,704,128
(13,803,929,475)
Dividends declared for the year from
net investment income
(18,360,264)
-
-
(400,985,180)
(592,104)
(21,359,764)
Increase/(decrease) in Net Assets for the Year
(22,706,765)
1,216,343
1,400,566
(1,216,028,104)
965,187,432
1,101,073,284
Net Assets at the beginning of the year ***
677,291,195
48,126,787
11,032,391
30,058,663,020
3,114,148,212
4,588,543,312
NET ASSETS AT THE END OF THE YEAR
654,584,430
49,343,130
12,432,957
28,842,634,916
4,079,335,644
5,689,616,596
NET INVESTMENT INCOME/(LOSS) **
Net change in unrealised appreciation/(depreciation)
on investments
on futures contracts
on total return swaps contracts
on forward foreign exchange contracts
on foreign exchange on other net assets
NET CHANGE IN UNREALISED
APPRECIATION/(DEPRECIATION)
NET CHANGE IN TOTAL NET ASSETS AS
A RESULT OF OPERATIONS
* For the total of the Statement of Changes in Net Assets, which has been presented in Euro, assets and liabilities stated in currencies other than Euro have been converted at the following exchange rates ruling
as at 31 December 2016: 1 Euro = 1.054349970 US Dollar; 1 Euro = 0.854208851 British Pound; 1 Euro = 123.274598449 Japanese Yen.
** Please see the Statement of Operations for the calculation of Net Investment Income/(Loss).
*** The opening balance was combined using the foreign exchange rates as at 31 December 2016. The same net assets combined using the foreign exchange rates as at 31 December 2015 reflected a figure
of EUR 5,145,346,626.
The notes on pages 13 to 19 form an integral part of these financial statements.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 27
Distribution of Investments by Industry
Schroder SSF
BCC Cedola Paesi
Emergenti 2019
%
Schroder SSF
International
Equity
%
Schroder SSF
Multi-Asset
80
%
Schroder SSF
QEP
Japanese
Core
%
Schroder SSF
Sterling
Liquidity
Plus
%
99.84
-
-
-
-
57.31
42.30
-
2.80
16.35
4.00
1.01
2.83
1.15
3.52
1.36
2.29
1.35
4.05
3.06
7.93
6.89
3.08
2.50
10.14
1.20
3.71
1.07
5.57
2.53
2.03
3.41
1.17
2.27
-
-
0.03
1.70
13.82
8.88
2.04
0.40
1.30
5.88
2.48
0.30
0.36
4.39
2.09
1.03
6.31
0.79
2.27
1.88
0.08
2.61
4.33
2.47
3.16
1.72
0.15
1.44
0.22
0.07
0.10
3.69
2.00
0.11
3.28
0.83
0.56
6.86
0.30
3.28
0.82
2.79
1.06
-
99.84
97.27
-
97.88
99.61
Other Net Assets
0.16
2.73
100.00
2.12
0.39
Total Net Assets
100.00
100.00
100.00
100.00
100.00
Bonds, Commercial Papers, Assets and
Mortgage Backed Securities
Money Markets Instruments - Assimilated to Cash
Other Securities
Agricultural Operations
Appliances & Household Durables
Automobiles
Banking
Beverages & Tobacco
Broadcasting & Cable TV
Building Materials & Components
Chemicals
Commercial Services
Computer Software & Services
Computer Storage & Peripherals
Construction & Housing
Diversified Metals & Mining
Electrical & Electronics
Electronic Components & Instruments
Energy Equipment & Services
Financial Services
Food & Household Products
Forest Products & Paper
Health & Personal Care
Industrial Components
Insurance
Internet Software & Services
Leisure & Tourism
Marine Ports & Services
Misc. Materials & Commodities
Movies & Entertainment
Oil & Gas Exploration & Production
Packaging & Containers
Pharmaceuticals
Real Estate
Real Estate Management & Development
Retail
Semiconductors
Systems Software
Telecommunications
Textile & Apparel
Trading Companies & Distributors
Transportation - Airlines
Transportation - Road & Rail
Utilities - Electrical & Gas
Investments portfolio as a percentage of Net Assets
The notes on pages 13 to 19 form an integral part of these financial statements.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 28
Portfolio of Investments as at 31
December 2016
Schroder SSF BCC Cedola Paesi
Emergenti 2019
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Belarus
USD
17,110,000
Belarus Government Bond, Reg. S
8.95% 26/01/2018
12,540,000
Petrobras Global Finance BV 7.875%
15/03/2019
19,470,000
Corp. Nacional del Cobre de Chile, Reg.
S 7.5% 15/01/2019
Brazil
USD
Chile
USD
China
Schroder SSF BCC Cedola Paesi
Emergenti 2019 (cont)
Market
Value
USD
%
Net
Assets
Number of shares
or Principal
Amount
17,826,652
2.72
Russia (cont)
17,826,652
2.72
USD
10,425,000
13,507,336
2.06
USD
13,507,336
2.06
21,415,150
3.27
21,415,150
3.27
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Market
Value
USD
%
Net
Assets
Gazprom OAO, Reg. S 9.25%
23/04/2019
11,831,645
1.81
11,865,000
Gazprombank OJSC, Reg. S 7.25%
03/05/2019
12,675,854
1.94
USD
24,400,000
Russian Foreign Bond - Eurobond, Reg.
S 3.5% 16/01/2019
24,845,178
3.79
USD
4,720,000
4,883,123
0.75
USD
25,600,000
Vnesheconombank, Reg. S 4.224%
21/11/2018
25,938,560
3.96
28,545,297
4.36
26,335,000
South Africa Government Bond 6.875%
27/05/2019
28,545,297
4.36
VimpelCom Holdings BV, Reg. S 5.2%
13/02/2019
71,467,519
10.92
USD
3,400,000
Century Master Investment Co. Ltd.,
Reg. S 4.75% 19/09/2018
3,532,855
0.54
USD
5,355,000
China Aoyuan Property Group Ltd., Reg.
S 6.525% 25/04/2019
5,420,379
0.83
13,424,557
2.05
USD
1,000,000
China Mengniu Dairy Co. Ltd., Reg. S
3.5% 27/11/2018
1,022,800
0.15
USD
3,295,000
Korea East-West Power Co. Ltd., Reg. S
2.625% 27/11/2018
3,330,998
0.51
USD
5,070,000
Logan Property Holdings Co. Ltd., Reg.
S 9.75% 08/12/2017
5,344,845
0.82
USD
3,270,000
Korea Hydro & Nuclear Power Co. Ltd.,
Reg. S 2.875% 02/10/2018
3,325,433
0.51
USD
16,810,000
Sinochem Offshore Capital Co. Ltd.,
Reg. S 3.25% 29/04/2019
17,072,656
2.61
USD
3,275,000
Korea Western Power Co. Ltd., Reg. S
2.875% 10/10/2018
3,321,849
0.51
USD
17,165,000
Sinopec Group Overseas Development
2014 Ltd., Reg. S 2.75% 10/04/2019
17,333,990
2.65
USD
3,388,000
Woori Bank, Reg. S 2.875% 02/10/2018
3,446,277
0.52
USD
16,870,000
State Grid Overseas Investment 2014
Ltd., Reg. S 2.75% 07/05/2019
17,097,323
2.61
Sri Lanka
42,353,233
6.47
USD
6,900,000
6,934,293
1.06
Yingde Gases Investment Ltd., Reg. S
8.125% 22/04/2018
4,642,671
0.71
Bank of Ceylon, Reg. S 5.325%
16/04/2018
USD
12,700,000
2.05
2.64
National Savings Bank, Reg. S 8.875%
18/09/2018
13,440,854
17,289,681
14,974,221
2.29
USD
21,700,000
Sri Lanka Government Bond, Reg. S
5.125% 11/04/2019
21,978,086
3.36
2,315,460
0.35
68,884,316
10.52
USD
17,200,000
Export Credit Bank of Turkey, Reg. S
5.875% 24/04/2019
17,599,556
2.69
USD
4,745,000
Finansbank AS, Reg. S 6.25%
30/04/2019
4,911,858
0.75
USD
29,135,000
Turkey Government Bond 7%
11/03/2019
31,001,097
4.73
USD
5,400,000
Turkiye Is Bankasi, Reg. S 5.5%
21/04/2019
5,457,996
0.83
USD
4,930,000
Turkiye Vakiflar Bankasi TAO, Reg. S 5%
31/10/2018
4,959,136
0.76
USD
4,925,000
Yapi ve Kredi Bankasi AS, Reg. S 5.25%
03/12/2018
4,954,673
0.76
5,455,716
0.83
5,455,716
0.83
17,997,400
2.75
USD
5,305,000
Colombia
USD
13,450,000
USD
2,245,000
Colombia Government Bond 7.375%
18/03/2019
Ecopetrol SA 4.25% 18/09/2018
India
USD
5,245,000
Vedanta Resources plc, Reg. S 6%
31/01/2019
Kazakhstan
USD
27,980,000
KazMunayGas National Co. JSC, Reg. S
9.125% 02/07/2018
Lebanon
USD
7,000,000
USD
13,910,000
Lebanon Government Bond 5.5%
23/04/2019
Lebanon Government Bond, Reg. S 6%
20/05/2019
Mexico
USD
South Korea
5,275,867
0.81
5,275,867
0.81
30,464,344
4.66
30,464,344
4.66
20,838,846
3.18
6,939,905
1.06
13,898,941
2.12
7,824,061
1.20
Turkey
United Arab Emirates
USD
2,330,000
Coca-Cola Femsa SAB de CV 2.375%
26/11/2018
2,346,776
0.36
USD
5,300,000
Credito Real SAB de CV SOFOM ER,
Reg. S 7.5% 13/03/2019
5,477,285
0.84
Mongolia
South Africa
USD
5,600,000
Topaz Marine SA, Reg. S 8.625%
01/11/2018
United States of America
USD
18,000,000
US Treasury Bill 0% 12/01/2017
17,997,400
2.75
527,620,634
80.60
Transferable Securities and Money
Market Instruments dealt on another
Regulated Market
Market
Value
USD
%
Net
Assets
5,458,100
0.83
5,000,000
YPF SA, Reg. S 8.875% 19/12/2018
5,458,100
0.83
Total Transferable Securities and Money Market Instruments
Admitted to an Official Exchange Listing
28,481,441
4.35
USD
7,100,000
Development Bank of Mongolia LLC,
Reg. S 5.75% 21/03/2017
6,975,721
1.07
USD
22,260,000
Mongolia Government Bond, Reg. S
4.125% 05/01/2018
21,505,720
3.28
21,274,580
3.25
20,865,000
Nigeria Government Bond, Reg. S
5.125% 12/07/2018
21,274,580
3.25
7,117,758
1.09
Brazil
57,042,258
8.72
7,117,758
1.09
USD
26,280,000
Banco Nacional de Desenvolvimento
Economico e Social, Reg. S 4%
14/04/2019
26,513,629
4.05
3,331,002
0.51
USD
24,900,000
3.81
0.51
Caixa Economica Federal, Reg. S 4.25%
13/05/2019
24,945,567
3,331,002
USD
5,305,000
Marfrig Holdings Europe BV, Reg. S
8.375% 09/05/2018
5,583,062
0.86
10,107,950
1.54
5,000,000
Banco de Costa Rica, Reg. S 5.25%
12/08/2018
5,055,050
0.77
Nigeria
USD
Pakistan
USD
6,700,000
Pakistan Government Bond, Reg. S
7.25% 15/04/2019
3,310,000
QNB Finance Ltd., Reg. S 2.75%
31/10/2018
Qatar
USD
Russia
USD
4,500,000
Evraz Group SA, Reg. S 6.75%
27/04/2018
84,845,878
12.96
4,671,518
0.71
The notes on pages 13 to 19 form an integral part of these financial statements.
Number of shares
or Principal
Amount
Argentina
USD
Costa Rica
USD
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 29
Portfolio of Investments as at 31
December 2016 (cont)
Schroder SSF BCC Cedola Paesi
Emergenti 2019 (cont)
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments dealt on another
Regulated Market
Schroder SSF International Equity
Market
Value
USD
%
Net
Assets
5,052,900
0.77
49,781,566
7.61
Costa Rica (cont)
USD
5,000,000
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Belgium
Banco Nacional de Costa Rica, Reg. S
4.875% 01/11/2018
EUR
7,153
BRL
USD
15,600,000
Mexico Government Bond 5.95%
19/03/2019
16,889,730
2.58
USD
15,655,000
Petroleos Mexicanos 3.125%
23/01/2019
15,562,949
2.38
USD
USD
15,800,000
Petroleos Mexicanos 8% 03/05/2019
17,328,887
2.65
France
United States of America
USD
3,500,000
Hyundai Capital America, Reg. S 2.55%
06/02/2019
Total Transferable Securities and Money Market Instruments
dealt on another Regulated Market
Total Investments
Other Net Assets
Net Asset Value
50,800
445,341
0.90
445,341
0.90
688,009
1.39
Telefonica Brasil SA Preference
688,009
1.39
433,594
0.88
Alibaba Group Holding Ltd., ADR
433,594
0.88
China
4,965
EUR
10,420
%
Net
Assets
KBC Group NV
Brazil
Mexico
Market
Value
USD
BNP Paribas SA
2,115,620
4.29
664,234
1.35
3,515,330
0.54
EUR
5,805
Danone SA
367,842
0.75
3,515,330
0.54
EUR
3,041
LVMH Moet Hennessy Louis Vuitton SE
578,573
1.17
EUR
7,271
Schneider Electric SE
504,971
1.02
125,905,204
19.24
653,525,838
99.84
1,058,592
0.16
654,584,430
100.00
Germany
5.35
EUR
8,130
BASF SE
756,981
1.54
EUR
6,185
Bayerische Motoren Werke AG
578,752
1.17
EUR
4,151
Continental AG
803,983
1.63
EUR
5,334
HeidelbergCement AG
498,447
1.01
700,668
1.42
AIA Group Ltd.
700,668
1.42
543,638
1.10
8,937
HDFC Bank Ltd., ADR
543,638
1.10
566,858
1.15
6,665
Check Point Software Technologies Ltd.
566,858
1.15
Hong Kong SAR
HKD
124,200
India
USD
Israel
USD
Mexico
MXN
355,971
0.72
71,719
Grupo Financiero Banorte SAB de CV
'O'
355,971
0.72
913,090
1.85
49,370
Statoil ASA
913,090
1.85
435,318
0.88
13,112
Jardine Strategic Holdings Ltd.
435,318
0.88
696,517
1.41
NAVER Corp.
696,517
1.41
415,386
0.84
61,703
Banco Bilbao Vizcaya Argentaria SA
415,386
0.84
476,643
0.97
25,400
Assa Abloy AB 'B'
476,643
0.97
13,997
Nestle SA
Norway
NOK
Singapore
USD
South Korea
KRW
1,082
Spain
EUR
Sweden
SEK
Switzerland
CHF
Taiwan
TWD
179,000
Taiwan Semiconductor Manufacturing
Co. Ltd.
Thailand
THB
1,005,771
2.04
1,005,771
2.04
1,001,125
2.03
1,001,125
2.03
440,402
0.89
440,402
0.89
88,800
Kasikornbank PCL, NVDR
3,308,862
6.71
GBP
41,534
BHP Billiton plc
669,783
1.36
GBP
913,048
Lloyds Banking Group plc
704,472
1.43
GBP
26,604
Prudential plc
534,427
1.08
GBP
10,156
Reckitt Benckiser Group plc
863,198
1.75
GBP
9,288
Shire plc
536,982
1.09
United Kingdom
United States of America
The notes on pages 13 to 19 form an integral part of these financial statements.
2,638,163
30,815,082
62.45
USD
1,943
Alphabet, Inc. 'A'
1,559,996
3.16
USD
1,396
Amazon.com, Inc.
1,068,149
2.17
USD
5,575
Amgen, Inc.
USD
8,677
Apple, Inc.
USD
6,973
Ball Corp.
527,786
1.07
USD
15,852
Cabot Oil & Gas Corp.
360,474
0.73
USD
5,993
Celgene Corp.
700,762
1.42
823,874
1.67
1,012,866
2.05
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 30
Portfolio of Investments as at 31
December 2016 (cont)
Schroder SSF International Equity (cont)
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Schroder SSF Multi-Asset 80
Market
Value
USD
%
Net
Assets
863,315
1.75
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Market
Value
EUR
%
Net
Assets
United States of America (cont)
USD
6,333
USD
27,223
Cimarex Energy Co.
Citigroup, Inc.
USD
10,342
Colgate-Palmolive Co.
USD
20,624
Comcast Corp. 'A'
USD
11,100
Dow Chemical Co. (The)
USD
9,288
USD
USD
USD
1,616,502
3.28
681,434
1.38
1,445,536
2.93
637,362
1.29
Eaton Corp. plc
627,962
1.27
9,257
Estee Lauder Cos., Inc. (The) 'A'
715,288
1.45
4,081
Facebook, Inc. 'A'
474,824
0.96
12,308
Fortive Corp.
664,755
1.35
USD
31,019
Hewlett Packard Enterprise Co.
723,983
1.47
USD
13,776
Ingersoll-Rand plc
1,041,052
2.11
USD
19,545
JPMorgan Chase & Co.
1,678,720
3.40
USD
12,180
0.85
USD
8,438
USD
Kroger Co. (The)
421,306
Medtronic plc
603,655
1.22
12,811
Mondelez International, Inc. 'A'
574,445
1.16
USD
12,836
Occidental Petroleum Corp.
919,058
1.86
USD
21,103
Pfizer, Inc.
685,636
1.39
USD
11,093
salesforce.com, Inc.
767,081
1.56
Schlumberger Ltd.
773,209
1.57
Starbucks Corp.
590,234
1.20
USD
9,183
USD
10,480
USD
5,153
Thermo Fisher Scientific, Inc.
729,046
1.48
USD
5,019
TJX Cos., Inc. (The)
379,988
0.77
USD
17,156
T-Mobile US, Inc.
995,906
2.02
USD
10,715
Union Pacific Corp.
1,118,860
2.27
USD
8,401
UnitedHealth Group, Inc.
1,352,897
2.74
USD
23,512
US Bancorp
1,206,166
2.44
USD
13,732
Visa, Inc. 'A'
1,075,628
2.18
USD
10,412
Walgreens Boots Alliance, Inc.
869,194
1.76
USD
5,051
Walt Disney Co. (The)
528,133
1.07
Total Transferable Securities and Money Market Instruments
Admitted to an Official Exchange Listing
47,996,058
97.27
Total Investments
47,996,058
97.27
Other Net Assets
1,347,072
2.73
Net Asset Value
49,343,130
100.00
The notes on pages 13 to 19 form an integral part of these financial statements.
Total Investments
-
-
Other Net Assets
12,432,957
100.00
Net Asset Value
12,432,957
100.00
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 31
Portfolio of Investments as at 31
December 2016 (cont)
Schroder SSF QEP Japanese Core
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Japan
Schroder SSF QEP Japanese Core (cont)
Market
Value
JPY
%
Net
Assets
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Market
Value
JPY
%
Net
Assets
28,229,836,223
97.88
150,274,000
0.52
JPY
11,000
Daiichi Jitsugyo Co. Ltd.
7,359,000
0.03
59,085,000
0.20
JPY
40,200
Dai-ichi Life Holdings, Inc.
78,229,200
0.27
Japan (cont)
JPY
22,700
ABC-Mart, Inc.
JPY
19,500
Adastria Co. Ltd.
JPY
31,500
ADEKA Corp.
50,085,000
0.17
JPY
15,700
Daiichi Sankyo Co. Ltd.
37,546,550
0.13
JPY
14,800
Aeon Co. Ltd.
24,508,800
0.09
JPY
6,300
Dai-ichi Seiko Co. Ltd.
8,284,500
0.03
JPY
33,700
Aica Kogyo Co. Ltd.
103,964,500
0.36
JPY
15,700
Daikin Industries Ltd.
168,539,500
0.58
JPY
1,200
Aichi Bank Ltd. (The)
7,920,000
0.03
JPY
18,000
11,340,000
0.04
JPY
2,900
Aichi Steel Corp.
14,239,000
0.05
Dainichiseika Color & Chemicals
Manufacturing Co. Ltd.
JPY
6,900
Airport Facilities Co. Ltd.
3,967,500
0.01
JPY
6,100
Daito Trust Construction Co. Ltd.
107,238,000
0.37
JPY
12,100
Aisan Industry Co. Ltd.
12,112,100
0.04
JPY
39,700
Daiwa House Industry Co. Ltd.
126,881,200
0.44
JPY
15,000
Aisin Seiki Co. Ltd.
76,050,000
0.26
JPY
18,000
Daiwa Industries Ltd.
JPY
2,000
Ajinomoto Co., Inc.
4,708,000
0.02
JPY
164,000
JPY
2,900
Ajis Co. Ltd.
15,892,000
0.06
JPY
14,500
JPY
23,000
Akita Bank Ltd. (The)
8,694,000
0.03
JPY
8,500
JPY
43,000
Alfresa Holdings Corp.
83,162,000
0.29
JPY
JPY
22,900
Amano Corp.
47,013,700
0.16
JPY
JPY
1,400
5,460,000
0.02
JPY
100,000
JPY
3,700
JPY
277,000
JPY
4,800
Arcland Sakamoto Co. Ltd.
JPY
4,900
JPY
JPY
JPY
17,300
Arisawa Manufacturing Co. Ltd.
JPY
13,200
Artnature, Inc.
Amiyaki Tei Co. Ltd.
Daiwa Securities Group, Inc.
73,413,500
0.25
13,464,000
0.05
67,000
Dowa Holdings Co. Ltd.
59,898,000
0.21
13,300
DTS Corp.
33,117,000
0.11
JPY
21,300
East Japan Railway Co.
215,130,000
0.75
31,480,000
0.11
JPY
8,600
Eisai Co. Ltd.
11,229,500
0.04
JPY
3,000
Elematec Corp.
114,401,000
0.40
JPY
19,500
6,523,200
0.02
JPY
10,200
Arcland Service Holdings Co. Ltd.
14,072,800
0.05
JPY
20,100
7,700
Arcs Co. Ltd.
20,274,100
0.07
JPY
110,800
2,000
Argo Graphics, Inc.
4,704,000
0.02
JPY
2,300
11,141,200
0.04
JPY
9,000
FANUC Corp.
9,345,600
0.03
JPY
100
JPY
4,700
3,285,300
0.01
JPY
39,400
JPY
73,800
Asahi Diamond Industrial Co. Ltd.
62,951,400
0.22
JPY
101
JPY
22,700
Asahi Group Holdings Ltd.
83,763,000
0.29
JPY
23,500
Asahi Holdings, Inc.
47,728,500
0.17
JPY
95,000
Asahi Kasei Corp.
96,852,500
0.34
JPY
2,000
Asante, Inc.
3,490,000
0.01
JPY
9,700
Asia Pile Holdings Corp.
5,179,800
0.02
JPY
223,500
362,852,250
1.26
JPY
16,000
Asti Corp.
JPY
37,500
Avex Group Holdings, Inc.
JPY
51,000
Awa Bank Ltd. (The)
36,414,000
0.13
JPY
24,500
Bandai Namco Holdings, Inc.
79,012,500
0.27
JPY
30,500
Bando Chemical Industries Ltd.
31,628,500
0.11
JPY
167,000
144,956,000
0.50
Astellas Pharma, Inc.
Bank of Kyoto Ltd. (The)
6,416,000
0.02
63,075,000
0.22
JPY
3,800
Bank of Nagoya Ltd. (The)
15,789,000
0.05
JPY
10,000
Benefit One, Inc.
28,990,000
0.10
JPY
11,300
BML, Inc.
31,481,800
0.11
JPY
75,400
Bridgestone Corp.
317,735,600
1.10
JPY
79,900
Brother Industries Ltd.
168,509,100
0.58
JPY
17,700
Bunka Shutter Co. Ltd.
15,965,400
0.06
JPY
20,900
Canon Electronics, Inc.
36,825,800
0.13
JPY
34,100
Canon Marketing Japan, Inc.
67,040,600
0.23
JPY
105,800
348,611,000
1.21
JPY
3,000
Career Design Center Co. Ltd.
3,810,000
0.01
JPY
3,000
Central Automotive Products Ltd.
3,186,000
0.01
JPY
17,900
Central Japan Railway Co.
344,217,000
1.19
JPY
13,600
Chiyoda Integre Co. Ltd.
32,028,000
0.11
JPY
17,600
Chubu Electric Power Co., Inc.
28,740,800
0.10
JPY
6,100
6,197,600
0.02
JPY
16,000
Chudenko Corp.
41,296,000
0.14
JPY
41,000
Chugoku Marine Paints Ltd.
35,301,000
0.12
JPY
44,400
Citizen Watch Co. Ltd.
31,035,600
0.11
JPY
5,700
cocokara fine, Inc.
24,481,500
0.08
JPY
67,700
COLOPL, Inc.
67,158,400
0.23
JPY
11,300
Comture Corp.
37,007,500
0.13
JPY
43,900
Create SD Holdings Co. Ltd.
109,881,700
0.38
JPY
97,000
Dai Nippon Printing Co. Ltd.
112,035,000
0.39
JPY
114,500
Daicel Corp.
147,705,000
0.51
JPY
85,000
41,140,000
0.14
JPY
6,500
4,628,000
0.02
Canon, Inc.
Chubu Shiryo Co. Ltd.
Daido Steel Co. Ltd.
Daihatsu Diesel Manufacturing Co. Ltd.
The notes on pages 13 to 19 form an integral part of these financial statements.
0.41
Denso Corp.
ANA Holdings, Inc.
Asahi Broadcasting Corp.
0.06
118,129,200
Denyo Co. Ltd.
AOI Electronics Co. Ltd.
Aozora Bank Ltd.
15,984,000
57,688,800
0.20
5,493,000
0.02
en-japan, Inc.
40,852,500
0.14
Enplas Corp.
35,190,000
0.12
EPS Holdings, Inc.
27,376,200
0.09
F@N Communications, Inc.
82,102,800
0.28
FALCO HOLDINGS Co. Ltd.
3,383,300
0.01
178,335,000
0.62
Fast Retailing Co. Ltd.
4,183,000
0.01
Foster Electric Co. Ltd.
87,192,200
0.30
Frontier Real Estate Investment Corp.,
REIT
50,449,500
0.17
JPY
9,000
JPY
76,000
Fuji Electric Co. Ltd.
JPY
68,900
Fuji Heavy Industries Ltd.
JPY
10,500
Fuji Kiko Co. Ltd.
JPY
36,500
Fuji Media Holdings, Inc.
JPY
9,500
JPY
47,300
JPY
6,600
JPY
13,000
JPY
FTGroup Co. Ltd.
Fujibo Holdings, Inc.
FUJIFILM Holdings Corp.
0.02
0.16
328,790,800
1.14
5,208,000
0.02
59,714,000
0.21
31,540,000
0.11
209,775,500
0.73
4,336,200
0.02
Fujitec Co. Ltd.
17,797,000
0.06
9,700
Fujitsu Frontech Ltd.
14,239,600
0.05
JPY
10,000
Fujitsu General Ltd.
24,740,000
0.09
JPY
3,800
FuKoKu Co. Ltd.
3,534,000
0.01
JPY
3,000
Fukuda Denshi Co. Ltd.
19,350,000
0.07
JPY
10,900
Funai Electric Co. Ltd.
10,028,000
0.03
JPY
2,400
Furyu Corp.
7,956,000
0.03
JPY
12,200
Futaba Corp.
23,936,400
0.08
JPY
19,300
Future Corp.
13,992,500
0.05
JPY
8,000
Gecoss Corp.
8,880,000
0.03
JPY
43,400
Geo Holdings Corp.
59,110,800
0.21
JPY
14,500
Goldcrest Co. Ltd.
30,493,500
0.11
JPY
14,500
JPY
339,000
JPY
7,100
JPY
177,600
JPY
JPY
Fujikura Kasei Co. Ltd.
6,390,000
46,056,000
G-Tekt Corp.
32,944,000
0.11
GungHo Online Entertainment, Inc.
84,411,000
0.29
16,507,500
0.06
Hachijuni Bank Ltd. (The)
120,412,800
0.42
4,600
Hagihara Industries, Inc.
11,969,200
0.04
1,800
Hakudo Co. Ltd.
2,543,400
0.01
JPY
4,300
Hakuto Co. Ltd.
4,472,000
0.02
JPY
8,200
Hankyu Hanshin Holdings, Inc.
30,750,000
0.11
JPY
5,200
Hard Off Corp. Co. Ltd.
6,375,200
0.02
JPY
76,100
Haseko Corp.
90,482,900
0.31
JPY
44,000
Hazama Ando Corp.
33,924,000
0.12
JPY
34,200
Heiwa Corp.
91,382,400
0.32
JPY
9,800
Helios Techno Holding Co. Ltd.
4,998,000
0.02
JPY
4,600
HI-LEX Corp.
13,560,800
0.05
JPY
63,200
Hino Motors Ltd.
75,208,000
0.26
JPY
16,500
Hiroshima Gas Co. Ltd.
6,171,000
0.02
JPY
6,600
JPY
52,600
Gurunavi, Inc.
Hisaka Works Ltd.
Hitachi Chemical Co. Ltd.
5,821,200
0.02
153,749,800
0.53
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 32
Portfolio of Investments as at 31
December 2016 (cont)
Schroder SSF QEP Japanese Core (cont)
Schroder SSF QEP Japanese Core (cont)
Number of shares
or Principal
Amount
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Market
Value
JPY
%
Net
Assets
79,212,000
0.27
JPY
23,500
Kuraray Co. Ltd.
41,266,000
0.14
Hitachi Ltd.
112,496,000
0.39
JPY
35,400
Kuroda Electric Co. Ltd.
81,809,400
0.28
Hitachi Metals Ltd.
120,067,200
0.42
JPY
16,500
Kyocera Corp.
95,898,000
0.33
7,415,200
0.03
JPY
17,000
Kyodo Printing Co. Ltd.
6,800,000
0.02
Japan (cont)
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Market
Value
JPY
%
Net
Assets
Japan (cont)
JPY
16,800
JPY
178,000
JPY
75,800
JPY
5,200
JPY
111,800
JPY
7,900
JPY
Hitachi High-Technologies Corp.
Hochiki Corp.
381,797,000
1.32
JPY
11,800
Lasertec Corp.
26,939,400
0.09
H-One Co. Ltd.
Honda Motor Co. Ltd.
8,389,800
0.03
JPY
20,700
Lawson, Inc.
169,947,000
0.59
13,000
Hosokawa Micron Corp.
9,802,000
0.03
JPY
27,900
Lintec Corp.
71,228,700
0.25
JPY
24,000
Hoya Corp.
117,864,000
0.41
JPY
23,000
Look, Inc.
JPY
56,000
Hyakugo Bank Ltd. (The)
26,600,000
0.09
JPY
27,300
M3, Inc.
JPY
31,500
Ibiden Co. Ltd.
49,549,500
0.17
JPY
60,000
JPY
2,000
4,526,000
0.02
JPY
5,900
Mars Engineering Corp.
JPY
30,200
66,953,400
0.23
JPY
7,000
Maruwa Co. Ltd.
27,090,000
0.09
JPY
5,800
Imasen Electric Industrial
5,811,600
0.02
JPY
10,000
4,560,000
0.02
JPY
6,800
Inaba Denki Sangyo Co. Ltd.
27,370,000
0.09
JPY
58,300
JPY
4,100
Inaba Seisakusho Co. Ltd.
5,526,800
0.02
JPY
2,500
Icom, Inc.
Iida Group Holdings Co. Ltd.
JPY
10,600
JPY
149,200
Inabata & Co. Ltd.
JPY
3,000
Intage Holdings, Inc.
JPY
4,700
Interworks, Inc.
JPY
9,700
I-O Data Device, Inc.
JPY
149,900
JPY
24,400
Itoki Corp.
JPY
45,000
Iwasaki Electric Co. Ltd.
JPY
159,100
Iyo Bank Ltd. (The)
JPY
55,700
Japan Airlines Co. Ltd.
JPY
33,300
Japan Exchange Group, Inc.
JPY
20,500
Japan Petroleum Exploration Co. Ltd.
JPY
66,400
Japan Post Bank Co. Ltd.
JPY
55,500
Japan Post Holdings Co. Ltd.
JPY
12,900
Japan Property Management Center Co.
Ltd.
JPY
114,800
JPY
11,300
JPY
2,500
JPY
Inpex Corp.
ITOCHU Corp.
Japan Tobacco, Inc.
Japan Wool Textile Co. Ltd. (The)
13,663,400
0.05
JPY
13,000
174,713,200
0.61
JPY
5,000
5,937,000
0.02
JPY
85,900
Maeda Road Construction Co. Ltd.
Maruzen Showa Unyu Co. Ltd.
Marvelous, Inc.
Matsuda Sangyo Co. Ltd.
Matsui Construction Co. Ltd.
Max Co. Ltd.
Mazda Motor Corp.
3,864,000
0.01
80,398,500
0.28
117,300,000
0.41
13,269,100
0.05
45,182,500
0.16
3,757,500
0.01
13,806,000
0.05
7,140,000
0.02
164,240,800
0.57
4,826,900
0.02
JPY
17,400
MCJ Co. Ltd.
19,975,200
0.07
11,727,300
0.04
JPY
4,000
MEIJI Holdings Co. Ltd.
36,640,000
0.13
232,644,800
0.81
JPY
43,100
Meisei Industrial Co. Ltd.
24,567,000
0.09
18,031,600
0.06
JPY
16,200
Meitec Corp.
72,495,000
0.25
8,415,000
0.03
JPY
11,100
Melco Holdings, Inc.
35,298,000
0.12
128,234,600
0.44
JPY
6,700
Miraca Holdings, Inc.
35,175,000
0.12
190,215,500
0.66
JPY
3,000
Miraial Co. Ltd.
3,000,000
0.01
55,611,000
0.19
JPY
1,500
Mitani Corp.
4,800,000
0.02
53,279,500
0.18
JPY
2,900
Mitani Sekisan Co. Ltd.
8,714,500
0.03
93,159,200
0.32
JPY
148,100
Mitsubishi Chemical Holdings Corp.
112,259,800
0.39
80,974,500
0.28
JPY
63,600
Mitsubishi Corp.
158,364,000
0.55
16,782,900
0.06
JPY
82,200
Mitsubishi Electric Corp.
133,944,900
0.46
JPY
76,000
Mitsubishi Estate Co. Ltd.
441,291,200
1.53
JPY
142,000
176,890,000
0.61
Mitsubishi Heavy Industries Ltd.
75,629,200
0.26
0.08
9,831,000
0.03
JPY
6,700
Mitsubishi Research Institute, Inc.
22,043,000
JCU Corp.
14,150,000
0.05
JPY
5,400
Mitsubishi Shokuhin Co. Ltd.
18,765,000
0.07
20,600
JFE Holdings, Inc.
36,668,000
0.13
JPY
990,300
713,214,060
2.47
JPY
57,000
JSR Corp.
105,051,000
0.36
JPY
24,000
Mitsuboshi Belting Ltd.
23,928,000
0.08
JPY
54,300
JTEKT Corp.
101,541,000
0.35
JPY
65,500
Mitsui & Co. Ltd.
105,258,500
0.37
JPY
2,600
K&O Energy Group, Inc.
4,794,400
0.02
JPY
53,000
Mitsui Fudosan Co. Ltd.
143,365,000
0.50
JPY
12,900
Kaga Electronics Co. Ltd.
JPY
25,100
Kaken Pharmaceutical Co. Ltd.
JPY
39,000
JPY
3,900
JPY
22,000
JPY
2,500
Kaneko Seeds Co. Ltd.
JPY
7,500
JPY
Mitsubishi UFJ Financial Group, Inc.
24,458,400
0.08
JPY
8,800
Mitsui High-Tec, Inc.
7,339,200
0.03
155,620,000
0.54
JPY
20,600
Mitsui Sugar Co. Ltd.
51,644,200
0.18
43,446,000
0.15
JPY
23,400
4,145,700
0.01
JPY
1,790,600
68,090,000
0.24
JPY
19,200
3,792,500
0.01
JPY
8,100
Kanematsu Electronics Ltd.
18,802,500
0.07
JPY
31,300
Nagase & Co. Ltd.
47,826,400
0.17
33,100
Kansai Electric Power Co., Inc. (The)
42,301,800
0.15
JPY
43,100
Namura Shipbuilding Co. Ltd.
34,436,900
0.12
JPY
48,100
Kao Corp.
266,522,100
0.92
JPY
95,700
Nexon Co. Ltd.
162,115,800
0.56
JPY
18,100
Kasai Kogyo Co. Ltd.
25,104,700
0.09
JPY
85,600
NHK Spring Co. Ltd.
95,358,400
0.33
JPY
6,800
Kato Sangyo Co. Ltd.
18,611,600
0.06
JPY
26,000
Nichiban Co. Ltd.
21,060,000
0.07
JPY
2,200
Kawai Musical Instruments
Manufacturing Co. Ltd.
5,086,400
0.02
JPY
15,000
Nichiha Corp.
43,350,000
0.15
JPY
14,600
Nichireki Co. Ltd.
13,446,600
0.05
JPY
3,600
Nichirin Co. Ltd.
6,343,200
0.02
JPY
9,000
Nidec Corp.
JPY
1,900
Nihon Flush Co. Ltd.
JPY
48,400
JPY
6,900
JPY
1,700
Nikko Co. Ltd.
JPY
32,900
JPY
4,800
JPY
37,000
JPY
4,800
Nippon Columbia Co. Ltd.
Kamigumi Co. Ltd.
Kanaden Corp.
Kanamoto Co. Ltd.
JPY
172,214
509,667,333
1.77
JPY
35,700
Keihanshin Building Co. Ltd.
21,812,700
0.08
JPY
31,800
Keihin Corp.
65,126,400
0.23
192,480,000
0.67
JPY
2,400
JPY
48,100
JPY
1,800
JPY
49,000
JPY
33,100
JPY
4,200
JPY
41,000
JPY
9,000
JPY
17,500
JPY
101,200
JPY
14,900
JPY
107,000
KDDI Corp.
Keyence Corp.
Kinden Corp.
70,129,800
0.24
4,708,800
0.02
Kintetsu Group Holdings Co. Ltd.
21,854,000
0.08
Kirin Holdings Co. Ltd.
62,939,650
0.22
9,576,000
0.03
Kinki Sharyo Co. Ltd. (The)
Kitagawa Iron Works Co. Ltd.
Komatsu Ltd.
Komehyo Co. Ltd.
Komori Corp.
Konica Minolta, Inc.
108,547,500
0.38
12,411,000
0.04
26,792,500
0.09
JPY
5,000
117,493,200
0.41
JPY
13,300
Kubota Corp.
24,860,650
0.09
JPY
118,000
Kumagai Gumi Co. Ltd.
32,100,000
0.11
JPY
30,100
The notes on pages 13 to 19 form an integral part of these financial statements.
Mixi, Inc.
Mizuho Financial Group, Inc.
MS&AD Insurance Group Holdings, Inc.
Murata Manufacturing Co. Ltd.
99,918,000
0.35
375,667,880
1.30
69,580,800
0.24
126,765,000
0.44
90,765,000
0.31
2,477,600
0.01
Nihon Parkerizing Co. Ltd.
66,356,400
0.23
Nihon Tokushu Toryo Co. Ltd.
11,833,500
0.04
3,588,700
0.01
Nikon Corp.
59,779,300
0.21
117,792,000
0.41
Nippo Corp.
80,697,000
0.28
Nippon Beet Sugar Manufacturing Co.
Ltd.
11,140,800
0.04
Nintendo Co. Ltd.
Nippon Densetsu Kogyo Co. Ltd.
Nippon Electric Glass Co. Ltd.
Nippon Gas Co. Ltd.
3,225,000
0.01
24,871,000
0.09
74,576,000
0.26
101,136,000
0.35
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 33
Portfolio of Investments as at 31
December 2016 (cont)
Schroder SSF QEP Japanese Core (cont)
Schroder SSF QEP Japanese Core (cont)
Number of shares
or Principal
Amount
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Market
Value
JPY
%
Net
Assets
4,130,000
0.01
JPY
1,800
94,900,000
0.33
JPY
14,300
Japan (cont)
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Market
Value
JPY
%
Net
Assets
Japan (cont)
JPY
7,000
JPY
13,000
Nippon Shokubai Co. Ltd.
JPY
37,200
Nippon Steel & Sumitomo Metal Corp.
96,980,400
0.34
JPY
19,700
JPY
131,300
Nippon Telegraph & Telephone Corp.
644,945,600
2.24
JPY
5,600
JPY
103,500
Nissan Motor Co. Ltd.
121,664,250
0.42
JPY
48,500
JPY
53,000
Nisshin Oillio Group Ltd. (The)
28,514,000
0.10
JPY
JPY
59,800
Nissin Electric Co. Ltd.
77,142,000
0.27
JPY
JPY
13,700
Nissin Sugar Co. Ltd.
22,646,100
0.08
JPY
440,000
JPY
5,200
Nitori Holdings Co. Ltd.
69,472,000
0.24
JPY
2,500
JPY
9,600
Nitta Corp.
30,576,000
0.11
JPY
18,100
JPY
44,000
Nitto Boseki Co. Ltd.
20,108,000
0.07
JPY
5,100
JPY
27,100
Nitto Kogyo Corp.
43,224,500
0.15
JPY
61,000
Nitto Kohki Co. Ltd.
19,462,500
0.07
JPY
19,900
NOK Corp.
70,033,600
0.24
JPY
2,600
124,727,100
0.43
JPY
13,000
JPY
7,500
JPY
29,600
JPY
181,000
Nippon Seisen Co. Ltd.
Nomura Holdings, Inc.
JPY
48,700
JPY
146,400
NSK Ltd.
JPY
4,600
JPY
11,500
Obayashi Road Corp.
JPY
1,600
Odakyu Electric Railway Co. Ltd.
JPY
2,000
Odelic Co. Ltd.
JPY
2,800
Ohashi Technica, Inc.
JPY
2,200
Okinawa Cellular Telephone Co.
JPY
6,000
Olympus Corp.
JPY
15,800
Ono Pharmaceutical Co. Ltd.
JPY
24,100
Oracle Corp. Japan
NTT DOCOMO, Inc.
NuFlare Technology, Inc.
Oriental Land Co. Ltd.
Shimano, Inc.
33,012,000
0.11
Shin-Etsu Chemical Co. Ltd.
129,658,100
0.45
Shin-Etsu Polymer Co. Ltd.
18,005,800
0.06
Shinkawa Ltd.
4,569,600
0.02
Shinko Electric Industries Co. Ltd.
38,315,000
0.13
54,000
Shinmaywa Industries Ltd.
56,754,000
0.20
32,500
Shinnihon Corp.
30,615,000
0.11
Shinsei Bank Ltd.
86,240,000
0.30
Shinwa Co. Ltd.
Shionogi & Co. Ltd.
4,362,500
0.02
101,341,900
0.35
Shiseido Co. Ltd.
15,088,350
0.05
Shizuoka Bank Ltd. (The)
59,902,000
0.21
Shizuoka Gas Co. Ltd.
16,417,500
0.06
Shoei Co. Ltd.
5,449,600
0.02
Showa Sangyo Co. Ltd.
7,813,000
0.03
29,099,200
0.10
65,939,800
0.23
JPY
20,800
389,863,200
1.35
JPY
7,500
Sintokogio Ltd.
Sinko Industries Ltd.
7,627,500
0.03
32,660,000
0.11
JPY
5,000
SK-Electronics Co. Ltd.
4,635,000
0.02
8,050,000
0.03
JPY
2,500
SMC Corp.
3,700,800
0.01
JPY
50,600
SoftBank Group Corp.
8,340,000
0.03
JPY
9,700
Sompo Holdings, Inc.
3,939,600
0.01
JPY
71,800
Sony Corp.
235,145,000
0.82
7,667,000
0.03
JPY
83,700
Sony Financial Holdings, Inc.
152,668,800
0.53
24,240,000
0.08
JPY
2,700
Space Co. Ltd.
3,331,800
0.01
40,376,900
0.14
JPY
11,900
SRA Holdings
30,559,200
0.11
141,949,000
0.49
JPY
15,200
St Marc Holdings Co. Ltd.
54,036,000
0.19
0.04
69,762,500
0.24
392,909,000
1.36
38,412,000
0.13
JPY
3,700
24,442,200
0.08
JPY
5,900
Start Today Co. Ltd.
11,912,100
JPY
152,700
ORIX Corp.
278,524,800
0.97
JPY
4,600
Studio Alice Co. Ltd.
9,959,000
0.03
JPY
316,000
Osaka Gas Co. Ltd.
142,073,600
0.49
JPY
132,000
73,392,000
0.25
4,981,800
0.02
JPY
59,700
Sumitomo Corp.
82,117,350
0.28
98,804,200
0.34
JPY
23,400
Sumitomo Electric Industries Ltd.
39,464,100
0.14
0.18
JPY
2,300
JPY
19,400
JPY
6,800
Oyo Corp.
9,540,400
0.03
JPY
429,200
Sumitomo Mitsui Construction Co. Ltd.
52,791,600
JPY
8,600
Pack Corp. (The)
22,454,600
0.08
JPY
105,700
Sumitomo Mitsui Financial Group, Inc.
471,422,000
1.63
JPY
94,400
Panasonic Corp.
112,288,800
0.39
JPY
18,300
Sumitomo Mitsui Trust Holdings, Inc.
76,548,900
0.27
JPY
13,300
Pigeon Corp.
39,753,700
0.14
JPY
47,000
Sumitomo Osaka Cement Co. Ltd.
20,727,000
0.07
JPY
2,600
Plant Co. Ltd.
3,114,800
0.01
JPY
18,000
55,908,000
0.19
JPY
54,900
28,328,400
0.10
Sumitomo Realty & Development Co.
Ltd.
JPY
4,000
Proto Corp.
5,360,000
0.02
JPY
78,600
Sumitomo Rubber Industries Ltd.
145,881,600
0.51
JPY
9,400
Recruit Holdings Co. Ltd.
44,086,000
0.15
JPY
18,500
Sundrug Co. Ltd.
149,665,000
0.52
JPY
29,400
Resona Holdings, Inc.
17,625,300
0.06
JPY
22,400
Suzuken Co. Ltd.
85,568,000
0.30
JPY
5,600
Rion Co. Ltd.
9,072,000
0.03
JPY
58,700
Suzuki Motor Corp.
241,491,800
0.84
JPY
7,900
Roland DG Corp.
24,134,500
0.08
JPY
16,200
Sysmex Corp.
109,674,000
0.38
JPY
19,000
Sakai Chemical Industry Co. Ltd.
7,429,000
0.03
JPY
77,500
T&D Holdings, Inc.
119,776,250
0.42
JPY
14,000
Sakai Heavy Industries Ltd.
4,578,000
0.02
JPY
13,400
Tachi-S Co. Ltd.
26,290,800
0.09
JPY
16,100
Sakai Moving Service Co. Ltd.
43,389,500
0.15
JPY
15,000
Taihei Dengyo Kaisha Ltd.
17,040,000
0.06
JPY
38,100
San-In Godo Bank Ltd. (The)
37,147,500
0.13
JPY
188,000
JPY
2,900
Sanko Metal Industrial Co. Ltd.
9,135,000
0.03
JPY
6,200
Takaoka Toko Co. Ltd.
JPY
9,100
Sankyo Seiko Co. Ltd.
3,630,900
0.01
JPY
9,200
Takara Printing Co. Ltd.
14,232,400
0.05
JPY
8,500
Sansha Electric Manufacturing Co. Ltd.
4,182,000
0.01
JPY
18,800
Takara Standard Co. Ltd.
36,002,000
0.12
JPY
40,000
32,680,000
0.11
JPY
43,400
Takeda Pharmaceutical Co. Ltd.
209,839,000
0.73
JPY
3,600
3,934,800
0.01
JPY
29,000
Takuma Co. Ltd.
28,971,000
0.10
JPY
55,000
30,470,000
0.11
JPY
8,900
Tamron Co. Ltd.
17,274,900
0.06
Sanyo Trading Co. Ltd.
5,436,600
0.02
JPY
40,000
Tamura Corp.
17,680,000
0.06
Scroll Corp.
5,194,400
0.02
JPY
10,600
Techno Smart Corp.
6,699,200
0.02
14,833,600
0.05
6,426,000
0.02
JPY
3,400
JPY
15,100
Osaka Steel Co. Ltd.
Sumitomo Chemical Co. Ltd.
Otsuka Holdings Co. Ltd.
Press Kogyo Co. Ltd.
Sanyo Denki Co. Ltd.
Sanyo Housing Nagoya Co. Ltd.
Sanyo Special Steel Co. Ltd.
Taisei Corp.
0.53
13,435,400
0.05
JPY
6,200
Secom Co. Ltd.
52,997,600
0.18
JPY
14,600
JPY
23,100
Sega Sammy Holdings, Inc.
40,170,900
0.14
JPY
4,200
JPY
31,800
Seikitokyu Kogyo Co. Ltd.
15,709,200
0.05
JPY
10,600
Terumo Corp.
45,739,000
0.16
JPY
28,500
Seiko Epson Corp.
70,537,500
0.24
JPY
17,200
T-Gaia Corp.
32,731,600
0.11
JPY
42,000
Seino Holdings Co. Ltd.
54,516,000
0.19
JPY
6,700
TKC Corp.
21,339,500
0.07
JPY
3,600
Sekisui House Ltd.
7,003,800
0.02
JPY
15,700
Toa Corp.
16,485,000
0.06
JPY
9,900
Sekisui Jushi Corp.
18,275,400
0.06
JPY
74,500
Toagosei Co. Ltd.
85,749,500
0.30
JPY
45,500
202,611,500
0.70
JPY
3,900
Tocalo Co. Ltd.
9,906,000
0.03
JPY
3,100
7,591,900
0.03
JPY
2,900
Toell Co. Ltd.
2,813,000
0.01
JPY
26,000
Shikoku Chemicals Corp.
27,612,000
0.10
JPY
16,000
Togami Electric Manufacturing Co. Ltd.
7,408,000
0.03
JPY
12,700
Shimachu Co. Ltd.
39,560,500
0.14
JPY
12,600
Tohoku Electric Power Co., Inc.
18,610,200
0.06
JPY
131,000
Tokai Carbon Co. Ltd.
49,518,000
0.17
Seven & i Holdings Co. Ltd.
Shibuya Corp.
The notes on pages 13 to 19 form an integral part of these financial statements.
Teikoku Electric Manufacturing Co. Ltd.
153,784,000
Teikoku Sen-I Co. Ltd.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 34
Portfolio of Investments as at 31
December 2016 (cont)
Schroder SSF QEP Japanese Core (cont)
Schroder SSF Sterling Liquidity Plus
Number of shares
or Principal
Amount
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
Market
Value
JPY
%
Net
Assets
4,782,000
0.02
20,155,200
0.07
Japan (cont)
Australia
JPY
1,200
JPY
24,700
Tokai Corp.
TOKAI Holdings Corp.
JPY
7,600
JPY
36,000
Tokio Marine Holdings, Inc.
JPY
12,100
JPY
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
134,600
Token Corp.
63,156,000
0.22
172,656,000
0.60
Tokyo Broadcasting System Holdings,
Inc.
22,627,000
0.08
Tokyo Electric Power Co. Holdings, Inc.
63,531,200
0.22
JPY
4,400
Tokyo Electron Ltd.
48,598,000
0.17
JPY
252,000
Tokyo Gas Co. Ltd.
133,282,800
0.46
JPY
34,000
Tokyo Tekko Co. Ltd.
16,014,000
0.06
JPY
70,100
Tokyu Construction Co. Ltd.
66,034,200
0.23
JPY
40,000
Tokyu Corp.
34,360,000
0.12
JPY
52,300
Toppan Forms Co. Ltd.
63,753,700
0.22
JPY
66,000
Toppan Printing Co. Ltd.
73,656,000
0.26
JPY
151,000
JPY
33,500
JPY
156,000
JPY
91,000
Towa Bank Ltd. (The)
JPY
95,000
Toyo Engineering Corp.
29,640,000
0.10
JPY
102,000
Toyo Ink SC Holdings Co. Ltd.
54,570,000
0.19
JPY
7,400
Toyo Machinery & Metal Co. Ltd.
3,315,200
0.01
JPY
13,000
JPY
5,900
JPY
JPY
Toshiba Corp.
42,748,100
0.15
Toshiba Plant Systems & Services Corp.
51,590,000
0.18
Tosoh Corp.
129,012,000
0.45
10,101,000
0.04
Toyo Seikan Group Holdings Ltd.
28,366,000
0.10
Toyo Tanso Co. Ltd.
11,062,500
0.04
16,100
Toyoda Gosei Co. Ltd.
44,017,400
0.15
31,500
Toyota Boshoku Corp.
84,640,500
0.29
JPY
4,900
Toyota Industries Corp.
JPY
149,400
JPY
16,400
JPY
%
Net
Assets
27,160,487
0.67
GBP
13,300,000
National Australia Bank Ltd., Reg. S,
FRN 0.656% 13/01/2017
13,303,285
0.33
GBP
13,850,000
Westpac Banking Corp., Reg. S, FRN
0.741% 28/11/2017
13,857,202
0.34
216,580,765
5.31
GBP
13,000,000
Bank of Montreal, Reg. S, FRN 0.664%
06/09/2017
13,003,575
0.32
GBP
15,000,000
Bank of Montreal, Reg. S, FRN 0.595%
29/01/2018
15,009,600
0.37
GBP
20,800,000
Bank of Montreal, Reg. S, FRN 0.755%
03/05/2018
20,815,517
0.51
GBP
32,600,000
Bank of Nova Scotia (The), Reg. S, FRN
0.592% 02/11/2017
32,622,820
0.80
GBP
14,500,000
Bank of Nova Scotia (The), Reg. S, FRN
0.686% 07/08/2018
14,532,698
0.36
GBP
9,500,000
Canadian Imperial Bank of Commerce,
Reg. S, FRN 0.591% 15/01/2018
9,508,502
0.23
GBP
25,500,000
Royal Bank of Canada, Reg. S, FRN
0.686% 20/07/2018
25,554,570
0.63
GBP
15,000,000
Royal Bank of Canada, Reg. S, FRN
1.097% 09/10/2018
15,080,250
0.37
GBP
35,000,000
Toronto-Dominion Bank (The), Reg. S,
FRN 0.598% 20/11/2017
35,028,000
0.86
GBP
19,400,000
Toronto-Dominion Bank (The), Reg. S,
FRN 0.782% 19/01/2018
19,412,513
0.47
GBP
16,000,000
Toronto-Dominion Bank (The), Reg. S,
FRN 0.611% 16/04/2018
16,012,720
0.39
21,721,483
0.53
21,700,000
Danske Bank A/S, Reg. S, FRN 0.883%
04/10/2018
21,721,483
0.53
14,003,010
0.34
14,000,000
OP Corporate Bank plc, Reg. S, FRN
0.848% 21/05/2018
14,003,010
0.34
16,512,045
0.41
16,500,000
BPCE SA, Reg. S, FRN 1.184%
06/03/2017
16,512,045
0.41
16,002,400
0.39
16,000,000
Kreditanstalt fuer Wiederaufbau, FRN
0.433% 03/07/2017
16,002,400
0.39
Canada
27,293,000
0.09
1,027,573,200
3.56
TPR Co. Ltd.
53,956,000
0.19
5,900
Trend Micro, Inc.
24,514,500
0.09
JPY
42,400
TS Tech Co. Ltd.
127,624,000
0.44
Finland
JPY
22,000
Tsubakimoto Chain Co.
20,900,000
0.07
GBP
JPY
3,500
Tsutsumi Jewelry Co. Ltd.
6,835,500
0.02
JPY
7,300
TV Asahi Holdings Corp.
16,855,700
0.06
France
JPY
15,000
Uchida Yoko Co. Ltd.
7,305,000
0.03
GBP
JPY
14,800
Ulvac, Inc.
52,984,000
0.18
Toyota Motor Corp.
Market
Value
GBP
Denmark
GBP
JPY
9,700
Unicharm Corp.
24,807,750
0.09
JPY
31,400
Unipres Corp.
73,067,800
0.25
JPY
26,400
Usen Corp.
11,193,600
0.04
JPY
10,400
Utoc Corp.
4,243,200
0.01
JPY
25,800
Wakita & Co. Ltd.
25,155,000
0.09
Netherlands
54,877,982
1.35
JPY
11,800
Warabeya Nichiyo Holdings Co. Ltd.
29,134,200
0.10
GBP
19,800,000
19,807,920
0.49
JPY
3,200
Weathernews, Inc.
11,504,000
0.04
ABN AMRO Bank NV, Reg. S, FRN
0.898% 30/11/2018
JPY
14,100
Wellnet Corp.
18,259,500
0.06
GBP
19,000,000
0.47
6,800
West Japan Railway Co.
48,776,400
0.17
Bank Nederlandse Gemeenten NV, Reg.
S, FRN 0.559% 03/04/2018
19,012,920
JPY
JPY
9,600
Xebio Holdings Co. Ltd.
17,337,600
0.06
GBP
16,050,000
ING Bank NV, Reg. S, FRN 0.791%
27/11/2017
16,057,142
0.39
16,323,100
0.06
15,991,248
0.39
16,000,000
Westpac Securities NZ Ltd., Reg. S, FRN
0.762% 23/06/2017
15,991,248
0.39
19,706,895
0.48
19,700,000
Nordea Eiendomskreditt AS, Reg. S,
FRN 0.567% 11/09/2017
19,706,895
0.48
60,251,400
1.48
60,251,400
1.48
JPY
15,100
JPY
310,200
JPY
31,000
JPY
23,400
JPY
46,600
JPY
7,300
JPY
17,200
Yahagi Construction Co. Ltd.
0.48
New Zealand
Yamanashi Chuo Bank Ltd. (The)
17,267,000
0.06
GBP
Yamato Kogyo Co. Ltd.
76,635,000
0.27
Yamazen Corp.
45,528,200
0.16
Norway
Yodogawa Steel Works Ltd.
22,301,500
0.08
GBP
Yorozu Corp.
28,930,400
0.10
0.07
7,300
Yuasa Trading Co. Ltd.
21,301,400
JPY
12,700
Yusen Logistics Co. Ltd.
15,455,900
0.05
JPY
20,500
Zenkoku Hosho Co. Ltd.
76,977,500
0.27
28,229,836,223
97.88
Total Transferable Securities and Money Market Instruments
Admitted to an Official Exchange Listing
Other Net Assets
Net Asset Value
GBP
139,279,800
Yahoo Japan Corp.
JPY
Total Investments
Germany
28,229,836,223
97.88
612,798,693
2.12
28,842,634,916
100.00
The notes on pages 13 to 19 form an integral part of these financial statements.
Supranational
GBP
60,000,000
European Investment Bank, FRN 0.651%
16/04/2019
73,734,236
1.81
GBP
15,290,000
Swedbank AB, Reg. S, FRN 0.685%
02/06/2017
15,291,988
0.37
GBP
19,800,000
Swedbank AB, Reg. S, FRN 0.904%
02/12/2019
19,813,424
0.49
GBP
14,540,000
Swedbank Hypotek AB, Reg. S, FRN
0.583% 02/04/2018
14,544,944
0.36
GBP
24,000,000
Swedbank Hypotek AB, Reg. S, FRN
0.785% 29/10/2018
24,083,880
0.59
Sweden
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 35
Portfolio of Investments as at 31
December 2016 (cont)
Schroder SSF Sterling Liquidity Plus (cont)
Schroder SSF Sterling Liquidity Plus (cont)
Number of shares
or Principal
Amount
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments Admitted to an
Official Exchange Listing
United Kingdom
GBP
14,000,000
Market
Value
GBP
%
Net
Assets
Transferable Securities and Money
Market Instruments dealt on another
Regulated Market
Market
Value
GBP
%
Net
Assets
148,645,934
3.64
France (cont)
Barclays Bank plc, Reg. S, FRN 0.591%
12/02/2018
14,014,350
0.34
GBP
30,000,000
BNP Paribas SA 0.56% 25/05/2017
30,000,000
0.74
GBP
50,000,000
BPCE SA 0.7% 26/10/2017
50,000,000
1.23
GBP
19,690,000
Lloyds Bank plc, Reg. S, FRN 0.648%
16/01/2017
19,691,772
0.48
GBP
60,000,000
Credit Agricole Corporate and
Investment Bank SA 0.41% 13/02/2017
60,000,000
1.47
GBP
30,000,000
Lloyds Bank plc, Reg. S, FRN 0.592%
19/01/2018
30,011,700
0.73
GBP
30,000,000
Credit Agricole Corporate and
Investment Bank SA 0.61% 10/04/2017
30,000,000
0.74
GBP
11,000,000
Lloyds Bank plc, Reg. S, FRN 0.768%
14/01/2019
11,035,365
0.27
GBP
30,000,000
Credit Agricole Corporate and
Investment Bank SA 0.7% 07/07/2017
30,000,000
0.74
GBP
23,550,000
Nationwide Building Society, Reg. S,
FRN 0.601% 17/07/2017
23,558,714
0.58
GBP
35,000,000
Credit Agricole SA 0.68% 24/04/2017
35,000,000
0.86
GBP
30,000,000
Credit Agricole SA 0.56% 04/05/2017
30,000,000
0.74
GBP
35,000,000
Credit Agricole SA 0% 24/08/2017
34,784,337
0.85
GBP
210,000,000
209,850,979
5.14
GBP
30,000,000
Natixis SA 0.64% 05/01/2017
30,000,000
0.74
GBP
20,000,000
Natixis SA 0.88% 09/01/2017
20,000,000
0.49
GBP
15,000,000
Natixis SA 1.06% 13/01/2017
15,004,785
0.36
GBP
15,000,000
Natixis SA 0.94% 02/03/2017
15,000,000
0.37
GBP
20,000,000
Natixis SA 0.67% 06/04/2017
20,000,000
0.49
GBP
25,000,000
Natixis SA 0.97% 12/04/2017
25,000,000
0.61
GBP
25,000,000
Natixis SA 0.96% 10/05/2017
25,000,000
0.61
GBP
30,000,000
Nationwide Building Society, Reg. S,
FRN 0.602% 27/04/2018
30,031,800
0.74
GBP
20,300,000
Santander UK plc, Reg. S, FRN 0.706%
20/01/2017
20,302,233
0.50
Total Transferable Securities and Money Market Instruments
Admitted to an Official Exchange Listing
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments dealt on another
Regulated Market
Australia
GBP
30,000,000
Commonwealth Bank of Australia 0%
01/02/2017
Canada
685,187,885
Market
Value
GBP
16.80
%
Net
Assets
29,924,983
0.73
Germany
29,924,983
0.73
GBP
30,000,000
DZ Bank AG 0% 06/02/2017
29,985,743
0.73
GBP
20,000,000
DZ Bank AG 0% 28/02/2017
19,986,221
0.49
189,680,224
4.65
GBP
35,000,000
DZ Bank AG 0% 06/03/2017
34,956,556
0.86
GBP
30,000,000
DZ Bank AG 0% 30/03/2017
29,955,815
0.73
GBP
20,000,000
DZ Bank AG 0% 29/09/2017
19,911,025
0.49
GBP
25,000,000
DZ Bank AG 0% 26/10/2017
24,877,781
0.61
GBP
30,000,000
DZ Bank AG 0% 24/11/2017
29,865,834
0.73
GBP
30,000,000
Erste Abwicklungsanstalt 0%
18/01/2017
29,992,521
0.74
374,634,013
9.18
GBP
30,000,000
ABN AMRO Bank NV 0% 27/01/2017
29,986,308
0.73
GBP
25,000,000
ABN AMRO Bank NV 0% 28/02/2017
24,981,945
0.61
GBP
25,000,000
ABN AMRO Bank NV 0% 06/03/2017
24,959,786
0.61
GBP
35,000,000
ABN AMRO Bank NV 0% 31/05/2017
34,924,502
0.86
GBP
55,000,000
ABN AMRO Bank NV 0% 23/08/2017
54,781,473
1.34
GBP
30,000,000
ING Bank NV 0.97% 11/05/2017
30,000,000
0.73
GBP
25,000,000
Rabobank International 0.46%
07/03/2017
24,999,999
0.61
GBP
25,000,000
Bank of Montreal 0.74% 21/02/2017
25,000,000
0.61
GBP
20,000,000
Bank of Montreal 0.71% 09/03/2017
20,000,000
0.49
GBP
10,000,000
Bank of Montreal 0% 18/04/2017
9,968,113
0.25
GBP
25,000,000
Toronto-Dominion Bank (The) 0%
03/01/2017
24,998,614
0.61
GBP
25,000,000
Toronto-Dominion Bank (The) 0%
31/03/2017
24,996,800
0.62
GBP
30,000,000
Toronto-Dominion Bank (The) 0%
30/05/2017
29,931,788
0.73
GBP
30,000,000
Toronto-Dominion Bank (The) 0%
30/08/2017
29,883,491
0.73
GBP
25,000,000
Toronto-Dominion Bank (The) 0%
29/09/2017
24,901,418
0.61
Denmark
Dexia Credit Local SA 0% 17/02/2017
Netherlands
80,170,696
1.97
219,531,496
5.38
GBP
50,000,000
Danske Bank A/S 0% 20/12/2017
49,731,588
1.22
GBP
30,600,000
Danske Bank A/S 0% 20/12/2017
30,439,108
0.75
GBP
30,000,000
Rabobank International 0.65%
05/04/2017
30,000,000
0.74
181,649,593
4.45
GBP
30,000,000
Rabobank International 0.69%
29/06/2017
30,000,000
0.74
GBP
15,000,000
Rabobank International 0.47%
25/09/2017
15,000,000
0.37
GBP
25,000,000
Rabobank International 0.65%
20/10/2017
25,000,000
0.61
GBP
50,000,000
Rabobank International 0.65%
24/11/2017
50,000,000
1.23
179,613,112
4.40
GBP
25,000,000
DNB Bank ASA 0% 13/01/2017
24,993,158
0.61
GBP
40,000,000
DNB Bank ASA 0% 13/02/2017
39,982,374
0.98
GBP
25,000,000
DNB Bank ASA 0% 21/02/2017
24,974,456
0.61
GBP
30,000,000
DNB Bank ASA 0% 03/07/2017
29,895,163
0.73
GBP
30,000,000
DNB Bank ASA 0% 22/09/2017
29,913,127
0.74
GBP
30,000,000
DNB Bank ASA 0% 20/12/2017
29,854,834
0.73
149,138,492
3.66
Finland
GBP
25,000,000
OP Corporate Bank plc 0% 04/01/2017
24,997,574
0.61
GBP
25,000,000
OP Corporate Bank plc 0% 09/01/2017
24,995,400
0.61
GBP
18,000,000
OP Corporate Bank plc 0% 26/01/2017
17,991,947
0.44
GBP
15,000,000
OP Corporate Bank plc 0% 09/03/2017
14,981,165
0.37
GBP
35,000,000
OP Corporate Bank plc 0% 07/04/2017
34,953,359
0.86
GBP
17,000,000
OP Corporate Bank plc 0% 25/09/2017
16,938,177
0.42
GBP
26,000,000
OP Corporate Bank plc 0% 28/09/2017
25,899,768
0.63
GBP
21,000,000
OP Corporate Bank plc 0% 10/11/2017
20,892,203
0.51
France
919,641,847
22.55
GBP
6,500,000
Banque Federative du Credit Mutuel SA
0% 06/01/2017
6,498,684
0.16
GBP
30,000,000
Banque Federative du Credit Mutuel SA
0% 09/01/2017
29,995,002
0.74
GBP
20,000,000
Banque Federative du Credit Mutuel SA
0% 16/02/2017
19,977,267
0.49
GBP
30,000,000
Banque Federative du Credit Mutuel SA
0% 30/03/2017
29,950,136
0.73
GBP
25,000,000
Banque Federative du Credit Mutuel SA
0% 08/05/2017
24,937,412
0.61
GBP
30,000,000
Banque Federative du Credit Mutuel SA
0% 13/07/2017
29,881,014
0.73
GBP
35,000,000
Banque Federative du Credit Mutuel SA
0% 29/11/2017
34,762,231
0.85
GBP
25,000,000
BNP Paribas SA 0.79% 16/02/2017
25,000,000
0.61
GBP
30,000,000
BNP Paribas SA 0.78% 14/03/2017
30,000,000
0.74
GBP
29,000,000
BNP Paribas SA 0.55% 15/05/2017
29,000,000
0.71
The notes on pages 13 to 19 form an integral part of these financial statements.
Norway
Qatar
GBP
25,000,000
Qatar National Bank SAQ 0%
20/02/2017
24,936,804
0.61
GBP
30,000,000
Qatar National Bank SAQ 0%
10/04/2017
29,846,532
0.73
GBP
30,000,000
Qatar National Bank SAQ 0%
10/05/2017
29,677,402
0.73
GBP
35,000,000
Qatar National Bank SAQ 0%
06/06/2017
34,838,445
0.86
GBP
30,000,000
Qatar National Bank SAQ 0%
25/08/2017
29,839,309
0.73
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 36
Portfolio of Investments as at 31
December 2016 (cont)
Schroder SSF Sterling Liquidity Plus (cont)
Number of shares
or Principal
Amount
Transferable Securities and Money
Market Instruments dealt on another
Regulated Market
Sweden
Market
Value
GBP
%
Net
Assets
254,516,423
6.24
GBP
30,000,000
Nordea Bank AB 0% 13/02/2017
29,973,775
0.74
GBP
25,000,000
Nordea Bank AB 0% 08/05/2017
24,969,156
0.61
GBP
40,000,000
Nordea Bank AB 0% 12/09/2017
39,885,746
0.98
GBP
50,000,000
Nordea Bank AB 0% 20/12/2017
49,796,605
1.22
GBP
30,000,000
Skandinaviska Enskilda Banken AB 0%
05/01/2017
29,922,652
0.73
GBP
25,000,000
Skandinaviska Enskilda Banken AB 0%
08/03/2017
24,968,489
0.61
GBP
25,000,000
Skandinaviska Enskilda Banken AB
0.79% 24/03/2017
25,000,000
0.61
GBP
30,000,000
Skandinaviska Enskilda Banken AB
0.57% 05/04/2017
30,000,000
0.74
376,874,795
9.24
GBP
30,000,000
Credit Suisse AG 0.54% 06/02/2017
30,000,000
0.74
GBP
25,000,000
Credit Suisse AG 0.88% 27/02/2017
25,000,000
0.61
GBP
20,000,000
Credit Suisse AG 1.04% 09/03/2017
20,000,000
0.49
GBP
12,000,000
Credit Suisse AG 1.06% 20/03/2017
12,000,000
0.29
GBP
30,000,000
Credit Suisse AG 0.75% 04/04/2017
30,000,000
0.74
GBP
25,000,000
Credit Suisse AG 1.05% 02/05/2017
25,000,000
0.61
GBP
40,000,000
Credit Suisse AG 0.82% 12/12/2017
40,000,000
0.98
GBP
60,000,000
UBS AG 0.37% 13/02/2017
60,000,000
1.47
GBP
35,000,000
UBS AG 0% 31/05/2017
34,874,795
0.85
GBP
40,000,000
UBS AG 0.72% 19/09/2017
40,000,000
0.98
GBP
30,000,000
UBS, Inc. 0.6% 18/04/2017
30,000,000
0.74
GBP
30,000,000
UBS, Inc. 0.59% 05/05/2017
30,000,000
0.74
Switzerland
United Arab Emirates
69,871,075
1.71
GBP
20,000,000
National Bank of Abu Dhabi PJSC 0%
09/01/2017
19,938,023
0.49
GBP
30,000,000
National Bank of Abu Dhabi PJSC 0%
06/02/2017
29,973,313
0.73
GBP
20,000,000
National Bank of Abu Dhabi PJSC 0%
16/05/2017
19,959,739
0.49
United Kingdom
352,927,288
8.65
GBP
30,000,000
Abbey National Treasury Services plc
0.6% 01/02/2017
30,000,000
0.74
GBP
25,000,000
Abbey National Treasury Services plc
0.4% 08/02/2017
25,000,000
0.61
GBP
80,000,000
Abbey National Treasury Services plc
0.46% 17/02/2017
80,000,000
1.96
GBP
25,000,000
Abbey National Treasury Services plc
0.98% 23/03/2017
25,000,000
0.61
GBP
10,000,000
Abbey National Treasury Services plc
0.9% 09/06/2017
10,000,000
0.24
GBP
30,000,000
Lloyds Bank plc 1% 17/03/2017
30,000,000
0.74
GBP
50,000,000
Nationwide Building Society 0.43%
21/06/2017
50,000,000
1.23
GBP
27,000,000
UK Treasury Bill 0% 15/05/2017
26,975,852
0.66
GBP
56,000,000
UK Treasury Bill 0% 12/06/2017
55,955,358
1.37
GBP
20,000,000
UK Treasury Bill 0% 19/06/2017
19,996,078
0.49
Total Transferable Securities and Money Market Instruments
dealt on another Regulated Market
3,378,174,037
82.81
Total Investments
4,063,361,922
99.61
15,973,722
0.39
4,079,335,644
100.00
Other Net Assets
Net Asset Value
The notes on pages 13 to 19 form an integral part of these financial statements.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 37
Appendix I - Audited TER for the Year
Ended 31 December 2016
Schroder SSF BCC Cedola Paesi Emergenti 2019
A Class
C Class
C (Inst.) Class
I Class
S Class
X Class
1.72%
-
-
-
-
-
Schroder SSF International Equity
-
-
-
0.75%
-
-
Schroder SSF Multi-Asset 80
-
1.55%
-
-
-
-
Schroder SSF QEP Japanese Core
-
-
0.31%
0.08%
-
-
Schroder SSF Sterling Liquidity Plus
-
0.20%
-
0.05%
0.11%
0.05%
Page 38
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Appendix II - Global exposure and
leverage (unaudited)
The UCITS global exposure can be managed under a commitment approach, a relative Value at Risk (relative VaR) approach or an absolute Value at
Risk (absolute VaR) approach.
All Schroder SSF Funds are managed under the commitment approach which is used for the funds with low derivative usage or funds which limit
their derivatives commitment to 100% or less of their Net Asset Value.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 39
Appendix III - Securities Financing
Transactions (Unaudited)
The Fund engages in Securities Financing Transactions (SFT) (as defined in Article 3 of Regulation (EU) 2015/2365, securities financing transactions include
repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions
and margin lending transactions). In accordance with Article 13 of the Regulation, the Fund's involvement, through its sub-fund Schroder SSF Multi-Asset 80,
relating to its exposure on total return swaps for the year ended 31 December 2016 is detailed below:
Schroder SSF Multi-Asset 80
Global Data
Amount of assets engaged in total return swaps
Amount of Assets - Long Positions
EUR
% of AUM
224,837
1.81%
Amount of Assets - Short Positions
% of AUM
EUR
-
-
Amount of Assets - Total
% of AUM
EUR
224,837
1.81%
Concentration Data
Ten largest collateral issuers (across all SFT and total return swaps).
As at 31 December 2016, collateral securities received in respect of total return swaps are as follows:
Issuer
Market Value
EUR
UK Treasury
2,181,293
Netherlands Government
2,088,536
France Government
2,086,533
German Government
2,068,847
Canada Government
2,051,478
US Treasury
1,914,251
Top ten counterparties
Counterparty *
Gross volume of outstanding transactions
EUR
BNP Paribas
224,837
Aggregate transaction data
Type and quality of collateral
As at 31 December 2016, collateral was received in respect of total return swaps as follows:
Type
Quality **
Market Value
EUR
Bonds
Long-Term Investment Grade
12,390,938
12,390,938
* The Sub-Fund only deals with one counterparty for its total return swaps.
** Quality of collateral has been interpreted as pertaining to bond instruments, which have been assessed and reported in accordance with whether they are considered investment grade, below investment
grade or not-rated.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 40
Appendix III - Securities Financing
Transactions (Unaudited) (cont)
Schroder SSF Multi-Asset 80 (cont)
Maturity tenor of collateral
As at 31 December 2016, collateral was received in respect of total return swaps as follows:
Maturity
Market Value
EUR
less than 1 day
-
1 to 7 days
-
1 to 4 weeks
-
1 to 3 months
520,754
3 to 12 months
1,154,222
more than 1 year
10,715,962
open maturity
12,390,938
Currency of collateral
As at 31 December 2016, collateral was received in respect of total return swaps as follows:
Currency
Market Value
EUR
CAD
2,051,478
EUR
6,243,916
GBP
2,181,293
USD
1,914,251
12,390,938
Maturity tenor of total return swaps
Maturity
Long Positions
Short Positions
Total
EUR
EUR
EUR
less than 1 day
-
-
-
1 to 7 days
-
-
-
1 to 4 weeks
-
-
-
1 to 3 months
-
-
-
3 to 12 months
-
-
-
more than 1 year
224,837
-
224,837
open maturity
-
-
-
224,837
-
224,837
Country in which counterparties for total return swaps are established
Counterparty
Country
BNP Paribas
France
Settlement and clearing
The Sub-Fund utilises bi-lateral settlement and clearing with its counterparty for total return swaps.
Re-use of collateral
The Sub-Fund does not reuse or reinvest collaterals received, if any, on total return swaps.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Appendix III - Securities Financing
Transactions (Unaudited) (cont)
Schroder SSF Multi-Asset 80 (cont)
Safekeeping of collateral
Collateral received
Custody of collateral received in respect of total return swaps is as follows:
Custodian
Market Value
EUR
J.P. Morgan Bank Luxembourg S.A.
12,390,938
Collateral granted
As at 31 December 2016, no collateral was granted in respect of total return swaps.
Return and cost
For the year ended 31 December 2016, data on return and cost in respect of total return swaps are as follows:
% of Overall Returns
Return ***
EUR
Net interest on swaps
0.00%
Net realised gains
44.76%
190,278
Net change in unrealised appreciation
55.24%
234,867
100.00%
425,145
Return on total return swaps disclosed above comprise of 'Net realised gains/(losses) on total return swaps contracts' and 'Net change in unrealised
appreciation/(depreciation) on total return swaps contracts' in the Statement of Changes in Net Assets.
Cost
The are no costs attributable to total return swaps during the year.
*** expressed in absolute terms
Page 41
Page 42
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Appendix IV – Remuneration Disclosures
Undertakings for Collective Investments in Transferable Securities (UCITS) Remuneration Disclosures for
Schroder Investment Management (Luxembourg) S.A. (“SIM Luxembourg”) as at 31 December 2015
The UCITS Fund Manager has a remuneration policy in place. These disclosures should be read in conjunction with the Schroders Remuneration
Report on pages 68 to 86 of the Schroders plc 2015 Annual Report & Accounts (available on the Group’s website – www.schroders.com/ir) which
provides more information on the activities of our Remuneration Committee and our remuneration principles and policies.
Details of the draft UCITS Remuneration Code can be found at www.fca.org.uk in the Senior Management Arrangements, Systems and Controls
Sourcebook (SYSC 19E). the rules and implementation guidance comes into force on 18 March 2016, however the European Commission has yet
to publish the final Level 2 European Union Regulation.
Decision-making process for determining the remuneration policy
Schroders has an established Remuneration Committee consisting of independent non-executive Directors of Schroders plc. The Committee met
four times during 2015. Their responsibilities include recommending to the Board the Group’s policy on Directors’ remuneration, overseeing the
remuneration governance framework and ensuring that remuneration arrangements are consistent with effective risk management. The role and
activities of the Committee and their use of advisors are further detailed in the Remuneration Report and the Committee’s Terms of Reference (both
available on the Group’s website).
The Remuneration Committee of Schroders plc determines the Group remuneration policy. Details of the latest remuneration policy are available at
www.schroders.com/Remuneration-disclosures.
UCITS Remuneration Code Staff criteria
SIM Luxembourg’s UCITS Remuneration Code Staff (‘Code Staff’) are individuals in roles which can materially affect the risk profile of SIM
Luxembourg or any UCITS fund it manages. Subject to proportionality considerations, the list of individuals reviewed in determining those who are
Code Staff includes:
-
Members of the governing body (both executive and non-executive) for SIM Luxembourg;
-
Fund board members for the UCITS funds managed by SIM Luxembourg;
-
Employees in key control function roles, staff responsible for heading the investment management, administration, marketing, human resources;
-
Other employees who the Company deems may have a material impact on the risk profile of SIM Luxembourg or the UCITS funds it manages
through their professional activities; and
-
Employees who are remunerated at the same levels as senior management and those deemed to have a material risk impact as outlined above.
The SIM Luxembourg UCITS Remuneration Code Staff population will be determined in accordance with the guidance provided in SYSC 19E, the
Level 2 Regulation provided by the European Commission and any relevant guidelines provided by ESMA and the UK Financial Conduct Authority.
Quantitative Remuneration Disclosures
UCITS managers are required to apply SYSC 19E to the first full performance period starting after 18 March 2016. For SIM Luxembourg, this is the
calendar year 2017. Quantitative remuneration disclosures will be available from Q1 2018, following the conclusion of this performance period, as
prior to that date, the information available will not provide materially relevant and clear information to investors about how the remuneration policy of
SIM Luxembourg operates in line with the requirements of the UCITS Directive.
Link between pay and performance
Employee remuneration at Schroders is made up of fixed pay and variable performance-related pay.
Fixed pay is principally comprised of salaries or fees. All Code Staff receive either a salary (for employees) or fees (for non-executive directors) that
reflect their responsibilities and the level of experience and expertise needed to undertake their roles. Fixed pay also includes appropriate pensions
and benefits in kind to enable employees to undertake their role by ensuring their wellbeing and security.
Variable performance-related pay is principally comprised of annual bonus awards. Non-executive directors do not receive variable performancerelated pay. The overall size of the annual pool for variable performance-related pay is a material component of our total remuneration expense. It is
set by the Board and the Remuneration Committee by reference to two ratios: 1) bonus charge to pre-bonus profit before tax and exceptional
items; and 2) total compensation to operating revenue ratio, both of which are reported to shareholders. This ensures that the aggregate spend on
variable performance-related pay is directly linked to the Company’s performance. In determining total compensation spend each year, the
Remuneration Committee receives a report from the Chief Executive on the underlying strength and sustainability of the business and reports on
risk, legal and compliance matters from the heads of those areas.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 43
Appendix IV – Remuneration Disclosures
(cont)
Link between pay and performance (cont)
Further details of our remuneration policy, our deferred remuneration arrangements and Long-term Incentive Plan performance conditions are
provided in the Remuneration Report.
Schroder Special Situations Fund Audited Annual Report 31 December 2016
Page 44
Appendix V – Unaudited Collateral
Exposure
As at 31 December 2016, the exposure of the collateral by counterparty was as follows:
Fund
Counterparty
Type of Collateral
BNP
BNP
BNP
BNP
Government
Government
Government
Government
Currency
Collateral Amount
CAD
EUR
GBP
USD
EUR
2,910,046
6,243,916
1,863,280
2,018,290
12,390,938
Schroder SSF Multi-Asset 80
Collateral received
Paribas
Paribas
Paribas
Paribas
Bonds
Bonds
Bonds
Bonds
Schroder Investment Management (Luxembourg) S.A.
5, rue Höhenhof
L-1736 Senningerberg
Grand Duchy of Luxembourg
Tel: (+352) 341 342 212
Fax: (+352) 341 342 342
SSSF 31 December 2016 ENLU