LA PENA EN EL MARCO CONSTITUCIONAL DEL ECUADOR
REALIDAD CARCELARIA NACIONAL.
Perpetual – A bond with no maturity date. Perpetual bonds are not redeemable but pay a steady stream of interest
AUD – Australian Dollar BRL – Brazilian Real EUR – Euro GBP – British Pound MXN – Mexican Peso
Analysis of Total Assets
% of Total Assets
Transferable securities admitted to an official
exchange listing or traded on a regulated market 87.65 Collective investment schemes 9.38 Financial derivative instruments 0.14
Other assets 2.83
Total Assets 100.00
Schedule of Forward Foreign Currency Contracts
Expiration Date Counterparty
Buy Currency (000’s) Sell Currency (000’s) Unrealised Appreciation/ (Depreciation) of Contracts (000’s)
09/01/15 Citicorp Securities London Ltd Buy GBP 119 Sell USD 183 $ –
09/01/15 UBS Buy USD 147 Sell EUR 130 1
09/02/15 Bank of America Sec London Buy GBP 387 Sell USD 595 (2)
09/02/15 Citicorp Securities London Ltd Buy USD 77 Sell GBP 50 –
09/15/15 Bank of America Sec London Buy USD 653 Sell GBP 425 2
09/15/15 Bank of America Sec London Buy AUD 2,612 Sell USD 1,920 (62)
09/15/15 Bank of America Sec London Buy GBP 2,503 Sell USD 3,872 (31)
09/15/15 Bank of New York Mellon London Buy USD 6 Sell EUR 5 –
09/15/15 Barclays Capital London Buy USD 4 Sell EUR 3 –
09/15/15 Barclays Capital London Buy USD 254 Sell GBP 163 2
09/15/15 Barclays Capital London Buy USD 1 Sell SGD 2 –
09/15/15 Barclays Capital London Buy SGD 1,302 Sell USD 939 (16)
09/15/15 Barclays Capital London Buy EUR 1,037 Sell USD 1,136 28
09/15/15 Citicorp Securities London Ltd Buy USD 3,343 Sell AUD 4,652 36
09/15/15 Citicorp Securities London Ltd Buy USD 658 Sell EUR 601 (15)
09/15/15 Citicorp Securities London Ltd Buy USD 139 Sell EUR 121 3
09/15/15 Citicorp Securities London Ltd Buy USD 592 Sell GBP 380 7
09/15/15 Citicorp Securities London Ltd Buy USD 66 Sell SGD 93 –
09/15/15 Citicorp Securities London Ltd Buy EUR 62 Sell USD 71 –
09/15/15 Citicorp Securities London Ltd Buy AUD 11,130 Sell USD 8,177 (261)
09/15/15 Citicorp Securities London Ltd Buy GBP 866 Sell USD 1,343 (14)
09/15/15 Citicorp Securities London Ltd Buy SGD 3,259 Sell USD 2,348 (41)
09/15/15 Citicorp Securities London Ltd Buy EUR 1,974 Sell USD 2,162 53
09/15/15 Credit Suisse First Boston London Buy AUD 7,701 Sell USD 5,653 (177)
09/15/15 HSBC Midland Buy USD 2 Sell EUR 2 –
09/15/15 HSBC Midland Buy USD 149 Sell GBP 96 1
09/15/15 HSBC Midland Buy USD 922 Sell SGD 1,280 16
09/15/15 HSBC Midland Buy EUR 836 Sell USD 918 22
09/15/15 HSBC Midland Buy SGD 5 Sell USD 4 –
09/15/15 JP Morgan Chase Bank London Buy SGD 1,409 Sell USD 1,015 (18)
09/15/15 Morgan Stanley London Buy AUD 5,496 Sell USD 4,038 (129)
09/15/15 Morgan Stanley London Buy EUR 1,862 Sell USD 2,040 50
09/15/15 Royal Bank of Canada London Buy USD 1,081 Sell AUD 1,491 20
09/15/15 Royal Bank of Canada London Buy USD 92 Sell EUR 81 (2)
09/15/15 Royal Bank of Canada London Buy USD 147 Sell GBP 93 2
09/15/15 Royal Bank of Canada London Buy USD 233 Sell SGD 326 2
09/15/15 Royal Bank of Canada London Buy EUR 31 Sell USD 34 1
09/15/15 Royal Bank of Canada London Buy AUD 5,009 Sell USD 3,680 (118)
09/15/15 Royal Bank of Canada London Buy SGD 59 Sell USD 42 –
09/15/15 Royal Bank of Canada London Buy GBP 78 Sell USD 121 (1)
09/15/15 Royal Bank of Scotland Buy EUR 102 Sell USD 112 3
09/15/15 UBS Buy USD 2,756 Sell AUD 3,791 62
09/15/15 UBS Buy USD 681 Sell GBP 439 7
09/15/15 UBS Buy SGD 50 Sell USD 36 (1)
09/15/15 UBS Buy EUR 38 Sell USD 41 1
09/15/15 UBS Buy AUD 18,157 Sell USD 13,345 (434)
10/16/15 Bank of America Sec London Buy USD 18,262 Sell EUR 16,539 (311)
10/16/15 Bank of America Sec London Buy EUR 3,093 Sell USD 3,482 (9)
11/13/15 Citicorp Securities London Ltd Buy USD 10,454 Sell EUR 9,621 (355)
11/13/15 Citicorp Securities London Ltd Buy USD 4,339 Sell GBP 2,811 27
11/13/15 Citicorp Securities London Ltd Buy GBP 50 Sell USD 77 –
11/13/15 Citicorp Securities London Ltd Buy AUD 3,840 Sell USD 2,811 (89)
11/13/15 Credit Suisse First Boston London Buy USD 4,328 Sell EUR 3,968 (130)
11/13/15 Deutsche Bank London Buy USD 1,886 Sell EUR 1,729 (57)
11/13/15 Deutsche Bank London Buy USD 35 Sell GBP 23 1
11/13/15 JP Morgan Chase Bank London Buy USD 2,297 Sell GBP 1,480 27
11/13/15 UBS Buy USD 12,472 Sell EUR 11,466 (410)
11/13/15 UBS Buy EUR 130 Sell USD 147 (1)
Unrealised Appreciation of Forward Foreign Currency Contracts 374
Unrealised Depreciation of Forward Foreign Currency Contracts (2,684)
Net Depreciation of Forward Foreign Currency Contracts $ (2,310)
Schedule of Futures Contracts Nominal Value Notional Value (000’s) Unrealised Appreciation/ (Depreciation) of Contracts (000’s)
Euro FX Currency September 2015 46 $ 6,462 $ 32
Total Market Value of Futures Contracts 46 $ 6,462 $ 32
Unrealised Appreciation of Futures Contracts 32
Unrealised Depreciation of Futures Contracts –
Portfolio of Investments as at August 31, 2015
Face Value (000’s) Value (000’s) $ % of Net Asset Value Asset-Backed Securities — 8.89%160 American Express Credit Account Master Trust, Series 2013 2, Class A,
0.618%, due 5/17/2021 * 160 0.65 100 American Express Issuance Trust II,
Series 2013 2, Class A,
0.628%, due 8/15/2019 * 100 0.40 300 Chase Issuance Trust, Series
2015 A3, Class A3,
0.448%, due 4/15/2019 * 300 1.21 200 Citibank Credit Card Issuance
Trust, Series 2013 A4, Class A4,
0.620%, due 7/24/2020 * 200 0.81 100 Citibank Credit Card Issuance
Trust, Series 2013 A7, Class A7,
0.622%, due 9/10/2020 * 100 0.41 200 Ford Credit Auto Owner Trust
2014-B, Series 2014 B, Class A3,
0.900%, due 10/15/2018 200 0.81 260 Ford Credit Floorplan Master
Owner Trust A, Series 2013 5, Class A2,
0.668%, due 9/15/2018 * 260 1.05 110 Ford Credit Floorplan Master
Owner Trust A, Series 2014 4, Class A2,
0.548%, due 8/15/2019 * 110 0.44 87 Honda Auto Receivables 2013-2
Owner Trust, Series 2013 2, Class A3,
0.530%, due 2/16/2017 87 0.35 200 John Deere Owner Trust 2014-A,
Series 2014 A, Class A3,
0.920%, due 4/16/2018 200 0.81 101 Mercedes-Benz Auto Receivables
Trust 2012-1, Series 2013 1, Class A3,
0.780%, due 8/15/2017 101 0.41 123 Ohio Phase-In-Recovery Funding
LLC, Series 2013 1, Class A1,
0.958%, due 7/1/2018 123 0.50 260 SLM Student Loan Trust 2008-6,
Series 2008 6, Class A3,
1.045%, due 1/25/2019 * 258 1.04
Total Asset-Backed Securities
(Cost $2,202) 2,199 8.89
Mortgage-Backed Securities — 21.72%
55 Fannie Mae Interest Strip 409, Class C2,
3.000%, due 4/25/2027 5 0.02 23 Fannie Mae Interest Strip 407,
Class C10,
5.000%, due 1/25/2038 5 0.02 34 Fannie Mae Interest Strip 409,
Class C22,
4.500%, due 11/25/2039 7 0.03 51 Fannie Mae Interest Strip 409,
Class C13,
3.500%, due 11/25/2041 10 0.04 100 Fannie Mae Interest Strip 409,
Class C18,
4.000%, due 4/25/2042 22 0.09 100 Fannie Mae Pool, 30 year, TBA,
4.500% ± 108 0.44
500 Fannie Mae Pool, 30 year, TBA,
4.000% ± 532 2.15
200 Fannie Mae Pool, 30 year, TBA,
3.500% ± 207 0.84
116 Fannie Mae Pool ‘516216’,
8.000%, due 8/1/2019 124 0.50 37 Fannie Mae Pool ‘516217’,
8.500%, due 8/1/2019 40 0.16 176 Fannie Mae Pool ‘545746’,
8.000%, due 10/1/2021 190 0.77 107 Fannie Mae Pool ‘545816’,
8.000%, due 3/1/2017 110 0.44 85 Fannie Mae Pool ‘545854’,
8.500%, due 3/1/2017 87 0.35 92 Fannie Mae Pool ‘547542’,
8.500%, due 10/1/2026 107 0.43 120 Fannie Mae Pool ‘555194’,
8.000%, due 5/1/2032 130 0.53 291 Fannie Mae Pool ‘555318’,
7.000%, due 4/1/2032 334 1.35 Face Value (000’s) Value (000’s) $ % of Net Asset Value
219 Fannie Mae Pool ‘555319’,
7.500%, due 3/1/2021 235 0.95 98 Fannie Mae Pool ‘595463’,
8.500%, due 4/1/2027 112 0.45 7 Fannie Mae Pool ‘633510’,
8.000%, due 6/1/2018 7 0.03 42 Fannie Mae Pool ‘AL1469’,
7.000%, due 2/1/2039 49 0.20 34 Fannie Mae REMICS, Series 2010
142, Class SM,
6.331%, due 12/25/2040 * 6 0.02 27 Fannie Mae REMICS, Series 2010
150, Class SK,
6.331%, due 1/25/2041 * 5 0.02 35 Fannie Mae REMICS, Series 2012
46, Class BA,
6.000%, due 5/25/2042 40 0.16 309 Fannie Mae-Aces, Series 2015 M4,
Class FA,
0.408%, due 9/25/2018 * 309 1.25 200 Freddie Mac Gold Pool,
15 year, TBA,
2.500% ± 203 0.82
128 Freddie Mac Gold Pool ‘C14619’,
7.500%, due 9/1/2028 137 0.55 209 Freddie Mac Gold Pool ‘G00767’,
7.500%, due 8/1/2027 249 1.01 72 Freddie Mac Gold Pool ‘G00921’,
7.500%, due 4/1/2028 85 0.35 111 Freddie Mac Gold Pool ‘G80176’,
8.000%, due 12/17/2023 124 0.50 194 Freddie Mac Gold Pool ‘G80204’,
8.500%, due 10/20/2027 232 0.94 96 Freddie Mac Gold Pool ‘G80210’,
8.000%, due 8/20/2027 111 0.45 6 Freddie Mac Gold Pool ‘N30699’,
7.000%, due 8/1/2030 6 0.03 84 Freddie Mac Gold Pool ‘U90316’,
4.000%, due 10/1/2042 90 0.37 75 Freddie Mac Non Gold
Pool ‘555537’,
9.500%, due 1/1/2021 81 0.33 315 Freddie Mac Non Gold
Pool ‘789586’,
2.500%, due 7/1/2032 * 337 1.36 27 Ginnie Mae I pool ‘385981’,
9.000%, due 11/15/2024 27 0.11 14 Ginnie Mae I pool ‘405539’,
8.500%, due 12/15/2025 16 0.06 201 Ginnie Mae I pool ‘780162’,
8.500%, due 6/15/2025 241 0.98 40 Ginnie Mae II pool ‘4923’,
4.500%, due 1/20/2041 44 0.18 108 Ginnie Mae II pool ‘4978’,
4.500%, due 3/20/2041 117 0.47 69 Government National Mortgage
Association, Series 2011 140, Class AI,
4.000%, due 10/16/2026 8 0.03 34 Government National Mortgage
Association, Series 2010 31, Class GS,
6.297%, due 3/20/2039 * 4 0.02 33 Government National Mortgage
Association, Series 2010 85, Class HS,
6.447%, due 1/20/2040 * 6 0.02 327 Government National Mortgage
Association, Series 2012 34, Class SD,
5.852%, due 3/16/2042 * 69 0.28 149 Government National Mortgage
Association, Series 2010 H26, Class LF,
0.538%, due 8/20/2058 * 149 0.60 105 Government National Mortgage
Association, Series 2010 H22, Class FE,
0.538%, due 5/20/2059 * 105 0.42 145 Government National Mortgage
Association, Series 2010 H10, Class FC,
1.189%, due 5/20/2060 * 148 0.60
Total Mortgage-Backed Securities
(Cost $5,118) 5,370 21.72 Face Value (000’s) Value (000’s) $ % of Net Asset Value Corporate Bonds and Notes — 0.79%
United States — 0.79%
190 Verizon Communications Inc,
2.036%, due 9/14/2018 * 195 0.79
Total Corporate Bonds and Notes
(Cost $190) 195 0.79
Government Bonds and Notes — 73.45% United States — 73.45%
235 Federal Home Loan Bank Discount Notes,
zero coupon, due 9/4/2015 235 0.95 1,000 Federal National Mortgage
Association,
2.250%, due 3/15/2016 1,000 4.05 1,000 Federal National Mortgage
Association,
5.000%, due 3/15/2016 1,025 4.14 1,000 Federal National Mortgage
Association,
0.500%, due 3/30/2016 1,001 4.05 1,000 Federal National Mortgage
Association,
2.375%, due 4/11/2016 1,012 4.09 390 United States Treasury Note/Bond,
0.250%, due 5/15/2016 390 1.58 942 United States Treasury Note/Bond,
0.375%, due 5/31/2016 942 3.81 1,500 United States Treasury Note/Bond,
0.875%, due 1/31/2017 1,506 6.09 1,000 United States Treasury Note/Bond,
0.500%, due 2/28/2017 999 4.04 1,500 United States Treasury Note/Bond,
0.500%, due 4/30/2017 1,496 6.05 1,250 United States Treasury Note/Bond,
0.625%, due 5/31/2017 1,249 5.05 650 United States Treasury Note/Bond,
0.625%, due 6/30/2017 649 2.62 1,250 United States Treasury Note/Bond,
0.500%, due 7/31/2017 1,244 5.03 1,250 United States Treasury Note/Bond,
0.625%, due 9/30/2017 1,246 5.04 1,000 United States Treasury Note/Bond,
0.750%, due 10/31/2017 998 4.04 1,144 United States Treasury Note/Bond,
0.625%, due 4/30/2018 1,133 4.58 1,250 United States Treasury Note/Bond,
1.000%, due 5/15/2018 1,250 5.05 650 United States Treasury Note/Bond,
1.125%, due 6/15/2018 652 2.64 135 United States Treasury Note/Bond,
1.375%, due 7/31/2018 136 0.55 18,163 73.45
Total Government Bonds and Notes
(Cost $18,157) 18,163 73.45
Total Investments (Cost $25,667) 25,927 104.85
Liabilities in Excess of Other Assets (1,201) (4.85)
Total Net Assets $24,726 100.00 * Variable rate security. The interest rate shown reflects
the rate in effect at August 31, 2015. ± Securities purchased on a to-be-announced basis
(Note 1).
ABBREVIATIONS:
TBA – To Be Announced
Analysis of Total Assets
% of Total Assets
Transferable securities admitted to an official
exchange listing or traded on a regulated market 98.90 Financial derivative instruments 0.03
Other assets 1.07
Total Assets 100.00
Schedule of Futures Contracts Nominal Value Notional Value (000’s) Unrealised Appreciation/ (Depreciation) of Contracts (000’s)
U.S. 10 Year Note (CBT) December 2015 (2) $ (254) $ 1
U.S. 5 Year Note (CBT) December 2015 (16) (1,911) 6
Total Market Value of Futures Contracts (18) $ (2,165) $ 7
Unrealised Appreciation of Futures Contracts 7
Unrealised Depreciation of Futures Contracts –
Portfolio of Investments as at August 31, 2015
Face Value (000’s) Value (000’s) $ % of Net Asset Value Asset-Backed Securities — 27.66%200 American Express Issuance Trust II, Series 2013 2, Class A,
0.628%, due 8/15/2019 * 200 2.57 133 Argent Securities Inc Asset-Backed
Pass-Through Certificates Series 2004-W10, Series 2004 W10, Class A2,
0.979%, due 10/25/2034 * 129 1.65 100 BA Credit Card Trust,
Series 2014 A2, Class A,
0.468%, due 9/16/2019 * 100 1.28 88 Brazos Higher Education Authority
Inc, Series 2005 2, Class A10,
0.401%, due 12/26/2019 * 88 1.13 100 Chase Issuance Trust,
Series 2014 A8, Class A8,
0.448%, due 11/15/2018 * 100 1.28 100 Chase Issuance Trust,
Series 2015 A3, Class A3,
0.448%, due 4/15/2019 * 100 1.28 120 Citibank Credit Card Issuance Trust,
Series 2013 A4, Class A4,
0.620%, due 7/24/2020 * 120 1.54 100 Citibank Credit Card Issuance Trust,
Series 2013 A7, Class A7,
0.622%, due 9/10/2020 * 100 1.29 180 Ford Credit Floorplan Master Owner
Trust A, Series 2013 5, Class A2,
0.668%, due 9/15/2018 * 180 2.31 100 John Deere Owner Trust 2014-A,
Series 2014 A, Class A3,
0.920%, due 4/16/2018 100 1.28 150 Nissan Master Owner Trust
Receivables, Series 2013 A, Class A,
0.498%, due 2/15/2018 * 150 1.92 72 Ohio Phase-In-Recovery Funding
LLC, Series 2013 1, Class A1,
0.958%, due 7/1/2018 72 0.92 4 Saxon Asset Securities Trust 2002-1,
Series 2002 1, Class AV1,
0.699%, due 3/25/2032 * 4 0.05 97 SLM Student Loan Trust 2004-3,
Series 2004 3, Class A5,
0.465%, due 7/25/2023 * 94 1.21 180 SLM Student Loan Trust 2008-6,
Series 2008 6, Class A3,
1.045%, due 1/25/2019 * 179 2.29 123 Specialty Underwriting & Residential
Finance Trust Series 2003-BC1, Series 2003 BC1, Class A,
0.879%, due 1/25/2034 * 106 1.37 352 Structured Asset Investment Loan
Trust 2003-BC1, Series 2003 BC1, Class A2,
0.879%, due 1/25/2033 * 335 4.29
Total Asset-Backed Securities
(Cost $2,198) 2,157 27.66
Mortgage-Backed Securities — 4.58%
18 Freddie Mac Non Gold Pool ‘555464’,
10.500%, due 12/1/2020 20 0.25 82 Impac CMB Trust Series 2003-8,
Series 2003 8, Class 1A2,
1.199%, due 10/25/2033 * 78 1.00 77 Structured Adjustable Rate
Mortgage Loan Trust, Series 2004 1, Class 2A,
0.509%, due 2/25/2034 * 68 0.88 171 Thornburg Mortgage Securities
Trust 2004-1, Series 2004 1, Class I2A,
1.099%, due 3/25/2044 * 154 1.98 39 WaMu Mortgage Pass-Through
Certificates Series 2003-S4, Series 2003 S4, Class 2A9,
1.349%, due 6/25/2033 * 37 0.47
Total Mortgage-Backed Securities
(Cost $386) 357 4.58
Corporate Bonds and Notes — 38.07% Australia — 1.03%
80 Westpac Banking Corp,
1.037%, due 7/30/2018 * 80 1.03 Face Value (000’s) Value (000’s) $ % of Net Asset Value Canada — 3.47%
70 Royal Bank of Canada,
0.703%, due 3/8/2016 * 70 0.90 200 Royal Bank of Canada,
0.741%, due 9/9/2016 * 201 2.57 271 3.47
Netherlands — 3.21%
250 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA/NY,
0.766%, due 3/18/2016 * 250 3.21
Sweden — 3.21%
250 Svenska Handelsbanken AB,
0.731%, due 3/21/2016 * 251 3.21 United States — 27.15% 100 Apple Inc, 0.350%, due 5/3/2016 * 100 1.28 250 Apple Inc, 0.550%, due 5/3/2018 * 250 3.20 250 Berkshire Hathaway Finance Corp,
0.433%, due 1/10/2017 * 250 3.20 300 Chevron Corp,
0.491%, due 11/15/2017 * 299 3.84 80 Exxon Mobil Corp,
0.326%, due 3/15/2017 * 80 1.03 250 Exxon Mobil Corp,
0.436%, due 3/15/2019 * 250 3.20 150 General Electric Capital Corp,
0.886%, due 12/11/2015 * 150 1.93 220 General Electric Capital Corp,
5.400%, due 2/15/2017 233 2.99 250 International Business Machines
Corp,
0.684%, due 2/12/2019 * 249 3.19 25 Lehman Escrow Receipt,
zero coupon, Perpetual †
∞
6 0.08 250 Wells Fargo & Co,0.494%, due 10/28/2015 * 250 3.21 2,117 27.15
Total Corporate Bonds and Notes
(Cost $2,962) 2,969 38.07
Government Bonds and Notes — 29.34% United States — 29.34%
165 Federal Farm Credit Banks,
0.260%, due 2/26/2016 * 165 2.12 250 Federal Farm Credit Banks,
0.220%, due 4/18/2016 * 250 3.21 275 Federal Farm Credit Banks,
0.219%, due 8/26/2016 * 275 3.53 350 Federal Farm Credit Banks,
Series 1,
0.223%, due 9/12/2016 * 350 4.49 1,000 Federal National Mortgage
Association,
0.218%, due 8/15/2016 * 1,001 12.83 246 United States Treasury Floating
Rate Note,
0.169%, due 4/30/2017 * 246 3.16 2,287 29.34
Total Government Bonds and Notes
(Cost $2,286) 2,287 29.34
Collective Investment Schemes — 0.03%
3 Goldman Sachs US$ Liquid
Reserves Fund – Institutional Class 3 0.03
Total Collective Investment Schemes
(Cost $3) 3 0.03
Total Investments (Cost $7,835) 7,773 99.68
Other Assets in Excess of Liabilities 26 0.32
Total Net Assets $ 7,799 100.00 * Variable rate security. The interest rate shown reflects
the rate in effect at August 31, 2015. † Illiquid.
∞
Security is valued in good faith at fair value by or at the discretion of the Investment Manager.ABBREVIATIONS:
Perpetual – A bond with no maturity date. Perpetual bonds are not redeemable but pay a steady stream of interest.
Analysis of Total Assets
% of Total Assets
Transferable securities admitted to an official
exchange listing or traded on a regulated market 99.23 Collective investment schemes 0.04
Other assets 0.73
Total Assets 100.00
Face Value (000’s) Value (000’s) $ % of Net Asset Value Government Bonds and Notes — 93.23%
Australia — 0.58%
AUD 70 Australia Government Bond, Series 30CI,
2.500%, due 9/20/2030 70 0.58
Canada — 1.31%
CAD 30 Canadian Government Bond, Series CPI,
4.250%, due 12/1/2026 48 0.40 CAD 110 Canadian Government Bond,
Series CPI,
1.500%, due 12/1/2044 111 0.91 159 1.31
France — 15.89%
EUR 146 France Government Bond OAT, Series OATe,
0.250%, due 7/25/2018 168 1.38 EUR 510 France Government Bond
OAT, Series OATe,
0.250%, due 7/25/2024 603 4.95 EUR 180 France Government Bond
OAT, Series OATe,
1.850%, due 7/25/2027 262 2.16 EUR 70 France Government Bond
OAT, Series OATe, 144A,
0.700%, due 7/25/2030 85 0.70 EUR 470 France Government Bond
OAT, Series OATe,
1.800%, due 7/25/2040 816 6.70 1,934 15.89
Germany — 4.89%
EUR 410 Deutsche Bundesrepublik Inflation Linked Bond, Series I/L,
0.100%, due 4/15/2023 496 4.07 EUR 80 Deutsche Bundesrepublik
Inflation Linked Bond, Series I/L,
0.500%, due 4/15/2030 100 0.82 596 4.89
Italy — 8.99%
EUR 500 Italy Buoni Poliennali Del Tesoro, Series CPI, 144A,
2.350%, due 9/15/2024 632 5.19 EUR 140 Italy Buoni Poliennali Del
Tesoro, Series CPI,
3.100%, due 9/15/2026 200 1.64 EUR 180 Italy Buoni Poliennali Del
Tesoro, Series CPI,
2.550%, due 9/15/2041 262 2.16 1,094 8.99
New Zealand — 3.33%
NZD 550 New Zealand Government Bond, 3.000%, due 9/20/2030 406 3.33 Face Value (000’s) Value (000’s) $ % of Net Asset Value Poland — 2.71%
PLN 1,220 Poland Government Bond, Series 0725,
3.250%, due 7/25/2025 331 2.71
Sweden — 1.11%
SEK 1,070 Sweden Inflation Linked Bond, Series 3108,
0.250%, due 6/1/2022 136 1.11
United Kingdom — 15.88%
GBP 620 United Kingdom Gilt Inflation Linked, Series 3MO,
0.125%, due 3/22/2024 1,094 8.98 GBP 180 United Kingdom Gilt
Inflation Linked, Series 3MO,
0.625%, due 11/22/2042 486 3.99 GBP 150 United Kingdom Gilt
Inflation Linked, Series 3MO,
0.125%, due 3/22/2058 354 2.91 1,934 15.88
United States — 38.54%
480 United States Treasury Inflation Indexed Bonds,
0.125%, due 4/15/2018 495 4.06 360 United States Treasury
Inflation Indexed Bonds,
0.125%, due 1/15/2022 371 3.05 330 United States Treasury
Inflation Indexed Bonds,
0.125%, due 1/15/2023 330 2.71 570 United States Treasury
Inflation Indexed Bonds,
0.375%, due 7/15/2023 577 4.74 703 United States Treasury
Inflation Indexed Bonds,
0.625%, due 1/15/2024 720 5.91 360 United States Treasury
Inflation Indexed Bonds,
0.125%, due 7/15/2024 348 2.85 620 United States Treasury
Inflation Indexed Bonds,
0.250%, due 1/15/2025 602 4.95 80 United States Treasury
Inflation Indexed Bonds,
3.875%, due 4/15/2029 161 1.33 40 United States Treasury
Inflation Indexed Bonds,
2.125%, due 2/15/2040 54 0.44 114 United States Treasury
Inflation Indexed Bonds,
0.750%, due 2/15/2042 109 0.90 80 United States Treasury
Inflation Indexed Bonds,
0.625%, due 2/15/2043 73 0.60 Face Value (000’s) Value (000’s) $ % of Net Asset Value
165 United States Treasury Inflation Indexed Bonds,
1.375%, due 2/15/2044 178 1.46 740 United States Treasury
Inflation Indexed Bonds,
0.750%, due 2/15/2045 675 5.54 4,693 38.54
Total Government Bonds and Notes
(Cost $11,753) 11,353 93.23
Collective Investment Schemes — 3.99%
486 Western Asset Liquidity Funds Plc – Western Asset US Dollar Liquidity Fund
Class WA (Distributing) 486 3.99
Total Collective Investment Schemes
(Cost $486) 486 3.99
Total Investments (Cost $12,239) 11,839 97.22
Other Assets in Excess of Liabilities 338 2.78
Total Net Assets $12,177 100.00 144A Securities exempt from registration under Rule 144A of
the Securities Act of 1933, as amended. These securities may only be resold, in transactions exempt from registration, to qualified institutional buyers. As at August 31, 2015, these securities amounted to $717,000 or 5.89% of net assets.
 The rate of interest on this type of security is tied to the Consumer Price Index (CPI)/Retail Price Index (RPI). The coupon rate is the rate as of August 31, 2015. AUD – Australian Dollar
CAD – Canadian Dollar EUR – Euro GBP – British Pound NZD – New Zealand Dollar PLN – Polish Zloty SEK – Swedish Krona
Analysis of Total Assets
% of Total Assets
Transferable securities admitted to an official
exchange listing or traded on a regulated market 91.73 Collective investment schemes 3.93 Financial derivative instruments 0.88
Other assets 3.46
Total Assets 100.00
Schedule of Forward Foreign Currency Contracts
Expiration Date Counterparty
Buy Currency (000’s) Sell Currency (000’s) Unrealised Appreciation/ (Depreciation) of Contracts (000’s)
10/16/15 Bank of America Sec London Buy JPY 12,610 Sell USD 102 $ 2
10/16/15 Citicorp Securities London Ltd Buy JPY 13,810 Sell USD 112 2
10/19/15 JP Morgan Chase Bank London Buy USD 215 Sell KRW 248,259 5
10/19/15 JP Morgan Chase Bank London Buy KRW 248,258 Sell USD 214 (4)
11/13/15 Bank of America Sec London Buy USD 71 Sell AUD 97 3
11/13/15 Bank of America Sec London Buy USD 134 Sell SEK 1,163 (4)
11/13/15 Bank of America Sec London Buy JPY 32,061 Sell USD 258 7
11/13/15 Bank of America Sec London Buy CAD 204 Sell USD 155 –
11/13/15 Citicorp Securities London Ltd Buy USD 99 Sell EUR 91 (3)
11/13/15 Citicorp Securities London Ltd Buy USD 116 Sell NZD 179 3
11/13/15 Credit Suisse First Boston London Buy USD 309 Sell CAD 406 –
11/13/15 Credit Suisse First Boston London Buy USD 181 Sell EUR 157 5
11/13/15 Credit Suisse First Boston London Buy USD 3,237 Sell EUR 2,966 (95) 11/13/15 Credit Suisse First Boston London Buy USD 2,575 Sell GBP 1,648 47 11/13/15 Credit Suisse First Boston London Buy USD 492 Sell JPY 61,059 (12)
Portfolio of Investments as at August 31, 2015 –(continued)
Schedule of Forward Foreign Currency Contracts – (continued)
Expiration Date Counterparty
Buy Currency (000’s) Sell Currency (000’s) Unrealised Appreciation/ (Depreciation) of Contracts (000’s)
11/13/15 Credit Suisse First Boston London Buy USD 408 Sell NZD 628 $ 12
11/13/15 Credit Suisse First Boston London Buy GBP 312 Sell USD 483 (5)
11/13/15 JP Morgan Chase Bank London Buy USD 127 Sell EUR 113 (2)
11/13/15 JP Morgan Chase Bank London Buy USD 335 Sell PLN 1,288 (5)
11/13/15 JP Morgan Chase Bank London Buy GBP 89 Sell USD 138 (2)
11/13/15 UBS Buy USD 307 Sell EUR 283 (10)
11/13/15 UBS Buy USD 75 Sell GBP 48 1
11/13/15 UBS Buy USD 108 Sell JPY 12,990 1
11/13/15 UBS Buy CAD 291 Sell USD 220 1
Unrealised Appreciation of Forward Foreign Currency Contracts 89
Unrealised Depreciation of Forward Foreign Currency Contracts (142)
Net Depreciation of Forward Foreign Currency Contracts $ (53)
Schedule of Futures Contracts
Nominal Value Notional Value (000’s) Unrealised Appreciation/ (Depreciation) of Contracts (000’s)
90 Day Euro$ March 2016 12 $ 2,981 $ (1)
90 Day Euro$ March 2017 (12) (2,959) 2
Euro-Bund September 2015 (2) (344) 3
Japan 10 Year Bond (OSE) September 2015 (1) (1,220) (11)
Long Gilt December 2015 – – –
U.S. 10 Year Note (CBT) December 2015 (4) (508) 3
U.S. 5 Year Note (CBT) December 2015 (5) (597) 2
U.S. Long Bond (CBT) December 2015 (3) (464) 10
Total Market Value of Futures Contracts (15) $ (3,111) $ 8
Unrealised Appreciation of Futures Contracts 20
Unrealised Depreciation of Futures Contracts (12)
Net Appreciation of Futures Contracts $ 8
Face Value (000’s) Value (000’s) $ % of Net Asset Value Corporate Bonds and Notes — 26.82%
China — 8.16%
3,000 Azure Orbit II International Finance Ltd,
3.125%, due 8/21/2020 2,991 0.68 2,600 Bank of China Ltd,
5.000%, due 11/13/2024 2,636 0.60 5,000 Bestgain Real Estate Ltd,
2.625%, due 3/13/2018 4,915 1.12 2,000 CCBL Cayman Corp Ltd,
3.250%, due 7/28/2020 1,969 0.45 3,000 CDBL Funding 1,
3.250%, due 12/2/2019 2,981 0.68 CNH 30,000 China Unicom Hong Kong
Ltd,
4.000%, due 4/16/2017 4,515 1.03 1,400 Country Garden Holdings
Co Ltd, 7.875%, due 5/27/2019 1,467 0.34 1,250 CRCC Yupeng Ltd, 3.950%, Perpetual * 1,237 0.28 2,500 CRCC Yuxiang Ltd, 3.500%, due 5/16/2023 2,420 0.55 CNH 16,000 Industrial & Commercial
Bank of China Ltd,
3.200%, due 4/24/2016 2,433 0.56 CNH 25,000 Industrial & Commercial
Bank of China Ltd/ Singapore, 3.500%, due 9/23/2016 3,782 0.87 CNH 15,000 Lenovo Group Ltd, 4.950%, due 6/10/2020 2,293 0.53 2,000 Longfor Properties Co Ltd, 6.875%, due 10/18/2019 2,065 0.47 35,704 8.16 France — 0.03%
CNH 1,000 Total Capital SA,
3.750%, due 9/24/2018 150 0.03 Germany — 0.14% CNH 4,000 Volkswagen International Finance NV, 3.500%, due 1/23/2019 590 0.14 Hong Kong — 4.36%
3,700 Bank of East Asia Ltd/The,
4.250%, due 11/20/2024 * 3,707 0.85 3,000 Baosteel Financing 2015 Pty
Ltd,
3.875%, due 1/28/2020 2,994 0.68 1,000 CLP Power Hong Kong
Financing Ltd, 3.125%, due 5/6/2025 960 0.22 4,500 FPC Treasury Ltd, 4.500%, due 4/16/2023 4,368 1.00 2,100 HKT Capital No 2 Ltd, 3.625%, due 4/2/2025 2,049 0.47 5,000 Wheelock Finance Ltd, 3.000%, due 3/19/2018 5,018 1.14 19,096 4.36 India — 2.65%
800 Axis Bank Ltd/Dubai,
3.250%, due 5/21/2020 798 0.18 CNH 14,500 ICICI Bank Ltd/Bahrain,
4.000%, due 11/24/2017 2,205 0.50 CNH 8,000 ICICI Bank Ltd/Singapore,
4.900%, due 9/21/2015 1,238 0.28 2,000 NTPC Ltd,
4.375%, due 11/26/2024 2,010 0.46 1,800 ONGC Videsh Ltd,
3.750%, due 5/7/2023 1,747 0.40 1,900 Power Grid Corp of India
Ltd, 3.875%, due 1/17/2023 1,865 0.43 2,000 Vedanta Resources Plc, 6.000%, due 1/31/2019 1,735 0.40 11,598 2.65 Indonesia — 4.95%
1,200 Alam Synergy Pte Ltd,
6.950%, due 3/27/2020 1,032 0.24 IDR 56,000,000 Astra Sedaya Finance PT,
Series OB, 7.750%, due 6/27/2016 3,942 0.90 Face Value (000’s) Value (000’s) $ % of Net Asset Value
3,400 Bank Rakyat Indonesia Persero Tbk PT,
2.950%, due 3/28/2018 3,366 0.77 IDR 13,000,000 Indosat Tbk PT, Series OB,
10.000%, due 12/12/2017 936 0.21 IDR 32,750,000 Lembaga Pembiayaan
Ekspor Indonesia, Series OB,
6.400%, due 5/23/2016 2,291 0.52 1,900 Pakuwon Prima Pte Ltd,
7.125%, due 7/2/2019 1,852 0.42 3,000 Pertamina Persero PT,
5.250%, due 5/23/2021 3,022 0.69 3,500 Pertamina Persero PT,
4.300%, due 5/20/2023 3,233 0.74 2,450 Perusahaan Listrik Negara
PT,
5.250%, due 10/24/2042 2,018 0.46 21,692 4.95
Netherlands — 0.13%
SGD 780 ABN AMRO Bank NV,
4.700%, due 10/25/2022 * 557 0.13 New Zealand — 0.30% CNH 9,000 Fonterra Co-operative Group Ltd, 3.600%, due 1/29/2019 1,334 0.30 Philippines — 1.21% PHP 133,000 Petron Corp, 7.000%, due 11/10/2017 2,953 0.68 2,300 Petron Corp, 7.500%, Perpetual * 2,323 0.53 5,276 1.21 Russia — 1.08%
CNH 32,000 Russian Agricultural Bank OJSC Via RSHB Capital SA,
3.600%, due 2/4/2016 4,717 1.08 Singapore — 3.65% 5,185 CapitaLand Treasury Ltd, 4.076%, due 9/20/2022 5,235 1.20 SGD 1,250 Ezion Holdings Ltd, 7.800%, Perpetual * 875 0.20 CNH 22,500 Global Logistic Properties
Ltd,
3.375%, due 5/11/2016 3,404 0.78 CNH 5,000 Global Logistic Properties
Ltd,
4.000%, due 5/11/2018 757 0.17 HKD 7,000 Mapletree Greater China
Commercial Treasury Co HKSAR Ltd,
2.800%, due 2/11/2020 903 0.21 SGD 2,000 Mapletree Treasury Services
Ltd, 5.125%, Perpetual * 1,446 0.33 1,000 Oversea-Chinese Banking Corp Ltd, 3.150%, due 3/11/2023 * 1,010 0.23 SGD 1,750 Oversea-Chinese Banking Corp Ltd, 4.000%, Perpetual 1,247 0.28 1,100 UOB Cayman I Ltd, 5.796%, Perpetual * 1,119 0.25 15,996 3.65 United States — 0.16% SGD 1,000 Citigroup Inc, 2.348%, due 4/8/2020 * 701 0.16
Total Corporate Bonds and
Notes (Cost $123,761) 117,411 26.82
Government Bonds and Notes — 57.58% China — 6.15%
CNH 68,000 China Government Bond,
3.380%, due 11/21/2024 10,349 2.36 CNH 5,000 China Government Bond,
3.390%, due 5/21/2025 762 0.18 CNH 96,500 China Government Bond,
3.600%, due 5/21/2030 14,888 3.40 CNH 6,000 Export-Import Bank of China/The,