Annual Report - Redefining Wealth Management | SEI · 2019-03-12 · Table of Contents...

Annual Report

Annual Reportfor the period ended December 31, 2016

MANAGED BY: SEI INVESTMENTS CANADA COMPANY

© SEI 2016 seic.com

Canadian Equity FundsCanadian Equity Fund 1,3,5,7,9,11,13,16

Canadian Small Company Equity Fund 1,3,5,7,9,11,13

U.S. Equity FundsU.S. Large Cap Index Fund 1,3,5,6,7,9,10,13

U.S. Large Company Equity Fund 1,2,3,4,5,6,7,8,9,10,11,12,13,14,16,17

U.S. Small Company Equity Fund 1,2,3,4,5,6,7,8,9,10,11,12,13,14

International Equity Funds EAFE Equity Fund 1,3,5,7,9,11,13,16

Emerging Markets Equity Fund 1,3,5,7,9,11,13,16

Global Managed Volatility Fund 1,3,5,9,11,15,16

Canadian Fixed Income FundsCanadian Fixed Income Fund 1,3,5,7,9,11,13,16

Long Duration Bond Fund 1,3,5,7,9,11,13

Long Duration Credit Bond Fund 9

Money Market Fund 3,5,7,9,11,13

Real Return Bond Fund 1,3,5,7,9,11,13,16

Short Term Bond Fund 1,3,5,7,9,11,13,16

Short Term Investment Fund 3,5,9,11,16

U.S. Fixed Income Funds U.S. High Yield Bond Fund 1,2,3,4,5,6,7,8,9,10,11,12,13,14,16,17

Asset Allocation FundsAll Equity Fund 3,5,7,9,11,13,15,16

Balanced Fund 3,5,7,9,11,13,15,16

Balanced 60/40 Fund 3,5,7,9,11,13,15

Balanced Monthly Income Fund 3,5,7,9,11,13,15,16

Conservative Fund 3,5,9,11,16

Conservative Monthly Income Fund 3,5,7,9,11,13,15,16

Growth Fund 3,5,7,9,11,13,15,16

Growth 100 Fund 3,5,7,9,11,13,15

Growth 80/20 Fund 3,5,7,9,11,13,15

Income 100 Fund 3,5,7,9,11,13,15

Income 20/80 Fund 3,5,7,9,11,13,15

Income 40/60 Fund 3,5,7,9,11,13,15

Moderate Fund 3,5,7,9,11,13,15,16

1. Class D Units offered2. Class D(H) Units offered3. Class E Units offered4. Class E(H) Units offered5. Class F Units offered6. Class F(H) Units offered

7. Class I Units offered8. Class I(H) Units offered9. Class O Units offered10. Class O(H) Units offered11. Class P Units offered12. Class P(H) Units offered

13. Class R Units offered14. Class R(H) Units offered15. Class S Units offered16. Class Z Units offered17. Class Z(H) Units offered

Classes of Units offered

Table of Contents

Management’s Responsibility for Financial Reporting 3

Auditor’s Report 4

Statements of Financial Position,Statements of Comprehensive Income,Statements of Changes in Net Assets Attributable to Holders of Redeemable Units,Statements of Cash Flows,Schedule of Investment Portfolio, andFund Specific Notes to the Financial Statements

Canadian Equity Fund Canadian Small Company Equity Fund U.S. Large Cap Index Fund U.S. Large Company Equity Fund U.S. Small Company Equity Fund EAFE Equity Fund Emerging Markets Equity Fund Global Managed Volatility Fund Canadian Fixed Income Fund Long Duration Bond Fund Long Duration Credit Bond Fund Money Market Fund Real Return Bond Fund Short Term Bond Fund Short Term Investment Fund U.S. High Yield Bond Fund All Equity Fund (formerly Global Growth 100 Fund) Balanced Fund Balanced 60/40 Fund Balanced Monthly Income Fund Conservative Fund Conservative Monthly Income Fund Growth Fund (formerly Growth 70/30 Fund) Growth 100 Fund Growth 80/20 Fund Income 100 Fund Income 20/80 Fund Income 40/60 Fund Moderate Fund (formerly Income 30/70 Fund)

Notes to Financial Statements 281

618263850648095

108125131139145152160166192199206213219225232239246253260267274

33

PricewaterhouseCoopers LLP PwC Tower, 18 York Street, Suite 2600, Toronto, Ontario, Canada M5J 0B2 T: +1 416 863 1133, F: +1 416 365 8215 “PwC” refers to PricewaterhouseCoopers LLP, an Ontario limited liability partnership.

March 15, 2017 Independent Auditor’s Report To the Unitholders of the SEI Investments Group of Funds Canadian Equity Fund U.S. High Yield Bond Fund Canadian Small Company Equity Fund All Equity Fund U.S. Large Cap Index Fund Balanced Fund U.S. Large Company Equity Fund Balanced 60/40 Fund U.S. Small Company Equity Fund Balanced Monthly Income Fund EAFE Equity Fund Conservative Fund Emerging Markets Equity Fund Conservative Monthly Income Fund Global Managed Volatility Fund Growth Fund Canadian Fixed Income Fund Growth 100 Fund Long Duration Bond Fund Growth 80/20 Fund Long Duration Credit Bond Fund Income 100 Fund Money Market Fund Income 20/80 Fund Real Return Bond Fund Income 40/60 Fund Short Term Bond Fund Moderate Fund Short Term Investment Fund (collectively the Funds) We have audited the accompanying financial statements of each of the Funds, which comprise the statements of financial position, comprehensive income, changes in net assets attributable to holders of redeemable units and cash flows as at and for the periods indicated in note 1, and the related notes, which comprise a summary of significant accounting policies and other explanatory information. Management’s responsibility for the financial statements Management is responsible for the preparation and fair presentation of the financial statements of each of the Funds in accordance with International Financial Reporting Standards, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s responsibility Our responsibility is to express an opinion on the financial statements of each of the Funds based on our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

4

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained in each of our audits is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements of each of the Funds present fairly, in all material respects, the financial position, financial performance and cash flows of each of the Funds as at and for the periods indicated in note 1 in accordance with International Financial Reporting Standards. Chartered Professional Accountants, Licensed Public Accountants Toronto, Ontario

5

Statements of Financial PositionAS AT DECEMBER 31, 2016 AND 2015(in thousands of dollars except per unit data)

2016 2015

ASSETSCurrent assets

Investments (non-derivative financial assets) $ 2,387,545 $ 2,147,466 Cash including foreign currency holdings 14,735 111,114 Accrued dividends receivable 5,538 5,815 Margin receivable on futures 3,106 6,657 Receivable for portfolio securities sold 2,917 14,882 Receivable for unit subscriptions 1,729 4,097 Receivable from manager 6 3 Prepaid expenses 187 324 Derivative assets 108 74

2,415,871 2,290,432LIABILITIESCurrent liabilities

Accrued liabilities 858 516 Payable for portfolio securities purchased 8,490 1,450 Payable for unit redemptions 1,765 4,306 Distributions payable — 5 Derivative liabilities 208 988

11,321 7,265NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 2,404,550 $ 2,283,167

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER CLASS (note 5)

(Class D) $ 62,620 $ 59,194(Class E) $ 2,350 $ 1,318(Class F) $ 12,292 $ 9,928(Class I) $ 54 $ 48(Class O) $ 2,250,899 $ 2,107,718(Class P) $ 76,324 $ 104,951(Class Z) $ 11 $ 10

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT

(Class D) $ 20.70 $ 18.53(Class E) $ 20.89 $ 18.76(Class F) $ 24.84 $ 22.15(Class I) $ 21.41 $ 19.56(Class O) $ 21.59 $ 19.33(Class P) $ 22.23 $ 19.71(Class Z) $ 21.13 $ 19.29

INVESTMENTS AT AVERAGE COST $ 2,087,244 $ 2,082,860

Statements of Comprehensive IncomeFOR THE YEARS ENDED DECEMBER 31, 2016 AND2015(in thousands of dollars except per unit data)

2016 2015

INCOMENET GAIN (LOSS) ON INVESTMENTS AND DERIVATIVES

Dividends $ 57,513 $ 56,994 Interest for distribution purposes 216 689 Derivative income (loss) 1,151 (18,598)Net realized gain (loss) on sale of investments 50,629 121,283 Foreign exchange gain (loss) on foreign

currency translation (79) 369 Net change in unrealized appreciation

(depreciation) on foreign exchange 21 17 Net change in unrealized appreciation

(depreciation) of investments and derivatives 236,474 (221,163)345,925 (60,409)

Foreign exchange gain (loss) on cash 64 1,059TOTAL INCOME (NET) 345,989 (59,350)

EXPENSESCustodian and administration fees 2,069 2,066 Legal fees 138 161 Audit fees 139 116 Interest expense 10 —Management fees 4,209 4,838 Trustee fees 64 64 Independent review committee fees 12 12 Transaction costs 5,010 3,928 Securityholder reporting costs 158 171 Foreign withholding taxes 376 521 TOTAL EXPENSES 12,185 11,877Waived expenses (12) (10)NET EXPENSES 12,173 11,867

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 333,816 $ (71,217)

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER CLASS

(Class D) $ 7,268 $ (3,446)(Class E) $ 209 $ (80)(Class F) $ 1,559 $ (328)(Class I) $ 7 $ (1)(Class O) $ 312,808 $ (61,943)(Class P) $ 11,964 $ (5,419)(Class Z) $ 1 $ —

AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS

(Class D) 3,142 2,829(Class E) 78 55(Class F) 477 376 (Class I) 2 2 (Class O) 104,768 100,830(Class P) 4,830 5,816(Class Z) — —

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT*

(Class D) $ 2.31 $ (1.21)(Class E) $ 2.68 $ (1.45)(Class F) $ 3.27 $ (0.88)(Class I) $ 2.83 $ (0.78)(Class O) $ 2.99 $ (0.61)(Class P) $ 2.48 $ (0.93)(Class Z) $ 3.03 $ (1.06)* Based on the weighted average number of units outstanding during the period.

Canadian Equity Fund

SCEF (The accompanying notes are an integral part of these financial statements)

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Statements of Changes in Net Assets Attributable to Holders of Redeemable UnitsFOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015(in thousands of dollars except per unit data)

Fund Total Class D2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 2,283,167 $ 2,320,704 $ 59,194 $ 53,772

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 333,816 (71,217) 7,268 (3,446)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (52,019) (22,424) — —Out of net realized capital gains (24,932) (134,868) (426) (3,479)

(76,951) (157,292) (426) (3,479)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 370,418 474,268 10,946 19,760 Payments on redemption of units (582,119) (439,313) (14,788) (10,892)Reinvestment of distributions 76,219 156,017 426 3,479

(135,482) 190,972 (3,416) 12,347CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 121,383 (37,537) 3,426 5,422NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 2,404,550 $ 2,283,167 $ 62,620 $ 59,194

Class E Class F2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 1,318 $ 795 $ 9,928 $ 9,068

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 209 (80) 1,559 (328)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (28) — (178) (36)Out of net realized capital gains (18) (77) (94) (552)

(46) (77) (272) (588)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,388 908 4,539 3,136 Payments on redemption of units (565) (305) (3,727) (1,934)Reinvestment of distributions 46 77 265 574

869 680 1,077 1,776CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1,032 523 2,364 860NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 2,350 $ 1,318 $ 12,292 $ 9,928

(The accompanying notes are an integral part of these financial statements) SCEF

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Class I Class O2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 48 $ 49 $ 2,107,718 $ 2,112,674

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 7 (1) 312,808 (61,943)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (1) — (51,812) (22,388)Out of net realized capital gains (2) (3) (24,392) (124,543)

(3) (3) (76,204) (146,931)CAPITAL UNIT TRANSACTIONSProceeds from issue of units — - — 332,171 411,478 Payments on redemption of units — — (501,074) (353,286)Reinvestment of distributions 2 3 75,480 145,726

2 3 (93,423) 203,918CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 6 (1) 143,181 (4,956)NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 54 $ 48 $ 2,250,899 $ 2,107,718

Class P Class Z2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 104,951 $ 144,346 $ 10 $ —

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 11,964 (5,419) 1 —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net realized capital gains — (6,213) — (1)

— (6,213) — (1) CAPITAL UNIT TRANSACTIONSProceeds from issue of units 21,374 38,976 — 10 Payments on redemption of units (61,965) (72,896) — —Reinvestment of distributions — 6,157 — 1

(40,591) (27,763) — 11 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (28,627) (39,395) 1 10 NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 76,324 $ 104,951 $ 11 $ 10


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Statements of Cash FlowsFOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015(in thousands of dollars except per unit data) 2016 2015

CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 333,816 $ (71,217)Adjustments for:

Foreign exchange (gain) loss on cash 5 (73)Net realized (gain) loss on sale of investments (50,629) (121,283)Net change in unrealized (appreciation) depreciation of investments and derivatives (236,474) 221,163 Purchases of investments (2,053,913) (2,177,958)Proceeds from the sale of investments 2,119,128 2,134,709 Change in margin receivable on futures 3,551 (4,003)Change in interest receivable — 6 Change in dividends receivable 277 (1,616)Change in other assets 134 142 Change in other liabilities 342 (179)

116,237 (20,309)

CASH FLOWS USED IN FINANCING ACTIVITIESAmount received from the issuance of units (note 16) 269,967 426,545 Amount paid on redemptions of units (note 16) (481,841) (390,632)Distributions paid to unitholders (737) (1,270)

(212,611) 34,643

Increase (decrease) in cash during the period (96,374) 14,334 Foreign exchange gain (loss) on cash (5) 73 Cash at beginning of period 111,114 96,707Cash at end of period 14,735 111,114

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 216 695 Dividends received, net of withholding taxes 57,414 54,857

9

EQUITIES – 97.2%Canadian Equities – 92.2%Consumer Discretionary – 9.4%Aimia Inc. 1,835,442 19,063,812 16,298,725Canadian Tire Corp. Ltd., Class ‘A’ 54,200 7,167,179 7,548,434Cara Operations Ltd. 141,500 4,138,875 3,530,425Cogeco Communications Inc. 83,397 5,551,941 5,524,217Corus Entertainment Inc., Class ‘B’ 154,500 1,709,030 1,946,700DHX Media Ltd. 441,263 3,373,756 3,110,904Dirtt Environmental Solutions Ltd. 113,871 782,510 713,971Dorel Industries Inc., Class ‘B’ 195,576 7,281,315 7,588,349EnerCare Inc. 584,095 8,777,430 10,420,255Gildan Activewear Inc. 369,400 13,579,947 12,592,846goeasy Ltd. 110,631 2,261,849 2,699,396Hardwoods Distribution Inc. 35,056 631,499 626,801Hudson’s Bay Co. 1,196,197 22,684,787 15,777,838Intertain Group Ltd. (The) 103,765 1,299,640 973,316Linamar Corp. 256,468 14,351,698 14,795,639Magna International Inc. 772,136 38,296,231 45,015,529Martinrea International Inc. 386,108 3,523,877 3,316,668MTY Food Group Inc. 18,823 574,675 951,691Quebecor Inc., Class ‘B’ 298,332 10,673,617 11,133,750Restaurant Brands International Inc. 411,129 21,627,689 26,291,700Shaw Communications Inc., Class ‘B’ 970,116 23,782,406 26,134,925Sleep Country Canada Holdings Inc. 58,851 1,701,451 1,693,732Spin Master Corp. 39,340 909,279 1,266,355Transat A.T. Inc. 388,919 3,007,817 2,142,944Uni-Select Inc. 28,055 855,554 827,342Yellow Pages Ltd. 161,457 3,075,507 2,856,174

220,683,371 225,778,626

Consumer Staples – 5.4%AGT Food and Ingredients Inc. 166,396 4,602,162 6,096,749Alimentation Couche-Tard Inc., Class ‘B’ 245,491 12,577,089 14,945,492Andrew Peller Ltd., Class ‘A’ 156,147 1,454,294 1,826,920Clearwater Seafoods Inc. 116,292 1,207,564 1,354,802Empire Co. Ltd., Class ‘A’ 1,495,396 32,613,948 23,507,625George Weston Ltd. 170,913 17,894,606 19,414,008Jean Coutu Group (PJC) Inc. (The), Class ‘A’ 386,847 7,797,362 8,092,839Lassonde Industries Inc., Class ‘A’ 17,678 1,463,214 3,942,371Loblaw Cos. Ltd. 362,900 24,042,573 25,707,836Metro Inc., Class ‘A’ 16,689 372,097 670,230Premium Brands Holdings Corp. 83,937 2,797,237 5,788,296Saputo Inc. 389,100 17,097,081 18,486,141

123,919,227 129,833,309

Energy – 17.5%Advantage Oil & Gas Ltd. 206,955 1,240,383 1,887,430Birchcliff Energy Ltd. 2,253,500 17,367,489 21,115,295Bonavista Energy Corp. 272,951 1,279,311 1,312,894Bonterra Energy Corp. 175,275 4,823,625 5,098,750Cameco Corp. 329,827 4,165,500 4,630,771Canadian Energy Services & Technology Corp. 91,480 469,039 700,737Canadian Natural Resources Ltd. 841,567 28,734,449 36,010,652Cardinal Energy Ltd. 208,903 2,519,210 2,212,283Cenovus Energy Inc. 1,181,400 22,922,045 23,982,420Crew Energy Inc. 398,539 2,545,294 2,993,028Enbridge Inc. 450,923 23,608,034 25,477,149

Enbridge Income Fund Holdings Inc. 182,855 5,807,472 6,357,868Encana Corp. 412,000 5,194,077 6,493,120Enerflex Ltd. 788,984 10,749,337 13,452,177Ensign Energy Services Inc. 409,223 5,143,700 3,838,512Freehold Royalties Ltd. 166,167 1,907,780 2,354,586Imperial Oil Ltd. 739,396 31,680,133 34,537,187Kelt Exploration Ltd. 213,579 1,092,208 1,445,930Keyera Corp. 449,200 18,694,412 18,174,632Painted Pony Petroleum Ltd., Class ‘A’ 372,248 2,867,176 3,432,127Parex Resources Inc. 257,675 1,906,235 4,354,708Parkland Fuel Corp. 209,583 4,432,344 5,895,570Parkland Fuel Corp., Subscription Receipts 6,872 168,364 168,364Penn West Petroleum Ltd. 620,589 1,391,100 1,470,796Peyto Exploration & Development Corp. 179,000 5,604,919 5,944,590PrairieSky Royalty Ltd. 894,271 21,611,468 28,563,016Precision Drilling Corp. 1,294,400 7,477,732 9,475,008Secure Energy Services Inc. 817,802 7,750,642 9,576,461Seven Generations Energy Ltd., Class ‘A’ 275,700 8,039,200 8,632,167ShawCor Ltd. 482,599 15,217,219 17,296,348Spartan Energy Corp. 368,766 1,025,137 1,227,991Storm Resources Ltd. 510,898 2,360,163 2,707,759Suncor Energy Inc. 908,599 35,067,525 39,887,496Tamarack Valley Energy Ltd. 914,698 3,550,386 3,164,855TORC Oil & Gas Ltd. 477,686 3,978,143 3,950,463TransCanada Corp. 526,871 27,695,230 31,896,770TransGlobe Energy Corp. 330,310 1,768,794 749,804Trinidad Drilling Ltd. 433,249 928,169 1,447,052Veresen Inc. 538,400 4,964,705 7,058,424Vermilion Energy Inc. 26,000 1,290,951 1,468,740Whitecap Resources Inc. 1,613,365 16,956,197 19,618,518

365,995,297 420,062,448

Financials – 30.6%Alaris Royalty Corp. 38,974 906,442 933,427Altus Group Ltd. 166,704 3,656,361 5,161,156American Hotel Income Properties REIT L.P. 128,171 1,391,146 1,340,669Artis REIT 234,500 2,921,338 2,978,150Automotive Properties REIT 65,013 670,098 694,339Bank of Montreal 231,900 19,996,317 22,394,583Bank of Nova Scotia 1,106,615 62,289,277 82,730,537Boardwalk REIT 436,849 21,392,053 21,252,704Brookfield Asset Management Inc., Class ‘A’ 942,873 33,776,814 41,769,274Callidus Capital Corp. 137,800 2,172,219 2,543,788Canaccord Genuity Group Inc. 683,233 3,086,590 3,259,021Canadian Imperial Bank of Commerce 287,950 27,536,984 31,547,802Canadian Western Bank 699,864 16,887,805 21,233,874Chesswood Group Ltd. 129,668 1,535,524 1,549,533CI Financial Corp. 406,311 11,145,540 11,730,199Cominar REIT 257,873 3,774,476 3,795,891Crombie REIT 271,597 3,639,510 3,688,287Crown Capital Partners Inc. 46,571 512,281 451,273ECN Capital Corp. 660,977 2,037,157 2,181,224Element Fleet Management Corp. 1,373,471 17,697,936 17,113,449Fairfax Financial Holdings Ltd. 24,025 11,408,247 15,580,212FirstService Corp. 80,155 3,450,528 5,109,080Genworth MI Canada Inc. 54,700 1,851,384 1,841,202Gluskin Sheff + Associates Inc. 207,083 3,921,799 3,611,528GMP Capital Inc. 398,806 1,707,818 1,758,734

Number Average Fairof Cost Value

Shares $ $


Shares $ $

Schedule of Investment PortfolioAS AT DECEMBER 31, 2016



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Granite REIT, Stapled Units 171,287 6,217,617 7,678,796Great-West Lifeco Inc. 367,829 11,033,866 12,936,546H&R REIT 121,400 2,480,125 2,715,718Home Capital Group Inc. 101,669 2,849,808 3,186,306IGM Financial Inc. 256,613 10,223,933 9,802,617Industrial Alliance Insurance and

Financial Services Inc. 311,300 12,828,156 16,620,307INFOR Acquisition Corp., Class ‘A’, Restricted 336,800 3,334,320 3,361,264INFOR Acquisition Corp., Warrants, 2023/05/27 168,400 75,780 60,624Intact Financial Corp. 472,898 37,219,927 45,445,498Laurentian Bank of Canada 52,277 2,542,491 3,017,951Manulife Financial Corp. 2,546,665 52,408,042 60,890,760National Bank of Canada 234,200 10,344,040 12,770,926Onex Corp. 293,955 20,666,604 26,861,608Power Corp. of Canada 874,902 25,230,832 26,290,805Power Financial Corp. 90,500 2,947,363 3,037,180Pure Industrial Real Estate Trust 495,300 2,189,515 2,768,727RioCan REIT 207,027 5,371,705 5,513,129Royal Bank of Canada 770,578 52,957,751 70,022,423Smart REIT 226,411 6,444,179 7,310,811Sun Life Financial Inc. 325,082 15,257,510 16,757,977Toronto-Dominion Bank (The) 1,363,947 56,483,770 90,320,570Tricon Capital Group Inc. 361,048 3,103,712 3,415,514

601,576,690 737,035,993

Health Care – 0.3%Cipher Pharmaceuticals Inc. 186,886 2,012,427 915,741CRH Medical Corp. 187,792 719,370 1,346,469Knight Therapeutics Inc. 123,665 933,459 1,328,162Valeant Pharmaceuticals International Inc. 129,013 8,528,350 2,511,883

12,193,606 6,102,255

Industrials – 9.2%Aecon Group Inc. 105,993 1,369,951 1,616,393AG Growth International Inc. 45,462 1,476,497 2,387,664Air Canada 1,400,900 14,425,354 19,150,303Badger Daylighting Ltd. 90,816 2,155,385 2,915,194Boyd Group Income Fund 48,667 2,500,791 4,163,949BuildDirect.com Technologies Inc. 721,910 4,626,979 1,952,191Canadian National Railway Co. 465,102 34,597,934 42,026,617Canadian Pacific Railway Ltd. 109,800 20,405,161 21,033,288Exchange Income Corp. 35,350 813,148 1,475,862Finning International Inc. 1,452,724 36,407,470 38,192,114Héroux-Devtek Inc. 220,483 2,215,543 3,241,100New Flyer Industries Inc. 68,950 1,175,977 2,815,918Richelieu Hardware Ltd. 230,482 4,369,312 5,891,120Russel Metals Inc. 47,500 1,046,410 1,215,050Savaria Corp. 88,475 520,995 961,723Stantec Inc. 326,925 10,997,030 11,089,296Superior Plus Corp. 515,694 5,712,883 6,575,098TFI International Inc. 420,867 13,055,522 14,684,050Transcontinental Inc., Class ‘A’ 506,400 10,651,851 11,237,016Wajax Corp. 391,520 9,541,349 9,028,451Waste Connections Inc. 113,173 9,824,481 11,921,644WSP Global Inc. 154,404 5,946,442 6,900,315

193,836,465 220,474,356

Information Technology – 4.2%Celestica Inc. 1,836,741 24,460,062 29,222,549CGI Group Inc., Class ‘A’ 687,584 33,991,672 44,307,913Computer Modelling Group Ltd. 60,308 609,166 549,406Descartes Systems Group Inc. (The) 121,546 1,212,804 3,479,862DH Corp. 140,156 4,613,328 3,122,676Enghouse Systems Ltd. 45,573 2,482,292 2,549,353Kinaxis Inc. 71,882 2,534,614 4,492,625Mediagrif Interactive Technologies Inc. 103,006 1,727,314 1,951,964Mitel Networks Corp. 156,989 1,347,050 1,431,740Open Text Corp. 94,440 6,388,924 7,830,965Opsens Inc. 1,036,718 1,024,788 1,679,483Solium Capital Inc. 139,832 1,000,590 1,180,182

81,392,604 101,798,718

Materials – 9.5%Agnico Eagle Mines Ltd. 277,200 12,652,049 15,647,940Agrium Inc. 67,764 8,277,759 9,145,429Alacer Gold Corp. 1,481,495 4,108,676 3,318,549Alamos Gold Inc., Class ‘A’ 341,250 2,149,544 3,159,975B2Gold Corp. 389,085 890,485 1,241,181Barrick Gold Corp. 221,600 4,981,657 4,762,184Canam Group Inc., Class ‘A’ 138,605 1,561,516 1,250,217Capstone Mining Corp. 873,696 818,162 1,100,857Cascades Inc. 949,700 11,341,248 11,491,370CCL Industries Inc., Class ‘B’ 47,350 3,360,029 12,490,930Centerra Gold Inc. 560,536 3,988,110 3,525,771Chemtrade Logistics Income Fund 120,624 1,837,547 2,284,619Domtar Corp. 30,200 1,483,992 1,582,782Eldorado Gold Corp. 1,082,899 6,038,351 4,678,124First Quantum Minerals Ltd. 631,200 7,817,747 8,426,520Fortuna Silver Mines Inc. 551,002 3,586,750 4,182,105Franco-Nevada Corp. 134,270 10,738,525 10,779,196Goldcorp Inc. 172,494 3,645,141 3,153,190Guyana Goldfields Inc. 237,692 1,552,326 1,454,675Interfor Corp. 729,811 10,211,694 10,969,059Intertape Polymer Group Inc. 523,976 8,562,172 13,193,716Kinross Gold Corp. 940,040 5,557,651 3,938,768Kirkland Lake Gold Ltd. 212,549 1,934,921 1,492,094Klondex Mines Ltd. 51,229 209,598 320,181Methanex Corp. 437,269 19,857,035 25,750,771Nevsun Resource Ltd. 348,752 1,587,003 1,447,321Osisko Gold Royalties Ltd. 200,836 3,017,790 2,628,943Potash Corp. of Saskatchewan Inc. 782,300 22,005,343 19,002,067Q2 Gold Resources Inc. 85,045 – –Richmont Mines Inc. 90,461 768,131 788,820SEMAFO Inc. 901,209 3,974,031 3,983,344SHOP.CA Network Inc., Class ‘A’ 1,482,500 1,186,000 14,825Stella-Jones Inc. 117,264 3,867,666 5,110,365Supremex Inc. 137,028 746,257 685,140Teck Resources Ltd., Class ‘B’ 323,000 4,273,839 8,679,010Torex Gold Resources Inc. 63,244 1,139,116 1,314,843Trevali Mining Corp. 1,097,588 1,013,700 1,240,274Turquoise Hill Resources Ltd. 728,331 3,200,213 3,139,107


Shares $ $


Shares $ $




11



West Fraser Timber Co. Ltd. 291,385 13,159,785 13,989,394Western Forest Products Inc. 2,400,627 5,064,369 4,537,185Winpak Ltd. 47,891 1,019,528 2,175,209

203,185,456 228,076,050

Telecommunication Services – 3.7%BCE Inc. 616,246 32,127,134 35,760,755Rogers Communications Inc., Class ‘B’ 211,040 9,609,062 10,929,762TELUS Corp. 1,014,792 36,716,372 43,382,358

78,452,568 90,072,875

Utilities – 2.4%ATCO Ltd., Class ‘I’ 299,275 11,776,874 13,365,622Brookfield Infrastructure Partners L.P. 171,188 7,358,756 7,689,765Brookfield Renewable Partners L.P. 113,831 3,625,396 4,536,165Capital Power Corp. 354,300 8,167,857 8,230,389Emera Inc. 236,965 9,828,724 10,755,841Fortis Inc. 257,400 10,512,648 10,671,804TransAlta Renewables Inc. 189,400 2,202,616 2,715,996

53,472,871 57,965,582Total Canadian Equities 1,934,708,155 2,217,200,212

U.S. EQUITIES – 5.0%Alphabet Inc., Class ‘A’ 8,000 9,588,898 8,501,720Alphabet Inc., Class ‘C’ 12,440 3,840,929 12,876,012AmerisourceBergen Corp. 28,393 3,035,431 2,977,196Biogen Inc. 33,700 12,820,959 12,815,940Bristol-Myers Squibb Co. 35,398 2,803,341 2,774,175Currency Exchange International Corp. 64,038 1,806,016 1,932,258CVS Health Corp. 90,800 11,141,466 9,608,661Eli Lilly and Co. 28,305 2,779,709 2,791,842FedEx Corp. 30,800 7,539,304 7,690,868First Data Corp. 448,700 8,680,778 8,538,536Level 3 Communications Inc. 126,500 6,845,860 9,561,070McKesson Corp. 15,441 2,969,686 2,908,320Microsoft Corp. 193,400 14,150,941 16,116,573Morgan Stanley 110,300 3,921,253 6,249,528Pfizer Inc. 205,812 7,686,510 8,964,616Wal-Mart Stores Inc. 68,175 5,996,493 6,319,371Total U.S. Equities 105,607,574 120,626,686Total Equities 2,040,315,729 2,337,826,898


Shares $ $


Shares $ $


12



Units $ $

MUTUAL FUNDS* – 0.0%SEI Money Market Fund, Class ‘O’ 255 2,551 2,551

2,551 2,551Total Short Term Notes – 2.1% 49,670,185 49,715,199Less: Transaction cost included in average cost (2,744,477) —Total Non-Derivative Financial Assets – 99.3% 2,087,243,988 2,387,544,648Derivative Assets and Liabilities (1) – 0.0% (99,959)Other Assets and Liabilities, Net – 0.7% 17,105,800Net Assets Attributable to Holders of Redeemable Units – 100.0% 2,404,550,489

(1) DERIVATIVE ASSETS AND LIABILITIESSCHEDULE OF LONG FUTURES CONTRACTS

UnrealizedNumber Average Cost Contracted Current Appreciation

of per Contract Value Value (Depreciation)Contracts $ $ $ $

Unrealized DepreciationS&P/Toronto Stock Exchange 60 Index

Expiration Date March 2017 33 CAD 904.00 5,966,400 5,919,540 (46,860)Unrealized Appreciation (Depreciation) on Long Futures Contracts (46,860)


SCHEDULE OF SHORT TERM NOTESPar Interest Maturity Average Fair

Value Rate Date Cost Value$ % $ $

Government of Canada Treasury Bill 700,000 0.443 2017-03-23 699,279 699,305Government of Canada Treasury Bill 20,000,000 0.445 2017-01-12 19,974,000 19,997,082Government of Canada Treasury Bill 1,550,000 0.453 2017-01-26 1,548,367 1,549,501Government of Canada Treasury Bill 150,000 0.458 2017-02-09 149,816 149,925Government of Canada Treasury Bill 2,200,000 0.472 2017-03-23 2,197,308 2,197,674Government of Canada Treasury Bill 3,900,000 0.474 2017-03-09 3,895,440 3,896,565Government of Canada Treasury Bill 775,000 0.477 2017-04-06 773,907 774,030Government of Canada Treasury Bill 2,200,000 0.480 2017-02-23 2,197,377 2,198,443Government of Canada Treasury Bill 15,200,000 0.485 2017-03-23 15,167,745 15,183,485Government of Canada Treasury Bill 500,000 0.486 2017-04-20 498,875 499,270Government of Canada Treasury Bill 800,000 0.488 2017-02-23 798,990 799,424Government of Canada Treasury Bill 375,000 0.488 2017-02-23 374,501 374,730Government of Canada Treasury Bill 400,000 0.513 2017-03-23 399,012 399,540Government of Canada Treasury Bill 350,000 0.531 2017-02-23 349,090 349,726Government of Canada Treasury Bill 650,000 0.616 2017-11-16 646,477 646,499Total Short Term Notes 49,670,185 49,715,199


13


SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTSUnrealized

Credit AppreciationRating of Settlement Amount Amount Forward Current (Depreciation)

Counterparty Counterparty1 Date Sold Bought Rate Rate $

Canadian Imperial Bank of Commerce A-1 2017-03-15 CAD 18,060,272 USD 13,509,017 1.337 1.340 40,820Canadian Imperial Bank of Commerce A-1 2017-03-15 USD 5,000,000 CAD 6,766,450 0.739 0.746 66,817

107,637Bank of Montreal A-1 2017-01-19 USD 20,500,000 CAD 27,370,268 0.749 0.746 (116,030)

(116,030)Toronto-Dominion Bank (The) A-1+ 2017-02-24 USD 16,700,000 CAD 22,337,169 0.748 0.746 (44,706)

(44,706)(160,736)

1Commercial Paper rating per S&P Global Rating’s Commercial Paper Guide.*The Fund holds units in class O of the funds listed unless otherwise noted. The above funds are also managed by the Fund’s manager.



14

Fund Specific Notes to the Financial StatementsAS AT DECEMBER 31, 2016 AND 2015

Investment ObjectiveTo seek to achieve a return that exceeds the performance of S&P/TSX Composite Index (the “S&P/TSX Index”). The Fund invests primarily in equity securities issued by Canadian corporations.

Currency RiskThe table below indicates the currencies to which the Fund had exposure as at December 31, 2016 and 2015, on both its trading monetary and non-monetary assets and liabilities.

Currency risk exposed holdings* Forward foreign exchange contracts Net Exposure As a % of Net Assets

2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 116,944,067 192,366,134 (38,466,714) 4,106,846 78,477,353 196,472,980 3.26% 8.61%British Pound — 4,875,819 — — — 4,875,819 0.00% 0.21%Euro — — — — — — 0.00% 0.00%Swiss Franc 66,502 69,941 — — 66,502 69,941 0.00% 0.00%

*Amounts include monetary and non-monetary items.

As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets would have decreased or increased, respectively, by approximately $3,927,193 (December 31, 2015 – $10,070,937). In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material.

Interest Rate RiskAs at December 31, 2016 and 2015, the interest rate risk is minimal given that the majority of the Fund’s financial instruments are non-interest bearing.

Other Price RiskAs at December 31, 2016, a 10% (December 31, 2015 – 10%) increase or decrease in equity prices would have increased or decreased the Fund’s Net Assets by $234,374,644 (December 31, 2015 –$222,984,261). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Credit RiskAs at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no significant investments in debt instruments or derivatives.

Concentration RisksThe following is a summary of the Fund’s concentration risk as at December 31, 2016 and 2015.

Portfolio by Category Percentage of Net Assets (%)2016 2015

Consumer Discretionary 9.4 7.7 Consumer Staples 5.4 6.6 Energy 17.5 10.8 Financials 30.6 28.5 Health Care 0.3 1.5 Industrials 9.2 7.6 Information Technology 4.2 5.9 Materials 9.5 9.5 Telecommunication Services 3.7 3.9 Utilities 2.4 1.9 Foreign Equities — 0.8 U.S. Equities 5.0 7.9 Mutual Fund — —Short Term Notes 2.1 1.5 Derivative Assets and Liabilities — —Other Assets and Liabilities, Net 0.7 5.9

100.0 100.0



15



Offsetting of financial instrumentsIn the normal course of business, the Fund may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statement of Financial Positionbut still allow for the related amounts to be set off in certain circumstances, such as bankruptcy or termination of the contracts. As at December 31, 2016 and December 31, 2015, no amounts were eligiblefor offsetting.

Fair Value MeasurementsThe following table summarizes the inputs used as at December 31, 2016 and 2015, in valuing the Fund’s investments and derivatives carried at fair values:

Quoted prices in active markets Significant other observable inputs Significant unobservable inputs2016 for identical assets (Level 1) (Level 2) (Level 3) Total

Common shares $ 2,332,330,254 $ 3,361,264 $ 2,135,380 $ 2,337,826,898 Short term notes 49,715,199 — — 49,715,199 Investments in funds 2,551 — — 2,551 Derivative assets — 107,637 — 107,637 Derivative liabilities (46,860) (160,736) — (207,596)

2015

Common shares $ 2,106,971,791 $ 72,798 $ 5,923,778 $ 2,112,968,367 Short term notes 34,495,410 — — 34,495,410 Investments in funds 2,533 — — 2,533 Derivative assets — 73,686 — 73,686 Derivative liabilities (938,312) (49,294) — (987,606)

During the year ended December 31, 2016, no investments (December 31, 2015 – $2,979,018) were transferred from Level 2 to Level 1 as they began trading in an active market.

During the year ended December 31, 2016, $3,310,744 (December 31, 2015 – $nil) were transferred from Level 1 to Level 2 as they ceased to be traded in an active market.

During the years ended December 31, 2016 and 2015, the reconciliation of investments measured at fair value using unobservable inputs (Level 3) is presented as follows:

2016 2015

Beginning Balance $ 5,923,778 $ 2,417,707 Purchases 544,201 3,603,643 Sales (375,837) —Net transfers into and/or out of level 3 — —Realized gains/(losses) 375,837 —Change in unrealized appreciation/depreciation (4,332,599) (97,572)Ending Balance $ 2,135,380 $ 5,923,778 Total change in unrealized appreciation during the period for assets held $ (4,332,599) $ (97,572)

As at December 31, 2016 and 2015, the potential impact of using reasonable possible alternative assumptions for valuing Level 3 financial instruments would have minimal impact on net assets.

Net gains and lossesThe following table presents the net gains (losses) on financial instruments at FVTPL by category for the years ended December 31, 2016 and 2015.(in thousands of dollars)

Category Net gains (losses)2016 2015

Financial instruments at FVTPL:Held for trading $ 1,965 $ (21,777)Designated at inception 343,960 (38,632)

Total financial instruments at FVTPL $ 345,925 $ (60,409)


16




Interest in Unconsolidated Structured EntitiesThe table below sets out interests held by the Fund in unconsolidated structured entities for the years ended December 31, 2016 and 2015. The Fund holds Class O of the Funds listed, unless otherwisenoted.

The maximum exposure to loss is the carrying amount of the financial assets held:

Investment in open-ended Investment Funds

December 31, 2016

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsMoney Market Fund Canada 2,551 0.0%

December 31, 2015


17

Statements of Financial PositionAS AT DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data)

2016 2015


Investments (non-derivative financial assets) $ 206,770 $ 178,104 Cash including foreign currency holdings 713 3,657 Accrued dividends receivable 399 373 Margin receivable on futures 473 632 Receivable for portfolio securities sold — 215 Receivable for unit subscriptions 119 230 Receivable from manager 1 1 Prepaid expenses 24 38 Derviative assets — 52

208,499 183,302LIABILITIESCurrent liabilities

Accrued liabilities 66 68 Payable for portfolio securities purchased 159 81 Payable for unit redemptions 98 157

323 306NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 208,176 $ 182,996


(Class D) $ 3,671 $ 3,324(Class E) $ 190 $ 112(Class F) $ 1,477 $ 1,306(Class O) $ 197,280 $ 170,681(Class P) $ 5,558 $ 7,573


(Class D) $ 11.26 $ 9.54(Class E) $ 15.88 $ 13.40(Class F) $ 13.17 $ 10.94(Class O) $ 12.06 $ 10.18(Class P) $ 16.38 $ 13.73

INVESTMENTS AT AVERAGE COST $ 160,909 $ 161,686

Statements of Comprehensive IncomeFOR THE YEARS ENDED DECEMBER 31, 2016 AND2015 (in thousands of dollars except per unit data)

2016 2015


Dividends $ 3,172 $ 3,666 Interest for distribution purposes 26 39 Derivative income (loss) 435 (1,358)Net realized gain (loss) on sale of investments 8,215 10,859 Foreign exchange gain (loss) on foreign

currency translation — (131)Net change in unrealized appreciation

(depreciation) of investments and derivatives 29,389 (16,871)41,237 (3,796)

Foreign exchange gain (loss) on cash (1) (26)TOTAL INCOME (NET) 41,236 (3,822)

EXPENSESCustodian and administration fees 153 175 Legal fees 28 35 Audit fees 10 10 Management fees 294 328 Trustee fees 5 5 Independent review committee fees 1 1 Transaction costs 399 428 Securityholder reporting costs 12 15 Foreign withholding taxes 9 1TOTAL EXPENSES 911 998Waived expenses (2) (2)NET EXPENSES 909 996



(Class D) $ 624 $ (186)(Class E) $ 23 $ (8)(Class F) $ 291 $ (27)(Class O) $ 38,041 $ (4,178)(Class P) $ 1,348 $ (419)


(Class D) 342 306(Class E) 9 7 (Class F) 122 117(Class O) 16,716 16,633(Class P) 507 614


(Class D) $ 1.82 $ (0.62)(Class E) $ 2.61 $ (1.12)(Class F) $ 2.38 $ (0.23)(Class O) $ 2.28 $ (0.25)(Class P) $ 2.66 $ (0.68)

* Based on the weighted average number of units outstanding during the period.

Canadian Small Company Equity Fund

SCSC (The accompanying notes are an integral part of these financial statements)

18


Statements of Changes in Net Assets Attributable to Holders of Redeemable UnitsFOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data)


NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 182,996 $ 205,336 $ 3,324 $ 2,902

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 40,327 (4,818) 624 (186)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (3,029) (1,485) — —Out of net realized capital gains (3,045) (8,183) (27) (169)

(6,074) (9,668) (27) (169)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 32,985 33,016 601 1,162 Payments on redemption of units (48,123) (50,529) (878) (554)Reinvestment of distributions 6,065 9,659 27 169

(9,073) (7,854) (250) 777CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 25,180 (22,340) 347 422NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class E Class F2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 112 $ 66 $ 1,306 $ 1,555

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 23 (8) 291 (27)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (1) — (10) —Out of net realized capital gains (2) (5) — (38)

(3) (5) (10) (38)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 94 82 448 384 Payments on redemption of units (38) (28) (567) (603)Reinvestment of distributions 2 5 9 35

58 59 (110) (184) CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 78 46 171 (249)NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 190 $ 112 $ 1,477 $ 1,306

(The accompanying notes are an integral part of these financial statements) SCSC

19



Class O Class P2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 38,041 (4,178) 1,348 (419)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (3,018) (1,485) — —Out of net realized capital gains (3,016) (7,628) — (343)

(6,034) (9,113) — (343)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 30,213 28,535 1,629 2,853 Payments on redemption of units (41,648) (44,066) (4,992) (5,278)Reinvestment of distributions 6,027 9,110 — 340

(5,408) (6,421) (3,363) (2,085) CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 26,599 (19,712) (2,015) (2,847)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Statements of Cash FlowsFOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) 2016 2015


Net realized (gain) loss on sale of investments (8,215) (10,859)Net change in unrealized (appreciation) depreciation of investments and derivatives (29,389) 16,871 Purchases of investments (125,835) (210,674)Proceeds from the sale of investments 135,118 225,893 Change in margin receivable on futures 159 (474)Change in dividends receivable (26) (47)Change in other assets 14 19 Change in other liabilities (2) (32)

12,151 15,879

CASH FLOWS USED IN FINANCING ACTIVITIESAmount received from the issuance of units (note 16) 19,898 30,615 Amount paid on redemptions of units (note 16) (34,984) (47,971)Distributions paid to unitholders (9) (9)

(15,095) (17,365)

Increase (decrease) in cash during the period (2,944) (1,486)Cash at beginning of period 3,657 5,143Cash at end of period 713 3,657



20

EQUITIES – 96.5%Canadian Equities – 95.9%Consumer Discretionary – 11.1%Aritzia Inc. 22,000 352,000 385,000DHX Media Ltd. 253,719 1,982,000 1,788,719Dirtt Environmental Solutions Ltd. 78,652 542,483 493,148EnerCare Inc. 57,967 923,137 1,034,131goeasy Ltd. 65,356 1,355,032 1,594,686Hardwoods Distribution Inc. 29,372 529,108 525,171Intertain Group Ltd. (The) 59,529 748,616 558,382Leon’s Furniture Ltd. 41,800 508,346 755,744Linamar Corp. 54,700 1,947,098 3,155,643Martinrea International Inc. 131,501 1,298,761 1,129,594Merus Labs International Inc. 489,700 841,918 568,052MTY Food Group Inc. 13,130 394,998 663,853Quebecor Inc., Class ‘B’ 60,400 1,005,533 2,254,128Sleep Country Canada Holdings Inc. 45,561 1,316,202 1,311,246Spin Master Corp. 31,170 720,318 1,003,362Uni-Select Inc. 134,729 2,167,499 3,973,158Yellow Pages Ltd. 112,737 2,108,265 1,994,318

18,741,314 23,188,335

Consumer Staples – 6.4%AGT Food and Ingredients Inc. 110,606 2,949,248 4,052,604Andrew Peller Ltd., Class ‘A’ 106,018 985,406 1,240,411Clearwater Seafoods Inc. 95,877 1,015,068 1,116,967Lassonde Industries Inc., Class ‘A’ 11,931 917,816 2,660,732Maple Leaf Foods Inc. 50,900 706,251 1,431,308Premium Brands Holdings Corp. 40,980 1,308,810 2,825,981

7,882,599 13,328,003

Energy – 19.6%Advantage Oil & Gas Ltd. 141,097 847,002 1,286,805Birchcliff Energy Ltd. 178,400 1,064,010 1,671,608Bonavista Energy Corp. 223,546 1,047,741 1,075,256Bonterra Energy Corp. 103,440 2,839,843 3,009,070Canadian Energy Services & Technology Corp. 61,826 310,691 473,587Cardinal Energy Ltd. 119,904 1,513,761 1,269,783Crew Energy Inc. 434,925 2,929,712 3,266,287Denison Mines Corp. 866,600 1,077,164 606,620Enerflex Ltd. 133,220 1,756,659 2,271,401Freehold Royalties Ltd. 135,516 1,555,873 1,920,262Kelt Exploration Ltd. 122,531 631,859 829,535Nuvista Energy Ltd. 187,700 1,212,965 1,302,638Painted Pony Petroleum Ltd., Class ‘A’ 269,064 2,097,937 2,480,770Paramount Resources Ltd., Class ‘A’ 142,400 1,929,566 2,573,168Parex Resources Inc. 177,295 1,234,523 2,996,285Parkland Fuel Corp. 43,509 771,463 1,223,908Parkland Fuel Corp., Subscription Receipts 5,154 126,273 126,273Penn West Petroleum Ltd. 356,076 798,186 843,900Secure Energy Services Inc. 146,005 1,544,084 1,709,718Spartan Energy Corp. 211,660 572,998 704,828Storm Resources Ltd. 322,803 1,509,838 1,710,856Tamarack Valley Energy Ltd. 625,326 2,393,006 2,163,628TORC Oil & Gas Ltd. 289,385 2,413,362 2,393,214Total Energy Services Inc. 55,000 821,915 801,900

TransGlobe Energy Corp. 229,536 1,152,129 521,047Trinidad Drilling Ltd. 248,676 526,596 830,578Whitecap Resources Inc. 59,827 555,562 727,496

35,234,718 40,790,421

Financials – 16.7%Alaris Royalty Corp. 24,472 615,799 586,104Altus Group Ltd. 110,528 2,398,842 3,421,947American Hotel Income Properties REIT L.P. 104,929 1,138,863 1,097,557Automotive Properties REIT 54,520 561,700 582,274Boardwalk REIT 37,426 1,793,084 1,820,775Callidus Capital Corp. 49,905 757,149 921,246Canadian Western Bank 42,700 1,147,509 1,295,518Chesswood Group Ltd. 88,446 1,047,781 1,056,930Colliers International Group Inc. 60,200 2,206,082 2,979,298Crown Capital Partners Inc. 38,473 423,203 372,803ECN Capital Corp. 379,210 1,166,243 1,251,393Element Fleet Management Corp. 163,864 1,940,385 2,041,746Equitable Group Inc. 57,600 2,268,258 3,482,496FirstService Corp. 74,413 2,292,352 4,743,085Gluskin Sheff + Associates Inc. 18,734 488,871 326,721Home Capital Group Inc. 69,524 1,914,207 2,178,882Industrial Alliance Insurance and

Financial Services Inc. 52,300 1,622,948 2,792,297Laurentian Bank of Canada 40,499 1,968,633 2,338,007Tricon Capital Group Inc. 146,955 1,129,232 1,390,194

26,881,141 34,679,273

Health Care – 1.6%Cipher Pharmaceuticals Inc. 130,856 1,400,982 641,194CRH Medical Corp. 223,354 944,754 1,601,448Knight Therapeutics Inc. 101,105 768,213 1,085,868

3,113,949 3,328,510

Industrials – 15.8%Aecon Group Inc. 86,643 1,117,240 1,321,306AG Growth International Inc. 43,407 1,484,359 2,279,736Badger Daylighting Ltd. 74,936 1,747,253 2,405,446Boyd Group Income Fund 35,152 1,740,437 3,007,605BuildDirect.com Technologies Inc. 170,900 598,150 598,150Cervus Equipment Corp. 19,100 211,427 302,735Exchange Income Corp. 28,858 666,877 1,204,821GDI Integrated Facility Services Inc. 44,200 553,702 693,940Héroux-Devtek Inc. 143,039 1,438,108 2,102,673New Flyer Industries Inc. 47,902 797,204 1,956,318Richelieu Hardware Ltd. 144,864 2,638,997 3,702,724Savaria Corp. 50,749 270,617 551,642Stantec Inc. 19,959 630,819 677,009Superior Plus Corp. 231,894 2,591,363 2,956,648TFI International Inc. 81,422 2,247,021 2,840,814Toromont Industries Ltd. 16,500 289,588 698,775Wajax Corp. 57,000 1,420,333 1,314,420WestJet Airlines Ltd. 126,100 2,304,059 2,905,344WSP Global Inc. 32,471 1,321,020 1,451,129

24,068,574 32,971,235


Shares $ $


Shares $ $




21

Information Technology – 5.7%Computer Modelling Group Ltd. 42,016 423,896 382,766Descartes Systems Group Inc. (The) 88,531 867,705 2,534,643Enghouse Systems Ltd. 26,162 1,412,656 1,463,502Evertz Technologies Ltd. 22,800 375,229 385,092Kinaxis Inc. 51,530 1,792,875 3,220,625Mediagrif Interactive Technologies Inc. 58,366 982,868 1,106,036Mitel Networks Corp. 90,120 772,069 821,894Opsens Inc. 600,083 541,058 972,134Solium Capital Inc. 113,564 802,519 958,480

7,970,875 11,845,172

Materials – 19.0%Alamos Gold Inc., Class ‘A’ 207,000 1,402,498 1,916,820Asanko Gold Inc. 132,400 668,087 545,488AuRico Metals Inc. 1 1 1B2Gold Corp. 223,248 492,797 712,161Canam Group Inc., Class ‘A’ 79,547 892,392 717,514Capstone Mining Corp. 501,414 501,713 631,782CCL Industries Inc., Class ‘B’ 13,950 679,839 3,680,010Chemtrade Logistics Income Fund 100,826 1,531,088 1,909,645Fortuna Silver Mines Inc. 396,211 2,627,405 3,007,242Guyana Goldfields Inc. 136,411 890,840 834,835Interfor Corp. 101,891 1,379,347 1,531,422Intertape Polymer Group Inc. 214,441 2,926,975 5,399,624Kirkland Lake Gold Ltd. 173,115 1,579,719 1,215,267Klondex Mines Ltd. 34,627 140,360 216,419Lundin Mining Corp. 202,800 1,081,914 1,297,920Major Drilling Group International Inc. 206,500 1,486,239 1,449,630

Nevsun Resource Ltd. 284,596 1,297,383 1,181,073Osisko Gold Royalties Ltd. 126,945 1,917,883 1,661,710Richmont Mines Inc. 61,783 523,533 538,748SEMAFO Inc. 173,179 743,090 765,451SHOP.CA Network Inc., Class ‘A’ 1,101,000 880,800 11,010Stella-Jones Inc. 76,481 2,401,699 3,333,042Supremex Inc. 112,512 612,814 562,560Tahoe Resources Inc. 88,464 967,912 1,119,070Torex Gold Resources Inc. 36,284 634,304 754,344Trevali Mining Corp. 629,725 581,465 711,589Western Forest Products Inc. 55,070 128,111 104,082Winpak Ltd. 82,815 1,410,869 3,761,457

30,381,077 39,569,916Total Canadian Equities 154,274,247 199,700,865

U.S. EQUITIES – 0.6%Currency Exchange International Corp. 41,457 1,153,626 1,250,908Total U.S. Equities 1,153,626 1,250,908Total Equities 155,427,873 200,951,773Total Short Term Notes – 2.8% 5,815,001 5,817,740Less: Transaction cost included in average cost (333,754) —Total Non-Derivative Financial Assets – 99.3% 160,909,120 206,769,513Derivative Assets and Liabilities (1) – 0.0% (170)Other Assets and Liabilities, Net – 0.7% 1,407,077Net Assets Attributable to Holders of Redeemable Units – 100.0% 208,176,420


Shares $ $


Shares $ $




Value Rate Date Cost Value $ % $ $

Government of Canada Treasury Bill 125,000 0.440 2017-04-06 124,851 124,856Government of Canada Treasury Bill 175,000 0.453 2017-03-23 174,806 174,822Government of Canada Treasury Bill 475,000 0.455 2017-01-26 474,518 474,846Government of Canada Treasury Bill 450,000 0.469 2017-03-23 449,429 449,528Government of Canada Treasury Bill 675,000 0.477 2017-04-06 674,048 674,155Government of Canada Treasury Bill 925,000 0.478 2017-03-09 923,909 924,179Government of Canada Treasury Bill 1,350,000 0.481 2017-02-23 1,348,380 1,349,042Government of Canada Treasury Bill 25,000 0.487 2017-02-23 24,967 24,982Government of Canada Treasury Bill 525,000 0.490 2017-02-23 524,318 524,621Government of Canada Treasury Bill 350,000 0.513 2017-03-23 349,136 349,598Government of Canada Treasury Bill 250,000 0.531 2017-02-23 249,350 249,804Government of Canada Treasury Bill 500,000 0.616 2017-11-16 497,290 497,307Total Short Term Notes 5,815,001 5,817,740


22





Unrealized AppreciationS&P/Toronto Stock Exchange 60 Index

expiration date March 2017 9 CAD 896.99 1,614,590 1,614,420 (170)Unrealized Appreciation (Depreciation) on Long Futures Contracts (170)



23


Investment ObjectiveThe fundamental investment objective of the Fund is to achieve capital appreciation through investment in a broadly diversified portfolio of Canadian equity securities of small and mid-level capitalization.



2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 23,030 20,688 — — 23,030 20,688 0.01% 0.01%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets would haveincreased or decreased, respectively, by approximately $1,152 (December 31, 2015 – $1,034). In practice, the actual trading results may differ from this sensitivity analysis and the difference could bematerial.



Credit Risk As at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no significant investments in debt instruments or derivatives.Credit ratings are obtained from Bloomberg general rates which are a blend of S&P Global Rating’s, Moody’s and/or Dominion Bond Rating Services.



Consumer Discretionary 11.1 11.2 Consumer Staples 6.4 7.5 Energy 19.6 10.9 Financial Services 16.7 16.6 Health Care 1.6 2.7 Industrials 15.8 16.2 Information Technology 5.7 8.6 Materials 19.0 20.4 U.S. Equities 0.6 0.4 Short Term Notes 2.8 2.8 Derivative Assets and Liabilities — 0.1 Other Assets and Liabilities, Net 0.7 2.6

100.0 100.0



24






Common shares $ 200,216,340 $ — $ 735,433 $ 200,951,773 Short term notes 5,817,740 — — 5,817,740 Derivative assets — — — —Derivative liabilities (170) — — (170)

2015

Common shares $ 171,405,338 $ 50,629 $ 1,478,950 $ 172,934,917Short term notes 5,169,378 — — 5,169,378Derivative assets 51,675 — — 51,675Derivative liabilities — — — —

During the years ended December 31, 2016 and 2015, no equity investments were transferred between Level 1 and Level 2.


2016 2015

Beginning Balance $ 1,478,950 $ 2,009,153 Purchases 126,273 —Sales — —Net transfers into and/or out of level 3 — —Realized gains/(losses) — —Change in unrealized appreciation/depreciation (869,790) (530,203)Ending Balance $ 735,433 $ 1,478,950 Total change in unrealized appreciation during the period for assets held $ (869,790) $ (530,203)


Net gains and lossesThe following table presents the net gains (losses) on financial instruments at FVTPL by category for the years ended December 31, 2016 and 2015.

(in thousands of dollars)


Financial instruments at FVTPL:Held for trading $ 383 $ (1,528)Designated at inception 40,854 (2,268)



25


2016 2015


Investments (non-derivative financial assets) $ 316,498 $ 316,675 Cash including foreign currency holdings 1,823 2,551Accrued dividends receivable 345 362Margin receivable on futures 223 224Receivable for portfolio securities sold — 95Prepaid expenses 11 38Derivative assets — 1


Accrued liabilities 100 34 Payable for portfolio securities purchased — 118 Payable for unit redemptions — 6,297 Derivative liabilities 2,063 2,477

2,163 8,926 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 316,737 $ 311,020


(Class D) $ — $ —(Class E) $ — $ —(Class F) $ 9 $ 8(Class F hedged) $ 426 $ 395(Class O) $ 213,204 $ 212,179(Class O hedged) $ 103,098 $ 98,438


(Class D) $ — $ —(Class E) $ — $ —(Class F) $ 16.03 $ 15.50(Class F hedged) $ 12.24 $ 11.54(Class O) $ 19.27 $ 18.57(Class O hedged) $ 12.34 $ 11.56



2016 2015


Dividends $ 7,097 $ 6,724 Derivative income (loss) 2,011 (22,524)Net realized gain (loss) on sale of investments 11,291 14,690 Foreign exchange gain (loss) on foreign

currency translation 18 1,068 Net change in unrealized appreciation

(depreciation) on foreign exchange (16) 34 Net change in unrealized appreciation

(depreciation) of investments and derivatives 6,257 31,846 26,658 31,838

Foreign exchange gain (loss) on cash (99) (2) TOTAL INCOME (NET) 26,559 31,836

EXPENSESCustodian and administration fees 354 276 Legal fees 40 41 Audit fees 16 13 Interest expense — 4 Management fees 2 2 Trustee fees 11 9 Independent Review Committee fees 1 1 Transaction costs 9 12 Securityholder reporting costs 21 19 Foreign withholding taxes 950 882 TOTAL EXPENSES 1,404 1,259Waived expenses (1) (1)NET EXPENSES 1,403 1,258

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 25,156 $ 30,578


(Class D) $ — $ —(Class E) $ — $ —(Class F) $ 1 $ 1(Class F hedged) $ 40 $ 4(Class O) $ 14,705 $ 30,449(Class O hedged) $ 10,410 $ 124


(Class D) — —(Class E) — —(Class F) 1 1(Class F hedged) 34 32(Class O) 11,027 8,516(Class O hedged) 8,469 10,737


(Class D) $ — $ —(Class E) $ — $ —(Class F) $ 1.10 $ 2.70(Class F hedged) $ 1.17 $ 0.14(Class O) $ 1.33 $ 3.57(Class O hedged) $ 1.23 $ 0.01


U.S. Large Cap Index Fund

SLCI (The accompanying notes are an integral part of these financial statements)

26




NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 311,020 $ 227,826 $ — $ —

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 25,156 30,578 — —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net realized capital gains (11,293) — — —

(11,293) — — —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 29,083 106,909 — —Payments on redemption of units (48,522) (54,293) — —Reinvestment of distributions 11,293 — — —

(8,146) 52,616 — —CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 5,717 83,194 — — NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 316,737 $ 311,020 $ — $ —

Class E Class F2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ — $ — $ 8 $ 7

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — — 1 1

CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — — 1 1

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT END OF PERIOD $ — $ — $ 9 $ 8

(The accompanying notes are an integral part of these financial statements) SLCI

27


Class F hedged Class O2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 40 4 14,705 30,449

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net realized capital gains (15) — (7,535) —

(15) — (7,535) —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 14 75 17,392 105,180 Payments on redemption of units (23) (18) (31,072) (13,956)Reinvestment of distributions 15 — 7,535 —


HOLDERS OF REDEEMABLE UNITS 31 61 1,025 121,673NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class O hedged2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 98,438 $ 136,979

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 10,410 124

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net realized capital gains (3,743) —

(3,743) —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 11,677 1,654 Payments on redemption of units (17,427) (40,319)Reinvestment of distributions 3,743 —

(2,007) (38,665)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 4,660 (38,541) NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 103,098 $ 98,438



28




CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 25,156 $ 30,578Adjustments for:

Foreign exchange (gain) loss on cash (4) 1 Net realized (gain) loss on sale of investments (11,291) (14,690)Net change in unrealized (appreciation) depreciation of investments and derivatives (6,257) (31,846)Purchases of investments (42,536) (122,434)Proceeds from the sale of investments 59,825 81,194 Change in margin receivable on futures 1 (173)Change in dividends receivable 17 (113)Change in other assets 27 40 Change in other liabilities 66 (17)

25,004 (57,460)

CASH FLOWS USED IN FINANCING ACTIVITIESAmount received from the issuance of units (note 16) 17,812 106,908 Amount paid on redemptions of units (note 16) (43,548) (48,250)

(25,736) 58,658

Increase (decrease) in cash during the period (732) 1,198Foreign exchange gain (loss) on cash 4 (1)Cash at beginning of period 2,551 1,354Cash at end of period 1,823 2,551

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESDividends received, net of withholding taxes 6,164 5,729

29

EQUITIES – 99.9%U.S. Equities – 96.2%Consumer Discretionary – 11.7%Advance Auto Parts Inc. 907 192,812 205,706Amazon.com Inc. 4,832 2,476,079 4,859,123AutoNation Inc. 800 51,153 52,194AutoZone Inc. 356 232,754 377,057Bed Bath & Beyond Inc. 1,894 150,341 103,223Best Buy Co. Inc. 3,399 133,816 194,500BorgWarner Inc. 2,528 142,135 133,708CarMax Inc. 2,281 145,451 196,965Carnival Corp. 5,283 266,862 368,833CBS Corp., Class ‘B’ 4,965 303,021 423,602Charter Communications Inc. 2,632 942,655 1,016,255Chipotle Mexican Grill Inc., Class ‘A’ 344 222,770 174,066Coach Inc. 3,450 168,304 162,024Comcast Corp., Class ‘A’ 29,187 1,858,298 2,702,702D.R. Horton Inc. 4,100 123,502 150,269Darden Restaurants Inc. 1,559 109,281 152,035Discovery Communications Inc., Series ‘A’ 1,784 105,555 65,577Discovery Communications Inc., Series ‘C’ 2,784 109,802 99,983Dollar General Corp. 3,175 247,676 315,378Dollar Tree Inc. 2,870 237,617 297,051Expedia Inc. 1,469 176,132 223,162Foot Locker Inc. 1,600 133,855 152,107Ford Motor Co. 47,196 848,872 767,734Gap Inc. (The) 2,643 121,105 79,536General Motors Co. 17,219 683,454 804,509Genuine Parts Co. 1,764 189,851 226,011Goodyear Tire & Rubber Co. (The) 3,200 92,826 132,474H&R Block Inc. 2,712 100,197 83,613Hanesbrands Inc. 4,600 191,321 133,062Harley-Davidson Inc. 2,136 150,789 167,114Harman International Industries Inc. 845 93,012 125,965Hasbro Inc. 1,400 102,848 146,048Home Depot Inc. 14,954 1,806,859 2,688,849Interpublic Group of Cos. Inc. 4,905 107,234 153,987Kohl’s Corp. 2,135 132,719 141,382Leggett & Platt Inc. 1,600 69,655 104,881Lennar Corp., Class ‘A’ 2,300 116,065 132,414LKQ Corp. 3,800 157,204 156,192Lowe’s Cos. Inc. 10,843 778,000 1,034,156Macy’s Inc. 3,725 244,929 178,886Marriott International Inc., Class ‘A’ 3,902 324,415 432,646Mattel Inc. 4,221 167,752 155,949McDonald’s Corp. 10,124 1,191,924 1,652,567Mohawk Industries Inc. 750 138,403 200,836Netflix Inc. 5,181 437,109 860,160Newell Brands Inc. 5,824 281,541 348,729News Corp., Class ‘A’ 4,495 77,402 69,081News Corp., Class ‘B’ 1,406 26,670 22,249Nike Inc., Class ‘B’ 16,668 930,731 1,136,184Nordstrom Inc. 1,445 114,503 92,879Omnicom Group Inc. 2,886 239,648 329,399O’Reilly Automotive Inc. 1,155 270,094 431,233

Priceline Group Inc. (The) 600 799,863 1,179,636PulteGroup Inc. 3,700 87,102 91,199PVH Corp. 982 138,797 118,838Ralph Lauren Corp. 692 116,334 83,817Ross Stores Inc. 4,800 243,843 422,270Scripps Networks Interactive Inc. 1,196 97,514 114,470Signet Jewelers Ltd. 900 149,669 113,767Staples Inc. 8,070 133,167 97,941Starbucks Corp. 17,786 948,876 1,324,258Target Corp. 7,096 618,253 687,347TEGNA Inc. 2,500 78,964 71,713Tiffany & Co. 1,316 138,029 136,650Time Warner Inc. 9,455 806,099 1,223,964TJX Cos. Inc. 7,981 607,908 804,110Tractor Supply Co. 1,576 148,795 160,224TripAdvisor Inc. 1,429 119,958 88,862Twenty-First Century Fox Inc., Class ‘A’ 12,915 476,811 485,643Twenty-First Century Fox Inc., Class ‘B’ 6,000 221,993 219,262Ulta Salon, Cosmetics & Fragrance Inc. 721 192,926 246,501Under Armour Inc., Class ‘A’ 2,200 182,104 85,706Under Armour Inc., Class ‘C’ 2,316 6,705 78,175Urban Outfitters Inc. 1,169 47,992 44,648V.F. Corp. 4,006 302,578 286,609Viacom Inc., Class ‘B’ 4,197 305,343 197,556Walt Disney Co. (The) 18,093 1,901,738 2,528,754Whirlpool Corp. 895 170,073 218,168Wyndham Worldwide Corp. 1,355 117,877 138,774Wynn Resorts Ltd. 979 146,636 113,578Yum! Brands Inc. 4,195 375,376 356,276

28,398,326 37,132,961

Consumer Staples – 9.5%Altria Group Inc. 23,995 1,393,919 2,175,910Archer-Daniels-Midland Co. 7,030 364,820 430,369Brown-Forman Corp., Class ‘B’ 2,236 113,456 134,697Campbell Soup Co. 2,382 134,882 193,164Church & Dwight Co. Inc. 3,100 183,396 183,709Clorox Co. 1,556 187,412 250,443Coca-Cola Co. (The) 47,535 2,324,964 2,642,943Colgate-Palmolive Co. 10,821 823,707 949,633Conagra Brands Inc. 5,108 228,038 270,921Constellation Brands Inc., Class ‘A’ 2,154 263,150 442,855Costco Wholesale Corp. 5,296 843,172 1,137,133Coty Inc., Class ‘A’ 5,615 153,193 137,874CVS Health Corp. 13,081 1,316,923 1,384,261Dr. Pepper Snapple Group Inc. 2,394 202,356 291,094Estée Lauder Cos. Inc., Class ‘A’ 2,626 235,187 269,367General Mills Inc. 7,211 460,542 597,335Hershey Co. (The) 1,859 210,799 257,852Hormel Foods Corp. 3,272 101,539 152,743J.M. Smucker Co. (The) 1,399 193,836 240,257Kellogg Co. 3,092 242,113 305,640Kimberly-Clark Corp. 4,370 559,862 668,788Kraft Heinz Co. (The) 7,235 611,958 847,222Kroger Co. (The) 11,499 391,049 532,169


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30

L Brands Inc. 2,905 252,114 256,496McCormick & Co. Inc. 1,553 148,393 194,374Mead Johnson Nutrition Co., Class ‘A’ 2,258 227,246 214,268Molson Coors Brewing Co., Class ‘B’ 2,372 217,913 309,540Mondelez International Inc., Class ‘A’ 19,175 849,846 1,139,930Monster Beverage Corp. 4,958 234,815 294,813PepsiCo Inc. 17,616 1,923,288 2,471,772Philip Morris International Inc. 18,973 1,933,613 2,327,848Procter & Gamble Co. (The) 32,689 3,170,241 3,685,864Reynolds American Inc. 10,007 440,142 752,050Sysco Corp. 6,197 285,353 460,152Tyson Foods Inc., Class ‘A’ 3,595 172,932 297,364Walgreens Boots Alliance Inc. 10,496 885,767 1,164,902Wal-Mart Stores Inc. 18,386 1,612,909 1,704,260Whole Foods Market Inc. 3,949 204,307 162,899

24,099,152 29,932,911

Energy – 7.5%Anadarko Petroleum Corp. 6,812 627,990 637,000Apache Corp. 4,627 353,000 393,834Baker Hughes Inc. 5,219 340,382 454,721Cabot Oil & Gas Corp. 5,775 196,833 180,913Chesapeake Energy Corp. 9,188 159,584 86,497Chevron Corp. 23,136 2,897,470 3,651,823Cimarex Energy Co. 1,141 166,903 207,946Concho Resources Inc. 1,731 230,199 307,812ConocoPhillips 15,013 1,061,009 1,009,478Devon Energy Corp. 6,312 347,868 386,583EOG Resources Inc. 7,066 714,171 958,009EQT Corp. 2,061 197,438 180,759Exxon Mobil Corp. 50,805 5,255,997 6,149,598FMC Technologies Inc. 2,672 147,247 127,314Halliburton Co. 10,661 551,567 773,321Helmerich & Payne Inc. 1,305 106,025 135,456Hess Corp. 3,275 254,843 273,574Kinder Morgan Inc. 23,150 984,238 642,948Marathon Oil Corp. 10,385 294,747 241,073Marathon Petroleum Corp. 6,432 321,251 434,301Murphy Oil Corp. 1,978 110,816 82,575National-Oilwell Varco Inc. 4,609 305,908 231,413Newfield Exploration Co. 2,396 88,648 130,133Noble Energy Inc. 5,264 301,015 268,677Occidental Petroleum Corp. 9,503 906,980 907,755ONEOK Inc. 2,551 131,111 196,401Phillips 66 5,373 460,359 622,624Pioneer Natural Resources Co. 2,062 367,122 497,938Range Resources Corp. 2,349 158,417 108,238Schlumberger Ltd. 17,027 1,647,473 1,916,919Southwestern Energy Co. 6,078 188,937 88,193Spectra Energy Corp. 8,510 346,803 468,933Tesoro Corp. 1,452 127,891 170,283Valero Energy Corp. 5,610 329,224 513,991Williams Cos. Inc. (The) 8,298 423,959 346,527

21,103,425 23,783,560

Financials – 17.0%Affiliated Managers Group Inc. 629 145,765 122,563Aflac Inc. 4,994 350,690 466,125Allstate Corp. (The) 4,513 318,915 448,586American Express Co. 9,404 899,539 934,240American International Group Inc. 11,986 776,265 1,049,782American Tower Corp. 5,140 554,994 728,452Ameriprise Financial Inc. 1,966 260,722 292,494Apartment Investment & Management Co., Class ‘A’ 1,900 77,482 115,806Arthur J. Gallagher & Co. 2,200 138,502 153,298Assurant Inc. 700 52,173 87,171Avalonbay Communities Inc. 1,671 315,701 396,974Bank of America Corp. 123,728 2,352,980 3,666,952Bank of New York Mellon Corp. (The) 13,306 595,542 845,449BB&T Corp. 9,839 432,007 620,410Berkshire Hathaway Inc., Class ‘B’ 23,262 3,751,480 5,084,243BlackRock Inc. 1,482 543,905 756,299Boston Properties Inc. 2,013 288,635 339,547Capital One Financial Corp. 5,942 536,582 695,174CBRE Group Inc., Class ‘A’ 3,632 125,560 153,378Charles Schwab Corp. (The) 14,935 497,691 790,528Cincinnati Financial Corp. 1,770 109,357 179,805Citigroup Inc. 34,926 2,175,423 2,783,553Citizens Financial Group Inc. 6,300 191,080 301,024CME Group Inc. 4,118 427,941 637,014Comerica Inc. 2,111 112,296 192,816Crown Castle International Corp. 4,381 418,561 509,786Digital Realty Trust Inc. 1,909 234,643 251,552Discover Financial Services 4,871 322,612 470,910E*TRADE Financial Corp. 3,290 76,710 152,878Equinix Inc. 865 302,237 414,599Equity Residential 4,425 352,450 381,922Essex Property Trust Inc. 806 185,555 251,306Extra Space Storage Inc. 1,500 185,838 155,374Federal Realty Investment Trust 837 177,247 159,513Fifth Third Bancorp 9,380 219,489 339,257Franklin Resources Inc. 4,257 241,571 225,956General Growth Properties Inc. 7,100 209,226 237,846Goldman Sachs Group Inc. (The) 4,561 991,143 1,464,603Hartford Financial Services Group Inc. (The) 4,742 218,210 303,019HCP Inc. 5,713 276,713 227,697Host Hotels & Resorts Inc. 9,177 211,054 231,860Huntington Bancshares Inc. 13,284 155,772 235,508Intercontinental Exchange Inc. 7,235 383,027 547,415Invesco Ltd. 5,045 208,042 205,268Iron Mountain Inc. 2,994 117,531 130,411JPMorgan Chase & Co. 44,029 3,198,139 5,095,001KeyCorp 13,201 202,593 323,437Kimco Realty Corp. 5,172 142,773 174,507Leucadia National Corp. 3,863 105,792 120,446Lincoln National Corp. 2,827 164,661 251,239Loews Corp. 3,343 162,046 209,945M&T Bank Corp. 1,926 286,134 404,037Macerich Co. (The) 1,495 126,979 142,025Marsh & McLennan Cos. Inc. 6,245 384,524 566,057


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MetLife Inc. 13,543 823,953 978,742Mid-America Apartment Communities Inc. 1,400 166,168 183,842Moody’s Corp. 1,994 206,057 252,083Morgan Stanley 17,653 693,099 1,000,208Nasdaq Inc. 1,400 74,652 126,016Navient Corp. 3,828 75,009 84,344Northern Trust Corp. 2,578 201,177 307,866People’s United Financial Inc. 3,817 67,351 99,100PNC Financial Services Group Inc. 5,939 607,213 931,527Principal Financial Group Inc. 3,243 179,407 251,635Progressive Corp. (The) 7,044 235,946 335,346Prologis Inc. 6,431 306,345 455,276Prudential Financial Inc. 5,447 537,915 760,127Public Storage Inc. 1,813 395,441 543,401Realty Income Corp. 3,100 199,713 238,959Regions Financial Corp. 15,266 178,961 293,985S&P Global Inc. 3,209 321,854 462,791Simon Property Group Inc. 3,816 799,325 909,217SL Green Realty Corp. 1,202 187,275 173,364State Street Corp. 4,450 376,839 463,807SunTrust Banks Inc. 6,123 281,243 450,387Synchrony Financial 9,592 390,770 466,554T. Rowe Price Group Inc. 2,990 273,694 301,773Torchmark Corp. 1,379 89,198 136,405Travelers Cos. Inc. (The) 3,504 393,502 575,256U.S. Bancorp 19,830 988,669 1,366,084UDR Inc. 3,300 153,357 161,441Unum Group 2,875 112,059 169,373Ventas Inc. 4,271 331,569 358,091Vornado Realty Trust 2,093 238,763 292,948Wells Fargo & Co. 55,487 3,317,658 4,100,781Welltower Inc. 4,371 350,660 392,326Western Union Co. 5,820 120,739 169,523Zions Bancorp 2,488 85,689 143,604

40,053,769 53,961,239

Health Care – 12.2%Abbott Laboratories 18,052 885,621 929,854AbbVie Inc. 19,941 1,399,555 1,674,576Aetna Inc. 4,261 461,849 708,620Agilent Technologies Inc. 4,012 202,584 245,126Alexion Pharmaceuticals Inc. 2,727 520,495 447,439AmerisourceBergen Corp. 2,052 199,510 215,166Amgen Inc. 9,054 1,510,267 1,775,262Anthem Inc. 3,198 456,356 616,583Baxter International Inc. 5,995 273,551 356,476Becton, Dickinson & Co. 2,588 403,017 574,564Biogen Inc. 2,649 917,535 1,007,401Boston Scientific Corp. 16,587 268,283 481,138Bristol-Myers Squibb Co. 20,589 1,358,473 1,613,580C.R. Bard Inc. 904 171,750 272,357Cardinal Health Inc. 3,847 326,549 371,295Celgene Corp. 9,500 1,132,836 1,474,652Centene Corp. 2,100 172,520 159,144

Cerner Corp. 3,632 248,841 230,725Cigna Corp. 3,118 405,179 557,756Cooper Cos. Inc. (The) 570 136,948 133,716DaVita Inc. 1,969 164,952 169,522Dentsply Sirona Inc. 2,839 193,623 219,792Edwards Lifesciences Corp. 2,600 198,238 326,707Eli Lilly and Co. 12,002 974,442 1,183,808Envision Healthcare Corp. 1,377 124,362 116,873Express Scripts Holding Co. 7,598 688,481 700,922Gilead Sciences Inc. 16,242 1,688,011 1,559,761HCA Holdings Inc. 3,600 354,966 357,352Henry Schein Inc. 967 172,548 196,737Hologic Inc. 3,400 156,603 182,930Humana Inc. 1,812 296,040 495,789Illumina Inc. 1,802 411,858 309,418Intuitive Surgical Inc. 468 257,570 398,012Johnson & Johnson 33,423 3,918,415 5,163,933Laboratory Corp. of America Holdings 1,228 166,761 211,417McKesson Corp. 2,744 587,042 516,834Merck & Co. Inc. 33,789 2,194,872 2,667,561Mettler-Toledo International Inc. 316 164,932 177,374Patterson Cos. Inc. 1,000 51,419 55,023PerkinElmer Inc. 1,340 66,919 93,714Pfizer Inc. 74,231 2,734,125 3,233,302Quest Diagnostics Inc. 1,668 129,363 205,569Regeneron Pharmaceuticals Inc. 918 415,671 451,919St. Jude Medical Inc. 3,420 258,184 367,783Stryker Corp. 3,776 408,363 606,694Thermo Fisher Scientific Inc. 4,788 662,421 905,996UnitedHealth Group Inc. 11,726 1,399,433 2,516,653Universal Health Services Inc., Class ‘B’ 1,080 156,214 154,074Varian Medical Systems Inc. 1,161 110,209 139,784Vertex Pharmaceuticals Inc. 3,012 368,010 297,571Waters Corp. 953 129,041 171,753Zimmer Biomet Holdings Inc. 2,435 288,700 336,995Zoetis Inc. 6,047 293,914 434,092

31,637,421 38,771,094

Industrials – 9.9%3M Co. 7,412 1,257,673 1,774,961Acuity Brands Inc. 616 191,379 190,710Alaska Air Group Inc. 1,500 129,246 178,487American Airlines Group Inc. 6,433 416,546 402,794Ametek Inc. 2,800 163,676 182,490Arconic Inc. 5,374 217,473 133,614Boeing Co. (The) 7,017 1,037,978 1,464,972C.H. Robinson Worldwide Inc. 1,729 138,792 169,866Caterpillar Inc. 7,063 725,832 878,418Cintas Corp. 1,023 92,070 158,536CSX Corp. 11,540 399,289 556,043Cummins Inc. 1,888 289,814 346,035Danaher Corp. 7,377 551,985 770,065Deere & Co. 3,517 354,638 485,985Delta Air Lines Inc. 9,088 412,576 599,501


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Dover Corp. 1,921 156,959 193,032Dun & Bradstreet Corp. (The) 428 57,383 69,634Emerson Electric Co. 7,841 522,819 586,221Equifax Inc. 1,433 137,498 227,206Expeditors International of Washington Inc. 2,252 117,788 159,942Fastenal Co. 3,497 182,173 220,320FedEx Corp. 2,967 513,474 740,870Flowserve Corp. 1,605 102,135 103,422Fluor Corp. 1,647 110,893 116,001Fortive Corp. 3,688 183,606 265,243Fortune Brands Home & Security Inc. 1,900 137,690 136,216General Dynamics Corp. 3,485 511,453 806,937General Electric Co. 108,289 3,279,789 4,588,982Honeywell International Inc. 9,340 1,064,985 1,451,068Illinois Tool Works Inc. 3,882 398,190 637,521J.B. Hunt Transport Services Inc. 1,100 114,354 143,193Jacobs Engineering Group Inc. 1,467 82,392 112,137Kansas City Southern Industries Inc. 1,270 156,549 144,511L-3 Communications Holdings Inc. 952 121,610 194,196Lockheed Martin Corp. 3,052 646,021 1,022,976Masco Corp. 4,103 107,128 173,984Norfolk Southern Corp. 3,569 375,854 517,245Northrop Grumman Corp. 2,169 354,871 676,514Paccar Inc. 4,228 305,804 362,310Parker Hannifin Corp. 1,646 221,380 309,032Pitney Bowes Inc. 2,200 49,561 44,815Quanta Services Inc. 1,790 57,711 83,657Raytheon Co. 3,585 412,578 682,688Republic Services Inc. 2,788 127,915 213,301Robert Half International Inc. 1,600 86,244 104,666Rockwell Automation Inc. 1,557 203,923 280,629Rockwell Collins Inc. 1,555 143,583 193,436Roper Industries Inc. 1,246 228,527 305,917Ryder System Inc. 638 60,235 63,690Snap-On Inc. 782 127,928 179,611Southwest Airlines Inc. 7,781 295,034 520,066Stanley Black & Decker Inc. 1,971 230,076 303,150Stericycle Inc. 1,021 157,737 105,484Textron Inc. 3,251 135,574 211,710TransDigm Group Inc. 617 214,008 205,996Union Pacific Corp. 10,274 1,141,539 1,428,498United Continental Holdings Inc. 3,600 276,855 351,849United Parcel Service Inc., Class ‘B’ 8,360 976,856 1,285,249United Rentals Inc. 1,200 144,129 169,906United Technologies Corp. 9,414 1,134,373 1,383,914Verisk Analytics Inc., Class ‘A’ 1,900 200,526 206,821W.W. Grainger Inc. 664 190,033 206,809Waste Management Inc. 4,900 279,390 465,960Xylem Inc. 2,200 88,782 146,099

23,304,882 31,395,111

Information Technology – 18.6%Activision Blizzard Inc. 8,300 366,326 401,930Adobe Systems Inc. 6,221 533,653 858,878Akamai Technologies Inc. 2,137 152,654 191,093

Alliance Data Systems Corp. 694 212,260 212,662Alphabet Inc., Class ‘A’ 3,627 3,016,986 3,854,468Amphenol Corp., Class ‘A’ 3,752 222,313 338,125Analog Devices Inc. 3,749 237,837 365,104Apple Inc. 65,248 7,484,057 10,134,346Applied Materials Inc. 13,158 307,615 569,421Autodesk Inc. 2,317 134,192 229,965Automatic Data Processing Inc. 5,550 522,365 764,974CA Inc. 3,838 133,210 163,519Cisco Systems Inc. 61,574 1,932,097 2,495,381Citrix Systems Inc. 2,027 170,542 242,772Cognizant Technology Solutions Corp., Class ‘A’ 7,382 446,273 554,676Corning Inc. 11,624 250,076 378,330CSRA Inc. 1,755 69,467 74,937eBay Inc. 12,759 342,262 508,010Electronic Arts Inc. 3,634 205,022 383,827F5 Network Inc. 792 108,010 153,709Facebook Inc., Class ‘A’ 28,677 2,874,354 4,424,511Fidelity National Information Services Inc. 3,990 293,642 404,734First Solar Inc. 900 55,614 38,731Fiserv Inc. 2,675 216,883 381,259Flir Systems Inc. 1,600 54,970 77,652Global Payments Inc. 1,818 168,341 169,224Harris Corp. 1,491 132,445 204,889Hewlett Packard Enterprise Co. 20,079 407,694 623,089HP Inc. 20,779 728,199 413,527Intel Corp. 58,106 2,091,966 2,826,269International Business Machines Corp. 10,602 2,084,772 2,360,015Intuit Inc. 2,980 293,136 458,019Juniper Networks Inc. 4,663 130,585 176,719KLA-Tencor Corp. 1,867 135,902 196,994Lam Research Corp. 2,081 184,098 295,063Linear Technology Corp. 2,940 148,933 245,827MasterCard Inc., Class ‘A’ 11,800 1,150,907 1,633,868Microchip Technology Inc. 2,585 138,459 222,383Micron Technology Inc. 12,622 326,209 371,034Microsoft Corp. 95,259 5,012,880 7,938,204Motorola Solutions Inc. 2,005 157,189 222,875NetApp Inc. 3,443 152,473 162,850NVIDIA Corp. 6,664 221,157 953,909Oracle Corp. 36,766 1,632,760 1,895,779Paychex Inc. 3,883 202,981 317,020PayPal Holdings Inc. 13,668 601,444 723,464Qorvo Inc. 1,600 148,341 113,142QUALCOMM Inc. 18,074 1,370,770 1,580,327Red Hat Inc. 2,234 165,606 208,815salesforce.com inc. 7,798 552,791 715,921Skyworks Solutions Inc. 2,262 262,232 226,478Symantec Corp. 7,479 204,175 239,610Teradata Corp. 1,550 79,647 56,476Texas Instruments Inc. 12,408 724,105 1,214,202Total System Service Inc. 2,000 81,574 131,503VeriSign Inc. 1,158 83,081 118,132Visa Inc., Class ‘A’ 23,111 1,720,235 2,418,074Western Digital Corp. 3,467 307,450 315,928


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Xerox Corp. 10,555 137,677 123,571Xilinx Inc. 3,059 159,541 247,654Yahoo! Inc. 10,609 453,101 550,166

42,895,536 58,874,034

Materials – 2.8%Air Products and Chemicals Inc. 2,633 417,619 507,826Albemarle Corp. 1,400 145,707 161,613Avery Dennison Corp. 1,100 73,329 103,585Ball Corp. 2,154 163,682 216,849CF Industries Holdings Inc. 2,900 160,049 122,427Dow Chemical Co. (The) 13,664 721,424 1,048,505E.I. du Pont de Nemours & Co. 10,580 731,665 1,041,422Eastman Chemical Co. 1,792 157,960 180,742Ecolab Inc. 3,191 393,317 501,618FMC Corp. 1,657 108,367 125,683Freeport-McMoRan Inc., Class ‘B’ 14,832 356,741 262,355International Flavors and Fragrances Inc. 936 107,282 147,903International Paper Co. 5,041 283,659 358,698Martin Marietta Materials Inc. 781 127,763 232,022Monsanto Co. 5,486 693,217 774,030Mosaic Co. (The) 4,350 225,394 171,098Newmont Mining Corp. 6,429 169,546 293,738Nucor Corp. 3,818 215,885 304,750PPG Industries Inc. 3,243 373,993 412,114Praxair Inc. 3,467 481,178 544,866Sealed Air Corp. 2,400 112,409 145,928Sherwin-Williams Co. 976 261,055 351,744Vulcan Materials Co. 1,601 142,839 268,700WestRock Co. 3,109 203,014 211,677Weyerhaeuser Co. 9,157 317,382 369,505

7,144,476 8,859,398

Telecommunication Services – 3.8%Alphabet Inc., Class ‘C’ 3,636 1,970,752 3,763,439AT&T Inc. 75,227 3,143,120 4,290,561CenturyLink Inc. 6,639 260,787 211,719Frontier Communications Corp. 13,700 83,964 62,099Level 3 Communications Inc. 3,500 201,188 264,535Verizon Communications Inc. 49,891 2,858,504 3,571,460

8,518,315 12,163,813

Utilities – 3.2%AES Corp. (The) 8,152 122,395 127,033Alliant Energy Corp. 2,700 139,216 137,193Ameren Corp. 2,905 135,375 204,371American Electric Power Co. Inc. 6,241 404,477 526,943American Water Works Co. Inc. 2,100 191,472 203,781CenterPoint Energy Inc. 5,221 136,880 172,520CMS Energy Corp. 3,364 122,883 187,760Consolidated Edison Inc. 3,670 274,098 362,627Dominion Resources Inc. 7,563 618,825 776,803DTE Energy Co. 2,325 221,254 307,148Duke Energy Corp. 8,350 730,261 869,171Edison International 3,978 272,774 384,045

Entergy Corp. 2,155 188,369 212,326Eversource Energy 3,818 216,522 282,785Exelon Corp. 11,239 434,014 534,907FirstEnergy Corp. 5,252 218,629 218,128NextEra Energy Inc. 5,645 666,638 904,339NiSource Inc. 3,995 140,040 118,615NRG Energy Inc. 3,667 109,469 60,290PG&E Corp. 6,057 352,573 493,619Pinnacle West Capital Corp. 1,324 95,214 138,546PPL Corp. 8,209 315,714 374,846Public Services Enterprise Group Inc. 6,190 281,736 364,252SCANA Corp. 1,725 112,749 169,520Sempra Energy 3,164 374,598 427,024Southern Co. 11,809 646,693 778,995WEC Energy Group Inc. 3,824 217,645 300,768Xcel Energy Inc. 6,230 243,333 340,038

7,983,846 9,978,393Total U.S. Equities 235,139,148 304,852,514

Foreign Equities – 3.7%Accenture PLC, Class ‘A’ 7,528 787,653 1,182,477Allegion PLC 1,188 78,885 101,963Allergan PLC 4,597 1,482,421 1,294,671Aon PLC 3,229 333,240 482,953Broadcom Ltd. 4,870 820,721 1,154,470Chubb Ltd. 5,722 783,806 1,013,821Delphi Automotive PLC 3,321 264,306 299,952Eaton Corp. PLC 5,543 427,616 498,709Endo International PLC 2,420 240,940 53,451Garmin Ltd. 1,409 70,849 91,624Ingersoll-Rand PLC 3,127 218,951 314,677Johnson Controls International PLC 11,417 635,209 630,650LyondellBasell Industries NV, Class ‘A’ 4,165 398,550 479,122Mallinckrodt PLC 1,260 127,825 84,182Medtronic PLC 17,024 1,611,620 1,626,183Michael Kors Holdings Ltd. 2,100 164,519 121,040Mylan NV 5,620 319,078 287,525Nielsen Holdings PLC 4,070 207,627 228,966Pentair PLC 2,040 143,538 153,393Perrigo Co. PLC 1,720 329,230 191,979Royal Caribbean Cruises Ltd. 2,000 193,828 220,039Seagate Technology 3,649 229,534 186,785TE Connectivity Ltd. 4,326 298,130 401,920Transocean Ltd. 4,831 148,432 95,495Willis Towers Watson PLC 1,721 294,379 282,216XL Group Ltd. 3,337 128,837 166,742Total Foreign Equities 10,739,724 11,645,005Total Equities 245,878,872 316,497,519Less: Transaction cost included in average cost (12,242) —Total Non-Derivative Financial Assets – 99.9% 245,866,630 316,497,519Derivative Assets and Liabilities (1) – (0.6%) (2,062,515)Other Assets and Liabilities, Net – 0.7% 2,302,329Net Assets Attributable to Holders of Redeemable Units – 100.0% 316,737,333


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(1) DERIVATIVE ASSETS AND LIABILITIES

SCHEDULE OF LONG FUTURES CONTRACTSUnrealized

Number Average Cost Contracted Current Appreciationof per Contract Value Value (Depreciation)

Contracts $ $ $ $

Unrealized DepreciationUnited States S&P 500 E-Mini Index

expiration date March 2017 19 USD 2,250.40 2,867,004 2,848,977 (18,027)Unrealized Appreciation (Depreciation) on Long Futures Contracts (18,027)

SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

Credit UnrealizedRating of Settlement Amount Amount Forward Current Appreciation

Counterparty1 Date Sold Bought Rate Rate (Depreciation)Counterparty $ $ $

Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 327,134 CAD 430,216 0.760 0.746 (8,437)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 78,946,688 CAD 103,823,326 0.760 0.746 (2,036,051)

(2,044,488)

1Commercial Paper rating per S&P Global Rating’s Commercial Paper Guide.


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Investment ObjectiveTo achieve a return that is similar to the performance of the S&P 500 Index.

Currency RiskThe tables below indicate the currencies to which the Fund had exposure as at December 31, 2016 and 2015, on both its trading monetary and non-monetary assets and liabilities.


Non Hedged Classes 2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 215,238,476 214,425,066 — — 215,238,476 214,425,066 100.95% 101.05%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets of the nonhedged classes would have decreased or increased, respectively, by approximately $10,761,924 (December 31, 2015 – $10,721,253). In practice, the actual trading results may differ from this sensitivityanalysis and the difference could be material.


Hedged Classes 2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 103,515,270 98,724,081 (106,298,030) (105,791,483) (2,782,760) (7,067,402) -2.59% -7.15%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets of all hedgedclasses would have increased or decreased, respectively, by approximately $139,138 (December 31, 2015 – $353,370). In practice, the actual trading results may differ from this sensitivity analysis andthe difference could be material.

Interest Rate Risk

As at December 31, 2016 and 2015, the interest rate risk is minimal given that the majority of the Fund’s financial instruments are non-interest bearing.


Credit RiskAs at December 31, 2016 and 2015, the Fund has no significant investments in debt instruments. As at June 30, 2016, please refer to the Schedule of Investment Portfolio for the credit rating ofcounterparties to derivatives held by the Fund. As at December 31, 2016, all counterparties to derivatives had a credit rating of A-1 or higher.



Consumer Discretionary 11.7 12.9 Consumer Staples 9.5 10.4 Energy 7.5 6.5 Financials 17.0 16.2 Health Care 12.2 13.7 Industrials 9.9 9.6 Information Technology 18.6 17.7 Materials 2.8 2.8 Telecommunication Services 3.8 5.1 Utilities 3.2 3.0 Foreign Equities 3.7 3.9 Derivative Assets and Liabilities (0.6) (0.8)Other Assets and Liabilities, Net 0.7 (1.0)

100.0 100.0



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Offsetting of financial instrumentsIn the normal course of business, the Fund may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statement of Financial Positionbut still allow for the related amounts to be set off in certain circumstances, such as bankruptcy or termination of the contracts. As at December 31, 2016 and December 31, 2015, no amounts were eligible for offsetting.



Common shares $ 316,497,519 $ — $ — $ 316,497,519 Derivative assets — — — — Derivative liabilities (18,027) (2,044,488) — (2,062,515)

2015

Common shares $ 316,674,667 $ — $ — $ 316,674,667 Derivative assets — 1,291 — 1,291 Derivative liabilities (2,397) (2,474,569) — (2,476,966)

During the years ended December 31, 2016 and 2015, no investments were transferred between Level 1 and Level 2.During the years ended December 31, 2016 and 2015, the Fund did not hold any investments classified within Level 3.




Financial instruments at FVTPL:Held for trading $ 2,425 $ (23,038)Designated at inception 24,233 54,876

Total financial instruments at FVTPL $ 26,658 $ 31,838


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U.S. Large Company Equity Fund

SULC (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 1,003,344 $ 999,138 Cash including foreign currency holdings 23,133 36,030 Accrued dividends receivable 886 831 Margin receivable on futures 5,401 2,290 Receivable for portfolio securities sold 539 386 Receivable for unit subscriptions 1,175 927 Receivable from manager 7 3 Prepaid expenses 136 270 Derivative assets 13 —

1,034,634 1,039,875 LIABILITIESCurrent liabilities

Accrued liabilities 442 418 Payable for portfolio securities purchased 698 257 Payable for unit redemptions 1,465 2,259 Derivative liabilities 431 27



(Class D) $ 44,772 $ 48,075(Class D hedged) $ 11 $ 10(Class E) $ 2,239 $ 1,414(Class E hedged) $ 117 $ 6(Class F) $ 13,641 $ 9,640(Class F hedged) $ 2,584 $ 480(Class I) $ 50 $ 48(Class O) $ 907,947 $ 904,863(Class O hedged) $ 16,284 $ 364(Class P) $ 43,022 $ 71,742(Class P hedged) $ 909 $ 252(Class Z) $ 11 $ 10(Class Z hedged) $ 11 $ 10


(Class D) $ 9.91 $ 10.19(Class D hedged) $ 14.94 $ 14.55(Class E) $ 10.09 $ 10.32(Class E hedged) $ 11.47 $ 11.93(Class F) $ 11.22 $ 11.44(Class F hedged) $ 9.32 $ 9.41(Class I) $ 10.49 $ 11.12(Class O) $ 11.51 $ 11.87(Class O hedged) $ 9.38 $ 9.87(Class P) $ 10.72 $ 10.65(Class P hedged) $ 7.45 $ 7.88(Class Z) $ 10.44 $ 11.06(Class Z hedged) $ 10.09 $ 10.60



2016 2015INCOMENET GAIN (LOSS) ON INVESTMENTS AND DERIVATIVES

Dividends $ 17,784 $ 19,221 Interest for distribution purposes 329 676 Income from mutual and pooled funds 1 1 Derivative income (loss) 4,865 (147)Net realized gain (loss) on sale of investments 63,752 241,316 Foreign exchange gain (loss) on foreign currency translation 1,875 140 Net change in unrealized appreciation (depreciation) on

foreign exchange (95) 47 Net change in unrealized appreciation (depreciation) of

investments and derivatives (46,413) (65,686)42,098 195,568

Foreign exchange gain (loss) on cash (1,967) 1,625 TOTAL INCOME (NET) 40,131 197,193

EXPENSESCustodian and administration fees 884 942 Legal fees 90 99 Audit fees 60 52 Interest expense 5 —Management fees 2,729 3,255 Trustee fees 27 29 Independent Review Committee fees 5 6 Transaction costs 376 472 Securityholder reporting costs 66 76 Foreign withholding taxes 2,373 2,459 TOTAL EXPENSES 6,615 7,390Waived expenses (16) (9)NET EXPENSES 6,599 7,381



(Class D) $ 180 $ 7,083(Class D hedged) $ 1 $ —(Class E) $ 97 $ 164(Class E hedged) $ 5 $ —(Class F) $ 462 $ 1,356(Class F hedged) $ 330 $ (16)(Class I) $ 2 $ 8(Class O) $ 32,491 $ 168,549(Class O hedged) $ 759 $ 14(Class P) $ (984) $ 12,661(Class P hedged) $ 187 $ (7)(Class Z) $ 1 $ —(Class Z hedged) $ 1 $ —AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS(Class D) 4,557 4,224(Class D hedged) 1 1 (Class E) 172 98(Class E hedged) 7 —(Class F) 992 622(Class F hedged) 300 19(Class I) 4 4(Class O) 75,576 74,770(Class O hedged) 293 96(Class P) 5,484 6,907(Class P hedged) 193 29 (Class Z) 1 1 (Class Z hedged) 1 1 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE

TO HOLDERS OF REDEEMABLE UNITS PER UNIT*(Class D) $ 0.04 $ 1.68(Class D hedged) $ 0.50 $ (0.26)(Class E) $ 0.56 $ 1.67(Class E hedged) $ 0.77 $ (0.27)(Class F) $ 0.47 $ 2.18(Class F hedged) $ 1.10 $ (0.83)(Class I) $ 0.29 $ 2.13(Class O) $ 0.43 $ 2.26(Class O hedged) $ 2.59 $ 0.15(Class P) $ (0.18) $ 1.83(Class P hedged) $ 0.97 $ (0.23)(Class Z) $ 0.41 $ 0.39(Class Z hedged) $ 0.68 $ 0.28 * Based on the weighted average number of units outstanding during the period.

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INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 33,532 189,812 180 7,083

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (15,802) (13,822) — —Out of net realized capital gains (47,599) (106,264) (1,580) (6,043)

(63,401) (120,086) (1,580) (6,043)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 186,813 197,635 7,347 12,124 Payments on redemption of units (225,177) (389,871) (10,830) (12,380)Reinvestment of distributions 62,917 119,412 1,580 6,043

24,553 (72,824) (1,903) 5,787 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (5,316) (3,098) (3,303) 6,827NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class D hedged Class E2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 10 $ 22 $ 1,414 $ 709

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1 — 97 164

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (10) (5)Out of net realized capital gains — — (78) (184)

— — (88) (189)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 5 4 1,263 810 Payments on redemption of units (5) (16) (535) (269)Reinvestment of distributions — — 88 189

— (12) 816 730 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1 (12) 825 705NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SULC

39




Class E hedged Class F2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 5 — 462 1,356

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (140) (87)Out of net realized capital gains (9) (1) (478) (1,240)

(9) (1) (618) (1,327)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 106 — 7,965 2,825 Payments on redemption of units — — (4,250) (1,185)Reinvestment of distributions 9 1 442 1,262

115 1 4,157 2,902CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 111 — 4,001 2,931NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F hedged Class I2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 480 $ 403 $ 48 $ 40

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 330 (16) 2 8

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (66) — — —Out of net realized capital gains (113) — (4) (8)

(179) — (4) (8)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 3,752 417 — —Payments on redemption of units (1,975) (324) — —Reinvestment of distributions 176 — 4 8

1,953 93 4 8 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 2,104 77 2 8NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 2,584 $ 480 $ 50 $ 48

40



Class O Class O hedged 2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 904,863 $ 907,224 $ 364 $ 1,070

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 32,491 168,549 759 14

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (14,960) (13,730) (562) —Out of net realized capital gains (43,924) (90,270) (1,179) —

(58,884) (104,000) (1,741) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 137,936 158,146 15,527 97 Payments on redemption of units (167,050) (328,674) (365) (817)Reinvestment of distributions 58,591 103,618 1,740 —

29,477 (66,910) 16,902 (720)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 3,084 (2,361) 15,920 (706)NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 907,947 $ 904,863 $ 16,284 $ 364

Class P Class P hedged 2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 71,742 $ 82,322 $ 252 $ 259

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (984) 12,661 187 (7)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (64) —Out of net realized capital gains (189) (8,496) (43) (18)

(189) (8,496) (107) (18)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 10,878 23,082 2,034 110 Payments on redemption of units (38,605) (46,098) (1,562) (108)Reinvestment of distributions 180 8,271 105 16

(27,547) (14,745) 577 18 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (28,720) (10,580) 657 (7)NET ASSETS ATTRIBUTABLE TO HOLDERS OF



41





Foreign exchange (gain) loss on cash 83 (125)Net realized (gain) loss on sale of investments (63,752) (241,316)Net change in unrealized (appreciation) depreciation of investments and derivatives 46,413 65,686 Distributions from mutual funds (1) (1)Purchases of investments (594,679) (794,862)Proceeds from the sale of investments 608,492 958,281 Change in margin receivable on futures (3,111) 3,165 Change in dividends receivable (55) (47)Change in other assets 130 (34)Change in other liabilities 24 (17)

27,076 180,542


(39,890) (193,335)

Increase (decrease) in cash during the period (12,814) (12,793)Foreign exchange gain (loss) on cash (83) 125Cash at beginning of period 36,030 48,698 Cash at end of period 23,133 36,030



Class Z Class Z hedged 2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 10 $ — $ 10 $ —

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1 — 1 —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net realized capital gains (1) (2) (1) (2)

(1) (2) (1) (2)CAPITAL UNIT TRANSACTIONSProceeds from issue of units — 10 — 10 Reinvestment of distributions 1 2 1 2

1 12 1 12CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1 10 1 10 NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 11 $ 10 $ 11 $ 10

42

EQUITIES – 97.3%Canadian Equities – 0.8%Canadian Natural Resources Ltd. 52,796 2,109,451 2,259,141Canadian Pacific Railway Ltd. 11,049 1,780,029 2,116,546Magna International Inc., Class ‘A’ 62,980 3,895,731 3,665,535Total Canadian Equities 7,785,211 8,041,222

U.S. Equities – 91.0%Consumer Discretionary – 8.3%Amazon.com Inc. 8,254 5,138,450 8,300,331AMC Networks Inc. 1,809 115,094 126,975American Eagle Outfitters Inc. 36,300 769,555 738,477Bed Bath & Beyond Inc. 18,472 1,325,772 1,006,729Best Buy Co. Inc. 44,767 2,316,584 2,561,684Big Lots Inc. 3,597 213,760 242,201Brunswick Corp. 1,352 84,746 98,886CBS Corp., Class ‘B’ 26,994 2,003,784 2,303,063Comcast Corp., Class ‘A’ 41,917 3,139,288 3,881,493Cooper Tire & Rubber Co. 9,170 462,452 477,755D.R. Horton Inc. 10,377 392,934 380,326Dana Inc. 13,404 295,320 341,174Darden Restaurants Inc. 2,137 191,452 208,403Dick’s Sporting Goods Inc. 1,720 123,212 122,481Dillard’s Inc., Class ‘A’ 7,800 552,971 655,749Dollar General Corp. 23,433 2,219,613 2,327,637Foot Locker Inc. 10,038 880,038 954,283Ford Motor Co. 138,320 2,432,775 2,250,043GameStop Corp., Class ‘A’ 25,532 689,952 864,895Gannett Co. Inc. 7,650 137,243 99,615General Motors Co. 97,166 4,132,139 4,539,808Goodyear Tire & Rubber Co. (The) 83,142 3,419,262 3,441,930Harley-Davidson Inc. 13,000 985,289 1,017,079Home Depot Inc. 16,295 1,931,456 2,929,971Hyatt Hotels Corp., Class ‘A’ 4,985 354,801 369,421Interpublic Group of Cos. Inc. 6,389 185,435 200,576Kohl’s Corp. 20,100 1,150,100 1,331,043Las Vegas Sands Corp. 5,922 377,980 424,166Lear Corp. 27,370 2,967,958 4,858,580Liberty Interactive Corp., Class ‘A’ 230,015 6,143,168 6,163,063Lowe’s Cos. Inc. 2,562 222,427 244,352LSC Communications Inc. 9,289 268,834 369,724Macy’s Inc. 14,800 1,320,064 710,740Newell Brands Inc. 50,190 3,248,230 3,005,271Nu Skin Enterprises Inc., Class ‘A’ 14,617 754,738 936,590Rite Aid Corp. 5,492 62,749 60,688Staples Inc. 3,633 38,955 44,092Starbucks Corp. 92,801 4,646,374 6,909,507Target Corp. 20,400 2,049,377 1,976,026TEGNA Inc. 21,300 450,133 610,992Time Warner Inc. 3,036 325,202 393,015Toll Brothers Inc. 4,509 171,858 187,451TripAdvisor Inc. 123,911 11,490,021 7,705,342Tupperware Corp. 550 39,937 38,811Twenty-First Century Fox Inc., Class ‘A’ 67,670 2,545,569 2,544,598Under Armour Inc., Class ‘A’ 30,782 3,163,957 1,199,190Under Armour Inc., Class ‘C’ 64,349 1,404,616 2,172,051

Urban Outfitters Inc. 5,581 222,852 213,156Viacom Inc., Class ‘B’ 20,600 1,343,723 969,660Whirlpool Corp. 6,939 878,861 1,691,469

79,781,060 85,200,562

Consumer Staples – 7.1%Altria Group Inc. 7,512 288,340 681,202Archer-Daniels-Midland Co. 38,443 1,651,141 2,353,439Bunge Ltd. 23,086 2,046,049 2,236,513Coca-Cola Co. (The) 8,030 363,806 446,467Costco Wholesale Corp. 38,006 5,697,128 8,160,478CVS Health Corp. 13,900 1,461,861 1,470,929Dean Foods Co. 75,411 2,028,163 2,202,610Dr. Pepper Snapple Group Inc. 3,435 303,443 417,672Estée Lauder Cos. Inc., Class ‘A’ 51,213 4,639,075 5,253,272Ingredion Inc. 20,530 2,082,248 3,440,368Kimberly-Clark Corp. 368 41,307 56,319Kraft Heinz Co. (The) 37,230 3,927,238 4,359,651Kroger Co. (The) 23,700 988,031 1,096,827L Brands Inc. 46,341 3,812,960 4,091,666Mead Johnson Nutrition Co., Class ‘A’ 45,986 4,241,972 4,363,736Molson Coors Brewing Co., Class ‘B’ 31,214 3,921,099 4,073,351PepsiCo Inc. 25,659 3,114,667 3,600,319Philip Morris International Inc. 52,281 5,610,558 6,414,495Pilgrim’s Pride Corp. 3,753 122,127 95,576Procter & Gamble Co. (The) 20,294 1,910,577 2,288,260Reynolds American Inc. 4,151 257,944 311,958Sanderson Farms Inc. 11,079 1,322,567 1,400,170Supervalu Inc. 69,100 1,552,858 432,753Sysco Corp. 33,268 2,142,370 2,470,280Tyson Foods Inc., Class ‘A’ 32,872 2,091,924 2,719,039Walgreens Boots Alliance Inc. 23,976 1,511,548 2,660,984Wal-Mart Stores Inc. 66,037 6,251,640 6,121,192

63,382,641 73,219,526

Energy – 6.5%Anadarko Petroleum Corp. 16,683 1,496,450 1,560,051Antero Resources Corp. 1,646 57,130 52,204Baker Hughes Inc. 2,197 148,286 191,420Cabot Oil & Gas Corp. 91,430 3,050,918 2,864,221Chevron Corp. 51,056 6,449,867 8,058,760Cimarex Energy Co. 25,780 3,525,507 4,698,371ConocoPhillips 15,878 897,213 1,067,641CONSOL Energy Inc. 50,042 1,313,315 1,223,394Diamond Offshore Drilling Inc. 7,292 167,238 173,087Dril-Quip Inc. 4,831 374,887 389,041EOG Resources Inc. 27,971 3,101,706 3,792,313Exxon Mobil Corp. 99,482 10,721,891 12,041,617Halliburton Co. 75,930 3,752,200 5,507,764Helmerich & Payne Inc. 24,652 1,996,497 2,558,810Hess Corp. 5,900 251,690 492,851Kinder Morgan Inc. 5,806 171,537 161,251Marathon Petroleum Corp. 51,098 2,094,781 3,450,232National-Oilwell Varco Inc. 20,100 1,209,567 1,009,199Oceaneering International Inc. 43,637 1,973,965 1,650,832Patterson-UTI Energy Inc. 57,922 1,567,649 2,091,046


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Phillips 66 7,600 448,920 880,689Pioneer Natural Resources Co. 820 155,757 198,016Rice Energy Inc. 3,211 93,956 91,935Schlumberger Ltd. 2,510 285,198 282,579Southwestern Energy Co. 55,078 808,107 799,191Spectra Energy Corp. 2,939 163,379 161,950Tesoro Corp. 39,674 4,120,883 4,652,761Valero Energy Corp. 77,883 5,002,390 7,135,682World Fuel Services Corp. 880 52,634 54,180

55,453,518 67,291,088

Financials – 19.1%Aflac Inc. 22,971 2,029,086 2,144,046Allstate Corp. (The) 56,419 3,545,187 5,607,971Ally Financial Inc. 78,070 1,975,474 1,991,314American Financial Group Inc. 16,015 460,202 1,892,546American Homes 4 Rent, Class ‘A’ 49,177 1,353,672 1,383,606American International Group Inc. 105,825 7,200,289 9,268,574American National Insurance Co. 899 122,755 150,230American Tower Corp. 12,980 1,548,068 1,839,554Ameriprise Financial Inc. 14,395 1,566,895 2,141,632Annaly Mortgage Management Inc. 89,500 1,199,483 1,196,639Assurant Inc. 9,400 376,173 1,170,581Bank of America Corp. 503,607 11,281,069 14,925,504Bank of New York Mellon Corp. (The) 9,557 613,005 607,242Berkshire Hathaway Inc., Class ‘B’ 7,840 959,949 1,713,544Blackstone Group L.P. (The) 38,720 1,506,481 1,403,545Brixmor Property Group Inc. 3,710 123,324 121,497Capital One Financial Corp. 21,464 1,433,453 2,511,142CBL & Associates Properties Inc. 38,572 697,825 594,860Charles Schwab Corp. (The) 51,994 2,583,081 2,752,107Citigroup Inc. 175,473 11,955,349 13,984,953Citizens Financial Group Inc. 67,598 2,205,244 3,229,941CME Group Inc. 24,300 3,454,928 3,758,970Columbia Property Trust Inc. 2,131 60,002 61,728Crown Castle International Corp. 56,790 3,993,834 6,608,250Discover Financial Services 33,569 1,881,785 3,245,327DuPont Fabros Technology Inc. 23,787 1,366,614 1,401,348Equinix Inc. 7,195 1,768,527 3,448,597Equity Residential 685 61,204 59,122Fifth Third Bancorp 64,694 1,206,294 2,339,860First American Financial Corp. 5,685 286,921 279,262Franklin Resources Inc. 3,763 175,495 199,735Genworth Financial Inc., Class ‘A’ 28,454 159,417 145,383Goldman Sachs Group Inc. (The) 3,700 662,515 1,188,123Hartford Financial Services Group Inc. (The) 45,335 1,964,150 2,896,953Hospitality Properties Trust 40,612 1,580,817 1,728,647Host Hotels & Resorts Inc. 39,315 837,188 993,308Hudson Pacific Properties Inc. 16,949 730,160 790,530Intercontinental Exchange Inc. 73,605 2,893,492 5,569,105Invesco Ltd. 883 37,659 35,927JPMorgan Chase & Co. 195,919 13,731,494 22,671,591KeyCorp 74,363 1,102,143 1,821,967Legg Mason Inc. 10,100 643,714 405,119Lexington Corporate Properties Trust 73,000 819,415 1,057,284

Lincoln National Corp. 36,612 2,021,488 3,253,759Mack-Cali Realty Corp. 20,699 597,444 805,549MetLife Inc. 38,817 2,302,169 2,805,273MGIC Investment Corp. 73,200 731,449 1,000,300Morgan Stanley 120,675 6,046,544 6,837,369NorthStar Realty Finance Corp. 12,670 245,211 257,415Old Republic International Corp. 7,319 174,985 186,488Omega Healthcare Investors Inc. 344 15,750 14,421Outfront Media Inc. 15,933 458,758 531,396Piedmont Office Realty Trust Inc., Series ‘A’ 18,076 477,569 506,876PNC Financial Services Group Inc. 26,822 3,088,724 4,207,009Prudential Financial Inc. 28,553 2,459,577 3,984,562Radian Group Inc. 51,000 894,026 1,229,716Regions Financial Corp. 169,882 2,352,396 3,271,499Reinsurance Group of America Inc. 15,438 1,540,703 2,605,075S&P Global Inc. 1,039 168,566 149,841Senior Housing Properties Trust 56,971 1,326,461 1,446,270Simon Property Group Inc. 2,266 608,110 539,907Starwood Property Trust Inc. 33,600 935,126 989,051State Street Corp. 1,439 152,849 149,982SunTrust Banks Inc. 90,479 5,004,382 6,655,327Taubman Centers Inc. 4,689 443,445 464,885Travelers Cos. Inc. (The) 37,290 3,680,420 6,121,949U.S. Bancorp 5,685 382,678 391,638Unum Group 52,113 1,879,946 3,070,098VEREIT Inc. 116,700 1,281,724 1,323,995Voya Financial Inc. 90,827 4,278,264 4,777,135Wells Fargo & Co. 99,016 6,580,386 7,317,804Western Union Co. 32,000 860,461 932,083Zions Bancorp 651 34,246 37,575

145,177,689 197,201,411

Health Care – 11.1%AbbVie Inc. 25,200 1,651,378 2,116,209Aetna Inc. 5,586 356,083 928,972Agilent Technologies Inc. 729 43,673 44,541Alexion Pharmaceuticals Inc. 55,519 9,743,712 9,109,417Amgen Inc. 19,661 3,123,675 3,855,029Anthem Inc. 9,574 547,659 1,845,894Baxter International Inc. 18,426 1,095,039 1,095,650Biogen Inc. 15,379 6,968,502 5,848,556Bristol-Myers Squibb Co. 21,690 1,375,214 1,699,866Bruker Corp. 14,981 493,704 425,512Cardinal Health Inc. 14,100 1,560,964 1,360,867Celgene Corp. 53,950 4,026,555 8,374,472Cigna Corp. 8,583 305,504 1,535,350DaVita Inc. 43,099 3,013,808 3,710,626Dentsply Sirona Inc. 41,868 3,108,090 3,241,371Dexcom Inc. 46,522 5,089,815 3,724,583Express Scripts Holding Co. 11,676 1,344,754 1,077,121Gilead Sciences Inc. 44,968 5,635,540 4,318,393HCA Holdings Inc. 37,020 3,598,039 3,674,772Humana Inc. 519 56,708 142,006Intuitive Surgical Inc. 6,657 3,889,694 5,661,470Johnson & Johnson 104,419 13,105,567 16,132,983


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McKesson Corp. 2,101 491,449 395,724Merck & Co. Inc. 69,683 4,913,207 5,501,306Pfizer Inc. 271,197 10,767,511 11,812,610Quest Diagnostics Inc. 13,739 1,293,662 1,693,229Quintiles IMS Holdings Inc. 43,369 4,088,939 4,423,068Shire PLC, ADR 21,943 4,478,088 5,013,714St. Jude Medical Inc. 1,984 165,059 213,357United Therapeutics Corp. 21,315 3,218,342 4,099,872UnitedHealth Group Inc. 1,497 182,318 321,289WellCare Health Plans Inc. 6,093 875,732 1,120,083

100,607,984 114,517,912

Industrials – 8.7%3M Co. 2,516 212,678 602,510A.O. Smith Corp. 29,786 1,945,287 1,891,373AGCO Corp. 13,300 543,775 1,031,989Boeing Co. (The) 17,899 3,231,870 3,736,858Carlisle Cos. Inc. 380 49,589 56,204Caterpillar Inc. 8,870 1,098,074 1,103,153Crane Co. 1,066 104,908 103,100CSX Corp. 20,533 709,226 989,361Cummins Inc. 13,914 2,168,302 2,550,176Danaher Corp. 59,148 4,385,583 6,174,302Delta Air Lines Inc. 61,705 3,471,421 4,070,447FedEx Corp. 19,626 3,975,141 4,900,681Fluor Corp. 11,100 699,205 781,795Fortive Corp. 62,676 3,643,367 4,507,690General Dynamics Corp. 637 118,287 147,495General Electric Co. 15,116 605,008 640,573Hawaiian Holdings Inc. 31,123 1,696,642 2,379,037Honeywell International Inc. 1,031 147,496 160,177Huntington Ingalls Industries Inc. 12,944 1,999,011 3,197,271J.B. Hunt Transport Services Inc. 13,520 1,453,242 1,759,976Kansas City Southern Industries Inc. 23,764 2,573,941 2,704,060L-3 Communications Holdings Inc. 2,286 427,397 466,314Lockheed Martin Corp. 5,720 1,921,673 1,917,241ManpowerGroup Inc. 982 119,091 117,034Masco Corp. 4,427 178,150 187,722Moog Inc., Class ‘A’ 9,500 771,309 836,762MSC Industrial Direct Co. Inc., Class ‘A’ 1,303 164,689 161,441Norfolk Southern Corp. 4,149 501,909 601,303Northrop Grumman Corp. 9,483 1,464,291 2,957,761Oshkosh Corp. 3,099 277,427 268,514Owens Corning 47,018 3,161,093 3,251,038Paccar Inc. 21,720 1,919,255 1,861,254Parker Hannifin Corp. 1,401 226,041 263,033Pitney Bowes Inc. 25,800 694,983 525,560Quanta Services Inc. 57,195 1,839,167 2,673,042Raytheon Co. 2,643 445,117 503,304Republic Services Inc. 4,967 308,181 380,010Roper Industries Inc. 21,296 4,991,452 5,228,582Ryder System Inc. 13,535 1,163,278 1,351,169Southwest Airlines Inc. 25,467 1,276,613 1,702,162Spirit Aerosystems Holdings Inc., Class ‘A’ 46,324 2,832,512 3,624,865Spirit Airlines Inc. 6,565 469,743 509,399Stanley Black & Decker Inc. 222 34,717 34,145

Timken Co. (The) 10,717 445,343 570,570Trinity Industries Inc. 18,900 610,232 703,601Union Pacific Corp. 39,000 4,665,441 5,422,562United Continental Holdings Inc. 54,202 4,174,084 5,297,472United Technologies Corp. 1,642 225,468 241,384Vectrus Inc. 972 21,283 31,088Wabtec Corp. 38,579 3,768,771 4,295,153Waste Management Inc. 4,396 341,529 418,033

74,272,292 89,889,746

Information Technology – 21.9%Adobe Systems Inc. 65,943 7,203,610 9,104,163Akamai Technologies Inc. 50,234 4,032,202 4,491,985Alphabet Inc., Class ‘A’ 13,160 11,604,765 13,985,330Amdocs Ltd. 7,065 537,131 551,891Amphenol Corp., Class ‘A’ 68,376 3,399,521 6,161,947Analog Devices Inc. 32,790 2,643,127 3,193,321ANSYS Inc. 23,931 2,064,173 2,968,251Apple Inc. 26,904 3,246,497 4,178,740Applied Materials Inc. 153,582 4,465,707 6,646,366Arrow Electronics Inc. 8,313 671,733 794,863Aspen Technology Inc. 10,100 493,065 740,619Avnet Inc. 20,730 1,144,186 1,323,556Brocade Communications Systems Inc. 45,059 584,237 754,725CA Inc. 40,216 1,676,143 1,713,409Cisco Systems Inc. 137,067 3,917,301 5,554,850Citrix Systems Inc. 17,554 1,768,877 2,102,428Cognizant Technology Solutions Corp., Class ‘A’ 64,065 3,930,710 4,813,782CoreLogic Inc. 4,803 213,254 237,224Corning Inc. 75,300 1,528,136 2,450,811Dell Technologies Inc., Class ‘V’ 5,249 305,249 386,943Dolby Laboratories Inc., Class ‘A’ 3,338 207,329 202,290DST Systems Inc. 2,138 296,898 307,217eBay Inc. 242,553 7,575,797 9,657,436Electronic Arts Inc. 53,626 3,453,579 5,664,037Facebook Inc., Class ‘A’ 106,972 13,636,179 16,504,475FleetCor Technologies Inc. 20,122 3,969,652 3,818,862Genpact Ltd. 121,040 2,962,391 3,950,886Hewlett Packard Enterprise Co. 51,849 1,164,867 1,608,973HP Inc. 116,667 2,899,562 2,321,811IAC/InterActiveCorp. 731 50,237 63,514Intel Corp. 188,103 6,864,826 9,149,308International Business Machines Corp. 10,838 2,140,670 2,412,548Intuit Inc. 37,139 3,876,663 5,708,180Jabil Circuit Inc. 5,530 156,279 175,537Juniper Networks Inc. 42,200 1,550,565 1,599,299KLA-Tencor Corp. 1,673 158,636 176,525Lam Research Corp. 7,268 719,417 1,030,524MasterCard Inc., Class ‘A’ 71,329 4,812,541 9,876,457Maxim Integrated Products Inc. 6,883 353,711 356,018Micron Technology Inc. 13,632 290,572 400,724Microsoft Corp. 227,980 12,428,106 18,998,223NCR Corp. 27,400 915,419 1,490,368Oracle Corp. 8,637 431,073 445,353PayPal Holdings Inc. 241,711 11,278,147 12,794,064QUALCOMM Inc. 93,482 6,756,740 8,173,735


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salesforce.com inc. 48,508 3,236,165 4,453,436Symantec Corp. 125,021 3,823,415 4,005,383Synopsys Inc. 794 61,979 62,674Take-Two Interactive Software Inc. 9,509 433,568 628,548Teradata Corp. 10,023 395,213 365,201Teradyne Inc. 47,666 1,345,000 1,623,631Texas Instruments Inc. 5,161 444,585 505,037VeriSign Inc. 25,163 2,446,371 2,566,970Visa Inc., Class ‘A’ 176,937 11,049,876 18,512,692Vishay Intertechnology Inc. 43,600 722,185 947,211VMware Inc., Class ‘A’ 1,066 82,534 112,549Western Digital Corp. 14,300 608,779 1,303,078Xerox Corp. 161,852 2,154,230 1,894,861Zynga Inc. 35,624 113,132 122,778

171,296,512 226,145,617

Materials – 2.3%AdvanSix Inc. 6,689 176,145 198,602Avery Dennison Corp. 1,946 176,546 183,252Cabot Corp. 14,720 883,405 997,673Celanese Corp., Series ‘A’ 22,797 2,003,448 2,407,233Crown Holdings Inc. 10,150 718,148 715,565Domtar Corp. 26,439 1,165,425 1,383,848E.I. du Pont de Nemours & Co. 3,134 288,216 308,489Eastman Chemical Co. 16,067 1,192,354 1,620,524Ecolab Inc. 37,799 4,317,755 5,941,923Graphic Packaging Holding Co. 4,197 75,782 70,242Huntsman Corp. 64,827 1,083,720 1,658,744International Paper Co. 29,230 1,568,133 2,079,893Monsanto Co. 1,692 242,395 238,727Mosaic Co. (The) 17,500 983,279 688,327Newmont Mining Corp. 15,683 710,060 716,550Nucor Corp. 1,442 91,873 115,099Owens Illinois Inc. 18,100 543,252 422,593Packaging Corp. of America 9,600 837,387 1,091,979PPG Industries Inc. 410 50,438 52,102Reliance Steel & Aluminum Co. 21,614 1,914,103 2,305,503Steel Dynamics Inc. 11,395 386,632 543,707Versum Materials Inc. 10,777 358,218 405,682

19,766,714 24,146,257

Telecommunication Services – 3.1%Alphabet Inc., Class ‘C’ 10,281 4,339,799 10,641,341AT&T Inc. 149,022 6,877,650 8,499,448CenturyLink Inc. 2,188 86,035 69,776Level 3 Communications Inc. 1,134 72,389 85,710SBA Communications Corp. 33,794 4,453,018 4,679,686Verizon Communications Inc. 105,542 6,756,959 7,555,250

22,585,850 31,531,211

Utilities – 2.9%AES Corp. (The) 241,759 3,516,879 3,767,331Ameren Corp. 12,014 760,393 845,203American Electric Power Co. Inc. 42,803 2,912,363 3,613,965CenterPoint Energy Inc. 11,863 359,748 391,995Consolidated Edison Inc. 5,761 563,005 569,236

DTE Energy Co. 3,072 380,803 405,832Duke Energy Corp. 1,108 114,756 115,334Edison International 30,406 2,016,627 2,935,462Entergy Corp. 56,435 4,822,598 5,560,368Exelon Corp. 40,654 1,444,418 1,934,881FirstEnergy Corp. 51,682 2,199,163 2,146,473Hawaiian Electric Industries Inc. 12,565 505,582 557,239PG&E Corp. 7,466 570,179 608,446Pinnacle West Capital Corp. 4,030 379,637 421,708Public Services Enterprise Group Inc. 93,392 4,336,350 5,495,678SCANA Corp. 3,010 270,794 295,799Vectren Corp. 1,812 119,452 126,723

25,272,747 29,791,673Total U.S. Equities 757,597,007 938,935,003

Foreign Equities – 5.5%Alibaba Group Holding Ltd. 18,110 2,288,549 2,132,590Allergan PLC 21,644 8,274,192 6,095,684Allied World Assurance Co. Holdings Ltd. 340 17,879 24,489Aspen Insurance Holdings Ltd. 2,208 135,416 162,857Assured Guaranty Ltd. 37,221 1,340,009 1,885,298Axis Capital Holdings Ltd. 11,967 729,234 1,047,476Chicago Bridge & Iron Co. NV 15,364 802,549 654,174Copa Holdings SA, Class ‘A’ 702 86,915 85,509Ensco PLC 148,929 2,819,539 1,941,290Everest Re Group Ltd. 11,164 1,682,244 3,239,829Flextronics International Ltd. 66,786 979,986 1,287,026Ingersoll-Rand PLC 5,806 504,406 584,272International Game Technology PLC 22,184 693,208 759,216Johnson Controls International PLC 65,260 3,672,126 3,604,822Liberty Global PLC, Series ‘A’ 16,958 852,597 695,663Liberty Global PLC, Series ‘C’ 65,216 3,176,020 2,597,500LyondellBasell Industries NV, Class ‘A’ 60,342 6,668,813 6,941,458Mallinckrodt PLC 5,936 442,863 396,591Marvell Technology Group Ltd. 8,311 99,349 154,588Medtronic PLC 20,470 2,266,704 1,955,356Michael Kors Holdings Ltd. 30,478 1,733,707 1,756,701Nabors Industries Ltd. 107,193 1,695,915 2,357,519Nielsen Holdings PLC 53,051 3,409,141 2,984,493NXP Semiconductors NV 42,507 4,556,704 5,586,963Popular Inc. 37,278 2,041,809 2,190,635Rowan Companies PLC, Class ‘A’ 86,412 1,911,393 2,189,026Seagate Technology 19,900 444,654 1,018,639Transocean Ltd. 29,000 574,951 573,245Trinseo SA 13,589 1,020,836 1,080,655Validus Holdings Ltd. 3,470 237,087 255,986Total Foreign Equities 55,158,795 56,239,550 Total Equities 820,541,013 1,003,215,775


Shares $ $


Shares $ $




46




Units $ $

MUTUAL FUNDS* – 0.0%SEI Money Market Fund, Class ‘O’ 12,855 128,553 128,553

128,553 128,553Less: Transaction cost included in average cost (253,257) —Total Non-Derivative Financial Assets – 97.3% 820,416,309 1,003,344,328Derivative Assets and Liabilities (1) – 0.0% (417,886)Other Assets and Liabilities, Net – 2.7% 28,671,408Net Assets Attributable to Holders of Redeemable Units – 100.0% 1,031,597,850





Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 187,871 USD 140,195 1.340 1.341 116Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 99,932 USD 74,597 1.340 1.341 94Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 76,980 USD 57,469 1.340 1.341 80Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 104,796 USD 78,202 1.340 1.341 65Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 1,246,283 CAD 1,683,252 0.740 0.746 12,114Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 57,055 CAD 77,059 0.740 0.746 555Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 6,220 CAD 8,401 0.740 0.746 60Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 823 CAD 1,111 0.740 0.746 8

13,092Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 1,126 USD 835 1.348 1.341 (6)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 8,652 USD 6,418 1.348 1.341 (46)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 114,824 USD 85,580 1.342 1.341 (69)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 115,853 USD 85,992 1.347 1.341 (547)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 208,526 USD 154,681 1.348 1.341 (1,115)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 211,225 USD 156,683 1.348 1.341 (1,130)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 1,701,819 USD 1,262,376 1.348 1.341 (9,103)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 8,257 CAD 10,858 0.760 0.746 (213)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 8,240 CAD 10,837 0.760 0.746 (213)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 89,777 CAD 118,066 0.760 0.746 (2,315)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 1,113,048 CAD 1,463,776 0.760 0.746 (28,706)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 2,460,557 CAD 3,235,895 0.760 0.746 (63,458)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 12,565,118 CAD 16,524,473 0.760 0.746 (324,057)

(430,978)



47


Investment ObjectiveTo provide long-term growth of capital and income, primarily through investment in a diversified portfolio of equity securities of large U.S. companies listed on recognized stock exchanges.

Currency RiskThe tables below indicates the currencies to which the Fund had exposure as at December 31, 2016 and 2015, on both its trading monetary and non-monetary assets and liabilities.



U.S. Dollar 998,926,379 1,011,057,802 — — 998,926,379 1,011,057,802 98.74% 97.61%




Hedged Classes 2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 19,656,958 1,095,386 (20,720,009) (1,155,121) (1,063,051) (59,735) -5.34% -5.32%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets of the hedgedclasses would have increased or decreased, respectively, by approximately $53,153 (December 31, 2015 – $2,987). In practice, the actual trading results may differ from this sensitivity analysis and thedifference could be material.



Credit RiskAs at December 31, 2016 and 2015, the Fund has no significant investments in debt instruments. As at December 31, 2016, please refer to the Schedule of Investment Portfolio for the credit rating ofcounterparties to derivatives held by the Fund. As at December 31, 2016, all counterparties to derivatives had a credit rating of A-1+.



Canadian Equities 0.8 1.1 Consumer Discretionary 8.3 10.7 Consumer Staples 7.1 7.4 Energy 6.5 4.4 Financials 19.1 16.5 Health Care 11.1 12.4 Industrials 8.7 6.7 Information Technology 21.9 20.0 Materials 2.3 2.1 Telecommunication Services 3.1 4.0 Utilities 2.9 2.4 Foreign Equities 5.5 8.7 Mutual Fund — —Short Term Note — —Derivative Assets and Liabilities — —Other Assets and Liabilities, Net 2.7 3.6

100.0 100.0



48



Offsetting of financial instrumentsIn the normal course of business, the Fund enters into various master netting arrangements or other similar arrangements that do not meet the criteria for offsetting in the Statement of Financial Position but stillallow for the related amounts to be set off in certain circumstances, such as bankruptcy or termination of the contracts. The following table shows financial instruments that may be eligible for offset, if suchconditions arise, as at December 31, 2016 and 2015. The “Net” column displays what the net impact would be on the Fund’s Statement of Financial Position if all amounts were set off.


2016 2015Financial instruments Financial instruments

Gross Amounts eligible for offset Net Gross Amounts eligible for offset NetAssetsDerivative Assets 13 (13) — — — —

LiabilitiesDerivative Liabilities 431 (13) 418 27 — 27



Common shares $ 1,003,215,775 $ — $ — $ 1,003,215,775 Short term notes — — — — Investments in funds 128,553 — — 128,553 Derivative assets — 13,092 — 13,092 Derivative liabilities — (430,978) — (430,978)

2015

Common shares $ 999,010,354 $ — $ — $ 999,010,354Short term notes — — — — Investments in funds 127,645 — — 127,645 Derivative assets — — — — Derivative liabilities — (27,353) — (27,353)




Financial instruments at FVTPL:Held for trading $ 4,474 $ (576)Designated at inception 37,624 196,144





December 31, 2016


December 31, 2015



49



Dividends $ 2,487 $ 1,966 Interest for distribution purposes — 26 Derivative income (loss) 352 (1,346)Net realized gain (loss) on sale of investments 17,680 23,976 Foreign exchange gain (loss) on foreign

currency translation 12 162 Net change in unrealized appreciation


(depreciation) of investments and derivatives (7,313) (1,153)13,191 23,664

Foreign exchange gain (loss) on cash (156) 827TOTAL INCOME (NET) 13,035 24,491

EXPENSESCustodian and administration fees 121 131 Legal fees 34 42 Audit fees 15 7 Interest expense 6 —Management fees 333 414 Trustee fees 4 4 Independent Review Committee fees 1 1 Transaction costs 262 150 Securityholder reporting costs 9 10 Foreign withholding taxes 334 245 TOTAL EXPENSES 1,119 1,004 Waived expenses (2) (1)NET EXPENSES 1,117 1,003

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLETO HOLDERS OF REDEEMABLE UNITS $ 11,918 $ 23,488

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLETO HOLDERS OF REDEEMABLE UNITS PER CLASS

(Class D) $ 289 $ 620(Class D hedged) $ — $ —(Class E) $ 16 $ 20(Class E hedged) $ 1 $ —(Class F) $ 87 $ 120(Class F hedged) $ 27 $ (6)(Class I) $ 1 $ 1(Class O) $ 11,109 $ 20,969(Class O hedged) $ 24 $ (1)(Class P) $ 358 $ 1,767(Class P hedged) $ 6 $ (2)AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS(Class D) 591 613(Class D hedged) 1 1(Class E) 23 21(Class E hedged) 1 1(Class F) 113 89(Class F hedged) 38 13(Class I) 1 1(Class O) 12,029 13,281(Class O hedged) 29 31(Class P) 1,060 1,521(Class P hedged) 10 10INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE

TO HOLDERS OF REDEEMABLE UNITS PER UNIT*(Class D) $ 0.49 $ 1.01 (Class D hedged) $ 0.42 $ (0.21)(Class E) $ 0.72 $ 0.94(Class E hedged) $ 0.98 $ (0.30)(Class F) $ 0.77 $ 1.36(Class F hedged) $ 0.73 $ (0.43)(Class I) $ 0.78 $ 1.34(Class O) $ 0.92 $ 1.58(Class O hedged) $ 0.83 $ (0.05)(Class P) $ 0.34 $ 1.16(Class P hedged) $ 0.54 $ (0.20)* Based on the weighted average number of units outstanding during the period.

U.S. Small Company Equity Fund

SUSC (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 124,422 $ 117,326 Cash including foreign currency holdings 5,603 5,903 Accrued dividends receivable 162 156 Margin receivable on futures 1,123 1,317 Receivable for portfolio securities sold 616 123 Receivable for unit subscriptions 127 184 Receivable from manager 1 1 Prepaid expenses 32 54 Derivative assets — 19


Accrued liabilities 54 45 Payable for portfolio securities purchased 481 83 Payable for unit redemptions 148 139 Derivative liabilities 14 —Other liabilities 20 —



(Class D) $ 4,596 $ 4,634(Class D hedged) $ 6 $ 6 (Class E) $ 243 $ 185(Class E hedged) $ 7 $ 6(Class F) $ 1,154 $ 1,020(Class F hedged) $ 271 $ 200(Class I) $ 7 $ 6(Class O) $ 118,694 $ 108,415(Class O hedged) $ 216 $ 194(Class P) $ 6,111 $ 10,093(Class P hedged) $ 64 $ 57


(Class D) $ 7.81 $ 7.64(Class D hedged) $ 4.66 $ 4.59(Class E) $ 8.17 $ 7.94(Class E hedged) $ 9.73 $ 9.58(Class F) $ 9.37 $ 9.02(Class F hedged) $ 6.65 $ 6.34(Class I) $ 9.01 $ 8.95(Class O) $ 9.42 $ 9.24(Class O hedged) $ 6.88 $ 6.77(Class P) $ 8.23 $ 7.86(Class P hedged) $ 5.73 $ 5.65


50






DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (2,007) (466) — —Out of net realized capital gains (6,870) — (196) —

(8,877) (466) (196) —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 21,441 27,576 749 1,204 Payments on redemption of units (26,774) (74,801) (1,076) (1,137)Reinvestment of distributions 8,845 464 196 —

3,512 (46,761) (131) 67CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 6,553 (23,739) (38) 687NET ASSETS ATTRIBUTABLE TO HOLDERS OF




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — — 16 20

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (1) —Out of net realized capital gains — — (10) —

— — (11) —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units — — 92 103 Payments on redemption of units — — (50) (45)Reinvestment of distributions — — 11 —

— — 53 58CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS — — 58 78 NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SUSC

51




NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 6 $ 6 $ 1,020 $ 649

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1 — 87 120

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (10) —Out of net realized capital gains — — (43) —

— — (53) —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units — — 362 433 Payments on redemption of units — — (315) (182)Reinvestment of distributions — — 53 —

— — 100 251CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1 — 134 371 NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F hedged Class I2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (4) — — —Out of net realized capital gains (12) — — —

(16) — — —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 90 158 — (1)Payments on redemption of units (46) (2) — —Reinvestment of distributions 16 — — —

60 156 — (1)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 71 150 1 —NET ASSETS ATTRIBUTABLE TO HOLDERS OF



52



Class O Class O hedged 2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 11,109 20,969 24 (1)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (1,985) (466) (7) —Out of net realized capital gains (6,448) — (14) —

(8,433) (466) (21) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 18,872 22,328 — 24 Payments on redemption of units (19,672) (66,169) (2) (51)Reinvestment of distributions 8,403 464 21 —

7,603 (43,377) 19 (27)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 10,279 (22,874) 22 (28)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class P Class P hedged 2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 358 1,767 6 (2)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net realized capital gains (143) — (4) —

(143) — (4) —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,274 3,320 2 7 Payments on redemption of units (5,612) (7,207) (1) (8)Reinvestment of distributions 141 — 4 —

(4,197) (3,887) 5 (1)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (3,982) (2,120) 7 (3) NET ASSETS ATTRIBUTABLE TO HOLDERS OF



53





Foreign exchange (gain) loss on cash (54) 75 Net realized (gain) loss on sale of investments (17,680) (23,976)Net change in unrealized (appreciation) depreciation of investments and derivatives 7,313 1,153 Purchases of investments (331,305) (91,641)Proceeds from the sale of investments 334,512 138,663 Change in margin receivable on futures 194 65 Change in dividends receivable (6) (58)Change in other assets 22 27 Change in other liabilities 29 (32)

4,943 47,764


(5,297) (47,299)

Increase (decrease) in cash during the period (354) 465Foreign exchange gain (loss) on cash 54 (75)Cash at beginning of period 5,903 5,513Cash at end of period 5,603 5,903

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received — 26 Dividends received, net of withholding taxes 2,147 1,663

54

EQUITIES – 94.7%Canadian Equities – 1.5%Lions Gate Entertainment Corp., Class ‘A’ 10,480 354,853 378,058Restaurant Brands International Inc. 6,978 335,087 446,243Shopify Inc., Class ‘A’ 8,285 364,779 478,045Tahoe Resources Inc. 2,650 50,559 33,477Waste Connections, Inc. 5,730 496,098 603,598 Total Canadian Equities 1,601,376 1,939,421

U.S. Equities – 89.1%Consumer Discretionary – 8.5%ABM Industries Inc. 90 3,786 4,929American Eagle Outfitters Inc. 4,170 98,423 84,833American Public Education Inc. 3,293 104,591 108,415Bassett Furniture Industries Inc. 835 28,964 34,041Big 5 Sporting Goods Corp. 2,682 31,761 62,403Biglari Holdings Inc. 25 14,576 15,865Burlington Stores Inc. 3,420 253,340 388,697Cabela’s Inc., Class ‘A’ 397 32,992 31,172Capella Education Co. 524 55,052 61,698Carrols Restaurant Group Inc. 1,625 29,279 33,233CEB Inc. 11,936 912,207 970,010Chemed Corp. 3,540 642,063 761,517Cinemark Holdings Inc. 8,130 437,145 418,229Citi Trends Inc. 336 8,551 8,489Cooper Tire & Rubber Co. 354 17,912 18,443CoreCivic Inc. 1,054 43,828 34,573Cracker Barrel Old Country Store Inc. 71 12,335 15,899CST Brands Inc. 677 41,815 43,715Dave & Buster’s Entertainment Inc. 6,780 506,089 511,898Dick’s Sporting Goods Inc. 6,035 463,618 429,751DineEquity Inc. 99 10,610 10,223DSW Inc., Class ‘A’ 9,305 311,573 282,637Eldorado Resorts Inc. 1,369 25,179 31,118Gannett Co. Inc. 6,239 110,156 81,242Grand Canyon Education Inc. 4,560 351,867 357,433Harman International Industries Inc. 346 50,831 51,579Jack in the Box Inc. 2,760 317,219 413,213John Wiley & Sons Inc., Class ‘A’ 963 58,120 70,383K12 Inc. 2,782 43,159 64,021Kohl’s Corp. 4,700 305,186 311,239La-Z-Boy Inc. 861 29,190 35,852Lear Corp. 303 45,119 53,787Libbey Inc. 2,803 61,703 73,149Lithia Motors Inc., Class ‘A’ 12,536 1,428,132 1,627,848LKQ Corp. 7,545 281,582 310,123LSC Communications Inc. 3,501 93,504 139,348Marcus Corp. (The) 308 8,348 13,011Modine Manufacturing Co. 402 4,564 8,033Movado Group Inc. 384 10,904 14,805Murphy USA Inc. 486 43,031 40,063National Presto Industries Inc. 439 49,394 62,640New Media Investment Group Inc. 2,584 58,186 55,410New York Times Co. (The), Class ‘A’ 1,610 25,087 28,716Nexstar Broadcasting Group Inc., Class ‘A’ 4,235 359,323 359,503Nu Skin Enterprises Inc., Class ‘A’ 1,658 89,112 106,237Oxford Industries Inc. 3,600 335,902 290,294

RetailMeNot Inc. 522 5,923 6,510Six Flags Entertainment Corp. 18,054 1,307,147 1,451,711Skechers U.S.A. Inc., Class ‘A’ 7,480 261,456 246,563Staples Inc. 974 10,840 11,821Superior Industries International Inc. 129 4,786 4,558UniFirst Corp. 610 88,282 117,511Vail Resorts Inc. 1,895 398,024 409,935

10,321,766 11,178,326

Consumer Staples – 3.7%Bunge Ltd. 3,945 376,679 382,181Central Garden & Pet Co., Class ‘A’ 264 6,385 10,940Cooper-Standard Holdings Inc. 865 104,373 119,922Del Frisco’s Restaurant Group Inc. 2,001 41,114 45,618Edgewell Personal Care Co. 578 60,574 56,576Fresh Del Monte Produce Inc. 2,630 167,861 213,840Ingredion Inc. 377 41,836 63,177Inter Parfums Inc. 170 7,045 7,466John B. Sanfilippo & Son Inc. 1,221 85,399 115,258Lamb Weston Holdings Inc. 17,800 757,165 903,506Omega Protein Corp. 4,790 130,729 160,912Pilgrim’s Pride Corp. 2,410 73,580 61,374Pinnacle Foods Inc. 17,322 1,051,399 1,241,626Sanderson Farms Inc. 150 16,668 18,957Spartan Motors Inc. 943 10,886 11,698SpartanNash Co. 2,449 82,397 129,858Supervalu Inc. 1,587 9,840 9,939Weis Markets Inc. 682 39,273 61,132Wendy’s Co. (The) 65,014 894,863 1,178,769

3,958,066 4,792,749

Energy – 4.7%Archrock Inc. 718 13,157 12,710Callon Petroleum Co. 51,040 990,606 1,052,033Contango Oil & Gas Co. 3,752 51,437 46,995Diamondback Energy Inc. 616 55,600 83,484Energen Corp. 1,178 66,391 91,105FMC Technologies Inc. 2,014 67,773 95,962FutureFuel Corp. 3,352 54,053 62,483Gulfport Energy Corp. 1,082 50,132 31,400Matrix Service Co. 1,079 26,071 32,847Murphy Oil Corp. 1,149 45,210 47,967Newfield Exploration Co. 429 23,093 23,300Oasis Petroleum Inc. 9,985 199,718 202,730Oceaneering International Inc. 315 12,490 11,917Parsley Energy Inc., Class ‘A’ 38,812 1,486,570 1,834,201PDC Energy Inc. 5,752 500,303 559,862QEP Resources Inc. 2,138 49,307 52,785REX American Resources Corp. 331 29,913 43,834Rice Energy Inc. 2,232 69,866 63,905RSP Permian Inc. 15,504 904,150 927,723SM Energy Co. 91 4,867 4,208Western Refining Inc. 754 36,280 38,272World Fuel Services Corp. 10,719 594,916 659,943WPX Energy Inc. 12,355 250,467 241,406

5,582,370 6,221,072


Shares $ $


Shares $ $




55

Financials – 25.9%1st Source Corp. 809 36,805 48,452Affiliated Managers Group Inc. 5,698 1,091,195 1,110,281AGNC Investment Corp . 3,041 77,343 73,937Agree Realty Corp. 1,515 72,496 93,559Alexander’s Inc. 51 26,614 29,195Alexandria Real Estate Equities Inc. 926 92,622 138,003American Campus Communities Inc. 2,075 124,705 138,494American Financial Group Inc. 1,103 104,789 130,345American National Insurance Co. 92 12,979 15,374Amerisafe Inc. 40 2,802 3,345Apartment Investment & Management Co., Class ‘A’ 1,722 94,072 104,957Apple Hospitality REIT Inc. 971 26,150 26,017Armada Hoffler Properties Inc. 3,532 57,659 69,012Arthur J. Gallagher & Co. 5,390 377,704 375,580Assurant Inc. 265 29,762 33,000BancFirst Corp. 639 61,380 79,737BancorpSouth Inc. 2,458 75,605 102,350Bank of Hawaii Corp. 1,140 115,822 135,589Beneficial Bancorp Inc. 5,117 93,534 126,264Berkshire Hills Bancorp Inc. 756 31,618 37,360BGC Partners Inc., Class ‘A’ 133,907 1,664,988 1,837,062Brixmor Property Group Inc. 3,812 116,293 124,837Brookline Bancorp Inc. 2,838 42,029 62,417Bryn Mawr Bank Corp. 199 9,353 11,249Camden National Corp. 777 33,032 46,317Camden Property Trust 1,697 175,438 191,323Capital Bank Financial Corp., Class ‘A’ 233 8,908 12,264Cardinal Financial Corp. 174 4,785 7,651Cathay General Bancorp 404 16,142 20,604CBOE Holdings Inc. 5,625 522,796 557,382Centerstate Banks Inc. 2,003 51,623 67,610Central Pacific Financial Corp. 804 29,470 33,877Chemical Financial Corp. 209 12,376 15,183Chimera Investment Corp. 849 15,603 19,378City Holding Co. 713 48,833 64,637CNO Financial Group Inc. 1,237 25,526 31,768Colony Capital Inc. 506 12,796 13,741Colony Starwood Homes 25,066 767,366 968,441Columbia Banking Systems Inc. 36,924 1,512,894 2,212,416Columbia Property Trust Inc. 1,386 41,025 40,148Commerce Bancshares Inc. 4,266 266,812 330,726Communications Sales & Leasing Inc. 541 14,071 18,435Community Bank Systems Inc. 128 6,387 10,607Community Trust Bancorp Inc. 571 27,796 37,981Corporate Office Properties Trust 1,438 53,148 60,206Cullen/Frost Bankers Inc. 428 47,639 50,641Customers Bancorp Inc. 123 3,882 5,909CyrusOne Inc. 5,443 346,297 326,499DCT Industrial Trust Inc. 353 20,773 22,666DDR Corp. 858 19,335 17,570Dime Community Bancshares Inc. 2,986 69,353 80,488Douglas Emmett Inc. 1,213 38,955 59,472

Duke Realty Corp. 2,515 71,316 89,580E*TRADE Financial Corp. 8,895 348,646 413,327East West Bancorp Inc. 991 37,639 67,552Education Realty Trust Inc. 209 11,224 11,856Employers Holdings Inc. 1,855 70,877 98,511Enterprise Financial Services Corp. 2,728 109,754 157,311Entertainment Properties Trust 6,422 507,616 618,099Equity Commonwealth 2,177 79,048 88,285Equity One Inc. 746 20,431 30,703Farmer Mac, Class ‘C’ 2,019 100,765 155,063FBL Financial Group Inc., Class ‘A’ 150 12,452 15,720Federated National Holding Co. 769 18,343 19,274First Busey Corp. 1,710 53,278 70,585First Citizens Bancshares Inc. 314 120,996 149,487First Data Corp. 22,730 453,194 432,541First Defiance Financial Corp. 1,545 85,989 105,129First Financial Bancorp 373 8,992 14,231First Financial Corp. 869 45,190 61,532First Industrial Realty Trust Inc. 1,419 42,070 53,378First Interstate BancSystem Inc. 1,244 51,548 70,985First Merchants Corp. 708 29,673 35,747Flagstar Bancorp Inc. 2,945 98,565 106,397Flushing Financial Corp. 3,351 95,203 132,075Forest City Realty Trust Inc., Class ‘A’ 2,053 54,650 57,376Franklin Financial Network Inc. 58 2,606 3,255Fulton Financial Corp. 4,443 89,686 112,016Gaming and Leisure Properties Inc. 29,247 1,103,278 1,200,968Genworth Financial Inc., Class ‘A’ 4,626 26,913 23,636Geo Group Inc. (The) 675 28,575 32,524Getty Realty Corp. 996 27,779 34,047Great Southern Bancorp Inc. 514 27,763 37,670Great Western Bancorp Inc. 532 24,737 31,099Hancock Holding Co. 1,194 62,986 69,012Hanmi Financial Corp. 1,599 57,388 74,837Hanover Insurance Group Inc. 1,149 98,308 140,234Healthcare Realty Trust Inc. 456 18,232 18,541Healthcare Trust of America Inc., Class ‘A’ 3,691 145,585 144,089Heartland Financial USA Inc. 865 43,640 55,680Heritage Financial Corp. 1,380 36,091 47,654Hersha Hospitality Trust 23,283 606,534 671,309Highwoods Properties Inc. 1,053 68,860 72,033HomeStreet Inc. 618 21,527 26,189Howard Hughes Corp. (The) 14,440 1,879,858 2,209,519Huntington Bancshares Inc. 33,476 480,169 593,485Independent Bank Corp. (Massachusetts) 405 25,243 38,263Independent Bank Corp. (Michigan) 835 17,114 24,299Infinity Property & Casualty Corp. 412 37,379 48,566Investors Bancorp Inc. 11,979 180,027 224,099Iron Mountain Inc. 4,990 219,286 217,351Janus Capital Group Inc. 1,309 24,118 23,295Kilroy Realty Corp. 136 11,459 13,354Lakeland Financial Corp. 1,034 47,113 65,672Lexington Corporate Properties Trust 969 11,324 14,034


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Schedule of Investment Portfolio AS AT DECEMBER 31, 2016



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Liberty Property Trust 1,609 71,814 85,231Life Storage Inc. 565 83,594 64,601LTC Properties Inc. 288 18,168 18,145Lumentum Holdings Inc. 4,820 162,656 249,828MB Financial Inc. 35,755 1,554,971 2,264,643Medical Properties Trust Inc. 82,365 1,247,511 1,358,604Meta Financial Group Inc. 271 22,013 37,396MFA Financial Inc. 1,664 15,218 17,026MGIC Investment Corp. 11,563 93,569 158,012Mid-America Apartment Communities Inc. 1,299 165,041 170,579Monmouth Real Estate Investment Corp. 2,199 36,278 44,942National Retail Properties Inc. 2,348 140,464 139,176National Storage Affiliates Trust 816 21,685 24,151NBT Bancorp Inc. 784 28,371 44,032New Residential Investment Corp. 1,276 18,786 26,900Old Republic International Corp. 2,664 66,751 67,879Omega Healthcare Investors Inc. 204 8,908 8,552Oritani Financial Corp. 1,531 33,750 38,497Outfront Media Inc. 3,630 106,894 121,067Pacific Premier Bancorp Inc. 251 7,952 11,899PacWest Bancorp 42,743 1,958,823 3,120,528People’s United Financial Inc. 3,691 73,360 95,828Piedmont Office Realty Trust Inc., Series ‘A’ 4,819 127,485 135,131Preferred Bank 1,306 62,354 91,809Primerica Inc. 2,950 273,314 273,564PrivateBancorp Inc. 713 40,385 51,815Prosperity Bancshares Inc. 3,855 329,279 371,085Raymond James Financial Inc. 5,279 478,409 490,390Rayonier Inc. 579 18,434 20,654Regency Centers Corp. 1,193 116,518 110,311Reinsurance Group of America Inc. 354 50,629 59,736Retail Properties of America Inc. 5,250 110,294 107,931Sandy Spring Bancorp Inc. 1,054 45,005 56,525Saul Centers Inc. 756 54,169 67,532Select Income REIT 2,778 87,976 93,881Senior Housing Properties Trust 2,701 64,026 68,568Silver Bay Realty Trust Corp. 390 8,200 8,964SLM Corp. 65,182 543,516 963,284Spirit Realty Capital Inc. 881 13,053 12,831Starwood Property Trust Inc. 59,461 1,590,578 1,750,297Stock Yards Bancorp Inc. 547 25,716 34,440Stonegate Bank 213 10,924 11,920Store Capital Corp. 822 27,910 27,239Sun Communities Inc. 671 63,540 68,937Synovus Financial Corp. 12,068 512,617 664,830TCF Financial Corp. 1,272 22,991 33,417Tompkins Trustco Inc. 299 32,025 37,908TowneBank 744 21,066 33,175Trico Banchares 981 36,038 44,966Trustco Bank Corp. 1,629 15,139 19,115Trustmark Corp. 148 4,524 7,076Two Harbors Investment Corp. 1,646 18,587 19,248UMB Financial Corp. 460 44,498 47,574

Union Bankshares Corp. 924 37,125 44,287United Fire Group Inc. 1,198 64,189 78,995Univest Corp. of Pennsylvania 336 12,448 13,923Washington Federal Inc. 1,639 54,688 75,501Washington Trust Bancorp Inc. 341 19,772 25,632Weingarten Realty Investors 1,447 69,924 69,450Wesbanco Inc. 89 3,642 5,139Westamerica Bancorp 96 5,707 8,102White Mountains Insurance Group Ltd. 30 31,797 33,636Whitestone REIT, Class ‘B’ 638 11,785 12,303Wintrust Financial Corp. 627 53,425 61,020WP Carey Inc. 112 9,731 8,875Zions Bancorp 1,958 90,355 113,013

27,832,781 34,053,375

Health Care – 8.0%ABIOMED Inc. 1,988 202,277 300,406Air Methods Corp. 19,686 1,021,648 840,837Akorn Inc. 20,520 786,140 600,725Alere Inc. 656 33,957 34,283Align Technology Inc. 3,350 317,934 431,866Allscripts Healthcare Solutions Inc. 1,668 28,374 22,838Anika Therapeutics Inc. 646 39,718 42,415Ashland Global Holdings Inc. 7,510 1,104,536 1,100,691Eagle Pharmaceuticals Inc. 2,995 323,802 318,665Exactech Inc. 629 22,262 23,028Exelixis Inc. 24,065 276,729 481,181HealthSouth Corp. 6,995 367,297 386,858Hologic Inc. 8,960 478,839 482,074IDEXX Laboratories Inc. 2,375 243,383 373,504Integra LifeSciences Holdings 4,508 502,656 518,639Ligand Pharmaceuticals Inc., Class ‘B’ 14,308 1,956,428 1,949,667Magellan Health Inc. 561 42,275 56,613Medidata Solutions Inc. 4,855 340,031 323,391National Healthcare Corp. 39 3,219 3,964NuVasive Inc. 5,710 436,588 515,802Owens & Minor Inc. 1,074 49,220 50,828PRA Health Sciences Inc. 7,085 474,974 523,714Seaboard Corp. 3 10,844 15,899Seattle Genetics Inc. 2,970 233,245 210,179Teleflex Inc. 325 66,016 70,236Tesaro Inc. 2,065 365,105 372,411TransEnterix Inc. 2,973 6,318 5,183VWR Corp. 760 28,490 25,511WellCare Health Plans Inc. 616 86,712 113,240Zeltiq Aesthetics Inc. 5,550 277,274 323,912

10,126,291 10,518,560

Industrials – 16.3%A.O. Smith Corp. 6,489 336,727 412,043AAR Corp. 2,481 81,600 109,962AGCO Corp. 546 39,179 42,366Alamo Group Inc. 772 68,914 78,786


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Alaska Air Group Inc. 390 40,175 46,407Allison Transmission Holdings Inc. 8,117 339,789 366,726Applied Industrial Technologies Inc. 1,039 56,226 82,765Astec Industries Inc. 437 35,670 39,534Barnes Group Inc. 117 6,086 7,440Beacon Roofing Supply Inc. 666 34,214 41,147Belden CDT Inc. 3,775 357,315 378,520Briggs & Stratton Corp. 3,010 81,710 89,854BWX Technologies Inc. 45,623 1,948,582 2,428,954Carlisle Cos. Inc. 282 27,564 41,709CRA International Inc. 988 30,145 48,493Crane Co. 1,082 87,595 104,647Ducommun Inc. 522 19,038 17,893EMCOR Group Inc. 1,235 63,242 117,192Energizer Holdings Inc. 515 27,615 30,809Ennis Inc. 10,377 260,328 241,444Federal Signal Corp. 401 6,758 8,394FirstCash Inc. 14,352 882,896 904,597Genesee & Wyoming Inc., Class ‘A’ 23,740 1,858,774 2,209,773Gibraltar Industries Inc. 2,288 104,120 127,796Global Brass & Copper Holdings Inc. 4,274 152,964 196,596Greenbrier Cos. Inc. (The) 247 10,512 13,763Greif Inc., Class ‘A’ 249 12,508 17,133Huntington Ingalls Industries Inc. 824 179,779 203,535Hyster-Yale Materials Handling Inc. 41 3,165 3,506ICF International Inc. 554 29,115 41,010Idex Corp. 695 73,359 83,939ITT Inc. 538 22,313 27,828Jacobs Engineering Group Inc. 619 39,592 47,316JetBlue Airways Corp. 4,054 92,253 121,889Joy Global Inc. 896 32,354 33,644Kadant Inc. 931 65,066 76,409Kaman Corp., Class ‘A’ 14,294 794,864 937,938KAR Auction Services Inc. 46,206 2,165,561 2,640,929KBR Inc. 18,920 428,832 423,470Kelly Services Inc., Class ‘A’ 1,864 46,368 57,294Kennametal Inc. 8,985 393,517 376,662Kirby Corp. 309 21,999 27,557Lincoln Electric Holdings Inc. 4,804 381,369 493,939Macquarie Infrastructure Corp. 684 66,030 74,942ManpowerGroup Inc. 647 67,220 77,109MasTec Inc. 10,695 321,472 548,602McGrath Rentcorp. 475 19,705 24,964Middleby Corp. (The) 3,180 539,868 549,315Moog Inc., Class ‘A’ 460 30,962 40,517MRC Global Inc. 912 14,769 24,779Mueller Industries Inc. 1,618 69,794 86,706MYR Group Inc. 2,783 93,959 140,627Nacco Industries Inc., Class ‘A’ 659 45,907 80,024Old Dominion Freight Line Inc. 3,550 306,075 408,423Orbital ATK Inc. 455 45,443 53,531Oshkosh Corp. 5,582 398,895 483,654Overseas Shipholding Group, Inc. 3,663 40,384 18,814

Owens Corning 1,854 116,595 128,194Park-Ohio Holdings Corp. 177 8,708 10,112Quad Graphics Inc. 1,650 45,222 59,478Quanta Services Inc. 12,501 430,429 584,242Regal-Beloit Corp. 514 37,652 47,734Roadrunner Transportation Systems Inc. 4,305 45,395 59,984Sanmina Corp. 4,950 156,576 243,290SkyWest Inc. 271 5,694 13,247Snap-On Inc. 47 9,905 10,795Sparton Corp., 1,217 39,759 38,925Spirit Aerosystems Holdings Inc., Class ‘A’ 1,587 98,788 124,183Spirit Airlines Inc. 5,310 350,612 412,020Standex International Corp. 246 27,087 28,982Supreme Industries Inc., Class ‘A’ 2,345 45,442 49,373Teledyne Technologies Inc. 7,956 867,593 1,312,335Terex Corp. 472 13,738 19,958Tetra Tech Inc. 620 25,232 35,877Timken Co. (The) 626 26,101 33,328Tredegar Corp. 147 3,070 4,731United Rentals Inc. 2,250 283,368 318,573Universal Forest Products Inc. 500 51,630 68,514Vectrus Inc. 2,226 78,530 71,196Viad Corp. 693 34,344 40,984Wabash National Corp. 1,134 20,237 24,058Wabtec Corp. 2,685 304,753 298,932WESCO International Inc. 5,441 489,870 485,592Xylem Inc. 6,344 285,313 421,297

17,701,878 21,359,549

Information Technology – 12.0%ACI Worldwide Inc. 46,064 1,214,471 1,121,200Advanced Energy Industries Inc. 1,601 84,447 117,549Alpha & Omega Semiconductor Ltd. 2,371 59,730 67,631Amkor Technology Inc. 3,712 40,937 52,518ANSYS Inc. 46 5,566 5,706Arrow Electronics Inc. 958 67,371 91,601Avnet Inc. 2,015 111,353 128,652AVX Corp. 401 7,208 8,405Benchmark Electronics Inc. 3,309 88,729 135,345Black Box Corp. 2,072 34,762 42,374Blackhawk Network Holdings Inc. 7,835 370,873 395,856Brocade Communications Systems Inc. 3,652 43,518 61,170CDW Corp. 5,345 368,328 373,376Cognex Corp. 5,195 337,476 443,225CommScope Holding Inc. 10,075 410,527 502,612Commvault Systems Inc. 5,670 302,988 390,833Convergys Corp. 12,593 424,816 414,765CSRA Inc. 11,985 506,797 511,748Cypress Semiconductor Corp. 23,420 359,225 359,300Dolby Laboratories Inc., Class ‘A’ 680 42,748 41,209Eastman Kodak Co. 788 15,685 16,380Entergris Inc. 465 10,046 11,162F5 Network Inc. 2,095 378,448 406,591


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58



FARO Technologies Inc. 662 29,625 31,960Finisar Corp. 111 2,476 4,506First Solar Inc. 931 67,686 40,065IAC/InterActiveCorp. 22,972 1,624,333 1,995,960IDT Corp., Class ‘B’ 3,905 66,291 97,090Insight Enterprises Inc. 1,469 50,642 79,667Intersil Corp., Class ‘A’ 1,213 35,197 36,275Ixia 2,428 32,588 52,423IXYS Corp. 1,453 21,122 23,188j2 Global Inc. 12,383 1,103,142 1,358,389Jabil Circuit Inc. 1,260 29,631 39,996LogMeIn Inc. 3,765 442,369 487,486ManTech International Corp., Class ‘A’ 1,195 54,084 67,708Match Group Inc. 12,930 295,149 296,510Mentor Graphics Corp. 958 24,238 47,393Microsemi Corp. 10,545 500,891 763,210Nanometrics Inc. 1,843 51,362 61,937NeoPhotonics Corp. 2,272 35,476 32,937Netgear Inc. 1,181 63,174 86,078ON Semiconductor Corp. 19,595 314,093 335,306PC Connection Inc. 7 216 264Photronics Inc. 6,755 81,554 102,364Progress Software Corp. 651 22,060 27,876PTC Inc. 5,865 350,758 363,925Rubicon Project Inc. (The) 9,681 132,158 96,332Rudolph Technologies Inc. 911 20,876 28,527ScanSource Inc. 1,290 64,685 69,804Sonus Networks Inc. 5,882 63,290 49,695Square Inc., Class ‘A’ 15,610 279,055 285,328SS&C Tecnologies Holdings Inc. 9,797 404,334 375,754Sykes Enterprises Inc. 3,658 150,251 141,574SYNNEX Corp. 400 44,052 64,918Synopsys Inc. 1,326 62,181 104,667Take-Two Interactive Software Inc. 6,535 408,155 431,966Tech Data Corp. 918 86,657 104,248Teradyne Inc. 2,856 75,348 97,283WEX Inc. 2,515 372,883 376,398Xilinx Inc. 6,715 457,715 543,641Yelp Inc. 7,460 372,392 381,461Zebra Technologies Corp., Class ‘A’ 4,030 426,726 463,484

14,004,964 15,746,801

Materials – 6.5%Avery Dennison Corp. 1,479 149,864 139,275Ball Corp. 4,155 390,381 418,295Bemis Co. Inc. 1,218 78,312 78,109Berry Plastics Group Inc. 6,667 296,436 435,684Brady Corp., Class ‘A’ 2,278 77,701 114,712Cabot Corp. 2,221 130,897 150,532Celanese Corp., Series ‘A’ 3,925 382,662 414,458Chemours Co. (The) 2,445 48,289 72,430Cliffs Natural Resources Inc. 6,588 51,978 74,301

Coeur Mining Inc. 5,622 74,987 68,533Commercial Metals Co. 1,376 30,712 40,190Compass Minerals International Inc. 3,005 299,850 315,739FMC Corp. 22,000 1,251,361 1,668,695Hecla Mining Co. 632 5,121 4,441Huntsman Corp. 4,669 85,940 119,467Innophos Holdings Inc. 747 38,234 52,352Innospec Inc. 636 43,454 58,424Kaiser Aluminum Corp. 692 76,649 72,097Materion Corp. 386 12,849 20,499Olympic Steel Inc. 2,323 73,981 75,483Omnova Solutions Inc. 1,457 17,945 19,539Rayonier Advanced Materials 1,634 22,881 33,877Reliance Steel & Aluminum Co. 1,560 151,768 166,401Royal Gold Inc. 360 38,017 30,584Ryerson Holding Corp. 4,786 90,849 85,684Silgan Holdings Inc. 22,154 1,473,921 1,520,538Sonoco Products Co. 782 49,825 55,267Steel Dynamics Inc. 3,501 114,928 167,049Stepan Co. 274 17,844 29,940SunCoke Energy Inc. 2,591 41,108 39,403United States Steel Corp. 8,066 232,891 357,066US Silica Holdings Inc. 4,700 168,435 357,250Valvoline Inc. 30,940 877,781 892,080Westlake Chemical Corp. 4,850 379,500 364,164

7,277,351 8,512,558

Telecommunication Services – 0.8%ATN International Inc. 571 61,410 61,359Cincinnati Bell Inc. 1,495 36,358 44,809Spok Holdings Inc. 855 20,714 23,792Telephone and Data Systems Inc. 180 5,927 6,969Vonage Holdings Corp. 51,370 448,357 471,894Zayo Group Holdings Inc. 11,380 437,697 501,481

1,010,463 1,110,304

Transportation – 0.3%Swift Transportation Co. 13,150 417,058 429,584

417,058 429,584

Utilities – 2.4%Allete Inc. 1,805 143,248 155,378American States Water Co. 763 43,544 46,618Aqua America Inc. 1,175 47,868 47,335Atmos Energy Corp. 554 41,140 55,089Avista Corp. 1,060 55,007 56,846Connecticut Water Service Inc. 384 26,874 28,761El Paso Electric Co. 149 8,753 9,291Great Plains Energy Inc. 4,735 183,435 173,669Hawaiian Electric Industries Inc. 5,639 226,740 250,081IDACORP Inc. 1,385 131,942 149,610MDU Resources Group Inc. 1,703 49,655 65,705MGE Energy Inc. 429 32,028 37,568Middlesex Water Co. 831 40,767 47,853Northwest Natural Gas Co. 1,265 96,478 101,446


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59


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NorthWestern Corp. 1,492 117,053 113,788ONE Gas Inc. 3,486 269,535 299,007Pinnacle West Capital Corp. 3,379 292,503 353,586Portland General Electric Co. 1,832 103,313 106,453SJW Group 1,495 74,828 112,233Southwest Gas Corp. 2,831 268,405 290,889UGI Corp. 5,745 298,425 355,016Unitil Corp. 1,013 54,071 61,594Vectren Corp. 1,820 111,047 127,283Westar Energy Inc. 1,233 80,809 93,175

2,797,468 3,138,274 Total U.S. Equities 101,030,456 117,061,152

Foreign Equities – 4.1%Bermuda – 1.6%Arch Capital Group Ltd. 683 55,212 79,036Argo Group International Holdings Ltd. 539 39,304 47,634Aspen Insurance Holdings Ltd. 3,759 235,385 277,255Assured Guaranty Ltd. 4,923 161,285 249,357Axis Capital Holdings Ltd. 2,745 208,383 240,271Endurance Specialty Holdings Ltd. 580 38,635 71,870Everest Re Group Ltd. 1,402 329,928 406,865Marvell Technology Group Ltd. 26,648 502,173 495,663Nabors Industries Ltd. 277 4,774 6,092RenaissanceRe Holdings Ltd. 101 15,393 18,450Validus Holdings Ltd. 2,033 109,983 149,977

1,700,455 2,042,470

Ireland – 0.4%Alkermes PLC 3,490 225,397 260,129ICON PLC 2,955 300,590 298,003

525,987 558,132

Luxembourg – 0.0%Intelsat S.A. 6,593 22,302 23,607

22,302 23,607

Marshall Islands – 0.0%International Seaways Inc. 1,220 48,621 22,971

48,621 22,971

Netherlands – 0.5%Chicago Bridge & Iron Co. NV 1,133 47,884 48,241InterXion Holdings NV 5,697 238,661 267,934Wright Medical Group NV 10,660 334,917 328,513

621,462 644,688

Puerto Rico – 0.3%First BanCorp. 1,430 12,143 12,676OFG Bancorp 1,219 21,304 21,415Popular Inc. 4,101 188,440 240,994Triple-S Management Corp., Class ‘B’ 4,488 140,937 124,586

362,824 399,671

Switzerland – 0.0%Allied World Assurance Co. Holdings Ltd. 697 41,734 50,203

41,734 50,203

Taiwan – 0.7%Silicon Motion Technology Corp., ADR 15,610 875,913 889,267

875,913 889,267

United Kingdom – 0.6%International Game Technology PLC 2,785 97,844 95,313Meggit PLC, ADR 46,250 731,349 694,043

829,193 789,356Total Foreign Equities 5,028,491 5,420,365Total Equities 107,660,323 124,420,938


Units $ $

MUTUAL FUND* – 0.0%SEI Money Market Fund, Class ‘O’ 66 657 657

657 657Less: Transaction cost included in average cost (43,555) —Total Non-Derivative Financial Assets – 94.7% 107,617,425 124,421,595Derivative Assets and Liabilities (1) – 0.0% (13,698)Other Assets and Liabilities, Net – 5.3% 6,960,680Net Assets Attributable to Holders of Redeemable Units – 100.0% 131,368,577


60






Unrealized DepreciationUnited States S&P MidCap 400 E-Mini Index

expiration date March 2017 1 USD 1,677.00 224,894 222,494 (2,400)Unrealized Appreciation (Depreciation) on Long Futures Contracts (2,400)




Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 14,439 CAD 19,502 0.740 0.746 140Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 10,444 CAD 14,105 0.740 0.746 102Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 3,224 CAD 4,354 0.740 0.746 31Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 375 CAD 507 0.740 0.746 4Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 308 CAD 417 0.740 0.746 3

280Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 544 USD 403 1.348 1.341 (3)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 642 USD 476 1.348 1.341 (3)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 6,096 USD 4,522 1.348 1.341 (33)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 19,330 USD 14,338 1.348 1.341 (103)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 23,646 USD 17,540 1.348 1.341 (126)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 4,936 CAD 6,492 0.760 0.746 (127)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 5,330 CAD 7,009 0.760 0.746 (137)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 49,936 CAD 65,671 0.760 0.746 (1,288)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 167,756 CAD 220,617 0.760 0.746 (4,326)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 210,533 CAD 276,873 0.760 0.746 (5,432)

(11,578)



61

Fund Specific Notes to the Financial StatementsAS AT DECEMBER 31, 2016 AND 2015Investment ObjectiveTo provide capital appreciation primarily through investment in a diversified portfolio of equity securities of small U.S. companies listed on recognized stock exchanges.




U.S. Dollar 127,312,684 117,321,627 — — 127,312,684 117,321,627 97.33% 94.35%




Hedged Classes 2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 548,207 436,671 (576,588) (468,770) (28,381) (32,099) -5.04% -6.93%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets of all hedgedclasses would have increased or decreased, respectively, by approximately $1,419 (December 31, 2015 – $1,605). In practice, the actual trading results may differ from this sensitivity analysis and thedifference could be material.


Other Price RiskAs at December 31, 2016, a 10% (December 31, 2015 – 10%) increase or decrease in equity prices would have increased or decreased the Fund’s Net Assets by $12,464,343 (December 31, 2015 –$12,062,778) In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Credit Risk As at December 31, 2016 and 2015, the Fund has no significant investments in debt instruments. As at December 31, 2016, please refer to the Schedule of Investment Portfolio for the credit rating ofcounterparties to derivatives held by the Fund. As at December 31, 2016, all counterparties to derivatives had a credit rating of A-1 or higher.



Canadian Equities 1.5 0.6 Consumer Discretionary 8.5 10.2 Consumer Staples 3.7 4.7 Energy 4.7 3.3 Financials 25.9 25.7 Health Care 8.0 7.8 Industrials 16.3 13.9 Information Technology 12.0 11.4 Materials 6.5 5.5 Telecommunication Services 0.8 0.7 Transportation 0.3 —Utilities 2.4 6.3 Foreign Equities 4.1 3.8 Exchange Traded Fund — 0.1 Mutual Fund — —Short Term Note — —Derivative Assets and Liabilities — —Other Assets and Liabilities, Net 5.3 6.0

100.0 100.0



62




Fair Value MeasurementsThe following table summarizes the inputs used as of December 31, 2016 and 2015, in valuing the Fund’s investments and derivatives carried at fair values:


Common shares $ 124,420,938 $ — $ — $ 124,420,938Short term notes — — — — Investments in funds 657 — — 657Derivative assets — 280 — 280Derivative liabilities (2,400) (11,578) — (13,978)

2015

Common shares $ 117,180,121 $ — $ — $ 117,180,121Short term notes — — — — Investments in funds 146,000 — — 146,000 Derivative assets 30,123 — — 30,123 Derivative liabilities — (10,965) — (10,965)




Financial instruments at FVTPL:Held for trading $ 319 $ (1,365)Designated at inception 12,872 25,029





December 31, 2016

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsMoney Market Fund Canada 657 0.0%

657

December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsiShares Russell 2000 ETF United States 145,348 0.0%Money Market Fund Canada 652 0.0%

146,000


63

EAFE Equity Fund


2016 2015


Dividends $ 22,224 $ 21,484 Interest for distribution purposes 59 5 Derivative income (loss) 1,217 (2,679)Net realized gain (loss) on sale of investments 11,347 76,556 Foreign exchange gain (loss) on foreign

currency translation 472 1,333 Net change in unrealized appreciation


(depreciation) of investments and derivatives (56,111) 62,008 (21,126) 159,017

Foreign exchange gain (loss) on cash (446) 1,526TOTAL INCOME (NET) (21,572) 160,543

EXPENSESCustodian and administration fees 1,038 992 Legal fees 51 72 Audit fees 43 39 Interest expense 5 —Management fees 2,196 2,684 Trustee fees 32 31 Independent review committee fees 4 4 Transaction costs 1,083 1,259 Securityholder reporting costs 54 58 Foreign withholding taxes 2,623 2,717 TOTAL EXPENSES 7,129 7,856Waived expenses (10) (5)NET EXPENSES 7,119 7,851

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ (28,691) $ 152,692


(Class D) $ (2,495) $ 6,276(Class E) $ (45) $ 116(Class F) $ (85) $ 576(Class I) $ (2) $ 10(Class O) $ (22,566) $ 135,049(Class P) $ (3,498) $ 10,665(Class Z) $ — $ —


(Class D) 6,664 6,769(Class E) 147 136(Class F) 1,027 506(Class I) 9 8 (Class O) 119,290 113,721(Class P) 7,201 9,946(Class Z) 2 2


(Class D) $ (0.37) $ 0.93(Class E) $ (0.31) $ 0.86(Class F) $ (0.08) $ 1.14(Class I) $ (0.30) $ 1.15(Class O) $ (0.19) $ 1.19(Class P) $ (0.49) $ 1.08(Class Z) $ (0.21) $ 0.07* Based on the weighted average number of units outstanding during the period.

SEEF (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 805,709 $ 816,888 Cash including foreign currency holdings 36,773 38,537 Accrued dividends receivable 2,255 2,327 Margin receivable on futures 4,695 1,649 Receivable for portfolio securities sold 29 3,113 Receivable for unit subscriptions 829 1,085 Receivable from manager 4 1 Prepaid expenses 117 208 Derivative assets 2 363


Accrued liabilities 404 320 Payable for portfolio securities purchased 668 4,328 Payable for unit redemptions 789 2,014 Derivative liabilities 72 6 Other liabilities — 30

1,933 6,698NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 848,480 $ 857,473


(Class D) $ 37,596 $ 41,762(Class E) $ 1,128 $ 975(Class F) $ 7,464 $ 4,486(Class I) $ 55 $ 57(Class O) $ 770,888 $ 755,579(Class P) $ 31,339 $ 54,604(Class Z) $ 10 $ 10




64

EAFE Equity Fund




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (28,691) 152,692 (2,495) 6,276

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (17,047) (12,358) — —

(17,047) (12,358) — —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 156,083 179,659 6,908 11,063 Payments on redemption of units (136,244) (225,140) (8,579) (8,972)Reinvestment of distributions 16,906 12,296 — —

36,745 (33,185) (1,671) 2,091CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (8,993) 107,149 (4,166) 8,367NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class E Class F2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (45) 116 (85) 576

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (10) (3) (105) (40)

(10) (3) (105) (40)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 494 554 4,756 2,061 Payments on redemption of units (296) (218) (1,655) (806)Reinvestment of distributions 10 3 67 40

208 339 3,168 1,295 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 153 452 2,978 1,831 NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 1,128 $ 975 $ 7,464 $ 4,486

(The accompanying notes are an integral part of these financial statements) SEEF

65

EAFE Equity Fund


Class I Class O2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (2) 10 (22,566) 135,049

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (1) — (16,931) (12,315)

(1) — (16,931) (12,315)CAPITAL UNIT TRANSACTIONSProceeds from issue of units — — 135,494 146,514Payments on redemption of units — — (97,516) (178,608)Reinvestment of distributions 1 — 16,828 12,253

1 — 54,806 (19,841) CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (2) 10 15,309 102,893NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class P Class Z2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (3,498) 10,665 — —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 8,431 19,457 — 10 Payments on redemption of units (28,198) (36,536) — —


HOLDERS OF REDEEMABLE UNITS (23,265) (6,414) — 10 NET ASSETS ATTRIBUTABLE TO HOLDERS OF



66

EAFE Equity Fund



CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ (28,691) $ 152,692Adjustments for:

Foreign exchange (gain) loss on cash 193 (251)Net realized (gain) loss on sale of investments (11,347) (76,556)Net change in unrealized (appreciation) depreciation of investments and derivatives 56,111 (62,008)Purchases of investments (406,499) (519,837)Proceeds from the sale of investments 372,765 544,827 Change in margin receivable on futures (3,046) (752)Change in dividends receivable 72 (442)Change in other assets 88 32 Change in other liabilities 54 (28)

(20,300) 37,677


18,729 (44,257)

Increase (decrease) in cash during the period (1,571) (6,580)Foreign exchange gain (loss) on cash (193) 251Cash at beginning of period 38,537 44,866 Cash at end of period 36,773 38,537


67

EQUITIES – 95.0%Australia – 2.2%AGL Energy Ltd. 2,578 46,581 55,300Alumina Ltd. 80,999 125,929 143,938Aristocrat Leisure Ltd. 99,374 1,390,217 1,495,712ASX Ltd. 6,726 311,921 324,867BGP NPV 73,834 — —BHP Billiton Ltd. 2,319 59,137 56,432Bluescope Steel Ltd. 15,024 98,152 135,387Boral Ltd. 5,642 34,160 29,640Brambles Ltd. 39,702 368,035 478,055Challenger Ltd. 16,376 123,205 178,738CIMIC Group Ltd. 3,546 83,006 120,311Cochlear Ltd. 6,303 741,568 750,074Commonwealth Bank of Australia 31,982 2,410,623 2,559,346CSL Ltd. 34,836 3,124,448 3,396,634CSR Ltd. 54,544 204,115 244,699Dexus Property Group 27,717 245,927 258,920Domino’s Pizza Enterprises Ltd. 1,966 150,024 124,072Downer EDI Ltd. 61,963 222,257 366,432Fortescue Metals Group Ltd. 189,001 912,375 1,080,993Insurance Australia Group Ltd. 273,708 1,602,310 1,592,054Macquarie Group Ltd. 2,767 203,687 234,083Newcrest Mining Ltd. 9,210 173,483 181,104Origin Energy Ltd. 5,724 35,524 36,629OZ Minerals Ltd. 64,817 347,844 496,603Qantas Airways Ltd. 350,985 912,005 1,134,949Ramsay Health Care Ltd. 3,025 156,089 200,627Rio Tinto Ltd. 8,419 492,804 489,701Scentre Group 31,123 140,569 140,231Seek Ltd. 11,016 172,359 159,173South32 Ltd. 664,557 1,517,883 1,774,633Transurban Group 32,907 294,238 329,770Treasury Wine Estates Ltd. 24,249 200,148 251,483Vicinity Centres 21,782 70,205 63,243Vocus Communications Ltd. 1,961 15,717 7,369Whitehaven Coal Ltd. 12,788 34,160 32,411

17,020,705 18,923,613

Austria – 0.3%Andritz AG 17,600 1,062,175 1,187,354IMMOEAST AG 88,961 — —OMV AG 19,462 703,478 923,855Raiffeisen International Bank-Holding AG 2,835 65,399 69,694Voestalpine AG 2,641 133,389 139,301

1,964,441 2,320,204

Belgium – 1.7%Ageas NV 78,433 2,990,478 4,172,503Agfa Gevaert NV 13,017 41,936 67,628Anheuser-Busch InBev NV 1,501 215,603 213,480Bekaert SA 3,569 211,396 194,282Colruyt NV 2,495 187,479 165,886Groupe Bruxelles Lambert SA 22,288 2,127,400 2,513,234

KBC Group NV 41,000 2,866,194 3,411,750Ontex Group NV 78,000 3,656,419 3,116,790Umicore 3,305 246,880 253,142

12,543,785 14,108,695

Bermuda – 0.7%Axis Capital Holdings Ltd. 37,951 1,632,476 3,321,864Frontline Ltd. 98,640 971,246 940,519Lazard Ltd., Class ‘A’ 26,522 1,917,938 1,461,461

4,521,660 5,723,844

Brazil – 0.6%Ambev SA, ADR 167,040 1,258,056 1,099,884Embraer SA 292,500 2,219,165 1,928,324Itau Unibanco Holding SA, ADR 133,000 1,848,932 1,833,537Metalurgica Gerdau SA, Preferred 241,900 229,409 478,422

5,555,562 5,340,167

Canada – 2.7%Alimentation Couche-Tard Inc., Class ‘B’ 24,300 629,644 1,479,384Cameco Corp. 121,341 2,424,884 1,703,628Canadian Imperial Bank of Commerce 15,100 1,436,793 1,654,356Canadian Natural Resources Ltd. 57,502 2,090,252 2,460,510Canadian Pacific Railway Ltd. 13,813 2,698,876 2,646,018Cogeco Inc. 1,262 72,110 71,581Constellation Software Inc. 3,100 1,675,817 1,891,372Encana Corp. 109,669 1,362,849 1,728,383Entertainment One Ltd. 17,751 114,936 67,742Gildan Activewear Inc. 62,100 2,196,333 2,116,989Home Capital Group Inc. 26,527 1,110,687 831,356Lucara Diamond Corp. 7,700 16,003 23,408Magna International Inc. 15,600 479,805 909,480Manulife Financial Corp. 21,400 375,367 511,674Medical Facilities Corp. 2,291 50,205 40,253North American Energy Partners Inc. 4,081 22,027 21,140Peyto Exploration & Development Corp. 26,400 840,190 876,744Royal Bank of Canada 19,500 1,471,401 1,771,965Suncor Energy Inc. 32,538 1,273,914 1,428,418Teck Resources Ltd., Class ‘B’ 3,100 98,365 83,297Toronto-Dominion Bank (The) 10,100 639,857 668,822

21,080,315 22,986,520

Chile – 0.0%Latam Airlines Group SA, ADR 2,026 23,204 22,225

23,204 22,225

China – 1.0%Alibaba Group Holding Ltd. 11,200 1,092,043 1,318,885Baidu Inc., ADR 18,250 4,075,411 4,023,797Ctrip.com International Ltd., ADR 27,011 1,725,487 1,448,924Tencent Holdings Ltd. 63,300 1,583,724 2,077,007

8,476,665 8,868,613

Denmark – 1.6%Christian Hansen Holdings AS 20,789 1,488,562 1,546,696Coloplast AS, Class ‘B’ 20,843 1,923,823 1,888,532


Shares $ $


Shares $ $


EAFE Equity Fund


68

DSV AS 1,050 57,689 62,760Genmab AS, Bearer 1,978 435,310 441,375H. Lundbeck AS 7,627 361,743 416,843ISS AS 69,413 2,365,045 3,147,970Nets AS 44,200 1,248,143 1,039,260Novozymes AS, Class ‘B’ 32,054 2,122,438 1,484,789Pandora AS 6,323 935,639 1,111,421Skandinavisk Tobakskompagni AS 65,156 1,360,570 1,473,737Tryg AS 1,516 36,965 36,828Vestas Wind Systems AS 8,098 748,242 707,089William Demant Holding AS 1,727 45,957 40,344

13,130,126 13,397,644

Finland – 1.2%Atria OYJ 6,537 92,832 106,241Cargotec Corp., Class ‘B’ 3,961 240,720 240,301Elisa OYJ 950 48,166 41,562Fortum OYJ 13,619 277,211 280,672Kone OYJ, Class ‘B’ 2,507 169,247 150,957Metso OYJ 3,181 116,763 121,935Neste Oil OYJ 38,229 1,216,713 1,973,696Nokia OYJ 539,462 3,816,933 3,500,892Orion OYJ, Class ‘B’ 11,408 451,692 682,404Outokumpu OYJ, Series ‘A’ 36,615 380,803 440,482Sampo OYJ, Series ‘A’ 5,355 296,796 322,598Stora Enso OYJ, Series ‘R’ 81,511 793,127 1,177,163UPM-Kymmene Corp. OYJ 43,728 843,281 1,443,627

8,744,284 10,482,530

France – 8.4%Air Liquide SA 7,312 1,038,183 1,092,698Alstom SA 10,311 395,275 381,753Altamir SCA 2,841 43,892 51,317Arkema 14,927 1,386,095 1,962,319Atos SE 6,822 659,484 967,366Axway Software SA 1,569 52,143 67,911Bigben Interactive 12,000 102,938 118,816BNP Paribas SA 45,687 3,210,159 3,912,923Boiron SA 619 62,169 73,696Carrefour SA 115,018 4,086,226 3,723,969Christian Dior SA 1,684 428,565 474,608CNP Assurances 5,960 140,233 148,373Compagnie de Saint-Gobain SA 2,773 160,540 173,583Compagnie Générale des Établissements Michelin,

Series ‘B’, Registered 276 38,343 41,265Credit Agricole Nord de France CCI 4,112 104,033 106,439Dassault Systèmes SA 1,301 134,070 133,214Edenred 2,748 80,676 73,211Eiffage SA 1,808 178,814 169,426Elior Participations SCA 27,800 776,274 854,081Engie 234,923 5,119,452 4,027,381Essilor International SA 13,255 2,183,049 2,012,687Euler Hermes SA 2,300 258,091 271,649Fonciere des Regions 377 46,514 44,228Gecina SA 1,142 221,204 212,335

Hermes International 2,854 1,330,291 1,574,393Ipsen SA 6,088 316,689 591,597Ipsos 22,263 913,323 939,831Jacquet Metal Service 2,992 74,029 83,838Kering 167 48,214 50,385Legrand SA 8,528 373,517 650,778L’Oréal SA 1,082 241,142 265,382LVMH Moët Hennessy-Louis Vuitton SA 7,723 1,770,308 1,981,608Natixis SA 9,315 62,221 70,622Nexans SA 3,383 229,038 235,478Nexity SA 2,743 169,561 172,500Orange SA 174,610 3,787,825 3,565,171Pernod-Ricard SA 8,695 1,056,500 1,266,165PSA Peugeot Citroën SA 71,046 1,424,893 1,557,133Publicis Groupe 34,406 2,902,444 3,190,079Rémy Cointreau SA 715 82,486 81,939Renault SA 161 18,752 19,246Rexel SA 31,673 606,188 700,457Sanofi SA 60,075 5,528,316 6,534,534Schneider Electric SE 62,259 5,030,811 5,821,887Société Générale SA 26,534 1,539,843 1,754,415Sodexho Alliance SA 8,619 727,617 1,331,294SPIE SA 40,045 930,837 1,133,701Technip SA 3,309 262,453 317,384Thales SA 24,998 1,518,665 3,257,623Total SA 147,433 9,238,630 10,160,065Valeo SA 30,720 1,914,082 2,372,946Vetoquinol SA 465 23,363 29,946Vinci SA 4,912 463,117 449,528

63,491,577 71,255,173

Germany – 6.5%Adidas AG 12,092 2,342,843 2,568,136Allianz AG, Registered 10,442 2,277,319 2,318,878BASF SE 23,087 2,480,574 2,883,845Bayerische Motoren Werke (BMW) AG, Preferred 1,680 161,503 172,758Brenntag AG 13,721 481,680 1,026,138Continental AG 6,295 952,694 1,635,684Covestro AG 2,462 204,220 226,811CTS Eventim AG & Co KGaA 11,200 456,847 474,360Deutsche Bank AG, Registered 30,455 778,546 743,091Deutsche Boerse AG 22,162 2,137,554 2,433,321Deutsche Lufthansa AG 66,191 1,219,565 1,148,783Deutsche Wohnen AG 9,828 240,011 416,654Evonik Industries AG 10,123 493,419 406,365Fresenius SE 3,470 299,191 364,484GEA Group AG 11,800 676,002 637,087Gerresheimer AG 6,700 737,414 667,425H&R GmbH & Co. KGaA 1,525 24,605 32,259Hannover Rueckversicherungs SE 8,790 1,177,935 1,278,134HeidelbergCement AG 4,279 500,662 536,435Hella KGaA Hueck & Co. 27,261 1,395,542 1,382,181Henkel AG & Co. KGaA 892 86,511 124,884Henkel AG & Co. KGaA, Preferred 10,025 1,070,126 1,605,895Hochtief AG 9,259 924,993 1,742,503


Shares $ $


Shares $ $


EAFE Equity Fund


69

Indus Holding AG 11,621 819,466 848,837Infineon Technologies AG 25,539 557,249 596,411Kloeckner & Co. SE 16,861 277,403 284,046Koenig & Bauer AG 1,288 84,847 77,884Lanxess AG 2,876 238,759 253,641Linde AG 8,829 1,701,745 1,949,436Merck KGaA 10,122 818,155 1,419,559Osram Licht AG 5,420 329,005 377,304Porsche AG, Preferred 3,009 205,776 220,979RWE AG, Class ‘A’ 2,917 52,256 48,749SAP AG 84,649 7,599,511 9,915,146SAP SE, ADR 18,300 1,383,911 2,121,097Siemens AG, Registered 21,836 2,394,891 3,607,534Suedzucker AG 2,377 84,623 76,288Symrise AG, Bearer 2,722 225,384 222,657Talanx AG 22,014 954,556 985,835ThyssenKrupp AG 1,768 54,446 56,618TUI AG, Registered 30,372 509,176 572,017Volkswagen AG 188 35,461 36,365Volkswagen AG, Preferred 34,974 8,177,379 6,596,793Vonovia SE 930 39,062 40,565

47,662,817 55,133,872

Hong Kong – 2.1%Aeon Credit Service (Asia) Co. Ltd. 58,000 56,685 55,478AIA Group Ltd. 503,602 3,160,740 3,810,942Bank of East Asia Ltd. 14,600 79,708 75,003BOC Hong Kong (Holdings) Ltd. 31,000 151,731 148,796Chaoda Modern Agriculture Holdings Ltd. 900,000 459,705 36,116China Merchants Port Holdings Co. Ltd. 345,862 1,168,307 1,150,998China Mobile Ltd. 321,252 3,768,704 4,567,562CLP Holdings Ltd. 25,000 295,155 308,100CNOOC Ltd. 1,802,000 3,041,997 3,023,384Galaxy Entertainment Group Ltd. 91,000 582,965 532,016Henderson Land Development Co. Ltd. 185,240 1,191,317 1,321,678HK Electric Investments and

HK Electric Investments Ltd. 93,500 106,683 103,504HKT Trust and HKT Ltd. 82,000 154,494 134,884Hysan Development Co. Ltd. 21,000 124,486 116,416IMAX China Holding Inc. 145,571 1,211,799 956,809Lai Fung Holdings Ltd. 660,000 18,922 18,380Link REIT 12,000 97,012 104,611MTR Corp. Ltd. 50,000 267,038 326,045New World Development Co. Ltd. 147,000 232,648 208,496Power Assets Holdings Ltd. 4,500 49,907 53,201Techtronic Industries Co. Ltd. 131,800 646,341 633,763Wharf (Holdings) Ltd. (The) 15,000 142,716 133,748Wheelock and Co. Ltd. 23,000 174,586 173,652Yue Yuen Industrial Holdings Ltd. 7,500 40,431 36,518

17,224,077 18,030,100

India – 0.2%HDFC Bank Ltd., ADR 18,094 1,379,189 1,472,398Rain Industries Ltd. 72,809 67,163 78,981

1,446,352 1,551,379

Indonesia – 0.0%PT Telekomunikasi Indonesia Persero TBK,

Series ‘B’ 994,800 281,356 394,108281,356 394,108

Ireland – 1.5%Accenture PLC, Class ‘A’ 16,410 2,459,556 2,577,637Bank of Ireland 7,753,700 2,171,311 2,566,370CRH PLC 13,449 535,594 626,911DCC PLC 10,340 659,756 1,034,899Experian PLC 98,738 2,416,156 2,575,310ICON PLC 24,566 1,857,548 2,477,406James Hardie Industries SE 10,959 179,427 233,800Jazz Pharmaceuticals PLC 4,229 624,807 618,342

10,904,155 12,710,675

Israel – 1.6%Bank Hapoalim Ltd. 91,279 691,793 728,673Bank Leumi Le Israel 92,525 484,104 511,327Bezeq Israel Telecommunication Corp. Ltd. 504,290 604,058 1,286,258Check Point Software Technologies Ltd. 16,000 816,379 1,812,241Dor Alon Energy In Israel (1988) Ltd. 1,634 28,944 30,085Elco Ltd. 6,537 114,600 126,235Frutarom Industries Ltd. 34,100 2,367,120 2,341,950Orbotech Ltd. 1,557 66,499 69,761Plus500 Ltd. 9,656 105,287 61,522Teva Pharmaceutical Industries Ltd., ADR 137,375 8,210,446 6,678,219Wix.com Ltd. 587 35,009 35,070

13,524,239 13,681,341

Italy – 1.0%Atlantia SPA 3,176 95,949 100,000Azimut Holding SPA 41,115 1,286,298 922,355Brembo SPA 27,904 1,746,540 2,269,493Buzzi Unicem SPA 65,601 1,996,361 2,088,721Enel SPA 21,533 128,566 127,557Luxottica Group SPA 18,946 1,310,245 1,369,408Prysmian SPA 5,887 164,887 203,179Recordati SPA 22,477 654,090 855,870Saras Raffinerie 148,805 481,666 362,027Terna SPA 5,398 38,389 33,229

7,902,991 8,331,839

Japan – 17.6%77 Bank Ltd. (The) 38,000 228,046 246,422Adastria Co. Ltd. 10,700 342,097 372,771Air Water Inc. 5,100 121,016 123,728Alfresa Holdings Corp. 3,400 95,341 75,605Amada Co. Ltd. 10,500 131,909 157,549ARC LAND SAKAMOTO Co. Ltd. 5,000 46,171 78,128Asahi Glass Co. Ltd. 145,000 1,174,506 1,327,080Asahi Group Holdings Ltd. 24,200 1,025,109 1,026,734Asahi Kasei Corp. 17,000 204,727 199,275ASKUL Corp. 29,913 1,439,856 1,375,739Bandai Namco Holdings Inc. 8,000 315,678 296,644Brother Industries Ltd. 8,100 196,841 196,416Calsonic Kansei Corp. 10,000 104,164 205,696


Shares $ $


Shares $ $


EAFE Equity Fund


70

Canon Marketing Japan Inc. 17,900 360,519 404,625Central Japan Railway Co. 4,300 552,748 950,744Chubu Steel Plate Co. Ltd. 4,200 30,396 29,457Dai Nippon Printing Co. Ltd. 175,000 2,069,262 2,324,000Daiichi Sankyo Co. Ltd. 14,500 412,465 398,708Daikin Industries Ltd. 16,900 1,651,898 2,085,955Daikyo Inc. 168,000 372,453 452,003Daito Trust Construction Co. Ltd. 9,300 1,084,548 1,879,827Daiwa House Industry Co. Ltd. 34,500 555,017 1,267,774Daiwa House REIT Investment Corp. 38 132,022 129,153Daiwa Securities Group Inc. 25,000 203,120 207,047Don Quijote Holdings Co. Ltd. 19,124 920,071 951,001East Japan Railway Co. 39,300 4,020,571 4,563,836Fanuc Corp. 300 69,097 68,349Fuji Heavy Industries Ltd. 800 38,797 43,894Fujifilm Holdings Corp. 116,950 4,122,407 5,963,620Fujitsu General Ltd. 30,000 694,145 853,369Fujitsu Ltd. 161,000 1,103,135 1,202,323Furukawa Electric Co. Ltd. (The) 17,000 525,924 668,484Hamamatsu Photonics K.K. 4,400 173,238 155,566Hino Motors Ltd. 2,600 36,612 35,574Hirose Electric Co. Ltd. 400 67,928 66,641Hisamitsu Pharmaceutical Co. Inc. 2,000 121,208 134,525Hitachi Chemical Co. Ltd. 3,600 108,808 120,989Hitachi Construction Machinery Co. Ltd. 3,700 102,775 107,674Hitachi High-Technologies Corp. 2,100 85,958 113,846Hitachi Ltd. 564,000 4,054,117 4,098,380Hitachi Metals Ltd. 6,400 110,810 116,560HOSHIZAKI ELECTRIC CO. LTD. 1,600 183,479 170,168Hurxley Corp. 4,400 62,083 57,370Idemitsu Kosan Co. Ltd. 3,000 91,444 107,102IHI Corp. 34,000 127,717 118,842Information Services International - Dentsu 3,100 54,801 63,873Isuzu Motors Ltd. 9,500 152,263 161,769ITOCHU Corp. 7,500 120,160 133,835Japan Airlines Co. Ltd. 99,100 4,240,543 3,891,172Japan Post Holdings Co. Ltd. 6,400 108,636 107,362Japan Prime Realty Investment Corp. 23 129,060 121,779Japan Real Estate Investment Corp. 8 63,216 58,593Japan Retail Fund Investment Corp. 40 123,638 108,816Japan Securities Finance Co. Ltd. 12,400 64,533 90,819Japan Tobacco Inc. 119,856 4,955,936 5,297,357JGC Corp. 6,500 146,537 158,739Kanematsu Electronics Ltd. 2,500 64,095 72,063Kansai Paint Co. Ltd. 63,900 825,066 1,581,834KDDI Corp. 128,600 2,043,989 4,375,981Keyence Corp. 5,100 2,719,530 4,702,845Koito Manufacturing Co. Ltd. 48,503 2,012,768 3,452,036Komatsu Ltd. 89,500 2,197,166 2,724,426Konami Holdings Corp. 23,100 861,804 1,253,632KOSE Corp. 4,200 450,225 468,905Kuraray Co. Ltd. 8,900 171,514 179,693Kyocera Corp. 600 38,841 40,095Lion Corp. 22,000 500,561 485,669Mabuchi Motor Co. Ltd. 42,600 1,437,477 2,987,827Makita Corp. 3,400 272,475 306,095Maruichi Steel Tube Ltd. 1,900 87,883 83,124

MAXVALU NISHINIHON CO. LTD. 2,700 50,110 51,564McDonald’s Holdings Co. (Japan) Ltd. 1,100 43,186 38,702Meiji Holdings Co. Ltd. 2,200 167,406 231,704Mitsubishi Chemical Holdings Corp. 57,000 496,318 496,775Mitsubishi Corp. 2,300 67,891 65,848Mitsubishi Electric Corp. 26,500 432,078 496,497Mitsubishi Gas Chemical Co. Inc. 6,300 122,426 144,511Mitsui Chemicals Inc. 26,000 134,792 156,945Mitsui Home Co. Ltd. 5,000 27,629 29,319Mitsui O.S.K. Lines Ltd. 10,000 34,528 37,253Mitsui Sumitomo Insurance Group Holdings Inc. 100,600 2,690,545 4,191,816mixi Inc. 14,000 640,299 687,341Mochida Pharmaceutical Co. Ltd. 1,200 126,864 111,897Morinaga Milk Industry Co. Ltd. 6,000 53,275 58,087Nabtesco Corp. 20,400 591,172 637,757Nagoya Railroad Ltd. 12,000 76,781 77,955Nidec Corp. 2,100 212,577 243,507Nikon Corp. 96,200 1,881,003 2,009,769Nippon Building Fund Inc. 31 249,333 230,612Nippon Electric Glass Co. Ltd. 13,000 86,863 94,466Nippon Paint Holdings Co. Ltd. 5,600 228,307 205,075Nippon Prologis REIT Inc. 43 130,032 118,114Nippon Telegraph & Telephone Corp. 11,300 266,527 638,194Nippon Telegraph and Telephone Corp., ADR 67,027 2,155,972 3,781,528Nitori Holdings Co. Ltd. 2,300 240,478 353,305Nomura Real Estate Master Fund Inc. 118 243,406 239,872NTT Data Corp. 7,700 531,709 500,213NTT DOCOMO INC. 101,399 2,933,307 3,104,709Omron Corp. 1,200 61,929 61,881Ono Pharmaceutical Co. Ltd. 5,900 325,267 173,358Orix Corp. 1,600 34,362 33,555Otsuka Holdings Co. Ltd. 23,200 825,355 1,358,557Panasonic Corp. 400,600 4,913,461 5,478,876Park24 Co. Ltd. 3,000 99,071 109,344Pigeon Corp. 55,132 2,031,863 1,894,723Pioneer Corp. 24,700 77,353 67,023POLA ORBIS HOLDINGS INC. 300 35,060 33,286Rohm Co. Ltd. 29,400 1,592,492 2,274,985Saizeriya Co. Ltd. 8,800 284,816 265,904Santen Pharmaceutical Co. Ltd. 67,200 629,960 1,104,896SBI Holdings Inc. 6,700 110,167 114,552SECOM Co. Ltd. 1,600 157,878 157,254Sega Sammy Holdings Inc. 23,200 480,464 463,878Seiko Epson Corp. 3,500 95,335 99,600Sekisui Chemical Co. Ltd. 14,100 267,601 302,191Sekisui House Ltd. 90,600 1,200,654 2,026,635Seven & I Holdings Co. Ltd. 41,500 1,402,965 2,124,794Shimano Inc. 1,000 149,718 210,870Shionogi & Co. 26,900 1,488,035 1,731,725SMC Corp. 4,200 919,605 1,347,558So-net M3 Inc. 4,900 187,344 165,920Sony Corp. 7,000 258,623 263,588Stanley Electric Co. Ltd. 5,200 188,493 191,025START TODAY CO. LTD. 5,400 109,367 125,356SUGIMOTO & CO. LTD. 3,400 60,673 58,444Sumitomo Corp. 10,800 174,639 170,805Sumitomo Dainippon Pharma Co. Ltd. 5,200 95,114 120,175


Shares $ $


Shares $ $


EAFE Equity Fund


71

Sumitomo Heavy Industries Ltd. 10,000 81,849 86,579Sumitomo Mitsui Financial Group Inc. 86,400 3,660,912 4,430,622Sumitomo Mitsui Trust Holdings Inc. 66,962 2,712,090 3,220,567Sumitomo Rubber Industries Ltd. 5,200 117,161 110,968SUNDRUG CO. LTD. 12,800 675,392 1,190,624Suruga Bank Ltd. 5,400 160,800 161,988Suzuki Motor Corp. 58,000 2,904,305 2,743,521Sysmex Corp. 18,900 1,471,884 1,471,183Taiheiyo Cement Corp. 32,000 104,571 136,134Taisei Corp. 9,000 83,303 84,647Taisho Pharmaceutical Holdings Co. Ltd. 1,200 158,301 133,835TECHNO RYOWA Ltd. 3,900 32,171 34,483Teijin Ltd. 23,400 550,710 637,378Temp Holdings Co., Ltd. 119,442 2,653,016 2,489,837Terumo Corp. 8,400 446,314 416,751THK Co. Ltd. 4,200 102,883 124,880TIGERS POLYMER CORP. 4,200 33,617 38,633TIS Inc. 10,500 285,973 301,818TOHO GAS Co. Ltd. 14,000 122,255 153,082Tokio Marine Holdings Inc. 62,700 2,780,268 3,457,505Tokyo Electric Power Co. Holdings Inc. 82,400 597,153 447,183Tokyo Electron Ltd. 4,000 444,913 507,974Tokyo Gas Co. Ltd. 34,000 193,209 206,761Toppan Printing Co. Ltd. 10,000 116,876 128,316Topre Corp. 54,000 1,692,116 1,816,704Toshiba Corp. 56,000 276,104 182,282Tosoh Corp. 26,000 218,028 247,226Toto Ltd. 4,300 172,634 228,663Toyota Motor Corp. 25,900 1,345,724 2,048,227Toyota Motor Corp., ADR 25,637 3,150,143 4,029,394Tsuruha Holdings Inc. 22,486 1,853,423 2,869,798Ube Industries Ltd. 404,000 1,093,589 1,138,056United Urban Investment Corp. REIT 54 121,985 110,455Wacoal Corp. 158,573 1,954,182 2,485,085Yamaha Corp. 5,700 191,566 233,969Yamaha Motor Co. Ltd. 1,200 38,023 35,515Yamazaki Baking Co. Ltd. 22,000 353,046 571,166YASKAWA Electric Corp. 7,400 142,301 154,683Yokogawa Electric Corp. 7,300 125,516 142,101Yokohama Rubber Co. Ltd. (The) 1,800 44,108 43,379Yushiro Chemical Industry Co. Ltd. 1,700 31,433 28,088Zenkoku Hosho Co. Ltd. 2,500 109,729 107,936

120,089,004 149,189,621

Jersey Channel Islands – 0.0%Randgold Resources Ltd. 273 34,727 29,020

34,727 29,020

Luxembourg – 1.2%APERAM 11,007 419,119 676,711ArcelorMittal SA 171,243 1,334,775 1,699,405Eurofins Scientific SE 5,186 2,618,455 2,970,859Tenaris SA 184,695 3,233,931 4,433,345Ternium SA, ADR 5,237 118,483 169,607

7,724,763 9,949,927

Malaysia – 0.1%Hua Yang BHD 80,900 31,589 27,328Tenaga Nasional BHD 121,900 546,273 506,529

577,862 533,857

Mexico – 0.1%Fresnillo PLC 7,270 138,586 147,093Grupo México SAB de CV, Series ‘B’ 15,978 50,226 58,546Wal-Mart de Mexico SAB de CV, Series ‘V’ 275,800 896,800 666,061

1,085,612 871,700

Netherlands – 7.5%ABN AMRO Group NV 45,283 1,297,622 1,348,285AEGON NV 39,256 273,069 290,293AerCap Holdings NV 24,128 1,310,757 1,346,369Akzo Nobel NV 58,550 3,797,752 4,918,523Altice NV, Class ‘A’ 2,522 57,451 67,172ASML Holding NV 40,252 4,172,324 6,072,155Core Laboratories NV 14,068 2,035,451 2,264,662EXOR NV 12,268 440,449 711,116Heineken Holding NV 10,044 989,625 939,648Heineken NV 7,775 848,542 783,683Ing Groep NV 288,188 3,752,238 5,450,066Koninklijke Ahold Delhaize NV 209,339 5,098,805 5,930,968Koninklijke DSM NV 55,840 3,981,559 4,498,937Koninklijke Philips NV 41,229 1,476,572 1,690,916Mobileye NV 9,000 489,027 460,087NN Group NV 645 25,847 29,373NXP Semiconductors NV 10,500 1,037,927 1,380,081PostNL NV 117,894 1,471,009 682,373QIAGEN NV 2,606 89,767 97,924Refresco Group NV 90,697 1,829,187 1,851,202RELX NV 61,212 781,152 1,384,457Royal Dutch Shell PLC, Class ‘A’ 94,889 3,183,144 3,487,652Royal Dutch Shell PLC, Class ‘B’ 241,742 7,632,856 9,429,725Unilever NV 35,158 1,731,113 1,945,190Wolters Kluwer NV 63,341 1,930,886 3,083,829Yandex NV, Class ‘A’ 125,023 3,169,042 3,375,038

52,903,173 63,519,724

New Zealand – 0.2%Air New Zealand Ltd. 90,875 179,926 186,528Fletcher Building Ltd. 21,749 219,165 215,581Meridian Energy Ltd. 33,838 78,551 82,270Restaurant Brands New Zealand Ltd. 16,984 83,162 80,680Sky City Entertainment Group Ltd. 285,000 1,091,592 1,047,375

1,652,396 1,612,434

Norway – 1.2%Aker Solutions ASA 172,878 1,589,800 1,114,251DNB ASA 2,814 54,462 56,292Gjensidige Forsikring ASA 6,244 141,727 133,273Grieg Seafood ASA (The) 60,936 397,232 775,629Leroey Seafood Group ASA 10,613 722,093 795,484Marine Harvest 32,173 608,091 780,437Norsk Hydro ASA 154,991 970,840 997,274


Shares $ $


Shares $ $


EAFE Equity Fund


72

Orkla ASA 15,894 175,102 193,641Salmar ASA 5,487 233,462 220,638Solon Eiendom ASA 11,854,772 273,190 295,509Sparebank 1 Nord-Norge 14,905 90,402 121,332Sparebanken 1 SMN 79,896 720,472 805,977Statoil ASA 62,391 1,522,603 1,539,696Telenor ASA 111,907 2,684,171 2,249,080

10,183,647 10,078,513

Portugal – 0.5%Galp Energia, SGPS SA, Class ‘B’ 200,839 3,543,940 4,031,113Jeronimo Martins SGPS SA 8,240 157,173 171,798

3,701,113 4,202,911

Singapore – 1.0%CapitaLand Commercial Trust Ltd. 63,200 90,330 86,825Capitaland Ltd. 35,600 107,549 99,799City Developments Ltd. 330,500 2,807,229 2,540,207ComfortDelGro Corp. Ltd. 15,000 40,877 34,392DBS Group Holdings Ltd. 55,800 678,347 898,154Flextronics International Ltd. 115,581 1,206,281 2,227,349Jardine Cycle & Carriage Ltd. 3,200 113,545 122,470k1 Ventures Ltd. 34,300 30,735 28,496Oversea-Chinese Banking Corp. Ltd. 214,000 1,780,550 1,771,927Sing Investments & Finance Ltd. 7,400 9,097 8,071Singapore Exchange Ltd. 900 6,571 5,982Singapore Technologies Engineering Ltd. 13,800 43,909 41,376Sunningdale Tech Ltd. 78,000 92,482 79,644Suntec REIT 75,900 122,394 116,250Wilmar International Ltd. 9,900 33,685 32,991Yanlord Land Group Ltd. 56,400 63,647 69,107

7,227,228 8,163,040

South Africa – 0.2%Alexander Forbes Equity Holdings Proprietary Ltd. 97,525 64,293 76,033Sappi Ltd. 11,616 67,000 102,465Shoprite Holdings Ltd. 68,792 1,258,394 1,156,694Standard Bank Group Ltd. 6,113 88,117 90,970

1,477,804 1,426,162

South Korea – 3.2%Cosmax Inc. 18,778 2,668,847 2,491,536Geumhwa PSC Co. Ltd. 670 26,465 26,223Hankook Shell Oil Co. Ltd. 252 127,886 123,952Hyundai Motor Co. Ltd., Preferred 15,573 1,918,363 1,654,757JLS Co. Ltd. 5,640 51,424 48,156KT Corp., ADR 36,758 725,909 694,557KT&G Corp. 6,190 413,455 694,164LG Display Co. Ltd., ADR 58,165 936,194 1,002,328Samsung Electronics Co. Ltd. 3,784 5,330,962 7,571,046Samsung Electronics Co. Ltd., Preferred 1,206 1,151,535 1,918,861Shinhan Financial Group Co. Ltd. 69,000 3,140,913 3,466,711SK Energy Co. Ltd. 886 151,408 144,119SK Hynix Inc. 3,021 140,455 149,937

SK Telecom Co. Ltd. 14,070 3,208,146 3,499,388SK Telecom Co. Ltd., ADR 131,919 3,327,440 3,697,418YG-1 Co. Ltd. 5,020 51,490 50,666

23,370,892 27,233,819

Spain – 1.7%ACS Actividades de Construcción y Servicios SA 41,037 1,641,381 1,742,532Aena SA 2,310 406,545 423,623Almirall SA 8,073 202,038 168,545Amadeus IT Group SA 7,629 409,370 465,848Banco Bilbao Vizcaya Argentaria SA 55,325 665,707 501,932Banco Santander SA 35,840 221,289 251,395Bankinter SA 18,035 173,977 187,754CaixaBank SA 490,286 2,704,317 2,177,578Enagas SA 161 6,287 5,494Endesa SA, Registered 13,480 377,246 383,725Ferrovial SA 4,076 78,470 97,983Grifols SA, ADR 162,549 3,294,673 3,503,040Iberdrola SA 80,671 659,483 711,342Industria de Diseno Textil SA 26,884 1,176,946 1,233,205Mapfre SA 502,582 1,873,137 2,061,576Prosegur Compania de Seguridad SA, Registered 14,014 137,833 117,745Red Electrica Corp. SA 8,278 222,379 209,884Repsol SA 12,811 222,051 243,181Repsol SA, Rights 12,811 5,801 6,379

14,478,930 14,492,761

Sweden – 1.3%Alfa Laval AB 63,633 1,278,463 1,416,521Assa Abloy AB, Class ‘B’ 6,751 179,130 168,520Atlas Copco AB, Series ‘A’ 569 23,208 23,308Bergman & Beving AB, Class ‘B’ 3,717 94,735 104,801Boliden AB 17,958 526,594 630,655Electrolux AB, Series ‘B’ 43,343 1,313,974 1,447,914Granges AB 6,987 74,202 88,701Husqvarna AB 12,508 131,562 130,818Investor AB, Series ‘B’ 22,734 1,055,049 1,142,700Know IT AB 4,856 57,459 64,336Lundin Petroleum AB 1,888 41,403 55,211NCC AB, Series ‘B’ 4,165 194,382 138,582Nordea Bank AB 100,739 1,326,273 1,506,420Peab AB 26,279 278,312 280,470Sandvik AB 26,317 412,288 437,824Securitas AB, Series ‘B’ 8,634 170,168 182,768Skanska AB, Series ‘B’ 9,950 281,649 315,938Svenska Cellulosa AB, Series ‘B’ 19,598 723,821 744,373Swedish Match AB 455 20,369 19,465Telefonaktiebolaget LM Ericsson, ADR 262,466 3,269,699 2,052,043Volvo AB, Series ‘B’ 4,670 66,656 73,350

11,519,396 11,024,718

Switzerland – 9.7%ABB Ltd., Registered 160,973 4,520,698 4,562,354Actelion Ltd., Registered 6,019 798,546 1,751,195


Shares $ $


Shares $ $


EAFE Equity Fund


73

Adecco SA, Registered 26,108 2,161,718 2,296,019Aryzta AG, Registered 43,428 2,939,877 2,570,005Chubb Ltd. 17,580 2,377,783 3,114,816Coca-Cola HBC AG 123,306 3,711,260 3,616,579Compagnie Financiere Richemont SA, Registered 48,938 4,695,947 4,355,418Dufry AG Registered 21,000 3,443,106 3,519,044Emmi AG 227 90,293 184,655Ems-Chemie Holding AG, Registered 235 164,711 160,465Galenica AG, Registered 482 730,764 730,750Geberit AG, Registered 916 389,085 493,367Givaudan SA, Registered 971 1,184,357 2,390,741Glencore PLC 109,707 442,390 504,200Julius Baer Group Ltd. 75,994 4,071,820 4,535,316Lonza Group AG, Registered 10,299 1,296,805 2,395,792Luxoft Holding Inc. 20,467 1,442,306 1,542,537Nestlé SA, Registered, Series ‘B’ 37,621 3,702,024 3,626,204Novartis AG, Registered 98,336 8,445,331 9,614,627Orell Fuessli Holding AG, Registered 215 30,582 35,461Oriflame Holding AG 7,599 277,569 308,593Pargesa Holding SA, Class ‘B’ 1,093 96,769 95,617Partners Group Holding AG 2,499 593,805 1,573,671Roche Holding AG Genusscheine 24,825 6,303,536 7,619,047Schindler Holding AG 1,548 336,222 366,842Schindler Holding AG, Registered 708 154,485 166,192SGS SA, Registered 1,382 2,465,412 3,778,326Sika AG 76 425,785 490,571Sonova Holding AG, Registered 6,186 858,436 1,007,225STMicroelectronics NV 72,415 923,164 1,103,673Swiss Life Holding AG, Registered 4,411 900,250 1,677,385Swiss Prime Site AG, Registered 1,532 176,327 168,487Swiss Re AG 11,519 1,364,783 1,466,708TE Connectivity Ltd. 10,700 868,644 994,115Tecan AG, Registered 338 63,423 70,867UBS Group AG 300,315 5,715,951 6,320,325Wolseley PLC 3,037 224,994 249,713Zurich Insurance Services AG 8,851 2,666,067 3,274,704

71,055,025 82,731,606

Taiwan – 0.3%Hon Hai Precision Industry Co. Ltd., GDR, Registered 34,252 201,542 233,343Taiwan Semiconductor Manufacturing Co. Ltd., ADR 64,413 1,927,819 2,483,455United Microelectronics Corp., ADR 96,224 299,950 225,822

2,429,311 2,942,620

Thailand – 0.0%AAPICO Hitech PCL 53,600 31,852 32,116

31,852 32,116

Turkey – 0.1%Sekerbank TAS 52,397 23,447 23,571Tupras-Turkiye Petrol Rafinerileri AS 7,200 192,221 194,204

Turkiye Garanti Bankasi AS 24,028 83,229 69,802Turkiye Is Bankasi, Series ‘C’ 53,198 103,361 105,057Turkiye Vakiflar Bankasi T.A.O., Class ‘D’ 136,421 304,897 226,240

707,155 618,874

United Kingdom – 14.8%3i Group PLC 74,909 797,667 873,871Aberdeen Asset Management PLC 27,337 153,788 116,555Admiral Group PLC 6,945 236,407 210,257Anglo American PLC 22,105 429,909 424,902Aon PLC 13,100 959,731 1,959,332Ashtead Group PLC 84,001 1,545,107 2,199,287Associated British Foods PLC 20,266 706,110 921,830AstraZeneca PLC 22,663 1,245,675 1,666,465Aviva PLC 533,165 3,995,930 4,297,300Babcock International Group PLC 6,358 107,172 100,405BAE Systems PLC 19,956 175,173 195,600Balfour Beatty PLC 343,997 1,547,390 1,532,801Barclays PLC 1,296,953 5,223,204 4,802,253Berendsen PLC 18,448 308,596 266,108BHP Billiton PLC 6,557 146,427 141,956BP PLC 111,580 972,473 942,229BP PLC, ADR 32,354 1,390,476 1,621,856British American Tobacco PLC 77,348 4,362,018 5,923,420Bunzl PLC 54,201 974,865 1,894,193Carnival PLC 98,179 5,658,553 6,710,935Cobham PLC 400,794 891,005 1,087,202Compass Group PLC 192,232 4,336,181 4,781,309Computacenter PLC 6,309 83,557 83,636Croda International PLC 622 33,774 32,941Diageo PLC 52,785 1,914,330 1,845,582Domino’s Pizza Group PLC 143,515 910,935 858,034DS Smith PLC 516,083 3,451,528 3,490,009Fiat Chrysler Automobiles NV 250,467 2,558,427 3,054,908Genus PLC 3,628 92,457 107,973GKN PLC 20,471 108,973 112,519GlaxoSmithKline PLC 179,242 4,653,724 4,639,394Howden Joinery Group PLC 165,980 1,085,205 1,055,604HSBC Holdings PLC 459,710 4,624,491 5,004,073Imperial Brands PLC 12,250 691,827 718,332Inchcape PLC 12,031 148,533 139,952Indivior PLC 66,017 262,876 324,027International Game Technology PLC 33,190 1,217,284 1,135,881Intertek Group PLC 5,618 341,887 324,061Investec PLC 113,430 1,100,152 1,007,472JD Sports Fashion PLC 7,545 39,241 39,746Johnson Matthey PLC 5,071 281,710 267,383Legal & General Group PLC 203,537 847,525 835,092Lloyds Banking Group PLC 4,199,264 5,302,653 4,349,738Mediclinic International PLC 1,799 30,136 22,984Merlin Entertainments PLC 447,000 3,485,839 3,322,823


Shares $ $


Shares $ $


EAFE Equity Fund


74

Mitie Group PLC 382,435 2,186,066 1,422,070Mondi PLC 35,823 798,583 988,957National Grid PLC 34,869 609,937 549,838Nielsen Holdings PLC 21,800 919,310 1,226,404Numis Corp., PLC 14,269 53,432 58,107Persimmon PLC 11,837 456,347 348,357Petrofac Ltd. 2,670 40,156 38,448Prudential PLC 213,631 5,001,931 5,761,369Qinetiq PLC 30,154 140,914 131,314Reckitt Benckiser Group PLC 31,352 3,789,629 3,577,443RELX PLC 109,786 1,509,720 2,636,063Rentokil Initial PLC 690,000 1,642,834 2,540,584Royal Bank of Scotland Group PLC 1,022,973 5,454,193 3,807,276Royal Dutch Shell PLC, ADR, Class ‘B’ 45,740 3,311,052 3,555,858RSA Insurance Group PLC 4,207 37,472 40,852Sage Group PLC (The) 24,318 278,214 263,943Schroders PLC 19,495 1,174,154 968,490SEGRO PLC 14,604 86,253 110,859Smiths Group PLC 11,408 258,041 267,678Spectris PLC 29,134 1,046,299 1,116,648SSE PLC 88,836 2,577,050 2,286,130St. James’s Place Capital PLC 64,368 927,517 1,081,555Subsea 7 SA 33,413 491,473 568,975TalkTalk Telecom Group PLC 266,255 1,526,572 746,515Tate & Lyle PLC 43,711 550,179 512,457Tesco PLC 850,555 3,822,740 2,915,402Travis Perkins PLC 87,298 2,428,072 2,100,445

Unilever PLC 8,179 479,964 446,238United Utilities Group PLC 6,483 105,040 96,792Vodafone Group PLC 1,661,957 7,193,959 5,503,822Weir Group PLC (The) 4,619 132,654 144,661William Morrison Supermarkets PLC 38,346 141,739 146,591Worldpay Group PLC 197,200 980,650 881,963WPP PLC 110,267 2,741,616 3,318,195

122,324,683 125,602,529

United States – 1.0%Alphabet Inc., Class ‘C’ 1,043 1,043,898 1,079,556Cable One Inc. 1,787 1,330,888 1,489,949Cognizant Technology Solutions Corp., Class ‘A’ 31,366 2,412,418 2,356,811EchoStar Communications Corp., Class ‘A’ 13,834 872,146 953,392HealthEquity Inc. 11,885 462,049 645,823JPMorgan Chase & Co. 6,156 641,988 712,367Samsonite International SA 248,600 1,029,197 952,449

7,792,584 8,190,347Total Equities 715,865,468 805,708,841Less: Transaction cost included in average cost (1,282,439) — Total Non-Derivative Financial Assets – 95.0% 714,583,029 805,708,841Derivative Assets and Liabilities (1) – 0.0% (70,149)Other Assets and Liabilities, Net – 5.0% 42,841,077Net Assets Attributable to Holders of Redeemable Units – 100.0% 848,479,769


Shares $ $


EAFE Equity Fund


SCHEDULE OF LONG FUTURES CONTRACTSUnrealized


Contracts $ $ $ $

Unrealized DepreciationEurope, Australasia and Far East Mini MSCI Future

expiration date March 2017 250 USD 1,679.90 28,160,374 28,088,292 (72,081)Unrealized Appreciation (Depreciation) on Long Futures Contracts (72,081)



Shares $ $

75


EAFE Equity Fund

SCHEDULE OF SPOT CURRENCY EXCHANGE CONTRACTS

UnrealizedCredit Appreciation

Rating of Settlement Amount Amount Forward Current (Depreciation)Counterparty Counterparty1 Date Sold Bought Rate Rate $

Bank of New York Mellon (The), New York A-1+ 2017-01-03 USD 42,389 HKD 328,728 0.129 0.129 14Bank of New York Mellon (The), New York A-1+ 2017-01-04 USD 42,794 GBP 34,665 1.234 1.236 53

67Brown Brothers Harriman & Co. U 2017-01-03 USD 60,222 GBP 49,207 1.224 1.236 779Brown Brothers Harriman & Co. U 2017-01-04 USD 52,434 GBP 42,497 1.234 1.236 104Brown Brothers Harriman & Co. U 2017-01-04 USD 132,904 HKD 1,030,427 0.129 0.129 —Brown Brothers Harriman & Co. U 2017-01-04 ZAR 115,845 USD 8,500 13.629 13.675 39

922State Street Trust Co., Boston A-1+ 2017-01-03 USD 79,088 GBP 64,638 1.224 1.236 1,049

1,049 2,038

UnrealizedCredit Appreciation

Rating of Settlement Amount Amount Forward Current (Depreciation)Counterparty Counterparty1 Date Sold Bought Rate Rate $

Brown Brothers Harriman & Co. U 2017-01-05 ZAR 178,630 USD 12,981 13.761 13.678 (106)(106)



76

EAFE Equity Fund


Investment ObjectiveTo achieve capital appreciation through investment primarily in equity securities of issuers in developed countries other than the United States.

Currency RiskThe table below indicates the currencies to which the Fund had exposure December 31, 2016 and 2015, on both its trading monetary and non-monetary assets and liabilities.


2016 2015 2016 2015 2016 2015 2016 2015

Euro Currency Unit 237,316,253 231,709,989 — — 237,316,253 231,709,989 27.97% 27.02%Japanese Yen 141,558,331 155,617,970 — — 141,558,331 155,617,970 16.68% 18.15%British Pound 129,381,756 138,883,204 — — 129,381,756 138,883,204 15.25% 16.20%U.S. Dollar 114,190,433 118,239,803 — — 114,190,433 118,239,803 13.46% 13.79%Swiss Franc 67,756,060 64,093,756 — — 67,756,060 64,093,756 7.99% 7.47%Hong Kong Dollar 21,076,687 26,871,706 — — 21,076,687 26,871,706 2.48% 3.13%South Korean Won 22,238,813 25,157,186 — — 22,238,813 25,157,186 2.62% 2.93%Danish Krone 13,485,406 15,591,518 — — 13,485,406 15,591,518 1.59% 1.82%Australian Dollar 19,199,195 13,781,261 — — 19,199,195 13,781,261 2.26% 1.61%Swedish Krona 9,282,808 10,330,952 — — 9,282,808 10,330,952 1.09% 1.20%Norwegian Krone 10,752,250 9,064,518 — — 10,752,250 9,064,518 1.27% 1.06%Singapore Dollar 5,938,827 6,383,293 — — 5,938,827 6,383,293 0.70% 0.74%Israeli Shekel 5,029,036 2,157,204 — — 5,029,036 2,157,204 0.59% 0.25%Mexican Peso 796,944 1,849,753 — — 796,944 1,849,753 0.09% 0.22%South African Rand 1,900,816 1,497,480 — — 1,900,816 1,497,480 0.22% 0.17%Indonesian Rupiah 404,550 308,133 — — 404,550 308,133 0.05% 0.04%Polish Zloty — 297,894 — — — 297,894 0.00% 0.03%Indian Rupee 79,018 — — — 79,018 — 0.01% 0.00%New Turkish Lira 718,979 262,709 — — 718,979 262,709 0.08% 0.03%Thai Baht 40,686 262,287 — — 40,686 262,287 0.00% 0.03%New Zealand Dollar 1,612,434 125,661 — — 1,612,434 125,661 0.19% 0.01%Czech Koruna — 71,696 — — — 71,696 0.00% 0.01%Brazilian Real 2,411,343 60,733 — — 2,411,343 60,733 0.28% 0.01%Malaysian Ringgit 543,814 55,383 — — 543,814 55,383 0.06% 0.01%Philippine Peso 453 303 — — 453 303 0.00% 0.00%Hungarian Forint 4 4 — — 4 4 0.00% 0.00%United Arab Emirates Dirham — — — — — — 0.00% 0.00%


As at December 31, 2016 had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets would havedecreased or increased, respectively, by approximately $40,285,745 (December 31, 2015 – $41,133,720). In practice, the actual trading results may differ from this sensitivity analysis and the differencecould be material.


Other Price RiskAs at December 31, 2016 a 10% (December 31, 2015 – 10%) increase or decrease in equity prices would have increased or decreased the Fund’s Net Assets by $83,379,713 (December 31, 2015 –$83,564,168). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Credit Risk As at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no significant investments in debt instruments. As at December 31, 2016, please refer to the Schedule of InvestmentPortfolio for the credit rating of counterparties to derivatives held by the Fund. As at December 31, 2016, all counterparties to derivatives had a credit rating of A-1 or higher.


77

EAFE Equity Fund




Australia 2.2 1.6 Austria 0.3 0.2 Belgium 1.7 1.7 Bermuda 0.7 0.6 Brazil 0.6 —Canada 2.7 2.7 China 1.0 0.8 Denmark 1.6 2.2 Finland 1.2 0.6 France 8.4 8.4 Germany 6.5 7.7 Hong Kong 2.1 2.2 India 0.2 0.2 Ireland 1.5 1.3 Israel 1.6 1.6 Italy 1.0 1.5 Japan 17.6 19.0 Luxembourg 1.2 0.4 Malaysia 0.1 —Mexico 0.1 0.2 Netherlands 7.5 5.8 New Zealand 0.2 —Norway 1.2 1.1 Portugal 0.5 0.3 Singapore 1.0 1.0 South Africa 0.2 0.1 South Korea 3.2 3.3 Spain 1.7 1.5 Sweden 1.3 1.6 Switzerland 9.7 8.9 Taiwan 0.3 0.6 Turkey 0.1 —United Kingdom 14.8 17.0 United States 1.0 1.2 Other Assets and Liabilities, Net 5.0 4.7

100.0 100.0


78

EAFE Equity Fund





Gross Amounts eligible for offset Net Gross Amounts eligible for offset NetAssetsDerivative Assets 2 — 2 363 (2) 361

LiabilitiesDerivative Liabilities 72 — 72 6 (2) 4



Common shares $ 796,774,636 $ 32,116 $ — $ 796,806,752 Preferred shares 8,902,089 — — 8,902,089 Short term notes — — — — Derivative assets — 2,038 — 2,038 Derivative liabilities (72,081) (106) — (72,187)

2015

Common shares $ 809,494,473 $ 254,498 $ — $ 809,748,971 Preferred shares 7,138,901 — — 7,138,901Short term notes — — — — Derivative assets 361,117 2,295 — 363,412 Derivative liabilities — (6,226) — (6,226)

During the years ended December 31, 2016 and 2015, no investments were transferred between Level 1 and Level 2.


2016 2015

Beginning Balance $ — $ 49,078 Purchases — —Sales — (18,167)Net transfers into and/or out of level 3 — (31,294)Realized gains/(losses) (86,821) 5,641 Change in unrealized appreciation/depreciation 86,821 (5,258)Ending Balance $ — $ —Total change in unrealized appreciation during the period for assets held $ 86,821 $ —

As at December 31, 2016 and 2015, the potential impact of using reasonable alternative assumptions for valuing Level 3 financial instruments would have minimal impact on net assets.




Financial instruments at FVTPL:Held for trading $ 787 $ (2,802)Designated at inception (21,913) 161,819

Total financial instruments at FVTPL $ (21,126) $ 159,017


79


2016 2015


Dividends $ 7,850 $ 7,513 Interest for distribution purposes 4 —Derivative income (loss) (223) (444)Net realized gain (loss) on sale of investments 5,183 5,855 Foreign exchange gain (loss) on foreign

currency translation 109 480 Net change in unrealized appreciation


(depreciation) of investments and derivatives 15,986 (2,435)28,830 10,981

Foreign exchange gain (loss) on cash (180) (24)TOTAL INCOME (NET) 28,650 10,957

EXPENSESCustodian and administration fees 450 425 Legal fees 34 42 Audit fees 54 13 Management fees 738 843 Trustee fees 14 13 Interest expense 8 16 Independent review committee fees 2 1 Transaction costs 652 768 Securityholder reporting costs 19 19 Foreign withholding taxes 855 919 TOTAL EXPENSES 2,826 3,059Waived expenses (33) (44)NET EXPENSES 2,793 3,015



(Class D) $ 880 $ 17(Class E) $ 16 $ (6)(Class F) $ 188 $ 51(Class I) $ 1 $ —(Class O) $ 23,827 $ 7,626(Class P) $ 944 $ 254(Class Z) $ 1 $ —


(Class D) 2,374 2,250(Class E) 51 45(Class F) 334 286(Class I) 2 2 (Class O) 46,370 45,540(Class P) 2,402 3,074(Class Z) 2 2


(Class D) $ 0.37 $ 0.01 (Class E) $ 0.31 $ (0.13)(Class F) $ 0.56 $ 0.17(Class I) $ 0.47 $ 0.12(Class O) $ 0.51 $ 0.17(Class P) $ 0.39 $ 0.08(Class Z) $ 0.51 $ 0.02


Emerging Markets Equity Fund

SEME (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 269,480 $ 252,916 Cash including foreign currency holdings 5,351 6,542 Accrued dividends receivable 785 549 Receivable for portfolio securities sold 111 462 Receivable for unit subscriptions 255 378 Receivable from manager 2 1 Prepaid expenses 40 146 Derivative assets — 2

276,024 260,996 LIABILITIESCurrent liabilities

Accrued liabilities 141 98 Payable for portfolio securities purchased 1,060 426 Payable for unit redemptions 211 265 Derivative liabilities 1 1

1,413 790NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 274,611 $ 260,206


(Class D) $ 12,467 $ 12,193(Class E) $ 360 $ 268(Class F) $ 2,203 $ 1,949(Class I) $ 12 $ 11(Class O) $ 250,165 $ 231,381(Class P) $ 9,393 $ 14,394(Class Z) $ 11 $ 10




80






DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (5,517) (5,084) — —Out of net realized capital gains (346) (603) — (36)

(5,863) (5,687) — (36)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 46,883 60,063 2,273 3,793 Payments on redemption of units (58,318) (61,617) (2,879) (2,187)Reinvestment of distributions 5,846 5,676 — 36

(5,589) 4,122 (606) 1,642CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 14,405 6,377 274 1,623 NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class E Class F2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (2) (1) (26) (21)Out of net realized capital gains — — — (1)

(2) (1) (26) (22) CAPITAL UNIT TRANSACTIONSProceeds from issue of units 158 179 723 678 Payments on redemption of units (82) (65) (656) (485)Reinvestment of distributions 2 1 25 22

78 115 92 215 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 92 108 254 244NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SEME

81



Class I Class O2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1 — 23,827 7,626

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (5,489) (5,062)Out of net realized capital gains — — (346) (560)

— — (5,835) (5,622)CAPITAL UNIT TRANSACTIONSProceeds from issue of units — — 41,158 49,667Payments on redemption of units — — (46,185) (49,032)Reinvestment of distributions — — 5,819 5,611

— — 792 6,246CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1 — 18,784 8,250NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class P Class Z2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 944 254 1 —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net realized capital gains — (6) — —

— (6) — —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 2,571 5,736 — 10 Payments on redemption of units (8,516) (9,848) — —Reinvestment of distributions — 6 — —


HOLDERS OF REDEEMABLE UNITS (5,001) (3,858) 1 10NET ASSETS ATTRIBUTABLE TO HOLDERS OF



82





Foreign exchange (gain) loss on cash (7) 5 Net realized (gain) loss on sale of investments (5,183) (5,855)Net change in unrealized (appreciation) depreciation of investments and derivatives (15,986) 2,435 Purchases of investments (159,045) (192,661)Proceeds from the sale of investments 164,637 188,776 Change in dividends receivable (236) (131)Change in other assets 105 27 Change in other liabilities 43 7

10,185 545


(11,383) (1,463)

Increase (decrease) in cash during the period (1,198) (918)Foreign exchange gain (loss) on cash 7 (5)Cash at beginning of period 6,542 7,465 Cash at end of period 5,351 6,542

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 4 —Dividends received, net of withholding taxes 6,750 6,463

83

EQUITIES – 98.1%Argentina – 0.3%Arcos Dorados Holdings Inc., Class ‘A’ 33,700 345,074 244,044Cresud S.A.C.I.F.y A., ADR 7,054 101,951 149,181IRSA Inversiones y Representaciones SA, ADR 7,500 148,166 185,467YPF SA, ADR 15,495 425,625 342,863

1,020,816 921,555

Austria – 0.1%Erste Group Bank AG 9,007 319,357 354,495

319,357 354,495

Brazil – 8.4%Ambev SA 47,900 341,794 323,678Ambev SA, ADR 171,012 1,254,571 1,126,038B2W – Companhia Global do Varejo 155,812 1,165,600 654,840Banco Bradesco SA, ADR 148,300 1,360,144 1,732,225Banco Bradesco SA, Preferred 36,300 332,771 433,749Banco do Brasil SA 42,159 375,059 487,951Banco do Estado do Rio Grande do Sul SA,

Preferred, Class ‘B’ 30,700 155,057 130,543Banco Santander (Brasil) SA, ADR 18,642 124,269 222,249BB Seguridade Participações SA 47,800 507,993 557,376BM&FBOVESPA SA 19,000 67,941 129,173Braskem SA, ADR 16,900 310,204 480,698Braskem SA, Preferred, Series ‘A’ 12,000 80,892 169,346BRF Brasil Foods SA, ADR 18,694 317,760 370,027CCR SA 83,669 481,859 550,214Cielo SA 41,408 498,658 475,846Companhia Brasileira de Distribuicao 7,600 107,964 171,448Companhia Brasileira de Distribuicao

Grupo Pao de Açucar, ADR 17,400 291,373 386,182Companhia Energetica de Minas Gerais, Preferred 61,000 176,360 193,784Companhia Energetica de Minas Gerais-CEMIG SA,

ADR 42,527 163,840 130,030Companhia Paranaense de Energia-Copel,

Preferred, Series ‘B’ 9,900 117,494 111,605Cosan SA Industria e Comercio 42,306 484,452 665,014Cyrela Brazil Realty SA Empreendimentos e

Participações 12,400 93,468 52,472Energisa SA 41,700 320,946 319,239Estacio Participacoes SA 11,875 80,475 77,308FPC Par Corretora de Seguros SA 47,300 236,146 262,325Gerdau SA, ADR 80,296 239,010 338,118Grupo BTG Pactual 8,441 58,464 50,605Hypermarcas SA 57,017 500,545 613,872Itau Unibanco Holding SA, ADR 80,672 967,266 1,112,144Itau Unibanco Holding SA, Preferred 106,132 1,339,190 1,480,264Itausa-Investimentos Itau SA, Preferred,

Registered 75,982 210,848 259,224Kroton Educacional SA 74,500 466,500 409,186Lojas Renner SA 41,100 309,765 392,375Mahle-Metal Leve SA Industria e Comercio 11,500 113,061 98,369

MRV Engenharia e Participações SA 77,100 288,991 347,541Multiplus SA 9,800 137,921 136,482Petróleo Brasileiro SA, ADR 191,263 2,862,886 2,502,600Porto Seguro SA 14,800 177,156 164,039Qualicorp SA 21,800 195,318 172,910Rumo Logistica Operadora Multimodal SA 385,271 837,515 974,695Sao Martinho SA 19,500 116,870 156,676Smiles SA 8,800 127,347 162,187Sul America SA 23,483 177,886 174,165Suzano Bahia Sul Papel e Celulose SA 63,200 269,554 369,777Telefonica Brasil SA 58,810 921,545 1,055,242Telefonica Brasil SA, Preferred 16,900 291,189 306,946Tim Participacoes SA, ADR 52,600 1,002,791 832,363Ultrapar Participações SA 8,400 209,957 236,912Vale SA ADR 23,724 433,122 242,431Vale SA, ADR, Preferred 26,840 180,560 247,997Weg SA 14,400 82,752 91,966

21,965,099 23,142,446

Canada – 0.7%First Quantum Minerals Ltd. 81,596 566,194 1,089,307Gran Tierra Energy Inc. 60,475 234,871 245,528Parex Resources Inc. 20,328 211,305 343,543SEMAFO Inc. 37,371 160,792 165,180

1,173,162 1,843,558

Chile – 0.8%Banco de Chile 378,610 50,172 59,508Banco Santander Chile SA 2,594,265 164,046 193,538Cencosud SA 71,973 301,743 270,903Compania Cervecerias Unidas SA, ADR 8,092 213,803 227,670Embotelladora Andina SA 1,584 41,868 47,731Enel Americas SA, ADR 26,563 292,897 292,459Enel Generacion Chile SA 71,663 63,695 63,410S.A.C.I. Falabella 54,460 493,703 577,859Sociedad Quimica y Minera de Chile SA, ADR 13,186 409,245 506,621

2,031,172 2,239,699

China – 19.7%AAC Technologies Holdings Inc. 18,772 122,917 228,749Agile Group Holdings Ltd. 138,000 110,361 94,285Agricultural Bank of China Ltd. 1,730,099 949,776 951,623Air China Ltd., Class ‘H’ 476,000 496,408 407,548AirTac International Group 34,663 342,726 370,679Alibaba Group Holding Ltd. 42,179 4,610,653 4,966,898Angang New Steel Co. Ltd., Class ‘H’ 1,294,872 850,803 1,032,511Anhui Conch Cement Co. Ltd., Series ‘H’ 158,500 660,804 578,467Anta Sports Products Ltd. 99,160 299,864 397,058BAIC Motor Corp. Ltd. 39,500 59,531 47,143Baidu Inc., ADR 14,655 2,556,004 3,231,164Bank of China Ltd., Class ‘H’ 2,180,494 1,029,150 1,297,419Bank of Communications Co. Ltd., Class ‘H’ 89,000 84,626 86,361Beijing Capital International Airport Co. Ltd.,

Class ‘H’ 194,000 275,066 263,078


Shares $ $


Shares $ $




84

Changyou.com Ltd., ADR, Class ‘A’ 15,700 447,564 446,776China Cinda Asset Management Co. Ltd. 628,000 306,566 305,234China Communications Services Corp. Ltd.,

Class ‘H’ 420,000 247,157 358,875China Conch Venture Holdings Ltd. 99,500 256,216 237,503China Construction Bank Corp., Class ‘H’ 2,822,457 2,410,755 2,914,530China Everbright Bank Co. Ltd., Class ‘H’ 423,000 269,526 258,275China Life Insurance Co. Ltd., Series ‘H’ 44,000 225,313 153,734China Longyuan Power Group Corp. 129,000 150,839 135,216China Medical System Holdings Ltd. 680,300 1,089,131 1,444,993China Merchants Bank Co. Ltd. 67,428 151,975 212,032China Petroleum and Chemical Corp. (Sinopec),

ADR 4,990 423,646 475,254China Petroleum and Chemical Corp. (Sinopec),

Series ‘H’ 408,800 354,967 388,902China Railway Construction Corp., Class ‘H’ 173,000 295,975 298,637China Shenhua Energy Co. Ltd. 263,339 689,027 665,020China Telecom Corp. Ltd., Series ‘H’ 524,000 372,695 324,475China Vanke Co. Ltd. 115,800 193,493 354,526Chongqing Rural Commercial Bank Co. Ltd.,

Class ‘H’ 188,331 84,668 148,218CITIC Securities Co. Ltd., Class ‘H’ 303,900 1,010,044 828,426Credit Suisse (Nassau) – ELN – Goertek Inc. 57,900 347,752 296,726Credit Suisse AG/Nassau – ELN –

CITIC Securities Co. Ltd. 19,400 60,505 59,552Credit Suisse Group AG (Nassau) – ELN –

Citic Securities Co., Class ‘A’ 73,127 357,103 223,593Ctrip.com International Ltd., ADR 32,192 1,785,197 1,726,843Datang International Power Generation Co. Ltd.,

Class ‘H’ 226,000 144,955 79,354Dongfeng Motor Corp., Class ‘H’ 198,000 304,588 259,255Fuyao Glass Industry Group Co. Ltd. 76,383 236,851 317,745GoerTek Inc., Warrants, 2017/10/20 43,000 255,144 220,367Great Wall Motor Co. Ltd., Class ‘H’ 304,500 414,832 381,323Guangzhou Automobile Group Co. Ltd., Class ‘H’ 156,000 281,142 253,101Guangzhou R&F Properties Co. Ltd., Class ‘H’ 242,800 398,025 393,929Hangzhou Hikvision Digital Technology Co., Ltd.,

Warrants, 2017/08/01 184,399 828,565 848,441Hua Hong Semiconductor Ltd. 36,300 59,128 54,374Huaneng Power International Inc., Series ‘H’ 176,000 205,766 156,474Industrial and Commercial Bank of China,

Class ‘H’ 5,051,917 3,767,245 4,063,272JD.com Inc. 15,440 571,421 526,756Longfor Properties 101,500 187,061 172,754NetEase Inc., ADR 1,638 373,924 473,024New Oriental Education & Technology Group Inc.,

ADR 4,667 139,896 263,490People’s Insurance Co. (Group) of China Ltd. 526,000 262,366 278,403PetroChina Co. Ltd., ADR 9,846 1,091,800 973,133PetroChina Co. Ltd., Series ‘H’ 92,000 100,780 91,978PICC Property and Casualty Co. Ltd., Series ‘H’ 372,300 794,888 777,905Ping An Insurance (Group) Co. of China Ltd. 312,300 2,027,520 2,095,900SINA Corp. 27,700 2,089,229 2,258,171

Sino-Ocean Group Holding Ltd. 346,500 198,527 207,969Sinopec Engineering (Group) Co. Ltd. 241,000 277,100 263,165Sinopec Shanghai Petrochemical Co. Ltd.,

Series ‘H’ 200,000 136,266 145,294Sinopharm Group Co. 76,400 464,184 422,212Sun Art Retail Group Ltd. 110,000 104,793 129,380Sunny Optical Technology Group Co. Ltd. 167,740 192,958 985,016TAL Education Group, ADR 4,150 310,827 390,410Tencent Holdings Ltd. 206,370 3,394,047 6,771,434Tianneng Power International Ltd. 200,000 197,327 246,307Tingyi (Cayman Islands) Holding Corp. 214,000 541,087 349,054Travelsky Technology Ltd., Class ‘H’ 205,000 454,515 577,974Tsingtao Brewery Co. Ltd., Series ‘H’ 40,000 202,549 202,719Uni-President China Holdings Ltd. 553,000 563,158 523,214Vipshop Holdings Ltd. 21,054 444,170 310,862Want Want China Holdings Ltd. 251,000 251,958 215,773Weibo Corp., ADR 6,530 224,046 355,537Weichai Power Co. Ltd., Class ‘H’ 10,466 21,781 21,615Wuliangye Yibin Co. Ltd., Class ‘A’, Warrants,

2020/06/29 62,800 386,242 410,141Zhejiang Expressway Co. Ltd., Series ‘H’ 172,000 224,119 220,154Zijin Mining Group Co. Ltd. 130,000 54,870 56,215ZTO Express (Cayman) Inc., ADR 4,100 107,037 66,365

47,265,490 54,020,282

Colombia – 0.4%Almacenes Exito SA 17,754 121,185 118,173Banco Davivienda SA, Preferred 23,709 321,519 317,738Bancolombia SA, ADR 9,376 527,622 461,203Bancolombia SA, Preferred 5,247 54,456 63,708Cementos Argos SA 24,222 124,014 128,330Interconexion Electrica SA 15,429 45,010 68,786

1,193,806 1,157,938

Curacao – 0.1%Merrill Lynch International & Co., Warrants,

2017/03/02 11,800 166,522 169,005 166,522 169,005

Czech Republic – 0.3%CEZ AS 2,103 52,759 47,338Komercni Banka AS 9,880 415,437 457,721Moneta Money Bank AS 66,047 267,769 286,275

735,965 791,334

Egypt – 0.1%Commercial International Bank, GDR 61,418 321,547 300,631

321,547 300,631

Greece – 0.3%Eurobank Ergasias SA 386,889 447,337 352,972National Bank of Greece SA 1,191,414 448,922 417,935

896,259 770,907


Shares $ $


Shares $ $




85

Guernsey – 0.0%Etalon Group Ltd., GDR 10,200 68,669 43,703

68,669 43,703

Hong Kong – 5.8%AIA Group Ltd. 63,300 456,433 479,014Beijing Enterprises Holdings Ltd. 88,700 703,243 562,295Brilliance China Automotive Holdings Ltd. 823,572 1,260,430 1,521,387Chaoda Modern Agriculture Holdings Ltd. 322,563 232,634 12,944China Everbright International 527,500 406,817 802,007China Everbright Ltd. 134,000 382,395 342,104China High Precision Automation Group Ltd. 236,760 177,362 49,961China Mengniu Dairy Co. Ltd. 189,000 358,121 488,404China Mobile Ltd. 193,663 2,647,494 2,753,501China Mobile Ltd., ADR 15,600 1,000,711 1,096,855China Overseas Land & Investment Ltd. 16,000 63,142 56,872China Power International Development Ltd. 180,000 79,052 87,487China Resources Power Holdings Co. Ltd. 178,000 465,938 379,313China State Construction International

Holdings Ltd. 963,964 1,727,340 1,934,130China Taiping Insurance Holdings Co. Ltd. 124,392 347,774 344,254CIFI Holdings Group Co. Ltd. 160,000 50,819 57,841CNOOC Ltd. 618,322 1,026,545 1,037,417Galaxy Entertainment Group Ltd. 101,451 515,192 593,116Geely Automobile Holdings Ltd. 496,984 317,990 636,982Haier Electronics Group Co. Ltd. 254,700 323,679 537,472KWG Property Holding Ltd. 58,711 41,818 44,683Lee & Man Paper Manufacturing Ltd. 297,995 228,318 310,293Shanghai Industrial Holdings Ltd. 131,000 427,910 475,836Shimao Property Holdings Ltd. 209,000 407,282 366,565Sino Biopharmaceutical Ltd. 156,600 149,006 147,894Skyworth Digital Holdings Ltd. 228,000 206,420 174,311SMI Holdings Group Ltd. 1,244,000 194,885 152,773Techtronic Industries Co. Ltd. 66,500 250,765 319,767Xtep International Holdings Ltd. 85,500 50,608 48,211

14,500,123 15,813,689

Hungary – 0.5%Magyar Telekom Telecommunications PLC,

Registered 21,530 47,371 49,102MOL Hungarian Oil and Gas PLC 904 76,734 85,428OTP Bank Nyrt. 14,210 440,973 546,637Richter Gedeon Nyrt. 28,681 686,361 815,664

1,251,439 1,496,831

India – 8.9%Adani Ports and Special Economic Zone Ltd. 23,869 140,506 126,609Apollo Tyres Ltd. 75,924 315,676 277,385Aurobindo Pharma Ltd. 58,290 414,497 770,872Axis Bank Ltd. 52,195 433,308 464,045Bajaj Auto Ltd. 2,772 124,543 144,262Bank of Baroda 44,478 136,759 134,815Bharat Financial Inclusion Ltd. 11,186 99,429 129,941Bharat Petroleum Corp. Ltd. 22,018 182,631 276,478Britannia Industries Ltd. 260 16,923 14,828

Britannia Industries Ltd., Warrants, 2021/04/26 3,890 213,382 220,927Cairn India Ltd. 106,505 317,693 509,591Cummins India Ltd. 33,575 307,043 541,842Dabur India Ltd. 106,833 327,248 587,153Dewan Housing Finance Corp. Ltd. 79,130 362,039 380,956Glenmark Pharmaceuticals Ltd. 68,484 927,921 1,202,370Grasim Industries Ltd. 11,135 205,829 189,820HCL Technologies Ltd. 63,572 956,857 1,039,318HDFC Bank Ltd., ADR 8,848 553,427 720,005Hindustan Petroleum Corp. Ltd. 29,561 166,598 257,763Hindustan Unilever Ltd. 24,008 412,574 391,977Hindustan Zinc Ltd. 32,764 119,641 165,343Housing Development Finance Corp. Ltd. 31,208 716,235 778,480ICICI Bank Ltd., ADR 95,660 896,450 960,853IFCI Ltd. 385,473 206,684 207,171Indian Oil Corp. Ltd. 40,352 173,691 259,169Infosys Technologies Ltd. 53,574 1,097,145 1,069,901Infosys Technologies Ltd., ADR 12,184 242,763 242,313ITC Ltd. 11,317 49,231 53,880L&T Technology Services Ltd. 8,098 138,844 125,919Mahindra & Mahindra Financial Services Ltd. 104,500 586,606 558,019Maruti Suzuki India Ltd. 2,410 175,934 253,478Motherson Sumi Systems Ltd. 101,950 640,360 657,614National Hydroelectric Power Corp. Ltd. 340,505 160,679 177,957NCC Ltd. 198,494 350,423 316,118NTPC Ltd. 94,504 279,131 307,547Parag Milk Foods Ltd. 46,331 193,387 238,111Petronet LNG Ltd. 69,224 465,687 502,600PNB Housing Finance Ltd. 10,300 180,381 170,905Power Finance Corp. Ltd. 124,699 287,465 300,477Power Grid Corp. of India Ltd. 172,490 334,374 625,413Prestige Estates Projects Ltd. 77,105 330,198 258,999Reliance Industries Ltd. 49,154 936,923 1,049,035Reliance Industries Ltd., GDR 50,361 1,675,657 2,130,780Rural Electrification Corp. Ltd. 170,315 400,782 420,322S H Kelkar and Co. Ltd. 55,659 250,847 340,489Sesa Sterlite Ltd. 111,688 227,584 477,012Shriram Transport Finance Co. Ltd. 11,812 198,408 199,214Sun Pharmaceutical Industries Ltd. 2,743 42,691 34,132Tata Chemicals Ltd. 25,271 182,093 251,164Tata Consultancy Services Ltd. 16,645 786,887 776,822Tata Motors Ltd. 2,930 31,806 27,288Tata Motors Ltd., ADR 14,862 699,358 685,416Tata Motors Ltd., Warrants, 2020/06/25 88,898 740,027 825,170Wipro Ltd. 21,513 233,239 201,487Zee Entertainment Enterprises Ltd. 31,221 218,961 279,486Zee Entertainment Enterprises Ltd.,

Warrants, 2019/09/03 25,600 200,417 228,657 21,065,872 24,537,698

Indonesia – 2.4%PT Adaro Energy 1,201,100 134,829 202,649PT AKR Corporindo TBK 320,900 146,599 191,654PT Astra International TBK 949,200 616,783 781,848PT Bank Central Asia TBK 382,700 506,525 590,455


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PT Bank Negara Indonesia (Persero) TBK 981,000 470,094 539,508PT Bank Rakyat Indonesia (Persero) TBK 1,050,130 1,019,669 1,220,385PT Bumi Serpong Damai TBK 330,316 64,733 57,704PT Gudang Garam TBK 72,000 362,601 457,963PT Indofood Sukses Makmur TBK 85,400 59,452 72,893PT Matahari Department Store Tbk 256,300 357,723 385,870PT Sumber Alfaria Trijaya TBK 4,786,600 249,011 297,786PT Tambang Batubara Bukit Asam TBK 242,800 366,496 302,103PT Telekomunikasi Indonesia Persero TBK,

Series ‘B’ 2,039,345 468,169 807,924PT United Tractors TBK 303,900 534,135 642,816

5,356,819 6,551,558

Italy – 0.0%Prada SPA 31,200 148,954 141,931

148,954 141,931

Luxembourg – 0.1%Globant SA 5,010 225,447 224,067

225,447 224,067

Malaysia – 0.7%Airasia BHD 595,200 339,905 407,459AMMB Holdings BHD 52,000 67,306 66,999Axiata Group BHD 68,300 99,778 96,371Berjaya Sports Toto BHD 34,800 34,627 30,793British American Tobacco Malaysia BHD 4,777 90,145 63,691CIMB Group Holdings BHD 168,400 266,242 227,041Inari Amertron BHD 312,925 310,488 310,573MISC BHD 37,300 95,532 81,956Public Bank BHD 33,300 210,280 196,307Sunway BHD 53,200 62,705 48,188Tenaga Nasional BHD 10,200 46,249 42,384UEM Sunrise BHD 329,600 291,240 103,458Westports Holdings BHD 117,800 164,572 151,426

2,079,069 1,826,646

Mexico – 3.4%Alpek SA de CV 12,700 26,265 20,469America Movil SAB de CV, ADR, Series ‘L’ 22,943 503,735 386,750America Movil SAB de CV, Series ‘L’ 292,070 332,890 247,539Cemex SAB de CV, ADR 70,417 652,553 758,295Coca-Cola FEMSA SAB de CV, ADR, Series ‘L’ 7,105 704,029 605,419Compartamos SAB de CV 58,900 119,649 127,828Corporacion Inmobiliaria Vesta SAB de CV 212,500 431,872 344,433Fomento Economico Mexicano SAB de CV 69,000 788,335 708,720Fomento Economico Mexicano SAB de CV, ADR 6,020 550,147 615,253Grupo Aeroportuario del Pacifico SA de CV 7,500 88,501 83,191Grupo Bimbo SAB de CV, Series ‘A’ 79,700 292,248 243,527Grupo Financiero Banorte SAB de CV 250,324 1,676,517 1,663,698Grupo Financiero Santander Mexico SAB de CV 36,300 469,536 350,010Grupo GICSA SA de CV 243,400 327,336 159,708

Grupo México SAB de CV, Series ‘B’ 199,871 680,198 732,364Grupo Televisa SA, ADR 26,588 663,864 744,850Industrias Bachoco SAB de CV, ADR 873 66,169 57,390Infraestructura Energetica Nova SAB de CV 77,200 485,750 453,786Kimberly-Clark de Mexico SAB de CV, Series ‘A’ 32,200 101,942 78,246Megacable Holdings SAB de CV 17,900 92,294 81,505Nemak SAB de CV 37,200 67,632 44,992Unifin Financiera SAPI de CV 81,700 197,194 273,358Wal-Mart de Mexico SAB de CV, Series ‘V’ 216,001 662,077 521,646

9,980,733 9,302,977

Netherlands – 0.6%Steinhoff International Holdings NV 52,613 414,075 367,771VimpelCom Ltd., ADR 62,700 290,025 323,723Yandex NV, Class ‘A’ 34,349 939,760 927,263

1,643,860 1,618,757

Pakistan – 0.3%Engro Fertilizer Ltd. 351,000 280,732 306,575United Bank Ltd. 142,300 291,646 436,787

572,378 743,362

Peru – 0.8%Compañía de Minas Buenaventura SA,

ADR, Series ‘B’ 35,448 479,754 536,223Credicorp Ltd. 7,883 1,270,903 1,668,817

1,750,657 2,205,040

Philippines – 1.1%Aboitiz Equity Ventures Inc. 45,780 89,493 87,436Ayala Corp. 22,790 358,042 449,101BDO Unibank Inc. 146,580 441,792 443,261Cebu Air Inc. 30,600 73,696 76,769Globe Telecom Inc. 6,165 261,083 250,958Metro Pacific Investments Corp. 247,400 41,997 44,448Metropolitan Bank & Trust Co. 230,280 538,892 450,995Pilipinas Shell Petroleum Corp. 190,080 355,141 357,908Puregold Price Club Inc. 138,062 173,323 145,251SM Investments Corp. 15,140 227,548 267,514Universal Robina Corp. 64,750 346,211 285,586Vista Land & Lifescapes Inc. 360,100 79,562 48,085

2,986,780 2,907,312

Poland – 0.5%Energa SA 32,280 112,131 94,370Eurocash SA 8,087 105,120 102,208KGHM Polska Miedz SA 3,342 139,998 99,292Polska Grupa Energetyczna SA 11,676 66,843 39,199Polski Koncern Naftowy Orlen SA 22,163 552,124 607,350Powszechny Zaklad Ubezpieczen SA 25,488 244,208 271,936Telekomunikacja Polska SA 48,877 90,188 86,520

1,310,612 1,300,875


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Portugal – 0.3%Galp Energia, SGPS SA, Class ‘B’ 18,548 316,946 372,284Jeronimo Martins SGPS SA 19,922 395,265 415,360

712,211 787,644

Qatar – 0.1%Commercial Bank (Q.S.C.) (The), Rights 1,172 — 1,925Ooredoo Q.S.C. 2,726 85,239 102,200United Development Co. 9,827 74,641 74,734

159,880 178,859

Romania – 0.0%Banca Transilvania SA 203,966 149,439 151,477

149,439 151,477

Russia – 6.7%ALROSA AO 111,998 139,349 239,721Gazprom PAO, ADR 278,203 2,430,614 1,886,130LUKOIL PJSC, ADR 42,815 2,315,035 3,221,097Magnit PJSC 2,370 510,179 572,723Magnit PJSC, GDR 12,886 747,847 762,946Mail.ru Group Ltd. 9,622 216,716 236,781MegaFon OAO 3,518 84,545 44,583MegaFon OAO, GDR 5,351 106,330 67,813MMC Norilsk Nickel PJSC, ADR 25,943 564,562 584,139Mobile TeleSystems PJSC, ADR 28,358 501,924 346,449NovaTek PJSC, GDR 4,675 557,876 813,769Novolipetsk Steel PJSC, GDR 43,660 727,379 1,089,035Ros Agro PLC, GDR 6,275 118,855 111,921Rosneft Oil Co., GDR 124,787 867,587 1,087,746Sberbank of Russia PJSC, ADR 256,801 2,351,719 3,987,955Severstal PAO, GDR, Registered 20,002 197,809 407,720Sistema PJSC FC, GDR 17,213 279,909 207,751Surgutneftegas, ADR 15,849 143,996 107,228X5 Retail Group NV, GDR 59,921 1,466,168 2,607,586

14,328,399 18,383,093

Saudi Arabia – 0.2%HSBC Bank PLC – ELN –

Al Tayyar Travel Group Holding Co. 20,515 428,949 268,796HSBC Bank PLC – ELN – Savola Group (The) 25,590 345,041 366,936

773,990 635,732

Singapore – 0.1%Golden Agri-Resources Ltd. 514,009 210,539 205,167

210,539 205,167

South Africa – 4.5%African Rainbow Minerals Ltd. 17,102 162,951 165,197Alexander Forbes Equity Holdings Proprietary Ltd. 404,710 324,363 315,521AngloGold Ashanti Ltd., ADR 9,500 151,904 133,897Aspen Pharmacare Holdings Ltd. 22,542 782,413 626,882AVI Ltd. 30,022 249,270 268,976Barclays Africa Group Ltd. 21,541 319,247 356,347

Bid Corp. Ltd. 20,522 457,285 493,366Bidvest Group Ltd. (The) 12,874 186,740 228,828Capitec Bank Holdings Ltd. 5,085 278,074 346,572DataTec Ltd. 11,328 73,438 54,967FirstRand Ltd. 224,075 839,672 1,168,363Foschini Group Ltd. (The) 5,811 72,764 90,682Gold Fields Ltd. 28,601 147,587 122,260Harmony Gold Mining Co. Ltd., ADR 24,365 101,123 72,211JSE Ltd. 18,740 289,525 301,888Kumba Iron Ore Ltd. 15,702 167,019 244,833Liberty Holdings Ltd. 21,679 246,824 235,983Life Healthcare Group Holdings Pte Ltd. 138,683 479,393 443,362MMI Holdings Ltd. 33,124 83,628 76,628Mondi Ltd. 6,242 127,750 171,389MTN Group Ltd. 9,733 139,127 120,426Murray & Roberts Holdings Ltd. 63,583 148,399 71,831Naspers Ltd., Series ‘N’ 10,378 1,442,022 2,049,794Nedbank Group Ltd. 29,775 610,194 695,318Sappi Ltd. 11,078 98,432 97,719Sasol Ltd. 15,892 731,766 621,670Sibanye Gold 150,970 534,101 375,899Spar Group Ltd. (The) 6,020 84,271 117,233Standard Bank Group Ltd. 66,558 878,783 990,482Telkom SA SOC Ltd. 53,493 282,578 388,139Truworths International Ltd. 17,446 147,176 136,304Tsogo Sun Holdings Ltd. 43,080 121,445 116,601Vodacom Group Ltd. 26,852 354,165 401,309Wilson Bayly Holmes-Ovcon Ltd. 6,926 71,738 104,597Woolworths Holdings Ltd. 33,792 237,526 235,349

11,422,693 12,440,823

South Korea – 13.0%Advanced Process Systems Corp. 6,575 145,024 217,916Amorepacific Corp. 499 207,304 178,128BGF Retail Co. Ltd. 6,400 603,311 581,277CJ CGV Co. Ltd. 3,486 372,790 272,490Com2uS Corp. 3,400 414,467 329,189Coway Co. Ltd. 11,493 659,877 1,126,793DGB Financial Group Inc. 23,279 248,155 252,528Dongbu Insurance Co. Ltd. 4,776 302,091 331,432E-MART Inc. 1,041 222,623 211,520Hana Financial Group Inc. 10,500 282,755 364,325Hankook Tire Co. Ltd. 1,214 65,028 78,180Hanssem Co. Ltd. 2,652 536,563 585,972Hanwha Chemical Corp. 2,445 82,086 67,054Hanwha Corp. 1,743 79,327 67,832Hanwha Techwin Co. Ltd. 3,411 150,409 164,559Hyosung Corp. 4,786 692,739 773,189Hyundai Development Co. 19,006 907,000 948,572Hyundai Marine & Fire Insurance Co. Ltd. 12,492 447,291 436,910Hyundai MOBIS 368 105,010 107,870Hyundai Motor Co. Ltd. 5,184 1,135,806 840,365Kangwon Land Inc. 6,932 221,892 275,160KB Financial Group Inc. 1,725 67,805 81,975


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KB Financial Group Inc., ADR 8,500 342,653 402,268KCC Corp. 1,135 504,061 453,049Kia Motors Corp. 5,611 317,650 244,529Korea Aerospace Industries Ltd. 10,712 792,990 796,884Korea Electric Power Corp. 9,210 640,726 450,459Korea Gas Corp. 1,532 84,446 82,414Korea Plant Service and Engineering Co. Ltd. 2,998 194,498 180,418KT&G Corp. 5,569 554,670 624,523LG Chem Ltd. 2,480 734,551 718,691LG Corp. 4,164 280,752 277,404LG Display Co. Ltd. 13,796 488,742 481,752LG Uplus Corp. 33,859 366,543 430,457LIG Non-Life Insurance Co. Ltd. 4,667 155,975 135,506LOTTE CHEMICAL CORP. 736 255,185 301,546Lotte Chilsung Beverage Co. Ltd. 239 324,341 387,437Lotte Confectionery Co. Ltd. 2,260 375,796 447,916LS Cable Ltd. 2,777 191,855 182,844LS Industrial Systems Co. Ltd. 479 25,306 21,141Mando Corp. 1,377 281,756 358,531Meritz Fire & Marine Insurance Co. Ltd. 3,110 57,861 52,833NCsoft Corp. 3,604 1,078,541 990,398NHN Corp. 1,215 935,960 1,045,509Orion Corp. 701 722,347 509,811Poongsan Corp. 5,304 194,119 238,511POSCO 3,278 813,325 937,208POSCO DAEWOO Corp. 8,985 251,607 269,359Samsung Electronics Co. Ltd. 4,473 5,144,401 8,949,600Samsung Electronics Co. Ltd., Preferred 187 221,116 297,535Samsung Life Insurance Co. Ltd. 3,785 391,515 472,790SFA Engineering Corp. 6,554 339,086 469,371Shinhan Financial Group Co. Ltd. 9,215 466,826 462,982SK Energy Co. Ltd. 1,844 308,286 299,950SK Hynix Inc. 54,584 2,204,197 2,709,086SK Telecom Co. Ltd. 1,132 253,661 281,543SK Telecom Co. Ltd., ADR 48,000 892,966 1,345,341SPC Samlip Co. Ltd. 1,389 350,033 261,410Tongyang Life Insurance 14,030 201,260 197,839Vieworks Co. Ltd. 3,428 108,467 227,610Woori Bank 24,468 257,854 346,385

30,055,277 35,636,076

Spain – 0.1%Cemex Latam Holdings SA 33,698 212,942 170,105

212,942 170,105

Taiwan – 10.5%Accton Technology Corp. 251,500 316,314 532,665Advanced Ceramic X Corp. 33,000 217,274 326,119Advanced Semiconductor Engineering Inc. 690,620 1,005,710 949,749Asia Cement Corp. 238,000 272,732 260,949Asustek Computer Inc. 28,000 300,701 308,746AU Optronics Corp. 637,000 333,764 312,766Catcher Technology Co. Ltd. 96,220 901,624 896,833Cathay Financial Holding Co. Ltd. 318,000 547,906 637,782

Chailease Holding Co. Ltd. 118,048 242,853 270,650Cheng Shin Rubber Industry Co. Ltd. 78,000 214,204 197,331Chunghwa Telecom Co. Ltd. 17,000 74,550 71,798Compal Electronics Inc. 332,000 277,391 254,878Delta Electronics Inc. 119,800 726,035 795,089Eclat Textile Co. Ltd. 54,334 868,353 763,033Elite Material Co. Ltd. 53,400 185,991 199,978eMemory Technology Inc. 27,900 234,914 455,081Ennoconn Corp. 10,000 193,188 171,433Farglory Land Development Co. Ltd. 71,589 124,212 110,067Flexium Interconnect Inc. 54,000 206,885 190,541Formosa Chemicals & Fibre Corp. 59,000 212,331 236,416Formosa Plastics Corp. 42,000 129,484 155,888Foxconn Technology Co. Ltd. 108,750 311,652 385,990Fubon Financial Holding Co. Ltd. 362,000 531,561 768,205Highwealth Construction Corp. 97,500 244,551 184,187Hiwin Technologies Corp. 35,874 254,617 220,922Hon Hai Precision Industry Co. Ltd. 602,358 1,662,032 2,110,401Hota Industrial Manufacturing Co. Ltd. 154,723 745,261 804,754Hotai Motor Co. Ltd. 14,000 217,430 214,957Hu Lane Associate Inc. 47,100 249,362 281,236Innolux Corp. 173,144 83,556 83,573Inventec Co. Ltd. 282,000 227,421 259,322Kingpak Technology Inc. 34,982 292,930 291,120King’s Town Bank 64,000 59,323 74,965Kinsus Interconnect Technology Corp. 47,000 144,658 139,244Largan Precision Co. Ltd. 3,008 353,629 474,368Lite-On Technology Corp. 255,678 400,496 517,044MediaTek Inc. 144,700 1,914,624 1,303,541Merida Industry Co. Ltd. 26,000 159,030 155,788Micro-Star International Co. Inc. 58,000 111,836 177,625Nan Ya Plastics Corp. 30,000 89,114 88,879Nanya Technology Corp. 64,000 132,181 128,625Parade Technologies Ltd. 42,400 520,776 561,036Pegatron Corp. 114,000 282,102 365,253Phison Electronics Corp. 47,000 464,708 499,674Powertech Technology Inc. 77,000 165,673 278,746Shin Kong Financial Holding Co. Ltd. 215,000 73,883 70,675Silicon Motion Technology Corp., ADR 3,440 156,863 195,969Simplo Technology Co. Ltd. 32,000 140,738 123,698Taiwan Semiconductor Manufacturing Co. Ltd. 776,292 3,100,365 5,862,730Taiwan Semiconductor Manufacturing Co. Ltd.,

ADR 66,928 1,416,158 2,580,422Uni-President Enterprises Corp. 151,000 377,123 335,518Vanguard International Semiconductor Corp. 102,000 213,410 238,525Wistron Corp. 494,123 479,310 512,984WPG Holdings Co. Ltd. 224,000 319,823 354,185Yuanta Financial Holding Co. Ltd. 290,000 143,118 144,803

23,625,730 28,886,756

Thailand – 1.9%Bangkok Bank Public Co. Ltd., NVDR 8,000 47,960 47,784Bangkok Bank Public Co. Ltd., Registered 52,700 296,505 318,726


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Bangkok Dusit Medical Services Public Co. Ltd. 365,400 171,451 316,093Bangkok Expressway and Metro PCL 862,900 197,474 240,742C.P. 7-Eleven Public Co. Ltd. 140,000 212,608 327,675Delta Electronics (Thailand) Public Co. Ltd. 108,400 270,090 330,843Home Product Center Public Co. Ltd. 427,200 149,413 163,180IRPC PCL 1,887,200 337,252 306,980Krung Thai Bank Public Co. Ltd. 20,040 10,538 13,283Krung Thai Bank Public Co. Ltd., NVDR 426,900 307,196 282,966Land & Houses Public Co. Ltd., NVDR 907,500 317,781 333,048Land and Houses Public Co. Ltd. 458,200 160,293 168,157PTT Global Chemical PCL 86,600 194,934 204,312PTT Public Co. Ltd. 42,788 492,199 596,073Siam Cement Public Co. Ltd. (The) 17,800 346,837 331,959Siam Commercial Bank Public Co. Ltd. 40,600 233,660 231,862Thai Oil Public Co. Ltd. 134,200 315,948 363,099Thai Union Frozen Products Public Co. Ltd. 322,500 256,690 253,620Thanachart Capital Public Co. Ltd., NVDR 147,000 203,120 242,217Tisco Financial Group PCL 127,500 227,750 287,675

4,749,699 5,360,294

Turkey – 1.7%Akbank T.A.S. 214,719 802,643 640,141Anadolu Efes Biracilik ve Malt Sanayii AS 26,960 312,175 181,205Arcelik AS 26,056 239,054 210,592Aselsan Elektronik Sanayi ve Ticaret AS 125,793 346,064 609,538Emlak Konut Gayrimenkul Yatirim Ortakligi AS 338,583 456,260 385,953Eregli Demir ve Celik Fabrikalari TAS 135,450 199,069 265,424Ford Otomotiv Sanayi AS 9,269 156,942 108,061Koc Holding AS 15,972 90,756 84,031Petkim Petrokimya Holding AS 53,516 103,854 75,489TAV Havalimanlari Holding SA 14,028 129,037 75,033Tekfen Holding AS 23,651 60,252 58,248Tofas Turk Otomobil Fabrikasi AS 51,900 508,310 487,536Tupras-Turkiye Petrol Rafinerileri AS 6,238 169,962 168,256Turkcell Iletisim Hizmetleri AS, ADR 15,900 236,082 147,127Turkiye Garanti Bankasi AS 101,373 360,656 294,494Turkiye Is Bankasi, Series ‘C’ 226,157 507,421 446,620Türkiye Sise ve Cam Fabrikalari AS (Sisecam) 66,970 104,732 97,786Ulker Biskuvi Sanayi AS 54,032 457,637 332,882

5,240,906 4,668,416

United Arab Emirates – 1.0%Abu Dhabi Commercial Bank PJSC 123,773 304,980 311,825Air Arabia 102,007 48,449 49,536Aldar Properties PJSC 322,748 305,332 309,924Dubai Investments PJSC 299,891 219,007 260,601Dubai Islamic Bank 220,812 444,781 449,070Emaar Properties PJSC 503,526 1,307,458 1,310,833First Gulf Bank PJSC 23,765 107,124 111,500

2,737,131 2,803,289

United Kingdom – 0.9%Anglo American PLC 14,626 262,206 281,141Evraz PLC 14,207 59,775 52,216Hikma Pharmaceuticals PLC 15,254 314,769 478,492Kazakhmys PLC 45,866 214,538 271,483Petra Diamonds Ltd. 109,099 281,339 283,289Petrofac Ltd. 3,957 60,130 56,981Tullow Oil PLC 211,998 809,955 1,098,500

2,002,712 2,522,102

United States – 0.7%Freeport-McMoRan Inc., Class ‘B’ 18,545 379,397 328,032MercadoLibre Inc. 3,002 558,773 628,593Sohu.com Inc. 24,000 1,443,531 1,090,757

2,381,701 2,047,382

Vietnam – 0.1%Hoa Phat Group JSC, Warrants, 2018/07/24 69,623 124,278 176,936

124,278 176,936Total Equities 238,918,134 269,480,447Less: Transaction cost included in average cost (407,890) —Total Non-Derivative Financial Assets – 98.1% 238,510,244 269,480,447Derivative Assets and Liabilities (1) – 0.0% (642)Other Assets and Liabilities, Net – 1.9% 5,130,988Net Assets Attributable to Holders of

Redeemable Units – 100.0% 274,610,793


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(1) DERIVATIVE ASSETS AND LIABILITIESSCHEDULE OF SPOT CURRENCY EXCHANGE CONTRACTS

UnrealizedCredit Amount Amount Appreciation

Rating of Settlement Sold Bought Forward Current (Depreciation) Counterparty Counterparty1 Date $ $ Rate Rate $

Bank of New York Mellon (The), New York A-1+ 2017-01-03 KRW 1,205,932 CAD 1,354 890.934 900.635 15Bank of New York Mellon (The), New York A-1+ 2017-01-03 TWD 854,370 USD 26,558 32.169 32.229 66Bank of New York Mellon (The), New York A-1+ 2017-01-03 TWD 588,647 USD 18,298 32.170 32.229 45Bank of New York Mellon (The), New York A-1+ 2017-01-03 TWD 185,066 USD 5,753 32.170 32.229 14Bank of New York Mellon (The), New York A-1+ 2017-01-05 USD 19,364 ZAR 265,832 0.073 0.073 96

236 Canadian Imperial Bank of Commerce A-1 2017-01-03 USD 6,371 CAD 8,591 0.742 0.746 47

47Northern Trust, Chicago A-1+ 2017-01-03 USD 6,777 HKD 52,559 0.129 0.129 3Northern Trust, Chicago A-1+ 2017-01-04 USD 9,424 HKD 73,083 0.129 0.129 3

6RBC Dexia Investor Services Ltd., Luxembourg A-1+ 2017-01-03 USD 4,361 MXN 90,251 0.048 0.049 26

26315

UnrealizedCredit Amount Amount Appreciation

Rating of Settlement Sold Bought Forward Current (Depreciation) Counterparty Counterparty1 Date $ $ Rate Rate $

Bank of New York Mellon (The), New York A-1+ 2017-01-03 USD 35,026 BRL 113,706 0.308 0.307 (121)Bank of New York Mellon (The), New York A-1+ 2017-01-03 USD 126,974 TWD 4,084,685 0.031 0.031 (314)Bank of New York Mellon (The), New York A-1+ 2017-01-04 USD 53,835 ZAR 732,426 0.074 0.073 (369)Bank of New York Mellon (The), New York A-1+ 2017-01-05 USD 99,411 THB 3,556,092 0.028 0.028 (145)

(949)Northern Trust, London A-1+ 2017-01-03 HKD 15,741 USD 2,030 7.755 7.753 (1)

(1)RBC Dexia Investor Services Ltd., Luxembourg A-1+ 2017-01-04 USD 31,923 HKD 247,464 0.129 0.129 (7)

(7)(957)



91


Investment ObjectiveTo achieve capital appreciation primarily through investment in equity securities of foreign emerging markets issuers.



2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 76,041,265 63,767,619 — — 76,041,265 63,767,619 27.69% 24.51%Hong Kong Dollar 49,990,318 56,172,383 — — 49,990,318 56,172,383 18.20% 21.59%South Korean Won 34,102,271 34,046,973 — — 34,102,271 34,046,973 12.42% 13.08%Taiwan Dollar 26,418,837 23,514,017 — — 26,418,837 23,514,017 9.62% 9.04%Indian Rupee 18,529,709 17,012,215 — — 18,529,709 17,012,215 6.75% 6.54%South African Rand 12,884,857 12,277,209 — — 12,884,857 12,277,209 4.69% 4.72%Brazilian Real 12,450,908 9,099,064 — — 12,450,908 9,099,064 4.53% 3.50%Mexican Peso 5,785,011 8,860,281 — — 5,785,011 8,860,281 2.11% 3.41%New Turkish Lira 4,519,794 5,521,330 — — 4,519,794 5,521,330 1.65% 2.12%Indonesian Rupiah 6,571,126 5,304,712 — — 6,571,126 5,304,712 2.39% 2.04%Thai Baht 5,366,715 4,081,571 — — 5,366,715 4,081,571 1.95% 1.57%Philippine Peso 2,900,181 3,279,219 — — 2,900,181 3,279,219 1.06% 1.26%Euro 1,894,504 1,860,524 — — 1,894,504 1,860,524 0.69% 0.72%Malaysian Ringgit 1,833,691 1,644,528 — — 1,833,691 1,644,528 0.67% 0.63%Polish Zloty 1,294,132 1,638,308 — — 1,294,132 1,638,308 0.47% 0.63%U.A.E. Dirham 2,803,772 1,619,845 — — 2,803,772 1,619,845 1.02% 0.62%Chilean Peso 1,167,514 1,390,213 — — 1,167,514 1,390,213 0.43% 0.53%Hungarian Forint 1,496,831 1,270,261 — — 1,496,831 1,270,261 0.55% 0.49%Czech Koruna 791,334 1,190,546 — — 791,334 1,190,546 0.29% 0.46%British Pound 2,240,961 1,086,397 — — 2,240,961 1,086,397 0.82% 0.42%Qatari Rial 178,859 824,156 — — 178,859 824,156 0.07% 0.32%Colombian Peso 870,331 543,206 — — 870,331 543,206 0.32% 0.21%Singapore Dollar 205,169 308,136 — — 205,169 308,136 0.07% 0.12%Pakistan Rupee 753,227 301,431 — — 753,227 301,431 0.27% 0.12%Romanian Leu 151,470 214,292 — — 151,470 214,292 0.06% 0.08%Danish Krone 2 2 — — 2 2 0.00% 0.00%China Renminbi 1,792 — — — 1,792 — 0.00% 0.00%Russian Ruble 5,805 — — — 5,805 — 0.00% 0.00%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets would have decreasedor increased, respectively, by approximately $13,562,519 (December 31, 2015 – $12,841,422). In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material.


Other Price RiskAs at December 31, 2016, a 15% (December 31, 2015 – 15%) increase or decrease in equity prices on the global stock exchanges would have increased or decreased the Fund’s Net Assets by $40,422,067(December 31, 2015 – $37,937,367). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Credit Risk As at December 31, 2016 and 2015, the Fund had no significant investments in debt instruments. As at December 31, 2016, please refer to the Schedule of Investment Portfolio for the credit rating ofcounterparties to derivatives held by the Fund. As at December 31, 2016, all counterparties to derivatives had a credit rating of A-1 or higher.



92





Argentina 0.3 0.4 Austria 0.1 0.2 Brazil 8.4 6.0 Canada 0.7 0.3 Chile 0.8 0.9 China 19.7 20.0 Columbia 0.4 0.3 Curacao 0.1 0.4 Cyprus — 0.1 Czech Republic 0.3 0.5 Egypt 0.1 0.1 Greece 0.3 0.4 Guernsey — —Hong Kong 5.8 7.5 Hungary 0.5 0.5 India 8.9 9.6 Indonesia 2.4 2.0 Luxembourg 0.1 —Malaysia 0.7 0.6 Mexico 3.4 5.1 Netherlands 0.6 0.5 Pakistan 0.3 0.1 Peru 0.8 0.7 Philippines 1.1 1.3 Poland 0.5 0.6 Portugal 0.3 0.1 Qatar 0.1 0.3 Romania — 0.1 Russia 6.7 3.8 Saudi Arabia 0.2 0.3 Singapore 0.1 0.1 South Africa 4.5 4.4 South Korea 13.0 13.9 Spain 0.1 0.1 Taiwan 10.5 10.0 Thailand 1.9 1.6 Turkey 1.7 2.2 United Arab Emirates 1.0 0.6 United Kingdom 0.9 0.8 United States 0.7 0.8 Vietnam 0.1 —Derivative Assets and Liabilities — —Other Assets and Liabilities, Net 1.9 2.8

100.0 100.0


93






Gross Amounts eligible for offset Net Gross Amounts eligible for offset NetAssetsDerivative Assets — — — 2 (1) 1

LiabilitiesDerivative Liabilities 1 — 1 2 (1) (1)



Common shares $ 263,334,886 $ 4,464,055 $ 49,961 $ 267,848,902 Preferred shares 1,631,545 — — 1,631,545 Derivative assets — 315 — 315 Derivative liabilities — (957) — (957)

2015

Common shares $ 242,817,530 $ 8,636,250 $ 1,174,370 $ 252,628,150 Preferred shares 287,629 — — 287,629 Derivative assets — 2,488 — 2,488 Derivative liabilities — (1,682) — (1,682)

During the period ended December 31, 2016 and 2015, $43,703 (December 31, 2015 – $555,604) were transferred from Level 2 to Level 1 as they began trading in an active market. During the period ended December 31, 2016 and 2015, $221,291 (December 31, 2015 – $nil) were transferred from level 1 to level 2 as they ceased to be traded in an active market.


2016 2015

Beginning Balance $ 1,174,370 $ 54,358 Purchases — 684,479 Sales — (740,063)Net transfers into and/or out of level 3 (1,122,599) 760,077 Realized gains/(losses) — 246,364 Change in unrealized appreciation/depreciation (1,810) 169,155 Ending Balance $ 49,961 $ 1,174,370 Total change in unrealized appreciation during the period for assets held $ 190,266 $ 473,214




Financial instruments at FVTPL:Held for trading $ (225) $ (443)Designated at inception 29,055 11,424



94

Global Managed Volatility Fund


2016 2015


Dividends $ 6,609 $ 5,380 Interest for distribution purposes 2 1 Derivative income (loss) 3 12 Net realized gain (loss) on sale of investments 2,547 3,780 Foreign exchange gain (loss) on foreign currency translation 31 50

Net change in unrealized appreciation (depreciation) on foreign exchange (7) 5

Net change in unrealized appreciation (depreciation) of investments and derivatives 4,878 11,160

14,063 20,388Foreign exchange gain (loss) on cash (108) 81 TOTAL INCOME (NET) 13,955 20,469

EXPENSESCustodian and administration fees 217 194 Legal fees 34 34 Audit fees 12 7 Interest expense 1 —Management fees 771 586 Trustee fees 7 6 Independent review committee fees 1 1 Transaction costs 67 60 Securityholder reporting costs 12 10 Foreign withholding taxes 771 629 TOTAL EXPENSES 1,893 1,527Waived expenses (3) (1)NET EXPENSES 1,890 1,526



(Class E) $ 22 $ 40(Class F) $ 153 $ 40 (Class O) $ 10,546 $ 16,504(Class P) $ 1,343 $ 2,359(Class S) $ — $ —(Class Z) $ 1 $ —


(Class E) 32 24(Class F) 110 25 (Class O) 9,047 7,252(Class P) 1,783 1,411(Class S) 1 1 (Class Z) 1 1


(Class E) $ 0.68 $ 1.66(Class F) $ 1.39 $ 1.58(Class O) $ 1.17 $ 2.27(Class P) $ 0.75 $ 1.67(Class S) $ 0.76 $ 0.19(Class Z) $ 1.16 $ 0.27


SGMV (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 193,504 $ 172,144 Cash including foreign currency holdings 3,566 1,622 Accrued dividends receivable 689 556 Receivable for portfolio securities sold 188 1,127 Receivable for unit subscriptions 339 43 Receivable from manager 2 1 Prepaid expenses 29 29 Derivative assets — 2


Accrued liabilities 137 96 Payable for portfolio securities purchased 269 —Payable for unit redemptions 47 97 Derivative liabilities 1 9



(Class E) $ 667 $ 552(Class F) $ 3,143 $ 774(Class O) $ 163,485 $ 147,590(Class P) $ 30,547 $ 26,386(Class S) $ 10 $ 10(Class Z) $ 11 $ 10




95



Fund Total Class E2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (4,712) (3,742) (7) (7)Out of net realized capital gain — (2,088) — (4)

(4,712) (5,830) (7) (11)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 35,246 81,301 290 374 Payments on redemption of units (24,766) (25,309) (197) (97)Reinvestment of distributions 4,708 5,827 7 11

15,188 61,819 100 288CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 22,541 74,932 115 317 NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class O2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (71) (13) (4,529) (3,638)Out of net realized capital gain — (8) — (1,979)

(71) (21) (4,529) (5,617)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 2,786 791 19,864 64,005 Payments on redemption of units (569) (163) (14,513) (16,850)Reinvestment of distributions 70 20 4,527 5,616

2,287 648 9,878 52,771 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 2,369 667 15,895 63,658NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SGMV

96




Class P Class S2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (105) (84) — —Out of net realized capital gain — (97) — —

(105) (181) — —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 12,306 16,111 — 10 Payments on redemption of units (9,487) (8,199) — —Reinvestment of distributions 104 180 — —

2,923 8,092 — 10 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 4,161 10,270 — 10NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class Z2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 10 $ —

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1 —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units — 10

— 10CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1 10NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 11 $ 10

97




CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 12,065 $ 18,943Adjustments for:Foreign exchange (gain) loss on cash 24 (31)Net realized (gain) loss on sale of investments (2,547) (3,780)Net change in unrealized (appreciation) depreciation of investments and derivatives (4,878) (11,160)Purchases of investments (62,170) (82,655)Proceeds from the sale of investments 49,436 20,081 Change in dividends receivable (133) (262)Change in other assets (1) 3 Change in other liabilities 42 58

(8,162) (58,803)


10,130 56,220

Increase (decrease) in cash during the period 1,968 (2,583)Foreign exchange gain (loss) on cash (24) 31Cash at beginning of period 1,622 4,174Cash at end of period 3,566 1,622


98

EQUITIES – 97.8%Australia – 1.0%AGL Energy Ltd. 42,000 584,155 900,925Cromwell Property Group 82,225 83,186 78,647CSR Ltd. 123,800 411,350 555,400LendLease Group 24,600 338,664 349,242

1,417,355 1,884,214

Austria – 0.5%Agrana Beteiligungs AG 324 47,410 51,718EVN AG 7,900 122,309 125,208Flughafen Wien AG 462 16,367 15,292Oberbank AG 772 62,657 65,846Oesterreichische Post AG 4,456 189,570 200,999Telekom Austria AG 34,025 259,710 269,995UNIQA Insurance Group AG 32,700 393,278 333,023Voestalpine AG 256 11,440 13,503

1,102,741 1,075,584

Belgium – 0.5%bpost SA 28,400 861,059 903,848

861,059 903,848

Bermuda – 3.4%Aspen Insurance Holdings Ltd. 17,000 836,408 1,253,882Axis Capital Holdings Ltd. 14,800 774,928 1,295,449Endurance Specialty Holdings Ltd. 7,600 526,995 941,739Everest Re Group Ltd. 6,900 1,415,180 2,002,402Ocean Wilsons Holdings Ltd. 5,161 77,191 87,445RenaissanceRe Holdings Ltd. 4,000 416,324 730,711Validus Holdings Ltd. 4,800 186,662 354,102

4,233,688 6,665,730

Canada – 6.1%ATCO Ltd., Class ‘I’ 100 4,871 4,466Bank of Montreal 13,500 991,125 1,303,695BCE Inc. 6,068 337,892 352,126BRP Inc. 400 10,091 11,340Calian Technologies Ltd. 2,100 49,724 51,492Canadian Imperial Bank of Commerce 21,000 2,051,283 2,300,760Canadian Tire Corp. Ltd., Class ‘A’ 6,900 744,980 960,963Cervus Equipment Corp. 2,500 40,707 39,625Cogeco Communications Inc. 10,400 764,918 688,896George Weston Ltd. 2,400 258,579 272,616Lassonde Industries Inc., Class ‘A’ 733 135,312 163,466Magna International Inc. 5,600 331,938 326,480Metro Inc., Class ‘A’ 18,400 466,776 738,944Morguard REIT 1,700 26,340 25,313National Bank of Canada 19,900 912,203 1,085,147Rogers Communications Inc., Class ‘B’ 25,200 1,133,759 1,305,108Rogers Sugar Inc. 21,100 116,285 143,691Royal Bank of Canada 3,000 225,488 272,610Shaw Communications Inc., Class ‘B’ 10,300 258,939 277,482TELUS Corp. 6,600 281,475 282,150Toronto-Dominion Bank (The) 20,300 1,100,364 1,344,266WestJet Airlines Ltd. 4,000 79,365 92,160

10,322,414 12,042,796

Chile – 0.5%Coca-Cola Embonor SA 7,608 18,470 20,503Enel Americas SA 274,662 79,256 59,871Enel Americas SA, ADR 11,342 177,063 124,876Enel Chile SA 398,880 150,990 117,322Engie Energia Chile SA 55,601 114,216 118,004Inversiones Aguas Metropolitanas SA 14,462 28,825 27,974Vina Concha Y Toro SA 200,670 456,046 431,877Vina San Pedro Tarapaca SA 1,241,059 16,484 17,146

1,041,350 917,573

China – 0.6%Huajin International Holdings Ltd. 22,000 10,548 10,465Luthai Textile Co. Ltd., Class ‘B’ 103,456 124,582 166,599PetroChina Co. Ltd., Series ‘H’ 38,000 38,858 37,991Shenzhen Expressway Co. Ltd., Class ‘H’ 792,000 618,716 908,250

792,704 1,123,305

Colombia – 0.5%Banco Davivienda SA, Preferred 27,500 451,364 368,543Empresa de Telecomunicaciones de Bogota SA 383,315 94,775 102,741Grupo Nutresa SA 20,254 209,737 225,291Interconexion Electrica SA 48,191 197,304 214,848

953,180 911,423

Czech Republic – 0.1%CEZ AS 4,800 162,008 108,047Pegas Nonwovens SA 369 14,924 14,854Philip Morris CR AS 195 140,530 133,682

317,462 256,583

Finland – 0.0%Olvi OYJ 409 16,634 16,199

16,634 16,199

France – 1.5%ARGAN SA 328 11,086 11,599Atos SE 12,100 1,331,842 1,715,790Bastide Le Confort Medical 561 16,808 18,846Bongrain SA 470 39,756 44,475Compagnie des Alpes 2,526 61,976 67,529Credit Agricole du Languedoc 402 34,797 31,956Credit Agricole Ile de France 464 61,482 51,974Credit Agricole Nord de France CCI 3,104 78,349 80,346Credit Agricole Sud Rhone Alpes 112 26,877 26,027Damartex SA 724 32,321 32,115Fleury Michon SA 208 18,066 18,947Le Noble Age 791 33,521 39,551Manutan International 324 25,961 31,943Neurones 632 15,254 19,989Produits Chimiques Auxiliaires et de Synthese 110 1,580 2,181Sanofi SA 6,400 733,416 696,147Societe Fonciere Lyonnaise SA 108 7,478 7,478Societe LDC SA 558 68,344 74,579Voyageurs du Monde 263 18,979 25,077

2,617,893 2,996,549


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Germany – 1.4%Celesio AG 12,900 483,724 468,849Homag Group AG 1,280 65,671 76,140Merck KGaA 1,513 175,887 212,191Schloss Wachenheim AG 803 18,845 17,412Siemens AG, Registered 8,100 1,097,953 1,338,204Talanx AG 14,300 543,989 640,385

2,386,069 2,753,181

Guernsey – 0.1%Doric Nimrod Air Three Ltd. 65,912 126,382 109,493Doric Nimrod Air Two Ltd. 26,327 95,044 95,104DP Aircraft I Ltd. 6,766 9,851 9,482Summit Germany Ltd. 12,960 17,920 18,515

249,197 232,594

Hong Kong – 0.9%China Mobile Ltd. 80,500 1,153,601 1,144,549CLP Holdings Ltd. 28,000 321,525 345,072Yingde Gases 415,500 461,108 206,262Yue Yuen Industrial Holdings Ltd. 33,000 113,759 160,679

2,049,993 1,856,562

Hungary – 0.6%Magyar Telekom Telecommunications PLC,

Registered 137,150 282,264 312,788MOL Hungarian Oil and Gas PLC 9,600 756,149 907,197

1,038,413 1,219,985

India – 0.7%Indian Oil Corp. Ltd. 100,400 558,851 644,838Power Grid Corp. of India Ltd. 219,100 775,737 794,412

1,334,588 1,439,250

Indonesia – 0.1%Metropolitan Kentjana TBK PT 5,500 9,751 14,098PT Multipolar Technology TBK 361,100 48,619 63,261PT Telekomunikasi Indonesia Persero TBK,

Series ‘B’ 189,700 45,801 75,153104,171 152,512

Isle of Man – 0.0%Manx Telecom PLC 26,275 102,701 87,297

102,701 87,297

Israel – 2.1%Bank Hapoalim Ltd. 111,453 747,559 889,720Bank Leumi Le Israel 152,647 634,124 843,583Bezeq Israel Telecommunication Corp. Ltd. 207,000 421,110 527,981Elbit Systems Ltd. 1,700 67,910 231,020Gazit Globe (1982) Ltd. 42,100 575,280 481,603Isras Investment Co. Ltd. 103 13,101 12,978Knafaim Holdings Ltd. 974 11,221 8,807Malam - Team Ltd. 110 9,665 14,071Mizrahi Tefahot Bank Ltd. 36,500 475,962 716,677

Tadiran Holdings Ltd. 3,762 84,254 112,839Taptica International Ltd. 10,474 27,783 29,939Teva Pharmaceutical Industries Ltd. 3,900 188,385 187,942

3,256,354 4,057,160

Italy – 0.1%Ansaldo STS SPA 5,134 80,406 85,981Hera SPA 21,285 83,676 65,995Parmalat SPA 5,665 21,101 23,734Terna SPA 1,135 7,746 6,987

192,929 182,697

Japan – 6.2%AEON KYUSHU Co. Ltd. 1,000 20,126 20,420Aozora Bank Ltd. 77,000 285,912 365,643CANON ELECTRONICS INC. 22,800 509,222 461,909Central Automotive Products Ltd. 2,000 21,337 24,421Choushimaru Co. Ltd. 400 18,808 19,293Chubu Steel Plate Co. Ltd. 13,300 85,071 93,282CHUBU-NIPPON BROADCASTING CO. LTD. 1,800 14,505 15,356CK San-Etsu Co. Ltd. 700 10,923 13,208DOUTOR NICHIRES Holdings Co. Ltd. 27,100 610,956 670,233FUJI OIL HOLDINGS INC. 24,600 394,243 649,416FUJI SHOJI CO. LTD. 3,000 44,904 44,842Gamecard-Joyco Holdings Inc. 1,100 16,773 15,190HABA Laboratories Inc. 600 25,017 26,836Hagoromo Foods Corp. 4,000 59,686 60,019Haruyama Trading Co. Ltd. 3,900 34,199 38,474HEIAN CEREMONY SERVICE CO. LTD. 900 8,194 8,827HIKARI FURNITURE CO. LTD. 1,000 9,001 9,658Hogy Medical Co. Ltd. 1,400 70,682 116,059HOKKAIDO COCA - COLA BOTTLING CO. LTD. 4,000 29,382 30,078Hokkaido Gas Co. Ltd. 4,000 13,371 12,694Imuraya Group Co. Ltd . 500 8,367 8,077Japan Airlines Co. Ltd. 27,800 1,146,082 1,091,570JFE Systems Inc. 2,300 43,623 40,487JMS Co., Ltd. 9,000 27,873 31,355Kakiyasu Honten Co. Ltd. 700 15,390 15,550Kanemi Co. Ltd. 700 26,435 27,606KDDI Corp. 22,200 494,881 755,418KFC Holdings Japan Ltd. 3,200 74,315 70,459KITAMURA Co. Ltd. 3,800 37,312 35,303Kiyo Bank Ltd. (The) 24,800 493,414 533,794Marukyo Corp. 2,000 21,314 24,973MAXVALU CHUBU CO. LTD. 4,800 61,696 68,490Maxvalu Kyushu Co. Ltd. 400 9,841 9,111MAXVALU NISHINIHON CO. LTD. 6,300 122,332 120,317MaxValu Tohoku Co. Ltd. 3,000 43,961 43,117Maxvalu Tokai Co. Ltd. 1,500 29,806 32,579Mebuki Financial Group Inc. 81,100 416,775 403,761Meiko Trans Co. Ltd. 4,000 49,820 46,497NAFCO Co. Ltd. 3,200 65,987 65,786NEC Networks & System Integration Corp. 16,100 367,166 390,778Nippon Flour Mills Co. Ltd. 22,000 453,035 411,301Nippon Telegraph & Telephone Corp. 27,200 799,133 1,536,184


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Nitto Fuji Flour Milling Co. Ltd. 500 19,339 22,076NTT DOCOMO INC. 40,400 772,972 1,236,997Osaka Gas Co. Ltd. 99,000 422,534 511,773Paramount Bed Holdings Co. Ltd. 3,000 109,310 161,085PARIS MIKI HOLDINGS Inc. 4,900 25,064 26,254Resona Holdings Inc. 46,400 288,838 319,833S&B Foods Inc. 200 11,676 11,475S.T. Corp. 6,100 79,235 106,398Senshu Ikeda Holdings Inc. 136,300 762,734 844,696SHINKI BUS CO. LTD. 1,000 8,910 8,014STEP CO. LTD. 500 5,714 7,750Sumitomo Bakelite Co. Ltd. 53,000 219,435 399,147TECHNO RYOWA Ltd. 1,800 14,782 15,915TENMAYA STORE CO. LTD. 500 6,743 6,197Tokan Co. Ltd. 1,000 27,045 23,904Tomen Devices Corp. 1,300 30,338 30,627Toppan Printing Co. Ltd. 1,000 12,558 12,832YAMAE HISANO Co. Ltd. 1,300 15,374 15,112YAMAZAWA CO. LTD. 4,000 79,977 81,037

10,003,448 12,299,493

Luxembourg – 0.0%Atento SA 1,853 17,646 18,886

17,646 18,886

Malaysia – 0.7%Alliance Financial Group Berhad 104,200 145,823 115,877AMMB Holdings BHD 292,600 642,960 376,996Batu Kawan BHD 3,100 17,029 17,052Dutch Lady Milk Industries BHD 6,800 111,387 112,942Hong Leong Bank BHD 9,700 38,353 39,146IHH Healthcare BHD 2,300 4,587 4,366MCT BHD 77,000 31,775 22,558Nestle (Malaysia) Berhad 5,400 131,068 126,237Public Bank BHD 1,100 6,690 6,485Tenaga Nasional BHD 102,774 450,462 453,852

1,580,134 1,275,511

Mexico – 0.6%Concentradora Hipotecaria SAPI de CV 5,979 10,402 9,088Grupo Cemetos de Chihuahua SA de CV 200 831 890Industrias Bachoco SA, Series ‘B’ 148,042 785,565 817,197La Comer SAB de CV 177,874 229,401 180,975Prologis Property Mexico SA de CV 54,506 102,354 105,342

1,128,553 1,113,492

New Zealand – 1.9%Abano Healthcare Group Ltd. 4,298 29,131 33,761Airwork Holdings Ltd. 4,336 12,617 19,868Auckland International Airport Ltd. 939 5,006 5,488Briscoe Group Ltd. 4,303 14,842 16,216Colonial Motor Co. Ltd. (The) 264 1,709 1,728Contact Energy Ltd. 5,770 24,128 25,144Ebos Group Ltd. 15,041 173,592 234,886

Fisher & Paykel Healthcare Corp. Ltd. 17,076 137,526 136,047Fletcher Building Ltd. 115,300 761,089 1,142,878Freightways Ltd. 6,695 37,762 42,259Genesis Energy Ltd. 31,569 59,447 61,993Infratil Ltd. 26,379 78,134 67,835Kiwi Property Group Ltd. 6,685 8,637 8,658Mainfreight Ltd. 11,538 155,408 223,447Precinct Properties New Zealand Ltd. 20,379 22,674 22,868Restaurant Brands New Zealand Ltd. 4,092 17,274 19,439Ryman Healthcare Ltd. 2,916 21,940 22,114Sanford Ltd. 10,602 61,487 67,217Scales Corp. Ltd. 5,922 13,330 19,105Sky Network Television Ltd. 131,800 728,643 560,779Spark New Zealand Ltd. 196,500 517,318 626,587Summerset Group Holdings Ltd. 38,046 119,096 166,502Tilt Renewables Ltd. 39,845 86,054 72,284Trustpower Ltd. 39,845 191,230 176,611

3,278,074 3,773,714

Norway – 0.8%Borregaard ASA 18,000 141,125 236,967DNB ASA, ADR 86 14,193 17,161Hafslund ASA, Class ‘B’ 5,242 61,113 77,585Marine Harvest 10,156 237,664 246,359Norsk Hydro ASA 56,286 301,997 362,167Orkla ASA 29,184 305,216 353,737SpareBanken Vest 5,254 40,524 39,618Telenor ASA 2,722 58,798 54,706Telenor ASA, ADR 9,606 241,669 192,137

1,402,299 1,580,437

Philippines – 0.0%Manila Electric Co. 10,710 90,361 76,562

90,361 76,562

Poland – 0.4%Alchemia SA 28,293 49,483 45,448Boryszew SA 56,517 141,766 145,436Neuca SA 71 8,568 8,896Polskie Gornictwo Naftowe i Gazownictwo SA 326,086 686,830 589,796

886,647 789,576

Russia – 0.3%Gazprom Neft PAO, ADR 4,700 113,865 110,433Gazprom PAO, ADR 9,234 52,967 62,535Magnitogorsk Iron & Steel Works OJSC,

GDR, Registered 911 4,977 8,527MMC Norilsk Nickel PJSC, ADR 11,356 229,528 255,694Polyus PJSC, ADR 161 4,724 7,842Rostelecom PJSC, ADR 5,590 60,019 61,921Severstal PAO, GDR, Registered 7,966 107,446 162,379

573,526 669,331


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Shares $ $


Shares $ $




Singapore – 2.1%DBS Group Holdings Ltd. 77,000 1,225,667 1,239,388Mapletree Industrial Trust 447,200 678,505 682,865United Overseas Bank Ltd. 59,700 1,087,059 1,130,503UOL Group Ltd. 76,700 503,872 426,471Venture Corp. Ltd. 78,000 687,150 715,350Vicom Ltd. 2,000 10,771 10,564

4,193,024 4,205,141

South Africa – 0.5%Absa Bank Ltd., Preferred 170 10,721 12,787Blue Label Telecoms Ltd. 72,500 65,469 129,398DataTec Ltd. 107,800 614,915 523,078Reunert Ltd. 46,900 333,592 313,165

1,024,697 978,428

South Korea – 3.9%Charm Engineering Co. Ltd. 17,511 56,149 51,913Dongil Industries Co. Ltd. 186 17,601 17,224Husteel Co. Ltd. 2,476 50,162 42,337Industrial Bank of Korea 31,200 462,882 439,955Kia Motors Corp. 17,900 985,664 780,086KISCO Holdings Co. Ltd. 431 31,082 29,287Korea Electric Power Corp. 38,497 2,526,506 1,882,880KT Corp. 9,093 304,877 296,828KT&G Corp. 17,300 1,554,723 1,940,070LG Uplus Corp. 45,000 607,847 572,095POSCO 990 234,123 283,049Samsung Electronics Co. Ltd. 251 361,025 502,202SK Telecom Co. Ltd. 2,319 675,400 576,765SK Telecom Co. Ltd., ADR 13,600 239,373 381,180

8,107,414 7,795,871

Sweden – 0.1%Akelius Residential Property AB 2,679 124,806 120,420Biotage AB 11,101 50,824 75,217

175,630 195,637

Switzerland – 2.6%Allreal Holding AG, Registered 4,600 811,147 918,329Basellandschaftliche Kantonalbank 93 112,985 110,440BKW SA 4,773 246,115 310,170Hypothekarbank Lenzburg 4 22,604 22,378Intershop Holding AG 391 224,369 258,474Metall Zug AG, Series ‘B’ 68 199,749 290,617Nestlé SA, Registered, Series ‘B’ 3,537 355,531 340,923ORIOR AG 632 52,142 62,335St. Galler Kantonalbank AG, Registered 300 123,455 156,754Swiss Prime Site AG, Registered 45 4,424 4,949Swiss Re AG 8,000 807,779 1,018,636Thurgauer Kantonalbank 466 52,212 54,417Valiant Holding AG, Registered 7,400 782,027 990,082Walliser Kantonalbank 300 30,319 30,262Zug Estates Holding AG 18 35,419 39,260Zurich Insurance Services AG 1,600 581,573 591,970

4,441,850 5,199,996

Taiwan – 1.9%China Motor Corp. Ltd. 627,000 635,118 683,545Chunghwa Telecom Co. Ltd., ADR 7,867 326,173 332,853First Financial Holding Co. Ltd. 1,504,000 1,044,422 1,076,402Hon Hai Precision Industry Co. Ltd.,

GDR, Registered 147,840 883,487 1,007,165Pegatron Corp., GDR 38,600 471,902 615,998Taiwan Semiconductor Manufacturing Co. Ltd.,

ADR 1,405 57,025 54,1703,418,127 3,770,133

Thailand – 2.1%Bangkok Insurance PCL 4,200 54,600 54,105Electricity Generating Public Co. Ltd. 75,000 492,046 558,919Hana Microelectronics PCL. Ltd. 407,400 593,505 573,951IMPACT Growth Real Estate Investment Trust 111,500 46,014 60,962Kang Yong Electric Public Co. Ltd. 1,600 19,255 23,428Kiatnakin Bank Public Co. Ltd. 290,900 619,679 642,732Lanna Resources Public Co. Ltd. (The) 14,800 7,206 7,538LH Shopping Centers Leashehold REIT 54,900 27,377 28,783President Bakery PCL 4,000 7,918 9,587PTT Public Co. Ltd. 39,700 495,012 553,055Ratchaburi Electricity Generating Holding

Public Co. Ltd. 254,300 563,717 476,158Siam Makro Public Co. Ltd.,

Subscription Receipts 5,600 8,020 7,340Thai Metal Trade PCL, NVDR 191,600 88,135 114,802Thai Oil Public Co. Ltd. 375,000 956,979 1,014,621

3,979,463 4,125,981

Turkey – 0.4%Cimsa Cimento Sanayi ve Ticaret AS 71,500 570,369 430,414TAV Havalimanlari Holding SA 73,700 741,620 394,207

1,311,989 824,621

United Kingdom – 2.3%AEW UK REIT PLC 18,012 29,945 28,579AstraZeneca PLC 2,300 108,194 169,125BAE Systems PLC 73,000 582,806 715,514British American Tobacco PLC 116 8,721 8,884Cambria Automobiles PLC 9,086 12,467 9,034Cello Group PLC 3,762 6,376 6,421Conygar Investment Co. PLC (The) 2,913 9,316 7,506Craneware PLC 6,523 95,945 143,220Diageo PLC 9,223 331,937 322,474Direct Line Insurance Group PLC 58,800 326,154 359,927Ebiquity PLC 6,689 19,022 10,807ECO Animal Health Group PLC 13,097 96,605 109,598Frontier Developments PLC 1,184 5,926 5,886Gamma Communications PLC 3,094 20,488 23,917GCP Student Living PLC 63,718 172,998 155,738GlaxoSmithKline PLC 30,773 802,433 796,510Ground Rents Income Fund PLC 52,917 116,617 119,693IMImobile PLC 17,755 54,677 46,191

102


Shares $ $


Shares $ $




Imperial Brands PLC 2,439 173,612 143,173JD Wetherspoon PLC 30,000 457,939 441,443K3 Business Technology Group PLC 8,779 59,682 45,243Marshall Motor Holdings PLC 8,500 26,407 19,437National Grid PLC 29,900 595,739 471,483Reckitt Benckiser Group PLC 1,630 201,135 185,992Shepherd Neame Ltd. 1,287 30,021 28,151Tate & Lyle PLC 13,300 161,319 155,926YouGov PLC 7,867 25,009 32,590

4,531,490 4,562,462

United States – 50.3%3M Co. 1,590 349,266 380,759AbbVie Inc. 9,000 615,060 755,789AGNC Investment Corp . 6,395 162,091 155,483Alliance One International Inc. 445 8,537 11,458Allstate Corp. (The) 9,700 772,452 964,167Alphabet Inc., Class ‘C’ 350 358,098 362,267Altria Group Inc. 4,465 338,314 404,894Amdocs Ltd. 25,500 1,311,404 1,991,962Ameren Corp. 14,100 963,859 991,956American Electric Power Co. Inc. 9,300 523,557 785,222AmerisourceBergen Corp. 3,613 435,362 378,847Amgen Inc. 2,000 173,793 392,150Annaly Mortgage Management Inc. 127,900 1,683,028 1,710,057Anthem Inc. 5,800 989,288 1,118,256Apple Inc. 6,800 858,860 1,056,179Archer-Daniels-Midland Co. 10,200 479,393 624,433AT&T Inc. 41,179 1,733,286 2,348,638AutoZone Inc. 911 662,012 964,884Bemis Co. Inc. 9,700 467,688 622,051Berkshire Hathaway Inc., Class ‘B’ 11,505 2,150,826 2,514,583Bio-Rad Laboratories Inc., Class ‘A’ 59 13,951 14,422Boeing Co. (The) 4,700 853,552 981,241Bristol-Myers Squibb Co. 152 14,049 11,912Bunge Ltd. 10,000 1,073,640 968,775C.R. Bard Inc. 1,262 327,608 380,216Capstead Mortgage Corp. 49,600 728,635 677,799Cardinal Health Inc. 16,949 1,811,978 1,635,839CenturyLink Inc. 19,100 794,001 609,102Charter Financial Corp. 5,827 96,032 130,264Chemed Corp. 682 117,299 146,710Children’s Place Inc. (The) 4,300 457,125 582,130Church & Dwight Co. Inc. 5,622 329,033 333,165Cisco Systems Inc. 19,000 489,164 770,004Clorox Co. 2,328 369,221 374,698Coca-Cola Co. (The) 6,653 366,110 369,906Colgate-Palmolive Co. 4,149 359,959 364,109Comcast Corp., Class ‘A’ 4,187 358,695 387,714Consolidated Edison Inc. 18,800 1,312,311 1,857,601Cooper-Standard Holdings Inc. 7,400 764,583 1,025,919Costco Wholesale Corp. 1,730 343,925 371,458Crown Crafts Inc. 537 7,200 5,581

CVS Health Corp. 10,577 855,184 1,119,282CYS Investments Inc. 69,300 747,895 718,386Danaher Corp. 3,507 359,699 366,086DaVita Inc. 4,191 393,661 360,826Deere & Co. 8,500 882,013 1,174,545Dr. Pepper Snapple Group Inc. 8,100 920,466 984,903Edison International 16,200 1,029,909 1,563,984Entegra Financial Corp. 492 12,023 13,592Entergy Corp. 20,100 1,815,843 1,980,392ESSA Bancorp Inc. 1,387 24,884 29,240Estée Lauder Cos. Inc., Class ‘A’ 2,097 264,383 215,104Exelon Corp. 34,400 1,315,159 1,637,229Express Scripts Holding Co. 13,524 1,474,499 1,247,600Exxon Mobil Corp. 4,100 394,768 496,277FirstEnergy Corp. 29,200 1,323,334 1,212,744Fresh Del Monte Produce Inc. 12,000 976,462 975,694General Electric Co. 9,436 360,195 399,871General Mills Inc. 4,174 327,473 345,760Getty Realty Corp. 9,200 309,453 314,487Government Properties Income Trust 11,500 297,092 294,022HCA Holdings Inc. 8,300 860,017 823,896Henry Schein Inc. 1,580 295,585 321,452Home Depot Inc. 1,044 168,353 187,720Intel Corp. 50,900 1,981,418 2,475,770International Business Machines Corp. 12,800 2,516,378 2,849,291Johnson & Johnson 28,700 3,313,279 4,434,218JPMorgan Chase & Co. 3,203 358,293 370,649Kaiser Aluminum Corp. 8,772 898,970 913,921Kellogg Co. 3,583 334,998 354,175Kimberly-Clark Corp. 2,388 372,441 365,461Kohl’s Corp. 20,800 1,475,051 1,377,398Kroger Co. (The) 29,800 784,537 1,379,133Macy’s Inc. 9,300 667,325 446,614MasterCard Inc., Class ‘A’ 2,589 345,907 358,482McDonald’s Corp. 2,396 390,502 391,105Merck & Co. Inc. 39,700 2,736,422 3,134,220Mettler-Toledo International Inc. 699 340,914 392,356MFA Financial Inc. 94,700 896,343 968,990National Healthcare Corp. 956 79,207 97,166Nucor Corp. 973 83,605 77,664Owens & Minor Inc. 4,440 234,692 210,126PennyMac Mortgage Investment Trust 8,600 206,643 188,796PepsiCo Inc. 2,661 340,340 373,376Pfizer Inc. 88,493 3,133,273 3,854,517PG&E Corp. 11,200 598,003 912,751Philip Morris International Inc. 2,850 323,931 349,674Portland General Electric Co. 6,300 216,694 366,079Procter & Gamble Co. (The) 3,325 330,800 374,912Provident Financial Holdings Inc. 5,179 119,770 140,434Public Services Enterprise Group Inc. 38,700 1,781,885 2,277,312QUALCOMM Inc. 3,600 313,318 314,771Quest Diagnostics Inc. 13,129 1,259,547 1,618,051Raytheon Co. 2,300 129,226 437,987

103


Shares $ $


Shares $ $




Reliance Steel & Aluminum Co. 404 45,156 43,094Republic Services Inc. 11,406 762,704 872,638Sonoco Products Co. 7,900 434,313 558,319Spectrum Brands Holdings Inc. 2,003 345,430 328,593Starwood Property Trust Inc. 50,600 1,411,695 1,489,464Steel Dynamics Inc. 1,137 56,062 54,251Stepan Co. 8,900 441,564 972,492Stryker Corp. 2,345 349,399 376,774Sysco Corp. 5,895 347,867 437,727Target Corp. 20,700 1,950,557 2,005,086Teleflex Inc. 1,604 314,869 346,641Travelers Cos. Inc. (The) 15,000 1,594,170 2,462,570Two Harbors Investment Corp. 34,100 436,279 398,764Tyson Foods Inc., Class ‘A’ 4,600 178,558 380,493U.S. Bancorp 755 51,627 52,012United Parcel Service Inc., Class ‘B’ 2,654 352,223 408,021United Technologies Corp. 6,200 901,128 911,437UnitedHealth Group Inc. 251 52,623 53,870Vanda Pharmaceuticals Inc. 2,929 61,764 62,651

Varian Medical Systems Inc. 245 25,445 29,498Verizon Communications Inc. 32,800 1,939,756 2,347,996Viacom Inc., Class ‘B’ 12,100 707,909 569,557Voya Financial Inc. 887 47,818 46,653Wal-Mart Stores Inc. 36,324 3,356,239 3,366,994Walt Disney Co. (The) 2,977 364,860 416,078Waste Management Inc. 9,373 770,788 891,315Waters Corp. 878 153,171 158,236Waterstone Financial Inc. 2,818 54,342 69,535Weis Markets Inc. 2,700 113,753 242,017

85,618,376 99,473,867 Total Equities 170,153,643 193,504,181Less: Transaction cost included in average cost (120,196) — Total Non-Derivative Financial Assets – 97.8% 170,033,447 193,504,181Derivative Assets and Liabilities (1) – 0.0% (581)Other Assets and Liabilities, Net – 2.2% 4,359,688Net Assets Attributable to Holders of

Redeemable Units – 100.0% 197,863,288


SCHEDULE OF SPOT CURRENCY EXCHANGE CONTRACTS



Barclays Bank PLC, London A-2 2017-01-03 EUR 34,779 USD 36,250 0.959 0.948 (581)(581)


104



Investment ObjectiveTo achieve capital appreciation with less volatility than the broad global equity markets through investments primarily in equity securities of issuers in developed and emerging countries.


Currency risk exposed holdings* Spot and forward foreign exchange contracts Net Exposure As a % of Net Assets

2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 110,633,272 91,744,003 — — 110,633,272 91,744,003 55.91% 52.33%Japanese Yen 12,310,586 12,024,827 — — 12,310,586 12,024,827 6.22% 6.86%British Pound 4,994,764 8,771,494 — — 4,994,764 8,771,494 2.52% 5.00%Hong Kong Dollar 2,989,545 4,839,795 — — 2,989,545 4,839,795 1.51% 2.76%Euro 8,121,523 7,697,198 — — 8,121,523 7,697,198 4.10% 4.39%South Korean Won 7,760,228 5,566,695 — — 7,760,228 5,566,695 3.92% 3.18%South African Rand 1,004,015 2,807,989 — — 1,004,015 2,807,989 0.51% 1.60%Indian Rupee 1,439,250 — — — 1,439,250 — 0.73% 0.00%Israeli Shekel 4,031,413 3,093,341 — — 4,031,413 3,093,341 2.04% 1.76%Swiss Franc 5,242,994 4,724,499 — — 5,242,994 4,724,499 2.65% 2.69%Malaysian Ringgit 1,305,618 2,794,233 — — 1,305,618 2,794,233 0.66% 1.59%Australian Dollar 1,895,915 2,405,223 — — 1,895,915 2,405,223 0.96% 1.37%Thai Baht 4,146,942 2,633,116 — — 4,146,942 2,633,116 2.10% 1.50%Singapore Dollar 4,205,141 3,346,244 — — 4,205,141 3,346,244 2.13% 1.91%Mexican Peso 1,123,357 1,675,783 — — 1,123,357 1,675,783 0.57% 0.96%Swedish Krona 202,498 1,835,015 — — 202,498 1,835,015 0.10% 1.05%Norwegian Krone 1,125,860 933,886 — — 1,125,860 933,886 0.57% 0.53%Polish Zloty 789,960 698,104 — — 789,960 698,104 0.40% 0.40%New Zealand Dollar 3,777,974 2,946,809 — — 3,777,974 2,946,809 1.91% 1.68%New Taiwan Dollar 1,759,947 — — — 1,759,947 — 0.89% 0.00%New Turkish Lira 824,621 1,158,620 — — 824,621 1,158,620 0.42% 0.66%Brazilian Real 35,259 595,231 — — 35,259 595,231 0.02% 0.34%Colombian Peso 939,099 292,248 — — 939,099 292,248 0.47% 0.17%Danish Krone 1,798 222,454 — — 1,798 222,454 0.00% 0.13%Czech Koruna 256,583 132,493 — — 256,583 132,493 0.13% 0.08%China Renminbi — — — — — — 0.00% 0.00%Hungarian Forint 1,219,985 18,671 — — 1,219,985 18,671 0.62% 0.01%Philippine Peso 82,403 102,015 — — 82,403 102,015 0.04% 0.06%Indonesian Rupiah 155,836 163,071 — — 155,836 163,071 0.08% 0.09%Chilean Peso 731,863 79,427 — — 731,863 79,427 0.37% 0.05%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets would havedecreased or increased, respectively, by approximately $9,155,412 (December 31, 2015 – $8,165,124). In practice, the actual trading results may differ from this sensitivity analysis and the differencecould be material.



Credit Risk As at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no significant investments in debt instruments or derivatives.


105





Australia 1.0 1.3 Austria 0.5 0.4 Belgium 0.5 0.6 Bermuda 3.4 3.9 Brazil — 0.4 Canada 6.1 5.8 Chile 0.5 —China 0.6 1.8 Colombia 0.5 0.2 Czech Republic 0.1 0.1 Denmark — 0.1 France 1.5 1.1 Germany 1.4 1.0 Guernsey 0.1 —Hong Kong 0.9 1.6 Hungary 0.6 —India 0.7 —Indonesia 0.1 0.1 Isle of Man — 0.1 Israel 2.1 1.8 Italy 0.1 0.3 Japan 6.2 6.8 Malaysia 0.7 1.5 Mexico 0.6 0.9 Netherlands — 1.2 New Zealand 1.9 1.7 Norway 0.8 0.8 Philippines — 0.1 Poland 0.4 0.4 Russia 0.3 0.2 Singapore 2.1 1.9 South Africa 0.5 1.6 South Korea 3.9 3.3 Spain — 0.2 Sweden 0.1 1.0 Switzerland 2.6 2.7 Taiwan 1.9 1.0 Thailand 2.1 1.5 Turkey 0.4 0.7 United Kingdom 2.3 4.4 United States 50.3 45.7 Other Assets and Liabilities, Net 2.2 1.8

100.0 100.0


106





Gross Amounts eligible for offset Net Gross Amounts eligible for offset NetAssetsDerivative Assets — — — 2 (1) 1

LiabilitiesDerivative Liabilities 1 — 1 9 (1) 8



Common shares $ 189,595,000 $ 3,909,181 $ — $ 193,504,181 Derivative assets — — — — Derivative liabilities — (581) — (581)

2015

Common shares $ 170,517,822 $ 1,625,804 $ — $ 172,143,626 Derivative assets — 1,941 — 1,941 Derivative liabilities — (8,665) — (8,665)

During the years ended December 31, 2016, $903,853 (December 31, 2015 – $nil) investments were transferred from Level 1 to Level 2 as they ceased to be traded in an active market.During the years ended December 31, 2016, $66,590 (December 31, 2015 – $373,932) were transferred from Level 2 to Level 1 as they began trading in an active market.During the years ended December 31, 2016 and 2015, the Fund did not hold any investments classified within Level 3.




Financial instruments at FVTPL:Held for trading $ 9 $ (26)Designated at inception 14,054 20,414




107


2016 2015


Interest for distribution purposes $ 76,442 $ 78,000 Derivative income (loss) 89 (1,009)Net realized gain (loss) on sale of investments 36,535 35,356 Foreign exchange gain (loss) on foreign

currency translation (64) 342 Net change in unrealized appreciation

(depreciation) on foreign exchange (1) —Net change in unrealized appreciation

(depreciation) of investments and derivatives (43,939) (40,263)69,062 72,426

Foreign exchange gain (loss) on cash (38) 70TOTAL INCOME (NET) 69,024 72,496

EXPENSESCustodian and administration fees 2,263 2,090 Legal fees 108 169 Audit fees 132 118 Interest expense 3 —Management fees 4,320 4,916 Trustee fees 70 65 Independent Review Committee fees 17 13 Transaction costs 28 17 Securityholder reporting costs 174 173 TOTAL EXPENSES 7,115 7,561Waived expenses (30) (19)NET EXPENSES 7,085 7,542



(Class D) $ (228) $ 39(Class E) $ (10) $ 15(Class F) $ 497 $ 313(Class O) $ 60,237 $ 62,258(Class P) $ 1,443 $ 2,329(Class Z) $ — $ —


(Class D) 5,407 5,361(Class E) 126 113(Class F) 2,110 1,460(Class O) 182,557 178,001(Class P) 10,448 13,295(Class Z) 1 1


(Class D) $ (0.04) $ 0.02(Class E) $ (0.08) $ 0.13(Class F) $ 0.24 $ 0.21(Class O) $ 0.33 $ 0.36(Class P) $ 0.14 $ 0.17(Class Z) $ 0.28 $ (0.07)



2016 2015


Investments (non-derivative financial assets) $ 2,186,905 $ 2,452,467 Cash including foreign currency holdings 25,385 40,129 Accrued interest receivable 11,939 13,405 Margin receivable on futures 993 888 Receivable for portfolio securities sold 2,737 7,006 Receivable for unit subscriptions 1,860 3,482 Receivable from manager 13 8 Prepaid expenses 227 374 Derivative assets 72 —

2,230,131 2,517,759LIABILITIESCurrent liabilities

Accrued liabilities 885 642 Payable for portfolio securities purchased 1,923 8,484 Payable for unit redemptions 3,262 1,461 Derivative liabilities 34 112



(Class D) $ 61,683 $ 68,242(Class E) $ 2,060 $ 1,549(Class F) $ 22,598 $ 24,796(Class O) $ 2,039,585 $ 2,265,073(Class P) $ 98,091 $ 147,390(Class Z) $ 10 $ 10


(Class D) $ 11.73 $ 12.03(Class E) $ 11.71 $ 12.04(Class F) $ 11.94 $ 12.24(Class O) $ 11.75 $ 12.04(Class P) $ 12.02 $ 12.32(Class Z) $ 11.72 $ 12.02

INVESTMENTS AT AVERAGE COST $ 2,193,188 $ 2,414,656

Canadian Fixed Income Fund

SCFI (The accompanying notes are an integral part of these financial statements)

108





INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 61,939 64,954 (228) 39

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (70,101) (69,260) (176) (195)Out of net realized capital gains (40,301) (29,788) (1,129) (777)

(110,402) (99,048) (1,305) (972)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 453,468 617,350 10,357 22,226 Payments on redemption of units (796,465) (489,286) (16,688) (14,142)Reinvestment of distributions 108,427 97,371 1,305 972

(234,570) 225,435 (5,026) 9,056 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (283,033) 191,341 (6,559) 8,123NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class E Class F2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (10) 15 497 313

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (29) (26) (628) (449)Out of net realized capital gains (38) (18) (415) (279)

(67) (44) (1,043) (728)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,229 890 11,577 15,745 Payments on redemption of units (707) (410) (14,262) (4,295)Reinvestment of distributions 66 43 1,033 719


HOLDERS OF REDEEMABLE UNITS 511 494 (2,198) 11,754NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SCFI

109



Class O Class P2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 60,237 62,258 1,443 2,329

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (67,647) (66,480) (1,621) (2,110)Out of net realized capital gains (36,879) (27,060) (1,840) (1,654)


(181,199) 233,059 (47,281) (29,382)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (225,488) 201,777 (49,299) (30,817)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class Z2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — —



HOLDERS OF REDEEMABLE UNITS — 10NET ASSETS ATTRIBUTABLE TO HOLDERS OF



110





Foreign exchange (gain) loss on cash 38 (19)Net realized (gain) loss on sale of investments (36,535) (35,177)Net change in unrealized (appreciation) depreciation of investments and derivatives 43,939 40,263 Accretion of discount (212) (491)Purchases of investments (4,083,296) (4,075,837)Proceeds from the sale of investments 4,339,224 3,849,358 Change in margin receivable on futures (105) (114)Change in interest receivable 1,466 (307)Change in other assets 142 32 Change in other liabilities 243 (16)

326,843 (157,354)

CASH FLOWS USED IN FINANCING ACTIVITIESAmount received from the issuance of units (note 16) 350,189 555,455 Amount paid on redemptions of units (note 16) (689,763) (426,853)Distributions paid to unitholders (1,975) (1,677)

(341,549) 126,925

Increase (decrease) in cash during the period (14,706) (30,429)Foreign exchange gain (loss) on cash (38) 19Cash at beginning of period 40,129 70,539Cash at end of period 25,385 40,129

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 77,696 77,202

111

CANADIAN BONDS – 93.5%Corporate Bonds – 42.8%407 International Inc., Callable 1,105,000 3.600 2047-05-21 1,120,943 1,066,427407 International Inc., Callable 12,017,000 3.830 2046-05-11 12,606,329 12,054,895407 International Inc., Callable 192,000 4.190 2042-04-25 222,440 204,765407 International Inc., Callable 399,000 4.450 2041-11-15 438,581 442,404AGT Food and Ingredients Inc., Callable 3,930,000 5.875 2021-12-21 3,930,000 3,979,125Aimia Inc., Callable 12,263,000 5.600 2019-05-17 12,860,315 12,605,737Algonquin Power Co., Callable 2,445,000 4.650 2022-02-15 2,595,238 2,607,949Alimentation Couche-Tard Inc. 1,629,000 3.319 2019-11-01 1,629,000 1,695,813Alimentation Couche-Tard Inc., Series ‘3’ 447,000 3.899 2022-11-01 478,415 477,332Alimentation Couche-Tard Inc., Series ‘5’, Restricted, Callable 539,000 3.600 2025-06-02 545,242 553,164Alliance Pipeline L.P., Callable 1,895,000 4.928 2019-12-16 1,895,000 1,993,501Alliance Pipeline L.P., Series ‘A’ 1,448,063 7.217 2025-12-31 1,648,240 1,668,137AltaGas Ltd., Callable 1,438,000 3.720 2021-09-28 1,502,222 1,518,966AltaGas Ltd., Callable 2,844,000 3.840 2025-01-15 2,987,520 2,955,866AltaGas Ltd., Callable 3,720,000 4.400 2024-03-15 3,781,597 4,028,592AltaGas Ltd., Callable 6,500,000 4.500 2044-08-15 6,241,984 6,253,594AltaGas Ltd., Callable 270,000 4.550 2019-01-17 284,489 284,848AltaGas Ltd., Callable 348,000 5.160 2044-01-13 355,041 366,919AltaGas Ltd., Series ‘7’, Callable 161,000 4.070 2020-06-01 170,494 171,080AltaLink L.P., Callable 1,555,000 3.717 2046-12-03 1,555,000 1,540,799AltaLink L.P., Callable 4,200,000 5.249 2036-09-22 4,610,222 5,091,682AltaLink L.P., Series ‘2010-1’, Callable 545,000 5.381 2040-03-26 620,870 681,360AltaLink L.P., Series ‘2013-1’, Callable 79,000 4.446 2053-07-11 79,023 87,468AltaLink L.P., Series ‘2016-1’, Callable 7,591,000 2.747 2026-05-29 7,646,122 7,576,876Bank of Montreal 4,098,000 1.610 2021-10-28 4,069,529 4,014,196Bank of Montreal 6,041,000 1.880 2021-03-31 6,058,132 6,034,998Bank of Montreal 682,000 2.430 2019-03-04 684,400 696,166Bank of Montreal, Callable 5,189,000 2.100 2020-10-06 5,255,840 5,246,915Bank of Montreal, Callable 2,767,000 3.400 2021-04-23 2,888,548 2,933,938Bank of Montreal, Variable Rate 5,750,000 3.120 2024-09-19 5,837,589 5,826,117Bank of Montreal, Variable Rate, Callable 965,000 3.340 2025-12-08 988,334 983,213Bank of Montreal, Variable Rate, Callable 4,450,000 3.320 2026-06-01 4,528,453 4,523,916Bank of Nova Scotia 9,897,000 1.900 2021-12-02 9,894,229 9,825,975Bank of Nova Scotia 364,000 2.130 2020-06-15 364,976 368,575Bank of Nova Scotia 543,000 2.400 2019-10-28 558,905 554,849Bank of Nova Scotia 1,290,000 2.620 2026-12-02 1,289,781 1,279,766Bank of Nova Scotia 2,278,000 2.750 2018-08-13 2,339,162 2,328,784Bank of Nova Scotia 3,870,000 2.873 2021-06-04 3,943,483 4,016,059Bank of Nova Scotia, Variable Rate, Callable 4,740,000 3.367 2025-12-08 4,735,876 4,833,459Bank of Nova Scotia, Variable Rate, Callable 2,765,000 3.036 2024-10-18 2,843,460 2,853,332Bankers Hall L.P., Sinkable, Callable 900,562 4.377 2023-11-20 900,562 938,141bcIMC Realty Corp., Callable 8,335,000 2.840 2025-06-03 8,398,086 8,377,828Bell Canada 4,991,000 2.000 2021-10-01 4,987,360 4,937,573Bell Canada, Callable 1,458,000 2.900 2026-08-12 1,459,712 1,411,169Bell Canada, Callable 1,432,000 3.150 2021-09-29 1,449,394 1,492,247Bell Canada, Callable 2,317,000 3.250 2020-06-17 2,441,400 2,419,685Bell Canada, Callable 684,000 3.500 2018-09-10 710,458 706,907Bell Canada, Callable 2,652,000 3.550 2026-03-02 2,701,620 2,723,361Bell Canada, Callable 7,486,000 4.700 2023-09-11 7,877,955 8,344,136Bell Canada, Callable 1,025,000 4.750 2044-09-29 1,015,765 1,060,517Bell Canada, Series ‘M-26’, Callable 1,165,000 3.350 2023-03-22 1,186,304 1,213,403

Par Interest Maturity Average FairValue Rate Date Cost Value

$ % $ $




112

Blackbird Infrastructure 407 General Partnership, Series ‘B’, Variable Rate, Callable 1,752,000 1.713 2021-10-08 1,738,352 1,733,028BP L.P., Sinkable, Restricted 1,329,774 3.244 2020-01-09 1,329,775 1,357,262Brookfield Asset Management Inc. 555,000 5.950 2035-06-14 533,238 609,920Brookfield Asset Management Inc., Callable 1,200,000 3.800 2027-03-16 1,199,592 1,190,842Brookfield Asset Management Inc., Callable 3,810,000 5.040 2024-03-08 3,985,605 4,199,953Bruce Power L.P., Restricted 1,588,000 2.844 2021-06-23 1,588,000 1,613,945Cadillac Fairview Finance Trust 10,410,000 3.640 2018-05-09 10,680,310 10,740,021Cadillac Fairview Finance Trust, Series ‘B’, Callable 4,450,000 4.310 2021-01-25 4,966,245 4,887,613Caisse Centrale Desjardins du Québec 4,650,000 2.795 2018-11-19 4,650,546 4,769,011Cameco Corp., Callable 4,679,000 4.190 2024-06-24 4,677,128 4,715,968Canadian Imperial Bank of Commerce 2,074,000 1.640 2021-07-12 2,073,155 2,044,642Canadian Imperial Bank of Commerce 5,560,000 1.700 2018-10-09 5,581,948 5,592,402Canadian Imperial Bank of Commerce 2,549,000 1.850 2020-07-14 2,552,872 2,557,558Canadian Imperial Bank of Commerce 5,057,000 1.900 2021-04-26 5,054,370 5,055,139Canadian Imperial Bank of Commerce 2,305,000 2.350 2019-06-24 2,359,318 2,352,794Canadian Imperial Bank of Commerce, Floating Rate 3,670,000 1.558 2018-02-08 3,670,000 3,689,671Canadian Imperial Bank of Commerce, Variable Rate, Callable 7,300,000 3.000 2024-10-28 7,347,282 7,365,431Canadian Imperial Bank of Commerce, Variable Rate, Callable 6,650,000 3.420 2026-01-26 6,734,482 6,778,518Canadian Natural Resources Ltd. 1,862,000 3.310 2022-02-11 1,910,485 1,902,353Canadian Natural Resources Ltd., Series ‘2’, Callable 761,000 2.890 2020-08-14 768,952 771,142Canadian Tire Corp. Ltd., Callable 5,594,000 6.445 2034-02-24 6,103,663 6,823,569Canadian Western Bank, Variable Rate, Callable 3,394,000 3.463 2024-12-17 3,434,441 3,448,710Capital City Link General Partnership, Sinkable, Callable 1,360,000 4.386 2046-03-31 1,360,054 1,393,651CDP Financial Inc. 9,680,000 4.600 2020-07-15 10,220,699 10,660,315Centra Gas Ontario Inc., Callable 115,000 8.650 2018-10-19 145,281 128,387Central 1 Credit Union, Series ‘13’, Floating Rate 6,760,000 1.520 2018-11-21 6,760,000 6,770,281Chip Mortgage Trust, Series ‘16-1’, Extendible 4,000,000 2.981 2041-11-15 4,000,000 3,974,599Choice Properties L.P., Series ‘10’, Callable 1,895,000 3.600 2022-09-20 1,964,125 1,976,558Choice Properties L.P., Series ‘8’, Restricted 333,000 3.600 2020-04-20 347,819 347,806Choice Properties REIT 1,982,000 4.293 2024-02-08 2,166,142 2,126,226Choice Properties REIT, Series ‘B’, Callable 1,497,000 4.903 2023-07-05 1,667,065 1,661,298Choice Properties REIT, Series ‘F’, Callable 1,668,000 4.055 2025-11-24 1,702,828 1,739,517Choice Properties REIT, Series ‘G’, Callable 1,349,000 3.196 2023-03-07 1,356,028 1,372,110CI Financial Corp., Callable 1,095,000 2.775 2021-11-25 1,095,000 1,096,019CIBC Capital Trust, Series ‘A’, Callable 10,302,000 9.976 2019-06-30 13,153,072 12,115,306Cominar REIT, Series ‘7’ 2,560,000 3.620 2019-06-21 2,559,667 2,610,421Consumers Gas Co. Ltd. 730,000 7.600 2026-10-29 994,693 993,260CT REIT, Series ‘D’, Callable 4,860,000 3.289 2026-06-01 4,859,337 4,722,669CU Inc. 375,000 3.857 2052-11-14 366,377 372,881CU Inc., Callable 1,882,000 3.763 2046-11-19 1,882,000 1,875,240CU Inc., Callable 4,553,000 3.964 2045-07-27 4,863,147 4,675,755CU Inc., Callable 3,099,000 4.085 2044-09-02 3,253,596 3,251,486CU Inc., Callable 1,552,000 4.543 2041-10-24 1,778,966 1,740,430CU Inc., Callable 320,000 4.558 2053-11-07 344,656 360,539CU Inc., Callable 1,506,000 4.722 2043-09-09 1,862,443 1,738,400CU Inc., Callable 597,000 4.947 2050-11-18 621,083 715,405CU Inc., Callable 1,315,000 6.215 2024-03-06 1,673,868 1,622,788Eagle Credit Card Trust 2,700,000 3.469 2018-10-17 2,700,000 2,757,845Emera Inc. 549,000 2.900 2023-06-16 549,000 547,469Empire Life Insurance Co. (The), Variable Rate, Callable 817,000 3.383 2026-12-16 817,000 819,427Empire Life Insurance Co., Variable Rate, Restricted, Callable 8,100,000 2.870 2023-05-31 8,102,519 8,113,080Enbridge Gas Distribution Inc. 341,000 6.900 2032-11-15 481,195 466,914Enbridge Gas Distribution Inc., Callable 430,000 3.150 2024-08-22 441,820 449,193


$ % $ $




113

Enbridge Gas Distribution Inc., Callable 3,601,000 3.310 2025-09-11 3,890,272 3,771,252Enbridge Gas Distribution Inc., Callable 744,000 4.040 2020-11-23 802,553 807,253Enbridge Gas Distribution Inc., Callable 949,000 4.770 2021-12-17 1,093,049 1,073,588Enbridge Gas Distribution Inc., Callable 1,160,000 4.950 2050-11-22 1,267,515 1,376,362Enbridge Gas Distribution Inc., Callable 4,779,000 5.160 2017-12-04 5,020,536 4,955,753Enbridge Gas Distribution Inc., Callable 168,000 9.850 2024-12-02 255,234 244,979Enbridge Inc., Callable 3,253,000 3.160 2021-03-11 3,269,531 3,359,183Enbridge Inc., Callable 1,860,000 3.940 2023-06-30 1,843,324 1,976,357Enbridge Inc., Callable 318,000 4.240 2042-08-27 307,423 299,412Enbridge Inc., Callable 2,639,000 4.260 2021-02-01 2,782,315 2,842,453Enbridge Inc., Callable 2,789,000 4.530 2020-03-09 3,002,165 3,002,561Enbridge Inc., Callable 1,245,000 4.570 2044-03-11 1,067,488 1,231,185Enbridge Inc., Callable 292,000 4.770 2019-09-02 316,423 314,328Enbridge Income Fund (The), Callable 3,325,000 3.950 2024-11-19 3,394,020 3,512,091Enbridge Pipelines Inc. 790,000 2.930 2022-11-30 790,847 813,966Enbridge Pipelines Inc. 1,439,000 6.350 2023-11-17 1,736,275 1,741,876Enbridge Pipelines Inc., Callable 858,000 3.000 2026-08-10 863,088 850,738Enbridge Pipelines Inc., Callable 541,000 4.130 2046-08-09 545,982 528,021Enbridge Pipelines Inc., Callable 311,000 4.490 2019-11-12 336,385 336,723Enbridge Pipelines Inc., Callable 460,000 4.550 2045-09-29 491,933 478,553Enbridge Pipelines Inc., Callable 685,000 5.330 2040-04-06 752,468 789,043Enbridge Pipelines Inc., Callable 200,000 6.050 2029-02-12 246,200 238,014Enbridge Pipelines Inc., Series ‘K’, Callable 882,000 8.200 2024-02-15 1,265,247 1,152,598Enbridge Southern Lights L.P., Restricted 801,335 4.014 2040-06-30 801,335 805,970EnerCare Solutions Inc., Callable 9,265,000 4.600 2020-02-03 9,281,139 9,730,297ENMAX Corp., Callable 840,000 3.805 2024-12-05 840,000 860,802Fairfax Financial Holdings Ltd. 4,570,000 4.500 2023-03-22 4,679,132 4,754,671Federated Co-Operatives Ltd., Restricted, Callable 5,770,000 3.917 2025-06-17 5,770,000 5,660,131Fifth Avenue L.P., Callable, Sinkable 1,960,200 4.710 2021-08-05 2,105,711 2,077,687First Capital Realty Inc., Series ‘Q’, Callable 740,000 3.900 2023-10-30 764,598 773,797First Capital Realty Inc., Series ‘R’, Callable 2,070,000 4.790 2024-08-30 2,265,137 2,268,046Ford Auto Securitization Trust, Class ‘B’, Series ‘2013-R1’, Callable 1,895,000 2.523 2018-04-15 1,895,000 1,898,704Ford Credit Canada Ltd. 1,795,000 2.580 2021-05-10 1,793,234 1,782,669Fortis Inc., Callable 1,725,000 2.850 2023-12-12 1,724,672 1,729,162Fortis Inc., Callable 3,240,000 6.510 2039-07-04 3,287,855 4,174,007FortisAlberta Inc., Callable 367,000 3.340 2046-09-21 363,086 331,930FortisAlberta Inc., Callable 1,900,000 4.270 2045-09-22 1,959,854 2,030,756FortisAlberta Inc., Callable 262,000 4.800 2050-10-27 261,814 303,332FortisAlberta Inc., Callable 247,000 5.370 2039-10-30 289,854 302,602FortisAlberta Inc., Callable 243,000 5.850 2038-04-15 340,645 312,758FortisBC Energy Inc. 4,426,000 5.900 2035-02-26 4,785,482 5,656,950FortisBC Energy Inc. 413,000 6.500 2034-05-01 575,350 555,721FortisBC Energy Inc., Callable 5,365,000 2.580 2026-04-08 5,361,727 5,302,140FortisBC Energy Inc., Callable 5,950,000 3.670 2046-04-09 5,947,492 5,771,057FortisBC Energy Inc., Callable 323,000 5.800 2038-05-13 443,473 416,458FortisBC Inc., Callable 247,000 5.000 2050-11-24 301,055 291,298GE Capital Canada Funding Co. 3,408,000 4.600 2022-01-26 3,844,493 3,830,273General Motors Financial of Canada Ltd., Restricted, Callable 2,050,000 3.080 2020-05-22 2,057,546 2,078,471Genworth MI Canada Inc. 710,000 5.680 2020-06-15 709,645 766,946Genworth MI Canada Inc., Callable 4,827,000 4.242 2024-04-01 4,895,558 4,872,785Glacier Credit Card Trust 5,070,000 2.807 2017-05-20 5,144,469 5,104,196Glacier Credit Card Trust 11,170,000 3.237 2020-09-20 11,234,431 11,314,955Glacier Credit Card Trust, Series ‘2013-1’ 5,000,000 3.275 2018-11-20 5,000,000 5,054,100


$ % $ $




114

Granite REIT Holdings L.P., Callable 1,500,000 3.788 2021-07-05 1,500,000 1,539,153H&R REIT, Series ‘L’ 830,000 2.923 2022-05-06 830,797 826,596Health Montreal Collective L.P., Sinkable, Callable 2,000,000 6.721 2049-09-30 2,000,000 2,485,847Hollis Receivables Term Trust II 4,550,000 1.788 2020-02-26 4,550,997 4,557,511Home Trust Co. (The) 1,500,000 2.280 2018-03-06 1,499,835 1,496,412Home Trust Co. (The) 2,820,000 2.350 2017-05-24 2,819,351 2,822,494Honda Canada Finance Inc., Series ‘16-2’ 2,285,000 2.155 2021-02-18 2,308,207 2,303,154Honda Canada Finance Inc., Series ‘16-4’, Restricted 3,000,000 1.823 2021-12-07 3,000,000 2,960,334Horizon Holdings Inc., Series ‘B’, Callable, Restricted 2,500,000 3.033 2022-07-25 2,500,000 2,570,201HSBC Bank Canada, Variable Rate, Callable 515,000 4.800 2022-04-10 538,515 518,658Husky Energy Inc., Callable 513,000 3.550 2025-03-12 529,827 519,145Husky Energy Inc., Callable 914,000 5.000 2020-03-12 1,000,720 990,582Hydro One Inc. 3,366,000 1.840 2021-02-24 3,405,684 3,378,904Hydro One Inc., Callable 2,183,000 2.770 2026-02-24 2,245,536 2,198,789Hydro One Inc., Callable 1,807,000 4.170 2044-06-06 1,933,821 1,919,651Hydro One Inc., Callable 307,000 4.390 2041-09-26 345,314 336,438Hydro One Inc., Callable 447,000 5.000 2046-10-19 524,167 544,287Hydro One Inc., Callable 1,157,000 5.490 2040-07-16 1,443,956 1,456,039Hydro One Inc., Callable 274,000 6.930 2032-06-01 394,045 378,562Hydro One Inc., Callable 1,289,000 7.350 2030-06-03 1,861,880 1,805,711Hydro One Inc., Series ‘17’, Callable 791,000 6.030 2039-03-03 1,129,046 1,049,624Hydro One Inc., Series ‘37’, Callable 3,970,000 1.480 2019-11-18 3,969,881 3,974,669IGM Financial Inc. 1,175,000 7.350 2019-04-08 1,398,450 1,316,431Industrial Alliance Insurance and Financial Services Inc., Variable Rate, Callable 1,060,000 2.640 2027-02-23 1,059,735 1,053,735Industrial Alliance Insurance and Financial Services Inc., Variable Rate, Callable 2,059,000 3.300 2028-09-15 2,075,151 2,080,190Intact Financial Corp., Callable 9,140,000 3.770 2026-03-02 9,481,466 9,671,586Intact Financial Corp., Callable 2,398,000 5.410 2019-09-03 2,604,550 2,628,948Inter Pipeline (Corridor) Inc., Callable 695,000 4.897 2020-02-03 728,221 757,609Inter Pipeline Ltd., Callable 4,236,000 2.608 2023-09-13 4,231,229 4,193,976Inter Pipeline Ltd., Callable 1,912,000 3.484 2026-12-16 1,912,000 1,932,688Inter Pipeline Ltd., Callable 417,000 3.776 2022-05-30 432,363 443,607Inter Pipeline Ltd., Callable 1,224,000 4.637 2044-05-30 1,227,115 1,238,402Inter Pipeline Ltd., Series ‘7’, Callable 4,790,000 3.173 2025-03-24 4,696,047 4,827,677Laurentian Bank of Canada 4,920,000 2.750 2021-04-22 4,909,520 4,966,428Leisureworld Senior Care L.P., Series ‘B’, Callable 8,934,000 3.474 2021-02-03 9,062,851 9,375,810Loblaw Cos. Ltd. 5,127,000 6.650 2027-11-08 6,759,163 6,380,470Loblaw Cos. Ltd., Callable 3,891,000 4.860 2023-09-12 4,422,982 4,364,924Loblaw Cos. Ltd., Callable 281,000 6.500 2029-01-22 364,269 345,681Lower Mattagami Energy L.P., Callable 521,000 4.176 2046-02-23 523,998 555,210Lower Mattagami Energy L.P., Restricted, Callable 1,250,000 4.944 2043-09-21 1,462,688 1,488,137Lower Mattagami Energy L.P., Series ‘16-1’, Restricted 1,421,000 2.307 2026-10-21 1,420,986 1,359,182Magna International Inc., Callable 1,320,000 3.100 2022-12-15 1,329,430 1,352,646Manufacturers Life Insurance Co. (The), Variable Rate, Callable 720,000 2.926 2023-11-29 729,582 732,008Manufacturers Life Insurance Co. (The), Variable Rate, Callable 1,121,000 3.181 2027-11-22 1,152,620 1,153,399Manulife Bank of Canada, Floating Rate 6,370,000 1.501 2018-06-01 6,370,000 6,386,788Manulife Financial Capital Trust II, Series ‘1’, Variable Rate, Callable 6,605,000 7.405 2019-12-31 7,453,043 7,519,786Master Credit Card Trust II, Class ‘B’, Series ‘2013-4’ 1,382,000 3.223 2018-11-21 1,382,000 1,418,996Master Credit Card Trust II, Class ‘C’, Series ‘2013-4’ 3,470,000 3.623 2018-11-21 3,470,000 3,561,782MCAP Commercial L.P., Callable 8,003,000 3.955 2019-03-11 8,032,722 7,907,049NAV Canada, Callable 850,000 3.534 2046-02-23 831,453 846,728NBC Asset Trust, Series ‘2’, Variable Rate, Perpetual 5,210,000 7.447 2020-06-30 5,743,137 5,985,094NHA MBS Merrill Lynch Canada Inc. 2,097,942 1.400 2021-05-01 2,100,963 2,080,407Nissan Canada Financial Services Inc. 3,385,000 1.584 2019-10-07 3,372,547 3,371,178


$ % $ $




115

North Battleford Power L.P., Series ‘A’, Sinkable 1,208,566 4.958 2032-12-31 1,208,652 1,332,776North West Redwater Partnership / NWR Financing Co. Ltd., Callable 4,700,000 4.050 2044-07-22 4,697,897 4,796,765North West Redwater Partnership / NWR Financing Co. Ltd., Series ‘F’, Callable 152,000 4.250 2029-06-01 164,353 162,741North West Redwater Partnership / NWR Financing Co. Ltd., Series ‘G’, Restricted, Callable 484,000 4.750 2037-06-01 561,769 542,828North West Redwater Partnership / NWR Financing Co. Ltd., Series ‘H’, Restricted, Callable 2,423,000 4.150 2033-06-01 2,431,329 2,536,833Nova Scotia Power Inc. 961,000 6.950 2033-08-25 1,372,923 1,315,846OMERS Realty Corp., Series ‘7’, Callable 9,535,000 2.858 2024-02-23 9,704,716 9,719,215Original Wempi Inc. 1,320,847 4.056 2024-02-13 1,320,847 1,363,017Pembina Pipeline Corp., Callable 6,760,000 4.750 2043-04-30 6,326,874 6,687,144Pembina Pipeline Corp., Callable 108,000 4.890 2021-03-29 118,995 118,515Pembina Pipeline Corp., Series ‘4’, Callable 7,005,000 4.810 2044-03-25 6,973,493 6,980,202Pembina Pipeline Corp., Series ‘6’, Callable 2,750,000 4.240 2027-06-15 2,752,890 2,862,874Pembina Pipeline Corp., Series ‘7’, Callable 5,846,000 3.710 2026-08-11 5,894,502 5,904,042Penske Truck Leasing Canada Inc., Callable 4,200,000 3.650 2018-02-01 4,201,191 4,280,632Plenary Health Care Partnerships Humber L.P., Callable 1,400,460 4.895 2039-05-31 1,400,460 1,551,622Plenary Properties LTAP L.P., Callable 234,554 6.288 2044-01-31 296,897 299,891PowerStream Inc., Series ‘B’, Restricted, Callable 9,825,000 3.239 2024-11-21 10,062,273 10,148,612Reliance L.P. 1,511,000 4.075 2021-08-02 1,501,688 1,520,247RioCan REIT 337,000 2.185 2020-08-26 337,000 335,565Rogers Communications Inc. 4,600,000 6.110 2040-08-25 5,713,384 5,566,476Rogers Communications Inc., Callable 495,000 5.340 2021-03-22 538,354 557,909Rogers Communications Inc., Callable 364,000 6.560 2041-03-22 469,775 465,354Rogers Communications Inc., Callable 6,412,000 6.680 2039-11-04 7,568,678 8,260,913Royal Bank of Canada 5,768,000 1.583 2021-09-13 5,742,250 5,651,672Royal Bank of Canada 4,870,000 1.650 2021-07-15 4,863,182 4,797,381Royal Bank of Canada 7,310,000 1.920 2020-07-17 7,336,457 7,344,624Royal Bank of Canada 2,762,000 1.968 2022-03-02 2,740,015 2,736,431Royal Bank of Canada 3,529,000 2.030 2021-03-15 3,538,280 3,542,263Royal Bank of Canada 1,645,000 2.333 2023-12-05 1,645,000 1,633,883Royal Bank of Canada 2,925,000 2.350 2019-12-09 2,924,444 2,985,080Royal Bank of Canada 10,947,000 2.770 2018-12-11 11,207,083 11,229,571Royal Bank of Canada 6,785,000 2.820 2018-07-12 6,845,946 6,938,905Royal Bank of Canada 3,728,000 2.890 2018-10-11 3,819,870 3,826,120Royal Bank of Canada, Series ‘16’, Variable Rate, Restricted 4,910,000 0.752 2017-04-18 4,922,275 4,910,000Royal Bank of Canada, Variable Rate, Callable 6,850,000 2.480 2025-06-04 6,812,902 6,783,501Royal Bank of Canada, Variable Rate, Callable 5,711,000 3.310 2026-01-20 5,753,855 5,796,555Royal Bank of Canada, Variable Rate, Callable 3,960,000 3.450 2026-09-29 3,980,354 4,035,937Saputo Inc., Callable 4,620,000 2.827 2023-11-21 4,614,642 4,629,246SEC L.P. and Arci Ltd., Sinkable, Callable 842,469 5.188 2033-08-29 842,470 883,169Shaw Communications Inc. 710,000 3.150 2021-02-19 726,074 724,697Shaw Communications Inc., Callable 7,029,000 4.350 2024-01-31 7,312,363 7,497,612Shaw Communications Inc., Callable 1,204,000 5.500 2020-12-07 1,346,073 1,336,599Shaw Communications Inc., Callable 4,362,000 6.750 2039-11-09 5,389,868 5,228,428Smart REIT, Series ‘P’, Callable 7,320,000 3.444 2026-08-28 7,306,053 7,020,947SNC-Lavalin Innisfree McGill Finance Inc., Callable 1,305,105 6.632 2044-06-30 1,312,875 1,665,238Sun Life Capital Trust II, Callable 7,350,000 5.863 2019-12-31 7,692,979 8,052,543Sun Life Financial Inc., Variable Rate, Callable 313,000 3.100 2026-02-19 321,967 320,952Sun Life Financial Inc., Variable Rate, Callable 5,231,000 3.050 2028-09-19 5,227,324 5,234,585Sun Life Financial Inc., Variable Rate, Callable 4,900,000 5.400 2042-05-29 5,540,697 5,508,581Suncor Energy Inc., Series ‘5’, Callable 900,000 3.000 2026-09-14 897,759 888,275Suncor Energy Inc., Series ‘5’, Callable 336,000 3.100 2021-11-26 354,863 350,357TD Capital Trust III, Variable Rate, Perpetual 5,100,000 7.243 2018-12-31 5,438,559 5,632,301TD Capital Trust IV, Series ‘1’, Variable Rate, Callable 2,766,000 9.523 2019-06-30 3,460,277 3,224,831TD Capital Trust IV, Series ‘2’, Variable Rate, Callable 775,000 10.000 2039-06-30 1,092,200 1,013,615


$ % $ $




116



TD Capital Trust IV, Variable Rate, Callable 5,265,000 6.631 2021-06-30 6,206,327 6,088,439TELUS Corp., Callable 1,000,000 3.750 2026-03-10 1,031,881 1,034,894TELUS Corp., Callable 5,460,000 4.400 2046-01-29 5,306,005 5,197,338TELUS Corp., Callable 800,000 5.150 2043-11-26 822,612 852,092TELUS Corp., Series ‘CP’, Callable 206,000 4.850 2044-04-05 213,612 210,491Terasen Gas Inc., Callable 246,000 6.950 2029-09-21 310,127 334,370THP Partnership, Sinkable, Restricted 4,230,000 4.394 2046-10-31 4,230,000 4,366,053Toronto Hydro Corp., Callable 7,380,000 4.080 2044-09-16 7,464,720 7,725,707Toronto Hydro Corp., Series ‘12’, Callable 3,700,000 2.520 2026-08-25 3,699,408 3,623,150Toronto-Dominion Bank (The) 2,080,000 1.693 2020-04-02 2,080,337 2,080,206Toronto-Dominion Bank (The) 2,878,000 1.909 2023-07-18 2,884,226 2,800,511Toronto-Dominion Bank (The) 4,091,000 2.045 2021-03-08 4,103,741 4,115,084Toronto-Dominion Bank (The) 2,256,000 2.447 2019-04-02 2,326,684 2,305,049Toronto-Dominion Bank (The) 1,855,000 2.563 2020-06-24 1,912,633 1,906,831Toronto-Dominion Bank (The) 2,696,000 2.621 2021-12-22 2,760,493 2,770,272Toronto-Dominion Bank (The), Series ‘CBL14’ 1,280,000 1.680 2021-06-08 1,285,722 1,271,172Toronto-Dominion Bank (The), Variable Rate, Callable 1,100,000 2.692 2025-06-24 1,100,000 1,097,946Toronto-Dominion Bank (The), Variable Rate, Callable 7,465,000 2.982 2025-09-30 7,466,595 7,517,123Toronto-Dominion Bank (The), Variable Rate, Callable 16,300,000 4.859 2031-03-04 16,492,395 17,852,722Toyota Credit Canada Inc. 5,350,000 2.200 2021-02-25 5,339,407 5,396,631TransCanada PipeLines Ltd. 962,000 6.280 2028-05-26 1,175,527 1,173,193TransCanada PipeLines Ltd. 328,000 6.890 2028-08-07 406,555 417,540TransCanada PipeLines Ltd. 160,000 7.310 2027-01-15 209,630 206,379TransCanada PipeLines Ltd. 108,000 8.200 2031-08-15 154,958 150,440TransCanada PipeLines Ltd. 537,000 8.210 2030-04-25 734,192 726,485TransCanada PipeLines Ltd. 108,000 8.230 2031-01-16 154,688 150,191TransCanada PipeLines Ltd. 2,408,000 8.290 2026-02-05 3,223,106 3,268,498TransCanada PipeLines Ltd., Callable 256,000 3.300 2025-07-17 261,962 265,711TransCanada PipeLines Ltd., Callable 2,871,000 3.690 2023-07-19 3,057,147 3,079,764TransCanada PipeLines Ltd., Callable 6,639,000 4.350 2046-06-06 6,635,754 6,757,648TransCanada PipeLines Ltd., Callable 5,930,000 4.550 2041-11-15 6,520,711 6,196,838TransCanada PipeLines Ltd., Callable 633,000 7.900 2027-04-15 854,543 846,994Union Gas Ltd. 296,000 8.650 2025-11-10 424,158 419,348Union Gas Ltd., Callable 1,091,000 2.810 2026-06-01 1,108,101 1,090,202Union Gas Ltd., Callable 365,000 3.190 2025-09-17 393,543 378,459Union Gas Ltd., Callable 3,036,000 3.790 2023-07-10 3,183,259 3,293,405Union Gas Ltd., Callable 128,000 3.800 2046-06-01 127,931 126,723Union Gas Ltd., Callable 922,000 4.200 2044-06-02 930,491 975,357Union Gas Ltd., Callable 359,000 4.880 2041-06-21 410,068 416,032Union Gas Ltd., Callable 1,846,000 5.200 2040-07-23 2,176,519 2,233,449Union Gas Ltd., Series ‘11’, Callable 318,000 2.760 2021-06-02 333,846 329,341Union Gas Ltd., Series ‘6’, Callable 560,000 4.850 2022-04-25 602,130 636,055Veresen Inc., Callable 1,250,000 3.060 2019-06-13 1,249,488 1,264,504Veresen Inc., Callable 5,188,000 3.430 2021-11-10 5,187,533 5,210,818Wells Fargo & Co. 7,875,000 2.975 2026-05-19 7,875,000 7,680,375Westcoast Energy Inc. 775,000 5.600 2019-01-16 843,301 831,727Westcoast Energy Inc. 35,000 6.750 2027-12-15 43,368 43,288Westcoast Energy Inc. 191,000 8.850 2025-07-21 262,781 267,100Westcoast Energy Inc., Callable 7,817,000 3.770 2025-12-08 7,883,205 8,092,873Westcoast Energy Inc., Callable 1,337,000 3.883 2021-10-28 1,409,021 1,426,175Westcoast Energy Inc., Callable 507,000 7.150 2031-03-20 664,559 644,003Westcoast Energy Inc., Series ‘10’, Callable 758,000 4.570 2020-07-02 822,950 819,490Westcoast Energy Inc., Series ‘O’ 231,000 8.500 2018-09-04 283,934 255,166Westcoast Energy Inc., Series ‘S’ 667,000 9.900 2020-01-10 846,573 810,772


$ % $ $


117




$ % $ $

Westcoast Energy Inc., Series ‘W’ 1,899,000 7.300 2026-12-18 2,334,303 2,441,963WestJet Airlines Ltd., Callable 1,795,000 3.287 2019-07-23 1,795,000 1,830,476WTH Car Rental ULC, Series ‘A’, Restricted, Sinkable 3,480,000 2.542 2019-08-20 3,480,000 3,499,578WTH Car Rental ULC, Series ‘A’, Sinkable 1,000,000 1.912 2020-07-20 1,000,000 979,475WTH Car Rental ULC, Series ‘B’, Restricted 1,656,000 2.477 2020-07-20 1,656,000 1,610,716

945,759,455 953,812,114

Mortgage Backed Securities – 4.6%ClareGold Trust, Class ‘C’, Series ‘2007-2A’, Variable Rate 8,913,000 5.067 2044-05-15 8,412,556 8,964,584CNH Capital Canada Receivables Trust, Class ‘B’, Series ‘2013-2’, Callable 1,750,000 3.000 2020-05-15 1,750,000 1,764,284Ford Auto Securitization Trust, Class ‘D’, Series ‘2013-R4’, Callable 3,155,000 3.422 2021-03-15 3,155,000 3,188,443Genesis Trust II, Class ‘A’, Series ‘2014-1’ 5,000,000 2.433 2019-05-15 5,000,000 5,109,116Institutional Mortgage Securities Canada Inc., Class ‘A2’, Series ‘2015-6’, Callable, Restricted 4,000,000 2.778 2025-03-12 3,999,721 3,792,400Institutional Mortgage Securities Canada Inc., Class ‘A2’, Series ‘2016-7’, Callable 5,000,000 3.059 2026-09-12 4,999,726 4,782,864Institutional Mortgage Securities Canada Inc., Class ‘B’, Series ‘2012-2’, Callable 4,000,000 4.192 2022-07-12 3,999,720 4,103,689Institutional Mortgage Securities Canada Inc., Class ‘B’, Series ‘2013-4’, Variable Rate, Restricted 2,659,000 4.240 2023-10-12 2,658,849 2,779,612Institutional Mortgage Securities Canada Inc., Class ‘C’, Series ‘2013-3’, Variable Rate, Restricted 1,776,000 4.336 2023-01-12 1,727,959 1,795,097Institutional Mortgage Securities Canada Inc., Class ‘C’, Series ‘2013-4’, Variable Rate, Restricted 7,667,000 4.416 2023-11-12 7,368,740 7,680,801Institutional Mortgage Securities Canada Inc., Class ‘C’, Series ‘2014-5’ 4,370,000 4.186 2024-05-12 4,369,815 4,392,112Institutional Mortgage Securities Canada Inc., Class ‘C’, Series ‘2015-6’, Callable 2,052,000 3.100 2025-03-12 2,035,838 1,887,655MCAP RMBS Issuer Corp., Class ‘A’, Series ‘2014-1’, Callable 1,651,091 2.171 2019-04-15 1,681,356 1,653,040Merrill Lynch Financial Assets Inc., Class ‘A2’, Series ‘2007-CA23’, Callable 318,629 5.255 2044-05-12 315,155 321,844Merrill Lynch Financial Assets Inc., Class ‘B’ 6,375,000 4.942 2017-05-12 6,360,695 6,432,438Merrill Lynch Financial Assets Inc., Class ‘C’ 4,760,000 5.139 2017-05-12 4,759,681 4,795,489Merrill Lynch Financial Assets Inc., Class ‘C’, Series ‘2007-CDA21’ 4,956,000 5.022 2017-01-12 4,917,460 4,952,975NHA MBS MCAN Mortgage Corp. 5,888,603 1.300 2020-07-01 5,840,022 5,833,017NHA MBS Toronto-Dominion Bank (The) 2,999,294 1.800 2018-12-01 2,965,462 3,028,536Real Estate Asset Liquidity Trust, Class ‘A1’, Series ‘2016-1’, Restricted, Callable 4,133,874 2.325 2025-06-12 4,133,852 4,079,983Real Estate Asset Liquidity Trust, Class ‘B’, Series ‘2015-1’, Restricted, Callable 2,850,000 3.509 2025-05-12 2,849,814 2,736,570Real Estate Asset Liquidity Trust, Class ‘C’, Series ‘2006-3’ 642,612 4.897 2016-11-12 642,603 642,927Real Estate Asset Liquidity Trust, Class ‘C’, Series ‘2007-1’ 2,288,000 5.039 2017-03-12 2,275,982 2,297,968Real Estate Asset Liquidity Trust, Class ‘C’, Series ‘2016-1’, Restricted, Callable 3,349,000 3.450 2026-05-12 3,132,754 3,067,014Real Estate Asset Liquidity Trust, Class ‘C’, Series ‘2016-2’, Callable, Restricted 3,390,000 3.660 2051-09-12 3,265,745 3,160,158Real Estate Asset Liquidity Trust, Class ‘D’, Series ‘2015-1’, Restricted, Floating Rate, Callable 2,000,000 3.720 2025-07-12 1,881,374 1,779,200Real Estate Asset Liquidity Trust, Class ‘D’, Series ‘2016-1’, Restricted, Variable Rate, Callable 4,513,000 3.639 2026-05-12 3,960,754 3,895,170SP L.P. and SP1 L.P., Restricted 3,176,420 3.210 2019-06-15 3,207,020 3,238,304

101,667,653 102,155,290

Government of Canada and Guaranteed Bonds – 17.9%Canada Housing Trust No. 1 852,000 1.150 2021-12-15 850,833 836,140Canada Housing Trust No. 1 2,120,000 1.250 2020-12-15 2,141,772 2,112,396Canada Housing Trust No. 1 4,495,000 1.500 2021-12-15 4,492,213 4,482,639Canada Housing Trust No. 1 23,380,000 1.750 2018-06-15 23,687,449 23,709,019Canada Housing Trust No. 1 24,125,000 1.900 2026-09-15 23,687,082 23,447,807Canada Housing Trust No. 1 7,984,000 1.950 2019-06-15 8,235,343 8,162,189Canada Housing Trust No. 1 11,859,000 2.000 2019-12-15 12,280,942 12,155,824Canada Housing Trust No. 1 15,630,000 2.900 2024-06-15 16,976,729 16,662,712Canada Housing Trust No. 1 9,770,000 3.350 2020-12-15 10,723,075 10,520,104Canada Housing Trust No. 1, Series ‘56’ 3,925,000 2.350 2018-12-15 4,069,336 4,033,859Canada Housing Trust No. 1, Series ‘71’ 6,477,000 1.250 2021-06-15 6,514,752 6,422,917Canada Housing Trust No. 1, Series ‘NOV’ 9,600,000 1.900 2026-09-15 9,429,648 9,339,936Canada Post Corp., Series ‘1’ 5,489,000 4.360 2040-07-16 6,720,869 6,772,156


118

CPPIB Capital Inc., Series ‘C’, Restricted 1,400,000 1.100 2019-06-10 1,403,206 1,395,282Government of Canada 23,870,000 0.250 2018-05-01 23,716,990 23,734,431Government of Canada 6,343,000 0.500 2018-11-01 6,328,403 6,314,932Government of Canada 1,358,000 0.500 2019-02-01 1,347,910 1,350,472Government of Canada 1,099,000 0.500 2022-03-01 1,061,821 1,060,903Government of Canada 2,924,000 0.750 2020-09-01 2,909,747 2,898,619Government of Canada 7,082,000 0.750 2021-03-01 7,082,615 6,990,458Government of Canada 20,229,000 0.750 2021-09-01 20,104,782 19,896,865Government of Canada 1,979,000 1.500 2017-03-01 1,984,778 1,982,170Government of Canada 6,634,000 1.500 2023-06-01 6,707,085 6,676,214Government of Canada 15,831,000 1.500 2026-06-01 16,031,807 15,534,960Government of Canada 4,875,000 1.750 2019-09-01 5,042,197 4,991,809Government of Canada 1,754,000 2.500 2024-06-01 1,887,912 1,874,517Government of Canada 15,670,000 2.750 2048-12-01 17,603,786 17,218,308Government of Canada 59,804,000 3.500 2045-12-01 80,805,444 74,349,723Government of Canada 1,836,000 4.250 2018-06-01 1,936,735 1,926,929Government of Canada 2,040,000 5.000 2037-06-01 2,888,798 2,933,073Government of Canada 21,600,000 5.750 2029-06-01 31,828,283 30,478,968Government of Canada 375,000 5.750 2033-06-01 555,871 558,084Government of Canada, Real Return 1,095,000 1.250 2047-12-01 1,261,042 1,390,524Government of Canada, Real Return 11,030,000 4.250 2026-12-01 23,161,411 22,648,608Maritime Link Financing Trust, Series ‘A’, Sinkable, Callable 3,025,000 3.500 2052-12-01 3,170,061 3,200,741PSP Capital Inc. 6,775,000 3.030 2020-10-22 7,159,232 7,155,381PSP Capital Inc., Series ‘7’, Restricted 4,500,000 3.290 2024-04-04 5,032,988 4,800,598PSP Capital Inc., Series ‘9’ 3,000,000 2.090 2023-11-22 2,967,600 2,977,073Royal Office Finance L.P., Series ‘A’, Sinkable, Callable 3,851,301 5.209 2032-11-12 4,471,460 4,669,739

408,262,007 397,667,079

Provincial and Municipal Bonds – 28.2%55 School Board Trust, Series ‘A’, Callable 10,150,000 5.900 2033-06-02 11,831,507 13,249,259City of Montreal 4,760,000 3.500 2023-09-01 4,693,931 5,075,601City of Montreal 6,495,000 5.000 2018-12-01 7,257,938 6,943,540City of Toronto 1,000,000 4.700 2041-06-10 1,088,060 1,174,778Financement-Québec, Floating Rate 13,650,000 1.167 2019-05-29 13,660,950 13,722,000Greater Toronto Airports Authority, Callable 345,000 7.050 2030-06-12 482,660 479,219Hydro-Québec, Series ‘JN’ 8,250,000 5.000 2050-02-15 8,735,725 11,206,692Municipal Finance Authority of British Columbia 2,710,000 2.650 2025-10-02 2,708,916 2,716,027Muskrat Falls / Labrador Transmission Assets Funding Trust, Series ‘A’, Callable 5,475,000 3.630 2029-06-01 5,992,495 5,984,355New Brunswick F-M Project Co. Inc. 1,514,391 6.470 2027-11-30 1,869,698 1,857,265Ontario School Boards Financing Corp. 1,810,000 5.700 2017-10-11 1,893,314 1,875,813Ontario School Boards Financing Corp. 1,331,665 5.800 2028-11-07 1,538,739 1,584,250OPB Finance Trust, Restricted, Callable 4,725,000 1.880 2022-02-24 4,762,474 4,692,937OPB Finance Trust, Series ‘A’, Callable 6,415,000 3.890 2042-07-04 6,363,292 6,599,527OPB Finance Trust, Series ‘E’, Callable 12,687,000 2.950 2026-02-02 13,178,650 12,860,803Province of Alberta 5,861,000 1.350 2021-09-01 5,878,807 5,782,217Province of Alberta 2,342,000 2.200 2026-06-01 2,282,396 2,274,997Province of Alberta 8,663,000 2.350 2025-06-01 8,719,099 8,611,236Province of Alberta 1,105,000 3.100 2024-06-01 1,177,322 1,167,216Province of Alberta 2,965,000 3.300 2046-12-01 2,978,571 2,959,311Province of Alberta 285,000 3.450 2043-12-01 328,539 291,236Province of Alberta 1,522,000 3.500 2031-06-01 1,676,218 1,592,278Province of Alberta 813,000 3.900 2033-12-01 901,180 884,615Province of Alberta 96,000 4.500 2040-12-01 126,077 114,579


$ % $ $




119



Province of British Columbia 1,690,000 2.250 2019-03-01 1,728,359 1,733,932Province of British Columbia 1,440,000 2.300 2026-06-18 1,437,753 1,430,992Province of British Columbia 2,425,000 2.850 2025-06-18 2,523,514 2,532,617Province of British Columbia 4,052,000 3.200 2044-06-18 4,273,089 4,082,798Province of British Columbia 22,547,000 4.300 2042-06-18 27,806,879 26,987,389Province of British Columbia 1,406,000 4.700 2037-06-18 1,775,971 1,737,761Province of British Columbia 23,490,000 5.700 2029-06-18 31,343,791 30,693,844Province of British Columbia 2,389,000 6.350 2031-06-18 3,480,822 3,352,472Province of Manitoba 1,177,000 2.450 2025-06-02 1,189,982 1,176,831Province of Manitoba 643,000 3.250 2029-09-05 670,569 659,386Province of Manitoba 1,366,000 3.300 2024-06-02 1,423,534 1,458,092Province of Manitoba 206,000 3.750 2033-09-05 229,958 217,828Province of Manitoba 836,000 4.050 2045-09-05 1,034,316 934,328Province of Manitoba 763,000 4.400 2025-09-05 864,694 872,592Province of Manitoba 1,817,000 4.600 2038-03-05 2,144,591 2,150,506Province of Manitoba 4,300,000 4.650 2040-03-05 4,557,449 5,153,137Province of Manitoba 125,000 4.700 2050-03-05 160,318 156,175Province of Manitoba 324,000 5.700 2037-03-05 434,691 433,727Province of Manitoba 972,000 6.300 2031-03-05 1,292,391 1,319,950Province of New Brunswick 4,802,000 2.850 2023-06-02 4,824,438 5,000,639Province of New Brunswick 342,000 3.100 2048-08-14 340,348 315,316Province of New Brunswick 2,126,000 4.800 2041-06-03 2,538,769 2,552,205Province of Newfoundland and Labrador 3,275,000 2.300 2025-06-02 3,163,375 3,147,720Province of Newfoundland and Labrador 2,300,000 4.500 2037-04-17 2,583,103 2,534,814Province of Newfoundland and Labrador 8,000,000 6.150 2028-04-17 9,039,860 10,144,116Province of Newfoundland and Labrador, Series ‘6X’ 2,441,000 3.300 2046-10-17 2,237,143 2,226,249Province of Newfoundland and Labrador, Series ‘6Z’ 5,197,000 3.000 2026-06-02 5,190,972 5,218,584Province of Nova Scotia 654,000 4.700 2041-06-01 732,601 789,958Province of Nova Scotia 2,400,000 5.800 2033-06-01 3,233,520 3,158,326Province of Ontario 5,000,000 1.950 2023-01-27 5,160,850 4,991,735Province of Ontario 6,766,000 2.100 2018-09-08 6,913,921 6,892,491Province of Ontario 644,000 2.100 2019-09-08 665,349 658,823Province of Ontario 7,513,000 2.400 2026-06-02 7,629,445 7,458,725Province of Ontario 25,193,000 2.600 2025-06-02 26,017,205 25,600,870Province of Ontario 9,998,000 2.800 2048-06-02 9,951,962 9,206,052Province of Ontario 7,947,000 2.850 2023-06-02 8,430,566 8,326,972Province of Ontario 9,373,000 2.900 2046-12-02 9,202,277 8,785,007Province of Ontario 24,959,000 3.150 2022-06-02 27,210,452 26,631,138Province of Ontario 14,099,000 3.450 2045-06-02 15,107,024 14,657,043Province of Ontario 8,251,000 3.500 2024-06-02 9,036,294 8,961,084Province of Ontario 5,846,000 3.500 2043-06-02 6,554,429 6,113,729Province of Ontario 42,150,000 4.000 2021-06-02 47,122,973 46,410,843Province of Ontario 4,504,000 4.200 2020-06-02 5,061,740 4,920,870Province of Ontario 8,500,000 4.600 2039-06-02 9,815,718 10,354,482Province of Ontario 544,000 4.700 2037-06-02 686,588 665,696Province of Ontario 6,938,000 5.600 2035-06-02 9,093,097 9,304,880Province of Ontario 3,526,000 5.850 2033-03-08 4,570,043 4,762,082Province of Ontario 3,643,000 6.200 2031-06-02 5,288,837 5,009,139Province of Ontario, Floating Rate 12,600,000 0.987 2019-08-26 12,583,975 12,607,204Province of Ontario, Series ‘KJ’ 15,250,000 7.600 2027-06-02 22,252,704 22,194,350Province of Ontario, Zero Coupon 1,597,000 – 2028-12-02 1,020,975 1,110,818Province of Ontario, Zero Coupon 1,129,000 – 2029-06-02 703,545 767,871Province of Ontario, Zero Coupon 5,692,000 – 2022-06-02 4,806,399 5,094,630


$ % $ $


120


$ % $ $



Province of Quebec 34,605,000 2.500 2026-09-01 35,543,088 34,572,532Province of Quebec 1,536,000 2.750 2025-09-01 1,649,111 1,576,522Province of Quebec 8,772,000 3.500 2022-12-01 9,852,845 9,538,192Province of Quebec 4,281,000 3.500 2048-12-01 4,912,767 4,510,987Province of Quebec 5,984,000 4.250 2021-12-01 6,847,188 6,697,784Province of Quebec 14,533,000 5.000 2038-12-01 18,651,802 18,491,071Province of Quebec 367,000 5.000 2041-12-01 485,335 474,788Province of Quebec 12,730,000 6.250 2032-06-01 17,728,210 17,685,515Province of Quebec 14,320,000 8.500 2026-04-01 22,493,132 21,249,445Province of Quebec, Series ‘B112’ 10,657,000 3.500 2045-12-01 12,169,418 11,129,535Province of Saskatchewan 3,340,000 2.750 2046-12-02 3,095,150 2,967,389Province of Saskatchewan 1,625,000 3.400 2042-02-03 1,729,758 1,634,940Province of Saskatchewan 602,000 5.800 2033-09-05 835,849 800,023Regional Municipality of Waterloo 1,250,000 3.750 2033-05-13 1,247,900 1,290,441Regional Municipality of York 2,175,000 3.650 2033-05-13 2,166,735 2,237,861South Coast British Columbia Transportation Authority 2,625,000 3.050 2025-06-04 2,663,666 2,701,641South Coast British Columbia Transportation Authority 1,680,000 4.450 2044-06-09 1,676,103 1,923,002

631,017,783 626,840,237Total Canadian Bonds 2,086,706,898 2,080,474,720

FOREIGN BONDS – 2.1%Goldman Sachs Group Inc. (The) 2,000,000 3.550 2021-02-12 2,097,640 2,091,560Goldman Sachs Group Inc. (The), Variable Rate, Callable 2,840,000 5.200 2022-04-19 2,895,874 2,793,165Great-West Lifeco Finance (Delaware) L.P., Variable Rate, Callable 4,800,000 5.691 2067-06-21 5,006,447 4,765,514Heathrow Funding Ltd. 1,925,000 3.000 2021-06-17 1,969,276 1,983,498Heathrow Funding Ltd., Class ‘A-34’, Restricted 5,000,000 3.250 2027-05-21 4,967,950 5,084,250HSBC Holdings PLC 8,475,000 3.196 2023-12-05 8,475,000 8,438,303Manulife Finance Delaware L.P., Variable Rate, Callable 8,370,000 5.059 2041-12-15 8,373,918 8,868,272Metropolitan Life Global Funding I 4,790,000 3.107 2021-04-16 5,098,847 4,909,846Transpower New Zealand Ltd., Restricted 8,090,000 3.000 2017-03-20 8,246,746 8,112,328Total Foreign Bonds* 47,131,698 47,046,736Total Bonds 2,133,838,596 2,127,521,456Total Short Term Notes – 2.7% 59,353,111 59,383,156Less: Transaction cost included in average cost (3,527) —Total Non-Derivative Financial Assets –- 98.3% 2,193,188,180 2,186,904,612Derivative Assets and Liabilities (1) – 0.0% 37,750Other Assets and Liabilities, Net – 1.7% 37,085,101Net Assets Attributable to Holders of Redeemable Units – 100.0% 2,224,027,463



Bank of Nova Scotia Bankers’ Acceptance 9,000,000 0.762 2017-02-01 8,990,748 8,994,000Bank of Nova Scotia Bankers’ Acceptance 9,650,000 0.762 2017-01-17 9,642,955 9,646,585Bank of Nova Scotia Bearer Deposit Note 5,750,000 0.781 2017-02-13 5,739,707 5,744,603Canadian Imperial Bank of Commerce Bankers’ Acceptance 1,250,000 0.779 2017-02-13 1,248,265 1,248,829Firstbank Bankers’ Acceptance 750,000 0.808 2017-02-01 749,265 749,470Government of Canada Treasury Bill 785,000 0.293 2017-01-05 784,945 784,968Government of Canada Treasury Bill 300,000 0.468 2017-01-26 299,569 299,900Government of Canada Treasury Bill 100,000 0.469 2017-04-06 99,873 99,877Government of Canada Treasury Bill 260,000 0.476 2017-03-23 259,682 259,723


121




$ % $ $

Government of Canada Treasury Bill 1,275,000 0.465 2017-03-23 1,273,488 1,273,672Government of Canada Treasury Bill 50,000 0.495 2017-03-09 49,933 49,954Government of Canada Treasury Bill 120,000 0.528 2017-04-20 119,685 119,810Government of Canada Treasury Bill 345,000 0.532 2017-09-21 343,365 343,677Government of Canada Treasury Bill 370,000 0.536 2017-05-18 369,083 369,252Government of Canada Treasury Bill 915,000 0.540 2017-06-29 912,076 912,572Government of Canada Treasury Bill 240,000 0.546 2017-06-01 239,167 239,456Ontario Teachers’ Pension Plan Discount Note 500,000 0.817 2017-03-08 498,005 499,252Province of Manitoba Treasury Bill 955,000 0.623 2017-03-29 953,520 953,569Province of Ontario Treasury Bill 1,500,000 0.544 2017-01-25 1,498,610 1,499,443Province of Ontario Treasury Bill 2,830,000 0.626 2017-05-10 2,822,048 2,823,706Province of Ontario Treasury Bill 5,750,000 0.634 2017-05-17 5,731,836 5,736,344Province of Quebec Treasury Bill 4,100,000 0.578 2017-02-24 4,094,271 4,096,438Royal Bank of Canada Bankers’ Acceptance 1,650,000 0.768 2017-02-28 1,646,874 1,647,957Toronto-Dominion Bank (The) Bankers’ Acceptance 11,000,000 0.803 2017-02-10 10,986,140 10,990,100Total Short Term Notes 59,353,110 59,383,157


(1) DERIVATIVE ASSETS AND LIABILITIESSCHEDULE OF SHORT FUTURES CONTRACTS**



Unrealized Appreciation Canadian Government 10 Year Bond

expiration date March 2017 (25) CAD 140.06 (3,501,406) (3,438,250) 63,156 Unrealized Appreciation (Depreciation) on Short Futures Contracts 63,156

SCHEDULE OF LONG FUTURES CONTRACTS**Unrealized


Contracts $ $ $ $

Unrealized DepreciationUltra U.S. Treasury Bond

expiration date March 2017 10 USD 161.58 2,166,843 2,149,033 (17,811) United States 10 Year Treasury Note

expiration date March 2017 25 USD 124.78 4,183,280 4,166,684 (16,595) Unrealized Appreciation (Depreciation) on Long Futures Contracts (34,406)

SCHEDULE OF OPTIONSNumber of Strike Price FairContracts (CAD) Proceeds Value

$ $ $ $

Purchased Call Options CAD90 Day Bank Accepted Bills Futures

expiration date March 2017 180 99.13 20,772 9,000 Total Options 20,772 9,000

*Denominated in Canadian dollars.**$100,000 of Canada Treasury Bills are held as collateral by counterparties with respect to the futures contracts.

122


Investment ObjectiveTo achieve a return that exceeds the performance of the FTSE TMX Canada Universe Bond Index (formerly called the DEX Universe Bond Index). The Fund invests primarily in bonds issued by Canadian issuers.

Currency RiskThe table below indicates the currencies to which the Fund had significant exposure as at December 31, 2016 and 2015, on both its trading monetary and non-monetary assets and liabilities as well as theunderlying principle amount of forward currency contracts.


2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 112,192 502,386 — — 112,192 502,386 0.01% 0.02%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets would haveincreased or decreased, respectively, by approximately $5,610 (December 31, 2015 – $25,119). In practice, the actual trading results may differ from this sensitivity analysis and the difference could bematerial.

Interest Rate RiskThe table below summarizes the Fund’s exposure to interest rate risk as at December 31, 2016 and 2015. It includes the Fund’s assets at fair values, categorized by the maturity dates. The Fund’s exposureto interest rate risk is through its holdings in various bonds and bond futures.

2016 2015Bonds and Bond Futures Long Position Short Position Long Position Short PositionLess than 1 year 48,884,551 — 66,304,878 —1-3 years 303,524,525 — 357,603,036 —3-5 years 378,380,310 — 341,544,448 (9,172,450)> 5 years 1,403,047,787 (3,438,250) 1,597,234,265 —Total 2,133,837,173 (3,438,250) 2,362,686,627 (9,172,450)

As at December 31, 2016, had the prevailing interest rates raised or lowered by 1% (December 31, 2015 – 1%), with all other variables held constant, net assets would have decreased or increased,respectively, by approximately $174,993,603 (December 31, 2015 – $191,998,235). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Credit RiskAs at December 31, 2016, please refer to the Schedule of Investment portfolio for the credit rating of counterparties to derivatives held by the Fund.As at December 31, 2016, all counterparties to derivatives had a credit rating of A-1 or higher.As at December 31, 2016 and 2015, the Fund invested in debt instruments with the following credit ratings:

Debt securities by credit rating 2016 2015AAA 24.78% 26.46%AA 13.07% 11.64%A 38.99% 38.30%BBB 18.58% 17.57%Below BBB 0.18% 0.00%Unrated 0.04% 0.03%Total 95.64% 94.00%

Credit ratings are obtained from Bloomberg general rates which are a blend of S&P Global Ratings’s, Moody’s and/or Dominion Bond Rating Services.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.

As at December 31, 2016 and 2015, the Fund invested in short term debt securities with the following credit ratings.

Short-term debt securities by credit rating 2016 2015R-1(H) 1.73% 1.39%R-1(M) 0.68% 2.43%R-1(L) 0.26% 0.00%U 0.00% 0.00%Total 2.67% 3.82%

Other Price RiskAs at December 31, 2016, a 5% (December 31, 2015 – 5%) increase or decrease in bond futures prices would have increased or decreased the Fund’s Net Assets by $143,873 (December 31, 2015 –$157,980). In practice, the actual results may differ from this sensitivity analysis and the difference could be material. The risk of losses with short positions is unlimited. As at December 31, 2016, theFund held short positions in Canadian bond futures contracts with a current value of $3,438,250 (December 31, 2015 – $9,172,450) in Canadian dollars.



123



Liquidity RiskA Fund’s exposure to liquidity risk is concentrated in the daily cash redemptions of units. The Funds primarily invest in securities that are traded in active markets and can readily be disposed. In addition,the Funds retain sufficient cash and cash equivalent positions to maintain liquidity.



Corporate Bonds 42.8 39.2 Mortgage Backed Securities 4.6 5.3 Government of Canada and Guaranteed Bonds 17.9 20.1 Provincial and Municipal Bonds 28.2 26.5 Foreign Bonds 2.1 2.9 Short Term Notes 2.7 3.8 Derivative Assets and Liabilities — —Other Assets and Liabilities, Net 1.7 2.2

100.0 100.0




Short term notes $ 59,383,156 $ — $ — $ 59,383,156 Bonds — 2,127,521,456 — 2,127,521,456 Derivative assets 63,156 9,000 — 72,156 Derivative liabilities (34,406) — — (34,406)

2015Short term notes $ 95,793,651 $ — $ — $ 95,793,651Bonds — 2,356,673,767 — 2,356,673,767 Derivative assets — — — — Derivative liabilities (112,450) — — (112,450)





Financial instruments at FVTPL:Held for trading $ 462 $ (845)Designated at inception 68,600 73,271



124

Long Duration Bond Fund


2016 2015


Interest for distribution purposes $ 15,055 $ 12,667 Net realized gain (loss) on sale of investments 18,445 12,742 Net change in unrealized appreciation

(depreciation) of investments (41,666) 5,020 TOTAL INCOME (NET) (8,166) 30,429

EXPENSESCustodian and administration fees 626 410 Legal fees 61 51 Audit fees 43 24 Management fees 19 10 Trustee fees 19 13 Independent Review Committee fees 4 3 Securityholder reporting costs 46 35 TOTAL EXPENSES 818 546 Waived expenses (1) —NET EXPENSES 817 546

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ (8,983) $ 29,883


(Class E) $ 1 $ —(Class F) $ (18) $ 12(Class O) $ (8,974) $ 29,893(Class P) $ 8 $ (22)


(Class E) 1 —(Class F) 55 23(Class O) 54,853 42,921(Class P) 55 31


(Class E) $ 1.18 $ 0.65(Class F) $ (0.32) $ 0.53(Class O) $ (0.16) $ 0.70(Class P) $ 0.13 $ (0.69)



2016 2015


Investments (non-derivative financial assets) $ 583,736 $ 589,445 Cash including foreign currency holdings 14,527 6,172 Accrued interest receivable 250 —Receivable for unit subscriptions — 19,126 Receivable from manager 1 —Prepaid expenses 12 99


Accrued liabilities 145 33 Payable for unit redemptions 9 1,611

154 1,644NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 598,372 $ 613,198


(Class E) $ 6 $ 6(Class F) $ 297 $ 230(Class O) $ 598,024 $ 611,875(Class P) $ 45 $ 1,087


(Class E) $ 12.29 $ 13.51(Class F) $ 10.40 $ 11.39(Class O) $ 10.61 $ 11.50(Class P) $ 12.67 $ 13.87


SLDB (The accompanying notes are an integral part of these financial statements)

125


(The accompanying notes are an integral part of these financial statements) SLDB




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (8,983) 29,883 1 —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (14,221) (12,043) — —Out of net realized capital gains (18,571) (12,742) — —Return of Capital (6,095) — (2) —

(38,887) (24,785) (2) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 360,537 276,519 21 —Payments on redemption of units (366,331) (166,266) (22) —Reinvestment of distributions 38,838 24,755 2 —

33,044 135,008 1 —CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (14,826) 140,106 — —NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class O2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (18) 12 (8,974) 29,893

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (8) (3) (14,209) (12,021)Out of net realized capital gains (10) (5) (18,555) (12,711)Return of Capital (50) — (6,006) —

(68) (8) (38,770) (24,732)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 866 84 359,313 275,108 Payments on redemption of units (774) (164) (364,190) (165,874)Reinvestment of distributions 61 8 38,770 24,732

153 (72) 33,893 133,966CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 67 (68) (13,851) 139,127NET ASSETS ATTRIBUTABLE TO HOLDERS OF


126



CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ (8,983) $ 29,883Adjustments for:

Net realized (gain) loss on sale of investments (18,445) (12,742)Net change in unrealized (appreciation) depreciation of investments 41,666 (5,020)Accretion of discount (13,710) (12,655)Purchases of investments (991,315) (180,511)Proceeds from the sale of investments 987,514 93,506 Change in interest receivable (250) —Change in other assets 86 8 Change in other liabilities 112 (19)

(3,325) (87,550)


11,680 92,116

Increase (decrease) in cash during the period 8,355 4,566 Cash at beginning of period 6,172 1,606 Cash at end of period 14,527 6,172

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 1,095 12


Class P2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 1,087 $ 40

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 8 (22)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (4) (19)Out of net realized capital gains (6) (26)Return of Capital (37) —

(47) (45)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 337 1,327 Payments on redemption of units (1,345) (228)Reinvestment of distributions 5 15

(1,003) 1,114 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (1,042) 1,047 NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 45 $ 1,087


127


$ % $ $

BONDS – 97.2%Government of Canada Bonds – 97.2%Government of Canada 5,085,000 1.500 2026-06-01 5,051,439 4,989,911Government of Canada 35,990,000 2.750 2048-12-01 40,479,517 39,546,069Government of Canada 2,000,000 2.750 2064-12-01 2,743,980 2,264,847Government of Canada 33,400,000 5.750 2033-06-01 54,348,089 49,706,702Government of Canada, Zero Coupon 22,520,000 — 2026-12-01 16,633,799 18,474,737Government of Canada, Zero Coupon 50,377,000 — 2027-12-01 36,430,876 40,000,833Government of Canada, Zero Coupon 45,990,000 — 2028-06-01 33,678,777 36,116,655Government of Canada, Zero Coupon 58,817,000 — 2028-12-01 40,125,568 45,558,479Government of Canada, Zero Coupon 6,725,000 — 2029-06-01 4,812,153 5,136,306Government of Canada, Zero Coupon 15,855,000 — 2029-12-01 10,913,808 11,937,207Government of Canada, Zero Coupon 920,000 — 2030-06-01 743,815 687,804Government of Canada, Zero Coupon 38,318,000 — 2030-12-01 25,729,077 28,034,029Government of Canada, Zero Coupon 35,216,000 — 2031-06-01 23,515,499 25,445,076Government of Canada, Zero Coupon 22,148,000 — 2031-12-01 15,205,794 15,708,653Government of Canada, Zero Coupon 62,791,000 — 2032-06-01 41,505,940 43,885,677Government of Canada, Zero Coupon 66,454,000 — 2032-12-01 43,693,210 45,641,776Government of Canada, Zero Coupon 43,995,000 — 2033-06-01 29,557,109 29,548,347Government of Canada, Zero Coupon 57,500,000 — 2033-06-01 44,186,393 39,536,336Government of Canada, Zero Coupon 37,353,000 — 2033-12-01 24,467,638 24,728,517Government of Canada, Zero Coupon 13,785,000 — 2034-06-01 9,581,196 9,012,273Government of Canada, Zero Coupon 41,567,000 — 2035-12-01 26,210,317 26,043,066Government of Canada, Zero Coupon 28,780,000 — 2036-06-01 17,416,734 17,786,707Government of Canada, Zero Coupon 35,800,000 — 2036-12-01 22,402,886 21,772,807Total Bonds 569,433,614 581,562,814Total Short Term Notes – 0.4% 2,172,119 2,173,105Total Non-Derivative Financial Assets – 97.6% 571,605,733 583,735,919Other Assets and Liabilities, Net – 2.4% 14,636,513Net Assets Attributable to Holders of Redeemable Units – 100.0% 598,372,432





Government of Canada Treasury Bill 575,000 0.493 2017-02-23 574,279 574,582Government of Canada Treasury Bill 1,600,000 0.497 2017-03-09 1,597,840 1,598,523Total Short Term Notes 2,172,119 2,173,105


128


Investment ObjectiveThe investment objective of the Fund is to achieve a return consistent with holding longer term debt instruments (“Bonds”). The Fund invests in Bonds issued by the federal, provincial and municipal governmentsand by corporate or other issuers. The Fund also invests in strip Bonds (principal and/or interest) issued or guaranteed by the Government of Canada or the Provinces thereof.

Currency RiskAs at December 31, 2016 and 2015, the Fund invested primarily in Canadian securities. Thus, the Fund did not have any significant exposures to foreign currencies as at year end on both its tradingmonetary and non-monetary assets and liabilities.

Interest Rate RiskThe table below summarizes the Fund’s exposure to interest rate risk. It includes the Fund’s assets at fair values, categorized by the earlier of contractual re-pricing or maturity dates.

Bonds 2016 2015Less than 1 year — —1-3 years — —3-5 years — —> 5 years 581,562,214 586,196,914 Total 581,562,214 586,196,914

As at December 31, 2016, had the prevailing interest rates raised or lowered by 1% (December 31, 2015 – 1%), with all other variables held constant, net assets would have decreased or increased,respectively, by approximately $87,450,351 (December 31, 2015 – $86,691,695). In practice, the results may differ from this sensitivity analysis and the difference could be material.

Other Price RiskAs at December 31, 2016 and 2015, the Fund is not exposed to significant other price risk as the Fund only holds debt securities.

Credit RiskAs at December 31, 2016 and 2015, the Fund invested in debt securities with the following credit ratings:


Credit ratings are obtained from Bloomberg general rates which are a blend of S&P Global Rating’s, Moody’s and/or Dominion Bond Rating Services.



Government of Canada Bonds 97.2 95.6Short Term Notes 0.4 0.5Other Assets and Liabilities, Net 2.4 3.9

100.0 100.0



129






Short term notes $ 2,173,105 $ — $ — $ 2,173,105Bonds — 581,562,814 — 581,562,814

2015






Financial instruments at FVTPL:Held for trading $ — $ — Designated at inception (8,166) 30,429

Total financial instruments at FVTPL $ (8,166) $ 30,429


130

Long Duration Credit Bond Fund


2016 2015


Interest for distribution purposes $ 17,496 $ 15,941 Net realized gain (loss) on sale of investments 1,819 4,996Net change in unrealized appreciation

(depreciation) of investments (3,600) (14,568)TOTAL INCOME (NET) 15,715 6,369

EXPENSESCustodian and administration fees 344 329 Legal fees 31 39 Audit fees 24 19 Trustee fees 11 10 Independent review committee fees 2 2 Securityholder reporting costs 30 28 TOTAL EXPENSES 442 427



(Class O) $ 15,273 $ 5,942


(Class O) 39,091 35,082


(Class O) $ 0.39 $ 0.16



2016 2015


Investments (non-derivative financial assets) $ 476,662 $ 406,591 Cash including foreign currency holdings 8,091 9,714 Accrued interest receivable 3,475 3,059 Prepaid expenses 7 24


Accrued liabilities 102 76 Payable for unit redemptions — 4,512



(Class O) $ 488,133 $ 414,800


(Class O) $ 10.91 $ 10.80


SLDC (The accompanying notes are an integral part of these financial statements)

131



Fund Total Class O2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (17,046) (15,513) (17,046) (15,513)Out of net realized capital gain (1,843) (5,029) (1,843) (5,029)


76,949 129,748 76,949 129,748 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 73,333 115,148 73,333 115,148 NET ASSETS ATTRIBUTABLE TO HOLDERS OF




Net realized (gain) loss on sale of investments (1,819) (4,996)Net change in unrealized (appreciation) depreciation of investments 3,600 14,568 Accretion of discount (2,723) (2,564)Purchases of investments (192,660) (356,798)Proceeds from the sale of investments 123,531 236,299 Change in interest receivable (416) (886)Change in other assets 17 (3)Change in other liabilities 26 32

(55,171) (108,406)


53,548 115,199

Increase (decrease) in cash during the period (1,623) 6,793 Cash at beginning of period 9,714 2,921 Cash at end of period 8,091 9,714


(The accompanying notes are an integral part of these financial statements) SLDC

132

BONDS – 97.3%Corporate Bonds – 54.8%407 International Inc., Callable 1,000,000 2.430 2027-05-04 999,630 968,687407 International Inc., Callable 1,500,000 3.300 2045-03-27 1,431,855 1,370,758407 International Inc., Callable 5,000,000 3.830 2046-05-11 5,132,000 5,015,768407 International Inc., Series ‘06D1’ 6,319,000 5.750 2036-02-14 7,319,083 7,914,338AltaGas Ltd., Callable 2,000,000 4.500 2044-08-15 1,897,440 1,924,183AltaGas Ltd., Callable 1,250,000 5.160 2044-01-13 1,248,488 1,317,958AltaLink L.P. 3,750,000 4.922 2043-09-17 3,750,000 4,467,913AltaLink L.P., Callable 1,000,000 3.717 2046-12-03 1,000,000 990,867AltaLink L.P., Callable 1,300,000 5.249 2036-09-22 1,631,994 1,575,997AltaLink L.P., Series ‘2010-1’, Callable 2,000,000 5.381 2040-03-26 2,554,300 2,500,402AltaLink L.P., Series ‘2014-3’, Callable 2,000,000 4.054 2044-11-21 2,285,480 2,098,214Bell Canada 1,165,000 7.850 2031-04-02 1,541,761 1,591,608Bell Canada, Callable 750,000 4.350 2045-12-18 746,392 726,003Bell Canada, Callable 2,500,000 4.750 2044-09-29 2,477,475 2,586,627Bell Canada, Callable 750,000 6.550 2029-05-01 922,875 936,598Bell Canada, Series ‘M-17’, Callable 3,500,000 6.100 2035-03-16 4,374,885 4,226,023British Columbia Ferry Services Inc. 500,000 6.250 2034-10-13 674,185 670,800British Columbia Ferry Services Inc., Series ‘13-1’, Restricted, Callable 2,000,000 4.702 2043-10-23 2,000,000 2,331,153Brookfield Asset Management Inc., Callable 3,000,000 3.800 2027-03-16 2,998,980 2,977,105Brookfield Renewable Partners ULC, Series ‘10’, Callable 1,500,000 3.630 2027-01-15 1,499,250 1,467,662Canadian National Railway Co., Callable 1,750,000 3.950 2045-09-22 1,751,068 1,817,291Canadian Pacific Railway Co., Callable 2,000,000 6.450 2039-11-17 2,557,430 2,604,940Canadian Tire Corp. Ltd., Callable 500,000 5.610 2035-09-04 584,140 562,328CU Inc., Callable 1,000,000 3.763 2046-11-19 1,000,000 996,408CU Inc., Callable 750,000 3.964 2045-07-27 750,000 770,221CU Inc., Callable 3,150,000 4.085 2044-09-02 3,357,340 3,304,995CU Inc., Callable 1,500,000 4.722 2043-09-09 1,603,284 1,731,475CU Inc., Callable 1,000,000 5.032 2036-11-20 1,221,100 1,174,622CU Inc., Callable 3,400,000 5.556 2037-10-30 4,402,166 4,265,024CU Inc., Callable 1,100,000 5.580 2038-05-26 1,428,130 1,385,281CU Inc., Callable 5,500,000 6.500 2039-03-07 7,462,990 7,693,221Enbridge Gas Distribution Inc., Callable 1,000,000 4.000 2044-08-22 986,550 1,028,445Enbridge Gas Distribution Inc., Callable 1,000,000 4.950 2050-11-22 1,103,280 1,186,519Enbridge Inc., Callable 3,600,000 4.240 2042-08-27 3,352,248 3,389,571Enbridge Inc., Callable 500,000 4.570 2044-03-11 520,700 494,452Enbridge Inc., Callable 2,500,000 5.120 2040-09-28 2,749,100 2,654,345Enbridge Inc., Callable 2,000,000 5.750 2039-09-02 2,315,900 2,292,742Enbridge Income Fund (The), Callable 2,000,000 4.870 2044-11-21 2,117,715 2,049,923Enbridge Pipelines Inc., Callable 3,000,000 4.130 2046-08-09 2,998,980 2,928,029Enbridge Pipelines Inc., Callable 2,000,000 4.550 2043-08-17 1,998,700 2,085,054Enbridge Southern Lights L.P., Restricted 937,233 4.014 2040-06-30 937,233 942,655Epcor Utilities Inc., Callable 3,500,000 4.550 2042-02-28 3,999,945 3,901,141Epcor Utilities Inc., Callable 1,500,000 6.650 2038-04-15 2,071,185 2,111,882FortisAlberta Inc., Callable 1,500,000 3.340 2046-09-21 1,497,450 1,356,663FortisAlberta Inc., Callable 3,000,000 4.850 2043-09-11 2,996,700 3,478,573FortisAlberta Inc., Callable 1,500,000 7.060 2039-02-14 2,124,450 2,190,609FortisBC Energy Inc. 1,240,000 5.900 2035-02-26 1,702,074 1,584,866FortisBC Energy Inc., Callable 2,000,000 3.375 2045-04-13 2,000,000 1,849,098FortisBC Energy Inc., Callable 1,500,000 5.800 2038-05-13 2,006,055 1,934,013FortisBC Inc., Callable 1,430,000 4.000 2044-10-28 1,429,013 1,450,805Gaz Métro Inc., Callable 594,000 7.200 2027-11-19 829,803 801,266





$ % $ $

133




$ % $ $


Gaz Metro Inc., Series ‘T’, Callable, Restricted 2,400,000 3.280 2046-10-09 2,336,312 2,182,233GrandLinq General Partnership, Sinkable, Callable 1,100,000 4.771 2047-03-31 1,103,877 1,127,325Great-West Lifeco Inc., Callable 4,500,000 6.670 2033-03-21 5,627,730 5,885,982Great-West Lifeco Inc., Callable 500,000 6.740 2031-11-24 675,165 652,901Health Montreal Collective L.P., Sinkable, Callable 4,920,000 6.721 2049-09-30 6,082,110 6,115,182Hospital Infrastructure Partners NOH Partnership, Series ‘A’, Sinkable, Callable 2,941,398 5.439 2045-01-31 3,686,983 3,283,296Hydro One Inc. 3,000,000 5.360 2036-05-20 3,897,150 3,664,718Hydro One Inc., Callable 1,000,000 3.910 2046-02-23 998,600 1,020,101Hydro One Inc., Callable 3,500,000 4.000 2051-12-22 3,375,142 3,587,585Hydro One Inc., Callable 3,000,000 4.170 2044-06-06 3,163,410 3,187,025Hydro One Inc., Callable 3,225,000 4.590 2043-10-09 3,384,655 3,648,995Hydro One Inc., Callable 3,000,000 6.930 2032-06-01 4,277,560 4,144,840Hydro Ottawa Holdings Inc., Callable 1,000,000 4.968 2036-12-19 1,197,450 1,125,435IGM Financial Inc., Callable 1,500,000 7.000 2032-12-31 1,882,500 1,959,360Intact Financial Corp. 2,000,000 6.400 2039-11-23 2,554,460 2,624,104Intact Financial Corp., Series ‘5’, Callable 370,000 5.160 2042-06-16 427,720 422,050Integrated Team Solutions PCH Partnership, Sinkable, Callable 1,000,000 4.875 2046-05-31 1,000,000 1,069,490Inter Pipeline Ltd., Callable 1,500,000 4.637 2044-05-30 1,500,000 1,517,649Kingston Solar L.P., Series ‘1A’, Sinkable 2,500,000 3.571 2035-07-31 2,500,000 2,389,168Loblaw Cos. Ltd. 500,000 6.540 2033-02-17 601,800 619,768Loblaw Cos. Ltd., Callable 4,200,000 6.150 2035-01-29 4,505,980 5,088,673Lower Mattagami Energy L.P., Restricted, Callable 3,635,000 4.944 2043-09-21 4,480,257 4,327,503Lower Mattagami Energy L.P., Series ‘2011-4’, Restricted, Callable 1,015,000 5.139 2041-05-18 1,180,262 1,228,912Manulife Finance Delaware L.P., Variable Rate, Callable 3,211,000 5.059 2041-12-15 3,584,976 3,402,153Metro Inc., Series ‘D’, Restricted, Callable 1,250,000 5.030 2044-12-01 1,249,425 1,327,870North Battleford Power L.P., Series ‘A’, Sinkable 2,603,067 4.958 2032-12-31 2,603,249 2,870,595North West Redwater Partnership / NWR Financing Co. Ltd., Callable 2,750,000 4.050 2044-07-22 2,730,518 2,806,618North West Redwater Partnership / NWR Financing Co. Ltd., Series ‘D’, Restricted, Callable 2,000,000 3.700 2043-02-23 1,992,740 1,920,363North West Redwater Partnership / NWR Financing Co. Ltd., Series ‘F’, Callable 1,000,000 4.250 2029-06-01 1,022,620 1,070,663North West Redwater Partnership / NWR Financing Co. Ltd., Series ‘H’, Restricted, Callable 2,000,000 4.150 2033-06-01 1,994,940 2,093,960Nova Scotia Power Inc., Callable 4,000,000 4.500 2043-07-20 4,034,050 4,353,236Pembina Pipeline Corp., Series ‘4’, Callable 5,600,000 4.810 2044-03-25 5,665,182 5,580,176Plenary Health Bridgepoint L.P., Callable 2,799,642 7.246 2042-08-31 4,135,996 3,800,257Plenary Health Hamilton L.P., Sinkable, Callable 3,370,292 5.796 2043-05-31 3,769,334 4,058,861Plenary Properties LTAP L.P., Callable 1,465,965 6.288 2044-01-31 1,924,372 1,874,322PowerStream Inc., Series ‘A’, Callable 2,519,000 3.958 2042-07-30 2,343,930 2,509,343Rogers Communications Inc., Callable 3,000,000 6.680 2039-11-04 3,761,570 3,865,056Scotiabank Capital Trust, Series ‘06-1’, Variable Rate, Callable 2,200,000 5.650 2056-12-31 2,655,045 2,538,981SEC L.P. and Arci Ltd., Sinkable, Callable 2,621,018 5.188 2033-08-29 2,621,018 2,747,639SGTP Highway Bypass L.P., Series ‘A’, Sinkable, Callable 3,500,000 4.105 2045-01-31 3,500,000 3,525,482Shaw Communications Inc., Callable 2,700,000 6.750 2039-11-09 3,303,270 3,236,303SNC-Lavalin Innisfree McGill Finance Inc., Callable 4,019,328 6.632 2044-06-30 4,741,629 5,128,431Sun Life Financial Inc., Variable Rate, Callable 1,000,000 5.400 2042-05-29 1,143,000 1,124,200Suncor Energy Inc., Callable 3,274,000 5.390 2037-03-26 3,654,586 3,661,330TELUS Corp., Callable 1,000,000 4.750 2045-01-17 1,022,130 1,006,612TELUS Corp., Callable 2,500,000 5.150 2043-11-26 2,644,730 2,662,789TELUS Corp., Series ‘CP’, Callable 5,000,000 4.850 2044-04-05 5,194,860 5,109,009Teranet Holdings L.P., Callable 2,000,000 6.100 2041-06-17 2,300,450 2,242,727Toronto Hydro Corp., Series ‘11’, Callable 1,300,000 3.550 2045-07-28 1,297,881 1,239,311TransCanada PipeLines Ltd. 1,290,000 5.650 2029-06-20 1,477,321 1,493,738TransCanada PipeLines Ltd., Callable 2,000,000 4.350 2046-06-06 1,995,340 2,035,743TransCanada PipeLines Ltd., Callable 3,000,000 8.050 2039-02-17 4,512,530 4,558,433Trillium Windpower L.P., Series ‘1’, Sinkable 691,326 5.803 2033-02-15 691,326 768,808

134





$ % $ $

Union Gas Ltd., Callable 2,000,000 3.800 2046-06-01 2,175,920 1,980,038Union Gas Ltd., Callable 3,000,000 4.880 2041-06-21 3,433,470 3,476,593Union Gas Ltd., Callable 1,200,000 6.050 2038-09-02 1,421,040 1,581,791Westcoast Energy Inc., Series ‘W’ 1,000,000 7.300 2026-12-18 1,321,100 1,285,921

264,699,473 267,484,768

Government of Canada and Guaranteed Bonds – 5.0%Government of Canada 2,900,000 1.500 2026-06-01 3,027,542 2,845,770Government of Canada 1,000,000 2.750 2048-12-01 1,176,900 1,098,807Government of Canada 505,000 2.750 2064-12-01 605,394 571,874Government of Canada 3,645,000 3.500 2045-12-01 5,018,729 4,531,549Government of Canada 5,500,000 5.000 2037-06-01 8,448,383 7,907,793Government of Canada, Zero Coupon 6,000,000 — 2045-12-01 3,116,756 3,041,882Government of Canada, Zero Coupon 6,500,000 — 2048-12-01 3,028,983 3,123,665Royal Office Finance L.P., Series ‘A’, Sinkable, Callable 1,307,108 5.209 2032-11-12 1,438,015 1,584,881

25,860,702 24,706,221

Provincial and Municipal Bonds – 37.5%Aéroports de Montréal, Callable 2,065,000 5.170 2035-09-17 2,320,606 2,492,175Aéroports de Montréal, Series ‘H’, Callable 3,000,000 5.670 2037-10-16 3,630,000 3,870,917Centre Hospitalier de l’Universite de Montreal, Series ‘A’, Callable 1,152,000 4.448 2049-10-01 1,202,918 1,278,095City of Montreal 1,100,000 6.000 2043-06-01 1,409,540 1,541,173City of Ottawa 1,500,000 4.200 2053-07-30 1,496,250 1,675,557City of Toronto 5,000,000 3.250 2046-06-24 4,997,000 4,665,787Greater Toronto Airports Authority 692,656 6.450 2029-07-30 903,570 857,681Greater Toronto Airports Authority 1,500,000 7.100 2031-06-04 2,131,605 2,118,177Greater Toronto Airports Authority, Callable 2,500,000 5.300 2041-02-25 3,271,500 3,168,641Greater Toronto Airports Authority, Series ‘2004-1’ 4,750,000 6.470 2034-02-02 6,115,940 6,537,864Greater Toronto Airports Authority, Series ‘2010-1’, Callable 2,500,000 5.630 2040-06-07 3,116,750 3,277,718Hydro Ottawa Holding Inc., Callable 4,775,000 3.991 2043-05-14 4,807,987 4,820,737Hydro Quebec, Zero Coupon 2,500,000 — 2037-02-15 1,003,153 1,245,848Hydro Quebec, Zero Coupon 5,000,000 — 2042-02-15 1,746,027 2,092,807Hydro-Quebec, Zero Coupon 2,500,000 — 2038-08-15 1,201,699 1,179,051Hydro-Québec, Zero Coupon 2,000,000 — 2036-02-15 1,038,031 1,031,309Hydro-Québec, Zero Coupon 6,500,000 — 2040-02-15 2,928,609 2,981,211Hydro-Québec, Zero Coupon 7,000,000 — 2042-08-15 2,622,810 2,912,419Hydro-Québec, Zero Coupon 5,000,000 — 2043-08-15 1,721,690 2,005,810Hydro-Québec, Zero Coupon 6,000,000 — 2044-02-15 2,512,198 2,389,504Hydro-Québec, Zero Coupon 22,500,000 — 2045-02-15 8,040,593 8,905,423Hydro-Québec, Zero Coupon 1,000,000 — 2048-02-15 351,259 343,918Hydro-Québec, Zero Coupon 2,325,000 — 2048-08-15 718,921 791,112Hydro-Québec, Zero Coupon 1,400,000 — 2049-08-15 350,874 460,433Hydro-Québec, Zero Coupon 16,500,000 — 2050-02-15 5,195,326 5,773,716Hydro-Québec, Zero Coupon 4,000,000 — 2044-08-15 1,330,452 1,567,627Hydro-Québec, Zero Coupon 4,000,000 — 2045-02-15 1,444,935 1,542,746Hydro-Québec, Zero Coupon, Series ‘JN’ 2,800,000 — 2049-02-15 712,093 946,318OPB Finance Trust, Series ‘A’, Callable 3,138,000 3.890 2042-07-04 2,945,391 3,228,264Ottawa MacDonald-Cartier International Airport Authority, Series ‘E’, Sinkable, Restricted, Callable 2,000,000 3.933 2045-06-09 2,000,000 1,978,676Province of Alberta 1,750,000 3.300 2046-12-01 1,758,728 1,746,642Province of British Columbia 1,750,000 3.200 2044-06-18 1,847,125 1,763,301Province of British Columbia, Series ‘BCCD-35’ 2,000,000 2.800 2048-06-18 2,108,880 1,869,204Province of British Columbia, Zero Coupon 2,000,000 — 2038-06-18 1,022,669 953,936Province of British Columbia, Zero Coupon 500,000 — 2039-06-18 247,802 232,136Province of British Columbia, Zero Coupon 1,500,000 — 2039-12-18 731,861 689,077

135




$ % $ $

Province of British Columbia, Zero Coupon 4,500,000 — 2042-06-18 1,873,453 2,007,793Province of British Columbia, Zero Coupon 1,265,000 — 2045-06-18 413,784 490,124Province of Manitoba 1,500,000 4.400 2042-03-05 1,720,335 1,745,976Province of Manitoba 1,005,000 4.650 2040-03-05 1,125,901 1,204,396Province of Manitoba, Zero Coupon 2,000,000 — 2044-03-05 727,514 790,351Province of Manitoba, Zero Coupon 1,725,000 — 2046-09-05 729,156 607,634Province of Manitoba, Zero Coupon 1,725,000 — 2048-09-05 692,359 571,047Province of Manitoba, Zero Coupon 1,725,000 — 2050-03-05 666,341 543,679Province of New Brunswick 1,000,000 3.800 2045-08-14 1,046,400 1,045,235Province of New Brunswick, Zero Coupon 1,000,000 — 2036-06-03 446,913 484,141Province of Newfoundland and Labrador, Series ‘6X’ 1,500,000 3.300 2046-10-17 1,388,910 1,368,035Province of Nova Scotia 300,000 3.500 2062-06-02 275,490 303,899Province of Nova Scotia, Zero Coupon 5,000,000 — 2062-06-02 1,304,834 1,121,439Province of Ontario 3,500,000 2.900 2046-12-02 3,383,390 3,280,436Province of Ontario 1,500,000 3.450 2045-06-02 1,421,873 1,559,370Province of Ontario 3,000,000 4.700 2037-06-02 3,381,350 3,671,118Province of Ontario 5,800,000 5.600 2035-06-02 8,303,400 7,778,654Province of Ontario, Series ‘1’, Zero Coupon 10,000,000 — 2037-06-02 5,217,482 5,130,083Province of Ontario, Zero Coupon 20,000,000 — 2039-06-02 8,152,720 9,527,029Province of Ontario, Zero Coupon 25,500,000 — 2041-06-02 11,324,420 11,392,434Province of Ontario, Zero Coupon 23,700,000 — 2045-06-02 8,995,540 9,424,119Province of Quebec 1,500,000 3.500 2048-12-01 1,694,265 1,580,584Province of Quebec 5,700,000 5.000 2038-12-01 7,592,980 7,252,398Province of Quebec 3,500,000 5.000 2041-12-01 4,026,344 4,527,948Province of Quebec, Series ‘B112’ 550,000 3.500 2045-12-01 587,405 574,387Province of Quebec, Zero Coupon 17,500,000 — 2038-12-01 8,501,434 8,398,350Province of Saskatchewan, Series ‘GC’ 2,500,000 4.750 2040-06-01 3,294,625 3,061,943TCHC Issuer Trust, Series ‘A’, Callable 3,000,000 4.877 2037-05-11 3,712,000 3,510,956Vancouver Airport Authority, Series ‘F’, Restricted, Callable 2,000,000 3.857 2045-11-10 2,000,000 2,078,743Yukon Development Corp. 2,583,000 5.000 2040-06-29 3,353,096 3,114,314

178,338,506 183,081,625Total Bonds 468,898,681 475,272,614Total Short Term Notes – 0.3% 1,388,575 1,388,999Total Non-Derivative Financial Assets – 97.6% 470,287,256 476,661,613Other Assets and Liabilities, Net – 2.4% 11,471,265Net Assets Attributable to Holders of Redeemable Units – 100.0% 488,132,878



Government of Canada Treasury Bill 150,000 0.447 2017-04-06 149,819 149,824Government of Canada Treasury Bill 120,000 0.448 2017-01-26 119,888 119,962Government of Canada Treasury Bill 425,000 0.457 2017-03-09 424,588 424,639Government of Canada Treasury Bill 365,000 0.472 2017-02-23 364,602 364,746Government of Canada Treasury Bill 330,000 0.477 2017-02-09 329,678 329,828 Total Short Term Notes 1,388,575 1,388,999


136


Investment ObjectiveThe investment objective of the Fund is to achieve a return consistent with holding longer term debt instruments (“Bonds”) of non-Federal Government issuers. The Fund may invest in Bonds issued by the federal,provincial and municipal governments and by corporate or other issuers. The Fund also invests in strip Bonds (principal and/or interest) issued or guaranteed by the Government of Canada or the Provinces thereof.


Interest Rate RiskThe table below summarizes the Fund’s exposure to interest rate risk. It includes the Fund’s assets and trading liabilities at fair values, categorized by the earlier of contractual re-pricing or maturity dates.

Bonds 2016 2015Less than 1 year — —1-3 years — —3-5 years — —> 5 years 475,272,614 400,802,169Total 475,272,614 400,802,169



Credit RiskAs at December 31, 2016 and 2015, the Fund invested in short term debt securities with the following credit ratings:

Short term debt securities by credit rating 2016 2015R-1(H) 0.28% 1.40%Total 0.28% 1.40%

As at December 31, 2016 and 2015, the Fund invested in debt securities with the following credit ratings:





Corporate Bonds 54.8 53.1Government of Canada and Guaranteed Bonds 5.0 6.2Provincial and Municipal Bonds 37.5 37.3Short Term Notes 0.3 1.4Other Assets and Liabilities, Net 2.4 2.0

100.0 100.0



137






2015

Short term notes $ 5,788,397 $ — $ — $ 5,788,397 Bonds — 400,802,169 — 400,802,169





Financial instruments at FVTPL:Held for trading $ — $ —Designated at inception 15,715 6,369




138


2016 2015


Interest for distribution purposes $ 965 $ 915TOTAL INCOME (NET) 965 915

EXPENSESCustodian and administration fees 93 93 Legal fees 27 32 Audit fees 6 5 Management fees 35 33 Trustee fees 3 3 Independent Review Committee fees 1 1 Securityholder reporting costs 6 7TOTAL EXPENSES 171 174 Waived expenses (1) (5)NET EXPENSES 170 169

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 795 $ 746


(Class E) $ — $ —(Class F) $ 1 $ 6(Class I) $ 3 $ 5(Class O) $ 782 $ 729(Class P) $ 9 $ 6


(Class E) 14 17(Class F) 46 184(Class I) 90 95(Class O) 10,972 9,711(Class P) 522 314


(Class E) $ 0.01 $ 0.02(Class F) $ 0.02 $ 0.03(Class I) $ 0.04 $ 0.05(Class O) $ 0.07 $ 0.08(Class P) $ 0.02 $ 0.02



2016 2015


Investments (non-derivative financial assets) $ 124,199 $ 115,169 Cash including foreign currency holdings — 9 Receivable for unit subscriptions — 2 Receivable from manager 1 1 Prepaid expenses 15 18


Bank indebtedness 49 — Accrued liabilities 29 29 Distributions payable to unitholders 3 — Payable for unit redemptions — 4

81 33 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 124,134 $ 115,166


(Class E) $ 121 $ 152(Class F) $ 431 $ 478(Class I) $ 822 $ 989(Class O) $ 117,798 $ 108,604(Class P) $ 4,962 $ 4,943


(Class E) $ 10.00 $ 10.00(Class F) $ 10.00 $ 10.00(Class I) $ 10.00 $ 10.00(Class O) $ 10.00 $ 10.00(Class P) $ 10.00 $ 10.00


Money Market Fund

SMMF (The accompanying notes are an integral part of these financial statements)

139

Money Market Fund




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 795 746 — —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (795) (746) — —

(795) (746) — — CAPITAL UNIT TRANSACTIONSProceeds from issue of units 61,882 81,042 270 251 Payments on redemption of units (53,706) (54,387) (301) (207)Reinvestment of distributions ≠ 792 746 — —

8,968 27,401 (31) 44 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 8,968 27,401 (31) 44NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class I2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1 6 3 5

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (1) (6) (3) (4)

(1) (6) (3) (4) CAPITAL UNIT TRANSACTIONSProceeds from issue of units 101 9,753 112 165 Payments on redemption of units (149) (9,726) (282) (95)Reinvestment of distributions ≠ 1 6 3 4

(47) 33 (167) 74 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (47) 33 (167) 75 NET ASSETS ATTRIBUTABLE TO HOLDERS OF


≠ Includes management fee distributions, as applicable, representing a rebate of the management fee to certain unitholders in Class I in 2016 and 2015.

(The accompanying notes are an integral part of these financial statements) SMMF

140

Money Market Fund


Class O Class P2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (782) (730) (9) (6)

(782) (730) (9) (6)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 53,820 64,440 7,579 6,433 Payments on redemption of units (45,405) (40,475) (7,569) (3,884)Reinvestment of distributions ≠ 779 730 9 6

9,194 24,695 19 2,555 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 9,194 24,694 19 2,555 NET ASSETS ATTRIBUTABLE TO HOLDERS OF



CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 795 $ 746Adjustments for:

Amortization of premium 101 22 Accretion of discount (644) (610)Purchases of investments (938,886) (626,960)Proceeds from the sale of investments 930,399 600,087 Change in other assets 3 21 Change in other liabilities — (9)

(8,232) (26,703)


8,174 26,703

Increase (decrease) in cash during the period (58) —Cash at beginning of period 9 9 Cash at end of period (49) 9

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 422 327



141



$ % $ $

SHORT TERM NOTES – 71.8%Bank of Montreal Bearer Deposit Note 4,200,000 0.888 2017-03-29 4,181,352 4,191,037Bank of Nova Scotia Bearer Deposit Note 4,500,000 0.908 2017-01-24 4,479,030 4,497,320Banner Trust Discount Note 1,460,000 0.434 2017-01-03 1,459,896 1,459,948Firstbank Bankers’ Acceptance 2,500,000 0.804 2017-01-26 2,498,400 2,498,571Government of Canada Treasury Bill 250,000 0.307 2017-01-12 249,167 249,975Government of Canada Treasury Bill 11,240,000 0.382 2017-01-04 11,236,403 11,239,532Government of Canada Treasury Bill 1,230,000 0.563 2017-04-06 1,223,198 1,228,185Government of Canada Treasury Bill 6,600,000 0.597 2017-10-19 6,564,574 6,568,543Honda Canada Finance Inc. Discount Note 1,000,000 0.861 2017-04-10 996,270 997,648Honda Canada Finance Inc. Discount Note 3,000,000 0.871 2017-05-08 2,986,980 2,990,864Honda Canada Finance Inc. Discount Note 5,000,000 0.893 2017-05-03 4,984,500 4,984,992Merit Trust Senior Discount Note 4,000,000 0.935 2017-03-08 3,989,000 3,993,151Plaza Trust Discount Note 1,400,000 0.645 2017-01-03 1,395,926 1,399,926Plaza Trust Discount Note 2,800,000 0.937 2017-03-07 2,793,448 2,795,268Prime Trust Senior Discount Note 2,500,000 0.919 2017-02-16 2,493,200 2,497,049Province of Ontario Treasury Bill 5,000,000 0.580 2017-02-22 4,992,650 4,995,800Province of Ontario Treasury Bill 4,500,000 0.646 2017-05-24 4,486,005 4,488,564Safe Trust 96S1 Discount Note 3,224,000 0.938 2017-03-14 3,216,295 3,217,970Storm King Funding Discount Note 4,000,000 0.938 2017-03-24 3,990,560 3,991,494Toronto-Dominion Bank (The) Bearer Deposit Note 6,500,000 1.038 2017-11-01 6,432,465 6,443,752Toyota Credit Canada Inc. Discount Note 1,500,000 0.982 2017-03-16 1,489,350 1,496,980Toyota Credit Canada Inc. Discount Note 3,000,000 0.988 2017-05-10 2,978,220 2,989,477Toyota Credit Canada Inc. Discount Note 5,000,000 1.009 2017-05-19 4,964,750 4,980,848Zeus Receivables Trust Senior Discount Note 1,400,000 0.919 2017-02-16 1,396,192 1,398,347Zeus Receivables Trust Senior Discount Note 3,500,000 0.939 2017-03-14 3,490,445 3,493,448

88,968,276 89,088,689

BONDS – 28.3%Bank of Montreal, Floating Rate 3,500,000 1.171 2017-04-10 3,500,455 3,509,497Bank of Montreal, Variable Rate 1,600,000 1.070 2017-06-09 1,600,000 1,601,079Bank of Nova Scotia 3,554,000 2.598 2017-02-27 3,600,083 3,594,366Bank of Nova Scotia, Variable Rate 2,500,000 1.074 2017-07-14 2,500,000 2,501,324Canadian Imperial Bank of Commerce, Floating Rate 1,500,000 1.109 2017-02-03 1,500,330 1,501,260Canadian Imperial Bank of Commerce, Floating Rate 3,000,000 1.116 2017-05-17 3,000,000 3,001,189Honda Canada Finance Inc., Series ‘2014-1’, Floating Rate, Restricted 1,443,000 1.230 2017-04-07 1,443,472 1,447,323National Bank of Canada, Floating Rate 3,000,000 1.090 2017-06-14 3,000,000 3,001,608Royal Bank of Canada 4,400,000 2.580 2017-04-13 4,455,556 4,443,703Royal Bank of Canada, Floating Rate 6,000,000 1.029 2017-12-01 6,000,000 6,005,059Royal Bank of Canada, Floating Rate 1,000,000 1.049 2017-08-04 1,000,000 1,000,774Toronto-Dominion Bank (The), Floating Rate 3,500,000 1.070 2017-06-01 3,500,000 3,503,172

35,099,896 35,110,354Total Non-Derivative Financial Assets – 100.1% 124,068,172 124,199,043Other Assets and Liabilities, Net – (0.1)% (65,341)Net Assets Attributable to Holders of Redeemable Units – 100.0% 124,133,702

Money Market Fund


142

Money Market Fund


Investment ObjectiveTo provide a high level of current income consistent with capital preservation and liquidity by investing in treasury bills and other short-term securities issued or guaranteed by the Government of Canada and/ora Canadian Province and other short-term securities having a term to maturity of not more than 365 days.

Currency RiskAs at December 31, 2016 and 2015, the Fund invests primarily in Canadian securities. Thus, the Fund did not have any significant exposures to foreign currencies as at year end on both its trading monetaryand non-monetary assets and liabilities.

Interest Rate RiskThe table below summarizes the Fund’s exposure to interest rate risks. It includes the Fund’s assets and trading liabilities at fair values, categorized by the earlier of contractual re-pricing or maturity dates.

Bonds and short term debt securities 2016 2015Less than 1 year 124,199,043 115,168,5071-3 years — — 3-5 years — —> 5 years — —Total 124,199,043 115,168,507

The Fund’s sensitivity to interest rate changes has not been calculated given that the short term debt securities mature in less than one year.As at December 31, 2016, had the prevailing interest rates for bonds raised or lowered by 1% (December 31, 2015 - 1%), with all other variables held constant, net assets would have decreased or increased,respectively, by approximately $37,337 (December 31, 2015 - $26,546). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Other Price RiskAs at December 31, 2016 and 2015, the Fund did not have significant exposure to other price risk as the Fund invested primarily in bonds and short term notes.

Credit Risk As at December 31, 2016 and 2015, the Fund invested in short-term debt securities with the following credit ratings:

Short term debt securities by credit rating 2016 2015R-1(H) 47.26% 63.97%R-1(M) 22.50% 13.91%R-1(L) 2.01% 0.00%U 0.00% 0.00%Total 71.77% 77.88%

As at December 31, 2016 and 2015, the Fund invested in debt instruments with the following credit ratings:

Debt securities by credit rating 2016 2015AA 24.22% 20.72%A 4.06% 1.41%Total 28.28% 22.13%




Short Term Notes 71.8 77.9Bonds 28.3 22.1Other Assets and Liabilities Net (0.1) —

100.0 100.0


143

Money Market Fund



Fair Value MeasurementsThe following tables summarizes the inputs used as at December 31, 2016 and 2015, in valuing the Fund’s investments and derivatives carried at fair values:


Short term notes $ 89,088,689 $ — $ — $ 89,088,689 Bonds — 35,110,354 — 35,110,354

2015Short term notes $ 89,686,909 $ — $ — $ 89,686,909 Bonds — 25,481,598 — 25,481,598





Financial instruments at FVTPL:Held for trading $ — $ — Designated at inception 965 915

Total financial instruments at FVTPL $ 965 $ 915


144

Real Return Bond Fund


2016 2015


Investments (non-derivative financial assets) $ 507,237 $ 496,949 Cash including foreign currency holdings 7,451 13,138 Accrued interest receivable 915 901 Receivable for unit subscriptions 455 514 Receivable from manager 1 —Prepaid expenses 59 83


Accrued liabilities 204 136 Payable for unit redemptions 456 219



(Class D) $ 22,691 $ 25,021(Class E) $ 413 $ 316(Class F) $ 1,815 $ 1,649(Class O) $ 473,022 $ 456,615(Class P) $ 17,507 $ 27,619(Class Z) $ 10 $ 10





2016 2015


Interest for distribution purposes $ 11,129 $ 10,557 Net realized gain (loss) on sale of investments 2,427 —Net change in unrealized appreciation

(depreciation) of investments 1,745 1,701 TOTAL INCOME (NET) 15,301 12,258

EXPENSESCustodian and administration fees 479 414 Legal fees 41 55 Audit fees 29 24 Management fees 1,116 1,253 Trustee fees 15 13 Independent Review Committee fees 4 3 Securityholder reporting costs 37 35TOTAL EXPENSES 1,721 1,797 Waived expenses (2) (1)NET EXPENSES 1,719 1,796



(Class D) $ 43 $ (73)(Class E) $ (3) $ — (Class F) $ 38 $ 26(Class O) $ 13,030 $ 10,048(Class P) $ 474 $ 461(Class Z) $ — $ —


(Class D) 1,415 1,422(Class E) 17 15(Class F) 94 62(Class O) 27,016 25,182(Class P) 1,297 1,726(Class Z) 1 1


(Class D) $ 0.03 $ (0.05)(Class E) $ (0.18) $ 0.02(Class F) $ 0.41 $ 0.42(Class O) $ 0.48 $ 0.40(Class P) $ 0.37 $ 0.26(Class Z) $ 0.49 $ (0.27)


SRRB (The accompanying notes are an integral part of these financial statements)

145






DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (14,836) (12,658) (35) (12)

(14,836) (12,658) (35) (12)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 96,051 140,181 3,733 8,009 Payments on redemption of units (105,377) (91,666) (6,106) (5,155)Reinvestment of distributions 14,808 12,640 35 12

5,482 61,155 (2,338) 2,866 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 4,228 58,959 (2,330) 2,781 NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class E Class F2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (3) — 38 26


(9) (5) (41) (29)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 239 178 958 876 Payments on redemption of units (139) (68) (828) (281)Reinvestment of distributions 9 5 39 27

109 115 169 622CHANGES IN NET ASSETS ATTRIBUTABLE TO



(The accompanying notes are an integral part of these financial statements) SRRB

146



Class O Class P2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (14,631) (12,425) (120) (187)


18,008 64,852 (10,466) (7,310)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 16,407 62,475 (10,112) (7,036) NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class Z2016 2015








147





Net realized (gain) loss on sale of investments (2,427) —Net change in unrealized (appreciation) depreciation of investments (1,745) (1,701)Purchases of investments (53,909) (119,301)Proceeds from the sale of investments 47,793 63,836 Change in interest receivable (14) (94)Change in other assets 23 31 Change in other liabilities 68 (40)

3,371 (46,807)


(9,058) 48,860

Increase (decrease) in cash during the period (5,687) 2,053Cash at beginning of period 13,138 11,085Cash at end of period 7,451 13,138


148

BONDS – 98.4%Government of Canada Bonds – 66.1%Government of Canada, Real Return 41,043,000 1.250 2047-12-01 49,257,060 52,119,896Government of Canada, Real Return 48,175,000 1.500 2044-12-01 61,525,407 67,582,727Government of Canada, Real Return 42,832,000 2.000 2041-12-01 57,330,209 67,008,148Government of Canada, Real Return 29,735,000 3.000 2036-12-01 49,278,453 55,170,149Government of Canada, Real Return 9,250,000 4.000 2031-12-01 19,947,832 19,937,293Government of Canada, Real Return 20,100,000 4.250 2021-12-01 38,254,255 37,929,265Government of Canada, Real Return 19,953,000 4.250 2026-12-01 39,829,304 40,970,778

315,422,520 340,718,256Provincial Bonds – 28.0%Province of Manitoba, Real Return 9,000,000 1.738 2018-12-01 9,000,000 11,123,448Province of Manitoba, Real Return 10,990,000 2.000 2036-12-01 11,317,702 14,532,089Province of Ontario, Real Return 19,891,000 2.000 2036-12-01 20,152,491 27,148,654Province of Quebec, Real Return 23,000,000 4.250 2031-12-01 37,813,271 43,462,590Province of Quebec, Real Return 10,480,000 4.500 2021-12-01 15,804,593 16,745,667Province of Quebec, Real Return 16,479,000 4.500 2026-12-01 23,110,516 31,396,924

117,198,573 144,409,372Corporate Bonds – 4.3%Teranet Holdings L.P., Callable 18,400,000 3.270 2031-12-01 19,058,277 22,069,116

19,058,277 22,069,116Total Bonds 451,679,370 507,196,744Total Short Term Notes – 0.0% 39,945 39,963Total Non-Derivative Financial Assets – 98.4% 451,719,315 507,236,707Other Assets and Liabilities, Net – 1.6% 8,221,351Net Assets Attributable to Holders of Redeemable Units – 100.0% 515,458,058


$ % $ $





Government of Canada Treasury Bill 40,000 0.504 2017-03-09 39,945 39,963 Total Short Term Notes 39,945 39,963


149


Investment ObjectiveThe investment objective of the Fund is to provide long-term capital appreciation primarily through investment in real return bonds. Real return bonds (“RRBs”) are bonds (including stripped coupons or residuesof such bonds) that may be issued or guaranteed by the Government of Canada or a Province thereof or of other issuers that pay interest based on a real interest rate. Unlike standard fixed coupon marketablebonds, interest payments on RRBs are adjusted for changes in the consumer price index. The Fund may also hold cash and may invest in cash equivalent investments.


Interest Rate RiskThe table below summarizes the Fund’s exposure to interest rate risk. It includes the Fund’s assets at fair values, categorized by the earlier of contractual re-pricing or maturity dates.

Bonds 2016 2015Less than 1 year — — 1-3 years 11,123,448 11,127,113 3-5 years 54,674,932 —> 5 years 441,398,364 480,658,754 Total 507,196,744 491,785,867



Credit Risk As at December 31, 2016 and 2015, the Fund invested in debt securities with the following credit ratings:

Debt securities by credit rating 2016 2015AAA 66.10% 63.99%AA 4.98% 4.68%A 23.04% 23.15%BBB 4.28% 4.38%Total 98.40% 96.20%




Government of Canada Bonds 66.1 64.0Provincial Bonds 28.0 27.8Corporate Bonds 4.3 4.4Short Term Notes — 1.0Other Assets and Liabilities Net 1.6 2.8

100.0 100.0



150






Short term notes $ 39,963 $ — $ — $ 39,963Bonds — 507,196,744 — 507,196,744

2015






Financial instruments at FVTPL:Held for trading $ — $ — Designated at inception 15,301 12,258



151


2016 2015


Investments (non-derivative financial assets) $ 479,029 $ 480,241 Cash including foreign currency holdings 849 4,243 Accrued interest receivable 3,222 3,414 Receivable for portfolio securities sold 307 3,627 Receivable for unit subscriptions 387 4,095 Receivable from manager 6 1 Prepaid expenses 40 59


Accrued liabilities 168 115 Payable for portfolio securities purchased 2,460 4,575 Payable for unit redemptions 1,017 223 Distributions payable to unitholders — 26



(Class D) $ 5 $ 5(Class E) $ 215 $ 146(Class F) $ 3,325 $ 4,268(Class O) $ 442,595 $ 440,675(Class P) $ 34,045 $ 45,637(Class Z) $ 10 $ 10





2016 2015


Interest for distribution purposes $ 14,474 $ 13,077 Net realized gain (loss) on sale of investments (1,837) 1,437 Net change in unrealized appreciation

(depreciation) of investments (963) (3,250)TOTAL INCOME (NET) 11,674 11,264

EXPENSESCustodian and administration fees 439 351 Legal fees 40 52 Interest expense 1 —Audit fees 31 20 Management fees 732 988 Trustee fees 14 11 Independent Review Committee fees 3 2 Securityholder reporting costs 34 30 TOTAL EXPENSES 1,294 1,454 Waived expenses (28) (57)NET EXPENSES 1,266 1,397



(Class D) $ — $ —(Class E) $ 1 $ 2 (Class F) $ 66 $ 62(Class O) $ 10,125 $ 9,265(Class P) $ 216 $ 538(Class Z) $ — $ —


(Class D) 1 1(Class E) 18 15(Class F) 394 391(Class O) 44,916 37,598(Class P) 3,937 5,306(Class Z) 1 1


(Class D) $ (0.06) $ (0.02)(Class E) $ 0.03 $ 0.13(Class F) $ 0.17 $ 0.15(Class O) $ 0.23 $ 0.24(Class P) $ 0.06 $ 0.10(Class Z) $ 0.24 $ 0.01


Short Term Bond Fund

SSTB (The accompanying notes are an integral part of these financial statements)

152






DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (13,210) (11,679) — — Out of net realized capital gains — (767) — —

(13,210) (12,446) — —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 102,261 207,190 — — Payments on redemption of units (122,974) (102,669) — —Reinvestment of distributions 12,969 12,018 — —

(7,744) 116,539 — —CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (10,546) 113,960 — —NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class E Class F2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (3) (2) (85) (89)Out of net realized capital gains — — — (7)

(3) (2) (85) (96)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 417 23 884 2,848 Payments on redemption of units (349) (14) (1,890) (1,536)Reinvestment of distributions 3 2 82 91

71 11 (924) 1,403CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 69 11 (943) 1,369NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SSTB

153




Class O Class P2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (12,722) (11,021) (400) (567)Out of net realized capital gains — (687) — (73)


4,517 129,636 (11,408) (14,521)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1,920 127,193 (11,592) (14,623)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class Z2016 2015







154





Net realized (gain) loss on sale of investments 1,837 (1,437)Net change in unrealized (appreciation) depreciation of investments 963 3,250 Purchases of investments (704,225) (716,406)Proceeds from the sale of investments 703,842 595,158 Change in interest receivable 192 (818)Change in other assets 14 19 Change in other liabilities 53 (11)

13,084 (110,378)


(16,478) 100,723

Increase (decrease) in cash during the period (3,394) (9,655)Cash at beginning of period 4,243 13,898Cash at end of period 849 4,243


155

BONDS – 98.8%Canadian Bonds – 92.3%Corporate Bonds – 81.3%Aimia Inc., Callable 1,665,000 5.600 2019-05-17 1,740,190 1,711,535Bank of Montreal 7,135,000 1.880 2021-03-31 7,209,073 7,127,911Bank of Montreal, Variable Rate, Callable 13,655,000 3.320 2026-06-01 13,776,931 13,881,814Bank of Nova Scotia 1,345,000 1.900 2021-12-02 1,344,624 1,335,348Bank of Nova Scotia, Variable Rate, Callable 15,948,000 3.036 2024-10-18 16,379,313 16,457,485bcIMC Realty Corp. 5,200,000 2.790 2018-08-02 5,350,588 5,315,751bcIMC Realty Corp. 5,505,000 3.510 2022-06-29 5,932,506 5,855,507bcIMC Realty Corp., Series ‘6’ 4,897,000 5.650 2018-01-05 5,535,761 5,115,626Bell Canada 3,700,000 2.000 2021-10-01 3,689,122 3,660,393Blackbird Infrastructure 407 General Partnership, Series ‘B’, Variable Rate, Callable 3,763,000 1.713 2021-10-08 3,733,686 3,722,251BMW Canada Inc., Series ‘O’ 4,860,000 1.830 2021-06-15 4,857,910 4,817,258BMW Canada Auto Trust, Class ‘A2’, Series ‘2015-1’, Restricted, Variable Rate, Callable 4,577,254 1.521 2017-07-20 4,577,254 4,584,372BMW Canada Auto Trust, Class ‘A-3’, Series ‘2016-1’, Restricted, Variable Rate 9,350,000 1.866 2019-05-20 9,350,000 9,355,094Canadian Credit Card Trust II, Series ‘B’ 7,000,000 1.987 2018-11-24 7,000,000 6,993,490Canadian Credit Card Trust II, Series ‘C’ 7,700,000 2.737 2018-11-24 7,700,000 7,692,839Canadian Imperial Bank of Commerce, Variable Rate, Callable 4,270,000 3.420 2026-01-26 4,363,047 4,352,522Canadian Western Bank 11,992,000 2.788 2021-09-13 11,991,601 11,974,807Capital Power Corp. 7,576,000 4.850 2019-02-21 7,798,763 7,893,202Cards II Trust, Series ‘A’ 1,240,000 2.155 2020-10-15 1,240,000 1,258,209Chip Mortgage Trust, Callable 8,551,000 3.663 2038-09-25 8,887,031 8,750,339Chip Mortgage Trust, Series ‘16-1’, Extendible 2,820,000 2.981 2041-11-15 2,820,000 2,802,093CIBC Capital Trust, Series ‘A’, Callable 4,491,000 9.976 2019-06-30 5,738,434 5,281,483Eagle Credit Card Trust 2,255,000 3.869 2018-10-17 2,255,000 2,290,233Eagle Credit Card Trust, Series ‘151A’ 5,000,000 2.147 2020-09-17 5,078,650 5,057,006Empire Life Insurance Co. (The), Variable Rate, Callable 3,000,000 3.383 2026-12-16 3,000,000 3,008,912EnerCare Solutions Inc. 7,457,000 4.300 2017-11-30 7,660,680 7,605,197EnerCare Solutions Inc., Callable 4,400,000 4.600 2020-02-03 4,665,071 4,620,972Equitable Trust Co. (The) 7,875,000 2.595 2017-04-07 7,876,073 7,891,315Ford Auto Securitization Trust, Class ‘C’, Series ‘2013-R4’, Callable 1,448,000 3.175 2019-06-15 1,448,000 1,469,820Ford Credit Canada Ltd. 5,315,000 2.580 2021-05-10 5,315,000 5,278,488Fortified Trust, Class ‘C’, Series ‘2016-1’ 3,500,000 2.670 2021-07-23 3,489,500 3,458,000Glacier Credit Card Trust 5,600,000 2.237 2020-09-20 5,600,000 5,665,640Glacier Credit Card Trust 8,490,000 3.068 2019-09-20 8,601,946 8,545,100Hollis Receivables Term Trust II, Class ‘A’, Series ‘2014-1’ 8,385,000 2.434 2019-06-26 8,670,595 8,568,852Home Trust Co. (The) 7,130,000 3.400 2018-12-10 7,267,928 7,207,535Honda Canada Finance Inc., Series ‘16-4’, Restricted 7,535,000 1.823 2021-12-07 7,530,450 7,435,372Intact Financial Corp. 5,837,000 4.700 2021-08-18 6,567,330 6,497,991Inter Pipeline Ltd., Callable 6,450,000 3.448 2020-07-20 6,770,436 6,774,813John Deere Canada Funding Inc. 4,800,000 1.600 2020-07-13 4,793,712 4,762,275Laurentian Bank of Canada 9,778,000 2.500 2020-01-23 9,677,091 9,853,838Leisureworld Senior Care L.P., Series ‘B’, Callable 8,115,000 3.474 2021-02-03 8,168,837 8,516,309Master Credit Card Trust II, Class ‘B’, Series ‘2014-1’, Restricted 4,300,000 2.200 2017-04-21 4,300,000 4,310,277Master Credit Card Trust II, Class ‘C’, Series ‘2014-1’, Restricted 5,035,000 2.447 2017-04-21 5,035,000 5,140,735Master Credit Card Trust, Class ‘B’, Series ‘2012-1’ 8,550,000 3.876 2017-01-21 8,445,826 8,558,293Mbarc Credit Canada Inc., Class ‘A3’, Series ‘2015-A’, Restricted 9,400,000 1.549 2020-02-18 9,395,227 9,419,364MCAP Commercial L.P., Callable 7,150,000 3.955 2019-03-11 7,165,750 7,064,276National Bank of Canada 6,200,000 1.809 2021-07-26 6,183,384 6,148,545Nissan Canada Financial Services Inc. 6,590,000 1.584 2019-10-07 6,590,000 6,563,091Omers Realty Corp., Series ‘3’, Restricted 10,065,000 3.203 2020-07-24 10,662,238 10,544,957Pembina Pipeline Corp., Callable 2,750,000 4.890 2021-03-29 3,019,335 3,017,754Rogers Communications Inc., Callable 3,000,000 4.700 2020-09-29 3,298,947 3,289,613Royal Bank of Canada 4,500,000 1.650 2021-07-15 4,498,695 4,432,898Royal Bank of Canada, Variable Rate, Callable 9,500,000 3.310 2026-01-20 9,597,375 9,642,317Shaw Communications Inc. 12,620,000 3.150 2021-02-19 12,790,565 12,881,236TD Capital Trust IV, Series ‘1’, Variable Rate, Callable 1,500,000 9.523 2019-06-30 1,781,250 1,748,824Toronto Hydro Corp., Series ‘3’, Callable 4,000,000 4.490 2019-11-12 4,421,280 4,330,187


$ % $ $




156



$ % $ $


Toronto-Dominion Bank (The) 3,500,000 1.909 2023-07-18 3,509,858 3,405,763Toronto-Dominion Bank (The), Variable Rate, Callable 14,210,000 2.982 2025-09-30 14,202,730 14,309,218Toyota Credit Canada Inc. 10,910,000 2.200 2021-02-25 10,995,558 11,005,093Wells Fargo Financial Canada Corp. 6,150,000 2.944 2019-07-25 6,383,700 6,353,148WTH Car Rental ULC, Series ‘B’, Restricted 1,186,000 2.477 2020-07-20 1,186,000 1,153,568WTH Car Rental ULC, Series ‘B’, Restricted 2,905,000 3.323 2019-08-20 2,900,733 2,894,210

391,815,584 390,660,364

Government of Canada Bonds – 4.8%Government of Canada 602,000 0.750 2021-03-01 597,997 594,219Government of Canada 10,855,000 0.750 2021-09-01 10,640,886 10,676,774Government of Canada 2,533,000 1.250 2018-03-01 2,564,683 2,550,353Government of Canada 5,804,000 1.500 2017-09-01 5,843,056 5,838,330Government of Canada 2,127,000 1.500 2023-06-01 2,136,359 2,140,535Government of Canada 52,000 1.750 2019-09-01 53,739 53,246Government of Canada 11,000 3.750 2019-06-01 11,906 11,770Government of Canada 1,000,000 4.250 2018-06-01 1,088,030 1,049,526

22,936,656 22,914,753

Mortgage-Backed Securities – 6.2%CNH Capital Canada Ltd. 2,804,448 1.353 2021-04-15 2,799,670 2,801,248CNH Capital Canada Ltd. 1,000,000 1.960 2022-04-18 1,000,000 989,678CNH Capital Canada Receivables Trust, Class ‘A2’, Series ‘2014-1’, Callable 706,564 1.804 2020-10-15 706,564 709,170Ford Auto Securitization Trust, Class ‘A3’, Series ‘15-R4’, Callable 3,500,000 2.000 2020-11-15 3,500,000 3,502,695Genesis Trust II, Class ‘A’, Series ‘15-2’ 7,065,000 1.675 2018-09-17 7,067,402 7,104,002MCAP CMBS Issuer Corp., Class ‘A’, Series ‘2014-1’, Callable, Restricted 5,240,454 2.341 2019-11-12 5,240,316 5,252,874MCAP RMBS Issuer Corp., Class ‘A’, Series ‘2014-1’, Callable 1,198,711 2.171 2019-04-15 1,220,684 1,200,126Real Estate Asset Liquidity Trust, Class ‘A1’, Series ‘2016-1’, Restricted, Callable 4,717,479 2.325 2025-06-12 4,717,455 4,655,980Real Estate Asset Liquidity Trust, Class ‘A1’, Series ‘2016-2’, Callable, Restricted 3,572,313 1.856 2021-09-12 3,572,223 3,520,801

29,824,314 29,736,574Total Canadian Bonds 444,576,554 443,311,691

Foreign Bonds – 6.5%Metropolitan Life Global Funding I 3,830,000 2.682 2019-04-16 3,843,230 3,916,267Metropolitan Life Global Funding I, Restricted 8,195,000 1.875 2020-04-16 8,165,990 8,158,123National Grid Electricity Transmission PLC, Restricted 4,942,000 2.900 2019-11-26 5,148,131 5,106,661National Grid Electricity Transmission PLC, Series ‘MPLE’ 5,648,000 2.730 2017-09-20 5,719,579 5,707,791Wells Fargo & Co. 8,040,000 2.222 2021-03-15 8,138,635 8,020,382Total Foreign Bonds 31,015,565 30,909,224Total Bonds 475,592,119 474,220,915Total Short Term Notes – 1.0% 4,805,572 4,807,692Total Non-Derivative Financial Assets – 99.8% 480,397,691 479,028,607Other Assets and Liabilities, Net – 0.2% 1,166,708Net Assets Attributable to Holders of Redeemable Units – 100.0% 480,195,315



Government of Canada Treasury Bill 1,160,000 0.467 2017-03-23 1,158,607 1,158,785Government of Canada Treasury Bill 1,750,000 0.472 2017-03-09 1,748,008 1,748,464Government of Canada Treasury Bill 50,000 0.483 2017-02-23 49,938 49,964Government of Canada Treasury Bill 855,000 0.517 2017-06-01 852,409 853,164Government of Canada Treasury Bill 1,000,000 0.546 2017-06-29 996,610 997,315Total Short Term Notes 4,805,572 4,807,692


157


Investment ObjectiveTo provide preservation of capital and current income by investing primarily in a diversified portfolio of mainly Canadian fixed-income securities.


Interest Rate RiskThe table below summarizes the Fund’s exposure to interest rate risk as at December 31, 2016 and 2015. It includes the Fund’s assets at fair values, categorized by the maturity dates.

Bonds 2016 2015Less than 1 year 49,636,311 37,436,280 1-3 years 132,639,122 170,370,523 3-5 years 201,693,317 189,634,539 > 5 years 90,252,165 77,656,358 Total 474,220,915 475,097,700

As at December 31, 2016, had the prevailing interest rates raised or lowered by 1% (December 31, 2015 – 1%), with all other variables held constant, net assets would have decreased or increased,respectively, by approximately $18,992,938 (December 31, 2015 – $17,673,075). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.







Corporate Bonds 81.3 70.3 Government of Canada Bonds 4.8 8.6 Mortgage-Backed Securities 6.2 12.6 Foreign Bonds 6.5 5.4 Short Term Notes 1.0 1.0 Other Assets and Liabilities, Net 0.2 2.1

100.0 100.0



158







2015






Financial instruments at FVTPL:Held for trading $ — $ — Designated at inception 11,674 11,264



159


2016 2015


Distributions from mutual funds $ 57 $ 72TOTAL INCOME (NET) 57 72

EXPENSESCustodian and administration fees — 34 Legal fees 32 19 Audit fees 1 —Management fees 10 31 Trustee fees — 1 Securityholder reporting costs — 1 TOTAL EXPENSES 43 86Waived expenses (17) (40)NET EXPENSES 26 46



(Class E) $ — $ —(Class F) $ 1 $ 3 (Class O) $ 28 $ 23 (Class P) $ 2 $ —(Class Z) $ — $ —


(Class E) 3 1(Class F) 71 163(Class O) 445 413(Class P) 302 387(Class Z) 1 1


(Class E) $ 0.02 $ —(Class F) $ 0.02 $ 0.03 (Class O) $ 0.06 $ 0.05 (Class P) $ 0.01 $ (0.01)(Class Z) $ 0.07 $ 0.02


Short Term Investment Fund

STIF (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 8,267 $ 10,309 Cash including foreign currency holdings 173 74 Receivable for unit subscriptions 5 — Receivable from manager 1 8 Prepaid expenses 10 18


Accrued liabilities 7 30 Payable for unit redemptions 8 —



(Class E) $ 35 $ 5(Class F) $ 467 $ 1,635(Class O) $ 5,119 $ 4,540(Class P) $ 2,809 $ 4,188(Class Z) $ 11 $ 11


(Class E) $ 10.00 $ 9.99(Class F) $ 10.01 $ 10.00(Class O) $ 10.01 $ 10.01(Class P) $ 10.00 $ 9.99(Class Z) $ 10.00 $ 10.01


160




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 31 26 — —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (31) (26) — —

(31) (26) — — CAPITAL UNIT TRANSACTIONSProceeds from issue of units 5,592 3,417 30 — Payments on redemption of units (7,561) (1,694) — —Reinvestment of distributions 31 26 — —

(1,938) 1,749 30 —CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (1,938) 1,749 30 —NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class O2016 2015 2016 2015




(1) (3) (30) (21) CAPITAL UNIT TRANSACTIONSProceeds from issue of units 467 — 3,415 2,325 Payments on redemption of units (1,636) — (2,864) (1,267)Reinvestment of distributions 1 3 30 21

(1,168) 3 581 1,079CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (1,168) 3 579 1,081NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 467 $ 1,635 $ 5,119 $ 4,540


(The accompanying notes are an integral part of these financial statements) STIF

161




Class P Class Z2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 2 — — —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — (2) — —

— (2) — — CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,680 1,081 — 11 Payments on redemption of units (3,061) (427) — —Reinvestment of distributions — 2 — —

(1,381) 656 — 11CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (1,379) 654 — 11 NET ASSETS ATTRIBUTABLE TO HOLDERS OF



CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 31 $ 26Adjustments for:Distributions from mutual funds (57) (72)Purchases of investments (2,490) (2,140)Proceeds from the sale of investments 4,589 369 Change in other assets 15 22 Change in other liabilities (23) 12

2,065 (1,783)


(1,966) 1,735

Increase (decrease) in cash during the period 99 (48)Cash at beginning of period 74 122 Cash at end of period 173 74

162



Units $ $

MUTUAL FUNDS – 97.9%SEI Investments*Money Market Fund 826,683 8,266,826 8,266,826Total Mutual Funds 8,266,826 8,266,826Total Non-Derivative Financial Assets – 97.9% 8,266,826 8,266,826Other Assets and Liabilities, Net – 2.1% 174,454Net Assets Attributable to Holders of Redeemable Units – 100.0% 8,441,280

*The Fund holds units in class O of the funds listed, unless otherwise noted. The above funds are also managed by the Fund’s manager.



163



Investment ObjectiveTo provide a high level of current income consistent with capital preservation and liquidity by investing in treasury bills and other short-term securities issued or guaranteed by the Government of Canada and/ora Canadian Province and other short-term securities. The Fund may invest in other money market mutual funds.

Currency RiskAs at December 31, 2016 and 2015, the Fund’s direct exposure to currency risk is minimal given that the underlying fund held is valued in Canadian dollars which is the functional currency of the Fund.The underlying fund did not have any significant exposure to foreign currencies as at year end on both its trading monetary and non-monetary assets and liabilities.

Interest Rate Risk

As at December 31, 2016 and 2015, the interest rate risk is minimal given that the majority of the financial instruments held by the Fund are non-interest bearing. The table below summarizes the Fund’s proportionate share of the underlying fund’s exposure to interest rate risk.

Bonds and short term debt securities 2016 2015Less than 1 year 8,271,182 10,309,0391-3 years — —3-5 years — —> 5 years — —Total 8,271,182 10,309,039

As at December 31, 2016, had the prevailing interest rates raised or lowered by 1% (December 31, 2015 – 1%), with all other variables held constant, net assets of the Fund would have decreased orincreased, respectively, by approximately $2,487 (December 31, 2015 – $2,368). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Other Price RiskAs at December 31, 2016 and 2015, the Fund and the underlying fund did not have significant exposure to other price risk as the underlying fund invested primarily in bonds and short term notes.

Credit RiskAs at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no direct investments in debt instruments or derivatives. As at December 31, 2016 and 2015, the underlying fund invested in short term debt securities with the following credit ratings:

Short term debt securities by credit rating 2016 2015R-1(H) 47.26% 63.97%R-1(M) 22.50% 13.91%R-1(L) 2.01% 0.00%Total 71.77% 77.88%

As at December 31, 2016 and 2015, the underlying fund invested in debt instruments with the following credit ratings:

Debt securities by credit rating 2016 2015AA 24.22% 20.72%A 4.06% 1.41%Total 28.28% 22.13%



Mutual Funds 97.9 99.3Other Assets and Liabilities, Net 2.1 0.7

100.0 100.0


164







2015





Financial instruments at FVTPL:Held for trading $ — $ — Designated at inception 57 72


Interest in Unconsolidated Structured EntitiesThe table below sets out interests held by the Fund in unconsolidated structured entities for the years ended December 31, 2016 and 2015. The Fund holds Class O of the Funds listed, unless otherwisestated.


Investment in open-ended Investment FundsDecember 31, 2016

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsMoney Market Fund Canada 8,266,826 6.7%

December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsMoney Market Fund Canada 10,309,039 9.0%


165



Dividends $ 58 $ 1,294 Interest for distribution purposes 34,492 30,753 Derivative income (loss) 9,412 (66,041)Net realized gain (loss) on sale of investments 11,418 20,499 Foreign exchange gain (loss) on foreign currency translation (549) 1,179 Net change in unrealized appreciation (depreciation)

on foreign exchange (371) 210 Net change in unrealized appreciation (depreciation)

of investments and derivatives 22,017 (5,646)76,477 (17,752)

Foreign exchange gain (loss) on cash 137 2,991TOTAL INCOME (NET) 76,614 (14,761)

EXPENSESCustodian and administration fees 420 378 Legal fees 59 64 Audit fees 28 22 Interest expense 4 —Management fees 1,417 1,542 Trustee fees 13 12 Independent Review Committee fees 2 2 Transaction costs 17 —Securityholder reporting costs 34 32 Foreign withholding taxes 49 40 TOTAL EXPENSES 2,043 2,092Waived expenses (4) (8)NET EXPENSES 2,039 2,084



(Class D) $ — $ 239(Class D hedged) $ 4,047 $ (2,506)(Class E) $ (6) $ 119 (Class E hedged) $ 31 $ (24)(Class F) $ 154 $ 849(Class F hedged) $ 344 $ (66)(Class O) $ 2,098 $ 5,268(Class O hedged) $ 64,451 $ (20,281)(Class P) $ 334 $ 2,048(Class P hedged) $ 3,119 $ (2,490)(Class Z) $ 1 $ —(Class Z hedged) $ 2 $ (1)AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS(Class D) — 83(Class D hedged) 2,977 2,766(Class E) 30 89(Class E hedged) 22 17(Class F) 112 395(Class F hedged) 176 78(Class O) 1,068 2,354(Class O hedged) 36,626 30,677(Class P) 212 842(Class P hedged) 2,045 1,819(Class Z) 1 1 (Class Z hedged) 1 1INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE

TO HOLDERS OF REDEEMABLE UNITS PER UNIT*(Class D) $ 1.24 $ 2.88(Class D hedged) $ 1.36 $ (0.91)(Class E) $ (0.21) $ 1.35(Class E hedged) $ 1.43 $ (1.46)(Class F) $ 1.38 $ 2.16(Class F hedged) $ 1.95 $ (0.85)(Class O) $ 1.96 $ 2.23(Class O hedged) $ 1.76 $ (0.66)(Class P) $ 1.58 $ 2.42 (Class P hedged) $ 1.53 $ (1.36)(Class Z) $ 1.81 $ (0.02)(Class Z hedged) $ 2.29 $ (0.78)* Based on the weighted average number of units outstanding during the period.


2016 2015


Investments (non-derivative financial assets) $ 518,539 $ 419,823 Cash including foreign currency holdings 38,365 27,327 Accrued dividends receivable 14 12 Accrued interest receivable 9,147 8,563 Margin receivable 497 431 Receivable for portfolio securities sold 1,052 276 Receivable for unit subscriptions 867 1,071 Receivable from manager 3 2 Prepaid expenses 71 79 Derivative assets 452 34


Accrued liabilities 234 168 Payable for portfolio securities purchased — 213 Payable for unit redemptions 559 196 Derivative liabilities 10,620 10,376



(Class D) $ 2 $ 2(Class D hedged) $ 32,472 $ 30,938(Class E) $ 77 $ 1,257(Class E hedged) $ 354 $ 267(Class F) $ 1,319 $ 1,765(Class F hedged) $ 2,915 $ 1,463(Class O) $ 17,373 $ 12,237(Class O hedged) $ 478,921 $ 372,240(Class P) $ 6,510 $ 2,336(Class P hedged) $ 17,629 $ 24,141(Class Z) $ 11 $ 10(Class Z hedged) $ 11 $ 9


(Class D) $ 13.75 $ 13.27(Class D hedged) $ 11.34 $ 10.12(Class E) $ 15.08 $ 13.76(Class E hedged) $ 11.75 $ 10.54(Class F) $ 15.05 $ 14.10(Class F hedged) $ 12.64 $ 11.60(Class O) $ 14.79 $ 14.48(Class O hedged) $ 11.86 $ 10.70(Class P) $ 14.01 $ 13.72(Class P hedged) $ 12.00 $ 10.53(Class Z) $ 15.01 $ 14.49(Class Z hedged) $ 14.88 $ 13.71


U.S. High Yield Bond Fund

SUHY (The accompanying notes are an integral part of these financial statements)

166





INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 74,575 (16,845) — 239

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (16,927) — — —Out of net realized capital gains (8,494) — — —Return of capital (451) — — —

(25,872) — — —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 140,712 239,021 — 299 Payments on redemption of units (103,985) (162,419) — (3,106)Reinvestment of distributions 25,499 — — —

62,226 76,602 — (2,807)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 110,929 59,757 — (2,568)NET ASSETS ATTRIBUTABLE TO HOLDERS OF




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 4,047 (2,506) (6) 119

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (17) —Out of net realized capital gains (390) — — —

(390) — (17) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 5,354 13,431 960 499 Payments on redemption of units (7,867) (5,609) (2,134) (386)Reinvestment of distributions 390 — 17 —

(2,123) 7,822 (1,157) 113 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1,534 5,316 (1,180) 232NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 32,472 $ 30,938 $ 77 $ 1,257

(The accompanying notes are an integral part of these financial statements) SUHY

167





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (9) — (76) —Out of net realized capital gains (2) — — —

(11) — (76) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 192 282 824 2,091 Payments on redemption of units (136) (35) (1,422) (11,692)Reinvestment of distributions 11 — 74 —

67 247 (524) (9,601)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 87 223 (446) (8,752) NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F hedged Class O2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 344 (66) 2,098 5,268

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (142) — (1,262) —Out of net realized capital gains (24) — (368) —Return of capital (2) — (20) —

(168) — (1,650) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 2,190 1,192 9,505 20,451 Payments on redemption of units (1,082) (407) (6,128) (62,161)Reinvestment of distributions 168 — 1,311 —

1,276 785 4,688 (41,710)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1,452 719 5,136 (36,442)NET ASSETS ATTRIBUTABLE TO HOLDERS OF




168



Class O hedged Class P2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 64,451 (20,281) 334 2,048

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (15,179) — (240) —Out of net realized capital gains (7,593) — (52) —Return of capital (425) — (4) —

(23,197) — (296) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 110,962 167,398 4,947 4,089 Payments on redemption of units (68,706) (39,550) (1,103) (29,510)Reinvestment of distributions 23,171 — 292 —

65,427 127,848 4,136 (25,421)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 106,681 107,567 4,174 (23,373)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class P hedged Class Z2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 3,119 (2,490) 1 —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (1) —Out of net realized capital gains (65) — — —

(65) — (1) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 5,778 29,269 — 10 Payments on redemption of units (15,407) (9,963) — —Reinvestment of distributions 63 — 1 —

(9,566) 19,306 1 10CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (6,512) 16,816 1 10 NET ASSETS ATTRIBUTABLE TO HOLDERS OF



169



Foreign exchange (gain) loss on cash 309 (231)Net realized (gain) loss on sale of investments (11,418) (20,499)Net change in unrealized (appreciation) depreciation of investments and derivatives (22,017) 5,646 Purchases of investments (411,858) (300,188)Proceeds from the sale of investments 345,414 254,356 Change in margin receivable on futures (66) (431)Change in interest receivable (584) (2,195)Change in dividends receivable (2) 2 Change in other assets 7 22 Change in other liabilities 66 (15)

(25,574) (80,378)

CASH FLOWS USED IN FINANCING ACTIVITIESAmount received from the issuance of units (note 16) 122,239 223,862 Amount paid on redemptions of units (note 16) (84,945) (147,908)Distributions paid to unitholders (373) —

36,921 75,954

Increase (decrease) in cash during the period 11,347 (4,424)Foreign exchange gain (loss) on cash (309) 231Cash at beginning of period 27,327 31,520Cash at end of period 38,365 27,327

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 33,926 28,558 Dividends received, net of withholding taxes 55 1,282




Class Z hedged2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 2 (1)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (1) —

(1) —

CAPITAL UNIT TRANSACTIONSProceeds from issue of units — 10 Reinvestment of distributions 1 —

1 10 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 2 9 NET ASSETS ATTRIBUTABLE TO HOLDERS OF


170



$ % $ $

CANADIAN BONDS – 3.1%1011778 B.C. ULC / New Red Finance Inc., Callable 290,000 6.000 2022-04-01 375,508 407,377Alberta Energy Co. Ltd. 35,000 7.375 2031-11-01 33,843 54,150Alberta Energy Co. Ltd. 35,000 8.125 2030-09-15 42,362 56,548Bombardier Inc., Callable 996,000 6.000 2022-10-15 1,115,344 1,262,223Bombardier Inc., Callable 210,000 7.500 2025-03-15 257,353 279,655Brookfield Residential Properties Inc., Callable 107,000 6.375 2025-05-15 128,031 143,851Caesars Entertainment Corp., First Lien Notes, Rights 193,381 — — — 26Concordia Healthcare Corp., Callable 900,000 9.500 2022-10-21 1,164,070 434,500Concordia International Corp., Callable 52,000 9.000 2022-04-01 68,817 59,362Eldorado Gold Corp., Callable 120,000 6.125 2020-12-15 118,706 164,145Encana Corp. 120,000 6.625 2037-08-15 126,200 173,921Encana Corp. 70,000 7.200 2031-11-01 75,800 105,595First Quantum Minerals Ltd., Callable 213,000 7.000 2021-02-15 251,051 285,529First Quantum Minerals Ltd., Callable 406,000 7.250 2019-10-15 495,650 552,633GFL Environmental Inc., Callable 210,000 9.875 2021-02-01 291,327 311,191Gibson Energy Inc., Callable 750,000 6.750 2021-07-15 848,520 1,048,533HudBay Minerals Inc., Callable 86,000 7.250 2023-01-15 114,638 119,655HudBay Minerals Inc., Callable 57,000 7.625 2025-01-15 75,981 79,975LG FinanceCo Corp., Callable 518,000 5.875 2024-11-01 685,625 708,557MEG Energy Corp., Callable 248,000 6.375 2023-01-30 250,841 297,659MEG Energy Corp., Callable 332,000 6.500 2021-03-15 379,485 414,063MEG Energy Corp., Callable 310,000 7.000 2024-03-31 307,768 378,310New Gold Inc., Callable 300,000 6.250 2022-11-15 384,734 414,384New Gold Inc., Callable 130,000 7.000 2020-04-15 162,469 178,695Nortel Networks Ltd., Zero Coupon 578,000 — 2011-07-15 631,773 757,687Nova Chemicals Corp., Callable 757,000 5.000 2025-05-01 914,968 997,095Open Text Corp., Callable 198,000 5.875 2026-06-01 259,063 280,796Precision Drilling Corp., Callable 250,000 6.500 2021-12-15 236,640 341,968Precision Drilling Corp., Callable 89,686 6.625 2020-11-15 106,159 122,679Precision Drilling Corp., Callable 112,000 7.750 2023-12-15 149,834 159,022Quebecor Media Inc., Callable 670,000 5.750 2023-01-15 786,571 935,567Reichhold Holdings International BV 133,164 15.000 2017-03-31 160,707 178,580Ritchie Bros. Auctioneers Inc., Callable 95,000 5.375 2025-01-15 125,823 130,266Teck Resources Ltd., Callable 23,000 8.000 2021-06-01 29,856 34,006Teck Resources Ltd., Callable 350,000 8.500 2024-06-01 469,741 547,489Telesat Canada / Telesat LLC, Callable 732,000 8.875 2024-11-15 994,115 1,025,823Valeant Pharmaceuticals International Inc., Callable 64,000 5.500 2023-03-01 76,266 64,800Valeant Pharmaceuticals International Inc., Callable 645,000 7.500 2021-07-15 749,148 736,312Videotron Ltd., Callable 90,000 5.375 2024-06-15 116,934 124,315VRX Escrow Corp., Callable 447,000 5.375 2020-03-15 532,556 509,532VRX Escrow Corp., Callable 687,000 5.875 2023-05-15 885,899 700,189VRX Escrow Corp., Callable 1,831,000 6.125 2025-04-15 2,042,404 1,853,874Total Canadian Bonds 17,022,580 17,430,537

UNITED STATES BONDS – 72.5%21st Century Oncology Inc., Callable 176,094 11.000 2023-05-01 210,916 161,763AAF Holdings LLC / AAF Finance Co., Callable 172,326 12.000 2019-07-01 190,589 239,764Acco Brands Corp., Callable 90,000 5.250 2024-12-15 119,020 121,827Acco Brands Corp., Callable 220,000 6.750 2020-04-30 232,612 310,520ACI Worldwide Inc., Callable 153,000 6.375 2020-08-15 170,583 211,336ADT Corp. (The) 300,000 3.500 2022-07-15 308,291 385,217Advanced Micro Devices Inc., Convertible 200,000 2.125 2026-09-01 282,845 423,604AdvancePierre Foods Holdings Inc., Callable 266,000 5.500 2024-12-15 354,548 360,957AECOM, Callable 35,000 5.750 2022-10-15 38,330 49,847AECOM, Callable 95,000 5.875 2024-10-15 115,892 136,650Aegis Merger Sub Inc., Callable 1,205,000 10.250 2023-02-15 1,625,984 1,793,721AES Corp. (The) 75,000 6.000 2026-05-15 97,072 102,590AES Corp. (The), Callable 180,000 7.375 2021-07-01 231,950 270,090Air Medical Merger Sub Corp., Callable 612,000 6.375 2023-05-15 744,406 791,997



171




$ % $ $

AK Steel Corp., Callable 256,000 7.500 2023-07-15 326,643 381,931Albertsons Cos LLC / Safeway Inc. / New Albertson’s Inc. / Albertson’s LLC, Callable 215,000 5.750 2025-03-15 280,381 286,163Albertsons Cos LLC / Safeway Inc. / New Albertson’s Inc. / Albertson’s LLC, Callable 195,000 6.625 2024-06-15 255,138 273,272Alere Inc., Callable 426,000 6.375 2023-07-01 559,198 570,573Alere Inc., Callable 40,000 6.500 2020-06-15 40,422 53,106Aleris International Inc., Callable 79,000 7.875 2020-11-01 89,650 106,738Aleris International Inc., Callable 257,000 9.500 2021-04-01 338,387 371,360Allegheny Technologies Inc. 350,000 9.375 2019-06-01 458,795 504,570Allegheny Technologies Inc., Step Coupon, Callable 425,000 7.875 2023-08-15 516,500 561,397Alliance Data Systems Corp., Callable 267,000 5.875 2021-11-01 358,902 364,326Alliance Date Systems Corp., Callable 237,000 5.375 2022-08-01 304,181 308,294Allison Transmission Inc., Callable 168,000 5.000 2024-10-01 221,584 228,113Ally Financial Inc. 235,000 4.250 2021-04-15 314,650 318,889Ally Financial Inc. 240,000 4.625 2022-05-19 308,871 326,277Ally Financial Inc. 375,000 4.625 2025-03-30 466,241 497,236Ally Financial Inc. 1,485,000 5.125 2024-09-30 1,986,274 2,031,288Ally Financial Inc. 403,000 8.000 2020-03-15 527,205 613,403Ally Financial Inc., Callable 870,000 5.750 2025-11-20 1,169,884 1,168,172Alta Mesa Holdings L.P. / Alta Mesa Finance Services Corp., Callable 500,000 7.875 2024-12-15 665,000 697,346Altice US Finance I Corp., Callable 825,000 5.375 2023-07-15 1,029,806 1,152,004AMC Entertainment Holdings Inc., Callable 270,000 5.750 2025-06-15 339,561 372,041AMC Entertainment Holdings Inc., Callable 40,000 5.875 2026-11-15 53,478 54,983AMC Networks Inc., Callable 540,000 4.750 2022-12-15 715,099 731,409AMC Networks Inc., Callable 430,000 5.000 2024-04-01 569,503 581,697American Axle & Manufacturing Inc., Callable 50,000 6.250 2021-03-15 50,052 69,399American Axle & Manufacturing Inc., Callable 130,000 6.625 2022-10-15 173,624 180,647American Builders & Contractors Supply Co. Inc., Callable 363,000 5.750 2023-12-15 491,014 502,622American Energy Permian Holdings LLC, Callable 461,000 8.000 2020-06-15 578,277 621,315American Equity Investment Life Holding Co., Callable 400,000 6.625 2021-07-15 441,262 561,900American Greetings Corp., Callable 150,000 7.375 2021-12-01 174,420 205,935AmeriGas Finance LLC / AmeriGas Finance Corp., Callable 79,000 7.000 2022-05-20 108,886 111,704AmeriGas Partners L.P. / AmeriGas Finance Corp., Callable 110,000 5.500 2025-05-20 144,331 149,544Amkor Technology Inc., Callable 325,000 6.375 2022-10-01 372,145 455,999Amkor Technology Inc., Callable 250,000 6.625 2021-06-01 291,310 345,739AMN Healthcare Inc., Callable 622,000 5.125 2024-10-01 820,772 834,133AmSurg Corp., Callable 760,000 5.625 2022-07-15 1,029,935 1,054,615Anixter Inc. 125,000 5.500 2023-03-01 164,100 174,546Antero Midstream Partners L.P. / Antero Midstream Finance Corp., Callable 663,000 5.375 2024-09-15 855,663 902,453Antero Resources Corp., Callable 50,000 5.625 2023-06-01 63,609 68,980Antero Resources Corp., Series ‘WI’, Callable 115,000 5.125 2022-12-01 139,868 156,534Antero Resources Finance Corp., Callable 210,000 5.375 2021-11-01 245,300 289,013Antero Resources Finance Corp., Callable 160,000 6.000 2020-12-01 193,223 221,016Apex Tool Group LLC 355,000 7.000 2021-02-01 372,915 428,465APX Group Inc., Callable 750,000 8.750 2020-12-01 795,929 1,018,360Aramark Services Inc., Callable 180,000 4.750 2026-06-01 235,283 239,579Arconic Inc. 55,000 5.900 2027-02-01 75,196 77,261Argos Merger Sub Inc., Callable 530,000 7.125 2023-03-15 673,884 726,749Ashland Inc., Callable 435,000 4.750 2022-08-15 471,907 607,420Ashtead Capital Inc., Callable 760,000 6.500 2022-07-15 966,013 1,072,706Aspect Software Parent Inc. 79,403 3.000 2023-05-25 103,891 55,137Aurora Diagnostics Holdings / Aurora Diagnostics Financing Inc., Callable 1,270,000 10.750 2018-01-15 1,194,955 1,464,695Avaya Inc., Callable 372,000 7.000 2019-04-01 395,424 439,006Avaya Inc., Callable 476,000 9.000 2019-04-01 537,270 566,527Avaya Inc., Callable 102,000 10.500 2021-03-01 102,629 59,502Avis Budget Car Rental LLC / Avis Budget Finance Inc., Callable 305,000 5.250 2025-03-15 380,043 382,945Avis Budget Car Rental LLC / Avis Budget Finance Inc., Callable 766,000 5.500 2023-04-01 950,184 1,013,120Avis Budget Car Rental LLC / Avis Budget Finance Inc., Callable 205,000 6.375 2024-04-01 265,081 275,946Avis Budget Car Rental LLC/Avis Budget Finance Inc., Callable 20,000 5.125 2022-06-01 25,190 26,385Ball Corp., Callable 340,000 5.250 2025-07-01 476,460 478,185Bank of America Corp., Series ‘K’, Variable Rate, Perpetual 490,000 8.000 2049-07-29 555,704 676,007


172




$ % $ $

Bank of America Corp., Series ‘Z’, Variable Rate, Perpetual 600,000 6.500 2024-10-23 757,320 841,844Bank of America Corp., Variable Rate, Perpetual 305,000 5.125 2049-12-29 330,971 403,396Beacon Roofing Supply Inc., Callable, Exchangeable 235,000 6.375 2023-10-01 324,104 337,800Belden Inc., Callable 255,000 5.500 2022-09-01 279,667 353,937Berry Petroleum Co., Callable 521,000 6.375 2022-09-15 476,679 448,906Berry Petroleum Co., Callable 245,000 6.750 2020-11-01 249,787 211,098Berry Plastics Corp., Callable 15,000 5.125 2023-07-15 18,856 20,568Berry Plastics Corp., Callable 60,000 6.000 2022-10-15 79,167 85,492BioScrip Inc., Callable 474,000 8.875 2021-02-15 570,290 479,922Blue Cube Spinco Inc., Callable 850,000 9.750 2023-10-15 1,291,864 1,362,172Blue Cube Spinco Inc., Callable 165,000 10.000 2025-10-15 254,499 268,294Blue Racer Midstream LLC / Blue Racer Finance Corp., Callable 950,000 6.125 2022-11-15 1,160,112 1,280,367BMC East LLC, Callable 1,065,000 5.500 2024-10-01 1,373,371 1,428,218BMC Software Finance Inc., Callable 1,383,000 8.125 2021-07-15 1,556,116 1,742,233Boise Cascade Co., Callable 114,000 5.625 2024-09-01 146,900 152,498Bon-Ton Department Stores Inc. (The), Callable 1,911,000 8.000 2021-06-15 1,539,503 1,242,932Boxer Parent Co. Inc., Callable 480,000 9.000 2019-10-15 439,832 606,691Boyd Gaming Corp., Callable 412,000 6.375 2026-04-01 540,523 597,819Boyd Gaming Corp., Callable 345,000 6.875 2023-05-15 441,152 499,097Builders FirstSource Inc., Callable 590,000 5.625 2024-09-01 779,895 798,143Builders FirstSource Inc., Callable 343,000 10.750 2023-08-15 448,018 530,127Building Materials Corp. of America, Callable 95,000 6.000 2025-10-15 134,636 134,725BWAY Holding Co., Callable 385,000 9.125 2021-08-15 419,386 547,283Cablevision Systems Corp., Callable 805,000 5.875 2022-09-15 887,943 1,055,255Caesars Entertainment Operating Co. Inc., Callable 349,175 8.500 2020-02-15 348,520 491,674Caesars Entertainment Operating Co. Inc., Callable 1,136,009 9.000 2020-02-15 1,058,227 1,585,421Caesars Entertainment Operating Co. Inc., Callable 250,903 11.250 2017-06-01 275,238 344,044Calfrac Holdings L.P., Callable 386,000 7.500 2020-12-01 249,192 449,057California Resources Corp., Callable 1,245,000 8.000 2022-12-15 1,175,791 1,494,298Callon Petroleum Co., Callable 573,000 6.125 2024-10-01 753,094 795,316Calpine Corp., Callable 70,000 5.250 2026-06-01 91,703 92,935Calpine Corp., Callable 150,000 5.375 2023-01-15 160,661 197,637Calpine Corp., Callable 160,000 5.500 2024-02-01 200,922 208,131Calumet Specialty Products Partners L.P. / Calumet Finance Corp., Callable 295,000 7.625 2022-01-15 295,519 337,257Cardtronics Inc., Callable 585,000 5.125 2022-08-01 759,603 794,321Care Capital Properties L.P., Callable 821,000 5.125 2026-08-15 1,068,791 1,074,508Carrizo Oil & Gas Inc., Callable 55,000 6.250 2023-04-15 68,546 75,970CBS Radio Inc., Callable 555,000 7.250 2024-11-01 735,514 783,358CCO Holdings LLC / CCO Holdings Capital Corp., Callable 135,000 5.125 2023-05-01 171,892 186,926CCO Holdings LLC / CCO Holdings Capital Corp., Callable 967,000 5.375 2025-05-01 1,285,504 1,338,941CCO Holdings LLC / CCO Holdings Capital Corp., Callable 485,000 5.500 2026-05-01 652,969 665,043CCO Holdings LLC / CCO Holdings Capital Corp., Callable 665,000 5.750 2026-02-15 886,077 925,241CCO Holdings LLC / CCO Holdings Capital Corp., Callable 710,000 5.875 2024-04-01 964,312 1,018,796CCO Holdings LLC / CCO Holdings Capital Corp., Callable 255,000 5.875 2027-05-01 321,557 355,646CCO Holdings LLC / CCO Holdings Capital Corp., Callable 245,000 6.625 2022-01-31 281,469 340,878CDW LLC / CDW Finance Corp., Callable 147,000 5.500 2024-12-01 214,055 202,556CEB Inc., Callable 100,000 5.625 2023-06-15 129,874 130,752CEC Entertainment Inc., Callable 334,000 8.000 2022-02-15 380,364 459,108Cengage Learning Inc., Callable 645,000 9.500 2024-06-15 848,313 771,992Centene Corp., Callable 1,318,000 4.750 2025-01-15 1,753,795 1,729,944Central Garden & Pet Co., Callable 150,000 6.125 2023-11-15 197,999 213,227Century Communities Inc., Callable 525,000 6.875 2022-05-15 616,550 725,173CenturyLink Inc. 120,000 5.800 2022-03-15 160,150 165,091CenturyLink Inc. 1,090,000 6.750 2023-12-01 1,198,170 1,500,115CenturyLink Inc., Callable 675,000 5.625 2025-04-01 835,568 863,343CenturyLink Inc., Series ‘Y’, Callable 125,000 7.500 2024-04-01 163,146 176,432Cenveo Corp., Callable 1,351,000 6.000 2019-08-01 1,492,208 1,626,053Cenveo Corp., Callable 685,000 8.500 2022-09-15 335,228 643,033Cequel Communications Holdings I LLC / Cequel Capital Corp., Callable 129,000 5.125 2021-12-15 161,293 176,888Cequel Communications Holdings I LLC / Cequel Capital Corp., Callable 275,000 7.750 2025-07-15 337,638 407,512


173




$ % $ $

Ceridian HCM Holding Inc., Callable 17,000 11.000 2021-03-15 22,651 23,539CF Industries Inc. 380,000 3.450 2023-06-01 460,843 460,678CF Industries Inc. 180,000 5.150 2034-03-15 216,886 206,388Chemours Co. (The), Callable 190,000 6.625 2023-05-15 229,172 253,526Chemours Co. (The), Exchangeable, Callable 55,000 7.000 2025-05-15 66,044 73,020Cheniere Corpus Christi Holdings LLC 540,000 5.875 2025-03-31 716,121 741,590Cheniere Energy Inc., Convertible, Callable 159,000 4.250 2045-03-15 115,535 130,202Chesapeake Energy Corp., Callable 967,000 6.125 2021-02-15 1,165,142 1,270,859Chesapeake Energy Corp., Callable 45,000 6.875 2020-11-15 42,785 60,649Chesapeake Energy Corp., Callable 513,000 8.000 2022-12-15 490,218 744,715Chesapeake Energy Corp., Callable 762,000 8.000 2025-01-15 1,012,601 1,046,150Chesapeake Energy Corp., Convertible, Callable 76,000 5.500 2026-09-15 111,170 110,838Chesapeake Oilfield Operating LLC, Callable 383,000 6.625 2019-11-15 — —Chester Downs & Marina LLC, Callable 985,000 9.250 2020-02-01 971,227 1,274,702Chinos Intermediate Holdings A Inc., Pay-in-Kind, Callable 173,889 7.750 2019-05-01 139,123 96,775CHS / Community Health Systems Inc. 671,000 8.000 2019-11-15 899,536 751,370CHS / Community Health Systems Inc., Callable 365,000 6.875 2022-02-01 415,843 342,638Cinemark USA Inc., Callable 825,000 4.875 2023-06-01 998,424 1,125,728Citigroup Inc., Series ‘N’, Variable Rate, Perpetual 25,000 5.800 2019-11-15 33,910 33,862Citigroup Inc., Series ‘T’, Variable Rate, Perpetual 240,000 6.250 2026-08-15 308,304 331,588Citigroup Inc., Variable Rate, Perpetual 15,000 5.875 2020-03-27 20,299 20,342Citigroup Inc., Variable Rate, Perpetual 300,000 5.950 2049-07-29 327,642 408,350Claire’s Stores Inc., Callable 109,000 8.875 2019-03-15 76,055 24,850Claire’s Stores Inc., Callable 475,000 9.000 2019-03-15 511,974 324,869Clean Harbors Inc., Callable 75,000 5.125 2021-06-01 99,932 103,113Clean Harbors Inc., Callable 225,000 5.250 2020-08-01 244,301 309,053Clear Channel Worldwide Holdings Inc., Callable 135,000 6.500 2022-11-15 132,962 181,947Clear Channel Worldwide Holdings Inc., Callable 858,000 7.625 2020-03-15 1,000,552 1,154,211Clear Channel Worldwide Holdings Inc., Series ‘A’, Callable 120,000 7.625 2020-03-15 147,519 155,294Clear Channel Worldwide Holdings Inc., Series ‘WI’, Callable 965,000 6.500 2022-11-15 1,061,159 1,329,701Clearwater Paper Corp. 215,000 5.375 2025-02-01 278,650 286,163Cloud Crane LLC, Callable 636,000 10.125 2024-08-01 837,394 914,744Cloud Peak Energy Resources LLC / Cloud Peak Energy Finance Corp., Callable 180,000 12.000 2021-11-01 237,190 252,252ClubCorp Club Operations Inc., Callable 450,000 8.250 2023-12-15 635,177 642,698CNH Industrial Capital LLC 135,000 4.375 2020-11-06 176,199 186,247CNH Industrial Capital LLC 215,000 4.875 2021-04-01 284,176 300,580Cogent Communications Finance Inc., Callable 515,000 5.625 2021-04-15 574,380 699,274Cogent Communications Group Inc., Callable 543,000 5.375 2022-03-01 685,900 755,497Commmonwealth of Puerto Rico, Series ‘A’, Sinkable, Callable 225,000 5.125 2037-07-01 193,744 186,509Commmonwealth of Puerto Rico, Series ‘A’, Sinkable, Callable 40,000 5.250 2037-07-01 33,928 33,392Commonwealth of Puerto Rico, Series ‘A’, Callable 175,000 5.000 2041-07-01 140,883 141,984Commonwealth of Puerto Rico, Series ‘A’, Sinkable, Callable 825,000 8.000 2035-07-01 795,525 746,797CommScope Inc., Callable 165,000 5.500 2024-06-15 196,051 229,848CommScope Technologies Finance LLC, Callable 916,000 6.000 2025-06-15 1,157,212 1,308,248Communications Sales & Leasing Inc. / CSL Capital LLC, Callable 50,000 7.125 2024-12-15 65,655 67,891Communications Sales & Leasing Inc. / CSL Capital LLC, Callable 475,000 8.250 2023-10-15 572,724 678,404Communications Sales & Leasing Inc., Callable 480,000 6.000 2023-04-15 640,743 666,234Compass Minerals International Inc., Callable 269,000 4.875 2024-07-15 337,452 342,705Compressco Partners L.P. / Compressco Finance Corp., Callable 40,000 7.250 2022-08-15 42,709 50,960Comstock Resources Inc., Payment-In-Kind, Callable 384,000 10.000 2020-03-15 529,641 530,412Concho Resources Inc., Callable 150,000 5.500 2022-10-01 193,309 209,455Concho Resources Inc., Callable 170,000 5.500 2023-04-01 216,526 237,394CONSOL Energy Inc. 867,000 5.875 2022-04-15 1,001,449 1,145,250Continental Resources Inc., Callable 241,000 4.500 2023-04-15 290,360 318,345Continental Resources Inc., Callable 260,000 5.000 2022-09-15 314,233 353,255Contura Energy Inc. 398,557 10.000 2021-08-01 548,030 573,235Cooper-Standard Automotive Inc., Callable 80,000 5.625 2026-11-15 107,104 106,345Cornerstone Chemical Co., Callable 1,510,000 9.375 2018-03-15 1,826,260 2,040,173Corrections Corp. of America, Callable 355,000 4.625 2023-05-01 393,062 471,312


174


Corrections Corp. of America, Callable 75,000 5.000 2022-10-15 99,367 100,830Cortes NP Acquisition Corp., Callable 16,000 9.250 2024-10-15 21,028 22,851Cott Beverages Inc., Callable 311,000 5.375 2022-07-01 344,624 425,929Credit Acceptance Corp., Callable 865,000 7.375 2023-03-15 1,071,193 1,197,709Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., Callable 191,000 6.125 2022-03-01 249,524 263,825Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., Callable 105,000 6.250 2023-04-01 132,336 144,331Crimson Merger Sub Inc., Callable 1,291,250 6.625 2022-05-15 1,349,654 1,541,151CSC Holdings LLC 550,000 5.250 2024-06-01 637,102 722,826CTR Partnership L.P. / CareTrust Capital Corp., Callable 450,000 5.875 2021-06-01 491,216 617,051Cumulus Media Holdings Inc., Callable 1,130,000 7.750 2019-05-01 1,140,034 627,938CVR Partners L.P. / CVR Nitrogen Finance Corp., Callable 272,000 9.250 2023-06-15 343,550 377,076Dana Holding Corp., Callable 135,000 5.500 2024-12-15 162,521 185,568Dana Holding Corp., Callable 250,000 6.000 2023-09-15 322,383 351,607DaVita HealthCare Partners Inc., Callable 659,000 5.000 2025-05-01 836,564 871,600DaVita HealthCare Partners Inc., Callable 630,000 5.125 2024-07-15 689,597 844,333DCP Midstream LLC, Variable Rate, Callable 135,000 5.850 2043-05-21 122,364 154,791Dean Foods Co., Callable 255,000 6.500 2023-03-15 367,025 360,776Deck Chassis Acquisition Inc., Callable 205,000 10.000 2023-06-15 263,061 284,537Denbury Resources Inc., Callable 363,000 4.625 2023-07-15 273,427 393,092Denbury Resources Inc., Callable 135,000 5.500 2022-05-01 147,992 158,864Denbury Resources Inc., Callable 139,000 9.000 2021-05-15 193,010 202,716Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Callable 255,000 5.450 2023-06-15 328,834 363,221Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Callable 189,000 5.875 2021-06-15 239,784 269,755Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Callable 756,000 6.020 2026-06-15 1,038,708 1,100,236Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Callable 974,000 7.125 2024-06-15 1,334,237 1,450,910Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Callable 460,000 8.100 2036-07-15 596,336 735,748Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Callable 550,000 8.350 2046-07-15 748,376 910,990Diamondback Energy Inc., Callable 110,000 4.750 2024-11-01 145,348 145,303DISH DBS Corp. 2,145,000 5.000 2023-03-15 2,570,922 2,869,361DISH DBS Corp. 483,000 5.875 2022-07-15 542,007 683,352DISH DBS Corp. 1,665,000 5.875 2024-11-15 2,034,640 2,305,974DISH DBS Corp. 80,000 7.750 2026-07-01 101,496 121,231DISH DBS Corp., Callable 235,000 6.750 2021-06-01 274,357 342,722DJO Finco Inc. / DJO Finance LLC / DJO Finance Corp., Callable 599,000 8.125 2021-06-15 724,055 700,870Donnelley Financial Solutions Inc., Callable 276,000 8.250 2024-10-15 362,360 377,532Dynegy Inc., Callable 215,000 7.375 2022-11-01 248,453 276,793Dynegy Inc., Callable 255,000 7.625 2024-11-01 309,398 317,175Dynegy Inc., Callable 85,000 8.000 2025-01-15 112,140 107,435EarthLink Holdings Corp., Callable 300,000 7.375 2020-06-01 345,319 425,448Eldorado Resorts Inc., Callable 595,000 7.000 2023-08-01 835,504 849,790Embarq Corp. 505,000 7.995 2036-06-01 626,066 636,596Emdeon Inc., Callable 290,000 6.000 2021-02-15 381,657 407,377EMI Music Publishing Group North America Holdings Inc., Callable 280,000 7.625 2024-06-15 363,468 407,411Enable Midstream Partners L.P., Callable 348,000 3.900 2024-05-15 421,205 443,371Endeavor Energy Resources L.P., Callable 291,000 7.000 2021-08-15 299,620 407,807Endo Finance LLC / Endo Ltd / Endo Finco Inc., Callable 694,000 6.000 2025-02-01 876,839 784,105Endo Finance LLC / Endo Ltd. / Endo Finco Inc., Callable 498,000 6.000 2023-07-15 581,014 588,537Energizer Holdings Inc., Callable 235,000 5.500 2025-06-15 284,459 316,722Energy Transfer Equity L.P. 565,000 5.875 2024-01-15 651,053 786,107Energy Transfer Equity L.P. 257,000 7.500 2020-10-15 328,818 386,008Energy Transfer Equity L.P., Callable 250,000 5.500 2027-06-01 324,076 328,557EnLink Midstream Partners L.P. 220,000 2.700 2019-04-01 253,633 295,379EnLink Midstream Partners L.P., Callable 400,000 4.150 2025-06-01 410,341 521,596EnLink Midstream Partners L.P., Callable 95,000 4.400 2024-04-01 99,675 126,777EnLink Midstream Partners L.P., Callable 405,000 5.050 2045-04-01 377,532 494,134Entegris Inc., Callable 605,000 6.000 2022-04-01 723,721 846,831EP Energy LLC / EP Energy Finance Inc., Callable 445,000 9.375 2020-05-01 515,567 553,126EP Energy LLC / Everest Acquisition Finance Inc., Callable 75,000 7.750 2022-09-01 84,331 81,972EP Energy LLC / Everest Acquisition Finance Inc., Callable 60,000 8.000 2024-11-29 80,514 86,876Equinix Inc., Callable 55,000 5.375 2022-01-01 62,230 77,814



$ % $ $


175




$ % $ $

Equinix Inc., Callable 25,000 5.750 2025-01-01 28,286 35,203Equinix Inc., Callable 400,000 5.875 2026-01-15 548,162 565,923ESH Hospitality Inc., Callable 760,000 5.250 2025-05-01 991,827 1,016,650Exterran Partners L.P. / EXLP Finance Corp., Callable 350,000 6.000 2021-04-01 353,100 457,633Extraction Oil & Gas Holdings LLC / Extraction Finance Corp., Callable 395,000 7.875 2021-07-15 514,066 569,443FBM Finance Inc., Callable 145,000 8.250 2021-08-15 189,377 206,119Ferrellgas L.P. / Ferrellgas Finance Corp., Callable 100,000 6.750 2022-01-15 126,979 133,099Ferrellgas L.P. / Ferrellgas Finance Corp., Callable 150,000 6.750 2023-06-15 176,255 198,643FGI Operating Co. LLC. / FGI Finance Inc., Callable 250,000 7.875 2020-05-01 268,034 286,649First Data Corp., Callable 790,000 5.000 2024-01-15 1,094,791 1,069,039First Data Corp., Callable 535,000 5.375 2023-08-15 706,444 746,160First Data Corp., Callable 1,200,000 5.750 2024-01-15 1,580,285 1,666,598First Data Corp., Callable 776,000 7.000 2023-12-01 1,023,112 1,110,899Florida East Coast Holdings Corp., Callable 504,000 6.750 2019-05-01 608,073 701,235Freeport-McMoRan Copper & Gold Inc., Callable 215,000 3.550 2022-03-01 216,479 269,585Freeport-McMoRan Inc., Callable 1,145,000 3.875 2023-03-15 1,390,211 1,416,501Freeport-McMoRan Inc., Callable 40,000 4.550 2024-11-14 44,941 50,558Freeport-McMoRan Inc., Callable 160,000 5.400 2034-11-14 166,946 181,310Freeport-McMoRan Inc., Callable 1,385,000 5.450 2043-03-15 1,337,039 1,546,285Freeport-McMoRan Inc., Series ‘WI-1’, Callable 445,000 6.500 2020-11-15 513,067 616,162Fresenius Medical Care US Finance II Inc., Callable 187,000 4.750 2024-10-15 248,675 254,538Frontier Communications Corp. 90,000 7.125 2023-01-15 117,294 109,832Frontier Communications Corp. 301,000 7.625 2024-04-15 377,365 363,290Frontier Communications Corp., Callable 320,000 6.875 2025-01-15 357,337 365,302Frontier Communications Corp., Series ‘WI’, Callable 263,000 8.875 2020-09-15 349,882 376,944Frontier Communications Corp., Series ‘WI’, Callable 978,000 10.500 2022-09-15 1,292,654 1,383,748Frontier Communications Corp., Series ‘WI’, Callable 1,420,000 11.000 2025-09-15 1,898,329 1,973,322FTS International Inc., Callable 156,000 6.250 2022-05-01 133,810 174,685FTS International Inc., Floating Rate, Callable 225,000 8.604 2020-06-15 240,982 302,113Gannett Co. Inc., Callable 110,000 4.875 2021-09-15 118,742 150,466Gannett Co. Inc., Callable 100,000 5.500 2024-09-15 109,360 135,949Gardner Denver Inc. 95,000 6.875 2021-08-15 99,126 127,400Gates Global LLC, Callable 165,000 6.000 2022-07-15 196,285 217,512GCI Inc., Callable 190,000 6.750 2021-06-01 201,178 262,443GCP Applied Technologies Inc., Callable 340,000 9.500 2023-02-01 483,912 524,351General Cable Corp., Variable Rate, Callable 310,000 5.750 2022-10-01 323,849 405,332Genesis Energy L.P. / Genesis Energy Finance Corp., Callable 210,000 5.750 2021-02-15 211,712 285,845Genesis Energy L.P. / Genesis Energy Finance Corp., Callable 70,000 6.000 2023-05-15 81,810 95,986Genesis Energy L.P. / Genesis Energy Finance Corp., Callable 304,000 6.750 2022-08-01 368,511 425,617Genesys Telecommunications Laboratories Inc. / Greeneden Lux 3 Sarl / Greeneden U.S. Holdings II LLC 410,000 10.000 2024-11-30 549,298 585,569GenOn Americas Generation LLC, Callable 805,000 8.500 2021-10-01 924,843 906,818GenOn Americas Generation LLC, Callable 190,000 9.125 2031-05-01 204,842 210,210Geo Group Inc. (The), Callable 315,000 5.125 2023-04-01 377,042 407,646Geo Group Inc. (The), Callable 180,000 5.875 2022-01-15 199,870 245,613Geo Group Inc. (The), Callable 135,000 5.875 2024-10-15 151,880 179,458Geo Group Inc. (The), Callable 117,000 6.000 2026-04-15 148,676 154,942Glencore Funding LLC 231,000 4.125 2023-05-30 271,287 312,182GLP Capital L.P. / GLP Financing II Inc. 155,000 5.375 2026-04-15 200,166 217,300GLP Capital L.P. / GLP Financing II Inc., Callable 357,000 4.875 2020-11-01 479,357 505,086Goodyear Tire & Rubber Co. (The), Callable 55,000 5.000 2026-05-31 71,200 73,606Goodyear Tire & Rubber Co. (The), Callable 110,000 5.125 2023-11-15 143,952 152,679Gray Television Inc., Callable 525,000 5.125 2024-10-15 676,325 682,930Great Lakes Dredge & Dock Corp., Callable 300,000 7.375 2019-02-01 321,115 400,303Grinding Media Inc. / MC Grinding Media Canada Inc., Callable 473,000 7.375 2023-12-15 629,090 667,999Group 1 Automotive Inc., Callable 210,000 5.250 2023-12-15 281,027 280,212GTT Escrow Corp., Callable 735,000 7.875 2024-12-31 972,001 1,030,224Guitar Center Inc., Callable 496,000 6.500 2019-04-15 570,094 606,959Guitar Center Inc., Callable 1,720,000 9.625 2020-04-15 1,580,324 1,718,421Gulfport Energy Corp., Callable 312,000 6.000 2024-10-15 412,901 427,822H&E Equipment Services Inc., Callable 240,000 7.000 2022-09-01 284,938 340,358


176




$ % $ $

Halcon Resources Corp., Callable 253,000 8.625 2020-02-01 260,778 354,554Hanesbrands Inc., Callable 90,000 4.625 2024-05-15 114,246 117,677Harland Clarke Holdings Corp., Callable 2,034,000 9.250 2021-03-01 2,221,034 2,410,601Harland Clarke Holdings Corp., Callable 55,000 9.750 2018-08-01 73,157 75,510HCA Inc. 503,000 5.000 2024-03-15 552,104 695,628HCA Inc. 2,565,000 5.375 2025-02-01 3,268,342 3,452,692HCA Inc. 1,125,000 5.875 2023-05-01 1,618,619 1,606,746HCA Inc. 160,000 7.690 2025-06-15 237,213 234,416HCA Inc., Callable 90,000 4.500 2027-02-15 113,072 118,884HCA Inc., Callable 385,000 5.250 2025-04-15 520,506 540,183HCA Inc., Callable 328,000 5.250 2026-06-15 440,905 455,809HCA Inc., Callable 650,000 5.875 2026-02-15 874,261 900,012HCA Inc., Callable 1,075,000 7.500 2022-02-15 1,206,067 1,639,853HD Supply Inc., Callable 340,000 5.750 2024-04-15 450,402 482,494HDTFS Inc., Callable 350,000 6.250 2022-10-15 421,941 442,379HealthSouth Corp., Callable 107,000 5.125 2023-03-15 134,799 142,775HealthSouth Corp., Callable 540,000 5.750 2024-11-01 699,198 736,840HealthSouth Corp., Callable 423,000 5.750 2025-09-15 560,562 567,264Hecla Mining Co., Callable 352,000 6.875 2021-05-01 442,458 485,031Herc Rentals Inc., Callable 130,000 7.500 2022-06-01 170,092 184,579Herc Rentals Inc., Callable 215,000 7.750 2024-06-01 279,158 304,544Hertz Corp. (The), Callable 125,000 5.500 2024-10-15 161,194 147,306Hertz Corp. (The), Callable 285,000 7.375 2021-01-15 366,935 385,066Hexion Inc., Callable 790,000 10.000 2020-04-15 996,311 1,058,105Hexion U.S. Finance Corp., Callable 1,246,000 6.625 2020-04-15 1,394,511 1,487,144Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, Callable 175,000 8.875 2018-02-01 169,860 234,684Hilcorp Energy I L.P. / Hilcorp Finance Co., Callable 178,000 5.000 2024-12-01 198,562 238,110Hilcorp Energy I L.P. / Hilcorp Finance Co., Callable 166,000 5.750 2025-10-01 185,185 226,510Hillman Group Inc., Callable 625,000 6.375 2022-07-15 737,416 792,058Hill-Rom Holdings Inc., Callable 440,000 5.750 2023-09-01 585,887 612,189Hilton Domestic Operating Co. Inc., Callable 743,000 4.250 2024-09-01 981,225 971,490Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc., Callable 40,000 6.125 2024-12-01 54,080 55,989Hockey Merger Sub 2 Inc., Callable 605,000 7.875 2021-10-01 702,607 859,131HRG Group Inc., Callable 418,000 7.750 2022-01-15 483,949 587,185HRG Group Inc., Callable 35,000 7.875 2019-07-15 44,186 48,961HUB International Ltd., Callable 90,000 9.250 2021-02-15 126,587 125,070Hughes Satellite Systems Corp. 510,000 5.250 2026-08-01 660,325 671,967Hughes Satellite Systems Corp. 40,000 6.625 2026-08-01 52,120 54,044Huntington Ingalls Industries Inc., Callable 53,000 5.000 2025-11-15 69,358 74,008Huntsman International LLC, Callable 400,000 5.125 2022-11-15 509,562 549,831IASIS Healthcare LLC / IASIS Capital Corp., Callable 1,002,000 8.375 2019-05-15 1,267,061 1,175,766Icahn Enterprises L.P. / Icahn Enterprises Finance Corp., Callable 771,000 5.875 2022-02-01 915,078 1,031,365Icahn Enterprises L.P. / Icahn Enterprises Finance Corp., Callable 550,000 6.000 2020-08-01 615,179 756,939iHeartCommunications Inc., Callable 360,000 9.000 2019-12-15 362,239 396,481iHeartCommunications Inc., Callable 335,000 9.000 2021-03-01 317,078 334,131iHeartCommunications Inc., Callable 550,000 9.000 2022-09-15 601,063 544,885iHeartCommunications Inc., Callable 235,000 10.625 2023-03-15 281,918 239,512iHeartCommunications Inc., Callable 865,784 14.000 2021-02-01 574,184 448,459IMS Health Inc., Callable 1,425,000 5.000 2026-10-15 1,879,504 1,920,551Inception Merger Sub Inc. / Rackspace Hosting Inc., Callable 165,000 8.625 2024-11-15 220,987 234,760Infinity Acquisition LLC, Callable 175,000 7.250 2022-08-01 200,413 198,894Infor (US) Inc., Callable 995,000 6.500 2022-05-15 1,247,805 1,397,726Infor Software Parent LLC / Infor Software Parent Inc., Pay-In-Kind, Callable 340,000 7.125 2021-05-01 391,637 471,916Inn of the Mountain Gods Resort & Casino, Step Rate, Callable 1,245,000 9.250 2021-04-01 1,450,932 1,527,691Interval Acquisition Corp., Callable 205,000 5.625 2023-04-15 260,450 281,788inVentiv Group Holdings Inc. / inVentiv Health Inc. / inVentiv Health Clinical Inc., Callable 219,000 7.500 2024-10-01 286,846 309,079inVentiv Health Inc., Callable 285,000 9.000 2018-01-15 326,091 382,983Iron Mountain Inc., Callable 185,000 6.000 2023-08-15 197,885 264,841IronGate Energy Services LLC, Callable 75,000 11.000 2018-07-01 71,932 29,168Ironwood Pharmaceuticals Inc., Callable 575,393 11.000 2024-06-15 791,418 775,971


177




$ % $ $

Isle of Capri Casinos Inc., Callable 150,000 5.875 2021-03-15 166,322 208,324Italics Merger Sub Inc., Callable 560,000 7.125 2023-07-15 689,314 720,948J.C. Penney Co. Inc. 165,000 6.375 2036-10-15 143,594 187,252Jack Cooper Holdings Corp., Step Rate, Callable 315,000 9.250 2020-06-01 339,254 184,813Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp.,Callable 150,000 6.750 2021-11-15 200,670 204,175JBS USA LLC / JBS USA Finance Inc., Callable 380,000 5.750 2025-06-15 467,832 518,517JBS USA LLC / JBS USA Finance Inc., Callable 140,000 5.875 2024-07-15 175,353 194,788JC Penney Corp. Inc. 115,000 8.125 2019-10-01 158,562 167,330JC Penney Corp. Inc., Callable 140,000 5.875 2023-07-01 183,535 194,083JDA Escrow LLC / JDA Bond Finance Inc., Callable 61,000 7.375 2024-10-15 79,434 85,076Jefferies Finance LLC, Callable 655,000 6.875 2022-04-15 742,322 852,036Jones Energy Holdings LLC / Jones Energy Finance Corp., Callable 569,000 9.250 2023-03-15 732,350 778,319JPMorgan Chase & Co., Series ‘1’, Variable Rate, Perpetual 286,000 7.900 2018-04-30 356,354 397,635JPMorgan Chase & Co., Variable Rate, Perpetual 465,000 6.750 2024-02-01 579,887 672,696JPMorgan Chase & Co., Variable Rate, Perpetual 995,000 6.000 2049-12-29 1,362,880 1,342,684Kaiser Aluminum Corp., Callable 227,000 5.875 2024-05-15 298,852 315,834KeHE Distributors LLC, Callable 450,000 7.625 2021-08-15 473,316 601,964Kennedy-Wilson Inc., Callable 100,000 5.875 2024-04-01 110,742 137,122KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, Callable 125,000 5.000 2024-06-01 163,856 171,612KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, Callable 125,000 5.250 2026-06-01 163,856 170,565Kindred Healthcare Inc. 130,000 8.000 2020-01-15 149,884 174,337Kindred Healthcare Inc., Callable 1,170,000 6.375 2022-04-15 1,312,156 1,406,242Kindred Healthcare Inc., Callable 315,000 8.750 2023-01-15 388,179 396,557Kinetic Concepts Inc. / KCI USA Inc., Callable 385,000 7.875 2021-02-15 535,489 561,481Kinetic Concepts Inc. / KCI USA Inc., Callable 770,000 9.625 2021-10-01 1,013,243 1,097,147KLX Inc., Callable 580,000 5.875 2022-12-01 685,859 804,060Kraton Polymers LLC, Callable 160,000 10.500 2023-04-15 195,396 242,998Kratos Defense & Security Solutions Inc., 1st Lien, Callable 215,000 7.000 2019-05-15 230,659 280,397L Brands Inc. 570,000 6.750 2036-07-01 727,291 777,775L Brands Inc. 355,000 6.875 2035-11-01 474,297 487,975Lamar Media Corp., Series ‘WI’, Callable 298,000 5.750 2026-02-01 427,730 422,112Lamb Weston Holdings Inc., Callable 270,000 4.625 2024-11-01 361,206 363,894Lamb Weston Holdings Inc., Callable 270,000 4.875 2026-11-01 361,206 359,142Landry’s Inc., Callable 43,000 6.750 2024-10-15 56,852 58,674Laredo Petroleum Inc., Callable 80,000 5.625 2022-01-15 88,019 108,625Laureate Education Inc., Callable 450,000 9.250 2019-09-01 517,096 619,314Lee Enterprises Inc., Callable 245,000 9.500 2022-03-15 328,968 349,913Level 3 Communications Inc., Callable 160,000 5.750 2022-12-01 182,109 221,005Level 3 Financing Inc., Callable 152,000 5.125 2023-05-01 189,438 205,114Level 3 Financing Inc., Callable 270,000 5.375 2022-08-15 350,206 374,756Level 3 Financing Inc., Callable 392,000 5.375 2024-01-15 535,851 532,263Level 3 Financing Inc., Callable 527,000 5.375 2025-05-01 663,108 722,635Liberty Interactive LLC 90,000 8.250 2030-02-01 102,302 129,143Liberty Interactive LLC, Convertible, Callable 1,123,896 3.750 2030-02-15 822,368 877,945Liberty Interactive LLC, Convertible, Callable 2,034,806 4.000 2029-11-15 1,557,274 1,637,266LifePoint Health Inc., Callable 355,000 5.875 2023-12-01 482,825 483,214Limited Brands Inc., Callable 182,000 6.950 2033-03-01 204,076 245,291LIN Television Corp., Callable 66,000 5.875 2022-11-15 74,040 90,279Live Nation Entertainment Inc., Callable 395,000 4.875 2024-11-01 529,843 532,363LKQ Corp., Callable 145,000 4.750 2023-05-15 190,511 194,452LSB Industries Inc., Callable 282,000 7.750 2019-08-01 328,120 349,813LTF Merger Sub Inc., Callable 799,000 8.500 2023-06-15 996,786 1,114,359Magnachip Semiconductor Corp., Callable 245,000 6.625 2021-07-15 257,338 285,845Manitowoc Foodservice Inc., Callable 70,000 9.500 2024-02-15 96,908 108,659McClatchy Co. (The), Callable 550,000 9.000 2022-12-15 669,561 789,208McGraw-Hill Education, Callable 42,000 7.875 2024-05-15 52,674 56,958MEDNAX Inc., Callable 330,000 5.250 2023-12-01 447,234 456,929Memorial Production Partners L.P., Callable 1,220,000 6.875 2022-08-01 1,267,503 785,319MGIC Investment Corp. 470,000 5.750 2023-08-15 613,844 658,657MGIC Investment Corp., Convertible, Callable 190,000 9.000 2063-04-01 306,618 320,092


178




$ % $ $

MGM Growth Properties Operating Partnership L.P. / MGP Finance Co-Issuer Inc., Callable 85,000 4.500 2026-09-01 111,507 110,000MGM Resorts International 853,000 6.000 2023-03-15 1,025,190 1,238,289MGM Resorts International 690,000 7.750 2022-03-15 906,450 1,066,436MGM Resorts International, Callable 400,000 4.625 2026-09-01 510,246 518,986MGM Resorts International, Callable 185,000 6.750 2020-10-01 271,446 276,625MGP Escrow Issuer LLC / MGP Escrow Co-Issuer Inc., Callable 1,165,000 5.625 2024-05-01 1,548,580 1,640,439Micron Technology Inc., Callable 970,000 5.250 2023-08-01 1,151,858 1,312,201Micron Technology Inc., Callable 350,000 5.250 2024-01-15 420,964 469,368Micron Technology Inc., Callable 276,000 5.875 2022-02-15 320,147 387,248Micron Technology Inc., Callable 850,000 7.500 2023-09-15 1,091,703 1,265,281Microsemi Corp., Callable 525,000 9.125 2023-04-15 744,320 823,740Midcontinent Communications & Midcontinent Finance Corp., Callable 963,000 6.875 2023-08-15 1,287,653 1,381,831Mirabela Nickel Ltd. 7,278 1.000 2044-09-10 – 976Mohegan Tribal Finance Authority, Sinkable, Callable 970,000 7.000 2045-02-01 1,198,342 1,321,879Mohegan Tribal Gaming Authority, Callable 482,000 7.875 2024-10-15 626,721 661,738Molina Healthcare Inc., Callable 97,000 5.375 2022-11-15 127,696 132,683Monitronics International Inc., Callable 1,630,000 9.125 2020-04-01 1,871,415 2,071,151Morgan Stanley, Series ‘J’, Variable Rate, Perpetual 445,000 5.550 2020-07-15 598,936 604,227MPH Acquisition Holdings LLC, Callable 248,000 7.125 2024-06-01 334,380 350,906MPLX L.P., Series ‘WI’, Callable 292,000 4.875 2024-12-01 333,653 403,856MPLX L.P., Series ‘WI’, Callable 185,000 5.500 2023-02-15 258,142 258,146MPT Operating Partnership L.P. and MPT Finance Corp., Callable 49,000 5.250 2026-08-01 63,617 64,562MSCI Inc., Callable 315,000 4.750 2026-08-01 410,776 421,375Murphy Oil Corp., Callable 70,000 6.875 2024-08-15 90,601 100,210Murphy Oil USA Inc., Callable 270,000 6.000 2023-08-15 290,740 379,282Murray Energy Corp., Callable 862,000 11.250 2021-04-15 903,304 901,668Nabors Industries Inc., Callable 105,000 5.500 2023-01-15 139,650 146,971Nationstar Mortgage LLC / Nationstar Capital Corp., Callable 50,000 6.500 2018-08-01 51,537 68,226Nationstar Mortgage LLC / Nationstar Capital Corp., Callable 475,000 6.500 2021-07-01 499,538 648,146Navient Corp. 820,000 6.625 2021-07-26 1,097,998 1,165,641Navient Corp. 467,000 7.250 2023-09-25 614,507 645,058NBTY Inc., Callable 430,000 7.625 2021-05-15 547,967 598,276NCI Building Systems Inc., Callable 290,000 8.250 2023-01-15 372,220 421,961NCR Corp., Callable 500,000 5.000 2022-07-15 679,191 687,288Neiman Marcus Group Ltd. LLC 325,000 8.000 2021-10-15 371,969 325,791Neiman Marcus Group Ltd. LLC, Pay-In-Kind, Callable 215,000 8.750 2021-10-15 243,884 205,432Neptune Finco Corp., Callable 1,525,000 10.125 2023-01-15 2,061,583 2,367,205Neptune Finco Corp., Callable 885,000 10.875 2025-10-15 1,207,403 1,415,294Netflix Inc. 279,000 4.375 2026-11-15 372,521 363,396Netflix Inc. 95,000 5.500 2022-02-15 119,581 137,910Netflix Inc. 396,000 5.875 2025-02-15 506,579 574,204New Albertsons Inc. 20,000 7.750 2026-06-15 17,328 26,687New Albertsons Inc., Callable 865,000 7.450 2029-08-01 885,954 1,102,008New Albertsons Inc., Callable 1,730,000 8.000 2031-05-01 1,806,384 2,233,016New Amethyst Corp., Callable 551,000 6.250 2024-12-01 739,828 781,406New Enterprise Stone & Lime Co. Inc., Callable 115,000 11.000 2018-09-01 154,598 154,606Newfield Exploration Co., Callable 420,000 5.375 2026-01-01 529,329 577,097Newfield Exploration Co., Callable 240,000 5.625 2024-07-01 302,951 337,140Newfield Exploration Co., Callable 175,000 5.750 2022-01-30 227,078 248,471Nexstar Escrow Corp., Callable 368,000 5.625 2024-08-01 477,774 491,039Nexstar Finance Inc., Callable 85,000 6.125 2022-02-15 106,272 118,549Nexstar Finance Inc., Callable 275,000 6.875 2020-11-15 300,938 382,618NGL Energy Partners L.P. / NGL Energy Finance Corp., Callable 475,000 7.500 2023-11-01 618,189 660,886Nielsen Finance LLC / Nielsen Finance Co., Callable 250,000 4.500 2020-10-01 335,840 341,549Nielsen Finance LLC / Nielsen Finance Co., Callable 620,000 5.000 2022-04-15 760,402 850,159Nine West Holdings Inc., 1,450,000 8.250 2019-03-15 1,282,920 388,905Noble Energy Inc., Callable 680,000 5.625 2021-05-01 858,376 952,290Noranda Aluminum Acqusition Corp., Callable 65,000 11.000 2019-06-01 66,811 5Northern Oil and Gas Inc., Callable 256,000 8.000 2020-06-01 241,031 284,088Novelis Corp., Callable 285,000 5.875 2026-09-30 367,855 386,977


179




$ % $ $

Novelis Corp., Callable 65,000 6.250 2024-08-15 84,274 92,616NRG Energy Inc., Callable 85,000 6.250 2022-07-15 92,841 114,844NRG Energy Inc., Callable 195,000 6.625 2027-01-15 253,828 248,430NRG Energy Inc., Callable 9,000 7.875 2021-05-15 10,485 12,643Nuance Communications Inc., Callable 410,000 5.625 2026-12-15 537,119 541,995Nustar Logistics L.P., Callable 305,000 6.750 2021-02-01 351,990 443,787Oasis Petroleum Inc., Callable 80,000 6.500 2021-11-01 97,628 109,832Oasis Petroleum Inc., Callable 410,000 6.875 2022-03-15 444,016 566,325Oasis Petroleum Inc., Callable 165,000 6.875 2023-01-15 142,042 227,911Omega US Sub LLC, Callable 1,076,000 8.750 2023-07-15 1,345,471 1,515,118Onex USI Acquisition Corp. (Compass Investors Inc.) 335,000 7.750 2021-01-15 346,060 458,518Opal Acquisition Inc., Callable 404,000 8.875 2021-12-15 431,437 465,934Oshkosh Corp., Callable 125,000 5.375 2022-03-01 159,519 174,756Oshkosh Corp., Callable 50,000 5.375 2025-03-01 62,138 68,729Outfront Media Capital LLC, Callable 394,000 5.250 2022-02-15 521,441 550,169Owens-Brockway Glass Container Inc. 55,000 5.875 2023-08-15 76,639 77,031PaperWorks Industries Inc., Callable 536,000 9.500 2019-08-15 671,008 625,358Paris Las Vegas Holding LLC / Harrah’s Las Vegas LLC / Flamingo Las Vegas Hold, Callable 642,000 8.000 2020-10-01 714,375 906,154Parker Drilling Co., Callable 1,676,000 6.750 2022-07-15 1,754,005 1,955,412Parsley Energy LLC / Parsley Finance Corp., Callable 484,000 5.375 2025-01-15 643,236 654,520Parsley Energy LLC / Parsley Finance Corp., Callable 35,000 6.250 2024-06-01 45,895 49,626PBF Holding Co. LLC / PBF Finance Corp., Callable 192,000 7.000 2023-11-15 255,792 257,482PDC Energy Inc., Callable 47,000 6.125 2024-09-15 61,467 64,763PDC Energy Inc., Callable 180,000 7.750 2022-10-15 257,353 258,286PF Chang’s China Bistro, Inc. 412,000 10.250 2020-06-30 471,408 542,844Plantronics Inc., Callable 675,000 5.500 2023-05-31 895,301 916,524Plastipak Holdings Inc., Callable 335,000 6.500 2021-10-01 363,745 471,714Platform Specialty Products Corp., Callable 470,000 6.500 2022-02-01 532,384 638,172PNK Entertainment Inc., Callable 500,000 5.625 2024-05-01 666,440 673,878Pomegranate Merger Sub Inc., Callable 403,000 9.750 2023-05-01 490,075 463,430Post Holdings Inc., Callable 635,000 5.000 2026-08-15 839,946 817,504Post Holdings Inc., Callable 40,000 6.000 2022-12-15 45,331 56,190Post Holdings Inc., Callable 35,000 6.750 2021-12-01 39,028 50,222Post Holdings Inc., Callable 445,000 7.750 2024-03-15 621,145 665,395Post Holdings Inc., Callable 120,000 8.000 2025-07-15 155,820 181,042PQ Corp., Callable 408,000 6.750 2022-11-15 522,974 586,817Prestige Brands Inc., Callable 335,000 5.375 2021-12-15 408,730 464,976Prestige Brands Inc., Callable 55,000 6.375 2024-03-01 76,295 77,814Prime Security Services Borrower LLC / Prime Finance Inc., Callable 2,230,000 9.250 2023-05-15 2,976,266 3,263,428Project Homestake Merger Corp., Callable 290,000 8.875 2023-03-01 365,129 412,239PTC Inc., Callable 180,000 6.000 2024-05-15 234,066 255,269PulteGroup Inc., Callable 202,000 5.000 2027-01-15 266,903 258,363PulteGroup Inc., Callable 70,000 5.500 2026-03-01 95,130 93,521Qorvo Inc., Callable 258,000 6.750 2023-12-01 344,327 381,887Qorvo Inc., Callable 323,000 7.000 2025-12-01 431,076 481,890Quorum Health Corp., Callable 130,000 11.625 2023-04-15 168,694 146,879Qwest Capital Funding Inc., Callable 160,000 7.750 2031-02-15 180,079 196,330R.R. Donnelley & Sons Co. 234,000 7.625 2020-06-15 313,555 327,927Radio One Inc., Callable 1,251,000 7.375 2022-04-15 1,575,152 1,669,265Radio One Inc., Callable 764,000 9.250 2020-02-15 884,991 934,913Radio Systems Corp., Callable 335,000 8.375 2019-11-01 392,840 468,626Rain CII Carbon LLC / CII Carbon Corp., Callable 1,195,000 8.250 2021-01-15 1,369,737 1,594,542Range Resources Corp., Callable 100,000 4.875 2025-05-15 121,525 130,585Range Resources Corp., Callable 50,000 5.000 2023-03-15 64,627 66,550RCN Telecom Services LLC., Callable 215,000 8.500 2020-08-15 231,735 305,986Realogy Group LLC / Realogy Co-Issuer Corp., Callable 378,000 4.875 2023-06-01 485,970 491,709Realogy Group LLC / Realogy Co-Issuer Corp., Callable 55,000 5.250 2021-12-01 63,950 75,970Regal Entertainment Group, Callable 130,000 5.750 2022-03-15 150,324 183,053Regal Entertainment Group, Callable 85,000 5.750 2023-06-15 110,773 116,946Regency Energy Partners L.P. / Regency Energy Finance Corp., Callable 95,000 5.500 2023-04-15 93,573 132,177


180


Regency Energy Partners L.P. / Regency Energy Finance Corp., Callable 225,000 5.875 2022-03-01 284,389 332,283RegionalCare Hospital Partners Holdings Inc., Callable 202,000 8.250 2023-05-01 255,510 271,569Reichhold Industries Inc., Callable 191,678 9.000 2017-05-08 127,727 —Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) SA 415,000 5.750 2020-10-15 473,277 574,623Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) SA, Call 64,814 6.875 2021-02-15 77,107 89,439Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC, Callable 185,000 7.000 2024-07-15 236,051 264,220RHP Hotel Properties L.P / RHP Finance Corp., Callable 500,000 5.000 2023-04-15 636,118 680,583RHP Hotel Properties L.P. / RHP Finance Corp., Callable 280,000 5.000 2021-04-15 298,789 383,004Rice Energy Inc., Callable 310,000 7.250 2023-05-01 395,134 442,748Rite Aid Corp. 675,000 6.875 2028-12-15 653,762 1,072,672Rite Aid Corp., Callable 750,000 6.125 2023-04-01 954,488 1,084,993Rivers Pittsburgh Borrower L.P. / Rivers Pittsburg Finance Corp., Callable 234,000 6.125 2021-08-15 312,782 321,651Rose Rock Midstream L.P. / Rose Rock Finance Corp., Callable 1,315,000 5.625 2022-07-15 1,369,687 1,741,437Rowan Cos Inc., Callable 636,000 7.375 2025-06-15 845,244 872,098Rowan Cos. Inc., Callable 285,000 5.850 2044-01-15 229,639 298,115RSI Home Products Inc., Callable 310,000 6.500 2023-03-15 391,888 436,512RSP Permian Inc., Callable 50,000 5.250 2025-01-15 65,655 67,555RSP Permian Inc., Callable 75,000 6.625 2022-10-01 90,912 106,865Sabine Pass Liquefaction LLC 400,000 5.625 2023-04-15 441,879 572,628Sabine Pass Liquefaction LLC 905,000 6.250 2022-03-15 1,026,165 1,335,015Sabine Pass Liquefaction LLC, Callable 145,000 5.000 2027-03-15 191,269 196,883Sabine Pass Liquefaction LLC, Callable 213,000 5.625 2025-03-01 265,952 306,710Sabine Pass Liquefaction LLC, Callable 625,000 5.750 2024-05-15 767,549 903,113Sabine Pass Liquefaction LLC, Callable 715,000 5.875 2026-06-30 907,120 1,036,757Sabre GLBL Inc., Callable 1,040,000 5.250 2023-11-15 1,401,034 1,439,141Sabre GLBL Inc., Callable 195,000 5.375 2023-04-15 247,430 268,042Sally Holdings LLC / Sally Capital Inc., Callable 720,000 5.625 2025-12-01 978,503 1,009,006Sanchez Energy Corp., Callable 40,000 7.750 2021-06-15 45,064 54,849Sanchez Energy Corp., Series ‘WI’, Callable 110,000 6.125 2023-01-15 106,219 140,877SandRidge Energy Inc., Callable 950,000 7.500 2023-02-15 — —SandRidge Energy Inc., Callable 631,000 8.125 2022-10-15 — —SandRidge Energy Inc., Callable 50,000 8.750 2020-01-15 — —SandRidge Energy Inc., Callable 572,000 8.750 2020-06-01 — —SandRidge Energy Inc., Zero Coupon, Convertible, Callable 114,216 — 2020-10-04 174,226 191,557SBA Communications Corp., Callable 160,000 4.875 2024-09-01 206,933 212,422Scientific Games Corp., Callable 60,000 8.125 2018-09-15 71,478 81,569Scientific Games International Inc., Callable 930,000 10.000 2022-12-01 1,092,755 1,247,177Scotts Miracle-Gro Co. (The), Callable 60,000 5.250 2026-12-15 78,786 80,664Scotts Miracle-Gro Co. (The), Callable 227,000 6.000 2023-10-15 302,083 323,445Select Medical Corp., Callable 930,000 6.375 2021-06-01 1,172,422 1,253,412Service Corp. International, Callable 330,000 7.500 2027-04-01 382,384 515,567Servicemaster Co. LLC (The), Callable 182,000 5.125 2024-11-15 243,625 248,342SESI LLC, Callable 1,477,000 7.125 2021-12-15 1,773,447 2,025,297Signode Industrial Group Lux SA / Signode Industrial Group US Inc., Callable 255,000 6.375 2022-05-01 281,780 342,823Sinclair Television Group Inc., Callable 60,000 5.125 2027-02-15 77,463 76,842Sinclair Television Group Inc., Callable 685,000 5.625 2024-08-01 859,895 941,585Sinclair Television Group Inc., Callable 400,000 5.875 2026-03-15 524,140 539,773Sinclair Television Group Inc., Callable 205,000 6.125 2022-10-01 263,610 287,974Sirius XM Radio Inc., Callable 1,365,000 5.375 2025-04-15 1,736,533 1,825,957Sirius XM Radio Inc., Callable 395,000 5.375 2026-07-15 511,090 519,120Sirius XM Radio Inc., Callable 80,000 5.750 2021-08-01 87,196 111,945Sirius XM Radio Inc., Callable 175,000 6.000 2024-07-15 231,044 245,831Six Flags Entertainment Corp., Callable 665,000 4.875 2024-07-31 848,890 882,880SM Energy Co. 1,265,000 6.750 2026-09-15 1,686,101 1,755,803SM Energy Co., Callable 85,000 5.625 2025-06-01 103,296 110,570SM Energy Co., Callable 45,000 6.125 2022-11-15 50,866 61,403SM Energy Co., Callable 55,000 6.500 2023-01-01 72,091 75,325Solera LLC / Solera Finance Inc., Callable 210,000 10.500 2024-03-01 271,100 318,231Southwestern Energy Co. 25,000 4.100 2022-03-15 30,272 31,843Southwestern Energy Co., Callable 740,000 4.950 2025-01-23 862,283 1,019,667



$ % $ $


181


Spanish Broadcasting System Inc., Callable 256,000 12.500 2017-04-15 308,616 344,596Spectrum Brands Inc., Callable 85,000 5.750 2025-07-15 101,669 118,834Spectrum Brands Inc., Callable 380,000 6.125 2024-12-15 437,597 540,175Spectrum Brands Inc., Callable 60,000 6.625 2022-11-15 64,134 85,894Sprint Capital Corp. 752,000 6.875 2028-11-15 838,342 998,385Sprint Capital Corp. 1,020,000 8.750 2032-03-15 1,102,241 1,508,078Sprint Capital Corp., Callable 95,000 6.900 2019-05-01 112,064 135,203Sprint Communications Inc. 220,000 7.000 2020-03-01 261,573 320,846Sprint Communications Inc. 175,000 9.000 2018-11-15 242,555 259,326Sprint Corp. 595,000 7.125 2024-06-15 693,227 823,857Sprint Corp. 715,000 7.250 2021-09-15 820,381 1,021,176Sprint Corp. 3,901,000 7.875 2023-09-15 4,632,713 5,597,637Sprint Corp., Callable 1,344,000 7.625 2025-02-15 1,625,478 1,899,249Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, Series ‘A-1’ 345,000 3.360 2021-09-20 455,858 464,684SPX FLOW Inc., Callable 131,000 5.625 2024-08-15 170,837 177,434SPX FLOW Inc., Callable 161,000 5.875 2026-08-15 210,624 216,449Standard Industries Inc., Callable 105,000 5.500 2023-02-15 143,702 146,457StandardAero Aviation Holdings Inc., Callable 1,540,000 10.000 2023-07-15 2,023,509 2,183,967Starwood Property Trust Inc., Callable 532,000 5.000 2021-12-15 700,431 724,782Steel Dynamics Inc., Callable 205,000 5.500 2024-10-01 239,109 292,097Sterigenics- Nordion Holdings LLC, Callable 345,000 6.500 2023-05-15 418,667 471,916Summit Materials LLC / Summit Materials Finance Corp., Callable 350,000 6.125 2023-07-15 445,505 484,031Summit Materials LLC / Summit Materials Finance Corp., Callable 95,000 8.500 2022-04-15 130,962 141,414Summit Midstream Holdings LLC / Summit Midstream Finance Corp., Callable 153,000 5.500 2022-08-15 188,440 201,077Summit Midstream Holdings LLC / Summit Midstream Finance Corp., Callable 150,000 7.500 2021-07-01 153,007 212,221Sunoco L.P. / Sunoco Finance Corp., Callable 180,000 6.250 2021-04-15 235,015 246,519SUPERVALU Inc., Series ‘WI’, Callable 855,000 6.750 2021-06-01 921,169 1,163,797Surgical Care Affiliates Inc., Callable 153,000 6.000 2023-04-01 195,266 212,875Talen Energy Supply LLC, Callable 37,000 6.500 2025-06-01 44,256 38,579Talen Energy Supply LLC, Step Coupon, Callable 600,000 4.625 2019-07-15 744,013 766,410Targa Resources Partners L.P. / Tara Resources Partners Finance Corp., Callable 45,000 5.125 2025-02-01 58,744 60,121Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., Callable 480,000 6.750 2024-03-15 633,487 693,591Targa Resources Partners L.P., Callable 792,000 4.250 2023-11-15 1,007,525 1,020,955Taylor Morrison Communities Inc. / Monarch Communities Inc., Callable 495,000 5.625 2024-03-01 547,940 673,777Team Health Inc., Callable 390,000 7.250 2023-12-15 526,528 596,231Tempur Sealy International Inc., Callable 130,000 5.625 2023-10-15 176,123 180,874Tempur Sealy International Inc., Exchangeable, Callable 210,000 5.500 2026-06-15 271,946 283,733Tenet Healthcare Corp. 347,000 6.750 2020-02-01 403,001 449,057Tenet Healthcare Corp., Callable 260,000 5.500 2019-03-01 289,009 344,349Tenet Healthcare Corp., Callable 1,741,000 6.750 2023-06-15 2,174,146 2,066,270Tenet Healthcare Corp., Callable 597,000 7.500 2022-01-01 801,592 836,634Tenet Healthcare Corp., Callable 380,000 8.000 2020-08-01 402,183 504,554Tenet Healthcare Corp., Callable 1,340,000 8.125 2022-04-01 1,698,956 1,704,461Tenet Healthcare Corp., Floating Rate, Callable 125,000 4.538 2020-06-15 154,760 169,727Tenneco Inc., Callable 105,000 5.000 2026-07-15 134,820 138,522Terex Corp., Callable 415,000 6.000 2021-05-15 487,080 571,145Terex Corp., Callable 155,000 6.500 2020-04-01 163,533 213,059TerraForm Power Operating LLC, Callable 927,000 5.875 2023-02-01 1,213,307 1,264,909TerraForm Power Operating LLC, Callable 474,000 6.125 2025-06-15 551,541 661,084Tesoro Logistics L.P. / Tesoro Corp., Callable 204,000 5.875 2020-10-01 218,254 282,465Tesoro Logistics L.P. / Tesoro Logistics Finance Corp., Callable 70,000 5.250 2025-01-15 94,133 96,220Tesoro Logistics L.P. / Tesoro Logistics Finance Corp., Callable 85,000 6.375 2024-05-01 110,379 122,538Tesoro Logistics L.P., Callable 110,000 6.125 2021-10-15 123,819 155,260Tesoro Logistics L.P., Callable 70,000 6.250 2022-10-15 84,338 99,975Texas Public Finance Authority, Sinkable, Callable 1,090,000 8.250 2024-07-01 1,226,164 1,538,471TIBCO Software Inc., Callable 235,000 11.375 2021-12-01 289,770 315,935Time Inc., Callable 235,000 5.750 2022-04-15 256,814 327,753T-Mobile USA Inc., Callable 230,000 6.000 2023-03-01 274,817 326,562T-Mobile USA Inc., Callable 515,000 6.000 2024-04-15 690,550 729,489T-Mobile USA Inc., Callable 885,000 6.375 2025-03-01 1,215,666 1,271,391



$ % $ $


182




$ % $ $

T-Mobile USA Inc., Callable 1,126,000 6.500 2026-01-15 1,495,187 1,636,487T-Mobile USA Inc., Callable 245,000 6.633 2021-04-28 275,247 343,753T-Mobile USA Inc., Callable 440,000 6.731 2022-04-28 494,968 618,090Townsquare Media Inc., Callable 95,000 6.500 2023-04-01 120,464 122,145TPC Group Inc. 803,000 8.750 2020-12-15 865,527 915,334TransDigm Inc., Callable 128,000 6.375 2026-06-15 167,475 177,147TransDigm Inc., Callable 165,000 6.500 2024-07-15 185,418 232,614TransDigm Inc., Callable 240,000 6.500 2025-05-15 301,036 338,347TreeHouse Foods Inc., Callable 125,000 6.000 2024-02-15 176,093 176,851Tribune Media Co., Callable 355,000 5.875 2022-07-15 443,493 486,189Triumph Group Inc., Callable 260,000 4.875 2021-04-01 288,513 328,799TRU Taj LLC / TRU Taj Finance Inc., Callable 611,000 12.000 2021-08-15 559,694 807,091U.S. Bancorp, Variable Rate, Perpetual 340,000 5.125 2049-12-29 457,063 465,646UCI International LLC.,Callable 340,000 8.625 2019-02-15 343,747 95,751Unifrax I LLC / Unifrax Holding Co., Callable 225,000 7.500 2019-02-15 224,965 301,736Unit Corp., Callable 290,000 6.625 2021-05-15 339,536 379,182United Rentals North America Inc., Callable 110,000 5.500 2027-05-15 146,872 146,594United Rentals North America Inc., Callable 675,000 5.750 2024-11-15 804,567 954,995United Rentals North America Inc., Callable 115,000 5.875 2026-09-15 144,049 159,426United Rentals North America Inc., Callable 15,000 6.125 2023-06-15 20,362 21,423United Rentals North America Inc., Callable 82,000 7.625 2022-04-15 100,650 116,289United States Cellular Corp., Callable 190,000 6.700 2033-12-15 221,558 253,526Univision Communications Inc., Callable 941,000 5.125 2025-02-15 1,212,876 1,211,451US Concrete Inc., Callable 61,000 6.375 2024-06-01 80,096 86,712Valeant Pharmaceuticals International Inc., Callable 305,000 6.750 2021-08-15 326,970 341,532Valeant Pharmaceuticals International Inc., Callable 775,000 7.000 2020-10-01 909,656 900,955Valeant Pharmaceuticals International Inc., Callable 443,000 7.250 2022-07-15 499,443 488,635Valvoline Inc., Callable 25,000 5.500 2024-07-15 32,458 34,783Vector Group Ltd., Callable 750,000 7.750 2021-02-15 808,174 1,051,048VeriSign Inc., Callable 500,000 5.250 2025-04-01 670,878 690,641Veritas US Inc. / Veritas Bermuda Ltd., Callable 455,000 7.500 2023-02-01 560,833 575,093Versum Materials Inc., Callable 810,000 5.500 2024-09-30 1,071,515 1,113,407Virgin Media Finance PLC, Callable 300,000 6.375 2023-04-15 318,011 419,916Vista Outdoor Inc., Exchangeable, Callable 225,000 5.875 2023-10-01 298,355 317,390Vizient Inc., Callable 203,000 10.375 2024-03-01 277,897 308,985Voya Financial Inc., Variable Rate, Callable 250,000 5.650 2053-05-15 253,124 330,653W.R. Grace & Co.-Conn. 20,000 5.625 2024-10-01 22,027 28,263Walter Investment Management Corp., Convertible 125,000 4.500 2019-11-01 130,717 119,018Wave Holdco LLC / Wave Holdco Corp., Pay-in-Kind, Callable 128,858 8.250 2019-07-15 143,878 176,261Weatherford International Ltd., Convertible 76,000 5.875 2021-07-01 117,251 110,838Wells Fargo & Co., Series ‘K’, Variable Rate, Perpetual 300,000 7.980 2018-03-15 376,279 420,922Western Digital Corp., Callable 200,000 7.375 2023-04-01 258,800 295,702Western Digital Corp., Callable 1,372,000 10.500 2024-04-01 1,771,331 2,180,306Western Refining Inc., Callable 91,000 6.250 2021-04-01 106,795 126,917WEX Inc., Callable 300,000 4.750 2023-02-01 380,361 394,772Whiting Petroleum Corp., Callable 373,000 5.000 2019-03-15 480,072 504,669Whiting Petroleum Corp., Callable 145,000 5.750 2021-03-15 173,463 194,616Whiting Petroleum Corp., Callable 906,000 6.250 2023-04-01 1,070,131 1,221,066WideOpenWest Finance LLC / WideOpenWest Capital Corp., Callable 375,000 10.250 2019-07-15 505,850 531,810Williams Cos. Inc. (The), Callable 689,000 4.550 2024-06-24 691,789 921,673Williams Cos. Inc. (The), Series ‘A’ 43,000 7.500 2031-01-15 46,298 65,306Williams Partners L.P. / ACMP Finance Corp., Callable 457,000 4.875 2024-03-15 529,175 619,560Williams Partners L.P. / ACMP Finance Corp., Callable 125,000 6.125 2022-07-15 135,239 172,903Windstream Corp., Callable 170,000 6.375 2023-08-01 167,504 204,611Windstream Corp., Callable 325,000 7.500 2022-06-01 377,183 429,304Windstream Corp., Callable 40,000 7.500 2023-04-01 41,101 51,899Windstream Corp., Callable 390,000 7.750 2021-10-01 451,527 540,269WMG Acquisition Corp., Callable 40,000 4.875 2024-11-01 52,944 53,642WMG Acquisition Corp., Callable 180,000 5.000 2023-08-01 239,301 243,199WMG Acquisition Corp., Callable 49,000 5.625 2022-04-15 54,191 68,258


183


WPX Energy Inc., Callable 40,000 5.250 2024-09-15 43,554 52,301WPX Energy Inc., Callable 375,000 6.000 2022-01-15 411,040 517,981WPX Energy Inc., Callable 235,000 8.250 2023-08-01 304,948 353,752Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 465,000 5.500 2025-03-01 584,344 620,159Xerium Technologies Inc., Callable 550,000 9.500 2021-08-15 716,105 737,578XPO Logistics Inc., Callable 170,000 6.125 2023-09-01 222,876 239,092XPO Logistics Inc., Callable 235,000 6.500 2022-06-15 291,941 332,086York Risk Services Holding Corp., Callable 750,000 8.500 2022-10-01 858,689 844,862Yum! Brands Inc., Callable 35,000 5.350 2043-11-01 36,186 38,840Yum! Brands Inc., Callable 790,000 6.875 2037-11-15 939,838 1,038,241Zayo Group LLC / Zayo Capital Inc., Callable 170,000 6.375 2025-05-15 216,339 239,092Zayo Group LLC / Zayo Capital Inc., Series ‘WI’, Callable 1,234,000 6.000 2023-04-01 1,516,841 1,729,324Zebra Technologies Corp., Callable 735,000 7.250 2022-10-15 855,735 1,076,846Zekelman Industries Inc., Callable 502,000 9.875 2023-06-15 653,229 755,675ZF North America Capital Inc., Callable 300,000 4.750 2025-04-29 361,522 410,864Total United States Bonds 368,923,442 404,098,202

FOREIGN BONDS – 9.4%Adient Global Holdings Ltd., Callable 571,000 4.875 2026-08-15 752,373 752,339Aircastle Ltd. 115,000 5.000 2023-04-01 151,120 157,691Albea Beauty Holdings SA, Callable 200,000 8.375 2019-11-01 217,595 279,274Alcoa Nederland Holding BV, Callable 315,000 6.750 2024-09-30 410,193 459,393Alcoa Nederland Holding BV, Callable 502,000 7.000 2026-09-30 653,704 738,845Algeco Scotsman Global Finance PLC, Callable 600,000 8.500 2018-10-15 714,473 750,317Allegion PLC, Callable 40,000 5.875 2023-09-15 53,214 57,129Altice Financing SA, Callable 400,000 6.625 2023-02-15 507,180 552,513Altice Financing SA, Callable 1,415,000 7.500 2026-05-15 1,852,323 1,978,233Altice Finco SA, Callable 60,000 7.625 2025-02-15 74,939 81,569Altice Finco SA, Callable 175,000 8.125 2024-01-15 223,631 244,071Altice SA 1,274,000 7.750 2022-05-15 1,575,743 1,828,093Altice SA, Callable 80,000 7.625 2025-02-15 106,149 113,051Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc., Floating Rate, Callable 461,000 6.000 2021-06-30 506,428 631,361Ardagh Packaging Finance PLC / Ardagh MP Holdings USA Inc., Callable 215,000 6.750 2021-01-31 269,749 298,417Ardagh Packaging Finance PLC and Ardagh MP Holdings USA Inc. 400,000 7.250 2024-05-15 501,042 567,264Bluescope Steel (Finance) Ltd., Callable 165,000 6.500 2021-05-15 208,941 235,014Camelot Finance SA, Callable 14,000 7.875 2024-10-15 18,400 19,479Cemex SAB de CV, Callable 400,000 7.250 2021-01-15 438,507 572,628CEVA Group PLC, Callable 150,000 7.000 2021-03-01 165,854 162,938CHC Helicopter SA, Callable 33,300 9.250 2020-10-15 21,446 21,435Cimpress NV, Callable 185,000 7.000 2022-04-01 236,856 254,297Cleopatra Finance Ltd., Callable 200,000 6.250 2022-02-15 249,230 288,996Columbus International Inc., Callable 265,000 7.375 2021-03-30 319,909 379,505Constellium NV, Callable 90,000 5.750 2024-05-15 106,254 113,453Constellium NV, Callable 250,000 7.875 2021-04-01 330,100 361,664Credit Suisse Group AG, Variable Rate, Perpetual 210,000 7.500 2023-12-11 251,622 295,680Dana Financing Luxembourg Sarl, Callable 145,000 6.500 2026-06-01 200,242 203,689Digicel Group Ltd., Callable 100,000 7.125 2022-04-01 101,229 104,701Digicel Group Ltd., Callable 230,000 8.250 2020-09-30 258,488 266,176Digicel Ltd., Callable 585,000 6.000 2021-04-15 676,567 713,492Digicel Ltd., Callable 670,000 6.750 2023-03-01 822,860 814,610Ensco Jersey Finance Ltd., Convertible 192,000 3.000 2024-01-31 254,294 263,275Ensco PLC, Callable 245,000 5.750 2044-10-01 245,471 239,847Fiat Chrysler Automobiles NV, Callable 200,000 5.250 2023-04-15 252,100 274,124FMG Resources (August 2006) Pty. Ltd., Callable 155,000 6.875 2022-04-01 171,017 216,697Global A&T Electronics Ltd., Callable 215,000 10.000 2019-02-01 225,126 221,290Globe Luxembourg SCA, Variable Rate, Callable 360,000 9.625 2018-05-01 451,320 479,157Ineos Group Holdings SA, Callable 300,000 5.625 2024-08-01 396,390 400,303Ineos Group Holdings SA, Callable 310,000 5.875 2019-02-15 392,400 425,287Inmarsat Finance PLC, Callable 565,000 6.500 2024-10-01 742,580 770,953Intelsat Jackson Holdings SA 718,000 5.500 2023-08-01 787,468 653,599



$ % $ $


184




$ % $ $

Intelsat Jackson Holdings SA 30,000 9.500 2022-09-30 43,680 44,959Intelsat Jackson Holdings SA, Callable 200,000 7.250 2019-04-01 230,214 226,637Intelsat Jackson Holdings SA, Callable 1,605,000 7.250 2020-10-15 1,720,011 1,678,860Intelsat Jackson Holdings SA, Callable 837,000 7.500 2021-04-01 901,454 861,487Intelsat Jackson Holdings SA, Callable 401,000 8.000 2024-02-15 505,036 555,238Intelsat Luxembourg SA, Callable 795,000 7.750 2021-06-01 881,827 354,490International Game Technology PLC, Callable 200,000 6.500 2025-02-15 249,230 288,996James Hardie International Finance Ltd., Callable 575,000 5.875 2023-02-15 731,018 801,948JBS Investments GmbH, Callable 200,000 7.750 2020-10-28 257,396 285,992JLL / Delta Dutch Newco BV, Callable 123,000 7.500 2022-02-01 164,751 174,640Kosmos Energy Ltd., Callable 100,000 7.875 2021-08-01 114,802 134,105LBC Tank Terminals Holding Netherlands BV, Callable 400,000 6.875 2023-05-15 412,857 551,172Lloyds Banking Group PLC, Variable Rate, Perpetual 460,000 7.500 2049-04-30 530,930 636,932Mallinckrodt International Finance SA / Mallinckrodt BC LLC, Callable 266,000 5.500 2025-04-15 325,748 321,047Mallinckrodt International Finance SA / Mallinckrodt CB LLC, Callable 210,000 5.625 2023-10-15 273,950 264,019Mallinckrodt International Finance SA, Callable 600,000 4.750 2023-04-15 635,620 704,051Mallinckrodt International Finance SA, Callable 60,000 5.750 2022-08-01 78,109 77,848Mirabela Nickel Ltd., Convertible, Callable 366,005 9.500 2019-06-24 359,485 90,524Noble Holding International Ltd. 575,000 4.000 2018-03-16 712,329 770,140Noble Holding International Ltd., Callable 935,000 7.750 2024-01-15 1,200,063 1,182,536Numericable - SFR SA, Callable 2,475,000 7.375 2026-05-01 3,241,653 3,414,523Numericable Group SA, Callable 400,000 6.000 2022-05-15 443,276 552,513Numericable Group SA, Callable 771,000 6.250 2024-05-15 1,010,854 1,042,997NXP BV / NXP Funding LLC 500,000 3.875 2022-09-01 658,500 680,583NXP BV / NXP Funding LLC, Callable 186,000 4.125 2021-06-01 240,665 258,166NXP BV / NXP Funding LLC, Callable 413,000 4.625 2023-06-01 534,381 582,931NXP BV / NXP Funding LLC, Callable 200,000 5.750 2021-02-15 204,806 277,262NXP BV / NXP Funding LLC, Callable 200,000 5.750 2023-03-15 278,935 283,632Odebrecht Offshore Drilling Finance Ltd., Sinkable, Callable 256,440 6.625 2023-10-01 292,000 102,382Perstorp Holding AB, Callable 550,000 8.500 2021-06-30 741,015 739,421Popular Inc., Callable 297,000 7.000 2019-07-01 341,523 412,730Reichhold Holdings International BV 248,857 12.000 2017-03-31 268,653 333,730Royal Bank of Scotland Group PLC 120,000 5.125 2024-05-28 130,169 160,701Royal Bank of Scotland Group PLC, Variable Rate, Perpetual 400,000 8.000 2049-12-29 546,699 514,963Sable International Finance Ltd., Callable 240,000 6.875 2022-08-01 307,941 336,335Schaeffler Verwaltung Zwei GmbH, Callable 200,000 4.500 2023-09-15 257,910 262,846Sensata Technologies BV 75,000 4.875 2023-10-15 98,372 103,219Sensata Technologies BV 550,000 5.000 2025-10-01 721,658 726,514Sensata Technologies UK Financing Co. PLC , Callable 560,000 6.250 2026-02-15 745,335 788,537Telecom Italia SPA 200,000 5.303 2024-05-30 218,090 263,181Transocean Inc. 511,000 6.000 2018-03-15 649,596 697,269Transocean Inc., Callable 149,000 7.500 2031-04-15 142,784 169,844Transocean Inc., Callable 250,000 9.000 2023-07-15 323,021 345,320Transocean Ltd., Callable 965,000 5.050 2022-10-15 1,100,354 1,142,055Tullow Oil PLC, Callable 140,000 6.000 2020-11-01 153,656 179,768Tullow Oil PLC, Callable 80,000 6.250 2022-04-15 90,664 100,311Unitymedia Hessen GmbH & Co.KG / Unitymedia NRW GmbH, Callable 200,000 5.000 2025-01-15 266,300 268,210Unitymedia KabelBW GmbH, Callable 210,000 6.125 2025-01-15 293,027 290,773UPCB Finance IV Ltd., Callable 559,000 5.375 2025-01-15 711,604 759,018Viking Cruises Ltd., Callable 865,000 6.250 2025-05-15 1,041,385 1,084,608Viking Cruises Ltd., Callable 535,000 8.500 2022-10-15 671,256 747,057Virgin Media Finance PLC, Callable 400,000 5.750 2025-01-15 477,260 539,773Virgin Media Secured Finance PLC, Callable 400,000 5.250 2026-01-15 524,135 531,726Virgin Media Secured Finance PLC, Callable 200,000 5.500 2025-01-15 253,864 273,239VTR Finance BV, Callable 405,000 6.875 2024-01-15 466,073 562,135Weatherford International Ltd. 35,000 9.875 2024-02-15 47,156 50,134Weatherford International Ltd. / Bermuda, Callable 620,000 6.750 2040-09-15 603,448 669,318Weatherford International Ltd., Bermuda 520,000 5.950 2042-04-15 462,111 529,983Weatherford International Ltd., Callable 517,000 8.250 2023-06-15 670,034 707,189Wind Acquisition Finance SA, Callable 200,000 7.375 2021-04-23 217,402 279,609


185


Ziggo Bond Finance BV, Callable 398,000 5.875 2025-01-15 475,909 536,407Ziggo Secured Finance B.V., Callable 1,273,000 5.500 2027-01-15 1,682,397 1,668,404Ziggo Secured Finance B.V., Callable 256,000 6.000 2027-01-15 338,330 333,868Total Foreign Bonds 50,167,238 52,550,654

SENIOR LOANS – 7.4%21st Century Oncology Inc., Term Loan 266,625 7.125 2022-04-30 317,542 330,741Academy Ltd., Term Loan 240,732 5.000 2022-07-01 302,123 299,428Accudyne Industries Borrower SCA, Term Loan 273,608 4.000 2019-12-13 333,358 347,855Affinion Group Inc., Term Loan 90,000 8.500 2018-10-31 103,353 117,888Air Medical, Term Loan 398,990 4.250 2022-04-28 511,129 535,148Amaya Holdings BV, Term Loan 327,513 5.000 2021-08-01 423,354 441,743Amplify Snack Brands Inc., Term Loan 192,000 6.500 2023-08-24 246,059 251,151Applied Systems Inc., Term Loan 327,039 7.500 2022-01-24 384,717 444,168Ascena Retail Group Inc., Term Loan 373,264 5.250 2022-08-21 471,807 489,741Aspect Software Inc., Term Loan 80,000 11.278 2020-05-25 107,003 107,463Asurion LLC, Term Loan 130,000 10.000 2021-08-31 167,960 180,002Asurion LLC, Term Loan 500,000 8.500 2021-03-03 646,390 682,889Atlas Iron Ltd., Term Loan 63,160 8.580 2021-05-06 25,313 52,938Blount International Inc., Term Loan 359,100 7.254 2023-04-12 459,165 488,193Blue Ribbon LLC, Term Loan 184,075 5.000 2021-11-15 247,210 245,928BMC Foreign Holding Co., Term Loan 252,701 5.000 2020-09-10 278,999 338,178BMC Software Finance Inc., Term Loan 152,954 5.000 2020-09-10 197,413 205,312Carestream Health Inc. (Onex Carestream Finance L.P.), Term Loan 216,082 5.000 2019-06-07 265,427 282,290Carestream Health Inc., Term Loan 619,964 9.500 2019-12-05 662,029 685,907Cengage Learning Inc., Term Loan 509,748 5.250 2023-06-07 657,686 667,044Chesapeake Energy Corp., Term Loan 859,000 8.500 2021-08-23 1,108,888 1,257,079Claire’s Stores Inc., Term Loan 252,400 – 2021-08-12 206,100 236,053Cowlitz Tribal Gaming Authority, Term Loan 900,000 11.500 2021-12-06 1,119,320 1,306,518Cumulus Media Holdings Inc., Term Loan 763,754 4.250 2020-12-23 723,793 705,010Drillships Ocean Ventures Inc., Term Loan 441,103 5.500 2021-07-25 465,667 470,891Empire Generating Co., Term Loan 604,863 5.250 2021-03-12 705,452 799,998Engility Corp., Term Loan 160,000 5.811 2023-08-14 207,613 218,269EP Energy LLC, Term Loan 160,000 9.750 2021-06-30 205,043 225,028Evergreen Skills Lux Sarl, Term Loan 200,000 9.337 2022-04-22 210,259 202,080Flint Group GmbH, Term Loan 310,000 8.250 2022-05-02 337,443 411,913Foxwoods Resort Casino, Term Loan 585,593 5.000 2018-07-01 648,542 706,778Gardner Denver, Inc., Initial Dollar Term Loan 335,395 4.558 2020-07-30 420,976 445,999Gulf Finance LLC, Term Loan 109,075 6.250 2023-08-17 136,073 147,372Gymboree Corp. (The), Term Loan 843,837 5.000 2018-02-23 819,057 604,855Hillman Group Inc. (The), Term Loan 195,500 4.500 2021-06-30 208,844 264,088iHeartCommunications Inc., Term Loan 781,551 7.520 2019-01-30 797,191 856,821Indivior Finance Sarl, Term Loan 344,700 7.000 2019-12-19 413,528 466,305J. Crew Group Inc., Term Loan 136,599 4.000 2021-02-26 115,508 105,103JC Penney Corp. Inc., Term Loan 318,838 5.250 2023-06-23 403,629 430,160KCA, Term Loan 190,613 6.250 2020-05-13 205,775 228,673Keurig Green Mountain Inc., Term Loan 107,853 5.294 2023-03-03 146,062 147,089KIK Custom Products Inc., Term Loan 232,261 6.000 2022-08-26 303,258 314,977Kraton Polymers LLC, Term Loan 65,000 6.000 2022-01-06 81,425 88,320Laureate Education Inc., Term Loan 75,088 8.868 2021-03-17 88,641 101,264Longview Power LLC, Term Loan 543,125 7.000 2021-04-13 673,676 645,507Mashantucket Western Pequot Tribe, Term Loan 1,912,907 9.375 2020-07-01 1,965,336 2,308,774Mauser Group, Term Loan 140,000 8.750 2022-07-31 147,630 187,395MH Sub I LLC, Term Loan 363,000 8.500 2022-07-08 383,771 486,801MModal IP LLC, Term Loan 514,033 9.000 2020-01-31 524,644 650,999Moneygram International, Inc., Term Loan 251,583 4.250 2020-03-27 309,033 334,294Murray Energy Corp., Term Loan 760,223 8.250 2020-04-16 855,614 978,723Neiman Marcus Group Ltd. LLC, Term Loan 343,840 4.250 2020-10-25 377,388 402,200New LightSquared LLC, Term Loan 487,945 9.750 2020-06-15 586,285 612,152New LightSquared LLC, Term Loan 554,666 12.500 2020-12-07 674,349 519,059




$ % $ $

186




$ % $ $


Nine West Holdings Inc., Term Loan 1,434,427 6.250 2020-01-08 754,844 453,652Occidental Petroleum Corp., Term Loan 753,000 11.375 2023-08-05 982,418 1,123,833Ocean Rig, Term Loan 373,009 6.000 2021-03-31 416,429 326,647Ortho-Clinical Diagnostics Inc., Term Loan 195,500 4.750 2021-06-30 214,986 260,771Oxbow Carbon and Minerals LLC, Term Loan 526,000 8.000 2020-01-18 630,499 693,048P2 Upstream Acquisition Co., Term Loan 179,079 5.000 2020-10-30 176,916 229,047Panda Liberty LLC, Term Loan 362,791 7.500 2020-09-21 373,045 481,048Panda Temple Power II LLC, Term Loan 575,650 7.250 2019-03-28 577,274 717,937Peak 10 Inc., Term Loan 365,000 8.250 2022-06-17 394,450 461,338PET Acquisition Merger Sub LLC, Term Loan 302,713 5.000 2023-01-26 429,709 408,709Quorum Health Corp., Term Loan 213,312 6.750 2022-04-12 266,206 281,174Radnet Management Inc., Term Loan 585,000 4.750 2023-06-30 742,065 791,873Revlon Consumer Products Corp., Term Loan 139,000 4.293 2023-09-07 182,134 188,608Riverbed Technology Inc., Term Loan 195,089 4.250 2022-04-24 244,002 263,877Royal Holdings Inc., Term Loan 77,000 8.500 2023-06-19 94,007 102,696rue 21 Inc., Term Loan 357,533 5.625 2020-10-10 399,798 189,391Seadrill Operating L.P., Term Loan 59,693 4.000 2021-02-21 38,014 55,636SkillSoft Corp., Term Loan 478,412 5.837 2021-04-23 530,563 588,045Solera LLC, Term Loan 114,425 5.750 2023-03-03 150,350 155,751Steinway Musical Instruments Inc., Term Loan 253,024 4.750 2019-09-19 280,761 327,442Syniverse Holdings Inc., Term Loan 221,538 4.000 2019-04-23 239,702 261,146TEX Operations Co. LLC, Term Loan 41,229 5.000 2023-08-04 53,949 55,843TEX Operations Co. LLC, Term Loan 180,771 5.000 2023-08-04 236,545 245,701Texas Competitive Electric Holdings Co. LLC, Term Loan 1,265,000 4.500 2017-10-10 987,326 500,446Texas Competitive Electric Holdings Co. LLC, Term Loan 2,725,000 4.500 2016-12-30 2,010,649 1,048,345Travelport Finance (Luxembourg) S.a.r.l., Term Loan 636,715 5.000 2021-09-02 686,004 863,742UFC Holdings LLC, Term Loan 260,000 5.000 2023-08-18 338,742 353,729US Renal Care Inc., Term Loan 398,995 5.250 2022-11-17 500,861 503,637Varsity Brands Inc., Term Loan 319,559 5.000 2021-12-10 373,340 435,615Veritas US Inc., Term Loan 386,060 6.625 2023-01-27 421,805 480,061Walter Investment Management Corp., Term Loan 382,536 4.750 2020-12-18 405,463 491,069Western Digital Corp., Term Loan 344,138 4.520 2023-04-28 445,417 469,582Wilton Brands Inc., Term Loan 1,154,716 8.500 2018-08-22 1,328,141 1,469,557Xerox Business Services LLC, Term Loan 315,000 5.500 2023-11-22 412,100 428,239Zekelman Industries Inc., Term Loan 104,475 5.000 2021-06-14 132,391 141,682Total Senior Loans 39,834,755 40,909,471


Shares $ $

PREFERRED EQUITIES – 0.1%Aspen Insurance Holdings Ltd., 5.95%, Preferred, Perpetual, Variable Rate 12,000 331,125 407,304Ceva Holdings LLC, Preferred, Series ‘A-2’, Convertible 73 106,360 24,417SLM Corp., 2.66%, Preferred, Series ‘B’, Variable Rate, Callable 3,734 284,112 280,419Total Preferred Equities 721,597 712,140

EQUITIES – 0.5%Aspect Software Parent Inc. 8,444 102,527 158,647Basic Energy Services Inc. 13,197 217,184 625,618Ceva Holdings LLC 34 45,034 8,459CUI Acquisition Corp. — 29,535 32,988Global Aviation Holdings Inc., Warrants, 2017/02/01 23,679 — —Halcon Resources Corp. 18,396 247,985 230,417Houghton Mifflin Harcourt Co. 3,235 66,969 47,070Jack Cooper Enterprises Inc., Warrants, 2027/04/26 461 — —Lion Holdings Inc., Series ‘A’, Warrants 95 — —Lion Holdings Inc., Series ‘B’, Warrants 151 — —M*MODAL Inc. 7,258 158,822 155,733

187





Shares $ $

Mirabela Nickel Ltd. 1,394,635 133,474 112,404MModal Inc., Class ‘A’, Warrants, 2017/07/31 2,625 1,796 880MModal Inc., Class ‘B’, Warrants, 2017/07/31 3,462 977 292NII Holdings Inc. 37,051 798,058 106,828Reichhold Cayman Ltd., Contribution Agreement 300 126,361 265,126SandRidge Energy Inc. 5,825 138,444 183,964SandRidge Energy Inc., Class ‘A’, Warrants, 2022/10/03 3,193 — 14,987SandRidge Energy Inc., Class ‘B’, Warrants, 2022/10/03 1,343 — 7,294Seventy Seven Energy Inc. 12,541 240,322 756,815Titan Energy LLC 4,044 177,461 130,157Total Equities 2,484,949 2,837,679Total Bonds 475,948,015 514,988,864Less: Transaction cost included in average cost (19,387) —Total Non-Derivative Financial Assets – 93.0% 479,135,174 518,538,683Derivative Assets and Liabilities (1) – (1.9%) (10,167,514)Other Assets and Liabilities, Net – 8.9% 49,223,311Net Assets Attributable to Holders of Redeemable Units – 100.0% 557,594,480

(1) DERIVATIVE ASSETS AND LIABILITIESSCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS



Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 2,137,367 USD 1,595,630 1.340 1.341 2,209Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 15,130,667 CAD 20,435,750 0.740 0.746 147,084Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 101,283 CAD 136,453 0.742 0.746 644Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 393 CAD 531 0.740 0.746 4

149,941Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 480 USD 356 1.348 1.341 (3)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 CAD 23,155,223 USD 17,176,088 1.348 1.341 (123,859)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 8,354 CAD 10,986 0.760 0.746 (215)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 268,370 CAD 352,935 0.760 0.746 (6,921)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 2,109,424 CAD 2,774,118 0.760 0.746 (54,402)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 15,112,801 CAD 19,874,948 0.760 0.746 (389,762)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 24,846,493 CAD 32,675,792 0.760 0.746 (640,796)Bank of New York Mellon (The), Pittsburgh A-1+ 2017-01-13 USD 364,623,770 CAD 479,519,200 0.760 0.746 (9,403,720)

(10,619,678)

SCHEDULE OF SWAP AGREEMENTSCredit Unrealized

Notational Rating of AppreciationAmount Expiry Date Counterparty Counterparty (Depreciation)

Swap Contracts $

Credit Default SwapReceive 5% Quarterly times notional amount. Make a payment only

upon default event of Markit CDX NA HY 27 500,000 2021-12-20 JP Morgan Securities LLC A-1 40,766Receive 5% Quarterly times notional amount. Make a payment only

upon default event of CDX NA HY 25 V2 500,000 2021-06-20 JP Morgan Securities LLC A-1 45,511Receive 5% Quarterly times notional amount. Make a payment only

upon default event of CDX NA HY 27 2,277,000 2020-12-20 JP Morgan Securities LLC A-1 215,946 302,223


188


Investment ObjectiveThe Fund’s objective is to provide a high level of total return by investing primarily in high-yield fixed income securities issued primarily by United States corporations.




U.S. Dollar 35,271,759 27,636,375 — — 35,271,759 27,636,375 139.46 % 156.96%

Australian Dollar 7,076 7,163 — — 7,076 7,163 0.03 % 0.04%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets of the non-hedged classes would have decreased or increased, respectively, by approximately $1,763,942 (December 31, 2015 – $1,382,177). In practice, the actual trading results may differ from this sensitivityanalysis and the difference could be material.


Hedged Classes 2016 2015 2016 2015 2016 2015 2016 2015

U.S. Dollar 525,000,702 423,746,820 (540,957,380) (442,573,934) (15,956,678) (18,827,114) -3.00% -4.39%

Australian Dollar 105,328 109,823 — — 105,328 109,823 0.02% 0.03%


As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, 2015 – 5%) in relation to all currencies, with all other variables held constant, net assets of the hedgedclasses would have increased or decreased, respectively, by approximately $792,568 (December 31, 2015 – $935,865). In practice, the actual trading results may differ from this sensitivity analysis andthe difference could be material.

Interest Rate RiskThe table below summarizes the Fund’s exposure to interest rate risk as at December 31, 2016 and 2015. It includes the Fund’s assets and trading liabilities at fair values, categorized by the earlier ofcontractual re-pricing or maturity dates.

Bonds 2016 2015Less than 1 year 3,507,454 2,520,710 1-3 years 32,701,851 21,047,802 3-5 years 112,809,105 94,807,394 > 5 years 365,970,454 299,629,743 Total 514,988,864 418,005,649

As at December 31, 2016 had the prevailing interest rates raised or lowered by 1% (December 31, 2015 – 1%), with all other variables held constant, net assets would have decreased or increased,respectively, by approximately $27,444,486 (December 31, 2015 – $22,269,115). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Other Price RiskAs at December 31, 2016, a 10% (December 31, 2015 – 10%) increase or decrease in equity prices would have increased or decreased the Fund’s Net Assets by $354,982 (December 31, 2015 –$181,707). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.






189





Canadian Bonds 3.1 2.5United States Bonds 72.5 74.5Foreign Bonds 9.4 8.8Senior Loans 7.4 7.8Preferred Equities 0.1 0.2Equities 0.5 0.2Derivative Assets and Liabilities (1.9) (2.3)Other Assets and Liabilities, Net 8.9 8.3

100.0 100.0




Gross Amounts eligible for offset Net Gross Amounts eligible for offset NetAssetsDerivative Assets 452 (150) 302 34 — 34

LiabilitiesDerivative Liabilities 10,620 (150) 10,470 10,376 — 10,376



Common shares $ 2,080,869 $ 22,281 $ 734,529 $ 2,837,679 Preferred shares 687,723 — 24,417 712,140 Bonds — 514,329,891 658,947 514,988,838 Derivative assets — 452,164 — 452,164 Derivative liabilities — (10,619,678) — (10,619,678)

2015

Common shares $ 382,318 $ — $ 532,122 $ 914,440 Preferred shares 902,631 — — 902,631 Bonds — 417,361,329 644,320 418,005,649 Derivative assets — 34,243 — 34,243 Derivative liabilities — (10,376,120) — (10,376,120)

During the years ended December 31, 2016 and 2015, no investments were transferred between Level 1 and Level 2.


190





2016 2015

Beginning Balance $ 1,176,442 $ 493,144 Purchases 266,471 531,331 Sales — (80,397)Net transfers into and/or out of level 3 77,646 242,139 Realized gains/(losses) 47,080 1,142 Change in unrealized appreciation/depreciation (149,746) (10,917)Ending Balance $ 1,417,893 $ 1,176,442 Total change in unrealized appreciation during the period for assets held $ (149,746) $ (95,023)





Financial instruments at FVTPL:Held for trading $ 9,241 $ (72,465)Designated at inception 67,236 54,713


191

All Equity Fund

SGEF (The accompanying notes are an integral part of these financial statements)


2016 2015


Distributions from mutual funds $ 562 $ 882 Net realized gain (loss) on sale of investments 180 2,241 Net change in unrealized appreciation (depreciation) of investments 314 (1,503)

TOTAL INCOME (NET) 1,056 1,620EXPENSES

Custodian and administration fees 11 21 Legal fees 24 28 Audit fees 1 1 Management fees 268 310 Trustee fees — 1 Securityholder reporting costs 1 1 TOTAL EXPENSES 305 362Waived expenses (12) (28)NET EXPENSES 293 334

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 763 $ 1,286


(Class E) $ 111 $ 79(Class F) $ 94 $ 52(Class O) $ 96 $ 127(Class P) $ 404 $ 959(Class R) $ 57 $ 69(Class Z) $ 1 $ —


(Class E) 281 182(Class F) 161 99(Class O) 183 183(Class P) 1,598 1,972(Class R) 104 100(Class Z) 1 1


(Class E) $ 0.39 $ 0.43(Class F) $ 0.58 $ 0.53(Class O) $ 0.52 $ 0.69(Class P) $ 0.25 $ 0.50(Class R) $ 0.55 $ 0.68(Class Z) $ 0.53 $ (0.06)



2016 2015


Investments (non-derivative financial assets) $ 14,305 $ 14,074 Cash including foreign currency holdings 128 141 Receivable for unit subscriptions 4 6 Receivable from manager 4 4 Receivable for portfolio securities sold 95 75 Prepaid expenses 21 21





(Class E) $ 2,053 $ 1,465(Class F) $ 1,496 $ 884(Class O) $ 1,362 $ 1,289(Class P) $ 8,733 $ 9,926(Class R) $ 841 $ 710(Class Z) $ 11 $ 10


(Class E) $ 6.30 $ 5.98(Class F) $ 7.40 $ 6.96(Class O) $ 7.58 $ 7.07(Class P) $ 6.18 $ 5.90(Class R) $ 7.64 $ 7.11(Class Z) $ 7.60 $ 7.07


192



NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 14,284 $ 16,266 $ 1,465 $ 818

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 763 1,286 111 79

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 3,151 3,650 694 824 Payments on redemption of units (3,702) (6,918) (217) (256)

(551) (3,268) 477 568CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 212 (1,982) 588 647NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class O2016 2015 2016 2015



CAPITAL UNIT TRANSACTIONSProceeds from issue of units 667 593 81 126 Payments on redemption of units (149) (407) (104) (182)

518 186 (23) (56)CHANGES IN NET ASSETS ATTRIBUTABLE TO



All Equity Fund

(The accompanying notes are an integral part of these financial statements) SGEF

193

All Equity Fund


Class P Class R2016 2015 2016 2015



CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,599 1,989 110 108 Payments on redemption of units (3,196) (5,490) (36) (583)

(1,597) (3,501) 74 (475)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (1,193) (2,542) 131 (406)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class Z2016 2015








194


CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 763 $ 1,286Adjustments for:Net realized (gain) loss on sale of investments (180) (2,241)Net change in unrealized (appreciation) depreciation of investments (314) 1,503 Distributions from mutual funds (562) (882)Purchases of investments (1,012) (6,095)Proceeds from the sale of investments 1,817 9,533 Change in other assets — 23 Change in other liabilities (4) (6)

508 3,121


(521) (3,262)

Increase (decrease) in cash during the period (13) (141)Cash at beginning of period 141 282Cash at end of period 128 141

All Equity Fund


195

All Equity Fund



Units $ $

MUTUAL FUNDS – 98.7%SEI Investments*Canadian Equity Fund 247,186 5,239,300 5,337,200Canadian Small Company Equity Fund 33,343 346,753 401,997EAFE Equity Fund 538,771 2,921,426 3,323,733Emerging Markets Equity Fund 233,267 1,149,639 1,249,168U.S. Large Company Equity Fund 311,792 2,628,872 3,588,012U.S. Small Company Equity Fund 43,013 251,228 405,158Total Mutual Funds 12,537,218 14,305,268Total Non-Derivative Financial Assets – 98.7% 12,537,218 14,305,268Other Assets and Liabilities, Net – 1.3% 190,424Net Assets Attributable to Holders of Redeemable Units – 100.0% 14,495,692

*The Fund holds units in class O of the funds listed unless otherwise noted. The above funds are also managed by the Fund’s manager.


196


Investment ObjectiveThe fundamental investment objective of the Fund was to achieve long-term growth of capital and income through investment in a diversified portfolio of Canadian equity securities and foreign equity securities.The Fund will seek to accomplish this objective by investing its assets either directly or through investments in underlying funds.

Currency RiskAs at December 31, 2016 and 2015, the Fund’s direct exposure to currency risk is minimal given that the underlying funds held are valued in Canadian dollars which is the functional currency of the Fund.The Fund is exposed to indirect currency risk in the event that the underlying funds invest in financial instruments that are denominated in a currency other than Canadian dollars.

Interest Rate RiskAs at December 31, 2016 and 2015, the interest rate risk is minimal given that the majority of the financial instruments held by the Fund are non-interest bearing. To the extent the underlying funds investin interest bearing financial instruments, the Fund will be exposed to the indirect risk that the value of those instruments will fluctuate due to changes in the prevailing levels of market interest rates.

Other Price RiskAs at December 31, 2016, a 5% (December 31, 2015 – 5%) change in the net asset values of the underlying funds would have increased or decreased the Fund’s Net Assets by $715,263 (December 31, 2015 – $703,717) In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Credit RiskAs at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no direct investments in debt instruments or derivatives. The Fund may be exposed to indirect credit risk in the eventthat the underlying funds invest in debt instruments and derivatives.



Mutual Funds, Canadian Equity 39.6 39.4Mutual Funds, Foreign Equity 59.1 59.1Other Assets and Liabilities, Net 1.3 1.5

100.0 100.0




Investments in funds $ 14,305,268 $ — $ — $ 14,305,268

2015



All Equity Fund


197

All Equity Fund

Fund Specific Notes to the Financial StatementsAS AT DECEMBER 31, 2016 AND 2015Net gains and lossesThe following table presents the net gains (losses) on financial instruments at FVTPL by category for the years ended December 31, 2016 and 2015.(in thousands of dollars)




Interest in Unconsolidated Structured EntitiesThe table below sets out interests held by the Fund in unconsolidated structured entities for the years ended December 31, 2016 and 2015. The Fund holds Class O of the Funds listed, unless otherwisenoted.The maximum exposure to loss is the carrying amount of the financial assets held:


Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsCanadian Equity Fund Canada 5,337,200 0.22%Canadian Small Company Equity Fund Canada 401,997 0.19%EAFE Equity Fund Canada 3,323,733 0.39%U.S. Large Company Equity Fund Canada 3,588,012 0.35%U.S. Small Company Equity Fund Canada 405,158 0.31%Emerging Markets Equity Fund Canada 1,249,168 0.45%

14,305,268December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsCanadian Equity Fund Canada 5,243,337 0.2%Canadian Small Company Equity Fund Canada 394,124 0.2%EAFE Equity Fund Canada 3,256,784 0.4%U.S. Large Company Equity Fund Canada 3,533,935 0.3%U.S. Small Company Equity Fund Canada 394,686 0.3%Emerging Markets Equity Fund Canada 1,251,481 0.5%

14,074,347


198

Balanced Fund


2016 2015


Distributions from mutual funds $ 6,164 $ 6,767 Net realized gain (loss) on sale of investments 1,269 2,686 Net change in unrealized appreciation (depreciation) of investments 1,424 (2,191)


Custodian and administration fees 67 117 Legal fees 29 35 Audit fees 8 7 Management fees 3,002 3,024 Trustee fees 2 4 Independent review committee fees 1 1 Securityholder reporting costs 9 10 TOTAL EXPENSES 3,118 3,198Waived expenses (7) (6)NET EXPENSES 3,111 3,192



(Class E) $ 490 $ 119(Class F) $ 417 $ 93 (Class O) $ 531 $ 463(Class P) $ 4,062 $ 3,211 (Class R) $ 246 $ 184 (Class Z) $ — $ —

AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS(Class E) 1,645 1,094(Class F) 976 415(Class O) 1,284 1,321(Class P) 17,351 17,841(Class R) 602 552(Class Z) 2 1




SVBF (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 147,150 $ 145,024 Cash including foreign currency holdings 1,836 785 Receivable for unit subscriptions 31 135 Receivable from manager 2 3 Prepaid expenses 50 49





(Class E) $ 12,206 $ 8,789(Class F) $ 8,940 $ 4,281(Class O) $ 11,426 $ 8,715 (Class P) $ 111,646 $ 120,018(Class R) $ 4,375 $ 3,752(Class Z) $ 10 $ 10




199

Balanced Fund





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (755) — (131) —Out of net realized capital gain — (2,294) — (347)

(755) (2,294) (131) (347)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 40,910 54,314 5,109 5,203 Payments on redemption of units (43,587) (46,730) (2,180) (1,016)Reinvestment of distributions 724 2,233 129 341

(1,953) 9,817 3,058 4,528CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 3,038 11,593 3,417 4,300NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class O2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (155) — (221) —Out of net realized capital gain — (84) — (35)

(155) (84) (221) (35)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 6,252 3,299 5,417 4,608 Payments on redemption of units (2,000) (1,125) (3,224) (5,461)Reinvestment of distributions 145 77 208 34

4,397 2,251 2,401 (819)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 4,659 2,260 2,711 (391) NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SVBF

200

Balanced Fund


Class P Class R2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (135) — (113) —Out of net realized capital gain — (1,719) — (109)

(135) (1,719) (113) (109)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 23,258 40,509 874 685 Payments on redemption of units (35,686) (38,517) (497) (611)Reinvestment of distributions 129 1,672 113 109


HOLDERS OF REDEEMABLE UNITS (8,372) 5,156 623 258NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class Z2016 2015








201

Balanced Fund



CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 5,746 $ 4,070Adjustments for:Net realized (gain) loss on sale of investments (1,269) (2,686)Net change in unrealized (appreciation) depreciation of investments (1,424) 2,191 Distributions from mutual funds (6,164) (6,767)Purchases of investments (5,612) (23,351)Proceeds from the sale of investments 12,343 18,482 Change in accrued income from mutual funds — 14 Change in other assets — 21 Change in other liabilities (38) (5)

3,582 (8,031)


(2,531) 7,328

Increase (decrease) in cash during the period 1,051 (703)Cash at beginning of period 785 1,488 Cash at end of period 1,836 785

202



Units $ $

MUTUAL FUNDS – 99.0%SEI Investments*Canadian Equity Fund 1,170,313 23,870,010 25,269,156Canadian Fixed Income Fund 3,884,462 46,128,947 45,640,098Canadian Small Company Equity Fund 114,611 1,189,744 1,381,810EAFE Equity Fund 2,645,450 13,236,519 16,320,043Emerging Markets Equity Fund 770,902 3,465,108 4,128,257Real Return Bond Fund 1,032,586 17,601,102 17,420,662U.S. High Yield Bond Fund (Class O, hedged) 1,381,296 15,649,190 16,388,110U.S. Large Company Equity Fund 1,667,046 12,863,635 19,183,864U.S. Small Company Equity Fund 150,562 812,902 1,418,200Total Mutual Funds 134,817,157 147,150,200Total Non-Derivative Financial Assets – 99.0% 134,817,157 147,150,200Other Assets and Liabilities, Net – 1.0% 1,452,618Net Assets Attributable to Holders of Redeemable Units – 100.0% 148,602,818


Balanced Fund


203


Investment ObjectiveThe fundamental investment objective of the Fund is to achieve long-term growth of capital and income through investment in a diversified portfolio of bonds and equity securities. The Fund seeks to accomplishthis objective by investing its assets in underlying funds.

Currency RiskAs at December 31, 2016 and 2015, the Fund’s direct exposure to currency risk is minimal given that the underlying funds held are valued in Canadian dollars which is the functional currency of the Fund.The Fund s exposed to indirect currency risk in the event that the underlying funds invest in financial instruments that are denominated in a currency other than Canadian dollars.


Other Price RiskAs at December 31, 2016, a 5% (December 31, 2015 – 5%) change in the net asset values of the underlying funds would have increased or decreased the Fund’s Net Assets by $3,385,067 (December 31, 2015 – $3,348,929). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.

Credit Risk As at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no direct investments in debt instruments or derivatives. The Fund may be exposed to indirect credit risk in the eventthat the underlying funds invest in debt instruments and derivatives.



Mutual Funds, Canadian Equity 17.9 17.5Mutual Funds, Foreign Equity 27.6 28.5Mutual Funds, Fixed Income 53.5 53.6Other Assets and Liabilities, Net 1.0 0.4

100.0 100.0





2015



Balanced Fund


204

Balanced Fund








Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsReal Return Bond Fund Canada 17,420,662 3.4%Canadian Equity Fund Canada 25,269,156 1.1%Canadian Small Company Equity Fund Canada 1,381,810 0.7%EAFE Equity Fund Canada 16,320,043 1.9%Canadian Fixed Income Fund Canada 45,640,098 2.1%U.S. Large Company Equity Fund Canada 19,183,864 1.9%U.S. Small Company Equity Fund Canada 1,418,200 1.1%Emerging Markets Equity Fund Canada 4,128,257 1.5%U.S. High Yield Bond Fund (Class O, hedged) Canada 16,388,110 2.9%

147,150,200 December 31, 2015


145,023,747


205

Balanced 60/40 Fund


2016 2015


Interest for distribution purposes $ 2 $ 4 Distributions from mutual funds 32,364 38,448 Net realized gain (loss) on sale of investments 3,230 8,990 Net change in unrealized appreciation

(depreciation) of investments 10,734 (5,204)TOTAL INCOME (NET) 46,330 42,238

EXPENSESCustodian and administration fees 465 528 Legal fees 66 84 Audit fees 41 34 Management fees 11,668 11,558 Trustee fees 15 17 Independent review committee fees 4 4 Securityholder reporting costs 48 50 TOTAL EXPENSES 12,307 12,275Waived expenses (44) (40)NET EXPENSES 12,263 12,235



(Class E) $ 3,181 $ 578(Class F) $ 1,500 $ 266(Class I) $ 465 $ 501(Class O) $ 1,615 $ 2,100(Class P) $ 4,810 $ 9,216(Class R) $ 3,300 $ 3,343(Class S) $ 19,196 $ 13,999


(Class E) 7,624 2,021(Class F) 3,404 1,596(Class I) 1,042 1,067(Class O) 3,736 4,378(Class P) 21,265 29,660(Class R) 6,880 7,439(Class S) 54,634 47,079


(Class E) $ 0.42 $ 0.29(Class F) $ 0.44 $ 0.17(Class I) $ 0.45 $ 0.48(Class O) $ 0.43 $ 0.48(Class P) $ 0.23 $ 0.31(Class R) $ 0.48 $ 0.45(Class S) $ 0.35 $ 0.29


SCBF (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 776,004 $ 758,425 Cash including foreign currency holdings 4,828 7,839 Receivable for unit subscriptions 780 1,777 Receivable from manager 13 10 Prepaid expenses 931 828


Accrued liabilities 1,240 1,241 Payable for investments purchased — 1,620 Payable for unit redemptions 623 1,689



(Class E) $ 62,452 $ 44,092(Class F) $ 29,447 $ 26,265(Class I) $ 8,389 $ 8,739(Class O) $ 31,291 $ 34,977(Class P) $ 147,991 $ 205,380(Class R) $ 56,336 $ 57,513(Class S) $ 444,787 $ 387,363




206




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 34,067 30,003 3,181 578

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (6,867) (1,649) (517) (230)Out of net realized capital gain — (7,486) — (731)

(6,867) (9,135) (517) (961)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 174,960 285,442 33,105 41,002Payments on redemption of units (192,613) (248,525) (17,926) (3,776)Reinvestment of distributions ≠ 6,817 9,116 517 961




Class F Class I2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1,500 266 465 501

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (440) (151) (130) (37)Out of net realized capital gain — (69) — (150)

(440) (220) (130) (187)

CAPITAL UNIT TRANSACTIONSProceeds from issue of units 11,681 28,723 897 807Payments on redemption of units (9,971) (7,375) (1,704) (740)Reinvestment of distributions ≠ 412 213 122 187

2,122 21,561 (685) 254CHANGES IN NET ASSETS ATTRIBUTABLE TO




Balanced 60/40 Fund

(The accompanying notes are an integral part of these financial statements) SCBF

207


Class O Class P2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (690) (274) — —Out of net realized capital gain — — — (233)

(690) (274) — (233)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 11,172 28,436 25,002 64,109Payments on redemption of units (16,463) (28,206) (87,201) (104,826)Reinvestment of distributions ≠ 680 272 — 229

(4,611) 502 (62,199) (40,488)CHANGES IN NET ASSETS ATTRIBUTABLE TO



Class R Class S2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (1,272) (462) (3,818) (495)Out of net realized capital gain — — — (6,303)

(1,272) (462) (3,818) (6,798)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 8,901 8,203 84,202 114,162 Payments on redemption of units (13,378) (64,087) (45,970) (39,515)Reinvestment of distributions ≠ 1,272 462 3,814 6,792

(3,205) (55,422) 42,046 81,439CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (1,177) (52,541) 57,424 88,640NET ASSETS ATTRIBUTABLE TO HOLDERS OF



Balanced 60/40 Fund


208



Net realized (gain) loss on sale of investments (3,230) (8,990)Net change in unrealized (appreciation) depreciation of investments (10,734) 5,204 Distributions from mutual funds (32,364) (38,448)Purchases of investments (14,928) (86,263)Proceeds from the sale of investments 42,056 64,364 Change in other assets (106) 340 Change in other liabilities (1) 45

14,760 (33,745)


(17,771) 37,115



Balanced 60/40 Fund


209



Units $ $

MUTUAL FUNDS – 99.4%SEI Investments*Canadian Equity Fund 8,435,922 166,983,947 182,146,746Canadian Fixed Income Fund 18,878,328 223,444,489 221,809,023Canadian Small Company Equity Fund 1,433,673 13,954,152 17,285,077EAFE Equity Fund 17,618,090 87,638,139 108,687,756Emerging Markets Equity Fund 6,160,246 28,483,292 32,988,731Real Return Bond Fund 2,644,102 42,669,456 44,608,377U.S. High Yield Bond Fund (Class O, hedged) 2,788,441 31,745,080 33,082,904U.S. Large Company Equity Fund 9,600,053 71,459,770 110,474,527U.S. Small Company Equity Fund 2,645,695 13,370,213 24,920,861Total Mutual Funds 679,748,538 776,004,002Total Non-Derivative Financial Assets – 99.4% 679,748,538 776,004,002Other Assets and Liabilities, Net – 0.6% 4,688,706Net Assets Attributable to Holders of Redeemable Units – 100.0% 780,692,708


Balanced 60/40 Fund


210

Balanced 60/40 Fund


Investment ObjectiveThe fundamental investment objective of the Fund is to achieve long-term growth of capital and income through investment in a diversified portfolio of Canadian equity securities, Canadian bonds and foreignequity securities. The Fund seeks to accomplish this objective by investing its assets in underlying funds.








100.0 100.0





2015




211

Balanced 60/40 Fund









776,004,002 December 31, 2015


758,425,083


212

Balanced Monthly Income Fund


2016 2015


Distributions from mutual funds $ 2,288 $ 2,769 Net realized gain (loss) on sale of investments 441 7,801 Net change in unrealized appreciation (depreciation) of investments 3,002 (7,192)


Custodian and administration fees 11 54 Legal fees 25 31 Audit fees 4 3 Management fees 1,351 1,475 Trustee fees 1 2 Securityholder reporting costs 4 5 TOTAL EXPENSES 1,396 1,570Waived expenses (8) (15)NET EXPENSES 1,388 1,555



(Class E) $ 111 $ (2)(Class F) $ 771 $ 141 (Class O) $ 25 $ 6(Class P) $ 3,435 $ 1,678(Class Z) $ 1 $ —


(Class E) 228 71(Class F) 1,241 705 (Class O) 37 22(Class P) 8,672 9,198(Class Z) 1 1


(Class E) $ 0.49 $ (0.03)(Class F) $ 0.62 $ 0.20(Class O) $ 0.67 $ 0.27(Class P) $ 0.40 $ 0.19(Class Z) $ 0.73 $ (0.18)


SBMI (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 60,434 $ 65,764 Cash including foreign currency holdings 451 1,014 Receivable for unit subscriptions 79 21 Receivable from manager 3 6 Prepaid expenses 70 69


Accrued liabilities 124 165 Payable for unit redemptions 158 243 Payable for investments purchased — 142 Distributions payable to unitholders — 282



(Class E) $ 1,930 $ 1,058(Class F) $ 10,613 $ 8,037(Class O) $ 519 $ 229(Class P) $ 47,682 $ 56,708(Class Z) $ 11 $ 10




213





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (407) — (13) —Out of net realized capital gain — (4,896) — (38)Return of capital (5,671) (1,116) (127) (9)

(6,078) (6,012) (140) (47)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 14,953 28,070 1,331 1,154 Payments on redemption of units (21,406) (22,772) (502) (207)Reinvestment of distributions 2,901 2,740 72 14


HOLDERS OF REDEEMABLE UNITS (5,287) 3,849 872 912NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class O2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (75) — (4) —Out of net realized capital gain — (358) — (11)Return of capital (674) (81) (19) (3)

(749) (439) (23) (14)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 3,901 6,092 455 147 Payments on redemption of units (1,655) (1,294) (181) (36)Reinvestment of distributions 308 143 14 10


HOLDERS OF REDEEMABLE UNITS 2,576 4,643 290 113NET ASSETS ATTRIBUTABLE TO HOLDERS OF



(The accompanying notes are an integral part of these financial statements) SBMI

214


CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 4,343 $ 1,823Adjustments for:Net realized (gain) loss on sale of investments (441) (7,801)Net change in unrealized (appreciation) depreciation of investments (3,002) 7,192 Distributions from mutual funds (2,288) (2,769)Purchases of investments (3,492) (40,437)Proceeds from the sale of investments 14,411 39,884 Change in other assets 2 9 Change in other liabilities (41) (15)

9,492 (2,114)


(10,055) 2,321

Increase (decrease) in cash during the period (563) 207Cash at beginning of period 1,014 807Cash at end of period 451 1,014



Class P Class Z2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 3,435 1,678 1 —

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (315) — — —Out of net realized capital gain — (4,489) — —Return of capital (4,850) (1,023) (1) —

(5,165) (5,512) (1) — CAPITAL UNIT TRANSACTIONSProceeds from issue of units 9,266 20,667 — 10 Payments on redemption of units (19,068) (21,235) — —Reinvestment of distributions 2,506 2,573 1 —

(7,296) 2,005 1 10 CHANGES IN NET ASSETS ATTRIBUTABLE TO




215



Units $ $

MUTUAL FUNDS – 99.5%SEI Investments*Canadian Equity Fund 644,504 13,443,935 13,916,012Canadian Fixed Income Fund 1,296,696 15,296,155 15,235,395Canadian Small Company Equity Fund 90,178 923,743 1,087,236Global Managed Volatility Fund 1,205,687 19,979,670 21,116,035U.S. High Yield Bond Fund (Class O, hedged) 765,284 8,628,865 9,079,564Total Mutual Funds 58,272,368 60,434,242Total Non-Derivative Financial Assets – 99.5% 58,272,368 60,434,242Other Assets and Liabilities, Net – 0.5% 320,950Net Assets Attributable to Holders of Redeemable Units – 100.0% 60,755,192




216



Investment ObjectiveThe fundamental investment objective of the Fund is to achieve a balance of long-term growth of capital and current income by investing in a diversified mix of equity and income mutual funds with a slight biasto equity. The Fund seeks to accomplish this objective by investing its assets in underlying funds.








100.0 100.0





2015




217









Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsCanadian Equity Fund Canada 13,916,012 0.6%Canadian Small Company Equity Fund Canada 1,087,236 0.5%Canadian Fixed Income Fund Canada 15,235,395 0.7%U.S. High Yield Bond Fund (Class O, hedged) Canada 9,079,564 1.6%Global Managed Volatility Fund Canada 21,116,035 10.7%

60,434,242December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsCanadian Equity Fund Canada 14,717,708 0.6%Canadian Small Company Equity Fund Canada 1,168,490 0.6%Canadian Fixed Income Fund Canada 16,630,365 0.7%U.S. High Yield Bond Fund (Class O, hedged) Canada 9,512,185 2.1%Global Managed Volatility Fund Canada 23,735,119 13.5%

65,763,867


218

Conservative Fund

SCNF (The accompanying notes are an integral part of these financial statements)


2016 2015


Interest for distribution purposes $ 1 $ —Distributions from mutual funds 25 43 Net realized gain (loss) on sale of investments 38 4 Net change in unrealized appreciation (depreciation) of investments 14 (1)

TOTAL INCOME (NET) 78 46EXPENSES

Custodian and administration fees 1 12 Legal fees 18 23 Interest fees 1 —Management fees 10 13 TOTAL EXPENSES 30 48Waived expenses (17) (32)NET EXPENSES 13 16



(Class E) $ 13 $ 5(Class F) $ 12 $ 7(Class O) $ 28 $ 13(Class P) $ 11 $ 5(Class Z) $ 1 $ —


(Class E) 27 34(Class F) 22 32(Class O) 55 40(Class P) 25 35(Class Z) 1 1


(Class E) $ 0.45 $ 0.18 (Class F) $ 0.54 $ 0.25 (Class O) $ 0.51 $ 0.32 (Class P) $ 0.44 $ 0.14 (Class Z) $ 0.38 $ (0.07)



2016 2015


Investments (non-derivative financial assets) $ 416 $ 1,624 Cash including foreign currency holdings 4 19 Receivable from manager 56 4 Prepaid expenses — 13

476 1,660LIABILITIESCurrent liabilities

Accrued liabilities 4 54 5

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 472 $ 1,655


(Class E) $ 76 $ 340(Class F) $ 21 $ 328(Class O) $ 321 $ 637(Class P) $ 33 $ 340(Class Z) $ 21 $ 10



INVESTMENTS AT AVERAGE COST $ 412 $ 1,635

219

Conservative Fund

(The accompanying notes are an integral part of these financial statements) SCNF





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (11) (14) — (1)Out of net realized capital gain (40) (18) (6) (4)

(51) (32) (6) (5)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 339 335 74 1 Payments on redemption of units (1,586) (20) (351) —Reinvestment of distributions 50 31 6 4

(1,197) 346 (271) 5CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (1,183) 344 (264) 5 NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 472 $ 1,655 $ 76 $ 340

Class F Class O2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — (3) (10) (10)Out of net realized capital gain (2) (3) (27) (7)

(2) (6) (37) (17)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 21 — 183 324 Payments on redemption of units (340) — (527) (20)Reinvestment of distributions 2 6 37 17

(317) 6 (307) 321CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (307) 7 (316) 317NET ASSETS ATTRIBUTABLE TO HOLDERS OF


220

Conservative Fund



Class P Class Z2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 340 $ 335 $ 10 $ —


DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (1) — Out of net realized capital gain (3) (4) (2) —

(3) (4) (3) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 50 — 11 10 Payments on redemption of units (368) — — —Reinvestment of distributions 3 4 2 —

(315) 4 13 10 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (307) 5 11 10NET ASSETS ATTRIBUTABLE TO HOLDERS OF



CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 65 $ 30Adjustments for:Net realized (gain) loss on sale of investments and derivatives (38) (4)Net change in unrealized (appreciation) depreciation of investments (14) 1 Distributions from mutual funds (25) (43)Purchases of investments (332) (367)Proceeds from the sale of investments 1,616 89 Change in interest receivable 1 —Change in other assets (36) (15)Change in other liabilities (4) 2

1,233 (307)

CASH FLOWS USED IN FINANCING ACTIVITIESAmount received from the issuance of units (note 16) 322 335 Amount paid on redemptions of units (note 16) (1,569) (20)Distributions paid to unitholders (1) (1)

(1,248) 314

Increase (decrease) in cash during the period (15) 7 Cash at beginning of period 19 12 Cash at end of period 4 19

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 1 —

221



Units $ $

MUTUAL FUNDS – 88.1%SEI Investments*Canadian Equity Fund 1,344 29,359 29,020Canadian Fixed Income Fund 6,041 73,177 70,976Global Managed Volatility Fund 3,555 56,223 62,263Real Return Bond Fund 757 13,152 12,771Short Term Bond Fund 12,935 129,643 128,560Short Term Investment Fund 7,436 74,411 74,395U.S. High Yield Bond Fund 285 4,164 4,211U.S. High Yield Bond Fund (Class O, hedged) 2,812 32,131 33,360Total Mutual Funds 412,260 415,556Total Non-Derivative Financial Assets – 88.1% 412,260 415,556Other Assets and Liabilities, Net – 11.9% 56,181Net Assets Attributable to Holders of Redeemable Units – 100.0% 471,737


Conservative Fund


222


Investment ObjectiveThe fundamental investment objective of the Fund is to manage risk of loss while providing the opportunity for modest capital appreciation. The Fund seeks to accomplish this objective by investing primarily ina diversified portfolio of fixed income and equity securities, with a focus on fixed income. The Fund seeks to accomplish this objective by investing its assets in underlying funds.

Currency RiskAs at December 31, 2016 and 2015, the Fund’s direct exposure to currency risk is minimal given that the underlying funds held are valued in Canadian dollars which is the functional currency of the Fund. TheFund is exposed to indirect currency risk in the event that the underlying funds invest in financial instruments that are denominated in a currency other than Canadian dollars.


Other Price RiskAs at December 31, 2016, a 5% (December 31, 2015 – 5%) change in the net asset values of the underlying funds would have increased or decreased the Fund’s Net Assets by $4,564 (December 31, 2015 – $17,952). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.





100.0 100.0




Investments in funds $ 415,556 $ — $ — $ 415,556

2015



Conservative Fund


223

Conservative Fund



Financial instruments at FVTPL:Held for trading $ — $ —Designated at inception 78 46





Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 128,560 0.0%Real Return Bond Fund Canada 12,771 0.0%Canadian Equity Fund Canada 29,020 0.0%Canadian Fixed Income Fund Canada 70,976 0.0%U.S. High Yield Bond Fund Canada 4,211 0.0%U.S. High Yield Bond Fund (Class O, hedged) Canada 33,360 0.0%Short Term Investment Fund Canada 74,395 0.9%Global Managed Volatility Fund Canada 62,263 0.0%

415,556

December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 506,422 0.1%Real Return Bond Fund Canada 47,285 0.0%Canadian Equity Fund Canada 109,989 0.0%Canadian Fixed Income Fund Canada 278,884 0.0%U.S. High Yield Bond Fund (Class O, hedged) Canada 140,719 0.0%Short Term Investment Fund Canada 291,747 2.8%Global Managed Volatility Fund Canada 249,043 0.1%

1,624,089


224

Conservative Monthly Income Fund


2016 2015


Interest for distribution purposes $ 2 $ 2 Distributions from mutual funds 20,394 18,155 Net realized gain (loss) on sale of investments 28 375 Net change in unrealized appreciation (depreciation) of investments 10,702 (5,175)





(Class E) $ 126 $ 21(Class F) $ 190 $ 19(Class O) $ 105 $ 43(Class P) $ 1,139 $ 304(Class S) $ 21,341 $ 5,370(Class Z) $ 1 $ —


(Class E) 353 161(Class F) 347 108(Class O) 454 142(Class P) 3,534 3,786(Class S) 58,583 50,721(Class Z) 1 1


(Class E) $ 0.36 $ 0.13(Class F) $ 0.55 $ 0.18(Class O) $ 0.23 $ 0.31(Class P) $ 0.32 $ 0.09(Class S) $ 0.36 $ 0.10 (Class Z) $ 0.57 $ (0.12)


SCMI (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 543,868 $ 488,199 Cash including foreign currency holdings 3,353 4,130 Prepaid expenses 617 575 Receivable from manager 2 —Receivable for unit subscriptions 761 214


Accrued liabilities 837 752 Payable for unit redemptions 400 279 Distributions payable to unitholders — 384



(Class E) $ 3,475 $ 1,921(Class F) $ 2,916 $ 1,309(Class O) $ 15,177 $ 1,527(Class P) $ 23,397 $ 29,241(Class S) $ 502,388 $ 457,695(Class Z) $ 11 $ 10




225






DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (6,956) (3,565) (49) (16)Out of net realized capital gain (3,046) (6,906) (16) (19)Return of capital (20,438) (16,088) (109) (45)

(30,440) (26,559) (174) (80)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 133,432 174,561 3,230 1,200 Payments on redemption of units (95,728) (78,317) (1,774) (365)Reinvestment of distributions 25,495 22,356 146 70

63,199 118,600 1,602 905CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 55,661 97,798 1,554 846NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class O2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (38) (12) (206) (16)Out of net realized capital gain (15) (12) (7) (16)Return of capital (103) (29) (44) (36)

(156) (53) (257) (68)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 9,320 880 14,468 534 Payments on redemption of units (7,834) (376) (734) (250)Reinvestment of distributions 87 33 68 63

1,573 537 13,802 347CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1,607 503 13,650 322NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SCMI

226



Class P Class S2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1,139 304 21,341 5,370

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (276) (203) (6,387) (3,318)Out of net realized capital gain (182) (486) (2,826) (6,373)Return of capital (1,222) (1,132) (18,960) (14,846)

(1,680) (1,821) (28,173) (24,537)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 6,996 13,451 99,418 158,486 Payments on redemption of units (13,244) (12,133) (72,142) (65,193)Reinvestment of distributions 945 1,063 24,249 21,127


HOLDERS OF REDEEMABLE UNITS (5,844) 864 44,693 95,253NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class Z2016 2015








227




CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 22,902 $ 5,757Adjustments for:Net realized (gain) loss on sale of investments (28) (375)Net change in unrealized (appreciation) depreciation of investments (10,701) 5,175 Distributions from mutual funds (20,394) (18,155)Purchases of investments (25,790) (87,248)Proceeds from the sale of investments 1,243 5,528 Change in accrued income from mutual funds — 196 Change in other assets (44) (121)Change in other liabilities 85 101

(32,727) (89,142)


31,950 90,699

Increase (decrease) in cash during the period (777) 1,557Cash at beginning of period 4,130 2,573Cash at end of period 3,353 4,130


228



Units $ $

MUTUAL FUNDS – 99.4%SEI Investments*Canadian Equity Fund 3,344,641 70,074,182 72,216,820Canadian Fixed Income Fund 18,512,279 222,797,951 217,508,166Global Managed Volatility Fund 5,309,310 81,327,391 92,985,664Short Term Bond Fund 9,655,640 97,056,832 95,967,403U.S. High Yield Bond Fund (Class O, hedged) 5,494,641 62,749,125 65,190,069Total Mutual Funds 534,005,481 543,868,122Total Non-Derivative Financial Assets – 99.4% 534,005,481 543,868,122Other Assets and Liabilities, Net – 0.6% 3,495,644Net Assets Attributable to Holders of Redeemable Units – 100.0% 547,363,766




229



Investment ObjectiveThe fundamental investment objective of the Fund is to achieve a balance of current income and long-term capital appreciation by investing in a diversified mix of equity and fixed income mutual funds with abias to income. The Fund seeks to accomplish this objective by investing its assets in underlying funds.

Currency RiskAs at December 31, 2016 and 2015, the Fund’s direct exposure to currency risk is minimal given that the underlying funds held are valued in Canadian dollars which is the functional currency of the Fund.The Fund is be exposed to indirect currency risk in the event that the underlying funds invest in financial instruments that are denominated in a currency other than Canadian dollars.







100.0 100.0





2015




230









Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 95,967,403 20.0%Canadian Equity Fund Canada 72,216,820 3.0%Canadian Fixed Income Fund Canada 217,508,166 9.8%U.S. High Yield Bond Fund (Class O, hedged) Canada 65,190,069 11.7%Global Managed Volatility Fund Canada 92,985,664 47.0%

543,868,122

December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 87,522,975 17.8%Canadian Equity Fund Canada 62,523,316 2.7%Canadian Fixed Income Fund Canada 196,594,653 7.8%U.S. High Yield Bond Fund (Class O, hedged) Canada 54,754,741 12.3%Global Managed Volatility Fund Canada 86,803,225 49.5%

488,198,910


231

Growth Fund


2016 2015


Distributions from mutual funds $ 4,753 $ 5,729 Interest for distribution purposes 2 —Net realized gain (loss) on sale of investments 1,633 5,640 Net change in unrealized appreciation (depreciation) of investments 1,830 (3,733)





(Class E) $ 2,320 $ 118(Class F) $ 520 $ 187(Class O) $ 989 $ 818(Class P) $ 1,895 $ 3,681(Class R) $ 453 $ 372(Class Z) $ — $ —


(Class E) 5,290 1,027(Class F) 1,169 637(Class O) 2,234 2,335(Class P) 8,093 13,054(Class R) 1,097 1,049(Class Z) 2 2




SBGF (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 113,636 $ 117,037 Cash including foreign currency holdings 778 825 Receivable for unit subscriptions 111 259 Receivable from manager 6 6 Prepaid expenses 124 128





(Class E) $ 35,933 $ 21,306(Class F) $ 8,119 $ 5,212(Class O) $ 14,541 $ 14,735(Class P) $ 49,010 $ 69,954(Class R) $ 6,744 $ 6,448(Class Z) $ 10 $ 10




232

Growth Fund




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 6,177 5,176 2,320 118

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (815) — (259) —Out of net realized capital gain — (3,546) — (1,305)

(815) (3,546) (259) (1,305)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 32,534 50,820 16,928 19,952 Payments on redemption of units (41,982) (59,809) (4,621) (932)Reinvestment of distributions 778 3,483 259 1,305

(8,670) (5,506) 12,566 20,325CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (3,308) (3,876) 14,627 19,138NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class O2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (116) — (302) —Out of net realized capital gain — (266) — —

(116) (266) (302) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 4,404 2,427 2,506 9,358 Payments on redemption of units (2,000) (895) (3,669) (9,442)Reinvestment of distributions 99 260 282 —

2,503 1,792 (881) (84)CHANGES IN NET ASSETS ATTRIBUTABLE TO



(The accompanying notes are an integral part of these financial statements) SBGF

233

Growth Fund


Class P Class R2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income — — (138) —Out of net realized capital gain — (1,583) — (391)

— (1,583) (138) (391)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 7,985 18,384 711 689 Payments on redemption of units (30,824) (47,719) (868) (821)Reinvestment of distributions — 1,526 138 391

(22,839) (27,809) (19) 259 CHANGES IN NET ASSETS ATTRIBUTABLE TO



Class Z2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net realized capital gain — (1)

— (1)CAPITAL UNIT TRANSACTIONSProceeds from issue of units — 10Reinvestment of distributions — 1





234

Growth Fund



CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 6,177 $ 5,176Adjustments for:Net realized (gain) loss on sale of investments (1,633) (5,640)Net change in unrealized (appreciation) depreciation of investments (1,830) 3,733 Distributions from mutual funds (4,753) (5,729)Purchases of investments (1,178) (18,715)Proceeds from the sale of investments 12,795 29,429 Change in other assets 4 5 Change in other liabilities (46) (43)

9,536 8,216


(9,583) (9,037)

Increase (decrease) in cash during the period (47) (821)Cash at beginning of period 825 1,646 Cash at end of period 778 825

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 2 —

235



Units $ $

MUTUAL FUNDS – 99.4%SEI Investments*Canadian Equity Fund 1,272,194 24,947,702 27,468,956Canadian Fixed Income Fund 1,743,793 20,288,196 20,488,523Canadian Small Company Equity Fund 84,430 881,894 1,017,931EAFE Equity Fund 2,781,436 14,364,170 17,158,957Emerging Markets Equity Fund 1,056,765 4,972,854 5,659,084Real Return Bond Fund 392,598 6,584,103 6,623,479U.S. High Yield Bond Fund (Class O, hedged) 1,261,163 14,306,465 14,962,821U.S. Large Company Equity Fund 1,564,695 11,534,660 18,006,044U.S. Small Company Equity Fund 238,862 1,392,164 2,249,937 Total Mutual Funds 99,272,208 113,635,732Total Non-Derivative Financial Assets – 99.4% 99,272,208 113,635,732Other Assets and Liabilities, Net – 0.6% 721,679Net Assets Attributable to Holders of Redeemable Units – 100.0% 114,357,411


Growth Fund


236


Investment ObjectiveThe fundamental investment objective of the Fund is to achieve long-term growth of capital and income through investment in a diversified portfolio of Canadian equity securities, foreign equity securities, Canadianand foreign fixed income securities. The Fund seeks to accomplish this objective by investing its assets in underlying funds.



Other Price RiskAs at December 31, 2016, a 5% (December 31, 2015 – 5%) change in the net asset values of the securities of the underlying funds exposed to other price risk would have increased or decreased the Fund’sNet Assets by $3,578,045 (December 31, 2015 – $3,688,581). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.





100.0 100.0





2015Investments in funds $ 117,037,137 $ — $ — $ 117,037,137


Growth Fund


237

Growth Fund

Fund Specific Notes to the Financial StatementsAS AT DECEMBER 31, 2016 AND 2015Net gains and lossesThe following table presents the net gains (losses) on financial instruments at FVTPL by category for the years ended December 31, 2016 and 2015.









113,635,732December 31, 2015


117,037,137


238

Growth 100 Fund


2016 2015

INCOMENET GAIN (LOSS) ON INVESTMENTS AND

DERIVATIVESDistributions from mutual funds $ 3,215 4,664 Net realized gain (loss) on sale of investments 1,056 2,198 Net change in unrealized appreciation

(depreciation) of investments 1,603 467 TOTAL INCOME (NET) 5,874 7,329

EXPENSESCustodian and administration fees 43 70 Legal fees 26 29 Audit fees 4 4 Management fees 1,101 1,237 Trustee fees 1 2 Securityholder reporting costs 5 6 TOTAL EXPENSES 1,180 1,348Waived expenses (9) (14)NET EXPENSES 1,171 1,334



(Class E) $ 217 $ 87(Class F) $ 180 $ 164(Class I) $ 404 $ 448(Class O) $ 364 $ 450(Class P) $ 867 $ 2,422(Class R) $ 969 $ 897(Class S) $ 1,702 $ 1,527


(Class E) 336 118(Class F) 288 224(Class I) 652 625(Class O) 599 633(Class P) 3,624 4,878(Class R) 1,511 1,335(Class S) 3,747 3,259




SEDE (The accompanying notes are an integral part of these financial statements)


2016 2015











239





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (563) (27) (21) —

(563) (27) (21) —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 17,870 19,435 2,078 1,362Payments on redemption of units (19,438) (22,137) (449) (1,057)Reinvestment of distributions ≠ 550 27 21 —

(1,018) (2,675) 1,650 305CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 3,122 3,293 1,846 392NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class I2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (23) — (68) (27)

(23) — (68) (27)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,202 950 705 701Payments on redemption of units (926) (1,169) (545) (443)Reinvestment of distributions ≠ 17 — 61 27

293 (219) 221 285CHANGES IN NET ASSETS ATTRIBUTABLE TO




Growth 100 Fund

(The accompanying notes are an integral part of these financial statements) SEDE

240

Growth 100 Fund


Class O Class P2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 364 450 867 2,422

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (83) — — —

(83) — — —CAPITAL UNIT TRANSACTIONSProceeds from issue of units 2,197 736 2,962 6,116 Payments on redemption of units (2,886) (724) (9,437) (14,066)Reinvestment of distributions ≠ 83 — — —

(606) 12 (6,475) (7,950)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (325) 462 (5,608) (5,528) NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class R Class S2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (222) — (146) —

(222) — (146) — CAPITAL UNIT TRANSACTIONSProceeds from issue of units 2,270 2,374 6,456 7,196 Payments on redemption of units (1,652) (900) (3,543) (3,778)Reinvestment of distributions ≠ 222 — 146 —

840 1,474 3,059 3,418CHANGES IN NET ASSETS ATTRIBUTABLE TO





241



Net realized (gain) loss on sale of investments (1,056) (2,198)Net change in unrealized (appreciation) depreciation of investments (1,603) (467)Distributions from mutual funds (3,215) (4,664)Purchases of investments (2,711) (2,507)Proceeds from the sale of investments 5,593 6,749 Change in other assets (4) 8 Change in other liabilities (12) (22)

1,695 2,894

CASH FLOWS USED IN FINANCING ACTIVITIESAmount received from the issuance of units (note 16) 15,097 16,572 Amount paid on redemptions of units (note 16) (16,774) (19,213)Distributions paid to unitholders (13) —

(1,690) (2,641)

Increase (decrease) in cash during the period 5 253Cash at beginning of period 737 484Cash at end of period 742 737

Growth 100 Fund


242



Units $ $

MUTUAL FUNDS – 99.0%SEI Investments*Canadian Equity Fund 1,354,570 27,109,526 29,247,596Canadian Small Company Equity Fund 264,355 2,577,501 3,187,194EAFE Equity Fund 2,964,621 14,779,959 18,289,044Emerging Markets Equity Fund 970,934 4,495,446 5,199,448U.S. Large Company Equity Fund 1,672,257 12,557,305 19,243,829U.S. Small Company Equity Fund 518,602 2,743,599 4,884,920Total Mutual Funds 64,263,336 80,052,031Total Non-Derivative Financial Assets – 99.0% 64,263,336 80,052,031Other Assets and Liabilities, Net – 1.0% 808,605Net Assets Attributable to Holders of Redeemable Units – 100.0% 80,860,636


Growth 100 Fund


243


Investment ObjectiveThe fundamental investment objective of the Fund is to achieve long-term growth of capital and income through investment in a diversified portfolio of Canadian and foreign equity securities and Canadian andforeign fixed income securities. The Growth Fund will seek to accomplish this objective by investing its assets either directly or through investments in underlying funds.







Mutual Funds, Canadian Equity 40.10 37.8Mutual Funds, Foreign Equity 58.90 61.3Other Assets and Liabilities, Net 1.00 0.9

100.0 100.0





2015



Growth 100 Fund


244

Growth 100 Fund







Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsCanadian Equity Fund Canada 29,247,596 1.2%Canadian Small Company Equity Fund Canada 3,187,194 1.5%EAFE Equity Fund Canada 18,289,044 2.2%U.S. Large Company Equity Fund Canada 19,243,829 1.9%U.S. Small Company Equity Fund Canada 4,884,920 3.7%Emerging Markets Equity Fund Canada 5,199,448 1.9%

80,052,031 December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsCanadian Equity Fund Canada 26,622,187 1.2%Canadian Small Company Equity Fund Canada 2,765,525 1.5%EAFE Equity Fund Canada 18,533,619 2.2%U.S. Large Company Equity Fund Canada 19,224,167 1.9%U.S. Small Company Equity Fund Canada 4,749,062 3.8%Emerging Markets Equity Fund Canada 5,165,573 2.0%

77,060,133


245

Growth 80/20 Fund


2016 2015


Interest for distribution purposes $ — $ 2 Distributions from mutual funds 8,010 9,785 Net realized gain (loss) on sale of investments 762 5,765 Net change in unrealized appreciation


EXPENSESCustodian and administration fees 152 137 Legal fees 46 36 Audit fees 9 9 Interest expense 1 —Management fees 2,669 2,579 Trustee fees 5 4 Independent review committee fees 1 1 Securityholder reporting costs 11 14 TOTAL EXPENSES 2,894 2,780Waived expenses (19) (15)NET EXPENSES 2,875 2,765



(Class E) $ 945 $ 262(Class F) $ 263 $ 120(Class I) $ 521 $ 474(Class O) $ 724 $ 1,180(Class P) $ 1,311 $ 2,682(Class R) $ 1,462 $ 2,132(Class S) $ 5,349 $ 3,929


(Class E) 2,201 780(Class F) 536 291(Class I) 1,107 961(Class O) 1,859 2,227(Class P) 5,413 7,356(Class R) 2,631 2,840(Class S) 14,545 11,497




SBGP (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 194,375 $ 177,203 Cash including foreign currency holdings 1,707 2,821 Receivable for unit subscriptions 297 418 Receivable from manager 6 6 Prepaid expenses 199 237


Accrued liabilities 287 271 Payable for unit redemptions 60 296 Payable for investments purchased — 1,000







246





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (1,642) (29) (48) —Out of net realized capital gain — (5,943) — (539)

(1,642) (5,972) (48) (539)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 49,337 54,108 10,574 7,942Payments on redemption of units (42,763) (67,536) (8,805) (285)Reinvestment of distributions ≠ 1,612 5,934 48 539

8,186 (7,494) 1,817 8,196CHANGES IN NET ASSETS ATTRIBUTABLE TO



Class F Class I2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (84) — (119) (29)Out of net realized capital gain — (151) — (411)

(84) (151) (119) (440)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 3,261 1,382 937 832 Payments on redemption of units (1,232) (134) (390) (161)Reinvestment of distributions ≠ 79 137 111 440

2,108 1,385 658 1,111CHANGES IN NET ASSETS ATTRIBUTABLE TO




Growth 80/20 Fund

(The accompanying notes are an integral part of these financial statements) SBGP

247


Class O Class P2016 2015 2016 2015


INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 724 1,180 1,311 2,682

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (267) — — —Out of net realized capital gain — (367) — (458)

(267) (367) — (458)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 2,100 6,955 5,808 10,933Payments on redemption of units (6,653) (6,051) (14,784) (23,800)Reinvestment of distributions ≠ 250 355 — 448

(4,303) 1,259 (8,976) (12,419) CHANGES IN NET ASSETS ATTRIBUTABLE TO



Class R Class S2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (434) — (690) —Out of net realized capital gain — — — (4,017)

(434) — (690) (4,017)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 3,836 3,317 22,821 22,747 Payments on redemption of units (1,813) (29,877) (9,086) (7,228)Reinvestment of distributions ≠ 434 — 690 4,015

2,457 (26,560) 14,425 19,534 CHANGES IN NET ASSETS ATTRIBUTABLE TO




Growth 80/20 Fund


248



Net realized (gain) loss on sale of investments (762) (5,765)Net change in unrealized (appreciation) depreciation of investments (4,678) 2,008 Distributions from mutual funds (8,010) (9,785)Purchases of investments (9,138) (11,413)Proceeds from the sale of investments 4,416 28,738 Change in other assets 38 (61)Change in other liabilities 16 26

(7,543) 14,527


6,429 (13,483)


CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received — 2

Growth 80/20 Fund


249

Growth 80/20 Fund




Units $ $

MUTUAL FUNDS – 99.1%SEI Investments*Canadian Equity Fund 2,689,485 55,052,349 58,070,821Canadian Fixed Income Fund 2,139,334 25,304,638 25,135,896Canadian Small Company Equity Fund 532,869 5,291,562 6,424,530EAFE Equity Fund 5,496,763 28,240,289 33,910,080Emerging Markets Equity Fund 2,202,095 10,291,628 11,792,438Real Return Bond Fund 308,100 4,976,868 5,197,926U.S. High Yield Bond Fund (Class O, hedged) 495,561 5,626,226 5,879,479U.S. Large Company Equity Fund 3,281,765 26,305,713 37,765,564U.S. Small Company Equity Fund 1,082,728 6,120,127 10,198,647Total Mutual Funds 167,209,400 194,375,381Total Non-Derivative Financial Assets – 99.1% 167,209,400 194,375,381Other Assets and Liabilities, Net – 0.9% 1,861,595Net Assets Attributable to Holders of Redeemable Units – 100.0% 196,236,976


250


Investment ObjectiveThe fundamental investment objective of the Fund is to achieve long-term growth of capital and income through investment in a diversified portfolio of Canadian and foreign equity securities and Canadian andforeign fixed income securities. The Fund seeks to accomplish this objective by investing its assets in underlying funds.








100.0 100.0





2015



Growth 80/20 Fund


251

Growth 80/20 Fund








194,375,381December 31, 2015


177,203,180


252

Income 100 Fund


2016 2015


Distributions from mutual funds $ 1,052 $ 948 Net realized gain (loss) on sale of investments 44 20 Net change in unrealized appreciation (depreciation) of investments (254) (361)

TOTAL INCOME (NET) 842 607EXPENSES

Custodian and administration fees 20 30 Legal fees 23 26 Audit fees 2 1 Management fees 334 334 Trustee fees 1 1 Securityholder reporting costs 2 2 TOTAL EXPENSES 382 394Waived expenses (3) (24)NET EXPENSES 379 370



(Class E) $ 24 $ (4)(Class F) $ 25 $ 5(Class O) $ 132 $ 74(Class P) $ 169 $ 80(Class R) $ 10 $ 14(Class S) $ 103 $ 68

AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS(Class E) 151 209(Class F) 229 59(Class O) 712 686(Class P) 2,573 2,721(Class R) 77 131(Class S) 1,410 1,246


(Class E) $ 0.16 $ (0.02)(Class F) $ 0.11 $ 0.08(Class O) $ 0.19 $ 0.10(Class P) $ 0.07 $ 0.02(Class R) $ 0.14 $ 0.11(Class S) $ 0.07 $ 0.05


SVIF (The accompanying notes are an integral part of these financial statements)


2016 2015


Investments (non-derivative financial assets) $ 24,352 $ 27,848 Cash including foreign currency holdings — 327 Receivable for unit subscriptions 3 54 Receivable from manager 2 2 Receivable for portfolio securities sold 364 —Prepaid expenses 20 19


Bank indebtedness 64 —Accrued liabilities 33 39 Payable for unit redemptions 3 22



(Class E) $ 386 $ 1,173(Class F) $ 1,014 $ 979(Class O) $ 3,061 $ 3,859(Class P) $ 12,312 $ 14,965(Class R) $ 384 $ 490(Class S) $ 7,484 $ 6,723


(Class E) $ 5.08 $ 5.13(Class F) $ 5.25 $ 5.33(Class O) $ 5.10 $ 5.18(Class P) $ 5.22 $ 5.30(Class R) $ 4.97 $ 5.06(Class S) $ 5.15 $ 5.24


253




INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 463 237 24 (4)

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (401) (380) (3) (18)Out of net realized capital gain (344) (226) (6) (9)

(745) (606) (9) (27)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 14,263 12,320 383 875 Payments on redemption of units (18,227) (9,854) (1,194) (226)Reinvestment of distributions 698 569 9 27

(3,266) 3,035 (802) 676CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (3,548) 2,666 (787) 645NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 24,641 $ 28,189 $ 386 $ 1,173

Class F Class O2016 2015 2016 2015




(35) (27) (134) (128)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,021 1,076 1,554 1,192 Payments on redemption of units (1,001) (250) (2,483) (557)Reinvestment of distributions 25 17 133 128

45 843 (796) 763CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 35 821 (798) 709NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Income 100 Fund

(The accompanying notes are an integral part of these financial statements) SVIF

254

Income 100 Fund


Class P Class R2016 2015 2016 2015





(2,520) 540 (99) (211)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (2,653) 360 (106) (214)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class S2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 6,723 $ 6,378

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 103 68

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (142) (93)Out of net realized capital gain (106) (54)

(248) (147)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 2,923 1,809 Payments on redemption of units (2,265) (1,531)Reinvestment of distributions 248 146

906 424CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 761 345 NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 7,484 $ 6,723


255

Income 100 Fund


CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 463 $ 237Adjustments for:Net realized (gain) loss on sale of investments (44) (20)Net change in unrealized (appreciation) depreciation of investments 254 361 Distributions from mutual funds (1,052) (948)Purchases of investments (2,891) (5,158)Proceeds from the sale of investments 6,865 3,254 Change in other assets (1) 40 Change in other liabilities (6) (2)

3,588 (2,236)


(3,979) 2,274

Increase (decrease) in cash during the period (391) 38Cash at beginning of period 327 289 Cash at end of period (64) 327


256

Income 100 Fund




Units $ $

MUTUAL FUNDS – 98.8%SEI Investments*Canadian Fixed Income Fund 1,253,079 15,175,586 14,722,929Money Market Fund 116,894 1,168,938 1,168,938Real Return Bond Fund 69,990 1,223,560 1,180,790Short Term Bond Fund 614,114 6,170,667 6,103,678U.S. High Yield Bond Fund (Class O, hedged) 99,069 1,121,093 1,175,389Total Mutual Funds 24,859,844 24,351,724Total Non-Derivative Financial Assets – 98.8% 24,859,844 24,351,724Other Assets and Liabilities, Net – 1.2% 289,674Net Assets Attributable to Holders of Redeemable Units – 100.0% 24,641,398


257

Income 100 Fund


Investment ObjectiveThe fundamental investment objective of the Fund is to achieve long-term growth of capital and income primarily through investment in a diversified portfolio of fixed income securities. The Fund seeks toaccomplish this objective by investing its assets in underlying funds.


Interest Rate RiskAs at December 31, 2016 and 2015, the interest rate risk is minimal given that the majority of the financial instruments held by the Fund are non-interest bearing. The Fund is exposed to interest rate riskthrough its holdings in the underlying funds as the underlying funds hold fixed income securities. As at December 31, 2016, a 5% (December 31, 2015 – 5%) change in net asset values of the underlyingfunds would have increased or decreased the Fund’s Net Assets by $1,217,586 (December 31, 2015 – $1,392,397). In practice, the results may differ from this sensitivity analysis and the differencescould be material.

Other Price RiskThe Fund is not exposed to other price risk as the underlying funds do not have material holdings in equity investments.

Credit Risk As at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no direct investments in debt instruments or derivatives. The Fund is exposed to credit risk through its holdings inthe underlying funds as the the underlying funds hold fixed income securities and derivatives.



Mutual Funds, Fixed Income 98.8 98.8Other Assets and Liabilities, Net 1.2 1.2

100.0 100.0








258

Income 100 Fund

Fund Specific Notes to the Financial StatementsAS AT DECEMBER 31, 2016 AND 2015Net gains and lossesThe following table presents the net gains (losses) on financial instruments at FVTPL by category for the years ended December 31, 2016 and 2015.



Financial instruments at FVTPL:Held for trading $ — $ —Designated at inception 842 607





Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 6,103,678 1.3%Money Market Fund Canada 1,168,938 0.9%Real Return Bond Fund Canada 1,180,790 0.2%Canadian Fixed Income Fund Canada 14,722,929 0.7%U.S. High Yield Bond Fund (Class O, hedged) Canada 1,175,389 0.2%

24,351,724

December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 6,959,506 1.4%Money Market Fund Canada 1,333,153 1.2%Real Return Bond Fund Canada 1,348,111 0.3%Canadian Fixed Income Fund Canada 16,855,920 0.7%U.S. High Yield Bond Fund (Class O, hedged) Canada 1,351,246 0.3%

27,847,936


259

Income 20/80 Fund


2016 2015


Interest for distribution purposes $ — $ 1 Distributions from mutual funds 7,259 6,388 Net realized gain (loss) on sale of investments 187 937 Net change in unrealized appreciation

(depreciation) of investments (331) (2,397)TOTAL INCOME (NET) 7,115 4,929

EXPENSESCustodian and administration fees 145 117 Legal fees 36 37 Audit fees 11 7 Management fees 2,115 1,810 Trustee fees 5 4Independent review committee fees 1 1

Securityholder reporting costs 12 10 TOTAL EXPENSES 2,325 1,986Waived expenses (3) (2)NET EXPENSES 2,322 1,984



(Class E) $ 24 $ 8 (Class F) $ 46 $ 144(Class I) $ 251 $ 219(Class O) $ 76 $ 66(Class P) $ 463 $ 256(Class R) $ 42 $ 25(Class S) $ 3,891 $ 2,227


(Class E) 167 65(Class F) 337 275(Class I) 1,215 1,219(Class O) 601 440(Class P) 3,446 3,236(Class R) 198 145(Class S) 26,240 21,666




SDIF (The accompanying notes are an integral part of these financial statements)


2016 2015







(Class E) $ 1,211 $ 330(Class F) $ 2,172 $ 1,232(Class I) $ 7,060 $ 7,210(Class O) $ 4,077 $ 1,957(Class P) $ 19,709 $ 16,765(Class R) $ 980 $ 646(Class S) $ 154,605 $ 130,317




260





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (2,780) (1,866) (22) (4)Out of net realized capital gain (1,518) (2,383) — (6)

(4,298) (4,249) (22) (10)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 65,983 56,525 1,904 194 Payments on redemption of units (39,345) (35,312) (1,047) (188)Reinvestment of distributions ≠ 4,224 4,229 22 10


HOLDERS OF REDEEMABLE UNITS 31,357 24,138 881 14NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS AT END OF PERIOD $ 189,814 $ 158,457 $ 1,211 $ 330

Class F Class I2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (43) (16) (131) (110)Out of net realized capital gain (23) — (70) (137)

(66) (16) (201) (247)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,175 594 374 455Payments on redemption of units (280) (3,612) (768) (473)Reinvestment of distributions ≠ 65 16 194 247

960 (3,002) (200) 229 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 940 (2,874) (150) 201NET ASSETS ATTRIBUTABLE TO HOLDERS OF



Income 20/80 Fund

(The accompanying notes are an integral part of these financial statements) SDIF

261


Class O Class P2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (106) (45) (194) (93)Out of net realized capital gain (18) (5) (26) (89)

(124) (50) (220) (182)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 3,580 654 13,276 8,640Payments on redemption of units (1,533) (1,064) (10,747) (9,007)Reinvestment of distributions ≠ 121 50 172 177

2,168 (360) 2,701 (190) CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 2,120 (344) 2,944 (116) NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class R Class S2016 2015 2016 2015

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 646 $ 1,260 $ 130,317 $ 102,446


DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (27) (15) (2,257) (1,583)Out of net realized capital gain (4) — (1,377) (2,146)

(31) (15) (3,634) (3,729)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 776 441 44,898 45,547Payments on redemption of units (484) (1,080) (24,486) (19,888)Reinvestment of distributions ≠ 31 15 3,619 3,714

323 (624) 24,031 29,373CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 334 (614) 24,288 27,871NET ASSETS ATTRIBUTABLE TO HOLDERS OF



Income 20/80 Fund


262

Income 20/80 Fund



Net realized (gain) loss on sale of investments (187) (937)Net change in unrealized (appreciation) depreciation of investments 331 2,397 Distributions from mutual funds (7,259) (6,388)Purchases of investments (28,752) (24,143)Proceeds from the sale of investments 3,535 4,882 Change in other assets (14) (3)Change in other liabilities 64 11

(27,489) (21,236)


27,384 21,031

Increase (decrease) in cash during the period (105) (205)Cash at beginning of period 1,785 1,990Cash at end of period 1,680 1,785

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received — 1


263



Units $ $

MUTUAL FUNDS – 99.5%SEI Investments*Canadian Equity Fund 878,708 17,626,857 18,972,885Canadian Fixed Income Fund 7,251,986 87,771,876 85,206,484EAFE Equity Fund 1,523,686 7,432,724 9,399,771Real Return Bond Fund 748,246 13,012,912 12,623,583Short Term Bond Fund 4,403,648 44,245,993 43,767,858U.S. High Yield Bond Fund (Class O, hedged) 799,679 9,057,043 9,487,631U.S. Large Company Equity Fund 815,640 6,851,915 9,386,138Total Mutual Funds 185,999,320 188,844,350Total Non-Derivative Financial Assets – 99.5% 185,999,320 188,844,350Other Assets and Liabilities, Net – 0.5% 970,100Net Assets Attributable to Holders of Redeemable Units – 100.0% 189,814,450


Income 20/80 Fund


264


Income 20/80 Fund


Investment ObjectiveThe fundamental investment objective of Fund is to achieve long-term growth of capital and income primarily through investment in a diversified portfolio of fixed-income and equity securities. The Fund seeks toaccomplish this objective by investing its assets in underlying funds.








100.0 100.0







265

Income 20/80 Fund








Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 43,767,858 9.1%Real Return Bond Fund Canada 12,623,583 2.5%Canadian Equity Fund Canada 18,972,885 0.8%EAFE Equity Fund Canada 9,399,771 1.1%Canadian Fixed Income Fund Canada 85,206,484 3.8%U.S. Large Company Equity Fund Canada 9,386,138 0.9%U.S. High Yield Bond Fund (Class O, hedged) Canada 9,487,631 1.7%

188,844,350

December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 36,134,749 7.4%Real Return Bond Fund Canada 10,960,427 2.1%Canadian Equity Fund Canada 15,468,190 0.7%EAFE Equity Fund Canada 7,850,355 0.9%Canadian Fixed Income Fund Canada 70,977,958 2.8%U.S. Large Company Equity Fund Canada 7,766,413 0.7%U.S. High Yield Bond Fund (Class O, hedged) Canada 7,353,849 1.6%

156,511,941


266

Income 40/60 Fund

Statements of Comprehensive IncomeFOR THE YEARS ENDED DECEMBER 31 2016 AND2015(in thousands of dollars except per unit data)

2016 2015


Interest for distribution purposes $ 2 $ 1 Distributions from mutual funds 17,858 18,249 Net realized gain (loss) on sale of investments 25 3,741 Net change in unrealized appreciation


EXPENSESCustodian and administration fees 299 284 Legal fees 53 60 Audit fees 23 18 Management fees 6,374 5,882 Trustee fees 9 9 Independent review committee fees 2 2 Securityholder reporting costs 28 26 TOTAL EXPENSES 6,788 6,281Waived expenses (9) (7)NET EXPENSES 6,779 6,274



(Class E) $ 383 $ 113(Class F) $ 287 $ 80(Class I) $ 95 $ 98(Class O) $ 448 $ 678(Class P) $ 1,824 $ 2,798(Class R) $ 224 $ 262(Class S) $ 11,157 $ 7,794


(Class E) 1,492 602(Class F) 1,141 683(Class I) 328 303(Class O) 1,750 2,182(Class P) 12,881 15,412(Class R) 802 881(Class S) 54,621 44,756




SBIF (The accompanying notes are an integral part of these financial statements)


2016 2015











267





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (4,699) (2,266) (117) (50)Out of net realized capital gain (561) (8,009) — (133)

(5,260) (10,275) (117) (183)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 117,951 157,356 8,841 3,708 Payments on redemption of units (99,218) (87,249) (5,281) (922)Reinvestment of distributions ≠ 5,244 10,241 117 183

23,977 80,348 3,677 2,969CHANGES IN NET ASSETS ATTRIBUTABLE TO



Class F Class I2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (112) (89) (46) (25)Out of net realized capital gain (1) (144) (4) (69)

(113) (233) (50) (94)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 1,953 5,999 404 343 Payments on redemption of units (2,066) (970) (317) (84)Reinvestment of distributions ≠ 112 232 47 94

(1) 5,261 134 353CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 173 5,108 179 357NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Income 40/60 Fund


(The accompanying notes are an integral part of these financial statements) SBIF

268


Class O Class P2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (257) (218) (47) —Out of net realized capital gain — — — (630)

(257) (218) (47) (630)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 3,891 8,419 17,794 28,798 Payments on redemption of units (6,676) (8,103) (36,879) (36,353)Reinvestment of distributions ≠ 254 218 45 608

(2,531) 534 (19,040) (6,947)CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (2,340) 994 (17,263) (4,779)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class R Class S2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income ≠ (125) (92) (3,995) (1,792)Out of net realized capital gain (6) — (550) (7,033)

(131) (92) (4,545) (8,825)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 340 505 84,728 109,584 Payments on redemption of units (843) (6,202) (47,156) (34,615)Reinvestment of distributions ≠ 130 92 4,539 8,814

(373) (5,605) 42,111 83,783CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (280) (5,435) 48,723 82,752NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Income 40/60 Fund



269

Income 40/60 Fund



Net realized (gain) loss on sale of investments (25) (3,741)Net change in unrealized (appreciation) depreciation of investments (3,312) 3,894 Distributions from mutual funds (17,858) (18,249)Purchases of investments (18,336) (84,712)Proceeds from the sale of investments 4,998 21,482 Change in accrued income from mutual funds — 106 Change in other assets (74) (85)Change in other liabilities 74 71

(20,115) (69,411)


18,711 70,110

Increase (decrease) in cash during the period (1,404) 699 Cash at beginning of period 5,314 4,615Cash at end of period 3,910 5,314

CASH FLOWS INCLUDED IN OPERATING ACTIVITIESInterest received 2 1 Distributions from mutual funds 106 —


270



Units $ $

MUTUAL FUNDS – 99.1%SEI Investments*Canadian Equity Fund 3,291,037 67,263,069 71,059,404Canadian Fixed Income Fund 12,799,208 153,374,582 150,383,010Canadian Small Company Equity Fund 370,102 3,781,053 4,462,136EAFE Equity Fund 7,123,184 35,722,786 43,943,634Emerging Markets Equity Fund 1,646,409 7,696,371 8,816,683Real Return Bond Fund 1,995,989 33,333,697 33,674,133Short Term Bond Fund 5,255,055 52,762,412 52,229,996U.S. High Yield Bond Fund (Class O, hedged) 1,925,879 21,930,280 22,849,207U.S. Large Company Equity Fund 4,072,315 35,117,167 46,862,978U.S. Small Company Equity Fund 957,582 5,522,677 9,019,846Total Mutual Funds 416,504,094 443,301,027Total Non-Derivative Financial Assets – 99.1% 416,504,094 443,301,027Other Assets and Liabilities, Net – 0.9% 3,962,096Net Assets Attributable to Holders of Redeemable Units – 100.0% 447,263,123


Income 40/60 Fund


271

Income 40/60 Fund



Investment ObjectiveThe fundamental investment objective of the Fund is to achieve long-term growth of capital and income through investment in a diversified portfolio of Canadian equity securities, Canadian bonds and foreignequity securities. The Fund seeks to accomplish this objective by investing its assets in underlying funds.





Concentration RisksThe following is a summary of the Fund’s concentration risk as at, December 31, 2016 and 2015.



100.0 100.0


Fair Value MeasurementsThe following table summarizes the inputs used as of December 31, 2016 and 2015, in valuing the Fund’s investments and derivatives carried at fair values::





272

Income 40/60 Fund







Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 52,229,996 10.9%Real Return Bond Fund Canada 33,674,133 6.5%Canadian Equity Fund Canada 71,059,404 3.0%Canadian Small Company Equity Fund Canada 4,462,136 2.1%EAFE Equity Fund Canada 43,943,634 5.2%Canadian Fixed Income Fund Canada 150,383,010 6.8%U.S. Large Company Equity Fund Canada 46,862,978 4.5%U.S. Small Company Equity Fund Canada 9,019,846 6.9%Emerging Markets Equity Fund Canada 8,816,683 3.2%U.S. High Yield Bond Fund (Class O, hedged) Canada 22,849,207 4.1%

443,301,027December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 48,730,724 9.9%Real Return Bond Fund Canada 32,764,504 6.4%Canadian Equity Fund Canada 60,452,727 2.6 %Canadian Small Company Equity Fund Canada 3,649,947 2.0%EAFE Equity Fund Canada 41,737,918 4.9%Canadian Fixed Income Fund Canada 144,421,289 5.8%U.S. Large Company Equity Fund Canada 41,981,906 4.0%U.S. Small Company Equity Fund Canada 7,949,546 6.4%Emerging Markets Equity Fund Canada 7,756,253 3.0%U.S. High Yield Bond Fund (Class O, hedged) Canada 19,323,401 4.3%

408,768,215


273

Moderate Fund


2016 2015


Distributions from mutual funds $ 1,987 $ 2,424 Net realized gain (loss) on sale of investments 380 5,678 Net change in unrealized appreciation (depreciation) of investments 1,594 (5,042)


Custodian and administration fees 33 58 Legal fees 25 31 Audit fees 3 4 Management fees 930 1,141 Trustee fees 1 2 Interest expense 3 1 Securityholder reporting costs 4 5 TOTAL EXPENSES 999 1,242Waived expenses (9) (27)NET EXPENSES 990 1,215



(Class E) $ 103 $ 13(Class F) $ 348 $ 424(Class I) $ 23 $ 9(Class O) $ 250 $ 173(Class P) $ 2,061 $ 1,111(Class R) $ 185 $ 115(Class Z) $ 1 $ —


(Class E) 346 130(Class F) 980 2,090(Class I) 69 58(Class O) 699 600(Class P) 7,983 8,636(Class R) 487 445 (Class Z) 2 2


(Class E) $ 0.30 $ 0.11(Class F) $ 0.36 $ 0.21 (Class I) $ 0.33 $ 0.16(Class O) $ 0.36 $ 0.29(Class P) $ 0.26 $ 0.13(Class R) $ 0.38 $ 0.26 (Class Z) $ 0.38 $ (0.08)


SIGF (The accompanying notes are an integral part of these financial statements)


2016 2015







(Class E) $ 1,954 $ 1,513(Class F) $ 6,489 $ 5,066(Class I) $ 430 $ 342(Class O) $ 4,414 $ 3,771(Class P) $ 39,161 $ 48,573(Class R) $ 2,929 $ 2,504(Class Z) $ 11 $ 10


(Class E) $ 5.34 $ 5.14(Class F) $ 5.80 $ 5.59(Class I) $ 5.60 $ 5.43(Class O) $ 5.73 $ 5.54(Class P) $ 5.68 $ 5.45(Class R) $ 5.65 $ 5.48(Class Z) $ 5.68 $ 5.51


274

Moderate Fund





DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (618) (323) (29) (26)Out of net realized capital gain (28) (5,879) — (142)

(646) (6,202) (29) (168)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 16,231 35,938 1,463 1,240 Payments on redemption of units (25,574) (47,084) (1,124) (220)Reinvestment of distributions 627 6,045 28 168

(8,716) (5,101) 367 1,188CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS (6,391) (9,458) 441 1,033NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class F Class I2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (134) (8) (9) (6)Out of net realized capital gain — (393) (2) (34)


1,209 (8,426) 76 56 CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 1,423 (8,403) 88 25NET ASSETS ATTRIBUTABLE TO HOLDERS OF


(The accompanying notes are an integral part of these financial statements) SIGF

275

Moderate Fund


Class O Class P2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (125) (86) (238) (137)Out of net realized capital gain (11) (356) — (4,715)

(136) (442) (238) (4,852)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 2,503 735 8,038 15,779 Payments on redemption of units (2,101) (1,166) (19,502) (18,441)Reinvestment of distributions 127 430 229 4,709

529 (1) (11,235) 2,047CHANGES IN NET ASSETS ATTRIBUTABLE TO

HOLDERS OF REDEEMABLE UNITS 643 (270) (9,412) (1,694)NET ASSETS ATTRIBUTABLE TO HOLDERS OF


Class R Class Z2016 2015 2016 2015



DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSOut of net investment income (83) (60) — —Out of net realized capital gain (15) (238) — (1)

(98) (298) — (1)CAPITAL UNIT TRANSACTIONSProceeds from issue of units 536 556 — 10 Payments on redemption of units (296) (830) — —Reinvestment of distributions 98 298 — 1

338 24 — 11CHANGES IN NET ASSETS ATTRIBUTABLE TO




276

Moderate Fund


CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holder of redeemable units $ 2,971 $ 1,845Adjustments for:Net realized (gain) loss on sale of investments (380) (5,678)Net change in unrealized (appreciation) depreciation of investments (1,594) 5,042 Distributions from mutual funds (1,987) (2,424)Purchases of investments (3,701) (37,785)Proceeds from the sale of investments 14,028 50,328 Change in accrued income from mutual funds — 35 Change in other assets 8 13 Change in other liabilities (25) (26)

9,320 11,350


(9,373) (11,335)

Increase (decrease) in cash during the period (53) 15 Cash at beginning of period 631 616 Cash at end of period 578 631


277



Units $ $

MUTUAL FUNDS – 99.0%SEI Investments*Canadian Equity Fund 356,083 7,223,467 7,688,483Canadian Fixed Income Fund 942,032 11,265,135 11,068,308Global Managed Volatility Fund 716,845 11,814,009 12,554,613Real Return Bond Fund 160,402 2,715,976 2,706,128Short Term Bond Fund 1,494,025 15,056,366 14,849,114U.S. High Yield Bond Fund 69,052 1,007,613 1,021,107U.S. High Yield Bond Fund (Class O, hedged) 417,337 4,747,530 4,951,407Total Mutual Funds 53,830,096 54,839,160Total Non-Derivative Financial Assets – 99.0% 53,830,096 54,839,160Other Assets and Liabilities, Net – 1.0% 548,614Net Assets Attributable to Holders of Redeemable Units – 100.0% 55,387,774


Moderate Fund


278

Moderate Fund


Investment ObjectiveThe fundamental investment objective of the Fund is to achieve long-term growth of capital and income primarily through investment in a diversified portfolio of fixed income and equity securities. The Fund seeksto accomplish this objective by investing its assets in underlying funds.








100.0 100.0





2015




279

Moderate Fund








Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 14,849,114 3.1%Real Return Bond Fund Canada 2,706,128 0.5%Canadian Equity Fund Canada 7,688,483 0.3%Global Managed Volatility Fund Canada 12,554,613 6.4%Canadian Fixed Income Fund Canada 11,068,308 0.5%U.S. High Yield Bond Fund, Class 'O' Canada 1,021,107 0.2%U.S. High Yield Bond Fund (Class O, hedged) Canada 4,951,407 0.9%

54,839,160

December 31, 2015

Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying fundsShort Term Bond Fund Canada 16,677,204 3.4%Real Return Bond Fund Canada 3,025,939 0.6%Canadian Equity Fund Canada 8,463,992 0.4%Global Managed Volatility Fund Canada 14,068,788 8.0%Canadian Fixed Income Fund Canada 12,320,341 0.5%U.S. High Yield Bond Fund (Class O, hedged) Canada 6,648,420 1.5%

61,204,684


280

FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015Notes to Financial Statements

1. ESTABLISHMENT OF FUNDSThe SEI Investments Group of Funds consists of the following open-ended mutual fund trusts (each a Fund or collectively referred toas the Funds) constituted under the laws of the Province of Ontario by Declaration of Trust. The address of the Funds’ registeredoffice is Suite 1600, 70 York Street, Toronto, Ontario, M5J 1S9. SEI Investments Canada Company (the “Manager”) is the Funds’Manager. CIBC Mellon Trust Company is the Trustee of the Funds. The Manager is responsible for the management of the overallbusiness and operations of the Funds. The financial statements are presented in Canadian dollars (CAD), which is also the functionalcurrency for all Funds. These financial statements were authorized for issue by the Manager on March 15, 2017. Class D, Class D hedged, Class E, Class E hedged, Class F, Class F hedged, Class I, Class O, Class O hedged, Class P, Class P hedged, Class R, Class S, Class Z and Class Z hedged units, as applicable, commenced as follows:

Date of Date Class D Date Class E Date Class FStatus of Declaration Date Class D hedged Date Class E hedged Date Class F hedged Date Class I

Fund Fund of Trust Commenced Commenced Commenced Commenced Commenced Commenced Commenced

Canadian Equity Fund Mutual Fund Sept 20, 1996 Nov 1, 2010 N/A Nov 1, 2010 N/A May 4, 2006 N/A Feb 1, 2002Canadian Small Company Mutual Fund Mar 24, 2000 Feb 28, 2013 N/A Aug 30, 2013 N/A Apr 18, 2006 N/A N/AEquity Fund U.S. Large Company Mutual Fund Nov 26, 1999 Nov 1, 2010 Nov 1, 2010 Nov 1, 2010 Nov 1, 2010 Apr 18, 2006 Mar 6, 2010 Feb 1, 2002Equity Fund U.S. Small Company Mutual Fund Nov 24, 1999 Nov 1, 2010 Nov 1, 2010 Nov 1, 2010 Nov 1, 2010 Apr 18, 2006 Mar 6, 2010 Feb 1, 2002Equity FundEAFE Equity Fund Mutual Fund Dec 20, 1996 Nov 1, 2010 N/A Nov 1, 2010 N/A Apr 18, 2006 N/A Sept 25, 2001Emerging Markets Mutual Fund Dec 20, 1996 Nov 1, 2010 N/A Nov 1, 2010 N/A Apr 18, 2006 N/A Feb 1, 2002Equity FundGlobal Managed Volatility Fund Mutual Fund Mar 29, 2012 N/A N/A Aug 30, 2013 N/A Jun 29, 2012 N/A N/ACanadian Fixed Income Fund Mutual Fund Jul 18, 1996 Nov 1, 2010 N/A Nov 1, 2010 N/A May 2, 2006 N/A Feb 1, 2002Long Duration Bond Fund Quasi Mutual Nov 18, 1997 N/A N/A Aug 30, 2013 N/A Apr 19, 2006 N/A Mar 29, 2004

FundLong Duration Credit Bond Quasi Mutual Apr 1, 2013 N/A N/A N/A N/A N/A N/A N/AFund FundReal Return Bond Fund Mutual Fund Mar 17, 1995 Feb. 28, 2013 N/A Aug 30, 2013 N/A May 11, 2006 N/A N/AMoney Market Fund Mutual Fund Apr 4, 1996 N/A N/A Aug 30, 2013 N/A Sept 8, 2006 N/A Feb 1, 2002U.S. Large Cap Index Fund Mutual Fund Jun 21, 1996 Nov 1, 2010 N/A Nov 1, 2010 N/A Jul 15, 2013 Oct 3, 2006 N/A(formerly U.S. Large Cap Synthetic Fund)Short Term Bond Fund Mutual Fund Jan 18, 2006 Nov 1, 2010 N/A Nov 1, 2010 N/A May 11, 2006 N/A N/AU.S. High Yield Bond Fund Mutual Fund May 29, 2009 Nov 1, 2010 Nov 1, 2010 Nov 1, 2010 Nov 1, 2010 Sept 11, 2009 Mar 6, 2010 N/AConservative Monthly Mutual Fund Jun 13, 2006 N/A N/A Aug 30, 2013 N/A Dec 8, 2006 N/A N/AIncome Fund* Balanced Monthly Mutual Fund Jun 13, 2006 N/A N/A Aug 30, 2013 N/A Sept 28, 2006 N/A N/AIncome Fund*Short Term Investment Fund* Mutual Fund May 25, 2012 N/A N/A Aug 30, 2013 N/A Jul 12, 2012 N/A N/AIncome 100 Fund* Mutual Fund Apr 28, 2003 N/A N/A Aug 30, 2013 N/A Aug 11, 2006 N/A Jun 11, 2003Income 20/80 Fund* Mutual Fund Apr 28, 2003 N/A N/A Aug 30, 2013 N/A Jul 17, 2006 N/A Jun 11, 2003Moderate Fund* Mutual Fund Apr 28, 2003 N/A N/A Aug 30, 2013 N/A Jun 7, 2006 N/A Jun 11, 2003(formerly Income 30/70 Fund)Income 40/60 Fund* Mutual Fund May 24, 2001 N/A N/A Aug 30, 2013 N/A Sept 1, 2006 N/A Jun 2, 2003Balanced Fund* Mutual Fund Apr 28, 2003 N/A N/A Aug 30, 2013 N/A Jun 15, 2006 N/A Jun 11, 2003(formerly Balanced 50/50 Fund)Balanced 60/40 Fund* Mutual Fund Dec 20, 1996 N/A N/A Aug 30, 2013 N/A Apr 20, 2006 N/A Feb 1, 2002Growth Fund* Mutual Fund May 24, 2001 N/A N/A Aug 30, 2013 N/A Sept 15, 2006 N/A Jun 2, 2003(formerly Growth 70/30 Fund)Growth 80/20 Fund* Mutual Fund May 24, 2001 N/A N/A Aug 30, 2013 N/A Oct 27, 2006 N/A Feb 28, 2005Growth 100 Fund* Mutual Fund May 24, 2001 N/A N/A Aug 30, 2013 N/A Apr 27, 2006 N/A Jun 4, 2003All Equity Fund* Mutual Fund May 24, 2001 N/A N/A Aug 30, 2013 N/A Dec 8, 2006 N/A N/A(formerly Global Growth 100 Fund)Conservative Fund* Unit Trust Sept 5, 2014 N/A N/A Oct 31, 2014 N/A Oct 31, 2014 N/A N/A*Collectively, the “SEI Asset Allocation Funds”

281


1. ESTABLISHMENT OF FUNDS (cont’d)Date of Date Class O Date Class P Date Class Z

Status of Declaration Date Class O hedged Date Class P hedged Date Class R Date Class S Date Class Z hedgedFund Fund of Trust Commenced Commenced Commenced Commenced Commenced Commenced Commenced Commenced

Canadian Equity Fund Mutual Fund Sept 20, 1996 Oct 4, 1996 N/A Mar 31, 2003 N/A N/A N/A Aug 14, 2015 N/ACanadian Small Company Mutual Fund Mar 24, 2000 Jun 27, 2000 N/A Mar 31, 2003 N/A N/A N/A N/A N/AEquity Fund U.S. Large Company Mutual Fund Nov 26, 1999 Nov 24, 1999 Mar 6, 2010 Mar 31, 2003 Mar 6, 2010 N/A N/A Aug 14, 2015 Aug 21, 2015Equity Fund U.S. Small Company Mutual Fund Nov 24, 1999 Nov 24, 1999 Mar 6, 2010 Mar 31, 2003 Mar 6, 2010 N/A N/A N/A N/AEquity FundEAFE Equity Fund Mutual Fund Dec 20, 1996 Jan 15, 1997 N/A Mar 31, 2003 N/A N/A N/A Aug 14, 2015 N/AEmerging Markets Mutual Fund Dec 20, 1996 Jan 15, 1997 N/A Mar 31, 2003 N/A N/A N/A Aug 14, 2015 N/AEquity FundGlobal Managed Volatility Fund Mutual Fund Mar 29, 2012 Mar 30, 2012 N/A Mar 30, 2012 N/A N/A Aug 14, 2015 Aug 14, 2015 N/ACanadian Fixed Income Fund Mutual Fund Jul 18, 1996 Oct 2, 1996 N/A Apr 30, 2002 N/A N/A N/A Aug 14, 2015 N/ALong Duration Bond Fund Quasi Mutual Nov 18, 1997 Dec 7, 1997 N/A Dec 12, 2003 N/A N/A N/A N/A N/A

FundLong Duration Credit Bond Quasi Mutual Apr 1, 2013 Jun 28, 2013 N/A N/A N/A N/A N/A N/A N/AFund FundReal Return Bond Fund Mutual Fund Mar 17, 1995 Dec 31, 1995 N/A Dec 12, 2003 N/A N/A N/A Aug 14, 2015 N/AMoney Market Fund Mutual Fund Apr 4, 1996 Jan 15, 1997 N/A Apr 29, 2003 N/A N/A N/A N/A N/AU.S. Large Cap Index Fund Mutual Fund Jun 21, 1996 Jul 15, 2013 Oct 8, 1996 Apr 29, 2003 N/A N/A N/A N/A N/A(formerly U.S. Large Cap Synthetic Fund)Short Term Bond Fund Mutual Fund Jan 18, 2006 Feb 23, 2006 N/A Feb 23, 2006 N/A N/A N/A Aug 14, 2015 N/AU.S. High Yield Bond Fund Mutual Fund May 29, 2009 Sept 11, 2009 Mar 6, 2010 Sept 11, 2009 Mar 6, 2010 N/A N/A Aug 14, 2015 Aug 21, 2015Conservative Monthly Mutual Fund Jun 13, 2006 Jul 4, 2006 N/A Jul 4, 2006 N/A N/A Feb 23, 2009 Aug 14, 2015 N/AIncome Fund* Balanced Monthly Mutual Fund Jun 13, 2006 Jul 4, 2006 N/A Jul 4, 2006 N/A N/A N/A Aug 14, 2015 N/AIncome Fund*Short Term Investment Fund* Mutual Fund May 25, 2012 Jul 12, 2012 N/A Jul 12, 2012 N/A N/A N/A Aug 14, 2015 N/AIncome 100 Fund* Mutual Fund Apr 28, 2003 Jun 11, 2003 N/A Jun 11, 2003 N/A Jul 2, 2008 Jan 17, 2012 N/A N/AIncome 20/80 Fund* Mutual Fund Apr 28, 2003 Jun 11, 2003 N/A Jun 11, 2003 N/A Jul 2, 2008 Feb 23, 2009 N/A N/AModerate Fund* Mutual Fund Apr 28, 2003 Jun 11, 2003 N/A Jun 11, 2003 N/A Jul 2, 2008 N/A Aug 14, 2015 N/A(formerly Income 30/70 Fund)Income 40/60 Fund* Mutual Fund May 24, 2001 Aug 21, 2002 N/A May 24, 2001 N/A Jul 2, 2008 Feb 23, 2009 N/A N/ABalanced Fund* Mutual Fund Apr 28, 2003 Jun 11, 2003 N/A Jun 11, 2003 N/A Jul 2, 2008 N/A Aug 14, 2015 N/A(formerly Balanced 50/50 Fund)Balanced 60/40 Fund* Mutual Fund Dec 20, 1996 Mar 1, 1997 N/A Jun 21, 2001 N/A Jul 2, 2008 Feb 23, 2009 N/A N/AGrowth Fund* Mutual Fund May 24, 2001 Sept 12, 2002 N/A May 24, 2001 N/A Jul 2, 2008 N/A Aug 14, 2015 N/A(formerly Growth 70/30 Fund)Growth 80/20 Fund* Mutual Fund May 24, 2001 Aug 21, 2002 N/A May 24, 2001 N/A Jul 2, 2008 Feb 23, 2009 N/A N/AGrowth 100 Fund* Mutual Fund May 24, 2001 Aug 21, 2002 N/A May 24, 2001 N/A Jul 2, 2008 Feb 23, 2009 N/A N/AAll Equity Fund* Mutual Fund May 24, 2001 Dec 30, 2005 N/A May 24, 2001 N/A Aug 1, 2008 N/A Aug 14, 2015 N/A(formerly Global Growth 100 Fund)Conservative Fund* Unit Trust Sept 5, 2014 Oct 31, 2014 N/A Oct 31, 2014 N/A N/A N/A Aug 14, 2015 N/A*Collectively, the “SEI Asset Allocation Funds”The Schedule of Investment Portfolio is as at December 31, 2016. The Statements of Financial Position are as at December 31,2016 and 2015. The Statements of Comprehensive Income, Statements of Changes in Net Assets Attributable to Holders ofRedeemable Units and Statements of Cash Flows are for the years ended December 31, 2016 and 2015.

282


NOTES_1

2. BASIS OF PRESENTATION

These financial statements have been prepared in compliance with International Financial Reporting Standards (IFRS) aspublished by the International Accounting Standards Board (IASB). The financial statements have been prepared under thehistorical cost convention, as modified by the revaluation of financial assets and financial liabilities (including derivativefinancial instruments) at fair value through profit and loss.

3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies followed by the Funds:

(a) The Funds recognize financial instruments at fair value upon initial recognition, plus transaction costs in the case of financial instruments not measured at fair value through profit or loss (FVTPL). Investments (non-derivative financialassets), which are designated at FVTPL, and derivatives, which are classified as held-for-trading (HFT) are measured at FVTPL. The Funds’ obligation for net assets attributable to holders of redeemable units is presented at the redemptionamount.

All other financial assets and liabilities, are measured at amortized cost which approximates fair value due to their short term nature. Financial assets and liabilities are shown at the amount required to be received or paid, discounted,when appropriate, at the contract’s effective interest rate.

(b) Units of each class are issued and redeemed at their net asset value per unit, which is determined at the close of eachbusiness day. The net asset value per unit for each class is determined by dividing the total net asset value of each classby the total number of units outstanding of that class. Management fees directly attributable to a class are charged tothat class. Fund operating expenses, income, and realized and unrealized gains and losses are allocated proportionately toeach class based upon the relative net asset value of each class. The hedged classes, as applicable, will generallyminimize their exposure to foreign currency risk by utilizing forward foreign currency contracts. The realized andunrealized forward foreign currency contract gains and losses attributed to the hedged classes are allocated solely to thehedged classes.

(c) Investments held include equities, listed warrants, short-term notes, treasury bills, bonds, asset backed securities, otherdebt instruments and mutual funds units. Investments held that are traded in an active market through recognized publicstock exchanges, over-the-counter markets, or through recognized investment dealers, are valued at their last tradedmarket price where the last traded market price falls within the bid-ask spread. In circumstances where the last tradedprice is not within the bid-ask spread, the Manager determines the point within the bid-ask spread that is mostrepresentative of fair value based on specific facts and circumstances.

Investments held that are not traded in an active market are valued based on the results of valuation techniques usingobservable market inputs, if available, on such basis and in such manner established by the Manager. The fair value ofcertain securities may be estimated using valuation techniques based on assumptions that are not supported byobservable market inputs.

283


The Funds utilize a three-tier hierarchy as a framework for disclosing fair value based on inputs used to value the Funds’investments. The hierarchy of inputs is summarized below:

• quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1);

• inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (i.e., as prices) or indirectly (i.e., derived from prices) (Level 2);

• inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3).

Changes in valuation methods may result in transfers into or out of an investment’s assigned level. Please refer to theFund specific notes to the financial statements for fund-specific disclosure.

The Funds’ policy is to recognize transfer into and out of the fair value hierarchy levels as of the date of the event orchange in circumstances giving rise to the transfer.

(d) The Funds’ subscription and redemption are denominated in Canadian dollars. The fair value of foreign investments andother assets and liabilities are translated into Canadian dollars at the exchange rate prevailing on the valuation date.Purchases and sales of foreign securities and the related income are translated into Canadian dollars at the exchange rateprevailing on the respective dates of such transactions. Realized gains and losses on foreign currency translation areincluded in the Statement of Comprehensive Income as Foreign exchange gain (loss) on foreign currency translation.Unrealized gains and losses on foreign currency translation are included in the Statement of Comprehensive Income asNet change in unrealized appreciation (depreciation) on foreign exchange.

(e) The cost of investments represents the amount paid for each security and is determined on an average cost basisexcluding commissions and other transaction costs.

(f) Income and expenses are recorded on an accrual basis. Dividends are recorded on the ex-dividend date. Distributions frominvestment trusts are recorded as income, capital gains, or a return of capital, based on the nature of these distributions.Actual allocations could vary from this information. Distributions that are treated as a return of capital for income taxpurposes reduce the average cost of the underlying investment. Distributions from underlying funds are recognized on thedistribution date. Regular way security transactions are recorded on the trade date for financial reporting purposes. Theunrealized appreciation (depreciation) in the value of a security represents the difference between its fair value and itsaverage cost. A realized gain (loss) is recognized when a security is sold. The realized gain (loss) is the difference betweenthe proceeds received and the average cost of the security. The interest for distribution purposes shown on the Statementof Comprehensive Income represents the coupon interest received by the Funds, accounted for on an accrual basis. Zerocoupon bonds are purchased at a discount and are amortized over the term of the bond.

(g) Increase (decrease) in net assets attributable to holders of redeemable units of a class in the Statements ofComprehensive Income represents the change in net assets attributable to holders of redeemable units attributable toeach class, divided by the weighted average number of units of that class outstanding during the reporting period.

(h) For each mutual fund unit sold, the Fund receives an amount equal to the net asset value per unit on the date of sale.Units are redeemable at the option of the unitholders at their net asset value on the redemption date. For each unitredeemed, the number of issued and outstanding units is reduced and the net asset value of the Fund is reduced as ofthe date of redemption.

284


(i) Futures contracts entered into by the Funds are financial agreements to purchase or sell a financial instrument at acontracted price on a specific date. However, the Funds do not intend to purchase or sell the financial instruments onsettlement date; rather, they intend to close out each futures contract before settlement date by entering into equal, butoffsetting, futures contracts. Futures are valued at the gain or loss that would arise as a result of closing the position atthe valuation date. Any gain or loss at the close of business of each valuation date is recorded as net change in unrealizedappreciation (depreciation) of investments and derivatives on the Statements of Comprehensive Income. The margins ondeposit with brokers relating to futures contracts are included in margin receivable or margin payable on the Statementsof Financial Position.

(j) Forward currency contracts entered into by the Funds are financial agreements to buy or sell a specific amount of anunderlying currency for an agreed upon price at a future date. The fair value of these contracts is the gain or loss thatwould be recognized if the position was closed out on the valuation date, and is recorded as net change in unrealizedappreciation (depreciation) of investments and derivatives on the Statements of Comprehensive Income. The Funds intendto close out a forward contract position by establishing an offsetting position in the contract and will settle and recognizethe gain or loss on the delivery date. Delivery of the underlying currency in respect of a forward contract can result wheninitial and offsetting positions in forward contracts are taken with two different brokers.

(k) The Funds are required to distribute any net income and capital gains that they had earned in the year. Income earned bythe Funds is distributed to unitholders and these distributions are either paid in cash or reinvested by unitholders intoadditional units of the Funds. Distributions payable to holders of redeemable units are recognized in the Statements ofChanges in Net assets Attributable to Holders of Redeemable Units. The units of the Funds are classified as financialliabilities in accordance with IAS 32 as there is a contractual obligation to distribute net income and capital gains in cash(at the request of the unitholder).

(l) The Funds have determined that the definition of an ‘investment entity’ has been met for all Funds and as a result, itmeasures subsidiaries, if any, at FVTPL. The following conditions exist that allow for this conclusion:

(i) The Funds primary purpose is to obtain funds from investors to provide them with investment management services.

(ii) The Funds’ business purpose, which was communicated directly to investors, is investing solely for returns fromcapital appreciation, investment income, or both.

(iii) The performance of substantially all investments is measured on a fair value basis.

4. CRITICAL ACCOUNTING ESTIMATES AND JUDGMENTS

The preparation of financial statements requires management to use judgement in applying its accounting policies and to makeestimates and assumptions about the future. The following discusses the most significant accounting judgements and estimatesthat the Funds have made in preparing the financial statements:

Fair value measurement of derivatives and securities not quoted in an active market

The Funds may hold financial instruments that are not quoted in active markets, including derivatives. Fair values of suchinstruments are determined using valuation techniques and may be determined using reputable pricing sources. Broker quotesas obtained from the pricing sources may be indicative and not executable. Where no market data is available, the Funds mayvalue positions using its own models, which are usually based on valuation methods and techniques generally recognized asstandard within the industry. The models used to determine fair values are validated and periodically reviewed by the Manager,independent of the party that created them. The models used for private equity securities are based mainly on earningsmultiples adjusted for a lack of marketability as appropriate.

285


Models use observable data, to the extent practicable. However, areas such as credit risk, volatilities and correlations require theManager to make estimates. Changes in assumptions about these factors could affect the reported fair values of financialinstruments. The Funds consider observable data to be market data that is readily available, regularly distributed and updated,reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.Please refer to the Fund specific notes to the financial statements for fund-specific disclosure.

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

In classifying and measuring financial instruments held by the Funds, the Manager is required to make significant judgmentsabout whether or not the business of the Funds is to invest on a total return basis for the purpose of applying the fair valueoption for financial assets under IAS 39, Financial Instruments – Recognition and Measurement (IAS 39). The most significantjudgments made include the determination that certain investments are HFT and that the fair value option can be applied tothose which are not.

5. REDEEMABLE UNITS

The capital of the Funds is represented by issued redeemable units with no par value. Unitholders are entitled to distributions, ifany, and to payment of a proportionate share based on the Funds’ net asset value per unit upon redemption. The Funds have norestrictions or specific capital requirements on the subscription and redemption of units other than the minimum subscriptions foran initial and subsequent investments. Capital movements are shown on the Statements of Changes in Net Assets Attributable toHolders of Redeemable Units. In accordance with their investment strategies and risk management policies, the Funds endeavour toinvest their subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions. Thefollowing table summarizes the changes in the number of units for the years ended December 31, 2016 and 2015:

Balance – beginning Units issued during Units redeemed Units reinvested Balance – end of of the period the period during the period during the period the period

2016 2015 2016 2015 2016 2015 2016 2015 2016 2015

CANADIAN EQUITY FUNDClass D 3,193,912 2,584,214 574,873 951,480 (763,944) (529,795) 20,509 188,013 3,025,350 3,193,912Class E 70,275 38,167 69,270 42,690 (29,219) (14,718) 2,177 4,136 112,503 70,275Class F 448,276 370,750 192,584 128,735 (156,605) (77,166) 10,645 25,957 494,900 448,276Class I 2,429 2,278 – – – – 111 151 2,540 2,429Class O 109,050,239 98,903,917 16,361,220 19,102,176 (24,650,560) (16,514,117) 3,487,353 7,558,263 104,248,252 109,050,239Class P 5,325,904 6,546,718 1,077,240 1,751,340 (2,969,849) (3,285,157) – 313,003 3,433,295 5,325,904Class Z 493 – – 458 – – 28 35 521 493

CANADIAN SMALL COMPANY EQUITY FUNDClass D 348,601 273,138 60,298 110,852 (85,218) (53,320) 2,428 17,931 326,109 348,601Class E 8,391 4,493 6,199 5,432 (2,751) (1,921) 156 387 11,995 8,391Class F 119,399 132,971 37,512 33,657 (45,449) (50,500) 676 3,271 112,138 119,399Class O 16,772,490 17,219,451 2,710,065 2,581,077 (3,626,253) (3,936,557) 506,609 908,519 16,362,911 16,772,490Class P 551,594 688,009 117,223 186,915 (329,511) (348,460) – 25,130 339,306 551,594

U.S. LARGE COMPANY EQUITY FUND Class D 4,718,866 4,140,901 771,109 1,108,279 (1,128,689) (1,125,568) 157,525 595,254 4,518,811 4,718,866Class D hedged 713 1,447 383 330 (383) (1,064) 5 – 718 713Class E 137,088 70,374 131,200 73,082 (55,071) (24,760) 8,637 18,392 221,854 137,088Class E hedged 530 444 8,887 – – – 758 86 10,175 530Class F 842,917 599,113 725,952 229,303 (391,994) (96,272) 38,890 110,773 1,215,765 842,917Class F hedged 50,997 41,016 414,349 44,128 (206,776) (34,147) 18,631 – 277,201 50,997Class I 4,330 3,595 18 14 – – 382 721 4,730 4,330Class O 76,259,152 81,347,455 12,229,524 12,752,405 (14,621,162) (26,611,402) 5,031,902 8,770,694 78,899,416 76,259,152Class O hedged 36,852 108,333 1,552,594 9,859 (36,543) (81,340) 183,224 – 1,736,127 36,852Class P 6,735,292 8,001,066 1,082,398 2,055,913 (3,821,475) (4,101,037) 16,614 779,350 4,012,829 6,735,292Class P hedged 31,994 29,746 274,019 13,022 (197,739) (12,772) 13,872 1,998 122,146 31,994Class Z 931 – – 767 – – 93 164 1,024 931Class Z hedged 950 – – 796 – – 113 154 1,063 950

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U.S. SMALL COMPANY EQUITY FUNDClass D 606,594 596,686 102,348 163,434 (145,246) (153,526) 24,919 – 588,615 606,594Class D hedged 1,264 1,264 – – – – 97 – 1,361 1,264Class E 23,289 15,740 11,672 13,602 (6,577) (6,053) 1,370 – 29,754 23,289Class E hedged 648 648 – – – – 56 – 704 648Class F 112,981 84,600 39,680 49,560 (35,134) (21,211) 5,593 32 123,120 112,981Class F hedged 31,469 7,786 13,882 23,939 (6,990) (256) 2,344 – 40,705 31,469Class I 726 716 11 10 – – 58 – 795 726Class O 11,739,472 16,807,522 2,082,435 2,529,812 (2,105,552) (7,648,601) 884,781 50,739 12,601,136 11,739,472Class O hedged 28,705 32,407 – 3,606 (334) (7,308) 2,997 – 31,368 28,705Class P 1,283,536 1,800,300 168,629 443,256 (726,459) (960,020) 17,025 – 742,731 1,283,536Class P hedged 10,120 10,174 249 1,359 (75) (1,413) 820 – 11,114 10,120

EAFE EQUITY FUNDClass D 6,804,256 6,443,047 1,230,968 1,881,150 (1,521,595) (1,519,941) – – 6,513,629 6,804,256Class E 154,825 98,986 84,765 92,405 (50,965) (36,979) 1,657 413 190,282 154,825Class F 662,581 468,273 756,529 312,662 (262,308) (124,280) 10,594 5,925 1,167,396 662,581Class I 8,486 8,419 15 13 – – 97 54 8,598 8,486Class O 115,788,976 119,750,171 22,406,160 23,355,364 (15,983,261) (29,213,369) 2,748,282 1,896,810 124,960,157 115,788,976Class P 8,527,483 11,311,431 1,436,431 3,198,092 (4,771,493) (5,982,040) – – 5,192,421 8,527,483Class Z 1,551 – – 1,523 – – 37 28 1,588 1,551

EMERGING MARKETS EQUITY FUNDClass D 2,391,923 2,083,185 450,306 718,747 (558,139) (417,073) – 7,064 2,284,090 2,391,923Class E 51,814 31,299 29,040 32,679 (16,209) (12,414) 449 250 65,094 51,814Class F 325,847 288,637 119,480 111,009 (107,232) (77,517) 3,972 3,718 342,067 325,847Class I 2,046 1,989 37 29 – – 44 28 2,127 2,046Class O 46,435,166 45,262,478 8,083,526 9,586,947 (8,903,257) (9,537,108) 1,099,873 1,122,849 46,715,308 46,435,166Class P 2,672,933 3,411,125 493,259 1,015,748 (1,535,440) (1,755,051) – 1,111 1,630,752 2,672,933Class Z 2,022 – – 1,963 – – 75 59 2,097 2,022

GLOBAL MANAGED VOLATILITY FUNDClass E 34,072 16,133 17,492 23,364 (12,259) (6,127) 420 702 39,725 34,072Class F 45,514 6,998 162,594 46,962 (33,312) (9,634) 3,987 1,188 178,783 45,514Class O 8,746,904 5,535,997 1,172,540 3,872,895 (843,408) (996,631) 258,461 334,643 9,334,497 8,746,904Class P 1,597,493 1,093,083 756,401 1,004,209 (577,043) (510,733) 6,069 10,934 1,782,920 1,597,493Class S 636 – – 609 – – 7 27 643 636Class Z 609 – – 579 – – 18 30 627 609

CANADIAN FIXED INCOME FUNDClass D 5,671,368 4,936,751 851,759 1,807,342 (1,373,677) (1,153,185) 108,979 80,460 5,258,429 5,671,368Class E 128,716 86,603 100,240 71,578 (58,716) (33,037) 5,591 3,572 175,831 128,716Class F 2,025,718 1,052,431 933,034 1,259,139 (1,150,282) (343,885) 84,434 58,033 1,892,904 2,025,718Class O 188,176,007 169,312,238 33,391,479 42,081,505 (56,470,381) (30,739,220) 8,480,504 7,521,484 173,577,609 188,176,007Class P 11,959,778 14,295,386 2,050,751 4,742,712 (6,127,383) (7,376,789) 278,522 298,469 8,161,668 11,959,778Class Z 828 – – 806 – – 42 22 870 828


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LONG DURATION BOND FUNDClass E 447 434 1,522 – (1,621) – 129 13 477 447Class F 20,207 26,642 73,688 7,024 (70,518) (14,132) 5,248 673 28,625 20,207Class O 53,211,024 41,827,621 30,577,773 23,324,188 (30,689,291) (14,086,207) 3,260,643 2,145,422 56,360,149 53,211,024Class P 78,405 2,882 23,416 90,757 (98,646) (16,296) 360 1,062 3,535 78,405

LONG DURATION CREDIT BOND FUNDClass O 38,401,307 26,996,964 10,404,156 14,415,325 (5,807,952) (4,912,766) 1,731,009 1,901,784 44,728,520 38,401,307

REAL RETURN BOND FUNDClass D 1,489,806 1,323,510 217,371 467,218 (355,904) (301,619) 2,150 697 1,353,423 1,489,806Class E 17,719 11,513 12,693 9,546 (7,643) (3,646) 540 306 23,309 17,719Class F 94,176 58,828 53,107 49,474 (45,488) (15,649) 2,283 1,523 104,078 94,176Class O 26,936,918 23,250,126 4,913,336 6,788,896 (4,697,521) (3,833,673) 883,369 731,569 28,036,102 26,936,918Class P 1,514,189 1,906,064 264,228 629,541 (827,997) (1,031,514) 6,625 10,098 957,045 1,514,189Class Z 581 – – 565 – – 20 16 601 581

MONEY MARKET FUNDClass E 15,195 10,785 26,988 25,036 (30,086) (20,658) 19 32 12,116 15,195Class F 47,793 44,541 10,088 975,268 (14,921) (972,575) 105 558 43,065 47,793Class I 98,856 91,440 11,202 16,521 (28,154) (9,460) 293 355 82,197 98,856Class O 10,860,423 8,390,961 5,381,941 6,444,000 (4,540,506) (4,047,498) 77,934 72,960 11,779,792 10,860,423Class P 494,318 238,795 757,933 643,308 (756,961) (388,377) 910 592 496,200 494,318

U.S. LARGE CAP INDEX FUNDClass F 539 539 – – – – 20 – 559 539Class F hedged 34,202 29,094 1,352 6,645 (1,959) (1,537) 1,246 – 34,841 34,202Class O 11,427,149 5,928,718 891,504 6,282,610 (1,643,948) (784,179) 386,813 – 11,061,518 11,427,149Class O hedged 8,515,961 11,991,807 950,257 143,844 (1,409,932) (3,619,690) 299,899 – 8,356,185 8,515,961

SHORT TERM BOND FUNDClass D 519 518 – – – – – 1 519 519Class E 15,396 14,084 43,867 2,463 (36,810) (1,422) 281 271 22,734 15,396Class F 429,329 290,428 88,885 282,904 (190,055) (153,051) 8,250 9,048 336,409 429,329Class O 44,071,598 31,228,104 8,729,966 17,314,867 (9,523,212) (5,591,016) 1,249,745 1,119,643 44,528,097 44,071,598Class P 4,580,291 6,025,366 1,368,172 2,937,493 (2,551,193) (4,445,855) 39,730 63,287 3,437,000 4,580,291Class Z 1,001 – – 987 – – 30 14 1,031 1,001

U.S. HIGH YIELD BOND FUNDClass D 136 215,464 – 23,049 – (238,377) 7 – 143 136Class D hedged 3,056,240 2,351,973 502,661 1,225,013 (729,465) (520,746) 34,508 – 2,863,944 3,056,240Class E 91,376 84,101 72,305 36,324 (159,901) (29,049) 1,330 – 5,110 91,376Class E hedged 25,288 3,916 16,413 24,492 (12,510) (3,120) 974 – 30,165 25,288Class F 125,123 846,564 56,988 151,984 (99,792) (873,425) 5,290 – 87,609 125,123Class F hedged 126,212 60,947 177,100 98,560 (86,038) (33,295) 13,230 – 230,504 126,212Class O 844,946 3,846,090 649,719 1,466,763 (410,450) (4,467,907) 90,621 – 1,174,836 844,946Class O hedged 34,804,068 23,623,417 9,478,169 14,676,671 (5,871,882) (3,496,020) 1,954,717 – 40,365,072 34,804,068Class P 170,207 2,103,974 354,519 306,557 (81,176) (2,240,324) 21,208 – 464,758 170,207Class P hedged 2,292,843 650,040 521,540 2,530,907 (1,350,816) (888,104) 5,307 – 1,468,874 2,292,843Class Z 690 – – 690 – – 61 – 751 690Class Z hedged 692 – – 692 – – 53 – 745 692

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CONSERVATIVE MONTHLY INCOME FUNDClass E 240,326 129,536 404,187 146,058 (222,622) (43,782) 18,276 8,514 440,167 240,326

Class F 143,440 86,042 1,007,445 93,731 (840,774) (39,884) 9,482 3,551 319,593 143,440

Class O 163,385 126,714 1,517,025 56,306 (78,232) (26,162) 7,249 6,527 1,609,427 163,385

Class P 3,719,342 3,446,496 896,963 1,631,504 (1,695,861) (1,488,699) 121,340 130,041 3,041,784 3,719,342

Class S 55,925,735 42,598,637 12,202,938 18,513,202 (8,864,641) (7,680,940) 2,978,394 2,494,836 62,242,426 55,925,735

Class Z 1,056 – – 1,034 – – 55 22 1,111 1,056

BALANCED MONTHLY INCOME FUNDClass E 166,941 21,849 214,525 175,714 (80,665) (32,796) 11,524 2,174 312,325 166,941

Class F 1,053,709 430,649 515,062 769,399 (218,458) (164,504) 40,529 18,165 1,390,842 1,053,709

Class O 28,225 14,056 55,251 17,236 (22,186) (4,295) 1,748 1,228 63,038 28,225

Class P 9,081,912 8,807,163 1,515,949 3,097,836 (3,117,444) (3,212,505) 410,744 389,418 7,891,161 9,081,912

Class Z 1,206 – – 1,170 – – 92 36 1,298 1,206

SHORT TERM INVESTMENT FUNDClass E 503 503 3,003 – – – 1 – 3,507 503

Class F 163,482 163,138 46,645 – (163,506) – 101 344 46,722 163,482

Class O 453,601 345,741 341,087 232,373 (286,017) (126,619) 2,969 2,106 511,640 453,601

Class P 419,057 353,498 168,190 108,102 (306,425) (42,721) 42 178 280,864 419,057

Class Z 1,052 – – 1,050 – – 9 2 1,061 1,052

INCOME 100 FUNDClass E 228,617 101,669 73,585 164,647 (228,044) (43,017) 1,914 5,318 76,072 228,617

Class F 183,696 29,113 188,410 197,470 (183,769) (46,087) 4,853 3,200 193,190 183,696

Class O 744,680 601,577 293,312 222,663 (463,578) (104,210) 26,341 24,650 600,755 744,680

Class P 2,825,113 2,728,148 1,552,929 1,340,750 (2,070,640) (1,288,145) 51,177 44,360 2,358,579 2,825,113

Class R 96,769 137,657 7,678 14,989 (30,629) (59,123) 3,422 3,246 77,240 96,769

Class S 1,283,265 1,204,749 548,064 335,229 (425,361) (284,756) 48,447 28,043 1,454,415 1,283,265

INCOME 20/80 FUND Class E 61,413 58,615 349,418 35,089 (191,557) (34,073) 4,059 1,782 223,333 61,413

Class F 244,471 825,316 227,596 116,172 (54,253) (700,226) 12,992 3,209 430,806 244,471

Class I 1,264,027 1,223,499 64,568 77,296 (133,709) (80,004) 33,726 43,236 1,228,612 1,264,027

Class O 422,155 500,807 745,251 137,685 (321,043) (227,167) 25,923 10,830 872,286 422,155

Class P 2,933,098 2,975,906 2,299,670 1,482,573 (1,855,388) (1,556,350) 29,882 30,969 3,407,262 2,933,098

Class R 138,547 273,368 164,112 92,396 (100,774) (230,501) 6,535 3,284 208,420 138,547

Class S 24,110,030 18,832,459 8,195,569 8,155,729 (4,471,923) (3,565,020) 669,478 686,862 28,503,154 24,110,030

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MODERATE FUNDClass E 294,199 85,440 277,275 213,999 (210,874) (37,808) 5,334 32,568 365,934 294,199

Class F 905,682 2,292,785 629,366 2,871,709 (440,179) (4,330,065) 23,089 71,253 1,117,958 905,682

Class I 63,075 53,448 16,970 13,156 (5,251) (10,815) 2,037 7,286 76,831 63,075

Class O 680,915 671,573 436,399 117,315 (369,509) (185,557) 22,163 77,584 769,968 680,915

Class P 8,910,536 8,489,982 1,455,136 2,584,273 (3,506,627) (3,026,106) 40,411 862,387 6,899,456 8,910,536

Class R 456,955 446,329 95,695 89,405 (51,854) (133,137) 17,368 54,358 518,164 456,955

Class Z 1,794 – – 1,576 – – 66 218 1,860 1,794

INCOME 40/60 FUNDClass E 945,992 445,621 1,524,265 624,223 (895,522) (155,380) 19,816 31,528 1,594,551 945,992

Class F 1,100,902 258,429 322,740 959,205 (338,602) (154,948) 18,109 38,216 1,103,149 1,100,902

Class I 338,096 287,606 57,994 48,569 (47,420) (11,772) 6,755 13,693 355,425 338,096

Class O 2,115,838 2,018,621 643,508 1,394,853 (1,113,587) (1,333,853) 41,472 36,217 1,687,231 2,115,838

Class P 14,669,248 15,823,949 2,984,444 4,756,136 (6,175,423) (6,012,307) 7,344 101,470 11,485,613 14,669,248

Class R 888,964 1,863,914 56,069 83,562 (142,884) (1,073,961) 21,377 15,449 823,526 888,964

Class S 51,224,943 37,065,839 14,689,500 18,482,631 (8,183,940) (5,856,508) 775,783 1,532,981 58,506,286 51,224,943

BALANCED FUNDClass E 1,387,515 703,962 800,705 783,594 (338,333) (153,767) 19,723 53,726 1,869,610 1,387,515

Class F 625,650 302,033 909,107 473,806 (288,996) (161,366) 20,543 11,177 1,266,304 625,650

Class O 1,274,668 1,395,711 766,986 666,707 (461,994) (792,778) 29,281 5,028 1,608,941 1,274,668

Class P 17,968,454 17,421,300 3,490,412 5,921,820 (5,314,801) (5,624,398) 18,656 249,732 16,162,721 17,968,454

Class R 567,172 539,971 131,595 101,185 (75,098) (90,435) 16,589 16,451 640,258 567,172

Class Z 1,506 – – 1,437 – – 41 69 1,547 1,506

BALANCED 60/40 FUNDClass E 5,799,482 846,794 4,392,304 5,314,669 (2,324,703) (487,973) 65,695 125,992 7,932,778 5,799,482

Class F 3,196,570 593,025 1,412,953 3,473,771 (1,200,717) (896,099) 48,283 25,873 3,457,089 3,196,570

Class I 1,095,664 1,062,931 111,502 99,959 (212,278) (90,627) 14,711 23,401 1,009,599 1,095,664

Class O 4,375,970 4,315,097 1,388,678 3,544,479 (2,074,992) (3,517,529) 81,923 33,923 3,771,579 4,375,970

Class P 25,900,377 31,040,883 3,180,988 8,029,966 (11,084,598) (13,199,243) – 28,771 17,996,767 25,900,377

Class R 7,252,035 14,663,288 1,130,950 1,037,238 (1,692,797) (8,506,604) 154,481 58,113 6,844,669 7,252,035

Class S 51,784,620 41,122,152 11,271,553 14,950,601 (6,145,596) (5,192,792) 491,876 904,659 57,402,453 51,784,620

GROWTH FUNDClass E 3,417,937 338,502 2,780,181 3,010,935 (731,284) (140,009) 39,693 208,509 5,506,527 3,417,937Class F 870,610 583,497 738,551 386,096 (330,045) (142,234) 15,770 43,251 1,294,886 870,610Class O 2,340,529 2,361,884 393,169 1,480,886 (577,661) (1,502,241) 42,595 – 2,198,632 2,340,529Class P 10,432,171 14,471,272 1,202,107 2,649,201 (4,655,543) (6,915,033) – 226,731 6,978,735 10,432,171Class R 1,123,616 1,079,976 122,033 113,326 (150,312) (137,533) 22,835 67,847 1,118,172 1,123,616Class Z 1,697 – – 1,565 – – 36 132 1,733 1,697

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GROWTH 80/20 FUNDClass E 1,725,263 470,991 1,697,317 1,212,384 (1,372,191) (43,159) 7,275 85,047 2,057,664 1,725,263Class F 417,633 230,453 450,757 185,949 (170,277) (17,980) 10,635 19,211 708,748 417,633Class I 1,072,984 916,707 136,670 115,153 (58,083) (22,435) 15,454 63,559 1,167,025 1,072,984Class O 2,356,416 2,184,406 294,583 955,218 (945,988) (832,354) 33,083 49,146 1,738,094 2,356,416Class P 6,145,004 7,996,228 879,255 1,617,687 (2,241,927) (3,535,805) – 66,894 4,782,332 6,145,004Class R 2,361,726 6,172,972 535,659 463,061 (244,949) (4,274,307) 56,619 – 2,709,055 2,361,726Class S 13,133,250 10,152,131 3,667,151 3,443,728 (1,448,009) (1,096,259) 104,718 633,650 15,457,110 13,133,250

GROWTH 100 FUNDClass E 179,383 131,923 313,799 202,777 (67,937) (155,317) 2,968 – 428,213 179,383Class F 241,702 270,076 157,448 122,245 (117,229) (150,619) 2,043 – 283,964 241,702Class I 646,388 611,715 83,919 83,065 (65,553) (51,715) 6,876 3,323 671,630 646,388Class O 639,643 637,197 282,343 94,388 (365,607) (91,942) 9,850 – 566,229 639,643Class P 4,226,640 5,384,313 446,417 904,236 (1,428,634) (2,061,909) – – 3,244,423 4,226,640Class R 1,388,338 1,196,125 294,020 306,191 (207,067) (113,978) 26,229 – 1,501,520 1,388,338Class S 3,437,883 2,945,678 941,667 1,035,357 (508,414) (543,152) 19,674 – 3,890,810 3,437,883

ALL EQUITY FUNDClass E 245,085 148,383 117,013 139,601 (36,321) (42,899) – – 325,777 245,085

Class F 126,958 101,436 96,692 85,001 (21,594) (59,479) – – 202,056 126,958

Class O 182,464 190,212 12,000 17,842 (14,764) (25,590) – – 179,700 182,464

Class P 1,682,085 2,274,912 281,903 340,185 (549,946) (933,012) – – 1,414,042 1,682,085

Class R 99,863 173,377 15,545 15,453 (5,244) (88,967) – – 110,164 99,863

Class Z 1,403 – – 1,403 – – – – 1,403 1,403

CONSERVATIVE FUNDClass E 34,141 33,710 7,400 – (34,141) – 677 431 8,077 34,141

Class F 32,962 32,318 2,089 – (32,979) – 189 644 2,261 32,962

Class O 63,981 32,186 17,994 32,090 (50,899) (1,993) 3,995 1,698 35,071 63,981

Class P 34,158 33,796 5,038 – (35,910) – 301 362 3,587 34,158

Class Z 999 – 963 971 – – 269 28 2,231 999

A unitholder of a Fund is entitled by giving written notice to the Manager to require payment of the net asset value per unit ofthat Fund for all or any of the units of such unitholder. Such notice must be received no later than 4:00 p.m., EST, on anyvaluation day upon which the units are to be redeemed. The notice must be irrevocable and the signature thereon must beguaranteed by a Canadian chartered bank, a trust company or an investment dealer acceptable to the Manager.

6. INCOME TAXES

Each Fund qualifies or intends to qualify (see note 1) as a mutual fund trust under the provisions of the Income Tax Act(Canada) (the “Act”). No provision for income taxes has been recorded in the accompanying financial statements as all incomeand capital gains of the Funds for the year are distributed to the unitholders to the extent necessary to reduce taxes payableunder Part I of the Income Tax Act (Canada) to nil. As a result, the Funds do not record income taxes. Taxes payable on capitalgains retained in a Fund that is a mutual fund trust are generally refundable on a formula basis to the extent the units of theFund are redeemed during the year.

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There are capital loss carry-forwards available in the following Funds as at December 31, 2016, the benefit of which has notbeen recognized:

Short Term Bond Fund $ 2,200,402EAFE Equity Fund 196,893,518Real Return Bond Fund 2,804,720Growth 100 Fund 412,936All Equity Fund 1,042,722

These capital losses for income tax purposes may be carried forward indefinitely and applied against capital gains realized infuture years.

There are non-capital loss carry-forwards (the benefit of which has not been recognized) as at December 31, 2016 which maybe applied against future taxable income. These non-capital losses will expire December 31 of the year indicated unlesspreviously applied.

By year of expiration2034 2035

U.S. Large Cap Index $ – $ 4,365,532

7. MANAGEMENT FEES AND EXPENSES

(a) Under the terms of the Trust Agreement governing the Funds, all expenses of the Funds other than any compensation tothe Manager of the Funds relating to Class O, Class O hedged, Class R, Class Z and Class Z hedged units, are payable bythe Funds except for Class F units where operating expenses are paid outside the Funds. In the case of the Class R units,each Fund is responsible for five basis points of operating expenses that are attributable to such units and the Manager isresponsible for the balance of these operating expenses.

(b) The Manager may agree to a reduced management fees for certain Class I unitholders. This is achieved by the Fundsmaking individual distribution payments, referred to as “Management Fee Distributions” to these unitholders. The amountof such Management Fee Distribution to a unitholder is negotiable between the Manager and the unitholder and dependsprimarily on the amount invested. Management fee rebates are recorded as distributions to unitholders and as a credit tothe Management Fee expense.

(c) For Class O, Class O hedged, Class Z and Class Z hedged units, compensation paid to the Manager for management of the Funds is payable directly by investors outside the Funds. The Manager’s compensation for management services issubject to separate agreements with unitholders and varies based upon such factors as the particular Fund and theamount invested. In the case of Class R units, all compensation for the Manager’s services are paid pursuant to a separatemanagement agreement entered into with the corporate sponsor of the group retirement and savings plans in whichholders of Class R units participate. For all other Classes, management fees are calculated based on the daily net assetvalue of the Class and the following percentages:

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Class D/ Class E/ Class F*/ Class I Class P/ Class SClass D hedged Class E hedged Class F hedged* Class P hedged

Canadian Equity Fund 2.50% 1.63% 0.90% 0.85% 2.20% NACanadian Small Company Equity Fund 2.50% 1.63% 1.00% 0.90% 2.20% NAU.S. Large Company Equity Fund 2.50% 1.63% 0.90% 0.85% 2.20% NAU.S. Small Company Equity Fund 2.50% 1.63% 1.00% 0.90% 2.20% NAEAFE Equity Fund 2.50% 1.72% 1.10% 1.00% 2.30% NAEmerging Markets Equity Fund 2.50% 1.99% 1.25% 1.25% 2.60% NAGlobal Managed Volatility Fund 2.50% 1.68% 1.05% NA 2.25% 1.68%Canadian Fixed Income Fund 2.50% 1.14% 0.75% 0.65% 1.60% NALong Duration Bond Fund 2.50% 1.14% 0.80% 0.65% 1.60% NALong Duration Credit Bond Fund NA NA NA NA NA NAReal Return Bond Fund 2.50% 1.14% 0.80% 0.65% 1.60% NAMoney Market Fund NA 0.50% 0.60% 0.50% 0.50% NAU.S. Large Cap Index Fund 2.50% 1.30% 0.60% 0.50% NA NAShort Term Bond Fund 2.50% 1.14% 0.75% 0.65% 1.60% NAU.S. High Yield Bond Fund 2.50% 1.23% 0.90% 0.85% 1.70% NAConservative Monthly Income Fund NA 1.16% 1.00% 0.70% 1.80% 1.41%Balanced Monthly Income Fund NA 1.54% 1.10% 0.70% 2.10% 1.50%Short Term Investment Fund NA 0.50% 0.60% NA 0.50% NAIncome 100 Fund NA 1.01% 1.00% 0.70% 1.45% 1.10%Income 20/80 Fund NA 1.01% 1.00% 0.70% 1.45% 1.15%Moderate Fund NA 1.16% 1.00% 0.70% 1.70% 1.35%Income 40/60 Fund NA 1.41% 1.00% 0.70% 1.95% 1.35%Balanced Fund NA 1.54% 1.10% 0.70% 2.10% 1.50%Balanced 60/40 Fund NA 1.54% 1.10% 0.70% 2.10% 1.50%Growth Fund NA 1.63% 1.20% 0.70% 2.20% 1.56%Growth 80/20 Fund NA 1.63% 1.20% 0.75% 2.20% 1.56%Growth 100 Fund NA 1.63% 1.20% 0.85% 2.20% 1.56%All Equity Fund NA 1.63% 1.20% 0.90% 2.20% 1.56%Conservative Fund NA 1.20% 1.00% NA 1.50% NA

*The management fee stated includes HST.

During the years ended December 31, 2016 and 2015, the Manager voluntarily waived or absorbed certain expenses otherwisepayable by the Funds. The Manager may, at its discretion terminate the waiver or absorption at any time. The amount waived, ifany, for each Fund is shown in the Statements of Comprehensive Income.

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The Management fee payable for the years ended December 31, 2016 and 2015 are listed below, these amounts have beenincluded in accrued liabilities on the Statements of Financial Positions.

December 31, 2016 December 31, 2015Canadian Equity Fund 333,803 375,794

Canadian Small Company Equity Fund 24,598 27,242

U.S. Large Company Equity Fund 220,166 276,085

U.S. Small Company Equity Fund 26,285 34,028

EAFE Equity Fund 169,213 225,569

Emerging Markets Equity Fund 56,812 67,302

Global Managed Volatility Fund 68,945 57,674

Canadian Fixed Income Fund 318,700 408,653

Long Duration Bond Fund 420 1,803

Real Return Bond Fund 85,532 105,957

Money Market Fund 3,335 3,413

U.S. Large Cap Index Fund 204 194

Short Term Bond Fund 53,332 73,606

U.S. High Yield Bond Fund 119,602 121,795

Conservative Monthly Income Fund 724,419 685,786

Balanced Monthly Income Fund 109,886 123,744

Short Term Investment Fund 1,435 2,683

Income 100 Fund 26,582 29,995

Income 20/80 Fund 205,422 172,502

Moderate Fund 71,712 86,795

Income 40/60 Fund 593,640 557,575

Balanced Fund 251,881 259,135

Balanced 60/40 Fund 1,056,637 1,057,608

Growth Fund 168,847 189,494

Growth 80/20 Fund 253,513 233,300

Growth 100 Fund 104,284 105,903

All Equity Fund 23,198 24,440

Conservative Fund 134 1,024

As at December 31, 2016 and 2015, the Long Duration Credit Bond Fund did not have any amounts payable for Management fees.


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8. SOFT DOLLAR COMMISSIONS

The brokerage commissions paid on securities transactions may include “soft dollar” amounts, such as the value of research and

other services provided by the broker. Although the Manager uses best efforts to determine the soft dollar portion of commissions

paid on portfolio transactions of the Funds, the soft dollar portion, in some instances, is not ascertainable. The soft dollar

amounts for the years ended December 31, 2016 and 2015 are listed below:

Soft Dollar Commissions2016 2015

$ $

Canadian Equity Fund 1,285,422 817,069

Canadian Small Company Equity Fund 13,533 82,640

U.S. Large Company Equity Fund 180,669 193,942


EAFE Equity Fund 289,407 312,675

Emerging Markets Equity Fund 83,658 244,820

9. FINANCIAL RISKS

The Funds are exposed to a variety of financial risks: credit risk, liquidity risk, and market risk (including interest rate risk, other

price risk, and currency risk), in the normal course of business. The value of investments held within the Funds will fluctuate on

a daily basis as a result of changes in interest rates, economic conditions, market, and company specific news. The level of risk

depends on the Funds’ investment objectives and the type of securities in which they invest.

The Funds’ overall risk management program seeks to minimize the potentially adverse effect of risk on the Funds’ financial

performance in a manner consistent with the Funds’ investment objectives. The risk management practices include monitoring

compliance with investment guidelines. The Manager manages the potential effects of these financial risks on the Funds’

performance by employing and overseeing professional and experienced portfolio advisors that regularly monitor the Funds’

positions and market events, and diversify investment portfolios within the constraints of the investment guidelines.

Funds of Funds

A Fund of Fund’s exposure to financial risks is dependent on its asset mix of the underlying funds. The Manager focusesprimarily on the overall asset allocation of the Fund. A long-term strategic asset allocation is set for the Fund that the Managerbelieves best optimizes long-term risks and volatility with the long-term potential returns. To help achieve consistent results overa typical market cycle, each underlying fund is diversified by asset class, region and/or market capitalization.

The asset allocation process utilizes proprietary portfolio management optimization techniques based on an asset/liabilityframework, combining an optimal portfolio with expected risks and correlations to derive an estimated return expectation foreach asset class. The Funds’ risk management practices include a daily review of risk analytic reports which monitor holdings toensure compliance with each Fund’s rebalancing policy. The objective of the rebalancing policy is to maintain each Fund’sstrategic asset mix during periods of market fluctuation. When an individual underlying fund holding has drifted by more than2.5% from its long-term strategic asset mix, the Fund’s holdings are rebalanced to return relative over or underweight positionswithin the rebalancing policy allowance.

Please refer to the Fund specific notes to the financial statements for fund-specific risk disclosures.


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Currency Risk

Currency risk is the risk that the value of investments will fluctuate due to changes in foreign exchange rates. This risk ariseswhen financial instruments (including cash and cash equivalents) are denominated in a currency other than Canadian dollars,which represents the Funds’ functional currency. For Funds with hedged and unhedged classes, hedged classes of the Funds willgenerally hedge their exposure to currency risk, while unhedged classes generally do not.

Interest Rate Risk

Interest rate risk is the risk that changes in interest rates will affect future cash flows or fair values of financial instruments.Interest rate risk arises when the Funds invest in interest bearing financial instruments. The Funds are exposed to the risk thatthe value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates.

Other Price Risk

Other price risk is the risk that the fair value or future cash flows of financial instruments will fluctuate as a result of changes inmarket prices (other than those arising from interest rate risk or currency risk), whether caused by factors specific to andindividual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. The maximum riskresulting from financial instruments held long is determined by the fair value of the instrument. The maximum risk resultingfrom financial instruments sold short is unlimited.

Credit Risk

Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it hasentered into with the Funds. The main concentration of credit risk would be where a fund invests in debt instruments andderivatives. The fair value includes consideration of the credit worthiness of the issuer and therefore represents the maximumcredit exposure of the Funds.

All transactions executed by a fund in listed securities are settled upon delivery using approved brokers. The risk of default isminimal as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase oncethe securities have been received by the broker. The trade will fail if either party fails to meet its obligation.

Liquidity Risk

Liquidity risk is the risk that the Funds may not be able to settle or meet their obligations on time or at a reasonable price. Thisis concentrated in the daily cash redemptions of units. For all the Funds, units are issued and redeemed on demand at the thencurrent net asset value per unit at the option of the unitholder. The Funds invest primarily in securities that are actively tradedand can be readily liquidated. In addition, the Funds retain sufficient cash and cash equivalent positions to maintain liquidity.In accordance with securities regulations, the Funds must maintain at least 90% of their assets in liquid investments. This alsohelps the Manager manage the Funds’ exposure to daily cash redemptions of redeemable units. All liabilities of the Fund willmature in one year or less.

Concentration Risk

Concentration risk arises as a result of the concentration of exposures within the same category, whether it is geographicallocation, product type, industry sector or counterparty type.


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10. RELATED PARTY TRANSACTIONS

An affiliate of the Manager that is a U.S. registered broker-dealer, SEI Investments Distribution Company (“SIDCO”), providedbrokerage services to certain of the Funds, which during the years ended December 31, 2016 and 2015, resulted incommissions being paid directly or indirectly by the Funds to SIDCO.

The amounts are as follows:

2016 2015$ $

EAFE Equity Fund – 28,225


11. FINANCIAL INSTRUMENTS BY CATEGORY

Please refer to the Fund specific notes to the financial statements for financial Instruments by Category.

12. NET GAINS AND LOSSES

Please refer to the Fund specific notes to the financial statements for net gains and losses.

13. INTEREST IN UNCONSOLIDATED STRUCTURED ENTITIES

INVESTMENTS IN UNDERLYING FUNDS

A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in decidingwho controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are bymeans of contractual arrangements. All of the underlying funds in which the Funds invests are unconsolidated structuredentities.

As mentioned in the Prospectus of the Funds, each of the Asset Allocation Funds (collectively the “Top Funds”), as described inNote 1, invests in mutual funds managed by the Manager. Investors of a Top Fund have no rights of ownership in the securitiesof the underlying funds. Where the Manager is the manager of both the Top Fund and the underlying funds in which the TopFund invests, it will not vote the securities of the underlying funds. The Manager may arrange for these securities to be voted bythe beneficial investors of the applicable Top Fund. However, given the complexity and costs associated with implementing aflow-through voting structure, it is unlikely that arrangements will be made for a flow-through of voting rights.

Since the Manager manages both the Asset Allocation Funds and the underlying funds, no sales or redemption fees are paid bythe Asset Allocation Funds when they purchase or redeem units of the underlying funds. The Funds do not provide financialsupport to unconsolidated structured entities and has no intention of providing financial or other support. The underlying fundsfinance their operations by issuing redeemable units which are puttable at the holder’s option and entitles the holder toproportionate stake in the respective Fund’s net assets. Each Fund holds redeemable shares in each of its underlying funds.Each Fund’s interest in each of its underlying funds, held in the form of redeemable units, are included at its fair value in theStatement of Financial Position as Investments (non-derivative financial assets), which represents the maximum exposure onthese underlying funds. The change in fair value of each of the underlying funds is reported in the Statements of ComprehensiveIncome as net gain (loss) on investments.

Additional information on the Funds’ interest in underlying funds, where applicable, is provided in the Fund specific notes to thefinancial statements.

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MORTGAGE RELATED SECURITIES

Certain Funds invest in mortgage-related and/or other asset-backed securities. The securities include, but not limited to,commercial mortgage backed securities, asset-backed securities, and residential mortgage-backed securities. The debt andequity securities issued by these securities may include tranches of varying levels of subordination. These securities may providea monthly payment which consists of both interest and principal payments.

Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans madeby savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created frommany types of assets, including auto loans, credit card receivables, home equity loans, and student loans.


As at December 31, 2016, the carrying value of mortgage related and other asset-backed securities included in Investments(non-derivative financial assets) in the Statement of Financial Position is $102,155,290 (December 31, 2015 –$132,093,668). This amount also represents the maximum exposure to losses at that date.

The change in fair value of mortgage related and other asset-backed securities are included in the Statement of ComprehensiveIncome in Net change in unrealized appreciation (depreciation) of investments and derivatives.


As at December 31, 2016, the carrying value of mortgage related and other asset-backed securities included in Investments(non-derivative financial assets) in the Statement of Financial Position is $29,736,574 (December 31, 2015 – $61,832,059).This amount also represents the maximum exposure to losses at that date.

The change in fair value of mortgage related and other asset-backed securities are included in the Statement of ComprehensiveIncome in Net change in unrealized appreciation (depreciation) of investments.

14. NET ASSETS PER UNIT AND NET ASSET VALUE PER UNIT

As at December 31, 2016 and 2015, there were no differences between the net assets per unit and the net asset value per unitfor any fund calculated in accordance with IFRS.

15. FUTURE ACCOUNTING CHANGES

The final version of IFRS 9, “Financial Instruments”, was issued by the IASB in July 2014 and will replace IAS 39, “FinancialInstruments: Recognition and Measurement.” IFRS 9 introduces a model for classification and measurement, and a single,forward-looking “expected loss” impairment model. The new model is driven by the cash flow characteristics and the businessmodel in which the asset is held. The new model also introduces a single impairment model being applied to all financialinstruments, which will require more timely recognition of expected credit losses. It also includes changes in respect of owncredit risk in measuring liability elected to be measured at fair value, so that gains caused by the deterioration of an entity’s owncredit risk on such liabilities are no longer recognized in profit and loss. IFRS 9 is effective for annual periods beginning on orafter January 1, 2018; however, it is available for early adoption. The Manager of the Funds is in the process of assessing theimpact of IFRS 9, and it has not yet determined when it will adopt the new standard.

IFRS 15, Revenue from Contracts and Customers, is based on the core principle to recognize revenue to depict the transfer ofgoods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled inexchange for those goods and services. IFRS 15 focused on the transfer of control. IFRS 15 will replace all of the revenueguidance that currently exists in the IFRS. The effective date of IFRS 15 is January 1, 2018; however it is available for earlyadoption. The Manager of the Funds is in the process of assessing the impact of IFRS 15, and has not yet determined when itwill adopt the new standard.

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16. COMPARITIVE FIGURES

Where applicable, certain comparative figures on the Statement of Cash Flows have been revised. Amounts have been removedfrom Amount received from the issuance of units and Amount paid on redemption of units to reflect the non-cash switchesbetween series that were previously included. The impact on Cash Flows used in Financing Activities is nil.

Amount of 2015 Revision Fund (in thousands)

Canadian Equity Fund 46,111

Canadian Small Company Equity Fund 2,456

EAFE Equity Fund 23,318

Emerging Markets Equity Fund 7,019

U.S. Large Company Equity Fund 29,201

U.S. Small Company Equity Fund 3,415

U.S. Large Cap Index Fund 4

Global Managed Volatility Fund 3,834

Canadian Fixed Income Fund 64,174

Long Duration Bond Fund 91

Money Market Fund 393

Real Return Bond Fund 14,317

Short Term Bond Fund 17,618

U.S. High Yield Bond Fund 14,660

Balanced Fund 13,546

Balanced 60/40 Fund 46,953

Balanced Monthly Income Fund 5,309

Conservative Monthly Income Fund 21,688

All Equity Fund 631

Growth 100 Fund 2,856

Growth Fund 12,182

Growth 80/20 Fund 7,480

Income 100 Fund 1,014

Income 20/80 Fund 6,344

Moderate Fund 14,786

Income 40/60 Fund 23,473

Short Term Investment Fund 608

Certain comparative figures on the Statements of Comprehensive Income have been reclassified to conform to the presentationfor the year ended December 31, 2016. On the Statements of Comprehensive Income, amounts related to realized gains (losses)on spot contracts have been reclassified from Foreign exchange gain (loss) on foreign currency translation and is presented asDerivative Income; amounts related to unrealized appreciation (depreciation) on foreign currency translation has beenreclassified from Foreign exchange gain (loss) on foreign currency translation and is presented as Net change in unrealizedappreciation (depreciation) on foreign exchange.


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