MACKENZIE CORE PLUS CANADIAN FIXED INCOME ETF

Transcription

1 Interim Unaudited Financial Statements For the Six-Month Period Ended September 30, 2018 These Interim Unaudited Financial Statements do not contain the Interim Management Report of Fund Performance ( MRFP ) of the ETF. You may obtain a copy of the Interim MRFP, at no cost, by calling the toll-free number , by writing to us at Mackenzie Financial Corporation, 180 Queen Street West, Toronto, Ontario M5V 3K1, by visiting our website at or by visiting the SEDAR website at Copies of the Annual Financial Statements or Annual MRFP may also be obtained, at no cost, using any of the methods outlined above. Unitholders may also contact us using one of these methods to request a copy of the ETF s proxy voting policies and procedures, proxy voting disclosure record or quarterly portfolio disclosure. NOTICE OF NO AUDITOR REVIEW OF THE INTERIM FINANCIAL STATEMENTS Mackenzie Financial Corporation, the Manager of the ETF, appoints independent auditors to audit the ETF s Annual Financial Statements. Under Canadian securities laws (National Instrument ), if an auditor has not reviewed the Interim Financial Statements, this must be disclosed in an accompanying notice. The ETF s independent auditors have not performed a review of these Interim Financial Statements in accordance with standards established by the Chartered Professional Accountants of Canada.

2 STATEMENTS OF FINANCIAL POSITION In thousands (except per unit figures) As at Sep Mar (Audited) $ $ ASSETS Current assets Investments at fair value 72,691 51,820 Cash and cash equivalents Accrued interest receivable Accounts receivable for investments sold Accounts receivable for units issued 19 Margin on futures contracts Unrealized gains on derivative contracts Total assets 75,155 53,247 LIABILITIES Current liabilities Accounts payable for investments purchased 1, Accounts payable for units redeemed Distribution payable 155 Due to manager Liability for options written Unrealized losses on derivative contracts 151 Total liabilities 1, Net assets attributable to unitholders 73,258 52,316 Net assets attributable to unitholders per series (note 3) Series E 73,258 52,316 Net assets attributable to unitholders per unit (note 3) Series E STATEMENTS OF COMPREHENSIVE INCOME For the periods ended September 30 (note 1) In thousands (except per unit figures) 2018 $ 2017 $ Income Dividends 6 9 Interest income Other changes in fair value of investments and other net assets Net realized gain (loss) (565) (48) Net unrealized gain (loss) (454) (661) Securities lending income 3 Fee rebate income 2 Other Total income (loss) (4) (404) Expenses (note 6) Management fees Management fee rebates (11) Commissions and other portfolio transaction costs 10 6 Independent Review Committee fees Expenses before amounts absorbed by Manager Expenses absorbed by Manager Net expenses Increase (decrease) in net assets attributable to unitholders from operations before tax (195) (472) Foreign withholding taxes 1 Foreign income taxes paid (recovered) Increase (decrease) in net assets attributable to unitholders from operations (195) (473) Increase (decrease) in net assets attributable to unitholders from operations per series Series E (195) (473) Increase (decrease) in net assets attributable to unitholders from operations per unit Series E (0.06) (0.47) The accompanying notes are an integral part of these financial statements.

3 STATEMENTS OF CHANGES IN FINANCIAL POSITION For the periods ended September 30 (note 1) In thousands Series E NET ASSETS ATTRIBUTABLE TO UNITHOLDERS $ Beginning of period 52,316 9,089 Increase (decrease) in net assets from operations (195) (473) Distributions paid to unitholders: Investment income (806) (230) Capital gains Management fee rebates (11) Total distributions paid to unitholders (817) (230) Unit transactions: Proceeds from units issued 22,949 22,417 Reinvested distributions Payments on redemption of units (995) Total unit transactions 21,954 22,417 Total increase (decrease) in net assets 20,942 21,714 End of period 73,258 30,803 Increase (decrease) in units (note 7): Units Units outstanding beginning of period 2, Issued 1,150 1,100 Reinvested distributions Redeemed (50) Units outstanding end of period 3,700 1,550 The accompanying notes are an integral part of these financial statements.

4 STATEMENTS OF CASH FLOWS For the periods ended September 30 (note 1) In thousands 2018 $ 2017 $ Cash flows from operating activities Net increase (decrease) in net assets attributable to unitholders from operations (195) (473) Adjustments for: Net realized loss (gain) on investments Change in net unrealized loss (gain) on investments Purchase of investments (57,283) (35,915) Proceeds from sale and maturity of investments 39,751 13,224 Change in accrued interest receivable (216) (139) Change in due to manager 7 13 Change in margin on futures contracts (28) (139) Net cash from operating activities (17,275) (22,720) Cash flows from financing activities Proceeds from units issued 18,973 22,417 Payments on redemption of units (995) Distributions paid net of reinvestments (662) (191) Net cash from financing activities 17,316 22,226 Net increase (decrease) in cash and cash equivalents 41 (494) Cash and cash equivalents at beginning of period Effect of exchange rate fluctuations on cash and cash equivalents 5 (4) Cash and cash equivalents at end of period Cash Cash equivalents Cash and cash equivalents at end of period Supplementary disclosures on cash flow from operating activities: Dividends received 6 9 Foreign taxes paid 1 Interest received Interest paid The accompanying notes are an integral part of these financial statements.

5 SCHEDULE OF INVESTMENTS As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS 407 International Inc. 3.43% MTN Canada Corporate - Non Convertible 335, International Inc. 3.60% Callable Canada Corporate - Non Convertible 70, International Inc. 3.72% Callable 2047 Canada Corporate - Non Convertible 130, AbbVie Inc. 3.75% Callable 2023 United States Corporate - Non Convertible USD 30, Adtalem Global Education Inc. Term Loan B 1st Lien F/R United States Term Loans USD 39, Aegis Sciences Corp. Term Loan B 1st Lien F/R United States Term Loans USD 10, AerCap Ireland Capital Designated Activity Co. 4.45% Callable 2025 Ireland Corporate - Non Convertible USD 150, AI Ladder Luxembourg Term Loan B 1st Lien F/R United States Term Loans USD 40, AIMCo Realty Investors LP 2.27% Callable 2024 Canada Corporate - Non Convertible 150, AIMCo Realty Investors LP 3.04% Callable 2028 Canada Corporate - Non Convertible 40, AL Midcoast Holdings LLC B Term Loan 1st Lien F/R United States Term Loans USD 30, Alcami Carolinas Corp. Term Loan 1st Lien F/R United States Term Loans USD 30, Alera Group Intermediate Holdings Inc. Term Loan B 1st Lien F/R United States Term Loans USD 10, Algonquin Power & Utilities Corp. 4.09% Callable Canada Corporate - Non Convertible 405, Allied Properties Real Estate Investment Trust 3.93% Canada Corporate - Non Convertible 95, Allied Properties Real Estate Investment Trust 3.64% Callable 2025 Canada Corporate - Non Convertible 100, AltaGas Ltd. 3.98% Callable 2027 Canada Corporate - Non Convertible 30, AltaLink LP 3.72% Callable MTN Canada Corporate - Non Convertible 175, Altice France SA Term Loan B13 1st Lien F/R France Term Loans USD 40, AMC Entertainment Holdings Inc. 5.88% Callable United States Corporate - Non Convertible USD 30, Amneal Pharmaceuticals LLC Term loan B 1st Lien F/R United States Term Loans USD 9, Anheuser-Busch InBev Finance Inc. 3.30% Callable 2022 Belgium Corporate - Non Convertible USD 315, Anheuser-Busch InBev Finance Inc. 2.60% Callable 2024 Belgium Corporate - Non Convertible 210, Antero Resources Corp. 5.00% United States Corporate - Non Convertible USD 5, Aramark Services Inc. 4.75% Callable 2021 United States Corporate - Non Convertible USD 40, Arch Merger Sub Inc. 8.50% Callable 2020 United States Corporate - Non Convertible USD 40, Aroundtown SA 4.63% Callable 2025 Germany Corporate - Non Convertible 100, Artis Real Estate Investment Trust 3.753% Canada Corporate - Non Convertible 50, ASP AMC Merger Sub Inc. 8.00% Callable 2020 United States Corporate - Non Convertible USD 100, AT&T Inc % United States Corporate - Non Convertible 400, AT&T Inc. 4.00% Callable 2025 United States Corporate - Non Convertible 180, ATS Consolidated Inc. Term Loan B 1st Lien F/R United States Term Loans USD 9, Aviva PLC 4.50% United Kingdom Corporate - Non Convertible 70, Avolon Holdings Funding Ltd. 5.50% Callable 2022 Ireland Corporate - Non Convertible USD 40, Avolon Holdings Funding Ltd. 5.13% Callable 2023 Ireland Corporate - Non Convertible USD 20, Ball Metalpack Finco LLC Term Loan B 1st Lien F/R United States Term Loans USD 19, Bank of America Corp % United States Corporate - Non Convertible 210, Bank of America Corp. 3.30% Callable 2023 United States Corporate - Non Convertible 90, Bank of America Corp. F/R Callable 2024 United States Corporate - Non Convertible 300, Bank of Montreal 2.27% Canada Corporate - Non Convertible 625, Bank of Montreal 2.89% Canada Corporate - Non Convertible 130, Bank of Montreal 2.70% DPNT Canada Corporate - Non Convertible 390,

6 SCHEDULE OF INVESTMENTS (cont d) As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS (cont d) Bank of Montreal 3.32% Canada Corporate - Non Convertible 245, Bank of Montreal 3.19% Canada Corporate - Non Convertible 140, Bank of Montreal F/R Callable 2027 Canada Corporate - Non Convertible USD 60, The Bank of Nova Scotia 1.83% Canada Corporate - Non Convertible 40, The Bank of Nova Scotia 2.36% Canada Corporate - Non Convertible 100, The Bank of Nova Scotia 2.98% Canada Corporate - Non Convertible 630, The Bank of Nova Scotia 2.29% Canada Corporate - Non Convertible 355, The Bank of Nova Scotia F/R Callable 2022 Canada Corporate - Non Convertible USD 70, Bausch Health Cos Inc. Term Loan B 1st Lien F/R United States Term Loans USD 19, bcimc Realty Corp. 3.00% Callable 2026 Canada Corporate - Non Convertible 145, Bell Canada 2.70% Callable Canada Corporate - Non Convertible 160, Bell Canada 3.60% Callable Canada Corporate - Non Convertible 165, Bell Canada 3.80% Callable 2028 Canada Corporate - Non Convertible 200, Bell Canada 4.45% Callable Canada Corporate - Non Convertible 160, Boardriders Inc. Term Loan B 1st Lien F/R United States Term Loans USD 9, BP Capital Markets PLC 3.47% United Kingdom Corporate - Non Convertible 150, Brookfield Infrastructure Finance ULC 4.20% Callable 2018 Canada Corporate - Non Convertible 140, Brookfield Renewable Energy Partners ULC 3.63% Callable 2026 Canada Corporate - Non Convertible 435, Brookfield Renewable Partners ULC 4.25% Callable 2028 Canada Corporate - Non Convertible 120, Bruce Power LP 2.84% Canada Corporate - Non Convertible 406, Bruce Power LP 3.00% Callable 2024 Canada Corporate - Non Convertible 50, Bruce Power LP 3.97% Canada Corporate - Non Convertible 80, Bulldog Purchaser Inc. Delayed Draw Term Loan 1st Lien F/R United States Term Loans USD 10, Bulldog Purchaser Inc. Term Loan B 1st Lien F/R United States Term Loans USD 19, BWAY Holding Co. 7.25% United States Corporate - Non Convertible USD 10, Calpine Corp. 5.25% Callable 2021 United States Corporate - Non Convertible USD 10, Camelot Finance LP Term Loan 1st Lien F/R United States Term Loans USD 59, Can Am Construction Inc./Canada Term Loan B 1st Lien F/R Canada Term Loans USD 79, Canada Goose Inc. Term Loan 1st Lien F/R Canada Term Loans USD 40, Canada Housing Trust No 1 F/R Canada Federal Government 200, Canada Housing Trust No % Canada Federal Government 7,000,000 6,957 6,919 Canadian Credit Card Trust II 1.829% Canada Corporate - Non Convertible 235, Canadian Imperial Bank of Commerce 2.47% Canada Corporate - Non Convertible 80, Canadian Imperial Bank of Commerce 2.97% Canada Corporate - Non Convertible 220, Canadian Imperial Bank of Commerce 3.30% Canada Corporate - Non Convertible 197, Canadian Imperial Bank of Commerce 3.42% Callable 2021 Canada Corporate - Non Convertible 260, Canadian Imperial Bank of Commerce F/R Callable 2023 Canada Corporate - Non Convertible 115, Canadian National Railway Co. 3.60% Callable 2048 Canada Corporate - Non Convertible 210, Canadian Natural Resources Ltd. 3.55% Canada Corporate - Non Convertible 156, Canadian Western Bank 2.751% Canada Corporate - Non Convertible 60, Canadian Western Bank 2.74% DPNT Canada Corporate - Non Convertible 50, Canadian Western Bank 2.92% Canada Corporate - Non Convertible 390, Capital Power Corp. 4.28% Callable 2024 Canada Corporate - Non Convertible 440, CareCentrix Inc. Term Loan 1st Lien F/R United States Term Loans USD 59,

7 SCHEDULE OF INVESTMENTS (cont d) As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS (cont d) Careerbuilder LLC Term Loan 1st Lien F/R United States Term Loans USD 2, Casablanca US Holdings Inc. Term Loan 1st Lien F/R United States Term Loans USD 49, CCL Industries Inc. 3.86% Callable 2028 Canada Corporate - Non Convertible 60, CCS-CMGC Holdings Inc. Term Loan 1st Lien F/R United States Term Loans USD 20, Central 1 Credit Union F/R Canada Corporate - Non Convertible 30, Central 1 Credit Union 2.60% Canada Corporate - Non Convertible 143, CenturyLink Inc. Term Loan B 1st Lien F/R United States Term Loans USD 213, CEVA Logistics Finance BV Term Loan B 1st Lien F/R United States Term Loans USD 20, Charter Communications Operating LLC 4.50% Callable 2024 United States Corporate - Non Convertible USD 80, Chartwell Retirement Residences 3.79% Callable 2023 Canada Corporate - Non Convertible 120, Chartwell Retirement Residences 4.21% Callable 2025 Canada Corporate - Non Convertible 30, CHIP Mortgage Trust 2.98% Canada Corporate - Non Convertible 10, Choice Properties Real Estate Investment Trust 3.55% Callable 2024 Canada Corporate - Non Convertible 195, Choice Properties Real Estate Investment Trust 4.18% Callable 2027 Canada Corporate - Non Convertible 110, CI Financial Corp. 3.52% Callable 2023 Canada Corporate - Non Convertible 70, Citigroup Inc. 4.09% United States Corporate - Non Convertible 330, Comfort Holding LLC Term Loan 1st Lien F/R United States Term Loans USD 118, Corel Corp. Term Loan 1st Lien F/R Canada Term Loans USD 20, Coronado Australian Holdings Pty Ltd. Term Loan B 1st Lien F/R United States Term Loans USD 14, Coronado Australian Holdings Pty Ltd. Term Loan C 1st Lien F/R United States Term Loans USD 3, CU Inc % Callable Canada Corporate - Non Convertible 160, CU Inc % Callable Canada Corporate - Non Convertible 20, Daseke Inc. Term Loan 1st Lien F/R United States Term Loans USD 19, DaVita Healthcare Partners Inc. 5.00% Callable 2020 United States Corporate - Non Convertible USD 40, Digicert Holdings Inc. Term Loan 1st Lien F/R United States Term Loans USD 49, DISH DBS Corp % United States Corporate - Non Convertible USD 10, Drive DeVilbiss Healthcare Ltd. Term Loan 1st Lien F/R United States Term Loans USD 101, Eagle Credit Card Trust 2.63% Canada Corporate - Non Convertible 400, Eagle Credit Card Trust 3.04% Canada Corporate - Non Convertible 50, EagleTree-Carbide Acquisition Corp. Term Loan 1st Lien F/R United States Term Loans USD 29, Eastern Power LLC Term Loan B 1st Lien F/R United States Term Loans USD 20, Electrical Components International Inc. Term Loan 1st Lien F/R United States Term Loans USD 29, EmployBridge LLC Term Loan B 1st Lien F/R United States Term Loans USD 9, Enbridge Gas Distribution Inc. 3.51% Callable 2047 Canada Corporate - Non Convertible 70, Enbridge Inc. 3.20% Callable 2027 Canada Corporate - Non Convertible 20, Enbridge Inc. 4.57% Canada Corporate - Non Convertible 170, Enbridge Inc. 5.37% Callable 2027 Canada Corporate - Non Convertible 400, Enbridge Inc. F/R Callable 2028 Canada Corporate - Non Convertible 480, ENC Holding Corp. Delayed Draw Term Loan 1st Lien F/R United States Term Loans USD

8 SCHEDULE OF INVESTMENTS (cont d) As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS (cont d) ENC Holding Corp. Term Loan 1st Lien F/R United States Term Loans USD 9, EnerCare Solutions Inc. 3.38% Callable 2022 Canada Corporate - Non Convertible 30, EnerCare Solutions Inc. 3.99% Callable 2023 Canada Corporate - Non Convertible 30, Ensono LP Term Loan 1st Lien F/R United States Term Loans USD 19, Enterprise Merger Sub Inc. Term Loan 1st Lien F/R United States Term Loans USD 125, EPCOR Utilities Inc. 3.55% Callable 2047 Canada Corporate - Non Convertible 50, EPR Properties 4.95% Callable 2028 United States Corporate - Non Convertible USD 60, Exela Intermediate LLC 10.00% Callable 2020 United States Corporate - Non Convertible USD 50, Fairfax Financial Holdings Ltd. 4.70% Callable 2026 Canada Corporate - Non Convertible 420, Fairfax Financial Holdings Ltd. 4.25% Callable 2027 Canada Corporate - Non Convertible 130, Federation des Caisses Desjardins du Quebec 2.09% Canada Corporate - Non Convertible 130, The Fédération des Caisses Desjardins du Québec 2.39% Canada Corporate - Non Convertible 460, Federation des Caisses Desjardins du Quebec 3.06% Canada Corporate - Non Convertible 260, Financial & Risk US Holdings Inc. Term Loan B 1st Lien F/R United States Term Loans USD 185, Financial & Risk US Holdings Inc. 8.25% Callable 2021 United States Corporate - Non Convertible USD 90, Fortified Trust 1.67% Canada Corporate - Non Convertible 400, FortisAlberta Inc. 3.74% Callable 2048 Canada Corporate - Non Convertible 20, Fortress Transportation and Infrastructure Investors LLC 6.50% Callable 2021 United States Corporate - Non Convertible USD 30, Foundation Building Materials LLC Term Loan B 1st Lien F/R United States Term Loans USD 10, Frontera Generation Holdings LLC. Term Loan B 1st Lien F/R United States Term Loans USD 19, Fusion Connect Inc. Term Loan B 1st Lien F/R United States Term Loans USD 9, Gentiva Health Services Inc. Term Loan 1st Lien F/R United States Term Loans USD 19, GFL Environmental Inc. 5.38% Callable 2020 Canada Corporate - Non Convertible USD 40, G-III Apparel Group Ltd. Term Loan B 1st Lien F/R United States Term Loans USD 104, Glacier Credit Card Trust 2.05% Canada Corporate - Non Convertible 40, Glacier Credit Card Trust 3.14% Canada Corporate - Non Convertible 90, The Goldman Sachs Group Inc. 2.43% Callable United States Corporate - Non Convertible 340, The Goodyear Tire & Rubber Co. 4.88% Callable 2026 United States Corporate - Non Convertible USD 20, Government of Bermuda 4.138% Bermuda Foreign Governments USD 70, Government of Bermuda 4.854% Bermuda Foreign Governments USD 120, Government of Bermuda 3.72% Callable 2026 Bermuda Foreign Governments USD 200, Government of Canada 2.50% Canada Federal Government 270, Government of Canada 2.00% Canada Federal Government 7,400,000 7,211 7,133 Government of Canada 1.25% Real Return Canada Federal Government 170, Government of Canada 2.75% Canada Federal Government 2,800,000 3,085 2,999 Green Plains Inc. Term Loan B 1st Lien F/R United States Term Loans USD 9, Greenhill & Co. Inc. Term Loan B 1st Lien F/R United States Term Loans USD 9, H&R Real Estate Investment Trust 2.92% Canada Corporate - Non Convertible 90, H&R Real Estate Investment Trust 3.42% Callable 2022 Canada Corporate - Non Convertible 340, H&R Real Estate Investment Trust 3.37% Callable 2023 Canada Corporate - Non Convertible 40, Halo Buyer Inc. Delayed Draw Term Loan 1st Lien F/R United States Term Loans USD 5, Halo Buyer Inc. Term Loan 1st Lien F/R United States Term Loans USD 14,

9 SCHEDULE OF INVESTMENTS (cont d) As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS (cont d) Heartland Dental LLC Delay Draw Term Loan 1st Lien F/R United States Term Loans USD 1, Heartland Dental LLC Term Loan 1st Lien F/R 04/17/2025 United States Term Loans USD 12, Heathrow Funding Ltd. 3.25% United Kingdom Corporate - Non Convertible 385, Heathrow Funding Ltd. 3.40% United Kingdom Corporate - Non Convertible 100, Heathrow Funding Ltd. 3.79% Callable 2030 United Kingdom Corporate - Non Convertible 110, Hillman Group Inc. Term Loan B 1st Lien F/R United States Term Loans USD 20, Hornblower Sub LLC Term Loan 1st Lien F/R United States Term Loans USD 39, HSBC Bank Canada 2.17% Canada Corporate - Non Convertible 330, HSBC Bank Canada 2.54% Canada Corporate - Non Convertible 270, HSBC Bank Canada 3.25% Canada Corporate - Non Convertible 100, Hub International Ltd. Term Loan B 1st Lien F/R United States Term Loans USD 19, Hub International Ltd. 7.00% Callable 2021 United States Corporate - Non Convertible USD 15, Hudson River Trading LLC Term Loan 1st Lien F/R United States Term Loans USD 29, Hydro One Inc. 2.97% Callable 2025 Canada Corporate - Non Convertible 50, Hydro One Inc. 3.72% Canada Corporate - Non Convertible 100, Hydro One Inc. 3.63% Callable 2048 Canada Corporate - Non Convertible 60, Hyster-Yale Group Inc. Term Loan B 1st Lien F/R United States Term Loans USD 51, Inter Pipeline Ltd. 2.73% Callable 2024 Canada Corporate - Non Convertible 465, Inter Pipeline Ltd. 3.48% Callable 2026 Canada Corporate - Non Convertible 320, Intermedia Holdings Inc. Term Loan B 1st Lien F/R United States Term Loans USD 30, International Textile Group Inc. Term Loan 1st Lien F/R United States Term Loans USD 9, iqor US Inc. Term Loan B 1st Lien F/R United States Term Loans USD 34, Isagenix International LLC Term Loan 1st Lien F/R United States Term Loans USD 39, Itron Inc. 5.00% Callable 2021 United States Corporate - Non Convertible USD 40, Ivanhoe Cambridge II Inc. 2.91% Callable 2023 Canada Corporate - Non Convertible 50, JBS USA Lux SA Term Loan B 1st Lien F/R Brazil Term Loans USD 133, JPMorgan Chase & Co. 3.19% United States Corporate - Non Convertible 115, Keane Group Holdings LLC Term Loan B 1st Lien F/R United States Term Loans USD 20, KEMET Corp. Term Loan B 1st Lien F/R United States Term Loans USD 37, Kestrel Acquisition LLC Term Loan B 1st Lien F/R United States Term Loans USD 9, Keystone Peer Review Organization Holdings Inc. Term Loan 1st Lien F/R United States Term Loans USD 24, The KeyW Holding Corp/The Term Loan 1st Lien F/R United States Term Loans USD 19, Kindred Healthcare Inc. Term Loan B 1st Lien F/R United States Term Loans USD 20, L&W Inc. Term Loan 1st Lien F/R United States Term Loans USD 9, Lamb Weston Holdings Inc. 4.63% Callable 2021 United States Corporate - Non Convertible USD 85, Lamb Weston Holdings Inc. 4.88% Callable 2021 United States Corporate - Non Convertible USD 85, Lantheus Medical Imaging Inc. Term Loan B 1st Lien F/R United States Term Loans USD 78, Laurentian Bank of Canada F/R Canada Corporate - Non Convertible 170, Laurentian Bank of Canada 3.00% Canada Corporate - Non Convertible 90, Laurentian Bank of Canada 3.45% Canada Corporate - Non Convertible 150, LBM Borrower LLC Term Loan 1st Lien F/R United States Term Loans USD 9, LifeMiles Ltd. Term Loan B 1st Lien F/R Colombia Term Loans USD 17, LifeScan Global Corp. Term Loan 1L F/R United States Term Loans USD 80, The Manufacturers Life Insurance Co % Callable 2021 Canada Corporate - Non Convertible 205,

10 SCHEDULE OF INVESTMENTS (cont d) As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS (cont d) Manulife Bank of Canada 2.84% Canada Corporate - Non Convertible 260, Manulife Financial Corp. F/R Callable 2023 Canada Corporate - Non Convertible 50, Manulife Financial Corp. F/R Callable 2024 Canada Corporate - Non Convertible 185, Mastronardi Produce Ltd. Term Loan B 1st Lien F/R Canada Term Loans USD 19, Mattamy Group Corp. 6.50% Callable 2020 Canada Corporate - Non Convertible USD 150, Matterhorn Merger Sub LLC 8.50% Callable 2021 United States Corporate - Non Convertible USD 30, McAfee LLC Term Loan B 1st Lien F/R United States Term Loans USD 9, McDermott Technology Americas Inc. Term Loan B 1st Lien F/R United States Term Loans USD 9, McDonald s Corp. 3.13% Callable 2025 United States Corporate - Non Convertible 320, Meredith Corp. Term Loan B 1st Lien F/R United States Term Loans USD 44, Metro Inc. 3.39% Callable 2027 Canada Corporate - Non Convertible 108, Molson Coors International LP 2.84% Callable 2023 United States Corporate - Non Convertible 410, Mondelez International Inc. 4.13% Callable 2028 United States Corporate - Non Convertible USD 30, Morgan Stanley 3.13% United States Corporate - Non Convertible USD 320, Morgan Stanley 3.00% United States Corporate - Non Convertible 340, National Bank of Canada 1.96% Canada Corporate - Non Convertible 987, NAV Canada 3.29% Callable 2047 Canada Corporate - Non Convertible 60, Neenah Foundry Co. Term Loan B 1st Lien F/R United States Term Loans USD 9, New Red Finance Inc. 5.00% Callable 2020 Canada Corporate - Non Convertible USD 40, Newell Brands Inc. 4.20% Callable 2026 United States Corporate - Non Convertible USD 40, North West Redwater Partnership 2.80% Callable 2027 Canada Corporate - Non Convertible 400, Nouvelle Autoroute 30 Financement Inc. 4.11% Canada Corporate - Non Convertible 70, NuVista Energy Ltd. 6.50% Callable 2020 Canada Corporate - Non Convertible 70, OCI Beaumont LLC Term Loan B 1st Lien F/R United States Term Loans USD 9, Office Depot Inc. Term Loan B 1st Lien F/R United States Term Loans USD 18, OMERS Realty Corp. 3.24% Callable 2027 Canada Corporate - Non Convertible 580, OMERS Realty Corp. 3.63% Callabe 2030 Canada Corporate - Non Convertible 120, Ontario Power Generation Inc. 3.32% Callable 2027 Canada Corporate - Non Convertible 400, Ontario Power Generation Inc. 3.84% Callable 2047 Canada Corporate - Non Convertible 70, OPB Finance Trust 2.98% Canada Provincial Governments 235, OpenLink International Inc. Term Loan B 1st Lien F/R United States Term Loans USD 19, Osteon Merger Sub Inc. Term Loan B 1st Lien F/R United States Term Loans USD 19, Owens & Minor Inc. Term Loan B 1st Lien F/R United States Term Loans USD 10, OZ Management LP Term Loan 1st Lien F/R United States Term Loans USD 12, Parkland Fuel Corp. 6.00% Callable 2021 Canada Corporate - Non Convertible USD 210, Pembina Pipeline Corp. 3.54% Callable Canada Corporate - Non Convertible 120, Pembina Pipeline Corp. 4.02% Callable 2027 Canada Corporate - Non Convertible 80, Petroleos De Venezuela SA 6.00% Venezuela Corporate - Non Convertible USD 56, Pisces Midco Inc. Term Loan B 1st Lien F/R United States Term Loans USD 10, PLH Group Inc. Term Loan 1st Lien F/R United States Term Loans USD 30, PNI Canada Acquireco Corp. Term Loan B 1st Lien F/R Canada Term Loans USD 29, Polar US Borrower LLC Term Loan 1st Lien F/R United States Term Loans USD 40, Prospect Medical Holdings Inc. Term Loan B 1st Lien F/R United States Term Loans USD 59, Province of Alberta 3.05% Canada Provincial Governments 782, Province of Alberta 3.10% Canada Provincial Governments 180, Province of Newfoundland 3.00% Canada Provincial Governments 390,

11 SCHEDULE OF INVESTMENTS (cont d) As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS (cont d) Province of Newfoundland 3.70% Canada Provincial Governments 250, Province of Ontario Canada 2.90% Canada Provincial Governments 4,740,000 4,701 4,670 Province of Ontario 2.60% Canada Provincial Governments 500, Province of Ontario 4.60% Canada Provincial Governments 180, Province of Ontario 2.90% Canada Provincial Governments 3,170,000 3,034 2,982 Province Of Quebec 2.75% Canada Provincial Governments 1,760,000 1,742 1,716 Province of Quebec 3.50% Canada Provincial Governments 1,260,000 1,384 1,337 Province of Saskatchewan 3.30% Canada Provincial Governments 114, PS HoldCo LLC Term Loan 1st Lien F/R United States Term Loans USD 10, PSC Industrial Outsourcing LP Term Loan B 1st Lien F/R United States Term Loans USD 49, R1 RCM Inc. Term Loan B 1st Lien F/R United States Term Loans USD 20, Rackspace Hosting Inc. 8.63% Callable 2019 United States Corporate - Non Convertible USD 5, Red Ventures LLC Term Loan B 1st Lien F/R United States Term Loans USD 16, Reliance Intermediate Holdings LP 6.50% Callable 2018 Canada Corporate - Non Convertible USD 15, Reliance LP 3.84% Callable 2025 Canada Corporate - Non Convertible 450, Research Now Group Inc. Term Loan 1st Lien F/R United States Term Loans USD 9, Royal Bank of Canada 2.95% Canada Corporate - Non Convertible 930, Royal Bank of Canada 3.30% Canada Corporate - Non Convertible 430, Russel Metals Inc. 6.00% Callable 2021 Canada Corporate - Non Convertible 100, Saputo Inc. 3.61% Callable 2025 Canada Corporate - Non Convertible 90, Savage Enterprises LLC Term Loan B 1st Lien F/R United States Term Loans USD 39, Sigma Bidco BV Term Loan B 1st Lien F/R Netherlands Term Loans EUR 10, Sigma US Corp. Term Loan B 1st Lien F/R Netherlands Term Loans USD 10, SIRVA Worldwide Inc. Term Loan 1st Lien F/R United States Term Loans USD 37, SIWF Holdings Inc. Term Loan 1st Lien F/R United States Term Loans USD 19, SNC-Lavalin Group Inc. 3.24% Callable 2023 Canada Corporate - Non Convertible 40, Solenis International LP Term Loan 1st Lien F/R United States Term Loans USD 29, Source Energy Services Canada LP 10.50% Callable 2018 Canada Corporate - Non Convertible 27, Spirit AeroSystems Inc. 3.95% Callable 2023 United States Corporate - Non Convertible USD 40, SRS Distribution Inc. Term Loan B 1st Lien F/R United States Term Loans USD 10, SRS Distribution Inc. 8.25% Callable 2021 United States Corporate - Non Convertible USD 50, St. Joseph Energy Center LLC Term Loan 1st Lien F/R United States Term Loans USD 9, Staples Inc. Term Loan 1st Lien F/R United States Term Loans USD 129, Starfruit US Holdco LLC Term Loan B 1st Lien F/R United States Term Loans USD 40, Stepstone Group LP Term Loan B 1st Lien F/R United States Term Loans USD 19, Sun Life Financial Inc. F/R Callable 2022 Canada Corporate - Non Convertible 360, Sun Life Financial Inc. F/R Callable 2023 Canada Corporate - Non Convertible 300, Superior Plus LP 5.25% Callable 2020 Canada Corporate - Non Convertible 20, Superior Plus LP 5.13% Callable 2021 Canada Corporate - Non Convertible 100, Superior Plus LP 7.00% Callable 2021 Canada Corporate - Non Convertible USD 30, Sydney Airport Finance Co. Pty. Ltd % Callable 2026 Australia Corporate - Non Convertible USD 160, Sysco Canada Inc. 3.65% Callable 2025 United States Corporate - Non Convertible 120, Talen Energy Supply LLC 9.50% Callable 2020 United States Corporate - Non Convertible USD 10, Talen Energy Supply LLC 10.50% Callable 2022 United States Corporate - Non Convertible USD 10,

12 SCHEDULE OF INVESTMENTS (cont d) As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS (cont d) TELUS Corp. 3.35% Callable Canada Corporate - Non Convertible 55, TELUS Corp. 3.63% Callable 2027 Canada Corporate - Non Convertible 170, TELUS Corp. 4.70% Callable 2047 Canada Corporate - Non Convertible 192, TerraForm Power Operating LLC 5.00% Callable 2027 United States Corporate - Non Convertible USD 60, Teva Pharmaceutical Finance Netherlands III BV 3.15% Callable Israel Corporate - Non Convertible USD 20, Teva Pharmaceutical Industries Ltd. 2.80% Israel Corporate - Non Convertible USD 70, Titan Acquisition Ltd. Term Loan 1st Lien F/R United Kingdom Term Loans USD 9, T-Mobile USA Inc. 6.50% Callable 2019 United States Corporate - Non Convertible USD 13, TMX Group Ltd. 4.46% Callable 2023 Canada Corporate - Non Convertible 15, TMX Group Ltd. 2.30% Callable 2024 Canada Corporate - Non Convertible 30, TMX Group Ltd. 3.78% Callable 2028 Canada Corporate - Non Convertible 340, The Toronto-Dominion Bank 3.01% Canada Corporate - Non Convertible 80, The Toronto-Dominion Bank 1.91% DPNT Canada Corporate - Non Convertible 505, The Toronto-Dominion Bank F/R Callable 2023 Canada Corporate - Non Convertible 160, The Toronto-Dominion Bank F/R Callable 2024 Canada Corporate - Non Convertible 431, TransCanada Pipelines Ltd. 3.39% Callable 2027 Canada Corporate - Non Convertible 440, TransCanada PipeLines Ltd. 4.18% Callable 2048 Canada Corporate - Non Convertible 70, TransCanada Trust F/R Callable 2027 Canada Corporate - Non Convertible 280, Traverse Midstream Partners LLC Term Loan B 1st Lien F/R United States Term Loans USD 10, Trico Products Corp. Term Loan 1st Lien F/R United States Term Loans USD 9, Uber Technologies Inc. Term Loan 1st Lien F/R United States Term Loans USD 49, Uber Technologies Inc. Term Loan B 1st Lien F/R United States Term Loans USD 83, Ultra Clean Holdings Inc. Term Loan B 1st Lien F/R United States Term Loans USD 60, Unimin Corp. Term Loan 1st Lien F/R United States Term Loans USD 29, Union Gas Ltd. 3.59% Callable 2047 Canada Corporate - Non Convertible 50, United States Treasury 2.25% United States Foreign Governments USD 40, United States Treasury 2.75% United States Foreign Governments USD 40, United States Treasury 3.00% United States Foreign Governments USD 660, Ventas Canada Finance Ltd. 2.55% Callable 2023 United States Corporate - Non Convertible 100, Ventas Realty LP 4.00% Callable 2027 United States Corporate - Non Convertible USD 170, VeriFone Systems Inc. Term Loan 1st Lien F/R United States Term Loans USD 20, Verizon Communications Inc. 2.63% Callable 2026 United States Corporate - Non Convertible USD 47, Vertex Aerospace Services Corp. Term Loan B 1st Lien F/R United States Term Loans USD 19, Videotron Ltd. 5.13% Callable 2022 Canada Corporate - Non Convertible USD 180, Vistage Worldwide Inc. Term Loan 1st Lien F/R United States Term Loans USD 29, Vodafone Group PLC 3.75% United Kingdom Corporate - Non Convertible USD 40, VVC Holding Corp. Term Loan 1st Lien F/R United States Term Loans USD 40, VW Credit Canada Inc. 3.25% Germany Corporate - Non Convertible 60, Vyaire Medical Inc. Term Loan B 1st Lien F/R United States Term Loans USD 30, Wells Fargo & Co. 2.51% United States Corporate - Non Convertible 300, Welltower Inc. 4.25% Callable 2028 United States Corporate - Non Convertible USD 120, Werner FinCo LP Term Loan 1st Lien F/R United States Term Loans USD 134, Westcoast Energy Inc. 4.79% Canada Corporate - Non Convertible 50, Western Dental Services Inc. Term Loan B 1st Lien F/R United States Term Loans USD 24,

13 SCHEDULE OF INVESTMENTS (cont d) As at September 30, 2018 Country Sector Par Value/ No. of Shares/Units Average Cost Fair Value BONDS (cont d) Yak Access LLC Term Loan B 1st Lien F/R United States Term Loans USD 60, YRC Worldwide Inc. Term Loan 1st Lien F/R United States Term Loans USD 27, Zotec Partners LLC Term Loan 1st Lien F/R United States Term Loans USD 39, Total bonds 72,664 71,713 EQUITIES AltaGas Ltd. Pfd. Series K Canada Energy 1, Brookfield Asset Management Inc. Pfd. Series 46 Canada Real Estate Brookfield Asset Management Inc. Pfd. Series 48 Canada Real Estate 1, Brookfield Renewable Partners LP Pfd. Series 11 Canada Utilities 1, Source Energy Services Ltd. Canada Energy TransAlta Corp. Pfd. Series A Canada Utilities 1, TransCanada Corp. Pfd. Series 15 Canada Energy Total equities OPTIONS Options purchased (see schedule of options purchased) 23 5 Total options 23 5 EXCHANGE-TRADED FUNDS/NOTES Mackenzie US Investment Grade Corporate Bond Index ETF (CAD-Hedged) Canada Exchange-Traded Funds/Notes 8, Total exchange-traded funds/notes Transaction costs Total investments 73,667 72,691 Derivative instruments (see schedule of derivative instruments) 326 Liability for options written (see schedule of options written) Cash and cash equivalents 929 Other assets less liabilities (688) Total net assets 73,258

14 SUMMARY OF INVESTMENT PORTFOLIO September 30, 2018 Portfolio Allocation % of NAV Bonds 98.1 Bonds 97.9 Short futures 0.2 Purchased options 0.0 Cash and short-term investments 1.3 Exchange-traded funds/notes 1.1 Equities 0.2 Purchased currency options 0.0 Written currency options (0.0) Other assets (liabilities) (0.7) Regional Allocation % of NAV Canada 79.7 United States 15.7 Cash and short-term investments 1.3 United Kingdom 1.2 Belgium 0.8 Bermuda 0.7 Ireland 0.4 Australia 0.3 Brazil 0.2 Germany 0.2 Israel 0.1 France 0.1 Other assets (liabilities) (0.7) Sector Allocation % of NAV Corporate bonds 46.3 Federal bonds 24.2 Provincial bonds 18.2 Term loans 7.1 Foreign government bonds 2.1 Cash and short-term investments 1.3 Exchange-traded funds/notes 1.1 Other 0.2 Utilities 0.1 Energy 0.1 Other assets (liabilities) (0.7) March 31, 2018 Portfolio Allocation % of NAV Bonds 97.1 Bonds 97.2 Purchased options 0.0 Short futures (0.1) Cash and short-term investments 1.7 Exchange-traded funds/notes 1.5 Equities 0.3 Other assets (liabilities) (0.6) Regional Allocation % of NAV Canada 79.0 United States 16.3 Cash and short-term investments 1.7 United Kingdom 1.2 Bermuda 0.5 Bahamas 0.4 Belgium 0.4 Brazil 0.3 Israel 0.2 Netherlands 0.2 Germany 0.1 Ireland 0.1 Luxembourg 0.1 Colombia 0.1 Other assets (liabilities) (0.6) Sector Allocation % of NAV Corporate bonds 44.5 Federal bonds 21.8 Provincial bonds 20.8 Term loans 7.9 Foreign government bonds 2.1 Cash and short-term investments 1.7 Exchange-traded funds/notes 1.5 Utilities 0.1 Energy 0.1 Financials 0.1 Other assets (liabilities) (0.6)

15 SCHEDULE OF OPTIONS PURCHASED As at September 30, 2018 Underlying Interest Number of Contracts Option Type Expiration Date Strike Price $ Premium Paid Fair Value Currency Call Option AUD/USD 1,420,000 Call Oct. 03, 2018 USD 1 1 Currency Call Option AUD/USD 1,893,000 Call Oct. 03, 2018 USD 1 3 Currency Call Option USD/CAD 660,000 Call Oct. 05, 2018 CAD 1 2 Currency Call Option USD/CAD 1,990,000 Call Oct. 05, 2018 CAD 1 6 ishares iboxx $ High Yield Corporate Bond ETF 11 Put Nov. 16, 2018 USD 84 2 Currency Call Option EUR/NOK 560,000 Call Dec. 14, 2018 NOK ishares iboxx $ High Yield Corporate Bond ETF 7 Put Jan. 18, 2019 USD Total options 23 5 SCHEDULE OF OPTIONS WRITTEN As at September 30, 2018 Underlying Interest Number of Contracts Option Type Expiration Date Strike Price $ Premium Received Fair Value Currency Written Call Option EUR/NOK (560,000) Written Call Dec. 14, 2018 NOK 9 (1) Total options (1)

16 SCHEDULE OF DERIVATIVE INSTRUMENTS As at September 30, 2018 Schedule of Futures Contracts Number of Contracts Type of Contract Expiration Date Average Rate of Contracts Notional Value* Unrealized Gains (2) 10 Year Japanese Government Bond Futures December 2018 Dec. 13, JPY (3,412) 3 (95) 10 Year United States Treasury Note Futures December 2018 Dec. 19, USD (14,575) 149 Unrealized Gains (17,987) 152 Total futures contracts (17,987) 152 *Notional value represents the exposure to the underlying instruments as at September 30, 2018 Schedule of Forward Currency Contracts Counterparty Credit Rating Bought Sold Settlement Date Contract Cost Current Fair Value AA 837 Canadian dollar (630) U.S. dollar Oct. 05, 2018 (837) (814) 23 AA 39 Canadian dollar (30) U.S. dollar Oct. 05, 2018 (39) (39) AA 279 Canadian dollar (210) U.S. dollar Oct. 19, 2018 (279) (271) 8 AA 131 Canadian dollar (100) U.S. dollar Oct. 19, 2018 (131) (129) 2 AA 145 Canadian dollar (110) U.S. dollar Oct. 26, 2018 (145) (142) 3 AA 968 Canadian dollar (740) U.S. dollar Nov. 02, 2018 (968) (955) 13 AA 46 Canadian dollar (30) Euro Nov. 02, 2018 (46) (45) 1 AA 1,471 Canadian dollar (1,120) U.S. dollar Nov. 09, 2018 (1,471) (1,444) 27 AA 1,149 Canadian dollar (870) U.S. dollar Nov. 09, 2018 (1,149) (1,122) 27 AA 222 Canadian dollar (170) U.S. dollar Nov. 09, 2018 (222) (219) 3 AA 413 Canadian dollar (315) U.S. dollar Nov. 30, 2018 (413) (406) 7 AA 814 Canadian dollar (625) U.S. dollar Nov. 30, 2018 (814) (806) 8 AA 505 Canadian dollar (390) U.S. dollar Nov. 30, 2018 (505) (503) 2 AA 460 Canadian dollar (350) U.S. dollar Nov. 30, 2018 (460) (452) 8 AA 274 Canadian dollar (210) U.S. dollar Dec. 07, 2018 (274) (271) 3 AA 39 Canadian dollar (30) U.S. dollar Dec. 07, 2018 (39) (39) AA 1,284 Canadian dollar (985) U.S. dollar Dec. 14, 2018 (1,284) (1,270) 14 AA 1,405 Canadian dollar (1,070) U.S. dollar Dec. 14, 2018 (1,405) (1,380) 25 Unrealized Gains 174 Total forward currency contracts 174 Total derivative instruments at fair value 326 Unrealized Gains

17 NOTES TO FINANCIAL STATEMENTS 1. Fiscal Periods and General Information The information provided in these financial statements and notes thereto is for the six-month periods ended or as at September 30, 2018 and 2017, except for the comparative information presented in the Statements of Financial Position and notes thereto, which is as at March 31, 2018, as applicable. In the year an exchange-traded fund ( the ETF ) is established, period represents the period from inception to the period end of that fiscal year. Refer to Note 10 for the formation date of the ETF. The ETF is organized as an open-ended mutual fund trust established under the laws of the Province of Ontario pursuant to a Declaration of Trust as amended and restated from time to time. The address of the ETF s registered office is 180 Queen Street West, Toronto, Ontario, Canada. The ETF is authorized to issue an unlimited number of units for sale under a Prospectus. The units of the ETF are listed on the Toronto Stock Exchange/Aequitas NEO Exchange ( the Exchange ). Mackenzie Financial Corporation ( Mackenzie ) is the manager of the ETF and is wholly owned by IGM Financial Inc., a subsidiary of Power Financial Corporation, which itself is a subsidiary of Power Corporation of Canada. Investments in companies within the Power Group of companies held by the ETF are identified in the Schedule of Investments. 2. Basis of Preparation and Presentation These unaudited interim financial statements ( financial statements ) have been prepared in accordance with International Financial Reporting Standards ( IFRS ), including international Accounting Standard ( IAS ) 34, Interim Financial Reporting, as issued by the International Accounting Standards Board ( IASB ). These financial statements were prepared using the same accounting policies, critical accounting judgements and estimates as applied in the ETF s most recent audited annual financial statements for the year ended March 31, A summary of the ETF s significant accounting policies under IFRS is presented in Note 3. These financial statements are presented in Canadian dollars, which is the ETF s functional and presentation currency, and rounded to the nearest thousand unless otherwise indicated. These financial statements are prepared on a going concern basis using the historical cost basis, except for financial assets and liabilities that have been measured at fair value. These financial statements were authorized for issue by the Board of Directors of Mackenzie Financial Corporation on November 13, Standards issued but not yet effective for the current accounting year, as applicable, are described in Note Significant Accounting Policies (a) Financial instruments Financial instruments include financial assets and liabilities such as debt and equity securities, open-ended investment funds and derivatives. The ETF classifies and measures financial instruments in accordance with IFRS 9 Financial Instruments ( IFRS 9 ). Upon initial recognition, financial instruments are classified as fair value through profit or loss ( FVTPL ). All financial instruments are recognized in the Statement of Financial Position when the ETF becomes a party to the contractual requirements of the instrument. Financial assets are derecognized when the right to receive cash flows from the instrument has expired or the ETF has transferred substantially all risks and rewards of ownership. Financial liabilities are derecognized when the obligation is discharged, cancelled or expires. As such, investment purchase and sale transactions are recorded as of the trade date. Financial instruments are subsequently measured at FVTPL with changes in fair value recognized in the Statement of Comprehensive Income Other changes in fair value of investments and other net assets Net unrealized gain (loss). The ETF s redeemable units are held by different types of unitholders that are entitled to different redemption rights. Unitholders may redeem units of the ETF at a redemption price per unit equal to 95% of the closing price of the units on the Exchange on the effective day of the redemption, subject to a maximum redemption price of the applicable NAV per unit. These different redemption features create equally subordinate but not identical units of the ETF which therefore meet the criteria for classification as financial liabilities under IAS 32, Financial Instruments: Presentation. The ETF s obligation for net assets attributable to unitholders is presented at the redemption amount. Refer to Note 7 for details of subscriptions and redemptions of the ETF s units. IAS 7, Statement of Cash Flows, requires disclosures related to changes in liabilities and assets, such as the units of the ETF, arising from financing activities. Changes in units of the ETF, including both changes from cash flows and non-cash changes, are included in the Statement of Changes in Financial Position. Any changes in the units not settled in cash as at the end of the period are presented as either Accounts receivable for units issued or Accounts payable for units redeemed in the Statement of Financial Position. These accounts receivable and accounts payable amounts typically settle shortly after year-end. Realized and unrealized gains and losses on investments are calculated based on the weighted average cost of investments and exclude commissions and other portfolio transaction costs, which are separately reported in the Statement of Comprehensive Income Commissions and other portfolio transaction costs.