semi-annual financial statements – as at september 30, 2015 · sei- annual financial statee nts...

Semi-Annual Financial Statements – as at September 30, 2015

Select Income Advantage

Managed Trust

A look inside

Overview .......................................................................................................................... 1

About the CI Funds Board of Governors

Letter from the CI Funds Board of Governors ........................................................... 2

Select Income Advantage Managed Trust .......................................................... 3

Notes to the Financial Statements ............................................................................. 30

Legal Notice .................................................................................................................... 35

CI Investments Inc., the Manager of the Trust, appoints independent auditors to audit the Trust’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 Trust’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 –Semi-Annual Financial Statements as at September 30, 2015

2 Queen Street East, Twentieth FloorToronto, Ontario M5C 3G7www.ci.com

Telephone: 416-364-1145Toll Free: 1-800-268-9374Facsimile: 416-364-6299

Enclosed are the Financial Statements for your CI Investments mutual

funds for the six months ending September 30, 2015. Inside is important

information about the fund, including its financial statements for the

period and a list of the portfolio holdings at the end of the period.

Additional information about your fund can be found on our website,

www.ci.com.

If you have any questions about your investments, please contact your

financial advisor. CI is proud to partner with advisors across Canada.

We believe investors are most successful when they follow an investment

plan developed with the assistance of a qualified advisor.

You may also contact CI Client Services at 1-800-792-9355.

Thank you for investing with us.

CANADA’S INVESTMENT COMPANY

CI has been investing on behalf of Canadians since 1965 and has

grown to become one of Canada’s largest investment fund companies.

We manage over $105 billion on behalf of two million Canadians.

CI is a subsidiary of CI Financial Corp., a TSX-listed financial services

firm with $139 billion in fee-earning assets at September 30, 2015.

CI provides one of the industry’s widest selections of investment products

and services and a strong lineup of leading portfolio management teams.

Our portfolio management expertise is offered through several platforms,

including mutual funds, tax-efficient funds, guaranteed solutions and

managed solutions.

The CI Funds Board of Governors was voluntarily established by CI in 1998 making it one of the first

such fund governance bodies in Canada.

The Board of Governors acts as an independent governance body of the Funds, providing impartial

judgment on conflicts of interest with a view to the best interests of the Funds and investors.

The Board of Governors recommends the best course of action to achieve a fair and reasonable result

on any conflict of interest issues, and CI takes into account its recommendation in accordance with its

fiduciary duty to the Funds. All of the members of the Board are independent of CI.

The Board of Governors mandate is set out in a separate charter and reviewed annually by the

Board to ensure its mandate conforms to the expectations and requirements of Canadian securities

regulators. Along with dealing with conflicts of interest, the mandate provides that the Board acts as

an audit committee for the Funds for the purpose of reviewing the financial statements of the Funds

with the auditors of the Funds and reviews holdings, purchases and sales by the Funds of securities

of CI Financial Corp.

The Board also reviews and discusses on a regular basis matters including compliance of the Funds

with CI’s relevant policies and procedures, approval of the Funds’ auditors and the fees paid to those

auditors, and the performance of the Board and its members.

The Board of Governors adheres to the requirements set out by Canadian securities regulators in

National Instrument 81-107 Independent Review Committee for Investment Funds which requires all

mutual funds in Canada to have independent review committees.

The Board of Governors are compensated as recommended by the Canadian securities regulators

in their rule and as set out in its mandate. These expenses are paid by CI and charged to the Funds

as part of their administration fee.

The members of the Board of Governors are:

William Harding, Managing Partner, Alpine Asset Advisors AG

Governor since June 2005

Stuart P. Hensman, Corporate Director

Governor since December 2004

Christopher M. Hopper, President, KLQ Mechanical Ltd.

Governor since May 2007

John Reucassel, President, The International Group, Inc.

Governor since March 2015

Mary M. Robertson, Managing Director, Financial Institution, Scotiabank

Governor since September 2014

James M. Werry, Corporate Director

Governor since September 2011

Further information regarding the Board is available at www.ci.com including the Board’s full mandate.

The CI Funds Board of Governors is pleased to report on its activities in respect of the semi-annual period

ended September 30, 2015 and to date. The Governors are appointed pursuant to the Declarations of

Trust governing the Funds, and constitute the board of directors of CI Corporate Class Limited.

The Governors have reviewed, commented on and approved the CI Personal Trading Policy, which

establishes rules of conduct designed to ensure fair treatment of the Funds’ securityholders and that,

at all times, the interests of the Funds and their securityholders are placed above personal interests

of employees, officers and directors of the Manager and each of its subsidiaries and affiliates, the

subadvisers, and the Governors, through the application of the highest standards of integrity and

ethical business conduct. The CI Personal Trading Policy requires the prior clearance of personal

trades and restricts the ability of staff to trade any securities held by the Funds. The objective is not

only to remove any potential for real conflict of interest but to avoid any perception of conflict. The

Manager’s year 2014 report on compliance with the CI Personal Trading Policy and other relevant

policies has been provided to the Governors in a timely and satisfactory manner.

The Governors report that management has been open and cooperative, permitting the Governors to

meet with subadvisers, to meet with individual department heads and personnel to review control

mechanisms and compliance procedures, including those relating to the personal securities trading

activity of employees, and to consider other matters that affect the Funds. During 2015, the Governors

also acted as the audit committee of the Funds. The audit committee reviewed, with the Funds’

auditors, the planning, scope and results of the audit of the financial statements of the Funds for

the year 2015. In November 2015, the Board of Governors received and accepted the Semi-Annual

Financial Statements of the Funds.

Stuart P. Hensman

Chair, Board of Governors

November 2015

About the CI Funds Board of Governors

Letter from the CI Funds Board of Governors


Telephone: 416-364-1145Toll Free: 1-800-268-9374Facsimile: 416-364-6299


Select Income Advantage Managed Trust

as at Sept. 30, 2015 as at Mar. 31, 2015

5,823,027 5,285,994 573,477 330,988

7,513 23,701 - -

- - - - - - - 20,905 2,887 2,049 50,872 44,787 - - - - 8,686 19,720 - - 6,466,462 5,728,144

- 9,926 - -

64,585 16,450 - - - - - -

- - 59,531 20,242 - - - - - - - - - - 124,116 46,618

6,342,346 5,681,526

5,616,301 4,861,305 - (9,950)

13.46 13.67

471,328,008 415,589,182

Assets Current assets Investments* Cash Unrealized gain on futures and foreign currency forward contracts Swaps, swaptions and options Cash collateral received for securities on loan (Note 6) Daily variation margin on derivative instrumentsFees rebate receivable Margin for short salesDividends receivableInterest receivableReceivable for distribution from investmentsSecurity lending income receivable (Note 6)Receivable for investments sold Receivable for unit subscriptions

Liabilities Current liabilities Investments sold short** Bank overdraft Unrealized loss on futures and foreign currency forward contractsSwaps, swaptions and options Dividends payable on investments sold shortInterest payable on investments sold shortPayable for cash collateral under securities lending (Note 6)Payable for investments purchasedPayable for unit redemptions Distributions payable to holders of redeemable units Management fees payable Administration fees payable Accrued liabilities

Net assets attributable to holders of redeemable units

*Investments at cost **Investments sold short at cost

Net assets attributable to holders of redeemable units per unit: Class C

Number of redeemable units outstanding: Class C

The accompanying notes are an integral part of these financial statements.

Financial Statements (unaudited)

CIG - 1314

Statements of Financial Position (in $000’s except for per unit amounts and units outstanding)

2015 2014

21,593 14,414 91,195 63,265 - - - - - - - -

(1) - - -

85,108 68,904

(282,310) (26,658) (84,415) 119,925 (3,076) 674 - 49 318 366 - - (2,758) 1,089 (87,173) 121,014

7,564 5,147 1,068 1,232 1 28 2,430 1,977 931 638 11,994 9,022

(99,167) 111,992

(0.23) 0.35

443,658,305 313,521,445

Income Net gain (loss) on investments and derivatives Dividends Interest for distribution purposes Income distributions from investments Capital gain distributions from investments Derivative income (loss) Interest expense on swaps Dividends expense on financial assets (liabilities) sold

short Interest expense on financial assets (liabilities) sold short Net realized gain (loss) on sale of investments and

derivatives Change in unrealized appreciation (depreciation) in value

of investments and derivativesTotal net gain (loss) on investments and derivatives Other income Foreign exchange gain (loss) on cash Commitment fee income Securities lending (Note 6) Fees rebate Total other income Total income Expenses Management and administration fees (Note 5) Commissions and other portfolio transaction costs Interest expenseWithholding taxesHarmonized sales tax Total expenses Increase (decrease) in net assets attributable to holders of redeemable units Increase (decrease) in net assets attributable to holders of redeemable units per unit: Class C

Weighted average number of units: Class C

Statements of Comprehensive Income for the periods ended September 30 (in $000’s except for per unit amounts and number of units)



*Dividends and interest received as well as dividends and interest paid relate to operating activities of the Trust. The accompanying notes are an integral part of these financial statements.

Financial Statements (unaudited)

2015 2014

5,681,526 3,546,428

(99,167) 111,992

- - - - - - - -

2,851,519 800,000 - - (2,091,532) (1)

759,987 799,999

660,820 911,991

6,342,346 4,458,419

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended September 30 (in $000’s)

Class C 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 Proceeds from redeemable units issued Reinvestment of distributions to holders of redeemable units Redemption of redeemable units Net increase (decrease) from redeemable unit transactionsNet increase (decrease) in net assets attributable to holders of redeemable unitsNet assets attributable to holders of redeemable units at the end of period

Statements of Cash Flowsfor the periods ended September 30 (in $000’s)

2015 2014

(99,167) 111,992

(85,108) (68,904) 1,741 (756) 1,068 1,232

282,310 26,658 2,899,295 1,423,374 (3,529,878) (2,213,613) 20,905 - - - - - (838) 118 (6,085) (5,673) - - - - - - - - (515,757) (725,572)

- - 2,851,519 800,000 (2,091,532) (1) 759,987 799,999

(1,741) 756 244,230 74,427 330,988 335,025 573,477 410,208

18,530 12,647 84,851 57,500 (1) - (1) (28)

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 Unrealized foreign exchange (gain) loss on cash Commissions and other portfolio transaction costs Change in unrealized (appreciation) depreciation in value of

investments and derivatives Proceeds from sale and maturity of investments Purchase of investments (Increase) decrease in margin for short sales Non-cash distribution from investments (Increase) decrease in daily variation margin (Increase) decrease in dividends receivable (Increase) decrease in interest receivable (Increase) decrease in security lending income receivable Increase (decrease) in management fees payable Increase (decrease) in administration fees payable Change in other accounts receivable and payable Net cash from (used in) operating activities

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributionsProceeds from issuance of redeemable unitsAmounts paid on redemption of redeemable unitsNet cash from (used in) financing activities Unrealized foreign exchange gain (loss) on cashNet increase (decrease) in cashCash (bank overdraft), beginning of periodCash (bank overdraft), end of period

Supplementary Information: Dividends received, net of withholding tax*Interest received, net of withholding tax*Dividends paid*Interest paid*



CANADA (39.7%) (cont’d) 240,000 Boardwalk REIT* 14,792,803 13,156,800 USD 2,795,000 Bombardier Inc., 5.5% 09/15/2018 3,351,983 3,226,406 2,482,241 BP L.P., 3.244% 01/09/2020 2,465,795 2,577,073 1,870,000 Brookfield Asset Management Inc., 5.04% 03/08/2024 1,871,055 2,048,937 1,425,000 Brookfield Asset Management Inc., 5.3% 03/01/2021 1,489,860 1,593,708 1,825,000 Brookfield Asset Management Inc., 5.95% 06/14/2035 1,766,698 1,988,578 375,000 Brookfield Asset Management Inc., Class A 16,802,151 15,746,250 2,160,000 Brookfield Infrastructure Finance ULC 3.452% 03/11/2022 2,160,000 2,147,546 3,080,000 Brookfield Power Corp., 5.84% 11/05/2036 2,913,093 3,313,782 2,250,000 Brookfield Renewable Energy Partners ULC 3.752% 06/02/2025 2,249,910 2,219,177 11,008,000 Brookfield Renewable Power Inc., 6.132% 11/30/2016 11,825,553 11,537,544 2,176,000 Brookfield Residential Properties Inc., 6.125% 05/15/2023 2,176,026 2,116,160 USD 446,000 Brookfield Residential Properties Inc., 6.125% 07/01/2022 460,690 566,919 USD 1,158,000 Brookfield Residential Properties Inc., 6.375% 05/15/2025 1,394,386 1,456,502 USD 1,578,000 Brookfield Residential Properties Inc., 6.5% 12/15/2020 1,620,800 2,079,530 1,805,000 BRP Finance ULC 4.79% 02/07/2022 1,845,689 1,966,876 323,000 BRP Inc. 8,080,362 8,178,360 2,700,000 Calloway Real Estate Investment Trust 3.385% 12/01/2017 2,729,056 2,772,999 2,460,000 Calloway Real Estate Investment Trust 3.73% 07/22/2022 2,470,606 2,527,907 3,820,000 Canada Housing Trust No.1, 2.4% 12/15/2022 3,736,213 4,003,759 17,040,000 Canada Housing Trust No.1, 1.75% 06/15/2018* 17,210,411 17,439,107 15,550,000 Canada Housing Trust No.1, 1.95% 06/15/2019 15,602,002 16,054,687 3,065,000 Canada Post Corp., 4.08% 07/16/2025 3,419,766 3,642,382 2,220,000 Canadian Energy Services & Technology Corp., 7.375% 04/17/2020 2,251,656 2,142,300 30,000,000 Canadian Imperial Bank of Commerce 3.4% 01/14/2016 30,606,300 30,198,248 1,959,798 Canadian International Oil Corp., 11% 05/02/2016 1,934,330 1,763,818 144,000 Canadian International Oil Corp., Warrants (31Dec49) - 2,650 150,900 Canadian National Railway Co. 11,168,204 11,435,202 351,100 Canadian Natural Resources Ltd. 11,227,297 9,125,089 1,870,000 Canadian Real Estate Investment Trust 2.564% 11/30/2019 1,871,889 1,855,768 3,425,000 Canadian Real Estate Investment Trust 3.676% 07/24/2018 3,403,123 3,538,420 1,485,000 Canadian Real Estate Investment Trust 4.323% 01/15/2021 1,508,558 1,583,699 30,000 Canadian Tire Corp., Ltd., Class A, Non-Voting Shares 3,517,425 3,601,500 25,300,000 Canadian Western Bank 1.203% 09/26/2016 25,300,000 25,126,193 2,060,000 Canadian Western Bank 2.104% 06/26/2017 2,060,000 2,055,662

CANADA (39.7%) 1,260,000 407 International Inc., 3.83% 05/11/2046 1,257,959 1,240,615 2,460,000 407 International Inc., Callable 5.96% 12/03/2035* 2,956,408 3,193,407 10,185,000 55 Ontario School Board Trust 5.9% 06/02/2033 12,688,472 13,414,534 3,145,689 Access Health Abbotsford Ltd., 6.032% 03/07/2038 3,693,544 3,956,931 175,000 Agnico-Eagle Mines Ltd. 5,270,680 5,920,250 USD 7,112,000 Air Canada 6.75% 10/01/2019 8,524,086 9,942,791 USD 214,000 Air Canada 7.75% 04/15/2021 235,831 300,578 USD 105,000 Air Canada 8.75% 04/01/2020 128,080 152,910 USD 402,566 Air Canada, 2013-1, Class B, Pass Through Certificates, 5.375% 05/15/2021 418,841 552,001 USD 2,310,000 Air Canada, 2013-1, Class B, Pass Through Certificates, 6.625% 05/15/2018 2,460,413 3,177,999 2,150,000 Alimentation Couche-Tard Inc., 3.6% 06/02/2025 2,150,000 2,145,302 3,390,000 Alimentation Couche-Tard Inc., 4.214% 08/21/2020 3,450,227 3,657,312 125,000 Alimentation Couche-Tard Inc., Class B 6,549,563 7,671,250 1,695,000 Alimentation Coughe-Tard Inc., 3.899% 11/01/2022* 1,683,919 1,781,891 961,169 Alliance Pipeline L.P., 7.181% 06/30/2023 1,158,030 1,141,061 615,271 Alliance Pipeline L.P., 7.217% 12/31/2025 761,619 735,095 2,205,000 Allied Properties Real Estate Investment Trust 3.748% 05/13/2020 2,214,448 2,210,855 330,920 AltaGas Ltd. 11,969,719 10,880,650 1,015,000 AltaLink Investments L.P., 3.674% 06/05/2019 1,018,694 1,075,238 13,893,000 AltaLink Investments L.P., 5.207% 12/16/2016 14,477,201 14,477,453 1,370,000 AltaLink L.P., 3.99% 06/30/2042 1,290,940 1,357,331 1,085,000 AltaLink L.P., 4.054% 11/21/2044 1,085,000 1,088,770 234,900 ARC Resources Ltd.* 5,189,361 4,143,636 1,230,000 Arrow Lakes Power Corp., 5.516% 04/05/2041 1,293,624 1,434,551 1,085,000 Asian Development Bank 4.65% 02/16/2027 1,169,501 1,299,038 4,316,000 Athabasca Oil Corp., Restricted, 7.5% 11/19/2017 4,260,470 3,409,640 USD 795,000 AuRico Gold Inc., 7.75% 04/01/2020 889,255 915,055 25,000,000 Bank of Montreal 1.89% 10/05/2015 25,134,550 25,001,388 2,660,000 Bank of Montreal 2.12% 03/16/2022 2,658,963 2,626,621 4,670,000 Bank of Montreal 2.24% 12/11/2017 4,633,242 4,747,205 25,000,000 Bank of Montreal 3.103% 03/10/2016 25,502,000 25,231,274 1,105,000 Bank of Montreal 3.21% 09/13/2018 1,149,863 1,155,817 2,055,000 Bank of Montreal 3.4% 04/23/2021 2,240,012 2,185,924 20,000,000 Bank of Montreal, FRN, 5.1% 04/21/2021 21,329,400 20,400,796 2,373,698 Bankers Hall L.P., 4.377% 11/20/2023 2,373,698 2,535,814 USD 1,623,000 Baytex Energy Corp., 5.125% 06/01/2021 1,861,825 1,721,895 USD 1,576,000 Baytex Energy Corp., 5.625% 06/01/2024 1,675,025 1,661,515 346,000 Baytex Energy Corp., 6.625% 07/19/2022 351,477 297,560 USD 4,249,000 Baytex Energy Corp., 6.75% 02/17/2021* 4,531,268 5,096,203 1,350,000 bcIMC Realty Corp., 2.65% 06/29/2017 1,355,642 1,377,239 1,345,000 Bell Canada 3% 10/03/2022 1,339,607 1,337,356 27,298,000 Bell Canada 3.65% 05/19/2016* 28,269,849 27,672,339 860,000 Bell Canada 4.35% 12/18/2045 855,863 799,908 2,850,000 Bell Canada 4.37% 09/13/2017 3,018,465 2,988,251 1,185,000 Bell Canada 4.75% 09/29/2044 1,174,323 1,178,144 14,214,000 Bell Canada 5% 02/15/2017 14,877,437 14,844,618 19,706,000 Bell Canada 5.41% 09/26/2016 20,746,166 20,436,870 2,470,000 Bell Canada 5.52% 02/26/2019 2,760,052 2,740,164

*Denotes all or part of securities on loan.Percentages shown in brackets relate investments at fair value to net assets attributable to holders of redeemable units of the Trust.

Schedule of Investment Portfolio as at September 30, 2015 (unaudited)

No. of Shares/Par Value Description

AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)



*Denotes all or part of securities on loan.§ CI Investments Inc. is the Manager of the Trust. ~ CI Investments Inc., the Manager of the Trust is a corporation controlled by CI Financial Corp.Percentages shown in brackets relate investments at fair value to net assets attributable to holders of redeemable units of the Trust.

Schedule of Investment Portfolio as at September 30, 2015 (unaudited) (cont’d)

CANADA (39.7%) (cont’d) USD 488,000 First Quantum Minerals Ltd., 7.25% 05/15/2022 541,944 403,769 990,000 Ford Credit Canada Ltd., 2.923% 09/16/2020 990,000 985,470 875,000 FortisAlberta Inc., 4.11% 09/29/2044 874,851 872,976 815,000 FortisAlberta Inc., 4.27% 09/22/2045 814,038 825,034 1,545,000 FortisBC Energy (Vancouver Island) Inc., 6.05% 02/15/2038 1,891,680 2,011,438 1,565,000 FortisBC Inc., 5.6% 11/09/2035 1,908,537 1,873,512 660,000 FortisBC Inc., 6.1% 06/02/2039 883,925 856,601 200,000 Franco-Nevada Corp. 10,939,550 11,762,000 2,180,000 GE Capital Canada Funding Co., 2.42% 05/31/2018 2,164,504 2,228,845 1,850,000 General Motors Financial of Canada Ltd., 3.08% 05/22/2020 1,849,242 1,844,232 1,435,000 Genesis Trust II 1.675% 09/17/2018 1,435,000 1,435,375 126,510 Genworth MI Canada Inc. 3,864,749 3,637,162 150,000 George Weston Ltd. 12,567,716 16,194,000 14,130,000 George Weston Ltd., 3.78% 10/25/2016 14,673,654 14,457,253 2,100,000 George Weston Ltd., 4.115% 06/17/2024 2,201,640 2,220,250 900,000 George Weston Ltd., 7.1% 02/05/2032 997,687 1,119,426 1,968,000 Gibson Energy Inc., 5.375% 07/15/2022 1,964,156 1,867,960 USD 3,695,000 Gibson Energy Inc., 6.75% 07/15/2021 4,050,385 4,739,929 1,058,000 Gibson Energy Inc., 7% 07/15/2020 1,064,557 1,080,482 2,375,000 Glacier Credit Card Trust 2.568% 09/20/2019 2,375,000 2,434,536 10,810,468 Golden Credit Card Trust 2.134% 03/15/2019 10,810,468 11,071,649 1,137,000 Golf Town Canada Inc./Golfsmith International Holdings Inc., 10.5% 07/24/2018 1,129,395 844,222 2,455,000 Government of Canada 0.75% 09/01/2020* 2,451,829 2,447,117 15,472,000 Government of Canada 1.5% 03/01/2020* 15,925,433 16,001,783 6,740,000 Government of Canada 1.5% 09/01/2017* 6,868,910 6,864,680 3,370,000 Government of Canada 1.75% 03/01/2019* 3,514,378 3,500,144 21,980,000 Government of Canada 2.25% 06/01/2025* 23,619,848 23,559,141 22,845,000 Government of Canada 2.75% 06/01/2022* 25,138,409 25,232,441 12,030,000 Government of Canada 2.75% 09/01/2016* 12,292,835 12,274,652 7,230,000 Government of Canada 2.75% 12/01/2048* 7,091,931 8,099,987 11,310,000 Government of Canada 2.75% 12/01/2064* 13,462,409 13,197,608 9,505,000 Government of Canada 3.5% 12/01/2045* 12,290,777 12,178,044 6,908,000 Government of Canada 5% 06/01/2037* 9,749,570 10,251,214 17,957,000 Government of Canada 5.75% 06/01/2033* 27,737,258 27,772,599 2,540,000 Granite REIT Holdings L.P., 3.788% 07/05/2021 2,540,000 2,595,528 3,890,000 Granite REIT Holdings L.P., 4.613% 10/02/2018 3,913,009 4,103,985 1,218,000 Great Canadian Gaming Corp., 6.625% 07/25/2022 1,229,344 1,256,062 1,995,814 Greater Toronto Airports Authority 6.45% 07/30/2029 2,360,986 2,549,598 200,000 Great-West Lifeco Inc.* 7,154,920 6,394,000 USD 3,007,000 Harvest Operations Corp., 6.875% 10/01/2017 3,164,255 3,451,064 20,000,000 Honda Canada Finance Inc., 1.312% 04/07/2017 20,000,000 19,900,900 2,640,000 Honda Canada Finance Inc., 1.631% 08/12/2019 2,640,000 2,615,320 775,000 HSBC Bank Canada 1.816% 07/07/2020 774,969 759,083 1,225,000 HSBC Bank Canada 2.449% 01/29/2021 1,225,012 1,226,143 2,390,000 HSBC Bank Canada 2.491% 05/13/2019 2,390,000 2,430,852 48,385,000 HSBC Bank Canada 2.572% 11/23/2015* 49,051,335 48,485,381 3,040,000 HSBC Bank Canada 2.908% 09/29/2021 3,040,000 3,094,211 4,135,000 HSBC Bank Canada 2.938% 01/14/2020 4,089,971 4,268,020 28,901,000 HSBC Bank Canada 3.558% 10/04/2017 29,988,409 29,998,946

CANADA (39.7%) (cont’d) 2,675,000 Canadian Western Bank 3.049% 01/18/2017 2,701,212 2,708,792 3,150,000 Canadian Western Bank, FRN, 5.571% 03/22/2022 3,431,978 3,268,534 21,448,000 Capital Power L.P., 4.6% 12/01/2015 21,996,131 21,542,989 1,530,000 CCIC 2006-WEM, Class F, 5.248% 01/15/2022 1,578,608 1,564,303 3,530,000 CCIC 2006-WEM, MBS A2, 4.934% 01/15/2022 3,649,048 3,617,779 5,246,000 Centric Health Corp., 8.625% 04/18/2018 4,965,006 4,288,605 280,000 CGI Group Inc. 10,525,897 13,538,000 30,465,000 Choice Properties L.P., 3% 04/20/2016 31,030,275 30,617,123 4,050,000 Choice Properties L.P., 3% 09/20/2019 4,042,346 4,162,759 1,840,000 Choice Properties L.P., 3.6% 04/20/2020 1,881,512 1,932,595 950,000 Choice Properties Real Estate Investment Trust 4.903% 07/05/2023 944,300 1,050,420 400,000 CI Financial Corp.~ 12,749,501 12,120,000 2,000,000 CI Investments Inc., 3.94% 12/14/2016§ 2,024,421 2,010,003 175,000 Cineplex Inc. 7,094,379 8,300,250 3,460,000 City of Montreal 3.5% 09/01/2023 3,588,756 3,684,841 785,000 City of Montreal 3.5% 09/01/2024 783,359 830,196 5,165,000 City of Montreal 4.5% 12/01/2021 5,604,038 5,841,249 5,125,000 City of Montreal 5.45% 12/01/2019 5,892,163 5,897,226 6,700,000 City of Toronto 5.05% 07/18/2017 7,414,499 7,180,931 1,631,354 Comber Wind Financial Corp., 5.132% 11/15/2030 1,641,723 1,761,723 610,000 Cominar Real Estate Investment Trust 3.62% 06/21/2019 631,490 614,047 2,450,000 Cominar Real Estate Investment Trust 4.164% 06/01/2022 2,450,000 2,422,824 970,000 CU Inc., 3.964% 07/27/2045 970,000 955,777 2,800,000 CU Inc., 4.085% 09/02/2044 2,800,000 2,817,246 1,500,000 CWB Capital Trust 6.199% 12/31/2056 1,604,928 1,558,074 4,371 Data & Audio Visual Enterprises Holdings Inc., Warrants (25Sep18) - - 1,214,574 Data & Audio Visual Enterprises Wireless Inc., Private Placement 15% 09/25/2018 1,117,262 388,664 21,871 Data & Audio Visual Enterprises Wireless Inc., Warrants (25Sep18) - - 999,000 DHX Media Ltd., 5.875% 12/02/2021 998,083 983,391 1,321,000 DirectCash Payments Inc., 8.125% 08/08/2019 1,336,214 1,344,118 453,300 Dream Office Real Estate Investment Trust* 11,408,741 9,609,960 USD 838,000 Eldorado Gold Corp., 6.125% 12/15/2020 883,258 972,936 1,025,000 Enbridge Gas Distribution Inc., 3.31% 09/11/2025 1,024,652 1,041,607 223,400 Enbridge Inc. 11,163,254 11,069,470 1,065,000 Enbridge Inc., 4.57% 03/11/2044 1,063,786 971,682 23,000,000 Enbridge Inc., 5% 08/09/2016* 24,690,040 23,628,507 2,160,000 Enbridge Income Fund 4.87% 11/21/2044 2,157,970 2,050,025 650,000 EnCana Corp. 12,469,067 5,583,500 3,090,000 EPCOR Utilities Inc., 4.55% 02/28/2042 3,139,564 3,330,986 1,110,000 EPCOR Utilities Inc., 5.75% 11/24/2039 1,427,351 1,390,668 1,205,000 EPCOR Utilities Inc., 6.8% 06/28/2029 1,536,951 1,607,696 4,795,000 ERAC Canada Finance Ltd., 5.38% 02/26/2016 4,905,700 4,865,404 2,541,066 Fifth Avenue L.P., 4.71% 08/05/2021 2,591,732 2,811,072 550,000 Finning International Inc. 13,173,977 10,769,000 3,025,000 First Capital Realty Inc., 5.6% 04/30/2020 3,482,011 3,422,897 5,567,000 First Capital Realty Inc., 5.85% 01/31/2017 5,968,937 5,863,612 USD 6,567,000 First Quantum Minerals Ltd., 144A 7% 02/15/2021 6,905,903 5,674,504 USD 3,393,000 First Quantum Minerals Ltd., 6.75% 02/15/2020 3,290,744 3,033,750


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CANADA (39.7%) (cont’d) 10,000,000 NBC Capital Trust 5.329% 06/30/2056 10,721,700 10,259,255 5,072,123 New Brunswick F-M Project Co., Inc., Callable 6.47% 11/30/2027 6,129,807 6,362,090 USD 1,945,000 New Gold Inc., 6.25% 11/15/2022 2,158,646 2,173,830 USD 431,000 New Gold Inc., 7% 04/15/2020 454,530 537,787 2,152,000 Noralta Lodge Ltd., 7.5% 09/24/2019 2,130,978 1,721,600 USD 191,000 Nortel Networks Ltd., 10.75% 07/15/2016 231,285 226,534 54,000 North American Energy Partners Inc., 9.125% 04/07/2017 50,108 54,101 1,970,000 North West Redwater Partnership/ NWR Financing Co., Ltd., 4.05% 07/22/2044 1,964,898 1,933,742 USD 6,248,000 Northern Blizzard Resources Inc., 7.25% 02/01/2022 6,893,979 6,816,318 2,246,207 NorthWestConnect Group Partnership 5.95% 04/30/2041 2,477,796 2,807,438 USD 596,000 NOVA Chemicals Corp., 5% 05/01/2025 673,783 747,645 4,300,000 NOVA Gas Transmission Ltd., Series 21, 12.2% 02/28/2016 4,908,462 4,482,794 1,815,000 Nova Scotia Power Inc., 4.15% 03/06/2042 1,777,030 1,796,421 USD 750,000 Novelis Inc., 8.375% 12/15/2017 876,530 970,854 1,915,000 OMERS Realty Corp., 2.498% 06/05/2018 1,915,850 1,962,883 2,351,168 Ontrea Inc., 4.619% 04/09/2018 2,454,218 2,520,744 USD 1,020,000 Paramount Resources Ltd., 6.875% 06/30/2023 1,239,702 1,170,630 3,029,000 Paramount Resources Ltd., 7.625% 12/04/2019 3,066,078 2,862,405 2,930,000 Penske Truck Leasing Co., L.P./PTL Finance Corp., 3.65% 02/01/2018 2,936,078 3,030,728 2,150,000 Penske Trucking Leasing Canada 2.95% 06/12/2020 2,149,312 2,161,008 720,000 Perpetual Energy Inc., 8.75% 07/23/2019 720,000 605,400 260,000 Peyto Exploration & Development Corp. 7,455,408 7,215,000 175,300 Plaza Retail REIT 702,169 776,579 36,600 Potash Corp. of Saskatchewan Inc. 1,429,934 1,003,938 4,385,000 Power Corp. of Canada 7.57% 04/22/2019 5,238,890 5,202,418 1,590,000 Power Corp. of Canada 8.57% 04/22/2039 2,313,632 2,513,774 200,000 PrairieSky Royalty Ltd.* 6,490,762 5,072,000 USD 464,000 Precision Drilling Corp., 5.25% 11/15/2024 502,162 492,273 1,065,000 Precision Drilling Corp., 6.5% 03/15/2019 1,062,675 999,769 USD 1,583,000 Precision Drilling Corp., 6.625% 11/15/2020 1,620,695 1,843,179 USD 345,000 Primero Mining Corp., 5.75% 02/28/2020 432,579 377,532 28,180,000 Province of British Columbia 3.2% 06/18/2044 27,266,451 27,967,095 7,280,000 Province of British Columbia 3.7% 12/18/2020 7,759,816 8,070,518 2,390,000 Province of British Columbia 4.95% 06/18/2040 2,956,446 3,080,349 12,770,000 Province of British Columbia 6.35% 06/18/2031 17,659,454 18,222,910 5,730,000 Province of Nova Scotia 4.1% 06/01/2021 6,307,767 6,451,616 8,535,000 Province of Nova Scotia 4.7% 06/01/2041 10,096,856 10,362,443 5,210,000 Province of Nova Scotia 6.6% 06/01/2027 7,088,804 7,199,334 29,935,000 Province of Ontario 2.1% 09/08/2018 30,321,989 30,835,913 17,010,000 Province of Ontario 2.6% 06/02/2025 17,322,397 17,229,383 18,217,000 Province of Ontario 2.9% 12/02/2046 17,698,293 16,745,297 18,738,000 Province of Ontario 3.15% 06/02/2022 20,217,654 20,162,929 11,720,000 Province of Ontario 3.2% 09/08/2016* 12,089,297 11,996,771 6,215,000 Province of Ontario 3.45% 06/02/2045* 6,051,462 6,368,375 29,830,000 Province of Ontario 3.5% 06/02/2024 33,144,644 32,655,713 4,125,000 Province of Ontario 4% 06/02/2021 4,530,135 4,636,301 38,600,000 Province of Ontario 4.2% 06/02/2020 42,726,313 43,361,175

CANADA (39.7%) (cont’d) 27,390,000 HSBC Bank Canada 4.94% 03/16/2021* 28,397,071 27,804,579 USD 8,752,000 HudBay Minerals Inc., 9.5% 10/01/2020 9,676,840 9,329,090 141,800 Husky Energy Inc.* 4,003,052 2,950,858 575,000 Hydro Ottawa Holdings Inc., 3.991% 05/14/2043 575,000 577,777 USD 2,746,000 IAMGOLD Corp., 6.75% 10/01/2020 2,658,615 2,638,482 115,000 Imperial Oil Ltd. 5,352,250 4,862,200 124,000 Intact Financial Corp. 10,278,929 11,621,280 3,600,000 Inter-American Development Bank 4.4% 01/26/2026 3,776,499 4,221,780 INR 260,000,000 International Finance Corp., 7.8% 06/03/2019 5,450,637 5,466,527 73,300 iShares S&P 500 Index Fund (CAD-Hedged) 1,744,606 1,628,726 USD 2,750,000 Jupiter Resources Inc., 8.5% 10/01/2022 2,898,717 2,064,317 3,690,000 Kellogg Canada Inc., 2.05% 05/23/2017 3,691,118 3,709,764 220,000 Keyera Corp. 9,395,769 8,085,000 448,672 Livingston International Inc., Term Loan B2, Private Placement, variable rate, 04/18/2019 444,186 435,212 USD 1,683,503 Livingston International Inc., Term Loan, Private Placement, variable rate, 04/18/2020 1,772,109 2,033,216 47,400 Loblaw Co., Ltd. 2,059,501 3,256,854 1,275,000 Loblaw Co., Ltd., 6.05% 06/09/2034 1,375,870 1,497,873 1,990,000 Loblaw Co., Ltd., 6.45% 02/09/2028 2,162,035 2,452,711 3,150,000 Loblaw Co., Ltd., 6.5% 01/22/2029 3,433,044 3,866,361 1,460,000 Lower Mattagami Energy L.P., 4.944% 09/21/2043 1,497,712 1,682,483 USD 1,415,000 Lundin Mining Corp., 7.5% 11/01/2020 1,671,083 1,826,958 USD 1,178,800 Lundin Mining Corp., 7.875% 11/01/2022 1,329,157 1,510,193 50,000 Magna International Inc., Class A 3,507,925 3,200,500 5,815,000 Manitoba Telecom Services Inc., 6.65% 05/11/2016 6,285,641 5,986,791 3,735,000 Manufacturers Life Insurance Co., 4.165% 06/01/2022 3,886,614 3,884,704 2,470,000 Manulife Bank of Canada 1.405% 02/27/2018 2,470,000 2,450,770 31,611,000 Manulife Bank of Canada 2.383% 10/17/2016 32,010,833 31,943,914 11,675,000 Manulife Bank of Canada 4.68% 09/12/2016* 12,259,219 12,032,427 375,000 Manulife Financial Corp. 8,389,978 7,740,000 USD 3,259,000 Mattamy Group Corp., 6.5% 11/15/2020 3,500,926 4,218,686 1,439,000 Mattamy Group Corp., 6.875% 11/15/2020 1,439,542 1,411,119 12,000,000 MBARC Credit Canada Inc., 1.41% 04/15/2016 7,053,737 7,056,136 5,000,000 MBARC Credit Canada Inc., 1.703% 11/15/2016 3,266,651 3,266,814 9,000,000 MBARC Credit Canada Inc., 1.796% 04/15/2020 9,040,140 9,027,720 USD 644,000 MEG Energy Corp., 6.375% 01/30/2023 675,922 672,498 USD 1,542,000 MEG Energy Corp., 6.5% 03/15/2021 1,536,822 1,687,405 USD 3,164,000 MEG Energy Corp., 7% 03/31/2024 3,451,688 3,356,794 1,710,000 Merrill Lynch Financial Assets Inc., 4.659% 10/12/2039 250,848 245,128 30,045,000 Merrill Lynch Financial Assets Inc., 4.826% 03/12/2039 24,490,809 24,097,872 2,120,000 Metro Inc., 5.03% 12/01/2044 2,240,339 2,131,464 4,715,000 National Bank of Canada 1.742% 03/03/2020 4,718,563 4,672,141 13,985,000 National Bank of Canada 2.019% 04/13/2017 14,106,200 14,121,730 10,000,000 National Bank of Canada 2.05% 01/11/2016 10,073,700 10,028,781 2,675,000 National Bank of Canada 2.404% 10/28/2019 2,675,000 2,728,836 15,335,000 National Bank of Canada 3.58% 04/26/2016* 15,892,338 15,551,492 3,615,000 National Bank of Canada, FRN, 3.261% 04/11/2022 3,668,963 3,693,310 1,917,000 NBC Asset Trust 7.447% 06/30/2049 2,377,096 2,302,553




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FairValue ($)



CANADA (39.7%) (cont’d) USD 606,000 Taseko Mines Ltd., 7.75% 04/15/2019 599,912 444,791 2,020,000 TD Capital Trust 10% 06/30/2108 2,773,295 2,775,879 USD 3,192,000 Teck Resources Ltd., 3.75% 02/01/2023 3,358,481 2,598,447 USD 1,543,000 Teck Resources Ltd., 6.125% 10/01/2035 1,410,282 1,132,530 USD 1,259,000 Teck Resources Ltd., 6.25% 07/15/2041 1,243,862 931,120 USD 1,975,000 Teine Energy Ltd., 6.875% 09/30/2022 2,272,007 2,250,188 190,000 TELUS Corp. 8,450,323 7,989,500 715,000 TELUS Corp., 2.35% 03/28/2022 713,077 693,701 20,000,000 TELUS Corp., 3.65% 05/25/2016* 20,779,870 20,278,151 795,000 TELUS Corp., 4.4% 01/29/2046 794,777 739,045 1,485,000 TELUS Corp., 4.75% 01/17/2045 1,479,253 1,463,256 5,245,000 Teranet Holdings L.P., 3.55348% 12/01/2031 5,967,812 6,332,890 3,350,000 Teranet Holdings L.P., 5.754% 12/17/2040 3,454,590 3,608,334 3,660,000 The Bank of Nova Scotia 1.33% 05/01/2018 3,659,195 3,632,567 2,055,000 The Bank of Nova Scotia 2.09% 09/09/2020 2,054,815 2,051,770 45,000,000 The Bank of Nova Scotia 2.1% 11/08/2016 45,296,550 45,435,401 1,770,000 The Bank of Nova Scotia 2.13% 06/15/2020 1,769,504 1,776,209 935,000 The Bank of Nova Scotia 2.462% 03/14/2019 946,622 956,902 30,295,000 The Bank of Nova Scotia 6.65% 01/22/2021* 32,885,793 30,757,609 27,914,000 The Manufacturers Life Insurance Co., 4.21% 11/18/2021 29,377,535 28,730,912 USD 1,385,000 Thompson Creek Metals Co., Inc., 12.5% 05/01/2019 1,525,695 979,595 USD 335,000 Thompson Creek Metals Co., Inc., 7.375% 06/01/2018 325,674 255,942 340,000 Thomson Reuters Corp.* 14,506,930 18,237,600 1,965,000 THP Partnership 4.394% 10/31/2046 1,965,000 2,089,512 180,000 Toronto-Dominion Bank 9,336,627 9,468,000 8,855,000 Toronto-Dominion Bank 2.433% 08/15/2017 8,927,806 9,027,841 3,685,000 Toronto-Dominion Bank 2.447% 04/02/2019 3,685,000 3,775,325 3,990,000 Toronto-Dominion Bank 2.563% 06/24/2020 4,021,455 4,098,371 2,750,000 Toronto-Dominion Bank 2.621% 12/22/2021 2,781,338 2,799,724 29,300,000 Toronto-Dominion Bank 2.948% 08/02/2016 30,079,690 29,750,723 20,312,000 Toronto-Dominion Bank 4.779% 12/14/2105 21,614,016 21,031,555 44,615,000 Toronto-Dominion Bank 4.97% 10/30/2104 46,315,978 44,730,794 500,000 Tourmaline Oil Corp. 21,956,686 15,535,000 1,385,000 Toyota Credit Canada Inc., 1.8% 02/19/2020 1,383,684 1,375,348 1,500,000 Toyota Credit Canada Inc., 2.05% 05/20/2020 1,499,715 1,500,202 91,400 TransAlta Corp. 1,001,613 566,680 2,270,000 TransCanada PipeLines Ltd., 3.3% 07/17/2025 2,267,117 2,277,667 500,000 TransForce Inc. 12,943,709 11,945,000 2,163,000 Trevali Mining Corp., 12.5% 05/30/2019 2,120,143 1,989,960 266,120 Trevali Mining Corp., Warrants (30May19) - 532 1,542,847 Trillium Windpower L.P., 5.803% 02/15/2033 1,542,847 1,722,805 USD 1,214,000 Trinidad Drilling Ltd., 7.875% 01/15/2019 1,253,906 1,514,786 1,556,000 Tuckamore Capital Management Inc., 8% 03/23/2016 1,485,564 1,011,400 3,405,000 University of British Columbia 6.65% 12/01/2031 4,365,744 4,749,995 3,055,000 University of Ottawa 6.28% 04/15/2043 3,934,283 4,310,978 USD 535,000 Valeant Pharmaceuticals International Inc., 7.5% 07/15/2021 716,779 735,380 908,700 Veresen Inc.* 14,337,169 9,268,740 USD 3,703,390 Veresen Midstream L.P., Term Loan B, Private Placement, variable rate, 03/31/2022 4,476,261 4,942,202

CANADA (39.7%) (cont’d) 9,735,000 Province of Ontario 4.3% 03/08/2017 10,321,923 10,224,881 24,300,000 Province of Quebec 2.75% 09/01/2025* 24,959,420 24,797,060 8,990,000 Province of Quebec 3.5% 12/01/2045 8,568,757 9,183,551 25,765,000 Province of Quebec 3.75% 09/01/2024 28,045,168 28,637,985 33,830,000 Province of Quebec 4.25% 12/01/2021* 37,701,458 38,592,501 13,825,000 Province of Quebec 4.5% 12/01/2017 15,092,407 14,896,027 51,559,000 Province of Quebec 4.5% 12/01/2019 58,026,468 58,099,801 13,165,000 Province of Quebec 6% 10/01/2029 16,117,100 17,765,453 1,477,000 Q9 Networks Inc., Term Loan 2nd Lien, Private Placement, variable rate, 06/30/2019 1,465,230 1,458,538 1,005,000 Quebecor Media Inc., 6.625% 01/15/2023 1,026,356 1,037,753 1,780,000 Quebecor Media Inc., 7.375% 01/15/2021 1,890,007 1,861,867 2,525,000 Queen’s University 6.1% 11/19/2032 3,150,250 3,316,274 34,700,000 RBC Capital Trust 4.87% 10/29/2049 36,776,848 34,974,577 990,000 Real Estate Asset Liquidity Trust, Class A 3.239% 05/12/2025 989,919 993,927 2,590,000 Reliance L.P., 4.574% 03/15/2017 2,633,729 2,655,495 840,000 Reliance L.P., 5.187% 03/15/2019 901,597 887,600 150,000 Restaurant Brands International Inc.* 7,437,277 7,206,000 1,430,000 RioCan Real Estate Investment Trust 3.85% 06/28/2019 1,534,562 1,507,088 1,835,000 Rogers Communications Inc., 2.8% 03/13/2019 1,831,408 1,875,842 1,670,000 Rogers Communications Inc., 6.11% 08/25/2040 1,761,522 1,932,954 170,000 Royal Bank of Canada 12,808,382 12,544,300 2,735,000 Royal Bank of Canada 1.92% 07/17/2020 2,735,000 2,719,694 1,695,000 Royal Bank of Canada 1.968% 03/02/2022 1,695,000 1,651,877 25,300,000 Royal Bank of Canada 2.07% 06/17/2016 25,580,095 25,476,285 2,175,000 Royal Bank of Canada 2.35% 12/09/2019 2,174,587 2,213,779 6,435,000 Royal Bank of Canada 2.77% 12/11/2018 6,502,350 6,648,488 1,695,000 Royal Bank of Canada 2.82% 07/12/2018 1,739,189 1,749,654 10,000,000 Royal Bank of Canada 3.18% 11/02/2020 10,117,600 10,014,194 1,365,000 Royal Bank of Canada 4.93% 07/16/2025 1,665,750 1,614,411 3,833,809 Royal Office Finance L.P., 5.209% 11/12/2032 4,475,929 4,746,263 50,000 Saputo Inc. 1,489,840 1,465,000 450,000 Savanna Energy Services Corp., Private Placement 7% 05/25/2018 447,865 393,750 3,402,624 SEC L.P. and Arci Ltd., 5.188% 08/29/2033 3,405,452 3,706,963 USD 571,000 Seven Generations Energy Ltd., 6.75% 05/01/2023 698,446 655,323 USD 4,766,000 Seven Generations Energy Ltd., 8.25% 05/15/2020 5,459,724 5,978,648 1,400,000 Shaw Communications Inc., 5.65% 10/01/2019 1,559,348 1,572,465 2,445,000 Shaw Communications Inc., 6.75% 11/09/2039 2,661,584 2,889,894 1,084,379 Sherritt International Corp., 7.5% 09/24/2020 1,053,607 650,627 4,096,000 Sherritt International Corp., 7.875% 10/11/2022 4,002,008 2,457,600 5,123,261 Sherritt International Corp., 8% 11/15/2018 4,881,971 3,073,957 2,070,000 Sirius XM Canada Holdinigs Inc., 5.625% 04/23/2021 2,068,544 2,064,825 5,040,000 Sobeys Inc., 3.52% 08/08/2018 5,016,916 5,227,841 2,563,897 SP L.P./SP1 L.P., 3.21% 06/15/2019 2,568,502 2,639,989 2,129,835 St Clair Holding ULC/St Clair L.P., 4.881% 08/31/2031 2,119,351 2,251,784 5,045,095 Strait Crossing Development Inc., 6.17% 09/15/2031 5,206,810 5,474,417




AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)



U.S.A. (33.6%) (cont’d) USD 1,420,000 Bank of America Corp., 4.125% 01/22/2024 1,552,850 1,981,015 USD 2,814,000 Bank of America Corp., 6.1% 12/31/2049 3,573,771 3,661,422 USD 5,482,000 Bank of America Corp., 6.25% 12/31/2049 5,991,730 7,151,166 USD 2,750,000 Bank of America Corp., Callable, 8% 10/30/2049 2,908,450 3,835,042 USD 210,000 Bank of America Corp., FRN, 5.2% 12/31/2049 221,286 261,507 USD 1,294,000 Bank of America Corp., FRN, 6.5% 12/31/2049 1,460,378 1,761,390 USD 1,425,000 Beazer Homes USA Inc., 6.625% 04/15/2018 1,755,682 1,915,936 USD 3,663,000 Berry Petroleum Co., 6.375% 09/15/2022 3,979,845 1,463,460 4,800 BlackRock Inc. (USD) 1,907,226 1,905,485 USD 1,980,000 Blue Cube Spinco Inc., 10% 10/15/2025 2,636,555 2,744,715 USD 1,925,000 Blue Cube Spinco Inc., 9.75% 10/15/2023 2,563,317 2,671,684 USD 433,000 BrightStar Corp., 7.25% 08/01/2018 463,835 603,845 USD 1,884,000 BrightStar Corp., 9.5% 12/01/2016 1,996,201 2,533,069 83,100 Bristol-Myers Squibb Co. 6,756,359 6,565,137 USD 1,845,000 Brocade Communications Systems Inc., 4.625% 01/15/2023 2,211,047 2,363,680 229,720 Brookfield Office Properties Inc. (USD) 3,808,069 6,578,844 USD 6,458,000 Calfrac Holdings L.P., 7.5% 12/01/2020 6,867,349 5,386,407 USD 1,010,000 California Resources Corp., 5.5% 09/15/2021 1,114,833 822,190 USD 1,010,000 California Resources Corp., 6% 11/15/2024 1,112,867 802,822 USD 1,177,000 Calpine Corp., 5.375% 01/15/2023 1,263,457 1,464,692 USD 1,959,000 Calpine Corp., 5.75% 01/15/2025 2,102,934 2,444,371 USD 2,000,000 Calpine Corp., 5.875% 01/15/2024 2,093,890 2,749,086 USD 7,720,000 Calpine Corp., 7.875% 01/15/2023 10,493,053 10,997,811 USD 1,639,000 CCO Holdings LLC/CCO Holdings Capital Corp., 5.125% 05/01/2023 2,064,789 2,016,433 USD 484,000 CCO Holdings LLC/CCO Holdings Capital Corp., 5.375% 05/01/2025 609,756 588,578 USD 1,270,000 CCO Holdings LLC/CCO Holdings Capital Corp., 5.875% 05/01/2027 1,546,988 1,571,950 USD 3,210,000 CCO Holdings LLC/CCO Holdings Capital Corp., 6.5% 04/30/2021 4,422,205 4,305,189 USD 4,750,000 CCO Holdings LLC/CCO Holdings Capital Corp., 7% 01/15/2019 6,488,637 6,465,690 USD 1,124,000 CDS US Intermediate Holdings Inc., 9.25% 06/25/2023 1,375,305 1,496,237 USD 1,547,000 CDS US Intermediate Holdings Inc., Term Loan, Private Placement, variable rate, 06/24/2022 1,901,909 2,059,322 USD 1,345,000 Chemours Co LLC 6.625% 05/15/2023 1,625,334 1,207,079 USD 519,000 Chemours Co LLC 7% 05/15/2025 624,244 455,391 53,600 Chevron Corp. 6,768,831 5,642,256 USD 2,370,000 Chinos Intermediate Holdings A Inc., 7.75% 05/01/2019 2,322,810 1,209,765 105,700 Cisco Systems Inc. 2,703,243 3,702,758 USD 516,000 CIT Group Inc., 4.25% 08/15/2017 530,597 697,214 639,100 Citigroup Inc. 37,772,535 42,311,569 2,350,000 Citigroup Inc., 4.09% 06/09/2025 2,349,224 2,353,798 16,535,000 Citigroup Inc., 4.65% 10/11/2022 17,413,221 17,253,344 USD 750,000 Citigroup Inc., 5.375% 08/09/2020 793,672 1,117,133 USD 3,227,000 Citigroup Inc., 5.8% 11/29/2049 3,666,125 4,238,630 USD 1,529,000 Citigroup Inc., 5.875% 12/31/2049 1,956,644 2,004,754 USD 120,000 Citigroup Inc., 5.9% 12/29/2049 132,263 156,137 USD 2,725,000 Citigroup Inc., 5.95% 12/31/2049 3,332,681 3,427,433 USD 4,050,000 Citigroup Inc., 5.95% 12/31/2049 5,340,542 5,330,441

CANADA (39.7%) (cont’d) 1,545,000 Videotron Ltd., 5.625% 06/15/2025 1,507,362 1,546,287 14,653,000 Videotron Ltd., 5.75% 01/15/2026 14,653,000 14,622,778 USD 660,000 VRX Escrow Corp., 5.875% 05/15/2023 823,686 841,695 860,000 VW Credit Canada Inc., 2.15% 06/24/2020 807,104 799,925 715,000 VW Credit Canada Inc., 2.5% 10/01/2019 690,633 683,040 199,823 WESCO International Inc., Term Loan, Private Placement, variable rate, 12/12/2019 195,827 199,574 3,192,831 West Edmonton Mall Property Inc., 4.056% 02/13/2024 3,192,831 3,366,515 300,000 WestJet Airlines Ltd. 7,894,893 7,140,000 2,635,000 Wilfrid Laurier University 5.429% 02/01/2045 3,107,120 3,326,546 1,385,000 WTH Car Rental ULC 2.619% 12/20/2016 1,383,875 1,403,324 174,415 Xplornet Communications Inc., 13% 05/15/2017 188,981 180,520 2,828,690 Xplornet Communications Inc., 144A 13% 05/15/2017 2,841,968 2,955,981 4,156,000 Xplornet Communications Inc., 7% 10/25/2020 4,069,559 4,069,559 2,370 Xplornet Communications Inc., Warrants (15May17) 6 24 120,640 Yellow Pages Digital & Media Solutions Ltd., 8% 11/30/2022 144,247 126,672 562,080 Yellow Pages Digital & Media Solutions Ltd., 9.25% 11/30/2018 675,178 588,779 26,668 Yellow Pages Ltd. 290,825 425,088 2,547,618,627 2,521,489,927 U.S.A. (33.6%) USD 1,030,000 24 Hour Holdings III LLC 8% 06/01/2022 1,004,225 1,058,398 331 A Schulman Inc. 407,334 386,507 USD 1,168,000 A Schulman Inc., 6.875% 06/01/2023 1,426,658 1,469,079 USD 2,115,670 AAF Holdings LLC/AAF Finance Co., 12% 07/01/2019 2,362,089 2,781,027 USD 6,178,000 Activision Blizzard Inc., 5.625% 09/15/2021 7,683,995 8,677,429 USD 1,692,000 AECOM Technology Corp., 5.75% 10/15/2022 1,910,107 2,270,700 USD 1,015,000 AECOM Technology Corp., 5.875% 10/15/2024 1,137,592 1,364,684 USD 560,000 AES Corp., 7.375% 07/01/2021 563,804 775,349 USD 6,984,000 Alliance One International Inc., 9.875% 07/15/2021 7,091,653 7,968,773 USD 249,659 Allied Nevada Gold Corp., 12% 03/12/2016 314,398 333,172 3,036 Ally Financial Inc., Preferred 7% 3,326,109 4,065,746 USD 13,472,000 Alphabet Holding Co., Inc., 7.75% 11/01/2017 17,073,648 17,484,079 USD 1,543,440 Alvogen Pharma US Inc., Term Loan, Private Placement, variable rate, 05/23/2018 1,929,494 2,077,755 3,190,000 Anheuser-Busch InBev Finance Inc., 3.375% 01/25/2023 3,141,999 3,233,160 3,275,000 Anheuser-Busch InBev Worldwide Inc., 3.65% 01/15/2016 3,308,531 3,296,122 55,300 Apple Inc. 4,169,058 8,139,950 USD 73,000 ARC Properties Operating Partnership L.P., 3% 02/06/2019 87,147 92,913 USD 212,000 ARC Properties Operating Partnership L.P., 4.6% 02/06/2024 259,419 271,599 USD 1,506,000 Argos Merger Sub Inc., 7.125% 03/15/2023 1,882,847 2,032,378 333,300 AT&T Inc. 13,086,065 14,491,304 USD 2,260,000 Atrium Innovations Inc., Term Loan, Private Placement, variable rate, 08/10/2021 2,503,487 2,661,609 3,085,000 Bank of America Corp., 3.228% 06/22/2022 3,085,000 3,119,562

Percentages shown in brackets relate investments at fair value to net assets attributable to holders of redeemable units of the Trust.



AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)



U.S.A. (33.6%) (cont’d) USD 2,350,000 First Data Corp., 6.75% 11/01/2020 3,257,642 3,277,217 USD 7,310,000 First Data Corp., 8.25% 01/15/2021 9,710,647 10,121,073 USD 5,070,000 First Data Corp., 8.75% 01/15/2022 6,768,854 7,070,422 USD 3,471,000 Florida East Coast Holdings Corp., 6.75% 05/01/2019 4,057,040 4,539,435 USD 1,080,000 Foot Locker Inc., 8.5% 01/15/2022 1,227,834 1,693,490 USD 675,000 Foresight Energy LLC/Foresight Energy Corp., 144A 7.875% 08/15/2021 781,673 702,708 1,011,838 Forest City Enterprises Inc., Class A 24,573,923 27,181,652 USD 970,000 Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas Inc., 6.5% 11/15/2020 1,198,575 1,167,459 1,221,100 Frontier Communications Corp.* 7,046,636 7,740,445 USD 7,365,000 Frontier Communications Corp., 11% 09/15/2025 9,571,243 9,509,218 USD 4,802,000 Frontier Communications Corp., 6.875% 01/15/2025 5,371,535 5,062,562 USD 2,770,000 Frontier Communications Corp., 7.125% 03/15/2019 3,701,160 3,629,456 USD 2,003,000 General Electric Capital Corp., 6.25% 12/15/2049 2,063,800 2,900,226 USD 57,000 General Electric Capital Corp., 7.125% 12/15/2049 72,103 87,857 USD 70,000 General Electric Capital Corp., FRN, 5.25% 06/29/2049 78,542 96,125 67,000 General Electric Co. 2,335,289 2,254,971 USD 1,100,000 General Motors Financial Co., Inc., 4.375% 09/25/2021 1,403,007 1,498,756 USD 543,000 Genworth Holdings Inc., 4.8% 02/15/2024 584,932 543,478 USD 2,981,000 Genworth Holdings Inc., 4.9% 08/15/2023 3,131,336 3,102,971 USD 2,923,000 Genworth Holdings Inc., 6.15% 11/15/2066 2,842,420 1,794,352 USD 748,000 Genworth Holdings Inc., 7.625% 09/24/2021 899,519 973,256 USD 5,898,000 Getty Images Inc., 7% 10/15/2020 4,778,353 2,302,246 USD 1,335,682 Getty Images Inc., Term Loan B, Private Placement, variable rate, 10/18/2019 1,369,253 1,167,897 USD 2,801,000 Glen Meadow Pass-Through Trust 6.505% 02/12/2067 2,480,827 3,231,725 173,000 GMAC Capital Trust, Preferred 8.125%, Series 2 5,079,476 5,894,107 USD 3,306,000 Goldman Sachs Capital II, FRN, 4% 12/31/2049 2,989,089 3,187,585 USD 1,799,000 Goldman Sachs Capital III 4% 09/29/2049 1,547,225 1,728,561 USD 1,255,000 Goldman Sachs Group Inc., 5.375% 12/31/2049 1,546,920 1,636,086 USD 1,552,000 Goldman Sachs Group Inc., FRN, 5.7% 05/10/2019 1,764,258 2,063,389 22,690 Goldman Sachs Group Inc., Preferred 6.375%, Series K 645,941 792,427 USD 2,857,000 H&E Equipment Services Inc., 7% 09/01/2022 3,361,886 3,698,308 USD 2,235,000 Halcon Resources Corp., 8.625% 02/01/2020 2,672,553 2,479,307 USD 1,122,000 Halcon Resources Corp., 8.875% 05/15/2021 1,190,797 449,195 USD 960,000 Halcon Resources Corp., 9.25% 02/15/2022 950,413 397,149 USD 288,000 HCA Holdings Inc., 6.25% 02/15/2021 295,506 409,320 USD 422,000 HCA Inc., 3.75% 03/15/2019 484,646 561,754 USD 437,000 HCA Inc., 4.75% 05/01/2023 494,749 585,221 USD 1,974,000 HCA Inc., 5% 03/15/2024 2,506,900 2,640,904 USD 805,000 HCA Inc., 5.25% 04/15/2025 1,023,439 1,097,107 USD 3,559,000 HCA Inc., 5.375% 02/01/2025 4,449,060 4,702,018 USD 92,000 HCA Inc., 5.875% 03/15/2022 114,276 131,676 USD 409,000 HCA Inc., 5.875% 05/01/2023 463,250 566,282 USD 9,005,000 HCA Inc., 6.5% 02/15/2020 12,346,753 13,098,794

U.S.A. (33.6%) (cont’d) 166,200 Citigroup Inc., Preferred 6.875%, Series K 4,723,037 5,915,277 45,000 Citigroup Inc., Preferred Perpetual 7.125% 1,325,166 1,616,623 220,330 Clipper Realty Inc. 3,879,150 3,969,433 USD 1,020,000 Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance 6.375% 03/15/2024 1,138,537 748,659 USD 4,137,000 Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance 8.5% 12/15/2019 4,521,259 3,422,932 388,500 Coca-Cola Co. 16,899,250 20,800,464 25,000 Colgate-Palmolive Co. 1,535,411 2,117,196 719,100 Colony Financial Inc. 21,797,243 18,770,646 USD 2,245,000 CommScope Technologies Finance LLC 6% 06/15/2025 2,819,699 2,874,273 USD 3,000,000 Concho Resources Inc., 5.5% 04/01/2023 3,824,117 3,813,356 USD 1,587,000 Conn’s Inc., 7.25% 07/15/2022 1,686,843 2,033,149 46,806 Countrywide Capital V, Preferred 7% 1,251,742 1,603,424 USD 1,463,000 CrownRock L.P./CrownRock Finance Inc., 7.75% 02/15/2023 1,883,199 1,913,337 USD 4,605,000 CSC Holdings Inc., 8.625% 02/15/2019 6,434,145 6,329,770 USD 575,000 CSC Holdings LLC 7.625% 07/15/2018 724,439 805,709 24,300 CVS Caremark Corp. 2,292,973 3,128,705 20,900 Danaher Corp. 1,411,614 2,376,610 USD 1,279,000 DaVita HealthCare Partners Inc., 5% 05/01/2025 1,599,199 1,638,562 USD 2,542,000 DaVita HealthCare Partners Inc., 5.125% 07/15/2024 2,877,200 3,331,257 USD 1,882,000 DCP Midstream LLC 4.75% 09/30/2021 2,219,468 2,264,332 USD 2,424,000 DCP Midstream LLC 5.35% 03/15/2020 2,994,517 3,134,081 USD 734,000 DCP Midstream LLC 9.75% 03/15/2019 1,032,969 1,097,229 USD 3,081,000 DCP Midstream LLC, FRN, 5.85% 05/21/2043 3,043,151 3,289,295 USD 1,470,000 Dean Foods Co., 6.5% 03/15/2023 1,876,749 1,991,152 USD 1,534,000 Denbury Resources Inc., 4.625% 07/15/2023 1,593,931 1,105,453 USD 2,628,000 Denbury Resources Inc., 5.5% 05/01/2022 2,878,229 2,086,716 USD 51,000 Denbury Resources Inc., 6.375% 08/15/2021 50,741 42,878 USD 539,000 DigitalGlobe Inc., 5.25% 02/01/2021 559,180 681,536 83,200 Discover Financial Services 5,896,089 5,772,504 USD 247,000 DISH DBS Corp., 5.875% 07/15/2022 253,741 291,717 USD 331,000 DISH DBS Corp., 5.875% 11/15/2024 380,160 375,190 67,100 Dominion Resources Inc.* 5,223,240 6,302,210 42,500 Dow Chemical Co. 1,657,281 2,404,783 USD 4,155,000 DuPont Fabros Technology L.P., 5.875% 09/15/2021 5,125,221 5,683,501 21,800 Eastman Chemical Co. 2,198,162 1,882,852 50,660 Edison International 2,809,325 4,263,921 USD 3,954,000 Endeavor Energy Resources L.P./EER Finance Inc., 7% 08/15/2021 4,615,126 4,880,895 USD 3,262,000 Endeavor Energy Resources L.P./EER Finance Inc., 8.125% 09/15/2023 4,161,561 4,179,038 USD 2,817,000 Endo Finance Co., 5.75% 01/15/2022 3,005,904 3,721,715 USD 211,000 Endo Finance LLC/Endo Finco Inc., 6% 02/01/2025 281,972 273,486 USD 686,000 Endo Finance LLC/Endo Ltd./Endo Finco Inc., 6% 07/15/2023 850,536 904,029 39,400 EOG Resources Inc. 4,235,621 3,827,795 USD 2,475,000 EV Energy Partners L.P., 8% 04/15/2019 2,739,017 2,245,976 USD 5,060,000 Evolution Escrow Issuer LLC 7.5% 03/15/2022 5,577,788 4,271,025 23,800 Exxon Mobil Corp. 2,276,010 2,361,451 USD 82,000 Family Tree Escrow LLC 5.75% 03/01/2023 108,034 113,533




AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)



U.S.A. (33.6%) (cont’d) USD 3,853,000 Kinetic Concepts Inc./KCI USA Inc., 10.5% 11/01/2018 4,160,509 5,382,240 USD 3,605,000 Kinetic Concepts Inc./KCI USA Inc., 12.5% 11/01/2019 4,306,010 5,105,568 USD 3,041,628 LABA Royalty Sub LLC 9% 05/15/2029 3,442,156 3,815,531 USD 370,000 Land O’Lakes Capital Trust I 7.45% 03/15/2028 423,709 518,456 USD 897,000 Land O’Lakes Inc., 6% 11/15/2022 942,340 1,256,906 USD 1,850,000 Legacy Reserves L.P./Legacy Reserves Finance Corp., 6.625% 12/01/2021 1,982,229 1,678,811 USD 998,000 Lender Processing Services Inc., 5.75% 04/15/2023 1,039,170 1,410,084 USD 2,530,000 Level 3 Financing Inc., 7% 06/01/2020 3,279,532 3,494,475 USD 2,268,000 Liberty Mutual Group Inc., FRN, 7% 03/15/2037 2,559,652 2,913,164 USD 705,000 Limited Brands Inc., 8.5% 06/15/2019 1,052,814 1,098,417 USD 2,656,000 Lincoln National Corp., Callable 7% 05/17/2066 2,706,959 2,987,973 USD 2,697,000 Lincoln National Corp., Preferred 6.05% 04/20/2067 2,709,205 3,023,300 USD 4,121,000 Linn Energy LLC 8.625% 04/15/2020 3,647,038 1,484,867 USD 504,000 Linn Energy LLC/Linn Energy Finance Corp., 7.75% 02/01/2021 534,749 154,696 6,400 Lockheed Martin Corp. 1,509,698 1,770,603 USD 547,200 Lynx I Corp., 5.375% 04/15/2021 570,035 734,807 USD 368,000 Lynx II Corp., 6.375% 04/15/2023 385,972 488,643 26,900 Macquarie Infrastructure Co., LLC 2,708,089 2,680,164 USD 2,124,269 Mashantucket Western Pequot Tribe, Term Loan, Private Placement, variable rate, 07/01/2018 2,060,063 2,508,845 86,100 Merck & Co., Inc. 4,641,093 5,674,966 4,270,000 Merrill Lynch & Co., Inc., FRN, 5.29% 05/30/2022 4,518,525 4,412,305 37,800 MetLife Inc. 2,413,735 2,378,453 USD 4,967,000 MetroPCS Wireless Inc., 6.625% 11/15/2020 5,950,411 6,736,213 3,490,000 Metropolitan Life Global Funding I 1.875% 04/16/2020 3,487,697 3,439,526 USD 1,340,000 MGM Resorts International 11.375% 03/01/2018 1,939,237 2,047,535 USD 1,484,000 MGM Resorts International 6% 03/15/2023 1,702,056 1,923,473 USD 3,761,000 MGM Resorts International 6.625% 12/15/2021 4,070,520 5,144,561 USD 1,381,000 MGM Resorts International 6.75% 10/01/2020 1,500,778 1,902,851 USD 230,000 MGM Resorts International 7.75% 03/15/2022 278,242 326,888 USD 1,020,000 MGM Resorts International 8.625% 02/01/2019 1,354,108 1,493,915 USD 1,132,000 Micron Technology Inc., 5.25% 01/15/2024 1,372,491 1,386,033 USD 3,163,000 Micron Technology Inc., 5.625% 01/15/2026 3,783,581 3,798,943 79,800 Microsoft Corp. 2,630,969 4,713,412 3,575,000 Molson Coors International L.P., 2.75% 09/18/2020 3,569,709 3,523,385 150,000 Mondelez International Inc. 5,867,664 8,381,376 USD 3,434,000 Morgan Stanley 5.55% 12/31/2049 4,361,853 4,513,959 98,200 Morgan Stanley, Preferred 6.875% 2,613,034 3,502,931 90,000 Morgan Stanley, Preferred 7.125% 2,601,875 3,296,901 USD 595,000 MSCI Inc., 5.75% 08/15/2025 779,714 799,987 USD 2,919,000 Nationstar Mortgage LLC/Nationstar Capital Corp., 6.5% 06/01/2022 3,491,414 3,106,604 USD 4,705,000 Nationstar Mortgage LLC/Nationstar Capital Corp., 6.5% 07/01/2021 5,700,774 5,211,453 USD 1,354,000 Nationstar Mortgage LLC/Nationstar Capital Corp., 7.875% 10/01/2020 1,690,881 1,644,300

U.S.A. (33.6%) (cont’d) USD 2,127,000 HCA Inc., 7.5% 02/15/2022 2,511,002 3,207,503 USD 3,094,000 HD Supply Inc., 7.5% 07/15/2020 3,416,668 4,294,126 USD 161,000 HDTFS Inc., 6.25% 10/15/2022 169,603 215,393 USD 500,000 Hertz Corp., 4.25% 04/01/2018 567,222 662,249 USD 2,517,000 Hertz Corp., 7.375% 01/15/2021 3,108,950 3,468,122 USD 790,000 Hexion US Finance Corp., 6.625% 04/15/2020 936,243 896,122 USD 590,000 Hexion US Finance Corp.,/Hexion Nova Scotia Finance ULC 8.875% 02/01/2018 653,766 629,888 USD 3,997,000 Hockey Merger Sub 2 Inc., 7.875% 10/01/2021 4,485,830 5,093,996 48,000 Honeywell International Inc. 4,479,863 6,065,498 USD 4,435,000 Howard Hughes Corp., 6.875% 10/01/2021 4,881,727 6,012,646 USD 1,358,000 Hughes Satellite Systems Corp., 6.5% 06/15/2019 1,579,530 1,945,825 USD 4,003,000 Hughes Satellite Systems Corp., 7.625% 06/15/2021 4,526,377 5,722,654 USD 1,495,000 Huntington Ingalls Industries Inc., 5% 12/15/2021 1,710,088 2,034,991 USD 270,000 Huntington Ingalls Industries Inc., 7.125% 03/15/2021 289,156 377,432 USD 470,000 ILFC E-Capital Trust I, FRN, 5.9% 12/21/2065 506,307 573,905 USD 5,040,000 ILFC E-Capital Trust II 6.25% 12/21/2065 5,582,559 6,353,168 USD 213,000 Infor US Inc., 6.5% 05/15/2022 274,607 260,800 USD 2,783,000 Innovation Ventures LLC/Innovation Ventures Finance Corp., 9.5% 08/15/2019 2,961,908 3,825,353 USD 8,870,000 Intarcia Therapeutics Inc., 144A 6% 04/15/2031 2,332,115 2,690,214 USD 6,514,000 Intarcia Therapeutics Inc., 6% 04/15/2031 1,753,568 1,881,596 USD 337,000 International Lease Finance Corp., 5.875% 04/01/2019 343,693 472,890 USD 399,000 International Lease Finance Corp., 5.875% 08/15/2022 405,377 567,079 USD 87,000 International Lease Finance Corp., 6.25% 05/15/2019 101,212 123,649 USD 265,000 Iron Mountain Inc., 6% 10/01/2020 352,872 357,075 USD 2,096,202 Ironwood Pharmaceuticals Inc., 11% 06/15/2024 2,229,910 2,895,307 USD 1,541,098 J Crew Group Inc., Term Loan B, Priviate Placement, variable rate, 03/05/2021 1,686,569 1,597,542 USD 2,230,000 Jarden Corp., 6.125% 11/15/2022 2,718,427 3,065,231 USD 2,647,000 JBS USA LLC/JBS USA Finance Inc., 5.75% 06/15/2025 3,285,626 3,249,847 USD 4,261,000 JBS USA LLC/JBS USA Finance Inc., 7.25% 06/01/2021 5,433,779 5,899,575 USD 3,400,000 JBS USA LLC/JBS USA Finance Inc., 8.25% 02/01/2020 4,588,583 4,730,163 38,200 Johnson & Johnson 4,090,716 4,758,814 USD 1,605,000 JPMorgan Chase & Co., 5.3% 12/31/2049 2,122,678 2,104,402 USD 4,048,000 JPMorgan Chase & Co., 6.75% 08/29/2049 4,728,610 5,624,923 USD 1,375,000 JPMorgan Chase & Co., FRN, 5% 12/29/2049 1,498,640 1,784,487 USD 1,245,000 JPMorgan Chase & Co., FRN, 5.15% 05/29/2049 1,292,338 1,566,460 USD 3,903,000 JPMorgan Chase & Co., FRN, 6% 12/29/2049 4,067,699 5,127,225 253,250 JPMorgan Chase & Co., Warrants (28Oct18) 4,265,656 6,728,865 USD 3,145,000 K Hovnanian Enterprises Inc., 7.25% 10/15/2020 3,903,538 3,976,683 USD 1,330,000 K Hovnanian Enterprises Inc., 9.125% 11/15/2020 1,674,443 1,553,033 USD 3,598,000 Kennedy-Wilson Inc., 5.875% 04/01/2024 4,107,116 4,693,524 1,600,000 Kimco North Trust III 5.99% 04/13/2018 1,820,474 1,753,142 USD 189,000 Kindred Escrow Corp. II 8% 01/15/2020 262,625 267,355 USD 3,198,000 Kindred Escrow Corp. II 8.75% 01/15/2023 4,357,105 4,625,180




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U.S.A. (33.6%) (cont’d) USD 1,781,000 Reynolds Group Issuer Inc., 8.5% 05/15/2018 2,087,013 2,396,081 USD 1,450,000 Reynolds Group Issuer Inc., 9.875% 08/15/2019 1,940,050 2,002,762 USD 230,000 Reynolds Group Issuer Inc.,/Reynolds Group Issuer LLC 9.875% 08/15/2019 231,789 319,214 USD 2,590,980 Riverbed Technology Inc., 6% 02/25/2022 3,259,745 3,467,762 USD 1,544,000 Roundy’s Supermarkets Inc., 10.25% 12/15/2020 1,636,788 1,395,975 USD 105,016 Roundy’s Supermarkets Inc., 5.75% 03/03/2021 114,561 123,093 894,375 Rouse Properties Inc.* 17,063,138 18,595,514 USD 1,236,000 RSC Equipment Rental Inc., 8.25% 02/01/2021 1,521,320 1,736,048 USD 314,000 Sabine Pass Liquefaction LLC 5.625% 02/01/2021 333,404 388,655 USD 1,659,000 Sabine Pass Liquefaction LLC 5.625% 03/01/2025 2,076,369 1,951,042 USD 1,050,000 Sabine Pass Liquefaction LLC 5.625% 04/15/2023 1,081,463 1,243,594 USD 504,000 Sabine Pass Liquefaction LLC 5.75% 05/15/2024 560,973 598,607 USD 789,000 Sabine Pass LNG L.P., 6.5% 11/01/2020 862,285 1,018,706 USD 2,565,000 Sabine Pass LNG L.P., 7.5% 11/30/2016 2,826,087 3,500,030 USD 1,400,000 Sabre GLBL Inc., 5.375% 04/15/2023 1,783,201 1,840,286 USD 5,990,000 Scientific Games International Inc., 10% 12/01/2022 6,397,105 6,974,504 USD 1,686,000 Scientific Games International Inc., 6.25% 09/01/2020 1,675,450 1,614,361 USD 360,000 Scientific Games International Inc., 6.625% 05/15/2021 380,251 345,904 40,850 Sempra Energy 4,261,575 5,272,656 USD 506,000 Shea Homes L.P./Shea Homes Funding Corp., 5.875% 04/01/2023 646,884 690,454 USD 693,000 Shea Homes L.P./Shea Homes Funding Corp., 6.125% 04/01/2025 884,944 945,622 USD 1,455,000 Sirius XM Radio Inc., 5.25% 08/15/2022 1,712,617 2,014,523 USD 3,800,000 Sirius XM Radio Inc., 6% 07/15/2024 4,560,980 5,096,485 USD 1,201,000 SLM Corp., 8% 03/25/2020 1,380,272 1,534,627 USD 358,000 SLM Corp., 8.45% 06/15/2018 497,278 491,188 1,302 Sovereign REIT, Preferred 12%, Series 144A 2,011,043 2,293,538 320,000 SPDR Barclays Capital Emerging Markets Local Bond ETF 10,813,398 10,496,704 120,000 SPDR S&P 500 ETF Trust 31,860,104 30,687,805 USD 2,497,000 SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875% 08/01/2020 2,753,214 3,498,879 USD 820,000 Sprint Capital Corp., 6.875% 11/15/2028 899,680 785,158 USD 3,390,000 Sprint Corp., 7.125% 06/15/2024 4,052,797 3,481,656 USD 7,360,000 Sprint Corp., 7.625% 02/15/2025 8,919,252 7,605,942 USD 5,505,000 Sprint Corp., 7.875% 09/15/2023 6,628,174 5,946,082 USD 9,000,000 Sprint Nextel Corp., 9% 11/15/2018 12,425,119 12,602,690 USD 2,817,000 Starwood Property Trust Inc., 4% 01/15/2019 3,410,624 3,869,757 USD 1,673,000 Starwood Property Trust Inc., 4.55% 03/01/2018 1,862,756 2,271,702 USD 1,050,000 Steel Dynamics Inc., 5.25% 04/15/2023 1,088,571 1,282,128 USD 3,671,000 SunGard Data Systems Inc., 6.625% 11/01/2019 3,900,456 5,058,195 USD 997,000 SunGard Data Systems Inc., 7.375% 11/15/2018 1,012,954 1,357,114 USD 1,090,000 Taylor Morrison Communities Inc./ Monarch Communities Inc., 5.625% 03/01/2024 1,206,954 1,396,429 USD 588,481 Tenaska Alabama Partners L.P., 7% 06/30/2021 735,921 820,673 USD 130,000 TerraForm Power Operating LLC 5.875% 02/01/2023 165,165 153,101 USD 169,000 The Goodyear Tire & Rubber Co., 6.5% 03/01/2021 180,929 236,245 USD 423,000 The Goodyear Tire & Rubber Co., 7% 05/15/2022 431,573 599,778

U.S.A. (33.6%) (cont’d) USD 685,000 Neovia Logistics Intermediate Holdings LLC 10% 02/15/2018 701,185 907,282 USD 6,100,000 Neptune Finco Corp., 10.875% 10/15/2025 8,163,863 8,221,902 USD 1,170,000 Netflix Inc., 5.375% 02/01/2021 1,317,958 1,619,926 USD 626,000 Netflix Inc., 5.5% 02/15/2022 778,745 843,756 USD 779,000 Netflix Inc., 5.75% 03/01/2024 883,641 1,060,373 USD 521,000 Neuberger Berman Group LLC/Neuberger Berman Finance Corp., 5.875% 03/15/2022 563,387 736,995 306,000 Newell Rubbermaid Inc. 13,272,210 16,215,950 38,500 NextEra Energy Inc. 4,182,782 5,011,977 USD 660,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 5.125% 07/15/2019 712,821 801,505 USD 5,219,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 6.875% 10/15/2021 5,590,865 6,546,908 USD 313,000 NRG Yield Operating LLC 5.375% 08/15/2024 344,040 366,533 USD 2,463,000 NuStar Logistics L.P., 4.8% 09/01/2020 2,389,270 3,138,982 USD 1,350,000 NuStar Logistics L.P., 6.75% 02/01/2021 1,478,123 1,783,570 USD 495,000 NuStar Logistics L.P., 8.15% 04/15/2018 601,144 706,822 USD 4,441,000 Ortho-Clinical Diagnostics Inc., 6.625% 05/15/2022 4,692,954 5,096,832 524,176 Pattern Energy Group Inc. 16,843,298 13,353,778 47,200 PepsiCo Inc. 4,608,504 5,939,840 163,900 Pfizer Inc. 5,852,759 6,870,178 USD 571,000 Pilgrim’s Pride Corp., 5.75% 03/15/2025 713,034 748,669 USD 1,909,000 Pinnacle Entertainment Inc., 7.5% 04/15/2021 2,361,341 2,655,847 USD 925,000 PNC Financial Services Group Inc., 6.75% 07/29/2049 876,345 1,339,345 166,150 PNC Financial Services Group Inc., Warrants (31Dec18) 2,285,193 5,388,001 USD 3,382,000 PNC Preferred Funding Trust I, Floating, Call, 1.9872% 12/31/2049 3,618,480 4,138,159 USD 993,000 PNC Preferred Funding Trust II, FRN, 1.5597% 03/15/2017 1,046,350 1,224,122 USD 3,105,000 PolyOne Corp., 7.375% 09/15/2020 3,801,398 4,288,674 USD 2,250,000 Post Holdings Inc., 7.375% 02/15/2022 2,590,603 3,047,682 295,094 Potlatch Corp. 13,935,480 11,337,652 252,800 Procter & Gamble Co. 22,239,405 24,269,934 USD 2,478,000 Project Homestake Merger Corp., 8.875% 03/01/2023 3,090,161 3,009,288 USD 556,000 Quicken Loans Inc., 5.75% 05/01/2025 677,483 696,540 USD 2,780,000 Rayonier AM Products Inc., 5.5% 06/01/2024 3,075,827 2,782,449 10,000 Raytheon Co. 1,357,716 1,458,083 161,842 RBS Capital Funding Trust V, Preferred 5.9%, Series E 4,191,165 5,263,418 174,400 RBS Capital Funding Trust VII, Preferred 6.08%, Series G 4,707,718 5,690,448 USD 1,374,000 RBS Capital Trust, Class B 6.8% 12/29/2049 1,372,500 1,835,264 USD 7,300,000 Realogy Group LLC, Senior Secured 144A, Callable 7.625% 01/15/2020 9,562,145 10,155,937 USD 320,000 Regal Entertainment Group 5.75% 03/15/2022 361,262 419,569 USD 1,235,000 Resolute Forest Products Inc., 5.875% 05/15/2023 1,338,999 1,227,847 464,270 Retail Opportunity Investments Corp. 6,689,823 10,247,719 USD 1,015,000 Reynolds Group Issuer Inc., 5.75% 10/15/2020 1,166,222 1,368,071 USD 8,765,000 Reynolds Group Issuer Inc., 7.875% 08/15/2019 11,809,606 12,164,838




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U.S.A. (33.6%) (cont’d) USD 4,965,000 United States Treasury Note/ Bond 2.375% 08/15/2024 5,633,449 6,824,274 USD 883,000 United States Treasury Note/ Bond 2.5% 05/15/2024 933,149 1,227,438 USD 865,000 United States Treasury Note/ Bond 2.75% 11/15/2023 957,581 1,228,989 USD 100,000,000 United States Treasury Note/ Bond 2.875% 08/15/2045 133,397,882 133,385,379 USD 10,222,000 United States Treasury Note/ Bond 3% 05/15/2045 13,411,306 13,959,999 USD 25,560,000 United States Treasury Note/ Bond 3.125% 05/15/2021* 29,361,914 36,987,197 USD 1,473,000 United States Treasury Note/ Bond 3.125% 08/15/2044 1,715,922 2,057,372 USD 2,127,000 US Foods Inc., 8.5% 06/30/2019 2,228,661 2,937,845 USD 4,275,000 USB Realty Corp., FRN, 1.4358% 12/29/2049 4,362,634 5,177,306 USD 3,170,000 Valeant Pharmaceuticals International, 144A 7% 10/01/2020 4,183,897 4,314,997 2,076,400 VEREIT Inc. 23,770,140 21,391,902 52,200 Verizon Communications Inc. 2,797,025 3,030,963 USD 925,000 Verizon Communications Inc., 4.5% 09/15/2020 952,948 1,337,234 USD 130,000 ViaSat Inc., 6.875% 06/15/2020 137,572 182,160 USD 859,000 Wayne Merger Sub LLC 8.25% 08/01/2023 1,117,209 1,097,623 USD 3,532,000 WellCare Health Plans Inc., 5.75% 11/15/2020 3,762,643 4,902,020 USD 2,106,000 Wells Fargo & Co., 5.875% 12/31/2049 2,572,893 2,877,222 USD 2,655,000 Wells Fargo & Co., 7.98% 03/29/2049 2,986,533 3,742,418 USD 2,095,000 Wells Fargo & Co., FRN, 5.9% 12/31/2049 2,301,317 2,795,794 428,670 Wells Fargo & Co., Warrants (28Oct18) 6,440,255 10,348,627 22,300 Western Digital Corp. 1,853,333 2,364,096 USD 758,000 WMG Acquisition Corp., 5.625% 04/15/2022 855,383 981,210 USD 481,000 WMG Acquisition Corp., 6% 01/15/2021 580,691 641,898 USD 759,000 WMG Acquisition Corp., 6.75% 04/15/2022 850,680 952,118 USD 280,000 Wynn Las Vegas LLC 5.375% 03/15/2022 281,542 344,236 USD 5,077,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5% 03/01/2025 6,403,482 5,809,816 USD 835,000 XPO Logistics Inc., 6.5% 06/15/2022 1,045,914 942,297 USD 2,234,000 Zayo Group LLC/Zayo Capital Inc., 10.125% 07/01/2020 3,244,705 3,234,700 USD 4,240,000 Zayo Group LLC/Zayo Capital Inc., 6% 04/01/2023 5,355,544 5,488,563 USD 1,410,000 Zayo Group LLC/Zayo Capital Inc., 6.375% 05/15/2025 1,710,735 1,806,390 2,000,783,170 2,134,115,605 U.K. (3.7%) USD 1,883,000 Abengoa Yield PLC 7% 11/15/2019 2,209,713 2,198,768 26,800 AstraZeneca PLC 2,229,692 2,262,232 EUR 1,100,000 Bank of Scotland PLC 3.875% 02/07/2020 1,513,261 1,888,152 USD 1,571,000 Bank of Scotland PLC, FRN, 0.625% 11/29/2049 1,026,350 1,383,865 GBP 1,500,000 Barclays Bank PLC 14% 12/31/2049 2,999,271 3,886,489 160,300 BG Group PLC 3,400,166 3,077,403 258,200 BHP Billiton PLC 7,216,491 5,238,327 GBP 700,000 BMW UK Capital PLC 5% 10/02/2017 1,319,697 1,490,098 GBP 1,255,000 BrightHouse Group Ltd., 7.875% 05/15/2018 2,103,044 2,395,133 298,200 British American Tobacco PLC 19,538,789 21,929,923

U.S.A. (33.6%) (cont’d) 24,900 The Hershey Co. 2,830,271 3,053,103 USD 129,000 The Hertz Corp., 5.875% 10/15/2020 134,212 170,172 43,100 Thermo Fisher Scientific Inc. 5,692,860 7,033,213 USD 2,315,000 Time Inc., 5.75% 04/15/2022 2,708,118 2,888,575 USD 803,000 T-Mobile USA Inc., 6% 03/01/2023 927,160 1,034,103 USD 3,599,000 T-Mobile USA Inc., 6.125% 01/15/2022 3,886,835 4,634,792 USD 1,174,000 T-Mobile USA Inc., 6.25% 04/01/2021 1,254,886 1,561,229 USD 68,000 T-Mobile USA Inc., 6.375% 03/01/2025 76,085 87,117 USD 943,000 T-Mobile USA Inc., 6.625% 04/01/2023 1,024,435 1,245,856 USD 248,000 Tops Holding II Corp., 8.75% 06/15/2018 294,473 324,339 USD 5,133,000 Tops Holding LLC/Tops Markets II Corp., 8% 06/15/2022 6,416,463 6,850,028 USD 422,000 TRI Pointe Holdings Inc., 4.375% 06/15/2019 457,218 551,899 USD 473,000 TRI Pointe Holdings Inc., 5.875% 06/15/2024 517,319 618,598 USD 906,000 Tronox Finance LLC 6.375% 08/15/2020 980,481 767,756 35,800 U.S. Bancorp., Preferred 6.5%, Series F 905,028 1,372,109 21,700 Union Pacific Corp. 2,292,732 2,560,249 24,400 United Parcel Service Inc., Class B* 2,712,720 3,213,543 USD 795,000 United Rentals North America Inc., 4.625% 07/15/2023 1,012,053 1,027,779 USD 435,000 United Rentals North America Inc., 6.125% 06/15/2023 507,814 578,700 USD 1,057,000 United Rentals North America Inc., 7.625% 04/15/2022 1,338,102 1,495,209 USD 6,093,000 United States Treasury Inflation Indexed Bonds 0.125% 04/15/2018 6,969,206 8,121,723 USD 740,000 United States Treasury Note/ Bond 1.375% 04/30/2020 882,440 990,163 USD 9,460,000 United States Treasury Note/ Bond 1.5% 01/31/2022 11,526,878 12,483,049 USD 1,935,000 United States Treasury Note/ Bond 1.5% 05/31/2019 2,067,532 2,616,849 USD 3,393,000 United States Treasury Note/ Bond 1.625% 06/30/2020 4,404,794 4,585,128 USD 16,204,000 United States Treasury Note/ Bond 1.625% 08/31/2019* 18,673,844 21,995,437 USD 611,000 United States Treasury Note/ Bond 1.625% 11/15/2022 590,842 807,483 USD 26,865,000 United States Treasury Note/ Bond 1.75% 02/28/2022 34,017,710 35,966,274 USD 900,000 United States Treasury Note/ Bond 1.75% 04/30/2022 1,162,645 1,203,315 USD 11,180,000 United States Treasury Note/ Bond 1.75% 05/15/2023 10,778,418 14,792,679 USD 11,770,000 United States Treasury Note/ Bond 2% 07/31/2020* 15,015,260 16,169,417 USD 25,000,000 United States Treasury Note/ Bond 2% 07/31/2022 33,215,569 33,935,196 USD 337,000,000 United States Treasury Note/ Bond 2% 08/15/2025 435,391,068 447,350,028 USD 10,565,000 United States Treasury Note/ Bond 2% 10/31/2021 12,312,304 14,391,771 USD 15,590,000 United States Treasury Note/ Bond 2.125% 05/15/2025 20,380,936 20,930,221




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AverageCost ($)

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FRANCE (2.0%) (cont’d) EUR 4,435,000 France Government Bond OAT, zero coupon, 05/25/2020* 6,112,970 6,568,999 368,051 GDF Suez* 8,765,490 7,925,817 USD 2,449,000 Numericable Group S.A., 6% 05/15/2022 2,880,466 3,149,737 USD 12,318,000 Numericable Group S.A., 6.25% 05/15/2024 14,998,414 15,822,023 4,165,000 Orange S.A., 5.5% 06/23/2016 4,530,521 4,275,995 16,500 Safran S.A. 1,224,220 1,656,029 32,289 Schneider Electric S.A. 2,818,749 2,408,132 168,369 Vinci S.A.* 9,719,697 14,239,365 115,250,831 127,666,661 JAPAN (1.6%) JPY 1,720,500,000 Government of Japan, Five Year Bond 0.1% 03/20/2020 17,572,505 19,184,390 JPY 737,350,000 Government of Japan, Five Year Bond 0.1% 06/20/2020 7,885,147 8,208,676 JPY 676,850,000 Government of Japan, Ten Year Bond 0.3% 12/20/2024 7,013,576 7,543,433 JPY 730,950,000 Government of Japan, Ten Year Bond 0.4% 03/20/2025 7,744,822 8,203,544 JPY 266,550,000 Government of Japan, Ten Year Bond 0.4% 09/20/2025 2,938,112 2,979,573 JPY 778,600,000 Government of Japan, Ten Year Bond 0.6% 06/20/2024 8,148,266 8,926,220 JPY 746,150,000 Government of Japan, Ten Year Bond 1.2% 12/20/2020 8,206,250 8,789,800 JPY 434,000,000 Government of Japan, Twenty Year Bond 1.2% 12/20/2034 4,514,594 4,935,396 JPY 306,600,000 Government of Japan, Twenty Year Bond 1.3% 06/20/2035 3,467,601 3,527,212 JPY 2,369,100,000 Government of Japan, Twenty Year Bond 1.5% 06/20/2034 24,686,410 28,435,656 92,177,283 100,733,900 SWITZERLAND (1.5%) USD 2,352,000 Credit Suisse Group AG 6.25% 12/31/2049 2,575,658 2,942,589 USD 9,015,000 Credit Suisse Group AG, FRN, 7.5% 12/11/2023 10,315,091 12,526,849 4,450,000 EUROFIMA 5.15% 12/13/2019 4,912,528 5,044,003 242,300 Nestle S.A., Registered Shares 21,160,217 24,307,652 80,000 Novartis AG, Registered Shares 6,588,064 9,795,113 29,600 Roche Holding AG 7,781,000 10,418,538 983,800 UBS Group AG 20,788,818 24,266,240 USD 2,712,000 UBS Group AG 6.875% 12/31/2049 3,554,711 3,493,599 USD 3,620,000 UBS Group AG, FRN, 7% 12/31/2049* 4,555,277 4,924,638 82,231,364 97,719,221 AUSTRALIA (1.3%) 1,185,000 BHP Billiton Finance Ltd., 3.23% 05/15/2023 1,150,699 1,173,482 1,565,000 Brookfield Infrastructure Finance Pty, Ltd., 3.455% 10/10/2017 1,564,380 1,597,655 USD 6,993,000 FMG Resources August 2006 Pty. Ltd., 9.75% 03/01/2022 8,368,391 8,690,623 USD 2,404,000 FMG Resources Pty, Ltd., 6.875% 04/01/2022 2,410,805 2,069,261 USD 1,314,000 FMG Resources Pty, Ltd., 8.25% 11/01/2019 1,415,315 1,398,451 AUD 950,000 Government of Australia, Treasury Bond 3.25% 04/21/2025* 963,649 937,818

U.K. (3.7%) (cont’d) 90,700 Diageo PLC 2,910,776 3,241,705 GBP 915,000 F&C Asset Management PLC, FRN, 6.75% 12/20/2026 1,745,850 1,890,511 GBP 340,000 F&C Finance PLC 9% 12/20/2016 724,478 737,832 85,900 GlaxoSmithKline PLC 2,209,603 2,195,317 823,000 HSBC Holdings PLC 9,578,326 8,285,324 USD 1,671,000 HSBC Holdings PLC 5.625% 12/31/2049 1,866,319 2,146,339 USD 451,000 HSBC Holdings PLC 6.375% 12/31/2049 512,545 575,531 USD 544,000 HSBC Holdings PLC, FRN, 6.375% 12/31/2049 681,339 692,396 USD 1,323,350 Hyperion Insurance Group Ltd., 5.5% 03/26/2022 1,642,365 1,770,436 GBP 870,000 Lloyds Bank PLC 6.75% 10/24/2018 1,751,748 1,993,885 USD 2,984,000 Lloyds Bank PLC, FRN, 0.6285% 08/29/2049 1,970,548 2,449,035 USD 3,000,000 Lloyds Bank PLC, FRN, 12% 12/31/2049 5,234,355 5,644,968 GBP 3,802,000 Lloyds Banking Group PLC 7% 12/31/2049 7,217,673 7,572,225 20,000,000 Lloyds TSB Bank PLC 5.28% 04/19/2016* 21,336,200 20,414,363 24,315,000 Llyods TSB Bank PLC 4.57% 10/13/2015* 25,311,915 24,330,563 22,445,000 National Grid Electricity Transmission PLC 2.73% 09/20/2017 22,910,570 22,961,761 227,900 National Grid PLC 3,799,220 4,227,493 USD 992,000 National Westminster Bank PLC, FRN, 0.625% 12/31/2049 662,233 820,776 USD 661,000 National Westminster Bank PLC, FRN, 0.8125% 08/29/2049 440,640 542,497 112,200 Prudential PLC 3,489,607 3,156,241 156,900 Royal Dutch Shell PLC, Shares A 5,766,630 4,922,030 USD 3,449,000 The Royal Bank of Scotland Group PLC 6.99% 10/04/2049 3,900,264 5,362,165 USD 1,156,000 The Royal Bank of Scotland Group PLC 7.5% 12/31/2049 1,523,503 1,539,312 5,214,000 The Royal Bank of Scotland PLC 10.5% 03/16/2022 5,685,139 5,723,199 5,900,000 The Royal Bank of Scotland PLC, Callable 5.37% 11/29/2049 4,850,861 5,833,878 GBP 5,735,000 United Kingdom, Treasury Gilt 1.75% 07/22/2019* 10,614,641 11,900,093 GBP 1,170,000 United Kingdom, Treasury Gilt 2% 07/22/2020 2,469,562 2,448,788 GBP 1,505,000 United Kingdom, Treasury Gilt 2% 09/07/2025 3,039,136 3,099,807 GBP 2,710,000 United Kingdom, Treasury Gilt 2.25% 09/07/2023* 4,867,757 5,749,060 GBP 2,340,000 United Kingdom, Treasury Gilt 2.75% 09/07/2024* 4,864,336 5,148,359 GBP 2,460,000 United Kingdom, Treasury Gilt 3.5% 07/22/2068 4,860,503 6,620,602 GBP 2,410,000 United Kingdom, Treasury Gilt, Inflation Linked Note, 1.66866% 11/22/2017 5,676,754 6,872,417 USD 333,000 Virgin Media Finance PLC 6% 10/15/2024 377,095 427,726 USD 2,318,000 Virgin Media Secured Finance PLC 5.25% 01/15/2026 2,956,877 2,845,918 GBP 785,000 Vodafone Group PLC 8.125% 11/26/2018 1,673,612 1,864,844 222,679,454 231,757,786 FRANCE (2.0%) 40,909 Aeroports de Paris* 4,315,021 6,183,174 USD 502,000 Credit Agricole S.A., 6.625% 09/23/2019 564,455 643,963 181,803 Eutelsat Communications S.A. 6,358,746 7,428,830 EUR 2,520,000 France Government Bond OAT 0.25941% 07/25/2018* 3,976,928 4,019,281 EUR 9,700,000 France Government Bond OAT 0.5% 05/25/2025 13,348,143 13,917,486 EUR 6,810,000 France Government Bond OAT 2.25% 05/25/2024* 10,694,390 11,451,728 EUR 14,375,000 France Government Bond OAT 3.25% 05/25/2045* 24,942,621 27,976,102




AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)



NETHERLANDS (0.7%) USD 797,000 AerCap Aviation Solutions B.V., 6.375% 05/30/2017 832,969 1,107,476 USD 3,292,542 Amaya B.V., Term Loan 1, Private Placement, variable rate, 08/01/2021 3,539,137 4,336,933 USD 933,712 Amaya B.V., Term Loan 2, Private Placement, variable rate, 08/01/2022 1,028,606 1,248,850 EUR 2,140,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., 3.375% 04/21/2017 3,034,117 3,347,151 USD 2,600,000 ING Groep N.V., 6% 12/31/2049 3,218,065 3,384,053 USD 5,058,000 ING Groep N.V., 6.5% 12/31/2049 6,232,011 6,418,383 USD 3,278,000 JLL/Delta Dutch Newco B.V., 7.5% 02/01/2022 4,117,841 4,418,261 USD 1,807,000 JLL/Delta Dutch Pledgeco B.V., 8.75% 05/01/2020 2,196,740 2,435,570 78,946 Koninklijke Ahold N.V. 1,236,934 2,049,735 69,221 Koninklijke Philips Electronics N.V. 2,165,736 2,172,479 USD 3,767,000 LBC Tank Terminals Holding Netherlands B.V., 6.875% 05/15/2023 4,134,714 5,215,606 USD 906,000 Schaeffler Finance B.V., 6.75% 11/15/2022 1,037,456 1,299,744 USD 2,485,000 Schaeffler Holding Finance B.V., 6.875% 08/15/2018 2,721,549 3,419,884 65,300 Unilever N.V. 3,118,767 3,495,067 38,614,642 44,349,192 ITALY (0.7%) 908,900 Enel SpA 5,174,519 5,405,552 EUR 7,090,000 Italy Buoni Poliennali Del Tesoro 0.7% 05/01/2020 10,403,993 10,550,148 EUR 13,015,000 Italy Buoni Poliennali Del Tesoro 1.05% 12/01/2019 18,226,028 19,731,637 EUR 2,845,000 Italy Buoni Poliennali Del Tesoro 2.5% 12/01/2024 4,347,895 4,533,417 150,400 Snam Rete Gas SpA 971,880 1,030,404 39,124,315 41,251,158 GERMANY (0.6%) 44,000 Bayer AG 4,975,250 7,509,955 1,920,000 Commerzbank AG, FRN, 1.64% 12/15/2016 1,661,700 1,886,400 3,555,000 Deutsche Bank AG 1.443% 08/22/2016 3,440,527 3,537,225 63,100 Deutsche Post AG 2,484,764 2,331,374 148,550 Fraport AG 9,750,464 12,226,492 21,500 Siemens AG, Registered Shares 2,525,874 2,563,135 704,700 Telefonica Deutschland Holding AG 4,382,966 5,739,120 USD 1,797,000 Unitymedia Hessen GmbH & Co., KG/Unitymedia NRW GmbH 5.5% 01/15/2023 2,148,245 2,395,113 USD 697,000 Unitymedia KabelBW GmbH 6.125% 01/15/2025 794,733 918,525 32,164,523 39,107,339 BERMUDA (0.6%) USD 989,000 Aircastle Ltd., 5.125% 03/15/2021 1,103,502 1,323,128 USD 182,000 Aircastle Ltd., 6.75% 04/15/2017 185,099 254,417 USD 388,000 Aircastle Ltd., 7.625% 04/15/2020 421,352 581,218 279,600 Brookfield Infrastructure Partners L.P. 14,587,119 13,747,932 306,900 Brookfield Property Partners L.P. (USD) 7,636,906 8,789,166 13,200 Credicorp Ltd. 2,311,253 1,873,585 USD 238,000 Digicel Ltd., 6% 04/15/2021 298,253 289,822 USD 716,000 Digicel Ltd., 6.75% 03/01/2023 894,292 859,957 USD 1,068,000 Digicel Ltd., 7% 02/15/2020 1,156,999 1,407,439 USD 2,884,000 Digicel Ltd., 8.25% 09/30/2020 3,263,151 3,560,066

AUSTRALIA (1.3%) (cont’d) AUD 2,315,000 Government of Australia, Treasury Bond 5.25% 03/15/2019* 2,591,436 2,414,770 2,689,423 MacQuarie Atlas Roads Group 6,356,349 9,799,507 USD 1,245,000 Macquarie Group Ltd., 10.25% 06/20/2057 1,587,984 1,786,238 AUD 790,000 New South Wales Treasury Corp., 4% 04/20/2023 803,405 802,957 AUD 935,000 New South Wales Treasury Corp., 5.5% 03/01/2017 1,021,582 917,475 AUD 2,610,000 Queensland Treasury Corp., 6% 02/21/2018 2,986,659 2,666,132 1,600,735 Scentre Group 4,894,459 5,847,625 2,396,772 Syndey Airport 8,636,413 13,380,381 2,288,950 Telstra Corp., Ltd. 10,193,859 12,028,035 EUR 650,000 Telstra Corp., Ltd., 4.75% 03/21/2017 941,634 1,032,555 1,515,643 Transurban Group 10,352,264 14,111,683 AUD 2,490,000 Western Australian Treasury Corp., 7% 10/15/2019* 2,848,909 2,746,349 69,088,192 83,400,997 SPAIN (0.9%) USD 3,422,000 Abengoa Finance S.A.U., 7.75% 02/01/2020 3,826,662 1,855,216 USD 2,822,000 Abengoa Finance S.A.U., 8.875% 11/01/2017 2,990,590 1,732,351 USD 1,776,000 Abengoa Greenfield S.A., 6.5% 10/01/2019 1,830,084 888,782 651,918 Abertis Infraestructuras S.A. 11,334,778 13,737,382 165,945 Banco Bilbao Vizcaya Argentaria S.A. 1,837,231 1,875,868 460,471 Ferrovial S.A. 8,060,343 14,654,315 255,444 Iberdrola S.A. 2,133,418 2,265,492 1,330,000 Instituto de Credito Oficial 5% 03/31/2020 1,216,190 1,437,052 EUR 13,500,000 Spain Government Bond 1.4% 01/31/2020 19,042,801 20,680,337 52,272,097 59,126,795 LUXEMBOURG (0.9%) USD 828,000 Altice Financing S.A., 6.5% 01/15/2022 904,150 1,066,862 USD 1,925,000 Altice Financing S.A., 6.625% 02/15/2023 2,494,682 2,471,000 USD 380,000 Altice S.A., 7.625% 02/15/2025 482,261 447,847 USD 938,000 Altice S.A., 7.75% 05/15/2022 1,060,391 1,139,109 USD 1,802,000 ArcelorMittal 5.5% 03/01/2021 2,078,002 2,159,351 USD 482,000 ArcelorMittal 6.125% 06/01/2025 599,670 521,018 USD 1,284,000 ArcelorMittal 6.25% 02/25/2022 1,453,192 1,559,292 USD 4,802,000 Beverage Packaging Holdings Luxembourg II S.A., 6% 06/15/2017 5,729,855 6,272,129 USD 2,451,600 CHC Helicopter S.A., 9.25% 10/15/2020 2,300,883 1,832,140 USD 6,240,000 Delta Lux S.a.r.l., Term Loan 2, Private Placement, variable rate, 07/29/2022 6,971,875 8,042,825 USD 388,020 Evergreen Skills Lux S.a.r.l., Term Loan 1, Private Placement, variable rate, 04/28/2021 480,331 512,638 USD 5,148,000 Evergreen Skills Lux S.a.r.l., Term Loan 2, Private Placement, variable rate, 04/28/2022 5,544,863 6,698,294 USD 345,000 Intelsat Jackson Holdings S.A., 5.5% 08/01/2023 360,162 379,834 USD 8,552,000 Intelsat Jackson Holdings S.A., 7.25% 04/01/2019 11,000,275 10,699,415 USD 2,264,000 Intelsat Jackson Holdings S.A., 7.25% 10/15/2020 2,392,678 2,772,066 USD 821,000 Intelsat Jackson Holdings S.A., 7.5% 04/01/2021 832,003 1,010,719 USD 3,449,000 Intelsat Luxembourg S.A., 7.75% 06/01/2021 3,627,300 3,037,793 USD 2,180,000 Wind Acquisition Finance S.A., 4.75% 07/15/2020 2,439,260 2,880,135 USD 322,000 Wind Acquisition Finance S.A., 6.5% 04/30/2020 340,382 444,751 EUR 228,000 Wind Acquisition Finance S.A., 7% 04/23/2021 342,875 339,169 51,435,090 54,286,387




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JERSEY ISLAND (0.2%) USD 1,471,000 HBOS Capital Funding L.P., 6.85% 03/29/2049 1,453,304 1,975,624 GBP 1,032,000 HBOS Capital Funding L.P., FRN, 6.461% 11/30/2018 1,636,401 2,203,706 GBP 870,000 Heathrow Funding Ltd., 7.125% 02/14/2024 1,777,187 2,173,902 2,345,000 Heathrow Funding Ltd., FRN, 3% 06/17/2023 2,327,131 2,398,970 42,809 Wolseley PLC 2,453,097 3,334,015 9,647,120 12,086,217 PERU (0.2%) USD 8,500,000 Republic of Peru 8.375% 05/03/2016 11,510,452 11,768,690 SWEDEN (0.2%) SEK 23,565,000 Government of Sweden 1.5% 11/13/2023 3,713,096 4,029,669 SEK 3,650,000 Government of Sweden 2.5% 05/12/2025 608,078 676,472 USD 1,456,000 Skandinaviska Enskilda Banken AB, FRN, 5.75% 12/31/2049 1,665,168 1,843,171 69,000 Swedbank AB 2,158,976 2,033,996 340,600 TeliaSonera AB 2,587,804 2,445,723 10,733,122 11,029,031 PHILIPPINES (0.1%) USD 3,025,000 Government of Philippine 4% 01/15/2021 4,272,332 4,339,531 USD 3,000,000 Government of Philippine 8% 01/15/2016 3,981,579 4,080,431 8,253,911 8,419,962 HONG KONG (0.1%) 368,400 China Mobile Ltd. (Hong Kong) 4,006,187 5,823,353 1,260,600 HKT Trust 1,259,454 1,999,161 5,265,641 7,822,514 MARSHALL ISLANDS (0.1%) USD 1,340,000 Drill Rigs Holdings Inc., 6.5% 10/01/2017 1,352,105 1,370,239 USD 419,000 Navios Maritime Acquisition Corp./Navios Acquisition Finance US Inc., 8.125% 11/15/2021 448,188 517,222 USD 4,229,000 Navios Maritime Holdings Inc./Navios Maritime Finance II US Inc., 7.375% 01/15/2022 4,447,455 4,543,119 USD 1,158,000 Navios South American Logistics Inc./Navios Logistics Inc., 7.25% 05/01/2022 1,282,864 1,390,824 7,530,612 7,821,404 NORWAY (0.1%) NOK 19,690,000 Government of Norway 3% 03/14/2024 3,445,338 3,490,419 NOK 22,860,000 Government of Norway 4.5% 05/22/2019 4,335,442 4,075,296 7,780,780 7,565,715 SOUTH AFRICA (0.1%) 437,160 African Bank Investments Ltd. 639,947 - USD 4,735,000 South Africa Government International Bond 6.875% 05/27/2019 6,197,202 7,045,061 6,837,149 7,045,061 COLOMBIA (0.1%) USD 4,640,000 Republic of Colombia 7.375% 03/18/2019 6,609,035 7,012,571 CHILE (0.1%) 25,339 Banco de Chile, ADR 2,092,946 2,123,588 USD 3,090,000 Republic of Chile 3.875% 08/05/2020 3,757,551 4,401,974 5,850,497 6,525,562

BERMUDA (0.6%) (cont’d) 101,500 Invesco Ltd. 4,847,351 4,230,183 35,100 Lazard Ltd. 2,206,996 2,028,225 38,912,273 38,945,138 MEXICO (0.4%) 116,900 Grupo Financiero Banorte S.A.B. de C.V. 809,897 763,424 USD 3,000,000 Petroleos Mexicanos 4.875% 01/24/2022 3,782,688 3,964,329 MXN 86,315,000 United Mexican States, Treasury Bond 10% 12/05/2024 9,133,293 8,673,211 USD 3,830,000 United Mexican States, Treasury Bond 3.6% 01/30/2025 4,298,759 5,002,552 USD 1,215,000 United Mexican States, Treasury Bond 3.625% 03/15/2022 1,586,500 1,636,020 USD 2,000,000 United Mexican States, Treasury Bond 5.625% 01/15/2017 2,740,448 2,829,156 USD 1,070,000 United Mexican States, Treasury Bond 5.95% 03/19/2019 1,549,113 1,601,416 MXN 13,885,000 United Mexican States, Treasury Bond 8% 12/07/2023 1,322,329 1,234,193 25,223,027 25,704,301 SINGAPORE (0.4%) 7,092,900 Singapore Telecommunications Ltd. 20,930,415 23,947,443

IRELAND (0.3%) USD 344,000 Allegion PLC 5.875% 09/15/2023 455,901 470,547 2,924 Allergan PLC, Preferred, 5.5%, Series A 3,820,333 3,681,476 27,400 Eaton Corp PLC 2,247,603 1,875,811 EUR 2,990,000 Irish Life Assurance PLC 5.25% 02/08/2017 3,841,327 4,570,502 34,800 Medtronic PLC 3,391,627 3,108,752 58,700 Tyco International PlC 3,068,609 2,621,109 USD 2,692,000 XL Group PLC, FRN, 6.5% 12/29/2049 2,680,318 2,852,441 19,505,718 19,180,638 CAYMAN ISLANDS (0.2%) 619,600 HKBN Ltd. 907,079 953,805 USD 2,863,000 MCE Finance Ltd., 5% 02/15/2021 2,994,644 3,362,212 USD 4,045,000 UPCB Finance IV Ltd., 5.375% 01/15/2025 5,033,667 5,074,199 USD 448,200 UPCB Finance VI Ltd., 6.875% 01/15/2022 481,012 630,276 USD 3,724,000 Wynn Macau Ltd., 5.25% 10/15/2021 4,286,982 4,314,351 13,703,384 14,334,843 AUSTRIA (0.2%) 8,270,000 Federal Republic of Austria 5.375% 12/01/2034 9,596,015 10,514,662 USD 1,177,000 JBS Investments GmbH 7.25% 04/03/2024 1,366,284 1,511,814 USD 1,677,000 JBS Investments GmbH 7.75% 10/28/2020 1,796,892 2,293,919 12,759,191 14,320,395 INDONESIA (0.2%) 3,344,200 Bank Mandiri Persero Tbk PT 2,854,747 2,414,210 EUR 3,000,000 Indonesia Government International Bond 2.875% 07/08/2021 4,330,394 4,293,192 USD 4,880,000 Indonesia Government International Bond 3.75% 04/25/2022 6,017,948 6,196,546 USD 815,000 Indonesia Government International Bond 5.875% 01/15/2024 1,196,051 1,151,794 14,399,140 14,055,742




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GUERNSEY (0.1%) 2,054,350 International Public Partnerships Ltd. 4,256,311 5,428,557

THAILAND (0.1%) 11,000,900 TRUE Telecommunication Growth Infrastructure Fund 3,913,694 5,094,406

BRAZIL (0.1%) USD 518,000 ESAL GmbH 6.25% 02/05/2023 653,625 635,973 USD 3,060,000 Federal Republic of Brazil 4.875% 01/22/2021 3,846,551 3,971,295 4,500,176 4,607,268 BRITISH VIRGIN ISLANDS (0.1%) USD 3,691,000 Studio City Finance Ltd., 8.5% 12/01/2020 4,107,464 4,580,871 SOUTH KOREA (0.1%) USD 3,000,000 Republic of Korea 5.125% 12/07/2016 4,024,971 4,205,941 HUNGARY (0.1%) EUR 2,500,000 Hungary Government International Bond 5.75% 06/11/2018 3,939,705 4,192,827 NEW ZEALAND (0.1%) NZD 4,605,000 Government of New Zealand, Treasury Bond 3% 04/15/2020 4,221,727 3,973,140 QATAR (0.1%) USD 2,600,000 State of Qatar International Bond 3.125% 01/20/2017 3,460,232 3,559,933 TURKEY (0.1%) 293,100 Turkcell Iletisim Hizmetleri AS, ADR 4,929,710 3,395,132 DENMARK (0.1%) 21,200 Pandora AS 1,919,330 3,300,953 TAIWAN (0.0%) 3,369,100 Asian Pay Television Trust 2,579,738 2,480,369 PANAMA (0.0%) 66,900 Intercorp Financial Services Inc. 2,353,441 2,275,711 PORTUGAL (0.0%) 134,900 Galp Energia SGPS S.A. 2,459,048 1,770,166

INDIA (0.0%) 140,500 ICICI Bank Ltd., ADR 1,725,053 1,571,236

Commissions and other portfolio transaction costs (980,893)

Total Bonds & Equities (91.8%) 5,616,300,762 5,823,026,705

DERIVATIVE INSTRUMENTS

Foreign Currency Forward Contracts (-0.9%) (see Schedule A) (57,072,366)

Total Investments (90.9%) 5,616,300,762 5,765,954,339 Other Net Assets (Liabilities) (9.1%) 576,391,891 Net Assets Attributable to Holders of Redeemable Units (100.0%) 6,342,346,230

Principal amounts stated in:AUD Australian Dollar GBP British Pound EUR European Currency INR Indian Rupee JPY Japense Yen MXN Mexican Peso NZD New Zealand Dollar NOK Norwegian Krone SEK Swedish Krona USD U.S. Dollar




AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)


Select Income Advantage Managed TrustSchedule of Investment Portfolio as at September 30, 2015 (unaudited) (cont’d)

Schedule AForeign Currency Forward Contracts (-0.9%)

Contracts CounterpartyCredit Rating of

the Counterparty‡Settlement

DateContractsRate ($) Pay Receive

UnrealizedGain (Loss) ($)

1 Bank of Montreal A-1 21-Dec-15 2.04 (91,000) British Pound 185,515 Canadian $ 1,810 1 Bank of Montreal A-1 20-Oct-15 0.76 (171,952) Canadian $ 130,000 US $ 1,548 1 Bank of Montreal A-1 20-Nov-15 0.75 (29,167) Canadian $ 22,000 US $ 199 1 Bank of Montreal A-1 20-Nov-15 0.76 (86,436) Canadian $ 66,000 US $ 1,660 1 Bank of Montreal A-1 20-Nov-15 0.76 (105,948) Canadian $ 81,000 US $ 2,169 1 Bank of Montreal A-1 20-Nov-15 0.76 (116,228) Canadian $ 88,000 US $ 1,234 1 Bank of Montreal A-1 20-Nov-15 0.76 (1,254,000) US $ 1,652,120 Canadian $ (21,706)1 Bank of Montreal A-1 20-Oct-15 0.77 (294,000) US $ 380,886 Canadian $ (11,488)1 Bank of Montreal A-1 30-Oct-15 0.83 (29,900,000) US $ 36,070,463 Canadian $ (3,834,381)1 Bank of Montreal A-1 16-Nov-15 0.76 (52,102,000) US $ 68,605,309 Canadian $ (938,661)1 Bank of Montreal A-1 18-Dec-15 0.75 (92,079,000) US $ 122,162,590 Canadian $ (754,262)1 Bank of Montreal A-1 21-Dec-15 0.94 (22,117,000) Australian $ 20,770,296 Canadian $ 139,615 1 Bank of Montreal A-1 21-Dec-15 2.03 (877,000) British Pound 1,777,318 Canadian $ 6,900 1 Bank of Montreal A-1 21-Dec-15 2.04 (2,377,000) British Pound 4,845,824 Canadian $ 47,278 1 Bank of Montreal A-1 30-Oct-15 0.81 (18,256,984) Canadian $ 14,800,000 US $ 1,495,457 1 Bank of Montreal A-1 21-Dec-15 0.73 (836,684) Canadian $ 610,000 Swiss Franc 1,725 1 Bank of Montreal A-1 21-Dec-15 0.94 (661,000) Singaporean $ 619,831 Canadian $ 1,300 1 Bank of Montreal A-1 21-Dec-15 0.73 (6,033,000) Swiss Franc 8,275,720 Canadian $ (16,274)1 Bank of Montreal A-1 16-Nov-15 0.76 (19,123,000) US $ 25,180,210 Canadian $ (344,517)1 Bank of Montreal A-1 18-Dec-15 0.75 (32,050,000) US $ 42,521,216 Canadian $ (262,537)1 Bank of Montreal A-1 30-Oct-15 0.83 (32,600,000) US $ 39,327,662 Canadian $ (4,180,630)1 Bank of Montreal A-1 15-Oct-15 1.54 (3,474,000) British Pound 5,336,064 US $ 108,540 1 Bank of Montreal A-1 15-Oct-15 1.58 (1,533,589) US $ 972,000 British Pound (84,540)1 Bank of Montreal A-1 18-Dec-15 0.75 (15,700,000) US $ 20,829,426 Canadian $ (128,606)1 Bank of Montreal A-1 30-Oct-15 0.83 (21,300,000) US $ 25,695,681 Canadian $ (2,731,516)1 Bank of Montreal A-1 15-Oct-15 1.54 (3,854,569) US $ 2,502,000 British Pound (93,513)1 Bank of Montreal A-1 16-Nov-15 0.76 (47,304,000) US $ 62,287,542 Canadian $ (852,221)1 Bank of Montreal A-1 16-Nov-15 0.76 (14,171,000) US $ 18,659,664 Canadian $ (255,302)1 Bank of Montreal A-1 30-Oct-15 0.83 (16,400,000) US $ 19,784,468 Canadian $ (2,103,139)1 Bank of Montreal A-1 18-Dec-15 0.75 (31,300,000) US $ 41,526,180 Canadian $ (256,393)1 Bank of Montreal A-1 30-Oct-15 0.81 (35,403,746) Canadian $ 28,700,000 US $ 2,899,973 1 Bank of Montreal A-1 18-Dec-15 0.75 (107,969,000) US $ 143,244,092 Canadian $ (884,425)1 Bank of Montreal A-1 30-Oct-15 0.81 (14,342,000) US $ 17,609,394 Canadian $ (1,531,745)1 Bank of Montreal A-1 16-Nov-15 0.75 (20,000,000) US $ 26,555,200 Canadian $ (140,313)1 Bank of Montreal A-1 16-Nov-15 0.76 (21,500,000) US $ 28,430,095 Canadian $ (267,477)1 Bank of Montreal A-1 30-Oct-15 0.83 (38,700,000) US $ 46,686,519 Canadian $ (4,962,895)1 Bank of Montreal A-1 16-Nov-15 0.76 (5,100,000) US $ 6,715,425 Canadian $ (91,881)1 Bank of Montreal A-1 30-Oct-15 0.81 (5,658,000) US $ 6,946,892 Canadian $ (604,395)1 Bank of Montreal A-1 30-Oct-15 0.80 (56,800,000) US $ 71,433,384 Canadian $ (4,373,992)1 Canadian Imperial Bank of Commerce A-1 20-Nov-15 0.75 (15,895) Canadian $ 12,000 US $ 122 1 Canadian Imperial Bank of Commerce A-1 20-Nov-15 0.76 (130,000) US $ 171,234 Canadian $ (2,289)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.83 (1,650,000) US $ 1,990,511 Canadian $ (211,596)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.76 (30,000,000) US $ 39,483,000 Canadian $ (557,021)1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.76 (50,700,000) US $ 66,773,421 Canadian $ (899,219)1 Canadian Imperial Bank of Commerce A-1 18-Dec-15 0.75 (83,153,000) US $ 110,296,634 Canadian $ (704,806)1 Canadian Imperial Bank of Commerce A-1 21-Dec-15 0.73 (2,479,000) Swiss Franc 3,392,317 Canadian $ (14,905)1 Canadian Imperial Bank of Commerce A-1 21-Dec-15 0.73 (858,000) Swiss Franc 1,175,624 Canadian $ (3,643)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.83 (15,200,000) US $ 18,336,824 Canadian $ (1,949,251)1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.76 (16,500,000) US $ 21,730,995 Canadian $ (292,645)1 Canadian Imperial Bank of Commerce A-1 18-Dec-15 0.75 (24,700,000) US $ 32,762,821 Canadian $ (209,357)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.83 (10,446,000) US $ 12,601,741 Canadian $ (1,339,597)1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.76 (11,002,000) US $ 14,489,964 Canadian $ (195,132)1 Canadian Imperial Bank of Commerce A-1 18-Dec-15 0.75 (25,919,032) US $ 34,379,782 Canadian $ (219,690)

‡Credit ratings are obtained from Standard & Poor’s, 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 Trust.




Schedule A (cont’d)Foreign Currency Forward Contracts (-0.9%)





1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.75 (6,500,000) US $ 8,646,430 Canadian $ (29,626)1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.75 (11,000,000) US $ 14,632,420 Canadian $ (50,136)1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.76 (16,600,000) US $ 21,862,698 Canadian $ (294,419)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.76 (3,000,000) US $ 3,948,300 Canadian $ (55,702)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.83 (30,050,000) US $ 36,251,419 Canadian $ (3,853,617)1 Canadian Imperial Bank of Commerce A-1 18-Dec-15 0.75 (39,549,000) US $ 52,458,980 Canadian $ (335,218)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.76 (15,000,000) US $ 19,741,500 Canadian $ (278,510)1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.75 (20,000,000) US $ 26,678,400 Canadian $ (17,222)1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.75 (20,000,000) US $ 26,545,500 Canadian $ (150,004)1 Canadian Imperial Bank of Commerce A-1 16-Nov-15 0.76 (26,800,000) US $ 35,296,404 Canadian $ (475,327)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.77 (27,800,000) US $ 36,302,074 Canadian $ (801,530)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.83 (350,000) US $ 422,230 Canadian $ (44,884)1 Canadian Imperial Bank of Commerce A-1 30-Oct-15 0.78 (50,000,000) US $ 63,976,000 Canadian $ (2,756,415)1 Canadian Imperial Bank of Commerce A-1 18-Dec-15 0.75 (53,450,000) US $ 70,897,684 Canadian $ (453,043)1 Citigroup Inc. A-2 15-Dec-15 1.12 (1,158,000) Euro 1,296,670 US $ 1,160 1 Citigroup Inc. A-2 15-Dec-15 1.12 (3,076,000) Euro 3,444,320 US $ 3,040 1 Citigroup Inc. A-2 15-Dec-15 1.13 (767,000) Euro 863,124 US $ 6,471 1 Citigroup Inc. A-2 15-Oct-15 1.42 (645,000) Singaporean $ 452,711 US $ (496)1 Citigroup Inc. A-2 15-Dec-15 1.43 (645,000) Singaporean $ 450,049 US $ (2,897)1 Citigroup Inc. A-2 15-Oct-15 1.43 (451,469) US $ 645,000 Singaporean $ 2,154 1 Credit Suisse Group AG BBB+ 20-Nov-15 0.75 (25,342) Canadian $ 19,000 US $ 19 1 Credit Suisse Group AG BBB+ 20-Nov-15 0.76 (393,500) US $ 518,310 Canadian $ (6,929)1 Credit Suisse Group AG BBB+ 20-Oct-15 0.77 (884,000) US $ 1,143,043 Canadian $ (36,746)1 Credit Suisse Group AG BBB+ 18-Dec-15 0.75 (12,998,000) US $ 17,247,436 Canadian $ (103,683)1 Credit Suisse Group AG BBB+ 15-Oct-15 1.54 (3,515,000) British Pound 5,402,312 US $ 114,188 1 Credit Suisse Group AG BBB+ 15-Oct-15 1.56 (573,000) British Pound 893,508 US $ 35,756 1 Credit Suisse Group AG BBB+ 15-Oct-15 0.01 (30,678,000) Japanese Yen 259,319 US $ 4,673 1 Credit Suisse Group AG BBB+ 15-Oct-15 1.06 (9,720,000) Swiss Franc 10,278,536 US $ 397,601 1 Credit Suisse Group AG BBB+ 15-Oct-15 1.05 (2,300,316) US $ 2,183,000 Swiss Franc (78,456)1 Credit Suisse Group AG BBB+ 15-Oct-15 1.04 (2,307,142) US $ 2,210,000 Swiss Franc (50,570)1 Credit Suisse Group AG BBB+ 15-Oct-15 0.01 (261,808) US $ 30,678,000 Japanese Yen (7,993)1 Credit Suisse Group AG BBB+ 15-Oct-15 0.98 (5,453,131) US $ 5,327,000 Swiss Franc 22,246 1 Credit Suisse Group AG BBB+ 15-Oct-15 1.58 (6,448,334) US $ 4,088,000 British Pound (353,454)1 HSBC Holdings PLC A-1 20-Nov-15 0.75 (175,032) Canadian $ 132,000 US $ 1,161 1 HSBC Holdings PLC A-1 20-Oct-15 0.77 (2,394,979) Canadian $ 1,843,000 US $ 64,700 1 HSBC Holdings PLC A-1 20-Oct-15 0.77 (1,161,000) US $ 1,502,026 Canadian $ (47,448)1 HSBC Holdings PLC A-1 20-Nov-15 0.76 (523,000) US $ 685,486 Canadian $ (12,606)1 HSBC Holdings PLC A-1 21-Dec-15 0.94 (7,693,000) Australian $ 7,226,112 Canadian $ 50,099 1 HSBC Holdings PLC A-1 21-Dec-15 0.73 (293,000) Swiss Franc 401,920 Canadian $ (790)1 HSBC Holdings PLC A-1 15-Oct-15 1.56 (683,000) British Pound 1,065,614 US $ 43,391 1 HSBC Holdings PLC A-1 15-Oct-15 0.74 (3,054,000) Singaporean $ 2,256,839 US $ 148,844 1 HSBC Holdings PLC A-1 15-Oct-15 1.43 (452,000) Singaporean $ 316,291 US $ (1,625)1 HSBC Holdings PLC A-1 15-Dec-15 1.43 (453,000) Singaporean $ 316,045 US $ (2,082)1 HSBC Holdings PLC A-1 15-Oct-15 1.58 (1,077,418) US $ 683,000 British Pound (59,142)1 HSBC Holdings PLC A-1 15-Oct-15 0.73 (276,017) US $ 377,000 Singaporean $ (14,934)1 HSBC Holdings PLC A-1 15-Oct-15 1.43 (316,999) US $ 453,000 Singaporean $ 1,618 1 HSBC Holdings PLC A-1 15-Oct-15 0.72 (965,568) US $ 1,341,000 Singaporean $ (31,461)1 HSBC Holdings PLC A-1 15-Oct-15 0.73 (969,274) US $ 1,335,000 Singaporean $ (42,030)1 Morgan Stanley A-2 21-Dec-15 2.04 (209,000) British Pound 425,948 Canadian $ 4,032 1 Morgan Stanley A-2 20-Nov-15 0.75 (18,654) Canadian $ 14,000 US $ 33 1 Morgan Stanley A-2 20-Nov-15 0.76 (23,760) Canadian $ 18,000 US $ 266 1 Morgan Stanley A-2 20-Nov-15 0.76 (23,804) Canadian $ 18,000 US $ 222 1 Morgan Stanley A-2 20-Nov-15 0.75 (42,524) Canadian $ 32,000 US $ 189









1 Morgan Stanley A-2 20-Oct-15 0.77 (783,000) US $ 1,014,024 Canadian $ (30,971)1 Morgan Stanley A-2 20-Nov-15 0.76 (783,000) US $ 1,027,210 Canadian $ (17,926)1 Morgan Stanley A-2 18-Dec-15 0.75 (21,452,000) US $ 28,447,926 Canadian $ (188,467)1 Morgan Stanley A-2 21-Dec-15 2.04 (953,000) British Pound 1,943,203 Canadian $ 19,343 1 Morgan Stanley A-2 21-Dec-15 2.04 (4,127,000) British Pound 8,410,950 Canadian $ 79,613 1 Morgan Stanley A-2 21-Dec-15 1.50 (7,314,000) Euro 10,984,019 Canadian $ 56,781 1 Morgan Stanley A-2 21-Dec-15 0.67 (2,496,000) Euro 3,722,784 Canadian $ (6,239)1 Morgan Stanley A-2 15-Oct-15 0.91 (18,647,000) Euro 20,455,946 US $ (516,178)1 Morgan Stanley A-2 15-Oct-15 122.55 (179,856,000) Japanese Yen 1,467,638 US $ (42,892)1 Morgan Stanley A-2 15-Dec-15 1.43 (1,314,000) Singaporean $ 916,776 US $ (5,991)1 Morgan Stanley A-2 15-Oct-15 0.74 (1,866,000) Singaporean $ 1,378,831 US $ 90,808 1 Morgan Stanley A-2 15-Oct-15 0.98 (1,219,000) Swiss Franc 1,245,988 US $ (7,593)1 Morgan Stanley A-2 15-Oct-15 1.12 (1,183,415) US $ 1,056,000 Euro (4,091)1 Morgan Stanley A-2 15-Oct-15 1.04 (1,270,136) US $ 1,219,000 Swiss Franc (24,629)1 Morgan Stanley A-2 15-Oct-15 1.43 (919,461) US $ 1,314,000 Singaporean $ 4,754 1 Morgan Stanley A-2 15-Oct-15 1.16 (18,326,877) US $ 15,791,000 Euro (902,580)1 Morgan Stanley A-2 15-Oct-15 1.15 (2,072,052) US $ 1,800,000 Euro (80,186)1 Morgan Stanley A-2 15-Oct-15 123.95 (173,625) US $ 21,520,000 Japanese Yen 7,774 1 Morgan Stanley A-2 15-Oct-15 0.74 (406,151) US $ 552,000 Singaporean $ (24,548)1 Morgan Stanley A-2 15-Oct-15 124.27 (566,395) US $ 70,386,000 Japanese Yen 27,406 1 Morgan Stanley A-2 15-Oct-15 120.12 (732,197) US $ 87,950,000 Japanese Yen 1,601 1 Morgan Stanley A-2 15-Oct-15 1.16 (738,000) Euro 856,515 US $ 42,182 1 Morgan Stanley A-2 15-Oct-15 1.15 (849,541) US $ 738,000 Euro (32,876)1 Royal Bank of Canada A-1+ 21-Dec-15 2.04 (1,344,000) British Pound 2,738,572 Canadian $ 25,388 1 Royal Bank of Canada A-1+ 20-Nov-15 0.76 (35,321) Canadian $ 27,000 US $ 718 1 Royal Bank of Canada A-1+ 20-Oct-15 0.76 (47,436) Canadian $ 36,000 US $ 610 1 Royal Bank of Canada A-1+ 20-Nov-15 0.75 (78,190) Canadian $ 59,000 US $ 563 1 Royal Bank of Canada A-1+ 20-Nov-15 0.76 (187,500) US $ 245,995 Canadian $ (4,277)1 Royal Bank of Canada A-1+ 20-Oct-15 0.77 (1,925,000) US $ 2,500,577 Canadian $ (68,539)1 Royal Bank of Canada A-1+ 30-Oct-15 0.83 (29,950,000) US $ 36,131,081 Canadian $ (3,840,494)1 Royal Bank of Canada A-1+ 30-Oct-15 0.77 (38,000,000) US $ 49,253,510 Canadian $ (1,463,455)1 Royal Bank of Canada A-1+ 18-Dec-15 0.75 (40,179,000) US $ 53,324,363 Canadian $ (310,873)1 Royal Bank of Canada A-1+ 16-Nov-15 0.76 (48,700,000) US $ 64,155,189 Canadian $ (847,933)1 Royal Bank of Canada A-1+ 21-Dec-15 2.04 (2,524,000) British Pound 5,142,973 Canadian $ 47,677 1 Royal Bank of Canada A-1+ 21-Dec-15 1.50 (18,763,000) Euro 28,179,718 Canadian $ 147,481 1 Royal Bank of Canada A-1+ 21-Dec-15 0.94 (17,890,000) Singaporean $ 16,771,508 Canadian $ 30,938 1 Royal Bank of Canada A-1+ 16-Nov-15 0.76 (16,000,000) US $ 21,077,680 Canadian $ (278,582)1 Royal Bank of Canada A-1+ 30-Oct-15 0.83 (35,533,000) US $ 42,866,301 Canadian $ (4,556,403)1 Royal Bank of Canada A-1+ 15-Oct-15 0.91 (2,253,000) Euro 2,470,462 US $ (63,837)1 Royal Bank of Canada A-1+ 15-Oct-15 1.16 (7,471,000) Euro 8,671,552 US $ 428,073 1 Royal Bank of Canada A-1+ 15-Oct-15 0.90 (1,562,659) US $ 1,411,000 Euro 19,340 1 Royal Bank of Canada A-1+ 15-Oct-15 0.91 (1,559,435) US $ 1,425,000 Euro 44,523 1 Royal Bank of Canada A-1+ 16-Nov-15 0.76 (25,000,000) US $ 32,933,875 Canadian $ (435,284)1 Royal Bank of Canada A-1+ 15-Oct-15 0.92 (3,571,654) US $ 3,287,000 Euro 136,648 1 Royal Bank of Canada A-1+ 15-Oct-15 1.17 (4,214,067) US $ 3,601,000 Euro (252,238)1 Royal Bank of Canada A-1+ 18-Dec-15 0.75 (5,450,000) US $ 7,233,077 Canadian $ (42,168)1 Royal Bank of Canada A-1+ 16-Nov-15 0.76 (10,000,000) US $ 13,179,100 Canadian $ (168,569)1 Royal Bank of Canada A-1+ 16-Nov-15 0.76 (11,650,000) US $ 15,347,186 Canadian $ (202,842)1 Royal Bank of Canada A-1+ 30-Oct-15 0.77 (2,000,000) US $ 2,592,290 Canadian $ (77,024)1 Royal Bank of Canada A-1+ 16-Nov-15 0.76 (20,000,000) US $ 26,189,400 Canadian $ (505,787)1 Royal Bank of Canada A-1+ 16-Nov-15 0.76 (25,000,000) US $ 32,933,875 Canadian $ (435,284)1 Royal Bank of Canada A-1+ 30-Oct-15 0.76 (30,000,000) US $ 39,230,190 Canadian $ (809,699)1 Royal Bank of Canada A-1+ 15-Oct-15 0.91 (5,622,000) Euro 6,164,641 US $ (159,294)









1 Royal Bank of Canada A-1+ 15-Oct-15 1.17 (1,726,117) US $ 1,475,000 Euro (103,319)1 Royal Bank of Canada A-1+ 15-Oct-15 1.16 (4,813,402) US $ 4,147,000 Euro (237,615)1 State Street Corp. A-1 18-Dec-15 0.75 (27,780,000) US $ 36,869,227 Canadian $ (214,496)1 The Bank of Nova Scotia A-1 20-Nov-15 0.75 (194,915) Canadian $ 147,000 US $ 1,301 1 The Bank of Nova Scotia A-1 20-Oct-15 0.77 (1,891,000) US $ 2,447,777 Canadian $ (75,959)1 The Bank of Nova Scotia A-1 20-Nov-15 0.76 (2,058,000) US $ 2,709,738 Canadian $ (37,258)1 The Bank of Nova Scotia A-1 18-Dec-15 0.75 (8,635,000) US $ 11,452,816 Canadian $ (74,096)1 The Bank of Nova Scotia A-1 21-Dec-15 1.50 (14,206,000) Euro 21,338,605 Canadian $ 114,597 1 The Bank of Nova Scotia A-1 21-Dec-15 5.84 (4,387,000) Hong Kong Dollars 751,007 Canadian $ (4,598)1 The Bank of Nova Scotia A-1 21-Dec-15 0.73 (5,464,000) Swiss Franc 7,490,062 Canadian $ (19,868)1 The Bank of Nova Scotia A-1 15-Dec-15 1.43 (1,946,000) Australian $ 1,358,061 US $ (2,894)1 The Bank of Nova Scotia A-1 15-Oct-15 0.75 (2,941,000) Australian $ 2,199,868 US $ 183,232 1 The Bank of Nova Scotia A-1 15-Oct-15 1.45 (264,000) Australian $ 182,146 US $ (4,003)1 The Bank of Nova Scotia A-1 15-Oct-15 1.54 (2,559,000) British Pound 3,931,985 US $ 81,769 1 The Bank of Nova Scotia A-1 15-Oct-15 0.91 (3,267,000) Euro 3,583,899 US $ (90,479)1 The Bank of Nova Scotia A-1 15-Oct-15 1.06 (5,805,000) Swiss Franc 6,138,310 US $ 237,110 1 The Bank of Nova Scotia A-1 15-Oct-15 0.72 (124,141) US $ 173,000 Australian $ (3,756)1 The Bank of Nova Scotia A-1 15-Oct-15 0.98 (1,468,496) US $ 1,435,000 Swiss Franc 6,635 1 The Bank of Nova Scotia A-1 15-Oct-15 0.71 (167,618) US $ 236,000 Australian $ (2,815)1 The Bank of Nova Scotia A-1 15-Oct-15 1.04 (1,728,725) US $ 1,657,000 Swiss Franc (36,435)1 The Bank of Nova Scotia A-1 15-Oct-15 1.43 (1,362,451) US $ 1,946,000 Australian $ 3,065 1 The Bank of Nova Scotia A-1 15-Oct-15 1.06 (2,864,882) US $ 2,713,000 Swiss Franc (105,620)1 The Bank of Nova Scotia A-1 15-Oct-15 1.15 (3,756,723) US $ 3,267,000 Euro (140,133)1 The Bank of Nova Scotia A-1 15-Oct-15 1.58 (4,034,596) US $ 2,559,000 British Pound (218,690)1 The Bank of Nova Scotia A-1 15-Oct-15 0.73 (618,622) US $ 850,000 Australian $ (30,035)1 Toronto-Dominion Bank A-1+ 21-Dec-15 1.07 (1,683,000) Australian $ 1,569,699 Canadian $ (181)1 Toronto-Dominion Bank A-1+ 21-Dec-15 0.94 (9,877,000) Australian $ 9,274,503 Canadian $ 61,265 Total Foreign Currency Forward Contracts Value (57,072,366)



Financial Instruments by Category (Note 2)

The following tables present the carrying amounts of the Trust’s financial instruments by category:

as at September 30, 2015

Held forTrading

Financial Assets/Liabilities as FVTPL

Designated at Inception Total

Financial Assets/Liabilities at

Amortized Cost Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)

22,469 5,800,558 5,823,027 - 5,823,027 - - - 573,477 573,477 7,513 - 7,513 - 7,513 - - - - - - - - - - - - - - - - - - - - - - - - - - - - 2,887 2,887 - - - 50,872 50,872 - - - - - - - - - - - - - 8,686 8,686 - - - - - 29,982 5,800,558 5,830,540 635,922 6,466,462 - - - - - - - - - - 64,585 - 64,585 - 64,585 - - - - - - - - - - - - - - - - - - - - - - - 59,531 59,531 - - - - - - - - - - - - - - - - - - - - - - - - - 64,585 - 64,585 59,531 124,116

Trust Specific Notes to Financial Statements (unaudited)


AssetsInvestments Cash Unrealized gain on futures and foreign currency forward contracts Swaps, swaptions and options Cash collateral received for securities on loan Daily variation margin on derivative instruments Fees rebate receivable Margin for short sales Dividends receivable Interest receivable Receivable for distribution from investments Security lending income receivable Receivable for investments sold Receivable for unit subscriptions Liabilities Investments sold short Bank overdraft Unrealized loss on futures and foreign currency forward contracts Swaps, swaptions and options Dividends payable on investments sold short Interest payable on investments sold short Payable for cash collateral under securities lending Payable for investments purchased Payable for unit redemptions Distributions payable to holders of redeemable units Management fees payable Administration fees payable Accrued liabilities


Select Income Advantage Managed TrustTrust Specific Notes to Financial Statements (unaudited)


Financial Instruments by Category (Note 2) (cont’d)

as at March 31, 2015

Held forTrading

Financial Assets/Liabilities as FVTPL

Designated at Inception Total

Financial Assets/Liabilities at

Amortized Cost Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)

39,718 5,246,276 5,285,994 - 5,285,994 - - - 330,988 330,988 23,701 - 23,701 - 23,701 - - - - - - - - - - - - - - - - - - - - - - - 20,905 20,905 - - - 2,049 2,049 - - - 44,787 44,787 - - - - - - - - - - - - - 19,720 19,720 - - - - - 63,419 5,246,276 5,309,695 418,449 5,728,144 9,926 - 9,926 - 9,926 - - - - - 16,450 - 16,450 - 16,450 - - - - - - - - - - - - - - - - - - - - - - - 20,242 20,242 - - - - - - - - - - - - - - - - - - - - - - - - - 26,376 - 26,376 20,242 46,618

AssetsInvestments Cash Unrealized gain on futures and foreign currency forward contracts Swaps, swaptions and options Cash collateral received for securities on loan Daily variation margin on derivative instruments Fees rebate receivable Margin for short sales Dividends receivable Interest receivable Receivable for distribution from investments Security lending income receivable Receivable for investments sold Receivable for unit subscriptions Liabilities Investments sold short Bank overdraft Unrealized loss on futures and foreign currency forward contracts Swaps, swaptions and options Dividends payable on investments sold short Interest payable on investments sold short Payable for cash collateral under securities lending Payable for investments purchased Payable for unit redemptions Distributions payable to holders of redeemable units Management fees payable Administration fees payable Accrued liabilities





Net Gain (Loss) on Financial Instruments (Note 2) for the periods ended September 30 (in $000’s)

The following table presents the net gain (loss) on financial instruments at FVTPL by category.

as at September 30, 2015 Amounts Eligible for Offset

Gross Assets/(Liabilities)

FinancialInstruments

CollateralReceived/(Paid)

NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 7,513 (7,344) - 169 Derivative assets - Swaps and swaptions - - - - Total 7,513 (7,344) - 169 Derivative liabilities - Foreign currency forward contracts (64,585) 7,344 - (57,241) Derivative liabilities - Swaps and swaptions - - - - Total (64,585) 7,344 - (57,241)

as at March 31, 2015 Amounts Eligible for Offset

Gross Assets/(Liabilities)

FinancialInstruments

CollateralReceived/(Paid)

NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 23,701 (11,316) - 12,385 Derivative assets - Swaps and swaptions - - - - Total 23,701 (11,316) - 12,385 Derivative liabilities - Foreign currency forward contracts (16,450) 11,316 - (5,134) Derivative liabilities - Swaps and swaptions - - - - Total (16,450) 11,316 - (5,134)

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Trust’s statement of financial positon if all rights to offset were exercised.

2015 2014Financial Instruments at FVTPL Held for trading (100,380) 14,301Designated at fair value through profit or loss 15,965 105,624Total (84,415) 119,925




Interest in Non-Consolidated Structured Entities (Note 2)

The following tables present the Trust’s interest in Non-Consolidated Structured Entities. as at September 30, 2015

Fair Value ofthe Underlying Funds / ETFs

Fair Value of the Trust’s Investmentin the Underlying Funds / ETFs

Ownership in theUnderlying Funds / ETFs

Non-Consolidated Structured Entities (in $000’s) (in $000’s) (%)SPDR Barclays Capital Emerging Markets Local Bond ETF 71,282 10,497 14.7 iShares S&P 500 Index Fund (CAD-Hedged) 2,785,134 1,629 0.1 SPDR S&P 500 ETF Trust 168,180,620 30,688 -

as at March 31, 2015 Fair Value of

the Underlying Funds / ETFsFair Value of the Trust’s Investment

in the Underlying Funds / ETFsOwnership in the

Underlying Funds / ETFs

Non-Consolidated Structured Entities (in $000’s) (in $000’s) (%)SPDR Barclays Capital Emerging Markets Local Bond ETF 100,825 11,046 11.0 iShares MSCI Emerging Markets Index Fund 260,442 6,609 2.5



2015 2014

415,589,182 275,040,742 210,564,870 61,244,120 - - (154,826,044) (50) 471,328,008 336,284,812

Redeemable Unit Transactions (Note 4) for the periods ended September 30

Class C Number of redeemable units at the beginning of period Redeemable units issued for cash Redeemable units issued for reinvested distributions Redeemable units redeemed Number of redeemable units at the end of period

2015 2014 1,011 1,185 186 85

Commissions (Note 2) for the periods ended September 30 (in $000’s)

Brokerage commissionsSoft Dollar commissions†

†A portion of brokerage commissions paid was used to cover research and market data services, termed soft dollar commissions. This amount has been estimated by the Manager of the Trust. The accompanying notes are an integral part of these financial statements.

0.25

Management and Administration Fees (Note 5) as at September 30, 2015 (%)

Annual management and administration fee rate: Class C

Investments 2015 2014 12,120 7,598 2,010 3,181CI Financial Corp.CI Investments Inc., 3.94% 12/14/2016

Related Party Investments (Note 9) as at September 30 (in $000’s)

2015 2014 399,021 244,387 419,500 256,607

Securities Lending (Note 6) as at September 30 (in $000’s)

LoanedCollateral (non-cash)




During the six-month period ended September 30, 2015, the Trust’s credit risk, interest rate risk and fair value hierarchy exposure changed significantly as disclosed in the section below. For details relating to other price risk and currency risk, refer to the audited annual financial statements as at March 31, 2015, as the Trust’s exposure to those risks remains unchanged.

Credit RiskThe Trust 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 September 30, 2015 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 5.5 AA/Aa/A+ 10.8 A 14.2 BBB/Baa/B++ 10.5 BB/Ba/B+ 9.3 B 6.2 CCC/Caa/C++ 2.1 Not Rated 13.9 Total 72.5

as at March 31, 2015 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 5.7AA/Aa/A+ 11.3A 16.4BBB/Baa/B++ 11.0BB/Ba/B+ 7.6B 6.2CCC/Caa/C++ 2.0Not Rated 11.9Total 72.1

^Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody’s

Investors Service or Dominion Bond Rating Service, respectively.

*Refer to Note 10 for Credit Rating Chart reference.

Interest Rate RiskThe tables below summarize the Trust’s exposure to interest rate risk, categorized by the contractual maturity date.

as at September 30, 2015

Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 1,086,236 518,379 702,288 2,811,578 5,118,481

as at March 31, 2015

Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 662,236 590,212 853,276 2,255,088 4,360,812

Financial Instruments Risks (Note 10)

Concentration RiskFor Concentration Risk as at September 30, 2015, refer to the Schedule of Investment Portfolio.

The Trust’s investments were concentrated in the following segments: as at March 31, 2015 Categories Net Assets (%)Long Positions:Canada 43.6 U.S.A. 31.0 Other Net Assets (Liabilities) 7.0 U.K. 3.0 France 2.1 Switzerland 1.6 Australia 1.4 Japan 1.4 Spain 0.9 Bermuda 0.8 Luxembourg 0.8 Germany 0.7 Mexico 0.6 Netherlands 0.5 Singapore 0.5 Italy 0.5 Brazil 0.3 Ireland 0.3 Austria 0.2 Indonesia 0.2 Cayman Islands 0.2 Hong Kong 0.2 Poland 0.2 Jersey Island 0.2 Chile 0.2 Sweden 0.2 Norway 0.1 Marshall Islands 0.1 Peru 0.1 Thailand 0.1 Colombia 0.1 South Africa 0.1 Guernsey 0.1 New Zealand 0.1 Turkey 0.1 South Korea 0.1 British Virgin Islands 0.1 Philippines 0.1 Hungary 0.1 Qatar 0.1 Taiwan 0.1 Foreign Currency Forward Contracts 0.1 Denmark - Portugal - Total Long Positions 100.2

Short Positions:U.S.A. (0.2)Total Short Positions (0.2)





Interest Rate Risk (cont’d)As at September 30, 2015, had the prevailing interest rates increased or decreased by 0.25% (March 31, 2015 - 0.25%), with all other variables held constant, net assets attributable to holders of redeemable units of the Trust would have indirectly decreased or increased, respectively, by approximately $62,829,000 (March 31, 2015 - $48,462,000). In practice, actual results may differ from this analysis and the difference may be material.

Fair Value Hierarchy

The tables below summarize the inputs used by the Trust in valuing the Trust’s investments and derivatives carried at fair value.

Long Positions at fair value as at September 30, 2015Level 1 Level 2 Level 3 Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 1,258,437 15,613 3,973 1,278,023 Bonds - 4,521,995 23,009 4,545,004 Foreign currency forward contracts, net - (57,072) - (57,072) Total 1,258,437 4,480,536 26,982 5,765,955

There were no transfers between Level 1 and 3 during the period ended September 30, 2015.

During the period ended September 30, 2015, investments with a fair value of $4,066,000 were transferred out of Level 1 into Level 2 as quoted market prices were no longer available for these investments.

Long Positions at fair value as at March 31, 2015Level 1 Level 2 Level 3 Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 1,241,593 14,474 103 1,256,170 Bonds - 4,022,894 6,930 4,029,824 Foreign currency forward contracts, net - 7,251 - 7,251 Total 1,241,593 4,044,619 7,033 5,293,245

Short Positions at fair value as at March 31, 2015Level 1 Level 2 Level 3 Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities (9,926) - - (9,926) Total (9,926) - - (9,926)

There were no transfers between Level 1 and Level 2 and Level 1 and Level 3 during the year ended March 31, 2015.






Level 3 ReconciliationThe tables below summarize the movement in financial instruments classified as Level 3.

for the period ended September 30, 2015 Balance at

Mar. 31, 2015 Purchases SalesTransfers

inTransfers

(out)Realized gain

(loss)Unrealized gain

(loss)*Balance at

Sept. 30, 2015(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)

Long Positions/Assets:Equities 103 3,879 (83) 37 - 7 30 3,973 Bonds 6,930 7,807 (2,572) 10,176 - 248 420 23,009 Total 7,033 11,686 (2,655) 10,213 - 255 450 26,982

*Change in unrealized gain (loss) related to investments held at September 30, 2015 was $1,049,780.

During the period ended September 30, 2015, investments with a fair value of $10,213,000 were transferred out of Level 2 into Level 3 as observable market inputs were no longer available for these investments.

for the year ended March 31, 2015 Balance at

Mar. 31, 2014 Purchases SalesTransfers

inTransfers

(out)Realized gain

(loss)Unrealized gain

(loss)**Balance at

Mar. 31, 2015(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)

Long Positions/Assets:Equities 16 2,595 (2,597) 16 (37) 50 60 103 Bonds 7,627 5,429 (50) - (6,148) 8 64 6,930 Total 7,643 8,024 (2,647) 16 (6,185) 58 124 7,033

**Change in unrealized gain (loss) related to investments held at March 31, 2015 was $224,168.

During the year ended March 31, 2015, investments with a fair value of $16,000 were transferred out of Level 2 into Level 3 as observable market inputs were no longer available for these investments and investments with a fair value of $6,185,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.

Investments classified as Level 3 are valued at fair value based on unobservable inputs and assumptions, which may include credit spreads, industry multipliers, and discount rates. Management has assessed that the effect of changing these inputs to reasonably possible alternatives would not have a significant impact on the net assets attributable to holders of redeemable units of the Trust as at September 30, 2015 and March 31, 2015.


Select Income Advantage Managed TrustNotes to the Financial Statements as at September 30, 2015 (unaudited)

1. THE TRUST

Select Income Advantage Managed Trust (the “Trust”) is an unincorporated open-end mutual fund

created under the laws of the Province of Ontario pursuant to an amended and restated master

declaration of trust and an amended Schedule A thereto dated July 27, 2011 (“Declaration of Trust”).

The Trust commenced operations on July 13, 2010. The Trust is authorized to issue an unlimited

number of Class C units. CI Investment Inc. is the manager (the “Manager”), portfolio advisor (the

“Portfolio Advisor”) and trustee (the “Trustee”) to the Trust. The address of the Trust’s registered office

is 2 Queen Street East, Twentieth Floor, Toronto, Ontario, M5C 3G7.

These financial statements were authorized for issue by the Manager on November 16, 2015.

CI Investments Inc. is a subsidiary of CI Financial Corp. RBC Investor Services Trust is the custodian

(the “Custodian”) of the Trust.

The objective of the Trust is to provide a single diversified income solution for Canadian investors

that wish to have exposure to a fixed-income component of a larger, diversified investment portfolio.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

These financial statements have been 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 account policies of the Trust:

a. Classification and recognition of financial instruments

The Trust recognizes financial instruments at fair value upon initial recognition, inclusive of transaction

costs in the case of financial instruments not measured at fair value. Purchases and sales of

financial assets are recognized at their trade date. The Trust’s investments and derivative assets and

liabilities are measured at fair value through profit or loss (“FVTPL”). The Trust’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 presented in the Statements of Financial

Position when, and only when, the Trust 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 Trust 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 investments

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

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.

The fair value of private placements 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 placements are affected by the perceived credit risks of the issuer,

predictability of cash flows and the length of time to maturity.

c. Financial assets and liabilities at fair value

The Trust 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 Trust’s

derivative instruments, warrants and securities sold short are 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 Trust’s documented

investment strategy. The Trust’s investments excluding derivative instruments, warrants and

securities sold short are designated as FVTPL.

d. Cost of investments

Cost of investments represents the amount paid for each security and is determined on an average

cost basis excluding commissions and transactions costs. Average cost does not include amortization

of premiums or discounts on fixed income securities with the exception of zero coupon bonds.

e. Cash

Cash is comprised of cash on deposit.

f. Investment transactions and income recognition

Investment transactions are recorded on the trade date – the date on which the Trust 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 Trust and is accounted for on

an accrual basis. The Trust 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 and underlying funds 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 and underlying funds that are treated as a return of capital for income tax purposes

reduce the average cost of the income trusts and underlying funds.


Select Income Advantage Managed TrustNotes to the Financial Statements as at September 30, 2015 (unaudited) (cont’d)

g. Functional and presentation currency

The Trust’s functional and presentation currency is Canadian dollar.

h. 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

those relating to other financial assets and liabilities 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.

i. Units valuation

Net asset value (“NAV”) per unit is calculated at the end of each day on which the Toronto Stock

Exchange is open for business by dividing the total NAV of the Trust by the number of units outstanding.

j. Classification of units

The units of the Trust do not meet the criteria in IAS 32 for classification as equity and therefore, have

been classified as liabilities.

k. 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.

l. Increase (decrease) in net assets attributable to holders of redeemable units per unit

Increase (decrease) in net assets attributable to holders of redeemable unit per unit in the Statements

of Comprehensive Income is calculated by dividing the increase (decrease) in net assets attributable

to holders of redeemable units of the Trust by the weighted average number of units outstanding

during the period.

m. Foreign currency forward contracts

The Trust 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 rate

and the current forward rate at the measurement date applied to the contract’s notional amount and

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 “Unrealized gain (loss) on futures and foreign currency

forward contracts” 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.

n. Mortgage-backed and asset-backed investments

The Trust may, from time to time, invest in mortgage-related and other asset-backed securities.

These securities may include: mortgage pass-through securities, collateralized mortgage obligations,

commercial mortgage backed securities, asset-backed securities, collateralized debt obligations and

other securities that directly or indirectly represent a participation in, or are secured by and payable

from, mortgage loans on real property. The debt and equity securities issued by these securities may

include tranches with varying levels of subordination. These securities may provide a monthly payment

which consists of both interest and principal payments.

Mortgage-related securities are created from pools of residential or commercial mortgage loans,

including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks

and others. Asset-backed securities are created from many types of assets, including auto loans, credit

card receivables, home equity loans, and student loans.

Mortgage-related and asset-backed securities are issued as separate tranches, or classes, of

securities within each deal. The securities are also normally valued by pricing service providers that

use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing

models for these securities usually consider tranche-level attributes, current market data, estimated

cash-flows, and market-based yield spreads for each tranche, and incorporate deal collateral

performance, as available. The carrying values of mortgage related and other asset-backed securities

are included in “Investments” in the Statements of Financial Position. The changes in fair value of

mortgage related and other asset-backed securities are included in the Statements of Comprehensive

Income in “Change in unrealized appreciation (depreciation) in value of investments and derivatives”.

Mortgage-related and assets-backed securities are issued as separate tranches or classes, of

securities within each deal and are considered structure entities. See Note 2(q) for further information

on structured entities.

o. Short selling

When a Trust sells a security short, it will borrow that security from a broker to complete the sale. The

Trust 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 Trust closes out its short position by buying that

security. The Trust will realize a gain if the security declines in price between those dates. The gain or

loss that would be realized if the position was to be closed out on the valuation date is reflected in the

Statements of Comprehensive Income as part of “Change in unrealized appreciation (depreciation) of

investments and derivatives” and in the Statements of Financial Position in “Investments sold short”.

When the short position is closed out, gains and losses are realized and included in “Net realized gain

(loss) on investments and derivatives” in the Statements of Comprehensive Income.

p. Offsetting of financial instruments

The disclosures set out in the Offsetting of Financial Instruments tables in the Trust 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 Trust 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 Trust are settled

on a gross basis.

q. Investments in associates, joint ventures, subsidiaries and structured entities

Subsidiaries are entities, including investments in other investment entities, over which the Trust has

control. The Trust 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 Trust 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 Trust invests in ETFs (“Exchange-traded Funds” or “ETFs”) which are disclosed on the Schedule

of Investment Portfolio. The Trust determined that its investments in such ETFs are unconsolidated

structured entities. 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 listed on recognized public stock exchanges. The Trust

accounts for its investments in unconsolidated structured entities at fair value through profit or loss.

The Trust’s maximum exposure to loss from its interest in ETFs is equal to the total fair value of its

investments in the ETFs.

Information related to Interest in Non-Consolidated Structured Entities appears under the Trust Specific

Notes to Financial Statements.

r. Withholding taxes

The Trust 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.

s. Accounting standards issued but yet not 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 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 Manager of the Trust is in the process of assessing the impact of IFRS 9 on the Trust 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 Trust has made in preparing its financial statements:

Fair value measurement of investments and derivatives not quoted in active market

The Trust 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 Trust 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.

Classification and measurement of investments and application of the fair value option

In classifying and measuring financial instruments held by the Trust, the Manager is required

to make significant judgments about whether or not the business of the Trust 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 UNITS

Redeemable units issued and outstanding represent the capital of the Trust.

The Trust is authorized to issue an unlimited number of redeemable, transferable units each of which

represents an equal, undivided interest in the net assets of the Trust. The relevant changes pertaining

to subscription and redemption of the Trust’s units are disclosed in the Statements of Changes in

Net Assets Attributable to Holders of Redeemable Units. In accordance with the objectives and risk

management policies outlined in Note 1 and 10, the Trust endeavors to invest subscriptions received

in appropriate investments while maintaining sufficient liquidity to meet redemptions through utilizing

a short-term borrowing facility or disposal of investments when necessary.

Redeemable unit transactions information appears in the Trust Specific Notes to Financial Statements.

5. MANAGEMENT FEE AND OTHER EXPENSES

The Manager of the Trust in consideration for management and administrative fees provides

management and administrative services required in the day-to-day operations of the Trust including

management of the investment portfolio of the Trust and provision of key management personnel.

The management and administrative fee is calculated as fixed annual percentage of the net asset

value of the Trust at the end of each business day.

Refer to Trust Specific Notes to Financial Statements for the management and administrative fee rate

applicable to the Trust.

6. SECURITIES LENDING

The Trust has entered into a securities lending program with its Custodian. The aggregate market

value of all securities loaned by the Trust cannot exceed 50% of the net asset value of the Trust.



The Trust will receive collateral of at least 102% of the value of securities on loan. Collateral will

generally be comprised of cash and obligations of or guaranteed by the Government of Canada or a

province thereof, or by the United States government or its agencies, but may include obligations of

other governments with appropriate credit ratings. Amounts for securities loaned and the collateral

received, appear on the Trust Specific Notes to Financial Statements in the financial statements.

Income from securities lending is included in “Securities lending” in the Statements of Comprehensive

Income and any cash collateral received or cash collateral payable is included in the Statements of

Financial Position in “Cash collateral received for securities on loan” or “Payable for cash collateral

under securities lending”.

7. INCOME TAXES

The Trust 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 Trust’s

taxable income and net realized capital gains that is not so paid or payable will be taxable to the Trust.

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 Trust to distribute all net income and sufficient net

realized capital gains so that the Trust will not generally be liable for income taxes thereon. Since the

Trust 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.

8. REINVESTMENT OF DISTRIBUTIONS

When the Trust pays a distribution to a unitholder, it will be paid in the same currency in which the

units are held. Distributions are automatically reinvested without charge in additional units of the

Trust or paid in cash to the unitholder upon unitholder request.

9. RELATED PARTY TRANSACTIONS

The Trust may have direct or indirect holdings in CI Financial Corp. or its affiliates or other funds

managed by the Manager as identified in the Schedule of Investment Portfolio and the Trust Specific

Notes to Financial Statements.

10. FINANCIAL INSTRUMENTS RISK

Risk management

The Trust is exposed to a variety of financial instruments risks: credit risk, liquidity risk and market

risk (including other price risk, currency risk and interest rate risk). The level of risk to which the Trust

is exposed to depends on the investment objective and the type of investments the Trust holds. The

value of the investments within the portfolio can fluctuate daily as a result of changes in prevailing

interest rates, economic and market conditions and company specific news related to investments

held by the Trust. The Manager of the Trust may minimize potential adverse effects of these risks on

the Trust’s performance by, but not limited to, regular monitoring of the Trust’s positions and market

events, diversification of the investment portfolio by asset type, country, sector, term to maturity

within the constraints of the stated objectives, and through the usage of derivatives to hedge certain

risk exposures.

Concentration risk

Concentration risk arises as a result of the concentration of exposures within the same category,

whether it is a geographical allocation, asset type, industry sector or counterparty.

Credit risk

Credit risk is the risk that a security issuer or counterparty to a financial instrument will fail to meet

its financial obligations. The fair value of a debt instrument includes consideration of the credit

worthiness of the debt issuer. The carrying amount of debt instruments as presented on the Schedule

of Investment Portfolio represents credit risk exposure of the Trust. The credit risk exposure of the

Trust’s other assets is represented by its carrying amount as disclosed in the Statements of Financial

Position.

Credit ratings for debt securities, preferred securities and derivative instruments are obtained from

Standard & Poor’s, 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 Derivative Schedules

AAA/Aaa/A++ A-1+

AA/Aa/A+ A-1, A-2, A-3

A B, B-1

BBB/Baa/B++ B-2

BB/Ba/B+ B-3

B C

CCC/Caa/C++ -

CC/Ca/C+ -

C and Lower D

Not Rated WR

Significant 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. As at

September 30, 2015, the credit rating of the Custodian was AA- (March 31, 2015 – AA-).

All transactions executed by the Trust in listed securities are settled / paid for upon delivery using

approved brokers. The risk of default is considered minimal, as delivery of securities sold is only made

once the broker has received payment. Payment is made on a purchase once the securities have been

received by the broker. The trade will fail if either party fails to meet its obligations.

Liquidity risk

Liquidity risk is the risk that the Trust may not be able to settle or meet its obligations, on time or

at a reasonable price. The Trust is exposed to daily cash redemption of redeemable units. Therefore,

the Trust invests the majority of its assets in investments that are traded in active markets and can

be readily disposed of. In addition, the Trust retains sufficient cash and cash equivalents positions to

maintain liquidity. All financial liabilities are due within three months.



Market risk

The Trust’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). The

value of each investment is influenced by the outlook of the issuer and by general economic

and political conditions, as well as industry and market trends. All securities present a risk of

loss of capital. Except for options written, future contracts sold short and investments sold

short, the maximum risk resulting from financial instruments is equivalent to their fair value.

On written call options, short future positions and on equity and debt sold short, the maximum

loss of capital can be unlimited.

Other assets and liabilities are monetary items that are short-term in nature and therefore are

not subject to significant other price risk.

Currency risk

Currency risk arises from financial instruments that are denominated in a currency other than

the Canadian dollar, the functional currency of the Trust. As a result, the Trust may be exposed

to the risk that the value of securities denominated in other currencies will fluctuate due to

changes in exchange rates.

Interest rate risk

Interest rate risk is the risk that the fair value of interest-bearing investments will fluctuate

due to changes in prevailing levels of market interest rates. As a result, the value of the Trust

that invests in debt securities and/or income trusts will be affected by changes in applicable

interest rates. If interest rates fall, the fair value of existing debt securities may increase

due to the increase in yield. Alternatively, if interest rates rise, the yield of existing debt

securities may decrease which may then lead to a decrease in their fair value. The magnitude

of the decline will generally be greater for long-term debt securities than for short-term debt

securities.

Fair value hierarchy

The Trust is required to classify financial instruments measured at fair value using a fair value

hierarchy. Investments whose values are based on quoted market prices in active markets are

classified as Level 1. This Level includes publicly traded equities, exchange traded and retail mutual

funds, exchange traded warrants, futures contracts, traded options, American depositary receipts

(“ADRs”) and Global depositary receipts (“GDRs”).

Financial instruments that trade in markets that are not considered to be active but are valued based

on quoted market prices, dealer quotations or alternative pricing sources supported by observable

inputs are classified as Level 2. These include fixed income securities, mortgage backed securities

(“MBS”), short-term instruments, non-traded warrants, over-the-counter options, structured notes of

indexed securities, foreign currency forward contracts and swap instruments.

Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments include

private equities, private term loans, private equity funds and certain derivatives. As observable prices

are not available for these securities, the Trust may use a variety of valuation techniques to derive

the fair value.

The Trust’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.

During the six-month period the Trust’s exposure to credit risk, interest rate risk and fair value

hierarchy classification changed significantly as per details disclosed in the Trust Specific Notes to

Financial Statements. For details relating to other price risk and currency risk, refer to the audited

annual financial statements as at March 31, 2015, as the Trust’s exposure to those risks remains

unchanged.


Notice: Should you require additional copies of this Semi-Annual Report or have received more than

one copy, please contact CI Investments Inc. (the “Manager”) or your financial advisor.

Commissions, trailing commissions, management fees and expenses all maybe associated with

mutual fund investments. Please read the prospectus before investing. Unless otherwise indicated

and except for returns for periods less than one year, the indicated rates of return are the historical

annual compounded total returns including changes in security value. All performance data assume

reinvestment of all distributions or dividends and do not take into account sales, redemption,

distribution or optional charges or income taxes payable by any securityholder that would have

reduced returns. Mutual funds are not guaranteed, their values change frequently and past

performance may not be repeated. Mutual fund securities are not covered by the Canada Deposit

Insurance Corporation or by any other government deposit insurer.

The commentaries contained herein are provided as a general source of information and should not be

considered personal investment advice or an offer or solicitation to buy or sell securities. Every effort

has been made to ensure that the material contained in these commentaries is accurate at the time

of publication. However, the Manager cannot guarantee its accuracy or completeness and accepts

no responsibility for any loss arising from any use of or reliance on the information contained herein.

® CI Funds, CI Investments, CI Investments design, Cambridge, Harbour Funds, Global Managers, American

Managers and G5|20 Series are registered trademarks of CI Investments Inc. TMThe Portfolio Select Series and Signature Funds are trademarks of CI Investments Inc.

Legal Notice

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