bmo mutual funds 2014

BMO Mutual Funds 2014Semi-Annual Financial Statements

March 31, 2014

BMO Global Strategic Bond Fund

NOTICE OF NO AUDITOR REVIEW OF THE SEMI-ANNUAL FINANCIAL STATEMENTS

BMO Investments Inc., the Manager of the Fund, appoints independent auditors to audit the Fund’s Annual Financial Statements. Under Canadian securities laws (National Instrument 81-106), if an auditor has not reviewed the Semi-Annual Financial Statements, this must be disclosed in an accompanying notice.

The Fund’s independent auditors have not performed a review of these Semi-Annual Financial Statements in accordance with standards established by the Canadian Institute of Chartered Accountants.

BMO Global Strategic Bond Fund(unaudited)

STATEMENT OF NET ASSETS(in thousands of Canadian dollars, except per unit data)

STATEMENT OF OPERATIONS(in thousands of Canadian dollars, except per unit data)

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

March 31 September 30 As at 2014 2013

ASSETSCash 8,029 8,323 Cash collateral 2,597 — Investments at fair value 450,592 499,852 Income receivable 7,208 9,410 Credit default swap

agreements at fair value 253 342 Unrealized gain on

forward currency contracts at fair value 1,346 5,387

Subscriptions receivable 469 440 Due from broker 756 42,162 Total assets 471,250 565,916

LIABILITIESDistributions payable — 1 Due to broker 1,349 23,184 Margin payable on credit default swaps 5 — Accrued expenses 560 572 Credit default swap

agreements at fair value — 119 Unrealized loss on forward

currency contracts at fair value 1,281 3,851 Redemptions payable 1,276 12,538 Total liabilities 4,471 40,265

Net assets representing unitholders' equity 466,779 525,651

Net assets representing unitholders' equity

Series A Units 142,975 139,575 Advisor Series Units 146,446 168,364 Series F Units 41,050 42,553 Series I Units 136,308 175,159

Net assets per unit

Series A Units $ 7.34 $ 7.26 Advisor Series Units $ 12.98 $ 12.67 Series F Units $ 13.20 $ 12.80 Series I Units $ 9.63 $ 9.35

March 31 March 31For the periods ended 2014 2013

INVESTMENT INCOME

Interest 13,912 29,279 Net income (loss) from derivative

contracts (113 ) 278 Securities lending revenue 28 8 Foreign taxes (2 ) (6 )

13,825 29,559

EXPENSES

Management fees (note 5) 3,172 3,559 Fixed administration fees (note 5) 526 592 Independent Review Committee fees 1 1 Interest charges 1 3 Fund Facts fees — — Operating expenses absorbed

by the Manager (178 ) (19 )

3,522 4,136

Net investment income for the period 10,303 25,423 Realized gain on sale of investments 13,129 20,385 Realized loss

on forward currency contracts (30,668 ) (52,624 )

Realized gain on foreign exchange 29 3,299 Change in unrealized appreciation

in value of investments 30,064 22,493 Change in unrealized appreciation

(depreciation) in value of forward currency contracts (1,471 ) 21,213

Increase in net assets from operations 21,386 40,189

Increase in net assets from operations

Series A Units 5,713 5,550 Advisor Series Units 6,375 5,719 Series F Units 1,929 1,782 Series I Units 7,369 27,138

Increase in net assets from operations per unit (note 2)

Series A Units 0.30 0.28 Advisor Series Units 0.52 0.44 Series F Units 0.60 0.49 Series I Units 0.50 0.44


STATEMENT OF CHANGES IN NET ASSETS(in thousands of Canadian dollars)


`


Series A Units

Net assets - beginning of period 139,575 156,858 Increase in net assets from operations 5,713 5,550 UNIT TRANSACTIONS:

Proceeds from sale of units 12,096 14,384 Reinvested distributions 4,000 7,893 Amounts paid on units redeemed (14,368 ) (19,412 )

Total unit transactions 1,728 2,865 DISTRIBUTIONS TO UNITHOLDERS FROM:

Net investment income (2,043 ) (5,575 )

Capital gains — (2,511 )

Return of capital (1,998 ) (14 )

Total distributions paid to unitholders (4,041 ) (8,100 )

Net assets - end of period 142,975 157,173

Advisor Series Units



Total unit transactions (25,719 ) 47,607 DISTRIBUTIONS TO UNITHOLDERS FROM:







Series F Units


Proceeds from sale of units 7,175 22,116 Reinvested distributions 509 2,004 Amounts paid on units redeemed (10,445 ) (11,425 )


Net investment income (330 ) (2,226 )

Capital gains — (628 )

Return of capital (341 ) (21 )

Total distributions paid to unitholders (671 ) (2,875 )


Series I Units










STATEMENT OF CHANGES IN NET ASSETS (cont’d)(in thousands of Canadian dollars)



Total Fund








Net assets - end of period 466,779 1,014,309


STATEMENT OF INVESTMENT PORTFOLIO March 31, 2014 (in thousands of Canadian dollars, unless otherwise noted)


Par Value

(in thousands)

Cost

($)

Fair Value

($)

MONEY MARKET INVESTMENTS — 5.8%

Federal — 5.8%Government of Canada, Treasury Bills, 0.887%

Apr 24, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400..... . . . . 399..... . . . . . 400Government of Canada, Treasury Bills, 0.889%

May 8, 2014** .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 832..... . . . . 830..... . . . . . 831Government of Canada, Treasury Bills, 0.847%

Jun 5, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000..... . 2,993..... . . . 2,995Government of Canada, Treasury Bills, 0.817%

Jun 19, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,100..... . 4,091..... . . . 4,093Government of Canada, Treasury Bills, 0.819%



Jul 3, 2014** .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000..... . . . . 997..... . . . . . 998Government of Canada, Treasury Bills, 0.832%

Jul 3, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,500..... . 5,486..... . . . 5,488Government of Canada, Treasury Bills, 0.849%

Jul 3, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,900..... . 2,892..... . . . 2,893Government of Canada, Treasury Bills, 0.857%

Jul 31, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000..... . 2,990..... . . . 2,991Government of Canada, Treasury Bills, 0.892%

Jul 31, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,500..... . 2,493..... . . . 2,493United States Government, Treasury Bills,

0.017% Apr 10, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 400..... . . . . 442..... . . . . . 442..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,205..... . 27,218

Total Money Market Investments — 5.8% ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . .27,205. . . . . . 27,218

BONDS & DEBENTURES

Barbados — 0.2%Columbus International Inc., Series 144A,

Senior, Secured, Notes, Callable, 11.500% Nov 20, 2014 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 900..... . . . . 990..... . . . 1,057

Belgium — 0.5%KBC Bank NV, Fixed to Floating, Notes,

Subordinated, Callable, 8.000% Jan 25, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,800..... . 2,203..... . . . 2,228

Bermuda — 0.4%Digicel Group Ltd., Series 144A, Senior,

Unsecured, Notes, Callable, 10.500% Apr 15, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,700..... . 1,914..... . . . 1,983

Brazil — 9.0%Banco do Brasil S.A. (Cayman), Senior,

Unsecured, Notes, 3.875% Oct 10, 2022 .... . . . . . . . . . US$ 5,500..... . 5,309..... . . . 5,645Braskem Finance Ltd., Series 144A, Senior,

Unsecured, Notes, 5.375% May 2, 2022 .... . . . . . . . . . US$ 1,600..... . 1,571..... . . . 1,727Centrais Eletricas Brasileiras SA, Series 144A,

Senior, Unsecured, Notes, Unsubordinated, 6.875% Jul 30, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 4,300..... . 4,955..... . . . 5,134

Par Value

(in thousands)Cost

($)

Fair Value

($)

CSN Islands XI Corp., Series 144A, Senior, Unsecured, Notes, Unsubordinated, 6.875% Sep 21, 2019..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . 1,063..... . . . 1,157

CSN Islands XI Corp., Senior, Unsecured, Notes, Unsubordinated, 6.875% Sep 21, 2019 .... . . . . . . . . . . . . . US$ 500..... . . . . 536..... . . . . . 578

Odebrecht Drilling Norbe VIII / IX Ltd., Sinking Funds, Senior, Secured, Notes, Callable, 6.350% Jun 30, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,350..... . 1,453..... . . . 1,547

Odebrecht Drilling Norbe VIII / IX Ltd., Series 144A, Sinking Funds, Senior, Secured, Notes, Callable, 6.350% Jun 30, 2021 .... . . . . . . . . . . . . US$ 1,350..... . 1,356..... . . . 1,547

Petrobras Global Finance BV, Senior, Unsecured, Notes, 6.250% Mar 17, 2024 .... . . . . . . . . US$ 1,500..... . 1,715..... . . . 1,701

Petrobras International Finance Company, Senior, Unsecured, Notes, Unsubordinated, 7.875% Mar 15, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 15,920..... 19,634..... . 20,061

Petrobras International Finance Company, Senior, Unsecured, Notes, 5.375% Jan 27, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 300..... . . . . 298..... . . . . . 335

QGOG Constellation S.A., Series 144A, Senior, Unsecured, Notes, Callable, 6.250% Nov 9, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . . . . 983..... . . . 1,106

Vale Overseas Limited, 6.875% Nov 21, 2036 .. .. . . . . . . US$ 1,100..... . 1,284..... . . . 1,292..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,157..... . 41,830

Canada — 1.0%Novelis, Inc., Senior, Unsecured, Notes,

Callable, 8.750% Dec 15, 2020 .... . . . . . . . . . . . . . . . . . . . . US$ 3,700..... . 4,070..... . . . 4,566Trinidad Drilling Ltd., Series 144A, Senior,

Unsecured, Notes, Callable, 7.875% Jan 15, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 100..... . . . . 100..... . . . . . 118

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,170..... . . . 4,684

Cayman Islands — 0.2%MCE Finance Ltd., Series 144A, Senior,

Unsecured, Notes, Callalbe, 5.000% Feb 15, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . 1,115..... . . . 1,105

Colombia — 1.6%Ecopetrol S.A., Senior, Unsecured, Notes,

5.875% Sep 18, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 6,200..... . 7,158..... . . . 7,506

France — 1.2%BPCE S.A., Fixed to Floating, Junior, Notes,

Subordinated, Perpetual, Callable, 12.500% Sep 30, 2049..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 600..... . 1,008..... . . . 1,231

Compagnie Generale de Geophysique-Veritas, Senior, Unsecured, Notes, Callable, 6.500% Jun 1, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,100..... . 1,037..... . . . 1,238

Credit Agricole S.A., Series 144A, Fixed to Floating, Notes, Subordinated, Callable, 8.125% Sep 19, 2033 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,000..... . 2,461..... . . . 2,536

Electricite de France, Series 144A, Fixed to Floating, Junior, Notes, Subordinated, Perpetual, Callable, 5.625% Jul 22, 2049 .... . . . . . . . . . . . US$ 500..... . . . . 542..... . . . . . 564

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,048..... . . . 5,569


STATEMENT OF INVESTMENT PORTFOLIO (cont’d)March 31, 2014 (in thousands of Canadian dollars, unless otherwise noted)


Par Value

(in thousands)Cost

($)

Fair Value

($)

Germany — 0.4%Unitymedia Hessen GmbH & Co

KG/Unitymedia NRW GmbH, Euro Medium Term Notes, Senior, Secured, Callable, 5.625% Apr 15, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .€ 1,100..... . 1,456..... . . . 1,817

India — 0.2%Power Grid Corporation of India Limited,

Senior, Unsecured, Notes, 3.875% Jan 17, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . . . . 980..... . . . . . 993

Indonesia — 6.2%Bank Negara Indonesia Persero Tbk PT,

London, Senior, Unsecured, Notes, Unsubordinated, 4.125% Apr 27, 2017 .... . . . . . . . . . . . US$ 1,500..... . 1,465..... . . . 1,696

Majapahit Holding BV, Senior, Unsecured, Notes, Unsubordinated, 8.000% Aug 7, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,254..... . 1,577..... . . . 1,617

Majapahit Holding BV, Series 144A, Senior, Unsecured, Notes, 8.000% Aug 7, 2019 .... . . . . . . . . . US$ 5,000..... . 6,326..... . . . 6,449

Majapahit Holding BV, Series 144A, Senior, Unsecured, Notes, Unsubordinated, 7.750% Jan 20, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,100..... . 3,900..... . . . 3,947

Pertamina Persero PT, Senior, Unsecured, Notes, 4.875% May 3, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . US$ 1,100..... . 1,084..... . . . 1,173

PT Pertamina (Persero), Series 144A, Senior, Unsecured, Notes, 4.300% May 20, 2023 ... . . . . . . . . US$ 2,100..... . 2,123..... . . . 2,090

Republic of Indonesia, Senior, Unsecured, 6.750% Jan 15, 2044 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 9,700..... 10,598..... . 11,751

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,073..... . 28,723

Ireland — 2.2%Ardagh Packaging Finance plc, First Priority,

Senior, Secured, Notes, Callable, 9.250% Oct 15, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .€ 3,000..... . 4,413..... . . . 5,094

Brunswick Rail Finance Ltd., Series 144A, Senior, Unsecured, Notes, 6.500% Nov 1, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . . . . 994..... . . . 1,117

SCF Capital Ltd., Senior, Unsecured, Notes, 5.375% Oct 27, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 4,000..... . 3,927..... . . . 4,157

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,334..... . 10,368

Israel — 0.1%Israel Electric Corporation Ltd., Series 144A,

Senior, Secured, Notes, 7.250% Jan 15, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 500..... . . . . 540..... . . . . . 617

Italy — 1.6%Telecom Italia S.p.A., Euro Medium Term

Notes, Senior, Unsecured, 4.500% Jan 25,2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .€ 4,800..... . 7,103..... . . . 7,523

Jordan — 0.2%Hashemite Kingdom of Jordan, 3.875% Nov

12, 2015 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 700..... . . . . 695..... . . . . . 776

Par Value

(in thousands)Cost

($)

Fair Value

($)

Luxembourg — 5.3%Alrosa Finance SA, Series 144A, Notes, 7.750%

Nov 3, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 5,400..... . 6,057..... . . . 6,283Finmeccanica Finance SA, Euro Medium Term

Notes, Senior, Unsecured, Unsubordinated, 8.000% Dec 16, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .£ 1,500..... . 2,697..... . . . 3,186

Gaz Capital S.A., Series 2, Loan Participation Notes, Senior, Unsecured, Unsubordinated, 8.625% Apr 28, 2034 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 4,020..... . 5,228..... . . . 5,066

Geo Debt Finance S.C.A., Senior, Secured, Notes, Callable, 7.500% Aug 1, 2018 .... . . . . . . . . . . . . . . . . . € 300..... . . . . 399..... . . . . . 489

Millicom International Cellular S.A., Series 144A, Senior, Unsecured, Notes, Callable, 6.625% Oct 15, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 300..... . . . . 312..... . . . . . 350

Telenet Finance III Luxembourg S.C.A., Series 144A, Senior, Secured, Notes, Callable, 6.625% Feb 15, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 800..... . 1,092..... . . . 1,318

Telenet Finance V, Secured, Notes, Callable, 6.250% Aug 15, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 200..... . . . . 245..... . . . . . 334

Telenet Finance V, Secured, Notes, Callable, 6.750% Aug 15, 2024 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 500..... . . . . 612..... . . . . . 841

TNK-BP Finance S.A., Senior, Unsecured, Notes, Unsubordinated, 7.250% Feb 2, 2020 .... . . . . . . . . . . . . . . . US$ 700..... . . . . 816..... . . . . . 842

VTB Capital S.A., Series 4, Loan Participation Notes, Senior, Secured, Putable, 6.875% May 29, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 5,000..... . 5,053..... . . . 5,789

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,511..... . 24,498

Mexico — 1.5%Banco Santander Mexico SA Institucion de

Banca Multiple Grupo Financiero Santander, Series 144A, Senior, Unsecured, Notes, 4.125% Nov 9, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,500..... . 2,434..... . . . 2,701

BBVA Bancomer SA, Texas, Series 144A, Senior, Notes, Subordinated, 7.250% Apr 22, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 400..... . . . . 401..... . . . . . 491

BBVA Bancomer SA, Texas, Series 144A, Notes, Subordinated, 6.500% Mar 10, 2021 .... . . . . . . . . . . . . . . . . US$ 200..... . . . . 196..... . . . . . 239

Cemex S.A.B de C.V., Series 144A, Secured, Notes, Callable, 9.500% Jun 15, 2018 .... . . . . . . . . . . . . US$ 2,400..... . 2,426..... . . . 3,064

Corporacion GEO S.A.B de C.V., Series 144A, Senior, Unsecured, Notes, Callable, 9.250% Jun 30, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 500..... . . . . 510..... . . . . . . . 61

Desarrolladora Homex S.A. De C.V., Senior, Unsecured, Notes, Callable, 7.500% Sep 28, 2015 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,800..... . 1,906..... . . . . . 219

Desarrolladora Homex S.A. De C.V., Series 144A, Senior, Unsecured, Notes, Callable, 9.500% Dec 11, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 100..... . . . . 105..... . . . . . . . 12

Urbi, Desarrollos Urbanos, S.A. de C.V., Senior, Notes, Unsubordinated, Callable, 9.500% Jan 21, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 200..... . . . . 231..... . . . . . . . 22

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,209..... . . . 6,809

Netherlands — 1.3%EMF-NL BV, Series 2008-APRX, Class A2,

Collateral Mortgage Obligation, Floating Rate, Apr 17, 2041 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 829..... . . . . 791..... . . . 1,115




Par Value

(in thousands)Cost

($)

Fair Value

($)

InterGas Finance BV, Series 144A, 6.375% May 14, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 100..... . . . . 110..... . . . . . 118

Koninklijke (Royal) KPN NV, Fixed to Floating, Senior, Notes, Subordinated, Perpetual, Callable, 6.125% Sep 14, 2049 .... . . . . . . . . . . . . . . . . . . . . . . . . . € 400..... . . . . 535..... . . . . . 635

UPC Holding BV, Secured, Notes, Callable, 6.375% Sep 15, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .€ 1,000..... . 1,386..... . . . 1,635

Ziggo BV, Term Loan B3, Floating Rate, Jan 15, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 491..... . . . . 754..... . . . . . 745




..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,241..... . . . 5,931

Peru — 1.7%Banco de Credito del Peru, Senior, Unsecured,

Notes, 5.375% Sep 16, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . US$ 2,100..... . 2,242..... . . . 2,453Continental Senior Trustees Cayman Ltd.,

Series 144A, Senior, Notes, 5.500% Nov 18, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 4,500..... . 4,704..... . . . 5,220

Peru Enhanced Pass-Through Finance Ltd., Series 144A, Class A-1, Sinking Funds, Senior, Secured, Zero Coupon, May 31, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 436..... . . . . 382..... . . . . . 447

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,328..... . . . 8,120

Russia — 9.9%Alpha Bank OJSC via Alpha Bond Issuance Plc,

Senior, Unsecured, Notes, 7.750% Apr 28, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,300..... . 3,667..... . . . 3,722

Gazprom Neft OAO via GPN Capital SA, Series 144A, Senior, Unsecured, Notes, 6.000% Nov 27, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,820..... . 2,946..... . . . 2,938

Gazprom via Gaz Capital S.A., Series 9, Loan Participation Notes, Senior, Unsecured, 6.510% Mar 7, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 5,500..... . 5,677..... . . . 6,302

Gazprom via Gaz Capital S.A., Series 144A, Loan Participation Notes, Senior, Unsecured, 6.510% Mar 7, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . 1,147..... . . . 1,151

OAO Novatek via Novatek Finance Limited, Series 144A, Loan Participation Notes, Senior, Unsecured, 6.604% Feb 3, 2021 .... . . . . . . . . . US$ 5,000..... . 5,883..... . . . 5,752

PhosAgro OAO, Series 144A, Senior, Unsecured, Notes, 4.204% Feb 13, 2018 .... . . . . . . . . . . . US$ 600..... . . . . 597..... . . . . . 644

Russian Agricultural Bank OJSC Via RSHB Capital S.A., Series 144A, Senior, Unsecured, Notes, 5.100% Jul 25, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,300..... . 2,558..... . . . 2,454

Russian Railways via RZD Capital PLC, Loan Participation Notes, Senior, Unsecured, 5.700% Apr 5, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,400..... . 3,466..... . . . 3,685

Sberbank via SB Capital S.A., Series 7, Loan Participation Notes, Senior, Unsecured, 5.717% Jun 16, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,500..... . 3,593..... . . . 3,910

Sberbank via SB Capital S.A., Senior, Unsecured, Notes, 6.125% Feb 7, 2022 .... . . . . . . . . . . US$ 1,000..... . 1,123..... . . . 1,146

Par Value

(in thousands)Cost

($)

Fair Value

($)

Sberbank via SB Capital S.A., Series 144A, Loan Participation Notes, Senior, 6.125% Feb 7, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 400..... . . . . 403..... . . . . . 459

Sibur Securities Ltd., Senior, Unsecured, Notes, 3.914% Jan 31, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,100..... . 1,183..... . . . 1,107

Vimpel Communications, Unsecured, Notes, 7.748% Feb 2, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 4,000..... . 4,041..... . . . 4,556

Vimpel Communications via VIP Finance Ireland Ltd OJSC, Loan Participation Notes, Secured, 9.125% Apr 30, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . US$ 700..... . . . . 775..... . . . . . 847

Vimpel Communications via VIP Finance Ireland Ltd OJSC, Series 144A, Loan Participation Notes, 7.748% Feb 2, 2021 .... . . . . . . . . US$ 1,100..... . 1,095..... . . . 1,253

Vnesheconombank via VEB Finance Ltd., Loan Participation Notes, Senior, Secured, 6.902% Jul 9, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 800..... . . . . 828..... . . . . . 926

Vnesheconombank via VEB Finance Ltd., Euro Medium Term Notes, Loan Participation, Secured, 6.800% Nov 22, 2025 .... . . . . . . . . . . . . . . . . . . . . US$ 1,100..... . 1,068..... . . . 1,210

Vnesheconombank via VEB Finance Ltd., Series 144A, Loan Participation Notes, 6.800% Nov 22, 2025 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 600..... . . . . 600..... . . . . . 660

Vnesheconombank via VEB Finance PLC, Series 144A, Senior, Unsecured, Notes, 5.375% Feb 13, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 200..... . . . . 201..... . . . . . 224

Vnesheconombank Via VEB Finance PLC, Series 144A, Senior, Unsecured, Notes, 6.025% Jul 5, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,950..... . 3,242..... . . . 3,163

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,093..... . 46,109

Singapore — 0.1%Flextronics International Limited, Senior,

Unsecured, Notes, 4.625% Feb 15, 2020 .... . . . . . . . . . . . US$ 500..... . . . . 501..... . . . . . 557

South Africa — 2.5%AngloGold Ashanti Holdings PLC, Senior, Notes,

5.375% Apr 15, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 5,400..... . 5,611..... . . . 5,945Gold Field Orogen Holdings BVI Ltd., Senior,

Unsecured, Notes, Unsubordinated, 4.875% Oct 7, 2020..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 6,000..... . 5,959..... . . . 5,704

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,570..... . 11,649

Spain — 1.0%Banco Popular Espanol SA, Euro Medium

Term Notes, Fixed to Floating, Junior, Subordinated, Perpetual, Callable, 11.500% Oct 10, 2049 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 700..... . 1,162..... . . . 1,211

Xunta de Galicia, Senior, Unsecured, Notes, 5.763% Apr 3, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .€ 2,100..... . 2,815..... . . . 3,578

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,977..... . . . 4,789

Switzerland — 0.2%Credit Suisse AG, Series 144A, Notes,

Subordinated, 6.500% Aug 8, 2023 .... . . . . . . . . . . . . . . . . . . US$ 700..... . . . . 827..... . . . . . 846UBS AG, Euro Medium Term Notes, Fixed to

Floating, Notes, Subordinated, 4.750% May 22, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 200..... . . . . 208..... . . . . . 225

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,035..... . . . 1,071




Par Value

(in thousands)Cost

($)

Fair Value

($)

Trinidad & Tobago — 0.0%Petroleum Company of Trinidad & Tobago Ltd.,

Series 144A, Sinkable, Senior, Unsecured, Notes, 6.000% May 8, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 35..... . . . . . 39..... . . . . . . . 42

Turkey — 0.6%Republic of Turkey, Senior, Unsecured, 6.875%

Mar 17, 2036 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,800..... . 2,230..... . . . 2,169Turkiye Garanti Bankasi A.S., Series 144A,

Senior, Unsecured, Notes, Floating Rate, Apr 20, 2016 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 600..... . . . . 576..... . . . . . 650

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,806..... . . . 2,819

United Arab Emirates — 2.2%Doric Nimrod Air Finance Alpha Limited, Series

2012-1, Class A, Sinking Funds, Senior, Secured, Enhanced Equipment Trust, 5.125% Nov 30, 2024 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,567..... . 3,752..... . . . 4,105

DP World Ltd., Euro Medium Term Notes, Senior, Unsecured, Unsubordinated, 6.850% Jul 2, 2037 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 5,300..... . 6,247..... . . . 6,340

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,999..... . 10,445

United Kingdom — 5.6%Algeco Scotsman Global Finance Plc, Series

144A, Secured, Notes, Callable, 8.500% Oct 15, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . . . . 984..... . . . 1,205

Arqiva Broadcast Finance Plc, Euro Medium Term Notes, Senior, Secured, Subordinated, Callable, 9.500% Mar 31, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . £ 200..... . . . . 311..... . . . . . 419

Barclays Bank PLC, Notes, Subordinated, 7.625% Nov 21, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,500..... . 1,782..... . . . 1,835

Barclays Bank PLC, Series RCI, Fixed to Floating, Junior, Unsecured, Notes, Subordinated, Perpetual, Callable, 14.000% Jun 15, 2049 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £ 700..... . 1,437..... . . . 1,742

Barclays PLC, Fixed to Floating, Junior, Notes, Subordinated, Perpetual, Callable, 8.250% Dec 15, 2049 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,900..... . 4,451..... . . . 4,532

HBOS PLC, Euro Medium Term Notes, Senior, Subordinated, 5.374% Jun 30, 2021 .... . . . . . . . . . . . . . . . . .€ 3,700..... . 4,963..... . . . 6,027

LBG Capital No.1 plc, Series 15, Enhanced Capital Notes, Subordinated, 6.439% May 23, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 100..... . . . . 147..... . . . . . 163

LBG Capital No.1 plc, Series 8, Enhanced Capital Notes, Unsecured, Subordinated, Bank Guaranteed, 7.869% Aug 25, 2020 .... . . . . . . . . . . . . . . £ 900..... . 1,374..... . . . 1,795

LBG Capital No.1 plc, Series 144A, Series 002, Unsecured, Notes, Subordinated, 7.875% Nov 1, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,250..... . 2,053..... . . . 2,714

Lynx I Corp., Series 144A, Secured, Notes, Callable, 6.000% Oct 15, 2021..... . . . . . . . . . . . . . . . . . . . . . . . .£ 1,800..... . 2,822..... . . . 3,517

Royal Bank of Scotland PLC, The, Euro Medium Term Notes, Fixed to Floating, Subordinated, Callable, 9.500% Mar 16, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 500..... . . . . 650..... . . . . . 648

Par Value

(in thousands)Cost

($)

Fair Value

($)

Spirit Issuer plc, Series A4, Sinkable, Fixed to Floating, Secured, Notes, Unsubordinated, 6.582% Dec 28, 2027 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £ 400..... . . . . 541..... . . . . . 759

Tullow Oil PLC, Series 144A, Senior, Unsecured, Notes, Callable, 6.000% Nov 1, 2020 .... . . . . . . . . . . . . . . . US$ 600..... . . . . 678..... . . . . . 680

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,193..... . 26,036

United States — 30.5%2013-2 Aviation Loan Trust, Series 144A,

Secured, Notes, Sinking Funds, Floating Rate, Dec 15, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,003..... . . . . 959..... . . . 1,042

Activision Blizzard Inc., Series 144A, Senior, Unsecured, Notes, Callable, 6.125% Sep 15, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 900..... . 1,084..... . . . 1,082

Adjustable Rate Mortgage Trust, Series 2007-3, Class 2A1, Floating Rate, Nov 25, 2037 .... . . . . . . . . . . . . . US$ 775..... . . . . 712..... . . . . . 598

AES Corporation, The, Senior, Unsecured, Notes, 8.000% Jun 1, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . US$ 5,200..... . 5,673..... . . . 6,791

Aircraft Certificate Backed Notes, Series 2003-A, Class E, Asset Backed, 7.001% Sep 20, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,284..... . 1,202..... . . . 1,431

Albertson's Inc., Senior, Unsecured, Notes, 8.700% May 1, 2030 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,500..... . 1,523..... . . . 1,418

Aleris International Inc., Senior, Unsecured, Notes, Callable, 7.875% Nov 1, 2020 .... . . . . . . . . . . . . US$ 4,925..... . 5,451..... . . . 5,594

Alliance Data Systems Corporation, Series 144A, Senior, Unsecured, Notes, 5.250% Dec 1, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,600..... . 1,585..... . . . 1,853

American Airlines, Inc., Series 144A, Senior, Secured, Notes, Callable, 7.500% Mar 15, 2016 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,350..... . 1,311..... . . . 1,552

American Airlines, Inc., Series 144A, Series 2001-1, Class B, Pass Through Trust, Secured, Sinking Funds, 7.000% Jan 31, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 467..... . . . . 467..... . . . . . 560

Argent Securities Inc., Series 2006-M1, Class A2C, Asset Backed Securities, Floating Rate, Jul 25, 2036 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,542..... . . . . 588..... . . . . . 678

Ashland Inc., Senior, Unsecured, Notes, Callable, 6.875% May 15, 2043 .... . . . . . . . . . . . . . . . . . . . . . . US$ 200..... . . . . 204..... . . . . . 222

Bear Stearns Alt-A Trust, Series 2006-5, Class 1A1, Collateral Mortgage Oblication, Floating Rate, Aug 25, 2036 .... . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 603..... . . . . 320..... . . . . . 396

Blackstone CQP Holdco LP, Senior Secured, Notes, 9.625% Mar 19, 2019 .... . . . . . . . . . . . . . . . . . . . . . . US$ 2,000..... . 2,227..... . . . 2,199

Braskem America Finance Company, The, Series 144A, Senior, Unsecured, Notes, Callable, 7.125% Jul 22, 2041 .... . . . . . . . . . . . . . . . . . . . . . US$ 5,000..... . 5,425..... . . . 5,285

CCRE Co LP LLC/Fin Corp., Series 144A, Senior, Unsecured, Notes, Callable, 7.750% Feb 15, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,000..... . 1,976..... . . . 2,371

Centex Home Equity Loan Trust, Series 2004-D, Class MV1, Floating Rate, Sep 25, 2034 .... . . . . . . . . . . . . . US$ 698..... . . . . 607..... . . . . . 673

CenturyLink Inc., Series V, Senior, Unsecured, Notes, 5.625% Apr 1, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,300..... . 1,506..... . . . 1,513

Clear Channel Worldwide Holdings, Inc., Senior, Notes, Subordinated, Callable, 7.625% Mar 15, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 750..... . . . . 742..... . . . . . 895




Par Value

(in thousands)Cost

($)

Fair Value

($)

Clear Channel Worldwide Holdings, Inc., Senior, Unsecured, Notes, Callable, 6.500% Nov 15, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . . . . 992..... . . . 1,182

Continental Airlines Pass Through Trust, Series 2010-1, Series B, Sinking Funds, Notes, 6.000% Jan 12, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 202..... . . . . 207..... . . . . . 234

Countrywide Asset-Backed Certificates, Series 2005-21, Class A3, Mortgage-Backed, Floating Rate, Jun 25, 2035 .... . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,304..... . 1,054..... . . . 1,300

Countrywide Asset-Backed Certificates, Series 2006-6, Class 2A2, Mortgage-Backed, Floating Rate, Sep 25, 2036 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 134..... . . . . 107..... . . . . . 143

Countrywide Home Loans Trust, Series 2006-19, Class 1A7, Mortgage-Backed, 6.000% Jan 25, 2037 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,841..... . 1,531..... . . . 1,765

Countrywide Home Loans Trust, Series 2007-HYB2, Class 3A1, Mortgage-Backed, Floating Rate, Feb 25, 2047 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 239..... . . . . 196..... . . . . . 213

Covanta Holding Corporation, Senior, Unsecured, Notes, Callable, 6.375% Oct 1, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 250..... . . . . 248..... . . . . . 294

Crown Castle International Corp., Senior, Unsecured, Notes, 5.250% Jan 15, 2023 .... . . . . . . . . . US$ 1,700..... . 1,899..... . . . 1,908

CS First Boston Mortgage Securities Corp., Series 2005-12, Class 8A1, 6.000% Jan 25, 2036 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 339..... . . . . 245..... . . . . . 245

CSC Holdings LLC, Senior, Unsecured, Notes, 7.875% Feb 15, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 440..... . . . . 490..... . . . . . 562

CSC Holdings LLC, Senior, Unsecured, Notes, 7.625% Jul 15, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 300..... . . . . 330..... . . . . . 383

CSC Holdings LLC, Senior, Unsecured, Notes, 8.625% Feb 15, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,900..... . 3,304..... . . . 3,831

Dell Inc., Term Loan B, Floating Rate, Apr 29, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 897..... . . . . 915..... . . . . . 984

Denali Borrower LLC/Denali Finance Corp., Series 144A, Secured, Notes, Callable, 5.625% Oct 15, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,900..... . 1,995..... . . . 2,127

DISH DBS Corporation, Senior, Unsecured, Notes, 7.875% Sep 1, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,000..... . 2,157..... . . . 2,620

DJO Finance LLC/DJO Finance Corp., Senior, Unsecured, Notes, Callable, 7.750% Apr 15, 2018 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 800..... . . . . 792..... . . . . . 931

Doctors Company, The, Series 144A, Surplus Notes, Subordinated, 6.500% Oct 15, 2023 . ... . . . . . . . . US$ 500..... . . . . 518..... . . . . . 551

EchoStar DBS Corporation, Senior, Unsecured, Notes, 7.125% Feb 1, 2016 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 700..... . . . . 851..... . . . . . 845

El Paso LLC, Global Medium Term Notes, Senior, Unsecured, 7.750% Jan 15, 2032 .... . . . . . . . . US$ 1,900..... . 2,229..... . . . 2,252

Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc., Secured, Notes, Callable, 10.000% Dec 1, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,000..... . 1,045..... . . . 1,164

Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc., Senior, Secured, Notes, Callable, 10.000% Dec 1, 2020 .... . . . . . . . . . . . . . . . . . . . . US$ 3,000..... . 3,080..... . . . 3,491

EP Energy LLC/Everest Acquisition Finance Inc., Senior, Unsecured, Notes, Callable, 7.750% Sep 1, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 700..... . . . . 696..... . . . . . 867

Fannie Mae, Series 2007-114, Class A6, Mortgage Backed, Floating Rate, Oct 27, 2037 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 200..... . . . . 192..... . . . . . 218

Par Value

(in thousands)Cost

($)

Fair Value

($)

Fortescue Resources, Term loan, Floating Rate, Jun 30, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,963..... . 3,124..... . . . 3,299

Frontier Communications Corporation, Senior, Unsecured, Notes, 7.125% Mar 15, 2019 .... . . . . . . . . . . . US$ 125..... . . . . 125..... . . . . . 153

Frontier Communications Corporation, Senior, Unsecured, Notes, Unsubordinated, 9.000% Aug 15, 2031 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,600..... . 1,620..... . . . 1,817

Gardner Denver Inc., Term Loan B, Floating Rate, Jul 30, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 4,489..... . 4,593..... . . . 4,958

Genesis Energy LP/Genesis Energy Finance Corp., Senior, Unsecured, Notes, Callable, 5.750% Feb 15, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 500..... . . . . 529..... . . . . . 569

GSR Mortgage Loan Trust, Series 2005-AR3, Class 6A1, Mortgage-Backed, Floating Rate, May 25, 2035 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,959..... . 1,598..... . . . 1,993

GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, Collateral Mortgage Obligation, Floating Rate, Nov 25, 2035 .... . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 111..... . . . . . 89..... . . . . . 116

GSR Mortgage Loan Trust, Series 2005-AR7, Class 6A1, Collateral Mortgage Obligation, Floating Rate, Nov 25, 2035 .... . . . . . . . . . . . . . . . . . . . . . . . US$ 1,848..... . 1,768..... . . . 2,007

H.J. Heinz Company, Term Loan, Floating Rate, Jun 05, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,184..... . 3,230..... . . . 3,538

HCA, Inc., Senior, Secured, Notes, 6.500% Feb 15, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 7,253..... . 7,595..... . . . 8,980

Hilton Worldwide Finance LLC, Term Loan B2, Floating Rate, Oct 25, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 155..... . . . . 160..... . . . . . 172

Hockey Merger Sub 2 Inc., Series 144A, Senior, Unsecured, Notes, Callable, 7.875% Oct 1, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 700..... . . . . 808..... . . . . . 826

Indiana Finance Authority, Series 2009-B, Lease Appropriation, Build America Bonds, Sinkable, 6.596% Feb 1, 2039 .... . . . . . . . . . . . . . . . . . . . . . . . . US$ 300..... . . . . 348..... . . . . . 404

Indymac IMSC Mortgage Loan Trust, Series 2007- HOA1, Class A11, Floating Rate, Jul 25, 2047 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 608..... . . . . 291..... . . . . . 485

Indymac INDX Mortgage Loan Trust, Series 2005- AR23, Class 2A1, Floating Rate, Nov 25, 2035 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 327..... . . . . 256..... . . . . . 294

Iowa Tobacco Settlement Authority, Series 2005 A, Tobacco Settlement, Asset-Backed, Sinking Funds, Callable, 6.500% Jun 1, 2023 .... . . . . US$ 1,665..... . 1,439..... . . . 1,780

JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1, Collateral Mortgage Obligation, Floating Rate, Jun 25, 2037 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 451..... . . . . 400..... . . . . . 445

Lehman Brothers Holdings Inc., Series I, Medium Term Notes, Senior, Unsecured, Floating Rate, Apr 22, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 700..... . . . . 615..... . . . . . 180

Long Beach Mortgage Loan Trust, Series 2006-WL1, Asset-Backed Certificates, Class I-A3, Floating Rate, Jan 25, 2046 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 12..... . . . . . 12..... . . . . . . . 11

MarkWest Energy Partners, L.P./Markwest Energy Finance Corporation, Senior, Unsecured, Notes, Callable, 4.500% Jul 15, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,600..... . 1,607..... . . . 1,702

MetroPCS Wireless Inc., Senior, Unsecured, Notes, Callable, 6.625% Nov 15, 2020 .... . . . . . . . . . . . . . . US$ 500..... . . . . 479..... . . . . . 589

Morgan Stanley ABX Capital I Inc. Trust, Series 2007-HE1, Class A2C, Mortgage Backed Security, Floating Rate, Nov 25, 2036 .... . . . . . . . . . . . . US$ 1,715..... . . . . 906..... . . . 1,132




Par Value

(in thousands)Cost

($)

Fair Value

($)

Nielsen Company (Luxembourg) Sarl, The, Series 144A, Senior, Unsecured, Notes, Callable, 5.500% Oct 1, 2021 .... . . . . . . . . . . . . . . . . . . . . . . US$ 1,200..... . 1,236..... . . . 1,386

Novelis, Inc., Term B, Floating Rate, Mar 10, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 970..... . . . . 991..... . . . 1,072

Radiation Therapy Services, Inc., Senior, Unsecured, Notes, Subordinated, Callable, 9.875% Apr 15, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,500..... . 1,469..... . . . 1,625

RBS Greenwich Capital Mortgage Loan Trust, Series 2008-A , Class A1, RBSGC Mortgage Pass-Through Certificates, Floating Rate, Nov 25, 2035 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,263..... . 1,769..... . . . 1,983

Regency Energy Partners LP/Regency Finance Corp., Senior, Unsecured, Notes, Callable, 5.750%Sep 1, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,600..... . 1,742..... . . . 1,837

Residential Funding Mortgage, Series 2005-SA2, Class 4A, Floating Rate, Jun 25, 2035 .. .. . . . . . . . . . US$ 657..... . . . . 593..... . . . . . 729

Rockies Express Pipeline LLC, Series 144A, Senior, Unsecured, Notes, 6.000% Jan 15, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 4,000..... . 3,926..... . . . 4,455

Rockies Express Pipeline LLC, Series 144A, Senior, Unsecured, Notes, Unsubordinated, 5.625% Apr 15, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,000..... . 2,771..... . . . 3,258

SandRidge Energy, Inc., Senior, Unsecured, Notes, Callable, 7.500% Mar 15, 2021 .... . . . . . . . . . . . . . . US$ 900..... . . . . 897..... . . . 1,062

Sealed Air Corporation, Series 144A, Senior, Unsecured, Notes, 6.500% Dec 1, 2020 .... . . . . . . . . . . . . . US$ 500..... . . . . 501..... . . . . . 608

Southern Copper Corporation, Senior, Unsecured, Notes, 5.250% Nov 8, 2042 .... . . . . . . . . . US$ 1,000..... . . . . 979..... . . . . . 947

Springleaf Finance Corp., Series J, Medium Term Notes, Senior, Unsecured, 6.900% Dec 15, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 900..... . . . . 951..... . . . 1,092

Sprint Capital Corp., Senior, Unsecured, Notes, 8.750% Mar 15, 2032 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,000..... . 2,776..... . . . 3,656

Sprint Corporation, Series 144A, Senior, Unsecured, Notes, 7.875% Sep 15, 2023 .... . . . . . . . . US$ 3,000..... . 3,588..... . . . 3,648

Station Casinos LLC, Term Loan, Floating Rate, Mar 1, 2020 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,985..... . 2,006..... . . . 2,198

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Series 144A, Senior, Unsecured, Notes, Callable, 4.250% Nov 15, 2023 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,400..... . 1,360..... . . . 1,435

Tenet Healthcare Corporation, Series 144A, Senior, Unsecured, Notes, 5.000% Mar 1, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 700..... . . . . 773..... . . . . . 774

Tesoro Logistics LP / Tesoro Logistics Finance Corp., Senior, Unsecured, Notes, Callable, 6.125% Oct 15, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 800..... . . . . 921..... . . . . . 940

Tobacco Settlement Finance Authority, West Virginia, Series 2007A, Taxable Tobacco Settlement, Asset-Backed Bonds, 7.467% Jun 1, 2047 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,440..... . 1,720..... . . . 2,026

tw telecom holdings inc., Senior, Unsecured, Notes, Callable, 5.375% Oct 1, 2022 .... . . . . . . . . . . . . . US$ 2,000..... . 1,962..... . . . 2,255

United Air Lines, Inc., Series 144A, Series 2007-1, Class B, Sinkable, Senior, Secured, Notes, Pass-Thru-Certificates, 7.336% Jul 2, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 178..... . . . . 189..... . . . . . 213

Par Value

(in thousands)Cost

($)

Fair Value

($)

Univision Communications, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 8.500% May 15, 2021 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,500..... . 1,500..... . . . 1,837

USG Corporation, Senior, Unsecured, Notes, Multi-Couponed, 9.750% Jan 15, 2018 .... . . . . . . . . . . . . . . US$ 100..... . . . . 111..... . . . . . 134

WaMu Mortgage Pass-Through Certificates, Series 2006-AR9, Class 1A, Collateral Mortgage Obligation, Floating Rate, Aug 25, 2046 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 397..... . . . . 239..... . . . . . 377

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR7, Class 2A4, Mortgage Pass- Through Certificates, Floating Rate, May 25, 2036 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 352..... . . . . 311..... . . . . . 365

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 4A1, Mortgage Pass- Through Certificates, Floating Rate, Jul 25, 2036 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,879..... . 1,532..... . . . 1,863

Whiting Petroleum Corp., Senior, Unsecured, Notes, Callable, 5.000% Mar 15, 2019 .... . . . . . . . . . . . . . . US$ 600..... . . . . 706..... . . . . . 701

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127,746..... 142,189

Venezuela — 3.1%Bolivarian Republic of Venezuela, Senior,

Unsecured, Unsubordinated, 7.750% Oct 13, 2019 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 300..... . . . . 194..... . . . . . 254

Bolivarian Republic of Venezuela, Senior, Unsecured, Unsubordinated, 8.250% Oct 13, 2024 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 2,400..... . 1,534..... . . . 1,857

Bolivarian Republic of Venezuela, Senior, Unsecured, 9.375% Jan 13, 2034..... . . . . . . . . . . . . . . . . . US$ 2,000..... . 1,656..... . . . 1,617

Petroleos de Venezuela S.A., Senior, Unsecured, Notes, Unsubordinated, 5.250% Apr 12, 2017 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 800..... . . . . 534..... . . . . . 668

Petroleos de Venezuela S.A., Senior, Unsecured, Notes, Callable, 5.375% Apr 12, 2027 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 13,100..... . 7,681..... . . . 7,821

Petroleos de Venezuela S.A., Senior, Unsecured, Notes, Unsubordinated, 5.500% Apr 12, 2037 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 3,900..... . 1,944..... . . . 2,274

..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,543..... . 14,491

Zambia — 0.2%Republic of Zambia, Unsecured, 5.375% Sep

20, 2022 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US$ 1,100..... . 1,088..... . . . 1,040

Total Bonds & Debentures — 90.7% ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391,815. . . . .423,374

Total Investment Portfolio — 96.5% ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419,020. . . . .450,592Total Unrealized Gain on Forward Currency Contracts — 0.3% ..... . . . . . . . . . . . . . . . . . . . . . 1,346Total Unrealized Loss on Forward Currency Contracts — (0.3)% ..... . . . . . . . . . . . . . . . . . (1,281)Credit Default Swap Contracts — 0.1% ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253Other Assets Less Liabilities — 3.4% ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,869NET ASSETS — 100.0% ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .466,779

*These securities have no quoted market value and are valued using valuation techniques (note 2).

**All or a portion pledged as collateral.




Settlement Date

Currency Buy

Position (000s)

Currency Sell

Position (000s)

Contract Rates Counterparty

Credit Rating*

Unrealized Gain

UNREALIZED GAIN ON FORWARD CURRENCY CONTRACTS†

2-Apr-14 . . . . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . 2,059. . . . . . . . . . . . . . € . . . . . . . . . (1,327). . . . . . . . . 1.5518. . . . . . Goldman Sachs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 3815-Apr-14 . . . . . . . . . . . . . . . . . ZAR . . . . . . . . . . . 1,238. . . . . . . . . . . . US$ . . . . . . . . . . . (114). . . . . . . . 10.8210. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316-Apr-14 . . . . . . . . . . . . . . . . . CA$ . . . . . . . . 112,760. . . . . . . . . . . . US$ . . . . . . (101,762). . . . . . . . . 1.1081. . . . . . Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . 22316-Apr-14 . . . . . . . . . . . . . . . . . CA$ . . . . . . . . 112,759. . . . . . . . . . . . US$ . . . . . . (101,689). . . . . . . . . 1.1089. . . . . . Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . 30316-Apr-14 . . . . . . . . . . . . . . . . . CA$ . . . . . . . . 112,759. . . . . . . . . . . . US$ . . . . . . (101,413). . . . . . . . . 1.1119. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . 6082-May-14 . . . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . 1,227. . . . . . . . . . . . . . € . . . . . . . . . . . (798). . . . . . . . . 1.5373. . . . . . JPMorgan Chase Bank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 112-May-14 . . . . . . . . . . . . . . . . . . US$ . . . . . . . . . 28,598. . . . . . . . . . . . . . € . . . . . . . (20,738). . . . . . . . . 1.3790. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 3923-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . . . 483. . . . . . . . . . . . US$ . . . . . . . . . . . (434). . . . . . . . . 1.1124. . . . . . Societe Generale Equities International . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . . . 792. . . . . . . . . . . . US$ . . . . . . . . . . . (711). . . . . . . . . 1.1138. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 523-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . 1,792. . . . . . . . . . . . US$ . . . . . . . . . (1,614). . . . . . . . . 1.1103. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 523-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . 4,722. . . . . . . . . . . . US$ . . . . . . . . . (4,260). . . . . . . . . 1.1086. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 723-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . . . 650. . . . . . . . . . . . US$ . . . . . . . . . . . (576). . . . . . . . . 1.1288. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 1323-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . . . 766. . . . . . . . . . . . US$ . . . . . . . . . . . (681). . . . . . . . . 1.1255. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 1323-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . 2,353. . . . . . . . . . . . US$ . . . . . . . . . (2,100). . . . . . . . . 1.1205. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 2923-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 5,958. . . . . . . . . . . . CA$ . . . . . . . . . (6,592). . . . . . . . . 0.9038. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 323-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 1,513. . . . . . . . . . . . CA$ . . . . . . . . . (1,669). . . . . . . . . 0.9063. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 512-Jun-14 . . . . . . . . . . . . . . . . . CA$ . . . . . . . . . 10,769. . . . . . . . . . . GBP . . . . . . . . . (5,816). . . . . . . . . 1.8516. . . . . . Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

Total Unrealized Gain on Forward Currency Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,346

Settlement Date Currency Buy

Position (000s) Currency Sell

Position (000s)

Contract Rates Counterparty

Credit Rating*

Unrealized Loss

UNREALIZED LOSS ON FORWARD CURRENCY CONTRACTS†

1-Apr-14 . . . . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . 6,584. . . . . . . . . . . . US$ . . . . . . . . . (5,958). . . . . . . . . 1.1051. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (2)2-Apr-14 . . . . . . . . . . . . . . . . . . . . . € . . . . . . . . . 20,738. . . . . . . . . . . . US$ . . . . . . . (28,599). . . . . . . . . 0.7251. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (32)2-Apr-14 . . . . . . . . . . . . . . . . . . . . . € . . . . . . . . . . . 1,596. . . . . . . . . . . . CA$ . . . . . . . . . (2,475). . . . . . . . . 0.6448. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (45)2-Apr-14 . . . . . . . . . . . . . . . . . . . US$ . . . . . . . . . 28,463. . . . . . . . . . . . . . € . . . . . . . (20,738). . . . . . . . . 1.3725. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (118)16-Apr-14 . . . . . . . . . . . . . . . . . CA$ . . . . . . . . 112,759. . . . . . . . . . . . US$ . . . . . . (102,754). . . . . . . . . 1.0974. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (875)16-Apr-14 . . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 1,390. . . . . . . . . . . . CA$ . . . . . . . . . (1,537). . . . . . . . . 0.9042. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . —16-Apr-14 . . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 9,200. . . . . . . . . . . . CA$ . . . . . . . (10,227). . . . . . . . . 0.8996. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (53)2-May-14 . . . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . . . 657. . . . . . . . . . . . US$ . . . . . . . . . . . (595). . . . . . . . . 1.1045. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (1)14-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . . . 246. . . . . . . . . . . MXN . . . . . . . . . (3,279). . . . . . . . . 0.0750. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (5)23-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . 1,442. . . . . . . . . . . . US$ . . . . . . . . . (1,306). . . . . . . . . 1.1039. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (4)23-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . . . 748. . . . . . . . . . . . US$ . . . . . . . . . . . (679). . . . . . . . . 1.1016. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (4)23-May-14 . . . . . . . . . . . . . . . . CA$ . . . . . . . . . . . 2,508. . . . . . . . . . . . US$ . . . . . . . . . (2,277). . . . . . . . . 1.1016. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (12)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . . . 588. . . . . . . . . . . . CA$ . . . . . . . . . . . (654). . . . . . . . . 0.8997. . . . . . Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (3)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . . . 598. . . . . . . . . . . . CA$ . . . . . . . . . . . (667). . . . . . . . . 0.8968. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (5)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . . . 436. . . . . . . . . . . . CA$ . . . . . . . . . . . (489). . . . . . . . . 0.8917. . . . . . Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (6)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 2,341. . . . . . . . . . . . CA$ . . . . . . . . . (2,598). . . . . . . . . 0.9011. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (7)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 3,053. . . . . . . . . . . . CA$ . . . . . . . . . (3,390). . . . . . . . . 0.9007. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (10)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 7,559. . . . . . . . . . . . CA$ . . . . . . . . . (8,382). . . . . . . . . 0.9018. . . . . . Bank of America N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (15)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 1,059. . . . . . . . . . . . CA$ . . . . . . . . . (1,192). . . . . . . . . 0.8886. . . . . . Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (20)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 3,954. . . . . . . . . . . . CA$ . . . . . . . . . (4,407). . . . . . . . . 0.8972. . . . . . Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (30)23-May-14 . . . . . . . . . . . . . . . . US$ . . . . . . . . . . . 5,516. . . . . . . . . . . . CA$ . . . . . . . . . (6,140). . . . . . . . . 0.8984. . . . . . Societe Generale Equities International . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (34)

Total Unrealized Loss on Forward Currency Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,281)*Credit Rating provided by Standard & Poor's.†Positions collateralized by Canadian Treasury Bills.




Buy/Sell Protection

Referenced Entity

Receive/(Pay) Fixed Rate

Expiry Date

Number of Contracts Counterparty

Notional Cost ($)

Notional Market Value

($)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS CONTRACTS††

Sell. . . . . . . . . . . . . . . . . . . . . . . CDX.HY22 5Y BP ICE . . . . . . . . . . . . . 5.000% . . . . . . . . . . . . . . . . . . . . . . . . . . . Jun-2019. . . . . . . . . . (4,200,000)

Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326. . . . . . . . . . . . . . . . . . . 346

Sell. . . . . . . . . . . . . . . . . . . . . . . CDX.EM21 BP ICE . . . . . . . . . . . . . . . . . 5.000% . . . . . . . . . . . . . . . . . . . . . . . . . . . Jun-2019. . . . . . . . . . (9,800,000) Citibank N.A. . . . . . . . . . . . . . . . . . . . . . . . 870. . . . . . . . . . . . . . . . . 1,032

Total Centrally Cleared Credit Default Swap Contract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,196. . . . . . . . . . . . . . . . . 1,378

††Positions collateralized by cash.

Buy/Sell Protection

Referenced Entity

Receive/(Pay) Fixed Rate

Expiry Date Counterparty

Credit Rating**

Notional Amount

Fair Value

CREDIT DEFAULT SWAPS CONTRACTS

Sell. . . . . . . . . . . . CDX.EM20 BP ICE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5.000% . . . .

20-Dec-18 . . . . . . . . . . . . . . . . . . . . . . . . . . . .Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1. . . . . . . . . . (2,600). . . . . . . . . 253

Total Credit Default Swap Contracts at Fair Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253

**Credit rating provided by Standard & Poor's.




THE FUND'S INVESTMENT PORTFOLIO IS CONCENTRATED IN THE FOLLOWING SEGMENTS AS AT:

March 31 2014

September 30 2013

Money Market InvestmentsFederal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.8%. . . . . . . . . . . . . . . . . . . 0.9%

Bonds & DebenturesAustralia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .—%. . . . . . . . . . . . . . . . . . . 0.5%Austria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .—%. . . . . . . . . . . . . . . . . . . 0.1%Barbados . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2%. . . . . . . . . . . . . . . . . . . 0.2%Belgium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.5%. . . . . . . . . . . . . . . . . . . . .—%Bermuda . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.4%. . . . . . . . . . . . . . . . . . . 0.4%Brazil . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.0%. . . . . . . . . . . . . . . . . . . 8.5%Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.0%. . . . . . . . . . . . . . . . . . . 0.8%Cayman Islands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2%. . . . . . . . . . . . . . . . . . . 1.0%China . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .—%. . . . . . . . . . . . . . . . . . . . .—%Colombia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.6%. . . . . . . . . . . . . . . . . . . . .—%France . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.2%. . . . . . . . . . . . . . . . . . . 0.7%Germany . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.4%. . . . . . . . . . . . . . . . . . . 0.3%India . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2%. . . . . . . . . . . . . . . . . . . 0.2%Indonesia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.2%. . . . . . . . . . . . . . . . . . . 2.9%Ireland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.2%. . . . . . . . . . . . . . . . . . . 1.6%Israel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1%. . . . . . . . . . . . . . . . . . . 0.1%Italy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.6%. . . . . . . . . . . . . . . . . . . . .—%Jordan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2%. . . . . . . . . . . . . . . . . . . 0.1%Luxembourg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.3%. . . . . . . . . . . . . . . . . . . 6.2%Mexico . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.5%. . . . . . . . . . . . . . . . . . . 1.2%Netherlands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3%. . . . . . . . . . . . . . . . . . . 0.6%Peru . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.7%. . . . . . . . . . . . . . . . . . . 1.4%Russia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.9%. . . . . . . . . . . . . . . . . . . 8.0%Singapore . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1%. . . . . . . . . . . . . . . . . . . 0.1%South Africa . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.5%. . . . . . . . . . . . . . . . . . . 1.9%Spain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.0%. . . . . . . . . . . . . . . . . . . 1.5%Switzerland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2%. . . . . . . . . . . . . . . . . . . . .—%Trinidad & Tobago . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .—%. . . . . . . . . . . . . . . . . . . . .—%Turkey . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.6%. . . . . . . . . . . . . . . . . . . 0.6%United Arab Emirates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.2%. . . . . . . . . . . . . . . . . . . 1.8%United Kingdom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.6%. . . . . . . . . . . . . . . . . . . 4.6%United States . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30.5%. . . . . . . . . . . . . . . . . . 42.8%Venezuela . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.1%. . . . . . . . . . . . . . . . . . . 5.6%Zambia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2%. . . . . . . . . . . . . . . . . . . 0.5%

Other Assets Less Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.5%. . . . . . . . . . . . . . . . . . . 4.9%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.0%. . . . . . . . . . . . . . . . 100.0%


NOTES TO THE FINANCIAL STATEMENTS (All amounts in thousands of Canadian dollars, except per unit data)March 31, 2014

1. The FundBMO Global Strategic Bond Fund ("the Fund") is an open-ended mutual fund trust established under the laws of the province of Ontario and is governed by a Master Declaration of Trust dated November 6, 2007. The Master Declaration of Trust was amended on October 23, 2008 and November 3, 2009 to permit certain funds to offer a multi-series structure. In addition to the existing Series A units, certain Funds are permitted to offer Series I, Series F, Advisor Series, Series T5, Series T6 and/or Classic Series units. Each series is intended for different kinds of investors and has different management fees and fixed administration fees. Refer to Note 7(a) for the Fund's series and respective launch date(s) and Note 7(d) for management fee rates and fixed administration fee rates for each series. BMO Investments Inc. (the "Manager") is the manager and Trustee of the Fund. The Manager is a wholly-owned subsidiary of Bank of Montreal. The information provided in these unaudited financial statements is for the period(s) ended March 31, 2014 and 2013 except for the comparative information in the Statement of Net Assets and the related notes which are as at September 30, 2013. Financial information provided for a fund established during the period(s) is presented from the date of inception as noted in Note 7(a). Financial information provided for a series established during the period(s) is presented from the launch date as noted in Note 7(a). 2. Summary of significant accounting policiesThese interim financial statements have been prepared in accordance with Canadian generally accepted accounting principles ("Canadian GAAP"), including estimates and assumptions made by management that may affect the reported amounts of assets, liabilities, income and expenses during the reported periods. Actual results could differ from estimates. Fund mergersThe Manager has adopted the purchase method of accounting for certain Fund mergers which occurred during the periods. Under this method, one of the Funds in each merger is identified as the acquiring Fund, and is referred to as the "Continuing Fund", and the other Fund involved in the merger is referred to as the "Terminated Fund". This identification is based on

the comparison of the relative net asset values of the Funds as well as consideration of the continuation of such aspects of the Continuing Fund as: investment advisors; investment objectives and practices; type of portfolio securities; and management fees and expenses. Where applicable, refer to Note 7(a) for the details of the merger transactions. Valuation of investmentsCanadian GAAP requires the use of bid prices for long positions and ask prices for short positions in the fair valuation of investments traded in an active market, rather than the use of closing prices currently used for the purpose of determining Net Asset Value ("NAV"). For investments that are not traded in an active market, Canadian GAAP requires the use of valuation techniques, incorporating factors that market participants would consider in setting a price. The NAV is the value of the total assets of a Fund less the fair value of its total liabilities at a Valuation Date (the "Valuation Date" is each day on which the Toronto Stock Exchange is open for trading) determined in accordance with Part 14 of National Instrument 81-106 - Investment Fund Continuous Disclosure ("NI 81-106") for the purpose of processing unitholder transactions. For financial statement purposes, valuations are determined in accordance with Canadian GAAP. This may result in a difference between the NAV per unit for each series and the net assets per unit for each series. Refer to Note 7(b) for the comparison between NAV per unit and net assets per unit for each series. Investments are deemed to be held for trading. Investments are recorded at their fair value with the change between this amount and average cost being recorded as unrealized appreciation (depreciation) in value of investments in the Statement of Operations. Securities listed on a recognized public securities exchange in North America are valued for financial statement purposes at their bid prices for long positions and ask prices for short positions. Procedures are in place to fair value securities traded in countries outside of North America daily, to avoid stale prices and to take into account, among other things, any significant events occurring after the close of a foreign market. For bonds, debentures, asset-backed securities and


NOTES TO THE FINANCIAL STATEMENTS (cont’d)(All amounts in thousands of Canadian dollars, except per unit data)March 31, 2014

other debt securities, the fair value represents the bid price provided by independent security pricing services. Short-term investments are included in the Statement of Investment Portfolio at their fair value. Unlisted warrants are valued based on a pricing model which considers factors such as the market value of the underlying security, strike price and terms of the warrant. Mutual fund units and exchange traded funds held as investments are valued at their respective NAVs on each Valuation Date, as these values are the most readily and regularly available. When the price of a security held in the Fund is unavailable, unreliable or not considered to reflect the current value, the Manager may determine another value which it considers to be fair and reasonable using the services of third-party valuation service providers, or using a valuation technique that, to the extent possible, makes maximum use of inputs and assumptions based on observable market data including volatility, comparable companies and other applicable rates or prices. Investment transactionsInvestment transactions are accounted for on the trade date. Realized gains (losses) from the sale of investments and unrealized appreciation (depreciation) in the value of investments are calculated with reference to the average cost of the related investments which exclude brokerage commissions and other trading expenses. All net realized gains (losses), unrealized appreciation (depreciation) in value, and transaction costs are attributable to investments and derivative instruments which are deemed held for trading, and are included in the Statement of Operations. Client brokerage commissions, where applicable, are used as payment for order execution services or research services. The portfolio advisors or Manager may select brokers, including their affiliates, who charge a commission in excess of that charged by other brokers ("soft dollars") if they determine in good faith that the commission is reasonable in relation to the order execution and research services utilized. It is the Manager's objective that over time, all clients receive benefits from the client brokerage commissions. Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities by the

Fund are expensed and included in "Commissions and other portfolio transaction costs" in the Statement of Operations. Cost of investmentsThe cost of investments represents the amount paid for each security and is determined on an average cost basis. Income recognitionInterest income is recognized on an accrual basis. Dividend income and distributions from investment trust units are recognized on the ex-dividend and ex-distribution date, respectively. Interest on inflation-indexed bonds will be paid based on a principal value, which is adjusted for inflation. The inflation adjustment of the principal value is recognized as part of interest income in the Statement of Operations. If held to maturity, the Fund will receive, in addition to a coupon interest payment, a final payment equal to the sum of the par value and the inflation compensation accrued from the original issue date. Interest is accrued on each Valuation Date based on the inflation adjusted par value at that time and is included in "Interest" in the Statement of Operations. Translation of foreign currenciesThe fair value of investments and other assets and liabilities in foreign currencies are translated into the Fund's functional currency at the rates of exchange prevailing at the period-end date. Purchases and sales of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Foreign exchange gains (losses) on completed transactions are included in "Realized gain (loss) on sale of investments" and unrealized foreign exchange gains (losses) are included in "Change in unrealized appreciation (depreciation) in value of investments" in the Statement of Operations. Realized and unrealized foreign exchange gains (losses) on assets (other than investments) and liabilities are included in "Realized gain (loss) on foreign exchange" in the Statement of Operations. Forward currency contractsA forward currency contract is an agreement between two parties (the Fund and the counterparty) to purchase or sell a currency against another currency



at a set price on a future date. The Fund may enter into forward currency contracts for hedging purposes which can include the hedging of all or a portion of the currency exposure of an investment or group of investments, either directly or indirectly. The Fund may also enter into these contracts for non-hedging purposes which can include increasing the exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. The value of forward currency contracts entered into by the Fund is recorded as the difference between the value of the contract on the Valuation Date and the value on the date the contract originated. Changes in the value of open forward currency contracts at each Valuation Date are recognized in the Statement of Operations as "Change in unrealized appreciation (depreciation) in value of forward currency contracts". Amounts realized at the close of the contracts are recorded as "Realized gain (loss) on forward currency contracts" in the Statement of Operations. Futures contractsFutures contracts are financial agreements to purchase or sell a financial instrument at a contracted price on a specified future date. Futures contracts are valued at the gain or loss that would arise as a result of closing the position at the Valuation Date, the "notional value". Any difference between the notional value on each Valuation Date and the notional value on the previous Valuation Date is recorded as "Net income (loss) from derivative contracts" in the Statement of Operations. Treasury bills or cash are held as margin against the futures contracts. Credit default swap contractsA credit default swap contract is an agreement to transfer credit risk from one party, a buyer of protection, to another party, a seller of protection. The Fund as a seller of protection would be required to pay a notional or other agreed upon value to the buyer of protection in the event of a default by a third-party. In return, the Fund would receive from the counterparty a periodic stream of payments over the term of the contract provided that no event of default occurs. If no default occurs, the Fund would keep the stream of payments and would have no payment obligations.

The Fund as a buyer of protection would receive a notional or other agreed upon value from the seller of protection in the event of a default by a third-party. In return, the Fund would be required to pay to the counterparty a periodic stream of payments over the term of the contract provided that no event of default occurs. Credit default swap contracts are fair valued daily based upon quotations from independent security pricing sources. Premiums paid or received, if any, are included in "Net income from derivative contracts" in the Statement of Operations. Net periodic payments are accrued daily and recorded as "Net income (loss) from derivative contracts" in the Statement of Operations. When credit default swap contracts expire or are closed out, gains or losses are recorded as "Net income (loss) from derivative contracts" in the Statement of Operations. Option contractsThe Fund may engage in option contract transactions by purchasing (long positions) or writing (short positions) call or put option contracts. These contracts have different risk exposures for the Fund whereas the risk for long positions will be limited to the premium paid to purchase the option contracts, the risk exposure for the short position is potentially unlimited until closed or expired. Purchased option contractsThe premium paid for purchasing a call option is recorded as an asset in the Statement of Net Assets. The premium is valued at every Valuation Date at an amount equal to the fair value of the option that would have the effect of closing the position. The change in the difference between the premium and the fair value is shown as "Change in unrealized appreciation (depreciation) in value of investments" in the Statement of Operations. When a purchased option expires, the Fund will realize a loss equal to the premium paid. When a purchased option is closed, the gain or loss the Fund will realize will be the difference between the proceeds and the premium paid. When a purchased call option is exercised, the premium paid is added to the cost of acquiring the underlying security. When a purchased put option is exercised, the premium paid will be



subtracted from the proceeds from the sale of the underlying security that had to be sold. Written option contractsThe premium received from writing a call or put option is recorded as a liability in the Statement of Net Assets. When a written option expires, the Fund will realize a gain equal to the premium received. When a written option is closed, the Fund will realize a gain or loss equal to the difference between the cost at which the contract was closed and the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying investments to determine the realized gain or loss. When a written put option is exercised, the premium received will be subtracted from the cost of the underlying investment the Fund had purchased. The gain or loss that the Fund realizes when a purchased or written option is expired or closed is recorded as "Net income (loss) from derivative contracts" in the Statement of Operations. Securities lending A Fund may engage in securities lending pursuant to the terms of an agreement which includes restrictions as set out in Canadian securities legislation. Collateral held is government Treasury Bills and qualified Notes. Income from securities lending, where applicable, is included in the Statement of Operations and is recognized when earned. The securities on loan continue to be displayed in the Statement of Investment Portfolio. The market value of the securities loaned and collateral held is determined daily. Aggregate fair values of securities on loan and related collateral held in trust as at March 31, 2014 and September 30, 2013, where applicable, are disclosed in Note 7(h). Increase or decrease in net assets from operations per unit"Increase (decrease) in net assets from operations per unit" of a series in the Statement of Operations represents the increase (decrease) in net assets from operations attributable to the series, divided by the weighted average number of units of the series outstanding during the period.

Short-term trading penaltyTo discourage excessive trading, the Fund may, at the Manager's sole discretion, charge a short-term trading penalty. This penalty is paid directly to the Fund and is included in "Interest" in the Statement of Operations, if any. Other assets and liabilitiesIncome receivable, subscriptions receivable, receivable for margins on futures and due from broker are designated as loans and receivables and recorded at cost or amortized cost. Similarly, amounts due to broker, payables for margins on futures, redemptions payable, distributions payable and accrued expenses are designated as financial liabilities and reported at amortized cost. Other assets and liabilities are short-term in nature, and are carried at cost or amortized cost which approximates fair value. Future accounting standardsCanadian investment entities will be required to prepare their financial statements in accordance with International Financial Reporting Standards ("IFRS"), as issued by the International Accounting Standards Board ("IASB"), for fiscal years beginning on or after January 1, 2014. As a result, the Fund will report its financial results for the interim period ending March 31, 2015, prepared on an IFRS basis, including an opening balance sheet as at October 1, 2013 ("transition date"). The differences between the Fund's accounting policies under Canadian GAAP and IFRS requirements will result in measurement and recognition differences on transition to IFRS. The net impact of these differences will be recorded in the increase/decrease in net assets attributable to redeemable unitholders. Significant accounting changes resulting from our adoption of IFRSThe main accounting changes listed below should not be considered a comprehensive list of impacts of adopting IFRS, but rather the most significant of certain key changes. The framework for fair valuation is set out under IFRS 13 Fair Value Measurement (“IFRS 13”), which includes the requirements for the measurement and disclosure of fair value. If an asset or liability measured at fair value has a bid price and an ask price, the



standard requires valuation to be based on a price within the bid-ask spread that is most representative of fair value. The standard allows the use of mid-market pricing or other pricing conventions that are used by market participants as a practical means for fair value measurements within a bid-ask spread. Thus this standard will impact the net assets per unit for financial statement reporting purposes compared to current standards, and may also result in the elimination of the differences between the net asset per unit and NAV per unit at the reporting date. While IFRS does not require interest income to be disclosed for debt instruments measured at Fair Value through Profit or Loss, when interest income is disclosed, IFRS requires that the effective interest rate method of calculating accrued interest be used rather than the straight-line amortization method. The Manager is assessing the impact of this change to the Fund’s financial statements. The Manager has not identified any changes that will impact NAV per unit as a result of the transition to IFRS. Where the Fund holds controlling interest in an investment, it is the Manager’s expectation that the Fund will qualify as an Investment Entity in accordance with IFRS 10 Consolidated Financial Statements. As such, the Fund will not be required to consolidate its investments, but rather to hold the investments at Fair Value through Profit or Loss regardless of whether those investments are controlled. If the Fund fair values the investments it controls, it may be required to make additional financial statement disclosures on its controlled investments in accordance with IFRS 12 Disclosure of Interests in Other Entities (“IFRS 12”). IFRS 12 also requires additional disclosures if the Fund is determined to qualify as an investment entity without having all of the typical characteristics of an investment entity. The criteria contained within IAS 32 Financial Instruments: Presentation (“IAS 32”) will result in the classification of the unitholders’ equity as a liability within the Fund’s Statement of Net Assets, unless all conditions required for equity classification are met. The Manager is currently assessing the Fund’s unitholder structure to determine classification under IAS 32. Under IFRS, statement of cash flows is one of the

primary financial statements required to be presented. The Fund will therefore be presenting statement of cash flows in its set of financial statements in accordance with the presentation requirements in IAS 7 Statement of Cash Flows (“IAS 7”). 3. Unit valuation Units of the Fund are offered for sale on a continuous basis and may be purchased or redeemed on any Valuation Date at the NAV per unit of a particular series. The NAV per unit of a series for the purposes of subscription or redemption is computed by dividing the NAV of the Fund attributable to the series (that is, the total fair value of the assets attributable to the series less the liabilities attributable to the series) by the total number of units of the series of the Fund outstanding at such time. This amount may be different from the net assets per unit of a series calculation, which is presented on the Statement of Net Assets. Generally, any differences are due to valuing actively traded securities at bid prices for Canadian GAAP purposes while NAV typically utilizes closing price to determine fair value for the purchase and redemption of units. See Note 7(b) for the comparison between NAV per unit and net assets per unit for each series. Expenses directly attributable to a series are charged to that series. Other expenses, income, realized and unrealized gains and losses from investment transactions are allocated proportionately to each series based upon the relative NAV of each series. CapitalThe capital of the Fund is represented by issued and redeemable units with no par value. The units are entitled to distributions, if any, and to payment of a proportionate share based on the Fund's NAV per unit upon redemption. The Fund has no restrictions or specific capital requirements on the subscriptions and redemptions of units except as disclosed in Note 7(a), if any. The relevant movements in capital are shown on the Statement of Changes in Net Assets. In accordance with its investment objectives and strategies, and the risk management practices outlined in Note 6, the Fund endeavours to invest the subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions, such liquidity being augmented by short-term borrowings or disposal of investments where necessary.



4. Income taxesThe Fund qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada) (the "Tax Act"). Distributions of all net taxable income and sufficient amounts of net realized capital gains for each taxation year will be paid to unitholders. Part of the Fund's net income and net realized capital gains not paid or payable, is subject to income tax. It is the intention of the Fund to distribute all of its income and sufficient net realized capital gains so that the Fund will not be subject to income tax. Income tax on net realized capital gains not paid or payable is generally recoverable by virtue of refunding provisions contained in tax legislation, as redemptions occur. Non-capital losses that arose in 2004 and 2005 are available to be carried forward for ten years and applied against future taxable income. Non-capital losses that arose in 2006 and thereafter are available to be carried forward for twenty years. Capital losses for income tax purposes may be carried forward indefinitely and applied against capital gains realized in future years. The Fund's non-capital and capital losses for income tax purposes as of the tax year-ended December 2013 are included in Note 7(c), if applicable. 5. Related party transactions(a) Management feesThe Manager is responsible for the day-to-day management of the Fund and its investment portfolio in compliance with the Fund's constating documents. The Manager monitors and evaluates the performance of the Fund, pays for the investment management services of the investment advisors and provides all related administrative services required by the Fund. As compensation for its services the Manager is entitled to receive a fee payable monthly, calculated at the maximum annual rates included in Note 7(d). (b) Fixed administration feesThe Manager pays certain operating expenses of the Fund in return for a fixed administration fee, which is paid for by the Fund. Certain specified expenses are paid directly by the Fund and include interest and borrowing expenses, costs and expenses related to the operation of the Fund's Independent Review Committee, taxes to which the Fund is or might be subject, and costs associated with compliance with

any new governmental or regulatory requirement introduced after December 1, 2007 (e.g., cost associated with the production of Fund Facts fees). The fixed administration fee is calculated daily as a fixed annual percentage of the average NAV of the Fund. Refer to Note 7(d) for the fixed administration fee rates charged to the Fund. (c) Administration servicesThe Manager and its affiliates provide the Fund with certain facilities and services. Expenses are incurred by the Manager and by other members of Bank of Montreal Group of Companies for administration services required by the Fund, such as fund accounting, record keeping, processing orders, issuing statements, for acting as trustee for registered plans and for general administrative support. These fees are included in "Administration fees" in the Statement of Operations. The Manager may, in some years and in certain cases, absorb a portion of management fees, fixed administration fees, administration services or certain specified expenses of the Fund or series of the Fund. The decision to absorb these expenses is reviewed periodically and determined at the discretion of the Manager, without notice to unitholders. (d) Commissions and other portfolio transaction costsThe Fund may execute trades with and or through BMO Nesbitt Burns Inc., an affiliate of the Manager, based on established standard brokerage agreements at market prices. These fees are included in "Commissions and other portfolio transaction costs" in the Statement of Operations. Refer to Note 7(e) for related party fees charged to the Fund for the periods ended March 31, 2014 and 2013, where applicable. (e) Initial investmentsIn order to establish a new Fund, the Manager makes an initial investment in the Fund. Pursuant to the policies of the Canadian Securities Administrators, an initial investor cannot redeem its investments until an additional $500 has been received from other investors with respect to the same series of units. Refer to Note 7(d) for the investment in units of the Fund held by the Manager as at March 31, 2014 and September 30, 2013, where applicable.



(f) Other related party transactionsFrom time to time, the Manager may on behalf of the Fund enter into transactions or arrangements with or involving other members of Bank of Montreal Group of Companies, or certain other persons or companies that are related or connected to the Manager of the Fund. These transactions or arrangements may include transactions or arrangements with or involving Bank of Montreal Group of Companies, BMO Nesbitt Burns Inc., BMO Harris Investment Management Inc., BMO Asset Management Inc., BMO InvestorLine Inc., HIM Monegy Inc., BMO Trust Company, Pyrford International Ltd., Lloyd George Management Inc., or other investment funds offered by BMO and may involve the purchase or sale of portfolio securities through or from a member of Bank of Montreal Group of Companies, the purchase or sale of securities issued or guaranteed by a member of Bank of Montreal Group of Companies, the purchase or redemption of units or shares of other BMO Mutual Funds or the provision of services to the Manager. 6. Financial Instrument RiskThe Fund may be exposed to a variety of financial risks that are concentrated in its investment holdings, including derivative instruments. The Statement of Investment Portfolio groups securities by asset type, geographic region and/or market segment. The Fund's risk management practice includes the monitoring of compliance to investment guidelines. The Manager manages the potential effects of these financial risks on the Fund's performance by employing and overseeing professional and experienced portfolio managers that regularly monitor the Fund's positions, market events and diversify investment portfolios within the constraints of the investment guidelines. Where the Fund invests in other investment fund(s), it may be indirectly exposed to the financial instrument risks of the underlying fund(s), depending on the investment objectives and the type of securities held by the underlying fund(s). The decision to buy or sell an underlying fund is based on the investment guidelines and positions, rather than the exposure of the underlying fund(s). (a) Currency riskCurrency risk is the risk that the value of investments

denominated in currencies, other than the functional currency of the Fund, will fluctuate due to changes in foreign exchange rates. Investments in foreign markets are exposed to currency risk as the prices denominated in foreign currencies are converted to the Fund's functional currency in determining fair value. The Fund may enter into forward currency contracts for hedging purposes to reduce foreign currency exposure or to establish exposure to foreign currencies. The Fund's exposure to currency risk, if any, is further discussed in Note 7(f). (b) Interest rate riskInterest rate risk is the risk that the fair value of the Fund's interest-bearing investments will fluctuate due to changes in market interest rates. The Fund's exposure to interest rate risk is concentrated in its investment in debt securities (such as bonds, money market instruments, short-term investments and debentures) and interest rate derivative instruments, if any. Other assets and liabilities are short-term in nature and/or non-interest bearing. The Fund's exposure to interest rate risk, if any, is further discussed in Note 7(f). (c) Other market riskOther market risk is the risk that the fair value of a financial instrument will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk), whether those changes are caused by factors specific to the individual financial instrument or its issuer, or factors affecting all similar financial instruments traded in a market. Other assets and liabilities are monetary items that are short-term in nature, as such they are not subject to other market risk. The Fund's exposure to other market risk, if any, is further discussed in Note 7(f). (d) Credit riskCredit risk is the risk that a loss could arise from a security issuer or counterparty to a financial instrument not being able to meet its financial obligations. The fair value of debt securities includes consideration of the credit worthiness of the debt issuer. Credit risk exposure for over-the-counter derivative instruments is based on the Fund's unrealized gain of the contractual obligations with the counterparty as at the reporting date. The credit exposure of other assets is represented by its carrying amount. The Fund's exposure to credit risk, if any, is



further discussed in Note 7(f). The Fund may enter into securities lending transactions with approved counterparties. Credit risk associated with these transactions is considered minimal as all counterparties have a sufficient approved credit rating and the market value of collateral held by the Fund must be at least 102% of the fair value of securities loaned, as disclosed in Note 7(h). (e) Liquidity riskThe Fund's exposure to liquidity risk is concentrated in the daily cash redemptions of units. The Fund primarily invests in securities that are traded in active markets and can be readily disposed. In addition, the Fund retains sufficient cash and cash equivalent positions to maintain liquidity. The Fund may, from time to time, enter into over-the-counter derivative contracts or invest in unlisted securities, which are not traded in an organized market and may be illiquid. Securities for which a market quotation could not be obtained and may be illiquid are identified on the Statement of Investment Portfolio. The proportion of illiquid securities to the NAV of the Fund is monitored by the Manager to ensure it does not exceed the regulatory limit and does not significantly affect the liquidity required to meet the Fund's financial obligations.



7. Fund specific information(a) Fund and series information, change in units and significant eventsThe Fund’s inception date was September 6, 2000. The Fund is authorized to issue an unlimited number of units in each of Series A, Advisor Series, Series F and Series I.

Series Launch date

Series A November 27, 2000

Advisor Series November 3, 2008

Series F November 3, 2008

Series I May 9, 2008

Series A units are offered on a no-load basis and are available to all investors.

Advisor Series units are available to all investors through authorized dealers and brokers.

Series F units are available for purchase by investors who are enrolled in dealer-sponsored wrap programs or flat fee accounts. Instead of paying a commission on each transaction, these investors pay an annual fee to the Manager based on the value of their assets.

Series I units are available for purchase by institutional investors who make the required minimum investments and have entered into an agreement with the Manager. No management fees and fixed administration fees are charged to the Fund in respect of the Series I units as each investor or dealer negotiates a separate fee with the Manager.

The number of units of each series that have been issued and are outstanding are disclosed in the table below.

For the periods ended (in thousands of units)

Mar. 31 2014

Mar. 31 2013

Series A

Units issued and outstanding, beginning of period 19,233 19,820

Issued 1,659 1,820 Issued on reinvestment of distributions 550 1,004 Redeemed during the period (1,968 ) (2,458 )Units issued and outstanding, end of

period 19,474 20,186

For the periods ended (in thousands of units)

Mar. 31 2014

Mar. 31 2013

Advisor Series


Issued 534 4,828 Issued on reinvestment of distributions 163 543 Redeemed during the period (2,702 ) (1,875 )Units issued and outstanding, end of

period 11,286 14,582 Series F


Issued 552 1,610 Issued on reinvestment of distributions 39 148 Redeemed during the period (804 ) (836 )Units issued and outstanding, end of

period 3,110 4,063 Series I


Issued 482 9,343 Issued on reinvestment of distributions 327 4,346 Redeemed during the period (5,386 ) (5,862 )Units issued and outstanding, end of

period 14,159 61,503

Series name changesAs at the close of business on March 28, 2013, the following series names were changed:

• BMO Guardian Global Strategic Bond Fund Advisor Series changed to Advisor Series

• BMO Guardian Global Strategic Bond Fund Series F changed to Series F



(b) Comparison of NAV per unit to net assets per unit

Mar. 31, 2014 Sep. 30, 2013

SeriesNAV

per UnitNet Assets per Unit

NAV per Unit

Net Assets per Unit

Series A 7.34 7.34 7.26 7.26

Advisor Series 12.97 12.98 12.67 12.67

Series F 13.20 13.20 12.80 12.80

Series I 9.63 9.63 9.35 9.35

(c) Income taxesThe Fund did not have any available capital and non-capital losses carried forward for income tax purposes as of the tax year-ended December 2013.

(d) Related party transactionsManagement and fixed administration feesThe Manager is entitled to receive the following fees payable monthly, calculated at the following maximum annual rates:

Series

Management Fees (%)

Fixed Administration

Fees (%)

Series A 1.750 0.280

Advisor Series 1.750 0.280

Series F 1.250 0.280

Series I * *

* Negotiated and paid by each Series I investor directly to the Manager.

(e) Brokerage commissions and soft dollarsThere were no brokerage commissions charged to the Fund during the period ended March 31, 2014 and March 31, 2013. There were no ascertainable soft dollars or client brokerage commissions paid or payable to dealers by the Fund during the periods.

(f) Financial instrument riskThe Fund’s objective is to provide a fixed monthly distribution and capital appreciation potential by investing primarily in debt instruments issued by governments and corporations around the world. The Fund invested in a diversified pool of fixed-income securities, which primarily includes investment grade securities with a credit rating of BBB or higher, high yield securities with a credit rating below BBB and emerging market debt.

No changes to the Fund’s objective or strategy, which would have had an affect on the overall level of risk of investing in the Fund, were made during the period.

Currency riskThe table below summarizes the Fund’s exposure to currency risk. Amounts shown are based on the carrying value of monetary and non-monetary assets (including derivatives and the underlying principal (notional) amount of forward currency contracts, if any).

As at Mar. 31, 2014Cash and

other current

receivables & payables

($)Investments

($)

Forward currency contracts

($)

Net currency exposure

($)

As a % of Net Assets

(%)

Brazilian Real 15 – – 15 0.0

Euro (332) 35,440 (32,406) 2,702 0.6

Japanese Yen 11 – – 11 0.0

Mexican Peso 268 – (277) (9) (0.0)

Polish Zloty 2 – – 2 0.0

Pound Sterling 545 11,418 (10,730) 1,233 0.3

South African Rand — – 130 130 0.0

U.S. Dollar 13,096 377,211 (394,823) (4,516) (1.0)

Total 13,605 424,069 (438,106) (432) (0.1)

All amounts in Canadian Dollars



As at Sep. 30, 2013Cash and

other current

receivables & payables

($)Investments

($)

Forward currency contracts

($)

Net currency exposure

($)

As a % of Net Assets

(%)

Brazilian Real 708 – (772) (64) (0.0)

Euro 726 27,935 (28,713) (52) (0.0)

Indonesian Rupiah — – (129) (129) (0.0)

Japanese Yen 1 – 9 10 0.0

Mexican Peso 249 – (257) (8) (0.0)

Polish Zloty 2 – – 2 0.0

Pound Sterling 640 15,812 (16,225) 227 0.0

Russian Ruble — – (33) (33) (0.0)

South African Rand — – 125 125 0.0

U.S. Dollar 27,776 453,712 (482,584) (1,096) (0.2)

Total 30,102 497,459 (528,579) (1,018) (0.2)


As at the periods ended March 31, 2014 and September 30, 2013 , if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, with all other factors remaining constant, Net Assets could possibly have increased or decreased, respectively, by approximately $22 (September 30, 2013—$51).In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Interest rate riskThe following table summarizes the Fund’s exposure to interest rate risk by remaining term to maturity.

Interest Rate Exposure as atNumber of years Mar. 31, 2014 Sep. 30, 2013

Less than one year 28,275 17,965

One to three years 5,338 17,266

Three to five years 72,017 95,208

Five to ten years 247,578 269,148

Greater than ten years 97,384 100,265

Total 450,592 499,852


As at the periods ended March 31, 2014 and September 30, 2013, if the prevailing interest rates had been raised or lowered by 1%, assuming a parallel shift in the yield curve, with all other factors remaining constant, Net Assets could possibly have increased or decreased, respectively, by approximately $21,984 (September 30, 2013—$22,582). The Fund’s interest rate sensitivity was determined based on portfolio weighted duration. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Other market riskAs at March 31, 2014 and September 30, 2013, the Fund was not significantly exposed to other market risk.

Credit riskThe Fund’s credit risk exposures grouped by credit ratings are listed in the following table:

As a % of Net Assets as atCredit Rating Mar. 31, 2014 Sep. 30, 2013

R-1 High 5.8 0.9

AA 0.3 0.3

A 1.9 1.8

BBB 38.1 31.1

BB 25.5 26.8

B 17.9 28.2

Below B 7.4 7.1

Total 96.9 96.2

(g) Fair value hierarchyThe Fund classifies its financial instruments into three levels based on the inputs used to value the financial instruments. Level 1 securities are valued based on the quoted prices in active markets for identical securities. Level 2 securities are valued based on significant observable market inputs, such as quoted prices from



similar securities and quoted prices in inactive markets or based on unobservable inputs to models. Level 3 securities are valued based on significant unobservable inputs that reflect the Manager’s determination of assumptions that market participants might reasonably use in valuing the securities. The tables below show the relevant disclosure. As at March 31, 2014 Financial assets Level 1 Level 2 Level 3 Total

Debt Securities 222,778 225,341 2,473 450,592Derivatives — 253 — 253Total 222,778 225,594 2,473 450,845

Financial liabilities

Derivatives — (1,281) — (1,281)

As at September 30, 2013 Financial assets Level 1 Level 2 Level 3 Total

Debt Securities 231,500 265,872 2,480 499,852Derivatives — 5,729 — 5,729Total 231,500 271,601 2,480 505,581

Financial liabilities

Derivatives — (3,970) — (3,970)

Significant transfersThere were no significant transfers between the levels during the periods.

Changes in Level 3 Fair Value MeasurementsThe following table presents a reconciliation of all Level 3 financial instruments during the periods ended March 31, 2014 and September 30, 2013, including realized and unrealized gains (losses) included in earnings.

March 31, 2014

September 30, 2013

Financial Assets

Debt SecuritiesOpening Balance 2,480 1,841Purchase issuance — —Sales/settlements (26) —Realized and unrealized

gains/(losses) included in earnings 19 —

Transfers in — —Transfers out — —Closing Balance 2,472 2,480

The Manager has assessed the effect of changing the inputs to possible alternatives and determined that they would not have a significant impact on Net Assets of the Fund.

(h) Securities lendingThe Fund had assets involved in securities lending transactions outstanding as at March 31, 2014 and September 30, 2013 as follows:

Mar. 31, 2014 ($)

Sep. 30, 2013 ($)

Aggregate value of securities on loan 21,965 8,577

Aggregate value of collateral received for the loan 23,253 9,055

8. Subsequent eventNew seriesEffective April 8, 2014, the Manager began offering Series D units which are available to investors who have an account with a discount brokerage. A reduced trailer commission is paid to discount brokerages in respect to Series D units which means a lower management fee can be charged.

Trustee and Officers Directors and Officers

*Audit Committee member for BMO Global Tax Advantage Funds Inc.

Trustee of BMO Mutual Fund Trusts

BMO Investments Inc. Officers of BMO Mutual Fund Trusts

Robert J. Schauer, CPA, CA Treasurer & Financial Officer Michelle Magnaye Secretary Fund Manager

BMO Investments Inc. Member of the Investment Funds Institute of Canada Directors of BMO Investments Inc.

Barry M. Cooper Ross F. KappeleRajiv R. Silgardo Robert J. Schauer, CPA, CA Thomas BurianGillian Noble Directors of BMO Global Tax Advantage Funds Inc.

Barry M. Cooper Ross F. Kappele Douglas E. Kirk* Thomas A. Pippy, CPA, CA* Rajiv R. SilgardoThomas Burian*

Officers of BMO Investments Inc.

Barry M. Cooper, ChairmanRajiv R. Silgardo, Chief Executive Officer Ross F. Kappele, Executive Vice-President & Head of Retail DistributionKevin Gopaul, Chief Product Officer & Senior Vice PresidentSubhas Sen, Senior Vice President Dirk McRobb, Senior Vice President Stella Vranes, CPA, CA, Chief Financial Officer William Chinkiwsky, Chief Compliance Officer Michelle Magnaye, Corporate Secretary Officers of BMO Global Tax Advantage Funds Inc.

Barry M. Cooper, Chairman Rajiv R. Silgardo, Chief Executive Officer Robert J. Schauer, CPA, CA Treasurer & Chief Financial OfficerMichelle Magnaye, Corporate Secretary Fund Manager

BMO Investments Inc. Member of the Investment Funds Institute of Canada

BMO Mutual Funds are offered by BMO Investments Inc., a financial services firm and separate legal entity from Bank of Montreal.

® Registered trade-marks of Bank of Montreal, used under licence.

www.bmo.com/mutualfunds

BMO Investments Inc.First Canadian Place, 43rd Floor, 100 King Street WestToronto, ON MSX 1A1

For more information please call 1-800-665-7700

bmo mutual funds 2014

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