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Annual Financial Report MARCH 31, 2020

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IGM Financial Inc. and licensed to its subsidiary corporations.

iProfileTM Fixed Income Private Pool

STATEMENTS OF FINANCIAL POSITION

at March 31 (in $ 000 except per security amounts)

STATEMENTS OF COMPREHENSIVE INCOME

for the periods ended March 31 (in $ 000 except per security amounts)

See accompanying notes.

iProfileTM Fixed Income Private Pool ANNUAL FINANCIAL STATEMENTS MARCH 31, 2020

2020 2019

Assets

Current assets:

Non-derivative investments 5,359,501 3,361,120

Cash and cash equivalents 697,073 682,614

Accrued interest receivable 28,325 18,219

Dividends receivable 13 43

Accounts receivable for investments sold 442,103 98,661

Accounts receivable for securities issued - 4,640

Accounts receivable from the Manager 80 423

Margin on derivative contracts 2,056 -

Derivative assets 56,809 21,757

Other assets - -

6,585,960 4,187,477

Non-current assets:

Taxes recoverable - -

Other assets - -

- -

Total assets 6,585,960 4,187,477

Liabilities

Current liabilities:

Bank indebtedness - -

Accounts payable for investments purchased 639,034 315,684

Accounts payable for securities redeemed - -

Distributions payable - -

Accrued expenses and miscellaneous payables 26 43

Dividends payable on investments sold short - -

Margin on derivative contracts - 5,548

Derivative liabilities 158,560 24,170

Taxes payable - -

Other liabilities - -

Total liabilities 797,620 345,445

Net assets attributable to securityholders 5,788,340 3,842,032

2020 2019

Income:

Gains (losses) on derivative and non-derivative investments:

Dividends 765 888

Interest income 120,910 85,442

Net realized gain (loss) 73,326 (10,046)

Net unrealized gain (loss) (141,533) 63,202

Income (loss) from derivatives 11,757 (7,816)

Income (loss) from short selling - -

Other 18,971 11,914

Net gain (loss) on derivative and non-derivative investments 84,196 143,584

Securities lending income 483 171

Other 366 1,596

Total income 85,045 145,351

Expenses:

Pool advisory fees 2,746 7,422

Administration fees 2,746 7,422

Audit fees 2 5

Custody fees 140 118

Registration fees and expenses 259 175

Trustee fees 2,746 1,624

Securityholder reporting 758 302

Commissions and other portfolio transaction costs 31 84

Independent Review Committee costs 14 8

Other 253 99

Expenses before amounts absorbed by Manager 9,695 17,259

Expenses absorbed by Manager - -

Net expenses 9,695 17,259

Increase (decrease) in net assets attributable to securityholders

from operations before tax 75,350 128,092

Foreign withholding taxes paid (recovered) 106 98

Foreign income taxes paid (recovered) - -

Income tax paid (recovered) - -

Increase (decrease) in net assets attributable to securityholders

from operations 75,244 127,994

Net assets attributable to securityholders

per security per series

2020 2019 2020 2019

Series I 11.80 11.87 5,714,921 3,785,710

Series Ti 9.96 10.05 73,419 56,322

5,788,340 3,842,032

Increase (decrease) in net assets attributable to securityholders from operations

per security per series

2020 2019 2020 2019

Series I 0.29 0.41 74,138 126,049

Series Ti 0.24 0.34 1,106 1,945

75,244 127,994


STATEMENTS OF CHANGES IN FINANCIAL POSITION

for the periods ended March 31 (in $ 000 except when stated)



TOTAL SERIES I SERIES Ti

a2020 b2019 a2020 b2019 a2020 b2019

Net assets attributable to securityholders, beginning of period 3,842,032 2,274,493 3,785,710 2,234,237 56,322 40,256

Increase (decrease) in net assets attributable to securityholders resulting from:

Operations 75,244 127,994 74,138 126,049 1,106 1,945

Distributions:

Income (131,723) (79,820) (129,993) (78,492) (1,730) (1,328)

Capital gains (15,717) - (15,515) - (202) -

Return of capital (195) (41) - - (195) (41)

Pool advisory fee rebates - - - - - -

Total distributions (147,635) (79,861) (145,508) (78,492) (2,127) (1,369)

Security transactions:

Proceeds from sale of securities 2,752,255 1,931,761 2,714,105 1,899,069 38,150 32,692

Proceeds from securities issued on merger - - - - - -

Reinvested from distributions 145,919 78,885 144,952 78,178 967 707

Payment on redemption of securities (879,475) (491,240) (858,476) (473,331) (20,999) (17,909)

Total security transactions 2,018,699 1,519,406 2,000,581 1,503,916 18,118 15,490

Increase (decrease) in assets attributable to securityholders 1,946,308 1,567,539 1,929,211 1,551,473 17,097 16,066

Net assets attributable to securityholders, end of period 5,788,340 3,842,032 5,714,921 3,785,710 73,419 56,322

Increase (decrease) in securities outstanding (in thousands):

Securities outstanding, beginning of period 318,974 189,805 5,604 4,035

Add (deduct):

Securities sold 224,644 163,121 3,734 3,313

Securities issued on merger - - - -

Reinvested from distributions 12,021 6,716 95 72

Securities redeemed (71,211) (40,668) (2,062) (1,816)

Securities outstanding, end of period 484,428 318,974 7,371 5,604

STATEMENTS OF CASH FLOWS

for the periods ended March 31 (in $ 000 except when stated)


a2020 b2019

Cash flows from operating activities

Increase (decrease) in net assets attributable to securityholders from operations 75,244 127,994

Less non-cash impact of:

Net realized (gain) loss (73,326) 13,000

Change in net unrealized (gain) loss 141,533 (63,202)

Distributions received from Underlying Funds (33,754) (20,023)

Adjustments for:

Proceeds from sale and maturity of investments 6,073,026 3,249,428

Purchases of investments (8,039,437) (4,289,630)

(Increase) decrease in accounts receivable and other assets (12,251) (5,208)

Increase (decrease) in accounts payable and other liabilities (4,764) 5,923

Net cash provided by (used in) operating activities (1,873,729) (981,718)

Cash flows from financing activities:

Proceeds from securities issued 2,742,105 1,920,873

Proceeds from securities issued on merger - -

Payments on redemption of securities (864,685) (481,602)

Distributions paid net of reinvestments (1,716) (976)

Net cash provided by (used in) financing activities 1,875,704 1,438,295

Increase (decrease) in cash and cash equivalents 1,975 456,577

Cash and cash equivalents at beginning of period 682,614 225,879

Effect of exchange rate fluctuations on cash and cash equivalents 12,484 158

Cash and cash equivalents, end of period 697,073 682,614

Cash 92,709 79,391

Cash equivalents 604,364 603,223

Bank indebtedness - -

697,073 682,614

Supplementary disclosures on cash flow from operating activities:

Dividends received net of withholding taxes 795 794

Interest received net of withholding taxes 110,698 81,366

Interest paid - -



BONDS 407 International Inc. 3.14% 03-06-2030 Callable 2029 Canada Corporate 780,000 789 814 407 International Inc. 3.43% 06-01-2033 MTN Canada Corporate 6,094,000 6,438 6,408 407 International Inc. 3.65% 09-08-2044 Callable MTN Canada Corporate 1,080,000 1,105 1,125 407 International Inc. 3.60% 05-21-2047 Callable Canada Corporate 7,829,000 7,858 8,131 407 International Inc. 3.72% 05-11-2048 Callable 2047 Canada Corporate 2,430,000 2,430 2,578 407 International Inc. 3.67% 03-08-2049 Callable 2048 Canada Corporate 3,560,000 3,842 3,740 407 International Inc. 2.84% 03-07-2050 Canada Corporate 3,350,000 3,345 2,996 AAC Holdings Inc. Term Loan 1st Lien F/R 06-30-2023 United States Bank Loans USD 203,225 265 125 Accunia European CLO F/R 07-15-2030 Callable Netherlands Mortgage Backed EUR 2,000,000 3,017 3,106 Advanced Micro Devices Inc. 7.50% 08-15-2022 United States Corporate USD 1,280,000 1,832 1,937 Aegis Toxicology Sciences Corp. Term Loan B 1st Lien F/R 05-09-2025 United States Bank Loans USD 256,100 324 302 AerCap Holdings NV F/R 10-10-2079 Callable 2024 Ireland Corporate USD 1,260,000 1,680 1,110 AerCap Ireland Capital Designated Activity Co. and AerCap Global Aviation Trust

3.50% 05-26-2022 Callable 2022 Ireland Corporate USD 600,000 776 722 AerCap Ireland Capital Designated Activity Co. 3.30% 01-23-2023 Callable 2022 Ireland Corporate USD 290,000 364 348 AerCap Ireland Capital Designated Activity Co. 4.88% 01-16-2024 Callable 2023 Ireland Corporate USD 2,090,000 2,848 2,543 AerCap Ireland Capital Designated Activity Co. 4.45% 10-01-2025 Callable 2025 Ireland Corporate USD 840,000 1,097 1,036 Aeroports de Montreal 3.92% 09-26-2042 Canada Corporate 2,000,000 2,290 2,103 Aeroports de Montreal 3.92% 06-12-2045 Series M Callable 2044 Canada Corporate 2,500,000 2,704 2,636 AG Merger Sub II Inc. Term Loan B 1st Lien F/R 08-01-2026 United States Bank Loans USD 187,975 246 202 AIB Group PLC 4.75% 10-12-2023 144A Ireland Corporate USD 1,400,000 1,963 1,949 AIMCo Realty Investors LP 2.27% 06-26-2024 Callable 2024 Canada Corporate 124,000 125 123 AIMCo Realty Investors LP 3.04% 06-01-2028 Callable 2028 Canada Corporate 3,570,000 3,681 3,736 AIMCo Realty Investors LP 2.71% 06-01-2029 Callable 2029 Canada Corporate 3,870,000 3,928 3,845 Air Lease Corp. 2.63% 12-05-2024 Callable 2024 United States Corporate 2,600,000 2,577 2,111 Albertsons Cos. Inc. 4.63% 01-15-2027 Callable 2023 144A United States Corporate USD 40,000 52 56 Albertsons Cos. Inc. 5.88% 02-15-2028 Callable 2022 144A United States Corporate USD 530,000 742 764 Albertsons Cos. Inc. 4.88% 02-15-2030 Callable 2025 144A United States Corporate USD 1,850,000 2,431 2,588 Alcami Carolinas Corp. Term Loan 1st Lien F/R 07-06-2025 United States Bank Loans USD 866,800 1,135 1,124 Alchemy US Holdco LLC Term Loan B 1st Lien F/R 10-01-2025 United States Bank Loans USD 1,287,000 1,644 1,606 Alcoa Nederland Holding BV 6.13% 05-15-2028 Callable 2023 144A United States Corporate USD 1,430,000 1,830 1,867 Algonquin Power & Utilities Corp. 4.65% 02-15-2022 Canada Corporate 3,404,000 3,633 3,500 Algonquin Power & Utilities Corp. 4.09% 02-17-2027 Callable Canada Corporate 3,230,000 3,248 3,335 Alimentation Couche-Tard Inc. 2.95% 01-25-2030 Callable 2029 144A Canada Corporate USD 2,060,000 2,707 2,707 ALME Loan Funding Ltd. F/R 01-15-2031 Callable 2020 Ireland Mortgage Backed EUR 2,700,000 3,944 4,193 Alpha Holding SA de CV 9.00% 02-10-2025 Callable 2023 Mexico Corporate USD 1,080,000 1,425 1,064 AltaLink LP 4.87% 11-15-2040 Canada Corporate 4,300,000 5,068 5,284 AltaLink LP 3.72% 12-03-2046 Callable MTN Canada Corporate 5,020,000 5,529 5,350 Altarea SCA 1.88% 01-17-2028 Callable 2027 France Corporate EUR 2,100,000 3,088 3,136 Altice France 5.50% 01-15-2028 Callable 2022 144A France Corporate USD 450,000 598 610 Altice France SA 2.13% 02-15-2025 Callable 2022 France Corporate EUR 1,360,000 1,962 1,948 American Tower Corp. 2.95% 01-15-2025 Callable 2024 United States Corporate USD 3,000,000 4,055 4,217 Anheuser-Busch InBev Finance Inc. 2.60% 05-15-2024 Callable 2024 Belgium Corporate 2,430,000 2,325 2,384 Anheuser-Busch InBev Worldwide Inc. 4.75% 01-23-2029 Callable 2028 Belgium Corporate USD 390,000 515 612 APFS Staffing Holdings Inc. Term Loan 1st Lien F/R 04-10-2026 United States Bank Loans USD 435,600 570 507 Arbour CLO F/R 01-15-2030 Callable Ireland Mortgage Backed EUR 2,000,000 3,009 3,106 Arcos Dorados Holdings Inc. 5.88% 04-04-2027 Callable 2022 Uruguay Corporate USD 69,000 89 80 ARD Finance SA 6.50% 06-30-2027 Callable 2022 144A Luxembourg Corporate USD 1,450,000 1,917 1,824 Ardagh Packaging Finance PLC 5.25% 08-15-2027 Callable 2022 144A Ireland Corporate USD 315,000 438 456 Aroundtown SA 1.50% 07-15-2024 Germany Corporate EUR 1,000,000 1,482 1,534 Aroundtown SA 4.63% 09-18-2025 Callable 2025 Germany Corporate 1,920,000 1,912 1,969 Aroundtown SA 5.38% 03-21-2029 Callable 2028 Germany Corporate USD 2,000,000 2,968 3,231 Ascend Performance Materials Operations LLC Term Loan B 1st Lien F/R 08-16-2026 United States Bank Loans USD 786,050 1,022 986 Ashtead US Holdings Inc. 4.25% 11-01-2029 United Kingdom Corporate USD 1,395,000 1,828 1,667 AT&T Inc. 1.80% 09-05-2026 Callable 2026 United States Corporate EUR 4,000,000 6,381 6,284 AT&T Inc. 4.35% 03-01-2029 Callable 2028 United States Corporate USD 940,000 1,242 1,425 Atrium European Real Estate Ltd. 3.00% 09-11-2025 Callable 2025 Netherlands Corporate EUR 1,200,000 1,819 1,868 Aurium CLO III F/R 04-16-2030 Callable 144A Ireland Mortgage Backed EUR 1,000,000 1,449 1,553 Aviation Capital Group LLC (ACG) F/R 06-01-2021 144A United States Corporate USD 1,900,000 2,520 2,613 Ball Metalpack Finco LLC Term Loan B 1st Lien F/R 07-26-2025 United States Bank Loans USD 697,575 907 758 Banca Carige SpA F/R 10-25-2021 Italy Corporate EUR 4,200,000 6,399 6,562 Banca Carige SpA F/R 05-25-2022 Italy Corporate EUR 1,900,000 2,804 2,958 Banca Monte dei Paschi di Siena SpA 4.00% 07-10-2022 Italy Corporate EUR 700,000 1,032 996 Banca Monte dei Paschi di Siena 0.88% 10-08-2026 Italy Corporate EUR 2,400,000 3,457 3,705 Banco Bilbao Vizcaya Argentaria SA F/R 06-29-2067 Perpetual Callable 2024 Spain Corporate EUR 800,000 1,210 1,054 Banco Bilbao Vizcaya Argentaria SA F/R 12-24-2067 Perpetual Spain Corporate EUR 600,000 866 794 Banco Santander SA F/R 04-14-2168 Callable 2026 Spain Corporate EUR 600,000 871 703 Bank of America Corp. 3.30% 04-24-2024 Callable 2023 United States Corporate 7,110,000 7,276 7,188 Bank of America Corp. F/R 07-23-2024 Callable 2023 United States Corporate USD 2,000,000 2,779 2,946 Bank of America Corp. F/R 04-25-2025 Callable 2024 United States Corporate 3,140,000 3,154 3,125 Bank of America Corp. F/R 09-20-2025 Callable 2024 United States Corporate 6,940,000 6,921 7,083 Bank of America Corp. F/R 03-24-2026 Callable 2025 United States Corporate 3,380,000 3,380 3,393

SCHEDULE OF INVESTMENTS

as at March 31, 2020 No. of Units, Fair Shares, or Cost Value Country Sector Par Value (CAD$ 000) (CAD$ 000)


SCHEDULE OF INVESTMENTS (continued)


BONDS (continued)EQUITIES (continued) Bank of America Corp. F/R 02-07-2030 Callable 2029 United States Corporate USD 5,900,000 8,628 8,879 Bank of Montreal 2.27% 07-11-2022 DPNT Canada Corporate 11,378,000 11,439 11,430 Bank of Montreal 2.89% 06-20-2023 Canada Corporate 10,320,000 10,392 10,556 Bank of Montreal 2.28% 07-29-2024 Canada Corporate 2,750,000 2,749 2,701 Bank of Montreal 2.70% 09-11-2024 DPNT Canada Corporate 16,975,000 17,370 17,302 Bank of Montreal 2.37% 02-03-2025 Callable 2025 Canada Corporate 3,730,000 3,731 3,670 Bank of Montreal 3.32% 06-01-2026 Canada Corporate 11,250,000 11,331 11,250 Bank of Montreal 3.19% 03-01-2028 Canada Corporate 2,560,000 2,543 2,702 Bank of Montreal F/R 09-17-2029 Callable 2024 Canada Corporate 420,000 420 408 The Bank of Nova Scotia 1.90% 12-02-2021 DPNT Canada Corporate 3,600,000 3,591 3,592 The Bank of Nova Scotia 2.36% 11-08-2022 Canada Corporate 13,350,000 13,181 13,443 The Bank of Nova Scotia 2.98% 04-17-2023 Canada Corporate 8,528,000 8,671 8,739 The Bank of Nova Scotia 2.38% 05-01-2023 Canada Corporate 14,170,000 14,274 14,082 The Bank of Nova Scotia 2.49% 09-23-2024 Canada Corporate 8,390,000 8,415 8,301 The Bank of Nova Scotia 2.16% 02-03-2025 Canada Corporate 5,740,000 5,738 5,595 The Bank of Nova Scotia F/R 07-03-2029 Callable 2024 Canada Corporate 7,460,000 7,453 7,235 Barclays Bank PLC 7.63% 11-21-2022 United Kingdom Corporate USD 3,000,000 4,427 4,313 Barclays PLC F/R 02-15-2023 Callable 2022 United Kingdom Corporate USD 1,900,000 2,604 2,720 Barclays PLC F/R 05-16-2024 Callable 2023 United Kingdom Corporate USD 1,300,000 1,669 1,858 Barclays PLC F/R 05-07-2025 Callable 2024 United Kingdom Corporate USD 1,200,000 1,648 1,629 Barclays PLC 4.38% 01-12-2026 United Kingdom Corporate USD 2,000,000 2,818 2,931 Barclays PLC 5.20% 05-12-2026 United Kingdom Corporate USD 1,700,000 2,539 2,425 Barclays PLC F/R 05-16-2029 Callable 2028 United Kingdom Corporate USD 1,500,000 2,203 2,248 Barclays PLC F/R 06-20-2030 Callable 2029 United Kingdom Corporate USD 700,000 987 1,018 Barclays PLC 3.25% 01-17-2033 United Kingdom Corporate GBP 700,000 1,318 1,051 Barclays PLC F/R 09-15-2067 Perpetual Callable 2024 United Kingdom Corporate USD 500,000 664 652 Barclays PLC F/R Perpetual Callable 2020 United Kingdom Corporate EUR 4,000,000 6,493 5,933 Bausch Health Cos Inc. 5.88% 05-15-2023 Callable 2020 144A United States Corporate USD 292,000 387 407 Bausch Health Cos Inc. 5.50% 11-01-2025 Callable 144A United States Corporate USD 485,000 670 693 Bausch Health Cos Inc. 9.00% 12-15-2025 Callable 2021 United States Corporate USD 440,000 655 654 Bausch Health Cos Inc. 8.50% 01-31-2027 Callable 2022 144A United States Corporate USD 1,595,000 2,315 2,355 Bayer US Finance II LLC 4.25% 12-15-2025 Callable 2025 United States Corporate USD 1,200,000 1,573 1,747 Baytex Energy Corp. 5.63% 06-01-2024 Callable 2020 144A Canada Corporate USD 1,400,000 1,682 772 Baytex Energy Corp. 8.75% 04-01-2027 Callable 2023 144A Canada Corporate USD 540,000 710 293 bcIMC Realty Corp. 3.00% 03-31-2027 Callable 2026 Canada Corporate 3,020,000 3,150 3,121 BCPE Cycle Merger Sub II Inc. 10.63% 07-15-2027 Callable 2022 144A United States Corporate USD 1,750,000 2,341 2,085 Bell Canada Inc. 2.70% 02-27-2024 Callable 2023 Canada Corporate 14,210,000 13,852 14,155 Bell Canada Inc. 3.80% 08-21-2028 Callable 2028 Canada Corporate 3,150,000 3,243 3,292 Bell Canada Inc. 2.90% 09-10-2029 Callable 2029 Canada Corporate 6,580,000 6,556 6,408 Bell Canada Inc. 4.45% 02-27-2047 Callable 2046 Canada Corporate 7,073,000 6,989 7,250 Berry Global Escrow Corp. 4.88% 07-15-2026 Callable 2022 144A United States Corporate USD 440,000 592 628 Berry Global Inc. 4.50% 02-15-2026 Callable 2021 144A United States Corporate USD 170,000 228 232 BMC Acquisition Inc. Term Loan 1st Lien F/R 12-15-2024 United States Bank Loans USD 184,088 234 256 BNP Paribas SA F/R 01-10-2030 Callable 2029 France Corporate USD 2,500,000 3,881 3,581 BOC Aviation Ltd. 3.50% 10-10-2024 Callable 2024 Singapore Corporate USD 3,000,000 4,080 4,520 The Boeing Co. 2.95% 02-01-2030 Callable 2029 United States Corporate USD 40,000 45 52 Bombardier Inc. 6.00% 10-15-2022 Callable 2020 144A Canada Corporate USD 1,030,000 1,244 1,092 Bosphorus CLO F/R 04-15-2027 Callable Ireland Corporate EUR 530,973 796 825 Boston Scientific Corp. 4.00% 03-01-2029 Callable 2028 United States Corporate USD 3,000,000 4,398 4,476 BP Capital Markets PLC 3.47% 05-15-2025 United Kingdom Corporate 3,180,000 3,211 3,206 BRFkredit AS 1.50% 10-01-2050 Denmark Corporate DKK 6,629,193 1,324 1,382 BRFkredit AS 2.00% 10-01-2050 Denmark Corporate DKK 2 - - British Telecommunications PLC 0.88% 09-26-2023 Callable 2023 United Kingdom Corporate EUR 400,000 592 617 Broadcom Inc. 4.25% 04-15-2026 Callable 2026 United States Corporate USD 3,000,000 4,117 4,108 Brookfield Infrastructure Finance ULC 4.20% 09-11-2028 Callable 2028 Canada Corporate 3,365,000 3,431 3,415 Brookfield Infrastructure Finance ULC 3.41% 10-09-2029 Callable 2029 Canada Corporate 3,750,000 3,750 3,558 Brookfield Renewable Energy Partners ULC 3.75% 06-02-2025 Callable 2025 Canada Corporate 9,227,000 9,353 9,497 Brookfield Renewable Partners ULC 4.25% 01-15-2029 Callable 2028 Canada Corporate 2,250,000 2,252 2,373 Brookfield Renewable Partners ULC 3.38% 01-15-2030 Callable 2029 Canada Corporate 1,310,000 1,310 1,279 Brookfield Renewable Partners ULC 4.29% 11-05-2049 Callable 2049 Canada Corporate 2,060,000 2,057 1,776 Brookfield Residential Properties Inc. 6.25% 09-15-2027 Callable 2022 144A Canada Corporate USD 685,000 904 841 Bruce Power LP 2.84% 06-23-2021 Canada Corporate 2,930,000 2,967 2,931 Bruce Power LP 3.00% 06-21-2024 Callable 2024 Canada Corporate 4,059,000 4,144 4,040 Bruce Power LP 3.97% 06-23-2026 Canada Corporate 3,604,000 3,725 3,728 Brunel Residential Mortgage Securities F/R 01-13-2039 Callable United Kingdom Mortgage Backed GBP 1,365,163 2,265 2,241 Builders FirstSource Inc. 6.75% 06-01-2027 Callable 2022 144A United States Corporate USD 242,000 325 335 Bulldog Purchaser Inc. Term Loan B 1st Lien F/R 08-31-2025 United States Bank Loans USD 899,058 1,178 1,048 Bumper UK F/R 12-20-2028 Callable 2023 United Kingdom Mortgage Backed GBP 1,800,000 3,083 3,154 BWAY Corp. Term Loan B 1st Lien F/R 04-03-2024 United States Bank Loans USD 1,663,888 2,106 1,940 BWAY Holding Co. 7.25% 04-15-2025 144A United States Corporate USD 2,019,000 2,606 2,234 Calfrac Holdings LP 8.50% 06-15-2026 Callable 2021 144A Canada Corporate USD 550,000 644 63 California Resources Corp. 8.00% 12-15-2022 Callable 2020 144A United States Corporate USD 2,298,000 2,287 65




BONDS (continued) Camelot Holdings (Jersey) Ltd. 4.50% 11-01-2026 Callable 2022 144A United States Corporate USD 430,000 562 581 Campbell Soup Co. 3.65% 03-15-2023 Callable 2023 United States Corporate USD 401,000 515 577 Canada Housing Trust No. 1 2.90% 06-15-2024 Canada Federal Government 5,410,000 5,716 5,826 Canada Housing Trust No. 1 1.80% 12-15-2024 Canada Federal Government 13,530,000 13,490 13,996 Canadian Imperial Bank of Commerce 2.47% 12-05-2022 Canada Corporate 6,210,000 6,175 6,264 Canadian Imperial Bank of Commerce 2.43% 06-09-2023 Canada Corporate 4,020,000 4,019 4,003 Canadian Imperial Bank of Commerce 2.97% 07-11-2023 Canada Corporate 15,957,000 16,095 16,362 Canadian Imperial Bank of Commerce 2.35% 08-28-2024 Canada Corporate 2,680,000 2,680 2,638 Canadian Imperial Bank of Commerce 3.30% 05-26-2025 Canada Corporate 15,384,000 16,076 16,148 Canadian Imperial Bank of Commerce 3.42% 01-26-2026 Callable 2021 Canada Corporate 342,000 348 343 Canadian Imperial Bank of Commerce F/R 06-19-2029 Callable 2024 Canada Corporate 2,450,000 2,450 2,392 Canadian National Railway Co. 3.00% 02-08-2029 Callable 2028 Canada Corporate 3,900,000 3,970 4,020 Canadian National Railway Co. 3.60% 07-31-2048 Callable 2048 Canada Corporate 1,640,000 1,619 1,656 Canadian National Railway Co. 3.05% 02-08-2050 Callable 2049 Canada Corporate 2,020,000 2,003 1,842 Canadian Natural Resources Ltd. 3.55% 06-03-2024 Canada Corporate 5,030,000 5,155 4,641 Canadian Pacific Railway Ltd. 3.15% 03-13-2029 Callable 2028 Canada Corporate 1,680,000 1,677 1,733 Capital Power Corp. 4.28% 09-18-2024 Callable 2024 Canada Corporate 5,063,000 5,159 5,151 Capital Power Corp. 4.99% 01-23-2026 Callable 2025 Canada Corporate 1,745,000 1,800 1,803 Capital Power Corp. 4.42% 02-08-2030 Callable 2029 Canada Corporate 1,960,000 1,969 1,998 Cards II Trust 2.16% 10-15-2020 Canada Corporate 4,400,000 4,407 4,403 CARDS II Trust 2.43% 11-15-2024 Canada Corporate 3,180,000 3,180 3,163 CareCentrix Inc. Term Loan 1st Lien F/R 03-22-2025 United States Bank Loans USD 275,407 354 274 Casablanca US Holdings Inc. Term Loan 1st Lien F/R 03-31-2024 United States Bank Loans USD 1,253,000 1,609 1,449 Cascades Inc. 5.13% 01-15-2025 Callable 2022 Canada Corporate 890,000 890 871 Cascades Inc. 5.13% 01-15-2026 Callable 2023 144A Canada Corporate USD 1,950,000 2,585 2,665 Canterbury Finance Plc F/R 05-16-2056 Callable 2023 United Kingdom Mortgage Backed GBP 5,000,000 8,613 8,838 CCL Industries Inc. 3.86% 04-13-2028 Callable 2028 Canada Corporate 1,430,000 1,433 1,470 CCO Holdings LLC 4.00% 03-01-2023 Callable 2020 144A United States Corporate USD 670,000 850 945 CCO Holdings LLC 5.88% 04-01-2024 Callable 2020 144A United States Corporate USD 590,000 781 854 CCO Holdings LLC 5.38% 06-01-2029 Callable 2024 144A United States Corporate USD 2,870,000 4,046 4,171 CCO Holdings LLC 4.75% 03-01-2030 Callable 2024 144A United States Corporate USD 1,540,000 2,040 2,148 CCS-CMGC Holdings Inc. Term Loan 1st Lien F/R 09-25-2025 United States Bank Loans USD 651,750 835 737 Centene Corp. 4.25% 12-15-2027 Callable 2022 144A United States Corporate USD 470,000 619 647 Centene Corp. 4.63% 12-15-2029 Callable 2024 144A United States Corporate USD 350,000 465 496 Centene Corp. 3.38% 02-15-2030 Callable 2028 144A United States Corporate USD 810,000 1,077 1,049 Centrais Eletricas Brasileiras SA 3.63% 02-04-2025 Brazil Corporate USD 210,000 277 260 Centrais Eletricas Brasileiras SA 4.63% 02-04-2030 Brazil Corporate USD 210,000 277 251 Central 1 Credit Union F/R 02-05-2021 Canada Corporate 720,000 720 710 CenturyLink Inc. 4.00% 02-15-2027 Callable 2023 144A United States Corporate USD 560,000 730 762 CEVA Logistics Finance BV Term Loan B 1st Lien F/R 08-03-2025 United States Bank Loans USD 545,875 696 431 Charter Communications Operating LLC 4.50% 02-01-2024 Callable 2024 United States Corporate USD 3,290,000 4,498 4,797 Charter Communications Operating LLC 5.05% 03-30-2029 Callable 2028 United States Corporate USD 3,470,000 4,738 5,287 Charter Communications Operating LLC 5.13% 07-01-2049 Callable 2049 United States Corporate USD 1,500,000 1,974 2,262 Chartwell Retirement Residences 3.79% 12-11-2023 Callable 2023 Canada Corporate 5,424,000 5,490 5,622 Chartwell Retirement Residences 4.21% 04-28-2025 Callable 2025 Canada Corporate 1,250,000 1,252 1,302 Chemtrade Logistics Income Fund 4.75% 05-31-2024 Conv. Callable 2022 Canada Corporate 161,000 156 93 China Evergrande Group 8.25% 03-23-2022 Callable 2020 China Corporate USD 200,000 256 222 China Mengniu Dairy Co. Ltd. 3.00% 07-18-2024 China Corporate USD 1,200,000 1,561 1,772 Choice Properties Real Estate Investment Trust 3.56% 09-09-2024 Callable 2024 Canada Corporate 45,000 47 45 Choice Properties Real Estate Investment Trust 3.55% 01-10-2025 Callable 2024 Canada Corporate 3,780,000 3,878 3,794 Choice Properties Real Estate Investment Trust 4.06% 11-24-2025 Callable Canada Corporate 1,210,000 1,285 1,254 Choice Properties Real Estate Investment Trust 4.18% 03-08-2028 Callable 2027 Canada Corporate 4,900,000 4,934 5,102 Choice Properties Real Estate Investment Trust 3.53% 06-11-2029 Callable 2029 Canada Corporate 4,870,000 4,921 4,917 Choice Properties Real Estate Investment Trust 2.98% 03-04-2030 Callable 2029 Canada Corporate 2,340,000 2,343 2,176 Ciel No. 1 PLC F/R 06-12-2046 United Kingdom Mortgage Backed GBP 1,889,615 3,139 3,303 CIT Group Inc. 5.00% 08-01-2023 United States Corporate USD 675,000 952 925 CIT Mortgage Loan Trust F/R 10-25-2037 Callable 2029 144A United States Mortgage Backed USD 2,700,000 3,631 3,216 Citadel Securities LP Term Loan B 1st Lien F/R 02-27-2026 United States Bank Loans USD 749,965 985 962 Citigroup Inc. F/R 06-01-2024 Callable 2023 United States Corporate USD 1,500,000 2,091 2,222 Citigroup Mortgage Loan Trust Inc. 2.65% 08-25-2036 United States Mortgage Backed USD 5,281,809 3,411 1,966 Citigroup Mortgage Loan Trust Inc. F/R 04-25-2066 Callable 2021 144A United States Mortgage Backed USD 2,231,207 2,941 3,124 City of Montreal 3.50% 09-01-2023 Canada Municipal Governments 10,000,000 10,511 10,696 City of Montreal 3.15% 12-01-2036 Canada Municipal Governments 3,500,000 3,492 3,652 City of Toronto 2.60% 09-24-2039 Canada Municipal Governments 580,000 576 559 Civitas Solutions Inc. Term Loan 1st Lien F/R 02-05-2026 United States Bank Loans USD 260,346 340 334 Civitas Solutions Inc. Term Loan 1st Lien F/R 02-05-2026 United States Bank Loans USD 14,030 18 18 Clarity Telecom LLC Term Loan 1st Lien F/R 06-27-2026 United States Bank Loans USD 448,875 581 538 Clean Harbors Inc. 4.88% 07-15-2027 Callable 2022 144A United States Corporate USD 920,000 1,231 1,266 Clean Harbors Inc. 5.13% 07-15-2029 Callable 2024 144A United States Corporate USD 620,000 830 819 Clearway Energy Operating LLC 4.75% 03-15-2028 Callable 2023 144A United States Corporate USD 785,000 1,053 1,032 Colbun SA 4.50% 07-10-2024 Callable 2024 Chile Corporate USD 280,000 387 404 Commonwealth of Bahamas 5.75% 01-16-2024 Bahamas Foreign Governments USD 230,000 318 302




BONDS (continued)EQUITIES (continued) Commonwealth of Bahamas 6.00% 11-21-2028 Callable 2028 Bahamas Foreign Governments USD 1,100,000 1,452 1,385 CommScope Technologies Finance LLC 8.25% 03-01-2027 Callable 2022 144A United States Corporate USD 2,067,500 2,774 2,838 CommScope Technologies LLC 5.00% 03-15-2027 Callable 2022 144A United States Corporate USD 560,000 645 685 Concho Resources Inc. 3.75% 10-01-2027 Callable 2027 United States Corporate USD 1,220,000 1,530 1,455 Connect Finco SARL 6.75% 10-01-2026 United Kingdom Corporate USD 1,360,000 1,803 1,615 Connect Finco SARL Term Loan B 1st Lien F/R 09-23-2026 United Kingdom Bank Loans USD 248,000 325 282 Constellium NV 6.63% 03-01-2025 Callable 2020 144A Netherlands Corporate USD 575,000 791 731 Constellium NV 4.25% 02-15-2026 Callable 2020 Netherlands Corporate EUR 75,000 117 88 Constellium NV 5.88% 02-15-2026 Callable 2020 144A Netherlands Corporate USD 1,770,000 2,219 2,191 CoolSys Inc. Delayed Draw Term Loan 1st Lien F/R 12-31-2049 United States Bank Loans USD 678,547 883 933 Cooperatieve Rabobank U.A. F/R 06-29-2067 Callable 2020 Netherlands Corporate EUR 1,600,000 2,500 2,391 Cooperatieve Rabobank U.A. F/R 06-26-2167 Callable 2021 Netherlands Corporate EUR 5,000,000 8,007 7,439 Cordelio Amalco GP I 4.09% 06-30-2034 Canada Corporate 1,560,591 1,562 1,700 Cordelio Amalco GP I 4.09% 09-30-2034 Canada Corporate 1,548,075 1,549 1,709 CPI Property Group S.A. 4.75% 03-08-2023 Czech Republic Corporate USD 1,100,000 1,461 1,619 CPI Property Group S.A. 1.63% 04-23-2027 Czech Republic Corporate EUR 1,700,000 2,457 2,399 CPPIB Capital Inc. 1.95% 09-30-2029 Canada Corporate 10,420,000 10,363 10,513 Credit Suisse AG 6.50% 08-08-2023 Switzerland Corporate USD 2,500,000 3,579 3,601 Credit Suisse Group F/R 06-24-2027 Callable 2026 Switzerland Corporate EUR 1,500,000 2,249 2,115 Credit Suisse Group AG 4.29% 01-09-2028 Callable 2027 144A Switzerland Corporate USD 400,000 559 583 Credit Suisse Group AG F/R 01-12-2029 Callable 2028 144A Switzerland Corporate USD 2,800,000 3,815 3,994 Credit Suisse Mortgage Trust F/R 10-25-2037 Callable 2020 United States Mortgage Backed USD 188,339 226 187 Credit-Based Asset Servicing 3.57% 01-25-2037 United States Mortgage Backed USD 4,873,394 2,931 2,472 Crew Energy Inc. 6.50% 03-14-2024 Callable Canada Corporate 929,000 889 561 Crombie Real Estate Investment Trust 3.92% 06-21-2027 Callable 2027 Canada Corporate 800,000 800 796 CSC Holdings LLC 6.75% 11-15-2021 Callable United States Corporate USD 1,005,000 1,415 1,473 CU Inc. 3.81% 09-10-2042 Canada Corporate 9,235,000 9,375 9,800 CU Inc. 3.76% 11-19-2046 Callable 2046 Canada Corporate 3,235,000 3,337 3,433 CU Inc. 3.95% 11-23-2048 Callable 2048 Canada Corporate 2,299,000 2,327 2,523 Cumulus Media New Holdings Inc. 6.75% 07-01-2026 Callable 2022 144A United States Corporate USD 500,000 667 630 CVR Partners LP 9.25% 06-15-2023 Callable 2020 144A United States Corporate USD 1,138,000 1,557 1,364 CVS Health Corp. 3.70% 03-09-2023 Callable 2023 United States Corporate USD 240,000 350 350 CVS Health Corp. 4.30% 03-25-2028 Callable 2027 United States Corporate USD 4,000,000 5,705 5,993 DaVita Healthcare Partners Inc. 5.00% 05-01-2025 Callable 2020 United States Corporate USD 3,033,000 3,804 4,277 DBGS Mortgage Trust 3.85% 04-10-2029 144A United States Mortgage Backed USD 2,100,000 2,886 3,023 DBS Bank Ltd. 3.30% 11-27-2021 Singapore Corporate USD 500,000 659 729 DE Kinder Morgan Inc. 4.30% 03-01-2028 Callable 2027 United States Corporate USD 3,000,000 4,284 4,212 Deutsche Bank AG 1.63% 02-12-2021 Germany Corporate EUR 4,500,000 6,741 6,862 Deutsche Bank AG 0.05% 11-20-2024 Germany Corporate EUR 5,600,000 8,146 8,676 Deutsche Bank AG F/R 11-26-2025 Callable 2024 Germany Corporate USD 2,100,000 2,814 2,712 Deutsche Bank AG 2.63% 02-12-2026 Germany Corporate EUR 300,000 474 418 Deutsche Bank AG 1.63% 01-20-2027 Germany Corporate EUR 5,000,000 7,444 6,474 Diamond (BC) BV Term Loan 1st Lien F/R 09-06-2024 United States Bank Loans USD 195,500 252 210 Diamond 1 Finance Corp. 4.42% 06-15-2021 Callable 2021 144A United States Corporate USD 824,000 1,098 1,162 Diamond 1 Finance Corp. 5.45% 06-15-2023 Callable 2023 144A United States Corporate USD 300,000 424 435 Diamond Sports Group LLC 5.38% 08-15-2026 Callable 2022 144A United States Corporate USD 1,790,000 2,373 2,056 Diamond Sports Group LLC 6.63% 08-15-2027 Callable 2022 144A United States Corporate USD 710,000 925 671 Diamondback Energy Inc. 3.25% 12-01-2026 Callable 2026 United States Corporate USD 460,000 476 454 Diamondback Energy Inc. 3.50% 12-01-2029 Callable 2029 United States Corporate USD 1,830,000 1,882 1,791 DMT Solutions Global Corp. Term Loan 1st Lien F/R 06-25-2024 United States Bank Loans USD 186,822 241 231 Dollar General Corp. 4.13% 05-01-2028 Callable 2028 United States Corporate USD 230,000 345 345 Drax Group PLC 6.63% 11-01-2025 Callable 2021 144A United Kingdom Corporate USD 1,670,000 2,162 2,360 Drive Chassis Holdco LLC Term Loan 2nd Lien F/R 04-12-2026 United States Bank Loans USD 260,000 329 266 DRW Holdings LLC Term Loan 1st Lien F/R 11-26-2026 United States Bank Loans USD 379,050 498 484 Dryden Leveraged Loan CDO F/R 01-15-2030 Netherlands Mortgage Backed EUR 2,000,000 3,004 3,106 DynCorp International Inc. Term Loan B 1st Lien F/R 08-15-2025 United States Bank Loans USD 1,209,000 1,561 1,466 Eagle Credit Card Trust 2.63% 10-17-2022 Canada Corporate 7,780,000 7,796 7,819 Eagle Credit Card Trust 3.04% 07-17-2023 Canada Corporate 5,065,000 5,084 5,139 Eastern Power LLC Term Loan B 1st Lien F/R 10-02-2023 United States Bank Loans USD 512,721 671 634 Edgewell Personal Care Co. Term Loan B 1st Lien F/R 09-20-2026 United States Bank Loans USD 224,000 294 314 eG Global Finance PLC 6.75% 02-07-2025 Callable 2021 144A United Kingdom Corporate USD 4,330,000 5,749 5,085 Electrical Components International Inc. Term Loan 1st Lien F/R 06-22-2025 United States Bank Loans USD 1,021,800 1,342 1,102 Electrical Components International Inc. Term Loan 2nd Lien F/R 06-22-2026 United States Bank Loans USD 190,000 237 229 Emera Inc. 2.90% 06-16-2023 Canada Corporate 2,410,000 2,339 2,426 Enbridge Gas Inc. 2.37% 08-09-2029 Callable 2029 Canada Corporate 1,120,000 1,120 1,103 Enbridge Gas Inc. 2.90% 04-01-2030 Callable 2030 Canada Corporate 1,020,000 1,019 1,035 Enbridge Gas Inc. 3.51% 11-29-2047 Callable 2047 Canada Corporate 1,979,000 2,142 2,030 Enbridge Gas Inc. 3.01% 08-09-2049 Callable 2049 Canada Corporate 1,030,000 1,030 956 Enbridge Inc. 2.99% 10-03-2029 Canada Corporate 5,700,000 5,673 5,185 Enbridge Inc. 5.37% 09-27-2077 Callable 2027 Canada Corporate 19,730,000 19,622 16,312 Enbridge Inc. F/R 04-12-2078 Callable 2028 Canada Corporate 7,080,000 7,194 6,899 Enbridge Pipelines Inc. 4.13% 08-09-2046 Callable MTN Canada Corporate 3,834,000 3,902 3,408




BONDS (continued) ENC Holding Corp. Term Loan 1st Lien F/R 05-30-2025 United States Bank Loans USD 363,895 468 428 Encore Credit Receivables Trust F/R 09-25-2035 United States Mortgage Backed USD 690,000 911 846 Enel SpA 4.63% 09-14-2025 Italy Corporate USD 3,000,000 4,321 4,381 ENMAX Corp. 2.92% 10-18-2022 Canada Corporate 880,000 880 908 ENMAX Corp. 3.33% 06-02-2025 Canada Corporate 950,000 950 970 Entercom Communications Corp. 6.50% 05-01-2027 Callable 2022 144A United States Corporate USD 310,000 417 385 EnTrans International LLC Term Loan 1st Lien F/R 10-29-2025 United States Bank Loans USD 1,022,000 1,327 1,239 EPCOR Utilities Inc. 3.55% 11-27-2047 Callable 2047 Canada Corporate 3,400,000 3,488 3,477 EPCOR Utilities Inc. 3.11% 07-08-2049 Callable 2049 Canada Corporate 2,850,000 2,850 2,683 EPR Properties 4.95% 04-15-2028 Callable 2028 United States Corporate USD 1,220,000 1,530 1,600 EPR Properties 3.75% 08-15-2029 Callable 2029 United States Corporate USD 1,660,000 2,178 1,670 EQT Corp. 4.88% 11-15-2021 United States Corporate USD 184,000 247 211 European Investment Bank 0.63% 01-22-2029 Supranational Supranational EUR 500,000 749 823 European Loan Conduit F/R 02-17-2030 Callable 2020 Ireland Mortgage Backed EUR 2,399,669 3,498 3,740 Exela Intermediate LLC Term Loan B 1st Lien F/R 07-12-2023 United States Bank Loans USD 418,429 551 162 Exela Intermediate LLC 10.00% 07-15-2023 Callable 2020 144A United States Corporate USD 818,000 964 321 Expedia Inc. 3.80% 02-15-2028 Callable 2028 United States Corporate USD 3,000,000 4,135 3,659 FAGE International SA/FAGE USA Dairy Industry Inc. 5.63% 08-15-2026

Callable 2021 144A Luxembourg Corporate USD 2,513,000 2,969 2,939 Fair Isaac Corp. 4.00% 06-15-2028 Callable 2022 144A United States Corporate USD 1,850,000 2,465 2,536 Fairfax Financial Holdings Ltd. 5.84% 10-14-2022 Canada Corporate 360,000 391 384 Fairfax Financial Holdings Ltd. 4.50% 03-22-2023 Canada Corporate 4,260,000 4,390 4,370 Fairfax Financial Holdings Ltd. 4.95% 03-03-2025 Canada Corporate 1,910,000 2,082 1,994 Fairfax Financial Holdings Ltd. 4.25% 12-06-2027 Callable 2027 Canada Corporate 6,214,000 6,253 6,122 Fairfax Financial Holdings Ltd. 4.23% 06-14-2029 Callable 2029 Canada Corporate 2,840,000 2,875 2,715 Fannie Mae 2.50% 09-25-2049 United States Mortgage Backed USD 100,700,000 146,536 146,626 FCE Bank PLC 1.88% 06-24-2021 United Kingdom Corporate EUR 2,100,000 3,171 3,009 Federation des Caisses Desjardins du Quebec 2.09% 01-17-2022 Canada Corporate 210,000 211 210 Federation des Caisses Desjardins du Quebec 2.39% 08-25-2022 Canada Corporate 13,948,000 13,661 14,031 Federation des Caisses Desjardins du Quebec 3.06% 09-11-2023 Canada Corporate 3,918,000 3,932 4,023 Federation des Caisses Desjardins du Quebec 2.42% 10-04-2024 Canada Corporate 1,360,000 1,360 1,339 Fidelity National Information Services Inc. 0.75% 05-21-2023 Callable 2023 United States Corporate EUR 600,000 908 917 Finsbury Square F/R 09-12-2065 Callable 2020 United Kingdom Mortgage Backed GBP 2,075,198 3,565 3,616 Finsbury Square F/R 06-16-2069 Callable 2022 United Kingdom Mortgage Backed GBP 2,324,014 4,092 3,982 Finsbury Square F/R 12-16-2069 Callable 2023 United Kingdom Mortgage Backed GBP 2,300,000 3,982 4,025 Finsbury Square F/R 03-16-2070 Callable 2023 United Kingdom Mortgage Backed GBP 5,550,000 9,589 9,403 First American Payment Systems LP Term Loan B 1st Lien F/R 02-21-2027 United States Bank Loans USD 890,000 1,171 1,107 First Eagle Holdings Inc. Term Loan B 1st lien F/R 02-17-2027 United States Bank Loans USD 1,690,304 2,207 2,031 First Quantum Minerals Ltd. 7.25% 04-01-2023 Callable 2020 144A Zambia Corporate USD 2,893,000 3,705 3,446 Fiserv Inc. 3.20% 07-01-2026 United States Corporate USD 3,000,000 4,128 4,330 Ford Motor Credit Co. LLC 3.16% 08-04-2020 United States Corporate USD 1,200,000 1,554 1,652 Ford Motor Credit Co. LLC F/R 03-28-2022 United States Corporate USD 1,000,000 1,266 1,058 Ford Motor Credit Co. LLC F/R 08-03-2022 United States Corporate USD 1,000,000 1,231 1,156 Ford Motor Credit Co. LLC 3.02% 03-06-2024 United States Corporate EUR 600,000 898 762 Forming Machining Industries Holdings LLC Term Loan 1st Lien F/R 10-03-2025 United States Bank Loans USD 918,375 1,183 1,023 Fortified Trust 2.34% 01-23-2023 Canada Corporate 4,220,000 4,220 4,216 Fortified Trust 2.56% 03-23-2024 Canada Corporate 7,330,000 7,399 7,345 FortisAlberta Inc. 4.27% 09-22-2045 MTN Canada Corporate 1,510,000 1,649 1,731 FortisAlberta Inc. 3.74% 09-18-2048 Callable 2048 Canada Corporate 844,000 844 895 FortisBC Energy Inc. 2.82% 08-09-2049 Callable 2049 Canada Corporate 4,190,000 4,187 3,783 Foundation Building Materials LLC Term Loan B 1st Lien F/R 05-11-2025 United States Bank Loans USD 464,125 590 577 Foxtrot Escrow Issuer LLC 12.25% 11-15-2026 Callable 2022 144A United States Corporate USD 1,843,000 2,368 2,038 French Republic Government Bond OAT 3.25% 05-25-2045 France Foreign Governments EUR 2,400,000 5,024 5,956 Fresenius US Finance II Inc. 4.25% 02-01-2021 144A Germany Corporate USD 141,000 184 204 Front Range BidCo Inc. 6.13% 03-01-2028 Callable 2023 144A United States Corporate USD 920,000 1,220 1,221 FXI Holdings Inc. 7.88% 11-01-2024 Callable 2020 144A United States Corporate USD 1,654,000 2,075 1,608 GBT III BV Term Loan 1st Lien F/R 02-27-2027 Netherlands Bank Loans USD 696,637 913 859 GBT US III LLC Delayed Draw Term Loan 1st Lien F/R 02-27-2027 United States Bank Loans USD 583,363 764 720 GEMS MENASA (Cayman) Ltd. Term Loan B 1st Lien F/R 07-30-2026 United Arab Emirates Bank Loans USD 157,607 205 186 General Electric Co. F/R 05-28-2020 United States Corporate EUR 500,000 729 776 General Electric Co. 0.38% 05-17-2022 Callable 2022 United States Corporate EUR 1,700,000 2,548 2,530 GFL Environmental Inc. 5.63% 05-01-2022 Callable 2020 144A Canada Corporate USD 479,000 633 683 GFL Environmental Inc. Term Loan B 1st Lien F/R 05-31-2025 Canada Bank Loans USD 253,210 331 348 GFL Environmental Inc. 7.00% 06-01-2026 Callable 2021 144A Canada Corporate USD 1,696,000 2,194 2,353 GFL Environmental Inc. 5.13% 12-15-2026 Callable 2022 144A Canada Corporate USD 150,000 198 206 Gibson Energy Inc. 5.25% 07-15-2024 Callable 2020 Reg S Canada Corporate 4,334,000 4,356 4,370 Gibson Energy Inc. 3.60% 09-17-2029 Callable 2029 Canada Corporate 2,100,000 2,094 1,860 GLOBALFOUNDRIES Inc. Term Loan B 1st Lien F/R 05-24-2026 United States Bank Loans USD 1,399,425 1,862 1,697 GLP Capital LP 5.75% 06-01-2028 United States Corporate USD 800,000 1,094 1,008 GLP Capital LP/GLP Financing II Inc. 5.25% 06-01-2025 United States Corporate USD 2,000,000 2,895 2,616 The Goldman Sachs Group Inc. 1.38% 05-15-2024 Callable 2023 United States Corporate EUR 2,200,000 3,328 3,358 The Goldman Sachs Group Inc. F/R 05-01-2029 Callable 2028 United States Corporate USD 6,100,000 9,003 9,108




BONDS (continued) The Goldman Sachs Group Inc. 0.88% 01-21-2030 United States Corporate EUR 800,000 1,149 1,051 Government National Mortgage Association 2.50% 09-20-2049 United States Mortgage Backed USD 31,300,000 43,324 46,129 Government of Abu Dhabi 3.13% 10-11-2027 United Arab Emirates Foreign Governments USD 2,000,000 2,601 2,872 Government of Abu Dhabi 4.13% 10-11-2047 United Arab Emirates Foreign Governments USD 1,800,000 2,738 2,742 Government of Australia 4.25% 04-21-2026 Australia Foreign Governments AUD 13,350,000 14,492 14,148 Government of Australia 3.00% 03-21-2047 Australia Foreign Governments AUD 2,000,000 1,921 2,250 Government of Bermuda 4.13% 01-03-2023 Bermuda Foreign Governments USD 180,000 254 270 Government of Bermuda 3.72% 01-25-2027 Callable 2026 Bermuda Foreign Governments USD 160,000 229 218 Government of Canada 1.50% 09-01-2024 Canada Federal Government 56,780,000 56,823 58,997 Government of Canada 1.25% 03-01-2025 Canada Federal Government 46,660,000 47,838 48,118 Government of Canada 1.25% 06-01-2030 Canada Federal Government 240,000,000 239,600 251,059 Government of Canada 1.25% 12-01-2047 Real Return Canada Federal Government 3,478,000 4,550 4,721 Government of Canada 2.75% 12-01-2048 Canada Federal Government 25,140,000 35,104 33,710 Government of China 3.13% 11-21-2029 China Foreign Governments CNY 30,000,000 5,998 6,251 Government of Finland 0.88% 09-15-2025 Finland Foreign Governments EUR 2,000,000 3,093 3,304 Government of Finland 0.50% 04-15-2026 Finland Foreign Governments EUR 3,500,000 5,429 5,682 Government of France 2.00% 05-25-2048 France Foreign Governments EUR 1,000,000 1,656 2,050 Government of France 1.50% 05-25-2050 France Foreign Governments EUR 7,400,000 12,920 13,745 Government of Italy 3.00% 08-01-2029 Italy Foreign Governments EUR 1,300,000 2,093 2,290 Government of Italy 3.85% 09-01-2049 Italy Foreign Governments EUR 1,200,000 2,413 2,427 Government of Italy 2.45% 09-01-2050 Italy Foreign Governments EUR 2,100,000 3,033 3,298 Government of Japan 10 Year Bond 0.10% 09-20-2026 Japan Foreign Governments JPY 680,000,000 8,091 9,046 Government of Japan 0.10% 03-10-2028 Japan Foreign Governments JPY 480,000,000 6,013 6,378 Government of Japan 0.10% 03-20-2029 Japan Foreign Governments JPY 110,000,000 1,367 1,460 Government of Japan 30 Year Bond 1.40% 09-20-2045 Japan Foreign Governments JPY 1,035,400,000 14,594 16,901 Government of Japan 0.50% 09-20-2046 Japan Foreign Governments JPY 135,000,000 1,575 1,811 Government of Japan 0.70% 12-20-2048 Japan Foreign Governments JPY 1,877,000,000 23,140 26,413 Government of Japan 0.50% 03-20-2049 Japan Foreign Governments JPY 885,000,000 10,758 11,852 Government of Kuwait 3.50% 03-20-2027 Kuwait Foreign Governments USD 2,200,000 2,943 3,240 Government of Kuwait 3.50% 03-20-2027 144A Kuwait Foreign Governments USD 3,100,000 4,077 4,566 Government of Lithuania 0.50% 06-19-2029 Lithuania Foreign Governments EUR 7,300,000 10,883 11,582 Government of New South Wales 2.00% 03-20-2031 Australia Foreign Governments AUD 2,900,000 2,693 2,581 Government of Peru 5.94% 02-12-2029 Peru Foreign Governments PEN 3,500,000 1,471 1,539 Government of Peru 5.94% 02-12-2029 144A Peru Foreign Governments PEN 3,000,000 1,270 1,319 Government of Peru 6.95% 08-12-2031 144A Peru Foreign Governments PEN 4,700,000 2,147 2,245 Government of Qatar 3.88% 04-23-2023 Qatar Foreign Governments USD 3,700,000 4,898 5,390 Government of Qatar 3.38% 03-14-2024 Qatar Foreign Governments USD 600,000 805 863 Government of Qatar 3.25% 06-02-2026 Qatar Foreign Governments USD 15,100,000 20,890 21,635 Government of Qatar 4.00% 03-14-2029 Qatar Foreign Governments USD 2,400,000 3,225 3,631 Government of Qatar 4.82% 03-14-2049 Qatar Foreign Governments USD 2,600,000 4,163 4,313 Government of Queensland 3.50% 08-21-2030 Australia Foreign Governments AUD 5,100,000 5,428 5,280 Government of Queensland 1.75% 08-21-2031 Australia Foreign Governments AUD 900,000 815 782 Government of Saudi Arabia 2.88% 03-04-2023 Saudi Arabia Foreign Governments USD 1,500,000 1,889 2,117 Government of Saudi Arabia 4.00% 04-17-2025 Saudi Arabia Foreign Governments USD 2,200,000 2,841 3,229 Government of Saudi Arabia 3.25% 10-26-2026 Saudi Arabia Foreign Governments USD 7,300,000 9,952 10,134 Government of Saudi Arabia 4.38% 04-16-2029 Saudi Arabia Foreign Governments USD 1,300,000 1,721 1,977 Government of South Africa 4.85% 09-30-2029 South Africa Foreign Governments USD 1,600,000 2,121 1,816 Government of South Africa 8.75% 02-28-2048 South Africa Foreign Governments ZAR 13,000,000 1,192 774 Government of South Australia 2.75% 05-24-2030 Australia Foreign Governments AUD 1,500,000 1,505 1,437 Government of Spain 1.45% 04-30-2029 Spain Foreign Governments EUR 5,500,000 8,920 9,185 Government of Spain 0.60% 10-31-2029 Spain Foreign Governments EUR 13,700,000 20,847 21,237 Government of Spain 2.70% 10-31-2048 Spain Foreign Governments EUR 800,000 1,440 1,584 Government of Spain 1.00% 10-31-2050 Spain Foreign Governments EUR 3,200,000 4,645 4,320 Government of Sweden 2.50% 05-12-2025 Sweden Foreign Governments SEK 1,000,000 170 163 Government of United Arab Emirates 3.13% 05-03-2026 United Arab Emirates Foreign Governments USD 1,200,000 1,502 1,727 Government of Victoria 2.50% 10-22-2029 Australia Foreign Governments AUD 400,000 391 376 Government of Victoria 1.50% 11-20-2030 Australia Foreign Governments AUD 1,800,000 1,590 1,539 Government of Victoria 4.25% 12-20-2032 Australia Foreign Governments AUD 1,900,000 2,214 2,113 Government of Western Australia 2.75% 07-24-2029 Australia Foreign Governments AUD 500,000 497 479 Governor & Co. of the Bank of Ireland 7.38% 06-18-2067 Perpetual Callable 2020 Ireland Corporate EUR 1,700,000 2,735 2,550 Gray Escrow Inc. 7.00% 05-15-2027 Callable 2022 144A United States Corporate USD 310,000 407 436 Greater Toronto Airports Authority 2.73% 04-03-2029 Callable 2029 Canada Corporate 1,590,000 1,631 1,617 Greater Toronto Airports Authority 2.75% 10-17-2039 Canada Corporate 1,830,000 1,827 1,635 Greenhill & Co. Inc. Term Loan B 1st Lien F/R 04-05-2024 United States Bank Loans USD 242,667 323 303 Guala Closures SpA F/R 04-15-2024 Callable 2020 Italy Corporate EUR 1,000,000 1,528 1,391 H&R Real Estate Investment Trust 2.92% 05-06-2022 Canada Corporate 2,780,000 2,707 2,778 H&R Real Estate Investment Trust 3.42% 01-23-2023 Callable 2022 Canada Corporate 2,020,000 2,049 2,040 H&R Real Estate Investment Trust 3.37% 01-30-2024 Callable 2023 Canada Corporate 6,503,000 6,553 6,560 Hadrian Merger Sub Inc. 8.50% 05-01-2026 Callable 2021 144A United States Corporate USD 1,855,000 2,382 1,958 Halo Buyer Inc. Term Loan 1st Lien F/R 06-28-2025 United States Bank Loans USD 461,786 602 534 Harben Finance F/R 08-20-2056 United Kingdom Mortgage Backed GBP 2,676,815 4,514 4,649 HarborView Mortgage Loan Trust F/R 08-19-2037 Callable 2027 United States Mortgage Backed USD 1,245,113 1,567 1,228




BONDS (continued) HAT Holdings I LLC 5.25% 07-15-2024 Callable 2021 144A United States Corporate USD 1,130,000 1,482 1,547 HCA Healthcare Inc. 3.50% 09-01-2030 Callable 2030 United States Corporate USD 4,050,000 5,383 5,229 HCA Holdings Inc. 5.25% 06-15-2026 Callable 2025 United States Corporate USD 1,595,000 2,149 2,364 HCA Inc. 5.88% 02-01-2029 Callable 2028 United States Corporate USD 290,000 433 433 HCA Inc. 4.13% 06-15-2029 Callable 2029 United States Corporate USD 3,000,000 4,344 4,266 Heathrow Funding Ltd. 3.25% 05-21-2025 United Kingdom Corporate 4,190,000 4,237 4,292 Heathrow Funding Ltd. 3.40% 03-08-2028 United Kingdom Corporate 4,140,000 4,201 4,174 Heathrow Funding Ltd. 3.79% 09-04-2030 Callable 2030 United Kingdom Corporate 2,290,000 2,302 2,353 Heritage Power LLC Term Loan B 1st Lien F/R 07-08-2026 United States Bank Loans USD 845,750 1,074 984 Hilton Domestic Operating Co. Inc. 4.88% 01-15-2030 Callable 2025 United States Corporate USD 1,310,000 1,738 1,981 Horizon Therapeutics PLC 5.50% 08-01-2027 Callable 2022 144A United States Corporate USD 1,880,000 2,463 2,660 HSBC Bank Canada 2.17% 06-29-2022 Canada Corporate 133,000 133 132 HSBC Bank Canada 2.25% 09-15-2022 Canada Corporate 1,490,000 1,490 1,482 HSBC Holdings PLC F/R 03-11-2025 Callable 2024 United Kingdom Corporate USD 1,900,000 2,644 2,726 HSBC Holdings PLC F/R 06-19-2029 Callable 2028 United Kingdom Corporate USD 2,000,000 2,937 2,986 HSBC Holdings PLC F/R 01-04-2067 Callable 2029 United Kingdom Corporate EUR 500,000 691 672 Hydro One Inc. 2.54% 04-05-2024 Callable 2024 Canada Corporate 8,770,000 8,878 8,877 Hydro One Inc. 2.16% 02-28-2030 Canada Corporate 1,940,000 1,940 1,870 Hydro One Inc. 3.72% 11-18-2047 Canada Corporate 13,390,000 13,459 14,043 Hydro One Inc. 3.63% 06-25-2049 Callable 2048 Canada Corporate 2,784,000 3,082 2,879 Hydro-Quebec 6.50% 01-16-2035 Canada Provincial Governments 4,000,000 5,960 5,993 IHO Verwaltungs GmbH 3.63% 05-15-2025 Callable 2021 Germany Corporate EUR 1,700,000 2,546 2,085 II-VI Inc. Term Loan B 1st Lien F/R 05-08-2026 United States Bank Loans USD 965,150 1,273 1,141 INEOS Enterprises Holdings US Finco LLC Term Loan B 1st Lien F/R 09-03-2026 United States Bank Loans USD 703,065 916 890 ING Groep NV F/R 11-16-2067 Netherlands Corporate USD 2,800,000 3,732 3,404 Innovative Water Care Global Corp. Term Loan 1st Lien F/R 02-27-2026 United States Bank Loans USD 643,500 804 499 Institutional Shareholder Services Inc. Term Loan 1st Lien F/R 02-26-2026 United States Bank Loans USD 554,400 730 653 Intelsat Jackson Holdings SA 8.50% 10-15-2024 Callable 2020 144A Luxembourg Corporate USD 280,000 371 250 Inter Pipeline Ltd. 2.73% 04-18-2024 Callable 2024 Canada Corporate 3,122,000 3,142 2,916 Inter Pipeline Ltd. 3.17% 03-24-2025 Callable 2024 MTN Canada Corporate 3,297,000 3,317 3,162 Inter Pipeline Ltd. 3.48% 12-16-2026 Callable 2026 Canada Corporate 6,058,000 6,085 5,825 Inter Pipeline Ltd. F/R 03-26-2079 Callable 2029 Canada Corporate 7,790,000 8,020 6,937 Inter Pipeline Ltd. F/R 11-19-2079 Callable 2029 Canada Corporate 1,590,000 1,590 1,336 Interior Logic Group Holdings IV LLC Term Loan B 1st Lien F/R 05-21-2025 United States Bank Loans USD 462,950 593 568 The International Bank for Reconstruction and Development 3.50% 01-22-2021 Supranational Supranational NZD 530,000 468 454 International Finance Corp. 3.63% 05-20-2020 Supranational Supranational NZD 171,000 149 144 Iris Merger Sub 2019 Inc. 9.38% 02-15-2028 Callable 2023 144A United States Corporate USD 740,000 983 1,020 Iron Mountain Canada Operations ULC 5.38% 09-15-2023 Callable 2020 United States Corporate 2,740,000 2,793 2,691 Ivanhoe Cambridge II Inc. 2.91% 06-27-2023 Callable 2023 Canada Corporate 1,050,000 1,052 1,074 Ivanhoe Cambridge II Inc. 2.30% 12-12-2024 Callable 2024 Canada Corporate 1,480,000 1,480 1,478 Jane Street Group LLC Term Loan B 1st Lien F/R 01-31-2025 United States Bank Loans USD 992,040 1,314 1,269 Japan Finance Organization for Municipalities 3.00% 03-12-2024 144A Japan Foreign Governments USD 3,600,000 4,789 5,479 JBS Investments II GmbH 5.75% 01-15-2028 Callable 2022 United States Corporate USD 100,000 121 137 JBS Investments II GmbH 5.75% 01-15-2028 Callable 2022 144A United States Corporate USD 1,190,000 1,564 1,631 JBS USA Lux SA 5.88% 07-15-2024 Callable 2020 144A Brazil Corporate USD 460,000 629 658 Jefferies Finance LLC Term Loan 1st Lien F/R 05-21-2026 United States Bank Loans USD 277,900 372 329 JP Intermediate B LLC Term Loan 1st Lien F/R 10-19-2025 United States Bank Loans USD 110,000 143 66 JP Morgan Mortgage Acquisition F/R 05-25-2036 United States Mortgage Backed USD 569,559 751 730 JP Morgan Mortgage Acquisition F/R 10-25-2036 Callable 2024 United States Mortgage Backed USD 2,477,429 3,191 2,968 JPMorgan Chase & Co. 3.19% 03-05-2021 United States Corporate 9,954,000 10,219 10,039 JPMorgan Chase & Co. F/R 12-05-2024 Callable 2023 United States Corporate USD 2,000,000 2,812 2,993 JPMorgan Chase & Co. F/R 05-06-2030 Callable 2029 United States Corporate USD 3,000,000 4,251 4,480 JPMorgan Chase & Co. F/R 10-15-2030 Callable 2029 United States Corporate USD 5,100,000 6,920 7,206 Jubilee CLO 2015-XVI B.V. F/R 12-15-2029 Callable Netherlands Mortgage Backed EUR 1,200,000 1,818 1,864 Jyske Realkredit A/S 1.00% 10-01-2050 Denmark Corporate DKK 65,855,944 12,572 13,119 Keane Group Holdings LLC Term Loan B 1st Lien F/R 05-18-2025 United States Bank Loans USD 707,400 906 668 Kestrel Acquisition LLC Term Loan B 1st Lien F/R 05-02-2025 United States Bank Loans USD 1,308,399 1,701 1,109 Kestrel Bidco Inc. Term Loan 1st Lien F/R 08-07-2026 Canada Bank Loans USD 1,087,275 1,422 1,206 Keyera Corp. F/R 06-13-2079 Callable 2029 Canada Corporate 9,010,000 9,180 8,015 Keystone Peer Review Organization Holdings Inc. Term Loan 1st Lien F/R 05-01-2024 United States Bank Loans USD 513,158 666 597 Korn Ferry 4.63% 12-15-2027 Callable 2022 144A United States Corporate USD 560,000 738 692 The Kraft Heinz Co. 5.00% 06-04-2042 United States Corporate USD 1,250,000 1,696 1,681 Kraft Heinz Foods Co. 3.00% 06-01-2026 Callable 2026 United States Corporate USD 1,250,000 1,653 1,675 Kreditanstalt Fuer Wiederaufbau 0.75% 01-15-2029 Germany Corporate EUR 1,500,000 2,278 2,492 The Kroger Co. 3.95% 01-15-2050 Callable 2049 United States Corporate USD 120,000 171 176 Kruger Products LP 6.00% 04-24-2025 Callable 2021 Canada Corporate 2,340,000 2,330 2,170 L&W Inc. Term Loan 1st Lien F/R 05-17-2025 United States Bank Loans USD 634,522 813 734 LABL Escrow Issuer LLC 6.75% 07-15-2026 Callable 2022 144A United States Corporate USD 741,000 992 986 LABL Escrow Issuer LLC 10.50% 07-15-2027 Callable 2022 144A United States Corporate USD 1,948,000 2,604 2,565 Lamb Weston Holdings Inc. 4.63% 11-01-2024 Callable 2021 144A United States Corporate USD 1,440,000 1,924 2,009 Lamb Weston Holdings Inc. 4.88% 11-01-2026 Callable 2021 144A United States Corporate USD 2,434,000 3,160 3,500 Lehman XS Trust F/R 03-25-2047 Callable 2023 United States Corporate USD 1,084,482 1,394 1,270




BONDS (continued) Liberty Utilities (Canada) LP 3.32% 02-14-2050 Callable 2049 Canada Corporate 1,230,000 1,230 1,100 LifeScan Global Corp. Term Loan 1st Lien F/R 06-19-2024 United States Bank Loans USD 1,174,892 1,493 1,331 LifeScan Global Corp. Term Loan 2nd Lien F/R 06-19-2025 United States Bank Loans USD 470,000 586 446 Lions Gate Capital Holdings LLC 6.38% 02-01-2024 Callable 2021 144A United States Corporate USD 160,000 214 199 Live Nation Entertainment Inc. 4.75% 10-15-2027 Callable 2022 144A United States Corporate USD 340,000 454 437 Lloyds Bank PLC 4.88% 03-30-2027 United Kingdom Corporate GBP 3,500,000 7,495 7,706 Lloyds Banking Group PLC 4.05% 08-16-2023 United Kingdom Corporate USD 2,000,000 2,773 2,870 Lloyds Banking Group PLC Perpetual 4.50% 06-27-2024 United Kingdom Corporate USD 737,000 1,056 895 Lloyds Banking Group PLC 4.58% 12-10-2025 United Kingdom Corporate USD 2,000,000 2,812 2,822 Lloyds Banking Group PLC F/R Perpetual Callable 2023 United Kingdom Corporate GBP 2,200,000 3,804 3,273 Lloyds Banking Group PLC F/R 12-27-2067 United Kingdom Corporate USD 1,963,000 2,731 2,486 Loblaw Companies Ltd. 4.49% 12-11-2028 Callable 2028 Canada Corporate 340,000 373 370 Logicor Financing SARL 1.63% 07-15-2027 Callable 2027 Luxembourg Corporate EUR 2,500,000 3,745 3,646 Louisiana-Pacific Corp. 4.88% 09-15-2024 Callable 2020 United States Corporate USD 265,000 359 322 LPL Holdings Inc. 4.63% 11-15-2027 Callable 2022 144A United States Corporate USD 860,000 1,133 1,130 The Manufacturers Life Insurance Co. 2.39% 01-05-2026 Callable 2021 Canada Corporate 5,332,000 5,279 5,326 Manulife Bank of Canada 2.84% 01-12-2023 Canada Corporate 4,520,000 4,493 4,572 Manulife Bank of Canada 2.38% 11-19-2024 Canada Corporate 3,840,000 3,861 3,806 Manulife Financial Corp. F/R 05-09-2028 Callable 2023 Canada Corporate 1,330,000 1,337 1,337 Manulife Financial Corp. F/R 08-20-2029 Callable 2024 Canada Corporate 4,000,000 3,895 3,960 Masco Corp. 3.50% 04-01-2021 Callable 2021 United States Corporate USD 600,000 789 838 Mattel Inc. 3.15% 03-15-2023 Callable 2022 United States Corporate USD 1,356,000 1,765 1,785 Matterhorn Merger Sub LLC 8.50% 06-01-2026 Callable 2021 144A United States Corporate USD 1,768,000 2,250 2,017 McDonald’s Corp. 3.13% 03-04-2025 Callable 2025 United States Corporate 8,840,000 8,882 8,971 McDonald’s Corp. 3.80% 04-01-2028 Callable 2028 United States Corporate USD 1,130,000 1,591 1,689 MEG Energy Corp. 7.00% 03-31-2024 Callable 2020 144A Canada Corporate USD 631,000 730 411 MEG Energy Corp. 7.13% 02-01-2027 Callable 2023 144A Canada Corporate USD 1,880,000 2,465 1,326 Meredith Corp. 6.88% 02-01-2026 Callable 2021 United States Corporate USD 2,455,000 3,278 3,045 Meredith Corp. Term Loan B 1st Lien F/R 01-31-2025 United States Bank Loans USD 769,419 998 971 Metronet Systems Holding LLC Term Loan 1st Lien F/R 12-31-2049 United States Bank Loans USD 497,500 654 670 Micron Technology Inc. 4.19% 02-15-2027 Callable 2026 United States Corporate USD 1,000,000 1,304 1,463 Millar Western Forest Products Ltd. 9.50% 06-20-2023 Callable 2020 Canada Corporate 1,020,000 1,020 727 Minotaur Acquisition Inc. Term Loan 1st Lien F/R 02-27-2026 United States Bank Loans USD 613,552 791 734 Mitsubishi UFJ Lease & Finance Co. Ltd. 3.41% 02-28-2022 Callable 2022 Japan Corporate USD 3,000,000 4,039 4,313 Mizuho Financial Group Inc. F/R 09-13-2030 Callable 2029 Japan Corporate USD 4,500,000 6,132 5,687 Molina Healthcare Inc. 5.38% 11-15-2022 Callable 2022 United States Corporate USD 435,000 606 611 Morgan Stanley 3.00% 02-07-2024 Series MPLE United States Corporate 4,030,000 3,943 4,041 Morgan Stanley F/R 04-24-2024 Callable 2023 United States Corporate USD 1,500,000 2,068 2,181 MSCI Inc. 4.00% 11-15-2029 United States Corporate USD 430,000 566 604 MSCI Inc. 3.63% 09-01-2030 Callable 2025 144A United States Corporate USD 250,000 345 336 Mulcair Securities F/R 04-24-2071 Callable 2022 Ireland Mortgage Backed EUR 1,321,494 1,985 2,059 Multi-Color Corp. Term Loan B 1st Lien F/R 06-17-2026 United States Bank Loans USD 616,900 817 738 MyNEXUS Inc. Term Loan 1st Lien F/R 06-19-2024 United States Bank Loans USD 527,250 680 710 Natel Engineering Co. Inc. Term Loan B 1st Lien F/R 04-29-2026 United States Bank Loans USD 406,925 543 439 National Australia Bank Ltd. F/R 06-12-2030 Callable 2025 Australia Corporate 6,260,000 6,260 6,048 National Bank of Canada 2.98% 03-04-2024 Canada Corporate 7,994,000 8,170 8,078 National Bank of Canada 2.55% 07-12-2024 Canada Corporate 16,614,000 16,758 16,508 National Bank of Canada 2.58% 02-03-2025 Canada Corporate 8,920,000 8,965 8,847 Nationwide Building Society F/R 03-08-2024 Callable 2023 144A United Kingdom Corporate USD 1,200,000 1,556 1,696 Nationwide Building Society F/R 07-18-2030 Callable 2029 144A United Kingdom Corporate USD 4,000,000 5,358 5,773 Nationwide Building Society F/R 12-20-2067 United Kingdom Corporate GBP 1,825,000 3,252 2,618 NAV Canada 3.29% 03-30-2048 Callable 2047 Canada Corporate 1,209,000 1,223 1,193 NAV Canada 3.21% 09-29-2050 Callable 2050 Canada Corporate 190,000 191 184 Neenah Foundry Co. Term Loan B 1st Lien F/R 12-08-2022 United States Bank Loans USD 230,350 293 284 Netflix Inc. 4.88% 04-15-2028 United States Corporate USD 535,000 745 769 Netflix Inc. 3.88% 11-15-2029 United States Corporate EUR 1,100,000 1,679 1,683 New Red Finance Inc. 5.00% 10-15-2025 Callable 2020 144A Canada Corporate USD 3,430,000 4,380 4,671 New Residential Mortgage Loan Trust 2.75% 11-25-2059 Callable 2022 United States Mortgage Backed USD 3,168,705 4,249 4,539 New South Wales Treasury Corp. 3.00% 02-20-2030 Australia Foreign Governments AUD 7,500,000 7,691 7,456 Newhaven CLO F/R 02-15-2030 Ireland Mortgage Backed EUR 700,000 1,052 1,087 Nexstar Escrow Inc. 5.63% 07-15-2027 Callable 2022 144A United States Corporate USD 1,669,000 2,239 2,306 Nine Energy Service Inc. 8.75% 11-01-2023 Callable 2020 144A United States Corporate USD 1,040,000 1,353 368 Nissan Motor Acceptance Corp. F/R 09-21-2021 144A United States Corporate USD 500,000 659 686 Nomura Resecuritization Trust F/R 03-25-2037 Callable 2020 144A United States Mortgage Backed USD 1,721,956 2,251 2,274 Norbord Inc. 5.75% 07-15-2027 Callable 2022 144A Canada Corporate USD 1,150,000 1,531 1,505 Nordea Kredit Realkreditaktieselskab 1.00% 10-01-2050 Denmark Corporate DKK 43,095,759 8,267 8,572 Nordea Kredit Realkreditaktieselskab 2.00% 10-01-2050 Denmark Corporate DKK 2 - - Northern Territory Department 2.00% 04-21-2031 Australia Foreign Governments AUD 1,700,000 1,504 1,480 Nouvelle Autoroute 30 Financement Inc. 4.11% 03-31-2042 Canada Corporate 1,299,477 1,299 1,423 Nova Scotia Power Inc. 3.57% 04-05-2049 Callable 2048 Canada Corporate 1,270,000 1,274 1,258 Nufarm Australia Ltd. 5.75% 04-30-2026 Callable 2021 144A Australia Corporate USD 1,290,000 1,625 1,575 Numericable-SFR 7.38% 05-01-2026 Callable 2021 144A France Corporate USD 2,025,000 2,719 2,860




BONDS (continued) NuVista Energy Ltd. 6.50% 03-02-2023 Callable 2020 Canada Corporate 1,640,000 1,619 1,059 NWD MTN Ltd. 4.13% 07-18-2029 Hong Kong Corporate USD 1,400,000 1,806 1,901 Nykredit Realkredit A/S 1.00% 10-01-2050 Denmark Corporate DKK 200,695,071 38,317 39,923 Nykredit Realkredit A/S 2.00% 10-01-2050 Denmark Corporate DKK 1 - - Occidental Petroleum Corp. 4.10% 02-01-2021 Callable 2020 United States Corporate USD 610,000 821 731 Occidental Petroleum Corp. 4.40% 04-15-2046 Callable 2045 United States Corporate USD 1,880,000 2,170 1,187 Office Depot Inc. Term Loan B 1st Lien F/R 11-08-2022 United States Bank Loans USD 247,230 325 339 OMERS Finance Trust 2.60% 05-14-2029 Canada Corporate 5,460,000 5,535 5,731 OMERS Realty Corp. 3.24% 10-04-2027 Callable 2027 Canada Corporate 12,701,000 12,804 13,314 OMERS Realty Corp. 3.63% 06-05-2030 Callable 2030 Canada Corporate 4,010,000 4,170 4,339 Ontario Power Generation Inc. 3.32% 10-04-2027 Callable 2027 Canada Corporate 6,160,000 6,237 6,383 Ontario Power Generation Inc. 2.98% 09-13-2029 Canada Corporate 1,830,000 1,830 1,832 Ontario Power Generation Inc. 3.84% 06-22-2048 Callable 2047 Canada Corporate 2,684,000 2,915 2,659 Ontario Power Generation Inc. 4.25% 01-18-2049 Callable 2048 Canada Corporate 1,855,000 2,005 1,974 OPB Finance Trust 2.98% 01-25-2027 Canada Provincial Governments 5,428,000 5,413 5,798 Outfront Media Capital LLC 4.63% 03-15-2030 Callable 2025 144A United States Corporate USD 720,000 953 909 Panther BF Aggregator 2 LP 6.25% 05-15-2026 144A United States Corporate USD 250,000 337 332 Panther BF Aggregator 2 LP 8.50% 05-15-2027 Callable 2022 144A United States Corporate USD 3,600,000 4,848 4,437 Park Aerospace Holdings Ltd. 4.50% 03-15-2023 Callable 2023 144A Ireland Corporate USD 1,000,000 1,274 1,195 Parkland Fuel Corp. 6.00% 11-21-2022 Callable Canada Corporate 1,379,000 1,424 1,347 Parkland Fuel Corp. 5.75% 09-16-2024 Callable 2020 Canada Corporate 256,000 259 244 Parkland Fuel Corp. 6.00% 04-01-2026 Callable 2021 144A Canada Corporate USD 2,199,000 2,869 2,890 Parkland Fuel Corp. 5.88% 07-15-2027 Callable 2022 144A Canada Corporate USD 2,131,000 2,850 2,823 Parsley Energy LLC 4.13% 02-15-2028 Callable 2023 144A United States Corporate USD 420,000 506 406 Parsley Energy LLC/Parsley Finance Corp. 5.38% 01-15-2025 Callable 2020 144A United States Corporate USD 830,000 937 907 PayPal Holdings Inc. 2.40% 10-01-2024 Callable 2024 United States Corporate USD 1,830,000 2,426 2,560 PayPal Holdings Inc. 2.65% 10-01-2026 United States Corporate USD 1,930,000 2,553 2,671 Pembina Pipeline Corp. 3.54% 02-03-2025 Callable MTN Canada Corporate 5,880,000 6,065 5,758 Pembina Pipeline Corp. 4.02% 03-27-2028 Callable 2027 Canada Corporate 7,892,000 8,307 7,712 Pembina Pipeline Corp. 3.62% 04-03-2029 Callable 2029 Canada Corporate 3,760,000 3,845 3,448 Pembina Pipeline Corp. 3.31% 02-01-2030 Callable 2029 Canada Corporate 1,150,000 1,149 1,028 Penske Truck Leasing Canada Inc. 2.95% 06-12-2020 Canada Corporate 2,800,000 2,809 2,802 Penske Truck Leasing Co. LP 3.45% 07-01-2024 Callable 2024 144A United States Corporate USD 3,000,000 4,118 4,317 Petroleo Brasileiro SA 5.09% 01-15-2030 Brazil Corporate USD 3,327,000 4,618 4,264 Petroleos De Venezuela SA 6.00% 05-16-2024 Venezuela Corporate USD 910,000 291 103 Petroleos Mexicanos 6.50% 03-13-2027 Mexico Corporate USD 1,390,000 1,942 1,457 Pisces Midco Inc. 8.00% 04-15-2026 Callable 2021 144A United States Corporate USD 1,237,000 1,571 1,511 PKO Bank Hipoteczny Spolka Akcyjna 0.25% 11-23-2021 Poland Corporate EUR 200,000 296 312 Pluto Acquisition I Inc. Term Loan 1st Lien F/R 06-18-2026 United States Bank Loans USD 625,275 828 754 Polymer Process Holdings Inc. Term Loan 1st Lien F/R 04-29-2026 United States Bank Loans USD 625,275 821 801 Precise Mortgage Funding F/R 10-16-2056 Callable 2024 United Kingdom Mortgage Backed GBP 2,489,190 4,231 4,232 Prime Securities Mortgage Trust 1.97% 02-15-2023 Canada Corporate 2,210,000 2,210 2,177 Project Leopard Holdings Inc. Term Loan 1st Lien F/R 07-07-2023 United States Bank Loans USD 433,408 558 539 Province of Alberta 0.63% 01-16-2026 Canada Provincial Governments EUR 4,900,000 7,452 7,891 Province of Newfoundland 3.00% 06-02-2026 Canada Provincial Governments 5,590,000 5,590 5,909 Province of Newfoundland 3.70% 10-17-2048 Canada Provincial Governments 2,480,000 2,688 2,712 Province of Ontario F/R 08-21-2023 Canada Provincial Governments 817,000 817 812 Province of Ontario 2.30% 09-08-2024 Canada Provincial Governments 8,830,000 8,948 9,163 Province of Ontario 2.65% 02-05-2025 Canada Provincial Governments 4,494,000 4,561 4,748 Province of Ontario 1.75% 09-08-2025 Canada Provincial Governments 8,480,000 8,577 8,577 Province of Ontario 1.85% 02-01-2027 Canada Provincial Governments 4,300,000 4,288 4,358 Province of Ontario 2.70% 06-02-2029 Canada Provincial Governments 78,870,000 82,194 84,465 Province of Ontario 2.05% 06-02-2030 Canada Provincial Governments 106,290,000 107,144 107,380 Province of Ontario 2.90% 06-02-2049 Canada Provincial Governments 56,600,000 56,160 60,558 Province of Ontario 2.65% 12-02-2050 Canada Provincial Governments 75,800,000 79,060 77,719 Province of Quebec 0% 04-01-2026 Generic Strip Canada Provincial Governments 287,000 253 260 Province of Quebec 2.75% 09-01-2028 Canada Provincial Governments 37,600,000 37,155 40,508 Province of Quebec 2.30% 09-01-2029 Canada Provincial Governments 38,600,000 39,924 40,160 Province of Quebec 1.90% 09-01-2030 Canada Provincial Governments 9,820,000 9,830 9,800 Province of Quebec 3.50% 12-01-2048 Canada Provincial Governments 56,130,000 66,146 67,035 Province of Saskatchewan 3.30% 06-02-2048 Canada Provincial Governments 2,539,000 2,682 2,754 PS HoldCo LLC Term Loan 1st Lien F/R 03-02-2025 United States Bank Loans USD 453,100 581 591 PSP Capital Inc. 3.29% 04-04-2024 Canada Federal Government 2,000,000 2,116 2,148 PSP Capital Inc. 2.05% 01-15-2030 Canada Federal Government 9,820,000 9,851 9,957 PTC Inc. 4.00% 02-15-2028 Callable 2023 144A United States Corporate USD 710,000 937 979 Qatar National Bank QPSC F/R 02-12-2022 Qatar Corporate USD 21,500,000 28,554 30,246 QNB Finance Ltd. F/R 05-31-2021 Qatar Corporate USD 4,500,000 6,014 6,174 Quad/Graphics Inc. 7.00% 05-01-2022 United States Corporate USD 1,057,000 1,414 1,253 Quebecor Media Inc. 6.63% 01-15-2023 144A Canada Corporate 1,179,000 1,247 1,205 Rackspace Hosting Inc. 8.63% 11-15-2024 Callable 2020 144A United States Corporate USD 1,923,000 2,503 2,440 Radiology Partners Inc. 9.25% 02-01-2028 United States Corporate USD 480,000 631 587 Rayonier AM Products Inc. 5.50% 06-01-2024 Callable 2020 144A United States Corporate USD 1,760,000 1,870 1,132




Real Estate Asset Liquidity Trust 2.38% 02-12-2055 Callable 2020 144A Canada Mortgage Backed 2,400,000 2,400 2,400 Real Estate Asset Liquidity Trust 2.87% 02-12-2055 Callable 2020 144A Canada Mortgage Backed 4,300,000 4,300 4,300 Reliance Intermediate Holdings LP 6.50% 04-01-2023 Callable 2020 144A Canada Corporate USD 1,707,000 2,301 2,442 Renaissance Home Equity Loan Trust 5.73% 11-25-2036 United States Mortgage Backed USD 2,582,364 1,892 1,180 Republic of Peru 6.35% 08-12-2028 144A Peru Foreign Governments PEN 7,300,000 3,070 3,335 Republic of Peru 5.35% 08-12-2040 Peru Foreign Governments PEN 4,900,000 1,922 1,921 Residential Mortgage Securities F/R 03-20-2050 Callable 2021 United Kingdom Corporate GBP 1,813,055 3,028 3,144 Reynolds Group Issuer Inc. 5.13% 07-15-2023 Callable 2020 144A United States Corporate USD 1,250,000 1,606 1,749 Rite Aid Corp. 6.13% 04-01-2023 Callable 2020 144A United States Corporate USD 639,000 737 786 Rite Aid Corp. 7.50% 07-01-2025 Callable 2022 United States Corporate USD 371,000 428 508 Rite Aid Corp. 7.70% 02-15-2027 United States Corporate USD 2,448,000 2,607 2,686 Rogers Communications Inc. 3.65% 03-31-2027 Canada Corporate 2,330,000 2,319 2,415 Rogers Communications Inc. 3.25% 05-01-2029 Callable 2029 Canada Corporate 4,450,000 4,486 4,426 Royal Bank of Canada 2.36% 12-05-2022 Canada Corporate 23,940,000 23,847 24,107 Royal Bank of Canada 2.95% 05-01-2023 Canada Corporate 25,306,000 25,965 25,903 Royal Bank of Canada 3.30% 09-26-2023 Canada Corporate 1,820,000 1,821 1,861 Royal Bank of Canada 2.35% 07-02-2024 Canada Corporate 110,000 110 109 Royal Bank of Canada 2.61% 11-01-2024 Canada Corporate 1,530,000 1,532 1,524 Royal Bank of Canada 2.33% 01-28-2027 Canada Corporate 4,770,000 4,771 4,588 Royal Bank of Canada F/R 07-25-2029 Canada Corporate 1,480,000 1,482 1,438 Royal Bank of Canada F/R 12-23-2029 Callable 2024 Canada Corporate 2,040,000 2,044 1,973 The Royal Bank of Scotland Group PLC 3.88% 09-12-2023 United Kingdom Corporate USD 2,468,000 3,225 3,571 The Royal Bank of Scotland Group PLC F/R 03-22-2025 Callable 2024 United Kingdom Corporate USD 500,000 693 706 The Royal Bank of Scotland Group PLC F/R 11-15-2025 Callable 2024 United Kingdom Corporate EUR 1,500,000 2,179 2,094 The Royal Bank of Scotland Group PLC F/R 03-02-2026 United Kingdom Corporate EUR 1,000,000 1,520 1,451 The Royal Bank of Scotland Group PLC F/R 01-27-2030 Callable 2029 United Kingdom Corporate USD 500,000 702 764 The Royal Bank of Scotland Group PLC F/R 05-08-2030 United Kingdom Corporate USD 2,000,000 2,855 2,881 The Royal Bank of Scotland Group PLC F/R 12-29-2049 Callable 2020 United Kingdom Corporate USD 1,200,000 1,592 1,568 The Royal Bank of Scotland Group PLC F/R 09-30-2067 Callable 2021 United Kingdom Corporate USD 1,700,000 2,416 2,377 Russel Metals Inc. 6.00% 03-16-2026 Callable 2021 Canada Corporate 1,100,000 1,100 1,022 Sabine Pass Liquefaction LLC 5.63% 02-01-2021 United States Corporate USD 1,700,000 2,326 2,376 Sabine Pass Liquefaction LLC 5.00% 03-15-2027 United States Corporate USD 3,000,000 4,334 3,755 Sabre Industries Inc. Term Loan B 1st Lien F/R 04-09-2026 United States Bank Loans USD 178,650 236 231 Samhallsbyggnadsbolaget i Nord 1.75% 01-14-2025 Callable 2024 Sweden Corporate EUR 2,500,000 3,795 3,839 Sands China Ltd. 5.40% 08-08-2028 Callable 2028 United States Corporate USD 3,000,000 4,455 3,970 Santander UK Group Holdings PLC 3.57% 01-10-2023 Callable 2022 United Kingdom Corporate USD 1,400,000 1,770 1,967 Santander UK Group Holdings PLC 0.39% 02-28-2025 Callable 2024 United Kingdom Corporate EUR 1,500,000 2,146 2,142 Santander UK Group Holdings PLC 4.75% 09-15-2025 144A United Kingdom Corporate USD 2,000,000 2,788 2,793 Santander UK PLC F/R 11-12-2024 United Kingdom Corporate GBP 1,800,000 3,051 3,086 Santander UK PLC 0.05% 01-12-2027 United Kingdom Corporate EUR 2,700,000 3,894 4,159 Santander UK PLC 1.26% 02-12-2027 144A United Kingdom Corporate GBP 1,200,000 2,077 2,006 Saputo Inc. 2.88% 11-19-2024 Callable 2024 Canada Corporate 1,230,000 1,230 1,210 Saudi Arabian Oil Co. 2.75% 04-16-2022 144A Saudi Arabia Corporate USD 700,000 930 974 Scientific Games International Inc. 6.63% 05-15-2021 Callable 2020 United States Corporate USD 3,000,000 4,036 3,436 Scotia Capital Inc. 1.74% 01-01-2025 Canada Mortgage Backed 6,385,744 6,322 6,496 Scotts Miracle-Gro Co. 4.50% 10-15-2029 United States Corporate USD 790,000 1,052 1,056 Scripps Escrow Inc. 5.88% 07-15-2027 Callable 2022 144A United States Corporate USD 2,050,000 2,687 2,583 Sea to Sky Highway Investment LP 2.63% 08-31-2030 Canada Corporate 889,397 868 917 Seazen Holdings Co. Ltd. 7.50% 03-20-2022 Callable 2020 China Corporate USD 500,000 673 620 Sempra Energy 3.55% 06-15-2024 Callable 2024 United States Corporate USD 3,000,000 4,128 4,230 Service Corp. International 5.13% 06-01-2029 Callable 2024 United States Corporate USD 630,000 849 909 Shaw Communications Inc. 3.80% 03-01-2027 Callable Canada Corporate 3,024,000 3,104 3,094 Shaw Communications Inc. 4.40% 11-02-2028 Callable 2028 Canada Corporate 2,950,000 2,948 3,132 Shaw Communications Inc. 6.75% 11-09-2039 Canada Corporate 6,490,000 8,013 7,867 Shields Health Solutions Holdings LLC Term Loan 1st Lien F/R 08-13-2026 United States Bank Loans USD 547,250 721 675 Shriram Transport Finance Co. Ltd. 5.95% 10-24-2022 India Corporate USD 1,000,000 1,329 1,051 Sienna Senior Living Inc. 3.11% 11-04-2024 Canada Corporate 890,000 890 888 Sigma Bidco BV Term Loan B 1st Lien F/R 03-07-2025 Netherlands Bank Loans EUR 950,000 1,500 1,359 Silgan Holdings Inc. 4.13% 02-01-2028 Callable 2022 144A United States Corporate USD 1,030,000 1,355 1,365 Sinclair Television Group Inc. Term Loan B2 1st Lien F/R 07-18-2026 United States Bank Loans USD 457,700 594 616 Sinclair Television Group Inc. 5.50% 03-01-2030 Callable 2024 144A United States Corporate USD 1,070,000 1,420 1,259 Sirius XM Radio Inc. 5.00% 08-01-2027 Callable 2022 144A United States Corporate USD 555,000 766 796 SIRVA Worldwide Inc. Term Loan 1st Lien F/R 07-31-2025 United States Bank Loans USD 2,541 3 3 SmartCentres Real Estate Investment Trust 3.53% 12-20-2029 Callable 2029 Canada Corporate 5,980,000 6,095 5,812 Soundview Home Equity Loan Trust F/R 08-25-2035 United States Corporate USD 1,400,000 1,592 1,226 Source Energy Services Canada LP 10.50% 12-15-2021 Callable 2020 144A Canada Corporate 3,128,000 3,319 1,200 Spain Government Bond 5.15% 10-31-2044 Spain Foreign Governments EUR 710,000 1,580 1,962 Spirit AeroSystems Inc. 3.95% 06-15-2023 Callable 2023 United States Corporate USD 3,000,000 4,090 3,640 Springleaf Finance Corp. 7.75% 10-01-2021 United States Corporate USD 700,000 968 1,001 Sprint Capital Corp. 6.88% 11-15-2028 United States Corporate USD 144,000 207 232 Sprint Corp. 7.88% 09-15-2023 144A United States Corporate USD 100,000 150 149 Sprint Corp. 7.88% 09-15-2023 United States Corporate USD 1,675,000 2,305 2,603 Sprint Corp. 7.13% 06-15-2024 United States Corporate USD 1,185,000 1,669 1,836

BONDS (continued)




Sprint Spectrum Co. LLC 4.74% 03-20-2025 144A United States Corporate USD 2,048,000 2,686 2,960 Spy Hill Power LP 4.14% 03-31-2036 Canada Corporate 94,286 104 107 SRS Distribution Inc. Term Loan B 1st Lien F/R 05-24-2025 United States Bank Loans USD 468,825 611 582 Starfruit US Holdco LLC 8.00% 10-01-2026 Callable 2021 144A Netherlands Corporate USD 1,300,000 1,666 1,740 Stars Group Holdings BV Term Loan B 1st Lien F/R 07-10-2025 Canada Bank Loans USD 900,000 1,047 1,028 Sumitomo Mitsui Banking Corp. 0.41% 11-07-2029 Japan Corporate EUR 2,100,000 3,056 3,273 Sun Life Financial Inc. F/R 02-19-2026 Callable 2021 Canada Corporate 3,902,000 3,907 3,913 Sun Life Financial Inc. F/R 11-23-2027 Callable 2022 Canada Corporate 1,870,000 1,877 1,865 Sun Life Financial Inc. F/R 09-19-2028 Callable 2023 Canada Corporate 4,760,000 4,727 4,754 Sun Life Financial Inc. F/R 08-13-2029 Callable 2024 Canada Corporate 2,740,000 2,740 2,630 Sunac China Holdings Ltd. 7.88% 02-15-2022 Callable 2021 China Corporate USD 600,000 821 806 Suncor Energy Inc. 3.10% 05-24-2029 Callable 2029 Canada Corporate 2,200,000 2,198 1,913 Superior Plus LP 5.25% 02-27-2024 Callable 2020 Canada Corporate 2,550,000 2,550 2,401 Superior Plus LP 5.13% 08-27-2025 Callable 2021 Canada Corporate 2,133,000 2,074 1,951 Superior Plus LP 7.00% 07-15-2026 Callable 2021 144A Canada Corporate USD 1,493,000 1,972 2,067 Sydney Airport Finance Co. Pty. Ltd. 3.63% 04-28-2026 Callable 2026 144A Australia Corporate USD 1,067,000 1,389 1,548 Syngenta Finance NV 5.18% 04-24-2028 Callable 2028 144A China Corporate USD 3,000,000 4,189 3,619 Sysco Canada Inc. 3.65% 04-25-2025 Callable 2025 United States Corporate 4,630,000 4,746 4,228 Takeda Pharmaceutical Co. Ltd. 1.13% 11-21-2022 Callable 2022 144A Japan Corporate EUR 500,000 744 776 Talen Energy Supply LLC 7.25% 05-15-2027 Callable 2022 144A United States Corporate USD 2,190,000 2,887 2,759 Talen Energy Supply LLC 6.63% 01-15-2028 Callable 2023 144A United States Corporate USD 1,930,000 2,550 2,324 Target Corp. 2.25% 04-15-2025 Callable 2025 United States Corporate USD 1,530,000 2,144 2,168 TEGNA Inc. 4.63% 03-15-2028 Callable 2023 144A United States Corporate USD 1,020,000 1,327 1,280 Telenet Finance Luxembourg Notes Sarl 5.50% 03-01-2028 Callable 2022 144A Belgium Corporate USD 130,000 165 182 TELUS Corp. 3.35% 04-01-2024 Callable MTN Canada Corporate 10,854,000 11,231 11,002 TELUS Corp. 2.75% 07-08-2026 Canada Corporate 6,760,000 6,646 6,641 TELUS Corp. 3.30% 05-02-2029 Callable 2029 Canada Corporate 3,880,000 3,903 3,834 TELUS Corp. 3.15% 02-19-2030 Callable 2029 Canada Corporate 4,950,000 4,993 4,819 TELUS Corp. 4.70% 03-06-2048 Callable 2047 Canada Corporate 1,910,000 1,872 1,972 Teneo Holdings LLC Term Loan B 1st Lien F/R 07-12-2025 United States Bank Loans USD 845,750 1,060 978 Tenet Healthcare Corp. 8.13% 04-01-2022 United States Corporate USD 2,000,000 2,860 2,693 Tenet Healthcare Corp. 6.75% 06-15-2023 United States Corporate USD 2,300,000 2,973 3,000 Tenet Healthcare Corp. 4.88% 01-01-2026 Callable 2022 144A United States Corporate USD 885,000 1,213 1,197 TerraForm Power Operating LLC 5.00% 01-31-2028 Callable 2027 144A United States Corporate USD 3,224,000 4,077 4,774 TerraForm Power Operating LLC 4.75% 01-15-2030 Callable 2025 144A United States Corporate USD 550,000 731 754 Terrier Media Buyer Inc. Term Loan B 1st Lien F/R 12-12-2026 United States Bank Loans USD 927,675 1,217 1,187 Terrier Media Buyer Inc. 8.88% 12-15-2027 Callable 2022 144A United States Corporate USD 350,000 461 420 Teva Pharmaceutical Finance Netherlands II BV 3.25% 04-15-2022 Callable 2022 Israel Corporate EUR 1,300,000 1,958 1,941 Teva Pharmaceutical Finance Netherlands III BV 6.00% 04-15-2024 Israel Corporate USD 460,000 621 643 Teva Pharmaceutical Finance Netherlands III BV 6.75% 03-01-2028 Callable 2027 Israel Corporate USD 695,000 970 960 Teva Pharmaceutical Industries Ltd. 2.80% 07-21-2023 Israel Corporate USD 3,009,000 3,454 3,916 Titan Sub LLC Term Loan B 1st Lien F/R 09-19-2026 United States Bank Loans USD 488,775 642 587 T-Mobile USA Inc. 4.75% 02-01-2028 Callable 2023 United States Corporate USD 730,000 1,016 1,073 TMX Group Ltd. 4.46% 10-03-2023 Callable 2023 Canada Corporate 109,000 118 114 TMX Group Ltd. 2.30% 12-11-2024 Callable 2024 Canada Corporate 740,000 743 734 TMX Group Ltd. 3.78% 06-05-2028 Callable 2028 Canada Corporate 800,000 805 806 Toro European CLO F/R 07-15-2030 Callable Ireland Mortgage Backed EUR 1,200,000 1,801 1,863 The Toronto-Dominion Bank 2.05% 12-01-2022 Canada Mortgage Backed 81,071 82 83 The Toronto-Dominion Bank 3.01% 05-30-2023 Canada Corporate 13,650,000 14,017 14,008 The Toronto-Dominion Bank 1.91% 07-18-2023 DPNT Canada Corporate 21,560,000 20,792 21,399 The Toronto-Dominion Bank 2.85% 03-08-2024 Canada Corporate 3,120,000 3,137 3,144 The Toronto-Dominion Bank 1.94% 03-13-2025 Canada Corporate 3,400,000 3,400 3,281 The Toronto-Dominion Bank F/R 07-25-2029 Callable 2024 Canada Corporate 1,770,000 1,817 1,749 The Toronto-Dominion Bank 4.86% 03-04-2031 Callable 2026 Canada Corporate 440,000 493 468 Towd Point Mortgage F/R 02-20-2045 Callable 2023 United Kingdom Mortgage Backed GBP 1,292,537 2,193 2,213 Towd Point Mortgage Funding F/R 07-20-2045 Callable 2022 United Kingdom Mortgage Backed GBP 4,547,297 7,494 7,913 Towd Point Mortgage Funding F/R 10-20-2051 Callable 2024 United Kingdom Mortgage Backed GBP 2,177,925 3,857 3,754 Towd Point Mortgage Trust F/R 07-25-2059 144A United States Mortgage Backed USD 11,190,291 14,861 15,929 Towd Point Mortgage Trust F/R 09-25-2059 Callable 2022 144A United States Mortgage Backed USD 2,189,454 2,915 3,096 Toyota Auto Loan Extended Note 2.56% 11-25-2031 Callable 2023 144A United States Mortgage Backed USD 2,400,000 3,183 3,371 Toyota Credit Canada Inc. 2.11% 02-26-2025 Canada Corporate 1,170,000 1,170 1,122 TransCanada PipeLines Ltd. 3.69% 07-19-2023 Canada Corporate 5,210,000 5,472 5,312 TransCanada PipeLines Ltd. 3.00% 09-18-2029 Callable 2029 Canada Corporate 2,700,000 2,708 2,565 TransCanada Trust F/R 05-18-2077 Callable 2027 Canada Corporate 10,170,000 9,930 8,097 Transurban Finance Co. Pty. Ltd. 4.56% 11-14-2028 Callable 2028 Australia Corporate 7,420,000 7,796 8,183 TRI Pointe Holdings Inc. 5.88% 06-15-2024 United States Corporate USD 210,000 301 277 Trillium Windpower LP 5.80% 02-15-2033 United States Corporate 86,730 103 102 Trivium Packaging Finance BV 5.50% 08-15-2026 Callable 2022 144A Netherlands Corporate USD 610,000 797 860 Trivium Packaging Finance BV 8.50% 08-15-2027 Callable 2022 144A Netherlands Corporate USD 530,000 692 752 Trulieve Cannabis Corp. 9.75% 06-18-2024 United States Corporate USD 2,550,000 3,333 2,655 Twin Bridges F/R 12-12-2052 Callable 2022 United Kingdom Mortgage Backed GBP 2,070,289 3,614 3,561 Twin Bridges 2019-2 PLC F/R 06-12-2053 Callable 2022 United Kingdom Mortgage Backed GBP 2,200,000 3,582 3,862 Uber Technologies Inc. 8.00% 11-01-2026 Callable 2021 144A United States Corporate USD 4,700,000 6,309 6,631

BONDS (continued)




UBS AG 5.13% 05-15-2024 Switzerland Corporate USD 2,500,000 3,411 3,535 UBS Group AG F/R 08-13-2030 Callable 2029 144A Switzerland Corporate USD 2,500,000 3,367 3,435 UniCredit S.p.A. 7.83% 12-04-2023 Italy Corporate USD 1,200,000 1,595 1,804 Union Gas Ltd. 3.59% 11-22-2047 Callable 2047 Canada Corporate 3,070,000 3,104 3,207 United States Treasury 0.50% 04-15-2024 Inflation Indexed United States Foreign Governments USD 19,480,000 26,666 28,495 United States Treasury 1.75% 06-30-2024 United States Foreign Governments USD 30,130,000 39,138 44,988 United States Treasury 1.50% 10-31-2024 United States Foreign Governments USD 530,000 700 787 United States Treasury 1.63% 05-15-2026 United States Foreign Governments USD 23,449,200 27,944 35,277 United States Treasury 0.50% 01-15-2028 Inflation Indexed United States Foreign Governments USD 21,800,000 28,730 33,465 United States Treasury 0.75% 07-15-2028 Inflation Indexed United States Foreign Governments USD 18,830,000 26,678 29,179 United States Treasury 2.63% 02-15-2029 United States Foreign Governments USD 12,870,000 17,257 21,199 United States Treasury 2.38% 05-15-2029 United States Foreign Governments USD 78,915,000 109,616 127,899 United States Treasury 0.12% 01-15-2030 Inflation Indexed United States Foreign Governments USD 1,360,000 2,015 1,980 United States Treasury 3.50% 02-15-2039 United States Foreign Governments USD 9,550,000 13,727 19,114 United States Treasury Note/Bond 4.25% 05-15-2039 United States Foreign Governments USD 5,250,000 7,852 11,478 United States Treasury 3.00% 11-15-2045 United States Foreign Governments USD 15,250,000 20,024 29,325 United States Treasury Note/Bond 2.88% 11-15-2046 United States Foreign Governments USD 12,550,000 16,055 23,840 United States Treasury 1.01% 02-15-2048 Inflation Indexed United States Foreign Governments USD 4,000,000 5,192 7,261 United States Treasury 1.00% 02-15-2049 Inflation Indexed United States Foreign Governments USD 13,600,000 21,988 24,393 US Silica Holdings Inc. Term Loan B 1ST Lien F/R 05-01-2025 United States Bank Loans USD 734,335 932 533 Vancouver Airport Authority 3.66% 11-23-2048 Callable 2048 Canada Corporate 2,250,000 2,255 2,313 Vancouver Airport Authority 2.87% 10-18-2049 Canada Corporate 1,760,000 1,760 1,559 Vanke Real Estate Hong Kong Co. 3.15% 05-12-2025 China Corporate USD 1,200,000 1,576 1,612 Ventas Canada Finance Ltd. 2.55% 03-15-2023 Callable 2023 United States Corporate 610,000 585 597 Ventas Inc. 2.80% 04-12-2024 Callable 2024 United States Corporate 3,060,000 3,069 3,081 Ventas Realty LP 4.00% 03-01-2028 Callable 2027 United States Corporate USD 1,100,000 1,397 1,550 VeriFone Systems Inc. Term Loan 1st Lien F/R 08-09-2025 United States Bank Loans USD 1,031,565 1,349 953 Vesta Energy Corp. 8.13% 07-24-2023 Callable 2020 144A Canada Corporate 1,480,000 1,476 598 VFH Parent LLC Term Loan 1st Lien F/R 03-01-2026 United States Bank Loans USD 381,899 506 498 Videotron Ltd. 4.50% 01-15-2030 Callable 2024 Canada Corporate 450,000 450 400 Videotron Ltd./Videotron Ltee. 5.13% 04-15-2027 Callable 2022 144A Canada Corporate USD 2,130,000 2,766 3,053 Videotron Ltee. 5.63% 06-15-2025 Callable 2025 REG S Canada Corporate 1,319,000 1,354 1,271 Videotron Ltee. 5.75% 01-15-2026 Callable 2020 Canada Corporate 281,000 294 271 Virgin Money PLC F/R 03-22-2024 United Kingdom Corporate GBP 900,000 1,594 1,549 Vodafone Group PLC 3.75% 01-16-2024 United Kingdom Corporate USD 660,000 840 970 Volkswagen Bank GmbH 1.25% 08-01-2022 Germany Corporate EUR 1,000,000 1,505 1,530 Volkswagen Bank GmbH 1.88% 01-31-2024 Germany Corporate EUR 5,000,000 7,745 7,626 VRX Escrow Corp. 6.13% 04-15-2025 Callable 2020 144A United States Corporate USD 3,065,000 4,018 4,288 Vungle Inc. Term Loan B 1st Lien F/R 09-30-2026 United States Bank Loans USD 766,150 1,001 964 VVC Holding Corp. Term Loan B 1st Lien F/R 02-07-2026 United States Bank Loans USD 311,713 406 413 W&T Offshore Inc. 9.75% 11-01-2023 Callable 2020 144A United States Corporate USD 630,000 771 202 Walgreen Co. 4.40% 09-15-2042 United States Corporate USD 190,000 231 265 Walgreens Boots Alliance Inc. 4.80% 11-18-2044 Callable 2044 United States Corporate USD 70,000 90 99 Walmart Inc. 3.70% 06-26-2028 Callable 2028 United States Corporate USD 190,000 294 300 Walmart Inc. 2.38% 09-24-2029 Callable 2029 United States Corporate USD 360,000 519 528 Walmart Inc. 3.63% 12-15-2047 Callable 2047 United States Corporate USD 120,000 195 198 Warwick Finance Residential F/R 09-21-2049 Callable 2020 United Kingdom Mortgage Backed GBP 1,292,857 2,272 2,230 Waste Management of Canada Corp. 2.60% 09-23-2026 Callable 2026 Canada Corporate 3,660,000 3,652 3,648 Wells Fargo & Co. 3.75% 01-24-2024 Callable 2023 United States Corporate USD 3,000,000 4,176 4,477 Wells Fargo & Co. 3.19% 02-08-2024 Callable 2024 United States Corporate 6,970,000 7,025 7,029 Wells Fargo & Co. 2.98% 05-19-2026 Series MPLE United States Corporate 5,090,000 5,167 5,037 Wells Fargo & Co. 2.49% 02-18-2027 United States Corporate 5,810,000 5,810 5,455 Welltower Inc. 4.25% 04-15-2028 Callable 2028 United States Corporate USD 1,220,000 1,597 1,806 Welltower Inc. 4.13% 03-15-2029 Callable 2028 United States Corporate USD 1,620,000 2,141 2,390 Western Digital Corp. 4.75% 02-15-2026 Callable 2025 United States Corporate USD 300,000 419 430 Williams Scotsman International Inc. 7.88% 12-15-2022 Callable 2020 144A United States Corporate USD 1,768,000 2,391 2,430 Wolverine World Wide Inc. 8.50% 11-15-2024 Callable 2021 144A United States Corporate USD 930,000 1,220 1,065 Wolverine World Wide Inc. 5.00% 09-01-2026 Callable 2021 144A United States Corporate USD 470,000 636 598 WPX Energy Inc. 5.75% 06-01-2026 Callable 2021 United States Corporate USD 580,000 708 473 WPX Energy Inc. 4.50% 01-15-2030 Callable 2025 United States Corporate USD 1,322,000 1,533 997 Xplornet Communications Inc. 9.63% 06-01-2022 Callable 2020 144A Canada Corporate USD 663,468 877 890 YPF SA 6.95% 07-21-2027 Argentina Corporate USD 610,000 639 447 Ypso Finance Bis SA 6.00% 02-15-2028 Callable 2023 Luxembourg Corporate USD 1,230,000 1,615 1,472 Ziggo BV 4.88% 01-15-2030 Callable 2024 144A Netherlands Corporate USD 1,075,000 1,425 1,456 Zimmer Biomet Holdings Inc. 3.55% 04-01-2025 United States Corporate USD 3,000,000 4,179 4,263 3,899,092 3,986,073

BONDS (continued)




1 This fund is managed by the Manager of the Pool.2 This fund is managed by the sub-advisor of the Pool.

MUTUAL FUNDS 1 IG Mackenzie Mortgage and Short Term Income Fund Series P Canada Mutual Funds 64,714,564 691,194 689,812 1 Investors Real Property Fund Series P Canada Mutual Funds 46,889,567 592,805 551,403 1,283,999 1,241,215

EXCHANGE TRADED FUNDS 2 Mackenzie Canadian All Corporate Bond Index ETF Canada Exchange Traded Funds 258,340 27,029 25,637 2 Mackenzie Emerging Markets Bond Index ETF (CAD-Hedged) Multinational Exchange Traded Funds 314,972 31,598 26,795 2 Mackenzie Emerging Markets Local Currency Bond Index ETF Multinational Exchange Traded Funds 41,186 4,206 3,803 2 Mackenzie US High Yield Bond Index ETF (CAD-Hedged) United States Exchange Traded Funds 410,591 39,271 34,190 2 Mackenzie US Investment Grade Corporate Bond Index ETF (CAD-Hedged) United States Exchange Traded Funds 324,474 34,643 32,631 136,747 123,056

EQUITIES AltaGas Ltd. Pfd. Series K Canada Energy 50,223 1,262 837 BCE Inc. Pfd. Series AL Canada Communication Services 25,300 362 275 Brookfield Asset Management Inc. Pfd. Series 46 Canada Financials 15,466 401 313 Brookfield Asset Management Inc. Pfd. Series 48 Canada Financials 18,477 466 366 Brookfield Renewable Partners LP Pfd. Series 11 Canada Utilities 74,386 1,878 1,337 Brookfield Renewable Partners LP Pfd. Series 13 Canada Utilities 44,000 1,100 787 Crescent Point Energy Corp. Canada Energy 186,500 2,924 203 Fairfax Financial Holdings Ltd. Pfd. Series E Canada Financials 17,170 251 172 Fairfax Financial Holdings Ltd. Pfd. Series F Canada Financials 12,830 189 112 Husky Energy Inc. 4.45% 12-31-2049 Pfd. Series 1 Canada Energy 171,750 2,547 964 Husky Energy Inc. Pfd. Series 3 Canada Energy 10,970 203 110 Manulife Financial Corp. Pfd. Series 13 Canada Financials 67,570 1,382 839 Shaw Communications Inc. Pfd Series A Canada Communication Services 50,895 722 539 Surge Energy Inc. Canada Energy 61,339 180 13 TC Energy Corp. Pfd. Series 15 Canada Energy 58,751 1,513 1,181 TransAlta Corp. Pfd. Series A Canada Utilities 69,005 957 553 Trulieve Cannabis Corp. Purchase Warrants Exp. 06-18-2022 United States Health Care 55,250 - 126 Vermilion Energy Inc. Canada Energy 18,200 760 79 Whitecap Resources Inc. Canada Energy 300,000 3,133 351 20,230 9,157 COMMISSIONS AND OTHER PORTFOLIO TRANSACTION COSTS (22) - TOTAL NON-DERIVATIVE INVESTMENTS 5,340,046 5,359,501

Net Assets (see asset composition): Total non-derivative investments 5,359,501 Cash and cash equivalents 697,073 Derivative assets (see schedule of derivative instruments) 56,809 Derivative liabilities (see schedule of derivative instruments) (158,560) Other net assets (liabilities) (166,483)

5,788,340


as at March 31, 2020

% of net assets

PORTFOLIO ALLOCATION

Long Positions Bonds 74.1 Mutual Funds 21.4 Exchange Traded Funds 2.2 Equities 0.2 Cash and cash equivalents 12.0 109.9 Short Positions Bonds (7.4) Other net assets (liabilities) (2.5)Total 100.0

BONDS SECTOR ALLOCATION

Corporate 31.9 Foreign Governments 17.9 Provincial Governments 9.4 Federal Government 7.4 Mortgage Backed 6.1 Other 1.4 74.1


% of net assets

PORTFOLIO ALLOCATION

Long Positions Bonds 83.5 Mutual Funds 21.5 Equities 0.3 Cash and cash equivalents 17.8 123.1 Short Positions Bonds (16.2) Other net assets (liabilities) (6.9)Total 100.0

BONDS SECTOR ALLOCATION

Foreign Governments 32.5 Corporate 26.9 Provincial Governments 9.3 Federal Government 7.5 Mortgage Backed 5.0 Other 2.3 83.5

Schedule of Asset Composition

Schedule of Derivative Instruments


Schedule of Reverse Repurchase Agreements

Reverse Reverse repurchase repurchase agreement Principal Collateral agreement to be Lending rate Settlement Maturity amount received at value1 received (%) date date (CAD$ 000) Collateralized by: (CAD$ 000) (CAD$ 000) (CAD$ 000)

0.25 03-31-2020 04-01-2020 217,000 Government of Canada 0.25% 04-01-2020 (217,000) 217,000 217,000

1 Included in cash and cash equivalents on the Statement of Financial Position.


Schedule of Forward Currency Contracts

Currency to Contract Currency to Current Unrealized Unrealized Counterparty Settlement be received costs be delivered fair value gains losses credit rating date (000) (CAD$ 000) (000) (CAD$ 000) (CAD$ 000) (CAD$ 000)

AA 04-02-2020 2,092 AUD 1,736 1,736 CAD 1,811 75 - AA 04-02-2020 16,058 BRL 4,355 3,089 USD 4,361 6 - A 04-02-2020 69,409 BRL 22,305 15,821 USD 18,847 - (3,458) A 04-02-2020 45,932 BRL 12,456 8,835 USD 12,472 16 - A 05-05-2020 15,505 BRL 4,362 3,094 USD 4,197 - (165) AA 04-02-2020 1,428 CAD 1,428 1,618 AUD 1,401 27 - AA 04-02-2020 591 CAD 591 691 AUD 598 - (7) A 04-02-2020 31,709 CAD 31,709 36,285 AUD 31,417 292 - AA 04-02-2020 2,756 CAD 2,756 3,096 AUD 2,681 75 - AA 04-02-2020 4,639 CAD 4,639 5,221 AUD 4,521 118 - A 05-04-2020 329 CAD 329 377 AUD 326 3 - A 04-01-2020 73,576 CAD 73,576 373,380 DKK 77,677 - (4,101) AA 04-02-2020 1,648 CAD 1,648 8,325 DKK 1,732 - (84) AA 07-02-2020 75,593 CAD 75,593 361,150 DKK 75,262 331 - A 04-02-2020 378,027 CAD 378,027 254,162 EUR 394,730 - (16,703) AA 04-02-2020 14,831 CAD 14,831 9,575 EUR 14,871 - (40) A 04-02-2020 6,888 CAD 6,888 4,405 EUR 6,841 47 - A 04-02-2020 7,786 CAD 7,786 4,993 EUR 7,754 32 - A 04-02-2020 992 CAD 992 667 EUR 1,036 - (44) AA 04-02-2020 4,401 CAD 4,401 2,848 EUR 4,423 - (22) AA 04-02-2020 1,472 CAD 1,472 940 EUR 1,460 12 - AA 04-17-2020 592 CAD 592 410 EUR 637 - (45) AA 04-17-2020 4,084 CAD 4,084 2,800 EUR 4,349 - (265) AA 04-17-2020 1,995 CAD 1,995 1,370 EUR 2,128 - (133) AA 04-22-2020 140 CAD 140 90 EUR 140 - - AA 04-22-2020 310 CAD 310 200 EUR 310 - - AA 05-04-2020 334,629 CAD 334,629 214,296 EUR 332,877 1,752 - A 05-04-2020 74,487 CAD 74,487 47,755 EUR 74,180 307 - A 04-02-2020 111,577 CAD 111,577 64,352 GBP 112,586 - (1,009) AA 04-02-2020 12,222 CAD 12,222 7,172 GBP 12,548 - (326) A 04-02-2020 12,839 CAD 12,839 7,188 GBP 12,575 264 - A 04-02-2020 2,584 CAD 2,584 1,542 GBP 2,698 - (114) AA 04-02-2020 8,805 CAD 8,805 5,089 GBP 8,903 - (98) A 05-04-2020 99,824 CAD 99,824 56,574 GBP 98,880 944 - A 04-02-2020 484 CAD 484 37,100 JPY 486 - (2) A 04-02-2020 367 CAD 367 27,600 JPY 362 5 - AA 04-02-2020 70,930 CAD 70,930 5,742,900 JPY 75,247 - (4,317) A 04-20-2020 39,794 CAD 39,794 3,348,000 JPY 43,862 - (4,068) A 04-27-2020 28,000 CAD 28,000 2,325,000 JPY 30,458 - (2,458) A 05-07-2020 12,189 CAD 12,189 1,000,000 JPY 13,102 - (913) A 05-11-2020 24,159 CAD 24,159 1,987,000 JPY 26,037 - (1,878) A 06-01-2020 14,172 CAD 14,172 1,140,000 JPY 14,947 - (775) A 04-02-2020 847 CAD 847 5,925 NOK 802 45 - A 04-02-2020 930 CAD 930 6,420 NOK 869 61 - A 04-02-2020 525 CAD 525 625 NZD 524 1 - A 04-02-2020 13,035 CAD 13,035 15,253 NZD 12,803 232 - A 04-02-2020 3,852 CAD 3,852 4,617 NZD 3,875 - (23) A 04-02-2020 512 CAD 512 3,660 SEK 520 - (8) A 04-02-2020 4,223 CAD 4,229 3,000 USD 4,223 - (6) AA 04-02-2020 4,156 CAD 4,296 3,047 USD 4,157 - (139) AA 04-02-2020 5,791 CAD 6,089 4,319 USD 5,792 - (297) AA 04-02-2020 13,210 CAD 12,829 9,100 USD 13,212 383 - AA 04-02-2020 3,165 CAD 3,327 2,360 USD 3,165 - (162) AA 04-02-2020 68,466 CAD 72,027 51,090 USD 68,477 - (3,550) AA 04-02-2020 2,679 CAD 2,835 2,011 USD 2,679 - (156) AA 04-02-2020 22,073 CAD 23,358 16,568 USD 22,077 - (1,281) AA 04-02-2020 597,794 CAD 632,473 448,626 USD 597,883 - (34,590) AA 04-02-2020 32,091 CAD 31,410 22,280 USD 32,096 686 - AA 04-02-2020 4,883 CAD 5,135 3,642 USD 4,884 - (251) A 04-02-2020 580 CAD 564 400 USD 580 16 - A 04-02-2020 17,125 CAD 17,594 12,480 USD 17,127 - (467) A 04-02-2020 7,090 CAD 7,114 5,046 USD 7,091 - (23) A 04-02-2020 7,328 CAD 7,683 5,450 USD 7,329 - (354) A 04-02-2020 2,028 CAD 2,072 1,470 USD 2,028 - (44) A 04-02-2020 17,419 CAD 18,370 13,030 USD 17,422 - (948) AA 04-02-2020 8,637 CAD 8,459 6,000 USD 8,639 180 - AA 04-02-2020 22,262 CAD 22,938 16,270 USD 22,266 - (672) AA 04-02-2020 5,860 CAD 5,949 4,220 USD 5,861 - (88) AA 04-02-2020 2,790 CAD 2,820 2,000 USD 2,791 - (29) AA 04-03-2020 5,314 CAD 5,314 4,067 USD 5,732 - (418) AA 04-03-2020 15,905 CAD 15,905 12,173 USD 17,157 - (1,252) AA 04-03-2020 13,720 CAD 13,720 10,499 USD 14,798 - (1,078) AA 04-03-2020 40,833 CAD 40,833 31,247 USD 44,042 - (3,209) A 04-17-2020 6,437 CAD 6,437 4,947 USD 6,965 - (528) AA 04-17-2020 3,827 CAD 3,827 2,940 USD 4,140 - (313) AA 04-17-2020 8,687 CAD 8,687 6,010 USD 8,462 225 -

Schedule of Derivative Instruments (continued)



AA 04-17-2020 16,621 CAD 16,621 11,740 USD 16,530 91 - AA 04-17-2020 9,150 CAD 9,150 7,030 USD 9,898 - (748) AA 04-24-2020 14,481 CAD 14,481 11,105 USD 15,628 - (1,147) AA 04-24-2020 16,752 CAD 16,752 12,847 USD 18,080 - (1,328) AA 04-24-2020 9,207 CAD 9,207 6,490 USD 9,133 74 - AA 04-24-2020 7,802 CAD 7,802 6,000 USD 8,444 - (642) AA 04-24-2020 40,996 CAD 40,996 31,420 USD 44,218 - (3,222) AA 04-24-2020 23,969 CAD 23,969 18,370 USD 25,853 - (1,884) AA 05-04-2020 11,856 CAD 11,861 8,413 USD 11,882 21 - AA 05-04-2020 586,463 CAD 586,580 416,073 USD 587,776 1,196 - A 05-04-2020 79,372 CAD 79,112 56,116 USD 79,550 438 - A 05-04-2020 6,886 CAD 6,846 4,856 USD 6,901 55 - A 05-04-2020 3,106 CAD 3,111 2,207 USD 3,112 1 - A 05-04-2020 6,253 CAD 6,264 4,443 USD 6,267 3 - AA 05-08-2020 16,659 CAD 16,659 11,787 USD 16,579 80 - AA 05-08-2020 72,941 CAD 72,941 55,805 USD 78,495 - (5,554) AA 05-08-2020 10,268 CAD 10,268 7,265 USD 10,219 49 - AA 05-08-2020 314 CAD 314 240 USD 338 - (24) AA 05-08-2020 3,274 CAD 3,274 2,505 USD 3,523 - (249) AA 05-22-2020 10,955 CAD 10,955 8,270 USD 11,632 - (677) AA 05-22-2020 24,664 CAD 24,664 18,620 USD 26,188 - (1,524) AA 06-12-2020 28,179 CAD 28,179 21,265 USD 29,903 - (1,724) A 06-12-2020 63,973 CAD 63,973 48,267 USD 67,873 - (3,900) A 06-12-2020 25,028 CAD 25,028 18,883 USD 26,554 - (1,526) AA 06-19-2020 12,332 CAD 12,332 9,230 USD 12,978 - (646) AA 06-19-2020 38,640 CAD 38,640 28,920 USD 40,665 - (2,025) AA 06-19-2020 5,469 CAD 5,469 3,970 USD 5,583 - (114) AA 06-19-2020 8,223 CAD 8,223 6,150 USD 8,648 - (425) AA 06-19-2020 1,738 CAD 1,738 1,300 USD 1,828 - (90) AA 07-10-2020 2,944 CAD 2,944 2,101 USD 2,953 - (9) AA 07-10-2020 9,297 CAD 9,297 6,634 USD 9,326 - (29) AA 07-10-2020 14,746 CAD 14,746 10,499 USD 14,761 - (15) AA 07-10-2020 43,828 CAD 43,828 31,205 USD 43,872 - (44) A 04-02-2020 7,320 CHF 10,804 10,804 CAD 10,712 - (92) A 04-02-2020 10,354 CHF 14,791 14,791 CAD 15,152 361 - AA 06-04-2020 2,352 CLP 4 3 USD 4 - - AA 06-17-2020 43,578 CNY 8,756 6,211 USD 8,656 - (100) AA 04-01-2020 23,560 DKK 4,611 4,611 CAD 4,901 290 - AA 04-02-2020 40,045 DKK 8,431 8,431 CAD 8,331 - (100) AA 04-02-2020 28,710 DKK 5,943 5,943 CAD 5,973 30 - AA 04-02-2020 214,296 EUR 334,274 334,274 CAD 332,815 - (1,459) AA 04-02-2020 1,377 EUR 2,129 2,129 CAD 2,139 10 - AA 04-02-2020 1,855 EUR 2,895 2,895 CAD 2,881 - (14) AA 04-02-2020 560 EUR 869 869 CAD 870 1 - AA 04-02-2020 3,614 EUR 5,539 5,539 CAD 5,613 74 - AA 04-02-2020 21,058 EUR 32,649 32,649 CAD 32,705 56 - AA 04-02-2020 552 EUR 868 868 CAD 857 - (11) AA 04-02-2020 2,636 EUR 3,992 3,992 CAD 4,094 102 - A 04-02-2020 8,905 EUR 13,304 13,304 CAD 13,830 526 - A 04-02-2020 1,515 EUR 2,263 2,263 CAD 2,352 89 - AA 04-02-2020 9,462 EUR 14,142 14,142 CAD 14,695 553 - AA 04-02-2020 10,233 EUR 15,135 15,135 CAD 15,893 758 - AA 04-02-2020 1,527 EUR 2,372 2,372 CAD 2,372 - - AA 04-17-2020 480 EUR 750 750 CAD 745 - (5) AA 04-17-2020 280 EUR 438 438 CAD 435 - (3) A 04-24-2020 6,097 EUR 9,035 5,164 GBP 9,478 443 - AA 04-02-2020 1,732 GBP 2,907 2,907 CAD 3,030 123 - A 04-02-2020 21,528 GBP 37,486 37,486 CAD 37,664 178 - AA 04-02-2020 5,509 GBP 9,881 9,881 CAD 9,638 - (243) AA 04-03-2020 2,100 GBP 3,795 2,692 USD 3,675 - (120) A 09-03-2020 56,795 HKD 10,210 7,242 USD 10,322 112 - AA 06-17-2020 135,924,000 IDR 13,741 9,746 USD 11,604 - (2,137) A 04-27-2020 555,340 INR 10,669 7,568 USD 10,266 - (403) A 05-04-2020 550,859 INR 10,588 7,510 USD 10,159 - (429) A 04-02-2020 107,700 JPY 1,413 1,413 CAD 1,411 - (2) AA 04-02-2020 1,109,400 JPY 14,117 14,117 CAD 14,536 419 - AA 04-22-2020 17,351 MXN 1,243 881 USD 1,029 - (214) A 05-05-2020 123,318 MXN 8,862 6,286 USD 7,305 - (1,557) AA 06-17-2020 36,688 MXN 2,708 1,920 USD 2,160 - (548) A 04-02-2020 61,405 NOK 8,778 8,778 CAD 8,313 - (465) A 04-03-2020 12,462 NOK 1,888 1,339 USD 1,687 - (201) A 04-02-2020 5,184 NZD 4,382 4,382 CAD 4,351 - (31) A 04-03-2020 15,136 NZD 13,359 9,476 USD 12,708 - (651) A 04-15-2020 204,217 RUB 4,651 3,299 USD 3,658 - (993) A 04-15-2020 119,545 RUB 2,634 1,869 USD 2,141 - (493) A 04-30-2020 89,017 RUB 1,606 1,139 USD 1,590 - (16)

Schedule of Forward Currency Contracts (continued)





A 05-20-2020 14,493 RUB 258 183 USD 258 - - A 05-20-2020 63,215 RUB 1,105 784 USD 1,126 21 - A 04-02-2020 8,665 SEK 1,212 1,212 CAD 1,231 19 - A 04-02-2020 6,595 SEK 942 942 CAD 938 - (4) AA 04-03-2020 1,347 USD 1,899 2,060 AUD 1,784 115 - AA 04-02-2020 2,595 USD 3,658 11,829 BRL 3,212 446 - AA 04-02-2020 935 USD 1,318 4,229 BRL 1,148 170 - A 04-02-2020 840 USD 1,184 3,895 BRL 1,057 127 - A 04-02-2020 11,924 USD 16,811 61,990 BRL 16,833 - (22) A 04-02-2020 384 USD 541 1,712 BRL 464 77 - A 04-02-2020 390 USD 550 1,813 BRL 492 58 - A 04-02-2020 1,030 USD 1,452 4,586 BRL 1,245 207 - A 04-02-2020 3,098 USD 4,367 15,505 BRL 4,210 157 - A 04-02-2020 1,830 USD 2,580 8,271 BRL 2,246 334 - A 04-02-2020 1,860 USD 2,622 8,214 BRL 2,230 392 - A 04-02-2020 2,067 USD 2,914 9,357 BRL 2,541 373 - A 04-02-2020 3,752 USD 5,290 5,348 CAD 5,349 - (59) AA 04-02-2020 7,741 USD 10,913 10,653 CAD 10,654 259 - AA 04-02-2020 12,206 USD 17,208 16,798 CAD 16,800 408 - AA 04-02-2020 4,388 USD 6,186 6,355 CAD 6,355 - (169) AA 04-02-2020 415,931 USD 586,380 586,463 CAD 586,551 - (171) AA 04-02-2020 8,745 USD 12,329 12,507 CAD 12,509 - (180) AA 04-02-2020 8,410 USD 8,410 11,856 CAD 8,412 - (2) A 04-02-2020 13,092 USD 18,457 18,667 CAD 18,670 - (213) A 04-02-2020 56,089 USD 79,074 79,372 CAD 79,384 - (310) A 04-02-2020 9,448 USD 13,320 12,704 CAD 12,706 614 - A 04-02-2020 4,842 USD 6,826 6,619 CAD 6,619 207 - A 04-02-2020 8,740 USD 12,322 11,947 CAD 11,949 373 - A 04-02-2020 4,828 USD 6,807 6,772 CAD 6,773 34 - A 04-02-2020 6,546 USD 9,229 8,801 CAD 8,803 426 - A 04-02-2020 3,586 USD 5,056 4,790 CAD 4,791 265 - AA 04-02-2020 20,214 USD 28,498 28,771 CAD 28,775 - (277) AA 04-02-2020 2,033 USD 2,866 2,823 CAD 2,823 43 - AA 04-02-2020 5,579 USD 7,865 7,822 CAD 7,823 42 - AA 04-02-2020 1,000 USD 1,410 1,370 CAD 1,370 40 - AA 04-02-2020 26,309 USD 37,091 37,985 CAD 37,991 - (900) A 04-03-2020 1,339 USD 1,888 1,788 CAD 1,788 100 - AA 04-03-2020 4,067 USD 5,705 5,705 CAD 5,732 27 - AA 04-03-2020 7,641 USD 10,718 10,718 CAD 10,769 51 - AA 04-03-2020 4,533 USD 6,256 6,256 CAD 6,388 132 - AA 04-03-2020 10,499 USD 14,761 14,761 CAD 14,798 37 - AA 04-03-2020 31,205 USD 43,872 43,872 CAD 43,983 111 - AA 04-03-2020 42 USD 56 56 CAD 60 4 - AA 04-17-2020 4,533 USD 6,285 6,285 CAD 6,382 97 - AA 04-17-2020 6,287 USD 9,115 9,115 CAD 8,852 - (263) AA 04-17-2020 7,320 USD 10,580 10,580 CAD 10,306 - (274) AA 04-24-2020 7,265 USD 10,271 10,271 CAD 10,224 - (47) AA 04-24-2020 7,550 USD 10,140 10,140 CAD 10,625 485 - AA 04-24-2020 11,787 USD 16,664 16,664 CAD 16,588 - (76) AA 04-24-2020 3,790 USD 5,037 5,037 CAD 5,334 297 - AA 04-24-2020 6,050 USD 8,125 8,125 CAD 8,514 389 - AA 04-24-2020 4,533 USD 6,291 6,291 CAD 6,378 87 - AA 04-24-2020 7,550 USD 10,139 10,139 CAD 10,625 486 - AA 04-24-2020 6,050 USD 8,124 8,124 CAD 8,514 390 - AA 04-24-2020 2,980 USD 4,099 4,099 CAD 4,194 95 - AA 05-08-2020 7,550 USD 10,140 10,140 CAD 10,620 480 - AA 05-08-2020 6,050 USD 8,125 8,125 CAD 8,510 385 - AA 05-22-2020 9,890 USD 13,956 13,956 CAD 13,909 - (47) AA 06-12-2020 1,400 USD 1,877 1,877 CAD 1,969 92 - A 06-12-2020 3,780 USD 5,078 5,078 CAD 5,315 237 - A 06-12-2020 4,720 USD 6,341 6,341 CAD 6,637 296 - A 06-12-2020 2,980 USD 4,098 4,098 CAD 4,190 92 - AA 06-19-2020 4,533 USD 6,259 6,259 CAD 6,374 115 - AA 06-19-2020 5,343 USD 7,360 7,360 CAD 7,513 153 - AA 06-19-2020 2,980 USD 4,098 4,098 CAD 4,190 92 - AA 04-03-2020 5,408 USD 7,624 5,163 CHF 7,558 66 - AA 06-17-2020 1,730 USD 2,439 12,225 CNY 2,428 11 - A 06-17-2020 807 USD 1,138 5,693 CNY 1,131 7 - A 06-17-2020 3,438 USD 4,847 24,162 CNY 4,799 48 - AA 04-24-2020 15 USD 20 49,588 COP 17 3 - A 04-02-2020 1,892 USD 2,668 1,700 EUR 2,641 27 - A 04-03-2020 6,836 USD 9,638 6,107 EUR 9,487 151 - AA 09-03-2020 7,311 USD 10,307 57,466 HKD 10,444 - (137) A 06-17-2020 1,470 USD 2,073 24,228,069 IDR 2,068 5 - A 06-17-2020 1,199 USD 1,690 17,061,770 IDR 1,456 234 - A 06-17-2020 1,385 USD 1,953 20,520,991 IDR 1,752 201 - A 04-27-2020 7,655 USD 10,791 555,340 INR 10,266 525 -






AA 05-04-2020 7,668 USD 10,810 550,859 INR 10,159 651 - A 04-03-2020 1,338 USD 1,886 144,239 JPY 1,890 - (4) AA 04-13-2020 2,294 USD 3,233 52,148 MXN 3,091 142 - AA 05-08-2020 3,474 USD 4,897 11,667 PEN 4,784 113 - AA 05-15-2020 2,076 USD 2,927 7,044 PEN 2,888 39 - AA 05-18-2020 850 USD 1,198 2,897 PEN 1,188 10 - A 04-15-2020 184 USD 260 14,493 RUB 260 - - A 04-03-2020 1,232 USD 1,737 11,712 SEK 1,665 72 - AA 04-06-2020 816 USD 1,150 12,213 ZAR 962 188 - A 04-06-2020 446 USD 629 7,013 ZAR 553 76 - AA 04-06-2020 27,033 ZAR 2,470 1,752 USD 2,130 - (340) 24,774 (132,239)





Schedule of Futures Contracts

Notional Unrealized Unrealized Type of No. of Expiration Average rate value gains losses contract contracts date of contracts (CAD$ 000) (CAD$ 000) (CAD$ 000)

CBOT U.S Treasury Long Bond Future (55) June 2020 166.70 USD (13,884) - (958)CBOT U.S. 10 Year Treasury Note 276 June 2020 134.58 USD 53,964 1,617 - CBOT U.S. 2 Year Treasury Note (149) June 2020 108.33 USD (46,294) - (782)CBOT U.S. 5 Year Treasury Note 402 June 2020 121.23 USD 71,046 2,338 - CME Ultra Long Term U.S. Treasury Bond Future 48 June 2020 208.90 USD 15,014 878 EUX Euro-BOBL Future 81 June 2020 135.93 EUR 17,009 - (90)EUX Euro-BTP Future (164) June 2020 141.97 EUR (36,017) 143 - EUX Euro-BTP Future 572 June 2020 147.77 EUR 125,622 - (5,647)EUX Euro-BTP Future (29) June 2020 141.97 EUR (6,369) 25 - EUX Euro-BUND Future (406) June 2020 173.25 EUR (108,775) 466 - EUX Euro-BUXL 30 Year Bond Future 28 June 2020 217.78 EUR 9,128 - (342)EUX Euro-OAT Future 12 June 2020 167.76 EUR 3,116 - (10)EUX Euro-SCHATZ Future (842) June 2020 112.11 EUR (146,708) - (100)ICE Long Gilt Future (11) June 2020 134.48 GBP (2,621) - (32)MSE Canadian 10 Year Bond Future (281) June 2020 140.41 CAD (41,346) - (1,889)SFE ASX 10 Year Treasury Bond Future (218) June 2020 99.31 AUD (28,430) 122 - SFE ASX 3 Year Treasury Bond Future 60 June 2020 99.56 AUD 6,084 30 - (129,461) 5,619 (9,850)

Schedule of Options Purchased

Premium Fair Underlying No. of No. of shares or Option Strike Expiration paid value security options Notional currency type price date (CAD$ 000) (CAD$ 000)

Currency Option EUR/GBP 11,619,000 EUR Put 0.83 EUR 04-22-2020 90 5 Currency Option EUR/USD 8,956,000 USD Put 1.09 EUR 04-08-2020 41 23 Interest Rate swap EUR 6 Month LIBOR 1,900,000 EUR Put 0.86 GBP 02-26-2021 155 166 Interest Rate swap USD 3 Month LIBOR 4,100,000 USD Put 1.78 USD 08-19-2020 279 49 Interest Rate swap USD 3 Month LIBOR 3,100,000 USD Put 1.76 USD 08-23-2021 303 118 iShares iBoxx $ High Yield Corporate Bond ETF 814 81,400 Put 85.00 USD 05-15-2020 168 979 iShares iBoxx $ High Yield Corporate Bond ETF 358 35,800 Put 87.00 USD 06-19-2020 62 553 iShares iBoxx $ High Yield Corporate Bond ETF 1,071 107,100 Put 86.00 USD 06-19-2020 161 1,522 1,259 3,415

Schedule of Options Written

Premium Fair Underlying No. of No. of shares or Option Strike Expiration received value security options Notional currency type price date (CAD$ 000) (CAD$ 000)

Currency Option EUR/RUB 5,439,000 EUR Call 73.00 EUR 04-02-2020 (70) (1,311)Currency Option EUR/USD 8,956,000 EUR Call 1.11 EUR 04-08-2020 (47) (73)Interest Rate swap EUR 6 Month LIBOR 2,100,000 EUR Call - EUR 08-27-2020 (86) (157)Interest Rate swap EUR 6 Month LIBOR 3,300,000 EUR Call - EUR 08-28-2020 (176) (248)Interest Rate swap GBP 6 Month LIBOR 5,400,000 GBP Put 0.78 GBP 02-26-2021 (152) (156)Interest Rate swap USD 3 Month LIBOR 48,200,000 USD Call 1.45 USD 08-06-2020 (90) (547)Interest Rate swap USD 3 Month LIBOR 48,200,000 USD Call 1.45 USD 08-11-2020 (91) (552)Interest Rate swap USD 3 Month LIBOR 34,100,000 USD Put 1.46 USD 08-19-2020 (279) (1)Interest Rate swap USD 3 Month LIBOR 25,800,000 USD Put 1.45 USD 08-23-2021 (303) (11) (1,294) (3,056)




Schedule of Interest Rate Swaps

Notional Unrealized Unrealized Counterparty No. of Maturity Fund pays Fund receives value gains losses credit rating contracts date return on: return on: (CAD$ 000) (CAD$ 000) (CAD$ 000)

A+ 1 06-17-2021 Floating interest LIBOR USD 3 month Fixed interest at 1.25% 95,303 418 - A+ 1 12-03-2021 Fixed interest at 0.00% Floating interest LIBOR JPY 6 month 245,154 - (123) A+ 1 12-18-2021 Fixed interest at 1.50% Floating interest LIBOR USD 3 month 32,002 - (628) A+ 1 12-18-2021 Fixed interest at 2.50% Floating interest LIBOR USD 3 month 10,855 - (432) A+ 1 02-26-2022 Fixed interest at 1.54% Floating interest LIBOR USD 3 month 37,924 - (687) A+ 1 02-27-2022 Fixed interest at 1.57% Floating interest LIBOR USD 3 month 46,523 - (872) A+ 1 03-18-2022 Fixed interest at -0.50% Floating interest EURIBOR EUR 6 month 24,228 82 - A+ 1 03-18-2022 Fixed interest at 0.75% Floating interest LIBOR GBP 6 month 14,347 - (76) A+ 1 06-17-2022 Fixed interest at -0.17% Floating interest LIBOR JPY 6 month 11,793 30 - A+ 1 06-17-2022 Fixed interest at -0.30% Floating interest EURIBOR EUR 6 month 166,333 - (5) A+ 1 06-17-2022 Floating interest LIBOR USD 3 month Fixed interest at 1.00% 102,493 1,242 - A+ 1 08-21-2023 Fixed interest at 1.31% Floating interest LIBOR USD 3 month 25,447 - (716) A+ 1 06-19-2024 Floating interest 7 day Repo rate CNY Fixed interest at 3.01% 2,687 85 - A+ 1 06-19-2024 Floating interest LIBOR JPY 6 month Fixed interest at 0.00% 3,276 9 - A+ 1 07-01-2024 Floating interest 7 day Repo rate CNY Fixed interest at 2.90% 2,687 72 - A+ 1 07-05-2024 Floating interest 7 day Repo rate CNY Fixed interest at 2.77% 14,292 321 - A+ 1 08-25-2024 Fixed interest at 1.30% Floating interest LIBOR USD 3 month 15,367 - (430) A+ 1 12-03-2024 Floating interest LIBOR USD 3 month Fixed interest at 1.60% 9,869 533 - A+ 1 12-18-2024 Floating interest LIBOR USD 3 month Fixed interest at 1.50% 7,472 387 - A+ 1 03-18-2025 Floating interest EURIBOR EUR 6 month Fixed interest at -0.50% 56,842 - (725) A+ 1 03-18-2025 Floating interest LIBOR GBP 6 month Fixed interest at 0.75% 12,773 149 - A+ 1 06-17-2025 Fixed interest at 1.25% Floating interest LIBOR USD 3 month 3,102 - (115) A+ 1 06-17-2025 Floating interest EURIBOR EUR 6 month Fixed interest at -0.15% 35,254 128 - A+ 1 06-17-2025 Floating interest LIBOR GBP 6 month Fixed interest at 1.00% 36,918 866 - A+ 1 06-20-2028 Fixed interest at 2.25% Floating interest BA CAD 3 month 6,500 - (606) A+ 1 01-30-2029 Floating interest WIBOR PLZ 6 month Fixed interest at 2.41% 1,124 133 - A+ 1 03-20-2029 Floating interest LIBOR JPY 6 month Fixed interest at 0.45% 524 22 - A+ 1 04-22-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.78% 1,152 113 - A+ 1 04-22-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.76% 1,827 175 - A+ 1 04-25-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.79% 1,350 133 - A+ 1 04-30-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.78% 1,668 163 - A+ 1 05-01-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.78% 953 93 - A+ 1 06-19-2029 Floating interest BA CAD 3 month Fixed interest at 2.50% 26,200 3,251 - A+ 1 06-19-2029 Floating interest EURIBOR EUR 6 month Fixed interest at 1.31% 12,114 726 - A+ 1 06-19-2029 Floating interest LIBOR JPY 6 month Fixed interest at 0.20% 46,253 892 - A+ 1 06-19-2029 Floating interest STIBOR SEK 3 month Fixed interest at 1.00% 1,407 91 - A+ 1 10-02-2029 Floating interest BA CAD 3 month Fixed interest at 1.71% 6,100 324 - A+ 1 11-29-2029 Floating interest LIBOR JPY 6 month Fixed interest at 0.04% 42,610 128 - A+ 1 12-18-2029 Fixed interest at 1.50% Floating interest LIBOR USD 3 month 68,657 - (5,417) A+ 1 12-18-2029 Floating interest BA CAD 3 month Fixed interest at 1.90% 38,000 2,738 - A+ 1 01-15-2030 Floating interest GBP UK RPI Fixed interest at 3.39% 3,149 25 - A+ 1 02-15-2030 Floating interest GBP UK RPI Fixed interest at 3.44% 1,925 26 - A+ 1 02-15-2030 Floating interest GBP UK RPI Fixed interest at 3.45% 5,774 90 - A+ 1 03-18-2030 Floating interest EURIBOR EUR 6 month Fixed interest at -0.15% 44,029 - (542) A+ 1 03-18-2030 Floating interest LIBOR GBP 6 month Fixed interest at 0.75% 17,759 286 - A+ 1 06-17-2030 Fixed interest at 1.00% Floating interest LIBOR GBP 6 month 10,323 - (409) A+ 1 06-17-2030 Fixed interest at 1.25% Floating interest LIBOR USD 3 month 8,318 - (430) A+ 1 06-17-2030 Floating interest BA CAD 3 month Fixed interest at 1.50% 21,700 764 - A+ 1 06-17-2030 Floating interest EURIBOR EUR 6 month Fixed interest at 0.15% 49,931 775 - A+ 1 02-26-2031 Fixed interest at 0.67% Floating interest LIBOR GBP 6 month 4,199 - (39) A+ 1 12-03-2039 Fixed interest at 0.91% Floating interest GBP SONIA 5,074 - (241) A+ 1 12-03-2039 Floating interest LIBOR GBP 3 month Fixed interest at 1.08% 5,074 226 - A+ 1 05-15-2045 Floating interest LIBOR USD 3 month Fixed interest at 1.85% 10,433 2,313 - A+ 1 11-29-2049 Fixed interest at 0.33% Floating interest LIBOR JPY 6 month 2,503 - (114) A+ 1 12-18-2049 Floating interest BA CAD 3 month Fixed interest at 2.20% 7,300 1,300 - A+ 1 12-18-2049 Floating interest LIBOR USD 3 month Fixed interest at 3.00% 705 396 - A+ 1 12-20-2049 Floating interest BA CAD 3 month Fixed interest at 1.83% 1,600 138 - A+ 1 03-18-2050 Fixed interest at 0.25% Floating interest EURIBOR EUR 6 month 11,881 - (281) A+ 1 03-18-2050 Floating interest LIBOR GBP 6 month Fixed interest at 0.75% 5,774 235 - A+ 1 06-17-2050 Fixed interest at 0.50% Floating interest EURIBOR EUR 6 month 2,097 - (201) A+ 1 06-17-2050 Floating interest LIBOR GBP 6 month Fixed interest at 1.00% 1,575 171 - A+ 1 06-17-2050 Floating interest LIBOR USD 3 month Fixed interest at 1.50% 14,944 2,414 - A+ 1 02-26-2051 Floating interest LIBOR GBP 6 month Fixed interest at 0.72% 1,452 52 - A+ 1 08-25-2051 Floating interest LIBOR USD 3 month Fixed interest at 1.65% 1,762 375 - 1,508,661 22,890 (13,089)


TOTAL DERIVATIVE ASSETS 56,809

TOTAL DERIVATIVE LIABILITIES (158,560)



Schedule of Currency Swaps

Notional amount Notional amount Unrealized Unrealized Counterparty Maturity of currency of currency gains losses credit rating Receive Pay date received delivered (CAD$ 000) (CAD$ 000)

A+ Floating rate equal to 3-Month Floating rate equal to 3-Month EUR-EURIBOR less 0.172% USD-LIBOR based based on the notional amount on the notional amount of currency received of currency delivered 01-23-2029 12,800,000 EUR 7,106,560 USD - (92) A+ Floating rate equal to 3-Month Floating rate equal to 3-Month AUD-LIBOR plus 0.420% USD-LIBOR based based on the notional amount on the notional amount of currency received of currency delivered 07-31-2029 7,700,000 AUD 5,313,000 USD 55 - A+ Floating rate equal to 3-Month Floating rate equal to 3-Month EUR-EURIBOR less 0.156% USD-LIBOR based based on the notional amount on the notional amount of currency received of currency delivered 03-18-2030 6,600,000 EUR 3,684,945 USD - (40) A+ Floating rate equal to 3-Month Floating rate equal to 3-Month AUD-LIBOR plus 0.423% USD-LIBOR based based on the notional amount on the notional amount of currency received of currency delivered 08-01-2029 7,700,000 AUD 5,313,000 USD 56 - 111 (132)

Schedule of Total Return Swaps

Notional Unrealized Unrealized Counterparty No. of Maturity Fund pays Fund receives value gains losses credit rating contracts date return on: return on: (CAD$ 000) (CAD$ 000) (CAD$ 000)

A+ 1 05-05-2020 Fixed Interest at 1.02% Government of Canada 2.75% 12-01-2048 6,300 - (194)

iProfileTM Fixed Income Private Pool NOTES TO THE ANNUAL FINANCIAL STATEMENTS MARCH 31, 2020

1. ORGANIZATION OF THE POOL, FISCAL PERIODS AND GENERAL INFORMATION

(a) Organization of the Pool

The Pool is organized as an open-ended mutual fund trust established under the laws of Manitoba and governed by a Declaration of Trust. The address of the Pool’s registered office is 447 Portage Avenue, Winnipeg, Manitoba, Canada. The Pool is authorized to issue an unlimited number of securities of multiple series. If issued, Series P securities are only available for purchase by other IG Wealth Management Funds or other qualified investors. All series generally share in the operations of the Pool on a pro rata basis except for items that can be specifically attributed to one or more series. Distributions for each series may vary, partly due to the differences in expenses between the series.

(b) Financial periods

The Statements of Financial Position are presented as at March 31, 2020 and 2019. The Statements of Comprehensive Income, Statements of Changes in Financial Position and Statements of Cash Flows are for the 12-month periods ended March 31, 2020 and 2019. The Schedule of Investments is presented as at March 31, 2020. Where a Pool or series of a Pool was established during either period, the information for the Pool or series is provided from inception date. Where a series of a Pool was terminated during either period, the information for the series is provided up to close of business on the termination date.

(c) General information

I.G. Investment Management, Ltd. is the Administrative Manager (or Manager), Portfolio Advisor and Trustee of the Pool. The Pool is distributed by Investors Group Financial Services Inc. and Investors Group Securities Inc. (collectively, the Distributors). These companies are, indirectly, wholly owned subsidiaries of IGM Financial Inc.

IGM Financial Inc. is a subsidiary of Power Financial Corp. and Power Corporation of Canada. Companies related to Power Financial Corporation are therefore considered affiliates of the Trustee, the Manager and the Distributors. The Pool may invest in certain securities within the Power Group of Companies, subject to certain governance criteria, and these holdings, as at the end of the period, have been identified on the Schedule of Investments for the Pool. Any transactions during the periods, other than transactions with unlisted open-ended mutual funds, were executed through market intermediaries and under prevailing market terms and conditions.

2. BASIS OF PREPARATION AND PRESENTATION

These annual financial statements (financial statements) have been prepared in accordance with International Financial Reporting Standards (IFRS), as issued by the International Accounting Standards Board (IASB). A summary of the Pool’s significant accounting policies under IFRS is presented in Note 3.These financial statements are presented in Canadian dollars, which is the Pool’s functional currency, and rounded to the nearest thousand unless otherwise indicated. These financial statements are prepared on a going concern basis using the historical cost basis, except for financial assets and liabilities that have been measured at fair value.These financial statements were authorized for issue by the Manager on July 17, 2020.Standards issued but not yet effective for the current accounting year are described in Note 3.

3. SIGNIFICANT ACCOUNTING POLICIES

(a) Financial instruments

The Pool classifies and measures financial instruments in accordance with IFRS 9 Financial Instruments (IFRS 9). Upon initial recognition, financial instruments are classified as fair value through profit or loss (FVTPL). All financial assets and liabilities are recognized in the Statement of Financial Position when the Pool becomes a party to the contractual requirements of the instrument. Financial instruments are derecognized when the right to receive cash flows from the instrument has expired or the Pool has transferred substantially all risks and rewards of ownership. As such, investment purchase and sale transactions are recorded as of the trade date.

Financial instruments are subsequently measured at FVTPL with changes in fair value recognized in the Statement of Comprehensive Income.

The cost of investments (cost) is based on the weighted average cost of investments and excludes commissions and other portfolio transaction costs, which are separately reported in the Statement of Comprehensive Income. Realized gains and losses on disposition, including foreign exchange gains or losses on such investments, are determined based on the cost of investments. Gains and losses arising from changes in the fair value of the investments are included in the Statement of Comprehensive Income for the period in which they arise. Gains and losses realized on certain derivatives, including interest rate and currency swaps, and futures are reported as Income (loss) from derivatives within the Statement of Comprehensive Income.

The Pool accounts for its holdings in unlisted open-ended investment funds (Underlying Funds) and Exchange Traded Funds (ETFs) at FVTPL. The Pool has concluded that the Underlying Funds and ETFs in which it invests do not meet the definition of structured entities. The Pool’s investment in Underlying Funds and ETFs, if any, is presented in the Schedule of Investments at fair value which represents the Pool’s maximum exposure on these investments.

(b) Fair value measurement

Fair value 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. The Pool’s valuation policies are as follows:

(i) Equity securities, fixed-income securities and other investment funds

Fair value for securities listed on a public securities exchange or traded on an over-the-counter market is determined as the last traded market price or close price recorded by the security exchange on which the security is principally traded, where the close price falls within the bid-ask spread of the security. In situations where the last traded market price is not within the bid-ask spread, the Manager selects the point within the bid-ask spread that is most representative of fair value.

Fair value of fixed-income securities includes consideration of the creditworthiness of the issuer.

Investments in securities of another investment fund are valued at the net asset value per security calculated in accordance with the offering documents of such investment fund or as reported by that fund’s manager.

Unlisted or non-exchange traded securities, or securities for which a last traded market price is unavailable or securities for which market quotations are, in the Manager’s opinion, inaccurate, unreliable or not reflective of all available material information, are valued at their estimated fair value, determined by using appropriate and accepted industry valuation techniques including valuation models. The estimated fair value of a security determined using valuation models requires the use of inputs and assumptions based on observable market data including volatility and other applicable rates or prices. In limited circumstances, the estimated fair value of a security may be determined using valuation techniques that are not supported by observable market data.

(ii) Futures and swaps contracts

Futures and swaps contracts are valued at the gain or loss that would be realized upon closure of the contract. The values for such contracts fluctuate and are best determined at the settlement price established each day by the board of trade or exchange on which the contracts are traded.

Margin accounts represent margin deposits held with brokers in respect of open futures and swaps contracts. Any change in the variation margin requirement is settled daily. Margin paid or deposited in respect of futures contracts or swaps is reflected as a receivable at fair value in the Statement of Financial Position.

(iii) Forward contracts

Forward contracts, including forward currency contracts, are valued at the gain or loss that would arise as a result of closing the position at the reporting date.

(iv) Options contracts

Premiums paid for purchasing an option are recorded as an asset in the Statement of Financial Position and premiums received from writing options are included in the Statement of Financial Position as a liability. Subsequently, options contracts are adjusted daily to fair value.

(c) Cash and cash equivalents

Cash and cash equivalents includes cash on deposit with banks and short term investments that are readily convertible to cash, are subject to an insignificant risk of changes in value, and are used by the Pool in the management of short-term commitments. Cash and cash equivalents are reported at fair value which closely approximates their amortized cost due to their nature of being highly liquid and having short terms to maturity. Bank overdraft positions are presented as bank indebtedness in current liabilities in the Statement of Financial Position.

(d) Currency

All amounts are expressed in Canadian dollars. Foreign currency amounts have been expressed in Canadian dollars on the following bases:

(i) Fair value of investments and other assets and liabilities at the rate of exchange at the end of the periods.

(ii) Income, expenses, purchases and sales of investments at the rate of exchange on the dates of such transactions.

(e) Income recognition

Interest income from interest bearing investments is recognized using the effective interest method. Dividends are accrued as of the ex-dividend date. Dividend income and distributions from open-ended investment funds are recognized when the Pool’s right to receive payment is established which is typically on the ex-dividend or distribution date. Distributions received from income trusts and open-ended investment funds are included in interest income, dividend income or capital gains, as appropriate, based on the best information available to the Manager. Due to the nature of these investments, actual allocations could vary from this information.

(f) Securities lending and repurchase transactions

The Pool may be permitted to enter into securities lending, repurchase and reverse repurchase transactions as set out in the Pool’s Simplified Prospectus. These transactions involve the temporary exchange of securities for collateral with a commitment to deliver the same securities on a future date. Income is earned from these transactions in the form of fees paid by the counterparty and, in certain circumstances, interest paid on cash or securities held as collateral. Income earned from these transactions is recognized on the accrual basis and included in the Statement of Comprehensive Income. Securities lending transactions are administered by The Bank of New York Mellon (the Securities Lending Agent). All the counterparties have a sufficient, approved credit rating based on ratings provided by external credit rating agencies, and the value of cash or securities held as collateral must be at least 102% of the fair value of the securities loaned, sold or purchased. The value of securities loaned and collateral received from securities lending as of the end of the periods, if applicable, is disclosed in Note 13. Collateral received is comprised of debt obligations of the Government of Canada and other countries, Canadian provincial and municipal governments, and financial institutions.


3. SIGNIFICANT ACCOUNTING POLICIES (continued)

(g) Redeemable securities

The Pool’s redeemable securities entitle securityholders the right to redeem their interest in the Pool for cash equal to their proportionate share of the net asset value of the Pool, amongst other contractual rights. These redeemable securities involve multiple contractual obligations on the part of the Pool and therefore meet the criteria for classification as financial liabilities. The Pool’s obligation for net assets attributable to securityholders is measured at FVTPL, with fair value being the redemption amount as of the reporting date. The fair value of net assets presented in the financial statements is consistent with the net asset values calculated in accordance with securities regulations for the purchase and redemption of the Pool’s redeemable securities.

(h) Commissions and other portfolio transaction costs

Commissions and other portfolio transaction costs are costs incurred to acquire, dispose or otherwise transact financial assets or liabilities. They include fees and commissions paid to agents, exchanges, brokers and dealers, and other intermediaries.

(i) Increase (decrease) in net assets attributable to securityholders from operations

Increase (decrease) in net assets attributable to securityholders from operations per security for a series in the Statement of Comprehensive Income represents the weighted average increase (decrease) in net assets attributable to securityholders from operations for the series, per security outstanding during the period.

(j) Offsetting

Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position only when there is a legally enforceable 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. In the normal course of business, the Pool enters into various master netting agreements or 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 termination of the contracts.

Note 13 presents the amounts, if any, subject to master netting arrangements or other similar agreements and the net impact to the Statements of Financial Position if all such rights were exercised.

(k) Future accounting changes

The Pool has determined there are no material implications to the Pool’s financial statements arising from IFRS issued but not yet effective.

4. USE OF ACCOUNTING JUDGMENTS AND ESTIMATES

The preparation of financial statements in accordance with IFRS requires judgments, estimates and assumptions that affect the application of accounting policies and reported amounts of assets and liabilities at the reporting date and the reported amounts of income and expenses during the period. However, existing circumstances and assumptions may change due to market changes or circumstances arising beyond the control of the Pool. Such changes are reflected in the assumptions when they occur.The outbreak of the novel coronavirus (COVID-19) developed rapidly over the first three months of 2020, with the World Health Organization declaring it a pandemic on March 11, 2020, and governments around the world enacting emergency measures that resulted in business disruptions, volatility in markets and a global economic slowdown.The Manager uses judgment in assessing the impact from such events on assumptions and estimates applied in reporting the assets and liabilities in the Pool‘s financial statements at March 31, 2020. The impact to the assumptions and estimates applied in these financial statements, if any, is described in Note 13.The duration and impact of the COVID-19 pandemic on businesses and markets, and the extent of economic relief measures provided by governments and central banks, are unknown at the reporting date and it is therefore not possible to reliably estimate the impact on the financial results and position of the Pool in future periods.The following discusses the most significant accounting judgments and estimates made in preparing the financial statements:(a) Functional currency

The Pool’s functional and presentation currency is the Canadian dollar, which is the currency considered to most faithfully represent the economic effects of the Pool’s underlying transactions, events and conditions taking into consideration the manner in which securities are issued and redeemed and how returns and performance by the Pool are measured.

(b) Classification of financial instruments

In classifying and measuring financial instruments held by the Pool, the Manager is required to make significant judgments in determining the most appropriate classification in accordance with IFRS 9. The Manager has assessed the Pool’s business model, the manner in which all financial assets and financial liabilities are managed and performance evaluated as a group on a fair value basis, and concluded that FVTPL in accordance with IFRS 9 provides the most appropriate measurement and presentation of the Pool’s financial assets and financial liabilities.

(c) Estimations of fair value

The Pool may, from time to time, hold investments that are not quoted in active markets, such as unlisted securities or private securities. To estimate fair value, the Manager uses valuation techniques that make use of observable data, to the extent practicable. The Pool categorizes the fair value of its assets and liabilities into three categories, which are differentiated based on the observable nature of the inputs and extent of estimation required.

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 – Inputs other than quoted prices that are observable for the asset or liability either directly or indirectly. Examples of Level 2 valuations include quoted prices for similar securities, quoted prices on inactive markets and from recognized investment dealers, and the application of factors derived from observable data to non-North American quoted prices in order to estimate the impact of differences in market closing times. The estimated fair values for these securities may be different from the values that would have been used had a ready market for the investment existed.

Level 3 – Inputs that are not based on observable market data. Various valuation techniques are utilized, depending on each situation. These methods and procedures may include, but are not limited to, performing comparisons with prices of comparable or similar securities, obtaining relevant information from issuers and/or other analytical data relating to the investment, and recent arm’s length transactions. Key inputs and assumptions used are usually security specific and may include estimated discount rates, credit risk, volatility, correlations, and future cash flows. Changes in key inputs and assumptions could affect the reported fair value of these financial instruments held by the Pool. The estimated fair values for these securities may be significantly different from the values that would have been used had a ready market for the investment existed.

See Note 13 for the fair value classifications of the Pool.

(d) Structured entities

In determining whether unlisted open-ended investment funds or ETFs in which the Pool invests, but that it does not consolidate, meet the definition of a structured entity, the Manager is required to make significant judgments about whether the Underlying Funds or ETFs have the typical characteristics of a structured entity. The Manager has assessed the characteristics of the Underlying Funds and ETFs and has concluded that they do not meet the definition of a structured entity because the Pool does not have contracts or financing arrangements with the Underlying Funds or ETFs and does not have an ability to influence the activities of the Underlying Funds or ETFs or the return it receives from its investment.

5. FEES AND OTHER EXPENSES

(a) The Pool is responsible for the payment of all expenses related to its operation. Each series of the Pool will incur expenses that can be specifically attributed to that series. Common expenses of the Pool are allocated across the series of the Pool on a pro rata basis.

(b) The Portfolio Advisor provides or arranges for the provision of investment and advisory services for a Pool advisory fee. See Note 13 for the annual rates paid (as a percent of average assets) by the Pool.

(c) The Manager is paid an annual administration fee to compensate it for providing or arranging for the provision of services to the Pool such as transfer agency, fund accounting and other administrative services. See Note 13 for the annual rates paid (as a percent of average assets) by the Pool.

(d) The Trustee is responsible for overall direction and management of the affairs of the Pool. See Note 13 for the annual rates paid (as a percent of average assets) to the Trustee by the Pool.

(e) GST/HST paid by the Pool on its expenses is not recoverable. In these financial statements, reference to GST/HST includes QST (Quebec sales tax), as applicable.

(f) The Distributors are paid an advisory fee based on iProfile Program assets. This amount is paid directly by securityholders in the Program and not by the Pool.

(g) Other expenses are comprised of bank charges and other miscellaneous expenses.

(h) The Manager may, at its discretion, pay certain expenses of a Pool so that the Pool’s performance remains competitive; however, there is no assurance that this will occur in the future. Any expenses absorbed by the Manager during the periods have been reported in the Statements of Comprehensive Income.

(i) Investment, if any, in Underlying Funds will be in series that do not pay fees. The ETFs into which the Pool may invest may have their own fees and expenses which reduce the value of the ETF. Generally, the Manager has determined that fees paid by an ETF are not duplicative with the fees paid by the Pool. However, where the ETF is managed by Mackenzie Financial Corporation, the ETF may distribute a fee rebate to the Pool to offset fees paid within the ETF. There is no assurance that these distributions will continue in the future.

6. INCOME TAXES

The Pool qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada) and, accordingly, is subject to tax on its income including net realized capital gains, which is not paid or payable to its securityholders. The Pool maintains a December year-end for tax purposes. The Pool may be subject to withholding taxes on foreign income. In general, the Pool treats withholding tax as a charge against income for tax purposes. The Pool will distribute sufficient amounts from net income for tax purposes, as required, so that the Pool will not pay income taxes other than refundable tax on capital gains, if applicable.See Note 13 for the losses that were available to offset future income for tax purposes as at the last taxation year-end. The net capital losses can be carried forward indefinitely to reduce future realized capital gains. The non-capital losses may be utilized to reduce taxable income of future years and expire in December of the years indicated.


7. COMMISSIONS AND OTHER PORTFOLIO TRANSACTION COSTS

The total brokerage commissions incurred by the Pool in connection with portfolio transactions for the periods, together with other transaction charges, is disclosed in the Statements of Comprehensive Income. Brokerage business is allocated to brokers based on the best net result for the Pool. Subject to this criteria, commissions may be paid to brokerage firms which provide (or pay for) certain services, other than order execution, which may include investment research, analysis and reports, and databases or software in support of these services. Where applicable and ascertainable, the value of third-party services that were paid for by brokers during the periods is disclosed in Note 13. The value of certain proprietary services provided by brokers cannot be reasonably estimated.

8. GUARANTEES AND INDEMNITIES

Agreements between the individual members of the Pool’s Independent Review Committee (IRC) and the Trustee, on behalf of the Pool, provides for the indemnification of each IRC member by the Pool from and against liabilities and costs in respect of any action or suit against the member by reason of being or having been a member of the IRC, provided that the member acted honestly and in good faith with a view to the best interest of the Pool, or, in the case of a criminal or administrative action or proceeding that is enforced by a monetary penalty, that they had reasonable grounds for believing that his/her conduct was lawful. No claims with respect to such occurrences have been made and, as such, no amount has been recorded in these financial statements with respect to these indemnifications.

9. CAPITAL MANAGEMENT

The capital structure of the Pool consists of redeemable securities in multiple series. The net capital received by the Pool is managed in accordance with the investment objective and strategies of the Pool and to maintain adequate liquidity to meet securityholder redemption requests. The Pool is not subject to externally imposed capital requirements and has no legal restrictions on the issue or redemption of securities beyond those included in the Pool’s prospectus. Securities issued, reinvested and redeemed during the periods are reflected in the Statements of Changes in Financial Position.

10. FINANCIAL INSTRUMENT RISK

The Pool’s investment activities expose it to a variety of financial risks. See the Schedule of Investments for additional information about the securities, Underlying Funds and ETFs, if any, held by the Pool as at the end of the period. Where significant, Note 13 presents the Pool’s exposure, directly and, if applicable, indirectly through investments in Underlying Funds, ETFs and/or derivative contracts, to financial instrument risks, as indicated below.(a) Risk management

The Manager seeks to minimize potential adverse effects of financial instrument risks on the Pool’s performance by employing professional, experienced portfolio advisors, daily monitoring of the Pool’s positions and market events, and diversifying the investment portfolio within the constraints of the investment objective. To assist in managing risk, the Manager also uses internal guidelines that identify the target exposures for each type of risk, maintains a governance structure that oversees the Pool’s investment activities and monitors compliance with the Pool’s stated investment strategy, internal guidelines and securities regulations.

(b) Liquidity risk

Liquidity risk arises when the Pool encounters difficulty in meeting its financial obligations as they come due. The Pool is exposed to liquidity risk due to potential daily cash redemptions of redeemable securities. In order to monitor the liquidity of its assets, the Pool utilizes a liquidity risk management program that calculates the number of days to convert the investments held by the Pool into cash using a multi-day liquidation approach. This liquidity risk analysis assesses the Pool’s liquidity against predetermined minimum liquidity percentages, established for different time periods, and is monitored quarterly. In addition, the Pool has the ability to borrow up to 5% of its net assets for the purposes of funding redemptions. In order to comply with securities regulations, the Pool must maintain at least 90% of its assets in liquid investments (i.e., investments that can be readily sold

(c) Currency risk

Currency risk is the risk that financial instruments which are denominated or exchanged in a currency other than the Canadian dollar, which is the Pool’s functional currency, will fluctuate due to changes in exchange rates. Generally, foreign denominated investments increase in value when the value of the Canadian dollar (relative to foreign currencies) falls. Conversely, when the value of the Canadian dollar rises relative to foreign currencies, the values of foreign denominated investments fall.

Note 13 indicates the foreign currencies, if applicable, to which the Pool had significant exposure, including both monetary and non-monetary financial instruments, and illustrates the potential impact, in Canadian dollar terms, to the Pool’s net assets had the Canadian dollar strengthened or weakened by 5% relative to all foreign currencies, all other variables held constant. In practice, the actual trading results may differ and the difference could be material.

The Pool’s sensitivity to currency risk illustrated in Note 13 includes potential indirect impacts from Underlying Funds and ETFs in which the Pool invests, and/or derivative contracts including forward currency contracts. Other financial assets and liabilities (including dividends and interest receivable, and receivables/payables for investments sold/purchased) that are denominated in foreign currencies do not expose the Pool to significant currency risk.

(d) Interest rate risk

Interest rate risk arises on interest-bearing financial instruments. The Pool is exposed to the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. Generally, these securities increase in value when interest rates fall and decrease in value when interest rates rise.

If significant, Note 13 summarizes the Pool’s interest-bearing financial instruments by remaining term to maturity and illustrates the potential impact to the Pool’s net assets had prevailing interest rates increased or decreased by 1%, assuming a parallel shift in the yield curve, all other variables held constant. The Pool’s sensitivity to interest rate changes was estimated using weighted average duration, and a valuation model that estimates the impact to the fair value of mortgages based on changes in prevailing interest rates in a manner consistent with the valuation policy for mortgages. In practice, the actual trading results may differ and the difference could be material.

The Pool’s sensitivity to interest rate risk illustrated in Note 13 includes potential indirect impacts from Underlying Funds and ETFs in which the Pool invests, and/or derivative contracts. Cash and cash equivalents and other money market instruments are short term in nature and are not generally subject to significant amounts of interest rate risk.

(e) Credit risk

Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Pool. Note 13 summarizes the Pool’s exposure, if significant, to credit risk. Indirect exposure to credit risk may arise from fixed-income securities, such as bonds, held by Underlying Funds and ETFs, if any. The fair value of fixed-income securities held by Underlying Funds and ETFs includes consideration of the creditworthiness of the issuer.

All transactions in listed securities are settled/paid for upon delivery using approved third-party brokers. The risk of default is considered minimal, as delivery of investments sold by the Pool is only made once the broker has received payment. Payment is made by the Pool on a purchase only once the investments have been received by the broker.

The carrying amount of investments represents the maximum credit risk exposure. The carrying amount of other assets also represents the maximum credit risk exposure, as they will be settled in the short term.

The Pool may enter into securities lending transactions with counterparties whereby the Pool temporarily exchanges securities for collateral with a commitment by the counterparty to deliver the same securities on a future date. Credit risk associated with these transactions is considered minimal as all counterparties have a sufficient, approved credit rating and the value of cash or securities held as collateral must be at least 102% of the fair value of the investments loaned.

(f) Other price risk

Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from interest rate or currency risk), whether caused by factors specific to an individual investment, its issuer or other factors affecting all instruments traded in a market or market segment. All investments present a risk of loss of capital. The Manager moderates this risk through a careful selection of securities and other financial instruments within the parameters of the investment strategies. Except for certain derivative contracts, the maximum risk resulting from financial instruments is equivalent to their fair value. The maximum risk of loss on certain derivative contracts such as forwards, swaps and futures contracts is equal to their notional values. In the case of written call (put) options and futures contracts sold short, the maximum loss to the Pool increases, theoretically without limit, as the fair value of the underlying security increases (decreases). However, these instruments are generally used within the overall investment management process to manage the risk from the underlying investments and do not typically increase the overall risk of loss to the Pool.

Other price risk typically arises from exposure to equity and commodity securities. If significant, Note 13 illustrates the potential increase or decrease in the Pool’s net assets, had the prices on the respective exchanges for these securities increased or decreased by 10%, all other variables held constant. In practice, the actual trading results may differ and the difference could be material.

The Pool’s sensitivity to other price risk illustrated in Note 13 includes potential indirect impacts from Underlying Funds and ETFs in which the Pool invests, and/or derivative contracts.

In addition, if the Pool invests in Investors Real Property Fund, the Pool is exposed to the risk that the value of the Underlying Fund could change as a result of changes in the valuation of real properties. Valuations of real properties are sensitive to changes in capitalization rates. Note 13 also indicates the Pool’s sensitivity, if any, to a 25 basis point change in the weighted average capitalization rates.

11. INVESTMENT MANDATES

As described in the Simplified Prospectus, to achieve the investment objective of the Pool, the Manager may allocate the assets of the Pool into multiple investment mandates, each of which is separately managed by an investment sub-advisor. The Manager may change the investment mandates and the allocation of investments in the Pool among these mandates at any time. Managing the investment mandates and assets of the Pool does not involve or result in segments reportable in accordance with IFRS. The results of operations and net assets for the Pool are presented in these financial statements; for comparative purposes, the total of reportable segments presented in prior periods is presented in Note 13.


12. OTHER INFORMATION

(a) Abbreviations

Foreign currencies, if any, are presented in these financial statements using the following abbreviated currency codes:

Currency Code Description

Currency Code Description

AUD Australian dollars MXN Mexican peso

BRL Brazilian real MYR Malaysian ringgit

CAD Canadian dollars NGN Nigerian naira

CHF Swiss franc NOK Norwegian krona

CKZ Czech koruna NTD New Taiwan dollar

CLP Chilean peso NZD New Zealand dollars

CNY Chinese yuan PEN Peruvian nuevo sol

COP Colombian peso PHP Philippine peso

DKK Danish krone PLN Polish zloty

EUR Euro RON Romanian leu

GBP United Kingdom pounds RUB Russian ruble

HKD Hong Kong dollars SEK Swedish krona

HUF Hungarian forint SGD Singapore dollars

IDR Indonesian rupiah THB Thailand baht

ILS Israeli sheqel TRL Turkish lira

INR Indian rupee USD United States dollars

JPY Japanese yen ZAR South African rand

KOR South Korean won ZMW Zambian kwacha

(b) Additional information available

A copy of the Pool’s current Simplified Prospectus, Annual Information Form and/or Management Report of Fund Performance, will be provided, without charge, by writing to: Investors Group Financial Services Inc., 447 Portage Avenue, Winnipeg, Manitoba, R3B 3H5 or, in Quebec, 2001, Robert-Bourassa Boulevard, Bureau 2000, Montreal, Quebec, H3A 2A6, or by calling toll-free 1-888-746-6344 (in Quebec 1-800-661-4578), or by visiting the IG Wealth Management website at www.ig.ca or SEDAR at www.sedar.com. Copies of financial statements for all IG Wealth Management Funds are also available upon request, or by visiting the IG Wealth Management website at www.ig.ca or SEDAR at www.sedar.com.

13. POOL SPECIFIC INFORMATION

(a) Pool and series information

The fee rates in the table above are rounded to two decimals.Date operations commenced are shown if within 10 years.Effective March 1, 2019, the annual pool advisory fee and annual administration fee rate for the Pool were each decreased by 0.20%.

The Pool aims to provide interest income by investing primarily in bonds and debentures.

Until October 21, 2019, the Pool allocated assets to specific mandates based on target weightings, including: 40% Canadian Bond (43% until January 23, 2019), 10% Canadian Short-Term Fixed Income (0% until January 23, 2019), 30% Global Bond (23% until January 23, 2019), 10% High Yield Bond (24% until January 23, 2019) and 10% Investors Real Property Pool.

Effective October 21, 2019, the Pool has more flexibility in its asset allocation decisions.

Each mandate is separately managed. The Pool may invest up to 50% of its assets in foreign securities.

The Manager has engaged the following sub-advisors to assist in investment management and trade execution for the Pool:

• Baring International Investment Limited (until November 14, 2018).

• PIMCO Canada Corp. (effective November 14, 2018).

• Mackenzie Financial Corporation.

Mackenzie Financial Corporation is a subsidiary of IGM Financial Inc. and, therefore, is considered an affiliate of the Trustee, the Manager and the Distributors.

Effective June 30, 2019, the name of the Pool changed from iProfileTM Fixed Income Pool to iProfileTM Fixed Income Private Pool.

(b) Income tax losses ($ 000)

Total Total Expiration year for non-capital losses capital loss non-capital loss 2026 2027 2028 2029 2030 after 2030

2,502 - - - - - - -

(c) Commissions

for the period ended ($ 000)

March 31, 2020 -

March 31, 2019 1

(d) Securities lending

Value of Value of securities collateral loaned received as at ($ 000) ($ 000)

March 31, 2020 743,046 786,217

March 31, 2019 281,532 296,070

March 31, 2020 March 31, 2019

for the period ended ($ 000) (%) ($ 000) (%)

Gross securities lending income 675 100.0 253 100.0 Tax withheld (56) (8.3) (25) (9.8)

619 91.7 228 90.2 Payments to securities lending agents (136) (20.2) (57) (22.6)

Securities lending income 483 71.5 171 67.6


Date operations Pool advisory Administration Trustee Series commenced fee (%) fee (%) fee (%)Series I n/a 0.05 up to 0.05 0.05Series Ti March 1, 2013 0.05 up to 0.05 0.05

i) Currency risk

As at March 31, 2020 and 2019, the Pool did not have a significant net exposure to currency risk, as the Pool entered into forward currency contracts to hedge the exposure from foreign securities.

ii) Interest rate risk

The tables below summarize the Pool’s exposure to interest rate risk.

Bond holdings

Impact on net assets

Increase by 1% Decrease by 1%

March 31, 2020 ($ 000) ($ 000) (%) ($ 000) (%)

Less than 1 year 31,154 1-5 years 1,013,050 5-10 years 1,398,395 Greater than 10 years 1,543,474

Total 3,986,073 (393,639) (6.8) 393,639 6.8

Interest sensitivity arising from other securities (50,419) (0.9) 49,977 0.9

Total sensitivity to interest rate changes (444,058) (7.7) 443,616 7.7

Bond holdings

Impact on net assets

Increase by 1% Decrease by 1%

March 31, 2019 ($ 000) ($ 000) (%) ($ 000) (%)

Less than 1 year 70,740 1-5 years 784,418 5-10 years 815,308 Greater than 10 years 852,562

Total 2,523,028 (233,709) (6.1) 233,709 6.1

Interest sensitivity arising from other securities (21,767) (0.5) 18,944 0.5

Total sensitivity to interest rate changes (255,476) (6.6) 252,653 6.6

iii) Credit risk

The Pool’s greatest concentration of credit risk is in fixed-income securities, such as bonds, and certain derivative contracts, if applicable. The maximum exposure to any one issuer as at March 31, 2020, was 7.6% of the net assets of the Pool (March 31, 2019 – 8.5%).

The tables below summarize the securities by credit rating:

Percent of total March 31, 2020 net assets (%)

AAA 10.4 AA 16.6 A 15.9 BBB 11.6 less than BBB 7.0 Unrated 7.9

Total 69.4

Percent of total March 31, 2019 net assets (%)

AAA 13.3 AA 16.0 A 15.3 BBB 9.4 less than BBB 7.6 Unrated 4.2

Total 65.8

iv) Other price risk

As at March 31, 2020 and 2019, the Pool did not have a significant exposure to other price risk arising from equity securities.

The table below summarizes the Pool’s exposure to other price risk arising from changes in weighted average cap rate for real properties held by Investors Real Property Fund.

Increase by 25 basis points Decrease by 25 basis points

Impact on net assets ($ 000) (%) ($ 000) (%)

March 31, 2020 (28,123) (0.5) 31,317 0.5

March 31, 2019 (16,314) (0.4) 18,059 0.5


13. POOL SPECIFIC INFORMATION (continued)

(e) Financial instrument risk

v) Offsetting of financial assets and financial liabilities

The table below presents the recognized financial assets and financial liabilities that are subject to master netting arrangements or other similar agreements and the net impact on the Fund’s Statements of Financial Position if all set-off rights were exercised.

($ 000)

Gross amount presented in the Statement of

Financial Position Set-off amounts Net

March 31, 2020

Financial assets 25,135 (22,951) 2,184

Financial liabilities (135,295) 22,951 (112,344)

March 31, 2019

Financial assets 7,732 (4,907) 2,825

Financial liabilities (14,331) 4,907 (9,424)

(f) Fair value of investments

The tables below summarize the fair value of the Pool’s investments using the fair value categories described in Note 4.

as at March 31, 2020 ($ 000) Level 1 Level 2 Level 3 Total

Bonds 2,748 3,983,325 - 3,986,073 Mutual funds 1,241,215 - - 1,241,215 Exchange Traded Funds 123,056 - - 123,056 Equities 9,157 - - 9,157 Short-term investments - 604,364 - 604,364 Derivative assets 5,619 51,190 - 56,809 Derivative liabilities (9,850) (148,711) - (158,561)

Total 1,371,945 4,490,168 - 5,862,113

as at March 31, 2019 ($ 000) Level 1 Level 2 Level 3 Total

Bonds 138 2,522,890 - 2,523,028 Mutual Funds 826,044 - - 826,044 Exchange Traded Funds - - - -Equities 12,048 - - 12,048 Short-term investments - 603,223 - 603,223Derivative assets 2,816 18,941 - 21,757 Derivative liabilities (4,229) (19,941) - (24,170)

Total 836,817 3,125,113 - 3,961,930

During the periods, there were no significant transfers between Level 1 and Level 2.

(g) Segmented information

CANADIAN CANADIAN BOND GLOBAL BOND HIGH YIELD INVESTORS REAL SHORT-TERM FIXED($ 000) MANDATE MANDATE BOND MANDATE PROPERTY FUND INCOME MANDATE Total

Net assets attributable to securityholders, end of period

March 31, 2019 1,545,385 1,143,729 379,210 393,965 379,743 3,842,032

Comprehensive income

for the 12 months ended March 31, 2019Net realized gain (loss) 2,605 31 (15,603) 2,936 (15) (10,046)Net unrealized gain (loss) 37,466 13,081 4,100 5,958 2,597 63,202 Other income 35,831 7,650 34,007 11,986 2,721 92,195 Total income 75,902 20,762 22,504 20,880 5,303 145,351 Expenses (6,827) (5,210) (1,828) (1,696) (1,698) (17,259)Increase (decrease) in net assets attributable to securityholders from operations before tax 69,075 15,552 20,676 19,184 3,605 128,092 Foreign withholding taxes (paid) recovered (10) (75) (13) - - (98)Increase (decrease) in net assets attributable to securityholders from operations 69,065 15,477 20,663 19,184 3,605 127,994


13. POOL SPECIFIC INFORMATION

(e) Financial instrument risk (continued)

TO THE SECURITYHOLDERS OF iPROFILETM FIXED INCOME PRIVATE POOL (THE “POOL”)

Opinion

We have audited the financial statements of the Pool, which comprise the statements of financial position as at March 31, 2020 and 2019, and the statements of comprehensive income, changes in financial position and cash flows for the periods then ended, and indicated in note 1, and notes to the financial statements, including a summary of significant accounting policies (collectively referred to as the “financial statements”).

In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Pool as at March 31, 2020 and 2019, and its financial performance and its cash flows for the periods then ended, as indicated in note 1, in accordance with International Financial Reporting Standards (“IFRS”).

Basis for Opinion

We conducted our audit in accordance with Canadian generally accepted auditing standards (“Canadian GAAS”). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Pool in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Other Information

Management is responsible for the other information. The other information comprises the Management Report of Fund Performance.

Our opinion on the financial statements does not cover the other information and we do not and will not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated.

We obtained the Management Report of Fund Performance prior to the date of this auditor’s report. If, based on the work we have performed on this other information, we conclude that there is a material misstatement of this other information, we are required to report that fact in this auditor’s report. We have nothing to report in this regard.

Responsibilities of Management and Those Charged with Governance for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with IFRS, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, management is responsible for assessing the Pool’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate the Pool or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Pool’s financial reporting process.

Auditor’s Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian GAAS will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with Canadian GAAS, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Pool’s internal control.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.

• Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Pool’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Pool to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards.

/s/ Deloitte LLP Chartered Professional Accountants

Winnipeg, Canada

July 17, 2020

Independent Auditor’s Report XXMARCH 31, 2020

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