BAILLIE GIFFORD

Baillie Gifford Bond Funds ICVC

Annual Report and Financial Statements for the year ended 30 September 2020 Baillie Gifford Bond Funds ICVC September 2020

Contents About the Company* 1 Statement of Authorised Corporate Directors’ Responsibilities 4 Statement of Depositary’s Responsibilities and Report to Shareholders 5 Independent Auditor’s Report to the Shareholders of Baillie Gifford Bond Funds ICVC 6 Accounting Policies 8 Risk Disclosures 10 Remuneration Report 12 Baillie Gifford Emerging Markets Bond Fund* 15 Baillie Gifford High Yield Bond Fund* 53 Baillie Gifford Investment Grade Bond Fund* 85 Baillie Gifford Investment Grade Long Bond Fund* 119 Baillie Gifford Strategic Bond Fund* 153 General Information 195 The Group’s Funds 200

*Collectively these comprise the Authorised Corporate Director’s Report as required by the Financial Conduct Authority’s Collective Investment Schemes Sourcebook (“COLL”). Baillie Gifford Bond Funds ICVC September 2020

About the Company

Baillie Gifford Bond Funds ICVC (Investment Company rates, comparable services and classes of shares. The with Variable Capital) (‘the Company’) is an umbrella ACD will issue the statement of value in a separate UK Open-Ended Investment Company (‘OEIC’) under composite report, performing the assessment across their regulation 14 (Authorisation) of the Open-Ended full range of UK authorised sub-funds. The ACD has Investment Companies Regulations 2001. An OEIC is a chosen a reference date of 31 March and will publish a collective investment vehicle in which your funds are composite report by 31 July each year which will be pooled with those of other investors and spread across a available on their website at www.bailliegifford.com. portfolio of investments, thus reducing risk. The first composite report was made available on 31 July 2020. At 30 September 2020 the Company offered five sub-funds and the range may be varied in the future. Each sub-fund is valued on a daily basis. The sub-funds Sub-fund Cross-holdings Table are subject to different charging structures and subscription limits. All shares are single priced. Details At 30 September 2020 none of the shares in the of the sub-funds and the share classes are contained in sub-funds were held by any other sub-funds of the the Prospectus, along with details of the switching Company. facility available between sub-funds. The Prospectus was last revised on 1 October 2020 and the Instrument of Incorporation was last revised on 31 July 2020. Copies of Termination of Baillie Gifford Active Gilt Investment the Prospectus or Instrument of Incorporation can be Fund, Baillie Gifford Active Index-Linked Gilt obtained from Baillie Gifford & Co Limited, the Investment Fund and Baillie Gifford Active Long Gilt Authorised Corporate Director (‘ACD’) by contacting Investment Fund Client Relations. The Company is registered in Great Britain, registered After carrying out a review of the future prospects for the number IC 402, and the address of its Head Office is Baillie Gifford Active Gilt Investment Fund, Baillie Calton Square, 1 Greenside Row, Edinburgh EH1 3AN. Gifford Active Index-Linked Gilt Investment Fund and The operation of the Company is governed by the Baillie Gifford Active Long Gilt Investment Fund the Financial Conduct Authority’s Collective Investment ACD took the decision to terminate the Funds. Schemes Sourcebook (‘COLL’) (the ‘Regulations’), its Termination commenced on 31 March 2020 at which Instrument of Incorporation and its Prospectus. point all remaining shares in the Funds were redeemed The Company’s shareholders are not liable for its and new subscriptions ceased. debts beyond the amount subscribed. Each sub-fund is classed as a UCITS retail scheme under COLL. Changes to the distribution policy of all the Funds Any comments expressed in this report should not be taken as a recommendation or advice With effect from 1 October 2019, for distribution purposes all permitted expenses of all the Funds are allocated to capital. This change increases the income Assessment of value for the Funds available to be distributed compared to that available if expenses were allocated to income. However, allocating Under COLL 6.6.20R (1), Baillie Gifford & Co Limited, all permitted expenses to capital will constrain capital the ACD of the Company, must conduct an assessment at growth or result in capital erosion of the Funds. least annually for each UK authorised sub-fund it manages, of whether the payments out of the sub-funds set out in the prospectus are justified in the context of the overall value delivered to shareholders. This assessment of value must, as a minimum, consider seven criteria, namely: quality of service, performance, authorised fund manager costs, economies of scale, comparable market

1 Baillie Gifford Bond Funds ICVC September 2020

Removal of the 10% deposit limit restriction

On 31 July 2020, as part of our ongoing OEIC improvement programme, we removed the 10% limit of deposits restriction, which no longer serves any useful function, from our OEIC fund literature.

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About the Company cont.

Authorised Corporate Director Depositary Baillie Gifford & Co Limited NatWest Trustee and Depositary Services Limited (Authorised & regulated by the Financial Conduct (Authorised by the Prudential Regulation Authority and Authority, Financial Services Register No. 119179) regulated by the Financial Conduct Authority and the Calton Square, Prudential Regulation Authority, Financial Services 1 Greenside Row, Register No. 794152) Edinburgh EH1 3AN Trustee & Depositary Services, Telephone: 0800 917 2113 House A, Floor 0 Fax: 0131 275 3955 Gogarburn 175 Glasgow Road Directors of the ACD Edinburgh EH12 1HQ Executive M J C Wylie (Chairman) Registrar E Delaney Baillie Gifford & Co Limited C M Fraser (Authorised & regulated by the Financial Conduct LBSHaddow (appointed 8 September 2020) Authority, Financial Services Register No. 119179) D S McGowan Calton Square, A J Telfer 1 Greenside Row, Independent Non-Executive Edinburgh EH1 3AN D R Buckley K B M Bolsover Independent Auditors PricewaterhouseCoopers LLP Investment Adviser Atria One, Baillie Gifford & Co 144 Morrison Street, (Authorised & regulated by the Financial Conduct Edinburgh EH3 8EX Authority, Financial Services Register No. 142597) Calton Square, 1 Greenside Row, Edinburgh EH1 3AN

Baillie Gifford & Co Limited, the Authorised Corporate Director of the OEIC, is wholly owned by Baillie Gifford & Co. We only provide information about our products and do not provide investment advice.

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Statement of Authorised Corporate Directors' Responsibilities

The Financial Conduct Authority’s Collective Investment Schemes Sourcebook (‘COLL’) requires the Authorised Corporate Director to prepare financial statements for each interim and annual accounting period which give a true and fair view of the financial position of the Company and of its revenue and expenditure and of its net gains and losses on the property of the Company for the year. In preparing the financial statements the Authorised Corporate Director is required to: — select suitable accounting policies and then apply them consistently; — make judgements and estimates that are reasonable and prudent; — comply with the disclosure requirements of the Statement of Recommended Practice relating to the Financial Statements of UK Authorised Funds issued in 2014; — follow generally accepted accounting principles and applicable accounting standards, including FRS 102 The Financial Reporting Standard applicable in the UK and the Republic of Ireland; — keep proper accounting records which enable it to demonstrate that the financial statements as prepared comply with the above requirements; — prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in operation; and — take reasonable steps for the prevention and detection of fraud and irregularities. The Authorised Corporate Director is responsible for the management of the Company in accordance with the Instrument of Incorporation, the Prospectus and the Regulations. The Annual Report and Financial Statements were approved by the Authorised Corporate Director and signed on its behalf by:

M J C Wylie, Chairman C M Fraser, Director Baillie Gifford & Co Limited 30 November 2020 4 Baillie Gifford Bond Funds ICVC September 2020

Statement of Depositary’s Responsibilities and Report of the Depositary to the Shareholders of Baillie Gifford Bond Funds ICVC (‘The Company’) for the Year Ended 30 September 2020

The Depositary must ensure that the Company is information available to us and the explanations managed in accordance with the Financial Conduct provided, that in all material respects the Company, Authority’s Collective Investment Schemes Sourcebook, acting through the AFM: the Open-Ended Investment Companies Regulations (i) has carried out the issue, sale, redemption and 2001 (SI 2001/1228) (the OEIC Regulations), as cancellation, and calculation of the price of the amended, the Financial Services and Markets Act 2000, Company’s shares and the application of the as amended, (together ‘the Regulations’), the Company’s Company’s income in accordance with the Instrument of Incorporation and Prospectus (together ‘the Regulations and the Scheme documents of the Scheme documents’) as detailed below. Company, and The Depositary must in the context of its role act (ii) has observed the investment and borrowing powers honestly, fairly, professionally, independently and in the and restrictions applicable to the Company. interests of the Company and its investors. The Depositary is responsible for the safekeeping of all custodial assets and maintaining a record of all other assets of the Company in accordance with the Regulations. The Depositary must ensure that: — the Company’s cash flows are properly monitored and that cash of the Company is booked into the cash accounts in accordance with the Regulations; — the sale, issue, redemption and cancellation of shares are carried out in accordance with the Regulations; — the value of the shares of the Company are calculated in accordance with the Regulations; — any consideration relating to transactions in the Company’s assets is remitted to the Company within the usual time limits; — the Company’s income is applied in accordance with the Regulations and; — the instructions of the Authorised Fund Manager (‘the AFM’) are carried out (unless they conflict with the Regulations). The Depositary also has a duty to take reasonable care to ensure that the Company is managed in accordance with the Regulations and the Scheme documents in relation to the investment and borrowing powers applicable to the Company. NatWest Trustee and Depositary Services Limited Having carried out such procedures as we consider Trustee & Depositary Services necessary to discharge our responsibilities as Depositary Edinburgh of the Company, it is our opinion, based on the 1 October 2020 5 Baillie Gifford Bond Funds ICVC September 2020

Independent Auditors’ Report to the Shareholders of Baillie Gifford Bond Funds ICVC

Report on the audit of the financial statements Independence We remained independent of the Company in accordance Opinion with the ethical requirements that are relevant to our In our opinion, Baillie Gifford Bond Funds ICVC’s audit of the financial statements in the UK, which financial statements: includes the FRC’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance — give a true and fair view of the financial position of with these requirements. the Company and each of the sub-funds as at 30 September 2020 and of the net revenue and the net Conclusions relating to going concern capital gains/losses on the scheme property of the Company and each of the sub-funds for the year then We have nothing to report in respect of the following ended; and matters in relation to which ISAs (UK) require us to — have been properly prepared in accordance with report to you where: United Kingdom Generally Accepted Accounting — the Authorised Corporate Directors’ use of the going Practice (United Kingdom Accounting Standards, concern basis of accounting in the preparation of the comprising FRS 102 “The Financial Reporting financial statements is not appropriate; or Standard applicable in the UK and Republic of — the Authorised Corporate Director has not disclosed in Ireland”, and applicable law), the Statement of the financial statements any identified material Recommended Practice for UK Authorised Funds, the uncertainties that may cast significant doubt about the Collective Investment Schemes sourcebook and the Company’s or any of the sub-funds’ ability to Instrument of Incorporation. continue to adopt the going concern basis of Baillie Gifford Bond Funds ICVC is an Open Ended accounting for a period of at least twelve months from Investment Company (‘OEIC’) with five sub-funds. The the date when the financial statements are authorised financial statements of the Company comprise the for issue. financial statements of each of the sub-funds. We have However, because not all future events or conditions can audited the financial statements, included within the be predicted, this statement is not a guarantee as to the Annual Report and Financial Statements (the “Annual Company’s and each of the sub-funds’ ability to continue Report”) which comprise: the balance sheets as at as a going concern. 30 September 2020; the statements of total return and the statement of change in net assets attributable to shareholders for the year then ended; the distribution Reporting on other information tables; the accounting policies; and notes to the financial The other information comprises all of the information in statements. the Annual Report other than the financial statements and our auditors’ report thereon. The Authorised Corporate Basis for opinion Director is responsible for the other information. Our opinion on the financial statements does not cover the We conducted our audit in accordance with International other information and, accordingly, we do not express an Standards on Auditing (UK) (“ISAs (UK)”) and audit opinion or, except to the extent otherwise explicitly applicable law. Our responsibilities under ISAs (UK) are stated in this report, any form of assurance thereon. further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We In connection with our audit of the financial statements, believe that the audit evidence we have obtained is our responsibility is to read the other information and, in sufficient and appropriate to provide a basis for our doing so, consider whether the other information is opinion. materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an

6 Baillie Gifford Bond Funds ICVC September 2020

apparent material inconsistency or material misstatement, individually or in the aggregate, they could reasonably be we are required to perform procedures to conclude expected to influence the economic decisions of users whether there is a material misstatement of the financial taken on the basis of these financial statements. statements or a material misstatement of the other A further description of our responsibilities for the audit information. If, based on the work we have performed, of the financial statements is located on the Financial we conclude that there is a material misstatement of this Reporting Council’s website at: www.frc.org.uk/ other information, we are required to report that fact. We auditorsresponsibilities. This description forms part of have nothing to report based on these responsibilities. our auditors’ report. Authorised Corporate Director’s Report Use of this report In our opinion, the information given in the Authorised This report, including the opinions, has been prepared for Corporate Director’s Report for the financial year for and only for the Company’s shareholders as a body in which the financial statements are prepared is consistent accordance with paragraph 4.5.12 of the Collective with the financial statements. Investment Schemes sourcebook as required by paragraph 67(2) of the Open-Ended Investment Responsibilities for the financial statements and the Companies Regulations 2001 and for no other purpose. audit We do not, in giving these opinions, accept or assume Responsibilities of the Authorised Corporate Director for responsibility for any other purpose or to any other the financial statements person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior As explained more fully in the Statement of Authorised consent in writing. Corporate Director’s Responsibilities set out on page 4, the Authorised Corporate Director is responsible for the preparation of the financial statements in accordance Other required reporting with the applicable framework and for being satisfied that they give a true and fair view. The Authorised Opinion on matter required by the Collective Corporate Director is also responsible for such internal Investment Schemes sourcebook control as they determine is necessary to enable the preparation of financial statements that are free from In our opinion, we have obtained all the information and material misstatement, whether due to fraud or error. explanations we consider necessary for the purposes of the audit. In preparing the financial statements, the Authorised Corporate Director is responsible for assessing the Collective Investment Schemes sourcebook exception Company’s and each of the sub-funds’ ability to continue reporting as a going concern, disclosing as applicable, matters related to going concern and using the going concern Under the Collective Investment Schemes sourcebook we basis of accounting unless the Authorised Corporate are also required to report to you if, in our opinion: Director either intends to wind up or terminate the — proper accounting records have not been kept; or Company or individual sub-fund, or has no realistic — the financial statements are not in agreement with the alternative but to do so. accounting records and returns.

Auditors’ responsibilities for the audit of the financial We have no exceptions to report arising from this statements responsibility. 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 PricewaterhouseCoopers LLP with ISAs (UK) will always detect a material Chartered Accountants and Statutory Auditors misstatement when it exists. Misstatements can arise Edinburgh from fraud or error and are considered material if, 30 November 2020 7 Baillie Gifford Bond Funds ICVC September 2020

Accounting Policies

(1) Basis of accounting The financial statements have been prepared under the historical cost basis, as modified by the revaluation of investments and in accordance with UK Generally Accepted Accounting Principles, the Instrument of Incorporation, the Statement of Recommended Practice (‘SORP’) relating to the Financial Statements of UK Authorised Funds issued in 2014 and the Financial Conduct Authority’s Collective Investment Schemes Sourcebook (‘COLL’). Unless otherwise stated accounting policies within these financial statements are consistent with prior year policies. The financial statements have been prepared on a going concern basis. FRS 102 requires the Company to disclose, for the financial instruments held, the level within the fair value hierarchy that the fair value measurement of those instruments should be categorised. The fair value hierarchy is as follows: - Level 1: The unadjusted quoted price in an active market for an identical instrument. - Level 2: Valuation techniques using observable inputs other than quoted prices included within Level 1. - Level 3: Valuation techniques using unobservable inputs.

(2) Recognition of income Debt Securities: Income on debt securities is recognised on an effective interest basis by reference to the purchase price. Swap Agreements: Income payable or receivable on swap agreements is accrued on a daily basis. Deposits and Other Income: Interest on deposits is accounted for on an accruals basis. Underwriting commission is recognised when the issue takes place. Other income is accounted for on either an accruals or a receipts basis depending on the circumstances of each particular case.

(3) Treatment of management expenses From 1 October 2019, for the purpose of calculating the distribution, all expenses are allocated to capital. Prior to this, all permitted expenses other than those relating to the purchase and sale of investments and custodian transaction costs, were allocated to revenue.

(4) Allocation of revenue and expenses to share classes Revenue is allocated when earned in the proportion of the net asset value of each share class to the total net asset value of the relevant sub-fund. Expenses incurred solely in respect of a share class are allocated directly to that class. Expenses incurred in respect of, or attributable to, the relevant sub-fund as a whole are allocated when incurred in the proportion of the net asset value of each share class to the total net asset value of the relevant sub-fund.

(5) Distribution policies Baillie Gifford Strategic Bond Fund distributes monthly and pays interest distributions. All the other sub-funds distribute quarterly and pay interest distributions. All sub-funds pay distributions out of income.

(6) Taxation Corporation tax is charged at 20% of the revenue liable to corporation tax less allowable expenses and, where applicable, interest distributions made. All sub-funds satisfied the qualifying investments test of Statutory Instrument 2006/964 Authorised Investment Funds (Tax) Regulations 2006 Regulation 19 throughout the year. All distributions are therefore made as interest distributions. Deferred taxation is recognised in respect of all timing differences that have originated but not reversed at the balance sheet date where transactions or events have occurred at that date that will result in an obligation to pay less or receive more tax. Deferred tax assets are recognised only to the extent that the ACD considers that it is more likely than not that there will be taxable profits from which the underlying timing differences can be deducted. Deferred tax assets are not discounted.

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Accounting Policies cont.

(7) Basis of valuation of investments The investments of the sub-funds have been valued at the closing bid prices on 30 September 2020, or the Investment Adviser’s valuation where indicated. Investments are valued using the fair value hierarchy, referenced in accounting policy 1.

(8) Foreign exchange All foreign securities and currencies held at the year end have been translated into sterling at the rate of exchange ruling at 30 September 2020. Transactions during the year have been translated at the exchange rate ruling on the transaction date.

(9) Financial Derivative Instruments Currency Contracts: Spot and forward currency contracts are marked to market daily and the change in value, if any, is recorded by the sub-fund as an unrealised gain or loss. Realised gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are recorded upon delivery or receipt of the currency or, if a spot or forward currency contract is offset by entering into another spot or forward currency contract with the same broker, upon settlement of the net gain or loss. Futures Contracts: Futures contracts are marked to market daily and an appropriate gain or loss for the change in value (‘variation margin’) is recorded by the sub-fund as realised. Swap Agreements: Swaps are marked to market daily based upon quotations from market makers and the change in value, if any, is recorded by the sub-fund as unrealised gain or loss. A liquidation payment received or made at the termination of all or part of the swap is used to calculate the realised gain or loss. Costs relating to the clearing of swaps are included as part of realised gains or losses.

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Risk Disclosures

General Risk Management Process

The Company’s overall risk management process is the responsibility of the ACD. Risks which are specific to the sub-funds are managed by the ACD in accordance with the Risk Management Policy, with oversight by the Depositary. The ACD has established a risk management framework, including a permanent risk management function, to monitor the risks in relation to the sub-funds. Where appropriate, the risk management function builds on the existing parts of the risk management framework of the Investment Adviser to make use of expertise and advice, and avoid unnecessary duplication. The risk profile of each of the sub-funds is considered by the ACD to determine the nature and extent of risk management procedures and assess the appropriateness of disclosures made to investors. The ACD then considers the material risks facing the sub-funds via the receipt of quarterly reports from the risk management function.

Sub-Fund Risk Profile

The risk profile of a sub-fund is determined using a number of factors including market risk (comprising foreign currency risk, interest rate risk and other price risk), counterparty credit risk, liquidity risk and operational risk. As described above, the ACD operates a risk management framework to oversee the risks that the sub-funds are exposed to and assess the sensitivity of a sub-fund’s portfolio to these risks. The approach to managing these risks is set out below with oversight and monitoring provided by the ACD’s risk management function.

Market Risk Market risk is the potential for changes in the market value of underlying investments in a sub-fund. This comprises foreign currency risk, interest rate risk and other price risk. Asset allocation is determined by the Investment Adviser who ensures that the distribution of the sub-funds’ assets is appropriate in terms of the investment objectives. Divergence from the target asset allocation is strictly controlled and the portfolio closely monitored in terms of risk. A sub-fund may use derivatives for the purposes of hedging (which includes efficient portfolio management) and also for the purposes of meeting its investment objectives. The strategies used may include active currency management, bond curve strategies, interest rate strategies, asset allocation and market spread strategies; in addition, derivatives are used for the purposes of efficient portfolio management. The Investment Adviser makes use of these strategies as and when it considers it appropriate to do so. Derivative investments (which may be exchange-traded and/or off-exchange) are undertaken on a covered basis and the types of asset which underlie the derivative contract are appropriate in the context of each sub-fund’s investment objective and policy. The Investment Adviser’s use of derivatives is constrained to a level that this risk and exposure is within prescribed limits. The Investment Adviser anticipates that such use of derivatives will not have any adverse effect on the overall risk profile of any sub-fund. The market risk of each sub-fund’s financial asset and liability positions is monitored by the Investment Adviser using VaR analysis. VaR analysis attempts to reflect the interdependencies between risk variables, unlike a traditional sensitivity analysis. VaR represents the potential losses from adverse changes in market factors for a specified time period and confidence level. Disclosure on the VaR is contained in the Notes to the Financial Statements of each sub-fund.

Foreign currency risk The Investment Adviser has identified three principal areas where foreign currency risk could impact the sub-funds, being where movements in exchange rates affect the value of investments, short-term timing differences and the revenue received. A proportion of the net assets of all the sub-funds are denominated in currencies other than sterling, with the effect that the balance sheet and total return can be affected by currency movements. The balance sheet currency exposure is disclosed in the Notes to the Financial Statements of each sub-fund, where appropriate. The sub-funds may be subject to short-term exposure to exchange rate movements, for instance where the date of an investment purchase and the date when the settlement occurs are different. To reduce this risk the Investment Adviser will normally execute a foreign currency contract on the transaction date wherever practicable.

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Risk Disclosures cont.

The sub-funds may receive revenue in currencies other than sterling and hence movements in exchange rates can affect the sterling value of this revenue. To minimise this risk arrangements are in place to convert all revenue receipts to sterling on, or shortly after, the date of receipt.

Interest rate risk The sub-funds are subject to interest rate risk because bond yields are linked to underlying bank rates or equivalents. Disclosure on the interest rate risk profile is contained in the Notes to the Financial Statements of each sub-fund.

Other price risk Market price risk arises mainly from uncertainty about future prices of the financial instruments held. It represents the potential loss the sub-funds might suffer through holding market positions in the face of price movements.

Counterparty credit risk The Investment Adviser monitors both the creditworthiness of counterparties and the extent to which the counterparty risk is diversified. The organisations with whom derivative transactions are arranged are either top rated institutions themselves or subsidiaries of such institutions. The aim is to strike a balance between spreading counterparty risk amongst a number of institutions and keeping costs low by achieving economies of scale. Stock settlement is normally on a delivery versus payment (DVP) basis where the payment for stock is due at the time of delivery. Where stock settlement is not on a DVP basis, additional procedures are in place and approvals required to manage the settlement risks that may arise.

Liquidity risk Liquidity risk is the potential that there are insufficiently realisable assets to cater for investor redemptions. Liquidity is managed by the Investment Advisor by taking into account the investment strategy, liquidity profile, and redemption policy of each sub-fund. The level of liquidity maintained by each sub-fund is appropriate to its underlying obligations based on an assessment of the relative liquidity of the sub-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.

Operational risk Failure of Baillie Gifford’s accounting systems or those of other third party service providers could lead to an inability to provide accurate reporting and monitoring or a misappropriation of assets. Baillie Gifford & Co have a comprehensive business continuity plan which facilitates continued operation of the business in the event of a service disruption or major disaster. The ACD reviews Baillie Gifford & Co’s report on internal controls and the reports by other key third party providers.

Infectious virus risk Infectious viruses may pose significant threats to human health and may be highly disruptive to global economies and markets. The economic and market disruptions caused by infectious viruses could impact the value of the investments of a sub-fund and the distributions paid by a sub-fund to shareholders.

Fair values

The financial assets and liabilities of the sub-funds are included in the valuation at market value, or at the Investment Adviser’s valuation (as indicated in the portfolio statement of the sub-funds). These values have been determined by reference to prices available from the markets on which the instruments are traded.

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Remuneration Report

Baillie Gifford & Co (‘Baillie Gifford’) maintains a Remuneration Policy (the ‘Policy’) which applies to group companies, including Baillie Gifford & Co Limited (the ‘Company’), which is the group’s sole UCITS management company for the range of UCITS operated within the group. The Policy is subject to review on at least an annual basis by the Management Committee of Baillie Gifford and the Board of the Company. It was updated in May 2020, no material changes were made.

Application of the UCITS Remuneration Code The Company is required to identify individuals whose professional activities have a material impact on the risk profiles of the UCITS it manages (known as ‘Material Risk Takers’), and the UCITS Remuneration Code requirements and disclosures apply to those individuals. The list of Material Risk Takers compiled by the Company principally covers governance and control functions. The Company delegates portfolio management and certain administration roles to other entities, namely its parent Baillie Gifford and another affiliate Baillie Gifford Overseas Limited. These delegates are not required to comply with the UCITS Remuneration Code as they are subject to regulatory requirements on remuneration that are considered equally as effective as those applicable under the UCITS Remuneration Code.

General Principles of the UCITS Remuneration Code The Company endeavours to reward staff fairly and appropriately for their contribution towards the success of the business and the level of service and performance delivered to its clients. The Policy is designed to be consistent with and promote sound and effective risk management and should not encourage risk-taking which is inconsistent with the risk profiles of the UCITS it manages. It is designed to be in line with the Company’s strategy, objectives, values and long-term interests, its UCITS and investors in such UCITS. The Policy has been designed to avoid conflicts of interest and is subject to independent internal review by the Compliance and Business Risk functions. In order to achieve this, the remuneration of staff is reviewed annually, taking into account individual performance and market practice for the role being undertaken.

Governance of Remuneration Baillie Gifford’s Remuneration Policy is overseen by the group’s Remuneration Committee. The Remuneration Committee in turn reports to the management body of Baillie Gifford, the Management Committee. The Board of the Company also oversees adherence to the UCITS Remuneration Code.

Salary/Bonus Review Process In terms of the Baillie Gifford group salary review process, the level of salary awarded is influenced by individual performance, the profitability and performance of the firm and the movement in salary levels for the relevant job match within independent survey data utilised by Baillie Gifford. This information is collated and analysed by the Human Resources Department, who submit recommendations on salary awards for each individual member of staff to the Remuneration Committee. The Remuneration Committee may adjust salary awards according to the information provided which will include input from the Compliance, Business Risk and Internal Audit functions on any relevant risk and compliance concerns. The Management Committee then finalises and authorises the annual salary awards for all staff, and specifically the remuneration of senior officers in the risk management (Business Risk) and Compliance functions. In terms of variable remuneration, there are currently three separate bonus schemes in operation within the group for specific business areas and within each scheme there are four levels of maximum potential bonus. Maximum levels have been established for each scheme and the levels of maximum potential bonus will vary according to the group’s profitability. Within these maximum limits, performance for determining the actual levels of bonus awarded is measured at both an individual and a team level. The Policy is also designed to ensure that fixed and variable components of total remuneration are appropriately balanced. The amounts available for variable remuneration are subject to an overall risk adjustment and individual awards can be adjusted via the annual appraisal process with input from the Business Risk and Compliance functions. Ratings for individual performance are determined, following discussion with the individual, as part of the firm’s annual appraisal process which considers both the completion of annual objectives and the level of competence an individual has demonstrated in the role, including integrity. The methods used to determine team performance vary according to the business area that the scheme covers.

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Remuneration Report cont.

Baillie Gifford defers a proportion of variable pay for all bonus scheme participants including Material Risk Takers. The proportions deferred vary between 20% and 40% of variable remuneration depending upon scheme level. The deferral period is for three years and vests on a pro-rata basis with a retention period of six months thereafter. The proportion of variable remuneration which is deferred will be held in shares in a selection of Baillie Gifford collective investment schemes (and for a small number of individuals an element of the cash bonus will also be paid in shares). Deferred amounts of variable remuneration are also subject to malus provisions where Baillie Gifford has the ability to reduce or withdraw the value of unvested awards prior to vesting in exceptional circumstances. Further information with respect to the Policy is available at www.bailliegifford.com.

Headcount Total Remuneration¹ £’000 Baillie Gifford & Co Limited Fixed remuneration 46 1,580 Variable remuneration 46 690 Baillie Gifford & Co Limited Remuneration Code Staff² Total remuneration 25 2,160 This remuneration disclosure has been provided at the level of Baillie Gifford & Co Limited as authorised fund manager of UCITS, as at 31 March 2020. Remuneration information at an individual AIF or UCITS level is not readily available. 1The total remuneration is the proportion of overall remuneration for Staff as it relates to the time spent on UCITS related activity for Baillie Gifford & Co Limited. 2All Material Risk Takers are senior managers or staff engaged in control functions of Baillie Gifford & Co Limited and therefore a breakdown of remuneration between senior management and other risk takers is not applicable.

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14 BAILLIE GIFFORD

Baillie Gifford Emerging Markets Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Annual Report and Financial Statements for the year ended 30 September 2020

15 Baillie Gifford Emerging Markets Bond Fund September 2020

Baillie Gifford Emerging Markets Bond Fund

Investment Objective The indicator does not take into account the following relevant material risks: The Fund aims to outperform (after deduction of costs) Investment markets can go down as well as up and the J.P. Morgan GBI-EM Global Diversified Index market conditions can change rapidly. The value of an unhedged in sterling by 0.6% per annum over rolling investment in the Fund, and any income from it, can fall three-year periods. as well as rise and you may not get back the amount invested. Investment Policy The Fund has exposure to foreign currencies and changes in the rates of exchange will cause the value of The Fund will invest at least 80% in bonds issued by any investment, and income from it, to fall as well as rise emerging market issuers or in emerging market and you may not get back the amount invested. currencies. Emerging markets will be determined by the Custody of assets, particularly in emerging markets, investment manager at its discretion. The Fund may also involves a risk of loss if the custodian becomes insolvent invest in other bonds including developed market bonds. or breaches duties of care. Currency forwards and derivatives, which are types of financial contracts, are used for both investment purposes Bonds issued by companies and governments may be and in the management of risk. The Fund will be exposed adversely affected by changes in interest rates, to foreign currencies. The Fund will be actively managed expectations of inflation and a decline in the and is not constrained by the index. creditworthiness of the bond issuer. The issuers of bonds in which the Fund invests, particularly in emerging markets, may not be able to pay the bond income as Risk and Reward Profile promised or could fail to repay the capital amount. The Fund invests in emerging markets where The Risk and Reward Indicator table demonstrates where difficulties in trading could arise, resulting in a negative the Fund ranks in terms of its potential risk and reward. impact on the value of your investment. The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past Derivatives may be used to obtain, increase or reduce data, may change over time and may not be a reliable exposure to assets and may result in the Fund being indication of the future risk profile of the Fund. The leveraged. This may result in greater movements (down shaded area in the table below shows the Fund’s ranking or up) in the price of shares in the Fund. It is not our on the Risk and Reward Indicator. intention that the use of derivatives will significantly alter the overall risk profile of the Fund. The process for the UK to exit the European Union introduces elements of political uncertainty and may have practical consequences for the Fund. Developments will be closely monitored. Please note that even the lowest risk class can lose you money and that extreme adverse market circumstances Infectious viruses may pose significant threats to can mean you suffer severe losses in all cases. human health and may be highly disruptive to global economies and markets. The economic and market The Fund is classified in the category above because it disruptions caused by infectious viruses could impact the invests in government bonds issued by emerging market value of the investments of the Fund and the distributions borrowers which generally provide higher rewards and paid by the Fund to shareholders. higher risks than other investments such as UK government bonds and cash.

16 Baillie Gifford Emerging Markets Bond Fund September 2020

Baillie Gifford Emerging Markets Bond Fund cont.

Further details of the risks associated with investing in the Fund can be found in the Prospectus which is available by contacting Client Relations or visiting our website.

Fees Allocated to Capital

With effect from 1 October 2019, for distribution purposes, all expenses of the Fund are allocated to capital. This will reduce the capital value of the Fund.

17 Baillie Gifford Emerging Markets Bond Fund September 2020

Investment Report

Past Performance The performance figures shown in this graph are for Class B Income Shares. Performance figures reflect the ACD’s annual fee of 0.4% (until 37.3 36.5 40 31.7 1 July 2018 the ACD’s annual fee on Class B Shares was 0.6%), but 30 exclude any initial charge paid. Please note these returns differ from 15.5 17.3 16.6 the returns quoted in the Investment Report, which are based on the 20 closing mid prices on the last business day. Performance figures for 10 5.0 4.5 3.9 the other share classes in issue can be obtained by contacting Client % 0 Relations. You should be aware that past performance is not a guide to future performance. -10 -4.2 -4.7 -5.9 -5.5 -6.1 -9.2 -20 30/09/2015 to 30/09/2016 to 30/09/2017 to 30/09/2018 to 30/09/2019 to 30/09/2016 30/09/2017 30/09/2018 30/09/2019 30/09/2020 Baillie Gifford Emerging Markets Bond Fund B Income Shares¹ JP Morgan GBI-EM Global Diversified Index unhedged in sterling + 0.6%² JP Morgan GBI-EM Global Diversified Index unhedged in sterling²

The investment objective of the Fund is to outperform the first half of the period stemmed from some the J.P. Morgan GBI-EM Global Diversified Index higher-yielding and less-liquid positions suffering from unhedged in sterling (the ‘Index’) and the Fund’s target dramatic price falls. Ukrainian bonds, for example, were (the ‘target return’) is Index + 0.6% per annum over the biggest detractor alongside positions exposed to the rolling three-year periods after fees. For the year to falling oil price, such as Russian rouble and Norwegian 30 September 2020, the return on B Income Shares was krone. Over the full 12-month period, Russian bonds -6.4%3 compared to the return on the Index of -6.1%2 have been among the top contributors with yields falling and the target return of-5.5%2. As we believe short-term substantially (in other words prices rising). Ukrainian performance measurements to be of limited relevance in bonds have recovered somewhat, but exposure to the assessing investment ability, we would urge investors to Ukrainian hryvnia has detracted from returns. Currency focus on longer timeframes. The annualised three-year positioning has contributed the most to return on B Income Shares was -1.0%3 compared to the underperformance with Indonesian rupiah, Mexican return on the Index of 1.4%2 and the target return of peso, and Norwegian krone among the biggest detractors. 2.0%2. Longer-term performance is also poor with the Fund Emerging market bonds were materially affected by lagging its Index and target return over three years, the outbreak of coronavirus (Covid-19) and its impact on largely due to poor returns in 2018. Among the detractors economic growth, particularly towards the end of quarter was a position in Argentina, one of our highest one of 2020. Large swathes of monetary and fiscal conviction exposures at the time. A short-term debt support provided by developed market countries have crisis, which required a support package from the helped stimulate the global economy which has, in turn, International Monetary Fund, derailed the positive been supportive for emerging markets. Returns for reform story. More generally, we have been slow to react emerging market bonds have been positive in the second to the changing environment and sentiment towards half of the reporting period, although not enough to offset emerging markets which have been volatile in recent earlier losses. The Fund has also performed well relative years. We have worked hard to improve our approach to to its benchmark index in the past six months, but again it has lagged over the full 12 months. Underperformance in

1Source: FE, 10am dealing prices, income reinvested, after charges. 2Source: FE and relevant underlying index provider, total return. The target return outperformance is compound daily therefore the Index return plus the outperformance will not equal the target return. Please see Disclaimer on page 198. 3Source: Baillie Gifford & Co Limited, closing mid prices, income reinvested, after charges. You should be aware that past performance is not a guide to future performance. 18 Baillie Gifford Emerging Markets Bond Fund September 2020

Investment Report cont.

these challenges and believe some small changes to our process have made it more robust. We are confident the portfolio is well positioned to add value over the long term. The Fund remains positioned to benefit if emerging market bond yields fall, as we believe subdued inflation and low developed market yields should allow emerging countries to use lower interest rates to support their economies. Equally, with expectations of a weaker US dollar we see scope for emerging market currencies to strengthen, although valuations are a little more stretched than earlier in the year. We recently added to the overweight position in Indonesian rupiah as our conviction increased. We believe rupiah should outperform given Indonesia’s high real yield, improving domestic institutions, and sustainable current account deficit. This is offset against an underweight in US dollars, given the US no longer has a meaningful yield advantage with cash rates likely to remain close to zero for several years. The Fund has a new position in Israeli shekel, which should benefit from Israel’s increasing competitiveness in the technology sector and ongoing improvements in relations with neighbouring states. We have also bought Egyptian bonds for the Fund, giving exposure to bond yields and Egyptian pounds, as a significant reform agenda should lead to reduced debt levels and more positive sentiment towards the bonds. Other bond positions we expect to perform well include Peru, Hungary, and Thai index-linked bonds. In addition, we believe Macedonia and Albania are well-set on a path to EU integration and have resilient balance sheets. Therefore, we have invested in euro-denominated ‘hard currency’ bonds in each country as they offer attractive yields given the positive structural changes we expect. We expect the fallout from Covid-19 to be challenging for some countries, particularly when coupled with political instability – the Fund has underweight positions in Turkish lira, Brazilian real, and South African rand as examples.

Baillie Gifford & Co, 28 October 2020

19 Baillie Gifford Emerging Markets Bond Fund September 2020

Principal Bond Holdings as at 30 September 2020

Investment Percentage of total Fund Thailand 1.25% IL 12/03/2028 6.31 Indonesia 8.375% 15/03/2024 5.03 Brazil 0% 01/07/2023 2.87 Brazil 10% 01/01/2023 2.81 Poland 2.75% IL 25/08/2023 2.73 Indonesia 8.375% 15/03/2034 2.66 Thailand 3.775% 25/06/2032 2.34 South Africa 10.5% 21/12/2026 2.20 Mexico 7.75% 23/11/2034 2.18 China Development Bank 3.23% 10/01/2025 2.16

20 Baillie Gifford Emerging Markets Bond Fund September 2020

Material Portfolio Changes for the year ended 30 September 2020

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 South Africa 10.5% 21/12/2026 14,928 Poland 2.75% IL 25/08/2023 29,130 Turkey 2.9% IL 07/07/2027 14,726 US TII 0.625% IL 15/01/2024 28,724 Turkey 3% IL 02/08/2023 14,495 Russia 6.5% 28/02/2024 17,240 China 3.13% 21/11/2029 14,401 China 3.13% 21/11/2029 16,075 Poland 2.5% 25/01/2023 14,054 Mexico 4.5% IL 04/12/2025 14,061 Uruguay 8.5% 15/03/2028 12,979 Indonesia 8.375% 15/03/2034 13,326 Uruguay 4.375% IL 15/12/2028 10,770 Turkey 3% IL 02/08/2023 13,209 Malaysia 3.478% 14/06/2024 10,546 Thailand 1.25% IL 12/03/2028 12,972 Ecuador 10.75% 28/03/2022 10,354 Turkey 2.9% IL 07/07/2027 12,959 Ukraine 9.79% 26/05/2027 (GDN) 9,271 Dominican Republic 8.9% 15/02/2023 12,742

The largest purchases and sales of bonds have been shown.

21 Baillie Gifford Emerging Markets Bond Fund September 2020

Portfolio Statement as at 30 September 2020

Stock description Holding Market %oftotal value £’000 net assets

Fixed Income - 94.28% (95.87%)

Albania - 1.02% (0.00%) Republic Of Albania 3.5% 16/06/2027 (EUR) 2,850,000 2,649 1.02

Brazil - 7.45% (7.78%) Brazil 0% 01/07/2023 62,500 7,445 2.87 Brazil 10% 01/01/2023 48,200 7,309 2.81 Brazil 10% 01/01/2025 29,850 4,595 1.77

Chile - 2.27% (2.97%) Chile 4.5% 01/03/2026 1,085,000,000 1,222 0.47 Chile 4.7% 01/09/2030 (144A) 1,100,000,000 1,273 0.49 Chile 5% 01/03/2035 1,715,000,000 2,015 0.78 Chile 6% 01/01/2043 1,030,000,000 1,388 0.53

China - 3.76% (0.00%) China 1.99% 09/04/2025 38,200,000 4,153 1.60 China Development Bank 3.23% 10/01/2025 50,000,000 5,618 2.16

Colombia - 5.26% (3.05%) Colombia 5.75% 03/11/2027 18,100,000,000 3,802 1.46 Colombia 6% 28/04/2028 6,425,000,000 1,362 0.52 Colombia 6.25% 26/11/2025 13,750,000,000 3,024 1.16 Colombia 7.25% 26/10/50 7,000,000,000 1,468 0.57 Colombia 7.5% 26/08/2026 10,068,500,000 2,328 0.90 Colombia 7.75% 18/09/2030 7,275,000,000 1,685 0.65

Czech Republic - 0.00% (0.36%)

Dominican Republic - 2.25% (0.00%) Dominican Republic 5.875% 18/04/2024 (USD) 1,750,000 1,432 0.55 Dominican Republic 7.45% 30/04/2044 (USD) 1,700,000 1,480 0.57 Dominican Republic 8.9% 15/02/2023 222,250,000 2,931 1.13

22 Baillie Gifford Emerging Markets Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Egypt - 2.50% (2.72%) Egypt 14.406% 07/07/2027 55,000,000 2,680 1.03 Egypt 4.55% 20/11/2023 (USD) 1,420,000 1,097 0.42 Egypt T Bill 14/09/2021 62,625,000 2,719 1.05

Ghana - 0.98% (0.00%) Ghana 19.25% 23/06/2025 19,725,000 2,556 0.98

Hungary - 2.38% (2.43%) Hungary 2.75% 22/12/2026 1,166,450,000 3,064 1.18 Hungary 3% 21/08/2030 1,183,240,000 3,128 1.20

Indonesia - 14.27% (12.74%) Indonesia 10.5% 15/08/2030 49,198,000,000 3,177 1.22 Indonesia 3.85% 15/10/2030 (USD) 3,200,000 2,803 1.08 Indonesia 6.125% 15/05/2028 74,405,000,000 3,721 1.43 Indonesia 8.375% 15/03/2024 232,912,000,000 13,076 5.03 Indonesia 8.375% 15/03/2034 123,923,000,000 6,910 2.66 Indonesia 8.375% 15/04/2039 56,395,000,000 3,120 1.20 Indonesia 9% 15/03/2029 73,063,000,000 4,277 1.65

Malaysia - 0.75% (0.26%) Malaysia 3.478% 14/06/2024 9,989,000 1,945 0.75

Mexico - 5.58% (10.49%) Mexico 7.75% 13/11/2042 700,000 2,656 1.02 Mexico 7.75% 23/11/2034 1,439,600 5,654 2.18 Mexico 7.75% 29/05/2031 554,755 2,191 0.85 Petroleos Mexicanos 7.47% 12/11/2026 1,440,800 3,983 1.53

Nigeria - 0.00% (1.12%)

North Macedonia - 1.03% (0.00%) North Macedonia 3.675% 03/06/2026 (EUR) 2,750,000 2,672 1.03

23 Baillie Gifford Emerging Markets Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Other Emerging - 0.00% (4.97%)

Peru - 6.27% (5.47%) Peru 5.35% 12/08/2040 9,430 2,008 0.77 Peru 6.15% 12/08/2032 17,515 4,314 1.66 Peru 6.35% 12/08/2028 17,075 4,433 1.71 Peru 6.9% 12/08/2037 21,617 5,537 2.13

Poland - 9.44% (8.70%) Poland 2.5% 25/01/2023 25,047,000 5,291 2.04 Poland 2.5% 25/07/2026 11,650,000 2,554 0.98 Poland 2.75% 25/04/2028 12,312,000 2,754 1.06 Poland 2.75% 25/10/2029 15,535,000 3,502 1.35 Poland 2.75% IL 25/08/2023 24,950,000 7,094 2.73 Poland 3.25% 25/07/2025 14,825,000 3,338 1.28

Romania - 1.54% (0.00%) Romania 3.65% 24/09/2031 12,330,000 2,274 0.87 Romania 6.125% 22/01/2044 (USD) 1,656,000 1,729 0.67

Russia - 2.91% (8.55%) Russia 7.05% 19/01/2028 190,370,000 2,019 0.78 Russia 8.15% 03/02/2027 341,066,000 3,837 1.48 Russia 8.5% 17/09/2031 144,096,000 1,692 0.65

Serbia - 0.70% (1.82%) Serbia 5.875% 08/02/2028 202,170,000 1,815 0.70

South Africa - 2.20% (5.08%) South Africa 10.5% 21/12/2026 106,500,000 5,715 2.20

South Korea - 0.97% (0.00%) Korean EXIM Bank 7.25% 07/12/2024 47,000,000,000 2,511 0.97

24 Baillie Gifford Emerging Markets Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Supranational - 0.79% (0.00%) IBRD 6% 09/03/2023 40,000,000,000 2,051 0.79

Tajikistan - 0.00% (0.34%)

Thailand - 11.89% (9.67%) Thailand 1.25% IL 12/03/2028 661,985,000 16,390 6.31 Thailand 2.125% 17/12/2026 93,895,000 2,444 0.94 Thailand 2.875% 17/06/2046 16,911,000 477 0.18 Thailand 3.4% 17/06/2036 32,840,000 990 0.38 Thailand 3.775% 25/06/2032 199,200,000 6,075 2.34 Thailand 4.875% 22/06/2029 143,263,000 4,507 1.74

Turkey - 0.00% (2.79%)

Ukraine - 4.73% (0.00%) Ukraine 15.84% 26/02/2025 (GDN) 112,911,000 3,456 1.33 Ukraine 17% 11/05/2022 (GDN) 160,020,000 4,759 1.83 Ukraine 7.75% 01/09/2023 (USD) 2,425,000 1,905 0.73 Ukraine 9.79% 26/05/2027 (GDN) 90,985,000 2,181 0.84

United States - 0.00% (4.29%)

Uruguay - 3.34% (0.27%) Uruguay 4.375% IL 15/12/2028 128,678,000 5,395 2.08 Uruguay 8.5% 15/03/2028 140,000,000 2,681 1.03 Uruguay 9.875% 20/06/2022 31,705,000 603 0.23

Derivatives - 1.45% (-0.28%) Forward currency contracts (see Table 1) (732) (0.28) Futures contracts (see Table 2) - 0.00 Interest rate swap contracts (see Table 3) 4,504 1.73

Portfolio of investments 248,712 95.73

25 Baillie Gifford Emerging Markets Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Net other assets - 4.27% (4.41%) 11,081 4.27

Net assets 259,793 100.00

Please note: figures are based on market values rather than economic exposure. Unless otherwise stated the above holdings are in fixed interest securities. Figures in brackets in the investment category headings refer to 30 September 2019.

Table 1: Unrealised gains/(losses) on open forward currency contracts Unrealised gains/(losses) % of total Counterparty Settlement Buy Buy Amount Sell Sell Amount £’000 net assets

Barclays Bank 29/10/20 KRW 7,750,000,000 GBP 5,135,273 8 0.00 Barclays Bank 12/11/20 GBP 2,012,598 HUF 770,000,000 91 0.04 Barclays Bank 19/11/20 JPY 554,000,000 GBP 3,956,700 105 0.04 Barclays Bank 19/11/20 MXN 283,400,000 GBP 10,138,062 (268) (0.10) Barclays Bank 19/11/20 ZAR 600,000 GBP 27,406 - 0.00 Barclays Bank 17/12/20 MYR 80,470,000 GBP 14,717,878 218 0.08 Barclays Bank 21/01/21 GBP 2,627,889 THB 106,280,000 36 0.01 Barclays Bank 21/01/21 GBP 2,571,276 USD 3,340,000 (11) 0.00 Citigroup 29/10/20 RUB 1,293,200,000 GBP 13,324,396 (472) (0.18) Citigroup 19/11/20 GBP 12,229,134 USD 16,050,000 (183) (0.07) Citigroup 19/11/20 GBP 2,795,219 UYU 160,000,000 (93) (0.03) Citigroup 21/01/21 GBP 11,636,948 USD 15,116,000 (48) (0.02) HSBC 22/10/20 CZK 341,200,000 GBP 11,810,687 (386) (0.15) HSBC 19/11/20 GBP 9,223,305 EUR 10,240,000 (72) (0.03) HSBC 19/11/20 GBP 9,573,549 UAH 354,700,000 7 0.00 HSBC 19/11/20 GBP 571,455 USD 750,000 (9) 0.00 HSBC 19/11/20 GBP 2,473,769 UYU 141,600,000 (82) (0.03) HSBC 19/11/20 RON 9,500,000 GBP 1,766,807 (6) 0.00 HSBC 21/01/21 GBP 4,980,885 USD 6,470,000 (20) (0.01) HSBC 21/01/21 ILS 22,900,000 GBP 5,157,658 30 0.01 HSBC 11/03/21 GBP 626,763 BRL 4,400,000 27 0.01 Royal Bank of Canada 19/11/20 MXN 101,500,000 GBP 3,630,957 (96) (0.04) Royal Bank of Canada 19/11/20 ZAR 207,000,000 GBP 9,455,169 85 0.03 Royal Bank of Canada 21/01/21 PLN 12,350,000 GBP 2,530,868 (61) (0.02)

26 Baillie Gifford Emerging Markets Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Unrealised gains/(losses) % of total Counterparty Settlement Buy Buy Amount Sell Sell Amount £’000 net assets

Royal Bank of Scotland 29/10/20 CLP 1,180,000,000 GBP 1,196,815 (38) (0.01) Royal Bank of Scotland 21/01/21 GBP 8,430,729 PEN 38,520,000 161 0.06 Standard Chartered Bank 22/10/20 GBP 9,085,041 IDR 0 190 0.07 Standard Chartered Bank 26/11/20 CNY 21,600,000 GBP 2,337,359 113 0.04 Standard Chartered Bank 11/03/21 CNY 33,160,000 GBP 3,692,733 40 0.02 Unrealised gains/(losses) on open forward currency contracts (732) (0.28)

Table 2: Unrealised gains/(losses) on futures contracts Unrealised gains/(losses) % of total Futures Maturity Notional £’000 net assets

US Ultra 10 Year Note Future December 2020 31/12/20 (24) - 0.00 US Ultra Long (CBT) December 2020 31/12/20 (8) - 0.00

Unrealised gains/(losses) on futures contracts - 0.00

Table 3: Unrealised gains/(losses) on open interest rate swap contracts Unrealised gains/(losses) % of total Counterparty Ccy Termination Notional Fund pays Fund receives £’000 net assets

Banco Santander, S.A. MXN 02/12/25 128,500,000 6.388 Mexico (257) (0.10) Interbank TIIE 28 Day Barclays Bank Plc MXN 02/12/25 260,000,000 Mexico 6.388 521 0.20 Interbank TIIE 28 Day Citigroup Global Markets Limited CNY 06/10/24 160,904,600 China Fixing 2.8775 185 0.07 Repo Rates 7 Day Citigroup Global Markets Limited HUF 15/05/23 13,100,000,000 Budapest 0.93 (283) (0.11) Interbank Offered Rates 6 Month Index Citigroup Global Markets Limited MXN 06/02/27 160,000,000 Mexico 5.715 98 0.04 Interbank TIIE 28 Day Citigroup Global Markets Limited MYR 06/10/29 31,058,550 Malaysia 3.5125 592 0.23 Interbank Offered Rate Fixing 3 Month

27 Baillie Gifford Emerging Markets Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Unrealised gains/(losses) % of total Counterparty Ccy Termination Notional Fund pays Fund receives £’000 net assets

Citigroup Global Markets Limited PLN 15/05/23 170,000,000 0.49 GPW (186) (0.07) Benchmark WIBOR PLN 6M Citigroup Global Markets Limited RUB 20/03/23 1,042,464,600 MosPrime 3 7.96 653 0.25 Months Rate Goldman Sachs International RUB 10/11/24 1,400,000,000 MosPrime 3 6.835 661 0.25 Months Rate HSBC Bank HUF 06/04/23 4,435,000,000 Budapest 0.765 (145) (0.06) Interbank Offered Rates 6 Month Index HSBC Bank PLN 06/04/23 56,500,000 0.4 GPW (40) (0.02) Benchmark WIBOR PLN 6M J.P. Morgan Securities PLC MXN 14/03/25 300,000,000 Mexico 7.35 1,014 0.39 Interbank TIIE 28 Day J.P. Morgan Securities PLC MXN 02/12/25 43,160,000 6.388 Mexico (86) (0.03) Interbank TIIE 28 Day Merrill Lynch International MXN 14/03/25 50,000,000 7.35 Mexico (169) (0.06) Interbank TIIE 28 Day Merrill Lynch International MXN 02/12/25 27,000,000 6.388 Mexico (54) (0.02) Interbank TIIE 28 Day Merrill Lynch International RUB 12/09/26 422,250,000 MosPrime 3 6.8 197 0.08 Months Rate Merrill Lynch International ZAR 20/03/25 22,250,000 7.495 South Africa (116) (0.04) Johannesburg Interbank Agreed Rate 3 Month Merrill Lynch International ZAR 20/03/25 190,000,000 South Africa 7.495 994 0.38 Johannesburg Interbank Agreed Rate 3 Month Standard Chartered Bank CNY 23/06/25 33,000,000 China Fixing 2.365 (78) (0.03) Repo Rates 7 Day

28 Baillie Gifford Emerging Markets Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Unrealised gains/(losses) % of total Counterparty Ccy Termination Notional Fund pays Fund receives £’000 net assets

Standard Chartered Bank MYR 02/12/26 57,157,600 Malaysia 3.725 915 0.35 Interbank Offered Rate Fixing 3 Month UBS AG EUR 18/03/30 9,215,000 Euribor 6 -0.1517 88 0.03 Month

Unrealised gains/(losses) on open interest rate swap contracts 4,504 1.73

29 Baillie Gifford Emerging Markets Bond Fund September 2020

Comparative Tables

Comparative Table: A Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 94.40 87.22 103.74

Return before operating charges* (5.52) 13.34 (9.06) Operating charges (1.15) (1.15) (1.38)

Return after operating charges* (6.67) 12.19 (10.44)

Distributions on income shares (4.96) (5.01) (6.08) Closing net asset value per share 82.77 94.40 87.22

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges (7.07)% 13.98% (10.06)%

Other Information: Closing net asset value (£’000) 190 466 265 Closing number of shares 229,046 493,624 303,847 Operating charges 1.29%1 1.25% 1.40%2 Direct transaction costs5 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 96.5 100.9 105.7 Lowest share price (pence) 79.2 84.55 88.05

30 Baillie Gifford Emerging Markets Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 139.35 121.21 134.02

Return before operating charges* (8.15) 18.86 (11.90) Operating charges (0.84) (0.72) (0.91)

Return after operating charges* (8.99) 18.14 (12.81)

Distributions (7.42) (7.98) (8.87)

Retained distributions on accumulation shares 7.42 7.98 8.87

Closing net asset value per share 130.36 139.35 121.21

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges (6.45)% 14.97% (9.56)%

Other Information: Closing net asset value (£’000) 2,785 2,602 1,186 Closing number of shares 2,136,506 1,867,542 978,311 Operating charges 0.63%3 0.55% 0.70%4 Direct transaction costs5 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 142.5 144.4 136.5 Lowest share price (pence) 119.1 117.5 117.0

31 Baillie Gifford Emerging Markets Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 94.70 87.50 104.09

Return before operating charges* (5.52) 13.39 (9.10) Operating charges (0.56) (0.51) (0.69)

Return after operating charges* (6.08) 12.88 (9.79)

Distributions on income shares (4.98) (5.68) (6.80) Closing net asset value per share 83.64 94.70 87.50

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges (6.42)% 14.72% (9.41)%

Other Information: Closing net asset value (£’000) 9,688 10,753 9,381 Closing number of shares 11,582,524 11,354,946 10,721,145 Operating charges 0.62%3 0.55% 0.70%4 Direct transaction costs5 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 96.9 101.4 106.0 Lowest share price (pence) 79.5 84.84 88.55

32 Baillie Gifford Emerging Markets Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 204.04 176.76 194.38

Return before operating charges* (12.17) 27.56 (17.32) Operating charges (0.24) (0.28) (0.30)

Return after operating charges* (12.41) 27.28 (17.62)

Distributions (10.88) (12.42) (13.94)

Retained distributions on accumulation shares 10.88 12.42 13.94

Closing net asset value per share 191.63 204.04 176.76

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges (6.08)% 15.43% (9.06)%

Other Information: Closing net asset value (£’000) 247,130 679,657 698,012 Closing number of shares 128,962,047 333,097,331 394,895,175 Operating charges 0.12% 0.15% 0.16% Direct transaction costs5 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 208.7 211.3 198.0 Lowest share price (pence) 174.7 171.4 170.6 1As at 30 September 2020, the ACD considered 1.22% to be more indicative rate for the ongoing charges for Class A Shares. 2With effect from 1 July 2018 the ACD’s annual fee for Class A Shares decreased from 1.30% to 1.10%. As at 30 September 2018, the ACD considered 1.26% to be a more indicative rate for the ongoing charges figure. 3As at 30 September 2020, the ACD considered 0.52% to be more indicative rate for the ongoing charges for Class B Shares. 4With effect from 1 July 2018 the ACD’s annual fee for Class B Shares decreased from 0.60% to 0.40%. As at 30 September 2018, the ACD considered 0.56% to be a more indicative rate for the ongoing charges figure. 5Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts. A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

33 Baillie Gifford Emerging Markets Bond Fund September 2020

Financial Statements

Statement of Total Return for the year ended 30 September 2020

2020 2019 Notes £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 1 (91,784) 69,050 Revenue 3 28,966 56,542 Expenses 4 (638) (1,218)

Net revenue before taxation 28,328 55,324 Taxation 5 (836) (2,335) Net revenue after taxation 27,492 52,989

Total return before distributions (64,292) 122,039 Distributions 6 (28,130) (52,989) Change in net assets attributable to shareholders from investment activities (92,422) 69,050

Statement of Change in Net Assets Attributable to Shareholders for the year ended 30 September 2020

2020 2019 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 693,478 708,844 Amounts receivable on issue of shares 41,687 110,109 Amounts payable on cancellation of shares (409,385) (243,021)

(367,698) (132,912) Dilution adjustment 6,171 1,105 Change in net assets attributable to shareholders from investment activities (92,422) 69,050 Retained distributions on accumulation shares 20,264 47,391 Closing net assets attributable to shareholders 259,793 693,478

34 Baillie Gifford Emerging Markets Bond Fund September 2020

Financial Statements cont.

Balance Sheet as at 30 September 2020

2020 2019 Notes £’000 £’000

Assets: Fixed assets: Investments 13 251,969 668,625 Current assets: Debtors 8 12,610 16,938 Cash and bank balances 9 8,053 25,890 Total assets 272,632 711,453

Liabilities: Investment liabilities 13 (3,258) (5,745) Creditors: Bank overdrafts 9 (490) (8,065) Distributions payable (300) (369) Other creditors 10 (8,791) (3,796)

Total liabilities (12,839) (17,975) Net assets attributable to shareholders 259,793 693,478

35 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements

1 Net capital gains/(losses) 2020 2019 £’000 £’000

Non-derivative securities (78,777) 87,248 Derivative contracts 7,669 (2,521) Forward currency contracts (16,982) (16,062) Currency gains/(losses) (3,680) 396 Transaction costs (14) (11) Net capital gains/(losses) (91,784) 69,050

2 Purchases, sales and transaction costs 2020 2019 £’000 £’000

Purchases and transaction costs Gross purchases of bonds excluding transaction costs1 291,902 537,520 Purchases including transaction costs 291,902 537,520

1There were no transaction costs on the purchase of bonds.

2020 2019 £’000 £’000

Sales and transaction costs Gross sales of bonds excluding transaction costs1 634,988 593,382 Sales net of transaction costs 634,988 593,382

1There were no transaction costs on the sale of bonds.

2020 2019 £’000 £’000

Transaction cost on derivative contracts Commission on trading futures contracts 913

36 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

2 Purchases, sales and transaction costs (continued)

2020 2019 £’000 % of average £’000 % of average NAV NAV

Portfolio transaction costs Commissions 9 0.00 13 0.00 Taxes - 0.00 - 0.00 Total direct transaction costs 9 0.00 13 0.00

2020 2019 %% Average portfolio dealing spread 0.49 0.55

Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts.

A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

Dealing spread is the difference in the buying and selling prices of the underlying investments. Dealing spreads vary considerably depending on the transaction value and market sentiment. The Fund may have holdings in single priced funds. The notional spread on these holdings is not included in the average dealing spread calculated for this Fund.

3 Revenue 2020 2019 £’000 £’000

Interest on debt securities 28,390 56,747 Bank interest 41 153 Swaps interest 532 (358) Other income 3- Total revenue 28,966 56,542

37 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

4 Expenses 2020 2019 £’000 £’000

Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 54 52

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary’s fee 42 62 Bank charges 519 1,091

561 1,153

Other expenses: Audit fee 11 7 Professional fees 12 6

23 13 Total expenses 638 1,218

5 Taxation 2020 2019 £’000 £’000

Analysis of charge in the year Corporation tax -- Overseas tax 1,204 2,335 Tax recoverable on overseas interest (368) - Total taxation 836 2,335

The Fund is subject to corporation tax at 20% (2019: 20%), however, the Fund is a bond fund making interest distributions and the interest distributions made by the Fund are allowable in arriving at the amount of revenue liable to tax. As a result, this has reduced the corporation tax liability of the Fund to nil. The deduction of the interest distribution has been restricted to reflect the priority utilisation of the management expenses incurred by the Fund in the year, as per regulation 13(1A) of SI 2006/964. This results in no excess management expenses or interest distribution being carried forward.

38 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

5 Taxation (continued)

The tax charge is explained as follows: 2020 2019 £’000 £’000

Net revenue/(expense) before taxation 28,328 55,324 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (2019: 20%) 5,666 11,065 Effects of: Interest distributions (5,627) (10,598) Overseas offsettable withholding tax (241) (467) Overseas tax on coupons 1,204 2,335 Tax recoverable on overseas interest (368) - Management expenses charged to capital 128 - Distributing recoverable overseas tax 74 - Total taxation 836 2,335

6 Distributions 2020 2019 £’000 £’000

Interim to 31 December 7,021 8,331 Interim to 31 March 3,692 8,808 Interim to 30 June 2,154 9,071 Final to 30 September 7,977 21,847

20,844 48,057 Amounts deducted on cancellation of shares 7,688 6,541 Amounts added on issue of shares (402) (1,609) Total distributions 28,130 52,989

The distributions take account of revenue transactions on the issue and cancellation of shares. Details of the distributions per share are set out in the Distribution Tables.

7 Reconciliation of net revenue to net distributions for the year 2020 2019 £’000 £’000

Net revenue after taxation for the year 27,492 52,989 Add expenses allocated to capital 638 - Net distributions for the year 28,130 52,989

39 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

8 Debtors 2020 2019 £’000 £’000

Receivable for issue of shares 22 52 Sales awaiting settlement 2,473 408 Accrued income 5,181 9,727 Overseas tax recoverable 910 603 VAT recoverable 13 Collateral held by counterparties 1,220 4,560 Amounts due from clearing brokers 631 270 Amounts due from clearing house 2,172 1,300 Other debtors -15 Total debtors 12,610 16,938

9 Cash and bank balances 2020 2019 £’000 £’000

Sterling amounts held at clearing houses and brokers 420 716 Foreign amounts held at clearing houses and brokers 245 625 Sterling bank accounts 5,715 6,134 Foreign currency bank accounts 1,673 18,415

8,053 25,890 Foreign amounts held at clearing houses and brokers overdrawn (460) (765) Sterling bank accounts overdrawn - (7,296) Foreign currency bank accounts overdrawn (30) (4) Total cash and bank balances 7,563 17,825

10 Other creditors 2020 2019 £’000 £’000

Payable for cancellation of shares 121 Purchases awaiting settlement 1,737 821 Due to the ACD or associates 55 Due to the Depositary or associates 33 59 Collateral held on behalf of counterparty 4,925 2,870 Amounts due to clearing broker 2,057 - Other accrued expenses 33 20 Total other creditors 8,791 3,796

40 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

11 Related party transactions Baillie Gifford & Co Limited, as ACD, is regarded as a related party by virtue of the services provided to the Company. Baillie Gifford & Co Limited acts as principal in respect of all transactions of shares in the Company, except where stocks are transferred on the issue or cancellation of shares. The aggregate monies received through issue and paid on cancellation are disclosed in the Statement of Change in Net Assets Attributable to Shareholders. Amounts receivable and payable on the issue and cancellation of shares have been disclosed in notes 8 and 10 respectively. Amounts paid to Baillie Gifford & Co Limited in respect of ACD fees are disclosed in note 4 with amounts due at the year end given in note 10. Shares held by the ACD and associates of the ACD The shares held by the ACD and associates of the ACD as a percentage of the Fund’s NAV were: 2020 2019 % % ACD and associates of the ACD 93.50 95.69

12 Reconciliation of shares in issue 2020 A Income Shares B Accumulation Shares B Income Shares C Accumulation Shares

Opening shares in issue 493,624 1,867,542 11,354,946 333,097,331 Shares issued 61,892 988,713 1,992,131 19,192,027 Shares cancelled (319,261) (719,749) (1,771,723) (223,327,312) Shares converted (7,209) - 7,171 - Closing shares in issue 229,046 2,136,506 11,582,525 128,962,046

13 Basis of valuation 2020 2019 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000

Level 1: Quoted prices ---- Level 2: Observable market data 251,969 (3,258) 629,672 (5,743) Level 3: Unobservable data - - 38,953 - Total 251,969 (3,258) 668,625 (5,743)

41 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

14 Credit ratings 2020 2019 Market value Percentage of Market value Percentage of Rating Block £’000 total Fund £’000 total Fund

Investment Grade 179,926 69.26 485,596 70.02 High Yield 59,396 22.86 179,212 25.84 Unrated 5,618 2.16 - -

Total Bonds - Direct 244,940 94.28 664,808 95.86 Other 14,853 5.72 28,670 4.14 Net Assets 259,793 100.00 693,478 100.00

42 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

15 Derivatives and other financial instruments Currency exposures A proportion of the net assets of the Fund are denominated in currencies other than sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Currency Net currency assets/(liabilities) Net currency assets/(liabilities) 2020 2019 Monetary Non-monetary Total Monetary Non-monetary Total exposures exposures exposures exposures £’000 £’000 £’000 £’000 £’000 £’000

Brazilian real - 18,749 18,749 - 82,318 82,318 Canadiandollar ----(17,476)(17,476) Chilean peso - 7,056 7,056 - 10,253 10,253 Chinese yuan - 16,062 16,062 - (11) (11) Colombian peso - 13,669 13,669 - 45,351 45,351 Czech koruna - 11,425 11,425 (509) 27,966 27,457 Dominican Peso - 2,931 2,931 - 10,799 10,799 Egyptian pound - 5,399 5,399 12,429 1,484 13,913 Euro - (3,886) (3,886) 249 (27,669) (27,420) Ghanaian cedi - 2,556 2,556 - - - Hungarian forint 91 3,843 3,934 - 16,751 16,751 Indonesian rupiah - 29,949 29,949 - 84,824 84,824 Israeli new shekel - 5,187 5,187 - - - Japanese yen - 4,062 4,062 - 15,771 15,771 Malaysian ringgit - 18,387 18,387 - 42,305 42,305 Mexican peso (1,151) 28,955 27,804 - 68,662 68,662 Nigeriannaira ----7,7397,739 Norwegiankrona----29,47329,473 Peruvian nuevo sol - 8,022 8,022 - 31,926 31,926 Philippinepeso ----(15,980)(15,980) Polish zloty 141 26,777 26,918 - 60,729 60,729 Romanian leu - 4,035 4,035 - 16,833 16,833 Russian ruble - 21,913 21,913 - 70,043 70,043 Serbian dinar - 1,815 1,815 - 12,650 12,650 South African rand (852) 16,161 15,309 - 44,998 44,998 South Korean won - 5,144 5,144 - (13,933) (13,933) Thai baht - 28,290 28,290 - 63,087 63,087 Turkishlira ----27,90827,908 UK sterling 4,602 (10,040) (5,438) 2,558 (24,118) (21,560) Ukrainian hryvnia - 829 829 - 18,299 18,299 Uruguayan peso - 3,235 3,235 - 1,862 1,862 US dollar 1,771 (21,814) (20,043) 6,357 (29,966) (23,608) Short term debtors and creditors have not been disclosed.

43 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

15 Derivatives and other financial instruments (continued) Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the Fund was: 2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial assets £’000 financial financial assets £’000 assets assets not carrying assets assets not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Brazilian real - 19,349 - 19,349 - 63,698 28,011 91,709 Chilean peso - 5,897 1,159 7,056 - 20,608 - 20,608 Chinese yuan - 32,002 6,183 38,185 - 37,497 - 37,497 Colombian peso - 13,669 - 13,669 - 21,159 24,192 45,351 Czech koruna - - 11,425 11,425 178 145,968 25,606 171,752 Dominican Peso - 2,931 - 2,931 - 10,799 - 10,799 Egyptian pound - 5,399 - 5,399 12,429 18,842 - 31,271 Euro 30 13,929 - 13,959 253 - - 253 Ghanaian cedi - 2,556 - 2,556 - - - - Hungarian forint 376 49,576 - 49,952 20,421 29,619 - 50,040 Indonesian rupiah - 38,844 - 38,844 - 88,378 - 88,378 Israeli new shekel - - 5,187 5,187 - - - - Japanese yen - - 4,062 4,062 - - 15,771 15,771 Malaysian ringgit - 20,591 14,936 35,527 - 50,348 38,865 89,213 Mexican peso 8,720 41,345 13,405 63,470 16,323 56,408 - 72,731 Nigerian naira - - - - - 7,739 - 7,739 Norwegian krona ------29,473 29,473 Peruvian nuevo sol - 16,292 - 16,292 - 37,933 - 37,933 Polish zloty 52,639 17,440 2,470 72,548 36,518 23,798 413 60,729 Romanian leu - 2,274 1,761 4,035 - - 16,833 16,833 Russian ruble - 37,618 12,853 50,471 - 59,317 10,726 70,043 Serbian dinar - 1,815 - 1,815 - 12,650 - 12,650 South African rand 180 15,520 9,568 25,268 - 35,233 9,765 44,998 South Korean won - - 5,144 5,144 - - - - Thai baht 16,390 14,493 - 30,883 24,708 42,355 - 67,063 Turkish lira - - - - - 19,351 8,557 27,908 UK sterling 9,527 - 78,838 88,365 12,724 23,831 187,473 224,028 Ukrainian hryvnia - 10,396 - 10,396 - 18,299 - 18,299 Uruguayan peso 5,395 3,284 - 8,679 - 1,862 - 1,862 44 US dollar 1,818 10,446 - 12,264 36,098 7,723 - 43,821 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

15 Derivatives and other financial instruments (continued)

2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial liabilities £’000 financial financial liabilities £’000 liabilities liabilities not carrying liabilities liabilities not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Brazilian real - - 600 600 9,392 - - 9,392 Canadian dollar ------17,476 17,476 Chilean peso ------10,355 10,355 Chinese yuan 22,123 - - 22,123 37,508 - - 37,508 Czech koruna - - - - 144,294 - - 144,294 Egyptian pound ------17,358 17,358 Euro 8,550 - 9,295 17,845 4 - 27,669 27,673 Hungarian forint 44,096 - 1,921 46,017 12,759 20,529 - 33,288 Indonesian rupiah - - 8,895 8,895 - - 3,554 3,554 Malaysian ringgit 17,139 - - 17,139 46,908 - - 46,908 Mexican peso 26,386 9,280 - 35,666 - - 4,069 4,069 Peruvian nuevo sol - - 8,270 8,270 - - 6,007 6,007 Philippine peso ------15,980 15,980 Polish zloty 67 45,563 - 45,630 - - - - Russian ruble 28,558 - - 28,558 - - - - South African rand 8,812 1,148 - 9,960 - - - - South Korean won ------13,933 13,933 Thai baht - - 2,592 2,592 - - 3,975 3,975 UK sterling 4,925 - 88,879 93,804 34,000 - 211,589 245,589 Ukrainian hryvnia - - 9,567 9,567 - - - - Uruguayan peso - - 5,444 5,444 - - - - US dollar 47 - 32,259 32,306 - - 67,429 67,429

45 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

16 Derivative Exposure The exposure to derivative counterparties was: 2020 2019 Counterparty Forward Inflation Interest Cash Total Forward Inflation Interest Cash Total currency rate rate collateral exposure currency rate rate collateral exposure contracts swaps swaps held contracts swaps swaps held £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000

Barclays 459 - 521 (200) 780 348 - - - 348 CitiGroup - - 1,528 (1,510) 18 - - - (710) (710) Goldman Sachs - - 661 (1,530) (869) - - - - - HSBC 64 - - - 64 860 - - - 860 JP Morgan Chase 549 - 1,014 - 1,563 507 - - - 507 Merrill Lynch - - 1,191 (475) 716 - - - - - Royal Bank of Scotland 40 - - - 40 - - - (445) (445) Standard Chartered Bank - - 915 (1,210) (295) - - - (1,715) (1,715) UBS - - 89 - 89 - - - - -

Collateral pledged on derivatives was: 2020 2019 £’000 £’000

Cash collateral pledged on derivatives Barclays -1,485 HSBC 860 2,250 JP Morgan Chase - 545 Royal Bank of Canada 360 280

In addition, the Fund trades futures contracts through UBS. Fair value movements are offset by movements in the variation margin account which reduces the derivative counterparty exposure to nil.

17 Value at risk (VaR) The market risk of the Fund’s financial asset and liability positions is monitored by the Investment Adviser using VaR analysis. VaR analysis attempts to reflect the interdependencies between risk variables, unlike a traditional sensitivity analysis. VaR represents the potential losses from adverse changes in market factors for a specified time period and confidence level.

Model assumptions: System FIS Advanced Portfolio Technologies (APT) VaR methodology: variance covariance approach (with delta-adjustment) Confidence level: 99% Holding period: 1month Decay factor for exponential smoothing of historical market data: nil Historical observation period: 180 weeks

46 Baillie Gifford Emerging Markets Bond Fund September 2020

Notes to the Financial Statements cont.

17 Value at risk (VaR) (continued)

2020 2019 %%

Fund VaR: 6.12 7.97 Index VaR: 5.59 7.25

The VaR noted above indicates the VaR of the Fund’s financial instruments, measured as the potential 1 month loss in value from adverse changes in equity prices, interest rates, inflation and foreign currency exchange rates, with a 99% confidence level.

In combination with a snapshot of the portfolio and benchmark constituents at a given point in time, the APT risk model uses 180 weeks of historic data to formulate a prediction of risk over a desired time period. In the case of VaR numbers, the risk model produces a 1-month prediction of 99% VaR. The decay factor for exponential smoothing of the historic market data refers to how the risk model uses more recent data in its historic data window compared to older data. Using a positive decay factor would mean that the risk model is placing more importance on more recent data than on older data in formulating its prediction of risk – this would result in the risk model being more short-term in nature, and increasingly geared to short-term recent events. The decay factor used in the APT risk model for calculating VaR numbers is nil. This means that each of the 180 weeks of historic data used by the risk model are treated with equal importance in the model’s calculation of predicted risk. This means that the risk model’s prediction of risk will be influenced by the average variances and covariances of portfolio and benchmark constituents over the past 3½ years. Objectives and limitations of the VaR methodology

The APT model uses statistical factor techniques to measure the effects of these risk variables on the value of the Fund. The VaR model is designed to measure market risk in a normal market environment.

The use of VaR has limitations because it is based on historical correlations and volatilities in market prices and assumes that future price movements will follow a statistical distribution. Due to the fact that VaR relies significantly on historical data to provide information and may not clearly predict the future changes and modifications of the risk factors, the probability of large market moves may be underestimated if changes in risk factors fail to align with the given distribution assumption. VaR may also be under- or over-estimated due to the assumption placed on risk factors and the relationship between such factors for specific instruments.

Even though positions may change throughout the day, the VaR only represents the risk of the portfolios at the close of each business day, and it does not account for any losses that may occur beyond the 99% confidence level. In practice, the actual trading results will differ from the VaR calculation and, in particular, the calculation does not provide a meaningful indication of profits and losses in stressed market conditions. To determine the reliability of the VaR models, actual outcomes are monitored regularly to test the validity of the assumptions and the parameters used in the VaR calculation. Market risk positions are also subject to regular stress tests to ensure that the Fund would withstand an extreme market event.

47 Baillie Gifford Emerging Markets Bond Fund September 2020

Distribution Tables

Interim distribution for the period ended 31 December 2019

Group 1 : shares purchased prior to 1 October 2019 Group 2 : shares purchased 1 October 2019 to 31 December 2019

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 28.02.20) 28.02.19)

31.12.19 31.12.19 31.12.19 31.12.18 pence per share pence per share pence per share pence per share

A Income Group 1 0.70000 - 0.70000 0.70000 Group 2 - 0.70000 0.70000 0.70000

B Accumulation Group 1 1.00000 - 1.00000 1.00000 Group 2 - 1.00000 1.00000 1.00000

B Income Group 1 0.85000 - 0.85000 0.85000 Group 2 0.20428 0.64572 0.85000 0.85000

C Accumulation Group 1 2.00000 - 2.00000 2.00000 Group 2 0.68174 1.31826 2.00000 2.00000

48 Baillie Gifford Emerging Markets Bond Fund September 2020

Distribution Tables cont.

Interim distributions for the period ended 31 March 2020

Group 1 : shares purchased prior to 1 January 2020 Group 2 : shares purchased 1 January 2020 to 31 March 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 31.05.20) 31.05.19)

31.03.20 31.03.20 31.03.20 31.03.19 pence per share pence per share pence per share pence per share

A Income Group 1 0.70000 - 0.70000 0.70000 Group 2 - 0.70000 0.70000 0.70000

B Accumulation Group 1 1.00000 - 1.00000 1.00000 Group 2 - 1.00000 1.00000 1.00000

B Income Group 1 0.80000 - 0.80000 0.85000 Group 2 - 0.80000 0.80000 0.85000

C Accumulation Group 1 1.50000 - 1.50000 2.00000 Group 2 - 1.50000 1.50000 2.00000

49 Baillie Gifford Emerging Markets Bond Fund September 2020

Distribution Tables cont.

Interim distribution for the period ended 30 June 2020

Group 1 : share purchased prior to 1 April 2020 Group 2 : share purchased 1 April 2020 to 30 June 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 31.08.20) 31.08.19)

30.06.20 30.06.20 30.06.20 30.06.19 pence per share pence per share pence per share pence per share

A Income Group 1 0.70000 - 0.70000 0.70000 Group 2 - 0.70000 0.70000 0.70000

B Accumulation Group 1 1.00000 - 1.00000 1.00000 Group 2 - 1.00000 1.00000 1.00000

B Income Group 1 0.80000 - 0.80000 0.85000 Group 2 - 0.80000 0.80000 0.85000

C Accumulation Group 1 1.50000 - 1.50000 2.00000 Group 2 1.50000 - 1.50000 2.00000

50 Baillie Gifford Emerging Markets Bond Fund September 2020

Distribution Tables cont.

Final distribution for the period ended 30 September 2020

Group 1 : shares purchased prior to 1 July 2020 Group 2 : shares purchased 1 July 2020 to 30 September 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.11.20) 31.08.19)

30.09.20 30.09.20 30.09.20 30.09.19 pence per share pence per share pence per share pence per share

A Income Group 1 2.86000 - 2.86000 2.91000 Group 2 0.25836 2.60164 2.86000 2.91000

B Accumulation Group 1 4.42000 - 4.42000 4.98000 Group 2 0.88395 3.53605 4.42000 4.98000

B Income Group 1 2.53000 - 2.53000 3.13000 Group 2 0.68025 1.84975 2.53000 3.13000

C Accumulation Group 1 5.88000 - 5.88000 6.42000 Group 2 0.78376 5.09624 5.88000 6.42000

51 Baillie Gifford Emerging Markets Bond Fund September 2020

52 BAILLIE GIFFORD

Baillie Gifford High Yield Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Annual Report and Financial Statements for the year ended 30 September 2020

53 Baillie Gifford High Yield Bond Fund September 2020

Baillie Gifford High Yield Bond Fund

Investment Objective The indicator does not take into account the following relevant material risks: The Fund aims to produce a combination of income and Investment markets can go down as well as up and capital growth. market conditions can change rapidly. The value of an investment in the Fund, and any income from it, can fall Investment Policy as well as rise and you may not get back the amount invested. The Fund will invest at least 80% in sub-investment Custody of assets involves a risk of loss if the grade bonds. The Fund may also invest in other bonds. custodian becomes insolvent or breaches duties of care. The bonds in which the Fund invests will be Bonds issued by companies and governments may be denominated in sterling or denominated in other adversely affected by changes in interest rates, currencies and hedged back to sterling. Currency expectations of inflation and a decline in the forwards and derivatives, which are types of financial creditworthiness of the bond issuer. The issuers of bonds contracts, are used for both investment purposes and in in which the Fund invests may not be able to pay the the management of risk. The Fund will be actively bond income as promised or could fail to repay the managed. capital amount. The Fund’s concentrated portfolio relative to similar Risk and Reward Profile funds may result in large movements in the share price in the short term. The Risk and Reward Indicator table demonstrates where Derivatives may be used to obtain, increase or reduce the Fund ranks in terms of its potential risk and reward. exposure to assets and may result in the Fund being The higher the rank the greater the potential reward but leveraged. This may result in greater movements (down the greater the risk of losing money. It is based on past or up) in the price of shares in the Fund. It is not our data, may change over time and may not be a reliable intention that the use of derivatives will significantly indication of the future risk profile of the Fund. The alter the overall risk profile of the Fund. shaded area in the table below shows the Fund’s ranking on the Risk and Reward Indicator. Market values for securities which are difficult to trade may not be readily available, and there can be no assurance that any value assigned to them will reflect the price the Fund might receive upon their sale. In certain circumstances it can be difficult to buy or sell the Fund’s holdings and even small purchases or sales can cause Please note that even the lowest risk class can lose you their prices to move significantly, affecting the value of money and that extreme adverse market circumstances the Fund and the price of shares in the Fund. can mean you suffer severe losses in all cases. The process for the UK to exit the European Union The Fund is classified in the category above because it introduces elements of political uncertainty and may invests in corporate bonds which generally provide have practical consequences for the Fund. Developments higher rewards and higher risks than other investments will be closely monitored. such as government bonds and cash. Infectious viruses may pose significant threats to human health and may be highly disruptive to global economies and markets. The economic and market

54 Baillie Gifford High Yield Bond Fund September 2020

Baillie Gifford High Yield Bond Fund cont.

disruptions caused by infectious viruses could impact the value of the investments of the Fund and the distributions paid by the Fund to shareholders. Further details of the risks associated with investing in the Fund can be found in the Prospectus which is available by contacting Client Relations or visiting our website.

Fees Allocated to Capital

With effect from 1 October 2019, for distribution purposes, all expenses of the Fund are allocated to capital. This will reduce the capital value of the Fund.

55 Baillie Gifford High Yield Bond Fund September 2020

Investment Report

Past Performance The performance figures shown in this graph are for Class B Income Shares. Performance figures reflect the ACD’s annual fee of 0.35%, 8.9 9.2 10 8.5 but exclude any initial charge paid. Please note these returns differ 7.4 6.8 4.7 from the returns quoted in the Investment Report, which are based on the closing mid prices on the last business day. Performance figures 2.0 1.4 0.3 for the other share classes in issue can be obtained by contacting % 0 Client Relations. You should be aware that past performance is not a -0.4 guide to future performance.

-10 30/09/2015 to 30/09/2016 to 30/09/2017 to 30/09/2018 to 30/09/2019 to 30/09/2016 30/09/2017 30/09/2018 30/09/2019 30/09/2020 Baillie Gifford High Yield Bond Fund B Income Shares¹ Investment Association Sterling High Yield Bond sector median²

The investment objective of the Fund is to produce a by companies with durable competitive positions and combination of income and capital growth. For the year appropriate capital structures. This has led us to own to 30 September 2020, the return on B Income Shares companies with strong balance sheets, many of which are was 0.3%3 compared to the return on the Investment now in a position to strengthen their competitive Association Sterling High Yield Bond sector median of advantage. Our approach has been rewarded as markets -0.4%2. During the year income totalling 5.74 pence per have started to recover with bond selection contributing share was declared for B Income Shares. As we believe to solid outperformance in the second half of the period. short-term performance measurements to be of limited Among companies that recovered strongly since March relevance in assessing investment ability, we would urge were: automotive supplier, Novem Group; oil and gas investors to focus on longer timeframes. The annualised company, Neptune; and gaming company, International three-year return on B Income Shares was 2.9%3 Game Technology. compared to the sector median of 1.9%2. During the period, we regularly conducted in-depth Despite the unprecedented events that have taken assessments of the holdings we considered to be affected place this year, the valuation of high yield indices ended by the crisis. As a result, we sold a number of bonds the period in a similar position to the start. The spread of where the resilience of the issuer had significantly coronavirus (Covid-19), and its impact on economic deteriorated. Examples include: Wesco, a company that activity due to wide-spread lockdowns, had a severe provides supply chain management services to the impact on high yield companies. However, following a aerospace industry; and Pure Gym, a UK based health sell-off in March, high yield rallied as markets responded club chain. Given the new economic environment in to the significant efforts of governments and central which they must operate and uncertainty regarding the banks to stimulate economies and minimise the rise in reopening of their respective markets, we did not feel unemployment. these companies commanded the fundamental strength required to navigate their way through the challenges The Fund has outperformed the sector median due to ahead. bottom-up bond selection and an emphasis on resilience. Our approach focuses on delivering resilience through the economic cycle, holding a portfolio of bonds issued

1Source: FE, 10am dealing prices, income reinvested, after charges. 2Source: FE and relevant underlying index provider, total return. Please see Disclaimer on page 198. 3Source: Baillie Gifford & Co Limited, closing mid prices, income reinvested, after charges. You should be aware that past performance is not a guide to future performance. 56 Baillie Gifford High Yield Bond Fund September 2020

Investment Report cont.

From a long-term perspective, market volatility has opened up opportunities to allocate to resilient companies at attractive valuations. One example is PVH which is one of the largest branded apparel companies in the world, with a history going back 135 years. The company owns two large global brands, Tommy Hilfiger and Calvin Klein, as well as others. Its core product – loungewear – is enjoying tremendous growth in lockdown via online distribution channels. While the social and economic implications of Covid-19 will marginally impact this company, we believe it has the longevity of brands and financial health to navigate its way through the crisis.

Baillie Gifford & Co, 29 October 2020

57 Baillie Gifford High Yield Bond Fund September 2020

Principal Bond Holdings as at 30 September 2020

Investment Percentage of total Fund Netflix 4.625% 2029 2.63 Unicredit 4.875% 2024/29 1.98 Darling Ingredients 3.625% 2026 1.98 First Cash 4.625% 2028 (144A) 1.84 Co-operative Group 7.5% 2026 1.80 Virgin Media 5% 2027 1.67 LeasePlan 7.375% 2024 Perp AT1 1.67 James Hardie 3.625% 2026 1.62 Cheniere Energy 4.625% 2028 (144A) 1.62 Dometic Group 3% 2026 1.56

58 Baillie Gifford High Yield Bond Fund September 2020

Material Portfolio Changes for the year ended 30 September 2020

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 First Cash 4.625% 2028 (144A) 14,726 Residomo 3.375% 2024 14,481 Sappi 3.125% 2026 13,623 Garrett Motion 5.125% 2026 12,194 Cheniere Energy 4.625% 2028 (144A) 13,059 First Cash 5.375 2024 11,536 SPCM 2.625% 2029 12,989 International Game Technology 3.5% 2026 11,323 PaymentSense 8% 2025 12,051 Scientific Game 3.375% 2026 11,129 Avantor 3.875% 2028 11,965 Pinnacle Bid 6.375 2025 10,792 B&M European Value Retail 3.625% 2025 11,950 Interxion 4.75% 2025 9,942 CPI Property 4.875% 2025 Perp 11,870 Sappi Papier 4 2023 9,747 EDP 4.496% 2024/79 10,162 SNF 2.875% 2023 9,140 Grifols Worldwide 1.625% 2025 10,104 Banijay Group 4 2022 8,729

The largest purchases and sales of bonds have been shown.

59 Baillie Gifford High Yield Bond Fund September 2020

Portfolio Statement as at 30 September 2020

Stock description Holding Market %oftotal value £’000 net assets

Automotive - 2.20% (5.83%) Nemak 3.25% 2024 9,942,000 8,826 1.08 Novem Group FRN 2024 10,730,000 9,161 1.12

Banking - 3.98% (2.93%) Sainsbury Bank 6% 2022/27 7,898,000 7,961 0.98 Svenska Handelsbanken 4.375% 2027 Perp 10,600,000 8,341 1.02 Unicredit 4.875% 2024/29 16,855,000 16,186 1.98

Basic Industry - 11.52% (9.80%) Alcoa 7% 2026 144A 10,235,000 8,293 1.02 Cemex 2.75% 2024 4,614,000 4,143 0.51 Enviva Partners 6.5% 2026 (144A) 7,772,000 6,335 0.78 Italmatch Chemicals FRN 2024 9,110,000 7,334 0.90 James Hardie 3.625% 2026 14,391,000 13,235 1.62 James Hardie 4.75% 2025 (144A) 5,690,000 4,495 0.55 OCI 3.125% 2024 9,565,000 8,611 1.05 OCI 3.625% 2025 4,500,000 4,082 0.50 OCI 5% 2023 (144A) 4,060,000 3,767 0.46 Sappi 3.125% 2026 9,690,000 7,428 0.91 SNF 4.875% 2025(144A) 8,290,000 6,637 0.81 SPCM 2.625% 2029 14,050,000 12,680 1.55 Victoria 5.25% 2024 7,830,000 7,054 0.86

Capital Goods - 6.53% (7.54%) Ardagh Packaging 2.125% 2026 (Jun20) 10,650,000 9,360 1.15 Ardagh Packaging 4.75% 2027 12,020,000 12,047 1.47 Belden 2.875% 2025 12,222,000 10,800 1.32 Colfax 3.25% 2025 12,336,000 11,192 1.37 Progroup Ag 3% 2026 9,000,000 8,072 0.99 Sealed Air 6.875% 2033 (144A) 1,881,000 1,866 0.23

60 Baillie Gifford High Yield Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Consumer Goods - 1.51% (1.63%) Herbalife Nutrition 7.25% 2026 144A 15,555,000 12,336 1.51

Energy - 3.31% (1.53%) Cheniere Energy 4.625% 2028 (144A) 16,630,000 13,198 1.62 Laredo Petroleum 10.125% 2028 7,630,000 3,389 0.41 Neptune 6.625% 2025 9,830,000 6,782 0.83 Sunpower 4% 2023 Convertible 5,048,000 3,701 0.45

Financial Services - 9.82% (8.63%) Allfunds 4.125% 2024 PIK 13,588,438 12,290 1.51 First Cash 4.625% 2028 (144A) 19,020,000 15,025 1.84 Jefferies Finance 6.25% 2026 (144A) 10,225,000 8,082 0.99 LeasePlan 7.375% 2024 Perp AT1 14,900,000 13,632 1.67 PaymentSense 8% 2025 11,817,000 12,315 1.51 SoftBank 4.5% 2025 11,892,000 11,308 1.38 Softbank 5% 2028 1,810,000 1,737 0.21 Target Hospitality 9.5% 2024 (144A) 9,067,000 5,830 0.71

Health Care - 5.73% (3.51%) Avantor 3.875% 2028 13,220,000 12,266 1.50 Catalent 5% 2027 (144A) 9,700,000 7,803 0.95 Grifols Worldwide 1.625% 2025 11,650,000 10,425 1.28 IQVIA 3.25% 2025 10,465,000 9,547 1.17 Unilabs 5.75% 2025 7,475,000 6,798 0.83

Insurance - 6.30% (6.36%) Brit Insurance 6.625% 2020/30 5,679,000 5,410 0.66 Hiscox 6.125% 2025/45 9,039,000 9,911 1.22 Pension Insurance 6.5% 2024 9,722,000 11,381 1.39 Pension Insurance 8% 2026 4,519,000 5,836 0.72 Phoenix Life 7.25% 2021 Perp 9,227,000 9,339 1.14

61 Baillie Gifford High Yield Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Rothesay Life 8% 2025 7,712,000 9,580 1.17

Leisure - 1.34% (6.45%) Carnival 11.5% 2023 (144A) 6,300,000 5,461 0.67 Codere 6.75% 2021 4,000,000 1,883 0.23 International Game Technology 3.5% 2026 4,190,000 3,601 0.44

Media - 11.62% (9.24%) Banijay 3.5% 2025 5,905,000 5,215 0.64 Digi Communications 3.25% 2028 11,300,000 9,762 1.19 Graham Holdings 5.75% 2026 (144A) 9,780,000 7,962 0.97 Match.com 5% 2027 144A 9,639,000 7,866 0.96 Match.com 5.625% 2029 144A 2,883,000 2,403 0.29 Netflix 4.625% 2029 20,486,000 21,463 2.63 Townsquare 6.5% 2023 (144A) 5,420,000 3,841 0.47 Virgin Media 5% 2027 13,080,000 13,669 1.67 Virgin Media RFN 4.875% 2028 4,690,000 4,725 0.58 VodafoneZiggo VFN 2.5% 2024 9,350,000 8,311 1.02 VTR Comunicaciones 5.125% 2028 2,110,000 1,688 0.21 Ziggo 2.875% 2030 9,140,000 8,083 0.99

Real Estate - 3.79% (6.18%) Aroundtown Properties 3.75% 2023 Perp 13,300,000 12,151 1.49 CPI Property 4.875% 2025 Perp 13,020,000 11,549 1.41 Equinix 2.875% 2025 7,893,000 7,257 0.89

Retail - 8.47% (7.70%) B&M European Value Retail 3.625% 2025 11,890,000 12,094 1.48 Co-operative Group 7.5% 2026 12,633,000 14,751 1.80 Hanesbrands 3.5% 2024 7,693,000 7,240 0.89 Liberty Interactive 4% 2029 Convertible 12,848,000 7,409 0.91 PVH 3.125% 2027 9,330,000 8,515 1.04 Sally 8.75% 2025 (144A) 8,960,000 7,589 0.93

62 Baillie Gifford High Yield Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Travis Perkins 4.5% 2023 11,554,000 11,618 1.42

Services - 6.33% (6.05%) Darling Ingredients 3.625% 2026 17,553,000 16,185 1.98 Dometic Group 3% 2026 14,085,000 12,712 1.56 Frontdoor 6.75% 2026 144A 8,150,000 6,714 0.82 Paprec 4% 2025 14,462,000 12,494 1.53 Sarens 5.75% 2027 4,600,000 3,630 0.44

Technology & Electronics - 1.96% (1.11%) Dell 7.1% 2028 10,440,000 9,829 1.20 Sensata Technologies 5.625% 2024 (144A) 7,380,000 6,194 0.76

Telecommunications - 8.82% (8.43%) Arqiva Group 6.75% 2023 10,382,000 10,707 1.31 Cincinnati Bell 8% 2025 (144A) 7,615,000 6,229 0.76 Cogent Communications 4.375% 2024 12,241,000 11,266 1.38 Millicom 6% 2025 144A 11,575,000 9,177 1.12 Millicom 6.625% 2026 (144A) 7,636,000 6,335 0.78 TalkTalk 3.875% 2025 8,410,000 8,112 0.99 Telecom Italia 2.5% 2023 7,173,000 6,669 0.82 Telecom Italia 4% 2024 5,788,000 5,565 0.68 Telecom Italia 5.25% 2055 7,600,000 7,986 0.98

Transportation - 0.35% (0.00%) EMPARQ 1.875% 01/02/2028 3,503,000 2,852 0.35

Utilities - 2.74% (2.86%) EDF 6% 2026 Perp 11,000,000 11,845 1.45 EDP 4.496% 2024/79 10,800,000 10,568 1.29

63 Baillie Gifford High Yield Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Derivatives - 1.47% (1.39%) Forward currency contracts (see Table 1) 12,005 1.47

Portfolio of investments 799,007 97.79

Net other assets - 2.21% (2.83%) 18,089 2.21

Net assets 817,096 100.00

Please note: figures are based on market values rather than economic exposure. Unless otherwise stated the above holdings are in fixed interest securities. Figures in brackets in the investment category headings refer to 30 September 2019.

Table 1: Unrealised gains/(losses) on open forward currency contracts Unrealised gains/(losses) % of total Counterparty Settlement Buy Buy Amount Sell Sell Amount £’000 net assets

HSBC 22/10/20 GBP 430,280,203 EUR 463,135,000 10,041 1.23 Royal Bank of Scotland 22/10/20 GBP 198,045,534 USD 253,525,000 1,964 0.24 Unrealised gains/(losses) on open forward currency contracts 12,005 1.47

64 Baillie Gifford High Yield Bond Fund September 2020

Comparative Tables

Comparative Table: A Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 130.65 127.53 130.01

Return before operating charges* 0.60 8.81 3.11 Operating charges (1.30) (1.31) (1.33)

Return after operating charges* (0.70) 7.50 1.78

Distributions on income shares (5.55) (4.38) (4.26) Closing net asset value per share 124.40 130.65 127.53

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges (0.54)% 5.88% 1.37%

Other Information: Closing net asset value (£’000) 14,907 15,906 14,700 Closing number of shares 11,982,612 12,174,518 11,526,980 Operating charges 1.02% 1.02% 1.02% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 134.0 133.7 132.9 Lowest share price (pence) 105.2 122.3 127.9

65 Baillie Gifford High Yield Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 252.15 236.39 231.68

Return before operating charges* 1.44 16.66 5.61 Operating charges (0.92) (0.90) (0.90)

Return after operating charges* 0.52 15.76 4.71

Distributions (10.86) (9.80) (9.22)

Retained distributions on accumulation shares 10.86 9.80 9.22

Closing net asset value per share 252.67 252.15 236.39

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 0.21% 6.67% 2.03%

Other Information: Closing net asset value (£’000) 440,116 353,550 210,266 Closing number of shares 174,187,889 140,213,442 88,947,291 Operating charges 0.37% 0.37% 0.38% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 260.7 254.2 238.6 Lowest share price (pence) 204.9 228.5 233.1

66 Baillie Gifford High Yield Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 134.79 131.55 134.12

Return before operating charges* 0.61 9.12 3.22 Operating charges (0.49) (0.49) (0.51)

Return after operating charges* 0.12 8.63 2.71

Distributions on income shares (5.74) (5.39) (5.28) Closing net asset value per share 129.17 134.79 131.55

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 0.09% 6.56% 2.02%

Other Information: Closing net asset value (£’000) 223,821 215,890 192,507 Closing number of shares 173,276,405 160,171,997 146,337,417 Operating charges 0.37% 0.37% 0.38% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 138.4 138.4 137.2 Lowest share price (pence) 108.8 126.2 132.2

67 Baillie Gifford High Yield Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 382.83 357.64 349.29

Return before operating charges* 2.21 25.26 8.46 Operating charges (0.08) (0.07) (0.11)

Return after operating charges* 2.13 25.19 8.35

Distributions (16.52) (16.14) (15.16)

Retained distributions on accumulation shares 16.52 16.14 15.16

Closing net asset value per share 384.96 382.83 357.64

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 0.56% 7.04% 2.39%

Other Information: Closing net asset value (£’000) 137,941 130,195 40,680 Closing number of shares 35,832,726 34,008,600 11,374,500 Operating charges 0.02% 0.02% 0.03% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 396.4 385.9 360.1 Lowest share price (pence) 311.6 346.1 351.4

68 Baillie Gifford High Yield Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 140.84 137.46 140.15

Return before operating charges* 0.59 9.55 3.35 Operating charges (0.03) (0.03) (0.04)

Return after operating charges* 0.56 9.52 3.31

Distributions on income shares (5.95) (6.14) (6.00) Closing net asset value per share 135.45 140.84 137.46

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 0.40% 6.93% 2.36%

Other Information: Closing net asset value (£’000) 311 1 1 Closing number of shares 229,500 500 500 Operating charges 0.02% 0.02% 0.03% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 144.7 144.8 143.4 Lowest share price (pence) 113.7 131.9 138.2 1Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts. A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

69 Baillie Gifford High Yield Bond Fund September 2020

Financial Statements

Statement of Total Return for the year ended 30 September 2020

2020 2019 Notes £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 1 (31,179) 20,131 Revenue 3 33,107 26,521 Expenses 4 (2,410) (1,833)

Net revenue before taxation 30,697 24,688 Taxation 5 - - Net revenue after taxation 30,697 24,688

Total return before distributions (482) 44,819 Distributions 6 (33,107) (24,688) Change in net assets attributable to shareholders from investment activities (33,589) 20,131

Statement of Change in Net Assets Attributable to Shareholders for the year ended 30 September 2020

2020 2019 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 715,542 458,154 Amounts receivable on issue of shares 182,604 376,002 Amounts payable on cancellation of shares (72,347) (157,948)

110,257 218,054 Dilution adjustment 988 1,697 Change in net assets attributable to shareholders from investment activities (33,589) 20,131 Retained distributions on accumulation shares 23,898 17,506 Closing net assets attributable to shareholders 817,096 715,542

70 Baillie Gifford High Yield Bond Fund September 2020

Financial Statements cont.

Balance Sheet as at 30 September 2020

2020 2019 Notes £’000 £’000

Assets: Fixed assets: Investments 13 799,007 695,324 Current assets: Debtors 8 26,950 36,865 Cash and bank balances 9 19,575 22,611 Total assets 845,532 754,800

Liabilities: Creditors: Bank overdrafts 9 (81) (85) Distributions payable (5,391) (4,309) Other creditors 10 (22,964) (34,864)

Total liabilities (28,436) (39,258) Net assets attributable to shareholders 817,096 715,542

71 Baillie Gifford High Yield Bond Fund September 2020

Notes to the Financial Statements

1 Net capital gains/(losses) 2020 2019 £’000 £’000

Non-derivative securities (26,087) 20,695 Derivative contracts 129 (961) Forward currency contracts (5,158) 1,184 Currency gains/(losses) (60) (782) Transaction costs (3) (5) Net capital gains/(losses) (31,179) 20,131

2 Purchases, sales and transaction costs 2020 2019 £’000 £’000

Purchases and transaction costs Gross purchases of bonds excluding transaction costs1 435,344 552,999 Purchases including transaction costs 435,344 552,999

1There were no transaction costs on the purchase of bonds.

2020 2019 £’000 £’000

Sales and transaction costs Gross sales of bonds excluding transaction costs1 306,246 325,734 Sales net of transaction costs 306,246 325,734

1There were no transaction costs on the sale of bonds.

2020 2019 £’000 £’000

Transaction cost on derivative contracts Commission on trading futures contracts 32

72 Baillie Gifford High Yield Bond Fund September 2020

Notes to the Financial Statements cont.

2 Purchases, sales and transaction costs (continued)

2020 2019 £’000 % of average £’000 % of average NAV NAV

Portfolio transaction costs Commissions 3 0.00 2 0.00 Taxes - 0.00 - 0.00 Total direct transaction costs 3 0.00 2 0.00

2020 2019 %% Average portfolio dealing spread 1.06 0.50

Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts.

A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

Dealing spread is the difference in the buying and selling prices of the underlying investments. Dealing spreads vary considerably depending on the transaction value and market sentiment. The Fund may have holdings in single priced funds. The notional spread on these holdings is not included in the average dealing spread calculated for this Fund.

3 Revenue 2020 2019 £’000 £’000

Interest on debt securities 33,089 26,442 Bank interest 18 73 Other income -6 Total revenue 33,107 26,521

73 Baillie Gifford High Yield Bond Fund September 2020

Notes to the Financial Statements cont.

4 Expenses 2020 2019 £’000 £’000

Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 2,285 1,744

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary’s fee 63 51 Bank charges 49 31

112 82

Other expenses: Audit fee 13 7 Total expenses 2,410 1,833

5 Taxation 2020 2019 £’000 £’000

Analysis of charge in the year Corporation tax -- Total taxation --

The Fund is subject to corporation tax at 20% (2019: 20%), however, the Fund is a bond fund making interest distributions and the interest distributions made by the Fund are allowable in arriving at the amount of revenue liable to tax. As a result, this has reduced the corporation tax liability of the Fund to nil.

The deduction of the interest distribution has been restricted to reflect the priority utilisation of the management expenses incurred by the Fund in the year, as per regulation 13(1A) of SI 2006/964. This results in no excess management expenses or interest distribution being carried forward. The tax charge is explained as follows: 2020 2019 £’000 £’000

Net revenue/(expense) before taxation 30,697 24,688 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (2019: 20%) 6,139 4,938 Effects of: Interest distributions (6,621) (4,938) Management expenses charged to capital 482 - Total taxation --

74 Baillie Gifford High Yield Bond Fund September 2020

Notes to the Financial Statements cont.

6 Distributions 2020 2019 £’000 £’000

Interim to 31 December 5,199 3,421 Interim to 31 March 5,294 4,874 Interim to 30 June 5,356 4,446 Final to 30 September 18,480 13,595

34,329 26,336 Amounts deducted on cancellation of shares 849 1,565 Amounts added on issue of shares (2,071) (3,213) Total distributions 33,107 24,688

The distributions take account of revenue transactions on the issue and cancellation of shares. Details of the distributions per share are set out in the Distribution Tables.

7 Reconciliation of net revenue to net distributions for the year 2020 2019 £’000 £’000

Net revenue after taxation for the year 30,697 24,688 Add expenses allocated to capital 2,410 - Net distributions for the year 33,107 24,688

8 Debtors 2020 2019 £’000 £’000

Receivable for issue of shares 953 14,719 Sales awaiting settlement 13,884 11,316 Accrued income 12,106 10,818 VAT recoverable 1- Other debtors 612 Total debtors 26,950 36,865

9 Cash and bank balances 2020 2019 £’000 £’000

Sterling bank accounts 19,575 22,611 Foreign currency bank accounts overdrawn (81) (85) Total cash and bank balances 19,494 22,526

75 Baillie Gifford High Yield Bond Fund September 2020

Notes to the Financial Statements cont.

10 Other creditors 2020 2019 £’000 £’000

Payable for cancellation of shares 392 76 Purchases awaiting settlement 16,471 24,962 Due to the ACD or associates 225 177 Due to the Depositary or associates 16 9 Collateral held on behalf of counterparty 5,850 9,635 Other accrued expenses 10 5 Total other creditors 22,964 34,864

11 Related party transactions Baillie Gifford & Co Limited, as ACD, is regarded as a related party by virtue of the services provided to the Company. Baillie Gifford & Co Limited acts as principal in respect of all transactions of shares in the Company, except where stocks are transferred on the issue or cancellation of shares. The aggregate monies received through issue and paid on cancellation are disclosed in the Statement of Change in Net Assets Attributable to Shareholders. Amounts receivable and payable on the issue and cancellation of shares have been disclosed in notes 8 and 10 respectively.

Amounts paid to Baillie Gifford & Co Limited in respect of ACD fees are disclosed in note 4 with amounts due at the year end given in note 10. Shares held by the ACD and associates of the ACD The shares held by the ACD and associates of the ACD as a percentage of the Fund’s NAV were: 2020 2019 % % ACD and associates of the ACD 16.65 18.12

12 Reconciliation of shares in issue 2020 A Income B Accumulation B Income C Accumulation C Income Shares Shares Shares Shares Shares

Opening shares in issue 12,174,518 140,213,442 160,171,997 34,008,600 500 Shares issued 2,408,750 47,389,812 34,629,434 3,368,941 3,619,800 Shares cancelled (1,823,399) (13,406,316) (22,294,779) (1,544,815) (3,390,800) Shares converted (777,257) (9,049) 769,753 - - Closing shares in issue 11,982,612 174,187,889 173,276,405 35,832,726 229,500

76 Baillie Gifford High Yield Bond Fund September 2020

Notes to the Financial Statements cont.

13 Basis of valuation 2020 2019 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000

Level 1: Quoted prices ---- Level 2: Observable market data 799,007 - 695,324 - Level 3: Unobservable data ---- Total 799,007 - 695,324 -

14 Credit ratings 2020 2019 Market value Percentage of Market value Percentage of Rating Block £’000 total Fund £’000 total Fund

Investment Grade 82,312 10.07 82,840 11.58 High Yield 704,690 86.24 602,513 84.20

Total Bonds - Direct 787,002 96.31 685,353 95.78 Other 30,094 3.69 30,189 4.22 Net Assets 817,096 100.00 715,542 100.00

15 Derivatives and other financial instruments Currency exposures A proportion of the net assets of the Fund are denominated in currencies other than sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Currency Net currency assets/(liabilities) Net currency assets/(liabilities) 2020 2019 Monetary Non-monetary Total Monetary Non-monetary Total exposures exposures exposures exposures £’000 £’000 £’000 £’000 £’000 £’000

Euro - (5,348) (5,348) - (6,333) (6,333) UK sterling 13,725 799,626 813,351 12,976 703,121 716,097 US dollar (81) 4,729 4,648 (85) (1,463) (1,548) Short term debtors and creditors have not been disclosed.

77 Baillie Gifford High Yield Bond Fund September 2020

Notes to the Financial Statements cont.

15 Derivatives and other financial instruments (continued) Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the Fund was: 2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial assets £’000 financial financial assets £’000 assets assets not carrying assets assets not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Euro 16,495 398,395 - 414,890 15,193 387,999 - 403,192 UK sterling 19,575 171,300 628,326 819,201 22,611 140,789 562,332 725,732 US dollar - 200,811 - 200,811 - 141,373 - 141,373

2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial liabilities £’000 financial financial liabilities £’000 liabilities liabilities not carrying liabilities liabilities not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Euro - - 420,239 420,239 - - 409,525 409,525 UK sterling 5,850 - - 5,850 9,635 - - 9,635 US dollar 81 - 196,082 196,163 85 - 142,836 142,921

16 Derivative Exposure The exposure to derivative counterparties was: 2020 2019 Counterparty Forward Cash Total Forward Cash Total currency collateral exposure currency collateral exposure contracts held contracts held £’000 £’000 £’000 £’000 £’000 £’000

HSBC 10,041 (5,190) 4,851 8,058 (7,230) 828 JP Morgan Chase - - - - (205) (205) Royal Bank of Canada - - - 844 (710) 134 Royal Bank of Scotland 1,964 (660) 1,304 1,049 (1,490) (441) Standard Chartered Bank - - - 20 - 20

Collateral pledged on derivatives was zero. In addition, the Fund trades futures contracts through UBS. Fair value movements are offset by movements in the variation margin account which reduces the derivative counterparty exposure to nil.

78 Baillie Gifford High Yield Bond Fund September 2020

Notes to the Financial Statements cont.

17 Value at risk (VaR) The market risk of the Fund’s financial asset and liability positions is monitored by the Investment Adviser using VaR analysis. VaR analysis attempts to reflect the interdependencies between risk variables, unlike a traditional sensitivity analysis. VaR represents the potential losses from adverse changes in market factors for a specified time period and confidence level.

Model assumptions: System FIS Advanced Portfolio Technologies (APT) VaR methodology: variance convariance approcach (with delta-adjustment) Confidence level: 99% Holding period: 1month Decay factor for exponential smoothing of historical market data: nil Historical observation period: 180 weeks

2020 2019 %%

Fund VaR: 3.27 1.31 Index VaR: 2.83 1.32

The VaR noted above indicates the VaR of the Fund’s financial instruments, measured as the potential 1 month loss in value from adverse changes in equity prices, interest rates, inflation and foreign currency exchange rates, with a 99% confidence level.

In combination with a snapshot of the portfolio and benchmark constituents at a given point in time, the APT risk model uses 180 weeks of historic data to formulate a prediction of risk over a desired time period. In the case of VaR numbers, the risk model produces a 1-month prediction of 99% VaR. The decay factor for exponential smoothing of the historic market data refers to how the risk model uses more recent data in its historic data window compared to older data. Using a positive decay factor would mean that the risk model is placing more importance on more recent data than on older data in formulating its prediction of risk – this would result in the risk model being more short-term in nature, and increasingly geared to short-term recent events. The decay factor used in the APT risk model for calculating VaR numbers is nil. This means that each of the 180 weeks of historic data used by the risk model are treated with equal importance in the model’s calculation of predicted risk. This means that the risk model’s prediction of risk will be influenced by the average variances and covariances of portfolio and benchmark constituents over the past 3½ years. Objectives and limitations of the VaR methodology

The APT model uses statistical factor techniques to measure the effects of these risk variables on the value of the Fund. The VaR model is designed to measure market risk in a normal market environment. The use of VaR has limitations because it is based on historical correlations and volatilities in market prices and assumes that future price movements will follow a statistical distribution. Due to the fact that VaR relies significantly on historical data to provide information and may not clearly predict the future changes and modifications of the risk factors, the probability of large market moves may be underestimated if changes in risk factors fail to align with the given distribution assumption. VaR may also be under- or over-estimated due to the assumption placed on risk factors and the relationship between such factors for specific instruments. Even though positions may change throughout the day, the VaR only represents the risk of the portfolios at the close of each business day, and it does not account for any losses that may occur beyond the 99% confidence level. In practice, the actual trading results will differ from the VaR calculation and, in particular, the calculation does not provide a meaningful indication of profits and losses in stressed market conditions. To determine the reliability of the VaR models, actual outcomes are monitored regularly to test the validity of the assumptions and the parameters used in the VaR calculation. Market risk positions are also subject to regular stress tests to ensure that the Fund would withstand an extreme market event.

79 Baillie Gifford High Yield Bond Fund September 2020

Distribution Table

Interim distribution for the period ended 31 December 2019

Group 1 : shares purchased prior to 1 October 2019 Group 2 : shares purchased 1 October 2019 to 31 December 2019

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 28.02.20) 28.02.19)

31.12.19 31.12.19 31.12.19 31.12.18 pence per share pence per share pence per share pence per share

A Income Group 1 0.80000 - 0.80000 0.80000 Group 2 0.07859 0.72141 0.80000 0.80000

B Accumulation Group 1 1.60000 - 1.60000 1.60000 Group 2 0.35747 1.24253 1.60000 1.60000

B Income Group 1 0.95000 - 0.95000 0.95000 Group 2 0.28014 0.66986 0.95000 0.95000

C Accumulation Group 1 3.15000 - 3.15000 3.15000 Group 2 0.82563 2.32437 3.15000 3.15000

C Income Group 1 1.10000 - 1.10000 1.10000 Group 2 1.10000 - 1.10000 1.10000

80 Baillie Gifford High Yield Bond Fund September 2020

Distribution Table cont.

Interim distributions for the period ended 31 March 2020

Group 1 : shares purchased prior to 1 January 2020 Group 2 : shares purchased 1 January 2020 to 31 March 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 31.05.20) 31.05.19)

31.03.20 31.03.20 31.03.20 31.03.19 pence per share pence per share pence per share pence per share

A Income Group 1 0.80000 - 0.80000 0.80000 Group 2 - 0.80000 0.80000 0.80000

B Accumulation Group 1 1.60000 - 1.60000 1.60000 Group 2 - 1.60000 1.60000 1.60000

B Income Group 1 0.95000 - 0.95000 0.95000 Group 2 - 0.95000 0.95000 0.95000

C Accumulation Group 1 3.15000 - 3.15000 3.15000 Group 2 0.33353 2.81647 3.15000 3.15000

C Income Group 1 1.10000 - 1.10000 1.10000 Group 2 1.10000 - 1.10000 1.10000

81 Baillie Gifford High Yield Bond Fund September 2020

Distribution Table cont.

Interim distribution for the period ended 30 June 2020

Group 1 : share purchased prior to 1 April 2020 Group 2 : share purchased 1 April 2020 to 30 June 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 31.08.20) 31.08.19)

30.06.20 30.06.20 30.06.20 30.06.19 pence per share pence per share pence per share pence per share

A Income Group 1 0.80000 - 0.80000 0.80000 Group 2 - 0.80000 0.80000 0.80000

B Accumulation Group 1 1.60000 - 1.60000 1.60000 Group 2 - 1.60000 1.60000 1.60000

B Income Group 1 0.95000 - 0.95000 0.95000 Group 2 - 0.95000 0.95000 0.95000

C Accumulation Group 1 3.15000 - 3.15000 3.15000 Group 2 - 3.15000 3.15000 3.15000

C Income Group 1 1.10000 - 1.10000 1.10000 Group 2 1.10000 - 1.10000 1.10000

82 Baillie Gifford High Yield Bond Fund September 2020

Distribution Table cont.

Final distribution for the period ended 30 September 2020

Group 1 : shares purchased prior to 1 July 2020 Group 2 : shares purchased 1 July 2020 to 30 September 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.11.20) 31.08.19)

30.09.20 30.09.20 30.09.20 30.09.19 pence per share pence per share pence per share pence per share

A Income Group 1 3.15000 - 3.15000 1.98000 Group 2 0.66720 2.48280 3.15000 1.98000

B Accumulation Group 1 6.06000 - 6.06000 5.00000 Group 2 1.16091 4.89909 6.06000 5.00000

B Income Group 1 2.89000 - 2.89000 2.54000 Group 2 0.96373 1.92627 2.89000 2.54000

C Accumulation Group 1 7.07000 - 7.07000 6.69000 Group 2 3.00604 4.06396 7.07000 6.69000

C Income Group 1 2.65000 - 2.65000 2.84000 Group 2 2.65000 - 2.65000 2.84000

83 Baillie Gifford High Yield Bond Fund September 2020

84 BAILLIE GIFFORD

Baillie Gifford Investment Grade Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Annual Report and Financial Statements for the year ended 30 September 2020

85 Baillie Gifford Investment Grade Bond Fund September 2020

Baillie Gifford Investment Grade Bond Fund

Investment Objective The indicator does not take into account the following relevant material risks: The Fund aims to outperform (after deduction of costs) Investment markets can go down as well as up and the ICE Bank of America Sterling Non-Gilt Index by market conditions can change rapidly. The value of an 0.5% per annum over rolling three year periods. investment in the Fund, and any income from it, can fall as well as rise and you may not get back the Investment Policy amount invested. Custody of assets involves a risk of loss if the The Fund will invest at least 80% in investment grade custodian becomes insolvent or breaches duties of bonds issued by corporate issuers, public bodies and care. supranationals. The Fund may also invest in other Bonds issued by companies and governments may bonds including sub-investment grade bonds and be adversely affected by changes in interest rates, government bonds. The Fund will invest in bonds expectations of inflation and a decline in the denominated in sterling or hedged back to sterling. creditworthiness of the bond issuer. The issuers of Currency forwards and derivatives, which are types of bonds in which the Fund invests may not be able to financial contracts, are used for both investment pay the bond income as promised or could fail to repay purposes and in the management of risk. The Fund the capital amount. will be actively managed and is not constrained by the index. The Fund’s concentrated portfolio relative to similar funds may result in large movements in the share price in the short term. Risk and Reward Profile Derivatives may be used to obtain, increase or reduce exposure to assets and may result in the Fund The Risk and Reward Indicator table demonstrates being leveraged. This may result in greater movements where the Fund ranks in terms of its potential risk and (down or up) in the price of shares in the Fund. It is reward. The higher the rank the greater the potential not our intention that the use of derivatives will reward but the greater the risk of losing money. It is significantly alter the overall risk profile of the Fund. based on past data, may change over time and may not be a reliable indication of the future risk profile of the In certain circumstances it can be difficult to buy or Fund. The shaded area in the table below shows the sell the Fund’s holdings and even small purchases or Fund’s ranking on the Risk and Reward Indicator. sales can cause their prices to move significantly, affecting the value of the Fund and the price of shares in the Fund. Market values for securities which are difficult to trade may not be readily available, and there can be no assurance that any value assigned to them will reflect Please note that even the lowest risk class can lose the price the Fund might receive upon their sale. you money and that extreme adverse market The process for the UK to exit the European Union circumstances can mean you suffer severe losses in all introduces elements of political uncertainty and may cases. have practical consequences for the Fund. The Fund is classified in the category above because Developments will be closely monitored. it invests in corporate bonds which generally provide Infectious viruses may pose significant threats to higher rewards and higher risks than other investments human health and may be highly disruptive to global such as government bonds and cash. economies and markets. The economic and market

86 Baillie Gifford Investment Grade Bond Fund September 2020

Baillie Gifford Investment Grade Bond Fund cont.

disruptions caused by infectious viruses could impact the value of the investments of the Fund and the distributions paid by the Fund to shareholders. Further details of the risks associated with investing in the Fund can be found in the Prospectus which is available by contacting Client Relations or visiting our website.

Fees Allocated to Capital

With effect from 1 October 2019, for distribution purposes, all expenses of the Fund are allocated to capital. This will reduce the capital value of the Fund.

87 Baillie Gifford Investment Grade Bond Fund September 2020

Investment Report

Past Performance The performance figures shown in this graph are for Class B Income Shares. Performance figures reflect the ACD’s annual fee of 0.25%, 20 14.9 but exclude any initial charge paid. Please note these returns differ 13.2 14.3 11.0 10.8 10.3 from the returns in the Investment Report, which are based on the 10 closing mid prices on the last business day. Performance figures for 3.6 4.4 3.9 the other share classes in issue can be obtained by contacting Client 0.1 0.0 0.7 0.2 Relations. You should be aware that past performance is not a guide % 0 to future performance. -0.3 -0.4

-10 30/09/2015 to 30/09/2016 to 30/09/2017 to 30/09/2018 to 30/09/2019 to 30/09/2016 30/09/2017 30/09/2018 30/09/2019 30/09/2020 Baillie Gifford Investment Grade Bond Fund B Income Shares¹ ICE Bank of America Sterling Non-Gilt Index + 0.5%² ICE Bank of America Sterling Non-Gilt Index²

The investment objective of the Fund is to outperform bonds more than doubled. However, due to the large the ICE Bank of America Sterling Non-Gilt Index (the quantity of monetary and fiscal support provided to ‘Index’) and the Fund’s target (the ‘target return’) is stimulate the economy – through lower interest rates, Index + 0.5% per annum over rolling three-year periods quantitative easing, and government spending through after fees. For the year to 30 September 2020, the return furlough schemes and similar initiatives – markets have on B Income Shares was 3.2%3 compared to the Index of recovered strongly. Major central banks have also 3.9%2 and the target return of 4.4%2. As we believe included investment grade bonds as part of their short-term performance measurements to be of limited quantitative easing programmes, providing significant relevance in assessing investment ability, we would urge support to bond valuations. Credit spreads have reduced, investors to focus on longer timeframes. The annualised to the extent they finished the 12-month period at about three-year return on B Income Shares was 4.6%3 same level that they started. compared to the return on the Index of 4.7%2 and the The Fund has lagged its Index and target return over target return of 5.2%2. the period, with substantially all of the underperformance The past 12 months have been a volatile period for occurring in quarter one of this year as the crisis corporate bonds with the coronavirus (Covid-19) developed. This period of underperformance has also outbreak and its impact on economic growth having a affected longer-term returns, with the Fund not meeting material impact. The additional yield spread offered by its target over three years. Our approach focuses on corporate bonds over and above the yield on government identifying the bonds of individual companies that can bonds – also known as the credit spread – compensates deliver superior returns over the long term. Over shorter investors for the credit risk of lending to companies. The periods, market events can create volatility relative to the credit spread for each bond changes as investors make Index. The Fund holds a number of bonds which are their assessments of credit risk at any one time, and it denominated in US dollars, with the currency exposure moves inversely to bond prices. Towards the end of hedged back to sterling. The US corporate bond market March, investors were at their most nervous about the was more affected than the UK during the crisis, and in outlook for corporate bonds due to the pandemic and the short term these positions contributed to the Fund credit spreads on sterling investment grade corporate underperforming. The US market has recovered

1Source: FE, 10am dealing prices, income reinvested, after charges. 2Source: FE and relevant underlying index provider, total return. The target return outperformance is compound daily therefore the Index return plus the outperformance will not equal the target return. Please see Disclaimer on page 198. 3Source: Baillie Gifford & Co Limited, closing mid prices, income reinvested, after charges. You should be aware that past performance is not a guide to future performance. 88 Baillie Gifford Investment Grade Bond Fund September 2020

Investment Report cont.

somewhat in the past six months, with the Fund performing better over this period. We are confident these bonds will make positive contributions to the Fund over time, with higher credit spreads on offer relative to their sterling-denominated peers. We spent much of our time in March and April analysing the Fund’s existing holdings to ensure they remained resilient in the face of continued uncertainty around the pandemic. Following this we were able to focus on identifying opportunities created by the fall in bond prices. In the past few months additions to the Fund have included: Ashtead, a cash-generative equipment rental business; Dell, which has diversified from traditional computing hardware and owns VMware supporting cloud solutions; and AP Moller-Maersk, the largest container-shipping company in the world. These are all high-quality businesses that were offered at attractive valuations which we believe should contribute to long-term outperformance by the Fund.

Baillie Gifford & Co, 28 October 2020

89 Baillie Gifford Investment Grade Bond Fund September 2020

Principal Bond Holdings as at 30 September 2020

Investment Percentage of total Fund UK Treasury 3.25% 22/01/2044 2.52 EIB 4.5% 2044 2.19 KFW 6% 2028 2.10 Network Rail 4.75% 2024 1.91 LCR Finance 4.5% 2028 1.75 KFW 5.75% 2032 1.63 KFW 0.875% 2026 1.53 Network Rail 4.75% 2035 1.52 Annington Funding 3.184% 2029 1.50 EIB 6% 2028 1.48

90 Baillie Gifford Investment Grade Bond Fund September 2020

Material Portfolio Changes for the year ended 30 September 2020

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 UK Treasury 4.25% 2032 6,343 UK Treasury 4.25% 2032 6,353 UK Treasury 3.25% 22/01/2044 4,485 BBC 5.0636% 2033 4,258 France 0% 25/11/2029 3,693 Northern Powergrid 2.5% 2025 3,750 UK Treasury 1.75% 22/01/2049 3,117 France 0% 25/11/2029 3,716 KFW 0.875% 2026 2,699 UK Treasury 1.75% 22/01/2049 3,488 RBS 3.622% 2030 2,403 AT&T 5.3% 2058 2,741 Tesco Property Finance 5.4111% 2044 2,217 WP Carey 4.25% 2026 2,569 UK Treasury 4.25% 07/03/2036 2,023 EIB 5% 2039 2,569 Rabobank 6.5% Perp 1,885 KFW 5% 2036 2,489 UK Treasury 1.5% 2021 1,839 IBRD 5.4% 2021 2,425

The largest purchases and sales of bonds have been shown.

91 Baillie Gifford Investment Grade Bond Fund September 2020

Portfolio Statement as at 30 September 2020

Stock description Holding Market %oftotal value £’000 net assets

Agency - 1.00% (0.56%) SNCF Reseau 5.25% 2035 580,000 881 0.50 Temasek 0.5% 2031 963,000 869 0.50

Asset Backed - 2.99% (4.13%) Kelda Hdgs 3.75% 2046 800,000 823 0.47 Lunar Funding 1 5.75% 2033 1,664,000 2,445 1.39 Mitchells & Butlers 6.013% 15/12/2028 1,293,000 1,086 0.62 Yorkshire Water 2.75% 2041 800,000 909 0.51

Automotive - 0.27% (0.00%) Aptiv 4.35% 2029 13,000 11 0.00 Aptiv 4.4% 2046 619,000 469 0.27

Banking - 13.84% (13.40%) Barclays 2% 2028 700,000 630 0.36 Barclays 5.75% 2026 85,000 102 0.06 Barclays 7.875% 2022 Perp 900,000 716 0.41 Citigroup 5.875% 2024 800,000 927 0.53 Citigroup 8.125% 2039 1,860,000 2,504 1.42 Erste Group Bank AG 6.5% 2024 Perp 400,000 389 0.22 HSBC Bank 5.844% 2031 Perp 700,000 997 0.57 ING Group 3% 2026 1,600,000 1,743 0.99 ING Group 4.7% 2028 2,200,000 1,804 1.03 Nationwide 5.75% Perp 1,000,000 1,030 0.58 Rabobank 6.5% Perp 2,000,000 2,158 1.23 Rabobank 6.91% 2038 Perp 817,000 1,370 0.78 Rabobank Group 4% 2029 2,400,000 1,981 1.13 RBS 3.125% 2027 1,700,000 1,813 1.03 RBS 3.622% 2030 2,300,000 2,401 1.36 Sainsburys Bank 6% 2022/27 800,000 806 0.46 Svenska Handelsbanken AB 4.75% Perp 1,000,000 789 0.45 Yorkshire Building Society 3.375% 2027/28 2,070,000 2,173 1.23

92 Baillie Gifford Investment Grade Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Basic Industry - 1.38% (0.65%) CRH 1.625% 2030 1,120,000 1,105 0.63 LafargeHolcim 3% 2032 1,200,000 1,323 0.75

Capital Goods - 1.45% (1.56%) DS Smith 2.875% 2029 1,200,000 1,244 0.71 GE Capital 8% 2039 900,000 1,304 0.74

Commercial Mortgage Backed - 1.87% (5.18%) Telereal 5.3887% 2031/33 (A5) 2,107,000 1,313 0.75 Tesco Property Finance 5.4111% 2044 1,600,000 1,964 1.12

Consumer Goods - 1.76% (0.57%) Anheuser-Busch 2.25% 2029 900,000 959 0.55 Anheuser-Busch 4.7% 2036 1,000,000 916 0.52 Hasbro 3.9% 2029 1,500,000 1,221 0.69

Energy - 0.00% (1.07%)

Financial Services - 3.79% (2.34%) Berkshire Hathaway 2.375% 2039 1,000,000 1,122 0.64 Berkshire Hathaway 2.625% 2059 1,000,000 1,226 0.70 Investec Bank 4.25% 2028 900,000 909 0.52 LeasePlan 7.375% 2024 Perp AT1 1,200,000 1,098 0.62 Motability 3.625% 2036 1,789,000 2,314 1.31

Government Guaranteed - 10.44% (11.93%) KFW 0.875% 2026 2,600,000 2,695 1.53 KFW 5.75% 2032 1,817,000 2,861 1.63 KFW 6% 2028 2,556,000 3,699 2.10

93 Baillie Gifford Investment Grade Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

LCR Finance 4.5% 2028 2,329,000 3,067 1.75 Network Rail 4.75% 2024 2,919,000 3,357 1.91 Network Rail 4.75% 2035 1,710,000 2,678 1.52

Health Care - 1.23% (0.00%) AstraZeneca 6.45% 2037 1,000,000 1,172 0.67 GlaxoSmithKline 5.25% 2042 600,000 981 0.56

Insurance - 6.00% (4.13%) Admiral Group 5.5% 2024 1,510,000 1,738 0.99 Legal & General 4.5% 2030/50 286,000 309 0.18 Legal & General 5.375% 2025/45 1,895,000 2,170 1.23 Legal & General 5.5% 2044/64 317,000 372 0.21 MetLife 3.5% 2026 1,743,000 2,008 1.14 Pension Insurance 5.625% 2030 700,000 819 0.47 Pension Insurance 8% 2026 720,000 930 0.53 Phoenix Life 5.625% 2031 956,000 1,089 0.62 Phoenix Life 6.625% 2025 303,000 361 0.20 Phoenix Life 7.25% 2021 Perp 743,000 752 0.43

Leisure - 0.00% (1.37%)

Media - 0.98% (0.53%) Netflix 4.625% 2029 500,000 524 0.30 Walt Disney 4.125% 2041 1,300,000 1,201 0.68

Real Estate - 7.83% (8.46%) Annington Funding 3.184% 2029 2,390,000 2,640 1.50 British Land 5.264% 2035 (Bearer) 950,000 1,265 0.72 Clarion 3.125% 2048 1,400,000 1,746 0.99 Clarion 4.25% 2042 150,000 213 0.12 CPI Property 2.75% 2028 1,300,000 1,268 0.72 Housing & Care 3.288% 2049 1,720,000 2,087 1.19 Longhurst Libra 3.25% 2043 1,500,000 1,789 1.02 Sovereign Housing Capital 4.768% 2043 740,000 1,167 0.67

94 Baillie Gifford Investment Grade Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Welltower 4.5% 2034 458,000 534 0.30 Welltower 4.8% 2028 897,000 1,049 0.60

Retail - 3.68% (1.23%) Alibaba 4% 2037 1,100,000 1,008 0.57 Burberry 1.125% 2025 725,000 718 0.41 Co-operative Group 7.5% 2026 400,000 467 0.27 LVMH 1.125% 2027 900,000 905 0.51 Tesco 2.75% 2030 980,000 1,039 0.59 Walmart Stores 5.25% 2035 1,485,000 2,332 1.33

Services - 2.34% (2.99%) Ashtead 4.375% 2027 (144A) 1,600,000 1,287 0.73 University of Cambridge 3.75% 2052 274,000 463 0.27 Waste Management 4.15% 2049 1,700,000 1,673 0.95 Wellcome Trust 2.517% 2118 460,000 683 0.39

Sovereign - 3.53% (0.96%) UK Treasury 3.25% 22/01/2044 2,900,000 4,438 2.52 UK Treasury 4.25% 07/03/2036 700,000 1,083 0.62 UK Treasury 4.75% 07/12/2038 395,941 677 0.39

Supranational - 4.70% (9.22%) EIB 4.5% 2044 2,220,000 3,844 2.19 EIB 6% 2028 1,800,000 2,603 1.48 IBRD 5.75% 2032 1,155,000 1,812 1.03

Technology & Electronics - 3.82% (2.75%) Apple 4.375% 2045 1,600,000 1,652 0.94 Corning 5.45% 2079 1,800,000 1,772 1.01

95 Baillie Gifford Investment Grade Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Dell 6.02% 2026 (144A) 1,300,000 1,182 0.67 Dell 8.1% 2036 700,000 712 0.41 Fidelity Information Services 3.36% 2031 1,200,000 1,393 0.79

Telecommunications - 6.48% (6.07%) AT&T 3.5% 2053 1,115,000 833 0.47 AT&T 3.65% 2059 1,612,000 1,225 0.70 Bell Canada 4.75% 2044 2,394,000 1,700 0.97 Koninklijke KPN 5% 2026 1,400,000 1,665 0.95 KPN 5.75% 2029 1,105,000 1,403 0.80 Orange SA 5.375% 2050 550,000 925 0.52 Orange SA 8.5% 2031 1,000,000 1,261 0.72 Vodafone 3% 2056 600,000 627 0.35 Vodafone 4.875% 2025/78 700,000 740 0.42 Vodafone Group 3.375% 2049 900,000 1,016 0.58

Transportation - 1.98% (0.98%) AP Moller-Maersk A/S 4% 2025 493,000 534 0.30 Manchester Airport 2.875% 2039 1,468,000 1,346 0.77 National Express Group 2.375% 2028 1,100,000 1,071 0.61 Ryanair 2.875% 2025 592,000 534 0.30

Utilities - 16.18% (14.16%) Cadent 2.125% 2028 1,600,000 1,685 0.96 Centrica 7% 2033 1,020,000 1,586 0.90 E.ON 5.875% 2037 300,000 467 0.27 E.ON 6.75% 2039 850,000 1,458 0.83 EDF 5.5% 2037 700,000 1,008 0.57 EDF 5.5% 2041 900,000 1,322 0.75 EDF 5.875% 2029 Perp 500,000 536 0.31 EDF 6% 2114 500,000 836 0.48 EDF 6% 2114 (144A) 590,000 622 0.35 EDP 8.625% 2024 700,000 861 0.49 Enel 2.25% 2026 Perp 1,256,000 1,136 0.65 Enel 5.75% 2040 1,370,000 2,100 1.19

96 Baillie Gifford Investment Grade Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Enel 6.625% 2021/76 182,000 190 0.11 Enel 6.8% 2037 (144A) 1,230,000 1,340 0.76 National Grid 1.375% 2031 1,700,000 1,728 0.98 National Grid 5.625% 2025/73 1,500,000 1,691 0.96 Northern Powergrid 2.25% 2059 764,000 873 0.50 Orsted 1.75% 3019 900,000 816 0.46 Orsted 2.5% 2033 901,000 1,023 0.58 PPL Corporation 3.5% 2026 800,000 881 0.50 RWE 6.125% 2039 1,250,000 2,031 1.16 Severn Trent 2% 2040 455,000 478 0.27 TXU Eastern Funding 7.25% 20301 2,343,000 - 0.00 Western Power Dist East 1.75% 2031 1,180,000 1,222 0.70 Western Power Dist West 5.75% 2032 680,000 983 0.56 Yorkshire Power 7.25% 2028 1,100,000 1,563 0.89

Derivatives - -0.24% (0.26%) Forward currency contracts (see Table 1) (428) (0.24) Futures contracts (see Table 2) - 0.00

Portfolio of investments 171,016 97.30

Net other assets - 2.70% (5.50%) 4,748 2.70

Net assets 175,764 100.00 1The issuer of this bond was in administration at the year end, therefore the bond has been valued at the Investment Adviser’s valuation.

Please note: figures are based on market values rather than economic exposure. Unless otherwise stated the above holdings are in fixed interest securities. Figures in brackets in the investment category headings refer to 30 September 2019.

97 Baillie Gifford Investment Grade Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Table 1: Unrealised gains/(losses) on open forward currency contracts Unrealised gains/(losses) % of total Counterparty Settlement Buy Buy Amount Sell Sell Amount £’000 net assets

HSBC 19/11/20 GBP 8,211,250 EUR 9,100,000 (49) (0.03) National Australia Bank 19/11/20 GBP 27,743,731 USD 36,330,000 (351) (0.20) Royal Bank of Canada 19/11/20 GBP 1,949,210 CAD 3,400,000 (20) (0.01) Royal Bank of Canada 19/11/20 GBP 1,317,409 EUR 1,460,000 (8) 0.00 Unrealised gains/(losses) on open forward currency contracts (428) (0.24)

Table 2: Unrealised gains/(losses) on futures contracts Unrealised gains/(losses) % of total Futures Maturity Notional £’000 net assets

Canada 10 Year Bond Future December 2020 31/12/20 (37) - 0.00 Euro-Bund Future December 2020 10/12/20 (118) - 0.00 Euro-Bund Future December 2020 10/12/20 (29) - 0.00 Euro-BUXL 30 Year Bund December 2020 10/12/20 (2) - 0.00 Long Gilt Future 10 Year December 2020 31/12/20 105 - 0.00 US 10 Year Note Future December 2020 31/12/20 (16) - 0.00 US 5 Year Note December 2020 06/01/21 (54) - 0.00 US Long Bond (CBT) December 2020 31/12/20 (86) - 0.00 US Ultra 10 Year Note Future December 2020 31/12/20 (8) - 0.00 US Ultra Long (CBT) December 2020 31/12/20 (32) - 0.00

Unrealised gains/(losses) on futures contracts - 0.00

98 Baillie Gifford Investment Grade Bond Fund September 2020

Comparative Tables

Comparative Table: A Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 102.82 96.11 98.48

Return before operating charges* 3.53 9.98 0.82 Operating charges (1.09) (1.01) (1.01)

Return after operating charges* 2.44 8.97 (0.19)

Distributions on income shares (3.00) (2.26) (2.18) Closing net asset value per share 102.26 102.82 96.11

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 2.37% 9.33% (0.19)%

Other Information: Closing net asset value (£’000) 5,230 1,269 1,563 Closing number of shares 5,113,739 1,234,403 1,625,865 Operating charges 1.05%1 1.03% 1.03% Direct transaction costs2 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 105.6 104.7 101.1 Lowest share price (pence) 91.16 95.11 96.56

99 Baillie Gifford Investment Grade Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 230.48 209.07 207.95

Return before operating charges* 8.02 22.00 1.71 Operating charges (0.65) (0.59) (0.59)

Return after operating charges* 7.37 21.41 1.12

Distributions (6.80) (6.60) (6.24)

Retained distributions on accumulation shares 6.80 6.60 6.24

Closing net asset value per share 237.85 230.48 209.07

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 3.20% 10.24% 0.54%

Other Information: Closing net asset value (£’000) 31,102 32,825 26,443 Closing number of shares 13,076,107 14,241,659 12,647,187 Operating charges 0.28% 0.27% 0.28% Direct transaction costs2 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 241.5 232.5 213.9 Lowest share price (pence) 206.0 207.1 207.1

100 Baillie Gifford Investment Grade Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 106.78 99.81 102.27

Return before operating charges* 3.64 10.39 0.86 Operating charges (0.30) (0.28) (0.29)

Return after operating charges* 3.34 10.11 0.57

Distributions on income shares (3.11) (3.14) (3.03) Closing net asset value per share 107.01 106.78 99.81

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 3.13% 10.13% 0.56%

Other Information: Closing net asset value (£’000) 59,284 58,964 58,049 Closing number of shares 55,400,596 55,220,720 58,158,113 Operating charges 0.28% 0.27% 0.28% Direct transaction costs2 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 110.0 109.1 105.2 Lowest share price (pence) 94.89 98.85 100.6

101 Baillie Gifford Investment Grade Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 232.50 210.37 208.72

Return before operating charges* 8.10 22.17 1.71 Operating charges (0.07) (0.04) (0.06)

Return after operating charges* 8.03 22.13 1.65

Distributions (6.86) (7.20) (6.79)

Retained distributions on accumulation shares 6.86 7.20 6.79

Closing net asset value per share 240.53 232.50 210.37

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 3.45% 10.52% 0.79%

Other Information: Closing net asset value (£’000) 80,148 88,481 79,740 Closing number of shares 33,320,930 38,055,939 37,904,456 Operating charges 0.03% 0.02% 0.03% Direct transaction costs2 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 244.1 234.5 214.8 Lowest share price (pence) 208.0 208.5 208.1

102 Baillie Gifford Investment Grade Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 110.05 102.85 105.39

Return before operating charges* 3.73 10.72 0.88 Operating charges (0.01) (0.02) (0.03)

Return after operating charges* 3.72 10.70 0.85

Distributions on income shares (3.22) (3.50) (3.39) Closing net asset value per share 110.55 110.05 102.85

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 3.38% 10.40% 0.81%

Other Information: Closing net asset value (£’000) - 2,898 2,709 Closing number of shares 100 2,633,775 2,633,775 Operating charges 0.01%3 0.02% 0.03% Direct transaction costs2 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 113.5 112.6 108.5 Lowest share price (pence) 97.88 101.9 103.9 1As at 30 September 2020, the ACD considered 1.03% to be a more indicative rate for the ongoing charges figure. 2Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts. A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section. 3As at 30 September 2020, the ACD considered 0.03% to be a more indicative rate for the ongoing charges figure for Class C Shares.

103 Baillie Gifford Investment Grade Bond Fund September 2020

Financial Statements

Statement of Total Return for the year ended 30 September 2020

2020 2019 Notes £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 1 (148) 11,816 Revenue 3 5,160 5,800 Expenses 4 (279) (265)

Net revenue before taxation 4,881 5,535 Taxation 5 - - Net revenue after taxation 4,881 5,535

Total return before distributions 4,733 17,351 Distributions 6 (5,160) (5,535) Change in net assets attributable to shareholders from investment activities (427) 11,816

Statement of Change in Net Assets Attributable to Shareholders for the year ended 30 September 2020

2020 2019 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 184,437 168,504 Amounts receivable on issue of shares 20,026 14,020 Amounts payable on cancellation of shares (31,579) (13,655)

(11,553) 365 Dilution adjustment 113 54 Change in net assets attributable to shareholders from investment activities (427) 11,816 Retained distributions on accumulation shares 3,194 3,698 Closing net assets attributable to shareholders 175,764 184,437

104 Baillie Gifford Investment Grade Bond Fund September 2020

Financial Statements cont.

Balance Sheet as at 30 September 2020

2020 2019 Notes £’000 £’000

Assets: Fixed assets: Investments 13 171,444 174,301 Current assets: Debtors 8 3,062 2,799 Cash and bank balances 9 3,735 8,791 Total assets 178,241 185,891

Liabilities: Investment liabilities 13 (428) (15) Creditors: Distributions payable (810) (792) Other creditors 10 (1,239) (647)

Total liabilities (2,477) (1,454) Net assets attributable to shareholders 175,764 184,437

105 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements

1 Net capital gains/(losses) 2020 2019 £’000 £’000

Non-derivative securities 2,028 16,013 Derivative contracts (3,146) (1,912) Forward currency contracts 839 (2,261) Currency gains/(losses) 133 (23) Transaction costs (2) (1) Net capital gains/(losses) (148) 11,816

2 Purchases, sales and transaction costs 2020 2019 £’000 £’000

Purchases and transaction costs Gross purchases of bonds excluding transaction costs1 111,142 42,788 Purchases including transaction costs 111,142 42,788

1There were no transaction costs on the purchase of bonds.

2020 2019 £’000 £’000

Sales and transaction costs Gross sales of bonds excluding transaction costs1 114,360 47,102 Sales net of transaction costs 114,360 47,102

1There were no transaction costs on the sale of bonds.

2020 2019 £’000 £’000

Transaction cost on derivative contracts Commission on trading futures contracts 77

106 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements cont.

2 Purchases, sales and transaction costs (continued)

2020 2019 £’000 % of average £’000 % of average NAV NAV

Portfolio transaction costs Commissions 7 0.00 7 0.00 Taxes - 0.00 - 0.00 Total direct transaction costs 7 0.00 7 0.00

2020 2019 %% Average portfolio dealing spread 0.82 0.40

Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts.

A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

Dealing spread is the difference in the buying and selling prices of the underlying investments. Dealing spreads vary considerably depending on the transaction value and market sentiment. The Fund may have holdings in single priced funds. The notional spread on these holdings is not included in the average dealing spread calculated for this Fund.

3 Revenue 2020 2019 £’000 £’000

Interest on debt securities 5,219 5,788 Bank interest 414 Swaps interest (63) (2) Total revenue 5,160 5,800

107 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements cont.

4 Expenses 2020 2019 £’000 £’000

Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 240 235

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary’s fee 15 14 Bank charges 11 9

26 23

Other expenses: Audit fee 13 7 Total expenses 279 265

5 Taxation 2020 2019 £’000 £’000

Analysis of charge in the year Corporation tax -- Total taxation --

The Fund is subject to corporation tax at 20% (2019: 20%), however, the Fund is a bond fund making interest distributions and the interest distributions made by the Fund are allowable in arriving at the amount of revenue liable to tax. As a result, this has reduced the corporation tax liability of the Fund to nil.

The deduction of the interest distribution has been restricted to reflect the priority utilisation of the management expenses incurred by the Fund in the year, as per regulation 13(1A) of SI 2006/964. This results in no excess management expenses or interest distribution being carried forward. The tax charge is explained as follows: 2020 2019 £’000 £’000

Net revenue/(expense) before taxation 4,881 5,535 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (2019: 20%) 976 1,107 Effects of: Interest distributions (1,032) (1,107) Management expenses charged to capital 56 - Total taxation --

108 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements cont.

6 Distributions 2020 2019 £’000 £’000

Interim to 31 December 1,002 1,027 Interim to 31 March 925 1,020 Interim to 30 June 938 1,026 Final to 30 September 2,195 2,454

5,060 5,527 Amounts deducted on cancellation of shares 252 83 Amounts added on issue of shares (152) (75) Total distributions 5,160 5,535

The distributions take account of revenue transactions on the issue and cancellation of shares. Details of the distributions per share are set out in the Distribution Tables.

7 Reconciliation of net revenue to net distributions for the year 2020 2019 £’000 £’000

Net revenue after taxation for the year 4,881 5,535 Add expenses allocated to capital 279 - Net distributions for the year 5,160 5,535

8 Debtors 2020 2019 £’000 £’000

Receivable for issue of shares 270 87 Sales awaiting settlement -80 Accrued income 2,146 2,630 VAT recoverable 1- Collateral held by counterparties 645 - Other debtors -2 Total debtors 3,062 2,799

109 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements cont.

9 Cash and bank balances 2020 2019 £’000 £’000

Sterling amounts held at clearing houses and brokers 350 319 Foreign amounts held at clearing houses and brokers 1,068 485 Sterling bank accounts 2,317 7,987 Total cash and bank balances 3,735 8,791

10 Other creditors 2020 2019 £’000 £’000

Payable for cancellation of shares 103 113 Purchases awaiting settlement 1,098 - Due to the ACD or associates 25 21 Due to the Depositary or associates 33 Collateral held on behalf of counterparty -505 Other accrued expenses 10 5 Total other creditors 1,239 647

11 Related party transactions Baillie Gifford & Co Limited, as ACD, is regarded as a related party by virtue of the services provided to the Company. Baillie Gifford & Co Limited acts as principal in respect of all transactions of shares in the Company, except where stocks are transferred on the issue or cancellation of shares. The aggregate monies received through issue and paid on cancellation are disclosed in the Statement of Change in Net Assets Attributable to Shareholders. Amounts receivable and payable on the issue and cancellation of shares have been disclosed in notes 8 and 10 respectively. Amounts paid to Baillie Gifford & Co Limited in respect of ACD fees are disclosed in note 4 with amounts due at the year end given in note 10. Shares held by the ACD and associates of the ACD The shares held by the ACD and associates of the ACD as a percentage of the Fund’s NAV were: 2020 2019 % % ACD and associates of the ACD 0.00 0.00

110 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements cont.

12 Reconciliation of shares in issue 2020 A Income B Accumulation B Income C Accumulation C Income Shares Shares Shares Shares Shares

Opening shares in issue 1,234,403 14,241,659 55,220,720 38,055,939 2,633,775 Shares issued 4,908,721 2,775,953 8,057,636 - 100 Shares cancelled (1,009,994) (3,941,505) (7,896,392) (4,735,009) (2,633,775) Shares converted (19,391) - 18,632 - - Closing shares in issue 5,113,739 13,076,107 55,400,596 33,320,930 100

13 Basis of valuation 2020 2019 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000

Level 1: Quoted prices ---- Level 2: Observable market data 171,444 (428) 174,301 (15) Level 3: Unobservable data1 ---- Total 171,444 (428) 174,301 (15)

1For further information on the assets included in Level 3, as at 30 September 2020, please refer to the Portfolio Statement.

14 Credit ratings 2020 2019 Market value Percentage of Market value Percentage of Rating Block £’000 total Fund £’000 total Fund

Investment Grade 161,894 92.11 168,245 91.22 High Yield 9,550 5.43 5,555 3.01

Total Bonds - Direct 171,444 97.54 173,800 94.23 Other 4,320 2.46 10,637 5.77 Net Assets 175,764 100.00 184,437 100.00

111 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements cont.

15 Derivatives and other financial instruments Currency exposures A proportion of the net assets of the Fund are denominated in currencies other than sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Currency Net currency assets/(liabilities) Net currency assets/(liabilities) 2020 2019 Monetary Non-monetary Total Monetary Non-monetary Total exposures exposures exposures exposures £’000 £’000 £’000 £’000 £’000 £’000

Canadian dollar 68 (269) (201) 68 193 261 Euro 215 (328) (113) - (63) (63) UK sterling 3,312 172,358 175,670 7,801 174,459 182,260 US dollar 785 (745) 40 416 (302) 114 Short term debtors and creditors have not been disclosed.

Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the Fund was: 2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial assets £’000 financial financial assets £’000 assets assets not carrying assets assets not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Canadian dollar 68 1,700 - 1,768 68 2,273 - 2,341 Euro 215 9,258 - 9,473 - 4,024 - 4,024 UK sterling 3,312 133,137 39,222 175,671 8,306 136,086 38,373 182,765 US dollar 785 27,350 - 28,135 416 31,418 - 31,834

2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial liabilities £’000 financial financial liabilities £’000 liabilities liabilities not carrying liabilities liabilities not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Canadian dollar - - 1,969 1,969 - - 2,080 2,080 Euro - - 9,586 9,586 - 15 4,072 4,087 UK sterling ----505--505 US dollar - - 28,095 28,095 - - 31,719 31,719

112 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements cont.

16 Derivative Exposure The exposure to derivative counterparties was: 2020 2019 Counterparty Forward Inflation Interest Cash Total Forward Inflation Interest Cash Total currency rate rate collateral exposure currency rate rate collateral exposure contracts swaps swaps held contracts swaps swaps held £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000

HSBC - - - - - 149 - - (140) 9 National Australia Bank - - - - - 337 - - (365) (28) Royal Bank of Canada - - - - - 15 - - - 15

Collateral pledged on derivatives was: 2020 2019 £’000 £’000

Cash collateral pledged on derivatives HSBC 60 - National Australia Bank 585 -

In addition, the Fund trades futures contracts through UBS. Fair value movements are offset by movements in the variation margin account which reduces the derivative counterparty exposure to nil.

17 Value at risk (VaR) The market risk of the Fund’s financial asset and liability positions is monitored by the Investment Adviser using VaR analysis. VaR analysis attempts to reflect the interdependencies between risk variables, unlike a traditional sensitivity analysis. VaR represents the potential losses from adverse changes in market factors for a specified time period and confidence level.

Model assumptions: System FIS Advanced Portfolio Technologies (APT) VaR methodology: variance convariance approcach (with delta-adjustment) Confidence level: 99% Holding period: 1month Decay factor for exponential smoothing of historical market data: nil Historical observation period: 180 weeks

2020 2019 %%

Fund VaR: 4.89 3.46 Index VaR: 4.30 3.12

The VaR noted above indicates the VaR of the Fund’s financial instruments, measured as the potential 1 month loss in value from adverse changes in equity prices, interest rates, inflation and foreign currency exchange rates, with a 99% confidence level.

113 Baillie Gifford Investment Grade Bond Fund September 2020

Notes to the Financial Statements cont.

17 Value at risk (VaR) (continued)

In combination with a snapshot of the portfolio and benchmark constituents at a given point in time, the APT risk model uses 180 weeks of historic data to formulate a prediction of risk over a desired time period. In the case of VaR numbers, the risk model produces a 1-month prediction of 99% VaR. The decay factor for exponential smoothing of the historic market data refers to how the risk model uses more recent data in its historic data window compared to older data. Using a positive decay factor would mean that the risk model is placing more importance on more recent data than on older data in formulating its prediction of risk – this would result in the risk model being more short-term in nature, and increasingly geared to short-term recent events. The decay factor used in the APT risk model for calculating VaR numbers is nil. This means that each of the 180 weeks of historic data used by the risk model are treated with equal importance in the model’s calculation of predicted risk. This means that the risk model’s prediction of risk will be influenced by the average variances and covariances of portfolio and comparative index constituents over the past 3½ years. Objectives and limitations of the VaR methodology

The APT model uses statistical factor techniques to measure the effects of these risk variables on the value of the Fund. The VaR model is designed to measure market risk in a normal market environment.

The use of VaR has limitations because it is based on historical correlations and volatilities in market prices and assumes that future price movements will follow a statistical distribution. Due to the fact that VaR relies significantly on historical data to provide information and may not clearly predict the future changes and modifications of the risk factors, the probability of large market moves may be underestimated if changes in risk factors fail to align with the given distribution assumption. VaR may also be under- or over-estimated due to the assumption placed on risk factors and the relationship between such factors for specific instruments.

Even though positions may change throughout the day, the VaR only represents the risk of the portfolios at the close of each business day, and it does not account for any losses that may occur beyond the 99% confidence level. In practice, the actual trading results will differ from the VaR calculation and, in particular, the calculation does not provide a meaningful indication of profits and losses in stressed market conditions. To determine the reliability of the VaR models, actual outcomes are monitored regularly to test the validity of the assumptions and the parameters used in the VaR calculation. Market risk positions are also subject to regular stress tests to ensure that the Fund would withstand an extreme market event.

114 Baillie Gifford Investment Grade Bond Fund September 2020

Distribution Table

Interim distribution for the period ended 31 December 2019

Group 1 : shares purchased prior to 1 October 2019 Group 2 : shares purchased 1 October 2019 to 31 December 2019

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 28.02.20) 28.02.19)

31.12.19 31.12.19 31.12.19 31.12.18 pence per share pence per share pence per share pence per share

A Income Group 1 0.45000 - 0.45000 0.45000 Group 2 0.17555 0.27445 0.45000 0.45000

B Accumulation Group 1 1.25000 - 1.25000 1.25000 Group 2 0.28291 0.96709 1.25000 1.25000

B Income Group 1 0.60000 - 0.60000 0.60000 Group 2 0.22372 0.37628 0.60000 0.60000

C Accumulation Group 1 1.30000 - 1.30000 1.30000 Group 2 1.30000 - 1.30000 1.30000

C Income Group 1 0.65000 - 0.65000 0.65000 Group 2 0.65000 - 0.65000 0.65000

115 Baillie Gifford Investment Grade Bond Fund September 2020

Distribution Table cont.

Interim distributions for the period ended 31 March 2020

Group 1 : shares purchased prior to 1 January 2020 Group 2 : shares purchased 1 January 2020 to 31 March 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 31.05.20) 31.05.19)

31.03.20 31.03.20 31.03.20 31.03.19 pence per share pence per share pence per share pence per share

A Income Group 1 0.45000 - 0.45000 0.45000 Group 2 - 0.45000 0.45000 0.45000

B Accumulation Group 1 1.25000 - 1.25000 1.25000 Group 2 - 1.25000 1.25000 1.25000

B Income Group 1 0.60000 - 0.60000 0.60000 Group 2 - 0.60000 0.60000 0.60000

C Accumulation Group 1 1.30000 - 1.30000 1.30000 Group 2 1.30000 - 1.30000 1.30000

C Income Group 1 0.65000 - 0.65000 0.65000 Group 2 0.65000 - 0.65000 0.65000

116 Baillie Gifford Investment Grade Bond Fund September 2020

Distribution Table cont.

Interim distribution for the period ended 30 June 2020

Group 1 : share purchased prior to 1 April 2020 Group 2 : share purchased 1 April 2020 to 30 June 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 31.08.20) 31.08.19)

30.06.20 30.06.20 30.06.20 30.06.19 pence per share pence per share pence per share pence per share

A Income Group 1 0.45000 - 0.45000 0.45000 Group 2 - 0.45000 0.45000 0.45000

B Accumulation Group 1 1.25000 - 1.25000 1.25000 Group 2 - 1.25000 1.25000 1.25000

B Income Group 1 0.60000 - 0.60000 0.60000 Group 2 - 0.60000 0.60000 0.60000

C Accumulation Group 1 1.30000 - 1.30000 1.30000 Group 2 1.30000 - 1.30000 1.30000

C Income Group 1 0.65000 - 0.65000 0.65000 Group 2 0.65000 - 0.65000 0.65000

117 Baillie Gifford Investment Grade Bond Fund September 2020

Distribution Table cont.

Final distribution for the period ended 30 September 2020

Group 1 : shares purchased prior to 1 July 2020 Group 2 : shares purchased 1 July 2020 to 30 September 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.11.20) 31.08.19)

30.09.20 30.09.20 30.09.20 30.09.19 pence per share pence per share pence per share pence per share

A Income Group 1 1.65000 - 1.65000 0.91000 Group 2 0.39245 1.25755 1.65000 0.91000

B Accumulation Group 1 3.05000 - 3.05000 2.85000 Group 2 0.87595 2.17405 3.05000 2.85000

B Income Group 1 1.31000 - 1.31000 1.34000 Group 2 0.38142 0.92858 1.31000 1.34000

C Accumulation Group 1 2.96000 - 2.96000 3.30000 Group 2 2.96000 - 2.96000 3.30000

C Income Group 1 1.27000 - 1.27000 1.55000 Group 2 1.27000 - 1.27000 1.55000

118 BAILLIE GIFFORD

Baillie Gifford Investment Grade Long Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Annual Report and Financial Statements for the year ended 30 September 2020

119 Baillie Gifford Investment Grade Long Bond Fund September 2020

Baillie Gifford Investment Grade Long Bond Fund

Investment Objective The indicator does not take into account the following relevant material risks: The Fund aims to outperform (after deduction of costs) Investment markets can go down as well as up and the ICE Bank of America Sterling Non-Gilt over 10 market conditions can change rapidly. The value of Years Index by 0.5% per annum over rolling three year an investment in the Fund, and any income from it, periods. can fall as well as rise and you may not get back the amount invested. Investment Policy Custody of assets involves a risk of loss if the custodian becomes insolvent or breaches duties of The Fund will invest at least 80% in investment grade care. bonds issued by corporate issuers, public bodies and Bonds issued by companies and governments may supranationals. The Fund may also invest in other bonds be adversely affected by changes in interest rates, including sub-investment grade bonds and government expectations of inflation and a decline in the bonds. The Fund will invest in bonds denominated in creditworthiness of the bond issuer. The issuers of sterling or hedged back to sterling. Currency forwards bonds in which the Fund invests may not be able to and derivatives, which are types of financial contracts, pay the bond income as promised or could fail to are used for both investment purposes and in the repay the capital amount. management of risk. The Fund will be actively managed and is not constrained by the index. The Fund’s concentrated portfolio relative to similar funds may result in large movements in the share price in the short term. Risk and Reward Profile Derivatives may be used to obtain, increase or reduce exposure to assets and may result in the Fund The Risk and Reward Indicator table demonstrates where being leveraged. This may result in greater the Fund ranks in terms of its potential risk and reward. movements (down or up) in the price of shares in the The higher the rank the greater the potential reward but Fund. It is not our intention that the use of derivatives the greater the risk of losing money. It is based on past will significantly alter the overall risk profile of the data, may change over time and may not be a reliable Fund. indication of the future risk profile of the Fund. The shaded area in the table below shows the Fund’s ranking In certain circumstances it can be difficult to buy on the Risk and Reward Indicator. or sell the Fund’s holdings and even small purchases or sales can cause their prices to move significantly, affecting the value of the Fund and the price of shares in the Fund. Market values for securities which are difficult to trade may not be readily available, and there can be Please note that even the lowest risk class can lose you no assurance that any value assigned to them will money and that extreme adverse market circumstances reflect the price the Fund might receive upon their can mean you suffer severe losses in all cases. sale. The Fund is classified in the category above because it The process for the UK to exit the European Union invests in corporate bonds which generally provide introduces elements of political uncertainty and may higher rewards and higher risks than other investments have practical consequences for the Fund. such as government bonds and cash. Developments will be closely monitored.

120 Baillie Gifford Investment Grade Long Bond Fund September 2020

Baillie Gifford Investment Grade Long Bond Fund cont.

Infectious viruses may pose significant threats to human health and may be highly disruptive to global economies and markets. The economic and market disruptions caused by infectious viruses could impact the value of the investments of the Fund and the distributions paid by the Fund to shareholders. Further details of the risks associated with investing in the Fund can be found in the Prospectus which is available by contacting Client Relations or visiting our website.

Fees Allocated to Capital

With effect from 1 October 2019, for distribution purposes, all expenses of the Fund are allocated to capital. This will reduce the capital value of the Fund.

121 Baillie Gifford Investment Grade Long Bond Fund September 2020

Investment Report

Past Performance The performance figures shown in this graph are for Class B Income Shares. Performance figures reflect the ACD’s annual fee of 0.25%, 30 22.4 21.8 but exclude any initial charge paid. Please note these returns differ 18.5 17.3 17.4 16.8 from the returns quoted in the Investment Report, which are based on 20 the closing mid prices on the last business day. Performance figures 10 6.1 6.1 5.6 for the other share classes in issue can be obtained by contacting Client Relations. You should be aware that past performance is not a % 0.4 0 guide to future performance. -0.3 -0.1 -1.2 -1.7 -2.2 -10 30/09/2015 to 30/09/2016 to 30/09/2017 to 30/09/2018 to 30/09/2019 to 30/09/2016 30/09/2017 30/09/2018 30/09/2019 30/09/2020 Baillie Gifford Investment Grade Long Bond Fund B Income Shares¹ ICE Bank of America Sterling Non-Gilt Over 10 Years Index + 0.5%² ICE Bank of America Sterling Non-Gilt Over 10 Years Index²

The investment objective of the Fund is to outperform credit spreads on long-dated sterling investment grade the ICE Bank of America Sterling Non-Gilt Over 10 corporate bonds more than doubled. However, due to the Years Index (the ‘Index’) and the Fund’s target (the large quantity of monetary and fiscal support provided to ‘target return’) is Index + 0.5% per annum over rolling stimulate the economy – through lower interest rates, three-year periods after fees. For the year to quantitative easing, and government spending through 30 September 2020, the return on B Income Shares was furlough schemes and similar initiatives – markets have 3 4.9% compared to the return on the Index of 5.6%2 and recovered strongly. Major central banks have also the target return of 6.1%2. As we believe short-term included investment grade bonds as part of their performance measurements to be of limited relevance in quantitative easing programmes, providing significant assessing investment ability, we would urge investors to support to bond valuations. Credit spreads have reduced, focus on longer timeframes. The annualised three-year to the extent they finished the 12-month period at about return on B Income Shares was 7.2%3 compared to the same level that they started. return on the Index of 7.2%2 and the target return of The Fund has lagged its Index and target return over 7.7%2. the past 12-month period. This period of The past 12 months have been a volatile period for underperformance has also affected longer-term returns, corporate bonds with the coronavirus (Covid-19) with the Fund not meeting its target over three years. Our outbreak and its impact on economic growth having a approach focuses on identifying the bonds of individual material impact. The additional yield spread offered by companies that can deliver superior returns over the long corporate bonds over and above the yield on government term. Over shorter periods, market events can create bonds – also known as the credit spread – compensates volatility relative to the Index. The Fund holds a number investors for the credit risk of lending to companies. The of bonds which are denominated in US dollars, with the credit spread for each bond changes as investors make currency exposure hedged back to sterling. The US their assessments of credit risk at any one time, and it corporate bond market was more affected than the UK moves inversely to bond prices. Towards the end of during the crisis, and in the short term these positions March, investors were at their most nervous about the detracted from Fund performance. However, individual outlook for corporate bonds due to the pandemic and bond selection was a positive contributor over this

1Source: FE, 10am dealing prices, income reinvested, after charges. 2Source: FE and relevant underlying index provider, total return. The target return outperformance is compound daily therefore the Index return plus the outperformance will not equal the target return. Please see Disclaimer on page 198. 3Source: Baillie Gifford & Co Limited, closing mid prices, income reinvested, after charges. You should be aware that past performance is not a guide to future performance. 122 Baillie Gifford Investment Grade Long Bond Fund September 2020

Investment Report cont.

period, offsetting much of the negative impact from US exposure. The US market has recovered somewhat in the past six months, but still lags the sterling market and the Fund has underperformed. We are confident these bonds will make positive contributions to the Fund over time, with higher credit spreads on offer relative to their sterling-denominated peers. We spent much of our time in March and April analysing the Fund’s existing holdings to ensure they remained resilient in the face of continued uncertainty around the pandemic. Following this we were able to focus on identifying opportunities created by the fall in bond prices. In the past few months additions to the Fund have included: Ashtead, a cash-generative equipment rental business; Dell, which has diversified from traditional computing hardware and owns VMware supporting cloud solutions; and AP Moller-Maersk, the largest container shipping company in the world. These are all high-quality businesses that were offered at attractive valuations which we believe should contribute to long-term outperformance by the Fund.

Baillie Gifford & Co, 28 October 2020

123 Baillie Gifford Investment Grade Long Bond Fund September 2020

Principal Bond Holdings as at 30 September 2020

Investment Percentage of total Fund UK Treasury 3.25% 22/01/2044 3.24 UK Treasury 1.75% 22/01/2049 2.30 RWE 6.125% 2039 2.30 Enel 5.75% 2040 2.06 Aster 4.5% 2043 1.79 Tesco Property Finance 5.4111% 2044 1.62 Sovereign Housing Capital 4.768% 2043 1.59 Network Rail 4.75% 2035 1.48 Freshwater Finance 5.182% 2035 1.46 Rabobank 6.5% Perp 1.41

124 Baillie Gifford Investment Grade Long Bond Fund September 2020

Material Portfolio Changes for the year ended 30 September 2020

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 UK Treasury 3.25% 22/01/2044 9,925 UK Treasury 4.25% 2032 5,687 UK Treasury 4.25% 2032 5,658 KFW 5.75% 2032 4,489 UK Treasury 1.75% 22/01/2049 4,453 Dwr Cymru 6.015% 2028 3,374 Tesco Property Finance 5.4111% 2044 3,446 UK Treasury 3.25% 22/01/2044 2,922 Longhurst Libra 3.25% 2043 2,930 IBRD 5.75% 2032 2,724 Rabobank 6.5% Perp 2,661 BBC 5.0636% 2033 2,684 LafargeHolcim 3% 2032 2,639 Network Rail 4.75% 2035 2,589 UK Treasury 3.5% 22/07/2068 2,449 Severn Trent 2.75% 2031 2,550 UK Treasury 4.25% 07/03/2036 2,334 Rabobank Group 4% 2029 2,525 Enel 5.75% 2040 2,254 Fidelity Information Services 3.36% 2031 2,516

The largest purchases and sales of bonds have been shown.

125 Baillie Gifford Investment Grade Long Bond Fund September 2020

Portfolio Statement as at 30 September 2020

Stock description Holding Market %oftotal value £’000 net assets

Agency - 1.76% (2.03%) SNCF Reseau 4.83% 2060 260,000 498 0.23 SNCF Reseau 5.25% 2035 1,200,000 1,822 0.86 Temasek 0.5% 2031 625,000 564 0.27 Temasek 1.25% 2049 850,000 860 0.40

Asset Backed - 4.30% (8.05%) Freshwater Finance 5.182% 2035 2,261,000 3,110 1.46 Lunar Funding 1 5.75% 2033 1,658,000 2,437 1.15 Yorkshire Water 2.75% 2041 800,000 909 0.43 Yorkshire Water 5.5% 2037 1,700,000 2,667 1.26

Automotive - 0.26% (0.00%) Aptiv 4.35% 2029 16,000 14 0.00 Aptiv 4.4% 2046 721,000 546 0.26

Banking - 7.78% (10.59%) Citigroup 8.125% 2039 2,165,000 2,915 1.37 Erste Group Bank AG 6.5% 2024 Perp 600,000 583 0.27 HSBC Bank 5.844% 2031 Perp 800,000 1,139 0.54 Nationwide 5.75% Perp 1,191,000 1,227 0.58 Rabobank 6.5% Perp 2,780,000 3,000 1.41 Rabobank 6.91% 2038 Perp 1,100,000 1,845 0.87 Rabobank Group 5.375% 2060 200,000 417 0.20 RBS 3.622% 2030 2,100,000 2,192 1.03 Svenska Handelsbanken AB 4.75% Perp 1,200,000 947 0.45 Yorkshire Building Society 3.375% 2027/28 2,140,000 2,246 1.06

Basic Industry - 1.30% (0.74%) LafargeHolcim 3% 2032 2,500,000 2,756 1.30

126 Baillie Gifford Investment Grade Long Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Capital Goods - 2.08% (3.05%) DS Smith 2.875% 2029 1,400,000 1,452 0.68 GE Capital 5.375% 2040 700,000 809 0.38 GE Capital 5.875% 2033 700,000 845 0.40 GE Capital 8% 2039 900,000 1,304 0.62

Commercial Mortgage Backed - 3.97% (4.19%) Telereal 5.9478% 2031/33 (A4) 2,385,000 2,020 0.95 Tesco Property Finance 5.4111% 2044 2,800,000 3,437 1.62 Tesco Property Finance 5.661% 2041 1,500,000 1,947 0.92 Tesco Property Finance 7.6227% 2039 800,000 1,010 0.48

Consumer Goods - 1.38% (1.19%) Anheuser-Busch 4.7% 2036 1,600,000 1,465 0.69 Hasbro 6.35% 2040 1,600,000 1,457 0.69

Financial Services - 4.36% (3.98%) Berkshire Hathaway 2.375% 2039 1,200,000 1,347 0.63 Berkshire Hathaway 2.625% 2059 1,700,000 2,085 0.98 Investec Bank 4.25% 2028 1,000,000 1,010 0.48 LeasePlan 7.375% 2024 Perp AT1 1,500,000 1,372 0.65 Motability 2.375% 2039 1,070,000 1,206 0.57 Motability 3.625% 2036 1,717,000 2,221 1.05

Government Guaranteed - 4.11% (9.83%) KFW 5% 2036 1,800,000 2,931 1.38 LCR Finance 5.1% 2051 1,300,000 2,654 1.25 Network Rail 4.75% 2035 2,000,000 3,132 1.48

127 Baillie Gifford Investment Grade Long Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Health Care - 3.29% (3.72%) AstraZeneca 6.45% 2037 1,300,000 1,524 0.72 GlaxoSmithKline 4.25% 2045 716,000 1,083 0.51 GlaxoSmithKline 5.25% 2042 1,800,000 2,944 1.38 Pfizer 2.735% 2043 1,200,000 1,438 0.68

Insurance - 3.32% (1.12%) Legal & General 4.5% 2030/50 321,000 347 0.16 Legal & General 5.5% 2044/64 2,400,000 2,812 1.32 Pension Insurance 4.625% 2031 1,300,000 1,416 0.67 Pension Insurance 5.625% 2030 700,000 819 0.39 Phoenix Life 5.625% 2031 1,139,000 1,297 0.61 Phoenix Life 6.625% 2025 303,000 362 0.17

Media - 0.95% (0.00%) Netflix 4.625% 2029 600,000 629 0.30 Walt Disney 4.125% 2041 1,500,000 1,386 0.65

Real Estate - 11.64% (9.40%) Annington Funding 3.685% 2034 1,580,000 1,838 0.87 Aster 4.5% 2043 2,538,000 3,808 1.79 British Land 5.264% 2035 (Bearer) 760,000 1,012 0.48 Clarion 3.125% 2048 1,700,000 2,120 1.00 Clarion 4.25% 2042 950,000 1,346 0.63 CPI Property 2.75% 2028 1,500,000 1,463 0.69 Housing & Care 3.288% 2049 2,400,000 2,913 1.37 Karbon 3.375% 2047 2,000,000 2,696 1.27 Longhurst Libra 3.25% 2043 2,500,000 2,983 1.41 Sovereign Housing Capital 4.768% 2043 2,141,000 3,377 1.59 Welltower 4.5% 2034 985,000 1,148 0.54

Retail - 2.66% (0.76%) Alibaba 4% 2037 2,100,000 1,924 0.91 Tesco 2.75% 2030 1,153,000 1,222 0.57

128 Baillie Gifford Investment Grade Long Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Walmart 4.875% 2039 600,000 951 0.45 Walmart Stores 5.25% 2035 990,000 1,555 0.73

Services - 3.22% (4.24%) Ashtead 4.375% 2027 (144A) 2,000,000 1,608 0.76 University of Cambridge 3.75% 2052 712,000 1,204 0.57 University of Oxford 2.544% 2117 530,000 761 0.36 Waste Management 4.15% 2049 2,100,000 2,067 0.97 Wellcome Trust 2.517% 2118 800,000 1,188 0.56

Sovereign - 6.91% (0.42%) UK Treasury 1.75% 22/01/2049 3,900,000 4,885 2.30 UK Treasury 3.25% 22/01/2044 4,500,000 6,886 3.24 UK Treasury 3.5% 22/07/2068 1,100,000 2,347 1.11 UK Treasury 4% 22/01/2060 258,000 547 0.26

Supranational - 0.72% (4.46%) EIB 5% 2039 900,000 1,530 0.72

Technology & Electronics - 3.39% (2.88%) Apple 4.375% 2045 2,400,000 2,479 1.17 Corning 5.45% 2079 2,500,000 2,461 1.16 Dell 6.02% 2026 (144A) 900,000 818 0.39 Dell 8.1% 2036 1,400,000 1,424 0.67

Telecommunications - 8.76% (9.26%) AT&T 3.5% 2053 2,479,000 1,851 0.87 AT&T 3.65% 2059 2,160,000 1,641 0.78 AT&T 4.875% 2044 1,100,000 1,471 0.69 AT&T 7% 2040 550,000 895 0.42 Bell Canada 4.75% 2044 2,490,000 1,768 0.83 BT Group 3.625% 2047 1,040,000 1,195 0.56 France Telecom 5.625% 2034 1,067,000 1,557 0.74 KPN 5.75% 2029 870,000 1,105 0.52 KPN 8.375% 2030 1,900,000 2,126 1.00

129 Baillie Gifford Investment Grade Long Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Orange SA 5.375% 2050 1,200,000 2,019 0.95 Vodafone 3% 2056 1,470,000 1,537 0.73 Vodafone 4.875% 2025/78 700,000 740 0.35 Vodafone Group 3.375% 2049 600,000 677 0.32

Transportation - 1.60% (0.92%) AP Moller-Maersk A/S 4% 2025 678,000 734 0.35 Manchester Airport 2.875% 2039 2,200,000 2,017 0.95 Ryanair 2.875% 2025 711,000 641 0.30

Utilities - 20.23% (16.57%) Centrica 4.25% 2044 2,053,000 2,682 1.26 E.ON 5.875% 2037 1,400,000 2,180 1.03 E.ON 6.75% 2039 500,000 858 0.41 EDF 5.125% 2050 950,000 1,423 0.67 EDF 5.5% 2037 1,400,000 2,016 0.95 EDF 5.875% 2029 Perp 900,000 964 0.45 EDF 6% 2114 1,300,000 2,173 1.02 EDF 6% 2114 (144A) 610,000 643 0.30 Enel 2.25% 2026 Perp 1,506,000 1,363 0.64 Enel 5.75% 2040 2,846,000 4,364 2.06 Engie SA 5% 2060 650,000 1,226 0.58 National Grid 2% 2038 2,000,000 2,127 1.00 National Grid 5.625% 2025/73 1,900,000 2,142 1.01 Northern Powergrid 2.25% 2059 1,860,000 2,125 1.00 Orsted 1.75% 3019 1,000,000 906 0.43 Orsted 2.5% 2033 900,000 1,022 0.48 Orsted 5.75% 2040 1,125,000 1,885 0.89 RWE 6.125% 2039 3,000,000 4,874 2.30 Severn Trent 2% 2040 2,100,000 2,205 1.04 TXU Eastern Funding 7.25% 20301 187,000 - 0.00 Western Power Dist East 1.75% 2031 1,500,000 1,553 0.73 Western Power Dist East 6.25% 2040 900,000 1,549 0.73 Western Power Dist West 5.75% 2032 1,830,000 2,645 1.25

130 Baillie Gifford Investment Grade Long Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Derivatives - 0.37% (1.06%) Forward currency contracts (see Table 1) (453) (0.21) Futures contracts (see Table 2) - 0.00 Interest rate swaps contracts (see Table 3) 1,241 0.58

Portfolio of investments 208,703 98.36

Net other assets - 1.64% (1.54%) 3,471 1.64

Net assets 212,174 100.00 1The issuer of this bond was in administration at the year end, therefore the bond has been valued at the Investment Adviser’s valuation.

Please note: figures are based on market values rather than economic exposure. Unless otherwise stated the above holdings are in fixed interest securities. Figures in brackets in the investment category headings refer to 30 September 2019.

Table 1: Unrealised gains/(losses) on open forward currency contracts Unrealised gains/(losses) % of total Counterparty Settlement Buy Buy Amount Sell Sell Amount £’000 net assets

HSBC 19/11/20 GBP 10,326,843 EUR 11,440,000 (58) (0.02) National Australia Bank 19/11/20 GBP 29,981,252 USD 39,260,000 (379) (0.18) Royal Bank of Canada 19/11/20 GBP 1,559,368 CAD 2,720,000 (16) (0.01) Unrealised gains/(losses) on open forward currency contracts (453) (0.21)

131 Baillie Gifford Investment Grade Long Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Table 2: Unrealised gains/(losses) on futures contracts Unrealised gains/(losses) % of total Futures Maturity Notional £’000 net assets

Canada 10 Year Bond Future December 2020 31/12/20 (40) - 0.00 Euro-Bund Future December 2020 10/12/20 (144) - 0.00 Euro-Bund Future December 2020 10/12/20 (26) - 0.00 Euro-Buxl 30 Year Bund December 2020 10/12/20 (6) - 0.00 Long Gilt Future 10 Year December 2020 31/12/20 285 - 0.00 US 10 Year Note Future December 2020 31/12/20 (37) - 0.00 US Long Bond (CBT) December 2020 31/12/20 (100) - 0.00 US Ultra 10 Year Note Future December 2020 31/12/20 (10) - 0.00 US Ultra Long (CBT) December 2020 31/12/20 (46) - 0.00

Unrealised gains/(losses) on futures contracts - 0.00

Table 3: Unrealised gains/(losses) on open interest rate swap contracts Unrealised gains/(losses) % of total Counterparty Ccy Termination Notional Fund pays Fund receives £’000 net assets

JP Morgan GBP 02/10/43 2,880,000 COP Overnight 0.7625 327 0.15 Interbank Reference Rate JP Morgan GBP 24/05/44 3,050,000 COP Overnight 1.0728 574 0.27 Interbank Reference Rate JP Morgan GBP 07/06/46 2,690,000 COP Overnight 0.7615 340 0.16 Interbank Reference Rate

Unrealised gains/(losses) on open interest rate swap contracts 1,241 0.58

132 Baillie Gifford Investment Grade Long Bond Fund September 2020

Comparative Tables

Comparative Table: B Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 308.51 263.96 262.89

Return before operating charges* 15.88 45.33 1.82 Operating charges (0.88) (0.78) (0.75)

Return after operating charges* 15.00 44.55 1.07

Distributions (9.39) (8.81) (8.43)

Retained distributions on accumulation shares 9.39 8.81 8.43

Closing net asset value per share 323.51 308.51 263.96

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 4.86% 16.88% 0.41%

Other Information: Closing net asset value (£’000) 21,081 28,407 36,728 Closing number of shares 6,516,272 9,208,267 13,914,229 Operating charges 0.28% 0.28% 0.28% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 332.8 311.4 273.2 Lowest share price (pence) 265.3 259.7 260.0

133 Baillie Gifford Investment Grade Long Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 142.49 125.67 129.22

Return before operating charges* 7.21 21.35 0.92 Operating charges (0.40) (0.37) (0.36)

Return after operating charges* 6.81 20.98 0.56

Distributions on income shares (4.30) (4.16) (4.11) Closing net asset value per share 145.00 142.49 125.67

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 4.78% 16.69% 0.43%

Other Information: Closing net asset value (£’000) 63,737 50,153 73,847 Closing number of shares 43,957,857 35,197,976 58,761,165 Operating charges 0.28% 0.28% 0.28% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 151.3 145.8 134.3 Lowest share price (pence) 121.9 123.7 127.1

134 Baillie Gifford Investment Grade Long Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 311.19 265.59 263.86

Return before operating charges* 16.01 45.66 1.81 Operating charges (0.06) (0.06) (0.08)

Return after operating charges* 15.95 45.60 1.73

Distributions (9.49) (9.59) (9.13)

Retained distributions on accumulation shares 9.49 9.59 9.13

Closing net asset value per share 327.14 311.19 265.59

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 5.13% 17.17% 0.66%

Other Information: Closing net asset value (£’000) 54,989 93,207 81,207 Closing number of shares 16,808,893 29,951,712 30,576,244 Operating charges 0.02% 0.02% 0.03% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 336.5 314.1 274.4 Lowest share price (pence) 268.0 261.3 261.2

135 Baillie Gifford Investment Grade Long Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 144.53 127.47 131.06

Return before operating charges* 7.31 21.66 0.95 Operating charges (0.03) (0.03) (0.04)

Return after operating charges* 7.28 21.63 0.91

Distributions on income shares (4.36) (4.57) (4.50) Closing net asset value per share 147.45 144.53 127.47

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 5.04% 16.97% 0.69%

Other Information: Closing net asset value (£’000) 72,367 25,449 22,325 Closing number of shares 49,079,985 17,608,201 17,513,701 Operating charges 0.02% 0.02% 0.03% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 153.7 148.1 136.3 Lowest share price (pence) 123.8 125.4 129.0 1Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts. A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

136 Baillie Gifford Investment Grade Long Bond Fund September 2020

Financial Statements

Statement of Total Return for the year ended 30 September 2020

2020 2019 Notes £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 1 3,633 27,673 Revenue 3 5,985 7,505 Expenses 4 (226) (314)

Net revenue before taxation 5,759 7,191 Taxation 5 - - Net revenue after taxation 5,759 7,191

Total return before distributions 9,392 34,864 Distributions 6 (5,982) (7,191) Change in net assets attributable to shareholders from investment activities 3,410 27,673

Statement of Change in Net Assets Attributable to Shareholders for the year ended 30 September 2020

2020 2019 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 197,216 214,107 Amounts receivable on issue of shares 37,817 27,040 Amounts payable on cancellation of shares (29,700) (75,889)

8,117 (48,849) Dilution adjustment 317 300 Change in net assets attributable to shareholders from investment activities 3,410 27,673 Retained distributions on accumulation shares 3,114 3,985 Closing net assets attributable to shareholders 212,174 197,216

137 Baillie Gifford Investment Grade Long Bond Fund September 2020

Financial Statements cont.

Balance Sheet as at 30 September 2020

2020 2019 Notes £’000 £’000

Assets: Fixed assets: Investments 13 209,156 194,172 Current assets: Debtors 8 3,977 3,224 Cash and bank balances 9 4,849 3,840 Total assets 217,982 201,236

Liabilities: Investment liabilities 13 (453) - Creditors: Bank overdrafts 9 (95) - Distributions payable (1,863) (1,054) Other creditors 10 (3,397) (2,966)

Total liabilities (5,808) (4,020) Net assets attributable to shareholders 212,174 197,216

138 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements

1 Net capital gains/(losses) 2020 2019 £’000 £’000

Non-derivative securities 4,691 27,788 Derivative contracts (2,196) 2,143 Forward currency contracts 1,090 (2,271) Currency gains/(losses) 50 15 Transaction costs (2) (2) Net capital gains/(losses) 3,633 27,673

2 Purchases, sales and transaction costs 2020 2019 £’000 £’000

Purchases and transaction costs Gross purchases of bonds excluding transaction costs1 123,703 70,106 Purchases including transaction costs 123,703 70,106

1There were no transaction costs on the purchase of bonds.

2020 2019 £’000 £’000

Sales and transaction costs Gross sales of bonds excluding transaction costs1 111,722 113,305 Sales net of transaction costs 111,722 113,305

1There were no transaction costs on the sale of bonds.

2020 2019 £’000 £’000

Transaction cost on derivative contracts Commission on trading futures contracts 89

139 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements cont.

2 Purchases, sales and transaction costs (continued)

2020 2019 £’000 % of average £’000 % of average NAV NAV

Portfolio transaction costs Commissions 8 0.00 9 0.00 Taxes - 0.00 - 0.00 Total direct transaction costs 8 0.00 9 0.00

2020 2019 %% Average portfolio dealing spread 1.13 0.58

Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts.

A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

Dealing spread is the difference in the buying and selling prices of the underlying investments. Dealing spreads vary considerably depending on the transaction value and market sentiment. The Fund may have holdings in single priced funds. The notional spread on these holdings is not included in the average dealing spread calculated for this Fund.

3 Revenue 2020 2019 £’000 £’000

Interest on debt securities 5,988 7,446 Bank interest -13 Swaps interest (3) 46 Total revenue 5,985 7,505

140 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements cont.

4 Expenses 2020 2019 £’000 £’000

Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 180 277

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary’s fee 17 19 Bank charges 13 11 Bank overdraft interest 3-

33 30

Other expenses: Audit fee 13 7 Total expenses 226 314

5 Taxation 2020 2019 £’000 £’000

Analysis of charge in the year Corporation tax -- Total taxation --

The Fund is subject to corporation tax at 20% (2019: 20%), however, the Fund is a bond fund making interest distributions and the interest distributions made by the Fund are allowable in arriving at the amount of revenue liable to tax. As a result, this has reduced the corporation tax liability of the Fund to nil. The deduction of the interest distribution has been restricted to reflect the priority utilisation of the management expenses incurred by the Fund in the year, as per regulation 13(1A) of SI 2006/964. This results in no excess management expenses or interest distribution being carried forward. The tax charge is explained as follows: 2020 2019 £’000 £’000

Net revenue/(expense) before taxation 5,759 7,191 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (2019: 20%) 1,152 1,438 Effects of: Interest distributions (1,197) (1,438) Management expenses charged to capital 45 - Total taxation --

141 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements cont.

6 Distributions 2020 2019 £’000 £’000

Interim to 31 December 1,073 1,328 Interim to 31 March 1,086 1,395 Interim to 30 June 1,141 1,374 Final to 30 September 2,849 2,678

6,149 6,775 Amounts deducted on cancellation of shares 634 637 Amounts added on issue of shares (801) (221) Total distributions 5,982 7,191

The distributions take account of revenue transactions on the issue and cancellation of shares. Details of the distributions per share are set out in the Distribution Tables.

7 Reconciliation of net revenue to net distributions for the year 2020 2019 £’000 £’000

Net revenue after taxation for the year 5,759 7,191 Add expenses allocated to capital 223 - Net distributions for the year 5,982 7,191

8 Debtors 2020 2019 £’000 £’000

Receivable for issue of shares 79 - Sales awaiting settlement 581 Accrued income 2,299 2,613 VAT recoverable 1- Collateral held by counterparties 690 - Amounts due from clearing house 903 529 Other debtors -1 Total debtors 3,977 3,224

142 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements cont.

9 Cash and bank balances 2020 2019 £’000 £’000

Sterling amounts held at clearing houses and brokers 861 631 Foreign amounts held at clearing houses and brokers 1,326 543 Sterling bank accounts 2,662 2,666

4,849 3,840 Sterling amounts held at clearing houses and brokers overdrawn (95) - Total cash and bank balances 4,754 3,840

10 Other creditors 2020 2019 £’000 £’000

Payable for cancellation of shares 913 1,012 Purchases awaiting settlement 1,300 - Due to the ACD or associates 19 18 Due to the Depositary or associates 43 Collateral held on behalf of counterparty - 845 Amounts due to clearing broker 1,149 1,083 Other accrued expenses 12 5 Total other creditors 3,397 2,966

11 Related party transactions Baillie Gifford & Co Limited, as ACD, is regarded as a related party by virtue of the services provided to the Company. Baillie Gifford & Co Limited acts as principal in respect of all transactions of shares in the Company, except where stocks are transferred on the issue or cancellation of shares. The aggregate monies received through issue and paid on cancellation are disclosed in the Statement of Change in Net Assets Attributable to Shareholders. Amounts receivable and payable on the issue and cancellation of shares have been disclosed in notes 8 and 10 respectively. Amounts paid to Baillie Gifford & Co Limited in respect of ACD fees are disclosed in note 4 with amounts due at the year end given in note 10. Shares held by the ACD and associates of the ACD The shares held by the ACD and associates of the ACD as a percentage of the Fund’s NAV were: 2020 2019 % % ACD and associates of the ACD 0.00 0.00

143 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements cont.

12 Reconciliation of shares in issue 2020 B Accumulation Shares B Income Shares C Accumulation Shares C Income Shares

Opening shares in issue 9,208,267 35,197,976 29,951,712 17,608,201 Shares issued 876,130 21,608,067 1,387,964 401,262 Shares cancelled (263,588) (12,848,186) (2,486,190) (2,471,792) Shares converted (3,304,537) - (12,044,593) 33,542,314 Closing shares in issue 6,516,272 43,957,857 16,808,893 49,079,985

13 Basis of valuation 2020 2019 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000

Level 1: Quoted prices ---- Level 2: Observable market data 209,156 (453) 194,172 - Level 3: Unobservable data1 ---- Total 209,156 (453) 194,172 -

1For further information on the assets included in Level 3, as at 30 September 2020, please refer to the Portfolio Statement.

14 Credit ratings 2020 2019 Market value Percentage of Market value Percentage of Rating Block £’000 total Fund £’000 total Fund

Investment Grade 199,400 93.98 186,432 94.53 High Yield 8,515 4.01 5,661 2.87

Total Bonds - Direct 207,915 97.99 192,093 97.40 Other 4,259 2.01 5,123 2.60 Net Assets 212,174 100.00 197,216 100.00

144 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements cont.

15 Derivatives and other financial instruments Currency exposures A proportion of the net assets of the Fund are denominated in currencies other than sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Currency Net currency assets/(liabilities) Net currency assets/(liabilities) 2020 2019 Monetary Non-monetary Total Monetary Non-monetary Total exposures exposures exposures exposures £’000 £’000 £’000 £’000 £’000 £’000

Canadian dollar 73 193 266 73 (65) 8 Euro 261 (466) (205) - (51) (51) UK sterling 3,873 210,042 213,915 2,452 194,567 197,019 US dollar 991 (1,066) (75) 470 (278) 192

Short term debtors and creditors have not been disclosed.

Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the Fund was:2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial assets £’000 financial financial assets £’000 assets assets not carrying assets assets not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Canadian dollar 73 1,768 - 1,841 73 2,089 - 2,162 Euro 261 9,919 - 10,180 - 2,025 - 2,025 UK sterling 4,032 176,794 41,867 222,693 15,368 158,820 31,432 205,620 US dollar 991 29,295 - 30,286 470 26,535 - 27,005

2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial liabilities £’000 financial financial liabilities £’000 liabilities liabilities not carrying liabilities liabilities not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Canadian dollar - - 1,575 1,575 - - 2,153 2,153 Euro - - 10,385 10,385 - - 2,076 2,076 UK sterling 8,779 - - 8,779 9,165 - - 9,165 US dollar - - 30,361 30,361 - - 26,813 26,813

145 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements cont.

16 Derivative Exposure The exposure to derivative counterparties was: 2020 2019 Counterparty Forward Inflation Interest Cash Total Forward Inflation Interest Cash Total currency rate rate collateral exposure currency rate rate collateral exposure contracts swaps swaps held contracts swaps swaps held £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000

HSBC -----89---89 JP Morgan Chase - - 1,241 - 1,241 - - 1,690 (565) 1,125 National Australia Bank - - - - - 285 - - (280) 5 Royal Bank of Canada - - - - - 16 - - - 16

Collateral pledged on derivatives was: 2020 2019 £’000 £’000

Cash collateral pledged on derivatives HSBC 60 - National Australia Bank 630 -

In addition, the Fund trades futures contracts through UBS. Fair value movements are offset by movements in the variation margin account which reduces the derivative counterparty exposure to nil.

17 Value at risk (VaR) The market risk of the Fund’s financial asset and liability positions is monitored by the Investment Adviser using VaR analysis. VaR analysis attempts to reflect the interdependencies between risk variables, unlike a traditional sensitivity analysis. VaR represents the potential losses from adverse changes in market factors for a specified time period and confidence level.

Model assumptions: System FIS Advanced Portfolio Technologies (APT) VaR methodology: variance convariance approcach (with delta-adjustment) Confidence level: 99% Holding period: 1month Decay factor for exponential smoothing of historical market data: nil Historical observation period: 180 weeks

2020 2019 %%

Fund VaR: 7.28 5.69 Index VaR: 7.29 5.49

The VaR noted above indicates the VaR of the Fund’s financial instruments, measured as the potential 1 month loss in value from adverse changes in equity prices, interest rates, inflation and foreign currency exchange rates, with a 99% confidence level.

146 Baillie Gifford Investment Grade Long Bond Fund September 2020

Notes to the Financial Statements cont.

17 Value at risk (VaR) (continued)

In combination with a snapshot of the portfolio and benchmark constituents at a given point in time, the APT risk model uses 180 weeks of historic data to formulate a prediction of risk over a desired time period. In the case of VaR numbers, the risk model produces a 1-month prediction of 99% VaR. The decay factor for exponential smoothing of the historic market data refers to how the risk model uses more recent data in its historic data window compared to older data. Using a positive decay factor would mean that the risk model is placing more importance on more recent data than on older data in formulating its prediction of risk – this would result in the risk model being more short-term in nature, and increasingly geared to short-term recent events. The decay factor used in the APT risk model for calculating VaR numbers is nil. This means that each of the 180 weeks of historic data used by the risk model are treated with equal importance in the model’s calculation of predicted risk. This means that the risk model’s prediction of risk will be influenced by the average variances and covariances of portfolio and comparative index constituents over the past 3½ years. Objectives and limitations of the VaR methodology

The APT model uses statistical factor techniques to measure the effects of these risk variables on the value of the Fund. The VaR model is designed to measure market risk in a normal market environment.

The use of VaR has limitations because it is based on historical correlations and volatilities in market prices and assumes that future price movements will follow a statistical distribution. Due to the fact that VaR relies significantly on historical data to provide information and may not clearly predict the future changes and modifications of the risk factors, the probability of large market moves may be underestimated if changes in risk factors fail to align with the given distribution assumption. VaR may also be under- or over-estimated due to the assumption placed on risk factors and the relationship between such factors for specific instruments.

Even though positions may change throughout the day, the VaR only represents the risk of the portfolios at the close of each business day, and it does not account for any losses that may occur beyond the 99% confidence level. In practice, the actual trading results will differ from the VaR calculation and, in particular, the calculation does not provide a meaningful indication of profits and losses in stressed market conditions. To determine the reliability of the VaR models, actual outcomes are monitored regularly to test the validity of the assumptions and the parameters used in the VaR calculation. Market risk positions are also subject to regular stress tests to ensure that the Fund would withstand an extreme market event.

147 Baillie Gifford Investment Grade Long Bond Fund September 2020

Distribution Tables

Interim distribution for the period ended 31 December 2019

Group 1 : shares purchased prior to 1 October 2019 Group 2 : shares purchased 1 October 2019 to 31 December 2019

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 28.02.20) 28.02.19)

31.12.19 31.12.19 31.12.19 31.12.18 pence per share pence per share pence per share pence per share

B Accumulation Group 1 1.60000 - 1.60000 1.60000 Group 2 0.67826 0.92174 1.60000 1.60000

B Income Group 1 0.75000 - 0.75000 0.75000 Group 2 0.18760 0.56240 0.75000 0.75000

C Accumulation Group 1 1.80000 - 1.80000 1.80000 Group 2 0.27935 1.52065 1.80000 1.80000

C Income Group 1 0.80000 - 0.80000 0.80000 Group 2 0.80000 - 0.80000 0.80000

148 Baillie Gifford Investment Grade Long Bond Fund September 2020

Distribution Tables cont.

Interim distributions for the period ended 31 March 2020

Group 1 : shares purchased prior to 1 January 2020 Group 2 : shares purchased 1 January 2020 to 31 March 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 31.05.20) 31.05.19)

31.03.20 31.03.20 31.03.20 31.03.19 pence per share pence per share pence per share pence per share

B Accumulation Group 1 1.60000 - 1.60000 1.60000 Group 2 - 1.60000 1.60000 1.60000

B Income Group 1 0.75000 - 0.75000 0.75000 Group 2 - 0.75000 0.75000 0.75000

C Accumulation Group 1 1.80000 - 1.80000 1.80000 Group 2 0.44495 1.35505 1.80000 1.80000

C Income Group 1 0.80000 - 0.80000 0.80000 Group 2 0.24970 0.55030 0.80000 0.80000

149 Baillie Gifford Investment Grade Long Bond Fund September 2020

Distribution Tables cont.

Interim distribution for the period ended 30 June 2020

Group 1 : share purchased prior to 1 April 2020 Group 2 : share purchased 1 April 2020 to 30 June 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 31.08.20) 31.08.19)

30.06.20 30.06.20 30.06.20 30.06.19 pence per share pence per share pence per share pence per share

B Accumulation Group 1 1.60000 - 1.60000 1.60000 Group 2 - 1.60000 1.60000 1.60000

B Income Group 1 0.75000 - 0.75000 0.75000 Group 2 - 0.75000 0.75000 0.75000

C Accumulation Group 1 1.80000 - 1.80000 1.80000 Group 2 0.50620 1.29380 1.80000 1.80000

C Income Group 1 0.80000 - 0.80000 0.80000 Group 2 0.80000 - 0.80000 0.80000

150 Baillie Gifford Investment Grade Long Bond Fund September 2020

Distribution Tables cont.

Final distribution for the period ended 30 September 2020

Group 1 : shares purchased prior to 1 July 2020 Group 2 : shares purchased 1 July 2020 to 30 September 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.11.20) 30.11.19)

30.09.20 30.09.20 30.09.20 30.09.19 pence per share pence per share pence per share pence per share

B Accumulation Group 1 4.59000 - 4.59000 4.01000 Group 2 1.09554 3.49446 4.59000 4.01000

B Income Group 1 2.05000 - 2.05000 1.91000 Group 2 0.63921 1.41079 2.05000 1.91000

C Accumulation Group 1 4.09000 - 4.09000 4.19000 Group 2 2.27460 1.81540 4.09000 4.19000

C Income Group 1 1.96000 - 1.96000 2.17000 Group 2 1.96000 - 1.96000 2.17000

151 Baillie Gifford Investment Grade Long Bond Fund September 2020

152 BAILLIE GIFFORD

Baillie Gifford Strategic Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Annual Report and Financial Statements for the year ended 30 September 2020

153 Baillie Gifford Strategic Bond Fund September 2020

Baillie Gifford Strategic Bond Fund

Investment Objective The Fund is classified in the category above because it invests in corporate bonds which generally provide The Fund aims to produce monthly income. higher rewards and higher risks than other investments Opportunities for capital growth are also sought, subject such as government bonds and cash. to prevailing market conditions. The indicator does not take into account the following relevant material risks: Investment Policy Investment markets can go down as well as up and market conditions can change rapidly. The value of an The Fund will invest at least 80% in a diversified investment in the Fund, and any income from it, can fall portfolio of (1) investment grade and (2) sub-investment as well as rise and you may not get back the amount grade bonds, issued by corporate issuers, public bodies invested. and supranationals, and (3) developed market Custody of assets involves a risk of loss if the government bonds. The fund may also invest in other custodian becomes insolvent or breaches duties of care. bonds. The bonds in which the Fund invests will be denominated in sterling or denominated in other Bonds issued by companies and governments may be currencies and hedged back to sterling. Currency adversely affected by changes in interest rates, forwards and derivatives, which are types of financial expectations of inflation and a decline in the contracts, are used for both investment purposes and in creditworthiness of the bond issuer. The issuers of bonds the management of risk. The Fund will be actively in which the Fund invests may not be able to pay the managed through bond selection and strategic asset bond income as promised or could fail to repay the allocation. capital amount. The Fund’s concentrated portfolio relative to similar Risk and Reward Profile funds may result in large movements in the share price in the short term. The Risk and Reward Indicator table demonstrates where Derivatives may be used to obtain, increase or reduce the Fund ranks in terms of its potential risk and reward. exposure to assets and may result in the Fund being The higher the rank the greater the potential reward but leveraged. This may result in greater movements (down the greater the risk of losing money. It is based on past or up) in the price of shares in the Fund. It is not our data, may change over time and may not be a reliable intention that the use of derivatives will significantly indication of the future risk profile of the Fund. The alter the overall risk profile of the Fund. shaded area in the table below shows the Fund’s ranking In certain circumstances it can be difficult to buy or on the Risk and Reward Indicator. sell the Fund’s holdings and even small purchases or sales can cause their prices to move significantly, affecting the value of the Fund and the price of shares in the Fund. Market values for securities which are difficult to Please note that even the lowest risk class can lose you trade may not be readily available, and there can be no money and that extreme adverse market circumstances assurance that any value assigned to them will reflect the can mean you suffer severe losses in all cases. price the Fund might receive upon their sale.

154 Baillie Gifford Strategic Bond Fund September 2020

Baillie Gifford Strategic Bond Fund cont.

The process for the UK to exit the European Union introduces elements of political uncertainty and may have practical consequences for the Fund. Developments will be closely monitored. Infectious viruses may pose significant threats to human health and may be highly disruptive to global economies and markets. The economic and market disruptions caused by infectious viruses could impact the value of the investments of the Fund and the distributions paid by the Fund to shareholders. Further details of the risks associated with investing in the Fund can be found in the Prospectus which is available by contacting Client Relations or visiting our website.

Fees Allocated to Capital

With effect from 1 October 2019, for distribution purposes, all expenses of the Fund are allocated to capital. This will reduce the capital value of the Fund.

155 Baillie Gifford Strategic Bond Fund September 2020

Investment Report

Past Performance The performance figures shown in this graph are for Class B Income Shares. Performance figures reflect the ACD’s annual fee of 0.5%, but 20 exclude any initial charge paid. Please note these returns differ from 10.5 9.9 the returns quoted in the Investment Report, which are based on the 8.4 10 7.1 closing mid prices on the last business day. Performance figures for 4.8 3.3 2.4 3.6 the other share classes in issue can be obtained by contacting Client 1.7 Relations. You should be aware that past performance is not a guide % 0 to future performance. -0.1

-10 30/09/2015 to 30/09/2016 to 30/09/2017 to 30/09/2018 to 30/09/2019 to 30/09/2016 30/09/2017 30/09/2018 30/09/2019 30/09/2020

Baillie Gifford Strategic Bond Fund B Income Shares¹ Investment Association Sterling Strategic Bond sector median²

The investment objective of the Fund is to produce bonds that performed well and re-invest into a mixture of monthly income. Opportunities for capital growth are longer maturity BBB-rated and high yield bonds. In also sought, subject to prevailing market conditions. For effect we sought to add some risk to the portfolio and the year to 30 September 2020, the return on B Income capitalise on the attractive yields on offer in the market. Shares was 2.2%3 compared to the return on the This approach has proved successful to date, supporting Investment Association Sterling Strategic Bond sector stronger performance in the second half of the period. median of 3.6%2. During the year monthly income totalling 3.17 pence per share was declared for B Income The future is balanced between two opposing forces. shares. As we believe short-term performance On one hand we have had unprecedented fiscal and measurements to be of limited relevance in assessing monetary stimulus, while on the other we are yet to investment ability, we would urge investors to focus on determine the consequences of the worst recession in a longer timeframes. The annualised three-year return on B century or, indeed, how and when nature or science is Income Shares was 4.5%3 compared to the sector median going to allow a resumption of our pre Covid-19 lives. of 3.5%2. From a long-term perspective, we believe current pricing renders this an opportune time to allocate to companies Corporate bond markets started the period strongly as with excellent liquidity, that can survive this crisis, gain yields fell through the last quarter of 2019 and into market share, and emerge as stronger businesses in the February 2020. However, as it emerged that existing long term. Our team has identified a range of Covid-19 measures outside of China were failing to idiosyncratic bond ideas, on attractive yields, which fit contain the spread of the virus, the corporate bond market such a category - Fund activity has risen as a sold off very rapidly in March 2020. Although the Fund consequence. Through a mixture of defensive bonds and had been progressively taking risk off at the beginning of a selection of best ideas, we believe the Fund is now well the year - through reducing high yield and increasing positioned to weather a second wave of virus uncertainty, exposure to defensive utilities - we had around 10% of and ultimately deliver good returns over the long term. the Fund in companies which were directly impacted by Covid-19 lock-down restrictions. This meant that issuers Baillie Gifford & Co, 29 October 2020 such as Pure Gym and Merlin Entertainments, contributed to underperformance. With the Fund being otherwise defensively positioned going into the Covid-19 crisis, we subsequently decided to sell out of higher-rated

1Source: FE, 10am dealing prices, income reinvested, after charges. 2Source: FE and relevant underlying index provider, total return. Please see Disclaimer on page 198. 3Source: Baillie Gifford & Co Limited, closing mid prices, income reinvested, after charges. You should be aware that past performance is not a guide to future performance. 156 Baillie Gifford Strategic Bond Fund September 2020

Principal Bond Holdings as at 30 September 2020

Investment Percentage of total Fund Netflix 4.625% 2029 2.75 KFW 5% 2036 2.63 National Grid 5.625% 2025/73 2.30 Virgin Media 5% 2027 2.04 Co-operative Group 7.5% 2026 1.75 Enel 5.75% 2040 1.61 CRH 1.625% 2030 1.59 Global Switch 2.25% 2027 1.58 Tesco Property Finance 5.4111% 2044 1.56 Time Warner Cable 5.25% 2042 1.51

157 Baillie Gifford Strategic Bond Fund September 2020

Material Portfolio Changes for the year ended 30 September 2020

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 Time Warner Cable 5.25% 2042 20,092 Brown-Forman 2.6% 2028 25,389 KFW 5% 2036 19,177 KFW 6% 2028 25,287 Compass Minerals International 6.75% 2027 18,686 Bank of America 7% 2028 22,793 (144A) EIB 6% 2028 18,551 CRH 1.625% 2030 18,431 Enviva Partners 6.5% 2026 (144A) 18,302 Corning 5.45% 2079 18,064 IBRD 5.75% 2032 17,817 Enviva Partners 6.5% 2026 (144A) 18,060 IBRD 1.375% 2020 17,480 Ashtead 4.125% 2025 (144A) 16,493 Fidelity Information Services 3.36% 2031 17,238 EDP 4.496% 2024/79 15,878 Vonovia 4% 2021 Perpetual 16,017 Svenska Handelsbanken 6.25% 2024 Perp 15,612 Bertelsmann 3.5% 2027/75 15,041 Victoria 5.25% 2024 14,773

The largest purchases and sales of bonds have been shown.

158 Baillie Gifford Strategic Bond Fund September 2020

Portfolio Statement as at 30 September 2020

Stock description Holding Market %oftotal value £’000 net assets

Agency - 0.52% (0.00%) Temasek 0.5% 2031 7,400,000 6,677 0.52

Asset Backed - 1.37% (1.42%) Greene King 4.0643% 2035 15,289,000 12,605 0.98 Mitchells & Butlers 5.574% 15/12/2030 4,140,000 1,627 0.12 Mitchells & Butlers 5.965% 15/12/2023 3,944,000 750 0.06 Mitchells & Butlers 6.469% 15/09/2030 2,470,000 2,692 0.21

Automotive - 0.67% (0.00%) Aptiv 4.4% 2046 6,800,000 5,150 0.40 Aptiv 5.4% 2049 4,000,000 3,502 0.27

Banking - 5.04% (5.41%) Rabobank 6.5% Perp 15,400,000 16,616 1.29 RBS 3.125% 2027 6,790,000 7,243 0.56 RBS 3.622% 2030 5,000,000 5,220 0.40 Sainsbury Bank 6% 2022/27 4,820,000 4,858 0.38 Svenska Handelsbanken 6.25% 2024 Perp 18,600,000 15,592 1.21 Yorkshire Building Society 3% 2025 5,150,000 5,422 0.42 Yorkshire Building Society 3.375% 2027/28 9,570,000 10,045 0.78

Basic Industry - 6.80% (0.57%) Alcoa 7% 2026 144A 14,900,000 12,073 0.94 Compass Minerals International 6.75% 2027 (144A) 19,390,000 16,237 1.26 CRH 1.625% 2030 20,800,000 20,513 1.59 Italmatch Chemicals FRN 2024 11,404,000 9,181 0.71 OCI 3.125% 2024 10,200,000 9,183 0.71 OCI 5.25% 2024 (144A) 7,400,000 5,905 0.46 Victoria 5.25% 2024 16,100,000 14,505 1.13

159 Baillie Gifford Strategic Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Capital Goods - 2.15% (3.26%) DS Smith 0.875% 2026 11,800,000 10,670 0.83 DS Smith 2.875% 2029 16,455,000 17,062 1.32

Commercial Mortgage Backed - 5.05% (5.27%) Delamare (B-1) 6.067% 2029 2,720,000 3,391 0.26 Delamare 5.5457% 2029 10,720,000 9,676 0.75 Telereal (B-4) 6.1645% 2031 15,552,000 17,339 1.34 Telereal (C1) FRN 2031 8,600,000 8,087 0.63 Telereal 4.0902% 2021/31 (B2) EJ4608190 1,586,000 1,617 0.13 Tesco Property Finance 5.744% 2040 3,900,000 4,958 0.38 Tesco Property Finance 6 5.4111% 2044 16,370,000 20,094 1.56

Consumer Goods - 1.05% (1.70%) Hasbro 3.9% 2029 16,600,000 13,514 1.05 Virgolino De Oliveira 11.75% 2022 2,485,000 14 0.00

Energy - 2.44% (2.33%) Cheniere Corpus Christi 5.125% 2027 14,731,000 12,648 0.98 Cheniere Energy 4.625% 2028 (144A) 12,700,000 10,079 0.78 Laredo Petroleum 10.125% 2028 8,900,000 3,953 0.31 Neptune 6.625% 2025 7,000,000 4,830 0.37

Financial Services - 7.22% (2.93%) Berkshire Hathaway 2.375% 2039 8,000,000 8,978 0.70 Berkshire Hathaway 2.625% 2059 7,300,000 8,951 0.69 Fidelity 2.5% 2026 20,310,000 19,025 1.48 First Cash 4.625% 2028 (144A) 17,300,000 13,666 1.06 PaymentSense 8% 2025 13,303,000 13,863 1.07 Softbank 5% 2028 20,290,000 19,474 1.51 Target Hospitality 9.5% 2024 (144A) 14,200,000 9,130 0.71

160 Baillie Gifford Strategic Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Government Guaranteed - 2.63% (3.12%) KFW 5% 2036 20,800,000 33,876 2.63

Health Care - 4.05% (4.33%) AstraZeneca 5.75% 2031 6,925,000 10,262 0.79 AstraZeneca 6.45% 2037 13,750,000 16,114 1.25 Catalent 2.375% 2028 17,000,000 14,804 1.15 IQVIA 3.25% 2025 7,170,000 6,541 0.51 Unilabs 5.75% 2025 4,930,000 4,483 0.35

Insurance - 8.30% (10.01%) Admiral Group 5.5% 2024 11,290,000 12,992 1.01 Brit Insurance 6.625% 2020/30 8,900,000 8,478 0.66 Legal & General 5.125% 2028/48 1,600,000 1,826 0.14 Legal & General 5.375% 2025/45 6,892,000 7,894 0.61 Legal & General 5.5% 2044/64 9,211,000 10,793 0.84 Pension Insurance 4.625% 2031 6,200,000 6,752 0.52 Pension Insurance 5.625% 2030 9,100,000 10,647 0.83 Pension Insurance 8% 2026 7,600,000 9,816 0.76 Phoenix Life 7.25% 2021 Perp 8,454,000 8,556 0.66 Rothesay Life 8% 2025 12,780,000 15,876 1.23 Zurich Financial Services 6.625% 2022 Perp 12,212,000 13,403 1.04

Leisure - 2.20% (4.60%) ACCOR SA 2.625% PERP 14,900,000 11,404 0.88 ACCOR SA 4.375% PERP 5,500,000 4,639 0.36 Whitbread 3.375% 2025 12,400,000 12,312 0.96

Media - 8.95% (7.33%) Match.com 5% 2027 144A 5,272,000 4,302 0.34 Match.com 5.625% 2029 144A 17,779,000 14,818 1.15 Netflix 3.625% 2030 3,400,000 3,339 0.26 Netflix 4.625% 2029 33,805,000 35,416 2.75 Time Warner Cable 5.25% 2042 15,200,000 19,476 1.51

161 Baillie Gifford Strategic Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Time Warner Cable 5.75% 2031 6,805,000 8,635 0.67 Virgin Media 5% 2027 25,212,000 26,347 2.04 Virgin Media 5.5% 2029 (144A) 3,600,000 2,989 0.23

Real Estate - 0.97% (2.46%) CPI Property 2.75% 2028 12,860,000 12,542 0.97

Retail - 4.04% (4.74%) Alibaba 4% 2037 13,700,000 12,551 0.97 Co-operative Group 5.125% 2024 7,953,000 8,303 0.64 Co-operative Group 7.5% 2026 19,278,000 22,510 1.75 Liberty Interactive 4% 2029 Convertible 15,070,000 8,690 0.68

Services - 4.17% (2.75%) Ashtead 4.125% 2025 (144A) 20,430,000 16,206 1.26 Ashtead 5.25% 2026 (144A) 2,000,000 1,636 0.13 Darling Ingredients 3.625% 2026 17,530,000 16,164 1.25 University of Cambridge 2.35% 2078 1,950,000 2,982 0.23 University of Cambridge 3.75% 2052 7,200,000 12,174 0.94 University of Oxford 2.544% 2117 3,200,000 4,596 0.36

Supranational - 1.62% (5.16%) EIB 3.875% 2037 7,500,000 10,995 0.85 IBRD 5.75% 2032 6,295,000 9,879 0.77

Technology & Electronics - 4.95% (6.00%) Apple 3.85% 2043 6,400,000 6,172 0.48 Apple 4.65% 2046 2,700,000 2,915 0.23 Corning 5.45% 2079 17,851,000 17,573 1.36 Dell 5.3% 2029 (144A) 18,940,000 16,803 1.30 Global Switch 2.25% 2027 20,955,000 20,362 1.58

Telecommunications - 8.62% (7.87%) AT&T 4.25% 2043 9,690,000 11,877 0.92 AT&T 4.875% 2044 2,800,000 3,744 0.29

162 Baillie Gifford Strategic Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

AT&T 7% 2040 8,800,000 14,314 1.11 Cincinnati Bell 7% 2024 (144A) 6,420,000 5,112 0.40 Cincinnati Bell 8% 2025 (144A) 3,805,000 3,112 0.24 Cogent Communications 4.375% 2024 14,200,000 13,069 1.01 KPN 2% 2024 Perp 15,800,000 14,045 1.09 KPN 5.75% 2029 13,340,000 16,943 1.32 Millicom 6.625% 2026 (144A) 14,806,000 12,283 0.95 Orange 5.75% 2023 Perp 15,290,000 16,666 1.29

Transportation - 3.02% (0.00%) AP Moller-Maersk A/S 4% 2025 5,757,000 6,231 0.48 Ap Moller-Maersk A/S 4.5% 2029 220,000 191 0.01 EMPARQ 1.875% 01/02/2028 7,760,000 6,319 0.49 Fraport 2.125% 2027 10,500,000 9,626 0.75 Ryanair 1.125% 2023 3,931,000 3,431 0.27 Ryanair 2.875% 2025 14,600,000 13,166 1.02

Utilities - 10.84% (13.30%) E.ON 6.65% 2038 5,950,000 6,652 0.52 E.ON 6.75% 2039 2,800,000 4,803 0.37 EDF 5.125% 2050 3,300,000 4,943 0.38 EDF 5.5% 2041 2,500,000 3,673 0.28 EDF 6% 2026 Perp 11,600,000 12,491 0.97 EDF 6% 2114 2,200,000 3,678 0.29 EDP 4.496% 2024/79 17,000,000 16,634 1.29 Enel 5.75% 2040 13,513,000 20,718 1.61 innogy 6.25% 2030 7,900,000 11,122 0.86 National Grid 5.625% 2025/73 26,300,000 29,647 2.30 Orsted 1.75% 3019 7,500,000 6,798 0.53 Western Power Dist East 1.75% 2031 17,910,000 18,544 1.44

163 Baillie Gifford Strategic Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Stock description Holding Market %oftotal value £’000 net assets

Derivatives - 0.85% (0.92%) Forward currency contracts (see Table 1) 10,958 0.85 Futures contracts (see Table 2) - 0.00

Portfolio of investments 1,257,248 97.52

Net other assets - 2.48% (4.52%) 31,988 2.48

Net assets 1,289,236 100.00

Please note: figures are based on market values rather than economic exposure. Unless otherwise stated the above holdings are in fixed interest securities. Figures in brackets in the investment category headings refer to 30 September 2019.

164 Baillie Gifford Strategic Bond Fund September 2020

Portfolio Statement as at 30 September 2020 cont.

Table 1: Unrealised gains/(losses) on open forward currency contracts Unrealised gains/(losses) % of total Counterparty Settlement Buy Buy Amount Sell Sell Amount £’000 net assets

HSBC 19/11/20 GBP 331,619,176 EUR 356,790,000 7,735 0.60 Royal Bank of Canada 19/11/20 GBP 8,792,615 EUR 9,460,000 205 0.02 Royal Bank of Scotland 19/11/20 GBP 285,457,255 USD 365,228,000 3,018 0.23 Unrealised gains/(losses) on open forward currency contracts 10,958 0.85

Table 2: Unrealised gains/(losses) on futures contracts Unrealised gains/(losses) % of total Futures Maturity Notional £’000 net assets

Euro-Bund Future December 2020 10/12/20 (483) - 0.00 Euro-Bund Future December 2020 10/12/20 (92) - 0.00 Long Gilt Future 10 Year December 2020 31/12/20 1,815 - 0.00 US 5 Year Note December 2020 06/01/21 (661) - 0.00 US Long Bond (CBT) December 2020 31/12/20 (194) - 0.00 US Ultra 10 Year Note Future December 2020 31/12/20 (812) - 0.00 US Ultra Long (CBT) December 2020 31/12/20 (34) - 0.00

Unrealised gains/(losses) on futures contracts - 0.00

165 Baillie Gifford Strategic Bond Fund September 2020

Comparative Tables

Comparative Table: A Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 216.62 198.23 196.07

Return before operating charges* 5.71 20.51 4.20 Operating charges (2.22) (2.12) (2.04)

Return after operating charges* 3.49 18.39 2.16

Distributions (7.63) (6.03) (5.89)

Retained distributions on accumulation shares 7.63 6.03 5.89

Closing net asset value per share 220.11 216.62 198.23

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 1.61% 9.28% 1.10%

Other Information: Closing net asset value (£’000) 16,274 30,909 14,764 Closing number of shares 7,393,727 14,268,919 7,447,948 Operating charges 1.02% 1.02% 1.02% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 223.8 218.3 202.4 Lowest share price (pence) 187.3 196.6 197.2

166 Baillie Gifford Strategic Bond Fund September 2020

Comparative Tables cont.

Comparative Table: A Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 86.11 81.12 82.66

Return before operating charges* 2.22 8.29 1.77 Operating charges (0.87) (0.85) (0.85)

Return after operating charges* 1.35 7.44 0.92

Distributions on income shares (3.00) (2.45) (2.46) Closing net asset value per share 84.46 86.11 81.12

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 1.57% 9.17% 1.11%

Other Information: Closing net asset value (£’000) 5,716 6,582 6,492 Closing number of shares 6,767,813 7,644,299 8,002,443 Operating charges 1.02% 1.02% 1.02% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 88.23 87.60 84.88 Lowest share price (pence) 73.83 80.02 82.17

167 Baillie Gifford Strategic Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 234.14 213.19 209.82

Return before operating charges* 6.18 22.11 4.48 Operating charges (1.22) (1.16) (1.11)

Return after operating charges* 4.96 20.95 3.37

Distributions (8.28) (7.61) (7.39)

Retained distributions on accumulation shares 8.28 7.61 7.39

Closing net asset value per share 239.10 234.14 213.19

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 2.12% 9.83% 1.61%

Other Information: Closing net asset value (£’000) 802,202 718,315 449,076 Closing number of shares 335,502,352 306,793,123 210,645,112 Operating charges 0.52% 0.52% 0.52% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 243.1 235.8 216.9 Lowest share price (pence) 203.0 211.8 211.1

168 Baillie Gifford Strategic Bond Fund September 2020

Comparative Tables cont.

Comparative Table: B Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 91.01 85.73 87.36

Return before operating charges* 2.35 8.76 1.87 Operating charges (0.47) (0.46) (0.46)

Return after operating charges* 1.88 8.30 1.41

Distributions on income shares (3.17) (3.02) (3.04) Closing net asset value per share 89.72 91.01 85.73

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 2.07% 9.68% 1.61%

Other Information: Closing net asset value (£’000) 463,604 446,215 294,394 Closing number of shares 516,732,795 490,311,919 343,389,581 Operating charges 0.52% 0.52% 0.52% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 93.27 92.60 89.70 Lowest share price (pence) 78.04 84.56 86.80

169 Baillie Gifford Strategic Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Accumulation Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 269.15 243.84 238.79

Return before operating charges* 7.15 25.36 5.12 Operating charges (0.08) (0.05) (0.07)

Return after operating charges* 7.07 25.31 5.05

Distributions (9.51) (10.00) (9.64)

Retained distributions on accumulation shares 9.51 10.00 9.64

Closing net asset value per share 276.22 269.15 243.84

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 2.63% 10.38% 2.11%

Other Information: Closing net asset value (£’000) 3 3 2 Closing number of shares 1,000 1,000 1,000 Operating charges 0.03% 0.02% 0.03% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 280.8 271.0 247.2 Lowest share price (pence) 233.9 242.5 240.2

170 Baillie Gifford Strategic Bond Fund September 2020

Comparative Tables cont.

Comparative Table: C Income Shares

Financial Year Ended Financial Year Ended Financial Year Ended 30 September 2020 30 September 2019 30 September 2018 (pence per share) (pence per share) (pence per share)

Change in net assets per share: Opening net asset value per share 95.63 90.09 91.80

Return before operating charges* 2.48 9.20 1.96 Operating charges (0.03) (0.02) (0.03)

Return after operating charges* 2.45 9.18 1.93

Distributions on income shares (3.33) (3.64) (3.64) Closing net asset value per share 94.75 95.63 90.09

*After direct transaction costs of: 0.00 0.00 0.00

Performance: Return after charges 2.56% 10.19% 2.10%

Other Information: Closing net asset value (£’000) 1,437 679 761 Closing number of shares 1,516,530 709,830 844,994 Operating charges 0.03% 0.02% 0.03% Direct transaction costs1 0.00% 0.00% 0.00%

Prices: Highest share price (pence) 98.14 97.30 94.27 Lowest share price (pence) 82.11 88.86 91.20 1Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts. A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

171 Baillie Gifford Strategic Bond Fund September 2020

Financial Statements

Statement of Total Return for the year ended 30 September 2020

2020 2019 Notes £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 1 (21,400) 56,820 Revenue 3 45,443 36,190 Expenses 4 (6,776) (4,878)

Net revenue before taxation 38,667 31,312 Taxation 5 - - Net revenue after taxation 38,667 31,312

Total return before distributions 17,267 88,132 Distributions 6 (45,451) (31,313) Change in net assets attributable to shareholders from investment activities (28,184) 56,819

Statement of Change in Net Assets Attributable to Shareholders for the year ended 30 September 2020

2020 2019 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 1,202,703 765,489 Amounts receivable on issue of shares 306,574 380,157 Amounts payable on cancellation of shares (223,331) (21,139)

83,243 359,018 Dilution adjustment 2,763 947 Change in net assets attributable to shareholders from investment activities (28,184) 56,819 Retained distributions on accumulation shares 28,711 20,430 Closing net assets attributable to shareholders 1,289,236 1,202,703

172 Baillie Gifford Strategic Bond Fund September 2020

Financial Statements cont.

Balance Sheet as at 30 September 2020

2020 2019 Notes £’000 £’000

Assets: Fixed assets: Investments 13 1,257,248 1,148,328 Current assets: Debtors 8 20,974 27,399 Cash and bank balances 9 30,465 55,915 Total assets 1,308,687 1,231,642

Liabilities: Creditors: Bank overdrafts 9 - (3,182) Distributions payable (5,113) (4,088) Other creditors 10 (14,338) (21,670)

Total liabilities (19,451) (28,940) Net assets attributable to shareholders 1,289,236 1,202,702

173 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements

1 Net capital gains/(losses) 2020 2019 £’000 £’000

Non-derivative securities (14,645) 64,159 Derivative contracts (7,486) (511) Forward currency contracts 87 (6,678) Currency gains/(losses) 648 (147) Transaction costs (4) (3) Net capital gains/(losses) (21,400) 56,820

2 Purchases, sales and transaction costs 2020 2019 £’000 £’000

Purchases and transaction costs Gross purchases of bonds excluding transaction costs1 816,902 561,629 Purchases including transaction costs 816,902 561,629

1There were no transaction costs on the purchase of bonds.

2020 2019 £’000 £’000

Sales and transaction costs Gross sales of bonds excluding transaction costs1 687,238 219,892 Sales net of transaction costs 687,238 219,892

1There were no transaction costs on the sale of bonds.

2020 2019 £’000 £’000

Transaction cost on derivative contracts Commission on trading futures contracts 53 31

174 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements cont.

2 Purchases, sales and transaction costs (continued)

2020 2019 £’000 % of average £’000 % of average NAV NAV

Portfolio transaction costs Commissions 53 0.00 31 0.00 Taxes - 0.00 - 0.00 Total direct transaction costs 53 0.00 31 0.00

2020 2019 %% Average portfolio dealing spread 0.88 0.50

Funds incur transaction costs such as broker commission and transfer taxes/stamp duty as a necessary part of buying and selling the underlying investments in order to achieve the investment objective. In the case of shares; broker commissions, transfer taxes and stamp duty may be paid by the Fund on transactions. In the case of bonds, no transaction costs are incurred. Commission is also payable to the counterparty on the trading of futures contracts.

A dilution adjustment is made whenever dealings in the shares of the Fund result in shares being issued or cancelled by the Company. The adjustment will take account of any spread between the buying and selling prices of the Fund’s investments and the costs (which may include dealing charges and taxes) of acquiring or disposing of such investments. Please note that the direct transaction cost disclosures above do not include the dilution adjustment charges. For further details on dilution adjustment charges please see the General Information section.

Dealing spread is the difference in the buying and selling prices of the underlying investments. Dealing spreads vary considerably depending on the transaction value and market sentiment. The Fund may have holdings in single priced funds. The notional spread on these holdings is not included in the average dealing spread calculated for this Fund.

3 Revenue 2020 2019 £’000 £’000

Interest on debt securities 45,882 36,093 Bank interest 21 97 Swaps interest (460) - Total revenue 45,443 36,190

175 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements cont.

4 Expenses 2020 2019 £’000 £’000

Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 6,573 4,749

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary’s fee 108 76 Bank charges 82 46

190 122

Other expenses: Audit fee 13 7 Total expenses 6,776 4,878

5 Taxation 2020 2019 £’000 £’000

Analysis of charge in the year Corporation tax -- Total taxation --

The Fund is subject to corporation tax at 20% (2019: 20%), however, the Fund is a bond fund making interest distributions and the interest distributions made by the Fund are allowable in arriving at the amount of revenue liable to tax. As a result, this has reduced the corporation tax liability of the Fund to nil.

The deduction of the interest distribution has been restricted to reflect the priority utilisation of the management expenses incurred by the Fund in the year, as per regulation 13(1A) of SI 2006/964. This results in no excess management expenses or interest distribution being carried forward. The tax charge is explained as follows: 2020 2019 £’000 £’000

Net revenue/(expense) before taxation 38,667 31,312 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (2019: 20%) 7,733 6,262 Effects of: Interest distributions (9,088) (6,262) Management expenses charged to capital 1,355 - Total taxation --

176 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements cont.

6 Distributions 2020 2019 £’000 £’000

Interim to 31 October 2,668 1,801 Interim to 30 November 2,768 1,844 Interim to 31 December 2,893 1,879 Interim to 31 January 2,946 1,918 Interim to 28 February 2,949 1,961 Interim to 31 March 2,756 1,996 Interim to 30 April 2,723 2,057 Interim to 31 May 2,713 2,151 Interim to 30 June 2,730 2,250 Interim to 31 July 2,759 2,370 Interim to 31 August 2,753 2,443 Final to 30 September 14,679 10,794

45,337 33,464 Amounts deducted on cancellation of shares 1,380 82 Amounts added on issue of shares (1,266) (2,233) Total distributions 45,451 31,313

The distributions take account of revenue transactions on the issue and cancellation of shares. Details of the distributions per share are set out in the Distribution Tables.

7 Reconciliation of net revenue to net distributions for the year 2020 2019 £’000 £’000

Net revenue after taxation for the year 38,667 31,312 Add expenses allocated to capital 6,776 - Add distributable revenue brought forward 89 Less distributable revenue carried forward -(8) Net distributions for the year 45,451 31,313

8 Debtors 2020 2019 £’000 £’000

Receivable for issue of shares 926 8,190 Sales awaiting settlement 2,356 1,731 Accrued income 17,692 17,464 Other debtors -14 Total debtors 20,974 27,399

177 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements cont.

9 Cash and bank balances 2020 2019 £’000 £’000

Sterling amounts held at clearing houses and brokers 5,334 2,331 Foreign amounts held at clearing houses and brokers 4,263 2,220 Sterling bank accounts 20,868 48,326 Foreign currency bank accounts -3,038

30,465 55,915 Sterling bank accounts overdrawn - (3,182) Total cash and bank balances 30,465 52,733

10 Other creditors 2020 2019 £’000 £’000

Payable for cancellation of shares 2,225 - Purchases awaiting settlement 2,228 10,097 Due to the ACD or associates 598 512 Due to the Depositary or associates 27 16 Collateral held on behalf of counterparty 9,250 11,040 Other accrued expenses 10 5 Total other creditors 14,338 21,670

11 Related party transactions Baillie Gifford & Co Limited, as ACD, is regarded as a related party by virtue of the services provided to the Company. Baillie Gifford & Co Limited acts as principal in respect of all transactions of shares in the Company, except where stocks are transferred on the issue or cancellation of shares. The aggregate monies received through issue and paid on cancellation are disclosed in the Statement of Change in Net Assets Attributable to Shareholders. Amounts receivable and payable on the issue and cancellation of shares have been disclosed in notes 8 and 10 respectively. Amounts paid to Baillie Gifford & Co Limited in respect of ACD fees are disclosed in note 4 with amounts due at the year end given in note 10. Shares held by the ACD and associates of the ACD The shares held by the ACD and associates of the ACD as a percentage of the Fund’s NAV were: 2020 2019 % % ACD and associates of the ACD 0.00 0.00

178 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements cont.

12 Reconciliation of shares in issue 2020 A Accumulation A Income B Accumulation B Income C Accumulation C Income Shares Shares Shares Shares Shares Shares

Opening shares in issue 14,268,919 7,644,299 306,793,123 490,311,919 1,000 709,830 Shares issued 3,798,472 974,142 72,875,542 130,308,313 233,000 10,811,837 Shares cancelled (10,605,088) (1,816,443) (44,217,995) (103,950,531) (233,000) (10,005,137) Shares converted (68,576) (34,185) 51,682 63,094 - - Closing shares in issue 7,393,727 6,767,813 335,502,352 516,732,795 1,000 1,516,530

13 Basis of valuation 2020 2019 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000

Level 1: Quoted prices ---- Level 2: Observable market data 1,257,248 - 1,139,986 - Level 3: Unobservable data - - 8,342 - Total 1,257,248 - 1,148,328 -

14 Credit ratings 2020 2019 Market value Percentage of Market value Percentage of Rating Block £’000 total Fund £’000 total Fund

Investment Grade 802,989 62.28 795,600 66.15 High Yield 443,301 34.38 341,705 28.41

Total Bonds - Direct 1,246,290 96.66 1,137,305 94.56 Other 42,946 3.34 65,398 5.44 Net Assets 1,289,236 100.00 1,202,703 100.00

179 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements cont.

15 Derivatives and other financial instruments Currency exposures A proportion of the net assets of the Fund are denominated in currencies other than sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Currency Net currency assets/(liabilities) Net currency assets/(liabilities) 2020 2019 Monetary Non-monetary Total Monetary Non-monetary Total exposures exposures exposures exposures £’000 £’000 £’000 £’000 £’000 £’000

Canadian dollar - - - 288 861 1,149 Euro 757 (6,389) (5,632) 732 (3,757) (3,025) UK sterling 16,952 1,271,664 1,288,616 36,434 1,158,552 1,194,986 US dollar 3,506 (8,027) (4,521) 4,238 (7,327) (3,089) Short term debtors and creditors have not been disclosed.

Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the Fund was: 2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial assets £’000 financial financial assets £’000 assets assets not carrying assets assets not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Canadian dollar - - - - 288 9,917 - 10,205 Euro 9,937 316,902 - 326,839 7,625 221,455 - 229,080 UK sterling 34,854 637,708 625,869 1,298,431 55,816 732,823 417,387 1,206,026 US dollar 3,507 274,413 - 277,920 4,238 157,876 - 162,114

2020 2019 Currency Floating Rate Fixed Rate Financial Total Floating Rate Fixed Rate Financial Total financial financial liabilities £’000 financial financial liabilities £’000 liabilities liabilities not carrying liabilities liabilities not carrying £’000 £’000 interest £’000 £’000 interest £’000 £’000

Canadian dollar ------9,0569,056 Euro - - 332,472 332,472 - - 232,105 232,105 UK sterling 9,815 - - 9,815 11,040 - - 11,040 US dollar - - 282,439 282,439 - - 165,203 165,203

180 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements cont.

16 Derivative Exposure The exposure to derivative counterparties was: 2020 2019 Counterparty Forward Inflation Interest Cash Total Forward Inflation Interest Cash Total currency rate rate collateral exposure currency rate rate collateral exposure contracts swaps swaps held contracts swaps swaps held £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000 £’000

CitiGroup - - - - - 421 - - (270) 151 HSBC 7,735 - - (7,840) (105) 8,850 - - (8,410) 440 National Australia Bank - - - - 29 - - - 29 Royal Bank of Canada 205 - - (270) (65) 496 - - (615) (119) Royal Bank of Scotland 3,018 - - (1,140) 1,878 1,227 - - (1,745) (518)

Collateral pledged on derivatives was zero.

In addition, the Fund trades futures contracts through UBS. Fair value movements are offset by movements in the variation margin account which reduces the derivative counterparty exposure to nil.

17 Value at risk (VaR) The market risk of the Fund’s financial asset and liability positions is monitored by the Investment Adviser using VaR analysis. VaR analysis attempts to reflect the interdependencies between risk variables, unlike a traditional sensitivity analysis. VaR represents the potential losses from adverse changes in market factors for a specified time period and confidence level.

Model assumptions: System FIS Advanced Portfolio Technologies (APT) VaR methodology: variance convariance approcach (with delta-adjustment) Confidence level: 99% Holding period: 1month Decay factor for exponential smoothing of historical market data: nil Historical observation period: 180 weeks

2020 2019 %%

Fund VaR: 4.50 2.56 Index VaR: 3.59 2.37

The VaR noted above indicates the VaR of the Fund’s financial instruments, measured as the potential 1 month loss in value from adverse changes in equity prices, interest rates, inflation and foreign currency exchange rates, with a 99% confidence level.

In combination with a snapshot of the portfolio and benchmark constituents at a given point in time, the APT risk model uses 180 weeks of historic data to formulate a prediction of risk over a desired time period. In the case of VaR numbers, the risk model produces a 1-month prediction of 99% VaR. The decay factor for exponential smoothing of the historic market data refers to how the risk model uses more recent data in its historic data window compared to older data. Using a positive decay factor would mean that the risk model is placing more importance on more recent data than on older data in formulating its prediction of risk – this would result in the risk model being more short-term in nature, and increasingly geared to short-term recent events. The decay factor used in the APT risk model for calculating VaR

181 Baillie Gifford Strategic Bond Fund September 2020

Notes to the Financial Statements cont.

17 Value at risk (VaR) (continued)

numbers is nil. This means that each of the 180 weeks of historic data used by the risk model are treated with equal importance in the model’s calculation of predicted risk. This means that the risk model’s prediction of risk will be influenced by the average variances and covariances of portfolio and comparative index constituents over the past 3½ years. Objectives and limitations of the VaR methodology

The APT model uses statistical factor techniques to measure the effects of these risk variables on the value of the Fund. The VaR model is designed to measure market risk in a normal market environment.

The use of VaR has limitations because it is based on historical correlations and volatilities in market prices and assumes that future price movements will follow a statistical distribution. Due to the fact that VaR relies significantly on historical data to provide information and may not clearly predict the future changes and modifications of the risk factors, the probability of large market moves may be underestimated if changes in risk factors fail to align with the given distribution assumption. VaR may also be under- or over-estimated due to the assumption placed on risk factors and the relationship between such factors for specific instruments.

Even though positions may change throughout the day, the VaR only represents the risk of the portfolios at the close of each business day, and it does not account for any losses that may occur beyond the 99% confidence level. In practice, the actual trading results will differ from the VaR calculation and, in particular, the calculation does not provide a meaningful indication of profits and losses in stressed market conditions. To determine the reliability of the VaR models, actual outcomes are monitored regularly to test the validity of the assumptions and the parameters used in the VaR calculation. Market risk positions are also subject to regular stress tests to ensure that the Fund would withstand an extreme market event.

182 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table

Interim distribution for the period ended 31 October 2019

Group 1 : shares purchased prior to 1 October 2019 Group 2 : shares purchased 1 October 2019 to 31 October 2019

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 28.11.19) 29.11.18)

31.10.19 31.10.19 31.10.19 31.10.18 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 0.07139 0.32861 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 0.02261 0.12739 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 0.15552 0.34448 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 0.06103 0.13897 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.20000 - 0.20000 0.25000 Group 2 0.20000 - 0.20000 0.25000

183 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim Distribution for the period ended 30 November 2019

Group 1 : shares purchased prior to 1 November 2019 Group 2 : shares purchased 1 November 2019 to 30 November 2019

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.12.19) 28.12.18)

30.11.19 30.11.19 30.11.19 30.11.18 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 0.01822 0.13178 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 0.05362 0.44638 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 0.02926 0.17074 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.20000 - 0.20000 0.25000 Group 2 0.20000 - 0.20000 0.25000

184 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim distribution for the period ended 31 December 2019

Group 1 : shares purchased prior to 1 December 2019 Group 2 : shares purchased 1 December 2019 to 31 December 2019

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.01.20) 30.01.19)

31.12.19 31.12.19 31.12.19 31.12.18 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

185 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim Distribution for the period ended 31 January 2020

Group 1 : shares purchased prior to 1 January 2020 Group 2 : shares purchased 1 January 2020 to 31 January 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 27.02.20) 27.02.19)

31.01.20 31.01.20 31.01.20 31.01.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

186 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim Distribution for the period ended 29 February 2020

Group 1 : shares purchased prior to 1 February 2020 Group 2 : shares purchased 1 February 2020 to 29 February 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.03.20) 28.03.19)

29.02.20 29.02.20 29.02.20 28.02.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

187 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim distributions for the period ended 31 March 2020

Group 1 : shares purchased prior to 1 March 2020 Group 2 : shares purchased 1 March 2020 to 31 March 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 27.04.20) 27.04.19)

31.03.20 31.03.20 31.03.20 31.03.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

188 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim Distribution for the period ended 30 April 2020

Group 1 : shares purchased prior to 1 April 2020 Group 2 : shares purchased 1 April 2020 to 30 April 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 28.05.20) 30.05.19)

30.04.20 30.04.20 30.04.20 30.04.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

189 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim Distribution for the period ended 31 May 2020

Group 1 : shares purchased prior to 1 May 2020 Group 2 : shares purchased 1 May 2020 to 31 May 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 29.06.20) 27.06.19)

31.05.20 31.05.20 31.05.20 31.05.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

190 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim distribution for the period ended 30 June 2020

Group 1 : share purchased prior to 1 June 2020 Group 2 : share purchased 1 June 2020 to 30 June 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.07.20) 28.07.19)

30.06.20 30.06.20 30.06.20 30.06.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

191 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim Distribution for the period ended 31 July 2020

Group 1 : shares purchased prior to 1 July 2020 Group 2 : shares purchased 1 July 2020 to 31 July 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.08.20) 30.08.19)

31.07.20 31.07.20 31.07.20 31.07.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

192 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Interim Distribution for the period ended 31 August 2020

Group 1 : shares purchased prior to 1 August 2020 Group 2 : shares purchased 1 August 2020 to 31 August 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 29.09.20) 27.09.19)

31.08.20 31.08.20 31.08.20 31.08.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 0.40000 - 0.40000 0.40000 Group 2 - 0.40000 0.40000 0.40000

A Income Group 1 0.15000 - 0.15000 0.15000 Group 2 - 0.15000 0.15000 0.15000

B Accumulation Group 1 0.50000 - 0.50000 0.50000 Group 2 - 0.50000 0.50000 0.50000

B Income Group 1 0.20000 - 0.20000 0.20000 Group 2 - 0.20000 0.20000 0.20000

C Accumulation Group 1 0.65000 - 0.65000 0.70000 Group 2 0.65000 - 0.65000 0.70000

C Income Group 1 0.25000 - 0.25000 0.25000 Group 2 0.25000 - 0.25000 0.25000

193 Baillie Gifford Strategic Bond Fund September 2020

Distribution Table cont.

Final distribution for the period ended 30 September 2020

Group 1 : shares purchased prior to 1 September 2020 Group 2 : shares purchased 1 September 2020 to 30 September 2020

Net Revenue Equalisation Distribution Distribution (paid/accumulated (paid/accumulated 30.10.20) 30.10.19)

30.09.20 30.09.20 30.09.20 30.09.19 pence per share pence per share pence per share pence per share

A Accumulation Group 1 3.23000 - 3.23000 1.63000 Group 2 0.55205 2.67795 3.23000 1.63000

A Income Group 1 1.35000 - 1.35000 0.80000 Group 2 0.14204 1.20796 1.35000 0.80000

B Accumulation Group 1 2.78000 - 2.78000 2.11000 Group 2 0.42880 2.35120 2.78000 2.11000

B Income Group 1 0.97000 - 0.97000 0.82000 Group 2 0.12768 0.84232 0.97000 0.82000

C Accumulation Group 1 2.36000 - 2.36000 2.30000 Group 2 2.36000 - 2.36000 2.30000

C Income Group 1 0.68000 - 0.68000 0.89000 Group 2 0.68000 - 0.68000 0.89000

194 Baillie Gifford Bond Funds ICVC September 2020

General Information

Dilution Adjustment (c) If the sub-fund is experiencing large levels of net purchases or net redemptions relative to its size. A sub-fund suffers dilution (reduction) in the value of the (d) Where the sub-fund experiences net purchases or net Scheme Property attributable to it because the actual redemptions on any Dealing Day exceeding a costs of buying or selling investments for the sub-fund particular value or a particular percentage of the deviate from the mid-market values generally used in value of the sub-fund. calculating the price of shares in the sub-fund. Such (e) In any other circumstances where the ACD believes deviation may occur as a result of the costs (which may it will be in the interests of Shareholders to make a include dealing charges and taxes) incurred in dealing in dilution adjustment. such investments and of any spread between the buying and selling prices of such investments. It is not possible The ACD is currently of the opinion that it is in the to predict accurately whether dilution is likely to occur. best interests of shareholders in the Company to make a dilution adjustment whenever dealings in the shares of The COLL Rules allow the cost of dilution to be (1) any sub-fund result in shares in that sub-fund being met directly from the Scheme Property attributable to the issued or cancelled by the Company. The adjustment will sub-fund or (2) addressed by the imposition on investors take account of any spread between the buying and of a dilution levy on the issue by the Company, sale by selling prices of the relevant sub-fund’s investments and the ACD, cancellation by the Company or redemption by the costs (which may include dealing charges and taxes) the ACD of shares in the sub-fund or (3) dealt with by of acquiring or disposing of such investments, as the case means of a dilution adjustment, which is the policy which may be. has been adopted by the ACD in relation to the sub-funds of the Company. With a view to mitigating the effects of The level of the dilution adjustment is set by the ACD dilution, the ACD therefore reserves the right at its sole based on prevailing market conditions. Where liquidity is discretion to make a dilution adjustment in the restricted and trading in size in the portfolio’s calculation of the dealing price, and thereby swing the investments results in significant movement in the prices dealing price, of shares in any sub-fund of the Company of these investments the ACD may adjust the level of the if in its opinion the existing shareholders (for net dilution adjustment to protect the interests of the ongoing purchases of shares) or remaining shareholders (for net investors in a sub-fund. The ACD has thresholds for the redemptions of shares) might otherwise be adversely sub-funds for daily net inflows or outflows of cash into affected. By ‘purchases’ of shares we mean issues by the or out of the sub-funds. Above these thresholds, which Company and sales by the ACD and by ‘redemptions’ of vary by sub-fund and according to market conditions, the shares we mean cancellations by the Company and ACD will increase the dilution adjustment to reflect the redemptions by the ACD. increased dealing costs incurred by the sub-funds as a result of larger inflows and outflows. A consequence of The COLL Rules acknowledge that the need to make a this policy is, however, that smaller transactions made on dilution adjustment may depend on the volume of any day that the relevant threshold is exceeded will also purchases of shares or redemptions of shares. trade at the price incorporating the higher adjustment and Accordingly, the ACD reserves the right at its sole this may lead to increased dealing costs. Whether an discretion to impose a dilution adjustment in the adjustment may be necessary will depend upon the net following circumstances: movement into or out of a sub-fund on any given day and (a) If the sub-fund is experiencing steady decline (net on the underlying market conditions on that day and it is outflow of investment). therefore not possible to predict when an adjustment may be made. (b) If the sub-fund is experiencing steady growth (net inflow of investment).

195 Baillie Gifford Bond Funds ICVC September 2020

General Information cont.

Dilution Adjustment cont. of shares until it receives a declaration as to the shareholder’s tax residency or status in the form On any Dealing Day when the Company neither issues prescribed by the ACD. nor cancels shares in a sub-fund the price of shares in The ACD is also required to provide to HMRC certain that sub-fund will not contain any dilution adjustment. information regarding shareholders, payments made to This policy to swing the dealing price will be subject shareholders and proceeds arising on the disposal of to regular review and may change. The ACD’s decision shares, and HMRC may pass such information on to the on whether or not to make a dilution adjustment, and on tax authorities of another jurisdiction. what level of adjustment to make in particular While the ACD is not required to report income circumstances or generally, will not prevent it from payments in the form of interest payments made to making a different decision in similar circumstances in corporate bodies, such corporate bodies may have the future. reporting obligations of their own if they are receiving Where a dilution adjustment is applied, it will increase payments on behalf of reportable persons. the dealing price when there are net inflows into the relevant sub-fund and decrease the dealing price when Share Classes there are net outflows. The dealing price of each class of share in a sub-fund will be calculated separately but any dilution adjustment will in percentage terms affect the The net asset value per share and the number of shares in dealing price of shares of each class identically. each class are shown in the Comparative Tables sections of the relevant sub-fund. The distributions per share class On the occasions when no dilution adjustment is made are shown in the Distribution Tables. In each sub-fund all there may be an adverse impact on the value of the share classes have the same rights on winding up. Scheme Property attributable to the relevant sub-fund. Where Class C Shares are available, they are only available to persons to whom the ACD, or an associate of Stamp Duty Reserve Tax (SDRT) the ACD provides services under an investment management agreement or who has a separate fee Generally, there will be no charge to SDRT when arrangement with the ACD or one of its associates. Shareholders surrender or redeem shares. However, The minimum lump sum investment amounts are where the redemption is satisfied by a non-pro rata in shown in the table on page 199. specie redemption, then a charge of SDRT may apply. Equalisation Taxation Reporting The Company will operate grouping for equalisation. In order to fulfil its legal obligations, the ACD is Each class of shares will operate its own equalisation required to collect and report certain information about account. Shares purchased during an accounting period shareholders, including their identity, tax residency and are called Group 2 shares. Shares purchased during any tax status. Shareholders must provide the ACD with any previous accounting period are called Group 1 shares. information required to meet these obligations, and may Group 2 shares contain in their purchase price an amount also be asked to provide self-certifications and tax called equalisation which represents a proportion of the reference numbers or the equivalent. The ACD reserves net income of the sub-fund that has accrued up to the the right to refuse an application for shares or a transfer date of purchase. The amount of equalisation is averaged across all the shareholders of Group 2 shares and is

196 Baillie Gifford Bond Funds ICVC September 2020

General Information cont.

Equalisation cont. particular sub-fund. Each of the ACD and the Investment Adviser will, however, have regard in such event to, refunded to them as part of their first distribution and is amongst other things, its obligation to act in the best treated as a return of capital for tax purposes. Being interests of the Company so far as practicable, having capital it is not liable to income tax but must be deducted regard to its obligations to other clients, when from the cost of the shares for capital gains tax purposes. undertaking any investment where potential conflicts of interest may arise. The Depositary may, from time to An 'income equalisation-like’ mechanism will be time, act as the depositary or trustee of other companies operated by the ACD for conversions. The ACD will or funds. ensure that the mechanism is operated to ensure fair treatment of those converting their shares and other shareholders in the affected classes. Third Party Data Provider Disclaimers

Fund Charges and Costs No third party data provider (‘Provider’) makes any warranty, express or implied, as to the accuracy, completeness or timeliness of the data contained A further explanation of charges and costs relating to the herewith nor as to the results to be obtained by recipients sub-funds of the ICVC can be found in the Enhanced of the data. No Provider shall in any way be liable to any Disclosure of Fund Charges and Costs document for each recipient of the data for any inaccuracies, errors or sub-fund on our website. omissions in the index data included in this document, regardless of cause, or for any damages (whether direct Conflicts of Interest or indirect) resulting therefrom. No Provider has any obligation to update, modify or From time to time, there may be situations that give rise amend the data or to otherwise notify a recipient thereof to a material interest or conflict of interest. Such interests in the event that any matter stated herein changes or can arise between the interests of the ACD, the subsequently becomes inaccurate. Investment Adviser, other persons associated with them Without limiting the foregoing, no Provider shall have and the interests of the sub-funds and their shareholders. any liability whatsoever to you, whether in contract A material interest or a conflict of interest can also arise (including under an indemnity), in tort (including between the interests of different shareholders. In such negligence), under a warranty, under statute or otherwise, circumstances the ACD will put in place effective in respect of any loss or damage suffered by you as a organisational and administrative arrangements to result of or in connection with any opinions, manage and monitor the material interest or conflict of recommendations, forecasts, judgments, or any other interest in a way that ensures shareholders are treated conclusions, or any course of action determined, by you fairly, or where it is impractical to manage the conflict, it or any third party, whether or not based on the content, will be disclosed. information or materials contained herein. The ACD, the Investment Adviser and other persons J.P. Morgan Index Data associated with them may, from time to time, act as authorised corporate directors, investment managers or Information has been obtained from sources believed to advisers to other persons, companies or funds which be reliable but J.P. Morgan does not warrant its follow similar investment objectives to the sub-funds. It completeness or accuracy. The Index is used with is therefore possible that the ACD and/or the Investment permission. The Index may not be copied, used, or Adviser may in the course of their business have distributed without J.P. Morgan’s prior written approval. potential conflicts of interest with the Company or a Copyright 2017, J.P. Morgan Chase & Co. All rights reserved. 197 Baillie Gifford Bond Funds ICVC September 2020

General Information cont.

Third Party Data Provider Disclaimers cont.

ICE Bank of America Index Data The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Baillie Gifford. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See our website for a full copy of the Disclaimer.

198 Baillie Gifford Bond Funds ICVC September 2020

General Information cont.

Minimum Lump Sum Investments and ACD’s Annual Fee

Class A Class B Class C Minimum lump sum investments: Baillie Gifford Emerging Markets Bond Fund £1,000 £1,000 £250,000 Baillie Gifford High Yield Bond Fund £1,000 £1,000 £250,000 Baillie Gifford Investment Grade Bond Fund £1,000 £1,000 £250,000 Baillie Gifford Investment Grade Long Bond Fund n/a £250,000 £250,000 Baillie Gifford Strategic Bond Fund £1,000 £1,000 £250,000 ACD’s annual fee: Baillie Gifford Emerging Markets Bond Fund 1.10% 0.40% Nil Baillie Gifford High Yield Bond Fund 1.00% 0.35% Nil Baillie Gifford Investment Grade Bond Fund 1.00% 0.25% Nil Baillie Gifford Investment Grade Long Bond Fund n/a 0.25% Nil Baillie Gifford Strategic Bond Fund 1.00% 0.50% Nil

199 Baillie Gifford Bond Funds ICVC September 2020

The Group’s Funds

Baillie Gifford Bond Funds ICVC Baillie Gifford Overseas Growth Funds ICVC Baillie Gifford Emerging Markets Bond Fund Baillie Gifford American Fund Baillie Gifford High Yield Bond Fund Baillie Gifford China Fund Baillie Gifford Investment Grade Bond Fund Baillie Gifford Developed Asia Pacific Fund Baillie Gifford Investment Grade Long Bond Fund Baillie Gifford Emerging Markets Growth Fund Baillie Gifford Strategic Bond Fund Baillie Gifford Emerging Markets Leading Companies Fund Baillie Gifford European Fund Baillie Gifford Investment Funds ICVC Baillie Gifford Global Discovery Fund Baillie Gifford Diversified Growth Fund Baillie Gifford Japanese Fund Baillie Gifford Long Term Global Growth Investment Fund Baillie Gifford Japanese Smaller Companies Fund Baillie Gifford Multi Asset Growth Fund Baillie Gifford Pacific Fund Baillie Gifford Positive Change Fund Baillie Gifford UK & Balanced Funds ICVC Baillie Gifford Investment Funds II ICVC Baillie Gifford British Smaller Companies Fund Baillie Gifford Global Stewardship Fund Baillie Gifford Global Alpha Growth Fund Baillie Gifford Japanese Income Growth Fund Baillie Gifford Global Income Growth Fund Baillie Gifford Multi Asset Income Fund Baillie Gifford International Fund Baillie Gifford Sterling Aggregate Bond Fund Baillie Gifford Managed Fund Baillie Gifford Sterling Aggregate Plus Bond Fund1 Ballie Gifford Responsible Global Equity Income Fund Baillie Gifford UK Equity Core Fund Baillie Gifford UK and Worldwide Equity Fund Baillie Gifford UK Equity Alpha Fund Baillie Gifford Investment Funds III ICVC Baillie Gifford UK Equity Focus Fund Baillie Gifford Multi Asset Growth Feeder Fund2 Glenfinlas Global Fund3

1Baillie Gifford Sterling Aggregate Plus Bond Fund is no longer available for subscription. 2Baillie Gifford Multi Asset Growth Feeder Fund launched on 31 July 2020. 3Glenfinlas Global Fund is no longer available for subscription.

200 Baillie Gifford Bond Funds ICVC September 2020

For further information about the Funds or Baillie Gifford’s range of OEICS, please:

Contact us at: Client Relations Team Baillie Gifford & Co Limited, Calton Square, 1 Greenside Row, Edinburgh EH1 3AN

Call our Client Relations Team on 0800 917 2113. Your call may be recorded for training or monitoring purposes. Visit our website at www.bailliegifford.com, or email us on [email protected]. Or fax us on 0131 275 3955.

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