Interim Financial Reports (unaudited)

February 28, 2021 August 31, 2020

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1

Renaissance Multi-Sector Fixed Income

Private Pool

Interim Financial Reports (unaudited)

for the period ended February 28, 2021

Statements of Financial Position (unaudited)

(in 000s, except per unit amounts)

As at February 28, 2021 and August 31, 2020 (note 1)


Assets

Current assets

Investments (non-derivative financial assets) † (notes 2

and 3) $ 431,088 $ 407,420

Cash including foreign currency holdings, at fair value 16,884 20,967

Interest receivable 3,286 3,410

Receivable for portfolio securities sold 234 5,278

Receivable for units issued 116 613

Derivative assets 130 519

Total Assets 451,738 438,207

Liabilities

Current liabilities

Payable for portfolio securities purchased 5,403 2,125

Payable for units redeemed 108 13

Management fees payable – 94

Other accrued expenses – 1

Distributions payable to holders of redeemable units – 8

Derivative liabilities 277 205

Total Liabilities 5,788 2,446

Net Assets Attributable to Holders of Redeemable

Units (note 5) $ 445,950 $ 435,761


Units per Class

Premium Class $ 2,424 $ 3,552

Premium-T4 Class $ 110 $ 110

Premium-T6 Class $ – $ –

Class H-Premium $ 6,198 $ 7,174

Class H-Premium T4 $ – $ –

Class H-Premium T6 $ 259 $ 259

Class F-Premium $ 188 $ 241

Class F-Premium T4 $ – $ –

Class F-Premium T6 $ – $ 27

Class FH-Premium $ 141 $ 191

Class FH-Premium T4 $ – $ –

Class FH-Premium T6 $ – $ –

Class N-Premium $ – $ –

Class N-Premium T4 $ – $ –

Class N-Premium T6 $ – $ –

Class NH-Premium $ – $ –

Class NH-Premium T4 $ – $ –

Class NH-Premium T6 $ – $ –

Class O $ 72,371 $ 58,115

Class OH $ 26,743 $ 24,493

Class S $ 337,516 $ 341,599


Units per Unit (note 5)

Premium Class $ 9.81 $ 9.89

Premium-T4 Class $ 8.59 $ 8.71

Premium-T6 Class $ 6.80 $ 7.10

Class H-Premium $ 9.85 $ 9.72

Class H-Premium T4 $ 8.81 $ 8.93

Class H-Premium T6 $ 8.21 $ 8.23

Class F-Premium $ 9.69 $ 9.77

Class F-Premium T4 $ 7.67 $ 7.93

Class F-Premium T6 $ 8.74 $ 8.93

Class FH-Premium $ 9.67 $ 9.54

Class FH-Premium T4 $ 7.99 $ 8.05

Class FH-Premium T6 $ 7.29 $ 7.33

Class N-Premium $ 8.51 $ 8.62

Class N-Premium T4 $ 7.67 $ 7.93

Class N-Premium T6 $ 6.91 $ 7.22

Class NH-Premium $ 8.76 $ 8.62

Class NH-Premium T4 $ 7.99 $ 8.05

Class NH-Premium T6 $ 7.29 $ 7.33

Class O $ 9.93 $ 10.01

Class OH $ 9.75 $ 9.62

Class S $ 9.87 $ 9.95

† Securities Lending

The tables that follow indicate the Pool had assets involved in securities lending transactions

outstanding as at February 28, 2021, and August 31, 2020:

Aggregate Value

of Securities

on Loan

($000s)

Aggregate Value

of Collateral

for Loan

($000s)

February 28, 2021 9,546 10,192

August 31, 2020 5,049 5,333

Collateral Type* ($000s)

i ii iii iv

February 28, 2021 – 10,192 – –

August 31, 2020 – 5,319 – 14

* See note 2k for Collateral Type definitions.

Organization of the Pool (note 1)

The Pool was established on April 17, 2016 (referred to as Date Established).

Inception Date

Premium Class May 31, 2016

Premium-T4 Class May 31, 2016

Premium-T6 Class May 31, 2016

Class H-Premium May 17, 2016

Class H-Premium T4 May 31, 2016

Class H-Premium T6 May 31, 2016

Class F-Premium May 31, 2016

Class F-Premium T4 May 31, 2016

Class F-Premium T6 May 31, 2016

Class FH-Premium May 24, 2016

Class FH-Premium T4 May 31, 2016

Class FH-Premium T6 May 31, 2016

Class N-Premium May 31, 2016

Class N-Premium T4 May 31, 2016

Class N-Premium T6 May 31, 2016

Class NH-Premium May 31, 2016

Class NH-Premium T4 May 31, 2016

Class NH-Premium T6 May 31, 2016

Class O May 16, 2016

Class OH May 31, 2016

Class S May 18, 2016

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

Renaissance Multi-Sector Fixed Income Private Pool

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2


Statements of Comprehensive Income (unaudited)

(in 000s, except per unit amounts)

For the periods ended February 28, 2021 and February 29, 2020 (note 1)

February 28, 2021 February 29, 2020

Net Gain (Loss) on Financial Instruments

Interest for distribution purposes

$ 9,878

$ 10,357

Derivative income (loss)

458

(513)

Other changes in fair value of investments and

x

derivatives

Net realized gain (loss) on sale of investments and

derivatives

(3,295)

(1,759)

Net realized gain (loss) on foreign currency (notes 2f

and g)

(279)

374

Net change in unrealized appreciation (depreciation)

of investments and derivatives

419

7,199

Net Gain (Loss) on Financial Instruments 7,181

15,658

Other Income

Foreign exchange gain (loss) on cash

(236)

46

Securities lending revenue ±

8

13

(228)

59

Expenses (note 6)

Management fees ±±

2,264

2,264

Audit fees

9

7

Custodial fees

15

13

Independent review committee fees

2

1

Legal fees

3

1

Regulatory fees

4

7

Transaction costs

–

–

Unitholder reporting costs

37

36

Withholding taxes (note 7)

3

18

Other expenses

15

26

2,352

2,373

Expenses waived/absorbed by the Manager

(1,803)

(1,794)

549

579

Increase (Decrease) in Net Assets Attributable to

Holders of Redeemable Units (excluding

distributions) 6,404

15,138


Holders of Redeemable Units per Class

(excluding distributions)

Premium Class

$ 35

$ 89

Premium-T4 Class

$ –

$ 3

Premium-T6 Class

$ –

$ –

Class H-Premium

$ 211

$ 168

Class H-Premium T4

$ –

$ 7

Class H-Premium T6

$ 8

$ 5

Class F-Premium

$ 3

$ 8

Class F-Premium T4

$ –

$ –

Class F-Premium T6

$ 1

$ 1

Class FH-Premium

$ 5

$ 4

Class FH-Premium T4

$ –

$ –

Class FH-Premium T6

$ –

$ –

Class N-Premium

$ –

$ –

Class N-Premium T4

$ –

$ –

Class N-Premium T6

$ –

$ –

Class NH-Premium

$ –

$ –

Class NH-Premium T4

$ –

$ –

Class NH-Premium T6

$ –

$ –

Class O

$ 782

$ 2,050

Class OH

$ 912

$ 636

Class S

$ 4,447

$ 12,167


Average Number of Units Outstanding for the

Period per Class

Premium Class

293

310

Premium-T4 Class

13

12

Premium-T6 Class

–

–

Class H-Premium

723

907

Class H-Premium T4

–

43

Class H-Premium T6

32

32

Class F-Premium

22

34

Class F-Premium T4

–

–

Class F-Premium T6

3

3

Class FH-Premium

17

24

Class FH-Premium T4

–

–

Class FH-Premium T6

–

–

Class N-Premium

–

–

Class N-Premium T4

–

–

Class N-Premium T6

–

–

Class NH-Premium

–

–

Class NH-Premium T4

–

–

Class NH-Premium T6

–

–

Class O

6,529

5,303

Class OH

2,640

2,566

Class S

33,965

32,635


Holders of Redeemable Units per Unit

(excluding distributions)

Premium Class

$ 0.12

$ 0.29

Premium-T4 Class

$ 0.06

$ 0.27

Premium-T6 Class

$ (0.09)

$ 0.05

Class H-Premium

$ 0.29

$ 0.19

Class H-Premium T4

$ 0.07

$ 0.17

Class H-Premium T6

$ 0.24

$ 0.15

Class F-Premium

$ 0.11

$ 0.25

Class F-Premium T4

$ (0.09)

$ 0.08

Class F-Premium T6

$ 0.17

$ 0.30

Class FH-Premium

$ 0.31

$ 0.20

Class FH-Premium T4

$ 0.11

$ (0.02)

Class FH-Premium T6

$ 0.19

$ –

Class N-Premium

$ (0.11)

$ 0.07

Class N-Premium T4

$ (0.09)

$ 0.08

Class N-Premium T6

$ (0.09)

$ 0.06

Class NH-Premium

$ 0.13

$ (0.02)

Class NH-Premium T4

$ 0.11

$ (0.02)

Class NH-Premium T6

$ 0.19

$ –

Class O

$ 0.11

$ 0.39

Class OH

$ 0.35

$ 0.25

Class S

$ 0.13

$ 0.38

± Securities Lending Revenue (note 2k)


(in 000s)

% of Gross

securities lending

revenue (in 000s)

% of Gross

securities

lending revenue

Gross securities lending revenue $ 11 100.0 $ 22 100.0

Interest paid on collateral – – – –

Withholding taxes – – (5) (22.7)

Agent fees - Bank of New York

Mellon Corp. (The) (3) (27.3) (4) (18.2)

Securities lending revenue $ 8 72.7 $ 13 59.1

±± Maximum Chargeable Management Fee Rates (note 6)

Premium Class 1.15%

Premium-T4 Class 1.15%

Premium-T6 Class 1.15%

Class H-Premium 1.15%

Class H-Premium T4 1.15%

Class H-Premium T6 1.15%

Class F-Premium 0.65%

Class F-Premium T4 0.65%

Class F-Premium T6 0.65%

Class FH-Premium 0.65%

Class FH-Premium T4 0.65%

Class FH-Premium T6 0.65%

Class N-Premium 0.65%

Class N-Premium T4 0.65%

Class N-Premium T6 0.65%

Class NH-Premium 0.65%

Class NH-Premium T4 0.65%

Class NH-Premium T6 0.65%

Class O 0.00%

Class OH 0.00%

Class S 1.15%


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3


Administrative and Other Fund Operating Expenses (note 9)

2021 2020

($000s)

3

3

Service Provider (note 9)

The amounts paid by the Pool (including all applicable taxes) to CIBC Mellon Trust Company for

custodial fees, and to CIBC Mellon Global Securities Services Company (CIBC GSS) for securities

lending, fund accounting and reporting, and portfolio valuation (all net of absorptions) for the

periods ended February 28, 2021 and February 29, 2020 were as follows:

2021 2020

($000s)

1

1

xRenaissance Multi-Sector Fixed Income Private Pool

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For the periods ended February 28, 2021 and February 29, 2020

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4


Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (unaudited)

(in 000s)


Premium Class Units Premium-T4 Class Units Premium-T6 Class Units Class H-Premium Units

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020



distributions) $ 35 $ 89 $ – $ 3 $ – $ – $ 211 $ 168

Distributions Paid or Payable to Holders of Redeemable

Units ‡

From net investment income (45) (53) (2) (2) – – (104) (150)

(45) (53) (2) (2) – – (104) (150)

Redeemable Unit Transactions

Amount received from the issuance of units 919 711 – 113 – – 707 1,310

Amount received from reinvestment of distributions 44 53 2 2 – – 91 134

Amount paid on redemptions of units (2,081) (581) – (113) – – (1,881) (2,452)

(1,118) 183 2 2 – – (1,083) (1,008)


Holders of Redeemable Units (1,128) 219 – 3 – – (976) (990)

Net Assets Attributable to Holders of Redeemable Units

at Beginning of Period 3,552 3,065 110 110 – – 7,174 9,410


at End of Period $ 2,424 $ 3,284 $ 110 $ 113 $ – $ – $ 6,198 $ 8,420

Redeemable Units Issued and Outstanding (note 5)

As at February 28, 2021 and February 29, 2020

Balance - beginning of period 359 298 13 12 – – 738 944

Redeemable units issued 92 69 – 12 – – 72 131

Redeemable units issued on reinvestments 5 6 – – – – 9 13

456 373 13 24 – – 819 1,088

Redeemable units redeemed (209) (57) – (12) – – (190) (245)

Balance - end of period 247 316 13 12 – – 629 843

Class H-Premium T4 Units Class H-Premium T6 Units Class F-Premium Units Class F-Premium T4 Units

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020



distributions) $ – $ 7 $ 8 $ 5 $ 3 $ 8 $ – $ –


x.

Units ‡

From net investment income – (8) (5) (6) (4) (7) – –

Return of capital – – (3) (2) – – – –

– (8) (8) (8) (4) (7) – –


x.

Amount received from the issuance of units – – – – – 145 – –

Amount received from reinvestment of distributions – – – – 4 6 – –

Amount paid on redemptions of units – – – – (56) (305) – –

– – – – (52) (154) – –


Holders of Redeemable Units – (1) – (3) (53) (153) – –


at Beginning of Period – 405 259 274 241 402 – –


at End of Period $ – $ 404 $ 259 $ 271 $ 188 $ 249 $ – $ –

Redeemable Units Issued and Outstanding

x.

(note 5)


Balance - beginning of period – 43 32 32 25 39 – –

Redeemable units issued – – – – – 14 – –

Redeemable units issued on reinvestments – – – – – 1 – –

– 43 32 32 25 54 – –

Redeemable units redeemed – – – – (6) (30) – –

Balance - end of period – 43 32 32 19 24 – –



(in 000s)

For the periods ended February 28, 2021 and February 29, 2020 (note 1) (cont'd)

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5


Class F-Premium T6 Units Class FH-Premium Units Class FH-Premium T4 Units Class FH-Premium T6 Units

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020



distributions) $ 1 $ 1 $ 5 $ 4 $ – $ – $ – $ –


Units ‡

From net investment income (1) (1) (3) (4) – – – –

(1) (1) (3) (4) – – – –


Amount received from reinvestment of distributions – – 3 4 – – – –

Amount paid on redemptions of units (27) – (55) – – – – –

(27) – (52) 4 – – – –


Holders of Redeemable Units (27) – (50) 4 – – – –


at Beginning of Period 27 29 191 233 – – – –


at End of Period $ – $ 29 $ 141 $ 237 $ – $ – $ – $ –



Balance - beginning of period 3 3 20 24 – – – –

Redeemable units issued on reinvestments – – 1 – – – – –

3 3 21 24 – – – –

Redeemable units redeemed (3) – (6) – – – – –

Balance - end of period – 3 15 24 – – – –

Class N-Premium Units Class N-Premium T4 Units Class N-Premium T6 Units Class NH-Premium Units

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020



distributions) $ – $ – $ – $ – $ – $ – $ – $ –


Holders of Redeemable Units – – – – – – – –


at Beginning of Period – – – – – – – –


at End of Period $ – $ – $ – $ – $ – $ – $ – $ –

Redeemable Units Issued and Outstanding

x.

(note 5)


Balance - beginning of period – – – – – – – –

– – – – – – – –

Redeemable units redeemed – – – – – – – –

Balance - end of period – – – – – – – –



(in 000s)

For the periods ended February 28, 2021 and February 29, 2020 (note 1) (cont'd)

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6


Class NH-Premium T4 Units Class NH-Premium T6 Units Class O Units Class OH Units

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020

February 28,

2021

February 29,

2020



distributions) $ – $ – $ – $ – $ 782 $ 2,050 $ 912 $ 636


Units ‡

From net investment income – – – – (1,392) (1,287) (546) (592)

– – – – (1,392) (1,287) (546) (592)


Amount received from the issuance of units – – – – 22,357 13,608 4,850 3,820

Amount received from reinvestment of distributions – – – – 1,346 1,259 541 586

Amount paid on redemptions of units – – – – (8,837) (3,729) (3,507) (4,930)

– – – – 14,866 11,138 1,884 (524)


Holders of Redeemable Units – – – – 14,256 11,901 2,250 (480)


at Beginning of Period – – – – 58,115 49,639 24,493 25,526


at End of Period $ – $ – $ – $ – $ 72,371 $ 61,540 $ 26,743 $ 25,046



Balance - beginning of period – – – – 5,808 4,773 2,547 2,582

Redeemable units issued – – – – 2,221 1,311 497 386

Redeemable units issued on reinvestments – – – – 133 121 56 60

– – – – 8,162 6,205 3,100 3,028

Redeemable units redeemed – – – – (880) (361) (359) (498)

Balance - end of period – – – – 7,282 5,844 2,741 2,530

Class S Units

February 28,

2021

February 29,

2020



distributions) $ 4,447 $ 12,167


Units ‡

From net investment income (6,798) (7,416)

(6,798) (7,416)


Amount received from the issuance of units 11,660 47,639

Amount received from reinvestment of distributions 6,798 7,416

Amount paid on redemptions of units (20,190) (4,011)

(1,732) 51,044


Holders of Redeemable Units (4,083) 55,795


at Beginning of Period 341,599 312,067


at End of Period $ 337,516 $ 367,862



Balance - beginning of period 34,347 30,189

Redeemable units issued 1,166 4,630

Redeemable units issued on reinvestments 679 718

36,192 35,537

Redeemable units redeemed (2,003) (388)

Balance - end of period 34,189 35,149

‡ Net Capital and Non-Capital Losses (note 7)

As at December 2020, the Pool had net capital and non-capital losses (in $000s) for income tax purposes available to be carried forward as follows:

Total Net Capital Losses

Total Non-Capital Losses

that Expire in:

2030 to 2040

2,950

.

–

xRenaissance Multi-Sector Fixed Income Private Pool

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7


Statements of Cash Flows (unaudited)

(in 000s)



Cash Flows from Operating Activities

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units from Operations (excluding distributions) $ 6,404 $ 15,138

Adjustments for:

Foreign exchange loss (gain) on cash 236 (46)

Net realized (gain) loss on sale of investments and derivatives 3,295 1,759

Net change in unrealized (appreciation) depreciation of investments and derivatives (419) (7,199)

Purchase of investments (113,119) (193,705)

Proceeds from the sale of investments 95,358 139,749

Interest receivable 124 (291)

Other accrued expenses and liabilities (95) –

(8,216) (44,595)

Cash Flows from Financing Activities

Amount received from the issuance of units 40,990 67,346

Amount paid on redemptions of units (36,539) (16,081)

Distributions paid to unitholders (82) (68)

4,369 51,197

Increase (Decrease) in Cash during the Period (3,847) 6,602

Foreign Exchange Loss (Gain) on Cash (236) 46

Cash (Bank Overdraft) at Beginning of Period 20,967 28,837

Cash (Bank Overdraft) at End of Period $ 16,884 $ 35,485

Interest received $ 10,002 $ 10,066


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8


Schedule of Investment Portfolio (unaudited) As at February 28, 2021

Security

Number

of Shares

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

INTERNATIONAL EQUITIES

10

United States (note 10)

Foresight Energy Resources LLC 67 – 1

iShares iBoxx High Yield Corporate Bond ETF 4,941 555 544

SPDR Bloomberg Barclays High Yield Bond ETF 5,342 750 735

Tapstone Energy LLC 789 – 3

1,305 1,283 0.3%

TOTAL INTERNATIONAL EQUITIES 1,305 1,283 0.3%

TOTAL EQUITIES 1,305 1,283 0.3%

Security

Coupon

Rate (%)

Maturity

Date Additional Details Par Value

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

CANADIAN BONDS

10

Corporate (note 10)

1011778 B.C. ULC / New Red Finance Inc. 4.25% 2024/05/15 Callable, USD 238,000 318 306



Bausch Health Cos. Inc. 7.00% 2024/03/15 Callable, USD 80,000 108 104











Baytex Energy Corp. 5.63% 2024/06/01 Callable, USD 55,000 70 65

Bombardier Inc. 6.00% 2022/10/15 Callable, USD 25,000 34 31



Cascades Inc. / Cascades USA Inc. 5.13% 2026/01/15 Callable, USD 305,000 427 415

Cascades Inc. / Cascades USA Inc. 5.38% 2028/01/15 Callable, USD 40,000 54 54

Cenovus Energy Inc. 4.25% 2027/04/15 Callable, USD 60,000 83 84

Cenovus Energy Inc. 5.25% 2037/06/15 Callable, USD 105,000 147 148

Empire Communities Corp. 7.00% 2025/12/15 Callable, USD 95,000 127 128

Enbridge Inc. 6.00% 2077/01/15 Variable Rate, Callable, USD 430,000 554 578

Ensign Drilling Inc. 9.25% 2024/04/15 Callable, USD 75,000 100 72

First Quantum Minerals Ltd. 6.50% 2024/03/01 Callable, USD 200,000 262 259




Garda World Security Corp. 8.75% 2025/05/15 Callable, USD 55,000 73 73

Garda World Security Corp. 4.63% 2027/02/15 Callable, USD 60,000 79 76

GFL Environmental Inc. 4.25% 2025/06/01 Callable, USD 65,000 89 85




Glencore Finance Canada Ltd. 6.00% 2041/11/15 Callable, USD 60,000 81 96

goeasy Ltd. 5.38% 2024/12/01 Callable, USD 160,000 214 211

Hudbay Minerals Inc. 7.63% 2025/01/15 Callable, USD 270,000 366 358

Hudbay Minerals Inc. 4.50% 2026/04/01 Callable, USD 30,000 38 39

IAMGOLD Corp. 5.75% 2028/10/15 Callable, USD 100,000 132 132

Intelligent Packaging Ltd. Finco Inc. / Intelligent Packaging Ltd.

Co-Issuer LLC

6.00% 2028/09/15 Callable, USD

75,000 101 100

Masonite International Corp. 5.75% 2026/09/15 Callable, USD 60,000 79 80

Mattamy Group Corp. 5.25% 2027/12/15 Callable, USD 195,000 263 261

Mattamy Group Corp. 4.63% 2030/03/01 Callable, USD 300,000 400 397

MEG Energy Corp. 6.50% 2025/01/15 Callable, USD 66,000 88 87


MEG Energy Corp. 7.13% 2027/02/01 Private Placement, Callable,

USD 290,000 382 390


MEGlobal Canada ULC 5.00% 2025/05/18 USD 200,000 281 283

Norbord Inc. 5.75% 2027/07/15 USD 45,000 63 62

NOVA Chemicals Corp. 5.25% 2027/06/01 Callable, USD 323,000 420 429

Open Text Corp. 3.88% 2028/02/15 Callable, USD 105,000 140 136

Parkland Corp. 6.00% 2026/04/01 Callable, USD 600,000 786 798

Parkland Corp. 5.88% 2027/07/15 Callable, USD 90,000 119 122

Precision Drilling Corp. 5.25% 2024/11/15 Callable, USD 142,000 165 169

Precision Drilling Corp. 7.13% 2026/01/15 Callable, USD 45,000 57 56

Quebecor Media Inc. 5.75% 2023/01/15 Callable, USD 275,000 384 374

Rockpoint Gas Storage Canada Ltd. 7.00% 2023/03/31 Callable, USD 20,000 24 25

Seven Generations Energy Ltd. 6.88% 2023/06/30 Callable, USD 150,000 207 194

Seven Generations Energy Ltd. 5.38% 2025/09/30 Callable, USD 60,000 77 80

Superior Plus L.P. / Superior G.P. Inc. 7.00% 2026/07/15 Callable, USD 588,000 805 801

Teck Resources Ltd. 6.00% 2040/08/15 Callable, USD 200,000 271 321

Teck Resources Ltd. 5.20% 2042/03/01 Callable, USD 100,000 119 145


Schedule of Investment Portfolio (unaudited) As at February 28, 2021 (cont'd)

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9


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

Telesat Canada / Telesat LLC 4.88% 2027/06/01 Callable, USD 35,000 47 46

Telesat Canada / Telesat LLC 6.50% 2027/10/15 Callable, USD 130,000 179 171

Tervita Corp. 11.00% 2025/12/01 Callable, USD 35,000 45 48

Titan Acquisition Ltd. / Titan Co-Borrower LLC 7.75% 2026/04/15 Callable, USD 15,000 19 20

TransCanada Trust 5.63% 2075/05/20 Variable Rate, Callable, USD 400,000 557 550

Vermilion Energy Inc. 5.63% 2025/03/15 Callable, USD 165,000 219 195

Videotron Ltd. 5.13% 2027/04/15 Callable, USD 460,000 609 613

14,063 14,062 3.2%

TOTAL CANADIAN BONDS 14,063 14,062 3.2%

INTERNATIONAL BONDS

10

Argentina (note 10)

Argentine Republic 1.00% 2021/08/05 ARS 1,804,952 26 37

Argentine Republic 1.00% 2029/07/09 Sinkable, Callable, USD 22,724 16 11

Argentine Republic 0.13% 2030/07/09 Step Rate, Sinkable, Callable,

USD 51,375 35 24

Argentine Republic 0.13% 2035/07/09 Step Rate, Sinkable, Callable,

USD 288,124 175 118

Banco Macro SA 6.75% 2026/11/04 Variable Rate, Callable, USD 350,000 432 365

Pampa Energia SA 7.50% 2027/01/24 Callable, USD 420,000 549 452

Pampa Energia SA 9.13% 2029/04/15 Callable, USD 150,000 178 169

Provincia de Buenos Aires 7.88% 2027/06/15 USD 150,000 204 64

1,615 1,240 0.3%

1, 10

Australia (note 10)

BHP Billiton Finance USA Ltd. 5.00% 2043/09/30 Callable, USD 410,000 603 703

Commonwealth of Australia 1.75% 2051/06/21 Series '162', AUD 1,660,000 1,533 1,250

FMG Resources (August 2006) Pty. Ltd. 5.13% 2023/03/15 Callable, USD 27,000 35 36



2,766 2,626 0.6%

10

Austria (note 10)

Suzano Austria GmbH 5.75% 2026/07/14 USD 200,000 259 299

Suzano Austria GmbH 3.75% 2031/01/15 Callable, USD 350,000 473 471

732 770 0.2%

10

Bermuda (note 10)

CAL Funding IV Ltd. 2.22% 2045/09/25 Class 'A', Series '20-1A',

Callable, USD 723,437 946 938

CAL Funding IV Ltd. 3.50% 2045/09/25 Class 'B', Series '20-1A',

Callable, USD 482,292 630 625

Credicorp Ltd. 2.75% 2025/06/17 Callable, USD 200,000 266 264

Digicel Group 0.5 Ltd. 7.00% 2021/03/08 Payment-In-Kind, Convertible,

Perpetual, USD 62,431 3 53

Digicel Group 0.5 Ltd. 8.00% 2025/04/01 Payment-In-Kind, Callable,

USD 41,870 15 44

Nabors Industries Ltd. 7.25% 2026/01/15 Callable, USD 35,000 47 40

NCL Corp. Ltd. 3.63% 2024/12/15 Callable, USD 155,000 165 185



Ooredoo International Finance Ltd. 3.25% 2023/02/21 USD 400,000 580 532

Viking Cruises Ltd. 13.00% 2025/05/15 Callable, USD 15,000 21 23

Viking Cruises Ltd. 5.88% 2027/09/15 Callable, USD 141,000 174 173

Viking Ocean Cruises Ship VII Ltd. 5.63% 2029/02/15 Callable, USD 200,000 256 257

VOC Escrow Ltd. 5.00% 2028/02/15 Callable, USD 140,000 173 176

Weatherford International Ltd. 11.00% 2024/12/01 Callable, USD 2,000 3 2

3,657 3,719 0.8%

2, 10

Brazil (note 10)

Banco do Estado do Rio Grande do Sul SA 5.38% 2031/01/28 Variable Rate, Callable, USD 200,000 253 253

Federative Republic of Brazil 10.00% 2023/01/01 Series 'F', BRL 13,197,000 4,617 3,207

Federative Republic of Brazil 2.88% 2025/06/06 USD 450,000 598 584

Federative Republic of Brazil 10.00% 2027/01/01 Series 'F', BRL 300,000 117 74

Itau Unibanco Holding SA 4.63% 2025/02/27 Variable Rate, Perpetual,

USD 200,000 244 240

Itau Unibanco Holding SA of Cayman Islands 6.13% 2022/12/12 Variable Rate, Perpetual,

USD 620,000 793 793

Itau Unibanco Holding SA of Cayman Islands 4.63% 2025/02/27 Perpetual, USD 200,000 264 241

6,886 5,392 1.2%

10

British Virgin Islands (note 10)

CNPC Global Capital Ltd. 1.13% 2023/06/23 Callable, USD 200,000 264 255

Star Energy Geothermal Wayang Windu Ltd. 6.75% 2033/04/24 Sinkable, Callable, USD 181,400 239 259

State Grid Overseas Investment (2013) Ltd. 3.13% 2023/05/22 USD 200,000 280 268

State Grid Overseas Investment (2016) Ltd. 1.00% 2025/08/05 Callable, USD 200,000 261 249

1,044 1,031 0.2%



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10


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

10

Cayman Islands (note 10)

Anchorage Capital CLO Ltd. 2.24% 2032/04/15 Class 'B', Series '19-13A',

Floating Rate, Callable,

USD 500,000 665 637

Apidos CLO 3.27% 2030/10/20 Class 'CR', Series '16-24A',


USD 500,000 654 633

Arbor Realty CLO Ltd. 1.91% 2035/02/15 Class 'B', Series '20-FL1',


USD 200,000 258 255

Atlas Senior Loan Fund Ltd. 1.48% 2029/07/16 Class 'AR2', Series '14-1A',


USD 985,701 1,336 1,256

Atlas Senior Loan Fund Ltd. 1.87% 2031/07/26 Class 'B', Series '18-11A',


USD 500,000 667 643

Atrium CDO Corp. 3.82% 2030/05/28 Class 'DR', Series '9A',


USD 750,000 992 959

Babson CLO Ltd. 6.67% 2030/10/20 Class 'ER', Series '15-2A',


USD 750,000 916 943

Baidu Inc. 3.43% 2030/04/07 Callable, USD 200,000 283 274

Barings CLO Ltd. 3.12% 2029/07/20 Class 'D', Series '18-3A',


USD 500,000 644 620

BDS Ltd. 1.86% 2036/08/15 Class 'B', Series '19-FL4',


USD 200,000 257 254

BlueMountain CLO Ltd. 4.37% 2029/01/20 Class 'CR', Series '13-1A',

Variable Rate, Callable,

USD 500,000 664 636

BlueMountain CLO Ltd. 3.12% 2030/10/22 Class 'DR', Series '13-2A',


USD 1,000,000 1,246 1,248

Braskem Finance Ltd. 6.45% 2024/02/03 USD 210,000 289 295

Canyon Capital CLO Ltd. 3.89% 2029/04/15 Class 'DR', Series '14-2A',


USD 500,000 670 639

Canyon Capital CLO Ltd. 2.96% 2031/01/30 Class 'CR', Series '14-1A',


USD 500,000 623 622

Canyon Capital CLO Ltd. 3.39% 2031/10/15 Class 'DR', Series '16-2A',


USD 1,500,000 1,938 1,903

Carlyle Global Market Strategies 3.02% 2027/10/20 Class 'CR', Series '16-4A',


USD 500,000 647 625

Carlyle Global Market Strategies 1.92% 2031/07/20 Class 'A2A', Series '17-2A',


USD 500,000 668 638

Cent CLO L.P. 2.04% 2030/11/07 Class 'A2', Series '18-28A',


USD 1,000,000 1,315 1,274

CFIP CLO Ltd. 1.87% 2030/01/18 Class 'B', Series '17-1A',


USD 1,000,000 1,307 1,273

CK Hutchison International 20 Ltd. 2.50% 2030/05/08 Callable, USD 300,000 420 390

CLNC Ltd. 1.66% 2035/08/20 Class 'AS', Series '2019-FL1',


USD 373,000 461 475

CLNC Ltd. 2.01% 2035/08/20 Class 'B', Series '19-FL1',


USD 200,000 258 251

Cosan Overseas Ltd. 8.25% 2021/05/05 Perpetual, USD 100,000 117 132

CSN Islands XII Corp. 7.00% 2021/03/23 Perpetual, USD 300,000 316 385

Dryden Senior Loan Fund 3.89% 2029/04/15 Class 'DR3', Series '14-33A',


USD 750,000 957 954

Dryden Senior Loan Fund 3.49% 2030/07/15 Class 'D', Series '17-50A',


USD 500,000 625 639

Dryden Senior Loan Fund 2.74% 2031/01/15 Class 'DR', Series '15-37A',


USD 500,000 640 624

ENN Energy Holdings Ltd. 3.25% 2022/07/24 USD 200,000 274 262

Global Aircraft Leasing Co. 6.50% 2024/09/15 Payment-In-Kind, Callable,

USD 51,812 68 61

GoldenTree Loan Management US CLO 2 Ltd. 2.87% 2030/11/28 Class 'D', Series '17-2A',


USD 500,000 624 640

Gran Tierra Energy International Holdings Ltd. 6.25% 2025/02/15 Callable, USD 400,000 497 420

Greystone Commercial Real Estate Notes 1.71% 2037/09/15 Class 'B', Series '19-FL2',


USD 200,000 258 255

Greystone Commercial Real Estate Notes 2.51% 2037/09/15 Class 'D', Series '19-FL2',


USD 274,000 365 347

Halcyon Loan Advisors Funding Ltd. 2.02% 2031/07/21 Class 'A2', Series '18-1A',


USD 500,000 668 637

Hayfin Kingsland VIII Ltd. 1.70% 2031/04/20 Class 'B', Series '18-8A',


USD 1,000,000 1,329 1,285



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11


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

JD.com Inc. 3.38% 2030/01/14 Callable, USD 400,000 587 542

LCM L.P. 3.69% 2027/07/15 Class 'D', Series '19A',


USD 250,000 295 316

LCM L.P. 5.94% 2027/07/15 Class 'E2', Series '19A',


USD 500,000 654 592

LCM L.P. 2.72% 2031/01/20 Class 'D', Series '26A',


USD 500,000 643 602

LoanCore Issuer Ltd. 1.81% 2036/05/15 Class 'B', Series '19-CRE2',


USD 200,000 257 255

Longfellow Place CLO Ltd. 1.58% 2029/04/15 Class 'ARR', Series '13-1A',


USD 491,179 662 625

Madison Park Funding Ltd. 3.66% 2026/01/27 Class 'CR', Series '14-15A',


USD 500,000 654 637

Madison Park Funding Ltd. 5.65% 2026/01/27 Class 'DR', Series '14-15A',


USD 500,000 643 636

Magnetite CLO Ltd. 4.04% 2033/01/15 Class 'D', Series '19-24A',


USD 1,000,000 1,327 1,283

Neuberger Berman CLO Ltd. 2.74% 2028/01/15 Class 'D', Series '17-16SA',


USD 1,000,000 1,287 1,278

Neuberger Berman CLO Ltd. 3.47% 2029/10/18 Class 'D', Series '17-25A',


USD 500,000 632 636

NLY Commercial Mortgage Trust 2.03% 2036/02/15 Variable Rate, USD 456,000 600 581

Oak Hill Credit Partners 3.77% 2032/07/20 Class 'D', Series '19-3A',


USD 1,000,000 1,340 1,276

Ocean Trails CLO 1.62% 2030/04/17 Class 'A1', Series '19-7A',


USD 1,000,000 1,350 1,276

OCP CLO Ltd. 2.62% 2030/04/20 Class 'B1', Series '20-18A',


USD 1,000,000 1,403 1,274

Octagon Investment Partners 29 Ltd. 7.47% 2033/01/24 Class 'ER', Series '16-1A',


USD 1,000,000 1,312 1,278

Octagon Investment Partners 30 Ltd. 6.42% 2030/03/17 Class 'D', Series '17-1A',


USD 250,000 323 320

Octagon Investment Partners 30 Ltd. 3.52% 2030/03/17 Class 'CR', Series '17-1A',


USD 500,000 637 636

Octagon Investment Partners 33 Ltd. 2.97% 2031/01/20 Class 'C', Series '17-1A',


USD 500,000 626 635

Octagon Investment Partners 33 Ltd. 6.52% 2031/01/20 Class 'D', Series '17-1A',


USD 500,000 626 629

Octagon Investment Partners XIV Ltd. 4.24% 2029/07/15 Class 'CR', Series '12-1A',


USD 1,000,000 1,373 1,275

Park Aerospace Holdings Ltd. 5.25% 2022/08/15 Callable, USD 5,000 7 7

Park Aerospace Holdings Ltd. 4.50% 2023/03/15 USD 110,000 134 146

Park Aerospace Holdings Ltd. 5.50% 2024/02/15 USD 140,000 187 194

Sable International Finance Ltd. 5.75% 2027/09/07 Callable, USD 40,000 56 54

Sands China Ltd. 4.60% 2023/08/08 Callable, USD 200,000 260 273

Seagate HDD Cayman 4.75% 2025/01/01 Callable, USD 286,000 363 395

Seagate HDD Cayman 3.38% 2031/07/15 Callable, USD 75,000 97 93

Sound Point CLO Ltd. 3.91% 2032/01/25 Class 'D', Series '20-3A',


USD 1,000,000 1,279 1,277

Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8.00% 2025/09/20 Callable, USD 270,000 379 388

Starwood Property Trust 2.08% 2038/07/15 Class 'C', Series '19-FL1',


USD 182,000 240 233

Starwood Property Trust 2.48% 2038/07/15 Class 'D', Series '19-FL1',


USD 182,000 240 231

Steele Creek CLO Ltd. 2.49% 2032/07/15 Class 'B', Series '19-2A',


USD 1,000,000 1,317 1,277

Stewart Park CLO Ltd. 2.84% 2030/01/15 Class 'DR', Series '15-1A',


USD 1,000,000 1,286 1,262

Tencent Holdings Ltd. 2.39% 2030/06/03 Callable, USD 400,000 550 503

Thunderbolt Aircraft Lease Ltd. 3.67% 2039/11/15 Class 'A', Series '19-1', USD 860,286 1,048 1,085

TLWND 2019-1 7.00% 2044/12/15 Class 'C', Series '19-1', Step

Rate, Callable, USD 384,929 509 392

Transocean Inc. 11.50% 2027/01/30 Callable, USD 13,000 9 14

Transocean Poseidon Ltd. 6.88% 2027/02/01 Sinkable, USD 60,000 82 72

Transocean Proteus Ltd. 6.25% 2024/12/01 Sinkable, USD 36,000 49 44

Venture CDO Ltd. 2.47% 2028/07/19 Class 'CR', Series '16-23A',


USD 500,000 635 634



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12


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

Venture CDO Ltd. 1.77% 2029/08/28 Class 'BRR', Series '13-14A',


USD 500,000 655 638

Vibrant CLO Ltd. 2.07% 2031/10/20 Class 'A2R', Series '15--3A',


USD 1,500,000 2,009 1,915

Voya CLO Ltd. 3.77% 2030/07/20 Class 'C', Series '2017-3A',


USD 500,000 662 637

Voya CLO Ltd. 3.19% 2030/10/15 Class 'CR', Series '2013-1A',


USD 750,000 933 913

Wind River CLO Ltd. 5.79% 2027/10/15 Class 'ER', Series '2015-2A',


USD 1,000,000 1,254 1,213

Wind River CLO Ltd. 3.97% 2029/04/18 Class 'D', Series '17-1A',


USD 1,000,000 1,302 1,276

Wind River CLO Ltd. 6.97% 2030/10/18 Class 'E1R', Series '2013-2A',


USD 750,000 938 921

York CLO Ltd. 2.27% 2032/07/22 Class 'B', Series '2019-1A',


USD 1,000,000 1,308 1,276

58,935 57,329 12.9%

10

Chile (note 10)

AES Gener SA 7.13% 2079/03/26 Variable Rate, Callable, USD 400,000 536 554

Empresa Electrica Angamos SA 4.88% 2029/05/25 Sinkable, USD 147,800 184 190

Empresa Electrica Guacolda SA 4.56% 2025/04/30 Callable, USD 400,000 488 419

Sociedad Quimica y Minera de Chile SA 4.38% 2025/01/28 Callable, USD 200,000 263 281

1,471 1,444 0.3%

3

China (note 10)

People's Republic of China 2.20% 2025/07/27 CNY 8,000,000 1,546 1,525

People's Republic of China 3.85% 2026/12/12 CNY 3,500,000 720 730

People's Republic of China 4.29% 2029/05/22 CNY 3,500,000 750 759

3,016 3,014 0.7%

10

Colombia (note 10)

Ecopetrol SA 5.88% 2045/05/28 USD 330,000 378 455

Republic of Colombia 5.63% 2044/02/26 Callable, USD 550,000 764 809

1,142 1,264 0.3%

4

Côte d'Ivoire (note 10)

Republic of Côte d'Ivoire 5.25% 2030/03/22 Sinkable, EUR 250,000 373 408

373 408 0.1%

10

Curacao (note 10)

Teva Pharmaceutical Industries Ltd. 2.95% 2022/12/18 USD 560,000 683 716

683 716 0.2%

5

Denmark (note 10)

Orsted AS 2.50% 2033/02/18 Variable Rate, Callable, GBP 100,000 176 176

176 176 0.0%

10

Dominican Republic (note 10)

Banco de Reservas de la Republica Dominicana 7.00% 2023/02/01 USD 200,000 257 266

Dominican Republic 5.50% 2025/01/27 USD 100,000 128 140

Dominican Republic 4.88% 2032/09/23 USD 450,000 618 583

1,003 989 0.2%

4, 10

Egypt (note 10)

Arab Republic of Egypt 3.88% 2026/02/16 USD 450,000 573 561

Arab Republic of Egypt 6.38% 2031/04/11 EUR 280,000 435 450

1,008 1,011 0.2%

4, 5, 10

France (note 10)

Altice France SA 7.38% 2026/05/01 Callable, USD 500,000 664 665

Altice France SA 7.38% 2026/05/01 Private Placement, Callable,

USD 760,000 961 1,010

AXA SA 6.69% 2026/07/06 Variable Rate, Perpetual, GBP 100,000 198 217

AXA SA 3.25% 2049/05/28 Variable Rate, Callable, EUR 310,000 490 544

BNP Paribas SA 7.38% 2025/08/19 Variable Rate, Perpetual,

USD 330,000 509 486

BNP Paribas SA 7.00% 2028/08/16 Variable Rate, Perpetual,

USD 200,000 260 298

Credit Agricole SA 6.50% 2021/06/23 Variable Rate, Perpetual, EUR 100,000 161 156

Goldstory SAS 5.38% 2026/03/01 Callable, EUR 100,000 155 158

Loxam SAS 3.75% 2026/07/15 Callable, EUR 250,000 379 388

Mercialys SA 4.63% 2027/07/07 Callable, EUR 300,000 451 517

Novafives 5.00% 2025/06/15 Callable, EUR 270,000 224 375

4,452 4,814 1.1%

4

Germany (note 10)

Allianz SE 3.10% 2047/07/06 Variable Rate, Callable, EUR 200,000 281 350

Cheplapharm Arzneimittel GmbH 4.38% 2028/01/15 Callable, EUR 100,000 155 159

Federal Republic of Germany 2030/02/15 Zero Coupon, EUR 200,000 319 317

Nidda BondCo GmbH 5.00% 2025/09/30 Callable, EUR 180,000 273 281

Platin 1426. GmbH 5.38% 2023/06/15 Callable, EUR 260,000 392 401

Vertical Holdco GmbH 6.63% 2028/07/15 Callable, EUR 110,000 168 180

Vertical Midco GmbH 4.38% 2027/07/15 Callable, EUR 140,000 213 225

ZF Finance GmbH 3.00% 2025/09/21 Callable, EUR 200,000 310 319



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13


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

ZF Finance GmbH 2.75% 2027/05/25 Callable, EUR 100,000 154 157

2,265 2,389 0.5%

10

Ghana (note 10)

Republic of Ghana 7.63% 2029/05/16 Sinkable, USD 270,000 345 360

345 360 0.1%

10

Honduras (note 10)

Republic of Honduras 6.25% 2027/01/19 USD 420,000 553 605

553 605 0.1%

10

India (note 10)

Indian Oil Corp. Ltd. 5.75% 2023/08/01 USD 200,000 292 280

ONGC Videsh Ltd. 3.75% 2023/05/07 USD 200,000 277 267

Reliance Industries Ltd. 5.40% 2022/02/14 USD 500,000 703 664

1,272 1,211 0.3%

6, 10

Indonesia (note 10)

Perusahaan Penerbit SBSN Indonesia III 4.15% 2027/03/29 USD 400,000 551 565

Republic of Indonesia 3.38% 2023/04/15 USD 300,000 427 402

Republic of Indonesia 7.00% 2027/05/15 Series 'FR59', IDR 26,313,000,000 2,511 2,472

Republic of Indonesia 8.25% 2029/05/15 Series 'FR78', IDR 10,612,000,000 1,050 1,067

Republic of Indonesia 3.05% 2051/03/12 USD 430,000 540 532

5,079 5,038 1.1%

10

Ireland (note 10)

AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.50% 2023/09/15 Callable, USD 150,000 202 206

Ardagh Packaging Finance PLC / Ardagh MP Holdings USA Inc. 5.25% 2025/04/30 Callable, USD 130,000 181 175

C&W Senior Financing Designated Activity Co. 7.50% 2026/10/15 Callable, USD 55,000 77 74

C&W Senior Financing Designated Activity Co. 6.88% 2027/09/15 Callable, USD 85,000 120 116

580 571 0.1%

10

Israel (note 10)

Delek & Avner Tamar Bond Ltd. 5.08% 2023/12/30 USD 160,000 212 212

Delek & Avner Tamar Bond Ltd. 5.41% 2025/12/30 USD 100,000 129 131

Israel Electric Corp. Ltd. 5.00% 2024/11/12 Series '6', USD 200,000 271 287

612 630 0.1%

4, 10

Italy (note 10)

Gamma Bidco SPA 6.25% 2025/07/15 Callable, EUR 120,000 185 193

Intesa Sanpaolo SPA 5.50% 2028/03/01 Variable Rate, Perpetual, EUR 250,000 390 409

Telecom Italia SPA 5.30% 2024/05/30 USD 400,000 546 552

UniCredit SPA 5.46% 2035/06/30 Variable Rate, Callable, USD 280,000 380 384

1,501 1,538 0.3%

7

Japan (note 10)

Government of Japan 1.00% 2022/03/20 Series '321', JPY 255,550,000 3,172 3,087

3,172 3,087 0.7%

4, 10

Jersey, Channel Islands (note 10)

Adient Global Holdings Ltd. 4.88% 2026/08/15 Callable, USD 190,000 225 244

LHC3 PLC 4.13% 2024/08/15 Payment-In-Kind, Callable,

EUR 100,000 147 156

372 400 0.1%

10

Kazakhstan (note 10)

KazMunayGas National Co. JSC 5.38% 2030/04/24 USD 360,000 456 545

456 545 0.1%

10

Liberia (note 10)

Royal Caribbean Cruises Ltd. 11.50% 2025/06/01 Callable, USD 165,000 236 246

Royal Caribbean Cruises Ltd. 7.50% 2027/10/15 USD 15,000 18 22

254 268 0.1%

4, 10

Luxembourg (note 10)

Altice Financing SA 7.50% 2026/05/15 Callable, USD 200,000 296 266

Altice France Holding SA 6.00% 2028/02/15 Callable, USD 100,000 131 125

ArcelorMittal SA 7.50% 2039/10/15 USD 200,000 309 367

ArcelorMittal SA 6.75% 2041/03/01 Step Rate, USD 250,000 386 451

Camelot Finance SA 4.50% 2026/11/01 Callable, USD 45,000 60 59

Codere Finance 2 (Luxembourg) SA 6.75% 2021/11/01 EUR 100,000 148 88

Dana Financing Luxembourg SARL 5.75% 2025/04/15 Callable, USD 30,000 40 39

Gilex Holding SARL 8.50% 2023/05/02 Callable, USD 150,000 201 200

INEOS Group Holdings SA 5.63% 2024/08/01 Callable, USD 325,000 429 421

Millicom International Cellular SA 5.13% 2028/01/15 Callable, USD 360,000 444 489

Telecom Italia Capital SA 6.38% 2033/11/15 Series 'C', USD 25,000 31 38

Telecom Italia Capital SA 6.00% 2034/09/30 Callable, USD 90,000 115 132

Trinseo Materials Operating SCA / Trinseo Materials Finance Inc. 5.38% 2025/09/01 Callable, USD 175,000 219 226

Ultrapar International SA 5.25% 2026/10/06 USD 200,000 258 279

3,067 3,180 0.7%

10

Malaysia (note 10)

CIMB Bank BHD 3.26% 2022/03/15 USD 200,000 271 261

Malayan Banking BHD 3.91% 2026/10/29 Variable Rate, Callable, USD 500,000 654 649

PETRONAS Capital Ltd. 3.50% 2030/04/21 Callable, USD 200,000 275 280

1,200 1,190 0.3%

10

Mauritius (note 10)

Network i2i Ltd. 5.65% 2025/01/15 Variable Rate, Perpetual,

USD 300,000 400 405

400 405 0.1%



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14


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

8, 10

Mexico (note 10)

Banco Mercantil del Norte SA 6.88% 2022/07/06 Variable Rate, Perpetual,

USD 200,000 260 262


USD 400,000 520 573


USD 220,000 313 313

BBVA Bancomer SA of Texas 5.13% 2033/01/18 Variable Rate, Callable, USD 310,000 386 416

Credito Real SAB de CV SOFOM ER 9.13% 2022/11/29 Variable Rate, Perpetual,

USD 200,000 260 253

Mexarrend SAPI de CV 10.25% 2024/07/24 Callable, USD 200,000 258 244

Operadora De Servicios Mega SA de CV Sofom ER 8.25% 2025/02/11 Callable, USD 200,000 266 266

Orbia Advance Corp. SAB de CV 5.88% 2044/09/17 USD 320,000 424 485

Unifin Financiera SAB de CV SOFOM ENR 8.88% 2025/01/29 Variable Rate, Perpetual,

USD 600,000 709 644

United Mexican States 4.00% 2023/10/02 USD 150,000 204 207

United Mexican States 7.50% 2027/06/03 Series 'M20', MXN 20,790,000 1,480 1,400

United Mexican States 7.75% 2042/11/13 Series 'M', MXN 35,576,000 2,642 2,322

United Mexican States 4.75% 2044/03/08 Callable, USD 200,000 262 270

7,984 7,655 1.7%

10

Morocco (note 10)

OCP SA 4.50% 2025/10/22 USD 420,000 551 577

551 577 0.1%

4, 10

Netherlands (note 10)

ABN AMRO Bank NV 7.13% 2022/07/06 EUR 200,000 360 336

AES Andres BV / Dominican Power Partners / Empresa

Generadora de Electricidad

7.95% 2026/05/11 Callable, USD

200,000 267 268

AES Andres BV / Dominican Power Partners / Empresa

Generadora de Electricidad

7.95% 2026/05/11 Private Placement, Callable,

USD 200,000 256 268

Alcoa Nederland Holding BV 6.13% 2028/05/15 Callable, USD 200,000 279 277

Braskem Netherlands Finance BV 8.50% 2081/01/23 Variable Rate, Callable, USD 300,000 406 433

Cooperatieve Rabobank UA 6.63% 2021/06/29 Variable Rate, Perpetual, EUR 200,000 308 313

Equate Petrochemical BV 4.25% 2026/11/03 USD 200,000 270 277

Fiat Chrysler Automobiles NV 5.25% 2023/04/15 Callable, USD 85,000 112 118

IPD 3 BV 5.50% 2025/12/01 Callable, EUR 100,000 155 159

Maxeda DIY Holding BV 5.88% 2026/10/01 Callable, EUR 110,000 171 174

Minejesa Capital BV 4.63% 2030/08/10 Sinkable, USD 200,000 251 269

Minejesa Capital BV 5.63% 2037/08/10 Sinkable, USD 200,000 262 270

Petrobras Global Finance BV 6.25% 2024/03/17 USD 640,000 832 921

Petrobras Global Finance BV 6.85% 2115/06/05 USD 450,000 469 626

Prosus NV 4.85% 2027/07/06 Callable, USD 280,000 364 404

Shell International Finance BV 2.75% 2030/04/06 Callable, USD 40,000 57 54

Shell International Finance BV 3.25% 2050/04/06 Callable, USD 100,000 139 127

Stars Group Holdings BV / Stars Group US Co-Borrower LLC 7.00% 2026/07/15 Callable, USD 65,000 87 87

Syngenta Finance NV 4.44% 2023/04/24 Callable, USD 200,000 251 267

Telefonica Europe BV 2.38% 2029/02/12 Variable Rate, Perpetual, EUR 200,000 308 298

Teva Pharmaceutical Finance Netherlands III BV 2.80% 2023/07/21 USD 350,000 445 437

Trivium Packaging Finance BV 5.50% 2026/08/15 Callable, USD 320,000 418 427

UPC Holding BV 5.50% 2028/01/15 Callable, USD 200,000 238 262

6,705 7,072 1.6%

10

Nigeria (note 10)

Federal Republic of Nigeria 7.14% 2030/02/23 USD 200,000 250 270

Federal Republic of Nigeria 7.63% 2047/11/28 USD 200,000 256 260

506 530 0.1%

4

Norway (note 10)

Adevinta ASA 3.00% 2027/11/15 Callable, EUR 100,000 155 158

155 158 0.0%

10

Panama (note 10)

Banco Latinoamericano de Comercio Exterior SA 2.38% 2025/09/14 Callable, USD 300,000 393 391

Banco Nacional de Panama 2.50% 2030/08/11 Callable, USD 200,000 266 246

Banistmo SA 3.65% 2022/09/19 USD 200,000 267 262

Carnival Corp. 11.50% 2023/04/01 Callable, USD 15,000 21 22

Carnival Corp. 5.75% 2027/03/01 Callable, USD 40,000 51 52

Multibank Inc. 4.38% 2022/11/09 USD 200,000 268 262

Republic of Panama 4.00% 2024/09/22 Callable, USD 400,000 589 555

Republic of Panama 4.50% 2056/04/01 Sinkable, USD 200,000 281 281

UEP Penonome II SA 6.50% 2038/10/01 Sinkable, USD 250,000 321 326

2,457 2,397 0.5%

10

Paraguay (note 10)

Banco Continental SAECA 2.75% 2025/12/10 USD 150,000 193 191

193 191 0.0%

10

Peru (note 10)

Banco de Credito del Peru 3.13% 2030/07/01 Variable Rate, Callable, USD 200,000 272 260

Banco de Credito del Peru of Panama 6.13% 2027/04/24 Variable Rate, Callable, USD 150,000 214 200

Banco Internacional del Peru SAA 4.00% 2030/07/08 Variable Rate, Callable, USD 450,000 594 595

BBVA Banco Continental SA 5.25% 2029/09/22 Variable Rate, Callable, USD 100,000 141 139

Peru LNG SRL 5.38% 2030/03/22 Sinkable, USD 400,000 322 478

Petroleos del Peru SA 5.63% 2047/06/19 USD 200,000 294 282

Republic of Peru 2.39% 2026/01/23 Callable, USD 510,000 713 676

Transportadora de Gas del Peru SA 4.25% 2028/04/30 Sinkable, USD 350,000 493 499

3,043 3,129 0.7%



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15


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

10

Philippines (note 10)

Banco de Oro Unibank Inc. 2.95% 2023/03/06 USD 150,000 187 200

Republic of the Philippines 2.46% 2030/05/05 USD 200,000 281 259

Republic of the Philippines 1.65% 2031/06/10 USD 300,000 388 362

856 821 0.2%

10

Qatar (note 10)

State of Qatar 3.88% 2023/04/23 USD 200,000 295 272



1,586 1,493 0.3%

9

Russia (note 10)

Russian Federation 7.05% 2028/01/19 Series '6212', RUB 116,845,000 2,348 2,062

Russian Federation 7.25% 2034/05/10 Series '6225', RUB 117,781,000 2,662 2,059

5,010 4,121 0.9%

10

Saudi Arabia (note 10)

Kingdom of Saudi Arabia 2.38% 2021/10/26 USD 400,000 569 515

Kingdom of Saudi Arabia 2.90% 2025/10/22 USD 350,000 492 477

Saudi Arabian Oil Co. 1.63% 2025/11/24 Callable, USD 200,000 262 257

1,323 1,249 0.3%

10

Singapore (note 10)

DBS Group Holdings Ltd. 3.60% 2021/09/07 Variable Rate, Perpetual,

USD 600,000 772 774

LLPL Capital Pte. Ltd. 6.88% 2039/02/04 Sinkable, USD 182,400 242 278

Medco Bell Pte Ltd. 6.38% 2027/01/30 Callable, USD 200,000 257 261

ONGC Videsh Vankorneft Pte. Ltd. 2.88% 2022/01/27 USD 400,000 543 516

Oversea-Chinese Banking Corp. Ltd. 0.65% 2021/05/17 Floating Rate, USD 200,000 263 255

Oversea-Chinese Banking Corp. Ltd. 1.83% 2030/09/10 Variable Rate, Callable, USD 400,000 525 508

PSA Treasury Pte. Ltd. 2.13% 2029/09/05 Callable, USD 200,000 281 259

Temasek Financial I Ltd. 1.00% 2030/10/06 Callable, USD 500,000 615 594

United Overseas Bank Ltd. 3.88% 2023/10/19 Variable Rate, Perpetual,

USD 300,000 390 397

United Overseas Bank Ltd. 3.50% 2026/09/16 Variable Rate, Callable, USD 200,000 274 258

United Overseas Bank Ltd. 2.88% 2027/03/08 Variable Rate, Callable, USD 200,000 263 259

4,425 4,359 1.0%

10, 11

South Africa (note 10)

Republic of South Africa 8.50% 2037/01/31 Series '2037', ZAR 3,218,000 207 228

Republic of South Africa 6.50% 2041/02/28 Series 'R214', ZAR 15,562,000 1,238 858

Republic of South Africa 5.75% 2049/09/30 USD 620,000 797 728

2,242 1,814 0.4%

10

South Korea (note 10)

Korea East-West Power Co. Ltd. 1.75% 2025/05/06 USD 200,000 266 261

Korea East-West Power Co. Ltd. 1.75% 2025/05/06 Private Placement, USD 200,000 279 261

Korea Electric Power Corp. 1.13% 2025/06/15 USD 200,000 266 254

NongHyup Bank 1.25% 2025/07/20 USD 200,000 270 255

POSCO 2.38% 2022/11/12 USD 200,000 274 261

POSCO 2.38% 2023/01/17 USD 200,000 278 262

Woori Bank 4.25% 2024/10/04 Variable Rate, Perpetual,

USD 400,000 536 533

2,169 2,087 0.5%

4

Spain (note 10)

Tendam Brands SAU 5.00% 2024/09/15 Callable, EUR 100,000 146 144

Tendam Brands SAU 5.25% 2024/09/15 Floating Rate, Callable, EUR 100,000 146 144

292 288 0.1%

4

Sweden (note 10)

Heimstaden AB 4.25% 2026/03/09 Callable, EUR 100,000 152 152

Samhallsbyggnadsbolaget i Norden AB 2.62% 2025/01/30 Variable Rate, Perpetual, EUR 540,000 784 823

Verisure Midholding AB 5.25% 2029/02/15 Callable, EUR 100,000 154 158

1,090 1,133 0.3%

10

Switzerland (note 10)

UBS Group AG 7.00% 2024/01/31 Variable Rate, Perpetual,

USD 580,000 853 808

853 808 0.2%

10

Thailand (note 10)

Bangkok Bank PCL 5.00% 2025/09/23 Variable Rate, Perpetual,

USD 200,000 262 270

Export Import Bank of Thailand 1.08% 2023/11/20 Floating Rate, USD 200,000 263 257

Kasikornbank PCL (Hong Kong) 5.28% 2025/10/14 Variable Rate, Perpetual,

USD 400,000 534 539

PTTEP Treasury Center Co. Ltd. 2.59% 2027/06/10 Callable, USD 200,000 270 265

1,329 1,331 0.3%

10

Turkey (note 10)

Republic of Turkey 9.50% 2022/01/12 TRY 7,000,000 1,195 1,144

Republic of Turkey 4.25% 2026/04/14 USD 310,000 389 387

1,584 1,531 0.3%

10

United Arab Emirates (note 10)

DP World PLC 5.63% 2048/09/25 USD 550,000 767 836

Emirate of Abu Dhabi 0.75% 2023/09/02 USD 200,000 263 255



2,034 2,013 0.5%



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16


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

4, 5, 10

United Kingdom (note 10)

Anglo American Capital PLC 4.88% 2025/05/14 USD 200,000 269 290

Anglo American Capital PLC 4.75% 2027/04/10 Callable, USD 200,000 269 298

Antofagasta PLC 2.38% 2030/10/14 Callable, USD 200,000 263 253

Barclays PLC 3.38% 2025/04/02 Variable Rate, Callable, EUR 250,000 387 420

Barclays PLC 1.70% 2026/11/03 Variable Rate, Callable, GBP 100,000 172 180

Grainger PLC 3.00% 2030/07/03 Callable, GBP 130,000 218 242

Lloyds TSB Bank PLC 7.63% 2025/04/22 GBP 100,000 233 222

Pinnacle Bidco PLC 6.38% 2025/02/15 Callable, GBP 250,000 392 451

Saga PLC 3.38% 2024/05/12 Callable, GBP 200,000 331 328

Synlab Bondco PLC 4.75% 2025/07/01 Floating Rate, Callable, EUR 270,000 411 422

United Kingdom Treasury Bond 0.38% 2030/10/22 GBP 2,230,000 3,863 3,788

Vedanta Resources PLC 6.13% 2024/08/09 Callable, USD 600,000 720 649

Virgin Media Secured Finance PLC 5.50% 2029/05/15 Callable, USD 250,000 336 342

Whitbread Group PLC 2.38% 2027/05/31 Callable, GBP 100,000 174 175

Whitbread Group PLC 3.00% 2031/05/31 Callable, GBP 100,000 173 174

8,211 8,234 1.9%

5, 10


3M Co. 3.70% 2050/04/15 Callable, USD 130,000 207 187

Academy Ltd. 6.00% 2027/11/15 Callable, USD 40,000 53 54

ACRES Commercial Realty Corp. 1.86% 2035/03/15 Class 'B', Series '20-RSO8',


USD 200,000 256 256

Acrisure LLC / Acrisure Finance Inc. 4.25% 2029/02/15 Callable, USD 50,000 64 63

Adient US LLC 7.00% 2026/05/15 Callable, USD 90,000 127 123

ADT Corp. (The) 4.13% 2023/06/15 USD 230,000 306 306

Advanced Drainage Systems Inc. 5.00% 2027/09/30 Callable, USD 35,000 47 47

AECOM 5.13% 2027/03/15 Callable, USD 110,000 143 153

Aethon United BR L.P. / Aethon United Finance Corp. 8.25% 2026/02/15 Callable, USD 10,000 13 13

Air Methods Corp. 8.00% 2025/05/15 Callable, USD 34,000 44 41

Alberta Energy Co. Ltd. 7.38% 2031/11/01 USD 40,000 65 65

Albertsons Cos. Inc. / Safeway Inc. / New Albertsons L.P. /

Albertsons LLC

7.50% 2026/03/15 Callable, USD

100,000 134 139


Albertsons LLC

4.63% 2027/01/15 Callable, USD

185,000 249 244


Albertsons LLC

3.50% 2029/03/15 Callable, USD

35,000 46 43


Albertsons LLC

4.88% 2030/02/15 Callable, USD

148,000 197 195

Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.75% 2027/10/15 Callable, USD 40,000 55 53

Allied Universal Holdco LLC 6.63% 2026/07/15 Callable, USD 80,000 110 108

Allied Universal Holdco LLC 9.75% 2027/07/15 Callable, USD 65,000 89 91

Allison Transmission Inc. 3.75% 2031/01/30 Callable, USD 135,000 177 165

Ally Financial Inc. 5.75% 2025/11/20 Callable, USD 200,000 271 291

Ally Financial Inc. 8.00% 2031/11/01 USD 120,000 194 218

American Axle & Manufacturing Inc. 6.25% 2026/03/15 Callable, USD 30,000 39 39

Anheuser-Busch InBev Worldwide Inc. 4.35% 2040/06/01 Callable, USD 50,000 71 74

Anheuser-Busch InBev Worldwide Inc. 4.50% 2050/06/01 Callable, USD 80,000 114 116

Antero Midstream Partners L.P. / Antero Midstream Finance Corp. 5.38% 2024/09/15 Callable, USD 210,000 228 270



Apache Corp. 4.63% 2025/11/15 Callable, USD 20,000 27 26



Arches Buyer Inc. 4.25% 2028/06/01 Callable, USD 110,000 143 141

Arconic Corp. 6.13% 2028/02/15 Callable, USD 165,000 226 222

Asbury Automotive Group Inc. 4.50% 2028/03/01 Callable, USD 12,000 16 16

Asbury Automotive Group Inc. 4.75% 2030/03/01 Callable, USD 10,000 13 13

Ascend Learning LLC 6.88% 2025/08/01 Callable, USD 90,000 117 118

ASGN Inc. 4.63% 2028/05/15 Callable, USD 25,000 33 33

AssuredPartners Inc. 7.00% 2025/08/15 Callable, USD 85,000 107 111

AssuredPartners Inc. 5.63% 2029/01/15 Callable, USD 5,000 6 6

Atrium Hotel Portfolio Trust 3.16% 2036/12/15 Class 'E', Series

'2017-ATRM', Floating

Rate, USD 172,000 219 179

Austin BidCo Inc. 7.13% 2028/12/15 Callable, USD 20,000 27 26

Avantor Funding Inc. 4.63% 2028/07/15 Callable, USD 70,000 97 93

Avaya Inc. 6.13% 2028/09/15 Callable, USD 90,000 122 123

Avis Budget Car Rental LLC / Avis Budget Finance Inc. 6.38% 2024/04/01 Callable, USD 50,000 66 65



B&G Foods Inc. 5.25% 2025/04/01 Callable, USD 30,000 40 39

B&G Foods Inc. 5.25% 2027/09/15 Callable, USD 100,000 135 134

Bally's Corp. 6.75% 2027/06/01 Callable, USD 80,000 109 109

Banc of America Funding Corp. 0.32% 2047/02/20 Class '2A2', Series '07-A',


USD 1,519,732 1,834 1,827

Banc of America Funding Corp. 6.50% 2047/07/25 Class '7A5', Series '07-5',

Callable, USD 2,847,517 3,417 3,467

Banff Merger Sub Inc. 9.75% 2026/09/01 Callable, USD 15,000 19 20

Bank of America Corp. 4.08% 2051/03/20 Variable Rate, Callable, USD 40,000 63 58

Barclays Commercial Mortgage Securities LLC 2.96% 2034/11/25 Class 'E', Series

'2019-BWAY', Floating

Rate, USD 196,000 257 232

Barclays Commercial Mortgage Securities LLC 1.31% 2036/08/15 Class 'C', Series '2017-DELC',

Variable Rate, USD 34,000 43 43



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17


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

Barclays Commercial Mortgage Securities LLC 1.81% 2036/08/15 Class 'D', Series '2017-DELC',


Barclays Commercial Mortgage Securities LLC 2.61% 2036/08/15 Class 'E', Series '2017-DELC',


Barclays Commercial Mortgage Securities LLC 3.61% 2036/08/15 Class 'F', Series '2017-DELC',


Barclays Commercial Mortgage Securities LLC 3.35% 2037/03/15 Class 'F', Series '2018-Tall',

Floating Rate, USD 450,000 597 517

Barclays Commercial Mortgage Securities LLC 1.45% 2050/02/15 Class 'XA', Series '2017-C1',


USD 2,009,323 299 173

Bausch Health Cos. Inc. of the United States 9.25% 2026/04/01 Callable, USD 235,000 329 331

Bausch Health Cos. Inc. of the United States 8.50% 2027/01/31 Callable, USD 20,000 29 28

BB-UBS Trust 3.56% 2030/06/05 Class 'TE', Series '2012-TFT',


Beacon Escrow Corp. 4.88% 2025/11/01 Callable, USD 195,000 247 250

Beacon Roofing Supply Inc. 4.50% 2026/11/15 Callable, USD 20,000 27 26

Bear Stearns ALT-A Trust 3.04% 2036/03/25 Class '21A1', Series '06-2',


USD 377,006 396 427

Bear Stearns ARM Trust 3.41% 2036/07/25 Class '2A1', Series '06-2',


USD 396,187 459 488

Bear Stearns Asset Back Securities I Trust 6.25% 2036/12/25 Class 'A1', Series '06-AC5',


USD 437,143 462 548

Benchmark Mortgage Trust 3.44% 2052/08/15 Class 'TCB', Series '19-B12',


USD 258,000 338 324

Berry Global Escrow Corp. 5.63% 2027/07/15 Callable, USD 20,000 28 27

Berry Global Inc. 4.50% 2026/02/15 Callable, USD 25,000 33 33

BFLD Trust 1.45% 2034/10/15 Class 'B', Series '2019-DPLO',


BFLD Trust 2.65% 2034/10/15 Class 'F', Series '2019-DPLO',


BHMS Mortgage Trust 2.01% 2035/07/15 Class 'C', Series '2018-ATLS',


BHP Trust 1.88% 2036/08/15 Class 'D', Series '2019-BXHP',


Blue Racer Midstream LLC / Blue Racer Finance Corp. 7.63% 2025/12/15 Callable, USD 30,000 41 41

Boeing Co. (The) 4.88% 2025/05/01 Callable, USD 260,000 362 369

Boeing Co. (The) 3.75% 2050/02/01 Callable, USD 70,000 90 86

Boxer Parent Co. Inc. 7.13% 2025/10/02 Callable, USD 5,000 7 7

Boyd Gaming Corp. 4.75% 2027/12/01 Callable, USD 110,000 145 143

Boyne USA Inc. 7.25% 2025/05/01 Callable, USD 110,000 143 146

BP Capital Markets America Inc. 3.63% 2030/04/06 Callable, USD 50,000 71 71

Braskem America Finance Co. 7.13% 2041/07/22 Callable, USD 200,000 260 289

Builders FirstSource Inc. 6.75% 2027/06/01 Callable, USD 18,000 25 25

Builders FirstSource Inc. 5.00% 2030/03/01 Callable, USD 90,000 124 120

BX Commercial Mortgage Trust 2.01% 2034/04/15 Class 'D', Series '2019-IMC',


BX Commercial Mortgage Trust 3.01% 2034/04/15 Class 'F', Series '19-IMC',


BX Trust 2.11% 2032/11/25 Class 'E', Series '19-CALM',


BX Trust 2.16% 2034/07/15 Class 'D', Series '2017-SLCT',


BX Trust 3.26% 2034/07/15 Class 'E', Series '2017-APPL',


BX Trust 3.26% 2034/07/15 Class 'E', Series '2017-SLCT',


BX Trust 2.01% 2036/08/15 Class 'E', Series '2019-MMP',


USD 273,631 364 344

BY Crown Parent LLC / BY Bond Finance Inc. 4.25% 2026/01/31 Callable, USD 20,000 27 26

Caesars Entertainment Inc. 6.25% 2025/07/01 Callable, USD 140,000 195 189

Caesars Entertainment Inc. 8.13% 2027/07/01 Callable, USD 85,000 115 118

Caesars Resort Collection LLC / CRC Finco Inc. 5.25% 2025/10/15 Callable, USD 105,000 134 133

Calpine Corp. 5.25% 2026/06/01 Callable, USD 24,000 33 31





CAMB Commercial Mortgage Trust 1.86% 2037/12/15 Class 'D', Series '2019-LIFE',


Cantor Commercial Real Estate 3.95% 2032/08/21 Class 'F', Series '19-MF1',


Carbon Capital VI Commercial Mortgage 2.98% 2035/10/15 Class 'B', Series '2019-FL2',


USD 256,000 340 311

Carvana Co. 5.63% 2025/10/01 Callable, USD 15,000 20 20

Castle US Holding Corp. 9.50% 2028/02/15 Callable, USD 65,000 85 85

Castlelake Aircraft Structured Trust 6.90% 2039/04/15 Class 'C', Series '19-1A',

Callable, USD 435,789 582 479

Catalent Pharma Solutions Inc. 5.00% 2027/07/15 Callable, USD 50,000 68 67

Catalent Pharma Solutions Inc. 3.13% 2029/02/15 Callable, USD 40,000 51 50

CCO Holdings LLC / CCO Holdings Capital Corp. 5.75% 2026/02/15 Callable, USD 200,000 270 263





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18


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets




CD Commercial Mortgage Trust 1.01% 2050/02/10 Class 'XA', Series '2017-CD3',


USD 1,638,900 169 98

CD Commercial Mortgage Trust 1.29% 2050/05/10 Class 'XA', Series '2017-CD4',


USD 1,769,947 233 128

CDK Global Inc. 5.88% 2026/06/15 Callable, USD 25,000 32 33

Cedar Fair L.P. 5.25% 2029/07/15 Callable, USD 50,000 68 64

Cengage Learning Inc. 9.50% 2024/06/15 Callable, USD 45,000 54 57

Centene Corp. 4.63% 2029/12/15 Callable, USD 270,000 359 370




Century Communities Inc. 6.75% 2027/06/01 Callable, USD 30,000 40 41

CFCRE Commercial Mortgage Trust 1.60% 2050/06/15 Class 'XA', Series '2017-C8',


USD 1,495,634 238 131

CFCRE Commercial Mortgage Trust 1.67% 2058/05/10 Class 'XA', Series '2016-C4',


USD 552,969 85 48

CGDBB Commercial Mortgage Trust 2.26% 2032/07/15 Class 'E', Series '2017-BIOC',


Charles River Laboratories International Inc. 4.25% 2028/05/01 Callable, USD 30,000 40 40

Charter Communications Operating LLC / Charter Communications

Operating Capital Corp.

3.50% 2041/06/01 Callable, USD

180,000 227 221

Chase Mortgage Finance Trust 6.00% 2036/12/25 Class 'A8', Series '06-S4',

Callable, USD 346,639 345 298

Cheniere Corpus Christi Holdings LLC 5.88% 2025/03/31 Callable, USD 140,000 186 205

Cheniere Corpus Christi Holdings LLC 5.13% 2027/06/30 Callable, USD 200,000 273 297

Cheniere Energy Partners L.P. 5.25% 2025/10/01 Callable, USD 80,000 101 105

Cheniere Energy Partners L.P. 5.63% 2026/10/01 Callable, USD 20,000 27 26

Chesapeake Energy Corp. 5.88% 2029/02/01 Callable, USD 45,000 61 61

CHL GMSR Issuer Trust 2.87% 2023/05/25 Class 'A', Series '18-GT1',


USD 3,140,000 4,038 3,987

CHL Mortgage Pass-Through Trust 5.50% 2035/11/25 Class 'A7', Series '05-J4',

Callable, USD 268,398 353 338

CHL Mortgage Pass-Through Trust 3.07% 2035/12/20 Class '4A1', Series '05-HYB8',


USD 195,415 204 243

CHL Mortgage Pass-Through Trust 6.00% 2036/05/25 Class '3A1', Series '06-8',

Callable, USD 2,208,935 1,567 917

CHS / Community Health Systems Inc. 8.00% 2026/03/15 Callable, USD 120,000 158 164





Cigna Corp. 4.80% 2038/08/15 Callable, USD 100,000 162 156

CIM Trust 9.61% 2057/01/27 Class 'B2', Series '17-3RR',


USD 2,920,000 4,207 3,684

Cincinnati Bell Inc. 7.00% 2024/07/15 Callable, USD 55,000 73 73

Cinemark USA Inc. 8.75% 2025/05/01 Callable, USD 20,000 27 28

CIT Group Inc. 5.00% 2023/08/01 USD 400,000 547 556

Citigroup Commercial Mortgage Trust 4.75% 2036/01/10 Class 'E', Series '19-SMRT',


Citigroup Commercial Mortgage Trust 2.11% 2036/12/15 Class 'E', Series '2019-SST2',


USD 257,000 340 328

Citigroup Commercial Mortgage Trust 1.34% 2048/02/10 Class 'XA', Series

'2015-GC27', Variable

Rate, Callable, USD 1,043,556 122 57

Citigroup Commercial Mortgage Trust 1.85% 2049/05/10 Class 'XA', Series '2016-C1',


USD 668,139 121 66

Citigroup Commercial Mortgage Trust 1.96% 2049/07/10 Class 'XA', Series '2016-P4',


USD 740,325 139 70

Citigroup Commercial Mortgage Trust 1.50% 2049/10/10 Class 'XA', Series '2016-P5',


USD 961,481 136 69

Citigroup Mortgage Loan Trust 3.00% 2035/10/25 Class '3A2A', Series '05-5',


USD 474,116 458 438

Citigroup Mortgage Loan Trust 0.26% 2036/09/25 Class 'A1', Series '06-AMC1',


USD 264,841 303 326

Clarios Global L.P. / Clarios US Finance Co. 6.25% 2026/05/15 Callable, USD 40,000 54 54

Clarios Global L.P. / Clarios US Finance Co. 8.50% 2027/05/15 Callable, USD 20,000 27 27

Clean Harbors Inc. 4.88% 2027/07/15 Callable, USD 55,000 75 73

Clean Harbors Inc. 5.13% 2029/07/15 Callable, USD 15,000 20 21

Clear Channel Outdoor Holdings Inc. 7.75% 2028/04/15 Callable, USD 10,000 13 13

Clear Channel Worldwide Holdings Inc. 9.25% 2024/02/15 Callable, USD 24,000 33 32

Clearwater Paper Corp. 4.75% 2028/08/15 Callable, USD 50,000 67 65

Clearway Energy Operating LLC 4.75% 2028/03/15 Callable, USD 35,000 46 48

Cleveland-Cliffs Inc. 5.75% 2025/03/01 Callable, USD 34,000 42 44




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19


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets


CNX Midstream Partners L.P. / CNX Midstream Finance Corp. 6.50% 2026/03/15 Callable, USD 50,000 64 66

CNX Resources Corp. 6.00% 2029/01/15 Callable, USD 20,000 26 27

Coca-Cola Co. (The) 2.50% 2051/03/15 Callable, USD 30,000 39 35

Cogent Communications Group Inc. 5.38% 2022/03/01 Callable, USD 130,000 179 170

Colfax Corp. 6.38% 2026/02/15 Callable, USD 70,000 98 95

Comcast Corp. 4.70% 2048/10/15 Callable, USD 140,000 179 223

Comcast Corp. 4.95% 2058/10/15 Callable, USD 90,000 115 154

COMM Mortgage Trust 1.12% 2046/10/10 Class 'XA', Series

'2013-CR12', Variable


COMM Mortgage Trust 4.31% 2048/02/10 Class 'C', Series '15-DC1',


USD 133,000 183 167

COMM Mortgage Trust 4.29% 2048/05/10 Class 'C', Series '15-CR23',


USD 150,000 204 205


'2015-LC21', Variable



'2015-CR25', Variable


Commercial Metals Co. 3.88% 2031/02/15 Callable, USD 38,000 48 48

CommScope Finance LLC 5.50% 2024/03/01 Callable, USD 35,000 47 46



CommScope Technologies LLC 5.00% 2027/03/15 Callable, USD 25,000 32 31

Comstock Resources Inc. 7.50% 2025/05/15 Callable, USD 80,000 95 106

Constellation Brands Inc. 4.25% 2023/05/01 USD 70,000 97 96

Constellation Merger Sub Inc. 8.50% 2025/09/15 Callable, USD 40,000 51 48

Continental Resources Inc. 4.90% 2044/06/01 Callable, USD 40,000 41 51

CoreVest American Finance Lender LLC 4.22% 2051/06/15 Class 'D', Series '2019-2',

USD 2,100,000 2,747 2,888

Cornerstone Building Brands Inc. 6.13% 2029/01/15 Callable, USD 40,000 54 52

Cosmopolitan Hotel Trust 3.11% 2036/11/15 Class 'E', Series

'2017-CSMO', Variable

Rate, USD 120,000 152 153

Countrywide Alternative Loan Trust 5.50% 2035/05/25 Class 'A3', Series '05-13CB',

Callable, USD 1,048,038 1,363 1,366

Countrywide Alternative Loan Trust 3.24% 2035/12/25 Class '5A1', Series '05-63',


USD 129,691 153 161

Countrywide Alternative Loan Trust 6.00% 2036/05/25 Class 'A1', Series

'2006-12CB', Callable,

USD 3,681,442 3,875 3,596

Countrywide Alternative Loan Trust 6.25% 2037/08/25 Class '5A3', Series

'2007-16CB', Callable,

USD 250,001 281 245

Credit Acceptance Corp. 6.63% 2026/03/15 Callable, USD 60,000 81 80

Credit Suisse Commercial Mortgage Trust 5.42% 2040/02/15 Class 'AM', Series '2007-C1',

Callable, USD 426 1 1

Credit Suisse Mortgage Trust 3.41% 2032/07/15 Class 'E', Series '2017-CHOP',


Credit Suisse Mortgage Trust 3.33% 2033/04/05 Class 'E', Series '2017-LSTK',


Credit Suisse Mortgage Trust 2.76% 2036/05/15 Class 'F', Series '19-ICE4',


USD 334,000 427 426

Credit Suisse Mortgage Trust 3.70% 2037/08/15 Class 'D', Series '20-NET',


USD 363,000 486 475

Credit Suisse Mortgage Trust 3.82% 2037/10/15 Class 'D', Series '20-FACT',


CrowdStrike Holdings Inc. 3.00% 2029/02/15 Callable, USD 15,000 19 19

Crown Americas LLC / Crown Americas Capital Corp. IV 4.50% 2023/01/15 USD 50,000 65 67

CSAIL Commercial Mortgage Trust 1.95% 2049/01/15 Class 'XA', Series '2016-C6',


USD 697,079 112 64

CSAIL Commercial Mortgage Trust 0.83% 2050/04/15 Class 'XA', Series '2015-C1',


USD 3,369,469 259 115

CSAIL Commercial Mortgage Trust 0.87% 2050/09/15 Class 'XA', Series '2017-CX9',

Variable Rate, USD 4,535,517 301 155

CSC Holdings LLC 5.88% 2022/09/15 USD 95,000 127 127

CSC Holdings LLC 5.25% 2024/06/01 USD 150,000 195 206

CSC Holdings LLC 5.50% 2026/05/15 Callable, USD 200,000 275 264

CSI Compressco Partners L.P. / CSI Compressco Finance Corp. 7.50% 2025/04/01 Callable, USD 70,000 90 90

CTR Partnership L.P. / CareTrust Capital Corp. 5.25% 2025/06/01 Callable, USD 130,000 167 171

Dana Inc. 5.38% 2027/11/15 Callable, USD 10,000 13 13

Dana Inc. 5.63% 2028/06/15 Callable, USD 30,000 41 41

DaVita Inc. 4.63% 2030/06/01 Callable, USD 115,000 155 149

DBGS Mortgage Trust 2.11% 2035/05/15 Class 'F', Series '2018-BIOD',


DBUBS Mortgage Trust 3.53% 2034/10/10 Class 'E', Series '2017-BRBK',


USD 165,000 215 216

DBUBS Mortgage Trust 3.53% 2034/10/10 Class 'F', Series '17-BRBK',


USD 425,000 554 550



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20


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

DBUBS Mortgage Trust 5.27% 2044/05/10 Class 'PM2', Series

'2011-LC3A', Variable


DCP Midstream Operating L.P. 6.75% 2037/09/15 USD 200,000 267 288

Dealer Tire LLC / DT Issuer LLC 8.00% 2028/02/01 Callable, USD 40,000 53 55

Deere & Co. 3.75% 2050/04/15 Callable, USD 50,000 81 74

Dell International LLC / EMC Corp. 7.13% 2024/06/15 Callable, USD 390,000 553 514

Delta Air Lines Inc. 2.90% 2024/10/28 Callable, USD 170,000 196 216

Delta Air Lines Inc. 7.00% 2025/05/01 USD 370,000 522 547

Delta Air Lines Inc. 7.38% 2026/01/15 Callable, USD 290,000 390 431

Delta Air Lines Inc. / SkyMiles IP Ltd. 4.50% 2025/10/20 Sinkable, Callable, USD 220,000 302 299

Delta Air Lines Inc. / SkyMiles IP Ltd. 4.75% 2028/10/20 Sinkable, Callable, USD 205,000 271 289

Devon Energy Corp. 5.85% 2025/12/15 Callable, USD 200,000 295 298

Diamond Sports Group LLC / Diamond Sports Finance Co. 5.38% 2026/08/15 Callable, USD 30,000 40 27

Diamondback Energy Inc. 5.38% 2025/05/31 Callable, USD 110,000 147 145

DISH DBS Corp. 5.88% 2024/11/15 USD 1,140,000 1,520 1,522

DISH DBS Corp. 7.75% 2026/07/01 USD 400,000 496 561

Diversified Healthcare Trust 9.75% 2025/06/15 Callable, USD 360,000 496 517

Dun & Bradstreet Corp. (The) 6.88% 2026/08/15 Callable, USD 15,000 20 20

Dun & Bradstreet Corp. (The) 10.25% 2027/02/15 Callable, USD 27,000 40 39

Element Solutions Inc. 3.88% 2028/09/01 Callable, USD 50,000 65 64

Embarq Corp. 8.00% 2036/06/01 USD 70,000 100 105

Emergent BioSolutions Inc. 3.88% 2028/08/15 Callable, USD 35,000 47 45

Encompass Health Corp. 4.50% 2028/02/01 Callable, USD 15,000 20 20



Endeavor Energy Resources L.P. / EER Finance Inc. 6.63% 2025/07/15 Callable, USD 90,000 123 121

Endeavor Energy Resources L.P. / EER Finance Inc. 5.75% 2028/01/30 Callable, USD 110,000 154 148

Endurance Acquisition Merger Sub 6.00% 2029/02/15 Callable, USD 55,000 70 68

Energizer Holdings Inc. 4.75% 2028/06/15 Callable, USD 70,000 93 91

Entercom Media Corp. 7.25% 2024/11/01 Callable, USD 100,000 141 129

Envision Healthcare Corp. 8.75% 2026/10/15 Callable, USD 20,000 18 18

EOG Resources Inc. 4.38% 2030/04/15 Callable, USD 40,000 56 60

EQM Midstream Partners L.P. 6.50% 2027/07/01 Callable, USD 15,000 20 20



EQT Corp. 3.00% 2022/10/01 Callable, USD 100,000 129 129




ESH Hospitality Inc. 5.25% 2025/05/01 Callable, USD 50,000 66 65

ExteNet Issuer LLC 5.22% 2049/07/26 Class 'C', Series '19-1A',

Callable, USD 750,000 984 1,003

Exterran Energy Solutions L.P. / EES Finance Corp. 8.13% 2025/05/01 Callable, USD 35,000 46 41

Exxon Mobil Corp. 4.33% 2050/03/19 Callable, USD 60,000 101 89

Exxon Mobil Corp. 3.45% 2051/04/15 Callable, USD 50,000 69 65

Fannie Mae 2.52% 2031/04/25 Class '1M2', Series '18-R07',


USD 489,063 655 626

Fannie Mae 5.93% 2046/10/25 Class 'S', Series '16-70',

Variable Rate, USD 2,969,858 906 851

FHLMC Multifamily 1.31% 2023/03/25 Class 'X1', Series 'K722',


USD 916,397 84 23

FirstEnergy Corp. 7.38% 2031/11/15 Series 'C', Callable, USD 70,000 118 123

Flex Acquisition Co. Inc. 6.88% 2025/01/15 Callable, USD 35,000 46 45

Fontainebleau Miami Beach Trust 4.10% 2036/12/10 Class 'F', Series '19-FBLU',

USD 230,000 301 297

Fontainebleau Miami Beach Trust 4.10% 2036/12/10 Class 'G', Series '19-FBLU',

USD 266,000 343 337

Ford Motor Co. 8.50% 2023/04/21 USD 530,000 744 755

Ford Motor Co. 9.00% 2025/04/22 Callable, USD 20,000 28 31

Ford Motor Co. 7.45% 2031/07/16 USD 50,000 50 83

Ford Motor Credit Co. LLC 4.25% 2022/09/20 USD 500,000 670 656

Ford Motor Credit Co. LLC 2.75% 2024/06/14 GBP 170,000 291 305

Ford Motor Credit Co. LLC 3.66% 2024/09/08 USD 325,000 424 427

Ford Motor Credit Co. LLC 3.38% 2025/11/13 Callable, USD 200,000 261 259

Ford Motor Credit Co. LLC 4.39% 2026/01/08 USD 900,000 1,145 1,211



Freddie Mac 2.62% 2050/02/25 Class 'B1', Series '20-DNA2',


USD 1,500,000 1,963 1,916

Freeport-McMoRan Inc. 3.88% 2023/03/15 Callable, USD 160,000 199 213



FREMF Mortgage Trust 4.97% 2022/02/25 Class 'B', Series '15-KF08',


USD 200,077 261 255



USD 200,022 268 261



USD 22,255 29 29



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21


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets



USD 200,001 261 255



USD 160,554 209 203



USD 181,712 220 230



USD 199,890 261 255



USD 185,729 242 236



USD 199,954 258 254



USD 390,543 501 498

Fresenius Medical Care US Finance II Inc. 4.75% 2024/10/15 Callable, USD 60,000 81 85

frontdoor Inc. 6.75% 2026/08/15 Callable, USD 70,000 94 95

Frontier Communications Corp. 8.50% 2020/04/15 Callable, USD 15,000 21 11

Frontier Communications Corp. 7.13% 2023/01/15 USD 25,000 17 17




Full House Resorts Inc. 8.25% 2028/02/15 Callable, USD 15,000 20 20

Gates Global LLC / Gates Global Co. 6.25% 2026/01/15 Callable, USD 45,000 60 60

GCI LLC 4.75% 2028/10/15 Callable, USD 110,000 150 145

General Dynamics Corp. 4.25% 2040/04/01 Callable, USD 10,000 17 15

General Dynamics Corp. 4.25% 2050/04/01 Callable, USD 140,000 247 220

General Electric Capital Corp. 6.88% 2039/01/10 USD 440,000 752 794

General Electric Co. 4.25% 2040/05/01 Callable, USD 70,000 97 98

General Electric Co. 4.35% 2050/05/01 Callable, USD 60,000 83 84

General Motors Co. 5.40% 2023/10/02 USD 140,000 196 199

Glencore Funding LLC 4.00% 2027/03/27 Callable, USD 260,000 327 371

Go Daddy Operating Co. LLC / GD Finance Co. Inc. 5.25% 2027/12/01 Callable, USD 115,000 157 154

Go Daddy Operating Co. LLC / GD Finance Co. Inc. 3.50% 2029/03/01 Callable, USD 55,000 69 70

Gogo Intermediate Holdings LLC / Gogo Finance Co. Inc. 9.88% 2024/05/01 Callable, USD 50,000 67 67

Golden Entertainment Inc. 7.63% 2026/04/15 Callable, USD 30,000 40 41

Golden Nugget Inc. 6.75% 2024/10/15 Callable, USD 130,000 167 168

Golden Nugget Inc. 8.75% 2025/10/01 Callable, USD 15,000 21 20

Goodyear Tire & Rubber Co. (The) 9.50% 2025/05/31 Callable, USD 255,000 365 365

Goodyear Tire & Rubber Co. (The) 5.00% 2026/05/31 Callable, USD 130,000 158 169

Government National Mortgage Association 2.74% 2049/10/20 Class 'KS', Series '19-128',


USD 4,126,682 423 377

Government National Mortgage Association 6.04% 2050/07/20 Class 'SB', Series '2020-104',


USD 9,768,938 3,675 2,937

Government National Mortgage Association 4.09% 2050/08/20 Class 'SA', Series '20-115',


USD 5,858,825 1,179 1,111

Government National Mortgage Association 4.09% 2050/08/20 Class 'YS', Series '20-115',


USD 3,432,105 866 603

Government National Mortgage Association 2.50% 2050/10/20 Class 'IJ', Series '20-146',

Callable, USD 8,508,407 1,198 1,163

GrafTech Finance Inc. 4.63% 2028/12/15 Callable, USD 25,000 32 32

Graphic Packaging International LLC 3.50% 2028/03/15 USD 60,000 80 79

Graphic Packaging International LLC 3.50% 2029/03/01 Callable, USD 45,000 59 58

Gray Escrow Inc. 7.00% 2027/05/15 Callable, USD 60,000 80 84

Great Wolf Trust 3.24% 2029/12/15 Class 'F', Series '19-WOLF',


USD 105,000 138 127

Griffon Corp. 5.75% 2028/03/01 Callable, USD 100,000 136 134

Group 1 Automotive Inc. 4.00% 2028/08/15 Callable, USD 10,000 13 13

GS Mortgage Securities Trust 2.21% 2031/07/15 Class 'E', Series '2018-TWR',


GS Mortgage Securities Trust 2.91% 2031/07/15 Class 'F', Series '2018-TWR',


GS Mortgage Securities Trust 4.04% 2031/07/15 Class 'G', Series '2018-TWR',


GS Mortgage Securities Trust 2.71% 2032/08/15 Class 'E', Series '19-SMP',


GS Mortgage Securities Trust 2.66% 2032/11/15 Class 'E', Series '2018-LUAU',


GS Mortgage Securities Trust 3.55% 2034/04/10 Class 'A', Series '2012-ALOH',

USD 355,000 488 460

GS Mortgage Securities Trust 1.49% 2046/02/10 Class 'XA', Series



GS Mortgage Securities Trust 4.51% 2047/11/10 Class 'D', Series '2014-GC26',


USD 183,000 202 171

GS Mortgage Securities Trust 4.34% 2048/07/10 Class 'C', Series '15-GC32',


USD 847,000 1,033 1,160



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22


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

GS Mortgage Securities Trust 1.75% 2049/05/10 Class 'XA', Series '2016-GS2',


USD 750,946 115 71

GS Mortgage Securities Trust 1.22% 2049/10/10 Class 'XA', Series '2016-GS3',


USD 893,569 111 62

GS Mortgage Securities Trust 1.13% 2053/05/12 Class 'XA', Series



GSCG Trust 3.99% 2034/09/06 Class 'E', Series '2019-600C',


GSR Mortgage Loan Trust 6.00% 2037/07/25 Class '3A1', Series '07-4F',

Callable, USD 243,161 284 271

GTT Communications Inc. 7.88% 2024/12/31 Callable, USD 35,000 45 9

Gulfport Energy Corp. 6.38% 2025/05/15 Callable, USD 50,000 63 58

Hanesbrands Inc. 4.63% 2024/05/15 Callable, USD 135,000 186 180

Hanesbrands Inc. 4.88% 2026/05/15 Callable, USD 80,000 102 110

HCA Inc. 5.88% 2023/05/01 USD 176,000 243 245

HCA Inc. 5.38% 2025/02/01 USD 292,000 400 418

HCA Inc. 5.38% 2026/09/01 Callable, USD 95,000 126 138




Helios Issuer LLC 4.49% 2046/06/20 Class 'B', Series '19-AA',

Callable, USD 790,316 1,053 1,060

Helios Issuer LLC 4.94% 2049/09/20 Class 'A', Series '17-1A', USD 844,945 1,126 1,138

Herc Holdings Inc. 5.50% 2027/07/15 Callable, USD 46,000 63 62

Hertz Vehicle Financing II L.P. 3.67% 2025/05/25 Class 'B', Series '19-2A',

Callable, USD 750,000 983 958

Hess Midstream Operations L.P. 5.63% 2026/02/15 Callable, USD 45,000 62 59

Hess Midstream Operations L.P. 5.13% 2028/06/15 Callable, USD 35,000 47 46

Hexion Inc. 7.88% 2027/07/15 Callable, USD 25,000 33 34

H-Food Holdings LLC / Hearthside Finance Co. Inc. 8.50% 2026/06/01 Callable, USD 45,000 56 60

Hilcorp Energy I L.P. / Hilcorp Finance Co. 6.25% 2028/11/01 Callable, USD 50,000 64 66

Hilcorp Energy I L.P. / Hilcorp Finance Co. 5.75% 2029/02/01 Callable, USD 25,000 33 32

Hillman Group Inc. (The) 6.38% 2022/07/15 Callable, USD 30,000 38 38

Hill-Rom Holdings Inc. 4.38% 2027/09/15 Callable, USD 25,000 33 33

Hilton Domestic Operating Co. Inc. 5.38% 2025/05/01 Callable, USD 5,000 7 7



Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. 4.88% 2027/04/01 Callable, USD 80,000 107 106

Home Depot Inc. (The) 3.30% 2040/04/15 Callable, USD 40,000 57 55

Home Depot Inc. (The) 3.35% 2050/04/15 Callable, USD 120,000 177 161

Hospitality Mortgage Trust 3.26% 2026/11/15 Class 'F', Series '19-HIT',


Howmet Aerospace Inc. 5.13% 2024/10/01 Callable, USD 205,000 279 284

IAA Inc. 5.50% 2027/06/15 Callable, USD 65,000 88 87

Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. 6.75% 2024/02/01 Callable, USD 260,000 344 338



iHeartCommunications Inc. 8.38% 2027/05/01 Callable, USD 5,000 7 7

iHeartCommunications Inc. 5.25% 2027/08/15 Callable, USD 25,000 33 33

Illuminate Buyer LLC / Illuminate Holdings IV Inc. 9.00% 2028/07/01 Callable, USD 85,000 121 120

Impac CMB Trust 1.08% 2034/11/25 Class 'M2', Series '04-7',


USD 289,437 347 378

IMT Trust 2.26% 2034/06/15 Class 'EFL', Series

'2017-APTS', Variable


IMT Trust 2.96% 2034/06/15 Class 'FFL', Series

'2017-APTS', Variable


Indigo Natural Resources LLC 5.38% 2029/02/01 Callable, USD 45,000 58 57

IndyMac INDX Mortgage Loan Trust 0.37% 2037/09/25 Class '1A1', Series

'2007-FLX6', Floating

Rate, Callable, USD 1,609,090 1,976 1,782

Ingevity Corp. 3.88% 2028/11/01 Callable, USD 50,000 66 63

Installed Building Products Inc. 5.75% 2028/02/01 Callable, USD 40,000 53 54

International Lease Finance Corp. 5.88% 2022/08/15 USD 100,000 148 137

IRB Holding Corp. 7.00% 2025/06/15 Callable, USD 25,000 35 35

IRB Holding Corp. 6.75% 2026/02/15 Callable, USD 135,000 178 177

Iron Mountain Inc. 5.25% 2028/03/15 Callable, USD 40,000 56 53




iStar Inc. 4.75% 2024/10/01 Callable, USD 25,000 33 33

Jaguar Holding Co. II / Pharmaceutical Product Development LLC 5.00% 2028/06/15 Callable, USD 20,000 28 27

JBS USA LUX SA / JBS Food Co. / JBS USA Finance Inc. 5.50% 2030/01/15 Callable, USD 20,000 26 29

JBS USA LUX SA / JBS USA Finance Inc. 6.75% 2028/02/15 Callable, USD 45,000 56 63

JELD-WEN Inc. 4.63% 2025/12/15 Callable, USD 65,000 83 84

Jersey Mike's Funding LLC 4.43% 2050/02/15 Class 'A2', Series '2019-1A',

Callable, USD 1,019,231 1,416 1,389

Jimmy John's Funding LLC 4.85% 2047/07/30 Class 'A2II', Series '17-1A',

USD 723,750 953 971

JP Morgan Chase Commercial Mortgage Securities Trust 4.61% 2031/07/05 Class 'D', Series '18-AON',


JP Morgan Chase Commercial Mortgage Securities Trust 4.01% 2031/10/05 Class 'E', Series '2016-WIKI',




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23


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

JP Morgan Chase Commercial Mortgage Securities Trust 4.34% 2032/05/05 Class 'C', Series '2019-UES',

USD 89,000 123 115

JP Morgan Chase Commercial Mortgage Securities Trust 4.45% 2032/05/05 Class 'D', Series '2019-UES',


JP Morgan Chase Commercial Mortgage Securities Trust 4.45% 2032/05/05 Class 'E', Series '2019-UES',


JP Morgan Chase Commercial Mortgage Securities Trust 4.45% 2032/05/05 Class 'F', Series '2019-UES',


JP Morgan Chase Commercial Mortgage Securities Trust 4.45% 2032/05/05 Class 'G', Series '2019-UES',


JP Morgan Chase Commercial Mortgage Securities Trust 1.71% 2032/06/15 Class 'C', Series '2018-LAQ',


JP Morgan Chase Commercial Mortgage Securities Trust 2.01% 2032/06/15 Class 'D', Series '2017-FL10',


USD 8,455 11 11

JP Morgan Chase Commercial Mortgage Securities Trust 2.30% 2032/06/15 Class 'D', Series '2018-LAQ',


JP Morgan Chase Commercial Mortgage Securities Trust 5.54% 2033/07/05 Class 'EFX', Series

'2018-WPT', Callable,

USD 250,000 335 329

JP Morgan Chase Commercial Mortgage Securities Trust 5.54% 2033/07/05 Class 'FFX', Series

'2018-WPT', Callable,

USD 375,000 478 482

JP Morgan Chase Commercial Mortgage Securities Trust 3.35% 2035/06/15 Class 'E', Series '2018-LAQ',


JP Morgan Chase Commercial Mortgage Securities Trust 2.27% 2036/07/15 Class 'E', Series '2019-MFP',


JP Morgan Chase Commercial Mortgage Securities Trust 3.11% 2036/07/15 Class 'F', Series '19-MFP',


JP Morgan Chase Commercial Mortgage Securities Trust 3.97% 2037/01/16 Class 'EFX', Series '20-NNN',

Callable, USD 209,000 286 268

JP Morgan Chase Commercial Mortgage Securities Trust 5.34% 2046/07/15 Class 'C', Series '11-C4',


USD 335,000 462 427

JP Morgan Chase Commercial Mortgage Securities Trust 5.42% 2046/08/15 Class 'D', Series '2011-C5',


JP Morgan Chase Commercial Mortgage Securities Trust 4.40% 2047/07/15 Class 'B', Series '14-C20',


USD 399,000 547 541

JP Morgan Chase Commercial Mortgage Securities Trust 0.68% 2049/12/15 Class 'XA', Series '2016-JP4',


USD 1,240,524 84 40

JPMBB Commercial Mortgage Securities Trust 3.99% 2048/10/15 Class 'B', Series '15-C28',

Callable, USD 334,000 422 451

KAR Auction Services Inc. 5.13% 2025/06/01 Callable, USD 50,000 67 65

Kenan Advantage Group Inc. 7.88% 2023/07/31 Callable, USD 10,000 13 13

KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America

LLC

5.25% 2026/06/01 Callable, USD

380,000 508 501

Kraft Heinz Foods Co. 3.75% 2030/04/01 Callable, USD 110,000 155 154



Kraft Heinz Foods Co. 5.00% 2042/06/04 USD 40,000 59 59

Kraft Heinz Foods Co. 5.20% 2045/07/15 Callable, USD 655,000 940 1,003


Kraton Polymers LLC / Kraton Polymers Capital Corp. 4.25% 2025/12/15 Callable, USD 85,000 110 110

Kratos Defense & Security Solutions Inc. 6.50% 2025/11/30 Callable, USD 40,000 53 53

Kronos Acquisition Holdings Inc. / KIK Custom Products Inc. 5.00% 2026/12/31 Callable, USD 115,000 152 151

Kronos Acquisition Holdings Inc. / KIK Custom Products Inc. 7.00% 2027/12/31 Callable, USD 60,000 79 76

L Brands Inc. 7.50% 2029/06/15 Callable, USD 90,000 127 130

L Brands Inc. 6.75% 2036/07/01 USD 75,000 89 115

L3Harris Technologies Inc. 5.05% 2045/04/27 Callable, USD 220,000 318 361

Ladder Capital Commercial Mortgage Securities LLC 4.71% 2050/07/12 Class 'C', Series '2017-LC26',

Callable, USD 300,000 401 379

Lamar Media Corp. 3.63% 2031/01/15 Callable, USD 45,000 57 57

Lamb Weston Holdings Inc. 4.63% 2024/11/01 Callable, USD 90,000 121 119

Lamb Weston Holdings Inc. 4.88% 2026/11/01 Callable, USD 50,000 67 66

LBM Acquisition LLC 6.25% 2029/01/15 Callable, USD 50,000 66 65

LD Holdings Group LLC 6.50% 2025/11/01 Callable, USD 25,000 33 34

Legacy LifePoint Health LLC 4.38% 2027/02/15 Callable, USD 130,000 173 165

Legacy Mortgage Asset Trust 4.25% 2058/06/25 Class 'A2', Series '18-GS3',

Step Rate, Callable, USD 500,000 665 638


Step Rate, Callable, USD 2,200,000 2,878 2,809



USD 2,200,000 2,903 2,809

Legends Hospitality Holding Co. LLC / Legends Hospitality

Co-Issuer Inc.

5.00% 2026/02/01 Callable, USD

40,000 51 52

Level 3 Financing Inc. 5.25% 2026/03/15 Callable, USD 285,000 356 374



LifePoint Health Inc. 5.38% 2029/01/15 Callable, USD 35,000 46 45

Lions Gate Capital Holdings LLC 6.38% 2024/02/01 Callable, USD 95,000 127 124

Live Nation Entertainment Inc. 4.88% 2024/11/01 Callable, USD 10,000 13 13



Lockheed Martin Corp. 3.80% 2045/03/01 Callable, USD 150,000 189 217

Logan Merger Sub Inc. 5.50% 2027/09/01 Callable, USD 15,000 20 20

LSF9 Atlantis Holdings LLC / Victra Finance Corp. 7.75% 2026/02/15 Callable, USD 40,000 51 52



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24


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

LSTAR Commercial Mortgage Trust 1.77% 2049/03/10 Class 'XA', Series '2016-4',


USD 332,401 43 21

LSTAR Commercial Mortgage Trust 4.59% 2049/03/10 Class 'C', Series '2016-4',


USD 89,000 110 109

Lumen Technologies Inc. 6.75% 2023/12/01 USD 110,000 138 155

Lumen Technologies Inc. 7.50% 2024/04/01 Series 'Y', Callable, USD 251,000 370 359

Lumen Technologies Inc. 5.63% 2025/04/01 Callable, USD 100,000 112 137




M/I Homes Inc. 4.95% 2028/02/01 Callable, USD 40,000 52 53

Marriott Ownership Resorts Inc. / ILG LLC 6.50% 2026/09/15 Callable, USD 60,000 82 79

Match Group Holdings II LLC 4.63% 2028/06/01 Callable, USD 20,000 28 26

Match Group Inc. 5.00% 2027/12/15 Callable, USD 250,000 310 335

Mattel Inc. 5.88% 2027/12/15 Callable, USD 75,000 109 104

MBRT 2019 MBR 2.66% 2036/11/15 Class 'F', Series '19-MBR',


McDonald's Corp. 3.63% 2049/09/01 Callable, USD 20,000 31 27

McDonald's Corp. 4.20% 2050/04/01 Callable, USD 140,000 222 207

MercadoLibre Inc. 2.38% 2026/01/14 Callable, USD 200,000 254 256

Mercer International Inc. 5.50% 2026/01/15 Callable, USD 50,000 68 65

Mercer International Inc. 5.13% 2029/02/01 Callable, USD 102,000 130 132

Meritor Inc. 6.25% 2024/02/15 Callable, USD 46,000 64 59

Meritor Inc. 4.50% 2028/12/15 Callable, USD 10,000 13 13

MGM Growth Properties Operating Partnership L.P. / MGP

Finance Co-Issuer Inc.

5.75% 2027/02/01 Callable, USD

50,000 67 72

MGM Resorts International 6.75% 2025/05/01 Callable, USD 445,000 611 607

MGM Resorts International 5.75% 2025/06/15 Callable, USD 20,000 28 28

Mileage Plus Holdings LLC / Mileage Plus Intellectual Property

Assets Ltd.

6.50% 2027/06/20 Sinkable, USD

40,000 54 56

ModivCare Inc. 5.88% 2025/11/15 Callable, USD 25,000 33 34

Molina Healthcare Inc. 3.88% 2030/11/15 Callable, USD 20,000 26 27

Morgan Stanley 5.60% 2051/03/24 Variable Rate, Callable, USD 50,000 96 92

Morgan Stanley BAML Trust 4.48% 2047/08/15 Class 'C', Series '2014-C17',


USD 115,000 152 157

Morgan Stanley BAML Trust 1.00% 2047/12/15 Class 'XA', Series '2014-C19',


USD 1,129,147 88 42

Morgan Stanley Capital I Trust 2.06% 2034/11/15 Class 'E', Series '2017-CLS',


USD 242,000 309 308

Morgan Stanley Capital I Trust 2.71% 2034/11/15 Class 'F', Series '2017-CLS',


USD 524,000 686 671

Morgan Stanley Capital I Trust 2.91% 2036/05/15 Class 'F', Series '19-PLND',


USD 312,000 413 341

Morgan Stanley Capital I Trust 0.75% 2049/12/15 Class 'XA', Series

'2016-UB12', Variable


Morgan Stanley Mortgage Loan Trust 0.38% 2036/10/25 Class 'A3', Series '06-13AX',


USD 2,686,356 1,806 1,556

Mosaic Solar Loans LLC 4.47% 2046/04/20 Class 'C', Series '20-1A',

Callable, USD 350,000 476 458

Moss Creek Resources Holdings Inc. 7.50% 2026/01/15 Callable, USD 40,000 49 42

Motel 6 Trust 2.26% 2034/08/15 Class 'D', Series '2017-MTL6',


Motel 6 Trust 4.36% 2034/08/15 Class 'F', Series '17-MTL6',


MPH Acquisition Holdings LLC 5.75% 2028/11/01 Callable, USD 60,000 79 76

MPT Operating Partnership L.P. / MPT Finance Corp. 2.55% 2023/12/05 Callable, GBP 140,000 240 253

MPT Operating Partnership L.P. / MPT Finance Corp. 5.00% 2027/10/15 Callable, USD 600,000 733 815

MSCG Trust 3.16% 2037/10/15 Class 'F', Series '2018-SELF',


Murphy Oil USA Inc. 4.75% 2029/09/15 Callable, USD 35,000 47 48

Murphy Oil USA Inc. 3.75% 2031/02/15 Callable, USD 40,000 51 51

Nationstar Mortgage Holdings Inc. 6.00% 2027/01/15 Callable, USD 5,000 7 7

Nationstar Mortgage Holdings Inc. 5.50% 2028/08/15 Callable, USD 40,000 54 52

Natixis Commercial Mortgage Securities Trust 3.50% 2025/01/15 Class 'AMZ1', Series

'20-2PAC', Variable Rate,

USD 147,000 196 196



USD 85,000 111 111



USD 80,000 102 102

Natixis Commercial Mortgage Securities Trust 2.31% 2035/06/15 Class 'C', Series '2018-FL1',


Natixis Commercial Mortgage Securities Trust 3.25% 2036/12/15 Class 'MSK1', Series


USD 332,000 444 430

Navient Corp. 6.50% 2022/06/15 USD 285,000 399 377

Navient Corp. 5.88% 2024/10/25 USD 100,000 110 134

Navient Corp. 5.00% 2027/03/15 Callable, USD 30,000 40 37

Navistar International Corp. 6.63% 2025/11/01 Callable, USD 235,000 314 311



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25


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

Netflix Inc. 5.88% 2025/02/15 USD 100,000 137 146

Netflix Inc. 4.38% 2026/11/15 USD 435,000 564 622

Netflix Inc. 4.88% 2028/04/15 USD 85,000 107 123

Netflix Inc. 4.88% 2030/06/15 Callable, USD 15,000 20 22

New Residential Mortgage Loan Trust 3.81% 2060/01/26 Class 'B1', Series

'2020-NQM1', Variable

Rate, Callable, USD 2,910,000 3,801 3,732

Newell Brands Inc. 3.85% 2023/04/01 Callable, USD 47,000 65 63

Nexstar Escrow Inc. 5.63% 2027/07/15 Callable, USD 25,000 35 34

NFP Corp. 7.00% 2025/05/15 Callable, USD 5,000 7 7

NFP Corp. 6.88% 2028/08/15 Callable, USD 35,000 47 46

NGL Energy Operating LLC / NGL Energy Finance Corp. 7.50% 2026/02/01 Callable, USD 70,000 90 92

NGL Energy Partners L.P. / NGL Energy Finance Corp. 7.50% 2026/04/15 Callable, USD 40,000 47 42

NGPL Pipeco LLC 7.77% 2037/12/15 USD 210,000 324 357

Nike Inc. 3.38% 2050/03/27 Callable, USD 50,000 78 69

Nomura Resecuritization Trust 0.39% 2037/05/26 Class '3A12', Series '14-5R',


USD 1,917,155 2,322 2,398

Novelis Corp. 5.88% 2026/09/30 Callable, USD 135,000 178 179

Novelis Corp. 4.75% 2030/01/30 Callable, USD 165,000 220 219

NRG Energy Inc. 7.25% 2026/05/15 Callable, USD 275,000 375 365




NRZ Excess Spread-Collateralized Notes 4.09% 2054/07/25 Class 'B', Series '18-FNT2',

Callable, USD 627,091 825 800

NuStar Logistics L.P. 6.00% 2026/06/01 Callable, USD 70,000 97 95

NVIDIA Corp. 3.50% 2050/04/01 Callable, USD 120,000 184 164

NVIDIA Corp. 3.70% 2060/04/01 Callable, USD 30,000 46 42

Occidental Petroleum Corp. 2.90% 2024/08/15 Callable, USD 95,000 108 118







Occidental Petroleum Corp. 6.45% 2036/09/15 USD 40,000 46 58

Occidental Petroleum Corp. 6.20% 2040/03/15 USD 55,000 70 76



OneMain Financial Corp. 6.88% 2025/03/15 USD 29,000 37 42

OneMain Financial Corp. 7.13% 2026/03/15 USD 145,000 218 213

OneMain Financial Corp. 6.63% 2028/01/15 Callable, USD 10,000 13 14

OneMain Financial Corp. 5.38% 2029/11/15 Callable, USD 25,000 33 34

Open Text Holdings Inc. 4.13% 2030/02/15 Callable, USD 120,000 160 159

Ortho-Clinical Diagnostics Inc. / Ortho-Clinical Diagnostics SA 7.38% 2025/06/01 Callable, USD 2,000 3 3

Ortho-Clinical Diagnostics Inc. / Ortho-Clinical Diagnostics SA 7.25% 2028/02/01 Callable, USD 51,000 70 71

Outfront Media Capital LLC / Outfront Media Capital Corp. 4.63% 2030/03/15 Callable, USD 65,000 84 82

Pactiv LLC 8.38% 2027/04/15 Callable, USD 100,000 141 146

Par Petroleum LLC / Petroleum Finance Corp. 7.75% 2025/12/15 Callable, USD 65,000 84 81

Parsley Energy LLC / Parsley Finance Corp. 5.63% 2027/10/15 Callable, USD 60,000 80 84

Pattern Energy Operations L.P. / Pattern Energy Operations Inc. 4.50% 2028/08/15 Callable, USD 60,000 82 80

PBF Holding Co. LLC / PBF Finance Corp. 6.00% 2028/02/15 Callable, USD 20,000 26 16

Peabody Energy Corp. 8.50% 2024/12/31 Payment-In-Kind, Callable,

USD 17,000 13 15

Penn National Gaming Inc. 5.63% 2027/01/15 Callable, USD 65,000 83 86

PennyMac Financial Services Inc. 5.38% 2025/10/15 Callable, USD 50,000 67 67

PennyMac Financial Services Inc. 4.25% 2029/02/15 Callable, USD 25,000 32 31

Performance Food Group Inc. 5.50% 2027/10/15 Callable, USD 100,000 137 134

PetSmart Inc. 7.13% 2023/03/15 Callable, USD 35,000 44 45

PG&E Corp. 5.00% 2028/07/01 Callable, USD 20,000 27 27

PIC AU Holdings Corp. / PIC AU Holdings LLC 10.00% 2024/12/31 Callable, USD 17,000 20 19

Pike Corp. 5.50% 2028/09/01 Callable, USD 90,000 121 119

Pilgrim's Pride Corp. 5.75% 2025/03/15 Callable, USD 75,000 95 97

Pilgrim's Pride Corp. 5.88% 2027/09/30 Callable, USD 85,000 110 116

PMT Credit Risk Transfer Trust 2.88% 2023/05/27 Class 'A', Series '2019-2R',


USD 1,496,710 1,966 1,879

Post Holdings Inc. 5.00% 2026/08/15 Callable, USD 75,000 98 100






Prime Security Services Borrower LLC / Prime Finance Inc. 5.25% 2024/04/15 USD 250,000 332 340

Prime Security Services Borrower LLC / Prime Finance Inc. 3.38% 2027/08/31 Callable, USD 55,000 71 68

Prime Security Services Borrower LLC / Prime Finance Inc. 6.25% 2028/01/15 Callable, USD 135,000 182 178

QEP Resources Inc. 5.25% 2023/05/01 Callable, USD 30,000 38 41

QEP Resources Inc. 5.63% 2026/03/01 Callable, USD 25,000 32 36

Rackspace Technology Global Inc. 5.38% 2028/12/01 Callable, USD 5,000 7 7

Radiate Holdco LLC / Radiate Finance Inc. 4.50% 2026/09/15 Callable, USD 35,000 46 45

Radiate Holdco LLC / Radiate Finance Inc. 6.50% 2028/09/15 Callable, USD 10,000 13 13

Radiology Partners Inc. 9.25% 2028/02/01 Callable, USD 240,000 319 334



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26


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

RALI Trust 0.50% 2036/08/25 Class '1A1', Series

'2006-QA7', Variable


Range Resources Corp. 5.00% 2022/08/15 Callable, USD 125,000 163 161

Rattler Midstream L.P. 5.63% 2025/07/15 Callable, USD 25,000 34 33

Real Hero Merger Sub 2 Inc. 6.25% 2029/02/01 Callable, USD 20,000 26 26

Realogy Group LLC / Realogy Co-Issuer Corp. 7.63% 2025/06/15 Callable, USD 25,000 34 35

Realogy Group LLC / Realogy Co-Issuer Corp. 5.75% 2029/01/15 Callable, USD 30,000 39 38

Rent-A-Center Inc. 6.38% 2029/02/15 Callable, USD 35,000 46 46

Resideo Funding Inc. 6.13% 2026/11/01 Callable, USD 37,000 50 49

Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC /

Reynolds Group Issuer (Luxembourg) SA

4.00% 2027/10/15 Callable, USD

20,000 26 25

Rite Aid Corp. 6.13% 2023/04/01 Callable, USD 127,000 168 161

Rite Aid Corp. 7.50% 2025/07/01 Callable, USD 73,000 99 97

Rockies Express Pipeline LLC 6.88% 2040/04/15 Callable, USD 300,000 445 424

RP Escrow Issuer LLC 5.25% 2025/12/15 Callable, USD 95,000 125 125

Sabre GLBL Inc. 9.25% 2025/04/15 Callable, USD 25,000 36 38

Schweitzer-Mauduit International Inc. 6.88% 2026/10/01 Callable, USD 45,000 59 61

Science Applications International Corp. 4.88% 2028/04/01 Callable, USD 15,000 20 20

Scientific Games International Inc. 5.00% 2025/10/15 Callable, USD 50,000 63 65

Scientific Games International Inc. 8.25% 2026/03/15 Callable, USD 20,000 27 27

Scotts Miracle-Gro Co. (The) 4.50% 2029/10/15 Callable, USD 60,000 80 81

Scripps Escrow II Inc. 3.88% 2029/01/15 Callable, USD 15,000 19 19

Scripps Escrow Inc. 5.88% 2027/07/15 Callable, USD 35,000 46 46

SEG Holding LLC / SEG Finance Corp. 5.63% 2028/10/15 Callable, USD 55,000 74 74

Select Medical Corp. 6.25% 2026/08/15 Callable, USD 80,000 109 109

Sensata Technologies Inc. 4.38% 2030/02/15 Callable, USD 55,000 72 75

Service Properties Trust 4.35% 2024/10/01 Callable, USD 30,000 38 38



SG Commercial Mortgage Securities Trust 1.96% 2048/10/10 Class 'XA', Series '2016-C5',


USD 396,950 70 34

Silgan Holdings Inc. 4.13% 2028/02/01 Callable, USD 60,000 81 79

Sinclair Television Group Inc. 5.50% 2030/03/01 Callable, USD 80,000 106 102

Sirius XM Radio Inc. 5.38% 2026/07/15 Callable, USD 190,000 262 250




Six Flags Entertainment Corp. 4.88% 2024/07/31 Callable, USD 70,000 92 89

Six Flags Theme Parks Inc. 7.00% 2025/07/01 Callable, USD 25,000 36 34

Social Professional Loan Program 2048/01/25 Class 'R1', Series '18-C', Zero

Coupon, USD 20,000 1,021 762

Solera LLC / Solera Finance Inc. 10.50% 2024/03/01 Callable, USD 20,000 29 26

Southern Copper Corp. 5.25% 2042/11/08 USD 150,000 163 238

Southwestern Energy Co. 6.20% 2025/01/23 Step Rate, Callable, USD 125,000 163 167

Southwestern Energy Co. 7.50% 2026/04/01 Callable, USD 52,000 63 70

Spectrum Brands Inc. 5.75% 2025/07/15 Callable, USD 90,000 122 118



Springfield Funding Trust 2.68% 2030/07/15 Class 'A', Series '17-AA',

Callable, USD 246,742 329 315

Sprint Capital Corp. 6.88% 2028/11/15 USD 115,000 149 185

Sprint Capital Corp. 8.75% 2032/03/15 USD 330,000 483 625

Sprint Communications Inc. 6.00% 2022/11/15 USD 65,000 81 89

Sprint Corp. 7.25% 2021/09/15 USD 200,000 279 262

Sprint Corp. 7.88% 2023/09/15 USD 185,000 263 270

Sprint Corp. 7.13% 2024/06/15 USD 360,000 484 528

Sprint Corp. 7.63% 2025/02/15 Callable, USD 50,000 68 76

Spruce Hill Mortgage Acquisition 4.33% 2055/06/25 Class 'M1', Series '20-SH2',


USD 800,000 1,091 1,022

Staples Inc. 7.50% 2026/04/15 Callable, USD 35,000 47 45

Staples Inc. 10.75% 2027/04/15 Callable, USD 15,000 21 18

Stevens Holding Co. Inc. 6.13% 2026/10/01 Callable, USD 50,000 65 69

Structured Asset Investment Loan Trust 0.25% 2036/07/25 Class 'A2', Series '2006-4',


USD 2,048,647 2,164 2,134

SunCoke Energy Partners L.P. 7.50% 2025/06/15 Callable, USD 80,000 104 106

Sunoco L.P. / Sunoco Finance Corp. 5.50% 2026/02/15 Callable, USD 50,000 64 66



Switch Ltd. 3.75% 2028/09/15 Callable, USD 20,000 26 26

Targa Resources Partners L.P. / Targa Resources Partners Finance

Corp.

5.88% 2026/04/15 Callable, USD

60,000 77 80


Corp.

5.38% 2027/02/01 Callable, USD

30,000 39 40


Corp.

6.50% 2027/07/15 Callable, USD

60,000 81 82


Corp.

6.88% 2029/01/15 Callable, USD

20,000 26 28


Corp.

5.50% 2030/03/01 Callable, USD

120,000 164 163


Corp.

4.88% 2031/02/01 Callable, USD

65,000 87 85

Tempo Acquisition LLC / Tempo Acquisition Finance Corp. 6.75% 2025/06/01 Callable, USD 95,000 127 124

Tempur Sealy International Inc. 5.50% 2026/06/15 Callable, USD 85,000 108 112



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27


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

Tenet Healthcare Corp. 4.63% 2024/07/15 Callable, USD 70,000 94 90







Tenneco Inc. 5.00% 2026/07/15 Callable, USD 155,000 189 186

Terex Corp. 5.63% 2025/02/01 Callable, USD 185,000 250 242

Terrier Media Buyer Inc. 8.88% 2027/12/15 Callable, USD 15,000 21 20

Tesla Inc. 5.30% 2025/08/15 Callable, USD 255,000 327 338

Tharaldson Hotel Portfolio Trust 3.45% 2034/11/11 Class 'E', Series '2018-THL',


Time Warner Cable Inc. 5.50% 2041/09/01 Callable, USD 90,000 124 139

T-Mobile USA Inc. 6.50% 2026/01/15 Callable, USD 150,000 217 197





Townsquare Media Inc. 6.88% 2026/02/01 Callable, USD 15,000 20 20

Transcontinental Gas Pipe Line Co. LLC 3.25% 2030/05/15 Callable, USD 60,000 85 82

TransDigm Inc. 6.50% 2025/05/15 Callable, USD 130,000 177 169






Trident Merger Sub Inc. 6.63% 2025/11/01 Callable, USD 35,000 44 45

Triumph Group Inc. 5.25% 2022/06/01 Callable, USD 100,000 133 127



Uber Technologies Inc. 8.00% 2026/11/01 Callable, USD 35,000 46 48

Uber Technologies Inc. 7.50% 2027/09/15 Callable, USD 20,000 26 28

UBS Commercial Mortgage Trust 0.92% 2050/06/15 Class 'XB', Series '2017-C1',


USD 2,413,000 260 168

UBS Commercial Mortgage Trust 4.70% 2051/02/15 Class 'C', Series '2018-C8',


USD 178,000 221 249

United Airlines Holdings Inc. 5.00% 2024/02/01 USD 90,000 100 118

United Natural Foods Inc. 6.75% 2028/10/15 Callable, USD 35,000 47 47

United Rentals North America Inc. 5.88% 2026/09/15 Callable, USD 285,000 394 381






United States Treasury Bond 1.75% 2022/03/31 USD 15,991,000 21,514 20,714



United States Treasury Bond 2.00% 2026/11/15 USD 330,000 420 445




United States Treasury Bond 2.88% 2049/05/15 USD 982,000 1,745 1,436


United States Treasury Bond 1.38% 2050/08/15 USD 240,000 287 251

Uniti Group L.P. / Uniti Group Finance Inc. / CSL Capital LLC 6.50% 2029/02/15 Callable, USD 35,000 45 45

Univar Solutions USA Inc. 5.13% 2027/12/01 Callable, USD 135,000 185 180

Univision Communications Inc. 6.63% 2027/06/01 Callable, USD 35,000 47 47

US Foods Inc. 6.25% 2025/04/15 Callable, USD 5,000 7 7

US Foods Inc. 4.75% 2029/02/15 Callable, USD 105,000 135 136

USA Compression Partners L.P. / USA Compression Finance Corp. 6.88% 2027/09/01 Callable, USD 70,000 96 94

Velocity Commercial Capital Loan Trust 4.29% 2050/02/25 Class 'M5', Series '2020-1',


USD 696,039 927 861

Verizon Communications Inc. 4.00% 2050/03/22 Callable, USD 100,000 167 138

Verscend Escrow Corp. 9.75% 2026/08/15 Callable, USD 68,000 91 93

Verus Securitization Trust 3.20% 2063/10/25 Class 'B1', Series '21-R1',


USD 1,078,900 1,370 1,387

Verus Securitization Trust 3.71% 2065/05/25 Class 'B1', Series '20-5',


USD 1,000,000 1,319 1,303

ViaSat Inc. 5.63% 2025/09/15 Callable, USD 160,000 194 208

ViaSat Inc. 6.50% 2028/07/15 Callable, USD 40,000 55 54

VICI Properties L.P. / VICI Note Co. Inc. 4.63% 2029/12/01 Callable, USD 280,000 354 375

Vine Oil & Gas L.P. / Vine Oil & Gas Finance Corp. 8.75% 2023/04/15 Callable, USD 15,000 19 19

Viper Energy Partners L.P. 5.38% 2027/11/01 Callable, USD 35,000 47 47

Visa Inc. 4.30% 2045/12/14 Callable, USD 100,000 152 158

Vivint Solar Financing LLC 4.73% 2048/04/30 Class 'A', Series '18-1A', USD 719,916 931 993

Vizient Inc. 6.25% 2027/05/15 Callable, USD 40,000 55 54

W.R. Grace & Co.-Conn. 4.88% 2027/06/15 Callable, USD 65,000 88 86

Washington Mutual Mortgage Pass-Through Certificates 6.50% 2036/03/25 Class '2CB', Series '06-2',

Callable, USD 2,610,650 2,493 2,604



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28


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

Washington Mutual Mortgage Pass-Through Certificates 3.24% 2046/08/25 Class '3A3', Series '06-AR10',


USD 563,520 698 696

Waste Pro USA Inc. 5.50% 2026/02/15 Callable, USD 35,000 45 46

Wave USA 6.41% 2044/09/15 Class 'C', Series '19-1', USD 745,532 988 649

Wells Fargo & Co. 4.75% 2046/12/07 USD 530,000 703 822

Wells Fargo & Co. 5.01% 2051/04/04 Variable Rate, Callable, USD 90,000 161 151

Wells Fargo Commercial Mortgage Trust 3.72% 2050/04/15 Class 'B', Series '15-LC20',

Callable, USD 334,000 466 452

Wells Fargo Commercial Mortgage Trust 4.06% 2050/04/15 Series '15-LC20', Variable


Wells Fargo Commercial Mortgage Trust 1.02% 2050/07/15 Class 'XA', Series '2017-C38',


USD 2,434,576 258 154



USD 2,628,368 287 181

Wells Fargo Commercial Mortgage Trust 3.75% 2053/06/15 Series '20-C56', Variable




USD 1,819,875 152 79

Western Digital Corp. 4.75% 2026/02/15 Callable, USD 150,000 183 211

Western Midstream Operating L.P. 3.10% 2025/02/01 Callable, USD 40,000 47 52



WeWork Cos. Inc. 7.88% 2025/05/01 USD 20,000 26 23

William Carter Co. (The) 5.63% 2027/03/15 Callable, USD 175,000 233 235

Williams Cos. Inc. (The) 8.75% 2032/03/15 USD 200,000 356 380

Williams Cos. Inc. (The) 5.75% 2044/06/24 Callable, USD 100,000 99 158

Wolverine Escrow LLC 9.00% 2026/11/15 Callable, USD 30,000 40 38

WPX Energy Inc. 5.25% 2027/10/15 Callable, USD 210,000 172 286



WW International Inc. 8.63% 2025/12/01 Callable, USD 60,000 77 80

Wyndham Hotels & Resorts Inc. 4.38% 2028/08/15 Callable, USD 35,000 47 46

XHR L.P. 6.38% 2025/08/15 Callable, USD 25,000 33 34

XPO Logistics Inc. 6.13% 2023/09/01 Callable, USD 90,000 118 117

Yum! Brands Inc. 7.75% 2025/04/01 Callable, USD 20,000 29 28

Yum! Brands Inc. 4.75% 2030/01/15 USD 70,000 93 93

Yum! Brands Inc. 3.63% 2031/03/15 Callable, USD 30,000 39 37

Zayo Group Holdings Inc. 4.00% 2027/03/01 Callable, USD 45,000 60 57

Zayo Group Holdings Inc. 6.13% 2028/03/01 Callable, USD 90,000 123 118

236,117 229,198 51.4%

TOTAL INTERNATIONAL BONDS 400,802 389,549 87.3%

TOTAL BONDS 414,865 403,611 90.5%

INTERNATIONAL TERM LOANS

Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

10

CANADIAN TERM LOANS (note 10)

1011778 B.C. ULC 1.87% 2026/11/19 Term Loan, USD 367,544 476 464

Bausch Health Americas Inc. 3.12% 2025/06/02 Term Loan, USD 90,508 121 116

Bausch Health Americas Inc. 2.87% 2025/11/27 Term Loan, USD 82,500 108 105

Clarios Global L.P. 3.62% 2026/04/30 Term Loan, USD 407,325 538 520

Four Seasons Hotels Ltd. 2.12% 2023/11/30 Term Loan, USD 123,804 164 157

Garda World Security Corp. 4.99% 2026/10/30 Term Loan, USD 192,378 256 246

Kronos Acquisition Holdings Inc. 4.25% 2026/12/22 Term Loan, USD 130,000 165 165

Titan Acquisition Ltd. 3.27% 2025/03/28 Term Loan, USD 39,593 51 50

WestJet Airlines Ltd. 4.00% 2026/12/11 Term Loan, USD 49,438 65 61

1,944 1,884 0.4%

TOTAL CANADIAN TERM LOANS 1,944 1,884 0.4%

4

Denmark (note 10)

TDC AS 3.00% 2025/06/04 Term Loan, EUR 230,000 349 353

349 353 0.1%

4, 10

France (note 10)

Altice France SA 4.20% 2026/08/14 Term Loan, USD 109,440 143 140

Hestia Holding SASU 4.00% 2027/06/18 Term Loan, EUR 130,000 191 201

334 341 0.1%

10

Luxembourg (note 10)

Camelot Finance SA 4.00% 2026/10/30 Term Loan, USD 105,000 139 134

Delta 2 (Lux) SARL 3.50% 2024/02/01 Term Loan, USD 140,000 180 178

Intelsat Jackson Holdings SA 6.50% 2021/07/14 Term Loan, USD 12,384 17 16

Intelsat Jackson Holdings SA 8.00% 2023/11/27 Term Loan, USD 82,358 103 107

ION Trading Finance Ltd. 5.00% 2024/11/21 Term Loan, USD 21,410 28 27

467 462 0.1%

10

Netherlands (note 10)

Diamond (BC) BV 3.12% 2024/09/06 Term Loan, USD 34,555 44 44

Nouryon USA LLC 3.11% 2025/10/01 Term Loan, USD 138,177 179 176

223 220 0.0%



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29


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

4, 10

United Kingdom (note 10)

Froneri Lux FinCo SARL 2.63% 2027/01/29 Term Loan, EUR 150,000 218 230

Froneri US Inc. 2.37% 2027/01/29 Term Loan, USD 184,075 243 232

INEOS 226 Ltd. 2.75% 2026/01/21 Term Loan, EUR 150,000 229 229

690 691 0.2%

4, 10


Abe Investment Holdings Inc. 4.63% 2026/02/19 Term Loan, USD 34,273 45 43

Access CIG LLC 3.87% 2025/02/27 Term Loan, USD 34,556 45 44

Acrisure LLC 3.62% 2027/02/15 Term Loan, USD 101,776 136 129

Air Methods Corp. 4.50% 2024/04/22 Term Loan, USD 54,436 62 67

Aldevron LLC 4.25% 2026/10/12 Term Loan, USD 94,313 124 121

AlixPartners LLP 3.25% 2028/02/04 Term Loan, USD 110,000 141 140

Allied Universal Holdco LLC 4.37% 2026/07/10 Term Loan, USD 79,200 103 101

Alterra Mountain Co. 2.87% 2024/07/31 Term Loan, USD 211,573 281 268

American Airlines Inc. 2.13% 2023/12/14 Term Loan, USD 67,612 89 81

American Tire Distributors Inc. 8.50% 2024/09/02 Term Loan, USD 24,687 29 31

Applied Systems Inc. 4.00% 2024/09/19 Term Loan, USD 134,306 176 172

Aramark Services Inc. 1.87% 2025/03/11 Term Loan, USD 189,799 239 239

Arches Buyer Inc. 4.50% 2027/12/06 Term Loan, USD 115,000 148 146

Ascend Learning LLC 4.00% 2024/07/12 Term Loan, USD 133,445 176 170

Asplundh Tree Expert LLC 2.62% 2027/09/04 Term Loan, USD 49,875 66 64

AssuredPartners Inc. 3.62% 2027/02/12 Term Loan, USD 150,969 193 192

Asurion LLC 3.12% 2023/11/03 Term Loan, USD 281,533 371 358



athenahealth Inc. 4.45% 2026/02/11 Term Loan, USD 108,618 145 139

Avantor Funding Inc. 3.50% 2027/11/08 Term Loan, USD 115,000 152 148

Avaya Inc. 4.36% 2027/12/15 Term Loan, USD 189,449 247 242

Avaya Inc. 4.11% 2027/12/15 Term Loan, USD 150,000 190 192

Bass Pro Group LLC 5.75% 2024/09/25 Term Loan, USD 44,654 57 57

Berry Global Inc. 2.12% 2024/01/19 Term Loan, USD 168,233 221 214

Blackhawk Network Holdings Inc. 3.12% 2025/06/16 Term Loan, USD 89,567 118 113

Blackstone CQP Holdco L.P. 3.74% 2024/09/30 Term Loan, USD 73,751 98 94

Boyd Gaming Corp. 2.34% 2023/09/15 Term Loan, USD 150,104 203 191

Brand Industrial Services Inc. 5.25% 2024/06/21 Term Loan, USD 44,589 57 57

Brightview Landscapes LLC 2.63% 2025/08/15 Term Loan, USD 107,250 140 137

Buckeye Partners L.P. 2.37% 2026/11/01 Term Loan, USD 59,550 78 76

Caesars Resort Collection LLC 2.87% 2024/12/23 Term Loan, USD 191,875 253 242

Caesars Resort Collection LLC 4.62% 2025/07/21 Term Loan, USD 44,888 59 57

Calpine Corp. 2.13% 2026/04/05 Term Loan, USD 244,193 326 309

Castle US Holding Corp. 4.00% 2027/01/29 Term Loan, USD 114,292 149 145

Cengage Learning Inc. 5.25% 2023/06/07 Term Loan, USD 39,483 49 50

Change Healthcare Holdings LLC 3.50% 2024/03/01 Term Loan, USD 202,487 267 258

Charter Communications Operating LLC 1.88% 2025/04/30 Term Loan, USD 154,041 195 196

Charter NEX US Inc. 5.00% 2027/12/01 Term Loan, USD 65,000 84 84

Clear Channel Outdoor Holdings Inc. 3.71% 2026/08/21 Term Loan, USD 34,812 43 43

ClubCorp Holdings Inc. 3.00% 2024/09/18 Term Loan, USD 64,642 79 78

Cornerstone Building Brands Inc. 3.86% 2025/04/12 Term Loan, USD 135,713 176 173

Cornerstone OnDemand Inc. 4.36% 2027/04/22 Term Loan, USD 59,374 81 76

CP Atlas Buyer Inc. 4.25% 2027/11/23 Term Loan, USD 115,000 149 146

CSC Holdings LLC 2.61% 2027/04/15 Term Loan, USD 148,500 198 189

Cvent Inc. 3.87% 2024/11/30 Term Loan, USD 93,713 120 115

CWGS Group LLC 3.50% 2023/11/08 Term Loan, USD 119,378 153 152

DCert Buyer Inc. 4.12% 2026/10/16 Term Loan, USD 238,800 311 305

Deerfield Dakota Holding LLC 4.75% 2027/04/09 Term Loan, USD 79,612 106 102

Delta Topco Inc. 4.50% 2027/12/01 Term Loan, USD 60,000 79 77

E.W. Scripps Co. (The) 3.31% 2026/05/01 Term Loan, USD 138,365 182 176

E.W. Scripps Co. (The) 3.75% 2028/01/07 Term Loan, USD 120,000 152 153

Edelmen Financial Center LLC (The) 3.12% 2025/07/21 Term Loan, USD 63,774 85 81

Endure Digital Inc. 4.25% 2028/02/10 Term Loan, USD 155,000 197 196

Energizer Holdings Inc. 2.75% 2027/12/22 Term Loan, USD 100,000 127 128

Entercom Media Corp. 2.62% 2024/11/18 Term Loan, USD 15,089 19 19

Envision Healthcare Corp. 3.87% 2025/10/10 Term Loan, USD 87,694 102 96

Filtration Group Corp. 3.12% 2025/03/31 Term Loan, USD 167,661 217 213

Finastra USA Inc. 4.50% 2024/06/13 Term Loan, USD 47,529 63 60

Finastra USA Inc. 8.25% 2025/06/13 Term Loan, USD 20,000 26 26

Flex Acquisition Co. Inc. 4.00% 2023/12/29 Term Loan, USD 66,649 87 85

Flex Acquisition Co. Inc. 3.24% 2025/06/30 Term Loan, USD 4,981 6 6

Flexential Intermediate Corp. 3.75% 2024/08/01 Term Loan, USD 29,693 33 36

Focus Financial Partners LLC 2.12% 2024/07/03 Term Loan, USD 108,608 145 138

Foundation Building Materials Inc. 3.75% 2028/01/29 Term Loan, USD 75,000 96 95

Gainwell Acquisition Corp. 4.75% 2027/10/01 Term Loan, USD 215,000 274 273

Genesee & Wyoming Inc. 2.25% 2026/12/30 Term Loan, USD 133,988 178 171

Gentiva Health Services Inc. 2.88% 2025/07/02 Term Loan, USD 144,073 190 184

Global Medical Response Inc. 5.75% 2025/10/02 Term Loan, USD 233,718 316 298

Go Daddy Operating Co. LLC 2.62% 2027/08/10 Term Loan, USD 59,700 79 76

GOBP Holdings Inc. 2.87% 2025/10/22 Term Loan, USD 82,516 107 105

Golden Nugget LLC 3.25% 2023/10/04 Term Loan, USD 130,151 146 165

GrafTech Finance Inc. 3.50% 2025/02/12 Term Loan, USD 18,065 24 23

Graham Packaging Co. Inc. 4.50% 2027/08/04 Term Loan, USD 58,780 78 75

Greeneden U.S. Holdings II LLC 4.75% 2027/12/01 Term Loan, USD 220,000 288 282

Grifols Worldwide Operations USA Inc. 2.09% 2027/11/15 Term Loan, USD 99,000 133 126

GTT Communications Inc. 3.00% 2025/05/30 Term Loan, USD 26,738 34 27

Harbor Freight Tools USA Inc. 4.00% 2027/10/19 Term Loan, USD 89,775 117 115



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30


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

HCA Inc. 1.87% 2025/03/13 Term Loan, USD 58,166 75 74

H-Food Holdings LLC 3.81% 2025/05/23 Term Loan, USD 44,481 58 56

Hilton Worldwide Finance LLC 1.88% 2026/06/22 Term Loan, USD 150,651 202 191

Hyland Software Inc. 4.25% 2024/07/01 Term Loan, USD 200,279 264 256

INEOS US Petrochem LLC 3.25% 2026/01/29 Term Loan, USD 125,000 158 160

IRB Holding Corp. 3.75% 2025/02/05 Term Loan, USD 113,819 148 146

Leslie's Poolmart Inc. 3.62% 2023/08/16 Term Loan, USD 198,479 265 253

Level 3 Financing Inc. 1.87% 2027/03/01 Term Loan, USD 128,185 169 163

LifePoint Health Inc. 3.87% 2025/11/17 Term Loan, USD 305,377 408 390

Lower Cadence Holdings LLC 4.12% 2026/05/22 Term Loan, USD 80,523 107 101

Lummus Technology Holdings V LLC 3.61% 2027/06/30 Term Loan, USD 64,838 86 83

Mavis Tire Express Services Corp. 3.50% 2025/03/20 Term Loan, USD 34,564 44 44

McAfee LLC 3.87% 2024/09/30 Term Loan, USD 115,661 154 148

Messer Industries USA Inc. 2.75% 2026/03/02 Term Loan, USD 19,255 25 25

Michaels Stores Inc. 4.25% 2027/10/01 Term Loan, USD 143,541 192 183

Mister Car Wash Holdings Inc. 3.36% 2026/05/14 Term Loan, USD 49,448 66 62

Mitchell International Inc. 3.37% 2024/11/29 Term Loan, USD 138,462 181 175

MLN US Holdco LLC 4.61% 2025/11/30 Term Loan, USD 20,949 27 25

Nexstar Broadcasting Inc. 2.87% 2026/09/18 Term Loan, USD 43,137 58 55

OneDigital Borrower LLC 0.00% 2027/11/16 Term Loan, USD 13,477 18 17

OneDigital Borrower LLC 5.25% 2027/11/16 Term Loan, USD 136,523 177 175

Option Care Health Inc. 3.87% 2026/08/06 Term Loan, USD 381,200 503 486

Ortho-Clinical Diagnostics SA 3.50% 2025/06/30 Term Loan, EUR 119,100 173 183

PAREXEL International Corp. 2.87% 2024/09/27 Term Loan, USD 261,976 335 332

Petco Animal Supplies Inc. 4.25% 2023/01/26 Term Loan, USD 241,110 287 307

PetSmart Inc. 4.25% 2028/01/28 Term Loan, USD 75,000 95 96

PG&E Corp. 3.50% 2025/06/23 Term Loan, USD 54,725 73 70

Playtika Holding Corp. 7.00% 2024/12/10 Term Loan, USD 34,103 46 44

Prime Security Services Borrower LLC 3.50% 2026/09/23 Term Loan, USD 204,872 270 261

Project Alpha Intermediate Holding Inc. 4.15% 2024/04/26 Term Loan, USD 137,023 184 175

Rackspace Technology Global Inc. 3.50% 2028/02/03 Term Loan, USD 160,000 204 204

Radiate Holdco LLC 4.25% 2026/09/25 Term Loan, USD 120,000 157 154

Radiology Partners Inc. 4.80% 2025/07/09 Term Loan, USD 114,062 148 145

RealPage Inc. 4.00% 2028/02/18 Term Loan, USD 140,000 177 179

RentPath LLC 7.00% 2021/12/17 Term Loan, USD 47,438 60 53

RentPath LLC 8.00% 2021/02/28 Term Loan, USD 8,238 10 11

Reynolds Consumer Products LLC 1.87% 2027/02/04 Term Loan, USD 27,620 37 35

Reynolds Group Holdings Inc. 2.87% 2023/02/06 Term Loan, USD 71,556 93 91

Scientific Games International Inc. 2.87% 2024/08/14 Term Loan, USD 232,068 293 291

Securus Technologies Holdings LLC 5.50% 2024/11/01 Term Loan, USD 40,792 53 48

Sedgwick Claims Management Services Inc. 3.37% 2025/12/31 Term Loan, USD 276,474 361 350

Sedgwick Claims Management Services Inc. 4.12% 2026/09/03 Term Loan, USD 19,700 26 25

Select Medical Corp. 2.53% 2025/03/06 Term Loan, USD 135,000 175 172

SolarWinds Holdings Inc. 2.87% 2024/02/05 Term Loan, USD 134,308 174 169

Solenis International L.P. 4.23% 2025/06/26 Term Loan, USD 68,875 90 88

Solera LLC 2.87% 2023/03/03 Term Loan, USD 170,086 221 216

Sophia L.P. 4.50% 2027/10/07 Term Loan, USD 135,000 179 173

Sotera Health Holdings LLC 3.25% 2026/12/11 Term Loan, USD 275,000 350 351

Surf Holdings LLC 3.73% 2027/03/05 Term Loan, USD 94,525 123 120

Tapstone Energy Holdings III LLC 5.00% 2024/04/17 Term Loan, USD 607 – 1

Team Health Holdings Inc. 3.75% 2024/02/06 Term Loan, USD 24,743 27 30

Tech Data Corp. 3.62% 2025/06/30 Term Loan, USD 79,800 107 102

Tempo Acquisition LLC 3.75% 2026/11/02 Term Loan, USD 134,325 174 171

TIBCO Software Inc. 3.88% 2026/06/30 Term Loan, USD 84,538 112 108

TKC Holdings Inc. 4.75% 2023/02/01 Term Loan, USD 89,390 121 112

Trans Union LLC 1.87% 2026/11/16 Term Loan, USD 79,687 108 102

TransDigm Inc. 2.37% 2025/12/09 Term Loan, USD 130,114 169 164

TricorBraun Holdings Inc. 3.75% 2028/01/29 Term Loan, USD 75,000 96 96

Uber Technologies Inc. 3.50% 2025/04/04 Term Loan, USD 215,000 271 274

UFC Holdings LLC. 3.75% 2026/04/29 Term Loan, USD 236,578 315 302

UKG Inc. 4.00% 2026/05/04 Term Loan, USD 79,800 107 102

Ultimate Software Group Inc. (The) 3.87% 2026/05/04 Term Loan, USD 94,084 126 120

United Natural Foods Inc. 3.62% 2025/10/22 Term Loan, USD 14,204 16 18

Univision Communications Inc. 4.75% 2026/03/16 Term Loan, USD 253,635 331 325

Verscend Holding Corp. 4.00% 2025/08/27 Term Loan, USD 75,000 95 96

Vertical U.S. Newco Inc. 4.48% 2027/07/30 Term Loan, USD 149,625 199 192

VICI Properties 1 LLC 1.86% 2024/12/20 Term Loan, USD 78,636 98 100

Virgin Media Bristol LLC 2.63% 2028/01/31 Term Loan, USD 332,120 441 422

VS Buyer LLC 3.37% 2027/02/28 Term Loan, USD 134,124 178 171

Whatabrands LLC 2.86% 2026/08/03 Term Loan, USD 239,902 314 306

Wynn Resorts Finance LLC 1.88% 2024/09/20 Term Loan, USD 215,625 286 268

Zayo Group Holdings Inc. 3.12% 2027/03/09 Term Loan, USD 155,888 208 198

22,797 22,243 5.0%

TOTAL INTERNATIONAL TERM LOANS 24,860 24,310 5.5%

TOTAL TERM LOANS 26,804 26,194 5.9%

Less: Transaction costs included in average cost –

TOTAL INVESTMENTS 442,974 431,088 96.7%

Derivative assets 130 0.0%



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31


Security

Coupon

Rate (%)

Maturity


Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

Derivative liabilities (277) (0.1)%

Other Assets, less Liabilities 15,009 3.4%

TOTAL NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS 445,950 100.0%

1-11

Hedging reference number. Refers to a corresponding number on the Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts.

Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts (note 10)

Hedging Ref.

No.** Counterparty

Credit Rating for

Counterparty*

Settlement

Date

Currency

Buys Par Value

Currency

Sells Par Value Forward Rate Current Rate

Unrealized Gain

(Loss) ($000s)

1 Bank of New York Mellon (The), New York A-1+ 2021/03/16 AUD 8,852 CAD 8,687 0.981 0.979 –







1 Bank of New York Mellon (The), New York A-1+ 2021/03/16 AUD 973 CAD 960 0.987 0.979 –

























1 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 1,084 AUD 1,099 1.013 1.021 –

1 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 831 AUD 844 1.016 1.021 –



















1 JPMorgan Chase & Co., London A-2 2021/05/18 USD 1,272,535 AUD 1,648,131 1.295 1.299 5

2 Bank of New York Mellon (The), New York A-1+ 2021/03/16 BRL 14,517 CAD 3,428 0.236 0.227 –



2 Bank of New York Mellon (The), New York A-1+ 2021/03/16 BRL 3,799 CAD 893 0.235 0.227 –

2 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 199,624 BRL 847,389 4.245 4.406 7

2 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 49,717 BRL 211,044 4.245 4.406 2

2 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 1,934 BRL 8,208 4.245 4.406 –

2 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 1,049 BRL 4,452 4.245 4.406 –

2 JPMorgan Chase & Co., London A-2 2021/03/04 BRL 2,200,000 USD 407,234 0.185 0.178 (19)

2 JPMorgan Chase & Co., London A-2 2021/03/04 USD 410,073 BRL 2,200,000 5.365 5.605 22

2 JPMorgan Chase & Co., London A-2 2021/06/10 USD 405,597 BRL 2,200,000 5.424 5.630 19

3 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CNY 16,964 CAD 3,350 0.197 0.196 –


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32


Hedging Ref.

No.** Counterparty

Credit Rating for

Counterparty*

Settlement

Date

Currency

Buys Par Value

Currency


Unrealized Gain

(Loss) ($000s)



3 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CNY 4,205 CAD 829 0.197 0.196 –

3 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 185,382 CNY 943,170 5.088 5.092 –




3 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 974 CNY 4,955 5.088 5.092 –

3 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 600 CNY 3,104 5.170 5.092 –

3 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 21 CNY 109 5.170 5.093 –

3 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 12 CNY 60 5.171 5.092 –

4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 EUR 1,786 CAD 2,751 1.540 1.536 –

4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 EUR 1,715 CAD 2,625 1.531 1.536 –

4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 EUR 663 CAD 1,019 1.537 1.536 –

4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 EUR 600 CAD 919 1.532 1.536 –




4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 261,098 EUR 169,541 0.649 0.651 1

4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 65,027 EUR 42,225 0.649 0.651 –

4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 2,529 EUR 1,642 0.649 0.651 –

4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 1,372 EUR 891 0.649 0.651 –

4 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 780 EUR 513 0.657 0.651 –



4 Citibank, London A-1 2021/05/18 EUR 164,000 USD 197,805 1.206 1.209 1

4 Goldman Sachs Group Inc. (The), London A-2 2021/05/18 EUR 435,000 USD 529,076 1.216 1.209 (4)

4 JPMorgan Chase & Co., London A-2 2021/05/18 EUR 1,804,000 USD 2,193,868 1.216 1.209 (17)

4 Royal Bank of Canada, London A-1+ 2021/05/18 EUR 309,794 USD 373,394 1.205 1.209 1

4 BNP Paribas SA, Paris A-1 2021/05/18 USD 3,268,367 EUR 2,716,000 0.831 0.827 (18)

4 Citibank, London A-1 2021/05/18 USD 111,770 EUR 92,000 0.823 0.827 1

4 JPMorgan Chase & Co., London A-2 2021/05/18 USD 1,207,144 EUR 995,903 0.825 0.827 4

4 JPMorgan Chase & Co., London A-2 2021/05/18 USD 170,173 EUR 140,000 0.823 0.827 1

4 UBS AG, Stamford A-1 2021/05/18 USD 4,047,906 EUR 3,358,553 0.830 0.827 (15)

5 Bank of New York Mellon (The), New York A-1+ 2021/03/16 GBP 1,201 CAD 2,116 1.762 1.773 –

5 Bank of New York Mellon (The), New York A-1+ 2021/03/16 GBP 790 CAD 1,397 1.767 1.773 –



5 Bank of New York Mellon (The), New York A-1+ 2021/03/16 GBP 509 CAD 897 1.763 1.773 –
































5 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 30,522 GBP 17,385 0.570 0.564 –

5 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 7,602 GBP 4,330 0.570 0.564 –

5 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 1,136 GBP 645 0.568 0.564 –

5 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 471 GBP 268 0.570 0.564 –







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33


Hedging Ref.

No.** Counterparty

Credit Rating for

Counterparty*

Settlement

Date

Currency

Buys Par Value

Currency


Unrealized Gain

(Loss) ($000s)




5 Goldman Sachs Group Inc. (The), London A-2 2021/05/18 USD 228,617 GBP 165,000 0.722 0.718 (2)

5 Royal Bank of Canada, London A-1+ 2021/05/18 USD 4,477,971 GBP 3,258,223 0.728 0.718 (80)

5 Royal Bank of Canada, London A-1+ 2021/05/18 USD 193,213 GBP 140,000 0.725 0.718 (2)

6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 IDR 36,008,930 CAD 3,263 0.000091 0.000089 –





6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 IDR 8,491,509 CAD 746 0.000088 0.000089 –



6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 IDR 369,290 CAD 33 0.000090 0.000089 –




6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 199,957 IDR 2,210,358,047 11,054.187 11,271.542 4

6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 49,800 IDR 550,494,936 11,054.188 11,271.543 1

6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 2,200 IDR 24,857,640 11,300.725 11,271.568 –



6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 671 IDR 7,581,195 11,300.711 11,271.476 –

6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 26 IDR 299,243 11,300.718 11,270.923 –

6 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 14 IDR 163,533 11,301.520 11,270.365 –

6 Citibank, London A-1 2021/03/04 IDR 8,147,898,351 USD 573,998 0.000070 0.000070 (3)

6 Citibank, London A-1 2021/03/04 USD 569,620 IDR 8,147,898,351 14,304.100 14,254.756 (3)

6 Citibank, London A-1 2021/06/10 USD 566,534 IDR 8,147,898,351 14,382.000 14,611.520 11

7 Bank of New York Mellon (The), New York A-1+ 2021/03/16 JPY 276,236 CAD 3,343 0.012 0.012 –



7 Bank of New York Mellon (The), New York A-1+ 2021/03/16 JPY 70,009 CAD 841 0.012 0.012 –

7 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 192,095 JPY 15,843,040 82.475 83.750 3

7 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 47,842 JPY 3,945,747 82.475 83.750 1

7 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 1,879 JPY 157,402 83.750 83.750 –



7 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 592 JPY 50,158 84.751 83.750 –

7 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 21 JPY 1,774 84.759 83.758 –

7 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 12 JPY 981 84.715 83.775 –

8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 MXN 68,079 CAD 4,106 0.060 0.061 –







8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 MXN 15,567 CAD 953 0.061 0.061 –

8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 MXN 15,541 CAD 940 0.060 0.061 –

8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 MXN 890 CAD 54 0.060 0.061 –




8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 258,831 MXN 4,103,779 15.855 16.468 10

8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 64,462 MXN 1,022,056 15.855 16.468 3

8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 2,736 MXN 44,665 16.322 16.468 –



8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 716 MXN 11,715 16.356 16.468 –

8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 28 MXN 463 16.358 16.468 –

8 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 15 MXN 253 16.357 16.463 –

Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 0 PLN 0 3.000 3.000 –

9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 RUB 385,600 CAD 6,614 0.017 0.017 –






9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 RUB 2,315 CAD 40 0.017 0.017 –



9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 RUB 850 CAD 15 0.017 0.017 –

9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 279,139 RUB 16,305,275 58.413 58.720 2

9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 69,520 RUB 4,060,867 58.413 58.720 –

9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 2,905 RUB 171,734 59.120 58.720 –



9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 745 RUB 43,875 58.926 58.720 –


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34


Hedging Ref.

No.** Counterparty

Credit Rating for

Counterparty*

Settlement

Date

Currency

Buys Par Value

Currency


Unrealized Gain

(Loss) ($000s)

9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 30 RUB 1,740 58.928 58.729 –

9 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 16 RUB 953 58.928 58.710 –

10 Bank of New York Mellon (The), New York A-1+ 2021/03/16 USD 304,140 CAD 386,366 1.270 1.273 1




10 Bank of New York Mellon (The), New York A-1+ 2021/03/16 USD 73,420 CAD 93,440 1.273 1.273 –

10 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 25,174,236 USD 19,850,557 0.789 0.786 (86)

10 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 6,269,703 USD 4,943,829 0.789 0.786 (22)

10 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 265,994 USD 211,018 0.793 0.786 (3)




10 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 2,838 USD 2,270 0.800 0.786 –

10 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 1,569 USD 1,255 0.800 0.786 –

11 Bank of New York Mellon (The), New York A-1+ 2021/03/16 ZAR 10,180 CAD 870 0.085 0.084 –













11 Bank of New York Mellon (The), New York A-1+ 2021/03/16 ZAR 924 CAD 77 0.084 0.084 –



















11 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 11,531 ZAR 134,171 11.635 11.915 –



11 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 650 ZAR 7,486 11.525 11.915 –






11 Bank of New York Mellon (The), New York A-1+ 2021/03/16 CAD 77 ZAR 893 11.650 11.915 –











11 JPMorgan Chase & Co., London A-2 2021/05/18 USD 846,011 ZAR 12,660,000 14.964 15.281 22

Derivative Assets and Liabilities - Forwards (147)

* The credit rating of each counterparty (as rated by S&P Global Ratings, a division of S&P Global) of the forward foreign currency contracts held by the Pool meets or exceeds the minimum designated rating.

..

** See corresponding reference number on the Schedule of Investment Portfolio.


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35


Supplemental Schedule to Schedule of Investment Portfolio (unaudited)

Offsetting Arrangements (note 2d)

The Pool may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statement of Financial Position but still

allow for the related amounts to be set off in certain circumstances, such as bankruptcy or the termination of the contracts.

The following table reconciles the net amount of “Over-The-Counter“ derivatives presented in the Statement of Financial Position, as at February 28, 2021 and August 31, 2020, to:

• The gross amount before offsetting required under IFRS; and

• The net amount after offsetting under the terms of master netting arrangements or other similar arrangements, but which do not meet the criteria for offsetting under IFRS.

Financial Assets and Liabilities Amounts Offset Amounts Not Offset Net

Gross Assets

(Liabilities)

Amounts Offset Under

IFRS

Net Amounts

Presented on

Statements of

Financial Position

Master Netting

Arrangements

Cash Collateral

Received

As at February 28, 2021

OTC Derivative Assets $ 130 $ – $ 130 $ (86) $ – $ 44

OTC Derivative Liabilities (277) – (277) 86 – (191)

Total (147) – (147) – – (147)

As at August 31, 2020

OTC Derivative Assets $ 519 $ – $ 519 $ (74) $ – $ 445

OTC Derivative Liabilities (205) – (205) 74 – (131)

Total 314 – 314 – – 314

Interest in Underlying Funds (note 4)

As at February 28, 2021 and August 31, 2020, the Pool had no investments in Underlying Funds where the ownership exceeded 20% of each Underlying Fund.


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36


Financial Instrument Risks

Investment Objective: Renaissance Multi-Sector Fixed Income Private Pool (referred to

as the Pool) seeks to generate a high level of current income from a diversified portfolio

investing primarily in high yielding debt and investment grade fixed income securities of

issuers located anywhere in the world.

Investment Strategies: The Pool seeks current income and capital appreciation by active

asset allocation among market sectors in the fixed income universe, which may include

U.S. Government securities, corporate debt securities, mortgage and asset backed

securities, foreign debt securities, emerging market debt securities, loans and high yield

debt securities.

Significant risks that are relevant to the Pool are discussed here. General information on

risk management and specific discussion on concentration, credit, currency, interest

rate, liquidity, and other price/market risk can be found in note 2 of the financial

statements.

In the following risk tables, Net Assets is defined as meaning “Net assets attributable

to holders of redeemable units".

Concentration Risk as at February 28, 2021 and August 31, 2020

The Schedule of Investment Portfolio presents the securities held by the Pool as at

February 28, 2021.

The following table presents the investment sectors held by the Pool as at August 31,

2020, and groups the securities by asset type, industry sector, geographic region, or

currency exposure:


Portfolio Breakdown

% of

Net Assets

United States Equities 0.3

Canadian Bonds

Corporate 2.9

International Bonds

Argentina 0.4

Australia 0.3

Austria 0.1

Bermuda 0.5

Brazil 1.0

British Virgin Islands 0.7

Cayman Islands 12.4

Chile 0.3

China 0.3

Colombia 0.4

Côte d'Ivoire 0.1

Curacao 0.2

Dominican Republic 0.1

Egypt 0.2

France 1.1

Germany 0.7

Ghana 0.1

Honduras 0.1

Hong Kong 0.1

India 0.2

Indonesia 1.0

Ireland 0.1

Israel 0.1

Italy 0.6

Japan 0.7

Jersey, Channel Islands 0.1

Kazakhstan 0.1

Luxembourg 0.8

Malaysia 0.2

Mauritius 0.3

Mexico 1.6

Morocco 0.1

Netherlands 2.0

Nigeria 0.1

Panama 0.8

Peru 0.4

Philippines 0.1

Qatar 0.4

Russia 0.9

Saudi Arabia 0.2

Singapore 0.8

South Africa 0.4

South Korea 0.3

Spain 0.1

Sweden 0.2

Switzerland 0.2

Thailand 0.1

Turkey 0.1

Portfolio Breakdown

% of

Net Assets

United Arab Emirates 0.4

United Kingdom 1.1

United States 51.4

Canadian Term Loans 0.3

International Term Loans

Denmark 0.1

Luxembourg 0.1

United Kingdom 0.1

United States 4.1

Short-Term Investments 0.6

Derivative Assets (Liabilities) 0.1

Other Assets, less Liabilities 6.4

Total 100.0

Credit Risk

Credit ratings represent a consolidation of the ratings provided by various outside

service providers and are subject to change, which could be material.

See the Schedule of Investment Portfolio for counterparties related to over-the-counter

derivative contracts, where applicable.

As at February 28, 2021 and August 31, 2020, the Pool invested in debt securities with

the following credit ratings:

% of Net Assets

Debt Securities by Credit Rating (note 2b) February 28, 2021 August 31, 2020

'AAA' 13.7 15.2

'AA' 6.3 5.6

'A' 6.0 5.3

'BBB' 19.6 19.3

Below 'BBB' 45.7 43.8

Unrated 5.1 4.0

Total 96.4 93.2

Currency Risk

The tables that follow indicate the currencies to which the Pool had significant

exposure as at February 28, 2021 and August 31, 2020, based on the market value of the

Pool's financial instruments (including cash and cash equivalents) and the underlying

principal amounts of forward foreign currency contracts, as applicable.


Currency (note 2n)

Total Currency

Exposure* ($000s)

% of

Net Assets

USD 386,153 86.6

RUB 4,144 0.9

EUR 3,941 0.9

MXN 3,701 0.8

IDR 2,986 0.7

BRL 2,919 0.7

JPY 2,897 0.6

CNY 2,848 0.6

* Amounts reflect the carrying value of monetary and non-monetary items (including the notional

amount of forward foreign currency contracts, if any).


Currency (note 2n)

Total Currency

Exposure* ($000s)

% of

Net Assets

USD 380,277 87.3

RUB 3,706 0.9

JPY 2,995 0.7

EUR 2,944 0.7

IDR 2,854 0.7

BRL 2,378 0.5

MXN 2,264 0.5

* Amounts reflect the carrying value of monetary and non-monetary items (including the notional

amount of forward foreign currency contracts, if any).


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37


The table that follows indicates how net assets as at February 28, 2021 and August 31,

2020, would have decreased or increased had the Canadian dollar strengthened or

weakened by 1% in relation to all foreign currencies. This analysis assumes that all

other variables remain unchanged. In practice, the actual results may differ from this

analysis and the difference could be material.


Impact on Net Assets ($000s) 4,112 4,006

Interest Rate Risk

The Pool’s short-term assets and liabilities were not subject to significant amounts of

risk due to fluctuations in the prevailing level of market interest rates.

The table that follows indicates the Pool’s exposure to fixed income securities by

remaining term-to-maturity.

Remaining Term-to-Maturity

February 28, 2021

($000s)

August 31, 2020

($000s)

Less than 1 year 5,640 3,330

1-3 years 54,863 75,352

3-5 years 70,586 58,147

> 5 years 298,716 266,860

Total 429,805 403,689


2020 would have increased or decreased had the interest rate decreased or increased

by 25 basis points and assuming a parallel shift in the yield curve. This change is

estimated using the weighted average duration of the fixed income portfolio. This

analysis assumes that all other variables remain unchanged. In practice, actual results

may differ from this analysis and the difference could be material.


Impact on Net Assets ($000s) 5,131 4,461

Liquidity Risk

Liquidity risk is the risk that the Pool will encounter difficulty in meeting obligations

associated with financial liabilities. The Pool is exposed to daily cash redemptions of

redeemable units. The Pool maintains sufficient cash on hand to fund anticipated

redemptions.

With the exception of derivative contracts, where applicable, all of the Pool’s financial

liabilities are short-term liabilities maturing within 90 days after the period end.

For pools that hold derivative contracts with a term-to-maturity that exceeds 90 days

from the period end, further information related to those contracts can be referenced in

the derivative schedules following the Schedule of Investment Portfolio.

Other Price/Market Risk


2020 would have increased or decreased had the value of the Pool’s benchmark(s)

increased or decreased by 1%. This change is estimated based on the historical

correlation between the return of Premium Class units of the Pool as compared to the

return of the Pool’s benchmark(s), using 36 monthly data points, as available, based on

the monthly net returns of the Pool. This analysis assumes that all other variables

remain unchanged. The historical correlation may not be representative of the future

correlation and, accordingly, the impact on net assets could be materially different.

x

Impact on Net Assets ($000s)

Benchmark February 28, 2021 August 31, 2020

Bloomberg Barclays U.S. Aggregate Bond Index

686 1,586

LIBOR USD 3 Month

47 1,426

90% LIBOR USD 3 Month

10% Bank of America Merrill Lynch BB-B US Cash Pay

High Yield Index

373 1,790

Fair Value Measurement of Financial Instruments

The following is a summary of the inputs used as at February 28, 2021 and August 31,

2020, in valuing the Pool’s financial assets and financial liabilities, carried at fair value:


Classification

Level 1 (i)

($000s)

Level 2 (ii)

($000s)

Level 3 (iii)

($000s)

Total

($000s)

Financial Assets

x

Fixed Income Securities – 429,805 – 429,805

Equities 1,279 4 – 1,283

Derivative assets – 130 – 130

Total Financial Assets 1,279 429,939 – 431,218

Financial Liabilities

x

Derivative liabilities – (277) – (277)

Total Financial Liabilities – (277) – (277)

Total Financial Assets and Liabilities 1,279 429,662 – 430,941

(i) Quoted prices in active markets for identical assets

(ii) Significant other observable inputs

(iii) Significant unobservable inputs


Classification

Level 1 (i)

($000s)

Level 2 (ii)

($000s)

Level 3 (iii)

($000s)

Total

($000s)

Financial Assets

x

Fixed Income Securities – 403,689 – 403,689

Short-Term Investments – 2,608 – 2,608

Equities 1,120 3 – 1,123

Derivative assets – 519 – 519

Total Financial Assets 1,120 406,819 – 407,939

Financial Liabilities

x

Derivative liabilities – (205) – (205)

Total Financial Liabilities – (205) – (205)

Total Financial Assets and Liabilities 1,120 406,614 – 407,734

(i) Quoted prices in active markets for identical assets

(ii) Significant other observable inputs

(iii) Significant unobservable inputs

Transfer of assets between Level 1 and Level 2

Financial assets and liabilities transferred from Level 1 to Level 2 are the result of

securities no longer being traded in an active market.

For the periods ended February 28, 2021 and August 31, 2020, there were no transfers

of financial assets and liabilities from Level 1 to Level 2.

Financial assets and liabilities transferred from Level 2 to Level 1 are the result of

securities now being traded in an active market.

For the periods ended February 28, 2021 and August 31, 2020, there were no transfers

of financial assets and liabilities from Level 2 to Level 1.

Reconciliation of financial asset and liability movement – Level 3

The Pool did not hold any Level 3 investments at the beginning of, during, or at the end

of either reporting period.

e

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38

Notes to Financial Statements (unaudited)

x

As at and for the periods as disclosed in the financial statements (see note 1)

1. Renaissance Private Pools — Organization of the Pools and Financial Reporting Periods

Each of the Renaissance Private Pools (referred to individually, as a Pool, and collectively, as the Pools) is a mutual fund trust, except for Renaissance Multi-Asset Global Balanced Income Private Pool, Renaissanc

Multi-Asset Global Balanced Private Pool, Renaissance U.S. Equity Currency Neutral Private Pool, and Renaissance Global Equity Private Pool, which are unit trusts, organized under the laws of Ontario and

governed by a declaration of trust (referred to as the Declaration of Trust). The address of the Pools' head office is Brookfield Place, 161 Bay Street, 22

nd

Floor, Toronto, Ontario M5J 2S1.

The Pools are managed by CIBC Asset Management Inc. (referred to as the Manager). The Manager is also the trustee, registrar, portfolio advisor, and transfer agent of the Pools.

Each Pool may issue an unlimited number of classes of units and an unlimited number of units of each class. In the future, the offering of any classes of a Pool may be terminated or additional classes may be

offered. The following table indicates the classes of units offered for sale for each of the Pools:

Renaissance Ultra

Short-Term Income

Private Pool

Renaissance

Canadian Fixed

Income Private Pool

Renaissance

Multi-Sector Fixed

Income Private Pool

Renaissance Global

Bond Private Pool

Renaissance

Multi-Asset Global

Balanced Income

Private Pool

Renaissance

Multi-Asset Global

Balanced Private

Pool

Renaissance Equity

Income Private Pool

Class A

✓ ✓ ✓ ✓

Premium Class

✓ ✓ ✓ ✓ ✓ ✓ ✓

Premium-T4 Class

✓ ✓ ✓ ✓ ✓ ✓

Premium-T6 Class

✓ ✓ ✓ ✓ ✓ ✓

Class H-Premium

✓

Class H-Premium T4

✓

Class H-Premium T6

✓

Class C

✓ ✓ ✓

Class F-Premium

✓ ✓ ✓ ✓ ✓ ✓ ✓

Class F-Premium T4

✓ ✓ ✓ ✓ ✓ ✓

Class F-Premium T6

✓ ✓ ✓ ✓ ✓ ✓

Class FH-Premium

✓

Class FH-Premium T4

✓

Class FH-Premium T6

✓

Class N-Premium

✓ ✓ ✓ ✓ ✓ ✓ ✓

Class N-Premium T4

✓ ✓ ✓ ✓ ✓ ✓

Class N-Premium T6

✓ ✓ ✓ ✓ ✓ ✓

Class NH-Premium

✓

Class NH-Premium T4

✓

Class NH-Premium T6

✓

Class I

✓ ✓ ✓

Class O

✓ ✓ ✓ ✓ ✓ ✓ ✓

Class OH

✓

Class S

✓

..

Renaissance

Canadian Equity

Private Pool

Renaissance U.S.

Equity Private Pool

Renaissance U.S.

Equity Currency

Neutral Private Pool

Renaissance

International Equity

Private Pool

Renaissance Global

Equity Private Pool

Renaissance

Emerging Markets

Equity Private Pool

Renaissance Real

Assets Private Pool

Class A

✓ ✓ ✓ ✓

Premium Class

✓ ✓ ✓ ✓ ✓ ✓

Premium-T4 Class

✓ ✓ ✓ ✓ ✓ ✓

Premium-T6 Class

✓ ✓ ✓ ✓ ✓ ✓

Class H-Premium

✓ ✓ ✓ ✓ ✓

Class H-Premium T4

✓ ✓ ✓ ✓ ✓

Class H-Premium T6

✓ ✓ ✓ ✓ ✓

Class C

✓ ✓ ✓ ✓

Class F-Premium

✓ ✓ ✓ ✓ ✓ ✓

Class F-Premium T4

✓ ✓ ✓ ✓ ✓ ✓

Class F-Premium T6

✓ ✓ ✓ ✓ ✓ ✓

Class FH-Premium

✓ ✓ ✓ ✓ ✓

Class FH-Premium T4

✓ ✓ ✓ ✓ ✓

Class FH-Premium T6

✓ ✓ ✓ ✓ ✓

Class N-Premium

✓ ✓ ✓ ✓ ✓ ✓

Class N-Premium T4

✓ ✓ ✓ ✓ ✓ ✓

Class N-Premium T6

✓ ✓ ✓ ✓ ✓ ✓

Class NH-Premium

✓ ✓ ✓ ✓ ✓

Class NH-Premium T4

✓ ✓ ✓ ✓ ✓

Class NH-Premium T6

✓ ✓ ✓ ✓ ✓

Class I

✓ ✓ ✓ ✓

p / 2 Notes to Financial Statements (unaudited)

..

Renaissance Renaissance U.S. Renaissance Renaissance

Canadian Equity Renaissance U.S. Equity Currency International Equity Renaissance Global Emerging Markets Renaissance Real

Private Pool Equity Private Pool Neutral Private Pool Private Pool Equity Private Pool Equity Private Pool Assets Private Pool

..

..

..

x

x

39

Class O

✓ ✓ ✓ ✓ ✓ ✓ ✓

Class OH

✓ ✓ ✓ ✓ ✓

Class S

✓

Each class of units may charge a different management fee. Operating expenses can either be common or class-specific. Class-specific expenses are allocated on a class-by-class basis. As a result, a separate net

asset value per unit is calculated for each class of units.

Class A units are available only to investors participating in the Frontiers Program. This program will invest in a number of Pools, which will form a Frontiers Portfolio. Class A units are available on a no-load basis.

Investors do not pay a sales commission when purchasing Class A units, nor are they charged a deferred sales charge if they redeem their Class A units. They may have to pay a short-term trading fee, if

applicable.

Premium Class, Premium-T4 Class and Premium-T6 Class units are available to all investors on a front-end load basis only. Investors may pay a sales charge, which is negotiable with the dealer when purchasing

the Premium, Premium-T4 or Premium-T6 classes of units. Redemptions by investors of units of those classes are not subject to a deferred sales charge.

Class F-Premium, Class F-Premium T4 and Class F-Premium T6, Class FH-Premium, Class FH- Premium T4 and Class FH-Premium T6 units (referred to collectively, as Class F-Premium) are available, subject to

certain minimum investment requirements, to investors participating in programs such as clients of “fee-for-service” investment advisors, dealer-sponsored “wrap accounts”, and others who pay an annual fee to

their dealer, and to investors who have accounts with a discount broker (provided the discount broker offers Class F-Premium units on its platform). Instead of paying a sales charge, investors purchasing Class

F-Premium units may pay fees to their dealer or discount broker for their services. We do not pay a trailing commission in respect of these classes of units, allowing us to charge a lower annual management fee.

Class H-Premium, Class H-Premium T4, Class H-Premium T6, Class FH-Premium, Class FH-Premium T4, Class FH-Premium T6, Class NH-Premium, Class NH-Premium T4, Class NH-Premium T6 and Class OH Class

units (referred to individually, as a Hedge Class) have the same characteristics as Premium Class, Premium-T4 Class, Premium-T6 Class, Class F-Premium, Class F-Premium T4, Class F-Premium T6, Class

N-Premium, Class N-Premium T4, Class N-Premium T6 and Class O units, respectively, except that they each use derivative instruments such as forward foreign currency contracts to hedge foreign currency

exposure of the Hedge Class.

Class C units are available to all investors on a no-load basis. Investors do not pay a sales commission when purchasing Class C units, nor are they charged a deferred sales charge if they redeem their Class C

units. They may have to pay a short-term trading fee, if applicable.

Class I units are available to investors participating in programs that do not require the payment of sales charges by investors and do not require the payment of service fees or trailing commissions to dealers. For

these investors, the Manager “unbundles” the typical distribution costs and charges a lower management fee. Potential investors include clients of “fee-for-service” investment advisors, dealer-sponsored “wrap

accounts”, and others who pay an annual fee to their dealer instead of transactional sales charges and where the dealer does not receive service fees or trailing commissions from the Manager.

Class N-Premium, Class N-Premium T4 and Class N-Premium T6 are available to investors who have entered into an agreement with the Manager and the dealer. Class N-Premium, N-Premium T4 and N-Premium

T6 units are generally designed to give investors access to unbundled fees where the dealer does not receive service fees or trailing commissions from the Manager. Instead, Class N-Premium, N-Premium T4 and

N-Premium T6 units charge a dealer service fee negotiated between the investor and their dealer.

Class O and Class OH units are only available to selected investors who have been approved by and have entered into a Class O or Class OH account agreement with the Manager or whose dealer or discretionary

manager offers separately managed accounts or similar programs and has entered into a Class O or Class OH unit account agreement with the Manager. These investors are typically financial services companies,

including the Manager, that will use Class O units or Class OH of the Pools to facilitate offering other products to investors. No management fees or class-specific expenses are charged to the Pools in respect of

Class O and Class OH units held; instead, a negotiated management fee is charged by the Manager directly to, or as directed by, Class O and Class OH unitholders, or dealers or discretionary managers on behalf of

unitholders.

Class S units are only available for purchase by mutual funds, asset allocation services or discretionary managed accounts offered by the Manager or its affiliates. No sales charge or deferred sales charge are

payable on, respectively, the purchase or redemption of Class S units.

The date upon which each Pool was established by Declaration of Trust (referred to as the Date Established) and the date upon which each class of units of each Pool was first sold to the public (referred to as the

Inception Date) are reported in footnote Organization of the Pool on the Statements of Financial Position.

The Schedule of Investment Portfolio of each Pool is as at February 28, 2021. The Statements of Financial Position are as at February 28, 2021 and August 31, 2020. The Statements of Comprehensive Income,

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units and Statements of Cash Flows are for the six-month periods ended February 28, 2021 and February 29, 2020, except for Pools or

classes established during either period, in which case the information presented is from the Date Established or the Inception Date to February 28, 2021 or February 29, 2020.

These financial statements were approved for issuance by the Manager on April 20, 2021.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in accordance with International Accounting Standards Interim Financial Reporting (referred to as IAS) as published by the International Accounting Standards Board

(referred to as the IASB).

The financial statements have been prepared on a going concern basis using the historical-cost convention. However, each Pool is an investment entity and primarily all financial assets and financial liabilities are

measured at fair value in accordance with International Financial Reporting Standards (referred to as IFRS). Accordingly, the Pools’ accounting policies for measuring the fair value of investments and derivatives

are consistent with those used in measuring the Net Asset value for transactions with unitholders. In applying IFRS, these financial statements include estimates and assumptions made by management that affect

the reported amounts of assets, liabilities, income, and expenses during the reporting periods. However, existing circumstances and assumptions may change due to market changes or circumstances arising

beyond the control of the Pools. Such changes are reflected in the assumptions when they occur.

These financial statements have been presented in Canadian dollars, which is the Pools’ functional currency (unless otherwise noted).

a) Financial Instruments

Classification and recognition of financial instruments

Under IFRS 9 Financial Instruments, the Pools classify financial assets into one of three categories based on the entity’s business model for managing financial assets and the contractual cash flow characteristics

of the financial assets. Those categories are;

• Amortized Cost - assets held within a business model whose objective is to collect cash flows and where the contractual cash flows of the assets are solely payments of principal and interest (referred

to as SPPI criterion). Amortization of the asset is calculated utilizing the Effective Interest Rate Method.

• Fair Value Through Other Comprehensive Income (referred to as FVOCI) - Financial assets such as debt instruments that meet the SPPI criterion and are held within a business model with objectives that

include both collecting the associated contractual cash flows and selling financial assets. Gains and Losses are reclassified to Profit or Loss upon de-recognition for debt instruments but remain in Other

Comprehensive Income for equity instruments

• Fair Value Through Profit or Loss (referred to as FVTPL) - A financial asset is measured at FVTPL unless it is measured at Amortized Cost or FVOCI. Derivative contracts are measured at FVTPL. For all

instruments classified as FVTPL, the gains and losses are recognized in Profit or Loss.

Financial Liabilities are classified at FVTPL when they meet the definition of held-for-trading or when they are designated as FVTPL on initial recognition using the fair value option.

The Manager has assessed the business models of the Pools and has determined that the Pools’ portfolio of financial assets and financial liabilities are managed and performance is evaluated on a fair value basis

in accordance with the Pools’ risk management and investment strategies; therefore, classification and measurement of financial assets is FVTPL.

All Pools have contractual obligations to distribute cash to the unitholders. As a result, the Pools’ obligation for net assets attributable to holders of redeemable units represents a financial liability and is presented

at the redemption amount.

Notes to Financial Statements (unaudited) p / 3

40

b) Risk Management

The Pools’ overall risk management approach includes formal guidelines that govern the extent of exposure to various types of risk, including diversification within asset classes and limits on the exposure to

individual investments and counterparties. In addition, derivative financial instruments may be used to manage certain risk exposures. The Manager also has various internal controls to oversee the Pools’

investment activities, including monitoring compliance with the investment objectives and strategies, internal guidelines, and securities regulations. Please refer to each Pool’s Supplemental Schedule to Schedule

of Investment Portfolio for specific risk disclosures.

Fair value of financial instruments

Financial instruments are valued at their fair value, which is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the

measurement date. Refer to notes 3a to 3f for valuation of each specific type of financial instruments held by the Pools. The fair value of financial assets and liabilities traded in active markets are based on quoted

market prices at the close of trading on the reporting date. The Pools use the last traded market price for both financial assets and financial liabilities where the last traded price falls within that 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 specific

facts and circumstances.

For financial assets and financial liabilities that are not traded in an active market, fair value is determined using valuation techniques. The Pools classify fair value measurement within a hierarchy, which gives

the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (referred to as Level 1) and the lowest priority to unobservable inputs (referred to as Level 3). The three levels of

the fair value hierarchy are:

Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date;

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

Level 3: Inputs are unobservable for the asset or liability.

If inputs are used to measure an asset’s or liability’s fair value, the classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement. Each Pool’s fair value

hierarchy classification of its assets and liabilities is included in the Supplemental Schedule to Schedule of Investment Portfolio.

The carrying values of all non-investment assets and liabilities approximate their fair values due to their short-term nature. Fair values are classified as Level 1 when the related security or derivative is actively

traded and a quoted price is available. If an instrument classified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1. In such cases, instruments are reclassified into Level 2, unless

the measurement of its fair value requires the use of significant unobservable inputs, in which case it is classified as Level 3.

The Manager is responsible for performing the fair value measurements included in the financial statements of a Pool, including the Level 3 measurements. The Manager obtains pricing from third-party pricing

vendors and the pricing is reviewed daily. At each financial reporting date, the Manager reviews and approves all Level 3 fair value measurements. The Pools also have a Valuation Committee, which meets

quarterly to perform detailed reviews of the valuations of investments held by the Pools, which includes discussion on Level 3 measurements.

Credit risk

Credit risk is the risk that a counterparty to a financial instrument, such as a fixed income security or a derivative contract, will fail to discharge an obligation or commitment that it has entered into with a Pool. The

value of fixed income securities and derivatives as presented on the Schedule of Investment Portfolio includes consideration of the creditworthiness of the issuer and, accordingly, represents the maximum credit

risk exposure of the Pools.

Certain Pools may invest in short-term fixed income securities issued or guaranteed primarily by the Government of Canada or any Canadian provincial government, obligations of Canadian chartered banks or trust

companies, and commercial paper with approved credit ratings. The risk of default on these short-term fixed income securities is considered low and these securities primarily have credit ratings of ‘A-1 (Low)’ or

higher (as rated by S&P Global Ratings, a division of S&P Global), or equivalent rating from another rating service).

The bond ratings noted in the Pools’ ‘Financial Instruments Risk’ under sub-section ‘Credit Risk’ represent ratings collected and disseminated by recognized third party vendors. These ratings utilized by the

Manager, while obtained from vendors skilled and recognized for bond rating services, may not be the same as those used directly by the portfolio advisor. Ratings used by the portfolio advisor could be higher or

lower than those used for risk disclosure in the financial statements in compliance with their investment policy guidelines.

The Pools may engage in securities lending transactions. The credit risk related to securities lending transactions is limited by the fact that the value of cash or securities held as collateral by the Pools in

connection with these transactions is at least 102% of the fair value of the securities loaned. The collateral and loaned securities are marked to market on each business day. Further information regarding the

collateral and securities on loan can be found in the footnotes to the Statements of Financial Position and in note 2k.

Currency risk

Currency risk is the risk that the value of an investment will fluctuate due to changes in foreign exchange rates. This is because the Pools may invest in securities denominated or traded in currencies other than a

Pool’s reporting currency.

Interest rate risk

Prices of fixed income securities generally increase when interest rates decline and decrease when interest rates rise. This risk is known as interest rate risk. Prices of longer-term fixed income securities will

generally fluctuate more in response to interest rate changes than would shorter-term securities. Due to the nature of short-term fixed income securities with a remaining term-to-maturity of less than one year,

these investments are not generally exposed to a significant risk that their value will fluctuate in response to changes in the prevailing levels of market interest rates.

Liquidity risk

The Pools are exposed to daily cash redemptions of redeemable units. Generally, the Pools retain sufficient cash and cash equivalent positions to maintain adequate liquidity. However, liquidity risk also involves

the ability to sell an asset for cash easily and at a fair price. Some securities are illiquid due to legal restrictions on their resale, the nature of the investment, or simply a lack of interested buyers for a particular

security or security type. Certain securities may become less liquid due to changes in market conditions, such as interest rate changes or market volatility, which could impair the ability of a Pool to sell such

securities quickly or at a fair price. Difficulty in selling securities could result in a loss or lower return for a Pool.

Other price/market risk

Other price/market risk is the risk that the value of investments will fluctuate as a result of changes in market conditions. Several factors can influence market trends, such as economic developments, changes in

interest rates, political changes, and catastrophic events, such as pandemics or disasters which occur naturally or are exacerbated by climate change. Pandemics such as coronavirus disease 2019 (referred to as

COVID-19) may adversely affect global markets and the performance of the Pools. All investments are exposed to other price/market risk.

c) Investment Transactions, Income Recognition, and Recognition of Realized and Unrealized Gains and Losses

i) Each transaction of purchase or sale of a portfolio asset by a Pool is reflected in the net assets no later than the first computation of net assets made after the date on which the transaction becomes

binding upon the Pool.

ii) Interest for distribution purposes shown on the Statements of Comprehensive Income represents the coupon interest received by the Pool accounted for on an accrual basis. The Pools do 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.

iii) Dividend income is recorded on the ex-dividend date.

iv) Security transactions are recorded on a trade date basis. Securities that are exchange-traded are recorded at fair value established by the last traded market price when that price falls within that day’s

bid-ask spread. Debt securities are recorded at fair value, established by the last traded price on the Over-the-Counter (referred to as OTC) market when that price falls within that 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 specific

facts and circumstances. Unlisted securities are recorded at fair value using fair valuation techniques established by the Manager in establishing a fair value.

v) Realized gains and losses on investments and unrealized appreciation or depreciation of investments are calculated using the average cost, excluding transaction costs, of the related investments.

vi) Investment income is the sum of income paid to the Pool that is generated from a Pool’s investment fund holdings.

vii) Other income is the sum of income, excluding transaction costs, other than that which is separately classified on the Statements of Comprehensive Income.


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d) Offsetting

Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position if there is a currently enforceable legal right to offset the recognized amounts and there is an intention

to settle on a net basis, or to realize the asset and settle the liability simultaneously.

Where applicable, additional information can be found in the table Offsetting Arrangements as part of the Supplemental Schedule to Schedule of Investment Portfolio. This supplemental schedule discloses

the OTC derivatives, which are subject to offsetting.

e) Portfolio Securities

The cost of securities of the Pools is determined in the following manner: securities are purchased and sold at a market-traded price to arrive at a value for the position traded. The total purchased value represents

the total cost of the security to the Pool. When additional units of the same security are purchased, the cost of those additional units is added to the total security cost. When units of the same security are sold,

the proportionate cost of the units of the security sold is deducted from the total security cost. If there is a return of capital paid by a security, the amount of this return of capital is deducted from the total security

cost. This method of tracking security cost is known as “average cost” and the current total for any one security is referred to as the adjusted cost base or “ACB” of the security. Transaction costs incurred in

portfolio transactions are excluded from the average cost of investments and are recognized immediately in Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units and are presented as a

separate expense item in the financial statements.

The difference between the fair value of securities and their average cost, excluding transaction costs, represents the unrealized appreciation (depreciation) in value of the portfolio investments. The applicable

period change in unrealized appreciation (depreciation) of investments is included on the Statements of Comprehensive Income.

Short-term investments on the Schedule of Investment Portfolio are presented at their amortized cost, which approximates their fair value. Accrued interest for bonds is disclosed separately on the Statements of

Financial Position.

f) Foreign Exchange

The value of investments and other assets and liabilities denominated in foreign currencies is translated into Canadian dollars, which is the Pools’ functional and presentation currency at the current rates

prevailing on each Valuation Date.

Purchases and sales of investments, income, and expenses are translated into Canadian dollars, which is the Pools' functional and presentation currency at the foreign exchange rates prevailing on the dates of

such transactions. Foreign currency translation gains (losses) on investments and income transactions are included in Net realized gain (loss) on foreign currency and in Income, respectively, on the Statements of

Comprehensive Income.

g) Forward Foreign Currency Contracts

The Pools may enter into forward foreign currency contracts for either hedging or non-hedging purposes where such activity is consistent with their investment objectives and as permitted by the Canadian

securities regulatory authorities.

Changes in the fair value of forward foreign currency contracts are included in derivative assets or derivative liabilities on the Statements of Financial Position and are recorded as an Increase (decrease) in

unrealized appreciation (depreciation) of investments and derivatives during the applicable period on the Statements of Comprehensive Income.

The gain or loss arising from the difference between the value of the original forward foreign currency contract and the value of such contract at close or delivery is realized and recorded as Net realized gain (loss)

on foreign currency for Pools that use the forward foreign currency contracts for hedging, or as Derivative income (loss) for Pools that do not use the forward foreign currency contracts for hedging.

h) Futures Contracts

The Pools may enter into futures contracts for either hedging or non-hedging purposes where such activity is consistent with their investment objectives and as permitted by the Canadian securities regulatory

authorities.

The margin deposits with brokers relating to futures contracts are included in Margin on the Statements of Financial Position. Any change in the margin requirement is settled daily and included in Receivable for

portfolio securities sold or Payable for portfolio securities purchased on the Statements of Financial Position.

Any difference between the settlement value at the close of business on each Valuation Date and the settlement value at the close of business on the previous Valuation Date is recorded as Derivative Income

(loss) on the Statements of Comprehensive Income.

i) Options

The Pools may enter into options contracts for either hedging or non-hedging purposes where such activity is consistent with their investment objectives and as permitted by the Canadian securities regulatory

authorities.

Premiums paid for purchased call and put options are included in derivative assets and subsequently measured at fair value on the Statements of Financial Position. When a purchased option expires, the Pool will

realize a loss in the amount of the cost of the option. For a closing transaction, the Pool will realize a gain or loss depending on whether the proceeds are greater or less than the premium paid at the time of

purchase.

When a purchased call option is exercised, the cost of the security purchased is increased by the premium paid at the time of purchase.

Premiums received from writing options are included in derivative liabilities and subsequently measured at fair value on the Statements of Financial Position as initial reductions in the value of investments.

Premiums received from writing options that expire unexercised are recorded as realized gains and reported as Net gain (loss) on sale of investments and derivatives on the Statements of Comprehensive Income.

For a closing transaction, if the cost of closing the transaction exceeds the premium received, the Pool will record a realized loss or, if the premium received at the time the option was written is greater than the

amount paid, the Pool will record a realized gain and are reported as Net gain (loss) on sale of investments and derivatives. If a written put option is exercised, the cost for the security delivered is reduced by the

premiums received at the time the option was written.

j) Swap Contracts

The Pools may enter into swap contracts for either hedging or non-hedging purposes where such activity is consistent with their investment objectives and as permitted by the Canadian securities

regulatory authorities. The Pools can enter into swap contracts either through exchanges that provide clearing and settlement, or with financial institutions referred to as counterparties. The swap contracts with

counterparties result in the Pools having credit exposure to the counterparties or guarantors. With the exception of cleared specified derivatives, the Pools will only enter into swap contracts with counterparties

having a designated rating.

The amount to be received (or paid) on the swap contracts is recognized as Derivative asset or Derivative liability on the Statements of Financial Position over the life of the contracts. Unrealized gains are reported

as an asset and unrealized losses are reported as a liability on the Statements of Financial Position. A realized gain or loss is recorded upon early or partial termination and upon maturity of the swap contracts and

is recorded as Derivative income (loss). Changes in the amount to be received (or paid) on the swap contract are recorded as Net change in unrealized appreciation (depreciation) of investments and derivatives on

the Statements of Comprehensive Income. Details of swap contracts open at period end are included with the applicable Pools’ Schedule of Investment Portfolio under the caption Schedule of Derivative Assets

and Liabilities - Swap Contracts.

k) Securities Lending

A Pool may lend portfolio securities in order to earn additional revenue, which is disclosed on the Statements of Comprehensive Income. The loaned assets of any one Pool are not permitted to exceed 50% of

the fair value of the assets of that Pool (excluding collateral debt for the loaned securities). The minimum allowable collateral is 102% of the market value of the loaned securities as per the requirements of

National Instrument 81-102 - Investment Funds. Collateral can consist of the following:

i) Cash;

ii) Qualified securities;

iii) Irrevocable letters of credit issued by a Canadian financial institution that is not the counterparty, or an affiliate counterparty, of the Pool in the transaction, if evidences of indebtedness of the Canadian

financial institution that are rated as short-term debt by a designated credit rating organization, or its designated rating organization affiliate, have a designated rating; and

iv) Securities that are immediately convertible into, or exchangeable for, securities of the same issuer, class, or type, and the same term, as the securities loaned.


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The fair value of the loaned securities is determined on the close of any valuation date and any additional required collateral is delivered to the Pool on the next business day. The securities on loan continue to be

included on the Schedule of Investment Portfolio and are included in the total value on the Statements of Financial Position in Investments (non-derivative financial assets) at fair value. Where applicable, a Pool’s

securities lending transactions are reported in footnote Securities Lending on the Statements of Financial Position.

National Instrument 81-106 – Investment Fund Continuous Disclosure requires a reconciliation of the gross income amount generated from the securities lending transactions of the Pools to the revenue from

securities lending disclosed in the Pools’ Statements of Comprehensive Income. The gross amount generated from securities lending includes interest paid on collateral, withholding taxes deducted, the fees paid

to the Pools’ lending agent and the securities lending revenue received by the Pools. Where applicable, the reconciliation can be found in the footnotes to the Pools’ Statements of Comprehensive Income.

l) Multi-Class Structured Pools

Each Pool may issue an unlimited number of classes of units. The realized and unrealized capital gains or capital losses, income, and common expenses (other than class-specific operating expenses and

management fees) of the Pool are allocated on each Valuation Date to the unitholders in proportion to the respective prior day’s net asset value, which includes unitholder trade(s) dated for that day, of each class

of units at the date on which the allocation is made. Class-specific operating expenses and management fees do not require allocation. All class-specific operating expenses are paid by the Manager and are

collected from the Pools on a recoverable basis.

m) Loans and Receivables, Other Assets and Liabilities

Loans and receivables, other assets and liabilities are recorded at cost, which approximates their fair value with the exception of net assets attributable to holders of redeemable units, which are presented at the

redemption value.

n) Legend for Abbreviations

The following is a list of abbreviations (foreign currency translation and others) that may be used in the Schedule of Investment Portfolio:

Currency Abbreviations

AED – United Arab Emirates Dirham

ARS – Argentine Peso

AUD – Australian Dollar

BRL – Brazilian Real

CAD – Canadian Dollar

CHF – Swiss Franc

CLP – Chilean Peso

CNY – Chinese Renminbi

COP – Colombian Peso

CZK – Czech Koruna

DKK – Danish Krone

EUR – Euro

GBP – British Pound

HKD – Hong Kong Dollar

HUF – Hungarian Forint

IDR – Indonesian Rupiah

ILS – Israeli Shekel

INR – Indian Rupee

JPY – Japanese Yen

KES – Kenyan Shilling

KRW – South Korean Won

MXN – Mexican Peso

MYR – Malaysian Ringgit

NOK – Norwegian Krone

NZD – New Zealand Dollar

PHP – Philippine Peso

PLN – Polish Zloty

RON – Romanian Leu

RUB – Russian Ruble

SEK – Swedish Krona

SGD – Singapore Dollar

THB – Thai Baht

TRY – New Turkish Lira

TWD – Taiwan Dollar

USD – United States Dollar

ZAR – South African Rand

Other Abbreviations

ADR – American Depositary Receipt

ADC – Austrian Depositary Certificates

CVO – Contingent Value Obligations International

ETF – Exchange-Traded Fund

GDR – Global Depositary Receipt Securities

IPN – International Participation Note

iShares – Index Shares

iUnits – Index Units Securities

LEPOs – Low Exercise Price Options

MSCI – Morgan Stanley Capital Index

OPALS – Optimized Portfolios as Listed

PERLES – Performance Linked to Equity

REIT – Real Estate Investment Trust

SDR – Swedish Depositary Receipt

o) Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per Unit

Increase (decrease) in net assets attributable to holders of redeemable units per unit of each class is calculated by dividing the Increase (decrease) in net assets attributable to holders of redeemable units

(excluding distributions), as reported in the Statements of Comprehensive Income, by the weighted average number of units in issue during the related period.

3. Valuation of Investments

The valuation date for a Pool is any day when the Manager’s head office is open for business (referred to as Valuation Date). The Manager may, at its discretion, establish other Valuation Dates. The value of the

investments or assets of a Pool is determined as follows:

a) Cash and Other Assets

Cash, accounts receivable, dividends receivable, distributions receivable, and interest receivable are valued at fair value or at their recorded cost, plus or minus any foreign exchange between recognition of the

asset by the Pool and the current Valuation Date, which approximates fair value.

Short-term investments (money market instruments) are valued at fair value.

b) Bonds, Debentures, and Other Debt Obligations

Bonds, debentures, and other debt obligations are fair valued using the last traded price provided by a recognized vendor upon the close of trading on a Valuation Date, whereby the last traded price falls within

that day’s bid-ask spread. If the last traded price does not fall within that day’s bid-ask spread, then the Manager will determine the point within the bid-ask spread that is most representative of fair value based

on the specific facts and circumstances.

c) Listed Securities, Unlisted Securities, and Fair Value Pricing of Foreign Securities

Any security that is listed or traded on a securities exchange is fair valued using the last traded price, whereby the last traded price falls within that day’s bid-ask spread or, if there is no traded price on that

exchange or the last traded price does not fall within that day’s bid-ask spread and in the case of securities traded on an OTC market, at the fair value as determined by the Manager as an appropriate basis for

valuation. In such situations, a fair value will be determined by the Manager to establish current value. If any securities are inter-listed or traded on more than one exchange or market, the Manager will use the

principal exchange or market for the fair value of such securities.

Units of each mutual fund in which a Pool invests will be valued at fair value using the most recent net asset value quoted by the trustee or manager of the mutual fund on the Valuation Date.


43

Unlisted securities are fair valued using the last traded price quoted by a recognized dealer, or the Manager may determine a price that more accurately reflects the fair value of these securities if the Manager

feels the last traded price does not reflect fair value.

Fair value pricing is designed to avoid stale prices and to provide a more accurate fair value, and may assist in the deterrence of harmful short-term or excessive trading in the Pool. When securities listed or traded

on markets or exchanges that close prior to North or South American markets or exchanges are valued by the Manager at their fair market value, instead of using quoted or published prices, the prices of such

securities used to calculate the Pool's net assets or net asset value may differ from quoted or published prices of such securities.

d) Derivatives

Long positions in options, debt-like securities, and listed warrants are fair valued using the last traded price as established on either their principal trading exchange or by a recognized dealer in such securities,

whereby the last traded price falls within that day’s bid-ask spread and the credit rating of each counterparty (as rated by Standard & Poor’s, a division of The McGraw-Hill Financial, Inc.) meets or exceeds the

minimum designated rating.

When any option is written by any Pool, the premium received by the Pool will be reflected as a liability that will be valued at an amount equal to the current value of the option that would have the effect of

closing the position. Any difference resulting from revaluation shall be treated as an unrealized gain or loss on investment; the liability shall be deducted in arriving at the net assets attributable to holders of

redeemable units of the Pool. The securities that are the subject of a written option, if any, will be valued in the manner described above for listed securities.

Futures contracts, forward contracts, or swaps will be valued at fair value of the gain or loss, if any, that would be realized on the Valuation Date if the position in the futures contracts, forward contracts, or swaps

were to be closed out.

Margin paid or deposited in respect of swaps and forward contracts will be reflected as an account receivable and margin consisting of assets other than cash will be noted as held as collateral.

Other derivatives and margin are fair valued in a manner that the Manager determines to represent their fair value.

e) Restricted Securities

Restricted securities purchased by any Pool will be fair valued in a manner that the Manager determines to represent their fair value.

f) Other Securities

All other investments of the Pools will be fair valued in accordance with the laws of the Canadian securities regulatory authorities, where applicable, and using fair valuation techniques that most accurately reflect

their current value as determined by the Manager.

The value of any security or other property of a Pool for which a market quotation is not readily available or where, in the opinion of the Manager, the market quotations do not properly reflect the fair value of such

securities, will be determined by the Manager by valuing the securities at their fair value. In such situations, fair value will be determined using fair valuation techniques that most accurately reflect their fair value

as established by the Manager.

4. Interest in Underlying Funds

The Pools may invest in other investment funds (referred to as Underlying Funds). Each Underlying Fund invests in a portfolio of assets to generate returns in the form of investment income and capital appreciation

for its unitholders. Each Underlying Fund finances its operations primarily through the issuance of redeemable units, which are puttable at the unitholder’s option and entitle the unitholder to a proportionate share

of the Underlying Fund’s net assets. The Pools’ interests in Underlying Funds held in the form of redeemable units, are reported in its Schedule of Investments at fair value, which represents the Pools’ maximum

exposure on those investments. The Pools’ interests in Underlying Funds as at the prior year period ends are presented in the Financial Instrument Risks – Concentration Risks section in the Supplemental Schedule

to the Schedule of Investment Portfolio. Distributions earned from Underlying Funds are included in Investment Income in the Statements of Comprehensive Income. The total realized and change in unrealized

gains (losses) arising from Underlying Funds are also included in the Statements of Comprehensive Income. The Pools do not provide any additional significant financial or other support to Underlying Funds.

Where applicable, the table Interests in Underlying Funds is presented as part of the Supplemental Schedule to Schedule of Investment Portfolio, which provides additional information on the Pools’ investments in

Underlying Funds where the ownership interest exceeds 20% of each Underlying Fund.

5. Redeemable Units Issued and Outstanding

Each Pool is permitted to have an unlimited number of classes of units and may issue an unlimited number of units of each class. The outstanding units represent the net assets attributable to holders of

redeemable units of the Pools. Each unit has no par value and the value of each unit is the net asset value as determined on each valuation date. Settlement of the cost for units issued is completed as per laws of

the Canadian securities regulatory authorities in place at the time of issue. Distributions made by the Pools and reinvested by unitholders in additional units also constitute issued redeemable units of the Pools.

Units are redeemed at the net assets attributable to holders of redeemable units per unit of each class of units of the Pool. A right to redeem units of a Pool may be suspended with the approval of the Canadian

securities regulatory authorities or when normal trading is suspended on a stock, options, or futures exchange within Canada or outside of Canada on which securities or derivatives that make up more than 50% of

the value or underlying exposure of the total assets of the Pool, not including any liabilities of the Pool, are traded and when those securities or derivatives are not traded on any other exchange that represents a

reasonably practical alternative for the Pool; or if, in the case of Renaissance U.S. Equity Currency Neutral Private Pool, the Underlying Fund whose performance it tracks has suspended redemptions. The Pools are

not subject to any externally imposed capital requirements.

The capital received by a Pool is utilized within the respective investment mandate of a Pool. For all Pools, this includes the ability to make liquidity available to satisfy unitholder unit redemption requirements

upon the unitholder’s request.

Changes in issued and outstanding units for the six-month periods ended February 28, 2021 and February 29, 2020 can be found on the Statements of Changes in Net Assets Attributable to Holders of Redeemable

Units.

6. Management Fees and Operating Expenses

Management fees are based on the net asset value of the Pools and are calculated daily and paid monthly. Management fees are paid to the Manager in consideration for providing, or arranging for the provision

of, management, distribution, and portfolio advisory services. Advertising and promotional expenses, office overhead expenses related to the Manager’s activities, trailing commissions and the fees of the portfolio

sub-advisors are paid by the Manager out of the management fees received from the Pools.

The maximum annual management fee expressed as a percentage of the average net asset value for each class of units of the Pool is reported in footnote Maximum Chargeable Management Fee Rates on the

Statements of Comprehensive Income. For Class O and Class OH units, management fees are negotiated with and paid by, or as directed by, unitholders, or dealers and discretionary managers on behalf of

unitholders.

In addition to the management fees, the Pools are responsible for all expenses relating to the operation and conduct of the business of the Pools, including but not limited to interest, operating, and administrative

costs (other than advertising and promotional expenses, which are the responsibility of the Manager), brokerage fees, commissions, spreads, regulatory fees (including the portion of the regulatory fees paid by the

Manager that are attributable to the Pools), Independent Review Committee fees and expenses, taxes, audit and legal fees and expenses, trustee fees, safekeeping fees, custodial fees, any agency fees, securities

lending, repurchase, and reverse repurchase fees, investor servicing costs, and costs of unitholder reports, prospectuses, fund facts, and other reports. All class-specific operating expenses are paid by the

Manager and recovered from the Pools. The Pools do not pay a fee to the trustee.

The Manager may recover from a Pool less than the actual class-specific operating expenses paid by the Manager, resulting in the Manager absorbing class-specific expenses. The Manager may also charge to a

Pool less than the maximum management fee noted in footnote Maximum Chargeable Management Fee Rates on the Statements of Comprehensive Income, resulting in the Manager waiving management fees.

At its sole discretion, the Manager may stop absorbing class-specific operating expenses and/or waiving management fees at any time. Class-specific operating expenses absorbed and/or management fees

waived by the Manager are disclosed on the Statements of Comprehensive Income.

In some cases, the Manager may charge management fees to a Pool that are less than the management fees the Manager is entitled to charge in respect of certain investors in a Pool. The difference in the amount

of the management fees will be paid out by the Pool to the applicable investors as a distribution of additional units of the Pool (referred to as Management Fee Distributions).

Management Fee Distributions are negotiable between the Manager and the investor and are dependent primarily on the size of the investor’s investment in the Pool. Management Fee Distributions paid to

qualified investors do not adversely impact the Pool or any of the Pool’s other investors. The Manager may increase or decrease the amount of Management Fee Distributions to certain investors from time to time.

Where a Pool invests in units of an Underlying Fund, the Pool does not pay duplicate management fees on the portion of its assets that it invests in units of the Underlying Fund. In addition, the Pool will not pay

duplicate sales fees or redemption fees with respect to the purchase or redemption by it of units of the Underlying Fund. Some of the Underlying Funds held by the Pools may offer Management Fee Distributions.


44

Such Management Fee Distributions of an Underlying Fund will be paid out as required for taxable distribution payments by a Pool. The Manager of an Underlying Fund may, in some cases, waive a portion of an

Underlying Fund’s management fee and/or absorb a portion of an Underlying Fund’s operating expenses.

7. Income Taxes and Withholding Taxes

All of the Pools, except Renaissance Multi-Asset Global Balanced Income Private Pool, Renaissance Multi-Asset Global Balanced Private Pool, Renaissance U.S. Equity Currency Neutral Private Pool, and

Renaissance Global Equity Private Pool, which are unit trusts, qualify as mutual fund trusts under the Income Tax Act (Canada). No income tax is payable by the Pools on net income and/or net realized capital gains

that are distributed to unitholders. In addition, for all of the Pools (except those that do not qualify as mutual fund trusts under the Income Tax Act (Canada)), income taxes payable on undistributed net realized

capital gains are refundable on a formula basis when units of the Pools are redeemed. Sufficient net income and realized capital gains of the Pools have been, or will be, distributed to the unitholders such that no

tax is payable by the Pools and accordingly, no provision for income taxes has been made in the financial statements. Occasionally, a Pool may pay distributions in excess of net income and net realized capital

gains of the Pool. This excess distribution is called a return of capital and is non-taxable to the unitholder. However, a return of capital reduces the average cost of the unitholder’s units for tax purposes.

Non-capital losses are available to be carried forward for 20 years.

Capital losses for income tax purposes may be carried forward indefinitely and applied against capital gains realized in future years. Where applicable, a Pool’s net capital and non-capital losses are reported in

Canadian dollars in the footnote Net Capital and Non-Capital Losses on the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units.

Renaissance Multi-Asset Global Balanced Income Private Pool, Renaissance Multi-Asset Global Balanced Private Pool, Renaissance U.S. Equity Currency Neutral Private Pool, and Renaissance Global Equity Private

Pool have a taxation year-end of December 31. All other Pools have a taxation year-end of December 15.

The Pools currently 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

as a separate expense in the Statements of Comprehensive Income.

8. Brokerage Commissions and Fees

The total commissions paid by the Pools to brokers in connection with portfolio transactions are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each Pool. In

allocating brokerage business to a dealer, consideration may be given by the portfolio advisor or portfolio sub-advisors of the Pools to the provision of goods and services by the dealer or a third party, other than

order execution (referred to in the industry as “soft dollar” arrangements). These goods and services are paid for with a portion of brokerage commissions and assist the portfolio advisor or portfolio sub-advisors

with their investment decision-making services to the Pools or relate directly to the execution of portfolio transactions on behalf of the Pools. The services are supplied by the dealer executing the trade or by a

third party and paid for by that dealer. The total soft dollar payments paid by the Pools to brokers are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each

Pool. In addition, the Manager may enter into commission recapture arrangements with certain dealers with respect to the Pool. Any commission recaptured will be paid to the applicable Pool.

Fixed income, other securities, and certain derivative products (including forwards) are transacted in an over-the-counter market, where participants are dealing as principals. Such securities are generally traded

on a net basis and do not normally involve brokerage commissions, but will typically include a “spread” (being the difference between the bid and the offer prices on the security of the applicable marketplace).

Spreads associated with fixed income securities trading and certain derivative products (including forwards) are not ascertainable and, for that reason, are not included in the dollar amounts. In addition, the soft

dollar amounts only include the value of research and other services supplied by a third party to the portfolio sub-advisors, as the value of the services supplied to the portfolio advisor and portfolio sub-advisors by

the dealer is not ascertainable. When these services benefit more than one Pool, the costs are allocated among the Pools based on transaction activity or some other fair basis as determined by the portfolio

advisor or portfolio sub-advisors.

9. Related Party Transactions

Canadian Imperial Bank of Commerce (referred to as CIBC) and its affiliates have the following roles and responsibilities with respect to the Pools and receive the fees described below in connection with their

roles and responsibilities. The Pools may hold securities of CIBC. CIBC and its affiliates may also be involved in underwriting or lending to issuers that may be held by the Pools, have purchased or sold securities

from or to the Pools while acting as principal, have purchased or sold securities from or to the Pools on behalf of another investment fund managed by CIBC or an affiliate, or have been involved as a counterparty

to derivative transactions. Management fees payable and other accrued expenses on the Statements of Financial Position are amounts generally payable to a related party of the Pool.

Manager, Trustee, Portfolio Advisor, and Portfolio Sub-Advisor of the Pools

CIBC Asset Management Inc. (referred to as CAMI), a wholly owned subsidiary of CIBC, is the Manager, trustee, and portfolio advisor of each of the Pools.

The Manager also arranges for fund administrative services (other than advertising and promotional services, which are the responsibility of the Manager), legal, investor servicing, and costs of unitholder reports,

prospectuses, and other reports. The Manager is the registrar and transfer agent for the Pools and provides, or arranges for the provision of, all other administrative services required by the Pools. The dollar

amount (including all applicable taxes) of all fund administrative expenses (net of absorptions) that the Manager recovers from the Pool is reported in footnote Administrative and Other Fund Operating Expenses on

the Statements of Comprehensive Income.

Brokerage Arrangements and Soft Dollars

The portfolio advisor or the portfolio sub-advisors make decisions, including the selection of markets and dealers and the negotiation of commissions, with respect to the purchase and sale of portfolio securities,

certain derivative products, and the execution of portfolio transactions. Brokerage business may be allocated by portfolio sub-advisors, to CIBC World Markets Inc. and CIBC World Markets Corp., each a subsidiary

of CIBC. The total commissions paid to related brokers in connection with portfolio transactions are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each Pool.

CIBC World Markets Inc. and CIBC World Markets Corp. may also earn spreads on the sale of fixed income, other securities, and certain derivative products to the Pools. Dealers, including CIBC World Markets Inc.

and CIBC World Markets Corp., may furnish goods and services, other than order execution, to the portfolio advisor or the portfolio sub-advisors, that process trades through them (referred to in the industry as

“soft-dollar” arrangements). These goods and services are paid for with a portion of brokerage commissions and assist the portfolio advisor or the portfolio sub-advisors with their investment decision-making

services to the Pools or relate directly to executing portfolio transactions on behalf the Pools. They are supplied by the dealer executing the trade or by a third party and paid for by that dealer. As per the terms of

the portfolio advisory and portfolio sub-advisory agreements, such soft dollar arrangements are in compliance with applicable laws. Custodial fees directly related to portfolio transactions incurred by a Pool, or a

portion of a Pool, for which CAMI acts as advisor, shall be paid by CAMI and/or dealer(s) directed by CAMI up to the amount of the credits generated under soft dollar arrangements from trading on behalf of the

Pool, or portion of the Pool, during the month. The total soft dollar payments paid by the Pool to related brokers are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive

Income of each Pool. In addition, the Manager may enter into commission recapture arrangements with certain dealers with respect to the Pools. Any commission recaptured will be paid to the relevant Pool.

Custodian

The custodian holds cash and securities for the Pools and ensures that those assets are kept separate from any other cash or securities that the custodian might be holding. The custodian also provides other

services to the Pool including record keeping and processing of foreign exchange transactions. CIBC Mellon Trust Company is the custodian of the Pools (the Custodian). The fees and spreads for services of the

Custodian directly related to the execution of portfolio transactions by a Pool, or a portion of a Pool, for which CAMI acts as portfolio advisor are paid by CAMI and/or dealer(s) directed by CAMI up to the amount of

the credits generated under soft dollar arrangements from trading on behalf of the Pool, or portion of the Pool, during that month. The fees and spreads for the services of the Custodian are paid by the Manager

and charged to each Pool on a recoverable basis. CIBC owns a 50 percent interest in the Custodian.

Service Provider

CIBC Mellon Global Securities Services Company (referred to as CIBC GSS) provides certain services to the Pools, including securities lending, fund accounting and reporting, and portfolio valuation. CIBC indirectly

owns a 50 percent interest in CIBC GSS. The dollar amount paid by the Pools (including all applicable taxes) to CIBC Mellon Trust Company for custodian fees (net of absorptions) and to CIBC GSS for securities

lending, fund accounting, reporting, and fund valuation (all net of absorptions) for the six-month periods ended February 28, 2021 and February 29, 2020 is reported in footnote Service Provider on the Statements of

Comprehensive Income.

10. Hedging

Certain foreign currency denominated positions have been hedged, or partially hedged, by forward foreign currency contracts as part of the investment strategies of the Pool. These hedges are indicated by a

hedging reference number on the Schedule of Investment Portfolio and a corresponding hedging reference number on the Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contract.

11. Collateral on Specified Derivatives

Short-term investments may be used as collateral for futures or swap contracts outstanding with brokers.

Renaissance Investments

1500 Robert-Bourassa Boulevard, Suite 800

Montreal, Quebec

H3A 3S6

1-888-888-3863

Website

www.renaissanceinvestments.ca

CIBC Asset Management Inc., the manager and trustee of the Renaissance Private Pools, is a wholly-owned subsidiary of Canadian Imperial Bank of Commerce. Please read

the Renaissance Investments family of funds, Axiom Portfolios and Renaissance Private Pools simplified prospectus before investing. To obtain a copy of the simplified prospectus, call

1-888-888-3863, email us at [email protected], or ask your advisor.

Renaissance Private Pools® and Renaissance Investments® are registered trademarks of CIBC Asset Management Inc.

Renaissance Investments is offered by CIBC Asset Management Inc.

www.renaissanceinvestments.ca

mailto:[email protected]

Interim Financial Reports (unaudited)

Documents

Transcript of Interim Financial Reports (unaudited)