BAILLIE GIFFORD

Baillie Gifford Bond Funds ICVC

Interim Report and Financial Statements (Unaudited) for the six months ended 31 March 2021 Baillie Gifford Bond Funds ICVC March 2021

Contents About the Company* 1 Statement of Authorised Corporate Directors’ Responsibilities 3 Baillie Gifford Emerging Markets Bond Fund* 5 Baillie Gifford High Yield Bond Fund* 23 Baillie Gifford Investment Grade Bond Fund* 39 Baillie Gifford Investment Grade Long Bond Fund* 57 Baillie Gifford Strategic Bond Fund* 75 General Information 93 The Group’s Funds 98

*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 March 2021

About the Company

Baillie Gifford Bond Funds ICVC (Investment Company ACD will issue the statement of value in a separate with Variable Capital) (‘the Company’) is an umbrella composite report, performing the assessment across their UK Open-Ended Investment Company (‘OEIC’) under full range of UK authorised sub-funds. The ACD has regulation 14 (Authorisation) of the Open-Ended chosen a reference date of 31 March and will publish a Investment Companies Regulations 2001. An OEIC is a composite report by 31 July each year which will be collective investment vehicle in which your funds are available on their website at www.bailliegifford.com. pooled with those of other investors and spread across a portfolio of investments, thus reducing risk. Sub-fund Cross-holdings Table At 31 March 2021, the Company offered five sub-funds and the range may be varied in the future. At 31 March 2021 none of the shares in the sub-funds Each sub-fund is valued on a daily basis. The sub-funds were held by any other sub-funds of the Company. are subject to different charging structures and subscription limits. All shares are single priced. Details of the sub-funds and the share classes are contained in the Prospectus, along with details of the switching facility available between sub-funds. The Prospectus and the Instrument of Incorporation were last revised on 30 April 2021. Copies of the Prospectus or Instrument of Incorporation can be obtained from Baillie Gifford & Co Limited, the Authorised Corporate Director (‘ACD’) by contacting Client Relations. The Company is registered in Great Britain, registered number IC 402, and the address of its Head Office is Calton Square, 1 Greenside Row, Edinburgh EH1 3AN. The operation of the Company is governed by the Financial Conduct Authority’s Collective Investment Schemes Sourcebook (‘COLL’) (the ‘Regulations’), its Instrument of Incorporation and its Prospectus. The Company’s shareholders are not liable for its debts beyond the amount subscribed. Each sub-fund is classed as a UCITS retail scheme under COLL. Any comments expressed in this report should not be taken as a recommendation or advice

Assessment of value for the Sub-Funds

Under COLL 6.6.20R (1), Baillie Gifford & Co Limited, the ACD of the Company, must conduct an assessment at 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 rates, comparable services and classes of shares. The

1 Baillie Gifford Bond Funds ICVC March 2021

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 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.

2 Baillie Gifford Bond Funds ICVC March 2021

Statement of Authorised Corporate Directors’ Responsibilities

The Financial Conduct Authority’s Collective Investment — prepare the financial statements on the going concern Schemes Sourcebook (‘COLL’) requires the Authorised basis unless it is inappropriate to presume that the Corporate Director to prepare financial statements for Company will continue in operation; and each interim and annual accounting period which give a — take reasonable steps for the prevention and detection true and fair view of the financial position of the of fraud and irregularities. Company and of its revenue and expenditure and of its The Authorised Corporate Director is responsible for net gains and losses on the property of the Company for the management of the Company in accordance with the the period. In preparing the financial statements the Instrument of Incorporation, the Prospectus and the Authorised Corporate Director is required to: Regulations. — select suitable accounting policies and then apply The Interim Report and Financial Statements were them consistently; approved by the Authorised Corporate Director and — make judgements and estimates that are reasonable signed on its behalf by: 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; M J C Wylie, Chairman — keep proper accounting records which enable it to C M Fraser, Director demonstrate that the financial statements as prepared Baillie Gifford & Co Limited comply with the above requirements; 31 May 2021

3 Baillie Gifford Bond Funds ICVC March 2021

4 BAILLIE GIFFORD

Baillie Gifford Emerging Markets Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Interim Report and Financial Statements (Unaudited) for the six months ended 31 March 2021

5 Baillie Gifford Emerging Markets Bond Fund March 2021

Baillie Gifford Emerging Markets Bond Fund

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

6 Baillie Gifford Emerging Markets Bond Fund March 2021

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 1 July 2018 the ACD’s annual fee on Class B Shares was 0.6%), but 30 exclude any initial charge paid. Performance figures for the other share 24.2 21.2 22.0 classes in issue can be obtained by contacting Client Relations. You 20 should be aware that past performance is not a guide to future performance. 10 6.0 2.2 0.7 1.3 0.1 1.6 % 0 -1.5 -0.5 -1.8 -1.2 -10 -6.1 -5.7

-20 31/03/2016 to 31/03/2017 to 31/03/2018 to 31/03/2019 to 31/03/2020 to 31/03/2017 31/03/2018 31/03/2019 31/03/2020 31/03/2021

Baillie Gifford Emerging Markets Bond Fund B Income Shares¹ J.P. Morgan GBI-EM Global Diversified Index unhedged in sterling² J.P. Morgan GBI-EM Global Diversified Index unhedged in sterling + 0.6%²

The investment objective of the Fund is to outperform Individual bond selection is typically the driver of (after fees) the J.P. Morgan GBI-EM Global Diversified relative performance for the Fund. In the past six and 12 Index unhedged in sterling (the 'Index') by at least 0.6% months, the Fund has exceeded its target return with a per annum (the ‘target return’) over rolling three-year diverse range of bonds contributing. Over three years the periods. For the six months to 31 March 2021 the return Fund has not met its target return largely due to poor on B Income Shares was -3.3%3, compared to the Index returns in 2018. Among the detractors was a position in of -4.1%2 and the target return of -3.9%2. We believe that Argentina, one of our highest conviction exposures at the short-term performance measurements are of limited time. A short-term debt crisis, which required a support relevance in assessing investment ability and would package from the International Monetary Fund, derailed suggest that three years is a more sensible timeframe the positive reform story. Recent performance had been over which to judge performance, a period in-line with improving and we remain confident that following a the Fund’s objectives. Over that period, the annualised number of small changes we made to our process, the return on B Income Shares was -1.7%3 compared to the Fund can deliver positive outcomes over longer periods. Index of -0.2%2 and the target return of 0.4%2. At the start of the year, we decided to position your The six month period to 31 March 2021 was a game of Fund more defensively by reducing exposure to interest two halves. In the final quarter of 2020 most riskier rates and weaker currencies. We closed the overweight assets including emerging market bonds performed well, positions in Thai baht and Thai bonds as we feel the with positive vaccine news and the US election result outlook for the country has deteriorated with delays in providing support. The first quarter of 2021 was much tourism resuming. Similarly, we reduced exposure to more challenging for emerging market bonds, which long-dated Indonesian bonds. were hurt by a rise in US treasury yields. However, the move was fairly orderly, and we have not witnessed a repeat of a taper tantrum scenario.

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. Index performance returns are now shown on a gross total return basis, having previously been shown on a net total return basis. Please see Disclaimer on page 96. 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. 7 Baillie Gifford Emerging Markets Bond Fund March 2021

Investment Report cont.

Looking for resilience, we took new positions in Chinese renminbi and bonds. After managing to grow GDP around two per cent in 2020, China’s growth should remain at comparatively very high levels in 2021, with private economy and manufacturing sectors leading the economy. We are further reassured by China’s strong balance of payments, positive real interest rates, weak inflation dynamics, and favourable valuations. Within Central and Eastern Europe, we closed the overweight Polish zloty position as we lost conviction due to the central bank becoming increasingly dovish. Instead, we replaced it with Czech koruna, as we expect the Czech central bank to be the first in the region to increase interest rates. Political developments also motivated several changes in the portfolio. We closed the overweight position in Turkish lira as we lost conviction in the normalisation of the country’s monetary policy, following the abrupt removal of the central bank head Naci Agbal. In contrast, we took an overweight position for your Fund in Peruvian sol as we think the market is pricing in too much risk ahead of the upcoming general election. Thematically the Fund’s positions are now focused on more resilient Asian currencies, countries with strong manufacturing stories, and frontier currencies with high interest rates and strong external balances.

Baillie Gifford & Co, 16 April 2021

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Principal Bond Holdings as at 31 March 2021

Investment Percentage of total Fund China Development Bank 3.09% 18/06/2030 6.46 Thailand 1.25% IL 12/03/2028 3.28 Romania 3.65% 24/09/2031 3.05 Indonesia 8.375% 15/03/2024 2.82 Petroleos Mexicanos 7.47% 12/11/2026 2.81 Brazil 0% 01/07/2023 2.75 Indonesia 8.375% 15/03/2034 2.72 Brazil 10% 01/01/2023 2.61 South Africa 10.5% 21/12/2026 2.39 China Development Bank 3.23% 10/01/2025 2.22

9 Baillie Gifford Emerging Markets Bond Fund March 2021

Material Portfolio Changes for the six months ended 31 March 2021

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 China Development Bank 3.09% 18/06/2030 16,513 Thailand 1.25% IL 12/03/2028 8,000 China 3.81% 14/09/2050 7,953 Poland 2.75% IL 25/08/2023 7,118 Uruguay 8.5% 15/03/2028 6,162 Indonesia 8.375% 15/03/2024 5,811 Romania 3.65% 24/09/2031 5,877 Uruguay 4.375% IL 12/2028 5,433 Brazil 0% 01/01/2024 5,450 China 3.81% 14/09/2050 5,254 Ivory Coast 6.375% 03/03/2028 (USD) 4,017 Uruguay 8.5% 15/03/2028 4,812 Ivory Coast 4.875% 30/01/2032 (EUR) 3,960 Ukraine 17% 11/05/2022 4,712 Turkey 11% 24/02/2027 3,884 Ivory Coast 4.875% 30/01/2032 (EUR) 4,160 South Africa 6.5% 28/02/2041 3,156 Ivory Coast 6.375% 03/03/2028 (USD) 4,046 Russia 7.15% 12/11/2025 2,755 Turkey 11% 24/02/2027 3,922

The largest purchases and sales of bonds have been shown.

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Portfolio Statement as at 31 March 2021

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

Fixed Income - 90.80% (94.28%)

Albania - 1.04% (1.02%) Republic Of Albania 3.5% 16/06/2027 (EUR) 2,850,000 2,580 1.04

Brazil - 8.95% (7.45%) Brazil 0% 01/01/2024 47,000 4,911 1.97 Brazil 0% 01/07/2023 62,500 6,846 2.75 Brazil 10% 01/01/2023 48,200 6,496 2.61 Brazil 10% 01/01/2025 29,850 4,023 1.62

Canada - 0.98% (0.00%) Export Development Canada 20% 08/04/2022 28,700,000 2,443 0.98

Chile - 0.00% (2.27%)

China - 11.37% (3.76%) China 1.99% 09/04/2025 38,200,000 4,053 1.63 China 3.81% 14/09/2050 23,500,000 2,644 1.06 China Development Bank 3.09% 18/06/2030 152,000,000 16,074 6.46 China Development Bank 3.23% 10/01/2025 50,000,000 5,510 2.22

Colombia - 5.00% (5.26%) Colombia 5.75% 03/11/2027 18,100,000,000 3,484 1.40 Colombia 6% 28/04/2028 6,425,000,000 1,237 0.50 Colombia 6.25% 26/11/2025 13,750,000,000 2,816 1.13 Colombia 7.25% 26/10/50 7,000,000,000 1,261 0.51 Colombia 7.5% 26/08/2026 10,068,500,000 2,146 0.86 Colombia 7.75% 18/09/2030 7,275,000,000 1,508 0.60

Cote D’Ivoire - 0.94% (0.00%) Ivory Coast 6.875% 17/10/2040 (EUR) 2,610,000 2,329 0.94

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Portfolio Statement as at 31 March 2021 cont.

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

Dominican Republic - 1.18% (2.25%) Dominican Republic 8.9% 15/02/2023 222,250,000 2,931 1.18

Egypt - 3.53% (2.50%) Egypt 14.06% 12/01/2026 55,000,000 2,496 1.00 Egypt 14.406% 07/07/2027 55,000,000 2,522 1.01 Egypt 4.55% 20/11/2023 (USD) 1,420,000 1,052 0.42 Egypt T Bill 14/09/2021 62,625,000 2,722 1.10

Ghana - 1.01% (0.98%) Ghana 19.25% 23/06/2025 19,725,000 2,507 1.01

Hungary - 0.00% (2.38%)

Indonesia - 9.86% (14.27%) Indonesia 6.125% 15/05/2028 74,405,000,000 3,602 1.45 Indonesia 8.375% 15/03/2024 130,912,000,000 7,031 2.82 Indonesia 8.375% 15/03/2034 123,923,000,000 6,764 2.72 Indonesia 8.375% 15/04/2039 56,395,000,000 3,002 1.21 Indonesia 9% 15/03/2029 73,063,000,000 4,145 1.66

Malaysia - 0.00% (0.75%)

Mexico - 6.95% (5.58%) Mexico 2.75% IL 27/11/2031 103,000 2,431 0.98 Mexico 7.75% 13/11/2042 700,000 2,503 1.01 Mexico 7.75% 23/11/2034 1,439,600 5,358 2.15 Petroleos Mexicanos 7.47% 12/11/2026 2,255,800 7,002 2.81

Mongolia - 0.76% (0.00%) Mongolia 8.75% 09/03/2024 (USD) 2,255,000 1,880 0.76

12 Baillie Gifford Emerging Markets Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

North Macedonia - 1.03% (1.03%) North Macedonia 3.675% 03/06/2026 (EUR) 2,750,000 2,565 1.03

Peru - 4.37% (6.27%) Peru 6.15% 12/08/2032 12,315 2,559 1.03 Peru 6.35% 12/08/2028 17,075 3,839 1.54 Peru 6.9% 12/08/2037 21,617 4,479 1.80

Poland - 5.34% (9.44%) Poland 2.5% 25/01/2023 25,047,000 4,804 1.93 Poland 2.5% 25/07/2026 11,650,000 2,317 0.93 Poland 2.75% 25/10/2029 15,535,000 3,159 1.27 Poland 3.25% 25/07/2025 14,825,000 3,019 1.21

Romania - 3.05% (1.54%) Romania 3.65% 24/09/2031 42,830,000 7,583 3.05

Russia - 3.79% (2.91%) Russia 7.05% 19/01/2028 190,370,000 1,849 0.74 Russia 7.15% 12/11/2025 256,000,000 2,524 1.02 Russia 8.15% 03/02/2027 341,066,000 3,506 1.41 Russia 8.5% 17/09/2031 144,096,000 1,540 0.62

Serbia - 1.74% (0.70%) Serbia 4.5% 20/08/2032 322,000,000 2,556 1.03 Serbia 5.875% 08/02/2028 202,170,000 1,776 0.71

South Africa - 6.71% (2.20%) South Africa 10.5% 21/12/2026 106,500,000 5,936 2.39 South Africa 6.25% 31/03/2036 82,500,000 2,663 1.07 South Africa 6.5% 28/02/2041 100,000,000 3,053 1.23 South Africa 8.5% 31/01/2037 65,000,000 2,543 1.02 South Africa 8.875% 28/02/2035 60,000,000 2,499 1.00

13 Baillie Gifford Emerging Markets Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

South Korea - 0.98% (0.97%) Korean EXIM Bank 7.25% 07/12/2024 (IDR) 47,000,000,000 2,444 0.98

Supranational - 0.80% (0.79%) IBRD 6% 09/03/2023 40,000,000,000 1,998 0.80

Thailand - 6.91% (11.89%) Thailand 1.25% IL 12/03/2028 346,985,000 8,158 3.28 Thailand 2.875% 17/06/2046 16,911,000 394 0.16 Thailand 3.4% 17/06/2036 32,840,000 856 0.34 Thailand 3.775% 25/06/2032 199,200,000 5,417 2.18 Thailand 4.875% 22/06/2029 81,763,000 2,358 0.95

Turkey - 0.47% (0.00%) Turkey 4.875% 16/04/2043 (USD) 2,100,000 1,169 0.47

Ukraine - 1.57% (4.73%) Ukraine 7.75% 01/09/2023 (USD) 2,425,000 1,894 0.76 Ukraine 9.79% 26/05/2027 (GDN) 90,985,000 2,024 0.81

Uruguay - 2.47% (3.34%) Uruguay 3.875% IL 02/07/2040 125,000,000 2,454 0.98 Uruguay 8.5% 15/03/2028 185,500,000 3,162 1.27 Uruguay 9.875% 20/06/2022 31,705,000 538 0.22

14 Baillie Gifford Emerging Markets Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Derivatives - -0.36% (1.45%) Forward currency contracts (see Table 1) (1,517) (0.61) Futures contracts (see Table 2) - 0.00 Interest rate swap contracts (see Table 3) 627 0.25

Portfolio of investments 225,054 90.44

Net other assets - 9.56% (4.27%) 23,798 9.56

Net assets 248,852 100.00

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 2020.

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 15/04/21 HUF 1,770,000,000 GBP 4,379,279 (218) (0.09) Barclays Bank 22/04/21 KRW 3,950,000,000 GBP 2,631,965 (96) (0.04) Barclays Bank 22/04/21 THB 166,700,000 GBP 3,984,215 (119) (0.05) Barclays Bank 29/04/21 MXN 318,900,000 GBP 11,459,114 (199) (0.08) Barclays Bank 17/06/21 MYR 95,470,000 GBP 16,828,838 (168) (0.07) CitiGroup 22/04/21 GBP 18,835,710 USD 25,721,000 195 0.08 CitiGroup 20/05/21 GBP 3,719,410 UYU 221,900,000 106 0.04 CitiGroup 20/05/21 RUB 819,200,000 GBP 7,911,445 (99) (0.04) CitiGroup 20/05/21 TRY 28,400,000 GBP 2,783,948 (380) (0.15) CitiGroup 17/06/21 GBP 6,706,937 BRL 52,535,000 - 0.00 HSBC 15/04/21 CZK 315,200,000 GBP 10,854,742 (575) (0.23) HSBC 22/04/21 GBP 538,247 USD 735,000 6 0.00 HSBC 22/04/21 ILS 28,960,000 GBP 6,577,677 (283) (0.11) HSBC 13/05/21 CZK 152,400,000 GBP 5,170,501 (201) (0.08) HSBC 20/05/21 GBP 22,850,119 EUR 26,000,000 682 0.28 Royal Bank of Canada 22/04/21 PLN 36,240,000 GBP 7,060,603 (404) (0.16)

15 Baillie Gifford Emerging Markets Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Royal Bank of Canada 20/05/21 GBP 2,724,358 ZAR 56,500,000 (30) (0.01) Royal Bank of Scotland 22/04/21 CLP 4,300,000,000 GBP 4,306,220 33 0.01 Royal Bank of Scotland 22/04/21 GBP 1,024,703 PEN 5,040,000 54 0.02 Royal Bank of Scotland 24/06/21 GBP 1,448,119 USD 2,000,000 (1) 0.00 Standard Chartered Bank 20/05/21 GBP 5,706,114 IDR 111,670,000,000 181 0.07 Standard Chartered Bank 06/10/21 CNY 14,400,000 GBP 1,583,166 (1) 0.00 Unrealised gains/(losses) on open forward currency contracts (1,517) (0.61)

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

US Long Bond (CBT) June 2021 30/06/21 (58) - 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

Citigroup Global Markets Limited 20/03/23 1,042,464,600 MosPrime 3 7.960000000 259 0.10 Month Rate Citigroup Global Markets Limited 15/05/23 170,000,000 .490000000 GPW 45 0.02 Benchmark WIBOR PLN 6M Citigroup Global Markets Limited 15/05/23 13,100,000,000 Budapest .930000000 (370) (0.15) Interbank Offered Rates 6 Month Index Citigroup Global Markets Limited 10/06/29 31,058,550 Malaysia 3.512500000 186 0.07 Interbank Offered Rate Fixing 3 Month Goldman Sachs International 11/10/24 1,400,000,000 MosPrime 3 6.835000000 (18) (0.01) Month Rate HSBC Bank 04/06/23 56,500,000 .400000000 GPW 39 0.02 Benchmark WIBOR PLN 6M

16 Baillie Gifford Emerging Markets Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

HSBC Bank 04/06/23 4,435,000,000 Budapest .765000000 (168) (0.07) Interbank Offered Rates 6 Month Index J.P. Morgan Securities PLC 14/03/25 79,000,000 7.350000000 Mexico (161) (0.06) Interbank TIIE 28 Day J.P. Morgan Securities PLC 14/03/25 300,000,000 Mexico 7.350000000 611 0.25 Interbank TIIE 28 Day J.P. Morgan Securities PLC 23/11/25 260,000,000 .854000000 Czech 291 0.12 Interbank Rates 6 Month Intraday Merrill Lynch International 02/01/24 115,000,000 Brazil CETIP 5.925000000 (594) (0.24) Interbank Deposit Rate Merrill Lynch International 23/11/24 40,000,000 .490000000 Poland 130 0.05 Warsaw Interbank Offer Bid Rates 6 Month Merrill Lynch International 14/03/25 50,000,000 7.350000000 Mexico (102) (0.04) Interbank TIIE 28 Day Merrill Lynch International 22/02/26 176,000,000 1.370000000 Czech 74 0.03 Interbank Rates 6 Month Intraday Merrill Lynch International 09/12/26 422,250,000 MosPrime 3 6.800000000 (56) (0.02) Month Rate Standard Chartered Bank 12/02/26 57,157,600 Malaysia 3.725000000 461 0.18 Interbank Offered Rate Fixing 3 Month

Unrealised gains/(losses) on open interest rate swap contracts 627 0.25

17 Baillie Gifford Emerging Markets Bond Fund March 2021

Fund Information

Fund and Share 31.03.21 30.09.20 30.09.19 30.09.18 Information Total net asset value of 248,852 259,793 693,478 708,844 scheme property (£’000)

Synthetic Risk and Reward 5555 Indicator1

Net asset value per share (pence) A Income 78.46 82.77 94.40 87.22 B Accumulation 126.09 130.36 139.35 121.21 B Income 79.29 83.64 94.70 87.50 C Accumulation 185.73 191.63 204.04 176.76

Number of shares in issue A Income 242,896 229,046 493,624 303,847 B Accumulation 2,110,884 2,136,506 1,867,542 978,311 B Income 10,713,219 11,582,524 11,354,946 10,721,145 C Accumulation 127,877,171 128,962,047 333,097,331 394,895,175

Annual Income Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 Record (pence) (pence) (pence) (pence)

Income per share (financial period)2 A Income 1.40 4.96 5.01 6.08 B Accumulation 2.00 7.42 7.98 8.87 B Income 1.70 4.98 5.68 6.80 C Accumulation 4.00 10.88 12.42 13.94

Yearly Highest Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 and Lowest (pence) (pence) (pence) (pence) Prices Highest (financial period) A Income 90.08 96.53 100.9 105.7 B Accumulation 142.1 142.5 144.4 136.5 B Income 91.17 96.86 101.4 106.0 C Accumulation 209.0 208.7 211.3 198.0

Lowest (financial period) A Income 79.16 79.17 84.55 88.05 B Accumulation 126.1 119.1 117.5 117.0 B Income 80.14 79.48 84.84 88.55 C Accumulation 185.7 174.7 171.4 170.6

18 Baillie Gifford Emerging Markets Bond Fund March 2021

Fund Information cont.

Ongoing Charges 31.03.21 30.09.20 30.09.19 30.09.18 Figures (%) (%) (%) (%)

Ongoing Charges Figures3 A Income 1.24 1.294 1.25 1.405 B Accumulation 0.54 0.636 0.55 0.707 B Income 0.53 0.626 0.55 0.707 C Accumulation 0.14 0.12 0.15 0.16

You should be aware that past performance is not a guide to future performance. 1The Synthetic Risk and Reward Indicator demonstrates where the Fund ranks in terms of its potential risk and reward on a scale from 1 (lowest) to 7 (highest). The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past data, may change over time and may not be a reliable indication of the future risk profile of the Fund. Further information is included in the Risk and Reward Profile section of the Fund’s interim report. 2With effect from 1 October 2019, all permitted expenses of the Fund were allocated to capital for distribution purposes. 3The Ongoing Charges Figure is based on the expenses for the financial period and may vary from year to year. It excludes the cost of buying and selling assets for the Fund although custodian transaction costs are included. A further explanation of charges and costs relating to the Fund can be obtained by contacting Client Relations. 4As at 30 September 2020, the ACD considered 1.22% to be more indicative rate for the ongoing charges for Class A Shares. 5With 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. 6As at 30 September 2020, the ACD considered 0.52% to be a more indicative rate for the ongoing charges figure for Class B Shares. 7With 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.

19 Baillie Gifford Emerging Markets Bond Fund March 2021

Interim Financial Statements (Unaudited)

Statement of Total Return for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) (15,054) (106,871) Revenue 7,472 20,494 Expenses (203) (417)

Net revenue before taxation 7,269 20,077 Taxation (273) (536) Net revenue after taxation 6,996 19,541

Total return before distributions (8,058) (87,330) Distributions (5,338) (14,443) Change in net assets attributable to shareholders from investment activities (13,396) (101,773)

Statement of Change in Net Assets Attributable to Shareholders for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 259,793 693,478 Amounts receivable on issue of shares 4,460 40,248 Amounts payable on cancellation of shares (7,200) (209,041)

(2,740) (168,793) Dilution adjustment 43 3,458 Change in net assets attributable to shareholders from investment activities (13,396) (101,773) Retained distributions on accumulation shares 5,152 10,522 Closing net assets attributable to shareholders 248,852 436,892

20 Baillie Gifford Emerging Markets Bond Fund March 2021

Interim Financial Statements (Unaudited) cont.

Balance Sheet as at 31 March 2021

31 March 2021 30 September 2020 £’000 £’000

Assets: Fixed assets: Investments 229,295 251,969 Current assets: Debtors 13,705 12,610 Cash and bank balances 20,165 8,053 Total assets 263,165 272,632

Liabilities: Investment liabilities (4,242) (3,258) Creditors: Bank overdrafts (1,222) (490) Distributions payable (93) (300) Other creditors (8,756) (8,791)

Total liabilities (14,313) (12,839) Net assets attributable to shareholders 248,852 259,793

Basis for preparation The interim financial statements have been prepared in accordance with the Statement of Recommended Practice for UK Authorised Funds issued by the Investment Management Association in May 2014. The accounting policies applied are consistent with those in the annual financial statements for the year ended 30 September 2020 and are described in those annual financial statements.

21 Baillie Gifford Emerging Markets Bond Fund March 2021

22 BAILLIE GIFFORD

Baillie Gifford High Yield Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Interim Report and Financial Statements (Unaudited) for the six months ended 31 March 2021

23 Baillie Gifford High Yield Bond Fund March 2021

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 as well as rise and you may not get back the amount Investment Policy invested. Custody of assets involves a risk of loss if the custodian The Fund will invest at least 80% in sub-investment grade becomes insolvent or breaches duties of care. bonds. The Fund may also invest in other bonds. The bonds in which the Fund invests will be denominated in Bonds issued by companies and governments may be sterling or denominated in other currencies and hedged adversely affected by changes in interest rates, back to sterling. Currency forwards and derivatives, which expectations of inflation and a decline in the are types of financial contracts, are used for both creditworthiness of the bond issuer. The issuers of bonds investment purposes and in the management of risk. The in which the Fund invests may not be able to pay the bond Fund will be actively managed. income as promised or could fail to repay the capital amount. Risk and Reward Profile The Fund’s concentrated portfolio relative to similar funds may result in large movements in the share price in the short term. The Risk and Reward Indicator table demonstrates where the Fund ranks in terms of its potential risk and reward. Derivatives may be used to obtain, increase or reduce The higher the rank the greater the potential reward but exposure to assets and may result in the Fund being the greater the risk of losing money. It is based on past leveraged. This may result in greater movements (down or data, may change over time and may not be a reliable up) in the price of shares in the Fund. It is not our indication of the future risk profile of the Fund. The intention that the use of derivatives will significantly alter shaded area in the table below shows the Fund’s ranking the overall risk profile of the Fund. 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 their prices to move significantly, affecting the value of the Please note that even the lowest risk class can lose you Fund and the price of shares in the Fund. money and that extreme adverse market circumstances can mean you suffer severe losses in all cases. Expenses are taken from the Fund’s capital. This will reduce the capital value of the Fund. The figure for the The Fund is classified in the category above because it current financial period has not yet been determined. invests in corporate bonds which generally provide higher rewards and higher risks than other investments such as Infectious viruses may pose significant threats to government bonds and cash. 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.

24 Baillie Gifford High Yield Bond Fund March 2021

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%, but exclude any initial charge paid. Performance figures for the other 30 share classes in issue can be obtained by contacting Client Relations. 23.9 23.5 You should be aware that past performance is not a guide to future 20 performance. 10.4 10.6 10 5.4 3.1 2.7 2.7 % 0

-10 -10.8 -10.1 -20 31/03/2016 to 31/03/2017 to 31/03/2018 to 31/03/2019 to 31/03/2020 to 31/03/2017 31/03/2018 31/03/2019 31/03/2020 31/03/2021

Baillie Gifford High Yield Bond Fund B Income Shares¹

Investment Association Sterling High Yield Bond sector average²

The investment objective of the Fund is to produce a US state of Georgia, which gave the Democratic Party combination of income and capital growth. For the six and President Biden control of the Senate. Following the months to 31 March 2021 income totalling 1.9 pence per result, the US government rapidly passed another share was declared for B Income Shares and the total economic stimulus package of nearly US$2 trillion, and return was 5.2%3. The capital return in the period was expectations have grown for a further stimulus package 3.8%4. We believe that short-term performance focused on infrastructure later in the year. measurements are of limited relevance in assessing In the past six months, the Fund underperformed the investment ability and would suggest that three years is a Investment Association Sterling High Yield Bond sector more sensible timeframe over which to judge average return of 7.5%2 (the ‘comparator benchmark’). performance. Over that period, income totalling 16.4 Our approach focuses on constructing a resilient portfolio pence per share was declared for B Income Shares and that can deliver outperformance through the economic the annualised total return was 4.3%3. The annualised cycle, holding bonds issued by companies with durable capital return was 0.1%4. competitive positions and appropriate capital structures. The impact of Covid-19 on corporate bond markets Given this focus, the Fund lagged the peer group return has continued in the past six months, albeit markets have as markets rallied on hopes of a recovery benefiting focused less on the negative effects and more on the lower quality names that we, typically, don’t find recovery in economic activity and the support provided attractive. In the past three years the Fund has also by governments and central banks. Corporate bonds have underperformed relative to the comparator benchmark performed well in that environment. An accelerating which had an annualised return of 4.5%2, primarily due rollout of the vaccines that were announced towards the to short-term performance. Examples among the top end of 2020 increased growth expectations further during performing bonds over three years include global media the first quarter of 2021. The improvement in sentiment services provider, Netflix and British flooring specialist, was also helped by the results of a run-off election in the

1Source: FE, 10am dealing prices, income reinvested, after charges. 2Source: FE and relevant underlying index provider, total return. In- dex performance returns are now shown on a gross total return basis, having previously been shown on a net total return basis. Please see Disclaimer on page 96. 3Source: Baillie Gifford & Co Limited, closing mid prices, gross income reinvested, after charges. You should be aware that past performance is not a guide to future performance. 4Source: Baillie Gifford & Co Limited, closing mid prices, excluding income, after charges. 25 Baillie Gifford High Yield Bond Fund March 2021

Investment Report cont.

Victoria. Meanwhile, UK health club chain Pure Gym and travel group Thomas Cook have detracted, each affected by the pandemic. Our team continues to identify a range of idiosyncratic investment opportunities issued by resilient companies. Purchases during the past six months include ANGI Homeservices and Burford Capital. ANGI is in the very early stages of disrupting the sizeable US home services industry using an innovative marketplace model that connects households with tradespersons and contractors. With a clear first-mover advantage, the business benefits from classic flywheel effects, and we think its new ‘fixed price’ initiatives will provide additional support for growth in the coming years. Burford is an international speciality finance company providing financing and risk management services to major law firms and their corporate clients. Given the complex and opaque nature of this niche market, we believe credit rating agencies have overestimated the credit risk associated with this business. In our view, Burford is a misunderstood, high-quality company with a strong track record that offers a misrated and mispriced opportunity with strong growth prospects.

Baillie Gifford & Co, 19 April 2021

26 Baillie Gifford High Yield Bond Fund March 2021

Principal Bond Holdings as at 31 March 2021

Investment Percentage of total Fund PaymentSense 8% 2025 1.95 Virgin Media 4.125% 2030 (144A) 1.91 Rothesay Life 6.875% PERP 1.77 Unicredit 4.875% 2024/29 1.77 Sirius XM Radio 4.125% 2030 (144A) 1.73 ANGI Homeservices 3.875% 2028 (144A) 1.73 Paprec 4% 2025 1.72 CrowdStrike 3% 2029 1.68 Adevinta 3% 2027 1.64 First Cash 4.625% 2028 (144A) 1.60

27 Baillie Gifford High Yield Bond Fund March 2021

Material Portfolio Changes for the six months ended 31 March 2021

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 Virgin Media 4.125% 2030 (144A) 17,988 Travis Perkins 4.5% 2023 16,176 Sirius XM Radio 4.125% 2030 (144A) 16,729 Virgin Media 5% 2027 14,222 Rothesay Life 6.875% PERP 16,357 Aroundtown Properties 3.75% 2023 Perp 12,407 ANGI Homeservices 3.875% 2028 (144A) 16,004 Ardagh Packaging 4.75% 2027 12,278 CrowdStrike 3% 2029 15,769 SoftBank 4.5% 2025 11,983 Adevinta 3% 2027 15,562 Hiscox 6.125% 2025/45 11,501 Canpack 2.375% 2027 15,326 Pension Insurance 6.5% 2024 11,338 Burford Capital 6.25% 2028 (144a) 13,875 Colfax 3.25% 2025 11,066 IQVIA 2.25% 2029 13,871 EDP 4.496% 2024/79 10,582 Bharti Airtel 5.65% 2025 Perp 13,738 Grifols Worldwide 1.625% 2025 10,550

The largest purchases and sales of bonds have been shown.

28 Baillie Gifford High Yield Bond Fund March 2021

Portfolio Statement as at 31 March 2021

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

Asset Backed - 0.38% (0.00%) Mitchells & Butlers 6.469% 15/09/2030 3,246,000 3,444 0.38

Automotive - 2.05% (2.20%) Nemak 3.25% 2024 10,442,000 8,997 0.99 Novem Group FRN 2024 11,238,000 9,612 1.06

Banking - 3.65% (3.98%) Sainsbury Bank 6% 2022/27 8,336,000 8,678 0.95 Svenska Handelsbanken 4.375% 2027 Perp 11,200,000 8,442 0.93 Unicredit 4.875% 2024/29 17,308,000 16,108 1.77

Basic Industry - 11.40% (11.52%) Ahlstrom Muksjo 3.625% 2028 10,594,000 9,124 1.00 Alcoa 7% 2026 144A 10,810,000 8,266 0.91 Enviva Partners 6.5% 2026 (144A) 8,345,000 6,336 0.70 Italmatch Chemicals FRN 2024 15,144,000 12,352 1.36 James Hardie 3.625% 2026 14,391,000 12,580 1.38 OCI 3.125% 2024 9,565,000 8,343 0.92 OCI 3.625% 2025 5,477,000 4,862 0.53 Sappi 3.125% 2026 10,203,000 8,709 0.96 SPCM 2.625% 2029 14,547,000 12,684 1.40 SPCM 4.875% 2025(144A) 8,885,000 6,623 0.73 Victoria 3.625% 2026 10,600,000 9,193 1.01 Victoria 3.75% 2028 5,300,000 4,583 0.50

Capital Goods - 3.85% (6.53%) Canpack 2.375% 2027 16,807,000 14,521 1.60 Progroup Ag 3% 2026 9,504,000 8,201 0.90 Sealed Air 6.875% 2033 (144A) 3,989,000 3,562 0.39 Sofima 3.75% 2028 10,208,000 8,750 0.96

Consumer Goods - 3.87% (1.51%) Darling Ingredients 3.625% 2026 12,003,000 10,405 1.14 Dometic Group 3% 2026 14,568,000 12,958 1.43

29 Baillie Gifford High Yield Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Herbalife Nutrition 7.25% 2026 144A 15,555,000 11,809 1.30

Energy - 2.89% (3.31%) Cheniere Energy 4.625% 2028 (144A) 17,218,000 12,981 1.43 Laredo Petroleum 10.125% 2028 8,259,000 5,738 0.63 Neptune 6.625% 2025 10,451,000 7,552 0.83

Financial Services - 9.66% (9.82%) Allfunds 4.125% 2024 PIK 14,087,622 12,172 1.34 Burford Capital 6.25% 2028 (144a) 18,700,000 13,909 1.53 First Cash 4.625% 2028 (144A) 19,614,000 14,536 1.60 Jefferies Finance 6.25% 2026 (144A) 10,816,000 8,290 0.91 LeasePlan 7.375% 2024 Perp AT1 15,364,000 14,255 1.57 PaymentSense 8% 2025 16,391,000 17,760 1.95 Target Hospitality 9.5% 2024 (144A) 9,736,000 6,960 0.76

Health Care - 7.15% (5.73%) Avantor 3.875% 2028 13,700,000 12,297 1.35 Biogroup 5% 2029 10,400,000 8,976 0.99 Catalent 3.125% 2029 (144A) 12,800,000 8,906 0.98 Catalent 5% 2027 (144A) 10,277,000 7,804 0.86 Centene 4.625% 2029 17,300,000 13,571 1.49 IQVIA 2.25% 2029 15,900,000 13,513 1.48

Insurance - 3.78% (6.30%) Brit Insurance 3.661% 2030 5,679,000 5,418 0.60 Pension Insurance 4.625% 2031 11,500,000 12,807 1.41 Rothesay Life 6.875% PERP 14,200,000 16,149 1.77

Leisure - 1.15% (1.34%) ACCOR SA 4.375% PERP 9,800,000 8,610 0.95 Codere 10.75% 2023 PIK 4,000,000 1,854 0.20

Media - 12.87% (11.62%) Adevinta 3% 2027 16,910,000 14,906 1.64

30 Baillie Gifford High Yield Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

ANGI Homeservices 3.875% 2028 (144A) 21,700,000 15,728 1.73 Digi Communications 3.25% 2028 11,800,000 10,058 1.11 Match.com 5% 2027 144A 10,224,000 7,785 0.86 Match.com 5.625% 2029 144A 3,444,000 2,674 0.29 Netflix 4.625% 2029 12,110,000 12,797 1.41 Sirius XM Radio 4.125% 2030 (144A) 21,700,000 15,755 1.73 Virgin Media 4.125% 2030 (144A) 17,400,000 17,339 1.91 Virgin Media RFN 4.875% 2028 5,124,000 5,278 0.58 VTR Comunicaciones 5.125% 2028 8,579,000 6,501 0.71 Ziggo 2.875% 2030 9,642,000 8,237 0.90

Real Estate - 2.76% (3.79%) Aroundtown Properties 1.625% 2026 Perp 15,800,000 13,022 1.43 CPI Property 4.875% 2025 Perp 13,495,000 12,071 1.33

Retail - 10.48% (8.47%) ASDA 4% 2027 9,300,000 9,323 1.03 B&M European Value Retail 3.625% 2025 12,326,000 12,706 1.40 Co-operative Group 7.5% 2026 7,226,000 8,751 0.96 Hanesbrands 3.5% 2024 8,180,000 7,373 0.81 Liberty Interactive 4% 2029 Convertible 13,641,000 7,526 0.83 Marks and Spencer 3.75% 2026 6,845,000 7,068 0.78 Marks and Spencer 4.5% 2027 9,400,000 9,947 1.09 MercadoLibre 3.125% 2031 12,114,000 8,341 0.92 Nordstrom 4.375% 2030 12,600,000 9,321 1.02 Sally 8.75% 2025 (144A) 9,513,000 7,671 0.84 Travis Perkins 3.75% 2026 6,932,000 7,305 0.80

Services - 4.80% (6.33%) Frontdoor 6.75% 2026 144A 8,722,000 6,725 0.74 Graham Holdings 5.75% 2026 (144A) 9,780,000 7,407 0.82 House Of HR 7.5% 2027 7,500,000 6,820 0.75 Paprec 4% 2025 18,166,000 15,679 1.72

31 Baillie Gifford High Yield Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Sarens 5.75% 2027 8,431,000 7,028 0.77

Technology & Electronics - 7.54% (1.96%) AMS 0% 2025 Convertible 13,200,000 9,339 1.03 Arqiva Group 6.75% 2023 10,816,000 11,167 1.23 Belden 2.875% 2025 12,727,000 10,896 1.20 CrowdStrike 3% 2029 21,520,000 15,250 1.68 Infopro Digital 5.5% 2025 7,200,000 6,330 0.69 Sensata Technologies 5.625% 2024 (144A) 7,932,000 6,367 0.70 TTM Technologies 4% 2029 (144A) 12,900,000 9,221 1.01

Telecommunications - 6.54% (8.82%) Bharti Airtel 5.65% 2025 Perp 17,318,000 13,274 1.46 Cincinnati Bell 8% 2025 (144A) 8,185,000 6,311 0.69 Cogent Communications 4.375% 2024 12,741,000 11,087 1.22 Millicom 6.625% 2026 (144A) 8,209,000 5,704 0.63 TalkTalk 3.875% 2025 8,410,000 8,211 0.90 Telecom Italia 1.125% 2022 Convertible 7,800,000 6,654 0.73 Telecom Italia 5.25% 2055 8,000,000 8,244 0.91

Transportation - 0.83% (0.35%) Heathrow Airport 4.125% 2027 7,448,000 7,562 0.83

Utilities - 1.41% (2.74%) EDF 6% 2026 Perp 11,400,000 12,796 1.41

Derivatives - -0.07% (1.47%) Forward currency contracts (see Table 1) (636) (0.07)

32 Baillie Gifford High Yield Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Portfolio of investments 882,119 96.99

Net other assets - 3.01% (2.21%) 27,410 3.01

Net assets 909,529 100.00

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 2020.

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 22/04/21 GBP 408,714,863 EUR 477,015,000 2,212 0.24 Royal Bank of Canada 22/04/21 GBP 1,079,591 EUR 1,260,000 6 0.00 Royal Bank of Scotland 22/04/21 GBP 297,743,559 USD 414,765,000 (2,854) (0.31) Unrealised gains/(losses) on open forward currency contracts (636) (0.07)

33 Baillie Gifford High Yield Bond Fund March 2021

Fund Information

Fund and Share 31.03.21 30.09.20 30.09.19 30.09.18 Information Total net asset value of 909,529 817,096 715,542 458,154 scheme property (£’000)

Synthetic Risk and Reward 4433 Indicator1

Net asset value per share (pence) A Income 128.90 124.40 130.65 127.53 B Accumulation 265.88 252.67 252.15 236.39 B Income 134.03 129.17 134.79 131.55 C Accumulation 405.80 384.96 382.83 357.64 C Income 141.61 135.45 140.84 137.46

Number of shares in issue A Income 12,299,130 11,982,612 12,174,518 11,526,980 B Accumulation 179,354,060 174,187,889 140,213,442 88,947,291 B Income 202,718,682 173,276,405 160,171,997 146,337,417 C Accumulation 35,754,626 35,832,726 34,008,600 11,374,500 C Income 500 229,500 500 500

Annual Income Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 Record (pence) (pence) (pence) (pence)

Income per share (financial period)2 A Income 1.60 5.55 4.38 4.26 B Accumulation 3.20 10.86 9.80 9.22 B Income 1.90 5.74 5.39 5.28 C Accumulation 6.30 16.52 16.14 15.16 C Income 2.20 5.95 6.14 6.00

34 Baillie Gifford High Yield Bond Fund March 2021

Fund Information cont.

Yearly Highest Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 and Lowest (pence) (pence) (pence) (pence) Prices Highest (financial period) A Income 130.9 134.0 133.7 132.9 B Accumulation 268.2 260.7 254.2 238.6 B Income 136.1 138.4 138.4 137.2 C Accumulation 409.2 396.4 385.9 360.1 C Income 143.0 144.7 144.8 143.4

Lowest (financial period) A Income 125.5 105.2 122.3 127.9 B Accumulation 254.9 204.9 228.5 233.1 B Income 130.3 108.8 126.2 132.2 C Accumulation 388.3 311.6 346.1 351.4 C Income 136.6 113.7 131.9 138.2

Ongoing Charges 31.03.21 30.09.20 30.09.19 30.09.18 Figures (%) (%) (%) (%)

Ongoing Charges Figures3 A Income 1.01 1.02 1.02 1.02 B Accumulation 0.37 0.37 0.37 0.38 B Income 0.37 0.37 0.37 0.38 C Accumulation 0.02 0.02 0.02 0.03 C Income 0.02 0.02 0.02 0.03

You should be aware that past performance is not a guide to future performance. 1The Synthetic Risk and Reward Indicator demonstrates where the Fund ranks in terms of its potential risk and reward on a scale from 1 (lowest) to 7 (highest). The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past data, may change over time and may not be a reliable indication of the future risk profile of the Fund. Further information is included in the Risk and Reward Profile section of the Fund’s interim report. 2With effect from 1 October 2019, all permitted expenses of the Fund were allocated to capital for distribution purposes. 3The Ongoing Charges Figure is based on the expenses for the financial period and may vary from year to year. It excludes the cost of buying and selling assets for the Fund although custodian transaction costs are included. A further explanation of charges and costs relating to the Fund can be obtained by contacting Client Relations.

35 Baillie Gifford High Yield Bond Fund March 2021

Interim Financial Statements (Unaudited)

Statement of Total Return for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 26,670 (121,079) Revenue 18,022 15,910 Expenses (1,408) (1,190)

Net revenue before taxation 16,614 14,720 Taxation -- Net revenue after taxation 16,614 14,720

Total return before distributions 43,284 (106,359) Distributions (11,605) (10,201) Change in net assets attributable to shareholders from investment activities 31,679 (116,560)

Statement of Change in Net Assets Attributable to Shareholders for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 817,096 715,542 Amounts receivable on issue of shares 111,680 91,177 Amounts payable on cancellation of shares (59,285) (35,158)

52,395 56,019 Dilution adjustment 352 344 Change in net assets attributable to shareholders from investment activities 31,679 (116,560) Retained distributions on accumulation shares 8,007 7,095 Closing net assets attributable to shareholders 909,529 662,440

36 Baillie Gifford High Yield Bond Fund March 2021

Interim Financial Statements (Unaudited) cont.

Balance Sheet as at 31 March 2021

31 March 2021 30 September 2020 £’000 £’000

Assets: Fixed assets: Investments 884,973 799,007 Current assets: Debtors 35,432 26,950 Cash and bank balances 25,261 19,575 Total assets 945,666 845,532

Liabilities: Investment liabilities (2,854) - Creditors: Bank overdrafts -(81) Distributions payable (2,024) (5,391) Other creditors (31,259) (22,964)

Total liabilities (36,137) (28,436) Net assets attributable to shareholders 909,529 817,096

Basis for preparation The interim financial statements have been prepared in accordance with the Statement of Recommended Practice for UK Authorised Funds issued by the Investment Management Association in May 2014. The accounting policies applied are consistent with those in the annual financial statements for the year ended 30 September 2020 and are described in those annual financial statements.

37 Baillie Gifford High Yield Bond Fund March 2021

38 BAILLIE GIFFORD

Baillie Gifford Investment Grade Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Interim Report and Financial Statements (Unaudited) for the six months ended 31 March 2021

39 Baillie Gifford Investment Grade Bond Fund March 2021

Baillie Gifford Investment Grade Bond Fund

Investment Objective Investment markets can go down as well as up and market conditions can change rapidly. The value of an investment in the Fund, and any income from it, can fall The Fund aims to outperform (after deduction of costs) as well as rise and you may not get back the amount the ICE BofA Sterling Non-Gilt Index by 0.5% per invested. annum over rolling three-year periods. Custody of assets involves a risk of loss if the custodian becomes insolvent or breaches duties of care. Investment Policy Bonds issued by companies and governments may be adversely affected by changes in interest rates, The Fund will invest at least 80% in investment grade expectations of inflation and a decline in the bonds issued by corporate issuers, public bodies and creditworthiness of the bond issuer. The issuers of bonds supranationals. The Fund may also invest in other bonds in which the Fund invests may not be able to pay the including sub-investment grade bonds and government bond income as promised or could fail to repay the bonds. The bonds in which the Fund invests will be capital amount. denominated in sterling or denominated in other currencies and hedged back to sterling. Currency The Fund’s concentrated portfolio relative to similar forwards and derivatives, which are types of financial funds may result in large movements in the share price in contracts, are used for both investment purposes and in the short term. the management of risk. The Fund will be actively Derivatives may be used to obtain, increase or reduce managed and is not constrained by the index. exposure to assets and may result in the Fund being leveraged. This may result in greater movements (down Risk and Reward Profile or up) in the price of shares in the Fund. It is not our intention that the use of derivatives will significantly alter the overall risk profile of the Fund. The Risk and Reward Indicator table demonstrates where the Fund ranks in terms of its potential risk and reward. In certain circumstances it can be difficult to buy or The higher the rank the greater the potential reward but sell the Fund’s holdings and even small purchases or the greater the risk of losing money. It is based on past sales can cause their prices to move significantly, data, may change over time and may not be a reliable affecting the value of the Fund and the price of shares in indication of the future risk profile of the Fund. The the Fund. shaded area in the table below shows the Fund’s ranking Market values for securities which are difficult to on the Risk and Reward Indicator. 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. Expenses are taken from the Fund’s capital. This will reduce the capital value of the Fund. The figure for the current financial period has not yet been determined. 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 corporate bonds which generally provide value of the investments of the Fund and the distributions higher rewards and higher risks than other investments paid by the Fund to shareholders. such as government bonds and cash. Further details of the risks associated with investing in The indicator does not take into account the following the Fund can be found in the Prospectus which is relevant material risks: available by contacting Client Relations or visiting our website.

40 Baillie Gifford Investment Grade Bond Fund March 2021

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%, but exclude any initial charge paid. Performance figures for the other 12 share classes in issue can be obtained by contacting Client Relations. 9.9 9.8 9.3 You should be aware that past performance is not a guide to future 10 8.6 performance. 7.5 8 7.0

6 4.3 3.7 3.7 4 1.8 2.2 1.3 1.7 2 1.0 0.9

% 0 31/03/2016 to 31/03/2017 to 31/03/2018 to 31/03/2019 to 31/03/2020 to 31/03/2017 31/03/2018 31/03/2019 31/03/2020 31/03/2021

Baillie Gifford Investment Grade Bond Fund B Income Shares¹ ICE BofA Sterling Non-Gilt Index² ICE BofA Sterling Non-Gilt Index + 0.5%²

The investment objective of the Fund is to outperform was also helped by the results of a run-off election in the (after fees) the ICE BofA Sterling Non-Gilt Index (the US state of Georgia which gave the Democratic Party 'Index') by at least 0.5% per annum (the ‘target return’) and President Biden control of the Senate. Following the over rolling three-year periods. For the six months to result, the US government rapidly passed another 31 March 2021 the return on B Income Shares was economic stimulus package of nearly US$2 trillion, and -0.4%3 compared to the Index of -1.0%2 and the target expectations have grown for a further stimulus package return of -0.8%2. We believe that short-term performance focused on infrastructure later in the year. Investors measurements are of limited relevance in assessing began to consider whether easy monetary policy – low investment ability and would suggest that three years is a interest rates and quantitative easing – was still required, more sensible timeframe over which to judge particularly with signs of rising inflation. For government performance, a period in-line with the Fund’s objectives. bond markets, which had been priced for a prolonged Over that period, the annualised return on B Income period of ultra-low interest rates, this resulted in yields Shares was 4.4%3 compared to the Index of 4.1%2 and rising significantly, i.e. prices fell. Corporate bonds the target return of 4.6%2. continued to perform well relative to government bonds but the rise in underlying government yields led to The impact of Covid-19 on corporate bond markets negative returns for investment grade bonds during the has continued in the past six months, albeit markets have period. focused less on the negative effects and more on the recovery in economic activity and the support provided Individual bond selection is typically the driver of by governments and central banks. Corporate bonds have relative performance for the Fund. In the past six months, performed well in that environment. An accelerating the Fund has exceeded its target return with a diverse rollout of the vaccines that were announced towards the range of bonds contributing. Over three years the Fund end of 2020 increased growth expectations further during has not met its target return but has performed in line the first quarter of 2021. The improvement in sentiment with the Index. Examples among the top performers over

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. Index performance returns are now shown on a gross total return basis, having previously been shown on a net total return basis. Please see Disclaimer on page 96. 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. 41 Baillie Gifford Investment Grade Bond Fund March 2021

Investment Report cont.

three years include automobile leasing and fleet management company, LeasePlan and Corning, one of the world’s leading innovators in material science. Corning produces glass for televisions, fibre optics for communication and ceramic for catalytic converters. Meanwhile, Manchester Airport and British Land, a property company, have detracted, each affected by the pandemic. We continue to find attractively valued bonds for the Fund and purchases during the past six months include Heathrow Airport and Burford. Heathrow is London’s premium airport and one of Europe’s largest airport hubs. Although air travel is likely to remain subdued through to 2022, we believe Heathrow’s strong liquidity position and premium location give the airport a significant competitive advantage. With bonds offered at a material discount, we felt it was an opportune time to take a small position in a business we consider to be highly resilient. Burford is a leading speciality finance company providing financing and risk management services to major law firms and their corporate clients allowing them to unlock the value of their legal assets in return for a share of the eventual proceeds. Given the complex and opaque nature of this niche market the credit rating agencies have given the bonds a high yield rating. The Fund has flexibility to invest in a small percentage of high yield bonds where we believe the characteristics are similar to investment grade companies and, hence, offer good value. Given the track record of the business, we believe Burford is misunderstood and therefore offers a misrated and mispriced opportunity to invest.

Baillie Gifford & Co, 16 April 2021

42 Baillie Gifford Investment Grade Bond Fund March 2021

Principal Bond Holdings as at 31 March 2021

Investment Percentage of total Fund Rabobank 6.5% Perp 2.09 UK Treasury 0.375% 22/10/2030 1.99 KFW 6% 2028 1.98 Network Rail 4.75% 2024 1.85 LCR Finance 4.5% 2028 1.65 EIB 4.5% 2044 1.62 UK Treasury 3.25% 22/01/2044 1.62 Cadent 2.125% 2028 1.57 National Grid 5.625% 2025/73 1.52 KFW 0.875% 2026 1.49

43 Baillie Gifford Investment Grade Bond Fund March 2021

Material Portfolio Changes for the six months ended 31 March 2021

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 UK Treasury 0.375% 22/10/2030 3,761 EIB 0.875% 2023 3,680 KFW 0.875% 2024 3,704 UK Treasury 3.25% 22/01/2044 3,152 EIB 0.875% 2023 3,689 KFW 0.875% 2024 2,764 Unicredit 0.85% 2031 2,380 Network Rail 4.75% 2035 2,491 Barclays 3.75% 2030 2,061 Rabobank Group 4% 2029 1,988 Heathrow Airport 4.625% 2046 2,007 KFW 5.75% 2032 1,908 Wizz Air 1.35% 2024 1,866 Wizz Air 1.35% 2024 1,842 Tesco Property Finance 6.052% 2039 1,864 RBS 3.125% 2027 1,834 HSBC 2.175% 2023 1,833 ING Group 4.7% 2028 1,810 UK Treasury 3.25% 22/01/2044 1,824 ING Group 3% 2026 1,742

The largest purchases and sales of bonds have been shown.

44 Baillie Gifford Investment Grade Bond Fund March 2021

Portfolio Statement as at 31 March 2021

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

Agency - 1.04% (1.00%) SNCF Reseau 5.25% 2035 580,000 832 0.47 Temasek 0.5% 2031 1,179,000 1,005 0.57

Asset Backed - 3.36% (2.99%) Heathrow Airport 2.75% 2049 100,000 95 0.05 Heathrow Airport 4.625% 2046 1,500,000 1,897 1.07 Kelda Hdgs 3.75% 2046 800,000 828 0.47 Lunar Funding 1 5.75% 2033 1,664,000 2,289 1.29 Yorkshire Water 2.75% 2041 800,000 855 0.48

Automotive - 0.49% (0.27%) Volkswagen 4.625% 2028 PERP 900,000 875 0.49

Banking - 12.71% (13.84%) Barclays 3.75% 2030 1,900,000 2,037 1.15 Barclays 5.75% 2026 85,000 103 0.06 Barclays 7.125% 2025 Perp 600,000 675 0.38 Citigroup 5.875% 2024 800,000 916 0.52 Citigroup 8.125% 2039 1,860,000 2,206 1.24 HSBC 2.175% 2023 1,800,000 1,830 1.03 HSBC Bank 5.844% 2031 Perp 700,000 983 0.55 HSBC Holdings 6% 2040 400,000 553 0.31 ING Group 1.125% 2028 1,800,000 1,740 0.98 Natwest 4.5% 2028 Perp 1,031,000 1,028 0.58 Natwest 5.125% PERP 800,000 840 0.47 Rabobank 6.5% Perp 3,361,550 3,708 2.09 RBS 3.622% 2030 1,800,000 1,917 1.08 Svenska Handelsbanken 4.75% 2031 Perp 1,000,000 754 0.42 Unicredit 0.85% 2031 1,500,000 1,253 0.71 Yorkshire Building Society 3.375% 2027/28 1,900,000 2,015 1.14

Basic Industry - 2.03% (1.38%) CRH 1.625% 2030 1,120,000 1,045 0.59 LafargeHolcim 3% 2032 1,200,000 1,285 0.72

45 Baillie Gifford Investment Grade Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Orbia Advance Corp 5.875% 2044 1,500,000 1,273 0.72

Capital Goods - 1.27% (1.45%) DS Smith 2.875% 2029 1,200,000 1,259 0.71 GE Capital 8% 2039 600,000 1,001 0.56

Commercial Mortgage Backed - 3.77% (1.87%) Telereal 1.366% 2033 (A6) 480,000 480 0.27 Telereal 1.963% 2033 (B2) 578,000 586 0.33 Telereal 5.3887% 2031/33 (A5) 3,152,000 1,891 1.07 Tesco Property Finance 6 5.4111% 2044 1,600,000 1,924 1.08 Tesco Property Finance 6.052% 2039 1,700,000 1,802 1.02

Consumer Goods - 1.99% (1.76%) Anheuser-Busch 2.25% 2029 900,000 933 0.52 Anheuser-Busch 4.7% 2036 1,000,000 848 0.48 Hasbro 6.35% 2040 1,900,000 1,756 0.99

Financial Services - 5.53% (3.79%) Berkshire Hathaway 2.375% 2039 1,000,000 1,052 0.59 Berkshire Hathaway 2.625% 2059 1,000,000 1,115 0.63 Burford Capital 6.25% 2028 (144a) 695,000 517 0.29 Fidelity 2.5% 2026 1,195,000 1,111 0.63 Investec Bank 4.25% 2028 1,900,000 1,995 1.12 LeasePlan 7.375% 2024 Perp AT1 500,000 464 0.26 Motability 0.125% 2028 635,000 536 0.30 Motability 2.375% 2032 800,000 850 0.48 Motability 3.625% 2036 1,789,000 2,175 1.23

Government Guaranteed - 7.99% (10.44%) KFW 0.875% 2024 900,000 915 0.52 KFW 0.875% 2026 2,600,000 2,637 1.49 KFW 5.75% 2032 600,000 886 0.50 KFW 6% 2028 2,556,000 3,520 1.98 LCR Finance 4.5% 2028 2,329,000 2,932 1.65

46 Baillie Gifford Investment Grade Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Network Rail 4.75% 2024 2,919,000 3,277 1.85

Health Care - 2.53% (1.23%) AstraZeneca 6.45% 2037 1,000,000 1,034 0.58 Centene 4.625% 2029 700,000 549 0.31 GlaxoSmithKline 1.625% 2035 1,300,000 1,235 0.70 GlaxoSmithKline 5.25% 2042 1,100,000 1,669 0.94

Insurance - 3.63% (6.00%) Admiral Group 5.5% 2024 1,510,000 1,704 0.96 Legal & General 4.5% 2030/50 286,000 318 0.18 Legal & General 5.375% 2025/45 800,000 917 0.52 MetLife 3.5% 2026 800,000 900 0.51 Pension Insurance 5.625% 2030 500,000 596 0.34 Pension Insurance 8% 2026 720,000 928 0.52 Phoenix Life 5.625% 2031 600,000 708 0.40 Phoenix Life 6.625% 2025 303,000 363 0.20

Media - 2.17% (0.98%) Time Warner Cable 5.25% 2042 700,000 892 0.50 Time Warner Cable 5.75% 2031 700,000 875 0.49 Walt Disney 4.125% 2041 1,300,000 1,077 0.61 Walt Disney 4.125% 2044 600,000 497 0.28 Walt Disney 6.15% 2041 500,000 513 0.29

PURCHASES - 0.00% (0.00%)

Quasi Government Bonds - 0.00% (0.00%)

Real Estate - 6.61% (7.83%) Annington Funding 3.184% 2029 2,390,000 2,569 1.45 Clarion 3.125% 2048 1,400,000 1,627 0.92 Clarion 4.25% 2042 150,000 201 0.11 CPI Property 2.75% 2028 900,000 909 0.51 Heimstaden Bostad 3.375% 2026 PERP 1,000,000 878 0.50

47 Baillie Gifford Investment Grade Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Housing & Care 3.288% 2049 1,720,000 1,937 1.09 Longhurst Libra 3.25% 2043 1,500,000 1,694 0.95 Sovereign Housing Capital 4.768% 2043 740,000 1,083 0.61 Tritax Big Box 1.5% 2033 884,000 837 0.47

Retail - 5.11% (3.68%) Alibaba 3.15% 2051 2,193,000 1,474 0.83 Alibaba 4% 2037 1,100,000 856 0.48 Burberry 1.125% 2025 725,000 717 0.41 H&M 0.25% 2029 2,100,000 1,760 0.99 Tesco 2.75% 2030 1,980,000 2,082 1.18 Walmart Stores 5.25% 2035 1,485,000 2,169 1.22

Services - 1.23% (2.34%) Ashtead 4.375% 2027 (144A) 1,600,000 1,214 0.69 University of Cambridge 3.75% 2052 274,000 410 0.23 Wellcome Trust 2.517% 2118 460,000 549 0.31

Sovereign - 4.86% (3.53%) UK Treasury 0.375% 22/10/2030 3,700,000 3,529 1.99 UK Treasury 3.25% 22/01/2044 2,100,000 2,869 1.62 UK Treasury 3.75% 22/07/2052 1,000,000 1,607 0.90 UK Treasury 4.75% 07/12/2038 395,941 617 0.35

Supranational - 3.97% (4.70%) EIB 4.5% 2044 1,820,000 2,871 1.62 EIB 6% 2028 1,800,000 2,475 1.39 IBRD 5.75% 2032 1,155,000 1,701 0.96

Technology & Electronics - 3.62% (3.82%) AMS 6% 2025 600,000 547 0.31 Apple 4.375% 2045 1,600,000 1,399 0.79 Corning 5.45% 2079 1,900,000 1,715 0.96 Dell 8.1% 2036 1,400,000 1,488 0.84

48 Baillie Gifford Investment Grade Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Vantage Towers 0.375% 2027 1,500,000 1,274 0.72

Telecommunications - 4.54% (6.48%) AT&T 2.875% PERP 1,000,000 850 0.48 AT&T 4.25% 2043 700,000 840 0.47 AT&T 4.875% 2044 700,000 916 0.52 Koninklijke KPN 5% 2026 1,400,000 1,622 0.91 Orange SA 8.125% 2028 1,100,000 1,612 0.91 Vodafone 3% 2056 600,000 614 0.34 Vodafone Group 2.625% 2026 PERP 700,000 616 0.35 Vodafone Group 3.375% 2049 900,000 991 0.56

Transportation - 0.50% (1.98%) Manchester Airport 2.875% 2039 900,000 890 0.50

Utilities - 16.07% (16.18%) Cadent 2.125% 2028 2,700,000 2,786 1.57 Cadent 2.75% 2046 1,200,000 1,215 0.68 Centrica 4.375% 2029 1,100,000 1,301 0.73 Centrica 7% 2033 1,020,000 1,549 0.87 E.on 5.875% 2037 300,000 433 0.24 E.on 6.125% 2039 1,250,000 1,893 1.07 EDF 5.5% 2037 700,000 975 0.55 EDF 5.5% 2041 900,000 1,293 0.73 EDF 6% 2114 500,000 808 0.46 EDP 8.625% 2024 700,000 845 0.48 Enel 1.375% 2027 PERP 1,142,000 956 0.54 Enel 2.25% 2026 Perp 2,000,000 1,776 1.00 Enel 5.75% 2040 900,000 1,320 0.74 National Grid 1.375% 2031 1,800,000 1,698 0.96 National Grid 5.625% 2025/73 2,400,000 2,697 1.52 Northern Powergrid 2.25% 2059 764,000 774 0.44 Orsted 1.75% 3019 900,000 786 0.44 Orsted 2.5% 2033 901,000 960 0.54 PPL Corporation 3.5% 2026 800,000 872 0.49

49 Baillie Gifford Investment Grade Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

TXU Eastern Funding 7.25% 20301 2,343,000 - 0.00 Welsh Water 2.375% 2034 917,000 914 0.52 Western Power Dist East 1.75% 2031 1,180,000 1,160 0.65 Yorkshire Power 7.25% 2028 1,100,000 1,508 0.85

Derivatives - 0.32% (-0.24%) Forward currency contracts (see Table 1) 571 0.32 Futures contracts (see Table 2) - 0.00

Portfolio of investments 169,173 95.34

Net other assets - 4.66% (2.70%) 8,262 4.66

Net assets 177,435 100.00 1The issuer of this bond was in administration at the period 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 2020.

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 20/05/21 GBP 20,435,218 EUR 23,307,000 563 0.32 National Australia Bank 20/05/21 GBP 22,117,315 USD 30,509,000 8 0.00 Royal Bank of Scotland 20/05/21 GBP 920,679 USD 1,270,000 - 0.00 Unrealised gains/(losses) on open forward currency contracts 571 0.32

50 Baillie Gifford Investment Grade Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Euro-Bobl Future June 2021 10/06/21 (104) - 0.00 Euro-Bund Future June 2021 10/06/21 (55) - 0.00 Euro-BUXL 30 Year Bund June 2021 10/06/21 (2) - 0.00 Long Gilt Future 10 Year June 2021 30/06/21 126 - 0.00 US 10 Year Note Future June 2021 30/06/21 (15) - 0.00 US Long Bond (CBT) June 2021 30/06/21 (120) - 0.00 US Ultra Long (CBT) June 2021 30/06/21 (25) - 0.00

Unrealised gains/(losses) on futures contracts - 0.00

51 Baillie Gifford Investment Grade Bond Fund March 2021

Fund Information

Fund and Share 31.03.21 30.09.20 30.09.19 30.09.18 Information Total net asset value of 177,435 175,764 184,437 168,504 scheme property (£’000)

Synthetic Risk and Reward 4444 Indicator1

Net asset value per share (pence) A Income 100.60 102.26 102.82 96.11 B Accumulation 236.89 237.85 230.48 209.07 B Income 105.51 107.01 106.78 99.81 C Accumulation 239.86 240.53 232.50 210.37 C Income 109.08 110.55 110.05 102.85

Number of shares in issue A Income 13,495,436 5,113,739 1,234,403 1,625,865 B Accumulation 13,205,627 13,076,107 14,241,659 12,647,187 B Income 49,960,313 55,400,596 55,220,720 58,158,113 C Accumulation 33,295,185 33,320,930 38,055,939 37,904,456 C Income 100 100 2,633,775 2,633,775

Annual Income Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 Record (pence) (pence) (pence) (pence)

Income per share (financial period)2 A Income 0.90 3.00 2.26 2.18 B Accumulation 2.50 6.80 6.60 6.24 B Income 1.10 3.11 3.14 3.03 C Accumulation 2.60 6.86 7.20 6.79 C Income 1.20 3.22 3.50 3.39

52 Baillie Gifford Investment Grade Bond Fund March 2021

Fund Information cont.

Yearly Highest Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 and Lowest (pence) (pence) (pence) (pence) Prices Highest (financial period) A Income 106.5 105.6 104.7 101.1 B Accumulation 249.0 241.5 232.5 213.9 B Income 111.7 110.0 109.1 105.2 C Accumulation 252.0 244.1 234.5 214.8 C Income 115.4 113.5 112.6 108.5

Lowest (financial period) A Income 100.6 91.16 95.11 96.56 B Accumulation 235.8 206.0 207.1 207.1 B Income 105.6 94.89 98.85 100.6 C Accumulation 238.7 208.0 208.5 208.1 C Income 109.2 97.88 101.9 103.9

Ongoing Charges 31.03.21 30.09.20 30.09.19 30.09.18 Figures (%) (%) (%) (%)

Ongoing Charges Figures3 A Income 1.02 1.054 1.03 1.03 B Accumulation 0.28 0.28 0.27 0.28 B Income 0.28 0.28 0.27 0.28 C Accumulation 0.03 0.03 0.02 0.03 C Income 0.02 0.015 0.02 0.03

You should be aware that past performance is not a guide to future performance. 1The Synthetic Risk and Reward Indicator demonstrates where the Fund ranks in terms of its potential risk and reward on a scale from 1 (lowest) to 7 (highest). The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past data, may change over time and may not be a reliable indication of the future risk profile of the Fund. Further information is included in the Risk and Reward Profile section of the Fund’s interim report. 2With effect from 1 October 2019, all permitted expenses of the Fund were allocated to capital for distribution purposes. 3The Ongoing Charges Figure is based on the expenses for the financial period and may vary from year to year. It excludes the cost of buying and selling assets for the Fund although custodian transaction costs are included. A further explanation of charges and costs relating to the Fund can be obtained by contacting Client Relations. 4As at 30 September 2020, the ACD considered 1.03% to be a more indicative rate for the ongoing charges figure for Class A Shares. 5As at 30 September 2020, the ACD considered 0.03% to be a more indicative rate for the ongoing charges figure for Class C Shares.

53 Baillie Gifford Investment Grade Bond Fund March 2021

Interim Financial Statements (Unaudited)

Statement of Total Return for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) (2,630) (11,859) Revenue 2,172 2,779 Expenses (208) (134)

Net revenue before taxation 1,964 2,645 Taxation -- Net revenue after taxation 1,964 2,645

Total return before distributions (666) (9,214) Distributions (1,907) (2,088) Change in net assets attributable to shareholders from investment activities (2,573) (11,302)

Statement of Change in Net Assets Attributable to Shareholders for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 175,764 184,437 Amounts receivable on issue of shares 17,496 7,310 Amounts payable on cancellation of shares (14,520) (24,702)

2,976 (17,392) Dilution adjustment 70 44 Change in net assets attributable to shareholders from investment activities (2,573) (11,302) Retained distributions on accumulation shares 1,198 1,216 Closing net assets attributable to shareholders 177,435 157,003

54 Baillie Gifford Investment Grade Bond Fund March 2021

Interim Financial Statements (Unaudited) cont.

Balance Sheet as at 31 March 2021

31 March 2021 30 September 2020 £’000 £’000

Assets: Fixed assets: Investments 169,173 171,444 Current assets: Debtors 6,605 3,062 Cash and bank balances 4,668 3,735 Total assets 180,446 178,241

Liabilities: Investment liabilities - (428) Creditors: Bank overdrafts (163) - Distributions payable (336) (810) Other creditors (2,512) (1,239)

Total liabilities (3,011) (2,477) Net assets attributable to shareholders 177,435 175,764

Basis for preparation The interim financial statements have been prepared in accordance with the Statement of Recommended Practice for UK Authorised Funds issued by the Investment Management Association in May 2014. The accounting policies applied are consistent with those in the annual financial statements for the year ended 30 September 2020 and are described in those annual financial statements.

55 Baillie Gifford Investment Grade Bond Fund March 2021

56 BAILLIE GIFFORD

Baillie Gifford Investment Grade Long Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Interim Report and Financial Statements (Unaudited) for the six months ended 31 March 2021

57 Baillie Gifford Investment Grade Long Bond Fund March 2021

Baillie Gifford Investment Grade Long Bond Fund

Investment Objective Investment markets can go down as well as up and market conditions can change rapidly. The value of an investment in the Fund, and any income from it, can fall The Fund aims to outperform (after deduction of costs) as well as rise and you may not get back the amount the ICE BofA Sterling Non-Gilt over 10 Years Index by invested. 0.5% per annum over rolling three-year periods. Custody of assets involves a risk of loss if the custodian becomes insolvent or breaches duties of care. Investment Policy Bonds issued by companies and governments may be adversely affected by changes in interest rates, The Fund will invest at least 80% in investment grade expectations of inflation and a decline in the bonds issued by corporate issuers, public bodies and creditworthiness of the bond issuer. The issuers of bonds supranationals. The Fund may also invest in other bonds in which the Fund invests may not be able to pay the including sub-investment grade bonds and government bond income as promised or could fail to repay the bonds. The bonds in which the Fund invests will be capital amount. denominated in sterling or denominated in other currencies and hedged back to sterling. Currency The Fund’s concentrated portfolio relative to similar forwards and derivatives, which are types of financial funds may result in large movements in the share price in contracts, are used for both investment purposes and in the short term. the management of risk. The Fund will be actively Derivatives may be used to obtain, increase or reduce managed and is not constrained by the index. exposure to assets and may result in the Fund being leveraged. This may result in greater movements (down Risk and Reward Profile or up) in the price of shares in the Fund. It is not our intention that the use of derivatives will significantly alter the overall risk profile of the Fund. The Risk and Reward Indicator table demonstrates where the Fund ranks in terms of its potential risk and reward. In certain circumstances it can be difficult to buy or The higher the rank the greater the potential reward but sell the Fund’s holdings and even small purchases or the greater the risk of losing money. It is based on past sales can cause their prices to move significantly, data, may change over time and may not be a reliable affecting the value of the Fund and the price of shares in indication of the future risk profile of the Fund. The the Fund. shaded area in the table below shows the Fund’s ranking Market values for securities which are difficult to on the Risk and Reward Indicator. 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. Expenses are taken from the Fund’s capital. This will reduce the capital value of the Fund. The figure for the current financial period has not yet been determined. 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 corporate bonds which generally provide value of the investments of the Fund and the distributions higher rewards and higher risks than other investments paid by the Fund to shareholders. such as government bonds and cash. Further details of the risks associated with investing in The indicator does not take into account the following the Fund can be found in the Prospectus which is relevant material risks: available by contacting Client Relations or visiting our website.

58 Baillie Gifford Investment Grade Long Bond Fund March 2021

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%, but exclude any initial charge paid. Performance figures for the other 16 share classes in issue can be obtained by contacting Client Relations. 13.3 13.9 14 12.3 You should be aware that past performance is not a guide to future 12 performance. 9.1 10 8.6 7.2 8 5.9 5.2 5.8 6 4.4 3.3 3.8 4 2.3 1.7 2.2 2 % 0 31/03/2016 to 31/03/2017 to 31/03/2018 to 31/03/2019 to 31/03/2020 to 31/03/2017 31/03/2018 31/03/2019 31/03/2020 31/03/2021

Baillie Gifford Investment Grade Long Bond Fund B Income Shares¹ ICE BofA Sterling Non-Gilt over 10 Years Index² ICE BofA Sterling Non-Gilt over 10 Years Index + 0.5%²

The investment objective of the Fund is to outperform was also helped by the results of a run-off election in the (after fees) the ICE BofA Sterling Non-Gilt over 10 US state of Georgia which gave the Democratic Party Years Index (the 'Index') by at least 0.5% per annum (the and President Biden control of the Senate. Following the ‘target return’) over rolling three-year periods. For the result, the US government rapidly passed another six months to 31 March 2021 the return on B Income economic stimulus package of nearly US$2 trillion, and Shares was -2.5%3 compared to the Index of -3.0%2 and expectations have grown for a further stimulus package the target return of -2.8%2. We believe that short-term focused on infrastructure later in the year. Investors performance measurements are of limited relevance in began to consider whether easy monetary policy – low assessing investment ability and would suggest that three interest rates and quantitative easing – was still required, years is a more sensible timeframe over which to judge particularly with signs of rising inflation. For government performance, a period in-line with the Fund’s objectives. bond markets, which had been priced for a prolonged Over that period, the annualised return on B Income period of ultra-low interest rates, this resulted in yields Shares was 5.9%3 compared to the return on the Index of rising significantly, i.e. prices fell with the impact 5.7%2 and the target return of 6.2%2. most-pronounced in long-dated bonds. Corporate bonds continued to perform well relative to government bonds The impact of Covid-19 on corporate bond markets but the rise in underlying government yields led to has continued in the past six months, albeit markets have negative returns for long-dated investment grade bonds focused less on the negative effects and more on the over the six month period. recovery in economic activity and the support provided by governments and central banks. Corporate bonds have Individual bond selection is typically the driver of performed well in that environment. An accelerating relative performance for the Fund. In the past six months, rollout of the vaccines that were announced towards the the Fund has exceeded its target return with a diverse end of 2020 increased growth expectations further during range of bonds contributing. Over three years the Fund the first quarter of 2021. The improvement in sentiment has not met its target return but has performed in line

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. Index performance returns are now shown on a gross total return basis, having previously been shown on a net total return basis. Please see Disclaimer on page 96. 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. 59 Baillie Gifford Investment Grade Long Bond Fund March 2021

Investment Report cont.

with the Index. Examples among the top performers over three years include automobile leasing and fleet management company, LeasePlan and UK insurer, Standard Life. Meanwhile, British Land, a property company, is one of the detractors with its portfolio affected by the pandemic. We continue to find attractively valued bonds for the Fund and purchases during the past six months include Heathrow Airport and Burford. Heathrow is London’s premium airport and one of Europe’s largest airport hubs. Although air travel is likely to remain subdued through to 2022, we believe Heathrow’s strong liquidity position and premium location give the airport a significant competitive advantage. With bonds offered at a material discount, we felt it was an opportune time to take a small position in a business we consider to be highly resilient. Burford is a leading speciality finance company providing financing and risk management services to major law firms and their corporate clients allowing them to unlock the value of their legal assets in return for a share of the eventual proceeds. Given the complex and opaque nature of this niche market the credit rating agencies have given the bonds a high yield rating. The Fund has flexibility to invest in a small percentage of high yield bonds where we believe the characteristics are similar to investment grade companies and, hence, offer good value. Given the track record of the business, we believe Burford is misunderstood and therefore offers a misrated and mispriced opportunity to invest.

Baillie Gifford & Co, 16 April 2021

60 Baillie Gifford Investment Grade Long Bond Fund March 2021

Principal Bond Holdings as at 31 March 2021

Investment Percentage of total Fund UK Treasury 3.25% 22/01/2044 2.35 Rabobank 6.5% Perp 2.23 Enel 5.75% 2040 1.86 E.on 6.125% 2039 1.84 National Grid 5.625% 2025/73 1.76 Cadent 2.75% 2046 1.59 Hasbro 6.35% 2040 1.55 Heathrow Airport 4.625% 2046 1.54 Tesco Property Finance 6 5.4111% 2044 1.52 Corning 5.45% 2079 1.42

61 Baillie Gifford Investment Grade Long Bond Fund March 2021

Material Portfolio Changes for the six months ended 31 March 2021

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 UK Treasury 4.75% 07/12/2038 6,650 UK Treasury 3.25% 22/01/2044 7,628 UK Treasury 3.25% 22/01/2044 5,887 UK Treasury 4.75% 07/12/2038 6,551 Cadent 2.75% 2046 3,924 Legal & General 5.5% 2044/64 3,033 Heathrow Airport 4.625% 2046 3,633 UK Treasury 1.75% 22/01/2049 2,963 UK Treasury 3.75% 22/07/2052 2,993 Network Rail 4.75% 2035 2,910 Unicredit 0.85% 2031 2,965 Yorkshire Building Society 3.375% 2,270 Alibaba 3.15% 2051 2,630 2027/28 Orbia Advance Corp 5.875% 2044 2,439 RBS 3.622% 2030 2,223 Time Warner Cable 5.25% 2042 2,293 Severn Trent 2% 2040 2,076 IBRD 5.75% 2032 2,213 IBRD 5.75% 2032 2,071 EIB 5.625% 2032 2,058 The largest purchases and sales of bonds have been shown.

62 Baillie Gifford Investment Grade Long Bond Fund March 2021

Portfolio Statement as at 31 March 2021

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

Agency - 1.27% (1.76%) SNCF Reseau 4.83% 2060 200,000 345 0.17 SNCF Reseau 5.25% 2035 1,000,000 1,435 0.73 Temasek 0.5% 2031 860,000 733 0.37

Asset Backed - 5.64% (4.30%) Freshwater Finance 5.182% 2035 2,000,000 2,668 1.35 Heathrow Airport 2.75% 2049 235,000 224 0.11 Heathrow Airport 4.625% 2046 2,400,000 3,035 1.54 Lunar Funding 1 5.75% 2033 1,658,000 2,281 1.16 Yorkshire Water 2.75% 2041 700,000 748 0.38 Yorkshire Water 5.5% 2037 1,500,000 2,182 1.10

Automotive - 0.49% (0.26%) Volkswagen 4.625% 2028 PERP 1,000,000 972 0.49

Banking - 7.72% (7.78%) Barclays 7.125% 2025 Perp 800,000 900 0.45 Citigroup 8.125% 2039 1,900,000 2,253 1.14 HSBC 4.75% 2046 400,000 527 0.27 HSBC Bank 5.844% 2031 Perp 800,000 1,124 0.57 HSBC Holdings 6% 2040 800,000 1,106 0.56 Natwest 4.5% 2028 Perp 1,211,000 1,208 0.61 Natwest 5.125% PERP 900,000 945 0.48 Rabobank 6.5% Perp 3,991,850 4,403 2.23 Rabobank Groep 5.375% 2060 200,000 371 0.19 Svenska Handelsbanken 4.75% 2031 Perp 1,200,000 905 0.46 Unicredit 0.85% 2031 1,800,000 1,504 0.76

Basic Industry - 2.56% (1.30%) LafargeHolcim 3% 2032 2,500,000 2,677 1.36 Orbia Advance Corp 5.875% 2044 2,800,000 2,377 1.20

Capital Goods - 1.88% (2.08%) DS Smith 2.875% 2029 1,200,000 1,259 0.64

63 Baillie Gifford Investment Grade Long Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

GE Capital 5.375% 2040 600,000 811 0.41 GE Capital 5.875% 2033 600,000 810 0.41 GE Capital 8% 2039 500,000 834 0.42

Commercial Mortgage Backed - 5.21% (3.97%) Telereal 1.366% 2033 (A6) 639,000 640 0.32 Telereal 1.963% 2033 (B2) 771,000 782 0.40 Telereal 5.9478% 2031/33 (A4) 2,385,000 1,961 0.99 Tesco Property Finance 5.661% 2041 1,400,000 1,783 0.90 Tesco Property Finance 6 5.4111% 2044 2,500,000 3,005 1.52 Tesco Property Finance 6.052% 2039 1,200,000 1,272 0.64 Tesco Property Finance 7.6227% 2039 700,000 860 0.44

Consumer Goods - 2.15% (1.38%) Anheuser-Busch 4.7% 2036 1,400,000 1,188 0.60 Hasbro 6.35% 2040 3,300,000 3,050 1.55

Financial Services - 3.85% (4.36%) Berkshire Hathaway 2.375% 2039 1,000,000 1,052 0.53 Berkshire Hathaway 2.625% 2059 1,500,000 1,672 0.85 Burford Capital 6.25% 2028 (144a) 761,000 566 0.29 LeasePlan 7.375% 2024 Perp AT1 600,000 557 0.28 Motability 1.5% 2041 900,000 817 0.41 Motability 2.375% 2039 1,070,000 1,124 0.57 Motability 3.625% 2036 1,500,000 1,823 0.92

Government Guaranteed - 2.33% (4.11%) KFW 5% 2036 1,600,000 2,415 1.22 LCR Finance 5.1% 2051 1,200,000 2,190 1.11

Health Care - 3.36% (3.29%) AstraZeneca 6.45% 2037 1,100,000 1,137 0.58 Centene 4.625% 2029 800,000 628 0.32 GlaxoSmithKline 4.25% 2045 600,000 833 0.42 GlaxoSmithKline 5.25% 2042 1,500,000 2,276 1.15

64 Baillie Gifford Investment Grade Long Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Pfizer 2.735% 2043 1,600,000 1,767 0.89

Insurance - 1.85% (3.32%) Legal & General 4.5% 2030/50 321,000 357 0.18 Pension Insurance 4.625% 2031 1,000,000 1,114 0.57 Pension Insurance 5.625% 2030 700,000 834 0.42 Phoenix Life 5.625% 2031 1,139,000 1,344 0.68

Media - 3.57% (0.95%) Time Warner Cable 5.25% 2042 1,700,000 2,166 1.10 Time Warner Cable 5.75% 2031 1,700,000 2,126 1.07 Walt Disney 4.125% 2041 1,500,000 1,242 0.63 Walt Disney 4.125% 2044 900,000 745 0.38 Walt Disney 6.15% 2041 750,000 771 0.39

Real Estate - 10.63% (11.64%) Annington Funding 3.685% 2034 1,400,000 1,589 0.81 Aster 4.5% 2043 1,800,000 2,546 1.29 Clarion 3.125% 2048 2,400,000 2,789 1.41 Clarion 4.25% 2042 950,000 1,272 0.64 CPI Property 2.75% 2028 1,000,000 1,010 0.51 Heimstaden Bostad 3.375% 2026 PERP 1,200,000 1,055 0.53 Housing & Care 3.288% 2049 2,200,000 2,477 1.25 Karbon 3.375% 2047 1,800,000 2,235 1.13 Longhurst Libra 3.25% 2043 2,200,000 2,484 1.26 Sovereign Housing Capital 4.768% 2043 1,700,000 2,489 1.26 Tritax Big Box 1.5% 2033 1,127,000 1,067 0.54

Retail - 2.69% (2.66%) Alibaba 3.15% 2051 2,200,000 1,479 0.75 Alibaba 4% 2037 2,100,000 1,634 0.83 Walmart 4.875% 2039 600,000 885 0.45 Walmart Stores 5.25% 2035 900,000 1,315 0.66

Services - 1.12% (3.22%)

65 Baillie Gifford Investment Grade Long Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

University of Cambridge 3.75% 2052 500,000 748 0.38 University of Oxford 2.544% 2117 530,000 624 0.32 Wellcome Trust 2.517% 2118 700,000 835 0.42

Sovereign - 6.50% (6.91%) UK Treasury 1.75% 22/01/2049 2,200,000 2,385 1.21 UK Treasury 3.25% 22/01/2044 3,400,000 4,646 2.35 UK Treasury 3.5% 22/01/2045 1,000,000 1,430 0.72 UK Treasury 3.5% 22/07/2068 900,000 1,616 0.82 UK Treasury 3.75% 22/07/2052 1,500,000 2,411 1.22 UK Treasury 4% 22/01/2060 200,000 364 0.18

Supranational - 1.32% (0.72%) EIB 4.5% 2044 500,000 789 0.40 EIB 4.625% 2054 400,000 718 0.36 EIB 5% 2039 700,000 1,099 0.56

Technology & Electronics - 3.85% (3.39%) AMS 6% 2025 700,000 639 0.32 Apple 4.375% 2045 2,100,000 1,836 0.93 Corning 5.45% 2079 3,100,000 2,798 1.42 Dell 8.1% 2036 2,200,000 2,338 1.18

Telecommunications - 7.51% (8.76%) AT&T 2.875% PERP 1,300,000 1,105 0.56 AT&T 4.25% 2043 1,300,000 1,561 0.79 AT&T 4.875% 2044 1,200,000 1,570 0.79 Bell Canada 4.75% 2044 2,200,000 1,420 0.72 BT Group 3.625% 2047 900,000 1,328 0.67 BT Group 6.375% 2037 900,000 1,000 0.51 France Telecom 5.625% 2034 1,000,000 1,398 0.71 Orange SA 5.375% 2050 1,650,000 2,595 1.31 Vodafone 3% 2056 1,470,000 1,504 0.76 Vodafone Group 2.625% 2026 PERP 800,000 704 0.36

66 Baillie Gifford Investment Grade Long Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Vodafone Group 3.375% 2049 600,000 661 0.33

Transportation - 0.65% (1.60%) Manchester Airport 2.875% 2039 1,300,000 1,286 0.65

Utilities - 20.60% (20.23%) Cadent 2.75% 2046 3,100,000 3,139 1.59 Centrica 4.25% 2044 2,200,000 2,785 1.41 E.on 5.875% 2037 1,300,000 1,876 0.95 E.on 6.125% 2039 2,400,000 3,634 1.84 EDF 5.125% 2050 900,000 1,326 0.67 EDF 5.5% 2037 1,300,000 1,811 0.92 EDF 5.5% 2041 1,000,000 1,437 0.73 EDF 6% 2114 1,200,000 1,940 0.98 Enel 1.875% 2030 PERP 2,000,000 1,674 0.85 Enel 2.25% 2026 Perp 2,300,000 2,043 1.03 Enel 5.75% 2040 2,500,000 3,666 1.86 Engie SA 5% 2060 600,000 990 0.50 National Grid 2% 2038 1,800,000 1,718 0.87 National Grid 5.625% 2025/73 3,100,000 3,483 1.76 Northern Powergrid 2.25% 2059 1,000,000 1,013 0.51 Orsted 1.75% 3019 1,000,000 873 0.44 Orsted 5.75% 2040 1,000,000 1,546 0.78 TXU Eastern Funding 7.25% 20301 187,000 - 0.00 Welsh Water 2.375% 2034 1,019,000 1,016 0.51 Western Power Dist East 1.75% 2031 1,300,000 1,278 0.65 Western Power Dist East 6.25% 2040 800,000 1,274 0.64 Western Power Dist West 5.75% 2032 1,600,000 2,184 1.11

Derivatives - 0.14% (0.37%) Forward currency contracts (see Table 1) 502 0.26 Futures contracts (see Table 2) - 0.00 Interest rate swaps contracts (see Table 3) (233) (0.12)

Portfolio of investments 191,443 96.89

67 Baillie Gifford Investment Grade Long Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Net other assets - 3.11% (1.64%) 6,150 3.11

Net assets 197,593 100.00 1The issuer of this bond was in administration at the period 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 2020.

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 20/05/21 GBP 17,139,456 EUR 19,500,000 513 0.26 National Australia Bank 20/05/21 GBP 28,076,762 USD 38,730,000 10 0.00 Royal Bank of Canada 20/05/21 GBP 1,547,803 CAD 2,720,000 (21) 0.00 Unrealised gains/(losses) on open forward currency contracts 502 0.26

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

Canada 10 Year Bond Future June 2021 30/06/21 (36) - 0.00 Euro-Bobl Future June 2021 10/06/21 (115) - 0.00 Euro-Bund Future June 2021 10/06/21 (37) - 0.00 Long Gilt Future 10 Year June 2021 30/06/21 304 - 0.00 US Long Bond (CBT) June 2021 30/06/21 (172) - 0.00 US Ultra 10 Year Note Future June 2021 30/06/21 (9) - 0.00 US Ultra Long (CBT) June 2021 30/06/21 (33) - 0.00

Unrealised gains/(losses) on futures contracts - 0.00

68 Baillie Gifford Investment Grade Long Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

J.P. Morgan Securities PLC 02/10/43 2,880,000 Overnight Rate .762500000 (139) (0.07) J.P. Morgan Securities PLC 24/05/44 3,050,000 Overnight Rate 1.072800000 47 0.02 J.P. Morgan Securities PLC 07/06/46 2,690,000 Overnight Rate .761500000 (141) (0.07)

Unrealised gains/(losses) on open interest rate swap contracts (233) (0.12)

69 Baillie Gifford Investment Grade Long Bond Fund March 2021

Fund Information

Fund and Share 31.03.21 30.09.20 30.09.19 30.09.18 Information Total net asset value of 197,593 212,174 197,216 214,107 scheme property (£’000)

Synthetic Risk and Reward 5444 Indicator1

Net asset value per share (pence) B Accumulation 315.50 323.51 308.51 263.96 B Income 139.99 145.00 142.49 125.67 C Accumulation 319.44 327.14 311.19 265.59 C Income 142.46 147.45 144.53 127.47

Number of shares in issue B Accumulation 7,390,079 6,516,272 9,208,267 13,914,229 B Income 56,747,530 43,957,857 35,197,976 58,761,165 C Accumulation 7,147,893 16,808,893 29,951,712 30,576,244 C Income 50,542,594 49,079,985 17,608,201 17,513,701

Annual Income Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 Record (pence) (pence) (pence) (pence)

Income per share (financial period)2 B Accumulation 3.20 9.39 8.81 8.43 B Income 1.50 4.30 4.16 4.11 C Accumulation 3.60 9.49 9.59 9.13 C Income 1.60 4.36 4.57 4.50

Yearly Highest Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 and Lowest (pence) (pence) (pence) (pence) Prices Highest (financial period) B Accumulation 344.6 332.8 311.4 273.2 B Income 154.1 151.3 145.8 134.3 C Accumulation 348.7 336.5 314.1 274.4 C Income 156.8 153.7 148.1 136.3

Lowest (financial period) B Accumulation 315.0 265.3 259.7 260.0 B Income 140.5 121.9 123.7 127.1 C Accumulation 318.9 268.0 261.3 261.2 C Income 143.0 123.8 125.4 129.0

70 Baillie Gifford Investment Grade Long Bond Fund March 2021

Fund Information cont.

Ongoing Charges 31.03.21 30.09.20 30.09.19 30.09.18 Figures (%) (%) (%) (%)

Ongoing Charges Figures B Accumulation 0.28 0.28 0.28 0.28 B Income 0.28 0.28 0.28 0.28 C Accumulation 0.02 0.02 0.02 0.03 C Income 0.03 0.02 0.02 0.03

You should be aware that past performance is not a guide to future performance. 1The Synthetic Risk and Reward Indicator demonstrates where the Fund ranks in terms of its potential risk and reward on a scale from 1 (lowest) to 7 (highest). The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past data, may change over time and may not be a reliable indication of the future risk profile of the Fund. Further information is included in the Risk and Reward Profile section of the Fund’s interim report. 2With effect from 1 October 2019, all permitted expenses of the Fund were allocated to capital for distribution purposes. 3The Ongoing Charges Figure is based on the expenses for the financial period and may vary from year to year. It excludes the cost of buying and selling assets for the Fund although custodian transaction costs are included. A further explanation of charges and costs relating to the Fund can be obtained by contacting Client Relations.

71 Baillie Gifford Investment Grade Long Bond Fund March 2021

Interim Financial Statements (Unaudited)

Statement of Total Return for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) (9,467) (14,270) Revenue 2,921 3,016 Expenses (147) (100)

Net revenue before taxation 2,774 2,916 Taxation -- Net revenue after taxation 2,774 2,916

Total return before distributions (6,693) (11,354) Distributions (2,401) (2,138) Change in net assets attributable to shareholders from investment activities (9,094) (13,492)

Statement of Change in Net Assets Attributable to Shareholders for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 212,174 197,216 Amounts receivable on issue of shares 38,806 14,276 Amounts payable on cancellation of shares (45,283) (16,140)

(6,477) (1,864) Dilution adjustment 328 122 Change in net assets attributable to shareholders from investment activities (9,094) (13,492) Retained distributions on accumulation shares 662 1,424 Closing net assets attributable to shareholders 197,593 183,406

72 Baillie Gifford Investment Grade Long Bond Fund March 2021

Interim Financial Statements (Unaudited) cont.

Balance Sheet as at 31 March 2021

31 March 2021 30 September 2020 £’000 £’000

Assets: Fixed assets: Investments 191,744 209,156 Current assets: Debtors 6,770 3,977 Cash and bank balances 3,553 4,849 Total assets 202,067 217,982

Liabilities: Investment liabilities (301) (453) Creditors: Bank overdrafts (403) (95) Distributions payable (830) (1,863) Other creditors (2,940) (3,397)

Total liabilities (4,474) (5,808) Net assets attributable to shareholders 197,593 212,174

Basis for preparation The interim financial statements have been prepared in accordance with the Statement of Recommended Practice for UK Authorised Funds issued by the Investment Management Association in May 2014. The accounting policies applied are consistent with those in the annual financial statements for the year ended 30 September 2020 and are described in those annual financial statements.

73 Baillie Gifford Investment Grade Long Bond Fund March 2021

74 BAILLIE GIFFORD

Baillie Gifford Strategic Bond Fund a sub-fund of Baillie Gifford Bond Funds ICVC Interim Report and Financial Statements (Unaudited) for the six months ended 31 March 2021

75 Baillie Gifford Strategic Bond Fund March 2021

Baillie Gifford Strategic Bond Fund

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

76 Baillie Gifford Strategic Bond Fund March 2021

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 exclude any initial charge paid. Performance figures for the other share 20 classes in issue can be obtained by contacting Client Relations. You 16.3 should be aware that past performance is not a guide to future 12.4 15 11.6 performance. 10 8.0 4.2 4.0 5 2.3 2.1

% 0

-5 -1.4 -4.2 -10 31/03/2016 to 31/03/2017 to 31/03/2018 to 31/03/2019 to 31/03/2020 to 31/03/2017 31/03/2018 31/03/2019 31/03/2020 31/03/2021

Baillie Gifford Strategic Bond Fund B Income Shares¹

Investment Association Sterling Strategic Bond sector average²

The investment objective of the Fund is to produce result, the US government rapidly passed another monthly income. Opportunities for capital growth are economic stimulus package of nearly US$2 trillion, and also sought, subject to prevailing market conditions. For expectations have grown for a further stimulus package the six months to 31 March 2021 income totalling 1.2 focused on infrastructure later in the year. Investors pence per share was declared for B Income Shares and began to consider whether easy monetary policy – low the total return was 3.0%3. We believe that short-term interest rates and quantitative easing – was still required, performance measurements are of limited relevance in particularly with signs of rising inflation. For government assessing investment ability and would suggest that three bond markets, which had been priced for a prolonged years is a more sensible timeframe over which to judge period of ultra-low interest rates, this resulted in yields performance. Over that period, income totalling 9.2 rising significantly, i.e. prices fell. Corporate bonds pence per share was declared for B Income Shares and continued to perform well relative to government bonds, the annualised total return was 5.0%3. but the rise in underlying government yields led to negative returns for investment grade bonds during the The impact of Covid-19 on corporate bond markets period. High yield bonds performed better, however, has continued in the past six months, albeit markets have benefiting from the asset class’s low interest rate focused less on the negative effects and more on the sensitivity. recovery in economic activity and the support provided by governments and central banks. Corporate bonds have Individual bond selection is typically the Fund’s main performed well in that environment. An accelerating performance driver over the long term. In the past six rollout of the vaccines that were announced towards the months, the Fund has exceeded the Investment end of 2020 increased growth expectations further during Association Sterling Strategic Bond sector average return the first quarter of 2021. The improvement in sentiment of 2.4%2 (the ‘comparator benchmark’) with a diverse was also helped by the results of a run-off election in the range of bonds contributing. In the past three years the US state of Georgia, which gave the Democratic Party Fund has also performed strongly relative to the and President Biden control of the Senate. Following the comparator benchmark which had an annualised return of

1Source: FE, 10am dealing prices, net income reinvested, after charges. 2Source: FE and relevant index provider, total return. Index per- formance returns are now shown on a gross total return basis, having previously been shown on a net total return basis. Please see Dis- claimer on page 96. 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. 77 Baillie Gifford Strategic Bond Fund March 2021

Investment Report cont.

4.2%2. Examples among the top performing bonds over this time include global media services provider, Netflix, and Netherlands cable operator, Ziggo. Meanwhile, UK health club chain, Pure Gym and Spanish gaming and leisure company, Cirsa have detracted, each affected by the pandemic. We continue to identify a range of idiosyncratic bond ideas that offer attractive yields. Purchases during the past six months include Centene and ANGI Homeservices. As a market leader in both Medicaid and the Affordable Care Act individual marketplace and with a strong market position in Medicare Advantage, Centene is well placed to benefit from the proposed changes to the US Healthcare system under the Biden administration. We anticipate an upgrade to investment grade status in the near term which should drive spreads tighter and therefore contribute positively to returns. ANGI is in the very early stages of disrupting the sizeable US home services industry using an innovative marketplace model that connects households with tradespersons and contractors. With a clear first-mover advantage, the business benefits from classic flywheel effects, and we think its new ‘fixed price’ initiatives will provide additional support for growth in the coming years. Given ANGI’s conservative balance sheet and low capital requirements, we believe its bonds are a mispriced opportunity that can deliver outperformance for the Fund.

Baillie Gifford & Co 19 April 2021

78 Baillie Gifford Strategic Bond Fund March 2021

Principal Bond Holdings as at 31 March 2021

Investment Percentage of total Fund Netflix 4.625% 2029 2.74 National Grid 5.625% 2025/73 2.50 Virgin Media 5 2027 2.02 Rabobank 6.5% Perp 1.99 EDP 4.496% 2079 1.86 Co-operative Group 7.5% 2026 1.79 EIB 3.875% 2037 1.76 Cheniere Energy 4.625% 2028 (144A) 1.71 KPN 2% 2024 Perp 1.53 Fidelity 2.5% 2026 1.53

79 Baillie Gifford Strategic Bond Fund March 2021

Material Portfolio Changes for the six months ended 31 March 2021

Largest Purchases Cost Largest Sales Proceeds £’000 £’000 EIB 5.625% 2032 32,115 CRH 1.625% 2030 20,720 KFW 5.75% 2032 28,252 Global Switch 2.25% 2027 20,316 ASDA 3.25% 2026 19,924 KFW 5% 2036 19,406 IQVIA 2.25% 2029 19,629 EIB 5.625% 2032 19,233 Bharti Airtel 5.65% 2025 Perp 17,418 Western Power Dist East 1.75% 2031 18,445 ANGI Homeservices 3.875% 2028 (144A) 16,520 Orange 5.75% 2023 PERP 16,682 EIB 3.875% 2037 13,768 Dell 5.3% 2029 (144A) 16,190 Wizz Air 1.35% 2024 13,352 Darling Ingredients 3.625% 2026 15,398 Adevinta 3% 2027 13,342 Victoria 5.25% 2024 14,337 Canpack 2.375% 2027 13,218 Hasbro 3.9% 2029 13,492

The largest purchases and sales of bonds have been shown.

80 Baillie Gifford Strategic Bond Fund March 2021

Portfolio Statement as at 31 March 2021

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

Agency - 0.48% (0.52%) Temasek 0.5% 2031 7,400,000 6,306 0.48

Asset Backed - 2.75% (1.37%) Greene King 4.0643% 2035 17,703,000 15,062 1.15 Heathrow Airport 1.875% 2034 3,000,000 2,689 0.21 Heathrow Airport 2.75% 2029 12,000,000 12,317 0.94 Heathrow Airport 2.75% 2049 1,018,000 970 0.08 Mitchells & Butlers 5.574% 15/12/2030 4,140,000 1,623 0.12 Mitchells & Butlers 5.965% 15/12/2023 3,944,000 658 0.05 Mitchells & Butlers 6.469% 15/09/2030 2,470,000 2,620 0.20

Automotive - 1.35% (0.67%) Aptiv 4.4% 2046 6,800,000 5,255 0.40 Aptiv 5.4% 2049 4,000,000 3,544 0.27 Volkswagen 4.625% 2028 PERP 5,800,000 5,639 0.43 Volkswagen 5.125% 2023 PERP 3,400,000 3,186 0.25

Banking - 3.50% (5.04%) Rabobank 6.5% Perp 23,533,075 25,960 1.99 Sainsbury Bank 6% 2022/27 4,820,000 5,018 0.38 Svenska Handelsbanken 6.25% 2024 Perp 18,600,000 14,762 1.13

Basic Industry - 4.84% (6.80%) Compass Minerals International 6.75% 2027 (144A) 19,390,000 15,119 1.16 Italmatch Chemicals FRN 2024 11,404,000 9,302 0.71 OCI 5.25% 2024 (144A) 7,400,000 5,578 0.43 Orbia Advance Corp 5.875% 2044 14,600,000 12,397 0.95 Victoria 3.625% 2026 14,950,000 12,966 0.99 Victoria 3.75% 2028 9,100,000 7,868 0.60

Capital Goods - 1.60% (2.15%) Canpack 2.375% 2027 14,500,000 12,527 0.96

81 Baillie Gifford Strategic Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

DS Smith 2.875% 2029 7,955,000 8,347 0.64

Commercial Mortgage Backed - 5.26% (5.05%) Delamare (B-1) 6.067% 2029 2,720,000 3,301 0.25 Delamare 5.5457% 2029 10,720,000 9,301 0.71 Telereal (B-4) 6.1645% 2031 15,552,000 17,182 1.32 Telereal (C1) FRN 2031 11,600,000 11,194 0.86 Telereal 1.963% 2033 (B2) 3,087,000 3,130 0.24 Tesco Property Finance 5.744% 2040 3,900,000 4,867 0.37 Tesco Property Finance 6 5.4111% 2044 16,370,000 19,680 1.51

Consumer Goods - 0.00% (1.05%) Virgolino De Oliveira 11.75% 2022 2,485,000 27 0.00

Energy - 1.71% (2.44%) Cheniere Energy 4.625% 2028 (144A) 29,700,000 22,391 1.71

Financial Services - 6.85% (7.22%) Berkshire Hathaway 2.375% 2039 10,900,000 11,467 0.88 Berkshire Hathaway 2.625% 2059 7,300,000 8,140 0.62 Fidelity 2.5% 2026 21,425,000 19,915 1.53 First Cash 4.625% 2028 (144A) 17,300,000 12,821 0.98 PaymentSense 8% 2025 13,303,000 14,414 1.10 Softbank 5% 2028 13,090,000 12,573 0.96 Target Hospitality 9.5% 2024 (144A) 14,200,000 10,151 0.78

Government Guaranteed - 2.12% (2.63%) KFW 5% 2036 8,800,000 13,282 1.02 KFW 5.75% 2032 9,730,000 14,363 1.10

Health Care - 6.47% (4.05%) AstraZeneca 5.75% 2031 6,925,000 9,697 0.74 AstraZeneca 6.45% 2037 13,750,000 14,217 1.09 Biogroup 3.375% 2028 7,500,000 6,365 0.49 Catalent 2.375% 2028 21,400,000 18,143 1.39

82 Baillie Gifford Strategic Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Centene 4.625% 2029 16,200,000 12,708 0.97 IQVIA 2.25% 2029 22,500,000 19,122 1.46 Unilabs SA 5.75% 2025 4,930,000 4,263 0.33

Insurance - 6.58% (8.30%) Brit Insurance 3.661% 2030 8,900,000 8,490 0.65 Legal & General 5.125% 2028/48 1,600,000 1,849 0.14 Legal & General 5.375% 2025/45 6,892,000 7,899 0.60 Legal & General 5.5% 2064 9,211,000 11,107 0.85 Pension Insurance 4.625% 2031 6,200,000 6,904 0.53 Pension Insurance 5.625% 2030 9,100,000 10,850 0.83 Pension Insurance 8% 2026 7,600,000 9,800 0.75 Rothesay Life 8% 2025 12,780,000 15,975 1.22 Zurich Financial Services 6.625% 2022 Perp 12,212,000 13,130 1.01

Leisure - 2.84% (2.20%) ACCOR SA 2.625% PERP 23,500,000 19,189 1.47 ACCOR SA 4.375% PERP 5,500,000 4,832 0.37 Whitbread 3.375% 2025 12,400,000 13,051 1.00

Media - 10.95% (8.95%) Adevinta 3% 2027 14,500,000 12,782 0.98 ANGI Homeservices 3.875% 2028 (144A) 22,400,000 16,235 1.24 Match.com 5% 2027 144A 5,272,000 4,014 0.31 Match.com 5.625% 2029 144A 17,779,000 13,806 1.06 Netflix 3.625% 2030 3,400,000 3,386 0.26 Netflix 4.625% 2029 33,805,000 35,722 2.74 Time Warner Cable 5.25% 2042 15,200,000 19,369 1.48 Time Warner Cable 5.75% 2031 6,805,000 8,510 0.65 Virgin Media 5 2027 25,212,000 26,378 2.02 Virgin Media 5.5% 2029 (144A) 3,600,000 2,769 0.21

Real Estate - 1.99% (0.97%) CPI Property 2.75% 2028 12,860,000 12,987 1.00

83 Baillie Gifford Strategic Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Heimstaden Bostad 2.625% 2027 PERP 15,400,000 12,986 0.99

Retail - 7.98% (4.04%) Alibaba 3.15% 2051 2,741,000 1,842 0.14 Alibaba 4% 2037 13,700,000 10,662 0.82 ASDA 3.25% 2026 19,750,000 19,825 1.52 Co-operative Group 5.125% 2024 7,953,000 8,540 0.65 Co-operative Group 7.5% 2026 19,278,000 23,346 1.79 Marks and Spencer 4.5% 2027 6,300,000 6,666 0.51 MercadoLibre 2.375% 2026 9,100,000 6,548 0.50 MercadoLibre 3.125% 2031 13,800,000 9,502 0.73 Nordstrom 4% 2027 2,000,000 1,493 0.11 Nordstrom 4.375% 2030 11,800,000 8,730 0.67 Travis Perkins 3.75% 2026 6,738,000 7,100 0.54

Services - 2.47% (4.17%) Ashtead 4.125% 2025 (144A) 20,430,000 15,227 1.17 University of Cambridge 2.35% 2078 1,950,000 2,506 0.19 University of Cambridge 3.75% 2052 7,200,000 10,775 0.82 University of Oxford 2.544% 2117 3,200,000 3,768 0.29

Supranational - 2.80% (1.62%) EIB 3.875% 2037 16,900,000 22,941 1.76 EIB 5.625% 2032 8,000,000 11,679 0.89 IBRD 5.75% 2032 1,295,000 1,908 0.15

Technology & Electronics - 2.63% (4.95%) AMS 0% 2025 Convertible 14,200,000 10,046 0.77 AMS 6% 2025 7,000,000 6,384 0.49 Apple 3.85% 2043 6,400,000 5,232 0.40 Apple 4.65% 2046 860,000 780 0.06 Corning 5.45% 2079 13,151,000 11,869 0.91

Telecommunications - 7.19% (8.62%) AT&T 2.875% PERP 10,900,000 9,266 0.71

84 Baillie Gifford Strategic Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

AT&T 4.25% 2043 9,690,000 11,634 0.89 AT&T INCO 7 2040 6,800,000 10,795 0.83 Bharti Airtel 5.65% 2025 Perp 22,014,000 16,873 1.29 Cincinnati Bell 8% 2025 (144A) 3,805,000 2,934 0.22 Cogent Communications 4.375% 2024 14,200,000 12,357 0.95 KPN 2% 2024 Perp 23,300,000 19,975 1.53 KPN 5.75% 2029 8,200,000 10,051 0.77

Transportation - 4.63% (3.02%) Emparq 1.875% 01/02/2028 11,760,000 9,317 0.71 Fraport 1.875% 2028 4,600,000 3,986 0.31 Fraport 2.125% 2027 20,400,000 18,179 1.39 Ryanair 2.875% 2025 17,400,000 16,086 1.23 Wizz Air 1.35% 2024 14,900,000 12,878 0.99

Utilities - 8.30% (10.84%) EDF 5.125% 2050 3,300,000 4,861 0.37 EDF 5.5% 2041 2,500,000 3,593 0.28 EDF 6% 2026 Perp 11,600,000 13,021 1.00 EDF 6% 2114 2,200,000 3,557 0.27 EDP 4.496% 2079 26,200,000 24,358 1.86 Enel 5.75% 2040 13,513,000 19,818 1.52 National Grid 5.625% 2025/73 29,100,000 32,699 2.50 Orsted 1.75% 3019 7,500,000 6,548 0.50

85 Baillie Gifford Strategic Bond Fund March 2021

Portfolio Statement as at 31 March 2021 cont.

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

Derivatives - -0.04% (0.85%) Forward currency contracts (see Table 1) (567) (0.04) Futures contracts (see Table 2) - 0.00

Portfolio of investments 1,244,035 95.25

Net other assets - 4.75% (2.48%) 62,105 4.75

Net assets 1,306,140 100.00

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 2020.

86 Baillie Gifford Strategic Bond Fund March 2021

Portfolio Statement as at 31 March 2021 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 20/05/21 GBP 393,489,343 EUR 459,120,000 2,033 0.16 National Australia Bank 20/05/21 GBP 4,208,121 EUR 4,910,000 22 0.00 Royal Bank of Canada 20/05/21 GBP 16,283,972 EUR 19,000,000 84 0.01 Royal Bank of Scotland 20/05/21 GBP 260,532,276 USD 363,244,000 (2,706) (0.21) Unrealised gains/(losses) on open forward currency contracts (567) (0.04)

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

Euro-Bobl Future June 2021 10/06/21 (525) - 0.00 Euro-Bund Future June 2021 10/06/21 (87) - 0.00 Long Gilt Future 10 Year June 2021 30/06/21 1,793 - 0.00 US 5 Year Note June 2021 06/07/21 (582) - 0.00 US Long Bond (CBT) June 2021 30/06/21 (184) - 0.00 US Ultra 10 Year Note Future June 2021 30/06/21 (1,026) - 0.00 US Ultra Long (CBT) June 2021 30/06/21 (107) - 0.00

Unrealised gains/(losses) on futures contracts - 0.00

87 Baillie Gifford Strategic Bond Fund March 2021

Fund Information

Fund and Share 31.03.21 30.09.20 30.09.19 30.09.18 Information Total net asset value of 1,306,140 1,289,236 1,202,703 765,489 scheme property (£’000)

Synthetic Risk and Reward 4433 Indicator1

Net asset value per share (pence) A Accumulation 226.05 220.11 216.62 198.23 A Income 85.85 84.46 86.11 81.12 B Accumulation 246.17 239.10 234.14 213.19 B Income 91.18 89.72 91.01 85.73 C Accumulation 285.09 276.22 269.15 243.84 C Income 96.61 94.75 95.63 90.09

Number of shares in issue A Accumulation 7,468,615 7,393,727 14,268,919 7,447,948 A Income 7,000,736 6,767,813 7,644,299 8,002,443 B Accumulation 332,314,400 335,502,352 306,793,123 210,645,112 B Income 508,964,361 516,732,795 490,311,919 343,389,581 C Accumulation 1,000 1,000 1,000 1,000 C Income 1,172,830 1,516,530 709,830 844,994

Annual Income Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 Record (pence) (pence) (pence) (pence)

Income per share (financial period)2 A Accumulation 2.40 7.63 6.03 5.89 A Income 0.90 3.00 2.45 2.46 B Accumulation 3.00 8.28 7.61 7.39 B Income 1.20 3.17 3.02 3.04 C Accumulation 3.90 9.51 10.00 9.64 C Income 1.20 3.33 3.64 3.64

88 Baillie Gifford Strategic Bond Fund March 2021

Fund Information cont.

Yearly Highest Period to 31.03.21 Year to 30.09.20 Year to 30.09.19 Year to 30.09.18 and Lowest (pence) (pence) (pence) (pence) Prices Highest (financial period) A Accumulation 231.6 223.8 218.3 202.4 A Income 88.43 88.23 87.60 84.88 B Accumulation 252.0 243.1 235.8 216.9 B Income 93.92 93.27 92.56 89.70 C Accumulation 291.5 280.8 271.0 247.2 C Income 99.35 98.14 97.29 94.27

Lowest (financial period) A Accumulation 220.3 187.3 196.6 197.2 A Income 84.53 73.83 80.02 82.17 B Accumulation 239.3 203.0 211.8 211.1 B Income 89.79 78.04 84.56 86.80 C Accumulation 276.5 233.9 242.5 240.2 C Income 94.82 82.11 88.86 91.20

Ongoing Charges 31.03.21 30.09.20 30.09.19 30.09.18 Figures (%) (%) (%) (%)

Ongoing Charges Figures3 A Accumulation 1.01 1.02 1.02 1.02 A Income 1.01 1.02 1.02 1.02 B Accumulation 0.52 0.52 0.52 0.52 B Income 0.52 0.52 0.52 0.52 C Accumulation 0.02 0.03 0.02 0.03 C Income 0.02 0.03 0.02 0.03

You should be aware that past performance is not a guide to future performance. 1The Synthetic Risk and Reward Indicator demonstrates where the Fund ranks in terms of its potential risk and reward on a scale from 1 (lowest) to 7 (highest). The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past data, may change over time and may not be a reliable indication of the future risk profile of the Fund. Further information is included in the Risk and Reward Profile section of the Fund’s interim report. 2With effect from 1 October 2019, all permitted expenses of the Fund were allocated to capital for distribution purposes. 3The Ongoing Charges Figure is based on the expenses for the financial period and may vary from year to year. It excludes the cost of buying and selling assets for the Fund although custodian transaction costs are included. A further explanation of charges and costs relating to the Fund can be obtained by contacting Client Relations.

89 Baillie Gifford Strategic Bond Fund March 2021

Interim Financial Statements (Unaudited)

Statement of Total Return for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 19,466 (131,131) Revenue 21,856 22,675 Expenses (3,444) (3,464)

Net revenue before taxation 18,412 19,211 Taxation -- Net revenue after taxation 18,412 19,211

Total return before distributions 37,878 (111,920) Distributions (16,348) (17,097) Change in net assets attributable to shareholders from investment activities 21,530 (129,017)

Statement of Change in Net Assets Attributable to Shareholders for the six months ended 31 March 2021

31 March 2021 31 March 2020 £’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 1,289,236 1,202,703 Amounts receivable on issue of shares 106,081 221,743 Amounts payable on cancellation of shares (121,114) (138,203)

(15,033) 83,540 Dilution adjustment 274 2,198 Change in net assets attributable to shareholders from investment activities 21,530 (129,017) Retained distributions on accumulation shares 10,133 10,639 Closing net assets attributable to shareholders 1,306,140 1,170,063

90 Baillie Gifford Strategic Bond Fund March 2021

Interim Financial Statements (Unaudited) cont.

Balance Sheet as at 31 March 2021

31 March 2021 30 September 2020 £’000 £’000

Assets: Fixed assets: Investments 1,246,742 1,257,248 Current assets: Debtors 24,962 20,974 Cash and bank balances 49,386 30,465 Total assets 1,321,090 1,308,687

Liabilities: Investment liabilities (2,706) - Creditors: Bank overdrafts (8,740) - Distributions payable (1,031) (5,113) Other creditors (2,473) (14,338)

Total liabilities (14,950) (19,451) Net assets attributable to shareholders 1,306,140 1,289,236

Basis for preparation The interim financial statements have been prepared in accordance with the Statement of Recommended Practice for UK Authorised Funds issued by the Investment Management Association in May 2014. The accounting policies applied are consistent with those in the annual financial statements for the year ended 30 September 2020 and are described in those annual financial statements.

91 Baillie Gifford Strategic Bond Fund March 2021

92 Baillie Gifford Bond Funds ICVC March 2021

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).

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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 of each sub-fund, the net asset value dealing price of shares of each class identically. per share, and the number of shares in each class are shown in the Fund Information sections of the relevant On the occasions when no dilution adjustment is made sub-fund. In each sub-fund all share classes have the there may be an adverse impact on the value of 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 97. 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

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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. 95 Baillie Gifford Bond Funds ICVC March 2021

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.

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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 £1,000 £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

97 Baillie Gifford Bond Funds ICVC March 2021

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 Paris-Aligned Fund3 Baillie Gifford Health Innovation Fund1 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 Fund2 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 Fund Glenfinlas Global Fund4

1Baillie Gifford Health Innovation Fund launched on 15 December 2020. 2Baillie Gifford Sterling Aggregate Plus Bond Fund is no longer available for subscription. 3Baillie Gifford Global Alpha Paris-Aligned Fund launched on 15 April 2021. 4Glenfinlas Global Fund is no longer available for subscription.

98 Baillie Gifford Bond Funds ICVC March 2021

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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