& ACCOUNTS &

for the six months ended 30 September 2015 INTERIM REPORT INTERIM

Henderson UK Strategic Income Unit Trust

Who are Henderson Global Investors?

Henderson is an independent global asset manager, specialising in active investment. Named after its first client and founded in 1934, Henderson is a client-focused global business with over 900 employees worldwide and assets under management of £81.5bn† (30 September 2015). Its core areas of investment expertise are European equities, global equities, global fixed income, multi-asset and alternatives.

Whilst the global headquarters are based in London, Henderson offers clients access to all major markets around the globe. Henderson has offices located in Chicago, Milwaukee, Philadelphia, Edinburgh, Paris, Madrid, Zurich, Luxembourg, Amsterdam, Frankfurt, Milan, Singapore, Beijing, Hong Kong, Tokyo and Sydney. The main Asia/Pacific operations are conducted out of Singapore and the US operations out of Chicago and Milwaukee. Equity investment professionals are also located in Edinburgh and Singapore and additional fixed income investment professionals are located in Philadelphia and Milwaukee. Distribution is conducted out of the majority of offices world-wide.

Clients are at the heart of everything Henderson does – named after the company’s first client, it reminds each employee every day to put the client first. With investment expertise across a broad range of asset classes, Henderson’s investment managers have unique perspectives and operate unconstrained by a house view. Underpinning the fund management process is a comprehensive risk-control framework ensuring that investment views are translated into portfolios managed in line with investors risk and return requirements.

Corporate strategy Henderson’s strategy focuses on growth and globalisation. The company aims to deliver a sustained period of organic growth, attracting net new client money ahead of industry growth, and supplementing this organic growth with value accretive acquisitions. By 2018, Henderson will have established a truly global footprint, infrastructure and mind-set.

Acquisitions Henderson has a strong history of acquiring businesses which add value to the company over time. Henderson has seen financial benefits from New Star and Gartmore (acquired in 2009 and 2011 respectively) in cost synergies and improved profitability. During 2014, client confidence in the newly integrated businesses manifested itself in increased flows, with over half of flows in the period coming from products or managers who joined Henderson as a result of these acquisitions.

In 2014, Henderson acquired Geneva Capital Management, the US growth equity manager. This marked an important strategic milestone in the development of the North American business, adding mid- and small-cap US high quality growth equities to Henderson’s international capabilities and extending the US institutional client base to an existing strong US retail presence.

In April 2015, Henderson decided to sell its 40% holding in TIAA Henderson Real Estate (“TH Real Estate”) – a joint venture formed in 2014 with the merger of Henderson and Teachers Insurance and Annuity Association – College Retirement Equities Fund’s (“TIAA-CREF”) European and Asian real estate businesses. The decision to sell the stake gives TH Real Estate the best opportunity to grow their business and rewarded Henderson and its shareholders for the significant contribution made before and after the creation of TH Real Estate.

In June 2015, Henderson announced the acquisition of two Australian-based fund management boutiques, Perennial Fixed Interest and Perennial Growth Management. In a separate transaction, Henderson increased its ownership of 90 West Asset Management to 100%. The acquisitions accelerate Henderson’s strategy to grow and globalise its business, extending Henderson’s offering to Australian clients, adding domestic investment management capabilities to Henderson’s globally focused offerings, and providing a broader platform for better growth in the Australian market.

What do we do? At Henderson Global Investors we do one thing and we do it really well – investment management. As a company, we are totally focused on this core activity and it underpins everything we do.

We do this by providing a range of investment products and services including: • Open ended funds – offshore funds, unit trusts, OEICs • Investment trusts • Individual Savings Accounts • Pension fund management • Management of portfolios for UK and international institutional clients

Please remember that past performance is not a guide to future performance. The value of an investment and the income from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

† Source: Henderson Global Investors Contents

Authorised Fund Manager’s report* Page 1

Authorised status* Page 1

Comparative tables Page 4

Ongoing charge figure Page 5

Risk and reward profile* Page 6

Portfolio statement* Page 7

Financial statements

Statement of total return Page 8

Statement of change in net assets attributable to unitholders Page 8

Balance sheet Page 9

Directors’ statement Page 9

Notes to the financial statements Page 10

Distribution tables Page 11

Further information Page 12

* These collectively comprise the Authorised Fund Manager’s report. Henderson UK Strategic Income Unit Trust Authorised Fund Manager’s report

We are pleased to present the Interim Report and Accounts for Henderson UK Strategic Income Unit Trust (the “fund”) for the six months ended 30 September 2015.

Authorised status The fund is an authorised unit trust scheme under Section 243 of the FSMA 2000 Act and is a non-UCITS Retail Scheme (NURS) operating under Chapter 5 of the Collective Investment Schemes sourcebook (COLL) issued by the Financial Conduct Authority (FCA).

Service providers

Name Address Regulator Authorised Fund Manager Henderson Investment Registered Office: Authorised and regulated by the and Alternative Investment Funds Limited 201 Bishopsgate Financial Conduct Authority Fund Manager (AIFM) Member of The Investment London Association (formerly EC2M 3AE Investment Management Registered in England Association) No 2678531 The Ultimate Holding Company Telephone - 020 7818 1818 is Henderson Group plc Dealing - 0845 608 8703 Enquiries - 0800 832 832 Directors of the Authorised L Cairney Fund Manager and AIFM M Skinner (from 24.09.15) P Wagstaff G Kitchen C Chaloner H J de Sausmarez Investment Manager Henderson Global Investors 201 Bishopsgate Authorised and regulated by the Limited London Financial Conduct Authority The Ultimate Holding Company EC2M 3AE is Henderson Group plc Unitholder Administrator International Financial IFDS House Authorised and regulated by the Data Services (UK) Limited St Nicholas Lane Financial Conduct Authority Basildon Essex SS15 5FS Trustee and Depositary National Westminster Bank 135 Bishopsgate Authorised by the Prudential plc London Regulation Authority and The Ultimate Holding Company EC2M 3UR regulated by the Financial is the Royal Bank of Scotland Conduct Authority and the Group plc Prudential Regulation Authority

Independent Auditors PricewaterhouseCoopers 141 Bothwell Street Institute of Chartered LLP Glasgow Accountants in England and G2 7EQ Wales Legal Advisers Eversheds LLP One Wood Street The Law Society London EC2V 7WS

Henderson UK Strategic Income Unit Trust 1 Authorised Fund Manager’s report (continued)

Investment Fund Manager Henderson Multi-Asset Team

Investment objective and policy To achieve a high level of income.

The fund will invest principally in the UK in a managed portfolio of investment trust shares and other closed-ended vehicles. The fund may also invest in exchange traded funds, unregulated collective investment schemes (which include limited partnerships), money market instruments and deposits.

Performance summary

Cumulative performance Six One Five Since months year years launch 31 Mar 15 - 30 Sep 14 - 30 Sep 10 - 29 Apr 88 - 30 Sep 15 30 Sep 15 30 Sep 15 30 Sep 15 % % % % Henderson UK Strategic Income Unit Trust (3.6) 3.4 46.8 112.8 FTSE All Share Total Return Index (7.2) (2.3) 38.2 874.9

Discrete performance

30 Sep 14 - 30 Sep 13 - 30 Sep 12 - 30 Sep 11 - 30 Sep 10 - 30 Sep 15 30 Sep 14 30 Sep 13 30 Sep 12 30 Sep 11 % % % % % Henderson UK Strategic Income Unit Trust 3.4 3.8 16.8 12.6 4.0 FTSE All Share Total Return Index (2.3) 6.1 18.9 17.3 (4.4)

Source: Morningstar, bid to bid and net of fees as at valuation point, based on performance of income units. Benchmark values are as at close of business. Figures in brackets are negative.

Please remember that past performance is not a guide to future performance. The value of an investment and the revenue from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

Significant portfolio changes for the six months ended 30 September 2015

Largest purchases £000 Largest sales £000

RIT Capital Partners 254 Investors Capital Trust 'A' 1,093 232 Renewable Energy Generation 579 Murray International Trust 197 Ecofin Water & Power Opportunities 553 177 HICL Infrastructure 369 Edinburgh Investment Trust 146 350 Finsbury Growth & Income Investment Trust 98 3i Infrastructure (Post Conversion) 295 Perpetual Income & Growth Investment Trust 79 Montanaro European Equity Income Fund 243 Temple Bar Investment Trust 74 Alcentra European Floating Rate Income Fund 214 Investment Trust 126 Polar Capital Financials Income Fund Class B Accumulation 63

Total purchases 1,257 Total sales 3,917

All purchases have been included for the period.

2 Henderson UK Strategic Income Unit Trust Authorised Fund Manager’s report (continued)

Investment review Market volatility increased significantly during the period under review. In the second quarter of 2015, investor concerns centred on events unfolding in Greece and the possibility of a ‘Grexit’. In the third quarter, investors were unsettled by developments in emerging markets, with China in focus as a result of slowing growth and a surprise weakening of the yuan.

In the US, it was generally expected that the initial fall in capital expenditure, which was related to a descent in the oil price in late 2014, would start to be outweighed by the positive impact of increased consumer spending resulting from reduced transportation and energy costs. Though this phenomenon took longer to occur than the market initially assumed, consumer spending began to pick up later in the period. The labour market within the US also tightened, putting added pressure on the Federal Reserve to raise rates; however, policymakers resisted with an eye on the impact US dollar strength could have on both domestic corporate earnings and the rate of global growth.

The UK economy remained heavily in sync with the US. The Bank of England also questioned when to raise rates. Annualised GDP growth remained in excess of 2%, as it has since the last quarter of 2013. UK monetary policymakers, like their US counterparts, also remained cautious on raising interest rates, as inflation rates stayed close to zero. Wage growth, however, showed signs of improvement, which could prove to be the catalyst for rising rates in the short to medium term.

While the eurozone is at an earlier stage of recovery than either the US or UK, both consumer sentiment and spending have begun to increase. The area has been a beneficiary of a depreciating currency (which has improved corporate performance), and also of falling energy costs. Monetary policy is still accommodative and looks set to remain so, with quantitative easing (central bank liquidity measures) scheduled to continue until at least September 2016.

The fund returned -3.6% during the period under review, outperforming both the IA UK Equity Income sector and the FTSE All Share Index, which returned -4.2% and -7.2%, respectively.

The largest factor in the fund’s performance was good stock selection within its UK holdings. Of note were positions in Edinburgh Investment Trust (+5.6%), Fidelity Special Values (+6.6%) and the Mercantile Investment Trust (+10.2%). The fund also benefited from its holding in Montanaro European Equity Income (+2.6%). The performance of these positions was particularly pleasing given the volatile backdrop of equity markets during the period.

The largest detractor from performance was Murray International Trust (-17.9%). The fund underperformed the market in net asset value terms and also saw its premium fall. However, the long term track record of the fund remained strong.

Trading activity within the period was low. We exited positions in Alcentra European Floating Rate Income Fund and 3i Infrastructure. The position in Alcentra was closed due to European secured loans performing well in the first half of the year − we found some liquidity in what is a relatively small trust. Infrastructure funds have performed extremely well in recent years due to their high, stable yields. Premiums within the sector were high as a result, and we seized the opportunity to take profits.

Henderson UK Strategic Income Unit Trust 3 Comparative tables as at 30 September 2015

Net asset value per unit

Accounting year Net asset Number of Net asset Net asset value of units in value per value per fund issue unit unit (£) (pence) % change^

Income units 31/03/2013 17,675,238 173,413,071 10.19 12.47 31/03/2014 15,901,068 152,372,605 10.44 2.45 31/03/2015 13,979,762 128,443,677 10.88 4.21 30/09/2015 12,086,535 116,792,314 10.35 (4.87)

Performance record

Calendar year Net revenue Highest price Lowest price (pence per unit) (pence per unit) (pence per unit)

Income units 2010 0.49 10.46 8.11 2011 0.48 10.59 8.48 2012 0.42 10.23 8.70 2013 0.44 10.86 9.40 2014 0.39 10.67 9.68 2015 0.32* 11.40+ 10.16+

* to 30 November + to 30 September ^ This is the percentage change in the net asset value per unit from the beginning of the period to the close of the period.

4 Henderson UK Strategic Income Unit Trust Ongoing charge figure*

The annualised ongoing charge figure (OCF) of the fund is calculated as the ratio of the total ongoing charges to the average net asset value for twelve months. Ongoing charges are all expenses deducted from the assets of the fund during the period, except for expenses that are explicitly excluded by regulation.

30/09/15 31/03/15 % %

Income units 1.71 1.71

The OCF includes a synthetic element of 0.04% (31/03/2015: 0.04%) to incorporate the OCF of underlying funds.

The OCF is calculated in accordance with guidance issued by the European Securities and Markets Authority (ESMA).

* The fund is a non-UCITS fund and we have adopted this disclosure to enable comparison across our fund range.

Henderson UK Strategic Income Unit Trust 5 Risk and reward profile

The fund currently has 1 type of unit class in issue: Income units.

The risk and reward profile which is as follows:

Typically Lower potential Typically Higher potential risk/reward risk/reward

Lower Risk Higher Risk

1 2 3 4 5 6 7

The Synthetic Risk and Reward Indicator (SRRI) is calculated based on historical volatility over a rolling 5 year period, it is reviewed monthly and updated if volatility has changed materially to cause a movement in the SRRI level. The SRRI is an indicator and may not accurately reflect future volatility and market conditions.

The value of an investment in the fund can go up or down. When you sell your units, they may be worth less than you paid for them.

The risk/reward rating above is based on medium-term volatility. In the future, the fund’s actual volatility could be higher or lower and its rated risk/reward level could change.

The lowest category does not mean risk free.

The fund’s risk level reflects the following:

• The fund invests in a mix of different asset classes.

• Fluctuations in exchange rates may cause the value of your investment to rise or fall.

The following risks apply to investments in the fund. These could be triggered or made worse by unusual market conditions or unpredictable market events.

Counterparty risk The fund could lose money if a counterparty with which it transacts becomes unwilling or unable to meet its obligations to the fund.

Focus risk The fund’s value may fall where it has concentrated exposure to an issuer or type of security that is heavily affected by an adverse event.

Liquidity risk Certain securities could become hard to value or sell at a desired time and price.

Management risk Investment management techniques that have worked well in normal market conditions could prove ineffective or detrimental at other times.

The full list of the fund’s risks are contained in the “Risk Warnings” section of the fund’s prospectus.

The risk rating has changed from 6 to 5 in the period.

The SRRI conforms to the ESMA guidelines for the calculation of the SRRI.

6 Henderson UK Strategic Income Unit Trust Portfolio statement as at 30 September 2015

Holding Investment Market Percentage value of total £000 net assets % Alternatives 0.00% (31/03/2015: 0.00%) 1,500,000 Develica Deutschland~ - - 2,500,000 Premier Equity Income & Bond~ - - - -

Europe ex UK Equity 4.88% (31/03/2015: 4.76%) 351,947 Montanaro European Equity Income Fund 590 4.88

Global Equity 17.69% (31/03/2015: 16.67%) 157,143 Foreign & Colonial Investment Trust 657 5.44 93,353 Murray Income Trust 611 5.05 157,250 Ruffer Investment Preference Shares 326 2.70 74,019 Witan Investment Trust 544 4.50 2,138 17.69

High Yield Bonds 0.00% (31/03/2015: 1.56%)

Private Equity 0.07% (31/03/2015: 0.06%) 29,128 Henderson Private Equity Investment Trust~+ - - 250,000 Promethean 8 0.07 8 0.07

Property 2.44% (31/03/2015: 4.39%) 193,818 HICL Infrastructure 295 2.44 2,000,000 Speymill Deutsche Immobilien~ - - 295 2.44

Specialist Equity 22.06% (31/03/2015: 21.07%) 167,698 768 6.35 68,847 Murray International Trust 565 4.67 342,852 Polar Capital Financials Income Fund Class B Accumulation 579 4.79 50,386 RIT Capital Partners 755 6.25 2,667 22.06

UK Equity 54.00% (31/03/2015: 47.94%) 2,050,000 Aberdeen Development Capital~ - - 161,568 Edinburgh Investment Trust 1,117 9.24 422,546 Fidelity Special Values Investment Trust 813 6.73 156,812 Finsbury Growth & Income Investment Trust 873 7.22 196,575 Henderson High Income Trust+ 338 2.80 28,027 JPMorgan Mercantile Investment Trust 473 3.91 184,520 London (City of) Investment Trust+ 696 5.76 207,018 Perpetual Income & Growth Investment Trust 832 6.88 61,268 Temple Bar Investment Trust 640 5.30 1,074,033 Troy Income & Growth Trust 745 6.16 6,527 54.00

Investment assets 12,225 101.14 Other net liabilities (138) (1.14) Total net assets 12,087 100.00

~ Suspended, delisted or unquoted securities + Related party to the fund

Henderson UK Strategic Income Unit Trust 7 Statement of total return (unaudited) for the six months ended 30 September 2015

30/09/15 30/09/14 £000 £000 £000 £000

Income Net capital losses (524) (95) Revenue 227 292 Expenses (112) (126) Interest payable and similar charges - (1)

Net revenue before taxation 115 165 Taxation - -

Net revenue after taxation 115 165

Total return before distributions (409) 70

Distributions (216) (274)

Change in net assets attributable to unitholders from investment activities (625) (204)

Statement of change in net assets attributable to unitholders (unaudited) for the six months ended 30 September 2015

30/09/15 30/09/14 £000 £000 £000 £000

Opening net assets attributable to unitholders* 13,980 15,901

Amounts receivable on issue of units 104 173 Amounts payable on cancellation of units (1,376) (1,546) (1,272) (1,373)

Stamp duty reserve tax** - (1)

Change in net assets attributable to unitholders from investment activities (625) (204)

Unclaimed distributions 4 4

Closing net assets attributable to unitholders 12,087 14,327

* The opening net assets attributable to unitholders for the current period do not equal the closing net assets attributable to unitholders for the comparative period as they are not consecutive periods.

** Stamp Duty Reserve Tax (SDRT) Part 2 of Schedule 19 was abolished on 30 March 2014.

8 Henderson UK Strategic Income Unit Trust Balance sheet (unaudited) as at 30 September 2015

30/09/15 31/03/15 £000 £000 Assets: Fixed assets: Investments 12,225 13,484 Current assets: Debtors 19 16 Cash and bank balances 80 676 Cash equivalents* - -

Total assets 12,324 14,176

Liabilities: Creditors: Bank overdrafts 114 - Distribution payable 83 88 Other creditors 40 108

Total liabilities 237 196

Net assets attributable to unitholders 12,087 13,980

* Cash equivalents are short term highly liquid investments that are readily convertible into known amounts of cash.

Directors’ statement

In accordance with the requirements of the Collective Investment Schemes sourcebook as issued and amended by the Financial Conduct Authority, we hereby certify the investment report and financial statements on behalf of the Directors of Henderson Investment Funds Limited.

Lesley Cairney (Director)

Martin Skinner (Director)

12 November 2015

Henderson UK Strategic Income Unit Trust 9 Notes to the financial statements

Accounting policies The accounting policies, distribution policy and potential risks applied are consistent with those of the financial statements for the year ended 31 March 2015 and are described in those annual accounts.

Basis for preparation During the period the fund has adopted the Financial Reporting Standard 102 (FRS 102) and the Statement of Recommended Practice for Authorised Funds (SORP) issued by the Investment Management Association (IMA) in May 2014. The adoption of this has resulted in presentational changes to the financial statements and does not have any impact on the fund’s financial position.

10 Henderson UK Strategic Income Unit Trust Distribution tables for the six months ended 30 September 2015 (in pence per unit)

Interim dividend distribution (accounting date 30 June 2015, paid on 28 August 2015) Group 1: units purchased prior to 1 April 2015 Group 2: units purchased on or after 1 April 2015

Net Equalisation Distribution Distribution revenue paid paid 28/08/15 29/08/14 Income units Group 1 0.1058 - 0.1058 0.1029 Group 2 0.0468 0.0590 0.1058 0.1029

Interim dividend distribution (accounting date 30 September 2015, paid on 30 November 2015) Group 1: units purchased prior to 1 July 2015 Group 2: units purchased on or after 1 July 2015

Net Equalisation Distribution Distribution revenue paid paid 30/11/15 28/11/14 Income units Group 1 0.0707 - 0.0707 0.0831 Group 2 0.0461 0.0246 0.0707 0.0831

Henderson UK Strategic Income Unit Trust 11 Further information

Unitholder enquiries

If you have any queries about your fund holding, either contact your professional adviser or telephone us on one of the numbers below:

For dealing enquiries including buying and selling units please telephone at local rate: 0845 608 8703

The following line is also available:

Client Services: 0800 832 832 or you can contact us via e-mail at [email protected]

We may record telephone calls for our mutual protection and to improve customer service.

12 Henderson UK Strategic Income Unit Trust

Henderson Global Investors is the name under which Henderson Global Investors Limited (reg. no. 906355), Henderson Fund Management Limited (reg. no. 2607112), Henderson Investment Funds Limited (reg. no. 2678531), Henderson Investment Management Limited (reg. no. 1795354), Henderson Alternative Investment Advisor Limited (reg. no. 962757), Henderson Equity Partners Limited (reg. no. 2606646), Gartmore Investment Limited (reg. no. 1508030), (each incorporated and registered in England and Wales with registered office at 201 Bishopsgate, London EC2M 3AE) are authorised and regulated by the Financial Conduct Authority to provide investment products and services. Telephone calls may be recorded and monitored. Ref 34V.

Unless otherwise stated, all data is sourced by Henderson Global Investors.

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