Semi-Annual Financial Statements – as at June 30, 2016
Marret High Yield Fund
Table of Contents
MARRET HIGH YIELD FUND
Financial Statements
Statements of Financial Position ............................................. 1
Statements of Comprehensive Income .................................... 3
Statements of Changes in Net Assets Attributable
to Holders of Redeemable Units ............................................. 6
Statements of Cash Flows ....................................................... 17
Schedule of Investment Portfolio ............................................. 18
Fund Specific Notes to Financial Statements ......................... 21
Notes to the Financial Statements .......................................... 31
Legal Notice ............................................................................. 40
Marret Asset Management Inc., the Manager of the Fund, appoints independent auditors to audit the Fund’s Annual Financial Statements. Under Canadian securities
laws (National Instrument 81-106), if an auditor has not reviewed the Semi-Annual Financial Statements, this must be disclosed in an accompanying notice.
The Fund’s independent auditors have not performed a review of these Semi-Annual Financial Statements in accordance with standards established by the Canadian
Institute of Chartered Accountants.
– 1 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Assets
Current assets
Investments
Cash
Cash held at broker
Margin
Receivable for investments sold
Receivable for unit subscriptions
Interest receivable
Dividends receivable
Other assets
Derivative assets
Liabilities
Current liabilities
Investments sold short
Bank overdraft
Due to broker
Margin
Payable for investments purchased
Payable for unit redemptions
Management fees payable
Performance fees payable
Other accrued expenses
Distributions payable to holders of redeemable units
Dividends payable on investments sold short
Interest payable on investments sold short
Derivative liabilities
Net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units per series (Note 4):
Series A
Series A - USD
Series F
Series F - USD
Class AA
Class FF
Class FF Series 0513
Class FF Series 1213
Class FF Series 1313
Class FF Series 0114
Class FF Series 0214
Class FF Series 0314
Class F Series 1114
Class F Series 1214
Class F Series 0615
Class F Series 0715
Class F Series 0815
Class F Series 0915
Class F Series 1015
Class F Series 0516
Class F - USD Series 0516
Financial Statements (unaudited)
as at as at
Jun. 30, 2016 Dec. 31, 2015
20,828,461 24,811,230
939,179 607,169
1,852,600 3,700,173
96,593 -
622,052 475,543
- -
367,091 561,098
1,312 -
8,702 14,009
21,844 34,887
24,737,834 30,204,109
985,639 1,590,585
- -
- 4,090,282
- -
685,499 -
- 1,525,642
22,263 26,336
- -
27,767 33,248
- -
1,312 5,299
- -
140,558 861,437
1,863,038 8,132,829
22,874,796 22,071,280
2,238,011 7,604,059
32,024 32,375
15,831,265 9,503,548
92,987 93,740
- -
3,848,886 3,248,162
- 78,128
- 136,151
- 5,641
- 298,856
- 169,160
- 166,578
- 97,645
- 372,820
- 153,621
- 72,492
- 32,914
- 3,267
- 2,123
503,867 -
327,756 -
146M
Statements of Financial Position (in $ except for per unit amounts and units outstanding)
– 2 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Net assets attributable to holders of redeemable units per unit:
Series A
Series A - USD
Series F
Series F - USD
Class AA
Class FF
Class FF Series 0513
Class FF Series 1213
Class FF Series 1313
Class FF Series 0114
Class FF Series 0214
Class FF Series 0314
Class F Series 1114
Class F Series 1214
Class F Series 0615
Class F Series 0715
Class F Series 0815
Class F Series 0915
Class F Series 1015
Class F Series 0516
Class F - USD Series 0516
Number of redeemable units outstanding:
Series A
Series A - USD
Series F
Series F - USD
Class AA
Class FF
Class FF Series 0513
Class FF Series 1213
Class FF Series 1313
Class FF Series 0114
Class FF Series 0214
Class FF Series 0314
Class F Series 1114
Class F Series 1214
Class F Series 0615
Class F Series 0715
Class F Series 0815
Class F Series 0915
Class F Series 1015
Class F Series 0516
Class F - USD Series 0516
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
as at as at
Jun. 30, 2016 Dec. 31, 2015
9.37 8.90
11.85 11.98
9.44 8.94
13.28 13.39
- -
11.08 10.50
- 10.71
- 10.49
- 10.49
- 10.50
- 10.50
- 10.50
- 8.94
- 8.94
- 8.94
- 8.94
- 8.94
- 8.94
- 8.94
9.44 -
13.26 -
238,879 854,465
2,703 2,703
1,677,030 1,062,848
7,000 7,000
- -
347,309 309,443
- 7,298
- 12,978
- 538
- 28,471
- 16,115
- 15,870
- 10,921
- 41,700
- 17,180
- 8,105
- 3,681
- 365
- 237
53,375 -
24,715 -
Statements of Financial Position (cont’d) (in $ except for per unit amounts and units outstanding)
– 3 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
Income
Net gain (loss) on investments and derivatives
Dividends
Interest for distribution purposes
Derivative income (loss)
Interest expense on investments sold short
Dividend expense on investments sold short
Net realized gain (loss) on sale of investments and derivatives
Net realized foreign exchange gain (loss) on investments and derivatives
Change in unrealized appreciation (depreciation) in value of investments and derivatives
Total net gain (loss) on investments and derivatives
Other income
Foreign exchange gain (loss) on cash
Change in unrealized foreign exchange gain (loss) on cash
Other income
Total other income
Total income
Expenses
Management fees (Note 5)
Operating fees
Performance fees (Note 5)
Fund administration expense
Audit fees
Legal fees
Trustee fees
Transfer agent fees
Custodial and administrative fees
Independent review committee fees
Unitholders reporting costs
Commissions and other portfolio transaction costs
Professional fees
Regulatory fees
Commission fees
Securities borrowing fees (Note 2)
Service expense
Other expenses
Interest expense
Withholding taxes
Total expenses
Expenses absorbed by the Manager
Increase (decrease) in net assets attributable to holders of redeemable units
2016 2015
1,775 7,503
1,419,285 1,013,843
1,302 -
(14,435) (4,643)
(17,781) (9,251)
121,902 (1,731,850)
(259,188) 373,374
611,159 1,714,466
1,864,019 1,363,442
(451,814) (38,271)
(5,298) 7,120
13 263
(457,099) (30,888)
1,406,920 1,332,554
136,132 168,272
- -
- -
- -
14,189 23,784
- 115,390
- -
- -
28,348 33,633
- -
- -
1,470 1,042
- -
1,801 947
- -
7,796 6,236
- -
5,256 14,647
18,362 6,889
722 117
214,076 370,957
- -
1,192,844 961,597
Statements of Comprehensive Income for the periods ended June 30 (in $ except for per unit amounts and number of units)
– 4 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
Increase (decrease) in net assets attributable to holders of redeemable units per series:
Series A
Series A - USD
Series F
Series F - USD
Class AA
Class FF
Class FF Series 0513
Class FF Series 1213
Class FF Series 1313
Class FF Series 0114
Class FF Series 0214
Class FF Series 0314
Class F Series 1114
Class F Series 1214
Class F Series 0615
Class F Series 0715
Class F Series 0815
Class F Series 0915
Class F Series 1015
Class F Series 0516
Class F - USD Series 0516
Increase (decrease) in net assets attributable to holders of redeemable units per unit:
Series A
Series A - USD
Series F
Series F - USD
Class AA
Class FF
Class FF Series 0513
Class FF Series 1213
Class FF Series 1313
Class FF Series 0114
Class FF Series 0214
Class FF Series 0314
Class F Series 1114
Class F Series 1214
Class F Series 0615
Class F Series 0715
Class F Series 0815
Class F Series 0915
Class F Series 1015
Class F Series 0516
Class F - USD Series 0516
2016 2015
156,478 272,101
(344) 25,240
819,393 494,268
(732) -
- 3,292
213,735 119,171
- 2,804
- 4,887
- 269
- 10,726
- 6,070
- 5,978
- 3,411
- 13,380
- -
- -
- -
- -
- -
3,983 -
331 -
0.28 0.30
(0.13) 1.14
0.58 0.32
(0.11) -
- 0.34
0.57 0.38
- 0.39
- 0.38
- 0.38
- 0.37
- 0.37
- 0.37
- 0.31
- 0.32
- -
- -
- -
- -
- -
0.07 -
0.02 -
Statements of Comprehensive Income (cont’d)for the periods ended June 30 (in $ except for per unit amounts and number of units)
– 5 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
Weighted average number of units:
Series A
Series A - USD
Series F
Series F - USD
Class AA
Class FF
Class FF Series 0513
Class FF Series 1213
Class FF Series 1313
Class FF Series 0114
Class FF Series 0214
Class FF Series 0314
Class F Series 1114
Class F Series 1214
Class F Series 0615
Class F Series 0715
Class F Series 0815
Class F Series 0915
Class F Series 1015
Class F Series 0516
Class F - USD Series 0516
2016 2015
552,961 906,975
2,703 22,352
1,425,002 1,521,542
7,000 -
- 9,987
373,654 314,462
- 7,298
- 12,978
- 717
- 28,471
- 16,115
- 15,870
- 10,921
- 41,700
- -
- -
- -
- -
- -
53,375 -
24,715 -
Statements of Comprehensive Income (cont’d)for the periods ended June 30 (in $ except for per unit amounts and number of units)
– 6 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
Series A
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Series A - USD
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
7,604,059 8,329,063
156,478 272,101
- -
- -
- -
- -
(1,131) (1,580)
- -
341,831 -
- -
(5,863,226) (251,622)
(5,522,526) (253,202)
(5,366,048) 18,899
2,238,011 8,347,962
32,375 240,523
(344) 25,240
- -
- -
- -
- -
(7) (47)
- -
- -
- -
- (24,600)
(7) (24,647)
(351) 593
32,024 241,116
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $)
– 7 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Series F
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Series F - USD
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
9,503,548 14,222,486
819,393 494,268
- -
- -
- -
- -
(2,996) (2,652)
734,882 -
5,167,385 -
- -
(390,947) (751,729)
5,508,324 (754,381)
6,327,717 (260,113)
15,831,265 13,962,373
93,740 -
(732) -
- -
- -
- -
- -
(21) -
- -
- -
- -
- -
(21) -
(753) -
92,987 -
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 8 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
Class AA
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Class FF
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
- 129,678
- 3,292
- -
- -
- -
- -
- (17)
- -
- -
- -
- (132,953)
- (132,970)
- (129,678)
- -
3,248,162 3,390,737
213,735 119,171
- -
- -
- -
- -
(917) (645)
854,514 -
- -
- -
(466,608) (116,514)
386,989 (117,159)
600,724 2,012
3,848,886 3,392,749
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 9 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Class FF Series 0513
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Class FF Series 1213
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
78,128 78,587
- 2,804
- -
- -
- -
- -
- (15)
(78,128) -
- -
- -
- -
(78,128) (15)
(78,128) 2,789
- 81,376
136,151 136,947
- 4,887
- -
- -
- -
- -
- (27)
(136,151) -
- -
- -
- -
(136,151) (27)
(136,151) 4,860
- 141,807
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 10 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
Class FF Series 1313
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Class FF Series 0114
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
5,641 7,565
- 269
- -
- -
- -
- -
- -
(5,641) -
- -
- -
- -
(5,641) -
(5,641) 269
- 7,834
298,856 300,604
- 10,726
- -
- -
- -
- -
- (59)
(298,856) -
- -
- -
- -
(298,856) (59)
(298,856) 10,667
- 311,271
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 11 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Class FF Series 0214
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Class FF Series 0314
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
169,160 170,149
- 6,070
- -
- -
- -
- -
- (32)
(169,160) -
- -
- -
- -
(169,160) (32)
(169,160) 6,038
- 176,187
166,578 167,551
- 5,978
- -
- -
- -
- -
- (32)
(166,578) -
- -
- -
- -
(166,578) (32)
(166,578) 5,946
- 173,497
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 12 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Class F Series 1114
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Class F Series 1214
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
97,645 98,309
- 3,411
- -
- -
- -
- -
- (19)
(97,645) -
- -
- -
- -
(97,645) (19)
(97,645) 3,392
- 101,701
372,820 -
- 13,380
- -
- -
- -
- -
- (73)
(372,820) -
- 375,000
- -
- -
(372,820) 374,927
(372,820) 388,307
- 388,307
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 13 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Class F Series 0615
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Class F Series 0715
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
153,621 -
- -
- -
- -
- -
- -
- -
(153,621) -
- -
- -
- -
(153,621) -
(153,621) -
- -
72,492 -
- -
- -
- -
- -
- -
- -
(72,492) -
- -
- -
- -
(72,492) -
(72,492) -
- -
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 14 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
Class F Series 0815
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Class F Series 0915
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
32,914 -
- -
- -
- -
- -
- -
- -
(32,914) -
- -
- -
- -
(32,914) -
(32,914) -
- -
3,267 -
- -
- -
- -
- -
- -
- -
(3,267) -
- -
- -
- -
(3,267) -
(3,267) -
- -
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 15 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Class F Series 1015
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Class F Series 0516
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
2,123 -
- -
- -
- -
- -
- -
- -
(2,123) -
- -
- -
- -
(2,123) -
(2,123) -
- -
- -
3,983 -
- -
- -
- -
- -
(116) -
- -
500,000 -
- -
- -
499,884 -
503,867 -
503,867 -
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 16 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
The accompanying notes are an integral part of these financial statements.
Financial Statements (unaudited)
Class F - USD Series 0516
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
Total Fund
Net assets attributable to holders of redeemable units at the beginning of period
Increase (decrease) in net assets attributable to holders of redeemable units
Distributions to holders of redeemable units
From net investment income
From net realized gains
Return of capital
Total distributions to holders of redeemable units
Redeemable unit transactions
Issue costs
Series consolidation
Proceeds from redeemable units issued
Reinvestment of distributions to holders of redeemable units
Redemption of redeemable units
Net increase (decrease) from redeemable unit transactions
Net increase (decrease) in net assets attributable to holders of redeemable units
Net assets attributable to holders of redeemable units at the end of period
2016 2015
- -
331 -
- -
- -
- -
- -
(75) -
- -
327,500 -
- -
- -
327,425 -
327,756 -
327,756 -
22,071,280 27,272,199
1,192,844 961,597
- -
- -
- -
- -
(5,263) (5,198)
- -
6,336,716 375,000
- -
(6,720,781) (1,277,418)
(389,328) (907,616)
803,516 53,981
22,874,796 27,326,180
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d) for the periods ended June 30 (in $)
– 17 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Financial Statements (unaudited)
*Dividends and interest received as well as dividends and interest paid relate to operating activities of the Fund.
The accompanying notes are an integral part of these financial statements.
Cash flows from (used in) operating activities
Increase (decrease) in net assets attributable to holders of redeemable units
Adjustments for:
Net realized (gain) loss on sale of investments and derivatives
Change in unrealized (appreciation) depreciation in value of investments and derivatives
Change in unrealized foreign exchange (gain) loss on cash
Proceeds from sale and maturity of investments and derivatives
Purchase of investments and derivatives
(Increase) decrease in cash held at broker
(Increase) decrease in margin
(Increase) decrease in interest receivable
(Increase) decrease in dividends receivable
(Increase) decrease in other receivables
Increase (decrease) in due to broker
Increase (decrease) in interest payable on investments sold short
Increase (decrease) in dividends payable on investments sold short
Increase (decrease) in other liabilities
Net cash from (used in) operating activities
Cash flows from (used in) financing activities
Proceeds from issuance of redeemable units
Amounts paid on redemption of redeemable units
Distributions paid to holders of redeemable units, net of reinvested distributions
Issue costs
Net cash from (used in) financing activities
Change in unrealized foreign exchange gain (loss) on cash
Net increase (decrease) in cash
Cash (bank overdraft), beginning of period
Cash (bank overdraft), end of period
Supplementary Information:
Interest received, net of withholding tax*
Dividends received, net of withholding tax*
Interest paid*
Dividends paid*
2016 2015
1,192,844 961,597
(121,902) 1,731,850
(611,159) (1,714,466)
5,298 (7,120)
25,045,358 29,606,551
(21,103,320) (28,928,617)
1,847,573 946,166
(96,593) 1
194,007 2,659
(1,312) 1,212
5,307 36,404
(4,090,282) (565,761)
- (8,480)
(3,987) (1,667)
(9,554) (20,807)
2,252,278 2,039,522
6,336,716 375,000
(8,246,423) (1,534,137)
- -
(5,263) (5,198)
(1,914,970) (1,164,335)
(5,298) 7,120
337,308 875,187
607,169 468,676
939,179 1,350,983
1,419,285 1,016,502
463 8,598
(14,435) (13,123)
(21,768) (10,918)
Statements of Cash Flowsfor the periods ended June 30 (in $)
– 18 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Schedule of Investment Portfolio as at June 30, 2016 (unaudited)
Percentages shown in brackets relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.
CANADIAN BONDS - LONG POSITIONS
Canadian Corporate Bonds (22.58%)
455,000 Air Canada, Callable, 6.750%, 2019/10/01 (USD) 579,222 614,964
180,000 Athabasca Oil Corp., Callable, 7.500%, 2017/11/19 171,058 177,000
110,000 AuRico Gold Inc., Callable, 7.750%, 2020/04/01 (USD) 123,999 140,251
415,000 Baytex Energy Corp., Series ‘B’, Callable, 6.750%, 2021/02/17 (USD) 484,270 469,690
125,000 Bombardier Inc., 5.500%, 2018/09/15 (USD) 151,488 161,799
90,000 Canadian Natural Resources Ltd., Callable, 6.000%, 2016/08/15 (USD) 114,307 117,533
219,000 First Quantum Minerals Ltd., Callable, 7.000%, 2021/02/15 (USD) 240,765 230,410
270,000 First Quantum Minerals Ltd., Callable, 7.250%, 2022/05/15 (USD) 275,086 273,091
220,000 GFL Environmental Corp., Restricted, Callable, 7.500%, 2018/06/18 222,012 223,162
340,000 Hudbay Minerals Inc., Callable, 9.500%, 2020/10/01 (USD) 336,718 375,960
130,000 Mattamy Group Corp., Callable, 6.500%, 2020/11/15 (USD) 149,742 163,198
145,000 MEG Energy Corp., Callable, 6.500%, 2021/03/15 (USD) 143,515 147,132
120,000 MEG Energy Corp., Callable, 6.375%, 2023/01/30 (USD) 118,089 116,300
45,000 MEG Energy Corp., Callable, 7.000%, 2024/03/31 (USD) 49,276 45,369
65,000 Northern Blizzard Resources Inc., Callable, 7.250%, 2022/02/01 (USD) 69,514 77,371
450,000 Quebecor Media Inc., Callable, 7.375%, 2021/01/15 477,062 467,059
235,000 Sherritt International Corp., Series ‘1’, Callable, 8.000%, 2018/11/15 221,450 135,419
265,000 Sirius XM Canada Holdings Inc., Callable, 5.625%, 2021/04/23 267,216 265,000
60,000 Valeant Pharmaceuticals International Inc., Callable, 7.500%, 2021/07/15 (USD) 79,231 69,224
435,000 Videotron Ltd., Callable, 5.750%, 2026/01/15 435,000 441,489
385,000 Videotron Ltd., Restricted, Callable, 5.625%, 2025/06/15 385,147 391,380
60,000 VRX Escrow Corp., Callable, 5.875%, 2023/05/15 (USD) 68,443 63,419
5,162,610 5,166,220
Total Canadian Bonds (22.58%) 5,162,610 5,166,220
UNITED STATES BONDS - LONG POSITIONS
U.S. Corporate Bonds (59.93%)
115,000 24 Hour Holdings III LLC, Callable, 8.000%, 2022/06/01 (USD) 111,536 114,073
640,000 Activision Blizzard Inc., Callable, 5.625%, 2021/09/15 (USD) 823,950 873,163
100,000 Ally Financial Inc., Floating Rate, 3.313%, 2016/07/18 (USD) 131,438 130,091
7,000 Aramark, Callable, 5.750%, 2020/03/15 (USD) 9,311 9,385
35,000 ARC Properties Operating Partnership L.P. / ClarkAcquisition LLC, 2.000%, 2017/02/06 (USD) 46,266 45,871
100,000 Brocade Communications Systems Inc., Callable, 4.625%, 2023/01/15 (USD) 121,220 126,025
160,000 Calfrac Holdings L.P., Callable, 7.500%, 2020/12/01 (USD) 184,546 135,294
527,000 Calpine Corp., Callable, 7.875%, 2023/01/15 (USD) 713,123 726,707
400,000 Cloud Peak Energy Resources LLC / Cloud Peak Energy Finance Corp., Callable, 6.375%, 2024/03/15 (USD) 386,352 174,321
260,000 Cloud Peak Energy Resources LLC / Cloud Peak Energy Finance Corp., Callable, 8.500%, 2019/12/15 (USD) 185,239 151,228
580,000 CoreLogic Inc., Callable, 7.250%, 2021/06/01 (USD) 777,529 782,687
227,000 CSC Holdings LLC., Callable, 8.625%, 2019/02/15 (USD) 305,080 326,494
245,000 DuPont Fabros Technology L.P., Callable, 5.875%, 2021/09/15 (USD) 298,257 335,055
30,000 Endo Finance Co. (The), Callable, 5.750%, 2022/01/15 (USD) 34,305 35,413
215,000 EV Energy Partners L.P. / EV Energy Finance Corp., Callable, 8.000%, 2019/04/15 (USD) 226,754 169,214
50,000 First Data Corp., Callable, 5.750%, 2024/01/15 (USD) 63,605 64,801
910,000 First Data Corp., Callable, 6.750%, 2020/11/01 (USD) 1,242,768 1,239,445
340,000 Frontier Communications Corp., Callable, 6.875%, 2025/01/15 (USD) 388,144 372,919
205,000 Frontier Communications Corp., Series ‘WI’, Callable, 11.000%, 2025/09/15 (USD) 268,284 277,018
175,000 Global Brass & Copper Inc., Callable, 9.500%, 2019/06/01 (USD) 239,593 238,983
200,000 Halcon Resources Corp., Callable, 8.625%, 2020/02/01 (USD) 218,472 246,682
380,000 HCA Inc., Callable, 6.500%, 2020/02/15 (USD) 523,830 548,101
410,000 HD Supply Inc., Callable, 7.500%, 2020/07/15 (USD) 557,947 559,984
110,000 Hertz Corp. (The), Callable, 7.375%, 2021/01/15 (USD) 149,486 148,465
85,000 Hertz Corp. (The), Callable, 7.500%, 2018/10/15 (USD) 110,513 112,926
15,000 Hexion Inc., Callable, 10.000%, 2020/04/15 (USD) 17,660 18,294
40,000 Hexion U.S. Finance Corp., Callable, 6.625%, 2020/04/15 (USD) 46,931 43,778
30,000 Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, Callable, 8.875%, 2018/02/01 (USD) 31,973 34,051
235,000 Hughes Satellite Systems Corp., Callable, 6.500%, 2019/06/15 (USD) 330,991 331,315
No. of Shares/
Par Value Description
Average
Cost ($)
Fair
Value ($)
– 19 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Percentages shown in brackets relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.
Schedule of Investment Portfolio as at June 30, 2016 (unaudited) (cont’d)
UNITED STATES BONDS - LONG POSITIONS (cont’d)
U.S. Corporate Bonds (59.93%) (cont’d)
80,000 J.C. Penney Co. Inc., 7.650%, 2016/08/15 (USD) 104,335 104,569
215,000 JBS USA LLC / JBS USA Finance Inc., Callable, 7.250%, 2021/06/01 (USD) 256,169 290,881
420,000 JBS USA LLC / JBS USA Finance Inc., Callable, 8.250%, 2020/02/01 (USD) 544,797 568,233
45,000 K Hovnanian Enterprises Inc., Callable, 9.125%, 2020/11/15 (USD) 55,261 40,100
397,000 K. Hovnanian Enterprises Inc., Callable, 7.250%, 2020/10/15 (USD) 464,360 449,318
30,000 Level 3 Financing Inc., Callable, 6.125%, 2021/01/15 (USD) 40,803 40,763
15,000 Oasis Petroleum Inc., Callable, 6.500%, 2021/11/01 (USD) 17,112 17,904
15,000 Penske Automotive Group Inc., Callable, 5.500%, 2026/05/15 (USD) 19,287 18,587
290,000 Sabine Pass LNG L.P., Callable, 7.500%, 2016/11/30 (USD) 386,253 384,665
95,000 Sirius XM Radio Inc., Callable, 6.000%, 2024/07/15 (USD) 128,121 128,065
445,000 Sprint Communications Inc., 9.000%, 2018/11/15 (USD) 601,113 618,700
520,000 Sprint Corp., 7.875%, 2023/09/15 (USD) 606,491 556,395
315,000 Sprint Nextel Corp., Callable, 6.000%, 2016/12/01 (USD) 405,705 413,369
35,000 Standard Pacific Corp., Callable, 10.750%, 2016/09/15 (USD) 45,896 46,306
113,000 Taylor Morrison Communities Inc. / Monarch Communities Inc., Callable, 5.625%, 2024/03/01 (USD) 126,454 144,062
150,000 Time Inc., Callable, 5.750%, 2022/04/15 (USD) 169,108 184,159
550,000 T-Mobile USA Inc., Callable, 6.625%, 2020/11/15 (USD) 695,308 740,536
295,000 Valeant Pharmaceuticals International Inc., Callable, 7.000%, 2020/10/01 (USD) 387,351 340,592
210,000 Whiting Petroleum Corp., Callable, 5.750%, 2021/03/15 (USD) 182,098 247,919
13,781,125 13,706,906
Total U.S. Bonds (59.93%) 13,781,125 13,706,906
INTERNATIONAL BONDS - LONG POSITIONS
International Bonds (7.48%)
55,000 Bertin SA / Bertin Finance Ltd., 10.250%, 2016/10/05 (USD) 71,771 72,802
475,000 Intelsat Jackson Holdings SA, Callable, 7.250%, 2019/04/01 (USD) 515,994 454,176
175,000 Intelsat Jackson Holdings SA, Callable, 8.000%, 2024/02/15 (USD) 230,069 225,381
55,000 JBS SA, 10.500%, 2016/08/04 (USD) 72,154 72,279
300,000 Numericable - SFR SA, Callable, 7.375%, 2026/05/01 (USD) 380,062 386,367
135,000 Numericable Group SA, Callable, 6.250%, 2024/05/15 (USD) 168,333 168,597
255,000 NXP BV / NXP Funding LLC, 3.500%, 2016/09/15 (USD) 328,982 332,233
1,767,365 1,711,835
Total International Bonds (7.48%) 1,767,365 1,711,835
Total Bonds (89.99%) 20,711,100 20,584,961
TERM LOANS
Term Loans (0.75%)
149,896 MEG Energy Corp., Term Loan, 3.750%, 2020/03/21 (USD) 162,317 172,262
162,317 172,262
Total Loans (0.75%) 162,317 172,262
CANADIAN EQUITIES - LONG POSITIONS
Canadian Equities (0.31%)
300,000 Marret High Yield Strategies Fund - 16,500
167,138 Marret Resource Corp. 136,080 54,738
47,000 Xinergy Ltd., Warrants, 2017/08/13 - -
136,080 71,238
CANADIAN EQUITIES - SHORT POSITIONS
Canadian Equities (-2.33%)
(7,600) First Quantum Minerals Ltd. (74,084) (68,932)
(14,100) Hudbay Minerals Inc. (53,939) (86,997)
(31,500) iShares S&P/TSX Capped Energy Index ETF (439,911) (378,000)
(567,934) (533,929)
Total Canadian Equities (-2.02%) (431,854) (462,691)
No. of Shares/
Par Value Description
Average
Cost ($)
Fair
Value ($)
– 20 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Schedule of Investment Portfolio as at June 30, 2016 (unaudited) (cont’d)
‡ Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service.
Percentages shown in brackets relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.
UNITED STATES EQUITIES - SHORT POSITIONS
U.S. Equities (-1.97%)
(4,100) iShares iBoxx $ High Yield Corporate Bond ETF (447,818) (451,710)
(447,818) (451,710)
Total U.S. Equities (-1.97%) (447,818) (451,710)
Total Equities (-3.99%) (879,672) (914,401)
Total Investments (86.75%) 19,993,745 19,842,822
Investments, Long Positions 21,009,497 20,828,461
Investments, Short Positions (1,015,752) (985,639)
Less: Transaction cost (380)
Total Investments (86.75%) 19,993,365 19,842,822
Margin (0.42%) 96,593
Unrealized gain on foreign currency forward contracts (0.10%) (see Schedule A) 21,844
Unrealized loss on foreign currency forward contracts (-0.50%) (see Schedule A) (113,165)
Unrealized loss on credit default swaps contracts (-0.12%) (see Schedule B) (27,393)
Other Assets, Less Liabilities (13.35%) 3,054,095
Net Assets Attributable to Holders of Redeemable Units (100.00%) 22,874,796
Schedule A
Foreign Currency Forward Contracts (-0.40%)
Credit Rating for Settlement Currency Currency Forward Current Unrealized
Counterparty Counterparty‡ Date Buys Par Value Sells Par Value Rate Rate Gain (Loss) ($)
Bank of New York Mellon (The), New York A-1+ 2016-09-09 USD 272,000 CAD 354,158 1.302 1.301 (360)
Bank of New York Mellon (The), New York A-1+ 2016-09-09 USD 250,000 CAD 323,667 1.295 1.301 1,515
Bank of New York Mellon (The), New York A-1+ 2016-09-09 USD 68,132 CAD 88,261 1.295 1.301 359
Bank of New York Mellon (The), New York A-1+ 2016-09-09 USD 23,496 CAD 30,438 1.295 1.301 124
Bank of New York Mellon (The), New York A-1+ 2016-09-09 USD 3,518 CAD 4,500 1.279 1.301 75
Bank of New York Mellon (The), New York A-1+ 2016-09-09 USD 1,173 CAD 1,500 1.279 1.301 25
Bank of New York Mellon (The), New York A-1+ 2016-09-09 CAD 323,667 USD 250,000 0.772 0.769 (1,515)
Bank of New York Mellon (The), New York A-1+ 2016-09-09 CAD 23,477,727 USD 18,134,000 0.772 0.769 (109,639)
Bank of New York Mellon (The), New York A-1+ 2016-09-09 CAD 270,400 USD 209,000 0.773 0.769 (1,452)
Bank of New York Mellon (The), New York A-1+ 2016-09-09 CAD 240,435 USD 185,000 0.769 0.769 (199)
Bank of New York Mellon (The), New York A-1+ 2016-09-09 CAD 1,400 USD 1,070 0.764 0.769 9
Bank of New York Mellon (The), New York A-1+ 2016-09-09 CAD 500 USD 382 0.764 0.769 3
Royal Bank of Canada A-1+ 2016-09-09 USD 3,135,000 CAD 4,058,853 1.295 1.301 18,924
Royal Bank of Canada A-1+ 2016-09-09 USD 50,000 CAD 64,226 1.285 1.301 810
Total Foreign Currency Forward Contracts Value (91,321)
Schedule B
Credit Default Swap Contracts (-0.12%)
Underlying Security
Counterparty Credit Rating‡ Notional Amount Expiry Date Fair Value ($)
Pay 1.00% quarterly times the notional amount
Receive a payment only upon a default event
of Markit CDX NA HY S26 Index Credit Suisse A-1 660,000 2021-06-20 (27,393)
Total Credit Default Swap Contracts Value (27,393)
No. of Shares/
Par Value Description
Average
Cost ($)
Fair
Value ($)
– 21 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
Financial Instruments by Category (Note 2)
The following tables present the carrying amounts of the Fund’s financial instruments by category:
as at June 30, 2016
Held for
Trading
Financial Assets/
Liabilities as FVTPL
Designated at Inception Total
Financial Assets/
Liabilities at
Amortized Cost Total
(in $) (in $) (in $) (in $) (in $)
- 20,828,461 20,828,461 - 20,828,461
- - - 939,179 939,179
- - - 1,852,600 1,852,600
- - - 96,593 96,593
- - - 622,052 622,052
- - - - -
- - - 367,091 367,091
- - - 1,312 1,312
- - - 8,702 8,702
21,844 - 21,844 - 21,844
21,844 20,828,461 20,850,305 3,887,529 24,737,834
985,639 - 985,639 - 985,639
- - - - -
- - - - -
- - - - -
- - - 685,499 685,499
- - - - -
- - - 22,263 22,263
- - - - -
- - - 27,767 27,767
- - - - -
- - - 1,312 1,312
- - - - -
140,558 - 140,558 - 140,558
1,126,197 - 1,126,197 736,841 1,863,038
The accompanying notes are an integral part of these financial statements.
Assets
Investments
Cash
Cash held at broker
Margin
Receivable for investments sold
Receivable for unit subscriptions
Interest receivable
Dividends receivable
Other assets
Derivative assets
Liabilities
Investments sold short
Bank overdraft
Due to broker
Margin
Payable for investments purchased
Payable for unit redemptions
Management fees payable
Performance fees payable
Other accrued expenses
Distributions payable to holders of redeemable units
Dividends payable on investments sold short
Interest payable on investments sold short
Derivative liabilities
– 22 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
as at December 31, 2015
Held for
Trading
Financial Assets/
Liabilities as FVTPL
Designated at Inception Total
Financial Assets/
Liabilities at
Amortized Cost Total
(in $) (in $) (in $) (in $) (in $)
- 24,811,230 24,811,230 - 24,811,230
- - - 607,169 607,169
- - - 3,700,173 3,700,173
- - - - -
- - - 475,543 475,543
- - - - -
- - - 561,098 561,098
- - - - -
- - - 14,009 14,009
34,887 - 34,887 - 34,887
34,887 24,811,230 24,846,117 5,357,992 30,204,109
1,590,585 - 1,590,585 - 1,590,585
- - - - -
- - - 4,090,282 4,090,282
- - - - -
- - - - -
- - - 1,525,642 1,525,642
- - - 26,336 26,336
- - - - -
- - - 33,248 33,248
- - - - -
- - - 5,299 5,299
- - - - -
861,437 - 861,437 - 861,437
2,452,022 - 2,452,022 5,680,807 8,132,829
The accompanying notes are an integral part of these financial statements.
Assets
Investments
Cash
Cash held at broker
Margin
Receivable for investments sold
Receivable for unit subscriptions
Interest receivable
Dividends receivable
Other assets
Derivative assets
Liabilities
Investments sold short
Bank overdraft
Due to broker
Margin
Payable for investments purchased
Payable for unit redemptions
Management fees payable
Performance fees payable
Other accrued expenses
Distributions payable to holders of redeemable units
Dividends payable on investments sold short
Interest payable on investments sold short
Derivative liabilities
Financial Instruments by Category (Note 2) (cont’d)
– 23 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
Net Gain (Loss) on Financial Instruments (Note 2) for the periods ended June 30 (in $)
The following table presents the net gain (loss) on financial instruments at FVTPL by category.
2016 2015
Financial Instruments at FVTPL
Held for trading 1,435,423 (1,754,106)
Designated at fair value through profit or loss 428,596 3,117,548
Total 1,864,019 1,363,442
Offsetting of Financial Instruments (Note 2)
The following tables show the net impact on the Fund’s Statements of Financial Positon if all rights to offset were exercised.
as at June 30, 2016
Amounts Eligible for Offset
Gross Assets/
(Liabilities)
Financial
Instruments
Collateral
(Received)/Paid
Net
Exposure
(in $) (in $) (in $) (in $)
Derivative assets 21,844 (21,844) - -
Derivative liabilities (140,558) 21,844 27,393 (91,321)
as at December 31, 2015
Amounts Eligible for Offset
Gross Assets/
(Liabilities)
Financial
Instruments
Collateral
(Received)/Paid
Net
Exposure
(in $) (in $) (in $) (in $)
Derivative assets 34,887 (4,179) - 30,708
Derivative liabilities (861,437) 4,179 - (857,258)
Interest in Non-Consolidated Structured Entities (Note 2)
The following tables present the Fund’s interest in Non-Consolidated Structured Entities.
as at June 30, 2016
Fair Value of
the Underlying Funds / ETFs
Fair Value of the Fund’s Investment
in the Underlying Funds / ETFs
Ownership in the
Underlying Funds / ETFs
Non-Consolidated Structured Entities (in $) (in $) (%)
Marret Resource Corp. 19,416,000 54,738 0.28
Marret High Yield Strategies Fund 26,751,767 16,500 0.06
as at December 31, 2015
Fair Value of
the Underlying Funds / ETFs
Fair Value of the Fund’s Investment
in the Underlying Funds / ETFs
Ownership in the
Underlying Funds / ETFs
Non-Consolidated Structured Entities (in $) (in $) (%)
Marret Resource Corp. 14,793,728 49,306 0.33
Marret High Yield Strategies Fund 26,764,866 13,500 0.05
The accompanying notes are an integral part of these financial statements.
– 24 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
Redeemable Unit Transactions (Note 4)for the periods ended June 30
2016 2015
Series A
Number of redeemable units at the beginning of period 854,465 925,324
Redeemable units issued for cash 38,188 -
Series consolidation - -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed (653,774) (27,265)
Number of redeemable units at the end of period 238,879 898,059
Series A - USD
Number of redeemable units at the beginning of period 2,703 23,436
Redeemable units issued for cash - -
Series consolidation - -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - (2,157)
Number of redeemable units at the end of period 2,703 21,279
Series F
Number of redeemable units at the beginning of period 1,062,848 1,581,524
Redeemable units issued for cash 573,732 -
Series consolidation 82,187 -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed (41,737) (82,294)
Number of redeemable units at the end of period 1,677,030 1,499,230
Series F - USD
Number of redeemable units at the beginning of period 7,000 -
Redeemable units issued for cash - -
Series consolidation - -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period 7,000 -
Class AA
Number of redeemable units at the beginning of period - 13,710
Redeemable units issued for cash - -
Series consolidation - -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - (13,710)
Number of redeemable units at the end of period - -
Class FF
Number of redeemable units at the beginning of period 309,443 321,147
Redeemable units issued for cash - -
Series consolidation 81,406 -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed (43,540) (10,822)
Number of redeemable units at the end of period 347,309 310,325
Class FF Series 0513
Number of redeemable units at the beginning of period 7,298 7,298
Redeemable units issued for cash - -
Series consolidation (7,298) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - 7,298
The accompanying notes are an integral part of these financial statements.
– 25 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
Redeemable Unit Transactions (Note 4) (cont’d)for the periods ended June 30
2016 2015
Class FF Series 1213
Number of redeemable units at the beginning of period 12,978 12,978
Redeemable units issued for cash - -
Series consolidation (12,978) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - 12,978
Class FF Series 1313
Number of redeemable units at the beginning of period 538 717
Redeemable units issued for cash - -
Series consolidation (538) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - 717
Class FF Series 0114
Number of redeemable units at the beginning of period 28,471 28,471
Redeemable units issued for cash - -
Series consolidation (28,471) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - 28,471
Class FF Series 0214
Number of redeemable units at the beginning of period 16,115 16,115
Redeemable units issued for cash - -
Series consolidation (16,115) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - 16,115
Class FF Series 0314
Number of redeemable units at the beginning of period 15,870 15,870
Redeemable units issued for cash - -
Series consolidation (15,870) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - 15,870
Class F Series 1114
Number of redeemable units at the beginning of period 10,921 10,921
Redeemable units issued for cash - -
Series consolidation (10,921) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - 10,921
Class F Series 1214
Number of redeemable units at the beginning of period 41,700 -
Redeemable units issued for cash - 41,700
Series consolidation (41,700) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - 41,700
The accompanying notes are an integral part of these financial statements.
– 26 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Redeemable Unit Transactions (Note 4) (cont’d)for the periods ended June 30
2016 2015
Class F Series 0615
Number of redeemable units at the beginning of period 17,180 -
Redeemable units issued for cash - -
Series consolidation (17,180) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - -
Class F Series 0715
Number of redeemable units at the beginning of period 8,105 -
Redeemable units issued for cash - -
Series consolidation (8,105) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - -
Class F Series 0815
Number of redeemable units at the beginning of period 3,681 -
Redeemable units issued for cash - -
Series consolidation (3,681) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - -
Class F Series 0915
Number of redeemable units at the beginning of period 365 -
Redeemable units issued for cash - -
Series consolidation (365) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - -
Class F Series 1015
Number of redeemable units at the beginning of period 237 -
Redeemable units issued for cash - -
Series consolidation (237) -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period - -
Class F Series 0516
Number of redeemable units at the beginning of period - -
Redeemable units issued for cash 53,375 -
Series consolidation - -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period 53,375 -
Class F - USD Series 0516
Number of redeemable units at the beginning of period - -
Redeemable units issued for cash 24,715 -
Series consolidation - -
Redeemable units issued for reinvested distributions - -
Redeemable units redeemed - -
Number of redeemable units at the end of period 24,715 -
– 27 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
Related Party Investments (Note 7) as at June 30, 2016
Fair Value
Investments (in $)
Marret Resources Corp. 54,738
Marret High Yield Strategies Fund 16,500
as at June 30, 2015
Fair Value
Investments (in $)
Marret Resources Corp. 680,252
Marret High Yield Strategies Fund 177,000
The accompanying notes are an integral part of these financial statements.
– 28 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Concentration Risk For Concentration Risk as at June 30, 2016, refer to the Schedule of Investment Portfolio.
The Fund’s investments were concentrated in the following segments:
as at December 31, 2015
% of Net Assets Attributable to
Holders of Redeemable Units
Canadian Corporate Bonds - long positions 29.98
U.S. Corporate Bonds - long positions 75.20
International Bonds - long positions 4.85
Total Bonds 110.03
Term Loans 1.81
Canadian Equities - long positions 0.58
Canadian Equities - short positions (2.56)
U.S. Equities - short positions (4.65)
Total Equities (6.63)
Total Investments 105.21
Credit Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the tables below.
as at June 30, 2016
% of Net Assets Attributable to Holders of Redeemable Units
Credit Rating^* Long Short Net
AAA 0.10 - 0.10
BBB 5.78 - 5.78
Below BBB 84.96 - 84.96
Total 90.84 - 90.84
as at December 31, 2015
% of Net Assets Attributable to Holders of Redeemable Units
Credit Rating^* Long Short Net
AAA 0.16 - 0.16
BBB 1.48 - 1.48
Below BBB 108.59 - 108.59
Unrated 1.77 - 1.77
Total 112.00 - 112.00
^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service, respectively.
*Refer to Note 8 for Credit Rating Chart reference.
Financial Instruments Risks (Note 8)
– 29 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fund Specific Notes to Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
Other Price RiskAs at June 30, 2016 and December 31, 2015, the Fund was exposed to other price risk as some of its assets were invested in equities.
As at June 30, 2016, had the global markets increased or decreased by 5% (December 31, 2015 - 5%), with all other variables held constant, net assets attributable to holders of
redeemable units of the Fund would have increased or decreased, respectively, by approximately $45,720 (December 31, 2015 - $73,124). In practice, actual results may differ from
this analysis and the difference may be material.
Currency Risk The tables below summarize the Fund’s exposure to currency risk.
as at June 30, 2016
Currency
Net Currency
Risk Investments Working Capital
Currency Risk Due
From (To) Broker
Forward Currency
Contracts Net Exposure
% of Net Assets
Attributable to
Holders of
(in $) (in $) (in $) (in $) (in $) Redeemable Units
US Dollar 18,177,611 555,253 1,215,796 (19,479,848) 468,812 2.05
Total 18,177,611 555,253 1,215,796 (19,479,848) 468,812 2.05
as at December 31, 2015
Currency
Net Currency
Risk Investments Working Capital
Currency Risk Due
From (To) Broker
Forward Currency
Contracts Net Exposure
% of Net Assets
Attributable to
Holders of
(in $) (in $) (in $) (in $) (in $) Redeemable Units
US Dollar 20,458,480 1,474,568 3,033,076 (24,607,485) 358,639 1.52
Total 20,458,480 1,474,568 3,033,076 (24,607,485) 358,639 1.52
As at June 30, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 - 5%) in relation to all other foreign currencies held in the Fund, with all
other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $23,441
(December 31, 2015 - $17,932). In practice, the actual results may differ from this analysis and the difference may be material.
Interest Rate RiskThe tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual maturity date.
as at June 30, 2016
Bonds Long (in $) Short (in $) Net (in $)
< 1 year 1,719,716 - 1,719,716
1-3 years 2,983,241 - 2,983,241
3-5 years 9,647,612 - 9,647,612
> 5 years 6,406,654 - 6,406,654
Total 20,757,223 - 20,757,223
as at December 31, 2015
Bonds Long (in $) Short (in $) Net (in $)
< 1 year 390,720 - 390,720
1-3 years 1,687,597 - 1,687,597
3-5 years 8,250,354 - 8,250,354
> 5 years 14,354,441 - 14,354,441
Total 24,683,112 - 24,683,112
As at June 30, 2016, had the prevailing interest rates increased or decreased by 1% (December 31, 2015 - 1%), with all other variables held constant, net assets attributable to
holders of redeemable units of the Fund would have indirectly decreased or increased, respectively, by approximately $783,030 (December 31, 2015 - $1,121,836). In practice, the
actual results may differ from this analysis and the difference may be material.
– 30 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Fair Value Hierarchy
The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value.
as at June 30, 2016
Level 1 (in $) Level 2 (in $) Level 3 (in $) Total (in $)
Bonds - 20,757,223 - 20,757,223
Equities 71,238 - - 71,238
Foreign forward currency contracts - 21,844 - 21,844
Total Financial Assets 71,238 20,779,067 - 20,850,305
Bonds - - - -
Equities (985,639) - - (985,639)
Foreign forward currency contracts - (113,165) - (113,165)
Credit default swaps contracts - (27,393) - (27,393)
Total Financial Liabilities (985,639) (140,558) - (1,126,197)
Total Investments (914,401) 20,638,509 - 19,724,108
as at December 31, 2015
Level 1 (in $) Level 2 (in $) Level 3 (in $) Total (in $)
Bonds - 24,683,112 - 24,683,112
Equities 128,118 - - 128,118
Foreign forward currency contracts - 34,887 - 34,887
Total Financial Assets 128,118 24,717,999 - 24,846,117
Bonds - - - -
Equities (1,590,585) - - (1,590,585)
Foreign forward currency contracts - (861,437) - (861,437)
Total Financial Liabilities (1,590,585) (861,437) - (2,452,022)
Total Investments (1,462,467) 23,856,562 - 22,394,095
There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2016 and the year ended December 31, 2015.
Fund Specific Notes to Financial Statements (unaudited)
The accompanying notes are an integral part of these financial statements.
– 31 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Notes to the Financial Statements (unaudited)
1. THE FUNDThe Marret High Yield Fund (the “Fund”) is an investment trust established under the laws of the Province of Ontario and is governed by a declaration of
trust dated April 5, 2012 as amended and restated on October 31, 2014. Marret Asset Management Inc. is the manager and the trustee (the “Manager”
and the “Trustee”) of the Fund. The Fund is organized as an open-ended unincorporated trust and is authorized to issue an unlimited number of units of
multiple series and class. Under the original declaration it was contemplated that the Fund would issue Series A units (to any investors who meet the
minimum investment criteria), Series F units (available to investors who participate in fee-based programs through their registered dealer) and Series I
units (available only to institutional clients of the Manager). Under the amended and restated declaration of trust and to accommodate a merger,
two additional classes were created Class AA and Class FF. Each Series of units are available in a Canadian Dollar and U.S. Dollar class. No Series I
units have been issued through June 30, 2016. The Fund commenced operations on April 17, 2012. There was no activity from inception date to
commencement of operations. CIBC Mellon Trust Company is the custodian (the “Custodian”) of the Fund.
In December 2013, CI Financial Corp. completed its acquisition of 65% of the issued and outstanding common shares of the Manager. The effective
closing date of this transaction was November 29, 2013. CI Financial Corp. is a diversified wealth management company publicly traded on the Toronto
Stock Exchange (the “TSX”) under the symbol CIX.
The address of the Fund’s registered office is 2 Queen Street East, Twelfth Floor, Toronto, Ontario, M5C 3G7. These financial statements are authorized
for issue by the Manager on August 16, 2016.
The termination date for the Fund was December 24, 2014 (the “Termination Date”). The Fund continues after the Termination Date in order to hold a
portfolio of diversified investments.
The primary investment objective of the Fund is to provide investors with consistent positive absolute returns while maintaining low correlations with
recognized fixed income and equity index returns.
To achieve its objective, the Fund invests primarily in a broad range of public and private debt securities, both investment and non-investment grade,
including corporate bonds and bank loans, government debt and convertible debentures. The Fund may also invest in equity securities, such as common
shares, preferred shares and warrants, and utilize other financial instruments, including exchange-traded funds and credit and/or index based derivatives.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIESThese financial statements are prepared in accordance with International Financial Reporting Standards (“IFRS”) as published by the International
Accounting Standards Board (“IASB”). The following is a summary of the significant accounting policies of the Fund:
a) Classification and recognition of financial instruments
The Fund recognizes financial instruments at fair value upon initial recognition, inclusive of transaction costs in the case of financial instruments
not measured at fair value through profit or loss. Purchases and sales of financial assets are recognized at their trade date. The Fund’s investments,
investments sold short and derivative assets and liabilities are measured at fair value through profit or loss (“FVTPL”). The Fund’s obligations for net
assets attributable to holders of redeemable units are presented at the redemption amount, which approximates their fair value. All other financial
assets and liabilities are measured at amortized cost, which approximates their fair value. Under this method, financial assets and liabilities reflect the
amount required to be received or paid, discounted, when appropriate, at the effective rate of interest.
Financial assets and liabilities are offset and the net amount is presented in the Statements of Financial Position when, and only when, the Fund has a
legal right to offset the amounts and intend either to settle on a net basis or to realize the asset and settle the liability simultaneously. In the normal course
of business, the Fund enters into various master netting agreements or similar agreements that do not meet the criteria for offsetting in the Statements
of Financial Position but still allow for the related amounts to be offset in certain circumstances, such as bankruptcy or termination of the contracts.
b) Fair valuation of financial instruments
At the financial reporting date, listed securities are valued based on the last traded market price for financial assets and financial liabilities where
the last traded price falls within the day’s bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager
– 32 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Notes to the Financial Statements (unaudited) (cont’d)
determines the point within the bid-ask spread that is most representative of fair value based on the existing market conditions. Unlisted securities are
valued based on price quotations from recognized investment dealers, or failing that, their fair value is determined by the Manager on the basis of the
latest reported information available. Fixed income securities, debentures and other debt instruments including short-term investments, are valued at
the quotation from recognized investment dealers.
c) Financial assets and liabilities at fair value
The Fund classifies its investments in equity, fixed income securities and derivatives as financial assets or financial liabilities at fair value through
profit or loss.
This category has two sub-categories: financial assets or financial liabilities held for trading and those designated at fair value through profit or loss
at inception.
Financial assets or financial liabilities held for trading
A financial asset or financial liability is classified as held for trading (“HFT”) if it is acquired or incurred principally for the purpose of selling or
repurchasing in the near term or if on initial recognition is part of a portfolio of identifiable financial investments that are managed together and
for which there is evidence of a recent actual pattern of short-term profit taking. The Fund’s derivative instruments, warrants and securities sold
short are also categorized as HFT.
Financial assets or financial liabilities designated at fair value through profit or loss at inception
Financial assets and financial liabilities designated at fair value through profit or loss at inception are financial instruments that are not classified
as HFT but are managed, and their performance is evaluated on a fair value basis in accordance with the Fund’s documented investment strategy.
The Fund’s investments excluding derivative instruments, warrants and securities sold short are designated as FVTPL.
d) Cash
Cash consists of deposits with financial institutions.
e) Cash held at broker
Cash held at broker are accounts holding cash balances and short-term highly liquid debt investments with maturities of less than three months at date
of acquisition.
f) Cost of investments
Cost of investments represents the amount paid for each security and is determined on an average cost basis excluding commissions and transaction
costs. Average cost does not include amortization of premiums or discounts on fixed income securities with the exception of zero coupon bonds.
g) Investment transactions and income recognition
Investment transactions are recorded on the trade date – the date on which the Fund commits to purchase or sell the investment. The “Interest for
distribution purposes” shown on the Statements of Comprehensive Income represents the coupon interest received by the Fund and is accounted for on
an accrual basis. The Fund does not amortize premiums paid or discounts received on the purchase of fixed income securities except for zero coupon
bonds which are amortized on a straight line basis.
Dividends and distributions from investments are recognized on the ex-dividend/ex-distribution date.
Distributions received from income trusts holdings are recorded as income, capital gains or a return of capital, based on the best information available
to the Manager. Due to the nature of these investments, actual allocations could vary from this information. Distributions from income trusts that are
treated as a return of capital for income tax purposes reduce the average cost of the underlying income trusts.
h) Functional currency
The Fund’s subscriptions and redemptions are principally denominated in Canadian dollars, which is also the Fund’s functional and presentation currency.
– 33 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
i) Foreign exchange
Foreign currency amounts are translated into the functional currency as follows: fair value of investments, foreign currency forward contracts and other
assets and liabilities at the closing rate of exchange on each business day; income and expenses, purchases and sales and settlements of investments at
the rate of exchange prevailing on the respective dates of such transactions. Foreign exchange gains (losses) relating to cash are presented as “Foreign
exchange gain (loss) on cash” and “Change in unrealized foreign exchange gain (loss) on cash” and those relating to investments and derivatives are
presented within “Net realized gain (loss) on sale of investments and derivatives” and “Change in unrealized appreciation (depreciation) in value of
investments and derivatives” in the Statements of Comprehensive Income.
j) Unit valuation
Net asset value per unit is calculated at the close of business on every valuation date as the net asset value attributable to each series of units divided by its
outstanding units at each series. A valuation date is the last business day of each month or such other business day or days as the Manager may determine.
As at June 30, 2016, December 31, 2015 and June 30, 2015, there were no differences between the NAV used for transactions with unitholders and the
net assets attributable to holders of redeemable units used for reporting purposes under IFRS.
k) Classification of units
The Fund’s units are classified as liability, because they don’t meet the “identical features” criteria and therefore violate IAS 32.16A(c).
l) Commissions and other portfolio transaction costs
Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities, are included in “Commissions and other portfolio
transaction costs” in the Statements of Comprehensive Income.
m) Allocation of income and expenses
With the exception of management fees and forward currency contracts, expenses, and gains and losses are allocated to each series on a pro rata basis
based on the net asset value attributable to each series of units.
n) Increase (decrease) in net assets attributable to holders of redeemable units per unit
“Increase (decrease) in net assets attributable to holders of redeemable units per unit” in the Statements of Comprehensive Income represents the
increase (decrease) in net assets attributable to holders of redeemable units of each series, divided by weighted average number of outstanding units
of the relevant series during the period.
o) Foreign currency forward contracts
The Fund may, from time to time, enter into foreign currency forward contracts. Foreign currency forward contracts are valued on each valuation day based
on the difference between the contract rates and the current forward rate at the measurement date applied to the contracts notional amount adjusted for
counterparty risk. All unrealized gains (losses) arising from foreign currency forward contracts are recorded as part of “Change in unrealized appreciation
(depreciation) in value of investments and derivatives” in the Statements of Comprehensive Income and “Derivative assets/liabilities” in the Statements
of Financial Position until the contracts are closed out or expire, at which time the gains (losses) are realized and reported as “Net realized gain (loss) on
sale of investments and derivatives” in the Statements of Comprehensive Income.
p) Credit default swaps
Credit default swaps are agreements to mitigate credit risk exposure to certain issuing entities (“Referenced Entity”) held by the Fund or to increase
credit risk exposure to the Referenced Entity by creating a notional investment position for the Fund. Where a notional investment position is created, the
credit risk exposure of the Fund is comparable to the exposure that would have resulted if the Fund had invested directly in the Referenced Entity. Under
a credit default swap agreement, the protection buyer, whose intention is to reduce its credit risk exposure to the Referenced Entity, pays a premium to
the protection seller, who assumes the credit risk of a default of the bond of a Referenced Entity. This premium is paid at regular intervals over the term
of the credit default swap agreement. In return for the premium paid, the protection buyer is entitled to receive from the protection seller full payment for
a loss arising from a credit default event of the Referenced Entity. A credit default event may be triggered by bankruptcy, failure to pay or restructuring
of the Referenced Entity. If a credit default event occurs, the credit default swap may be settled by either the physical delivery of the bond for proceeds
equal to par value, or a cash payment equal to the loss amount. Credit default swaps are valued based on dealer-supplied valuations.
Notes to the Financial Statements (unaudited) (cont’d)
– 34 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Changes in value of credit default swap agreements are recorded as part of “Change in unrealized appreciation (depreciation) in value of investments
and derivatives” in the Statements of Comprehensive Income. Premiums paid or received from credit default swap agreements are included in investment
income. When credit default swap agreements expire or are closed out, gains or losses are included in “Net realized gain (loss) on sale of investments
and derivatives” in the Statements of Comprehensive Income.
q) Short selling
When the Fund sells a security short, it will borrow that security from a broker, for a fee, to complete the sale. The maximum loss on securities sold
short can be unlimited. The Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short
sale and the date on which the Fund closes out its short position by buying that security. The Fund will realize a gain if the security declines in price
between those dates. The gains or losses arising from short positions are reflected in the Statements of Comprehensive Income as part of “Change in
unrealized appreciation (depreciation) in value of investments and derivatives” and fair value of short positions is reflected in the Statements of Financial
Position in “Investments sold short”. When the short position is closed out, gains or losses are realized and included in “Net realized gain (loss) on sale
of investments and derivatives” in the Statements of Comprehensive Income. Fees paid to a broker for borrowing a security are included in “Securities
borrowing fee” in the Statements of Comprehensive Income.
r) Offsetting of financial instruments
The disclosures set out in the Offsetting of Financial Instruments tables in the Fund Specific Notes to Financial Statements include foreign currency
forward contracts assets and liabilities that are subject to an enforceable master netting arrangement. Transactions with individual counterparties are
governed by separate master netting agreements. Each agreement allows for net settlement of certain open contracts where the Fund and respective
counterparty both elect to settle on a net basis. In the absence of such an election, contracts will be settled on a gross basis. However, each party to the
master netting agreement will have the option to settle all open contracts on a net basis in the event of default of the other party. All other derivative
instruments held by the Fund are settled on a gross basis.
s) Investments in associates, joint ventures, subsidiaries and structured entities
Subsidiaries are entities, including investments in other investment entities, over which the Fund has control. The Fund controls an entity when it is
exposed to, or has rights to, variable returns from its involvement with the entity, and has the ability to affect those returns through its power over
the entity. Associates and joint ventures are investments over which the Fund has significant influence or joint control. A structured entity is an entity
that has been designed so that voting or similar rights are not the dominant factors in deciding who controls the entity, or when voting rights relate to
administrative tasks only and the relevant activities are directed by means of contractual arrangements.
The Manager has determined that Exchange-traded Funds (“ETFs”) held typically by the Fund meet the definition of structured entities. The Fund accounts
for its investments in unconsolidated structured entities at fair value through profit or loss.
The Fund invests in ETFs which are disclosed on the Schedule of Investment Portfolio. These ETFs finance their operations by issuing redeemable shares
which are puttable at the holder’s option and entitle the holder to a proportional stake in each ETF’s net asset value. The ETFs are domiciled in the U.S.
and are listed on recognized public stock exchanges.
The Fund may, from time to time, invest in Underlying Funds and as a result the Fund may be subject to the terms and conditions of the respective
Underlying Funds’ offering documents and are susceptible to market price risk arising from uncertainties about future values of those Underlying Funds.
All of the Underlying Funds in the investment portfolio are managed by portfolio managers who are compensated by the respective Underlying Funds
for their services. Such compensation generally consists of an asset-based fee and is reflected in the valuation of each of the Underlying Funds, except
when the Fund invests in certain classes of the Underlying Funds where the compensation to portfolio managers is negotiated and paid outside each of
the Underlying Funds. The Underlying Funds finance their operations by issuing redeemable units that entitle the holders to an equal beneficial interest
in the Underlying Funds. The Fund can redeem its investments in the Underlying Funds on a daily basis. These investments are included in “Investments”
at fair value through profit or loss in the Statements of Financial Position. The Fund’s maximum exposure to loss from its interest in Underlying Funds is
equal to the total fair value of their investments in Underlying Funds.
Information related to Interest in Underlying Funds for the Fund appears under the Fund Specific Notes to Financial Statements, if applicable.
Notes to the Financial Statements (unaudited) (cont’d)
– 35 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
t) Issuance costs
Issue costs associated with the offering have been recorded as a reduction to unitholders’ equity during the year in which they were incurred. The amount
represents a one-time charge in connection with the offering and was paid out of the gross proceeds of the offering.
u) Return of capital
Distributions received as return of capital (“ROC”) from investments reduce the adjusted cost base (“ACB”) of the underlying investments. Distributions
received from investments are allocated initially as dividends, interest, capital gains, or ROC based on estimates of the categorization of distributions
received from the underlying issuers. These allocations may change once the final categorization of the distributions is received on an annual basis from
the underlying issuers.
v) Withholding taxes
The Fund may, from time to time, incur withholding taxes imposed by certain countries on investment income and capital gains. Such income and gains
are recorded on a gross basis and the related withholding taxes are shown separately in the Statements of Comprehensive Income.
w) Accounting standards issued but not yet adopted
IFRS 9, Financial Instruments
The final version of IFRS 9, Financial Instruments, was issued by the IASB in July 2014 and will replace IAS 39 Financial Instruments: Recognition
and Measurement. IFRS 9 introduces a model for classification and measurement, a single, forward-looking ‘expected loss’ impairment model and a
substantially reformed approach to hedge accounting. The new single, principle based approach for determining the classification of financial assets is
driven by cash flow characteristics and the business model in which an asset is held. The new model also results in a single impairment model being
applied to all financial instruments, which will require more timely recognition of expected credit losses. It also includes changes in respect of own credit
risk in measuring liabilities elected to be measured at fair value, so that gains caused by the deterioration of an entity’s own credit risk on such liabilities
are no longer recognized in profit or loss. IFRS 9 is effective for annual periods beginning on or after January 1, 2018, however it is available for early
adoption. In addition, the own credit changes can be early applied in isolation without otherwise changing the accounting for financial instruments. The
Fund’s Manager is in the process of assessing the impact of IFRS 9 on the Fund and has not yet determined when it will adopt the new standard.
3. CRITICAL ACCOUNTING JUDGMENTS AND ESTIMATES The preparation of financial statements in accordance with IFRS requires management to make judgments, estimates and assumptions that affect the
application of accounting policies and reported amounts of assets and liabilities at the reporting date and the reported amounts of income and expenses
during the reporting period. The following discusses the most significant accounting judgments and estimates that the Fund has made in preparing its
financial statements:
Fair value measurement of investments and derivatives not quoted in active market
The Fund may, from time to time, hold financial instruments that are not quoted in active markets, such as unlisted securities, private securities
or derivatives. Unlisted securities are valued based on price quotations from recognized investment dealers, or failing that, their fair value is
determined by the Manager on the basis of the latest reported information available. The fair value of private securities is determined by using
valuation models that may be based, in part, on assumptions that are not supported by observable market inputs. These methods and procedures
may include, but are not limited to, performing comparisons with prices of comparable or similar securities, obtaining valuation related information
from issuers and/or other analytical data relating to the investment and using other available indications of value. These values are independently
assessed by the Manager to ensure that they are reasonable. However, because of the inherent uncertainty of valuation, the estimated fair values
for these securities may be materially different from the values that would have been used had a ready market for the investment existed. The fair
values of private securities are affected by the perceived credit risks of the issuer, predictability of cash flows and the length of time to maturity.
Valuation models use observable data, to the extent practicable. However, areas such as credit risk (both own and counterparty); volatilities and
correlations require the Manager to make estimates. Changes in assumptions about these factors could affect the reported fair values of financial
instruments.
The Fund considers observable data to be market data that is readily available, regularly distributed and updated, reliable and verifiable, not
proprietary, and provided by independent sources that are actively involved in the relevant market.
Notes to the Financial Statements (unaudited) (cont’d)
– 36 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Classification and measurement of investments and application of the fair value option
In classifying and measuring financial instruments held by the Fund, the Manager is required to make significant judgments about whether or not
the business of the Fund is to invest on a total return basis for the purpose of applying the fair value option for the financial assets under IAS 39,
Financial Instruments – Recognition and Measurement. The most significant judgment made includes the determination that the fair value option
can be applied to those investments that are not HFT.
4. REDEEMABLE UNITSUnits issued and outstanding represent the capital of the Fund.
The Manager is responsible for managing the Fund in accordance with its mandate and the affairs of the Fund.
The Fund is organized as an open-ended trust and is authorized to issue an unlimited number of units of multiple series, each of which represents a
pro rata interest in the Fund. Each whole unit of a series is entitled to one vote at all meetings of unitholders and is entitled to participate equally with
respect to any and all distributions to that series made by the Fund and distributions to that series upon the termination of the Fund.
Subscriptions
Subscriptions will be processed on the first business day of each month and such other days as the Manager may permit. Subscriptions made in a
particular month are made at a price equal to the net asset value per unit of the Fund as at the last day of the prior month.
Series consolidation
Series within each class that have a net asset value per unit at the end of the fiscal year higher than the previous high watermark are consolidated
on the first day following the fiscal year. This combined series (Lead Series) has one ending net asset value per unit and unitholders in the series are
allocated units of the new series effective January 1 in proportion to their ending net asset value per unit. Series that do not have a net asset value
per unit at the end of the fiscal year higher than the high watermark are not normally consolidated.
Redemptions
A unitholder may surrender units for redemption as at the last business day of each month or on such other date as the Manager may in its discretion
determine from time to time (each, a “Redemption Date”). Redemption requests must be received in writing by the Manager at least 5 business days
prior to the proposed Redemption Date (the “Notice Period”). The Manager reserves the right, but shall not be obligated, to waive the Notice Period in
circumstances where it would not be to the detriment of the Fund to do so.
Upon redemption of a unit, the unitholder will receive proceeds of redemption equal to the Net Asset Value of such Unit as at the close of business
on the relevant Redemption Date, less applicable deductions and fees. Payment of the redemption amount will normally be made to the redeeming
Unitholder no later than 5 days following the Redemption Date specified for such redemption, although the Manager reserves the right to settle
redemptions up to 15 days after the Redemption Date.
Redeemable unit transactions information appears in the Fund Specific Notes to Financial Statements.
5. FEES AND OTHER EXPENSESThe Manager of the Fund, in consideration of management fees, provides management services required in day-to-day operations of the Fund and
provision of key management personnel. The Fund pays a management fee equal to 0.75% per annum for Series A and Series USD – A, and 0.25% per
annum for Series F and Series USD – F, of the net asset value of the Fund. The management fee is calculated and payable to the Manager on the last
business day of the month (plus applicable taxes).
The Manager will also receive, for each fiscal year of the Fund, a performance fee (the “Performance Fee”). The Performance Fee is calculated and
paid annually on the last day of a fiscal year (plus any applicable taxes). The Performance Fee will be calculated on a series-by-series basis within the
Fund. The amount of the Performance Fee for a given year will be an amount for each unit of the Fund then outstanding equal to 15% of the positive
amount by which the sum of (i) the net asset value per unit of that series (before deduction of any performance fee) on the last business day of the
Notes to the Financial Statements (unaudited) (cont’d)
– 37 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
applicable fiscal year and (ii) the distributions paid on such unit since the date the High Water Mark (see definition below) was established exceeds
the High Water Mark of such series plus an annualized hurdle rate of 5% (the Hurdle Rate). If no performance fee is payable for a particular year, the
hurdle rate remained at 5% per annum in the subsequent year and will not accrued from one year to the next. For units redeemed prior to the end of
a fiscal year, a Performance Fee will be payable on the relevant valuation date in respect of such redeemed unit, as if such date were the last day of
a fiscal year, in the same manner described above.
The High Water Mark for a unit means, initially, its subscription price. If on the last day of a fiscal year, the net asset value of such unit (before
deduction of the performance fee) is greater than the High Water Mark of such unit (whether or not the Hurdle Rate is exceeded), the High Water
Mark of that unit will be thereafter adjusted so as to equal the net asset value per unit on that last day of the fiscal year (calculated after deduction of
the performance fee, if any, payable on that date). The High Water Mark of a unit will also be appropriately adjusted in the event of a consolidation,
subdivision or re-designation of units.
All other reasonable expenses in connection with the administration of the Fund are paid by the Fund.
6. INCOME TAXESThe Fund qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada) and is not subject to taxes on net income, including net
realized taxable gains for the taxation year, which is paid or payable to unitholders at the end of the taxation year. However, such part of the Fund’s
taxable income and net realized capital gains that is not so paid or payable will be taxable to the Fund. Income taxes on net realized capital gains not
paid or payable will generally be recoverable by virtue of refunding provisions contained in the Income Tax Act (Canada) and provincial income tax
legislation, as redemptions occur. It is the intention of the Fund to distribute all net income and sufficient net realized capital gains so that the Fund will
not generally be liable for income taxes thereon. Since the Fund does not record income taxes, the tax benefit of capital and non-capital losses have
not been reflected in the Statements of Financial Position as deferred income tax asset.
7. RELATED PARTY TRANSACTIONSThe Fund may have direct or indirect holdings in other funds managed by the Manager as identified in the Fund Specific Notes to Financial Statements,
as applicable.
8. FINANCIAL INSTRUMENT RISK MANAGEMENTIn the normal course of business, the Fund is exposed to a variety of financial risks: credit risk, liquidity risk and market risk (including other price risk,
currency risk and interest rate risk). The Fund’s overall risk management program focuses on compliance and execution of the Fund’s investment objectives.
The Manager seeks to minimize potential adverse effects of these risks on the Fund’s performance by employing professional, experienced portfolio
advisers, daily monitoring of the Fund’s positions and market events and by diversifying the investment portfolio of the Fund within the constraints of
the investment strategy. To assist in managing risks, the Manager also uses internal guidelines that identify the target exposure for each type of risk,
maintains a governance structure that oversees the Fund’s investment activities and monitors compliance with the Fund’s stated investment strategy and
securities regulations.
Concentration Risk
Concentration risk arises as a result of the concentration of exposures within the same category, whether it is a geographical allocation, product type,
industry sector or counterparty.
Details of the Fund’s exposure to concentration risk are available in the Fund Specific Notes to Financial Statements.
Credit Risk
Credit risk is the risk that the counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the
Fund. The main concentration of credit risk would be investments in debt instruments and derivatives. The fair value of debt instruments and derivatives
includes consideration of the credit worthiness of the issuer and therefore represents the maximum credit exposure of the Fund.
Notes to the Financial Statements (unaudited) (cont’d)
– 38 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Credit ratings for fixed income securities, preferred securities and derivative instruments are obtained from S&P Global Ratings, where available,
otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service, respectively. Credit ratings can be either long-term or
short-term. Short-term credit ratings are generally assigned to those obligations and derivative instruments considered short-term in nature.
The table below provides a cross-reference between the long-term credit ratings disclosed in the Credit Rating table inclusive of the short-term credit
ratings disclosed in the derivatives schedules in the Schedule of Investment Portfolio.
Credit Rating as per Credit Risk Table Credit Rating as per Derivatives Schedules
AAA/Aaa/A++ A-1+
AA/Aa/A+ A-1, A-2, A-3
A B, B-1
BBB/Baa/B++ B-2
Below BBB B-3, C, D
Unrated WR
Cash balances as disclosed in the Statements of Financial Position are maintained by the Custodian. The Manager monitors the credit worthiness of
the Custodian on a regular basis. The credit rating of the Custodian as at June 30, 2016 was A+ (December 31, 2015 – A+).
All transactions are made through approved brokers and are settled on delivery using the Fund’s prime brokers Scotia Capital Inc. and J.P. Morgan or
Custodian. The risk of default is considered minimal as delivery of investments sold is made only when the Fund has received payment. Payment is made
on purchases once the investments have been received by the Fund. Should either party not meet its obligation, the trade will fail.
The credit ratings of the Scotia Capital Inc. and J.P. Morgan as at June 30, 2016 were A+ and A-, respectively (December 31, 2015 – A+ and A-,
respectively).
Liquidity Risk
The Fund is exposed to annual and monthly cash redemptions. The Fund invests its assets in investments that are traded in an active market and can
be readily disposed of. There can be no assurance that an adequate market for the Fund’s investments will exist at all times, or that the prices at which
the underlying investments trade, accurately reflect their net asset values. All liabilities are due in less than 3 months.
Market Risk
The Fund’s investments are subject to market risk which is the risk that the fair value of future cash flows of a financial instrument will fluctuate due
to changes in market conditions.
Other Price Risk
Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from
currency risk or interest rate risk), whether caused by factors specific to an individual investment, its issuer or all factors affecting all instruments
traded in a market or market segment.
Currency Risk
Currency risk is the risk that the value of investments will fluctuate due to changes in foreign exchange rates. This risk arises when financial
instruments (including cash and cash equivalents) are denominated in a currency other than Canadian dollars, which represents the Fund’s
functional currency.
Interest Rate Risk
Interest rate risk arises from changes in the prevailing levels of market interest rates, resulting in fluctuations in the value of interest bearing
financial instruments.
Notes to the Financial Statements (unaudited) (cont’d)
– 39 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Notes to the Financial Statements (unaudited) (cont’d)
Fair Value Hierarchy
The Fund classifies its financial instruments that are earned at fair value using a fair value hierarchy that prioritizes the inputs to valuation techniques
used to measure fair value into three broad levels. Inputs may be based on independent market data (observable inputs) or they are internally developed
(unobservable inputs). The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities and the
lowest priority to unobservable inputs.
The three levels of the hierarchy are as follows:
Level (1) - quoted prices (unadjusted) in active markets for identical assets or liabilities
Level (2) - investments with inputs other than quoted prices that are observable for the asset or liability either directly or indirectly
Level (3) - inputs for the asset or liability that are not based on observable market data (unobservable inputs)
Changes in valuation methods may result in transfers into or out of an investment level.
The Fund’s policy is to recognize transfers into and out of the fair value hierarchy levels as of the date of the event or change in circumstances giving
rise to the transfer.
Details of the Fund’s exposure to financial instruments risks including concentration risk and the fair value hierarchy classification are available in the
Fund Specific Notes to Financial Statements.
9. SOFT DOLLARS COMMISSIONSThe Fund paid no soft dollar commission during the period ended June 30, 2016 (June 30, 2015 - nil).
10. FILING EXEMPTION The Fund is relying on the exemption pursuant to Section 2.11 of National Instrument 81-106 not to file its financial statements with the applicable
provincial securities commission.
– 40 –
Marret High Yield Fund
Semi-Annual Financial Statements as at June 30, 2016
Certain names, words, phrases, graphics or designs in this document may constitute trade names, registered or unregistered trademarks or service marks of
Marret Asset Management Inc. Marret is a trademark of Marret Asset Management Inc.
You can get additional copies of these Financial Statements, at your request, and at no cost by calling collect (416) 214-5800, by emailing [email protected],
or by asking your representative.
This document and other information about the fund is available at the Marret Asset Management Inc. website at www.marret.com.
Legal Notice
MARRET_146_SA_08/16E
2 Queen Street East, Twelfth Floor, Toronto, Ontario M5C 3G7 I www.marret.com
Tel: 416-214-5800
Fax: 647-439-6471