June 30, 2015 - BMO · 2015. 8. 28. · BMO MSCI EAFE Hedged to CAD Index ETF (unaudited) The accompanying notes are an integral part of these financial statements. Statement of Cash

SEMI-ANNUAL FINANCIAL STATEMENTS

BMO MSCI EAFE Hedged to CAD Index ETF (ZDM)June 30, 2015

BMO MSCI EAFE Hedged to CAD Index ETF (unaudited)

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

Statement of Financial Position(All amounts in thousands of Canadian dollars, except per unit data)

Statement of Comprehensive Income(All amounts in thousands of Canadian dollars, except per unit data)

June 30 December 31As at 2015 2014

Assets

Current AssetsCash 4,558 2,952

InvestmentsNon-derivative financial assets 925,083 706,755Derivative assets 947 8,254

Subscriptions receivable 1,977 909Dividends receivable 1,312 539Distribution receivable from

investment trusts 1,933 752

Total assets 935,810 720,161

Liabilities

Current LiabilitiesPayable for investments purchased 2,024 —Derivative liabilities 17,183 6,342Distributions payable 5,304 11,569Accrued expenses 345 336

Total liabilities 24,856 18,247

Net assets attributable to holders of redeemable units 910,954 701,914

Net assets attributable to holders of redeemable unitsListed Units 910,954 701,914Institutional Units 0 0

Net assets attributable to holders of redeemable units per unit Listed Units $19.71 $18.18Institutional Units $20.44 $18.66

June 30 June 30For the periods ended 2015 2014

IncomeInterest income 0 0Dividend income 13,240 16,742Distribution from investment

trusts 3,033 902

Other changes in fair value of investments and derivativesNet realized gain (loss) 3,308 (2,898)Change in unrealized

appreciation 48,171 13,367

Net gain in fair value of investments and derivatives 67,752 28,113

Securities lending 189 218Foreign exchange loss (307) (197)

Total other income (loss) (118) 21

Total income 67,634 28,134

ExpensesManagement fees (note 6) 679 1,198Independent review committee

fees 2 2Withholding taxes 1,733 2,335Interest charges 1 1ETF Summary document fees 0 0Commissions and other portfolio

transaction costs (note 6) 63 127Total expenses 2,478 3,663

Increase in net assets attributable to holders of redeemable units 65,156 24,471

Increase in net assets attributable to holders of redeemable unitsListed Units 65,156 24,471Institutional Units 0 0

Increase in net assets attributable to holders of redeemable units per unit (note 3)Listed Units 1.56 0.56Institutional Units 1.78 0.74



Statement of Changes in Net Assets Attirbutable to Holders of Redeemable Units(All amounts in thousands of Canadian dollars)


Listed UnitsNet assets attributable to holders

of redeemable units at beginning of period 701,914 741,867


Distributions to holders of redeemable units from:Net investment income (9,667) (8,545)Return of capital (273) —Total distributions to holders of

redeemable units (9,940) (8,545)

Redeemable unit transactionsProceeds from redeemable units

issued 159,591 74,968Redemption of redeemable units (5,767) (106,610)Net increase (decrease) from

redeemable unit transactions 153,824 (31,642)

Net increase (decrease) in net assets attributable to holders of redeemable units 209,040 (15,716)

Net assets attributable to holders of redeemable units at end of period 910,954 726,151

Institutional UnitsNet assets attributable to holders

of redeemable units at beginning of period 0 —

Increase in net assets attributable to holders of redeemable units 0 0


issued — 0Net increase from redeemable unit

transactions — 0

Net increase in net assets attributable to holders of redeemable units 0 0

Net assets attributable to holders of redeemable units at end of period 0 0


Total FundNet assets attributable to holders

of redeemable units at beginning of period 701,914 741,867


Distributions to holders of redeemable units from:Net investment income (9,667) (8,545)Return of capital (273) —Total distributions paid to holders of

redeemable units (9,940) (8,545)


issued 159,591 74,968Redemption of redeemable units (5,767) (106,610)Net increase (decrease) from

redeemable unit transactions 153,824 (31,642)

Net increase (decrease) in net assets attributable to holders of redeemable units 209,040 (15,716)

Net assets attributable to holders of redeemable units at end of period 910,954 726,151



Statement of Cash Flows(All amounts in thousands of Canadian dollars)


Cash flows from operating activitiesIncrease in net assets attributable to holders of redeemable units 65,156 24,471Adjustments for:

Foreign exchange (gain) loss on cash (27) 28

Net realized (gain) loss on sale of investments and derivatives (3,308) 2,898

Change in unrealized appreciation of investments and derivatives (48,171) (13,367)

Increase in dividends receivable (773) (1,061)Increase in distribution receivable

from investment trusts (1,181) (529)Increase (decrease) in accrued

expenses 9 (100)Return of capital distributions

received 252 1,184Dividend reinvestments (1,125) —Purchases of investments (41,784) (98,943)Proceeds from sale and maturity of

investments 67,811 219,707Cash (outflows) on derivatives (14,538) (21,944)

Net cash from operating activities 22,321 112,346

Cash flows used in financing activities

Distributions paid to holders of redeemable units, net of reinvested distributions (16,205) (8,710)

Proceeds from issuances of redeemable units 1,230 (1,437)

Amounts paid on redemption of redeemable units (5,767) (101,195)

Net cash used in financing activities (20,742) (111,342)

Foreign exchange gain (loss) on cash 27 (28)Net increase in cash 1,579 1,004Cash at beginning of period 2,952 3,080Cash at end of period 4,558 4,056

Supplementary InformationDividends received, net of

withholding taxes* 10,739 13,354Distributions received from

investment trusts* 1,852 373

*These items are from operating activities



Schedule of Investment PortfolioAs at June 30, 2015 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Number of Shares or Units

Cost+

($)

Fair Value

($)

EQUITIES

Australia — 4.5%Amcor Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59,750..... . . . . 535..... . . . . . 789AMP Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159,837..... . . . . 741..... . . . . . 918ASX Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,400..... . 1,131..... . . . 1,203Aurizon Holdings Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179,069..... . . . . 763..... . . . . . 881Australia and New Zealand Banking Group

Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,326..... . 2,338..... . . . 2,579BHP Billiton Limited, Australian Exchange ..... . . . . . . . . . . . . . 126,322..... . 4,214..... . . . 3,207Brambles Industries Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,924..... . . . . 645..... . . . . . 842Commonwealth Bank of Australia .... . . . . . . . . . . . . . . . . . . . . . . . . 50,186..... . 3,542..... . . . 4,086CSL Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,592..... . . . . 951..... . . . 1,459Insurance Australia Group Limited .... . . . . . . . . . . . . . . . . . . . . . . . 153,749..... . . . . 846..... . . . . . 826Macquarie Group Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,305..... . . . . 640..... . . . 1,201National Australia Bank Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . 81,880..... . 2,414..... . . . 2,610Newcrest Mining Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,989..... . . . . 811..... . . . . . 530Orica Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,235..... . . . . 653..... . . . . . 558Origin Energy Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,688..... . . . . 738..... . . . . . 625QBE Insurance Group Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,912..... . . . . 814..... . . . . . 733Rio Tinto Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,778..... . 1,532..... . . . 1,276Santos Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,474..... . . . . 615..... . . . . . 349Scentre Group .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416,755..... . 1,348..... . . . 1,503South32 Limited, Australian Exchange ..... . . . . . . . . . . . . . . . . . 126,322..... . . . . 295..... . . . . . 218South32 Limited, London Exchange ..... . . . . . . . . . . . . . . . . . . . . . 85,979..... . . . . 180..... . . . . . 145Stockland Corporation Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180,521..... . . . . 642..... . . . . . 709Suncorp Group Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,464..... . . . . 774..... . . . . . 962Sydney Airport, Stapled Security .... . . . . . . . . . . . . . . . . . . . . . . . . . . 23,528..... . . . . . 70..... . . . . . 112Telstra Corporation Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226,319..... . . . . 897..... . . . 1,332Transurban Group .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161,480..... . 1,062..... . . . 1,439Wesfarmers Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,719..... . 1,879..... . . . 1,862Westfield Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99,794..... . . . . 674..... . . . . . 870Westpac Banking Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123,947..... . 3,561..... . . . 3,838Woodside Petroleum Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,664..... . 1,384..... . . . 1,203Woolworths Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,559..... . 2,222..... . . . 1,850..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,911..... . 40,715

Austria — 0.1%BUWOG AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,740..... . . . . . 77..... . . . . . . . 90Erste Bank der oesterreichischen Sparkassen

AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,168..... . . . . 465..... . . . . . 467IMMOFINANZ AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,800..... . . . . 323..... . . . . . 220voestalpine AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,000..... . . . . 447..... . . . . . 467..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,312..... . . . 1,244

Belgium — 0.9%Ageas SA/NV ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,200..... . . . . 543..... . . . . . 539Anheuser-Busch InBev NV/SA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,717..... . 3,317..... . . . 5,219Befimmo SCA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,231..... . . . . 347..... . . . . . 399KBC Groep NV ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,404..... . . . . 460..... . . . . . 784Solvay SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,963..... . . . . 719..... . . . . . 852..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,386..... . . . 7,793


Cost+

($)

Fair Value

($)

Denmark — 1.0%A.P. Moller - Maersk A/S .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 645..... . . . . 991..... . . . 1,461Carlsberg A/S, Class B .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,722..... . . . . 626..... . . . . . 762Danske Bank Group ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,799..... . . . . 571..... . . . 1,097DSV A/S .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,700..... . . . . 174..... . . . . . 231Novo Nordisk A/S, Class B .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63,755..... . 2,036..... . . . 4,367Novozymes A/S, B Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,574..... . . . . 562..... . . . . . 867TDC A/S..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,600..... . . . . 446..... . . . . . 445..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,406..... . . . 9,230

Finland — 0.6%Fortum Oyj .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,990..... . . . . 819..... . . . . . 778KONE Oyj, B Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,514..... . 1,474..... . . . 1,651Nokia Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148,073..... . . . . 682..... . . . 1,253Orion Oyj, B Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,600..... . . . . 262..... . . . . . 376Sampo Oyj, Class A .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,704..... . . . . 674..... . . . 1,103..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,911..... . . . 5,161

France — 5.9%Aeroports de Paris .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,500..... . . . . 319..... . . . . . 353Alstom ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,274..... . . . . 472..... . . . . . 470Atos Origin SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,600..... . . . . 820..... . . . . . 897Axa S.A..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,127..... . 1,361..... . . . 2,081BNP Paribas .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,278..... . 2,599..... . . . 3,109Cap Gemini S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,910..... . . . . 584..... . . . 1,098Carrefour S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,172..... . . . . 891..... . . . 1,166Christian Dior SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,896..... . . . . 553..... . . . . . 706Compagnie de Saint-Gobain .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,840..... . . . . 768..... . . . 1,003Compagnie Generale des Etablissements

Michelin, Class B .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,595..... . . . . 704..... . . . . . 996Credit Agricole S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,788..... . . . . 472..... . . . . . 775Electricite de France S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,300..... . . . . 393..... . . . . . 287Essilor International S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,513..... . 1,021..... . . . 1,565GDF Suez .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,747..... . 1,833..... . . . 1,730Groupe Danone ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,697..... . 1,622..... . . . 1,751Groupe Eurotunnel SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,800..... . . . . 480..... . . . . . 701Hermes International .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 730..... . . . . 223..... . . . . . 340Kering .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,135..... . . . . 591..... . . . . . 698Lafarge S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,080..... . . . . 592..... . . . . . 833L'Air Liquide S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,952..... . 2,288..... . . . 2,991Legrand S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,644..... . . . . 804..... . . . 1,096L'Oreal SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,274..... . 1,612..... . . . 2,288LVMH Moet Hennessy Louis Vuitton S.A. ... . . . . . . . . . . . . . . . . . . 11,818..... . 2,136..... . . . 2,584Orange ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69,006..... . . . . 924..... . . . 1,334Pernod Ricard SA..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,026..... . . . . 815..... . . . 1,015Publicis Groupe SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,944..... . . . . 375..... . . . . . 456Renault SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,023..... . 1,105..... . . . 1,829Safran SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,721..... . . . . 285..... . . . . . 568Sanofi ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,459..... . 3,889..... . . . 4,739Schneider Electric S.A..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,739..... . 2,054..... . . . 2,303Societe Generale .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,340..... . 1,113..... . . . 1,651Sodexo SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,033..... . . . . 457..... . . . . . 597



Schedule of Investment Portfolio (cont’d)

As at June 30, 2015 (All amounts in thousands of Canadian dollars, unless otherwise noted)


Cost+

($)

Fair Value

($)

Technip-Coflexip SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,983..... . 1,324..... . . . . . 850Total S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,410..... . 4,135..... . . . 4,522Unibail-Rodamco SE .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,759..... . 1,369..... . . . 1,825Vinci S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,339..... . 1,306..... . . . 1,612Vivendi S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,588..... . . . . 367..... . . . . . 586..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,656..... . 53,405

Germany — 5.8%adidas AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,918..... . . . . 739..... . . . . . 853Allianz SE .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,048..... . 2,023..... . . . 2,537BASF SE .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,816..... . 3,338..... . . . 3,821Bayer AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,214..... . 3,989..... . . . 6,504Bayerische Motoren Werke Aktiengesellschaft . .. . . . . . . . . . . 13,193..... . 1,247..... . . . 1,803Commerzbank Aktiengesellschaft ... . . . . . . . . . . . . . . . . . . . . . . . . . . 44,240..... . . . . 486..... . . . . . 706Continental AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,081..... . . . . 659..... . . . 1,501Daimler AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,561..... . 2,847..... . . . 4,495Deutsche Bank AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,645..... . 1,706..... . . . 1,412Deutsche Boerse AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,660..... . . . . 721..... . . . 1,102Deutsche Post AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,593..... . 1,307..... . . . 1,919Deutsche Telekom AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104,716..... . 1,288..... . . . 2,252E.ON SE .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,402..... . 1,300..... . . . 1,071Fresenius AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,170..... . . . . 803..... . . . 1,542Fresenius Medical Care AG & Co. KGaA ..... . . . . . . . . . . . . . . . . . 16,454..... . 1,125..... . . . 1,696GEA Group Aktiengesellschaft ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,962..... . . . . 550..... . . . . . 722HeidelbergCement AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,470..... . . . . 825..... . . . 1,037Henkel AG & Co. KGaA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,943..... . . . . 991..... . . . 1,673Infineon Technologies AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,460..... . . . . 464..... . . . . . 798Linde AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,009..... . 1,412..... . . . 1,894MAN SE .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,300..... . . . . 563..... . . . . . 553Merck KGaA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,692..... . . . . 718..... . . . 1,081Muenchener Rueckversicherungs-Gesellschaft

Aktiengesellschaft ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,880..... . 1,193..... . . . 1,523Porsche Automobil Holding SE, Preferred .... . . . . . . . . . . . . . . . . . 8,024..... . . . . 607..... . . . . . 844RWE Aktiengesellschaft ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,158..... . . . . 845..... . . . . . 568SAP SE .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,277..... . 2,691..... . . . 3,157Siemens AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,893..... . 2,666..... . . . 3,005Thyssenkrupp AG..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,406..... . . . . 636..... . . . . . 826TUI AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,393..... . . . . 307..... . . . . . 372Volkswagen AG, Preference .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,063..... . . . . 957..... . . . 1,176..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,003..... . 52,443

Hong Kong — 2.0%AIA Group Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 505,600..... . 2,264..... . . . 4,127Cheung Kong Infrastructure Holdings Limited .. .. . . . . . . . . . . 40,000..... . . . . 309..... . . . . . 388Cheung Kong Property Holdings Ltd. ... . . . . . . . . . . . . . . . . . . . . . 100,084..... . 1,125..... . . . 1,037CK Hutchison Holdings Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,084..... . 1,811..... . . . 1,833CLP Holdings Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,400..... . . . . 328..... . . . . . 409Galaxy Entertainment Group Limited .... . . . . . . . . . . . . . . . . . . . . 123,000..... . . . . 666..... . . . . . 612Global Brands Group Holding Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . 328,000..... . . . . . 93..... . . . . . . . 86Hang Seng Bank Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,400..... . . . . 697..... . . . 1,108Hong Kong and China Gas Company Limited ... . . . . . . . . . . . 585,247..... . 1,066..... . . . 1,533Hong Kong Exchanges & Clearing Ltd..... . . . . . . . . . . . . . . . . . . . . 42,421..... . 1,118..... . . . 1,867Li & Fung Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 328,000..... . . . . 466..... . . . . . 325Link Real Estate Investment Trust, The, .... . . . . . . . . . . . . . . . . . 142,500..... . . . . 720..... . . . 1,041Power Assets Holdings Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89,000..... . . . . 828..... . . . 1,013Sun Hung Kai Properties Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . 47,978..... . . . . 669..... . . . . . 970


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Swire Pacific Limited, Class A .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68,000..... . . . . 824..... . . . 1,065Wharf (Holdings) Limited, The, .... . . . . . . . . . . . . . . . . . . . . . . . . . . . 136,000..... . 1,238..... . . . 1,130..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,222..... . 18,544

Ireland — 0.3%CRH Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,186..... . 1,209..... . . . 1,838Kerry Group Public Limited Company, A Shares .... . . . . . . . . . . 7,539..... . . . . 500..... . . . . . 698..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,709..... . . . 2,536

Israel — 0.3%Bank Leumi le-Israel B.M. .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,600..... . . . . 307..... . . . . . 404Bezeq The Israel Telecommunication Corp., Ltd. ... . . . . . . . . 247,700..... . . . . 447..... . . . . . 527Teva Pharmaceutical Industries Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . 26,350..... . 1,155..... . . . 1,951..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,909..... . . . 2,882

Italy — 1.4%Assicurazioni Generali SpA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,997..... . 1,128..... . . . 1,304Enel S.p.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 319,146..... . 1,239..... . . . 1,802Eni S.p.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103,808..... . 2,463..... . . . 2,300Intesa Sanpaolo S.p.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467,571..... . . . . 971..... . . . 2,115Luxottica Group S.p.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,716..... . . . . 439..... . . . . . 641Telecom Italia S.p.A..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1,095,008..... . 1,053..... . . . 1,735Terna - Rete Elettrica Nazionale S.p.A .... . . . . . . . . . . . . . . . . . . . 151,100..... . . . . 825..... . . . . . 833UniCredit S.p.A .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220,297..... . 1,337..... . . . 1,846..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,455..... . 12,576

Japan — 14.9%Aeon Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,900..... . . . . 582..... . . . . . 831Ajinomoto Co., Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,200..... . . . . 676..... . . . 1,222Asahi Group Holdings, Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,300..... . . . . 711..... . . . 1,044Astellas Pharma Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107,500..... . 1,035..... . . . 1,913Bandai Namco Holdings Inc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,200..... . . . . 489..... . . . . . 535Bridgestone Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,200..... . . . . 735..... . . . 1,210Canon Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,200..... . . . . 710..... . . . . . 738Central Japan Railway Company ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,300..... . . . . 695..... . . . 1,646Chubu Electric Power Company, Incorporated .. .. . . . . . . . . . . 35,600..... . . . . 537..... . . . . . 662Chugai Pharmaceutical Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,000..... . . . . 470..... . . . . . 819Credit Saison Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,900..... . . . . 466..... . . . . . 427Dai Nippon Printing Co. Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118,000..... . 1,147..... . . . 1,521Daihatsu Motor Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,700..... . . . . 468..... . . . . . 439Dai-ichi Mutual Life Insurance, The, .... . . . . . . . . . . . . . . . . . . . . . . 63,400..... . . . . 889..... . . . 1,555Daikin Industries, Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,000..... . . . . 425..... . . . 1,078Daito Trust Construction Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,500..... . . . . 660..... . . . . . 839Daiwa House Industry Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,000..... . . . . 981..... . . . 1,426Daiwa Securities Group Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,000..... . . . . 651..... . . . . . 980DeNA Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,200..... . . . . 143..... . . . . . 177Dentsu Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,300..... . . . . 681..... . . . 1,062East Japan Railway Company ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,900..... . . . . 843..... . . . 1,224FANUC Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,000..... . . . . 971..... . . . 1,530Fast Retailing Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,400..... . . . . 646..... . . . 1,360Fuji Heavy Industries Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,400..... . . . . 439..... . . . . . 752FujiFilm Holdings Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,000..... . . . . 275..... . . . . . 491Fujitsu Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115,000..... . . . . 568..... . . . . . 801Hitachi Construction Machinery Co., Ltd. ... . . . . . . . . . . . . . . . . . . 27,100..... . . . . 588..... . . . . . 593Hitachi Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215,000..... . 1,338..... . . . 1,769






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Honda Motor Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,200..... . 1,818..... . . . 1,865HOYA Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,000..... . . . . 550..... . . . 1,300Hulic Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,800..... . . . . 478..... . . . . . 298Iida Group Holdings Co., Ltd..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,900..... . . . . 651..... . . . . . 654Inpex Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,600..... . . . . 397..... . . . . . 420Isetan Mitsukoshi Holdings Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,200..... . . . . 470..... . . . . . 674Isuzu Motors Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,500..... . . . . 469..... . . . . . 533Japan Airlines Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,500..... . . . . 883..... . . . 1,284Japan Exchange Group Inc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,200..... . . . . 474..... . . . . . 656Japan Tobacco Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,500..... . . . . 694..... . . . . . 956JFE Holdings, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000..... . . . . 584..... . . . . . 692JSR Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,000..... . . . . 588..... . . . . . 661JTEKT Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,700..... . . . . 586..... . . . 1,056JX Holdings, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163,800..... . . . . 910..... . . . . . 885Kansai Electric Power Company, Incorporated,

The, .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,000..... . . . . 476..... . . . . . 483Kao Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,900..... . . . . 573..... . . . 1,097KDDI Corp..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,900..... . . . . 727..... . . . 1,559Keyence Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,100..... . 1,041..... . . . 2,088Kirin Holdings Company, Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . 72,000..... . 1,048..... . . . 1,238Komatsu Ltd..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,600..... . . . . 308..... . . . . . 315Kubota Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,000..... . . . . 638..... . . . 1,128Kuraray Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,400..... . . . . 681..... . . . . . 815Kyocera Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,500..... . . . . 418..... . . . . . 552LIXIL Group Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,900..... . . . . 700..... . . . . . 666Marubeni Corp. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98,600..... . . . . 672..... . . . . . 706Mazda Motor Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,400..... . . . . 181..... . . . . . 206Mitsubishi Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68,100..... . 1,419..... . . . 1,868Mitsubishi Electric Corporation..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,900..... . . . . 472..... . . . . . 739Mitsubishi Estate Company Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,000..... . 1,336..... . . . 1,476Mitsubishi Heavy Industries, Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . 159,000..... . . . . 814..... . . . 1,207Mitsubishi Tanabe Pharma Corporation .... . . . . . . . . . . . . . . . . . . 32,200..... . . . . 472..... . . . . . 602Mitsubishi UFJ Financial Group, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . 519,100..... . 3,038..... . . . 4,640Mitsui & Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79,400..... . 1,172..... . . . 1,345Mitsui Fudosan Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,000..... . . . . 589..... . . . . . 837Mizuho Financial Group, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 797,800..... . 1,564..... . . . 2,149MS&AD Insurance Group Holdings, Inc. ... . . . . . . . . . . . . . . . . . . . 20,500..... . . . . 524..... . . . . . 797Murata Manufacturing Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,200..... . . . . 716..... . . . 2,221Nexon Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,900..... . . . . 139..... . . . . . 187Nidec Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,400..... . . . . 499..... . . . 1,162Nikon Corp. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,300..... . . . . 584..... . . . . . 452Nintendo Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,600..... . . . . 759..... . . . 1,168Nippon Building Fund Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112..... . . . . 668..... . . . . . 612Nippon Steel & Sumitomo Metal Corp. ... . . . . . . . . . . . . . . . . . . . 332,795..... . . . . 940..... . . . 1,076Nippon Telegraph and Telephone Corporation .. .. . . . . . . . . . . 11,000..... . . . . 277..... . . . . . 497Nissan Motor Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,900..... . . . . 391..... . . . . . 505Nitto Denko Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,600..... . . . . 760..... . . . 1,190Nomura Holdings, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,500..... . . . . 549..... . . . . . 720Nomura Real Estate Holdings, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . 22,600..... . . . . 584..... . . . . . 591NSK Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,000..... . . . . 575..... . . . 1,022NTT DoCoMo, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,700..... . . . . 950..... . . . 1,379Olympus Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,300..... . . . . 445..... . . . . . 616Omron Corp. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,800..... . . . . 662..... . . . . . 911Oriental Land Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,800..... . . . . 665..... . . . 1,339ORIX Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,000..... . . . . 356..... . . . . . 485Otsuka Holdings Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,400..... . . . . 903..... . . . 1,048


Cost+

($)

Fair Value

($)

Panasonic Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,600..... . . . . 941..... . . . 1,636Park24 Company Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,600..... . . . . 665..... . . . . . 718Rakuten Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,900..... . . . . 484..... . . . . . 903Resona Holdings Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167,900..... . . . . 927..... . . . 1,142Ricoh Company, Ltd . ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,300..... . . . . 516..... . . . . . 599SBI Holdings, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,400..... . . . . 461..... . . . . . 557SEGA SAMMY HOLDINGS INC..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,500..... . . . . 726..... . . . . . 465Sekisui House, Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000..... . . . . 580..... . . . . . 791Seven & I Holdings Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,700..... . . . . 982..... . . . 1,593Shin-Etsu Chemical Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,200..... . . . . 873..... . . . 1,100Shionogi & Company Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,100..... . . . . 599..... . . . 1,263Shiseido Company, Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,100..... . . . . 509..... . . . . . 796SMC Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,800..... . . . . 684..... . . . 1,428SoftBank Group Corp. .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,100..... . 1,580..... . . . 2,066Sompo Japan Nipponkoa Holdings Inc. ... . . . . . . . . . . . . . . . . . . . . 29,800..... . . . . 826..... . . . 1,365Sony Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,800..... . . . . 545..... . . . . . 950Sony Financial Holdings Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,800..... . . . . 471..... . . . . . 521Stanley Electric Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,900..... . . . . 472..... . . . . . 519Sumitomo Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68,300..... . . . . 907..... . . . . . 991Sumitomo Electric Industries, Ltd..... . . . . . . . . . . . . . . . . . . . . . . . . . 52,700..... . . . . 739..... . . . 1,020Sumitomo Metal Mining Company Ltd. ... . . . . . . . . . . . . . . . . . . . 48,000..... . . . . 648..... . . . . . 912Sumitomo Mitsui Financial Group, Inc. ... . . . . . . . . . . . . . . . . . . . . 50,100..... . 2,083..... . . . 2,780Sumitomo Mitsui Trust Holdings, Inc. ... . . . . . . . . . . . . . . . . . . . . . 165,269..... . . . . 671..... . . . . . 944Sumitomo Realty & Development Co., Ltd..... . . . . . . . . . . . . . . 20,000..... . . . . 666..... . . . . . 876Sumitomo Rubber Industries, Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . 33,700..... . . . . 478..... . . . . . 651Suntory Beverage & Food Limited .... . . . . . . . . . . . . . . . . . . . . . . . . 15,800..... . . . . 557..... . . . . . 793Suzuki Motor Corporation..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,500..... . . . . 618..... . . . . . 991T&D Holdings Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,900..... . . . . 383..... . . . . . 593Takeda Pharmaceutical Company Limited .... . . . . . . . . . . . . . . . 31,100..... . 1,489..... . . . 1,874TDK Corp. .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,200..... . . . . 426..... . . . . . 884Terumo Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,000..... . . . . 760..... . . . . . 961THK Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,100..... . . . . 473..... . . . . . 515Tokio Marine Holdings, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,200..... . . . . 937..... . . . 1,616Tokyo Electric Power Company, The, .... . . . . . . . . . . . . . . . . . . . . . 66,200..... . . . . 431..... . . . . . 450Tokyo Electron Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,200..... . . . . 419..... . . . . . 725TOKYO GAS CO., LTD. .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176,000..... . . . . 919..... . . . 1,166Tokyo Tatemono Co Ltd .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,000..... . . . . 473..... . . . . . 398Tokyu Fudosan Holdings Corporation .... . . . . . . . . . . . . . . . . . . . . . 58,400..... . . . . 585..... . . . . . 564Toray Industries, Inc. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,000..... . . . . 214..... . . . . . 348Toshiba Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217,000..... . 1,064..... . . . . . 929Toyota Motor Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114,200..... . 6,535..... . . . 9,540Toyota Tsusho Corporation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,600..... . . . . 563..... . . . . . 724West Japan Railway Company ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,000..... . . . . 398..... . . . . . 639Yamaha Motor Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,900..... . . . . 353..... . . . . . 598Yamato Holdings Co., Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,200..... . . . . 685..... . . . . . 728..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,971..... 135,894

Luxembourg — 0.2%ArcelorMittal ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,604..... . . . . 811..... . . . . . 579SES S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,873..... . . . . 620..... . . . . . 875Subsea 7 S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,800..... . . . . 470..... . . . . . 266Tenaris S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,644..... . . . . 580..... . . . . . 466..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,481..... . . . 2,186

Macau — 0.1%Sands China Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126,400..... . . . . 686..... . . . . . 531






Cost+

($)

Fair Value

($)

Netherlands — 3.0%Aegon N.V. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,164..... . . . . 507..... . . . . . 781Airbus Group SE .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,105..... . 1,165..... . . . 1,870Akzo Nobel NV .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,969..... . . . . 416..... . . . . . 636ASML Holding N.V. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,258..... . 1,329..... . . . 2,238CNH Industrial N.V. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112,124..... . 1,352..... . . . 1,276Gemalto N.V. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,977..... . . . . 563..... . . . . . 555Heineken NV ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,305..... . . . . 626..... . . . . . 980ING Groep N.V. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149,257..... . 1,585..... . . . 3,091Koninklijke (Royal) Philips Electronics N.V. ... . . . . . . . . . . . . . . . 36,647..... . 1,046..... . . . 1,168Koninklijke Ahold NV ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,360..... . . . . 585..... . . . . . 854Koninklijke DSM N.V. .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,642..... . . . . 590..... . . . . . 555Koninklijke KPN N.V. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 314,081..... . 1,009..... . . . 1,505Relx NV ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,009..... . . . . 837..... . . . 1,278Royal Dutch Shell PLC, B Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,788..... . 2,996..... . . . 3,047Royal Dutch Shell Plc, Class A, London

Exchange ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122,131..... . 4,245..... . . . 4,289Unilever N.V. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,242..... . 1,822..... . . . 2,414Wolters Kluwer N.V. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,100..... . . . . 657..... . . . . . 786..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,330..... . 27,323

Norway — 0.4%DnB ASA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,762..... . . . . 551..... . . . . . 869Orkla ASA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,400..... . . . . 677..... . . . . . 818Seadrill Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,827..... . 1,861..... . . . . . 530Statoil ASA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,890..... . . . . 918..... . . . . . 867Telenor ASA ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,220..... . . . . 501..... . . . . . 719..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,508..... . . . 3,803

Portugal — 0.0%Galp Energia, SGPS, S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,300..... . . . . 311..... . . . . . 239

Singapore — 1.0%City Developments Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,000..... . . . . 378..... . . . . . 443DBS Group Holdings Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,205..... . . . . 967..... . . . 1,422Genting Singapore PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 482,000..... . . . . 595..... . . . . . 400Keppel Corporation Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127,200..... . 1,053..... . . . . . 968Oversea-Chinese Banking Corporation Limited . ... . . . . . . . . 219,000..... . 1,658..... . . . 2,065Singapore Telecommunications Limited .... . . . . . . . . . . . . . . . . 412,000..... . 1,173..... . . . 1,600United Overseas Bank Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . 106,600..... . 1,725..... . . . 2,278..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,549..... . . . 9,176

South Africa — 0.0%Randgold Resources Limited .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,400..... . . . . 188..... . . . . . 201

Spain — 2.2%Abertis Infraestructuras S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,100..... . 1,027..... . . . 1,046Abertis Infraestructuras S.A., Rights, Jun 29,

2015 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,100..... . . . . . 51..... . . . . . . . 53Amadeus IT Holding S.A., Class A .... . . . . . . . . . . . . . . . . . . . . . . . . . 12,052..... . . . . 367..... . . . . . 599Banco Bilbao Vizcaya Argentaria, S.A..... . . . . . . . . . . . . . . . . . . . 306,873..... . 2,995..... . . . 3,770Banco Santander S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 486,413..... . 3,427..... . . . 4,241Enagas .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,400..... . . . . 671..... . . . . . 831Iberdrola, S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196,343..... . 1,112..... . . . 1,656


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($)

Industria de Diseno Textil, S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,290..... . 1,712..... . . . 2,619Repsol S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,827..... . 1,397..... . . . 1,425Repsol S.A., Rights, Jul 3, 2015 .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,827..... . . . . . 41..... . . . . . . . 42Telefonica S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196,826..... . 3,088..... . . . 3,504..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,888..... . 19,786

Sweden — 1.9%AB Electrolux, Series B .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,988..... . . . . 632..... . . . . . 898Aktiebolaget SKF, B Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,036..... . . . . 870..... . . . . . 884Assa Abloy AB, B Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,698..... . . . . 109..... . . . . . 181Atlas Copco AB, A Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,969..... . 1,087..... . . . 1,535Getinge AB, B Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,059..... . . . . 615..... . . . . . 482H & M Hennes & Mauritz AB, B Shares .... . . . . . . . . . . . . . . . . . . . 11,486..... . . . . 445..... . . . . . 552Husqvarna AB, B Shares .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,700..... . . . . 469..... . . . . . 712Investor AB, Class B .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,165..... . . . . 550..... . . . 1,170Nordea Bank AB ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174,717..... . 2,099..... . . . 2,717Sandvik Aktiebolag .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,810..... . . . . 504..... . . . . . 494Skandinaviska Enskilda Banken AB, A Shares ... . . . . . . . . . . . 103,530..... . 1,125..... . . . 1,652Svenska Cellulosa AB (SCA), Class B .... . . . . . . . . . . . . . . . . . . . . . . 21,836..... . . . . 578..... . . . . . 693Svenska Handelsbanken AB, A Shares .... . . . . . . . . . . . . . . . . . . . 49,356..... . . . . 717..... . . . . . 898Swedbank AB ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,824..... . 1,145..... . . . 1,508Swedish Match AB ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,777..... . . . . 482..... . . . . . 453Telefonaktiebolaget LM Ericsson, Class B .... . . . . . . . . . . . . . . . 111,520..... . 1,279..... . . . 1,442Volvo AB, Class B .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60,677..... . . . . 867..... . . . . . 939..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,573..... . 17,210

Switzerland — 6.2%ABB Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,237..... . 1,078..... . . . 1,262Actelion Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,224..... . . . . 681..... . . . 1,689Adecco S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,879..... . . . . 716..... . . . 1,004Aryzta AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,410..... . . . . 674..... . . . . . 641Berner Kantonalbank AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,933..... . . . . 801..... . . . . . 729Coca-Cola HBC AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,700..... . . . . 467..... . . . . . 421Compagnie Financiere Richemont SA, Class A .. .. . . . . . . . . . . 18,434..... . 1,390..... . . . 1,877Credit Suisse Group .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,051..... . 1,446..... . . . 1,615Givaudan SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 571..... . . . . 721..... . . . 1,236Glencore PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293,488..... . 1,413..... . . . 1,471Holcim Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,523..... . . . . 686..... . . . . . 879Julius Baer Group Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,297..... . 1,197..... . . . 1,705Lindt & Spruengli AG, Participating Certificates . ... . . . . . . . . . . . . . 179..... . . . . 723..... . . . 1,181Nestle S.A. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110,158..... . 7,555..... . . . 9,945Novartis AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,025..... . 5,611..... . . . 9,626Roche Holding AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,888..... . 5,727..... . . . 8,377Schindler Holding Ltd. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,670..... . . . . 889..... . . . 1,160SGS SA .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347..... . . . . 820..... . . . . . 792Swatch Group AG, The, Class B .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 593..... . . . . 278..... . . . . . 289Swiss Re AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,762..... . . . . 953..... . . . 1,741Swisscom AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,100..... . 1,127..... . . . 1,469Syngenta AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,521..... . 1,363..... . . . 1,802Transocean Ltd..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,699..... . . . . 911..... . . . . . 359UBS Group AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138,992..... . 2,402..... . . . 3,681Wolseley plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,228..... . . . . 654..... . . . . . 974Zurich Financial Services AG ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,004..... . . . . 522..... . . . . . 763..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,805..... . 56,688






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United Kingdom — 11.7%3i Group PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,400..... . . . . 485..... . . . . . 774Aggreko plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,132..... . . . . 464..... . . . . . 455Anglo American plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,275..... . 2,100..... . . . 1,340ARM Holdings PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,000..... . . . . 690..... . . . 1,186Associated British Foods plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,143..... . . . . 472..... . . . . . 911AstraZeneca PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,016..... . 2,193..... . . . 3,337Aviva plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152,739..... . 1,095..... . . . 1,479BAE Systems plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153,841..... . . . . 869..... . . . 1,364Barclays PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 605,463..... . 2,554..... . . . 3,093BG Group PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117,211..... . 2,285..... . . . 2,436BHP Billiton Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,979..... . 2,494..... . . . 2,109BP p.l.c. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 535,828..... . 4,005..... . . . 4,416British American Tobacco p.l.c. ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,450..... . 2,433..... . . . 3,051BT Group plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 289,469..... . 1,375..... . . . 2,561Burberry Group PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,699..... . . . . 412..... . . . . . 577Capita Group Plc, The, .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,345..... . . . . 609..... . . . . . 909Carnival PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,423..... . . . . 430..... . . . . . 730Centrica plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174,038..... . . . . 983..... . . . . . 902Compass Group PLC..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,324..... . . . . 764..... . . . 1,331Croda International Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,800..... . . . . 471..... . . . . . 637Diageo plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,476..... . 2,157..... . . . 2,733Experian plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,886..... . . . . 787..... . . . 1,043G4S Plc.... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,700..... . . . . 188..... . . . . . 220GKN Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99,125..... . . . . 445..... . . . . . 650GlaxoSmithKline plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186,553..... . 4,785..... . . . 4,850HSBC Holdings PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 637,800..... . 7,091..... . . . 7,132IMI Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,037..... . . . . 524..... . . . . . 442Imperial Tobacco Group PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,413..... . 1,492..... . . . 2,497Indivior PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,840..... . . . . . 37..... . . . . . 105InterContinental Hotels Group PLC .... . . . . . . . . . . . . . . . . . . . . . . . . 18,317..... . . . . 621..... . . . . . 923Intertek Group Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,600..... . . . . 677..... . . . . . 605Intu Properties PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,500..... . . . . 234..... . . . . . 275Investec plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80,200..... . . . . 580..... . . . . . 900ITV plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210,615..... . . . . 562..... . . . 1,087Johnson Matthey PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,900..... . . . . 685..... . . . . . 829Kingfisher plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109,242..... . . . . 498..... . . . . . 743Land Securities Group PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,554..... . . . . 583..... . . . . . 934Legal & General Group Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156,473..... . . . . 453..... . . . . . 764Lloyds Banking Group plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1,566,502..... . 1,648..... . . . 2,626Lonmin PLC..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,167..... . . . . . . . 7.... . . . . . . . . . 7Marks and Spencer Group plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,203..... . . . . 401..... . . . . . 739Meggitt PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,700..... . . . . 334..... . . . . . 355Melrose Industries PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,670..... . . . . 374..... . . . . . 280National Grid plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98,205..... . 1,147..... . . . 1,577Next plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,520..... . . . . 703..... . . . 1,393Old Mutual plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264,421..... . . . . 747..... . . . 1,045Pearson plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,055..... . . . . 819..... . . . 1,066Prudential plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93,460..... . 1,399..... . . . 2,817Reckitt Benckiser Group plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,840..... . 1,643..... . . . 2,571RELX PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,057..... . . . . 739..... . . . 1,526Rio Tinto plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,648..... . 1,857..... . . . 1,883Rolls-Royce Group PLC, C Shares*1 ... . . . . . . . . . . . . . . . . . . . . 15,445,506..... . . . . . . —..... . . . . . . . 30Rolls-Royce Holdings PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,526..... . . . . 862..... . . . 1,001Royal Bank of Scotland Group, plc .... . . . . . . . . . . . . . . . . . . . . . . . 100,622..... . . . . 541..... . . . . . 694


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($)

Royal Dutch Shell PLC, Class A, Euronext Amsterdam Exchange ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,472..... . . . . 580..... . . . . . 621

SABMiller plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,480..... . 1,375..... . . . 1,844Sage Group PLC, The, .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,600..... . . . . 416..... . . . . . 710Schroders PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,600..... . . . . 422..... . . . . . 598Segro Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72,400..... . . . . 396..... . . . . . 576Severn Trent Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,361..... . . . . 469..... . . . . . 668Shire plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,285..... . . . . 748..... . . . 2,137Sky PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,616..... . . . . 721..... . . . 1,174Smith & Nephew plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69,419..... . . . . 725..... . . . 1,465SSE plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,523..... . 1,233..... . . . 1,646Standard Chartered PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,898..... . 1,868..... . . . 1,496Standard Life plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,114..... . . . . 369..... . . . . . 454Tate & Lyle Public Limited Company ..... . . . . . . . . . . . . . . . . . . . . 34,000..... . . . . 469..... . . . . . 346Tesco PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242,759..... . 1,444..... . . . 1,012Tullow Oil plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,165..... . . . . 750..... . . . . . 254Unilever PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,325..... . 2,076..... . . . 2,863United Utilities Group Plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,158..... . . . . 496..... . . . . . 755Vodafone Group Public Limited Company ..... . . . . . . . . . . .1,001,020..... . 4,275..... . . . 4,559Weir Group PLC, The, .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,200..... . . . . 598..... . . . . . 539Whitbread PLC .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,934..... . . . . 508..... . . . . . 965William Hill PLC..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,200..... . . . . 307..... . . . . . 390William Morrison Supermarkets PLC .... . . . . . . . . . . . . . . . . . . . . . 154,369..... . . . . 719..... . . . . . 547WPP plc .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,286..... . . . . 655..... . . . 1,409..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84,422..... 106,968

Total Equities — 64.4% ............................................... ... 451,592.... 586,534


Cost+

($)

Fair Value

($)

EXCHANGE TRADED FUNDSBMO MSCI EAFE Index ETF .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,048,600... 326,323..... 338,549

Total Exchange Traded Funds — 37.2%............................. ... 326,323.... 338,549

Total Investment Portfolio — 101.6% .............................. ... 777,915.... 925,083Total Unrealized Gain on Forward Currency Contracts — 0.1% ..... . . . . . . . . . . . . . . . . . . . . . . . 947Total Unrealized Loss on Forward Currency Contracts — (1.9)% ..... . . . . . . . . . . . . . . . (17,183)Other Assets Less Liabilities — 0.2% ..... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,107NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS - 100.0% .... .... 910,954

+ Where applicable, distributions received from holdings as a return of capital are used to reduce the adjusted cost base of the securities in the portfolio.

* These securities have no quoted market value and are valued using valuation techniques (note 3).





Settlement Date

Currency Buy

Position (000s)

Currency Sell

Position (000s)

Contract Rates Counterparty

Credit Rating*

Unrealized Gain

UNREALIZED GAIN ON FORWARD CURRENCY CONTRACTS6-Jul-15 . . . . . . . . . . . . . . . . . . . . . JPY . . . . . . 3,757,919. . . . . . . . . . . .CAD . . . . . . . (38,344). . . . . . . . 98.0054. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 116-Jul-15 . . . . . . . . . . . . . . . . . . . . . JPY . . . . . . 5,370,039. . . . . . . . . . . .CAD . . . . . . . (54,796). . . . . . . . 98.0003. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 136-Jul-15 . . . . . . . . . . . . . . . . . . . . . JPY . . . . . . 3,357,086. . . . . . . . . . . .CAD . . . . . . . (34,251). . . . . . . . 98.0135. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 136-Jul-15 . . . . . . . . . . . . . . . . . . . . . JPY . . . . . . 3,683,860. . . . . . . . . . . .CAD . . . . . . . (37,585). . . . . . . . 98.0140. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 146-Jul-15 . . . . . . . . . . . . . . . . . . . . . JPY . . . . . . 5,456,996. . . . . . . . . . . .CAD . . . . . . . (55,676). . . . . . . . 98.0135. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 216-Jul-15 . . . . . . . . . . . . . . . . . . . . EUR . . . . . . . . . 27,417. . . . . . . . . . . .CAD . . . . . . . (38,137). . . . . . . . . 0.7189. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 426-Jul-15 . . . . . . . . . . . . . . . . . . . . EUR . . . . . . . . . 30,364. . . . . . . . . . . .CAD . . . . . . . (42,237). . . . . . . . . 0.7189. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 476-Jul-15 . . . . . . . . . . . . . . . . . . . . EUR . . . . . . . . . 32,820. . . . . . . . . . . .CAD . . . . . . . (45,653). . . . . . . . . 0.7189. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 516-Jul-15 . . . . . . . . . . . . . . . . . . . . EUR . . . . . . . . . 47,861. . . . . . . . . . . .CAD . . . . . . . (66,581). . . . . . . . . 0.7188. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 686-Jul-15 . . . . . . . . . . . . . . . . . . . . EUR . . . . . . . . . 72,941. . . . . . . . . . . .CAD . . . . . . (101,477). . . . . . . . . 0.7188. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 986-Jul-15 . . . . . . . . . . . . . . . . . . . AUD . . . . . . . . . . . 1,840. . . . . . . . . . . .CAD . . . . . . . . . (1,754). . . . . . . . . 1.0491. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 196-Jul-15 . . . . . . . . . . . . . . . . . . . AUD . . . . . . . . . 10,433. . . . . . . . . . . .CAD . . . . . . . (10,011). . . . . . . . . 1.0421. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 416-Jul-15 . . . . . . . . . . . . . . . . . . . AUD . . . . . . . . . 13,390. . . . . . . . . . . .CAD . . . . . . . (12,848). . . . . . . . . 1.0421. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 536-Jul-15 . . . . . . . . . . . . . . . . . . . AUD . . . . . . . . . 13,838. . . . . . . . . . . .CAD . . . . . . . (13,276). . . . . . . . . 1.0423. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 566-Jul-15 . . . . . . . . . . . . . . . . . . . AUD . . . . . . . . . 14,054. . . . . . . . . . . .CAD . . . . . . . (13,483). . . . . . . . . 1.0424. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 586-Jul-15 . . . . . . . . . . . . . . . . . . . AUD . . . . . . . . . 16,584. . . . . . . . . . . .CAD . . . . . . . (15,914). . . . . . . . . 1.0421. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 666-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 70. . . . . . . . . . . HKD . . . . . . . . . . . (431). . . . . . . . . 0.1615. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 28. . . . . . . . . . . NOK . . . . . . . . . . . (172). . . . . . . . . 0.1604. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 121. . . . . . . . . . . .SGD . . . . . . . . . . . (130). . . . . . . . . 0.9274. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 768. . . . . . . . . . . . CHF . . . . . . . . . . . (575). . . . . . . . . 1.3364. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 854. . . . . . . . . . . HKD . . . . . . . . . (5,300). . . . . . . . . 0.1612. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,542. . . . . . . . . . . AUD . . . . . . . . . (1,600). . . . . . . . . 0.9637. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 93. . . . . . . . . . . . SEK . . . . . . . . . . . (618). . . . . . . . . 0.1509. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 53. . . . . . . . . . . DKK . . . . . . . . . . . (283). . . . . . . . . 0.1874. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 21. . . . . . . . . . . NOK . . . . . . . . . . . (130). . . . . . . . . 0.1607. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 190. . . . . . . . . . . . CHF . . . . . . . . . . . (142). . . . . . . . . 1.3366. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 53. . . . . . . . . . . DKK . . . . . . . . . . . (284). . . . . . . . . 0.1879. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 151. . . . . . . . . . . NOK . . . . . . . . . . . (946). . . . . . . . . 0.1600. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 16-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 287. . . . . . . . . . . AUD . . . . . . . . . . . (297). . . . . . . . . 0.9672. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 16-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 216. . . . . . . . . . . AUD . . . . . . . . . . . (223). . . . . . . . . 0.9696. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 71. . . . . . . . . . . DKK . . . . . . . . . . . (376). . . . . . . . . 0.1881. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 16-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 933. . . . . . . . . . . GBP . . . . . . . . . . . (475). . . . . . . . . 1.9652. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 943. . . . . . . . . . . NOK . . . . . . . . . (5,900). . . . . . . . . 0.1599. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 936. . . . . . . . . . . . EUR . . . . . . . . . . . (670). . . . . . . . . 1.3977. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,026. . . . . . . . . . . NOK . . . . . . . . . (6,410). . . . . . . . . 0.1600. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 4,904. . . . . . . . . . . . . JPY . . . . . . (480,000). . . . . . . . . 0.0102. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 56-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,054. . . . . . . . . . . NOK . . . . . . . . . (6,587). . . . . . . . . 0.1600. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 56-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 953. . . . . . . . . . . . EUR . . . . . . . . . . . (680). . . . . . . . . 1.4010. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,260. . . . . . . . . . . NOK . . . . . . . . . (7,872). . . . . . . . . 0.1600. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,263. . . . . . . . . . . . EUR . . . . . . . . . . . (900). . . . . . . . . 1.4029. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 96-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,129. . . . . . . . . . . NOK . . . . . . . (13,304). . . . . . . . . 0.1600. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 106-Jul-15 . . . . . . . . . . . . . . . . . . . . CHF . . . . . . . . . 14,754. . . . . . . . . . . .CAD . . . . . . . (19,713). . . . . . . . . 0.7484. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . . CHF . . . . . . . . . . . 9,371. . . . . . . . . . . .CAD . . . . . . . (12,519). . . . . . . . . 0.7486. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 26-Jul-15 . . . . . . . . . . . . . . . . . . . . CHF . . . . . . . . . 12,879. . . . . . . . . . . .CAD . . . . . . . (17,205). . . . . . . . . 0.7486. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36-Jul-15 . . . . . . . . . . . . . . . . . . . . CHF . . . . . . . . . 15,846. . . . . . . . . . . .CAD . . . . . . . (21,169). . . . . . . . . 0.7486. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-Jul-15 . . . . . . . . . . . . . . . . . . . DKK . . . . . . . . . 11,523. . . . . . . . . . . .CAD . . . . . . . . . (2,149). . . . . . . . . 5.3622. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 26-Jul-15 . . . . . . . . . . . . . . . . . . . DKK . . . . . . . . . . . 7,819. . . . . . . . . . . .CAD . . . . . . . . . (1,458). . . . . . . . . 5.3629. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 26-Jul-15 . . . . . . . . . . . . . . . . . . . DKK . . . . . . . . . . . 8,699. . . . . . . . . . . .CAD . . . . . . . . . (1,622). . . . . . . . . 5.3629. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26-Jul-15 . . . . . . . . . . . . . . . . . . . DKK . . . . . . . . . 19,899. . . . . . . . . . . .CAD . . . . . . . . . (3,711). . . . . . . . . 5.3629. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-Jul-15 . . . . . . . . . . . . . . . . . . . DKK . . . . . . . . . 34,736. . . . . . . . . . . .CAD . . . . . . . . . (6,478). . . . . . . . . 5.3619. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 66-Jul-15 . . . . . . . . . . . . . . . . . . . HKD . . . . . . . . . 20,727. . . . . . . . . . . .CAD . . . . . . . . . (3,338). . . . . . . . . 6.2095. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 26-Jul-15 . . . . . . . . . . . . . . . . . . . HKD . . . . . . . . . 33,360. . . . . . . . . . . .CAD . . . . . . . . . (5,372). . . . . . . . . 6.2097. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36-Jul-15 . . . . . . . . . . . . . . . . . . . HKD . . . . . . . . . 36,261. . . . . . . . . . . .CAD . . . . . . . . . (5,839). . . . . . . . . 6.2097. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4





Settlement Date

Currency Buy

Position (000s)

Currency Sell

Position (000s)


Credit Rating*

Unrealized Gain

UNREALIZED GAIN ON FORWARD CURRENCY CONTRACTS 6-Jul-15 . . . . . . . . . . . . . . . . . . . HKD . . . . . . . . . 44,051. . . . . . . . . . . .CAD . . . . . . . . . (7,094). . . . . . . . . 6.2097. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-Jul-15 . . . . . . . . . . . . . . . . . . . HKD . . . . . . . . . 55,559. . . . . . . . . . . .CAD . . . . . . . . . (8,948). . . . . . . . . 6.2093. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 56-Jul-15 . . . . . . . . . . . . . . . . . . . . . ILS . . . . . . . . . . . . . 253. . . . . . . . . . . .CAD . . . . . . . . . . . . (84). . . . . . . . . 3.0217. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . . . ILS . . . . . . . . . . . . . 793. . . . . . . . . . . .CAD . . . . . . . . . . . (262). . . . . . . . . 3.0217. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . . . ILS . . . . . . . . . . . . . . 36. . . . . . . . . . . .CAD . . . . . . . . . . . . (12). . . . . . . . . 3.0217. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . NOK . . . . . . . . . . . 6,587. . . . . . . . . . . .CAD . . . . . . . . . (1,045). . . . . . . . . 6.3018. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-Jul-15 . . . . . . . . . . . . . . . . . . . NOK . . . . . . . . . . . 6,846. . . . . . . . . . . .CAD . . . . . . . . . (1,086). . . . . . . . . 6.3021. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-Jul-15 . . . . . . . . . . . . . . . . . . . NOK . . . . . . . . . . . 6,410. . . . . . . . . . . .CAD . . . . . . . . . (1,017). . . . . . . . . 6.3018. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-Jul-15 . . . . . . . . . . . . . . . . . . . NOK . . . . . . . . . . . 8,002. . . . . . . . . . . .CAD . . . . . . . . . (1,270). . . . . . . . . 6.3018. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56-Jul-15 . . . . . . . . . . . . . . . . . . . NOK . . . . . . . . . 14,256. . . . . . . . . . . .CAD . . . . . . . . . (2,262). . . . . . . . . 6.3019. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 96-Jul-15 . . . . . . . . . . . . . . . . . . . . SEK . . . . . . . . . 33,750. . . . . . . . . . . .CAD . . . . . . . . . (5,078). . . . . . . . . 6.6462. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76-Jul-15 . . . . . . . . . . . . . . . . . . . . SEK . . . . . . . . . 31,650. . . . . . . . . . . .CAD . . . . . . . . . (4,762). . . . . . . . . 6.6462. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76-Jul-15 . . . . . . . . . . . . . . . . . . . . SEK . . . . . . . . . 37,346. . . . . . . . . . . .CAD . . . . . . . . . (5,620). . . . . . . . . 6.6455. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 86-Jul-15 . . . . . . . . . . . . . . . . . . . . SEK . . . . . . . . . 38,305. . . . . . . . . . . .CAD . . . . . . . . . (5,763). . . . . . . . . 6.6462. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 86-Jul-15 . . . . . . . . . . . . . . . . . . . . SEK . . . . . . . . . 49,276. . . . . . . . . . . .CAD . . . . . . . . . (7,415). . . . . . . . . 6.6453. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 106-Jul-15 . . . . . . . . . . . . . . . . . . . .SGD . . . . . . . . . . . 2,298. . . . . . . . . . . .CAD . . . . . . . . . (2,131). . . . . . . . . 1.0785. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .SGD . . . . . . . . . . . 2,527. . . . . . . . . . . .CAD . . . . . . . . . (2,343). . . . . . . . . 1.0785. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .SGD . . . . . . . . . . . 2,022. . . . . . . . . . . .CAD . . . . . . . . . (1,875). . . . . . . . . 1.0785. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 06-Jul-15 . . . . . . . . . . . . . . . . . . . .SGD . . . . . . . . . . . 4,071. . . . . . . . . . . .CAD . . . . . . . . . (3,775). . . . . . . . . 1.0785. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 16-Jul-15 . . . . . . . . . . . . . . . . . . . .SGD . . . . . . . . . . . 3,897. . . . . . . . . . . .CAD . . . . . . . . . (3,613). . . . . . . . . 1.0785. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 16-Jul-15 . . . . . . . . . . . . . . . . . . . .SGD . . . . . . . . . . . . . 865. . . . . . . . . . . .CAD . . . . . . . . . . . (800). . . . . . . . . 1.0815. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25-Aug-15 . . . . . . . . . . . . . . . . . . EUR . . . . . . . . . 10,600. . . . . . . . . . . .CAD . . . . . . . (14,770). . . . . . . . . 0.7177. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 893. . . . . . . . . . . . . ILS . . . . . . . . . (2,697). . . . . . . . . 0.3311. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 05-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 84. . . . . . . . . . . . . ILS . . . . . . . . . . . (253). . . . . . . . . 0.3311. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 05-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 12. . . . . . . . . . . . . ILS . . . . . . . . . . . . (36). . . . . . . . . 0.3311. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 05-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 263. . . . . . . . . . . . . ILS . . . . . . . . . . . (793). . . . . . . . . 0.3311. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 05-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,904. . . . . . . . . . . . . ILS . . . . . . . (11,792). . . . . . . . . 0.3311. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . . . 25-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 32,589. . . . . . . . . . . GBP . . . . . . . (16,596). . . . . . . . . 1.9637. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 165-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 39,943. . . . . . . . . . . GBP . . . . . . . (20,341). . . . . . . . . 1.9637. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 195-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 39,651. . . . . . . . . . . GBP . . . . . . . (20,192). . . . . . . . . 1.9637. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 195-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 43,442. . . . . . . . . . . GBP . . . . . . . (22,122). . . . . . . . . 1.9638. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 225-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 44,974. . . . . . . . . . . GBP . . . . . . . (22,902). . . . . . . . . 1.9638. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . 23

Total Unrealized Gain on Forward Currency Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 947

Settlement Date Currency Buy

Position (000s) Currency Sell

Position (000s)


Credit Rating*

Unrealized Loss

UNREALIZED LOSS ON FORWARD CURRENCY CONTRACTS6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,065. . . . . . . . . . . . EUR . . . . . . . . . . . (765). . . . . . . . . 1.3923. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 35. . . . . . . . . . . DKK . . . . . . . . . . . (191). . . . . . . . . 0.1847. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 288. . . . . . . . . . . . CHF . . . . . . . . . . . (216). . . . . . . . . 1.3349. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 136. . . . . . . . . . . HKD . . . . . . . . . . . (846). . . . . . . . . 0.1608. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 102. . . . . . . . . . . HKD . . . . . . . . . . . (633). . . . . . . . . 0.1605. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 103. . . . . . . . . . . HKD . . . . . . . . . . . (644). . . . . . . . . 0.1605. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 52. . . . . . . . . . . DKK . . . . . . . . . . . (281). . . . . . . . . 0.1864. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 12. . . . . . . . . . . . . ILS . . . . . . . . . . . . (36). . . . . . . . . 0.3227. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 61. . . . . . . . . . . . SEK . . . . . . . . . . . (408). . . . . . . . . 0.1504. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 34. . . . . . . . . . . DKK . . . . . . . . . . . (184). . . . . . . . . 0.1860. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 52. . . . . . . . . . . DKK . . . . . . . . . . . (282). . . . . . . . . 0.1856. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 293. . . . . . . . . . . . CHF . . . . . . . . . . . (220). . . . . . . . . 1.3335. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,670. . . . . . . . . . . HKD . . . . . . . (35,197). . . . . . . . . 0.1611. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,339. . . . . . . . . . . HKD . . . . . . . (20,727). . . . . . . . . 0.1611. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 93. . . . . . . . . . . . SEK . . . . . . . . . . . (619). . . . . . . . . 0.1496. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 123. . . . . . . . . . . NOK . . . . . . . . . . . (780). . . . . . . . . 0.1575. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 98. . . . . . . . . . . HKD . . . . . . . . . . . (618). . . . . . . . . 0.1588. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 92. . . . . . . . . . . . SEK . . . . . . . . . . . (620). . . . . . . . . 0.1491. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)







Position (000s)


Credit Rating*

Unrealized Loss

UNREALIZED LOSS ON FORWARD CURRENCY CONTRACTS 6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 101. . . . . . . . . . . HKD . . . . . . . . . . . (633). . . . . . . . . 0.1588. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 310. . . . . . . . . . . DKK . . . . . . . . . (1,666). . . . . . . . . 0.1859. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 49. . . . . . . . . . . . . ILS . . . . . . . . . . . (150). . . . . . . . . 0.3246. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 391. . . . . . . . . . . . CHF . . . . . . . . . . . (293). . . . . . . . . 1.3337. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 124. . . . . . . . . . . . SEK . . . . . . . . . . . (829). . . . . . . . . 0.1499. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 67. . . . . . . . . . . HKD . . . . . . . . . . . (417). . . . . . . . . 0.1598. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,374. . . . . . . . . . . HKD . . . . . . . (33,360). . . . . . . . . 0.1611. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 63. . . . . . . . . . . . SEK . . . . . . . . . . . (421). . . . . . . . . 0.1493. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 94. . . . . . . . . . . . SEK . . . . . . . . . . . (629). . . . . . . . . 0.1496. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 68. . . . . . . . . . . HKD . . . . . . . . . . . (425). . . . . . . . . 0.1592. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 82. . . . . . . . . . . . . ILS . . . . . . . . . . . (253). . . . . . . . . 0.3227. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 635. . . . . . . . . . . . EUR . . . . . . . . . . . (457). . . . . . . . . 1.3885. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 210. . . . . . . . . . . AUD . . . . . . . . . . . (220). . . . . . . . . 0.9558. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 6,997. . . . . . . . . . . HKD . . . . . . . (43,433). . . . . . . . . 0.1611. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 143. . . . . . . . . . . AUD . . . . . . . . . . . (150). . . . . . . . . 0.9529. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 140. . . . . . . . . . . AUD . . . . . . . . . . . (147). . . . . . . . . 0.9516. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . . 63. . . . . . . . . . . . SEK . . . . . . . . . . . (434). . . . . . . . . 0.1462. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 934. . . . . . . . . . . . EUR . . . . . . . . . . . (672). . . . . . . . . 1.3898. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 148. . . . . . . . . . . AUD . . . . . . . . . . . (156). . . . . . . . . 0.9509. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 199. . . . . . . . . . . . CHF . . . . . . . . . . . (150). . . . . . . . . 1.3257. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 194. . . . . . . . . . . . CHF . . . . . . . . . . . (147). . . . . . . . . 1.3216. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 7,863. . . . . . . . . . . HKD . . . . . . . (48,807). . . . . . . . . 0.1611. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 208. . . . . . . . . . . AUD . . . . . . . . . . . (219). . . . . . . . . 0.9504. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (3)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 209. . . . . . . . . . . AUD . . . . . . . . . . . (220). . . . . . . . . 0.9501. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (3)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 423. . . . . . . . . . . GBP . . . . . . . . . . . (217). . . . . . . . . 1.9498. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (3)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 114. . . . . . . . . . . . . ILS . . . . . . . . . . . (355). . . . . . . . . 0.3213. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (3)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 288. . . . . . . . . . . . CHF . . . . . . . . . . . (218). . . . . . . . . 1.3225. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (3)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 254. . . . . . . . . . . .SGD . . . . . . . . . . . (278). . . . . . . . . 0.9139. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (4)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 464. . . . . . . . . . . . . JPY . . . . . . . (45,911). . . . . . . . . 0.0101. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (4)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,126. . . . . . . . . . . .SGD . . . . . . . . . (2,298). . . . . . . . . 0.9250. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (5)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 429. . . . . . . . . . . GBP . . . . . . . . . . . (221). . . . . . . . . 1.9394. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (5)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,338. . . . . . . . . . . .SGD . . . . . . . . . (2,527). . . . . . . . . 0.9253. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (5)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 288. . . . . . . . . . . . CHF . . . . . . . . . . . (219). . . . . . . . . 1.3155. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (5)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 881. . . . . . . . . . . . CHF . . . . . . . . . . . (664). . . . . . . . . 1.3274. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (6)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 941. . . . . . . . . . . . EUR . . . . . . . . . . . (680). . . . . . . . . 1.3839. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (6)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 645. . . . . . . . . . . . EUR . . . . . . . . . . . (468). . . . . . . . . 1.3778. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (7)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,671. . . . . . . . . . . .SGD . . . . . . . . . (2,887). . . . . . . . . 0.9250. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (7)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 256. . . . . . . . . . . . . ILS . . . . . . . . . . . (793). . . . . . . . . 0.3227. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (7)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 482. . . . . . . . . . . . . JPY . . . . . . . (47,986). . . . . . . . . 0.0100. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (8)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,389. . . . . . . . . . . .SGD . . . . . . . . . (3,663). . . . . . . . . 0.9251. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (8)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 549. . . . . . . . . . . . SEK . . . . . . . . . (3,697). . . . . . . . . 0.1484. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (8)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,605. . . . . . . . . . . .SGD . . . . . . . . . (3,897). . . . . . . . . 0.9251. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (9)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 462. . . . . . . . . . . . . JPY . . . . . . . (46,347). . . . . . . . . 0.0100. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (11)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 634. . . . . . . . . . . . EUR . . . . . . . . . . . (463). . . . . . . . . 1.3698. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (11)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 600. . . . . . . . . . . HKD . . . . . . . . . (3,787). . . . . . . . . 0.1583. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (11)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 706. . . . . . . . . . . . . JPY . . . . . . . (70,434). . . . . . . . . 0.0100. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (13)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 432. . . . . . . . . . . GBP . . . . . . . . . . . (227). . . . . . . . . 1.9036. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (13)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 628. . . . . . . . . . . GBP . . . . . . . . . . . (327). . . . . . . . . 1.9213. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (14)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 694. . . . . . . . . . . . . JPY . . . . . . . (69,545). . . . . . . . . 0.0100. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (16)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 943. . . . . . . . . . . . . JPY . . . . . . . (94,015). . . . . . . . . 0.0100. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (17)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 687. . . . . . . . . . . . . JPY . . . . . . . (69,013). . . . . . . . . 0.0100. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (17)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,243. . . . . . . . . . . AUD . . . . . . . . . (1,309). . . . . . . . . 0.9499. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (18)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 633. . . . . . . . . . . GBP . . . . . . . . . . . (332). . . . . . . . . 1.9070. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (18)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 700. . . . . . . . . . . . . JPY . . . . . . . (70,320). . . . . . . . . 0.0099. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (18)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 598. . . . . . . . . . . GBP . . . . . . . . . . . (314). . . . . . . . . 1.9056. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (18)







Position (000s)


Credit Rating*

Unrealized Loss

UNREALIZED LOSS ON FORWARD CURRENCY CONTRACTS 6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 637. . . . . . . . . . . GBP . . . . . . . . . . . (334). . . . . . . . . 1.9066. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (19)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 628. . . . . . . . . . . GBP . . . . . . . . . . . (330). . . . . . . . . 1.9022. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (20)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,552. . . . . . . . . . . . EUR . . . . . . . . . (4,002). . . . . . . . . 1.3874. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (21)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,384. . . . . . . . . . . DKK . . . . . . . . . (7,537). . . . . . . . . 0.1837. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (22)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 870. . . . . . . . . . . . . ILS . . . . . . . . . (2,697). . . . . . . . . 0.3228. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (22)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,716. . . . . . . . . . . . CHF . . . . . . . . . (1,301). . . . . . . . . 1.3191. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (22)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . . . 849. . . . . . . . . . . GBP . . . . . . . . . . . (445). . . . . . . . . 1.9086. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (24)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,598. . . . . . . . . . . DKK . . . . . . . . . (8,699). . . . . . . . . 0.1837. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (26)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,897. . . . . . . . . . . . EUR . . . . . . . . . (1,384). . . . . . . . . 1.3707. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (30)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,117. . . . . . . . . . . DKK . . . . . . . (11,523). . . . . . . . . 0.1837. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (34)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,603. . . . . . . . . . . DKK . . . . . . . (19,615). . . . . . . . . 0.1837. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (58)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,269. . . . . . . . . . . . . JPY . . . . . . (523,907). . . . . . . . . 0.0101. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (79)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 4,110. . . . . . . . . . . . . JPY . . . . . . (410,901). . . . . . . . . 0.0100. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (84)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,643. . . . . . . . . . . . . ILS . . . . . . . (11,287). . . . . . . . . 0.3228. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (92)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,834. . . . . . . . . . . DKK . . . . . . . (31,755). . . . . . . . . 0.1837. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (94)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 9,747. . . . . . . . . . . AUD . . . . . . . (10,214). . . . . . . . . 0.9542. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (95)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 12,130. . . . . . . . . . . . CHF . . . . . . . . . (9,152). . . . . . . . . 1.3253. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (99)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 11,528. . . . . . . . . . . AUD . . . . . . . (12,081). . . . . . . . . 0.9542. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (112)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,711. . . . . . . . . . . GBP . . . . . . . . . (1,951). . . . . . . . . 1.9020. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (118)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 12,217. . . . . . . . . . . AUD . . . . . . . (12,804). . . . . . . . . 0.9542. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (119)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 13,409. . . . . . . . . . . AUD . . . . . . . (14,054). . . . . . . . . 0.9541. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (132)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 16,579. . . . . . . . . . . . CHF . . . . . . . (12,509). . . . . . . . . 1.3253. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (135)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 4,474. . . . . . . . . . . . SEK . . . . . . . (30,587). . . . . . . . . 0.1463. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (135)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 4,921. . . . . . . . . . . . SEK . . . . . . . (33,649). . . . . . . . . 0.1463. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (149)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 4,936. . . . . . . . . . . . SEK . . . . . . . (33,750). . . . . . . . . 0.1463. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (149)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 18,397. . . . . . . . . . . . CHF . . . . . . . (13,881). . . . . . . . . 1.3253. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (150)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 18,830. . . . . . . . . . . . CHF . . . . . . . (14,206). . . . . . . . . 1.3255. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (151)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 19,555. . . . . . . . . . . . CHF . . . . . . . (14,754). . . . . . . . . 1.3254. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (158)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,512. . . . . . . . . . . . SEK . . . . . . . (37,686). . . . . . . . . 0.1463. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (167)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 17,220. . . . . . . . . . . AUD . . . . . . . (18,045). . . . . . . . . 0.9542. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (167)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 6,784. . . . . . . . . . . . SEK . . . . . . . (46,380). . . . . . . . . 0.1463. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (205)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 29,662. . . . . . . . . . . . . JPY . . . . (2,946,185). . . . . . . . . 0.0101. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (408)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 36,394. . . . . . . . . . . . . JPY . . . . (3,614,847). . . . . . . . . 0.0101. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (501)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 37,835. . . . . . . . . . . . . JPY . . . . (3,757,919). . . . . . . . . 0.0101. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (520)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 36,622. . . . . . . . . . . . EUR . . . . . . . (26,737). . . . . . . . . 1.3697. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (611)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 48,475. . . . . . . . . . . . . JPY . . . . (4,814,669). . . . . . . . . 0.0101. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (665)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 40,026. . . . . . . . . . . . EUR . . . . . . . (29,221). . . . . . . . . 1.3698. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (666)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 50,785. . . . . . . . . . . . . JPY . . . . (5,043,901). . . . . . . . . 0.0101. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (696)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 44,956. . . . . . . . . . . . EUR . . . . . . . (32,820). . . . . . . . . 1.3698. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . (748)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 30,986. . . . . . . . . . . GBP . . . . . . . (16,264). . . . . . . . . 1.9052. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (932)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 60,075. . . . . . . . . . . . EUR . . . . . . . (43,859). . . . . . . . . 1.3697. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . (1,001)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 35,497. . . . . . . . . . . GBP . . . . . . . (18,631). . . . . . . . . 1.9053. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . (1,067)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 37,685. . . . . . . . . . . GBP . . . . . . . (19,780). . . . . . . . . 1.9052. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . (1,133)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 37,871. . . . . . . . . . . GBP . . . . . . . (19,878). . . . . . . . . 1.9052. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . (1,140)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 43,632. . . . . . . . . . . GBP . . . . . . . (22,902). . . . . . . . . 1.9052. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . (1,314)6-Jul-15 . . . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 93,681. . . . . . . . . . . . EUR . . . . . . . (68,390). . . . . . . . . 1.3698. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . (1,557)6-Jul-15 . . . . . . . . . . . . . . . . . . . . CHF . . . . . . . . . 15,222. . . . . . . . . . . .CAD . . . . . . . (20,339). . . . . . . . . 0.7484. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . GBP . . . . . . . . . 16,596. . . . . . . . . . . .CAD . . . . . . . (32,584). . . . . . . . . 0.5093. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (15)6-Jul-15 . . . . . . . . . . . . . . . . . . . GBP . . . . . . . . . 20,192. . . . . . . . . . . .CAD . . . . . . . (39,646). . . . . . . . . 0.5093. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (19)6-Jul-15 . . . . . . . . . . . . . . . . . . . GBP . . . . . . . . . 20,341. . . . . . . . . . . .CAD . . . . . . . (39,937). . . . . . . . . 0.5093. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (19)6-Jul-15 . . . . . . . . . . . . . . . . . . . GBP . . . . . . . . . 22,902. . . . . . . . . . . .CAD . . . . . . . (44,967). . . . . . . . . 0.5093. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (21)6-Jul-15 . . . . . . . . . . . . . . . . . . . GBP . . . . . . . . . 22,122. . . . . . . . . . . .CAD . . . . . . . (43,437). . . . . . . . . 0.5093. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (22)6-Jul-15 . . . . . . . . . . . . . . . . . . . . . ILS . . . . . . . . . 11,792. . . . . . . . . . . .CAD . . . . . . . . . (3,903). . . . . . . . . 3.0214. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)6-Jul-15 . . . . . . . . . . . . . . . . . . . . . ILS . . . . . . . . . . . 2,697. . . . . . . . . . . .CAD . . . . . . . . . . . (893). . . . . . . . . 3.0215. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)5-Aug-15 . . . . . . . . . . . . . . . . . . . JPY . . . . . . 1,150,000. . . . . . . . . . . .CAD . . . . . . . (11,758). . . . . . . . 97.8037. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (10)







Position (000s)


Credit Rating*

Unrealized Loss

UNREALIZED LOSS ON FORWARD CURRENCY CONTRACTS 5-Aug-15 . . . . . . . . . . . . . . . . . AUD . . . . . . . . . . . 4,000. . . . . . . . . . . .CAD . . . . . . . . . (3,850). . . . . . . . . 1.0389. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,774. . . . . . . . . . . .SGD . . . . . . . . . (4,071). . . . . . . . . 0.9270. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,874. . . . . . . . . . . .SGD . . . . . . . . . (2,022). . . . . . . . . 0.9270. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (1)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,130. . . . . . . . . . . .SGD . . . . . . . . . (2,298). . . . . . . . . 0.9270. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,612. . . . . . . . . . . .SGD . . . . . . . . . (3,897). . . . . . . . . 0.9270. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,343. . . . . . . . . . . .SGD . . . . . . . . . (2,527). . . . . . . . . 0.9270. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (1)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,624. . . . . . . . . . . DKK . . . . . . . . . (8,699). . . . . . . . . 0.1867. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (2)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,460. . . . . . . . . . . DKK . . . . . . . . . (7,819). . . . . . . . . 0.1867. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,151. . . . . . . . . . . DKK . . . . . . . (11,523). . . . . . . . . 0.1867. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (2)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,339. . . . . . . . . . . HKD . . . . . . . (20,727). . . . . . . . . 0.1611. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (3)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 19,742. . . . . . . . . . . . CHF . . . . . . . (14,754). . . . . . . . . 1.3381. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (4)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,374. . . . . . . . . . . HKD . . . . . . . (33,360). . . . . . . . . 0.1611. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (4)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,086. . . . . . . . . . . NOK . . . . . . . . . (6,846). . . . . . . . . 0.1586. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (4)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 3,715. . . . . . . . . . . DKK . . . . . . . (19,899). . . . . . . . . 0.1867. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (4)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,017. . . . . . . . . . . NOK . . . . . . . . . (6,410). . . . . . . . . 0.1586. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (4)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,045. . . . . . . . . . . NOK . . . . . . . . . (6,587). . . . . . . . . 0.1586. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (4)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 20,367. . . . . . . . . . . . CHF . . . . . . . (15,222). . . . . . . . . 1.3380. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (5)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,841. . . . . . . . . . . HKD . . . . . . . (36,261). . . . . . . . . 0.1611. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (5)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 1,269. . . . . . . . . . . NOK . . . . . . . . . (8,002). . . . . . . . . 0.1586. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (5)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 12,537. . . . . . . . . . . . CHF . . . . . . . . . (9,371). . . . . . . . . 1.3378. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (5)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 7,096. . . . . . . . . . . HKD . . . . . . . (44,051). . . . . . . . . 0.1611. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (6)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 6,486. . . . . . . . . . . DKK . . . . . . . (34,736). . . . . . . . . 0.1867. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (6)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 17,230. . . . . . . . . . . . CHF . . . . . . . (12,879). . . . . . . . . 1.3378. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (6)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 4,767. . . . . . . . . . . . SEK . . . . . . . (31,650). . . . . . . . . 0.1506. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (7)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 8,950. . . . . . . . . . . HKD . . . . . . . (55,559). . . . . . . . . 0.1611. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (7)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,083. . . . . . . . . . . . SEK . . . . . . . (33,750). . . . . . . . . 0.1506. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (8)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,625. . . . . . . . . . . . SEK . . . . . . . (37,346). . . . . . . . . 0.1506. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (8)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 2,261. . . . . . . . . . . NOK . . . . . . . (14,256). . . . . . . . . 0.1586. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (9)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 21,199. . . . . . . . . . . . CHF . . . . . . . (15,846). . . . . . . . . 1.3378. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . (9)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 5,769. . . . . . . . . . . . SEK . . . . . . . (38,305). . . . . . . . . 0.1506. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (9)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 7,422. . . . . . . . . . . . SEK . . . . . . . (49,276). . . . . . . . . 0.1506. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (10)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 38,371. . . . . . . . . . . . . JPY . . . . (3,757,919). . . . . . . . . 0.0102. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (21)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 34,274. . . . . . . . . . . . . JPY . . . . (3,357,086). . . . . . . . . 0.0102. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (23)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 37,610. . . . . . . . . . . . . JPY . . . . (3,683,860). . . . . . . . . 0.0102. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (25)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 54,831. . . . . . . . . . . . . JPY . . . . (5,370,039). . . . . . . . . 0.0102. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (30)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 55,715. . . . . . . . . . . . . JPY . . . . (5,456,996). . . . . . . . . 0.0102. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (34)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . . . 9,998. . . . . . . . . . . AUD . . . . . . . (10,433). . . . . . . . . 0.9583. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (39)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 38,165. . . . . . . . . . . . EUR . . . . . . . (27,417). . . . . . . . . 1.3920. . . . . . Toronto Dominion Bank, The . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (45)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 42,268. . . . . . . . . . . . EUR . . . . . . . (30,364). . . . . . . . . 1.3921. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (49)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 12,831. . . . . . . . . . . AUD . . . . . . . (13,390). . . . . . . . . 0.9583. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (50)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 13,259. . . . . . . . . . . AUD . . . . . . . (13,838). . . . . . . . . 0.9582. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (53)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 45,686. . . . . . . . . . . . EUR . . . . . . . (32,820). . . . . . . . . 1.3920. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (55)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 13,466. . . . . . . . . . . AUD . . . . . . . (14,054). . . . . . . . . 0.9582. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (55)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 15,893. . . . . . . . . . . AUD . . . . . . . (16,584). . . . . . . . . 0.9583. . . . . . Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (62)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . . 66,631. . . . . . . . . . . . EUR . . . . . . . (47,861). . . . . . . . . 1.3922. . . . . . Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . (71)5-Aug-15 . . . . . . . . . . . . . . . . . .CAD . . . . . . . . 101,547. . . . . . . . . . . . EUR . . . . . . . (72,941). . . . . . . . . 1.3922. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . (109)5-Aug-15 . . . . . . . . . . . . . . . . . . CHF . . . . . . . . . . . 4,100. . . . . . . . . . . .CAD . . . . . . . . . (5,488). . . . . . . . . 0.7471. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (1)5-Aug-15 . . . . . . . . . . . . . . . . . GBP . . . . . . . . . . . 6,200. . . . . . . . . . . .CAD . . . . . . . (12,187). . . . . . . . . 0.5087. . . . . . Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1 . . . . . . . . . . . . . . . . . . . . . . . . . (18)5-Aug-15 . . . . . . . . . . . . . . . . . HKD . . . . . . . . . . . 7,900. . . . . . . . . . . .CAD . . . . . . . . . (1,274). . . . . . . . . 6.2014. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)5-Aug-15 . . . . . . . . . . . . . . . . . . SEK . . . . . . . . . . . 6,000. . . . . . . . . . . .CAD . . . . . . . . . . . (905). . . . . . . . . 6.6284. . . . . . Bank of New York Mellon Trust Co. N.A. (The) . . . . . . . A-1+ . . . . . . . . . . . . . . . . . . . . . . . . . (0)

Total Unrealized Loss on Forward Currency Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (17,183)*Credit Rating provided by Standard & Poor's.


Notes to the Financial Statements (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2015

1. The ETF Fund

BMO MSCI EAFE Hedged to CAD Index ETF (“the ETF”) is an exchange-traded fund established as an open-ended trust by a Declaration of Trust under the laws of the Province of Ontario. BMO Asset Management Inc. (“the Manager”) is the Manager and trustee of the ETF. The Manager is a wholly owned subsidiary of Bank of Montreal. The address of the ETF’s registered office is 100 King Street West, Toronto, Ontario.

The information provided in these unaudited interim financial statements is for the periods ended June 30, 2015 and June 30, 2014, except for the comparative information in the Statement of Financial Position and the related notes which are as at December 31, 2014.

The financial statements were authorized for issue by the Manager on August 12, 2015.

2. Basis of preparation and presentation

These unaudited interim financial statements have been prepared in accordance with International Financial Reporting Standards (“IFRS”) as issued by the International Accounting Standards (“IASB”). The ETF has adopted this basis of accounting effective January 1, 2014, as required by Canadian securities legislation and the Canadian Accounting Standards Board. Certain prior period balances have been reclassified to conform with the current period presentation.

3. Summary of significant accounting policiesFinancial instrumentsThe ETF records financial instruments at fair value. The ETF’s investments are either designated at fair value through profit or loss (“FVTPL”) at inception or classified as held for trading. Investment transactions are accounted for on the trade date. The changes in investment fair values and related transaction costs are recorded in the ETF’s Statement of Comprehensive Income.

Financial assets or financial liabilities held for trading are those acquired or incurred principally for the

purpose of selling or repurchasing in the near future, or on initial recognition, are part of a portfolio of identified financial instruments that the ETF manages together and that have a recent actual pattern of short-term profit taking. The ETF classifies all derivatives and short positions as held for trading. The ETF does not designate any derivatives as hedges in a hedging relationship.

The ETF designates all other investments at FVTPL, as they have reliably measurable fair values, are part of a group of financial assets or liabilities that are managed and have their performance evaluated on a fair value basis in accordance with the ETF’s investment strategy.

The ETF’s redeemable units, which are puttable instruments, are held by different types of unitholders that are entitled to different redemption rights. See Note 5 for details of unitholders’ transactions in the units of the ETF.

The different redemption features create equally subordinate but not identical units or Series of the units of the ETF. Redemption of units at 95% of NAV for some type of unitholders redemptions also results in a situation where the redemption value of this puttable instrument is not based substantially on the net assets of the ETF. As a result, the ETF’s obligations for net assets attributable to holders of redeemable units are classified as financial liabilities and presented at the redemption amounts.

All other financial assets and financial liabilities are measured at amortized cost. Under this method, financial assets and financial liabilities reflect the amount required to be received or paid or discounted, when appropriate, at the contract’s effective interest rate.

The ETF has determined that it meets the definition of “investment entity” and as a result, it measures subsidiaries, other than those which provide services to the ETF, at FVTPL.


Notes to the Financial Statements (cont’d)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2015

Cost of investmentsThe cost of investments represents the amount paid for each security and is determined on an average cost basis.

Fair value measurementInvestments are recorded at their fair value with the change between this amount and their average cost being recorded as change in unrealized appreciation (depreciation) in the Statement of Comprehensive Income.

For exchange traded securities, close prices are considered to be fair value if they fall within the bid-ask spread. In circumstances where the close price is not within the bid-ask spread, the Manager determines the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances.

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 other debt securities, fair value is represented by mid prices provided by independent security pricing services. Short-term investments, if any, are carried at amortized cost which approximates fair value.

For securities where market quotes are not available, unreliable or not considered to reflect the current value, the ETF may determine another value which it considers to be fair and reasonable, 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. These estimation techniques include discounted cash flows, internal models that utilize observable data, or comparisons with other securities that are substantially similar. In limited circumstances, the ETF uses internal models where the inputs are not based on observable market data.

Derivative instrumentsDerivative instruments are financial contracts that derive their value from underlying changes in interest rates, foreign exchange rates, or other financial or commodity prices or indices.

Derivative instruments are either regulated exchange-traded contracts or negotiated over-the-counter contracts. The ETF may use these instruments for trading purposes, as well as to manage the ETF’s risk exposures.

Derivatives are marked to fair value. Realized and unrealized gains and losses are recorded in the Statement of Comprehensive Income.

Forward currency contracts

A forward currency contract is an agreement between two parties (the ETF and the counterparty) to purchase or sell a currency against another currency at a set price on a future date. The ETF may enter into forward currency contracts for hedging purposes, which can include the economic hedging of all or a portion of the currency exposure of an investment or group of investments, either directly or indirectly. The ETF may also enter into these contracts for non-hedging purposes, which can include increasing the exposure to a foreign currency, or shifting the exposure to foreign currency fluctuations from one country to another. The value of forward currency contracts entered into by the ETF is recorded as the difference between the value of the contract on the Valuation Date and the value on the date the contract originated.

Option contracts

The ETF 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 ETF: whereas the risk for long positions will be limited to the premium paid to purchase the option contracts, the risk exposure for the short positions are potentially unlimited until closed or expired.



Purchased option contracts

The premium paid for purchasing a call option is recorded as an asset in the Statement of Financial Position. The premium is valued on each 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 the Statement of Comprehensive Income.

When a purchased option expires, the ETF will realize a loss equal to the premium paid. When a purchased option is closed, the gain or loss the ETF 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 is subtracted from the proceeds from the sale of the underlying security that had to be sold.

Written option contracts

The premium received from writing a call or put option is recorded as a liability in the Statement of Financial Position.

When a written option expires, the ETF will realize a gain equal to the premium received. When a written option is closed, the ETF 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 ETF had purchased.

The gain or loss that the ETF realizes when a purchased or written option is expired or closed is recorded as “Net realized gain (loss)” in the Statement of Comprehensive Income.

Income recognitionDividend income and distributions from investment trust units are recognized on the ex-dividend and ex-distribution date, respectively.

Interest income from interest bearing investments is recognized in the Statement of Comprehensive Income using the effective interest rate. Interest receivable shown in the Statement of Financial Position is accrued based on the interest bearing investments’ stated rates of interest.

Interest on inflation-indexed bonds is 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 Comprehensive Income. If held to maturity, the ETF 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 income” in the Statement of Comprehensive Income.

Foreign currency translationThe fair value of investments and other assets and liabilities in foreign currencies are translated into the ETF’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 “Net realized gain (loss)” and unrealized foreign exchange gains (losses) are included in “Change in unrealized appreciation (depreciation)” in the Statement of Comprehensive Income. Foreign exchange gains and losses relating to cash, receivables and payables are included as "Foreign exchange gain (loss)".

Securities lendingAn ETF 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 Comprehensive Income and is recognized when earned. The market value of the securities loaned and collateral held is determined daily. Aggregate values of securities held in trust as at June 30, 2015, and December 31, 2014, where applicable, are disclosed in Note 8.

CashCash is comprised of cash and deposits with banks which include bankers’ acceptances and overnight demand deposits. Cash is recorded at amortized cost.

Other assets and other liabilitiesDividends receivable, interest receivable, distributions from investment trust units receivable, due from broker and subscriptions receivable, are initially measured at fair value and subsequently measured at amortized cost. Similarly, due to broker, redemptions payable and accrued expenses are measured at amortized cost. Other assets and liabilities are short-term in nature, and are carried at cost or amortized cost.

Increase or decrease in net assets attributable to holders of redeemable units“Increase (decrease) in net assets attributable to holders of redeemable units per unit” of a series in the Statement of Comprehensive Income, represents the increase (decrease) in net assets attributable to holders of redeemable units (“Net Assets”) of the series divided by the weighted average number of units of the series outstanding during the period.

TaxationThe ETF qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada). Distributions of all net taxable income and sufficient amounts of net realized capital gains for each taxation year will be paid to unitholders so that the ETF will not be subject to income tax. As a result, the ETF has determined that it is in substance not taxable and therefore does not record income taxes in the

Statement of Comprehensive Income nor does it recognize any deferred tax assets in the Statement of Financial Position.

The ETF may incur withholding taxes imposed by certain countries on investment income and capital gains. Such income and gains are recorded on a gross basis with the related withholding taxes shown as a separate expense in the Statement of Comprehensive Income.

Investments in subsidiaries, joint ventures and associatesSubsidiaries are entities over which the ETF has control through its exposure or rights to variable returns from its investment and has the ability to affect those returns through its power over the entity. The ETF has determined that it is an investment entity and as such, it accounts for subsidiaries at fair value. Joint ventures are those where the ETF exercises joint control through an agreement with other shareholders and associates are investments in which the ETF exerts significant influence over operating, investing, and financing decisions (such as entities in which the ETF owns 20% - 50% of voting shares), all of which have been designated at FVTPL.

Unconsolidated structured entitiesThe ETF has determined that the underlying funds in which the ETF invests are unconsolidated structured entities. This determination is based on the fact that decision making about the underlying funds is not governed by the voting right or other similar right held by the ETF, Similarly, investments in securitizations, asset-backed securities and mortgage-backed securities are determined to be interests in unconsolidated structured entities.

The ETF invests in underlying funds whose investment objectives range from achieving short – term to long-term income and capital growth potential. Underlying funds may use leverage in a manner consistent with their respective investment objectives and as permitted by Canadian securities regulatory authorities. Underlying funds finance their operations by issuing redeemable units which are puttable at the holders’



option and entitles the holder to a proportionate stake in the respective fund’s net assets. The change in fair value of each of the underlying funds during the periods is included in “Change in unrealized appreciation (depreciation) of investments” in the Statements of Comprehensive Income.

Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans.

Additional information on the ETF’s interest in unconsolidated structured entities, where applicable, is provided in Note 8.

Offsetting of financial assets and financial liabilities Financial instruments are presented at net or gross amounts on the Statement of Financial Position depending on the existence of intention and legal right to offset opposite positions of such instruments held with the same counterparties. Amounts offset in the Statement of Financial Position are transactions for which the ETF has legally enforceable rights to offset and intends to settle the positions on a net basis. Amounts not offset in the Statement of Financial Position relate to transactions where a master netting arrangement or similar agreement is in place with a right to offset only in the event of default, insolvency or bankruptcy, or where the ETF has no intention of settling on a net basis. There were no master netting arrangements during the periods.

Accounting standards issued but not yet adoptedBelow are accounting standards issued or amended but not yet effective and not yet adopted. The Manager does not expect the adoption of these standards or amendments to have a significant impact to the ETF’s financial statements.

In July 2014, the IASB issued the final version of IFRS 9 Financial Instruments, which addresses classification and measurement, impairment and hedge accounting.

The new standard requires assets to be carried at amortized cost, FVTPL or fair value through other comprehensive income based on the entity’s business model for managing financial assets and the contractual cash flow characteristics of the financial asset. The classification and measurement of liabilities remains generally unchanged with the exception of liabilities recorded at FVTPL. For these liabilities, fair value changes attributable to changes in the entity’s own credit risk are to be presented in other comprehensive income unless they affect amounts recorded in income.

The new standard also addresses impairment of financial assets. It also introduced a new hedge accounting model that expands the scope of eligible hedged items and risks eligible for hedge accounting, and aligns hedge accounting more closely with risk management.

The new standard is effective for the ETF for its fiscal year beginning January 1, 2018. The ETF is evaluating the impact of this standard on its financial statements.

4. Critical accounting judgements and estimates

The preparation of financial statements requires the use of judgement in applying the ETF’s accounting policies and to make estimates and assumptions about the future. The following discusses the most significant accounting judgements and estimates that the ETF has made in preparing its financial statements:

Accounting judgements:Functional and presentation currencyThe ETF unitholders are mainly Canadian residents, with the subscriptions and redemptions of the redeemable units denominated in Canadian dollars. The ETF invests in Canadian and U.S. dollars and other foreign denominated securities, as applicable. The performance of the ETF is measured and reported to the investors in Canadian dollars. The Manager considers the Canadian dollar as the currency that most faithfully represents the economic effects of the underlying transactions, events and conditions. The financial statements are presented in Canadian



dollars, which is the ETF's functional and presentation currency.

Classification of measurement of financial instruments and application of fair value optionIn classifying and measuring financial instruments held by the ETF, the Manager is required to make significant judgements about whether or not the business of the ETF is to invest on a total return basis for the purpose of applying the fair value options for financial assets.

Accounting estimates:Fair value measurement of securities not quoted in an active marketThe ETF has established policies and control procedures that are intended to ensure these judgements are well controlled, independently reviewed, and consistently applied from period to period. The estimates of the value of the ETF’s assets and liabilities are believed to be appropriate as at the reporting date.

The ETF may hold financial instruments that are not quoted in active markets. Note 3 discusses the policies used by the ETF for the estimates used in determining the fair value of such instruments.

5. Units and unit transactions

The redeemable units of the ETF are classified as liabilities.

The units have no par value and are entitled to distributions, if any. Upon redemption, a unit is entitled to a proportionate share of the ETF’s NAV. The ETF is required to pay distributions in an amount not less than the amount necessary to ensure the ETF will not be liable for income taxes. The ETF has no restrictions or specific capital requirements on the subscriptions and redemptions of units except as disclosed in Note 8. The relevant movements in redeemable units are shown in the Statement of Changes in Net Assets Attributable to Holders of Redeemable Units. In accordance with its investment objectives and strategies, and the risk management practices outlined in Note 7, the ETF endeavours

to invest the subscriptions received in appropriate investments, while maintaining sufficient liquidity to meet redemptions, with such liquidity being augmented by short-term borrowings or disposal of investments where necessary.

The ETF is authorized to issue an unlimited number of units of each class. On any trading day, a designated broker or underwriter may place a subscription or redemption order for an integral multiple of the prescribed number of units of the ETF. A trading day is each day on which the TSX is opened for business.

If the subscription or redemption order is accepted, the ETF will issue or redeem units to/from the designated broker or underwriter by no later than the third trading day after the date on which the subscription or redemption order is accepted. For each prescribed number of units issued or redeemed, a designated broker or underwriter must deliver or receive payment consisting of:

• A basket of applicable securities and cash in an amount sufficient so that the value of the securities, and the cash received is equal to the NAV of the units redeemed; or

• Cash in the amount equal to the NAV of the units redeemed.

On any trading day, unitholders may redeem units for cash or exchange units for baskets of securities and cash. Units redeemed for cash will be redeemed at a redemption price per unit equal to 95% of the closing price for the units on the TSX on the effective day of the redemption. Units exchanged for baskets of securities will be exchanged at a price equal to the NAV of the units on the effective date of the exchange request, payable by delivery of baskets of securities and cash. The units will be redeemed in the exchange.

Unitholders that redeem units prior to the distribution record date will not be entitled to receive the distribution.

The NAV per unit of a class for the purposes of subscription or redemption is computed by dividing the NAV of the ETF (that is, the total fair value of the



assets attributable to the class of the ETF less the liabilities attributable to the class) by the total number of units of the class of the ETF outstanding at such time.

6. Related party transactions(a) Management fees

The Manager is responsible for all other costs and expenses of the ETF, including the fees payable to the Custodian, Registrar and Transfer Agent and Plan Agent fees payable to other service providers, including the index providers retained by the Manager.

The ETF will pay the Manager a management fee as disclosed in Note 8 based on the NAV of the class of the ETF. The management fee, plus applicable taxes, will be accrued daily and paid quarterly in arrears. The Manager may, from time to time in its discretion, waive a portion of the management fee charged at any given time.

The Manager may agree to charge a reduced management fee it otherwise would be entitled to receive from the ETF with respect to investments in the ETF by certain unitholders. An amount equal to the difference between the fee otherwise chargeable and the reduced fee of the ETF will be distributed in cash to those unitholders as Management Fee Distributions.

(b) Other related party transactions

All expenses are recognized in the Statement of Comprehensive Income on the accrual basis.

The ETF is responsible for the costs and expenses incurred in complying with National Instruments 81-107 (including any expenses related to the implementation and on-going operation of an Independent Review Committee), brokerage expenses and commissions, income and withholding taxes as well as other applicable taxes, the costs of complying with any new governmental or regulatory requirement introduced after the date the ETF was established and extraordinary expenses.

From time to time, the Manager, may on behalf of the ETF enter into transactions or arrangements with or

involving subsidiaries and affiliates of the Bank of Montreal, or certain other persons or companies that are related or connected to the Manager of the ETF. These transactions or arrangements may include transactions or arrangements with subsidiaries and affiliates of the Bank of Montreal, BMO Nesbitt Burns Inc., BMO Investments Inc., BMO Private Investment Counsel Inc., BMO InvestorLine Inc., BMO Trust Company, or other investment funds offered by BMO and may involve the purchase or sale of portfolio securities through or from a subsidiary or affiliates of Bank of Montreal, the purchase or sale of securities issued or guaranteed by a subsidiary or affiliates of Bank of Montreal, entering into forward contracts with a subsidiary or affiliates of Bank of Montreal acting as counterparty, the purchase or redemption of units of other Bank of Montreal affiliated investment funds or the provision of services to the Manager.

BMO Nesbitt Burns Inc. is one of the designated brokers that have entered into an underwriting agreement with the Manager. As a Designated Broker, under the underwriting agreement, BMO Nesbitt Burns Inc. may subscribe for and or be issued units of the ETF by the Manager from time to time.

7. Financial instruments risks

The ETF’s activities expose it to a variety of risks associated with the financial instruments, as follows: market risk (including currency risk, interest rate risk and other market risk), credit risk and liquidity risk. The concentration table groups securities by asset type, geographic location and/or market segment. The ETF’s risk management practice focuses on processes and strategies to minimize the tracking error between the ETF’s performance and the performance of its relevant index.

(a) Currency risk

Currency risk is the risk that the value of financial instruments denominated in currencies, other than the functional currency of the ETF, 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 ETF’s functional currency in determining fair value. The ETF may enter into forward currency contracts for hedging purposes to reduce foreign currency exposure. The ETF’s exposure to currency risk, if any, is further disclosed in Note 8.

(b) Interest rate risk

Interest rate risk is the risk that the fair value of the ETF's interest-bearing investments will fluctuate due to changes in market interest rates. The ETF's exposure to interest rate risk is concentrated in its investment in debt securities (such as bonds, money market investments, 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 ETF's exposure to interest rate risk, if any, is further discussed in Note 8.

(c) Other market risk

Other 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 or market segment. The Manager moderates this risk through the use of investment strategies that seek to minimize the ETF’s tracking error versus a market index, within the parameters of the investment strategy. The maximum risk resulting from financial instruments is equivalent to its fair value.

The Manager monitors the ETF’s overall market positions on a daily basis and positions are maintained within established ranges. Other assets and liabilities are monetary items that are short-term in nature, and as such they are not subject to other market risk. The ETF's exposure to other market risk, if any, is further discussed in Note 8.

(d) Credit risk

Credit 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 ETF'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 ETF's exposure to credit risk, if any, is further discussed in Note 8.

The ETF 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 ETF must be at least 102% of the fair value of securities loaned, if any, as disclosed in Note 8.

(e) Liquidity risk

The ETF's exposure to liquidity risk is concentrated in the daily redemptions of units. Since the settlement of redemptions is primarily by delivery of securities, the ETF is not exposed to any significant liquidity risk. The ETF primarily invests in securities that are traded in active markets and can be readily disposed. In addition, the ETF retains sufficient cash and cash equivalent positions to maintain liquidity. The ETF may, from time to time, enter to 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 market quotation could not be obtained and may be illiquid are identified on the Schedule of Investment Portfolio. The proportion of illiquid securities to the NAV of the ETF 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 ETF's financial obligations.



8. ETF specific information(a) ETF information and change in units

The ETF was established on May 12, 2009. The Listed Units are listed on the TSX under the symbol ZDM.

Institutional Units are available to Accredited Investors only. A subscription agreement is required to purchase Institutional Units and must be received in a form satisfactory to the Manager before an investor’s initial subscription for Institutional Units may be accepted.

The last close price at June 30, 2015 was $19.82 (December 31, 2014 - $18.19).

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

For the periods ended (in thousands of units)

Jun. 30, 2015

Jun. 30, 2014

Listed UnitsUnits issued and outstanding,

beginning of period 38,613 41,655Units issued 7,903 4,300Redeemed during the period (300) (5,953)Units issued and outstanding,

end of period 46,216 40,002

Institutional UnitsUnits issued and outstanding,

beginning of period 0 —Units issued — 0Units issued and outstanding,

end of period 0 0

(b) Reconciliation of NAV to Net Assets

As at June 30, 2015 and December 31, 2014, there were no differences between the ETF’s NAV per unit and its Net Assets per unit calculated in accordance with IFRS.

(c) Increase (decrease) in net assets attributable to holders of redeemable units per unit

The increase (decrease) in net assets attributable to holders of redeemable units per unit for the periods ended June 30, 2015 and June 30, 2014 is calculated as follows:

Jun. 30, Jun. 30,For the periods ended 2015 2014

Listed Units


Weighted average units outstanding during the period 41,780 43,522

Increase in net assets attributable to holders of redeemable units per unit 1.56 0.56

Institutional Units

Increase in net assets attributable to holders of redeemable units 0 0

Weighted average units outstanding during the period 0 0

Increase in net assets attributable to holders of redeemable units per unit 1.78 0.74

(d) Income taxes

As at the tax year-ended December 2014, there were no capital and non-capital losses carried forward.

(e) Related party transactionsManagement fees

The Manager is entitled to receive a management fee of 0.200% (effective May 1, 2014, reduced from 0.350%) per annum of the NAV of the ETF, plus applicable taxes, accrued daily and paid quarterly in arrears.

Management fees for Institutional Units are paid directly to the Manager as negotiated with the investor.

The outstanding accrued management fees due to the Manager are included in “Accrued expenses” in the Statement of Financial Position and for the period ended June 30, 2015 amounted to $344 (December 31, 2014 - $335).

Brokerage commissions

Brokerage commissions paid (excluding transaction costs) on security transactions and amounts paid to related parties of the Manager for brokerage services provided to the ETF for the periods are as follows:

Jun. 30, 2015 Jun. 30, 2014For the periods ended ($) ($)

Total brokerage amounts paid 58 111Total brokerage amounts paid to

related parties 2 25

There were no ascertainable soft dollars paid or payable to dealers by the ETF during the periods.



(f) Financial instruments risks

The ETF’s objective is to replicate, to the extent possible, the performance of the MSCI EAFE 100% Hedged to CAD Index, net of expenses. The investment strategy of the ETF is to invest in and hold the constituent securities of the MSCI EAFE 100% Hedged to CAD Index in the same proportion as they are reflected in the MSCI EAFE 100% Hedged to CAD Index or securities intended to replicate the performance of that index.

No changes affecting the overall level of risk of investing in the ETF were made during the period.

Currency risk

The tables below summarize the ETF’s exposure to currency risk. Amounts shown are based on the carrying value of monetary and non-monetary assets (including derivatives and the underlying principle (notional) amount of forward currency contracts, if any).

As at Jun. 30, 2015

Currency

Cash and other current receivables & payables

($)

Invest- ments

(monetary & non-monetary)

($)


($)

Net currency exposure

($)

As a % of net assets

(%)

Australian Dollar 597 62,973 (63,401) 169 0.0Danish Krone 2 15,074 (15,452) (376) 0.0Euro 726 274,528 (280,918) (5,664) (0.6)Hong Kong Dollar 133 30,049 (30,205) (23) 0.0Israel Shekel 25 4,944 (5,153) (184) 0.0Japanese Yen 1,401 211,680 (214,084) (1,003) (0.1)Norwegian Krone 15 6,547 (6,705) (143) 0.0Pound Sterling 1,145 184,708 (189,263) (3,410) (0.4)Singapore Dollar 74 13,571 (13,738) (93) 0.0Swedish Krona 40 27,231 (27,801) (530) (0.1)Swiss Franc 71 84,633 (86,386) (1,682) (0.2)U.S. Dollar 374 – – 374 0.0

Total 4,603 915,938 (933,106) (12,565) (1.4)

All amounts in Canadian dollars

As at Dec. 31, 2014

Currency

Cash and other current receivables & payables

($)

Invest- ments

(monetary & non-monetary)

($)


($)

Net currency exposure

($)

As a % of net assets

(%)

Australian Dollar 520 52,287 (52,418) 389 0.1Danish Krone 12 10,550 (10,506) 56 0.0Euro 343 215,857 (216,327) (127) 0.0Hong Kong Dollar 29 21,518 (21,685) (138) 0.0Israel Shekel 42 4,109 (3,825) 326 0.0Japanese Yen 370 149,017 (149,740) (353) (0.1)New Zealand Dollar – 43 – 43 0.0Norwegian Krone 54 4,340 (4,616) (222) 0.0Pound Sterling 658 148,762 (147,680) 1,740 0.2Singapore Dollar 32 11,529 (11,905) (344) 0.0Swedish Krona 35 21,874 (21,507) 402 0.1Swiss Franc 4 67,132 (66,396) 740 0.1U.S. Dollar 79 65 – 144 0.0

Total 2,178 707,083 (706,605) 2,656 0.4

All amounts in Canadian dollars

As at June 30, 2015 and December 31, 2014, if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, with all factors remaining constant, Net Assets could possibly have increased or decreased, respectively, by approximately $628 (December 31, 2014 — $133). In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Interest rate risk

As at June 30, 2015 and December 31, 2014, the ETF did not have any significant exposure to interest rate risk.

Other market risk

The ETF has a significant exposure to other market risk arising from its investment in equity securities. Using historical correlation between the ETF's return and the return of its Benchmark, if the Benchmark, MSCI EAFE 100% Hedged to CAD Index, had increased or decreased by 10%, with all other variables held constant, the Net Assets of the ETF would have increased or decreased, respectively, by $81,273 (December 31, 2014 -$68,570). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.



Credit risk

As at June 30, 2015 and December 31, 2014, the ETF did not have any significant exposure to credit risk.

Securities lending

The ETF had assets involved in securities lending transactions outstanding as at June 30, 2015 and December 31, 2014 as follows:

Aggregate Value of Securities on Loan

($)

Aggregate Value of Collateral Received for the Loan

($)

Jun. 30, 2015 26,930 28,807Dec. 31, 2014 35,250 37,241

Concentration risk

The following is a summary of the ETF's concentration risk:

As atJun. 30,

2015Dec. 31,

2014

EquitiesAustralia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.5%. . . . . . . . . . . . . . . . 6.1%Austria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1%. . . . . . . . . . . . . . . . 0.2%Belgium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.9%. . . . . . . . . . . . . . . . 1.0%Denmark . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.0%. . . . . . . . . . . . . . . . 1.2%Finland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.6%. . . . . . . . . . . . . . . . 0.8%France . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.9%. . . . . . . . . . . . . . . . 7.7%Germany . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.8%. . . . . . . . . . . . . . . . 7.6%Greece . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —%. . . . . . . . . . . . . . . . 0.1%Hong Kong . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.0%. . . . . . . . . . . . . . . . 2.4%Ireland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.3%. . . . . . . . . . . . . . . . 0.3%Israel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.3%. . . . . . . . . . . . . . . . 0.5%Italy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.4%. . . . . . . . . . . . . . . . 1.8%Japan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14.9%. . . . . . . . . . . . . . . 17.4%Luxembourg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2%. . . . . . . . . . . . . . . . 0.3%Macau . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1%. . . . . . . . . . . . . . . . 0.1%Netherlands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.0%. . . . . . . . . . . . . . . . 4.0%Norway . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.4%. . . . . . . . . . . . . . . . 0.5%Portugal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —%. . . . . . . . . . . . . . . . . . —%Singapore . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.0%. . . . . . . . . . . . . . . . 1.4%South Africa . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —%. . . . . . . . . . . . . . . . . . —%Spain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.2%. . . . . . . . . . . . . . . . 2.9%Sweden. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.9%. . . . . . . . . . . . . . . . 2.6%Switzerland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.2%. . . . . . . . . . . . . . . . 8.2%United Kingdom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.7%. . . . . . . . . . . . . . . 15.8%

Exchange Traded Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37.2%. . . . . . . . . . . . . . . 17.8%

Other Assets Less Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.6)%. . . . . . . . . . . . . . (0.7)%

....................................... . . . . . . . . . . . . . 100.0%.. . . . . . . . . . . . 100.0%

(g) Financial assets and financial liabilitiesCategories of financial assets and financial liabilities

The table below shows the categories of financial assets and financial liabilities:

Jun. 30, Dec. 31,As at 2015 2014

Financial assets designated at FVTPL 925,083 706,755

Financial assets held for trading 947 8,254

Loans and receivables 5,222 2,200

Financial liabilities held for trading 17,183 6,342

Financial liabilities measured at amortized cost 7,673 11,905

Net gains and losses on financial assets and financial liabilities at fair value

Jun. 30, Jun. 30,For the periods ended 2015 2014

Net realized gains (losses) on financial assets

Designated at FVTPL 34,119 36,690

34,119 36,690

Net realized gains (losses) on financial liabilities

Held for trading (14,538) (21,944)

Total net realized gains (losses) on financial assets and financial liabilities 19,581 14,746

Change in unrealized gains (losses) on financial assets

Held for trading — 7,519

Designated at FVTPL 66,319 5,848

66,319 13,367

Change in unrealized gains (losses) on financial liabilities

Held for trading (18,148) —

Total change in net unrealized gains (losses) on financial assets and financial liabilities 48,171 13,367

(h) Fair value hierarchy

The ETF classifies its financial instruments into three levels based on the inputs used to value the financial instruments. Level 1 securities are valued based on 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 observable 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 Jun. 30, 2015

Financial assets Level 1 Level 2 Level 3 Total

Equity Securities 1,442 585,092 — 586,534Derivatives — 947 — 947Investment Funds 338,549 — — 338,549Total 339,991 586,039 — 926,030

Financial liabilities

Derivatives — (17,183) — (17,183)

As at Dec. 31, 2014

Financial assets Level 1 Level 2 Level 3 Total

Equity Securities 3,263 578,682 — 581,945Derivatives — 8,254 — 8,254Investment Funds 124,810 — — 124,810Total 128,073 586,936 — 715,009

Financial liabilities

Derivatives — (6,342) — (6,342)

Transfers between levels

There were no transfers between the levels during the periods.

(i) Unconsolidated structured entities

Information on the carrying amount and the size of the investments in structured entities is shown in the table below.

As at Jun. 30, 2015 Carrying amount

Carrying amount as a percentage

of the underlying fund's net assets

Securities

BMO MSCI EAFE Index ETF . . . . . . . . . . . . . . . . . . . . 338,549... . . . . . . . . . . . . . 59.3%

Total 338,549

As at Dec. 31, 2014 Carrying amount

Carrying amount as a percentage

of the underlying fund's net assets

Securities

BMO MSCI EAFE INDEX ETF . . . . . . . . . . . . . . . . . . . 124,810... . . . . . . . . . . . . . 52.2%

Total 124,810

The ETF does not provide and has not committed to providing any additional significant financial information or other support to the unconsolidated structured entities other than its investment in the unconsolidated structured entities. During the periods, the ETF had no unsponsored unconsolidated structured entities.

® “BMO (M-bar roundel symbol)” is a registered trade-mark of Bank of Montreal.

BMO ETFs are managed by BMO Asset Management Inc., an investment counsel firm and separate entity from Bank of Montreal.

BMO Asset Management Inc.First Canadian Place, 43rd Floor100 King Street WestToronto, Ontario M5X 1A1

www.bmo.com/etfsFor more information please call 1-800-361-1392

Independent AuditorPricewaterhouseCoopers LLPPwC Tower 18 York Street, Suite 2600Toronto, Ontario M5J 0B2

Documents

June 30, 2015 - BMO · 2015. 8. 28. · BMO MSCI EAFE Hedged to CAD Index ETF (unaudited) The accompanying notes are an integral part of these financial statements. Statement of Cash