ig mackenzie strategic income fund - investors group · reinvested from distributions 59 30 32 11...

IG Mackenzie Strategic Income FundInterim Financial Report FOR THE SIX-MONTH PERIOD ENDED SEPTEMBER 30, 2018

The accompanying interim financial statements have not been reviewed by the external auditors of the Fund. The external auditors will be auditing the annual financial statements of the Fund as at March 31, 2019, in accordance with Canadian generally accepted auditing standards.

© Copyright Investors Group Inc. 2018 TM Trademarks, including IG Wealth Management, are owned by

IGM Financial Inc. and licensed to its subsidiary corporations.

STATEMENTS OF FINANCIAL POSITION

at September 30, 2018 (unaudited) with comparative figures at March 31, 2018 (in $ 000 except per security amounts)

STATEMENTS OF COMPREHENSIVE INCOME

for the six-month periods ended September 30 (unaudited) (in $ 000 except per security amounts)

See accompanying notes.

IG Mackenzie Strategic Income FundINTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2018

Sep. 30 Mar. 31

2018 2018

Assets

Current assets:

Non-derivative investments 209,220 335,948

Cash and cash equivalents 7,781 17,486

Accrued interest receivable 1,100 1,723

Dividends receivable 184 367

Accounts receivable for investments sold 1,499 1,592

Accounts receivable for securities issued - 244

Accounts receivable from the Manager 18 18

Margin on derivative contracts 131 718

Derivative assets 1,190 329

Other assets - -

221,123 358,425

Non-current assets:

Taxes recoverable - -

Other assets - -

- -

Total assets 221,123 358,425

Liabilities

Current liabilities:

Bank indebtedness - -

Accounts payable for investments purchased 5,429 7,206

Accounts payable for securities redeemed 51 -

Distributions payable - -

Accrued expenses and miscellaneous payables 25 29

Dividends payable on investments sold short - -

Derivative liabilities 1 2,513

Taxes payable - -

Other liabilities - -

Total liabilities 5,506 9,748

Net assets attributable to securityholders 215,617 348,677

a2018 b2017

Income:

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

Dividends 2,099 2,669

Interest income 3,112 4,279

Net realized gain (loss) 7,982 9,448

Net unrealized gain (loss) (3,802) (7,663)

Income (loss) from derivatives (238) (889)

Income (loss) from short selling - -

Other 44 66

Net gain (loss) on derivative and non-derivative investments 9,197 7,910

Securities lending income 3 39

Other 112 129

Total income 9,312 8,078

Expenses:

Management fees 1,711 1,633

Management fee rebates (13) (13)

Service fees 262 263

Service fee rebates (36) (32)

Administration fees 204 184

Trustee fees 60 54

Commissions and other portfolio transaction costs 73 94

Independent Review Committee costs - 1

Other 2 2

Expenses before amounts absorbed by Manager 2,263 2,186

Expenses absorbed by Manager - -

Net expenses 2,263 2,186

Increase (decrease) in net assets attributable to securityholders

from operations before tax 7,049 5,892

Foreign withholding taxes paid (recovered) 145 197

Foreign income taxes paid (recovered) - -

Income tax paid (recovered) - -

Increase (decrease) in net assets attributable to securityholders

from operations 6,904 5,695

Net assets attributable to securityholders

per security per series

Sep. 30 Mar. 31 Sep. 30 Mar. 31

2018 2018 2018 2018

Series A 11.90 11.75 51,143 54,530

Series B 11.89 11.74 28,840 27,780

Series C 11.77 11.63 14,976 15,586

Series Jdsc 11.92 11.77 49,106 49,730

Series Jnl 11.89 11.75 17,776 16,571

Series P - 11.71 - 135,415

Series Tdsc 10.45 10.39 29 29

Series Tnl 10.48 10.41 84 29

Series Tc 10.24 10.19 1 1

Series TJdsc 10.46 10.41 102 101

Series TJnl 10.44 10.37 43 42

Series Tu 11.01 10.88 486 181

Series U 11.70 11.56 53,031 48,682

215,617 348,677

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

per security per series

a2018 b2017 a2018 b2017

Series A 0.31 0.13 1,383 625

Series B 0.30 0.13 741 223

Series C 0.30 0.12 400 166

Series Jdsc 0.33 0.14 1,362 665

Series Jnl 0.32 0.15 462 186

Series P 0.08 0.28 823 3,304

Series Tdsc 0.26 0.10 1 -

Series Tnl 0.27 0.11 1 -

Series Tc 0.29 0.12 - -

Series TJdsc 0.28 0.12 4 4

Series TJnl 0.29 0.13 1 -

Series Tu 0.36 0.19 10 2

Series U 0.39 0.21 1,716 520

6,904 5,695


TOTAL SERIES A SERIES B SERIES C

a2018 b2017 a2018 b2017 a2018 b2017 a2018 b2017

Net assets attributable to securityholders, beginning of period 348,677 335,584 54,530 60,447 27,780 20,177 15,586 16,393

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

Operations 6,904 5,695 1,383 625 741 223 400 166

Distributions:

Income (3,404) (4,134) (710) (350) (388) (135) (173) (64)

Capital gains - - - - - - - -

Return of capital (1) (3) - - - - - -

Management fee rebates (13) (13) - - - - - -

Service fee rebates (36) (32) - - - - (36) (32)

Total distributions (3,454) (4,182) (710) (350) (388) (135) (209) (96)

Security transactions:

Proceeds from sale of securities 49,538 44,250 2,652 2,517 6,172 6,685 1,244 684

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

Reinvested from distributions 3,425 4,168 706 348 386 135 210 93

Payment on redemption of securities (189,473) (43,812) (7,418) (7,428) (5,851) (3,878) (2,255) (1,675)

Total security transactions (136,510) 4,606 (4,060) (4,563) 707 2,942 (801) (898)

Increase (decrease) in assets attributable to securityholders (133,060) 6,119 (3,387) (4,288) 1,060 3,030 (610) (828)

Net assets attributable to securityholders, end of period 215,617 341,703 51,143 56,159 28,840 23,207 14,976 15,565

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

Securities outstanding, beginning of period 4,640 5,175 2,365 1,728 1,340 1,418

Add (deduct):

Securities sold 223 214 519 570 106 59

Securities issued on merger - - - - - -

Reinvested from distributions 59 30 32 11 18 8

Securities redeemed (624) (632) (490) (330) (192) (145)

Securities outstanding, end of period 4,298 4,787 2,426 1,979 1,272 1,340

STATEMENTS OF CHANGES IN FINANCIAL POSITION

for the six-month periods ended September 30 (unaudited) (in $ 000 except when stated)



SERIES JdSc SERIES Jnl SERIES P SERIES TdSc

a2018 b2017 a2018 b2017 a2018 b2017 a2018 b2017

Net assets attributable to securityholders, beginning of period 49,730 56,236 16,571 14,569 135,415 144,228 29 37


Operations 1,362 665 462 186 823 3,304 1 -

Distributions:

Income (738) (389) (261) (101) - (2,632) - -


Return of capital - - - - - - - -

Management fee rebates (10) (10) (3) (3) - - - -

Service fee rebates - - - - - - - -

Total distributions (748) (399) (264) (104) - (2,632) - -


Proceeds from sale of securities 4,418 6,315 4,325 5,153 20,234 6,367 - -


Reinvested from distributions 744 397 262 104 - 2,632 - -

Payment on redemption of securities (6,400) (11,371) (3,580) (5,884) (156,472) (11,432) (1) (1)

Total security transactions (1,238) (4,659) 1,007 (627) (136,238) (2,433) (1) (1)

Increase (decrease) in assets attributable to securityholders (624) (4,393) 1,205 (545) (135,415) (1,761) - (1)

Net assets attributable to securityholders, end of period 49,106 51,843 17,776 14,024 - 142,467 29 36


Securities outstanding, beginning of period 4,224 4,806 1,411 1,248 11,562 12,383 3 4

Add (deduct):

Securities sold 371 537 363 438 1,717 543 - -

Securities issued on merger - - - - - - - -

Reinvested from distributions 62 34 22 9 - 225 - -

Securities redeemed (537) (967) (301) (500) (13,279) (974) - (1)

Securities outstanding, end of period 4,120 4,410 1,495 1,195 - 12,177 3 3

SERIES Tnl SERIES Tc SERIES TJdSc SERIES TJnl

a2018 b2017 a2018 b2017 a2018 b2017 a2018 b2017

Net assets attributable to securityholders, beginning of period 29 15 1 14 101 215 42 1


Operations 1 - - - 4 4 1 -

Distributions:

Income (1) - - - (2) (1) (1) -


Return of capital - - - - (1) (2) - -

Management fee rebates - - - - - - - -

Service fee rebates - - - - - - - -

Total distributions (1) - - - (3) (3) (1) -


Proceeds from sale of securities 56 3 - - - 23 - 40


Reinvested from distributions - - - - 2 3 1 -

Payment on redemption of securities (1) (4) - (9) (2) (136) - -

Total security transactions 55 (1) - (9) - (110) 1 40

Increase (decrease) in assets attributable to securityholders 55 (1) - (9) 1 (109) 1 40

Net assets attributable to securityholders, end of period 84 14 1 5 102 106 43 41


Securities outstanding, beginning of period 3 1 - 1 10 20 4 -

Add (deduct):

Securities sold 5 - - - - 2 - 4

Securities issued on merger - - - - - - - -

Reinvested from distributions - - - - - - - -

Securities redeemed - - - - - (12) - -

Securities outstanding, end of period 8 1 - 1 10 10 4 4

STATEMENTS OF CHANGES IN FINANCIAL POSITION (continued)




SERIES Tu SERIES u

a2018 b2017 a2018 b2017

Net assets attributable to securityholders, beginning of period 181 75 48,682 23,177


Operations 10 2 1,716 520

Distributions:

Income (9) (3) (1,121) (459)

Capital gains - - - -

Return of capital - (1) - -

Management fee rebates - - - -

Service fee rebates - - - -

Total distributions (9) (4) (1,121) (459)


Proceeds from sale of securities 618 229 9,819 16,234

Proceeds from securities issued on merger - - - -

Reinvested from distributions 6 2 1,108 454

Payment on redemption of securities (320) (120) (7,173) (1,874)

Total security transactions 304 111 3,754 14,814

Increase (decrease) in assets attributable to securityholders 305 109 4,349 14,875

Net assets attributable to securityholders, end of period 486 184 53,031 38,052


Securities outstanding, beginning of period 17 7 4,210 2,016

Add (deduct):

Securities sold 55 21 838 1,401

Securities issued on merger - - - -

Reinvested from distributions 1 - 94 39

Securities redeemed (29) (11) (611) (162)

Securities outstanding, end of period 44 17 4,531 3,294

STATEMENTS OF CASH FLOWS



a2018 b2017

Cash flows from operating activities

Increase (decrease) in net assets attributable to securityholders from operations 6,904 5,695

Less non-cash impact of:

Net realized (gain) loss (7,982) (9,448)

Change in net unrealized (gain) loss 3,802 7,663

Distributions received from Underlying Funds (173) (20)

Adjustments for:

Proceeds from sale and maturity of investments 76,397 134,722

Purchases of investments (63,774) (142,315)

(Increase) decrease in accounts receivable and other assets 1,467 (363)

Increase (decrease) in accounts payable and other liabilities (2) 10

Net cash provided by (used in) operating activities 16,639 (4,056)

Cash flows from financing activities:

Proceeds from securities issued 43,488 29,326

Proceeds from securities issued on merger - -

Payments on redemption of securities (69,767) (28,888)

Distributions paid net of reinvestments (29) (14)

Net cash provided by (used in) financing activities (26,308) 424

Increase (decrease) in cash and cash equivalents (9,669) (3,632)

Cash and cash equivalents at beginning of period 17,486 9,167

Effect of exchange rate fluctuations on cash and cash equivalents (36) (26)

Cash and cash equivalents, end of period 7,781 5,509

Cash 635 2,090

Cash equivalents 7,146 3,419

Bank indebtedness - -

7,781 5,509

Supplementary disclosures on cash flow from operating activities:

Dividends received net of withholding taxes 2,137 2,659

Interest received net of withholding taxes 3,735 4,142

Interest paid - -



BONDS 407 International Inc. 3.72% 05-11-2048 Callable 2047 Canada Corporate 130,000 130 130 AAC Holdings Inc. Term Loan 1st Lien F/R 06-30-2023 United States Bank Loans USD 193,374 242 254 AbbVie Inc. 3.75% 11-14-2023 Callable 2023 United States Corporate USD 20,000 26 26 Adtalem Global Education Inc. Term Loan B 1st Lien F/R 04-09-2025 United States Bank Loans USD 239,400 303 312 Advanced Micro Devices Inc. 7.50% 08-15-2022 United States Corporate USD 367,000 538 534 Advisor Group Inc. Term Loan 1st Lien F/R 08-09-2025 United States Bank Loans USD 120,000 157 156 Aegis Toxicology Sciences Corp. Term Loan B 1st Lien F/R 05-09-2025 United States Bank Loans USD 50,000 63 63 AI Ladder Luxembourg Term Loan B 1st Lien F/R 05-04-2025 United States Bank Loans USD 250,000 311 325 AIMCo Realty Investors LP 3.04% 06-01-2028 Callable 2028 Canada Corporate 48,000 48 46 AL Midcoast Holdings LLC Term Loan B 1st Lien F/R 06-28-2025 United States Bank Loans USD 80,000 105 104 Alcami Carolinas Corp. Term Loan 1st Lien F/R 07-06-2025 United States Bank Loans USD 160,000 210 208 Alera Group Intermediate Holdings Inc. Term Loan B 1st Lien F/R 07-27-2025 United States Bank Loans USD 59,850 78 79 Algonquin Power & Utilities Corp. 4.09% 02-17-2027 Callable Canada Corporate 180,000 180 179 Allied Properties Real Estate Investment Trust 3.75% 03-13-2020 Series A Canada Corporate 49,000 49 50 Allied Properties Real Estate Investment Trust 3.93% 11-14-2022 Series B Canada Corporate 35,000 35 35 Allied Properties Real Estate Investment Trust 3.64% 04-21-2025 Callable 2025 Canada Corporate 82,000 82 80 AltaGas Ltd. 3.98% 10-04-2027 Callable 2027 Canada Corporate 100,000 100 99 AltaLink LP 3.72% 12-03-2046 Callable MTN Canada Corporate 79,000 79 79 Altice France SA Term Loan B13 1st Lien F/R 01-31-2026 France Bank Loans USD 240,000 308 308 Altice SA 7.75% 05-15-2022 Callable 144A Luxembourg Corporate USD 200,000 265 251 AMC Entertainment Holdings Inc. 5.88% 11-15-2026 Callable United States Corporate USD 96,000 116 119 American Teleconferencing Services Ltd. Term Loan 1st Lien F/R 12-08-2021 United States Bank Loans USD 117,901 156 148 Amneal Pharmaceuticals LLC Term loan B 1st Lien F/R 03-23-2025 United States Bank Loans USD 259,290 332 339 Anheuser-Busch InBev Finance Inc. 2.60% 05-15-2024 Callable 2024 Belgium Corporate 350,000 347 334 Antero Resources Corp. 5.00% 03-01-2025 United States Corporate USD 83,000 107 108 ArcelorMittal SA 5.13% 06-01-2020 Luxembourg Corporate USD 80,000 114 106 Arch Merger Sub Inc. 8.50% 09-15-2025 Callable 2020 144A United States Corporate USD 430,000 547 525 Arcos Dorados Holdings Inc. 5.88% 04-04-2027 Callable 2022 Uruguay Corporate USD 31,000 43 38 Aroundtown SA 4.63% 09-18-2025 Callable 2025 Germany Corporate 80,000 80 80 ASP AMC Merger Sub Inc. 8.00% 05-15-2025 Callable 2020 144A United States Corporate USD 500,000 667 493 AT&T Inc. 4.00% 11-25-2025 Callable 2025 United States Corporate 140,000 140 140 Atlantic Power Corp. 5.95% 06-23-2036 United States Corporate 362,000 251 296 ATS Consolidated Inc. Term Loan B 1st Lien F/R 02-23-2025 United States Bank Loans USD 114,425 144 149 Aviva PLC 4.50% 05-10-2021 United Kingdom Corporate 230,000 229 236 Avolon Holdings Funding Ltd. 5.50% 01-15-2023 Callable 2022 144A Ireland Corporate USD 50,000 64 66 Avolon Holdings Funding Ltd. 5.13% 10-01-2023 Callable 2023 144A Ireland Corporate USD 150,000 197 195 Ball Metalpack Finco LLC Term Loan B 1st Lien F/R 07-26-2025 United States Bank Loans USD 119,700 156 157 Bank of America Corp. 3.23% 06-22-2022 Series MPLE United States Corporate 46,000 47 46 Bank of America Corp. 3.30% 04-24-2024 Callable 2023 United States Corporate 90,000 90 89 Bank of America Corp. F/R 09-20-2025 Callable 2024 United States Corporate 227,000 227 224 Bank of Montreal 2.27% 07-11-2022 DPNT Canada Corporate 136,000 135 133 Bank of Montreal 2.89% 06-20-2023 Canada Corporate 120,000 120 119 Bank of Montreal 2.70% 09-11-2024 DPNT Canada Corporate 289,000 289 282 Bank of Montreal 3.19% 03-01-2028 Canada Corporate 100,000 99 99 Bank of Montreal F/R 12-15-2032 Callable 2027 Canada Corporate USD 74,000 95 89 The Bank of Nova Scotia 2.36% 11-08-2022 Canada Corporate 121,000 121 118 The Bank of Nova Scotia 2.98% 04-17-2023 Canada Corporate 40,000 40 40 The Bank of Nova Scotia 2.29% 06-28-2024 Canada Corporate 51,000 50 49 The Bank of Nova Scotia F/R 04-12-2066 Callable 2022 Canada Corporate USD 113,000 141 137 Bausch Health Cos Inc. 5.63% 12-01-2021 Callable 144A United States Corporate USD 420,000 483 542 Bausch Health Cos Inc. Term Loan B 1st Lien F/R 05-24-2025 United States Bank Loans USD 97,500 125 127 Baytex Energy Corp. 5.63% 06-01-2024 Callable 2019 144A Canada Corporate USD 240,000 284 297 bcIMC Realty Corp. 3.00% 03-31-2027 Callable 2026 Canada Corporate 65,000 65 63 Beacon Escrow Corp. 4.88% 11-01-2025 Callable 2020 144A United States Corporate USD 50,000 60 60 Bell Canada 2.70% 02-27-2024 Callable Canada Corporate 430,000 428 414 Bell Canada 3.60% 09-29-2027 Callable MTN Canada Corporate 110,000 111 108 Bell Canada 3.80% 08-21-2028 Callable 2028 Canada Corporate 80,000 80 79 Bellatrix Exploration Ltd. 8.50% 05-15-2020 Callable 144A Canada Corporate USD 139,000 158 115 BMC Acquisition Inc. Term Loan 1st Lien F/R 12-15-2024 United States Bank Loans USD 99,001 126 129 Boardriders Inc. Term Loan B 1st Lien F/R 03-21-2024 United States Bank Loans USD 201,495 254 264 BP Capital Markets PLC 3.47% 05-15-2025 United Kingdom Corporate 110,000 110 110 Bright Bidco BV Term Loan B 1st Lien F/R 06-30-2024 Netherlands Bank Loans USD 217,955 284 279 Brookfield Infrastructure Finance ULC 4.20% 09-11-2028 Callable 2018 Canada Corporate 100,000 100 99 Brookfield Renewable Energy Partners ULC 3.63% 01-15-2027 Callable 2026 Canada Corporate 350,000 350 340 Brookfield Renewable Partners ULC 4.25% 01-15-2029 Callable 2028 Canada Corporate 90,000 90 90 Bruce Power LP 2.84% 06-23-2021 Canada Corporate 460,000 462 456 Bruce Power LP 3.00% 06-21-2024 Callable 2024 Canada Corporate 250,000 250 243 Bruce Power LP 3.97% 06-23-2026 Canada Corporate 70,000 72 71 Bulldog Purchaser Inc. Delayed Draw Term Loan 1st Lien F/R 08-31-2025 United States Bank Loans USD 52,857 68 68 Bulldog Purchaser Inc. Term Loan B 1st Lien F/R 08-31-2025 United States Bank Loans USD 97,143 125 125 Calfrac Holdings LP 8.50% 06-15-2026 Callable 2021 144A Canada Corporate USD 20,000 25 24 California Resources Corp. 8.00% 12-15-2022 Callable 2018 144A United States Corporate USD 187,000 189 231

SCHEDULE OF INVESTMENTS

as at September 30, 2018 (unaudited) No. of Units, Fair Shares, or Cost Value Country Sector Par Value (CAD$ 000) (CAD$ 000)


SCHEDULE OF INVESTMENTS (continued)


BONDS (continued)EQUITIES (continued) Calpine Corp. 5.25% 06-01-2026 Callable 2021 144A United States Corporate USD 420,000 531 504 Camelot Finance LP Term Loan 1st Lien F/R 10-03-2023 United States Bank Loans USD 128,541 169 166 Camelot Finance SA 7.88% 10-15-2024 Callable 2019 144A United States Corporate USD 203,000 271 262 Can Am Construction Inc./Canada Term Loan B 1st Lien F/R 07-01-2024 Canada Bank Loans USD 378,089 485 493 Canada Goose Inc. Term Loan 1st Lien F/R 12-22-2021 Canada Bank Loans USD 199,000 249 257 Canadian Imperial Bank of Commerce 2.47% 12-05-2022 Canada Corporate 64,000 64 63 Canadian Imperial Bank of Commerce 2.97% 07-11-2023 Canada Corporate 80,000 80 80 Canadian Imperial Bank of Commerce 3.30% 05-26-2025 Canada Corporate 80,000 80 80 Canadian Imperial Bank of Commerce F/R 04-04-2028 Callable 2023 Canada Corporate 90,000 90 89 Canadian National Railway Co. 3.60% 07-31-2048 Callable 2048 Canada Corporate 70,000 69 68 Canadian Natural Resources Ltd. 3.55% 06-03-2024 Canada Corporate 30,000 30 30 Canadian Western Bank 2.75% 06-29-2020 DPNT Canada Corporate 60,000 60 60 Canadian Western Bank 2.74% 06-16-2022 DPNT Canada Corporate 42,000 42 41 Canadian Western Bank 2.92% 12-15-2022 Canada Corporate 114,000 114 112 Capital Power Corp. 4.28% 09-18-2024 Callable 2024 Canada Corporate 300,000 301 300 CareCentrix Inc. Term Loan 1st Lien F/R 03-22-2025 United States Bank Loans USD 236,627 304 305 Careerbuilder LLC Term Loan 1st Lien F/R 07-31-2023 United States Bank Loans USD 106,796 130 138 Casablanca US Holdings Inc. Term Loan 1st Lien F/R 03-31-2024 United States Bank Loans USD 238,526 306 305 CCL Industries Inc. 3.86% 04-13-2028 Callable 2028 Canada Corporate 60,000 60 60 CCO Holdings LLC 4.00% 03-01-2023 Callable 2019 144A United States Corporate USD 30,000 38 37 CCO Holdings LLC 5.13% 05-01-2027 Callable 2022 144A United States Corporate USD 20,000 25 25 CCS-CMGC Holdings Inc. Term Loan 1st Lien F/R 09-25-2025 United States Bank Loans USD 100,000 128 128 Centennial Resource Production LLC 5.38% 01-15-2026 Callable 2021 144A United States Corporate USD 98,000 125 126 CenturyLink Inc. Term Loan B 1st Lien F/R 01-31-2025 United States Bank Loans USD 213,922 284 275 CEVA Logistics Finance BV Term Loan B 1st Lien F/R 07-25-2025 United States Bank Loans USD 110,000 143 143 CEVA Logistics Finance BV 5.25% 08-01-2025 Callable 2021 United States Corporate EUR 100,000 152 148 Charter Communications Operating LLC 4.50% 02-01-2024 Callable 2024 United States Corporate USD 70,000 93 91 Chartwell Retirement Residences 3.79% 12-11-2023 Callable 2023 Canada Corporate 92,000 92 92 Chartwell Retirement Residences 4.21% 04-28-2025 Callable 2025 Canada Corporate 30,000 30 30 Chemtrade Logistics Income Fund 4.75% 05-31-2024 Conv. Callable 2022 Canada Corporate 159,000 159 153 CHIP Mortgage Trust 2.98% 11-15-2021 Canada Corporate 170,000 170 167 Chloe Ox Parent LLC Term Loan 1st Lien F/R 12-19-2024 United States Bank Loans USD 39,800 51 52 Choice Properties Real Estate Investment Trust 4.18% 03-08-2028 Callable 2027 Canada Corporate 120,000 120 119 CI Financial Corp. 3.52% 07-20-2023 Callable 2023 Canada Corporate 60,000 60 59 Coeur Mining Inc. 5.88% 06-01-2024 Callable 2020 United States Corporate USD 184,000 249 228 Colbun SA 4.50% 07-10-2024 Callable 2024 Chile Corporate USD 80,000 112 104 Comber Wind Financial Corp. 5.13% 11-15-2030 Canada Corporate 13,287 14 14 Comfort Holding LLC Term Loan 1st Lien F/R 02-05-2024 United States Bank Loans USD 220,580 284 276 Comfort Holding LLC Term Loan 2nd Lien F/R 02-03-2025 United States Bank Loans USD 60,000 75 75 Commercial Vehicle Group Inc. Term Loan B 1st Lien F/R 03-30-2023 United States Bank Loans USD 154,013 201 200 Commonwealth of Bahamas 6.00% 11-21-2028 Callable 2028 Bahamas Foreign Governments USD 459,000 584 605 Communications Sales & Leasing Inc. Term Loan B 1st Lien F/R 10-24-2022 United States Bank Loans USD 98,339 119 122 Conn’s Inc. 7.25% 07-15-2022 Callable United States Corporate USD 4,000 4 5 Constellium NV 6.63% 03-01-2025 Callable 2020 144A Netherlands Corporate USD 50,000 67 66 Constellium NV 4.25% 02-15-2026 Callable 2020 Netherlands Corporate EUR 55,000 82 84 Constellium NV 5.88% 02-15-2026 Callable 2020 144A Netherlands Corporate USD 280,000 358 355 Corel Corp. Term Loan 1st Lien F/R 05-11-2024 Canada Bank Loans USD 150,000 192 195 Coronado Australian Holdings Pty Ltd. Term Loan B 1st Lien F/R 03-21-2025 United States Bank Loans USD 120,700 151 158 Coronado Australian Holdings Pty Ltd. Term Loan C 1st Lien F/R 03-21-2025 United States Bank Loans USD 33,001 41 43 Crew Energy Inc. 6.50% 03-14-2024 Callable Canada Corporate 231,000 231 210 CSC Holdings LLC Term Loan B 1st Lien F/R 01-12-2026 United States Bank Loans USD 135,660 168 176 CSM Bakery Solutions LLC Term Loan 2nd Lien F/R 07-05-2021 United States Bank Loans USD 180,000 192 224 CSM NV Term Loan B F/R 07-03-2020 United States Bank Loans USD 109,371 140 137 CU Inc. 3.96% 07-27-2045 Callable Canada Corporate 20,000 22 21 CVR Partners LP 9.25% 06-15-2023 Callable 2019 144A United States Corporate USD 97,000 125 134 Daseke Inc. Term Loan 1st Lien F/R 02-27-2024 United States Bank Loans USD 156,942 202 205 DaVita Healthcare Partners Inc. 5.00% 05-01-2025 Callable 2020 United States Corporate USD 247,000 303 307 Deerfield Holdings Corp. Term Loan B 1st Lien F/R 12-06-2024 United States Bank Loans USD 101,490 130 131 DHX Media Ltd. 5.88% 09-30-2024 Conv. Canada Corporate 24,000 22 19 Diamond (BC) BV Term Loan 1st Lien F/R 09-06-2024 United States Bank Loans USD 127,732 159 162 Digicert Holdings Inc. Term Loan 1st Lien F/R 09-20-2024 United States Bank Loans USD 41,570 51 54 Digicert Holdings Inc. Term Loan 2nd Lien F/R 10-31-2025 United States Bank Loans USD 42,000 52 54 DISH DBS Corp. 5.88% 11-15-2024 United States Corporate USD 226,000 287 262 DMT Solutions Global Corp. Term Loan 1st Lien F/R 06-25-2024 United States Bank Loans USD 59,250 76 76 Drax Group PLC 6.63% 11-01-2025 Callable 2021 144A United Kingdom Corporate USD 200,000 252 264 Eagle Credit Card Trust 2.63% 10-17-2022 Canada Corporate 60,000 60 59 EagleTree-Carbide Acquisition Corp. Term Loan 1st Lien F/R 08-28-2024 United States Bank Loans USD 181,833 226 236 Eastern Power LLC Term Loan B 1st Lien F/R 10-02-2023 United States Bank Loans USD 90,000 118 116 Electrical Components International Inc. Term Loan 1st Lien F/R 06-22-2025 United States Bank Loans USD 189,525 249 247 Electrical Components International Inc. Term Loan 2nd Lien F/R 06-22-2026 United States Bank Loans USD 30,000 37 37 Elo Touch Solutions Inc. Term Loan B 1st Lien F/R 10-25-2023 United States Bank Loans USD 62,795 80 82 EmployBridge LLC Term Loan B 1st Lien F/R 04-10-2025 United States Bank Loans USD 108,625 136 142




BONDS (continued) Enbridge Inc. 4.57% 03-11-2044 Canada Corporate 160,000 166 160 Enbridge Inc. 5.37% 09-27-2077 Callable 2027 Canada Corporate 1,247,000 1,233 1,189 Enbridge Inc. F/R 04-12-2078 Callable 2028 Canada Corporate 310,000 310 320 ENC Holding Corp. Delayed Draw Term Loan 1st Lien F/R 05-30-2025 United States Bank Loans USD 4,000 5 5 ENC Holding Corp. Term Loan 1st Lien F/R 05-30-2025 United States Bank Loans USD 65,835 85 85 EnerCare Solutions Inc. 3.38% 02-21-2022 Callable 2022 Canada Corporate 180,000 180 179 Ensono LP Term Loan 1st Lien F/R 04-30-2025 United States Bank Loans USD 149,625 190 196 Enterprise Merger Sub Inc. Term Loan 1st Lien F/R 09-28-2025 United States Bank Loans USD 510,000 657 657 Enterprise Merger Sub Inc. 8.75% 10-15-2026 Callable 2021 144A United States Corporate USD 40,000 51 51 EPCOR Utilities Inc. 3.55% 11-27-2047 Callable 2047 Canada Corporate 62,000 62 60 EPR Properties 4.95% 04-15-2028 Callable 2028 United States Corporate USD 60,000 75 76 Exela Intermediate LLC Term Loan B 1st Lien F/R 07-12-2023 United States Bank Loans USD 72,749 94 95 Exela Intermediate LLC 10.00% 07-15-2023 Callable 2020 144A United States Corporate USD 91,000 119 125 FAGE International SA/FAGE USA Dairy Industry Inc. 5.63% 08-15-2026

Callable 2021 144A Luxembourg Corporate USD 182,000 217 217 Fairfax Financial Holdings Ltd. 5.84% 10-14-2022 Canada Corporate 2,171,000 2,297 2,360 Fairfax Financial Holdings Ltd. 4.50% 03-22-2023 Canada Corporate 71,000 74 74 Fairfax Financial Holdings Ltd. 8.30% 04-15-2026 Canada Corporate USD 82,000 124 127 Federation des Caisses Desjardins du Quebec 2.09% 01-17-2022 Canada Corporate 58,000 58 56 Federation des Caisses Desjardins du Quebec 3.06% 09-11-2023 Canada Corporate 170,000 170 169 Financial & Risk US Holdings Inc. Term Loan B 1st Lien F/R 10-01-2025 United States Bank Loans USD 520,000 673 672 Financial & Risk US Holdings Inc. 6.25% 05-15-2026 Callable 2021 144A United States Corporate USD 60,000 78 78 Financial & Risk US Holdings Inc. 8.25% 11-15-2026 Callable 2021 144A United States Corporate USD 160,000 208 206 First Quantum Minerals Ltd. 7.25% 04-01-2023 Callable 2019 144A Canada Corporate USD 267,000 355 330 First Quantum Minerals Ltd. 6.88% 03-01-2026 Callable 2021 144A Zambia Corporate USD 60,000 76 71 Fortified Trust 1.67% 07-23-2021 Canada Corporate 240,000 240 232 Fortress Transportation and Infrastructure Investors LLC 6.75% 03-15-2022

Callable 2020 144A United States Corporate USD 232,000 306 308 Fortress Transportation and Infrastructure Investors LLC 6.50% 10-01-2025

Callable 2021 144A United States Corporate USD 250,000 321 322 Foundation Building Materials LLC Term Loan B 1st Lien F/R 05-11-2025 United States Bank Loans USD 90,000 115 117 Fresenius US Finance II Inc. 4.25% 02-01-2021 144A Germany Corporate USD 9,000 13 12 Frontera Generation Holdings LLC Term Loan B 1st Lien F/R 04-25-2025 United States Bank Loans USD 149,625 191 195 Fusion Connect Inc. Term Loan B 1st Lien F/R 05-03-2023 United States Bank Loans USD 68,625 85 84 FXI Holdings Inc. 7.88% 11-01-2024 Callable 2020 144A United States Corporate USD 346,000 444 427 Garda World Security Corp. 7.25% 11-15-2021 Callable 144A Canada Corporate USD 564,000 639 728 Garda World Security Corp. Term Loan B 1st Lien F/R 05-26-2024 Canada Bank Loans 336,448 333 338 Gateway Casinos & Entertainment Ltd. 8.25% 03-01-2024 Callable 2020 144A Canada Corporate USD 432,000 569 594 Gateway Casinos & Entertainment Ltd. Term Loan B 1st Lien F/R 03-13-2025 Canada Bank Loans USD 159,600 206 208 Gentiva Health Services Inc. Term Loan 1st Lien F/R 06-21-2025 United States Bank Loans USD 136,833 180 179 Genworth Holdings Inc. Term Loan 1st Lien F/R 02-28-2023 United States Bank Loans USD 131,670 168 174 GFL Environmental Inc. 5.38% 03-01-2023 Callable 2020 144A Canada Corporate USD 296,000 370 361 GFL Environmental Inc. 7.00% 06-01-2026 Callable 2021 144A Canada Corporate USD 230,000 292 288 Gibson Energy Inc. 5.25% 07-15-2021 Conv. Callable 2020 Canada Corporate 154,000 157 172 Gibson Energy Inc. 5.25% 07-15-2024 Callable 2020 Reg S Canada Corporate 1,063,000 1,062 1,066 Glacier Credit Card Trust 3.14% 09-20-2023 Canada Corporate 70,000 70 70 The Goldman Sachs Group Inc. 2.43% 04-26-2023 Callable United States Corporate 161,000 161 156 Government of Canada 2.00% 06-01-2028 Canada Federal Government 3,833,000 3,722 3,695 Government of Canada 2.75% 12-01-2048 Canada Federal Government 130,000 145 139 Great Canadian Gaming Corp. 6.63% 07-25-2022 Callable 144A Canada Corporate 204,000 213 209 Green Plains Inc. Term Loan B 1st Lien F/R 08-29-2023 United States Bank Loans USD 130,043 162 170 Greenhill & Co. Inc. Term Loan B 1st Lien F/R 10-12-2022 United States Bank Loans USD 129,389 161 169 H&R Real Estate Investment Trust 2.92% 05-06-2022 Canada Corporate 210,000 209 206 H&R Real Estate Investment Trust 3.42% 01-23-2023 Callable 2022 Canada Corporate 50,000 50 49 H&R Real Estate Investment Trust 3.37% 01-30-2024 Callable 2023 Canada Corporate 106,000 104 103 Hadrian Merger Sub Inc. 8.50% 05-01-2026 Callable 2021 144A United States Corporate USD 371,000 476 458 Halo Buyer Inc. Delayed Draw Term Loan 1st Lien F/R 06-28-2025 United States Bank Loans USD 23,704 31 30 Halo Buyer Inc. Term Loan 1st Lien F/R 06-28-2025 United States Bank Loans USD 56,156 73 72 Hardwoods Acquisition Inc. 7.50% 08-01-2021 Callable 144A United States Corporate USD 250,000 255 297 Hearthside Group Holdings LLC Term Loan 1st Lien F/R 05-17-2025 United States Bank Loans USD 79,800 102 103 Heartland Dental LLC Delay Draw Term Loan 1st Lien F/R 04-17-2025 United States Bank Loans USD 21,284 27 28 Heartland Dental LLC Term Loan 1st Lien F/R 04-17-2025 United States Bank Loans USD 141,345 178 183 Heathrow Funding Ltd. 3.25% 05-21-2025 United Kingdom Corporate 446,000 466 442 Heathrow Funding Ltd. 3.40% 03-08-2028 United Kingdom Corporate 98,000 98 96 Heathrow Funding Ltd. 3.79% 09-04-2030 Callable 2030 United Kingdom Corporate 90,000 90 89 Hillman Group Inc. Term Loan B 1st Lien F/R 05-21-2025 United States Bank Loans USD 109,725 140 140 Hornblower Sub LLC Term Loan 1st Lien F/R 04-28-2025 United States Bank Loans USD 158,926 204 206 HSBC Bank Canada 3.25% 09-15-2023 Canada Corporate 90,000 90 90 HSBC Holdings PLC 3.20% 12-05-2023 United Kingdom Corporate 133,000 133 131 Hub International Ltd. Term Loan B 1st Lien F/R 04-25-2025 United States Bank Loans USD 119,700 151 155 Hub International Ltd. 7.00% 05-01-2026 Callable 2021 144A United States Corporate USD 30,000 38 39 Hudson River Trading LLC Term Loan 1st Lien F/R 03-20-2025 United States Bank Loans USD 228,850 296 298




BONDS (continued) Hydro One Inc. 2.97% 06-26-2025 Callable 2025 Canada Corporate 40,000 40 39 Hydro One Inc. 3.72% 11-18-2047 Canada Corporate 142,000 142 138 Hyster-Yale Group Inc. Term Loan B 1st Lien F/R 05-30-2023 United States Bank Loans USD 403,125 544 523 I-Logic Technologies Bidco Ltd. Term Loan B 1st Lien F/R 12-20-2024 United States Bank Loans USD 164,192 210 212 Impala Private Holdings II LLC Term Loan 1st Lien F/R 11-10-2024 United States Bank Loans USD 205,651 260 267 Indivior Finance SARL Term Loan B 1st Lien F/R 12-14-2022 United Kingdom Bank Loans USD 79,949 101 103 Integro Ltd. United States Term Loan B1 1st Lien F/R 10-31-2022 United States Bank Loans USD 18,966 24 25 Inter Pipeline Ltd. 2.73% 04-18-2024 Callable 2024 Canada Corporate 280,000 282 268 Inter Pipeline Ltd. 3.48% 12-16-2026 Callable 2026 Canada Corporate 70,000 70 68 Interior Logic Group Holdings IV LLC Term Loan B 1st Lien F/R 05-21-2025 United States Bank Loans USD 90,000 115 117 Intermedia Holdings Inc. Term Loan B 1st Lien F/R 07-13-2025 United States Bank Loans USD 70,000 91 91 Invenergy Thermal Operating I LLC Term Loan 1st Lien F/R 06-25-2025 United States Bank Loans USD 80,000 106 105 iQor US Inc. Term Loan B 1st Lien F/R 04-01-2021 United States Bank Loans USD 17,079 19 21 iQor US Inc. Term Loan 2nd Lien F/R 04-01-2022 United States Bank Loans USD 43,000 48 45 Iron Mountain Canada Operations ULC 5.38% 09-15-2023 Callable 2019 United States Corporate 150,000 157 153 Isagenix International LLC Term Loan 1st Lien F/R 04-26-2025 United States Bank Loans USD 266,625 340 345 Itron Inc. 5.00% 01-15-2026 Callable 2021 144A United States Corporate USD 120,000 153 149 Ivanhoe Cambridge II Inc. 2.91% 06-27-2023 Callable 2023 Canada Corporate 50,000 50 49 JBS USA LUX SA Term Loan B 1st Lien F/R 10-30-2022 Brazil Bank Loans USD 178,494 233 232 Jefferies Finance LLC 6.88% 04-15-2022 Callable United States Corporate USD 9,000 12 12 Keane Group Holdings LLC Term Loan B 1st Lien F/R 05-18-2025 United States Bank Loans USD 139,650 179 179 KEMET Corp. Term Loan B 1st Lien F/R 04-26-2024 United States Bank Loans USD 276,867 363 365 Kestrel Acquisition LLC Term Loan B 1st Lien F/R 05-02-2025 United States Bank Loans USD 129,675 166 170 Keystone Peer Review Organization Holdings Inc. Term Loan 1st Lien F/R 05-01-2024 United States Bank Loans USD 88,778 119 116 The KeyW Holding Corp Term Loan 1st Lien F/R 05-04-2024 United States Bank Loans USD 133,488 171 174 Kindred Healthcare Inc. Term Loan B 1st Lien F/R 06-21-2025 United States Bank Loans USD 130,000 171 169 Kronos Acquisition Holdings Inc. 9.00% 08-15-2023 144A Canada Corporate USD 30,000 36 37 Kruger Products LP 6.00% 04-24-2025 Callable 2021 Canada Corporate 220,000 220 221 L&W Inc. Term Loan 1st Lien F/R 05-17-2025 United States Bank Loans USD 179,550 230 235 Lamb Weston Holdings Inc. 4.63% 11-01-2024 Callable 2021 144A United States Corporate USD 170,000 219 215 Lamb Weston Holdings Inc. 4.88% 11-01-2026 Callable 2021 144A United States Corporate USD 166,000 212 211 Lannett Co. Inc. Term Loan B 1st Lien F/R 11-25-2022 United States Bank Loans USD 36,653 44 42 Laurentian Bank of Canada F/R 10-22-2019 Canada Corporate 90,000 90 90 Laurentian Bank of Canada 3.00% 09-12-2022 Canada Corporate 126,000 126 123 Laurentian Bank of Canada 3.45% 06-27-2023 Canada Corporate 50,000 50 49 LBM Borrower LLC Term Loan 1st Lien F/R 08-20-2022 United States Bank Loans USD 259,130 334 337 LD Intermediate Holdings Inc. Term Loan B 1st Lien F/R 12-09-2022 United States Bank Loans USD 63,498 75 80 Lee Enterprises Inc. 9.50% 03-15-2022 Callable 2018 144A United States Corporate USD 290,000 339 390 LifeMiles Ltd. Term Loan B 1st Lien F/R 08-18-2022 Colombia Bank Loans USD 184,445 234 243 LifeScan Global Corp. Term Loan 1st Lien F/R 06-19-2024 United States Bank Loans USD 330,000 425 423 LifeScan Global Corp. Term Loan 2nd Lien F/R 06-19-2025 United States Bank Loans USD 90,000 115 112 Livingston International Inc. Term Loan 1st Lien F/R 03-18-2020 Canada Bank Loans 145,231 146 138 Livingston International Inc. Term Loan 2nd Lien F/R 04-17-2020 Canada Bank Loans USD 107,565 117 132 Logibec Groupe Informatique Ltd. Term Loan 1st Lien F/R 12-31-2018 Canada Bank Loans 101,209 96 96 Manulife Bank of Canada 2.84% 01-12-2023 Canada Corporate 175,000 173 173 Manulife Financial Corp. F/R 05-09-2028 Callable 2023 Canada Corporate 50,000 50 50 Manulife Financial Corp. F/R 08-20-2029 Callable 2024 Canada Corporate 128,000 128 124 Mastronardi Produce Ltd. Term Loan B 1st Lien F/R 04-18-2025 Canada Bank Loans USD 119,400 151 156 Mattamy Group Corp. 6.50% 10-01-2025 Callable 2020 Canada Corporate 940,000 949 934 Mattamy Group Corp. 6.50% 10-01-2025 Callable 2020 144A Canada Corporate USD 257,000 321 323 Matterhorn Merger Sub LLC 8.50% 06-01-2026 Callable 2021 144A United States Corporate USD 440,000 563 556 McAfee LLC Term Loan B 1st Lien F/R 09-30-2024 United States Bank Loans USD 125,265 155 163 McDermott Technology Americas Inc. Term Loan B 1st Lien F/R 04-05-2025 United States Bank Loans USD 139,026 173 182 McDonald’s Corp. 3.13% 03-04-2025 Callable 2025 United States Corporate 150,000 150 147 MEG Energy Corp. Term Loan B 1st Lien F/R 12-31-2023 Canada Bank Loans USD 77,700 103 101 MEG Energy Corp. 7.00% 03-31-2024 Callable 2018 144A Canada Corporate USD 310,000 347 366 Meredith Corp. Term Loan B 1st Lien F/R 01-18-2025 United States Bank Loans USD 154,629 192 201 Meredith Corp. 6.88% 02-01-2026 Callable 2021 144A United States Corporate USD 330,000 425 437 Metro Inc. 3.39% 12-06-2027 Callable 2027 Canada Corporate 64,000 64 62 Milk Specialties Co. Term Loan 1st Lien F/R 08-16-2023 United States Bank Loans USD 186,845 241 242 Millar Western Forest Products Ltd. 9.50% 06-20-2023 Callable 2020 Canada Corporate 110,000 110 112 Mondelez International Inc. 3.25% 03-07-2025 Callable 2025 United States Corporate 100,000 100 97 Mondelez International Inc. 4.13% 05-07-2028 Callable 2028 United States Corporate USD 30,000 38 38 Morgan Stanley 3.00% 02-07-2024 Series MPLE United States Corporate 180,000 180 176 Mountain Province Diamonds Inc. 8.00% 12-15-2022 Callable 2019 144A Canada Corporate USD 55,000 68 73 National Bank of Canada 1.96% 06-30-2022 Canada Corporate 136,000 136 131 Neenah Foundry Co. Term Loan B 1st Lien F/R 12-08-2022 United States Bank Loans USD 83,823 107 108 New Arclin US Holding Corp. Term Loan 1st Lien F/R 02-14-2024 United States Bank Loans USD 53,316 69 70 New Red Finance Inc. 5.00% 10-15-2025 Callable 2020 144A Canada Corporate USD 280,000 344 347 Newell Brands Inc. 4.20% 04-01-2026 Callable 2026 United States Corporate USD 50,000 63 62 Nokia OYJ 5.38% 05-15-2019 Finland Corporate USD 76,000 109 100 North Battleford Power LP 4.96% 12-31-2032 Canada Corporate 269,743 288 288




BONDS (continued) North West Redwater Partnership 2.80% 06-01-2027 Callable 2027 Canada Corporate 280,000 276 264 Nouvelle Autoroute 30 Financement Inc. 4.11% 03-31-2042 Canada Corporate 70,000 70 70 NuVista Energy Ltd. 6.50% 03-02-2023 Callable 2020 Canada Corporate 210,000 210 212 NWH Escrow Corp. 7.50% 08-01-2021 Callable 144A United States Corporate USD 109,000 130 129 OCI Beaumont LLC Term Loan B 1st Lien F/R 02-16-2025 United States Bank Loans USD 157,210 197 206 Office Depot Inc. Term Loan B 1st Lien F/R 11-08-2022 United States Bank Loans USD 247,141 306 328 OMERS Realty Corp. 3.24% 10-04-2027 Callable 2027 Canada Corporate 150,000 150 148 OMERS Realty Corp. 3.63% 06-05-2030 Callable 2030 Canada Corporate 120,000 120 121 Ontario Power Generation Inc. 3.32% 10-04-2027 Callable 2027 Canada Corporate 80,000 80 79 OPB Finance Trust 2.98% 01-25-2027 Canada Provincial Governments 170,000 170 167 OpenLink International Inc. Term Loan B 1st Lien F/R 03-21-2025 United States Bank Loans USD 72,667 93 94 Osteon Merger Sub Inc. Term Loan B 1st Lien F/R 02-06-2025 United States Bank Loans USD 101,490 126 132 Owens & Minor Inc. Term Loan B 1st Lien F/R 05-01-2025 United States Bank Loans USD 210,000 265 257 OZ Management LP Term Loan 1st Lien F/R 04-04-2023 United States Bank Loans USD 156,000 198 203 Paradigm Acquisition Corp. Term Loan 1st Lien F/R 10-11-2024 United States Bank Loans USD 52,903 66 69 Parkland Fuel Corp. 6.00% 11-21-2022 Callable Canada Corporate 61,000 61 63 Parkland Fuel Corp. 5.75% 09-16-2024 Callable 2019 Canada Corporate 164,000 164 168 Parkland Fuel Corp. 6.00% 04-01-2026 Callable 2021 144A Canada Corporate USD 410,000 537 532 The Pasha Group Term Loan B 1st Lien F/R 12-13-2022 United States Bank Loans USD 131,260 164 172 Pembina Pipeline Corp. 3.54% 02-03-2025 Callable MTN Canada Corporate 20,000 20 20 Petroleos De Venezuela SA 6.00% 05-16-2024 Venezuela Corporate USD 417,000 133 118 PetSmart Inc. Term Loan B2 1st Lien F/R 03-10-2022 United States Bank Loans USD 601,086 655 680 PLH Group Inc. Term Loan 1st Lien F/R 08-06-2023 United States Bank Loans USD 180,000 227 229 PNI Canada Acquireco Corp. Term Loan B 1st Lien F/R 08-23-2022 Canada Bank Loans USD 32,934 39 43 Polar US Borrower LLC Term Loan 1st Lien F/R 08-21-2025 United States Bank Loans USD 190,000 238 247 Prospect Medical Holdings Inc. Term Loan B 1st Lien F/R 02-15-2024 United States Bank Loans USD 212,731 262 279 Province of Alberta 3.05% 12-01-2048 Canada Provincial Governments 420,000 411 410 Province of Alberta 3.10% 06-01-2050 Canada Provincial Governments 140,000 140 138 Province of Newfoundland 3.00% 06-02-2026 Canada Provincial Governments 490,000 489 487 Province of Newfoundland 3.70% 10-17-2048 Canada Provincial Governments 265,000 293 280 Province of Ontario 2.90% 06-02-2028 Canada Provincial Governments 290,000 288 286 Province of Ontario 2.90% 06-02-2049 Canada Provincial Governments 220,000 212 207 Province of Saskatchewan 3.30% 06-02-2048 Canada Provincial Governments 70,000 73 72 PS HoldCo LLC Term Loan 1st Lien F/R 03-02-2025 United States Bank Loans USD 99,750 128 129 PSC Industrial Outsourcing LP Term Loan B 1st Lien F/R 10-05-2024 United States Bank Loans USD 224,768 280 293 PSC Industrial Outsourcing LP Term Loan 2nd Lien F/R 10-05-2025 United States Bank Loans USD 62,000 76 80 Quad Graphics Inc. 7.00% 05-01-2022 United States Corporate USD 233,000 245 306 Quebecor Media Inc. 6.63% 01-15-2023 Canada Corporate 182,000 189 196 R1 RCM Inc. Term Loan B 1st Lien F/R 05-02-2025 United States Bank Loans USD 150,000 187 194 Rackspace Hosting Inc. 8.63% 11-15-2024 Callable 2019 144A United States Corporate USD 440,000 579 554 Red Ventures LLC Term Loan B 1st Lien F/R 11-08-2024 United States Bank Loans USD 91,978 113 120 Reliance Intermediate Holdings LP 6.50% 04-01-2023 Callable 2018 144A Canada Corporate USD 288,000 386 387 Reliance LP 3.84% 03-15-2025 Callable 2025 Canada Corporate 69,000 69 68 Renfro Corp. Term Loan B 1st Lien F/R 03-31-2021 United States Bank Loans USD 70,348 83 91 Research Now Group Inc. Term Loan 1st Lien F/R 12-20-2024 United States Bank Loans USD 232,827 285 303 Research Now Group Inc. Term Loan 2nd Lien F/R 12-20-2025 United States Bank Loans USD 68,000 81 85 Resolute Forest Products Inc. 5.88% 05-15-2023 United States Corporate USD 70,000 71 93 Resolute Investment Managers Inc. Term Loan 2nd Lien F/R 04-30-2023 United States Bank Loans USD 53,000 66 70 Reynolds Group Issuer Inc. 5.13% 07-15-2023 Callable 2019 144A United States Corporate USD 80,000 111 103 Rite Aid Corp. 6.13% 04-01-2023 Callable 2018 144A United States Corporate USD 40,000 48 46 Rite Aid Corp. 7.70% 02-15-2027 United States Corporate USD 282,000 330 285 Royal Bank of Canada 3.30% 09-26-2023 Canada Corporate 260,000 260 260 Russel Metals Inc. 6.00% 03-16-2026 Callable 2021 Canada Corporate 170,000 170 171 Russell Investments US Institutional Holdings Term Loan B 1st Lien F/R 06-01-2023 United States Bank Loans USD 99,491 127 129 Russian Federal Bond - OFZ 7.05% 01-19-2028 Russia Foreign Governments RUB 4,000,000 69 72 Saputo Inc. 3.61% 08-14-2025 Callable 2025 Canada Corporate 70,000 70 70 Savage Enterprises LLC Term Loan B 1st Lien F/R 07-02-2025 United States Bank Loans USD 187,250 241 246 Sea to Sky Highway Investment LP 2.63% 08-31-2030 Canada Corporate 147,983 148 141 Sequel Merger Sub II LLC B Term Loan 1st Lien F/R 07-02-2025 United States Bank Loans USD 80,000 105 104 Sigma Bidco BV Term Loan B 1st Lien F/R 03-07-2025 Netherlands Bank Loans EUR 190,000 301 285 Sigma US Corp. Term Loan B 1st Lien F/R 03-06-2025 Netherlands Bank Loans USD 120,000 154 155 SIRVA Worldwide Inc. Term Loan 1st Lien F/R 07-31-2025 United States Bank Loans USD 172,000 220 223 SIWF Holdings Inc. Term Loan 1st Lien F/R 05-25-2025 United States Bank Loans USD 109,725 141 143 SMI Acquisition Inc. Term Loan 1st Lien F/R 10-27-2024 United States Bank Loans USD 80,196 103 99 SNC-Lavalin Group Inc. 3.24% 03-02-2023 Callable 2023 Canada Corporate 60,000 60 59 SoftBank Group Corp. 5.38% 07-30-2022 Callable 2022 Japan Corporate USD 34,000 48 45 SoftBank Group Corp. 6.13% 04-20-2025 Callable 2025 Japan Corporate USD 200,000 251 263 Solenis International LP Term Loan 1st Lien F/R 12-18-2023 United States Bank Loans USD 49,875 65 65 Source Energy Services Canada LP 10.50% 12-15-2021 Callable 2018 144A Canada Corporate 484,000 495 515 Spirit AeroSystems Inc. 3.95% 06-15-2023 Callable 2023 United States Corporate USD 40,000 51 52 Sprint Capital Corp. 6.88% 11-15-2028 United States Corporate USD 215,000 291 279 Sprint Corp. 7.88% 09-15-2023 United States Corporate USD 70,000 96 98




BONDS (continued) Sprint Corp. 7.13% 06-15-2024 United States Corporate USD 60,000 79 81 SRS Distribution Inc. Term Loan B 1st Lien F/R 05-17-2025 United States Bank Loans USD 180,000 231 231 SRS Distribution Inc. 8.25% 07-01-2026 Callable 2021 144A United States Corporate USD 352,000 451 445 St. Joseph Energy Center LLC Term Loan 1st Lien F/R 04-06-2025 United States Bank Loans USD 157,595 201 206 Staples Inc. Term Loan 1st Lien F/R 08-15-2024 United States Bank Loans USD 123,738 157 160 Star West Generation LLC Term Loan B 1st Lien F/R 03-13-2020 United States Bank Loans USD 403,704 442 512 Starfruit US Holdco LLC Term Loan B 1st Lien F/R 09-20-2025 United States Bank Loans USD 200,000 257 260 Stars Group Holdings BV 7.00% 07-15-2026 Callable 2021 144A Canada Corporate USD 180,000 239 241 Stepstone Group LP Term Loan B 1st Lien F/R 03-19-2025 United States Bank Loans USD 129,350 167 169 Stonegate Pub Company Financing PLC 4.88% 03-15-2022 Callable 2019 United Kingdom Corporate GBP 50,000 86 83 Sun Life Financial Inc. F/R 11-23-2027 Callable 2022 Canada Corporate 55,000 55 54 Sun Life Financial Inc. F/R 09-19-2028 Callable 2023 Canada Corporate 108,000 108 106 Superior Plus LP 5.25% 02-27-2024 Callable 2020 Canada Corporate 580,000 584 568 Superior Plus LP 7.00% 07-15-2026 Callable 2021 144A Canada Corporate USD 300,000 398 391 Syniverse Holdings Inc. Term Loan 1st Lien F/R 02-09-2023 United States Bank Loans USD 46,883 58 61 Sysco Canada Inc. 3.65% 04-25-2025 Callable 2025 United States Corporate 100,000 100 100 Talen Energy Supply LLC 9.50% 07-15-2022 Callable 2020 144A United States Corporate USD 348,000 447 451 Talen Energy Supply LLC 10.50% 01-15-2026 Callable 2022 144A United States Corporate USD 59,000 74 69 Team Health Holdings Inc. 6.38% 02-01-2025 Callable 2020 144A United States Corporate USD 231,000 289 262 Telenet Finance Luxembourg Notes Sarl 5.50% 03-01-2028 Callable 2022 144A Belgium Corporate USD 70,000 90 86 TELUS Corp. 3.63% 03-01-2028 Callable 2027 Canada Corporate 50,000 50 49 Tenet Healthcare Corp. 6.75% 06-15-2023 United States Corporate USD 442,000 554 570 Tensar International Corp. Term Loan 2nd Lien F/R 07-09-2022 United States Bank Loans USD 87,541 93 105 TerraForm Power Operating LLC 5.00% 01-31-2028 Callable 2027 144A United States Corporate USD 368,000 472 444 Teva Pharmaceutical Industries Ltd. 2.80% 07-21-2023 Israel Corporate USD 150,000 176 173 Teva Pharmaceutical Finance Netherlands III BV 3.15% 10-01-2026 Callable Israel Corporate USD 51,000 53 55 Titan Acquisition Ltd. Term Loan 1st Lien F/R 03-16-2025 United Kingdom Bank Loans USD 238,825 302 300 Titan Acquisition Ltd. 7.75% 04-15-2026 Callable 2021 144A United Kingdom Corporate USD 330,000 432 372 TMX Group Ltd. 2.30% 12-11-2024 Callable 2024 Canada Corporate 31,000 31 30 TMX Group Ltd. 3.78% 06-05-2028 Callable 2028 Canada Corporate 40,000 40 40 The Toronto-Dominion Bank 3.01% 05-30-2023 Canada Corporate 80,000 80 80 The Toronto-Dominion Bank 1.91% 07-18-2023 DPNT Canada Corporate 315,000 315 299 The Toronto-Dominion Bank F/R 09-14-2028 Callable 2023 Canada Corporate 120,000 120 120 Tortoise Borrower LLC Term Loan 1st Lien F/R 11-20-2024 United States Bank Loans USD 93,530 119 122 Tortoise Borrower LLC Term Loan 1st Lien F/R 01-31-2025 United States Bank Loans USD 20,000 26 26 TransCanada PipeLines Ltd. 3.39% 03-15-2028 Callable 2027 Canada Corporate 260,000 260 255 TransCanada Trust F/R 05-18-2077 Callable 2027 Canada Corporate 118,000 118 112 Traverse Midstream Partners LLC Term Loan B 1st Lien F/R 09-21-2024 United States Bank Loans USD 63,000 77 82 Trico Products Corp. Term Loan 1st Lien F/R 02-02-2024 United States Bank Loans USD 49,866 60 65 Uber Technologies Inc. Term Loan B 1st Lien F/R 07-13-2023 United States Bank Loans USD 264,174 350 343 Uber Technologies Inc. Term Loan 1st Lien F/R 03-21-2025 United States Bank Loans USD 369,075 474 481 Ultra Clean Holdings Inc. Term Loan B 1st Lien F/R 08-27-2025 United States Bank Loans USD 290,000 372 372 Unimin Corp. Term Loan 1st Lien F/R 05-21-2025 United States Bank Loans USD 78,803 101 97 Union Gas Ltd. 3.59% 11-22-2047 Callable 2047 Canada Corporate 67,000 67 65 United States Treasury 2.25% 11-15-2027 United States Foreign Governments USD 127,000 160 154 United States Treasury 3.00% 02-15-2048 United States Foreign Governments USD 930,000 1,169 1,160 Ventas Canada Finance Ltd. 2.55% 03-15-2023 Callable 2023 United States Corporate 120,000 120 116 VeriFone Systems Inc. Term Loan 1st Lien F/R 08-09-2025 United States Bank Loans USD 120,000 156 156 Verizon Communications Inc. 2.63% 08-15-2026 Callable 2026 United States Corporate USD 520,000 684 610 Verra Mobility Corp. Term Loan B 1st Lien F/R 03-01-2025 United States Bank Loans USD 10,000 13 13 Vertex Aerospace Services Corp. Term Loan B 1st Lien F/R 06-14-2025 United States Bank Loans USD 99,750 130 130 Videotron Ltee 5.63% 06-15-2025 Callable 2025 Reg S Canada Corporate 671,000 668 697 Videotron Ltee 5.75% 01-15-2026 Callable 2020 Canada Corporate 109,000 109 113 Vista Energy Corp. 8.13% 07-24-2023 Callable 2020 144A Canada Corporate 160,000 160 159 Vistage Worldwide Inc. Term Loan 1st Lien F/R 02-01-2025 United States Bank Loans USD 53,456 67 70 Vodafone Group PLC 3.75% 01-16-2024 United Kingdom Corporate USD 30,000 38 38 VVC Holding Corp. Term Loan 1st Lien F/R 07-03-2025 United States Bank Loans USD 220,000 283 281 Vyaire Medical Inc. Term Loan B 1st Lien F/R 04-06-2025 United States Bank Loans USD 89,775 108 114 W/S Packaging Holdings Inc. 9.00% 04-15-2023 Callable 2020 144A United States Corporate USD 440,000 569 589 WellDyneDx Inc. Term Loan 1st Lien F/R 08-16-2022 United States Bank Loans USD 159,583 199 205 Wells Fargo & Co. 2.98% 05-19-2026 Series MPLE United States Corporate 353,000 353 335 Welltower Inc. 4.25% 04-15-2028 Callable 2028 United States Corporate USD 40,000 51 51 Werner FinCo LP Term Loan 1st Lien F/R 06-23-2024 United States Bank Loans USD 157,326 202 203 Western Dental Services Inc. Term Loan B 1st Lien F/R 06-23-2023 United States Bank Loans USD 127,480 167 166 WeWork Companies Inc. 7.88% 05-01-2025 144A United States Corporate USD 130,000 166 163 Williams Scotsman International Inc. 7.88% 12-15-2022 Callable 2019 144A United States Corporate USD 297,000 381 397 Wind Tre SpA 5.00% 01-20-2026 Callable 2020 Italy Corporate USD 100,000 112 111 Windstream Services LLC Term Loan B6 1st Lien F/R 03-16-2021 United States Bank Loans USD 110,276 136 137




1 This Fund is managed by the Manager of the Fund.2 This fund is managed by the sub-advisor to the Fund. 3 The issuer of this security is related to the Manager of the Fund.

BONDS (continued) Yak Access LLC Term Loan B 1st Lien F/R 06-26-2025 United States Bank Loans USD 270,000 344 338 YRC Worldwide Inc. Term Loan 1st Lien F/R 07-21-2022 United States Bank Loans USD 83,227 103 110 Zotec Partners LLC Term Loan 1st Lien F/R 02-09-2024 United States Bank Loans USD 164,478 205 213 87,636 87,672

MUTUAL FUNDS 1 Investors Mortgage and Short Term Income Fund Series P n/a Mutual Funds 1,001,661 10,663 10,652 2 Mackenzie Global Tactical Bond Fund Series O n/a Mutual Funds 139,769 1,402 1,311 12,065 11,963

EQUITIES Aena SA Spain Industrials 3,123 795 700 Air Liquide SA France Materials 6,389 844 1,086 Alibaba Group Holding Ltd. ADR China Information Technology 1,700 417 362 Alimentation Couche-Tard Inc. Class B Sub. voting Canada Consumer Staples 21,459 860 1,386 Allergan PLC United States Health Care 4,595 1,176 1,131 Allied Properties Real Estate Investment Trust Canada Real Estate 13,902 454 599 Alphabet Inc. Class A United States Information Technology 421 255 657 AltaGas Ltd. Pfd. Series K Canada Energy 10,680 267 260 Altria Group Inc. United States Consumer Staples 8,614 474 671 Amazon.com Inc. United States Consumer Discretionary 421 431 1,090 Apple Inc. United States Information Technology 2,783 263 812 ARC Resources Ltd. Canada Energy 57,097 1,205 822 Atlantia SPA Italy Industrials 19,118 578 513 Atlas Copco AB A Sweden Industrials 12,471 379 464 B3 SA- Brasil Bolsa Balcao Brazil Financials 50,632 415 379 Bank of Montreal Canada Financials 7,957 809 848 The Bank of Nova Scotia Canada Financials 55,809 3,760 4,297 Bayer AG Germany Health Care 8,282 1,115 951 Becton, Dickinson and Co. United States Health Care 4,078 580 1,375 Brenntag AG Germany Industrials 6,936 471 553 British American Tobacco PLC United Kingdom Consumer Staples 13,371 853 807 Broadcom Inc. United States Information Technology 3,113 940 993 Brookfield Asset Management Inc. Class A limited voting Canada Utilities 18,168 633 1,044 Brookfield Asset Management Inc. Pfd. Series 46 Canada Financials 10,301 259 267 Brookfield Asset Management Inc. Pfd. Series 48 Canada Financials 5,702 143 146 Brookfield Renewable Partners LP Pfd. Series 11 Canada Utilities 16,008 401 399 Canadian Imperial Bank of Commerce Canada Financials 4,600 419 557 Canadian National Railway Co. Canada Industrials 9,305 927 1,078 Canadian Natural Resources Ltd. Canada Energy 48,830 1,846 2,061 Canadian Pacific Railway Ltd. Canada Industrials 7,208 1,408 1,969 Chemtrade Logistics Income Fund Canada Materials 43,751 801 677 China Mobile Ltd. China Telecommunication Services 32,973 454 420 Cielo SA Brazil Information Technology 23,970 261 94 Cisco Systems Inc. United States Information Technology 5,019 238 316 CME Group Inc. United States Financials 4,374 448 962 Compagnie Financiere Richemont SA Switzerland Consumer Discretionary 5,535 575 583 Crescent Point Energy Corp. Canada Energy 72,318 1,391 594 Dentsply Sirona Inc. United States Health Care 15,981 991 779 Deutsche Boerse AG Germany Financials 6,586 598 1,140 Diageo PLC United Kingdom Consumer Staples 9,167 331 420 Emera Inc. Canada Utilities 35,256 1,617 1,416 Enbridge Inc. Canada Energy 48,864 2,411 2,037 EnCana Corp. Canada Energy 24,200 409 410 Equifax Inc. United States Industrials 4,454 543 752 Facebook Inc. United States Information Technology 2,102 473 447 Fanuc Corp. Japan Industrials 1,591 336 388 Fortis Inc. Canada Utilities 29,787 1,119 1,247 Goldcorp Inc. Canada Materials 37,919 893 499 3 Great-West Lifeco Inc. Canada Financials 11,577 365 363 H&R Real Estate Investment Trust Canada Real Estate 23,806 523 473 Harley-Davidson Inc. United States Consumer Discretionary 9,769 617 572 Heineken Holding NV A Netherlands Consumer Staples 6,176 646 723 Honeywell International Inc. United States Industrials 3,163 339 680 HSBC Holdings PLC United Kingdom Financials 66,839 754 754 Industrial Alliance Insurance and Financial Services Inc. Canada Financials 14,567 776 752 Intact Financial Corp. Canada Financials 8,495 699 912 iShares S&P/TSX 60 Index ETF Canada Exchange Traded Funds 56,100 1,371 1,343 Japan Exchange Group Inc. Japan Financials 29,327 572 661 Johnson & Johnson United States Health Care 5,004 537 894 Johnson Controls International PLC United States Industrials 6,171 346 279 JPMorgan Chase & Co. United States Financials 7,637 692 1,114 Kao Corp. Japan Consumer Staples 5,285 403 552




EQUITIES (continued) Keyera Corp. Canada Energy 14,618 548 506 Killam Apartment Real Estate Investment Trust Canada Real Estate 32,132 368 518 Kinder Morgan Inc. United States Energy 36,896 942 845 Koninklijke Philips NV Netherlands Health Care 16,657 686 980 The Kraft Heinz Co. United States Consumer Staples 4,835 433 344 Kweichow Moutai Co. Ltd. China Consumer Staples 3,726 157 512 Loblaw Companies Ltd. Canada Consumer Staples 19,501 1,135 1,294 Lockheed Martin Corp. United States Industrials 1,832 311 819 LogMeIn Inc. United States Information Technology 772 120 89 London Stock Exchange Group PLC United Kingdom Financials 7,085 536 547 Magna International Inc. Canada Consumer Discretionary 7,937 436 539 Manulife Financial Corp. Canada Financials 103,667 2,282 2,394 Marine Harvest ASA Norway Consumer Staples 16,906 392 506 McDonald’s Corp. United States Consumer Discretionary 2,687 285 581 Micro Focus International PLC United Kingdom Information Technology 32,801 1,024 790 Microsoft Corp. United States Information Technology 10,309 473 1,524 Moody’s Corp. United States Financials 3,533 436 763 Nasdaq Inc. United States Financials 4,535 426 503 Nestle SA Reg. Switzerland Consumer Staples 10,360 890 1,116 New Oriental Education & Technology Group Inc. ADR China Consumer Discretionary 3,683 394 352 Nidec Corp. Japan Industrials 2,182 316 406 Nike Inc. Class B United States Consumer Discretionary 3,109 212 340 Nokia OYJ Finland Information Technology 69,600 559 499 Northern Trust Corp. United States Financials 4,000 566 528 Northland Power Inc. Canada Utilities 19,684 388 427 Novo Nordisk AS B Denmark Health Care 11,871 556 722 Nutrien Ltd. Canada Materials 11,450 602 854 Oaktree Capital Group LLC United States Financials 13,236 815 708 Occidental Petroleum Corp. United States Energy 7,597 724 807 Open Text Corp. Canada Information Technology 15,464 655 760 Oracle Corp. United States Information Technology 8,162 360 544 Pembina Pipeline Corp. Canada Energy 32,334 1,140 1,419 Pernod Ricard SA France Consumer Staples 1,791 236 380 Philip Morris International Inc. United States Consumer Staples 9,267 909 977 Pure Multi-Family REIT LP Canada Real Estate 37,927 319 326 Quebecor Inc. Class B Sub. voting Canada Consumer Discretionary 14,057 362 364 RioCan Real Estate Investment Trust Canada Real Estate 19,837 508 490 Roche Holding AG Genusscheine Switzerland Health Care 2,192 685 686 Rogers Communications Inc. Class B non-voting Canada Telecommunication Services 15,451 721 1,026 Royal Bank of Canada Canada Financials 42,294 3,175 4,379 Sabre Corp. United States Information Technology 24,724 671 833 Safran SA France Industrials 8,088 729 1,465 Sands China Ltd. Hong Kong Consumer Discretionary 95,234 676 557 SAP AG Germany Information Technology 4,814 398 766 Schlumberger Ltd. United States Energy 6,146 590 484 Shaw Communications Inc. Class B non-voting Canada Consumer Discretionary 85,442 2,300 2,151 The Sherwin-Williams Co. United States Materials 1,611 597 948 Sika AG Switzerland Materials 2,800 505 527 SNC-Lavalin Group Inc. Canada Industrials 17,983 874 947 Sony Corp. Japan Consumer Discretionary 5,000 333 396 Starbucks Corp. United States Consumer Discretionary 12,588 885 925 Stella-Jones Inc. Canada Materials 2,400 98 104 Suncor Energy Inc. Canada Energy 16,136 583 806 Taiwan Semiconductor Manufacturing Co. Ltd. Taiwan Information Technology 61,947 569 690 TELUS Corp. Canada Telecommunication Services 28,310 1,304 1,348 Tencent Holdings Ltd. China Information Technology 9,057 338 483 Texas Instruments Inc. United States Information Technology 4,574 569 634 Thomson Reuters Corp. Canada Financials 9,508 530 560 The Toronto-Dominion Bank Canada Financials 61,117 3,031 4,796 TransAlta Corp. Pfd. Series A Canada Utilities 16,579 224 260 TransCanada Corp. Canada Energy 35,865 1,976 1,874 TransCanada Corp. Pfd. Series 15 Canada Energy 21,938 553 572 Unilever NV CVA United Kingdom Consumer Staples 8,537 393 614 United Technologies Corp. United States Industrials 5,200 844 940 Visa Inc. Class A United States Information Technology 4,234 320 821




EQUITIES (continued) Walgreens Boots Alliance Inc. United States Consumer Staples 4,500 385 424 Wells Fargo & Co. United States Financials 12,853 710 873 Westcoast Energy Inc. 5.20% Cum. Red. First Pfd. Series 12 Canada Utilities 3,623 91 93 93,064 109,585 COMMISSIONS AND OTHER PORTFOLIO TRANSACTION COSTS (54) - TOTAL NON-DERIVATIVE INVESTMENTS 192,711 209,220

Net Assets (see asset composition): Total non-derivative investments 209,220 Cash and cash equivalents 7,781 Derivative assets (see schedule of derivative instruments) 1,190 Derivative liabilities (see schedule of derivative instruments) (1) Other net assets (liabilities) (2,573)

215,617


as at September 30, 2018 (unaudited)

% of net assets

PORTFOLIO ALLOCATION

Long PositionsEquities 50.8Bonds 40.7Mutual Funds 5.6Cash and cash equivalents 3.6 100.7

Short PositionsBonds (15.5)

Other net assets (liabilities) 14.8Total 100.0

EQUITIES COUNTRY ALLOCATION

Canada 25.6United States 13.8United Kingdom 1.8Germany 1.6France 1.4Switzerland 1.4Japan 1.1China 1.0Netherlands 0.8Other 2.3 50.8

SECTOR ALLOCATION

Financials 13.5Energy 6.3Information Technology 5.6Industrials 5.5Consumer Staples 5.0Consumer Discretionary 3.9Health Care 3.5Utilities 2.3Materials 2.2Other 3.0 50.8

BONDS SECTOR ALLOCATION

Corporate 22.5Bank Loans 14.5Federal Government 1.8Provincial Governments 1.0Foreign Governments (14.6) 25.2

as at March 31, 2018

% of net assets

PORTFOLIO ALLOCATION

Long PositionsEquities 48.4Bonds 44.3Mutual Funds 3.7Cash and cash equivalents 5.0 101.4

Short PositionsBonds (8.3)

Other net assets (liabilities) 6.9Total 100.0

EQUITIES COUNTRY ALLOCATION

Canada 24.2United States 12.6United Kingdom 1.8Germany 1.6Switzerland 1.4France 1.2Japan 1.0China 0.9Netherlands 0.8Other 2.9 48.4

SECTOR ALLOCATION

Financials 14.4Energy 6.0Industrials 5.9Information Technology 5.2Consumer Staples 4.6Consumer Discretionary 3.4Health Care 3.1Materials 1.8Utilities 1.8Other 2.2 48.4

BONDS SECTOR ALLOCATION

Corporate 23.7Bank Loans 14.7Federal Government 3.5Provincial Governments 0.9Foreign Governments (6.8) 36.0

Schedule of Asset Composition


Schedule of Derivative Instruments

as at September 30, 2018 (unaudited)

TOTAL DERIVATIVE ASSETS 1,190

TOTAL DERIVATIVE LIABILITIES (1)

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)

A 11-02-2018 384 CAD 384 248 EUR 373 11 - A 11-02-2018 31 CAD 31 20 EUR 30 1 - AA 11-09-2018 145 CAD 145 95 EUR 142 3 - AA 11-09-2018 223 CAD 223 145 EUR 218 5 - AA 12-12-2018 86 CAD 86 50 GBP 84 2 - AA 10-05-2018 3,660 CAD 3,660 2,800 USD 3,618 42 - A 10-19-2018 9,975 CAD 9,975 7,646 USD 9,873 102 - AA 10-19-2018 2,390 CAD 2,390 1,800 USD 2,324 66 - AA 10-26-2018 9,486 CAD 9,486 7,176 USD 9,263 223 - AA 11-09-2018 9,353 CAD 9,353 7,120 USD 9,188 165 - AA 11-30-2018 5,184 CAD 5,184 4,000 USD 5,160 24 - AA 11-30-2018 3,949 CAD 3,949 3,010 USD 3,883 66 - AA 12-14-2018 7,303 CAD 7,303 5,601 USD 7,222 81 - AA 12-14-2018 4,485 CAD 4,485 3,415 USD 4,403 82 - AA 11-09-2018 103 EUR 155 155 CAD 154 - (1) 873 (1)

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. 10 Year Treasury Note (184) December 2018 119.99 USD (28,244) 288 - OSE Japan 10 Year Bond (3) December 2018 150.24 JPY (5,122) 5 - (33,366) 293 -

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 AUD/USD 2,130,000 2,130,000 AUD Call 0.74 USD 10-02-2018 2 - Currency Option AUD/USD 2,840,000 2,840,000 AUD Call 0.73 USD 10-02-2018 4 - Currency Option EUR/NOK 930,000 930,000 EUR Put 9.30 EUR 12-14-2018 13 6 Currency Option USD/CAD 980,000 980,000 USD Call 1.33 CAD 10-05-2018 3 - Currency Option USD/CAD 2,950,000 2,950,000 USD Call 1.33 CAD 10-05-2018 8 - iShares iBoxx $ High Yield Corporate Bond ETF 322 32,200 Put 84.00 USD 11-16-2018 69 7 iShares iBoxx $ High Yield Corporate Bond ETF 165 16,500 Put 84.00 USD 01-18-2019 22 11 121 24

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/NOK 930,000 930,000 EUR Put 8.90 EUR 12-14-2018 (2) -

IG Mackenzie Strategic Income FundNOTES TO THE INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2018

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

(a) Organization of the Fund

The Fund 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 Fund’s registered office is 447 Portage Avenue, Winnipeg, Manitoba, Canada. The Fund is authorized to issue an unlimited number of securities of multiple series. If issued, Series F, P, and S securities are only available for purchase by other Investors Group Funds or other qualified investors. All series generally share in the operations of the Fund 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 September 30, 2018 and March 31, 2018. The Statements of Comprehensive Income, Statements of Changes in Financial Position and Statements of Cash Flows are for the six-month periods ended September 30, 2018 and 2017. The Schedule of Investments is presented as at September 30, 2018. Where a Fund or series of a Fund was established during either period, the information for the Fund or series is provided from inception date. Where a series of a Fund 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 Manager and Trustee of the Fund. I.G. Investment Management, Ltd. and/or I.G. International Management Limited acts as Portfolio Advisor(s) to the Fund. In some cases, I.G. Investment Management (Hong Kong) Limited has been engaged as sub-advisor to provide investment services to the Fund. The Fund 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 Fund 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 Fund. Any transactions during the periods were executed through market intermediaries and under prevailing market terms and conditions.

2. BASIS OF PREPARATION AND PRESENTATION

These unaudited interim financial statements (financial statements) have been prepared in accordance with International Financial Reporting Standards (IFRS), including International Accounting Standard 34 Interim Financial Reporting (IAS 34), as issued by the International Accounting Standards Board (IASB). These financial statements were prepared using the same accounting policies, critical judgments and estimates as applied in the Fund’s most recent audited annual financial statements for the year ended March 31, 2018. A summary of the Fund’s significant accounting policies under IFRS is presented in Note 3.These financial statements are presented in Canadian dollars, which is the Fund’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 November 8, 2018.Standards issued but not yet effective for the current accounting year are described in Note 3.

3. SIGNIFICANT ACCOUNTING POLICIES

(a) Financial instruments

Investments include financial assets and liabilities such as debt and equity securities, open-ended investment funds and derivatives. The Fund 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 Fund 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 Fund 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 Fund accounts for its holdings in unlisted open-ended investment funds at FVTPL. The Fund has concluded that unlisted open-ended investment funds in which it invests do not meet the definition of structured entities. The Fund’s investment in unlisted open-ended funds, if any, is presented in the Schedule of Investments at fair value which represents the Fund’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 Fund’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 received from writing options are included in the Statement of Financial Position as a liability and subsequently 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 Fund 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 period.

(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 Fund’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 Fund may be permitted to enter into securities lending, repurchase and reverse repurchase transactions as set out in the Fund’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 12. 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 Fund’s redeemable securities entitle securityholders the right to redeem their interest in the Fund for cash equal to their proportionate share of the net asset value of the Fund, amongst other contractual rights. These redeemable securities involve multiple contractual obligations on the part of the Fund and therefore meet the criteria for classification as financial liabilities. The Fund’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 Fund’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 Fund 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 12 presents the amounts, if any, that are 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) Mergers

The Fund applies the acquisition method of accounting for Fund mergers. Under this method, one of the Funds in each merger is identified as the acquiring Fund, and is referred to as the Continuing Fund, and the other Fund involved in the merger is referred to as the Terminated Fund. This identification is based on the comparison of the relative net asset values of the Funds as well as consideration of the continuation of such aspects of the Continuing Fund as: investment advisors; investment objectives and practices; type of portfolio securities; and management fees and expenses.

(l) Future accounting changes

The Fund has determined there are no material implications to the Fund’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 Fund. Such changes are reflected in the assumptions when they occur. The following discusses the most significant accounting judgments and estimates made in preparing the financial statements:(a) Functional currency

The Fund’s functional and presentation currency is the Canadian dollar, which is the currency considered to most faithfully represent the economic effects of the Fund’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 Fund are measured.

(b) Classification of financial instruments

In classifying and measuring financial instruments held by the Fund, the Manager is required to make significant judgments in determining the most appropriate classification in accordance with IFRS 9. The Manager has assessed the Fund’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 Fund’s financial assets and financial liabilities.

(c) Estimations of fair value

The Fund 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 Fund 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 Fund. 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 12 for the fair value classifications of the Fund.

(d) Structured entities

In determining whether unlisted open-ended investment funds in which the Fund 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 have the typical characteristics of a structured entity. The Manager has assessed the characteristics of the Underlying Funds and has concluded that they do not meet the definition of a structured entity because the Fund does not have contracts or financing arrangements with the Underlying Funds and does not have an ability to influence the activities of the Underlying Funds or the return it receives from its investment.

5. MANAGEMENT FEES AND OTHER EXPENSES

(a) Each series of the Fund will incur expenses that can be specifically attributed to that series. Common expenses of the Fund are allocated across the series of the Fund on a pro rata basis.

(b) The Manager provides or arranges for the provision of investment and advisory services for a management fee. See Note 12 for the annual rates paid (as a percent of average assets) by the Fund.

(c) The Fund pays the Manager an administration fee and in return the Manager will bear the operating expenses of the Fund, other than certain specified costs. See Note 12 for the annual rates paid (as a percent of average assets) by the Fund.

Other Fund costs include taxes (including but not limited to GST/HST and income tax), transaction costs related to the purchase and sale of investments and derivatives, interest and borrowing costs, and Independent Review Committee (IRC) costs.

(d) The Fund may pay the Distributors a service fee to compensate them for providing or arranging for the provision of services to the Fund. A portion of the service fee related to Series C and Tc is rebated by the Distributors to the Fund on a quarterly basis as outlined in the Fund’s Prospectus. The rebate is distributed as a capital distribution to eligible securityholders and is reinvested in additional Series C or Tc securities of the Fund or another distributing Fund held by the securityholder. See Note 12 for the annual rates paid (as a percent of average assets) by the Fund.

(e) The Trustee is responsible for overall direction and management of the affairs of the Fund. See Note 12 for the annual rates paid (as a percent of average assets) to the Trustee by the Fund.

(f) An advisory fee is charged by the Distributors for investment advice and administrative services related to Series U and Tu, if issued. The advisory fee is payable monthly directly by investors in Series U and Tu, and not by the Fund.

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

(h) Other expenses are comprised of interest and borrowing charges and other miscellaneous expenses.

(i) The Manager may, at its discretion, pay certain expenses of the Fund so the Fund’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 identified in the Statements of Comprehensive Income.

6. INCOME TAXES

The Fund 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 Fund maintains a December year-end for tax purposes. The Fund may be subject to withholding taxes on foreign income. In general, the Fund treats withholding tax as a charge against income for tax purposes. The Fund will distribute sufficient amounts from net income for tax purposes, as required, so that the Fund will not pay income taxes other than refundable tax on capital gains, if applicable.See Note 12 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 Fund 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 Fund. 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 12. The value of certain proprietary services provided by brokers cannot be reasonably estimated.

8. GUARANTEES AND INDEMNITIES

Agreements between the individual members of the Fund’s IRC and the Trustee, on behalf of the Fund, provides for the indemnification of each IRC member by the Fund 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 Fund, 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 Fund consists of redeemable securities in multiple series. The net capital received by the Fund is managed in accordance with the investment objective and strategies of the Fund and to maintain adequate liquidity to meet securityholder redemption requests. The Fund 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 Fund’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 Fund’s investment activities expose it to a variety of financial risks. See the Schedule of Investments for additional information about the securities held by the Fund as at the end of the period. Where significant, Note 12 presents the Fund’s exposure, directly and, if applicable, indirectly through investments in other funds 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 Fund’s performance by employing professional, experienced portfolio advisors, daily monitoring of the Fund’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 Fund’s investment activities and monitors compliance with the Fund’s stated investment strategy, internal guidelines and securities regulations.

(b) Liquidity risk

The Fund is exposed to daily cash redemptions of redeemable securities. The issued securities of the Fund are redeemable on demand at the option of the securityholder at the current net asset value per security. In accordance with securities regulations, the Fund must maintain at least 90% of its assets in liquid investments (i.e. investments that are traded in an active market and can be readily sold). In addition, the Fund retains sufficient cash and short-term investments to maintain adequate liquidity. The Fund also has the ability to borrow up to 5% of its net assets for the purposes of funding redemptions.

(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 Fund’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 12 indicates the foreign currencies, if applicable, to which the Fund had significant exposure and illustrates the potential impact, in Canadian dollar terms, to the Fund’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 Fund’s sensitivity to currency risk illustrated in Note 12 includes potential impacts from derivatives 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 Fund to significant currency risk.

(d) Interest rate risk

Interest rate risk arises on interest-bearing financial instruments such as bonds. The Fund 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. 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.

If significant, Note 12 summarizes the Fund’s exposure to interest rate risk by remaining term to maturity and illustrates the potential impact to the Fund’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 Fund’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.

(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 Fund. Note 12 summarizes the Fund’s exposure, if significant, to credit risk.

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 Fund is only made once the broker has received payment. Payment is made by the Fund 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 Fund may enter into securities lending transactions with counterparties whereby the Fund 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 Fund 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 Fund.

Other price risk typically arises from exposure to equity and commodity securities. If significant, Note 12 illustrates the potential increase or decrease in the Fund’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.

11. 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 Fund’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 Québec, 2001, Robert-Bourassa Boulevard, Bureau 2000, Montréal, Québec, H3A 2A6, or by calling toll-free 1-888-746-6344 (in Québec 1-800-661-4578).

12. FUND SPECIFIC INFORMATION

(a) Fund and series information

The fee rates in the table above are rounded to two decimals.Date operations commenced are shown if within 10½ years.Series P was terminated on May 2, 2018

The Fund seeks income with the potential for long-term capital growth by investing primarily in fixed income investments and/or securities that pay equity income.

The Fund will pursue a flexible approach to investing in fixed income and/or equity asset classes with no geographic restriction. The Fund will generally invest 30% to 70% of its assets in any one asset class, but may invest 0% to 100% of its assets in any one asset class. Allocations between asset classes are based on economic conditions and/or the portfolio managers’ assessment of relative valuations.

Fixed income investments may include, but are not limited to, corporate bonds, (investment grade and non-investment grade), convertible bonds and/or government bonds. The Fund’s investments in Canadian or U.S. dollar denominated corporate bonds are generally expected to have a weighted average credit rating of “BB” or higher, as rated by Standard & Poor’s Corporation or an equivalent bond rating service.

When choosing securities, the Fund uses fundamental analysis to identify, select and monitor investments. The Fund performs industry analysis and specific company analysis, including review of financial statements and other relevant factors.

The deferred sales charge (DSC) purchase option of the Fund is closed to all new investments. For Series A, JDSc, TDSc and TJDSc, the DSC purchase option is still available for reinvested distributions and investments through switches from series of the Fund and other Investors Group Funds held under the DSC option. For Series C and Tc, the DSC purchase option is still available for reinvested distributions and investments through switches between Series C or Tc of the same Fund or other Investors Group Funds held under the DSC option.

The Manager has engaged Mackenzie Financial Corporation as sub-advisor to assist in investment management and trade execution for the Fund. This sub-advisor is a subsidiary of IGM Financial Inc. and, therefore, is considered an affiliate of the Trustee, the Manager and the Distributors.

(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

164 - - - - - - -

(c) Commissions

for the six-month period ended ($ 000)

September 30, 2018 6

September 30, 2017 3

(d) Securities lending

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

September 30, 2018 8,583 9,054

March 31, 2018 - -

September 30, 2018 September 30, 2017

for the six-month period ended ($ 000) (%) ($ 000) (%)

Gross securities lending income 5 100.0 69 100.0 Tax withheld (1) (18.8) (17) (25.0)

4 81.2 52 75.0 Payments to securities lending agents (1) (20.3) (13) (19.1)

Securities lending income 3 60.9 39 55.9


Date operations Management Service Administration Trustee Series commenced fee (%) fee (%) fee (%) fee (%)Series A January 14, 2013 1.75 0.30 0.17 0.05Series B January 14, 2013 1.75 0.30 0.17 0.05Series C January 14, 2013 1.95 0.50 0.17 0.05Series JDSc January 14, 2013 1.50 0.30 0.17 0.05Series JNL January 14, 2013 1.50 0.30 0.17 0.05Series P July 2, 2013 - - - -Series TDSc January 14, 2013 1.75 0.30 0.17 0.05Series TNL January 14, 2013 1.75 0.30 0.17 0.05Series Tc January 14, 2013 1.95 0.50 0.17 0.05Series TJDSc January 14, 2013 1.50 0.30 0.17 0.05Series TJNL January 14, 2013 1.50 0.30 0.17 0.05Series Tu July 12, 2013 0.65 - 0.17 0.05Series U July 12, 2013 0.65 - 0.17 0.05

i) Currency risk

The tables below summarize the Fund’s exposure to currency risk.

September 30, 2018

Cash Margin on Impact on net assets and cash derivative Derivative Net Strengthened Weakened Investments equivalents contracts instruments exposure* by 5% by 5% Currency ($ 000) ($ 000) ($ 000) ($ 000) ($ 000) ($ 000) ($ 000)

United States dollars 87,222 5,030 80 (54,474) 37,858 Euro 10,271 - - (609) 9,662 Australian dollars - - - 4,642 4,642 United Kingdom pounds 4,015 9 - (84) 3,940 Other 10,928 7 5 - 10,940

Total 112,436 5,046 85 (50,525) 67,042 (3,098) 3,207

As percent of net assets (%) 31.1 (1.4) 1.5

March 31, 2018

Cash Margin on Impact on net assets and cash derivative Derivative Net Strengthened Weakened Investments equivalents contracts instruments exposure* by 5% by 5% Currency ($ 000) ($ 000) ($ 000) ($ 000) ($ 000) ($ 000) ($ 000)

United States dollars 132,259 5,950 618 (86,408) 52,419 Euro 16,263 7 - (382) 15,888 United Kingdom pounds 6,688 - - (242) 6,446 Swiss franc 3,894 - - - 3,894 Other 22,435 25 - - 22,460

Total 181,539 5,982 618 (87,032) 101,107 (5,055) 5,055

As percent of net assets (%) 29.0 (1.4) 1.4

*includes both monetary and non-monetary financial instruments.

ii) Interest rate risk

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

Bond holdings

Impact on net assets

Increase by 1% Decrease by 1%

September 30, 2018 ($ 000) ($ 000) (%) ($ 000) (%)

Less than 1 year 196 1-5 years 24,978 5-10 years 55,410 Greater than 10 years 7,088

Total 87,672 (5,030) (2.3) 5,030 2.3

Interest sensitivity arising from other securities 2,497 1.2 (2,417) (1.1)

Total sensitivity to interest rate changes (2,533) (1.1) 2,613 1.2

Bond holdings

Impact on net assets


March 31, 2018 ($ 000) ($ 000) (%) ($ 000) (%)

Less than 1 year 188 1-5 years 51,146 5-10 years 86,539 Greater than 10 years 16,557

Total 154,430 (9,238) (2.6) 9,238 2.6

Interest sensitivity arising from other securities 2,571 0.7 (2,507) (0.7)

Total sensitivity to interest rate changes (6,667) (1.9) 6,731 1.9


12. FUND SPECIFIC INFORMATION (continued)

(e) Financial instrument risk

iii) Credit risk

The Fund’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 September 30, 2018, was 1.8% of the net assets of the Fund (March 31, 2018 – 3.5%).

The tables below summarize the securities by credit rating:

Percent of total September 30, 2018 net assets (%)

AAA 2.6 AA 2.3 A 2.9 BBB 5.3 less than BBB 24.2 Unrated 3.7

Total 41.0

Percent of total March 31, 2018 net assets (%)

AAA 4.8AA 2.5 A 2.3 BBB 5.9less than BBB 25.8Unrated 3.0

Total 44.3

iv) Other price risk

The table below summarizes the Fund’s exposure to other price risk.


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

September 30, 2018 10,959 5.1 (10,959) (5.1)

March 31, 2018 16,873 4.8 (16,873) (4.8)

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

September 30, 2018

Financial assets 879 (1) 878

Financial liabilities (1) 1 -

March 31, 2018

Financial assets 232 (146) 86

Financial liabilities (2,086) 146 (1,940)


12. FUND SPECIFIC INFORMATION

(e) Financial instrument risk (continued)

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

as at September 30, 2018 ($ 000) Level 1 Level 2 Level 3 Total

Bonds 325 87,347 - 87,672 Mutual Funds 11,963 - - 11,963 Equities 109,585 - - 109,585 Short-term investments - 7,146 - 7,146 Derivative assets 293 897 - 1,190 Derivative liabilities - (1) - (1)

Total 122,166 95,389 - 217,555

as at March 31, 2018 ($ 000) Level 1 Level 2 Level 3 Total

Bonds 1,188 153,242 - 154,430 Mutual Funds 12,789 - - 12,789 Equities 136,023 32,604 102 168,729 Short-term investments - 16,174 - 16,174 Derivative assets - 329 - 329 Derivative liabilities (427) (2,086) - (2,513)

Total 149,573 200,263 102 349,938

In accordance with the Fund’s valuation policy, the Fund applies fair value adjustment factors to the quoted market prices for non-North American equities when North American intraday stock market movements exceed predetermined tolerances. The adjustment factors are applied in order to estimate the impact on fair values of events occurring between the close of the non-North American stock markets and the close of business for the Fund. If fair value adjustment factors are applied, non-North American equities are classified as Level 2. Consequently, during the periods, non-North American equities frequently transferred between Level 1 (unadjusted quoted market prices) and Level 2 (adjusted market prices). As at September 30, 2018, these securities were classified as Level 1 (March 31, 2018 – Level 2). Other than as described above, there were no significant transfers between Level 1 and Level 2.

The tables below reconcile the investments measured at fair value using unobservable inputs (Level 3). Transfers in and out of Level 3 are determined as of the date of the change in circumstances that caused the transfer. The Manager has assessed the effect of changing the inputs into Level 3 valuations to reasonably possible alternatives and determined that they would not have a significant impact on the net assets attributable to securityholders of the Fund.

for the six months ended September 30, 2018 ($ 000) Bonds Equities Total

Balance – beginning of period - 102 102 Purchases - - - Sales - - - Transfers in - - - Transfers out - (98) (98)Gains (losses) during the period:

Realized - (4) (4)Unrealized - - -

Balance – end of period - - -

Unrealized gains (losses) during the period attributable to securities held at end of period - - -

During the period, transfers out of Level 3 were primarily due to the conversion of holdings into actively traded securities (Level 1).

for the 12 months ended March 31, 2018 ($ 000) Bonds Equities Total

Balance – beginning of period - 107 107 Purchases - - - Sales - - - Transfers in - - - Transfers out - - - Gains (losses) during the period:

Realized - - - Unrealized - (5) (5)

Balance – end of period - 102 102

Unrealized gains (losses) during the period attributable to securities held at end of period - (5) (5)

(g) Manager’s investment in the Fund

The securities held by the Manager were as follows:

as at September 30, 2018 as at March 31, 2018 No. of Fair Value No. of Fair Value securities ($ 000) securities ($ 000)

Series TJNL 131 1 127 1


12. FUND SPECIFIC INFORMATION (continued)

(f) Fair value of investments


13. UNFUNDED CREDIT AGREEMENTS

The Fund has entered into credit agreements whereby the Fund commits to fund a participation in a senior unsecured credit facility (commitment amount) during an agreed upon period of time (commitment period). In exchange for providing this potential funding, the Fund is entitled to receive a commitment fee (commitment fee) from the issuer equal to a specified percentage of the commitment amount at the end of the commitment period. The funding requirement and the commitment fee are both contingent on whether the issuer of the credit agreement completes a contemplated transaction by the end of the commitment period. As at September 30, 2018, none of the commitment amounts were funded (March 31, 2018–nil). The maximum commitment to any one issuer at September 30, 2018 was U.S.$2,500,000 (March 31, 2018–U.S.$1,260,000). The unfunded commitment amounts, the commitment fee rates and commitment period end dates are listed below:

as at September 30, 2018

Unfunded Commitment Commitment Commitment Period Expiry Date Amounts (in U.S.$ 000’s) Fee Rates (%)

12-17-2018 860 0.75002-06-2019 2,500 0.75005-18-2019 580 0.750

as at March 31, 2018

Unfunded Commitment Commitment Commitment Period Expiry Date Amounts (in U.S.$ 000’s) Fee Rates (%)

07-09-2018 800 0.50007-16-2018 1,260 0.75008-21-2018 530 0.75012-18-2024 798 0.75012-18-2026 462 0.750

ig mackenzie strategic income fund - investors group · reinvested from distributions 59 30 32 11...

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