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avivainvestors.com
AVIVA INVESTORS
LIQUIDITY FUNDS PLC
(an umbrella type open-ended investment company with variable capital and segregated liability between Sub-Funds)
ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS 31 March 2023
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Annual Report and audited financial statements avivainvestors.com 2
Contents
Management and Administration 3 Directors’ Report 4 Investment Managers’ Report 8 Report from the Depositary to the Shareholders 13 Independent Auditors’ Report 14 Statement of Financial Position 17 Statement of Comprehensive Income 18 Statement of Changes in Net Assets Attributable to Shareholders 19 Notes to the Financial Statements 20 Aviva Investors Euro Liquidity Fund 40 Aviva Investors Sterling Government Liquidity Fund 44 Aviva Investors Sterling Liquidity Fund 45 Aviva Investors Sterling Liquidity Plus Fund 50 Aviva Investors US Dollar Liquidity Fund 54 Significant Portfolio Changes (Unaudited) 56 Securities Financing Transactions (Unaudited) 61 Management Company’s Remuneration Policy (Unaudited) 63 Sustainable Finance Disclosure Regulation (“SFDR”) (Unaudited) 66
This report does not constitute an offer of shares. Subscriptions are only valid if made on the basis of the current prospectus and the Key Investor Information Documents (“KIID”) supplemented by the last available annual report and the latest semi-annual report if published after such an annual report. Investors are hereby urged to read the entire prospectus. Past performance is not necessarily indicative of future returns. Copies of the prospectus, KIID, annual report, semi-annual report and details of changes in investments for the Sub-Funds may be obtained free of charge, from Aviva Investors Luxembourg S.A., 2 rue du Fort Bourbon, L-1249 Luxembourg or from J.P. Morgan Administration Services (Ireland) Limited, 200 Capital Dock, 79 Sir John Rogerson’s Quay, Dublin 2, D02 RK57, Ireland.
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MANAGEMENT AND ADMINISTRATION 31 March 2023
REGISTERED OFFICE (Until 31 August 2022) 25/28 North Wall Quay Dublin 1 Ireland (From 1 September 2022) 3 Dublin Landings North Wall Quay Dublin 1 Ireland Registered number 356697 DIRECTORS Tim Madigan (Irish)* Martin Nolan (Irish)* Denise Kinsella (Chairperson) (Irish) ** Deirdre Gormley (Irish) ** Anthony Callcott (British) Martin Bell (British) All Directors are non-executive directors. DISTRIBUTOR*** Aviva Investors Global Services Limited St Helen’s 1 Undershaft London, EC3P 3DQ United Kingdom MANAGER Aviva Investors Luxembourg S.A. 2, rue du Fort Bourbon L-1249 Luxembourg Luxembourg INVESTMENT MANAGER*** Aviva Investors Global Services Limited St Helen’s 1 Undershaft London, EC3P 3DQ United Kingdom SUB-INVESTMENT MANAGER**** Aviva Investors Americas LLC (for Aviva Investors US Dollar Liquidity Fund) (Until 9 December 2022) 225 West Wacker Drive Suite 2250 Chicago, IL 60606 United States
SECRETARY Goodbody Secretarial Limited International Financial Services Centre (Until 31 August 2022) North Wall Quay Dublin 1 Ireland (From 1 September 2022) 3 Dublin Landings North Wall Quay Dublin 1 Ireland IRISH LEGAL ADVISERS A&L Goodbody LLP International Financial Services Centre (Until 31 August 2022) North Wall Quay Dublin 1 Ireland (From 1 September 2022) 3 Dublin Landings North Wall Quay Dublin 1 Ireland ADMINISTRATOR J.P. Morgan Administration Services (Ireland) Limited 200 Capital Dock 79 Sir John Rogerson’s Quay Dublin 2, D02 RK57 Ireland
DEPOSITARY J.P.Morgan SE - Dublin Branch 200 Capital Dock 79 Sir John Rogerson’s Quay Dublin 2, D02 RK57 Ireland INDEPENDENT AUDITORS PricewaterhouseCoopers Chartered Accountants & Statutory Audit Firm One Spencer Dock North Wall Quay Dublin 1 Ireland
* Independent Director resigned on 8 June 2022 ** Independent Director *** Subject to the responsibility and oversight of Aviva Investors Luxembourg S.A. **** Subject to the responsibility and oversight of Aviva Investors Global Services Limited
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DIRECTOR’S REPORT 31 March 2023
The Directors submit their annual report together with the audited financial statements for the financial year ended 31 March 2023. Statement of Directors’ Responsibilities: The Directors are responsible for preparing the Annual Report and the audited financial statements in accordance with applicable Irish law and accounting standards generally accepted in Ireland, including FRS 102 “The Financial Reporting Standard applicable in the United Kingdom and the Republic of Ireland” (“FRS 102”). Under Irish company law, the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the state of affairs of Aviva Investors Liquidity Funds plc (the “Company”) and of the profit or loss of the Company for that financial year. In preparing those financial statements, the Directors are required to: – select suitable accounting policies and then apply them consistently; – make judgments and estimates that are reasonable and prudent; – state whether the financial statements have been prepared in accordance with applicable accounting standards and identify the standards in question, subject to any material departures from those standards being disclosed and explained in the notes to the financial statements; and – prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in operation. The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the financial position of the Company and enable them to ensure that the financial statements comply with the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 as amended (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulation 2015, as amended (the “Central Bank UCITS Regulations”). They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. Under the UCITS Regulations, the Directors are required to entrust the assets of the Company to a depositary for safe-keeping. In carrying out this duty, the Directors have appointed J.P.Morgan SE - Dublin Branch (the “Depositary”) as the Company’s depositary. Principal Activities and Review of the Company: The Company was incorporated on 10 May 2002 as an umbrella type open-ended investment company with variable capital and segregated liability between Sub-Funds under the laws of Ireland and as a public limited company pursuant to the Companies Act 2014. The Company is constituted as an umbrella fund insofar as different Sub-Funds may be established from time to time by the Directors with the consent of the Central Bank of Ireland (the “Central Bank”). As at 31 March 2023, the Company has established six Sub-Funds, of which five Sub-Funds are active (31 March 2022: five active Sub-Funds) - Aviva Investors Euro Liquidity Fund (“Euro Liquidity Fund”), Aviva Investors Sterling Government Liquidity Fund (“Sterling Government Liquidity Fund”), Aviva Investors Sterling Liquidity Fund (“Sterling Liquidity Fund”), Aviva Investors Sterling Liquidity Plus Fund (“Sterling Liquidity Plus Fund”) and Aviva Investors US Dollar Liquidity Fund (“US Dollar Liquidity Fund”) (together the “Sub-Funds”). Aviva Investors Sterling Standard Liquidity Fund (“Sterling Standard Liquidity Fund”), was launched on 5 July 2023. The share capital of the Sub-Funds (the “shares”) is divided into different classes of shares. As at 31 March 2023, there were 24 classes of shares in issue (31 March 2022: 20 classes of shares in issue). Sub-Fund Structure 1 Classes in Issue Aviva Investors Euro Liquidity Fund VNAV Class 1, 2, 3, 5, 6, 7, 8, 9 Aviva Investors Sterling Government Liquidity Fund LVNAV Class 5, 6, 7, 8 Aviva Investors Sterling Liquidity Fund LVNAV Class 1, 2, 3, 9 Aviva Investors Sterling Liquidity Plus Fund LVNAV Class 1, 2, 3, 4 Aviva Investors US Dollar Liquidity Fund LVNAV Class 1, 2, 3, 4 1 VNAV – Variable NAV, LVNAV – Low Volatility NAV The Company’s Sub-Funds are managed to achieve the stated objectives as disclosed in Note 1 to the financial statements. Both the level of business and the financial year-end position were satisfactory and the Directors expect an increased level of activity in the future. The Sub-Funds’ performance is detailed in the Investment Manager’s Report. Results: The financial position and results for the financial year are set out on pages 13 to 15. Distributions: Please refer to Note 2(f) for the distribution policy of the Company. Please refer to Note 17 for details of the distributions paid during the financial year. Adequate Accounting Records: The Directors believe that they have complied with the requirements of Section 281 of the Companies Act 2014 with regard to adequate accounting records through the engagement of the services of an administrator employing personnel with appropriate expertise and adequate resources. The Company has appointed Aviva Investors Luxembourg S.A. as its management company (the "Manager"). The Manager has delegated the administration of the Company to J.P. Morgan Administration Services (Ireland) Limited (the “Administrator”). The accounting records of the Company are maintained at the office of the Administrator at J.P. Morgan Administration Services (Ireland) Limited, 200 Capital Dock, 79 Sir John Rogerson’s Quay, Dublin 2, D02 RK57, Ireland. The financial statements of the Company are published on the website of Aviva Investors Global Services Limited (www.avivainvestors.com). The Manager is responsible for the maintenance of the corporate and financial information of the Company included on the website. Legislation in Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.
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DIRECTOR’S REPORT (CONTINUED) 31 March 2023
Risk Management Objectives and Policies: The Company’s investment activities expose it to various types of risk which are associated with the financial instruments and the markets in which it invests. Details of the main risks inherent in the Company are disclosed in Note 13 to the financial statements. The risks noted in the Notes to the financial statements are financial statement risks and are not a complete listing of risks associated with the Company. Cybersecurity Risk As part of its business, large amounts of electronic information are processed, stored and transmitted. The Company's service providers have procedures and systems in place that are designed to protect such information and prevent data loss and security breaches. However, such measures cannot provide absolute security, cyber-attacks and breaches could have a material adverse effect on the Company. Directors and their Interests: The names of the persons who were Directors at any time during the financial year are set out below: Tim Madigan* Martin Nolan* Denise Kinsella (Chairperson)** Deirdre Gormley** Anthony Callcott Martin Bell *Independent Director resigned on 8 June 2022 **Independent Director Anthony Callcott and Martin Bell are employees of the Investment Manager. The Directors are not required to retire by rotation. None of the Directors had a beneficial interest in the shares of the Company at the date of their appointment or throughout the financial years ended 31 March 2023 and 31 March 2022. Significant Events during the Financial Year: Tim Madigan and Martin Nolan resigned on 8 June 2022. On 19 April 2022, an updated prospectus was issued for Aviva Investors Liquidity Funds plc in order to reflect the implementation of the derogation granted by the Central Bank under Regulation 35(1)(a) of the Central Bank UCITS Regulations to deal only at forward prices in respect of the Aviva Investors Sterling Liquidity Fund. Historical pricing application was suspended due to high volatility of the markets on 2 September 2022, it was reimplemented on 7 November 2022. On 29 August 2022, an updated prospectus was issued for Aviva Investors Liquidity Funds plc in order to reflect the approval of the creation of Aviva Investors Sterling Standard Liquidity Fund. On 1 September 2022, Aviva Investors Liquidity Funds plc changed its registered office address. On 1 September 2022, Goodbody Secretarial Limited the Secretary, changed its address. On 1 September 2022, A&L Goodbody LLP the Irish Legal Adviser, changed its address. On 8 September 2022, an updated prospectus was issued for Aviva Investors Liquidity Funds plc in order to reflect updates to the disclosures for compliance with Sustainable Finance Disclosure Regulation (“SFDR”). On 1 December 2022, an updated prospectus was issued for Aviva Investors Liquidity Funds plc in order to incorporate the pre-contractual disclosure templates required under Commission Delegated Regulation (EU) 2022/1288 (SFDR Level 2). On 1 March 2023, an updated prospectus was issued for Aviva Investors Liquidity Funds plc in order to reflect: (i) Approval of Share Class 6, 7, 8 and 9 for Aviva Investors Euro Liquidity Fund. Launch of same share classes on 1 March 2023. (ii) Update of the share class numbering from 1 to 4 to 5 to 8 for Aviva Investors Sterling Standard Liquidity Fund. (iii) Change of comparator benchmark from 7-Day EURIBID to Euro Short Term Rate following termination of 7-Day EURIBID. (iv) Other minor tidy-up and clarificatory updates. Russian crisis: On 24 February 2022, Russian troops invaded neighbouring Ukraine. Since then, as a response, numerous countries have imposed several rounds of economic sanctions. The indirect impact of those are increased commodity prices due to resource supply challenges (such as food, gas or minerals), inflation, etc. The Sub Funds have no exposure to Russian/Ukrainian investments, and we consider that the situation does not have a significant impact on the Sub Funds’ continued activities. The Manager continues to monitor the situation and the associated market impacts as they have created a high degree of market uncertainty. There were no other significant events during the financial year ended 31 March 2023 other than those disclosed in the financial statements. Subsequent Events: On 11 April 2023, Share Classes 1, 2, 3 and 4 of Aviva Investors Sterling Government Liquidity Fund were launched. On 5 July 2023, the Sub-Fund Aviva Investors Sterling Standard Liquidity Fund was launched. There were no other subsequent events affecting the Company since the financial year ended 31 March 2023.
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DIRECTOR’S REPORT (CONTINUED) 31 March 2023
Connected Person Transactions: In accordance with the requirements of the Central Bank UCITS Regulations, any transaction carried out with the Company by connected persons as defined in the Regulations must be carried out as if negotiated at arm’s length. Such transaction must be in the best interests of the shareholders. The Directors of the Manager are satisfied that there are arrangements in place (evidenced by written procedures) to ensure that the obligations are applied to all transactions with connected persons and that transactions with connected persons entered into during the financial year complied with the obligations. Shareholders should refer to the Prospectus which identifies the general nature of the contractual arrangements with the principal connected persons but it is not exhaustive of all connected person transactions. Shareholders should also refer to the provisions of the Prospectus dealing with conflicts of interest. Note 12 details related party transactions in the financial year as required by Section 33 “Related Party Disclosures” of FRS 102. However, shareholders should understand that not all “connected persons” are related as defined by Section 33 of FRS 102. Details of fees paid to related parties and certain connected persons are set out in Note 8. Director’s Compliance Statement: It is the policy of the Company to comply with its relevant obligations (as defined in the Companies Act 2014). As required by Section 225(2) of the Companies Act 2014, the Directors acknowledge that they are responsible for securing the Company’s compliance with the relevant obligations. The Directors have drawn up a compliance policy statement as defined in Section 225(3)(a) of the Companies Act 2014 and a compliance policy which refers to the arrangements and structures that are in place and which are, in the Directors’ opinion, designed to secure material compliance with the Company’s relevant obligations. These arrangements and structures were reviewed by the Company during the financial year. In discharging their responsibilities under Section 225, the Directors relied upon, among other things, the services provided, advice and/or representations from third parties whom the Directors believe have the requisite knowledge and experience in order to secure material compliance with the Company’s relevant obligations. Statement on Relevant Audit Information: So far as each Director is aware, there is no relevant audit information of which the Company’s statutory auditors are unaware. The Directors have taken all steps that ought to have been taken by a director in order to make themselves aware of any relevant audit information and to establish that the Company’s auditors are aware of that information. Independent Auditors: The independent auditors, PricewaterhouseCoopers, will be reappointed in accordance with Section 383(2) of the Companies Act 2014. Corporate Governance Statement: The Company is subject to Irish legislation comprising the Companies Act 2014, the UCITS Regulations and the Central Bank UCITS Regulations, as applicable to investment funds. The Company voluntarily adopted the 'Corporate Governance Code Collective Investment Schemes and Management Companies' as published by Irish Funds in December 2011 (the "CGC"), with effect from 31 December 2012. The Company is subject to corporate governance practices imposed by: 1. The Companies Act 2014 and the UCITS Regulations which are available for inspection at the registered office of the Company and may also be obtained at www.irishstatutebook.ie. 2. The Company's constitutional documentation which is available for inspection at the registered office of the Company and at the Companies Registration Office in Ireland. 3. The Central Bank UCITS Regulations which can be obtained from the Central Bank’s website at: www.centralbank.ie and available for inspection at the registered office of the Company. Financial Reporting Process - description of main features: The Board in conjunction with the Manager is ultimately responsible for overseeing the establishment and maintenance of adequate internal control and risk management systems of the Company in relation to the financial reporting process. Such systems are designed to manage rather than eliminate the risk of error or fraud in achieving the Company’s financial reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss. The Company’s financial records are maintained by the Administrator which is independent of the Company, the Manager and the Investment Manager. The Administrator is regulated by the Central Bank. The Manager periodically reviews the Administrator's financial accounting and reporting routines, in conjunction with the Board, and monitor and evaluate the independent auditor's performance, qualifications and independence. The Administrator has operating responsibility in respect of its internal controls in relation to the financial reporting process and the Administrator's reports to the Board and the Manager. The annual statutory financial statements and interim financial statements of the Company are required to be approved by the Board and filed with the Central Bank. The annual statutory financial statements are required to be audited by independent auditors, who present their audit plan to the Board and subsequently report to the Board on their audit findings. The Board evaluates and discusses significant accounting and reporting issues as the need arises. Composition and operation of the board of directors: The number of Directors may not be less than two. There were four Directors at year end, being those listed in the directory to these financial statements. All related party transactions during the financial year are detailed in Note 12 to the financial statements. The Company's constitutional document does not provide for retirement of Directors by rotation. However, the Directors may be removed by the shareholders by ordinary resolution in accordance with the procedures established under the Companies Act 2014. The Board meets at least quarterly. The Board in conjunction with the Manager is responsible for managing the business affairs of the Company in accordance with its constitutional document.
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DIRECTOR’S REPORT (CONTINUED) 31 March 2023
Shareholder meetings: The Annual General Meeting of the Company will usually be held in Dublin, within 9 months after the financial year end date, at such date as the Directors may determine. Notice convening the Annual General Meeting in each financial year at which the audited financial statements of the Company will be presented (together with the Directors' and Auditors' Reports of the Company) will be sent to shareholders at their registered addresses not less than 21 days before the date fixed for the meeting. Other general meetings may be convened from time to time by the Directors in such manner as provided by Irish law. Each share held entitles the holder to attend and vote at meetings of the Company and of the Sub-Fund represented by those shares. Matters will be determined by a meeting of shareholders on a poll. Each share gives the holder one vote in relation to any matters relating to the Company which are submitted to shareholders for a vote by poll. No business shall be transacted at any shareholder meeting unless a quorum is present. Two shareholders present either in person or by proxy shall be a quorum for a general meeting. If within half an hour after the time appointed for a meeting a quorum is not present, the meeting, if convened on the requisition of or by shareholders, shall be dissolved. In any other case it shall stand adjourned to the same day in the next week, at the same time and place or to such other day and at such other time and place as the Directors may determine. One shareholder present either in person or by proxy shall be a quorum for any such adjourned meeting. Diversity Statement: The Board has adopted a Diversity Statement. It recognises the importance and value of diversity and as part of the annual Board effectiveness review, the balance of skills, experience, independence and knowledge of the Company are reviewed, together with the diversity representation of the Board.
On behalf of the Board
Director Director
Date: 24 July 2023
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INVESTMENT MANAGERS’ REPORT 31 March 2023
Sterling Liquidity Fund Government Liquidity Fund Sterling Liquidity Plus Fund
The financial year under review proved to be one of the most turbulent periods we have witnessed since the global financial crisis. At the beginning of the period, the war in Ukraine escalated, leading to increased prices in essential commodities such as food and energy. This occurred just as the world seemed to be recovering from the supply shocks caused by the Covid crisis. Consequently, a new wave of inflation emerged, dispelling the long-held belief among central banks that inflation was transitory. Across the world, headline inflation rates reached unprecedented highs, as economies grappled with disruptions in food and energy supplies, along with a persistent labour shortage. Central banks, in an effort to control inflation, began raising interest rates in increasingly significant increments. It became apparent that they had fallen behind the curve and were now playing catch-up to rein in inflation before it became deeply embedded. The fear was that unchecked inflation could drive wage negotiations, sparking a spiral of wage inflation. As of now, it appears that inflation has reached its peak, but interest rates are likely to remain elevated for an extended period, given the stubbornness of core inflation. In the United Kingdom, political turmoil added to the challenges. The incumbent Prime Minister, Boris Johnson, was proven to have lied to Parliament, leading to his resignation and a subsequent leadership race, ultimately won by Liz Truss. Truss wasted no time in making her mark, and her new Chancellor, Kwasi Kwarteng, announced an audacious budget that had not been audited by the Office for Budget Responsibility. This budget would have significantly increased public borrowing. The announcement triggered a sell-off in Gilts and Indexed Linked debt, impacting UK pension funds that followed a Liability Driven Investment strategy. This strategy involves leveraging Gilt holdings to purchase more Gilts, aiming to enhance portfolio returns. However, margin calls resulting from this approach depleted the funds' cash reserves, forcing them to de-lever and sell more Gilts. Consequently, Gilt prices declined, setting off a vicious cycle of price falls, margin calls, and sales. The Bank of England intervened by purchasing Indexlinked and Gilts, halting the sell-off and ultimately preventing a market implosion. In the United States, the government reached the Federal deficit ceiling in January and implemented emergency measures to ensure the continuity of public services. Initially, it was believed that the government could operate until July or August before exhausting these special measures, providing Congress with approximately seven months to negotiate a deal to raise the limit. However, towards the end of the first quarter, it became evident that the limit would be reached sooner than anticipated, adding urgency to the need for a deal. However, as of now, no deal has been reached, and time is running out. Around the same time that the US government encountered its borrowing limit, the rapid rise in US interest rates began to have adverse effects in the medium-sized US banking market. SVB bank, which had taken long-duration bets with their High-Quality Liquid Assets (HQLA), experienced significant outflows of deposits as nervous investors realized the bank held substantial unrealized losses on its books, which could wipe out its capital. This triggered a run on the bank, which subsequently spilled over to other institutions. JP Morgan was called upon to rescue the bank, following the Federal Reserve's promise to fully protect all depositors. The loss of market confidence spread to Europe, resulting in the downfall of Credit Suisse, one of the oldest banks in the world. UBS was requested by the Swiss Government to step in and acquire the bank, a decision they agreed to only after certain assurances were given. Silicon Valley Bank (SVB) has never been on our radar for investments by our Money Market Funds. It is a regional US bank that specialises in lending to start-ups in the tech sector, rated well below our minimum threshold for Money Market funds by both S&P (BBB-, cut yesterday from BBB) and Moody’s (Baa1). Minimum credit rating for the Liquidity funds is Moody’s A2, S&P A. We have limited exposure to US banks and even then it is only the larger institutions. The US banks we have approved are the ones that are classed as globally systemically important banks (GSIB) which means they are subject to higher scrutiny, tighter controls around liquidity and assets and have much better risk controls in place. In contrast, the Eurozone appeared relatively calm, notwithstanding the situation with Credit Suisse. The European Central Bank (ECB) primarily focused on the issue of inflation. However, there are headwinds on the horizon there in the form of the ending of TLTRO which will see an ECB balance sheet reduction of about €475bln. This will have a direct impact on short-term market rates and also, given their reliance on TLTRO for funding, Italian banks. Sterling Outlook Inflation in the UK appears to be on a downward trajectory as the impact of rate hikes takes hold and the previous year's surge in energy costs no longer factors into the inflation calculation. Consequently, the headline inflation rate is expected to decrease. The Bank of England has revised its growth outlook for the UK economy, indicating a reduced likelihood of a recession. However, compared to historical levels, the growth outlook remains weak, which means unexpected challenges could still have a significant impact. While wage inflation and the job market remain robust, there are signs of weakening, which should help prevent wage inflation from spiralling out of control. Sterling Liquidity fund • Assets under management were £17.8bn as of 31/3/2023. The fall in AUM through the year was mainly driven by internal investor flows. Weighted average maturity (WAM) was shorter at 39 days and weighted average life (WAL) 62 days (compared to £22.9bn, 44 days and 70 days respectively, as of 31/03/2022). • Through the first half of the year we selectively added some longer dated positions to benefit from the carry of the steeper curve, however, when the pace of tightening increased, we switched to short dated maturities and reduced the WAM on the portfolio. We started to increase the WAM going into 2023 as the pace of rate rises slowed to lock in higher yields. • The 1-day gross yield of the fund increased to 4.22% as of 31/3/2023 (from 0.61% on 31/03/2022), and the return was 1bp under the SONIA rate for the year.
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INVESTMENT MANAGERS’ REPORT (CONTINUED) 31 March 2023
Government Liquidity fund • Assets under management declined to £5.07bn as of 31/3/2023, due to planned internal outflows. Weighted average maturity (WAM) was shorter at 9 days and weighted average life (WAL) was also 9 days (compared to £6.55bn, 16 days and 16 days respectively, as of 31/03/2022). • Throughout the period we reduced the allocation to short T-Bills as they were not adding value over reverse repo levels but did add some 6 months T-Bills to lock in some higher yields. • The 1-day gross yield of the fund increased to 4.08% as of 31/03/2023 (from 0.45% on 31/03/2022), and the return was 8bp under the SONIA rate for the year. Sterling Liquidity Plus fund. During the six months from April 2022, primary issuance for covered bonds was strong, while primary issuance in asset-backed securities (ABS) was underwhelming. This disparity was due to the more favourable spreads of covered bonds compared to ABS, making it more appealing for banks to issue the former. Consequently, the ABS market became more concentrated in Buy-to-Let and Non-Conforming paper, a trend similar to the previous year. In the short-duration market, a significant sell-off occurred in the final week of September due to margin requirements imposed by Liability Driven Investment (LDI) mandates. This compelled several large institutions to raise cash by selling substantial amounts of their covered bond and ABS portfolios. As a result, spreads widened, with Prime RMBS paper moving from Sonia+40 to Sonia+80, and Buy-to-Let/Non-Conforming paper moving from Sonia+140 to Sonia+220 within a couple of days. Our strategy for the period from April 2022 was to maintain a duration-neutral to underweight position, with a specific underweight in spread duration. To implement this strategy, we purchased a small amount of 6-month or longer money market instruments and short-dated ABS paper, with a maximum weighted average life (WAL) of 1.5 years, offsetting the amortizing bonds. Due to valuation concerns, we did not participate in the majority of new ABS issuances. We experienced outflows in the last week of September, driven by LDI pressures, which required us to sell assets beyond our usual liquidity holding requirements. However, thanks to the diversified nature of our portfolio, we were able to assess on a daily basis where the best sources of liquidity were across the asset classes we owned. As a result, we avoided selling any assets at distressed prices, unlike other market participants. We sold a variety of investments, including ABS, Covered Bonds, Money Market, and Senior Unsecured FRNs. The ABS market's technical factors continued to support valuations, as banks remained buyers of Simple, Transparent, and Standardized (STS) eligible paper throughout the period. Consequently, the limited supply was consistently oversubscribed. The LDI crisis resulted in delayed issuance plans, exacerbated by the rescues of SVB bank in the US and later Credit Suisse, as depositors withdrew funds, triggering a bank run. Although the crisis was eventually contained, several medium-sized US banks also faced significant challenges. As a result, a backlog of issuance built up in the asset class. In anticipation of participating in the new issuances expected to enter the market in Q2 2023, we increased the amount of short-term cash in the fund. As of the end of March 2023, the Weighted Average Maturity (WAM) of the fund was 39 days, while the Weighted Average Life (WAL) was 256 days. The 1-day gross yield of the fund increased to 4.37% as of 31/3/2023, and the return was 35bp over the SONIA rate for the year.
Aviva Investors Global Services Limited May 2023
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INVESTMENT MANAGERS’ REPORT (CONTINUED) 31 March 2023
Euro Liquidity Fund
Euro Outlook The European Central Bank (ECB) has continued its path of raising rates, albeit at a slower pace than previously, as inflationary pressures show signs of subsiding. The rhetoric from ECB members remains hawkish, and its focus remains on data analysis, searching for indications of a potential wage/price spiral while also monitoring potential stresses in the system caused by rapid tightening and balance sheet reduction. Euro Liquidity Fund • Assets under management declined to €2.81bn as of 31/3/2023, due to planned internal outflows. Weighted average maturity (WAM) was lower at 18 days and weighted average life (WAL) lower at 42 days (compared to €3.42bn, 47 days and 54 days respectively, as of 31/03/2022). • Throughout the period we maintained a healthy amount of liquidity. We looked for opportunities across the yield curve, but we mainly focused on the shorter end, in this rapidly changing rate environment. We primarily invested in 1-3 months fixed rate securities and further increased the allocation to Ester floating rate CDs when spreads looked appropriate, to increase protection against rising interest rates. • The 1-day gross yield of the fund increased to 2.92% as of 31/3/2023 (from -0.52% on 31/03/2022), and the return was 15bp over the 7-Day EURIBID rate for year.
Aviva Investors Global Services Limited May 2023
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INVESTMENT MANAGERS’ REPORT (CONTINUED) 31 March 2023
US Dollar Liquidity Fund
US Outlook The Federal Reserve raised rates at the May FOMC meeting, but the tone has become more dovish in recent meetings due to a slowdown in the pace of inflation and discussions revolving around the possibility of a recession by the year's end. The market yield curve is indicating a rapid cutting cycle, potentially starting as early as the end of Q3. However, stubborn inflation persists, with the latest PCE deflator surpassing expectations and the core Consumer Price Index (CPI) still running at 5.5% year on year. These circumstances will present the Federal Reserve with challenging decisions ahead, and it is possible that interest rates could remain elevated for an extended period. The US Dollar Liquidity Fund • Assets under management for the fund were $978m as at 31/3/2023, down from $1.13bln as at 31/3/22. The WAM of the Fund has remained short throughout the period, and was 22 days and the WAL 34 days, as at 31/3/2022 the WAM 23 days and WAL 48 days. • The short duration on the portfolio has been driven by the rising interest rate environment meaning we have a high allocation to overnight deposits on the fund. There are potentially further rate rises to come so we have been keeping investments short. • The 1-day gross yield of the fund increased to 5.03% as of 31/3/2023 (from 0.37% on 31/03/2022), and the return was 14bp over the Secured Overnight Financing Rate (SOFR) for the year.
Aviva Investors Global Services Limited May 2023
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INVESTMENT MANAGERS’ REPORT (CONTINUED) 31 March 2023
Key risks The value of an investment can go down as well as up and can fluctuate in response to changes in currency and exchange rates. Investors may not get back the original amount invested. The Fund uses derivatives; these can be complex and highly volatile. This means in unusual market conditions the Fund may suffer significant losses. Certain assets held in the Fund could be hard to value or to sell at a desired time or at a price considered to be fair (especially in large quantities), and as a result their prices could be very volatile. Bond values are affected by changes in interest rates and the bond issuer's creditworthiness. Bonds that offer the potential for a higher income typically have a greater risk of default. Important Information Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (“Aviva Investors”). Unless stated otherwise any opinions expressed are those of Aviva Investors. They should not be viewed as indicating any guarantee of return from an investment managed by Aviva Investors nor as advice of any nature. The value of an investment and any income from it may go down as well as up and the investor may not get back the original amount invested. Past performance is not a guide to the future. The content of this presentation does not purport to be representational or provide warranties above and beyond those contained in the Prospectus and subscription documentation of the Fund. The Prospectus and the subscription document contain the full terms, conditions, representations and warranties in respect of the Fund. The underlying holdings of the fund should be considered in order to establish an appropriate minimum holding period. The content of this presentation does not purport to be representational or provide warranties above and beyond those contained in the legal documentation and subscription documentation of the Fund. The legal documentation and the subscription documents contain the full terms, conditions, representations and warranties in respect of the Fund. Nothing in this presentation is intended to or should be construed as advice or recommendations of any nature. This document is not a recommendation to sell or purchase any investment. It does not form part of any contract for the sale or purchase of any investment. Changes in exchange rates between currencies or the conversion from one currency to another may also cause the value of the investments to diminish or increase. The value of Shares expressed in a currency other than the Base Currency will be subject to exchange rate risk in relation to the Base Currency. You may switch between funds in the Aviva Investors Liquidity Funds p.l.c. Details on switching are provided in the Share Dealings section of the Fund's prospectus. The sub-fund is subject to the tax laws and regulations of Ireland. Depending on your own country of residence, this might have an impact on your investment. This document should not be taken as a recommendation or offer by anyone in any jurisdiction in which such an offer is not authorised or to any person to whom it is unlawful to make such an offer or solicitation. The Prospectus and Key Investor information Document (KIID) are available at www.avivainvestors.com. Where relevant, information on our approach to the sustainability aspects of the fund and the Sustainable Finance disclosure regulation (SFDR) including policies and procedures can be found on the following link: https://www.avivainvestors.com/en-gb/capabilities/sustainable-financedisclosure-regulation/ In Europe this document is issued by Aviva Investors Luxembourg S.A. Registered Office: 2 rue du Fort Bourbon, 1st Floor, 1249 Luxembourg. Supervised by Commission de Surveillance du Secteur Financier. An Aviva company. In the UK Issued by Aviva Investors Global Services Limited. Registered in England No. 1151805. Registered Office: St Helens, 1 Undershaft, London EC3P 3DQ. Authorised and regulated by the Financial Conduct Authority. Firm Reference No. 119178.
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REPORT FROM THE DEPOSITARY TO THE SHAREHOLDERS 31 March 2023
We, J.P. Morgan SE - Dublin Branch, appointed Depositary to Aviva Investors Liquidity Fund plc (“the Company”) provide this report solely in favour of the Shareholders of the Company from 01 April 2022 to 31 March 2023 (“the Accounting Period”). This report is provided in accordance with the UCITS Regulations – European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, as amended, (“the Regulations”). We do not, in the provision of this report, accept nor assume responsibility for any other purpose or to any other person to whom this report is shown. In accordance with our Depositary obligation as provided for under the Regulations, we have enquired into the conduct of the Company for the Accounting Period and we hereby report thereon to the Shareholders of the Company as follows; We are of the opinion that the Company has been managed during the Accounting Period, in all material respects: (i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the constitutional documents and the Regulations; and (ii) otherwise in accordance with the provisions of the constitutional documents and the Regulations.
For and on behalf of
J.P. Morgan SE - Dublin Branch 200 Capital Dock 79 Sir John Rogerson’s Quay Dublin 2, D02 RK57 Ireland 24 July 2023
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Independent auditors’ report to the members of Aviva Investors Liquidity Funds plc
Report on the audit of the financial statements
Opinion
In our opinion, Aviva Investors Liquidity Funds plc’s financial statements:
• give a true and fair view of the Company’s and Sub - Funds’ a ssets, liabilities and financial position as at 31 March 2023 and of their results for the year then ended;
• have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland (accounting standards issued by the Financial Rep orting Council of the UK, including Financial Reporting Standard 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland” and Irish law); and
• have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended). We have audited the financial statemen ts, included within the Annual Report and Audited Financial Statements, which comprise:
• the Statement of Financial Position as at 31 March 2023;
• the Statement of Comprehensive Income for the year then ended;
• the Statement of Changes in Net Assets Att ributable to Shareholders for the year then ended;
• the Schedule of Investments for each of the Sub - Funds as at 31 March 2023; and
• the notes to the financial statements for the Company and for each of its Sub - Funds, which include a description of the si gnificant accounting policies.
Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland)”) and applicable law. Our responsibilities under ISAs (Ireland) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Independence
We remained independent of the Company in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, which includes IAASA’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.
Conclus ions relating to going concern
Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Company’s and Sub - Funds’ ability to continue as a going concern for a period of at least twelve months from the date on which the financial statements are authorised for issue. In auditing the financial statements, we have concluded that the directors’ use of the going concern basis of acco unting in the preparation of the financial statements is appropriate. However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the Company’s and Sub - Funds’ ability to continue as a going concern. Our r esponsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this report.
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Reporting on other information The other information comprises all of the information in the Annual Report and Au dited Financial Statements other than the financial statements and our auditors’ report thereon. The directors are responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do n ot express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatem ent, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material m isstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities. With respect to the Director's Report, we also considered whether the disclosures required by the Companies Act 2014 have been included. Based on the responsibilities described above and our work undertaken in the course of the audit, ISAs (Ireland) and the Companies Act 2014 require us to also report certain opinions and matters as described below:
• In our opinion, based o n the work undertaken in the course of the audit, the information given in the Director's Report for the year ended 31 March 2023 is consistent with the financial statements and has been prepared in accordance with applicable legal requirements. • Based on our knowledge and understanding of the Company and its environment obtained in the course of the audit, we have not identified any material misstatements in the Director's Report. Responsibilities for the financial statements and the audit
Responsibilitie s of the directors for the financial statements As explained more fully in the Statement of Directors’ Responsibilities set out on page 4, the directors are responsible for the preparation of the financial statements in accordance with the applicable frame work and for being satisfied that they give a true and fair view. The directors are also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whethe r due to fraud or error. In preparing the financial statements, the directors are responsible for assessing the Company’s and Sub - Funds’ ability to continue as going concerns, disclosing as applicable, matters related to going concern and using the going c oncern basis of accounting unless the directors either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so. Auditors’ responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ re port that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from frau d or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. Our audit testing might include testing complete p opulations of certain transactions and balances, possibly using data auditing techniques. However, it typically involves selecting a limited number of items for testing, rather than testing complete populations. We will often seek to target particular item s for testing based on their size or risk characteristics. In other cases, we will use audit sampling to enable us to draw a conclusion about the population from which the sample is selected. A further description of our responsibilities for the audit of t he financial statements is located on the IAASA website at: https://www.iaasa.ie/getmedia/b2389013 - 1cf6 - 458b - 9b8f- f- a98202dc9c3a/Description_of_auditors_responsibilities_for _audit.pdf. f. This description forms part of our auditors’ report.
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Use of this report This report, including the opinions, has been prepared for and only for the Company’s members as a body in accordance with section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.
Other required reporting
Companies Act 2014 opinions on other matters
• We have obtained all the information and explanations which we consider nec essary for the purposes of our audit. • In our opinion the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited. • The financial statements are in agreement with the accounting records.
Com panies Act 2014 exception reporting
Directors’ remuneration and transactions Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions specified by sections 305 to 312 of t hat Act have not been made. We have no exceptions to report arising from this responsibility.
Liam O'Mahony for and on behalf of PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin 31 July 2023
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STATEMENT OF FINANCIAL POSITION 31 March 2023
The accompanying notes form an integral part of these financial statements.
9 Aviva Investors Euro Liquidity Fund Aviva Investors Sterling Government Liquidity Fund
Note 31 March 2023 EUR 31 March 2022 EUR 31 March 2023 GBP 31 March 2022 GBP CURRENT ASSETS Cash and cash equivalents 9 70,151,688 69,985,665 540,861 69,287,282 Receivables 3 3,085,544 279,121 1,687,844 950,069 Financial assets at fair value through profit or loss 12 , 13 , 14 2,747,831,106 3,407,897,432 5,362,569,425 6,550,078,452 Total current assets 2,821,068,338 3,478,162,218 5,364,798,130 6,620,315,803 CURRENT LIABILITIES Payables 4 14,920,005 57,608,140 298,323,923 68,690,424 Total current liabilities (excluding net assets attributable to shareholders) 14,920,005 57,608,140 298,323,923 68,690,424 Net asset value attributable to shareholders 2,806,148,333 3,420,554,078 5,066,474,207 6,551,625,379
Aviva Investors Sterling Liquidity Fund Aviva Investors Sterling Liquidity Plus Fund
Note
31 March 2023 GBP 31 March 2022 GBP 31 March 2023 GBP 31 March 2022 GBP CURRENT ASSETS Cash and cash equivalents 9 705,812,607 701,554,272 7,397,359 2,928,217 Receivables 3 69,348,567 14,903,837 23,445,863 23,832,995 Financial assets at fair value through profit or loss 12 , 13 , 14 17,139,553,001 22,895,620,040 1,644,991,540 2,226,375,249 Total current assets 17,914,714,175 23,612,078,149 1,675,834,762 2,253,136,461 CURRENT LIABILITIES Payables 4 65,999,372 659,847,989 56,075,484 13,821,581 Total current liabilities (excluding net assets attributable to shareholders) 65,999,372 659,847,989 56,075,484 13,821,581 Net asset value attributable to shareholders 17,848,714,803 22,952,230,160 1,619,759,278 2,239,314,880
Aviva Investors US Dollar Liquidity Fund Company Total
Note 31 March 2023 USD 31 March 2022 USD 31 March 2023 GBP 31 March 2022 GBP CURRENT ASSETS Cash and cash equivalents 9 25,250,291 25,013,602 794,081,905 851,856,974 Receivables 3 31,469,126 224,232 122,611,705 40,071,481 Financial assets at fair value through profit or loss 12 , 13 , 14 980,394,225 1,121,012,818 27,299,959,873 35,393,469,393 Total current assets 1,037,113,642 1,146,250,652 28,216,653,483 36,285,397,848 CURRENT LIABILITIES Payables 4 59,102,788 245,333 481,266,366 791,255,908 Total current liabilities (excluding net assets attributable to shareholders) 59,102,788 245,333 481,266,366 791,255,908 Net asset value attributable to shareholders 978,010,854 1,146,005,319 27,735,387,117 35,494,141,940
On behalf of the Board
_____________ Director 24 July 2023
_____________ Director 24 July 2023
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STATEMENT OF COMPREHENSIVE INCOME 31 March 2023
The accompanying notes form an integral part of these financial statements.
Aviva Investors Euro Liquidity Fund Aviva Investors Sterling Government Liquidity Fund
Note 31 March 2023 EUR 31 March 2022 EUR 31 March 2023 GBP 31 March 2022 GBP Operating income 5 25,375,572 – 117,520,293 4,974,325 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss 6 (107,013) (325,711) (500,876) (39,589) Total investment income/(expense) 25,268,559 (325,711) 117,019,417 4,934,736 Operating expenses 7 (806,753) (615,957) (187,926) (103,767) Negative yield expense 2 (j (j) (4,962,139) (14,442,602) – (305,929) Net operating profit/(loss) 19,499,667 (15,384,270) 116,831,491 4,525,040 Finance costs – 654 – Interest expense 2 (j (j) – (327,050) – (142) Distributions to shareholders 17 (368) – – Total finance costs (368) (327,050) – (142) Net profit/(loss) 19,499,299 (15,711,320) 116,831,491 4,524,898 Increase/(decrease) in net assets attributable to shareholders from operations 19,499,299 (15,711,320) 116,831,491 4,524,898 Aviva Investors Sterling Liquidity Fund Aviva Investors Sterling Liquidity Plus Fund
Note 31 March 2023 GBP 31 March 2022 GBP 31 March 2023 GBP 31 March 2022 GBP Operating income 5 421,284,516 39,506,403 45,963,372 12,359,121 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss 6 9,156,294 (13,304,034) (3,997,660) (7,130,306) Total investment income 430,440,810 26,202,369 41,965,712 5,228,815 Operating expenses 7 (4,672,273) (5,200,245) (287,103) (336,588) Negative yield expense 2 (j (j) (6,860,346) (296,141) (1,640,743) Net operating profit 418,908,191 20,705,983 40,037,866 4,892,227 Finance costs 408,421 33,945 – Distributions to shareholders 17 (408,420,906) (33,945,057) – Total finance costs (408,420,906) (33,945,057) – Net profit/(loss) 10,487,285 (13,239,074) 40,037,866 4,892,227 Increase/(decrease) in net assets attributable to shareholders from operations 10,487,285 (13,239,074) 40,037,866 4,892,227 Aviva Investors US Dollar Liquidity Fund Company Total
Note 31 March 2023 USD 31 March 2022 USD 31 March 2023 GBP 31 March 2022 GBP Operating income 5 26,180,522 1,806,786 626,735,871 57,996,236 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss 6 1,172,332 (713,158) 5,538,793 (21,273,081) Total investment income 27,352,854 1,093,628 632,274,664 36,723,155 Operating expenses 7 (656,761) (746,243) (6,389,791) (6,710,858) Negative yield expense 2 (j (j) – – (12,788,873) (12,886,947) Net operating profit 26,696,093 347,385 613,096,000 17,125,350 Finance costs 26,104 1,063 430,098 35,280 Interest expense 2 (j (j) – – – (278,331) Distributions to shareholders 17 (26,103,794) (1,062,599) (430,097,815) (34,722,986) Total finance costs (26,103,794) (1,062,599) (430,097,815) (35,001,317) Net profit/(loss) 592,299 (715,214) 182,998,185 (17,875,967) Increase/(decrease) in net assets attributable to shareholders from operations 592,299 (715,214) 182,998,185 (17,875,967)
There are no recognised gains or losses other than those set out in the above Statement of Comprehensive Income. In arriving at the results of the year all amounts relate to continuing operations.
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STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS 31 March 2023
The accompanying notes form an integral part of these financial statements.
Aviva Investors Euro Liquidity Fund Aviva Investors Sterling Government Liquidity Fund
Note 31 March 2023 EUR 31 March 2022 EUR 31 March 2023 GBP 31 March 2022 GBP Net assets attributable to shareholders at the beginning of the year 3,420,554,078 1,845,327,112 6,551,625,379 4,594,939,431 Increase/(decrease) in net assets attributable to shareholders from operations 19,499,299 (15,711,320) 116,831,491 4,524,898 Shareholder transactions: Proceeds from issue of shares 8,606,055,008 8,586,140,605 35,037,060,474 33,646,200,050 Payments on redemption of shares (9,239,960,052) (6,995,202,319) (36,639,043,137) (31,694,039,000) Increase/(decrease) in net assets resulting from shareholder transactions (633,905,044) 1,590,938,286 (1,601,982,663) 1,952,161,050 Net assets attributable to shareholders at the end of the year 2,806,148,333 3,420,554,078 5,066,474,207 6,551,625,379
Aviva Investors Sterling Liquidity Fund Aviva Investors Sterling Liquidity Plus Fund
Note 31 March 2023 GBP 31 March 2022 GBP 31 March 2023 GBP 31 March 2022 GBP Net assets attributable to shareholders at the beginning of the year 22,952,230,160 25,190,319,125 2,239,314,880 1,973,345,020 Increase/(decrease) in net assets attributable to shareholders from operations 10,487,285 (13,239,074) 40,037,866 4,892,227 Shareholder transactions: Proceeds from issue of shares 84,640,677,492 81,500,480,925 1,339,279,065 601,234,952 Payments on redemption of shares (89,754,680,134) (83,725,330,816) (1,998,872,533) (340,157,319) Increase/(decrease) in net assets resulting from shareholder transactions (5,114,002,642) (2,224,849,891) (659,593,468) 261,077,633 Net assets attributable to shareholders at the end of the year 17,848,714,803 22,952,230,160 1,619,759,278 2,239,314,880
Aviva Investors US Dollar Liquidity Fund Company Total
Note 31 March 2023 USD 31 March 2022 USD 31 March 2023 GBP 31 March 2022 GBP Net assets attributable to shareholders at the beginning of the year 1,146,005,319 1,270,553,915 35,494,141,940 34,068,869,338 Increase/(decrease) in net assets attributable to shareholders from operations 592,299 (715,214) 182,998,185 (17,875,967) Shareholder transactions: Proceeds from issue of shares 8,146,771,214 8,331,845,170 135,165,775,157 129,136,918,152 Payments on redemption of shares (8,315,357,978) (8,455,678,552) (143,281,918,550) (127,900,048,495) Increase/(decrease) in net assets resulting from shareholder transactions (168,586,764) (123,833,382) (8,116,143,393) 1,236,869,657 Foreign currency translation adjustment 2 ( d) – – 174,390,385 206,278,912 Net assets attributable to shareholders at the end of the year 978,010,854 1,146,005,319 27,735,387,117 35,494,141,940
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NOTES TO THE FINANCIAL STATEMENTS 31 March 2023
1. ORGANISATION Aviva Investors Liquidity Funds plc (the “Company”) was incorporated as an umbrella type open-ended investment company with variable capital and segregated liability between Sub-Funds under the laws of Ireland as a public limited company on 10 May 2002. The Company is an open-ended investment company with variable capital which has been authorised by the Central Bank. The Company is authorised as an Undertaking for Collective Investment in Transferable Securities under the provisions of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 as amended (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulation 2015, as amended (the “Central Bank UCITS Regulations”). The Company has appointed Aviva Investors Luxembourg S.A. as its Manager and J.P. Morgan SE Dublin Branch as its Depositary. The Manager is responsible for the investment management, distribution and administration of the Company and has appointed Aviva Investors Global Services Limited as Investment Manager and Distributor and J.P. Morgan Administration Services (Ireland) Limited as Administrator. As at 31 March 2023, the Company has established six Sub-Funds, of which five Sub-Funds are active (31 March 2022: five active Sub-Funds) - Aviva Investors Euro Liquidity Fund (“Euro Liquidity Fund”), Aviva Investors Sterling Government Liquidity Fund (“Sterling Government Liquidity Fund”), Aviva Investors Sterling Liquidity Fund (“Sterling Liquidity Fund”), Aviva Investors Sterling Liquidity Plus Fund (“Sterling Liquidity Plus Fund”) and Aviva Investors US Dollar Liquidity Fund (“US Dollar Liquidity Fund”) (together the “Sub-Funds”). Aviva Investors Sterling Standard Liquidity Fund (“Sterling Standard Liquidity Fund”), was launched on 5 July 2023. The share capital of the Sub-Funds (the “shares”) is divided into different classes of shares. At 31 March 2023, there were 24 classes of shares in issue (31 March 2022: 20 classes of shares in issue). Sub-Fund Structure 1 Classes in Issue Sub-Fund Authorisation Date Aviva Investors Euro Liquidity Fund VNAV Class 1, 2, 3, 5, 6, 7, 8, 9 15 August 2008 Aviva Investors Sterling Government Liquidity Fund LVNAV Class 5, 6, 7, 8 18 December 2008 Aviva Investors Sterling Liquidity Fund LVNAV Class 1, 2, 3, 9 10 June 2002 Aviva Investors Sterling Liquidity Plus Fund LVNAV Class 1, 2, 3, 4 26 November 2007 Aviva Investors US Dollar Liquidity Fund LVNAV Class 1, 2, 3, 4 12 February 2020 1 VNAV – Variable NAV, LVNAV – Low Volatility NAV The investment objective of Aviva Investors Euro Liquidity Fund is to offer returns in line with money market rates and preserve the value of the investment, by investing in fixed or floating rate instruments denominated in Euro. The performance of the Sub-Fund is benchmarked against the 7-Day EURIBID rate. The investment objective of Aviva Investors Sterling Government Liquidity Fund is to offer returns in line with money market rates and preserve the value of the investment by investing primarily in short term government securities and securities issued by agencies or bodies explicitly guaranteed by the UK Government. The performance of the Sub-Fund is benchmarked against the SONIA rate. The investment objective of Aviva Investors Sterling Liquidity Fund is to offer returns in line with money market rates and to preserve the value of the investment, by investing in a diversified portfolio of high grade Sterling denominated short term debt and debt related instruments. The investment objective of Aviva Investors Sterling Liquidity Plus Fund is to provide an investment return with a low level of capital volatility whilst maintaining liquidity by investing in a diversified portfolio of short term debt and debt related instruments which are primarily denominated in Sterling but may also be denominated in other currencies and hedged back to Sterling. The performance of the Sub-Fund is benchmarked against the SONIA rate. The investment objective of Aviva Investors US Dollar Liquidity Fund is to offer returns in line with money market rates and to preserve the value of the investment. by investing in fixed or floating rate instruments denominated in US Dollars. The performance of the Sub-Fund is benchmarked against the Secured Overnight Financing Rate (SOFR).
2. SIGNIFICANT ACCOUNTING POLICIES a) Basis of accounting The financial statements presented are audited financial statements for the financial year ended 31 March 2023 that have been prepared in accordance with FRS 102: ‘‘The Financial Reporting Standard applicable in the United Kingdom and the Republic of Ireland’’ (“FRS 102”) and Irish legislation comprising the Companies Act 2014, the UCITS Regulations and the Central Bank UCITS Regulations. The financial statements have been prepared on a going concern basis for the Company and Sub-Funds under the historical cost convention as modified by the revaluation of financial assets and liabilities held at fair value through the profit or loss. The format and certain wordings of the financial statements have been adapted from those contained in Irish legislation so that, in the opinion of the Directors, they more appropriately reflect the nature of the Company’s business as an investment fund. The Company has availed of the exemption available to open-ended investment funds under Section 7 “Statement of Cash Flows” of FRS 102, not to prepare a cash flow statement on the basis that substantially all of the Company’s investments are highly liquid and carried at fair value, and the Company provides a Statement of Changes in Net Assets attributable to Shareholders. The directors have a reasonable expectation that the Company will continue in operational existence for twelve months from the date of approval of the financial statements (‘the period of assessment’) and have prepared the financial statements on a going concern basis.
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
b) Financial instruments FRS 102, the accounting standard applicable in the United Kingdom and Ireland, requires that a reporting entity, in accounting for its financial instruments apply either a) the full provisions of Section 11 “Basic Financial Instruments” and Section 12 “Other Financial Instruments” of FRS 102, b) the recognition and measurement provisions of IAS 39 “Financial Instruments: Recognition and Measurement” and only the disclosure requirements of Sections 11 and 12 of FRS 102; or c) the recognition and measurement provisions of International Financial Reporting Standards (“IFRS”) 9, “Financial Instruments” and/or IAS 39 (as amended following the publication of IFRS 9) and only the disclosure requirements of Sections 11 and 12 of FRS 102. The Company has chosen to implement the recognition and measurement provisions of IAS 39 and only the disclosure requirements of Sections 11 and 12. (i) Classification The Company classifies its financial assets and liabilities at fair value through profit or loss – held for trading. These mainly include collective investment scheme, certificates of deposits, commercial papers, time deposits, bonds, asset-backed securities and reverse repurchase agreements. These instruments are acquired or incurred principally for the purpose of generating a profit from short-term fluctuation in price. (ii) Recognition All regular way purchases and sales of financial instruments are recognised on the trade date, which is the date that the Company commits to purchase or sell an asset. Regular way purchases or sales are purchases or sales of financial instruments that require delivery of assets within the period generally established by regulation or convention in the market place. Realised gains and losses on disposals of financial instruments are calculated using the first-in-first-out (FIFO) method and recognized in net (loss)/gain on financial assets and liabilities through profit or loss in the Statement of Comprehensive Income. (iii) Derecognition The Company derecognises a financial asset when the contractual rights to the cash flows from the financial asset expire or it transfers the financial asset and the transfer qualifies for derecognition. The resulting gain/(loss) is included in net gain/(loss) on financial assets and liabilities at fair value through profit or loss in the Statement of Comprehensive Income. (iv) Initial measurement Financial assets and financial liabilities at fair value through profit or loss are initially recognised at fair value. Gains and losses arising from changes in the fair value of the financial assets or financial liabilities are presented in the Statement of Comprehensive Income in the year in which they arise. Transaction costs are expensed in the Statement of Comprehensive Income as incurred. (v) Subsequent measurement After initial measurement, the Company measures financial instruments which are classified as at fair value through profit or loss, at their fair values. Fair value is the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in an arm’s length transaction. The fair value of financial instruments is based on their quoted market prices on a recognised exchange or sourced from a reputable broker/ counterparty in the case of non-exchange traded instruments, at the Statement of Financial Position date without any deduction for estimated future selling costs. Where no market prices are available, certificates of deposits and time deposits are valued at amortised cost which approximates their fair value (assumptions include trade price, trade date, contract maturity amount and contract maturity date). Mark to market reviews are completed on a weekly basis based on a pricing matrix to review tolerances. (vi) Reverse repurchase agreements Reverse repurchase agreements are fair valued at their face value and adjusted for any movements in foreign exchange rates. Interest rates vary for each reverse repurchase agreement and are set at the initiation of the agreement. It is the Company’s policy to take custody of securities purchased under reverse repurchase agreements and to value the securities on a daily basis to protect the Company in the event the securities are not reverse repurchased by the counterparty. Cash collateral provided by the Fund in respect of reverse repurchase agreements is identified in the statement of financial position under ‘cash and cash equivalents’. For collateral other than cash, if the party to whom the collateral is provided has the right by contract or custom to sell or re-pledge the collateral, the Fund classifies that asset in its statement of financial position separately from other assets and identifies the asset as pledged collateral. Where the party to whom the collateral is provided does not have the right to sell or re-pledge, the collateral provided is disclosed in the notes to the financial statements. The Company will generally obtain at least 100% of the exposure to the counterparty and additional collateral if the market value of the underlying securities is less than the face value of the reverse repurchase agreement plus any accrued interest. In the event of default on the obligation to reverse repurchase, the Company has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realisation and/or retention of the collateral or proceeds may be subject to legal proceedings. Reverse repurchase agreements have been used during the financial year for the purpose of efficient portfolio management. c) Offsetting financial instruments Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously. The Company does not offset financial assets and liabilities in the Statement of Financial Position. d) Foreign currency translation Functional and presentation currency: items included in the Company’s financial statements are measured using the primary economic environment in which it operates (the “functional currency”). The functional currency of the Company total is Sterling Pound (GBP) and functional currencies for each Sub-Fund are as follows: Aviva Investors Euro Liquidity Fund – Euro (EUR), Aviva Investors Sterling Government Liquidity Fund, Aviva Investors Sterling Liquidity Fund and Aviva Investors Sterling Liquidity Plus Fund– Sterling Pound (GBP) and Aviva Investors US Dollar Liquidity Fund – US Dollar (USD).
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
The Company has adopted the Sterling Pound as the presentation currency for the Company as a whole, given that the Aviva Investors Sterling Liquidity Fund constitutes the largest proportion of the Company’s total assets. The Company’s results and financial position are translated from the respective Sub-Funds’ functional currency to the Company’s presentation currency, as follows: (i) assets and liabilities, including net assets attributable to Shareholders, are translated at the closing rate at each Statement of Financial Position date; (ii) proceeds from subscriptions and amounts paid on redemption of redeemable participating shares are translated at average rates, which approximate the rates prevailing at the dates of the transactions; and (iii) income and expenses are translated at the average exchange rates. In accordance with Section 30 “Foreign Currency Translations” of FRS 102, an average rate of exchange for the financial year has been applied to the Statement of Comprehensive Income and Statement of Changes in Net Assets attributable to Shareholders in the financial statements. The conversion exchange rates used in the Statement of Financial Position were as at the balance sheet date. The adjustment is due to combining the individual Sub-Funds for the Company total from the Sub-Funds functional currency to the presentational currency of the Company and does not impact the individual NAV per share of the individual Sub-Funds. The adjustments relates to changes in FX rates used, between average and year end rates, and it is in foreign currency translation adjustment in statement of net assets attributable to shareholders. e) Cash and cash equivalents Cash comprises cash on hand and demand deposits. Cash equivalents are short term, highly liquid investments that are readily convertible to known amounts of cash and which are subject to insignificant changes in value, and are held for the purpose of meeting short term cash commitments rather than for investment or other purposes. Cash and cash equivalents are valued at face value with interest accrued where applicable at the relevant valuation point on the relevant business day. f) Dividends and distributions The Fund’s dividend policy including the provisions referred to below, can be found in the latest prospectus. The Directors may at their discretion and if they consider it to be in the best interests of the shareholders of the relevant Sub-Fund or relevant class of shares in a Sub-Fund determine not to declare all or substantially all of the net income of a Sub-Fund attributable to the shares on a particular dealing day as a dividend to shareholders. In the event that the Directors determine not to declare all or substantially all of the net income of a Sub-Fund attributable to the shares on a dealing day as a dividend, any distributable net income not declared will remain in the relevant Sub-Fund's assets and will be reflected in the net asset value of the relevant Sub-Fund. Distributions and dividends to Shareholders are recorded in the Statement of Comprehensive Income as finance cost when declared by the Directors. Aviva Investors Euro Liquidity Fund had a net operating loss for the financial year ended 31 March 2023 and 31 March 2022 and did not distribute. The shares of Aviva Investors Sterling Liquidity Plus Fund are accumulating shares and therefore carry no rights to any dividend. The net income/loss attributable to the shares shall be allocated to the specific Share Class within the Sub-Fund and the value of the shares shall rise or fall accordingly. For Aviva Investors Sterling Government Liquidity Fund, Class 5, Class 6, Class 7 and Class 8 which are non- distributing shares. Details of the distributions to shareholders for all other share classes are shown in Note 17. g) Cross holdings within Company The individual results of the sub funds have been combined to arrive at Company total. Any Sub-Funds which have cross-investments with other Sub-Funds within the Company will be disclosed and identified separately within the relevant Sub-Fund’s schedules of investments. For the purposes of producing the Company total financial statements, investments by Sub-Funds within the Company in the shares of other Sub-Funds within the Company, also known as ‘Cross Investments’, are eliminated from the Company total. See Note 12 for further details. Dividend Income of GBP 1,699,647 (31 March 2022: GBP 166,361) in Aviva Investors Sterling Liquidity Plus fund is eliminated from the Company total in the Statement of Comprehensive Income and the corresponding impact on Receivables GBP 12,184 (31 March 2022: GBP 22,256) and Cash and Cash Equivalents GBP 1,687,463 (31 March 2022: GBP 144,105) has also been eliminated on Company total in Statement of Financial Position. h) Redeemable participating shares Redeemable participating shares are redeemable at the shareholder’s option and are classified as financial liabilities. The distribution on these redeemable participating shares is recognised in the Statement of Comprehensive Income as a finance cost. The redeemable participating shares can be put back to the Company at any time for cash equal to a proportionate share of the Company’s net asset value. The redeemable participating shares are carried at the redemption amount that is payable at the Statement of Financial Position date if the shareholder exercised its right to put the shares back to the Company. i) Use of estimates The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the financial year. Although these estimates, assumptions and judgements are based on the Board’s best knowledge of current events and actions, actual results may ultimately differ from those estimates, assumptions and judgements. The areas involving a higher degree of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are as disclosed in Note 14. Estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to estimates are recognised prospectively. j) Interest income and interest expense Interest income and interest expense are recognised on an accrual basis in line with the contractual terms. Interest is accrued on a daily basis, via application of effective interest method.
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) d) Foreign currency translation (continued)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
Interest income and interest expense include accretion of market discount, custody sweeps, original issue discounts and amortization of premiums and is recorded over the life of the underlying investment. Negative yield expense on financial assets relates to interest expense resulting from a negative effective interest rate on Bonds, commercial papers, reverse repurchase agreements and time deposits. This expense is disclosed in the Statement of Comprehensive Income. k) Expenses All expenses recognised in the Statement of Comprehensive Income are on an accrual basis. l) Transaction costs Transaction costs are costs incurred to acquire financial assets or liabilities at fair value through profit or loss. They include the fees and commissions paid to agents, advisers, brokers and dealers. Due to the nature of the securities traded by the Sub-Funds, transaction costs are included in the purchase price of the securities and are not separately identifiable. Transaction costs are recognised within net gains and losses on financial assets and liabilities at fair value through profit or loss. m) Other assets and liabilities Other assets and liabilities are measured at amortised cost in the Statement of Financial Position. n) Share class allocations Sub-Funds level income, expenses provisions, accruals and changes in values are allocated between classes using an allocation ratio representing the proportion of the Sub-Funds nominally owned by each class. In addition, class specific movements, such as class fees and charges are applied to just the appropriate class. Subscriptions, redemptions and gains or losses on share class are applied as class specific items.
3. RECEIVABLES Aviva Investors Euro Liquidity Fund Aviva Investors Sterling Government Liquidity Fund 31 March 2023 EUR
31 March 2022 EUR
31 March 2023 GBP
31 March 2022 GBP Interest receivable 3,063,552 279,121 1,449,848 836,897 Management fee rebate receivable 21,992 – 237,996 113,172 Total 3,085,544 279,121 1,687,844 950,069 Aviva Investors Sterling Liquidity Fund Aviva Investors Sterling Liquidity Plus Fund 31 March 2023 GBP
31 March 2022 GBP
31 March 2023 GBP
31 March 2022 GBP Interest receivable 68,957,573 14,809,503 7,334,805 2,595,923 Sale of securities awaiting settlement – – 16,064,100 21,194,745 Subscription of shares awaiting settlement 390,994 50,554 – Management fee rebate receivable – 43,780 46,958 42,327 Total 69,348,567 14,903,837 23,445,863 23,832,995 Aviva Investors US Dollar Liquidity Fund Company Total 31 March 2023 USD
31 March 2022 USD
31 March 2023 GBP
31 March 2022 GBP Interest receivable 1,198,430 210,949 81,389,196 18,616,783 Sale of securities awaiting settlement 29,995,975 – 40,305,231 21,194,745 Subscription of shares awaiting settlement 160,132 13,277 520,404 60,669 Management fee rebate receivable 114,589 6 396,874 199,284 Total 31,469,126 224,232 122,611,705 40,071,481 4. PAYABLES Aviva Investors Euro Liquidity Fund Aviva Investors Sterling Government Liquidity Fund 31 March 2023 EUR 31 March 2022 EUR 31 March 2023 GBP 31 March 2022 GBP Purchase of securities awaiting settlement 14,918,285 57,053,209 298,311,108 68,690,395 Distribution to shareholders 368 – – Management fees payable 1,352 53,112 12,815 29 Other payables – 501,819 – Total 14,920,005 57,608,140 298,323,923 68,690,424 Aviva Investors Sterling Liquidity Fund Aviva Investors Sterling Liquidity Plus Fund 31 March 2023 GBP 31 March 2022 GBP 31 March 2023 GBP 31 March 2022 GBP Purchase of securities awaiting settlement – 649,542,221 56,020,955 13,768,690 Distribution to shareholders 65,411,232 9,676,422 – Management fees payable 588,140 629,346 51,201 52,891 Other payables – – 3,328 Total 65,999,372 659,847,989 56,075,484 13,821,581
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) j) Interest income and interest expense (continued)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
Aviva Investors US Dollar Liquidity Fund Company Total 31 March 2023 USD
31 March 2022 USD
31 March 2023 GBP
31 March 2022 GBP Purchase of securities awaiting settlement 54,914,604 – 411,813,475 780,241,104 Distribution to shareholders 4,188,161 183,138 68,796,201 9,815,947 Management fees payable 23 62,195 653,362 774,557 Other payables – – 3,328 424,300 Total 59,102,788 245,333 481,266,366 791,255,908
5. OPERATING INCOME Aviva Investors Euro Liquidity Fund Aviva Investors Sterling Government Liquidity Fund 31 March 2023 EUR 31 March 2022 EUR 31 March 2023 GBP 31 March 2022 GBP Bond interest income 201,269 – 29,674,991 325,451 Dividend income – – – Income from liquidity instruments 24,652,944 – – Income from reverse repurchase agreements – – 87,732,023 4,648,874 Other interest income 521,359 – 113,279 Total 25,375,572 – 117,520,293 4,974,325 Aviva Investors Sterling Liquidity Fund Aviva Investors Sterling Liquidity Plus Fund 31 March 2023 GBP 31 March 2022 GBP 31 March 2023 GBP 31 March 2022 GBP Bond interest income 13,618,061 364,439 30,408,847 10,323,576 Dividend income – – 1,699,647 166,361 Income from liquidity instruments 364,156,419 33,902,146 13,091,589 1,824,620 Income from reverse repurchase agreements 27,585,911 4,175,446 76,644 17,438 Other interest income 15,924,125 1,064,372 686,645 27,126 Total 421,284,516 39,506,403 45,963,372 12,359,121 Aviva Investors US Dollar Liquidity Fund Company Total 31 March 2023 USD 31 March 2022 USD 31 March 2023 GBP 31 March 2022 GBP Bond interest income – 6,267 73,875,816 11,018,054 Dividend income – – – Income from liquidity instruments 25,485,228 1,773,202 419,713,550 37,024,927 Income from reverse repurchase agreements – 48 115,394,578 8,841,793 Other interest income 695,294 27,269 17,751,927 1,111,462 Total 26,180,522 1,806,786 626,735,871 57,996,236 6. NET GAINS/(LOSSES) ON FINANCIAL ASSETS/LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS Aviva Investors Euro Liquidity Fund Aviva Investors Sterling Government Liquidity Fund 31 March 2023 EUR 31 March 2022 EUR 31 March 2023 GBP 31 March 2022 GBP Net realised gains/(losses) on investments in securities 206,280 (1,535) (499,525) 76,734 Net change in unrealised gains/(losses) on investments in securities (313,293) (324,176) (1,351) (116,323) Total (107,013) (325,711) (500,876) (39,589) Aviva Investors Sterling Liquidity Fund Aviva Investors Sterling Liquidity Plus Fund 31 March 2023 GBP 31 March 2022 GBP 31 March 2023 GBP 31 March 2022 GBP Net realised gains/(losses) on investments in securities (1,330,991) (64,960) (3,779,595) (164,728) Net change in unrealised gains/(losses) on investments in securities 10,487,285 (13,239,074) (218,065) (6,965,578) Total 9,156,294 (13,304,034) (3,997,660) (7,130,306) Aviva Investors US Dollar Liquidity Fund Company Total 31 March 2023 USD 31 March 2022 USD 31 March 2023 GBP 31 March 2022 GBP Net realised gains/(losses) on investments in securities 580,033 2,056 (4,950,205) (152,754) Net change in unrealised gains/(losses) on investments in securities 592,299 (715,214) 10,488,998 (21,120,327) Total 1,172,332 (713,158) 5,538,793 (21,273,081)
4. PAYABLES (CONTINUED)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
7. OPERATING EXPENSES Aviva Investors Euro Liquidity Fund Aviva Investors Sterling Government Liquidity Fund 31 March 2023 EUR
31 March 2022 EUR
31 March 2023 GBP
31 March 2022 GBP Management fees (806,753) (615,957) (187,926) (103,767) Total (806,753) (615,957) (187,926) (103,767) Aviva Investors Sterling Liquidity Fund Aviva Investors Sterling Liquidity Plus Fund 31 March 2023 GBP 31 March 2022 GBP 31 March 2023 GBP 31 March 2022 GBP Management fees (4,672,273) (5,200,245) (287,103) (336,588) Total (4,672,273) (5,200,245) (287,103) (336,588) Aviva Investors US Dollar Liquidity Fund Company Total 31 March 2023 USD 31 March 2022 USD 31 March 2023 GBP 31 March 2022 GBP Management fees (656,761) (746,243) (6,389,791) (6,710,858) Total (656,761) (746,243) (6,389,791) (6,710,858) 8. FEES AND EXPENSES The total fees and expenses of the Sub-Funds to be borne by each class of Share will currently be limited by the Manager to an amount equivalent to the fees payable to the Manager as set out below (the "Fixed Rates"). The Fixed Rates as per the Prospectus, during the financial year ended 31 March 2023 and 31 March 2022 were as follows: Sub Fund Basis Points Aviva Investors Euro Liquidity Fund Class 1 20 bps Class 2 15 bps Class 3 10 bps Class 5 0 bps Class 6* 20 bps Class 7* 15 bps Class 8* 10 bps Class 9* 0 bps Aviva Investors Sterling Government Liquidity Fund Class 5 20 bps Class 6 15 bps Class 7 10 bps Class 8 0 bps Aviva Investors Sterling Liquidity Fund Class 1 20 bps Class 2 15 bps Class 3 10 bps Class 9 0 bps Aviva Investors Sterling Liquidity Plus Fund Class 1 20 bps Class 2 15 bps Class 3 10 bps Class 4 0 bps Aviva Investors US Dollar Liquidity Fund Class 1 20 bps Class 2 15 bps Class 3 10 bps Class 4 0 bps *Launched on 1 March 2023. The Prospectus of the Company sets out a comprehensive disclosure of the fees and expenses. Fees will be accrued on each dealing day, be payable monthly in arrears and be calculated with reference to the average net assets of the Sub-Fund on a monthly basis (i.e. which equals the aggregate of the net assets of the Sub-Fund on each dealing day during a calendar month divided by the number of dealing days in that calendar month).
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
MANAGEMENT FEES The Manager will absorb (directly by first the rebate of its fees and to the extent necessary reimbursing the other operating costs of each class of shares), any additional fees, ordinary costs or expenses that may arise in respect of the actual cost of management and operation of the Company attributable to each class of share. The fees payable to the Directors, the Depositary, the Administrator, the Investment Manager and the Distributor are paid by the Manager out of its fee. The rebate from the Manager is reflected in Management fee rebate receivable in Note 3 and included in Management fee in Note 7. Directors’ Fees For the financial year ended 31 March 2023 and 31 March 2022, Anthony Callcott and Martin Bell received no fees, as they are not entitled to receive remuneration. Martin Nolan and Tim Madigan (both resigned on 8 June 2022) earned fees of EUR 12,154 in aggregate for the financial year ended 31 March 2023 (31 March 2022: EUR 65,000). Denise Kinsella and Deirdre Gormley earned fees of EUR 110,000 in aggregate for the financial year ended 31 March 2023 (31 March 2022: EUR 7,233). Auditors’ Remuneration For the financial year ended 31 March 2023, fees of EUR 87,681 (excluding VAT and out of pocket expenses) (31 March 2022: EUR 81,186) were payable to the auditors and related entirely to the statutory audit of the financial statements of the Company. There were no other assurance services or other non-audit services provided as the auditor of the Company.
9. CASH AND CASH EQUIVALENTS Cash balances are held with JP Morgan Chase Bank, National Association, London branch, ("J.P. Morgan London") as at 31 March 2023 and 31 March 2022. The Depositary does not have a credit rating; however, its parent company J.P. Morgan Chase Bank N.A. has a long-term credit rating from Moody's for 31 March 2023: A2 (31 March 2022: A2).
10. TAXATION Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended (the “TCA”). On that basis, it is not chargeable to Irish tax on its income or gains. However, Irish tax can arise on the happening of a "chargeable event" in the Company. A chargeable event includes for example any distribution payments to shareholders, or any encashment, redemption, cancellation, or transfer of shares or a deemed disposal of shares for Irish tax purposes, arising as a result of holding shares in the Company for a period of eight years or more, or the appropriation or cancellation of shares of a shareholder by the Company for the purposes of meeting the amount of tax payable on a gain arising on a transfer. No Irish tax will arise on the Company in respect of chargeable events in respect of: a) A shareholder is neither resident in Ireland nor ordinarily resident in Ireland (“Non-Irish Resident”) for tax purposes and it (or an intermediary acting on its behalf) has made the necessary declaration to that effect and the Company is not in possession of any information which would reasonably suggest that the information contained in the declaration is not, or is no longer, materially correct; or b) A shareholder is Non-Irish Resident and has confirmed that to the Company and the Company is in possession of written notice of approval from the Revenue Commissioners to the effect that the requirement to provide the necessary declaration of non-residence has been complied with in respect of the shareholder and the approval has not been withdrawn; or c) A shareholder is an exempt Irish Resident; or d) A transfer by a shareholder of shares to a spouse or former spouse, subject to certain conditions; or e) An exchange of Shares arising on a qualifying amalgamation or reconstruction (within the meaning of Section 739H of the Taxes Act) of the Company with another investment undertaking. Dividends, interest and capital gains (if any) received on investments made by the Company may be subject to withholding taxes imposed by the country from which the investment income/gains are received and such taxes may not be recoverable by the Company or its shareholders. UK Reporting Fund Status For 31 March 2023, Classes 1, 2 and 3 of the Aviva Investors Euro Liquidity Fund, Classes 5, 6 and 7 of Aviva Investors Sterling Government Liquidity Fund, Classes 1, 2, 3 and 9 of Aviva Investors Sterling Liquidity Fund, Classes 1, 2, 3 and 4 of Aviva Investors Sterling Liquidity Plus Fund and Classes 1, 2, 3 and 4 of Aviva Investors US Dollar Liquidity Fund have been approved as Reporting Funds by HM Revenue and Customs under the provisions of the Offshore (Tax) Regulations 2009. For 31 March 2022, Classes 1, 2 and 3 of the Aviva Investors Euro Liquidity Fund, Classes 5, 6 and 7 of Aviva Investors Sterling Government Liquidity Fund, Classes 1, 2, 3 and 9 of Aviva Investors Sterling Liquidity Fund, Classes 1, 2, 3 and 4 of Aviva Investors Sterling Liquidity Plus Fund and Classes 1, 2, 3 and 4 of Aviva Investors US Dollar Liquidity Fund have been approved as Reporting Funds by HM Revenue and Customs under the provisions of the Offshore (Tax) Regulations 2009. As a Reporting Fund for UK tax purposes the Sub-Funds are required to report their reported income within six months of the end of the accounts financial year. The Sub-Funds intend to publish the relevant shareholder information, as required by HM Revenue & Customs under the provisions of The Offshore Funds (Tax) Regulations 2009, on the Aviva Investors website on an annual basis within six months of the Company’s financial year end, being 31 March. A hard copy of the reported income statement may be obtained from the Investment Manager at the address on page 3 of this report.
8. FEES AND EXPENSES (CONTINUED)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
11. SHARE CAPITAL Authorised The authorised share capital of the Company is comprised of 1,000,000,000,000 Redeemable Participating Shares of no par value initially designated as unclassified shares, which have subsequently been classified as Class 1, Class 2, Class 3, Class 4, Class 5, Class 6, Class 7, Class 8 and Class 9 shares, and 40,000 subscriber shares of EUR 1 each. Share Capital The issued share capital of the Company is EUR 40,000 represented by 40,000 subscriber shares at an issue price of EUR 1 per share of which EUR 10,000 has been paid up. As they are not designated as redeemable participating shares, they do not form part of the net asset value of the Company.
Redeemable Participating Shares The Redeemable Participating Shares issued by the Company are freely transferable and are entitled to participate equally in the profits and dividends of the Company and its assets upon liquidation. Although each Sub-Fund will be treated as bearing its own liabilities, the Company as a whole will remain liable to third parties for all of the liabilities of the Company. The Redeemable Participating Shares, which are of no par value and which must be fully paid-up on issue, carry no preferential or pre-emptive rights. The Redeemable Participating Shares are entitled to one vote each at all meetings of the relevant class of shareholders. All shares of each Sub-Fund rank pari passu. Limitations on Redemptions The Company may not redeem Shares of any Sub-Fund during any period when the calculation of the Net Asset Value of the relevant Sub-Fund is suspended in the manner described under “Suspension of Calculation of Net Asset Value” as per the prospectus. Applicants for redemptions of Shares will be notified of such postponement and, unless withdrawn, their applications will be considered as at the next dealing day following the ending of such suspension. The Directors are entitled to limit the number of Shares of any Sub-Fund repurchased on any dealing day to Shares representing 10 per cent of the total Net Asset Value of that Sub-Fund on that dealing day (for LVNAV Sub-Funds, such gate may apply for up to 15 Business Days at a time). In this event, the limitation will apply pro rata so that all Shareholders wishing to have Shares of that Sub-Fund redeemed on that dealing day realise the same proportion of such Shares. Shares not redeemed, but which would otherwise have been redeemed, will be carried forward for redemption on the next dealing day. If requests for redemption are so carried forward, the Administrator will inform the Shareholders affected. The Articles of Association of the Company contain special provisions where a redemption request received from a Shareholder would result in Shares representing more than five per cent of the Net Asset Value of any Sub-Fund being redeemed by the Company on any dealing day. In such a case, the Company may satisfy the redemption request by a distribution of investments of the relevant Sub-Fund in specie provided that such a distribution would not be prejudicial to the interests of the remaining Shareholders of that Sub-Fund. Where the Shareholder requesting such redemption receives notice of the Company’s intention to elect to satisfy the redemption request by such a distribution of assets that Shareholder may require the Company instead of transferring those assets to arrange for their sale and the payment of the proceeds of sale to that Shareholder less any costs incurred in connection with such sale. The Articles of Association of the Company provide that the Company cannot effect a redemption of Shares, if after payment of any amount in connection with such redemption, the Net Asset Value of the issued share capital of the Company would be equal to or less than Euro 40,000 or its foreign currency equivalent. This will not apply to a redemption request accepted by the Directors in contemplation of the dissolution of the Company.
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
The movement in the number of Redeemable Participating Shares during the financial year ended 31 March 2023 is as follows: Balance at the beginning of the year Issued during the year
Redeemed during the year Balance at the end of the year Aviva Investors Euro Liquidity Fund Class 1 403 – – 403 Class 2 407 – – 407 Class 3 10,155,824 37,513,081 (38,906,598) 8,762,307 Class 5 25,054,351 51,118,838 (56,253,198) 19,919,991 Class 6 – 400 – 400 Class 7 – 400 – 400 Class 8 – 400 – 400 Class 9 – 400 – 400
Aviva Investors Sterling Government Liquidity Fund Class 5 40 – – 40 Class 6 40 33,355 (177) 33,218 Class 7 102,097 1,090,241 (1,191,658) 680 Class 8 6,443,763 33,681,118 (35,203,449) 4,921,432
Aviva Investors Sterling Liquidity Fund Class 1 2,403,638 250,064 – 2,653,702 Class 2 12,959,001 97,168,717 (107,225,712) 2,902,006 Class 3 5,021,881,292 36,224,020,855 (36,041,622,740) 5,204,279,407 Class 9 17,928,481,796 48,297,467,513 (53,584,061,345) 12,641,887,964
Aviva Investors Sterling Liquidity Plus Fund Class 1 929 – – 929 Class 2 900 – – 900 Class 3 183,048 517,812 (500,921) 199,939 Class 4 1,803,158 641,210 (1,247,014) 1,197,354
Aviva Investors US Dollar Liquidity Fund Class 1 40,000 – – 40,000 Class 2 40,000 – – 40,000 Class 3 885,857,154 6,233,303,321 (6,458,702,157) 660,458,318 Class 4 260,700,423 1,912,608,844 (1,855,800,000) 317,509,267
11. SHARE CAPITAL (CONTINUED)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
The movement in the number of Redeemable Participating Shares during the financial year ended 31 March 2022 is as follows: Balance at the beginning of the year Issued during the year
Redeemed during the year Balance at the end of the year Aviva Investors Euro Liquidity Fund Class 1 9,000 – (8,597) 403 Class 2 9,000 – (8,593) 407 Class 3 5,382,971 34,448,227 (29,675,374) 10,155,824 Class 5 13,483,954 53,733,407 (42,163,010) 25,054,351
Aviva Investors Sterling Government Liquidity Fund Class 5 40 – – 40 Class 6 40 – – 40 Class 7 165,107 196,121 (259,131) 102,097 Class 8 4,429,438 33,438,214 (31,423,889) 6,443,763
Aviva Investors Sterling Liquidity Fund Class 1 20,298,926 267,982 (18,163,270) 2,403,638 Class 2 28,659,001 9,000,000 (24,700,000) 12,959,001 Class 3 5,942,373,669 31,621,059,178 (32,541,551,555) 5,021,881,292 Class 9 19,199,244,021 49,869,016,423 (51,139,778,648) 17,928,481,796
Aviva Investors Sterling Liquidity Plus Fund Class 1 900 30 (1) 929 Class 2 900 31,654 (31,654) 900 Class 3 239,198 80,097 (136,247) 183,048 Class 4 1,512,336 423,815 (132,993) 1,803,158
Aviva Investors US Dollar Liquidity Fund Class 1 – 80,000 (40,000) 40,000 Class 2 – 80,000 (40,000) 40,000 Class 3 914,780,971 7,035,356,133 (7,064,279,950) 885,857,154 Class 4 355,689,988 1,296,300,423 (1,391,289,988) 260,700,423
Refer to Note 17 for distributions to shareholders.
12. RELATED PARTY TRANSACTIONS Related parties to the Company include the Investment Manager, the Manager, Directors and Aviva Group which is a related party of the Investment Manager. The Investment Manager is the beneficial owner of 39,993 (31 March 2022: 39,993) subscriber shares issued by the Company, which do not form part of the net asset value of the Company. The Investment Manager and the Sub- Investment Manager are related parties. The Investment Manager earned fees of GBP 6,389,791 in aggregate for the financial year ended 31 March 2023 (31 March 2022: GBP 6,710,858) out of which GBP 653,362 (31 March 2022: GBP 774,557) was payable at the year end. At year end, Anthony Callcott and Martin Bell are employees of the Investment Manager. Tim Madigan, Martin Nolan (both resigned on 8 June 2022), Denise Kinsella and Deirdre Gormley are independent directors. Further details of Directors’ remuneration are disclosed in Note 8. Aviva Group is a related party of the Investment Manager. As at 31 March 2023, Aviva Group Holdings Limited made a subscription of £ 770,377,171 into Share Class 5 of Aviva Investors Euro Liquidity Fund, £ 19,200,000 into Share Class 9 of Aviva Investors Sterling Liquidity Fund , £ 1,320,889,384 into Share Class 8 of Aviva Investors Sterling Government Liquidity Fund and £ 3,600,000 into Share Class 4 of Aviva Investors USD Liquidity Fund.
11. SHARE CAPITAL (CONTINUED)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
The table below shows the percentage ownership of issued shared capital of the Sub-Funds, by related Aviva entities:
31 March 2023 31 March 2022 % % Aviva Investors Euro Liquidity Fund Aviva Group Holdings Limited 33.55 38.08 Aviva Insurance Ireland Designated Activity Company 4.39 4.31 Aviva Insurance Limited 0.98 0.22 Aviva Investors Holdings Limited 0.01 Aviva Investors Luxembourg 13.50 14.60 Aviva Life & Pensions Ireland Designated Activity Company 39.62 34.68 Aviva Life & Pensions UK Limited 6.02 5.78 Aviva Plc 0.01 0.03 Aviva Staff Pension Trustee Limited* 0.24 0.11 Aviva Trustee Company Ireland Designated Activity Company 1.41 1.84 Total 99.73 99.65 Aviva Investors Sterling Government Liquidity Fund Aviva Equity Release UK Limited – 1.46 Aviva ERFA 15 UK Limited 4.68 Aviva Group Holdings Limited 0.51 29.06 Aviva Insurance Limited 3.90 Aviva International Insurance Limited 2.66 15.68 Aviva Investors Global Services Limited 1.11 Aviva Investors Holdings Limited 0.26 Aviva Investors Luxembourg 3.17 Aviva Investors Pensions Limited 0.10 Aviva Investors UK Fund Services Limited 4.50 Aviva Life & Pensions UK Limited 71.25 49.93 Aviva Life Holdings UK Limited 1.67 Aviva Life Services UK Limited 0.38 Aviva Plc – 3.77 Aviva Staff Pension Trustee Limited* 2.44 Friends Life Holdings Plc – 0.10 Friends Provident Pension Scheme Trustee Limited 0.41 Total 97.04 100.00 Aviva Investors Sterling Liquidity Fund Aviva ERFA 15 UK Limited 4.68 2.42 Aviva Group Holdings Limited 0.51 10.71 Aviva Insurance Limited 3.90 8.15 Aviva International Insurance Limited 2.66 1.34 Aviva Investors Global Services Limited 1.11 0.77 Aviva Investors Holdings Limited 0.26 0.02 Aviva Investors Luxembourg 3.17 0.90 Aviva Investors Pensions Limited 0.10 0.13 Aviva Investors UK Fund Services Limited 4.50 6.62 Aviva Life & Pensions UK Limited 71.25 63.26 Aviva Life Holdings UK Limited 1.67 0.11 Aviva Life Services UK Limited 0.38 0.35 Aviva Staff Pension Trustee Limited* 2.44 3.28 Friends Provident Pension Scheme Trustee Limited 0.41 0.51 Total 97.04 98.57 Aviva Investors Sterling Liquidity Plus Fund Aviva Investors Holdings Limited 0.15 0.10 Aviva Life & Pensions UK Limited 99.85 99.90 Total 100.00 100.00 Aviva Investors US Dollar Liquidity Fund Aviva Group Holdings Limited 0.39 0.13 Aviva Insurance Limited 7.37 4.28 Aviva Investors Global Services Limited 0.01 0.01 Aviva Investors Holdings Limited 0.03 0.05 Aviva Investors Luxembourg 59.21 76.79 Aviva Investors UK Fund Services Limited 5.95 0.17 Aviva Life & Pensions UK Limited 26.47 18.57 Aviva Life Holdings UK Limited 0.56 Total 99.99 100.00 * Aviva Staff Pension Trustee Limited is a related party to the Company. Income earned of GBP 6,835,775 (31 March 2022: GBP 2,439,440) is included in Income from reverse repurchase agreements in Note 5. Refer to schedule of investments for details of this position.
12. RELATED PARTY TRANSACTIONS (CONTINUED)
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Cross Holdings within Company At 31 March 2023, the market value of the cross holdings investments held by Aviva Investors Sterling Liquidity Plus Fund in Aviva Investors Sterling Liquidity Fund was GBP 52,812,823 (31 March 2022: GBP 14,112,823) and these have been eliminated on Company total in the Statement of Financial Position. Proceeds from issue of shares and payments on redemption of shares have been eliminated in the Statement of Changes in Net Assets Attributable to Shareholders. Dividend Income of GBP 1,699,647 (31 March 2022: GBP 166,361) on this investment is eliminated on Company total in the Statement of Comprehensive Income and the corresponding impact on Receivables GBP 12,184 (31 March 2022: GBP 22,256) and Cash and Cash Equivalents GBP 1,687,463 (31 March 2022: GBP 144,105) has also been eliminated in the Company total in Statement of Financial Position. For the financial year ended 31 March 2023, 1,488,800,000 shares were purchased at the fair value of GBP 1,488,800,000 (31 March 2022: 841,400,000 shares at the fair value of GBP 841,400,000) and 1,450,100,000 shares were sold at the fair value of GBP 1,450,100,000 (31 March 2022: 1,009,500,000 shares at the fair value of GBP 1,009,500,000).
13. RISK MANAGEMENT The Directors and the Manager have responsibility to establish and maintain processes to identify and manage risks in relation to financial risk management. The Company relies on the risk management and internal control systems established by the Manager which are designed to identify and manage risks in achieving the Company’s financial reporting objectives. The Company’s investment activities expose it to a variety of financial risks: market risk (mainly interest rate risk), credit risk and liquidity risk. The Manager’s risk management policy seeks to minimise potential adverse effects on the Company’s financial performance. The global exposure of the Sub-Fund relating to financial derivative instruments must not exceed its total net asset value. The Company’s investment objectives are outlined in Note 1. a) Market price risk Market risk arises mainly from uncertainty about future prices for financial instruments held. It represents the potential loss the Company might suffer through holding a particular security or securities in the face of price movements. The Investment Manager manages the asset allocations of the portfolios in order to control the risks associated with particular security types whilst continuing to follow the Company’s investment objectives. The securities in which the Company invests are subject to market fluctuations and other risks inherent in investing in short-term debt and money market securities and instruments of the credit quality allowed by the Prospectus. The value of such securities can go down as well as up. The Company’s market position is monitored on a daily basis by the Company’s Manager and is reviewed, in broad terms, on a quarterly basis by the Board. Details of the nature of the Company’s investment portfolio at the Statement of Financial Position date are disclosed in the Portfolios of Investments. In pursuing its objectives, as set out in Note 1, the Company may hold a number of financial instruments: commercial papers, floating rate notes, certificates of deposits, freely transferable promissory notes, debentures, asset-backed securities and bonds, cash, liquid resources and short term debtors and creditors that arise directly from the Company’s operations. The Company has no financial liabilities other than short-term creditors and net assets attributable to Shareholders. b) Currency risk Although the functional currency of the Company is Sterling Pound, it may invest in investments denominated in currencies other than Sterling Pound. The functional currency of all Sub-Funds is also Sterling Pound except for Aviva Investors Euro Liquidity Fund which has Euro as its functional currency and Aviva Investors US Dollar Liquidity Fund which has USD as a functional currency. The Sub-Funds do not hold any non functional currency denominated investments as at 31 March 2023 and 31 March 2022. c) Interest rate risk The Investment Manager manages interest rate risk by monitoring the weighted average maturity of the portfolios. The Investment Manager positions the weighted average maturity of the portfolios in a way to benefit or minimise the effects from the expected movements in short term interest rates. The shorter the weighted average maturity, the lower the effect that interest rates movement has on the portfolios. The weighted average maturity of the portfolios are monitored on a daily basis by the Investment Manager and the Depositary (periodic controls in an oversight capacity) and reviewed on a quarterly basis by the Board. Sub-Funds hold both floating and fixed interest rate debt securities. Fixed interest rate securities are more interest rate sensitive and may be subject to price volatility due to factors including, but not limited to, changes in interest rates, market perception of the creditworthiness of the issuer and general market liquidity. The magnitude of these fluctuations will normally be greater when the maturity of the outstanding securities is longer. An increase in interest rates will generally reduce the value of these securities, while a decline in interest rates will generally increase the value. The performance of a portfolio which invests in securities paying fixed rates will therefore depend in part on the ability of the Investment Manager to anticipate and respond to such fluctuations on market interest rates and to utilise appropriate strategies to maximise returns, while attempting to minimise the associated risks to capital. The interest rate profile of fixed rate financial assets as at 31 March 2023 and 31 March 2022 are as follows: Weighted Average Interest Rate (%) Weighted Average Period until maturity (days) Weighted Average Interest Rate (%) Weighted Average Period until maturity (days) 31 March 2023 31 March 2023 31 March 2022 31 March 2022 Aviva Investors Euro Liquidity Fund 3.29 18 (0.16) 47 Aviva Investors Sterling Government Liquidity Fund 1.50 9 0.39 16 Aviva Investors Sterling Liquidity Fund 2.86 39 0.50 44 Aviva Investors US Dollar Liquidity Fund 2.74 22 0.27 23 The investment restrictions noted below relate to all financial assets (both fixed and floating):
12. RELATED PARTY TRANSACTIONS (CONTINUED)
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WAM is calculated based on average of maturities in portfolio until the following interest rate readjustment takes place then before full repayment of principal (WAM is used to measure interest rate & market changes). WAL is considered for average of maturities in portfolio but until the principal is fully repaid (WAL is used to capture liquidity/credit changes and does not embed interest rate adjustments). Aviva Investors Euro Liquidity Fund, Aviva Investors Sterling Government Liquidity Fund, Aviva Investors Sterling Liquidity Fund and Aviva Investors US Dollar Liquidity Fund are permitted to invest in securities with residual maturities of 397 days or less. Any investments with maturities beyond 397 days (and less or equal to 2 years) in length must be a floating rate notes. The Sub-Funds must maintain a weighted average maturity (“WAM”) of no more than 60 days. The weighted average life (“WAL”) of the Sub-Fund’s investment will not exceed 120 days. Aviva Investors Sterling Liquidity Plus Fund’s maximum final maturity for fixed rate securities is up to 10 years in respect of each individual issue. Any investments with maturities beyond 12 months in length must be a floating rate notes for which the maximum maturity will be seven years. The SubFund must maintain a weighted average maturity of no more than 365 days. The maturity analysis of the portfolios as at 31 March 2023 is as follows: Less than 1 month 1 to 3 months 3 months to 1 year More than 1 year Total Aviva Investors Euro Liquidity Fund EUR EUR EUR EUR EUR Fixed rate instruments 1,491,209,284 599,631,212 641,563,494 – 2,732,403,990 Floating rate instruments – – 15,427,116 – 15,427,116 Total 1,491,209,284 599,631,212 656,990,610 – 2,747,831,106 Aviva Investors Sterling Government Liquidity Fund GBP GBP GBP GBP GBP Fixed rate instruments 4,330,739,956 932,891,373 98,938,096 – 5,362,569,425 Total 4,330,739,956 932,891,373 98,938,096 – 5,362,569,425 Aviva Investors Sterling Liquidity Fund GBP GBP GBP GBP GBP Fixed rate instruments 7,096,366,305 4,170,594,917 5,132,203,692 – 16,399,164,914 Floating rate instruments – – 655,388,087 85,000,000 740,388,087 Total 7,096,366,305 4,170,594,917 5,787,591,779 85,000,000 17,139,553,001 Aviva Investors Sterling Liquidity Plus Fund GBP GBP GBP GBP GBP Fixed rate instruments 220,420,214 99,478,878 302,052,916 – 621,952,008 Floating rate instruments – – 163,890,986 806,335,723 970,226,709 Total 220,420,214 99,478,878 465,943,902 806,335,723 1,592,178,717 Aviva Investors US Dollar Liquidity Fund USD USD USD USD USD Fixed rate instruments 518,726,813 209,765,611 211,895,125 – 940,387,549 Floating rate instruments 10,003,335 – 30,003,341 – 40,006,676 Total 528,730,148 209,765,611 241,898,466 – 980,394,225 The maturity analysis of the portfolios as at 31 March 2022 is as follows: Less than 1 month 1 to 3 months 3 months to 1 year More than 1 year Total Aviva Investors Euro Liquidity Fund EUR EUR EUR EUR EUR Fixed rate instruments 1,359,639,961 825,106,280 1,038,182,169 – 3,222,928,410 Floating rate instruments 39,999,868 54,997,205 89,971,949 – 184,969,022 Total 1,399,639,829 880,103,485 1,128,154,118 – 3,407,897,432 Aviva Investors Sterling Government Liquidity Fund GBP GBP GBP GBP GBP Fixed rate instruments 5,376,354,952 159,553,273 1,014,170,227 – 6,550,078,452 Total 5,376,354,952 159,553,273 1,014,170,227 – 6,550,078,452 Aviva Investors Sterling Liquidity Fund GBP GBP GBP GBP GBP Fixed rate instruments 8,574,683,837 5,073,129,816 7,042,773,588 – 20,690,587,241 Floating rate instruments – – 2,205,032,799 – 2,205,032,799 Total 8,574,683,837 5,073,129,816 9,247,806,387 – 22,895,620,040 Aviva Investors Sterling Liquidity Plus Fund GBP GBP GBP GBP GBP Fixed rate instruments 206,973,516 41,959,355 660,448,888 – 909,381,759 Floating rate instruments – – 195,292,688 1,107,587,979 1,302,880,667 Total 206,973,516 41,959,355 855,741,576 1,107,587,979 2,212,262,426 Aviva Investors US Dollar Liquidity Fund USD USD USD USD USD Fixed rate instruments 616,393,214 174,866,177 209,934,825 – 1,001,194,216 Floating rate instruments – – 119,818,602 – 119,818,602 Total 616,393,214 174,866,177 329,753,427 – 1,121,012,818 During the financial year ended 31 March 2023 and 31 March 2022, there were no changes in the policies and processes for managing interest rate risk. The following sets out the estimated impact to each Sub-Fund’s net assets attributable to shareholders should interest rates have fallen/risen by 1 basis point with all other variables remaining constant. The Directors deem 1 basis point reasonable for sensitivity analysis for interest movement. Currency 31 March 2023 31 March 2022 Aviva Investors Euro Liquidity Fund EUR 14,732 47,830 Aviva Investors Sterling Government Liquidity Fund GBP 18,008 44,939 Aviva Investors Sterling Liquidity Fund GBP 201,889 320,598 Aviva Investors Sterling Liquidity Plus Fund GBP 23,798 53,645 Aviva Investors US Dollar Liquidity Fund USD 5,334 5,941
13. RISK MANAGEMENT (CONTINUED) c) Interest rate risk (continued)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
The sensitivity analysis for interest rate movements may be unrepresentative, because the financial year end exposure may not reflect exposure during the financial year. Under the terms of the Prospectus, Aviva Investors Euro Liquidity Fund, Aviva Investors Sterling Government Liquidity Fund, Aviva Investors Sterling Liquidity Fund, and Aviva Investors US Dollar Liquidity Fund must have a weighted average maturity of no more than 60 days; Aviva Investors US Dollar Liquidity Fund maintained a maximum duration of no more than 2 years and Aviva Investors Sterling Liquidity Plus Fund must maintain a weighted average maturity of no more than 365 days given a modified duration for each of the Sub-Funds in relation to weighted average maturity. The weighted average maturity of the Sub-Funds may change throughout the financial year, therefore the sensitivity that the portfolio had to movements in interest rates on 31 March 2023 and 31 March 2022, could be significantly different from the sensitivity at other points of the financial year. Cash and cash equivalents and Receivables are not significantly exposed to interest rate risk, given cash is held on deposit with very low rates of interest on offer as well as receivables then being non interest bearing. d) Credit risk Credit risk is the risk that a counterparty or issuer of a security is unable or unwilling to pay the contractual interest or principal on its debt obligations. Credit risk is managed by investing exclusively in highly rated securities and spreading the investments among a portfolio of securities issued by different entities, as permitted by the Prospectus. Aviva Investors Euro Liquidity Fund is managed according to the restrictions imposed by Moody’s in order to maintain an overall credit rating of Aaa/mf. Aviva Investors Sterling Government Liquidity Fund is managed according to the restrictions imposed by Moody’s in order to maintain an overall credit rating of Aaa/mf and restrictions imposed by Standard & Poor’s in order to maintain an overall credit rating of AAAm. Aviva Investors Sterling Liquidity Fund is managed according to the restrictions imposed by Moody’s in order to maintain an overall credit rating of Aaa/ mf and restrictions imposed by Standard & Poor’s in order to maintain an overall credit rating of AAAm. Aviva Investors Sterling Liquidity Plus Fund is managed according to the restrictions imposed by Moody’s in order to maintain an overall credit rating of Aaa/bf. Aviva Investors US Dollar Liquidity Fund is managed according to the restrictions imposed by recognized rating agencies in order to maintain an overall credit rating of Aaa. The Company’s position and the weightings of each particular issuer within the portfolio is monitored on a daily basis by the Investment Manager and Manager and reviewed by the Board on a quarterly basis. The Company is exposed to the credit risk of the counterparties with which, or the brokers and dealers and exchanges through which, the Investment Manager deals on behalf of the Company. The Investment Manager transacts with dealers that have a sound financial position and continuously monitors the financial standings of such counterparties. To minimise the risk of a counterparty failing to meet its obligations under reverse repurchase agreements, the Company requires that collateral, exceeding the value of its assets exchanged under the agreement is held. The Directors have appointed J.P.Morgan SE - Dublin Branch as a Depositary to the Company pursuant to the Depositary Agreement. The Depositary does not have a credit rating; however, its parent company J.P. Morgan Chase Bank N.A. has a long-term credit rating from Moody's for 31 March 2023: A2 (31 March 2022: A2). As at 31 March 2023, the following counterparty brokers holding reverse repurchase agreements have the below ratings with Moody’s:
31 March 202 3 31 March 2022 Abbey National Treasury Services plc A2 A2 Aviva Staff Pension Trustee Limited* – Aa3 Banco Santander SA A2 A2 Barclays Bank plc A1 A1 BNP Paribas SA Aa3 Aa3 CIBC World Markets Corp. Aa2 Aa2 Citibank NA Aa3 Aa3 Credit Agricole SA Aa2 Aa2 Friends Provident Pension Fund Not rated Not rated HSBC Bank plc – Aa3 MUFG Securities EMEA plc A1 National Australia Bank Ltd. Aa2 Aa2 NatWest Markets plc A2 A2 Royal Bank of Canada Aa1 Aa1 Scotiabank Europe plc – Aa2 Societe Generale SA A1 A1 Standard Chartered plc A3 A3 *Aviva Staff Pension Trustee Limited is a related party to the Company.
Counterparty brokers for time deposits and reverse repurchase agreements are displayed in the Schedules of Investments. During the financial year ended 31 March 2023 and 31 March 2022 there were no changes in the policies and processes for managing credit risk. As at 31 March 2023 and 31 March 2022, the Company did not hold any financial assets that were past due.
13. RISK MANAGEMENT (CONTINUED) c) Interest rate risk (continued)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
Rating categories Changes in the rating category may affect the price of a security. The Investment Manager monitors the ratings of the securities that it invests in, and checks that the investment limits are not breached. The rating of the Sub-Fund is reported on a quarterly basis to the Board. In case of a rating breach, corrective action is taken as soon as possible. As at 31 March 2023, the Company held the following credit rating weights in its portfolio:
As at 31 March 2023 Currency Investment grade % of debt instruments Non-investment grade % of debt instruments Not rated % of debt instruments Total % of debt instruments Aviva Investors Euro Liquidity Fund EUR 100.00 – – 100.00 Aviva Investors Sterling Government Liquidity Fund GBP 100.00 – – 100.00 Aviva Investors Sterling Liquidity Fund GBP 100.00 – – 100.00 Aviva Investors Sterling Liquidity Plus Fund GBP 100.00 – – 100.00 Aviva Investors US Dollar Liquidity Fund USD 100.00 – – 100.00 As at 31 March 2022, the Company held the following credit rating weights in its portfolio:
As at 31 March 2022 Currency Investment grade % of debt instruments Non-investment grade % of debt instruments Not rated % of debt instruments Total % of debt instruments Aviva Investors Euro Liquidity Fund EUR 100.00 – – 100.00 Aviva Investors Sterling Government Liquidity Fund GBP 100.00 – – 100.00 Aviva Investors Sterling Liquidity Fund GBP 100.00 – – 100.00 Aviva Investors Sterling Liquidity Plus Fund GBP 100.00 – – 100.00 Aviva Investors US Dollar Liquidity Fund USD 100.00 – – 100.00 e) Capital risk management The capital of the Sub-Funds is represented by the net assets attributable to the shareholders. The amount of net assets attributable to the shareholders can change significantly on a daily basis as the Sub-Funds are subject to daily subscriptions and redemptions as disclosed in note 11, at the discretion of shareholders. The objective when managing capital is to safeguard the ability to continue as a going concern in order to provide returns for shareholders and benefits for other stakeholders and to maintain a strong capital base to support the development of the investment activities of the Sub-Funds. f) Liquidity risk The Company’s assets comprise transferable securities and money market instruments that are readily realisable. The Investment Manager will normally have an allocation of cash to meet pending liabilities that may arise from time to time. The Company is exposed to daily cash redemptions of redeemable shares. It therefore invests the majority of its assets in investments that can be readily disposed of. The Company invests in transferable securities which are considered to be readily marketable. The Company is subject to a risk that, should it desire to sell them when a ready buyer is not available at a price the Company deems representative of their value, the value of the Company’s net assets could be adversely affected. The Company’s investment portfolio is spread among different maturities. The Investment Manager manages liquidity to ensure the expected daily redemptions can be met. The Investment Manager receives liquidity reports throughout each business day. The report includes purchase and redemptions of shares and gives the Investment Manager the information needed to purchase or sell securities to cover redemptions or to invest excess cash. The Investment Manager monitors the liquidity risk on a daily basis, and informs the Board on a quarterly basis. During the financial years ended 31 March 2023 and 31 March 2022, there were no changes in the policies and processes for managing liquidity risk. In the context of the Russian crisis, the Manager’s risk team has reviewed potential exposure and no direct exposure has been identified. The liabilities at the financial year end have contractual maturities of less than 1 month and the amounts contained in the Statement of Financial Position represent their undiscounted cash flows. All assets held by the Company are current assets and investments are considered to be readily realisable. The weighted average days to maturity of investments in fixed interest securities are disclosed in the interest rate risk section of this note. Liquidity risk and management of the portfolio realisation In order to manage liquidity and in line with the rest of the market, short liquidity on the portfolios has been increased in recognition of the need to be able to meet redemptions. The weekly liquidity numbers on the Sub-Funds have been increased and it is planned to maintain or increase these levels going forward.
14. FAIR VALUE ESTIMATION Under FRS 102, the Company is required to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy has the following levels: Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities. Level 2: Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices). Level 3: Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).
13. RISK MANAGEMENT (CONTINUED) d) Credit risk (continued)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability. The determination of what constitutes ‘observable’ requires significant judgement by the Company. The Company considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The following tables analyse within the fair value hierarchy the Company's financial assets measured at fair value at 31 March 2023 and in accordance with FRS 102:
Level 1 Level 2 Level 3 Total Aviva Investors Euro Liquidity Fund EUR EUR EUR EUR Financial assets at fair value through profit or loss: Liquidity instruments – 2,742,406,377 – 2,742,406,377 Bonds – 5,424,729 – 5,424,729 Total – 2,747,831,106 – 2,747,831,106 Aviva Investors Sterling Government Liquidity Fund GBP GBP GBP GBP Financial assets at fair value through profit or loss: Bonds – 1,082,069,425 – 1,082,069,425 Reverse repurchase agreements – 4,280,500,000 – 4,280,500,000 Total – 5,362,569,425 – 5,362,569,425 Aviva Investors Sterling Liquidity Fund GBP GBP GBP GBP Financial assets at fair value through profit or loss: Liquidity instruments – 15,510,417,716 – 15,510,417,716 Bonds – 757,335,285 – 757,335,285 Reverse repurchase agreements – 871,800,000 – 871,800,000 Total – 17,139,553,001 – 17,139,553,001 Aviva Investors Sterling Liquidity Plus Fund GBP GBP GBP GBP Financial assets at fair value through profit or loss: Collective investment schemes – 52,812,823 – 52,812,823 Liquidity instruments – 617,719,928 – 617,719,928 Bonds – 974,458,789 – 974,458,789 Total – 1,644,991,540 – 1,644,991,540 Aviva Investors US Dollar Liquidity Fund USD USD USD USD Financial assets at fair value through profit or loss: Liquidity instruments – 980,394,225 – 980,394,225 Total – 980,394,225 – 980,394,225 The following tables analyse within the fair value hierarchy the Company's financial assets measured at fair value at 31 March 2022 and in accordance with FRS 102:
Level 1 Level 2 Level 3 Total Aviva Investors Euro Liquidity Fund EUR EUR EUR EUR Financial assets at fair value through profit or loss: Liquidity instruments – 3,382,857,026 – 3,382,857,026 Bonds – 25,040,406 – 25,040,406 Total – 3,407,897,432 – 3,407,897,432 Aviva Investors Sterling Government Liquidity Fund GBP GBP GBP GBP Financial assets at fair value through profit or loss: Bonds – 1,513,278,452 – 1,513,278,452 Reverse repurchase agreements – 5,036,800,000 – 5,036,800,000 Total – 6,550,078,452 – 6,550,078,452 Aviva Investors Sterling Liquidity Fund GBP GBP GBP GBP Financial assets at fair value through profit or loss: Liquidity instruments – 20,050,864,226 – 20,050,864,226 Bonds – 302,755,814 – 302,755,814 Reverse repurchase agreements – 2,542,000,000 – 2,542,000,000 Total – 22,895,620,040 – 22,895,620,040 Aviva Investors Sterling Liquidity Plus Fund GBP GBP GBP GBP Financial assets at fair value through profit or loss: Collective investment schemes – 14,112,823 – 14,112,823 Liquidity instruments – 869,214,823 – 869,214,823 Bonds – 1,343,047,603 – 1,343,047,603 Total – 2,226,375,249 – 2,226,375,249
14. FAIR VALUE ESTIMATION (CONTINUED)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
Level 1 Level 2 Level 3 Total Aviva Investors US Dollar Liquidity Fund USD USD USD USD Financial assets at fair value through profit or loss: Liquidity instruments – 1,121,012,818 – 1,121,012,818 Total – 1,121,012,818 – 1,121,012,818 There were no transfers between levels of investments held during the financial year ended 31 March 2023 and 31 March 2022. Please note that the Schedules of Investments have been prepared based on the country of incorporation of each position. To ensure consistency within this report, the same approach has been applied to all categories of investments. A disclosure based on country of risk could lead to a different geographical classification.
15. EXCHANGE RATES The conversion exchange rates used in the Statement of Financial Position were as at year end date. 31 March 2023 31 March 2022 Currency Rate Rate GBP = 1 EUR 1.1386 1.1827 USD 1.2374 1.3126 The conversion exchange rates used in the Statement of Comprehensive Income and Statement of Changes in Net Assets were the average rates for the year. 31 March 2023 31 March 2022 Currency Rate Rate GBP = 1 EUR 1.1573 1.1756 USD 1.2042 1.3659
16. INCOME FROM REVERSE REPURCHASE AGREEMENTS For the purposes of efficient portfolio management the Company has, under the terms of its Prospectus, a general ability to use the following financial derivative instruments: options, futures, currency swaps and interest rate swaps. However the Company does not currently use such instruments. The Directors have the authority to change this policy but shall notify shareholders in the Company before implementing any such change. The Company does enter into reverse repurchase agreements for the purposes of efficient portfolio management and the use of such instruments (and any other techniques or instruments for efficient portfolio management purposes) is subject to the conditions and limits thereon laid down by the Central Bank. During the financial year, reverse repurchase agreements were entered into for the purpose of efficient portfolio management in order to increase capital and income returns. Details of all open transactions at the financial year end are disclosed in the Portfolios of Investments. A UCITS is required to disclose the revenues arising from efficient portfolio management techniques for the entire reporting year together with the direct and indirect operational costs and fees incurred. The table below shows revenue earned from reverse repurchase agreements during the financial year ended 31 March 2023 and 31 March 2022. Currency 31 March 2023 31 March 2022 Aviva Investors Sterling Government Liquidity Fund GBP 87,732,023 4,648,874 Aviva Investors Sterling Liquidity Fund GBP 27,585,911 4,175,446 Aviva Investors Sterling Liquidity Plus Fund GBP 76,644 17,438 Aviva Investors US Dollar Liquidity Fund USD – 48 Transaction costs on the purchase and sale of reverse repurchase agreements are included in the purchase and sale price of the investment. These costs cannot be practically or reliably gathered as they are embedded in the cost of the investment and cannot be separately verified or disclosed. Aviva Investors Euro Liquidity Fund, Aviva Investors Sterling Liquidity Plus Fund & Aviva Investors US Dollar Liquidity Fund did not have open reverse repurchase agreement transactions at the financial year ended 31 March 2023 and 31 March 2022.
14. FAIR VALUE ESTIMATION (CONTINUED)
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
17. DISTRIBUTIONS TO SHAREHOLDERS Currency 31 March 2023 31 March 2022 Aviva Investors Euro Liquidity Fund Class 6 EUR 89 Class 7 EUR 91 Class 8 EUR 92 Class 9 EUR 96 Aviva Investors Sterling Liquidity Fund Class 1 GBP 54,459 864 Class 2 GBP 205,912 5,953 Class 3 GBP 99,446,590 3,449,880 Class 9 GBP 308,713,945 30,488,360 Aviva Investors US Dollar Liquidity Fund Class 1 USD 1,075 3 Class 2 USD 1,098 9 Class 3 USD 17,461,580 568,866 Class 4 USD 8,640,041 493,721 Aviva Investors Euro Liquidity Fund had a net operating loss for the financial years ended 31 March 2023 and 31 March 2022 and did not distribute. The shares of Aviva Investors Sterling Liquidity Plus Fund are non-distributing shares. For Aviva Investors Sterling Government Liquidity Fund, Class 5, Class 6, Class 7 and Class 8 are non-distributing shares.
18. COLLATERAL The Sub-Funds outlined below engaged in reverse repurchase agreements during the financial year. The value of reverse repurchase agreements and collateral (non-cash collateral) as at 31 March 2023 and 31 March 2022 are shown below:
Value of reverse repurchase agreements Value of collateral received Value of reverse repurchase agreements Value of collateral received Currency 31 March 2023 31 March 2023 31 March 2022 31 March 2022 Aviva Investors Sterling Government Liquidity Fund GBP 4,280,500,000 4,366,110,000 5,036,800,000 5,137,536,000 Aviva Investors Sterling Liquidity Fund GBP 871,800,000 889,236,000 2,542,000,000 2,592,840,000 Refer to schedule of investments for listing of the open reverse repurchase agreements.
19. COMMITMENTS AND CONTINGENT LIABILITIES There were no commitments and/or contingent liabilities as at 31 March 2023 or 31 March 2022.
20. SOFT COMMISSION ARRANGEMENTS There were no soft commission arrangements in operation during the financial year ended 31 March 2023 and 31 March 2022.
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
21. NET ASSET VALUES
31 March 2023 31 March 2022 31 March 2021 Aviva Investors Euro Liquidity Fund Class 1 Net asset value EUR 39,912 39,697 894,118 Net asset value per share EUR 99.13 98.60 99.35 Class 2 Net asset value EUR 40,426 40,187 894,584 Net asset value per share EUR 99.28 98.70 99.40 Class 3 Net asset value EUR 852,352,269 981,580,883 523,681,627 Net asset value per share EUR 97.27 96.65 97.28 Class 5 Net asset value EUR 1,953,555,726 2,438,893,311 1,319,856,783 Net asset value per share EUR 98.07 97.34 97.88 Class 6 Net asset value EUR 40,000 – Net asset value per share EUR 100.00 – Class 7 Net asset value EUR 40,000 – Net asset value per share EUR 100.00 – Class 8 Net asset value EUR 40,000 – Net asset value per share EUR 100.00 – Class 9 Net asset value EUR 40,000 – Net asset value per share EUR 100.00 – Aviva Investors Sterling Government Liquidity Fund Class 5 Net asset value GBP 40,727 39,949 39,997 Net asset value per share GBP 1,018.43 998.97 1,000.18 Class 6 Net asset value GBP 33,857,357 39,973 39,998 Net asset value per share GBP 1,019.26 999.27 999.90 Class 7 Net asset value GBP 693,185 102,049,218 165,061,892 Net asset value per share GBP 1,020.03 999.54 999.72 Class 8 Net asset value GBP 5,031,882,938 6,449,496,239 4,429,797,544 Net asset value per share GBP 1,022.44 1,000.89 1,000.08 Aviva Investors Sterling Liquidity Fund Class 1 Net asset value GBP 2,653,253 2,402,278 20,298,096 Net asset value per share GBP 1.00 1.00 1.00 Class 2 Net asset value GBP 2,901,516 12,951,563 28,658,153 Net asset value per share GBP 1.00 1.00 1.00 Class 3 Net asset value GBP 5,203,431,464 5,018,823,593 5,942,042,819 Net asset value per share GBP 1.00 1.00 1.00 Class 9 Net asset value GBP 12,639,728,570 17,918,052,726 19,199,320,057 Net asset value per share GBP 1.00 1.00 1.00 Aviva Investors Sterling Liquidity Plus Fund Class 1 Net asset value GBP 960,215 937,851 907,950 Net asset value per share GBP 1,033.62 1,009.55 1,008.83 Class 2 Net asset value GBP 931,757 909,600 908,499 Net asset value per share GBP 1,035.29 1,010.67 1,009.44 Class 3 Net asset value GBP 239,181,149 213,660,262 278,723,791 Net asset value per share GBP 1,196.27 1,167.24 1,165.24 Class 4 Net asset value GBP 1,378,686,157 2,023,807,167 1,692,804,780 Net asset value per share GBP 1,151.44 1,122.37 1,119.33
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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) 31 March 2023
31 March 2023 31 March 2022 31 March 2021 Aviva Investors US Dollar Liquidity Fund Class 1 Net asset value USD 39,999 39,973 Net asset value per share USD 1.00 1.00 Class 2 Net asset value USD 39,999 39,974 Net asset value per share USD 1.00 1.00 Class 3 Net asset value USD 660,433,437 885,418,516 914,890,311 Net asset value per share USD 1.00 1.00 1.00 Class 4 Net asset value USD 317,497,419 260,506,856 355,663,604 Net asset value per share USD 1.00 1.00 1.00
22. SIGNIFICANT EVENTS DURING THE FINANCIAL YEAR Tim Madigan and Martin Nolan resigned on 8 June 2022. On 19 April 2022, an updated prospectus was issued for Aviva Investors Liquidity Funds plc in order to reflect the implementation of the derogation granted by the Central Bank under Regulation 35(1)(a) of the Central Bank UCITS Regulations to deal only at forward prices in respect of the Aviva Investors Sterling Liquidity Fund. Historical pricing application was suspended due to high volatility of the markets on 2 September 2022, it was reimplemented on 7 November 2022. On 29 August 2022, an updated prospectus was issued for Aviva Investors Liquidity Funds plc in order to reflect the approval of the creation of Aviva Investors Sterling Standard Liquidity Fund. On 1 September 2022, Aviva Investors Liquidity Funds plc changed its registered office address. On 1 September 2022, Goodbody Secretarial Limited the Secretary, changed its address. On 1 September 2022, A&L Goodbody LLP the Irish Legal Adviser, changed its address. On 8 September 2022, an updated prospectus was issues for Aviva Investors Liquidity Funds plc in order to reflect updates to the disclosures for compliance with Sustainable Finance Disclosure Regulation (“SFDR”). On 1 December 2022, an updated prospectus was issues for Aviva Investors Liquidity Funds plc in order to incorporate the pre-contractual disclosure templates required under Commission Delegated Regulation (EU) 2022/1288 (SFDR Level 2). On 1 March 2023, an updated prospectus was issued for Aviva Investors Liquidity Funds plc in order to reflect: (i) Approval of Share Class 6, 7, 8 and 9 for Aviva Investors Euro Liquidity Fund. Launch of same share classes on 1 March 2023. (ii) Update of the share class numbering from 1 to 4 to 5 to 8 for Aviva Investors Sterling Standard Liquidity Fund. (iii) Change of comparator benchmark from 7-Day EURIBID to Euro Short Term Rate following termination of 7-Day EURIBID. (iv) Other minor tidy-up and clarificatory updates. Russian crisis: On 24 February 2022, Russian troops invaded neighbouring Ukraine. Since then, as a response, numerous countries have imposed several rounds of economic sanctions. The indirect impact of those are increased commodity prices due to resource supply challenges (such as food, gas or minerals), inflation, etc. The Sub Funds have no exposure to Russian/Ukrainian investments, and we consider that the situation does not have a significant impact on the Sub Funds’ continued activities. The Manager continues to monitor the situation and the associated market impacts as they have created a high degree of market uncertainty.
23. SUBSEQUENT EVENTS On 11 April 2023, Share Classes 1, 2, 3 and 4 of Aviva Investors Sterling Government Liquidity Fund were launched. On 5 July 2023, the Sub-Fund Aviva Investors Sterling Standard Liquidity Fund was launched. There were no other subsequent events affecting the Company since the financial year ended 31 March 2023.
24. APPROVAL OF THE FINANCIAL STATEMENTS The Board of Directors approved the financial statements and authorised their release on 24 July 2023.
21. NET ASSET VALUES (CONTINUED)
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The accompanying notes form an integral part of these financial statements.
AVIVA INVESTORS EURO LIQUIDITY FUND SCHEDULE OF INVESTMENTS AS AT 31 MARCH 2023
Investments Coupon Rate Maturity Date Currency Holdings Fair Value EUR % of Net Asset Value Liquidity Instruments Certificates of Deposit ( 31 March 2022 : 19.27% ) Australia ( 31 March 2022 : 0.59% ) National Australia Bank Ltd. 3.13% 30/11/2023 EUR 15,000,000 15,000,000 0.53 15,000,000 0.53 Canada ( 31 March 2022 : 2.64% ) Bank of Montreal 0.00% 24/07/2023 EUR 5,000,000 4,953,337 0.18 Bank of Montreal 3.20% 22/03/2024 EUR 10,000,000 10,002,387 0.36 National Bank of Canada 0.00% 25/05/2023 EUR 10,000,000 9,954,809 0.36 Royal Bank of Canada 0.00% 23/06/2023 EUR 10,000,000 9,929,299 0.35 Toronto-Dominion Bank (The) 3.11% 03/07/2023 EUR 12,500,000 12,501,332 0.45 Toronto-Dominion Bank (The) 3.19% 17/07/2023 EUR 15,000,000 15,004,921 0.53 Toronto-Dominion Bank (The) 3.21% 28/03/2024 EUR 15,000,000 15,000,000 0.53 77,346,085 2.76 Finland ( 31 March 2022 : 1.39% ) Nordea Bank Abp 0.00% 13/04/2023 EUR 25,000,000 24,974,205 0.89 Nordea Bank Abp 2.93% 17/04/2023 EUR 20,000,000 19,998,971 0.71 Nordea Bank Abp 2.99% 20/04/2023 EUR 10,000,000 9,999,705 0.36 Nordea Bank Abp 0.00% 28/04/2023 EUR 10,000,000 9,977,803 0.36 Nordea Bank Abp 0.00% 18/05/2023 EUR 20,000,000 19,922,048 0.71 Nordea Bank Abp 3.03% 21/09/2023 EUR 15,000,000 14,996,707 0.53 Nordea Bank Abp 3.17% 09/02/2024 EUR 22,000,000 21,996,554 0.78 121,865,993 4.34 Japan ( 31 March 2022 : 7.46% ) Mitsubishi UFJ Trust & Banking Corp. 0.00% 26/04/2023 EUR 12,500,000 12,473,744 0.44 Mitsubishi UFJ Trust & Banking Corp. 0.00% 24/05/2023 EUR 15,000,000 14,933,336 0.53 Mitsubishi UFJ Trust & Banking Corp. 0.00% 06/06/2023 EUR 15,000,000 14,916,544 0.53 Mizuho Bank Ltd. 0.00% 24/04/2023 EUR 30,000,000 29,939,956 1.07 MUFG Bank Ltd. 0.00% 06/04/2023 EUR 20,000,000 19,990,388 0.71 Norinchukin Bank (The) 0.00% 14/04/2023 EUR 8,000,000 7,991,035 0.28 Norinchukin Bank (The) 0.00% 24/04/2023 EUR 30,000,000 29,942,412 1.07 Sumitomo Mitsui Banking Corp. 0.00% 17/04/2023 EUR 35,000,000 34,951,001 1.25 Sumitomo Mitsui Banking Corp. 0.00% 10/05/2023 EUR 30,000,000 29,899,625 1.07 195,038,041 6.95 Netherlands ( 31 March 2022 : 0.58% ) – Norway ( 31 March 2022 : 0.44% ) DNB Bank ASA 0.00% 26/07/2023 EUR 5,000,000 4,951,464 0.18 4,951,464 0.18 Singapore ( 31 March 2022 : 0.73% ) DBS Bank Ltd. 0.00% 24/04/2023 EUR 20,000,000 19,961,215 0.71 19,961,215 0.71 South Korea ( 31 March 2022 : 0.00% ) KEB Hana Bank 0.00% 07/08/2023 EUR 10,000,000 9,887,692 0.35 KEB Hana Bank 0.00% 22/08/2023 EUR 8,000,000 7,898,976 0.28 Kookmin Bank 0.00% 09/05/2023 EUR 10,000,000 9,968,506 0.36 Kookmin Bank 0.00% 26/05/2023 EUR 10,000,000 9,953,938 0.35 Kookmin Bank 0.00% 31/07/2023 EUR 10,000,000 9,893,331 0.35 Kookmin Bank 0.00% 04/08/2023 EUR 6,000,000 5,933,691 0.21 Woori Bank 0.00% 03/04/2023 EUR 8,000,000 7,998,077 0.29 Woori Bank 0.00% 01/06/2023 EUR 5,000,000 4,974,340 0.18 66,508,551 2.37 Switzerland ( 31 March 2022 : 1.61% ) – United Arab Emirates ( 31 March 2022 : 0.61% ) – United Kingdom ( 31 March 2022 : 1.46% ) Standard Chartered Bank 3.18% 05/05/2023 EUR 15,000,000 15,001,237 0.53 15,001,237 0.53 United States ( 31 March 2022 : 1.76% ) Citibank NA 0.00% 24/04/2023 EUR 30,000,000 29,942,412 1.07 29,942,412 1.07 Total investments in Certificates of Deposit 545,614,998 19.44 Commercial Papers ( 31 March 2022 : 51.39% ) Australia ( 31 March 2022 : 0.59% ) Toyota Finance Australia Ltd. 0.00% 15/06/2023 EUR 10,000,000 9,936,176 0.35 9,936,176 0.35 Belgium ( 31 March 2022 : 1.38% ) LVMH Finance Belgique SA 0.00% 11/05/2023 EUR 20,000,000 19,933,635 0.71
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AVIVA INVESTORS EURO LIQUIDITY FUND (CONTINUED) SCHEDULE OF INVESTMENTS AS AT 31 MARCH 2023
The accompanying notes form an integral part of these financial statements.
Investments Coupon Rate Maturity Date Currency Holdings Fair Value EUR % of Net Asset Value Liquidity Instruments (continued) Commercial Papers (31 March 2022: 51.39%) (continued) Belgium (31 March 2022: 1.38%) (continued) LVMH Finance Belgique SA 0.00% 01/06/2023 EUR 15,000,000 14,923,020 0.53 LVMH Finance Belgique SA 0.00% 30/06/2023 EUR 5,000,000 4,961,212 0.18 LVMH Finance Belgique SA 0.00% 05/07/2023 EUR 20,000,000 19,835,642 0.71 59,653,509 2.13 Canada ( 31 March 2022 : 0.00% ) Bank of Montreal 0.00% 05/09/2023 EUR 10,000,000 9,864,973 0.35 Bank of Montreal 3.29% 01/11/2023 EUR 10,000,000 10,009,531 0.36 Federation des Caisses Desjardins du Quebec 0.00% 30/05/2023 EUR 30,000,000 29,855,711 1.06 49,730,215 1.77 Cayman Islands ( 31 March 2022 : 2.34% ) Chesham Finance Ltd. 0.00% 05/04/2023 EUR 75,000,000 74,969,961 2.67 74,969,961 2.67 Finland ( 31 March 2022 : 3.22% ) OP Corporate Bank plc 0.00% 04/05/2023 EUR 8,000,000 7,978,862 0.28 7,978,862 0.28 France ( 31 March 2022 : 17.91% ) Antalis SA 0.00% 06/04/2023 EUR 18,000,000 17,990,684 0.64 Antalis SA 0.00% 28/04/2023 EUR 15,000,000 14,963,268 0.53 AXA Banque SA 0.00% 06/04/2023 EUR 20,000,000 19,990,290 0.71 AXA Banque SA 0.00% 04/05/2023 EUR 25,000,000 24,931,133 0.89 AXA Banque SA 0.00% 05/05/2023 EUR 20,000,000 19,943,241 0.71 AXA SA 0.00% 22/05/2023 EUR 4,900,000 4,879,131 0.17 Banque Federative du Credit Mutuel SA 3.09% 11/05/2023 EUR 25,000,000 25,001,152 0.89 Banque Federative du Credit Mutuel SA 3.09% 01/08/2023 EUR 20,000,000 20,001,300 0.71 Banque Federative du Credit Mutuel SA 3.13% 05/01/2024 EUR 25,000,000 24,995,728 0.89 BNP Paribas SA 3.05% 10/07/2023 EUR 25,000,000 24,999,906 0.89 BNP Paribas SA 3.01% 15/09/2023 EUR 25,000,000 24,988,619 0.89 BRED Banque Populaire 3.00% 19/04/2023 EUR 20,000,000 19,999,163 0.71 Credit Agricole Ille Et Vilaine Expansion SASU 3.18% 18/08/2023 EUR 20,000,000 20,006,057 0.71 Credit Agricole SA 3.06% 06/06/2023 EUR 25,000,000 24,999,580 0.89 Credit Agricole SA 3.19% 02/01/2024 EUR 20,000,000 19,996,250 0.71 Credit Agricole SA 0.00% 28/02/2024 EUR 10,000,000 9,687,349 0.35 LMA SA 0.00% 05/04/2023 EUR 15,000,000 14,993,961 0.53 LMA SA 0.00% 18/04/2023 EUR 8,000,000 7,988,418 0.29 LMA SA 0.00% 02/05/2023 EUR 10,000,000 9,974,229 0.36 LMA SA 0.00% 17/05/2023 EUR 10,000,000 9,961,518 0.36 L'Oreal SA 0.00% 21/06/2023 EUR 20,000,000 19,861,430 0.71 Managed and Enhanced Tap (Magenta) Funding ST 0.00% 02/05/2023 EUR 30,000,000 29,923,080 1.07 Managed and Enhanced Tap (Magenta) Funding ST 0.00% 02/05/2023 EUR 10,000,000 9,974,360 0.36 Managed and Enhanced Tap (Magenta) Funding ST 0.00% 02/06/2023 EUR 15,000,000 14,921,696 0.53 Natixis SA 3.00% 03/04/2023 EUR 25,000,000 24,999,846 0.89 Natixis SA 3.06% 06/06/2023 EUR 10,000,000 9,999,905 0.36 Natixis SA 3.15% 31/10/2023 EUR 15,000,000 14,999,565 0.54 Satellite 2.96% 05/04/2023 EUR 20,000,000 19,991,374 0.71 Satellite 0.00% 14/04/2023 EUR 11,000,000 10,986,726 0.39 Satellite 0.00% 17/04/2023 EUR 14,000,000 13,979,490 0.50 Societe Generale SA 3.08% 31/07/2023 EUR 20,000,000 20,000,134 0.71 UNEDIC ASSEO 0.00% 05/04/2023 EUR 30,000,000 29,987,759 1.07 UNEDIC SA 0.00% 06/04/2023 EUR 25,000,000 24,987,760 0.89 604,904,102 21.56 Germany ( 31 March 2022 : 0.82% ) – Ireland ( 31 March 2022 : 2.00% ) Anglesea Funding plc 0.00% 06/04/2023 EUR 30,000,000 29,986,149 1.07 Matchpoint Finance plc 0.00% 06/04/2023 EUR 20,000,000 19,989,649 0.71 Matchpoint Finance plc 0.00% 20/04/2023 EUR 15,000,000 14,974,154 0.53 Matchpoint Finance plc 0.00% 21/04/2023 EUR 20,000,000 19,963,819 0.71 Matchpoint Finance plc 0.00% 24/04/2023 EUR 5,000,000 4,989,665 0.18 Matchpoint Finance plc 0.00% 28/04/2023 EUR 7,500,000 7,481,921 0.27 Matchpoint Finance plc 0.00% 10/05/2023 EUR 15,000,000 14,948,136 0.53 112,333,493 4.00 Japan ( 31 March 2022 : 0.00% ) Toyota Motor Finance Netherlands BV 0.00% 04/07/2023 EUR 15,000,000 14,876,721 0.53 14,876,721 0.53
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AVIVA INVESTORS EURO LIQUIDITY FUND (CONTINUED) SCHEDULE OF INVESTMENTS AS AT 31 MARCH 2023
The accompanying notes form an integral part of these financial statements.
Investments Coupon Rate Maturity Date Currency Holdings Fair Value EUR % of Net Asset Value Liquidity Instruments (continued) Commercial Papers (31 March 2022: 51.39%) (continued) Luxembourg ( 31 March 2022 : 0.96% ) Albion Capital Corp. SA 0.00% 24/04/2023 EUR 6,100,000 6,087,991 0.22 Albion Capital Corp. SA 0.00% 25/04/2023 EUR 5,000,000 4,989,747 0.18 Albion Capital Corp. SA 0.00% 23/05/2023 EUR 8,929,000 8,889,583 0.32 Sunderland Receivables SA 0.00% 13/04/2023 EUR 22,000,000 21,975,345 0.78 Sunderland Receivables SA 0.00% 30/05/2023 EUR 14,000,000 13,926,787 0.49 55,869,453 1.99 Netherlands ( 31 March 2022 : 1.98% ) BMW Finance NV 0.00% 20/04/2023 EUR 30,000,000 29,951,995 1.07 Cooperatieve Rabobank UA 3.10% 27/07/2023 EUR 10,000,000 10,000,295 0.36 Cooperatieve Rabobank UA 3.25% 06/11/2023 EUR 10,000,000 10,006,148 0.36 Toyota Motor Finance Netherlands BV 0.00% 13/06/2023 EUR 25,000,000 24,844,956 0.88 74,803,394 2.67 Norway ( 31 March 2022 : 0.00% ) DNB Bank ASA 3.13% 09/08/2023 EUR 15,000,000 15,001,865 0.54 15,001,865 0.54 South Korea ( 31 March 2022 : 0.00% ) Kookmin Bank 0.00% 02/08/2023 EUR 4,000,000 3,956,564 0.14 3,956,564 0.14 Spain ( 31 March 2022 : 0.37% ) – Sweden ( 31 March 2022 : 3.98% ) – United Kingdom ( 31 March 2022 : 5.03% ) Barclays Bank plc 0.00% 11/04/2023 EUR 40,000,000 39,964,771 1.42 Barclays Bank plc 0.00% 13/04/2023 EUR 30,000,000 29,968,779 1.07 Barclays Bank plc 3.18% 17/05/2023 EUR 15,000,000 15,001,483 0.54 Lloyds Bank Corporate Markets plc 0.00% 18/05/2023 EUR 20,000,000 19,924,329 0.71 104,859,362 3.74 United States ( 31 March 2022 : 10.81% ) Collateralized Commercial Paper III Co. LLC 0.00% 01/06/2023 EUR 15,000,000 14,918,823 0.53 Honeywell International, Inc. 0.00% 03/04/2023 EUR 8,000,000 7,998,077 0.29 Honeywell International, Inc. 0.00% 17/04/2023 EUR 20,000,000 19,972,790 0.71 Honeywell International, Inc. 0.00% 19/04/2023 EUR 10,000,000 9,984,797 0.36 Honeywell International, Inc. 0.00% 25/04/2023 EUR 20,000,000 19,960,012 0.71 Honeywell International, Inc. 0.00% 04/05/2023 EUR 11,000,000 10,969,966 0.39 Honeywell International, Inc. 0.00% 19/05/2023 EUR 15,000,000 14,939,994 0.53 Honeywell International, Inc. 0.00% 22/05/2023 EUR 15,000,000 14,936,115 0.53 Honeywell International, Inc. 0.00% 05/06/2023 EUR 15,000,000 14,918,285 0.53 128,598,859 4.58 Total investments in Commercial Papers 1,317,472,536 46.95 Time Deposits ( 31 March 2022 : 28.24% ) Belgium ( 31 March 2022 : 0.00% ) KBC Bank NV 2.90% 03/04/2023 EUR 50,000,000 50,000,000 1.78 50,000,000 1.78 France ( 31 March 2022 : 14.24% ) Banque Federative du Credit Mutuel SA 2.85% 03/04/2023 EUR 70,000,000 70,000,000 2.50 BRED Banque Populaire 2.88% 03/04/2023 EUR 50,000,000 50,000,000 1.78 Credit Agricole SA 2.90% 03/04/2023 EUR 80,000,000 80,000,000 2.85 La Banque Postale SA 2.87% 03/04/2023 EUR 140,000,000 140,000,000 4.99 340,000,000 12.12 Germany ( 31 March 2022 : 6.43% ) Landesbank Baden-Wuerttemberg 2.95% 03/04/2023 EUR 194,000,000 194,000,000 6.91 194,000,000 6.91 Japan ( 31 March 2022 : 0.87% ) Mizuho Bank Ltd. 2.86% 03/04/2023 EUR 25,000,000 25,000,000 0.89 25,000,000 0.89 Qatar ( 31 March 2022 : 4.38% ) Qatar National Bank QPSC 3.00% 31/12/2023 EUR 150,621,955 150,621,955 5.37 150,621,955 5.37 Sweden ( 31 March 2022 : 2.32% ) Skandinaviska Enskilda Banken AB 2.90% 31/12/2023 EUR 79,696,888 79,696,888 2.84 Swedbank AB 2.86% 03/04/2023 EUR 40,000,000 40,000,000 1.43 119,696,888 4.27 Total investments in Time Deposits 879,318,843 31.34 Total Liquidity Instruments 2,742,406,377 97.73
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AVIVA INVESTORS EURO LIQUIDITY FUND (CONTINUED) SCHEDULE OF INVESTMENTS AS AT 31 MARCH 2023
The accompanying notes form an integral part of these financial statements.
Investments Coupon Rate Maturity Date Currency Holding Fair Value EUR % of Net Asset Va Value Bonds (31 March 2022: 0.73%) Canada ( 31 March 2022 : 0.00% ) Bank of Nova Scotia (The), FRN 3.90% 20/12/2023 EUR 5,400,000 5,424,729 0.19 5,424,729 0.19 Netherlands ( 31 March 2022 : 0.73% ) – Total Investments in Bonds 5,424,729 0.19 Total financial assets at fair value through profit or loss 2,747,831,106 97.92 Cash and cash equivalents 70,151,688 2.50 Other assets and liabilities (11,834,461) (0.42) Net asset value attributable to shareholders 2,806,148,333 100.00
Analysis of total assets (unaudited) % of Total Assets Transferable securities admitted to official stock exchange listing 0.19 Other transferable securities of the type referred to in Regulation 68 (1) (a), (b) and (c) 97.21 Other assets 2.60 Total assets 100.00
Page 44
Aviva Investors Liquidity Funds Plc
avivainvestors.com Annual Report and audited financial statements 44
The accompanying notes form an integral part of these financial statements.
AVIVA INVESTORS STERLING GOVERNMENT LIQUIDITY FUND SCHEDULE OF INVESTMENTS AS AT 31 MARCH 2023
Investments Coupon Rate Maturity Date Currency Holding Fair Value GBP % of Net Asset Va Value Bonds (31 March 2022: 23.10%) United Kingdom ( 31 March 2022 : 23.10% ) UK Treasury Bill 0.00% 03/04/2023 GBP 290,000 289,971 0.01 UK Treasury Bill 0.00% 11/04/2023 GBP 50,000,000 49,949,985 0.99 UK Treasury Bill 0.00% 02/05/2023 GBP 250,000,000 249,216,265 4.92 UK Treasury Bill 0.00% 08/05/2023 GBP 116,990,000 116,555,591 2.30 UK Treasury Bill 0.00% 09/05/2023 GBP 17,013,000 16,947,197 0.33 UK Treasury Bill 0.00% 15/05/2023 GBP 15,806,000 15,733,898 0.31 UK Treasury Bill 0.00% 22/05/2023 GBP 161,600,000 160,724,947 3.17 UK Treasury Bill 0.00% 30/05/2023 GBP 200,000,000 198,784,726 3.92 UK Treasury Bill 0.00% 05/06/2023 GBP 50,000,000 49,652,892 0.98 UK Treasury Bill 0.00% 12/06/2023 GBP 50,000,000 49,605,614 0.98 UK Treasury Bill 0.00% 26/06/2023 GBP 76,400,000 75,670,243 1.49 UK Treasury Bill 0.00% 03/07/2023 GBP 100,000,000 98,938,096 1.95 1,082,069,425 21.35 Total Investments in Bonds 1,082,069,425 21.35
Investments Coupon Rate Maturity Date Currency Holdings Fair Value GBP % of Net Asset Value Reverse Repurchase Agreements (31 March 2022: 76.88%) Australia (31 March 2022: 0.76%) National Australia Bank Ltd. 4.11% 03/04/2023 GBP 100,000,000 100,000,000 1.97 100,000,000 1.97 Canada (31 March 2022: 14.20%) CIBC World Markets Corp. 4.10% 03/04/2023 GBP 75,000,000 75,000,000 1.48 Royal Bank of Canada 4.10% 03/04/2023 GBP 720,000,000 720,000,000 14.21 795,000,000 15.69 France (31 March 2022: 12.21%) BNP Paribas SA 4.12% 03/04/2023 GBP 200,000,000 200,000,000 3.95 Credit Agricole SA 4.12% 03/04/2023 GBP 200,000,000 200,000,000 3.95 Societe Generale SA 4.12% 03/04/2023 GBP 265,000,000 265,000,000 5.23 665,000,000 13.13 Japan (31 March 2022: 0.00%) MUFG Securities EMEA plc 4.05% 03/04/2023 GBP 40,000,000 40,000,000 0.79 40,000,000 0.79 Spain (31 March 2022: 1.10%) Banco Santander SA 4.20% 03/04/2023 GBP 100,000,000 100,000,000 1.97 Banco Santander SA 4.25% 03/04/2023 GBP 160,000,000 160,000,000 3.16 260,000,000 5.13 United Kingdom (31 March 2022: 48.61%) Abbey National Treasury Services plc 4.20% 03/04/2023 GBP 100,500,000 100,500,000 1.99 Abbey National Treasury Services plc 4.20% 03/04/2023 GBP 100,000,000 100,000,000 1.98 Barclays Bank plc 4.12% 03/04/2023 GBP 600,000,000 600,000,000 11.84 Citibank NA 4.13% 03/04/2023 GBP 300,000,000 300,000,000 5.92 NatWest Group plc 4.10% 03/04/2023 GBP 720,000,000 720,000,000 14.21 Standard Chartered plc 4.10% 03/04/2023 GBP 600,000,000 600,000,000 11.84 2,420,500,000 47.78 Total investments in Reverse Repurchase Agreements 4,280,500,000 84.49 Total financial assets at fair value through profit or loss 5,362,569,425 105.84 Cash and cash equivalents 540,861 0.01 Other assets and liabilities (296,636,079) (5.85) Net asset value attributable to shareholders 5,066,474,207 100.00
Analysis of total assets (unaudited) % of Total Assets Transferable securities dealt in on another regulated market 99.96 Other assets 0.04 Total assets 100.00
Page 45
Aviva Investors Liquidity Funds Plc
avivainvestors.com Annual Report and audited financial statements 45
The accompanying notes form an integral part of these financial statements.
AVIVA INVESTORS STERLING LIQUIDITY FUND SCHEDULE OF INVESTMENTS AS AT 31 MARCH 2023
Investments Coupon Rate Maturity Date Currency Holdings Fair Value GBP % of Net Asset Value Liquidity Instruments Certificates of Deposit ( 31 March 2022 : 65.84% ) Australia ( 31 March 2022 : 6.01% ) Australia & New Zealand Banking Group Ltd. 4.48% 15/05/2023 GBP 235,000,000 235,037,438 1.32 Australia & New Zealand Banking Group Ltd. 0.00% 09/06/2023 GBP 100,000,000 99,175,210 0.56 Australia & New Zealand Banking Group Ltd. 0.00% 23/06/2023 GBP 100,000,000 98,979,508 0.55 Australia & New Zealand Banking Group Ltd. 0.00% 02/08/2023 GBP 82,000,000 80,729,774 0.45 Commonwealth Bank of Australia 2.05% 25/04/2023 GBP 50,000,000 49,941,897 0.28 Commonwealth Bank of Australia 2.19% 27/04/2023 GBP 50,000,000 49,941,494 0.28 Commonwealth Bank of Australia 4.34% 10/07/2023 GBP 100,000,000 100,012,954 0.56 National Australia Bank Ltd. 2.02% 21/04/2023 GBP 100,000,000 99,895,472 0.56 National Australia Bank Ltd. 4.49% 27/04/2023 GBP 150,000,000 150,012,253 0.84 National Australia Bank Ltd. 4.35% 05/07/2023 GBP 100,000,000 99,950,735 0.56 National Australia Bank Ltd. 4.38% 10/07/2023 GBP 25,000,000 24,990,067 0.14 1,088,666,802 6.10 Austria ( 31 March 2022 : 1.09% ) – Canada ( 31 March 2022 : 11.06% ) Bank of Montreal 3.00% 21/06/2023 GBP 34,000,000 33,894,342 0.19 Bank of Montreal 5.00% 25/03/2024 GBP 100,000,000 99,945,749 0.56 Bank of Nova Scotia (The) 4.01% 28/04/2023 GBP 78,000,000 78,007,314 0.44 Bank of Nova Scotia (The) 0.00% 19/06/2023 GBP 100,000,000 99,044,828 0.55 Bank of Nova Scotia (The) 4.49% 07/08/2023 GBP 100,000,000 99,962,531 0.56 Canadian Imperial Bank of Commerce 3.98% 11/04/2023 GBP 200,000,000 200,000,000 1.12 National Bank of Canada 4.18% 27/04/2023 GBP 200,000,000 200,000,000 1.12 National Bank of Canada 0.00% 30/05/2023 GBP 100,000,000 99,354,888 0.56 National Bank of Canada 4.18% 23/06/2023 GBP 100,000,000 99,939,557 0.56 Royal Bank of Canada 0.00% 03/04/2023 GBP 50,000,000 49,994,729 0.28 Toronto-Dominion Bank (The) 4.23% 22/05/2023 GBP 50,000,000 50,001,788 0.28 Toronto-Dominion Bank (The) 4.54% 25/05/2023 GBP 87,000,000 87,031,377 0.49 Toronto-Dominion Bank (The) 4.56% 14/06/2023 GBP 100,000,000 100,007,416 0.56 Toronto-Dominion Bank (The) 4.58% 16/06/2023 GBP 100,000,000 100,038,957 0.56 Toronto-Dominion Bank (The) 3.25% 11/08/2023 GBP 50,000,000 49,723,693 0.28 Toronto-Dominion Bank (The) 4.67% 16/08/2023 GBP 100,000,000 100,088,530 0.56 Toronto-Dominion Bank (The) 4.72% 16/11/2023 GBP 100,000,000 100,126,222 0.56 Toronto-Dominion Bank (The) 4.67% 25/03/2024 GBP 200,000,000 200,150,916 1.12 1,847,312,837 10.35 Finland ( 31 March 2022 : 2.83% ) Nordea Bank Abp 0.00% 24/05/2023 GBP 250,000,000 248,433,793 1.39 Nordea Bank Abp 0.00% 24/05/2023 GBP 100,000,000 99,395,526 0.56 Nordea Bank Abp 0.00% 17/07/2023 GBP 50,000,000 49,342,505 0.28 Nordea Bank Abp 4.40% 04/08/2023 GBP 50,000,000 49,970,007 0.28 Nordea Bank Abp 4.42% 01/09/2023 GBP 80,000,000 79,932,734 0.45 Nordea Bank Abp 4.83% 22/01/2024 GBP 84,000,000 84,090,783 0.47 Nordea Bank Abp 5.00% 11/03/2024 GBP 100,000,000 100,236,568 0.56 711,401,916 3.99 France ( 31 March 2022 : 10.23% ) Banque Federative du Credit Mutuel SA 0.00% 17/04/2023 GBP 100,000,000 99,841,128 0.56 BNP Paribas SA 4.59% 07/09/2023 GBP 100,000,000 99,941,065 0.56 BNP Paribas SA 5.01% 11/03/2024 GBP 50,000,000 49,985,446 0.28 Societe Generale SA 4.51% 31/07/2023 GBP 100,000,000 99,933,712 0.56 349,701,351 1.96 Japan ( 31 March 2022 : 3.47% ) MUFG Bank Ltd. 4.02% 06/04/2023 GBP 100,000,000 100,000,000 0.56 MUFG Bank Ltd. 4.06% 24/04/2023 GBP 200,000,000 199,992,102 1.12 MUFG Bank Ltd. 0.00% 09/05/2023 GBP 175,000,000 174,261,040 0.98 MUFG Bank Ltd. 4.35% 09/06/2023 GBP 100,000,000 99,971,634 0.56 MUFG Bank Ltd. 4.44% 15/06/2023 GBP 93,000,000 92,982,541 0.52 MUFG Bank Ltd. 0.00% 26/06/2023 GBP 50,000,000 49,460,525 0.28 Norinchukin Bank (The) 0.00% 02/05/2023 GBP 50,000,000 49,835,787 0.28 Sumitomo Mitsui Banking Corp. 4.00% 11/04/2023 GBP 200,000,000 199,998,880 1.12 Sumitomo Mitsui Banking Corp. 4.06% 23/04/2023 GBP 100,000,000 100,000,000 0.56 Sumitomo Mitsui Banking Corp. 4.11% 24/04/2023 GBP 100,000,000 100,000,000 0.56 Sumitomo Mitsui Banking Corp. 4.28% 27/04/2023 GBP 55,000,000 55,000,000 0.31 Sumitomo Mitsui Banking Corp. 0.00% 09/06/2023 GBP 100,000,000 99,161,802 0.55 1,320,664,311 7.40
Page 46
Aviva Investors Liquidity Funds Plc
avivainvestors.com Annual Report and audited financial statements 46
AVIVA INVESTORS STERLING LIQUIDITY FUND (CONTINUED) SCHEDULE OF INVESTMENTS AS AT 31 MARCH 2023
The accompanying notes form an integral part of these financial statements.
Investments Coupon Rate Maturity Date Currency Holdings Fair Value GBP % of Net Asset Value Liquidity Instruments (continued) Certificates of Deposit (31 March 2022: 65.84%) (continued) Netherlands ( 31 March 2022 : 4.79% ) ABN AMRO Bank NV 0.00% 03/05/2023 GBP 75,000,000 74,738,246 0.42 ABN AMRO Bank NV 4.34% 01/06/2023 GBP 135,000,000 134,995,823 0.76 ABN AMRO Bank NV 0.00% 07/08/2023 GBP 100,000,000 98,379,384 0.55 Cooperatieve Rabobank UA 4.52% 18/08/2023 GBP 100,000,000 100,044,457 0.56 Rabobank International 2.80% 11/07/2023 GBP 50,000,000 49,733,227 0.28 457,891,137 2.57 Norway ( 31 March 2022 : 3.90% ) DNB Bank ASA 3.85% 13/04/2023 GBP 100,000,000 99,997,674 0.56 DNB Bank ASA 3.26% 17/08/2023 GBP 19,000,000 18,900,241 0.10 DNB Bank ASA 3.51% 21/08/2023 GBP 100,000,000 99,548,400 0.56 218,446,315 1.22 Singapore ( 31 March 2022 : 1.17% ) DBS Bank Ltd. 0.00% 16/06/2023 GBP 50,000,000 49,542,633 0.28 Oversea-Chinese Banking Corp. Ltd. 0.00% 02/05/2023 GBP 135,000,000 134,562,304 0.75 United Overseas Bank Ltd. 4.15% 22/05/2023 GBP 50,000,000 49,996,779 0.28 United Overseas Bank Ltd. 4.17% 25/05/2023 GBP 50,000,000 49,991,094 0.28 United Overseas Bank Ltd. 4.20% 08/06/2023 GBP 100,000,000 99,994,671 0.56 United Overseas Bank Ltd. 4.25% 10/07/2023 GBP 90,000,000 89,921,547 0.50 United Overseas Bank Ltd. 4.43% 13/07/2023 GBP 75,000,000 74,971,714 0.42 United Overseas Bank Ltd. 4.52% 25/09/2023 GBP 100,000,000 99,845,132 0.56 648,825,874 3.63 South Korea ( 31 March 2022 : 1.00% ) KEB Hana Bank 0.00% 24/04/2023 GBP 30,000,000 29,925,067 0.17 KEB Hana Bank 0.00% 26/04/2023 GBP 30,000,000 29,918,386 0.17 KEB Hana Bank 0.00% 15/09/2023 GBP 55,000,000 53,770,123 0.30 Kookmin Bank 0.00% 13/07/2023 GBP 30,000,000 29,602,263 0.16 143,215,839 0.80 Spain ( 31 March 2022 : 1.87% ) Banco Santander SA 0.00% 06/04/2023 GBP 100,000,000 99,959,778 0.56 Banco Santander SA 0.00% 11/04/2023 GBP 200,000,000 199,802,154 1.12 Banco Santander SA 0.00% 21/06/2023 GBP 50,000,000 49,519,110 0.28 349,281,042 1.96 Sweden ( 31 March 2022 : 0.43% ) – Switzerland ( 31 March 2022 : 1.09% ) UBS AG 4.26% 28/04/2023 GBP 40,000,000 40,008,554 0.22 UBS AG 4.36%
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