Russell Investment Company II Plc an Umbrella Fund with Segregated Liability Between Sub-Funds

2021 ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS Russell Investment Company II plc an umbrella fund with segregated liability between sub-funds

31 March 2021

Russell Investments Emerging Market Debt Local Currency Fund Russell Investments Emerging Markets Extended Opportunities Fund Russell Investments Euro Fixed Income Fund Russell Investments Global Bond (Euro Hedged) Fund Russell Investments Global Defensive Equity Fund* Russell Investments Pan European Equity Fund Russell Investments U.S. Quant Fund Russell Investments World Equity Fund Russell Investments China Equity Fund

* Ceased trading during the financial year ended 31 March 2020.

Russell Investment Company II plc

Contents

Administration of the Company ...... 2

Background to the Company...... 5

Directors’ Report...... 6

Depositary’s Report ...... 9

Independent Auditors’ Report...... 10

Combined Financial Statements...... 13

Russell Investments Emerging Market Debt Local Currency Fund ...... 16

Russell Investments Emerging Markets Extended Opportunities Fund** ...... 32

Russell Investments Euro Fixed Income Fund ...... 38

Russell Investments Global Bond (Euro Hedged) Fund...... 56

Russell Investments Global Defensive Equity Fund* ...... 88

Russell Investments Pan European Equity Fund...... 91

Russell Investments U.S. Quant Fund...... 110

Russell Investments World Equity Fund ...... 124

Russell Investments China Equity Fund ...... 153

Notes to the Financial Statements...... 167

Appendix I - Remuneration (unaudited)...... 211

Appendix II - ESMA guidance disclosures regarding benchmarks (unaudited)...... 212

* Ceased trading during the financial year ended 31 March 2020. ** Ceased trading during the financial year ended 31 March 2021.

Contents Russell Investment Company II plc

Administration of the Company

Board of Directors of the Company* Company Secretary Mr. James Firn (Chairman) MFD Secretaries Limited Mr. Peter Gonella 32 Molesworth Street Mr. Neil Jenkins Dublin 2 Mr. Joseph Linhares Ireland Mr. John McMurray Mr. Tom Murray Adviser and Distributor Mr. William Pearce Russell Investments Limited Mr. William Roberts Rex House Mr. David Shubotham 10 Regent Street, St. James’s London SW1Y 4PE Members of the Manager’s Audit Committee England Mr. David Shubotham (Chairman) Mr. Tom Murray Investment Manager for Russell Investments Emerging Markets Extended Opportunities Fund, Russell Investments Mr. William Roberts Euro Fixed Income Fund, Russell Investments Pan European Equity Fund, Russell Investments World Equity Registered Office Fund and Russell Investments China Equity Fund 78 Sir John Rogerson’s Quay Russell Investments Limited Dublin 2 Rex House Ireland 10 Regent Street, St James’s London SW1Y 4PE Manager Russell Investments Ireland Limited England 78 Sir John Rogerson’s Quay Investment Managers for Russell Investments Global Bond Dublin 2 (Euro Hedged) Fund Ireland Russell Investments Limited Rex House Auditors 10 Regent Street, St James’s PricewaterhouseCoopers London SW1Y 4PE Chartered Accountants and Statutory Audit Firm England One Spencer Dock North Wall Quay Russell Investment Management, LLC Dublin 1 1301 Second Avenue, 18th Floor Ireland Seattle,WA 98101 United States of America Legal Advisers Maples and Calder (Irleand) LLP Investment Manager for Russell Investments U.S. Quant 75 St. Stephen’s Green Fund Dublin 2 Russell Investment Management, LLC Ireland 1301 Second Avenue, 18th Floor Seattle, WA 98101 Administrator United States of America State Street Fund Services (Ireland) Limited 78 Sir John Rogerson’s Quay Investment Advisers for Russell Investments Pan European Dublin 2 Equity Fund Ireland INVESCO Asset Management Limited 43-45 Portman Square Depositary London W1H 6LY State Street Custodial Services (Ireland) Limited England 78 Sir John Rogerson’s Quay Dublin 2 Joh. Berenberg, Gossler & Co. KG Ireland Neuer Jungfernstieg 20 Hamburg, 20354 Global Sub-Custodian Germany State Street Bank and Trust Company Copley Place Liontrust Investment Partners LLP 100 Huntington Avenue 2 Savoy Court Boston, MA 02116 London WC2R 0EZ United States of America England

* As of 31 March 2021.

2 Administration of the Company Russell Investment Company II plc

Administration of the Company - continued

Numeric Investors, LLC Wellington Management International Limited 470 Atlantic Avenue 6th floor 80 Victoria Street Boston, MA 02210 London SW1E 5JL United States of America England

Pzena Investment Management, LLC Investment Adviser for Russell Investments China Equity 320 Park Avenue Fund New York, NY 10022 Bank of Communications Schroders Fund Management Co., United States of America Ltd. 21F, IFC 2 Investment Advisers for Russell Investments U.S. Quant No. 8 Century Avenue Fund Pudong District Jacobs Levy Equity Management Inc 200120 Shanghai 100 Campus Drive, P.O. Box 650 China Florham Park, NJ 07932-0650 United States of America Money Managers for Russell Investments Emerging Market Debt Local Currency Fund Numeric Investors, LLC Barings LLC 470 Atlantic Avenue 6th floor Independence Wharf Boston, MA 02210 470 Atlantic Avenue United States of America Boston, MA 02210 United State of America Investment Advisers for Russell Investments World Equity Fund Colchester Global Investors Limited Coupland Cardiff Asset Management LLP Heathcoat House 31-32 St. James’s Street 20 Savile Row London, SW1A 1HD London W1S 3PR England England

Fiera Capital Corp GLG LLC 1501 McGill College Avenue Riverbank House Suite 800 2SwanLane Montréal, QC H3A 3M8 London EC4R 3AD Canada England

INVESCO Asset Management Limited Money Managers for Russell Investments Euro Fixed 43-45 Portman Square Income Fund London W1H 6LY FIL Pensions Management England Oakhill House 130 Tonbridge Road J O Hambro Capital Management Limited Hildenborough Ryder Court Tonbridge 14 Ryder Street Kent TN11 9DZ London SW1Y 6QB England England Western Asset Management Nissay Asset Management Corp 10 Exchange Square Nihon Seimei Marunouchi Bldg Primrose Street 1-6-6, Marunouchi, Chiyoda-ku London, EC2A 2EN Tokyo, 100-8219 England

Numeric Investors, LLC Money Managers for Russell Investments Global Bond 470 Atlantic Avenue 6th floor (Euro Hedged) Fund Boston, MA 02210 BlueBay Asset Management LLP United States of America 77 Grosvenor Street London W1K 3JR Sanders Capital, LLC England 390 Park Avenue New York, NY 10022 Schroder Investment Management Inc. United States of America 7 Bryant Park New York, NY 10018-3706 United States of America

Administration of the Company 3 Russell Investment Company II plc

Administration of the Company - continued

Western Asset Management Company Limited Paying and Information Agent in Italy 10 Exchange Square BNP Paribas Securities Services, Milan Branch Primrose Street Piazza Lina Bo Bardi, 3 London, EC2A 2EN 20124 Milano MI England Italy

Money Managers for Russell Investments China Equity Information Agent and Representative in the Netherlands Fund Deutsche Bank AG Bin Yuan Capital Ltd Amsterdam Branch 287-299 Queen’s Road Central Oval Tower Room 1505, 15/F, 299QRC De Entree 195 Sheung Wan 1101 HE Amsterdam Hong Kong Netherlands

Keywise Capital Management (HK) Limited Paying Agent in Switzerland** Room 4004-640/F Cosco Banque Cantonale de Genève Tower 183 Queen’s Road Case Postale 2251 Central Hong Kong 1211 Genève 2 Switzerland Paying and Information Agent in Austria UniCredit Bank Austria AG Representative in Switzerland** Schottengasse 11 Carnegie Fund Services S.A. 1010 Wien 11, rue du Général-Dufour Austria 1204 Geneva Switzerland Paying and Information Agent in France Société Générale Paying Agent in Italy 29, Boulevard Haussmann SGSS S.p.A 75009 Paris Via Benigno Crespi, 19/A-MAC2 France 20159 Milan Italy Paying and Information Agent in Germany* Marcard, Stein & Co. AG Ballindamm 36 20095 Hamburg Germany

* The Company’s Memorandum and Articles of Association, the Prospectus, the Key Investor Information Documents, the unaudited semi- annual reports, as well as the audited annual reports can be obtained free of charge from the office of the paying and information agent via regular mail or by e-mail. The net asset value of each of the relevant Funds and the subscription and redemption prices of the shares of the Funds are published jointly and daily on “www.fundinfo.com” for information purposes only and do not constitute an invitation to subscribe for or repurchase the Company’s shares at those prices.

** ADDITIONAL INFORMATION FOR QUALIFIED INVESTORS IN SWITZERLAND Only the Russell Investments China Equity Fund of The Russell Investment Company II Plc (the Fund) is compliant with Swiss law for distribution to qualified investors in Switzerland.

The Company and the Fund mentioned above are compliant with Swiss law for distribution to qualified investors in Switzerland. The Swiss representative is Carnegie Fund Services S.A., 11, rue du Général-Dufour, 1204 Geneva, Switzerland. The Swiss paying agent is Banque Cantonale de Genève, 17, quai de l’Ile, 1204 Geneva, Switzerland. Investors in Switzerland can obtain the documents of the Company, such as the Prospectus, the Articles of Association, the Key Investor Information Documents (KIIDs), and the financial reports free of charge from the Swiss representative. This document may only be issued, circulated or distributed so as not to constitute an offering to the general public in Switzerland. Recipients of the document in Switzerland should not pass it on to anyone without first consulting their legal or other appropriate professional adviser, or the Swiss representative.

Each time performance data is published, it should be noted that the past performance is no indication of current or future performance, and that it does not take account of the commissions and costs incurred on the issue and redemption of shares.

The list of the purchases and sales and further information can be obtained free of charge from the representative in Switzerland. For the shares of the Fund distributed to non-qualified investors in and from Switzerland and for the shares of the Fund distributed to qualified investors in Switzer- land, the place of jurisdiction is Geneva.

4 Administration of the Company Russell Investment Company II plc

Background to the Company

Russell Investment Company II plc (the “Company”) was incorporated in Ireland as a public limited company on 1 November 2000. The Company operates under the Companies Act, 2014 (the Companies Act) and has been authorised since 8 November 2000 by the Central Bank of Ireland (the “Central Bank”) under registration number incorporated in Ireland with registration number C25353.

The Company is an open-ended investment company with variable capital which is authorised by the Central Bank under the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS Regulations”) and under the Central Bank (Supervision & Enforcement) Act 2013 (Section 48(1) (Undertakings for Collective Investment in Transferable Securities)) Regulations 2019 (the “Central Bank UCITS Regulations”).

The Company is organised in the form of an umbrella fund with segregated liability between sub-funds and as at 31 March 2021, has eight constituent sub funds available for investment (each a “Fund”, collectively the “Funds”). Russell Investments U.S. Equity Plus Fund remained unfunded as at 31 March 2021.

Russell Investment Limited, (the “Adviser”), Russell Investments Ireland Limited (the Manager) and their affiliated group companies are referred to collectively as “Russell Investments” in these financial statements.

The net assets under management for the Company as at 31 March 2021 amounted to EUR 2,904,178,521 (as at 31 March 2020: EUR 3,341,399,485) and are broken down as follows:

Net Assets Net Assets Funded during Functional 31 March 2021 31 March 2020 Fund the financial year ended currency ’000 ’000 Russell Investments Emerging Market Debt Local Currency Fund 31 March 2013 USD 243,665 787,693 Russell Investments Emerging Markets Extended Opportunities Fund† 31 March 2012 USD - 128,318 Russell Investments Euro Fixed Income Fund 31 March 2002 EUR 169,632 157,054 Russell Investments Global Bond (Euro Hedged) Fund 31 March 2002 EUR 334,310 311,401 Russell Investments Pan European Equity Fund 31 March 2002 EUR 141,361 170,782 Russell Investments U.S. Quant Fund 31 March 2002 USD 228,401 159,159 Russell Investments World Equity Fund 31 March 2005 USD 2,087,191 1,838,080 Russell Investments China Equity Fund 31 March 2018 USD 95,600 51,831

† The Fund ceased trading on 22 March 2021.

All shares in Russell Investments Emerging Markets Extended Opportunities Fund, Russell Investments Global Defensive Equity Fund, Russell Investments U.K. Equity Plus Fund, Russell Investments U.S. Equity Plus Fund, Russell Investments U.S. Growth Fund and Russell Investments U.S. Value Fund have been redeemed and the Funds have been closed and are no longer available for investment.

Each of the Funds may issue income class shares, accumulation class shares or roll-up class shares. All share classes are accumulating unless otherwise indicated in the name of the share class. All references to “net assets” throughout this document refer to net assets attributable to holders of redeemable participating shares unless otherwise stated.

U.K. Reporting Fund Status The Company conducts its affairs so as to enable U.K. reporting fund status to be obtained under the United Kingdom Income and Corporation Taxes Act, 1988 for the purposes of U.K. taxation for each applicable Fund.

Background to the Company 5 Russell Investment Company II plc

Directors’ Report

The Directors submit their report together with the audited financial statements for the financial year ended 31 March 2021.

Directors’ responsibilities The Directors are responsible for preparing the Annual Report and the financial statements in accordance with applicable Irish law and Generally Accepted Accounting Practice in Ireland (“Irish GAAP”) including the accounting standards issued by the Financial Reporting Council (“FRC”).

Irish company law requires the Directors to prepare financial statements for each financial year that give a true and fair view of the assets, liabilities and financial position for Russell Investment Company II plc (the “Company”) and of the profit or loss of the Company for that financial year. In preparing the financial statements, the Directors are required to:

▪ select suitable accounting policies and then apply them consistently; ▪ make judgements and estimates that are reasonable and prudent; and ▪ prepare the financial statements on a going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors confirm that they believe that they have complied with the above requirements in preparing the financial statements.

The Directors are responsible for the maintenance and integrity of the corporate and financial information relating to the Company which may be included on the Adviser’s website. Legislation in the Republic of Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

In carrying out the above requirements, the Directors have appointed Russell Investments Ireland Limited as manager (the “Manager”) and the Manager has appointed State Street Fund Services (Ireland) Limited to act as administrator (the “Administrator”) of the Company.

Transactions involving Directors In respect of the 2021 financial year, the Directors are not aware of any contracts or arrangements of any significance in relation to the business of the Company in which the Directors or their connected persons had any interest as defined by the Companies Act, other than those disclosed in Note 5, “Transactions with related parties”.

Accounting Records The Directors are responsible for maintaining adequate accounting records which correctly explain and record the transactions of the Company, enable at any time the assets, liabilities, financial position and profit or loss of the Company to be determined with reasonable accuracy, enable them to ensure that the financial statements and Directors’ Report comply with the Companies Act and enable the financial statements to be audited. They are also responsible for ensuring that the financial statements are prepared in accordance with accounting standards generally accepted in Ireland and comply with the Companies Act and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS Regulations”). The Directors are also responsible for safeguarding the assets of the Company. In this regard they have appointed State Street Custodial Services (Ireland) Limited (the “Depositary”) as Depositary to the Company pursuant to the terms of a depositary agreement. The Directors have a responsibility for taking such steps as are reasonably open to them to prevent and detect fraud and other irregularities. The Directors believe that they have complied with the requirements of the Companies Act, with regard to accounting records by employing an experienced administrator with appropriate expertise and by providing adequate resources to the financial function. The accounting records of the Company are maintained by the Administrator at 78 Sir John Rogerson’s Quay, Dublin 2, Ireland.

Distributions Please refer to Note 8 to the financial statements for details of the distribution policy of each of the Funds.

Connected persons transactions Regulation 43 of the Central Bank UCITS Regulations “Restrictions of transactions with connected persons” states that “A responsible person shall ensure that any transaction between a UCITS and a connected person is conducted a) at arm’s length; and b) in the best interest of the unit-holders of the UCITS”.

As required under the Central Bank UCITS Regulation 81(4), the Directors, as responsible persons are satisfied that there are arrangements in place, evidenced by written procedures, to ensure that the obligations that are prescribed by Central Bank Regulation 43(1) are applied to all transactions with a connected person; and all transactions with a connected person that were entered into during the period to which the report relates complied with the obligations that are prescribed by Central Bank Regulation 43(1).

6 Directors’ Report Russell Investment Company II plc

Directors’ Report - continued

Review of performance of the business, principal activities and future developments of the business As of reporting date, the Directors have no reason to believe that the Company is not able to continue as a going concern.

A detailed performance review of the business and its principal activities is included in the Manager’s Report for each Fund.

Principal risks and uncertainties Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. COVID- 19 has and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Funds’ performance.

The Directors and the Company’s delegates are closely monitoring the developments and the advice relating to the spread of the COVID-19. The Russell Investments Group has a robust global business continuity programme that includes incident management/crisis management, life safety and facilities. The business continuity programme contains over 65 individual plans, one for each key global or regional business unit. The Group has implemented and continues to implement measures to maintain the ongoing safety and well-being of employees.

The United Kingdom (“UK”) left the European Union (“EU”) on 31 January 2020, with a transition period that ended on 31 December 2020. During the transition period, the UK continued to comply with EU laws.

Russell Investments obtained legal advice from counsel in the jurisdictions in the EU27 where Russell Investments carried out regulated activity at the end of the Transition Period. Where possible, Russell Investments’ UK FCA authorised firms continue to provide services through national regimes. Where no national regime was available, contracts were novated to Russell Investments Ireland Limited. Training was provided throughout the business to ensure Russell associates are aware of the regulatory framework and continue to operate within it.

A detailed analysis of the risks facing each Fund and the use of financial instruments is included in Note 11 and Note 12 of the financial statements

Throughout the financial year, the Company maintained the aim of spreading investment risk in accordance with the Companies Act.

Results and dividends The results for the financial year are set out in the Profit and Loss Account for each Fund. Dividends were declared during the financial year as detailed in Note 8 of the financial statements.

Significant events during the financial year Significant events during the financial year are disclosed in Note 16 of the financial statements.

Significant events since the financial year end Significant events since the financial year end are disclosed in Note 17 of the financial statements.

Voluntary adoption of the Corporate Governance Code The Irish Funds Industry Association (“Irish Funds”) in association with the Central Bank has published a corporate governance code (the “Irish Funds Code”) that may be adopted on a voluntary basis by Irish authorised collective investment schemes. The Board of Directors voluntarily adopted the Irish Funds Code as the Company’s corporate governance code effective from 31 December 2012. The Company has been in compliance with the Irish Funds Code since its adoption.

Directors

The name and nationality of persons who were Directors at any time during the financial year ended 31 March 2021 are set out below. All Directors are non-executive directors. Except where indicated, all acted as Directors for the entire financial year.

Mr. James Firn (American and British) (Chairman) Mr. Peter Gonella (British) Mr. Neil Jenkins (British) Mr. Joseph Linhares (American) Mr. John McMurray (American) Mr. Tom Murray (Irish) Mr. William Pearce (British) Mr. William Roberts (British and Irish resident) Mr. David Shubotham (Irish)

Directors’ Report 7 Russell Investment Company II plc

Directors’ Report - continued

Directors’ and Secretary’s interests None of the Directors or the Company Secretary hold or held any beneficial interest in the shares of the Company during the financial year. Each of the Directors is employed by Russell Investments entities except for Mr. Tom Murray, Mr. William Roberts, Mr. David Shubotham and Mr. James Firn.

No Director had, at any time during the financial year or at the financial year end, a material interest in any contract of significance in relation to the business of the Company.

Compliance statement The Directors acknowledge that they are responsible for securing the Company’s compliance with its relevant obligations. These include all requirements of the Company under Section 225 of Companies Act, and all tax law within the Republic of Ireland (the relevant obligations).

In keeping with this responsibility, the Directors have: ▪ drawn up a compliance policy statement setting out the Company’s compliance with the relevant obligations; ▪ appointed the Adviser, and relies on the Adviser’s risk and compliance departments to implement these procedures and secure material compliance with the relevant obligations; and ▪ performed a review of this policy statement, and its implementation by the Adviser.

Audit Committee The Audit Committee of the Manager will oversee the Company’s audit related affairs according to the Terms of Reference of the Audit Committee of the Manager. The membership of the Audit committee is disclosed in the Administration of the Companyonpage2.

Relevant audit information So far as the Directors are aware, there is no relevant audit information of which the Company’s auditors are unaware and the Directors have taken all the steps that should have been taken as Directors in order to make themselves aware of any relevant audit information and to establish that the Company’s auditors are aware of that information.

Independent Auditors The Auditors, PricewaterhouseCoopers, will be re-appointed in accordance with section 383 of the Companies Act.

On behalf of the Board Director Director 8July2021

8 Directors’ Report Russell Investment Company II plc

Depositary’s Report

We have enquired into the conduct of Russell Investment Company II plc (the Company) for the financial year ended 31 March 2021, in our capacity as depositary to the Company.

This report including the opinion has been prepared for and solely for the shareholders in the Company as a body, in accordance with the Regulation 34(1), (3) and (4) in Part 5 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 as amended, (the UCITS Regulations) and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.

Responsibilities of the Depositary Our duties and responsibilities are outlined in Regulation 34(1), (3) and (4) in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conduct of the Company in each annual accounting period and report thereon to the shareholders.

Our report shall state whether, in our opinion, the Company has been managed in that financial year in accordance with the provisions of the Company’s Memorandum and Articles of Association and the UCITS Regulations. It is the overall responsibility of the Company to comply with these provisions. If the Company has not so complied, we as Depositary must state why this is the case and outline the steps which we have taken to rectify the situation.

Basis of Depositary Opinion The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined Regulation 34(1), (3) and (4) in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the Company has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the UCITS Regulations and (ii) otherwise in accordance with the Company’s constitutional documentation and the appropriate regulations.

Opinion

In our opinion, the Company has been managed during the financial year, in all material respects:

i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the Memorandum & Articles of Association, the UCITS Regulations and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)); (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (’the Central Bank UCITS Regulations’) and

ii) otherwise in accordance with the provisions of the Memorandum & Articles of Association the UCITS Regulations and the Central Bank UCITS Regulations

State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2 Ireland

8 July 2021

Depositary’s Report 9

Independent auditors’ report to the members of Russell Investment Company II plc

Report on the audit of the financial statements

Opinion In our opinion, Russell Investment Company II plc’s financial statements: • give a true and fair view of the Company’s and Funds’ assets, liabilities and financial position as at 31 March 2021 and of their results for the year then ended; • have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland (accounting standards issued by the Financial Reporting Council of the UK, including Financial Reporting Standard 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland” and Irish law); and • have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended). We have audited the financial statements, included within the Annual Report and Audited Financial Statements, which comprise: • the Balance Sheet of the Company and each of its Funds as at 31 March 2021; • the Profit and Loss Account of the Company and each of its Funds for the year then ended; • the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of the Company and each of its Funds for the year then ended; • the Schedule of Investments for each of the Funds as at 31 March 2021; and • the notes to the financial statements for the Company and for each of its Funds, which include a description of the significant accounting policies.

Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland)”) and applicable law. Our responsibilities under ISAs (Ireland) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Independence We remained independent of the Company in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, which includes IAASA’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.

Emphasis of matter - financial statements prepared on a basis other than going concern In forming our opinion on the financial statements, which is not modified, we draw attention to note 1 to the financial statements which describes the directors’ reasons why the financial statements of Russell Investments Emerging Markets Extended Opportunities Fund have been prepared on a basis other than going concern.

Conclusions relating to going concern With the exception of the fund where a basis of accounting other than going concern has been adopted as set out in the Emphasis of matter – financial statements prepared on a basis other than going concern above, based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Company’s and Funds’ ability to continue as a going concern for a period of at least twelve months from the date on which the financial statements are authorised for issue.

With the exception of the fund where a basis of accounting other than going concern has been adopted as set out in the Emphasis of matter – financial statements prepared on a basis other than going concern above, in auditing the financial statements, we have concluded that the directors’ use of the going concern basis of accounting in the preparation of the financial statements is appropriate. However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the Company’s and Funds’ ability to continue as a going concern. Our responsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this report.

Reporting on other information The other information comprises all of the information in the Annual Report and Audited Financial Statements other than the financial statements and our auditors’ report thereon. The directors are responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance 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 we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. 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 that fact. We have nothing to report based on these responsibilities. With respect to the Directors’ Report, we also considered whether the disclosures required by the Companies Act 2014 have been included. Based on the responsibilities described above and our work undertaken in the course of the audit, ISAs (Ireland) and the Companies Act 2014 require us to also report certain opinions and matters as described below: • In our opinion, based on the work undertaken in the course of the audit, the information given in the Directors’ Report for the year ended 31 March 2021 is consistent with the financial statements and has been prepared in accordance with applicable legal requirements. • Based on our knowledge and understanding of the Company and its environment obtained in the course of the audit, we have not identified any material misstatements in the Directors’ Report. Responsibilities for the financial statements and the audit Responsibilities of the directors for the financial statements As explained more fully in the Directors’ Responsibilities set out on page 6, the directors are responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view. The directors are also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the directors are responsible for assessing the Company’s and Funds’ ability to continue as going concerns, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so. Auditors’ responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. Our audit testing might include testing complete populations of certain transactions and balances, possibly using data auditing techniques. However, it typically involves selecting a limited number of items for testing, rather than testing complete populations. We will often seek to target particular items for testing based on their size or risk characteristics. In other cases, we will use audit sampling to enable us to draw a conclusion about the population from which the sample is selected.

A further description of our responsibilities for the audit of the financial statements is located on the IAASA website at: https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsibili ties_for_audit.pdf. This description forms part of our auditors’ report. Use of this report This report, including the opinions, has been prepared for and only for the Company’s members as a body in accordance with section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

Other required reporting

Companies Act 2014 opinions on other matters • We have obtained all the information and explanations which we consider necessary for the purposes of our audit. • In our opinion the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited. • The financial statements are in agreement with the accounting records. Companies Act 2014 exception reporting Directors’ remuneration and transactions Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arising from this responsibility.

Declan Murphy for and on behalf of PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin 8 July 2021 Russell Investment Company II plc

Combined Balance Sheet

As at 31 March 2021

Total Total 31 March 2021 31 March 2020 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss...... 2,786,581 3,205,200

Cash at bank ...... 49,771 98,197 Cash held with brokers and counterparties for open financial derivative instruments ..... 79,199 107,132

Debtors: Receivable for investments sold ...... 55,958 14,503 Receivable on fund shares issued ...... 15,683 43,536 Dividends receivable...... 5,343 6,460 Interest receivable...... 5,222 12,849 Prepayments and other debtors...... 35 2,997,760 3,487,882 Liabilities Financial liabilities at fair value through profit or loss ...... (25,499) (91,003)

Creditors – amounts falling due within one financial year: Cash due to brokers and counterparties for open financial derivative instruments...... (448) (13,043) Payable for investments purchased...... (3,300) (29,798) Payable on fund shares redeemed...... (58,415) (3,838) Distributions payable on income share classes...... (719) (3,946) Capital gains tax payable...... (258) (910) Management fees payable...... (2,635) (3,013) Performance fees payable ...... (211) (119) Depositary fees payable...... (227) (161) Sub-custodian fees payable...... (257) (325) Administration fees payable ...... (189) (58) Audit fees payable ...... (146) (183) Other fees payable ...... (119) (86) Other liabilities ...... (1,158) - (93,581) (146,483)

Net assets attributable to redeemable participating shareholders ...... 2,904,179 3,341,399

On behalf of the Board Director Director 8July2021

The accompanying notes are an integral part of the financial statements.

Combined Balance Sheet 13 Russell Investment Company II plc

Combined Profit and Loss Account

For the financial year ended 31 March 2021

Total Total 2021 2020 EUR ‘000 EUR ’000 Income Dividends...... 44,594 62,402 Interest income ...... 23,933 57,520 68,527 119,922

Net gain (loss) on investment activities...... 1,063,421 (459,495)

Total investment income (expense)...... 1,131,948 (339,573)

Expenses Management fees...... (31,291) (40,649) Performance fees ...... (300) (153) Depositary fees ...... (610) (701) Sub-custodian fees...... (662) (1,320) Administration and transfer agency fees ...... (795) (1,046) Audit fees...... (146) (182) Professional fees...... (267) (232) Other fees...... (628) (570) Total operating expenses ...... (34,699) (44,853)

Net income (expense)...... 1,097,249 (384,426)

Finance costs Distributions ...... (27,277) (66,177) Profit (loss) for the financial year before taxation...... 1,069,972 (450,603)

Taxation Capital gains tax ...... (1,130) (222) Withholding tax ...... (7,636) (10,704)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 1,061,206 (461,529)

With the exception of Russell Investments Emerging Markets Extended Opportunities Fund, which ceased trading on 22 March 2021, all amounts in respect of the financial year ended 31 March 2021 arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

14 Combined Profit and Loss Account Russell Investment Company II plc

Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

Total Total 2021 2020 EUR ‘000 EUR ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 1,061,206 (461,529)

Share transactions Reinvestment of deemed distributions on accumulation shares...... 21,929 50,885 Net increase (decrease) in net assets resulting from redeemable participating share transactions...... (1,342,946) (265,294)

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... (259,811) (675,938)

Foreign currency translation (Note 1) ...... (177,409) 66,972

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 3,341,399 3,950,365

End of financial year ...... 2,904,179 3,341,399

The accompanying notes are an integral part of the financial statements.

Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 15 Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Manager’s Report

Money Managers as at 31 March 2021 Barings LLC Colchester Global Investors Limited GLG LLC

Investment Objective Russell Investments Emerging Market Debt Local Currency Fund (the “Fund”) investment objective is to provide income and capital growth. During normal market conditions the Fund will seek to achieve its investment objective by investing at least 80 per cent of its net assets in Fixed Income Securities and Instruments that are issued by or economically tied to an Emerging Market (EM) country and financial derivative instruments that create or hedge relevant exposures.

Fund Performance During the financial year ended 31 March 2021, the Fund returned 15.2 per cent on a gross-of-fee basis (13.9 per cent on a net- of-fee basis), while the benchmark* returned 13.0 per cent.

Market Comment The benchmark posted a total return of 9.8 per cent in the second quarter of 2020. The primary drivers of Emerging Market (EM) sovereign debt performance at the benchmark level in quarter two came from non-investment grade countries. The three largest contributors within the high yield segment of the market were Angola, Oman and Nigeria which returned 119.4 per cent, 26.1 per cent and 37.6 per cent, respectively. Given their small weights in the index, Gabon and Zambia made less of an impact at the benchmark level but gained 45.8 per cent and 40.5 per cent, respectively. Other notable returns came from Argentina and Ecuador, which returned 30.2 per cent and 40.1 per cent, respectively; both countries are undergoing debt restructurings. The rebound in commodity prices, particularly oil and copper, had a positive impact on each of these commodity exporters. In Angola, the agreement in principle on a three-year moratorium on payments of interest and amortizations on USD 21.7 billion in debt owed to China further supported Angolan bonds. In Zambia, an optimistic assessment from the Ministry of Finance of the country’s discussions on a lending program with the International Monetary Fund (IMF) as well as expectations for leniency from China, which accounts for over a quarter of Zambia’s external debt, supported Zambia’s bond prices. The IMF, which allocated nearly USD 150 million in a Rapid Financing Instrument (RFI) to Gabon in May, doubled the potential aid the country can receive in similar emergency financing operations as long as several preconditions are met. Gabon bonds rallied in response. The largest contributors to the 9.1 per cent return from investment grade countries in the reference benchmark were Mexico and Indonesia which posted total returns of 12.5 per cent and 10.2 per cent, respectively. The benchmark posted a total return of 0.6 per cent during third quarter of 2020, continuing the recovery from the prior quarter. The top performing countries from Latin America, included Uruguay, Colombia, Chile, and Mexico, with total returns of 3.9 per cent, 3.7 per cent, 3.6 per cent and 3.6 per cent, respectively. While the underlying credit dynamics remained different in each of these countries, the outperformance of long duration assets was a common theme. Uruguay further benefitted from the passage of an omnibus bill in early July that contained measures to create a framework for a fiscal rule and to explore pension fund reform alternatives. Improving activity and mobility data following the government’s relaxation of quarantine orders over August- September supported investor sentiment for Colombian debt. While the Chilean government extended its pandemic restrictions due to additional virus outbreaks, recent data on the services sector showed stabilization, and the mining sector held up well as copper prices rebounded on the back of a recovery in China and supply disruptions elsewhere; long duration state-owned enterprise debt outperformed. In Mexico, President Andres Manuel Lopez Obrador’s repeated support for the state-owned oil and gas and electricity companies supported bonds from those industries, allowing for spread compression in Mexican bonds. The non-investment grade subsector of the EM sovereign debt belied strong performances from several countries. Suriname, Ecuador, and Dominican Republic returned 36.6 per cent, 10.9 per cent and 9.1 per cent, respectively. During the fourth quarter of 2020, the benchmark posted a total return of 9.6 per cent, continuing the recovery over the prior quarters from the pandemic-driven downturn in March 2020. African countries performed especially well in quarter four as investors looked forward to improving growth prospects in a post-pandemic world. Sub-Saharan countries, including Angola, Ghana, and Ivory Coast, delivered the strongest performances with returns of 22.5 per cent, 19.6 per cent and 16.3 per cent respectively. Rising oil prices supported demand for bonds of Angola and Ghana, while successful issuance of new 11-year bonds in November, along with robust fundamentals aided Ivory Coast debt. Egypt and South Africa, which host the continent’s largest external bond markets, were the largest contributors to the regional return. With bond prices well-below pre-COVID highs in many countries and the prospect for better commodity demand, most African countries outperformed. Zambia, which entered into debt negotiations with creditors, and Ethiopia, where conflict in the northern Tigray region continued into December, were the region’s laggards, returning 2.5 per cent and 3.3 per cent respectively. Returns from European-area countries were also strong, led by Ukraine (+14.3 per cent) and Turkey (+12.4 per cent). Turkey’s bonds benefited from a shift towards policy orthodoxy following changes in leadership at the Finance Ministry and the Central Bank. Government efforts to secure the release of funding from the IMF supported Ukrainian debt.

16 Russell Investments Emerging Market Debt Local Currency Fund Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Manager’s Report - continued

During the first quarter of 2020, the benchmark posted a negative return of -6.7 per cent. The largest drawdown occurred in February as real US Treasury yields, though still negative, increased on fears that a rapid economic recovery would increase inflationary pressure, forcing the US Federal Reserve to begin scaling back its easy monetary policies earlier than planned. Asia high yield countries outperformed during the quarter, with a regional total return of 4.55 per cent. Each country from the region posted positive returns, though Sri Lanka was the outlier, with a total return of 10.1 per cent. Nearly all of Sri Lanka’s gains occurred in March following the country’s announcement of better-than-expected quarter four 2020 real GDP growth (+3.8 per cent) and finalization of a USD 1.5 billion swap line agreement with the People’s Bank of China, which reduced near-term liquidity risks. High yield countries from Africa retuned -3.89 per cent with wide variations. Zambia returned 8.91 per cent and Angola gained 2.32 per cent, while Mozambique and Senegal declined by 8.6 per cent and 8.79 per cent, respectively. Zambia’s gains followed the announcement that the IMF was considering increasing its Special Drawing Rights (SDR) allocations to Emerging Market countries by as much as USD 650 billion. In Zambia, the SDR allocation would result in a boost to FX reserves equivalent to approximately 7 per cent of Zambia’s GDP.Angola’s outperformance can be attributed to higher oil prices, an improving fiscal outlook, bilateral debt relief and ongoing support from the IMF. The IMF completed its 4th review of its Angola lending program in January and disbursed USD 480 million. The IMF is now working on the 5th and 6th reviews.

General Comment on Money Managers/Performance The Fund outperformed in the second quarter of 2020. The severe “risk-off ” market environment of the previous quarter largely reversed this period, with local currency emerging market debt performing well in April and May. The Fund’s rates and currency positioning added relative value. Overweights to rates in Mexico, South Africa, Russia, Columbia and the Philippines were all rewarded. However, underweights to rates in Hungary, Chile and Poland detracted. Within currencies, exposure to the Australian dollar, Colombian peso and Russian rouble were key contributors, although an underweight to the Thai baht was negative. Barings was the standout strategy, benefitting from its pro-cyclical exposure. The Fund outperformed as both rates and currency positioning added relative value in the third quarter of 2020. An underweight to both Turkish rates and the Turkish lira were key contributors as investor sentiment towards the country remained weak. An overweight to rates in Indonesia and Colombia, as well as an underweight to rates in Hungary, also contributed. However, an overweight to Brazilian rates was unrewarded. Within currencies, a neutral position to the Chilean peso and overweight to the Mexican peso added relative value. Exposure to the US and Australian dollar was also positive. An underweight to the Chinese yuan and overweight to the Colombian peso weighed on further outperformance. The Fund added to its 2020 outperformance in the final quarter of 2020. The Fund’s rates and currency positioning continued to add relative value. Overweights to both rates and currency in Mexico (peso) and Brazil (real) were key contributors this period. Within rates, overweight exposure to South Africa, Colombia and Indonesia suited the market environment. An underweight to rates in Hungary was the sole notable detractor. Within currencies, exposure to the US and Australian dollar was positive. However, underweights to the Chinese yuan, Indonesian rupiah, Turkish lira and Thai baht weighed on further outperformance. The Fund outperformed the benchmark in the first quarter of 2021. Emerging market debt was out of favour amid the US Treasury sell-off and increased interest rate expectations. The Fund’s US dollar exposure was a key positive. Inflation-linked exposure within Brazil was rewarded, although overweight exposure to Brazilian rates and the real detracted. An underweight to both Turkish rates and the lira were key contributors as investor sentiment declined after the central bank governor was sacked. An underweight to rates in Thailand, Hungary and Colombia also contributed. An overweight to both Mexican rates and the peso, alongside an underweight to the Indonesian rupiah, weighed on further outperformance.

Past performance is no indication of present or future performance. * Benchmark Source: JP Morgan GBI-EM Global Diversified Index Russell Investments Ireland Limited May 2021

Russell Investments Emerging Market Debt Local Currency Fund 17 Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Balance Sheet

As at 31 March 2021

31 March 2021 31 March 2020 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss (Note 2) ...... 218,149 764,527

Cash at bank (Note 3)...... 22,034 35,270 Cash held with brokers and counterparties for open financial derivative instruments (Note 3)...... 5,892 34,377

Debtors: Receivable for investments sold ...... - 2,720 Receivable on fund shares issued ...... - 3 Interest receivable...... 3,374 11,745 249,449 848,642 Liabilities Financial liabilities at fair value through profit or loss (Note 2)...... (3,982) (42,043)

Creditors – amounts falling due within one financial year: Cash due to brokers and counterparties for open financial derivative instruments (Note 3)...... (200) (10,892) Payable for investments purchased...... (855) (2,851) Distributions payable on income share classes...... (116) (3,167) Capital gains tax payable...... (303) (998) Management fees payable...... (160) (742) Depositary fees payable...... (29) (37) Sub-custodian fees payable...... (78) (149) Administration fees payable ...... (17) (14) Audit fees payable ...... (24) (25) Other fees payable ...... (20) (31) (5,784) (60,949)

Net assets attributable to redeemable participating shareholders ...... 243,665 787,693

The accompanying notes are an integral part of the financial statements.

18 Russell Investments Emerging Market Debt Local Currency Fund Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Profit and Loss Account

For the financial year ended 31 March 2021

2021 2020 USD ‘000 USD ‘000 Income Interest income ...... 18,865 52,482

Net gain (loss) on investment activities (Note 4) ...... 78,912 (106,998)

Total investment income (expense)...... 97,777 (54,516)

Expenses Management fees (Note 5) ...... (3,598) (9,932) Depositary fees (Note 6)...... (98) (156) Sub-custodian fees (Note 6) ...... (249) (608) Administration and transfer agency fees (Note 6)...... (110) (227) Audit fees (Note 6) ...... (24) (25) Professional fees...... (31) (22) Other fees...... (77) (54) Total operating expenses ...... (4,187) (11,024)

Net income (expense)...... 93,590 (65,540)

Finance costs Distributions (Note 8)...... (10,972) (38,430) Profit (loss) for the financial year before taxation...... 82,618 (103,970)

Taxation (Note 9) Capital gains tax ...... (885) (313) Withholding tax ...... (1,026) (2,845)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 80,707 (107,128)

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

Russell Investments Emerging Market Debt Local Currency Fund 19 Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

2021 2020 USD ‘000 USD ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 80,707 (107,128)

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 7,580 25,681 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10)...... (632,315) (74,663)

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... (544,028) (156,110)

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 787,693 943,803

End of financial year ...... 243,665 787,693

The accompanying notes are an integral part of the financial statements.

20 Russell Investments Emerging Market Debt Local Currency Fund Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 USD ’000 % Amount ’000 USD ’000 % Transferable Securities (83.57%) 28,913,000 8.375% due 15/03/34.. 2,184 0.90 (2020: 86.01%) 65,213,000 8.250% due 15/05/36.. 4,830 1.98 Long Term Bonds and Notes (70.65%) 20,491,000 8.375% due 15/04/39.. 1,510 0.62 (2020: 73.26%) 28,551 11.72 Brazil (5.00%) Brazil Notas do Tesouro Nacional Serie B Israel (0.53%) BRL 947 6.000% due 15/08/50.. 738 0.30 Israel Government Bond Brazil Notas do Tesouro Nacional Serie F ILS 1,200 5.500% due 31/01/42.. 585 0.24 10.000% due 1,805 3.750% due 31/03/47.. 708 0.29 41,233 01/01/23 ...... 7,876 3.23 1,293 0.53 10.000% due Malaysia (4.19%) 8,766 01/01/27 ...... 1,671 0.69 Malaysia Government Bond 10.000% due MYR 1,402 3.480% due 15/03/23.. 347 0.14 8,112 01/01/29 ...... 1,539 0.63 4,998 4.059% due 30/09/24.. 1,270 0.52 10.000% due 12,661 3.955% due 15/09/25.. 3,218 1.32 1,889 01/01/31 ...... 358 0.15 4,489 3.906% due 15/07/26.. 1,141 0.47 12,182 5.00 1,771 3.502% due 31/05/27.. 441 0.18 Chile (1.15%) 7,500 3.733% due 15/06/28.. 1,882 0.77 Bonos de la Tesoreria de la Republica en pesos 1,956 3.885% due 15/08/29.. 492 0.20 CLP 1,225,000 4.500% due 01/03/26.. 1,901 0.78 2,500 4.498% due 15/04/30.. 653 0.27 535,000 6.000% due 01/01/43.. 910 0.37 1,263 2.632% due 15/04/31.. 288 0.12 1,900 4.935% due 30/09/43.. 489 0.20 2,811 1.15 10,221 4.19 Colombia (8.96%) Colombian TES Mexico (7.80%) COP 4,581,100 7.000% due 04/05/22.. 1,307 0.54 Mexican Bonos 10.000% due MXN 15,520 6.500% due 09/06/22.. 774 0.32 40,263,400 24/07/24 ...... 12,817 5.26 28,000 8.000% due 05/09/24.. 1,470 0.60 10,201,500 7.500% due 26/08/26.. 3,002 1.23 10.000% due 4,050,800 6.000% due 28/04/28.. 1,079 0.44 37,606 05/12/24 ...... 2,102 0.87 6,400,000 7.000% due 30/06/32.. 1,698 0.70 70,773 7.500% due 03/06/27.. 3,688 1.51 2,193,200 7.250% due 18/10/34.. 584 0.24 44,702 8.500% due 31/05/29.. 2,455 1.01 5,400,000 7.250% due 26/10/50.. 1,344 0.55 27,907 7.750% due 29/05/31.. 1,455 0.60 4,500 7.750% due 23/11/34.. 231 0.09 21,831 8.96 10.000% due Czech Republic (3.84%) 18,951 20/11/36 ...... 1,158 0.48 Czech Republic Government Bond 24,852 8.500% due 18/11/38.. 1,336 0.55 CZK 144,940 0.450% due 25/10/23.. 6,436 2.64 60,651 7.750% due 13/11/42.. 2,997 1.23 51,420 0.950% due 15/05/30.. 2,136 0.88 17,042 8.000% due 07/11/47.. 855 0.35 20,000 1.500% due 24/04/40.. 784 0.32 Mexican Udibonos 9,356 3.84 8,402 4.500% due 22/11/35.. 473 0.19 Indonesia (11.72%) 18,994 7.80 Indonesia Treasury Bond Peru (2.79%) IDR 89,568,000 8.375% due 15/03/24.. 6,648 2.73 Peru Government Bond 19,611,000 8.125% due 15/05/24.. 1,451 0.60 PEN 5,000 8.200% due 12/08/26.. 1,738 0.71 42,238,000 6.500% due 15/06/25.. 2,982 1.22 600 6.350% due 12/08/28.. 186 0.08 10,000,000 5.500% due 15/04/26.. 677 0.28 1,905 6.850% due 12/02/42.. 542 0.22 23,000,000 7.000% due 15/05/27.. 1,650 0.68 Peruvian Government International Bond 10.000% due 11,860 8.200% due 12/08/26.. 4,124 1.69 13,000,000 15/02/28 ...... 1,061 0.44 765 6.900% due 12/08/37.. 219 0.09 12,500,000 9.000% due 15/03/29.. 981 0.40 6,809 2.79 35,745,000 8.250% due 15/05/29.. 2,690 1.10 10,000,000 6.500% due 15/02/31.. 676 0.28 Philippines (0.86%) 4,474,000 8.750% due 15/05/31.. 349 0.14 Philippine Government Bond 8,966,000 7.500% due 15/08/32.. 634 0.26 PHP 86,650 5.500% due 08/03/23.. 1,902 0.78 3,404,000 6.625% due 15/05/33.. 228 0.09

The accompanying notes are an integral part of the financial statements.

Russell Investments Emerging Market Debt Local Currency Fund 21 Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 USD ’000 % Amount ’000 USD ’000 % 6,600 8.125% due 16/12/35.. 181 0.08 Turkey (0.46%) 2,083 0.86 Turkey Government Bond TRY 1,032 9.000% due 04/05/22.. 114 0.05 Poland (1.30%) 12.600% due Republic of Poland Government Bond 2,171 01/10/25 ...... 217 0.09 PLN 883 2.500% due 25/04/24.. 239 0.10 11.700% due 1,102 0.750% due 25/04/25.. 281 0.12 9,277 13/11/30 ...... 788 0.32 302 2.750% due 25/04/28.. 84 0.03 4,850 2.750% due 25/10/29.. 1,361 0.56 1,119 0.46 4,845 1.250% due 25/10/30.. 1,194 0.49 Ukraine (0.54%) 3,159 1.30 Ukraine Government Bond UAH 30,000 9.840% due 15/02/23.. 1,050 0.43 Romania (2.08%) 8,300 9.790% due 26/05/27.. 268 0.11 Romania Government Bond RON 9,000 5.800% due 26/07/27.. 2,534 1.04 1,318 0.54 4,500 5.000% due 12/02/29.. 1,230 0.51 United States (0.08%) 5,300 3.650% due 24/09/31.. 1,302 0.53 International Finance Corp 5,066 2.08 USD 200 9.850% due 15/12/25.. 195 0.08 Russia (5.76%) Uruguay (0.72%) Russian Federal Bond Uruguay Government International Bond RUB 16,000 7.600% due 20/07/22.. 218 0.09 UYU 35,936 4.375% due 15/12/28.. 966 0.40 Russian Federal Bond - OFZ 30,207 3.875% due 02/07/40.. 791 0.32 24,125 7.000% due 16/08/23.. 328 0.13 1,757 0.72 44,775 7.100% due 16/10/24.. 610 0.25 Total Long Term 80,161 8.150% due 03/02/27.. 1,137 0.47 Bonds and Notes ...... 172,144 70.65 522,623 7.050% due 19/01/28.. 7,006 2.88 34,598 6.900% due 23/05/29.. 458 0.19 Short Term Investments (12.92%) 110,509 7.650% due 10/04/30.. 1,535 0.63 (2020: 12.75%) 50,396 7.700% due 23/03/33.. 704 0.29 Hong Kong (0.20%) 53,925 7.250% due 10/05/34.. 728 0.30 Asian Development Bank 92,287 7.700% due 16/03/39.. 1,300 0.53 GEL 1,732 3.301% due 14/07/21.. 480 0.20 14,024 5.76 Indonesia (0.32%) Indonesia Treasury Bond South Africa (9.14%) IDR 11,196,000 8.250% due 15/07/21.. 781 0.32 Republic of South Africa Government Bond ZAR 1,732 7.750% due 28/02/23.. 122 0.05 Malaysia (0.71%) 10.500% due Malaysia Government Bond 54,211 21/12/26 ...... 4,173 1.71 MYR 7,043 3.882% due 10/03/22.. 1,730 0.71 44,689 7.000% due 28/02/31.. 2,475 1.01 Mexico (1.76%) 20,371 8.875% due 28/02/35.. 1,172 0.48 Mexican Bonos 36,211 6.250% due 31/03/36.. 1,616 0.66 MXN 86,324 7.250% due 09/12/21.. 4,295 1.76 24,756 8.500% due 31/01/37.. 1,338 0.55 Thailand (2.54%) 86,320 6.500% due 28/02/41.. 3,644 1.50 Thailand Government Bond 107,727 8.750% due 31/01/44.. 5,727 2.35 THB 188,990 3.650% due 17/12/21.. 6,191 2.54 37,843 8.750% due 28/02/48.. 2,011 0.83 United States (7.39%) 22,278 9.14 International Bank for Reconstruction & Thailand (3.73%) Development Thailand Government Bond GEL 3,400 7.250% due 22/11/21.. 978 0.40 THB 25,870 3.625% due 16/06/23.. 886 0.36 U.S. Treasury Note 50,000 3.850% due 12/12/25.. 1,808 0.74 USD 17,000 1.125% due 30/06/21.. 17,045 6.99 42,600 2.125% due 17/12/26.. 1,432 0.59 18,023 7.39 15,000 3.580% due 17/12/27.. 546 0.23 17,000 2.875% due 17/12/28.. 593 0.24 Total Short Term 101,000 1.600% due 17/12/29.. 3,200 1.31 Investments...... 31,500 12.92 18,000 3.300% due 17/06/38.. 632 0.26 Total Transferable 9,097 3.73 Securities ...... 203,644 83.57

The accompanying notes are an integral part of the financial statements.

22 Russell Investments Emerging Market Debt Local Currency Fund Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Number Fair Value Fund Amount ’000 USD ’000 % of Shares ’000 USD ’000 % Money Market Instruments (3.19%) Investment Funds (1.77%) (2020: 4.55%) (2020: 0.86%) Ireland (1.77%) 4 Russell Investments United States (3.19%) Company III plc Russell U.S. Treasury Bills Investments U.S. Dollar Zero Coupon due Cash Fund II - Class R 765 03/06/21 ...... 765 0.31 Roll-Up Shares ...... 4,321 1.77 850 08/07/21 ...... 850 0.35 230 29/07/21 ...... 230 0.10 Total Investment 1,180 19/08/21 ...... 1,180 0.48 Funds ...... 4,321 1.77 4,745 26/08/21 ...... 4,744 1.95 Total Investments 7,769 3.19 excluding Financial Derivative Total Money Market Instruments ...... 215,734 88.53 Instruments ...... 7,769 3.19

Financial Derivative Instruments ((0.64)%) (2020: 0.30%) Open Forward Foreign Currency Exchange Contracts ((0.55)%)

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 27/04/2021 AUD 3,638 USD 2,814 (43) (0.02) 13/04/2021 BRL 5,901 USD 1,079 (34) (0.01) 13/04/2021 BRL 27,878 USD 5,205 (267) (0.11) 13/04/2021 BRL 1,478 USD 257 5 0.00 04/05/2021 BRL 14,554 USD 2,645 (70) (0.03) 11/05/2021 BRL 16,456 USD 3,077 (167) (0.07) 11/05/2021 BRL 268 USD 50 (3) 0.00 11/05/2021 BRL 6,708 USD 1,205 (19) (0.01) 13/04/2021 CLP 717,687 USD 1,031 (32) (0.01) 14/04/2021 CLP 771,478 USD 1,063 11 0.00 24/05/2021 CLP 94,430 USD 128 3 0.00 12/04/2021 CNY 34,713 USD 5,345 (55) (0.02) 25/05/2021 CNY 38,447 USD 5,924 (85) (0.03) 27/05/2021 CNY 107,093 USD 16,378 (116) (0.05) 22/04/2021 COP 24,791,838 USD 6,936 (191) (0.08) 23/04/2021 COP 1,613,789 USD 455 (16) (0.01) 20/04/2021 CZK 42,801 USD 1,993 (67) (0.03) 13/05/2021 CZK 12,111 USD 560 (15) (0.01) 01/06/2021 CZK 741 USD 35 (1) 0.00 18/05/2021 HKD 37,438 USD 4,830 (14) (0.01) 20/04/2021 HUF 778,337 USD 2,627 (103) (0.04) 13/05/2021 HUF 1,367,841 USD 4,598 (163) (0.07) 18/05/2021 HUF 132,221 USD 449 (21) (0.01) 01/06/2021 HUF 350,761 USD 1,187 (50) (0.02) 27/04/2021 IDR 76,636,213 USD 5,267 (17) (0.01) 18/05/2021 ILS 969 USD 293 (2) 0.00 25/05/2021 INR 136,391 USD 1,848 1 0.00 22/04/2021 KRW 1,167,383 USD 1,030 5 0.00 13/04/2021 MXN 12,743 USD 625 (3) 0.00 15/04/2021 MXN 42,220 USD 2,077 (16) (0.01)

The accompanying notes are an integral part of the financial statements.

Russell Investments Emerging Market Debt Local Currency Fund 23 Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 15/04/2021 MXN 10,960 USD 520 15 0.01 03/05/2021 MXN 29,949 USD 1,411 48 0.02 11/05/2021 MXN 19,482 USD 955 (6) 0.00 07/05/2021 PEN 1,647 USD 454 (16) (0.01) 21/04/2021 PHP 7,200 USD 148 - 0.00 28/05/2021 PHP 7,907 USD 164 (1) 0.00 20/04/2021 PLN 24,257 USD 6,523 (375) (0.16) 18/05/2021 PLN 17,064 USD 4,529 (203) (0.09) 27/05/2021 PLN 36,306 USD 9,710 (508) (0.21) 01/06/2021 PLN 4,283 USD 1,158 (72) (0.02) 12/04/2021 RON 5,021 USD 1,258 (59) (0.02) 12/07/2021 RON 4,553 USD 1,098 (16) (0.01) 20/04/2021 RUB 62,257 USD 815 8 0.00 18/05/2021 RUB 394,205 USD 5,279 (89) (0.04) 28/05/2021 RUB 38,499 USD 501 5 0.00 21/04/2021 THB 16,361 USD 531 (8) 0.00 12/07/2021 THB 12,231 USD 396 (5) 0.00 12/07/2021 THB 12,671 USD 405 - 0.00 19/04/2021 TRY 1,760 USD 232 (22) (0.01) 21/04/2021 TRY 2,096 USD 272 (22) (0.01) 18/05/2021 UAH 12,490 USD 437 8 0.00 27/04/2021 USD 1,305 AUD 1,700 10 0.00 23/04/2021 USD 343 BRL 1,916 4 0.00 04/05/2021 USD 288 BRL 1,606 4 0.00 20/04/2021 USD 1,576 CHF 1,394 94 0.04 20/04/2021 USD 1,940 CHF 1,722 110 0.06 18/05/2021 USD 177 CHF 157 10 0.00 18/05/2021 USD 222 CHF 207 1 0.00 13/04/2021 USD 568 CLP 416,608 (12) 0.00 14/04/2021 USD 103 CLP 75,040 (1) 0.00 12/04/2021 USD 283 CNY 1,838 3 0.00 25/05/2021 USD 1,952 CNY 12,807 7 0.00 27/05/2021 USD 4,370 CNY 28,318 70 0.03 27/05/2021 USD 360 CNY 2,377 (1) 0.00 13/04/2021 USD 2,623 COP 9,059,025 158 0.07 14/04/2021 USD 1,014 COP 3,706,160 5 0.00 22/04/2021 USD 7,188 COP 24,791,838 442 0.19 11/05/2021 USD 787 COP 2,778,116 32 0.01 26/07/2021 USD 6,362 COP 22,799,254 179 0.07 13/05/2021 USD 3,584 CZK 77,444 99 0.04 18/05/2021 USD 1,520 EUR 1,284 10 0.00 18/05/2021 USD 1,085 EUR 892 35 0.01 18/05/2021 USD 228 HKD 1,768 1 0.00 01/06/2021 USD 126 HUF 38,312 2 0.00 23/04/2021 USD 5,692 IDR 82,800,956 17 0.01 26/04/2021 USD 5,624 IDR 81,320,581 52 0.02 03/06/2021 USD 4,120 IDR 58,681,349 119 0.06 18/05/2021 USD 1,646 ILS 5,339 44 0.02 25/05/2021 USD 1,557 JPY 169,250 25 0.01 25/05/2021 USD 1,456 JPY 153,940 62 0.03 15/04/2021 USD 2,124 MXN 42,956 25 0.01

The accompanying notes are an integral part of the financial statements.

24 Russell Investments Emerging Market Debt Local Currency Fund Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 03/05/2021 USD 1,857 MXN 38,530 (20) (0.01) 03/05/2021 USD 350 MXN 7,141 2 0.00 25/05/2021 USD 114 MYR 462 3 0.00 13/04/2021 USD 148 PEN 535 5 0.00 07/05/2021 USD 2,051 PEN 7,438 74 0.03 27/04/2021 USD 2,038 PHP 98,300 17 0.01 01/06/2021 USD 1,215 PLN 4,537 65 0.03 12/04/2021 USD 120 RON 489 4 0.00 21/04/2021 USD 99 RUB 7,331 3 0.00 25/05/2021 USD 1,481 SGD 1,970 15 0.01 27/07/2021 USD 3,661 THB 114,558 (3) 0.00 20/04/2021 USD 770 ZAR 11,622 (16) (0.01) 20/04/2021 USD 2,249 ZAR 34,793 (102) (0.04) 03/05/2021 USD 3,716 ZAR 57,360 (154) (0.07) 07/05/2021 USD 2,016 ZAR 30,297 (27) 0.00 18/05/2021 USD 279 ZAR 4,208 (4) 0.00 18/05/2021 USD 561 ZAR 8,418 (6) 0.00 18/05/2021 USD 247 ZAR 3,729 (4) 0.00 20/04/2021 ZAR 1,551 USD 104 1 0.00 03/05/2021 ZAR 23,493 USD 1,556 30 0.01 07/05/2021 ZAR 24,261 USD 1,593 44 0.02 07/05/2021 ZAR 19,005 USD 1,291 (9) 0.00 Unrealised gain on open forward foreign currency exchange contracts...... 1,992 0.82 Unrealised loss on open forward foreign currency exchange contracts...... (3,331) (1.37) Net unrealised gain (loss) on open forward foreign currency exchange contracts...... (1,339) (0.55)

Interest Rate Swaps ((0.09)%)

Notional Fund Fund Termination Fair Value Fund Ccy Amount ‘000 Pays Receives Date USD ’000 % HUF 1,124,100 HUF 6 Month LIBOR 0.01% 22/11/2022 28 0.01 CNY Less than CNY 31,500 2.34% 1 Month CNRR 05/03/2025 (77) (0.03) CNY Less than CNY 22,800 1.77% 1 Month CNRR 06/05/2025 (137) (0.06) BRL Less than BRL 30,380 6.38% 1 Month BRCDI 02/01/2023 283 0.12 MXN 1 Month MXN 31,884 6.08% TIIE 10/04/2025 12 0.01 BRL Less than BRL 10,417 7.49% 1 Month BRCDI 02/01/2029 (93) (0.04) BRL Less than BRL 3,651 8.42% 1 Month BRCDI 02/01/2029 17 0.01 THB 6 Month THB 98,300 1.14% THBSR 31/01/2025 31 0.01 PLN 19,800 PLN 6 Month WIBOR 0.19% 30/10/2022 17 0.01 PLN 6 Month PLN 4,100 0.90% WIBOR 30/10/2030 (81) (0.03) BRL Less than BRL 29,437 5.00% 1 Month BRCDI 02/01/2023 (72) (0.03)

The accompanying notes are an integral part of the financial statements.

Russell Investments Emerging Market Debt Local Currency Fund 25 Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments - continued

31 March 2021

Notional Fund Fund Termination Fair Value Fund Ccy Amount ‘000 Pays Receives Date USD ’000 % BRL Less than BRL 19,174 5.00% 1 Month BRCDI 02/01/2023 (47) (0.02) BRL Less than BRL 14,770 4.99% 1 Month BRCDI 02/01/2023 (37) (0.01) THB 6 Month THB 84,200 0.72% THBSR 13/07/2025 (30) (0.01) CLP 879,358 CLP 6 Month CLICP 1.37% 03/09/2025 2 0.00 CLP 879,302 CLP 6 Month CLICP 1.36% 01/09/2025 2 0.00 CNY Less than CNY 19,200 2.69% 1 Month CNRR 21/10/2025 (13) (0.01) CNY Less than CNY 9,900 2.54% 1 Month CNRR 30/10/2025 (16) (0.01) CNY Less than CNY 21,300 2.84% 1 Month CNRR 24/11/2025 7 0.00 CNY Less than CNY 11,300 2.65% 1 Month CNRR 12/01/2026 (11) 0.00 ILS 1,600 ILS 3 Month TELBO 0.48% 19/02/2026 4 0.00 ILS 4,000 ILS 3 Month TELBO 0.22% 19/02/2024 4 0.00 HUF 250,000 HUF 6 Month BUBOR 1.90% 02/03/2026 5 0.00 CNY 3 Month CNY 7,100 2.92% CNRR 01/03/2026 6 0.00 BRL Less than BRL 5,722 5.76% 1 Month BRCDI 02/01/2023 (11) 0.00 BRL Less than BRL 2,838 5.86% 1 Month BRCDI 02/01/2023 (4) 0.00 BRL Less than BRL 2,838 5.86% 1 Month BRCDI 02/01/2023 (4) 0.00 BRL Less than BRL 17,774 6.14% 1 Month LBRCDI 02/01/2023 (18) (0.01) CNY 2,000 CNY 3 Month CNRR 2.34% 05/03/2025 5 0.00 Interest rate swaps at positive fair value...... 423 0.17 Interest rate swaps at negative fair value...... (651) (0.26) Interest rate swaps at fair value ...... (228) (0.09) Total Financial Derivative Instruments...... (1,567) (0.64)

Fair Value Fund USD ‘000 % Total Financial Assets at Fair Value through Profit or Loss (89.52%)...... 218,149 89.52 Total Financial Liabilities at Fair Value through Profit or Loss ((1.63)%) ...... (3,982) (1.63) Net Financial Assets at Fair Value through Profit or Loss (87.89%) ...... 214,167 87.89 Other Net Assets (12.11%) ...... 29,498 12.11 Net Assets...... 243,665 100.00

The accompanying notes are an integral part of the financial statements.

26 Russell Investments Emerging Market Debt Local Currency Fund Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments - continued

31 March 2021

%of Analysis of gross assets – (unaudited) gross assets Transferable securities admitted to an official stock exchange listing...... 53.05 Transferable securities dealt in on another regulated market...... 27.96 Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ...... 0.62 Money market instruments...... 3.12 Investment funds (UCITS) ...... 1.73 Over the counter financial derivative instruments ...... 0.97 Other assets ...... 12.55 100.00

Counterparty exposure risk (Note 12 e))

The following tables analyse the brokers/counterparties for the open financial derivative positions and the respective unrealised gains and losses and fair value.

As at 31 March 2021

Open Forward Foreign Currency Interest Exchange Rate Contracts Swaps Total Broker/counterparty USD ‘000 USD ‘000 USD ’000 Unrealised Fair Value Fair Value Gains Losses Positive Negative Assets Liabilities HSBC ...... 1,089 (1,171) - - 1,089 (1,171) Citibank...... 567 (929) - - 567 (929) Morgan Stanley...... 191 (45) 368 (426) 559 (471) Bank of America Merrill Lynch...... 44 (582) 4 - 48 (582) JP Morgan ...... 43 (473) - - 43 (473) Other* ...... 58 (131) 51 (225) 109 (356) Total financial derivative positions...... 1,992 (3,331) 423 (651) 2,415 (3,982)

As at 31 March 2020

Open Forward Foreign Currency Interest Open Futures Exchange Rate Contracts Contracts Swaps Broker/counterparty USD ‘000 USD ‘000 USD ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Positive Negative Bank of America Merrill Lynch...... - - 8,590 (5,096) 2,019 (116) Citibank...... - - 11,723 (7,582) - (100) Credit Suisse ...... - (40) - - 8 (2,694) HSBC ...... - - 9,935 (12,790) - - JP Morgan ...... - - 4,066 (8,688) - (166) Other** ...... - - 5,709 (4,324) 2,404 (447) Total financial derivative positions...... - (40) 40,023 (38,480) 4,431 (3,523)

The accompanying notes are an integral part of the financial statements.

Russell Investments Emerging Market Debt Local Currency Fund 27 Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments - continued

31 March 2021

Total Broker/counterparty USD ‘000 Fair Value Assets Liabilities Bank of America Merrill Lynch...... 10,609 (5,212) Citibank...... 11,723 (7,682) Credit Suisse ...... 8 (2,734) HSBC ...... 9,935 (12,790) JP Morgan ...... 4,066 (8,854) Other** ...... 8,113 (4,771) Total financial derivative positions...... 44,454 (42,043)

* The brokers/counterparties included here are Barclays Bank, BNP Paribas, Canadian Imperial Bank of Commerce, Goldman Sachs and Standard Chartered Bank for open forward foreign currency exchange contracts, Credit Suisse for interest rate swaps. ** The brokers/counterparties included here are Barclays Bank, BNP Paribas, Goldman Sachs, Morgan Stanley and Standard Chartered Bank for open forward foreign currency exchange contracts, BNP Paribas and Morgan Stanley for interest rate swaps.

The accompanying notes are an integral part of the financial statements.

28 Russell Investments Emerging Market Debt Local Currency Fund Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Schedule of Investments - continued

31 March 2021 Fair Value Hierarchy (Note 12 b) i))

The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2021 and 31 March 2020.

As at 31 March 2021

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... - 202,186 1,458 203,644 Money market instruments...... - 7,769 - 7,769 Investment funds ...... - 4,321 - 4,321 Unrealised gain on open forward foreign currency exchange contracts...... - 1,992 - 1,992 Interest rate swaps at fair value ...... - 423 - 423 Total assets...... - 216,691 1,458 218,149

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open forward foreign currency exchange contracts...... - (3,331) - (3,331) Interest rate swaps at fair value ...... - (651) - (651) Total liabilities...... - (3,982) - (3,982)

As at 31 March 2020

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... - 672,600 4,859 677,459 Money market instruments...... - 5,648 1,126 6,774 Investment funds ...... - 35,840 - 35,840 Unrealised gain on open futures contracts ...... ---- Unrealised gain on open forward foreign currency exchange contracts...... - 40,023 - 40,023 Interest rate swaps at fair value ...... - 4,431 - 4,431 Total assets...... - 758,542 5,985 764,527

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (40) - - (40) Unrealised loss on open forward foreign currency exchange contracts...... - (38,480) - (38,480) Interest rate swaps at fair value ...... - (3,523) - (3,523) Total liabilities...... (40) (42,003) - (42,043)

The accompanying notes are an integral part of the financial statements.

Russell Investments Emerging Market Debt Local Currency Fund 29 Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Statement of Changes in Composition of Portfolio* (unaudited)

For the Financial year ended 31 March 2021

Acquisition Cost Disposal Proceeds Portfolio Securities USD ‘000 Portfolio Securities USD ‘000 Russell Investments Company III plc Russell Investments Company III plc Russell Investments U.S. Dollar Cash Fund II Russell Investments U.S. Dollar Cash Fund II Class R Roll-Up Shares 104,371 Class R Roll-Up Shares (135,935) U.S. Treasury Note U.S. Treasury Note 1.125% due 30/06/2021 17,076 1.375% due 31/01/2021 (35,232) U.S. Treasury Bills Republic of South Africa Government Bond Zero Coupon due 17/06/2021 17,063 10.500% due 21/12/2026 (25,150) Zero Coupon due 07/01/2021 14,821 Russian Federal Bond - OFZ Zero Coupon due 08/10/2020 11,016 7.050% due 19/01/2028 (24,366) Thailand Government Bond Mexican Bonos 1.600% due 17/12/2029 10,025 7.500% due 03/06/2027 (20,547) U.S. Treasury Bills Indonesia Treasury Bond Zero Coupon due 19/11/2020 9,413 8.250% due 15/05/2036 (19,929) Zero Coupon due 27/11/2020 9,368 U.S. Treasury Note Republic of South Africa Government Bond 1.750% due 31/12/2020 (18,153) 8.750% due 31/01/2044 7,873 U.S. Treasury Bill U.S. Treasury Bills Zero Coupon due 17/06/2021 (17,065) Zero Coupon due 24/09/2020 5,997 Republic of South Africa Government Bond Zero Coupon due 14/01/2021 5,557 6.500% due 28/02/2041 (16,732) Zero Coupon due 10/09/2020 4,995 U.S. Treasury Note Zero Coupon due 03/12/2020 4,951 1.750% due 15/11/2020 (16,617) Brazil Notas do Tesouro Nacional Serie F Colombian TES 10.000% due 01/01/2029 4,892 7.500% due 26/08/2026 (16,570) Czech Republic Government Bond 10.000% due 24/07/2024 (13,847) 0.950% due 15/05/2030 4,750 Czech Republic Government Bond U.S. Treasury Bill 0.450% due 25/10/2023 (13,674) Zero Coupon due 26/08/2021 4,744 U.S. Treasury Bill Colombian TES Zero Coupon due 07/01/2021 (13,557) 7.000% due 30/06/2032 4,550 Brazil Notas do Tesouro Nacional Serie F Republic of South Africa Government Bond 10.000% due 01/01/2027 (13,402) 6.500% due 28/02/2041 4,518 Poland Government Bond Mexican Bonos 2.750% due 25/10/2029 (12,456) 7.250% due 09/12/2021 4,398 Colombian TES U.S. Treasury Bills 7.750% due 18/09/2030 (11,994) Zero Coupon due 17/12/2020 4,187 Mexican Bonos Zero Coupon due 01/07/2021 3,724 5.750% due 05/03/2026 (11,911) 8.000% due 07/11/2047 (11,519) Republic of South Africa Government Bond 10.500% due 21/12/2026 (11,269) Mexican Bonos 7.750% due 13/11/2042 (11,216) U.S. Treasury Bill Zero Coupon due 08/10/2020 (11,018) Thailand Government Bond 3.625% due 16/06/2023 (10,603) 2.125% due 17/12/2026 (9,648) U.S. Treasury Bills Zero Coupon due 19/11/2020 (9,414) Zero Coupon due 27/11/2020 (9,368)

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. 30 Russell Investments Emerging Market Debt Local Currency Fund Russell Investment Company II plc Russell Investments Emerging Market Debt Local Currency Fund

Statement of Changes in Composition of Portfolio* (unaudited) - continued

For the Financial year ended 31 March 2021

Disposal Proceeds Portfolio Securities USD ‘000 Colombian TES 7.000% due 30/06/2032 (9,195)

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. Russell Investments Emerging Market Debt Local Currency Fund 31 Russell Investment Company II plc Russell Investments Emerging Markets Extended Opportunities Fund

Manager’s Report

Russell Investments Emerging Markets Extended Opportunities Fund (the Fund) ceased trading on 22 March 2021. There is no performance data of relevance to report.

Investment Objective The Fund investment objective was to provide long term capital appreciation by investing predominantly in equities and equity- related instruments.

Fund Performance During the financial year ended 31 March 2021, the Fund returned 21.6 per cent on a gross-of-fee basis (19.7 per cent on a net of Class A fee basis), while the benchmark* returned 27.0 per cent.

Market Comment The benchmark recorded its strongest quarter since 2009 with an 18.8 per cent increase in the second quarter 2020. The market recovered most of its first quarter slump on improved risk sentiment. Select countries eased interest rates and cautiously reopened their economies after weeks of lockdown. However, data revealed the significant economic impact of the virus. Concerns of a re-escalated trade war between the US and China dampened investor enthusiasm for Emerging Market (EM) equities compared to other equity markets. Increasingly hostile diplomatic rhetoric between both nations followed China’s plans for a new national security law to be imposed on Hong Kong. Over the period, the US dollar weakened and oil prices climbed. Some of the weakest- performing countries in the first quarter led the way this period. Argentina (+43.7 per cent) was the standout performer, aided by strong performance from information technology stock Globant. The peso strengthened despite strained progress between the government and its creditors in efforts to restructure USD 65 billion of debt. Brazil followed a 50.2 per cent first quarter slide with a 22.8 per cent increase this period. Commodity stocks benefited from the oil price rally while consumer discretionary names recovered some of their significant first-quarter sell-off. The central bank twice slashed interest rates during the quarter, ending at a record-low 2.25 per cent. China underperformed the wider index return (+15.3 per cent) despite strong performance from health care and information technology stocks. Tensions with the US remained heightened, despite a joint statement affirming expectations for both countries to meet their “phase one” trade agreement obligations. US President Trump threatened fresh tariffs after accusing China of failing to contain the coronavirus outbreak. US Secretary of State Mike Pompeo later stated Hong Kong was no longer autonomous from China – which could see the region lose its favourable economic trading status with the US. The benchmark outperformed developed equity markets with a 9.8 per cent return during the third quarter of 2020. EM equities were among the best-performing asset classes in a weak period for the US dollar. Risk appetite built up as lockdown restrictions eased, boosting expectations of a resurgence in international trade. Investor confidence was further cemented by Covid-19 vaccine hopes and stabilising oil prices. However, sentiment reversed in September as rising coronavirus cases pointed towards a second wave of infections. There was a wide dispersion of EM country returns this quarter. Taiwan (+16.5 per cent) led the index this period, primarily due to strong performance from its technology names. China (+12.5 per cent) outperformed despite ongoing diplomatic tensions with the US. US President Trump banned Chinese mobile apps TikTok and WeChat from operating in the US for national security reasons. However, this was delayed by legal action. India (+15.0 per cent) outperformed despite a sustained increase in coronavirus cases. The Reserve Bank of India unexpectedly maintained its 4.0 per cent interest rate but introduced a raft of support schemes for pandemic-hit businesses. Turkey (-15.7 per cent), Russia (-4.7 per cent) and Brazil (-3.3 per cent) all suffered from currency weakness against the US dollar. The Turkish lira touched an all-time low against the US dollar as the central bank’s measures to stabilize the currency (by depleting most of its own foreign-exchange reserves) proved to be temporary. The Russian rouble touched a six-month low against the US dollar. Geopolitical tensions remained after the apparent poisoning of opposition leader Alexei Navalny. The benchmark surged 19.8 per cent in the final quarter of 2020. Investor risk appetite improved as Joe Biden’s US presidential election victory – and expected de-escalation of the trade war with China – accompanied positive coronavirus vaccine developments. Investors notably rotated towards previously underperforming areas of the market this quarter. Oil prices surged on the back of increased demand hopes. A weaker US dollar also benefitted most EM. South Korea recorded a 38.3 per cent return in a strong quarter for the won. Domestically, coronavirus restrictions were tightened amid a resurgence in infections. The Brazilian market performed well in a positive quarter for the real. The market climbed 37.0 per cent on hopes of a strengthening economy and potential future interest rate rises as inflation continued to climb (highest since May 2019). Turkey rallied 30.3 per cent in a strong period for the lira. President Erdogan unexpectedly replaced the central bank governor while Erdogan’s son-in-law also resigned as finance minister. China (+11.2 per cent) underperformed the broader index return this quarter. The consumer discretionary sector underperformed, driven by the sell-off for e-commerce stock Alibaba. Beijing announced an antitrust investigation into the company a month after authorities stopped sister company Ant’s $37 billion initial public offering. Politically, tensions remained strained with the US. The US Commerce Department added numerous companies to a restriction blacklist over the quarter.

32 Russell Investments Emerging Markets Extended Opportunities Fund Russell Investment Company II plc Russell Investments Emerging Markets Extended Opportunities Fund

Manager’s Report - continued

Sustained government and central bank support, as well as the global rollout of Covid-19 vaccines, boosted investor confidence during the first quarter of 2021. EM lagged developed market equities for the period after declining in March. Improved global growth prospects engendered increased inflation expectations, which pressured higher-valued and perceived riskier areas of equity markets. Policy tightening in China and a strong period for the US dollar were further headwinds. India (+5.1 per cent) made a positive start to the year. The rupee was one of few EM currencies to strengthen against the US dollar. Investors reacted positively to the government’s expansionary budget. Robust commodity prices boosted numerous markets. In South Africa (+12.1 per cent), Finance Minister Tito Mboweni’s budget was broadly well received. In contrast, in Russia (+4.9 per cent), the central bank surprised markets by hiking rates for the first time in two years, up 25 basis points (bps) to 4.5 per cent. China (-0.4 per cent) lagged the broader index return in a period where its large cap growth stocks underperformed. Geopolitical relations with the US remained strained. US President Biden’s administration confirmed the Trump-era trade deal progress with China was “under review”.

General Comment on Managers/Performance The Fund recorded three successive months of outperformance in the second quarter of 2020 in a strong period for EM equities. The market recovered most of its first quarter slump on improved risk sentiment. Within this environment, our preferred exposure to small-mid cap stocks and a tilt towards smaller EM countries (Indonesia, Argentina, Philippines) added to relative returns. Stock selection was strongest within India. Effective positioning and selection within China (underweight) as well as Argentina, Indonesia and Russia (overweight) were additional contributors. However, an underweight to and negative selection within South Korea (underweight NAVER) detracted. The Fund underperformed the positive benchmark return in the third quarter of 2020. Growth enhanced its outperformance over value this quarter which did not suit our Fund positioning. An underweight to and negative selection within China, particularly among consumer discretionary names, drove underperformance. An overweight to Indonesia and to smaller markets including Kazakhstan, Peru and the Philippines also detracted. In contrast to the previous quarter, stock selection was negative within India. Strong selection within Taiwan, Mexico and Chile mitigated additional underperformance. The Fund outperformed in a strong end to 2020 for Emerging Markets. An overweight to small cap value stocks was positive amid investor rotation towards previously underperforming areas of the market. An underweight to and effective stock selection within China was a key performance driver. This included the Fund’s long-held underweight to large cap internet names and strong selection within the consumer discretionary sector and the onshore market. Positive selection within Taiwan, Brazil, the Philippines, Malaysia and Greece also contributed. Effective country positioning included an overweight to Indonesia and underweight to Saudi Arabia. The Fund underperformed the benchmark return in January 2021.

Past performance is no indication of present or future performance. * Benchmark Source: MSCI EFM IMI Index Net (EM Index)

Russell Investments Ireland Limited May 2021

Russell Investments Emerging Markets Extended Opportunities Fund 33 Russell Investment Company II plc Russell Investments Emerging Markets Extended Opportunities Fund

Balance Sheet

As at 31 March 2021

31 March 2021* 31 March 2020 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss (Note 2) ...... - 121,861

Cash at bank (Note 3)...... 2,320 2,018 Cash held with brokers and counterparties for open financial derivative instruments (Note 3)...... - 7,262

Debtors: Receivable for investments sold ...... 317 266 Dividends receivable...... 33 407 2,670 131,814 Liabilities Financial liabilities at fair value through profit or loss (Note 2)...... - (3,233)

Creditors – amounts falling due within one financial year: Payable for investments purchased...... - (34) Payable on fund shares redeemed...... (1,052) - Management fees payable...... (55) (154) Depositary fees payable...... (9) (7) Sub-custodian fees payable...... (93) (47) Administration fees payable ...... (10) (2) Audit fees payable ...... (19) (19) Other fees payable ...... (71) - Other liabilities ...... (1,361) - (2,670) (3,496)

Net assets attributable to redeemable participating shareholders ...... - 128,318

* The Fund ceased trading on 22 March 2021.

The accompanying notes are an integral part of the financial statements.

34 Russell Investments Emerging Markets Extended Opportunities Fund Russell Investment Company II plc Russell Investments Emerging Markets Extended Opportunities Fund

Profit and Loss Account

For the financial year ended 31 March 2021

2021 2020 USD ‘000* USD ‘000 Income Dividends...... 2,808 5,437 Interest income ...... - 62 2,808 5,499

Net gain (loss) on investment activities (Note 4) ...... 75,489 (42,827)

Total investment income (expense)...... 78,297 (37,328)

Expenses Management fees (Note 5) ...... (1,718) (2,592) Depositary fees (Note 6)...... (24) (33) Sub-custodian fees (Note 6) ...... (193) (259) Administration and transfer agency fees (Note 6)...... (37) (54) Audit fees (Note 6) ...... (19) (19) Professional fees...... (126) (92) Other fees...... (127) (68) Total operating expenses ...... (2,244) (3,117)

Net income (expense)...... 76,053 (40,445)

Finance costs Distributions (Note 8)...... (767) (1,656) Profit (loss) for the financial year before taxation...... 75,286 (42,101)

Taxation (Note 9) Capital gains tax ...... (304)99 Withholding tax ...... (311) (602)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 74,671 (42,604)

* The Fund ceased trading on 22 March 2021. All amounts arose solely from termination activities. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

Russell Investments Emerging Markets Extended Opportunities Fund 35 Russell Investment Company II plc Russell Investments Emerging Markets Extended Opportunities Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

2021 2020 USD ‘000* USD ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 74,671 (42,604)

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 767 1,656 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10)...... (203,756) (279,690)

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... (128,318) (320,638)

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 128,318 448,956

End of financial year ...... - 128,318

* The Fund ceased trading on 22 March 2021.

The accompanying notes are an integral part of the financial statements.

36 Russell Investments Emerging Markets Extended Opportunities Fund Russell Investment Company II plc Russell Investments Emerging Markets Extended Opportunities Fund

Statement of Changes in Composition of Portfolio* (unaudited)

For the period to 22 March 2021, the date the Fund ceased trading

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. Russell Investments Emerging Markets Extended Opportunities Fund 37 Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Manager’s Report

Investment Manager as at 31 March 2021 Russell Investments Limited

Money Managers as at 31 March 2021 FIL Pensions Management Western Asset Management

Investment Objective The investment objective of Russell Investments Euro Fixed Income Fund (the “Fund”) is to provide income and capital growth by investing primarily in Euro denominated transferable debt instruments, which include, but are not limited to, municipal and government bonds, agency debt (being that issued by local authorities or public international bodies of which one or more States is a member), mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in the Organisation for Economic Co-operation and Development (“OECD”) and which may have fixed or floating interest rates.

Fund Performance During the financial year ended 31 March 2021, the Fund returned 7.8 per cent on a gross-of-fee basis (6.8 per cent on a net-of- fee basis), while the benchmark* returned 3.4 per cent.

Market Comment The benchmark rose 2.5 per cent during the second quarter of 2020. The concerted support of accommodative monetary and fiscal policy drove improved risk sentiment. However, data revealed the significant economic impact of coronavirus. Concerns of protracted Brexit trade deal negotiations and a re-escalated trade war between the US and China also remained in investors’ thoughts. The European Central Bank (ECB) boosted its coronavirus bond-buying stimulus package by EUR 600 billion to EUR 1.35 trillion. The central bank also began considering setting up a “bad bank”, to deal with low quality loans issued during the lockdown period. The European Commission formally proposed a record-breaking EUR 750 billion (USD 826 billion) stimulus package which included risk-sharing across the eurozone through Eurobonds. Regional governments also took action to support their economies. This included Germany’s EUR 130 billion fiscal stimulus package. Coronavirus restrictions dramatically reduced economic activity. Eurozone gross domestic product (GDP) was upwardly-revised to -3.6 per cent quarter-on-quarter (QoQ) (-3.1 per cent year-on-year (YoY)) in the final reading for the first quarter. The German economy entered a recession after two successive quarters of negative growth. The first quarter’s 2.2 per cent decline was the worst since 2009 and second steepest contraction on record since reunification in 1990. Eurozone industrial production plunged a record 17.1 per cent month-on-month (MoM) in April, following the revised 11.9 per cent decline in March. Production in the bloc’s largest economies registered record declines. Meanwhile, eurozone inflation slipped to its lowest in four years in May, as lower energy prices pushed the figure to 0.1 per cent YoY. The benchmark rose 1.5 per cent over the third quarter of 2020. With lockdown restrictions easing from the end of the second quarter, risk appetite built up strongly in July and August. This was further cemented by Covid-19 vaccine hopes, stabilising oil prices and robust corporate earnings. However, rising coronavirus cases in September, pointed towards a second wave of infections. Brexit uncertainties and volatility to the run-up to US presidential elections, further dampened investors’ mood. G4 central banks remained accommodative during this period whilst governments were tasked with figuring out new policies to support their respective nations. Over the period, oil prices trended lower whilst the US dollar weakened. The ECB kept interest rates at a record low of -0.5 per cent and pledged to buy up to EUR 1.35 trillion worth of debt through June 2021 under its pandemic emergency purchase programme. However, ECB President Christine Lagarde surprised markets by raising the eurozone’s growth forecast for this year (-8.0 per cent vs -8.7 per cent prev.) and inflation forecast for next year (1.0 per cent vs 0.3 per cent prev.). She also said the bank was closely monitoring the strengthening euro - though she reiterated that the exchange rate was not a “not a policy target”. The benchmark rose 1.3 per cent in the final quarter of 2020. Major breakthroughs in the development of a COVID-19 vaccine and its rollout in several countries, underpinned the positive market sentiment. A Brexit deal between the European Union (EU) and the UK, coupled with additional monetary and fiscal stimulus measures also lifted the mood. However, worsening COVID-19 infection rates in several countries, leading to tougher lockdown restrictions – dampened the risk-on mood somewhat. Over the period, oil prices rallied whilst the US dollar weakened. The UK and the EU finally agreed upon a Brexit trade deal in the latter stages of December. In mainland Europe, ECB President Christine Lagarde welcomed the “encouraging” news of Covid-19 vaccine breakthroughs but warned that the second wave of the pandemic still presented “new challenges and risks” for the eurozone economy. Therefore, the ECB expanded its emergency bond-buying programme by EUR 500 billion in December - taking its total value to EUR 1.85 trillion and extended it to at least the end of March 2022. Additionally, alongside the Brexit deal, the EU struck another trade deal in December with China. The EU-China Comprehensive Agreement on Investment will improve Chinese market access conditions for European companies; however, the timing of the deal is contentious as it may interfere with Sino/US trade deal negotiations.

38 Russell Investments Euro Fixed Income Fund Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Manager’s Report - continued

The benchmark declined by 1.9 per cent in the first quarter of 2021. Hopes that additional fiscal stimulus and dovish central bank policies would spur economic growth, lifted investor sentiment. While this hope boosted growth expectations, it also increased inflation expectations. Higher inflation will open the door for higher interest rates which heightened some investor concerns. Worries surrounding Europe’s vaccination programme and worsening coronavirus infections, leading to tougher lockdown restrictions in several countries, also dampened the mood. The ECB kept its interest rate unchanged but stepped up its weekly emergency bond-buying programme (above the EUR 18.0 billion weekly average since the programme started last year), to contain adverse effects of recent market volatility. The ECB also revised its 2021 GDP growth forecast to 4.0 per cent YoY from 3.9 per cent YoY previously - citing “ongoing vaccinations campaigns” and the “gradual relaxation of containment measures” as reasons for the upgrade. The bank also added that it expected some inflation volatility over the coming months. Towards quarter- end, concerns surrounding the Eurozone’s coronavirus vaccine rollout worsened, after Germany, France, Denmark, and the Netherlands temporarily suspended the rollout of the AstraZeneca vaccine, amid fears that it could cause blood clots. These fears subsided however, after the European Medicines Agency stated that it “remained convinced” that the benefits of the vaccine outweigh the risk. Meanwhile, several countries including Germany, France, Spain, and Italy imposed tougher lockdown restrictions on the back of rising coronavirus cases. On a more positive note, there was finally some semblance of political certainty in Italy, as former ECB President Mario Draghi, was appointed as Italy’s new prime minister and successfully formed a national unity government.

General Comment on Money Managers/Performance The Fund outperformed. The severe “risk-off ” market environment of the previous quarter largely reversed during the second quarter of 2020. Consequently, sector positioning that had detracted from Fund performance in the first quarter was positive this period. This included an overweight to investment-grade credit and corporate high yield. An overweight position to rates in Italy and the Netherlands also contributed. However, an underweight to France weighed on additional outperformance. Within currencies, exposure to the Canadian dollar, New Zealand dollar and British pound were key contributors. The Fund outperformed in the third quarter of 2020. The ECB’s unprecedented programme of asset purchases continued to support investor confidence. Similar to the previous quarter, an overweight to investment-grade credit and corporate high yield underpinned relative returns in a period where spreads tightened. This included overweight positions to financials and industrials. Within rates, an overweight to Netherlands, as well as an overweight to longer-dated Italian duration, contributed. However, underweights to France and Spain did not suit the market environment. Effective currency positioning also added to performance. The Fund added to its 2020 outperformance in the final quarter of 2020. The ECB’s unprecedented and expanding programme of asset purchases continued to support investor confidence. Similar to the previous quarter, an overweight to investment grade credit and corporate high yield underpinned relative returns in a period where spreads tightened. Exposure to Emerging Market names was also positive. Within rates, an overweight to Netherlands continued to contribute. However, underweights to France as well as peripheral Europe (Italy and Spain) weighed on additional outperformance. The Fund outperformed in a negative start to the year for fixed income markets in the first quarter of 2021. Sustained government and central bank support, alongside improved global growth prospects, engendered increased inflation expectations. Consequently, government bond curves steepened, and yields climbed higher over the period. The Fund’s underweights to France and Spain suited this market environment. Effective currency positioning underpinned excess relative returns, including exposure to the British pound and the euro. Exposure to Emerging Market names was also positive. An underweight to Italy detracted late in the period to weigh on additional outperformance.

Past performance is no indication of present or future performance. * Benchmark Source: FTSE EuroBig Index Russell Investments Ireland Limited May 2021

Russell Investments Euro Fixed Income Fund 39 Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Balance Sheet

As at 31 March 2021

31 March 2021 31 March 2020 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss (Note 2) ...... 165,403 147,477

Cash at bank (Note 3)...... 4,093 5,632 Cash held with brokers and counterparties for open financial derivative instruments (Note 3)...... 1,028 3,679

Debtors: Receivable for investments sold ...... 5 9,824 Receivable on fund shares issued ...... 79 293 Interest receivable...... 574 628 171,182 167,533 Liabilities Financial liabilities at fair value through profit or loss (Note 2)...... (949) (5,042)

Creditors – amounts falling due within one financial year: Cash due to brokers and counterparties for open financial derivative instruments (Note 3)...... (278) (11) Payable for investments purchased...... (3) (4,312) Payable on fund shares redeemed...... (14) (806) Distributions payable on income share classes...... (146) (168) Management fees payable...... (105) (100) Depositary fees payable...... (14) (8) Sub-custodian fees payable...... (7) (4) Administration fees payable ...... (12) (3) Audit fees payable ...... (22) (25) (1,550) (10,479)

Net assets attributable to redeemable participating shareholders ...... 169,632 157,054

The accompanying notes are an integral part of the financial statements.

40 Russell Investments Euro Fixed Income Fund Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Profit and Loss Account

For the financial year ended 31 March 2021

2021 2020 EUR ‘000 EUR ‘000 Income Interest income ...... 1,709 1,498

Net gain (loss) on investment activities (Note 4) ...... 13,940 291

Total investment income (expense)...... 15,649 1,789

Expenses Management fees (Note 5) ...... (1,175) (1,217) Depositary fees (Note 6)...... (37) (34) Sub-custodian fees (Note 6) ...... (19) (19) Administration and transfer agency fees (Note 6)...... (57) (66) Audit fees (Note 6) ...... (22) (25) Professional fees...... (15) (14) Other fees...... (35) (37) Total operating expenses ...... (1,360) (1,412)

Net income (expense)...... 14,289 377

Finance costs Distributions (Note 8)...... (965) (892)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 13,324 (515)

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

Russell Investments Euro Fixed Income Fund 41 Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

2021 2020 EUR ‘000 EUR ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 13,324 (515)

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 435 378 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10)...... (1,181) (9,064)

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... 12,578 (9,201)

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 157,054 166,255

End of financial year ...... 169,632 157,054

The accompanying notes are an integral part of the financial statements.

42 Russell Investments Euro Fixed Income Fund Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Schedule of Investments

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Transferable Securities (79.60%) 1,000 1.250% due 25/05/33.. 1,126 0.66 (2020: 76.99%) 9,840 5.80 Long Term Bonds and Notes (66.80%) (2020: 71.31%) Germany (14.23%) Australia (0.65%) Bayer AG Australia Government Bond 500 0.375% due 12/01/29.. 491 0.29 AUD 670 1.000% due 21/11/31.. 399 0.23 500 1.000% due 12/01/36.. 472 0.28 1,370 1.750% due 21/06/51.. 711 0.42 Bundesrepublik Deutschland 680 0.250% due 15/02/27.. 715 0.42 1,110 0.65 2,720 4.750% due 04/07/28.. 3,788 2.23 Belgium (4.39%) Zero Coupon due Anheuser-Busch InBev SA/NV 7,250 15/02/31 ...... 7,465 4.40 EUR 330 2.750% due 17/03/36.. 399 0.23 2,260 15/08/50 ...... 2,099 1.24 European Union Bundesschatzanweisungen 4,480 0.200% due 04/06/36.. 4,455 2.63 Zero Coupon due KBC Group NV 7,850 10/06/22 ...... 7,913 4.66 600 0.007% due 24/11/22.. 604 0.36 Muenchener Rueckversicherungs-Gesellschaft 300 1.875% due 11/03/27.. 305 0.18 AG in Muenchen Kingdom of Belgium Government Bond 300 6.250% due 26/05/42.. 321 0.19 990 3.750% due 22/06/45.. 1,679 0.99 200 3.250% due 26/05/49.. 233 0.14 7,442 4.39 NRW Bank 620 0.375% due 16/05/29.. 642 0.38 Canada (0.40%) Bank of Nova Scotia 24,139 14.23 670 0.055% due 05/10/22.. 675 0.40 Indonesia (0.81%) China (0.26%) Indonesia Government International Bond China Government International Bond 300 0.900% due 14/02/27.. 303 0.18 450 1.000% due 12/11/39.. 450 0.26 510 1.400% due 30/10/31.. 514 0.30 USD 590 4.200% due 15/10/50.. 551 0.33 Curacao (0.12%) Teva Pharmaceutical Finance Co BV 1,368 0.81 USD 230 2.950% due 18/12/22.. 196 0.12 Italy (4.28%) Denmark (0.64%) Italy Buoni Poliennali Del Tesoro Danske Bank A/S EUR 1,378 0.400% due 15/05/30.. 1,506 0.89 EUR 370 0.750% due 02/06/23.. 378 0.22 2,230 3.250% due 01/09/46.. 3,029 1.79 Nykredit Realkredit A/S 2,004 2.450% due 01/09/50.. 2,382 1.40 700 0.040% due 02/06/22.. 703 0.42 UniCredit SpA 340 2.000% due 23/09/29.. 341 0.20 1,081 0.64 7,258 4.28 France (5.80%) Altice France SA Ivory Coast (0.29%) 170 3.375% due 15/01/28.. 166 0.10 African Development Bank Dassault Systemes SE 470 0.500% due 21/03/29.. 490 0.29 300 0.125% due 16/09/26.. 302 0.18 Japan (0.16%) French Republic Government Bond OAT Mitsubishi UFJ Financial Group Inc 1,170 1.000% due 25/05/27.. 1,271 0.75 260 0.680% due 26/01/23.. 264 0.16 1,520 3.250% due 25/05/45.. 2,419 1.43 Jersey, Channel Islands (0.39%) 620 1.500% due 25/05/50.. 739 0.43 Glencore Finance Europe Ltd 450 4.000% due 25/04/60.. 919 0.54 460 1.750% due 17/03/25.. 485 0.28 Zero Coupon due LHC3 Plc 550 25/11/30 ...... 553 0.33 180 4.125% due 15/08/24.. 183 0.11 RTE Reseau de Transport d’Electricite SADIR 200 2.125% due 27/09/38.. 241 0.14 668 0.39 Thales SA Korea, Republic of (0.26%) 300 0.750% due 23/01/25.. 308 0.18 Export-Import Bank of Korea TOTAL SE 430 0.375% due 26/03/24.. 437 0.26 1,819 2.125%*...... 1,796 1.06 Luxembourg (2.67%) UNEDIC ASSEO Becton Dickinson Euro Finance Sarl

The accompanying notes are an integral part of the financial statements.

Russell Investments Euro Fixed Income Fund 43 Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % 1,286 1.208% due 04/06/26.. 1,351 0.80 Qatar (0.27%) 226 1.213% due 12/02/36.. 225 0.13 Qatar Government International Bond Blackstone Property Partners Europe Holdings USD 440 4.817% due 14/03/49.. 459 0.27 Sarl Romania (0.25%) 376 2.200% due 24/07/25.. 403 0.24 Romanian Government International Bond European Stability Mechanism EUR 430 2.000% due 28/01/32.. 432 0.25 1,840 0.750% due 05/09/28.. 1,980 1.17 Holcim Finance Luxembourg SA Saudi Arabia (0.22%) 100 3.000%*...... 104 0.06 Saudi Government International Bond Prologis International Funding II SA 360 2.000% due 09/07/39.. 376 0.22 180 2.375% due 14/11/30.. 210 0.12 Singapore (0.18%) SELP Finance Sarl Temasek Financial I Ltd 250 1.500% due 20/11/25.. 264 0.15 280 1.250% due 20/11/49.. 306 0.18 4,537 2.67 South Africa (0.40%) Mexico (1.11%) Republic of South Africa Government Bond Mexican Bonos ZAR 3,188 8.500% due 31/01/37.. 147 0.08 MXN 3,750 7.750% due 13/11/42.. 158 0.09 15,040 6.500% due 28/02/41.. 540 0.32 27,400 8.000% due 07/11/47.. 1,170 0.69 687 0.40 Mexico Government International Bond Spain (2.72%) EUR 540 2.875% due 08/04/39.. 552 0.33 Banco Santander SA 1,880 1.11 EUR 200 2.500% due 18/03/25.. 215 0.13 Netherlands (13.08%) Cellnex Finance Co SA ABN AMRO Bank NV 900 2.000% due 15/02/33.. 886 0.52 310 7.125% due 06/07/22.. 338 0.20 Spain Government Bond Allianz Finance II BV 1,090 2.900% due 31/10/46.. 1,515 0.89 200 5.750% due 08/07/41.. 203 0.12 1,240 2.700% due 31/10/48.. 1,678 0.99 Cooperatieve Rabobank UA Tendam Brands SAU 200 6.625%*...... 203 0.12 330 5.250% due 15/09/24.. 313 0.19 CTP BV 4,607 2.72 130 0.625% due 27/11/23.. 131 0.08 Sweden (1.72%) Enexis Holding NV Svenska Handelsbanken AB 180 0.750% due 02/07/31.. 188 0.11 600 1.250% due 02/03/28.. 613 0.36 ING Groep NV Swedbank AB 300 3.000% due 11/04/28.. 316 0.19 2,225 0.200% due 12/01/28.. 2,197 1.30 IPD BV Verisure Holding AB 100 5.500% due 01/12/25.. 104 0.06 100 5.000% due 15/04/25.. 102 0.06 MDGH - GMTN BV USD 200 2.875% due 21/05/30.. 176 0.10 2,912 1.72 Netherlands Government Bond Switzerland (1.96%) EUR 10,150 0.250% due 15/07/29.. 10,634 6.27 Credit Suisse Group AG Zero Coupon due 1,151 0.625% due 18/01/33.. 1,092 0.64 8,970 15/07/30 ...... 9,173 5.41 UBS AG Shell International Finance BV 200 0.500% due 31/03/31.. 199 0.12 USD 40 2.750% due 06/04/30.. 35 0.02 UBS Group AG 100 3.250% due 06/04/50.. 83 0.05 400 1.500% due 30/11/24.. 416 0.24 Vonovia Finance BV 1,645 0.250% due 05/11/28.. 1,624 0.96 EUR 600 0.061% due 22/12/22.. 603 0.35 3,331 1.96 22,187 13.08 United Arab Emirates (0.15%) Norway (0.53%) Abu Dhabi Government International Bond DNB Bank ASA USD 280 3.875% due 16/04/50.. 259 0.15 300 0.207% due 25/07/22.. 303 0.18 United Kingdom (2.34%) 290 0.050% due 14/11/23.. 292 0.17 Anglo American Capital Plc 300 1.250% due 01/03/27.. 304 0.18 EUR 240 1.625% due 18/09/25.. 254 0.15 899 0.53 HSBC Holdings Plc GBP 100 7.000% due 07/04/38.. 176 0.10

The accompanying notes are an integral part of the financial statements.

44 Russell Investments Euro Fixed Income Fund Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Leeds Building Society Mondelez International Inc EUR 330 1.375% due 05/05/22.. 336 0.20 EUR 240 0.250% due 17/03/28.. 239 0.14 Lloyds Bank Plc 1,792 1.375% due 17/03/41.. 1,767 1.04 670 0.239% due 21/06/24.. 677 0.40 Mylan NV Natwest Group Plc 250 3.125% due 22/11/28.. 292 0.17 412 2.500% due 22/03/23.. 432 0.26 NVIDIA Corp Rentokil Initial Plc USD 50 3.500% due 01/04/50.. 45 0.03 320 0.950% due 22/11/24.. 331 0.20 Oracle Corp Standard Chartered Plc 1,250 3.650% due 25/03/41.. 1,075 0.63 USD 330 3.950% due 11/01/23.. 294 0.17 Prologis Euro Finance LLC EUR 390 3.125% due 19/11/24.. 431 0.25 EUR 300 1.875% due 05/01/29.. 333 0.20 U.K. Gilts Texas Instruments Inc GBP 550 2.500% due 22/07/65.. 914 0.54 USD 30 1.750% due 04/05/30.. 24 0.01 Virgin Media Secured Finance Plc T-Mobile USA Inc 100 5.250% due 15/05/29.. 126 0.07 30 4.000% due 15/04/22.. 26 0.02 3,971 2.34 10 2.250% due 15/02/26.. 9 0.01 20 2.625% due 15/02/29.. 17 0.01 United States (6.52%) 60 3.875% due 15/04/30.. 56 0.03 3M Co 20 2.875% due 15/02/31.. 16 0.01 USD 30 3.700% due 15/04/50.. 28 0.02 U.S. Treasury Bonds AbbVie Inc 470 2.000% due 15/02/50.. 365 0.21 EUR 170 1.250% due 01/06/24.. 176 0.10 2,010 1.250% due 15/05/50.. 1,287 0.76 Amazon.com Inc 450 1.375% due 15/08/50.. 298 0.18 USD 30 4.250% due 22/08/57.. 30 0.02 Verizon Communications Inc Anheuser-Busch InBev Worldwide Inc 930 3.550% due 22/03/51.. 789 0.46 30 4.350% due 01/06/40.. 29 0.02 744 3.700% due 22/03/61.. 623 0.37 30 4.500% due 01/06/50.. 29 0.02 Visa Inc Bank of America Corp 30 2.050% due 15/04/30.. 25 0.01 EUR 450 1.379% due 07/02/25.. 468 0.28 30 2.700% due 15/04/40.. 25 0.01 Becton Dickinson and Co Wells Fargo & Co 280 1.000% due 15/12/22.. 285 0.17 EUR 170 1.625% due 02/06/25.. 180 0.11 Berkshire Hathaway Inc USD 50 5.013% due 04/04/51.. 54 0.03 340 1.125% due 16/03/27.. 360 0.21 WPX Energy Inc BP Capital Markets America Inc 50 8.250% due 01/08/23.. 49 0.03 USD 30 3.633% due 06/04/30.. 28 0.02 Citigroup Inc 11,055 6.52 EUR 310 1.750% due 28/01/25.. 330 0.19 Total Long Term 467 1.250% due 06/07/26.. 488 0.29 Bonds and Notes ...... 113,316 66.80 Coca-Cola Co Short Term Investments (12.80%) USD 30 2.500% due 15/03/51.. 22 0.01 (2020: 5.68%) Costco Wholesale Corp Australia (0.43%) 40 1.600% due 20/04/30.. 33 0.02 National Australia Bank Ltd Exxon Mobil Corp EUR 230 0.875% due 20/01/22.. 233 0.14 30 3.452% due 15/04/51.. 26 0.02 Westpac Banking Corp Freeport-McMoRan Inc 490 0.250% due 17/01/22.. 493 0.29 10 4.625% due 01/08/30.. 9 0.00 110 5.450% due 15/03/43.. 113 0.07 726 0.43 Goldman Sachs Group Inc Belgium (0.03%) EUR 250 2.000% due 27/07/23.. 262 0.15 Kingdom of Belgium Government Bond 500 2.125% due 30/09/24.. 535 0.32 50 4.250% due 28/09/21.. 51 0.03 Home Depot Inc Canada (0.15%) USD 120 3.350% due 15/04/50.. 106 0.06 Bank of Montreal JPMorgan Chase & Co 250 0.007% due 28/09/21.. 251 0.15 40 2.522% due 22/04/31.. 34 0.02 50 3.109% due 22/04/51.. 41 0.02 China (0.23%) McDonald’s Corp Export-Import Bank of China 30 4.200% due 01/04/50.. 29 0.02 390 0.300% due 06/03/22.. 391 0.23

The accompanying notes are an integral part of the financial statements.

Russell Investments Euro Fixed Income Fund 45 Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % France (0.26%) Germany (0.17%) RCI Banque SA FMS Wertmanagement 450 0.100% due 12/04/21.. 450 0.26 Zero Coupon due Germany (10.12%) 284 20/05/21 ...... 285 0.17 Bundesschatzanweisungen Sweden (0.30%) Zero Coupon due Svenska Handelsbanken AB 16,650 11/06/21 ...... 16,670 9.83 Zero Coupon due Volkswagen Leasing GmbH 500 14/10/21 ...... 502 0.30 500 0.021% due 06/07/21.. 501 0.29 United Kingdom (0.29%) 17,171 10.12 Barclays Bank Plc Netherlands (0.83%) Zero Coupon due Cooperatieve Rabobank UA 500 22/04/21 ...... 501 0.29 500 0.125% due 11/10/21.. 502 0.30 United States (0.30%) Dutch Treasury Certificate Mont Blanc Capital Corp Zero Coupon due Zero Coupon due 900 29/04/21 ...... 900 0.53 500 14/05/21 ...... 501 0.30 1,402 0.83 Total Commercial Sweden (0.29%) Paper...... 3,792 2.24 Kingdom of Sweden 500 0.010% due 04/10/21.. 502 0.29 Money Market Instruments (3.23%) United Kingdom (0.08%) (2020: 2.96%) Yorkshire Building Society 128 1.250% due 17/03/22.. 130 0.08 Belgium (0.30%) Kingdom of Belgium Treasury Bill United States (0.38%) Zero Coupon due American Express Credit Corp 500 13/05/21 ...... 501 0.30 220 0.625% due 22/11/21.. 221 0.13 Netflix Inc France (2.66%) USD 70 5.500% due 15/02/22.. 62 0.04 France Treasury Bill BTF Wells Fargo & Co Zero Coupon due EUR 360 0.080% due 26/04/21.. 360 0.21 2,168 08/04/21 ...... 2,168 1.28 643 0.38 500 21/04/21 ...... 500 0.29 900 28/04/21 ...... 900 0.53 Total Short Term 950 05/05/21 ...... 951 0.56 Investments...... 21,717 12.80 4,519 2.66 Total Transferable Securities ...... 135,033 79.60 Germany (0.18%) German Treasury Bill Zero Coupon due Commercial Paper (2.24%) (2020: 2.55%) 300 14/04/21 ...... 300 0.18 Australia (0.29%) Ireland (0.09%) Export Finance Australia Ireland Treasury Bill Zero Coupon due Zero Coupon due 500 15/06/21 ...... 501 0.29 150 21/06/21 ...... 150 0.09 France (0.89%) Total Money Market Antalis SA Instruments ...... 5,470 3.23 Zero Coupon due 500 31/08/21 ...... 501 0.30 BPCE Zero Coupon due 500 06/04/21 ...... 500 0.29 LMA SA Zero Coupon due 500 04/06/21 ...... 501 0.30 1,502 0.89

The accompanying notes are an integral part of the financial statements.

46 Russell Investments Euro Fixed Income Fund Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

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31 March 2021

Number Fair Value Fund of Shares ’000 EUR ’000 % Investment Funds (9.72%) (2020: 9.79%) Ireland (9.72%) 17 Russell Investments Company III plc Russell Investments Euro Liquidity Fund - Class R Roll-Up Shares. 16,392 9.66 - Russell Investments Company III plc Russell Investments U.S. Dollar Cash Fund II - Class R Roll-Up Shares ...... 97 0.06 16,489 9.72 Total Investment Funds ...... 16,489 9.72 Total Investments excluding Financial Derivative Instruments ...... 160,784 94.79

Financial Derivative Instruments (2.16%) (2020: (1.92)%) Open Futures Contracts (0.19%)

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund EUR ‘000 EUR EUR ‘000 % 4,611 64.04 72 of Australia 10 Year Bond Futures Long Futures Contracts Expiring June 2021...... (31) (0.02) 448 112.09 4 of Euro Schatz Futures Long Futures Contracts Expiring June 2021...... - 0.00 897 112.11 8 of Euro Schatz Futures Long Futures Contracts Expiring June 2021...... - 0.00 6,348 135.06 47 of Euro-Bobl Futures Long Futures Contracts Expiring June 2021...... 1 0.00 4,050 269.97 30 of Euro-Bobl Futures Long Futures Contracts Expiring June 2021...... 3 0.00 2,378 148.64 16 of Euro-BTP Futures Long Futures Contracts Expiring June 2021...... 11 0.01 4,899 296.97 33 of Euro-BTP Futures Long Futures Contracts Expiring June 2021...... 27 0.02 6,187 171.85 36 of Euro-Bund Futures Long Futures Contracts Expiring June 2021...... (20) (0.01)

The accompanying notes are an integral part of the financial statements.

Russell Investments Euro Fixed Income Fund 47 Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

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31 March 2021

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund EUR ‘000 EUR EUR ‘000 % 20,566 514.14 120 of Euro-Bund Futures Long Futures Contracts Expiring June 2021...... (12) (0.01) 6,972 1.16 6 of Japan 10 Years Bond Futures Long Futures Contracts Expiring June 2021...... 12 0.01 (1,045) (208.93) 5 of Euro BUXL 30 Years Bond Futures Short Futures Contracts Expiring June 2021...... 14 0.01 (297) (148.71) 2 of Euro-BTP Futures Short Futures Contracts Expiring June 2021...... (1) 0.00 (5,655) (171.37) 33 of Euro-Bund Futures Short Futures Contracts Expiring June 2021...... 3 0.00 (173) (172.53) 1 of Euro-Bund Futures Short Futures Contracts Expiring June 2021...... 1 0.00 (2,119) (151.36) 14 of Long Gilt Futures Short Futures Contracts Expiring June 2021...... 22 0.01 (6,368) (151.62) 42 of Long Gilt Futures Short Futures Contracts Expiring June 2021...... 77 0.05 (4) (0.67) 6 of RXK1C 172.5 Call FSO Futures Short Futures Contracts Expiring April 2021...... 2 0.00 (2,292) (127.35) 18 of U.S. 10 Year Ultra Futures Short Futures Contracts Expiring June 2021...... 93 0.05 (3,208) (114.56) 28 of U.S. 10 Years Note Futures Short Futures Contracts Expiring June 2021...... 88 0.05 (2,342) (156.12) 15 of U.S. Ultra Bond Futures Short Futures Contracts Expiring June 2021...... 29 0.02 Unrealised gain on open futures contracts...... 383 0.23 Unrealised loss on open futures contracts ...... (64) (0.04) Net unrealised gain (loss) on open futures contracts ...... 319 0.19

Open Forward Foreign Currency Exchange Contracts (0.56%)

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 18/05/2021 AUD 65 EUR 42 - 0.00 08/06/2021 AUD 89 EUR 58 - 0.00 18/05/2021 CAD 194 EUR 128 4 0.00 08/06/2021 CAD 4,350 EUR 2,847 95 0.06 18/05/2021 EUR 1,040 AUD 1,618 (8) (0.01)

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 18/05/2021 EUR 191 AUD 295 - 0.00 08/06/2021 EUR 2,880 AUD 4,419 20 0.01 08/06/2021 EUR 31 AUD 48 - 0.00 18/05/2021 EUR 120 CAD 187 (5) 0.00 08/06/2021 EUR 99 CAD 148 (1) 0.00 16/06/2021 EUR 830 CAD 1,250 (15) (0.01) 16/06/2021 EUR 830 CAD 1,250 (15) (0.01) 08/06/2021 EUR 4,275 CHF 4,708 17 0.01 07/04/2021 EUR 20,793 GBP 17,747 (40) (0.02) 07/04/2021 EUR 41,586 GBP 35,525 (117) (0.07) 07/04/2021 EUR 20,793 GBP 17,782 (81) (0.05) 18/05/2021 EUR 1,490 GBP 1,303 (39) (0.02) 08/06/2021 EUR 2,843 GBP 2,434 (12) (0.01) 18/05/2021 EUR 298 HUF 109,730 (5) 0.00 18/05/2021 EUR 77 JPY 9,818 1 0.00 08/06/2021 EUR 1,143 JPY 148,700 (1) 0.00 18/05/2021 EUR 89 MXN 2,193 (1) 0.00 18/05/2021 EUR 970 NOK 9,840 (10) (0.01) 08/06/2021 EUR 1,423 NOK 14,604 (30) (0.02) 08/06/2021 EUR 18 NZD 29 - 0.00 08/06/2021 EUR 1,405 SEK 14,194 21 0.01 08/06/2021 EUR 24 SEK 244 - 0.00 16/06/2021 EUR 824 SEK 8,350 9 0.00 16/06/2021 EUR 824 SEK 8,350 10 0.01 11/05/2021 EUR 1,383 USD 1,651 (20) (0.01) 18/05/2021 EUR 7,939 USD 9,647 (261) (0.15) 18/05/2021 EUR 520 USD 627 (12) (0.01) 08/06/2021 EUR 2,818 USD 3,423 (91) (0.05) 24/06/2021 EUR 1,047 USD 1,248 (13) (0.01) 18/05/2021 EUR 451 ZAR 8,041 (10) (0.01) 07/04/2021 GBP 35,932 EUR 41,532 647 0.38 07/04/2021 GBP 17,949 EUR 20,766 304 0.18 07/04/2021 GBP 94 EUR 108 2 0.00 07/04/2021 GBP 17,933 EUR 20,766 285 0.17 11/05/2021 GBP 17,757 EUR 20,793 39 0.02 11/05/2021 GBP 35,545 EUR 41,586 116 0.07 11/05/2021 GBP 17,790 EUR 20,793 79 0.05 08/06/2021 GBP 4,360 EUR 5,066 47 0.03 08/06/2021 GBP 496 EUR 573 9 0.01 18/05/2021 HUF 110,830 EUR 309 (4) 0.00 18/05/2021 HUF 110,880 USD 373 (11) (0.01) 18/05/2021 HUF 111,179 USD 360 - 0.00 18/05/2021 JPY 1,500 EUR 12 - 0.00 08/06/2021 JPY 88,705 EUR 689 (7) 0.00 08/06/2021 JPY 59,995 EUR 463 (2) 0.00 10/06/2021 KRW 888,390 USD 790 (2) 0.00 18/05/2021 MXN 1,134 EUR 46 1 0.00 18/05/2021 NOK 10,229 EUR 1,003 16 0.01 08/06/2021 NOK 83 EUR 8 - 0.00 08/06/2021 NOK 198 EUR 20 - 0.00

The accompanying notes are an integral part of the financial statements.

Russell Investments Euro Fixed Income Fund 49 Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

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31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 16/06/2021 NOK 17,500 EUR 1,734 8 0.00 16/06/2021 NOK 17,500 EUR 1,731 10 0.01 18/05/2021 NOK 9,865 USD 1,160 (4) 0.00 08/06/2021 NZD 2,365 EUR 1,436 (29) (0.02) 08/06/2021 NZD 52 EUR 31 - 0.00 18/05/2021 PLN 1,450 USD 391 (20) (0.01) 10/06/2021 RUB 55,730 USD 747 (13) (0.01) 18/05/2021 USD 204 EUR 172 1 0.00 18/05/2021 USD 1,749 EUR 1,466 21 0.01 08/06/2021 USD 1,426 EUR 1,164 48 0.03 08/06/2021 USD 3,389 EUR 2,886 (6) 0.00 18/05/2021 USD 743 MXN 15,080 8 0.00 18/05/2021 USD 1,156 NOK 9,856 2 0.00 18/05/2021 USD 386 PLN 1,450 16 0.01 18/05/2021 ZAR 638 EUR 36 1 0.00 Unrealised gain on open forward foreign currency exchange contracts...... 1,837 1.08 Unrealised loss on open forward foreign currency exchange contracts...... (885) (0.52) Net unrealised gain (loss) on open forward foreign currency exchange contracts...... 952 0.56

Currency Options Purchased (0.00%)

Notional Amount Fair Value Fund EUR ‘000 EUR ‘000 % United States (0.00%) 1,570 Call at 110.50 USD JPY Expiring May 2021...... 9 0.00 Total currency options purchased at fair value (Premium paid EUR 6,421) ...... 9 0.00

Interest Rate Swaps (0.06%)

Notional Fund Fund Termination Fair Value Fund Ccy Amount ‘000 Pays Receives Date EUR ’000 % EUR 1,500 EUR 6 Month EURIBOR 0.24% 15/08/2029 24 0.01 CZK 60,540 CZK 12 Month PRIBO 0.80% 19/11/2025 79 0.05 Interest rate swaps at fair value ...... 103 0.06

Credit Default Swaps (1.35%)

Notional Amount Security Fund Fund Termination Fair Value Fund Ccy ‘000 Name Pays Receives Date EUR ’000 % EUR 52,000 CDX.NA.HY.36 1.00% # 20/06/2026 1,272 0.75

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Notional Amount Security Fund Fund Termination Fair Value Fund Ccy ‘000 Name Pays Receives Date EUR ’000 % iTRAXX Europe EUR 5,000 Crossover S35 5.00% # 20/06/2026 576 0.34 USD 6,000 CDX.NA.HY 36 5.00% # 20/06/2026 439 0.26 Credit default swaps at fair value ...... 2,287 1.35 Total Financial Derivative Instruments...... 3,670 2.16

Fair Value Fund EUR ‘000 % Total Financial Assets at Fair Value through Profit or Loss (97.51%)...... 165,403 97.51 Total Financial Liabilities at Fair Value through Profit or Loss ((0.56)%) ...... (949) (0.56) Net Financial Assets at Fair Value through Profit or Loss (96.95%) ...... 164,454 96.95 Other Net Assets (3.05%) ...... 5,178 3.05 Net Assets...... 169,632 100.00

*Perpetual bond. #In the event of bankruptcy or modified restructuring, the Fund will pay/receive the notional amount to/from the counterparty.

%of Analysis of gross assets – (unaudited) gross assets Transferable securities admitted to an official stock exchange listing...... 78.17 Transferable securities dealt in on another regulated market...... 0.66 Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ...... 0.05 Commercial paper ...... 2.22 Money market instruments...... 3.20 Investment funds (UCITS) ...... 9.63 Exchange traded financial derivative instruments ...... 0.22 Over the counter financial derivative instruments ...... 2.47 Other assets ...... 3.38 100.00

The accompanying notes are an integral part of the financial statements.

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31 March 2021 Counterparty exposure risk (Note 12 e))

The following tables analyse the brokers/counterparties for the open financial derivative positions and the respective unrealised gains and losses and fair value.

As at 31 March 2021

Open Forward Foreign Currency Currency Open Futures Exchange Options Contracts Contracts Purchased Broker/counterparty EUR ‘000 EUR ‘000 EUR ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Positive Negative Bank of America Merrill Lynch...... 220 (1) - - - - BNP Paribas...... - - 764 (117) - - Goldman Sachs ...... 122 (42) 1 (264) - - Morgan Stanley...... - - 304 - - - UBS AG ...... 41 (21) 384 (95) - - Other* ...... - - 384 (409) 9 - Total financial derivative positions...... 383 (64) 1,837 (885) 9 -

Interest Credit Rate Default Swaps Swaps Total Broker/counterparty EUR ‘000 EUR ‘000 EUR ‘000 Fair Value Fair Value Fair Value Positive Negative Assets Liabilities Assets Liabilities Bank of America Merrill Lynch...... 103 - - - 323 (1) BNP Paribas...... - - - - 764 (117) Goldman Sachs ...... - - 2,287 - 2,410 (306) Morgan Stanley...... - - - - 304 - UBS AG ...... - - - - 425 (116) Other* ...... - - - - 393 (409) Total financial derivative positions...... 103 - 2,287 - 4,619 (949)

As at 31 March 2020

Open Forward Foreign Currency Currency Open Futures Exchange Options Contracts Contracts Purchased Broker/counterparty EUR ‘000 EUR ‘000 EUR ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Positive Negative Bank of America Merrill Lynch...... 255 (198) 90 (263) - - BNP Paribas...... - - 9 (771) - - Citibank...... - - 104 (824) - - Goldman Sachs ...... 528 (606) 76 (14) 6 - Royal Bank Of Canada ...... - - 84 (903) - - Other** ...... 153 (77) 540 (1,247) 75 - Total financial derivative positions...... 936 (881) 903 (4,022) 81 -

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Futures Credit Options Default Purchased Swaps Total Broker/counterparty EUR ‘000 EUR ‘000 EUR ‘000 Fair Value Fair Value Fair Value Positive Negative Positive Negative Assets Liabilities Bank of America Merrill Lynch...... 4 - - (11) 349 (472) BNP Paribas...... - - - - 9 (771) Citibank...... - - - - 104 (824) Goldman Sachs ...... - - 93 (128) 703 (748) Royal Bank Of Canada ...... - - - - 84 (903) Other** ...... - - - - 768 (1,324) Total financial derivative positions...... 4 - 93 (139) 2,017 (5,042)

* The brokers/counterparties included here are Bank of New York, Citibank, Commonwealth Bank of Australia, HSBC, JP Morgan, Royal Bank of Canada and State Street Bank and Trust Company for open forward foreign currency exchange contracts and Citibank for currency options purchased. ** The brokers/counterparties included here are UBS AG for open futures contracts, Bank of Montreal, Bank of New York, HSBC, JP Morgan, National Australia Bank, State Street Bank and Trust Company, UBS AG for open forward foreign currency exchange contracts, JP Morgan for currency options purchased.

Fair Value Hierarchy (Note 12 b) i))

The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2021 and 31 March 2020. As at 31 March 2021

Level 1 Level 2 Level 3 Total EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... - 135,033 - 135,033 Commercial paper ...... - 3,792 - 3,792 Money market instruments...... - 5,470 - 5,470 Investment funds ...... - 16,489 - 16,489 Unrealised gain on open futures contracts ...... 383 - - 383 Unrealised gain on open forward foreign currency exchange contracts...... - 1,837 - 1,837 Currency options purchased at fair value...... - 9 - 9 Interest rate swaps at fair value ...... - 103 - 103 Credit default swaps at fair value ...... - 2,287 - 2,287 Total assets...... 383 165,020 - 165,403

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (64) - - (64) Unrealised loss on open forward foreign currency exchange contracts...... - (885) - (885) Total liabilities...... (64) (885) - (949)

The accompanying notes are an integral part of the financial statements.

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31 March 2021 As at 31 March 2020

Level 1 Level 2 Level 3 Total EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... - 120,932 - 120,932 Certificates of deposit ...... - 502 - 502 Commercial paper ...... - 4,002 - 4,002 Money market instruments...... - 4,653 - 4,653 Investment funds ...... - 15,371 - 15,371 Unrealised gain on open futures contracts ...... 936 - - 936 Unrealised gain on open forward foreign currency exchange contracts...... - 903 - 903 Currency options purchased at fair value...... - 81 - 81 Futures options purchased at fair value...... 4 - - 4 Credit default swaps at fair value ...... - 93 - 93 Total assets...... 940 146,537 - 147,477

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (881) - - (881) Unrealised loss on open forward foreign currency exchange contracts...... - (4,022) - (4,022) Credit default swaps at fair value ...... - (139) - (139) Total liabilities...... (881) (4,161) - (5,042)

The accompanying notes are an integral part of the financial statements.

54 Russell Investments Euro Fixed Income Fund Russell Investment Company II plc Russell Investments Euro Fixed Income Fund

Statement of Changes in Composition of Portfolio* (unaudited)

For the Financial year ended 31 March 2021

Acquisition Cost Disposal Proceeds Portfolio Securities EUR ‘000 Portfolio Securities EUR ‘000 Russell Investments Company III plc Russell Investments Company III plc Russell Investments Euro Liquidity Fund Russell Investments Euro Liquidity Fund Class R Roll-Up Shares 89,134 Class R Roll-Up Shares (87,569) Netherlands Government Bond Netherlands Government Bond 0.250% due 15/07/2029 28,546 0.250% due 15/07/2029 (33,885) Bundesschatzanweisungen Bundesrepublik Deutschland Bundesanleihe Zero Coupon due 12/03/2021 18,977 0.250% due 15/02/2029 (20,642) Bundesrepublik Deutschland Bundesrepublik Deutschland Zero Coupon due 15/02/2030 17,993 Zero Coupon due 15/02/2030 (17,877) Bundesschatzanweisungen Italy Buoni Poliennali Del Tesoro Zero Coupon due 11/06/2021 16,709 1.850% due 01/07/2025 (12,826) Netherlands Government Bond Spain Government Bond Zero Coupon due 15/07/2030 13,447 0.500% due 30/04/2030 (10,074) Italy Buoni Poliennali Del Tesoro Bundesrepublik Deutschland 1.850% due 01/07/2025 12,521 Zero Coupon due 15/08/2050 (5,810) French Republic Government Bond OAT Spain Government Bond Zero Coupon due 25/05/2020 8,005 1.250% due 31/10/2030 (4,866) Bundesschatzanweisungen Bundesobligation Zero Coupon due 10/06/2022 7,914 Zero Coupon due 05/04/2024 (4,461) Bundesrepublik Deutschland Kingdom of Belgium Government Bond Zero Coupon due 15/08/2050 7,649 0.100% due 22/06/2030 (4,344) Zero Coupon due 15/02/2031 7,513 Netherlands Government Bond Bundesrepublik Deutschland Bundesanleihe Zero Coupon due 15/07/2030 (4,134) 0.250% due 15/02/2029 4,788 Spain Government Bond Spain Government Bond 2.700% due 31/10/2048 (3,914) 1.250% due 31/10/2030 4,659 Bundesrepublik Deutschland Bundesrepublik Deutschland 0.250% due 15/02/2027 (3,757) 0.250% due 15/02/2027 4,476 Spain Government Bond European Union 1.000% due 31/10/2050 (3,680) 0.200% due 04/06/2036 4,461 Italy Buoni Poliennali Del Tesoro Spain Government Bond 2.450% due 01/09/2050 (3,636) 0.500% due 30/04/2030 4,109 Russell Investments Company III plc Bundesrepublik Deutschland Russell Investments U.S. Dollar Cash Fund II 4.750% due 04/07/2028 4,093 Class R Roll-Up Shares (3,480) Kingdom of Belgium Government Bond Bundesrepublik Deutschland 0.100% due 22/06/2030 3,875 Zero Coupon due 15/08/2030 (2,886) Spain Government Bond European Financial Stability Facility 1.000% due 31/10/2050 3,576 0.750% due 03/05/2027 (2,449) Russell Investments Company III plc Bundesschatzanweisungen Russell Investments U.S. Dollar Cash Fund II Zero Coupon due 12/03/2021 (2,295) Class R Roll-Up Shares 3,235 France Treasury Bill BTF Zero Coupon due 16/04/2020 (2,195)

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. Russell Investments Euro Fixed Income Fund 55 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Manager’s Report

Investment Managers as at 31 March 2021 Russell Investments Limited Russell Investment Management, LLC

Money Managers as at 31 March 2021 BlueBay Asset Management LLP Schroder Investment Management Inc. Western Asset Management Company Limited

Investment Objective The investment objective of Russell Investments Global Bond (Euro Hedged) Fund (the “Fund”) is to provide income and capital growth by investing primarily in transferable debt instruments denominated in a variety of currencies, which include but are not limited to, municipal and government bonds, agency debt (being that issued by local authorities or public international bodies of which one or more States is a member), mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in the Organisation for Economic Co-operation and Development (“OECD”) and which may have fixed or floating interest rates.

Fund Performance During the financial year ended 31 March 2021, the Fund returned 5.7 per cent on a gross-of-fee basis (4.6 per cent on a net-of- fee basis), while the benchmark* returned 0.5 per cent.

Market Comment The benchmark rose 2.2 per cent in the second quarter of 2020. Despite the painful economic fallout from the lockdowns, the severe “risk-off ” market environment in the first quarter largely reversed over the second quarter. A divergence in economic fundamentals and financial market performance became pronounced. The concerted support of monetary policy and an opening of the fiscal taps drove a rapid recovery in risk appetite. The market also latched onto positive news regarding potential vaccines and treatments against Covid-19. Additionally, after a record collapse in oil demand, oil prices crawled upwards over the period, largely helped by agreed production cuts. However, economic fundamentals remain largely weak in the near-term horizon, despite some green shots engendered from some gradual geographic easing of lockdowns. Fears of a second wave of coronavirus infections, as well as escalating tensions between the US and China on trade, the origins of Covid-19 and China’s new security law on Hong Kong, remained in investors’ thoughts. Global investment-grade (IG) credit spreads tightened by 113 basis points (bps) to 145 in the second quarter. Alongside monetary policy support, the further opening of fiscal taps such as the European Union’s record-breaking EUR 750 billion stimulus package (which included risk-sharing across the eurozone through Eurobonds) and the US’ USD 484 billion coronavirus relief bill, has driven a rapid recovery in US (-113 bps to 142) and EU (-72 bps to 126) IG credit spreads, even with corroding credit fundamentals. Additionally, positive news regarding potential vaccines and treatments against COVID-19 and higher oil prices on the back of agreed oil production cuts, also aided US (-254 bps to 626) and EU (-267 bps to 515) corporate high yield spreads to tighten notably. In Emerging Market debt (EMD), local EMD rose 9.8 per cent and hard currency EMD increased 11.2 per cent (USD terms). Demand for Chinese sovereign bonds surged on the back of an improving economic backdrop. In contrast, having already missed an interest payment in May, Argentina is still negotiating the restructuring of some USD 83 billion of its foreign debt with creditors. The benchmark rose by 0.5 per cent in the third quarter of 2020. Global IG credit spreads tightened by 19 bps to 126 in the third quarter. A “risk on” market sentiment emanating from the second quarter, dominated July and August on the back of Covid- 19 vaccine hopes and stabilising oil prices. These factors helped tighten US (-109 bps to 517) and EU (-57 bps to 458) corporate high yield spreads over the period. However, this “risk-on” sentiment reversed in September as rising coronavirus cases pointed towards a second wave of infections. Brexit uncertainties as well as volatility to the run-up to US presidential elections, also served as major headwinds. Largely in anticipation of potential downside risks, EU leaders agreed on the framework to a historic EUR 750 billion stimulus plan early in the quarter. This was further boosted by France and Germany proposing a further EUR 500 billion to the Eurozone Recovery Fund. UK Chancellor Rishi Sunak also announced plans to replace the UK’s furlough scheme with a German style wage subsidy plan. These factors underpinned stability in US (-14 bps to 128) and EU (-24 bps to 102) IG credit, where spreads tightened as well, but far more modestly. This is because hopes for Congress and the White House to agree on further US fiscal stimulus faded, with robust economic data watering down appetite amongst Republicans to add new fiscal support. However, Democrats are preparing a relatively smaller USD 2.4 trillion stimulus package which they hope will be accepted by Republicans.

The benchmark rose by 0.6 per cent in the final quarter of 2020. Global IG credit spreads tightened by 32 bps to 94 in the fourth quarter. Positive risk appetite amongst investors was boosted by Covid-19 vaccines. Additionally, news that Joe Biden won the US presidential election was welcomed as it offered more political stability. Political stability across the pond was also established after the UK and the EU agreed upon a Brexit trade deal in the latter stages of December. Furthermore, the US Congress agreed

56 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Manager’s Report - continued

to a USD 900 billion fiscal stimulus bill and the EU finally adopted a EUR 1.8 trillion budget and landmark post-pandemic recovery package, after Hungary and Poland dropped objections to a new mechanism tying payments to rule of law principles. These developments bolstered demand for riskier assets with spreads for EU (-111 bps to 347) and US (-157 bps to 360) corporate high yield (HY) tightening significantly over the quarter. EU (-23 bps to 79) and US (-36 bps to 92) IG credit spreads tightened more modestly, as concerns about increasing coronavirus cases and a new Covid-19 strain, remained in the background. In EMD, local EMD increased 9.6 per cent and hard currency EMD rose 5.5 per cent (USD terms). Over the period, China sold its first negative-yielding sovereign euro-denominated bond, which attracted around EUR 18 billion worth of orders for EUR 4 billion of bonds. This comes as investors sought exposure in a country that has been recovering faster than other major economies. Meanwhile, Chinese semiconductor company Tsinghua Unigroup, partly owned by China’sTsinghua University, was another state-backed entity to default on its bonds. This latest default is further sign that the Chinese central government is more willing to let weaker companies fail.

The benchmark declined by 2.7 per cent in the first quarter of 2021. Global IG credit spreads tightened by six bps to 88 over the quarter, helped by G7 finance ministers’ commitment to maintaining accommodative fiscal support. Improving economic growth prospects, more stable oil prices coupled with a hunt for yield, tilted investor demand towards the lowest-rated businesses, tightening corporate high yield spreads notably this quarter in the EU (-38 bps to 309) and the US (-50 bps to 310). Meanwhile, Joe Biden’s USD 1.9 trillion fiscal stimulus plan, general EU fiscal support, UK Chancellor Rishi Sunak’s extension of coronavirus support measures in his budget, as well as continued Covid-19 vaccine rollouts (albeit with regional disparities), tightened EU (-1 bp to 78) and US (-6 bps to 86) IG credit spreads modestly. In EMD, local EMD decreased 6.7 per cent and hard currency EMD fell 4.7 per cent (USD terms).

General Comment on Money Managers/Performance The Fund outperformed the benchmark in the second quarter of 2020. Credit positioning drove performance, notably through the long credit derivatives exposure and overweights to corporate high yield and investment-grade financials. Active currency positioning was also positive, owing to overweights to the Norwegian krone, Swedish krona and Mexican peso. The underweights to the Thai baht and Swiss franc, were minor detractors. In rates positioning, overweights in Mexico and Italy generated gains. Underweights in France, UK and Canada moderated this slightly. The Fund outperformed the benchmark in the third quarter of 2020. Credit positioning drove performance, notably through overweights to US/EU corporate high yield, US securitised assets and long credit derivatives. This was slightly moderated by the underweight to US investment-grade industrials. Rates positioning was also positive via the overweights in the US and Mexico. Active currency positioning was more neutral with the underweights to the Chinese renminbi and Swiss franc, offsetting the gains generated through overweights to the British pound and Japanese yen. The Fund outperformed the benchmark in the fourth quarter of 2020. Credit positioning drove performance, notably through overweights to hard currency emerging market debt, US/EU corporate high yield and US securitised assets. This was slightly moderated by the underweight to US/EU investment-grade credit. Active currency positioning was positive via overweights to the Norwegian krone and British Pound whilst underweights to the Australian dollar and Chinese renminbi moderated this effect slightly. In rates positioning, the underweights in Germany, China and overweight in the US slightly offset the strong gains generated through overweights in Mexico and Indonesia. The Fund finished ahead of the benchmark and was also enhanced over the first quarter of 2021. Positive performance was driven by overall currency and credit positioning. Rates position was more neutral. We transformed the more generalist manager line up of the Fund into a more specialist one. We therefore removed the more generalist mandates of Voya, Colchester, Insight and added Western Asset Management (credit specialist). Russell Investments’ Intelligent Credit strategy and the Integrated Government strategy were also added. The Currency and Rates Positioning Strategies remain as part of the Integrated Government strategy. We then changed the benchmarks for Schroders and BlueBay in order to reorient them to more specialist areas of the global fixed income market.

Past performance is no indication of present or future performance. * Benchmark Source: Bloomberg Barclays Global Aggregate Bond Index Euro hedged Russell Investments Ireland Limited May 2021

Russell Investments Global Bond (Euro Hedged) Fund 57 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Balance Sheet

As at 31 March 2021

31 March 2021 31 March 2020 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss (Note 2) ...... 315,653 306,938

Cash at bank (Note 3)...... 8,947 32,280 Cash held with brokers and counterparties for open financial derivative instruments (Note 3)...... 9,566 9,412

Debtors: Receivable for investments sold ...... 2 881 Receivable on fund shares issued ...... 11,593 2 Interest receivable...... 1,777 1,517 347,538 351,030 Liabilities Financial liabilities at fair value through profit or loss (Note 2)...... (10,863) (13,377)

Creditors – amounts falling due within one financial year: Cash due to brokers and counterparties for open financial derivative instruments (Note 3)...... - (3,105) Payable for investments purchased...... (1,836) (22,346) Payable on fund shares redeemed...... - (51) Distributions payable on income share classes...... (117) (392) Management fees payable...... (246) (232) Depositary fees payable...... (88) (40) Sub-custodian fees payable...... (18) (12) Administration fees payable ...... (24) (5) Audit fees payable ...... (27) (31) Other fees payable ...... (9) (38) (13,228) (39,629)

Net assets attributable to redeemable participating shareholders ...... 334,310 311,401

The accompanying notes are an integral part of the financial statements.

58 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Profit and Loss Account

For the financial year ended 31 March 2021

2021 2020 EUR ‘000 EUR ‘000 Income Dividends...... 65- Interest income ...... 6,056 8,381 6,121 8,381

Net gain (loss) on investment activities (Note 4) ...... 10,545 2,068

Total investment income (expense)...... 16,666 10,449

Expenses Management fees (Note 5) ...... (2,857) (2,763) Depositary fees (Note 6)...... (228) (177) Sub-custodian fees (Note 6) ...... (48) (54) Administration and transfer agency fees (Note 6)...... (86) (93) Audit fees (Note 6) ...... (27) (31) Professional fees...... (21) (21) Other fees...... (56) (58) Total operating expenses ...... (3,323) (3,197)

Net income (expense)...... 13,343 7,252

Finance costs Distributions (Note 8)...... (3,578) (5,594) Profit (loss) for the financial year before taxation...... 9,765 1,658

Taxation (Note 9) Capital gains tax ...... (111) (29) Withholding tax ...... (56) (57)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 9,598 1,572

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 59 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

2021 2020 EUR ‘000 EUR ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 9,598 1,572

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 2,629 4,044 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10)...... 10,682 (16,116)

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... 22,909 (10,500)

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 311,401 321,901

End of financial year ...... 334,310 311,401

The accompanying notes are an integral part of the financial statements.

60 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Transferable Securities (88.07%) 500 3.809% due 25/10/30.. 434 0.13 (2020: 84.80%) Radnor RE Ltd Long Term Bonds and Notes (85.59%) 252 2.059% due 25/02/29.. 215 0.06 (2020: 77.82%) 2,395 0.72 Australia (0.92%) AusNet Services Holdings Pty Ltd Canada (1.70%) EUR 300 1.625% due 11/03/81.. 305 0.09 Bank of Nova Scotia Australia Government Bond 210 4.900%*...... 190 0.06 AUD 560 2.750% due 21/11/27.. 400 0.12 Bell Canada 1,178 2.500% due 21/05/30.. 820 0.25 CAD 275 3.350% due 22/03/23.. 195 0.06 447 3.000% due 21/03/47.. 308 0.09 Brookfield Asset Management Inc BHP Billiton Finance Ltd 267 4.540% due 31/03/23.. 193 0.06 EUR 215 0.750% due 28/10/22.. 218 0.06 Brookfield Finance Inc New South Wales Treasury Corp USD 228 3.500% due 30/03/51.. 185 0.05 AUD 700 3.000% due 20/04/29.. 501 0.15 Canadian Government Bond Queensland Treasury Corp CAD 103 1.000% due 01/09/22.. 71 0.02 600 4.250% due 21/07/23.. 425 0.13 688 2.500% due 01/06/24.. 495 0.15 Westpac Banking Corp 500 9.000% due 01/06/25.. 452 0.13 USD 120 2.668% due 15/11/35.. 97 0.03 450 3.500% due 01/12/45.. 397 0.12 797 2.750% due 01/12/48.. 630 0.19 3,074 0.92 Canadian Imperial Bank of Commerce Austria (0.17%) USD 227 0.950% due 23/06/23.. 195 0.06 BAWAG Group AG Canadian National Railway Co EUR 100 2.375% due 26/03/29.. 104 0.03 147 6.712% due 15/07/36.. 180 0.05 CA Immobilien Anlagen AG Canadian Natural Resources Ltd 300 0.875% due 05/02/27.. 297 0.09 181 6.450% due 30/06/33.. 196 0.06 Raiffeisen Bank International AG Canadian Pacific Railway Co 100 2.875% due 18/06/32.. 107 0.03 140 6.125% due 15/09/15.. 173 0.05 Republic of Austria Government Bond Choice Properties Real Estate Investment Trust 32 3.150% due 20/06/44.. 52 0.02 CAD 262 4.293% due 08/02/24.. 192 0.06 560 0.17 CI Financial Corp USD 225 3.200% due 17/12/30.. 191 0.06 Bahamas (0.07%) Enbridge Inc Competition Team Technologies Ltd CAD 237 5.570% due 14/11/35.. 190 0.05 USD 243 3.750% due 12/03/24.. 223 0.07 Fairfax Financial Holdings Ltd Belgium (1.06%) USD 204 4.625% due 29/04/30.. 190 0.06 Barry Callebaut Services NV Laurentian Bank of Canada EUR 174 2.375% due 24/05/24.. 185 0.06 CAD 274 3.450% due 27/06/23.. 195 0.06 Groupe Bruxelles Lambert SA Loblaw Cos Ltd 100 1.875% due 19/06/25.. 108 0.03 234 6.150% due 29/01/35.. 203 0.06 KBC Group NV RioCan Real Estate Investment Trust 500 1.875% due 11/03/27.. 509 0.15 271 3.287% due 12/02/24.. 194 0.06 Kingdom of Belgium Government Bond Suncor Energy Inc 859 0.800% due 22/06/25.. 909 0.27 USD 182 5.950% due 15/05/35.. 194 0.06 779 3.750% due 22/06/45.. 1,321 0.40 Total Capital Canada Ltd Solvay SA 225 2.750% due 15/07/23.. 202 0.06 100 1.625% due 02/12/22.. 103 0.03 Vale Canada Ltd UCB SA 165 7.200% due 15/09/32.. 179 0.05 400 1.000% due 30/03/28.. 402 0.12 VW Credit Canada Inc 3,537 1.06 CAD 275 3.700% due 14/11/22.. 195 0.06 Bermuda (0.72%) 5,677 1.70 Athene Holding Ltd Cayman Islands (2.02%) USD 182 6.150% due 03/04/30.. 189 0.06 Alibaba Group Holding Ltd Bellemeade Re Ltd USD 208 3.600% due 28/11/24.. 192 0.06 500 3.009% due 25/04/28.. 429 0.13 Ambac LSNI LLC 576 2.059% due 25/07/29.. 489 0.15 867 6.000% due 12/02/23.. 740 0.22 749 2.109% due 25/10/29.. 639 0.19 BOS Funding Ltd

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 61 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % 213 4.000% due 18/09/24.. 189 0.05 Czech Republic (0.11%) Braskem Finance Ltd Czech Republic Government Bond 520 6.450% due 03/02/24.. 494 0.15 CZK 1,270 2.400% due 17/09/25.. 51 0.01 Canyon Capital CLO Ltd 1,500 0.950% due 15/05/30.. 53 0.02 1,000 1.491% due 15/04/29.. 851 0.25 EP Infrastructure AS Carlyle Global Market Strategies CLO Ltd EUR 250 1.816% due 02/03/31.. 252 0.08 499 1.113% due 18/01/29.. 425 0.13 356 0.11 CIFC Funding Ltd 700 1.223% due 18/04/31.. 596 0.18 Denmark (0.69%) Dryden Senior Loan Fund AP Moller - Maersk A/S 500 1.433% due 18/07/30.. 426 0.13 USD 204 3.875% due 28/09/25.. 190 0.06 Dryden XXVIII Senior Loan Fund Danica Pension Livsforsikrings AB 648 1.394% due 15/08/30.. 552 0.16 EUR 164 4.375% due 29/09/45.. 188 0.06 ENN Energy Holdings Ltd Danske Bank A/S 256 3.250% due 24/07/22.. 223 0.07 USD 1,170 5.375% due 12/01/24.. 1,111 0.33 Galaxy XXII CLO Ltd 202 4.375% due 12/06/28.. 188 0.06 323 1.073% due 16/07/28.. 275 0.08 Denmark Government Bond Haidilao International Holding Ltd DKK 1,482 1.500% due 15/11/23.. 210 0.06 226 2.150% due 14/01/26.. 191 0.06 800 0.500% due 15/11/29.. 114 0.03 MAR Sukuk Ltd Jyske Bank A/S 223 2.210% due 02/09/25.. 193 0.06 EUR 178 2.250% due 05/04/29.. 186 0.06 Meituan Orsted A/S 45 2.125% due 28/10/25.. 38 0.01 GBP 100 2.500% due 18/02/21.. 116 0.03 QNB Finance Ltd 2,303 0.69 212 3.500% due 28/03/24.. 192 0.06 Finland (0.15%) Rakfunding Cayman Ltd Neste OYJ 254 4.125% due 09/04/24.. 232 0.07 EUR 500 0.750% due 25/03/28.. 498 0.15 Sands China Ltd 200 5.400% due 08/08/28.. 195 0.06 France (2.75%) Sealane IV Trade Finance Ltd Air Liquide Finance SA 270 9.818% due 08/05/23.. 226 0.07 USD 219 2.250% due 27/09/23.. 194 0.06 Sun Hung Kai Properties Capital Market Ltd AXA SA 251 3.625% due 16/01/23.. 223 0.07 EUR 680 5.125% due 04/07/43.. 755 0.22 Tencent Holdings Ltd USD 164 6.379%*...... 194 0.06 114 3.800% due 11/02/25.. 105 0.03 BNP Paribas SA Vale Overseas Ltd 211 3.500% due 01/03/23.. 189 0.06 150 8.250% due 17/01/34.. 180 0.05 GBP 500 1.875% due 14/12/27.. 598 0.18 USD 890 3.052% due 13/01/31.. 778 0.23 6,738 2.02 Caisse d’Amortissement de la Dette Sociale Chile (0.11%) Zero Coupon due Celulosa Arauco y Constitucion SA EUR 1,000 25/02/28 ...... 1,014 0.30 203 4.500% due 01/08/24.. 187 0.05 Carrefour SA Inversiones CMPC SA 100 0.875% due 12/06/23.. 102 0.03 203 4.750% due 15/09/24.. 190 0.06 Cie de Saint-Gobain 377 0.11 100 1.125% due 23/03/26.. 105 0.03 Credit Agricole SA China (0.06%) USD 202 4.375% due 17/03/25.. 189 0.06 China Government International Bond Danone SA EUR 200 0.500% due 12/11/31.. 201 0.06 216 2.589% due 02/11/23.. 192 0.06 Colombia (0.12%) Eiffage SA Banco de Bogota SA EUR 300 1.625% due 14/01/27.. 318 0.09 USD 220 4.375% due 03/08/27.. 198 0.06 Engie SA Bancolombia SA 300 0.500% due 24/10/30.. 301 0.09 219 3.000% due 29/01/25.. 191 0.06 Firmenich Productions Participations SAS 389 0.12 350 1.750% due 30/04/30.. 381 0.11 French Republic Government Bond OAT 132 2.750% due 25/10/27.. 159 0.05

The accompanying notes are an integral part of the financial statements.

62 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % 126 0.500% due 25/05/29.. 133 0.04 Deutsche Bank AG 153 2.500% due 25/05/30.. 190 0.06 USD 212 3.950% due 27/02/23.. 191 0.06 1,200 0.500% due 25/05/40.. 1,201 0.36 211 3.700% due 30/05/24.. 192 0.06 145 1.750% due 25/05/66.. 191 0.06 Evonik Industries AG Zero Coupon due EUR 214 1.000% due 23/01/23.. 218 0.07 132 25/11/29 ...... 134 0.04 Hannover Rueck SE Mercialys SA 600 1.125% due 09/10/39.. 602 0.18 400 4.625% due 07/07/27.. 460 0.14 HeidelbergCement AG Societe Fonciere Lyonnaise SA 207 2.250% due 30/03/23.. 215 0.06 300 1.500% due 05/06/27.. 319 0.09 Muenchener Rueckversicherungs-Gesellschaft Societe Generale SA AG in Muenchen USD 208 5.000% due 17/01/24.. 193 0.06 500 3.250% due 26/05/49.. 583 0.17 Sogecap SA Vantage Towers AG EUR 100 4.125%*...... 113 0.03 200 0.750% due 31/03/30.. 200 0.06 Terega SA Volkswagen Financial Services AG 100 0.875% due 17/09/30.. 101 0.03 460 1.500% due 01/10/24.. 481 0.14 Terega SASU Volkswagen Leasing GmbH 300 0.625% due 27/02/28.. 299 0.09 200 2.375% due 06/09/22.. 207 0.06 Tikehau Capital SCA ZF Finance GmbH 100 2.250% due 14/10/26.. 106 0.03 400 3.000% due 21/09/25.. 423 0.13 Total Capital International SA 17,248 5.16 USD 218 2.700% due 25/01/23.. 194 0.06 Wendel SE Greece (0.11%) EUR 100 1.000% due 20/04/23.. 102 0.03 Hellenic Republic Government Bond 358 1.875% due 24/01/52.. 356 0.11 9,205 2.75 Hong Kong (0.06%) Germany (5.16%) Bocom Leasing Management Hong Kong Co Allianz SE Ltd 600 4.750%*...... 669 0.20 USD 229 1.750% due 14/07/23.. 196 0.06 400 2.625%*...... 404 0.12 Alstria Office AG Hungary (0.06%) 400 1.500% due 23/06/26.. 421 0.13 MOL Hungarian Oil & Gas Plc alstria office REIT-AG EUR 204 2.625% due 28/04/23.. 215 0.06 100 2.125% due 12/04/23.. 104 0.03 Iceland (0.05%) Bundesobligation Iceland Government International Bond Zero Coupon due 154 0.100% due 20/06/24.. 155 0.05 1,580 10/10/25 ...... 1,628 0.49 India (0.15%) Bundesrepublik Deutschland Bharat Petroleum Corp Ltd 1,130 1.500% due 04/09/22.. 1,165 0.35 USD 200 4.625% due 25/10/22.. 178 0.05 190 0.500% due 15/08/27.. 203 0.06 ICICI Bank Ltd 85 4.000% due 04/01/37.. 140 0.04 140 4.000% due 18/03/26.. 129 0.04 380 4.750% due 04/07/40.. 728 0.22 State Bank of India Zero Coupon due 204 4.875% due 17/04/24.. 192 0.06 960 15/08/26 ...... 993 0.30 247 15/11/27 ...... 256 0.08 499 0.15 210 15/08/29 ...... 217 0.06 Indonesia (0.65%) 742 15/02/30 ...... 767 0.23 Bank Mandiri Persero Tbk PT 1,390 15/08/30 ...... 1,434 0.43 247 3.750% due 11/04/24.. 222 0.07 1,000 15/05/35 ...... 1,008 0.30 Bank Rakyat Indonesia Persero Tbk PT 119 15/08/50 ...... 110 0.03 213 4.625% due 20/07/23.. 195 0.06 Bundesrepublik Deutschland Bundesanleihe Indonesia Government International Bond 1,122 0.500% due 15/02/25.. 1,175 0.35 EUR 540 1.400% due 30/10/31.. 544 0.16 550 0.500% due 15/02/26.. 582 0.17 USD 900 5.250% due 17/01/42.. 918 0.27 586 0.250% due 15/08/28.. 619 0.19 Indonesia Treasury Bond 855 0.250% due 15/02/29.. 903 0.27 IDR 5,044,000 7.000% due 15/09/30.. 300 0.09 230 4.250% due 04/07/39.. 410 0.12 2,179 0.65

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 63 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Ireland (2.93%) 260 5.875%*...... 292 0.09 Abbott Ireland Financing DAC Italy Buoni Poliennali Del Tesoro EUR 470 0.375% due 19/11/27.. 476 0.14 240 0.950% due 01/03/23.. 246 0.07 AerCap Ireland Capital DAC / AerCap Global 750 0.600% due 15/06/23.. 766 0.23 Aviation Trust 757 0.300% due 15/08/23.. 768 0.23 USD 850 4.500% due 15/09/23.. 778 0.23 239 1.450% due 15/05/25.. 254 0.08 BAMS CMBS 1,792 1.850% due 01/07/25.. 1,938 0.58 GBP 280 3.456% due 17/05/28.. 321 0.10 166 0.500% due 01/02/26.. 170 0.05 Carlyle Global Market Strategies Euro CLO 1,320 0.900% due 01/04/31.. 1,351 0.40 Ltd 351 2.450% due 01/09/33.. 415 0.12 EUR 582 0.960% due 16/01/33.. 582 0.17 141 1.450% due 01/03/36.. 149 0.04 Euro-Galaxy VI CLO DAC 58 3.250% due 01/09/46.. 79 0.02 599 0.710% due 11/04/31.. 599 0.18 Telecom Italia SpA European Loan Conduit 260 4.000% due 11/04/24.. 281 0.08 670 0.950% due 26/10/28.. 671 0.20 UniCredit SpA 263 3.250% due 26/10/28.. 260 0.08 380 1.200% due 20/01/26.. 386 0.12 GE Capital International Funding Co 181 1.250% due 16/06/26.. 187 0.06 Unlimited Co USD 970 5.459% due 30/06/35.. 876 0.26 USD 201 4.418% due 15/11/35.. 196 0.06 10,278 3.07 Grenke Finance Plc EUR 213 0.625% due 09/01/25.. 175 0.05 Japan (8.90%) Henley CLO IV DAC Dai-ichi Life Insurance Co Ltd 500 1.000% due 25/04/34.. 502 0.15 220 4.000%*...... 201 0.06 Ireland Government Bond Japan Government Ten Year Bond 100 1.350% due 18/03/31.. 114 0.03 JPY 156,200 0.800% due 20/06/23.. 1,227 0.37 1,030 1.700% due 15/05/37.. 1,250 0.37 143,250 0.100% due 20/03/27.. 1,114 0.33 Last Mile Securities PE DAC 116,450 0.100% due 20/09/27.. 905 0.27 500 1.600% due 17/08/31.. 500 0.15 196,700 0.100% due 20/12/28.. 1,526 0.46 RRE Loan Management DAC 550,000 0.100% due 20/03/29.. 4,267 1.28 505 1.000% due 15/04/35.. 505 0.15 405,200 0.100% due 20/06/29.. 3,141 0.94 Shamrock Residential DAC 71,700 0.100% due 20/09/29.. 556 0.17 492 0.301% due 24/12/59.. 493 0.15 Japan Government Thirty Year Bond Smurfit Kappa Treasury ULC 47,900 2.000% due 20/03/42.. 478 0.14 270 1.500% due 15/09/27.. 284 0.09 270,250 1.500% due 20/03/45.. 2,515 0.75 St Paul’s CLO X DAC 89,500 0.300% due 20/06/46.. 643 0.19 663 1.000% due 22/04/35.. 663 0.20 27,550 0.500% due 20/09/46.. 208 0.06 Strandhill RMBS DAC 86,050 0.800% due 20/12/47.. 692 0.21 822 0.107% due 30/01/65.. 825 0.25 34,850 0.400% due 20/03/50.. 251 0.07 Taurus FR DAC Japan Government Twenty Year Bond GBP 500 1.000% due 17/05/31.. 589 0.18 153,650 1.700% due 20/09/33.. 1,401 0.42 66,200 1.500% due 20/06/34.. 594 0.18 9,783 2.93 99,100 0.400% due 20/03/36.. 774 0.23 Israel (0.06%) 179,200 0.300% due 20/06/39.. 1,348 0.40 Israel Government International Bond Japan Government Two Year Bond USD 200 4.500% due 31/12/99.. 204 0.06 574,350 0.100% due 01/11/22.. 4,438 1.33 Italy (3.07%) Japanese Government CPI Linked Bond Anima Holding SpA 210,620 0.100% due 10/03/26.. 1,640 0.49 EUR 185 1.750% due 23/10/26.. 190 0.06 79,768 0.100% due 10/03/28.. 620 0.19 Cassa Depositi e Prestiti SpA Mitsubishi UFJ Financial Group Inc 200 2.125% due 21/03/26.. 219 0.07 EUR 370 0.680% due 26/01/23.. 376 0.11 Eni SpA Nissan Motor Co Ltd USD 208 4.000% due 12/09/23.. 190 0.06 100 1.940% due 15/09/23.. 105 0.03 FCA Bank SpA USD 340 3.043% due 15/09/23.. 303 0.09 EUR 410 0.500% due 13/09/24.. 416 0.12 Sumitomo Mitsui Financial Group Inc Intesa Sanpaolo SpA 246 2.778% due 18/10/22.. 217 0.06 800 1.000% due 04/07/24.. 823 0.25 Toyota Motor Corp 260 5.500%*...... 282 0.08

The accompanying notes are an integral part of the financial statements.

64 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % 254 2.157% due 02/07/22.. 221 0.07 530 6.750% due 30/09/22.. 486 0.15 29,761 8.90 210 4.375% due 10/04/24.. 195 0.06 Mexican Bonos Jersey, Channel Islands (0.20%) MXN 5,073 6.500% due 09/06/22.. 215 0.06 Atrium European Real Estate Ltd Mexico Government International Bond EUR 182 3.000% due 11/09/25.. 194 0.06 EUR 1,455 4.000% due 31/12/99.. 1,569 0.47 CPUK Finance Ltd Petroleos Mexicanos GBP 390 3.588% due 28/02/42.. 491 0.14 MXN 31,180 7.190% due 12/09/24.. 1,211 0.36 685 0.20 23,320 7.470% due 12/11/26.. 852 0.25 Korea, Republic of (0.18%) 4,940 1.48 LG Chem Ltd Netherlands (3.86%) EUR 196 0.500% due 15/04/23.. 198 0.06 ABN AMRO Bank NV POSCO EUR 570 1.000% due 16/04/25.. 597 0.18 USD 253 2.375% due 12/11/22.. 221 0.06 Adecco International Financial Services BV SK Hynix Inc 184 1.500% due 22/11/22.. 188 0.06 212 3.000% due 17/09/24.. 191 0.06 ASR Nederland NV 610 0.18 166 5.000%*...... 189 0.06 Luxembourg (1.35%) Cairn CLO VII BV ALROSA Finance SA 822 0.670% due 31/01/30.. 822 0.25 209 4.650% due 09/04/24.. 190 0.06 Cooperatieve Rabobank UA ArcelorMittal SA 800 6.625%*...... 812 0.24 300 4.550% due 11/03/26.. 283 0.08 CTP BV Banque Ouest Africaine de Developpement 350 2.125% due 01/10/25.. 372 0.11 EUR 500 2.750% due 22/01/33.. 515 0.15 Daimler International Finance BV CPI Property Group SA GBP 100 1.250% due 05/09/22.. 118 0.03 GBP 161 2.750% due 22/01/28.. 191 0.06 Deutsche Telekom International Finance BV Fiat Chrysler Finance Europe SENC USD 250 2.485% due 19/09/23.. 222 0.07 EUR 173 4.750% due 15/07/22.. 184 0.06 380 8.750% due 15/06/30.. 480 0.14 GELF Bond Issuer I SA Digital Dutch Finco BV 550 1.125% due 18/07/29.. 566 0.17 EUR 280 1.250% due 01/02/31.. 286 0.08 Grand City Properties SA 370 1.000% due 15/01/32.. 367 0.11 300 1.500%*...... 296 0.09 E.ON International Finance BV Logicor Financing Sarl GBP 145 5.625% due 06/12/23.. 192 0.06 540 1.625% due 15/07/27.. 569 0.17 easyJet FinCo BV 410 3.250% due 13/11/28.. 477 0.14 EUR 250 1.875% due 03/03/28.. 247 0.07 Prologis International Funding II SA EDP Finance BV 250 1.750% due 15/03/28.. 275 0.08 USD 470 1.710% due 24/01/28.. 386 0.11 SELP Finance Sarl Enel Finance International NV 280 1.500% due 20/11/25.. 296 0.09 217 2.750% due 06/04/23.. 192 0.06 270 1.500% due 20/12/26.. 287 0.09 400 6.000% due 07/10/39.. 453 0.13 Simon International Finance SCA Enexis Holding NV 194 1.375% due 18/11/22.. 198 0.06 EUR 180 0.750% due 02/07/31.. 188 0.06 Swiss Re Finance Luxembourg SA Euronext NV USD 200 4.250%*...... 179 0.05 270 1.000% due 18/04/25.. 280 0.08 EXOR NV 4,506 1.35 191 2.125% due 02/12/22.. 197 0.06 Malaysia (0.39%) Fiat Chrysler Automobiles NV Malaysia Government Bond USD 735 5.250% due 15/04/23.. 677 0.20 MYR 6,211 3.757% due 20/04/23.. 1,316 0.39 H&M Finance BV Mexico (1.48%) EUR 190 0.250% due 25/08/29.. 187 0.06 America Movil SAB de CV ING Groep NV USD 254 3.125% due 16/07/22.. 223 0.07 700 2.500% due 15/02/29.. 740 0.22 Banco Inbursa SA Institucion De Banca Koninklijke Ahold Delhaize NV Multiple Grupo Financiero Inbursa 340 1.750% due 02/04/27.. 371 0.11 208 4.375% due 11/04/27.. 189 0.06 Koninklijke Philips NV BBVA Bancomer SA 240 2.000% due 30/03/30.. 272 0.08

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 65 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Lukoil International Finance BV Poland (0.09%) USD 510 4.750% due 02/11/26.. 480 0.14 Republic of Poland Government Bond Mondelez International Holdings Netherlands PLN 1,302 3.250% due 25/07/25.. 312 0.09 BV Portugal (0.03%) 222 2.125% due 19/09/22.. 194 0.06 Portugal Obrigacoes do Tesouro OT NIBC Bank NV EUR 100 0.475% due 18/10/30.. 103 0.03 GBP 100 3.125% due 15/11/23.. 124 0.04 Prosus NV Romania (0.54%) EUR 181 2.031% due 03/08/32.. 186 0.05 Romanian Government International Bond RELX Finance BV 530 2.000% due 28/01/32.. 533 0.16 290 0.500% due 10/03/28.. 294 0.09 1,147 2.625% due 02/12/40.. 1,140 0.34 SABICCapitalIIBV 116 3.375% due 28/01/50.. 122 0.04 USD 207 4.000% due 10/10/23.. 190 0.06 1,795 0.54 Shell International Finance BV Saudi Arabia (0.06%) 251 2.375% due 21/08/22.. 220 0.07 Saudi Arabian Oil Co Teva Pharmaceutical Finance Netherlands II USD 200 4.375% due 16/04/49.. 184 0.06 BV EUR 270 1.125% due 15/10/24.. 257 0.08 Singapore (0.17%) Vesteda Finance BV BOC Aviation Ltd 530 1.500% due 24/05/27.. 567 0.17 211 4.375% due 02/05/23.. 191 0.06 Volkswagen Financial Services NV Singapore Government Bond GBP 164 1.750% due 12/09/22.. 195 0.06 SGD 214 3.000% due 01/09/24.. 146 0.04 600 4.250% due 09/10/25.. 792 0.24 170 3.500% due 01/03/27.. 122 0.04 Vonovia Finance BV 169 2.875% due 01/09/30.. 118 0.03 EUR 500 2.250% due 07/04/30.. 571 0.17 577 0.17 12,905 3.86 South Africa (0.51%) New Zealand (0.08%) Republic of South Africa Government Bond New Zealand Government Bond ZAR 37,002 8.500% due 31/01/37.. 1,702 0.51 NZD 123 5.500% due 15/04/23.. 81 0.03 Spain (1.76%) 200 0.250% due 15/05/28.. 110 0.03 Autonomous Community of Catalonia 109 1.500% due 15/05/31.. 63 0.02 EUR 50 5.900% due 28/05/30.. 71 0.02 254 0.08 414 4.220% due 26/04/35.. 553 0.16 Banco Bilbao Vizcaya Argentaria SA North Macedonia (0.13%) 500 0.750% due 11/09/22.. 507 0.15 North Macedonia Government International Banco Santander SA Bond GBP 400 1.750% due 17/02/27.. 471 0.14 EUR 460 1.625% due 10/03/28.. 450 0.13 EUR 600 5.250%*...... 638 0.19 Norway (0.20%) Cellnex Finance Co SA DNB Bank ASA 200 2.000% due 15/02/33.. 197 0.06 USD 530 6.500%*...... 469 0.14 FCC Aqualia SA Equinor ASA 169 2.629% due 08/06/27.. 188 0.06 121 2.450% due 17/01/23.. 107 0.03 Spain Government Bond Norway Government Bond Zero Coupon due NOK 1,000 1.750% due 17/02/27.. 103 0.03 334 30/04/23 ...... 337 0.10 679 0.20 660 0.800% due 30/07/27.. 698 0.21 421 1.400% due 30/07/28.. 464 0.14 Panama (0.17%) 181 1.450% due 30/04/29.. 201 0.06 AES Panama Generation Holdings SRL 388 0.600% due 31/10/29.. 403 0.12 USD 211 4.375% due 31/05/30.. 186 0.06 255 0.500% due 30/04/30.. 262 0.08 Intercorp Financial Services Inc 294 2.900% due 31/10/46.. 409 0.12 223 4.125% due 19/10/27.. 200 0.06 89 2.700% due 31/10/48.. 120 0.03 Panama Government International Bond Telefonica Emisiones SA 220 2.252% due 29/09/32.. 178 0.05 USD 206 4.570% due 27/04/23.. 189 0.06 564 0.17 160 7.045% due 20/06/36.. 189 0.06 5,897 1.76

The accompanying notes are an integral part of the financial statements.

66 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Sweden (0.40%) BG Energy Capital Plc Heimstaden AB EUR 184 1.250% due 21/11/22.. 188 0.06 EUR 100 4.250% due 09/03/26.. 102 0.03 BUPA Finance Plc Molnlycke Holding AB GBP 230 5.000% due 25/04/23.. 292 0.09 173 1.875% due 28/02/25.. 185 0.06 Business Mortgage Finance Plc Samhallsbyggnadsbolaget i Norden AB EUR 383 0.559% due 15/02/39.. 369 0.11 460 2.624%*...... 462 0.14 Cadent Finance Plc Svenska Handelsbanken AB 280 0.750% due 11/03/32.. 277 0.08 470 1.250% due 02/03/28.. 480 0.14 Close Brothers Group Plc Sweden Government Bond GBP 250 2.750% due 26/04/23.. 304 0.09 SEK 1,000 1.000% due 12/11/26.. 103 0.03 Durham Mortgages B Plc 1,332 0.40 428 1.260% due 31/03/54.. 502 0.15 Eurosail PRIME-UK Plc Switzerland (0.85%) 476 0.480% due 13/09/45.. 545 0.16 Credit Suisse Group AG G4S International Finance Plc EUR 583 3.250% due 02/04/26.. 646 0.19 EUR 188 1.500% due 09/01/23.. 189 0.06 GBP 460 2.250% due 09/06/28.. 550 0.17 GlaxoSmithKline Capital Plc USD 300 6.375%*...... 272 0.08 USD 227 0.534% due 01/10/23.. 193 0.06 Swiss Confederation Government Bond Grainger Plc CHF 100 1.500% due 24/07/25.. 99 0.03 GBP 240 3.000% due 03/07/30.. 294 0.09 200 2.250% due 22/06/31.. 229 0.07 HSBC Holdings Plc UBS Group AG USD 470 4.950% due 31/03/30.. 467 0.14 USD 218 2.859% due 15/08/23.. 191 0.06 GBP 470 5.875%*...... 611 0.18 EUR 810 1.500% due 30/11/24.. 842 0.25 Income Contingent Student Loans007- 2,829 0.85 2009 Plc Thailand (0.13%) 547 1.315% due 24/07/58.. 642 0.19 PTT Global Chemical PCL Informa Plc USD 244 4.250% due 19/09/22.. 217 0.06 EUR 560 1.500% due 05/07/23.. 577 0.17 Siam Commercial Bank PCL InterContinental Hotels Group Plc 257 3.200% due 26/07/22.. 226 0.07 144 1.625% due 08/10/24.. 149 0.04 Intermediate Capital Group Plc 443 0.13 179 1.625% due 17/02/27.. 181 0.05 Tunisia (0.56%) Legal&GeneralGroupPlc Banque Centrale de Tunisie International Bond GBP 220 4.500% due 01/11/50.. 288 0.09 EUR 256 6.750% due 31/10/23.. 235 0.07 Lloyds Bank Plc 100 5.625% due 17/02/24.. 88 0.02 USD 255 2.250% due 14/08/22.. 222 0.07 1,768 6.375% due 15/07/26.. 1,561 0.47 203 4.500% due 04/11/24.. 192 0.06 1,884 0.56 EUR 340 3.500% due 01/04/26.. 384 0.11 USD 310 12.000%*...... 294 0.09 United Kingdom (7.41%) Lloyds Banking Group Plc 3i Group Plc GBP 330 5.125%*...... 405 0.12 GBP 142 6.875% due 09/03/23.. 186 0.06 M&G Plc A2D Funding II Plc 135 5.625% due 20/10/51.. 185 0.06 141 4.500% due 30/09/26.. 189 0.06 Mansard Mortgages Plc Alba Plc 115 0.730% due 15/12/49.. 134 0.04 249 0.250% due 15/12/38.. 283 0.08 Mortgage Funding Plc 275 0.251% due 17/03/39.. 310 0.09 271 1.180% due 13/03/46.. 318 0.09 Anglo American Capital Plc Natwest Group Plc EUR 199 3.250% due 03/04/23.. 212 0.06 EUR 720 2.500% due 22/03/23.. 756 0.23 USD 490 4.750% due 10/04/27.. 478 0.14 USD 330 3.754% due 01/11/29.. 299 0.09 Annington Funding Plc GBP 370 4.500% due 31/12/00.. 434 0.13 EUR 460 1.650% due 12/07/24.. 482 0.14 Network Rail Infrastructure Finance Plc Barclays Plc 300 4.750% due 22/01/24.. 396 0.12 800 3.375% due 02/04/25.. 874 0.26 250 4.750% due 29/11/35.. 423 0.13 GBP 160 1.700% due 03/11/26.. 190 0.06 Newgate Funding Plc USD 200 5.088% due 20/06/30.. 193 0.06 205 0.197% due 01/12/50.. 233 0.07 GBP 240 6.375%*...... 310 0.09 NGG Finance Plc

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 67 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % 141 5.625% due 18/06/73.. 187 0.06 Aetna Inc Paragon Mortgages No 13 Plc 340 2.800% due 15/06/23.. 302 0.09 571 0.268% due 15/01/39.. 670 0.20 Ally Financial Inc Paragon Mortgages Plc 159 8.000% due 01/11/31.. 183 0.05 USD 185 0.384% due 15/09/39.. 154 0.05 Alphabet Inc Precise Mortgage Funding Plc 214 3.375% due 25/02/24.. 198 0.06 GBP 549 1.249% due 12/12/55.. 649 0.19 Amazon.com Inc RMAC Securities Plc 219 2.400% due 22/02/23.. 193 0.06 364 0.250% due 12/06/44.. 412 0.12 American Airlines Inc / AAdvantage Loyalty Sky Ltd IP Ltd USD 212 3.750% due 16/09/24.. 198 0.06 230 5.500% due 20/04/26.. 204 0.06 Standard Chartered Plc 190 5.750% due 20/04/29.. 172 0.05 217 3.950% due 11/01/23.. 193 0.06 American International Group Inc 1,070 3.785% due 21/05/25.. 980 0.29 EUR 270 1.500% due 08/06/23.. 278 0.08 Stratton Mortgage Funding Plc American Tower Corp GBP 1,080 1.000% due 25/09/51.. 1,266 0.38 USD 213 3.500% due 31/01/23.. 191 0.06 Tesco Corporate Treasury Services Plc Amgen Inc 300 2.500% due 02/05/25.. 372 0.11 530 3.625% due 22/05/24.. 487 0.14 U.K. Gilts Anheuser-Busch InBev Worldwide Inc 51 0.500% due 22/07/22.. 60 0.02 470 4.600% due 15/04/48.. 458 0.14 50 1.750% due 07/09/22.. 60 0.02 Anthem Inc 52 0.125% due 31/01/23.. 61 0.02 300 3.650% due 01/12/27.. 282 0.08 349 0.750% due 22/07/23.. 416 0.12 Apple Inc 48 2.250% due 07/09/23.. 59 0.02 183 4.500% due 23/02/36.. 192 0.06 50 1.000% due 22/04/24.. 60 0.02 230 2.650% due 11/05/50.. 178 0.05 46 2.750% due 07/09/24.. 59 0.02 Ares Capital Corp 42 5.000% due 07/03/25.. 59 0.02 208 4.200% due 10/06/24.. 191 0.06 141 0.625% due 07/06/25.. 168 0.05 AT&T Inc 146 2.000% due 07/09/25.. 184 0.05 221 2.625% due 01/12/22.. 194 0.06 290 0.125% due 30/01/26.. 336 0.10 GBP 150 7.000% due 30/04/40.. 281 0.08 90 1.250% due 22/07/27.. 110 0.03 Aviation Capital Group LLC 145 1.625% due 22/10/28.. 183 0.05 USD 209 4.375% due 30/01/24.. 189 0.06 39 4.250% due 07/03/36.. 65 0.02 Banc of America Mortgage Trust 51 4.250% due 07/09/39.. 89 0.03 27 3.630% due 25/05/35.. 23 0.01 929 3.500% due 22/01/45.. 1,562 0.47 Bank of America Corp 681 0.625% due 22/10/50.. 653 0.19 540 3.550% due 05/03/24.. 485 0.14 200 0.500% due 22/10/61.. 177 0.05 370 2.676% due 19/06/41.. 295 0.09 UNITE Group Plc 191 4.083% due 20/03/51.. 181 0.05 210 3.500% due 15/10/28.. 270 0.08 BankUnited Inc Uropa Securities Plc 199 5.125% due 11/06/30.. 191 0.06 Zero Coupon due Baxter International Inc EUR 217 10/10/40 ...... 212 0.06 EUR 179 1.300% due 30/05/25.. 188 0.06 Virgin Money UK Plc Bayer US Finance II LLC GBP 155 3.375% due 24/04/26.. 192 0.06 USD 209 3.875% due 15/12/23.. 192 0.06 Whitbread Group Plc Bayer US Finance LLC 190 3.000% due 31/05/31.. 222 0.07 206 3.375% due 08/10/24.. 189 0.06 24,788 7.41 BCAP LLC Trust 420 0.710% due 26/07/45.. 352 0.10 United States (32.96%) Bear Stearns ARM Trust A10 Bridge Asset Financing LLC 34 3.175% due 25/07/34.. 29 0.01 USD 633 3.222% due 15/08/40.. 543 0.16 Becton Dickinson and Co 500 3.363% due 15/08/40.. 433 0.13 EUR 174 1.900% due 15/12/26.. 190 0.06 Abbott Laboratories Bellemeade Re Ltd 218 3.400% due 30/11/23.. 199 0.06 USD 500 3.709% due 25/06/30.. 425 0.13 AbbVie Inc 500 4.109% due 26/08/30.. 434 0.13 1,050 3.200% due 21/11/29.. 950 0.28 Berkshire Hathaway Energy Co 720 4.875% due 14/11/48.. 742 0.22 201 4.050% due 15/04/25.. 189 0.06

The accompanying notes are an integral part of the financial statements.

68 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Berkshire Hathaway Finance Corp Citigroup Commercial Mortgage Trust 380 4.200% due 15/08/48.. 371 0.11 256 3.518% due 10/05/35.. 220 0.07 181 4.250% due 15/01/49.. 178 0.05 Coca-Cola Co Berkshire Hathaway Inc 120 2.500% due 15/03/51.. 89 0.03 EUR 192 1.625% due 16/03/35.. 214 0.06 Comcast Cable Communications Holdings Inc BGC Partners Inc 193 9.455% due 15/11/22.. 188 0.06 USD 216 4.375% due 15/12/25.. 196 0.06 Comcast Corp Boardwalk Pipelines LP 216 3.700% due 15/04/24.. 201 0.06 217 3.400% due 15/02/31.. 185 0.05 750 3.100% due 01/04/25.. 689 0.21 Booking Holdings Inc GBP 160 1.875% due 20/02/36.. 183 0.05 EUR 210 2.150% due 25/11/22.. 217 0.06 CRH America Finance Inc Boston Scientific Corp USD 300 4.500% due 04/04/48.. 294 0.09 186 0.625% due 01/12/27.. 188 0.06 CVS Health Corp BP Capital Markets America Inc 760 5.050% due 25/03/48.. 793 0.24 USD 221 2.520% due 19/09/22.. 193 0.06 CWABS Asset-Backed Certificates Trust Brighthouse Financial Inc 1,027 6.400% due 25/09/46.. 860 0.26 214 4.700% due 22/06/47.. 187 0.06 CWHEQ Revolving Home Equity Loan Bristol-Myers Squibb Co Resuritization Trust 479 2.900% due 26/07/24.. 436 0.13 285 0.286% due 15/07/35.. 207 0.06 Broadcom Inc 186 0.296% due 15/11/35.. 138 0.04 500 4.300% due 15/11/32.. 463 0.14 CWHEQ Revolving Home Equity Loan Trust Broadridge Financial Solutions Inc 508 0.246% due 15/07/36.. 409 0.12 35 2.900% due 01/12/29.. 30 0.01 205 0.256% due 15/02/37.. 169 0.05 Brookfield Finance LLC CyrusOne LP / CyrusOne Finance Corp 220 3.450% due 15/04/50.. 177 0.05 EUR 184 1.450% due 22/01/27.. 186 0.05 BX Trust Daimler Finance North America LLC 303 2.526% due 15/05/30.. 255 0.08 USD 252 2.550% due 15/08/22.. 220 0.07 CAMB Commercial Mortgage Trust Danaher Corp 100 2.656% due 15/12/37.. 85 0.02 EUR 386 2.500% due 30/03/30.. 450 0.13 500 3.356% due 15/12/37.. 428 0.13 DCP Midstream Operating LP Capital One Financial Corp USD 310 5.625% due 15/07/27.. 287 0.09 EUR 174 1.650% due 12/06/29.. 185 0.05 Dell International LLC / EMC Corp Carlyle Holdings II Finance LLC 154 8.350% due 15/07/46.. 199 0.06 USD 179 5.625% due 30/03/43.. 187 0.06 Delta Air Lines Inc Caterpillar Financial Services Corp 194 7.000% due 01/05/25.. 190 0.06 256 1.900% due 06/09/22.. 223 0.07 211 4.500% due 20/10/25.. 191 0.06 CC Holdings GS V LLC / Crown Castle GS III DevonEnergyCorp Corp 290 5.000% due 15/06/45.. 270 0.08 211 3.849% due 15/04/23.. 191 0.06 Digital Euro Finco LLC Celanese US Holdings LLC EUR 172 2.625% due 15/04/24.. 185 0.05 EUR 182 1.250% due 11/02/25.. 188 0.06 Dollar General Corp Centene Corp USD 216 3.250% due 15/04/23.. 193 0.06 USD 310 4.625% due 15/12/29.. 286 0.08 DuPont de Nemours Inc Charter Communications Operating LLC 226 2.169% due 01/05/23.. 193 0.06 215 4.500% due 01/02/24.. 200 0.06 Eagle RE Ltd 460 2.800% due 01/04/31.. 387 0.12 1,020 3.109% due 25/11/28.. 877 0.26 110 3.500% due 01/06/41.. 89 0.03 716 1.909% due 25/01/30.. 597 0.18 Chevron Corp Ecolab Inc 216 3.191% due 24/06/23.. 194 0.06 EUR 168 2.625% due 08/07/25.. 187 0.06 Chevron USA Inc Edison International 238 0.426% due 11/08/23.. 203 0.06 USD 189 5.750% due 15/06/27.. 188 0.06 Cigna Corp Enbridge Energy Partners LP 780 2.400% due 15/03/30.. 658 0.20 195 5.875% due 15/10/25.. 196 0.06 430 3.400% due 15/03/50.. 360 0.11 Energy Transfer Operating LP CimarexEnergyCo 172 7.500% due 01/07/38.. 193 0.06 310 3.900% due 15/05/27.. 287 0.09 Enterprise Products Operating LLC 190 4.375% due 15/03/29.. 179 0.05 490 5.375% due 15/02/78.. 418 0.12

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 69 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Equinix Inc GE Capital Funding LLC EUR 350 1.000% due 15/03/33.. 347 0.10 200 4.550% due 15/05/32.. 195 0.06 Exelon Corp General Electric Co USD 320 3.400% due 15/04/26.. 295 0.09 480 6.875% due 10/01/39.. 574 0.17 182 4.950% due 15/06/35.. 182 0.05 201 4.250% due 01/05/40.. 189 0.06 Exelon Generation Co LLC General Motors Co 211 3.250% due 01/06/25.. 192 0.06 204 4.875% due 02/10/23.. 190 0.06 Expedia Group Inc 260 6.600% due 01/04/36.. 287 0.09 86 6.250% due 01/05/25.. 85 0.02 190 6.250% due 02/10/43.. 207 0.06 Exxon Mobil Corp General Motors Financial Co Inc 218 2.726% due 01/03/23.. 193 0.06 214 3.700% due 09/05/23.. 192 0.06 Fannie Mae Connecticut Avenue Securities GlaxoSmithKline Capital Inc 183 2.259% due 25/10/30.. 156 0.05 217 2.800% due 18/03/23.. 193 0.06 Fannie Mae Pool Glencore Funding LLC 254 2.500% due 01/04/35.. 228 0.07 680 1.625% due 01/09/25.. 578 0.17 278 3.000% due 01/02/50.. 252 0.07 GLP Capital LP / GLP Financing II Inc 234 2.500% due 01/07/50.. 205 0.06 197 5.375% due 15/04/26.. 188 0.06 319 2.000% due 01/10/50.. 272 0.08 Goldman Sachs BDC Inc 554 2.000% due 01/12/50.. 471 0.14 223 2.875% due 15/01/26.. 192 0.06 1,635 3.000% due 01/12/50.. 1,459 0.44 Goldman Sachs Group Inc Fannie Mae REMICS EUR 410 3.375% due 27/03/25.. 462 0.14 1,500 0.250% due 10/07/23.. 1,277 0.38 USD 790 5.150% due 22/05/45.. 841 0.25 30 6.000% due 25/06/33.. 5 0.00 Government National Mortgage Association 224 2.000% due 25/01/51.. 25 0.01 180 2.500% due 20/09/50.. 19 0.01 246 2.000% due 25/02/51.. 26 0.01 434 2.500% due 20/10/50.. 48 0.01 669 2.500% due 25/02/51.. 79 0.02 168 2.000% due 20/11/50.. 18 0.00 175 3.000% due 25/03/51.. 26 0.01 666 2.500% due 20/11/50.. 75 0.02 173 3.500% due 25/03/51.. 25 0.01 121 2.500% due 20/12/50.. 13 0.00 FedEx Corp 123 2.000% due 20/01/51.. 14 0.00 EUR 214 1.000% due 11/01/23.. 218 0.06 279 2.500% due 20/01/51.. 32 0.01 Fidelity & Guaranty Life Holdings Inc 264 2.500% due 20/02/51.. 35 0.01 USD 300 5.500% due 01/05/25.. 292 0.09 228 3.000% due 20/02/51.. 27 0.01 First Horizon Alternative Mortgage Securities Greenpoint Manufactured Housing Trust 475 2.111% due 21/08/31.. 409 0.12 227 0.759% due 25/11/35.. 90 0.03 Halliburton Co FirstEnergy Corp 140 5.000% due 15/11/45.. 133 0.04 270 7.375% due 15/11/31.. 308 0.09 HCA Inc FirstKey Homes Trust 200 5.000% due 15/03/24.. 189 0.06 603 3.638% due 17/09/25.. 529 0.16 500 5.250% due 15/06/26.. 489 0.15 Ford Motor Co Hikma Finance USA LLC 510 8.500% due 21/04/23.. 484 0.14 218 3.250% due 09/07/25.. 192 0.06 Freddie Mac Pool HMH Trust 424 2.500% due 01/05/50.. 371 0.11 507 6.292% due 05/07/31.. 371 0.11 1,986 2.000% due 01/02/51.. 1,687 0.50 Home Depot Inc Freddie Mac REMICS 214 3.750% due 15/02/24.. 198 0.06 553 3.500% due 25/10/50.. 91 0.03 Home Equity Mortgage Trust 203 3.500% due 25/12/50.. 26 0.01 1,229 0.709% due 25/06/37.. 981 0.29 262 4.000% due 25/12/50.. 33 0.01 Host Hotels & Resorts LP Freddie Mac Structured Agency Credit Risk 225 3.375% due 15/12/29.. 190 0.06 Debt Notes HSBC USA Inc 24 4.259% due 25/01/25.. 20 0.01 164 7.200% due 15/07/97.. 217 0.06 Fresenius Medical Care US Finance II Inc Humana Inc 142 4.750% due 15/10/24.. 134 0.04 210 3.125% due 15/08/29.. 186 0.05 Fresenius US Finance II Inc Illinois Tool Works Inc 216 4.500% due 15/01/23.. 194 0.06 EUR 470 0.250% due 05/12/24.. 477 0.14 FS KKR Capital Corp 182 0.625% due 05/12/27.. 188 0.06 219 4.125% due 01/02/25.. 192 0.06

The accompanying notes are an integral part of the financial statements.

70 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % IndyMac INDA Mortgage Loan Trust 141 6.015% due 11/06/42.. 124 0.04 USD 192 3.575% due 25/07/37.. 154 0.05 Morgan Stanley Resecuritization Trust Invitation Homes Trust 545 0.650% due 26/09/36.. 312 0.09 428 1.012% due 17/06/37.. 366 0.11 MPLX LP Jersey Central Power & Light Co 320 4.500% due 15/04/38.. 297 0.09 206 4.300% due 15/01/26.. 192 0.06 MPT Operating Partnership LP John Deere Capital Corp 570 3.500% due 15/03/31.. 476 0.14 255 2.150% due 08/09/22.. 223 0.07 MSCG Trust JPMorgan Chase & Co 355 2.256% due 15/10/37.. 304 0.09 EUR 460 1.090% due 11/03/27.. 480 0.14 MSSG Trust Kinder Morgan Inc 830 3.740% due 13/09/39.. 677 0.20 USD 195 5.300% due 01/12/34.. 196 0.06 Nasdaq Inc Kite Realty Group LP 264 0.445% due 21/12/22.. 225 0.07 76 4.000% due 01/10/26.. 68 0.02 National Health Investors Inc Kroger Co 229 3.000% due 01/02/31.. 182 0.05 218 2.800% due 01/08/22.. 191 0.06 Nestle Holdings Inc Lam Research Corp 219 3.350% due 24/09/23.. 199 0.06 220 1.900% due 15/06/30.. 181 0.05 Nomura Resecuritization Trust Las Vegas Sands Corp 147 0.280% due 26/10/36.. 125 0.04 217 3.200% due 08/08/24.. 193 0.06 198 1.490% due 26/06/46.. 171 0.05 440 3.500% due 18/08/26.. 390 0.12 Novartis Capital Corp Lehman Brothers Holdings Inc 217 3.400% due 06/05/24.. 200 0.06 400 8.534% due 25/05/10.. 2 0.00 NRG Energy Inc 500 6.200% due 26/09/14.. 2 0.00 110 2.450% due 02/12/27.. 93 0.03 Lehman XS Trust Oaktown Re Ltd 204 0.299% due 25/11/46.. 164 0.05 530 2.059% due 25/07/29.. 455 0.14 Lennar Corp One Market Plaza Trust 215 4.750% due 15/11/22.. 192 0.06 653 4.142% due 10/02/32.. 565 0.17 Lockheed Martin Corp 250 4.146% due 10/02/32.. 218 0.06 216 3.100% due 15/01/23.. 192 0.06 OneMain Financial Issuance Trust Main Street Capital Corp 1,050 1.750% due 14/09/35.. 897 0.27 209 5.200% due 01/05/24.. 192 0.06 ONEOK Partners LP Marriott International Inc 182 6.650% due 01/10/36.. 195 0.06 194 5.750% due 01/05/25.. 189 0.06 Owl Rock Capital Corp Mars Inc 225 3.400% due 15/07/26.. 194 0.06 180 4.200% due 01/04/59.. 173 0.05 PepsiCo Inc Marsh & McLennan Cos Inc EUR 181 0.875% due 18/07/28.. 191 0.06 214 3.875% due 15/03/24.. 199 0.06 Progress Energy Inc McDonald’s Corp USD 158 7.750% due 01/03/31.. 188 0.06 510 3.700% due 30/01/26.. 478 0.14 Prologis Euro Finance LLC EUR 100 2.625% due 11/06/29.. 119 0.03 EUR 550 1.000% due 06/02/35.. 546 0.16 MDC Holdings Inc Prudential Financial Inc USD 120 2.500% due 15/01/31.. 96 0.03 USD 250 3.000% due 10/03/40.. 210 0.06 Merrill Lynch Mortgage Investors Trust Public Storage 97 0.709% due 25/09/36.. 116 0.03 221 2.370% due 15/09/22.. 193 0.06 Microsoft Corp RALI Series Trust 223 2.875% due 06/02/24.. 202 0.06 331 0.429% due 25/01/37.. 272 0.08 570 2.921% due 17/03/52.. 474 0.14 RAMP Trust Mid-State Capital CorpTrust 1 0.669% due 25/06/32.. 1 0.00 120 6.497% due 15/08/37.. 109 0.03 Raytheon Technologies Corp Midwest Connector Capital Co LLC 222 2.500% due 15/12/22.. 194 0.06 221 3.900% due 01/04/24.. 194 0.06 Santander Holdings USA Inc Morgan Stanley Capital I Trus 200 4.400% due 13/07/27.. 189 0.06 175 5.574% due 12/11/49.. 119 0.03 Schlumberger Holdings Corp Morgan Stanley Capital I Trust 510 4.000% due 21/12/25.. 480 0.14 473 2.056% due 15/06/35.. 394 0.12 Sherwin-Williams Co 620 2.056% due 15/07/35.. 525 0.16 211 3.450% due 01/06/27.. 196 0.06

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 71 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Principal Fair Value Fund Amount ’000 EUR ’000 % Amount ’000 EUR ’000 % Soundview Home Loan Trust 2,101 0.125% due 15/05/23.. 1,785 0.53 583 6.000% due 25/02/38.. 478 0.14 1,000 1.750% due 15/05/23.. 879 0.26 Southern Copper Corp 799 0.125% due 15/12/23.. 677 0.20 159 7.500% due 27/07/35.. 192 0.06 1,419 2.375% due 15/08/24.. 1,285 0.38 Spectra Energy Partners LP 636 2.250% due 15/11/24.. 574 0.17 177 5.950% due 25/09/43.. 187 0.06 1,014 0.375% due 30/04/25.. 852 0.25 Structured Adjustable Rate Mortgage Loan 40 0.250% due 31/05/25.. 33 0.01 Trust 1,205 2.875% due 31/05/25.. 1,117 0.33 143 2.972% due 25/08/35.. 118 0.03 821 0.250% due 30/06/25.. 684 0.20 Synchrony Financial 2,234 0.375% due 30/11/25.. 1,859 0.56 219 2.850% due 25/07/22.. 191 0.06 137 0.375% due 31/12/25.. 114 0.03 TCI Communications Inc 2,311 1.500% due 15/08/26.. 2,013 0.60 175 7.875% due 15/02/26.. 194 0.06 1,672 2.875% due 15/05/28.. 1,563 0.47 Texas Instruments Inc 17 2.875% due 15/08/28.. 16 0.00 480 3.875% due 15/03/39.. 469 0.14 2,310 0.875% due 15/11/30.. 1,816 0.54 Thermo Fisher Scientific Inc Unilever Capital Corp EUR 163 1.950% due 24/07/29.. 183 0.05 216 3.250% due 07/03/24.. 198 0.06 Time Warner Cable LLC United Parcel Service Inc GBP 123 5.750% due 02/06/31.. 181 0.05 201 3.900% due 01/04/25.. 189 0.06 USD 340 7.300% due 01/07/38.. 402 0.12 UnitedHealth Group Inc Time Warner Entertainment Co LP 170 4.450% due 15/12/48.. 177 0.05 156 8.375% due 15/07/33.. 192 0.06 Unum Group T-Mobile USA Inc 212 4.500% due 15/12/49.. 181 0.05 209 3.750% due 15/04/27.. 195 0.06 US Bancorp Towd Point Mortgage Trust EUR 450 0.850% due 07/06/24.. 464 0.14 791 3.000% due 25/10/57.. 708 0.21 Valero Energy Corp Toyota Motor Credit Corp 10.500% due 258 1.150% due 26/05/22.. 222 0.07 USD 130 15/03/39 ...... 187 0.06 Tricon American Homes Verizon Communications Inc 711 4.882% due 17/07/38.. 641 0.19 209 5.150% due 15/09/23.. 197 0.06 Tricon American Homes Trust 260 2.100% due 22/03/28.. 222 0.07 500 1.482% due 17/11/39.. 413 0.12 180 5.250% due 16/03/37.. 193 0.06 TWDC Enterprises Corp 310 3.550% due 22/03/51.. 263 0.08 221 2.125% due 13/09/22.. 192 0.06 VICI Properties LP Tyson Foods Inc 260 4.125% due 15/08/30.. 223 0.07 203 3.950% due 15/08/24.. 189 0.06 Volkswagen Group of America Finance LLC U.S. Treasury Bonds 219 2.700% due 26/09/22.. 192 0.06 100 4.500% due 15/02/36.. 112 0.03 Walmart Inc 830 3.500% due 15/02/39.. 845 0.25 222 3.400% due 26/06/23.. 202 0.06 1,046 4.250% due 15/05/39.. 1,168 0.35 100 4.050% due 29/06/48.. 100 0.03 1,220 3.625% due 15/08/43.. 1,272 0.38 WaMu Mortgage Pass-Through Certificates 608 3.375% due 15/11/48.. 620 0.18 Trust 1,846 2.000% due 15/02/50.. 1,433 0.43 215 3.173% due 25/12/36.. 177 0.05 1,257 1.250% due 15/05/50.. 805 0.24 501 3.145% due 25/03/37.. 435 0.13 2,778 1.375% due 15/08/50.. 1,837 0.55 Washington Mutual Mortgage Pass-Through 420 1.625% due 15/11/50.. 297 0.09 Certificates U.S. Treasury Inflation Indexed Bonds 177 0.209% due 25/06/37.. 144 0.04 - 0.625% due 15/01/24.. - 0.00 Wells Fargo & Co - 0.250% due 15/01/25.. - 0.00 GBP 163 1.375% due 30/06/22.. 193 0.06 U.S. Treasury Notes EUR 770 1.338% due 04/05/25.. 800 0.24 1,000 1.750% due 30/04/22.. 866 0.26 USD 172 5.500% due 01/08/35.. 182 0.05 1,469 0.125% due 30/06/22.. 1,250 0.37 GBP 310 4.625% due 02/11/35.. 472 0.14 1.500% due USD 280 5.013% due 04/04/51.. 305 0.09 2,867 15/08/22** ...... 2,486 0.74 Wells Fargo Mortgage Backed Securities Trust 2,401 1.500% due 15/09/22.. 2,084 0.62 260 2.871% due 25/04/36.. 223 0.07 5,035 0.125% due 30/11/22.. 4,283 1.28 Westinghouse Air Brake Technologies Corp 802 0.125% due 31/12/22.. 682 0.20 213 3.200% due 15/06/25.. 192 0.06

The accompanying notes are an integral part of the financial statements.

72 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Principal Fair Value Fund Number Fair Value Fund Amount ’000 EUR ’000 % of Shares ’000 EUR ’000 % Williams Cos Inc Investment Funds (4.26%) (2020: 5.55%) 1,050 4.300% due 04/03/24.. 973 0.29 Ireland (4.26%) 152 8.750% due 15/03/32.. 190 0.06 - Russell Investments 110,203 32.96 Company III plc Russell Investments Sterling Virgin Islands, British (0.23%) Liquidity Fund - CICC Hong Kong Finance MTN Ltd Class R Roll-Up Shares. 276 0.08 226 1.625% due 26/01/24.. 193 0.06 9 Russell Investments CLP Power Hong Kong Financing Ltd Company III plc Russell 219 2.875% due 26/04/23.. 194 0.06 Investments Euro JMH Co Ltd Liquidity Fund - 200 2.500% due 09/04/31.. 167 0.05 Class R Roll-Up Shares. 8,417 2.52 SF Holding Investment Ltd 6 Russell Investments 248 4.125% due 26/07/23.. 225 0.06 Company III plc Russell 779 0.23 Investments U.S. Dollar Total Long Term Cash Fund II - Class R Bonds and Notes ...... 286,144 85.59 Roll-Up Shares ...... 5,548 1.66 Short Term Investments (2.48%) 14,241 4.26 (2020: 6.98%) Total Investment Germany (0.15%) Funds ...... 14,241 4.26 SAP SE Total Investments EUR 500 0.250% due 10/03/22.. 502 0.15 excluding Financial Japan (1.70%) Derivative Japan Government Ten Year Bond Instruments ...... 308,658 92.33 JPY 240,350 1.000% due 20/12/21.. 1,866 0.56 489,500 1.000% due 20/03/22.. 3,809 1.14 5,675 1.70 United Kingdom (0.04%) U.K. Gilt GBP 100 4.000% due 07/03/22.. 122 0.04 United States (0.59%) U.S. Treasury Note USD 2,279 1.875% due 31/03/22.. 1,974 0.59 Total Short Term Investments...... 8,273 2.48 Total Transferable Securities ...... 294,417 88.07

Financial Derivative Instruments ((1.16)%) (2020: (0.13)%) Open Futures Contracts ((0.37)%)

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund EUR ‘000 EUR EUR ‘000 % 233 1.16 2 of 10 Year Mini JGB Futures Long Futures Contracts Expiring June 2021...... - 0.00 10,696 128.09 167 of Australia 10 Year Bond Futures Long Futures Contracts Expiring June 2021...... (70) (0.02)

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 73 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund EUR ‘000 EUR EUR ‘000 % 3,040 64.69 47 of Australia 10 Year Bond Futures Long Futures Contracts Expiring June 2021...... (50) (0.02) 65 64.58 1 of Australia 3 Years Bond Futures Long Futures Contracts Expiring June 2021...... - 0.00 1,544 96.47 16 of Canada 10 Year Bond Futures Long Futures Contracts Expiring June 2021...... (40) (0.01) 205 204.64 1 of Euro BUXL 30 Years Bond Futures Long Futures Contracts Expiring June 2021...... 1 0.00 4,789 208.22 23 of Euro BUXL 30 Years Bond Futures Long Futures Contracts Expiring June 2021...... (50) (0.02) 2,354 112.09 21 of Euro Schatz Futures Long Futures Contracts Expiring June 2021...... - 0.00 405 134.99 3 of Euro-Bobl Futures Long Futures Contracts Expiring June 2021...... - 0.00 1,337 148.54 9 of Euro-BTP Futures Long Futures Contracts Expiring June 2021...... 7 0.00 12,682 342.76 74 of Euro-Bund Futures Long Futures Contracts Expiring June 2021...... (7) 0.00 36,022 2.32 31 of Japan 10 Years Bond Futures Long Futures Contracts Expiring June 2021...... 60 0.02 3,779 151.17 25 of Long Gilt Futures Long Futures Contracts Expiring June 2021...... (35) (0.01) 3,942 151.61 26 of Long Gilt Futures Long Futures Contracts Expiring June 2021...... (47) (0.01) 1,012 126.52 8 of U.S. 10 Year Ultra Futures Long Futures Contracts Expiring June 2021...... (34) (0.01) 5,024 125.61 40 of U.S. 10 Year Ultra Futures Long Futures Contracts Expiring June 2021...... (134) (0.04) 2,623 114.02 23 of U.S. 10 Years Note Futures Long Futures Contracts Expiring June 2021...... (60) (0.02) 70,717 456.96 619 of U.S. 10 Years Note Futures Long Futures Contracts Expiring June 2021...... (1,756) (0.53) 4,292 112.96 38 of U.S. 10 Years Note Futures Long Futures Contracts Expiring June 2021...... (59) (0.02)

The accompanying notes are an integral part of the financial statements.

74 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund EUR ‘000 EUR EUR ‘000 % 4,246 111.74 38 of U.S. 10 Years Note Futures Long Futures Contracts Expiring June 2021...... (13) 0.00 16,542 93.99 88 of U.S. 2 Years Note Futures Long Futures Contracts Expiring June 2021...... (15) 0.00 850 106.28 8 of U.S. 5 Years Note Futures Long Futures Contracts Expiring June 2021...... (10) 0.00 210 105.25 2 of U.S. 5 Years Note Futures Long Futures Contracts Expiring June 2021...... - 0.00 5,386 105.61 51 of U.S. 5 Years Note Futures Long Futures Contracts Expiring June 2021...... (31) (0.01) 410 136.82 3 of U.S. Long Bond Futures Long Futures Contracts Expiring June 2021...... (16) (0.01) 969 138.37 7 of U.S. Long Bond Futures Long Futures Contracts Expiring June 2021...... (48) (0.01) 4,266 164.06 26 of U.S. Ultra Bond Futures Long Futures Contracts Expiring June 2021...... (257) (0.09) (2,260) (64.57) 35 of Australia 3 Years Bond Futures Short Futures Contracts Expiring June 2021...... (2) 0.00 (1,148) (95.69) 12 of Canada 10 Year Bond Futures Short Futures Contracts Expiring June 2021...... 21 0.01 (336) (112.09) 3 of Euro Schatz Futures Short Futures Contracts Expiring June 2021...... - 0.00 (1,352) (135.19) 10 of Euro-Bobl Futures Short Futures Contracts Expiring June 2021...... 1 0.00 (5,938) (134.95) 44 of Euro-Bobl Futures Short Futures Contracts Expiring June 2021...... (6) 0.00 (1,756) (135.06) 13 of Euro-Bobl Futures Short Futures Contracts Expiring June 2021...... - 0.00 (11,999) (171.41) 70 of Euro-Bund Futures Short Futures Contracts Expiring June 2021...... 9 0.00 (3,596) (171.25) 21 of Euro-Bund Futures Short Futures Contracts Expiring June 2021...... (1) 0.00 (3,759) (170.84) 22 of Euro-Bund Futures Short Futures Contracts Expiring June 2021...... (10) 0.00

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 75 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund EUR ‘000 EUR EUR ‘000 % (6,670) (151.60) 44 of Long Gilt Futures Short Futures Contracts Expiring June 2021...... 80 0.02 (1,060) (151.38) 7 of Long Gilt Futures Short Futures Contracts Expiring June 2021...... 11 0.00 (452) (113.01) 4 of Short-Term Euro-BTP Futures Short Futures Contracts Expiring June 2021...... (1) 0.00 (6,479) (124.60) 52 of U.S. 10 Year Ultra Futures Short Futures Contracts Expiring June 2021...... 122 0.04 (20,115) (187.91) 107 of U.S. 2 Years Note Futures Short Futures Contracts Expiring June 2021...... 19 0.01 (16,364) (106.26) 154 of U.S. 5 Years Note Futures Short Futures Contracts Expiring June 2021...... 195 0.06 (24,630) (136.83) 180 of U.S. Long Bond Futures Short Futures Contracts Expiring June 2021...... 954 0.29 (524) (131.13) 4 of U.S. Long Bond Futures Short Futures Contracts Expiring June 2021...... (2) 0.00 (1,591) (159.14) 10 of U.S. Ultra Bond Futures Short Futures Contracts Expiring June 2021...... 50 0.01 Unrealised gain on open futures contracts...... 1,530 0.46 Unrealised loss on open futures contracts ...... (2,754) (0.83) Net unrealised gain (loss) on open futures contracts ...... (1,224) (0.37)

Open Forward Foreign Currency Exchange Contracts ((0.18)%)

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 12/05/2021 AUD 1,138 EUR 735 2 0.00 12/05/2021 AUD 107 EUR 70 - 0.00 16/06/2021 AUD 250 EUR 162 - 0.00 12/05/2021 AUD 1,394 USD 1,082 (17) 0.00 08/06/2021 AUD 663 USD 510 (4) 0.00 08/06/2021 AUD 198 USD 158 (6) 0.00 04/05/2021 BRL 3,796 USD 707 (30) (0.01) 12/05/2021 CAD 251 EUR 169 1 0.00 16/06/2021 CAD 360 EUR 241 2 0.00 08/06/2021 CAD 8,999 USD 7,157 3 0.00 08/06/2021 CHF 666 USD 715 (6) 0.00 12/05/2021 CLP 675,463 USD 928 11 0.00 12/05/2021 CNY 9,388 USD 1,441 (10) 0.00 12/05/2021 COP 10,608,879 USD 2,940 (45) (0.02)

The accompanying notes are an integral part of the financial statements.

76 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 12/05/2021 EUR 1,991 AUD 3,120 (30) (0.01) 16/06/2021 EUR 1,496 AUD 2,314 (2) 0.00 12/05/2021 EUR 139 CAD 215 (6) 0.00 16/06/2021 EUR 22 CAD 33 - 0.00 16/06/2021 EUR 1,174 CAD 1,767 (21) (0.01) 16/06/2021 EUR 1,173 CAD 1,767 (21) (0.01) 16/06/2021 EUR 2,122 CAD 3,195 (38) (0.01) 16/06/2021 EUR 1,373 CAD 2,067 (25) (0.01) 16/06/2021 EUR 1,173 CAD 1,767 (21) (0.01) 16/06/2021 EUR 17 CAD 25 - 0.00 16/06/2021 EUR 331 CHF 366 - 0.00 16/06/2021 EUR 107 CZK 2,806 (1) 0.00 16/06/2021 EUR 325 DKK 2,420 - 0.00 07/04/2021 EUR 41,614 GBP 35,538 (104) (0.03) 07/04/2021 EUR 20,807 GBP 17,770 (53) (0.02) 07/04/2021 EUR 20,807 GBP 17,793 (81) (0.02) 12/05/2021 EUR 2,408 GBP 2,122 (81) (0.02) 18/05/2021 EUR 7,840 GBP 6,881 (232) (0.07) 16/06/2021 EUR 766 GBP 656 (4) 0.00 16/06/2021 EUR 398 GBP 341 (2) 0.00 16/06/2021 EUR 23 GBP 20 - 0.00 16/06/2021 EUR 398 GBP 341 (2) 0.00 16/06/2021 EUR 766 GBP 656 (4) 0.00 16/06/2021 EUR 398 GBP 341 (2) 0.00 16/06/2021 EUR 766 GBP 656 (4) 0.00 16/06/2021 EUR 23 GBP 20 - 0.00 16/06/2021 EUR 766 GBP 656 (4) 0.00 16/06/2021 EUR 398 GBP 341 (2) 0.00 16/06/2021 EUR 398 GBP 341 (2) 0.00 16/06/2021 EUR 813 GBP 696 (4) 0.00 12/05/2021 EUR 1,019 HUF 370,767 (3) 0.00 11/05/2021 EUR 754 IDR 12,924,505 2 0.00 12/05/2021 EUR 23,722 JPY 2,998,969 635 0.20 16/06/2021 EUR 2,919 JPY 378,110 10 0.00 16/06/2021 EUR 2,921 JPY 378,110 12 0.00 16/06/2021 EUR 2,921 JPY 378,110 12 0.00 16/06/2021 EUR 35 JPY 4,500 - 0.00 16/06/2021 EUR 2,925 JPY 378,110 16 0.01 16/06/2021 EUR 2,921 JPY 378,110 12 0.00 12/05/2021 EUR 2,240 MXN 55,158 (44) (0.01) 16/06/2021 EUR 207 MXN 5,315 (11) 0.00 12/05/2021 EUR 814 MYR 4,003 (7) 0.00 12/05/2021 EUR 1,800 NOK 18,478 (40) (0.01) 16/06/2021 EUR 103 NOK 1,045 (1) 0.00 12/05/2021 EUR 58 NZD 98 (1) 0.00 16/06/2021 EUR 196 NZD 326 2 0.00 12/05/2021 EUR 1,812 PLN 8,171 50 0.01 16/06/2021 EUR 211 PLN 966 3 0.00 16/06/2021 EUR 1,167 SEK 11,833 13 0.00 16/06/2021 EUR 1,168 SEK 11,833 14 0.00

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 16/06/2021 EUR 105 SEK 1,065 1 0.00 16/06/2021 EUR 1,168 SEK 11,833 14 0.00 16/06/2021 EUR 390 SGD 626 (5) 0.00 07/04/2021 EUR 8,350 USD 9,783 26 0.01 07/04/2021 EUR 8,350 USD 9,786 24 0.01 07/04/2021 EUR 435 USD 529 (15) 0.00 21/04/2021 EUR 43,452 USD 51,856 (655) (0.20) 12/05/2021 EUR 30,523 USD 36,773 (741) (0.22) 18/05/2021 EUR 334 USD 394 (1) 0.00 18/05/2021 EUR 45,967 USD 55,393 (1,122) (0.34) 08/06/2021 EUR 5,822 USD 7,076 (191) (0.06) 16/06/2021 EUR 6,923 USD 8,249 (85) (0.03) 16/06/2021 EUR 4,567 USD 5,442 (56) (0.02) 16/06/2021 EUR 46 USD 54 - 0.00 16/06/2021 EUR 4,561 USD 5,442 (62) (0.02) 16/06/2021 EUR 6,914 USD 8,249 (94) (0.03) 16/06/2021 EUR 6,927 USD 8,249 (81) (0.02) 16/06/2021 EUR 4,569 USD 5,442 (54) (0.02) 16/06/2021 EUR 59 USD 70 (1) 0.00 16/06/2021 EUR 6,926 USD 8,249 (82) (0.02) 16/06/2021 EUR 4,569 USD 5,442 (54) (0.02) 16/06/2021 EUR 6,927 USD 8,249 (81) (0.02) 16/06/2021 EUR 4,629 USD 5,512 (54) (0.02) 12/05/2021 EUR 1,916 ZAR 34,456 (59) (0.02) 07/04/2021 GBP 35,864 EUR 41,468 631 0.19 07/04/2021 GBP 17,935 EUR 20,734 319 0.10 07/04/2021 GBP 252 EUR 290 6 0.00 07/04/2021 GBP 17,906 EUR 20,734 285 0.09 11/05/2021 GBP 35,557 EUR 41,614 103 0.03 11/05/2021 GBP 17,780 EUR 20,807 52 0.02 11/05/2021 GBP 17,802 EUR 20,807 79 0.02 12/05/2021 GBP 335 EUR 384 8 0.00 16/06/2021 GBP 420 EUR 489 4 0.00 12/05/2021 GBP 1,378 USD 1,919 (15) 0.00 18/05/2021 GBP 662 USD 919 (4) 0.00 08/06/2021 GBP 9,020 USD 12,744 (253) (0.08) 08/06/2021 GBP 1,010 USD 1,428 (29) (0.01) 12/05/2021 HUF 582,654 EUR 1,592 17 0.01 11/05/2021 IDR 12,182,165 EUR 701 7 0.00 12/05/2021 INR 119,327 USD 1,616 4 0.00 12/05/2021 INR 8,722 USD 119 (1) 0.00 12/05/2021 JPY 244,462 EUR 1,889 (7) 0.00 16/06/2021 JPY 222,000 EUR 1,711 (3) 0.00 12/05/2021 JPY 107,878 USD 1,027 (43) (0.01) 08/06/2021 JPY 183,524 USD 1,733 (61) (0.02) 08/06/2021 JPY 7,692 USD 71 (1) 0.00 08/06/2021 JPY 116,233 USD 1,054 (2) 0.00 12/05/2021 KRW 2,198,719 USD 1,964 (11) 0.00 12/05/2021 KZT 217,797 USD 505 2 0.00 12/05/2021 KZT 400,099 USD 944 (10) 0.00

The accompanying notes are an integral part of the financial statements.

78 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 12/05/2021 MXN 3,660 EUR 146 5 0.00 12/05/2021 MXN 36,334 USD 1,792 (21) (0.01) 12/05/2021 MXN 71,063 USD 3,379 70 0.02 12/05/2021 MYR 852 EUR 174 1 0.00 12/05/2021 NOK 18,070 EUR 1,736 64 0.02 16/06/2021 NOK 24,833 EUR 2,460 11 0.00 16/06/2021 NOK 24,833 EUR 2,457 15 0.01 16/06/2021 NOK 24,833 EUR 2,457 15 0.01 08/06/2021 NOK 2,766 USD 323 1 0.00 08/06/2021 NOK 221 USD 26 - 0.00 12/05/2021 NZD 1,429 USD 1,021 (17) (0.01) 08/06/2021 NZD 4,892 USD 3,610 (156) (0.05) 08/06/2021 NZD 86 USD 60 - 0.00 12/05/2021 PHP 5,817 USD 119 - 0.00 12/05/2021 PLN 6,867 EUR 1,532 (52) (0.02) 12/05/2021 PLN 843 USD 227 (11) 0.00 08/06/2021 SEK 2,013 USD 235 (3) 0.00 08/06/2021 SEK 46 USD 6 - 0.00 12/05/2021 THB 31,254 USD 1,040 (34) (0.01) 12/05/2021 TRY 15,122 USD 2,005 (192) (0.07) 12/05/2021 TRY 1,873 USD 218 2 0.00 12/05/2021 TRY 741 USD 96 (7) 0.00 12/05/2021 TRY 1,736 USD 224 (17) (0.01) 12/05/2021 TRY 1,181 USD 152 (12) 0.00 24/05/2021 TRY 163 USD 19 - 0.00 12/05/2021 USD 1,013 AUD 1,335 (4) 0.00 12/05/2021 USD 973 AUD 1,231 30 0.01 08/06/2021 USD 7,240 AUD 9,143 233 0.07 08/06/2021 USD 58 AUD 77 - 0.00 04/05/2021 USD 700 BRL 3,764 29 0.01 08/06/2021 USD 696 CAD 873 1 0.00 08/06/2021 USD 69 CAD 87 - 0.00 08/06/2021 USD 16 CAD 20 - 0.00 08/06/2021 USD 10,553 CHF 9,553 328 0.10 08/06/2021 USD 106 CHF 99 - 0.00 12/05/2021 USD 974 CLP 684,535 17 0.01 12/05/2021 USD 1,452 CNY 9,458 12 0.00 12/05/2021 USD 1,028 COP 3,703,021 17 0.01 07/04/2021 USD 6,989 EUR 5,712 235 0.07 07/04/2021 USD 6,992 EUR 5,712 238 0.07 07/04/2021 USD 6,986 EUR 5,712 232 0.07 21/04/2021 USD 820 EUR 688 9 0.00 11/05/2021 USD 9,790 EUR 8,350 (26) (0.01) 11/05/2021 USD 9,793 EUR 8,350 (24) (0.01) 12/05/2021 USD 14,372 EUR 11,937 280 0.09 18/05/2021 USD 566 EUR 475 6 0.00 18/05/2021 USD 8,564 EUR 7,145 134 0.04 18/05/2021 USD 297 EUR 246 6 0.00 18/05/2021 USD 957 EUR 797 17 0.01 08/06/2021 USD 392 EUR 330 3 0.00

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 79 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 08/06/2021 USD 1,787 EUR 1,459 60 0.02 08/06/2021 USD 1,035 EUR 881 (2) 0.00 16/06/2021 USD 2,356 EUR 1,975 27 0.01 16/06/2021 USD 116 EUR 97 1 0.00 16/06/2021 USD 80 EUR 68 - 0.00 21/04/2021 USD 8,224 GBP 5,922 44 0.01 12/05/2021 USD 3,814 GBP 2,744 23 0.01 18/05/2021 USD 554 GBP 403 (2) 0.00 18/05/2021 USD 623 GBP 449 3 0.00 08/06/2021 USD 7,423 GBP 5,408 (34) (0.01) 11/05/2021 USD 232 IDR 3,287,383 6 0.00 12/05/2021 USD 2,620 INR 193,217 (5) 0.00 12/05/2021 USD 1,005 JPY 105,312 44 0.01 08/06/2021 USD 2,896 JPY 307,449 95 0.03 12/05/2021 USD 110 KRW 123,227 1 0.00 12/05/2021 USD 1,919 KRW 2,168,802 (2) 0.00 12/05/2021 USD 500 KZT 210,571 7 0.00 12/05/2021 USD 1,209 MXN 24,782 2 0.00 12/05/2021 USD 3,911 MXN 81,600 (54) (0.02) 12/05/2021 USD 863 MYR 3,505 15 0.01 08/06/2021 USD 3,579 NOK 30,215 34 0.01 08/06/2021 USD 13 NOK 113 - 0.00 12/05/2021 USD 189 NZD 264 4 0.00 08/06/2021 USD 248 NZD 353 1 0.00 08/06/2021 USD 51 NZD 68 3 0.00 12/05/2021 USD 1,896 PHP 93,006 (11) 0.00 08/06/2021 USD 3,533 SEK 29,367 137 0.04 08/06/2021 USD 29 SEK 252 - 0.00 12/05/2021 USD 1,029 THB 30,929 34 0.01 12/05/2021 USD 1,350 TRY 10,338 115 0.04 12/05/2021 USD 974 TRY 8,671 (38) (0.01) 12/05/2021 USD 134 TRY 984 16 0.01 12/05/2021 USD 89 TRY 661 10 0.00 24/05/2021 USD 19 TRY 163 - 0.00 12/05/2021 USD 3,373 ZAR 51,424 (78) (0.02) 12/05/2021 ZAR 4,000 EUR 222 7 0.00 12/05/2021 ZAR 8,883 USD 591 7 0.00 12/05/2021 ZAR 2,654 USD 179 - 0.00 Unrealised gain on open forward foreign currency exchange contracts...... 5,089 1.53 Unrealised loss on open forward foreign currency exchange contracts...... (5,706) (1.71) Net unrealised gain (loss) on open forward foreign currency exchange contracts...... (617) (0.18)

Interest Rate Swaps ((0.01)%)

Notional Fund Fund Termination Fair Value Fund Ccy Amount ‘000 Pays Receives Date EUR ’000 % AUD 400 AUD 6 Month BBSW 0.78% 10/02/2031 25 0.01 CAD 6 Month CAD 700 1.47% LIBOR 12/05/2031 (28) (0.01)

The accompanying notes are an integral part of the financial statements.

80 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Notional Fund Fund Termination Fair Value Fund Ccy Amount ‘000 Pays Receives Date EUR ’000 % CAD 6 Month CAD 900 1.49% LIBOR 12/05/2031 (35) (0.01) CAD 6 Month CAD 900 1.50% LIBOR 12/05/2031 (35) (0.01) CAD 6 Month CAD 2,125 1.56% LIBOR 12/05/2031 (73) (0.02) BRL Less than BRL 13,847 4.91% 1 Month LIBOR 02/01/2023 (49) (0.01) AUD 2,284 AUD 6 Month BBSW 1.32% 12/05/2031 80 0.02 KRW 3 Month KRW 1,100,100 1.48% KSDA 12/05/2031 (21) (0.01) KRW 3 Month KRW 1,629,900 1.27% KSDA 12/05/2026 (16) (0.01) AUD 3,016 AUD 6 Month BBSW 1.30% 12/05/2031 109 0.03 CNY 3 Month CNY 79,907 2.92% CNRR 12/05/2026 44 0.01 ZAR 35,782 ZAR 3 Month LIBOR 4.69% 12/05/2023 (3) 0.00 ZAR 52,718 ZAR 3 Month LIBOR 4.85% 12/05/2023 (13) 0.00 BRL Less than BRL 6,847 5.75% 1 Month LIBOR 02/01/2023 (12) 0.00 EUR 202 EUR 6 Month EURIBOR 0.34% 10/06/2071 7 0.00 EUR 202 EUR 6 Month EURIBOR 0.34% 10/06/2071 7 0.00 CZK 6 Month CZK 50,982 1.03% PRIBO 12/05/2023 (1) 0.00 CZK 6 Month CZK 46,918 1.00% PRIBO 12/05/2023 (2) 0.00 Interest rate swaps at positive fair value...... 272 0.07 Interest rate swaps at negative fair value...... (288) (0.08) Interest rate swaps at fair value ...... (16) (0.01)

Credit Default Swaps ((0.60)%)

Notional Amount Security Fund Fund Termination Fair Value Fund Ccy ‘000 Name Pays Receives Date EUR ’000 % EUR (8,590) iTRAXX Europe S34 # 1.00% 20/12/2025 (224) (0.07) USD 878 CDX.EM.31 # 1.00% 20/12/2025 2 0.00 USD 640 CDX.EM.31 # 1.00% 20/12/2025 1 0.00 USD (408) CDX.EM.31 1.00% # 20/12/2025 (1) 0.00 USD (351) CDX.EM.31 1.00% # 20/12/2025 (1) 0.00 USD 2,171 CDX.EM.33 # 1.00% 20/12/2025 96 0.03 USD 886 CDX.EM.10 # 1.00% 20/06/2026 5 0.00 USD (41,500) CDX.NA.IG.33 # 1.00% 20/06/2026 (789) (0.23) USD (15,000) CDX.NA.HY.36 # 5.00% 20/06/2026 (1,100) (0.33) Credit default swaps at positive fair value ...... 104 0.03 Credit default swaps at negative fair value...... (2,115) (0.63) Credit default swaps at fair value ...... (2,011) (0.60) Total Financial Derivative Instruments...... (3,868) (1.16)

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 81 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Fair Value Fund EUR ‘000 % Total Financial Assets at Fair Value through Profit or Loss (94.42%)...... 315,653 94.42 Total Financial Liabilities at Fair Value through Profit or Loss ((3.25)%) ...... (10,863) (3.25) Net Financial Assets at Fair Value through Profit or Loss (91.17%) ...... 304,790 91.17 Other Net Assets (8.83%) ...... 29,520 8.83 Net Assets...... 334,310 100.00

*Perpetual bond. **Partly held as collateral by the brokers and counterparties in connection with collateral purposes for over the counter financial derivative instruments held by the Fund. #In the event of bankruptcy or modified restructuring, the Fund will pay/receive the notional amount to/from the counterparty.

%of Analysis of gross assets – (unaudited) gross assets Transferable securities admitted to an official stock exchange listing...... 68.81 Transferable securities dealt in on another regulated market...... 14.29 Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ...... 1.62 Investment funds (UCITS) ...... 4.10 Exchange traded financial derivative instruments ...... 0.44 Over the counter financial derivative instruments ...... 1.57 Other assets ...... 9.17 100.00

The accompanying notes are an integral part of the financial statements.

82 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021 Counterparty exposure risk (Note 12 e))

The following tables analyse the brokers/counterparties for the open financial derivative positions and the respective unrealised gains and losses and fair value.

As at 31 March 2021

Open Forward Foreign Currency Interest Open Futures Exchange Rate Contracts Contracts Swaps Broker/counterparty EUR ‘000 EUR ‘000 EUR ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Positive Negative Citibank...... - - 1,439 (1,738) - - Credit Suisse ...... 202 (156) - - 272 (288) Goldman Sachs ...... 1,317 (2,014) 152 (1,360) - - State Street Bank and Trust Company ...... - - 548 (791) - - UBS AG ...... - (209) 639 (246) - - Other* ...... 11 (375) 2,311 (1,571) - - Total financial derivative positions...... 1,530 (2,754) 5,089 (5,706) 272 (288)

Credit Default Swaps Total Broker/counterparty EUR ‘000 EUR ‘000 Fair Value Fair Value Positive Negative Positive Negative Citibank...... - - 1,439 (1,738) Credit Suisse ...... 95 - 569 (444) Goldman Sachs ...... - (1,888) 1,469 (5,262) State Street Bank and Trust Company ...... - - 548 (791) UBS AG ...... - - 639 (455) Other* ...... 9 (227) 2,331 (2,173) Total financial derivative positions...... 104 (2,115) 6,995 (10,863)

As at 31 March 2020

Open Forward Foreign Currency Currency Open Futures Exchange Options Contracts Contracts Purchased Broker/counterparty EUR ‘000 EUR ‘000 EUR ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Positive Negative Bank of America Merrill Lynch...... - - 990 (629) 34 - Credit Suisse ...... 125 (290) 165 (131) - - Goldman Sachs ...... 3,642 (1,173) 219 (644) 19 - JP Morgan ...... - - 266 (37) 5 - State Street Bank And Trust Company ...... - - 1,930 (2,215) - - Other** ...... 160 (1,022) 4,409 (5,629) 92 - Total financial derivative positions...... 3,927 (2,485) 7,979 (9,285) 150 -

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 83 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021

Currency Options Swaptions Swaptions Written Purchased Written Broker/counterparty EUR ‘000 EUR ‘000 EUR ’000 Fair Value Fair Value Fair Value Positive Negative Positive Negative Positive Negative Bank of America Merrill Lynch...... - (39) - - - - Credit Suisse ...... ------Goldman Sachs ...... - (41) 210 - - (388) JP Morgan ...... - (2) - - - - State Street Bank And Trust Company ...... ------Other** ...... - (90) 43 - - (137) Total financial derivative positions...... - (172) 253 - - (525)

Total Interest Credit Return Rate Default Bond Swaps Swaps Swaps Broker/counterparty EUR ‘000 EUR ‘000 EUR ’000 Fair Value Fair Value Fair Value Positive Negative Positive Negative Positive Negative Bank of America Merrill Lynch...... - - 15 (12) - - Credit Suisse ...... 127 (66) 25 (3) - - Goldman Sachs ...... - - 51 (706) - - JP Morgan ...... 4 - 42 (20) - - State Street Bank And Trust Company ...... ------Other** ...... 59 (4) 330 (80) 1 (19) Total financial derivative positions...... 190 (70) 463 (821) 1 (19)

Total Broker/counterparty EUR ‘000 Fair Value Assets Liabilities Bank of America Merrill Lynch...... 1,039 (680) Credit Suisse ...... 442 (490) Goldman Sachs ...... 4,141 (2,952) JP Morgan ...... 317 (59) State Street Bank And Trust Company ...... 1,930 (2,215) Other** ...... 5,094 (6,981) Total financial derivative positions...... 12,963 (13,377)

* The brokers/counterparties included here are Bank of America Merrill Lynch, Bank of Montreal, Bank of New York, Barclays Bank, BNP Paribas, Commonwealth Bank of Australia, HSBC, JP Morgan, Morgan Stanley, Standard Chartered Bank and Toronto Dominion Bank for open forward foreign currency exchange contracts, Credit Suisse for interest rate swaps, Barclays Bank, Citigroup, Credit Suisse, JP Morgan and Morgan Stanley for credit default swaps. ** The brokers/counterparties included here are Australia and New Zealand Banking Group, Bank of Montreal, Bank of New York, Barclays Bank, BNP Paribas, Brown Brothers Harriman, Citibank, Citigroup, Commonwealth Bank of Australia, Deutsche Bank, HSBC, LLoyds, Morgan Stanley, NatWest Markets, Royal Bank of Canada, Skandinaviska Enskilda Banken AB, Standard Chartered Bank, Toronto Dominion Bank, UBS AG, UniCredit, Westpac Banking Corp for open forward foreign currency exchange contracts, Morgan Stanley and UBS AG for open futures contracts, Barclays Bank, BNP Paribas, Citigroup, HSBC, Morgan Stanley, UBS AG for currency options purchased, Barclays Bank, BNP Paribas, Citigroup, HSBC, Morgan Stanley for currency options written, BNP Paribas for Swaptions purchased and swaptions written, BNP Paribas, Citigroup, Morgan Stanley, Standard Chartered Bank for interest rate swaps Barclays Bank, BNP Paribas, Citigroup, Morgan Stanley for credit default swaps, BNP Paribas and Citigroup for total return swaps.

The accompanying notes are an integral part of the financial statements.

84 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021 Fair Value Hierarchy (Note 12 b) i))

The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2021 and 31 March 2020.

As at 31 March 2021

Level 1 Level 2 Level 3 Total EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... - 293,798 619 294,417 Investment funds ...... - 14,241 - 14,241 Unrealised gain on open futures contracts ...... 1,530 - - 1,530 Unrealised gain on open forward foreign currency exchange contracts...... - 5,089 - 5,089 Interest rate swaps at fair value ...... - 272 - 272 Credit default swaps at fair value ...... - 104 - 104 Total assets...... 1,530 313,504 619 315,653

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (2,754) - - (2,754) Unrealised loss on open forward foreign currency exchange contracts...... - (5,706) - (5,706) Interest rate swaps at fair value ...... - (288) - (288) Credit default swaps at fair value ...... - (2,115) - (2,115) Total liabilities...... (2,754) (8,109) - (10,863)

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Bond (Euro Hedged) Fund 85 Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Schedule of Investments - continued

31 March 2021 As at 31 March 2020

Level 1 Level 2 Level 3 Total EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... - 264,001 - 264,001 Certificates of deposit ...... - 5,503 - 5,503 Commercial paper ...... - 7,166 - 7,166 Investment funds ...... 2,380 14,925 - 17,305 Unrealised gain on open futures contracts ...... 3,927 - - 3,927 Unrealised gain on open forward foreign currency exchange contracts...... - 7,979 - 7,979 Currency options purchased at fair value...... - 150 - 150 Swaptions purchased at fair value ...... - 253 - 253 Interest rate swaps at fair value ...... - 190 - 190 Credit default swaps at fair value ...... - 463 - 463 Total return swaps at fair value...... - 1 - 1 Total assets...... 6,307 300,631 - 306,938

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (2,485) - - (2,485) Unrealised loss on open forward foreign currency exchange contracts...... - (9,285) - (9,285) Currency options written at fair value...... - (172) - (172) Swaptions written at fair value...... - (525) - (525) Interest rate swaps at fair value ...... - (70) - (70) Credit default swaps at fair value ...... - (821) - (821) Total return swaps at fair value...... - (19) - (19) Total liabilities...... (2,485) (10,892) - (13,377)

The accompanying notes are an integral part of the financial statements.

86 Russell Investments Global Bond (Euro Hedged) Fund Russell Investment Company II plc Russell Investments Global Bond (Euro Hedged) Fund

Statement of Changes in Composition of Portfolio* (unaudited)

For the Financial year ended 31 March 2021

Acquisition Cost Disposal Proceeds Portfolio Securities EUR ‘000 Portfolio Securities EUR ‘000 Russell Investments Company III plc Russell Investments Company III plc Russell Investments Euro Liquidity Fund Russell Investments Euro Liquidity Fund Class R Roll-Up Shares 218,325 Class R Roll-Up Shares (218,961) Russell Investments Company III plc Russell Investments Company III plc Russell Investments U.S. Dollar Cash Fund II Russell Investments U.S. Dollar Cash Fund II Class R Roll-Up Shares 154,622 Class R Roll-Up Shares (154,465) Fannie Mae Pool Fannie Mae Pool 3.000% due 14/01/2051 13,096 3.000% due 14/01/2051 (13,015) 3.000% due 14/12/2050 11,723 3.000% due 14/12/2050 (11,521) U.S. Treasury Notes 3.500% due 14/01/2051 (8,118) 0.125% due 30/06/2022 8,671 U.S. Treasury Note 0.875% due 15/11/2030 8,211 0.125% due 30/06/2022 (7,279) Fannie Mae Pool Fannie Mae Pool 3.500% due 14/01/2051 8,159 3.000% due 12/11/2050 (6,989) U.S. Treasury Bill 3.500% due 14/10/2050 (6,912) Zero Coupon due 07/04/2020 7,323 U.S. Treasury Note Fannie Mae Pool 0.875% due 15/11/2030 (6,117) 3.000% due 12/11/2050 7,027 Fannie Mae Pool 3.500% due 14/10/2050 6,870 2.500% due 19/10/2035 (5,094) U.S. Treasury Note 3.500% due 12/11/2050 (5,083) 0.125% due 30/11/2022 5,599 3.000% due 14/10/2050 (4,852) Japan Government Ten Year Bond 4.000% due 12/11/2050 (4,808) 1.000% due 20/12/2021 5,310 3.500% due 14/12/2050 (4,164) Fannie Mae Pool U.S. Treasury Note 2.500% due 19/10/2035 5,109 0.625% due 15/05/2030 (4,105) 3.500% due 12/11/2050 5,098 Fannie Mae Pool 3.000% due 14/10/2050 4,850 4.000% due 14/12/2050 (4,024) 4.000% due 12/11/2050 4,818 4.000% due 13/08/2050 (3,745) U.S. Treasury Bill 3.000% due 14/04/2051 (3,720) Zero Coupon due 21/04/2020 4,637 3.500% due 14/09/2050 (3,647) Federal Farm Credit Discount Notes 3.500% due 11/06/2050 (3,637) Zero Coupon due 08/05/2020 4,592 Japan Government Two Year Bond 0.100% due 01/11/2022 4,574 Bundesrepublik Deutschland Zero Coupon due 15/08/2030 4,335

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. Russell Investments Global Bond (Euro Hedged) Fund 87 Russell Investment Company II plc Russell Investments Global Defensive Equity Fund

Balance Sheet

As at 31 March 2020

31 March 2020* USD ‘000 Assets

Cash at bank (Note 3) ...... 124 124 Liabilities

Creditors – amounts falling due within one financial year: Payable on fund shares redeemed ...... (50) Management fees payable...... (7) Depositary fees payable ...... (1) Sub-custodian fees payable...... (26) Administration fees payable...... (4) Audit fees payable...... (20) Other fees payable...... (16) (124)

Net assets attributable to redeemable participating shareholders...... -

* As the Fund terminated on 31 January 2020, final termination financial statements were prepared for the Fund for the year end 31 March 2020.

The Fund’s Balance Sheet, Profit and Loss and Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders are disclosed solely for presentation purposes only to correspond with the company’s comparative combined financial statements.

The accompanying notes are an integral part of the financial statements.

88 Russell Investments Global Defensive Equity Fund Russell Investment Company II plc Russell Investments Global Defensive Equity Fund

Profit and Loss Account

For the financial year ended 31 March 2020

2020* USD ‘000 Income Dividends ...... 1,416 Interest income...... 15 1,431

Net gain (loss) on investment activities (Note 4)...... 7,741

Total investment income (expense) ...... 9,172

Expenses Management fees (Note 5)...... (799) Depositary fees (Note 6)...... (24) Sub-custodian fees (Note 6)...... (56) Administration and transfer agency fees (Note 6) ...... (40) Audit fees (Note 6)...... (20) Professional fees ...... (25) Other fees...... (21) Total operating expenses...... (985)

Net income (expense) ...... 8,187

Finance costs Distributions (Note 8) ...... (408) Profit (loss) for the financial year before taxation ...... 7,779

Taxation (Note 9) Withholding tax ...... (199)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations ...... 7,580

* As the Fund terminated on 31 January 2020, final termination financial statements were prepared for the Fund for the year end 31 March 2020.

The accompanying notes are an integral part of the financial statements.

Russell Investments Global Defensive Equity Fund 89 Russell Investment Company II plc Russell Investments Global Defensive Equity Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2020

2020* USD ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations ...... 7,580

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 146 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10) . (76,757)

Total net increase (decrease) in net assets attributable to redeemable participating shareholders...... (69,031)

Net assets attributable to redeemable participating shareholders Beginning of financial year...... 69,031

End of financial year...... -

* As the Fund terminated on 31 January 2020, final termination financial statements were prepared for the Fund for the year end 31 March 2020.

The accompanying notes are an integral part of the financial statements.

90 Russell Investments Global Defensive Equity Fund Russell Investment Company II plc Russell Investments Pan European Equity Fund

Manager’s Report

Investment Manager as at 31 March 2021 Russell Investments Limited

Investment Adviser as at 31 March 2021 INVESCO Asset Management Limited Joh. Berenberg, Gossler & Co. KG Liontrust Investment Partners LLP Numeric Investors, LLC Pzena Investment Management, LLC

Investment Objective Russell Investments Pan European Equity Fund (the “Fund”) will seek to achieve capital appreciation by investing principally in equity securities listed on Regulated Markets in Europe. The Fund may also invest in new issues for which application for listing on a Regulated Market in Europe will be sought. The Fund may hold such securities listed or traded on Regulated Markets worldwide of companies that are not incorporated, listed or traded in Europe but which receive the majority of their total revenue from European countries. The Fund will not be concentrating on any specific industry sector but will pursue a policy of active stock selection and active country allocation on the Regulated Markets in which it invests. The Fund is eligible for the Plan d’Epargne Actions (PEA) which is a French tax-free long-term savings scheme. As such, at all times it is required to invest at least 75 per cent of its net assets in PEA Eligible Securities.

Fund Performance During the financial year ended 31 March 2021, the Fund returned 47.9 per cent on a gross-of-fee basis (46.3 per cent on a net- of-fee basis), while the benchmark* returned 35.3 per cent.

Market Comment The benchmark recovered some of the significant losses incurred during the first quarter sell-off with a 12.6 per cent return in the second quarter of 2020. The concerted support of accommodative monetary and fiscal policy drove improved risk sentiment. However, data revealed the significant economic impact of coronavirus. Concerns of protracted Brexit trade deal negotiations and a re-escalated trade war between the US and China also remained in investors’ thoughts. The European Central Bank (ECB) boosted its coronavirus bond-buying stimulus package by EUR 600 billion to EUR 1.35 trillion. The central bank also began considering setting up a “bad bank”, to deal with low quality loans issued during the lockdown period. The European Commission formally proposed a record-breaking EUR 750 billion (USD 826 billion) stimulus package which included risk-sharing across the eurozone through Eurobonds. Regional governments also took action to support their economies. This included Germany’s EUR 130 billion fiscal stimulus package. Coronavirus restrictions dramatically reduced economic activity. Eurozone gross domestic product (GDP) was upwardly-revised to -3.6 per cent quarter-on-quarter (QoQ) (-3.1 per cent year-on-year (YoY)) in the final reading for the first quarter. The German economy entered a recession after two successive quarters of negative growth. The first quarter’s 2.2 per cent decline was the worst since 2009 and second steepest contraction on record since reunification in 1990. Eurozone industrial production plunged a record 17.1 per cent month-on-month (MoM) in April, following the revised 11.9 per cent decline in March. Production in the bloc’s largest economies registered record declines. Meanwhile, eurozone inflation slipped to its lowest in four years in May, as lower energy prices pushed the figure to 0.1 per cent YoY. The benchmark rose 0.1 per cent over the third quarter of 2020. With lockdown restrictions easing from the end of the second quarter, risk appetite built up strongly in July and August. This was further cemented by Covid-19 vaccine hopes, stabilising oil prices and robust corporate earnings. However, rising coronavirus cases in September, pointed towards a second wave of infections. Brexit uncertainties and volatility to the run-up to US presidential elections, further dampened investors’ mood. G4 central banks remained accommodative during this period whilst governments were tasked with figuring out new policies to support their respective nations. Over the period, oil prices trended lower whilst the US dollar weakened. The ECB kept interest rates at a record low of -0.5 per cent and pledged to buy up to EUR 1.35 trillion worth of debt through June 2021 under its pandemic emergency purchase programme. However, ECB President Christine Lagarde surprised markets by raising the eurozone’s growth forecast for this year (-8.0 per cent vs -8.7 per cent prev.) and inflation forecast for next year (1.0 per cent vs 0.3 per cent prev.). She also said the bank was closely monitoring the strengthening euro - though she reiterated that the exchange rate was not a “not a policy target”. The benchmark rose 10.8 per cent in the final quarter of 2020. Major breakthroughs in the development of a COVID-19 vaccine and its rollout in several countries, underpinned the positive market sentiment. A Brexit deal between the European Union (EU) and the UK, coupled with additional monetary and fiscal stimulus measures also lifted the mood. However, worsening COVID-19 infection rates in several countries, leading to tougher lockdown restrictions – dampened the risk-on mood somewhat. Over the period, oil prices rallied whilst the US dollar weakened. The UK and the EU finally agreed upon a Brexit trade deal in the latter stages of December. In mainland Europe, ECB President Christine Lagarde welcomed the “encouraging” news of

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Manager’s Report - continued

Covid-19 vaccine breakthroughs but warned that the second wave of the pandemic still presented “new challenges and risks” for the eurozone economy. Therefore, the ECB expanded its emergency bond-buying programme by EUR 500 billion in December - taking its total value to EUR 1.85 trillion and extended it to at least the end of March 2022. Additionally, alongside the Brexit deal, the EU struck another trade deal in December with China. The EU-China Comprehensive Agreement on Investment will improve Chinese market access conditions for European companies; however, the timing of the deal is contentious as it may interfere with Sino/US trade deal negotiations.

The benchmark rose by 8.4 per cent in the first quarter of 2021.Hopes that additional fiscal stimulus and dovish central bank policies would spur economic growth, lifted investor sentiment. While this hope boosted growth expectations, it also increased inflation expectations. Higher inflation will open the door for higher interest rates which heightened some investor concerns. Worries surrounding Europe’s vaccination programme and worsening coronavirus infections, leading to tougher lockdown restrictions in several countries, also dampened the mood. The ECB kept its interest rate unchanged but stepped up its weekly emergency bond-buying programme (above the EUR 18.0 billion weekly average since the programme started last year), to contain adverse effects of recent market volatility. The ECB also revised its 2021 GDP growth forecast to 4.0 per cent YoY from 3.9 per cent YoY previously - citing “ongoing vaccinations campaigns” and the “gradual relaxation of containment measures” as reasons for the upgrade. The bank also added that it expected some inflation volatility over the coming months. Towards quarter- end, concerns surrounding the Eurozone’s coronavirus vaccine rollout worsened, after Germany, France, Denmark, and the Netherlands temporarily suspended the rollout of the AstraZeneca vaccine, amid fears that it could cause blood clots. These fears subsided however, after the European Medicines Agency stated that it “remained convinced” that the benefits of the vaccine outweigh the risk. Meanwhile, several countries including Germany, France, Spain, and Italy imposed tougher lockdown restrictions on the back of rising coronavirus cases. On a more positive note, there was finally some semblance of political certainty in Italy, as former ECB President Mario Draghi, was appointed as Italy’s new prime minister and successfully formed a national unity government.

General Comment on Money Managers/Performance The Fund outperformed the strong benchmark return in the second quarter of 2020. The Fund was effectively positioned as European equities recovered some of the significant losses incurred during the first quarter sell-off. Improved risk sentiment saw small-mid cap stocks outperform large caps. Positive stock selection among value stocks, particularly within the energy and financials sectors, also added relative value. Numeric was the strongest-performing strategy this period while Pzena recovered some of its first-quarter underperformance. During the quarter, we fired SW Mitchell and hired Berenberg’s quality growth strategy. The Fund outperformed the benchmark over the third quarter of 2020. In factors, the tilt toward small cap stocks was rewarded. From a sector perspective, stock selection within the consumer discretionary sector drove outperformance, particularly through companies within the hotels restaurants & leisure industries. Holdings within the industrials (Maersk) and energy (Royal Dutch Shell) sectors also contributed. However, an overweight to the communication services sector detracted. Liontrust was the strongest-performing strategy for the quarter, benefitting from its overweight to Denmark. In contrast, Invesco suffered from positive value exposure and negative allocation. The Fund comfortably outperformed for the last quarter of 2020. In factor performance, the overweight to small cap and deep value stocks suited the market environment. In sectors, an underweight to consumer staples (food products) and stock selection within the industrials sector (commercial services and supplies) generated solid returns. Positioning and stock selection within the health care sector also contributed, notably through underweights to pharmaceuticals (AstraZeneca and Bayer). Pzena was the best performing strategy, benefitting from its deep value tilt and strong stock selection among UK and German companies. In contrast, Numeric suffered from negative stock selection across most sectors. The Fund outperformed the benchmark for the first quarter of 2021. An overweight (OW) to the industrials sector drove performance, through names such as Aggreko, Rexel and Epiroc. Holdings within the financials sector (OW Bank of Ireland Group and ING Groep) also generated solid returns. Stock picking within the consumer discretionary sector (OW Volkswagen) and overweight positioning within the materials sector also contributed to excess returns. Further outperformance was held back by negative stock picking within the health care sector (OW Viatris and Grifols). Positioning (OW) within the consumer staples and utilities sectors was also negative. Pzena was the best performing strategy, benefitting from its deep value tilt and stock selection in France and Germany.

Past performance is no indication of present or future performance. * Benchmark Source: MSCI Europe Net

Russell Investments Ireland Limited May 2021

92 Russell Investments Pan European Equity Fund Russell Investment Company II plc Russell Investments Pan European Equity Fund

Balance Sheet

As at 31 March 2021

31 March 2021 31 March 2020 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss (Note 2) ...... 140,505 168,632

Cash at bank (Note 3)...... 784 1,215 Cash held with brokers and counterparties for open financial derivative instruments (Note 3)...... 453 235

Debtors: Receivable for investments sold ...... 55,197 - Receivable on fund shares issued ...... 26 1,391 Dividends receivable...... 751 1,024 197,716 172,497 Liabilities Financial liabilities at fair value through profit or loss (Note 2)...... (33) (69)

Creditors – amounts falling due within one financial year: Payable on fund shares redeemed...... (56,061) (1,429) Management fees payable...... (202) (168) Depositary fees payable...... (10) (5) Sub-custodian fees payable...... (19) (22) Administration fees payable ...... (14) (3) Audit fees payable ...... (16) (19) (56,355) (1,715)

Net assets attributable to redeemable participating shareholders ...... 141,361 170,782

The accompanying notes are an integral part of the financial statements.

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Profit and Loss Account

For the financial year ended 31 March 2021

2021 2020 EUR ‘000 EUR ‘000 Income Dividends...... 4,766 10,238

Net gain (loss) on investment activities (Note 4) ...... 68,959 (38,733)

Total investment income (expense)...... 73,725 (28,495)

Expenses Management fees (Note 5) ...... (2,217) (2,974) Depositary fees (Note 6)...... (32) (36) Sub-custodian fees (Note 6) ...... (35) (109) Administration and transfer agency fees (Note 6)...... (69) (97) Audit fees (Note 6) ...... (16) (19) Professional fees...... (12) (13) Other fees...... (43) (46) Total operating expenses ...... (2,424) (3,294)

Net income (expense)...... 71,301 (31,789)

Finance costs Distributions (Note 8)...... (1,438) (4,841) Profit (loss) for the financial year before taxation...... 69,863 (36,630)

Taxation (Note 9) Withholding tax ...... (537) (415)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 69,326 (37,045)

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

94 Russell Investments Pan European Equity Fund Russell Investment Company II plc Russell Investments Pan European Equity Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

2021 2020 EUR ‘000 EUR ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 69,326 (37,045)

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 1,438 4,841 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10)...... (100,185) (145,534)

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... (29,421) (177,738)

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 170,782 348,520

End of financial year ...... 141,361 170,782

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % Transferable Securities (95.24%) Chemicals (2020: 92.55%) 1 Chr Hansen Holding Common Stock (93.62%) (2020: 91.41%) A/S...... 58 0.04 Austria (0.47%) 1 Novozymes A/S ...... 49 0.04 Machinery Commercial Services and Supplies 16 Andritz AG ...... 611 0.43 38 ISS A/S ...... 610 0.43 Oil and Gas Computers and Peripherals - OMV AG ...... 5 0.00 9 Netcompany Group Transport A/S...... 761 0.54 1 Oesterreichische Post Electrical Equipment AG ...... 50 0.04 4 Chemometec A/S...... 327 0.23 666 0.47 Energy Equipment and Services Belgium (0.96%) 2 Vestas Wind Systems Banks A/S...... 391 0.28 6 KBC Group NV...... 350 0.25 Health Care Equipment and Supplies Beverages 11 Ambu A/S...... 433 0.31 - Anheuser-Busch InBev 2 Coloplast A/S...... 218 0.15 SA/NV...... 27 0.02 - GN Store Nord A/S...... 37 0.03 Distributors Insurance 3 D’ieteren SA/NV...... 226 0.16 2 Tryg A/S ...... 28 0.02 Food Products Pharmaceuticals 7 Colruyt SA...... 335 0.24 28 Novo Nordisk A/S ...... 1,624 1.15 Insurance Retail Trade 4 Ageas SA...... 204 0.14 11 Pandora A/S...... 1,034 0.73 Other Finance Software 1 Groupe Bruxelles 8 SimCorp A/S ...... 790 0.56 Lambert SA ...... 46 0.03 Transport Pharmaceuticals 1 AP Moller - Maersk A/S 1 UCB SA...... 103 0.07 (Class B)...... 1,290 0.91 Telecommunications 2 DSV Panalpina A/S ...... 394 0.28 3 Proximus SADP ...... 61 0.04 9,353 6.62 Transport Finland (1.65%) 1 Euronav NV...... 8 0.01 Banks 1,360 0.96 1 Nordea Bank Abp ...... 11 0.01 Bermuda (0.02%) Insurance Transport 2 Sampo OYJ...... 71 0.05 5 BW LPG Ltd ...... 26 0.02 Machinery Czech Republic (0.39%) 8 Kone OYJ...... 576 0.41 Electric Utilities Paper and Forest Products 27 CEZ AS...... 557 0.39 20 Stora Enso OYJ...... 315 0.22 Denmark (6.62%) 24 UPM-Kymmene OYJ..... 750 0.53 Banks 22 Danske Bank A/S...... 345 0.24 Pharmaceuticals 1 Orion OYJ (Class B)...... 38 0.03 Beverages 3 Carlsberg A/S ...... 398 0.28 Telecommunications 6 Royal Unibrew A/S...... 552 0.39 2 Elisa OYJ...... 99 0.07 138 Nokia OYJ ...... 468 0.33 Biotechnology 2,328 1.65 - Genmab A/S ...... 14 0.01

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % France (14.96%) Health Care Equipment and Supplies Advertising 1 EssilorLuxottica SA ...... 119 0.08 19 Publicis Groupe SA ...... 998 0.71 - Sartorius Stedim Biotech...... 28 0.02 Aerospace and Defence 1 Thales SA ...... 71 0.05 Health Care Providers and Services - BioMerieux...... 28 0.02 Auto Components 10 Cie Generale des Home Furnishings Etablissements Michelin 2 SEB SA...... 354 0.25 SCA ...... 1,277 0.90 Household Products - Faurecia SE (Italy 6 Societe BIC SA ...... 294 0.21 listed)...... 2 0.00 Insurance Automobiles 16 AXA SA ...... 361 0.26 6 Renault SA ...... 207 0.15 3 CNP Assurances ...... 40 0.03 Banks 13 SCOR SE...... 386 0.27 25 BNP Paribas SA ...... 1,309 0.93 Internet Software and Services 22 Credit Agricole SA...... 269 0.19 1 Iliad SA...... 175 0.12 36 Societe Generale SA...... 793 0.56 Media Beverages 12 Vivendi SA ...... 335 0.24 3 Pernod Ricard SA...... 510 0.36 Oil and Gas Building Products 30 TOTAL SE...... 1,208 0.85 9 Cie de Saint-Gobain ...... 463 0.33 Personal Products Chemicals 1 L’Oreal SA ...... 297 0.21 2 Air Liquide SA ...... 207 0.15 2 Arkema SA...... 231 0.16 Pharmaceuticals - Ipsen SA ...... 37 0.03 Commercial Services and Supplies 20 Sanofi ...... 1,683 1.19 2 Bureau Veritas SA ...... 46 0.03 8 Worldline SA ...... 600 0.43 Real Estate Investment Trust - Gecina SA...... 35 0.03 Computers and Peripherals - Klepierre SA...... 5 0.00 4 Atos SE...... 258 0.18 4 Mercialys SA...... 32 0.02 3 Capgemini SE...... 355 0.25 3 Teleperformance...... 1,032 0.73 Software - Dassault Systemes SE ... 81 0.06 Construction and Engineering 2 Ubisoft Entertainment 2 Bouygues SA...... 55 0.04 SA...... 96 0.07 1 Eiffage SA ...... 90 0.06 Telecommunications Distributors 56 Orange SA ...... 585 0.41 121 Rexel SA...... 2,041 1.44 Textile and Apparel Diversified Financials - Christian Dior SE ...... 13 0.01 8 Amundi SA...... 553 0.39 1 Hermes International..... 443 0.31 Electric Utilities 1 Kering SA...... 775 0.55 9 Electricite de France - LVMH Moet Hennessy SA...... 109 0.08 Louis Vuitton SE ...... 223 0.16 25 Engie SA...... 300 0.21 Water Utilities Electrical Equipment 8 Veolia Environnement 2 Legrand SA...... 148 0.10 SA...... 180 0.13 6 Schneider Electric SE.... 747 0.53 21,147 14.96 Food Products Germany (11.35%) 37 Carrefour SA ...... 567 0.40 Advertising 1 Danone SA ...... 96 0.07 4 Stroeer SE & Co KGaA. 242 0.17

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % Automobiles Machinery 1 Bayerische Motoren 1 Siemens Energy AG...... 35 0.02 Werke AG ...... 25 0.02 Miscellaneous Manufacturers 10 Daimler AG ...... 776 0.55 3 Knorr-Bremse AG ...... 357 0.25 Banks 6 Siemens AG...... 822 0.58 81 Deutsche Personal Products Pfandbriefbank AG...... 799 0.56 1 Beiersdorf AG...... 109 0.08 Chemicals Pharmaceuticals 15 BASF SE ...... 1,073 0.76 5 Bayer AG ...... 255 0.18 16 Covestro AG ...... 913 0.65 3 Merck KGaA ...... 521 0.37 2 Evonik Industries AG .... 49 0.03 49 K&S AG ...... 418 0.30 Real Estate 10 Lanxess AG...... 654 0.46 2 Deutsche Wohnen SE .... 66 0.05 1 Symrise AG ...... 70 0.05 2 LEG Immobilien AG ..... 238 0.17 9 Vonovia SE ...... 498 0.35 Computers and Peripherals 1 Bechtle AG ...... 166 0.12 Semiconductor Equipment and Products 29 Infineon Technologies Construction and Engineering AG ...... 1,045 0.74 - HOCHTIEF AG...... 20 0.01 Software Diversified Financials 1 SAP SE...... 121 0.09 1 Deutsche Boerse AG...... 182 0.13 6 TeamViewer AG ...... 205 0.14 Electric Utilities Telecommunications 10 E.ON SE ...... 95 0.07 43 Deutsche Telekom AG ... 744 0.52 2 Uniper SE ...... 58 0.04 50 Telefonica Deutschland Electrical Equipment Holding AG ...... 125 0.09 1 OSRAM Licht AG...... 75 0.05 Textile and Apparel Food Products 3 adidas AG ...... 905 0.64 13 HelloFresh SE...... 823 0.58 Transport Health Care Equipment and Supplies 16 Deutsche Post AG...... 734 0.52 9 Siemens Healthineers 16,047 11.35 AG ...... 434 0.31 Ireland (0.96%) Health Care Providers and Services Airlines 16 Evotec SE ...... 487 0.35 17 Ryanair Holdings Plc..... 284 0.20 1 Fresenius Medical Care Banks AG & Co KGaA ...... 75 0.05 238 Bank of Ireland Group Household Products Plc...... 1,006 0.71 1 HenkelAG&Co KGaA...... 57 0.04 Building Products - CRH Plc (Ireland Insurance listed)...... 9 0.01 2 Allianz SE...... 480 0.34 1 Hannover Rueck SE...... 73 0.05 Food Products 1 Muenchener 1 Kerry Group Plc ...... 59 0.04 Rueckversicherungs- 1,358 0.96 Gesellschaft AG in Isle of Man (0.02%) Muenchen ...... 345 0.25 Entertainment Internet Software and Services 2 GVC Holdings Plc...... 33 0.02 2 Scout24 AG ...... 92 0.07 Israel (0.14%) - zooplus AG ...... 34 0.02 Diversified Financials Iron and Steel 12 Plus500 Ltd...... 198 0.14 28 Salzgitter AG ...... 752 0.53

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % Italy (2.79%) Oil and Gas Services Banks 64 Subsea 7 SA...... 551 0.39 41 Intesa Sanpaolo SpA ..... 95 0.07 Real Estate 51 Mediobanca Banca di 2 Aroundtown SA...... 9 0.01 Credito Finanziario SpA...... 483 0.34 1,555 1.10 48 UniCredit SpA...... 433 0.31 Malta (0.05%) Building Products Entertainment 13 Carel Industries SpA ..... 219 0.15 4 Kindred Group Plc...... 67 0.05 Netherlands (8.74%) Electric Utilities Automobiles 32 A2A SpA ...... 50 0.04 1 Ferrari NV ...... 121 0.09 99 Enel SpA...... 840 0.59 87 Stellantis NV (France 9 Terna Rete Elettrica listed)...... 1,317 0.93 Nazionale SpA...... 59 0.04 9 Stellantis NV (Italy Environmental Control listed)...... 133 0.09 11 GVS SpA...... 142 0.10 Banks Gas Utilities 105 ING Groep NV ...... 1,097 0.78 15 Snam SpA...... 69 0.05 Beverages Health Care Equipment and Supplies 5 Davide Campari-Milano 1 DiaSorin SpA ...... 90 0.06 NV ...... 53 0.04 1 Heineken Holding NV... 57 0.04 Home Furnishings 1 Heineken NV...... 86 0.06 5 De’ Longhi SpA ...... 181 0.13 Chemicals Machinery 5 Akzo Nobel NV...... 485 0.34 6 Danieli & C Officine 4 Koninklijke DSM NV.... 629 0.45 Meccaniche SpA...... 128 0.09 Commercial Services and Supplies Oil and Gas 20 Randstad NV ...... 1,196 0.85 10 Eni SpA ...... 107 0.08 Construction and Engineering Retail Trade 14 Technip Energies NV 21 Moncler SpA ...... 1,045 0.74 ADR...... 183 0.13 3,941 2.79 Diversified Financials Jersey, Channel Islands (1.21%) 11 Flow Traders ...... 391 0.28 Advertising 73 WPP Plc...... 788 0.56 Electrical Equipment 2 Signify NV ...... 78 0.05 Commercial Services and Supplies 1 Experian Plc ...... 44 0.03 Food Products 28 Koninklijke Ahold Distributors Delhaize NV...... 665 0.47 5 Ferguson Plc ...... 486 0.34 Health Care Equipment and Supplies Metals and Mining 11 Koninklijke Philips NV . 536 0.38 5 Glencore Plc ...... 18 0.01 5 Qiagen NV...... 215 0.15 19 Polymetal International Plc (Voting rights) ...... 310 0.22 Insurance 2 ASR Nederland NV...... 60 0.04 Textile and Apparel 2 NN Group NV ...... 94 0.07 17 boohoo Group Plc...... 67 0.05 Internet Software and Services 1,713 1.21 8 Prosus NV...... 729 0.51 Luxembourg (1.10%) Iron and Steel Machinery 39 ArcelorMittal...... 972 0.69 4 CNH Industrial NV ...... 49 0.03 Media Media 1 RTL Group SA ...... 23 0.01 1 Wolters Kluwer NV ...... 98 0.07

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % Oil and Gas Services Spain (4.34%) 26 SBM Offshore NV...... 404 0.29 Airlines 347 International Pipelines Consolidated Airlines 4 Koninklijke Vopak NV .. 158 0.11 Group SA...... 808 0.57 Semiconductor Equipment and Products Banks 4 ASML Holding NV...... 2,264 1.60 82 Banco Bilbao Vizcaya 16 BE Semiconductor Argentaria SA...... 363 0.26 Industries NV ...... 1,134 0.80 6 Banco Santander SA...... 18 0.01 3 STMicroelectronics NV 494 CaixaBank SA ...... 1,304 0.92 (France listed)...... 80 0.06 Commercial Services and Supplies Telecommunications 6 Amadeus IT Group SA.. 349 0.25 15 Koninklijke KPN NV .... 45 0.03 12,357 8.74 Construction and Engineering 1 Acciona SA...... 193 0.14 Norway (1.55%) 1 Aena SME SA ...... 71 0.05 Chemicals 7 Yara International ASA . 294 0.21 Electric Utilities 14 EDP Renovaveis SA ...... 264 0.19 Food Products 15 Endesa SA ...... 343 0.24 4 Austevoll Seafood ASA. 37 0.03 55 Iberdrola SA ...... 602 0.43 3 Mowi ASA...... 73 0.05 24 Red Electrica Corp SA .. 357 0.25 61 Orkla ASA ...... 506 0.36 Food Products Insurance 5 Viscofan SA...... 289 0.20 7 Gjensidige Forsikring ASA...... 150 0.11 Gas Utilities 1 Enagas SA ...... 27 0.02 Metals and Mining 58 Norsk Hydro ASA ...... 315 0.22 Insurance 11 Mapfre SA ...... 20 0.01 Oil and Gas 20 Equinor ASA ...... 337 0.24 Machinery 3 Zardoya Otis SA ...... 15 0.01 Telecommunications 31 Telenor ASA ...... 473 0.33 Media 7 Mediaset Espana 2,185 1.55 Comunicacion SA...... 36 0.03 Poland (0.16%) Food Products Oil and Gas 4 Dino Polska SA ...... 226 0.16 34 Repsol SA...... 356 0.25 Portugal (0.45%) Pharmaceuticals Electric Utilities 2 Grifols SA...... 51 0.04 93 EDP - Energias de Real Estate Investment Trust Portugal SA ...... 453 0.32 33 Merlin Properties Food Products Socimi SA...... 286 0.20 3 Jeronimo Martins SGPS Telecommunications SA...... 42 0.03 1 Telefonica SA ...... 6 0.00 88 Sonae SGPS SA...... 68 0.05 Transport Oil and Gas 23 Cia de Distribucion 4 Galp Energia SGPS SA . 39 0.03 Integral Logista Paper and Forest Products Holdings SA ...... 381 0.27 10 Navigator Co SA ...... 29 0.02 6,139 4.34 631 0.45 Sweden (5.21%) Automobiles 5 Volvo AB ...... 104 0.08

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % Banks Telecommunications 9 Skandinaviska Enskilda 5 Tele2 AB...... 60 0.04 Banken AB ...... 94 0.07 18 Telefonaktiebolaget LM 33 Svenska Handelsbanken Ericsson ...... 203 0.15 AB ...... 306 0.21 32 Telia Co AB ...... 118 0.08 11 Swedbank AB ...... 169 0.12 7,360 5.21 Biotechnology Switzerland (9.01%) - Swedish Orphan Banks Biovitrum AB ...... 4 0.00 - Banque Cantonale Distributors Vaudoise ...... 31 0.02 25 AddTech AB ...... 312 0.22 50 Credit Suisse Group AG ...... 450 0.32 Electrical Equipment 52 UBS Group AG...... 681 0.48 4 Assa Abloy AB ...... 101 0.07 Beverages Food Products - Coca-Cola HBC AG ...... 11 0.01 14 Axfood AB ...... 289 0.21 Building Products Health Care Equipment and Supplies - Geberit AG...... 61 0.04 15 AddLife AB ...... 225 0.16 1 LafargeHolcim Ltd...... 48 0.04 7 Cellavision AB...... 237 0.17 2 Sika AG ...... 373 0.26 6 Getinge AB...... 143 0.10 3 Lifco AB...... 248 0.18 Chemicals - EMS-Chemie Holding Home Furnishings AG ...... 67 0.05 2 Electrolux AB...... 53 0.04 - Givaudan SA...... 122 0.08 Hotels, Restaurants and Leisure Commercial Services and Supplies 4 MIPS AB ...... 230 0.16 2 Adecco Group AG ...... 116 0.08 Machinery - SGS SA...... 153 0.11 17 Atlas Copco AB Computers and Peripherals (Class A)...... 903 0.64 3 Logitech International 1 Atlas Copco AB SA...... 298 0.21 (Class B)...... 49 0.03 Diversified Financials 5 Electrolux Professional 8 Julius Baer Group Ltd ... 455 0.32 AB ...... 23 0.02 1 Partners Group Holding 96 Epiroc AB (Class A)...... 1,849 1.31 AG ...... 756 0.54 7 Epiroc AB (Class B)...... 114 0.08 16 Sandvik AB...... 365 0.26 Electric Utilities 3 BKW AG ...... 321 0.23 Metals and Mining 5 Boliden AB...... 145 0.10 Electrical Equipment 4 SKF AB ...... 100 0.07 14 ABB Ltd ...... 363 0.26 Miscellaneous Manufacturers Food Products 2 Trelleborg AB...... 42 0.03 - Chocoladefabriken Oil and Gas Lindt & Spruengli AG 17 Lundin Energy AB...... 442 0.31 (Non-voting rights)...... 52 0.04 - Chocoladefabriken Other Finance Lindt & Spruengli AG 2 Investor AB...... 149 0.10 (Voting rights)...... 78 0.05 1 L E Lundbergforetagen - Emmi AG...... 122 0.09 AB ...... 52 0.04 11 Nestle SA...... 1,045 0.74 Paper and Forest Products Hand and Machine Tools 4 Svenska Cellulosa AB 1 Schindler Holding AG SCA ...... 60 0.04 (Non-voting rights)...... 111 0.08 Personal Products - Schindler Holding AG 6 Essity AB...... 171 0.12 (Voting rights)...... 73 0.05

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % Health Care Equipment and Supplies Commercial Services and Supplies 2 Alcon Inc ...... 96 0.07 101 Aggreko Plc...... 1,040 0.73 1 Sonova Holding AG...... 76 0.05 - Ashtead Group Plc...... 22 0.01 - Straumann Holding AG . 332 0.24 9 Babcock International - Tecan Group AG...... 91 0.06 Group Plc...... 23 0.02 1 Intertek Group Plc ...... 55 0.04 Health Care Providers and Services 4 RELX Plc ...... 93 0.07 1 Lonza Group AG ...... 428 0.30 Computers and Peripherals Insurance 7 Avast Plc ...... 38 0.03 - Baloise Holding AG ...... 46 0.03 33 Softcat Plc...... 707 0.50 1 Helvetia Holding AG..... 34 0.03 - Swiss Life Holding AG . 32 0.02 Construction and Engineering 1 Zurich Insurance Group 319 Balfour Beatty Plc ...... 1,102 0.78 AG ...... 342 0.24 3 IMI Plc...... 49 0.03 Metals and Mining Containers and Packaging 1 VAT Group AG ...... 308 0.22 12 DS Smith Plc ...... 58 0.04 Pharmaceuticals Distributors 4 Galenica AG ...... 223 0.16 11 Bunzl Plc ...... 290 0.20 23 Novartis AG...... 1,645 1.16 46 Inchcape Plc ...... 411 0.29 9 Roche Holding AG ...... 2,506 1.77 47 Travis Perkins Plc ...... 846 0.60 Real Estate Diversified Financials - Allreal Holding AG ...... 56 0.04 81 Ashmore Group Plc...... 371 0.26 1 Swiss Prime Site AG ..... 39 0.03 27 IG Group Holdings Plc.. 290 0.21 8 London Stock Exchange Retail Trade Group Plc...... 629 0.44 - Cie Financiere 8 Ninety One Plc ...... 22 0.02 Richemont SA ...... 32 0.02 1 Schroders Plc (Voting Telecommunications rights)...... 49 0.03 1 Swisscom AG ...... 482 0.34 Electric Utilities Transport 10 Drax Group Plc...... 47 0.03 1 Kuehne & Nagel 27 SSE Plc...... 468 0.33 International AG ...... 176 0.13 Electrical Equipment 12,731 9.01 2 Halma Plc ...... 49 0.03 United Kingdom (21.36%) Entertainment Aerospace and Defence 13 William Hill Plc...... 40 0.03 9 Meggitt Plc ...... 53 0.04 Food Products Airlines 1 Associated British 36 easyJet Plc ...... 419 0.30 Foods Plc ...... 43 0.03 Banks 21 Greggs Plc ...... 545 0.38 452 Barclays Plc...... 987 0.70 381 J Sainsbury Plc ...... 1,083 0.77 230 HSBC Holdings Plc 430 Marks & Spencer Group (UK listed)...... 1,141 0.81 Plc...... 762 0.54 7 Investec Plc...... 17 0.01 6 Tate & Lyle Plc...... 51 0.03 161 Natwest Group Plc...... 372 0.26 236 Tesco Plc...... 634 0.45 76 Standard Chartered Plc 31 Wm Morrison (UK listed)...... 446 0.32 Supermarkets Plc...... 67 0.05 Beverages Gas Utilities 8 Diageo Plc ...... 273 0.19 352 Centrica Plc ...... 223 0.16 30 National Grid Plc...... 308 0.22 Building Products 127 Forterra Plc...... 427 0.30 Health Care Equipment and Supplies 1 Smith & Nephew Plc..... 12 0.01 Chemicals 1 Croda International Plc.. 53 0.04

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % Home Builders Pharmaceuticals 31 Barratt Developments 16 AstraZeneca Plc...... 1,346 0.95 Plc...... 277 0.20 16 Dechra Pharmaceuticals 1 Bellway Plc...... 24 0.02 Plc...... 624 0.44 2 Redrow Plc ...... 13 0.01 41 GlaxoSmithKline Plc..... 627 0.44 4 Vistry Group Plc...... 46 0.03 4 Hikma Pharmaceuticals Plc...... 120 0.09 Hotels, Restaurants and Leisure 1 Carnival Plc ...... 21 0.02 Real Estate Investment Trust 80 On the Beach Group 8 British Land Co Plc ...... 49 0.04 Plc...... 383 0.27 7 Segro Plc...... 72 0.05 Household Products Retail Trade 8 Reckitt Benckiser 4 JD Sports Fashion Plc.... 42 0.03 Group Plc...... 572 0.40 5 Next Plc ...... 482 0.34 18 WH Smith Plc...... 375 0.27 Insurance 11 Admiral Group Plc ...... 388 0.27 Telecommunications 106 Aviva Plc...... 511 0.36 672 Vodafone Group Plc ...... 1,041 0.74 11 Direct Line Insurance Textile and Apparel Group Plc...... 40 0.03 18 Burberry Group Plc...... 409 0.29 Iron and Steel Toys, Games and Hobbies 6 Evraz Plc...... 44 0.03 2 Games Workshop Group 16 Ferrexpo Plc...... 70 0.05 Plc...... 261 0.18 Machinery Transport - Spirax-Sarco 18 Royal Mail Plc...... 107 0.08 Engineering Plc ...... 60 0.04 Water Utilities Metals and Mining 2 Severn Trent Plc...... 61 0.04 31 Anglo American Plc ...... 1,026 0.73 5 United Utilities Group 29 BHP Group Plc...... 727 0.51 Plc...... 48 0.04 21 Rio Tinto Plc...... 1,345 0.95 30,201 21.36 Oil and Gas 154 BP Plc...... 532 0.38 United States (0.11%) 3 Royal Dutch Shell Plc Pharmaceuticals (Class A)...... 53 0.04 13 Viatris Inc ...... 158 0.11 42 Royal Dutch Shell Plc Total Common Stock... 132,337 93.62 (Class A)...... 694 0.49 Preferred Stock (1.62%) (2020: 1.14%) 29 Royal Dutch Shell Plc Germany (0.99%) (Class B)...... 457 0.32 Automobiles Oil and Gas Services 5 Volkswagen AG ...... 1,327 0.94 243 John Wood Group Plc.... 773 0.55 Household Products 72 TechnipFMC Plc...... 476 0.33 1HenkelAG&Co Other Finance KGaA...... 72 0.05 13 3i Group Plc...... 172 0.12 1,399 0.99 27 Intermediate Capital Italy (0.47%) Group Plc...... 584 0.42 Machinery Paper and Forest Products 25 Danieli & C Officine 3 Mondi Plc ...... 63 0.04 Meccaniche SpA...... 329 0.23 Personal Products Telecommunications 8 Unilever Plc 690 Telecom Italia SpA ...... 338 0.24 (Netherlands listed) ...... 376 0.26 667 0.47 4 Unilever Plc (UK listed)...... 195 0.14

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 EUR ’000 % of Shares ’000 EUR ’000 % Spain (0.16%) 6 Russell Investments Pharmaceuticals Company III plc Russell 15 Grifols SA...... 224 0.16 Investments Euro Total Preferred Stock .. 2,290 1.62 Liquidity Fund - Class R Roll-Up Shares. 5,760 4.07 Rights (0.00%) (2020: 0.00%) Italy (0.00%) 5,783 4.09 15 Snam SpA...... - 0.00 Total Investment Total Rights ...... - 0.00 Funds ...... 5,783 4.09 Total Transferable Total Investments Securities ...... 134,627 95.24 excluding Financial Derivative Instruments ...... 140,410 99.33 Investment Funds (4.09%) (2020: 5.47%) Ireland (4.09%) - Russell Investments Company III plc Russell Investments Sterling Liquidity Fund - Class R Roll-Up Shares. 23 0.02

Financial Derivative Instruments (0.04%) (2020: 0.68%) Open Futures Contracts (0.05%)

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund EUR ‘000 EUR EUR ‘000 % 136 680.66 1 of Amsterdam Index Futures Long Futures Contracts Expiring April 2021...... 4 0.00 661 6,007.09 11 of CAC 40 Index Futures Long Futures Contracts Expiring April 2021...... 6 0.01 364 14,555.58 1 of DAX Index Futures Long Futures Contracts Expiring June 2021...... 12 0.01 1,552 3,785.21 41 of Euro Stoxx 50 Index Futures Long Futures Contracts Expiring June 2021...... 34 0.02 1,340 7,879.35 17 of FTSE 100 Index Futures Long Futures Contracts Expiring June 2021...... (7) 0.00 120 23,938.99 1 of FTSE MIB Index Futures Long Futures Contracts Expiring June 2021...... 2 0.00 173 8,660.34 2 of IBEX 35 Index Futures Long Futures Contracts Expiring April 2021...... (1) 0.00

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund EUR ‘000 EUR EUR ‘000 % 336 210.22 16 of OMXS30 Index Futures Long Futures Contracts Expiring April 2021...... 5 0.00 876 9,734.71 9 of Swiss Market Index Futures Long Futures Contracts Expiring June 2021...... 13 0.01 Unrealised gain on open futures contracts...... 76 0.05 Unrealised loss on open futures contracts ...... (8) 0.00 Net unrealised gain (loss) on open futures contracts ...... 68 0.05

Open Forward Foreign Currency Exchange Contracts ((0.01)%)

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 EUR ‘000 % 16/06/2021 CHF 1,581 EUR 1,429 - 0.00 16/06/2021 CHF 425 EUR 384 - 0.00 16/06/2021 CHF 2,580 EUR 2,331 3 0.00 16/06/2021 CHF 1,581 EUR 1,430 (1) 0.00 16/06/2021 CHF 1,580 EUR 1,431 (1) 0.00 16/06/2021 CHF 1,581 EUR 1,431 (1) 0.00 16/06/2021 EUR 194 CHF 215 - 0.00 16/06/2021 EUR 217 CHF 240 - 0.00 16/06/2021 EUR 1,293 DKK 9,620 - 0.00 16/06/2021 EUR 1,293 DKK 9,620 - 0.00 16/06/2021 EUR 1,293 DKK 9,620 - 0.00 16/06/2021 EUR 1,294 DKK 9,620 - 0.00 16/06/2021 EUR 1,293 DKK 9,620 - 0.00 16/06/2021 EUR 420 GBP 360 (2) 0.00 16/06/2021 EUR 1,108 GBP 950 (6) 0.00 16/06/2021 EUR 420 GBP 360 (2) 0.00 16/06/2021 EUR 420 GBP 360 (2) 0.00 16/06/2021 EUR 420 GBP 360 (2) 0.00 16/06/2021 EUR 687 NOK 6,946 (5) (0.01) 16/06/2021 EUR 118 SEK 1,200 1 0.00 16/06/2021 GBP 320 EUR 372 3 0.00 16/06/2021 GBP 1,400 EUR 1,631 12 0.01 16/06/2021 SEK 3,990 EUR 392 (3) (0.01) Unrealised gain on open forward foreign currency exchange contracts...... 19 0.01 Unrealised loss on open forward foreign currency exchange contracts...... (25) (0.02) Net unrealised gain (loss) on open forward foreign currency exchange contracts...... (6) (0.01) Total Financial Derivative Instruments ...... 62 0.04

Fair Value Fund EUR ‘000 % Total Financial Assets at Fair Value through Profit or Loss (99.39%)...... 140,505 99.39

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Fair Value Fund EUR ‘000 % Total Financial Liabilities at Fair Value through Profit or Loss ((0.02)%) ...... (33) (0.02) Net Financial Assets at Fair Value through Profit or Loss (99.37%) ...... 140,472 99.37 Other Net Assets (0.63%) ...... 889 0.63 Net Assets...... 141,361 100.00

Abbreviation used: ADR - American Depository Receipt

%of Analysis of gross assets – (unaudited) gross assets Transferable securities admitted to an official stock exchange listing...... 68.09 Investment funds (UCITS) ...... 2.92 Exchange traded financial derivative instruments ...... 0.04 Over the counter financial derivative instruments ...... 0.01 Other assets ...... 28.94 100.00

The accompanying notes are an integral part of the financial statements.

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31 March 2021 Counterparty exposure risk (Note 12 e))

The following tables analyse the brokers/counterparties for the open financial derivative positions and the respective unrealised gains and losses and fair value.

As at 31 March 2021

Open Forward Foreign Currency Open Futures Exchange Contracts Contracts Total Broker/counterparty EUR ‘000 EUR ‘000 EUR ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Assets Liabilities Bank of New York...... - - 4 - 4 - Morgan Stanley...... 76 (8) - - 76 (8) Royal Bank of Canada ...... - - 15 (10) 15 (10) State Street Bank and Trust Company ...... - - - (4) - (4) Toronto Dominion Bank ...... - - - (3) - (3) Other* ...... - - - (8) - (8) Total financial derivative positions...... 76 (8) 19 (25) 95 (33)

As at 31 March 2020

Open Forward Foreign Currency Open Futures Exchange Contracts Contracts Total Broker/counterparty EUR ‘000 EUR ‘000 EUR ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Assets Liabilities Citibank...... - - 51 (24) 51 (24) Morgan Stanley...... 1,173 - - - 1,173 - Royal Bank of Canada ...... - - - (20) - (20) Standard Chartered Bank...... - - - (14) - (14) State Street Bank And Trust Company ...... - - - (11) - (11) Total financial derivative positions...... 1,173 - 51 (69) 1,224 (69)

* The brokers/counterparties included here are UBS AG, Bank of Montreal, Citibank and Standard Chartered Bank.

The accompanying notes are an integral part of the financial statements.

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31 March 2021 Fair Value Hierarchy (Note 12 b) i))

The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2021 and 31 March 2020.

As at 31 March 2021

Level 1 Level 2 Level 3 Total EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... 134,627 - - 134,627 Investment funds ...... - 5,783 - 5,783 Unrealised gain on open futures contracts ...... 76 - - 76 Unrealised gain on open forward foreign currency exchange contracts...... - 19 - 19 Total assets...... 134,703 5,802 - 140,505

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (8) - - (8) Unrealised loss on open forward foreign currency exchange contracts...... - (25) - (25) Total liabilities...... (8) (25) - (33)

As at 31 March 2020

Level 1 Level 2 Level 3 Total EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... 158,069 - - 158,069 Investment funds ...... - 9,339 - 9,339 Unrealised gain on open futures contracts ...... 1,173 - - 1,173 Unrealised gain on open forward foreign currency exchange contracts...... - 51 - 51 Total assets...... 159,242 9,390 - 168,632

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open forward foreign currency exchange contracts...... - (69) - (69) Total liabilities...... - (69) - (69)

The accompanying notes are an integral part of the financial statements.

108 Russell Investments Pan European Equity Fund Russell Investment Company II plc Russell Investments Pan European Equity Fund

Statement of Changes in Composition of Portfolio* (unaudited)

For the Financial year ended 31 March 2021

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. Russell Investments Pan European Equity Fund 109 Russell Investment Company II plc Russell Investments U.S. Quant Fund

Manager’s Report

Investment Manager as at 31 March 2021 Russell Investments Management, LLC

Investment Advisers as at 31 March 2021 Jacobs Levy Equity Management Inc Numeric Investors, LLC

Investment Objective Russell Investments U.S. Quant Fund (the “Fund”) seeks to achieve capital appreciation by investing primarily in U.S. equity securities, including common stock, American depositary receipts, global depositary receipts, convertibles and warrants listed, traded or dealt in on a regulated market in the U.S. The Fund will seek to achieve its investment objective by investing in derivative instruments that have as their underlying exposure the foregoing (e.g. swaps and contracts for differences) and may implement bought (long) and synthetic short (sold) positions through the use of derivatives.

Fund Performance During the financial year ended 31 March 2021, the Fund returned 58.5 per cent on a gross-of-fee basis (56.8 per cent on a net- of-fee basis), while the benchmark* returned 59.8 per cent.

Market Comment The benchmark rose 21.7 per cent in the second quarter of 2020. Despite the painful economic fallout from the lockdowns, the severe “risk-off ” market environment in the first quarter largely reversed over the second quarter. A divergence in economic fundamentals and financial market performance became pronounced. The concerted support of monetary policy and a further opening of fiscal taps drove a rapid recovery in risk appetite. For example, the S&P 500 index experienced the largest rise since the final quarter of 1998. The market also latched onto positive news regarding potential vaccines and treatments against Covid- 19. Additionally, after a record collapse in oil demand, oil prices crawled upwards over the period, largely helped by agreed production cuts. However, economic fundamentals remain largely weak in the near-term horizon, despite some green shoots engendered by some gradual geographic easing of lockdowns. Fears of a second wave of coronavirus infections, as well as escalating tensions between the US and China on trade, the origins of Covid-19 and China’s new security law on Hong Kong, remained in investors’ thoughts. The Federal Reserve (Fed) kept rates unchanged over the quarter, it continued to expand its support programmes and by doing so, “crossed a lot of red lines, that had not been crossed before”, according to Fed Chair Jerome Powell. For example, the Fed added a further USD 2.3 trillion monetary stimulus to be used as loans for small businesses and consumers, as well as for states, cities, and municipalities. The Fed also started its USD 250 billion secondary market corporate bond buying programme, as part of the March enacted CARES Act. Additionally, the US approved a USD 484 billion coronavirus relief bill. The benchmark rose 9.3 per cent in the third quarter of 2020. With lockdown restrictions easing from the end of the second quarter, risk appetite built up strongly in July and August. This was further cemented by Covid-19 vaccine hopes and stabilising oil prices. However, this “risk-on” sentiment reversed in September, as rising coronavirus cases pointed towards a second wave of infections. Volatility to the run-up to US presidential elections, further dampened investors’ mood. G4 central banks remained accommodative during this period whilst governments were tasked with figuring out new policies to support their respective nations. The Fed kept rates unchanged. Furthermore, Fed chair Jay Powell explained that the Fed adopted a monetary policy that “will likely aim to achieve inflation moderately above 2 per cent (this is now an average target rate) for some time”. Additionally, “employment can run at or above real-time estimates of its maximum level without causing concern”. This shift in policy suggested that rates will remain low for some time. However, Powell also emphasised the need for fiscal support, telling Congress that a failure by lawmakers to pass a new stimulus package will stunt US economic recovery. His concerns were well-founded, as hopes for Congress and the White House to agree on further US fiscal stimulus faded, with robust economic data watering down appetite amongst Republicans to add new fiscal support. However, Democrats are preparing a relatively smaller USD 2.4 trillion stimulus package which Democrats hope will be accepted by Republicans. The benchmark rose 13.6 per cent in the fourth quarter of 2020. Major Covid-19 vaccine breakthroughs by several prominent companies sent a wave of relief throughout markets, as investors began to believe that an end of the global pandemic was finally within reach. This development offset the negative effects on investor sentiment engendered by a new Covid-19 strain, a second wave of rising coronavirus cases and newly imposed lockdown restrictions in several countries. Alongside the positive vaccine news, political uncertainty eased in the US, with Joe Biden winning the US presidential election. The Fed kept its monetary policy held throughout the quarter but urged for more fiscal support. This comes as Treasury Secretary Steven Mnuchin unexpectedly decided to end five Fed emergency lending programmes by the end of the year, explaining that the programmes had “clearly achieved their objective”. The Fed criticised the decision urging that the funds “continue to serve their important role as a backstop for our still-strained and vulnerable economy”. Fortunately, the US Congress agreed to a USD 900 billion fiscal stimulus bill in December. US President Trump suggested he could veto the bill in favour of larger payouts (USD 2,000) to

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Manager’s Report - continued

individuals. However, Republican Senate majority leader Mitch McConnell rejected this proposal. Additionally, news that Joe Biden won the US presidential election was welcomed as it offered more political stability. Current President Donald Trump fiercely contested the results, often posting on social media (Twitter) that election fraud had occurred and even started lawsuits against various States. These lawsuits were quashed in courts and the Electoral College confirmed Biden’s win in December.

The benchmark rose 5.8 per cent in the first quarter of 2021. In January, Joe Biden was inaugurated as the new US president, with his Democratic Party securing control of Congress. He also launched a USD 1.9 trillion fiscal stimulus plan. As the quarter progressed, the Covid-19 vaccine rollout continued in earnest, lifting hopes of an end to the pandemic. This hope boosted global economic growth prospects and in turn, also increased inflation expectations. Higher inflation will open the door for higher interest rates which heightened some investor concerns. Nevertheless, with higher growth prospects and substantial fiscal support, US markets rose over the period. The US dollar strengthened over the three months and commodity prices were robust. the final fourth quarter GDP growth print indicated a robust 4.3 per cent quarter-on-quarter expansion. This comes as the Fed noted that it will allow three lending programmes, which helped combat negative economic effects of Covid-19, to expire at the end of March. This signalled confidence in the current economic recovery trajectory. However, whilst recognising the economic recovery and higher inflationary pressures, the Fed delivered a dovish monetary policy update by predicting record-low interest rates until at least 2024 and that the Fed would be “patient” in changing its monetary stance. The winding down of several Fed lending programmes was effectively replaced by Joe Biden’s USD 1.9 trillion fiscal stimulus plan which aims to prop up economic activity and unlock pent-up demand. This can be achieved for example, with the plan to send cheques of USD 1,400 to all US citizens.

General Comment on Money Managers/Performance The Fund finished behind the strong benchmark return in the second quarter of 2020. In contrast to the previous quarter, a tilt toward stocks with lower market capitalization contributed as risk sentiment improved. However, negative selection within this area of the market detracted. Positive exposure to value did not suit the market environment as growth continued to outperform. Stock selection was weakest within the information technology and communication services sectors. However, positive selection within the financials and energy sectors outweighed negative sector positioning. The Fund underperformed during the third quarter of 2020. A tilt toward stocks with low valuation held back returns. Sector allocation decisions were mixed. An underweight to the real estate sector was rewarded while an overweight to the financials sector detracted. Stock selection within the information technology, health care and consumer discretionary sectors was the primary driver of relative underperformance. The Fund finished in-line with the benchmark in the last quarter of 2020. In contrast to recent quarters, the Fund’s positive exposure to value and tilt toward stocks with lower market capitalization contributed this period. Positioning and selection within the financials (overweight), information technology (underweight) and real estate (underweight) sectors were rewarded. In contrast, allocation decisions detracted within health care (overweight) and consumer staples (overweight). Stock selection also significantly detracted within the consumer discretionary sector. The Fund outperformed the benchmark in a positive start to the year for US equities in the first quarter of 2021. Similar to the previous quarter, the Fund’s positive exposure to value and tilt toward stocks with lower market capitalization contributed this period. Stock selection within the information technology, consumer discretionary and energy sectors was the primary driver of benchmark relative outperformance.

Past performance is no indication of present or future performance. * Benchmark Source: Russell 1000 Index Net of Withholding Tax 30 per cent Russell Investments Ireland Limited May 2021

Russell Investments U.S. Quant Fund 111 Russell Investment Company II plc Russell Investments U.S. Quant Fund

Balance Sheet

As at 31 March 2021

31 March 2021 31 March 2020 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss (Note 2) ...... 225,855 156,288

Cash at bank (Note 3)...... 840 1,339 Cash held with brokers and counterparties for open financial derivative instruments (Note 3)...... 403 1,220

Debtors: Receivable for investments sold ...... - 524 Receivable on fund shares issued ...... 1,724 419 Dividends receivable...... 134 125 228,956 159,915 Liabilities

Creditors – amounts falling due within one financial year: Payable for investments purchased...... (3) (560) Payable on fund shares redeemed...... (293) (20) Management fees payable...... (214) (146) Depositary fees payable...... (9) (6) Sub-custodian fees payable...... (6) (7) Administration fees payable ...... (16) (3) Audit fees payable ...... (14) (14) (555) (756)

Net assets attributable to redeemable participating shareholders ...... 228,401 159,159

The accompanying notes are an integral part of the financial statements.

112 Russell Investments U.S. Quant Fund Russell Investment Company II plc Russell Investments U.S. Quant Fund

Profit and Loss Account

For the financial year ended 31 March 2021

2021 2020 USD ‘000 USD ‘000 Income Dividends...... 3,184 3,523

Net gain (loss) on investment activities (Note 4) ...... 88,350 (16,307)

Total investment income (expense)...... 91,534 (12,784)

Expenses Management fees (Note 5) ...... (2,222) (2,091) Depositary fees (Note 6)...... (21) (25) Sub-custodian fees (Note 6) ...... (20) (31) Administration and transfer agency fees (Note 6)...... (70) (78) Audit fees (Note 6) ...... (14) (14) Professional fees...... (26) (14) Other fees...... (34) (30) Total operating expenses ...... (2,407) (2,283)

Net income (expense)...... 89,127 (15,067)

Finance costs Distributions (Note 8)...... (115) (335) Profit (loss) for the financial year before taxation...... 89,012 (15,402)

Taxation (Note 9) Withholding tax ...... (1,063) (1,006)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 87,949 (16,408)

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

Russell Investments U.S. Quant Fund 113 Russell Investment Company II plc Russell Investments U.S. Quant Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

2021 2020 USD ‘000 USD ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 87,949 (16,408)

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 115 335 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10)...... (18,822) (25,030)

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... 69,242 (41,103)

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 159,159 200,262

End of financial year ...... 228,401 159,159

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Transferable Securities (95.75%) 1 L3Harris Technologies (2020: 89.75%) Inc...... 258 0.11 Common Stock (95.75%) (2020: 89.75%) 5 Lockheed Martin Corp .. 1,736 0.76 Bermuda (1.11%) 1 Northrop Grumman Agriculture Corp...... 234 0.10 11 Bunge Ltd...... 855 0.37 4 Raytheon Technologies Corp...... 280 0.12 Chemicals - Teledyne Technologies 6 Axalta Coating Systems Inc...... 130 0.06 Ltd ...... 173 0.08 Agriculture Commercial Services and Supplies 21 Archer-Daniels-Midland 1 IHS Markit Ltd ...... 116 0.05 Co ...... 1,175 0.51 Computers and Peripherals Airlines 3 Genpact Ltd ...... 140 0.06 2 Delta Air Lines Inc ...... 87 0.04 Insurance Auto Components 15 Arch Capital Group Ltd. 572 0.25 13 Gentex Corp ...... 461 0.20 2 Athene Holding Ltd...... 109 0.05 42 Goodyear Tire & 4 RenaissanceRe Rubber Co...... 740 0.33 Holdings Ltd...... 564 0.25 2,529 1.11 Automobiles 6 Cummins Inc ...... 1,499 0.66 Cayman Islands (0.08%) 250 Ford Motor Co...... 3,058 1.34 Pharmaceuticals 43 General Motors Co ...... 2,474 1.08 4 Herbalife Nutrition Ltd.. 187 0.08 1 PACCAR Inc ...... 109 0.05 Ireland (2.10%) 1 Tesla Inc...... 762 0.33 Building Products Banks 8 Johnson Controls 23 Bank of America Corp... 883 0.39 International Plc ...... 457 0.20 35 Bank of New York Chemicals Mellon Corp ...... 1,656 0.73 1 Linde Plc (US listed) ..... 441 0.19 24 Citigroup Inc ...... 1,750 0.77 7 Citizens Financial Computers and Peripherals Group Inc...... 300 0.13 4 Accenture Plc ...... 1,056 0.46 2 Comerica Inc ...... 132 0.06 Health Care Equipment and Supplies 8 Fifth Third Bancorp...... 294 0.13 7 Medtronic Plc ...... 793 0.35 2 First Republic Bank...... 394 0.17 7 Flagstar Bancorp Inc ..... 297 0.13 Miscellaneous Manufacturers 1 Goldman Sachs Group 7 Eaton Corp Plc ...... 973 0.43 Inc...... 236 0.10 1 Trane Technologies Plc.. 137 0.06 4 Hilltop Holdings Inc...... 123 0.05 Pharmaceuticals 19 Huntington Bancshares 21 Alkermes Plc ...... 397 0.17 Inc...... 306 0.13 3 Jazz Pharmaceuticals 9 JPMorgan Chase & Co .. 1,352 0.59 Plc...... 537 0.24 30 KeyCorp ...... 599 0.26 4,791 2.10 2 M&T Bank Corp ...... 319 0.14 2 PNC Financial Services Jersey, Channel Islands (0.09%) Group Inc...... 410 0.18 Health Care Equipment and Supplies 14 Regions Financial Corp. 291 0.13 2 Novocure Ltd...... 209 0.09 2 State Street Corp...... 136 0.06 Switzerland (0.04%) - SVB Financial Group .... 273 0.12 Insurance 8 Truist Financial Corp..... 474 0.21 - Chubb Ltd...... 80 0.04 9 US Bancorp ...... 495 0.22 United States (92.33%) 15 Wells Fargo & Co ...... 582 0.25 Aerospace and Defence 5 Zions Bancorp NA...... 275 0.12 - General Dynamics Beverages Corp...... 58 0.03 20 Coca-Cola Co ...... 1,044 0.46

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % - Constellation Brands 2 Service Corp Inc...... 116 0.05 International ...... 85 0.04 3 Monster Beverage Corp. 252 0.11 1 Strategic Education Inc . 78 0.03 8 PepsiCo Inc...... 1,125 0.49 1 TriNet Group Inc ...... 110 0.05 1 Verisk Analytics Inc...... 249 0.11 Biotechnology 1 Alexion Computers and Peripherals Pharmaceuticals Inc...... 172 0.08 84 Apple Inc ...... 10,305 4.51 2 Amgen Inc ...... 481 0.21 3 Cognizant Technology 1 Biogen Inc ...... 191 0.08 Solutions Corp...... 202 0.09 5 Bluebird Bio Inc ...... 151 0.07 11 Dell Technologies Inc .... 934 0.41 29 Corteva Inc ...... 1,326 0.58 70 Hewlett Packard 30 Gilead Sciences Inc ...... 1,939 0.85 Enterprise Co...... 1,104 0.48 - Illumina Inc ...... 89 0.04 79 HP Inc...... 2,507 1.10 7 Incyte Corp...... 579 0.25 2 International Business 1 Regeneron Machines Corp ...... 310 0.13 Pharmaceuticals Inc...... 471 0.21 - Leidos Holdings Inc ...... 39 0.02 5 United Therapeutics 2 MAXIMUS Inc...... 155 0.07 Corp...... 871 0.38 9 NetApp Inc ...... 680 0.30 4 Vertex Pharmaceuticals 8 Pure Storage Inc ...... 175 0.08 Inc...... 806 0.35 3 Tenable Holdings Inc..... 100 0.04 14 Western Digital Corp..... 942 0.41 Building Products - Fortune Brands Home Construction and Engineering & Security Inc ...... 58 0.03 3 frontdoor Inc...... 154 0.07 5 Owens Corning...... 439 0.19 Distributors Chemicals 4 Copart Inc...... 366 0.16 1 Air Products & 6 Fastenal Co ...... 305 0.13 Chemicals Inc...... 162 0.07 1 WESCO International 3 Ashland Global Inc...... 109 0.05 Holdings Inc ...... 221 0.10 - WW Grainger Inc ...... 96 0.04 1 Celanese Corp ...... 184 0.08 Diversified Financials 6 Chemours Co...... 173 0.08 19 Ally Financial Inc ...... 871 0.38 21 Dow Inc ...... 1,360 0.60 - BlackRock Inc ...... 179 0.08 1 Ecolab Inc...... 205 0.09 10 Capital One Financial 12 Element Solutions Inc ... 216 0.09 Corp...... 1,255 0.55 7 Huntsman Corp ...... 210 0.09 2 Charles Schwab Corp .... 98 0.04 1 PPG Industries Inc...... 108 0.05 - CME Group Inc...... 43 0.02 2 Sherwin-Williams Co .... 1,446 0.63 5 Interactive Brokers Commercial Services and Supplies Group Inc...... 340 0.15 - AMERCO...... 93 0.04 10 Intercontinental 5 Automatic Data Exchange Inc ...... 1,112 0.49 Processing Inc...... 925 0.40 5 Jefferies Financial 1 Cintas Corp...... 349 0.15 Group Inc...... 143 0.06 1 Equifax Inc ...... 204 0.09 3 Mastercard Inc...... 910 0.40 1 FleetCor Technologies 2 PennyMac Financial Inc...... 250 0.11 Services Inc ...... 161 0.07 1 Gartner Inc...... 163 0.07 4 Santander Consumer 1 Global Payments Inc...... 230 0.10 USA Holdings Inc ...... 104 0.05 7 Green Dot Corp ...... 299 0.13 18 SLM Corp...... 331 0.14 1 Insperity Inc...... 106 0.05 30 Synchrony Financial...... 1,219 0.53 4 ManpowerGroup Inc...... 352 0.15 - T Rowe Price Group 1 Medifast Inc...... 157 0.07 Inc...... 48 0.02 2 PayPal Holdings Inc ...... 563 0.25 5 Visa Inc...... 999 0.44 1 Quanta Services Inc...... 51 0.02 Electric Utilities 5 Rollins Inc ...... 183 0.08 3 AES Corp ...... 88 0.04 - S&P Global Inc ...... 59 0.03

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % - American Electric Hand and Machine Tools Power Co Inc ...... 24 0.01 1 Stanley Black & Decker - Consolidated Edison Inc...... 103 0.05 Inc...... 3 0.00 Health Care Equipment and Supplies 1 Dominion Energy Inc .... 69 0.03 9 Abbott Laboratories...... 1,064 0.47 - Duke Energy Corp...... 35 0.02 - Align Technology Inc .... 81 0.04 5 Exelon Corp...... 195 0.09 2 Baxter International Inc. 180 0.08 3 Hawaiian Electric 4 Boston Scientific Corp.. 141 0.06 Industries Inc ...... 110 0.05 - Cooper Cos Inc...... 71 0.03 3 NextEra Energy Inc ...... 200 0.09 1 Danaher Corp ...... 300 0.13 9 NRG Energy Inc...... 349 0.15 2 Edwards 5 Pinnacle West Capital Lifesciences Corp...... 156 0.07 Corp...... 426 0.19 1 Intuitive Surgical Inc ..... 300 0.13 5 Portland General 1 ResMed Inc...... 85 0.04 Electric Co...... 213 0.09 1 Stryker Corp ...... 255 0.11 1 Public Service 2 Thermo Fisher Enterprise Group Inc ..... 35 0.02 Scientific Inc ...... 935 0.41 1 Sempra Energy ...... 121 0.05 - Varian Medical Systems - Southern Co...... 27 0.01 Inc...... 58 0.02 47 Vistra Energy Corp...... 828 0.36 - West Pharmaceutical 5 WEC Energy Group Services Inc ...... 43 0.02 Inc...... 483 0.21 - Xcel Energy Inc...... 27 0.01 Health Care Providers and Services 7 Anthem Inc...... 2,429 1.06 Electrical Equipment 1 Encompass Health 3 Agilent Technologies Corp...... 84 0.04 Inc...... 423 0.18 5 Humana Inc ...... 2,022 0.89 2 AMETEK Inc ...... 188 0.08 - Laboratory Corp of 2 Atkore International America Holdings...... 47 0.02 Group Inc...... 129 0.06 3 Molina Healthcare Inc... 642 0.28 5 Avnet Inc...... 225 0.10 - Quest Diagnostics Inc.... 71 0.03 4 Emerson Electric Co...... 381 0.17 2 UnitedHealth Group 1 Fortive Corp...... 85 0.04 Inc...... 855 0.37 7 Honeywell International Inc...... 1,591 0.70 Home Builders 1 Roper Technologies Inc . 236 0.10 5 PulteGroup Inc ...... 272 0.12 Entertainment Home Furnishings 3 Madison Square Garden 1 Dolby Laboratories Inc.. 77 0.04 Co ...... 519 0.23 6 Sonos Inc ...... 236 0.10 Environmental Control Hotels, Restaurants and Leisure 1 Republic Services Inc.... 90 0.04 2 Harley-Davidson Inc...... 95 0.04 3 Waste Management Inc . 359 0.16 Household Products Food Products - Central Garden & Pet 16 Albertsons Cos Inc ...... 303 0.13 Co (Non-voting rights) .. 11 0.00 1 General Mills Inc...... 66 0.03 2 Church & Dwight Co 5 Hershey Co ...... 747 0.33 Inc...... 161 0.07 2 Hormel Foods Corp...... 101 0.04 1 Clorox Co ...... 166 0.07 19 Kroger Co ...... 690 0.30 2 Kimberly-Clark Corp .... 227 0.10 13 Mondelez International 3 Spectrum Brands Inc...... 750 0.33 Holdings Inc ...... 288 0.13 8 Pilgrim’s Pride Corp ..... 202 0.09 Insurance 1 Sanderson Farms Inc ..... 88 0.04 4 Aflac Inc...... 217 0.10 2 Sysco Corp ...... 174 0.07 15 Allstate Corp ...... 1,669 0.73 6 Tyson Foods Inc...... 471 0.21 3 Berkshire Hathaway Inc Gas Utilities (Class B)...... 756 0.33 3 UGI Corp...... 124 0.05

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % 12 Brighthouse Financial 87 General Electric Co ...... 1,146 0.50 Inc...... 532 0.23 1 Illinois Tool Works Inc .. 246 0.11 7 First American 10 Textron Inc...... 570 0.25 Financial Corp ...... 417 0.18 Office Electronics 5 Hartford Financial 10 Xerox Holdings Corp .... 248 0.11 Services Group Inc...... 306 0.13 2 Lincoln National Corp... 148 0.07 Oil and Gas - Markel Corp ...... 262 0.11 26 APA Corp ...... 458 0.20 1 Marsh & McLennan 7 Chevron Corp ...... 750 0.33 Cos Inc...... 72 0.03 7 ConocoPhillips ...... 360 0.16 6 MetLife Inc...... 383 0.17 5 EOG Resources Inc ...... 334 0.15 1 Progressive Corp ...... 84 0.04 6 Exxon Mobil Corp...... 366 0.16 7 Reinsurance Group of 22 Occidental Petroleum America Inc ...... 835 0.37 Corp...... 587 0.26 8 Travelers Cos Inc...... 1,211 0.53 7 Pioneer Natural 3 Unum Group...... 96 0.04 Resources Co...... 1,177 0.51 9 Voya Financial Inc ...... 559 0.24 Oil and Gas Services Internet Software and Services 15 Baker Hughes a GE Co . 319 0.14 2 Alphabet Inc (Class A) .. 3,832 1.68 Personal Products 3 Alphabet Inc (Class C) .. 5,978 2.62 1 Colgate-Palmolive Co.... 91 0.04 3 Amazon.com Inc ...... 9,988 4.37 1 Estee Lauder Cos Inc..... 285 0.13 6 Cargurus Inc ...... 132 0.06 6 Procter & Gamble Co .... 832 0.36 12 eBay Inc...... 734 0.32 13 Facebook Inc...... 3,873 1.69 Pharmaceuticals 10 GoDaddy Inc ...... 741 0.32 6 AbbVie Inc ...... 643 0.28 2 Netflix Inc...... 954 0.42 7 AmerisourceBergen 5 NortonLifeLock Inc...... 109 0.05 Corp...... 886 0.39 4 VeriSign Inc...... 866 0.38 - Becton Dickinson and 8 Yelp Inc...... 326 0.14 Co ...... 132 0.06 45 Bristol-Myers Squibb Machinery Co ...... 2,827 1.24 7 AGCO Corp...... 1,045 0.46 5 Cardinal Health Inc ...... 279 0.12 1 Caterpillar Inc...... 291 0.13 1 Cigna Corp ...... 281 0.12 4 Deere & Co...... 1,410 0.62 2 CVS Health Corp ...... 123 0.05 - Dover Corp ...... 62 0.02 2 Eli Lilly & Co...... 310 0.13 1 IDEX Corp ...... 131 0.06 13 Johnson & Johnson...... 2,094 0.92 1 Ingersoll Rand Inc ...... 49 0.02 5 McKesson Corp...... 1,089 0.48 1 Nordson Corp ...... 111 0.05 40 Merck & Co Inc...... 3,088 1.35 1 Terex Corp...... 65 0.03 17 Pfizer Inc ...... 607 0.27 3 Toro Co...... 316 0.14 31 Viatris Inc ...... 432 0.19 6 Vertiv Holdings Co...... 124 0.05 2 Zoetis Inc...... 369 0.16 1 Xylem Inc...... 94 0.04 Pipelines Media 16 Targa Resources Corp ... 512 0.22 12 Altice USA Inc ...... 375 0.16 - Cable One Inc...... 603 0.26 Real Estate 2Charter 4 CBRE Group Inc ...... 347 0.15 Communications Inc...... 1,276 0.56 5 Kennedy-Wilson 11 Comcast Corp...... 615 0.27 Holdings Inc ...... 97 0.04 4 Fox Corp (Class A)...... 134 0.06 Real Estate Investment Trust 5 Fox Corp (Class C)...... 165 0.07 - American Tower Corp ... 131 0.06 14 TEGNA Inc ...... 261 0.12 1 Crown Castle 8 Walt Disney Co...... 1,477 0.65 International Corp ...... 139 0.06 Miscellaneous Manufacturers - Digital Realty Trust Inc . 8 0.00 4 3M Co...... 670 0.29 1 Equinix Inc ...... 558 0.24 1 AO Smith Corp...... 46 0.02 7 Equity LifeStyle 1 Carlisle Cos Inc ...... 232 0.10 Properties Inc...... 440 0.19

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % 3 First Industrial Realty 1 Broadridge Financial Trust Inc ...... 140 0.06 Solutions Inc...... 128 0.06 21 Gaming and Leisure 1 Cadence Design Properties Inc...... 875 0.38 Systems Inc...... 111 0.05 5 Invitation Homes Inc ..... 160 0.07 9 Cerner Corp...... 674 0.29 6 MGM Growth 1 Citrix Systems Inc ...... 63 0.03 Properties LLC ...... 211 0.09 4 CommVault Systems - Piedmont Office Realty Inc...... 266 0.12 Trust Inc ...... 10 0.01 4 Cornerstone OnDemand 3 Prologis Inc...... 319 0.14 Inc...... 172 0.07 1 Public Storage...... 218 0.10 28 Dropbox Inc...... 742 0.32 4 Spirit Realty Capital 14 Electronic Arts Inc...... 1,924 0.84 Inc...... 170 0.08 3 Fidelity National 5 VICI Properties Inc ...... 131 0.06 Information Services Inc...... 426 0.19 Retail Trade 3 Fiserv Inc...... 330 0.14 1 AutoZone Inc...... 1,070 0.47 3 Intuit Inc ...... 1,235 0.54 7 Costco Wholesale Corp. 2,370 1.04 2 Jack Henry & 1 Darden Restaurants Inc . 129 0.06 Associates Inc...... 226 0.10 1 Dollar General Corp...... 261 0.11 49 Microsoft Corp ...... 11,636 5.09 1 Domino’s Pizza Inc ...... 386 0.17 6 Nutanix Inc...... 156 0.07 5 Home Depot Inc ...... 1,502 0.66 3 Paychex Inc...... 334 0.15 2 Lowe’s Cos Inc...... 391 0.17 2 salesforce.com Inc...... 379 0.17 4 Rush Enterprises Inc...... 185 0.08 1 Synopsys Inc...... 268 0.12 2 Starbucks Corp ...... 195 0.08 3 Take-Two Interactive 2 Target Corp...... 333 0.15 Software Inc...... 469 0.21 1 TJX Cos Inc...... 108 0.05 6 Verint Systems Inc...... 272 0.12 3 Walgreens Boots Alliance Inc ...... 191 0.08 Telecommunications 7 Walmart Inc ...... 971 0.42 16 AT&T Inc ...... 475 0.21 1 Wingstop Inc ...... 135 0.06 5 Ciena Corp...... 281 0.12 11 Cisco Systems Inc ...... 566 0.25 Savings and Loans 30 CommScope Holding 13 People’s United Co Inc ...... 463 0.20 Financial Inc ...... 235 0.10 4 Corning Inc...... 164 0.07 Semiconductor Equipment and Products 10 EchoStar Corp ...... 243 0.11 1 Advanced Micro 21 Juniper Networks Inc..... 536 0.24 Devices Inc ...... 109 0.05 18 Telephone & Data 4 Applied Materials Inc.... 562 0.25 Systems Inc...... 414 0.18 1 Broadcom Inc ...... 318 0.14 3 T-Mobile US Inc...... 302 0.13 6 Cirrus Logic Inc ...... 532 0.23 2 United States Cellular 38 Intel Corp...... 2,456 1.08 Corp...... 84 0.04 3 Kulicke & Soffa 11 Verizon Industries Inc ...... 146 0.06 Communications Inc...... 642 0.28 1 Lam Research Corp...... 304 0.13 Textile and Apparel 5 Micron Technology Inc.. 486 0.21 2 NIKE Inc ...... 285 0.12 2 NVIDIA Corp...... 981 0.43 14 Qualcomm Inc ...... 1,828 0.80 Transport 5 Synaptics Inc ...... 705 0.31 2 CH Robinson 4 Texas Instruments Inc.... 707 0.31 Worldwide Inc ...... 180 0.08 3 CSX Corp ...... 281 0.12 Software 7 Expeditors International 9 Activision Blizzard Inc.. 828 0.36 of Washington Inc...... 723 0.32 4 Adobe Inc ...... 2,000 0.88 - FedEx Corp...... 51 0.02 2 Akamai Technologies 1 JB Hunt Transport Inc...... 207 0.09 Services Inc ...... 231 0.10 4 Box Inc ...... 100 0.04 1 Kansas City Southern.... 143 0.06 1 Norfolk Southern Corp.. 219 0.10

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Number Fair Value Fund of Shares ’000 USD ’000 % 1 Old Dominion Freight Line Inc...... 310 0.13 2 Union Pacific Corp...... 451 0.20 3 United Parcel Service Inc...... 478 0.21 Water Utilities 2 American Water Works Co Inc ...... 331 0.14 210,887 92.33 Total Common Stock... 218,683 95.75 Total Transferable Securities ...... 218,683 95.75

Investment Funds (3.13%) (2020: 8.26%) Ireland (3.13%) 7 Russell Investments Company III plc Russell Investments U.S. Dollar Cash Fund II - Class R Roll-Up Shares ...... 7,141 3.13 Total Investment Funds ...... 7,141 3.13 Total Investments excluding Financial Derivative Instruments ...... 225,824 98.88

Financial Derivative Instruments (0.01%) (2020: 0.19%) Open Futures Contracts (0.01%)

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund USD ‘000 USD USD ‘000 % 7,507 3,951.25 38 of S&P 500 E Mini Index Futures Long Futures Contracts Expiring June 2021...... 31 0.01 Net unrealised gain (loss) on open futures contracts ...... 31 0.01 Total Financial Derivative Instruments ...... 31 0.01

Fair Value Fund USD ‘000 % Total Financial Assets at Fair Value through Profit or Loss (98.89%)...... 225,855 98.89 Other Net Assets (1.11%) ...... 2,546 1.11 Net Assets...... 228,401 100.00

The accompanying notes are an integral part of the financial statements.

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31 March 2021

%of Analysis of gross assets – (unaudited) gross assets Transferable securities admitted to an official stock exchange listing...... 95.51 Investment funds (UCITS) ...... 3.12 Exchange traded financial derivative instruments ...... 0.02 Other assets ...... 1.35 100.00

Counterparty exposure risk (Note 12 e))

The following tables analyse the brokers/counterparties for the open financial derivative positions and the respective unrealised gains and losses and fair value.

As at 31 March 2021

Open Futures Contracts Total Broker/counterparty USD ‘000 USD ‘000 Unrealised Fair Value Gains Losses Assets Liabilities Bank of America Merrill Lynch...... 31 - 31 - Total financial derivative positions...... 31 - 31 -

As at 31 March 2020

Open Futures Contracts Total Broker/counterparty USD ‘000 USD ‘000 Unrealised Fair Value Gains Losses Assets Liabilities Bank of America Merrill Lynch...... 307 - 307 - Total financial derivative positions...... 307 - 307 -

Fair Value Hierarchy (Note 12 b) i))

The following tables analyse within the fair value hierarchy the Fund’s financial assets (by investment type) measured at fair value at 31 March 2021 and 31 March 2020. As at 31 March 2021

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... 218,683 - - 218,683 Investment funds ...... - 7,141 - 7,141 Unrealised gain on open futures contracts ...... 31 - - 31 Total assets...... 218,714 7,141 - 225,855

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021 As at 31 March 2020

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... 142,842 - - 142,842 Investment funds ...... - 13,139 - 13,139 Unrealised gain on open futures contracts ...... 307 - - 307 Total assets...... 143,149 13,139 - 156,288

The accompanying notes are an integral part of the financial statements.

122 Russell Investments U.S. Quant Fund Russell Investment Company II plc Russell Investments U.S. Quant Fund

Statement of Changes in Composition of Portfolio* (unaudited)

For the Financial year ended 31 March 2021

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. Russell Investments U.S. Quant Fund 123 Russell Investment Company II plc Russell Investments World Equity Fund

Manager’s Report

Investment Manager as at 31 March 2021 Russell Investments Limited

Investment Advisers as at 31 March 2021 Coupland Cardiff Asset Management LLP Fiera Capital Corp INVESCO Asset Management Limited J O Hambro Capital Management Limited Nissay Asset Management Corp Numeric Investors, LLC Sanders Capital, LLC Wellington Management International Limited

Investment Objective Russell Investments World Equity Fund (the “Fund”) seeks to achieve capital appreciation by investing predominantly in equity securities, including common stock, convertibles and warrants, listed, traded or dealt in on any regulated market worldwide. The Fund may also invest in new issues for which application for listing on a regulated market will be sought. The Fund may hold not more than 20 per cent of its net assets in equity securities of companies whose securities are listed, traded or dealt in on any regulated market in the Emerging Markets (EM). The Fund will not be concentrating on any specific markets or industry sectors but will pursue a policy of active stock, sector and country allocation on the Regulated Markets in which it invests.

Fund Performance During the financial year ended 31 March 2021, the Fund returned 58.3 per cent on a gross-of-fee basis (56.8 per cent on a net- of-fee basis), while the benchmark* returned 54.0 per cent.

Market Comment The benchmark surged 19.4 per cent in the second quarter of 2020. Despite the painful economic fallout from the lockdowns, the severe “risk-off ” market environment in the first quarter largely reversed over the second quarter. A divergence in economic fundamentals and financial market performance became pronounced. The concerted support of monetary policy and a further opening of fiscal taps drove a rapid recovery in risk appetite. For example, the S&P 500 index experienced the largest rise since the final quarter of 1998. The market also latched onto positive news regarding potential vaccines and treatments against Covid- 19. Additionally, after a record collapse in oil demand, oil prices crawled upwards over the period, largely helped by agreed production cuts. However, economic fundamentals remain largely weak in the near-term horizon, despite some green shoots engendered by some gradual geographic easing of lockdowns. Fears of a second wave of coronavirus infections, as well as escalating tensions between the US and China on trade, the origins of Covid-19 and China’s new security law on Hong Kong, remained in investors’ thoughts. The benchmark increased 7.9 per cent in aggregate during the third quarter of 2020. With lockdown restrictions easing from the end of the second quarter, risk appetite built up strongly in July and August. This was further cemented by Covid-19 vaccine hopes and stabilising oil prices. However, this “risk-on” sentiment reversed in September, as rising coronavirus cases pointed towards a second wave of infections. Brexit uncertainties and volatility to the run-up to US presidential elections, further dampened investors’ mood. G4 central banks remained accommodative during this period whilst governments were tasked with figuring out new policies to support their respective nations. Over the period, oil prices edged slightly higher whilst the US dollar weakened. The US Federal Reserve (Fed) kept rates unchanged on the back of this encouraging economic data set. Furthermore, Fed chair Jay Powell explained that the Fed adopted a monetary policy that “will likely aim to achieve inflation moderately above 2 per cent (this is now an average target rate) for some time”. Additionally, “employment can run at or above real-time estimates of its maximum level without causing concern”. This shift in policy suggested that rates will remain low for some time. Across the pond, the Bank of England (BoE) kept its monetary policy unchanged and reassured markets that the central bank will remain in its emergency policy mode until the effects of the coronavirus on the economy had truly passed. Early in the quarter, BoE governor Andrew Bailey advised that negative interest rates were “in the toolbox” but ruled out the use of negative interest rates in the near future. This comes as UK Chancellor Rishi Sunak announced plans to replace the UK’s furlough scheme with a German style wage subsidy plan, in order to support the jobs market. Meanwhile, the European Central Bank (ECB) considered for the first time, similarly to the Fed, to overshoot its inflation target. ECB president Christine Lagarde explained that “such a strategy can strengthen the capacity of monetary policy to stabilise the economy when faced with the lower bound”. EU leaders also agreed on the framework to a historic EUR 750 billion stimulus plan early in the quarter. This was further boosted by France and Germany proposing an additional EUR 500 billion to the Eurozone Recovery Fund.

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Manager’s Report - continued

The benchmark surged 14.0 per cent in the fourth quarter of 2020, a stark contrast to the sharp decline of 21.1 per cent in the first quarter of the year. Major Covid-19 vaccine breakthroughs by several prominent companies sent a wave of relief throughout markets, as investors began to believe that an end of the global pandemic was finally within reach. This development offset the negative effects on investor sentiment engendered by a new Covid-19 strain, a second wave of rising coronavirus cases and newly imposed lockdown restrictions in several countries. Alongside the positive vaccine news, political uncertainty eased in the US, with Joe Biden winning the US presidential election and in Europe, where the UK and the European Union (EU) agreed upon a Brexit trade deal. Over the period, oil prices rose meaningfully whilst the US dollar weakened. The Fed kept its monetary policy held throughout the quarter but urged for more fiscal support. Fortunately, the US Congress agreed to a USD 900 billion fiscal stimulus bill in December. Additionally, news that Joe Biden won the US presidential election was welcomed as it offered more political stability. Across the pond and after a protracted affair, the UK and the EU finally agreed upon a Brexit trade deal in the latter stages of December. Meanwhile, the BoE kept its interest rate unchanged but added another GBP 150 billion to its bond- buying programme, pushing it to a total of GBP 875 billion. The ECB also expanded its emergency bond-buying programme by EUR 500 billion in December - taking its total value to EUR 1.85 trillion and extended it to at least the end of March 2022.

The benchmark increased 4.9 per cent in the first quarter of 2021. In January, Joe Biden was inaugurated as the new US president, with his Democratic Party securing control of Congress. He also launched a USD 1.9 trillion fiscal stimulus plan. As the quarter progressed, the Covid-19 vaccine rollout continued in earnest in different parts of the world, lifting hopes of an end to the pandemic. This hope boosted global economic growth prospects and in turn, also increased inflation expectations. Higher inflation will open the door for higher interest rates which heightened some investor concerns. Nevertheless, with higher growth prospects and substantial monetary and fiscal support, equity markets rose over the period. The US dollar strengthened over the three months and commodity prices were robust. The winding down of several Fed lending programmes was effectively replaced by Joe Biden’s USD 1.9 trillion fiscal stimulus plan which aims to prop up economic activity and unlock pent-up demand. This can be achieved for example, with the plan to send cheques of USD 1,400 to all US citizens. The BoE kept its monetary policy unchanged. Whilst the bank said that the outlook for the UK economy “remains unusually uncertain” – it projected that UK GDP would recover towards pre-Covid-19 levels in 2021 and that inflation would rise towards the BoE’s 2.0 per cent target in the spring. Meanwhile, UK chancellor Rishi Sunak delivered his budget and extended coronavirus support measures. The ECB kept its interest rate unchanged but stepped up its weekly emergency bond-buying programme (above the EUR 18.0 billion weekly average since the programme started last year), to contain adverse effects of recent market volatility.

General Comment on Money Managers/Performance The Fund was positive in absolute terms but finished behind the benchmark in the second quarter of 2020. In factor performance, whilst an overweight allocation to the small-cap spectrum was positive, the underweight allocation to momentum negated this effect. In sectors, stock selection within industrials (overweight Grace Technology) and an underweight allocation to consumer staples, drove performance. This was offset, however, by overall stock positioning within the health care (overweight Roche Holdings, overweight Pfizer), communication services and technology (underweight Apple, underweight Shopify) sectors. In regional performance, holdings in Japan added most value, whilst those in the US detracted. The Fund outperformed the benchmark in the third quarter of 2020. In factor performance, an underweight to yield and overweight to volatility, suited the prevailing market environment. In sectors, stock selection within technology (TSMC, freee K.K.) and industrials (Vestas Wind Systems), drove performance. An underweight to the energy sector was also positive. This was moderated however, by stock selection within the communication services (Telefonica, Orange) and materials sectors. In regions, an overweight allocation to emerging markets and stock selection in Japan generated gains. These were slightly offset by holdings within Europe. The Fund outperformed the benchmark in the fourth quarter of 2020. In factor performance, overweight tilts towards deeper value and small caps, were suited to the prevailing market environment. In sectors, strong gains were generated through stock selection within the technology (e.g. overweight Samsung, overweight TSMC) and financials (e.g. overweight Barclays, overweight BNP Paribas) sectors. These gains were slightly offset by names within consumer discretionary (e.g. underweight Tesla, overweight Alibaba). Within regions, an overweight allocation to Emerging Markets and holdings in the UK and Europe also had a positive effect. The Fund outperformed the benchmark in the first quarter of 2021. In factor performance, overweight tilts towards deeper value, volatility and the small-cap spectrum, drove positive returns. In sectors, an overweight allocation to financials and an underweight allocation to consumer staples, generated gains. Stock selection within the communication services and consumer discretionary (e.g. H.I.S. Co, Lennar Corporation) sectors also had a positive effect. This was slightly offset by holdings within real estate. In regions, holdings in the US, Japan and Europe (including the UK) added value. This was slightly negated by holdings in Asia Pacific.

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Manager’s Report - continued

Past performance is no indication of present or future performance. * Benchmark Source: MSCI World Net

Russell Investments Ireland Limited May 2021

126 Russell Investments World Equity Fund Russell Investment Company II plc Russell Investments World Equity Fund

Balance Sheet

As at 31 March 2021

31 March 2021 31 March 2020 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss (Note 2) ...... 2,013,663 1,740,285

Cash at bank (Note 3)...... 10,289 24,513 Cash held with brokers and counterparties for open financial derivative instruments (Note 3)...... 72,551 59,762

Debtors: Receivable for investments sold ...... 308 583 Receivable on fund shares issued ...... 1,256 45,442 Dividends receivable...... 5,228 5,426 2,103,295 1,876,011 Liabilities Financial liabilities at fair value through profit or loss (Note 2)...... (11,796) (34,206)

Creditors – amounts falling due within one financial year: Payable for investments purchased...... (306) - Payable on fund shares redeemed...... (1,324) (1,307) Distributions payable on income share classes...... (420) (548) Management fees payable...... (1,938) (1,664) Depositary fees payable...... (84) (66) Sub-custodian fees payable...... (59) (79) Administration fees payable ...... (114) (28) Audit fees payable ...... (25) (27) Other fees payable ...... (38) (6) (16,104) (37,931)

Net assets attributable to redeemable participating shareholders ...... 2,087,191 1,838,080

The accompanying notes are an integral part of the financial statements.

Russell Investments World Equity Fund 127 Russell Investment Company II plc Russell Investments World Equity Fund

Profit and Loss Account

For the financial year ended 31 March 2021

2021 2020 USD ‘000 USD ‘000 Income Dividends...... 39,607 46,674 Interest income ...... - 337 39,607 47,011

Net gain (loss) on investment activities (Note 4) ...... 860,586 (310,791)

Total investment income (expense)...... 900,193 (263,780)

Expenses Management fees (Note 5) ...... (20,981) (21,477) Depositary fees (Note 6)...... (214) (260) Sub-custodian fees (Note 6) ...... (138) (270) Administration and transfer agency fees (Note 6)...... (431) (455) Audit fees (Note 6) ...... (25) (27) Professional fees...... (58) (46) Other fees...... (316) (245) Total operating expenses ...... (22,163) (22,780)

Net income (expense)...... 878,030 (286,560)

Finance costs Distributions (Note 8)...... (12,854) (19,731) Profit (loss) for the financial year before taxation...... 865,176 (306,291)

Taxation (Note 9) Withholding tax ...... (5,750) (6,630)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 859,426 (312,921)

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

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Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

2021 2020 USD ‘000 USD ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 859,426 (312,921)

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 11,732 18,055 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10)...... (622,047) 348,434

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... 249,111 53,568

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 1,838,080 1,784,512

End of financial year ...... 2,087,191 1,838,080

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Transferable Securities (93.33%) Insurance (2020: 89.32%) 11 Assured Guaranty Ltd ... 459 0.02 Common Stock (93.11%) (2020: 89.24%) 8 Athene Holding Ltd...... 385 0.02 Australia (0.57%) 2 Everest Re Group Ltd.... 561 0.03 Airlines Real Estate 107 Qantas Airways Ltd ...... 414 0.02 31 Hongkong Land Banks Holdings Ltd...... 151 0.01 15 Commonwealth Bank of Semiconductor Equipment and Products Australia ...... 974 0.05 85 Marvell Technology Commercial Services and Supplies Group Ltd ...... 4,191 0.20 110 Brambles Ltd ...... 886 0.04 Textile and Apparel Construction and Engineering 8,784 China Hongxing Sports 15 CIMIC Group Ltd...... 201 0.01 Ltd ...... - 0.00 Diversified Financials 6,670 0.32 5 ASX Ltd ...... 287 0.01 Canada (0.73%) Electric Utilities Banks 37 AGL Energy Ltd...... 272 0.01 4 Canadian Imperial Bank of Commerce ...... 424 0.02 Entertainment 5 Royal Bank of Canada... 420 0.02 17 Aristocrat Leisure Ltd ... 452 0.02 14 Toronto-Dominion Insurance Bank...... 918 0.05 147 Medibank Pvt Ltd...... 313 0.02 Food Products 5 Empire Co Ltd...... 177 0.01 Metals and Mining 14 BHP Group Ltd ...... 468 0.02 Insurance 65 Newcrest Mining Ltd..... 1,215 0.06 18 Great-West Lifeco Inc ... 473 0.02 19 Rio Tinto Ltd ...... 1,604 0.08 8 iA Financial Corp Inc.... 441 0.02 469 South32 Ltd ...... 1,003 0.05 3 Intact Financial Corp..... 368 0.02 Real Estate Investment Trust 17 Manulife Financial 40 Dexus...... 294 0.01 Corp...... 364 0.02 99 Goodman Group...... 1,371 0.07 22 Sun Life Financial Inc ... 1,105 0.05 Retail Trade Internet Software and Services 37 Coles Group Ltd ...... 449 0.02 1 Shopify Inc (Canada 23 Wesfarmers Ltd ...... 920 0.05 listed)...... 535 0.02 - Shopify Inc (US listed).. 343 0.02 Telecommunications 195 Telstra Corp Ltd...... 506 0.02 Media 5 Thomson Reuters Corp.. 486 0.02 Transport 68 Aurizon Holdings Ltd.... 202 0.01 Metals and Mining 84 B2Gold Corp ...... 362 0.02 11,831 0.57 16 Barrick Gold Corp...... 303 0.01 Austria (0.15%) 5 Franco-Nevada Corp ..... 659 0.03 Oil and Gas 31 Kinross Gold Corp ...... 208 0.01 63 OMV AG ...... 3,220 0.15 Oil and Gas Belgium (0.20%) 20 Canadian Natural Food Products Resources Ltd...... 623 0.03 11 Colruyt SA...... 658 0.03 194 Suncor Energy Inc ...... 4,046 0.19 Insurance Retail Trade 58 Ageas SA...... 3,489 0.17 61 Dollarama Inc...... 2,684 0.13 4,147 0.20 Software Bermuda (0.32%) 8 Open Text Corp...... 397 0.02 Agriculture 15,336 0.73 12 Bunge Ltd...... 923 0.04

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Cayman Islands (0.67%) France (6.03%) Internet Software and Services Advertising 40 Alibaba Group Holding 129 Publicis Groupe SA ...... 7,917 0.38 Ltd ADR ...... 9,041 0.43 Aerospace and Defence 37 Tencent Holdings Ltd .... 2,902 0.14 19 Safran SA ...... 2,623 0.13 Lodging Auto Components 38 Huazhu Group Ltd 5 Faurecia SE (France ADR...... 2,084 0.10 listed)...... 236 0.01 14,027 0.67 1 Faurecia SE (Italy China (0.18%) listed)...... 70 0.00 Banks Automobiles 3,162 China Construction 75 Renault SA ...... 3,275 0.16 Bank Corp (Class H) ..... 2,660 0.13 1,427 Industrial & Banks Commercial Bank of 247 BNP Paribas SA ...... 15,035 0.72 China Ltd (Class H)...... 1,024 0.05 Building Products 3,684 0.18 171 Cie de Saint-Gobain ...... 10,119 0.48 Curacao (0.03%) Chemicals Oil and Gas Services 37 Arkema SA...... 4,544 0.22 22 Schlumberger Ltd ...... 602 0.03 Commercial Services and Supplies Denmark (0.78%) 42 Worldline SA ...... 3,489 0.17 Beverages 21 Carlsberg A/S ...... 3,187 0.15 Computers and Peripherals 68 Atos SE...... 5,331 0.26 Biotechnology 29 Capgemini SE...... 4,833 0.23 10 H Lundbeck A/S ...... 353 0.02 Electric Utilities Energy Equipment and Services 381 Engie SA...... 5,420 0.26 40 Vestas Wind Systems A/S...... 8,354 0.40 Electrical Equipment 23 Schneider Electric SE.... 3,547 0.17 Transport 23 DSV Panalpina A/S ...... 4,462 0.21 Food Products 496 Carrefour SA ...... 8,998 0.43 16,356 0.78 Finland (0.72%) Home Furnishings Auto Components 24 SEB SA...... 4,149 0.20 12 Nokian Renkaat OYJ ..... 430 0.02 Insurance Banks 292 AXA SA ...... 7,857 0.38 332 Nordea Bank Abp ...... 3,275 0.16 Oil and Gas Insurance 230 TOTAL SE...... 10,749 0.51 17 Sampo OYJ...... 785 0.04 Pharmaceuticals Oil and Gas 120 Sanofi ...... 11,888 0.57 11 Neste OYJ...... 574 0.03 Software Paper and Forest Products 2 Dassault Systemes SE ... 508 0.02 259 UPM-Kymmene OYJ..... 9,320 0.44 Telecommunications Pharmaceuticals 659 Orange SA ...... 8,131 0.39 9 Orion OYJ (Class B)...... 367 0.02 Textile and Apparel Telecommunications 6 LVMH Moet Hennessy 4 Elisa OYJ...... 263 0.01 Louis Vuitton SE ...... 4,136 0.20 15,014 0.72

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Water Utilities Real Estate Investment Trust 118 Veolia Environnement 39 Link REIT...... 350 0.02 SA...... 3,039 0.14 Transport 125,894 6.03 89 MTR Corp Ltd...... 506 0.02 Germany (3.14%) 6,804 0.33 Automobiles India (0.18%) 53 Bayerische Motoren Banks Werke AG ...... 5,532 0.26 188 HDFC Bank Ltd ...... 3,845 0.18 150 Daimler AG ...... 13,352 0.64 Ireland (1.09%) Chemicals Airlines 44 Brenntag SE...... 3,796 0.18 290 Ryanair Holdings Plc..... 5,647 0.27 Diversified Financials Building Products 10 Deutsche Boerse AG...... 1,603 0.08 100 CRH Plc (Ireland Electric Utilities listed)...... 4,731 0.22 11 Uniper SE ...... 399 0.02 31 Johnson Controls International Plc ...... 1,842 0.09 Insurance 3 Hannover Rueck SE...... 504 0.03 Computers and Peripherals 19 Muenchener 4 Accenture Plc ...... 1,137 0.06 Rueckversicherungs- 6 Seagate Technology Plc . 434 0.02 Gesellschaft AG in Health Care Equipment and Supplies Muenchen ...... 6,079 0.29 66 Medtronic Plc ...... 7,753 0.37 Miscellaneous Manufacturers Miscellaneous Manufacturers 42 Siemens AG...... 6,829 0.33 6 Eaton Corp Plc ...... 798 0.04 Pharmaceuticals Pharmaceuticals 17 Merck KGaA ...... 2,955 0.14 3 Jazz Pharmaceuticals Semiconductor Equipment and Products Plc...... 461 0.02 124 Infineon Technologies 22,803 1.09 AG ...... 5,263 0.25 Israel (0.06%) Telecommunications Banks 467 Deutsche Telekom AG ... 9,427 0.45 112 Bank Leumi Le-Israel BM...... 736 0.03 Transport 178 Deutsche Post AG...... 9,774 0.47 Computers and Peripherals 65,513 3.14 5 Check Point Software Technologies Ltd ...... 606 0.03 Hong Kong (0.33%) Banks 1,342 0.06 150 BOC Hong Kong Italy (0.76%) Holdings Ltd...... 523 0.02 Banks 16 Hang Seng Bank Ltd ..... 317 0.02 289 Banca Mediolanum SpA...... 2,740 0.13 Electric Utilities 31 FinecoBank Banca 117 CLP Holdings Ltd ...... 1,131 0.05 Fineco SpA ...... 502 0.03 519 HK Electric Investments 168 Intesa Sanpaolo SpA ..... 456 0.02 & HK Electric 612 UniCredit SpA...... 6,483 0.31 Investments Ltd ...... 516 0.03 84 Power Assets Holdings Electric Utilities Ltd ...... 495 0.02 561 Enel SpA...... 5,603 0.27 Insurance 15,784 0.76 163 AIA Group Ltd ...... 1,976 0.10 Japan (17.59%) Real Estate Advertising 381 China Overseas Land & 158 Dentsu Group Inc ...... 5,063 0.24 Investment Ltd...... 990 0.05

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Aerospace and Defence Electrical Equipment 545 IHI Corp ...... 11,062 0.53 165 Mabuchi Motor Co Ltd.. 7,242 0.35 285 Siix Corp ...... 4,217 0.20 Auto Components 12 Bridgestone Corp...... 490 0.02 Food Products 487 Toyo Tire Corp...... 8,631 0.42 129 Yakult Honsha Co Ltd ... 6,558 0.31 Automobiles Gas Utilities 601 Hino Motors Ltd...... 5,181 0.25 34 Osaka Gas Co Ltd...... 666 0.03 53 Honda Motor Co Ltd ..... 1,580 0.08 13 Tokyo Gas Co Ltd...... 278 0.02 326 Subaru Corp ...... 6,498 0.31 Hand and Machine Tools 150 Suzuki Motor Corp...... 6,821 0.33 222 Fuji Electric Co Ltd...... 9,253 0.44 1 Toyota Motor Corp ...... 86 0.00 Health Care Equipment and Supplies Banks 112 Asahi Intecc Co Ltd...... 3,072 0.15 87 Japan Post Bank Co 171 Topcon Corp...... 2,079 0.10 Ltd ...... 840 0.04 35 Mizuho Financial Group Home Builders Inc...... 503 0.02 7 Daiwa House Industry 141 Sumitomo Mitsui Co Ltd...... 202 0.01 Financial Group Inc...... 5,124 0.25 242 Sekisui Chemical Co 8 Sumitomo Mitsui Trust Ltd ...... 4,654 0.23 Holdings Inc ...... 269 0.01 195 Star Mica Holdings Co Ltd ...... 2,138 0.10 Building Products 179 AGC Inc...... 7,505 0.36 Home Furnishings 106 Katitas Co Ltd ...... 2,975 0.14 793 Panasonic Corp...... 10,211 0.49 222 Taiheiyo Cement Corp... 5,843 0.28 7 Sony Corp...... 766 0.04 Chemicals Hotels, Restaurants and Leisure 658 Daicel Corp ...... 5,073 0.24 458 HIS Co Ltd ...... 9,179 0.44 319 KH Neochem Co Ltd..... 8,070 0.39 690 Round One Corp...... 7,777 0.37 Commercial Services and Supplies Insurance 33 GMO Payment Gateway 379 Japan Post Insurance Co Inc...... 4,344 0.21 Ltd ...... 7,797 0.38 109 Grace Technology Inc.... 2,845 0.14 18 T&D Holdings Inc...... 235 0.01 143 Insource Co Ltd...... 2,996 0.14 19 Tokio Marine Holdings 154 Nihon M&A Center Inc. 4,177 0.20 Inc...... 901 0.04 74 Plaid Inc...... 2,438 0.12 Internet Software and Services 27 Prored Partners Co Ltd.. 752 0.03 73 giftee Inc...... 2,299 0.11 106 Raksul Inc...... 4,936 0.24 347 Infomart Corp...... 2,995 0.14 83 Recruit Holdings Co 127 Kakaku.com Inc...... 3,460 0.17 Ltd ...... 4,066 0.19 57 M3 Inc ...... 3,892 0.19 238 S-Pool Inc ...... 2,452 0.12 164 MonotaRO Co Ltd...... 4,449 0.21 Computers and Peripherals 290 Rakuten Inc...... 3,464 0.17 38 SHIFT Inc...... 4,454 0.21 118 SMS Co Ltd...... 3,619 0.17 Construction and Engineering Iron and Steel 709 JGC Holdings Corp ...... 8,706 0.42 523 Hitachi Metals Ltd...... 8,622 0.41 34 Obayashi Corp...... 311 0.01 Lodging Diversified Financials 48 Kyoritsu Maintenance 21 Japan Exchange Group Co Ltd...... 1,575 0.08 Inc...... 484 0.02 Machinery 58 Nomura Holdings Inc .... 305 0.02 258 Hitachi Ltd...... 11,684 0.56 18 ORIX Corp ...... 301 0.02 23 Keyence Corp ...... 10,463 0.50 119 Premium Group Co Ltd. 2,596 0.12 466 Mitsubishi Electric 128 WealthNavi Inc ...... 4,204 0.20 Corp...... 7,117 0.34

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Metals and Mining Transport 269 Maruichi Steel Tube 143 Sankyu Inc...... 6,289 0.30 Ltd ...... 6,161 0.29 367,070 17.59 236 MISUMI Group Inc...... 6,863 0.33 56 Sumitomo Metal Jersey, Channel Islands (0.76%) Mining Co Ltd...... 2,418 0.12 Advertising 648 WPP Plc...... 8,233 0.39 Office Electronics 15 Canon Inc ...... 340 0.02 Airlines 1 FUJIFILM Holdings 44 Wizz Air Holdings Plc... 2,922 0.14 Corp...... 41 0.00 Containers and Packaging 536 Seiko Epson Corp...... 8,741 0.42 20 Amcor Plc...... 238 0.01 Oil and Gas Distributors 201 ENEOS Holdings Inc .... 914 0.04 5 Ferguson Plc ...... 551 0.03 Personal Products Diversified Financials 88 Pigeon Corp...... 3,345 0.16 1,768 Man Group Plc ...... 3,927 0.19 Pharmaceuticals 15,871 0.76 15 Medipal Holdings Corp. 292 0.02 Korea, Republic of (1.18%) 94 Nippon Shinyaku Co Banks Ltd ...... 6,957 0.33 50 Shinhan Financial 536 Santen Pharmaceutical Group Co Ltd...... 1,635 0.08 Co Ltd...... 7,386 0.35 200 Takeda Pharmaceutical Semiconductor Equipment and Products Co Ltd...... 7,216 0.35 266 Samsung Electronics Co Ltd (Voting rights) ...... 19,179 0.92 Real Estate 32 SK Hynix Inc...... 3,719 0.18 103 Relo Group Inc ...... 2,183 0.10 24,533 1.18 Real Estate Investment Trust Liberia (0.02%) - United Urban Hotels, Restaurants and Leisure Investment Corp ...... 270 0.01 5 Royal Caribbean Retail Trade Cruises Ltd ...... 443 0.02 8 McDonald’s Holdings Luxembourg (0.28%) Co Japan Ltd...... 356 0.02 Iron and Steel 131 Pan Pacific 180 ArcelorMittal...... 5,208 0.25 International Holdings Corp...... 3,107 0.15 Metals and Mining 447 Ryohin Keikaku Co Ltd. 10,593 0.51 44 Tenaris SA ...... 505 0.02 71 Seria Co Ltd...... 2,501 0.12 Telecommunications 46 Sushiro Global 3 Millicom International Holdings Ltd...... 2,022 0.09 Cellular SA SDR ...... 104 0.01 Semiconductor Equipment and Products 5,817 0.28 4 Tokyo Electron Ltd...... 1,863 0.09 Netherlands (1.80%) Software Automobiles 13 Capcom Co Ltd ...... 430 0.02 14 Ferrari NV ...... 3,037 0.14 49 Freee KK ...... 4,134 0.20 259 Stellantis NV (France 72 Kaonavi Inc ...... 2,218 0.11 listed)...... 4,597 0.22 78 Stellantis NV (Italy Telecommunications listed)...... 1,376 0.07 50 KDDI Corp...... 1,545 0.07 57 Nippon Telegraph & Banks Telephone Corp ...... 1,464 0.07 1,328 ING Groep NV ...... 16,287 0.78 72 Softbank Corp ...... 940 0.05 Beverages Toys, Games and Hobbies 37 Heineken NV...... 3,784 0.18 7 Nintendo Co Ltd...... 3,636 0.17

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Chemicals Diversified Financials 7 Akzo Nobel NV...... 779 0.03 110 Singapore Exchange 3 LyondellBasell Ltd ...... 818 0.04 Industries NV ...... 368 0.02 Electrical Equipment Electrical Equipment 39 Venture Corp Ltd...... 587 0.03 9 Signify NV ...... 443 0.02 Telecommunications Food Products 194 Singapore 82 Koninklijke Ahold Telecommunications Delhaize NV...... 2,275 0.11 Ltd ...... 352 0.02 Insurance 5,771 0.28 7 NN Group NV ...... 332 0.02 Spain (1.38%) Semiconductor Equipment and Products Banks 51 BE Semiconductor 1,927 Banco de Sabadell SA ... 1,033 0.05 Industries NV ...... 4,285 0.21 2,570 CaixaBank SA ...... 7,970 0.38 37,563 1.80 Commercial Services and Supplies 64 Abertis Infraestructuras New Zealand (0.04%) SA...... 415 0.02 Health Care Equipment and Supplies 34 Fisher & Paykel Construction and Engineering Healthcare Corp Ltd 19 Acciona SA...... 3,210 0.15 (New Zeland listed) ...... 761 0.04 43 Cellnex Telecom SA ...... 2,484 0.12 Norway (0.47%) Electric Utilities Chemicals 34 Endesa SA ...... 904 0.04 79 Yara International ASA . 4,132 0.20 44 Iberdrola SA ...... 565 0.03 Food Products 34 Red Electrica Corp SA .. 610 0.03 23 Mowi ASA...... 582 0.03 Oil and Gas 78 Orkla ASA ...... 761 0.03 665 Repsol SA...... 8,255 0.40 Oil and Gas Telecommunications 178 Equinor ASA ...... 3,482 0.17 729 Telefonica SA ...... 3,271 0.16 Telecommunications 28,717 1.38 46 Telenor ASA ...... 813 0.04 Sweden (0.36%) 9,770 0.47 Automobiles Panama (0.02%) 14 Volvo AB ...... 343 0.01 Hotels, Restaurants and Leisure Machinery 18 Carnival Corp ...... 489 0.02 198 Sandvik AB...... 5,430 0.26 Portugal (0.42%) Metals and Mining Electric Utilities 23 Boliden AB...... 865 0.04 1,285 EDP - Energias de Portugal SA ...... 7,358 0.35 Other Finance 8 Kinnevik AB...... 374 0.02 Food Products 1,653 Sonae SGPS SA...... 1,512 0.07 Personal Products 18 Essity AB...... 567 0.03 8,870 0.42 7,579 0.36 Puerto Rico (0.02%) Banks Switzerland (3.41%) 6 Popular Inc...... 389 0.02 Banks 50 Credit Suisse Group Singapore (0.28%) AG ...... 529 0.03 Banks 33 UBS Group AG...... 506 0.02 62 DBS Group Holdings Ltd ...... 1,319 0.06 Building Products 140 United Overseas Bank 6 Geberit AG...... 4,003 0.19 Ltd ...... 2,695 0.13 25 LafargeHolcim Ltd...... 1,435 0.07

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Chemicals Banks 1 EMS-Chemie Holding 4,374 Barclays Plc...... 11,219 0.54 AG ...... 562 0.03 685 HSBC Holdings Plc (UK listed)...... 3,998 0.19 Commercial Services and Supplies 834 Natwest Group Plc...... 2,259 0.11 67 Adecco Group AG ...... 4,546 0.22 - SGS SA...... 407 0.02 Beverages 118 Diageo Plc ...... 4,867 0.23 Diversified Financials 516 Stock Spirits Group Plc . 1,993 0.10 - Partners Group Holding AG ...... 628 0.03 Chemicals 1,754 Elementis Plc...... 3,037 0.15 Electrical Equipment 2 Garmin Ltd ...... 326 0.01 Commercial Services and Supplies 459 Aggreko Plc...... 5,552 0.26 Food Products 156 Euromoney Institutional 106 Nestle SA...... 11,921 0.57 Investor Plc...... 2,049 0.10 Hand and Machine Tools 1,006 Hyve Group Plc ...... 1,666 0.08 13 Schindler Holding AG 43 Intertek Group Plc ...... 3,333 0.16 (Non-voting rights)...... 3,816 0.18 1,376 QinetiQ Group Plc...... 5,999 0.29 Insurance Construction and Engineering 11 Chubb Ltd...... 1,763 0.08 64 IMI Plc...... 1,186 0.06 1 Swiss Life Holding AG . 217 0.01 333 Ricardo Plc ...... 1,973 0.09 3 Swiss Re AG...... 306 0.01 Distributors 2 Zurich Insurance Group 136 Travis Perkins Plc ...... 2,893 0.14 AG ...... 968 0.05 Diversified Financials Pharmaceuticals 628 Jupiter Fund 167 Novartis AG...... 14,356 0.69 Management Plc...... 2,414 0.12 76 Roche Holding AG ...... 24,597 1.18 34 Rathbone Brothers Plc... 813 0.04 Telecommunications 9 Schroders Plc (Voting 1 Swisscom AG ...... 332 0.02 rights)...... 441 0.02 71,218 3.41 27 St James’s Place Plc ...... 482 0.02 Taiwan (2.25%) Electrical Equipment Semiconductor Equipment and Products 506 Electrocomponents Plc.. 6,937 0.33 155 MediaTek Inc...... 5,254 0.25 845 TT Electronics Plc...... 2,680 0.13 189 Realtek Semiconductor Food Products Corp...... 3,268 0.16 1,488 Tesco Plc...... 4,699 0.23 294 Taiwan Semiconductor 3,025 Wm Morrison Manufacturing Co Ltd Supermarkets Plc...... 7,614 0.36 ADR...... 34,838 1.67 Gas Utilities Telecommunications 6,404 Centrica Plc ...... 4,784 0.23 382 Accton Technology Corp...... 3,695 0.17 Health Care Equipment and Supplies 2,968 ConvaTec Group Plc...... 8,029 0.38 47,055 2.25 Thailand (0.21%) Home Builders Banks 9 Berkeley Group 493 Kasikornbank PCL Holdings Plc ...... 538 0.02 NVDR...... 2,288 0.11 769 Crest Nicholson 575 Siam Commercial Bank Holdings Plc ...... 4,328 0.21 PCL NVDR ...... 2,051 0.10 9 Persimmon Plc...... 365 0.02 249 Taylor Wimpey Plc ...... 622 0.03 4,339 0.21 Household Products United Kingdom (11.08%) 10 Reckitt Benckiser Aerospace and Defence Group Plc...... 920 0.04 63 Ultra Electronics Holdings Plc ...... 1,774 0.09

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Insurance Telecommunications 1,980 Aviva Plc...... 11,150 0.53 5,135 Vodafone Group Plc ...... 9,344 0.45 758 Direct Line Insurance 231,275 11.08 Group Plc...... 3,279 0.16 483 Numis Corp Plc ...... 2,511 0.12 United States (35.60%) 58 RSA Insurance Group Advertising Plc...... 547 0.03 32 Interpublic Group of Cos Inc...... 933 0.05 Internet Software and Services 17 Omnicom Group Inc...... 1,229 0.06 623 Moneysupermarket.com - Trade Desk Inc ...... 293 0.01 Group Plc...... 2,290 0.11 Aerospace and Defence Lodging 5 Boeing Co...... 1,203 0.06 48 InterContinental Hotels 6 General Dynamics Group Plc...... 3,287 0.16 Corp...... 1,050 0.05 Machinery 14 Howmet Aerospace Inc.. 440 0.02 19 Spirax-Sarco 3 L3Harris Technologies Engineering Plc ...... 2,978 0.14 Inc...... 572 0.03 2 Lockheed Martin Corp .. 822 0.04 Media 3 Northrop Grumman 852 Daily Mail & General Corp...... 988 0.04 Trust Plc ...... 10,678 0.51 26 Raytheon Technologies 3,987 ITV Plc ...... 6,609 0.32 Corp...... 2,048 0.10 15 Liberty Global Plc (Class C)...... 368 0.02 Agriculture 462 Pearson Plc ...... 4,921 0.23 9 Archer-Daniels-Midland Co ...... 505 0.02 Metals and Mining 297 Anglo American Plc ...... 11,638 0.56 Airlines 12 Rio Tinto Plc...... 976 0.04 8 Southwest Airlines Co ... 473 0.02 Oil and Gas Auto Components 2,009 BP Plc...... 8,167 0.39 10 Allison Transmission 34 Royal Dutch Shell Plc Holdings Inc ...... 403 0.02 (Class A)...... 653 0.03 4 Autoliv Inc...... 371 0.02 240 Royal Dutch Shell Plc 12 BorgWarner Inc ...... 554 0.03 (Class B)...... 4,429 0.21 3 Lear Corp...... 546 0.02 Other Finance Automobiles 694 3i Group Plc...... 11,046 0.53 13 Cummins Inc ...... 3,318 0.16 56 Intermediate Capital 317 Ford Motor Co...... 3,889 0.19 Group Plc...... 1,420 0.07 90 General Motors Co ...... 5,187 0.25 2,305 Melrose Industries Plc... 5,308 0.25 10 PACCAR Inc ...... 910 0.04 Personal Products Banks 614 PZ Cussons Plc...... 2,263 0.11 66 Bank of America Corp... 2,562 0.12 67 Unilever Plc 47 Bank of New York (Netherlands listed) ...... 3,703 0.18 Mellon Corp ...... 2,210 0.11 143 Unilever Plc (UK 180 Citigroup Inc ...... 13,132 0.63 listed)...... 8,015 0.38 11 Fifth Third Bancorp...... 436 0.02 6 Goldman Sachs Group Pharmaceuticals Inc...... 1,901 0.09 396 GlaxoSmithKline Plc..... 7,034 0.34 74 JPMorgan Chase & Co .. 11,275 0.54 Real Estate 18 Morgan Stanley ...... 1,416 0.07 1,224 St Modwen Properties 3 Northern Trust Corp ...... 286 0.01 Plc...... 6,839 0.33 5 PNC Financial Services Group Inc...... 822 0.04 Retail Trade 5 State Street Corp...... 395 0.02 1,395 Restaurant Group Plc..... 2,358 0.11 23 Truist Financial Corp..... 1,332 0.07

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % 24 US Bancorp ...... 1,332 0.06 Computers and Peripherals 283 Wells Fargo & Co ...... 11,046 0.53 180 Apple Inc ...... 22,042 1.06 1 CACI International Inc.. 273 0.01 Beverages 7 Cognizant Technology 3 Boston Beer Co Inc ...... 3,831 0.18 Solutions Corp...... 538 0.03 11 Coca-Cola Co ...... 572 0.03 2 Crowdstrike Holdings 24 Constellation Brands Inc...... 297 0.01 Inc...... 5,447 0.26 5 Dell Technologies Inc .... 412 0.02 17 Keurig Dr Pepper Inc..... 604 0.03 2 Fortinet Inc ...... 438 0.02 15 Molson Coors Beverage 71 Hewlett Packard Co ...... 745 0.04 Enterprise Co...... 1,112 0.05 75 PepsiCo Inc...... 10,622 0.51 58 HP Inc...... 1,833 0.09 Biotechnology 6 International Business 9 Alexion Machines Corp ...... 818 0.04 Pharmaceuticals Inc...... 1,336 0.06 4 Leidos Holdings Inc ...... 406 0.02 6 Amgen Inc ...... 1,506 0.07 6 NetApp Inc ...... 456 0.02 6 Biogen Inc ...... 1,593 0.08 13 Western Digital Corp..... 833 0.04 24 Corteva Inc ...... 1,135 0.06 Construction and Engineering 25 Gilead Sciences Inc ...... 1,615 0.08 3 EMCOR Group Inc ...... 352 0.02 5 Illumina Inc ...... 2,103 0.10 5 Jacobs Engineering 1 Regeneron Group Inc...... 589 0.03 Pharmaceuticals Inc...... 499 0.02 8 Vertex Pharmaceuticals Containers and Packaging Inc...... 1,749 0.08 5 Westrock Co ...... 269 0.01 Building Products Distributors 11 Builders FirstSource 28 Copart Inc...... 3,014 0.14 Inc...... 504 0.02 12 LKQ Corp...... 516 0.03 112 Carrier Global Corp...... 4,730 0.23 14 Newell Brands Inc ...... 372 0.02 7 Masco Corp ...... 435 0.02 Diversified Financials 5 Owens Corning...... 430 0.02 27 Ally Financial Inc ...... 1,242 0.06 Chemicals 16 American Express Co.... 2,277 0.11 3 Air Products & 4 Ameriprise Financial Chemicals Inc...... 879 0.04 Inc...... 909 0.04 9 CF Industries Holdings 65 Ares Management Inc...... 387 0.02 Corp...... 3,613 0.17 10 Dow Inc ...... 664 0.03 2 BlackRock Inc ...... 1,353 0.07 10 DuPont de Nemours 6 Capital One Financial Inc...... 789 0.04 Corp...... 818 0.04 4 Eastman Chemical Co ... 408 0.02 12 Cboe Global Markets 4 International Flavors & Inc...... 1,204 0.06 Fragrances Inc ...... 594 0.03 25 CME Group Inc...... 5,070 0.24 8 Sherwin-Williams Co .... 5,912 0.28 5 Discover Financial Services ...... 480 0.02 Commercial Services and Supplies 23 Franklin Resources Inc.. 690 0.03 1 AMERCO...... 458 0.02 6 Intercontinental 5 Automatic Data Exchange Inc ...... 663 0.03 Processing Inc...... 885 0.04 36 Mastercard Inc...... 12,669 0.61 2 Avalara Inc...... 293 0.01 2 Raymond James 27 Chegg Inc ...... 2,313 0.11 Financial Inc ...... 286 0.01 2 CoStar Group Inc...... 1,291 0.06 36 Synchrony Financial...... 1,479 0.07 12 FleetCor Technologies 7 T Rowe Price Group Inc...... 3,282 0.16 Inc...... 1,148 0.06 22 Global Payments Inc...... 4,350 0.21 27 Tradeweb Markets Inc ... 1,969 0.10 36 Moody’s Corp ...... 10,832 0.52 6 Visa Inc...... 1,269 0.06 188 Multiplan Corp ...... 1,046 0.05 27 Western Union Co ...... 673 0.03 2 PayPal Holdings Inc ...... 410 0.02 2 United Rentals Inc...... 822 0.04

The accompanying notes are an integral part of the financial statements.

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Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Electric Utilities 8 Kraft Heinz Co ...... 300 0.01 8 Alliant Energy Corp ...... 456 0.02 41 Kroger Co ...... 1,470 0.07 15 Ameren Corp...... 1,215 0.06 34 Mondelez International 8 American Electric Inc...... 2,001 0.10 Power Co Inc ...... 687 0.03 13 Sysco Corp ...... 1,058 0.05 18 Consolidated Edison 28 Tyson Foods Inc...... 2,112 0.10 Inc...... 1,331 0.06 Gas Utilities 5 Dominion Energy Inc .... 351 0.02 5 Atmos Energy Corp...... 516 0.03 6 DTE Energy Co ...... 735 0.04 22 UGI Corp...... 883 0.04 9 Duke Energy Corp...... 890 0.04 6 Edison International ...... 349 0.02 Hand and Machine Tools 6 Entergy Corp ...... 554 0.03 3 Snap-on Inc...... 639 0.03 12 Eversource Energy...... 991 0.05 3 Stanley Black & Decker 19 Exelon Corp...... 841 0.04 Inc...... 671 0.03 11 FirstEnergy Corp ...... 385 0.02 Health Care Equipment and Supplies 33 NextEra Energy Inc ...... 2,504 0.12 3 Abbott Laboratories...... 370 0.02 27 NRG Energy Inc...... 999 0.05 7 Align Technology Inc .... 3,914 0.19 9 OGE Energy Corp ...... 293 0.01 10 Boston Scientific Corp.. 372 0.02 31 PG&E Corp ...... 365 0.02 14 Danaher Corp ...... 3,167 0.15 5 Pinnacle West Capital 8 Hologic Inc ...... 604 0.03 Corp...... 442 0.02 6 Insulet Corp...... 1,587 0.07 8 PPL Corp...... 240 0.01 5 Teleflex Inc...... 1,943 0.09 28 Public Service 1 Thermo Fisher Enterprise Group Inc ..... 1,696 0.08 Scientific Inc ...... 620 0.03 5 Sempra Energy ...... 701 0.03 2 Varian Medical Systems 9 Southern Co...... 579 0.03 Inc...... 356 0.02 75 Vistra Energy Corp...... 1,317 0.06 9 WEC Energy Group Health Care Providers and Services Inc...... 873 0.04 24 Anthem Inc...... 8,471 0.41 13 Xcel Energy Inc...... 856 0.04 4 Centene Corp...... 274 0.01 39 HCA Healthcare Inc ...... 7,287 0.35 Electrical Equipment 6 Humana Inc ...... 2,339 0.11 5 Arrow Electronics Inc ... 540 0.03 3 Laboratory Corp of 6 Emerson Electric Co...... 527 0.02 America Holdings...... 714 0.04 48 Fortive Corp...... 3,407 0.16 43 Oak Street Health Inc .... 2,362 0.11 3 Honeywell International 3 Quest Diagnostics Inc.... 361 0.02 Inc...... 652 0.03 53 UnitedHealth Group 38 II-VI Inc...... 2,618 0.13 Inc...... 19,676 0.94 7 Keysight Technologies 4 Universal Health Inc...... 1,032 0.05 Services Inc ...... 582 0.03 4 Mettler-Toledo International Inc ...... 4,333 0.21 Home Builders 104 DR Horton Inc...... 9,249 0.44 Entertainment 103 Lennar Corp...... 10,391 0.50 23 DraftKings Inc...... 1,423 0.07 1 Lennar Corp...... 116 0.01 13 Penn National Gaming 2 Meritage Homes Corp ... 243 0.01 Inc...... 1,385 0.06 25 PulteGroup Inc ...... 1,312 0.06 2 Vail Resorts Inc ...... 419 0.02 Home Furnishings Environmental Control 2 Whirlpool Corp ...... 450 0.02 7 Waste Management Inc . 882 0.04 Hotels, Restaurants and Leisure Food Products 23 Polaris Inc...... 3,034 0.15 8 Campbell Soup Co...... 411 0.02 22 Conagra Brands Inc...... 817 0.04 Household Products 22 General Mills Inc...... 1,345 0.06 4 Clorox Co ...... 831 0.04 3 Hershey Co ...... 523 0.03 Insurance 5 JM Smucker Co...... 641 0.03 34 Aflac Inc...... 1,729 0.08 9 Kellogg Co...... 538 0.03 18 Allstate Corp ...... 2,073 0.10

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % 4 American Financial Media Group Inc...... 455 0.02 41 Comcast Corp...... 2,253 0.11 18 American International 16 Discovery Inc (Class A). 688 0.03 Group Inc...... 822 0.04 12 DISH Network Corp...... 437 0.02 5 Arthur J Gallagher & 21 Fox Corp (Class A)...... 749 0.04 Co ...... 564 0.03 17 Liberty Media Corp- 8 Berkshire Hathaway Inc Liberty SiriusXM ...... 736 0.04 (Class B)...... 2,108 0.10 19 News Corp...... 480 0.02 3 Cincinnati Financial 9 ViacomCBS Inc...... 424 0.02 Corp...... 358 0.02 6 Walt Disney Co...... 1,125 0.05 12 Fidelity National Metals and Mining Financial Inc ...... 486 0.02 23 Newmont Corp (US 2 Globe Life Inc ...... 199 0.01 Listed)...... 1,364 0.07 9 Hartford Financial Services Group Inc...... 615 0.03 Miscellaneous Manufacturers 9 Lincoln National Corp... 568 0.03 6 3M Co...... 1,196 0.06 5 Loews Corp ...... 262 0.01 123 General Electric Co ...... 1,617 0.08 18 MetLife Inc...... 1,096 0.05 2 Illinois Tool Works Inc .. 555 0.03 25 Progressive Corp ...... 2,432 0.12 6 Textron Inc...... 315 0.01 9 Prudential Financial Inc. 789 0.04 Oil and Gas 11 Travelers Cos Inc...... 1,656 0.08 25 Chevron Corp ...... 2,639 0.13 Internet Software and Services 15 ConocoPhillips ...... 815 0.04 13 Alphabet Inc (Class A) .. 26,015 1.25 10 EOG Resources Inc ...... 694 0.03 8 Alphabet Inc (Class C) .. 17,393 0.83 56 Exxon Mobil Corp...... 3,105 0.15 6 Amazon.com Inc ...... 16,931 0.81 11 Marathon Petroleum 2 Booking Holdings Inc ... 5,228 0.25 Corp...... 571 0.03 3 CDW Corp...... 434 0.02 7 Phillips 66...... 616 0.03 18 eBay Inc...... 1,127 0.05 3 Pioneer Natural 61 Facebook Inc...... 17,869 0.86 Resources Co...... 516 0.02 2 InterActiveCorp...... 377 0.02 8 Valero Energy Corp...... 544 0.03 20 Match Group Inc ...... 2,681 0.13 Oil and Gas Services 1 Netflix Inc...... 443 0.02 18 Baker Hughes a GE Co . 382 0.02 48 NortonLifeLock Inc...... 1,027 0.05 116 Halliburton Co...... 2,498 0.12 5 Pinterest Inc...... 357 0.02 3 VeriSign Inc...... 689 0.03 Paper and Forest Products 2 Zillow Group Inc 5 International Paper Co... 289 0.01 (Class A)...... 304 0.01 Personal Products 2 Zillow Group Inc 12 Colgate-Palmolive Co.... 910 0.04 (Class C)...... 312 0.02 30 Procter & Gamble Co .... 4,089 0.20 Iron and Steel Pharmaceuticals 12 Nucor Corp...... 973 0.05 12 AbbVie Inc ...... 1,261 0.06 9 Steel Dynamics Inc...... 472 0.02 21 Becton Dickinson and Lodging Co ...... 5,179 0.25 13 MGM Resorts 39 Bristol-Myers Squibb International ...... 493 0.02 Co ...... 2,442 0.12 10 Cardinal Health Inc ...... 617 0.03 Machinery 36 Cigna Corp ...... 8,738 0.42 1 Deere & Co...... 600 0.03 11 CVS Health Corp ...... 786 0.04 52 Graco Inc ...... 3,707 0.18 6 DexCom Inc ...... 2,308 0.11 69 Ingersoll Rand Inc ...... 3,377 0.16 8 Eli Lilly & Co...... 1,461 0.07 49 Otis Worldwide Corp..... 3,360 0.16 3 Henry Schein Inc...... 213 0.01 2 Rockwell Automation 121 Johnson & Johnson...... 19,948 0.95 Inc...... 535 0.02 6 McKesson Corp...... 1,090 0.05 8 Westinghouse Air Brake 49 Merck & Co Inc...... 3,746 0.18 Technologies Corp...... 604 0.03 270 Pfizer Inc ...... 9,787 0.47 36 Viatris Inc ...... 505 0.02

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Pipelines 11 Applied Materials Inc.... 1,452 0.07 6 Cheniere Energy Inc...... 397 0.02 1 Broadcom Inc ...... 354 0.02 57 Kinder Morgan Inc ...... 946 0.04 103 Intel Corp...... 6,576 0.31 8 ONEOK Inc...... 429 0.02 1 Lam Research Corp...... 370 0.02 8 Maxim Integrated Real Estate Products Inc...... 737 0.03 4 CBRE Group Inc ...... 339 0.02 163 Micron Technology Inc.. 14,371 0.69 Real Estate Investment Trust 2 NVIDIA Corp...... 1,368 0.07 3 AvalonBay 12 Qorvo Inc...... 2,264 0.11 Communities Inc ...... 563 0.03 6 Qualcomm Inc ...... 785 0.04 4 Crown Castle 4 Skyworks Solutions Inc. 706 0.03 International Corp ...... 752 0.04 8 Texas Instruments Inc.... 1,572 0.07 1 Equinix Inc ...... 605 0.03 2 Xilinx Inc...... 276 0.01 6 Equity LifeStyle Shipbuilding Properties Inc...... 396 0.02 3 Huntington Ingalls 3 Federal Realty Industries Inc ...... 563 0.03 Investment Trust ...... 302 0.01 5 First Industrial Realty Software Trust Inc ...... 220 0.01 18 Activision Blizzard Inc.. 1,635 0.08 26 Host Hotels & Resorts 8 Adobe Inc ...... 3,933 0.19 Inc...... 429 0.02 7 Akamai Technologies 25 Medical Properties Inc...... 692 0.03 Trust Inc ...... 537 0.03 11 Cadence Design 5 Prologis Inc...... 511 0.02 Systems Inc...... 1,519 0.07 2 Public Storage...... 520 0.03 10 Citrix Systems Inc ...... 1,422 0.07 8 Ventas Inc ...... 437 0.02 17 Dropbox Inc...... 466 0.02 9 Vornado Realty Trust..... 419 0.02 8 Electronic Arts Inc...... 1,107 0.05 10 Welltower Inc...... 687 0.03 8 Fair Isaac Corp ...... 3,644 0.18 17 Fidelity National Retail Trade Information Services 2 Advance Auto Parts Inc. 411 0.02 Inc...... 2,388 0.11 4 AutoZone Inc...... 5,866 0.28 7 Intuit Inc ...... 2,679 0.13 13 Best Buy Co Inc ...... 1,542 0.07 17 Manhattan Associates 5 CarMax Inc...... 687 0.03 Inc...... 1,963 0.09 1 Costco Wholesale Corp. 520 0.03 142 Microsoft Corp ...... 33,530 1.61 3 Darden Restaurants Inc . 493 0.02 14 MSCI Inc ...... 5,800 0.28 5 Dollar General Corp...... 922 0.04 103 Oracle Corp ...... 7,217 0.35 14 Dollar Tree Inc...... 1,552 0.08 6 RingCentral Inc ...... 1,757 0.08 2 Domino’s Pizza Inc ...... 693 0.03 4 salesforce.com Inc...... 952 0.05 13 Five Below Inc...... 2,438 0.12 7 Splunk Inc...... 967 0.05 4 Genuine Parts Co...... 431 0.02 9 SS&C Technologies 10 Home Depot Inc ...... 2,998 0.14 Holdings Inc ...... 621 0.03 5 Lowe’s Cos Inc...... 946 0.05 2 Synopsys Inc...... 550 0.03 10 Lululemon Athletica 4 Take-Two Interactive Inc...... 2,990 0.14 Software Inc...... 692 0.03 1 McDonald’s Corp...... 154 0.01 3 VMware Inc...... 461 0.02 33 Ollie’s Bargain Outlet 12 Workday Inc...... 2,884 0.14 Holdings Inc ...... 2,853 0.14 2ZoomVideo 6 Target Corp...... 1,244 0.06 Communications Inc...... 512 0.02 107 TJX Cos Inc...... 7,077 0.34 26 ZoomInfo Technologies 21 Walgreens Boots Inc...... 1,281 0.06 Alliance Inc ...... 1,175 0.06 14 Walmart Inc ...... 1,930 0.09 Telecommunications 66 AT&T Inc ...... 2,013 0.10 Semiconductor Equipment and Products 65 Cisco Systems Inc ...... 3,385 0.16 13 ACM Research Inc ...... 1,021 0.05 18 Corning Inc...... 783 0.04 21 Advanced Micro 15 Juniper Networks Inc..... 377 0.02 Devices Inc ...... 1,629 0.08 2 Motorola Solutions Inc.. 383 0.02

The accompanying notes are an integral part of the financial statements.

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31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % 3 T-Mobile US Inc...... 338 0.01 Investment Funds (2.35%) (2020: 3.65%) 43 Verizon Ireland (2.35%) Communications Inc...... 2,473 0.12 46 Russell Investments Company III plc Russell Textile and Apparel Investments U.S. Dollar 2 Mohawk Industries Inc .. 462 0.02 Cash Fund II - Class R 33 NIKE Inc ...... 4,322 0.21 Roll-Up Shares ...... 49,058 2.35 11 VF Corp...... 918 0.04 Total Investment Transport Funds ...... 49,058 2.35 10 CH Robinson Worldwide Inc ...... 953 0.05 Total Investments 3 CSX Corp ...... 306 0.01 excluding Financial 2 Expeditors International Derivative of Washington Inc...... 252 0.01 Instruments ...... 1,997,041 95.68 15 FedEx Corp...... 4,100 0.20 9 Knight-Swift Transportation Holdings Inc...... 417 0.02 5 Union Pacific Corp...... 1,144 0.05 5 Werner Enterprises Inc .. 238 0.01 742,949 35.60 Total Common Stock... 1,943,351 93.11 Preferred Stock (0.22%) (2020: 0.08%) Italy (0.22%) Telecommunications 8,036 Telecom Italia SpA ...... 4,632 0.22 Total Preferred Stock .. 4,632 0.22 Total Transferable Securities ...... 1,947,983 93.33

Financial Derivative Instruments (0.23%) (2020: (0.15)%) Open Futures Contracts ((0.12)%)

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund USD ‘000 USD USD ‘000 % 14,036 3,598.95 78 of Hang Seng Index Futures Long Futures Contracts Expiring April 2021...... 169 0.01 478 265.48 18 of MSCI Singapore Index Futures Long Futures Contracts Expiring April 2021...... 2 0.00 515,538 3,930.91 2,623 of S&P 500 E Mini Index Futures Long Futures Contracts Expiring June 2021...... 4,785 0.23 52,593 885.39 297 of S&P/TSX 60 Index Futures Long Futures Contracts Expiring June 2021...... (81) 0.00 34,365 5,148.34 267 of SPI 200 Index Futures Long Futures Contracts Expiring June 2021...... 33 0.00

The accompanying notes are an integral part of the financial statements.

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Notional Average Unrealised Amount Cost Price Gain (Loss) Fund USD ‘000 USD USD ‘000 % (3,201) (800.24) 20 of Amsterdam Index Futures Short Futures Contracts Expiring April 2021...... (86) (0.01) (11,058) (7,088.33) 156 of CAC 40 Index Futures Short Futures Contracts Expiring April 2021...... (64) 0.00 (8,143) (17,143.87) 19 of DAX Index Futures Short Futures Contracts Expiring June 2021...... (247) (0.01) (35,575) (4,452.41) 799 of Euro Stoxx 50 Index Futures Short Futures Contracts Expiring June 2021...... (730) (0.04) (152,095) (9,257.16) 1,643 of FTSE 100 Index Futures Short Futures Contracts Expiring June 2021...... 681 0.03 (3,236) (28,137.29) 23 of FTSE MIB Index Futures Short Futures Contracts Expiring June 2021...... (61) 0.00 (2,746) (10,169.22) 27 of IBEX 35 Index Futures Short Futures Contracts Expiring April 2021...... 21 0.00 (61,364) (1,339.83) 916 of MSCI Emerging Markets Index Futures Short Futures Contracts Expiring June 2021...... 794 0.04 (6,659) (247.55) 269 of OMXS30 Index Futures Short Futures Contracts Expiring April 2021...... (91) (0.01) (16,455) (11,426.94) 144 of Swiss Market Index Futures Short Futures Contracts Expiring June 2021...... (266) (0.01) (206,874) (17.08) 1,211 of Topix Index Futures Short Futures Contracts Expiring June 2021...... (7,269) (0.35) Unrealised gain on open futures contracts...... 6,485 0.31 Unrealised loss on open futures contracts ...... (8,895) (0.43) Net unrealised gain (loss) on open futures contracts ...... (2,410) (0.12)

Open Forward Foreign Currency Exchange Contracts (0.35%)

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 07/04/2021 AUD 91 EUR 58 1 0.00 07/04/2021 AUD 1,912 EUR 1,240 (1) 0.00 07/04/2021 AUD 5 GBP 3 - 0.00 07/04/2021 AUD 35 GBP 19 - 0.00 07/04/2021 AUD 498 USD 382 (2) 0.00 07/04/2021 AUD 1,864 USD 1,418 2 0.00 07/04/2021 AUD 1,864 USD 1,418 2 0.00 07/04/2021 AUD 1,864 USD 1,418 2 0.00

The accompanying notes are an integral part of the financial statements.

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Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 07/04/2021 AUD 1,864 USD 1,418 2 0.00 16/06/2021 AUD 7,356 USD 5,665 (60) 0.00 16/06/2021 AUD 7,356 USD 5,676 (72) 0.00 16/06/2021 AUD 7,356 USD 5,664 (60) 0.00 16/06/2021 AUD 6,060 USD 4,697 (80) 0.00 16/06/2021 AUD 7,356 USD 5,666 (61) 0.00 16/06/2021 AUD 7,356 USD 5,664 (60) 0.00 07/04/2021 CAD 125 EUR 81 4 0.00 07/04/2021 CAD 2,598 EUR 1,754 6 0.00 07/04/2021 CAD 7 GBP 4 - 0.00 07/04/2021 CAD 47 GBP 27 - 0.00 07/04/2021 CAD 662 USD 527 - 0.00 07/04/2021 CAD 2,545 USD 2,016 10 0.00 07/04/2021 CAD 2,545 USD 2,014 11 0.00 07/04/2021 CAD 2,545 USD 2,014 12 0.00 07/04/2021 CAD 2,545 USD 2,013 12 0.00 16/06/2021 CAD 13,570 USD 10,737 61 0.00 16/06/2021 CAD 13,570 USD 10,754 44 0.00 16/06/2021 CAD 13,570 USD 10,732 65 0.00 16/06/2021 CAD 7,590 USD 6,059 (20) 0.00 16/06/2021 CAD 13,570 USD 10,729 69 0.00 16/06/2021 CAD 13,570 USD 10,733 65 0.00 07/04/2021 CHF 78 EUR 71 (1) 0.00 07/04/2021 CHF 1,640 EUR 1,482 - 0.00 07/04/2021 CHF 4 GBP 3 - 0.00 07/04/2021 CHF 30 GBP 23 - 0.00 07/04/2021 CHF 426 USD 457 (4) 0.00 07/04/2021 CHF 1,601 USD 1,699 3 0.00 07/04/2021 CHF 1,601 USD 1,698 3 0.00 07/04/2021 CHF 1,601 USD 1,699 3 0.00 07/04/2021 CHF 1,601 USD 1,698 4 0.00 07/04/2021 EUR 84 AUD 129 - 0.00 07/04/2021 EUR 69 AUD 106 - 0.00 07/04/2021 EUR 1,098 AUD 1,688 5 0.00 07/04/2021 EUR 51 AUD 80 (1) 0.00 11/05/2021 EUR 1,239 AUD 1,912 1 0.00 07/04/2021 EUR 209 CAD 313 (4) 0.00 07/04/2021 EUR 1,574 CAD 2,410 (69) 0.00 11/05/2021 EUR 1,753 CAD 2,598 (6) 0.00 07/04/2021 EUR 136 CHF 150 - 0.00 07/04/2021 EUR 45 CHF 50 - 0.00 07/04/2021 EUR 1,376 CHF 1,518 3 0.00 11/05/2021 EUR 1,483 CHF 1,640 - 0.00 07/04/2021 EUR 288 GBP 246 (3) 0.00 07/04/2021 EUR 15 GBP 13 - 0.00 07/04/2021 EUR 524 GBP 453 (10) 0.00 07/04/2021 EUR 525 GBP 453 (9) 0.00 07/04/2021 EUR 524 GBP 453 (9) 0.00 07/04/2021 EUR 80 GBP 69 (2) 0.00 07/04/2021 EUR 103 GBP 88 - 0.00

The accompanying notes are an integral part of the financial statements.

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Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 07/04/2021 EUR 525 GBP 453 (8) 0.00 11/05/2021 EUR 2,377 GBP 2,032 (9) 0.00 07/04/2021 EUR 65 HKD 611 (1) 0.00 07/04/2021 EUR 498 HKD 4,717 (22) 0.00 11/05/2021 EUR 557 HKD 5,083 1 0.00 07/04/2021 EUR 429 JPY 55,264 3 0.00 07/04/2021 EUR 79 JPY 10,291 - 0.00 07/04/2021 EUR 896 JPY 116,276 1 0.00 07/04/2021 EUR 896 JPY 116,276 1 0.00 07/04/2021 EUR 896 JPY 116,276 1 0.00 07/04/2021 EUR 266 JPY 34,388 1 0.00 07/04/2021 EUR 896 JPY 116,276 - 0.00 11/05/2021 EUR 1,042 JPY 134,812 6 0.00 11/05/2021 EUR 1,042 JPY 134,812 5 0.00 11/05/2021 EUR 1,042 JPY 134,812 5 0.00 11/05/2021 EUR 1,041 JPY 134,812 4 0.00 07/04/2021 EUR 82 SEK 834 - 0.00 07/04/2021 EUR 622 SEK 6,273 11 0.00 11/05/2021 EUR 661 SEK 6,783 (1) 0.00 07/04/2021 EUR 20 SGD 34 - 0.00 07/04/2021 EUR 160 SGD 260 (4) 0.00 11/05/2021 EUR 177 SGD 280 - 0.00 07/04/2021 EUR 4,213 USD 5,039 (89) 0.00 07/04/2021 EUR 1,476 USD 1,752 (17) 0.00 07/04/2021 EUR 5,536 USD 6,487 20 0.00 07/04/2021 EUR 7,731 USD 9,459 (374) (0.03) 07/04/2021 EUR 7,738 USD 9,460 (365) (0.03) 07/04/2021 EUR 7,727 USD 9,459 (379) (0.03) 07/04/2021 EUR 5,537 USD 6,489 18 0.00 07/04/2021 EUR 5,536 USD 6,489 18 0.00 07/04/2021 EUR 979 USD 1,190 (39) 0.00 07/04/2021 EUR 7,734 USD 9,460 (369) (0.03) 07/04/2021 EUR 5,536 USD 6,492 16 0.00 11/05/2021 EUR 8,966 USD 10,513 33 0.00 11/05/2021 EUR 8,964 USD 10,513 30 0.00 11/05/2021 EUR 8,963 USD 10,513 29 0.00 11/05/2021 EUR 8,960 USD 10,513 26 0.00 07/04/2021 GBP - AUD 1 - 0.00 07/04/2021 GBP 22 AUD 39 1 0.00 11/05/2021 GBP 19 AUD 35 - 0.00 07/04/2021 GBP - CAD 1 - 0.00 07/04/2021 GBP 30 CAD 53 (1) 0.00 11/05/2021 GBP 27 CAD 47 - 0.00 07/04/2021 GBP - CHF - - 0.00 07/04/2021 GBP 26 CHF 34 1 0.00 11/05/2021 GBP 23 CHF 30 - 0.00 07/04/2021 GBP 97 EUR 112 3 0.00 07/04/2021 GBP 1 EUR 2 - 0.00 07/04/2021 GBP 100 EUR 116 2 0.00 07/04/2021 GBP 2,032 EUR 2,378 9 0.00

The accompanying notes are an integral part of the financial statements.

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Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 11/05/2021 GBP 88 EUR 103 - 0.00 07/04/2021 GBP - HKD 1 - 0.00 07/04/2021 GBP 9 HKD 104 - 0.00 11/05/2021 GBP 9 HKD 93 - 0.00 07/04/2021 GBP 1 JPY 146 - 0.00 07/04/2021 GBP 74 JPY 11,044 1 0.00 11/05/2021 GBP 65 JPY 9,792 1 0.00 07/04/2021 GBP - SEK 2 - 0.00 07/04/2021 GBP 12 SEK 138 - 0.00 11/05/2021 GBP 10 SEK 123 - 0.00 07/04/2021 GBP - SGD - - 0.00 07/04/2021 GBP 3 SGD 6 - 0.00 11/05/2021 GBP 3 SGD 5 - 0.00 07/04/2021 GBP 8 USD 11 - 0.00 07/04/2021 GBP 527 USD 726 1 0.00 07/04/2021 GBP 1,986 USD 2,726 14 0.00 07/04/2021 GBP 1,986 USD 2,725 15 0.00 07/04/2021 GBP 1,986 USD 2,724 16 0.00 07/04/2021 GBP 611 USD 863 (20) 0.00 07/04/2021 GBP 1,986 USD 2,722 17 0.00 11/05/2021 GBP 559 USD 767 4 0.00 07/04/2021 HKD 244 EUR 26 1 0.00 07/04/2021 HKD 5,083 EUR 557 (1) 0.00 07/04/2021 HKD 13 GBP 1 - 0.00 07/04/2021 HKD 93 GBP 9 - 0.00 07/04/2021 HKD 1,297 USD 167 - 0.00 07/04/2021 HKD 19,924 USD 2,563 - 0.00 16/06/2021 HKD 9,440 USD 1,216 (1) 0.00 07/04/2021 JPY 25,804 EUR 200 (1) 0.00 07/04/2021 JPY 134,812 EUR 1,043 (5) 0.00 07/04/2021 JPY 134,812 EUR 1,042 (5) 0.00 07/04/2021 JPY 134,812 EUR 1,042 (4) 0.00 07/04/2021 JPY 134,812 EUR 1,042 (4) 0.00 07/04/2021 JPY 1,399 GBP 9 - 0.00 07/04/2021 JPY 9,792 GBP 65 (1) 0.00 07/04/2021 JPY 140,212 USD 1,290 (21) 0.00 07/04/2021 JPY 526,741 USD 4,774 (7) 0.00 07/04/2021 JPY 526,741 USD 4,772 (5) 0.00 07/04/2021 JPY 526,741 USD 4,772 (5) 0.00 07/04/2021 JPY 526,741 USD 4,773 (6) 0.00 07/04/2021 SEK 324 EUR 32 - 0.00 07/04/2021 SEK 6,783 EUR 662 1 0.00 07/04/2021 SEK 18 GBP 2 - 0.00 07/04/2021 SEK 123 GBP 10 - 0.00 07/04/2021 SEK 1,779 USD 207 (3) 0.00 07/04/2021 SEK 26,446 USD 3,026 8 0.00 16/06/2021 SEK 92,800 USD 10,906 (253) (0.02) 07/04/2021 SGD 13 EUR 8 - 0.00 07/04/2021 SGD 280 EUR 177 - 0.00 07/04/2021 SGD 1 GBP - - 0.00

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 07/04/2021 SGD 5 GBP 3 - 0.00 07/04/2021 SGD 72 USD 54 - 0.00 07/04/2021 SGD 1,095 USD 812 3 0.00 07/04/2021 USD 1,525 AUD 1,910 70 0.00 07/04/2021 USD 1,525 AUD 1,910 70 0.00 07/04/2021 USD 1,527 AUD 1,910 72 0.00 07/04/2021 USD 242 AUD 313 4 0.00 07/04/2021 USD 1,523 AUD 1,910 68 0.00 11/05/2021 USD 1,418 AUD 1,864 (2) 0.00 11/05/2021 USD 1,418 AUD 1,864 (2) 0.00 11/05/2021 USD 1,418 AUD 1,864 (2) 0.00 11/05/2021 USD 1,418 AUD 1,864 (2) 0.00 07/04/2021 USD 2,054 CAD 2,564 14 0.00 07/04/2021 USD 2,056 CAD 2,564 15 0.00 07/04/2021 USD 2,056 CAD 2,564 16 0.00 07/04/2021 USD 464 CAD 587 (3) 0.00 07/04/2021 USD 2,053 CAD 2,564 13 0.00 11/05/2021 USD 2,016 CAD 2,545 (10) 0.00 11/05/2021 USD 2,014 CAD 2,545 (11) 0.00 11/05/2021 USD 2,014 CAD 2,545 (12) 0.00 11/05/2021 USD 2,013 CAD 2,545 (12) 0.00 07/04/2021 USD 1,882 CHF 1,701 74 0.00 07/04/2021 USD 1,879 CHF 1,701 71 0.00 07/04/2021 USD 1,880 CHF 1,701 73 0.00 07/04/2021 USD 31 CHF 28 1 0.00 07/04/2021 USD 1,880 CHF 1,701 73 0.00 11/05/2021 USD 1,701 CHF 1,601 (3) 0.00 11/05/2021 USD 1,700 CHF 1,601 (3) 0.00 11/05/2021 USD 1,700 CHF 1,601 (3) 0.00 11/05/2021 USD 1,699 CHF 1,601 (4) 0.00 16/06/2021 USD 1,171 CHF 1,090 10 0.00 16/06/2021 USD 11,268 CHF 10,459 133 0.01 16/06/2021 USD 11,277 CHF 10,459 143 0.01 16/06/2021 USD 11,271 CHF 10,459 136 0.01 16/06/2021 USD 282 CHF 260 5 0.00 16/06/2021 USD 11,278 CHF 10,459 143 0.01 16/06/2021 USD 11,271 CHF 10,459 136 0.01 07/04/2021 USD 2,016 EUR 1,666 58 0.00 07/04/2021 USD 6,928 EUR 5,660 276 0.01 07/04/2021 USD 10,513 EUR 8,973 (33) 0.00 07/04/2021 USD 6,925 EUR 5,660 273 0.02 07/04/2021 USD 6,928 EUR 5,660 277 0.02 07/04/2021 USD 10,513 EUR 8,970 (30) 0.00 07/04/2021 USD 10,513 EUR 8,969 (29) 0.00 07/04/2021 USD 1,195 EUR 984 39 0.00 07/04/2021 USD 6,922 EUR 5,660 270 0.02 07/04/2021 USD 10,513 EUR 8,966 (25) 0.00 11/05/2021 USD 6,491 EUR 5,537 (20) 0.00 11/05/2021 USD 6,493 EUR 5,537 (18) 0.00 11/05/2021 USD 6,494 EUR 5,537 (18) 0.00

The accompanying notes are an integral part of the financial statements.

Russell Investments World Equity Fund 147 Russell Investment Company II plc Russell Investments World Equity Fund

Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 11/05/2021 USD 6,496 EUR 5,537 (16) 0.00 16/06/2021 USD 3,174 EUR 2,670 31 0.00 16/06/2021 USD 14,048 EUR 11,790 171 0.01 16/06/2021 USD 14,065 EUR 11,790 188 0.01 16/06/2021 USD 14,040 EUR 11,790 163 0.01 16/06/2021 USD 14,774 EUR 12,360 226 0.01 16/06/2021 USD 14,042 EUR 11,790 165 0.01 16/06/2021 USD 14,040 EUR 11,790 162 0.01 07/04/2021 USD 107 GBP 76 1 0.00 07/04/2021 USD 2,909 GBP 2,052 77 0.01 07/04/2021 USD 2,902 GBP 2,052 70 0.00 07/04/2021 USD 2,905 GBP 2,052 73 0.00 07/04/2021 USD 363 GBP 260 5 0.00 07/04/2021 USD 767 GBP 559 (4) 0.00 07/04/2021 USD 2,907 GBP 2,052 75 0.00 11/05/2021 USD 2,726 GBP 1,986 (14) 0.00 11/05/2021 USD 2,725 GBP 1,986 (15) 0.00 11/05/2021 USD 2,724 GBP 1,986 (16) 0.00 11/05/2021 USD 2,723 GBP 1,986 (17) 0.00 16/06/2021 USD 7,785 GBP 5,650 (12) 0.00 16/06/2021 USD 25,582 GBP 18,408 179 0.01 16/06/2021 USD 25,618 GBP 18,408 215 0.01 16/06/2021 USD 25,581 GBP 18,408 179 0.01 16/06/2021 USD 16,047 GBP 11,580 67 0.00 16/06/2021 USD 25,587 GBP 18,408 184 0.01 16/06/2021 USD 25,583 GBP 18,408 180 0.01 07/04/2021 USD 2,737 HKD 21,221 8 0.00 11/05/2021 USD 2,563 HKD 19,924 - 0.00 07/04/2021 USD 4,966 JPY 526,779 199 0.01 07/04/2021 USD 4,966 JPY 526,779 199 0.01 07/04/2021 USD 4,970 JPY 526,779 202 0.01 07/04/2021 USD 1,315 JPY 140,062 48 0.00 07/04/2021 USD 4,963 JPY 526,779 195 0.01 11/05/2021 USD 4,775 JPY 526,741 7 0.00 11/05/2021 USD 4,773 JPY 526,741 5 0.00 11/05/2021 USD 4,773 JPY 526,741 5 0.00 11/05/2021 USD 4,774 JPY 526,741 5 0.00 16/06/2021 USD 31,638 JPY 3,439,810 486 0.03 16/06/2021 USD 31,700 JPY 3,439,810 549 0.03 16/06/2021 USD 31,649 JPY 3,439,810 498 0.03 16/06/2021 USD 47,401 JPY 5,147,730 784 0.05 16/06/2021 USD 31,689 JPY 3,439,810 537 0.03 16/06/2021 USD 31,649 JPY 3,439,810 497 0.03 16/06/2021 USD 6,732 NOK 57,142 38 0.00 07/04/2021 USD 3,424 SEK 28,224 185 0.01 11/05/2021 USD 3,027 SEK 26,446 (8) 0.00 16/06/2021 USD 635 SEK 5,400 15 0.00

The accompanying notes are an integral part of the financial statements.

148 Russell Investments World Equity Fund Russell Investment Company II plc Russell Investments World Equity Fund

Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 07/04/2021 USD 883 SGD 1,167 14 0.00 11/05/2021 USD 812 SGD 1,095 (3) 0.00 Unrealised gain on open forward foreign currency exchange contracts...... 10,137 0.49 Unrealised loss on open forward foreign currency exchange contracts...... (2,901) (0.14) Net unrealised gain (loss) on open forward foreign currency exchange contracts...... 7,236 0.35 Total Financial Derivative Instruments ...... 4,826 0.23

Fair Value Fund USD ‘000 % Total Financial Assets at Fair Value through Profit or Loss (96.48%)...... 2,013,663 96.48 Total Financial Liabilities at Fair Value through Profit or Loss ((0.57)%) ...... (11,796) (0.57) Net Financial Assets at Fair Value through Profit or Loss (95.91%) ...... 2,001,867 95.91 Other Net Assets (4.09%) ...... 85,324 4.09 Net Assets...... 2,087,191 100.00

Abbreviation used: ADR - American Depository Receipt NVDR - Non -Voting Depository Receipt REIT - Real Estate Investment Trust SDR - Swedish Depository Receipt

%of Analysis of gross assets – (unaudited) gross assets Transferable securities admitted to an official stock exchange listing...... 92.62 Investment funds (UCITS) ...... 2.33 Exchange traded financial derivative instruments ...... 0.31 Over the counter financial derivative instruments ...... 0.48 Other assets ...... 4.26 100.00

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021 Counterparty exposure risk (Note 12 e))

The following tables analyse the brokers/counterparties for the open financial derivative positions and the respective unrealised gains and losses and fair value.

As at 31 March 2021

Open Forward Foreign Currency Open Futures Exchange Contracts Contracts Total Broker/counterparty USD ‘000 USD ‘000 USD ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Assets Liabilities Morgan Stanley...... 6,485 (8,895) 1 (374) 6,486 (9,269) Royal Bank of Canada ...... - - 1,938 (547) 1,938 (547) Standard Chartered Bank...... - - 1,129 (148) 1,129 (148) State Street Bank and Trust Company ...... - - 1,499 (550) 1,499 (550) UBS AG ...... - - 1,822 (524) 1,822 (524) Other* ...... - - 3,748 (758) 3,748 (758) Total financial derivative positions...... 6,485 (8,895) 10,137 (2,901) 16,622 (11,796)

As at 31 March 2020

Open Forward Foreign Currency Open Futures Exchange Contracts Contracts Total Broker/counterparty USD ‘000 USD ‘000 USD ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Assets Liabilities Bank of Montreal ...... - - 3,070 (272) 3,070 (272) Citibank...... - - 2,768 (5,513) 2,768 (5,513) Morgan Stanley...... 10,003 (13,910) - - 10,003 (13,910) Royal Bank of Canada ...... - - 3,361 (4,111) 3,361 (4,111) State Street Bank And Trust Company ...... - - 5,438 (2,171) 5,438 (2,171) Other** ...... - - 6,829 (8,229) 6,829 (8,229) Total financial derivative positions...... 10,003 (13,910) 21,466 (20,296) 31,469 (34,206)

* The brokers/counterparties included here are Bank of America Merrill Lynch, Bank of Montreal, Bank of New York, JP Morgan and Toronto Dominion Bank. ** The brokers/counterparties included here are Bank of America Merrill Lynch, Bank of New York, Brown Brothers Harriman, Standard Chartered Bank for open forward foreign currency exchange contracts.

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021 Fair Value Hierarchy (Note 12 b) i))

The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2021 and 31 March 2020.

As at 31 March 2021

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... 1,947,568 - 415 1,947,983 Investment funds ...... - 49,058 - 49,058 Unrealised gain on open futures contracts ...... 6,485 - - 6,485 Unrealised gain on open forward foreign currency exchange contracts...... - 10,137 - 10,137 Total assets...... 1,954,053 59,195 415 2,013,663

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (8,895) - - (8,895) Unrealised loss on open forward foreign currency exchange contracts...... - (2,901) - (2,901) Total liabilities...... (8,895) (2,901) - (11,796)

As at 31 March 2020

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... 1,641,271 - 455 1,641,726 Investment funds ...... - 67,090 - 67,090 Unrealised gain on open futures contracts ...... 10,003 - - 10,003 Unrealised gain on open forward foreign currency exchange contracts...... - 21,466 - 21,466 Total assets...... 1,651,274 88,556 455 1,740,285

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (13,910) - - (13,910) Unrealised loss on open forward foreign currency exchange contracts...... - (20,296) - (20,296) Total liabilities...... (13,910) (20,296) - (34,206)

The accompanying notes are an integral part of the financial statements.

Russell Investments World Equity Fund 151 Russell Investment Company II plc Russell Investments World Equity Fund

Statement of Changes in Composition of Portfolio* (unaudited)

For the Financial year ended 31 March 2021

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. 152 Russell Investments World Equity Fund Russell Investment Company II plc Russell Investments China Equity Fund

Manager’s Report

Investment Manager as at 31 March 2021 Russell Investments Limited

Investment Adviser as at 31 March 2021 Bank of Communications Schroders Fund Management Co., Ltd.

Money Managers as at 31 March 2021 Bin Yuan Capital Ltd Keywise Capital Management (HK) Limited

Investment Objective The investment objective of the Russell Investments China Equity Fund (the “Fund”) is to achieve long-term capital appreciation through investing in companies established in or operating in the People’s Republic of China (the “PRC”). In order to achieve the Fund’s investment objective, the Fund will invest primarily (meaning no less than 80 per cent of NAV) in Chinese companies listed on exchanges in the PRC and Hong Kong. Up to 20 per cent of NAV may be invested in: (i) Permitted Securities including stock index futures (subject to a maximum of 10% in fixed income securities). Stock index futures may be traded outside or inside the PRC; (ii) Cash which may be held outside or inside the PRC, and may be equitized using stock index futures. Cash held inside the PRC is used for ancillary liquidity purposes; and/or (iii) UCITS Exchange Traded Funds that are considered to be collective investment schemes and that meet the criteria set out in the Central Bank Regulations (subject to a maximum of 10%).

Fund Performance During the financial year ended 31 March 2021, the Fund (Class A) returned 60.9 per cent on a gross-of-fee basis (59.0 per cent on a net-of-fee basis), while the benchmark* returned 45.8 per cent.

Market Comment Chinese equities performed well in the second quarter of 2020. It was a period of strong performance from health care and information technology stocks. Tensions with the US remained heightened, despite a joint statement affirming expectations for both countries to meet their “phase one” trade agreement obligations. US President Trump threatened fresh tariffs after accusing China of failing to contain the coronavirus outbreak. US Secretary of State Mike Pompeo later stated Hong Kong was no longer autonomous from China – which could see the region lose its favourable economic trading status with the US. This followed China’s annual parliament meeting, where a new security law increasing control over Hong Kong was approved. The country also dropped its annual GDP growth target for the first time. Economic data showed resilient business sentiment despite a sharp slowdown in international trade and domestic retail sales. In the third quarter of 2020, Chinese equities performed well despite ongoing diplomatic tensions with the US. US President Trump banned Chinese mobile apps TikTok and WeChat from operating in the US for national security reasons. However, this was delayed by legal action. Consumer discretionary and information technology stocks performed well as the economy continued to show a gradual recovery from the Covid-19 pandemic. Exports surged 9.5 per cent year-on-year (YoY) in August – the strongest increase this year – while manufacturing data and sentiment indicators were broadly positive. Notably, the Organization for Economic Cooperation and Development projected China would be the only major economy to experience positive growth this year, after upgrading its outlook to a 1.8 per cent expansion. In the final quarter of 2020, Chinese equities climbed higher. The consumer discretionary sector underperformed, driven by the sell-off for e-commerce stock Alibaba. Beijing announced an antitrust investigation into the company a month after authorities stopped sister company Ant’s USD 37 billion initial public offering. Politically, tensions remained strained with the US. The US Commerce Department added numerous companies to a restriction blacklist over the quarter. This included banning Semiconductor Manufacturing International Corporation (SMIC) from accessing US technology. US index providers also removed select Chinese companies from its benchmarks following US President Trump’s executive order. In contrast, political relations with the EU were strengthened after the agreement of a new investment treaty. Domestically, economic data remained healthy. The Caixin manufacturing purchasing managers’ index (PMI) increased ahead of expectations to its highest since November 2010 at 54.9 in November. The composite measure ticked up to 57.5 (three-year high) while the services measure read 57.8. Retail sales (5.0 per cent YoY) and industrial production (7.0 per cent YoY) increased in- line with expectations in November. However, inflation turned negative for the first time since 2009 at -0.5 per cent YoY in November.

Russell Investments China Equity Fund 153 Russell Investment Company II plc Russell Investments China Equity Fund

Manager’s Report - continued

In the first quarter of 2021, Chinese equities declined in a period where its large cap growth stocks underperformed. A net tightening of liquidity by the central bank, through open market operations, weighed on investor sentiment. Nevertheless, the People’s Bank of China attempted to reassure investors as it held rates at 3.85 per cent (1 year) and 4.65 per cent (5 year) respectively. China Premier Li Keqiang revealed a 2021 growth target of “above 6 per cent” at the National People’s Congress. This target is lower than previous years.

Geopolitical relations with the US remained strained. US President Biden’s administration confirmed the Trump-era trade deal progress with China was “under review”. However, the first high-level talks between the nations were heated as officials traded strong opinions regarding issues in Hong Kong, Taiwan and Xinjiang. Late in the period, Hong Kong-listed technology firms such as Alibaba, Tencent and Baidu struggled owing to their possible delisting from US exchanges. Domestic state interference concerns also dampened investor enthusiasm. The possibility that the companies’ user data may be accessed by Beijing authorities caused alarm. Meanwhile, Jack Ma’sAnt Group was forced to restructure inside a financial holding to comply with regulators. The absence of this led to the company’s halted USD 37 billion initial public offering last year. Markets were closed in mid- February for the Spring Festival celebrating Lunar New Year.

General Comment on Money Managers/Performance The Fund outperformed in the second quarter. The tilt away from large capitalization stocks suited the market environment. Effective selection, particularly of small cap and high growth stocks, underpinned excess returns. This was strongest within the communication services sector. Positioning and selection within the information technology (overweight), industrials and consumer discretionary sectors (both underweight) contributed. An underweight to financials was rewarded although exposure to the real estate sector detracted. Pan China manager Bin Yuan was a notable contributor, significantly outperforming the benchmark through strong stock selection. The Fund outperformed the strong benchmark return and extended its year-to-date outperformance in the third quarter of 2020. Effective stock selection underpinned excess returns, particularly among high growth stocks. Stock selection was strong within the information technology, industrials and financials sectors. However, positioning and negative selection within the consumer discretionary (underweight) and health care (overweight) sectors detracted. A-share manager BOCOM Schroders was the standout performer in a positive environment for its growth tilt. The Fund outperformed the benchmark return in the fourth quarter and extended its 2020 outperformance. Effective stock selection continued to underpin excess returns. This was strongest within the communication services and consumer discretionary sectors. The tilt towards growth and away from large capitalization stocks suited the market environment. Pan China manager Bin Yuan was a notable contributor, particularly in December, as it significantly outperformed the benchmark through strong stock selection. Unrewarded selection within the consumer staples sector weighed on additional outperformance. The Fund outperformed the benchmark return in the first quarter of 2021. Despite a strong start to the year, Chinese equities declined in US dollar terms over the period. At the Fund level, effective stock selection continued to underpin excess relative returns. This remained strongest within the communication services and consumer discretionary sectors. Selection was also rewarded within the consumer staples and financials sectors. An overweight to the information technology sector weighed on additional outperformance. The Russell Investments positioning strategy benefitted from its value tilt, while Keywise Capital benefitted from its selection of entertainment names.

Past performance is no indication of present or future performance. * Benchmark Source: MSCI China All Shares Index USD – Net Returns Russell Investments Ireland Limited May 2021

154 Russell Investments China Equity Fund Russell Investment Company II plc Russell Investments China Equity Fund

Balance Sheet

As at 31 March 2021

31 March 2021 31 March 2020 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss (Note 2) ...... 86,881 50,435

Cash at bank (Note 3)...... 6,765 1,554 Cash held with brokers and counterparties for open financial derivative instruments (Note 3)...... 1,253 312

Debtors: Receivable for investments sold ...... 261 75 Receivable on fund shares issued ...... 1,703 58 Dividends receivable...... 2 7 Prepayments and other debtors...... 3 5 96,868 52,446 Liabilities Financial liabilities at fair value through profit or loss (Note 2)...... (269) (89)

Creditors – amounts falling due within one financial year: Payable for investments purchased...... (553) - Payable on fund shares redeemed...... (81) (326) Management fees payable...... (80) (45) Performance fees payable ...... (248) (131) Depositary fees payable...... (4) (2) Sub-custodian fees payable...... (14) (7) Administration fees payable ...... (6) (1) Audit fees payable ...... (13) (14) (1,268) (615)

Net assets attributable to redeemable participating shareholders ...... 95,600 51,831

The accompanying notes are an integral part of the financial statements.

Russell Investments China Equity Fund 155 Russell Investment Company II plc Russell Investments China Equity Fund

Profit and Loss Account

For the financial year ended 31 March 2021

2021 2020 USD ‘000 USD ‘000 Income Dividends...... 796868

Net gain (loss) on investment activities (Note 4) ...... 28,432 (609)

Total investment income (expense)...... 29,228 259

Expenses Management fees (Note 5) ...... (700) (521) Performance fees (Note 5)...... (350) (170) Depositary fees (Note 6)...... (8) (6) Sub-custodian fees (Note 6) ...... (53) (40) Administration and transfer agency fees (Note 6)...... (32) (23) Audit fees (Note 6) ...... (13) (14) Professional fees...... (14) (5) Other fees...... (22) (58) Total operating expenses ...... (1,192) (837)

Net income (expense)...... 28,036 (578)

Finance costs Distributions (Note 8)...... (140) (340) Profit (loss) for the financial year before taxation...... 27,896 (918)

Taxation (Note 9) Withholding tax ...... (68) (79)

Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 27,828 (997)

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account.

The accompanying notes are an integral part of the financial statements.

156 Russell Investments China Equity Fund Russell Investment Company II plc Russell Investments China Equity Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the financial year ended 31 March 2021

2021 2020 USD ‘000 USD ‘000 Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations...... 27,828 (997)

Share transactions Reinvestment of deemed distributions on accumulation shares (Note 8)...... 140 340 Net increase (decrease) in net assets resulting from redeemable participating share transactions (Note 10)...... 15,801 2,694

Total net increase (decrease) in net assets attributable to redeemable participating shareholders ...... 43,769 2,037

Net assets attributable to redeemable participating shareholders Beginning of financial year ...... 51,831 49,794

End of financial year ...... 95,600 51,831

The accompanying notes are an integral part of the financial statements.

Russell Investments China Equity Fund 157 Russell Investment Company II plc Russell Investments China Equity Fund

Schedule of Investments

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Transferable Securities (81.41%) 1 JD.com Inc ADR...... 72 0.08 (2020: 93.46%) 36 Meituan Dianping...... 1,385 1.45 Common Stock (81.41%) (2020: 93.46%) 1 Pinduoduo Inc ADR ...... 160 0.17 Bermuda (0.74%) 82 Tencent Holdings Ltd .... 6,426 6.72 Automobiles Miscellaneous Manufacturers 28 Brilliance China 45 Sunny Optical Automotive Holdings Technology Group Co Ltd ...... 26 0.03 Ltd ...... 1,021 1.07 Oil and Gas Real Estate 32 Kunlun Energy Co Ltd .. 34 0.04 12 Agile Group Holdings Retail Trade Ltd ...... 20 0.02 102 Alibaba Health 17 China Evergrande Information Technology Group...... 32 0.03 Ltd ...... 289 0.30 26 China Resources Land 163 Man Wah Holdings Ltd . 337 0.35 Ltd ...... 126 0.13 90 China Resources Mixc Water Utilities Lifestyle Services Ltd.... 538 0.56 48 Beijing Enterprises 24 CIFI Holdings Group Water Group Ltd...... 18 0.02 Co Ltd...... 23 0.03 704 0.74 42 Country Garden Cayman Islands (25.72%) Services Holdings Co Automobiles Ltd ...... 426 0.45 43 Geely Automobile 12 Logan Property Holdings Ltd...... 109 0.12 Holdings Co Ltd ...... 20 0.02 8 Li Auto Inc ADR ...... 203 0.21 10 Shimao Property 190 Yadea Group Holdings Holdings Ltd...... 32 0.03 Ltd ...... 422 0.44 Retail Trade Building Products 67 ANTA Sports Products 24 China Resources Ltd ...... 1,092 1.14 Cement Holdings Ltd .... 27 0.03 16 MINISO Group Holding Ltd ADR ...... 382 0.40 Chemicals 6 Zhongsheng Group 6 Kingboard Holdings Holdings Ltd...... 39 0.04 Ltd ...... 32 0.03 Software Commercial Services and Supplies 19 Bilibili Inc ADR ...... 2,024 2.12 - TAL Education Group - NetEase Inc ADR ...... 27 0.03 ADR...... 18 0.02 3 Sea Ltd ADR ...... 513 0.53 Computers and Peripherals Telecommunications 1,390 Chinasoft International 205 Xiaomi Corp...... 680 0.71 Ltd ...... 1,495 1.57 24,589 25.72 Food Products China (51.80%) 4 Yihai International Advertising Holding Ltd ...... 41 0.04 216 Focus Media Home Furnishings Information Technology 219 JS Global Lifestyle Co Co Ltd...... 306 0.32 Ltd ...... 593 0.62 Agriculture Internet Software and Services 9 Guangdong Haid Group 102 Alibaba Group Holding Co Ltd...... 109 0.11 Ltd ...... 2,881 3.01 Airlines 11 Alibaba Group Holding 396 Air China Ltd Ltd ADR ...... 2,538 2.66 (Class H)...... 343 0.36 9 Baidu Inc ...... 233 0.24 4 Baidu Inc ADR ...... 959 1.00

The accompanying notes are an integral part of the financial statements.

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Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Auto Components 9 Luzhou Laojiao Co Ltd . 309 0.32 18 Weichai Power Co Ltd ... 44 0.05 7 Shanxi Xinghuacun Fen Wine Factory Co Ltd ..... 335 0.35 Automobiles 24 Dongfeng Motor Group Biotechnology Co Ltd...... 22 0.02 9 Shenzhen Kangtai 27 Great Wall Motor Co Biological Products Co Ltd ...... 75 0.08 Ltd ...... 180 0.19 26 Guangzhou Automobile Building Products Group Co Ltd...... 22 0.02 11 Anhui Conch Cement Banks Co Ltd...... 72 0.08 106 Agricultural Bank of 37 Beijing Oriental Yuhong China Ltd...... 55 0.06 Waterproof Technology 168 Bank of Chengdu Co Co Ltd...... 288 0.30 Ltd ...... 289 0.30 36 China National Building 106 Bank of China Ltd Material Co Ltd ...... 52 0.05 (Class A)...... 54 0.06 45 Hongfa Technology Co 119 Bank of China Ltd Ltd ...... 342 0.36 (Class H)...... 45 0.05 Chemicals 34 Bank of 211 Hengli Petrochemical Communications Co Co Ltd...... 943 0.98 Ltd ...... 26 0.03 189 Rongsheng Petro 66 China CITIC Bank Chemical Co Ltd ...... 792 0.83 Corp Ltd ...... 55 0.06 229 Sinoma Science & 49 China Construction Technology Co Ltd ...... 814 0.85 Bank Corp (Class A) ..... 55 0.06 85 Sinopec Shanghai 264 China Construction Petrochemical Co Ltd .... 46 0.05 Bank Corp (Class H) ..... 222 0.23 14 Wanhua Chemical 243 China Everbright Bank Group Co Ltd...... 229 0.24 Co Ltd...... 151 0.16 89 China Merchants Bank Commercial Services and Supplies Co Ltd (China listed)..... 691 0.72 161 Bank of Chengdu Co 421 China Merchants Bank Ltd ...... 693 0.72 Co Ltd (Hong-Kong Construction and Engineering listed)...... 3,218 3.37 316 China Communications 115 China Minsheng Services Corp Ltd...... 142 0.15 Banking Corp Ltd 46 China Railway Group (Class A)...... 89 0.09 Ltd (Class A) ...... 42 0.04 80 Industrial & 35 China Railway Group Commercial Bank of Ltd (Class H) ...... 18 0.02 China Ltd (Class A)...... 67 0.07 74 China State 610 Industrial & Construction Commercial Bank of Engineering Corp Ltd.... 58 0.06 China Ltd (Class H)...... 438 0.46 152 Industrial Bank Co Ltd.. 558 0.58 Containers and Packaging 42 Postal Savings Bank of 213 Shenzhen YUTO China Co Ltd ...... 31 0.03 Packaging Technology 42 Shanghai Pudong Co Ltd...... 948 0.99 Development Bank Co Distributors Ltd ...... 71 0.07 31 Liaoning Cheng Da Co Beverages Ltd ...... 98 0.10 9 Jiangsu Yanghe 70 Shanghai Jahwa United Brewery Joint-Stock Co Co Ltd...... 508 0.53 Ltd ...... 226 0.24 8 Kweichow Moutai Co Ltd ...... 2,544 2.66

The accompanying notes are an integral part of the financial statements.

Russell Investments China Equity Fund 159 Russell Investment Company II plc Russell Investments China Equity Fund

Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Diversified Financials Food Products 10 CITIC Securities Co 105 Chongqing Fuling Ltd ...... 35 0.04 Zhacai Group Co Ltd..... 670 0.70 18 Haitong Securities Co 15 Juewei Food Co Ltd...... 176 0.19 Ltd ...... 31 0.03 Health Care Equipment and Supplies Electric Utilities 6 Intco Medical 84 An Hui Wenergy Co Technology Co Ltd ...... 133 0.14 Ltd ...... 59 0.06 58 Venus MedTech 91 CGN Power Co Ltd...... 22 0.02 Hangzhou Inc ...... 470 0.49 28 China Longyuan Power Health Care Providers and Services Group Corp Ltd ...... 38 0.04 142 Aier Eye Hospital 93 Huadian Power Group Co Ltd...... 1,278 1.34 International Corp Ltd... 53 0.06 11 Web results ...... 239 0.25 64 Huaneng Power 217 Xian International International Inc ...... 43 0.05 Medical Investment Co 156 Inner Mongolia Ltd ...... 458 0.48 MengDian HuaNeng Thermal Power Corp Holding Companies - Diversified Ltd ...... 65 0.07 Operations 281 Wintime Energy Co 92 Humanwell Healthcare Ltd ...... 61 0.06 Group Co Ltd...... 433 0.45 Electrical Equipment Home Furnishings 221 Chaozhou Three-Circle 101 Ecovacs Robotics Co Group Co Ltd...... 1,413 1.48 Ltd ...... 2,109 2.21 10 Contemporary Amperex 60 Gree Electric Technology Co Ltd ...... 495 0.52 Appliances Inc of 28 Eve Energy Co Ltd ...... 320 0.33 Zhuhai...... 573 0.60 11 Guangzhou Shiyuan 141 Haier Smart Home Co Electronic Technology Ltd (Class H) ...... 564 0.59 Co Ltd...... 216 0.22 68 Jason Furniture 29 Luxshare Hangzhou Co Ltd ...... 836 0.87 Precision Industry Co 31 Midea Group Co Ltd ..... 385 0.40 Ltd ...... 152 0.16 116 Sichuan Changhong 1 Shengyi Technology Co Electric Co Ltd ...... 46 0.05 Ltd ...... 2 0.00 Insurance 58 Shenzhen Megmeet 21 China Life Insurance Co Electrical Co Ltd ...... 291 0.30 Ltd ...... 100 0.11 68 Sieyuan Electric Co 6 China Life Insurance Co Ltd ...... 306 0.32 Ltd (Hong Kong listed) . 12 0.01 54 TBEA Co Ltd ...... 92 0.10 15 China Pacific Insurance 31 Wingtech Technology Group Co Ltd...... 88 0.09 Co Ltd...... 466 0.49 93 New China Life 47 Xinjiang Goldwind Insurance Co Ltd ...... 690 0.72 Science & Technology 60 PICC Property & Co Ltd...... 102 0.11 Casualty Co Ltd...... 52 0.05 Energy Equipment and Services 60 Ping An Insurance 43 JA Solar Technology Co Group Co of China Ltd Ltd ...... 189 0.20 (Class A)...... 722 0.76 72 LONGi Green Energy 141 Ping An Insurance Technology Co Ltd ...... 965 1.01 Group Co of China Ltd - Suzhou Maxwell (Class H)...... 1,678 1.76 Technologies Co Ltd...... 8 0.01 41 ZhongAn Online P&C Insurance Co Ltd ...... 249 0.26

The accompanying notes are an integral part of the financial statements.

160 Russell Investments China Equity Fund Russell Investment Company II plc Russell Investments China Equity Fund

Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % Lodging 81 Shenzhen SC New 24 Shanghai Jinjiang Energy Technology International Hotels Co Corp...... 1,343 1.40 Ltd ...... 205 0.21 48 Unigroup Guoxin Microelectronics Co Machinery Ltd ...... 780 0.82 229 NARI Technology Co Ltd ...... 1,086 1.14 Software 11 Hundsun Technologies Metals and Mining Inc...... 143 0.15 22 YongXing Special Materials Technology Telecommunications Co Ltd...... 157 0.16 41 China Zhenhua Group 18 Zhejiang Huayou Cobalt Science & Technology Co Ltd...... 193 0.20 Co Ltd...... 336 0.35 118 Zhejiang Sanhua 28 Quectel Wireless Intelligent Controls Co Solutions Co Ltd...... 903 0.95 Ltd ...... 370 0.39 Textile and Apparel Oil and Gas 110 Tongkun Group Co Ltd . 346 0.36 121 China Petroleum & Transport Chemical Corp...... 80 0.08 88 SF Holding Co Ltd ...... 1,083 1.13 84 PetroChina Co Ltd...... 55 0.06 55 Xiamen C & D Inc...... 71 0.08 Paper and Forest Products 49,523 51.80 156 Shandong Chenming Paper Holdings Ltd...... 241 0.25 Hong Kong (1.73%) Banks Personal Products 50 CITIC Ltd...... 47 0.05 530 C&S Paper Co Ltd...... 2,089 2.19 Commercial Services and Supplies Pharmaceuticals 13 China Merchants Port 116 Guangzhou Baiyunshan Holdings Co Ltd ...... 20 0.02 Pharmaceutical Holdings Co Ltd ...... 281 0.29 Diversified Financials 35 Jiangsu Hengrui 20 Far East Horizon Ltd ..... 24 0.02 Medicine Co Ltd...... 497 0.52 12 Hong Kong Exchanges & Clearing Ltd...... 706 0.74 Real Estate 210 China Vanke Co Ltd Electric Utilities (Class A)...... 963 1.01 18 China Resources Power 154 China Vanke Co Ltd Holdings Co Ltd ...... 24 0.02 (Class H)...... 601 0.63 Energy Equipment and Services 279 Everbright Jiabao Co 32 China Everbright Ltd ...... 137 0.14 International Ltd...... 22 0.02 158 Gemdale Corp ...... 289 0.30 12 Guangzhou R&F Gas Utilities Properties Co Ltd ...... 16 0.02 5 Beijing Enterprises 135 Shanghai Shimao Co Holdings Ltd...... 16 0.02 Ltd ...... 89 0.09 Insurance Retail Trade 30 AIA Group Ltd ...... 364 0.38 44 China International 14 China Taiping Insurance Travel Service Corp Holdings Co Ltd ...... 28 0.03 Ltd ...... 2,076 2.17 Lodging 117 Orient Group Inc ...... 66 0.07 22 Fosun International Ltd . 31 0.03 Semiconductor Equipment and Products 194 SJM Holdings Ltd ...... 253 0.27 26 SG Micro Corp...... 927 0.97 Real Estate 48 China Jinmao Holdings Group Ltd ...... 19 0.02

The accompanying notes are an integral part of the financial statements.

Russell Investments China Equity Fund 161 Russell Investment Company II plc Russell Investments China Equity Fund

Schedule of Investments - continued

31 March 2021

Number Fair Value Fund Number Fair Value Fund of Shares ’000 USD ’000 % of Shares ’000 USD ’000 % 29 China Overseas Land & Investment Funds (9.40%) (2020: 3.57%) Investment Ltd...... 77 0.08 Ireland (9.40%) 10 Wharf Holdings Ltd...... 27 0.03 9 Russell Investments 1,658 1.73 Company III plc Russell Investments U.S. Dollar Taiwan (0.57%) Cash Fund II - Class R Semiconductor Equipment and Products Roll-Up Shares ...... 8,985 9.40 4 Taiwan Semiconductor Manufacturing Co Ltd Total Investment ADR...... 544 0.57 Funds ...... 8,985 9.40 United States (0.85%) Total Investments Personal Products excluding Financial 2 Estee Lauder Cos Inc..... 495 0.52 Derivative Instruments ...... 86,813 90.81 Retail Trade 5 Yum China Holdings Inc...... 315 0.33 810 0.85 Total Common Stock... 77,828 81.41 Total Transferable Securities ...... 77,828 81.41

Financial Derivative Instruments ((0.21)%) (2020: 0.10%) Open Futures Contracts ((0.20)%)

Notional Average Unrealised Amount Cost Price Gain (Loss) Fund USD ‘000 USD USD ‘000 % 4,327 16,971.13 255 of FTSE China A50 Index Futures Long Futures Contracts Expiring April 2021...... 54 0.06 9,585 1,220.98 157 of MSCI China Free Index Futures Long Futures Contracts Expiring June 2021...... (246) (0.26) Unrealised gain on open futures contracts...... 54 0.06 Unrealised loss on open futures contracts ...... (246) (0.26) Net unrealised gain (loss) on open futures contracts ...... (192) (0.20)

Open Forward Foreign Currency Exchange Contracts ((0.01)%)

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 16/06/2021 CNY 12,160 USD 1,857 (14) (0.01) 16/06/2021 CNY 2,850 USD 431 1 0.00

The accompanying notes are an integral part of the financial statements.

162 Russell Investments China Equity Fund Russell Investment Company II plc Russell Investments China Equity Fund

Schedule of Investments - continued

31 March 2021

Unrealised Settlement Amount Amount Gain (Loss) Fund Date Bought ’000 Sold ’000 USD ‘000 % 16/06/2021 CNY 25,658 USD 3,899 (9) (0.01) 16/06/2021 USD 1,792 CNY 11,730 13 0.01 Unrealised gain on open forward foreign currency exchange contracts...... 14 0.01 Unrealised loss on open forward foreign currency exchange contracts...... (23) (0.02) Net unrealised gain (loss) on open forward foreign currency exchange contracts...... (9) (0.01) Total Financial Derivative Instruments ...... (201) (0.21)

Fair Value Fund USD ‘000 % Total Financial Assets at Fair Value through Profit or Loss (90.88%)...... 86,881 90.88 Total Financial Liabilities at Fair Value through Profit or Loss ((0.28)%) ...... (269) (0.28) Net Financial Assets at Fair Value through Profit or Loss (90.60%) ...... 86,612 90.60 Other Net Assets (9.40%) ...... 8,988 9.40 Net Assets...... 95,600 100.00

Abbreviation used: ADR - American Depository Receipt

%of Analysis of gross assets – (unaudited) gross assets Transferable securities admitted to an official stock exchange listing...... 79.91 Transferable securities dealt in on another regulated market...... 0.38 Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ...... 0.05 Investment funds (UCITS) ...... 9.28 Exchange traded financial derivative instruments ...... 0.06 Over the counter financial derivative instruments ...... 0.01 Other assets ...... 10.31 100.00

The accompanying notes are an integral part of the financial statements.

Russell Investments China Equity Fund 163 Russell Investment Company II plc Russell Investments China Equity Fund

Schedule of Investments - continued

31 March 2021 Counterparty exposure risk (Note 12 e))

The following tables analyse the brokers/counterparties for the open financial derivative positions and the respective unrealised gains and losses and fair value.

As at 31 March 2021

Open Forward Foreign Currency Open Futures Exchange Contracts Contracts Total Broker/counterparty USD ‘000 USD ‘000 USD ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Assets Liabilities Goldman Sachs ...... 54 (246) - - 54 (246) State Street Bank and Trust Company ...... - - 14 (14) 14 (14) UBS AG ...... - - - (9) - (9) Total financial derivative positions...... 54 (246) 14 (23) 68 (269)

As at 31 March 2020

Open Forward Foreign Currency Open Futures Exchange Contracts Contracts Total Broker/counterparty USD ‘000 USD ‘000 USD ’000 Unrealised Unrealised Fair Value Gains Losses Gains Losses Assets Liabilities Citibank...... - - 1 - 1 - Goldman Sachs ...... 131 (51) - - 131 (51) Royal Bank of Canada ...... - - 1 - 1 - State Street Bank And Trust Company ...... - - 10 (38) 10 (38) Total financial derivative positions...... 131 (51) 12 (38) 143 (89)

The accompanying notes are an integral part of the financial statements.

164 Russell Investments China Equity Fund Russell Investment Company II plc Russell Investments China Equity Fund

Schedule of Investments - continued

31 March 2021 Fair Value Hierarchy (Note 12 b) i))

The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2021 and 31 March 2020.

As at 31 March 2021

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... 77,828 - - 77,828 Investment funds ...... - 8,985 - 8,985 Unrealised gain on open futures contracts ...... 54 - - 54 Unrealised gain on open forward foreign currency exchange contracts...... - 14 - 14 Total assets...... 77,882 8,999 - 86,881

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (246) - - (246) Unrealised loss on open forward foreign currency exchange contracts...... - (23) - (23) Total liabilities...... (246) (23) - (269)

As at 31 March 2020

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets Financial assets at fair value through profit or loss: Investments at fair value: Transferable securities...... 48,443 - - 48,443 Investment funds ...... - 1,849 - 1,849 Unrealised gain on open futures contracts ...... 131 - - 131 Unrealised gain on open forward foreign currency exchange contracts...... - 12 - 12 Total assets...... 48,574 1,861 - 50,435

Liabilities Financial liabilities at fair value through profit or loss: Unrealised loss on open futures contracts ...... (51) - - (51) Unrealised loss on open forward foreign currency exchange contracts...... - (38) - (38) Total liabilities...... (51) (38) - (89)

The accompanying notes are an integral part of the financial statements.

Russell Investments China Equity Fund 165 Russell Investment Company II plc Russell Investments China Equity Fund

Statement of Changes in Composition of Portfolio* (unaudited)

For the Financial year ended 31 March 2021

* Significant portfolio changes are defined as the value of purchases exceeding 1% of total cost of purchases, and sales exceeding 1% of total proceeds. At a minimum the twenty largest purchases and twenty largest sales must be shown. Should there have been less than that amount of transactions, all such transactions have been disclosed. Securities held to maturity, which matured during the reporting period, have been excluded from the Statement of Changes in Composition of Portfolio. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s Administrator or from the paying agent or paying and information agents in each country of distribution. 166 Russell Investments China Equity Fund Russell Investment Company II plc

Notes to the Financial Statements

31 March 2021

1. Basis of Preparation a) Statement of Compliance The Company’s financial statements are prepared in accordance with accounting standards generally accepted in Ireland (“Irish GAAP”) including Financial Reporting Standard (“FRS”) 102, the financial reporting standard applicable in the UK and Republic of Ireland, Irish statute comprising the Companies Act and the provisions of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS Regulations”). Irish GAAP, in preparing financial statements which present a true and fair view, are those issued by the Financial Reporting Council (FRC). The Companies Act prescribed formats for financial statements have been adapted to make them more applicable to investment funds.

The financial statements are prepared on a going concern basis for all Funds with the exception of Russell Investments Emerging Markets Extended Opportunities Fund whose financial statements have been prepared on a termination basis of accounting as the Fund ceased trading during the financial year.

The Company has availed of the exemption available to open ended investment funds that hold a substantial proportion of highly liquid and fair valued investments under Section 7 of FRS 102 and is not presenting cash flow statements. The information required by FRS 102 to be included in a statement of comprehensive income is, in the opinion of the Directors, contained in the Profit and Loss Account of each Fund.

Investments on each individual Schedule of Investments less than 500 in value in the presentation currency of the respective Fund are rounded to zero. The transferable securities listed on each Fund’s Schedule of Investments are listed in the order of country of incorporation of the respective security and the number of shares, in respect of equities, and the principal amount, in respect of debt instruments, held have been rounded to the nearest thousand (number of shares are rounded to zero where less than 500 shares are held). b) Combined Financial Statements The combined financial statements of the Company are measured using Euro, being the functional currency of the primary economic environment in which it operates. The Company has also adopted Euro as the presentation currency. The financial statements of each Fund are prepared in the functional currency of the respective Fund. The functional currency of each Fund is that as disclosed on the primary statements of the respective Fund. The accounts of the individual Funds are translated into Euro and accumulated for preparation of the combined financial statements.

For the purpose of producing the Combined Balance Sheet, respective financial year end exchange rates are used. For the purpose of producing the Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders, the average exchange rates for the respective financial year are used. The currency gain or loss on retranslation of opening net assets, and the average rate difference arising on the translation of the Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders, is included in the Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders. This translation adjustment does not impact the net asset value per share of any of the individual Funds. c) Estimates and judgements The preparation of financial statements in conformity with Irish GAAP requires the use of certain critical accounting estimates. It also requires the Board of Directors, based on the advice of the Manager, to exercise its judgement in the process of applying the Company’s accounting policies. Management also makes estimates and assumptions concerning the future. The resulting accounting estimates will, by definition, seldom equal the related actual results. The areas involving a higher degree of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are determining fair values of certain financial instruments, as discussed in section a) of Note 2 to the financial statements and determining the functional currency of the Company and individual Funds as discussed in section d) of Note 2 to the financial statements.

Notes to the Financial Statements 167 Russell Investment Company II plc

Notes to the Financial Statements - continued

31 March 2021

2. Accounting Policies

The significant accounting policies adopted by the Company for the financial year ended 31 March 2021 are as follows: a) Financial Instruments at Fair Value through Profit or Loss This category has two sub-categories: financial assets and liabilities held for trading, and those designated by Directors at fair value through profit and loss at inception. All instruments on each Fund’s Schedule of Investments are classified at fair value through profit or loss. Subsequent to initial recognition, all instruments classified at fair value through profit or loss are measured at fair value with changes in their fair value recognised in the Profit and Loss Account.

i) Investments Securities listed on a recognised stock exchange or traded on any other regulated market are valued at the current last traded market price on the stock exchange or market which constitutes the principal market for such securities. When applicable, the Manager or a delegate of the Manager i.e. Russell Investments Securities Valuation Committee EMEA will assess unlisted and suspended securities for their net realisable value or the last traded price from broker-dealers for non-exchange-trade purposes. In some cases, fair value techniques may be adopted. Such techniques involve significant estimations and assumptions which means that the value from the technique may differ from the value when it is eventually realised.

Debt securities traded on a regulated market are valued on the basis of valuations provided by a principal market- maker or pricing service vendors approved by the Manager. The same committee will review any stale price securities and may consider adjustments should the stale price be deemed not the fair value of the security based on market information provided.

Commercial paper is valued on an amortised basis with reference to the maturity date of these instruments, which ap- proximates fair value.

Deposits with credit institutions are valued at par.

Investments in open-ended investment funds are valued at fair value at the latest available unaudited net asset value for the shares or units obtained from the relevant administrator. The changes in the daily net asset value of these shares are recognised as net gain (loss) on investment activities in the Profit and Loss Account.

ii) Warrants Warrants are sometimes used to gain exposure to emerging market equities where custody, liquidity, or other issues make ownership of local shares sub-optimal.

The valuation of the warrants depends on the level of trading. If the warrants are actively traded in the market then the market price is used. If the warrants are not actively traded in the market then either the intrinsic value of the warrant based on underlying equity price and warrant strike price or modified Black Scholes derived value, adjusted for liquidity/other risks deemed appropriate are used.

iii) To Be Announced (“TBA”) Commitments Certain Funds may enter into TBA purchase commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been final- ised.

These Funds hold, and maintain until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the Funds may enter into offsetting contracts for the forward sale of other securities they own.

Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, the risk of which is in addition to the risk of decline in the value of a Fund’s other assets.

Unsettled TBA purchase commitments are valued at the current fair value of the underlying securities, according to the procedures described under the Investments section of this note.

168 Notes to the Financial Statements Russell Investment Company II plc

Notes to the Financial Statements - continued

31 March 2021

2. Accounting Policies - continued

Although the Funds may enter into TBA purchase commitments with the intention of acquiring securities for their portfolios or for delivery pursuant to options contracts they have entered into, the Funds may dispose of a commitment prior to settlement if the Money Manager deems it appropriate to do so. The TBA is accounted for in line with the accounting policy for the underlying instruments.

Certain Funds may enter into TBA sale commitments to hedge their portfolio positions or to sell mortgage backed securities they own under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date.

During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Unsettled TBA sale commitments are valued at the current fair value of the underlying securities. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealised gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the Funds realise a gain or loss. If the Funds deliver securities under the commitment, the Funds realise a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

iv) Forward and Spot Foreign Currency Exchange Contracts The fair value of open forward foreign currency exchange contracts, and open foreign currency exchange spot contracts, is calculated as the difference between the contracted rate and the current forward rate that would close out the contract on the balance sheet date. For each relevant Fund, gains or losses on open foreign currency exchange spot contracts are included in cash at bank in the Balance Sheet and gains or losses on open forward foreign currency exchange contracts are included in financial assets or liabilities at fair value through profit or loss, as appropriate, on the Balance Sheet and Schedule of Investments.

v) Futures Contracts Initial margin deposits are made upon entering into futures contracts and are generally made in cash or cash equivalents. The fair value of futures contracts is based upon their current quoted daily settlement prices on the relevant exchange as of the balance sheet date. Changes in the value of open futures contracts are recognised as unrealised gains or losses on futures contracts until the contracts are terminated, at which time realised gains and losses are recognised. For each relevant Fund, gains or losses on open futures contracts are shown in the Schedule of Investments of each relevant Fund and as appropriate, on the Balance Sheet as financial assets or liabilities at fair value through profit or loss.

vi) Options Each Fund may purchase and sell (write) call and put options on securities, securities indices and foreign currencies traded on a national securities exchange or in an over-the-counter market.

When a Fund writes a call or a put option, a premium is received by the Fund. The premium is subsequently marked to market to reflect the fair value of the option written, which is reported within financial assets or liabilities at fair value through profit or loss on the Balance Sheet for each relevant Fund. The difference between the premium amount and the fair value reported on the Balance Sheet gives rise to an unrealised gain (loss).

When a Fund purchases a call or a put option, a premium is paid by the Fund. The premium on purchased put options exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the realised gain or loss. The premium on purchased call options exercised is included in determining initial fair value of the securities or foreign currency purchased. Premiums paid on the purchase of options which expire unexercised are treated as realised losses. The option is subsequently marked to market to reflect the fair value of the option purchased, which is reported within financial assets at fair value through profit or loss on the Balance Sheet for each relevant Fund.

The over-the-counter options are valued at close of business on the dealing day at the settlement price as provided by the counterparty/broker and the values are independently valued, at a minimum, weekly. The fair value of exchange traded options are based upon their quoted daily settlement prices on the relevant exchange. In the event of it being impossible or incorrect to carry out a valuation of a specific investment in accordance with the valuation rules, or if

Notes to the Financial Statements 169 Russell Investment Company II plc

Notes to the Financial Statements - continued

31 March 2021

2. Accounting Policies - continued

such valuation is not representative of a security’s fair market value, the Directors are entitled to use other generally recognised valuation methods in order to reach a proper valuation of that specific instrument, provided that such method of valuation has been approved by the Depositary.

If an option which a Fund has written either expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, a Fund realises a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealised gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which a Fund has written is exercised, a Fund realises a capital gain or loss from the sale of the underlying security, and the proceeds from such sales are increased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option.

vii) Interest Rate Swaps and Credit Default Swaps Interest rate swaps are valued using standard net present value methodologies whereby all future cash flows of the interest rate swaps are discounted to their present value using the appropriate interest rate.

The primary pricing source for interest rate swaps is the vendor, the secondary source is the counterparty price and the tertiary source is the price provided by the relevant Money Manager.

Over-the-counter credit default swaps are valued using standard net present value methodologies whereby all future cashflows of the fixed side of the swap are discounted to their present value using the appropriate interest rate and whereby all future cashflows of the default side of the swap are discounted to their present value based on the cost of default to the default payer. This cost is determined by the recovery rate, notional amount of the contract, and default probability among other factors. An upfront payment received by a Fund, as protection seller, is recorded as a liability on the Fund’s books. An upfront payment made by a Fund, as protective buyer, is recorded as an asset on the Fund’s books. The fair value of exchange traded credit default swaps are based upon their quoted daily settlement prices on the relevant exchange. Yearly payments received or paid are recorded as realised gains or losses and recognised in the Profit and Loss Account.

The primary pricing source for credit default swaps is the vendor, the secondary source is the counterparty price and the tertiary source is the price provided by the relevant Money Manager.

The notional amount of swap contracts is subsequently marked-to-market to reflect the fair value of the swap which is reported as a financial asset or liability at fair value through profit or loss as appropriate on the Balance Sheet for each relevant Fund.

The net amounts of interest payments and receipts on swaps are accrued in the Profit and Loss Account. b) Net Gain (Loss) on Investment Activities In respect of each instrument type classified as financial instruments at fair value through profit or loss, the movement in unrealised gains (losses) since the prior financial year end and realised gains (losses) are recognised within net gain (loss) on investment activities in the Profit and Loss Account for each relevant Fund.

See Note 4 for details of realised gains (losses) and movement in unrealised gains (losses) since the prior financial year end.

Gains and losses on options, swaps and swaptions are included in the investments figure for each relevant Fund. Gains and losses on foreign currency exchange contracts are included in foreign currency exchange gains (losses). c) Accounting for Investment Transactions, Income and Expenses Purchases and sales of investments are recognised on trade date, the date on which the Fund commits to purchase or sell the asset, provided the trade instructions have been received by the Depositary prior to the calculation of the Fund’s net asset value, being 2.30pm (Irish time) on each dealing day (the “Valuation Point”). Any trade instructions received by the Depositary after the Valuation Point will be recognised on the next dealing day. Investments are initially recognised at fair value and transaction costs for all financial assets and financial liabilities carried at fair value through profit or loss are expensed as incurred.

170 Notes to the Financial Statements Russell Investment Company II plc

Notes to the Financial Statements - continued

31 March 2021

2. Accounting Policies - continued

Investments are recognised when the rights to receive cash flows from the investments are transferred to the Fund or the Fund has exposure to substantially all risks and rewards of ownership. Investments are derecognised when the rights to receive cash flows from the investments have expired or the Fund has transferred substantially all risks and rewards of ownership.

Realised gains and losses on investment transactions are calculated using the average cost method. Realised gains and losses on investments transactions in debt instruments are calculated as the difference between sales proceeds and the amortised cost of the instrument. Amortised cost is arrived at using the effective interest method. The effective interest method is a method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or interest expense over the relevant period. Interest income and expense are recognised in the Profit and Loss Account for all relevant instruments using the effective interest method. Gains and losses realised on the sale of all financial assets and financial liabilities carried at fair value through profit or loss are recognised in the Profit and Loss Account.

Dividends are credited to the Profit and Loss Account on the dates on which the relevant securities are listed as “ex dividend”. Income is accounted for gross of any non-reclaimable/irrecoverable withholding taxes and net of any tax credits. The withholding tax is shown separately in the Profit and Loss Account.

The Funds may be subject to taxes imposed by certain countries on capital gains on the sale of investments. Taxes may be imposed by countries including Brazil, India, Indonesia, Bangladesh and Colombia. Capital gains taxes are accounted for on an accruals basis for these countries and are shown as a separate item under taxation in the Profit and Loss Account.

The payable to shareholders as disclosed as a creditor on the Balance Sheet of Russell Investments Emerging Markets Extended Opportunities Fund, which ceased trading during the financial year, is subject to change as the Fund may be subject to unforeseen fees and expenses not accounted for during the financial year ended 31 March 2021. As of the date of the approval of these financial statements, no such fees and expenses have arisen.

Each Fund pays all of its expenses and such proportion of the Company’s expenses as is allocated to that Fund, other than those expressly assumed by the Manager. The costs and gains (losses) of any hedging transactions will be attributable to the relevant Share Class. To the extent that expenses are attributable to a specific Share Class of a Fund, that Share Class bears such expenses. All expenses, as disclosed in the Profit and Loss Account, with the exception of Professional and Other fees, are accrued on a daily basis. Professional fees and Other fees recognised in the Profit and Loss Account are generally charged and paid when billed to the Funds. d) Foreign Currency Transactions In accordance with Section 30 of FRS 102, items included in the individual Fund’s financial statements are measured using the currency of the primary economic environment in which it operates (functional currency). The Directors’ selection of the functional currency is attributable to the functional currency being: (a) the major component of the Fund’s benchmarks; or (b) the common currency of monies received on subscriptions and paid out on redemptions of shares for most clients in the Funds’ varied client base or (c) the common currency of the majority of the investments held on the Fund. The functional currency assessment is done on a Fund by Fund basis. The functional currency of the Company is the Euro.

Each individual Fund has also adopted its functional currency as the presentation currency. Foreign currency transactions are translated to the functional currency of the relevant Fund at the rate of exchange ruling on the date of the transaction.

For each relevant Fund:

i) Currency gains and losses can arise where there is a difference between the amounts of foreign dividends and interest recorded on the Fund’s books and the Fund’s functional currency equivalent to the amounts actually received or paid. These gains or losses are included where appropriate in the dividend and interest income figure in the relevant Fund’s Profit and Loss Account;

ii) Currency gains and losses realised on securities purchase and sales transactions are included in net gain (loss) on investment activities in the relevant Fund’s Profit and Loss Account;

iii) Unrealised currency gains and losses on securities held at financial year end are included in net gain (loss) on investment activities in the relevant Fund’s Profit and Loss Account;

iv) Monetary assets and liabilities denominated in currencies other than the Fund’s functional currency are translated at the

Notes to the Financial Statements 171 Russell Investment Company II plc

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31 March 2021

2. Accounting Policies - continued

rate of exchange ruling at the close of business on the relevant reporting date and exchange differences are included in net gain (loss) on investment activities in the relevant Fund’s Profit and Loss Account; and

v) Share transactions which are settled in a currency other than the functional currency of a Fund are settled using the applicable foreign currency exchange rate as of the trade date. As a result, there is no foreign currency impact on the Funds for such transactions. e) Redeemable Participating Shares Redeemable participating shares are redeemable at the shareholder’s option and are classified as financial liabilities. The redeemable shares can be repurchased by the Company at any time for cash equal to a proportionate share of the Company’s net asset value. The redeemable share is carried at the redemption amount that is payable at the balance sheet date if a shareholder exercised his or her right to have the Company repurchase his or her share. In accordance with the Prospectus, for the relevant Funds, the Company is contractually obliged to redeem shares at dealing prices and the liability to redeemable participating shareholders has been adjusted to reflect this. Monetary value share transactions during the financial year are recognised in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of the relevant Fund. f) Distributions Distributions on Income Share Classes, and deemed distributions on Accumulating Share Classes with an ex date during the financial year are included as a finance cost in the Profit and Loss Account. The reinvestment of the deemed distribution on the Accumulation Share Classes are included as a share transaction in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders. Roll-Up Share Classes do not declare or distribute net income. g) Swing Pricing/Dilution Adjustments Swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund relating to a Fund’s net asset value for a given dealing day is determined by the Administrator to exceed certain predetermined percentage thresholds. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing factor” on the following basis:

Net subscriptions - the price used to process all transactions is adjusted upwards by the swing factor to a notional offer price.

Net redemptions - the price used to process all transactions is adjusted downwards by the swing factor to a notional bid price.

If the net asset value of a Fund is swung on a specific dealing day the official price for a Fund will be the derived swing price. In addition, all dealing activity for this dealing day will be dealt at the swing price. Swing pricing applied to a Fund during the financial year is recognised within the share transactions figure on the Statement of Changes in Net Assets Attributable to Redeemable Shareholders. The swing factor rates, as discussed in Note 10, are reviewed by the Adviser on a quarterly basis. h) Collateral

i) Counterparty Owned Collateral Counterparty cash received by a Fund as collateral for financial derivative instruments (“FDIs”) transactions is recorded as an asset on the Balance Sheet within ‘Cash held with brokers and counterparties for open financial derivative instruments’ and a related liability to repay the collateral is disclosed within creditors less than one year within ‘Cash due to brokers and counterparties for open financial derivative instruments’.

Non-cash collateral received by the Funds does not form part of the Net Asset Value of the Fund and is recorded at the base of each relevant Schedule of Investments for reference purposes only.

ii) Collateral Pledged by Funds A Fund’s assets may be deposited by or on behalf of the Fund for collateral purposes with brokers, for options and futures contracts, and counterparties, in respect of over-the-counter FDIs (“OTC FDIs”) and TBA positions, held on the Funds. Such assets remain in the ownership of the relevant Fund and are recorded as an asset on the Balance Sheet.

172 Notes to the Financial Statements Russell Investment Company II plc

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2. Accounting Policies - continued

Cash pledged by the Funds as collateral is recognised on the Balance Sheet within ‘Cash held with brokers and counterparties for open financial derivative instruments’. Investments pledged by the Funds as collateral are recognised at fair value in the relevant Fund’s Schedule of Investments and such investments are referenced accordingly at the base of the Schedule of Investments.

See Note 3 for details of cash collateral received and pledged by the Funds to and from counterparties for FDIs.

iii) Impairment of Collateral The Adviser has considered the recoverability of collateral due from relevant brokers and counterparties at financial year end/prior financial year end and has considered the need to write-down the value of such collateral. The Adviser is satisfied that the full value of the collateral is recoverable from all brokers and counterparties at the respective financial year end dates. i) Transaction Costs Transaction costs are defined as the incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposed of the financial instrument. When a financial asset or financial liability is recognised initially, an entity shall measure it at its fair value through profit or loss plus, transaction costs that are directly attributable to the acquisition or issue of the financial asset or financial liability.

Transaction costs relating to the brokers commission on the purchase and sale of a financial asset or financial liability, are included in its purchase and sale price. Transaction costs of the Depositary or sub-custodian as the case may be are embedded in the relevant fees in the Profit and Loss Account.

3. Cash at Bank and Cash Held with/due to Brokers and Counterparties a) Cash at Bank Cash at bank balances are comprised of cash balances held within State Street Bank and Trust Company’s (“State Street”) custodian network*, unrestricted margin accounts held by brokers for exchange traded derivative instruments held by the Funds and net unrealised gains and losses on open spot foreign currency exchange contracts. The names of brokers used by each individual Fund can be found at the base of each relevant Fund’s Schedule of Investments.

The tables in this section of the notes to the financial statements details all such cash held on the Funds, including relevant broker and location of broker, as of 31 March 2021 and 31 March 2020. For Funds where all cash is held in State Street’s custodian network, the Funds are not listed below.

Cash held in U.S. Dollar bank accounts with State Street automatically transfer into the demand deposit account at State Street Bank and Trust New York in the name of State Street Bank and Trust Company - London.

As at 31 March 2021

Russell Russell Investments Russell Russell Russell Investments Global Bond Investments Investments Investments Euro Fixed (Euro Hedged) Pan European World Equity China Equity Income Fund Fund Equity Fund Fund Fund Total Broker Location EUR ’000 EUR ’000 EUR ’000 USD ’000 USD ’000 EUR ’000 State Street Bank and Trust Company ..... Multiple 3,838 7,628 758 6,886 6,494 23,608 Bank of America Merrill Lynch...... New York, U.S.A. 255 - - - - 255 London, United Citigroup ...... Kingdom - 438 - - - 438 London, United Credit Suisse Securities International...... Kingdom - 251 - - - 251 Goldman Sachs & Co. LCC...... New York, U.S.A. - 468 - - 271 699

* Certain cash balances may be held by sub-custodians, as approved and appointed by State Street, in markets where State Street does not operate as a depositary. Such cash and all cash held within the State Street custodian network is included within the State Street Bank and Trust Company figures in the tables contained within this note.

Notes to the Financial Statements 173 Russell Investment Company II plc

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3. Cash at Bank and Cash Held with/due to Brokers and Counterparties - continued

Russell Russell Investments Russell Russell Russell Investments Global Bond Investments Investments Investments Euro Fixed (Euro Hedged) Pan European World Equity China Equity Income Fund Fund Equity Fund Fund Fund Total Broker Location EUR ’000 EUR ’000 EUR ’000 USD ’000 USD ’000 EUR ’000 London, United Morgan Stanley & Co. International Plc.. Kingdom - - 26 3,403 - 2,921 London, United UBS AG ...... Kingdom - 162 - - - 162 Total ...... 4,093 8,947 784 10,289 6,765 28,334

As at 31 March 2020

Russell Investments Emerging Russell Market Debt Russell Investments Local Investments Global Bond Currency Euro Fixed (Euro Hedged) Fund Income Fund Fund Total Broker Location USD ’000 EUR ’000 EUR ’000 EUR ’000 State Street Bank and Trust...... Multiple 35,212 5,360 31,338 75,336 Credit Suisse Securities (USA) Ltd...... New York, U.S.A. 58 - 311 364 Goldman Sachs Group, Inc...... New York, U.S.A. - 132 - 132 Morgan Stanley...... New York, U.S.A. - - 246 246 London, United UBS AG ...... Kingdom - 140 385 525 Total ...... 35,270 5,632 32,280 76,603 b) Cash held with brokers and counterparties for open financial derivative instruments Cash may also be deposited by or on behalf of the Funds for initial margin purposes with brokers for options and futures contracts and as collateral with counterparties in respect of OTC FDIs and TBA positions held on the Funds. As this amount is the minimum deemed by the brokers and counterparties for collateral requirements the cash is as such restricted and is reported separately to the unrestricted cash on the Funds’ Balance Sheets. Cash collateral pledged by counterparties and held by the Funds remains in the ownership of the relevant counterparty and a related liability to repay the cash is recognised as “Cash due to brokers and counterparties for financial derivative instruments” on the relevant Fund’s Balance Sheet. See section c) of this note for further details of same.

All such cash held on the Funds, including relevant broker and location of broker, as of 31 March 2021 and 31 March 2020 are detailed in the tables below.

As at 31 March 2021

Russell Investments Emerging Russell Market Debt Russell Investments Russell Russell Russell Local Investments Global Bond Investments Investments Investments Currency Euro Fixed (Euro Hedged) Pan European U.S. Quant World Equity Fund Income Fund Fund Equity Fund Fund Fund Broker Location USD ‘000 EUR ‘000 EUR ‘000 EUR ‘000 USD ‘000 USD ‘000 Bank of America Merrill Lynch...... New York, U.S.A. 610 271 - - 403 - Bank of New York...... New York, U.S.A. 10 - - - - - London, United Barclays Bank ...... Kingdom 120 - 120 - - - BNP Paribas...... New York, U.S.A. 10 - - - - - Canadian Imperial Bank of Commerce.... Toronto, Canada 20 - - - - - London, United Citibank...... Kingdom 430 - 3,023 - - -

174 Notes to the Financial Statements Russell Investment Company II plc

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3. Cash at Bank and Cash Held with/due to Brokers and Counterparties - continued

Russell Investments Emerging Russell Market Debt Russell Investments Russell Russell Russell Local Investments Global Bond Investments Investments Investments Currency Euro Fixed (Euro Hedged) Pan European U.S. Quant World Equity Fund Income Fund Fund Equity Fund Fund Fund Broker Location USD ‘000 EUR ‘000 EUR ‘000 EUR ‘000 USD ‘000 USD ‘000 London, United Citigroup ...... Kingdom - - 341 - - - London, United Credit Suisse Securities International...... Kingdom 477 - 921 - - - Goldman Sachs & Co. LCC...... New York, U.S.A. 20 556 4,950 - - - HSBC ...... New York, U.S.A. 2,466 - - - - - London, United JP Morgan ...... Kingdom 510 - - - - - London, United Morgan Stanley & Co. International Plc.. Kingdom 1,179 - - 453 - 72,551 London, United Standard Chartered Bank...... Kingdom 40 - - - - - London, United UBS AG ...... Kingdom - 201 211 - - - Total ...... 5,892 1,028 9,566 453 403 72,551

Russell Investments China Equity Fund Total Broker Location USD ‘000 EUR ‘000 Bank of America Merrill Lynch...... New York, U.S.A. - 1,133 Bank of New York...... New York, U.S.A. - 9 London, United Barclays Bank ...... Kingdom - 222 BNP Paribas...... New York, U.S.A. - 9 Canadian Imperial Bank of Commerce.... Toronto, Canada - 17 London, United Citibank...... Kingdom - 3,389 London, United Citigroup ...... Kingdom - 341 London, United Credit Suisse Securities International...... Kingdom - 1,327 Goldman Sachs & Co. LCC...... New York, U.S.A. 1,253 6,589 HSBC ...... New York, U.S.A. - 2,098 London, United JP Morgan ...... Kingdom - 434 London, United Morgan Stanley & Co. International Plc.. Kingdom - 63,185 London, United Standard Chartered Bank...... Kingdom - 34 London, United UBS AG ...... Kingdom - 412 Total ...... 1,253 79,199

Notes to the Financial Statements 175 Russell Investment Company II plc

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31 March 2021

3. Cash at Bank and Cash Held with/due to Brokers and Counterparties - continued

As at 31 March 2020

Russell Russell Investments Investments Emerging Emerging Russell Market Debt Markets Russell Investments Russell Local Extended Investments Global Bond Investments Currency Opportunities Euro Fixed (Euro Hedged) Pan European Fund Fund Income Fund Fund Equity Fund Broker Location USD ‘000 USD ‘000 EUR ‘000 EUR ‘000 EUR ‘000 Bank of America Merrill Lynch...... New York, U.S.A. 20 - 490 302 - London, United Barclays Bank ...... Kingdom - - - 40 - Barclays Capital Inc...... New York, U.S.A. 2,530 - - 10 - BNP Paribas...... New York, U.S.A. 80 - - 678 - Citibank...... New York, U.S.A. 8,278 - - 1,074 - London, United Citigroup ...... Kingdom - - - 60 - London, United Credit Suisse AG...... Kingdom 2,914 - - 30 - Credit Suisse Securities (USA) Ltd...... New York, U.S.A. 137 - - 132 - Goldman Sachs Group, Inc...... New York, U.S.A. 740 3,532 2,991 4,356 - HSBC ...... New York, U.S.A. 14,642 - - 160 - London, United JP Morgan ...... Kingdom 4,330 - - 230 - Morgan Stanley...... New York, U.S.A. 346 - - 1,567 235 RBC Capital Market ...... Toronto, Canada - - - 250 - London, United Standard Chartered Bank...... Kingdom 360 - - - - State Street Bank and Trust...... Multiple - 810 - - - London, United UBS AG ...... Kingdom - 2,920 198 523 - Total ...... 34,377 7,262 3,679 9,412 235

Russell Russell Russell Investments Investments Investments U.S. Quant World Equity China Equity Fund Fund Fund Total Broker Location USD ‘000 USD ‘000 USD ‘000 EUR ‘000 Bank of America Merrill Lynch...... New York, U.S.A. 1,220 - - 1,922 London, United Barclays Bank ...... Kingdom - - - 40 Barclays Capital Inc...... New York, U.S.A. - - - 2,316 BNP Paribas...... New York, U.S.A. - - - 751 Citibank...... New York, U.S.A. - - - 8,617 London, United Citigroup ...... Kingdom - - - 60 London, United Credit Suisse AG...... Kingdom - - - 2,686 Credit Suisse Securities (USA) Ltd...... New York, U.S.A. - - - 257 Goldman Sachs Group, Inc...... New York, U.S.A. - - 312 11,524 HSBC ...... New York, U.S.A. - - - 13,503 London, United JP Morgan ...... Kingdom - - - 4,176 Morgan Stanley...... New York, U.S.A. - 59,762 - 56,582 RBC Capital Market ...... Toronto, Canada - - - 250 London, United Standard Chartered Bank...... Kingdom - - - 328 State Street Bank and Trust...... Multiple - - - 738 London, United UBS AG ...... Kingdom - - - 3,382 Total ...... 1,220 59,762 312 107,132

176 Notes to the Financial Statements Russell Investment Company II plc

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31 March 2021

3. Cash at Bank and Cash Held with/due to Brokers and Counterparties - continued c) Cash due to brokers and counterparties for open financial derivative instruments Cash amounts may be pledged as collateral by counterparties to the Funds for OTC FDIs and this cash is held by the relevant Funds and is payable back to the relevant counterparty. Margin cash amounts may also be owed by the Funds to brokers for exchange traded Financial Derivative Instruments transactions at each balance sheet date. These amounts are recognised within “Cash due to brokers and counterparties for open financial derivative instruments” on the respective Balance Sheets.

The cash amounts pledged as collateral by counterparties form part of the net assets of the respective Funds and a related asset is included within “Cash held with brokers and counterparties for open financial derivative instruments” on the Balance Sheet and section b) of this note.

As at 31 March 2021 Russell Investments Emerging Market Debt Russell Local Investments Currency Euro Fixed Fund Income Fund Total Counterparty Location USD ‘000 EUR ‘000 EUR ‘000 Bank of New York...... New York, U.S.A. (10) - (9) Canadian Imperial Bank of Commerce.... Toronto, Canada (20) - (17) London, United Credit Suisse Securities International...... Kingdom (20) - (17) Goldman Sachs & Co. LLC...... New York, U.S.A. - (278) (278) London, United Morgan Stanley & Co. International...... Kingdom (110) - (93) London, United Standard Chartered Bank...... Kingdom (40) - (34) Total ...... (200) (278) (448)

As at 31 March 2020 Russell Investments Emerging Russell Market Debt Russell Investments Local Investments Global Bond Currency Euro Fixed (Euro Hedged) Fund Income Fund Fund Total Counterparty Location USD ‘000 EUR ‘000 EUR ‘000 EUR ‘000 Bank of America Merrill Lynch...... New York, U.S.A. (20) - (233) (251) London, United Barclays Bank ...... Kingdom - - (40) (40) Barclays Capital Inc...... New York, U.S.A. (2,530) - - (2,306) BNP Paribas...... New York, U.S.A. (80) - (925) (998) London, United Citibank...... Kingdom (6,460) - - (5,887) London, United Citigroup ...... Kingdom - - (60) (60) London, United Credit Suisse AG...... Kingdom (90) - - (82) Goldman Sachs Group, Inc...... New York, U.S.A. - (11) (374) (385) London, United HSBC ...... Kingdom (1,602) - (160) (1,621) London, United JP Morgan ...... Kingdom - - (230) (230) Morgan Stanley...... New York, U.S.A. (110) - (793) (893) RBC Capital Market ...... Toronto, Canada - - (250) (250) London, United UBS AG ...... Kingdom - - (40) (40) Total ...... (10,892) (11) (3,105) (13,043)

Notes to the Financial Statements 177 Russell Investment Company II plc

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31 March 2021

4. Net Gain (Loss) on Investment Activities

All gains and losses on investments other than futures contracts and forward foreign currency exchange contracts are included within the investments figure in the tables below. a) Financial year ended 31 March 2021

i) Net realised gain (loss):

Russell Russell Investments Investments Emerging Emerging Russell Market Debt Markets Russell Investments Russell Russell Local Extended Investments Global Bond Investments Investments Currency Opportunities Euro Fixed (Euro Hedged) Pan European U.S. Quant Fund Fund Income Fund Fund Equity Fund Fund USD ‘000 USD ‘000 EUR ‘000 EUR ‘000 EUR ‘000 USD ‘000 Investments ...... (34,208) 35,471 3,755 (2,608) 3,221 21,820 Futures contracts ...... 7,484 6,508 2,049 4,786 1,372 3,806 Foreign currency exchange ...... 6,722 (1,279) 575 13,169 (706) - (20,002) 40,700 6,379 15,347 3,887 25,626

Russell Russell Investments Investments World Equity China Equity Fund Fund USD ‘000 USD ‘000 Investments ...... 98,265 13,229 Futures contracts ...... 86,583 487 Foreign currency exchange ...... (21,413) 169 163,435 13,885

ii) Net change in unrealised gain (loss) on:

Russell Russell Investments Investments Emerging Emerging Russell Market Debt Markets Russell Investments Russell Russell Local Extended Investments Global Bond Investments Investments Currency Opportunities Euro Fixed (Euro Hedged) Pan European U.S. Quant Fund Fund Income Fund Fund Equity Fund Fund USD ‘000 USD ‘000 EUR ‘000 EUR ‘000 EUR ‘000 USD ‘000 Investments ...... 100,105 34,822 3,193 (3,546) 66,154 63,001 Futures contracts ...... 40 (1,102) 264 (2,666) (1,105) (277) Foreign currency exchange ...... (1,231) 1,069 4,104 1,410 23 - 98,914 34,789 7,561 (4,802) 65,072 62,724

Russell Russell Investments Investments World Equity China Equity Fund Fund USD ‘000 USD ‘000 Investments ...... 689,476 14,808 Futures contracts ...... 1,497 (273) Foreign currency exchange ...... 6,178 12 697,151 14,547

178 Notes to the Financial Statements Russell Investment Company II plc

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4. Net Gain (Loss) on Investment Activities - continued

iii) Net gain (loss) on investment activities:

Russell Russell Investments Investments Emerging Emerging Russell Market Debt Markets Russell Investments Russell Russell Local Extended Investments Global Bond Investments Investments Currency Opportunities Euro Fixed (Euro Hedged) Pan European U.S. Quant Fund Fund Income Fund Fund Equity Fund Fund USD ‘000 USD ‘000 EUR ‘000 EUR ‘000 EUR ‘000 USD ‘000 Net realised gain (loss)...... (20,002) 40,700 6,379 15,347 3,887 25,626 Net change in unrealised gain (loss) .. 98,914 34,789 7,561 (4,802) 65,072 62,724 Net gain (loss) on investment activities ...... 78,912 75,489 13,940 10,545 68,959 88,350

Russell Russell Investments Investments World Equity China Equity Fund Fund USD ‘000 USD ‘000 Net realised gain (loss)...... 163,435 13,885 Net change in unrealised gain (loss) .. 697,151 14,547 Net gain (loss) on investment activities ...... 860,586 28,432 b) Financial year ended 31 March 2020

i) Net realised gain (loss):

Russell Russell Investments Investments Emerging Emerging Russell Russell Market Debt Markets Russell Investments Investments Russell Local Extended Investments Global Bond Global Investments Currency Opportunities Euro Fixed (Euro Hedged) Defensive Pan European Fund Fund Income Fund Fund Equity Fund Equity Fund USD ‘000 USD ‘000 EUR ‘000 EUR ‘000 USD ‘000 EUR ‘000 Investments ...... (32,001) 17,094 6,778 14,895 15,408 9,718 Futures contracts ...... (2,375) 162 (154) 2,428 (570) (2,052) Foreign currency exchange ...... (13,827) (2,624) 314 (8,659) 517 977 (48,203) 14,632 6,938 8,664 15,355 8,643

Russell Russell Russell Investments Investments Investments U.S. Quant World Equity China Equity Fund Fund Fund USD ‘000 USD ‘000 USD ‘000 Investments ...... 8,600 49,568 3,189 Futures contracts ...... 1,006 33,520 (13) Foreign currency exchange ...... - (16,795) (32) 9,606 66,293 3,144

Notes to the Financial Statements 179 Russell Investment Company II plc

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4. Net Gain (Loss) on Investment Activities - continued

ii) Net change in unrealised gain (loss) on:

Russell Russell Investments Investments Emerging Emerging Russell Russell Market Debt Markets Russell Investments Investments Russell Local Extended Investments Global Bond Global Investments Currency Opportunities Euro Fixed (Euro Hedged) Defensive Pan European Fund Fund Income Fund Fund Equity Fund Equity Fund USD ‘000 USD ‘000 EUR ‘000 EUR ‘000 USD ‘000 EUR ‘000 Investments ...... (64,846) (57,798) (3,992) (7,873) (7,453) (48,268) Futures contracts ...... (40) 1,244 131 1,276 36 946 Foreign currency exchange ...... 6,091 (905) (2,786) 1 (197) (54) (58,795) (57,459) (6,647) (6,596) (7,614) (47,376)

Russell Russell Russell Investments Investments Investments U.S. Quant World Equity China Equity Fund Fund Fund USD ‘000 USD ‘000 USD ‘000 Investments ...... (26,218) (379,090) (3,790) Futures contracts ...... 305 (5,935) 66 Foreign currency exchange ...... - 7,941 (29) 25,913 (377,084) (3,753)

iii) Net gain (loss) on investment activities:

Russell Russell Investments Investments Emerging Emerging Russell Russell Market Debt Markets Russell Investments Investments Russell Local Extended Investments Global Bond Global Investments Currency Opportunities Euro Fixed (Euro Hedged) Defensive Pan European Fund Fund Income Fund Fund Equity Fund Equity Fund USD ‘000 USD ‘000 EUR ‘000 EUR ‘000 USD ‘000 EUR ‘000 Net realised gain (loss)...... (48,203) 14,632 6,938 8,664 15,355 8,643 Net change in unrealised gain (loss) .. (58,795) (57,459) (6,647) (6,596) (7,614) (47,376) Net gain (loss) on investment activities ...... (106,998) (42,827) 291 2,068 7,741 (38,733)

Russell Russell Russell Investments Investments Investments U.S. Quant World Equity China Equity Fund Fund Fund USD ‘000 USD ‘000 USD ‘000 Net realised gain (loss)...... 9,606 66,293 3,144 Net change in unrealised gain (loss) .. (25,913) (377,084) (3,753) Net gain (loss) on investment activities ...... (16,307) (310,791) (609)

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31 March 2021

5. Transactions with Related Parties a) Related Parties

Parties are considered to be related if one party has the ability to control the other party or is able to exercise significant influence over the other party, in making financial or operational decisions. The following entities were related parties to the Company during the financial year ended 31 March 2021 and the financial year ended 31 March 2020.

Details disclosed in section of Relation to the Company Name of entity this note Manager...... Russell Investments Ireland Limited...... b), i) Adviser ...... Russell Investments Limited...... b), ii) Investment Managers...... Affiliated Russell Investments entities ...... b), iii) Affiliated Broker ...... Russell Investments Implementation Services, LLC ...... b), iv) Directors of the Company ...... As listed in the Administration of the Company page ...... b), v) Related Party Investors and Investees ...... Affiliated Russell Investments entities and Russell Investments managed Irish domiciled funds...... b), vi) b) Related Party Transactions

i) Manager, Management Fee and Performance Fee The Company has appointed the Manager to act as manager of the Company. The Manager is a wholly owned subsid- iary of Russell Investments Ireland Holdco Limited, which is in turn indirectly owned by Russell Investments Group, Ltd. Russell Investments Group, Ltd. is majority owned by funds managed by TA Associates with minority stakes being held by funds managed by Reverence Capital Partners and Russell Investments’ management. The Manager provides investment management and administrative services to the Company. The Manager has appointed the Adviser to, amongst other things, advise it on the investment programmes and strategies of the Funds. The Adviser also acts as distributor for the Funds. The Manager has appointed the Administrator to act as administrator of the Company.

a) Management Fee For services rendered under the management agreement, the Company pays the Manager a fee, accrued daily and paid monthly in arrears, at the following annual rates based on the respective average daily net asset values of each class of shares. Russell Investments Russell Investments Emerging Emerging Markets Extended Russell Investments Market Debt Local Currency Fund Opportunities Fund Euro Fixed Income Fund Class B Euro 1.70% Class A 1.30% Class B 0.80% Class I AUD Income 1.00% Class I 1.30% Class F 1.60% Class I Sterling 1.00% Class GBPH I 0.65% Class I Sterling Income 1.00% Income Class I USD 1.00% Class I 0.60% Class S Euro* 0.50% Class P Income 1.00% Class TWN Income 1.50% Class S 1.02% Class U Euro 2.20%

Russell Investments Russell Investments Russell Investments Global Bond (Euro Hedged) Fund Pan European Equity Fund U.S. Quant Fund Class A 1.50% Class A 1.60% Class B 1.00% Class B 0.90% Class B 1.00% Class C 1.60% Class DH-B 0.90% Class F 1.80% Class I 0.80% Class GBPH I Income 0.70% Class I 0.90% Class P Income 1.50% Class L 1.80% Class R1 Roll-Up 1.20% Class PAMEU 2.30% Class R Roll-Up 1.25%

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5. Transactions with Related Parties - continued

Russell Investments Russell Investments World Equity Fund China Equity Fund Class B 0.90% Class A 1.00% Class C 1.60% Class D 1.50% Class D 0.75% Class EH-T 0.95% Class I 0.90% Class J 1.60% Class M 0.60% Class M Sterling 0.60% Class N 2.30% Class P 1.50% Class R 2.50% Class SH-B 0.95% Class TYA 0.68% Class TYC 0.58% Class USD-H Income 1.15%

* Management fee rate changed from 2.20% to 0.50% effective from 1 April 2020.

Rates for classes of shares not yet funded as at 31 March 2021 are not listed.

Each Fund will receive a rebate of the management fees paid to the Manager in respect of any underlying regulated investment funds also managed by the Manager so that there is no duplication of management fees charged by the Manager. However, each Fund may invest its surplus cash in any one or more money market sub-funds of the Company or Russell Investment Company III plc. (“RIC III”) in order to maximise the returns available on its cash. The Manager of the Company is also the Manager of RIC III. The Manager may charge a management fee for the management of the Company’s surplus cash invested in RIC III’s sub-funds to the extent of the management fee disclosed in the RIC III Prospectus.

b) Performance Fee

A performance fee (the “Performance Fee”) is payable to the Manager in respect of the Funds (with the exception of Russell Investments Euro Fixed Income Fund) on an annual basis who in turn pays the Performance Fee to the Money Manager of each Fund that is entitled to a performance fee as described based on the calculation methodology as detailed within the Prospectus.

For the financial year ended 31 March 2021, Performance Fees of EUR 299,936 were charged (31 March 2020: EUR 152,907). Refer to each Fund’s respective Profit and Loss Account for details of performance fees changed / clawed back during the reporting periods under review.

ii) Adviser The Manager discharges all fees payable to the Adviser out of its management fee. The Adviser is not entitled to a fee in its capacity as Distributor to the Company.

iii) Investment Managers, Money Managers and Investment Advisers Russell Investments Limited and Russell Investment Management, LLC, are affiliated group companies to the Man- ager. Russell Investments group companies can be appointed as Investment Managers to the Funds.

The appointment of Russell Investments group companies as Investment Manager’s to the Funds is subject to the same procedures as appointing an external Money Manager or Investment Adviser and an intercompany agreement and investment guidelines are put in place.

The Investment Manager may appoint one or more Investment Advisers who have expertise in a particular sector and/or asset class. The optimal stock views from the Investments Advisers are aggregated by the Investment Manager and the trades are effected by the Investment Manager (or its affiliate) on a periodic basis with a view to improving trading efficiency, managing portfolio risk better and reducing potential transactions costs in respect of the respective Fund’s investments.

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31 March 2021

5. Transactions with Related Parties - continued

The Manager shall discharge all fees payable to an Investment Manager, the Investment Advisers and/or the Money Managers out of its Management fee.

Please refer to Administration section for the list of Money Managers, Investment Managers and Investment Advisers as of 31 March 2021.

The Investment Manager appoints one or more Investment Advisers to advise it. The optimal stock views from the Investments Advisers are aggregated by the Investment Manager and the trades are effected by the Investment Man- ager (or its affiliate) on a periodic basis with a view to improving trading efficiency, managing portfolio risk better and reducing potential transactions costs in respect of the respective Fund’s investments.

iv) Affiliated Broker The Funds effect certain transactions through RIIS (Russell Investments Implementation Services, LLC and Russell Investments Implementation Services Limited, collectively called RIIS) and its global network of unaffiliated correspondent brokers. Trades placed through RIIS and its correspondents are made (i) to manage trading associated with changes in Money Managers, rebalancing across existing Money Managers, cash flows and other portfolio transitions or (ii) to execute portfolio securities transactions for each Fund’s assets.

RIIS may also be engaged by the Company to carry out foreign currency implementation trading for which a fee of 0.02 per cent per trade is included in individual transactions.

For the financial year ended 31 March 2021, the total commission earned by RIIS, encompassing the range of services provided, amounted to EUR 1,284,628 (financial year ended 31 March 2020: EUR 1,020,770).

v) Directors and Directors’ Fees The Articles of Association provide that the Directors are entitled to a fee by way of remuneration at a rate to be determined from time to time by the Directors. Directors’ fees are paid to non-executive Directors not employed by Russell Investment group companies. Directors’ fees shall not exceed the limits contained in the Prospectus and the Directors are entitled to certain additional expenses as listed in the Prospectus. Directors’ fees charged during the financial year ended were EUR 52,262 (financial year ended 31 March 2020: EUR 53,067) these amounts are included in other fees in the Combined Profit and Loss Account.

All of the Directors of the Company are also directors of the Russell Investments Funds discussed in section vi) of this note.

All of the Directors of the Company are also directors of the Manager. The following Directors of the Company are employed by Russell Investments group companies: Mr. Peter Gonella, Mr. Neil Jenkins, Mr. John McMurray, Mr Jo- seph Linhares and Mr. William Pearce.

The Adviser operates a defined contribution pension plan for its employees which invests in Russell Investments managed funds including the Funds. The pension fund is subject to a management fee rebate. The Directors who are employed by the Russell Investments group companies may be indirectly exposed to the Company through the pension scheme.

vi) Related Party Investors and Investees

a) Investment in other Russell Investments Funds

The Funds may invest in the sub-funds of other investment funds managed by the Manager as listed in the table below. Details of the Fund’s investments in these sub-funds can be found in the Schedule of Investments of each relevant Fund.

Type of Fund Management Fund Structure Name Structure Fee Rate Russell Investment Company III plc ...... UCITS Umbrella 0.05% - 0.20%

Notes to the Financial Statements 183 Russell Investment Company II plc

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31 March 2021

5. Transactions with Related Parties - continued

b) Related Party Shareholder of the Company

During the financial year ended 31 March 2021 and the financial year ended 31 March 2020, certain sub-funds of open-ended investment funds also managed by the Manager and administered by the Administrator were invested in the Funds. In accordance with Section 33 of FRS 102 these entities are deemed related party shareholders to the Company.

The table below discloses the value of related shareholders in the Company and the percentage of this value against the Company’s combined net asset value as at the respective balance sheet dates.

31 March 2021 Company 31 March 2020 Company Related Party Shareholder EUR ‘000 % EUR ‘000 % Russell Investment Institutional Funds plc ...... - - 42,977 1.29 Russell Investment Company plc...... 9,668 0.33 10,190 0.30 Russell Investments Qualifying Investor Alternative Funds plc...... 38,303 1.32 - - Russell Investment Company V plc ...... 57,730 1.99 65,394 1.96 6. Significant Agreements

(i) Depositary State Street Custodial Services (Ireland) Limited is the Company’s depositary (the Depositary). The Depositary has appointed its parent, State Street Bank and Trust Company, as its global sub-custodian who in turn has appointed a network of local sub-custodial agents. The sub-custodian fees are paid at annual rates based on the total assets held in each individual country in which the Funds invest plus applicable transaction charges. In line with the UCITS V Regulations, State Street Custodial Services (Ireland) Limited also provides depositary services.

Depositary fees accrue daily and are paid monthly in arrears.

(ii) Administrator and Transfer Agency State Street Fund Services (Ireland) Limited is the Company’s administrator (the Administrator). The Administrator is responsible for the daily determination of net asset value, maintaining the books and records of the Funds in respect of the Company and other administrative services. The Manager has also appointed the Administrator as the Company’s transfer agent.

Such fees accrue daily and are paid monthly in arrears. The Manager shall discharge reasonable out of pocket expenses payable to the Administrator out of the Funds’ assets.

The Administrator is also entitled to shareholder services fees as disclosed in the administration agreement and reporting services fees of USD 7,000 per Fund per annum.

Transfer agency fees are charged based on the number of Funds in the umbrella structure, the number of shareholders, number of statements issued, number of share classes and volume of shareholder transactions in a period and are subject to adequate thresholds. Transfer agency fees are charged and paid on a daily basis and are recognised within Administration and transfer agency fees in the Profit and Loss Account for each Fund.

The depositary and administration fees disclosed in the Profit and Loss Account include minimum fees. If the total of the minimum fees is in excess of the combined administration and depositary percentage charges, the share class fee, the reporting service fee and the shareholder service fee, after the deduction of any discount, then this minimum will apply. The minimum fee for new Funds will be waived for one year from the launch of the new Fund.

The aggregate of the administration and depositary Fees will not exceed 0.35 percent of the Net Asset Value of any Fund.

(iii) Transaction Costs

Transaction costs relating to the broker commission on the purchase and sale of bonds, equities, exchange traded FDIs and OTC FDIs, are included in the purchase and sale price of the investment.

184 Notes to the Financial Statements Russell Investment Company II plc

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6. Significant Agreements - continued

Transaction costs on the purchase and sale of bonds and OTC FDIs are embedded in the cost of the investment. Transaction costs on purchases and sales of equities and exchange traded FDIs are readily identifiable. Investments are initially recognised at fair value and transaction costs for all financial assets and financial liabilities carried at fair value through profit or loss are expensed as incurred.

Total transaction costs, incorporating broker commissions and transaction costs of the Depositary and sub-custodians are as follows:

Year ended Year ended Functional 31 March 2021 31 March 2020 Fund Currency ‘000 ‘000 Russell Investments Emerging Market Debt Local Currency Fund ...... USD 543 799 Russell Investments Emerging Markets Extended Opportunities Fund ...... USD 899 1,252 Russell Investments Euro Fixed Income Fund...... EUR 49 50 Russell Investments Global Bond (Euro Hedged) Fund...... EUR 326 268 Russell Investments Global Defensive Equity Fund...... USD - 114 Russell Investments Pan European Equity Fund ...... EUR 444 560 Russell Investments U.S. Quant Fund...... USD 104 78 Russell Investments World Equity Fund...... USD 2,620 2,519 Russell Investments China Equity Fund ...... USD 322 256

(iv) Auditors’ Remuneration

The remuneration for all work carried out by the statutory audit firm in respect of the financial year under review and prior financial year is as follows:

March 31, 2021 March 31, 2020 EUR ‘000 EUR ‘000 Statutory audit of accounts* ...... 122 135 Tax advisory services**...... 35 30 Total ...... 157 165

* The fees for statutory audit of the accounts disclosed in the table above are exclusive of VAT. The audit fees recognised in the Profit and Loss Account are inclusive of VAT. ** Exclusive of VAT

There were no fees for other assurance services or other non-audit services during the financial year ended 31 March 2021 (financial year ended 31 March 2020: Nil).

7. Soft Commissions, Directed Brokerage Services and Commission Recapture

As disclosed in the Prospectus for the Company, each of the Money Managers and/or the Investment Managers may enter into transactions on a soft commission basis, i.e. utilise the services and expertise of brokers in return for the execution of trades through such brokers.

Where appropriate, any such arrangements entered into on the principle of best execution and comply with the requirements of Article 11 of the MiFID II Delegated Directive and any such transaction must be in the best interests of Shareholders and must provide benefits that will assist in the provision of investment services to the Company.

During the financial years ended 31 March 2021 and 31 March 2020, the Investment Managers and/or the Money Managers may have effected transactions through brokers with whom it had arrangements whereby each broker agreed to use a proportion of the commission earned on such transactions to discharge the broker’s own costs or the costs of third parties providing certain services to the Investment Managers and/or relevant Money Managers, as the case may be. The services which were paid for under such arrangements were those permitted under regulatory rules applicable to the relevant Investment Manager and/or Money Manager, namely those that relate to the execution of transactions on behalf of customers or the provision of investment research to the relevant Investment Manager and/or Money Manager.

Notes to the Financial Statements 185 Russell Investment Company II plc

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7. Soft Commissions, Directed Brokerage Services and Commission Recapture - continued

The Money Managers may participate in the Russell Investments’ soft commission and commission recapture programme (the “Programme”) by executing a portion of their securities transactions through certain brokers (the “Correspondent Broker Networks”). Any such participation in the Programme is not mandatory and the appropriate participation percentage target is determined on a Money Manager by Money Manager basis, based upon asset class, investment mandate, trading habits, and tolerance for participation and is always subject to a Money Manager’s ability to obtain best execution. The Programme, including the Correspondent Broker Network, is administered by Recapture Services, a division of BNY ConvergEx Execution Solutions LLC (“BNY”) and State Street Global Markets (“SSGM”). A portion of the commission earned by the Correspondent Broker Network as a result of this trading activity will be set aside in the Programme as “credits”. These credits are then earmarked for purchase of third party research (“Soft Commission Credits”) or commission recapture (“Commission Credits”). All soft commission use through the Programme is overseen by Russell Investments’ soft commission committee (the “Committee”) which is made up of senior level investment personnel. The Committee, with the guidance of Russell Investments’ investment strategy committee, establishes an annual soft commission research budget for the use of the Soft Commission Credits. Soft Commission Credits are used to purchase third party research that will aid Russell Investments in its investment decision-making process. Research purchased through the Programme is obtained from unaffiliated third parties at market rates. Once the soft commission research budget has been met the Committee will instruct BNY and SSGM to recapture the Commission Credits which are then rebated directly back to the relevant Fund from which the commission was generated. Russell Investments does not receive any revenue (directly or indirectly from BNY or any broker) from the commission recapture component of the Programme.

The Investment Committee of the Manager oversees any directed brokerage services or similar arrangements and associated costs to the Funds on an annual basis.

There were no fees for directed brokerage services during the financial year ended 31 March 2021 (financial year ended 31 March 2020: Nil).

8. Distributions

Distribution policy With the exception of Roll-Up Class Shares, the distribution policy of each Fund is to distribute out of net income. Roll-Up Class Shares do not declare or distribute net income and their net asset value reflects net income. Distributions declared by Income Class Shares are paid in cash unless the shareholder chooses to reinvest part or all of the amount in the capital of the relevant Share Class. Accumulation Class Shares declare a distribution which is then reinvested in the capital of the relevant share class.

Distribution Frequency The distributions in respect of the Funds are calculated and declared on a calendar quarterly basis (i.e. quarterly periods ended 31 March, 30 June, 30 September and 31 December).

9. Taxation

Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended (the “TCA”). On that basis, it is not chargeable to Irish tax on its income or gains.

However, Irish tax may arise on the occurrence of a “chargeable event”. A chargeable event includes any distribution payments to shareholders or any encashment, redemption, transfer or cancellation of shares and any deemed disposal of shares for Irish tax purposes arising as a result of holding shares in the Company for a period of eight years or more.

No Irish tax will arise in respect of chargeable events in respect of a shareholder who is an Exempt Irish Investor (as defined in Section 739D of the TCA) or who is neither Irish resident nor ordinarily resident in Ireland for tax purposes at the time of the chargeable event, provided, in each case, that an appropriate valid declaration in accordance with Schedule 2B of the TCA is held by the Company and the Company is not in possession of any information which would reasonably suggest that the information contained therein is no longer materially correct or where the Company has been authorised by Irish Revenue to make gross payments in absence of appropriate declarations.

186 Notes to the Financial Statements Russell Investment Company II plc

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9. Taxation - continued

Distributions, interest and capital gains (if any) received on investments made by the Company may be subject to withholding taxes imposed by the country of origin and such taxes may not be recoverable by the Company or its shareholders.

10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders a) Authorised Share Capital The authorised share capital of the Company is 39,000 subscriber shares of no par value and 500 billion participating shares of no par value. Subscriber shares do not form part of the net asset value of the Company. They are disclosed in the financial statements by way of this note only.

Holders of subscriber shares are not entitled to dividends or any surplus of assets over liabilities upon the winding-up of the Company. The subscriber shares are held by Russell Investments. b) Redeemable Participating Shares Each of the shares entitles the holder to participate equally on a pro rata basis in the profits and dividends of the relevant Fund attributable to such shares and to attend and vote at meetings of the Company and of the relevant Fund represented by those shares. No class of shares confers on the holder thereof any preferential or pre-emptive rights or any rights to participate in the profits and dividends of any other class of shares or any voting rights in relation to matters relating solely to any other class of shares.

Each share represents an individual beneficial interest in the Company. The shares are not debt obligations or guaranteed by the Company. The return on an investment in the Company will depend solely upon the investment performance of the assets of the relevant Fund and the increase or decrease (as the case may be) in the net asset value of the shares. The amount payable to a shareholder in respect of each share upon liquidation of the Company or a Fund will equal the net asset value per share. However, in a relatively illiquid market, a Fund may not be able to dispose of its investments quickly and as such a Fund may experience adverse price movements upon liquidation of its investments. Settlement of transactions may be subject to delay and administrative uncertainties and the price repaid to the shareholders in such circumstances will not equal the final published net asset value per share.

Net assets attributable to shareholders represent a liability on the Balance Sheet, carried at the redemption amount that would be payable at the balance sheet date if the shareholder exercised the right to redeem the shares in the Company.

Participating Share Transactions

All cash amounts are in the functional currency of the relevant Fund not the currency of the class.

Russell Investments Emerging Market Debt Local Currency Fund

Number of Shares in issue

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Beginning Shares Shares End Beginning Shares Shares End Share Class of year Issued Redeemed of year of year Issued Redeemed of year Class B Euro .... 144,764 583 (5,360) 139,987 139,987 - (139,976) 11 Class I AUD Income...... 412,072 23,778 (31,283) 404,567 404,567 20,767 (377,818) 47,516 Class I Sterling. 247,904 7,202 (55,354) 199,752 199,752 162 (199,556) 358 Class I Sterling Income...... 25,258 6,235 (6,009) 25,484 25,484 17,630 (6,658) 36,456 Class I USD...... 63,131 45,435 (41,714) 66,852 66,852 23,145 (33,712) 56,285 Class S Euro..... 93,414 - - 93,414 93,414 7,135 - 100,549 Class TWN Income...... -1 -11 - -1 Class U Euro .... 17 - - 17 17 16 - 33

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10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued

Value of Share Transactions

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Subscriptions Redemptions Subscriptions Redemptions Share Class USD ’000 USD ’000 USD ’000 USD ’000 Class B Euro .... 634 (5,760) - (148,532) Class I AUD Income...... 15,770 (20,816) 12,804 (234,189) Class I Sterling. 10,370 (78,935) 576 (278,659) Class I Sterling Income...... 7,561 (8,060) 22,356 (8,301) Class I USD...... 40,789 (36,217) 21,318 (28,174) Class S Euro..... - - 8,471 - Class TWN Income...... 1 --- Class U Euro .... --15-

Russell Investments Emerging Markets Extended Opportunities Fund

Number of Shares in issue

Value of Share Transactions

Russell Investments Euro Fixed Income Fund

Number of Shares in issue

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Beginning Shares Shares End Beginning Shares Shares End Share Class of year Issued Redeemed of year of year Issued Redeemed of year Class B ...... 43,526 6,578 (10,269) 39,835 39,835 4,943 (3,071) 41,707 Class F...... 128 - (104) 24 24 30 (12) 42 Class GBPH I Income...... 6,331,894 258,545 (395,062) 6,195,377 6,195,377 527,512 (885,235) 5,837,654 Class I...... 12,314 - (145) 12,169 12,169 - (482) 11,687 Class P Income. 39,487 7,609 (20,492) 26,604 26,604 10,099 (9,877) 26,826 Class S...... 3,783 317 (691) 3,409 3,409 975 (1,100) 3,284

Value of Share Transactions

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Subscriptions Redemptions Subscriptions Redemptions Share Class EUR ’000 EUR ’000 EUR ’000 EUR ’000 Class B ...... 12,680 (19,618) 9,783 (6,084) Class F...... - (172) 49 (20)

188 Notes to the Financial Statements Russell Investment Company II plc

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10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Subscriptions Redemptions Subscriptions Redemptions Share Class EUR ’000 EUR ’000 EUR ’000 EUR ’000 Class GBPH I Income...... 3,582 (5,278) 7,149 (12,025) Class I...... - (5) - (16) Class P Income. 117 (313) 156 (156) Class S...... 46 (103) 153 (170)

Russell Investments Global Bond (Euro Hedged) Fund

Number of Shares in issue

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Beginning Shares Shares End Beginning Shares Shares End Share Class of year Issued Redeemed of year of year Issued Redeemed of year Class A ...... 249 13 (5) 257 257 - (37) 220 Class B ...... 101,341 13,242 (19,062) 95,521 95,521 28,262 (17,794) 105,989 Class DH-B ...... 1,848,945 250,542 (155,192) 1,944,295 1,944,295 58,323 (992,336) 1,010,282 Class GBPH I Income...... 6,844,234 374,504 (878,478) 6,340,260 6,340,260 619,774 (304,504) 6,655,530 Class MZ Income...... 46-(46)-----

Value of Share Transactions

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Subscriptions Redemptions Subscriptions Redemptions Share Class EUR ’000 EUR ’000 EUR ’000 EUR ’000 Class A ...... 24 (9) - (72) Class B ...... 27,854 (39,963) 61,886 (38,608) Class DH-B ...... 4,370 (2,578) 993 (17,502) Class GBPH I Income...... 4,559 (10,372) 7,792 (3,807) Class MZ Income...... -(1)--

Russell Investments Pan European Equity Fund

Number of Shares in issue

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Beginning Shares Shares End Beginning Shares Shares End Share Class of year Issued Redeemed of year of year Issued Redeemed of year Class A ...... 1,603 14 (377) 1,240 1,240 121 (164) 1,197 Class B ...... 196,825 11,514 (105,559) 102,780 102,780 1,837 (67,667) 36,950 Class F...... 12,469 623 (1,770) 11,322 11,322 3,228 (2,297) 12,253 Class I...... 24,582 417 (2,016) 22,983 22,983 2,803 (2,106) 23,680 Class L ...... 99 - (72) 27 27 - (27) - Class PAMEU .. 36,849 450 (10,665) 26,634 26,634 723 (13,558) 13,799 Class R Roll- Up...... 265,111 16,419 (32,008) 249,522 249,522 62,218 (43,414) 268,326

Notes to the Financial Statements 189 Russell Investment Company II plc

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10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued

Value of Share Transactions

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Subscriptions Redemptions Subscriptions Redemptions Share Class EUR ’000 EUR ’000 EUR ’000 EUR ’000 Class A ...... 19 (516) 158 (203) Class B ...... 15,447 (155,864) 2,648 (105,813) Class F...... 1,220 (3,280) 5,779 (4,611) Class I...... 14 (67) 89 (72) Class L ...... - (112) - (39) Class PAMEU .. 9 (205) 15 (240) Class R Roll- Up...... 2,482 (4,681) 8,755 (6,651)

Russell Investments U.S. Quant Fund

Number of Shares in issue

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Beginning Shares Shares End Beginning Shares Shares End Share Class of year Issued Redeemed of year of year Issued Redeemed of year Class B ...... 3,856,829 958,078 (1,611,450) 3,203,457 3,203,457 325,172 (831,869) 2,696,760 Class C ...... 5,814 1,363 (1,108) 6,069 6,069 5,780 (2,506) 9,343 Class I...... 1,120,841 100,319 (197,109) 1,024,051 1,024,051 61,253 (324,948) 760,356 Class P Income. 270,709 48,573 (78,971) 240,311 240,311 43,841 (62,502) 221,650 Class R1 Roll- Up...... 1,247,337 268,895 (203,030) 1,313,202 1,313,202 817,067 (517,161) 1,613,108

Value of Share Transactions

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Subscriptions Redemptions Subscriptions Redemptions Share Class USD ’000 USD ’000 USD ’000 USD ’000 Class B ...... 29,044 (50,086) 11,321 (29,722) Class C ...... 3,128 (2,563) 14,959 (6,790) Class I...... 4,375 (8,548) 2,844 (14,260) Class P Income. 2,358 (3,741) 2,425 (3,442) Class R1 Roll- Up...... 3,883 (2,880) 12,413 (8,570)

190 Notes to the Financial Statements Russell Investment Company II plc

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10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued

Russell Investments World Equity Fund

Number of Shares in issue

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Beginning Shares Shares End Beginning Shares Shares End Share Class of year Issued Redeemed of year of year Issued Redeemed of year Class B ...... 18,146,575 11,036,380 (5,499,354) 23,683,601 23,683,601 2,204,053 (1,974,398) 23,913,256 Class C ...... 36,117 10,910 (5,289) 41,738 41,738 29,886 (29,498) 42,126 Class D...... 2,191,330 34,133 (53,557) 2,171,906 2,171,906 31,259 (120,109) 2,083,056 Class EH-T...... 2,006,990 421,602 (1,652,505) 776,087 776,087 2,190,363 (775,974) 2,190,476 Class I...... 4,805,313 289,069 (537,768) 4,556,614 4,556,614 17,804 (3,325,825) 1,248,593 Class J ...... 23,050 - - 23,050 23,050 - - 23,050 Class M ...... 13,866 31,193 (2,170) 42,889 42,889 14,721 (3,990) 53,620 Class M Sterling...... - 2,449,267 (118,758) 2,330,509 2,330,509 3,959,857 (450,195) 5,840,171 Class N...... 3,987 590 (1,224) 3,353 3,353 106 (349) 3,110 Class P...... 879,247 210,982 (239,464) 850,765 850,765 83,737 (226,092) 708,410 Class R ...... 834,001 104,766 (82,652) 856,115 856,115 100,512 (76,847) 879,780 Class SH-B...... 1,311,600 259,369 (2,478) 1,568,491 1,568,491 3,716 (1,569,063) 3,144 Class TYA ...... 1,346,641 - (4,244) 1,342,397 1,342,397 - (3,470) 1,338,927 Class TYC ...... 2,831,649 - - 2,831,649 2,831,649 - (2,116,505) 715,144 Class USD-H Income...... 119,823 68,474 (13,494) 174,803 174,803 2,411 (33,106) 144,108

Value of Share Transactions

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Subscriptions Redemptions Subscriptions Redemptions Share Class USD ’000 USD ’000 USD ’000 USD ’000 Class B ...... 336,242 (172,412) 71,110 (68,049) Class C ...... 370 (172) 1,068 (1,079) Class D...... 1,630 (2,618) 1,719 (6,547) Class EH-T...... 9,637 (35,881) 51,231 (21,102) Class I...... 16,031 (30,970) 1,053 (189,274) Class J ...... - --- Class M ...... 51,631 (3,390) 25,482 (6,797) Class M Sterling...... 32,015 (1,488) 54,698 (6,788) Class N...... 125 (247) 22 (71) Class P...... 3,038 (3,426) 1,336 (3,611) Class R ...... 24,792 (19,576) 26,668 (20,271) Class SH-B...... 70,033 (700) 1,076 (425,447) Class TYA ...... - (76) - (76) Class TYC ...... - - - (61,773) Class USD-H Income...... 93,596 (19,750) 3,485 (50,110)

Russell Investments China Equity Fund

Number of Shares in issue

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Beginning Shares Shares End Beginning Shares Shares End Share Class of year Issued Redeemed of year of year Issued Redeemed of year Class A ...... 26,292 4,314 (3,007) 27,599 27,599 3,699 (3,644) 27,654 Class D...... 168 887 (521) 534 534 8,857 (861) 8,530

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10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued

Value of Share Transactions

Financial year ended 31 March 2020 Financial year ended 31 March 2021 Subscriptions Redemptions Subscriptions Redemptions Share Class USD ’000 USD ’000 USD ’000 USD ’000 Class A ...... 8,134 (5,831) 10,516 (8,080) Class D...... 931 (540) 14,433 (1,068) c) Swing Pricing/Dilution Adjustments Swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund for a given dealing day is determined by the Administrator to exceed certain predetermined percentage thresholds relating to a Fund’s net asset value. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing factor”.

The swing factors applied during the financial year ended 31 March 2021 ranged from 0.05% to 0.30% on both subscriptions and redemptions.

The swing factors applied during the financial year ended 31 March 2020 ranged from 0.10% to 0.50% on subscriptions and from 0.10% to 1.50% on redemptions. d) Significant Shareholders The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s net asset value, the aggregate monetary value and percentage (of that Fund’s net asset value) of that holding as at 31 March 2021.

Number of Value of Aggregate Significant Holding Shareholding Fund Shareholders ‘000 as a % of the Fund Russell Investments Emerging Market Debt Local Currency Fund ...... 1 USD 117,352 48.16 Russell Investments Euro Fixed Income Fund...... 1 EUR 43,504 25.65 Russell Investments Global Bond (Euro Hedged) Fund...... 1 EUR 115,490 34.55 Russell Investments Pan European Equity Fund ...... 1 EUR 75,269 38.14 Russell Investments World Equity Fund...... 1 USD 611,726 29.31 Russell Investments China Equity Fund ...... 1 USD 66,156 69.20

The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s net asset value, the aggregate monetary value and percentage (of that Fund’s net asset value) of that holding as at 31 March 2020.

Number of Value of Aggregate Significant Holding Shareholding Fund Shareholders ‘000 as a % of the Fund Russell Investments Emerging Market Debt Local Currency Fund ...... 1 USD 181,961 23.10 Russell Investments Emerging Markets Extended Opportunities Fund .. 3 USD 128,318 100.00 Russell Investments Euro Fixed Income Fund...... 1 EUR 41,335 26.32 Russell Investments Global Bond (Euro Hedged) Fund...... 1 EUR 82,366 26.45 Russell Investments Pan European Equity Fund ...... 2 EUR 121,645 71.23 Russell Investments U.S. Quant Fund...... 1 USD 32,623 20.50 Russell Investments World Equity Fund...... 1 USD 369,011 20.48 Russell Investments China Equity Fund ...... 1 USD 41,621 80.30

11. Efficient Portfolio Management The Company may enter into securities lending arrangements and repurchase agreements (together “Efficient Portfolio Management Techniques”) and may invest in OTC FDIs subject to the restrictions set forth in the Prospectus and to the extent consistent with the Fund’s investment objective and policies.

The use of techniques and instruments relating to transferable securities, money market instruments and/or other financial instruments in which the Funds invest for efficient portfolio management purposes will generally be made for one or more of the following reasons:

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31 March 2021

11. Efficient Portfolio Management - continued

i) the reduction of risk; ii) the reduction of cost; or iii) the generation of additional capital or income for the relevant Fund with an appropriate level of risk, taking into account the risk profile of the Fund and the risk diversification rules set out in the UCITS Regulations issued by the Central Bank.

All the revenues arising from Efficient Portfolio Management Techniques employed shall be returned to the relevant Fund following the deduction of any direct and indirect operational costs and fees arising. Such direct and indirect operational costs and fees, (which are all fully transparent) which shall not include hidden revenue, shall include fees and expenses payable to repurchase/reverse repurchase agreements counterparties and/or securities lending agents engaged by the Company from time to time. Such fees and expenses of any repurchase/reverse repurchase agreements counterparties and/or stocklending agents engaged by the Company, which will be at normal commercial rates together with VAT, if any, thereon, will be borne by the Company or the Fund in respect of which the relevant party has been engaged.

Money Manager(s), Investment Managers and Investment Advisors on behalf of a Fund may employ techniques and instruments relating to transferable securities, money market instruments and/or other financial instruments in which they invest for efficient portfolio management purposes. At any time a Fund may hold a combination of derivative instruments such as futures, forward contracts, options, swaps, swaptions, forward foreign exchange contracts, caps, floors and credit derivatives, any of which may be listed or over-the-counter.

None of the Funds entered into securities lending arrangements or repurchase agreements during the financial years ended 31 March 2021 or March 2020.

Please refer to Note 2 a) Financial Instruments at Fair Value through Profit or Loss for a range of FDIs that the Company may employ for the purpose of efficient portfolio management.

12. Financial Risks

The activities of each Fund expose them to various financial risks such as market risk (including market price risk, interest rate risk, and currency risk), credit risk and liquidity risk. The portfolio management process seeks to manage risk in a manner consistent with each Funds objectives.

Some Funds delegate some of the management of its portfolio to external Money Managers. The Manager may appoint one or more Investment Managers to manage the whole or a portion of a Fund’s assets. The Investment Manager(s) may appoint one or more Investment Advisers. The Adviser primarily monitors and manages market risk (including market price risk, interest rate risk, and currency risk), credit risk and liquidity risk by the following techniques:

▪ The Adviser monitors each Fund’s characteristics in detail with the Money Manager(s) at least quarterly and in some cases monthly. ▪ The Adviser also reviews the portfolio characteristics of each Fund in its entirety. ▪ This review may include as appropriate a review of country allocations, country weights, capitalisation, distribution, industry sector weights, price/book levels, currency exposure, portfolio maturity, portfolio duration, sector exposure and quality exposure and other key risk measures. ▪ In addition to monitoring investment activity and exposure by a Money Manager, the Adviser also receives daily exposure reporting from the Administrator and Money Managers, with which they can review various event exposures on the Funds. ▪ The Adviser also oversees and monitors the overall level of risk in a Fund. a) Global Exposure The Funds will use advanced risk measurement methodology, namely Value at Risk (VaR) as a risk measurement technique, in addition to other techniques, to measure, monitor and manage market risk. The absolute or relative VaR approach will be executed in accordance with CESR (Committee of European Securities Regulators) 10/7888 guidelines. VaR quantifies the estimate of the maximum potential loss due to market risk at a given confidence level over a specified time period under the prevailing market conditions.

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VaR is a model-based estimate. As with any model-derived figure, it is subject to imprecision due to such factors as data and measurement errors and model risk. The calculation of VaR is based on daily unaudited accounting book of record position data. In addition, VaR assumes that future asset return distributions and correlations remain stable and consistent with the prevailing market conditions. The Funds utilise additional measures such as stress testing analysis and exposure measurement to provide a holistic view to the Funds’ market risk that includes tail risk and derivative exposure quantification. Furthermore, accuracy of the VaR models is regularly checked via out-of-time/out-of-sample backtesting.

For calculation of global exposure under the advanced risk measurement approach, Monte Carlo VaR using the granular modeling approach based on 1000 simulations is used. The approach estimates VaR by simulating random scenarios for each relevant pricing inputs (e.g., specific equity, commodity prices, foreign exchange and interest rates, implied volatility, etc.) used in valuing securities held in the portfolio and revaluing the positions for each of the paths generated for pricing inputs. For Funds using the absolute VaR approach, the VaR of the Fund shall not exceed 3.16 per cent of the Net Asset Value of the Fund, based on a 1 day holding period and a “one-tailed” 95 per cent confidence interval using observation period of at least 1 financial year. For Funds using the relative VaR approach, the VaR of the Fund shall not exceed twice that of the VaR of the reference portfolio based on a 1 day holding period and a “one-tailed” 95 per cent confidence interval using historical observation period of at least 1 financial year. A Fund VaR of 1 per cent means that there is a 5 per cent chance that the Fund will lose more than 1 per cent of its value over any given day, assuming that the prevailing market conditions continue into the future.

The below table details the VaR expressed as a percentage of the NAV at financial year end 31 March 2021 and financial year end 31 March 2020, VaR approach for each Fund and for those Funds utilising the relative VaR methodology, the reference portfolio is also listed.

Global Exposure Calculation Methodology and VaR as at the year end VaR as at VaR as at Fund Name Approach Reference Portfolio 31 March 2021 31 March 2020 Russell Investments Emerging Market Debt Local Currency Fund...... Absolute NA 1.14% 1.70% Russell Investments Emerging Markets Extended Opportunities Fund...... Relative MSCI EFM IMI Index Net Closed 3.09% Russell Investments Euro Fixed Income Fund ...... Absolute NA 0.65% 1.27% Russell Investments Global Bond (Euro Hedged) Fund...... Absolute NA 0.46% 0.94% Russell Investments Pan European Equity Fund ... Relative MSCI Europe Index Net EUR 2.26% 3.38% Russell Investments U.S. Quant Fund ...... Relative Russell 1000 Index Net USD 2.10% 2.99% Russell Investments World Equity Fund...... Relative MSCI World Index Net USD 1.94% 2.95% Russell Investments China Equity Fund...... Relative MSCI All China Index Net 2.69% 2.61%

VaR utilization measures the Fund’sVaR relative to the Fund’sVaR limit. The below table details the minimum, maximum and average daily VaR utilization that occurred during the one financial year ending at 31 March 2021 and one financial year ending 31 March 2020.

Daily VaR Utilisation* 31 March 2021 31 March 2020 Fund Name Minimum Maximum Average Minimum Maximum Average Russell Investments Emerging Market Debt Local Currency Fund...... 36.1% 60.4% 47.7% 20.0% 56.9% 25.9% Russell Investments Emerging Markets Extended Opportunities Fund...... 0.2% 15.5% 8.0% <0% 19.2% 1.0% Russell Investments Euro Fixed Income Fund .... 18.6% 42.3% 27.9% 12.1% 41.9% 15.3% Russell Investments Global Bond (Euro Hedged) Fund...... 14.1% 31.0% 20.3% 7.4% 30.9% 10.1% Russell Investments Pan European Equity Fund. 4.5% 17.3% 10.4% <0% 31.9% 20.4% Russell Investments U.S. Quant Fund ...... <0% 9.6% 2.4% <0% 18.6% 10.0% Russell Investments World Equity Fund...... <0% 8.9% 1.6% <0% 14.8% 6.0% Russell Investments China Equity Fund...... 7.1% 51.4% 23.3% <0% 23.6% 15.4%

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* Absolute VaR Limit Utilisation = VaR (95% CI, 1 day) / 3.16% Relative VaR Limit Utilisation = [Fund VaR / Benchmark VaR] - 1 Utilisation >100% equates to breaking the limit The Daily VaR Utilisation calculation excludes VaR values occurring during Fund opening or closing due to accounting and timing issues. The below table details the Fund’sVaR relative to the Fund’sVaR limit at the financial year end 31 March 2021 and 31 March 2020.

VaR Utilisation Year ended Year ended 31 March 2021 31 March 2020 Fund Name Level Level Russell Investments Emerging Market Debt Local Currency Fund ...... 36.2% 53.8% Russell Investments Emerging Markets Extended Opportunities Fund .. Closed 14.4% Russell Investments Euro Fixed Income Fund...... 20.4% 40.2% Russell Investments Global Bond (Euro Hedged) Fund...... 14.5% 29.8% Russell Investments Pan European Equity Fund ...... 10.2% 9.7% Russell Investments U.S. Quant Fund...... 2.6% 5.9% Russell Investments World Equity Fund...... <0% 5.1% Russell Investments China Equity Fund ...... 39.5% 10.1%

The average level of leverage figures provided below are calculated as the sum of the absolute value of notionals of the derivatives used as is required by the UCITS Regulations. This figure does not take into account any netting and hedging arrangements that the Funds may have in place at any time even though these netting and hedging arrangements are used for risk reduction purposes. As these netting and hedging arrangements, if taken into account, may reduce the level of leverage, this calculation may not provide an accurate measure of the Funds’ actual leverage position. Below is the daily average level of leverage for each Fund during the one financial year ending at 31 March 2021 and 31 March 2020.

LevelofLeverage* Year ended Year ended Fund Name 31 March 2021 31 March 2020 Russell Investments Emerging Market Debt Local Currency Fund ...... 283.3% 126.9% Russell Investments Emerging Markets Extended Opportunities Fund ..... 28.3% 38.7% Russell Investments Euro Fixed Income Fund...... 201.1% 171.7% Russell Investments Global Bond (Euro Hedged) Fund...... 414.2% 399.5% Russell Investments Pan European Equity Fund ...... 26.3% 13.3% Russell Investments U.S. Quant Fund...... 3.6% 2.1% Russell Investments World Equity Fund...... 114.4% 106.6% Russell Investments China Equity Fund ...... 12.0% 11.5% * The Daily Average Leverage calculation excludes distorted daily leverage values occurring during fund opening or closing due to accounting and timing issues. b) Market Price Risk Market price risk is defined in FRS 102 as the risk that the fair value of a financial instrument or its future cash flows will fluctuate because of changes in market prices other than those caused by interest rate risk or currency risk.

All investments present a risk of loss of capital. The Funds’ investments are susceptible to market risk arising from uncertainties about future prices of the instruments. Except for derivatives, maximum risk resulting from financial instruments is determined by fair value of the financial instruments. Possible losses from certain derivatives can be unlimited. The Adviser moderates this risk by diversifying the management of its assets by allocating them between one or more Money Managers. The Funds’ Money Managers monitor their portfolio holdings on a daily basis.

The market prices of a Fund’s securities may go up or down, sometimes rapidly or unpredictably, due to general market conditions, such as overall economic trends or events, government actions or interventions, market disruptions caused by trade disputes or other factors, political factors or adverse investor sentiment. Such events include the recent pandemic spread of the novel corona virus known as COVID-19, the duration and full effects of which are still uncertain. The market prices of securities also may go down due to events or conditions that affect particular sectors, industries or issuers. Adverse market conditions may be prolonged and may not have the same impact on all types of securities. If the market prices of the securities owned by the Fund fall, the value of an investment will go down. A Fund may experience a substantial or complete loss on any individual security.

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i) Fair valuation hierarchy FRS 102 Section 11.27 on “Fair Value: Disclosure” requires the Company to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements.

The fair value hierarchy of inputs is summarised in the three broad levels listed below.

▪ Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities. ▪ Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices). ▪ Level 3: Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability.

No significant transfers occurred between the levels during the financial year and prior financial year under review.

The determination of what constitutes ‘observable’ requires significant judgement by the Directors. The Directors consider observable data to be that market data that is readily available, regularly distributed or updated, reliable and veri- fiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

Investments whose values are based on quoted market prices in active markets, and therefore classified within Level 1, include active listed equities and exchange traded derivatives. The Funds do not adjust the quoted price for these instruments.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include stale priced listed equities, unlisted equities, bonds, investment funds and OTC FDIs.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently. Level 3 securities are securities that may be priced by a single pricing vendor or may have prolonged stale prices or may have no valid market information (indications or comparable security types) available.

Please refer to the base of each Fund’s Schedule of Investments for analysis, within the fair value hierarchy, of each Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2021 and 31 March 2020.

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As the Russell Investments Emerging Markets Extended Opportunities Fund ceased trading during the financial year ended 31 March 2021, please see the Fund’s fair value hierarchy as at 31 March 2020 below.

Russell Investments Emerging Markets Extended Opportunities Fund

As at March 2020

Level 1 Level 2 Level 3 Total USD ‘000 USD ‘000 USD ‘000 USD ‘000 Assets ...... Financial assets at fair value through profit or loss: ...... Investments at fair value:...... Transferable securities...... 113,093 - 158 113,251 Investment funds...... - 7,234 - 7,234 Unrealised gain on open futures contracts...... 1,365 - - 1,365 Unrealised gain on open forward foreign currency exchange contracts ...... -11-11 Total assets ...... 114,458 7,245 158 121,861

Liabilities ...... Financial liabilities at fair value through profit or loss: ...... Unrealised loss on open futures contracts...... (263) - - (263) Unrealised loss on open forward foreign currency exchange contracts ...... - (1,061) - (1,061) Total return swaps at fair value ...... - (1,909) - (1,909) Total liabilities...... (263) (2,970) - (3,233) c) Interest Rate Risk The Funds’ interest bearing financial assets and liabilities expose it to risks associated with the effects of fluctuations in the prevailing level of interest rates. The Funds may employ investment techniques and FDIs in order to hedge against interest rate risk or gain exposure to the underlying market. In addition, mortgage and asset backed securities are also subject to prepayment risk, which is the risk that borrowers pay off the debt underlying the mortgage backed/asset backed securities sooner than anticipated and therefore shorten the average maturity of the Funds.

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

The Funds not mentioned with the table are mainly investing in non-interest bearing assets or its investments have a very short time to maturity. As a result, those Funds are not subject to significant amounts of risk due to fluctuations in the prevailing levels of market interest rates.

As at 31 March 2021

Up to 1to Over Non-interest Net 1year 5years 5 years bearing Assets Fund Name Ccy ‘000 ‘000 ‘000 ‘000 ‘000 Russell Investments Emerging Market Debt Local Currency Fund ...... USD 66,995 58,498 113,418 4,754 243,665 Russell Investments Euro Fixed Income Fund...... EUR 35,822 20,784 94,922 18,104 169,632 Russell Investments Global Bond (Euro Hedged) Fund...... EUR 26,790 104,561 179,552 23,407 334,310

As at 21 March 2020

Up to 1to Over Non-interest Net 1year 5years 5 years bearing Assets Fund Name Ccy ‘000 ‘000 ‘000 ‘000 ‘000 Russell Investments Emerging Market Debt Local Currency Fund ...... USD 163,370 413,225 167,301 43,797 787,693 Russell Investments Euro Fixed Income Fund...... EUR 27,381 88,967 22,995 17,711 157,054 Russell Investments Global Bond (Euro Hedged) Fund...... EUR 72,352 177,465 65,184 (3,600) 311,401

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12. Financial Risks - continued d) Currency Risk The following tables detail Funds with material currency exposures at the balance sheet date. For presentation purposes the three foreign currencies with the greatest exposure, on each respective Fund, as of the balance sheet date are disclosed separately and all other foreign currencies held on that Fund have been amalgamated. Funds not listed below do not have material currency exposures as of the balance sheet date.

The sensitivity analysis in the tables details the approximate increase or decrease in net assets attributable to redeemable participating shareholders if the exchange rate between the base currency of the relevant Fund and the relevant foreign currency increased by 5%.

The foreign currency exposure for the monetary assets held by the Funds as at 31 March 2021 is as follows:

Russell Investments Emerging Market Debt Local Currency Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure USD ‘000 USD ‘000 USD ‘000 USD ‘000 Mexican Peso ...... 25,777 - 25,777 1,289 Brazilian Real...... 24,393 - 24,393 1,220 Polish Zloty...... 22,709 - 22,709 1,135 All other foreign currencies ...... 156,937 - 156,937 7,847 229,816 - 229,816 11,491

Russell Investments Euro Fixed Income Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 British Pound...... 87,259 - 87,259 4,363 Norwegian Krone...... 2,101 - 2,101 105 New Zealand Dollar...... 1,420 - 1,420 71 All other foreign currencies ...... (7,718) 97 (7,621) (381) 83,062 97 83,159 4,158

Russell Investments Global Bond (Euro Hedged) Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 British Pound...... 88,029 276 88,305 4,415 United States Dollar...... 18,413 5,548 23,961 1,198 Norwegian Krone...... 4,651 - 4,651 233 All other foreign currencies ...... (16,870) - (16,870) (844) 94,223 5,824 100,047 5,002

Russell Investments Pan European Equity Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 British Pound...... (626) 45,142 44,516 2,226 Swiss Franc ...... 8,055 17,237 25,292 1,265 Swedish Krona ...... 367 10,135 10,502 525 All other foreign currencies ...... (6,810) 19,701 12,891 645 986 92,215 93,201 4,661

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Russell Investments World Equity Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure USD ‘000 USD ‘000 USD ‘000 USD ‘000 Euro...... (58,428) 325,505 267,077 13,354 Japanese Yen ...... (220,540) 367,070 146,530 7,327 British Pound...... (162,936) 242,836 79,900 3,995 All other foreign currencies ...... 7,821 198,122 205,943 10,297 (434,083) 1,133,533 699,450 34,973

The foreign currency exposure for the monetary assets held by the Funds as at 31 March 2020 is as follows:

Russell Investments Emerging Market Debt Local Currency Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure USD ‘000 USD ‘000 USD ‘000 USD ‘000 Mexican Peso ...... 97,671 - 97,671 4,884 Brazilian Real...... 79,995 - 79,995 4,000 Polish Zloty...... 78,412 - 78,412 3,921 All other foreign currencies ...... 479,979 - 479,979 23,999 736,057 - 736,057 36,804

Russell Investments Euro Fixed Income Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 British Pound...... 84,605 104 84,709 4,235 Japanese Yen ...... 5,039 - 5,039 252 Swedish Krona ...... 2,622 - 2,622 131 All other foreign currencies ...... (10,201) 352 (9,849) (492) 82,065 456 82,521 4,126

Russell Investments Pan European Equity Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure EUR ‘000 EUR ‘000 EUR ‘000 EUR ‘000 British Pound...... 3,033 38,936 41,969 2,098 Swiss Franc ...... 18,979 16,668 35,647 1,782 Danish Krone ...... 258 7,577 7,835 392 All other foreign currencies ...... 525 12,742 13,267 663 22,795 75,923 98,718 4,935

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Russell Investments World Equity Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure USD ‘000 USD ‘000 USD ‘000 USD ‘000 British Pound...... 205,209 157,817 363,026 18,151 Euro...... (116,295) 206,088 89,793 4,490 Japanese Yen ...... (209,351) 263,885 54,534 2,727 All other foreign currencies ...... (138,804) 228,225 89,421 4,471 (259,241) 856,015 596,774 29,839

Russell Investments China Equity Fund Monetary Net Non-Monetary Net Financial Sensitivity Assets/(Liabilities) Net Assets Assets/(Liabilities) Analysis Foreign Currency Exposure USD ‘000 USD ‘000 USD ‘000 USD ‘000 Chinese Yuan Renminbi...... 2,246 22,926 25,172 1,259 Hong Kong Dollar...... 97 18,446 18,543 927 2,343 41,372 43,715 2,186 e) Credit Risk The Funds take on credit risk which is the risk that a counterparty or issuer will be unable to pay amounts in full when due. Impairment provisions are provided for losses that have been incurred by the balance sheet date, if any.

The Funds’ main credit risk concentrations arise from trading equity and debt securities, investment funds and FDIs in addition to cash balances held at the Depositary.

The Funds minimise concentrations of credit risk by undertaking transactions with a large number of counterparties. The Company’s Prospectus and the UCITS Regulations list various investment restrictions with regard to issuer and counterparty concentration limits and minimum counterparty credit ratings. Each relevant Fund’s Money Managers conduct periodic reviews of the counterparties with whom they conduct transactions. The Adviser also monitors each Fund’s counterparty exposures. In addition, risk exposure to a counterparty may be reduced by collateral provided to the Fund by the counterparty in accordance with the UCITS Regulations.

The Adviser employs a credit research team that performs robust quantitative and qualitative analysis on banks, insurance companies, and other counterparties. The credit research analyst assigned to a particular counterparty performs full credit analysis and writes a credit research report and subsequently sets investment parameters on OTC counterparty ratings and exposures where appropriate. The credit research team only reviews counterparties for those assets directly managed by Russell Investments. The individual Money Managers have their own research process for the assets under their management. Each relevant Fund’s Money Managers monitor each credit position on a daily basis.

The tables below detail the Schedule of Investments by rating category for all Funds which invest primary in debt securities. Investments other than debt instruments are included in the ‘No Rating’ category.

Russell Investments Emerging Market Debt Local Currency Fund Russell Investments Euro Fixed Income Fund % of Investments % of Investments % of Investments % of Investments Portfolio by rating category As at 31 March 2021 As at 31 March 2020 As at 31 March 2021 As at 31 March 2020 Investment Grade ...... 80.35% 77.95% 84.88% 82.03% Non Investment Grade ...... 17.10% 16.66% 2.13% 4.30% Not Rating...... 0.55% 0.41% 2.73% 3.10% No Rating Applicable...... 2.00% 4.98% 10.26% 10.57% 100.00% 100.00% 100.00% 100.00%

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Russell Investments Global Bond (Euro Hedged) Fund % of Investments % of Investments Portfolio by rating category As at 31 March 2021 As at 31 March 2020 Investment Grade ...... 83.33% 71.50% Non Investment Grade ...... 7.33% 8.41% Not Rating...... 4.73% 14.20% No Rating Applicable...... 4.61% 5.89% 100.00% 100.00%

Each Fund may enter transactions in OTC markets that expose it to the credit of its counterparties and their ability to satisfy the terms of such contracts. Where the Funds enter into credit default swaps and other swap arrangements and derivative techniques, they will be exposed to the risk that the counterparty may default on its obligations to perform under the relevant contract. In the event of a bankruptcy or insolvency of a counterparty, the Funds could experience delays in liquidating the position and may incur significant losses. There is also a possibility that ongoing derivative transactions will be terminated unexpectedly as a result of events outside the control of the Company, for instance, bankruptcy, supervening illegality or a change in the tax or accounting laws relative to those transactions at the time the agreement was originated.

The names of brokers and counterparties used by each individual Fund can be found at the base of each relevant Fund’s Schedule of Investments. The total unrealised gains and losses exposure by investment type for each of the brokers and counterparties can also be found at the base of each relevant Fund’s Schedule of Investments. When there are more than five brokers and counterparties used by a Fund, the top five have been disclosed with the remainder included in the “other” category.

Collateral may be pledged by the Funds, generally by way of cash or cash equivalents (generally higher liquid G8 issued government debt instruments), and held by the counterparties. Details of non-cash collateral held at financial year-end by counterparties are asterisked within the Schedule of Investments of the Funds. Amounts of cash collateral held at financial year-end by counterparties are disclosed on the Balance Sheet of the Funds. See Note 3 to the financial statements for full details of cash collateral pledged to or by the relevant Funds as at 31 March 2021 and 31 March 2020.

All securities, cash at bank balances and bank overdrafts and cash or non-cash collateral received by the Funds are held by the Depositary through its affiliate, State Street or through a sub-custodian within the State Street custodial network. All OTC FDIs, investment funds, time deposits margin or other similar investments/monies deposited by or entered into on behalf of the Company with a counterparty, options exchange, clearing broker or other parties are not held within the State Street custodial network. The Depositary are therefore not liable in any way for the default of any counterparty.

Bankruptcy or insolvency of the Depositary or a State Street affiliate company may cause the Company’s rights with respect to cash and securities held by State Street to be delayed or limited and the Company would be treated as a general creditor of that entity in respect of its cash balances. Periodic monitoring and an annual credit review are performed on the Depositary by the Adviser. This review may include as appropriate an assessment of the Depositary’s liquidity position, income streams, asset quality and credit ratings. The long term credit rating of State Street as of 31 March 2021 was Aa2 (31 March 2020: Aa2), as rated by Moody’s rating agency. f) Liquidity Risk The liquidity risks associated with the need to meet shareholders’ requests for redemptions are mitigated by maintaining a pool of cash to satisfy usual levels of demand. Generally, the Funds’ assets comprise publicly traded securities with various degree of liquidity. In highly volatile market conditions, the Funds may not easily liquidate assets needed for redemption or settlement. In such conditions, the Manager may adopt a number of liquidity management tools, as detailed in the Company’s prospectus, such as restrictions on redemptions, borrowing arrangements on a temporary basis, in-specie redemption, temporary suspension of valuation, issue and repurchase of shares and review of the Funds’ swing pricing policy.

Swing prices will be calculated, and reviewed by the Securities Valuation Committee for the EMEA’s fixed income funds, on a weekly basis to best reflect and compensate the cost of trading.

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The Manager, in consultation with the Adviser, employs an appropriate liquidity management system and has adopted procedures which enable it to monitor the liquidity risk of the Company and each Fund. The liquidity management system ensures that each Fund maintains a level of liquidity appropriate to its underlying obligations based on an assessment of the relative liquidity of the Fund’s assets in the market, taking account of the time required for liquidation and the price or value at which those assets can be liquidated and their sensitivity to other market risks or factors. The Manager, in consultation with the Adviser, monitors the liquidity profile of the portfolio of assets having regard to the profile of the investor base of the Fund, the relative size of investments and the repurchase terms to which these investments are subject. The Manager, in consultation with the Adviser (and affiliates), implements and maintains appropriate liquidity measurement arrangements and procedures to assess the quantitative and qualitative risks of positions and intended investments which have a material impact on the liquidity profile of the Fund’s portfolio of assets. This enables effects on the overall liquidity profile to be appropriately measured and to put into effect the tools and arrangements necessary to manage the liquidity of the Company.

As at 31 March 2021 and 31 March 2020, with the exception of the Funds mentioned below, the Funds’ liabilities, including net assets attributable to redeemable participating shareholders, were payable within three months. As at 31 March 2021 Russell Investments Emerging Market Debt Local Currency Fund and Russell Investments Global Bond (Euro Hedged) Fund had financial liabilities at fair value through profit and loss with maturity dates greater than three months. As at 31 March 2020 Russell Investments Emerging Market Debt Local Currency Fund, Russell Investments Global Bond (Euro Hedged) Fund and Russell Investments Euro Fixed Income Fund had financial liabilities at fair value through profit and loss with maturity dates greater than three months.

The following tables and overleaf analyse each Fund’s forward foreign currency exchange contracts that will be settled on a gross basis into relevant maturity groupings based on the remaining period at the Balance Sheet to the contractual maturity date.

Year ended 31 March 2021

Less than 3 months to 1yearto 3 months 1 year 5 years Fund Name Currency ’000 ‘000 ‘000 Russell Investments Emerging Market Debt Local Currency Fund Inflows ...... USD 192,129 12,077 - Outlfows...... USD (193,623) (11,922) - Russell Investments Euro Fixed Income Fund Inflows ...... EUR 313,366 - - Outlfows...... EUR (312,414) - - Russell Investments Global Bond (Euro Hedged) Fund Inflows ...... EUR 721,943 - - Outlfows...... EUR (722,560) - - Russell Investments Pan European Equity Fund Inflows ...... EUR 21,295 - - Outlfows...... EUR (21,301) - - Russell Investments World Equity Fund Inflows ...... USD 1,065,350 - - Outlfows...... USD (1,058,114) - - Russell Investments China Equity Fund Inflows ...... USD 7,970 - - Outlfows...... USD (7,979) - -

Year ended 31 March 2020

Less than 3 months to 1yearto 3 months 1 year 5 years Fund Name Currency ’000 ‘000 ‘000 Russell Investments Emerging Market Debt Local Currency Fund Inflows ...... USD 950,634 225,873 - Outlfows...... USD (946,095) (228,869) - Russell Investments Emerging Markets Extended Opportunities Fund Inflows ...... USD 19,447 - - Outlfows...... USD (20,497) - -

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Less than 3 months to 1yearto 3 months 1 year 5 years Fund Name Currency ’000 ‘000 ‘000 Russell Investments Euro Fixed Income Fund Inflows ...... EUR 313,012 - - Outlfows...... EUR (316,131) - - Russell Investments Global Bond (Euro Hedged) Fund Inflows ...... EUR 919,664 - - Outlfows...... EUR (920,970) - - Russell Investments Pan European Equity Fund Inflows ...... EUR 21,609 - - Outlfows...... EUR (21,627) - - Russell Investments World Equity Fund Inflows ...... USD 1,984,233 - - Outlfows...... USD (1,983,063) - - Russell Investments China Equity Fund Inflows ...... USD 4,037 - - Outlfows...... USD (4,063) - -

13. Exchange Rates

Where applicable, the Administrator used the exchange rates listed below to translate foreign currency amounts, market value of investments and other assets and liabilities into Euro at the following rates for each EUR 1.

31 March 2021 31 March 2021 31 March 2021 Argentine Peso ARS 108.1098 Indonesian Rupiah IDR 17,071.2243 Singapore Dollar SGD 1.5791 Australian Dollar AUD 1.5431 Japanese Yen JPY 129.8706 South African Rand ZAR 17.3548 Brazilian Real BRL 6.6322 Kazakhstani Tenge KZT 500.3837 South Korean Won KRW 1,330.1451 British Pound GBP 0.8519 Malaysian Ringgit MYR 4.8734 Swedish Krona SEK 10.2443 Canadian Dollar CAD 1.4772 Mexican Peso MXN 24.0472 Swiss Franc CHF 1.1061 Chilean Peso CLP 844.3351 New Israeli Sheqel ILS 3.9193 Thailand Baht THB 36.7281 Colombian Peso COP 4,319.2254 New Taiwan Dollar TWD 33.5348 Turkish Lira TRY 9.7271 Czech Republic Koruna CZK 26.1200 New Zealand Dollar NZD 1.6782 Ukrainian Hryvnia UAH 32.7289 Danish Krone DKK 7.4372 Norwegian Krone NOK 10.0328 Uruguayan Peso UYU 52.0951 Egyptian Pound EGP 18.4728 Peruvian Nuevo Sol PEN 4.4216 U.S. Dollar USD 1.1753 Georgian Lari GEL 4.0254 Philippine Peso PHP 57.0461 Yuan Renminbi CNY 7.7041 Ghana Cedi GHS 6.7991 Polish Zloty PLN 4.6377 Yuan Renminbi Offshore CNH 7.7114 Hong Kong Dollar HKD 9.1373 Romanian Leu RON 4.9204 Hungarian Forint HUF 362.2449 Russian Ruble RUB 88.7571 Indian Rupee INR 85.9305 Serbian Dinar RSD 117.5652

31 March 2020 31 March 2020 31 March 2020 Argentine Peso ARS 70.6520 Indonesian Rupiah IDR 17,896.1540 Singapore Dollar SGD 1.5623 Australian Dollar AUD 1.7927 Japanese Yen JPY 118.4537 South African Rand ZAR 19.5969 Bangladesh Taka BDT 93.2663 Kazakhstani Tenge KZT 492.2540 South Korean Won KRW 1,335.7378 Brazilian Real BRL 5.6910 Kenyan Shilling KES 115.2662 Swedish Krona SEK 10.8712 British Pound GBP 0.8849 Malaysian Ringgit MYR 4.7401 Swiss Franc CHF 1.0616 Canadian Dollar CAD 1.5618 Mexican Peso MXN 25.7407 Thailand Baht THB 36.0090 Chilean Peso CLP 935.2085 New Israeli Sheqel ILS 3.8815 Turkish Lira TRY 7.2312 Colombian Peso COP 4,454.9463 New Taiwan Dollar TWD 33.1825 UAE Dirham AED 4.0304 Costa Rican Colon CRC 640.1743 New Zealand Dollar NZD 1.8508 Ukrainian Hryvnia UAH 30.3088 Czech Republic Koruna CZK 27.3965 Nigerian Naira NGN 418.601 Uruguayan Peso UYU 47.1818 Danish Krone DKK 7.4622 Norwegian Krone NOK 11.5222 U.S. Dollar USD 1.0973 Egyptian Pound EGP 17.2707 Pakistan Rupee PKR 182.2533 Viet Nam Dong VND 25,913.7627 Georgian Lari GEL 3.6154 Peruvian Nuevo Sol PEN 3.773 Yuan Renminbi CNY 7.7829 Ghana Cedi GHS 6.2763 Philippine Peso PHP 55.8062 Yuan Renminbi Offshore CNH 7.7775 Guatemalan Quetzal GTQ 8.432 Polish Zloty PLN 4.5574 Zimbabwean Dollar ZWL 27.4313 Hong Kong Dollar HKD 8.5047 Qatari Rial QAR 3.9951 Hungarian Forint HUF 360.7052 Romanian Leu RON 4.8320 Iceland Krona ISK 155.5901 Russian Ruble RUB 85.7323 Indian Rupee INR 83.0084 Serbian Dinar RSD 117.4991

Notes to the Financial Statements 203 Russell Investment Company II plc

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13. Exchange Rates - continued

The Administrator used the average exchange rates for each reporting period as listed below to translate into Euro the Profit and Loss Account and Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of those Funds not prepared in Euro in preparing the Company’s Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders at the following rates for each EUR 1.

Year ended 31 March 2021 Year ended 31 March 2020 British Pound GBP 0.8892 British Pound GBP 0.8728 U.S. Dollar USD 1.1667 U.S. Dollar USD 1.1112

14. Comparative Dealing Net Assets

The net asset value per share may include a swing factor if the price had been swung at the financial year end.

Russell Investments Emerging Market Debt Local Currency Fund

Class I Class I AUD Class I Sterling Class B Euro Income Sterling Income Class I USD Class S Euro EUR ‘000 AUD ‘000 GBP ‘000 GBP ‘000 USD ‘000 EUR ‘000 Total net asset value ...... 31 March 2021 ...... 10 38,972 369 33,469 49,896 99,849 31 March 2020 ...... 121,147 373,484 201,362 23,570 52,020 86,790 31 March 2019 ...... 134,420 373,219 259,304 25,311 53,560 92,005

Class I Class I AUD Class I Sterling Class B Euro Income Sterling Income Class I USD Class S Euro EUR AUD GBP GBP USD EUR Net asset value per share ...... 31 March 2021 ...... 914.35 820.20 1,032.37 918.07 886.48 993.04 31 March 2020 ...... 865.42 923.17 1,008.06 924.90 778.14 929.09 31 March 2019 ...... 928.54 905.71 1,045.98 1,002.12 848.40 984.91

Class TWN Income Class U Euro USD ‘000 EUR ‘000 Total net asset value ...... 31 March 2021 ...... 129 31 March 2020 ...... 115 31 March 2019 ...... -16

Class TWN Income Class U Euro USD EUR Net asset value per share ...... 31 March 2021 ...... 932.10 880.28 31 March 2020 ...... 843.06 837.79 31 March 2019 ...... - 903.25

204 Notes to the Financial Statements Russell Investment Company II plc

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14. Comparative Dealing Net Assets - continued

Russell Investments Emerging Markets Extended Opportunities Fund

Class A Class I USD ‘000 GBP ‘000 Total net asset value ...... 31 March 2021 ...... -- 31 March 2020 ...... 86,700 33,565 31 March 2019 ...... 394,961 41,438

Class A Class I USD GBP Net asset value per share ...... 31 March 2021 ...... -- 31 March 2020 ...... 869.06 1,227.12 31 March 2019 ...... 1,127.50 1,514.94

Russell Investments Euro Fixed Income Fund

Class GBPH I Class P Class B Class F Income Class I Income Class S EUR ‘000 EUR ‘000 GBP ‘000 GBP ‘000 GBP ‘000 EUR ‘000 Total net asset value ...... 31 March 2021 ...... 83,534 70 72,162 328 360 508 31 March 2020 ...... 74,721 37 71,706 332 349 495 31 March 2019 ...... 80,771 201 72,196 323 501 545

Class GBPH I Class P Class B Class F Income Class I Income Class S EUR EUR GBP GBP GBP EUR Net asset value per share ...... 31 March 2021 ...... 2,002.88 1,661.90 12.36 28.08 13.42 154.76 31 March 2020 ...... 1,875.78 1,568.89 11.57 27.26 13.13 145.26 31 March 2019 ...... 1,855.71 1,564.47 11.40 26.21 12.70 144.02

Russell Investments Global Bond (Euro Hedged) Fund

Class GBPH I Class A Class B Class DH-B Income EUR ‘000 EUR ‘000 USD ‘000 GBP ‘000 Total net asset value ...... 31 March 2021 ...... 424 230,453 20,358 73,696 31 March 2020 ...... 480 200,301 37,435 67,698 31 March 2019 ...... 458 207,851 33,782 71,962

Class GBPH I Class A Class B Class DH-B Income EUR EUR USD GBP Net asset value per share ...... 31 March 2021 ...... 1,928.42 2,174.31 20.18 11.07 31 March 2020 ...... 1,854.26 2,081.21 19.11 10.60 31 March 2019 ...... 1,838.39 2,051.02 18.27 10.51

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14. Comparative Dealing Net Assets - continued

Russell Investments Pan European Equity Fund

Class A Class B Class F Class I Class L Class PAMEU EUR ‘000 EUR ‘000 EUR ‘000 GBP ‘000 GBP ‘000 EUR ‘000 Total net asset value ...... 31 March 2021 ...... 1,831 63,778 27,330 748 - 301 31 March 2020 ...... 1,303 121,007 17,382 514 30 402 31 March 2019 ...... 2,064 282,321 23,513 652 129 686

Class A Class B Class F Class I Class L Class PAMEU EUR EUR EUR GBP GBP EUR Net asset value per share ...... 31 March 2021 ...... 1,528.09 1,726.10 2,228.31 31.54 - 21.78 31 March 2020 ...... 1,050.73 1,177.34 1,535.26 22.38 1,096.73 15.08 31 March 2019 ...... 1,287.99 1,434.38 1,885.72 26.52 1,311.32 18.61

Class R Roll-Up EUR ‘000 Total net asset value ...... 31 March 2021 ...... 47,244 31 March 2020 ...... 30,073 31 March 2019 ...... 39,030

Class R Roll-Up EUR Net asset value per share ...... 31 March 2021 ...... 176.07 31 March 2020 ...... 120.52 31 March 2019 ...... 147.22

Russell Investments U.S. Quant Fund

Class P Class B Class C Class I Income Class R1 Roll-Up USD ‘000 EUR ‘000 GBP ‘000 GBP ‘000 USD ‘000 Total net asset value ...... 31 March 2021 ...... 109,979 24,904 31,617 10,640 30,850 31 March 2020 ...... 83,312 11,122 30,161 8,226 16,047 31 March 2019 ...... 111,755 11,670 34,933 9,874 17,016

Class P Class B Class C Class I Income Class R1 Roll-Up USD EUR GBP GBP USD Net asset value per share ...... 31 March 2021 ...... 40.78 2,665.40 41.58 48.00 19.12 31 March 2020 ...... 26.01 1,832.39 29.45 34.23 12.22 31 March 2019 ...... 28.98 2,007.52 31.17 36.48 13.64

206 Notes to the Financial Statements Russell Investment Company II plc

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14. Comparative Dealing Net Assets - continued

Russell Investments World Equity Fund

Class B Class C Class D Class EH-T Class I Class J USD ‘000 EUR ‘000 GBP ‘000 EUR ‘000 GBP ‘000 USD ‘000 Total net asset value ...... 31 March 2021 ...... 983,005 1,586 96,086 54,428 66,779 832 31 March 2020 ...... 619,359 1,078 70,789 12,704 172,462 533 31 March 2019 ...... 541,750 1,048 77,496 38,122 197,631 613

Class B Class C Class D Class EH-T Class I Class J USD EUR GBP EUR GBP USD Net asset value per share ...... 31 March 2021 ...... 41.11 37.64 46.13 24.85 53.48 36.11 31 March 2020 ...... 26.15 25.89 32.68 16.41 37.95 23.19 31 March 2019 ...... 29.85 29.02 35.36 18.99 41.13 26.60

Class M Class M Sterling Class N Class P Class R Class SH-B EUR ‘000 GBP ‘000 USD ‘000 GBP ‘000 EUR ‘000 GBP ‘000 Total net asset value ...... 31 March 2021 ...... 94,908 69,804 814 9,965 230,816 861 31 March 2020 ...... 51,563 19,633 565 8,522 155,484 284,917 31 March 2019 ...... 18,577 - 780 9,626 171,816 277,802

Class M Class M Sterling Class N Class P Class R Class SH-B EUR GBP USD GBP EUR GBP Net asset value per share ...... 31 March 2021 ...... 1,770.01 11.95 261.84 14.07 262.36 273.94 31 March 2020 ...... 1,205.36 8.46 169.31 10.04 182.07 182.10 31 March 2019 ...... 1,339.85 - 195.56 10.95 206.01 211.80

Class USD-H Class TYA Class TYC Income JPY ‘000 JPY ‘000 USD ‘000 Total net asset value ...... 31 March 2021 ...... 3,831,714 2,527,039 260,387 31 March 2020 ...... 2,382,096 6,201,289 205,914 31 March 2019 ...... 2,791,130 7,235,993 159,973

Class USD-H Class TYA Class TYC Income JPY JPY USD Net asset value per share ...... 31 March 2021 ...... 2,862 3,534 1,806.89 31 March 2020 ...... 1,779 2,195 1,180.92 31 March 2019 ...... 2,073 2,555 1,335.00

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14. Comparative Dealing Net Assets - continued

Russell Investments China Equity Fund

Class A Class D USD ‘000 EUR ‘000 Total net asset value ...... 31 March 2021 ...... 81,675 11,848 31 March 2020 ...... 51,281 501 31 March 2019 ...... 49,616 158

Class A Class D USD EUR Net asset value per share ...... 31 March 2021 ...... 2,953.41 1,388.95 31 March 2020 ...... 1,858.07 939.94 31 March 2019 ...... 1,887.07 943.26

15. Segregated Liability

Each Fund will be responsible for paying its fees and expenses regardless of the level of its profitability. The Company has availed of the segregated liability provisions of the Companies Act. The adoption of segregated liability ensures that liability incurred on behalf of a Fund will generally be discharged solely out of the assets of that Fund and there can generally be no recourse to other Funds to satisfy these liabilities. Notwithstanding the foregoing there can be no guarantee that should an action be brought against the Company in the court of another jurisdiction that the segregated nature of the Funds would necessarily be upheld.

16. Significant Events During the Year

Russell Investments Emerging Markets Extended Opportunities Fund ceased trading on 22 March 2021.

On 11 March 2020, the Director-General of theWorld Health Organisation announced that it had assessed the worldwide outbreak of COVID-19 as a pandemic. This event continues to create market volatility across global financial markets. Given the successful suppression efforts and increased health care capacity within several countries and regions, government officials are beginning to outline plans for a gradual reopening of local economies.

The Securities Valuation Committee (SVC) approved on 23 March 2020 a revised process for calculating swing prices for the EMEA’s fixed income funds in response to the recent spike in market volatility and reduced liquidity in fixed income sectors. The revised process aims to protect all unitholders from the costs of trading under reduced liquidity. Swing prices will be calculated, and reviewed by the SVC, on a weekly basis to best reflect and compensate the cost of trading.

The boards of the collective investment schemes which the Manager, Russell Investments Ireland Limited, provides fund management services to have approved a change of management company on 29 March 2021. As a result, it is expected that the Manager will cease providing fund management services to these collective investment schemes in the foreseeable future.

There were no other significant events affecting the Company during the financial year end 31 March 2021, however the following prospectus and memorandum and articles of association of the Company (the M&A) updates were made.

Prospectus dated 27 May 2020 incorporated the following changes: i) To reflect the termination of Russell Defensive Global Equity Fund and Russell Investments US Equity Plus Fund;

208 Notes to the Financial Statements Russell Investment Company II plc

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16. Significant Events During the Year - continued

ii) To incorporate reference to the respective reference benchmarks for each of the Funds, the intention being to ensure consistency with the KIIDs per the requirements of the revised ESMA UCITS Q&A; iii) To reflect that absolute VaR will be used as the risk measurement tool for Russell Investments Global Bond (Euro Hedged) Fund; iv) To reflect an update to the investment policy for the Russell Investments China Equity Fund, namely, to note that in order to achieve its investment objective of investing in companies established or operating in the P.R.C., the Fund will invest in Chinese companies listed worldwide; v) To correct the dealing deadline for the Company; vi) To reflect the appointment of Mr.William Pearce to the Board of the Company; and vii) To extend the initial offer period for unlaunched share classes.

The prospectus noted on 12 June 2020 incorporated amendments made to the Funds’ investment policies.

The Adviser has confirmed that the amendments made to the Funds’ investment policies in the prospectus dated 12 June 2020 were only for additional disclosure in relation to indexes to comply with ESMA guidance. The amendments have not changed the way in which the Funds are managed. Please see the prospectus for further details in relation to how indices are used.

Changes to the M&A were tabled and approved by shareholders at the annual general meeting of the Company held on 2 October 2020. These changes comprised: i) Update to the M&A in relation to the residency of the members of any committees that the Directors may delegate any of their powers to; and ii) Addition of wording to provide flexibility to the Directors to execute agreements on behalf of the Company by electronic signature.

Notes to the Financial Statements 209 Russell Investment Company II plc

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31 March 2021

16. Significant Events During the Year - continued

Prospectus dated 1 February 2021 incorporated the following changes: i) Updates as per the requirements of Regulation (EU) 2019/2088 on sustainability-related disclosures in the financial services (SFDR) to include (i) classification of each sub-fund, (ii) relevant risk factors, and (iii) section titled The Manager’s Sustainability Risks Policy.

17. Significant Events Since the Financial Year End

There were no other significant events since the financial year end 31 March 2021.

18. Approval of the Financial Statements

The financial statements were approved by the Directors on 8 July 2021.

210 Notes to the Financial Statements Russell Investment Company II plc

Appendix I - Remuneration (unaudited)

For the financial year ended 31 March 2021

Remuneration of the Company’s Directors Regulation 89(3A) of the UCITS Regulations (as introduced pursuant to the UCITS V Regulations on 21 March 2016) requires that the annual report of the Company contains certain disclosures on remuneration paid by the Manager to its staff during the financial year and details of any material changes to the Manager’s remuneration policy made during the period, and this requirement applied since 18 March 2016. In this regard, the following points are to be noted:

− The Manager has prepared a remuneration policy outlining how it adheres to the remuneration requirements set out in the UCITS Regulations. − The Company has a Board of Directors, five of whom are employees of Russell Investments and receive no remuneration from the Company. The remaining four Directors, each of whom is independent, receive a fixed fee only (total for the year ended 31 March 2021: EUR 52,262) and do not receive variable remuneration. These fees are set at a level that reflects the qualifications and contribution required taking into account the Company’s size, internal organisation and the nature, scope and complexity of its activities.

Appendix II 211 Russell Investment Company II plc

Appendix II - ESMA guidance disclosures regarding benchmarks (unaudited)

31 March 2021

Details of the indexes used by the Investment Managers, Investment Advisers and Money Managers appointed for the Funds are set out below:

Fund Name Manager Name Benchmark Name Return Type Currency Russell Investments Emerging Barings LLC J.P. Morgan GBI-EM Global Total Return USD Market Debt Local Currency Fund Diversified Russell Investments Emerging Colchester Global Investors J.P. Morgan GBI-EM Global Total Return USD Market Debt Local Currency Fund Limited Diversified Russell Investments Emerging GLG LLC J.P. Morgan GBI-EM Global Total Return USD Market Debt Local Currency Fund Diversified Russell Investments Euro Fixed FIL Pensions Management FTSE EuroBIG Index Total Return EUR Income Fund Russell Investments Euro Fixed Russell Investment Management, LIBOR 1 Month EUR Rate Total Return EUR Income Fund LLC Russell Investments Euro Fixed Western Asset Management FTSE EuroBIG Index Total Return EUR Income Fund Company Limited Russell Investments Global Bond BlueBay Asset Management LLP Bloomberg Barclays Global Total Return Hdg EUR100 (Euro Hedged) Fund Aggregate Russell Investments Global Bond BlueBay Asset Management LLP Bloomberg Barclays Global Agg Total Return Hdg EUR100 (Euro Hedged) Fund Government Russell Investments Global Bond Russell Investments Limited LIBOR 3 Month USD Rate - Net Net Return USD (Euro Hedged) Fund Return USD Russell Investments Global Bond Russell Investments Limited Bloomberg Barclays Global Total Return USD (Euro Hedged) Fund Aggregate Russell Investments Global Bond Russell Investments Limited Bloomberg Barclays Global Agg Total Return Hdg EUR100 (Euro Hedged) Fund Government Russell Investments Global Bond Russell Investment Management, Bloomberg Barclays Global Total Return Hdg EUR100 (Euro Hedged) Fund LLC Aggregate - Credit Russell Investments Global Bond Russell Investments Limited Bloomberg Barclays Global Total Return Hdg USD 100 (Euro Hedged) Fund Aggregate Russell Investments Global Bond Schroder Investment Management EUR LIBOR - 3 Month Total Return EUR (Euro Hedged) Fund North America Inc. Russell Investments Global Bond Schroder Investment Management Bloomberg Barclays Global Total Return Hdg EUR100 (Euro Hedged) Fund North America Inc. Aggregate Russell Investments Global Bond Western Asset Management Bloomberg Barclays Global Total Return Hdg EUR100 (Euro Hedged) Fund Company Limited Aggregate - Credit Russell Investments Pan European INVESCO Asset Mgmt Limited MSCI Europe Index Net Return EUR Equity Fund Russell Investments Pan European Joh. Berenberg, Gossler & Co. MSCI Europe Index Net Return EUR Equity Fund KG Russell Investments Pan European Liontrust Inv Partners LLP MSCI Europe Index Net Return EUR Equity Fund Russell Investments Pan European Numeric Investors, LLC MSCI Europe Index Net Return EUR Equity Fund Russell Investments Pan European Pzena Investment Management, MSCI Europe Index Net Return EUR Equity Fund LLC Russell Investments Pan European Russell Investments Limited MSCI Europe Index Net Return EUR Equity Fund Russell Investments Pan European Russell Investments Limited MSCI Europe Index Net Return USD Equity Fund Russell Investments US Quant Jacobs Levy Equity Russell 1000 Index Net of withholding USD Fund Management Inc. tax (30%). Russell Investments US Quant Numeric Investors, LLC Russell 1000 Index Net of withholding USD Fund tax (30%). Russell Investments US Quant Russell Investment Management, Russell 1000 Index Net of withholding USD Fund LLC tax (30%). Russell Investments World Equity Coupland Cardiff Asset TOPIX Net Return USD Fund Management LLP Russell Investments World Equity Fiera Capital Corp MSCI World Index Net Return USD Fund

212 Appendix III Russell Investment Company II plc

Appendix II - ESMA guidance disclosures regarding benchmarks (unaudited) - (continued)

31 March 2021

Fund Name Manager Name Benchmark Name Return Type Currency Russell Investments World Equity INVESCO Asset Management MSCI Europe ex UK Index Net Return USD Fund Limited Russell Investments World Equity J O Hambro Capital Management FTSE All Share Total Return GBP Fund Limited Russell Investments World Equity Nissay Asset Management Corp TOPIX Net Return USD Fund Russell Investments World Equity Numeric Investors, LLC MSCI World Index Net Return USD Fund Russell Investments World Equity Russell Investments Limited MSCI World Index Net Return USD Fund Russell Investments World Equity Sanders Capital, LLC MSCI ACWI Index Net Return USD Fund Russell Investments World Equity Wellington Management MSCI ACWI Growth Index Net Return USD Fund International Limited Russell Investments China Equity Bank of Communications MSCI China A Shares Net Return CNH Fund Schroders Fund Maangement Co., Ltd. Russell Investments China Equity Bin Yuan Capital Ltd MSCI ALL CHINA Index Net Return USD Fund Russell Investments China Equity Keywise Capital Management MSCI CHINA INDEX Net Return USD Fund (HK) Limited Russell Investments China Equity Russell Investments Limited MSCI ALL CHINA Index Net Return USD Fund

Appendix III 213 Russell Investments Rex House tel +44 (0) 20 7024 6000 10 Regent Street, St James’s fax +44 (0) 20 7024 6001 London, SW1Y 4PE www.russellinvestments.com