Unaudited Semi-Annual Report – 30 June 2015 JPMorgan...

Unaudited Semi-Annual Report – 30 June 2015

JPMorgan Investment FundsSICAV Range

“This report is an abridged version of the unaudited semi-annual report established in conformity with the Luxembourg Law of 17 December 2010 on Undertakings for Collective Investment. The full version is available on request from the Company’s registered office in Luxembourg or the Singapore Representative*.

This report does not constitute an offer or sale or invitation for subscription or purchase of shares, which must be accompanied with the relevant current Singapore prospectus (which is not valid without the relevant current Luxembourg prospectus) and the relevant product highlights sheets. These documents are available free of charge on request from appointed Singapore distributors or the Singapore Representative.

Certain of the sub-funds of the Fund are not authorised for offer or distribution in or to Singapore. Accordingly, no reference is made to these sub-funds in this unaudited semi-annual report. The attention of the investors is drawn to the fact that certain figures in this unaudited semi-annual report are expressed on a consolidated basis and, thus, include the assets of those sub-funds which are not authorised for offer or distribution in or to Singapore.

* The Singapore Representative is JPMorgan Asset Management (Singapore) Limited, 168 Robinson Road, 17th Floor, Capital Tower, Singapore 068912, telephone number: (65) 6882 1328.”

JPMorgan Investment Funds

Unaudited Semi-Annual Report

As at 30 June 2015

Contents

Board of Directors 1

Management and Administration 2

Unaudited Financial Statements and Statistical InformationCombined Statement of Net Assets 3

Combined Statement of Operations and Changes in Net Assets 4

Statement of Changes in the Number of Shares 5

Statistical Information 8

Notes to the Unaudited Financial Statements 11

Schedules of InvestmentsJPMorgan Investment Funds - Global Convertibles Fund (USD) 22

JPMorgan Investment Funds - Global Financials Fund 27

JPMorgan Investment Funds - Global High Yield Bond Fund 30

JPMorgan Investment Funds - Global Income Fund 38

JPMorgan Investment Funds - Income Opportunity Fund 69

JPMorgan Investment Funds - Japan Strategic Value Fund 91

Appendix - Unaudited Additional DisclosuresFund Total Expense Ratios 94

Summary of Investment Objectives of the Sub-Funds 97

Performance and Volatility 98

Interest Rate Received/(Charged) on Bank Accounts 101

Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01% 102

Portfolio Turnover Ratio 103

Calculation Method of the Risk Exposure 103

Collateral 104

Historical Statements of Changes in the Number of Shares 105


Board of Directors

Chairman

Iain O.S. SaundersDuine, ArdfernArgyll PA31 8QNUnited Kingdom

Directors

Jacques ElvingerElvinger, Hoss & Prussen2, place Winston ChurchillB.P. 425L-2014 LuxembourgGrand Duchy of Luxembourg

Jean FrijnsAntigonelaan 2NL-5631 LR EindhovenThe Netherlands

Daniel J. WatkinsJPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y 0JPUnited Kingdom

Registered Office

6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

John Li How CheongThe Directors’ Office19, rue de BitbourgL-1273 LuxembourgGrand Duchy of Luxembourg

Peter Thomas SchwichtBirkenweg 761118 Bad VilbelGermany

Massimo Greco (from 24 April 2015)JPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y OJPUnited Kingdom

1


Management and Administration

Management Company, Registrar and Transfer Agent,Global Distributor and Domiciliary Agent

JPMorgan Asset Management (Europe) S.à r.l.6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Investment Managers

J.P. Morgan Investment Management Inc.245 Park AvenueNew York, NY 10167United States of America

JPMorgan Asset Management (Japan) LimitedTokyo Building 7-3Marunouchi 2-Chome, Chiyoda-KuTokyo 100-6432Japan

JPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y 0JPUnited Kingdom

JF Asset Management Limited21st Floor, Chater House8 Connaught Road CentralHong Kong

JPMorgan Asset Management (Singapore) Limited168 Robinson Road17th Floor, Capital TowerSingapore 068912

Custodian, Corporate and Administrative Agent

J.P. Morgan Bank Luxembourg S.A.6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Auditor

PricewaterhouseCoopers, Société coopérative2, rue Gerhard MercatorB.P. 1443L-1014 LuxembourgGrand Duchy of Luxembourg

Legal Adviser

Elvinger, Hoss & Prussen2, place Winston ChurchillB.P. 425L-2014 LuxembourgGrand Duchy of Luxembourg

22


Combined Statement of Net Assets

As at 30 June 2015

JPMorganInvestment Funds

CombinedUSD

GlobalConvertibles

Fund (USD)USD

GlobalFinancials

FundUSD

GlobalHigh Yield Bond

FundUSD

GlobalIncome

FundEUR

IncomeOpportunity

FundUSD

JapanStrategic Value

FundJPY

AssetsInvestments in Securities at Market Value 43,660,450,401 1,085,097,363 228,718,404 6,429,037,043 14,460,743,167 6,629,153,203 51,499,254,750Acquisition Cost: 40,935,685,404 1,093,914,050 195,526,120 6,595,917,941 13,229,707,736 6,716,080,596 44,609,052,645Investment in TBAs at Market Value * 31,284,787 - - - - 17,644,120 -Cash at Bank and at Brokers 481,258,322 66,989 2,134,258 3,795,567 8,234,972 277,378,448 598,189,245Amounts Receivable on Sale of Investments 74,527,457 145,515 8,140 4,106,068 22,257,394 9,036,798 632,090,928Amounts Receivable on Sale of TBAs * 19,669,019 - - - - 19,669,019 -Amounts Receivable on Subscriptions 222,189,544 31,160,014 4,544,674 7,978,718 78,533,444 12,241,612 963,949,626Interest and Dividends Receivable, Net 323,984,978 2,731,172 883,013 105,385,833 119,006,087 52,137,208 13,011,117Tax Reclaims Receivable 13,501,112 47,548 33,490 - 3,822,279 266,885 -Fee Waiver** 171,620 17 - 16 54,865 25,634 -Other Receivables 176,219 146 - - - - 1,214,643Unrealised Net Gain on Forward Foreign Exchange Contracts 10,626,586 - 63,323 - - 6,746,536 -Unrealised Net Gain on Financial Futures Contracts 397,202 - - - - - -Derivatives Instruments at Market Value 7,718,562 - - 5,308,729 - - -Total Assets 44,845,955,809 1,119,248,764 236,385,302 6,555,611,974 14,692,652,208 7,024,299,463 53,707,710,309

LiabilitiesBank and Broker Overdraft 11,699,576 - - 2,056,558 335,162 3,810,800 -Open Short Positions on TBAs * 19,649,419 - - - - 19,649,419 -Amounts Payable on Purchase of Investments 139,037,057 337,125 2,191,698 33,153,013 60,746,866 11,169,556 239,775,763Amounts Payable on Purchase of TBAs * 31,316,816 - - - - 17,669,053 -Amounts Payable on Redemptions 162,360,213 1,337,849 645,779 15,359,563 28,542,786 73,169,135 72,232,501Management and Advisory Fees Payable 40,265,473 1,091,690 297,170 4,332,727 14,447,160 4,792,053 51,731,678Distribution Fees Payable 1,602,780 23,528 4,002 30,919 948,507 74,013 908,432Performance Fees 3,319,556 - - - - 3,319,556 -Other Payables*** 5,105,614 109,519 10,054 1,087,265 1,661,822 654,108 7,489,040Unrealised Net Loss on Forward Foreign Exchange Contracts 179,557,748 619,032 - 12,115,178 130,161,355 - 45,535,747Unrealised Net Loss on Financial Futures Contracts 23,883,679 - - - 18,970,975 882,451 -Derivatives Instruments at Market Value 22,869,110 - - - - 22,513,669 -Total Liabilities 640,667,041 3,518,743 3,148,703 68,135,223 255,814,633 157,703,813 417,673,161

Total Net Assets 44,205,288,768 1,115,730,021 233,236,599 6,487,476,751 14,436,837,575 6,866,595,650 53,290,037,148

Historical Total Net Assets31 December 2014 41,156,241,799 1,043,508,307 233,816,461 6,877,235,922 10,281,961,627 7,628,441,050 59,119,065,21431 December 2013 34,107,235,495 721,178,629 301,912,328 6,075,476,844 5,028,938,977 10,081,698,159 62,358,495,774

* Please refer to Note 2 i).** Please refer to Note 3 a).*** Other Payables are principally comprised of Directors’ fees, audit and tax related fees, registration, publication, mailing, printing, legal and marketing expenses.

The accompanying notes form an integral part of these Financial Statements.

3


Combined Statement of Operations and Changes in Net Assets

For the Period from 1 January 2015 to 30 June 2015

JPMorganInvestment Funds

CombinedUSD

GlobalConvertibles

Fund (USD)USD

GlobalFinancials

FundUSD

GlobalHigh Yield Bond

FundUSD

GlobalIncome

FundEUR

IncomeOpportunity

FundUSD

JapanStrategic Value

FundJPY

Net Assets at the Beginning of the Period * 39,604,634,298 1,043,508,307 233,816,461 6,877,235,922 10,281,961,627 7,628,441,050 59,119,065,214

IncomeDividend Income, Net 347,977,712 138,599 3,078,993 - 133,104,432 2,170,001 445,572,051Interest Income, Net 520,074,180 5,346,651 2,826 192,584,589 159,864,377 132,372,779 -Securities Lending Income 1,498,415 - - - - - -Bank Interest 92,564 - 488 1,258 38,793 6,515 20,693Interest on Swap Transactions 10,605,318 - - 3,107,417 - 7,448,001 -

Total Income 880,248,189 5,485,250 3,082,307 195,693,264 293,007,602 141,997,296 445,592,744

ExpensesManagement and Advisory Fees 234,556,045 6,596,702 1,253,752 26,843,016 81,251,202 29,189,427 262,307,504Distribution Fees 4,903,176 71,740 12,120 93,733 2,875,083 227,621 2,524,990Custodian, Corporate, Administration and Domiciliary AgencyFees 7,646,606 292,675 77,738 885,256 1,851,080 1,031,911 20,138,615Registrar and Transfer Agency Fees 1,603,727 41,241 25,228 122,346 328,013 259,696 3,627,742Taxe d’abonnement 9,600,270 205,600 53,894 1,377,670 3,269,323 1,453,743 9,890,510Overdraft Interest 101,212 5,594 22 6,665 5,570 7,822 129,456Interest on Swap Transactions 10,461,002 - - 2,667 - 9,834,253 -Sundry Fees** 10,746,181 107,689 83,356 4,168,230 3,310,039 770,723 11,163,424

279,618,219 7,321,241 1,506,110 33,499,583 92,890,310 42,775,196 309,782,241

Less: Fee Waiver *** 1,758,997 663 1,161 974 740,397 156,263 568,794

Total Expenses before Performance Fees 277,859,222 7,320,578 1,504,949 33,498,609 92,149,913 42,618,933 309,213,447

Performance Fees 3,329,503 - - - - 3,319,556 -

Total Expenses 281,188,725 7,320,578 1,504,949 33,498,609 92,149,913 45,938,489 309,213,447

Net Investment Income/(Loss) 599,059,464 (1,835,328) 1,577,358 162,194,655 200,857,689 96,058,807 136,379,297

Net Realised Gain/(Loss) on Sale of Investments 1,157,574,447 14,620,989 6,468,805 (6,270,003) 349,029,314 31,486,124 7,393,682,943Net Realised Gain/(Loss) on Forward Foreign ExchangeContracts (1,018,479,810) 31,197,911 (1,405,902) (89,233,026) (496,393,023) (336,810,516) (347,853,654)Net Realised Gain/(Loss) on Financial Futures Contracts (36,874,046) (755,516) - - (32,034,489) (7,220,574) -Net Realised Gain/(Loss) on Foreign Exchange 74,660,692 615,600 (40,389) (666,667) 57,088,319 633,084 (108,773)Net Realised Gain/(Loss) on TBAs (3,840,515) - - - - (3,974,855) -Net Realised Gain/(Loss) on Derivatives Instruments (33,026,483) - - (2,473,111) - (29,344,119) -

Net Realised Gain/(Loss) for the Period 140,014,285 45,678,984 5,022,514 (98,642,807) (122,309,879) (345,230,856) 7,045,720,516

Net Change in Unrealised Gain/(Loss) on Investments 368,717,239 (9,549,268) (790,926) (37,131,416) 354,293,344 (39,725,818) (1,201,996,717)Net Change in Unrealised Gain/(Loss) on Forward ForeignExchange Contracts (11,725,910) (8,351,216) 342,736 2,296,618 (41,029,301) 53,546,306 51,789,778Net Change in Unrealised Gain/(Loss) on Financial FuturesContracts (24,720,427) 57,600 - - (20,225,999) 174,402 -Net Change in Unrealised Gain/(Loss) on Foreign Exchange (63,574,381) 58,567 (4,523) 30,825 (56,070,355) (108,258) 993,855Net Change in Unrealised Gain/(Loss) on TBAs 401,662 - - - - 460,104 -Net Change in Unrealised Gain/(Loss) on DerivativesInstruments (1,356,839) - - 6,780,334 - (9,362,186) -

Net Change in Unrealised Gain/(Loss) for the Period 267,741,344 (17,784,317) (452,713) (28,023,639) 236,967,689 4,984,550 (1,149,213,084)

Increase/(Decrease) in Net Assets as a Result of Operations 1,006,815,093 26,059,339 6,147,159 35,528,209 315,515,499 (244,187,499) 6,032,886,729

Movements in Share CapitalSubscriptions 16,247,496,650 340,987,757 66,998,577 1,866,438,384 6,669,517,119 1,583,416,032 34,119,587,425Redemptions (12,155,655,520) (294,688,335) (73,465,625) (2,123,597,905) (2,608,746,468) (2,074,501,458) (45,979,662,101)

Increase/(Decrease) in Net Assets as a Result of Movementsin Share Capital 4,091,841,130 46,299,422 (6,467,048) (257,159,521) 4,060,770,651 (491,085,426) (11,860,074,676)

Dividend Distribution (498,001,753) (137,047) (259,973) (168,127,859) (221,410,202) (26,572,475) (1,840,119)

Net Assets at the End of the Period 44,205,288,768 1,115,730,021 233,236,599 6,487,476,751 14,436,837,575 6,866,595,650 53,290,037,148

* The opening balance was combined using the foreign exchange rate as at 30 June 2015. The same net assets when combined using the foreign exchange ruling as at 31 December 2014 reflecteda figure of USD 41,156,241,799.** Sundry Fees are principally comprised of Directors’ fees, audit and tax related fees, registration, publication, mailing and printing fees, as well as legal and marketing expenses.*** Please refer to Note 3a).


4


Statement of Changes in the Number of Shares (continued)


Shares Outstandingat the Beginning

of the Period Shares Subscribed Shares Redeemed

Shares Outstandingat the End

of the Period

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 2,796,213.940 488,184.768 684,558.259 2,599,840.449JPMorgan Global Convertibles (USD) A (acc) - SGD (hedged) 677,564.298 2,633.103 559,418.231 120,779.170JPMorgan Global Convertibles (USD) A (acc) - USD 57,951.688 6,661.240 29,442.019 35,170.909JPM Global Convertibles (USD) A (dist) - USD 389,349.594 44,454.896 22,743.334 411,061.156JPM Global Convertibles (USD) A (mth) - USD 100,149.271 86,031.662 61,933.888 124,247.045JPM Global Convertibles (USD) B (acc) - USD 876,352.005 554,163.536 188,731.687 1,241,783.854JPM Global Convertibles (USD) B (mth) - USD 25,905.596 110.000 - 26,015.596JPM Global Convertibles (USD) C (acc) - USD 638,699.035 309,739.085 420,411.825 528,026.295JPM Global Convertibles (USD) D (acc) - USD 311,617.656 61,914.568 86,384.556 287,147.668JPM Global Convertibles (USD) D (mth) - USD 76,543.883 3,924.385 7,459.261 73,009.007JPM Global Convertibles (USD) I (acc) - USD 1,445,476.128 639,424.190 255,027.595 1,829,872.723JPM Global Convertibles (USD) X (acc) - USD 1,944.007 811.807 666.743 2,089.071

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - EUR 287,737.792 48,700.156 117,058.234 219,379.714JPM Global Financials A (acc) - SGD 43,420.352 102,686.280 26,254.495 119,852.137JPM Global Financials A (acc) - USD 994,638.863 317,395.929 330,243.394 981,791.398JPM Global Financials A (dist) - USD 123,785.194 26,102.660 34,093.221 115,794.633JPM Global Financials B (acc) - EUR 284,479.000 12,803.000 22,796.000 274,486.000JPM Global Financials B (acc) - USD 870,868.134 61,992.930 77,685.801 855,175.263JPM Global Financials C (acc) - USD 126,908.362 113,853.474 109,388.710 131,373.126JPM Global Financials C (dist) - USD 158,219.074 1,210.992 9,438.000 149,992.066JPM Global Financials D (acc) - USD 44,168.363 5,316.246 10,877.171 38,607.438

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - AUD (hedged) 187,585.398 197,562.021 103,861.942 281,285.477JPM Global High Yield Bond A (acc) - CHF (hedged) 9,626.194 1,150.000 1,939.183 8,837.011JPM Global High Yield Bond A (acc) - EUR (hedged) 530,060.577 101,881.808 183,494.534 448,447.851JPM Global High Yield Bond A (acc) - HUF (hedged) 27,747.551 4,365.030 8,768.246 23,344.335JPM Global High Yield Bond A (acc) - USD 3,572,300.479 1,301,510.292 1,641,731.412 3,232,079.359JPM Global High Yield Bond A (dist) - USD 53,417.973 56,392.872 18,138.119 91,672.726JPM Global High Yield Bond A (inc) - EUR (hedged) 805,425.660 87,106.913 303,115.902 589,416.671JPM Global High Yield Bond A (irc) - AUD (hedged) 69,722,954.953 13,204,296.580 18,285,281.059 64,641,970.474JPM Global High Yield Bond A (irc) - CAD (hedged) 766,025.153 537,685.941 194,179.457 1,109,531.637JPM Global High Yield Bond A (irc) - NZD (hedged) 138,088.649 31,039.894 31,585.395 137,543.148JPM Global High Yield Bond A (irc) - RMB (hedged) 336,440.061 224,388.623 - 560,828.684JPM Global High Yield Bond A (mth) - HKD 71,840,895.975 10,001,755.874 22,447,304.129 59,395,347.720JPM Global High Yield Bond A (mth) - SGD 599,457.862 37,940.614 162,741.615 474,656.861JPM Global High Yield Bond A (mth) - USD 35,228,191.909 6,941,716.769 10,882,971.504 31,286,937.174JPM Global High Yield Bond B (acc) - EUR (hedged) 132,306.898 18,771.881 34,837.636 116,241.143JPM Global High Yield Bond B (acc) - USD 385,651.836 229,324.993 146,464.901 468,511.928JPM Global High Yield Bond B (dist) - EUR (hedged) 13,562.116 2,150.000 2,620.000 13,092.116JPM Global High Yield Bond B (mth) - USD 299,846.302 239,572.989 0.009 539,419.282JPM Global High Yield Bond C (acc) - EUR (hedged) 633,795.985 481,290.083 200,016.308 915,069.760JPM Global High Yield Bond C (acc) - PLN (hedged) 146,431.267 - 77,723.362 68,707.905JPM Global High Yield Bond C (acc) - USD 1,878,139.668 1,874,874.827 986,496.415 2,766,518.080JPM Global High Yield Bond C (dist) - GBP (hedged) - 487,290.282 1,773.000 485,517.282JPM Global High Yield Bond C (dist) - USD 431,538.381 115,412.837 210,393.381 336,557.837JPM Global High Yield Bond C (div) - EUR (hedged) 26,185.606 - - 26,185.606JPM Global High Yield Bond C (inc) - EUR (hedged) 77,278.702 15,385.000 - 92,663.702JPM Global High Yield Bond C (mth) - USD 96,586.674 571.280 - 97,157.954JPM Global High Yield Bond D (acc) - EUR (hedged) 231,144.630 16,434.414 73,038.236 174,540.808JPM Global High Yield Bond D (acc) - PLN (hedged) 15,123.952 32,028.135 34,139.530 13,012.557JPM Global High Yield Bond D (acc) - USD 77,760.267 16,977.454 39,468.516 55,269.205JPM Global High Yield Bond D (div) - EUR (hedged) 533,021.048 158,653.114 121,020.392 570,653.770JPM Global High Yield Bond I (acc) - EUR (hedged) 773,759.328 257,603.800 160,490.735 870,872.393JPM Global High Yield Bond I (acc) - USD 1,910,257.629 881,753.317 501,942.750 2,290,068.196JPM Global High Yield Bond I (dist) - EUR (hedged) 161,037.355 9,413.381 138,555.726 31,895.010JPM Global High Yield Bond I (dist) - GBP (hedged) - 15.746 - 15.746JPM Global High Yield Bond I (dist) - USD 127,784.917 35,893.264 11,620.655 152,057.526JPM Global High Yield Bond P (dist) - USD* - 1,000.000 1,000.000 -JPM Global High Yield Bond I (inc) - EUR (hedged) 1,006,273.219 320,736.200 477,490.570 849,518.849JPM Global High Yield Bond I (mth) - USD 2,465,939.737 7,870.824 47,306.127 2,426,504.434JPM Global High Yield Bond T (acc) - EUR (hedged) 14,190.632 4,194.335 2,960.041 15,424.926JPM Global High Yield Bond X (acc) - EUR (hedged) 1,340,798.128 302,162.327 154,920.000 1,488,040.455JPM Global High Yield Bond X (acc) - USD 1,999,741.312 181,507.180 630,968.590 1,550,279.902

5







of the Period

JPMorgan Investment Funds - Global Income FundJPM Global Income A (acc) - AUD (hedged) 439,657.551 2,775,985.115 634,383.925 2,581,258.741JPM Global Income A (acc) - CHF (hedged) 123,628.596 49,213.947 11,261.617 161,580.926JPM Global Income A (acc) - EUR 5,423,885.031 3,932,987.810 2,091,675.752 7,265,197.089JPM Global Income A (acc) - SGD (hedged) - 134.160 - 134.160JPM Global Income A (acc) - USD (hedged) 4,034,639.607 4,035,609.581 1,545,745.516 6,524,503.672JPM Global Income A (dist) - GBP (hedged) - 7,114.984 - 7,114.984JPM Global Income A (div) - CHF (hedged) 5,509.703 8,384.392 783.000 13,111.095JPM Global Income A (div) - EUR 18,119,601.035 5,587,052.760 1,649,567.508 22,057,086.287JPM Global Income A (div) - SGD 1,030,211.541 257,956.622 320,822.439 967,345.724JPM Global Income A (div) - SGD (hedged) 1,796,027.999 1,702,844.507 69,826.081 3,429,046.425JPM Global Income A (div) - USD (hedged) 2,710,927.487 2,819,396.748 742,490.270 4,787,833.965JPM Global Income A (inc) - EUR 2,451,384.757 1,185,877.225 104,879.118 3,532,382.864JPM Global Income A (irc) - AUD (hedged) 42,431,192.552 46,447,356.996 19,969,417.852 68,909,131.696JPM Global Income A (irc) - CAD (hedged) - 24,912.483 - 24,912.483JPM Global Income A (irc) - RMB (hedged) 2,073,239.258 21,676,149.739 194,351.158 23,555,037.839JPM Global Income A (mth) - EUR - 361,723.749 - 361,723.749JPM Global Income A (mth) - GBP (hedged) - 91,449.082 - 91,449.082JPM Global Income A (mth) - SGD (hedged) 17,889,125.619 18,429,468.662 3,625,860.769 32,692,733.512JPM Global Income A (mth) - USD (hedged) 10,238,745.864 13,515,076.289 5,299,834.543 18,453,987.610JPM Global Income B (acc) - EUR 177,314.431 279,742.556 179,848.654 277,208.333JPM Global Income B (acc) - USD (hedged) 291,399.789 943,323.545 39,690.553 1,195,032.781JPM Global Income B (dist) - GBP (hedged) 46,103.281 37,873.462 2,587.638 81,389.105JPM Global Income B (dist) - USD (hedged) 16,123.283 4,568.986 10,605.115 10,087.154JPM Global Income B (div) - EUR 316,472.785 147,478.303 35,834.907 428,116.181JPM Global Income B (div) - USD (hedged) 354,568.950 168,848.779 289,366.779 234,050.950JPM Global Income B (mth) - USD (hedged) 90,973.145 39,806.001 2,775.132 128,004.014JPM Global Income C (acc) - EUR 4,260,500.221 2,761,656.641 1,361,621.113 5,660,535.749JPM Global Income C (div) - EUR 1,347,364.038 1,161,187.945 860,822.421 1,647,729.562JPM Global Income C (div) - USD (hedged) 318,999.218 607,985.204 346,700.641 580,283.781JPM Global Income D (acc) - EUR 4,004,760.511 1,290,096.356 796,302.936 4,498,553.931JPM Global Income D (acc) - USD (hedged) 578,600.799 300,897.708 47,378.368 832,120.139JPM Global Income D (div) - EUR 15,045,032.625 3,584,405.588 2,172,503.955 16,456,934.258JPM Global Income D (div) - USD (hedged) 70,354.317 67,242.888 11,666.820 125,930.385JPM Global Income D (mth) - USD (hedged) 516,238.888 390,136.727 46,984.017 859,391.598JPM Global Income I (acc) - EUR 74,980.000 48,211.000 253.000 122,938.000JPM Global Income I (mth) - JPY (hedged) 2,296.443 1,213,897.049 - 1,216,193.492JPM Global Income T (div) - EUR 2,785,257.118 516,086.152 309,178.349 2,992,164.921JPM Global Income X (div) - EUR 1,665,280.000 32,565.000 12,355.000 1,685,490.000JPM Global Income X (irc) - AUD (hedged) 54,613.141 2,090.425 - 56,703.566

JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (perf) (dist) - EUR (hedged) - 11.422 - 11.422JPM Income Opportunity A (perf) (acc) - CHF (hedged) 1,574,956.497 84,428.064 368,605.265 1,290,779.296JPM Income Opportunity A (perf) (acc) - EUR (hedged) 9,041,163.520 4,135,485.611 3,418,434.765 9,758,214.366JPM Income Opportunity A (perf) (acc) - SEK (hedged) 374,528.735 88,917.919 113,913.876 349,532.778JPM Income Opportunity A (perf) (acc) - SGD (hedged) 2,085,596.066 218,273.769 1,097,318.769 1,206,551.066JPM Income Opportunity A (perf) (acc) - USD 8,175,012.098 941,907.602 2,726,638.711 6,390,280.989JPM Income Opportunity A (perf) (dist) - USD - 10.000 - 10.000JPM Income Opportunity A (perf) (dist) - GBP (hedged) 1,104,178.784 224,211.318 199,366.799 1,129,023.303JPM Income Opportunity A (perf) (fix) EUR 2.35 - EUR (hedged) 96,120.166 16,912.171 21,481.342 91,550.995JPM Income Opportunity A (perf) (inc) - EUR (hedged) 2,690,972.821 156,311.539 386,797.843 2,460,486.517JPM Income Opportunity A (perf) (irc) - RMB (hedged) 123,039.353 4,024.907 - 127,064.260JPM Income Opportunity A (perf) (mth) - USD 913,871.530 50,136.222 240,942.800 723,064.952JPM Income Opportunity B (perf) (acc) - CHF (hedged) 103,323.385 2,010.000 1,980.091 103,353.294JPM Income Opportunity B (perf) (acc) - EUR (hedged) 1,627,099.896 581,490.927 420,122.815 1,788,468.008JPM Income Opportunity B (perf) (acc) - USD 1,932,838.237 523,102.188 594,140.803 1,861,799.622JPM Income Opportunity B (perf) (dist) - EUR (hedged) 629,054.714 31,095.221 122,739.000 537,410.935JPM Income Opportunity B (perf) (dist) - GBP (hedged) 139,625.281 143,666.279 47,366.902 235,924.658JPM Income Opportunity B (perf) (inc) - EUR (hedged) 33,693.481 14,033.000 650.000 47,076.481JPM Income Opportunity B (perf) (mth) - USD 162,101.679 7,029.474 110,230.455 58,900.698JPM Income Opportunity C (perf) (acc) - CHF (hedged) 285,717.889 20,430.010 68,200.090 237,947.809JPM Income Opportunity C (perf) (acc) - EUR (hedged) 4,039,825.337 1,285,883.386 1,162,915.292 4,162,793.431JPM Income Opportunity C (perf) (acc) - SEK (hedged) 69,393.269 - 63,142.967 6,250.302JPM Income Opportunity C (perf) (acc) - USD 2,506,508.925 169,504.408 412,198.068 2,263,815.265JPM Income Opportunity C (perf) (dist) - GBP (hedged) 1,395,276.326 568,968.008 174,793.187 1,789,451.147JPM Income Opportunity C (perf) (dist) - USD 929,922.557 257,101.619 192,684.995 994,339.181JPM Income Opportunity D (perf) (acc) - EUR (hedged) 3,053,855.601 205,793.526 1,151,303.760 2,108,345.367JPM Income Opportunity D (perf) (acc) - USD 139,415.026 68,895.721 37,746.305 170,564.442JPM Income Opportunity D (perf) (fix) EUR 2.15 - EUR (hedged) 370,482.031 54,774.606 135,195.948 290,060.689JPM Income Opportunity D (perf) (inc) - EUR (hedged) 63,629.041 33,053.219 55,422.000 41,260.260JPM Income Opportunity I (perf) (acc) - CHF (hedged) 2,184.630 874.627 135.458 2,923.799JPM Income Opportunity I (perf) (acc) - EUR (hedged) 4,605,926.128 313,739.763 643,494.968 4,276,170.923JPM Income Opportunity I (perf) (acc) - SGD (hedged) 26,665,194.583 33,657.040 - 26,698,851.623JPM Income Opportunity I (perf) (acc) - USD 1,862,443.446 155,326.893 769,962.889 1,247,807.450JPM Income Opportunity I (perf) (dist) - GBP (hedged) 851,303.025 374,680.803 69,290.875 1,156,692.953JPM Income Opportunity I (perf) (dist) - USD 177,046.653 32,463.819 60,634.773 148,875.699JPM Income Opportunity I (perf) (inc) - EUR (hedged) 1,577,691.192 28,391.042 50,951.229 1,555,131.005JPM Income Opportunity P (perf) (dist) - GBP (hedged) - 493.370 - 493.370JPM Income Opportunity P (perf) (acc) - USD 2,965.306 - - 2,965.306JPM Income Opportunity T (perf) (acc) - EUR (hedged) 1,033.863 - 608.665 425.198JPM Income Opportunity X (perf) (acc) - EUR (hedged) 89,015.619 - 1,003.294 88,012.325JPM Income Opportunity X (perf) (acc) - USD 429,851.477 284,498.801 327,867.382 386,482.896JPM Income Opportunity X (perf) (dist) - GBP (hedged) 10.112 - - 10.112

6







of the Period

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - EUR 22,039.728 1,621,296.490 843,169.578 800,166.640JPM Japan Strategic Value A (acc) - EUR (hedged) 277,045.673 86,336.957 188,245.623 175,137.007JPM Japan Strategic Value A (acc) - JPY 872,578.564 322,808.244 409,645.673 785,741.135JPM Japan Strategic Value A (acc) - USD (hedged) 50,473.605 9,600.905 21,533.605 38,540.905JPM Japan Strategic Value A (dist) - GBP 53,313.379 158,404.740 5,171.524 206,546.595JPM Japan Strategic Value A (dist) - GBP (hedged) 32,337.869 531.000 - 32,868.869JPM Japan Strategic Value B (acc) - JPY 89,845.658 24,705.889 50,660.097 63,891.450JPM Japan Strategic Value C (acc) - JPY 1,253,073.490 98,286.675 871,107.348 480,252.817JPM Japan Strategic Value C (acc) - USD* 139,600.052 13,160.273 152,760.325 -JPM Japan Strategic Value C (acc) - USD (hedged) 244,491.600 64,007.716 304,441.047 4,058.269JPM Japan Strategic Value D (acc) - EUR 11,904.138 89,918.086 60,310.560 41,511.664JPM Japan Strategic Value D (acc) - EUR (hedged) 51,395.177 12,982.916 10,729.287 53,648.806JPM Japan Strategic Value D (acc) - JPY 24,662.898 5,206.084 7,162.180 22,706.802JPM Japan Strategic Value I (acc) - JPY 216,714.981 - 55,649.000 161,065.981JPM Japan Strategic Value X (acc) - JPY 89,477.999 64,168.001 20,617.000 133,029.000JPM Japan Strategic Value X (acc) - USD 473,293.297 21,081.666 63,837.777 430,537.186

* Share Class inactive as at end of the period.


7


Statistical Information (continued)

Net Asset Value per Share in Share Class Currency

30 June 2015 31 December 2014 31 December 2013

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 175.30 171.13 163.52JPMorgan Global Convertibles (USD) A (acc) - SGD (hedged) 11.01 10.74 -JPMorgan Global Convertibles (USD) A (acc) - USD 142.39 139.18 10.28JPM Global Convertibles (USD) A (dist) - USD 104.01 101.58 133.32JPM Global Convertibles (USD) A (mth) - USD 119.00 116.65 112.29JPM Global Convertibles (USD) B (acc) - USD 139.61 135.84 128.95JPM Global Convertibles (USD) B (mth) - USD 131.99 128.95 123.45JPM Global Convertibles (USD) C (acc) - USD 181.13 176.21 167.20JPM Global Convertibles (USD) D (acc) - USD 165.00 161.48 155.07JPM Global Convertibles (USD) D (mth) - USD 127.85 125.64 121.55JPM Global Convertibles (USD) I (acc) - USD 145.93 141.89 134.51JPM Global Convertibles (USD) X (acc) - USD 124.22 120.36 113.30

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - EUR 73.96 65.97 56.84JPM Global Financials A (acc) - SGD 23.15 21.99 20.54JPM Global Financials A (acc) - USD 128.37 124.00 121.36JPM Global Financials A (dist) - USD 71.10 69.07 68.44JPM Global Financials B (acc) - EUR 104.07 92.46 79.07JPM Global Financials B (acc) - USD 8.26 7.95 7.73JPM Global Financials C (acc) - USD 141.71 136.32 132.29JPM Global Financials C (dist) - USD 108.47 105.76 102.69JPM Global Financials D (acc) - USD 124.26 120.63 119.24

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - AUD (hedged) 10.38 10.08 -JPM Global High Yield Bond A (acc) - CHF (hedged) 104.32 103.00 101.61JPM Global High Yield Bond A (acc) - EUR (hedged) 203.60 200.47 197.41JPM Global High Yield Bond A (acc) - HUF (hedged) 22,964.79 22,503.71 -JPM Global High Yield Bond A (acc) - USD 150.10 147.39 145.00JPM Global High Yield Bond A (dist) - USD 100.43 103.55 106.82JPM Global High Yield Bond A (inc) - EUR (hedged) 82.00 85.95 88.57JPM Global High Yield Bond A (irc) - AUD (hedged) 8.93 9.09 9.60JPM Global High Yield Bond A (irc) - CAD (hedged) 9.47 9.64 10.16JPM Global High Yield Bond A (irc) - NZD (hedged) 11.28 11.48 12.11JPM Global High Yield Bond A (irc) - RMB (hedged) 9.33 9.53 -JPM Global High Yield Bond A (mth) - HKD 10.76 10.95 11.52JPM Global High Yield Bond A (mth) - SGD 12.84 12.83 12.87JPM Global High Yield Bond A (mth) - USD 97.26 98.93 104.10JPM Global High Yield Bond B (acc) - EUR (hedged) 215.22 211.39 207.43JPM Global High Yield Bond B (acc) - USD 134.31 131.56 128.97JPM Global High Yield Bond B (dist) - EUR (hedged) 73.16 76.84 78.70JPM Global High Yield Bond B (mth) - USD 100.00 101.46 106.41JPM Global High Yield Bond C (acc) - EUR (hedged) 226.02 221.84 217.03JPM Global High Yield Bond C (acc) - PLN (hedged) 384.36 374.40 358.31JPM Global High Yield Bond C (acc) - USD 156.85 153.52 150.05JPM Global High Yield Bond C (dist) - GBP (hedged) 67.29 - -JPM Global High Yield Bond C (dist) - USD 107.33 111.06 114.56JPM Global High Yield Bond C (div) - EUR (hedged) 73.89 75.13 78.64JPM Global High Yield Bond C (inc) - EUR (hedged) 72.31 73.13 -JPM Global High Yield Bond C (mth) - USD 98.60 99.96 104.50JPM Global High Yield Bond D (acc) - EUR (hedged) 191.24 188.68 186.55JPM Global High Yield Bond D (acc) - PLN (hedged) 353.66 346.30 334.91JPM Global High Yield Bond D (acc) - USD 134.31 132.15 130.53JPM Global High Yield Bond D (div) - EUR (hedged) 71.78 73.36 77.60JPM Global High Yield Bond I (acc) - EUR (hedged) 78.96 77.46 75.73JPM Global High Yield Bond I (acc) - USD 160.89 157.41 153.73JPM Global High Yield Bond I (dist) - EUR (hedged) 71.43 75.23 74.35JPM Global High Yield Bond I (dist) - GBP (hedged) 63.00 - -JPM Global High Yield Bond I (dist) - USD 100.05 103.48 102.22JPM Global High Yield Bond I (inc) - EUR (hedged) 66.46 70.08 72.19JPM Global High Yield Bond I (mth) - USD 95.62 96.90 101.20JPM Global High Yield Bond T (acc) - EUR (hedged) 92.21 90.97 89.94JPM Global High Yield Bond X (acc) - EUR (hedged) 153.84 150.58 146.53JPM Global High Yield Bond X (acc) - USD 136.72 133.46 129.74

8





JPMorgan Investment Funds - Global Income FundJPM Global Income A (acc) - AUD (hedged) 10.85 10.55 -JPM Global Income A (acc) - CHF (hedged) 143.01 141.84 133.62JPM Global Income A (acc) - EUR 127.12 125.06 117.55JPM Global Income A (acc) - SGD (hedged) 9.91 - -JPM Global Income A (acc) - USD (hedged) 161.69 158.94 149.27JPM Global Income A (dist) - GBP (hedged) 71.38 - -JPM Global Income A (div) - CHF (hedged) 127.32 129.08 127.16JPM Global Income A (div) - EUR 147.83 148.67 146.14JPM Global Income A (div) - SGD 15.90 17.03 18.14JPM Global Income A (div) - SGD (hedged) 17.13 17.16 16.86JPM Global Income A (div) - USD (hedged) 145.74 146.45 143.82JPM Global Income A (inc) - EUR 107.12 109.41 106.08JPM Global Income A (irc) - AUD (hedged) 12.47 12.56 12.37JPM Global Income A (irc) - CAD (hedged) 9.78 - -JPM Global Income A (irc) - RMB (hedged) 9.80 9.92 -JPM Global Income A (mth) - EUR 99.30 - -JPM Global Income A (mth) - GBP (hedged) 70.62 - -JPM Global Income A (mth) - SGD (hedged) 16.53 16.56 16.26JPM Global Income A (mth) - USD (hedged) 135.60 136.27 133.80JPM Global Income B (acc) - EUR 109.32 107.26 100.43JPM Global Income B (acc) - USD (hedged) 163.83 160.61 150.24JPM Global Income B (dist) - GBP (hedged) 90.20 91.51 86.04JPM Global Income B (dist) - USD (hedged) 143.31 145.14 136.22JPM Global Income B (div) - EUR 108.90 109.22 106.93JPM Global Income B (div) - USD (hedged) 150.22 150.54 147.26JPM Global Income B (mth) - USD (hedged) 138.80 139.10 136.02JPM Global Income C (acc) - EUR 132.15 129.56 120.93JPM Global Income C (div) - EUR 122.30 122.57 119.66JPM Global Income C (div) - USD (hedged) 142.15 142.35 138.10JPM Global Income D (acc) - EUR 125.65 123.83 116.81JPM Global Income D (acc) - USD (hedged) 159.97 157.52 148.46JPM Global Income D (div) - EUR 130.54 131.51 129.72JPM Global Income D (div) - USD (hedged) 146.13 147.11 144.97JPM Global Income D (mth) - USD (hedged) 135.66 136.56 134.56JPM Global Income I (acc) - EUR 104.01 101.93 -JPM Global Income I (mth) - JPY (hedged) 13,819.00 13,871.00 -JPM Global Income T (div) - EUR 107.99 108.79 107.32JPM Global Income X (div) - AUD (hedged)* - - 10.11JPM Global Income X (div) - EUR 122.83 122.67 118.93JPM Global Income X (irc) - AUD (hedged) 9.87 9.88 -

9





JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (perf) (acc) - CHF (hedged) 96.53 96.63 97.46JPM Income Opportunity A (perf) (acc) - EUR (hedged) 134.48 134.04 134.82JPM Income Opportunity A (perf) (acc) - SEK (hedged) 1,364.45 1,360.08 1,361.80JPM Income Opportunity A (perf) (acc) - SGD (hedged) 10.04 9.95 10.01JPM Income Opportunity A (perf) (acc) - USD 179.66 178.65 179.56JPM Income Opportunity A (perf) (dist) - EUR (hedged) 87.70 - -JPM Income Opportunity A (perf) (dist) - GBP (hedged) 88.15 89.27 90.99JPM Income Opportunity A (perf) (dist) - USD 100.38 - -JPM Income Opportunity A (perf) (fix) EUR 2.35 - EUR (hedged) 71.63 72.55 75.35JPM Income Opportunity A (perf) (inc) - EUR (hedged) 117.90 119.97 122.59JPM Income Opportunity A (perf) (irc) - RMB (hedged) 9.89 9.98 -JPM Income Opportunity A (perf) (mth) - USD 97.33 97.90 100.42JPM Income Opportunity B (perf) (acc) - CHF (hedged) 91.75 91.63 92.08JPM Income Opportunity B (perf) (acc) - EUR (hedged) 124.33 123.71 123.94JPM Income Opportunity B (perf) (acc) - USD 174.19 173.04 173.24JPM Income Opportunity B (perf) (dist) - EUR (hedged) 74.28 75.97 77.09JPM Income Opportunity B (perf) (dist) - GBP (hedged) 61.58 62.51 63.75JPM Income Opportunity B (perf) (fix) EUR 2.60 - EUR (hedged)* - - 75.64JPM Income Opportunity B (perf) (inc) - EUR (hedged) 72.34 73.73 74.23JPM Income Opportunity B (perf) (mth) - USD 98.29 98.81 100.93JPM Income Opportunity C (perf) (acc) - CHF (hedged) 89.07 88.94 -JPM Income Opportunity C (perf) (acc) - EUR (hedged) 135.74 135.08 135.13JPM Income Opportunity C (perf) (acc) - SEK (hedged) 853.84 849.76 847.22JPM Income Opportunity C (perf) (acc) - USD 175.83 174.67 174.69JPM Income Opportunity C (perf) (dist) - GBP (hedged) 103.39 104.95 106.81JPM Income Opportunity C (perf) (dist) - USD 98.08 99.63 100.82JPM Income Opportunity C (perf) (fix) EUR 2.70 - EUR (hedged)* - - 75.61JPM Income Opportunity D (perf) (acc) - EUR (hedged) 132.38 132.09 133.19JPM Income Opportunity D (perf) (acc) - USD 99.85 99.42 100.20JPM Income Opportunity D (perf) (fix) EUR 2.15 - EUR (hedged) 71.63 72.54 75.33JPM Income Opportunity D (perf) (inc) - EUR (hedged) 72.93 74.45 75.80JPM Income Opportunity I (perf) (acc) - CHF (hedged) 90.56 90.42 90.65JPM Income Opportunity I (perf) (acc) - EUR (hedged) 74.48 74.09 74.15JPM Income Opportunity I (perf) (acc) - SGD (hedged) 10.03 9.92 -JPM Income Opportunity I (perf) (acc) - USD 104.23 103.52 103.44JPM Income Opportunity I (perf) (dist) - GBP (hedged) 62.11 63.12 63.15JPM Income Opportunity I (perf) (dist) - USD 98.08 100.19 100.50JPM Income Opportunity I (perf) (inc) - EUR (hedged) 75.93 77.69 79.30JPM Income Opportunity P (perf) (acc) - USD 102.52 101.74 101.46JPM Income Opportunity P (perf) (dist) - GBP (hedged) 64.58 - -JPM Income Opportunity T (perf) (acc) - EUR (hedged) 83.26 83.08 83.79JPM Income Opportunity X (perf) (acc) - EUR (hedged) 120.28 119.27 118.62JPM Income Opportunity X (perf) (acc) - USD 180.83 179.00 178.08JPM Income Opportunity X (perf) (dist) - GBP (hedged) 60.89 62.21 63.31

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - EUR 95.34 77.92 75.43JPM Japan Strategic Value A (acc) - EUR (hedged) 120.86 104.54 102.00JPM Japan Strategic Value A (acc) - JPY 13,058.00 11,300.00 10,943.00JPM Japan Strategic Value A (acc) - USD (hedged) 155.44 134.03 130.71JPM Japan Strategic Value A (dist) - GBP 65.87 59.39 61.49JPM Japan Strategic Value A (dist) - GBP (hedged) 102.88 88.92 86.80JPM Japan Strategic Value B (acc) - JPY 13,157.00 11,337.00 10,897.00JPM Japan Strategic Value C (acc) - JPY 23,888.00 20,575.00 19,735.00JPM Japan Strategic Value C (acc) - USD* - 94.89 103.10JPM Japan Strategic Value C (acc) - USD (hedged) 123.83 106.26 102.65JPM Japan Strategic Value D (acc) - EUR 90.07 73.89 72.07JPM Japan Strategic Value D (acc) - EUR (hedged) 94.22 81.80 80.41JPM Japan Strategic Value D (acc) - JPY 12,336.00 10,716.00 10,455.00JPM Japan Strategic Value I (acc) - JPY 13,207.00 11,372.00 10,900.00JPM Japan Strategic Value X (acc) - JPY 24,552.00 21,063.00 20,039.00JPM Japan Strategic Value X (acc) - USD 122.04 107.46 115.80

* Share Class inactive as at end of the period.


10

1. Organisation

JPMorgan Investment Funds (the “SICAV”) is an investment company incorporated on 22 December 1994 under the name J.P. Morgan Investment Funds. Thename of the SICAV was changed to JPMorgan Fleming Investment Funds on 19 November 2001 and then to JPMorgan Investment Funds on 12 September2005.

It is organised under Part I of the Luxembourg Law of 17 December 2010, as amended, on Undertakings for Collective Investment, as a Société Anonymequalifying as a “Société d’Investissement à Capital Variable” (SICAV). As at 30 June 2015, it comprises 21 Sub-Funds, each relating to a separate investmentportfolio consisting of securities, cash and other instruments.

On 12 September 2005, JPMorgan Asset Management (Europe) S.à r.l. was appointed by the SICAV to act as Management Company. The Articles ofIncorporation were also modified so the SICAV complies with UCITS III regulations. From 1 July 2011, JPMorgan Asset Management (Europe) S.à r.l. is actingas a Chapter 15 Management Company under the Luxembourg Law of 17 December 2010, as amended, and complies with UCITS IV regulations.

The SICAV is registered with the Registre de Commerce et des Sociétés of Luxembourg, under number B 49 663.

Each Sub-Fund may contain A, B, C, D, I, P, T and X Classes of Shares, which may differ in the minimum subscription amount, minimum holding amount,currency and/or eligibility requirements, the fees and expenses, and the dividend policy applicable to them. In addition, each Sub-Fund may contain Classesof Shares named either “JPM” or “JPMorgan”. Certain Share Classes may charge a Performance Fee. Such Share Classes were renamed by the inclusion of“(perf)” in the Share Class name.

Within each Sub-Fund, individual Classes of Shares may have a currency of denomination that differs from the currency of denomination of the Sub-Fund.The currency of denomination for each Class of Share is indicated by a suffix on the name of the Share Class.

2. Significant Accounting Policies

The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investments.

a) Investment Valuation

Transferable securities which are admitted to an official exchange listing or dealt in on another regulated market are valued on the basis of the latestavailable price prevailing at the time of calculating the net asset value.

If securities are listed or dealt in on several exchanges or markets, the latest available price, or if appropriate, the average price on the principal exchange ormarket will be applied.

Transferable securities not admitted to an official exchange listing nor dealt in on another regulated market are valued at the latest available price. Thosesecurities for which no price is available or for which the latest available price is not representative are valued on the basis of their reasonably foreseeablesales price determined with prudence and in good faith by the Board of Directors.

Shares or Units in UCITS or other UCIS are valued at the latest available price or net asset value, as reported or provided by such undertakings or their agents.

Liquid assets and money market instruments may be valued at nominal values plus any accrued interest or on an amortised cost basis.

The financial statements are presented on the basis of the net asset values of the Sub-Funds calculated on 30 June 2015. In accordance with the Prospectus,the net asset values were calculated using the latest exchange rates known at the time of calculation.

b) Swing Pricing

A Sub-Fund may suffer dilution of the Net Asset Value per Share due to investors buying or selling Shares in a Sub-Fund at a price that does not reflect thedealing and other costs that arise when security trades are undertaken by the Investment Manager to accommodate cash inflows or outflows.

In order to counter this impact, a Swing Pricing mechanism may be adopted to protect the interests of Shareholders of the SICAV. If on any Valuation Day, theaggregate net transactions in Shares of a Sub-Fund exceed a pre-determined threshold, as determined and reviewed for each Sub-Fund on a periodic basisby the Management Company, the Net Asset Value per Share may be adjusted upwards or downwards to reflect net inflows and net outflows respectively.The net inflows and net outflows will be determined by the Management Company based on the latest available information at the time of calculation of theNet Asset Value per Share. The Swing Pricing mechanism may be applied across all Sub-Funds as defined by the Prospectus. The extent of the priceadjustment will be set by the Management Company to reflect dealing and other costs. Such adjustment may vary from Sub-Fund to Sub-Fund and will notexceed 2% of the original Net Asset Value per Share. The official Net Asset Value per Share as at period end, disclosed in the Statistical Information section ofthis report may therefore include a Swing Pricing adjustment, which would not be recognised in the Combined Statement of Net Assets and in the CombinedStatement of Operations and Changes in Net Assets.

The Management Company may consider it appropriate not to apply the swing price adjustment to the Net Asset Value per Share of a Sub-Fund where it isseeking to attract inflows so that the Sub-Fund reaches a certain size. If a decision is taken in relation to a Sub-Fund the Management Company will pay thedealing and other costs resulting from securities trades to avoid the Sub-Fund suffering dilution of the Net Asset Value. Where this happens shareholders willsubscribe or redeem at a Net Asset Value that will not have been adjusted upwards as would have been the case if the swing pricing mechanism had beenapplied.

c) Realised and Unrealised Gains and Losses on Investments

Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). For trades into other collective investmentschemes, transactions are accounted for on receipt of the trade confirmation from the underlying transfer agents.

Realised gains and losses on sales of investments are calculated on the average book cost. The associated foreign exchange movement between the date ofpurchase and date of sale of investments is included in realised gains and losses on investments. Unrealised gains and losses on holdings of investments arecalculated on the total book cost and include the associated unrealised gains and losses on foreign exchange.

d) Income Recognition

Interest income is accrued daily and includes the amortisation of premiums and accretion of discounts, where applicable. Bank interest income is recognisedon an accrual basis. Dividend income is accrued on the ex-dividend date. This income is shown net of any withholding taxes and adjusted accordingly whentax reclaims apply.

11


Notes to the Unaudited Financial Statements

As at 30 June 2015

e) Conversion of Foreign Currencies

The books and records of each Sub-Fund are denominated in the base currency of the corresponding Sub-Fund. Amounts denominated in other currenciesare translated into the base currency on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currenciesare converted each business day into the base currency using currency exchange rates prevailing on each such business day; (ii) purchases and sales offoreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates of suchtransactions.

Net realised and unrealised gains or losses on foreign exchange represent: (i) foreign exchange gains and losses from the sale and holding of foreigncurrencies and foreign cash equivalents; (ii) gains and losses between trade date and settlement date on securities transactions; and (iii) gains and lossesarising from the difference between amounts of dividends and interest recorded and the amounts actually received.

The resulting gains and losses on translation are included in “Net Realised Gain/(Loss) on Foreign Exchange” in the Combined Statement of Operations andChanges in Net Assets.

The reference currency of the SICAV as reflected in the combined statements is USD.

The principal exchange rates applied as at 30 June 2015 are as follows:

1 USD = 1.296042020 AUD;

1 USD = 1.243270000 CAD;

1 USD = 0.929960000 CHF;

1 USD = 6.204500000 CNH;

1 USD = 0.892936910 EUR;

1 USD = 0.634779580 GBP;

1 USD = 7.752170000 HKD;

1 USD = 281.060000000 HUF;

1 USD = 122.290000000 JPY;

1 USD = 1.474950000 NZD;

1 USD = 3.740400000 PLN;

1 USD = 8.245620000 SEK;

1 USD = 1.345820000 SGD.

f) Forward Currency Exchange Contracts

Unrealised gains or losses on outstanding Forward Currency Exchange Contracts are valued on the basis of currency exchange rates prevailing at therelevant valuation date. The changes in such amounts are included in the Combined Statement of Operations and Changes in Net Assets under “Net Changein Unrealised Gain/(Loss) on Forward Currency Exchange Contracts”. When a contract is closed, the Realised Gain/(Loss) is recorded under “Net RealisedGain/(Loss) on Forward Currency Exchange Contracts” in the Combined Statement of Operations and Changes in Net Assets. Unrealised Gains or Losses arerecorded under “Unrealised Gain/(Loss) on Forward Currency Exchange Contracts” in the Combined Statement of Net Assets.

g) Financial Futures Contracts on Securities and Indices

Regulated financial futures contracts are valued at the exchange quoted settlement price. Initial margin deposits are made upon entering into the contractsand can be either in cash or securities. During the period the contracts are open, changes in the value of the contracts are recognised as unrealised gains andlosses by “marking-to-market” on a daily basis to reflect the market value of the contracts at the end of each business day’s trading. Variation marginpayments are made or received, depending upon whether losses or gains are incurred. When a contract is closed, the SICAV records a realised gain or lossequal to the difference between the proceeds from, or cost of, the closing transaction and the initial cost of the contract in “Net Realised Gain/(Loss) onFinancial Futures Contracts” in the Combined Statement of Operations and Changes in Net Assets.

Unrealised gains or losses are recorded under “Net Unrealised Gain/(Loss) on Financial Futures Contracts” in the Combined Statement of Net Assets.

Daily margin calls are recorded under “Net Realised Gain/(Loss) on Financial Futures Contracts” in the Combined Statement of Operations and Changes inNet Assets.

h) Option Contracts

Options purchased are recorded as investments; options written or sold are recorded as liabilities. When the exercise of an option results in a cashsettlement, the difference between the premium and the settlement proceeds is accounted for as a realised gain or loss. When securities are acquired ordelivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, thedifference between the premium and the cost to close the position is accounted for as a realised gain or loss. When an option expires, the premium isaccounted for as a realised gain for options written or as a realised loss for options purchased.

The SICAV writes options on securities, futures, currencies and interest rate swaps (“swaptions”). These options are settled in cash and subject the SICAV tounlimited risk of loss. The SICAV, however, is not subject to credit risk on written options as the counterparty has already performed its obligation by payingthe premium at the inception of the contract.

For options on futures, where the investment manager is based in the United Kingdom, variation margin payments are made or received daily, dependingupon whether losses or gains are incurred on the underlying futures contract.

The market values are recorded under “Derivative Instruments at Market Value” in the Combined Statement of Net Assets.

i) To Be Announced Securities (“TBAs”)

TBAs are related to mortgage backed securities issued by government sponsored agencies. These agencies usually pool mortgage loans and sell interests inthe pools created. TBAs relate to future pools of these agencies that are bought and sold for future settlement for which either the interest rate or thematurity date is not yet fixed. TBAs are separately disclosed in the Schedule of Investments.

Certain Sub-Funds may enter into Dollar Rolls, principally using To Be Announced (“TBA”) Securities, in which the Sub-Funds sell mortgage-backed securitiesfor delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. TheSub-Funds account for such Dollar Rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase.

12


Notes to the Unaudited Financial Statements (continued)

As at 30 June 2015

The Sub-Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such Dollar Rolls. The marketvalue of the securities that the Sub-Funds are required to purchase may decline below the agreed upon repurchase price of those securities.

Certain Sub-Funds had TBAs outstanding as of 30 June 2015, which are included in Investment in TBAs at Market Value and Open Short Positions on TBAs inthe Combined Statement of Net Assets.

j) Interest Rate Swaps

An interest rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interestpayments (usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged.

The market values are recorded under “Derivative Instruments at Market Value” in the Combined Statement of Net Assets. The changes in such amounts arerecorded under “Net Change in Unrealised Gain/(Loss) on Derivative Instruments” and the Realised under “Net Realised Gain/(Loss) on DerivativeInstruments” in the Combined Statement of Operations and Changes in Net Assets.

k) Total Return Swaps

The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the returnsgenerated by a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculated byreference to a specific security, index, or instruments and an agreed upon notional amount. Any such underlying security or instrument must be atransferable security and any such index must be an index of a regulated market.

A Total Return Swap on a basket of equities will exchange the total performance on the specific basket of equities, selected by the Investment Manageragainst a reference rate plus a spread. The total performance includes interest, dividends, gains and losses on the underlying securities during the contractperiod according to the type of underlying. The risk of this type of instrument will depend on the uncertain evolution, at the time of the contract conclusion, ofthe performance of the underlying. These underlying securities are listed on a primary exchange.

The value of the underlying securities shall be taken into account for the calculation of the investment restrictions applicable to individual issuers. Therelevant indices include, but are not limited to, currencies, interest rates, prices and total return on interest rates indices, fixed income indices and stockindices.

The market values are recorded under “Derivative Instruments at Market Value” in the Combined Statement of Net Assets. The changes in such amounts areincluded in the Combined Statement of Operations and Changes in Net Assets under “Net Change in Unrealised Gain/(Loss) on Derivative Instruments”.When a contract is closed, the Realised Gain/(Loss) is recorded under “Net Realised Gain/(Loss) on Derivative Instruments” in the Combined Statement ofOperations and Changes in Net Assets.

JPMorgan Investment Funds - Global Select Equity Plus Fund and JPMorgan Investment Funds - Income Opportunity Fund have each entered into TotalReturn Swaps (long/short, together “the Swaps”) on a basket of securities with selected counterparties.

l) Credit Default Swaps

A Credit Default Swap is a credit derivative transaction in which two parties enter into an agreement, whereby one party pays the other a periodic paymentfor the specified life of the agreement. The other party makes no payments unless a credit event, relating to a predetermined reference asset, occurs. If suchan event occurs, the party will then make a payment to the first party, and the swap will terminate. The value of the underlying securities shall be taken intoaccount for the calculation of the investment restrictions applicable to individual issuers.

The market values are recorded under “Derivative Instruments at Market Value” in the Combined Statement of Net Assets. The changes in such amounts arerecorded under “Net Change in Unrealised Gain/(Loss) on Derivative Instruments” and the Realised under “Net Realised Gain/(Loss) on DerivativeInstruments” in the Combined Statement of Operations and Changes in Net Assets.

m) Forward Starting Variance Swap

A variance swap is an instrument which allows the SICAV to trade future realized (or historical) volatility of an underlying asset against its current impliedvolatility. The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets. The changes in suchamounts are recorded under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments” and the Realised Gain/(Loss) when contracts are closed arerecorded under “Net Realised Gain/(Loss) on Derivatives Instruments” in the Combined Statement of Operations and Changes in Net Assets.

3. Fees and Expenses

The Operating and Administrative Expenses cover:

(i) Expenses directly contracted by the SICAV (“Direct Expenses”), including but not limited to the Custodian fees, auditing fees and expenses, theLuxembourg taxe d’abonnement, Directors’ fees and reasonable out-of-pocket expenses incurred by the Directors.

(ii) A “Fund Servicing Fee” paid to the Management Company for administrative and related services which will be the remaining amount of the Operatingand Administrative Expenses after deduction of the expenses detailed under section i) above. The Management Company then bears all expenses incurred inthe day to day operation and administration of the SICAV, including but not limited to formation expenses such as organisation and registration costs;accounting expenses covering fund accounting and administrative services; transfer agency expenses covering registrar and transfer agency services; theAdministrative Agent and Domiciliary Agent services; the fees and reasonable out-of-pocket expenses of the paying agents and representatives; legal feesand expenses; ongoing registration, listing and quotation fees, including translation expenses; the cost of publication of the Share prices and postage,telephone, facsimile transmission and other electronic means of communication; and the costs and expenses of preparing, printing and distributing theProspectus, Key Investor Information Documents or any offering document, financial reports and other documents made available to Shareholders.

Operating and Administrative Expenses do not include Transaction Fees and Extraordinary Expenses.

Except where otherwise indicated in Appendix III - Sub-Fund Details of the Prospectus, Operating and Administrative Expenses borne by the A, B, C, D, P and TShare Classes of all Sub-Funds are set at a fixed rate specified in Appendix III - Sub-Fund Details of the Prospectus. The Operating and AdministrativeExpenses borne by I and X Share Classes will be the lower of the actual expenses incurred by the SICAV and the maximum rate detailed in Appendix III -Sub-Fund Details of the Prospectus. The Management Company will bear any Operating and Administrative Expenses which exceed the rate specified inAppendix III - Sub-Fund Details of the Prospectus. At its discretion, the Management Company may on a temporary basis meet the Direct Expenses on aSub-Fund’s behalf and/or waive all or part of the Fund Servicing Fee.

13



As at 30 June 2015

a) All Sub-Funds - Share Classes A, B, C, D, P and T

The fees and expenses charged to these Classes of shares are set at a fixed percentage of the total net assets of each Class of shares. This fixed percentagecovers all fees and expenses connected with the management of these Classes of shares, including Investment Management Fees, shareholder servicingfees and Other Operating and Administrative Expenses, which include but are not limited to Custody, Registrar and Transfer Agent Fees; it does not covertaxes paid on investment, brokerage expenses, extraordinary costs or performance fees, if any. No other costs are charged to these Classes of shares, andthe Management Company absorbs any difference that may arise between the actual costs of the operations of these Classes of shares and the fixedpercentage. To the extent that the actual operating costs are less than the fixed percentage, the excess is paid to the Management Company and includedwithin “Management and Advisory Fees”. To the extent that actual operating costs exceed the fixed percentage, the amount borne by the ManagementCompany will be separately disclosed as a “Fee Waiver’’ in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes inNet Assets.

This fixedannual rateof feesandexpenses iscategorisedasaTotalExpenseRatio.The fixedannual ratesof fees foreachClassofsharesareshownin theAppendix.

b) All Sub-Funds - Share Class I

The maximum total fees and expenses to be borne by Class I shareholders of any Sub-Fund will not exceed a capped percentage of the total net assetsattributable to that Class. These capped fees and expenses comprise Investment Management Fees plus other Operating and Administrative Expenses,limited to Custody, Fiduciary, Accounting, Transfer Agency Fees, Taxes and Sundry Expenses; it does not cover performance fees, if any.

This capped annual rate of fees and expenses is categorised as a Capped Expense Ratio. The capped annual rates of fees for each Class of shares are shown inthe Appendix.

c) All Sub-Funds - Share Class X

The Class X shares of each Sub-Fund are charged a pro-rata share of the Custody and Accounting Fees allocable to that Sub-Fund.

The Management Company pays all other Operating and Administrative Expenses allocable to such Class to the exclusion of performance fees, if any. Themaximum Operating and Administrative Expenses to be borne by the Class X shareholders of any Sub-Fund will not exceed a capped percentage of the totalnet assets attributable to that Class, as set out in the Appendix.

The Annual Management Fee that would normally be payable in respect of the X Share Class are administratively levied and collected by the GlobalDistributor directly from the shareholder or through the relevant JPMorgan Chase & Co. entity.

Sub-Funds may invest in UCITS and other UCIs managed by the Management Company, the Investment Manager or any other member of JPMorgan Chase &Co. The avoidance of a double-charge of the Annual Management and Advisory Fee on such assets is achieved by either a) excluding the assets from the netassets on which the Annual Management and Advisory Fee is calculated; or b) investing in UCITS or UCIs via classes that do not accrue an AnnualManagement and Advisory Fee or other equivalent fees payable to the relevant Investment Manager’s group; or c) the Annual Management and AdvisoryFee being netted off by a rebate to the SICAV or Sub-Fund of the Annual Management and Advisory Fee (or equivalent) charged to the underlying UCITS orUCIs; or d) charging only the difference between the Annual Management and Advisory Fee of the SICAV or Sub-Fund and the Annual Management andAdvisory Fee (or equivalent) charged to the underlying UCITS or UCIs.

The Management Company has from time to time waived all or part of the Annual Management and Advisory Fees payable to it on a number of Sub-Funds. Inaddition, the Management Company has from time to time paid part of the Operating and Administrative Expenses payable on a number of Sub-Funds.These actions have had the effect of reducing the Annual Total Expenses on a number of Sub-Funds.

d) Performance Fees

Pursuant to the Investment Management Agreement, as set out in the Appendix to the Prospectus, the Investment Manager is entitled to receive from thenet assets of certain Sub-Funds or Classes, an annual performance-based incentive fee (the “Performance Fee”) if the performance of the Sub-Fund exceedsthe return from the benchmark, subject to the operation of a Claw-Back Mechanism or of a High Water Mark as defined in Appendix V of the Prospectus and asspecified in Appendix III of the Prospectus for each Sub-Fund. On each Valuation Day, an accrual for the previous Valuation Day’s Performance Fee is made,when appropriate, and the final Performance Fee is payable annually. Pursuant to the provisions of the relevant Investment Management Agreement, theInvestment Manager may be entitled to receive the performance Fee from the Management Company.

On each Valuation Day, the net asset value of each Class of each Sub-Fund for which a Performance Fee applies, which includes an accrual for all fees andexpenses (including the Annual Management and Advisory Fee, and the Operating and Administrative Expenses to be borne by the relevant Class at the rateset out in the Appendix to the Prospectus), is adjusted for any dividend distributions and for subscriptions and redemptions dealt with on that Valuation Day,if any, and any Performance Fee accrued through that day in respect of such Class is added back (the “Adjusted net asset value”). For purposes of calculatingthe Performance Fee, the “Share Class Return” is computed on each Valuation Day, as the difference between the net asset value (adjusted by adding backany accrued Performance Fee) on such day and the Adjusted net asset value on the previous Valuation Day, expressed as a return based on the previousValuation Day’s Adjusted net asset value for that Class.

High Water Mark Method

If the Share Class Return exceeds the Benchmark Return and the cumulative Share Class Return exceeds the High Water Mark Return (as set out in theAppendix to the Prospectus), the Performance Fee accrual is increased by the Performance Fee Rate multiplied by the Excess Return multiplied by theprevious Valuation Day’s Adjusted net asset value for that Class. If the Share Class Return does not exceed the Benchmark Return, the Performance Feeaccrual is reduced (but not below zero) by the Performance Fee Rate multiplied by the negative Excess Return multiplied by the previous Valuation Day’sAdjusted net asset value for that Class. Following a period of negative Excess Return whereby the Performance Fee accrual has been reduced to zero, no newPerformance Fee is accrued until such time as the cumulative Share Class Return exceeds the greater of the High Water Mark Return and the cumulativeBenchmark Return since the beginning of the SICAV accounting period. The Performance Fee accrued on any Valuation Day is reflected in the Net AssetValue per Share on the basis of which subscriptions and redemptions may be accepted.

Claw-Back mechanism

The purpose of the Claw-Back Mechanism is to ensure that the Management Company will only become entitled to a Performance Fee when it outperformsthe cumulative Benchmark Return (as defined in Appendix V of the Prospectus) accrued since the last Valuation Day of the last period in which a PerformanceFee was paid.

14



As at 30 June 2015

As at 30 June 2015, the Performance Fee rate and the benchmarks are as follows:

Sub-Fund or Share Class PerformanceFee Rate

Benchmark

High Water Mark Return methodJPMorgan Investment Funds - Income Opportunity Fund (All, except hedged) 20% ICE Overnight USD LIBOR

JPMorgan Investment Funds - Income Opportunity Fund (CHF hedged) 20% ICE Spot Next CHF LIBOR

JPMorgan Investment Funds - Income Opportunity Fund (EUR hedged) 20% EONIA

JPMorgan Investment Funds - Income Opportunity Fund (GBP hedged) 20% ICE Overnight GBP LIBOR

JPMorgan Investment Funds - Income Opportunity Fund (RMB hedged) 20% Overnight CNH HIBOR

JPMorgan Investment Funds - Income Opportunity Fund (SEK hedged) 20% STIBOR Tomorrow Next Offered Rate

JPMorgan Investment Funds - Income Opportunity Fund (SGD hedged) 20% Singapore Overnight Rate Average

e) Distribution Fee

The SICAV pays to the Management Company a distribution fee (the “Distribution Fee”) in respect of Shares of D and T Share Classes. The Distribution Feepayable for each Share Classes is stated in the Fees and Expenses section of Appendix III - Sub-Fund Details of the Prospectus. The Management Companymay at its absolute discretion and from time to time (which in certain circumstances may be daily) decide to vary such rate between the maximum and 0.0%.The Management Company may pay all or part of the Distribution Fee to certain Distributors for the services provided by them in relation to the distributionof the D and T Share Classes.

4. Dividend Policy

Share Classes with the suffix “(acc)” are accumulation Share Classes and will not normally pay dividends.

Distribution Share Classes will normally pay dividends as described below.

Share Classes suffixed “(dist)” and suffixed “(inc)”

It is intended that all those Share Classes with the suffix “(dist)” will meet the conditions to qualify as a “reporting fund” for the purposes of the UnitedKingdom tax legislation relating to offshore funds and will, if appropriate, pay dividends which at least meet the greater of the reportable income under thatlegislation or the taxable earnings from investments in accordance with the German Investment Tax Act. It is intended that those Share Classes with the suffix“(inc)” will, if appropriate, pay dividends equal to or in excess of the taxable earnings from investments in accordance with the German Investment Tax Act.Payment of dividends on these Share Classes will normally be made in March of each year.

Share Classes suffixed “(div)”

Share Classes with the suffix “(div)” will normally pay quarterly dividends which are calculated by the Management Company based on the estimated annualyield of the relevant Sub-Fund’s portfolio which is attributable to that Share Class. The Management Company will review the dividend rate for each ShareClass at least semi-annually, but may adjust the dividend rate more frequently to reflect changes in the portfolio’s expected yield.

Investors should be aware that “(div)” Share Classes give priority to dividends, rather than to capital growth. The expected yield for each Share Class will becalculated gross of both the Annual Management and Advisory Fee and the Operating and Administrative Expenses, and such Share Classes will typicallydistribute more than the income received. Share Classes with the suffix “(div)” in issue at the dividend record date will be eligible for any dividends which willnormally be paid in the currency of the relevant Share Class.

Share Classes suffixed “(mth)”

Share Classes with the suffix “(mth)” will be available to Shareholders subscribing, and remaining subscribed, through specific Asian distribution networksand to other distributors at the sole discretion of the Management Company. Share Classes with the suffix “(mth)” will normally pay dividends on a monthlybasis. The monthly dividend rate per Share will be calculated by the Management Company based on the estimated annual yield of the relevant Sub-Fund’sportfolio which is attributable to that Share Class. The Management Company will review the dividend rate for each Share Class at least semi-annually, butmay adjust the dividend rate more frequently to reflect changes in the portfolio’s expected yield. Investors should be aware that “(mth)” share classes givepriority to dividends, rather than to capital growth. The expected yield for each Share Class will be calculated gross of both the Annual Management andAdvisory Fee and the Operating and Administrative Expenses, and such Share Classes will typically distribute more than the income received. Dividendpayments for these Share Classes will normally be made to Shareholders each month in the currency of the relevant Share Class. The Management Companyreserves the right to fix a minimum amount per Share Class, below which the actual payment of the dividend would not be economically efficient for theSICAV. These payments will be deferred to the following month or reinvested in further Shares of the same Share Class and not paid directly to theShareholders. The Net Asset Value of “(mth)” Share Classes may fluctuate more than other Share Classes due to more frequent distribution of income.

Share Classes suffixed “(fix)”

Share Classes with the suffix “(fix)” will normally pay a quarterly fixed dividend based on a total amount per Share per annum as defined in the Prospectus.

Share Classes suffixed “(irc)”

Share Classes with the suffix “(irc)” will normally pay dividends on a monthly basis. The monthly dividend rate per Share will be variable and will be calculatedby the Management Company based on: the estimated gross annual yield of the relevant Sub-Fund’s portfolio attributable to that Share Class, which isrevised at least semi-annually; and the addition or deduction of the estimated interest rate carry depending on whether such carry is positive or negativerespectively.

Other Information

Shareholders should note that, where the dividend rate is in excess of the investment income of the Share Class, dividends will be paid out of the capitalattributed to the Share Class, as well as from realised and unrealised capital gains. This may be tax inefficient for investors in certain countries. Investorsshould consult their local tax adviser about their own position. Share Classes with the suffix “(div)”, “(fix)”, “(inc)”, “(irc)” and “(mth)” do not distribute thereportable income in accordance with the United Kingdom tax legislation relating to offshore funds.

15



As at 30 June 2015

During the period ended 30 June 2015, the SICAV paid dividends as follows:

Class name Currency Dividend Amount per Share Payment Date

JPM Global Convertibles (USD) A (mth) - USD USD 0.09 16 January 2015

JPM Global Convertibles (USD) B (mth) - USD USD 0.09 16 January 2015

JPM Global Convertibles (USD) D (mth) - USD USD 0.09 16 January 2015

JPM Global High Yield Bond A (irc) - AUD (hedged) AUD 0.07 16 January 2015

JPM Global High Yield Bond A (irc) - CAD (hedged) CAD 0.06 16 January 2015

JPM Global High Yield Bond A (irc) - NZD (hedged) NZD 0.10 16 January 2015

JPM Global High Yield Bond A (irc) - RMB (hedged) CNH 0.09 16 January 2015

JPM Global High Yield Bond A (mth) - HKD HKD 0.06 16 January 2015

JPM Global High Yield Bond A (mth) - SGD SGD 0.07 16 January 2015

JPM Global High Yield Bond A (mth) - USD USD 0.58 16 January 2015

JPM Global High Yield Bond B (mth) - USD USD 0.59 16 January 2015

JPM Global High Yield Bond C (mth) - USD USD 0.58 16 January 2015

JPM Global High Yield Bond I (mth) - USD USD 0.56 16 January 2015

JPM Global Income A (irc) - AUD (hedged) AUD 0.08 16 January 2015

JPM Global Income A (irc) - RMB (hedged) CNH 0.08 16 January 2015

JPM Global Income A (mth) - SGD (hedged) SGD 0.06 16 January 2015

JPM Global Income A (mth) - USD (hedged) USD 0.52 16 January 2015

JPM Global Income B (mth) - USD (hedged) USD 0.53 16 January 2015

JPM Global Income D (mth) - USD (hedged) USD 0.52 16 January 2015

JPM Global Income I (mth) - JPY (hedged) JPY 52.00 16 January 2015

JPM Global Income X (irc) - AUD (hedged) AUD 0.06 16 January 2015

JPM Income Opportunity A (perf) (irc) - RMB (hedged) CNH 0.05 16 January 2015

JPM Income Opportunity A (perf) (mth) - USD USD 0.14 16 January 2015

JPM Income Opportunity B (perf) (mth) - USD USD 0.14 16 January 2015

JPM Global Convertibles (USD) A (mth) - USD USD 0.10 18 February 2015

JPM Global Convertibles (USD) B (mth) - USD USD 0.11 18 February 2015

JPM Global Convertibles (USD) D (mth) - USD USD 0.11 18 February 2015

JPM Global High Yield Bond A (irc) - AUD (hedged) AUD 0.08 18 February 2015

JPM Global High Yield Bond A (irc) - CAD (hedged) CAD 0.06 18 February 2015

JPM Global High Yield Bond A (irc) - NZD (hedged) NZD 0.11 18 February 2015

JPM Global High Yield Bond A (irc) - RMB (hedged) CNH 0.09 18 February 2015

JPM Global High Yield Bond A (mth) - HKD HKD 0.07 18 February 2015

JPM Global High Yield Bond A (mth) - SGD SGD 0.08 18 February 2015

JPM Global High Yield Bond A (mth) - USD USD 0.59 18 February 2015

JPM Global High Yield Bond B (mth) - USD USD 0.61 18 February 2015

JPM Global High Yield Bond C (mth) - USD USD 0.60 18 February 2015

JPM Global High Yield Bond I (mth) - USD USD 0.58 18 February 2015

JPM Global Income A (irc) - AUD (hedged) AUD 0.08 18 February 2015

JPM Global Income A (irc) - RMB (hedged) CNH 0.08 18 February 2015

JPM Global Income A (mth) - SGD (hedged) SGD 0.06 18 February 2015

JPM Global Income A (mth) - USD (hedged) USD 0.51 18 February 2015

JPM Global Income B (mth) - USD (hedged) USD 0.52 18 February 2015

JPM Global Income D (mth) - USD (hedged) USD 0.51 18 February 2015

JPM Global Income I (mth) - JPY (hedged) JPY 52.00 18 February 2015

JPM Global Income X (irc) - AUD (hedged) AUD 0.06 18 February 2015

JPM Income Opportunity A (perf) (irc) - RMB (hedged) CNH 0.06 18 February 2015

JPM Income Opportunity A (perf) (mth) - USD USD 0.19 18 February 2015

JPM Income Opportunity B (perf) (mth) - USD USD 0.19 18 February 2015

JPM Global High Yield Bond C (div) - EUR (hedged) EUR 1.36 23 February 2015

JPM Global High Yield Bond D (div) - EUR (hedged) EUR 1.33 23 February 2015

JPM Global Income A (div) - CHF (hedged) CHF 1.48 23 February 2015

JPM Global Income A (div) - EUR EUR 1.71 23 February 2015

JPM Global Income A (div) - SGD SGD 0.19 23 February 2015

JPM Global Income A (div) - SGD (hedged) SGD 0.20 23 February 2015

JPM Global Income A (div) - USD (hedged) USD 1.68 23 February 2015

JPM Global Income B (div) - EUR EUR 1.26 23 February 2015

JPM Global Income B (div) - USD (hedged) USD 1.73 23 February 2015

JPM Global Income C (div) - EUR EUR 1.41 23 February 2015

JPM Global Income C (div) - USD (hedged) USD 1.64 23 February 2015

JPM Global Income D (div) - EUR EUR 1.51 23 February 2015

JPM Global Income D (div) - USD (hedged) USD 1.69 23 February 2015

JPM Global Income T (div) - EUR EUR 1.25 23 February 2015

JPM Global Income X (div) - EUR EUR 1.41 23 February 2015

JPM Income Opportunity A (perf) (fix) EUR 2.35 - EUR (hedged) EUR 0.59 23 February 2015

JPM Income Opportunity D (perf) (fix) EUR 2.15 - EUR (hedged) EUR 0.54 23 February 2015

JPM Global Convertibles (USD) A (mth) - USD USD 0.10 18 March 2015

JPM Global Convertibles (USD) B (mth) - USD USD 0.11 18 March 2015

JPM Global Convertibles (USD) D (mth) - USD USD 0.11 18 March 2015

JPM Global High Yield Bond A (irc) - AUD (hedged) AUD 0.07 18 March 2015

16



As at 30 June 2015


JPM Global High Yield Bond A (irc) - CAD (hedged) CAD 0.06 18 March 2015

JPM Global High Yield Bond A (irc) - NZD (hedged) NZD 0.10 18 March 2015

JPM Global High Yield Bond A (irc) - RMB (hedged) CNH 0.09 18 March 2015

JPM Global High Yield Bond A (mth) - HKD HKD 0.07 18 March 2015

JPM Global High Yield Bond A (mth) - SGD SGD 0.08 18 March 2015

JPM Global High Yield Bond A (mth) - USD USD 0.59 18 March 2015

JPM Global High Yield Bond B (mth) - USD USD 0.61 18 March 2015

JPM Global High Yield Bond C (mth) - USD USD 0.60 18 March 2015

JPM Global High Yield Bond I (mth) - USD USD 0.58 18 March 2015

JPM Global Income A (irc) - AUD (hedged) AUD 0.07 18 March 2015

JPM Global Income A (irc) - RMB (hedged) CNH 0.08 18 March 2015

JPM Global Income A (mth) - SGD (hedged) SGD 0.06 18 March 2015

JPM Global Income A (mth) - USD (hedged) USD 0.51 18 March 2015

JPM Global Income B (mth) - USD (hedged) USD 0.52 18 March 2015

JPM Global Income D (mth) - USD (hedged) USD 0.51 18 March 2015

JPM Global Income I (mth) - JPY (hedged) JPY 52.00 18 March 2015

JPM Global Income X (irc) - AUD (hedged) AUD 0.06 18 March 2015

JPM Income Opportunity A (perf) (irc) - RMB (hedged) CNH 0.06 18 March 2015

JPM Income Opportunity A (perf) (mth) - USD USD 0.19 18 March 2015

JPM Income Opportunity B (perf) (mth) - USD USD 0.19 18 March 2015

JPM Global Convertibles (USD) A (dist) - USD USD 0.04 30 March 2015

JPM Global Financials A (dist) - USD USD 0.39 30 March 2015

JPM Global Financials C (dist) - USD USD 1.41 30 March 2015

JPM Global High Yield Bond A (dist) - USD USD 5.01 30 March 2015

JPM Global High Yield Bond A (inc) - EUR (hedged) EUR 5.29 30 March 2015

JPM Global High Yield Bond B (dist) - EUR (hedged) EUR 5.06 30 March 2015

JPM Global High Yield Bond C (dist) - USD USD 6.10 30 March 2015

JPM Global High Yield Bond C (inc) - EUR (hedged) EUR 2.20 30 March 2015

JPM Global High Yield Bond I (dist) - EUR (hedged) EUR 5.25 30 March 2015

JPM Global High Yield Bond I (dist) - USD USD 5.68 30 March 2015

JPM Global High Yield Bond I (inc) - EUR (hedged) EUR 4.97 30 March 2015

JPM Global Income A (inc) - EUR EUR 4.16 30 March 2015

JPM Global Income B (dist) - GBP (hedged) GBP 3.36 30 March 2015

JPM Global Income B (dist) - USD (hedged) USD 4.80 30 March 2015

JPM Income Opportunity A (perf) (dist) - GBP (hedged) GBP 1.71 30 March 2015

JPM Income Opportunity A (perf) (inc) - EUR (hedged) EUR 2.48 30 March 2015

JPM Income Opportunity B (perf) (dist) - EUR (hedged) EUR 2.08 30 March 2015

JPM Income Opportunity B (perf) (dist) - GBP (hedged) GBP 1.43 30 March 2015

JPM Income Opportunity B (perf) (inc) - EUR (hedged) EUR 1.77 30 March 2015

JPM Income Opportunity C (perf) (dist) - GBP (hedged) GBP 2.42 30 March 2015

JPM Income Opportunity C (perf) (dist) - USD USD 2.20 30 March 2015

JPM Income Opportunity D (perf) (inc) - EUR (hedged) EUR 1.69 30 March 2015

JPM Income Opportunity I (perf) (dist) - GBP (hedged) GBP 1.53 30 March 2015

JPM Income Opportunity I (perf) (dist) - USD USD 2.78 30 March 2015

JPM Income Opportunity I (perf) (inc) - EUR (hedged) EUR 2.16 30 March 2015

JPM Income Opportunity X (perf) (dist) - GBP (hedged) GBP 2.04 30 March 2015

JPM Japan Strategic Value A (dist) - GBP GBP 0.15 30 March 2015

JPM Japan Strategic Value A (dist) - GBP (hedged) GBP 0.07 30 March 2015

JPM Global Convertibles (USD) A (mth) - USD USD 0.10 16 April 2015

JPM Global Convertibles (USD) B (mth) - USD USD 0.11 16 April 2015

JPM Global Convertibles (USD) D (mth) - USD USD 0.11 16 April 2015

JPM Global High Yield Bond A (irc) - AUD (hedged) AUD 0.07 16 April 2015

JPM Global High Yield Bond A (irc) - CAD (hedged) CAD 0.06 16 April 2015

JPM Global High Yield Bond A (irc) - NZD (hedged) NZD 0.11 16 April 2015

JPM Global High Yield Bond A (irc) - RMB (hedged) CNH 0.10 16 April 2015

JPM Global High Yield Bond A (mth) - HKD HKD 0.07 16 April 2015

JPM Global High Yield Bond A (mth) - SGD SGD 0.08 16 April 2015

JPM Global High Yield Bond A (mth) - USD USD 0.59 16 April 2015

JPM Global High Yield Bond B (mth) - USD USD 0.61 16 April 2015

JPM Global High Yield Bond C (mth) - USD USD 0.60 16 April 2015

JPM Global High Yield Bond I (mth) - USD USD 0.58 16 April 2015

JPM Global Income A (irc) - AUD (hedged) AUD 0.08 16 April 2015

JPM Global Income A (irc) - RMB (hedged) CNH 0.08 16 April 2015

JPM Global Income A (mth) - GBP (hedged) GBP 0.27 16 April 2015

JPM Global Income A (mth) - SGD (hedged) SGD 0.06 16 April 2015

JPM Global Income A (mth) - USD (hedged) USD 0.51 16 April 2015

JPM Global Income B (mth) - USD (hedged) USD 0.52 16 April 2015

JPM Global Income D (mth) - USD (hedged) USD 0.51 16 April 2015

JPM Global Income I (mth) - JPY (hedged) JPY 52.00 16 April 2015

JPM Global Income X (irc) - AUD (hedged) AUD 0.06 16 April 2015

JPM Income Opportunity A (perf) (irc) - RMB (hedged) CNH 0.06 16 April 2015

17



As at 30 June 2015


JPM Income Opportunity A (perf) (mth) - USD USD 0.19 16 April 2015

JPM Income Opportunity B (perf) (mth) - USD USD 0.19 16 April 2015

JPM Global Convertibles (USD) A (mth) - USD USD 0.06 19 May 2015

JPM Global Convertibles (USD) B (mth) - USD USD 0.06 19 May 2015

JPM Global Convertibles (USD) D (mth) - USD USD 0.06 19 May 2015

JPM Global High Yield Bond A (irc) - AUD (hedged) AUD 0.07 19 May 2015

JPM Global High Yield Bond A (irc) - CAD (hedged) CAD 0.06 19 May 2015

JPM Global High Yield Bond A (irc) - NZD (hedged) NZD 0.10 19 May 2015

JPM Global High Yield Bond A (irc) - RMB (hedged) CNH 0.09 19 May 2015

JPM Global High Yield Bond A (mth) - HKD HKD 0.06 19 May 2015

JPM Global High Yield Bond A (mth) - SGD SGD 0.08 19 May 2015

JPM Global High Yield Bond A (mth) - USD USD 0.57 19 May 2015

JPM Global High Yield Bond B (mth) - USD USD 0.58 19 May 2015

JPM Global High Yield Bond C (mth) - USD USD 0.57 19 May 2015

JPM Global High Yield Bond I (mth) - USD USD 0.56 19 May 2015

JPM Global Income A (irc) - AUD (hedged) AUD 0.07 19 May 2015

JPM Global Income A (irc) - RMB (hedged) CNH 0.07 19 May 2015

JPM Global Income A (mth) - GBP (hedged) GBP 0.26 19 May 2015

JPM Global Income A (mth) - SGD (hedged) SGD 0.06 19 May 2015

JPM Global Income A (mth) - USD (hedged) USD 0.50 19 May 2015

JPM Global Income B (mth) - USD (hedged) USD 0.51 19 May 2015

JPM Global Income D (mth) - USD (hedged) USD 0.50 19 May 2015

JPM Global Income I (mth) - JPY (hedged) JPY 51.00 19 May 2015

JPM Global Income X (irc) - AUD (hedged) AUD 0.06 19 May 2015

JPM Income Opportunity A (perf) (irc) - RMB (hedged) CNH 0.05 19 May 2015

JPM Income Opportunity A (perf) (mth) - USD USD 0.21 19 May 2015

JPM Income Opportunity B (perf) (mth) - USD USD 0.21 19 May 2015

JPM Global High Yield Bond C (div) - EUR (hedged) EUR 1.31 21 May 2015

JPM Global High Yield Bond D (div) - EUR (hedged) EUR 1.27 21 May 2015

JPM Global Income A (div) - CHF (hedged) CHF 1.40 21 May 2015

JPM Global Income A (div) - EUR EUR 1.63 21 May 2015

JPM Global Income A (div) - SGD SGD 0.17 21 May 2015

JPM Global Income A (div) - SGD (hedged) SGD 0.19 21 May 2015

JPM Global Income A (div) - USD (hedged) USD 1.60 21 May 2015

JPM Global Income B (div) - EUR EUR 1.20 21 May 2015

JPM Global Income B (div) - USD (hedged) USD 1.65 21 May 2015

JPM Global Income C (div) - EUR EUR 1.35 21 May 2015

JPM Global Income C (div) - USD (hedged) USD 1.56 21 May 2015

JPM Global Income D (div) - EUR EUR 1.44 21 May 2015

JPM Global Income D (div) - USD (hedged) USD 1.61 21 May 2015

JPM Global Income T (div) - EUR EUR 1.19 21 May 2015

JPM Global Income X (div) - EUR EUR 1.35 21 May 2015

JPM Income Opportunity A (perf) (fix) EUR 2.35 - EUR (hedged) EUR 0.59 21 May 2015

JPM Income Opportunity D (perf) (fix) EUR 2.15 - EUR (hedged) EUR 0.54 21 May 2015

JPM Global Convertibles (USD) A (mth) - USD USD 0.06 17 June 2015

JPM Global Convertibles (USD) B (mth) - USD USD 0.06 17 June 2015

JPM Global Convertibles (USD) D (mth) - USD USD 0.06 17 June 2015

JPM Global High Yield Bond A (irc) - AUD (hedged) AUD 0.07 17 June 2015

JPM Global High Yield Bond A (irc) - CAD (hedged) CAD 0.06 17 June 2015

JPM Global High Yield Bond A (irc) - NZD (hedged) NZD 0.10 17 June 2015

JPM Global High Yield Bond A (irc) - RMB (hedged) CNH 0.08 17 June 2015

JPM Global High Yield Bond A (mth) - HKD HKD 0.06 17 June 2015

JPM Global High Yield Bond A (mth) - SGD SGD 0.08 17 June 2015

JPM Global High Yield Bond A (mth) - USD USD 0.57 17 June 2015

JPM Global High Yield Bond B (mth) - USD USD 0.58 17 June 2015

JPM Global High Yield Bond C (mth) - USD USD 0.57 17 June 2015

JPM Global High Yield Bond I (mth) - USD USD 0.56 17 June 2015

JPM Global Income A (irc) - AUD (hedged) AUD 0.07 17 June 2015

JPM Global Income A (irc) - RMB (hedged) CNH 0.06 17 June 2015

JPM Global Income A (mth) - GBP (hedged) GBP 0.26 17 June 2015

JPM Global Income A (mth) - SGD (hedged) SGD 0.06 17 June 2015

JPM Global Income A (mth) - USD (hedged) USD 0.50 17 June 2015

JPM Global Income B (mth) - USD (hedged) USD 0.51 17 June 2015

JPM Global Income D (mth) - USD (hedged) USD 0.50 17 June 2015

JPM Global Income I (mth) - JPY (hedged) JPY 51.00 17 June 2015

JPM Global Income X (irc) - AUD (hedged) AUD 0.06 17 June 2015

JPM Income Opportunity A (perf) (irc) - RMB (hedged) CNH 0.04 17 June 2015

JPM Income Opportunity A (perf) (mth) - USD USD 0.21 17 June 2015

JPM Income Opportunity B (perf) (mth) - USD USD 0.21 17 June 2015

* Share class name changed from JPM Japan 50 Equity A (dist) - JPY on 1 April 2015.

18



As at 30 June 2015

5. Taxation

Under current law and practice, the SICAV is not subject to any taxes in Luxembourg on income or capital gains, nor are dividends distributed by the SICAVliable to any withholding tax. The only tax to which the SICAV in Luxembourg is subject is the subscription tax, (“taxe d’abonnement”) up to a rate of 0.05%per annum based on the net asset value attributed to each Share Class at the end of the relevant quarter, calculated and paid quarterly. A reduced tax rate of0.01% per annum of the net assets will be applicable to Share Classes as indentified in the Appendix. The 0.01% and 0.05% rates described above, asappropriate, are not applicable for the portion of the assets of the SICAV invested in other Luxembourg collective investment undertakings which arethemselves already subject to the taxe d’abonnement.

No stamp duty or other tax is payable on the issue of shares in the SICAV in the Grand Duchy of Luxembourg. No tax is payable on realised or unrealisedcapital appreciation of the assets of the SICAV in the Grand Duchy of Luxembourg. Although the SICAV’s realised capital gains, whether short or long-term,are not expected to become taxable in another country, the shareholders must be aware and recognise that such a possibility is not totally excluded. Theregular income of the SICAV from some of its securities, as well as interest earned on cash deposits in certain countries, may be subject to withholding taxesat varying rates, which normally cannot be recovered.

Following case law precedent within Europe, the SICAV has instigated proceedings to reclaim tax witheld by certain Member States of the European Union ondividend payments it has received. The decision to initiate proceedings against any particular Member State is the result of an analysis of the likely costs andpotential benefits of doing so and the likelihood of successfully reclaiming such amounts together with the estimated time to complete proceedings varies acrossMember States. Any costs associated with this decision have been charged to the relevant Sub-Funds and have been included within total costs for the purposes ofdetermining the relevant expense cap or TER and no amount has been recorded in the SICAV for any possible amounts to be received under this action.

6. Statement of Changes in Investments

A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the financial period under review, may beobtained free of charge upon request at the registered office of the SICAV. Additional information on investments within each Sub-Fund’s portfolio isavailable to shareholders at the registered office of the SICAV.

7. Value of Financial Instruments and Associated Risks

The SICAV entered into forward currency exchange contracts, financial futures contracts, options and swaps which, to varying degrees, represent a marketrisk in excess of the amount reflected on the Combined Statement of Net Assets. The amount of the contracts represents the extent of the SICAV’sparticipation in these financial instruments. Market risks associated with such contracts arise due to the possible movements in foreign exchange rates,indices, and security values underlying these instruments. Other market and credit risks include the possibility that there may be an illiquid market for thecontracts, that a change in the value of the contracts may not directly correlate with changes in the value of the underlying currencies, indices, or securities,or that the counterparty to a contract defaults on its obligation to perform under the terms of the contract.

8. Collateral Received in respect of Financial Techniques and Financial Derivative Instruments

Assets received from counterparties in securities lending activities and OTC derivative transactions other than currency forwards constitute collateral.

The SICAV will only enter into transactions with counterparties which the Management Company believes to be creditworthy. Approved counterparties willtypically have a public rating of A- or above. Counterparties will comply with prudential rules considered by the CSSF as equivalent to EU prudential rules. Thecounterparty does not have discretion over the composition or management of a Sub-Fund’s portfolio or over the underlying of financial derivativeinstruments used by a Sub-Fund. Counterparty approval is not required in relation to any investment decision made by a Sub-Fund.

Collateral may be offset against gross counterparty exposure provided it meets a range of standards, including those for liquidity, valuation, issuer creditquality, correlation and diversification. In offsetting collateral its value is reduced by a percentage (a “haircut”) which provides, inter alia, for short termfluctuations in the value of the exposure and of the collateral. Collateral levels are maintained to ensure that net counterparty exposure does not exceed thelimits per counterparty as set out in Appendix II of the prospectus. If any, collateral is received in the form of securities and cash. Non-cash collateral receivedis not sold, reinvested or pledged.

Collateral received in respect of financial derivative instruments are shown in the Appendix.

9. Securities Lending

The SICAV may lend portions of its securities portfolio to third parties for the purpose of generating additional income or for reducing costs or risk, to themaximum extent allowed by and within the limits set forth in (i) article 11 of the Grand Ducal regulation of 8 February 2008 relating to certain definitions ofthe Luxembourg Law, (ii) CSSF Circular 08/356 relating to the rules applicable to undertakings for collective investments when they use certain techniquesand instruments relating to transferable securities and money market instruments (“CSSF Circular 08/356”) and (iii) any other applicable laws, regulations,circulars or CSSF positions.

A significant proportion of the income generated from the securities lending program is credited to participating Sub-Funds, with a portion of the incomebeing paid to JPMorgan Chase Bank, N.A. for its role as securities lending agent for the SICAV. Borrowers of securities lent by participating Sub-Funds areapproved by the Management Company after appropriate assessment of such borrowers’ status and financial standing. From 1 January 2013, theManagement Company has waived the incremental income previously received from the portion of income generated by Securities Lending, for its oversightof the program. From this date, 85% of any incremental income earned from securities lending is accrued to the applicable Sub-Fund, with the remainingincome payable to the securities lending agent which arranges the transaction. The income earned from the securities lending program is detailed in theCombined Statement of Operations and Changes in Net Assets. As at 30 June 2015, the SICAV valuation of securities on loan is USD 179,219,565 as detailedbelow and received collateral with a market value of USD 191,925,769.

10. Transactions with Connected Parties

All transactions with connected parties were carried out on an arm’s length basis.

JPMorgan Chase & Co. and its affiliates are counterparties for all securities lending activity and for certain forward foreign exchange contracts, financialfutures contracts and swaps contracts. The Management Company, Registrar and Transfer Agent, Domiciliary Agent and Global Distributor, InvestmentManagers, Custodian, Corporate and Administrative Agent and other related Agents of the SICAV are considered as connected parties as they are affiliatedentities of JPMorgan Chase & Co. In addition Elvinger, Hoss & Prussen (of which Mr Jacques Elvinger who is on the Board of Directors of the SICAV, is apartner) is compensated for legal services to the SICAV.

19



As at 30 June 2015

11. Commission Sharing Arrangements

The Investment Managers may enter into commission sharing arrangements only where there is a direct and identifiable benefit to the clients of theInvestment Managers, including the SICAV, and where the Investment Managers are satisfied that the transactions generating the shared commissions aremade in good faith, in strict compliance with applicable regulatory requirements and in the best interests of the SICAV and the Shareholders. Any sucharrangements must be made by the Investment Manager on terms commensurate with best market practice. Due to their local regulatory rights, certainInvestment Managers may make use of soft commission to pay for research or execution services. Other jurisdictions may have other arrangements in placeto pay for such services in accordance with local regulatory obligations.

12. Information for German Registered Shareholders

A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the financial period under review, may beobtained free of charge upon request at the registered office of the SICAV and at the office of the German paying and information agent, J.P. Morgan BankAG, Junghofstraße 14, D-60311 Frankfurt am Main. Additional information on investments within each Sub-Fund’s portfolio is available to shareholders atthe registered office of the SICAV and at the office of the German paying and information agent.

13. Information for Swiss Registered Shareholders

J.P. Morgan (Suisse) S.A. was authorised by the Swiss Financial Market Supervisory Authority (FINMA) as Swiss representative of the SICAV and acts also aspaying agent. The Prospectus, the Key Investor Information Documents, the articles, the annual and semi-annual reports of the SICAV, as well as a list of thepurchases and sales which the SICAV has undertaken during the financial period may be obtained, on simple request and free of charge, at the head office ofthe Swiss representative of the SICAV, J.P. Morgan (Suisse) S.A., 8, rue de la Confédération, CH-1204 Geneva, Switzerland.

Trailer fee, payments/compensations can be paid out from the management fee for the distribution/marketing of the investment fund to distributors.Reimbursements/Rebates can be granted out of the management fee to institutional investors who hold the Sub-Fund shares for the economic benefit ofthird parties.

14. Authorisation of Sub-Funds in Singapore

Certain share classes of the following Sub-Funds are authorised in Singapore and are available to Singapore residents:• JPMorgan Investment Funds - Global Convertibles Fund (USD)

• JPMorgan Investment Funds - Global Financials Fund

• JPMorgan Investment Funds - Global High Yield Bond Fund

• JPMorgan Investment Funds - Global Income Fund

• JPMorgan Investment Funds - Income Opportunity Fund

• JPMorgan Investment Funds - Japan Strategic Value Fund

15. Directors Fees

The only remuneration paid to Directors is an annual fee. This is waived by Mr Daniel Watkins and Mr Massimo Greco. The total Directors’ fee for the periodamounted to EUR 104,137 of which EUR 24,795 was due to the Chairman.

16. Transaction Costs

For the period ended 30 June 2015, the SICAV incurred transaction costs which have been defined as brokerage fees relating to purchase or sale oftransferable securities, derivatives (except OTC derivatives), money market instruments or other eligible assets. The SICAV also incurred transaction costscharged by the custodian agent and relating to purchase and sale of transferable securities as follows:

Sub-Fund Base Currency Custodian Transaction Costs andBrokerage Fees

(in Base Currency)

JPMorgan Investment Funds - Global Convertibles Fund (USD) USD 43,184

JPMorgan Investment Funds - Global Financials Fund USD 140,423

JPMorgan Investment Funds - Global High Yield Bond Fund USD 148,346

JPMorgan Investment Funds - Global Income Fund EUR 11,782,399

JPMorgan Investment Funds - Income Opportunity Fund USD 206,478

JPMorgan Investment Funds - Japan Strategic Value Fund JPY 50,694,745

For fixed income securities, transaction costs are not separately identifiable from the purchase price of the security and therefore cannot be disclosed separately.

17. Events during the Period

The Board agreed the following corporate actions and other significant amendments relating to Sub-Funds during the period:

a) Changes to management and advisory fee, operating and administrative fee, minimum initial subscription and minimum holding amounts in B Share Classes

With effect from 1 April 2015, Annual Management and Advisory Fee and Operating and Administrative Fee have been reduced for B Share Classes. On thesame date, the minimum initial subscription and minimum holding amounts have been increased and revisions to instances when minimum subscription andholding amounts do not apply and when minimum subscription amount might be waived.

b) Distribution Fees in D and T Share Classes

With effect from 1 April 2015, a separate Distribution Fee has been introduced and has been included to the “Management and Fund Charges” or “Chargesand Expenses” sections of the Prospectus in respect of the D and T share Classes. As from the creation of the Distribution Fee, the Annual Management andAdvisory Fee was lowered proportionally. The TER of the respective Share Classes remained unchanged. Refer to Note 3 e).

The prospectus has been amended to reflect the above changes.

20



As at 30 June 2015

18. Subsequent Events

a) Changes to operating and administrative expenses

With effect from 1 July 2015, changes have been made to the Operating & Administrative Expenses (“O&A”) across all Sub-Funds within the SICAV.

• For those share classes where the O&A is currently set at a fixed rate, the O&A rate has been replaced with capped O&A rates that have been set at eitherthe current fixed rate or a lower rate based on an analysis of the actual direct expenses of the share classes. With a capped O&A rate, the Share Classes willpay the actual expenses incurred by the Sub-Fund until the cap is reached.Share classes that currently have a capped O&A will not be impacted by this change and, in some instances, may experience a reduction in the maximumO&A expense cap.

• The “Fund Servicing Fee” has been capped and it has now been re-ordered in the prospectus to more explicitly define it as a component of the O&AExpenses that is paid to the Management Company for the services that the Management Company provides to the Sub-Fund.This Fund Servicing Fee has been capped at 0.15% of the NAV and will be reviewed annually.

The prospectus has been amended in July 2015 to reflect the above changes.

b) Share Class management and advisory fee rate reduction

With effect from 1 July 2015, the Management Company reduced the Annual Management and Advisory Fee from 1.50% to 1.25% for JPMorgan InvestmentFunds - Global Convertibles Fund (USD), share class JPM Global Convertibles (USD) A.

c) Share Class merger and name change

With effect from 28 October 2015, the “B” share class will be merged into the equivalent “C” share class within the same Sub-Fund or, where a corresponding“C” share class within the same Sub-Fund has not been launched, renamed to the equivalent “C” share class with share class identifiers retained.

21



As at 30 June 2015

Transferable securities and money market instruments admitted to an official exchangelisting

Convertible Bonds

AustriaIMMOFINANZ AG, Reg. S 1.5%11/09/2019 EUR 3,500,000 4,487,156 0.40

4,487,156 0.40

BelgiumCofinimmo SA, REIT, Reg. S 2%20/06/2018 EUR 1,423,100 1,915,432 0.17Sagerpar SA, Reg. S 0.375%09/10/2018 EUR 4,500,000 5,615,318 0.50

7,530,750 0.67

BermudaBW Group Ltd., Reg. S 1.75%10/09/2019 USD 4,000,000 3,674,700 0.33

3,674,700 0.33

Cayman IslandsASM Pacific Technology Ltd., Reg. S2% 28/03/2019 HKD 24,000,000 3,345,345 0.30AYC Finance Ltd., Reg. S 0.5%02/05/2019 USD 2,800,000 3,029,516 0.27China Overseas Finance InvestmentCayman IV Ltd., Reg. S 0%04/02/2021 USD 7,400,000 8,764,375 0.79ENN Energy Holdings Ltd., Reg. S 0%26/02/2018 USD 6,250,000 7,085,062 0.64Hengan International Group Co. Ltd.,Reg. S 0% 27/06/2018 HKD 44,000,000 6,068,172 0.54Kingsoft Corp. Ltd., Reg. S 1.25%11/04/2019 HKD 26,000,000 3,300,069 0.30Semiconductor ManufacturingInternational Corp., Reg. S 0%07/11/2018 USD 4,600,000 5,452,104 0.49Shenzhou International GroupHoldings Ltd., Reg. S 0.5%18/06/2019 HKD 36,000,000 5,395,354 0.48TPK Holding Co. Ltd., Reg. S 0%08/04/2020 USD 1,500,000 1,477,965 0.13Zhen Ding Technology Holding Ltd.,Reg. S 0% 26/06/2019 USD 1,700,000 1,885,164 0.17

45,803,126 4.11

FinlandOutokumpu OYJ, Reg. S 3.25%26/02/2020 EUR 1,400,000 1,565,955 0.14

1,565,955 0.14

FranceAir France-KLM, Reg. S 2.03%15/02/2023 EUR 31,141,400 3,606,450 0.32Alcatel-Lucent, Reg. S 0%30/01/2019 EUR 163,999,900 8,166,597 0.73Alcatel-Lucent, Reg. S 0.125%30/01/2020 EUR 176,633,000 8,787,766 0.79BNP Paribas SA, Reg. S 0.25%27/09/2016 EUR 7,500,000 9,145,313 0.82Cap Gemini SA, Reg. S 0%01/01/2019 EUR 4,881,400 4,989,302 0.45Cie Generale des EtablissementsMichelin 0% 01/01/2017 EUR 5,720,300 9,031,217 0.81Credit Agricole SA, Reg. S 0%06/12/2016 EUR 8,214,100 6,923,007 0.62Fonciere Des Regions, REIT, Reg. S0.875% 01/04/2019 EUR 9,769,500 10,671,663 0.96Ingenico Group, Reg. S 0%26/06/2022 EUR 2,181,500 4,152,802 0.37Misarte 3.25% 01/01/2016 EUR 2,288,700 4,456,040 0.40Neopost SA, Reg. S, FRN 0%Perpetual EUR 2,568,800 1,624,658 0.15Orpar SA, Reg. S 0% 15/07/2019 EUR 3,300,000 3,771,320 0.34Peugeot SA 4.45% 01/01/2016 EUR 13,580,100 4,691,929 0.42Rallye SA, Reg. S 1% 02/10/2020 EUR 3,455,000 4,166,703 0.37SOITEC 6.75% 18/09/2018 EUR 22,485,800 409,583 0.04Suez Environnement Co., Reg. S 0%27/02/2020 EUR 19,951,000 4,832,594 0.43Unibail-Rodamco SE, REIT, Reg. S 0%01/01/2022 EUR 5,210,400 20,207,919 1.81

109,634,863 9.83

GermanyDeutsche Wohnen AG, Reg. S 0.5%22/11/2020 EUR 3,000,000 4,404,970 0.39Fresenius Medical Care AG & Co.KGaA, Reg. S 1.125% 31/01/2020 EUR 3,400,000 4,601,157 0.41Fresenius SE & Co. KGaA, Reg. S 0%24/09/2019 EUR 2,800,000 4,076,436 0.37Haniel Finance Deutschland GmbH,Reg. S 0% 12/05/2020 EUR 2,100,000 2,436,254 0.22RAG-Stiftung, Reg. S 0% 31/12/2018 EUR 7,000,000 8,979,761 0.81RAG-Stiftung, Reg. S 0% 18/02/2021 EUR 7,400,000 9,606,923 0.86

34,105,501 3.06

HungaryMagyar Nemzeti Vagyonkezelo Zrt.,Reg. S 3.375% 02/04/2019 EUR 2,800,000 3,370,240 0.30

3,370,240 0.30

ItalyBeni Stabili SpA SIIQ, REIT, Reg. S2.625% 17/04/2019 EUR 4,300,000 5,623,815 0.50Eni SpA, Reg. S 0.625% 18/01/2016 EUR 7,900,000 9,455,279 0.85Prysmian SpA, Reg. S 1.25%08/03/2018 EUR 3,900,000 4,863,792 0.44

19,942,886 1.79

JapanAsics Corp., Reg. S 0% 01/03/2019 JPY 460,000,000 4,767,427 0.43Chugoku Electric Power Co., Inc.(The), Reg. S 0% 25/03/2020 JPY 1,030,000,000 9,164,086 0.82Fukuyama Transporting Co. Ltd., Reg.S 0% 22/03/2017 JPY 430,000,000 4,549,863 0.41Japan Airport Terminal Co. Ltd., Reg.S 0% 06/03/2020 JPY 120,000,000 1,099,743 0.10Japan Airport Terminal Co. Ltd., Reg.S 0% 04/03/2022 JPY 140,000,000 1,304,179 0.12Joyo Bank Ltd. (The), Reg. S 0%24/04/2019 USD 4,700,000 4,882,994 0.44Kawasaki Kisen Kaisha Ltd., Reg. S0% 26/09/2018 JPY 990,000,000 8,849,203 0.79Kureha Corp. 0% 14/03/2018 JPY 220,000,000 2,105,957 0.19Makino Milling Machine Co. Ltd., Reg.S 0% 19/03/2018 JPY 140,000,000 1,707,029 0.15Nagoya Railroad Co. Ltd., Reg. S 0%11/12/2024 JPY 1,350,000,000 11,510,271 1.03Resorttrust, Inc., Reg. S 0%01/12/2021 JPY 930,000,000 8,525,862 0.76Shizuoka Bank Ltd. (The), Reg. S 0%25/04/2018 USD 2,500,000 2,486,375 0.22T&D Holdings, Inc., Reg. S 0%05/06/2020 JPY 320,000,000 2,748,810 0.25Takashimaya Co. Ltd. 0% 11/12/2018 JPY 1,250,000,000 10,670,895 0.96Takashimaya Co. Ltd. 0% 11/12/2020 JPY 200,000,000 1,809,592 0.16Teijin Ltd., Reg. S 0% 12/12/2018 JPY 590,000,000 5,972,417 0.54Teijin Ltd., Reg. S 0% 10/12/2021 JPY 270,000,000 2,826,809 0.25Terumo Corp., Reg. S 0% 06/12/2021 JPY 640,000,000 5,502,801 0.49Toray Industries, Inc., Reg. S 0%30/08/2019 JPY 540,000,000 5,371,651 0.48Toray Industries, Inc., Reg. S 0%31/08/2021 JPY 540,000,000 5,700,756 0.51Yamada Denki Co. Ltd., Reg. S 0%28/06/2019 JPY 1,210,000,000 10,789,917 0.97Yamaguchi Financial Group, Inc., Reg.S 0% 20/12/2018 USD 4,000,000 4,843,600 0.43Yamaguchi Financial Group, Inc., Reg.S, FRN 0% 26/03/2020 USD 2,600,000 2,781,922 0.25

119,972,159 10.75

JerseyBritish Land Jersey Ltd., Reg. S 1.5%10/09/2017 GBP 5,000,000 9,338,872 0.84British Land White 2015 Ltd., REIT,Reg. S 0% 09/06/2020 GBP 3,100,000 4,851,964 0.43Derwent London Capital No. 2 JerseyLtd., REIT, Reg. S 1.125% 24/07/2019 GBP 1,300,000 2,427,236 0.22Great Portland Estates Capital JerseyLtd., REIT, Reg. S 1% 10/09/2018 GBP 1,800,000 3,338,316 0.30Intu Jersey Ltd., REIT, Reg. S 2.5%04/10/2018 GBP 3,200,000 5,434,882 0.49Premier Oil Finance Jersey Ltd., Reg.S 2.5% 27/07/2018 USD 5,325,000 4,769,682 0.43Vedanta Resources Jersey Ltd., Reg.S 5.5% 13/07/2016 USD 4,200,000 4,178,307 0.37

34,339,259 3.08

22

JPMorgan Investment Funds - Global Convertibles Fund (USD)

Schedule of Investments

As at 30 June 2015

Investments CurrencyQuantity/

Nominal ValueMarket Value

USD

%of

NetAssets Investments Currency

Quantity/Nominal Value

Market ValueUSD

%of

NetAssets

LuxembourgGBL Verwaltung SA, Reg. S 1.25%07/02/2017 EUR 13,100,000 15,904,494 1.43

15,904,494 1.43

MexicoAmerica Movil SAB de CV, Reg. S 0%28/05/2020 EUR 15,300,000 17,602,583 1.58

17,602,583 1.58

NetherlandsACS Actividades Finance 2 BV, Reg. S1.625% 27/03/2019 EUR 4,800,000 6,010,449 0.54QIAGEN NV, Reg. S 0.375%19/03/2019 USD 4,400,000 4,733,894 0.42Salzgitter Finance BV, Reg. S 0%05/06/2022 EUR 4,200,000 4,668,327 0.42Siemens FinancieringsmaatschappijNV, Reg. S 1.05% 16/08/2017 USD 8,500,000 9,108,090 0.82Siemens FinancieringsmaatschappijNV 1.65% 16/08/2019 USD 13,250,000 14,782,230 1.32STMicroelectronics NV, Reg. S 0%03/07/2019 USD 9,800,000 10,041,864 0.90Volkswagen International FinanceNV, Reg. S 5.5% 09/11/2015 EUR 2,900,000 4,000,480 0.36

53,345,334 4.78

NorwayMarine Harvest ASA, Reg. S 0.875%06/05/2019 EUR 6,800,000 8,867,050 0.79

8,867,050 0.79

PortugalParpublica - Participacoes PublicasSGPS SA, Reg. S 5.25% 28/09/2017 EUR 6,250,000 7,743,058 0.69

7,743,058 0.69

SingaporeCapitaLand Ltd., Reg. S 1.85%19/06/2020 SGD 10,500,000 7,421,317 0.66CapitaLand Ltd., Reg. S 1.95%17/10/2023 SGD 5,000,000 3,861,085 0.35

11,282,402 1.01

South KoreaHyundai Heavy Industries Co. Ltd.,Reg. S 0% 29/06/2020 USD 3,400,000 3,428,577 0.31

3,428,577 0.31

SpainAbengoa SA, Reg. S 6.25%17/01/2019 EUR 3,400,000 4,648,848 0.42Acciona SA, Reg. S 3% 30/01/2019 EUR 2,600,000 3,585,589 0.32Criteria CaixaHolding SA, Reg. S 1%25/11/2017 EUR 10,800,000 13,442,717 1.20Sacyr SA, Reg. S 4% 08/05/2019 EUR 2,100,000 2,194,973 0.20Telefonica SA, Reg. S 6% 24/07/2017 EUR 3,500,000 4,809,959 0.43

28,682,086 2.57

SwedenIndustrivarden AB, Reg. S 1.875%27/02/2017 EUR 5,550,000 6,937,586 0.62Industrivarden AB, Reg. S 0%15/05/2019 SEK 25,000,000 3,411,084 0.31

10,348,670 0.93

TaiwanAdvanced SemiconductorEngineering, Inc., Reg. S 0%05/09/2018 USD 3,800,000 4,940,323 0.44Epistar Corp., Reg. S 0% 07/08/2018 USD 600,000 597,711 0.06

5,538,034 0.50

United Arab EmiratesAabar Investments PJSC, Reg. S 0.5%27/03/2020 EUR 18,000,000 21,178,607 1.90DP World Ltd., Reg. S 1.75%19/06/2024 USD 8,200,000 8,908,890 0.80National Bank of Abu Dhabi PJSC,Reg. S 1% 12/03/2018 USD 4,400,000 4,642,704 0.41

34,730,201 3.11

Virgin Islands, BritishBillion Express Investments Ltd., Reg.S 0.75% 18/10/2015 USD 16,300,000 16,411,655 1.47Shine Power International Ltd., Reg.S 0% 28/07/2019 HKD 28,000,000 3,565,714 0.32Tong Jie Ltd., Reg. S 0% 18/02/2018 HKD 39,000,000 5,252,081 0.47

25,229,450 2.26

Total Convertible Bonds 607,128,534 54.42

Equities

IrelandAllergan PLC Preference 5.5% USD 4,370 4,518,908 0.40

4,518,908 0.40

United States of AmericaFrontier Communications Corp.Preference 11.125% USD 36,651 3,655,387 0.33

3,655,387 0.33

Total Equities 8,174,295 0.73

Warrants

GermanySiemens AG 16/08/2017 EUR 51 722,504 0.06Siemens AG 16/08/2019 EUR 48 1,002,534 0.09

1,725,038 0.15

Total Warrants 1,725,038 0.15

Total Transferable securities and money market instrumentsadmitted to an official exchange listing

617,027,867 55.30

Transferable securities and money market instruments dealt in on another regulatedmarket

Convertible Bonds

AustriaIMMOFINANZ AG 4.25% 08/03/2018 EUR 1,667,310 8,389,421 0.75

8,389,421 0.75

BermudaHorizon Pharma Investment Ltd.,144A 2.5% 15/03/2022 USD 2,600,000 3,555,669 0.32Jazz Investments I Ltd., 144A 1.875%15/08/2021 USD 5,400,000 6,267,159 0.56

9,822,828 0.88

Cayman IslandsCtrip.com International Ltd. 1.25%15/10/2018 USD 11,775,000 13,401,186 1.20Ctrip.com International Ltd., 144A 1%01/07/2020 USD 9,450,000 9,174,249 0.83Qihoo 360 Technology Co. Ltd. 2.5%15/09/2018 USD 4,000,000 3,932,500 0.35

26,507,935 2.38

JapanBic Camera, Inc., Reg. S 0%28/06/2021 JPY 200,000,000 2,658,271 0.24CYBERDYNE, Inc., Reg. S 0%12/12/2017 JPY 210,000,000 1,880,478 0.17Daifuku Co. Ltd., Reg. S 0%02/10/2017 JPY 155,000,000 1,710,045 0.15HIS Co. Ltd., Reg. S 0% 30/08/2019 JPY 320,000,000 2,941,899 0.26Iida Group Holdings Co. Ltd., Reg. S0% 18/06/2020 JPY 260,000,000 2,199,880 0.20K’s Holdings Corp., Reg. S 0%20/12/2019 JPY 150,000,000 1,560,269 0.14LIXIL Group Corp., Reg. S 0%04/03/2020 JPY 380,000,000 3,073,948 0.28Maeda Corp., Reg. S 0% 13/09/2018 JPY 310,000,000 2,995,205 0.27Mitsui OSK Lines Ltd., Reg. S 0%24/04/2020 USD 2,200,000 1,999,173 0.18Nihon Unisys Ltd., Reg. S 0%20/06/2016 JPY 270,000,000 2,551,620 0.23Nikkiso Co. Ltd., Reg. S 0%02/08/2018 JPY 560,000,000 4,735,524 0.42Nippon Ceramic Co. Ltd., Reg. S 0%24/04/2018 JPY 240,000,000 2,194,757 0.20

23


Schedule of Investments (continued)

As at 30 June 2015



USD

%of



Market ValueUSD

%of

NetAssets

Shionogi & Co. Ltd., Reg. S 0%17/12/2019 JPY 190,000,000 1,970,428 0.18Terumo Corp., Reg. S 0% 04/12/2019 JPY 500,000,000 4,287,043 0.38Toho Holdings Co. Ltd., Reg. S 0%30/12/2019 JPY 110,000,000 1,212,136 0.11

37,970,676 3.41

MexicoCemex SAB de CV 3.75% 15/03/2018 USD 11,800,000 13,903,940 1.24Cemex SAB de CV 3.72% 15/03/2020 USD 5,186,000 5,429,094 0.49

19,333,034 1.73

NetherlandsNXP Semiconductors NV, 144A 1%01/12/2019 USD 17,200,000 19,888,016 1.78

19,888,016 1.78

United KingdomJ Sainsbury PLC, Reg. S 1.25%21/11/2019 GBP 3,300,000 5,589,958 0.50

5,589,958 0.50

United States of AmericaAir Lease Corp. 3.875% 01/12/2018 USD 3,085,000 4,162,698 0.37Akamai Technologies, Inc. 0%15/02/2019 USD 5,072,000 5,302,269 0.48BioMarin Pharmaceutical, Inc. 0.75%15/10/2018 USD 1,486,000 2,245,717 0.20Brocade Communications Systems,Inc., 144A 1.375% 01/01/2020 USD 5,268,000 5,493,866 0.49Citrix Systems, Inc. 0.5% 15/04/2019 USD 5,258,000 5,586,625 0.50Cobalt International Energy, Inc.3.125% 15/05/2024 USD 6,989,000 5,119,442 0.46Colony Capital, Inc., REIT 3.875%15/01/2021 USD 2,200,000 2,239,875 0.20Encore Capital Group, Inc. 3%01/07/2020 USD 984,000 1,056,319 0.09Encore Capital Group, Inc. 2.875%15/03/2021 USD 550,000 514,366 0.05FireEye, Inc., 144A 1% 01/06/2035 USD 3,996,000 4,225,770 0.38FireEye, Inc., 144A 1.625%01/06/2035 USD 3,149,000 3,359,589 0.30Hologic, Inc., STEP 2% 01/03/2042 USD 6,730,000 8,897,901 0.80Huron Consulting Group, Inc., 144A1.25% 01/10/2019 USD 1,133,000 1,243,196 0.11Iconix Brand Group, Inc. 1.5%15/03/2018 USD 2,826,000 2,919,470 0.26Illumina, Inc. 0% 15/06/2019 USD 9,799,000 11,354,591 1.02Illumina, Inc. 0.5% 15/06/2021 USD 1,813,000 2,220,925 0.20Impax Laboratories, Inc., 144A 2%15/06/2022 USD 4,929,000 4,959,806 0.44Intel Corp. 2.95% 15/12/2035 USD 6,669,000 8,018,706 0.72Intel Corp. 3.25% 01/08/2039 USD 3,692,000 5,614,849 0.50Isis Pharmaceuticals, Inc., 144A 1%15/11/2021 USD 5,324,000 5,686,697 0.51Jarden Corp. 1.125% 15/03/2034 USD 6,723,000 7,933,140 0.71Lam Research Corp. 0.5%15/05/2016 USD 7,673,000 10,168,336 0.91Liberty Media Corp. 1.375%15/10/2023 USD 9,487,000 9,048,226 0.81LinkedIn Corp., 144A 0.5%01/11/2019 USD 13,000,000 13,078,195 1.17Macquarie Infrastructure Corp.2.875% 15/07/2019 USD 2,062,000 2,418,654 0.22Microchip Technology, Inc., 144A1.625% 15/02/2025 USD 11,008,000 11,051,922 0.99Micron Technology, Inc. 3%15/11/2043 USD 1,981,000 1,796,519 0.16Molina Healthcare, Inc. 1.625%15/08/2044 USD 1,825,000 2,419,266 0.22Navistar International Corp. 4.75%15/04/2019 USD 6,315,000 5,375,644 0.48NetSuite, Inc. 0.25% 01/06/2018 USD 4,306,000 4,474,817 0.40NVIDIA Corp. 1% 01/12/2018 USD 12,636,000 14,607,785 1.31ON Semiconductor Corp., 144A 1%01/12/2020 USD 2,240,000 2,231,600 0.20PRA Group, Inc. 3% 01/08/2020 USD 5,281,000 5,993,829 0.54Priceline Group, Inc. (The) 1%15/03/2018 USD 10,816,000 14,212,765 1.27Priceline Group, Inc. (The) 0.35%15/06/2020 USD 3,935,000 4,350,870 0.39Proofpoint, Inc., 144A 0.75%15/06/2020 USD 2,764,000 2,959,207 0.27Prospect Capital Corp. 5.875%15/01/2019 USD 2,659,000 2,686,946 0.24Red Hat, Inc., 144A 0.25%01/10/2019 USD 6,995,000 8,477,066 0.76

Redwood Trust, Inc., REIT 4.625%15/04/2018 USD 3,431,000 3,321,929 0.30Salesforce.com, Inc. 0.25%01/04/2018 USD 8,933,000 10,860,652 0.97SanDisk Corp. 0.5% 15/10/2020 USD 14,011,000 13,702,128 1.23ServiceNow, Inc. 0% 01/11/2018 USD 6,526,000 7,653,628 0.69SunEdison, Inc., 144A 0.25%15/01/2020 USD 7,332,000 8,935,582 0.80SunEdison, Inc., 144A 2.625%01/06/2023 USD 4,133,000 4,184,663 0.38Tesla Motors, Inc. 0.25% 01/03/2019 USD 8,737,000 8,617,478 0.77Tesla Motors, Inc. 1.25% 01/03/2021 USD 13,859,000 13,567,961 1.22Twitter, Inc., 144A 0.25% 15/09/2019 USD 7,492,000 6,663,197 0.60Twitter, Inc., 144A 1% 15/09/2021 USD 6,216,000 5,469,614 0.49Whiting Petroleum Corp., 144A 1.25%01/04/2020 USD 12,378,000 13,662,218 1.22Workday, Inc. 0.75% 15/07/2018 USD 2,796,000 3,171,712 0.28Wright Medical Group, Inc., 144A 2%15/02/2020 USD 3,170,000 3,367,443 0.30Yahoo!, Inc. 0% 01/12/2018 USD 15,825,000 16,270,078 1.46

332,955,747 29.84


Total Transferable securities and money market instrumentsdealt in on another regulated market

460,457,615 41.27

Units of authorised UCITS or other collective investment undertakings

Collective Investment Schemes - UCITS

LuxembourgJPMorgan Liquidity Funds - US DollarLiquidity Fund Class X (dist) † USD 7,611,881 7,611,881 0.68

7,611,881 0.68

Total Collective Investment Schemes - UCITS 7,611,881 0.68

Total Units of authorised UCITS or other collective investmentundertakings

7,611,881 0.68

Total Investments 1,085,097,363 97.25

Cash 66,989 0.01

Other Assets/(Liabilities) 30,565,669 2.74

Total Net Assets 1,115,730,021 100.00

† Related Party Fund.

24



As at 30 June 2015



USD

%of



Market ValueUSD

%of

NetAssets

Geographic Allocation of Portfolio as at 30 June 2015 % of Net AssetsUnited States of America 30.17Japan 14.16France 9.83Netherlands 6.56Cayman Islands 6.49Mexico 3.31Germany 3.21United Arab Emirates 3.11Jersey 3.08Spain 2.57Virgin Islands, British 2.26Luxembourg 2.11Italy 1.79Bermuda 1.21Austria 1.15Singapore 1.01Sweden 0.93Norway 0.79Portugal 0.69Belgium 0.67United Kingdom 0.50Taiwan 0.50Ireland 0.40South Korea 0.31Hungary 0.30Finland 0.14Total Investments 97.25Cash and Other Assets/(Liabilities) 2.75

Total 100.00

Geographic Allocation of Portfolio as at 31 December 2014 % of Net AssetsUnited States of America 33.78Japan 13.85Luxembourg 11.68France 7.67Germany 4.85Netherlands 3.94Cayman Islands 3.66Italy 3.55United Arab Emirates 3.17Spain 3.09Channel Islands 2.07Austria 1.70British Virgin Islands 1.47Bermuda 0.99Singapore 0.85United Kingdom 0.83Taiwan 0.66Norway 0.61Hong Kong 0.43Portugal 0.33Mexico 0.18Belgium 0.05Total Investments 99.41Cash and Other Assets/(Liabilities) 0.59

Total 100.00

25



As at 30 June 2015



USD

%of



Market ValueUSD

%of

NetAssets



As at 30 June 2015

Forward Currency Exchange Contracts

Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date

UnrealisedGain/(Loss)

USD

%of

NetAssets

JPY 484,714,416 USD 3,933,738 15/07/2015 30,410 -SGD 1,398,782 USD 1,036,777 15/07/2015 2,419 -USD 327,957,629 EUR 291,273,400 15/07/2015 1,702,246 0.15USD 1,416,599 HKD 10,981,042 15/07/2015 100 -USD 17,103 SGD 23,013 15/07/2015 6 -

Total Unrealised Gain on Forward Currency Exchange Contracts 1,735,181 0.15

EUR 9,180,457 USD 10,342,157 15/07/2015 (59,126) -SGD 9,687 USD 7,213 15/07/2015 (16) -USD 28,793,593 GBP 18,685,673 15/07/2015 (640,262) (0.06)USD 21,162,849 HKD 164,076,948 15/07/2015 (2,241) -USD 139,764,339 JPY 17,290,212,634 15/07/2015 (1,640,484) (0.15)USD 8,537,026 SGD 11,507,306 15/07/2015 (12,084) -

Total Unrealised Loss on Forward Currency Exchange Contracts (2,354,213) (0.21)

Net Unrealised Loss on Forward Currency Exchange Contracts (619,032) (0.06)

CounterpartyUnrealised Gain/(Loss)

USD

ANZ 11,997Barclays (167)Citibank 25,541Credit Suisse (6,344)Deutsche Bank (1,998)Goldman Sachs (22,524)HSBC (552,925)Morgan Stanley 9,885RBC 2,325Standard Chartered (84,844)State Street 22

(619,032)

26


Equities

AustraliaAustralia & New Zealand Banking GroupLtd. AUD 144,470 3,589,339 1.54Commonwealth Bank of Australia AUD 14,555 956,095 0.41National Australia Bank Ltd. AUD 89,647 2,303,701 0.99Westpac Banking Corp. AUD 82,486 2,046,172 0.87

8,895,307 3.81

BermudaEverest Re Group Ltd. USD 12,464 2,264,335 0.97Invesco Ltd. USD 89,249 3,356,209 1.44

5,620,544 2.41

BrazilItau Unibanco Holding SA, ADRPreference USD 208,340 2,299,032 0.99

2,299,032 0.99

CanadaBank of Nova Scotia (The) CAD 84,701 4,401,724 1.89Royal Bank of Canada CAD 54,081 3,326,586 1.42Toronto-Dominion Bank (The) CAD 133,718 5,716,467 2.45

13,444,777 5.76

ChinaChina Construction Bank Corp. Class H HKD 5,637,450 5,152,278 2.21Industrial & Commercial Bank of ChinaLtd. Class H HKD 3,860,000 3,064,729 1.31

8,217,007 3.52

FranceAXA SA EUR 194,343 4,957,947 2.13BNP Paribas SA EUR 80,242 4,930,783 2.11Natixis SA EUR 339,230 2,475,262 1.06

12,363,992 5.30

GermanyAllianz SE EUR 21,870 3,440,544 1.47

3,440,544 1.47

Hong KongAIA Group Ltd. HKD 242,800 1,587,937 0.68Henderson Land Development Co. Ltd. HKD 254,456 1,745,408 0.75Sun Hung Kai Properties Ltd. HKD 124,000 2,010,637 0.86

5,343,982 2.29

IndiaAxis Bank Ltd. INR 89,834 787,574 0.34Housing Development Finance Corp. Ltd. INR 201,254 4,106,900 1.76ICICI Bank Ltd. INR 388,861 1,881,374 0.80Yes Bank Ltd. INR 96,139 1,275,660 0.55

8,051,508 3.45

IndonesiaBank Rakyat Indonesia Persero Tbk. PT IDR 2,684,300 2,085,944 0.89

2,085,944 0.89

ItalyAssicurazioni Generali SpA EUR 121,105 2,205,948 0.95Intesa Sanpaolo SpA EUR 1,202,626 4,424,306 1.90UniCredit SpA EUR 593,062 4,043,136 1.73

10,673,390 4.58

JapanMitsubishi UFJ Financial Group, Inc. JPY 969,600 6,982,404 2.99Sompo Japan Nipponkoa Holdings, Inc. JPY 59,300 2,178,108 0.94Sumitomo Mitsui Financial Group, Inc. JPY 156,900 6,996,285 3.00

16,156,797 6.93

NetherlandsNN Group NV EUR 62,156 1,764,053 0.76

1,764,053 0.76

SpainBankia SA EUR 1,730,464 2,206,352 0.95

2,206,352 0.95

SwitzerlandACE Ltd. USD 56,762 5,784,048 2.48Credit Suisse Group AG CHF 177,974 4,945,211 2.12UBS Group AG CHF 284,313 6,088,534 2.61Zurich Insurance Group AG CHF 10,769 3,315,373 1.42

20,133,166 8.63

United KingdomAviva PLC GBP 430,482 3,365,029 1.44Barclays PLC GBP 1,699,555 7,016,111 3.01British Land Co. PLC (The), REIT GBP 136,033 1,711,718 0.74Direct Line Insurance Group PLC GBP 398,680 2,123,787 0.91HSBC Holdings PLC GBP 535,050 4,834,401 2.07Prudential PLC GBP 217,973 5,295,836 2.27

24,346,882 10.44

United States of AmericaAmerican Express Co. USD 46,762 3,641,123 1.56Bank of America Corp. USD 701,189 11,846,588 5.08BB&T Corp. USD 63,293 2,560,835 1.10Capital One Financial Corp. USD 36,351 3,203,614 1.37Citigroup, Inc. USD 218,763 12,052,747 5.17Hartford Financial Services Group, Inc.(The) USD 111,997 4,642,276 1.99Intercontinental Exchange, Inc. USD 10,062 2,250,417 0.97MetLife, Inc. USD 144,886 8,078,843 3.46Morgan Stanley USD 160,471 6,189,366 2.65PNC Financial Services Group, Inc. (The) USD 53,425 5,124,259 2.20State Street Corp. USD 73,815 5,647,586 2.42US Bancorp USD 79,438 3,455,950 1.48Wells Fargo & Co. USD 231,734 13,050,100 5.60

81,743,704 35.05


Warrants

Hong KongSun Hung Kai Properties Ltd. 22/04/2016 HKD 11,750 41,871 0.02

41,871 0.02

Total Warrants 41,871 0.02


226,828,852 97.25



LuxembourgJPMorgan Liquidity Funds - US DollarLiquidity Fund Class X (dist) † USD 1,889,552 1,889,552 0.81

1,889,552 0.81



1,889,552 0.81

Total Investments 228,718,404 98.06

Cash 2,134,258 0.92


Total Net Assets 233,236,599 100.00

† Related Party Fund

27

JPMorgan Investment Funds - Global Financials Fund


As at 30 June 2015

Investments Currency

Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Geographic Allocation of Portfolio as at 30 June 2015 % of Net AssetsUnited States of America 35.05United Kingdom 10.44Switzerland 8.63Japan 6.93Canada 5.76France 5.30Italy 4.58Australia 3.81China 3.52India 3.45Bermuda 2.41Hong Kong 2.31Germany 1.47Brazil 0.99Spain 0.95Indonesia 0.89Luxembourg 0.81Netherlands 0.76Total Investments 98.06Cash and Other Assets/(Liabilities) 1.94

Total 100.00

Geographic Allocation of Portfolio as at 31 December 2014 % of Net AssetsUnited States of America 35.20United Kingdom 11.40Switzerland 7.69France 6.00Japan 5.36Canada 5.29Australia 4.54Italy 4.12China 3.91India 3.87Germany 3.29Hong Kong 3.21Bermuda 2.57Luxembourg 1.84Spain 1.13Indonesia 0.73Total Investments 100.15Cash and Other Assets/(Liabilities) (0.15)

Total 100.00

28



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets



As at 30 June 2015




USD

%of

NetAssets

CAD 3,001,135 USD 2,394,279 10/09/2015 17,217 0.01EUR 1,951,610 USD 2,133,832 10/09/2015 53,978 0.02GBP 1,431,694 USD 2,175,163 10/09/2015 79,109 0.03JPY 287,097,983 USD 2,300,901 10/09/2015 48,798 0.02NOK 4,259,825 USD 540,078 10/09/2015 2,110 -SEK 31,856,810 USD 3,829,476 10/09/2015 39,834 0.02SGD 4,617,735 USD 3,417,668 10/09/2015 9,510 0.01USD 4,413,810 EUR 3,914,239 10/09/2015 25,838 0.01

Total Unrealised Gain on Forward Currency Exchange Contracts 276,394 0.12

AUD 7,329,315 USD 5,649,011 10/09/2015 (15,651) (0.01)DKK 4,119,430 USD 628,488 10/09/2015 (8,764) -EUR 2,083,749 USD 2,340,394 10/09/2015 (4,452) -USD 498,537 CAD 623,748 10/09/2015 (2,661) -USD 6,619,530 CHF 6,149,192 10/09/2015 (11,104) (0.01)USD 508,132 EUR 455,341 10/09/2015 (2,318) -USD 6,216,190 GBP 4,049,542 10/09/2015 (160,011) (0.07)USD 4,724,565 HKD 36,634,734 10/09/2015 (821) -USD 631,959 JPY 78,106,517 10/09/2015 (7,289) -

Total Unrealised Loss on Forward Currency Exchange Contracts (213,071) (0.09)

Net Unrealised Gain on Forward Currency Exchange Contracts 63,323 0.03


USD

Bank of America (1,892)BNP Paribas (15,651)Citibank 9,510Credit Suisse (141,671)Deutsche Bank 24,726Goldman Sachs 41,944HSBC (56)Morgan Stanley (2,661)RBC 15,986UBS 133,087

63,323

29


Bonds

BermudaAircastle Ltd. 7.625% 15/04/2020 USD 17,805,000 20,319,956 0.31

20,319,956 0.31

FranceNumericable-SFR SAS, 144A 6%15/05/2022 USD 25,760,000 25,341,400 0.39Numericable-SFR SAS, 144A 6.25%15/05/2024 USD 6,010,000 5,904,825 0.09

31,246,225 0.48

IrelandArdagh Packaging Finance PLC, 144A6.75% 31/01/2021 USD 2,830,000 2,893,675 0.05

2,893,675 0.05

ItalyTelecom Italia SpA, 144A 5.303%30/05/2024 USD 13,535,000 13,653,431 0.21

13,653,431 0.21

LuxembourgAlbea Beauty Holdings SA, 144A8.375% 01/11/2019 USD 14,246,000 15,385,680 0.24Altice Financing SA, 144A 6.625%15/02/2023 USD 10,490,000 10,463,775 0.16Altice SA, 144A 7.75% 15/05/2022 USD 13,545,000 13,104,787 0.20ArcelorMittal 6.25% 01/03/2021 USD 6,930,000 7,241,850 0.11ArcelorMittal 7% 25/02/2022 USD 10,390,000 11,299,333 0.17Geo Debt Finance SCA, Reg. S 7.5%01/08/2018 EUR 3,000,000 3,166,517 0.05Telecom Italia Capital SA 7.175%18/06/2019 USD 6,525,000 7,373,250 0.11Telecom Italia Capital SA 6.375%15/11/2033 USD 4,460,000 4,560,350 0.07Trinseo Materials Operating SCA, 144A6.75% 01/05/2022 USD 2,370,000 2,423,325 0.04Wind Acquisition Finance SA, 144A6.5% 30/04/2020 USD 830,000 874,613 0.01Wind Acquisition Finance SA, 144A4.75% 15/07/2020 USD 13,330,000 13,296,675 0.21Wind Acquisition Finance SA, 144A7.375% 23/04/2021 USD 18,355,000 18,584,438 0.29

107,774,593 1.66

NetherlandsConstellium NV, 144A 5.75%15/05/2024 USD 3,600,000 3,222,000 0.05Schaeffler Finance BV, 144A 4.75%15/05/2023 USD 5,930,000 5,826,225 0.09

9,048,225 0.14

SwedenEileme 2 AB, 144A 11.625% 31/01/2020 USD 8,188,000 9,128,801 0.14

9,128,801 0.14

United KingdomInternational Game Technology PLC,144A 5.625% 15/02/2020 USD 6,535,000 6,436,975 0.10International Game Technology PLC,144A 6.25% 15/02/2022 USD 11,340,000 10,829,700 0.17International Game Technology PLC,144A 6.5% 15/02/2025 USD 9,520,000 8,829,800 0.13Virgin Media Secured Finance PLC,144A 5.375% 15/04/2021 USD 17,640,000 18,191,250 0.28

44,287,725 0.68

United States of AmericaADT Corp. (The) 6.25% 15/10/2021 USD 1,912,000 2,029,110 0.03ADT Corp. (The) 3.5% 15/07/2022 USD 17,263,000 15,709,330 0.24AES Corp. 7.375% 01/07/2021 USD 12,267,000 13,524,367 0.21AES Corp. 4.875% 15/05/2023 USD 1,432,000 1,356,820 0.02Alcoa, Inc. 5.87% 23/02/2022 USD 1,810,000 1,958,759 0.03Allegion US Holding Co., Inc. 5.75%01/10/2021 USD 5,645,000 5,856,687 0.09Ally Financial, Inc. 6.25% 01/12/2017 USD 6,170,000 6,586,475 0.10Ally Financial, Inc. 4.75% 10/09/2018 USD 475,000 489,250 0.01Ally Financial, Inc. 3.5% 27/01/2019 USD 29,480,000 29,258,900 0.45Ally Financial, Inc. 4.125% 30/03/2020 USD 22,875,000 22,875,000 0.35Ally Financial, Inc. 4.625% 19/05/2022 USD 6,880,000 6,785,400 0.10

Ally Financial, Inc. 4.625% 30/03/2025 USD 17,835,000 17,032,425 0.26American Axle & Manufacturing, Inc.7.75% 15/11/2019 USD 2,645,000 3,002,075 0.05American Axle & Manufacturing, Inc.6.25% 15/03/2021 USD 5,997,000 6,326,835 0.10Antero Resources Corp. 6% 01/12/2020 USD 1,870,000 1,898,050 0.03Antero Resources Corp. 5.375%01/11/2021 USD 8,085,000 7,882,875 0.12Antero Resources Corp. 5.125%01/12/2022 USD 3,625,000 3,461,875 0.05Arch Coal, Inc. 7% 15/06/2019 USD 7,290,000 1,075,275 0.02Arch Coal, Inc. 7.25% 15/06/2021 USD 11,170,000 1,591,725 0.02Atwood Oceanics, Inc. 6.5%01/02/2020 USD 14,775,000 14,184,000 0.22B&G Foods, Inc. 4.625% 01/06/2021 USD 10,203,000 10,100,970 0.16Berry Petroleum Co. LLC 6.375%15/09/2022 USD 3,335,000 2,601,300 0.04California Resources Corp. 6%15/11/2024 USD 16,565,000 14,328,725 0.22Case New Holland Industrial, Inc.7.875% 01/12/2017 USD 5,425,000 5,968,042 0.09CenturyLink, Inc. 5.8% 15/03/2022 USD 15,615,000 14,863,606 0.23Chesapeake Energy Corp., FRN 3.525%15/04/2019 USD 4,620,000 4,238,850 0.07Chesapeake Energy Corp. 6.625%15/08/2020 USD 15,795,000 15,360,637 0.24Chesapeake Energy Corp. 6.125%15/02/2021 USD 660,000 621,225 0.01Chesapeake Energy Corp. 4.875%15/04/2022 USD 10,110,000 8,789,381 0.14Chiquita Brands International, Inc.7.875% 01/02/2021 USD 4,011,000 4,326,866 0.07Cinemark USA, Inc. 7.375% 15/06/2021 USD 9,882,000 10,487,272 0.16Cinemark USA, Inc. 4.875% 01/06/2023 USD 5,025,000 4,836,562 0.07CIT Group, Inc. 5.25% 15/03/2018 USD 12,740,000 13,217,750 0.20CIT Group, Inc. 3.875% 19/02/2019 USD 19,570,000 19,456,298 0.30Clean Harbors, Inc. 5.25% 01/08/2020 USD 22,698,000 23,151,960 0.36Clear Channel Worldwide Holdings, Inc.7.625% 15/03/2020 USD 1,845,000 1,902,656 0.03Clear Channel Worldwide Holdings, Inc.Class B 7.625% 15/03/2020 USD 36,985,000 38,741,787 0.60CNH Industrial Capital LLC 3.625%15/04/2018 USD 3,680,000 3,689,200 0.06Concho Resources, Inc. 6.5%15/01/2022 USD 150,000 157,125 0.00Concho Resources, Inc. 5.5%01/04/2023 USD 2,238,000 2,232,405 0.03CONSOL Energy, Inc. 5.875%15/04/2022 USD 5,815,000 4,942,750 0.08Corrections Corp. of America, REIT4.125% 01/04/2020 USD 30,955,000 30,955,000 0.48Crestwood Midstream Partners LP6.125% 01/03/2022 USD 780,000 799,500 0.01Crown Castle International Corp., REIT5.25% 15/01/2023 USD 14,035,000 14,227,981 0.22Dana Holding Corp. 6.75% 15/02/2021 USD 9,441,000 9,972,056 0.15Dana Holding Corp. 5.375% 15/09/2021 USD 3,335,000 3,414,206 0.05Dana Holding Corp. 6% 15/09/2023 USD 9,395,000 9,817,775 0.15Dana Holding Corp. 5.5% 15/12/2024 USD 10,405,000 10,248,925 0.16DaVita HealthCare Partners, Inc. 5.75%15/08/2022 USD 1,855,000 1,963,981 0.03DaVita HealthCare Partners, Inc. 5%01/05/2025 USD 12,515,000 12,076,975 0.19Denbury Resources, Inc. 5.5%01/05/2022 USD 15,295,000 13,870,730 0.21Denbury Resources, Inc. 4.625%15/07/2023 USD 12,375,000 10,487,812 0.16General Motors Financial Co., Inc.3.45% 10/04/2022 USD 8,985,000 8,817,484 0.14General Motors Financial Co., Inc.4.25% 15/05/2023 USD 4,190,000 4,234,561 0.07GEO Group, Inc. (The), REIT 6.625%15/02/2021 USD 15,284,000 16,048,200 0.25GEO Group, Inc. (The), REIT 5.875%15/01/2022 USD 9,500,000 9,998,750 0.15HCA Holdings, Inc. 6.25% 15/02/2021 USD 5,615,000 6,078,237 0.09HCA, Inc. 6.5% 15/02/2020 USD 28,545,000 31,913,310 0.49HCA, Inc. 7.5% 15/02/2022 USD 73,398,000 84,407,700 1.30HCA, Inc. 5.375% 01/02/2025 USD 52,960,000 53,701,440 0.83HCA, Inc. 5.25% 15/04/2025 USD 4,685,000 4,854,831 0.07HealthSouth Corp. 7.75% 15/09/2022 USD 8,401,000 8,779,045 0.14HealthSouth Corp. 5.75% 01/11/2024 USD 1,990,000 2,017,362 0.03Hertz Corp. (The) 7.5% 15/10/2018 USD 2,895,000 2,999,944 0.05Hertz Corp. (The) 5.875% 15/10/2020 USD 19,457,000 19,797,498 0.31Hertz Corp. (The) 7.375% 15/01/2021 USD 12,745,000 13,318,525 0.21Hertz Corp. (The) 6.25% 15/10/2022 USD 9,980,000 10,229,500 0.16Huntsman International LLC 4.875%15/11/2020 USD 20,887,000 20,939,218 0.32Huntsman International LLC 8.625%15/03/2021 USD 2,275,000 2,400,125 0.04

30

JPMorgan Investment Funds - Global High Yield Bond Fund


As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

iHeartCommunications, Inc. 9%01/03/2021 USD 24,455,000 22,101,206 0.34International Lease Finance Corp.5.875% 01/04/2019 USD 21,025,000 22,470,469 0.35International Lease Finance Corp.6.25% 15/05/2019 USD 16,053,000 17,417,505 0.27International Lease Finance Corp.4.625% 15/04/2021 USD 16,070,000 16,311,050 0.25Iron Mountain, Inc., REIT 6%15/08/2023 USD 12,650,000 13,282,500 0.20JC Penney Corp, Inc. 6.375%15/10/2036 USD 16,222,000 12,044,835 0.19L Brands, Inc. 6.625% 01/04/2021 USD 21,282,000 23,676,225 0.36Laredo Petroleum, Inc. 5.625%15/01/2022 USD 6,095,000 6,049,288 0.09Level 3 Financing, Inc. 8.625%15/07/2020 USD 12,308,000 13,184,330 0.20Magnachip Semiconductor Corp.6.875% 15/07/2021 USD 19,900,000 15,795,625 0.24Manitowoc Co., Inc. (The) 8.5%01/11/2020 USD 6,043,000 6,420,688 0.10MarkWest Energy Partners LP 5.5%15/02/2023 USD 12,493,000 12,867,790 0.20MarkWest Energy Partners LP 4.875%01/12/2024 USD 5,160,000 5,082,600 0.08MGM Resorts International 5.25%31/03/2020 USD 29,214,000 29,506,140 0.45MGM Resorts International 6.75%01/10/2020 USD 20,415,000 21,588,863 0.33MGM Resorts International 7.75%15/03/2022 USD 28,535,000 31,210,156 0.48MGM Resorts International 6%15/03/2023 USD 23,766,000 24,107,636 0.37Newfield Exploration Co. 5.375%01/01/2026 USD 6,025,000 6,087,901 0.09Noranda Aluminum Acquisition Corp.11% 01/06/2019 USD 4,530,000 3,284,250 0.05NRG Energy, Inc. 8.25% 01/09/2020 USD 5,090,000 5,331,775 0.08NRG Energy, Inc. 7.875% 15/05/2021 USD 3,760,000 4,004,400 0.06NRG Energy, Inc. 6.25% 15/07/2022 USD 10,105,000 10,352,471 0.16Oasis Petroleum, Inc. 6.875%15/03/2022 USD 14,430,000 14,754,675 0.23Oshkosh Corp. 5.375% 01/03/2022 USD 1,145,000 1,182,213 0.02Oshkosh Corp. 5.375% 01/03/2025 USD 3,560,000 3,595,600 0.06Peabody Energy Corp. 6.5%15/09/2020 USD 2,895,000 1,027,725 0.02Peabody Energy Corp. 6.25%15/11/2021 USD 16,371,000 5,647,995 0.09Post Holdings, Inc. 7.375% 15/02/2022 USD 30,150,000 30,866,063 0.48Qwest Capital Funding, Inc. 7.75%15/02/2031 USD 11,610,000 11,738,174 0.18Rain CII Carbon LLC, Reg. S 8.5%15/01/2021 EUR 7,800,000 8,474,037 0.13Regal Entertainment Group 5.75%15/03/2022 USD 9,600,000 9,776,496 0.15Reynolds Group Issuer, Inc. 9%15/04/2019 USD 48,310,000 50,423,563 0.78Reynolds Group Issuer, Inc. 9.875%15/08/2019 USD 19,718,000 20,790,166 0.32Reynolds Group Issuer, Inc. 5.75%15/10/2020 USD 23,215,000 23,824,394 0.37RHP Hotel Properties LP, REIT 5%15/04/2021 USD 7,680,000 7,756,800 0.12Sally Holdings LLC 6.875% 15/11/2019 USD 3,805,000 3,985,738 0.06Sally Holdings LLC 5.75% 01/06/2022 USD 2,638,000 2,769,900 0.04Sally Holdings LLC 5.5% 01/11/2023 USD 6,290,000 6,541,600 0.10Sanchez Energy Corp. 6.125%15/01/2023 USD 8,810,000 7,884,950 0.12SandRidge Energy, Inc. 8.125%15/10/2022 USD 14,201,000 5,964,420 0.09Scotts Miracle-Gro Co. (The) 6.625%15/12/2020 USD 9,436,000 9,931,390 0.15Service Corp. International 5.375%15/05/2024 USD 5,915,000 6,238,432 0.10Service Corp. International 7.5%01/04/2027 USD 23,516,000 26,968,619 0.42SM Energy Co. 6.5% 01/01/2023 USD 5,170,000 5,325,100 0.08SM Energy Co. 5.625% 01/06/2025 USD 5,720,000 5,662,800 0.09Spectrum Brands, Inc. 6.75%15/03/2020 USD 13,219,000 13,952,655 0.21Sprint Capital Corp. 6.875% 15/11/2028 USD 7,640,000 6,551,300 0.10Sprint Capital Corp. 8.75% 15/03/2032 USD 77,865,000 75,918,375 1.17Sprint Corp. 7.25% 15/09/2021 USD 8,790,000 8,636,175 0.13Sprint Corp. 7.875% 15/09/2023 USD 94,050,000 90,923,778 1.40Sprint Corp. 7.625% 15/02/2025 USD 9,120,000 8,601,300 0.13Targa Resources Partners LP 5.25%01/05/2023 USD 210,000 207,900 0.00TEGNA, Inc. 6.375% 15/10/2023 USD 789,000 826,414 0.01

Tempur Sealy International, Inc.6.875% 15/12/2020 USD 13,325,000 14,157,813 0.22Tenet Healthcare Corp. 4.75%01/06/2020 USD 15,184,000 15,497,170 0.24Tenet Healthcare Corp. 8% 01/08/2020 USD 29,385,000 30,670,594 0.47Tenet Healthcare Corp. 4.5%01/04/2021 USD 10,075,000 9,936,469 0.15Tenet Healthcare Corp. 8.125%01/04/2022 USD 36,200,000 39,639,000 0.61Terex Corp. 6.5% 01/04/2020 USD 8,980,000 9,473,900 0.15Terex Corp. 6% 15/05/2021 USD 28,892,000 29,050,906 0.45Tesoro Logistics LP 5.875% 01/10/2020 USD 16,689,000 17,356,560 0.27Tesoro Logistics LP 6.125% 15/10/2021 USD 7,345,000 7,657,163 0.12T-Mobile USA, Inc. 6.633% 28/04/2021 USD 13,415,000 14,018,675 0.22T-Mobile USA, Inc. 6.731% 28/04/2022 USD 28,405,000 29,718,731 0.46Triumph Group, Inc. 4.875%01/04/2021 USD 17,069,000 16,770,293 0.26United Rentals North America, Inc.7.375% 15/05/2020 USD 11,400,000 12,226,500 0.19United Rentals North America, Inc.8.25% 01/02/2021 USD 10,151,000 10,861,570 0.17United Rentals North America, Inc.7.625% 15/04/2022 USD 19,694,000 21,318,755 0.33United States Cellular Corp. 6.7%15/12/2033 USD 8,918,000 8,357,950 0.13Vanguard Natural Resources LLC7.875% 01/04/2020 USD 8,125,000 7,800,000 0.12Vulcan Materials Co. 7.5% 15/06/2021 USD 1,084,000 1,262,860 0.02Whiting Petroleum Corp. 5.75%15/03/2021 USD 17,927,000 17,680,504 0.27Williams Partners LP 6.125%15/07/2022 USD 8,806,000 9,359,801 0.14WPX Energy, Inc. 5.25% 15/09/2024 USD 4,870,000 4,480,400 0.07

1,911,493,335 29.47

Total Bonds 2,149,845,966 33.14


2,149,845,966 33.14


Bonds

AustraliaFMG Resources August 2006 Pty. Ltd.,144A 8.25% 01/11/2019 USD 27,695,000 23,734,615 0.37

23,734,615 0.37

Canada1011778 BC ULC, 144A 6% 01/04/2022 USD 12,645,000 13,024,350 0.20Baytex Energy Corp., 144A 5.625%01/06/2024 USD 3,860,000 3,609,100 0.05Bombardier, Inc., 144A 7.75%15/03/2020 USD 9,950,000 10,124,125 0.16Bombardier, Inc., 144A 7.5%15/03/2025 USD 16,870,000 15,457,475 0.24MEG Energy Corp., 144A 6.375%30/01/2023 USD 13,768,000 12,873,080 0.20MEG Energy Corp., 144A 7%31/03/2024 USD 20,005,000 19,204,800 0.30Novelis, Inc. 8.375% 15/12/2017 USD 1,615,000 1,675,562 0.02Quebecor Media, Inc. 5.75% 15/01/2023 USD 23,798,000 23,976,485 0.37Trinidad Drilling Ltd., 144A 7.875%15/01/2019 USD 17,114,000 17,285,140 0.27Ultra Petroleum Corp., 144A 6.125%01/10/2024 USD 9,215,000 8,178,312 0.13Valeant Pharmaceuticals International,Inc., 144A 7.5% 15/07/2021 USD 67,634,000 72,960,178 1.12Valeant Pharmaceuticals International,Inc., 144A 5.875% 15/05/2023 USD 31,935,000 32,813,213 0.50Valeant Pharmaceuticals International,Inc., 144A 6.125% 15/04/2025 USD 21,840,000 22,467,900 0.35Videotron Ltd., 144A 5.375%15/06/2024 USD 6,515,000 6,515,000 0.10Whiting Canadian Holding Co. ULC8.125% 01/12/2019 USD 11,710,000 12,347,024 0.19

272,511,744 4.20

Cayman IslandsUPCB Finance IV Ltd., 144A 5.375%15/01/2025 USD 6,310,000 6,130,512 0.10UPCB Finance V Ltd., 144A 7.25%15/11/2021 USD 7,353,000 7,941,240 0.12

14,071,752 0.22

31



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

IrelandAerCap Ireland Capital Ltd., 144A 3.75%15/05/2019 USD 2,320,000 2,302,600 0.04AerCap Ireland Capital Ltd. 4.25%01/07/2020 USD 5,485,000 5,505,569 0.08AerCap Ireland Capital Ltd. 4.625%01/07/2022 USD 5,485,000 5,512,425 0.08Ardagh Packaging Finance PLC, FRN,144A 3.286% 15/12/2019 USD 13,620,000 13,296,525 0.20Ardagh Packaging Finance PLC, 144A9.125% 15/10/2020 USD 36,578,000 38,864,125 0.60Ardagh Packaging Finance PLC, 144A7% 15/11/2020 USD 1,154,294 1,183,151 0.02Grifols Worldwide Operations Ltd.5.25% 01/04/2022 USD 6,170,000 6,208,563 0.10James Hardie International FinanceLtd., 144A 5.875% 15/02/2023 USD 6,270,000 6,489,450 0.10

79,362,408 1.22

LuxembourgAltice SA, 144A 7.625% 15/02/2025 USD 3,775,000 3,595,687 0.05Geo Debt Finance SCA, 144A 7.5%01/08/2018 EUR 5,000,000 5,277,529 0.08INEOS Group Holdings SA, 144A 6.125%15/08/2018 USD 4,955,000 5,054,100 0.08INEOS Group Holdings SA, 144A 5.875%15/02/2019 USD 17,135,000 17,295,641 0.27Intelsat Jackson Holdings SA 7.25%15/10/2020 USD 57,976,000 57,541,180 0.89Intelsat Jackson Holdings SA 7.5%01/04/2021 USD 37,815,000 37,436,850 0.58Intelsat Jackson Holdings SA 6.625%15/12/2022 USD 10,665,000 9,758,475 0.15Intelsat Jackson Holdings SA 5.5%01/08/2023 USD 7,775,000 6,939,187 0.11Intelsat Luxembourg SA 7.75%01/06/2021 USD 19,670,000 16,350,687 0.25Mallinckrodt International Finance SA,144A 4.875% 15/04/2020 USD 4,120,000 4,202,400 0.06Mallinckrodt International Finance SA,144A 5.5% 15/04/2025 USD 3,430,000 3,348,538 0.05Nielsen Co. Luxembourg SARL (The),144A 5.5% 01/10/2021 USD 9,703,000 9,775,773 0.15

176,576,047 2.72

NetherlandsFiat Chrysler Automobiles NV, 144A4.5% 15/04/2020 USD 4,385,000 4,360,334 0.07Fiat Chrysler Automobiles NV, 144A5.25% 15/04/2023 USD 3,645,000 3,585,951 0.06NXP BV, 144A 5.75% 15/02/2021 USD 16,335,000 17,131,331 0.26NXP BV, 144A 5.75% 15/03/2023 USD 5,322,000 5,534,880 0.09Schaeffler Finance BV, 144A 4.25%15/05/2021 USD 8,160,000 7,996,800 0.12Schaeffler Finance BV, 144A 4.75%15/05/2021 USD 4,000,000 4,020,000 0.06Sensata Technologies BV, 144A 5%01/10/2025 USD 3,505,000 3,417,375 0.05

46,046,671 0.71

United KingdomAlgeco Scotsman Global Finance PLC,144A 8.5% 15/10/2018 USD 16,750,000 16,289,375 0.25

16,289,375 0.25

United States of America21st Century Oncology, Inc., 144A 11%01/05/2023 USD 11,330,000 11,245,025 0.17Academy Ltd., 144A 9.25% 01/08/2019 USD 13,210,000 13,953,062 0.21ACCO Brands Corp. 6.75% 30/04/2020 USD 21,733,000 23,036,980 0.35ACI Worldwide, Inc., 144A 6.375%15/08/2020 USD 7,531,000 7,964,032 0.12AECOM, 144A 5.75% 15/10/2022 USD 3,850,000 3,936,625 0.06AECOM, 144A 5.875% 15/10/2024 USD 4,205,000 4,299,612 0.07AES Corp., FRN 3.283% 01/06/2019 USD 7,140,000 7,157,850 0.11Air Medical Merger Sub Corp., 144A6.375% 15/05/2023 USD 7,390,000 7,038,975 0.11Alcatel-Lucent USA, Inc., 144A 8.875%01/01/2020 USD 13,515,000 14,731,350 0.23Alcatel-Lucent USA, Inc., 144A 6.75%15/11/2020 USD 6,475,000 6,823,031 0.11Alere, Inc. 6.5% 15/06/2020 USD 2,980,000 3,091,750 0.05Alere, Inc., 144A 6.375% 01/07/2023 USD 2,425,000 2,466,225 0.04AMC Entertainment, Inc., 144A 5.75%15/06/2025 USD 15,230,000 14,887,325 0.23American Energy-Permian Basin LLC,144A 8% 15/06/2020 USD 7,655,000 7,559,312 0.12

American Energy-Permian Basin LLC,144A 7.125% 01/11/2020 USD 4,195,000 2,873,575 0.04American Energy-Permian Basin LLC,144A 7.375% 01/11/2021 USD 6,825,000 4,675,125 0.07Amkor Technology, Inc. 6.625%01/06/2021 USD 18,872,000 19,414,570 0.30Amkor Technology, Inc. 6.375%01/10/2022 USD 13,301,000 13,450,636 0.21Apex Tool Group LLC, 144A 7%01/02/2021 USD 2,665,000 2,405,162 0.04Arch Coal, Inc., 144A 8% 15/01/2019 USD 3,175,000 746,125 0.01Argos Merger Sub, Inc., 144A 7.125%15/03/2023 USD 28,285,000 29,699,250 0.46Ashland, Inc. 4.75% 15/08/2022 USD 33,210,000 32,753,362 0.50Ashtead Capital, Inc., 144A 6.5%15/07/2022 USD 13,785,000 14,749,950 0.23Aspect Software, Inc. 10.625%15/05/2017 USD 14,820,000 14,301,300 0.22Associated Materials LLC 9.125%01/11/2017 USD 7,391,000 6,134,530 0.09Audatex North America, Inc., 144A 6%15/06/2021 USD 27,951,000 28,754,591 0.44Avaya, Inc., 144A 7% 01/04/2019 USD 21,010,000 20,589,800 0.32Avis Budget Car Rental LLC, 144A5.125% 01/06/2022 USD 980,000 951,825 0.01Avis Budget Car Rental LLC 5.5%01/04/2023 USD 19,793,000 19,619,811 0.30Axalta Coating Systems US Holdings,Inc., 144A 7.375% 01/05/2021 USD 6,745,000 7,234,013 0.11Bank of America Corp., FRN 8%Perpetual USD 31,269,000 32,871,536 0.51Belden, Inc., 144A 5.5% 01/09/2022 USD 17,400,000 17,443,500 0.27Blackboard, Inc., 144A 7.75%15/11/2019 USD 16,681,000 15,763,545 0.24Blue Racer Midstream LLC, 144A6.125% 15/11/2022 USD 10,200,000 10,506,000 0.16BreitBurn Energy Partners LP 8.625%15/10/2020 USD 8,507,000 7,528,695 0.12BreitBurn Energy Partners LP 7.875%15/04/2022 USD 14,040,000 11,723,400 0.18Building Materials Corp. of America,144A 6.75% 01/05/2021 USD 8,255,000 8,657,431 0.13Bumble Bee Holdings, Inc., 144A 9%15/12/2017 USD 14,408,000 15,092,380 0.23Caesars Entertainment Operating Co.,Inc. 11.25% 01/06/2017§ USD 18,255,000 14,695,275 0.23Caesars Entertainment Operating Co.,Inc. 8.5% 15/02/2020§ USD 32,275,000 26,626,875 0.41Caesars Entertainment Operating Co.,Inc. 9% 15/02/2020§ USD 70,937,000 58,168,340 0.90Caesars Entertainment Operating Co.,Inc. 9% 15/02/2020§ USD 9,939,000 8,100,285 0.12Caesars Entertainment ResortProperties LLC 8% 01/10/2020 USD 9,720,000 9,234,000 0.14Carrizo Oil & Gas, Inc. 6.25%15/04/2023 USD 3,875,000 3,904,062 0.06CCO Holdings LLC 7% 15/01/2019 USD 5,676,000 5,903,040 0.09CCO Holdings LLC 7.375% 01/06/2020 USD 12,970,000 13,731,987 0.21CCO Holdings LLC 5.25% 15/03/2021 USD 23,965,000 23,890,109 0.37CCO Holdings LLC 6.5% 30/04/2021 USD 15,305,000 16,022,422 0.25CCO Holdings LLC 6.625% 31/01/2022 USD 1,320,000 1,376,932 0.02CCO Holdings LLC, 144A 5.125%01/05/2023 USD 7,735,000 7,522,287 0.12CCO Holdings LLC 5.75% 01/09/2023 USD 1,000,000 1,002,500 0.02CCO Holdings LLC, 144A 5.375%01/05/2025 USD 5,970,000 5,790,900 0.09Central Garden & Pet Co. 8.25%01/03/2018 USD 24,859,000 25,511,549 0.39CenturyLink, Inc. 6.75% 01/12/2023 USD 31,595,000 31,318,544 0.48Chemours Co. (The), 144A 6.625%15/05/2023 USD 11,825,000 11,440,687 0.18Chemours Co. (The), 144A 7%15/05/2025 USD 3,780,000 3,666,600 0.06Chinos Intermediate Holdings A, Inc.,144A 7.75% 01/05/2019 USD 7,665,000 6,208,650 0.10Chrysler Group LLC 8.25% 15/06/2021 USD 52,248,000 57,146,250 0.88CIT Group, Inc., 144A 5.5% 15/02/2019 USD 19,604,000 20,486,180 0.32Claire’s Stores, Inc. 8.875% 15/03/2019 USD 12,490,000 5,620,500 0.09Claire’s Stores, Inc., 144A 9%15/03/2019 USD 32,000,000 27,280,000 0.42Clear Channel Worldwide Holdings, Inc.6.5% 15/11/2022 USD 62,815,000 65,563,156 1.01Clear Channel Worldwide Holdings, Inc.6.5% 15/11/2022 USD 9,275,000 9,495,281 0.15Cogent Communications Finance, Inc.,144A 5.625% 15/04/2021 USD 16,655,000 15,780,612 0.24Cogent Communications Group, Inc.,144A 5.375% 01/03/2022 USD 10,860,000 10,778,550 0.17CommScope Technologies Finance LLC,144A 6% 15/06/2025 USD 14,380,000 14,308,100 0.22CommScope, Inc., 144A 5% 15/06/2021 USD 2,210,000 2,151,987 0.03

32



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

CommScope, Inc., 144A 5.5%15/06/2024 USD 985,000 961,606 0.01Communications Sales & Leasing, Inc.,REIT, 144A 8.25% 15/10/2023 USD 18,105,000 17,824,191 0.27Compressco Partners LP, 144A 7.25%15/08/2022 USD 3,940,000 3,782,400 0.06Comstock Resources, Inc., 144A 10%15/03/2020 USD 13,165,000 11,941,708 0.18Corrections Corp. of America, REIT4.625% 01/05/2023 USD 7,670,000 7,516,600 0.12Crestwood Midstream Partners LP,144A 6.25% 01/04/2023 USD 7,675,000 8,020,375 0.12Denali Borrower LLC, 144A 5.625%15/10/2020 USD 18,745,000 19,682,250 0.30DISH DBS Corp. 7.875% 01/09/2019 USD 1,890,000 2,102,625 0.03DISH DBS Corp. 5.125% 01/05/2020 USD 4,093,000 4,113,465 0.06DISH DBS Corp. 6.75% 01/06/2021 USD 58,349,000 60,731,390 0.94DISH DBS Corp. 5.875% 15/07/2022 USD 31,655,000 31,140,606 0.48DISH DBS Corp. 5% 15/03/2023 USD 3,000,000 2,778,750 0.04DISH DBS Corp. 5.875% 15/11/2024 USD 15,260,000 14,573,300 0.22DJO Finco, Inc., 144A 8.125%15/06/2021 USD 27,475,000 28,093,187 0.43DreamWorks Animation SKG, Inc., 144A6.875% 15/08/2020 USD 15,321,000 15,244,395 0.23Dynegy, Inc., 144A 7.375% 01/11/2022 USD 15,010,000 15,910,600 0.25Dynegy, Inc., 144A 7.625% 01/11/2024 USD 7,505,000 7,974,062 0.12Endo Finance LLC, 144A 6%15/07/2023 USD 16,400,000 16,769,000 0.26Energizer Holdings, Inc., 144A 5.5%15/06/2025 USD 13,870,000 13,661,950 0.21Entegris, Inc., 144A 6% 01/04/2022 USD 21,289,000 21,901,059 0.34EP Energy LLC 9.375% 01/05/2020 USD 28,158,000 30,181,997 0.47EP Energy LLC 7.75% 01/09/2022 USD 16,295,000 17,109,750 0.26Equinix, Inc. 5.375% 01/01/2022 USD 4,415,000 4,442,594 0.07Equinix, Inc. 5.75% 01/01/2025 USD 3,525,000 3,516,187 0.05EV Energy Partners LP 8% 15/04/2019 USD 18,129,000 17,162,543 0.26FGI Operating Co. LLC 7.875%01/05/2020 USD 19,686,000 15,256,650 0.24FHLMC 0% 09/09/2015 USD 3,500,000 3,499,524 0.05First Data Corp., 144A 7.375%15/06/2019 USD 28,790,000 29,998,892 0.46First Data Corp., 144A 8.875%15/08/2020 USD 13,675,000 14,410,031 0.22First Data Corp., 144A 6.75%01/11/2020 USD 10,402,000 11,000,115 0.17First Data Corp., 144A 8.25%15/01/2021 USD 28,198,000 29,643,147 0.46First Data Corp. 12.625% 15/01/2021 USD 26,275,000 30,413,312 0.47First Data Corp., 144A 8.75%15/01/2022 USD 50,370,000 53,518,125 0.82FNMA 0% 02/09/2015 USD 5,000,000 4,999,475 0.08Fresenius Medical Care US Finance II,Inc., 144A 5.625% 31/07/2019 USD 1,905,000 2,069,306 0.03Frontier Communications Corp. 6.25%15/09/2021 USD 3,620,000 3,348,500 0.05Frontier Communications Corp. 6.875%15/01/2025 USD 5,765,000 4,878,631 0.08Gardner Denver, Inc., 144A 6.875%15/08/2021 USD 6,230,000 5,754,963 0.09GCI, Inc. 6.75% 01/06/2021 USD 14,969,000 15,268,380 0.24General Cable Corp. 5.75% 01/10/2022 USD 17,125,000 16,268,750 0.25General Motors Co. 4.875% 02/10/2023 USD 32,335,000 34,274,777 0.53Goodyear Tire & Rubber Co. (The)8.25% 15/08/2020 USD 5,222,000 5,456,990 0.08Goodyear Tire & Rubber Co. (The)8.75% 15/08/2020 USD 16,706,000 20,130,730 0.31Goodyear Tire & Rubber Co. (The) 6.5%01/03/2021 USD 9,030,000 9,605,662 0.15Great Lakes Dredge & Dock Corp., 144A7.375% 01/02/2019 USD 2,945,000 3,025,987 0.05Great Lakes Dredge & Dock Corp.7.375% 01/02/2019 USD 19,575,000 20,113,312 0.31Gymboree Corp. (The) 9.125%01/12/2018 USD 10,966,000 4,331,570 0.07H&E Equipment Services, Inc. 7%01/09/2022 USD 16,105,000 16,749,200 0.26Halcon Resources Corp., 144A 8.625%01/02/2020 USD 3,180,000 3,128,325 0.05Halcon Resources Corp. 9.75%15/07/2020 USD 3,205,000 2,123,313 0.03Halcon Resources Corp. 8.875%15/05/2021 USD 19,000,000 12,350,000 0.19Halcon Resources Corp. 9.25%15/02/2022 USD 7,980,000 5,107,200 0.08HD Supply, Inc. 11% 15/04/2020 USD 5,285,000 5,925,806 0.09HD Supply, Inc. 11.5% 15/07/2020 USD 8,795,000 10,246,175 0.16HD Supply, Inc., 144A 5.25% 15/12/2021 USD 13,125,000 13,305,469 0.20Hexion, Inc. 8.875% 01/02/2018 USD 14,050,000 12,776,789 0.20Hexion, Inc. 6.625% 15/04/2020 USD 45,077,000 41,583,533 0.64Hiland Partners LP, 144A 7.25%01/10/2020 USD 9,505,000 10,312,925 0.16

Hillman Group, Inc. (The), 144A 6.375%15/07/2022 USD 10,451,000 9,928,450 0.15Hilton Worldwide Finance LLC 5.625%15/10/2021 USD 5,300,000 5,535,188 0.09HJ Heinz Co., 144A 4.875% 15/02/2025 USD 17,955,000 19,570,950 0.30HJ Heinz Co. (The) 4.25% 15/10/2020 USD 3,516,000 3,590,750 0.06Hologic, Inc. 6.25% 01/08/2020 USD 24,308,000 25,141,764 0.39Hologic, Inc., 144A 5.25% 15/07/2022 USD 14,040,000 14,373,450 0.22HRG Group, Inc., 144A 7.875%15/07/2019 USD 2,395,000 2,538,700 0.04HRG Group, Inc., 144A 7.75%15/01/2022 USD 2,660,000 2,603,475 0.04Hughes Satellite Systems Corp. 6.5%15/06/2019 USD 4,616,000 5,054,520 0.08iHeartCommunications, Inc., 144A10.625% 15/03/2023 USD 7,810,000 7,380,450 0.11IMS Health, Inc., 144A 6% 01/11/2020 USD 19,361,000 20,038,635 0.31Infinity Acquisition LLC, 144A 7.25%01/08/2022 USD 7,785,000 7,395,750 0.11Infor Software Parent LLC, 144A 7.125%01/05/2021 USD 20,325,000 20,416,259 0.31Infor US, Inc., 144A 6.5% 15/05/2022 USD 28,361,000 28,857,318 0.44Interline Brands, Inc. 10.056%15/11/2018 USD 1,577,000 1,651,908 0.03Interval Acquisition Corp., 144A 5.625%15/04/2023 USD 11,085,000 11,278,988 0.17inVentiv Health, Inc., 144A 9%15/01/2018 USD 18,895,000 19,638,991 0.30inVentiv Health, Inc., 144A 10%15/08/2018 USD 6,364,300 6,618,872 0.10inVentiv Health, Inc., 144A 11%15/08/2018 USD 1,499,000 1,454,030 0.02inVentiv Health, Inc., 144A 11%15/08/2018 USD 2,212,000 2,134,580 0.03Isle of Capri Casinos, Inc. 5.875%15/03/2021 USD 10,595,000 10,910,731 0.17Italics Merger Sub, Inc., 144A 7.125%15/07/2023 USD 14,485,000 14,421,628 0.22Jack Cooper Holdings Corp., 144A10.25% 01/06/2020 USD 21,250,000 19,550,000 0.30JCH Parent, Inc., 144A 10.5%15/03/2019 USD 7,589,187 5,748,809 0.09Kindred Healthcare, Inc., 144A 8%15/01/2020 USD 13,120,000 14,038,400 0.22Kindred Healthcare, Inc., 144A 8.75%15/01/2023 USD 3,900,000 4,226,625 0.06Kinetic Concepts, Inc. 10.5% 01/11/2018 USD 25,788,000 27,598,318 0.43KLX, Inc., 144A 5.875% 01/12/2022 USD 14,875,000 14,986,563 0.23Kratos Defense & Security Solutions,Inc. 7% 15/05/2019 USD 16,775,000 15,097,500 0.23Legacy Reserves LP 8% 01/12/2020 USD 8,600,000 7,525,000 0.12Legacy Reserves LP 6.625% 01/12/2021 USD 13,236,000 10,787,340 0.17Level 3 Communications, Inc. 5.75%01/12/2022 USD 11,245,000 11,245,000 0.17Level 3 Financing, Inc., 144A 5.625%01/02/2023 USD 7,395,000 7,524,043 0.12Level 3 Financing, Inc., 144A 5.125%01/05/2023 USD 10,735,000 10,527,009 0.16Level 3 Financing, Inc., 144A 5.375%01/05/2025 USD 10,735,000 10,379,457 0.16Linn Energy LLC 6.25% 01/11/2019 USD 10,860,000 8,688,000 0.13Linn Energy LLC 8.625% 15/04/2020 USD 6,535,000 5,489,400 0.08Linn Energy LLC 7.75% 01/02/2021 USD 18,644,000 14,728,760 0.23LSB Industries, Inc. 7.75% 01/08/2019 USD 17,405,000 18,710,375 0.29LTF Merger Sub, Inc., 144A 8.5%15/06/2023 USD 16,480,000 15,944,400 0.25Marina District Finance Co., Inc. 9.875%15/08/2018 USD 18,330,000 18,948,638 0.29MarkWest Energy Partners LP 4.875%01/06/2025 USD 21,270,000 20,791,425 0.32McGraw-Hill Global Education HoldingsLLC 9.75% 01/04/2021 USD 9,745,000 10,768,225 0.17Memorial Production Partners LP7.625% 01/05/2021 USD 13,110,000 12,388,950 0.19Memorial Production Partners LP6.875% 01/08/2022 USD 6,205,000 5,631,038 0.09Michaels Stores, Inc., 144A 5.875%15/12/2020 USD 7,204,000 7,528,180 0.12Micron Technology, Inc. 5.875%15/02/2022 USD 7,680,000 7,795,200 0.12Micron Technology, Inc., 144A 5.25%01/08/2023 USD 2,420,000 2,317,150 0.04Micron Technology, Inc., 144A 5.25%15/01/2024 USD 5,955,000 5,582,813 0.09Micron Technology, Inc., 144A 5.5%01/02/2025 USD 4,005,000 3,749,681 0.06Neiman Marcus Group Ltd. LLC, 144A8% 15/10/2021 USD 7,290,000 7,763,850 0.12Neiman Marcus Group Ltd. LLC, 144A8.75% 15/10/2021 USD 10,271,000 11,054,164 0.17Nexeo Solutions LLC 8.375%01/03/2018 USD 6,620,000 6,156,600 0.09

33



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Nexstar Broadcasting, Inc. 6.875%15/11/2020 USD 15,734,000 16,638,705 0.26Nexstar Broadcasting, Inc., 144A6.125% 15/02/2022 USD 4,500,000 4,578,750 0.07Nielsen Finance LLC, 144A 5%15/04/2022 USD 15,905,000 15,567,019 0.24Omega US Sub LLC, 144A 8.75%15/07/2023 USD 9,535,000 9,535,000 0.15Outfront Media Capital LLC 5.25%15/02/2022 USD 3,645,000 3,690,562 0.06Outfront Media Capital LLC 5.625%15/02/2024 USD 2,230,000 2,296,900 0.04Party City Holdings, Inc. 8.875%01/08/2020 USD 24,052,000 25,735,640 0.40Petco Animal Supplies, Inc., 144A9.25% 01/12/2018 USD 17,119,000 17,889,355 0.28Petco Holdings, Inc., 144A 8.5%15/10/2017 USD 3,000,000 3,075,000 0.05Plantronics, Inc., 144A 5.5%31/05/2023 USD 11,395,000 11,537,438 0.18Polymer Group, Inc. 7.75% 01/02/2019 USD 20,586,000 21,244,855 0.33Post Holdings, Inc., 144A 6.75%01/12/2021 USD 9,770,000 9,770,000 0.15Post Holdings, Inc., 144A 6%15/12/2022 USD 5,865,000 5,659,725 0.09Project Homestake Merger Corp., 144A8.875% 01/03/2023 USD 17,960,000 17,555,900 0.27Quebecor, Inc. 0% 01/08/2027 USD 1,605,000 7,022 0.00Quintiles Transnational Corp., 144A4.875% 15/05/2023 USD 3,730,000 3,767,300 0.06Radio Systems Corp., 144A 8.375%01/11/2019 USD 19,638,000 21,012,660 0.32Rain CII Carbon LLC, 144A 8%01/12/2018 USD 2,980,000 2,927,850 0.04Range Resources Corp., 144A 4.875%15/05/2025 USD 8,625,000 8,398,594 0.13Realogy Group LLC, 144A 5.25%01/12/2021 USD 3,500,000 3,578,750 0.06Regency Energy Partners LP 5.75%01/09/2020 USD 1,750,000 1,896,825 0.03Regency Energy Partners LP 5.875%01/03/2022 USD 3,290,000 3,525,900 0.05Regency Energy Partners LP 5%01/10/2022 USD 6,450,000 6,661,921 0.10Regency Energy Partners LP 5.5%15/04/2023 USD 8,218,000 8,405,617 0.13Rentech Nitrogen Partners LP, 144A6.5% 15/04/2021 USD 6,525,000 6,443,438 0.10Reynolds Group Issuer, Inc. 7.125%15/04/2019 USD 4,602,000 4,751,565 0.07Reynolds Group Issuer, Inc. 6.875%15/02/2021 USD 2,560,000 2,684,800 0.04RHP Hotel Properties LP, REIT, 144A 5%15/04/2023 USD 9,325,000 9,138,500 0.14Rite Aid Corp., 144A 6.125%01/04/2023 USD 19,715,000 20,331,094 0.31RKI Exploration & Production LLC, 144A8.5% 01/08/2021 USD 9,445,000 9,421,388 0.15RSI Home Products, Inc., 144A 6.5%15/03/2023 USD 18,090,000 18,270,900 0.28RSP Permian, Inc., 144A 6.625%01/10/2022 USD 2,950,000 3,031,125 0.05Sabine Pass Liquefaction LLC 6.25%15/03/2022 USD 11,275,000 11,669,625 0.18Sabine Pass Liquefaction LLC 5.625%15/04/2023 USD 7,120,000 7,066,600 0.11Sabine Pass Liquefaction LLC 5.75%15/05/2024 USD 9,635,000 9,625,365 0.15Sabine Pass Liquefaction LLC, 144A5.625% 01/03/2025 USD 8,770,000 8,660,375 0.13Sabre GLBL, Inc., 144A 5.375%15/04/2023 USD 12,000,000 11,850,000 0.18Sanchez Energy Corp. 7.75%15/06/2021 USD 1,375,000 1,361,250 0.02SBA Telecommunications, Inc. 5.75%15/07/2020 USD 7,138,000 7,378,908 0.11Sealed Air Corp., 144A 6.5%01/12/2020 USD 3,760,000 4,174,352 0.06Serta Simmons Holdings LLC, 144A8.125% 01/10/2020 USD 42,630,000 45,294,375 0.70ServiceMaster Co. LLC (The) 7%15/08/2020 USD 6,232,000 6,574,760 0.10Sinclair Television Group, Inc. 5.375%01/04/2021 USD 12,410,000 12,549,613 0.19Sinclair Television Group, Inc. 6.125%01/10/2022 USD 5,105,000 5,264,531 0.08Sinclair Television Group, Inc., 144A5.625% 01/08/2024 USD 2,685,000 2,634,656 0.04Sirius XM Radio, Inc., 144A 5.875%01/10/2020 USD 2,590,000 2,674,175 0.04

Sirius XM Radio, Inc., 144A 5.75%01/08/2021 USD 16,140,000 16,644,375 0.26Sirius XM Radio, Inc., 144A 4.625%15/05/2023 USD 7,697,000 7,244,801 0.11Sirius XM Radio, Inc., 144A 6%15/07/2024 USD 7,118,000 7,189,180 0.11Sirius XM Radio, Inc., 144A 5.375%15/04/2025 USD 9,330,000 9,003,450 0.14SM Energy Co., 144A 6.125% 15/11/2022 USD 3,980,000 4,110,146 0.06Spectrum Brands, Inc. 6.375%15/11/2020 USD 3,605,000 3,830,313 0.06Spectrum Brands, Inc. 6.625%15/11/2022 USD 5,790,000 6,209,775 0.10Spectrum Brands, Inc., 144A 5.75%15/07/2025 USD 6,820,000 6,939,350 0.11Sprint Communications, Inc., 144A 9%15/11/2018 USD 9,705,000 10,966,650 0.17SunGard Data Systems, Inc. 6.625%01/11/2019 USD 10,560,000 10,942,800 0.17SunGard Data Systems, Inc. 7.625%15/11/2020 USD 11,350,000 11,903,313 0.18Targa Resources Partners LP, 144A4.125% 15/11/2019 USD 3,930,000 3,910,350 0.06TEGNA, Inc., 144A 4.875% 15/09/2021 USD 3,180,000 3,164,100 0.05TEGNA, Inc., 144A 5.5% 15/09/2024 USD 2,580,000 2,560,650 0.04Tenet Healthcare Corp. 6.75%01/02/2020 USD 4,868,000 5,080,975 0.08Tenet Healthcare Corp. 6% 01/10/2020 USD 15,645,000 16,663,490 0.26Tenet Healthcare Corp., 144A 6.75%15/06/2023 USD 10,265,000 10,457,469 0.16Tesoro Logistics LP, 144A 6.25%15/10/2022 USD 3,420,000 3,608,100 0.06Time, Inc., 144A 5.75% 15/04/2022 USD 14,328,000 13,826,520 0.21TransDigm, Inc., 144A 6.5% 15/05/2025 USD 10,430,000 10,430,000 0.16UCI International, Inc. 8.625%15/02/2019 USD 20,510,000 18,356,450 0.28United Surgical Partners International,Inc. 9% 01/04/2020 USD 18,702,000 19,964,385 0.31US Treasury Bill 0% 06/08/2015 USD 5,000,000 4,999,940 0.08US Treasury Bill 0% 13/08/2015 USD 48,000,000 47,999,036 0.74US Treasury Bill 0% 20/08/2015 USD 57,000,000 57,001,026 0.88US Treasury Bill 0% 03/09/2015 USD 42,000,000 41,998,880 0.65US Treasury Bill 0% 17/09/2015 USD 45,000,000 45,000,720 0.69US Treasury Bill 0% 24/09/2015 USD 15,000,000 15,000,000 0.23US Treasury Bill 0% 08/10/2015 USD 42,000,000 42,000,294 0.65Valeant Pharmaceuticals International,Inc., 144A 7% 01/10/2020 USD 9,800,000 10,216,500 0.16Valeant Pharmaceuticals International,Inc., 144A 6.75% 15/08/2021 USD 21,824,000 22,806,080 0.35Valeant Pharmaceuticals International,Inc., 144A 7.25% 15/07/2022 USD 20,185,000 21,547,488 0.33Watco Cos. LLC, 144A 6.375%01/04/2023 USD 8,265,000 8,430,300 0.13Whiting Petroleum Corp., 144A 6.25%01/04/2023 USD 8,480,000 8,543,600 0.13Windstream Services LLC 7.75%01/10/2021 USD 48,785,000 44,394,350 0.68Windstream Services LLC 7.5%01/04/2023 USD 13,345,000 11,543,425 0.18WMG Acquisition Corp., 144A 6%15/01/2021 USD 9,362,000 9,596,050 0.15WMG Acquisition Corp., 144A 5.625%15/04/2022 USD 4,140,000 4,171,050 0.06WR Grace & Co. -Conn, 144A 5.125%01/10/2021 USD 3,605,000 3,659,075 0.06WR Grace & Co. -Conn, 144A 5.625%01/10/2024 USD 1,800,000 1,833,750 0.03Wynn Las Vegas LLC, 144A 5.5%01/03/2025 USD 19,440,000 18,516,600 0.29XPO Logistics, Inc., 144A 6.5%15/06/2022 USD 14,260,000 13,974,800 0.22Zayo Group LLC, 144A 6% 01/04/2023 USD 20,675,000 20,416,563 0.31Zayo Group LLC, 144A 6.375%15/05/2025 USD 6,300,000 6,126,750 0.09Zebra Technologies Corp., 144A 7.25%15/10/2022 USD 25,325,000 27,351,000 0.42ZF North America Capital, Inc., 144A4.5% 29/04/2022 USD 11,155,000 10,945,844 0.17ZF North America Capital, Inc., 144A4.75% 29/04/2025 USD 20,370,000 19,733,438 0.30

3,557,297,264 54.83

Total Bonds 4,185,889,876 64.52


4,185,889,876 64.52

34



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Other transferable securities and money market instruments

Bonds

NetherlandsReichhold Holdings International BV12% 31/03/2017* USD 5,468,000 5,468,000 0.09Reichhold Holdings International BV15% 31/03/2017* USD 6,000,000 6,000,000 0.09

11,468,000 0.18

United States of AmericaReichhold Industries, Inc., 144A 9.075%08/05/2017*§ USD 4,799,657 5 0.00Reichhold LLC 12% 31/03/2017* USD 6,732,000 6,732,000 0.10

6,732,005 0.10

Total Bonds 18,200,005 0.28

Equities

Cayman IslandsReichhold, Inc.* USD 7,978 3,406,606 0.05

3,406,606 0.05


Total Other transferable securities and money marketinstruments

21,606,611 0.33



LuxembourgJ.P. Morgan Funds - Europe High YieldBond Fund Class X (acc) - EUR † EUR 591,999 71,694,590 1.10

71,694,590 1.10



71,694,590 1.10


Cash 1,739,009 0.03


Total Net Assets 6,487,476,751 100.00

* Security is valued at its fair value under the direction of the Board of Directors.† Related Party Fund.

§ Security is currently in default.

Geographic Allocation of Portfolio as at 30 June 2015 % of Net AssetsUnited States of America 84.40Luxembourg 5.49Canada 4.20Ireland 1.27Netherlands 1.03United Kingdom 0.93France 0.48Australia 0.37Bermuda 0.31Cayman Islands 0.27Italy 0.21Sweden 0.14Total Investments 99.10Cash and Other Assets/(Liabilities) 0.90

Total 100.00

Geographic Allocation of Portfolio as at 31 December 2014 % of Net AssetsUnited States of America 84.72Luxembourg 5.05Canada 3.27United Kingdom 1.55Netherlands 1.00Ireland 0.86Cayman Islands 0.68Australia 0.43Bermuda 0.38France 0.36Italy 0.26Sweden 0.16Total Investments 98.72Cash and Other Assets/(Liabilities) 1.28

Total 100.00

35



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets



As at 30 June 2015




USD

%of

NetAssets

AUD 781,873 USD 600,083 02/07/2015 3,194 -AUD 1,690,050 USD 1,298,473 28/07/2015 3,506 -CHF 6,137 USD 6,586 28/07/2015 20 -CNH 5,404,070 USD 869,239 15/07/2015 689 -EUR 515,499 USD 576,608 02/07/2015 699 -EUR 2,823,183 USD 3,159,050 28/07/2015 3,780 -GBP 86,738 USD 134,424 28/07/2015 2,194 -PLN 60,000 USD 16,013 28/07/2015 16 -USD 12,399,246 AUD 16,035,992 28/07/2015 45,446 -USD 330,331 CAD 406,676 28/07/2015 3,354 -USD 196,646 CHF 182,266 28/07/2015 452 -USD 31,847,974 EUR 28,191,565 28/07/2015 264,782 -USD 88,390,841 EUR 78,866,455 31/07/2015 32,487 -USD 51,124 HUF 14,178,601 28/07/2015 709 -USD 29,321 NZD 42,289 28/07/2015 713 -USD 741,569 PLN 2,745,306 28/07/2015 8,130 -

Total Unrealised Gain on Forward Currency Exchange Contracts 370,171 -

AUD 606,172,497 USD 469,036,886 28/07/2015 (2,054,032) (0.03)CAD 10,935 USD 8,831 02/07/2015 (36) -CAD 10,985,080 USD 8,969,873 28/07/2015 (137,614) -CHF 1,105,691 USD 1,199,123 28/07/2015 (8,938) -CNH 5,291,347 USD 849,961 13/08/2015 (127) -EUR 846,868,956 USD 958,456,766 28/07/2015 (9,703,996) (0.15)GBP 33,017,251 USD 52,339,834 28/07/2015 (335,580) (0.01)HUF 555,899,997 USD 2,010,405 28/07/2015 (33,788) -NZD 1,604,854 USD 1,103,118 28/07/2015 (17,422) -PLN 34,010,767 USD 9,215,576 28/07/2015 (129,234) -USD 244,295 AUD 319,495 01/07/2015 (2,221) -USD 5,369,006 AUD 7,010,603 28/07/2015 (31,818) -USD 3,748 CHF 3,503 28/07/2015 (23) -USD 869,776 CNH 5,404,070 15/07/2015 (152) -USD 3,178 CNH 19,795 13/08/2015 (1) -USD 630,690 EUR 565,319 01/07/2015 (2,411) -USD 4,544,758 EUR 4,080,785 28/07/2015 (26,970) -USD 391,907 GBP 249,237 28/07/2015 (657) -USD 7,314 HUF 2,071,913 28/07/2015 (53) -USD 16,025 PLN 60,000 01/07/2015 (16) -USD 31,612 PLN 119,299 28/07/2015 (260) -


Net Unrealised Loss on Forward Currency Exchange Contracts (12,115,178) (0.19)


USD

ANZ 80Bank of America 136,907Barclays 44,270BNP Paribas (1,237,245)Citibank (1,067,737)Credit Suisse (18,709)Deutsche Bank 24,354Goldman Sachs (330,403)HSBC (4,772,666)Morgan Stanley (4)National Australia Bank 680RBC 454Societe Generale (4,911,207)Standard Chartered 613State Street (15,655)UBS 168Westpac Banking 30,922

(12,115,178)

36



As at 30 June 2015

Credit Default Swap Contracts

NominalAmount Currency Counterparty Reference Entity Buy/Sell Maturity Date

MarketValue

USD


USD

%of

NetAssets

30,000,000 USD Citibank CDX.NA.HY.22-V1 Sell 20/06/2019 2,299,895 44,065 0.03

Total Unrealised Gain on Credit Default Swap Contracts 2,299,895 44,065 0.03

50,000,000 USD Citibank CDX.NA.HY.24-V2 Sell 20/06/2020 3,008,834 (970,332) 0.05

Total Unrealised Loss on Credit Default Swap Contracts 3,008,834 (970,332) 0.05

Net Unrealised Loss on Credit Default Swap Contracts 5,308,729 (926,267) 0.08

37

38


Bonds

ArgentinaArgentina Boden Bond 7% 03/10/2015 USD 6,150,000 5,560,948 0.04Provincia de Buenos Aires, Reg. S11.75% 05/10/2015 USD 1,009,000 913,857 0.00Provincia de Buenos Aires, Reg. S10.875% 26/01/2021 USD 6,613,000 5,953,235 0.04Provincia de Buenos Aires, Reg. S9.625% 18/04/2028 USD 2,818,000 2,461,391 0.02YPF SA, Reg. S 8.75% 04/04/2024 USD 1,050,000 951,408 0.01YPF SA, Reg. S 8.5% 28/07/2025 USD 1,320,000 1,168,953 0.01

17,009,792 0.12

ArubaAruba, Reg. S 4.625% 14/09/2023 USD 3,070,000 2,790,427 0.02

2,790,427 0.02

AzerbaijanState Oil Co. of the AzerbaijanRepublic, Reg. S 4.75% 13/03/2023 USD 8,165,000 6,986,365 0.05State Oil Co. of the AzerbaijanRepublic, Reg. S 6.95% 18/03/2030 USD 2,150,000 2,034,609 0.01

9,020,974 0.06

BahrainBahrain Government InternationalBond, Reg. S 6% 19/09/2044 USD 5,360,000 4,492,321 0.03

4,492,321 0.03

BelarusRepublic of Belarus, Reg. S 8.75%03/08/2015 USD 2,600,000 2,310,225 0.02

2,310,225 0.02

BelgiumKBC Groep NV, Reg. S, FRN 5.625%Perpetual EUR 15,635,000 15,376,710 0.11

15,376,710 0.11

BermudaAircastle Ltd. 6.75% 15/04/2017 USD 1,250,000 1,191,926 0.01Aircastle Ltd. 6.25% 01/12/2019 USD 2,302,000 2,251,228 0.02Aircastle Ltd. 7.625% 15/04/2020 USD 7,785,000 7,952,567 0.05

11,395,721 0.08

BrazilBanco Daycoval SA, Reg. S 5.75%19/03/2019 USD 4,235,000 3,928,408 0.03Brazilian Government InternationalBond 4.875% 22/01/2021 USD 3,450,000 3,223,111 0.02Brazilian Government InternationalBond 4.25% 07/01/2025 USD 10,710,000 9,205,924 0.06Brazilian Government InternationalBond 7.125% 20/01/2037 USD 4,610,000 4,645,093 0.03Brazilian Government InternationalBond 11% 17/08/2040 USD 4,265,000 3,856,171 0.03Brazilian Government InternationalBond 5% 27/01/2045 USD 10,724,000 8,255,824 0.06Votorantim Cimentos SA, Reg. S 7.25%05/04/2041 USD 4,210,000 3,687,613 0.02

36,802,144 0.25

CanadaFirst Quantum Minerals Ltd., 144A7.25% 15/10/2019 USD 500,000 447,585 0.00First Quantum Minerals Ltd., 144A7.25% 15/05/2022 USD 676,000 577,971 0.01Pacific Rubiales Energy Corp., Reg. S5.375% 26/01/2019 USD 4,015,000 2,968,390 0.02

3,993,946 0.03

Cayman IslandsAlpha Star Holding Ltd., Reg. S 4.97%09/04/2019 USD 8,570,000 7,168,910 0.05Comcel Trust, Reg. S 6.875%06/02/2024 USD 1,900,000 1,793,226 0.01Country Garden Holdings Co. Ltd., Reg.S 7.5% 09/03/2020 USD 2,550,000 2,355,233 0.02Country Garden Holdings Co. Ltd., Reg.S 7.5% 10/01/2023 USD 3,330,000 2,996,777 0.02

Emirates NBD Tier 1 Ltd., Reg. S, FRN5.75% Perpetual USD 9,290,000 8,291,817 0.06Odebrecht Offshore Drilling FinanceLtd., Reg. S 6.75% 01/10/2023 USD 7,757,204 4,938,836 0.04Transocean, Inc. 6.5% 15/11/2020 USD 613,000 501,553 0.00Transocean, Inc. 6.375% 15/12/2021 USD 6,612,000 5,295,977 0.04Vale Overseas Ltd. 6.875% 21/11/2036 USD 3,900,000 3,373,453 0.02Wynn Macau Ltd., 144A 5.25%15/10/2021 USD 2,296,000 1,930,555 0.01

38,646,337 0.27

ChileEmpresa Nacional deTelecomunicaciones SA, Reg. S 4.75%01/08/2026 USD 10,100,000 8,859,393 0.06

8,859,393 0.06

ColombiaColombia Government InternationalBond 5% 15/06/2045 USD 1,700,000 1,412,052 0.01Ecopetrol SA 7.375% 18/09/2043 USD 16,449,000 15,363,784 0.11

16,775,836 0.12

Costa RicaCosta Rica Government InternationalBond, Reg. S 9.995% 01/08/2020 USD 10,955,000 12,359,567 0.09Costa Rica Government InternationalBond, Reg. S 7% 04/04/2044 USD 3,170,000 2,736,704 0.02Costa Rica Government InternationalBond, Reg. S 7.158% 12/03/2045 USD 4,660,000 4,060,408 0.03Instituto Costarricense de Electricidad,Reg. S 6.95% 10/11/2021 USD 2,000,000 1,886,151 0.01

21,042,830 0.15

CroatiaCroatia Government InternationalBond, Reg. S 6.75% 05/11/2019 USD 5,810,000 5,721,260 0.04Croatia Government InternationalBond, Reg. S 6% 26/01/2024 USD 12,340,000 11,674,022 0.08Hrvatska Elektroprivreda, Reg. S 6%09/11/2017 USD 11,402,000 10,659,226 0.07

28,054,508 0.19

DenmarkDanske Bank A/S, Reg. S, FRN 5.75%Perpetual EUR 6,152,000 6,154,953 0.04

6,154,953 0.04

Dominican RepublicDominican Republic InternationalBond, 144A 9.04% 23/01/2018 USD 1,507,128 1,451,043 0.01Dominican Republic InternationalBond, Reg. S 9.04% 23/01/2018 USD 9,709,786 9,349,062 0.06Dominican Republic InternationalBond, Reg. S 7.5% 06/05/2021 USD 10,190,000 10,223,030 0.07Dominican Republic InternationalBond, Reg. S 5.875% 18/04/2024 USD 2,370,000 2,196,932 0.01Dominican Republic InternationalBond, Reg. S 5.5% 27/01/2025 USD 2,560,000 2,303,817 0.02Dominican Republic InternationalBond, Reg. S 7.45% 30/04/2044 USD 3,630,000 3,545,935 0.03Dominican Republic InternationalBond, Reg. S 6.85% 27/01/2045 USD 4,350,000 3,980,567 0.03

33,050,386 0.23

EcuadorEcuador Government InternationalBond, 144A 10.5% 24/03/2020 USD 1,050,000 946,960 0.01Ecuador Government InternationalBond, Reg. S 10.5% 24/03/2020 USD 2,040,000 1,844,261 0.01Ecuador Government InternationalBond, Reg. S 7.95% 20/06/2024 USD 1,150,000 925,899 0.01

3,717,120 0.03

EgyptEgypt Government International Bond,Reg. S 5.875% 11/06/2025 USD 3,092,000 2,699,419 0.02

2,699,419 0.02

El SalvadorEl Salvador Government InternationalBond, Reg. S 7.75% 24/01/2023 USD 10,030,000 9,784,512 0.07

9,784,512 0.07

JPMorgan Investment Funds - Global Income Fund


As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

EthiopiaFederal Democratic Republic ofEthiopia, Reg. S 6.625% 11/12/2024 USD 3,050,000 2,708,193 0.02

2,708,193 0.02

FinlandNokia OYJ 5.375% 15/05/2019 USD 1,671,000 1,580,713 0.01Nokia OYJ 6.625% 15/05/2039 USD 1,283,000 1,250,029 0.01

2,830,742 0.02

FranceCredit Agricole SA, FRN, 144A 6.625%Perpetual USD 20,150,000 17,566,073 0.12Credit Agricole SA, Reg. S, FRN 6.5%Perpetual EUR 3,915,000 3,946,672 0.03Electricite de France SA, FRN, 144A5.25% Perpetual USD 12,290,000 11,043,168 0.08Electricite de France SA, FRN, 144A5.625% Perpetual USD 6,490,000 5,898,459 0.04Numericable-SFR SAS, 144A 4.875%15/05/2019 USD 432,000 381,837 0.00Numericable-SFR SAS, 144A 6%15/05/2022 USD 17,157,000 15,147,767 0.10Numericable-SFR SAS, 144A 6.25%15/05/2024 USD 7,666,000 6,755,239 0.05Orange SA, Reg. S, FRN 5.875%Perpetual GBP 2,000,000 2,871,450 0.02

63,610,665 0.44

GabonGabonese Republic, Reg. S 6.95%16/06/2025 USD 1,280,000 1,138,507 0.01

1,138,507 0.01

GeorgiaGeorgian Railway JSC, Reg. S 7.75%11/07/2022 USD 7,194,000 6,873,453 0.05

6,873,453 0.05

GermanyUnitymedia Hessen GmbH & Co. KG,144A 5.5% 15/01/2023 USD 1,005,000 919,980 0.01

919,980 0.01

GhanaRepublic of Ghana, Reg. S 8.5%04/10/2017 USD 3,870,000 3,575,923 0.02

3,575,923 0.02

HondurasRepublic of Honduras, Reg. S 8.75%16/12/2020 USD 9,810,000 10,004,028 0.07

10,004,028 0.07

HungaryHungary Government InternationalBond 6.375% 29/03/2021 USD 5,858,000 5,943,655 0.04Hungary Government InternationalBond 5.75% 22/11/2023 USD 7,660,000 7,590,439 0.05Hungary Government InternationalBond 5.375% 25/03/2024 USD 23,290,000 22,546,006 0.16Hungary Government InternationalBond 7.625% 29/03/2041 USD 16,540,000 19,607,559 0.14MFB Magyar Fejlesztesi Bank Zrt., Reg.S 6.25% 21/10/2020 USD 4,670,000 4,642,832 0.03

60,330,491 0.42

IndonesiaIndonesia Government InternationalBond, Reg. S 11.625% 04/03/2019 USD 14,505,000 17,022,296 0.12Indonesia Government InternationalBond, Reg. S 5.875% 15/01/2024 USD 10,720,000 10,605,372 0.07Indonesia Government InternationalBond, Reg. S 4.125% 15/01/2025 USD 2,169,000 1,902,151 0.01Indonesia Government InternationalBond, Reg. S 6.75% 15/01/2044 USD 8,060,000 8,370,770 0.06Indonesia Government InternationalBond, Reg. S 5.125% 15/01/2045 USD 9,534,000 8,134,250 0.06Pertamina Persero PT, Reg. S 5.25%23/05/2021 USD 8,650,000 8,045,026 0.05Pertamina Persero PT, Reg. S 6%03/05/2042 USD 6,910,000 5,734,578 0.04Pertamina Persero PT, Reg. S 5.625%20/05/2043 USD 5,140,000 4,090,498 0.03

Pertamina Persero PT, Reg. S 6.45%30/05/2044 USD 9,930,000 8,747,161 0.06

72,652,102 0.50

IraqRepublic of Iraq, Reg. S 5.8%15/01/2028 USD 23,970,000 17,371,027 0.12

17,371,027 0.12

IrelandArdagh Packaging Finance PLC, 144A6.25% 31/01/2019 USD 1,996,000 1,817,948 0.01Ardagh Packaging Finance PLC, 144A6.75% 31/01/2021 USD 1,000,000 913,028 0.01Bank of Ireland, Reg. S, FRN 7.375%Perpetual EUR 3,500,000 3,490,498 0.02Russian Railways, Reg. S 5.7%05/04/2022 USD 4,730,000 3,977,863 0.03

10,199,337 0.07

IsraelIsrael Electric Corp. Ltd., Reg. S, 144A5% 12/11/2024 USD 10,600,000 9,623,672 0.07

9,623,672 0.07

ItalyEnel SpA, FRN, 144A 8.75%24/09/2073 USD 9,400,000 9,672,625 0.07Italy Buoni Poliennali Del Tesoro, Reg.S, 144A 4.75% 01/09/2028 EUR 20,600,000 25,111,132 0.17Telecom Italia SpA, 144A 5.303%30/05/2024 USD 2,500,000 2,251,875 0.02

37,035,632 0.26

Ivory CoastIvory Coast Government InternationalBond, Reg. S 6.375% 03/03/2028 USD 6,000,000 5,263,568 0.04

5,263,568 0.04

JamaicaJamaica Government InternationalBond 8% 24/06/2019 USD 6,910,000 6,818,064 0.05

6,818,064 0.05

JapanSoftBank Group Corp., 144A 4.5%15/04/2020 USD 4,095,000 3,672,373 0.02

3,672,373 0.02

KazakhstanKazMunayGas National Co. JSC, Reg. S6.375% 09/04/2021 USD 16,530,000 15,511,913 0.11KazMunayGas National Co. JSC, Reg. S4.4% 30/04/2023 USD 4,550,000 3,714,107 0.02

19,226,020 0.13

KenyaKenya Government International Bond,Reg. S 6.875% 24/06/2024 USD 4,876,000 4,429,393 0.03

4,429,393 0.03

LebanonLebanon Government InternationalBond 4.5% 22/04/2016 USD 2,600,000 2,337,423 0.02Lebanon Government InternationalBond, Reg. S 8.25% 12/04/2021 USD 6,150,000 6,221,418 0.04Lebanon Government InternationalBond, Reg. S 6.6% 27/11/2026 USD 2,500,000 2,300,183 0.01Lebanon Government InternationalBond, Reg. S 6.65% 26/02/2030 USD 7,665,000 7,009,379 0.05

17,868,403 0.12

LiberiaRoyal Caribbean Cruises Ltd. 7.5%15/10/2027 USD 101,000 104,396 0.00

104,396 0.00

LuxembourgAltice Financing SA, 144A 6.5%15/01/2022 USD 4,001,000 3,589,396 0.02Altice Financing SA, 144A 6.625%15/02/2023 USD 11,897,000 10,576,156 0.07

39



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Altice Finco SA, 144A 8.125%15/01/2024 USD 200,000 184,838 0.00Altice Finco SA, 144A 7.625%15/02/2025 USD 892,000 770,614 0.01Altice SA, 144A 7.75% 15/05/2022 USD 9,644,000 8,331,610 0.06ArcelorMittal 9.85% 01/06/2019 USD 3,025,000 3,242,901 0.02ArcelorMittal 7% 25/02/2022 USD 18,153,000 17,618,169 0.12ArcelorMittal 7.75% 15/10/2039 USD 2,795,000 2,497,955 0.02ArcelorMittal 6.75% 01/03/2041 USD 1,000,000 884,842 0.01Gazprom OAO, Reg. S 9.25%23/04/2019 USD 2,350,000 2,332,321 0.02Mallinckrodt International Finance SA3.5% 15/04/2018 USD 112,000 100,259 0.00Mallinckrodt International Finance SA4.75% 15/04/2023 USD 2,720,000 2,287,615 0.02Millicom International Cellular SA, Reg.S 6.625% 15/10/2021 USD 3,550,000 3,266,007 0.02MOL Group Finance SA, Reg. S 6.25%26/09/2019 USD 2,702,000 2,623,828 0.02Wind Acquisition Finance SA, 144A4.75% 15/07/2020 USD 5,670,000 5,044,245 0.03Wind Acquisition Finance SA, 144A7.375% 23/04/2021 USD 4,941,000 4,499,006 0.03

67,849,762 0.47

Marshall IslandsNavios Maritime Holdings, Inc. 8.125%15/02/2019 USD 455,000 318,427 0.00

318,427 0.00

MexicoCemex SAB de CV, 144A 7.25%15/01/2021 USD 3,420,000 3,229,440 0.02Cemex SAB de CV, 144A 5.7%11/01/2025 USD 1,400,000 1,192,175 0.01Cemex SAB de CV, 144A 6.125%05/05/2025 USD 3,000,000 2,641,321 0.02Empresas ICA SAB de CV, Reg. S8.875% 29/05/2024 USD 552,000 374,016 0.00Mexico Government International Bond7.75% 29/05/2031 MXN 860,000 5,488,183 0.04Mexico Government International Bond4.6% 23/01/2046 USD 3,150,000 2,591,247 0.02Mexico Government International Bond4% 15/03/2115 EUR 1,400,000 1,220,800 0.01Nemak SAB de CV, Reg. S 5.5%28/02/2023 USD 5,222,000 4,780,889 0.03Petroleos Mexicanos, Reg. S 5.625%23/01/2046 USD 2,529,000 2,105,513 0.01

23,623,584 0.16

MoroccoMorocco Government InternationalBond, Reg. S 4.25% 11/12/2022 USD 10,570,000 9,669,016 0.07OCP SA, Reg. S 5.625% 25/04/2024 USD 17,840,000 16,708,255 0.12OCP SA, Reg. S 4.5% 22/10/2025 USD 1,950,000 1,660,643 0.01OCP SA, Reg. S 6.875% 25/04/2044 USD 6,909,000 6,462,466 0.04

34,500,380 0.24

NetherlandsBharti Airtel International NetherlandsBV, Reg. S 5.125% 11/03/2023 USD 4,200,000 3,932,151 0.03Bluewater Holding BV, Reg. S, 144A10% 10/12/2019 USD 6,000,000 4,982,588 0.03Constellium NV, 144A 5.75%15/05/2024 USD 2,053,000 1,640,713 0.01Cooperatieve CentraleRaiffeisen-Boerenleenbank BA, Reg. S,FRN 5.5% Perpetual EUR 10,000,000 10,098,950 0.07InterGen NV, 144A 7% 30/06/2023 USD 1,036,000 837,200 0.01Kazakhstan Temir Zholy Finance BV,Reg. S 6.95% 10/07/2042 USD 6,370,000 5,503,148 0.04LyondellBasell Industries NV 5%15/04/2019 USD 200,000 193,599 0.00LyondellBasell Industries NV 6%15/11/2021 USD 625,000 639,454 0.00LyondellBasell Industries NV 5.75%15/04/2024 USD 200,000 203,447 0.00Majapahit Holding BV, Reg. S 7.75%20/01/2020 USD 6,270,000 6,485,691 0.05Petrobras Global Finance BV 5.375%27/01/2021 USD 6,500,000 5,575,438 0.04Petrobras Global Finance BV 6.85%05/06/2115 USD 4,180,000 3,065,445 0.02Schaeffler Finance BV, 144A 4.75%15/05/2023 USD 2,000,000 1,777,748 0.01

Telefonica Europe BV, Reg. S, FRN6.75% Perpetual GBP 7,900,000 11,708,207 0.08

56,643,779 0.39

PakistanPakistan Government InternationalBond, Reg. S 6.875% 01/06/2017 USD 300,000 279,597 0.00Pakistan Government InternationalBond, Reg. S 6.75% 03/12/2019 USD 8,010,000 7,368,249 0.05Pakistan Government InternationalBond, Reg. S 8.25% 15/04/2024 USD 11,290,000 11,013,774 0.08

18,661,620 0.13

PanamaPanama Government InternationalBond 3.75% 16/03/2025 USD 5,200,000 4,586,090 0.03Panama Government InternationalBond 6.7% 26/01/2036 USD 2,750,000 3,037,302 0.02Panama Government InternationalBond 4.3% 29/04/2053 USD 2,600,000 2,033,823 0.02

9,657,215 0.07

PeruConsorcio Transmantaro SA, Reg. S4.375% 07/05/2023 USD 3,169,000 2,811,225 0.02Peruvian Government InternationalBond 6.55% 14/03/2037 USD 1,650,000 1,836,157 0.01

4,647,382 0.03

PhilippinesPhilippine Government InternationalBond 10.625% 16/03/2025 USD 9,639,000 13,768,863 0.09Philippine Government InternationalBond 5.5% 30/03/2026 USD 7,580,000 7,979,408 0.06

21,748,271 0.15

PortugalPortugal Obrigacoes do Tesouro OT,Reg. S, 144A 5.65% 15/02/2024 EUR 12,500,000 15,200,913 0.10

15,200,913 0.10

RomaniaRomanian Government InternationalBond, 144A 6.75% 07/02/2022 USD 500,000 522,560 0.00Romanian Government InternationalBond, Reg. S 6.75% 07/02/2022 USD 18,624,000 19,476,707 0.14Romanian Government InternationalBond, Reg. S 6.125% 22/01/2044 USD 7,780,000 7,829,637 0.05

27,828,904 0.19

RussiaRussian Foreign Bond, Reg. S 3.5%16/01/2019 USD 6,800,000 5,990,182 0.04Russian Foreign Bond, Reg. S 4.875%16/09/2023 USD 19,400,000 17,162,739 0.12Russian Foreign Bond, Reg. S 12.75%24/06/2028 USD 7,250,000 10,206,258 0.07Russian Foreign Bond, Reg. S, STEP7.5% 31/03/2030 USD 14,000,000 14,662,872 0.10Russian Foreign Bond, Reg. S 5.875%16/09/2043 USD 9,600,000 8,314,771 0.06

56,336,822 0.39

SerbiaRepublic of Serbia, Reg. S 7.25%28/09/2021 USD 18,010,000 18,053,020 0.12

18,053,020 0.12

SloveniaSlovenia Government InternationalBond, Reg. S 5.85% 10/05/2023 USD 4,340,000 4,394,952 0.03Slovenia Government InternationalBond, Reg. S 5.25% 18/02/2024 USD 9,670,000 9,429,956 0.07

13,824,908 0.10

South AfricaSouth Africa Government Bond 7.75%28/02/2023 ZAR 51,250,000 3,675,231 0.03South Africa Government InternationalBond 5.875% 30/05/2022 USD 5,800,000 5,752,819 0.04South Africa Government InternationalBond 5.875% 16/09/2025 USD 20,925,000 20,780,942 0.14

30,208,992 0.21

40



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

South KoreaWoori Bank, Reg. S 4.75% 30/04/2024 USD 14,440,000 13,371,603 0.09

13,371,603 0.09

SpainBanco Bilbao Vizcaya Argentaria SA,Reg. S, FRN 6.75% Perpetual EUR 14,800,000 14,745,018 0.10Banco Bilbao Vizcaya Argentaria SA,Reg. S, FRN 7% Perpetual EUR 6,800,000 6,825,296 0.05Banco Bilbao Vizcaya Argentaria SA,Reg. S, FRN 9% Perpetual USD 2,000,000 1,928,788 0.01

23,499,102 0.16

Sri LankaNational Savings Bank, Reg. S 5.15%10/09/2019 USD 750,000 648,158 0.01Sri Lanka Government InternationalBond, Reg. S 6.25% 04/10/2020 USD 6,580,000 6,033,400 0.04Sri Lanka Government InternationalBond, Reg. S 5.875% 25/07/2022 USD 10,190,000 8,988,929 0.06

15,670,487 0.11

SwedenSkandinaviska Enskilda Banken AB,Reg. S, FRN 5.75% Perpetual USD 2,100,000 1,849,234 0.01Svenska Handelsbanken AB, Reg. S,FRN 5.25% Perpetual USD 11,173,000 9,682,519 0.07Swedbank AB, Reg. S, FRN 5.5%Perpetual USD 14,600,000 12,843,737 0.09

24,375,490 0.17

SwitzerlandCredit Suisse Group AG, FRN, 144A7.5% Perpetual USD 23,730,000 22,134,546 0.16UBS Group AG, Reg. S, FRN 7%Perpetual USD 8,284,000 7,527,426 0.05

29,661,972 0.21

TurkeyTurk Telekomunikasyon AS, Reg. S4.875% 19/06/2024 USD 4,700,000 4,180,226 0.03Turkey Government International Bond6.25% 26/09/2022 USD 13,970,000 13,921,538 0.10Turkey Government International Bond5.75% 22/03/2024 USD 2,550,000 2,472,401 0.02Turkey Government International Bond7.375% 05/02/2025 USD 18,840,000 20,231,257 0.14Turkey Government International Bond4.25% 14/04/2026 USD 1,848,000 1,576,039 0.01Turkey Government International Bond6% 14/01/2041 USD 14,390,000 13,574,066 0.09Turkey Government International Bond4.875% 16/04/2043 USD 2,540,000 2,067,677 0.01

58,023,204 0.40

UkraineUkraine Government InternationalBond, Reg. S 7.8% 28/11/2022 USD 3,670,000 1,732,673 0.01

1,732,673 0.01

United Arab EmiratesAbu Dhabi National Energy Co. PJSC,Reg. S 2.5% 12/01/2018 USD 2,600,000 2,342,774 0.02Abu Dhabi National Energy Co. PJSC,Reg. S 3.625% 12/01/2023 USD 2,920,000 2,593,270 0.02DP World Ltd., Reg. S 6.85%02/07/2037 USD 3,550,000 3,477,488 0.02

8,413,532 0.06

United KingdomBarclays Bank PLC 7.625% 21/11/2022 USD 3,645,000 3,704,579 0.03CEVA Group PLC, 144A 4% 01/05/2018 USD 815,000 669,524 0.00HSBC Holdings PLC, FRN 5.625%Perpetual USD 7,855,000 7,024,821 0.05HSBC Holdings PLC, FRN 6.375%Perpetual USD 21,610,000 19,434,818 0.13International Game Technology PLC,144A 6.25% 15/02/2022 USD 6,050,000 5,195,064 0.04International Game Technology PLC,144A 6.5% 15/02/2025 USD 3,100,000 2,575,832 0.02Jaguar Land Rover Automotive PLC,144A 4.125% 15/12/2018 USD 4,766,000 4,335,533 0.03Lloyds Banking Group PLC, FRN 7.5%Perpetual USD 20,990,000 19,378,968 0.13Nationwide Building Society, Reg. S,FRN 6.875% Perpetual GBP 12,485,000 17,395,482 0.12

Royal Bank of Scotland Group PLC6.125% 15/12/2022 USD 10,366,000 9,939,198 0.07Royal Bank of Scotland Group PLC6.1% 10/06/2023 USD 7,005,000 6,670,482 0.05Royal Bank of Scotland Group PLC 6%19/12/2023 USD 5,005,000 4,745,387 0.03Royal Bank of Scotland Group PLC5.125% 28/05/2024 USD 1,305,000 1,166,087 0.01Royal Bank of Scotland PLC (The), Reg.S, FRN 9.5% 16/03/2022 USD 455,000 449,718 0.00Santander UK Group Holdings PLC,Reg. S, FRN 7.375% Perpetual GBP 2,500,000 3,508,808 0.02Vedanta Resources PLC, Reg. S 6.75%07/06/2016 USD 6,370,000 5,839,992 0.04Vedanta Resources PLC, Reg. S 7.125%31/05/2023 USD 4,640,000 3,961,961 0.03Virgin Media Finance PLC, 144A 5.75%15/01/2025 USD 1,150,000 1,033,896 0.01Virgin Media Secured Finance PLC,144A 5.375% 15/04/2021 USD 6,223,500 5,686,425 0.04

122,716,575 0.85

United States of AmericaAccess Midstream Partners LP 4.875%15/05/2023 USD 5,973,000 5,286,897 0.04Actuant Corp. 5.625% 15/06/2022 USD 60,000 54,782 0.00ADT Corp. (The) 4.125% 15/04/2019 USD 480,000 435,133 0.00ADT Corp. (The) 6.25% 15/10/2021 USD 9,330,000 8,816,305 0.06ADT Corp. (The) 3.5% 15/07/2022 USD 3,682,000 2,981,947 0.02ADT Corp. (The) 4.125% 15/06/2023 USD 10,630,000 8,843,194 0.06AES Corp. 7.375% 01/07/2021 USD 11,024,000 10,777,513 0.08AES Corp. 4.875% 15/05/2023 USD 2,655,000 2,246,153 0.02AES Corp. 5.5% 15/03/2024 USD 1,604,000 1,394,767 0.01AES Corp. 5.5% 15/04/2025 USD 3,860,000 3,325,808 0.02AK Steel Corp. 8.75% 01/12/2018 USD 2,160,000 2,034,111 0.01Alcatel-Lucent USA, Inc. 6.45%15/03/2029 USD 1,688,000 1,552,518 0.01Alcoa, Inc. 6.15% 15/08/2020 USD 1,469,000 1,432,337 0.01Alcoa, Inc. 5.4% 15/04/2021 USD 1,494,000 1,405,593 0.01Alcoa, Inc. 5.87% 23/02/2022 USD 2,142,000 2,063,810 0.01Alcoa, Inc. 5.125% 01/10/2024 USD 3,585,000 3,287,931 0.02Alcoa, Inc. 5.9% 01/02/2027 USD 2,094,000 1,972,537 0.01Alcoa, Inc. 6.75% 15/01/2028 USD 4,251,000 4,305,946 0.03Alcoa, Inc. 5.95% 01/02/2037 USD 2,000,000 1,783,615 0.01Alere, Inc. 7.25% 01/07/2018 USD 1,200,000 1,127,517 0.01Ally Financial, Inc. 6.25% 01/12/2017 USD 6,600,000 6,311,283 0.04Ally Financial, Inc. 3.25% 13/02/2018 USD 1,542,000 1,370,678 0.01Ally Financial, Inc. 3.6% 21/05/2018 USD 2,733,000 2,436,236 0.02Ally Financial, Inc. 3.5% 27/01/2019 USD 8,095,000 7,150,837 0.05Ally Financial, Inc. 4.125% 30/03/2020 USD 21,995,000 19,620,016 0.14Ally Financial, Inc. 4.625% 19/05/2022 USD 5,748,000 5,093,337 0.04Ally Financial, Inc. 4.625% 30/03/2025 USD 15,705,000 13,382,136 0.09Ally Financial, Inc. 8% 01/11/2031 USD 4,030,000 4,323,317 0.03AMC Entertainment, Inc. 5.875%15/02/2022 USD 2,931,000 2,663,025 0.02American Axle & Manufacturing, Inc.7.75% 15/11/2019 USD 750,000 757,434 0.01American Axle & Manufacturing, Inc.6.25% 15/03/2021 USD 5,878,000 5,527,021 0.04American Axle & Manufacturing, Inc.6.625% 15/10/2022 USD 5,646,000 5,311,596 0.04American International Group, Inc.6.25% 15/03/2087 USD 6,637,000 6,585,915 0.05AmeriGas Finance LLC 6.75%20/05/2020 USD 80,000 75,429 0.00AmeriGas Finance LLC 7% 20/05/2022 USD 3,803,000 3,619,812 0.03AmeriGas Partners LP 6.25%20/08/2019 USD 250,000 230,250 0.00Anixter, Inc. 5.625% 01/05/2019 USD 2,250,000 2,132,256 0.02Antero Resources Corp. 6%01/12/2020 USD 2,133,000 1,942,165 0.01Antero Resources Corp. 5.375%01/11/2021 USD 1,165,000 1,012,777 0.01Antero Resources Corp. 5.125%01/12/2022 USD 8,686,000 7,433,088 0.05Aramark Services, Inc. 5.75%15/03/2020 USD 1,315,000 1,223,370 0.01Ashland, Inc. 3.875% 15/04/2018 USD 269,000 247,127 0.00Ashtead Capital, Inc., 144A 5.625%01/10/2024 USD 2,000,000 1,790,339 0.01Atwood Oceanics, Inc. 6.5%01/02/2020 USD 3,700,000 3,214,497 0.02Axiall Corp. 4.875% 15/05/2023 USD 4,345,000 3,734,376 0.03B&G Foods, Inc. 4.625% 01/06/2021 USD 5,650,000 5,021,230 0.04Ball Corp. 5% 15/03/2022 USD 762,000 685,552 0.01Ball Corp. 4% 15/11/2023 USD 2,225,000 1,849,836 0.01Ball Corp. 5.25% 01/07/2025 USD 1,924,000 1,702,738 0.01Basic Energy Services, Inc. 7.75%15/10/2022 USD 2,699,000 1,903,929 0.01

41



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Berry Plastics Corp. 5.5% 15/05/2022 USD 1,460,000 1,303,799 0.01Boyd Gaming Corp. 6.875%15/05/2023 USD 3,345,000 3,056,438 0.02Briggs & Stratton Corp. 6.875%15/12/2020 USD 1,838,000 1,786,556 0.01Cablevision Systems Corp. 8.625%15/09/2017 USD 500,000 490,923 0.00Cablevision Systems Corp. 7.75%15/04/2018 USD 131,000 127,459 0.00Cablevision Systems Corp. 8%15/04/2020 USD 9,752,000 9,491,634 0.07California Resources Corp. 5%15/01/2020 USD 784,000 623,245 0.00California Resources Corp. 5.5%15/09/2021 USD 5,766,000 4,517,524 0.03California Resources Corp. 6%15/11/2024 USD 2,333,000 1,801,987 0.01Calpine Corp. 5.375% 15/01/2023 USD 1,161,000 1,015,696 0.01Calpine Corp. 5.75% 15/01/2025 USD 1,159,000 1,008,844 0.01Case New Holland Industrial, Inc.7.875% 01/12/2017 USD 5,775,000 5,658,768 0.04CBRE Services, Inc. 5% 15/03/2023 USD 685,000 622,828 0.00Celanese US Holdings LLC 4.625%15/11/2022 USD 1,743,000 1,551,198 0.01Centene Corp. 4.75% 15/05/2022 USD 2,397,000 2,213,549 0.02CenturyLink, Inc. 5.8% 15/03/2022 USD 14,725,000 12,581,862 0.09Chesapeake Energy Corp. 6.625%15/08/2020 USD 9,600,000 8,386,392 0.06Chesapeake Energy Corp. 6.125%15/02/2021 USD 788,000 660,005 0.00Chesapeake Energy Corp. 5.375%15/06/2021 USD 1,140,000 926,857 0.01Chesapeake Energy Corp. 4.875%15/04/2022 USD 6,286,000 4,876,435 0.03Chesapeake Energy Corp. 5.75%15/03/2023 USD 2,888,000 2,325,293 0.02Chiquita Brands International, Inc.7.875% 01/02/2021 USD 2,133,000 2,051,120 0.01Choice Hotels International, Inc. 5.75%01/07/2022 USD 911,000 883,110 0.01Cimarex Energy Co. 5.875%01/05/2022 USD 1,380,000 1,320,944 0.01Cimarex Energy Co. 4.375%01/06/2024 USD 912,000 802,131 0.01Cincinnati Bell, Inc. 8.375% 15/10/2020 USD 3,776,000 3,535,916 0.02Cinemark USA, Inc. 7.375% 15/06/2021 USD 4,240,000 4,017,948 0.03Cinemark USA, Inc. 5.125% 15/12/2022 USD 2,770,000 2,467,623 0.02Cinemark USA, Inc. 4.875%01/06/2023 USD 2,700,000 2,347,607 0.02CIT Group, Inc. 4.25% 15/08/2017 USD 1,148,000 1,041,734 0.01CIT Group, Inc. 5.25% 15/03/2018 USD 2,350,000 2,177,218 0.02CIT Group, Inc. 3.875% 19/02/2019 USD 1,703,000 1,517,417 0.01CIT Group, Inc. 5.375% 15/05/2020 USD 6,553,000 6,110,721 0.04CIT Group, Inc. 5% 15/08/2022 USD 9,590,000 8,531,838 0.06Citigroup, Inc., Reg. S 0% 03/01/2017 USD 3,580,845 1,815,058 0.02Citigroup, Inc., Reg. S 10% 03/01/2017 USD 800,000 419,893 0.00Clean Harbors, Inc. 5.25% 01/08/2020 USD 8,940,000 8,145,866 0.06Clear Channel Worldwide Holdings, Inc.7.625% 15/03/2020 USD 25,000 22,956 0.00Clear Channel Worldwide Holdings, Inc.Class B 7.625% 15/03/2020 USD 27,312,000 25,478,519 0.18Clearwater Paper Corp. 4.5%01/02/2023 USD 1,245,000 1,063,642 0.01Cloud Peak Energy Resources LLC8.5% 15/12/2019 USD 175,000 134,027 0.00Cloud Peak Energy Resources LLC6.375% 15/03/2024 USD 675,000 433,967 0.00CNH Industrial Capital LLC 3.875%01/11/2015 USD 200,000 179,115 0.00CNH Industrial Capital LLC 3.625%15/04/2018 USD 224,000 200,357 0.00CNO Financial Group, Inc. 4.5%30/05/2020 USD 802,000 726,877 0.01CNO Financial Group, Inc. 5.25%30/05/2025 USD 2,114,000 1,915,984 0.01Coeur Mining, Inc. 7.875% 01/02/2021 USD 3,651,000 2,747,867 0.02Commercial Metals Co. 6.5%15/07/2017 USD 215,000 202,505 0.00Commercial Metals Co. 7.35%15/08/2018 USD 925,000 893,634 0.01Commercial Metals Co. 4.875%15/05/2023 USD 3,175,000 2,669,450 0.02Community Health Systems, Inc.5.125% 15/08/2018 USD 1,826,000 1,671,559 0.01Community Health Systems, Inc. 8%15/11/2019 USD 3,160,000 2,975,124 0.02Community Health Systems, Inc.7.125% 15/07/2020 USD 1,825,000 1,721,072 0.01Community Health Systems, Inc.5.125% 01/08/2021 USD 1,735,000 1,580,695 0.01

Community Health Systems, Inc.6.875% 01/02/2022 USD 4,120,000 3,886,041 0.03Comstock Resources, Inc. 7.75%01/04/2019 USD 1,521,000 587,430 0.00Comstock Resources, Inc. 9.5%15/06/2020 USD 978,000 379,882 0.00Concho Resources, Inc. 6.5%15/01/2022 USD 2,310,000 2,144,923 0.02Concho Resources, Inc. 5.5%01/10/2022 USD 1,550,000 1,384,211 0.01Concho Resources, Inc. 5.5%01/04/2023 USD 210,000 187,412 0.00CONSOL Energy, Inc. 5.875%15/04/2022 USD 3,055,000 2,347,554 0.02Constellation Brands, Inc. 7.25%15/05/2017 USD 400,000 390,713 0.00Constellation Brands, Inc. 3.75%01/05/2021 USD 367,000 323,489 0.00Constellation Brands, Inc. 6%01/05/2022 USD 1,465,000 1,434,376 0.01Constellation Brands, Inc. 4.75%15/11/2024 USD 1,600,000 1,438,300 0.01Corrections Corp. of America, REIT4.125% 01/04/2020 USD 9,700,000 8,756,591 0.06Covanta Holding Corp. 7.25%01/12/2020 USD 2,000,000 1,875,382 0.01Covanta Holding Corp. 6.375%01/10/2022 USD 58,000 54,445 0.00Crestwood Midstream Partners LP6.125% 01/03/2022 USD 3,542,000 3,234,103 0.02Crown Americas LLC 4.5% 15/01/2023 USD 1,495,000 1,275,716 0.01Crown Castle International Corp., REIT4.875% 15/04/2022 USD 1,320,000 1,185,825 0.01Crown Castle International Corp., REIT5.25% 15/01/2023 USD 8,542,000 7,702,254 0.05CSC Holdings LLC 8.625% 15/02/2019 USD 2,415,000 2,452,511 0.02CSC Holdings LLC 6.75% 15/11/2021 USD 2,705,000 2,561,646 0.02Dana Holding Corp. 6.75% 15/02/2021 USD 2,997,000 2,824,684 0.02Dana Holding Corp. 5.375%15/09/2021 USD 3,600,000 3,302,363 0.02Dana Holding Corp. 6% 15/09/2023 USD 5,250,000 4,888,374 0.03DaVita HealthCare Partners, Inc. 5.75%15/08/2022 USD 1,275,000 1,210,237 0.01DaVita HealthCare Partners, Inc.5.125% 15/07/2024 USD 2,765,000 2,443,725 0.02DaVita HealthCare Partners, Inc. 5%01/05/2025 USD 9,110,000 7,857,467 0.05Denbury Resources, Inc. 5.5%01/05/2022 USD 4,000,000 3,240,807 0.02Denbury Resources, Inc. 4.625%15/07/2023 USD 7,642,000 5,784,692 0.04DR Horton, Inc. 6.5% 15/04/2016 USD 45,000 41,642 0.00Dycom Investments, Inc. 7.125%15/01/2021 USD 1,140,000 1,070,118 0.01Dynegy, Inc. 5.875% 01/06/2023 USD 6,291,000 5,475,513 0.04Embarq Corp. 7.995% 01/06/2036 USD 11,900,000 11,810,318 0.08Energy Transfer Equity LP 5.875%15/01/2024 USD 6,724,000 6,241,510 0.04Ford Motor Credit Co. LLC 5%15/05/2018 USD 1,500,000 1,441,341 0.01Fresenius Medical Care US Finance,Inc., 144A 6.5% 15/09/2018 USD 600,000 591,010 0.00Frontier Communications Corp. 8.5%15/04/2020 USD 4,835,000 4,526,353 0.03FTI Consulting, Inc. 6% 15/11/2022 USD 1,936,000 1,813,001 0.01General Motors Co. 4% 01/04/2025 USD 1,281,000 1,121,152 0.01General Motors Financial Co., Inc.4.75% 15/08/2017 USD 500,000 470,727 0.00General Motors Financial Co., Inc.3.25% 15/05/2018 USD 2,338,000 2,129,033 0.02General Motors Financial Co., Inc.3.45% 10/04/2022 USD 2,250,000 1,963,672 0.01General Motors Financial Co., Inc.4.25% 15/05/2023 USD 106,000 95,787 0.00Genesis Energy LP 5.625% 15/06/2024 USD 857,000 738,195 0.01GenOn Energy, Inc. 7.875% 15/06/2017 USD 1,400,000 1,261,106 0.01GEO Group, Inc. (The), REIT 6.625%15/02/2021 USD 2,145,000 2,011,117 0.01GEO Group, Inc. (The), REIT 5.875%15/01/2022 USD 7,930,000 7,452,742 0.05Graphic Packaging International, Inc.4.75% 15/04/2021 USD 1,926,000 1,742,240 0.01Hanesbrands, Inc. 6.375% 15/12/2020 USD 900,000 843,412 0.01HCA Holdings, Inc. 6.25% 15/02/2021 USD 4,795,000 4,638,507 0.03HCA, Inc. 8% 01/10/2018 USD 1,335,000 1,386,462 0.01HCA, Inc. 3.75% 15/03/2019 USD 1,667,000 1,504,260 0.01HCA, Inc. 4.25% 15/10/2019 USD 1,490,000 1,363,485 0.01HCA, Inc. 6.5% 15/02/2020 USD 17,539,000 17,464,767 0.12HCA, Inc. 7.5% 15/02/2022 USD 50,825,000 52,077,134 0.36HCA, Inc. 5.875% 15/03/2022 USD 2,034,000 1,972,720 0.01

42



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

HCA, Inc. 4.75% 01/05/2023 USD 2,424,000 2,185,226 0.02HCA, Inc. 5.875% 01/05/2023 USD 1,127,000 1,066,272 0.01HCA, Inc. 5% 15/03/2024 USD 3,429,000 3,117,882 0.02HCA, Inc. 5.375% 01/02/2025 USD 18,186,000 16,427,322 0.11HCA, Inc. 5.25% 15/04/2025 USD 1,665,000 1,557,568 0.01HealthSouth Corp. 7.75% 15/09/2022 USD 2,653,000 2,484,449 0.02HealthSouth Corp. 5.75% 01/11/2024 USD 1,902,000 1,725,625 0.01Hecla Mining Co. 6.875% 01/05/2021 USD 4,705,000 3,966,333 0.03Hertz Corp. (The) 5.875% 15/10/2020 USD 8,560,000 7,780,665 0.05Hertz Corp. (The) 7.375% 15/01/2021 USD 14,610,000 13,612,975 0.09Hertz Corp. (The) 6.25% 15/10/2022 USD 1,142,000 1,047,007 0.01Holly Energy Partners LP 6.5%01/03/2020 USD 1,312,000 1,177,391 0.01Hospira, Inc. 5.2% 12/08/2020 USD 527,000 524,657 0.00Huntsman International LLC 4.875%15/11/2020 USD 11,226,000 10,051,125 0.07Huntsman International LLC 8.625%15/03/2021 USD 1,317,000 1,238,802 0.01iHeartCommunications, Inc. 9%01/03/2021 USD 3,740,000 3,039,439 0.02International Lease Finance Corp.5.875% 01/04/2019 USD 7,561,000 7,196,892 0.05International Lease Finance Corp.6.25% 15/05/2019 USD 11,834,000 11,441,330 0.08International Lease Finance Corp.8.25% 15/12/2020 USD 2,541,000 2,697,036 0.02International Lease Finance Corp.4.625% 15/04/2021 USD 8,498,000 7,696,841 0.05International Lease Finance Corp.8.625% 15/01/2022 USD 4,905,000 5,370,031 0.04Iron Mountain, Inc., REIT 7.75%01/10/2019 USD 94,000 87,984 0.00Iron Mountain, Inc., REIT 8.375%15/08/2021 USD 76,000 70,408 0.00Iron Mountain, Inc., REIT 5.75%15/08/2024 USD 4,754,000 4,215,774 0.03Jarden Corp. 7.5% 01/05/2017 USD 949,000 925,620 0.01Jarden Corp. 6.125% 15/11/2022 USD 3,700,000 3,432,090 0.02JBS USA LLC, 144A 7.25% 01/06/2021 USD 3,555,000 3,356,950 0.02K Hovnanian Enterprises, Inc. 11.875%15/10/2015 USD 835,000 765,174 0.01Kennedy-Wilson, Inc. 5.875%01/04/2024 USD 1,470,000 1,309,808 0.01Kinder Morgan Energy Partners LP6.5% 01/04/2020 USD 30,000 30,512 0.00Kinder Morgan, Inc. 7.25% 01/06/2018 USD 700,000 704,125 0.01L Brands, Inc. 7% 01/05/2020 USD 1,000,000 1,014,238 0.01L Brands, Inc. 6.625% 01/04/2021 USD 11,736,000 11,610,875 0.08L Brands, Inc. 5.625% 15/10/2023 USD 1,000,000 943,276 0.01Laredo Petroleum, Inc. 5.625%15/01/2022 USD 2,000,000 1,765,604 0.01Laredo Petroleum, Inc. 7.375%01/05/2022 USD 3,500,000 3,304,983 0.02Lear Corp. 5.25% 15/01/2025 USD 2,000,000 1,765,006 0.01Lender Processing Services, Inc. 5.75%15/04/2023 USD 619,000 589,346 0.00Lennar Corp. 12.25% 01/06/2017 USD 520,000 548,268 0.00Lennar Corp. 6.95% 01/06/2018 USD 499,000 487,564 0.00Lennar Corp. 4.5% 15/06/2019 USD 1,400,000 1,276,364 0.01Lennar Corp. 4.5% 15/11/2019 USD 2,025,000 1,842,246 0.01Lennar Corp. 4.75% 30/05/2025 USD 2,345,000 2,038,039 0.01Level 3 Financing, Inc. 7% 01/06/2020 USD 4,786,000 4,543,666 0.03Level 3 Financing, Inc. 8.625%15/07/2020 USD 5,275,000 5,045,611 0.04Level 3 Financing, Inc. 6.125%15/01/2021 USD 2,485,000 2,331,083 0.02LIN Television Corp. 6.375%15/01/2021 USD 1,945,000 1,769,717 0.01Louisiana-Pacific Corp. 7.5%01/06/2020 USD 905,000 863,665 0.01M/I Homes, Inc. 8.625% 15/11/2018 USD 1,210,000 1,120,971 0.01Magnachip Semiconductor Corp.6.875% 15/07/2021 USD 2,450,000 1,736,483 0.01Manitowoc Co., Inc. (The) 8.5%01/11/2020 USD 3,700,000 3,502,032 0.02MarkWest Energy Partners LP 5.5%15/02/2023 USD 13,650,000 12,545,471 0.09MarkWest Energy Partners LP 4.5%15/07/2023 USD 146,000 127,095 0.00MarkWest Energy Partners LP 4.875%01/12/2024 USD 6,683,000 5,860,351 0.04Masco Corp. 7.125% 15/03/2020 USD 12,000 12,499 0.00Masco Corp. 5.95% 15/03/2022 USD 92,000 91,626 0.00Masco Corp. 4.45% 01/04/2025 USD 1,500,000 1,343,444 0.01MasTec, Inc. 4.875% 15/03/2023 USD 6,140,000 5,007,782 0.04Meritage Homes Corp. 7.15%15/04/2020 USD 465,000 450,027 0.00Meritage Homes Corp. 7% 01/04/2022 USD 1,645,000 1,563,022 0.01MetLife, Inc. 6.4% 15/12/2066 USD 13,470,000 13,207,673 0.09

MGM Resorts International 7.625%15/01/2017 USD 910,000 864,256 0.01MGM Resorts International 8.625%01/02/2019 USD 1,150,000 1,164,299 0.01MGM Resorts International 5.25%31/03/2020 USD 4,500,000 4,079,193 0.03MGM Resorts International 6.75%01/10/2020 USD 16,575,000 15,670,621 0.11MGM Resorts International 6.625%15/12/2021 USD 3,275,000 3,051,403 0.02MGM Resorts International 7.75%15/03/2022 USD 23,851,000 23,391,615 0.16MGM Resorts International 6%15/03/2023 USD 16,550,000 15,000,221 0.10MPT Operating Partnership LP, REIT6.375% 15/02/2022 USD 164,000 155,777 0.00Murphy Oil USA, Inc. 6% 15/08/2023 USD 245,000 229,070 0.00Nationstar Mortgage LLC 9.625%01/05/2019 USD 120,000 114,117 0.00Nationstar Mortgage LLC 7.875%01/10/2020 USD 136,000 121,894 0.00Nationstar Mortgage LLC 6.5%01/07/2021 USD 191,000 159,039 0.00Nationstar Mortgage LLC 6.5%01/06/2022 USD 4,156,000 3,428,079 0.02NCR Corp. 5.875% 15/12/2021 USD 110,000 100,104 0.00NCR Corp. 5% 15/07/2022 USD 501,000 449,137 0.00NCR Corp. 6.375% 15/12/2023 USD 1,416,000 1,343,095 0.01New Albertsons, Inc. 7.75%15/06/2026 USD 350,000 306,277 0.00New Albertsons, Inc. 6.625%01/06/2028 USD 385,000 293,933 0.00New Albertsons, Inc. 7.45%01/08/2029 USD 1,404,000 1,207,134 0.01New Albertsons, Inc. 8.7% 01/05/2030 USD 908,000 827,002 0.01New Albertsons, Inc. 8% 01/05/2031 USD 907,000 788,622 0.01Newfield Exploration Co. 5.75%30/01/2022 USD 3,010,000 2,732,787 0.02Newfield Exploration Co. 5.625%01/07/2024 USD 1,390,000 1,259,459 0.01Newfield Exploration Co. 5.375%01/01/2026 USD 4,450,000 3,980,404 0.03Nielsen Finance LLC 4.5% 01/10/2020 USD 460,000 413,170 0.00NRG Energy, Inc. 7.625% 15/01/2018 USD 2,080,000 2,045,575 0.01NRG Energy, Inc. 8.25% 01/09/2020 USD 2,250,000 2,109,192 0.01NRG Energy, Inc. 7.875% 15/05/2021 USD 2,941,000 2,788,947 0.02NRG Energy, Inc. 6.25% 15/07/2022 USD 4,750,000 4,327,891 0.03NRG Energy, Inc. 6.25% 01/05/2024 USD 2,450,000 2,185,322 0.02Oasis Petroleum, Inc. 6.875%15/03/2022 USD 2,960,000 2,698,995 0.02Olin Corp. 5.5% 15/08/2022 USD 2,670,000 2,453,067 0.02Omnicare, Inc. 4.75% 01/12/2022 USD 845,000 806,210 0.01Omnicare, Inc. 5% 01/12/2024 USD 560,000 540,596 0.00Oppenheimer Holdings, Inc. 8.75%15/04/2018 USD 570,000 531,878 0.00Oshkosh Corp. 5.375% 01/03/2025 USD 617,000 556,452 0.00Peabody Energy Corp. 6.25%15/11/2021 USD 3,858,000 1,207,352 0.01Penn Virginia Corp. 8.5% 01/05/2020 USD 2,785,000 2,250,581 0.02PH Glatfelter Co. 5.375% 15/10/2020 USD 300,000 276,587 0.00Pinnacle Entertainment, Inc. 7.5%15/04/2021 USD 970,000 913,211 0.01Pinnacle Entertainment, Inc. 6.375%01/08/2021 USD 2,500,000 2,371,808 0.02Pioneer Energy Services Corp. 6.125%15/03/2022 USD 2,200,000 1,571,569 0.01PolyOne Corp. 7.375% 15/09/2020 USD 2,165,000 2,022,619 0.01Post Holdings, Inc. 7.375% 15/02/2022 USD 17,403,000 15,960,443 0.11PPL Capital Funding, Inc., FRN 6.7%30/03/2067 USD 11,955,000 9,431,043 0.07Prestige Brands, Inc. 8.125%01/02/2020 USD 79,000 75,356 0.00QEP Resources, Inc. 6.875%01/03/2021 USD 1,950,000 1,817,214 0.01QEP Resources, Inc. 5.375%01/10/2022 USD 3,825,000 3,309,074 0.02QEP Resources, Inc. 5.25% 01/05/2023 USD 5,034,000 4,331,650 0.03Quad/Graphics, Inc. 7% 01/05/2022 USD 995,000 868,877 0.01Qwest Capital Funding, Inc. 6.875%15/07/2028 USD 621,000 544,402 0.00Qwest Capital Funding, Inc. 7.75%15/02/2031 USD 4,232,000 3,939,756 0.03Qwest Corp. 7.25% 15/09/2025 USD 270,000 280,624 0.00Range Resources Corp. 5% 15/03/2023 USD 3,396,000 2,969,279 0.02Regal Entertainment Group 5.75%15/03/2022 USD 6,413,000 5,828,306 0.04Regal Entertainment Group 5.75%15/06/2023 USD 2,725,000 2,421,281 0.02Regal Entertainment Group 5.75%01/02/2025 USD 1,089,000 949,902 0.01

43



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Reliance Holding USA, Inc., Reg. S5.4% 14/02/2022 USD 7,940,000 7,651,122 0.05Reliance Holding USA, Inc., Reg. S6.25% 19/10/2040 USD 1,461,000 1,433,368 0.01Resolute Forest Products, Inc. 5.875%15/05/2023 USD 425,000 337,662 0.00Reynolds Group Issuer, Inc. 9%15/04/2019 USD 7,225,000 6,652,207 0.05Reynolds Group Issuer, Inc. 9.875%15/08/2019 USD 9,054,000 8,501,900 0.06Reynolds Group Issuer, Inc. 5.75%15/10/2020 USD 17,509,000 16,063,441 0.11RHP Hotel Properties LP, REIT 5%15/04/2021 USD 5,875,000 5,298,464 0.04Rite Aid Corp. 9.25% 15/03/2020 USD 1,120,000 1,083,732 0.01Rite Aid Corp. 8% 15/08/2020 USD 6,300,000 5,885,682 0.04Rose Rock Midstream LP 5.625%15/07/2022 USD 672,000 594,053 0.00Ryerson, Inc. 9% 15/10/2017 USD 920,000 828,719 0.01Sally Holdings LLC 6.875% 15/11/2019 USD 1,067,000 997,120 0.01Sally Holdings LLC 5.75% 01/06/2022 USD 2,000,000 1,871,292 0.01Sally Holdings LLC 5.5% 01/11/2023 USD 5,154,000 4,840,176 0.03SandRidge Energy, Inc. 7.5%15/03/2021 USD 2,162,000 849,433 0.01SandRidge Energy, Inc. 8.125%15/10/2022 USD 2,650,000 993,839 0.01SemGroup Corp. 7.5% 15/06/2021 USD 2,187,000 2,074,906 0.01Service Corp. International 7.625%01/10/2018 USD 1,785,000 1,826,099 0.01Service Corp. International 8%15/11/2021 USD 2,205,000 2,303,643 0.02Service Corp. International 5.375%15/05/2024 USD 2,320,000 2,173,071 0.02Service Corp. International 7.5%01/04/2027 USD 2,200,000 2,256,636 0.02SESI LLC 7.125% 15/12/2021 USD 525,000 499,263 0.00Seventy Seven Energy, Inc. 6.5%15/07/2022 USD 750,000 433,760 0.00Seventy Seven Operating LLC 6.625%15/11/2019 USD 2,040,000 1,487,839 0.01SM Energy Co. 6.5% 15/11/2021 USD 4,558,000 4,242,982 0.03SM Energy Co. 6.5% 01/01/2023 USD 7,375,000 6,783,169 0.05SM Energy Co. 5% 15/01/2024 USD 4,820,000 4,094,461 0.03SM Energy Co. 5.625% 01/06/2025 USD 1,827,000 1,616,884 0.01Southern Copper Corp. 5.875%23/04/2045 USD 5,550,000 4,673,171 0.03Spectrum Brands, Inc. 6.75%15/03/2020 USD 6,084,000 5,695,078 0.04Speedway Motorsports, Inc. 5.125%01/02/2023 USD 1,255,000 1,106,628 0.01Spirit AeroSystems, Inc. 5.25%15/03/2022 USD 441,000 408,552 0.00Sprint Capital Corp. 6.9% 01/05/2019 USD 2,000,000 1,829,449 0.01Sprint Capital Corp. 6.875% 15/11/2028 USD 4,588,000 3,517,262 0.02Sprint Capital Corp. 8.75% 15/03/2032 USD 25,873,000 22,477,560 0.16Sprint Communications, Inc. 6%01/12/2016 USD 280,000 258,104 0.00Sprint Communications, Inc. 7%15/08/2020 USD 3,765,000 3,334,962 0.02Sprint Communications, Inc. 11.5%15/11/2021 USD 1,070,000 1,130,766 0.01Sprint Communications, Inc. 6%15/11/2022 USD 2,714,000 2,212,217 0.02Sprint Corp. 7.25% 15/09/2021 USD 14,903,000 13,000,702 0.09Sprint Corp. 7.875% 15/09/2023 USD 46,483,000 40,356,244 0.28Sprint Corp. 7.125% 15/06/2024 USD 6,749,000 5,582,735 0.04Sprint Corp. 7.625% 15/02/2025 USD 7,191,000 6,059,344 0.04Standard Pacific Corp. 10.75%15/09/2016 USD 89,000 88,611 0.00Standard Pacific Corp. 8.375%15/01/2021 USD 2,450,000 2,535,769 0.02Standard Pacific Corp. 5.875%15/11/2024 USD 680,000 626,397 0.00Stone Energy Corp. 7.5% 15/11/2022 USD 2,612,000 2,053,029 0.01Suburban Propane Partners LP 7.375%01/08/2021 USD 33,000 31,530 0.00Suburban Propane Partners LP 5.5%01/06/2024 USD 600,000 534,420 0.00Summit Midstream Holdings LLC 5.5%15/08/2022 USD 540,000 464,104 0.00SUPERVALU, Inc. 7.75% 15/11/2022 USD 6,550,000 6,160,240 0.04Targa Resources Partners LP 6.875%01/02/2021 USD 485,000 452,855 0.00Targa Resources Partners LP 5.25%01/05/2023 USD 500,000 441,671 0.00TEGNA, Inc. 7.125% 01/09/2018 USD 75,000 68,783 0.00TEGNA, Inc. 5.125% 15/07/2020 USD 722,000 667,939 0.01TEGNA, Inc. 6.375% 15/10/2023 USD 2,935,000 2,735,284 0.02Teleflex, Inc. 5.25% 15/06/2024 USD 815,000 740,625 0.01

Tempur Sealy International, Inc.6.875% 15/12/2020 USD 6,050,000 5,733,427 0.04Tenet Healthcare Corp. 6.25%01/11/2018 USD 120,000 116,452 0.00Tenet Healthcare Corp. 4.75%01/06/2020 USD 10,850,000 9,845,123 0.07Tenet Healthcare Corp. 8%01/08/2020 USD 6,644,000 6,169,891 0.04Tenet Healthcare Corp. 4.5%01/04/2021 USD 7,244,000 6,378,103 0.04Tenet Healthcare Corp. 8.125%01/04/2022 USD 23,390,000 22,789,117 0.16Tenneco, Inc. 5.375% 15/12/2024 USD 1,668,000 1,530,378 0.01Terex Corp. 6.5% 01/04/2020 USD 1,982,000 1,860,052 0.01Terex Corp. 6% 15/05/2021 USD 15,220,000 13,722,464 0.10Tesoro Corp. 5.375% 01/10/2022 USD 161,000 146,058 0.00Tesoro Corp. 5.125% 01/04/2024 USD 480,000 428,792 0.00Tesoro Logistics LP 5.875%01/10/2020 USD 9,934,000 9,193,230 0.06Tesoro Logistics LP 6.125% 15/10/2021 USD 5,600,000 5,209,915 0.04Time Warner Cable, Inc. 7.3%01/07/2038 USD 2,173,000 2,184,982 0.02T-Mobile USA, Inc. 5.25% 01/09/2018 USD 503,000 461,485 0.00T-Mobile USA, Inc. 6.464%28/04/2019 USD 342,000 316,316 0.00T-Mobile USA, Inc. 6.625% 15/11/2020 USD 1,451,000 1,347,594 0.01T-Mobile USA, Inc. 6.25% 01/04/2021 USD 2,514,000 2,306,577 0.02T-Mobile USA, Inc. 6.633% 28/04/2021 USD 9,605,000 8,957,892 0.06T-Mobile USA, Inc. 6.125% 15/01/2022 USD 1,377,000 1,268,201 0.01T-Mobile USA, Inc. 6.731% 28/04/2022 USD 22,148,000 20,665,337 0.14T-Mobile USA, Inc. 6% 01/03/2023 USD 984,000 900,818 0.01T-Mobile USA, Inc. 6.625% 01/04/2023 USD 3,282,000 3,042,363 0.02T-Mobile USA, Inc. 6.836% 28/04/2023 USD 2,135,000 1,997,805 0.01T-Mobile USA, Inc. 6.5% 15/01/2024 USD 3,238,000 2,999,393 0.02T-Mobile USA, Inc. 6.375% 01/03/2025 USD 2,909,000 2,663,765 0.02TransDigm, Inc. 5.5% 15/10/2020 USD 600,000 532,826 0.00TransDigm, Inc. 6% 15/07/2022 USD 2,427,000 2,145,280 0.02TransDigm, Inc. 6.5% 15/07/2024 USD 923,000 815,115 0.01Tronox Finance LLC 6.375%15/08/2020 USD 715,000 598,789 0.00Tutor Perini Corp. 7.625% 01/11/2018 USD 3,525,000 3,247,366 0.02Unit Corp. 6.625% 15/05/2021 USD 5,570,000 4,815,720 0.03United Rentals North America, Inc.7.375% 15/05/2020 USD 5,175,000 4,939,517 0.03United Rentals North America, Inc.8.25% 01/02/2021 USD 2,495,000 2,383,049 0.02United Rentals North America, Inc.7.625% 15/04/2022 USD 14,124,000 13,651,750 0.09United Rentals North America, Inc.6.125% 15/06/2023 USD 5,235,000 4,767,735 0.03United Rentals North America, Inc.5.75% 15/11/2024 USD 3,965,000 3,488,485 0.02US Treasury 0.375% 31/01/2016 USD 16,750,000 14,978,895 0.10Vulcan Materials Co. 7.5% 15/06/2021 USD 2,700,000 2,796,317 0.02Vulcan Materials Co. 4.5% 01/04/2025 USD 3,600,000 3,215,409 0.02W&T Offshore, Inc. 8.5% 15/06/2019 USD 1,811,000 1,131,879 0.01Wachovia Capital Trust III, FRN 5.57%Perpetual USD 14,475,000 12,768,995 0.09Western Refining, Inc. 6.25%01/04/2021 USD 941,000 850,404 0.01Whiting Petroleum Corp. 5%15/03/2019 USD 2,975,000 2,629,484 0.02Whiting Petroleum Corp. 5.75%15/03/2021 USD 7,100,000 6,291,669 0.04Williams Partners LP 6.125%15/07/2022 USD 9,478,000 8,973,675 0.06WPX Energy, Inc. 5.25% 15/01/2017 USD 59,000 53,829 0.00WPX Energy, Inc. 6% 15/01/2022 USD 7,600,000 6,715,573 0.05WPX Energy, Inc. 5.25% 15/09/2024 USD 4,533,000 3,715,004 0.03

1,383,501,635 9.58

UruguayUruguay Government InternationalBond 8% 18/11/2022 USD 750,000 859,044 0.00Uruguay Government InternationalBond 7.625% 21/03/2036 USD 3,430,000 4,088,803 0.03Uruguay Government InternationalBond 5.1% 18/06/2050 USD 6,420,000 5,448,889 0.04

10,396,736 0.07

Venezuela, Bolivarian Republic ofPetroleos de Venezuela SA, Reg. S5.25% 12/04/2017 USD 3,550,000 1,583,188 0.01Petroleos de Venezuela SA, Reg. S5.375% 12/04/2027 USD 16,800,000 5,081,704 0.04Venezuela Government InternationalBond, Reg. S 7.75% 13/10/2019 USD 5,500,000 1,958,445 0.01

44



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Venezuela Government InternationalBond, Reg. S 6% 09/12/2020 USD 6,760,000 2,339,048 0.02Venezuela Government InternationalBond, Reg. S 9% 07/05/2023 USD 8,710,000 3,010,079 0.02Venezuela Government InternationalBond 7.65% 21/04/2025 USD 18,050,000 5,882,892 0.04

19,855,356 0.14

VietnamVietnam Government InternationalBond, Reg. S 4.8% 19/11/2024 USD 630,000 563,687 0.00

563,687 0.00

Virgin Islands, BritishGerdau Trade, Inc., Reg. S 5.75%30/01/2021 USD 2,640,000 2,422,487 0.02Star Energy Geothermal Wayang WinduLtd., Reg. S 6.125% 27/03/2020 USD 5,280,000 4,530,385 0.03Studio City Finance Ltd., 144A 8.5%01/12/2020 USD 3,000,000 2,705,599 0.02

9,658,471 0.07

ZambiaZambia Government InternationalBond, Reg. S 8.5% 14/04/2024 USD 5,330,000 4,825,152 0.03

4,825,152 0.03

Total Bonds 2,753,603,177 19.07

Convertible Bonds

Cayman IslandsChina Overseas Finance InvestmentCayman IV Ltd., Reg. S 0% 04/02/2021 USD 3,200,000 3,384,231 0.02Hengan International Group Co. Ltd.,Reg. S 0% 27/06/2018 HKD 12,000,000 1,477,771 0.01Kingsoft Corp. Ltd., Reg. S 1.25%11/04/2019 HKD 6,000,000 680,020 0.01

5,542,022 0.04

FranceAir France-KLM, Reg. S 2.03%15/02/2023 EUR 7,079,700 732,112 0.01

732,112 0.01

HungaryMagyar Nemzeti Vagyonkezelo Zrt.,Reg. S 3.375% 02/04/2019 EUR 2,900,000 3,116,891 0.02

3,116,891 0.02

ItalyTelecom Italia SpA, Reg. S 1.125%26/03/2022 EUR 3,500,000 3,714,498 0.03

3,714,498 0.03

JerseyBalfour Beatty Finance No. 2 Ltd., Reg.S 1.875% 03/12/2018 GBP 500,000 686,657 0.00Vedanta Resources Jersey Ltd., Reg. S5.5% 13/07/2016 USD 1,600,000 1,421,320 0.01

2,107,977 0.01

LuxembourgKloeckner & Co. Financial Services SA,Reg. S 2.5% 22/12/2017 EUR 1,450,000 1,449,021 0.01OHL Investments SA, Reg. S 4%25/04/2018 EUR 700,000 606,382 0.01Subsea 7 SA, Reg. S 1% 05/10/2017 USD 4,000,000 3,271,489 0.02Telecom Italia Finance SA, Reg. S6.125% 15/11/2016 EUR 1,400,000 2,034,767 0.01

7,361,659 0.05

NetherlandsAmorim Energia BV, Reg. S 3.375%03/06/2018 EUR 600,000 624,057 0.01Volkswagen International Finance NV,Reg. S 5.5% 09/11/2015 EUR 4,800,000 5,912,568 0.04

6,536,625 0.05

PortugalParpublica - Participacoes PublicasSGPS SA, Reg. S 5.25% 28/09/2017 EUR 800,000 885,000 0.01

885,000 0.01

SingaporeCapitaLand Ltd., Reg. S 1.85%19/06/2020 SGD 8,000,000 5,048,966 0.03

5,048,966 0.03

South AfricaShoprite Investments Ltd., Reg. S 6.5%03/04/2017 ZAR 532 431,608 0.00

431,608 0.00

SpainCaixaBank SA, Reg. S 4.5% 22/11/2016 EUR 1,300,000 1,181,395 0.01Telefonica Participaciones SAU, Reg. S4.9% 25/09/2017 EUR 2,500,000 2,717,200 0.02Telefonica SA, Reg. S 6% 24/07/2017 EUR 2,100,000 2,576,994 0.01

6,475,589 0.04

United Arab EmiratesAabar Investments PJSC, Reg. S 0.5%27/03/2020 EUR 2,700,000 2,836,674 0.02DP World Ltd., Reg. S 1.75%19/06/2024 USD 2,800,000 2,716,368 0.02

5,553,042 0.04

United States of AmericaChesapeake Energy Corp. 2.5%15/05/2037 USD 2,925,000 2,487,778 0.02Chesapeake Energy Corp. 2.25%15/12/2038 USD 2,518,000 1,961,843 0.01

4,449,621 0.03

Virgin Islands, BritishNewford Capital Ltd. 0% 12/05/2016 USD 3,200,000 3,129,608 0.02Shine Power International Ltd., Reg. S0% 28/07/2019 HKD 12,000,000 1,364,553 0.01Tong Jie Ltd., Reg. S 0% 18/02/2018 HKD 8,000,000 962,006 0.01

5,456,167 0.04


Equities

AustraliaAustralia & New Zealand BankingGroup Ltd. AUD 1,571,596 34,865,707 0.24Dexus Property Group, REIT AUD 1,875,362 9,438,588 0.07Goodman Group, REIT AUD 12,342,151 53,358,828 0.37Mirvac Group, REIT AUD 13,172,093 16,811,819 0.12Scentre Group, REIT AUD 7,415,629 19,184,904 0.13Suncorp Group Ltd. AUD 3,892,142 36,000,179 0.25Transurban Group AUD 6,270,822 40,158,322 0.28Westfield Corp., REIT AUD 7,688,432 48,283,211 0.33

258,101,558 1.79

BelgiumAgeas EUR 394,000 13,691,500 0.10Proximus EUR 384,000 12,227,520 0.08Solvay SA EUR 268,328 33,339,754 0.23Warehouses De Pauw CVA, REIT EUR 36,806 2,485,141 0.02

61,743,915 0.43

BermudaHongkong Land Holdings Ltd. USD 2,988,400 21,867,970 0.15VTech Holdings Ltd. HKD 324,700 3,835,442 0.03

25,703,412 0.18

BrazilAES Tiete SA BRL 83,970 398,719 0.00Ambev SA, ADR USD 1,087,163 5,975,077 0.04Banco Bradesco SA Preference BRL 405,558 3,333,219 0.02Banco do Brasil SA BRL 717,060 4,940,957 0.04CCR SA BRL 940,740 4,126,787 0.03Cia Energetica de Minas Gerais, ADRPreference USD 723,970 2,459,778 0.02Embraer SA, ADR USD 174,200 4,683,599 0.03Tractebel Energia SA BRL 519,340 5,121,302 0.04

31,039,438 0.22

CanadaAllied Properties Real EstateInvestment Trust, REIT CAD 595,900 14,938,822 0.10Bank of Nova Scotia (The) CAD 1,101,576 51,117,491 0.35Canadian Real Estate Investment Trust,REIT CAD 265,400 8,054,421 0.06

45



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

RioCan Real Estate Investment Trust,REIT CAD 1,187,947 22,554,422 0.16TransCanada Corp. CAD 1,462,703 53,519,622 0.37

150,184,778 1.04

Cayman IslandsMGM China Holdings Ltd. HKD 1,390,400 2,032,352 0.01Sands China Ltd. HKD 1,826,000 5,473,801 0.04

7,506,153 0.05

ChileBanco Santander Chile, ADR USD 357,770 6,430,851 0.05

6,430,851 0.05

ChinaBank of China Ltd. Class H HKD 14,908,000 8,646,022 0.06China Construction Bank Corp. Class H HKD 10,015,000 8,173,128 0.06China Shenhua Energy Co. Ltd. Class H HKD 2,599,000 5,283,826 0.04Industrial & Commercial Bank of ChinaLtd. Class H HKD 74,568,000 52,866,193 0.36PetroChina Co. Ltd. Class H HKD 25,050,000 24,944,237 0.17

99,913,406 0.69

DenmarkDanske Bank A/S DKK 2,444,968 64,714,056 0.45Pandora A/S DKK 159,000 15,292,811 0.10Tryg A/S DKK 358,505 6,670,417 0.05

86,677,284 0.60

FinlandElisa OYJ EUR 446,100 12,725,003 0.09Fortum OYJ EUR 733,450 11,771,872 0.08Nokian Renkaat OYJ EUR 396,300 11,149,901 0.08Orion OYJ Class B EUR 309,311 9,757,216 0.07Sampo OYJ Class A EUR 381,750 16,167,112 0.11Stora Enso OYJ Class R EUR 1,026,344 9,557,828 0.06UPM-Kymmene OYJ EUR 4,075,311 65,103,093 0.45

136,232,025 0.94

FranceAXA SA EUR 3,259,708 74,256,149 0.51BNP Paribas SA EUR 452,339 24,819,841 0.17Bouygues SA EUR 359,426 12,214,194 0.09Credit Agricole SA EUR 865,530 11,667,344 0.08Fonciere Des Regions, REIT EUR 133,688 10,261,891 0.07Gaztransport Et Technigaz SA EUR 96,727 5,490,708 0.04Gecina SA, REIT EUR 67,030 7,483,900 0.05ICADE, REIT EUR 182,708 11,801,110 0.08Klepierre, REIT EUR 668,763 26,549,891 0.18Lagardere SCA EUR 317,881 8,419,873 0.06Natixis SA EUR 1,806,026 11,767,162 0.08Orange SA EUR 1,247,831 17,391,645 0.12Rexel SA EUR 787,376 11,505,532 0.08Sanofi EUR 396,013 35,423,363 0.25SCOR SE EUR 390,428 12,443,916 0.09Societe Generale SA EUR 428,193 18,101,859 0.13Suez Environnement Co. EUR 773,841 13,168,839 0.09Unibail-Rodamco SE, REIT EUR 489,355 112,147,932 0.67Veolia Environnement SA EUR 729,103 13,519,392 0.09Vivendi SA EUR 773,994 17,674,153 0.12

456,108,694 3.16

GermanyAllianz SE EUR 188,426 26,469,142 0.18alstria office REIT-AG, REIT EUR 1,041,214 12,057,258 0.08Axel Springer SE EUR 138,570 6,568,564 0.04BASF SE EUR 230,603 18,269,523 0.13Daimler AG EUR 1,044,174 85,862,428 0.60Deutsche Annington Immobilien SE EUR 628,144 15,907,747 0.11Deutsche Post AG EUR 2,173,944 57,239,946 0.40Deutsche Telekom AG EUR 4,732,564 73,603,202 0.51Hannover Rueck SE EUR 83,300 7,268,758 0.05MuenchenerRueckversicherungs-Gesellschaft AG EUR 109,290 17,418,094 0.12ProSiebenSat.1 Media AG EUR 294,764 13,114,050 0.09TUI AG GBP 579,070 8,447,100 0.06

342,225,812 2.37

Hong KongChina Mobile Ltd. HKD 698,500 7,989,381 0.06China Resources Power Holdings Co.Ltd. HKD 2,312,000 5,745,610 0.04

Hang Seng Bank Ltd. HKD 348,500 6,075,509 0.04Link REIT (The), REIT HKD 2,999,000 15,674,388 0.11New World Development Co. Ltd. HKD 10,157,000 11,874,873 0.08

47,359,761 0.33

HungaryOTP Bank PLC HUF 273,773 4,829,486 0.03

4,829,486 0.03

IndiaCoal India Ltd. INR 1,294,808 7,643,844 0.05ITC Ltd. INR 1,142,460 5,061,453 0.04

12,705,297 0.09

IndonesiaIndo Tambangraya Megah Tbk. PT IDR 990,500 863,894 0.01Telekomunikasi Indonesia Persero Tbk.PT IDR 30,903,600 6,058,072 0.04

6,921,966 0.05

IrelandAccenture PLC Class A USD 615,303 53,472,959 0.37Allergan PLC Preference 5.5% USD 6,568 6,064,653 0.04

59,537,612 0.41

ItalyAtlantia SpA EUR 570,403 12,628,722 0.09Intesa Sanpaolo SpA EUR 23,868,978 78,409,592 0.54Snam SpA EUR 2,983,481 12,861,787 0.09Terna Rete Elettrica Nazionale SpA EUR 2,889,275 11,533,986 0.08

115,434,087 0.80

JapanGLP J-Reit JPY 2,003 1,708,258 0.01Japan Airlines Co. Ltd. JPY 1,208,700 37,707,732 0.26Japan Logistics Fund, Inc., REIT JPY 4,598 8,269,194 0.06Japan Real Estate Investment Corp.,REIT JPY 2,186 8,890,684 0.06Japan Tobacco, Inc. JPY 2,843,600 90,476,484 0.63Mitsubishi UFJ Financial Group, Inc. JPY 14,954,700 96,163,632 0.67Nippon Prologis REIT, Inc. JPY 4,301 7,086,546 0.05Nippon Telegraph & Telephone Corp. JPY 2,053,200 66,456,017 0.46Orix JREIT, Inc. JPY 5,064 6,524,469 0.04Seven & i Holdings Co. Ltd. JPY 847,600 32,535,594 0.22Toyota Motor Corp. JPY 1,178,800 70,554,526 0.49

426,373,136 2.95

LuxembourgArcelorMittal Preference 6% USD 106,513 1,511,764 0.01Millicom International Cellular SA, SDR SEK 105,684 7,012,777 0.05RTL Group SA EUR 147,323 12,011,244 0.08SES SA, FDR EUR 410,388 12,389,613 0.09

32,925,398 0.23

MalaysiaLafarge Malaysia Bhd. MYR 270,200 543,508 0.00

543,508 0.00

MexicoKimberly-Clark de Mexico SAB de CVClass A MXN 3,280,980 6,229,221 0.04

6,229,221 0.04

NetherlandsEurocommercial Properties NV, REIT,CVA EUR 217,575 8,150,360 0.06ING Groep NV, CVA EUR 6,186,296 92,531,522 0.63NN Group NV EUR 1,885,829 47,791,621 0.33STMicroelectronics NV EUR 1,487,206 10,983,760 0.08Vastned Retail NV, REIT EUR 327,946 12,961,246 0.09Wereldhave NV, REIT EUR 80,372 4,114,243 0.03

176,532,752 1.22

NorwayGjensidige Forsikring ASA NOK 535,000 7,671,025 0.05Orkla ASA NOK 1,750,900 12,278,449 0.09Telenor ASA NOK 761,360 14,843,014 0.10

34,792,488 0.24

46



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

PolandPowszechny Zaklad Ubezpieczen SA PLN 55,690 5,749,644 0.04

5,749,644 0.04

PortugalEDP - Energias de Portugal SA EUR 3,724,971 12,704,014 0.09

12,704,014 0.09

RussiaLukoil OAO, ADR USD 156,840 6,158,271 0.04MegaFon PJSC, Reg. S, GDR USD 194,650 2,402,926 0.02MMC Norilsk Nickel PJSC, ADR USD 374,140 5,647,680 0.04Mobile TeleSystems PJSC, ADR USD 420,899 3,617,424 0.03Severstal PAO, Reg. S, GDR USD 255,923 2,406,348 0.02Surgutneftegas OAO Preference USD 2,981,949 2,033,266 0.01

22,265,915 0.16

SingaporeAscendas Real Estate Investment Trust,REIT SGD 1,649,500 2,686,814 0.02CapitaLand Commercial Trust, REIT SGD 11,275,600 11,689,434 0.08Hutchison Port Holdings Trust USD 8,159,400 4,608,287 0.03Mapletree Logistics Trust, REIT SGD 7,491,200 5,604,047 0.04Singapore Telecommunications Ltd. SGD 19,219,100 53,620,745 0.37

78,209,327 0.54

South AfricaAVI Ltd. ZAR 663,060 3,970,019 0.03Barclays Africa Group Ltd. ZAR 560,380 7,538,880 0.05Bidvest Group Ltd. (The) ZAR 343,810 7,758,317 0.05Imperial Holdings Ltd. ZAR 401,329 5,473,248 0.04Life Healthcare Group Holdings Ltd. ZAR 2,509,400 6,989,172 0.05MMI Holdings Ltd. ZAR 1,473,513 3,286,140 0.02MTN Group Ltd. ZAR 2,508,866 42,038,474 0.29

77,054,250 0.53

South KoreaKangwon Land, Inc. KRW 135,193 3,989,731 0.03KT&G Corp. KRW 101,740 7,687,017 0.05SK Telecom Co. Ltd., ADR USD 300,580 6,664,347 0.05

18,341,095 0.13

SpainAbertis Infraestructuras SA EUR 784,525 11,652,158 0.08Banco Santander SA EUR 3,251,704 20,593,041 0.14Enagas SA EUR 466,656 11,461,071 0.08Endesa SA EUR 700,639 12,077,265 0.08Ferrovial SA EUR 466,984 9,154,054 0.06Iberdrola SA EUR 3,111,403 18,935,999 0.13Mapfre SA EUR 3,696,000 11,463,144 0.08Red Electrica Corp. SA EUR 175,545 12,666,449 0.09Repsol SA EUR 2,530,454 40,303,806 0.28Repsol SA Rights 03/07/2015 EUR 2,467,959 1,156,239 0.01Telefonica SA EUR 1,974,116 25,401,938 0.18

174,865,164 1.21

SwedenElectrolux AB SEK 1,834,224 51,604,667 0.36ICA Gruppen AB SEK 328,634 10,500,393 0.07Nordea Bank AB SEK 1,695,389 19,112,502 0.13Skandinaviska Enskilda Banken ABClass A SEK 1,440,452 16,605,116 0.12Skanska AB Class B SEK 660,017 12,036,346 0.08Svenska Handelsbanken AB Class A SEK 1,209,035 15,927,530 0.11Swedbank AB Class A SEK 758,083 15,926,339 0.11Tele2 AB Class B SEK 959,838 10,051,292 0.07

151,764,185 1.05

SwitzerlandBaloise Holding AG CHF 63,198 6,948,088 0.05Banque Cantonale Vaudoise CHF 12,144 6,768,937 0.05Cembra Money Bank AG CHF 102,227 5,604,776 0.04Kuehne + Nagel International AG CHF 97,813 11,697,601 0.08Nestle SA CHF 798,646 52,222,534 0.36Novartis AG CHF 864,047 76,140,946 0.53Roche Holding AG CHF 518,887 131,482,722 0.91Swiss Prime Site AG CHF 166,304 11,401,380 0.08Swiss Re AG CHF 1,067,153 85,021,832 0.59Swisscom AG CHF 27,578 13,921,901 0.09UBS Group AG CHF 923,122 17,652,081 0.12Zurich Insurance Group AG CHF 79,371 21,819,244 0.15

440,682,042 3.05

TaiwanAsustek Computer, Inc. TWD 432,000 3,744,014 0.03Cheng Shin Rubber Industry Co. Ltd. TWD 2,753,000 5,383,766 0.04Chicony Electronics Co. Ltd. TWD 754,000 1,795,544 0.01Delta Electronics, Inc. TWD 1,437,000 6,543,299 0.05Far EasTone Telecommunications Co.Ltd. TWD 1,508,000 3,236,331 0.02MediaTek, Inc. TWD 3,912,000 47,680,320 0.33Novatek Microelectronics Corp. TWD 762,000 3,282,766 0.02President Chain Store Corp. TWD 954,000 5,948,025 0.04Quanta Computer, Inc. TWD 3,320,000 6,981,332 0.05Radiant Opto-Electronics Corp. TWD 1,366,000 4,504,821 0.03Siliconware Precision Industries Co.Ltd. TWD 21,597,000 29,439,882 0.20Simplo Technology Co. Ltd. TWD 449,000 1,850,091 0.01Taiwan Mobile Co. Ltd. TWD 1,949,000 5,780,486 0.04Taiwan Semiconductor ManufacturingCo. Ltd., ADR USD 425,985 8,693,533 0.06Tripod Technology Corp. TWD 868,000 1,376,759 0.01Vanguard International SemiconductorCorp. TWD 3,024,000 4,307,642 0.03

140,548,611 0.97

ThailandAdvanced Info Service PCL THB 1,257,000 7,957,963 0.05Siam Cement PCL (The) THB 514,100 7,025,857 0.05

14,983,820 0.10

TurkeyArcelik AS TRY 612,247 2,924,911 0.02Eregli Demir ve Celik Fabrikalari TAS TRY 1,518,640 2,170,186 0.01Tofas Turk Otomobil Fabrikasi AS TRY 783,907 4,699,209 0.03Turk Telekomunikasyon AS TRY 1,644,180 3,835,556 0.03Turkcell Iletisim Hizmetleri AS TRY 601,140 2,490,940 0.02

16,120,802 0.11

United Arab EmiratesFirst Gulf Bank PJSC AED 1,204,765 4,422,856 0.03

4,422,856 0.03

United KingdomAdmiral Group PLC GBP 579,745 11,376,510 0.08AstraZeneca PLC GBP 1,261,626 71,969,103 0.50Aviva PLC GBP 7,823,712 54,609,405 0.38BAE Systems PLC GBP 12,911,114 82,491,400 0.57Barclays PLC GBP 7,013,385 25,852,924 0.18BHP Billiton PLC GBP 1,051,573 18,823,269 0.13BP PLC GBP 6,458,138 38,457,324 0.27British American Tobacco PLC GBP 655,435 31,635,873 0.22British Land Co. PLC (The), REIT GBP 4,590,417 51,577,565 0.35BT Group PLC GBP 2,561,451 16,359,260 0.11Cobham PLC GBP 2,058,856 7,683,535 0.05Compass Group PLC GBP 1,098,036 16,496,266 0.11Direct Line Insurance Group PLC GBP 12,466,287 59,298,586 0.41easyJet PLC GBP 478,471 10,445,883 0.07G4S PLC GBP 3,159,406 12,026,273 0.08GlaxoSmithKline PLC GBP 4,254,727 79,855,850 0.56Hammerson PLC, REIT GBP 4,515,197 39,093,323 0.28HSBC Holdings PLC GBP 6,230,921 50,271,444 0.35ICAP PLC GBP 1,677,001 12,426,124 0.09Imperial Tobacco Group PLC GBP 486,870 21,124,946 0.15Inmarsat PLC GBP 979,088 12,574,489 0.09Intu Properties PLC, REIT GBP 2,559,108 11,092,990 0.08Investec PLC GBP 1,556,838 12,636,217 0.09ITV PLC GBP 4,080,631 15,234,425 0.11Legal & General Group PLC GBP 4,721,554 16,664,161 0.12Lloyds Banking Group PLC GBP 18,600,656 22,411,907 0.16Marks & Spencer Group PLC GBP 1,881,386 14,350,773 0.10National Grid PLC GBP 1,813,504 20,938,892 0.14Next PLC GBP 156,348 16,423,488 0.11Old Mutual PLC GBP 4,767,024 13,656,191 0.09Pearson PLC GBP 786,990 13,511,539 0.09Persimmon PLC GBP 2,629,058 72,985,255 0.51Royal Dutch Shell PLC Class A GBP 2,983,750 75,822,522 0.53Royal Mail PLC GBP 1,675,000 12,163,896 0.08Safestore Holdings PLC, REIT GBP 2,925,340 11,691,861 0.08Schroders PLC GBP 207,255 9,336,669 0.06Segro PLC, REIT GBP 4,538,405 25,884,417 0.18Severn Trent PLC GBP 448,368 13,279,682 0.09Sky PLC GBP 1,056,542 15,471,603 0.11Standard Life PLC GBP 2,259,350 14,293,958 0.10Taylor Wimpey PLC GBP 4,621,307 12,175,882 0.08Unilever PLC GBP 975,396 37,594,937 0.26United Utilities Group PLC GBP 1,032,108 13,110,242 0.09Vodafone Group PLC GBP 32,931,694 107,206,760 0.74

47



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

William Hill PLC GBP 2,099,000 11,928,659 0.08

1,314,316,278 9.11

United States of AmericaAlcoa, Inc. Preference 5.375% USD 37,357 1,354,312 0.01Allstate Corp. (The) Preference 6.625% USD 184,000 4,307,956 0.03Allstate Corp. (The) Preference 6.75% USD 136,000 3,223,609 0.02American Tower Corp., REITPreference 5.25% USD 9,958 911,816 0.01American Tower Corp., REITPreference 5.5% USD 22,594 2,032,936 0.01Anthem, Inc. Preference 5.25% USD 41,392 1,955,577 0.01Apartment Investment & ManagementCo., REIT Class A USD 436,470 14,478,847 0.10Apple, Inc. USD 637,044 71,116,389 0.49AvalonBay Communities, Inc., REIT USD 237,600 33,971,349 0.24Bank of America Corp. Preference7.25% USD 4,063 4,055,635 0.03Bank of New York Mellon Corp. (The)Preference 5.2% USD 237,000 5,123,467 0.04BB&T Corp. Preference 5.2% USD 405,550 8,354,255 0.06BB&T Corp. Preference 5.625% USD 181,525 3,926,639 0.03Boston Properties, Inc., REIT USD 292,400 31,645,989 0.22Boston Properties, Inc., REITPreference 5.25% USD 40,000 877,400 0.01Bristol-Myers Squibb Co. USD 1,207,332 71,179,658 0.49Brixmor Property Group, Inc., REIT USD 793,860 16,420,902 0.11Capital One Financial Corp. Preference6% USD 182,000 4,012,483 0.03Capital One Financial Corp. Preference6.7% USD 385,000 8,929,704 0.06Chesapeake Energy Corp. Preference,144A 5.75% USD 1,909 1,178,463 0.01CME Group, Inc. USD 826,908 68,569,350 0.47Crown Castle International Corp., REITPreference 4.5% USD 38,887 3,573,062 0.02DCT Industrial Trust, Inc., REIT USD 356,075 10,088,633 0.07DiamondRock Hospitality Co., REIT USD 479,800 5,477,492 0.04Discover Financial Services Preference6.5% USD 349,600 7,916,650 0.05Dominion Resources, Inc. Preference6.125% USD 14,568 707,457 0.00Dominion Resources, Inc. Preference6% USD 28,977 1,393,866 0.01Dominion Resources, Inc. Preference6.375% USD 57,000 2,448,165 0.02Douglas Emmett, Inc., REIT USD 317,000 7,612,926 0.05Duke Energy Corp. Preference 5.125% USD 252,200 5,545,518 0.04Dynegy, Inc. USD 600 15,701 0.00EI du Pont de Nemours & Co. USD 566,068 32,197,994 0.22Equity One, Inc., REIT USD 1,012,100 21,147,550 0.15Exelon Corp. Preference 6.5% USD 28,549 1,175,585 0.01Extra Space Storage, Inc., REIT USD 267,300 15,552,521 0.11Frontier Communications Corp.Preference 11.125% USD 20,987 1,869,041 0.01General Growth Properties, Inc., REIT USD 1,241,000 28,556,631 0.20General Motors Co. USD 1,204,310 35,933,584 0.25GMAC Capital Trust I Preference, FRN8.125% USD 6,000 139,191 0.00Goldman Sachs Group, Inc. (The)Preference, FRN 5.5% USD 980,000 21,443,791 0.15Goldman Sachs Group, Inc. (The)Preference, FRN 6.375% USD 400,000 9,299,045 0.06Hartford Financial Services Group, Inc.(The) Preference, FRN 7.875% USD 7,200 192,440 0.00HCP, Inc., REIT USD 777,300 25,510,905 0.18Health Care REIT, Inc. USD 313,000 18,489,612 0.13Health Care REIT, Inc. Preference 6.5% USD 28,800 1,554,953 0.01Healthcare Realty Trust, Inc., REIT USD 502,700 10,490,311 0.07Highwoods Properties, Inc., REIT USD 513,400 18,376,319 0.13Home Depot, Inc. (The) USD 868,290 86,452,970 0.60Kilroy Realty Corp., REIT USD 194,900 11,723,760 0.08KLA-Tencor Corp. USD 824,908 41,256,451 0.29LaSalle Hotel Properties, REIT USD 968,200 30,297,857 0.21Liberty Property Trust, REIT USD 1,344,855 39,100,349 0.27Macerich Co. (The), REIT USD 144,300 9,680,560 0.07Merck & Co., Inc. USD 1,532,598 78,313,175 0.54Microsoft Corp. USD 2,667,059 105,155,813 0.73Mid-America Apartment Communities,Inc., REIT USD 383,000 25,076,771 0.17Molson Coors Brewing Co. Class B USD 605,060 38,043,845 0.26Morgan Stanley USD 1,887,842 65,018,367 0.45Morgan Stanley Preference, FRN6.375% USD 495,000 11,253,416 0.08Morgan Stanley Preference, FRN6.875% USD 290,000 6,919,190 0.05Morgan Stanley Preference, FRN 7.125% USD 490,000 12,185,464 0.08National Retail Properties, Inc., REIT USD 632,000 19,940,817 0.14

NextEra Energy, Inc. USD 579,543 50,939,653 0.35NextEra Energy, Inc. Preference5.799% USD 59,108 2,870,689 0.02Occidental Petroleum Corp. USD 755,495 52,481,236 0.36Omega Healthcare Investors, Inc., REIT USD 466,920 14,484,152 0.10PACCAR, Inc. USD 1,099,021 62,482,963 0.43Parkway Properties, Inc., REIT USD 443,300 6,810,409 0.05Pfizer, Inc. USD 1,249,179 37,328,134 0.26Prologis, Inc., REIT USD 979,400 32,716,632 0.23Public Storage, REIT USD 122,600 20,135,017 0.14Regency Centers Corp., REIT USD 530,800 27,959,544 0.19Reynolds American, Inc. USD 456,598 30,519,372 0.21SCE Trust II Preference 5.1% USD 203,400 4,170,981 0.03Simon Property Group, Inc., REIT USD 150,755 23,261,421 0.16Southwestern Energy Co. Preference6.25% USD 54,081 2,427,826 0.02Spirit Realty Capital, Inc., REIT USD 1,734,165 15,159,814 0.10Stanley Black & Decker, Inc. Preference6.25% USD 15,991 1,665,283 0.01State Street Corp. Preference 5.25% USD 175,000 3,822,998 0.03State Street Corp. Preference, FRN5.9% USD 294,900 6,772,773 0.05State Street Corp. Preference 6% USD 355,000 7,948,590 0.06T-Mobile US, Inc. Preference 5.5% USD 36,092 2,225,335 0.02Tyson Foods, Inc. Preference 4.75% USD 41,425 1,951,033 0.01United Technologies Corp. USD 595,302 59,474,388 0.41United Technologies Corp. Preference7.5% USD 28,585 1,486,680 0.01US Concrete, Inc. USD 1,620 54,492 0.00Vornado Realty Trust, REIT USD 239,600 20,386,005 0.14Vornado Realty Trust, REIT Preference6.625% USD 26,925 605,506 0.00Weingarten Realty Investors, REIT USD 621,100 18,099,473 0.13Wells Fargo & Co. USD 1,926,470 96,873,974 0.67Wells Fargo & Co. Preference 7.5% USD 5,105 5,381,242 0.04Weyerhaeuser Co., REIT Preference6.375% USD 17,474 824,160 0.01

1,836,074,259 12.72

Total Equities 6,894,154,300 47.75

Participation Notes

Saudi ArabiaAl Rajhi Bank 22/08/2016 USD 245,136 3,553,283 0.03Al Rajhi Bank 14/09/2016 USD 135,570 1,965,107 0.01

5,518,390 0.04

Total Participation Notes 5,518,390 0.04

Warrants

ChinaMidea Group Co. Ltd. 08/06/2016 USD 641,237 3,443,078 0.02

3,443,078 0.02

Saudi ArabiaYanbu National Petrochemical Co.03/08/2016 USD 155,980 2,010,252 0.02

2,010,252 0.02

Total Warrants 5,453,330 0.04


9,716,140,974 67.30


Bonds

AustraliaBlueScope Steel Finance Ltd., 144A7.125% 01/05/2018 USD 1,313,000 1,207,599 0.01FMG Resources August 2006 Pty. Ltd.,144A 8.25% 01/11/2019 USD 6,880,000 5,264,899 0.03Nufarm Australia Ltd., 144A 6.375%15/10/2019 USD 1,354,000 1,240,774 0.01

7,713,272 0.05

AustriaSappi Papier Holding GmbH, 144A8.375% 15/06/2019 USD 725,000 691,142 0.00

691,142 0.00

48



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

BahamasUltrapetrol Bahamas Ltd. 8.875%15/06/2021 USD 5,255,000 4,152,759 0.03

4,152,759 0.03

BermudaAircastle Ltd. 5.125% 15/03/2021 USD 87,000 78,729 0.00Digicel Group Ltd., Reg. S 7.125%01/04/2022 USD 3,280,000 2,778,423 0.02NCL Corp. Ltd., 144A 5.25% 15/11/2019 USD 1,262,000 1,165,617 0.01Seadrill Ltd., 144A 6.625% 15/09/2020 USD 888,000 632,808 0.01Viking Cruises Ltd., 144A 8.5%15/10/2022 USD 2,063,000 2,035,552 0.01Viking Cruises Ltd., 144A 6.25%15/05/2025 USD 1,630,000 1,437,294 0.01

8,128,423 0.06

Canada1011778 BC ULC, 144A 4.625%15/01/2022 USD 780,000 682,561 0.001011778 BC ULC, 144A 6% 01/04/2022 USD 9,595,000 8,817,479 0.06ATS Automation Tooling Systems, Inc.,144A 6.5% 15/06/2023 USD 2,357,000 2,159,899 0.01Baytex Energy Corp., 144A 5.125%01/06/2021 USD 394,000 332,467 0.00Baytex Energy Corp., 144A 5.625%01/06/2024 USD 1,554,000 1,297,428 0.01Bombardier, Inc., 144A 7.5%15/03/2018 USD 1,375,000 1,289,178 0.01Bombardier, Inc., 144A 5.5%15/09/2018 USD 1,928,000 1,721,582 0.01Bombardier, Inc., 144A 4.75%15/04/2019 USD 2,308,000 2,019,680 0.01Bombardier, Inc., 144A 7.75%15/03/2020 USD 5,041,000 4,580,068 0.03Bombardier, Inc., 144A 6.125%15/01/2023 USD 717,000 576,289 0.00Bombardier, Inc., 144A 7.5%15/03/2025 USD 4,825,000 3,947,677 0.03Brookfield Residential Properties, Inc.,144A 6.125% 01/07/2022 USD 2,348,000 2,080,891 0.01Brookfield Residential Properties, Inc.,144A 6.375% 15/05/2025 USD 846,000 748,815 0.01Cascades, Inc., 144A 5.5% 15/07/2022 USD 2,000,000 1,730,065 0.01Cascades, Inc., 144A 5.75% 15/07/2023 USD 1,350,000 1,166,287 0.01Catamaran Corp. 4.75% 15/03/2021 USD 2,245,000 2,225,154 0.02Concordia Healthcare Corp., 144A 7%15/04/2023 USD 5,143,000 4,609,596 0.03First Quantum Minerals Ltd., 144A6.75% 15/02/2020 USD 2,906,000 2,517,288 0.02First Quantum Minerals Ltd., 144A 7%15/02/2021 USD 1,296,000 1,116,743 0.01Garda World Security Corp., 144A7.25% 15/11/2021 USD 4,550,000 3,961,291 0.03HudBay Minerals, Inc. 9.5%01/10/2020 USD 1,465,000 1,397,486 0.01Jupiter Resources, Inc., 144A 8.5%01/10/2022 USD 2,350,000 1,783,642 0.01Lundin Mining Corp., 144A 7.5%01/11/2020 USD 1,700,000 1,639,432 0.01Lundin Mining Corp., 144A 7.875%01/11/2022 USD 2,480,000 2,375,034 0.02Masonite International Corp., 144A5.625% 15/03/2023 USD 2,115,000 1,919,251 0.01Mattamy Group Corp., 144A 6.5%15/11/2020 USD 2,210,000 1,914,189 0.01MEG Energy Corp., 144A 6.5%15/03/2021 USD 1,275,000 1,110,032 0.01MEG Energy Corp., 144A 6.375%30/01/2023 USD 8,668,000 7,236,879 0.05MEG Energy Corp., 144A 7%31/03/2024 USD 8,875,000 7,619,710 0.05New Gold, Inc., 144A 7% 15/04/2020 USD 1,657,000 1,553,576 0.01New Gold, Inc., 144A 6.25% 15/11/2022 USD 2,595,000 2,296,896 0.02NOVA Chemicals Corp., 144A 5.25%01/08/2023 USD 1,540,000 1,402,625 0.01NOVA Chemicals Corp., 144A 5%01/05/2025 USD 778,000 699,915 0.00Novelis, Inc. 8.75% 15/12/2020 USD 3,295,000 3,112,670 0.02Open Text Corp., 144A 5.625%15/01/2023 USD 847,000 750,645 0.01Pacific Rubiales Energy Corp., Reg. S5.125% 28/03/2023 USD 3,900,000 2,555,686 0.02Pacific Rubiales Energy Corp., Reg. S5.625% 19/01/2025 USD 350,000 231,079 0.00Precision Drilling Corp. 6.625%15/11/2020 USD 2,115,000 1,857,268 0.01Precision Drilling Corp. 6.5%15/12/2021 USD 2,525,000 2,203,857 0.02

Precision Drilling Corp. 5.25%15/11/2024 USD 1,261,000 968,354 0.01Quebecor Media, Inc. 5.75%15/01/2023 USD 11,288,000 10,128,005 0.07Taseko Mines Ltd. 7.75% 15/04/2019 USD 1,410,000 966,314 0.01Transcanada Trust, FRN 5.625%20/05/2075 USD 11,540,000 10,395,738 0.07Trinidad Drilling Ltd., 144A 7.875%15/01/2019 USD 4,752,000 4,306,885 0.03Ultra Petroleum Corp., 144A 5.75%15/12/2018 USD 3,110,000 2,665,953 0.02Ultra Petroleum Corp., 144A 6.125%01/10/2024 USD 5,048,000 4,000,447 0.03Valeant Pharmaceuticals International,Inc., 144A 6.75% 15/08/2018 USD 1,924,000 1,802,837 0.01Valeant Pharmaceuticals International,Inc., 144A 5.375% 15/03/2020 USD 4,440,000 4,077,989 0.03Valeant Pharmaceuticals International,Inc., 144A 7.5% 15/07/2021 USD 16,228,000 15,619,469 0.11Valeant Pharmaceuticals International,Inc., 144A 5.625% 01/12/2021 USD 903,000 824,464 0.01Valeant Pharmaceuticals International,Inc., 144A 5.5% 01/03/2023 USD 1,065,000 959,451 0.01Valeant Pharmaceuticals International,Inc., 144A 5.875% 15/05/2023 USD 28,515,000 26,162,304 0.18Valeant Pharmaceuticals International,Inc., 144A 6.125% 15/04/2025 USD 12,615,000 11,588,251 0.08Videotron Ltd. 5% 15/07/2022 USD 5,000,000 4,470,265 0.03Videotron Ltd., 144A 5.375%15/06/2024 USD 5,140,000 4,658,082 0.03Whiting Canadian Holding Co. ULC8.125% 01/12/2019 USD 5,650,000 5,305,647 0.04

200,140,765 1.39

Cayman IslandsOdebrecht Finance Ltd., Reg. S 7.125%26/06/2042 USD 832,000 569,741 0.00Seagate HDD Cayman 3.75%15/11/2018 USD 1,175,000 1,094,610 0.01Seagate HDD Cayman 4.75%01/06/2023 USD 1,220,000 1,112,151 0.01Shelf Drilling Holdings Ltd., 144A8.625% 01/11/2018 USD 1,375,000 1,098,870 0.01UPCB Finance IV Ltd., 144A 5.375%15/01/2025 USD 2,123,000 1,841,782 0.01UPCB Finance V Ltd., 144A 7.25%15/11/2021 USD 9,881,100 9,529,055 0.06UPCB Finance VI Ltd., 144A 6.875%15/01/2022 USD 4,075,200 3,903,080 0.03

19,149,289 0.13

ChileCencosud SA, Reg. S 5.5% 20/01/2021 USD 6,930,000 6,528,519 0.05

6,528,519 0.05

Dominican RepublicDominican Republic InternationalBond, 144A 7.45% 30/04/2044 USD 1,965,000 1,920,994 0.01

1,920,994 0.01

GermanyUnitymedia Hessen GmbH & Co. KG,144A 5% 15/01/2025 USD 800,000 710,224 0.00

710,224 0.00

IrelandAerCap Ireland Capital Ltd. 4.25%01/07/2020 USD 1,660,000 1,498,951 0.01AerCap Ireland Capital Ltd., 144A 4.5%15/05/2021 USD 5,155,000 4,637,613 0.03AerCap Ireland Capital Ltd. 4.625%01/07/2022 USD 4,113,000 3,683,668 0.03Ardagh Packaging Finance PLC, FRN,144A 3.286% 15/12/2019 USD 10,685,000 9,314,431 0.07Ardagh Packaging Finance PLC, 144A9.125% 15/10/2020 USD 12,359,000 11,722,933 0.08Ardagh Packaging Finance PLC, 144A7% 15/11/2020 USD 200,294 183,321 0.00Ardagh Packaging Finance PLC, 144A6% 30/06/2021 USD 500,000 447,585 0.00Grifols Worldwide Operations Ltd.5.25% 01/04/2022 USD 1,415,000 1,271,403 0.01

32,759,905 0.23

LuxembourgAltice SA, 144A 7.625% 15/02/2025 USD 3,045,000 2,589,841 0.02ArcelorMittal 5.125% 01/06/2020 USD 1,400,000 1,268,588 0.01

49



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

ArcelorMittal 6.125% 01/06/2025 USD 1,435,000 1,284,587 0.01Beverage Packaging HoldingsLuxembourg II SA, 144A 5.625%15/12/2016 USD 1,255,000 1,122,037 0.01Beverage Packaging HoldingsLuxembourg II SA, 144A 6%15/06/2017 USD 1,415,000 1,266,665 0.01Capsugel SA, 144A 7% 15/05/2019 USD 1,980,000 1,802,474 0.01ConvaTec Healthcare E SA, 144A 10.5%15/12/2018 USD 5,677,000 5,358,452 0.04INEOS Group Holdings SA, 144A6.125% 15/08/2018 USD 862,000 785,106 0.01INEOS Group Holdings SA, 144A5.875% 15/02/2019 USD 13,580,000 12,244,070 0.08Intelsat Jackson Holdings SA 7.25%01/04/2019 USD 2,649,000 2,403,839 0.02Intelsat Jackson Holdings SA 7.25%15/10/2020 USD 23,756,000 21,084,909 0.15Intelsat Jackson Holdings SA 7.5%01/04/2021 USD 16,752,000 14,871,570 0.10Intelsat Jackson Holdings SA 6.625%15/12/2022 USD 16,796,000 13,766,901 0.09Intelsat Jackson Holdings SA 5.5%01/08/2023 USD 9,700,000 7,651,559 0.05Intelsat Luxembourg SA 7.75%01/06/2021 USD 6,214,000 4,633,173 0.03Mallinckrodt International Finance SA,144A 4.875% 15/04/2020 USD 2,065,000 1,880,793 0.01Mallinckrodt International Finance SA,144A 5.75% 01/08/2022 USD 2,842,000 2,601,170 0.02Mallinckrodt International Finance SA,144A 5.5% 15/04/2025 USD 5,135,000 4,476,332 0.03Nielsen Co. Luxembourg SARL (The),144A 5.5% 01/10/2021 USD 5,990,000 5,388,807 0.04NII International Telecom SCA, 144A7.875% 15/08/2019§ USD 2,080,000 1,643,718 0.01NII International Telecom SCA, 144A11.375% 15/08/2019§ USD 827,000 668,305 0.00

108,792,896 0.75

Marshall IslandsNavios Maritime Holdings, Inc., 144A7.375% 15/01/2022 USD 3,695,000 2,833,361 0.02Navios South American Logistics, Inc.,144A 7.25% 01/05/2022 USD 3,442,000 2,946,708 0.02Ocean Rig UDW, Inc., 144A 7.25%01/04/2019 USD 1,458,000 1,021,993 0.01

6,802,062 0.05

MexicoAlfa SAB de CV, Reg. S 5.25%25/03/2024 USD 6,200,000 5,692,828 0.04Alfa SAB de CV, Reg. S 6.875%25/03/2044 USD 4,161,000 3,798,961 0.03Grupo KUO SAB De CV, Reg. S 6.25%04/12/2022 USD 2,300,000 2,135,371 0.01Mexichem SAB de CV, Reg. S 6.75%19/09/2042 USD 2,491,000 2,293,893 0.02Petroleos Mexicanos 4.875%24/01/2022 USD 9,570,000 8,879,660 0.06Petroleos Mexicanos 6.625%15/06/2035 USD 8,020,000 7,673,606 0.05Petroleos Mexicanos 6.5% 02/06/2041 USD 2,040,000 1,908,399 0.01

32,382,718 0.22

NetherlandsBasell Finance Co. BV, 144A 8.1%15/03/2027 USD 295,000 350,889 0.00Fiat Chrysler Automobiles NV, 144A4.5% 15/04/2020 USD 4,919,000 4,381,881 0.03Fiat Chrysler Automobiles NV, 144A5.25% 15/04/2023 USD 7,093,000 6,232,549 0.04NXP BV, 144A 3.5% 15/09/2016 USD 232,000 209,233 0.00NXP BV, 144A 3.75% 01/06/2018 USD 1,015,000 921,059 0.01NXP BV, 144A 4.125% 15/06/2020 USD 3,201,000 2,879,728 0.02NXP BV, 144A 5.75% 15/02/2021 USD 6,651,000 6,228,446 0.04NXP BV, 144A 4.625% 15/06/2022 USD 3,742,000 3,303,780 0.02NXP BV, 144A 5.75% 15/03/2023 USD 7,400,000 6,872,042 0.05Schaeffler Finance BV, 144A 4.25%15/05/2021 USD 1,100,000 975,139 0.01Schaeffler Finance BV, 144A 4.75%15/05/2021 USD 3,000,000 2,711,385 0.02Sensata Technologies BV, 144A4.875% 15/10/2023 USD 1,431,000 1,282,584 0.01Sensata Technologies BV, 144A5.625% 01/11/2024 USD 1,043,000 972,079 0.01Sensata Technologies BV, 144A 5%01/10/2025 USD 1,641,000 1,428,677 0.01

38,749,471 0.27

SingaporeFlextronics International Ltd. 5%15/02/2023 USD 2,708,000 2,485,537 0.02Flextronics International Ltd., 144A4.75% 15/06/2025 USD 668,000 592,602 0.00

3,078,139 0.02

SupranationalNavios Maritime Acquisition Corp.,144A 8.125% 15/11/2021 USD 1,248,000 1,096,276 0.01

1,096,276 0.01

TurkeyTurkiye Garanti Bankasi AS, Reg. S4.75% 17/10/2019 USD 2,510,000 2,274,241 0.02

2,274,241 0.02

United KingdomAfren PLC, Reg. S 6.625% 09/12/2020§ USD 3,413,000 1,355,798 0.01Barclays PLC, FRN 8.25% Perpetual USD 745,000 704,640 0.00HSBC Holdings PLC, FRN 6.375%Perpetual USD 10,224,000 9,203,974 0.07Jaguar Land Rover Automotive PLC,144A 4.25% 15/11/2019 USD 1,928,000 1,749,558 0.01Jaguar Land Rover Automotive PLC,144A 5.625% 01/02/2023 USD 150,000 140,534 0.00Virgin Media Finance PLC, 144A6.375% 15/04/2023 USD 2,807,000 2,605,066 0.02Virgin Media Secured Finance PLC,144A 5.25% 15/01/2026 USD 1,145,000 999,255 0.01

16,758,825 0.12

United States of AmericaABFC Trust, FRN, Series 2004-OPT2Class M2 1.685% 25/07/2033 USD 1,157,013 988,095 0.01ABFC Trust, FRN, Series 2004-OPT3Class M1 0.935% 25/09/2033 USD 552,441 467,786 0.00ABFC Trust, FRN, Series 2004-HE1Class M1 1.085% 25/03/2034 USD 782,630 651,864 0.00ABFC Trust, FRN, Series 2004-OPT5Class A1 0.885% 25/06/2034 USD 3,527,573 2,963,089 0.02ABFC Trust, FRN, Series 2005-WF1Class M1 0.725% 25/11/2034 USD 314,723 244,349 0.00ABFC Trust, FRN, Series 2005-OPT1Class A2C 0.545% 25/07/2035 USD 29,719 26,383 0.00Academy Ltd., 144A 9.25% 01/08/2019 USD 1,650,000 1,556,222 0.01Acadia Healthcare Co., Inc. 6.125%15/03/2021 USD 966,000 894,924 0.01Acadia Healthcare Co., Inc. 5.125%01/07/2022 USD 935,000 826,547 0.01Acadia Healthcare Co., Inc., 144A5.625% 15/02/2023 USD 800,000 723,279 0.01ACCO Brands Corp. 6.75% 30/04/2020 USD 8,729,000 8,271,116 0.06Accredited Mortgage Loan Trust, FRN,Series 2004-4 Class M1 1.055%25/01/2035 USD 442,385 381,464 0.00ACE Cash Express, Inc., 144A 11%01/02/2019 USD 4,143,000 2,094,807 0.01ACE Securities Corp., FRN, Series2003-FM1 Class M1 1.475% 25/11/2032 USD 1,109,429 886,434 0.01ACE Securities Corp., FRN, Series2003-NC1 Class M1 1.355% 25/07/2033 USD 1,089,542 932,780 0.01ACE Securities Corp., FRN, Series2003-OP1 Class M1 1.237% 25/12/2033 USD 3,773,590 3,206,204 0.02ACE Securities Corp., FRN, Series2004-OP1 Class M2 1.76% 25/04/2034 USD 3,089,337 2,560,798 0.02ACE Securities Corp., FRN, Series2004-HE2 Class M1 1.22% 25/10/2034 USD 827,617 700,732 0.01ACE Securities Corp., FRN, Series2004-HE4 Class M2 1.16% 25/12/2034 USD 4,009,455 3,516,035 0.02Activision Blizzard, Inc., 144A 5.625%15/09/2021 USD 1,510,000 1,419,122 0.01Activision Blizzard, Inc., 144A 6.125%15/09/2023 USD 1,545,000 1,486,506 0.01Adjustable Rate Mortgage Trust, FRN,Series 2004-2 Class 6A1 2.527%25/02/2035 USD 4,801,523 4,296,272 0.03Adjustable Rate Mortgage Trust, FRN,Series 2004-4 Class 4A1 2.51%25/03/2035 USD 5,257,410 4,695,836 0.03Adjustable Rate Mortgage Trust, FRN,Series 2005-2 Class 3A1 2.743%25/06/2035 USD 2,748,192 2,359,729 0.02Advanced Micro Devices, Inc. 6.75%01/03/2019 USD 2,506,000 2,034,259 0.01Advanced Micro Devices, Inc. 7.75%01/08/2020 USD 1,821,000 1,411,978 0.01Advanced Micro Devices, Inc. 7.5%15/08/2022 USD 342,000 268,961 0.00

50



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Advanced Micro Devices, Inc. 7%01/07/2024 USD 2,759,000 2,088,134 0.01AECOM, 144A 5.75% 15/10/2022 USD 4,050,000 3,697,763 0.03AECOM, 144A 5.875% 15/10/2024 USD 7,876,000 7,155,423 0.05Ahern Rentals, Inc., 144A 7.375%15/05/2023 USD 2,749,000 2,430,137 0.02Albertsons Holdings LLC, 144A 7.75%15/10/2022 USD 6,350,000 6,031,621 0.04Alcatel-Lucent USA, Inc., 144A 4.625%01/07/2017 USD 555,000 509,208 0.00Alcatel-Lucent USA, Inc., 144A 8.875%01/01/2020 USD 8,478,000 8,251,648 0.06Alcatel-Lucent USA, Inc., 144A 6.75%15/11/2020 USD 1,800,000 1,693,678 0.01Alere, Inc. 6.5% 15/06/2020 USD 1,052,000 972,661 0.01Alere, Inc., 144A 6.375% 01/07/2023 USD 523,000 474,945 0.00Aleris International, Inc. 7.625%15/02/2018 USD 534,000 486,954 0.00Aleris International, Inc. 7.875%01/11/2020 USD 2,180,000 2,024,243 0.01Alliance Data Systems Corp., 144A5.375% 01/08/2022 USD 1,893,000 1,673,426 0.01Allstate Corp. (The), FRN 5.75%15/08/2053 USD 18,165,000 17,165,107 0.12Alternative Loan Trust, Series 2005-J7Class 2A1 6% 25/10/2017 USD 57,631 51,684 0.00Alternative Loan Trust, Series2004-16CB Class 2A1 5% 25/08/2019 USD 3,813,289 3,507,432 0.02Alternative Loan Trust, Series2005-50CB Class 4A1 5% 25/11/2020 USD 92,362 82,804 0.00Alternative Loan Trust, Series 2005-J11Class 5A1 5.5% 25/11/2020 USD 221,008 191,991 0.00Alternative Loan Trust, Series2005-85CB Class 3A2 5.25%25/02/2021 USD 429,919 374,788 0.00Alternative Loan Trust, Series2007-9T1 Class 3A1 5.5% 25/05/2022 USD 61,602 48,179 0.00Alternative Loan Trust, Series 2007-25Class 2A1 6% 25/11/2022 USD 164,241 141,109 0.00Alternative Loan Trust, Series 2005-J6Class 2A1 5.5% 25/07/2025 USD 152,769 139,737 0.00Alternative Loan Trust, Series 2005-J1Class 3A1 6.5% 25/08/2032 USD 519,456 466,352 0.00Alternative Loan Trust, Series2003-16T1 Class A1 4.5% 25/09/2033 USD 4,777,704 4,400,592 0.03Alternative Loan Trust, Series 2003-J1Class 1A2 5.25% 25/10/2033 USD 332,365 296,781 0.00Alternative Loan Trust, Series2004-4CB Class 1A1 4.25%25/04/2034 USD 306,387 276,783 0.00Alternative Loan Trust, Series2004-4CB Class 3A1 5% 25/04/2034 USD 398,242 366,212 0.00Alternative Loan Trust, Series2004-12CB Class 2A1 6% 25/06/2034 USD 2,398,271 2,244,305 0.02Alternative Loan Trust, Series 2005-J3Class 3A1 6.5% 25/09/2034 USD 295,729 271,172 0.00Alternative Loan Trust, Series2004-27CB Class A1 6% 25/12/2034 USD 281,940 258,177 0.00Alternative Loan Trust, Series2004-28CB Class 2A4 5.75%25/01/2035 USD 311,904 278,230 0.00Alternative Loan Trust, Series2004-28CB Class 6A1 6% 25/01/2035 USD 16,702 15,191 0.00Alternative Loan Trust, Series2004-32CB Class 2A5 5.5% 25/02/2035 USD 1,446,339 1,311,712 0.01Alternative Loan Trust, Series2005-3CB Class 1A4 5.25% 25/03/2035 USD 1,049,004 938,709 0.01Alternative Loan Trust, Series2005-3CB Class 1A13 5.5% 25/03/2035 USD 7,070,000 6,016,653 0.04Alternative Loan Trust, Series2005-6CB Class 1A6 5.5% 25/04/2035 USD 460,000 392,910 0.00Alternative Loan Trust, Series2005-6CB Class 1A4 5.5% 25/04/2035 USD 7,540,451 6,387,925 0.04Alternative Loan Trust, Series2005-13CB Class A4 5.5% 25/05/2035 USD 4,754,319 4,055,223 0.03Alternative Loan Trust, Series2005-10CB Class 1A5 5.5% 25/05/2035 USD 5,470,285 4,887,999 0.03Alternative Loan Trust, Series2005-10CB Class 1A8 5.5% 25/05/2035 USD 3,295,866 3,026,808 0.02Alternative Loan Trust, Series2005-21CB Class A4 5.25% 25/06/2035 USD 452,666 399,086 0.00Alternative Loan Trust, Series2005-21CB Class A17 6% 25/06/2035 USD 2,422,338 2,221,960 0.02Alternative Loan Trust, Series 2005-J8Class 1A5 5.5% 25/07/2035 USD 1,405,208 1,215,610 0.01Alternative Loan Trust, Series2005-23CB Class A15 5.5% 25/07/2035 USD 2,427,239 2,122,513 0.01Alternative Loan Trust, Series2005-20CB Class 1A1 5.5% 25/07/2035 USD 97,318 82,486 0.00Alternative Loan Trust, Series2005-64CB Class 1A15 5.5%25/12/2035 USD 929,173 794,422 0.01

Alternative Loan Trust, Series2005-70CB Class A5 5.5% 25/12/2035 USD 56,221 46,905 0.00Alternative Loan Trust, Series 2005-J14Class A3 5.5% 25/12/2035 USD 1,106,767 914,287 0.01Alternative Loan Trust, Series2005-64CB Class 1A1 5.5% 25/12/2035 USD 525,897 449,630 0.00Alternative Loan Trust, Series 2006-J1Class 1A13 5.5% 25/02/2036 USD 374,794 303,886 0.00Alternative Loan Trust, Series2006-4CB Class 2A5 5.5% 25/04/2036 USD 477,350 416,441 0.00Alternative Loan Trust, Series2006-19CB Class A15 6% 25/08/2036 USD 463,222 381,136 0.00Alternative Loan Trust, Series2006-25CB Class A2 6% 25/10/2036 USD 456,668 369,691 0.00Alternative Loan Trust, Series2007-8CB Class A9 6% 25/05/2037 USD 697,239 547,452 0.00Alternative Loan Trust, Series 2007-19Class 1A8 6% 25/08/2037 USD 588,019 442,264 0.00Alternative Loan Trust, Series2007-16CB Class 5A1 6.25%25/08/2037 USD 737,559 566,951 0.00AMC Entertainment, Inc., 144A 5.75%15/06/2025 USD 6,500,000 5,673,498 0.04American Express Co., FRN 4.9%Perpetual USD 19,615,000 17,000,018 0.12American Express Co., FRN 5.2%Perpetual USD 13,750,000 12,229,692 0.08American Home Mortgage InvestmentTrust, FRN, Series 2005-1 Class 6A2.408% 25/06/2045 USD 1,065,895 937,402 0.01American Homes 4 Rent, FRN, Series2014-SFR1 Class D 144A 2.35%17/06/2031 USD 910,000 799,519 0.01Ameriquest Mortgage Securities, Inc.,FRN, Series 2003-13 Class M1 1.201%25/01/2034 USD 356,326 292,486 0.00Ameriquest Mortgage Securities, Inc.,FRN, Series 2003-13 Class M2 2.731%25/01/2034 USD 619,527 521,841 0.00Ameriquest Mortgage Securities, Inc.,FRN, Series 2004-R1 Class M1 0.982%25/02/2034 USD 818,653 674,817 0.00Ameriquest Mortgage Securities, Inc.,FRN, Series 2004-R1 Class M2 1.057%25/02/2034 USD 201,560 163,487 0.00Amkor Technology, Inc. 6.625%01/06/2021 USD 7,109,000 6,488,780 0.05Amkor Technology, Inc. 6.375%01/10/2022 USD 7,404,000 6,685,517 0.05Amsurg Corp. 5.625% 30/11/2020 USD 1,975,000 1,798,821 0.01Amsurg Corp. 5.625% 15/07/2022 USD 1,125,000 1,015,067 0.01Argent Securities, Inc., FRN, Series2003-W5 Class M2 2.96% 25/10/2033 USD 454,417 385,679 0.00Argent Securities, Inc., FRN, Series2004-W3 Class A3 1.005% 25/02/2034 USD 3,205,708 2,580,903 0.02Argent Securities, Inc., FRN, Series2004-W5 Class M1 1.085% 25/04/2034 USD 3,685,820 3,138,545 0.02Argent Securities, Inc., FRN, Series2004-W2 Class M2 2.06% 25/04/2034 USD 588,253 497,378 0.00Argent Securities, Inc., FRN, Series2004-W2 Class M3 2.285% 25/04/2034 USD 379,704 295,100 0.00Argent Securities, Inc., FRN, Series2004-W6 Class M1 1.012% 25/05/2034 USD 440,376 378,281 0.00Argent Securities, Inc., FRN, Series2004-W7 Class M2 1.085% 25/05/2034 USD 293,233 247,177 0.00Argent Securities, Inc., FRN, Series2004-W6 Class M2 1.987% 25/05/2034 USD 2,634,074 2,190,207 0.02Argos Merger Sub, Inc., 144A 7.125%15/03/2023 USD 16,678,000 15,688,177 0.11A-S Co-Issuer Subsidiary, Inc., 144A7.875% 15/12/2020 USD 1,555,000 1,471,828 0.01Ashland, Inc. 4.75% 15/08/2022 USD 18,855,000 16,634,374 0.12Ashtead Capital, Inc., 144A 6.5%15/07/2022 USD 8,140,000 7,795,473 0.05Asset-Backed Securities Corp., FRN,Series 2001-HE3 Class A1 0.726%15/11/2031 USD 3,649,287 3,089,156 0.02Asset-Backed Securities Corp., FRN,Series 2001-HE3 Class M1 1.086%15/11/2031 USD 202,871 168,344 0.00Asset-Backed Securities Corp., FRN,Series 2003-HE3 Class M2 3.186%15/06/2033 USD 242,919 209,515 0.00Asset-Backed Securities Corp., FRN,Series 2003-HE4 Class M1 1.431%15/08/2033 USD 3,450,966 2,938,760 0.02Asset-Backed Securities Corp., FRN,Series 2004-HE7 Class M2 1.76%25/10/2034 USD 813,351 684,333 0.01Asset-Backed Securities Corp., FRN,Series 2004-HE8 Class M2 1.912%25/12/2034 USD 4,635,901 3,706,129 0.03

51



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Audatex North America, Inc., 144A 6%15/06/2021 USD 13,387,000 12,297,417 0.09Audatex North America, Inc., 144A6.125% 01/11/2023 USD 1,794,000 1,647,984 0.01Avaya, Inc., 144A 7% 01/04/2019 USD 13,270,000 11,627,099 0.08Avaya, Inc., 144A 9% 01/04/2019 USD 350,000 321,904 0.00Avaya, Inc., 144A 10.5% 01/03/2021 USD 3,443,000 2,536,365 0.02Avis Budget Car Rental LLC 4.875%15/11/2017 USD 152,000 139,662 0.00Avis Budget Car Rental LLC, 144A5.125% 01/06/2022 USD 3,820,000 3,312,952 0.02Avis Budget Car Rental LLC 5.5%01/04/2023 USD 9,795,000 8,621,595 0.06Avis Budget Car Rental LLC, 144A5.25% 15/03/2025 USD 1,700,000 1,421,221 0.01Banc of America Alternative LoanTrust, Series 2004-1 Class 4A1 4.75%25/02/2019 USD 681,745 613,346 0.00Banc of America Alternative LoanTrust, Series 2004-9 Class 4A1 5.5%25/10/2019 USD 1,083,857 981,300 0.01Banc of America Alternative LoanTrust, Series 2004-10 Class 3A1 5.5%25/11/2019 USD 274,641 247,979 0.00Banc of America Alternative LoanTrust, Series 2004-12 Class 4A1 5.5%25/01/2020 USD 1,803,137 1,662,327 0.01Banc of America Alternative LoanTrust, Series 2005-4 Class 3A1 5.5%25/05/2020 USD 97,660 88,494 0.00Banc of America Alternative LoanTrust, Series 2005-6 Class 7A1 5.5%25/07/2020 USD 60,502 54,019 0.00Banc of America Alternative LoanTrust, Series 2005-12 Class 5A1 5.25%25/01/2021 USD 284,611 254,259 0.00Banc of America Alternative LoanTrust, Series 2006-4 Class 2A1 6%25/05/2021 USD 47,991 42,108 0.00Banc of America Alternative LoanTrust, Series 2003-7 Class 1CB1 5.5%25/09/2033 USD 3,566,711 3,333,139 0.02Banc of America Alternative LoanTrust, Series 2004-12 Class 2CB1 6%25/01/2035 USD 56,219 49,000 0.00Banc of America Alternative LoanTrust, Series 2006-4 Class 3CB4 6%25/05/2046 USD 190,545 144,273 0.00Banc of America Alternative LoanTrust, Series 2006-5 Class CB7 6%25/06/2046 USD 518,774 398,471 0.00Banc of America Commercial MortgageTrust, FRN, Series 2006-2 Class B5.762% 10/05/2045 USD 2,220,000 2,030,854 0.01Banc of America Commercial MortgageTrust, FRN, Series 2007-3 Class B5.576% 10/06/2049 USD 2,915,000 2,648,515 0.02Banc of America Funding Trust, Series2007-4 Class 8A1 5.5% 25/11/2034 USD 117,244 101,653 0.00Banc of America Funding Trust, Series2005-6 Class 1A2 5.5% 25/10/2035 USD 4,569,233 3,941,322 0.03Banc of America Funding Trust, Series2005-7 Class 4A7 6% 25/11/2035 USD 850,898 783,312 0.01Banc of America Funding Trust, Series2006-1 Class 1A23 5.75% 25/01/2036 USD 1,011,407 939,422 0.01Banc of America Funding Trust, FRN,Series 2006-A Class 1A1 2.662%20/02/2036 USD 4,800,196 4,262,492 0.03Banc of America Funding Trust, Series2006-2 Class 2A20 5.75% 25/03/2036 USD 374,571 328,512 0.00Banc of America Funding Trust, Series2007-3 Class 1A1 6% 25/09/2037 USD 475,179 388,556 0.00Banc of America Mortgage Trust, FRN,Series 2004-A Class 2A2 2.666%25/02/2034 USD 393,288 349,887 0.00Bank of America Corp., FRN 5.125%Perpetual USD 37,860,000 33,128,769 0.23Bank of America Corp., FRN 5.2%Perpetual USD 13,030,000 11,051,882 0.08Bank of America Corp., FRN 6.1%Perpetual USD 22,589,000 19,903,595 0.14Bank of America Corp., FRN 6.25%Perpetual USD 15,675,000 13,958,575 0.10Bank of America Corp., FRN 6.5%Perpetual USD 15,751,000 14,551,849 0.10Bank of America Corp., FRN 8%Perpetual USD 26,905,000 25,324,672 0.18Bank of America Corp., FRN 8.125%Perpetual USD 10,100,000 9,588,507 0.06Bank of New York Mellon Corp. (The),FRN 4.5% Perpetual USD 14,223,000 11,822,591 0.08

Bank of New York Mellon Corp. (The),FRN 4.95% Perpetual USD 23,940,000 21,203,757 0.15Bayview Financial MortgagePass-Through Trust, STEP, Series2006-C Class 1A2 5.638% 28/11/2036 USD 641,451 574,235 0.00Bear Stearns ALT-A Trust, FRN, Series2006-8 Class 3A1 0.345% 25/02/2034 USD 739,142 604,882 0.00Bear Stearns ALT-A Trust, FRN, Series2005-4 Class 23A1 2.532% 25/05/2035 USD 2,040,846 1,772,504 0.01Bear Stearns ARM Trust, FRN, Series2005-2 Class A2 2.515% 25/03/2035 USD 999,356 896,137 0.01Bear Stearns ARM Trust, FRN, Series2005-1 Class 4A1 2.719% 25/03/2035 USD 930,569 805,928 0.01Bear Stearns Asset-Backed Securities ITrust, FRN, Series 2004-HE11 Class M21.76% 25/12/2034 USD 2,145,000 1,894,064 0.01Bear Stearns Asset-Backed Securities ITrust, FRN, Series 2005-HE4 Class M21.145% 25/04/2035 USD 3,958,264 3,310,528 0.02Bear Stearns Asset-Backed SecuritiesTrust, STEP, Series 2003-AC4 Class M15.658% 25/09/2033 USD 122,071 107,450 0.00Bear Stearns Asset-Backed SecuritiesTrust, FRN, Series 2003-SD1 Class M11.462% 25/12/2033 USD 1,507,220 1,267,911 0.01Bear Stearns Asset-Backed SecuritiesTrust, FRN, Series 2004-HE2 Class M21.985% 25/03/2034 USD 414,361 355,231 0.00Bear Stearns Asset-Backed SecuritiesTrust, FRN, Series 2003-1 Class M11.837% 25/11/2042 USD 693,512 594,781 0.00Bear Stearns Asset-Backed SecuritiesTrust, FRN, Series 2004-SD4 Class A11.085% 25/08/2044 USD 506,975 457,486 0.00Bear Stearns Commercial MortgageSecurities Trust, FRN, Series2007-PW16 Class AJ 5.706%11/06/2040 USD 3,515,000 3,245,511 0.02Bear Stearns Commercial MortgageSecurities Trust, FRN, Series2006-PW13 Class AJ 5.611%11/09/2041 USD 2,505,000 2,276,401 0.02Bear Stearns Commercial MortgageSecurities Trust, FRN, Series2006-PW13 Class C 144A 5.68%11/09/2041 USD 6,515,000 5,582,289 0.04Bear Stearns Commercial MortgageSecurities Trust, FRN, Series2007-PW17 Class AJ 5.885%11/06/2050 USD 3,783,000 3,477,577 0.02Belden, Inc., 144A 5.5% 01/09/2022 USD 7,509,000 6,721,826 0.05Belden, Inc., 144A 5.25% 15/07/2024 USD 892,000 782,561 0.01Berry Plastics Corp. 5.125%15/07/2023 USD 2,400,000 2,091,701 0.01Blackboard, Inc., 144A 7.75%15/11/2019 USD 4,025,000 3,396,397 0.02Blue Coat Holdings, Inc., 144A 8.375%01/06/2023 USD 1,236,000 1,122,984 0.01Blue Racer Midstream LLC, 144A6.125% 15/11/2022 USD 1,453,000 1,336,360 0.01BlueLine Rental Finance Corp., 144A7% 01/02/2019 USD 4,375,000 3,994,497 0.03BreitBurn Energy Partners LP 8.625%15/10/2020 USD 4,900,000 3,872,221 0.03BreitBurn Energy Partners LP 7.875%15/04/2022 USD 1,300,000 970,096 0.01Brightstar Corp., 144A 9.5%01/12/2016 USD 475,000 436,869 0.00Brightstar Corp., 144A 7.25%01/08/2018 USD 1,200,000 1,135,816 0.01Building Materials Corp. of America,144A 6.75% 01/05/2021 USD 5,535,000 5,188,933 0.04Building Materials Corp. of America,144A 5.375% 15/11/2024 USD 3,230,000 2,855,344 0.02Bumble Bee Holdings, Inc., 144A 9%15/12/2017 USD 7,771,000 7,268,616 0.05Caesars Entertainment Operating Co.,Inc. 11.25% 01/06/2017§ USD 1,010,000 726,002 0.01Caesars Entertainment Operating Co.,Inc. 8.5% 15/02/2020§ USD 7,750,000 5,666,690 0.04Caesars Entertainment Operating Co.,Inc. 9% 15/02/2020§ USD 11,015,000 8,052,488 0.06Calpine Corp., 144A 6% 15/01/2022 USD 1,867,000 1,767,140 0.01Calpine Corp., 144A 5.875%15/01/2024 USD 8,173,000 7,681,117 0.05Calpine Corp. 5.5% 01/02/2024 USD 1,700,000 1,479,064 0.01Capital One Financial Corp., FRN 5.55%Perpetual USD 23,360,000 20,732,705 0.14Cardtronics, Inc., 144A 5.125%01/08/2022 USD 1,800,000 1,583,177 0.01Casella Waste Systems, Inc. 7.75%15/02/2019 USD 5,580,000 5,019,957 0.04

52



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

CCM Merger, Inc., 144A 9.125%01/05/2019 USD 818,000 788,856 0.01CCO Holdings LLC 7% 15/01/2019 USD 1,154,000 1,068,823 0.01CCO Holdings LLC 7.375% 01/06/2020 USD 9,275,000 8,752,780 0.06CCO Holdings LLC 5.25% 15/03/2021 USD 8,962,000 7,989,977 0.06CCO Holdings LLC 6.5% 30/04/2021 USD 15,927,000 14,848,703 0.10CCO Holdings LLC 6.625% 31/01/2022 USD 3,579,000 3,339,953 0.02CCO Holdings LLC 5.25% 30/09/2022 USD 3,224,000 2,826,923 0.02CCO Holdings LLC, 144A 5.125%01/05/2023 USD 4,688,000 4,066,680 0.03CCO Holdings LLC, 144A 5.375%01/05/2025 USD 1,513,000 1,310,483 0.01CCO Holdings LLC, 144A 5.875%01/05/2027 USD 536,000 466,527 0.00CD Commercial Mortgage Trust, FRN,Series 2005-CD1 Class E 5.225%15/07/2044 USD 6,000,000 5,367,228 0.04CD Mortgage Trust, FRN, Series2007-CD5 Class D 144A 6.123%15/11/2044 USD 3,159,000 2,864,642 0.02CD Mortgage Trust, FRN, Series2007-CD5 Class B 6.123% 15/11/2044 USD 2,400,000 2,258,367 0.02CDC Mortgage Capital Trust, FRN,Series 2003-HE1 Class M1 1.535%25/08/2033 USD 874,959 747,141 0.01CDW LLC 6% 15/08/2022 USD 1,978,000 1,832,392 0.01CDW LLC 5% 01/09/2023 USD 663,000 583,235 0.00CDW LLC 5.5% 01/12/2024 USD 820,000 730,378 0.01CEB, Inc., 144A 5.625% 15/06/2023 USD 1,223,000 1,100,252 0.01Cedar Fair LP 5.25% 15/03/2021 USD 1,559,000 1,442,503 0.01Cedar Fair LP 5.375% 01/06/2024 USD 530,000 480,355 0.00Cemex Finance LLC, 144A 9.375%12/10/2022 USD 12,975,000 12,947,195 0.09Cemex Finance LLC, 144A 6%01/04/2024 USD 4,700,000 4,151,058 0.03Centex Home Equity Loan Trust, FRN,Series 2004-A Class M1 0.785%25/01/2034 USD 678,951 568,231 0.00Centex Home Equity Loan Trust, FRN,Series 2004-C Class M2 0.976%25/06/2034 USD 1,031,243 819,859 0.01Centex Home Equity Loan Trust, FRN,Series 2004-D Class MV2 0.877%25/09/2034 USD 319,013 230,576 0.00Centex Home Equity Loan Trust, STEP,Series 2004-D Class MF2 5.56%25/09/2034 USD 241,301 198,113 0.00Centex Home Equity Loan Trust, STEP,Series 2004-D Class MF3 5.76%25/09/2034 USD 465,803 310,615 0.00Centex Home Equity Loan Trust, FRN,Series 2005-A Class M1 0.665%25/01/2035 USD 370,504 308,005 0.00Central Garden & Pet Co. 8.25%01/03/2018 USD 3,551,000 3,254,053 0.02Century Communities, Inc., 144A6.875% 15/05/2022 USD 1,800,000 1,599,250 0.01CenturyLink, Inc. 6.75% 01/12/2023 USD 9,150,000 8,219,967 0.06CenturyLink, Inc., 144A 5.625%01/04/2025 USD 2,885,000 2,324,951 0.02Cenveo Corp., 144A 6% 01/08/2019 USD 1,630,000 1,368,158 0.01Cenveo Corp., 144A 8.5% 15/09/2022 USD 1,365,000 1,023,841 0.01Cequel Communications Holdings I LLC,144A 6.375% 15/09/2020 USD 910,000 812,451 0.01Cequel Communications Holdings I LLC,144A 5.125% 15/12/2021 USD 1,948,000 1,583,689 0.01Chase Funding Loan Acquisition Trust,FRN, Series 2004-AQ1 Class M1 1.28%25/05/2034 USD 1,179,211 997,023 0.01Chase Funding Loan Acquisition Trust,FRN, Series 2004-OPT1 Class M21.685% 25/06/2034 USD 2,207,086 1,897,301 0.01Chase Funding Trust, FRN, Series2003-5 Class 1M2 5.182% 25/09/2032 USD 311,731 246,545 0.00Chase Funding Trust, FRN, Series2003-4 Class 2M1 1.085% 25/03/2033 USD 346,148 295,663 0.00Chase Funding Trust, Series 2004-1Class 1M1 4.725% 25/05/2033 USD 1,320,180 1,139,127 0.01Chase Funding Trust, STEP, Series2003-4 Class 1A5 5.399% 25/05/2033 USD 578,446 536,123 0.00Chase Funding Trust, FRN, Series2004-1 Class 2M1 0.935% 25/09/2033 USD 2,045,231 1,692,151 0.01Chase Funding Trust, FRN, Series2003-6 Class 2A2 0.765% 25/11/2034 USD 1,137,621 939,968 0.01Chase Funding Trust, FRN, Series2003-6 Class 2M1 0.935% 25/11/2034 USD 987,131 825,266 0.01Chase Funding Trust, FRN, Series2004-2 Class 1M1 5.7% 26/02/2035 USD 1,328,497 1,109,908 0.01Chase Mortgage Finance Trust, Series2006-S3 Class 1A2 6% 25/11/2036 USD 2,598,267 2,027,330 0.01

Chase Mortgage Finance Trust, Series2006-S4 Class A5 6% 25/12/2036 USD 1,361,025 1,111,510 0.01Chase Mortgage Finance Trust, Series2007-S2 Class 1A8 6% 25/03/2037 USD 98,073 79,365 0.00Chase Mortgage Finance Trust, FRN,Series 2007-A2 Class 3A1 2.577%25/07/2037 USD 24,611,696 21,950,276 0.15CHEC Loan Trust, FRN, Series 2004-1Class M3 0.887% 25/07/2034 USD 577,680 428,915 0.00Chemours Co. (The), 144A 6.625%15/05/2023 USD 5,562,000 4,805,103 0.03Chemours Co. (The), 144A 7%15/05/2025 USD 2,650,000 2,295,294 0.02Chesapeake Energy Corp. 6.875%15/11/2020 USD 4,000,000 3,498,848 0.02Chinos Intermediate Holdings A, Inc.,144A 7.75% 01/05/2019 USD 3,043,000 2,200,938 0.02CHL Mortgage Pass-Through Trust,Series 2005-20 Class A7 5.25%25/12/2027 USD 198,473 171,479 0.00CHL Mortgage Pass-Through Trust,FRN, Series 2003-27 Class A1 2.54%25/06/2033 USD 237,100 209,365 0.00CHL Mortgage Pass-Through Trust,FRN, Series 2003-58 Class 2A1 2.597%19/02/2034 USD 942,445 837,118 0.01CHL Mortgage Pass-Through Trust,FRN, Series 2004-HYB6 Class A22.419% 20/11/2034 USD 1,037,273 892,742 0.01CHL Mortgage Pass-Through Trust,FRN, Series 2004-25 Class 2A1 0.527%25/02/2035 USD 4,837,364 3,921,954 0.03CHL Mortgage Pass-Through Trust,Series 2005-5 Class A2 5.5%25/03/2035 USD 588,236 535,614 0.00CHL Mortgage Pass-Through Trust,Series 2005-30 Class A5 5.5%25/01/2036 USD 505,994 450,257 0.00CHL Mortgage Pass-Through Trust,Series 2006-J2 Class 1A1 6%25/04/2036 USD 252,012 215,489 0.00CHL Mortgage Pass-Through Trust,Series 2006-10 Class 1A16 6%25/05/2036 USD 3,899,617 3,254,705 0.02CHL Mortgage Pass-Through Trust,Series 2006-15 Class A1 6.25%25/10/2036 USD 140,690 113,357 0.00CHL Mortgage Pass-Through Trust,Series 2006-17 Class A2 6%25/12/2036 USD 1,650,318 1,406,219 0.01CHL Mortgage Pass-Through Trust,Series 2006-18 Class 2A4 6%25/12/2036 USD 10,831,073 8,963,610 0.06CHL Mortgage Pass-Through Trust,Series 2007-2 Class A2 6% 25/03/2037 USD 646,845 557,459 0.00CHL Mortgage Pass-Through Trust,Series 2007-3 Class A18 6%25/04/2037 USD 4,583,926 3,814,662 0.03CHL Mortgage Pass-Through Trust,Series 2007-10 Class A4 5.5%25/07/2037 USD 514,703 412,162 0.00CHL Mortgage Pass-Through Trust,Series 2007-13 Class A4 6%25/08/2037 USD 388,106 332,278 0.00CHL Mortgage Pass-Through Trust,Series 2007-18 Class 2A1 6.5%25/11/2037 USD 259,379 198,662 0.00Chrysler Group LLC 8.25% 15/06/2021 USD 31,661,000 30,905,028 0.21Chukchansi Economic DevelopmentAuthority, 144A 10.166% 30/05/2020§ USD 236,584 127,809 0.00CIT Group, Inc., 144A 6.625%01/04/2018 USD 3,082,000 2,924,034 0.02CIT Group, Inc., 144A 5.5% 15/02/2019 USD 21,690,000 20,234,511 0.14Citgo Holding, Inc., 144A 10.75%15/02/2020 USD 1,700,000 1,561,256 0.01CITGO Petroleum Corp., 144A 6.25%15/08/2022 USD 2,170,000 1,913,452 0.01Citigroup Mortgage Loan Trust, Inc.,FRN, Series 2005-OPT1 Class M41.237% 25/02/2035 USD 122,526 85,640 0.00Citigroup Mortgage Loan Trust, Inc.,FRN, Series 2005-3 Class 2A2A 2.585%25/08/2035 USD 859,613 763,268 0.01Citigroup Mortgage Loan Trust, Inc.,FRN, Series 2005-4 Class A 5.201%25/08/2035 USD 705,653 622,972 0.00Citigroup Mortgage Loan Trust, Inc.,STEP, Series 2005-WF2 Class AF75.249% 25/08/2035 USD 153,334 133,398 0.00Citigroup Mortgage Loan Trust, Inc.,FRN, Series 2005-6 Class A1 2.23%25/09/2035 USD 2,141,525 1,921,036 0.01

53



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Citigroup Mortgage Loan Trust, Inc.,FRN, Series 2006-8 Class A3 144A0.535% 25/10/2035 USD 3,946,670 2,941,202 0.02Citigroup Mortgage Loan Trust, Inc.,FRN, Series 2005-11 Class A2A 2.51%25/10/2035 USD 2,274,047 2,013,811 0.01Citigroup Mortgage Loan Trust, Inc.,Series 2005-9 Class 2A2 5.5%25/11/2035 USD 450,950 400,215 0.00Citigroup, Inc. 0% 30/11/2032 USD 450,000 331,756 0.00Citigroup, Inc., FRN 5.35% Perpetual USD 14,220,000 11,999,832 0.08Citigroup, Inc., FRN 5.8% Perpetual USD 26,345,000 23,572,766 0.16Citigroup, Inc., FRN 5.875% Perpetual USD 21,490,000 19,211,282 0.13Citigroup, Inc., FRN 5.9% Perpetual USD 5,000,000 4,398,518 0.03Citigroup, Inc., FRN 5.95% Perpetual USD 44,659,000 38,942,310 0.27Citigroup, Inc., FRN 6.3% Perpetual USD 22,965,000 20,092,069 0.14CitiMortgage Alternative Loan Trust,Series 2006-A1 Class 2A1 5.25%25/03/2021 USD 17,666 16,030 0.00Claire’s Stores, Inc. 8.875%15/03/2019 USD 3,325,000 1,336,057 0.01Claire’s Stores, Inc., 144A 9%15/03/2019 USD 13,528,000 10,406,015 0.07Claire’s Stores, Inc., 144A 6.125%15/03/2020 USD 2,921,000 2,086,615 0.01Clear Channel Worldwide Holdings, Inc.6.5% 15/11/2022 USD 51,123,000 47,415,646 0.33Clearwater Paper Corp., 144A 5.375%01/02/2025 USD 600,000 529,065 0.00Clearwire Communications LLC, 144A14.75% 01/12/2016 USD 800,000 830,431 0.01CNG Holdings, Inc., 144A 9.375%15/05/2020 USD 5,466,000 3,660,595 0.03Cogent Communications Finance, Inc.,144A 5.625% 15/04/2021 USD 1,000,000 846,058 0.01Cogent Communications Group, Inc.,144A 5.375% 01/03/2022 USD 4,800,000 4,253,951 0.03COMM Mortgage Trust, Series2015-CR23 Class CMC 144A 3.807%10/05/2048 USD 5,625,000 4,981,460 0.03CommScope Technologies Finance LLC,144A 6% 15/06/2025 USD 4,657,000 4,137,615 0.03CommScope, Inc., 144A 4.375%15/06/2020 USD 500,000 451,491 0.00CommScope, Inc., 144A 5% 15/06/2021 USD 2,172,000 1,888,548 0.01CommScope, Inc., 144A 5.5%15/06/2024 USD 4,631,000 4,036,980 0.03Communications Sales & Leasing, Inc.,REIT, 144A 8.25% 15/10/2023 USD 5,825,000 5,107,733 0.04Compressco Partners LP, 144A 7.25%15/08/2022 USD 1,700,000 1,457,273 0.01Comstock Resources, Inc., 144A 10%15/03/2020 USD 1,762,000 1,427,159 0.01CONSOL Energy, Inc., 144A 8%01/04/2023 USD 1,500,000 1,270,761 0.01Consolidated Communications, Inc.,144A 6.5% 01/10/2022 USD 2,200,000 1,895,705 0.01Continental Airlines Pass ThroughTrust, Series 2003-ERJ1 7.875%02/07/2018 USD 1,310,838 1,229,020 0.01Continental Airlines Pass ThroughTrust, Series 2004-ERJ1 9.558%01/09/2019 USD 49,060 48,079 0.00Continental Airlines Pass ThroughTrust Class B 5.5% 29/10/2020 USD 451,954 421,601 0.00Continental Airlines Pass ThroughTrust, Series 2006-ERJ1 144A 9.318%05/01/2021 USD 111,258 110,274 0.00Continental Airlines Pass ThroughTrust, Series 2005-ERJ1 9.798%01/04/2021 USD 540,897 540,946 0.00Corrections Corp. of America, REIT4.625% 01/05/2023 USD 5,962,000 5,232,921 0.04Cott Beverages, Inc., 144A 6.75%01/01/2020 USD 5,846,000 5,389,763 0.04Cott Beverages, Inc. 5.375%01/07/2022 USD 10,000,000 8,728,458 0.06Countrywide Asset-Backed Securities,Inc., FRN, Series 2002-3 Class M11.312% 25/03/2032 USD 172,668 151,571 0.00Countrywide Asset-Backed Securities,Inc., FRN, Series 2002-4 Class M1 1.31%25/12/2032 USD 1,461,790 1,205,673 0.01Countrywide Asset-Backed Securities,Inc., FRN, Series 2003-3 Class 3A0.725% 25/11/2033 USD 401,634 332,016 0.00Countrywide Asset-Backed Securities,Inc., FRN, Series 2004-2 Class M10.937% 25/05/2034 USD 9,582,995 8,183,453 0.06Countrywide Asset-Backed Securities,Inc., FRN, Series 2004-3 Class M10.937% 25/06/2034 USD 2,128,756 1,825,612 0.01

Countrywide Asset-Backed Securities,Inc., FRN, Series 2004-3 Class M21.012% 25/06/2034 USD 1,354,789 1,132,275 0.01Countrywide Asset-Backed Securities,Inc., FRN, Series 2004-BC4 Class M11.237% 25/11/2034 USD 877,324 747,745 0.01Countrywide Asset-Backed Securities,Inc., FRN, Series 2004-ECC2 Class M41.987% 25/11/2034 USD 505,419 414,928 0.00Countrywide Asset-Backed Securities,Inc., FRN, Series 2004-ECC2 Class M21.162% 25/12/2034 USD 385,081 329,981 0.00Countrywide Asset-Backed Securities,Inc., FRN, Series 2005-AB3 Class 1A10.437% 25/02/2036 USD 8,295,015 6,545,662 0.05Credit Suisse Commercial MortgageTrust, FRN, Series 2006-C1 Class E5.455% 15/02/2039 USD 2,330,000 2,092,437 0.01Credit Suisse First Boston MortgageSecurities Corp., Series 2005-10 Class12A1 5.25% 25/11/2020 USD 23,034 20,758 0.00Credit Suisse First Boston MortgageSecurities Corp., Series 2005-10 Class11A1 5.5% 25/11/2020 USD 1,078,298 989,839 0.01Credit Suisse First Boston MortgageSecurities Corp., Series 2005-2 Class1A2 5.25% 25/01/2028 USD 1,706,238 1,546,325 0.01Credit Suisse First Boston MortgageSecurities Corp., Series 2003-27 Class1A4 5.5% 25/11/2033 USD 4,723,304 4,378,947 0.03Credit Suisse First Boston MortgageSecurities Corp., Series 2003-29 Class3A1 5.5% 25/12/2033 USD 678,848 634,915 0.00Credit Suisse First Boston MortgageSecurities Corp., FRN, Series 2004-AR3Class 4A1 2.758% 25/04/2034 USD 2,911,171 2,603,963 0.02Credit Suisse First Boston MortgageSecurities Corp., FRN, Series 2004-AR4Class 2A1 2.528% 25/05/2034 USD 1,407,054 1,253,365 0.01Credit Suisse First Boston MortgageSecurities Corp., FRN, Series 2004-AR4Class 4A1 2.556% 25/05/2034 USD 6,321,050 5,677,041 0.04Credit Suisse First Boston MortgageSecurities Corp., FRN, Series 2004-AR5Class 6A1 2.477% 25/06/2034 USD 1,173,839 1,054,854 0.01Credit Suisse First Boston MortgageSecurities Corp., Series 2004-4 Class4A1 5.5% 25/08/2034 USD 6,868,971 6,464,797 0.05Credit Suisse First Boston MortgageSecurities Corp., FRN, Series 2004-AR8Class 5A1 2.463% 25/09/2034 USD 1,813,585 1,648,180 0.01Credit Suisse First Boston MortgageSecurities Corp., FRN, Series 2004-AR6Class 6A1 2.492% 25/10/2034 USD 2,581,563 2,329,089 0.02Credit Suisse First Boston MortgageSecurities Corp., FRN, Series 2004-AR6Class 7A1 2.535% 25/10/2034 USD 5,137,469 4,667,523 0.03Credit Suisse First Boston MortgageSecurities Corp., FRN, Series 2004-AR7Class 3A1 2.3% 25/11/2034 USD 749,055 669,016 0.00Credit Suisse First Boston MortgageSecurities Corp., Series 2004-8 Class4A3 5.5% 25/12/2034 USD 468,960 430,625 0.00Credit Suisse First Boston MortgageSecurities Corp., Series 2005-4 Class3A17 5.5% 25/06/2035 USD 261,575 237,164 0.00Credit Suisse First Boston MortgageSecurities Corp., Series 2005-10 Class5A3 5.5% 25/11/2035 USD 166,816 138,552 0.00Credit-Based Asset Servicing andSecuritization LLC, FRN, Series2004-CB6 Class M2 1.91% 25/07/2035 USD 811,087 685,908 0.01Credit-Based Asset Servicing andSecuritization LLC, STEP, Series2005-CB8 Class AF2 4.162%25/12/2035 USD 569,221 504,684 0.00Crestwood Midstream Partners LP 6%15/12/2020 USD 595,000 549,893 0.00Crestwood Midstream Partners LP,144A 6.25% 01/04/2023 USD 3,909,000 3,659,186 0.03Crimson Merger Sub, Inc., 144A6.625% 15/05/2022 USD 1,300,000 1,021,520 0.01CSMC Mortgage-Backed Trust, FRN,Series 2006-8 Class 5A1 5.589%25/10/2026 USD 90,904 70,215 0.00CSMC Mortgage-Backed Trust, Series2007-2 Class 3A13 5.5% 25/03/2037 USD 326,699 274,755 0.00CSMC Mortgage-Backed Trust, Series2007-3 Class 4A5 5% 25/04/2037 USD 179,852 152,182 0.00CST Brands, Inc. 5% 01/05/2023 USD 1,577,000 1,403,951 0.01CWABS, Inc., FRN, Series 2003-BC1Class A1 0.987% 25/03/2033 USD 172,852 143,197 0.00

54



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

CWABS, Inc., FRN, Series 2004-1 ClassM3 1.162% 25/02/2034 USD 3,092,422 2,603,003 0.02CWABS, Inc., FRN, Series 2004-1 ClassM2 1.012% 25/03/2034 USD 454,194 377,266 0.00CWABS, Inc., FRN, Series 2004-5 ClassM2 1.192% 25/07/2034 USD 4,439,842 3,761,786 0.03CWABS, Inc., FRN, Series 2004-6 ClassM2 1.162% 25/10/2034 USD 985,126 832,834 0.01CWABS, Inc., FRN, Series 2005-11 ClassAF6 4.927% 25/02/2036 USD 162,791 150,719 0.00Darling Ingredients, Inc. 5.375%15/01/2022 USD 4,360,000 3,909,556 0.03Dean Foods Co., 144A 6.5%15/03/2023 USD 10,350,000 9,471,697 0.07Delta Air Lines, Inc. Class B, 144A6.875% 07/05/2019 USD 556,239 538,904 0.00Denali Borrower LLC, 144A 5.625%15/10/2020 USD 12,510,000 11,740,567 0.08Deutsche Alt-A Securities, Inc., FRN,Series 2005-1 Class 2A1 5.78%25/02/2020 USD 755,139 697,188 0.01Deutsche Alt-A Securities, Inc., FRN,Series 2005-2 Class 2A1 0.487%25/03/2020 USD 230,191 193,691 0.00Diamondback Energy, Inc. 7.625%01/10/2021 USD 2,542,000 2,433,116 0.02DISH DBS Corp. 7.875% 01/09/2019 USD 6,968,000 6,903,323 0.05DISH DBS Corp. 5.125% 01/05/2020 USD 4,550,000 4,098,880 0.03DISH DBS Corp. 6.75% 01/06/2021 USD 28,096,000 26,226,823 0.18DISH DBS Corp. 5.875% 15/07/2022 USD 15,877,000 13,901,414 0.10DISH DBS Corp. 5% 15/03/2023 USD 1,025,000 847,343 0.01DISH DBS Corp. 5.875% 15/11/2024 USD 13,488,000 11,578,495 0.08DJO Finco, Inc., 144A 8.125%15/06/2021 USD 4,550,000 4,161,062 0.03Dominion Resources, Inc., FRN 5.75%01/10/2054 USD 16,815,000 15,638,296 0.11Downstream Development Authority ofthe Quapaw Tribe of Oklahoma, 144A10.5% 01/07/2019 USD 994,000 852,076 0.01DS Services of America, Inc., 144A 10%01/09/2021 USD 5,709,000 5,996,260 0.04DSLA Mortgage Loan Trust, FRN, Series2005-AR4 Class 2A1A 0.446%19/08/2045 USD 6,428,393 5,166,990 0.04DuPont Fabros Technology LP, REIT5.875% 15/09/2021 USD 1,155,000 1,046,812 0.01Dynegy, Inc., 144A 6.75% 01/11/2019 USD 2,050,000 1,912,894 0.01Dynegy, Inc., 144A 7.375% 01/11/2022 USD 7,050,000 6,651,954 0.05Dynegy, Inc., 144A 7.625% 01/11/2024 USD 2,670,000 2,533,150 0.02Eagle Spinco, Inc. 4.625% 15/02/2021 USD 500,000 433,344 0.00Emdeon, Inc. 11% 31/12/2019 USD 4,030,000 3,917,906 0.03Endo Finance LLC, 144A 7%15/07/2019 USD 800,000 741,138 0.01Endo Finance LLC, 144A 7%15/12/2020 USD 530,000 498,694 0.00Endo Finance LLC, 144A 5.75%15/01/2022 USD 2,625,000 2,399,628 0.02Endo Finance LLC, 144A 6.375%15/06/2023 USD 1,396,000 1,252,773 0.01Endo Finance LLC, 144A 6%15/07/2023 USD 4,085,000 3,729,719 0.03Endo Finance LLC, 144A 6%01/02/2025 USD 2,390,000 2,179,469 0.02Energizer Holdings, Inc., 144A 5.5%15/06/2025 USD 15,430,000 13,571,346 0.09EnerSys, 144A 5% 30/04/2023 USD 2,990,000 2,654,022 0.02EnLink Midstream Partners LP 7.125%01/06/2022 USD 422,000 417,936 0.00Entegris, Inc., 144A 6% 01/04/2022 USD 1,058,000 971,888 0.01Envision Healthcare Corp., 144A5.125% 01/07/2022 USD 1,556,000 1,392,883 0.01EP Energy LLC 9.375% 01/05/2020 USD 14,980,000 14,377,537 0.10EP Energy LLC 7.75% 01/09/2022 USD 10,884,000 10,243,682 0.07Equinix, Inc. 4.875% 01/04/2020 USD 1,314,000 1,188,813 0.01Equinix, Inc. 5.375% 01/01/2022 USD 1,244,000 1,114,413 0.01Equinix, Inc. 5.375% 01/04/2023 USD 2,000,000 1,786,740 0.01Equinix, Inc. 5.75% 01/01/2025 USD 499,000 444,092 0.00Equity One Mortgage Pass-ThroughTrust, FRN, Series 2003-2 Class M15.05% 25/09/2033 USD 150,136 135,505 0.00Equity One Mortgage Pass-ThroughTrust, STEP, Series 2004-1 Class M25.115% 25/04/2034 USD 2,247,878 1,874,659 0.01Equity One Mortgage Pass-ThroughTrust, STEP, Series 2003-4 Class M15.168% 25/10/2034 USD 434,653 380,376 0.00ESH Hospitality, Inc., REIT, 144A 5.25%01/05/2025 USD 2,100,000 1,825,944 0.01EV Energy Partners LP 8% 15/04/2019 USD 7,250,000 6,082,937 0.04Exterran Partners LP 6% 01/10/2022 USD 1,345,000 1,143,953 0.01

Family Tree Escrow LLC, 144A 5.75%01/03/2023 USD 4,831,000 4,520,947 0.03Felcor Lodging LP, 144A 6%01/06/2025 USD 900,000 821,725 0.01Ferrellgas LP, 144A 6.75% 15/06/2023 USD 2,598,000 2,337,249 0.02FFMLT Trust, FRN, Series 2005-FF11Class M1 0.832% 25/11/2035 USD 11,000,000 9,081,655 0.06FFMLT Trust, FRN, Series 2005-FF11Class A2D 0.867% 25/11/2035 USD 371,218 330,587 0.00FGI Operating Co. LLC 7.875%01/05/2020 USD 2,000,000 1,384,052 0.01FHLMC, FRN, Series 2014-DN2 Class M33.785% 25/04/2024 USD 1,370,000 1,182,367 0.01Fidelity & Guaranty Life Holdings, Inc.,144A 6.375% 01/04/2021 USD 2,090,000 1,950,219 0.01Fifth Third Bancorp, FRN 4.9%Perpetual USD 9,420,000 7,996,654 0.06Fifth Third Bancorp, FRN 5.1%Perpetual USD 19,900,000 16,597,283 0.12Finance America Mortgage Loan Trust,FRN, Series 2004-3 Class M2 1.132%25/11/2034 USD 201,968 159,115 0.00First Data Corp., 144A 7.375%15/06/2019 USD 5,287,000 4,919,190 0.03First Data Corp., 144A 8.875%15/08/2020 USD 14,200,000 13,361,238 0.09First Data Corp., 144A 6.75%01/11/2020 USD 7,522,000 7,102,880 0.05First Data Corp., 144A 8.25%15/01/2021 USD 35,191,000 33,033,789 0.23First Data Corp. 11.25% 15/01/2021 USD 448,000 443,262 0.00First Data Corp. 12.625% 15/01/2021 USD 3,536,000 3,655,572 0.03First Data Corp. 10.625% 15/06/2021 USD 675,000 667,195 0.00First Data Corp. 11.75% 15/08/2021 USD 1,716,000 1,728,695 0.01First Data Corp., 144A 8.75%15/01/2022 USD 14,003,337 13,285,602 0.09First Franklin Mortgage Loan Trust,FRN, Series 2003-FF5 Class M1 1.087%25/03/2034 USD 2,191,131 1,874,599 0.01First Franklin Mortgage Loan Trust,FRN, Series 2004-FF3 Class M1 1.012%25/05/2034 USD 1,160,303 959,050 0.01First Franklin Mortgage Loan Trust,FRN, Series 2004-FF4 Class M1 1.04%25/06/2034 USD 1,895,340 1,518,313 0.01First Franklin Mortgage Loan Trust,FRN, Series 2004-FF5 Class A1 0.905%25/08/2034 USD 5,244,809 4,472,784 0.03First Franklin Mortgage Loan Trust,FRN, Series 2005-FF10 Class A10.487% 25/11/2035 USD 15,892,238 12,693,725 0.09First Franklin Mortgage Loan Trust,FRN, Series 2005-FF10 Class A40.507% 25/11/2035 USD 2,747,872 2,417,672 0.02First Franklin Mortgage Loan Trust,FRN, Series 2006-FF8 Class IIA30.337% 25/07/2036 USD 2,035,071 1,738,411 0.01First Horizon Alternative MortgageSecurities Trust, Series 2006-FA6 Class3A1 5.75% 25/11/2021 USD 373,961 335,144 0.00First Horizon Alternative MortgageSecurities Trust, Series 2005-FA1 Class1A4 5.5% 25/03/2035 USD 83,147 74,223 0.00First Horizon Mortgage Pass-ThroughTrust, FRN, Series 2004-AR7 Class 4A12.468% 25/02/2035 USD 727,866 647,530 0.00First Horizon Mortgage Pass-ThroughTrust, Series 2005-5 Class 1A6 5.5%25/10/2035 USD 1,050,028 915,495 0.01First Horizon Mortgage Pass-ThroughTrust, Series 2006-2 Class 1A7 6%25/08/2036 USD 91,006 77,270 0.00First Horizon Mortgage Pass-ThroughTrust, Series 2006-2 Class 1A3 6%25/08/2036 USD 199,933 169,758 0.00First Horizon Mortgage Pass-ThroughTrust, Series 2006-3 Class 1A13 6.25%25/11/2036 USD 200,604 178,123 0.00Freescale Semiconductor, Inc., 144A5% 15/05/2021 USD 2,075,000 1,929,737 0.01Freescale Semiconductor, Inc., 144A6% 15/01/2022 USD 1,235,000 1,168,944 0.01Fremont Home Loan Trust, FRN, Series2004-B Class M2 1.132% 25/05/2034 USD 134,172 107,355 0.00Fremont Home Loan Trust, FRN, Series2004-2 Class M2 1.117% 25/07/2034 USD 687,353 583,707 0.00Fremont Home Loan Trust, FRN, Series2004-2 Class M4 1.837% 25/07/2034 USD 340,182 249,152 0.00Fremont Home Loan Trust, FRN, Series2004-C Class M1 1.162% 25/08/2034 USD 1,903,050 1,596,035 0.01Fresenius Medical Care US Finance II,Inc., 144A 5.625% 31/07/2019 USD 2,291,000 2,222,162 0.02

55



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Fresenius Medical Care US Finance II,Inc., 144A 4.125% 15/10/2020 USD 910,000 821,706 0.01Fresenius Medical Care US Finance II,Inc., 144A 5.875% 31/01/2022 USD 5,032,000 4,740,388 0.03Fresenius Medical Care US Finance II,Inc., 144A 4.75% 15/10/2024 USD 550,000 489,887 0.00Fresenius Medical Care US Finance,Inc. 6.875% 15/07/2017 USD 750,000 731,536 0.01Fresenius Medical Care US Finance,Inc., 144A 5.75% 15/02/2021 USD 2,700,000 2,590,267 0.02Frontier Communications Corp. 9.25%01/07/2021 USD 5,783,000 5,430,232 0.04Frontier Communications Corp. 8.75%15/04/2022 USD 2,167,000 1,935,043 0.01FTS International, Inc., FRN, 144A7.808% 15/06/2020 USD 1,059,000 941,936 0.01Gardner Denver, Inc., 144A 6.875%15/08/2021 USD 1,200,000 989,821 0.01GCI, Inc. 6.75% 01/06/2021 USD 5,808,000 5,255,646 0.04General Cable Corp. 5.75% 01/10/2022 USD 6,300,000 5,344,227 0.04General Electric Capital Corp., FRN5.25% Perpetual USD 29,900,000 27,440,106 0.19General Electric Capital Corp., FRN6.25% Perpetual USD 34,400,000 33,527,792 0.23General Motors Co. 3.5% 02/10/2018 USD 1,711,000 1,572,580 0.01General Motors Co. 4.875%02/10/2023 USD 20,200,000 18,981,129 0.13Genesis Energy LP 5.75% 15/02/2021 USD 750,000 666,019 0.00Genesis Energy LP 6% 15/05/2023 USD 1,227,000 1,093,327 0.01GenOn Energy, Inc. 9.5% 15/10/2018 USD 1,675,000 1,537,518 0.01GenOn Energy, Inc. 9.875% 15/10/2020 USD 3,672,000 3,328,900 0.02Global Partners LP 6.25% 15/07/2022 USD 525,000 451,798 0.00Global Partners LP, 144A 7%15/06/2023 USD 2,000,000 1,759,086 0.01GLP Capital LP 5.375% 01/11/2023 USD 3,815,000 3,515,394 0.02GMAC Commercial MortgageSecurities, Inc. Trust, FRN, Series2006-C1 Class AM 0% 10/11/2045 USD 3,774,931 3,414,376 0.02GMACM Mortgage Loan Trust, Series2004-J3 Class A5 5.25% 25/07/2034 USD 923,915 833,019 0.01GMACM Mortgage Loan Trust, FRN,Series 2004-AR2 Class 3A 2.924%19/08/2034 USD 2,876,047 2,497,900 0.02GMACM Mortgage Loan Trust, FRN,Series 2005-AR2 Class 2A 3.128%25/05/2035 USD 531,699 451,198 0.00Goldman Sachs Group, Inc. (The), FRN5.375% Perpetual USD 25,154,000 22,202,634 0.15Goldman Sachs Group, Inc. (The), FRN5.7% Perpetual USD 30,381,000 27,229,369 0.19Goodman Networks, Inc. 12.125%01/07/2018 USD 2,925,000 2,180,887 0.02Goodyear Tire & Rubber Co. (The)8.25% 15/08/2020 USD 1,414,000 1,322,461 0.01Goodyear Tire & Rubber Co. (The)8.75% 15/08/2020 USD 4,475,000 4,790,176 0.03Goodyear Tire & Rubber Co. (The) 6.5%01/03/2021 USD 7,150,000 6,800,481 0.05Goodyear Tire & Rubber Co. (The) 7%15/05/2022 USD 5,743,000 5,592,207 0.04Graton Economic DevelopmentAuthority, 144A 9.625% 01/09/2019 USD 1,510,000 1,456,201 0.01Gray Television, Inc. 7.5% 01/10/2020 USD 5,830,000 5,501,981 0.04Great Lakes Dredge & Dock Corp.7.375% 01/02/2019 USD 5,716,000 5,244,388 0.04Griffon Corp. 5.25% 01/03/2022 USD 797,000 703,764 0.01GS Mortgage Securities Trust, Series2006-GG8 Class AJ 5.622% 10/11/2039 USD 5,665,000 5,146,465 0.04GSAA Trust, FRN, Series 2005-6 ClassA3 0.555% 25/06/2035 USD 10,146,226 8,731,675 0.06GSAMP Trust, FRN, Series 2003-SEAClass A1 0.587% 25/02/2033 USD 1,678,918 1,407,947 0.01GSAMP Trust, FRN, Series 2003-HE1Class M1 1.432% 20/06/2033 USD 3,605,871 3,135,563 0.02GSAMP Trust, FRN, Series 2003-HE2Class M1 1.16% 25/08/2033 USD 1,360,982 1,079,022 0.01GSAMP Trust, FRN, Series 2005-NC1Class M1 0.862% 25/02/2035 USD 3,675,081 3,195,765 0.02GSAMP Trust, FRN, Series 2005-HE3Class M2 1.192% 25/06/2035 USD 3,990,701 3,484,918 0.02GSAMP Trust, FRN, Series 2006-FM1Class A2C 0.347% 25/04/2036 USD 4,769,464 2,847,654 0.02GSAMP Trust, FRN, Series 2006-HE4Class A2C 0.335% 25/06/2036 USD 5,513,970 4,559,924 0.03GSAMP Trust, FRN, Series 2007-SEA1Class A 144A 0.485% 25/12/2036 USD 4,517,580 3,770,762 0.03GSAMP Trust, FRN, Series 2005-SEA2Class A1 144A 0.531% 25/01/2045 USD 79,223 69,515 0.00GSAMP Trust, FRN, Series 2006-HE3Class A2C 0.345% 25/05/2046 USD 6,756,213 5,469,667 0.04

GSMSC Pass-Through Trust, FRN,Series 2008-2R Class 2A1 144A 7.5%25/10/2036 USD 1,828,597 1,347,953 0.01GSR Mortgage Loan Trust, Series2006-9F Class 8A1 5.5% 25/08/2021 USD 256,908 217,051 0.00GSR Mortgage Loan Trust, Series2004-15F Class 1A2 5.5% 25/12/2034 USD 283,501 273,324 0.00GSR Mortgage Loan Trust, Series2005-1F Class 2A3 6% 25/02/2035 USD 414,945 384,187 0.00GSR Mortgage Loan Trust, FRN, Series2005-AR3 Class 6A1 2.617%25/05/2035 USD 267,975 223,073 0.00GSR Mortgage Loan Trust, FRN, Series2005-AR4 Class 3A5 2.659%25/07/2035 USD 6,829,983 5,931,492 0.04GSR Mortgage Loan Trust, Series2006-1F Class 2A9 6% 25/02/2036 USD 2,042,260 1,715,057 0.01GSR Mortgage Loan Trust, Series2006-1F Class 2A16 6% 25/02/2036 USD 1,153,644 968,667 0.01GSR Mortgage Loan Trust, Series2007-1F Class 3A13 6% 25/01/2037 USD 612,499 523,734 0.00Guitar Center, Inc., 144A 6.5%15/04/2019 USD 885,000 729,005 0.01H&E Equipment Services, Inc. 7%01/09/2022 USD 9,994,000 9,288,780 0.06Halcon Resources Corp. 9.75%15/07/2020 USD 1,371,000 833,753 0.01Halcon Resources Corp. 8.875%15/05/2021 USD 6,800,000 4,057,170 0.03Halcon Resources Corp. 9.25%15/02/2022 USD 2,168,000 1,238,968 0.01Halyard Health, Inc., 144A 6.25%15/10/2022 USD 4,550,000 4,263,467 0.03HarborView Mortgage Loan Trust, FRN,Series 2005-11 Class 2A1A 0.497%19/08/2045 USD 776,984 645,132 0.00Hardwoods Acquisition, Inc., 144A7.5% 01/08/2021 USD 3,000,000 2,621,886 0.02Harland Clarke Holdings Corp., 144A9.75% 01/08/2018 USD 3,160,000 2,959,238 0.02Harland Clarke Holdings Corp., 144A9.25% 01/03/2021 USD 1,325,000 1,045,601 0.01Hartford Financial Services Group, Inc.(The), FRN 8.125% 15/06/2038 USD 1,280,000 1,288,961 0.01HD Supply, Inc. 7.5% 15/07/2020 USD 5,700,000 5,378,151 0.04HD Supply, Inc., 144A 5.25%15/12/2021 USD 11,325,000 10,292,766 0.07Headwaters, Inc. 7.25% 15/01/2019 USD 1,567,000 1,462,198 0.01Hexion, Inc. 8.875% 01/02/2018 USD 1,100,000 897,115 0.01Hexion, Inc. 6.625% 15/04/2020 USD 28,973,000 23,714,320 0.16Hexion, Inc. 10% 15/04/2020 USD 1,235,000 1,149,116 0.01Hiland Partners LP, 144A 7.25%01/10/2020 USD 4,069,000 3,942,196 0.03Hiland Partners LP, 144A 5.5%15/05/2022 USD 406,000 376,920 0.00Hilcorp Energy I LP, 144A 7.625%15/04/2021 USD 2,485,000 2,319,533 0.02Hilcorp Energy I LP, 144A 5%01/12/2024 USD 6,478,000 5,437,379 0.04Hilcorp Energy I LP, 144A 5.75%01/10/2025 USD 3,380,000 2,912,492 0.02Hilton Worldwide Finance LLC 5.625%15/10/2021 USD 3,300,000 3,079,440 0.02HJ Heinz Co., 144A 4.875% 15/02/2025 USD 4,315,000 4,199,795 0.03HJ Heinz Co. (The) 4.25% 15/10/2020 USD 7,294,000 6,651,550 0.05Hologic, Inc. 6.25% 01/08/2020 USD 9,983,000 9,219,946 0.06Hologic, Inc., 144A 5.25% 15/07/2022 USD 3,050,000 2,788,140 0.02Home Equity Asset Trust, FRN, Series2003-1 Class M1 1.687% 25/06/2033 USD 804,741 695,664 0.01Home Equity Asset Trust, FRN, Series2003-3 Class M1 1.477% 25/08/2033 USD 794,927 680,355 0.00Home Equity Asset Trust, FRN, Series2004-6 Class M2 1.087% 25/12/2034 USD 89,855 69,259 0.00Home Equity Mortgage LoanAsset-Backed Trust, FRN, Series2004-C Class M1 1.025% 25/03/2035 USD 5,860,056 4,790,542 0.03Home Equity Mortgage LoanAsset-Backed Trust, FRN, Series2004-C Class M2 1.085% 25/03/2035 USD 381,910 304,455 0.00Home Equity Mortgage LoanAsset-Backed Trust, FRN, Series2004-C Class M3 1.16% 25/03/2035 USD 675,431 521,879 0.00Horizon Pharma Financing, Inc., 144A6.625% 01/05/2023 USD 5,510,000 5,123,036 0.04Hughes Satellite Systems Corp. 6.5%15/06/2019 USD 2,115,000 2,067,975 0.01Huntington Ingalls Industries, Inc.,144A 5% 15/12/2021 USD 1,000,000 918,609 0.01Huntsman International LLC, 144A5.125% 15/11/2022 USD 2,667,000 2,357,648 0.02

56



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

IASIS Healthcare LLC 8.375%15/05/2019 USD 7,239,000 6,690,759 0.05Icahn Enterprises LP 3.5% 15/03/2017 USD 1,880,000 1,689,541 0.01Icahn Enterprises LP 4.875%15/03/2019 USD 3,740,000 3,373,280 0.02Icahn Enterprises LP 5.875%01/02/2022 USD 4,362,000 3,978,090 0.03IGATE Corp. 4.75% 15/04/2019 USD 1,315,000 1,224,116 0.01Igloo Holdings Corp., 144A 8.25%15/12/2017 USD 873,000 788,304 0.01iHeartCommunications, Inc. 9%15/12/2019 USD 9,260,000 7,874,184 0.05IHS, Inc., 144A 5% 01/11/2022 USD 2,235,000 1,983,241 0.01ILFC E-Capital Trust I, FRN, 144A4.69% 21/12/2065 USD 6,684,000 5,929,596 0.04ILFC E-Capital Trust II, FRN, 144A6.25% 21/12/2065 USD 4,790,000 4,277,168 0.03Impac CMB Trust, FRN, Series 2004-5Class 1A1 0.907% 25/10/2034 USD 405,001 349,311 0.00Impac CMB Trust, FRN, Series 2004-6Class 1A2 0.965% 25/10/2034 USD 3,416,916 2,874,621 0.02Impac CMB Trust, FRN, Series 2004-5Class 1M2 1.057% 25/10/2034 USD 1,271,797 1,043,372 0.01Impac CMB Trust, FRN, Series 2004-7Class 1A2 1.107% 25/11/2034 USD 2,448,093 2,049,998 0.01Impac CMB Trust, FRN, Series 2004-9Class 1A1 0.945% 25/01/2035 USD 6,088,750 4,976,214 0.03Impac CMB Trust, FRN, Series 2004-10Class 3A1 0.887% 25/03/2035 USD 852,636 694,382 0.01Impac CMB Trust, FRN, Series 2005-2Class 1A2 0.805% 25/04/2035 USD 1,155,329 904,502 0.01Impac CMB Trust, FRN, Series 2005-4Class 1A1A 0.725% 25/05/2035 USD 1,108,930 917,696 0.01Impac Secured Assets CMN OwnerTrust, Series 2003-2 Class A4 3.75%25/08/2033 USD 995,667 841,707 0.01IMS Health, Inc., 144A 6% 01/11/2020 USD 11,308,000 10,450,737 0.07IndyMac INDX Mortgage Loan Trust,FRN, Series 2005-AR3 Class 3A12.526% 25/04/2035 USD 813,804 703,523 0.01IndyMac INDX Mortgage Loan Trust,FRN, Series 2005-AR14 Class 2A1A0.485% 25/07/2035 USD 772,293 616,996 0.00Infor Software Parent LLC, 144A7.125% 01/05/2021 USD 10,076,000 9,037,630 0.06Infor US, Inc., 144A 6.5% 15/05/2022 USD 10,640,000 9,667,114 0.07Ingles Markets, Inc. 5.75% 15/06/2023 USD 1,815,000 1,648,062 0.01International Lease Finance Corp.8.75% 15/03/2017 USD 3,450,000 3,375,926 0.02International Wire Group Holdings,Inc., 144A 8.5% 15/10/2017 USD 1,600,000 1,482,275 0.01inVentiv Health, Inc., 144A 9%15/01/2018 USD 4,800,000 4,454,862 0.03Invitation Homes Trust, FRN, Series2013-SFR1 Class C 144A 2.1%17/12/2030 USD 3,345,000 2,979,459 0.02Invitation Homes Trust, FRN, Series2013-SFR1 Class E 144A 2.9%17/12/2030 USD 2,485,000 2,196,692 0.02Isle of Capri Casinos, Inc. 8.875%15/06/2020 USD 1,930,000 1,865,253 0.01Isle of Capri Casinos, Inc. 5.875%15/03/2021 USD 3,468,000 3,172,745 0.02Italics Merger Sub, Inc., 144A 7.125%15/07/2023 USD 2,140,000 1,902,525 0.01J.P. Morgan Chase CommercialMortgage Securities Trust, FRN, Series2007-LD11 Class AM 5.774%15/06/2049 † USD 4,850,000 4,526,938 0.03J.P. Morgan Mortgage AcquisitionTrust, FRN, Series 2006-NC1 Class A40.351% 25/04/2036 † USD 593,294 521,501 0.00J.P. Morgan Mortgage Trust, Series2006-S2 Class 2A1 5% 25/06/2021 † USD 70,465 62,085 0.00J.P. Morgan Mortgage Trust, Series2006-S3 Class 2A4 5.5% 25/08/2021 † USD 66,381 59,421 0.00J.P. Morgan Mortgage Trust, Series2007-S3 Class 2A3 6% 25/08/2022 † USD 39,955 35,683 0.00J.P. Morgan Mortgage Trust, FRN,Series 2004-A6 Class 1A1 2.458%25/12/2034 † USD 508,860 445,273 0.00J.P. Morgan Mortgage Trust, FRN,Series 2005-A3 Class 6A6 2.636%25/06/2035 † USD 786,630 703,720 0.01J.P. Morgan Mortgage Trust, FRN,Series 2007-A1 Class 2A2 2.482%25/07/2035 † USD 448,738 393,739 0.00J.P. Morgan Mortgage Trust, FRN,Series 2007-A1 Class 5A1 2.556%25/07/2035 † USD 762,748 683,107 0.00

J.P. Morgan Mortgage Trust, FRN,Series 2005-A6 Class 1A2 2.527%25/09/2035 † USD 277,505 237,657 0.00J.P. Morgan Mortgage Trust, FRN,Series 2005-A8 Class 1A1 5.292%25/11/2035 † USD 115,755 98,865 0.00Jaguar Holding Co. I, 144A 9.375%15/10/2017 USD 160,000 146,116 0.00JB Poindexter & Co., Inc., 144A 9%01/04/2022 USD 388,000 373,743 0.00JBS USA LLC, 144A 8.25% 01/02/2020 USD 3,106,000 2,956,788 0.02JBS USA LLC, 144A 7.25% 01/06/2021 USD 7,355,000 6,951,293 0.05JBS USA LLC, 144A 5.875% 15/07/2024 USD 8,477,000 7,655,226 0.05JBS USA LLC, 144A 5.75% 15/06/2025 USD 4,728,000 4,201,457 0.03JC Penney Corp, Inc. 8.125%01/10/2019 USD 488,000 432,213 0.00JM Huber Corp., 144A 9.875%01/11/2019 USD 935,000 897,947 0.01Jones Energy Holdings LLC 6.75%01/04/2022 USD 2,510,000 2,134,811 0.02Jurassic Holdings III, Inc., 144A 6.875%15/02/2021 USD 3,400,000 2,383,249 0.02Kaiser Aluminum Corp. 8.25%01/06/2020 USD 894,000 867,138 0.01Kinder Morgan, Inc., 144A 5%15/02/2021 USD 645,000 612,669 0.00Kinder Morgan, Inc., 144A 5.625%15/11/2023 USD 645,000 619,201 0.00Kindred Healthcare, Inc., 144A 8%15/01/2020 USD 6,405,000 6,136,309 0.04Kindred Healthcare, Inc., 144A 8.75%15/01/2023 USD 3,465,000 3,353,151 0.02Kinetic Concepts, Inc. 10.5%01/11/2018 USD 12,500,000 11,892,190 0.08KLX, Inc., 144A 5.875% 01/12/2022 USD 6,650,000 5,982,566 0.04Kratos Defense & Security Solutions,Inc. 7% 15/05/2019 USD 2,000,000 1,607,286 0.01Lamar Media Corp. 5.875%01/02/2022 USD 1,000,000 926,252 0.01Lamar Media Corp. 5% 01/05/2023 USD 2,750,000 2,438,375 0.02Landry’s, Inc., 144A 9.375%01/05/2020 USD 1,875,000 1,804,012 0.01LB-UBS Commercial Mortgage Trust,FRN, Series 2006-C6 Class B 5.472%15/09/2039 USD 4,388,000 3,971,704 0.03LB-UBS Commercial Mortgage Trust,Series 2007-C1 Class AJ 5.484%15/02/2040 USD 4,970,000 4,608,576 0.03LB-UBS Commercial Mortgage Trust,FRN, Series 2007-C1 Class C 5.533%15/02/2040 USD 1,125,000 1,022,659 0.01LB-UBS Commercial Mortgage Trust,FRN, Series 2007-C6 Class AJ 6.124%15/07/2040 USD 9,100,000 8,518,674 0.06Lehman Mortgage Trust, Series 2006-3Class 1A2 6% 25/07/2036 USD 4,655,776 3,157,285 0.02Lehman XS Trust, FRN, Series 2005-5NClass 3A1A 0.487% 25/11/2035 USD 8,363,769 6,670,522 0.05Lehman XS Trust, FRN, Series 2005-7NClass 1A1A 0.455% 25/12/2035 USD 1,955,295 1,539,215 0.01Level 3 Communications, Inc. 5.75%01/12/2022 USD 3,161,000 2,825,481 0.02Level 3 Financing, Inc. 5.375%15/08/2022 USD 845,000 763,643 0.01Level 3 Financing, Inc., 144A 5.625%01/02/2023 USD 4,219,000 3,807,197 0.03Level 3 Financing, Inc., 144A 5.125%01/05/2023 USD 11,459,000 10,033,916 0.07Level 3 Financing, Inc., 144A 5.375%01/05/2025 USD 11,641,000 10,072,444 0.07Levi Strauss & Co., 144A 5%01/05/2025 USD 1,500,000 1,297,161 0.01Liberty Interactive LLC 8.25%01/02/2030 USD 280,000 260,465 0.00Liberty Mutual Group, Inc., 144A 7.8%07/03/2087 USD 2,802,000 2,971,136 0.02LifePoint Health, Inc. 6.625%01/10/2020 USD 500,000 464,738 0.00LifePoint Health, Inc. 5.5% 01/12/2021 USD 1,109,000 1,027,273 0.01LIN Television Corp., 144A 5.875%15/11/2022 USD 4,298,000 3,885,816 0.03Linn Energy LLC 6.25% 01/11/2019 USD 3,350,000 2,374,211 0.02Linn Energy LLC 7.75% 01/02/2021 USD 12,075,000 8,517,086 0.06Linn Energy LLC 6.5% 15/09/2021 USD 1,357,000 920,904 0.01Live Nation Entertainment, Inc., 144A7% 01/09/2020 USD 666,000 634,838 0.00Live Nation Entertainment, Inc., 144A5.375% 15/06/2022 USD 1,378,000 1,239,696 0.01Long Beach Mortgage Loan Trust, FRN,Series 2001-2 Class M1 1.027%25/07/2031 USD 352,439 293,987 0.00

57



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Long Beach Mortgage Loan Trust, FRN,Series 2002-5 Class M1 1.432%25/11/2032 USD 6,601,545 5,572,785 0.04Long Beach Mortgage Loan Trust, FRN,Series 2003-4 Class M1 1.207%25/08/2033 USD 6,782,259 5,856,892 0.04Long Beach Mortgage Loan Trust, FRN,Series 2004-2 Class M3 1.91%25/06/2034 USD 1,466,627 1,239,609 0.01Long Beach Mortgage Loan Trust, FRN,Series 2004-3 Class M2 1.087%25/07/2034 USD 1,842,533 1,586,018 0.01Long Beach Mortgage Loan Trust, FRN,Series 2004-3 Class M4 1.8%25/07/2034 USD 694,164 581,643 0.00Long Beach Mortgage Loan Trust, FRN,Series 2004-3 Class M6 2.324%25/07/2034 USD 857,049 724,153 0.01Long Beach Mortgage Loan Trust, FRN,Series 2005-WL2 Class M1 0.657%25/08/2035 USD 151,134 134,058 0.00Long Beach Mortgage Loan Trust, FRN,Series 2006-WL2 Class 2A3 0.387%25/01/2036 USD 13,081,426 11,323,044 0.08Marina District Finance Co., Inc.9.875% 15/08/2018 USD 1,750,000 1,606,714 0.01MarkWest Energy Partners LP 4.875%01/06/2025 USD 10,197,000 8,935,464 0.06Martin Midstream Partners LP 7.25%15/02/2021 USD 1,288,000 1,138,602 0.01MASTR Alternative Loan Trust, Series2006-3 Class 3A1 5.5% 25/06/2021 USD 607,414 508,886 0.00MASTR Alternative Loan Trust, Series2004-12 Class 3A1 6% 25/12/2034 USD 4,017,973 3,680,049 0.03MASTR Alternative Loan Trust, Series2005-3 Class 1A1 5.5% 25/04/2035 USD 477,306 431,941 0.00MASTR Alternative Loan Trust, Series2005-5 Class 3A1 5.75% 25/08/2035 USD 144,263 112,676 0.00MASTR Alternative Loan Trust, Series2005-6 Class 1A2 5.5% 25/12/2035 USD 873,310 695,815 0.01MASTR Asset-Backed Securities Trust,FRN, Series 2004-OPT2 Class M11.085% 25/09/2034 USD 1,801,440 1,526,688 0.01MASTR Asset-Backed Securities Trust,FRN, Series 2004-OPT2 Class M2 1.16%25/09/2034 USD 559,750 442,714 0.00MASTR Asset-Backed Securities Trust,FRN, Series 2005-NC1 Class M2 0.937%25/12/2034 USD 604,772 519,965 0.00Memorial Resource Development Corp.5.875% 01/07/2022 USD 1,882,000 1,617,488 0.01Mercer International, Inc. 7%01/12/2019 USD 1,985,000 1,869,966 0.01Mercer International, Inc. 7.75%01/12/2022 USD 727,000 705,967 0.01Merrill Lynch Mortgage Investors Trust,FRN, Series 2003-OPT1 Class M11.162% 25/07/2034 USD 1,508,475 1,235,458 0.01Merrill Lynch Mortgage Investors Trust,FRN, Series 2005-1 Class 2A1 2.13%25/04/2035 USD 590,257 502,925 0.00Merrill Lynch Mortgage Investors Trust,FRN, Series 2004-WMC5 Class M51.91% 25/07/2035 USD 1,275,785 1,092,929 0.01Merrill Lynch Mortgage Investors Trust,FRN, Series 2004-HE2 Class M1 1.385%25/08/2035 USD 640,405 544,696 0.00Merrill Lynch Mortgage Investors Trust,FRN, Series 2005-WMC1 Class M3 1.31%25/09/2035 USD 481,500 417,583 0.00Merrill Lynch Mortgage Investors Trust,FRN, Series 2005-FM1 Class M1 0.665%25/05/2036 USD 2,669,059 2,178,966 0.02Merrill Lynch Mortgage Investors Trust,Series 2006-AF2 Class AF2 6.25%25/10/2036 USD 166,852 130,661 0.00MetLife, Inc., FRN 5.25% Perpetual USD 20,804,000 18,430,833 0.13Michaels Stores, Inc., 144A 5.875%15/12/2020 USD 3,130,000 2,920,663 0.02Micron Technology, Inc. 5.875%15/02/2022 USD 6,460,000 5,831,363 0.04Micron Technology, Inc., 144A 5.25%01/08/2023 USD 3,835,000 3,278,875 0.02Micron Technology, Inc., 144A 5.25%15/01/2024 USD 2,770,000 2,318,846 0.02Micron Technology, Inc., 144A 5.5%01/02/2025 USD 1,220,000 1,019,935 0.01Micron Technology, Inc., 144A 5.625%15/01/2026 USD 1,080,000 892,044 0.01Milacron LLC, 144A 7.75% 15/02/2021 USD 2,848,000 2,619,377 0.02ML-CFC Commercial Mortgage Trust,FRN, Series 2006-3 Class AJ 5.485%12/07/2046 USD 2,485,000 2,256,114 0.02

Momentive Performance Materials, Inc.3.88% 24/10/2021 USD 2,675,000 2,155,717 0.02Morgan Stanley, FRN 5.45% Perpetual USD 29,254,000 25,914,699 0.18Morgan Stanley, FRN 5.55% Perpetual USD 24,897,000 22,035,258 0.15Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2003-NC7 Class M11.237% 25/06/2033 USD 1,345,991 1,140,041 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2003-NC10 Class M11.207% 25/10/2033 USD 2,595,782 2,202,370 0.02Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2003-HE3 Class M11.207% 25/10/2033 USD 725,661 609,142 0.00Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE1 Class M11.04% 25/01/2034 USD 11,449,956 9,801,230 0.07Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-NC3 Class M10.982% 25/03/2034 USD 4,110,595 3,516,299 0.02Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE3 Class M11.042% 25/03/2034 USD 3,465,017 2,951,060 0.02Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE2 Class M21.985% 25/03/2034 USD 1,609,487 1,341,545 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE3 Class M22.062% 25/03/2034 USD 2,955,723 2,512,898 0.02Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE2 Class M32.36% 25/03/2034 USD 223,629 106,379 0.00Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-NC5 Class M11.087% 25/05/2034 USD 11,847,605 9,720,961 0.07Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-WMC2 ClassM1 1.102% 25/07/2034 USD 850,326 729,329 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-NC7 Class M31.162% 25/07/2034 USD 109,030 85,576 0.00Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-WMC2 ClassM2 1.987% 25/07/2034 USD 1,423,229 1,219,508 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-NC6 Class M22.062% 25/07/2034 USD 1,655,483 1,378,587 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE6 Class M21.087% 25/08/2034 USD 2,797,334 2,400,325 0.02Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE7 Class M21.132% 25/08/2034 USD 1,302,793 1,149,013 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE6 Class M31.162% 25/08/2034 USD 919,040 740,512 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE7 Class M31.207% 25/08/2034 USD 30,937 26,259 0.00Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE8 Class M21.207% 25/09/2034 USD 2,577,179 2,230,808 0.02Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-NC8 Class M31.297% 25/09/2034 USD 217,400 182,286 0.00Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-HE8 Class M31.312% 25/09/2034 USD 172,868 145,273 0.00Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-OP1 Class M21.1% 25/11/2034 USD 1,602,479 1,391,663 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-OP1 Class M31.205% 25/11/2034 USD 1,475,682 1,207,004 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-OP1 Class M41.61% 25/11/2034 USD 963,239 743,584 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-OP1 Class M51.76% 25/11/2034 USD 715,549 546,924 0.00Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2005-HE1 Class M20.892% 25/12/2034 USD 1,958,955 1,707,280 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2005-HE1 Class M30.967% 25/12/2034 USD 763,427 571,907 0.00Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2005-NC1 Class M30.952% 25/01/2035 USD 101,754 73,292 0.00Morgan Stanley Capital I Trust, FRN,Series 2006-HQ10 Class AJ 5.389%12/11/2041 USD 5,135,000 4,717,079 0.03

58



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Morgan Stanley Capital I Trust, FRN,Series 2005-HQ7 Class C 5.19%14/11/2042 USD 8,230,000 7,387,992 0.05Morgan Stanley Capital I Trust, FRN,Series 2007-HQ11 Class AJ 5.508%12/02/2044 USD 9,525,000 8,823,668 0.06Morgan Stanley Capital I Trust, FRN,Series 2007-HQ11 Class B 5.538%12/02/2044 USD 5,300,000 4,797,336 0.03Morgan Stanley Capital I Trust, FRN,Series 2006-HQ8 Class C 5.498%12/03/2044 USD 7,685,000 6,844,039 0.05Morgan Stanley Capital I Trust, FRN,Series 2006-HQ9 Class D 5.862%12/07/2044 USD 3,175,000 2,895,551 0.02Morgan Stanley Mortgage Loan Trust,Series 2006-2 Class 1A 5.25%25/02/2021 USD 3,710,041 3,214,285 0.02Morgan Stanley Mortgage Loan Trust,FRN, Series 2004-8AR Class 4A12.445% 25/10/2034 USD 1,375,588 1,218,515 0.01Morgan Stanley Mortgage Loan Trust,FRN, Series 2004-9 Class 1A 5.572%25/11/2034 USD 386,177 358,637 0.00Morgan Stanley Mortgage Loan Trust,Series 2005-4 Class 1A 5% 25/08/2035 USD 74,033 67,726 0.00MortgageIT Trust, FRN, Series 2005-3Class A1 0.485% 25/08/2035 USD 16,656,523 14,063,585 0.10MortgageIT Trust, FRN, Series 2005-5Class A1 0.445% 25/12/2035 USD 3,319,197 2,702,566 0.02MPG Holdco I, Inc. 7.375% 15/10/2022 USD 10,520,000 10,027,771 0.07MPH Acquisition Holdings LLC, 144A6.625% 01/04/2022 USD 5,530,000 5,055,464 0.04MSCI, Inc., 144A 5.25% 15/11/2024 USD 1,861,000 1,686,682 0.01MTR Gaming Group, Inc. 11.5%01/08/2019 USD 1,575,000 1,492,868 0.01Mustang Merger Corp., 144A 8.5%15/08/2021 USD 812,000 739,566 0.01NAI Entertainment Holdings, 144A 5%01/08/2018 USD 318,000 290,684 0.00National Financial Partners Corp., 144A9% 15/07/2021 USD 2,845,000 2,534,054 0.02Navient Corp. 8% 25/03/2020 USD 4,178,000 4,173,766 0.03Navient Corp. 5.875% 25/03/2021 USD 4,875,000 4,368,477 0.03Navient Corp. 7.25% 25/01/2022 USD 412,000 392,290 0.00NCI Building Systems, Inc., 144A 8.25%15/01/2023 USD 2,100,000 2,006,429 0.01Neiman Marcus Group Ltd. LLC, 144A8% 15/10/2021 USD 4,123,000 3,920,881 0.03Neiman Marcus Group Ltd. LLC, 144A8.75% 15/10/2021 USD 5,500,000 5,285,628 0.04Netflix, Inc. 5.375% 01/02/2021 USD 1,200,000 1,118,912 0.01Netflix, Inc., 144A 5.5% 15/02/2022 USD 2,815,000 2,607,878 0.02Netflix, Inc. 5.75% 01/03/2024 USD 3,620,000 3,369,810 0.02Netflix, Inc., 144A 5.875% 15/02/2025 USD 815,000 758,636 0.01New Century Home Equity Loan Trust,FRN, Series 2003-3 Class M1 1.372%25/07/2033 USD 726,953 623,687 0.00New Century Home Equity Loan Trust,FRN, Series 2003-B Class M2 2.66%25/11/2033 USD 395,764 339,071 0.00New Century Home Equity Loan Trust,FRN, Series 2004-2 Class M2 1.117%25/08/2034 USD 80,721 66,555 0.00New Century Home Equity Loan Trust,FRN, Series 2004-2 Class M4 1.987%25/08/2034 USD 1,715,878 1,424,639 0.01New Century Home Equity Loan Trust,FRN, Series 2004-2 Class M6 2.437%25/08/2034 USD 613,614 504,110 0.00New Century Home Equity Loan Trust,FRN, Series 2004-3 Class M2 1.162%25/11/2034 USD 3,041,243 2,610,346 0.02New Century Home Equity Loan Trust,FRN, Series 2004-3 Class M3 1.252%25/11/2034 USD 484,582 365,670 0.00New Century Home Equity Loan Trust,FRN, Series 2004-4 Class M2 0.982%25/02/2035 USD 215,174 168,785 0.00New Century Home Equity Loan Trust,FRN, Series 2005-1 Class M3 0.967%25/03/2035 USD 76,024 55,536 0.00Nexstar Broadcasting, Inc. 6.875%15/11/2020 USD 9,768,000 9,223,735 0.06Nexstar Broadcasting, Inc., 144A6.125% 15/02/2022 USD 4,515,000 4,102,163 0.03NGL Energy Partners LP 5.125%15/07/2019 USD 453,000 405,512 0.00NGL Energy Partners LP 6.875%15/10/2021 USD 656,000 614,665 0.00Nielsen Finance LLC, 144A 5%15/04/2022 USD 12,283,000 10,787,302 0.07

NII Capital Corp. 7.625% 01/04/2021§ USD 4,919,000 1,092,599 0.01Nomura Asset Acceptance Corp., STEP,Series 2005-WF1 Class 2A5 5.159%25/03/2035 USD 54,549 50,124 0.00Northwest Airlines, Inc. Pass ThroughTrust, Series 2007-1 Class A 7.027%01/05/2021 USD 283,845 290,460 0.00NovaStar Mortgage Funding Trust,FRN, Series 2003-3 Class M2 2.662%25/12/2033 USD 788,057 693,030 0.01NovaStar Mortgage Funding Trust,FRN, Series 2004-2 Class M4 1.987%25/09/2034 USD 5,390,000 4,289,702 0.03NRG Energy, Inc. 6.625% 15/03/2023 USD 3,048,000 2,817,719 0.02Nuance Communications, Inc., 144A5.375% 15/08/2020 USD 1,511,000 1,359,347 0.01NWH Escrow Corp., 144A 7.5%01/08/2021 USD 1,610,000 1,371,138 0.01Option One Mortgage Accept Corp.,FRN, Series 2002-6 Class A1 0.945%25/11/2032 USD 5,248,146 4,480,335 0.03Option One Mortgage Accept Corp.,FRN, Series 2002-6 Class A2 0.985%25/11/2032 USD 651,492 548,280 0.00Option One Mortgage Accept Corp.,FRN, Series 2003-2 Class M1 1.162%25/04/2033 USD 1,951,872 1,567,516 0.01Option One Mortgage Accept Corp.,FRN, Series 2003-3 Class M1A 1.745%25/06/2033 USD 619,338 522,105 0.00Option One Mortgage Accept Corp.,FRN, Series 2003-5 Class A2 0.827%25/08/2033 USD 411,808 350,008 0.00Option One Mortgage Accept Corp.,FRN, Series 2003-5 Class A1 0.827%25/08/2033 USD 5,042,960 4,273,038 0.03Option One Mortgage Accept Corp.,FRN, Series 2003-5 Class M1 1.162%25/08/2033 USD 2,802,165 2,299,079 0.02Option One Mortgage Accept Corp.,FRN, Series 2003-5 Class M2 2.512%25/08/2033 USD 305,223 249,183 0.00Option One Mortgage Loan Trust, FRN,Series 2002-3 Class A1 0.685%25/08/2032 USD 4,619,846 3,911,098 0.03Option One Mortgage Loan Trust, FRN,Series 2002-3 Class A2 0.725%25/08/2032 USD 697,559 573,448 0.00Option One Mortgage Loan Trust, FRN,Series 2003-1 Class A2 1.025%25/02/2033 USD 1,259,678 1,054,765 0.01Option One Mortgage Loan Trust, FRN,Series 2004-2 Class M1 0.98%25/05/2034 USD 5,384,606 4,473,093 0.03Option One Mortgage Loan Trust, FRN,Series 2004-3 Class M2 1.04%25/11/2034 USD 582,774 487,160 0.00Outfront Media Capital LLC 5.25%15/02/2022 USD 2,012,000 1,830,428 0.01Outfront Media Capital LLC 5.625%15/02/2024 USD 2,775,000 2,547,839 0.02Outfront Media Capital LLC, 144A5.625% 15/02/2024 USD 2,430,000 2,234,932 0.02Outfront Media Capital LLC 5.875%15/03/2025 USD 685,000 637,407 0.00Owens-Brockway Glass Container, Inc.,144A 5% 15/01/2022 USD 1,720,000 1,518,573 0.01Owens-Brockway Glass Container, Inc.,144A 5.375% 15/01/2025 USD 621,000 541,344 0.00Par Pharmaceutical Cos, Inc. 7.375%15/10/2020 USD 1,643,000 1,566,124 0.01Parker Drilling Co. 7.5% 01/08/2020 USD 615,000 502,478 0.00Parker Drilling Co. 6.75% 15/07/2022 USD 2,395,000 1,848,677 0.01Party City Holdings, Inc. 8.875%01/08/2020 USD 10,595,000 10,122,913 0.07PBF Logistics LP, 144A 6.875%15/05/2023 USD 1,172,000 1,056,987 0.01Peabody Energy Corp., 144A 10%15/03/2022 USD 4,660,000 2,624,085 0.02Penn Virginia Resource Partners LP8.375% 01/06/2020 USD 77,000 74,686 0.00People’s Choice Home Loan SecuritiesTrust, FRN, Series 2004-2 Class M31.912% 25/10/2034 USD 1,050,705 640,188 0.00Petco Animal Supplies, Inc., 144A9.25% 01/12/2018 USD 4,975,000 4,642,267 0.03PHI, Inc. 5.25% 15/03/2019 USD 1,635,000 1,365,055 0.01Pilgrim’s Pride Corp., 144A 5.75%15/03/2025 USD 1,789,000 1,605,451 0.01Pittsburgh Glass Works LLC, 144A 8%15/11/2018 USD 1,744,000 1,635,146 0.01

59



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Plantronics, Inc., 144A 5.5%31/05/2023 USD 7,513,000 6,792,493 0.05Platform Specialty Products Corp.,144A 6.5% 01/02/2022 USD 1,383,000 1,284,329 0.01PNC Financial Services Group, Inc.(The), FRN 4.85% Perpetual USD 15,415,000 13,123,604 0.09PNC Financial Services Group, Inc.(The), FRN 6.75% Perpetual USD 5,264,000 5,232,531 0.04Polymer Group, Inc. 7.75% 01/02/2019 USD 9,402,000 8,675,967 0.06PolyOne Corp. 5.25% 15/03/2023 USD 4,794,000 4,273,034 0.03Post Holdings, Inc., 144A 6.75%01/12/2021 USD 2,746,000 2,452,005 0.02Post Holdings, Inc., 144A 6%15/12/2022 USD 2,800,000 2,412,716 0.02Prestige Brands, Inc., 144A 5.375%15/12/2021 USD 1,825,000 1,637,758 0.01Prince Mineral Holding Corp., 144A11.5% 15/12/2019 USD 1,000,000 841,593 0.01Progress Residential Trust, FRN, Series2014-SFR1 Class A 144A 1.283%17/10/2031 USD 7,900,000 6,988,668 0.05Progress Residential Trust, FRN, Series2014-SFR1 Class E 144A 4.333%17/10/2031 USD 3,325,000 3,010,656 0.02Project Homestake Merger Corp., 144A8.875% 01/03/2023 USD 8,150,000 7,113,693 0.05Prudential Financial, Inc., FRN 5.875%15/09/2042 USD 15,385,000 14,557,434 0.10Prudential Financial, Inc., FRN 5.625%15/06/2043 USD 31,673,000 29,363,635 0.20Prudential Financial, Inc., FRN 5.2%15/03/2044 USD 17,708,000 15,682,467 0.11Quicken Loans, Inc., 144A 5.75%01/05/2025 USD 1,621,000 1,386,658 0.01Quintiles Transnational Corp., 144A4.875% 15/05/2023 USD 1,675,000 1,510,626 0.01Radio Systems Corp., 144A 8.375%01/11/2019 USD 1,707,000 1,630,940 0.01Rain CII Carbon LLC, 144A 8%01/12/2018 USD 2,130,000 1,868,671 0.01Rain CII Carbon LLC, 144A 8.25%15/01/2021 USD 2,963,000 2,559,784 0.02RALI Trust, Series 2003-QS20 Class CB5% 25/11/2018 USD 33,075 30,279 0.00RALI Trust, FRN, Series 2004-QA3Class CB2 3.479% 25/08/2034 USD 4,945,231 4,522,557 0.03RALI Trust, FRN, Series 2004-QS15Class A2 0.585% 25/11/2034 USD 163,651 141,969 0.00RALI Trust, Series 2005-QS2 Class A15.5% 25/02/2035 USD 221,443 198,514 0.00RALI Trust, Series 2005-QS6 Class A15% 25/05/2035 USD 7,199,387 5,746,961 0.04RALI Trust, Series 2005-QS17 Class A36% 25/12/2035 USD 418,791 336,733 0.00RALI Trust, Series 2006-QS1 Class A75.75% 25/01/2036 USD 5,429,512 4,312,979 0.03RALI Trust, Series 2006-QS4 Class A26% 25/04/2036 USD 878,713 683,240 0.00RAMP Trust, FRN, Series 2002-RS2Class AI5 6.03% 25/03/2032 USD 496,099 439,519 0.00RAMP Trust, FRN, Series 2004-RS9Class MII1 1.162% 25/09/2034 USD 2,550,119 2,158,520 0.02RAMP Trust, FRN, Series 2004-RS11Class M1 1.115% 25/11/2034 USD 58,055 51,228 0.00Range Resources Corp., 144A 4.875%15/05/2025 USD 4,000,000 3,477,989 0.02RASC Trust, FRN, Series 2001-KS3 ClassAII 0.647% 25/09/2031 USD 1,574,390 1,319,894 0.01RASC Trust, FRN, Series 2005-KS2Class M1 0.83% 25/03/2035 USD 521,638 428,252 0.00RASC Trust, FRN, Series 2006-KS5Class A3 0.347% 25/07/2036 USD 2,650,992 2,284,929 0.02RASC Trust, FRN, Series 2006-KS7Class A3 0.335% 25/09/2036 USD 271,807 237,821 0.00RCN Telecom Services LLC, 144A 8.5%15/08/2020 USD 1,289,000 1,215,739 0.01Realogy Group LLC, 144A 7.625%15/01/2020 USD 2,120,000 2,023,172 0.01Realogy Group LLC, 144A 5.25%01/12/2021 USD 4,700,000 4,291,232 0.03Regency Energy Partners LP 5.75%01/09/2020 USD 200,000 194,389 0.00Regency Energy Partners LP 6.5%15/07/2021 USD 2,190,000 2,083,619 0.01Regency Energy Partners LP 5.875%01/03/2022 USD 1,043,000 996,378 0.01Regency Energy Partners LP 5%01/10/2022 USD 1,732,000 1,574,212 0.01Regency Energy Partners LP 5.5%15/04/2023 USD 3,700,000 3,369,481 0.02Regency Energy Partners LP 4.5%01/11/2023 USD 1,750,000 1,512,784 0.01

Renaissance Home Equity Loan Trust,FRN, Series 2002-3 Class M1 1.685%25/12/2032 USD 4,009,755 3,503,612 0.02Renaissance Home Equity Loan Trust,FRN, Series 2003-1 Class M1 1.685%25/06/2033 USD 1,038,959 826,442 0.01Renaissance Home Equity Loan Trust,FRN, Series 2003-2 Class A 1.061%25/08/2033 USD 302,761 256,109 0.00Renaissance Home Equity Loan Trust,FRN, Series 2003-3 Class A 0.685%25/12/2033 USD 2,442,977 2,085,250 0.01Renaissance Home Equity Loan Trust,FRN, Series 2003-3 Class M1 0.915%25/12/2033 USD 1,245,010 1,016,312 0.01Renaissance Home Equity Loan Trust,STEP, Series 2003-3 Class M2F 5.681%25/12/2033 USD 648,387 538,942 0.00Renaissance Home Equity Loan Trust,FRN, Series 2003-4 Class M1 1.035%25/03/2034 USD 2,172,612 1,784,547 0.01Renaissance Home Equity Loan Trust,STEP, Series 2003-4 Class M2F 5.744%25/03/2034 USD 789,010 599,808 0.00Renaissance Home Equity Loan Trust,FRN, Series 2004-1 Class AV3 0.655%25/05/2034 USD 7,616,003 6,597,683 0.05Renaissance Home Equity Loan Trust,STEP, Series 2005-1 Class AF6 4.97%25/05/2035 USD 1,249,204 1,135,463 0.01Renaissance Home Equity Loan Trust,FRN, Series 2005-2 Class AV3 0.555%25/08/2035 USD 361,591 293,682 0.00Renaissance Home Equity Loan Trust,STEP, Series 2005-4 Class A3 5.565%25/02/2036 USD 517,702 453,586 0.00Residential Asset Securitization Trust,Series 2004-A6 Class A1 5%25/08/2019 USD 207,954 190,971 0.00Residential Asset Securitization Trust,Series 2004-A8 Class A1 5.25%25/11/2034 USD 414,315 375,970 0.00Residential Asset Securitization Trust,Series 2005-A3 Class A2 5.5%25/04/2035 USD 1,224,218 1,005,637 0.01Residential Asset Securitization Trust,Series 2005-A8CB Class A11 6%25/07/2035 USD 1,470,027 1,218,227 0.01Residential Asset Securitization Trust,Series 2005-A14 Class A1 5.5%25/12/2035 USD 89,507 70,140 0.00Revlon Consumer Products Corp.5.75% 15/02/2021 USD 863,000 759,011 0.01Reynolds Group Issuer, Inc. 7.125%15/04/2019 USD 2,778,000 2,559,722 0.02Reynolds Group Issuer, Inc. 6.875%15/02/2021 USD 5,360,000 5,000,226 0.03Reynolds Group Issuer, Inc. 8.25%15/02/2021 USD 1,950,000 1,825,407 0.01RFMSI Trust, Series 2004-S9 Class 2A14.75% 25/12/2019 USD 927,006 834,749 0.01RFMSI Trust, Series 2005-S1 Class 2A14.75% 25/02/2020 USD 540,988 497,722 0.00RFMSI Trust, Series 2006-S10 Class 2A15.5% 25/10/2021 USD 67,749 60,044 0.00RFMSI Trust, Series 2005-S7 Class A65.5% 25/11/2035 USD 544,232 488,570 0.00RFMSI Trust, Series 2006-S12 Class 2A26% 25/12/2036 USD 119,673 104,611 0.00RHP Hotel Properties LP, REIT, 144A5% 15/04/2023 USD 4,095,000 3,583,445 0.03Rice Energy, Inc., 144A 7.25%01/05/2023 USD 3,320,000 3,053,487 0.02Rite Aid Corp. 6.75% 15/06/2021 USD 775,000 728,530 0.01Rite Aid Corp., 144A 6.125%01/04/2023 USD 15,987,000 14,721,488 0.10Rivers Pittsburgh Borrower LP, 144A9.5% 15/06/2019 USD 748,000 702,982 0.01Rockwood Specialties Group, Inc.4.625% 15/10/2020 USD 2,500,000 2,314,247 0.02Rose Rock Midstream LP, 144A 5.625%15/11/2023 USD 1,431,818 1,246,560 0.01Rosetta Resources, Inc. 5.625%01/05/2021 USD 2,951,000 2,778,773 0.02Rosetta Resources, Inc. 5.875%01/06/2022 USD 2,550,000 2,413,438 0.02Rosetta Resources, Inc. 5.875%01/06/2024 USD 2,393,000 2,279,109 0.02RR Donnelley & Sons Co. 7.625%15/06/2020 USD 739,000 755,029 0.01RR Donnelley & Sons Co. 7.875%15/03/2021 USD 200,000 202,771 0.00

60



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

RR Donnelley & Sons Co. 7%15/02/2022 USD 750,000 727,846 0.01RR Donnelley & Sons Co. 6.5%15/11/2023 USD 645,000 602,585 0.00RSP Permian, Inc., 144A 6.625%01/10/2022 USD 595,000 545,908 0.00Sabine Oil & Gas Corp. 9.75%15/02/2017 USD 489,000 70,955 0.00Sabine Pass Liquefaction LLC 5.625%01/02/2021 USD 5,989,000 5,473,205 0.04Sabine Pass Liquefaction LLC 6.25%15/03/2022 USD 6,918,000 6,405,436 0.04Sabine Pass Liquefaction LLC 5.625%15/04/2023 USD 12,196,000 10,843,866 0.08Sabine Pass Liquefaction LLC 5.75%15/05/2024 USD 890,000 791,853 0.01Sabine Pass Liquefaction LLC, 144A5.625% 01/03/2025 USD 2,268,000 1,997,325 0.01Sabre GLBL, Inc., 144A 5.375%15/04/2023 USD 7,401,000 6,526,018 0.05Sanchez Energy Corp. 7.75%15/06/2021 USD 2,027,000 1,803,232 0.01Sanmina Corp., 144A 4.375%01/06/2019 USD 557,000 501,718 0.00SASCO Mortgage Loan Trust, FRN,Series 2004-GEL3 Class M1 1.76%25/08/2034 USD 2,004,095 1,702,029 0.01Saxon Asset Securities Trust, FRN,Series 2003-3 Class M1 1.156%25/12/2033 USD 3,794,782 3,213,299 0.02Saxon Asset Securities Trust, FRN,Series 2004-2 Class MV2 1.981%25/08/2035 USD 1,025,815 875,154 0.01Saxon Asset Securities Trust, FRN,Series 2004-2 Class AF3 4.727%25/08/2035 USD 813,215 735,285 0.01SBA Communications Corp. 4.875%15/07/2022 USD 2,141,000 1,866,373 0.01SBA Telecommunications, Inc. 5.75%15/07/2020 USD 7,044,000 6,519,018 0.05Scientific Games International, Inc.,144A 7% 01/01/2022 USD 1,170,000 1,082,869 0.01Scientific Games International, Inc.10% 01/12/2022 USD 7,130,000 6,140,815 0.04Sealed Air Corp., 144A 6.5%01/12/2020 USD 960,000 948,770 0.01Sealed Air Corp., 144A 4.875%01/12/2022 USD 460,000 405,103 0.00Sealed Air Corp., 144A 5.25%01/04/2023 USD 417,000 376,078 0.00Sealed Air Corp., 144A 5.125%01/12/2024 USD 1,460,000 1,282,503 0.01Securitized Asset-Backed ReceivablesLLC Trust, FRN, Series 2004-NC1 ClassM1 0.965% 25/02/2034 USD 1,244,097 1,041,236 0.01Securitized Asset-Backed ReceivablesLLC Trust, FRN, Series 2004-OP1 ClassM2 1.835% 25/02/2034 USD 886,766 767,865 0.01Securitized Asset-Backed ReceivablesLLC Trust, FRN, Series 2004-OP2 ClassM1 1.16% 25/08/2034 USD 11,114,538 9,288,217 0.06Securitized Asset-Backed ReceivablesLLC Trust, FRN, Series 2005-OP1 ClassM2 0.862% 25/01/2035 USD 7,089,397 6,000,951 0.04Securitized Asset-Backed ReceivablesLLC Trust, FRN, Series 2005-FR2 ClassM2 1.162% 25/03/2035 USD 4,228,093 3,595,137 0.03Seminole Hard Rock Entertainment,Inc., 144A 5.875% 15/05/2021 USD 4,440,000 4,004,286 0.03Sequoia Mortgage Trust, FRN, Series2007-3 Class 1A1 0.387% 20/07/2036 USD 472,231 395,417 0.00Serta Simmons Holdings LLC, 144A8.125% 01/10/2020 USD 21,700,000 20,660,439 0.14Service Corp. International 6.75%01/04/2016 USD 470,000 432,267 0.00Service Corp. International 7%15/06/2017 USD 19,000 18,381 0.00Service Corp. International 5.375%15/01/2022 USD 6,097,000 5,729,841 0.04Shearer’s Foods LLC, 144A 9%01/11/2019 USD 1,095,000 1,058,432 0.01Shingle Springs Tribal GamingAuthority, 144A 9.75% 01/09/2021 USD 3,670,000 3,653,942 0.03Signode Industrial Group Lux SA, 144A6.375% 01/05/2022 USD 1,855,000 1,623,270 0.01Sinclair Television Group, Inc. 5.375%01/04/2021 USD 12,050,000 10,858,289 0.08Sinclair Television Group, Inc. 6.125%01/10/2022 USD 1,929,000 1,775,381 0.01Sinclair Television Group, Inc., 144A5.625% 01/08/2024 USD 4,575,000 4,022,397 0.03

Sirius XM Radio, Inc., 144A 4.25%15/05/2020 USD 3,073,000 2,719,985 0.02Sirius XM Radio, Inc., 144A 5.875%01/10/2020 USD 3,115,000 2,871,897 0.02Sirius XM Radio, Inc., 144A 5.75%01/08/2021 USD 6,155,000 5,667,778 0.04Sirius XM Radio, Inc., 144A 4.625%15/05/2023 USD 728,000 611,867 0.00Sirius XM Radio, Inc., 144A 6%15/07/2024 USD 15,452,000 13,935,638 0.10Sirius XM Radio, Inc., 144A 5.375%15/04/2025 USD 583,000 503,468 0.00SITEL LLC, 144A 11% 01/08/2017 USD 265,000 242,544 0.00SITEL LLC 11.5% 01/04/2018 USD 2,451,000 1,958,787 0.01Six Flags Entertainment Corp., 144A5.25% 15/01/2021 USD 3,260,000 2,983,749 0.02Smithfield Foods, Inc. 7.75%01/07/2017 USD 410,000 403,165 0.00Smithfield Foods, Inc., 144A 5.25%01/08/2018 USD 2,791,000 2,543,277 0.02Smithfield Foods, Inc., 144A 5.875%01/08/2021 USD 8,294,000 7,628,199 0.05Smithfield Foods, Inc. 6.625%15/08/2022 USD 6,494,000 6,198,729 0.04Soundview Home Loan Trust, FRN,Series 2006-OPT3 Class 2A3 0.357%25/06/2036 USD 3,873,413 3,212,892 0.02Specialty Underwriting & ResidentialFinance Trust, FRN, Series 2004-BC1Class M2 1.792% 25/02/2035 USD 1,148,060 977,036 0.01Specialty Underwriting & ResidentialFinance Trust, FRN, Series 2004-BC3Class M1 1.117% 25/07/2035 USD 1,829,554 1,569,319 0.01Spectrum Brands, Inc. 6.375%15/11/2020 USD 2,175,000 2,054,219 0.01Spectrum Brands, Inc. 6.625%15/11/2022 USD 5,865,000 5,612,626 0.04Spectrum Brands, Inc., 144A 6.125%15/12/2024 USD 1,425,000 1,326,514 0.01Spectrum Brands, Inc., 144A 5.75%15/07/2025 USD 4,082,000 3,725,632 0.03Speedy Cash Intermediate HoldingsCorp., 144A 10.75% 15/05/2018 USD 300,000 255,157 0.00Sprint Communications, Inc., 144A 9%15/11/2018 USD 12,435,000 12,597,114 0.09Sprint Communications, Inc., 144A 7%01/03/2020 USD 9,810,000 9,526,186 0.07State Street Corp., FRN 5.25%Perpetual USD 16,140,000 14,512,958 0.10Station Casinos LLC 7.5% 01/03/2021 USD 3,785,000 3,608,931 0.03Steel Dynamics, Inc. 6.125%15/08/2019 USD 158,000 149,129 0.00Steel Dynamics, Inc. 5.125%01/10/2021 USD 2,700,000 2,416,957 0.02Steel Dynamics, Inc. 6.375%15/08/2022 USD 608,000 570,681 0.00Steel Dynamics, Inc. 5.25% 15/04/2023 USD 770,000 682,931 0.00Steel Dynamics, Inc. 5.5% 01/10/2024 USD 1,480,000 1,323,516 0.01Sterigenics-Nordion Holdings LLC,144A 6.5% 15/05/2023 USD 2,250,000 2,014,131 0.01Structured Adjustable Rate MortgageLoan Trust, FRN, Series 2004-20 Class3A1 2.456% 25/01/2035 USD 428,192 370,233 0.00Structured Adjustable Rate MortgageLoan Trust, FRN, Series 2005-1 Class1A1 2.531% 25/02/2035 USD 1,991,407 1,714,158 0.01Structured Adjustable Rate MortgageLoan Trust, FRN, Series 2005-1 Class5A1 2.535% 25/02/2035 USD 1,437,388 1,281,112 0.01Structured Asset Investment LoanTrust, FRN, Series 2003-BC3 Class M11.61% 25/04/2033 USD 148,066 130,953 0.00Structured Asset Investment LoanTrust, FRN, Series 2003-BC7 Class M11.312% 25/07/2033 USD 5,377,766 4,671,693 0.03Structured Asset Investment LoanTrust, FRN, Series 2003-BC11 Class M22.737% 25/10/2033 USD 1,721,388 1,524,146 0.01Structured Asset Investment LoanTrust, FRN, Series 2003-BC12 Class M11.16% 25/11/2033 USD 1,359,308 1,143,245 0.01Structured Asset Investment LoanTrust, FRN, Series 2004-1 Class M11.16% 25/02/2034 USD 1,167,836 1,002,232 0.01Structured Asset Investment LoanTrust, FRN, Series 2004-1 Class M22.885% 25/02/2034 USD 20 18 0.00Structured Asset Investment LoanTrust, FRN, Series 2004-5 Class M31.117% 25/05/2034 USD 4,943,993 4,114,984 0.03

61



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Structured Asset Investment LoanTrust, FRN, Series 2004-6 Class A30.985% 25/07/2034 USD 13,640,571 11,562,440 0.08Structured Asset Investment LoanTrust, FRN, Series 2004-6 Class M11.087% 25/07/2034 USD 3,161,147 2,620,971 0.02Structured Asset Investment LoanTrust, FRN, Series 2004-7 Class M11.235% 25/08/2034 USD 1,026,211 859,733 0.01Structured Asset Investment LoanTrust, FRN, Series 2004-8 Class M21.117% 25/09/2034 USD 195,360 155,863 0.00Structured Asset Investment LoanTrust, FRN, Series 2004-BNC1 Class A51.427% 25/09/2034 USD 619,563 528,475 0.00Structured Asset Investment LoanTrust, FRN, Series 2005-HE2 Class M10.907% 25/07/2035 USD 5,025,000 4,248,681 0.03Structured Asset Securities Corp., FRN,Series 2003-32 Class 5A1 5.841%25/11/2033 USD 633,146 602,863 0.00Structured Asset Securities Corp.Mortgage Loan Trust, FRN, Series2003-31A Class 2A1 2.437%25/10/2033 USD 1,155,611 1,017,917 0.01Structured Asset Securities Corp.Mortgage Loan Trust, FRN, Series2003-35 Class B1 5.534% 25/12/2033 USD 319,160 238,909 0.00Structured Asset Securities Corp.Mortgage Loan Trust, FRN, Series2004-10 Class 1A1 5.436% 25/06/2034 USD 6,281,452 5,821,180 0.04Structured Asset Securities Corp.Mortgage Loan Trust, FRN, Series2006-BC4 Class A4 0.355%25/12/2036 USD 5,512,939 4,318,543 0.03Structured Asset Securities Corp. Trust,Series 2005-6 Class 5A2 5%25/05/2035 USD 554,969 508,048 0.00Structured Asset Securities Corp. Trust,Series 2005-6 Class 2A3 5.5%25/05/2035 USD 222,209 204,457 0.00Summit Materials LLC, 144A 6.125%15/07/2023 USD 1,840,000 1,659,434 0.01Summit Midstream Holdings LLC 7.5%01/07/2021 USD 870,000 819,582 0.01SunCoke Energy Partners LP, 144A7.375% 01/02/2020 USD 650,000 592,743 0.00SunGard Data Systems, Inc. 7.375%15/11/2018 USD 3,270,000 3,032,685 0.02SunGard Data Systems, Inc. 6.625%01/11/2019 USD 2,980,000 2,756,507 0.02SunGard Data Systems, Inc. 7.625%15/11/2020 USD 1,883,000 1,764,234 0.01Sunoco LP, 144A 6.375% 01/04/2023 USD 4,000,000 3,723,547 0.03SunTrust Banks, Inc., FRN 5.625%Perpetual USD 14,870,000 13,367,598 0.09Talen Energy Supply LLC, 144A 5.125%15/07/2019 USD 893,000 785,432 0.01Talen Energy Supply LLC, 144A 6.5%01/06/2025 USD 3,451,000 3,093,081 0.02Talos Production LLC, 144A 9.75%15/02/2018 USD 1,462,000 1,152,081 0.01Targa Resources Partners LP, 144A 5%15/01/2018 USD 1,385,000 1,277,820 0.01Targa Resources Partners LP 4.25%15/11/2023 USD 3,850,000 3,207,577 0.02Taylor Morrison Communities, Inc.,144A 5.875% 15/04/2023 USD 2,105,000 1,856,137 0.01TEGNA, Inc., 144A 4.875% 15/09/2021 USD 3,350,000 2,976,382 0.02TEGNA, Inc., 144A 5.5% 15/09/2024 USD 2,345,000 2,078,233 0.01Tenet Healthcare Corp., 144A 5%01/03/2019 USD 2,040,000 1,819,588 0.01Tenet Healthcare Corp., 144A 5.5%01/03/2019 USD 4,073,000 3,673,065 0.03Tenet Healthcare Corp. 6.75%01/02/2020 USD 8,442,000 7,945,762 0.06Tenet Healthcare Corp. 6% 01/10/2020 USD 8,621,000 8,173,515 0.06Tenet Healthcare Corp. 4.375%01/10/2021 USD 2,037,000 1,776,668 0.01Tenet Healthcare Corp., 144A 6.75%15/06/2023 USD 2,655,000 2,403,203 0.02TerraForm Power Operating LLC, 144A5.875% 01/02/2023 USD 1,043,000 949,960 0.01Tesoro Logistics LP, 144A 5.5%15/10/2019 USD 953,000 891,390 0.01Tesoro Logistics LP, 144A 6.25%15/10/2022 USD 2,764,000 2,603,822 0.02Texas Competitive Electric Holdings Co.LLC, 144A 11.5% 01/10/2020§ USD 30,147,000 16,690,009 0.12Tops Holding LLC, 144A 8%15/06/2022 USD 2,210,000 1,980,268 0.01

Tribune Media Co., 144A 5.875%15/07/2022 USD 3,260,000 2,932,807 0.02Tronox Finance LLC, 144A 7.5%15/03/2022 USD 1,303,000 1,111,139 0.01UAL Pass Through Trust, Series 2007-16.636% 02/01/2024 USD 951,343 911,077 0.01UCI International, Inc. 8.625%15/02/2019 USD 1,925,000 1,538,419 0.01Unifrax I LLC, 144A 7.5% 15/02/2019 USD 1,950,000 1,762,992 0.01United Rentals North America, Inc.4.625% 15/07/2023 USD 3,253,000 2,851,538 0.02United Rentals North America, Inc.5.5% 15/07/2025 USD 2,121,000 1,839,213 0.01United Surgical Partners International,Inc. 9% 01/04/2020 USD 5,122,000 4,882,342 0.03Univar USA, Inc., 144A 6.75%15/07/2023 USD 2,350,000 2,119,386 0.01Universal Health Services, Inc., 144A3.75% 01/08/2019 USD 305,000 275,410 0.00Universal Health Services, Inc., 144A4.75% 01/08/2022 USD 445,000 406,297 0.00Univision Communications, Inc., 144A8.5% 15/05/2021 USD 1,415,000 1,339,316 0.01Univision Communications, Inc., 144A6.75% 15/09/2022 USD 3,964,000 3,774,101 0.03Univision Communications, Inc., 144A5.125% 15/05/2023 USD 8,135,000 7,064,281 0.05Univision Communications, Inc., 144A5.125% 15/02/2025 USD 2,145,000 1,845,918 0.01US Airways Pass Through Trust Class B5.375% 15/11/2021 USD 6,477,302 5,928,418 0.04US Concrete, Inc. 8.5% 01/12/2018 USD 1,210,000 1,145,281 0.01USG Corp., 144A 7.875% 30/03/2020 USD 32,000 30,717 0.00USG Corp., 144A 5.5% 01/03/2025 USD 953,000 846,003 0.01USI, Inc., 144A 7.75% 15/01/2021 USD 2,853,000 2,598,500 0.02Valeant Pharmaceuticals International,Inc., 144A 7% 01/10/2020 USD 5,845,000 5,450,949 0.04Valeant Pharmaceuticals International,Inc., 144A 6.375% 15/10/2020 USD 5,125,000 4,827,998 0.03Valeant Pharmaceuticals International,Inc., 144A 6.75% 15/08/2021 USD 14,295,000 13,338,937 0.09Valeant Pharmaceuticals International,Inc., 144A 7.25% 15/07/2022 USD 19,909,000 18,977,461 0.13VeriSign, Inc. 4.625% 01/05/2023 USD 1,080,000 927,528 0.01VeriSign, Inc., 144A 5.25% 01/04/2025 USD 1,462,000 1,302,210 0.01Voya Financial, Inc., FRN 5.65%15/05/2053 USD 19,039,000 17,299,242 0.12VWR Funding, Inc. 7.25% 15/09/2017 USD 1,273,000 1,177,914 0.01Wachovia Bank Commercial MortgageTrust, FRN, Series 2006-C24 Class AJ5.658% 15/03/2045 USD 5,000,000 4,512,593 0.03Wachovia Bank Commercial MortgageTrust, FRN, Series 2007-C34 Class AJ5.948% 15/05/2046 USD 5,000,000 4,673,268 0.03Wachovia Bank Commercial MortgageTrust, FRN, Series 2007-C31 Class AJ5.66% 15/04/2047 USD 7,350,000 6,751,309 0.05Wachovia Bank Commercial MortgageTrust, FRN, Series 2006-C29 Class AJ5.368% 15/11/2048 USD 2,480,902 2,245,725 0.02Wachovia Bank Commercial MortgageTrust, FRN, Series 2007-C33 Class B5.951% 15/02/2051 USD 1,605,000 1,443,517 0.01Wachovia Bank Commercial MortgageTrust, FRN, Series 2007-C33 Class AJ5.951% 15/02/2051 USD 2,830,000 2,603,714 0.02WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series2004-AR11 Class A 2.431% 25/10/2034 USD 1,978,968 1,789,764 0.01WaMu Mortgage Pass-ThroughCertificates Trust, Series 2005-1 Class1A3 5.5% 25/03/2035 USD 618,011 539,843 0.00WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series2005-AR5 Class A6 2.474%25/05/2035 USD 5,151,348 4,602,593 0.03WaMu Mortgage Pass-ThroughCertificates Trust, Series 2005-4 ClassCB7 5.5% 25/06/2035 USD 418,419 346,246 0.00WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series2005-AR7 Class A3 2.368%25/08/2035 USD 541,623 483,288 0.00WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series2005-AR16 Class 1A1 2.338%25/12/2035 USD 1,593,898 1,357,071 0.01WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series2005-AR14 Class 1A4 2.344%25/12/2035 USD 5,037,003 4,360,332 0.03

62



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series2005-AR14 Class 1A3 2.344%25/12/2035 USD 6,828,275 5,893,986 0.04WaMu Mortgage Pass-ThroughCertificates Trust, Series 2005-10 Class4CB1 5.75% 25/12/2035 USD 598,486 510,341 0.00WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series2005-AR18 Class 1A3A 2.353%25/01/2036 USD 340,436 301,648 0.00WaMu Mortgage Pass-ThroughCertificates Trust, Series 2006-5 Class2CB5 6.5% 25/07/2036 USD 106,064 79,248 0.00WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series2004-AR10 Class A1B 0.605%25/07/2044 USD 4,654,855 4,014,872 0.03WCI Communities, Inc. 6.875%15/08/2021 USD 2,100,000 1,945,486 0.01Wells Enterprises, Inc., 144A 6.75%01/02/2020 USD 1,635,000 1,496,451 0.01Wells Fargo & Co., FRN 5.875%Perpetual USD 27,895,000 25,561,700 0.18Wells Fargo & Co., FRN 5.9% Perpetual USD 30,206,000 27,128,760 0.18Wells Fargo & Co., FRN 7.98%Perpetual USD 15,880,000 15,376,475 0.11Wells Fargo Home Equity Asset-BackedSecurities Trust, FRN, Series 2004-2Class M1 0.785% 25/10/2034 USD 4,257,974 3,691,197 0.03Wells Fargo Home Equity Asset-BackedSecurities Trust, FRN, Series 2004-2Class M5 1.435% 25/10/2034 USD 904,489 769,758 0.01Wells Fargo Home Equity Asset-BackedSecurities Trust, FRN, Series 2004-2Class M8A 144A 3.185% 25/10/2034 USD 183,231 155,449 0.00Wells Fargo Home Equity Asset-BackedSecurities Trust, FRN, Series 2004-2Class M8B 144A 5% 25/10/2034 USD 183,231 151,141 0.00Wells Fargo Home Equity Trust, FRN,Series 2004-1 Class M2 0.817%25/04/2034 USD 906,684 736,640 0.01Wells Fargo Home Equity Trust, FRN,Series 2004-1 Class M4 1.337%25/04/2034 USD 235,365 184,439 0.00Wells Fargo Mortgage BackedSecurities Trust, Series 2007-5 Class2A3 5.5% 25/05/2022 USD 21,827 19,865 0.00Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2004-NClass A7 2.594% 25/08/2034 USD 16,031,125 14,336,828 0.10Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2004-NClass A6 2.594% 25/08/2034 USD 14,537,377 13,000,951 0.09Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2004-MClass A1 2.617% 25/08/2034 USD 12,581,987 11,435,672 0.08Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2004-QClass 1A2 2.616% 25/09/2034 USD 573,572 518,242 0.00Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2004-DDClass 2A6 2.615% 25/01/2035 USD 656,194 584,913 0.00Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2004-DDClass 1A1 2.616% 25/01/2035 USD 15,833,175 14,165,525 0.10Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2004-BBClass A5 2.619% 25/01/2035 USD 2,415,667 2,182,862 0.02Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2005-AR2Class 3A1 2.614% 25/03/2035 USD 947,553 858,610 0.01Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2005-AR2Class 2A2 2.616% 25/03/2035 USD 3,101,771 2,825,034 0.02Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2005-AR4Class 2A2 2.632% 25/04/2035 USD 6,182,315 5,639,727 0.04Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2005-AR5Class 1A1 2.665% 25/04/2035 USD 4,384,589 3,921,014 0.03Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2005-AR7Class 2A1 2.74% 25/05/2035 USD 361,669 321,070 0.00Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2005-AR11Class 1A1 2.618% 25/06/2035 USD 1,275,536 1,130,597 0.01Wells Fargo Mortgage BackedSecurities Trust, FRN, Series2005-AR10 Class 1A1 2.646%25/06/2035 USD 4,071,949 3,724,904 0.03

Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2005-AR8Class 1A1 2.68% 25/06/2035 USD 4,719,976 4,199,371 0.03Wells Fargo Mortgage BackedSecurities Trust, FRN, Series2005-AR16 Class 6A3 2.66%25/10/2035 USD 3,919,639 3,520,315 0.02Wells Fargo Mortgage BackedSecurities Trust, FRN, Series2005-AR16 Class 7A1 5.236%25/10/2035 USD 873,137 769,599 0.01Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2006-AR2Class 2A3 2.617% 25/03/2036 USD 1,226,353 1,083,868 0.01Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2006-AR2Class 2A1 2.617% 25/03/2036 USD 2,077,705 1,850,879 0.01Wells Fargo Mortgage BackedSecurities Trust, FRN, Series 2006-AR6Class 5A1 2.652% 25/03/2036 USD 2,502,658 2,237,183 0.02Wells Fargo Mortgage BackedSecurities Trust, Series 2006-4 Class1A9 5.75% 25/04/2036 USD 1,471,647 1,361,791 0.01Wells Fargo Mortgage BackedSecurities Trust, FRN, Series2006-AR19 Class A3 5.568%25/12/2036 USD 639,733 554,807 0.00Wells Fargo Mortgage BackedSecurities Trust, Series 2007-2 Class3A2 5.25% 25/03/2037 USD 449,430 412,423 0.00Wells Fargo Mortgage BackedSecurities Trust, Series 2007-2 Class1A13 6% 25/03/2037 USD 132,153 116,372 0.00Wells Fargo Mortgage BackedSecurities Trust, Series 2007-15 ClassA1 6% 25/11/2037 USD 350,399 310,511 0.00West Corp., 144A 5.375% 15/07/2022 USD 2,245,000 1,891,882 0.01Western Refining Logistics LP, 144A7.5% 15/02/2023 USD 1,214,000 1,116,546 0.01Whiting Petroleum Corp., 144A 6.25%01/04/2023 USD 4,250,000 3,823,444 0.03Windstream Services LLC 7.75%15/10/2020 USD 6,500,000 5,714,388 0.04Windstream Services LLC 7.75%01/10/2021 USD 21,518,000 17,611,655 0.12Windstream Services LLC 7.5%01/06/2022 USD 973,000 768,500 0.01Windstream Services LLC 7.5%01/04/2023 USD 10,941,000 8,579,976 0.06Windstream Services LLC 6.375%01/08/2023 USD 1,640,000 1,198,435 0.01Wise Metals Group LLC, 144A 8.75%15/12/2018 USD 1,805,000 1,706,441 0.01WMG Acquisition Corp., 144A 6%15/01/2021 USD 5,623,000 5,146,509 0.04WMG Acquisition Corp., 144A 5.625%15/04/2022 USD 4,830,000 4,345,232 0.03WMG Acquisition Corp., 144A 6.75%15/04/2022 USD 4,359,000 3,717,158 0.03Woodside Homes Co. LLC, 144A 6.75%15/12/2021 USD 800,000 678,632 0.00WR Grace & Co. -Conn, 144A 5.125%01/10/2021 USD 991,000 898,174 0.01WR Grace & Co. -Conn, 144A 5.625%01/10/2024 USD 333,000 302,923 0.00Wynn Las Vegas LLC 5.375%15/03/2022 USD 3,465,000 3,160,269 0.02Wynn Las Vegas LLC, 144A 5.5%01/03/2025 USD 10,890,000 9,262,189 0.06Zayo Group LLC 10.125% 01/07/2020 USD 1,580,000 1,573,277 0.01Zayo Group LLC, 144A 6% 01/04/2023 USD 17,805,000 15,700,007 0.11Zayo Group LLC, 144A 6.375%15/05/2025 USD 1,150,000 998,638 0.01Zebra Technologies Corp., 144A 7.25%15/10/2022 USD 15,302,000 14,756,818 0.10ZF North America Capital, Inc., 144A4% 29/04/2020 USD 4,592,000 4,095,241 0.03ZF North America Capital, Inc., 144A4.5% 29/04/2022 USD 16,210,000 14,203,110 0.10ZF North America Capital, Inc., 144A4.75% 29/04/2025 USD 2,711,000 2,344,147 0.02

3,701,239,319 25.64

Venezuela, Bolivarian Republic ofPetroleos de Venezuela SA, Reg. S 6%15/11/2026 USD 27,296,445 8,608,898 0.06

8,608,898 0.06

63



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Virgin Islands, BritishSea Trucks Group Ltd., Reg. S, 144A9% 26/03/2018 USD 2,954,101 2,194,790 0.01

2,194,790 0.01

Total Bonds 4,203,881,109 29.12

Convertible Bonds

Cayman IslandsCtrip.com International Ltd., 144A 1%01/07/2020 USD 840,000 728,180 0.00Qihoo 360 Technology Co. Ltd. 2.5%15/09/2018 USD 1,000,000 877,868 0.01Qihoo 360 Technology Co. Ltd., 144A1.75% 15/08/2021 USD 1,200,000 985,529 0.01SINA Corp. 1% 01/12/2018 USD 1,081,000 924,801 0.01SouFun Holdings Ltd. 2% 15/12/2018 USD 799,000 683,135 0.00

4,199,513 0.03

NetherlandsFiat Chrysler Automobiles NV 7.875%15/12/2016 USD 47,300 5,437,262 0.04Yandex NV 1.125% 15/12/2018 USD 1,251,000 972,750 0.00

6,410,012 0.04

United States of AmericaAmerican Realty Capital Properties,Inc., REIT 3.75% 15/12/2020 USD 1,299,000 1,096,025 0.01Ares Capital Corp. 4.875% 15/03/2017 USD 858,000 792,143 0.01Ares Capital Corp. 4.75% 15/01/2018 USD 2,351,000 2,154,401 0.01Centerpoint Energy, Inc., STEP 3.943%15/09/2029 USD 21,473 1,330,295 0.01Cheniere Energy, Inc. 4.25%15/03/2045 USD 786,000 548,845 0.00Cobalt International Energy, Inc.3.125% 15/05/2024 USD 1,319,000 862,727 0.01Colony Capital, Inc., REIT 3.875%15/01/2021 USD 958,000 870,938 0.01FireEye, Inc., 144A 1.625% 01/06/2035 USD 1,711,000 1,629,988 0.01Hologic, Inc., STEP 2% 01/03/2042 USD 1,108,000 1,308,076 0.01IAS Operating Partnership LP, REIT,144A 5% 15/03/2018 USD 749,000 647,812 0.00Intel Corp. 2.95% 15/12/2035 USD 5,034,000 5,404,774 0.04Intel Corp. 3.25% 01/08/2039 USD 1,567,000 2,127,973 0.01Jarden Corp. 1.125% 15/03/2034 USD 899,000 947,245 0.01Liberty Interactive LLC 4% 15/11/2029 USD 1,513,000 841,006 0.01Liberty Interactive LLC, 144A 1%30/09/2043 USD 849,000 745,784 0.00Liberty Media Corp. 1.375% 15/10/2023 USD 2,709,000 2,307,089 0.02Meritor, Inc., STEP 4% 15/02/2027 USD 594,000 545,150 0.00Microchip Technology, Inc., 144A1.625% 15/02/2025 USD 3,117,000 2,794,390 0.02Micron Technology, Inc. 3% 15/11/2043 USD 1,556,000 1,260,021 0.01Navistar International Corp. 4.75%15/04/2019 USD 702,000 533,599 0.00Nuance Communications, Inc. 2.75%01/11/2031 USD 1,447,000 1,308,851 0.01Omnicare, Inc. 3.25% 15/12/2035 USD 670,000 738,753 0.00ON Semiconductor Corp., 144A 1%01/12/2020 USD 1,436,000 1,277,449 0.01Priceline Group, Inc. (The), 144A 0.9%15/09/2021 USD 3,236,000 2,751,915 0.02Prospect Capital Corp. 5.75%15/03/2018 USD 3,023,000 2,725,154 0.02Prospect Capital Corp. 5.875%15/01/2019 USD 2,608,000 2,353,255 0.02Redwood Trust, Inc., REIT 4.625%15/04/2018 USD 2,214,000 1,914,115 0.01SEACOR Holdings, Inc. 3% 15/11/2028 USD 680,000 545,339 0.00SolarCity Corp., 144A 1.625%01/11/2019 USD 856,000 711,537 0.00Spirit Realty Capital, Inc., REIT 2.875%15/05/2019 USD 1,204,000 1,018,659 0.01Spirit Realty Capital, Inc., REIT 3.75%15/05/2021 USD 1,188,000 986,690 0.01Starwood Property Trust, Inc., REIT3.75% 15/10/2017 USD 2,944,000 2,664,952 0.02SunEdison, Inc., 144A 2.625%01/06/2023 USD 1,662,000 1,502,612 0.01SunPower Corp. 0.875% 01/06/2021 USD 849,000 757,156 0.00Tesla Motors, Inc. 1.25% 01/03/2021 USD 4,306,000 3,764,242 0.03Trinity Industries, Inc. 3.875%01/06/2036 USD 668,000 767,031 0.01Twitter, Inc., 144A 0.25% 15/09/2019 USD 1,165,000 925,191 0.01Twitter, Inc., 144A 1% 15/09/2021 USD 2,116,000 1,662,578 0.01Whiting Petroleum Corp., 144A 1.25%01/04/2020 USD 723,000 712,574 0.00

Wright Medical Group, Inc., 144A 2%15/02/2020 USD 981,000 930,531 0.01

58,766,865 0.41


Equities

BermudaBunge Ltd. Preference 4.875% USD 7,500 731,650 0.01

731,650 0.01

Cayman IslandsXLIT Ltd. Preference, FRN 3.395% USD 2,870 2,157,498 0.01

2,157,498 0.01

United States of AmericaAlly Financial, Inc. Preference, 144A7% USD 2,267 2,056,297 0.02iStar Financial, Inc., REIT Preference4.5% USD 8,860 458,120 0.00New Cotai Participation Corp. Class B USD 2 60,298 0.00RM Opco LLC USD 104 93 0.00RM Opco LLC USD 18,788 16,777 0.00

2,591,585 0.02



4,278,738,232 29.64


Bonds

United States of AmericaConstar, Inc. 11% 31/12/2017* USD 27,272 4,043 0.00Momentive Performance Materials, Inc.0% 15/10/2020§ USD 1,975,000 0 0.00

4,043 0.00

Total Bonds 4,043 0.00

Equities

United States of AmericaConstar International Holdings LLCPreference Class A * USD 45 0 0.00Constar International Holdings LLCClass A* USD 451 0 0.00

0 0.00

Total Equities 0 0.00

Warrants

Marshall IslandsGeneral Maritime Corp. 17/05/2017* USD 109 44 0.00

44 0.00

United States of AmericaNeebo, Inc. 20/06/2019* USD 542 0 0.00Neebo, Inc. 29/06/2019* USD 1,162 0 0.00

0 0.00

Total Warrants 44 0.00


4,087 0.00



LuxembourgJPMorgan Liquidity Funds - US DollarLiquidity Fund Class X (dist.) † USD 323,691,793 289,036,350 2.00

289,036,350 2.00

64



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

United States of AmericaJPMorgan Liquidity Funds - US DollarLiquidity Fund † USD 198,033,819 176,831,706 1.23

176,831,706 1.23



465,868,056 3.23


Cash 7,899,810 0.05

Other Assets/(Liabilities) (31,805,402) (0.22)

Total Net Assets 14,436,837,575 100.00

* Security is valued at its fair value under the direction of the Board of Directors.† Related Party Fund

§ Security is currently in default.

65



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

EUR

%of


Quantity/Nominal

ValueMarket Value

EUR

%of

NetAssets

Geographic Allocation of Portfolio as at 30 June 2015 % of Net AssetsUnited States of America 49.63United Kingdom 10.08France 3.61Luxembourg 3.50Switzerland 3.26Japan 2.97Canada 2.46Germany 2.38Netherlands 1.97Australia 1.84Spain 1.41Sweden 1.22Italy 1.09Taiwan 0.97Finland 0.96South Africa 0.74China 0.71Ireland 0.71Denmark 0.64Singapore 0.59Indonesia 0.55Russia 0.55Belgium 0.54Cayman Islands 0.53Turkey 0.53Hungary 0.47Brazil 0.47Mexico 0.42Hong Kong 0.33Bermuda 0.33Dominican Republic 0.24Norway 0.24Morocco 0.24South Korea 0.22Portugal 0.20Venezuela, Bolivarian Republic of 0.20Croatia 0.19Romania 0.19Chile 0.16Philippines 0.15Costa Rica 0.15Kazakhstan 0.13Pakistan 0.13United Arab Emirates 0.13Serbia 0.12Lebanon 0.12Iraq 0.12Virgin Islands, British 0.12Argentina 0.12Colombia 0.12Sri Lanka 0.11Thailand 0.10Slovenia 0.10India 0.09Uruguay 0.07Honduras 0.07El Salvador 0.07Panama 0.07Israel 0.07Azerbaijan 0.06Saudi Arabia 0.06Marshall Islands 0.05Georgia 0.05Jamaica 0.05Poland 0.04Ivory Coast 0.04Zambia 0.03Peru 0.03Bahrain 0.03Kenya 0.03Bahamas 0.03Ecuador 0.03Ghana 0.02Aruba 0.02Ethiopia 0.02Egypt 0.02Belarus 0.02Jersey 0.01Ukraine 0.01Gabon 0.01Supranational 0.01Austria -Vietnam -Malaysia -Liberia -Total Investments 100.17Cash and Other Assets/(Liabilities) (0.17)

Total 100.00

Geographic Allocation of Portfolio as at 31 December 2014 % of Net AssetsUnited States of America 51.65United Kingdom 7.23Luxembourg 4.03Japan 3.09France 3.08Switzerland 2.61Germany 2.08Netherlands 2.02Australia 1.92Canada 1.86Italy 1.26Taiwan 1.19Spain 1.07Sweden 1.02Finland 0.96Cayman Islands 0.93South Africa 0.90Turkey 0.75Singapore 0.75Indonesia 0.74China 0.70Brazil 0.70Hong Kong 0.68Hungary 0.63Ireland 0.62Russia 0.58Belgium 0.51Mexico 0.50South Korea 0.47Denmark 0.45Morocco 0.31Bermuda 0.30Kazakhstan 0.28Romania 0.25Dominican Republic 0.24British Virgin Islands 0.21Venezuela 0.20Portugal 0.20Colombia 0.19Thailand 0.18Croatia 0.18Norway 0.18Slovenia 0.18Philippines 0.17Costa Rica 0.16Sri Lanka 0.16Serbia 0.14Iraq 0.14Chile 0.14Pakistan 0.11Argentina 0.09United Arab Emirates 0.09Georgia 0.08India 0.08Poland 0.07El Salvador 0.07Marshall Islands 0.06Qatar 0.06Zambia 0.05Panama 0.04Honduras 0.04Jamaica 0.04Cyprus 0.04Azerbaijan 0.04Ghana 0.04Ecuador 0.03Bahamas 0.03Ukraine 0.03Aruba 0.02Ethiopia 0.02Uruguay 0.02Kenya 0.02Channel Islands 0.02Bahrain 0.02Nigeria 0.02Israel 0.02Saudi Arabia 0.01Austria 0.01Malaysia 0.01Peru 0.01Vietnam 0.01Mauritius -Liberia -Total Investments 100.09Cash and Other Assets/(Liabilities) (0.09)

Total 100.00

66



As at 30 June 2015



As at 30 June 2015

Financial Futures Contracts

Security DescriptionNumber ofContracts Currency

GlobalExposure

EUR


EUR

%of

NetAssets

EURO STOXX 50 Index, 18/09/2015 458 EUR 15,791,840 (82,440) -FTSE 100 Index, 18/09/2015 170 GBP 15,570,209 (159,026) -US 5 Year Note, 30/09/2015 (18,826) USD (2,004,446,816) (5,907,716) (0.04)US Long Bond, 21/09/2015 3,894 USD 524,552,579 (12,821,793) (0.09)

Total Unrealised Loss on Financial Futures Contracts (18,970,975) (0.13)

Net Unrealised Loss on Financial Futures Contracts (18,970,975) (0.13)



As at 30 June 2015

Forward Currency Exchange Contracts (continued)



EUR

%of

NetAssets

AUD 902,102,841 EUR 620,405,382 15/07/2015 536,668 -CHF 25,883,508 EUR 24,766,468 15/07/2015 93,932 -CNH 103,565,298 EUR 14,761,065 15/07/2015 122,957 -EUR 5,696 AUD 8,245 15/07/2015 21 -EUR 8,271 CAD 11,467 15/07/2015 38 -EUR 218,723 CHF 227,421 15/07/2015 292 -EUR 542,329 CNH 3,758,099 15/07/2015 2,229 -EUR 183,100 GBP 130,010 15/07/2015 266 -EUR 1,155,178 JPY 157,523,664 15/07/2015 5,032 -EUR 2,636,241 SGD 3,964,131 01/07/2015 6,084 -EUR 2,407,814 SGD 3,626,924 02/07/2015 1,389 -EUR 3,652,647 SGD 5,504,536 15/07/2015 1,653 -EUR 17,537,851 USD 19,548,461 01/07/2015 82,309 -EUR 5,935,868 USD 6,636,146 02/07/2015 10,208 -EUR 83,324,602 USD 92,962,680 14/07/2015 328,455 -EUR 83,206,150 USD 92,812,301 15/07/2015 345,433 -GBP 31,194,660 EUR 42,532,971 14/07/2015 1,337,374 0.01GBP 14,794,108 EUR 20,497,060 15/07/2015 308,065 -GBP 4,308,352 USD 6,697,910 14/07/2015 79,187 -JPY 17,364,943,508 EUR 125,253,280 15/07/2015 1,535,376 0.01SGD 598,935,891 EUR 396,339,763 15/07/2015 916,469 0.01USD 227,987,300 AUD 293,931,017 14/07/2015 1,208,714 0.01USD 135,165,083 CAD 165,494,100 14/07/2015 1,853,414 0.01USD 451,965,832 CHF 419,383,615 14/07/2015 715,434 0.01USD 52,405,102 DKK 345,541,373 14/07/2015 459,092 0.01USD 83,758,198 EUR 74,219,090 14/07/2015 559,389 0.01USD 167,992,164 EUR 148,932,010 15/07/2015 1,047,584 -USD 77,119,000 SGD 103,355,467 14/07/2015 296,207 -


AUD 26,888,171 EUR 18,545,340 15/07/2015 (37,476) -CAD 256,732 EUR 185,499 15/07/2015 (1,177) -CHF 36,129,077 USD 39,160,522 14/07/2015 (262,110) -CNH 138,185,288 EUR 19,871,683 15/07/2015 (12,204) -EUR 2,609,179 AUD 3,803,604 01/07/2015 (11,398) -EUR 1,389,019 AUD 2,023,903 02/07/2015 (5,394) -EUR 23,899,746 AUD 34,876,486 15/07/2015 (106,695) -EUR 100,615 CHF 104,856 01/07/2015 (67) -EUR 699,348 CHF 732,218 15/07/2015 (3,928) -EUR 743,599 CNH 5,221,286 15/07/2015 (6,785) -EUR 572,907 GBP 417,110 15/07/2015 (13,681) -EUR 4,562,976 JPY 630,000,000 01/07/2015 (37,157) -EUR 2,846,786 JPY 389,999,997 02/07/2015 (915) -EUR 2,242,167 JPY 312,078,615 15/07/2015 (36,449) -EUR 12,322,197 SGD 18,694,417 15/07/2015 (77,249) -EUR 12,122,990,443 USD 13,699,833,861 14/07/2015 (108,083,755) (0.75)EUR 77,304,236 USD 87,268,481 15/07/2015 (607,083) -GBP 147,039 EUR 207,482 15/07/2015 (700) -SGD 28,332,732 EUR 18,845,943 15/07/2015 (53,690) -USD 29,043,212 CHF 27,149,159 14/07/2015 (145,801) -USD 37,299,573 EUR 33,556,663 14/07/2015 (255,978) -USD 4,898,843,125 EUR 4,377,038,205 15/07/2015 (3,462,179) (0.03)USD 1,494,509 EUR 1,334,508 31/07/2015 (547) -USD 1,561,766,899 GBP 1,010,513,221 14/07/2015 (26,796,889) (0.19)USD 157,147,837 HKD 1,218,339,054 14/07/2015 (10,647) -

67



As at 30 June 2015




EUR

%of

NetAssets

USD 435,552,663 JPY 53,442,660,243 14/07/2015 (1,349,981) (0.01)USD 125,227,116 SEK 1,038,194,281 14/07/2015 (634,691) -




EUR

Bank of America 38,773Barclays (8,713,164)BNP Paribas (18,381,655)Citibank (15,886,346)Credit Suisse (10,620,258)Deutsche Bank (7,582,073)Goldman Sachs (7,193,768)HSBC (8,377,494)Morgan Stanley 257,640National Australia Bank (8,257,794)RBC (8,719,152)RBS 1,337,374Societe Generale (9,644,802)Standard Chartered 553,480State Street (10,637,519)Toronto-Dominion (9,660,636)UBS (8,673,305)Westpac Banking (656)

(130,161,355)

68


Bonds

AustraliaWestpac Banking Corp. 3%04/08/2015 USD 22,874,000 22,920,663 0.33

22,920,663 0.33

BermudaAircastle Ltd. 6.25% 01/12/2019 USD 3,560,000 3,898,912 0.06Aircastle Ltd. 7.625% 15/04/2020 USD 2,960,000 3,386,255 0.05Alamo Re Ltd., FRN, 144A 4.605%07/06/2022 USD 3,000,000 3,004,650 0.04CRANBERRY RE Ltd., FRN, 144A 0%06/07/2021 USD 400,000 401,700 0.00Kilimanjaro Re Ltd., FRN, 144A 4.525%30/04/2018 USD 8,350,000 8,024,767 0.12Kilimanjaro Re Ltd., FRN, 144A 4.775%30/04/2018 USD 6,250,000 6,042,812 0.09Kilimanjaro Re Ltd., FRN, 144A 3.775%25/11/2019 USD 1,250,000 1,238,188 0.02Nakama Re Ltd., FRN, 144A 2.525%13/04/2018 USD 6,000,000 6,047,700 0.09

32,044,984 0.47

CanadaBank of Nova Scotia (The) 0.75%09/10/2015 USD 35,181,000 35,206,682 0.51First Quantum Minerals Ltd., 144A7.25% 15/05/2022 USD 280,000 268,100 0.00Royal Bank of Canada 0.85%08/03/2016 USD 5,800,000 5,813,398 0.09

41,288,180 0.60

Cayman IslandsAlibaba Group Holding Ltd., 144A 2.5%28/11/2019 USD 978,000 970,832 0.01Ibis Re II Ltd., FRN, 144A 4%28/06/2016 USD 2,100,000 2,098,792 0.03Transocean, Inc. 6.5% 15/11/2020 USD 396,000 362,853 0.01Transocean, Inc. 6.375% 15/12/2021 USD 2,784,000 2,497,248 0.04

5,929,725 0.09

FinlandNokia OYJ 5.375% 15/05/2019 USD 1,188,000 1,258,555 0.02

1,258,555 0.02

FranceNumericable-SFR SAS, 144A 4.875%15/05/2019 USD 1,242,000 1,229,406 0.02Numericable-SFR SAS, 144A 6%15/05/2022 USD 9,476,000 9,369,395 0.13Numericable-SFR SAS, 144A 6.25%15/05/2024 USD 1,956,000 1,930,279 0.03

12,529,080 0.18

IrelandArdagh Packaging Finance PLC, 144A6.25% 31/01/2019 USD 1,500,000 1,530,000 0.02Ardagh Packaging Finance PLC, 144A9.25% 15/10/2020 EUR 1,000,000 1,189,423 0.02Ardagh Packaging Finance PLC, 144A6.75% 31/01/2021 USD 645,000 659,512 0.01Azzurro RE I Ltd., FRN, 144A 2.136%18/01/2022 EUR 400,000 448,050 0.00Calypso Capital II Ltd., FRN, 144A3.71% 08/01/2018 EUR 2,250,000 2,577,226 0.04

6,404,211 0.09

ItalyTelecom Italia SpA, 144A 5.303%30/05/2024 USD 2,230,000 2,249,513 0.03

2,249,513 0.03

JapanSoftBank Group Corp., 144A 4.5%15/04/2020 USD 2,926,000 2,938,640 0.04

2,938,640 0.04

LiberiaRoyal Caribbean Cruises Ltd. 7.5%15/10/2027 USD 170,000 196,785 0.00

196,785 0.00

LuxembourgAlbea Beauty Holdings SA, 144A8.375% 01/11/2019 USD 2,710,000 2,894,619 0.04Altice Financing SA, 144A 6.5%15/01/2022 USD 3,573,000 3,589,757 0.05Altice Financing SA, 144A 6.625%15/02/2023 USD 3,897,000 3,879,717 0.06Altice Finco SA, 144A 9.875%15/12/2020 USD 499,000 551,370 0.01Altice Finco SA, 144A 7.625%15/02/2025 USD 375,000 362,812 0.00Altice SA, 144A 7.75% 15/05/2022 USD 5,030,000 4,866,525 0.07ArcelorMittal 9.85% 01/06/2019 USD 5,000,000 6,002,850 0.09ArcelorMittal 7% 25/02/2022 USD 10,850,000 11,792,919 0.17Mallinckrodt International Finance SA3.5% 15/04/2018 USD 600,000 601,500 0.01Mallinckrodt International Finance SA4.75% 15/04/2023 USD 1,460,000 1,375,138 0.02Trinseo Materials Operating SCA, 144A6.75% 01/05/2022 USD 390,000 397,215 0.01Wind Acquisition Finance SA, FRN,144A 5.245% 30/04/2019 EUR 327,000 369,100 0.01Wind Acquisition Finance SA, 144A6.5% 30/04/2020 USD 100,000 105,208 0.00Wind Acquisition Finance SA, 144A4.75% 15/07/2020 USD 2,005,000 1,997,592 0.03Wind Acquisition Finance SA, 144A7.375% 23/04/2021 USD 5,357,000 5,462,640 0.08

44,248,962 0.65

MexicoCemex SAB de CV, 144A 5.7%11/01/2025 USD 2,400,000 2,288,772 0.03Cemex SAB de CV, 144A 6.125%05/05/2025 USD 359,000 353,976 0.01

2,642,748 0.04

NetherlandsBluewater Holding BV, Reg. S, 144A10% 10/12/2019 USD 4,500,000 4,185,000 0.06Constellium NV, 144A 5.75%15/05/2024 USD 525,000 469,875 0.01Schaeffler Finance BV, 144A 4.75%15/05/2023 USD 975,000 970,564 0.01

5,625,439 0.08

SwedenEileme 2 AB, 144A 11.625% 31/01/2020 USD 1,810,000 2,015,888 0.03

2,015,888 0.03

United KingdomBarclays Bank PLC 7.625% 21/11/2022 USD 1,900,000 2,162,590 0.03International Game Technology PLC,144A 5.625% 15/02/2020 USD 980,000 965,300 0.01International Game Technology PLC,144A 6.25% 15/02/2022 USD 2,660,000 2,557,976 0.04International Game Technology PLC,144A 6.5% 15/02/2025 USD 1,425,000 1,326,020 0.02Jaguar Land Rover Automotive PLC,144A 4.125% 15/12/2018 USD 3,083,000 3,140,806 0.05Royal Bank of Scotland Group PLC6.125% 15/12/2022 USD 6,580,000 7,065,538 0.10Royal Bank of Scotland Group PLC6.1% 10/06/2023 USD 4,600,000 4,905,532 0.07Royal Bank of Scotland PLC (The)4.35% 23/01/2017 EUR 1,500,000 1,749,799 0.03Royal Bank of Scotland PLC (The), Reg.S, FRN 9.5% 16/03/2022 USD 4,007,000 4,435,348 0.06Virgin Media Secured Finance PLC,144A 5.375% 15/04/2021 USD 3,109,500 3,181,811 0.05

31,490,720 0.46

United States of AmericaADT Corp. (The) 6.25% 15/10/2021 USD 4,815,000 5,095,426 0.07ADT Corp. (The) 3.5% 15/07/2022 USD 2,835,000 2,571,274 0.04ADT Corp. (The) 4.125% 15/06/2023 USD 4,000,000 3,726,620 0.05AES Corp. 7.375% 01/07/2021 USD 2,180,000 2,386,795 0.03AES Corp. 5.5% 15/03/2024 USD 728,000 708,937 0.01AK Steel Corp. 8.75% 01/12/2018 USD 1,280,000 1,349,926 0.02Alcatel-Lucent USA, Inc. 6.45%15/03/2029 USD 2,030,000 2,090,930 0.03Alcoa, Inc. 5.72% 23/02/2019 USD 1,350,000 1,449,738 0.02Alcoa, Inc. 6.15% 15/08/2020 USD 1,099,000 1,200,053 0.02Alcoa, Inc. 5.4% 15/04/2021 USD 1,093,000 1,151,618 0.02Alcoa, Inc. 5.87% 23/02/2022 USD 787,000 849,189 0.01Alcoa, Inc. 5.125% 01/10/2024 USD 2,475,000 2,542,072 0.04Alcoa, Inc. 5.9% 01/02/2027 USD 279,000 294,328 0.00

69

JPMorgan Investment Funds - Income Opportunity Fund


As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Alcoa, Inc. 6.75% 15/01/2028 USD 1,731,000 1,963,603 0.03Alere, Inc. 7.25% 01/07/2018 USD 1,500,000 1,578,382 0.02Alere, Inc. 8.625% 01/10/2018 USD 690,000 715,944 0.01Allegion US Holding Co., Inc. 5.75%01/10/2021 USD 980,000 1,016,750 0.02Ally Financial, Inc. 2.75% 30/01/2017 USD 1,420,000 1,412,687 0.02Ally Financial, Inc. 5.5% 15/02/2017 USD 765,000 795,550 0.01Ally Financial, Inc. 3.25% 29/09/2017 USD 2,284,000 2,279,992 0.03Ally Financial, Inc. 6.25% 01/12/2017 USD 5,741,000 6,148,094 0.09Ally Financial, Inc. 3.6% 21/05/2018 USD 1,889,000 1,885,779 0.03Ally Financial, Inc. 4.75% 10/09/2018 USD 2,710,000 2,804,349 0.04Ally Financial, Inc. 3.5% 27/01/2019 USD 6,800,000 6,727,104 0.10Ally Financial, Inc. 3.75% 18/11/2019 USD 2,370,000 2,348,184 0.03Ally Financial, Inc. 4.125% 30/03/2020 USD 5,500,000 5,494,362 0.08Ally Financial, Inc. 4.125% 13/02/2022 USD 453,000 437,575 0.01Ally Financial, Inc. 4.625% 19/05/2022 USD 3,501,000 3,474,217 0.05Ally Financial, Inc. 4.625% 30/03/2025 USD 2,940,000 2,805,524 0.04Ally Financial, Inc. 8% 01/11/2031 USD 4,591,000 5,515,673 0.08American Axle & Manufacturing, Inc.7.75% 15/11/2019 USD 1,259,000 1,423,929 0.02American Axle & Manufacturing, Inc.6.25% 15/03/2021 USD 1,310,000 1,379,469 0.02Anixter, Inc. 5.625% 01/05/2019 USD 1,421,000 1,508,100 0.02Antero Resources Corp. 6%01/12/2020 USD 265,000 270,222 0.00Antero Resources Corp. 5.375%01/11/2021 USD 1,440,000 1,401,941 0.02Antero Resources Corp. 5.125%01/12/2022 USD 775,000 742,729 0.01Aramark Services, Inc. 5.75%15/03/2020 USD 1,065,000 1,109,586 0.02Arch Coal, Inc. 7% 15/06/2019 USD 755,000 117,304 0.00Arch Coal, Inc. 7.25% 15/06/2021 USD 2,870,000 414,342 0.01Ashland, Inc. 3.875% 15/04/2018 USD 1,423,000 1,464,039 0.02Ashtead Capital, Inc., 144A 5.625%01/10/2024 USD 210,000 210,525 0.00Atwood Oceanics, Inc. 6.5%01/02/2020 USD 2,465,000 2,398,322 0.04B&G Foods, Inc. 4.625% 01/06/2021 USD 1,630,000 1,622,290 0.02Basic Energy Services, Inc. 7.75%15/02/2019 USD 3,000,000 2,528,520 0.04Basic Energy Services, Inc. 7.75%15/10/2022 USD 1,362,000 1,075,980 0.02Berry Petroleum Co. LLC 6.375%15/09/2022 USD 1,065,000 842,394 0.01Bill Barrett Corp. 7% 15/10/2022 USD 4,563,000 4,153,676 0.06Bonanza Creek Energy, Inc. 6.75%15/04/2021 USD 4,919,000 4,695,776 0.07Bonanza Creek Energy, Inc. 5.75%01/02/2023 USD 2,007,000 1,827,173 0.03Boyd Gaming Corp. 6.875%15/05/2023 USD 588,000 601,695 0.01Cablevision Systems Corp. 8.625%15/09/2017 USD 2,315,000 2,545,505 0.04Cablevision Systems Corp. 7.75%15/04/2018 USD 2,222,000 2,421,147 0.04Cablevision Systems Corp. 8%15/04/2020 USD 5,953,000 6,488,770 0.09California Resources Corp. 5.5%15/09/2021 USD 8,000,000 7,019,320 0.10California Resources Corp. 6%15/11/2024 USD 2,960,000 2,560,400 0.04Case New Holland Industrial, Inc.7.875% 01/12/2017 USD 2,540,000 2,787,294 0.04CenturyLink, Inc. 5.8% 15/03/2022 USD 2,655,000 2,540,583 0.04Chesapeake Energy Corp. 3.25%15/03/2016 USD 509,000 508,718 0.01Chesapeake Energy Corp. 7.25%15/12/2018 USD 1,464,000 1,512,715 0.02Chesapeake Energy Corp., FRN 3.525%15/04/2019 USD 800,000 736,824 0.01Chesapeake Energy Corp. 6.625%15/08/2020 USD 2,425,000 2,372,438 0.03Chesapeake Energy Corp. 6.125%15/02/2021 USD 2,405,000 2,255,878 0.03Chesapeake Energy Corp. 4.875%15/04/2022 USD 1,330,000 1,155,471 0.02Chiquita Brands International, Inc.7.875% 01/02/2021 USD 692,000 745,222 0.01Cimarex Energy Co. 4.375%01/06/2024 USD 750,000 738,739 0.01Cincinnati Bell, Inc. 8.375% 15/10/2020 USD 1,725,000 1,808,999 0.03Cinemark USA, Inc. 7.375% 15/06/2021 USD 3,871,000 4,108,099 0.06Cinemark USA, Inc. 4.875%01/06/2023 USD 1,760,000 1,713,774 0.03CIT Group, Inc. 5% 15/05/2017 USD 3,098,000 3,199,196 0.05CIT Group, Inc. 5.25% 15/03/2018 USD 8,848,000 9,180,331 0.13CIT Group, Inc. 3.875% 19/02/2019 USD 2,172,000 2,167,352 0.03CIT Group, Inc. 5.375% 15/05/2020 USD 2,790,000 2,913,639 0.04Clean Harbors, Inc. 5.25% 01/08/2020 USD 2,700,000 2,755,134 0.04

Clear Channel Worldwide Holdings, Inc.Class B 7.625% 15/03/2020 USD 23,104,000 24,137,211 0.35Clear Channel Worldwide Holdings, Inc.7.625% 15/03/2020 USD 1,655,000 1,701,870 0.03Cloud Peak Energy Resources LLC6.375% 15/03/2024 USD 1,480,000 1,065,600 0.02CNH Industrial Capital LLC 3.625%15/04/2018 USD 300,000 300,508 0.00CNO Financial Group, Inc. 4.5%30/05/2020 USD 510,000 517,650 0.01CNO Financial Group, Inc. 5.25%30/05/2025 USD 1,338,000 1,358,070 0.02Coeur Mining, Inc. 7.875% 01/02/2021 USD 3,435,000 2,895,276 0.04Commercial Metals Co. 4.875%15/05/2023 USD 2,895,000 2,725,874 0.04Community Health Systems, Inc.5.125% 15/08/2018 USD 2,000,000 2,050,360 0.03Community Health Systems, Inc. 8%15/11/2019 USD 2,500,000 2,635,950 0.04Community Health Systems, Inc.6.875% 01/02/2022 USD 3,200,000 3,380,176 0.05Comstock Resources, Inc. 7.75%01/04/2019 USD 2,963,000 1,281,557 0.02Comstock Resources, Inc. 9.5%15/06/2020 USD 2,361,000 1,027,035 0.02Concho Resources, Inc. 5.5%01/04/2023 USD 984,000 983,449 0.01CONSOL Energy, Inc. 5.875%15/04/2022 USD 1,005,000 864,868 0.01Constellation Brands, Inc. 7.25%15/05/2017 USD 1,000,000 1,093,900 0.02Constellation Brands, Inc. 3.75%01/05/2021 USD 608,000 600,172 0.01Constellation Brands, Inc. 4.25%01/05/2023 USD 1,222,000 1,203,762 0.02Corrections Corp. of America, REIT4.125% 01/04/2020 USD 3,280,000 3,316,014 0.05Crestwood Midstream Partners LP6.125% 01/03/2022 USD 55,000 56,240 0.00Crown Castle International Corp., REIT4.875% 15/04/2022 USD 1,463,000 1,471,873 0.02Crown Castle International Corp., REIT5.25% 15/01/2023 USD 3,975,000 4,013,975 0.06CSC Holdings LLC 7.875% 15/02/2018 USD 1,460,000 1,598,868 0.02CSC Holdings LLC 8.625% 15/02/2019 USD 592,000 673,279 0.01CSC Holdings LLC 6.75% 15/11/2021 USD 345,000 365,890 0.01Dana Holding Corp. 6.75% 15/02/2021 USD 1,350,000 1,424,938 0.02Dana Holding Corp. 5.375%15/09/2021 USD 585,000 600,976 0.01Dana Holding Corp. 6% 15/09/2023 USD 1,035,000 1,079,257 0.02Dana Holding Corp. 5.5% 15/12/2024 USD 1,615,000 1,598,632 0.02DaVita HealthCare Partners, Inc. 5.75%15/08/2022 USD 585,000 621,864 0.01DaVita HealthCare Partners, Inc. 5%01/05/2025 USD 2,040,000 1,970,487 0.03Denbury Resources, Inc. 5.5%01/05/2022 USD 2,910,000 2,640,374 0.04Denbury Resources, Inc. 4.625%15/07/2023 USD 1,575,000 1,335,159 0.02Embarq Corp. 7.995% 01/06/2036 USD 8,820,000 9,803,077 0.14Energy Transfer Equity LP 7.5%15/10/2020 USD 2,800,000 3,186,974 0.05EXCO Resources, Inc. 7.5% 15/09/2018 USD 3,780,000 2,513,700 0.04FNMA 0.5% 28/09/2015 USD 16,060,000 16,075,658 0.23Freescale Semiconductor, Inc. 10.75%01/08/2020 USD 1,214,000 1,291,392 0.02Frontier Communications Corp. 8.25%15/04/2017 USD 620,000 671,947 0.01Frontier Communications Corp. 8.5%15/04/2020 USD 1,282,000 1,344,062 0.02General Electric Capital Corp. 1.625%02/07/2015 USD 6,500,000 6,500,000 0.09General Electric Capital Corp. 5%08/01/2016 USD 1,272,000 1,300,728 0.02General Motors Financial Co., Inc.2.75% 15/05/2016 USD 765,000 774,299 0.01General Motors Financial Co., Inc.4.75% 15/08/2017 USD 2,175,000 2,293,179 0.03General Motors Financial Co., Inc.3.45% 10/04/2022 USD 975,000 952,950 0.01General Motors Financial Co., Inc.4.25% 15/05/2023 USD 765,000 774,180 0.01GEO Group, Inc. (The), REIT 6.625%15/02/2021 USD 1,635,000 1,716,750 0.03GEO Group, Inc. (The), REIT 5.875%15/01/2022 USD 1,925,000 2,026,062 0.03HCA Holdings, Inc. 6.25% 15/02/2021 USD 3,460,000 3,748,391 0.05HCA, Inc. 8% 01/10/2018 USD 1,670,000 1,942,327 0.03HCA, Inc. 3.75% 15/03/2019 USD 838,000 846,858 0.01HCA, Inc. 6.5% 15/02/2020 USD 5,450,000 6,077,622 0.09HCA, Inc. 7.5% 15/02/2022 USD 15,070,000 17,292,674 0.25

70



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

HCA, Inc. 5% 15/03/2024 USD 1,057,000 1,076,333 0.02HCA, Inc. 5.375% 01/02/2025 USD 11,590,000 11,724,444 0.17HCA, Inc. 5.25% 15/04/2025 USD 760,000 796,206 0.01HealthSouth Corp. 7.75% 15/09/2022 USD 831,000 871,511 0.01Hecla Mining Co. 6.875% 01/05/2021 USD 4,573,000 4,317,278 0.06Hertz Corp. (The) 7.5% 15/10/2018 USD 1,390,000 1,433,750 0.02Hertz Corp. (The) 5.875% 15/10/2020 USD 2,495,000 2,539,760 0.04Hertz Corp. (The) 7.375% 15/01/2021 USD 4,595,000 4,794,768 0.07Hertz Corp. (The) 6.25% 15/10/2022 USD 1,840,000 1,889,211 0.03HRG Group, Inc. 7.875% 15/07/2019 USD 2,341,000 2,481,460 0.04Huntsman International LLC 4.875%15/11/2020 USD 4,305,000 4,316,602 0.06Huntsman International LLC 8.625%15/03/2021 USD 720,000 758,452 0.01iHeartCommunications, Inc. 9%01/03/2021 USD 12,207,000 11,109,896 0.16International Lease Finance Corp.5.875% 01/04/2019 USD 15,125,000 16,122,796 0.24International Lease Finance Corp.6.25% 15/05/2019 USD 2,490,000 2,696,023 0.04International Lease Finance Corp.8.25% 15/12/2020 USD 5,308,000 6,309,460 0.09International Lease Finance Corp.4.625% 15/04/2021 USD 1,335,000 1,354,117 0.02International Lease Finance Corp.5.875% 15/08/2022 USD 3,855,000 4,150,948 0.06Iron Mountain, Inc., REIT 6%15/08/2023 USD 2,210,000 2,315,616 0.03Iron Mountain, Inc., REIT 5.75%15/08/2024 USD 675,000 670,349 0.01iStar Financial, Inc., REIT 3.875%01/07/2016 USD 1,148,000 1,153,740 0.02Jarden Corp. 7.5% 01/05/2017 USD 1,750,000 1,911,542 0.03Jarden Corp. 6.125% 15/11/2022 USD 1,000,000 1,038,810 0.02JBS USA LLC, 144A 7.25% 01/06/2021 USD 1,604,000 1,696,246 0.02JC Penney Corp, Inc. 6.375%15/10/2036 USD 2,895,000 2,121,774 0.03K Hovnanian Enterprises, Inc. 11.875%15/10/2015 USD 1,525,000 1,565,031 0.02Kennedy-Wilson, Inc. 5.875%01/04/2024 USD 934,000 932,001 0.01Kinder Morgan, Inc. 7% 15/06/2017 USD 2,414,000 2,619,516 0.04Kinder Morgan, Inc. 2% 01/12/2017 USD 705,000 704,091 0.01Kinder Morgan, Inc. 3.05% 01/12/2019 USD 470,000 470,336 0.01L Brands, Inc. 6.625% 01/04/2021 USD 3,880,000 4,298,885 0.06Laredo Petroleum, Inc. 5.625%15/01/2022 USD 2,060,000 2,036,619 0.03Laredo Petroleum, Inc. 7.375%01/05/2022 USD 3,247,000 3,433,702 0.05Laredo Petroleum, Inc. 6.25%15/03/2023 USD 392,000 403,395 0.01Lear Corp. 5.25% 15/01/2025 USD 540,000 533,690 0.01Lender Processing Services, Inc. 5.75%15/04/2023 USD 655,000 698,394 0.01Lennar Corp. 12.25% 01/06/2017 USD 2,285,000 2,698,082 0.04Lennar Corp. 6.95% 01/06/2018 USD 1,349,000 1,476,123 0.02Lennar Corp. 4.5% 15/06/2019 USD 367,000 374,707 0.01Level 3 Financing, Inc. 8.625%15/07/2020 USD 8,540,000 9,148,048 0.13Level 3 Financing, Inc. 6.125%15/01/2021 USD 3,460,000 3,634,851 0.05LIN Television Corp. 6.375%15/01/2021 USD 1,115,000 1,136,157 0.02M/I Homes, Inc. 8.625% 15/11/2018 USD 1,905,000 1,976,437 0.03Magnachip Semiconductor Corp.6.875% 15/07/2021 USD 2,640,000 2,095,500 0.03Manitowoc Co., Inc. (The) 8.5%01/11/2020 USD 2,900,000 3,073,942 0.05MarkWest Energy Partners LP 5.5%15/02/2023 USD 1,660,000 1,708,605 0.03MarkWest Energy Partners LP 4.875%01/12/2024 USD 885,000 869,110 0.01MasTec, Inc. 4.875% 15/03/2023 USD 1,250,000 1,141,737 0.02Meritage Homes Corp. 7% 01/04/2022 USD 2,114,000 2,249,486 0.03MGM Resorts International 6.625%15/07/2015 USD 2,360,000 2,361,888 0.03MGM Resorts International 7.625%15/01/2017 USD 4,345,000 4,621,364 0.07MGM Resorts International 8.625%01/02/2019 USD 11,575,000 13,124,024 0.19MGM Resorts International 5.25%31/03/2020 USD 4,770,000 4,842,385 0.07MGM Resorts International 6.75%01/10/2020 USD 8,565,000 9,068,579 0.13MGM Resorts International 7.75%15/03/2022 USD 5,017,000 5,510,322 0.08MGM Resorts International 6%15/03/2023 USD 5,880,000 5,968,376 0.09Morgan Stanley 4% 24/07/2015 USD 14,380,000 14,409,652 0.21Morgan Stanley 3.45% 02/11/2015 USD 3,600,000 3,631,338 0.05

Nationstar Mortgage LLC 9.625%01/05/2019 USD 448,000 477,120 0.01Nationstar Mortgage LLC 7.875%01/10/2020 USD 87,000 87,326 0.00Nationstar Mortgage LLC 6.5%01/07/2021 USD 2,217,000 2,067,352 0.03Nationstar Mortgage LLC 6.5%01/06/2022 USD 315,000 290,981 0.00NCR Corp. 5.875% 15/12/2021 USD 220,000 224,213 0.00NCR Corp. 5% 15/07/2022 USD 444,000 445,763 0.01NCR Corp. 6.375% 15/12/2023 USD 545,000 578,921 0.01New Albertsons, Inc. 7.75%15/06/2026 USD 99,000 97,020 0.00New Albertsons, Inc. 7.45%01/08/2029 USD 81,000 77,992 0.00New Albertsons, Inc. 8.7% 01/05/2030 USD 2,244,000 2,288,880 0.03New Albertsons, Inc. 8% 01/05/2031 USD 40,000 38,949 0.00Newfield Exploration Co. 5.375%01/01/2026 USD 2,970,000 2,975,108 0.04Noranda Aluminum Acquisition Corp.11% 01/06/2019 USD 925,000 670,625 0.01Northern Oil and Gas, Inc. 8%01/06/2020 USD 2,897,000 2,651,711 0.04NRG Energy, Inc. 8.25% 01/09/2020 USD 1,465,000 1,537,979 0.02NRG Energy, Inc. 7.875% 15/05/2021 USD 900,000 955,800 0.01NRG Energy, Inc. 6.25% 15/07/2022 USD 1,430,000 1,459,143 0.02Oasis Petroleum, Inc. 6.5% 01/11/2021 USD 1,597,000 1,596,617 0.02Oasis Petroleum, Inc. 6.875%15/03/2022 USD 3,995,000 4,079,494 0.06Oasis Petroleum, Inc. 6.875%15/01/2023 USD 855,000 848,853 0.01Omnicare, Inc. 5% 01/12/2024 USD 2,289,000 2,474,626 0.04Oshkosh Corp. 5.375% 01/03/2022 USD 200,000 206,855 0.00Oshkosh Corp. 5.375% 01/03/2025 USD 986,000 995,860 0.01Peabody Energy Corp. 6.5%15/09/2020 USD 385,000 138,558 0.00Peabody Energy Corp. 6.25%15/11/2021 USD 3,827,000 1,341,249 0.02Penn Virginia Corp. 7.25% 15/04/2019 USD 1,729,000 1,512,875 0.02Penn Virginia Corp. 8.5% 01/05/2020 USD 4,146,000 3,752,130 0.05Pinnacle Entertainment, Inc. 7.5%15/04/2021 USD 1,880,000 1,982,150 0.03Pinnacle Entertainment, Inc. 6.375%01/08/2021 USD 2,000,000 2,124,950 0.03Pioneer Energy Services Corp. 6.125%15/03/2022 USD 725,000 580,000 0.01PolyOne Corp. 7.375% 15/09/2020 USD 2,158,000 2,257,807 0.03Post Holdings, Inc. 7.375% 15/02/2022 USD 4,945,000 5,078,861 0.07QEP Resources, Inc. 6.875%01/03/2021 USD 500,000 521,820 0.01Quad/Graphics, Inc. 7% 01/05/2022 USD 1,985,000 1,941,221 0.03Qwest Capital Funding, Inc. 6.875%15/07/2028 USD 577,000 566,478 0.01Qwest Capital Funding, Inc. 7.75%15/02/2031 USD 3,356,000 3,498,846 0.05Qwest Corp. 7.25% 15/09/2025 USD 375,000 436,487 0.01Regal Entertainment Group 5.75%15/03/2022 USD 2,398,000 2,440,672 0.04Resolute Forest Products, Inc. 5.875%15/05/2023 USD 250,000 222,440 0.00Reynolds Group Issuer, Inc. 9%15/04/2019 USD 10,115,000 10,429,728 0.15Reynolds Group Issuer, Inc. 9.875%15/08/2019 USD 4,919,000 5,172,870 0.08Reynolds Group Issuer, Inc. 5.75%15/10/2020 USD 4,010,000 4,120,034 0.06RHP Hotel Properties LP, REIT 5%15/04/2021 USD 1,986,000 2,005,860 0.03Rite Aid Corp. 8% 15/08/2020 USD 2,250,000 2,354,062 0.03Ryerson, Inc. 9% 15/10/2017 USD 1,417,000 1,429,448 0.02Sally Holdings LLC 6.875% 15/11/2019 USD 2,650,000 2,773,371 0.04Sally Holdings LLC 5.75% 01/06/2022 USD 530,000 555,350 0.01Sally Holdings LLC 5.5% 01/11/2023 USD 680,000 715,163 0.01Sanchez Energy Corp. 6.125%15/01/2023 USD 3,876,000 3,469,020 0.05SandRidge Energy, Inc. 7.5%15/03/2021 USD 40,000 17,600 0.00SandRidge Energy, Inc. 8.125%15/10/2022 USD 1,910,000 802,200 0.01Scotts Miracle-Gro Co. (The) 6.625%15/12/2020 USD 1,030,000 1,084,075 0.02SemGroup Corp. 7.5% 15/06/2021 USD 2,000,000 2,125,000 0.03Service Corp. International 7.625%01/10/2018 USD 680,000 779,066 0.01Service Corp. International 5.375%15/05/2024 USD 1,015,000 1,064,710 0.02Service Corp. International 7.5%01/04/2027 USD 3,605,000 4,141,172 0.06SESI LLC 6.375% 01/05/2019 USD 4,150,000 4,256,738 0.06

71



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

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Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Seventy Seven Energy, Inc. 6.5%15/07/2022 USD 785,000 508,437 0.01SM Energy Co. 6.5% 01/01/2023 USD 3,712,000 3,823,471 0.06SM Energy Co. 5% 15/01/2024 USD 1,393,000 1,325,196 0.02SM Energy Co. 5.625% 01/06/2025 USD 925,000 916,772 0.01Spectrum Brands, Inc. 6.75%15/03/2020 USD 5,025,000 5,267,758 0.08Spirit AeroSystems, Inc. 5.25%15/03/2022 USD 853,000 884,988 0.01Springleaf Finance Corp. 6.5%15/09/2017 USD 742,000 776,544 0.01Sprint Capital Corp. 6.9% 01/05/2019 USD 1,350,000 1,382,940 0.02Sprint Capital Corp. 6.875% 15/11/2028 USD 3,445,000 2,957,670 0.04Sprint Capital Corp. 8.75% 15/03/2032 USD 15,120,000 14,710,702 0.21Sprint Communications, Inc. 7%15/08/2020 USD 3,980,000 3,948,100 0.06Sprint Communications, Inc. 11.5%15/11/2021 USD 4,150,000 4,911,525 0.07Sprint Communications, Inc. 6%15/11/2022 USD 2,105,000 1,921,539 0.03Sprint Corp. 7.25% 15/09/2021 USD 3,523,000 3,441,795 0.05Sprint Corp. 7.875% 15/09/2023 USD 21,416,000 20,822,563 0.30Sprint Corp. 7.125% 15/06/2024 USD 1,812,000 1,678,592 0.02Sprint Corp. 7.625% 15/02/2025 USD 3,587,000 3,384,908 0.05Standard Pacific Corp. 10.75%15/09/2016 USD 83,000 92,545 0.00Standard Pacific Corp. 8.375%15/01/2021 USD 1,455,000 1,686,498 0.02Stone Energy Corp. 7.5% 15/11/2022 USD 3,000,000 2,640,720 0.04SUPERVALU, Inc. 7.75% 15/11/2022 USD 3,075,000 3,238,775 0.05Targa Resources Partners LP 5.25%01/05/2023 USD 210,000 207,744 0.00TEGNA, Inc. 6.375% 15/10/2023 USD 1,000,000 1,043,695 0.02Tempur Sealy International, Inc.6.875% 15/12/2020 USD 2,495,000 2,647,944 0.04Tenet Healthcare Corp. 4.75%01/06/2020 USD 3,215,000 3,267,019 0.05Tenet Healthcare Corp. 8%01/08/2020 USD 8,609,000 8,953,231 0.13Tenet Healthcare Corp. 4.5%01/04/2021 USD 3,285,000 3,239,125 0.05Tenet Healthcare Corp. 8.125%01/04/2022 USD 6,192,000 6,756,277 0.10Terex Corp. 6.5% 01/04/2020 USD 2,570,000 2,701,057 0.04Terex Corp. 6% 15/05/2021 USD 3,865,000 3,902,529 0.06Tesoro Corp. 4.25% 01/10/2017 USD 889,000 914,439 0.01Tesoro Logistics LP 5.875%01/10/2020 USD 2,317,000 2,401,316 0.04Tesoro Logistics LP 6.125% 15/10/2021 USD 975,000 1,015,843 0.02Time Warner Cable, Inc. 7.3%01/07/2038 USD 1,076,000 1,211,657 0.02T-Mobile USA, Inc. 5.25% 01/09/2018 USD 2,032,000 2,087,819 0.03T-Mobile USA, Inc. 6.464%28/04/2019 USD 1,384,000 1,433,540 0.02T-Mobile USA, Inc. 6.625% 15/11/2020 USD 3,360,000 3,494,702 0.05T-Mobile USA, Inc. 6.25% 01/04/2021 USD 2,048,000 2,104,320 0.03T-Mobile USA, Inc. 6.633% 28/04/2021 USD 5,944,000 6,208,211 0.09T-Mobile USA, Inc. 6.731% 28/04/2022 USD 8,639,000 9,027,150 0.13T-Mobile USA, Inc. 6.625% 01/04/2023 USD 2,033,000 2,110,518 0.03T-Mobile USA, Inc. 6.836% 28/04/2023 USD 2,860,000 2,997,094 0.04T-Mobile USA, Inc. 6.5% 15/01/2024 USD 530,000 549,809 0.01T-Mobile USA, Inc. 6.375% 01/03/2025 USD 2,539,000 2,603,719 0.04Toyota Motor Credit Corp. 0.875%17/07/2015 USD 7,850,000 7,851,217 0.11TreeHouse Foods, Inc. 4.875%15/03/2022 USD 1,000,000 1,005,165 0.01Triumph Group, Inc. 4.875%01/04/2021 USD 2,235,000 2,200,883 0.03Tronox Finance LLC 6.375%15/08/2020 USD 1,660,000 1,556,881 0.02Tutor Perini Corp. 7.625% 01/11/2018 USD 1,470,000 1,516,592 0.02United Rentals North America, Inc.7.375% 15/05/2020 USD 385,000 411,542 0.01United Rentals North America, Inc.8.25% 01/02/2021 USD 2,971,000 3,177,930 0.05United Rentals North America, Inc.7.625% 15/04/2022 USD 6,579,000 7,121,471 0.10United Rentals North America, Inc.6.125% 15/06/2023 USD 6,625,000 6,757,103 0.10United Rentals North America, Inc.5.75% 15/11/2024 USD 800,000 788,248 0.01United States Cellular Corp. 6.7%15/12/2033 USD 1,575,000 1,472,184 0.02US Bancorp 2.45% 27/07/2015 USD 13,230,000 13,250,546 0.19USG Corp. 6.3% 15/11/2016 USD 1,240,000 1,295,657 0.02Vanguard Natural Resources LLC7.875% 01/04/2020 USD 1,445,000 1,403,254 0.02Vulcan Materials Co. 7.5% 15/06/2021 USD 2,210,000 2,563,269 0.04Vulcan Materials Co. 4.5% 01/04/2025 USD 3,850,000 3,851,001 0.06W&T Offshore, Inc. 8.5% 15/06/2019 USD 1,250,000 874,925 0.01

WellCare Health Plans, Inc. 5.75%15/11/2020 USD 1,175,000 1,227,152 0.02Whiting Petroleum Corp. 5%15/03/2019 USD 500,000 494,918 0.01Whiting Petroleum Corp. 5.75%15/03/2021 USD 3,190,000 3,165,756 0.05Williams Cos., Inc. (The) 7.875%01/09/2021 USD 1,280,000 1,509,761 0.02Williams Partners LP 6.125%15/07/2022 USD 3,072,000 3,257,272 0.05WPX Energy, Inc. 6% 15/01/2022 USD 1,082,000 1,070,720 0.02WPX Energy, Inc. 5.25% 15/09/2024 USD 1,670,000 1,532,743 0.02

846,411,829 12.33

Virgin Islands, BritishStudio City Finance Ltd., 144A 8.5%01/12/2020 USD 5,850,000 5,908,500 0.09

5,908,500 0.09

Total Bonds 1,066,104,422 15.53

Certificates of Deposit

JapanMitsubishi UFJ Trust and Banking Corp.0.25% 08/07/2015 USD 50,500,000 50,500,000 0.74

50,500,000 0.74

United States of AmericaBanco del Estado de Chile 0.25%14/09/2015 USD 45,000,000 45,000,000 0.66Banco del Estado de Chile 0.25%17/09/2015 USD 36,000,000 36,000,000 0.52Norinchukin Banking (The) 0.15%02/07/2015 USD 32,900,000 32,900,000 0.48Norinchukin Banking (The) 0.16%13/07/2015 USD 100,000,000 100,000,000 1.46Norinchukin Banking (The) 0.16%24/07/2015 USD 25,000,000 25,000,000 0.36Shizuoka Bank Ltd. (The) 0.22%29/07/2015 USD 38,640,000 38,640,000 0.56

277,540,000 4.04

Total Certificates of Deposit 328,040,000 4.78

Commercial Papers

GermanyNRW Bank 0.00% 07/07/2015 USD 4,550,000 4,549,919 0.07

4,549,919 0.07

United States of AmericaOld Line Funding LLC 0.00%09/12/2015 USD 50,000,000 49,908,412 0.72Regency Markets No. 1 LLC 0.00%20/07/2015 USD 50,000,000 49,994,772 0.73

99,903,184 1.45

Total Commercial Papers 104,453,103 1.52

Equities

United KingdomRoyal Bank of Scotland Group PLCPreference 6.35% USD 13,525 336,705 0.01Royal Bank of Scotland Group PLCPreference 6.4% USD 4,900 122,524 0.00

459,229 0.01

United States of AmericaDynegy, Inc. USD 40,000 1,172,200 0.02Globalstar, Inc. USD 49,853 105,439 0.00GMAC Capital Trust I Preference, FRN8.125% USD 60,000 1,558,800 0.02Halcon Resources Corp. USD 2,342 2,775 0.00Loral Space & Communications, Inc. USD 3,000 188,670 0.00Southwestern Energy Co. Preference6.25% USD 104,000 5,228,600 0.08US Concrete, Inc. USD 6,725 253,331 0.00

8,509,815 0.12



1,507,566,569 21.96

72



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets


Bonds

AustraliaBlueScope Steel Finance Ltd., 144A7.125% 01/05/2018 USD 850,000 875,500 0.01FMG Resources August 2006 Pty. Ltd.,144A 8.25% 01/11/2019 USD 4,030,000 3,453,710 0.05National Australia Bank Ltd. 1.6%07/08/2015 USD 7,100,000 7,107,384 0.11National Australia Bank Ltd. 0.9%20/01/2016 USD 15,025,000 15,057,755 0.22Nufarm Australia Ltd., 144A 6.375%15/10/2019 USD 1,693,000 1,737,441 0.03Westpac Banking Corp. 0.95%12/01/2016 USD 12,569,000 12,597,469 0.18

40,829,259 0.60

BahamasUltrapetrol Bahamas Ltd. 8.875%15/06/2021 USD 4,066,000 3,598,410 0.05

3,598,410 0.05

BermudaArmor Re Ltd., FRN, 144A 4.005%15/12/2016 USD 4,700,000 4,659,697 0.07Compass Re II Ltd., FRN, 144A 0.005%08/06/2016 USD 3,000,000 2,862,000 0.04Embarcadero Reinsurance Ltd., FRN,144A 5% 07/02/2017 USD 3,900,000 3,908,970 0.06Everglades Re Ltd., FRN, 144A 9.455%28/03/2018 USD 4,400,000 4,405,060 0.06Everglades Re Ltd., FRN, 144A 7.505%28/04/2020 USD 11,800,000 11,891,450 0.17MetroCat Re Ltd., FRN, 144A 4.515%05/08/2016 USD 5,700,000 5,733,202 0.08Riverfront Re Ltd., FRN, 144A 4%06/01/2017 USD 2,250,000 2,214,337 0.03Sanders Re Ltd., FRN, 144A 3.525%05/05/2017 USD 3,050,000 2,991,593 0.04Sanders Re Ltd., FRN, 144A 3.025%25/05/2020 USD 12,600,000 12,192,390 0.18Sanders Re Ltd., FRN, 144A 3.925%28/05/2021 USD 2,500,000 2,403,125 0.04Tramline Re II Ltd., FRN, 144A 3.265%07/07/2017 USD 1,250,000 1,240,063 0.02Ursa Re Ltd., FRN, 144A 3.5%07/12/2017 USD 1,500,000 1,491,975 0.02Viking Cruises Ltd., 144A 8.5%15/10/2022 USD 1,847,000 2,040,935 0.03Viking Cruises Ltd., 144A 6.25%15/05/2025 USD 565,000 557,938 0.01

58,592,735 0.85

Canada1011778 BC ULC, 144A 6% 01/04/2022 USD 4,610,000 4,744,382 0.07Baytex Energy Corp., 144A 5.125%01/06/2021 USD 411,000 388,395 0.01Baytex Energy Corp., 144A 5.625%01/06/2024 USD 1,036,000 968,660 0.01Bombardier, Inc., 144A 7.5%15/03/2018 USD 1,250,000 1,312,500 0.02Bombardier, Inc., 144A 5.5%15/09/2018 USD 450,000 450,000 0.01Bombardier, Inc., 144A 4.75%15/04/2019 USD 1,145,000 1,122,100 0.02Bombardier, Inc., 144A 7.75%15/03/2020 USD 2,136,000 2,173,380 0.03Bombardier, Inc., 144A 6.125%15/01/2023 USD 574,000 516,669 0.01Bombardier, Inc., 144A 7.5%15/03/2025 USD 2,475,000 2,267,768 0.03Brookfield Residential Properties, Inc.,144A 6.5% 15/12/2020 USD 1,389,000 1,406,362 0.02Brookfield Residential Properties, Inc.,144A 6.125% 01/07/2022 USD 1,326,000 1,316,055 0.02Brookfield Residential Properties, Inc.,144A 6.375% 15/05/2025 USD 488,000 483,730 0.01Cascades, Inc., 144A 5.5% 15/07/2022 USD 1,200,000 1,162,500 0.02Cascades, Inc., 144A 5.75% 15/07/2023 USD 1,000,000 967,500 0.01Catamaran Corp. 4.75% 15/03/2021 USD 625,000 693,750 0.01Concordia Healthcare Corp., 144A 7%15/04/2023 USD 8,161,000 8,191,604 0.12First Quantum Minerals Ltd., 144A6.75% 15/02/2020 USD 2,943,000 2,855,004 0.04Garda World Security Corp., 144A7.25% 15/11/2021 USD 3,410,000 3,324,750 0.05

HudBay Minerals, Inc. 9.5%01/10/2020 USD 729,000 778,783 0.01Lightstream Resources Ltd., 144A8.625% 01/02/2020 USD 1,514,000 980,315 0.01Lundin Mining Corp., 144A 7.5%01/11/2020 USD 605,000 653,400 0.01Lundin Mining Corp., 144A 7.875%01/11/2022 USD 1,930,000 2,069,925 0.03Masonite International Corp., 144A5.625% 15/03/2023 USD 867,000 881,089 0.01Mattamy Group Corp., 144A 6.5%15/11/2020 USD 2,000,000 1,940,000 0.03Mattamy Group Corp., 144A 6.875%15/11/2020 CAD 1,145,000 925,563 0.01MEG Energy Corp., 144A 6.5%15/03/2021 USD 1,160,000 1,131,000 0.02MEG Energy Corp., 144A 6.375%30/01/2023 USD 9,502,000 8,884,370 0.13MEG Energy Corp., 144A 7%31/03/2024 USD 6,424,000 6,176,676 0.09MPL 2 Acquisition Canco, Inc., 144A9.875% 15/08/2018 USD 1,200,000 1,269,000 0.02New Gold, Inc., 144A 7% 15/04/2020 USD 2,100,000 2,205,000 0.03New Gold, Inc., 144A 6.25% 15/11/2022 USD 485,000 480,756 0.01Novelis, Inc. 8.375% 15/12/2017 USD 1,340,000 1,400,300 0.02Novelis, Inc. 8.75% 15/12/2020 USD 3,875,000 4,099,479 0.06Open Text Corp., 144A 5.625%15/01/2023 USD 607,000 602,448 0.01Precision Drilling Corp. 6.625%15/11/2020 USD 353,000 347,151 0.00Precision Drilling Corp. 6.5%15/12/2021 USD 147,000 143,687 0.00Precision Drilling Corp. 5.25%15/11/2024 USD 1,500,000 1,290,000 0.02Quebecor Media, Inc. 5.75%15/01/2023 USD 4,695,000 4,717,606 0.07Seven Generations Energy Ltd., 144A8.25% 15/05/2020 USD 6,334,000 6,720,374 0.10Taseko Mines Ltd. 7.75% 15/04/2019 USD 860,000 660,050 0.01Trinidad Drilling Ltd., 144A 7.875%15/01/2019 USD 2,200,000 2,233,000 0.03Ultra Petroleum Corp., 144A 5.75%15/12/2018 USD 1,270,000 1,219,200 0.02Ultra Petroleum Corp., 144A 6.125%01/10/2024 USD 3,690,000 3,274,875 0.05Valeant Pharmaceuticals International,Inc., 144A 6.75% 15/08/2018 USD 2,985,000 3,132,384 0.05Valeant Pharmaceuticals International,Inc., 144A 5.375% 15/03/2020 USD 2,325,000 2,391,472 0.03Valeant Pharmaceuticals International,Inc., 144A 7.5% 15/07/2021 USD 10,356,000 11,162,784 0.16Valeant Pharmaceuticals International,Inc., 144A 5.875% 15/05/2023 USD 10,145,000 10,423,988 0.15Valeant Pharmaceuticals International,Inc., 144A 6.125% 15/04/2025 USD 8,240,000 8,476,900 0.12Videotron Ltd., 144A 5.375%15/06/2024 USD 2,686,000 2,726,021 0.04Whiting Canadian Holding Co. ULC8.125% 01/12/2019 USD 2,590,000 2,723,761 0.04

130,466,466 1.90

Cayman IslandsCaelus Re 2013 Ltd., FRN, 144A 6.85%07/04/2020 USD 5,200,000 5,237,700 0.08Caelus Re Ltd., FRN, 144A 5.25%07/03/2016 USD 1,900,000 1,870,027 0.03Dryden XXII Senior Loan Fund, Reg. S,Series 2011-22X Class SUB 0%15/01/2022 USD 4,500,000 3,610,553 0.05East Lane Re V Ltd., FRN, 144A9.005% 16/03/2018 USD 300,000 303,727 0.00East Lane Re V Ltd., FRN, 144A10.755% 16/03/2018 USD 800,000 815,780 0.01East Lane Re VI Ltd., FRN, 144A2.765% 16/03/2020 USD 450,000 438,817 0.01East Lane Re VI Ltd., FRN, 144A3.765% 13/03/2023 USD 3,150,000 3,106,688 0.05Longpoint Re Ltd. III, FRN, 144A3.965% 18/05/2016 USD 250,000 249,906 0.00Longpoint Re Ltd. III, FRN, 144A3.765% 24/05/2021 USD 400,000 398,260 0.01Marine Park CLO Ltd., Reg. S, Series2012-1X Class SUB 0% 18/05/2023 USD 10,800,000 8,267,108 0.12MultiCat Mexico Ltd., FRN Class C, 144A7.5% 04/06/2016 USD 1,000,000 991,925 0.01MultiCat Mexico Ltd., FRN Class A,144A 8% 04/06/2016 USD 2,400,000 2,441,820 0.04Mythen Re Ltd., FRN Class B, 144A8.02% 09/07/2015 USD 10,650,000 10,650,000 0.16Residential Reinsurance 2011 Ltd., FRN,144A 8.915% 06/06/2017 USD 13,414,000 13,251,691 0.19

73



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Residential Reinsurance 2012 Ltd.,FRN, 144A 8.015% 06/06/2018 USD 7,070,000 7,405,472 0.11Residential Reinsurance 2012 Ltd.,FRN, 144A 4.515% 06/12/2018 USD 2,100,000 2,129,295 0.03Residential Reinsurance 2012 Ltd.,FRN, 144A 5.765% 06/12/2018 USD 1,300,000 1,327,365 0.02Residential Reinsurance 2013 Ltd.,FRN, 144A 5.265% 06/12/2019 USD 1,500,000 1,453,425 0.02Residential Reinsurance 2014 Ltd.,FRN, 144A 3.515% 06/06/2020 USD 250,000 252,588 0.00Shelf Drilling Holdings Ltd., 144A8.625% 01/11/2018 USD 950,000 850,250 0.01UPCB Finance IV Ltd., 144A 5.375%15/01/2025 USD 1,045,000 1,015,275 0.01UPCB Finance V Ltd., 144A 7.25%15/11/2021 USD 1,779,300 1,921,644 0.03UPCB Finance VI Ltd., 144A 6.875%15/01/2022 USD 1,313,100 1,408,431 0.02

69,397,747 1.01

GermanyUnitymedia Hessen GmbH & Co. KG,144A 5% 15/01/2025 USD 1,315,000 1,307,406 0.02

1,307,406 0.02

IrelandAerCap Ireland Capital Ltd., 144A3.75% 15/05/2019 USD 615,000 609,425 0.01AerCap Ireland Capital Ltd. 4.25%01/07/2020 USD 890,000 900,012 0.01AerCap Ireland Capital Ltd. 4.625%01/07/2022 USD 890,000 892,670 0.01Ardagh Packaging Finance PLC, FRN,144A 3.286% 15/12/2019 USD 3,840,000 3,748,800 0.06Ardagh Packaging Finance PLC, 144A9.125% 15/10/2020 USD 7,187,000 7,636,187 0.11Ardagh Packaging Finance PLC, 144A9.125% 15/10/2020 USD 1,045,000 1,105,088 0.02Ardagh Packaging Finance PLC, 144A7% 15/11/2020 USD 172,941 177,265 0.00Green Fields II Capital Ltd., FRN, 144A2.75% 09/01/2017 EUR 8,085,000 9,153,989 0.13Grifols Worldwide Operations Ltd.5.25% 01/04/2022 USD 2,195,000 2,208,719 0.03James Hardie International FinanceLtd., 144A 5.875% 15/02/2023 USD 910,000 941,850 0.02

27,374,005 0.40

LuxembourgAltice SA, 144A 7.625% 15/02/2025 USD 1,586,000 1,510,665 0.02Beverage Packaging HoldingsLuxembourg II SA, 144A 5.625%15/12/2016 USD 2,035,000 2,037,544 0.03Beverage Packaging HoldingsLuxembourg II SA, 144A 6%15/06/2017 USD 570,000 571,425 0.01Capsugel SA, 144A 7% 15/05/2019 USD 325,000 331,334 0.00ConvaTec Healthcare E SA, 144A 10.5%15/12/2018 USD 17,070,000 18,044,014 0.26INEOS Group Holdings SA, 144A6.125% 15/08/2018 USD 4,659,000 4,752,180 0.07INEOS Group Holdings SA, 144A5.875% 15/02/2019 USD 5,785,000 5,841,288 0.09Intelsat Jackson Holdings SA 7.25%01/04/2019 USD 1,215,000 1,234,750 0.02Intelsat Jackson Holdings SA 7.25%15/10/2020 USD 13,625,000 13,542,978 0.20Intelsat Jackson Holdings SA 7.5%01/04/2021 USD 4,185,000 4,160,685 0.06Intelsat Jackson Holdings SA 6.625%15/12/2022 USD 8,984,000 8,246,683 0.12Intelsat Jackson Holdings SA 5.5%01/08/2023 USD 5,577,000 4,926,722 0.07Intelsat Luxembourg SA 7.75%01/06/2021 USD 5,882,000 4,911,470 0.07Mallinckrodt International Finance SA,144A 4.875% 15/04/2020 USD 2,100,000 2,142,000 0.03Mallinckrodt International Finance SA,144A 5.5% 15/04/2025 USD 1,745,000 1,703,556 0.02Nielsen Co. Luxembourg SARL (The),144A 5.5% 01/10/2021 USD 1,410,000 1,420,575 0.02NII International Telecom SCA, 144A7.875% 15/08/2019§ USD 3,921,000 3,470,085 0.05NII International Telecom SCA, 144A11.375% 15/08/2019§ USD 386,000 349,330 0.01

79,197,284 1.15

Marshall IslandsNavios Maritime Holdings, Inc., 144A7.375% 15/01/2022 USD 2,400,000 2,061,000 0.03Navios South American Logistics, Inc.,144A 7.25% 01/05/2022 USD 2,426,000 2,325,927 0.03Ocean Rig UDW, Inc., 144A 7.25%01/04/2019 USD 1,446,000 1,135,110 0.02

5,522,037 0.08

NetherlandsBasell Finance Co. BV, 144A 8.1%15/03/2027 USD 1,475,000 1,964,803 0.03Fiat Chrysler Automobiles NV, 144A4.5% 15/04/2020 USD 2,215,000 2,209,717 0.03Fiat Chrysler Automobiles NV, 144A5.25% 15/04/2023 USD 1,110,000 1,092,290 0.02NXP BV, 144A 3.5% 15/09/2016 USD 1,161,000 1,172,610 0.02NXP BV, 144A 3.75% 01/06/2018 USD 780,000 792,675 0.01NXP BV, 144A 5.75% 15/02/2021 USD 3,545,000 3,717,819 0.05NXP BV, 144A 5.75% 15/03/2023 USD 580,000 603,200 0.01Schaeffler Finance BV, 144A 4.25%15/05/2021 USD 1,330,000 1,320,398 0.02Sensata Technologies BV, 144A 5%01/10/2025 USD 1,788,000 1,743,300 0.02

14,616,812 0.21

SupranationalNavios Maritime Acquisition Corp.,144A 8.125% 15/11/2021 USD 660,000 649,275 0.01

649,275 0.01

United KingdomAlgeco Scotsman Global Finance PLC,144A 8.5% 15/10/2018 USD 2,530,000 2,460,425 0.04Barclays PLC, FRN 8.25% Perpetual USD 1,000,000 1,059,230 0.02Jaguar Land Rover Automotive PLC,144A 4.25% 15/11/2019 USD 1,000,000 1,016,250 0.02Jaguar Land Rover Automotive PLC,144A 5.625% 01/02/2023 USD 300,000 314,768 0.00Virgin Media Finance PLC, 144A6.375% 15/04/2023 USD 285,000 296,210 0.00

5,146,883 0.08

United States of America21st Century Oncology, Inc., 144A 11%01/05/2023 USD 1,870,000 1,855,975 0.03ABFC Trust, FRN, Series 2005-HE2Class M3 0.965% 25/06/2035 USD 2,830,000 2,618,579 0.04ABFC Trust, FRN, Series 2005-OPT1Class A2C 0.545% 25/07/2035 USD 123,827 123,108 0.00ABFC Trust, FRN, Series 2006-OPT2Class A2 0.325% 25/10/2036 USD 9,226,509 7,899,635 0.12Academy Ltd., 144A 9.25% 01/08/2019 USD 4,510,000 4,763,687 0.07ACCO Brands Corp. 6.75% 30/04/2020 USD 4,140,000 4,393,182 0.06Accredited Mortgage Loan Trust, STEP,Series 2003-3 Class A1 5.21%25/01/2034 USD 765,163 747,161 0.01Accredited Mortgage Loan Trust, FRN,Series 2006-2 Class A3 0.335%25/09/2036 USD 1,342,309 1,328,497 0.02ACE Cash Express, Inc., 144A 11%01/02/2019 USD 2,931,000 1,659,679 0.02ACE Securities Corp. Home Equity LoanTrust, FRN, Series 2006-FM1 Class A2B0.275% 25/07/2036 USD 10,536,238 3,958,391 0.06ACI Worldwide, Inc., 144A 6.375%15/08/2020 USD 1,625,000 1,718,437 0.03Acosta, Inc., 144A 7.75% 01/10/2022 USD 1,032,000 1,042,114 0.02Adjustable Rate Mortgage Trust, FRN,Series 2005-5 Class 5A1 2.844%25/09/2035 USD 4,356,257 3,884,710 0.06Advanced Micro Devices, Inc. 6.75%01/03/2019 USD 1,567,000 1,424,536 0.02Advanced Micro Devices, Inc. 7.75%01/08/2020 USD 1,428,000 1,240,011 0.02Advanced Micro Devices, Inc. 7%01/07/2024 USD 1,408,000 1,193,407 0.02AECOM, 144A 5.75% 15/10/2022 USD 2,325,000 2,377,312 0.03AECOM, 144A 5.875% 15/10/2024 USD 4,075,000 4,146,068 0.06AES Corp., FRN 3.283% 01/06/2019 USD 5,720,000 5,734,300 0.08Ahern Rentals, Inc., 144A 7.375%15/05/2023 USD 1,540,000 1,524,600 0.02Air Medical Merger Sub Corp., 144A6.375% 15/05/2023 USD 1,230,000 1,171,575 0.02Albertsons Holdings LLC, 144A 7.75%15/10/2022 USD 3,020,000 3,212,525 0.05Alcatel-Lucent USA, Inc., 144A 4.625%01/07/2017 USD 1,309,000 1,344,997 0.02

74



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Alcatel-Lucent USA, Inc., 144A 8.875%01/01/2020 USD 2,375,000 2,588,750 0.04Alcatel-Lucent USA, Inc., 144A 6.75%15/11/2020 USD 3,263,000 3,438,386 0.05Alere, Inc. 6.5% 15/06/2020 USD 1,504,000 1,557,302 0.02Alere, Inc., 144A 6.375% 01/07/2023 USD 395,000 401,715 0.01Aleris International, Inc. 7.625%15/02/2018 USD 324,000 330,880 0.00Aleris International, Inc. 7.875%01/11/2020 USD 1,879,000 1,953,944 0.03Allegiant Travel Co. 5.5% 15/07/2019 USD 2,850,000 2,886,950 0.04Alliance Data Systems Corp., 144A5.375% 01/08/2022 USD 492,000 487,080 0.01Ally Financial, Inc., FRN 2.955%18/07/2016 USD 6,978,000 7,057,452 0.10Alternative Loan Trust, Series2004-5CB Class 2A1 5% 25/05/2019 USD 531,520 545,685 0.01Alternative Loan Trust, Series2005-50CB Class 4A1 5% 25/11/2020 USD 568,291 570,568 0.01Alternative Loan Trust, Series 2005-J11Class 5A1 5.5% 25/11/2020 USD 968,017 941,747 0.01Alternative Loan Trust, Series 2006-J3Class 2A1 4.75% 25/12/2020 USD 199,986 178,131 0.00Alternative Loan Trust, Series 2005-J6Class 2A1 5.5% 25/07/2025 USD 1,234,658 1,264,744 0.02Alternative Loan Trust, Series 2005-J3Class 3A1 6.5% 25/09/2034 USD 902,335 926,612 0.01Alternative Loan Trust, Series2005-28CB Class 1A6 5.5% 25/08/2035 USD 4,957,068 4,832,579 0.07Alternative Loan Trust, Series2005-70CB Class A5 5.5% 25/12/2035 USD 3,314,136 3,096,470 0.05Alternative Loan Trust, Series2006-24CB Class A1 6% 25/06/2036 USD 1,937,242 1,780,701 0.03Alternative Loan Trust, Series2006-24CB Class A23 6% 25/06/2036 USD 3,758,795 3,458,170 0.05Alternative Loan Trust, Series2006-28CB Class A17 6% 25/10/2036 USD 772,036 638,531 0.01Alternative Loan Trust, Series2006-31CB Class A3 6% 25/11/2036 USD 3,314,315 3,002,627 0.04Alternative Loan Trust, Series2006-41CB Class 2A17 6% 25/01/2037 USD 732,654 668,474 0.01Alternative Loan Trust, Series2007-5CB Class 1A31 5.5% 25/04/2037 USD 887,718 732,622 0.01Alternative Loan Trust, Series 2008-2RClass 2A1 6% 25/08/2037 USD 329,000 266,750 0.00AMC Entertainment, Inc., 144A 5.75%15/06/2025 USD 2,510,000 2,453,525 0.04AMC Networks, Inc. 7.75% 15/07/2021 USD 5,638,000 6,088,053 0.09American Energy-Permian Basin LLC,144A 8% 15/06/2020 USD 1,265,000 1,249,187 0.02American Energy-Permian Basin LLC,144A 7.125% 01/11/2020 USD 550,000 376,750 0.01American Energy-Permian Basin LLC,144A 7.375% 01/11/2021 USD 1,015,000 695,275 0.01American Home Mortgage AssetsTrust, FRN, Series 2006-2 Class 2A10.375% 25/09/2046 USD 876,548 651,229 0.01Ameriquest Mortgage Securities Trust,FRN, Series 2006-M3 Class A2B0.287% 25/10/2036 USD 5,777,493 2,500,967 0.04Ameriquest Mortgage Securities Trust,FRN, Series 2006-M3 Class A2C0.347% 25/10/2036 USD 8,029,388 3,503,812 0.05Ameriquest Mortgage Securities Trust,FRN, Series 2006-M3 Class A2D0.427% 25/10/2036 USD 3,542,599 1,566,495 0.02Amkor Technology, Inc. 6.625%01/06/2021 USD 2,485,000 2,540,155 0.04Amkor Technology, Inc. 6.375%01/10/2022 USD 3,650,000 3,690,971 0.05AMRESCO Residential Securities Corp.,FRN, Series 1998-3 Class M1A 0.815%25/09/2028 USD 1,239,727 1,163,067 0.02Amsurg Corp. 5.625% 30/11/2020 USD 555,000 566,100 0.01Apex Tool Group LLC, 144A 7%01/02/2021 USD 525,000 473,812 0.01Apple, Inc., FRN 0.58% 06/05/2019 USD 43,100,000 43,253,781 0.63Apple, Inc. 3.85% 04/05/2043 USD 11,150,000 10,185,190 0.15Arch Coal, Inc., 144A 8% 15/01/2019 USD 555,000 130,425 0.00Argent Securities Trust, FRN, Series2006-M2 Class A2D 0.427%25/09/2036 USD 4,964,636 2,043,203 0.03Argent Securities, Inc., FRN, Series2005-W4 Class A2D 0.565%25/02/2036 USD 2,498,430 1,698,532 0.02Argos Merger Sub, Inc., 144A 7.125%15/03/2023 USD 7,687,000 8,097,755 0.12A-S Co-Issuer Subsidiary, Inc., 144A7.875% 15/12/2020 USD 525,000 556,500 0.01Ashland, Inc. 4.75% 15/08/2022 USD 6,165,000 6,091,051 0.09Ashtead Capital, Inc., 144A 6.5%15/07/2022 USD 3,969,000 4,256,752 0.06

Aspect Software, Inc. 10.625%15/05/2017 USD 2,070,000 1,997,550 0.03Associated Materials LLC 9.125%01/11/2017 USD 1,320,000 1,111,473 0.02Atlas Energy Holdings Operating Co.LLC 7.75% 15/01/2021 USD 915,000 672,525 0.01Audatex North America, Inc., 144A 6%15/06/2021 USD 6,432,000 6,616,920 0.10Audatex North America, Inc., 144A6.125% 01/11/2023 USD 630,000 648,112 0.01Avaya, Inc., 144A 7% 01/04/2019 USD 8,985,000 8,816,531 0.13Avaya, Inc., 144A 10.5% 01/03/2021 USD 2,035,000 1,678,875 0.02Avis Budget Car Rental LLC, 144A5.125% 01/06/2022 USD 1,520,000 1,476,300 0.02Avis Budget Car Rental LLC 5.5%01/04/2023 USD 2,080,000 2,050,339 0.03Avis Budget Car Rental LLC, 144A5.25% 15/03/2025 USD 3,158,000 2,956,677 0.04Axalta Coating Systems US Holdings,Inc., 144A 7.375% 01/05/2021 USD 1,065,000 1,142,213 0.02BAMLL Commercial MortgageSecurities Trust, FRN, Series2013-DSNY Class F 144A 3.686%15/09/2026 USD 5,710,000 5,702,197 0.08BAMLL Commercial MortgageSecurities Trust, FRN, Series2015-ASHF Class D 144A 3.186%15/01/2028 USD 4,160,000 4,157,400 0.06BAMLL Commercial MortgageSecurities Trust, FRN, Series2015-ASHF Class E 144A 4.186%15/01/2028 USD 4,480,000 4,478,275 0.07BAMLL Commercial MortgageSecurities Trust, FRN, Series 2014-INLDClass E 144A 3.515% 15/12/2029 USD 18,200,000 17,912,822 0.26BAMLL Commercial MortgageSecurities Trust, FRN, Series 2014-FL1Class D 144A 4.186% 15/12/2031 USD 8,420,000 8,268,423 0.12BAMLL Commercial MortgageSecurities Trust, FRN, Series 2014-FL1Class E 144A 5.686% 15/12/2031 USD 13,630,000 12,326,018 0.18Banc of America Alternative LoanTrust, Series 2006-4 Class 2A1 6%25/05/2021 USD 1,746,861 1,716,490 0.03Banc of America Alternative LoanTrust, Series 2004-1 Class 1A1 6%25/02/2034 USD 2,724,547 2,917,444 0.04Banc of America Alternative LoanTrust, Series 2004-12 Class 2CB1 6%25/01/2035 USD 1,832,754 1,788,940 0.03Banc of America Alternative LoanTrust, Series 2005-2 Class 2CB1 6%25/03/2035 USD 1,844,732 1,719,628 0.03Banc of America Funding Trust, PO,Series 2005-7 Class 4A8 0.004%25/11/2035 USD 319,244 275,725 0.00Banc of America Funding Trust, Series2006-1 Class 2A1 5.5% 25/01/2036 USD 846,945 853,217 0.01Banc of America Funding Trust, FRN,Series 2006-D Class 5A2 4.797%20/05/2036 USD 1,331,457 1,222,060 0.02Banc of America Funding Trust, FRN,Series 2014-R7 Class 1A1 144A 0.331%26/05/2036 USD 4,656,450 4,233,050 0.06Banc of America Funding Trust, FRN,Series 2014-R7 Class 2A1 144A 0.321%26/09/2036 USD 1,089,212 1,007,957 0.01Banc of America Funding Trust, FRN,Series 2015-R1 Class A1 144A 0.371%26/05/2037 USD 4,942,010 4,592,052 0.07Banc of America Funding Trust, Series2007-3 Class 1A1 6% 25/09/2037 USD 3,363,142 3,079,787 0.04Banc of America Mortgage Trust,Series 2005-11 Class 2A1 5.25%25/12/2020 USD 506,523 513,732 0.01Bank of America Corp., FRN 5.125%Perpetual USD 3,730,000 3,655,213 0.05Bank of America Corp., FRN 6.1%Perpetual USD 2,221,000 2,191,605 0.03Bank of America Corp., FRN 8%Perpetual USD 13,048,000 13,754,158 0.20Bank of America Corp., FRN 8.125%Perpetual USD 7,719,000 8,206,725 0.12BCAP LLC Trust, FRN, Series 2013-RR12Class 2A7 144A 0.331% 26/05/2037 USD 1,028,000 986,880 0.01Bear Stearns ARM Trust, FRN, Series2005-12 Class 22A1 2.257%25/02/2036 USD 5,050,799 4,703,112 0.07Bear Stearns Asset-Backed Securities ITrust, STEP, Series 2004-AC5 Class A15.75% 25/10/2034 USD 2,028,457 2,075,924 0.03Belden, Inc., 144A 5.5% 01/09/2022 USD 3,169,000 3,176,922 0.05Belden, Inc., 144A 5.25% 15/07/2024 USD 733,000 720,172 0.01

75



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

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Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Blackboard, Inc., 144A 7.75%15/11/2019 USD 2,445,000 2,310,525 0.03Blue Coat Holdings, Inc., 144A 8.375%01/06/2023 USD 1,530,000 1,556,775 0.02Blue Racer Midstream LLC, 144A6.125% 15/11/2022 USD 1,690,000 1,740,700 0.03BlueLine Rental Finance Corp., 144A7% 01/02/2019 USD 2,500,000 2,556,250 0.04BreitBurn Energy Partners LP 8.625%15/10/2020 USD 4,467,000 3,953,295 0.06BreitBurn Energy Partners LP 7.875%15/04/2022 USD 4,117,000 3,440,577 0.05Building Materials Corp. of America,144A 6.75% 01/05/2021 USD 1,750,000 1,837,290 0.03Bumble Bee Holdings, Inc., 144A 9%15/12/2017 USD 10,198,000 10,682,405 0.16Caesars Entertainment Operating Co.,Inc. 11.25% 01/06/2017§ USD 4,210,000 3,389,050 0.05Caesars Entertainment Operating Co.,Inc. 8.5% 15/02/2020§ USD 4,390,000 3,594,773 0.05Caesars Entertainment Operating Co.,Inc. 9% 15/02/2020§ USD 515,000 421,651 0.01Caesars Entertainment Operating Co.,Inc. 9% 15/02/2020§ USD 9,415,000 7,708,060 0.11Caesars Entertainment ResortProperties LLC 8% 01/10/2020 USD 1,600,000 1,520,000 0.02Calpine Corp., 144A 6% 15/01/2022 USD 5,000,000 5,300,000 0.08Carrington Mortgage Loan Trust, FRN,Series 2006-NC2 Class A3 0.335%25/06/2036 USD 5,102,000 4,261,027 0.06Carrington Mortgage Loan Trust, FRN,Series 2006-FRE2 Class A2 0.307%25/10/2036 USD 6,634,678 4,020,409 0.06Carrizo Oil & Gas, Inc. 7.5%15/09/2020 USD 3,335,000 3,515,490 0.05Carrizo Oil & Gas, Inc. 6.25%15/04/2023 USD 1,506,000 1,517,641 0.02Casella Waste Systems, Inc. 7.75%15/02/2019 USD 3,775,000 3,803,312 0.06CCM Merger, Inc., 144A 9.125%01/05/2019 USD 1,039,000 1,122,120 0.02CCO Holdings LLC 7% 15/01/2019 USD 1,982,000 2,055,810 0.03CCO Holdings LLC 7.375% 01/06/2020 USD 2,690,000 2,842,913 0.04CCO Holdings LLC 5.25% 15/03/2021 USD 1,560,000 1,557,559 0.02CCO Holdings LLC 6.5% 30/04/2021 USD 2,789,000 2,911,939 0.04CCO Holdings LLC 6.625% 31/01/2022 USD 835,000 872,658 0.01CCO Holdings LLC 5.125% 15/02/2023 USD 1,160,000 1,134,004 0.02CCO Holdings LLC, 144A 5.125%01/05/2023 USD 5,130,000 4,983,667 0.07CCO Holdings LLC 5.75% 01/09/2023 USD 735,000 739,509 0.01CCO Holdings LLC, 144A 5.375%01/05/2025 USD 4,953,000 4,804,410 0.07CDW LLC 6% 15/08/2022 USD 1,145,000 1,187,892 0.02CDW LLC 5% 01/09/2023 USD 453,000 446,280 0.01CDW LLC 5.5% 01/12/2024 USD 370,000 369,075 0.01CEB, Inc., 144A 5.625% 15/06/2023 USD 2,358,000 2,375,685 0.03Cemex Finance LLC, 144A 9.375%12/10/2022 USD 11,470,000 12,817,725 0.19Centex Home Equity Loan Trust, STEP,Series 2005-C Class AF6 4.638%25/06/2035 USD 37,217 37,639 0.00Central Garden & Pet Co. 8.25%01/03/2018 USD 3,657,000 3,752,996 0.05CenturyLink, Inc. 6.75% 01/12/2023 USD 4,615,000 4,643,013 0.07CenturyLink, Inc., 144A 5.625%01/04/2025 USD 1,460,000 1,317,650 0.02Cenveo Corp., 144A 6% 01/08/2019 USD 500,000 470,000 0.01Cequel Communications Holdings I LLC,144A 5.125% 15/12/2021 USD 652,000 592,505 0.01CG-CCRE Commercial Mortgage Trust,FRN, Series 2014-FL2 Class COL1 144A3.686% 15/11/2031 USD 1,306,000 1,310,449 0.02CG-CCRE Commercial Mortgage Trust,FRN, Series 2014-FL2 Class COL2 144A4.686% 15/11/2031 USD 3,229,000 3,218,000 0.05Chaparral Energy, Inc. 9.875%01/10/2020 USD 2,887,000 2,352,905 0.03Chaparral Energy, Inc. 8.25%01/09/2021 USD 646,000 481,270 0.01Chaparral Energy, Inc. 7.625%15/11/2022 USD 5,275,000 3,820,076 0.06Chase Mortgage Finance Trust, Series2005-S1 Class 1A15 6% 25/05/2035 USD 2,047,473 2,168,980 0.03Chemours Co. (The), 144A 6.625%15/05/2023 USD 4,363,000 4,221,202 0.06Chemours Co. (The), 144A 7%15/05/2025 USD 995,000 965,150 0.01Chesapeake Energy Corp. 6.5%15/08/2017 USD 1,536,000 1,573,402 0.02Chesapeake Energy Corp. 6.875%15/11/2020 USD 670,000 656,325 0.01

Chinos Intermediate Holdings A, Inc.,144A 7.75% 01/05/2019 USD 1,485,000 1,202,850 0.02CHL Mortgage Pass-Through Trust,Series 2005-20 Class A7 5.25%25/12/2027 USD 1,596,911 1,545,141 0.02CHL Mortgage Pass-Through Trust,Series 2005-21 Class A2 5.5%25/10/2035 USD 456,231 458,153 0.01CHL Mortgage Pass-Through Trust,Series 2006-15 Class A1 6.25%25/10/2036 USD 1,387,736 1,252,202 0.02CHL Mortgage Pass-Through Trust,Series 2006-20 Class 1A36 5.75%25/02/2037 USD 1,093,719 1,001,322 0.01CHL Mortgage Pass-Through Trust,FRN, Series 2007-5 Class A6 0.537%25/05/2037 USD 1,336,199 1,046,613 0.02CHL Mortgage Pass-Through Trust,Series 2007-17 Class 1A1 6%25/10/2037 USD 4,420,608 4,357,813 0.06Chrysler Group LLC 8.25% 15/06/2021 USD 19,155,000 20,939,480 0.30Chukchansi Economic DevelopmentAuthority, 144A 10.166% 30/05/2020§ USD 7,177,035 4,342,106 0.06CIT Group, Inc., 144A 6.625%01/04/2018 USD 470,000 499,375 0.01CIT Group, Inc., 144A 5.5% 15/02/2019 USD 8,110,000 8,472,922 0.12Citicorp Mortgage Securities Trust,Series 2007-5 Class 1A9 6%25/06/2037 USD 3,428,616 3,548,975 0.05Citicorp Residential Mortgage Trust,STEP, Series 2006-1 Class A4 5.796%25/07/2036 USD 836,412 867,831 0.01Citigroup Mortgage Loan Trust, Series2006-4 Class 1A1 5.5% 25/12/2020 USD 918,259 906,751 0.01Citigroup Mortgage Loan Trust, FRN,Series 2014-10 Class 5A1 144A 0.331%25/06/2036 USD 1,978,068 1,812,897 0.03Citigroup Mortgage Loan Trust, FRN,Series 2014-11 Class 4A1 144A 0.281%25/07/2036 USD 2,195,580 1,987,937 0.03Citigroup Mortgage Loan Trust, FRN,Series 2014-10 Class 3A1 144A 0.381%25/07/2036 USD 3,515,672 3,250,390 0.05Citigroup Mortgage Loan Trust, FRN,Series 2014-12 Class 1A4 144A 0.306%25/08/2036 USD 7,382,677 6,749,662 0.10Citigroup Mortgage Loan Trust, FRN,Series 2014-10 Class 1A1 144A 0.316%25/11/2036 USD 2,040,571 1,832,711 0.03Citigroup Mortgage Loan Trust, FRN,Series 2014-10 Class 4A1 144A 0.35%25/02/2037 USD 3,464,466 3,158,522 0.05Citigroup Mortgage Loan Trust, FRN,Series 2014-12 Class 2A4 144A 4.43%25/02/2037 USD 1,100,612 1,104,735 0.02Citigroup Mortgage Loan Trust, FRN,Series 2007-AMC4 Class A2B 0.325%25/05/2037 USD 4,809,458 4,684,087 0.07Citigroup Mortgage Loan Trust, FRN,Series 2013-11 Class 1A4 144A 0.351%25/10/2046 USD 2,359,189 2,179,301 0.03Citigroup Mortgage Loan Trust, Inc.,FRN, Series 2007-AMC1 Class A2A0.235% 25/12/2036 USD 597,268 335,273 0.00Citigroup, Inc., FRN 5.875% Perpetual USD 3,320,000 3,323,818 0.05CitiMortgage Alternative Loan Trust,Series 2006-A1 Class 1A5 5.5%25/04/2036 USD 1,500,350 1,405,220 0.02CitiMortgage Alternative Loan Trust,Series 2006-A1 Class 1A6 6%25/04/2036 USD 483,984 463,533 0.01CitiMortgage Alternative Loan Trust,Series 2007-A1 Class 1A7 6%25/01/2037 USD 612,061 527,191 0.01City of New York 5% 01/03/2026 USD 1,570,000 1,825,502 0.03Claire’s Stores, Inc. 8.875%15/03/2019 USD 7,610,000 3,424,500 0.05Claire’s Stores, Inc., 144A 9%15/03/2019 USD 12,381,000 10,665,612 0.16Claire’s Stores, Inc., 144A 6.125%15/03/2020 USD 4,106,000 3,284,800 0.05Clear Channel Worldwide Holdings, Inc.6.5% 15/11/2022 USD 15,755,000 16,379,449 0.24Clear Channel Worldwide Holdings, Inc.6.5% 15/11/2022 USD 2,270,000 2,314,344 0.03CNG Holdings, Inc., 144A 9.375%15/05/2020 USD 4,332,000 3,249,000 0.05Cogent Communications Finance, Inc.,144A 5.625% 15/04/2021 USD 2,720,000 2,577,200 0.04Cogent Communications Group, Inc.,144A 5.375% 01/03/2022 USD 1,895,000 1,880,787 0.03

76



As at 30 June 2015


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USD

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ValueMarket Value

USD

%of

NetAssets

COMM Mortgage Trust, FRN, Series2014-FL5 Class KH1 144A 3.836%15/08/2031 USD 5,970,000 5,569,598 0.08COMM Mortgage Trust, FRN, Series2014-FL5 Class KH2 144A 4.686%15/08/2031 USD 3,830,000 3,555,436 0.05COMM Mortgage Trust, Series2015-CR23 Class CMD 144A 3.807%10/05/2048 USD 10,980,000 10,468,678 0.15Commonwealth of Pennsylvania 5%01/04/2025 USD 1,570,000 1,830,400 0.03CommScope Technologies Finance LLC,144A 6% 15/06/2025 USD 1,780,000 1,771,100 0.03CommScope, Inc., 144A 4.375%15/06/2020 USD 930,000 940,462 0.01CommScope, Inc., 144A 5% 15/06/2021 USD 1,640,000 1,596,950 0.02CommScope, Inc., 144A 5.5%15/06/2024 USD 1,952,000 1,905,640 0.03Communications Sales & Leasing, Inc.,REIT, 144A 8.25% 15/10/2023 USD 3,125,000 3,068,750 0.04Compressco Partners LP, 144A 7.25%15/08/2022 USD 525,000 504,000 0.01Comstock Resources, Inc., 144A 10%15/03/2020 USD 3,675,000 3,333,519 0.05Continental Airlines Pass ThroughTrust, Series 2003-ERJ1 7.875%02/07/2018 USD 2,838,803 2,980,743 0.04Continental Airlines Pass ThroughTrust, Series 2004-ERJ1 9.558%01/09/2019 USD 1,931,744 2,120,089 0.03Continental Airlines Pass ThroughTrust, Series 2006-ERJ1 144A 9.318%05/01/2021 USD 1,549,155 1,719,562 0.03Continental Airlines Pass ThroughTrust, Series 2005-ERJ1 9.798%01/04/2021 USD 4,004,277 4,484,790 0.07Corrections Corp. of America, REIT4.625% 01/05/2023 USD 1,460,000 1,435,107 0.02Cott Beverages, Inc., 144A 6.75%01/01/2020 USD 2,525,000 2,607,062 0.04Cott Beverages, Inc. 5.375%01/07/2022 USD 3,250,000 3,176,875 0.05Covenant Surgical Partners, Inc., 144A8.75% 01/08/2019 USD 2,885,000 2,938,372 0.04Credit Suisse First Boston MortgageSecurities Corp., FRN, Series2003-AR24 Class 2A4 2.535%25/10/2033 USD 1,680,965 1,663,220 0.02Credit-Based Asset Servicing andSecuritization LLC, STEP, Series2005-CB4 Class AF4 4.687%25/07/2035 USD 16,153 16,111 0.00Credit-Based Asset Servicing andSecuritization LLC, FRN, Series2006-CB4 Class AV4 0.425%25/05/2036 USD 2,460,217 1,929,868 0.03Credit-Based Asset Servicing andSecuritization LLC, FRN, Series2006-CB8 Class A1 0.325% 25/10/2036 USD 6,143,464 4,809,380 0.07Crestwood Midstream Partners LP,144A 6.25% 01/04/2023 USD 1,320,000 1,383,796 0.02CrownRock LP, 144A 7.125%15/04/2021 USD 1,875,000 1,954,687 0.03CrownRock LP, 144A 7.75%15/02/2023 USD 2,002,000 2,132,130 0.03CSAB Mortgage-Backed Trust, FRN,Series 2006-2 Class A2 0.355%25/09/2036 USD 3,400,960 1,774,821 0.03CSMC, FRN, Series 2011-12R Class 3A1144A 1.91% 27/07/2036 USD 2,116,341 2,099,029 0.03CSMC, FRN, Series 2015-3R Class 5A1144A 0.434% 29/09/2036 USD 5,468,135 5,255,633 0.08CSMC, FRN, Series 2014-11R Class 9A1144A 0.321% 27/10/2036 USD 6,181,096 5,865,537 0.09CSMC, FRN, Series 2014-10R Class 4A1144A 0.344% 27/12/2036 USD 2,237,297 2,139,771 0.03CSMC, FRN, Series 2014-11R Class 8A1144A 0.521% 27/04/2037 USD 1,586,101 1,534,376 0.02CSMC Trust, FRN, Series 2015-DEALClass E 144A 4.186% 15/04/2029 USD 18,440,000 18,480,658 0.27CTP Transportation Products LLC, 144A8.25% 15/12/2019 USD 1,735,000 1,804,400 0.03CWABS, Inc., FRN, Series 2005-12 Class1A4 5.323% 25/02/2036 USD 143,601 143,639 0.00Darling Ingredients, Inc. 5.375%15/01/2022 USD 2,200,000 2,209,240 0.03Dean Foods Co., 144A 6.5%15/03/2023 USD 4,037,000 4,137,380 0.06Delta Air Lines, Inc. Class B, 144A6.875% 07/05/2019 USD 217,499 235,986 0.00Denali Borrower LLC, 144A 5.625%15/10/2020 USD 9,336,000 9,812,323 0.14

Deutsche Alt-A Securities, Inc., FRN,Series 2005-1 Class 2A1 5.78%25/02/2020 USD 486,197 502,707 0.01Deutsche Alt-A Securities, Inc., FRN,Series 2005-1 Class 1A1 0.687%25/02/2035 USD 1,713,037 1,599,563 0.02Deutsche Mortgage Securities, Inc.,FRN, Series 2007-WM1 Class A1 144A4.364% 27/06/2037 USD 9,367,917 9,393,735 0.14Diamondback Energy, Inc. 7.625%01/10/2021 USD 2,187,000 2,344,311 0.03DISH DBS Corp. 7.875% 01/09/2019 USD 4,054,000 4,497,933 0.07DISH DBS Corp. 5.125% 01/05/2020 USD 675,000 680,984 0.01DISH DBS Corp. 6.75% 01/06/2021 USD 10,452,000 10,926,469 0.16DISH DBS Corp. 5.875% 15/07/2022 USD 8,150,000 7,991,482 0.12DISH DBS Corp. 5.875% 15/11/2024 USD 6,460,000 6,210,353 0.09DJO Finco, Inc., 144A 8.125%15/06/2021 USD 4,520,000 4,629,248 0.07Downstream Development Authority ofthe Quapaw Tribe of Oklahoma, 144A10.5% 01/07/2019 USD 2,877,000 2,761,920 0.04DreamWorks Animation SKG, Inc., 144A6.875% 15/08/2020 USD 2,640,000 2,626,800 0.04DS Services of America, Inc., 144A 10%01/09/2021 USD 3,197,000 3,760,471 0.05DuPont Fabros Technology LP, REIT5.875% 15/09/2021 USD 1,006,000 1,021,090 0.01Dynegy, Inc., 144A 7.375% 01/11/2022 USD 1,980,000 2,092,207 0.03Dynegy, Inc., 144A 7.625% 01/11/2024 USD 995,000 1,057,187 0.02Ellington Loan Acquisition Trust, FRN,Series 2007-1 Class A2B 144A 1.085%28/05/2037 USD 2,506,860 2,478,829 0.04Emdeon, Inc. 11% 31/12/2019 USD 1,550,000 1,687,562 0.02Endeavor Energy Resources LP, 144A7% 15/08/2021 USD 5,629,000 5,600,855 0.08Endeavor Energy Resources LP, 144A8.125% 15/09/2023 USD 658,000 677,740 0.01Endo Finance LLC, 144A 7%15/07/2019 USD 5,980,000 6,204,250 0.09Endo Finance LLC, 144A 6.375%15/06/2023 USD 3,246,000 3,262,230 0.05Endo Finance LLC, 144A 6%15/07/2023 USD 3,680,000 3,762,800 0.05Energizer Holdings, Inc., 144A 5.5%15/06/2025 USD 3,695,000 3,639,575 0.05Entegris, Inc., 144A 6% 01/04/2022 USD 3,744,000 3,851,640 0.06EP Energy LLC 9.375% 01/05/2020 USD 14,638,000 15,733,801 0.23EP Energy LLC 7.75% 01/09/2022 USD 4,057,000 4,276,139 0.06Equinix, Inc. 5.375% 01/01/2022 USD 2,599,000 2,607,421 0.04Equinix, Inc. 5.75% 01/01/2025 USD 1,100,000 1,096,337 0.02EV Energy Partners LP 8% 15/04/2019 USD 2,840,000 2,668,535 0.04Exterran Partners LP 6% 01/10/2022 USD 1,840,000 1,752,600 0.03FGI Operating Co. LLC 7.875%01/05/2020 USD 3,190,000 2,472,250 0.04FHLB 0% 08/07/2015 USD 1,500,000 1,499,982 0.02FHLB 0% 12/08/2015 USD 6,800,000 6,798,884 0.10FHLB 0.2% 19/08/2015 USD 13,000,000 13,002,067 0.19FHLB 0.2% 25/08/2015 USD 25,000,000 25,004,225 0.36FHLB 0.2% 14/09/2015 USD 23,550,000 23,555,322 0.34FHLB 0.2% 15/09/2015 USD 25,000,000 25,007,175 0.36FHLB 0.2% 01/12/2015 USD 19,520,000 19,528,823 0.28FHLB 0.125% 08/12/2015 USD 4,580,000 4,578,214 0.07FHLB 0.23% 08/01/2016 USD 43,090,000 43,100,902 0.63FHLB 0.2% 29/02/2016 USD 3,150,000 3,148,614 0.05FHLB 0.25% 20/04/2016 USD 7,780,000 7,777,386 0.11FHLMC 0.5% 28/08/2015 USD 5,352,000 5,355,597 0.08FHLMC, FRN, Series 2014-DN1 Class M22.385% 25/02/2024 USD 5,745,000 5,732,401 0.08FHLMC, FRN, Series 2014-DN2 Class M21.835% 25/04/2024 USD 2,312,000 2,259,770 0.03FHLMC, FRN, Series 2014-DN2 Class M33.785% 25/04/2024 USD 1,625,000 1,570,596 0.02FHLMC, FRN, Series 2014-DN3 Class M22.585% 25/08/2024 USD 607,000 609,959 0.01FHLMC, FRN, Series 2014-DN3 Class M34.185% 25/08/2024 USD 3,430,000 3,417,210 0.05FHLMC REMIC, IO, Series 3737 Class LI4.5% 15/05/2024 USD 3,928,390 253,270 0.00FHLMC REMIC, IO, FRN, Series 2906Class SW 6.514% 15/11/2034 USD 392,093 10,215 0.00FHLMC REMIC, IO, FRN, Series 3155Class PS 6.964% 15/05/2036 USD 2,676,204 444,562 0.01FHLMC REMIC, PO, Series 3171 Class OJ0% 15/06/2036 USD 356,270 293,438 0.00FHLMC REMIC, IO, FRN, Series 3218Class AS 6.395% 15/09/2036 USD 2,257,693 437,874 0.01FHLMC REMIC, IO, FRN, Series 4033Class SC 6.365% 15/10/2036 USD 5,320,134 1,027,078 0.01FHLMC REMIC, IO, FRN, Series 3236Class IS 6.464% 15/11/2036 USD 2,425,833 510,242 0.01

77



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

FHLMC REMIC, IO, FRN, Series 4086Class TS 5.915% 15/04/2037 USD 7,548,087 1,187,238 0.02FHLMC REMIC, Series 3827 Class H 4%15/09/2037 USD 174,748 174,794 0.00FHLMC REMIC, IO, FRN, Series 4093Class SD 6.514% 15/01/2038 USD 13,918,543 3,123,914 0.05FHLMC REMIC, IO, FRN, Series 3997Class HS 6.365% 15/03/2038 USD 10,275,380 1,760,404 0.03FHLMC REMIC, IO, FRN, Series 3692Class PS 6.415% 15/05/2038 USD 2,273,308 167,214 0.00FHLMC REMIC, IO, FRN, Series 3962Class KS 1.903% 15/06/2038 USD 8,330,680 734,959 0.01FHLMC REMIC, IO, FRN, Series 4073Class AS 5.865% 15/08/2038 USD 13,144,081 2,151,640 0.03FHLMC REMIC, IO, FRN, Series 4229Class AS 5.965% 15/12/2038 USD 6,434,391 1,137,832 0.02FHLMC REMIC, IO, Series 4002 Class MI4% 15/01/2039 USD 18,810,729 3,137,082 0.05FHLMC REMIC, IO, Series 4050 Class EI4% 15/02/2039 USD 15,916,948 2,239,472 0.03FHLMC REMIC, IO, FRN, Series 4084Class GS 5.865% 15/04/2039 USD 24,598,426 3,988,426 0.06FHLMC REMIC, IO, FRN, Series 4057Class SA 5.865% 15/04/2039 USD 91,098,989 14,498,404 0.21FHLMC REMIC, IO, FRN, Series 4057Class CS 5.865% 15/04/2039 USD 7,321,374 1,273,099 0.02FHLMC REMIC, IO, FRN, Series 3850Class LS 1.72% 15/05/2039 USD 3,688,959 270,653 0.00FHLMC REMIC, IO, Series 4267 Class CI4% 15/05/2039 USD 7,649,799 1,133,586 0.02FHLMC REMIC, IO, FRN, Series 4083Class MS 5.865% 15/05/2039 USD 15,506,164 2,720,851 0.04FHLMC REMIC, IO, FRN, Series 4097Class TS 5.915% 15/05/2039 USD 17,207,647 3,395,766 0.05FHLMC REMIC, IO, FRN, Series 4102Class SW 5.915% 15/05/2039 USD 4,364,583 890,907 0.01FHLMC REMIC, IO, FRN, Series 4174Class SA 6.014% 15/05/2039 USD 29,349,647 5,232,763 0.08FHLMC REMIC, IO, FRN, Series 4099Class BS 5.865% 15/06/2039 USD 9,128,368 1,805,153 0.03FHLMC REMIC, IO, FRN, Series 4199Class SD 6.014% 15/06/2039 USD 18,381,302 3,394,475 0.05FHLMC REMIC, IO, FRN, Series 4113Class JS 5.865% 15/07/2039 USD 4,017,484 705,277 0.01FHLMC REMIC, IO, FRN, Series 4057Class BS 5.865% 15/09/2039 USD 10,881,093 1,872,963 0.03FHLMC REMIC, IO, FRN, Series 4123Class SA 6.014% 15/09/2039 USD 4,658,785 851,446 0.01FHLMC REMIC, IO, FRN, Series 4116Class MS 6.014% 15/11/2039 USD 6,321,977 1,359,329 0.02FHLMC REMIC, IO, FRN, Series 4136Class SA 6.014% 15/12/2039 USD 5,254,266 987,200 0.01FHLMC REMIC, IO, FRN, Series 4122Class SJ 5.965% 15/12/2040 USD 27,562,211 5,504,422 0.08FHLMC REMIC, IO, FRN, Series 4132Class SE 6.014% 15/12/2040 USD 5,167,198 1,043,224 0.02FHLMC REMIC, IO, FRN, Series 4013Class SB 6.265% 15/03/2042 USD 4,638,592 1,160,791 0.02FHLMC REMIC, IO, FRN, Series 4097Class SA 5.865% 15/08/2042 USD 14,968,694 3,314,346 0.05FHLMC REMIC, Series 4100 Class KJ3.5% 15/08/2042 USD 581,831 577,840 0.01Fieldstone Mortgage Investment Trust,FRN, Series 2006-2 Class 2A3 0.451%25/07/2036 USD 2,101,937 1,230,058 0.02First Data Corp., 144A 7.375%15/06/2019 USD 4,611,000 4,804,616 0.07First Data Corp., 144A 8.875%15/08/2020 USD 3,905,000 4,114,894 0.06First Data Corp., 144A 6.75%01/11/2020 USD 4,962,000 5,247,315 0.08First Data Corp., 144A 8.25%15/01/2021 USD 4,794,000 5,039,692 0.07First Data Corp. 11.25% 15/01/2021 USD 2,842,000 3,149,092 0.05First Data Corp. 12.625% 15/01/2021 USD 14,000,000 16,208,780 0.24First Data Corp. 10.625% 15/06/2021 USD 1,834,000 2,030,146 0.03First Data Corp. 11.75% 15/08/2021 USD 8,168,000 9,215,015 0.13First Data Corp., 144A 8.75%15/01/2022 USD 15,620,428 16,596,705 0.24First Franklin Mortgage Loan Trust,FRN, Series 2006-FF16 Class 2A30.327% 25/12/2036 USD 7,669,497 4,841,293 0.07First Horizon Alternative MortgageSecurities Trust, Series 2006-FA7 ClassA1 5.75% 25/12/2036 USD 846,207 681,006 0.01First Horizon Asset Securities, Inc.,Series 2007-5 Class A4 6.25%25/11/2037 USD 1,654,997 1,424,059 0.02First Horizon Mortgage Pass-ThroughTrust, Series 2006-2 Class 1A3 6%25/08/2036 USD 1,771,560 1,684,532 0.02

FNMA Interest STRIP, IO, Series 366Class 18 4% 25/11/2020 USD 590,856 35,548 0.00FNMA Interest STRIP, IO, Series 390Class C7 4% 25/07/2023 USD 2,457,377 117,160 0.00FNMA Interest STRIP, IO Class C8000390 4.5% 25/07/2023 USD 3,952,512 228,358 0.00FNMA Interest STRIP, IO, Series 377Class 2 5% 01/10/2036 USD 702,628 143,652 0.00FNMA Interest STRIP, IO, Series 379Class 2 5.5% 01/05/2037 USD 774,589 159,681 0.00FNMA REMIC, Series 2011-70 Class CL3% 25/08/2026 USD 167,624 168,443 0.00FNMA REMIC, IO, FRN, Series 2012-84Class QS 6.463% 25/09/2031 USD 5,286,621 1,183,405 0.02FNMA REMIC, IO, FRN, Series 2012-84Class SQ 6.463% 25/08/2032 USD 3,870,383 799,159 0.01FNMA REMIC, IO, FRN, Series 2004-52Class SX 6.863% 25/09/2032 USD 5,088 12 0.00FNMA REMIC, IO, FRN, Series 2012-110Class SB 6.513% 25/10/2032 USD 7,664,622 1,808,533 0.03FNMA REMIC, IO, FRN, Series 2013-131Class S 5.863% 25/01/2034 USD 4,423,250 1,010,078 0.01FNMA REMIC, IO, FRN, Series 2004-61Class NS 7.513% 25/08/2034 USD 795,861 201,145 0.00FNMA REMIC, IO, FRN, Series 2004-72Class S 6.313% 25/09/2034 USD 2,235,053 489,095 0.01FNMA REMIC, IO, FRN, Series 2005-13Class AS 5.913% 25/03/2035 USD 746,902 123,660 0.00FNMA REMIC, IO, FRN, Series 2005-57Class DI 6.513% 25/03/2035 USD 1,953,477 146,723 0.00FNMA REMIC, IO, FRN, Series 2006-3Class SB 6.513% 25/07/2035 USD 1,886,895 327,686 0.00FNMA REMIC, IO, FRN, Series 2006-20Class IG 6.463% 25/04/2036 USD 1,264,229 219,754 0.00FNMA REMIC, IO, FRN, Series 2006-72Class XI 6.313% 25/08/2036 USD 580,803 102,912 0.00FNMA REMIC, IO, FRN, Series 2006-106Class CS 6.403% 25/11/2036 USD 934,828 142,167 0.00FNMA REMIC, IO, FRN, Series 2006-109Class SG 6.443% 25/11/2036 USD 1,744,673 277,347 0.00FNMA REMIC, IO, FRN, Series 2008-41Class S 6.613% 25/11/2036 USD 1,108,842 217,395 0.00FNMA REMIC, IO, FRN, Series 2006-108Class S 7.013% 25/11/2036 USD 1,083,273 281,309 0.00FNMA REMIC, IO, FRN, Series 2006-125Class SA 6.533% 25/01/2037 USD 2,121,794 338,348 0.00FNMA REMIC, IO, Series 2013-110 ClassQI 3.5% 25/02/2037 USD 1,794,475 165,207 0.00FNMA REMIC, IO, FRN, Series 2007-37Class SA 5.933% 25/05/2037 USD 1,379,470 171,185 0.00FNMA REMIC, IO, FRN, Series 2007-88Class XI 6.353% 25/06/2037 USD 406,936 71,666 0.00FNMA REMIC, IO, FRN, Series 2007-55Class S 6.573% 25/06/2037 USD 3,706,895 748,184 0.01FNMA REMIC, IO, FRN, Series 2007-88Class MI 6.333% 25/09/2037 USD 1,170,095 261,248 0.00FNMA REMIC, IO, FRN, Series 2007-91Class AS 6.213% 25/10/2037 USD 2,988,216 486,435 0.01FNMA REMIC, IO, FRN, Series 2008-17Class KS 6.163% 25/11/2037 USD 1,985,042 283,136 0.00FNMA REMIC, IO, FRN, Series 2008-34Class GS 6.263% 25/05/2038 USD 538,994 95,343 0.00FNMA REMIC, IO, FRN, Series 2012-94Class KS 6.463% 25/05/2038 USD 12,302,090 2,816,760 0.04FNMA REMIC, IO, FRN, Series 2012-94Class SL 6.513% 25/05/2038 USD 10,764,329 2,490,898 0.04FNMA REMIC, Series 2011-18 Class UA4% 25/08/2038 USD 2,688,749 2,732,694 0.04FNMA REMIC, IO, FRN, Series 2012-20Class JS 5.813% 25/10/2038 USD 1,200,960 186,887 0.00FNMA REMIC, IO, FRN, Series 2012-87Class NS 5.863% 25/02/2039 USD 13,651,341 2,570,534 0.04FNMA REMIC, IO, FRN, Series 2012-120Class SE 6.013% 25/02/2039 USD 16,063,645 2,882,782 0.04FNMA REMIC, IO, FRN, Series 2012-74Class AS 5.863% 25/03/2039 USD 16,990,000 2,768,648 0.04FNMA REMIC, IO, FRN, Series 2012-104Class QS 5.913% 25/03/2039 USD 5,206,341 971,930 0.01FNMA REMIC, IO, FRN, Series 2013-9Class SG 6.013% 25/03/2039 USD 9,133,937 1,935,970 0.03FNMA REMIC, Series 2010-54 Class PA4.5% 25/04/2039 USD 800,796 812,005 0.01FNMA REMIC, IO, FRN, Series 2012-98Class SA 5.863% 25/05/2039 USD 16,387,154 2,791,109 0.04FNMA REMIC, IO, FRN, Series 2012-76Class DS 6.363% 25/05/2039 USD 5,201,079 954,611 0.01FNMA REMIC, IO, FRN, Series 2012-73Class LS 5.863% 25/06/2039 USD 28,667,865 4,734,498 0.07FNMA REMIC, IO, FRN, Series 2012-114Class DS 5.913% 25/08/2039 USD 13,210,611 2,251,167 0.03FNMA REMIC, IO, FRN, Series 2012-120Class ES 6.013% 25/11/2039 USD 10,885,945 2,225,022 0.03

78



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

FNMA REMIC, IO, FRN, Series 2012-111Class KS 5.963% 25/01/2040 USD 2,773,165 471,818 0.01FNMA REMIC, IO, FRN, Series 2012-114Class HS 5.963% 25/03/2040 USD 12,039,287 2,182,639 0.03FNMA REMIC, IO, FRN, Series 2012-124Class DS 5.963% 25/04/2040 USD 11,408,989 2,094,462 0.03FNMA REMIC, IO, FRN, Series 2012-124Class LS 6.013% 25/07/2040 USD 12,420,828 2,650,288 0.04FNMA REMIC, IO, FRN, Series 2012-107Class QS 5.913% 25/10/2040 USD 4,463,463 942,833 0.01FNMA REMIC, IO, FRN, Series 2012-137Class CS 6.013% 25/08/2041 USD 14,358,844 2,943,096 0.04FNMA REMIC, IO, FRN, Series 2012-42Class PS 6.393% 25/08/2041 USD 3,568,270 378,627 0.01FNMA REMIC, IO, FRN, Series 2012-14Class LS 6.313% 25/03/2042 USD 2,490,866 436,871 0.01FNMA REMIC, IO, FRN, Series 2012-110Class MS 5.813% 25/10/2042 USD 4,705,012 1,011,970 0.01FNMA REMIC, IO, FRN, Series 2014-61Class SA 1.753% 25/10/2044 USD 24,091,924 1,830,528 0.03Freescale Semiconductor, Inc., 144A6% 15/01/2022 USD 2,584,000 2,739,040 0.04Fremont Home Loan Trust, FRN, Series2006-B Class 2A3 0.347% 25/08/2036 USD 11,903,353 4,965,341 0.07Fremont Home Loan Trust, FRN, Series2006-C Class 2A2 0.337% 25/10/2036 USD 5,326,039 2,694,800 0.04Fresenius Medical Care US Finance II,Inc., 144A 5.625% 31/07/2019 USD 1,675,000 1,819,469 0.03Fresenius Medical Care US Finance II,Inc., 144A 5.875% 31/01/2022 USD 250,000 263,750 0.00Frontier Communications Corp. 8.125%01/10/2018 USD 500,000 543,360 0.01Frontier Communications Corp. 9.25%01/07/2021 USD 2,653,000 2,789,855 0.04Frontier Communications Corp. 6.25%15/09/2021 USD 480,000 441,888 0.01Frontier Communications Corp. 8.75%15/04/2022 USD 2,688,000 2,688,067 0.04Frontier Communications Corp.6.875% 15/01/2025 USD 1,210,000 1,023,073 0.01Gardner Denver, Inc., 144A 6.875%15/08/2021 USD 1,741,000 1,608,249 0.02GCI, Inc. 6.75% 01/06/2021 USD 5,529,000 5,603,061 0.08General Cable Corp. 5.75% 01/10/2022 USD 3,056,000 2,903,200 0.04General Motors Co. 3.5% 02/10/2018 USD 922,000 949,015 0.01General Motors Co. 4.875%02/10/2023 USD 4,980,000 5,240,578 0.08GenOn Energy, Inc. 9.875% 15/10/2020 USD 5,500,000 5,583,930 0.08GLP Capital LP 4.875% 01/11/2020 USD 2,000,000 2,044,980 0.03GNMA, IO, FRN, Series 2005-7 Class NL6.567% 17/03/2033 USD 358,772 45,152 0.00GNMA, IO, Series 2014-90 Class SA1.092% 20/10/2038 USD 14,806,115 543,010 0.01GNMA, IO, FRN, Series 2009-41 ClassGS 5.865% 16/06/2039 USD 1,571,922 247,965 0.00GNMA, IO, FRN, Series 2013-69 ClassSM 6.013% 20/05/2043 USD 3,777,257 622,625 0.01GNMA, IO, FRN, Series 2013-165 ClassST 5.966% 20/11/2043 USD 6,407,969 1,146,982 0.02GNMA, IO, FRN, Series 2013-190 ClassKS 5.366% 20/12/2043 USD 7,660,954 1,145,055 0.02GNMA, IO, FRN, Series 2014-2 Class NS5.966% 20/01/2044 USD 3,925,185 669,961 0.01GNMA, IO, FRN, Series 2014-68 ClassSK 6.016% 20/05/2044 USD 5,060,251 924,627 0.01GNMA, IO, FRN, Series 2014-98 ClassSM 6.016% 20/07/2044 USD 8,535,714 1,488,576 0.02GNMA, IO, FRN, Series 2014-119 ClassSA 5.416% 20/08/2044 USD 28,394,956 5,225,791 0.08GNMA, IO, FRN, Series 2014-129 ClassSK 6.016% 20/09/2044 USD 7,902,960 1,409,361 0.02GNMA, IO, FRN, Series 2014-183 ClassSG 6.016% 20/12/2044 USD 5,994,762 983,914 0.01GNMA, IO, FRN, Series 2015-63 ClassSN 6.147% 20/05/2045 USD 8,824,596 2,416,487 0.04Goodman Networks, Inc. 12.125%01/07/2018 USD 5,001,000 4,175,835 0.06Goodyear Tire & Rubber Co. (The)8.25% 15/08/2020 USD 5,187,000 5,432,864 0.08Goodyear Tire & Rubber Co. (The)8.75% 15/08/2020 USD 905,000 1,084,891 0.02Goodyear Tire & Rubber Co. (The) 6.5%01/03/2021 USD 2,755,000 2,934,502 0.04Goodyear Tire & Rubber Co. (The) 7%15/05/2022 USD 5,400,000 5,888,673 0.09Graton Economic DevelopmentAuthority, 144A 9.625% 01/09/2019 USD 2,005,000 2,165,400 0.03Gray Television, Inc. 7.5% 01/10/2020 USD 1,530,000 1,617,042 0.02Great Lakes Dredge & Dock Corp.7.375% 01/02/2019 USD 3,405,000 3,498,637 0.05

GreenPoint Mortgage Funding Trust,FRN, Series 2005-AR4 Class 4A1A0.497% 25/10/2045 USD 1,396,267 1,122,298 0.02Griffon Corp. 5.25% 01/03/2022 USD 692,000 684,312 0.01GSAA Home Equity Trust, FRN, Series2007-5 Class 1AV1 0.285% 25/03/2047 USD 3,921,590 2,032,333 0.03GSAA Home Equity Trust, FRN, Series2007-5 Class 2A1A 0.305%25/04/2047 USD 3,360,638 2,752,255 0.04GSAMP Trust, FRN, Series 2006-FM1Class A1 0.345% 25/04/2036 USD 7,383,453 5,593,675 0.08GSAMP Trust, FRN, Series 2006-FM2Class A2C 0.335% 25/09/2036 USD 1,951,323 927,286 0.01GSAMP Trust, FRN, Series 2006-FM2Class A2D 0.425% 25/09/2036 USD 4,040,794 1,959,278 0.03GSAMP Trust, FRN, Series 2006-HE3Class A2C 0.345% 25/05/2046 USD 8,948,714 8,113,297 0.12GSAMP Trust, FRN, Series 2007-NC1Class A2C 0.335% 25/12/2046 USD 4,535,288 2,721,431 0.04GSAMP Trust, FRN, Series 2007-HE1Class A2C 0.337% 25/03/2047 USD 9,990,000 8,402,949 0.12GSMSC Resecuritization Trust, FRN,Series 2014-1R Class 1A 144A 0.351%26/04/2037 USD 1,168,976 1,101,823 0.02GSR Mortgage Loan Trust, Series2006-2F Class 2A1 5.75% 25/02/2036 USD 1,682,582 1,513,917 0.02GSR Mortgage Loan Trust, Series2006-3F Class 2A7 5.75% 25/03/2036 USD 841,998 808,286 0.01Guitar Center, Inc., 144A 6.5%15/04/2019 USD 1,578,000 1,455,705 0.02Gulfport Energy Corp., 144A 6.625%01/05/2023 USD 874,000 891,480 0.01Gymboree Corp. (The) 9.125%01/12/2018 USD 2,215,000 874,925 0.01H&E Equipment Services, Inc. 7%01/09/2022 USD 5,240,000 5,454,185 0.08Halcon Resources Corp., 144A 8.625%01/02/2020 USD 2,901,000 2,853,859 0.04Halcon Resources Corp. 9.75%15/07/2020 USD 3,098,000 2,109,893 0.03Halcon Resources Corp. 8.875%15/05/2021 USD 7,591,000 5,072,154 0.07Halcon Resources Corp. 9.25%15/02/2022 USD 5,110,000 3,270,400 0.05HarborView Mortgage Loan Trust, FRN,Series 2004-9 Class 2A 2.39%19/12/2034 USD 1,835,798 1,517,607 0.02HarborView Mortgage Loan Trust, FRN,Series 2005-8 Class 1A2A 0.516%19/09/2035 USD 343,539 271,985 0.00HarborView Mortgage Loan Trust, FRN,Series 2005-16 Class 2A1A 0.428%19/01/2036 USD 265,491 186,023 0.00HarborView Mortgage Loan Trust, FRN,Series 2006-9 Class 2A1A 0.396%19/11/2036 USD 2,907,275 2,170,068 0.03HarborView Mortgage Loan Trust, FRN,Series 2005-11 Class 2A1A 0.497%19/08/2045 USD 112,286 104,410 0.00Hardwoods Acquisition, Inc., 144A7.5% 01/08/2021 USD 135,000 132,131 0.00Harland Clarke Holdings Corp., 144A9.75% 01/08/2018 USD 3,170,000 3,324,538 0.05Harland Clarke Holdings Corp., 144A6.875% 01/03/2020 USD 1,230,000 1,186,950 0.02Harland Clarke Holdings Corp., 144A9.25% 01/03/2021 USD 1,255,000 1,109,106 0.02Harron Communications LP, 144A9.125% 01/04/2020 USD 4,741,000 5,143,985 0.07Hartford Financial Services Group, Inc.(The), FRN 8.125% 15/06/2038 USD 2,265,000 2,554,331 0.04HD Supply, Inc. 11% 15/04/2020 USD 2,476,000 2,776,215 0.04HD Supply, Inc. 7.5% 15/07/2020 USD 4,225,000 4,464,410 0.07HD Supply, Inc. 11.5% 15/07/2020 USD 3,834,000 4,453,172 0.06HD Supply, Inc., 144A 5.25%15/12/2021 USD 1,725,000 1,755,748 0.03Hexion, Inc. 8.875% 01/02/2018 USD 3,100,000 2,831,370 0.04Hexion, Inc. 6.625% 15/04/2020 USD 10,650,000 9,762,163 0.14Hexion, Inc. 10% 15/04/2020 USD 780,000 812,776 0.01Hiland Partners LP, 144A 7.25%01/10/2020 USD 1,765,000 1,915,025 0.03Hilcorp Energy I LP, 144A 7.625%15/04/2021 USD 1,170,000 1,223,036 0.02Hilcorp Energy I LP, 144A 5%01/12/2024 USD 6,000,000 5,640,000 0.08Hilcorp Energy I LP, 144A 5.75%01/10/2025 USD 5,000,000 4,825,000 0.07Hillman Group, Inc. (The), 144A 6.375%15/07/2022 USD 875,000 831,250 0.01Hilton Worldwide Finance LLC 5.625%15/10/2021 USD 4,020,000 4,201,101 0.06HJ Heinz Co., 144A 4.875% 15/02/2025 USD 3,445,000 3,755,050 0.05

79



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

HJ Heinz Co. (The) 4.25% 15/10/2020 USD 2,171,000 2,217,155 0.03Hologic, Inc. 6.25% 01/08/2020 USD 4,315,000 4,463,005 0.07Hologic, Inc., 144A 5.25% 15/07/2022 USD 2,290,000 2,344,388 0.03Home Equity Asset Trust, FRN, Series2005-8 Class M1 0.617% 25/02/2036 USD 8,040,000 7,432,449 0.11Home Equity Mortgage LoanAsset-Backed Trust, FRN, Series2006-D Class 1A 0.325% 25/11/2036 USD 7,070,094 5,670,406 0.08Home Equity Mortgage LoanAsset-Backed Trust, FRN, Series2007-B Class 2A3 0.387% 25/07/2037 USD 7,002,517 4,439,813 0.06Home Equity Mortgage Loan Trust,FRN, Series 2006-C Class 2A 0.317%25/08/2036 USD 8,243,977 6,704,678 0.10Home Equity Mortgage Loan Trust,FRN, Series 2006-D Class 2A3 0.347%25/11/2036 USD 5,480,000 3,360,309 0.05Home Equity Mortgage Loan Trust,FRN, Series 2006-E Class 2A3 0.357%25/04/2037 USD 10,106,481 6,672,653 0.10Horizon Pharma Financing, Inc., 144A6.625% 01/05/2023 USD 2,000,000 2,082,500 0.03HRG Group, Inc., 144A 7.875%15/07/2019 USD 385,000 408,100 0.01HRG Group, Inc., 144A 7.75%15/01/2022 USD 430,000 420,862 0.01Hughes Satellite Systems Corp. 6.5%15/06/2019 USD 743,000 813,585 0.01IASIS Healthcare LLC 8.375%15/05/2019 USD 6,900,000 7,142,087 0.10Icahn Enterprises LP 4.875%15/03/2019 USD 5,133,000 5,184,792 0.08Icahn Enterprises LP 6% 01/08/2020 USD 500,000 517,215 0.01IGATE Corp. 4.75% 15/04/2019 USD 1,212,000 1,263,510 0.02Igloo Holdings Corp., 144A 8.25%15/12/2017 USD 753,000 761,471 0.01iHeartCommunications, Inc. 9%15/12/2019 USD 22,666,000 21,584,832 0.31iHeartCommunications, Inc., 144A10.625% 15/03/2023 USD 1,225,000 1,157,625 0.02ILFC E-Capital Trust I, FRN, 144A4.69% 21/12/2065 USD 3,950,000 3,924,325 0.06ILFC E-Capital Trust II, FRN, 144A6.25% 21/12/2065 USD 7,393,000 7,393,000 0.11Impac CMB Trust, FRN, Series 2005-5Class A1 0.827% 25/08/2035 USD 753,711 681,300 0.01IMS Health, Inc., 144A 6% 01/11/2020 USD 4,911,000 5,082,885 0.07IndyMac INDX Mortgage Loan Trust,FRN, Series 2005-AR14 Class 2A1A0.485% 25/07/2035 USD 197,707 176,889 0.00Infinity Acquisition LLC, 144A 7.25%01/08/2022 USD 1,335,000 1,268,250 0.02Infor Software Parent LLC, 144A7.125% 01/05/2021 USD 4,972,000 4,994,324 0.07Infor US, Inc., 144A 6.5% 15/05/2022 USD 4,540,000 4,619,450 0.07Ingles Markets, Inc. 5.75% 15/06/2023 USD 1,500,000 1,525,343 0.02Interface Security Systems Holdings,Inc. 9.25% 15/01/2018 USD 2,708,000 2,735,080 0.04Interline Brands, Inc. 10.056%15/11/2018 USD 628,000 657,830 0.01International Wire Group Holdings,Inc., 144A 8.5% 15/10/2017 USD 4,038,000 4,189,425 0.06Interval Acquisition Corp., 144A5.625% 15/04/2023 USD 3,652,000 3,715,910 0.05inVentiv Health, Inc., 144A 9%15/01/2018 USD 4,758,000 4,945,346 0.07inVentiv Health, Inc., 144A 10%15/08/2018 USD 1,528,520 1,589,661 0.02inVentiv Health, Inc., 144A 11%15/08/2018 USD 356,000 345,320 0.01inVentiv Health, Inc., 144A 11%15/08/2018 USD 682,000 658,130 0.01Isle of Capri Casinos, Inc. 5.875%15/03/2021 USD 4,316,000 4,421,979 0.06Italics Merger Sub, Inc., 144A 7.125%15/07/2023 USD 2,370,000 2,359,631 0.03IXIS Real Estate Capital Trust, FRN,Series 2005-HE2 Class M4 1.115%25/09/2035 USD 1,267,112 1,191,930 0.02Jack Cooper Holdings Corp., 144A10.25% 01/06/2020 USD 5,347,000 4,919,240 0.07Jaguar Holding Co. I, 144A 9.375%15/10/2017 USD 385,000 393,747 0.01JB Poindexter & Co., Inc., 144A 9%01/04/2022 USD 1,436,000 1,549,085 0.02JBS USA LLC, 144A 8.25% 01/02/2020 USD 3,680,000 3,923,248 0.06JBS USA LLC, 144A 7.25% 01/06/2021 USD 3,251,000 3,440,956 0.05JBS USA LLC, 144A 5.875% 15/07/2024 USD 2,500,000 2,521,050 0.04JC Penney Corp, Inc. 8.125%01/10/2019 USD 104,000 103,155 0.00

JCH Parent, Inc., 144A 10.5%15/03/2019 USD 1,345,343 1,019,097 0.01JM Huber Corp., 144A 9.875%01/11/2019 USD 2,650,000 2,850,128 0.04Jones Energy Holdings LLC 6.75%01/04/2022 USD 7,486,000 7,130,415 0.10Jurassic Holdings III, Inc., 144A 6.875%15/02/2021 USD 2,515,000 1,974,275 0.03Kinder Morgan Finance Co. LLC, 144A6% 15/01/2018 USD 700,000 759,435 0.01Kindred Healthcare, Inc., 144A 8%15/01/2020 USD 1,745,000 1,872,245 0.03Kindred Healthcare, Inc., 144A 8.75%15/01/2023 USD 1,700,000 1,842,375 0.03Kinetic Concepts, Inc. 10.5%01/11/2018 USD 5,690,000 6,062,382 0.09KLX, Inc., 144A 5.875% 01/12/2022 USD 2,610,000 2,629,575 0.04Kratos Defense & Security Solutions,Inc. 7% 15/05/2019 USD 2,885,000 2,596,500 0.04Landry’s, Inc., 144A 9.375%01/05/2020 USD 362,000 390,055 0.01Legacy Reserves LP 8% 01/12/2020 USD 5,087,000 4,414,982 0.06Legacy Reserves LP 6.625%01/12/2021 USD 3,347,000 2,742,582 0.04Lehman Mortgage Trust, Series 2005-1Class 7A1 5.5% 25/11/2020 USD 404,140 402,774 0.01Lehman Mortgage Trust, Series 2006-4Class 3A1 5% 25/08/2021 USD 701,450 683,005 0.01Lehman XS Trust, FRN, Series 2005-5NClass 3A1A 0.487% 25/11/2035 USD 53,823 48,074 0.00Lehman XS Trust, FRN, Series2006-18N Class A2A 0.335%25/12/2036 USD 1,617,478 1,544,941 0.02Level 3 Communications, Inc. 5.75%01/12/2022 USD 1,480,000 1,481,524 0.02Level 3 Financing, Inc., FRN 3.914%15/01/2018 USD 1,330,000 1,346,625 0.02Level 3 Financing, Inc., 144A 5.625%01/02/2023 USD 1,905,000 1,925,174 0.03Level 3 Financing, Inc., 144A 5.125%01/05/2023 USD 4,296,000 4,212,765 0.06Level 3 Financing, Inc., 144A 5.375%01/05/2025 USD 5,184,000 5,023,296 0.07Liberty Interactive LLC 8.25%01/02/2030 USD 1,350,000 1,406,383 0.02Liberty Mutual Group, Inc., 144A 7.8%07/03/2087 USD 2,318,000 2,752,625 0.04Linn Energy LLC 6.25% 01/11/2019 USD 285,000 226,203 0.00Linn Energy LLC 8.625% 15/04/2020 USD 641,000 528,447 0.01Linn Energy LLC 7.75% 01/02/2021 USD 5,275,000 4,166,828 0.06Live Nation Entertainment, Inc., 144A7% 01/09/2020 USD 735,000 784,613 0.01Long Beach Mortgage Loan Trust, FRN,Series 2004-3 Class M1 1.042%25/07/2034 USD 756,717 733,403 0.01LSB Industries, Inc. 7.75% 01/08/2019 USD 2,910,000 3,128,250 0.05LSTAR Securities Investment Trust,FRN, Series 2015-1 Class A 144A 2.18%01/01/2020 USD 7,739,367 7,750,573 0.11LSTAR Securities Investment Trust,FRN, Series 2015-2 Class A 144A 2.18%01/01/2020 USD 7,690,293 7,658,134 0.11LSTAR Securities Investment Trust,FRN, Series 2015-3 Class A 144A2.184% 01/03/2020 USD 4,329,916 4,264,967 0.06LSTAR Securities Investment Trust,FRN, Series 2015-4 Class A1 144A2.18% 01/04/2020 USD 4,246,740 4,207,497 0.06LSTAR Securities Investment Trust,FRN, Series 2015-6 Class A 144A2.186% 01/05/2020 USD 5,046,109 5,035,654 0.07LSTAR Securities Investment Trust,FRN, Series 2014-1 Class NOTE 144A3.28% 01/09/2021 USD 6,883,207 6,956,111 0.10LSTAR Securities Investment Trust,FRN, Series 2014-2 Class A 144A 2.18%01/12/2021 USD 4,470,930 4,462,078 0.07LTF Merger Sub, Inc., 144A 8.5%15/06/2023 USD 2,645,000 2,559,038 0.04Marina District Finance Co., Inc.9.875% 15/08/2018 USD 4,155,000 4,272,192 0.06MarkWest Energy Partners LP 4.875%01/06/2025 USD 3,445,000 3,380,751 0.05Martin Midstream Partners LP 7.25%15/02/2021 USD 915,000 905,850 0.01Massachusetts Water ResourcesAuthority 5% 01/08/2027 USD 1,320,000 1,537,470 0.02MASTR Alternative Loan Trust, Series2005-5 Class 3A1 5.75% 25/08/2035 USD 2,198,299 1,922,830 0.03Mastr Asset-Backed Securities Trust,FRN, Series 2006-WMC2 Class A40.335% 25/04/2036 USD 10,079,112 4,664,643 0.07

80



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Matador Resources Co., 144A 6.875%15/04/2023 USD 2,369,000 2,431,186 0.04McGraw-Hill Global Education HoldingsLLC 9.75% 01/04/2021 USD 2,845,000 3,157,708 0.05MedImpact Holdings, Inc., 144A 10.5%01/02/2018 USD 3,542,000 3,732,383 0.05Memorial Production Partners LP7.625% 01/05/2021 USD 5,017,000 4,797,205 0.07Memorial Production Partners LP6.875% 01/08/2022 USD 2,365,000 2,171,874 0.03Mercer International, Inc. 7%01/12/2019 USD 1,932,000 2,038,260 0.03Merrill Lynch Mortgage Investors Trust,FRN, Series 2006-FF1 Class M3 0.497%25/08/2036 USD 4,600,000 4,182,886 0.06Merrill Lynch Mortgage Investors Trust,FRN, Series 2007-HE3 Class A1 0.257%25/04/2047 USD 4,014,622 2,340,195 0.03Michaels Stores, Inc., 144A 5.875%15/12/2020 USD 1,175,000 1,227,875 0.02Micron Technology, Inc. 5.875%15/02/2022 USD 2,024,000 2,046,102 0.03Micron Technology, Inc., 144A 5.25%01/08/2023 USD 1,576,000 1,509,020 0.02Micron Technology, Inc., 144A 5.25%15/01/2024 USD 1,025,000 960,938 0.01Micron Technology, Inc., 144A 5.5%01/02/2025 USD 1,640,000 1,535,450 0.02Milacron LLC, 144A 7.75% 15/02/2021 USD 3,123,000 3,216,690 0.05Mobile Mini, Inc. 7.875% 01/12/2020 USD 2,370,000 2,488,500 0.04Momentive Performance Materials, Inc.3.88% 24/10/2021 USD 4,000,000 3,610,000 0.05Morgan Stanley, FRN 5.55% Perpetual USD 987,000 978,290 0.01Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2004-OP1 Class M11.055% 25/11/2034 USD 2,086,878 1,918,058 0.03Morgan Stanley ABS Capital I, Inc.Trust, FRN, Series 2005-WMC4 ClassM5 1.16% 25/04/2035 USD 3,500,000 3,281,667 0.05Morgan Stanley Mortgage Loan Trust,FRN, Series 2004-3 Class 4A 5.686%25/04/2034 USD 2,416,007 2,565,770 0.04MPG Holdco I, Inc. 7.375% 15/10/2022 USD 3,125,000 3,335,938 0.05MPH Acquisition Holdings LLC, 144A6.625% 01/04/2022 USD 4,000,000 4,095,200 0.06MTR Gaming Group, Inc. 11.5%01/08/2019 USD 2,358,000 2,503,017 0.04Mustang Merger Corp., 144A 8.5%15/08/2021 USD 1,500,000 1,530,000 0.02National Financial Partners Corp., 144A9% 15/07/2021 USD 3,982,000 3,972,045 0.06Nationstar Home Equity Loan Trust,FRN, Series 2007-C Class 1AV1 0.36%25/06/2037 USD 8,002,280 7,208,566 0.11Nationwide Mutual Insurance Co., 144A9.375% 15/08/2039 USD 2,400,000 3,615,425 0.05Navient Corp. 8% 25/03/2020 USD 4,005,000 4,480,654 0.07NCI Building Systems, Inc., 144A 8.25%15/01/2023 USD 1,190,000 1,273,300 0.02Neebo, Inc., 144A 15% 30/06/2016 USD 958,650 989,806 0.01Neiman Marcus Group Ltd. LLC, 144A8% 15/10/2021 USD 2,955,000 3,147,075 0.05Neiman Marcus Group Ltd. LLC, 144A8.75% 15/10/2021 USD 1,630,000 1,754,288 0.03Netflix, Inc. 5.75% 01/03/2024 USD 3,400,000 3,544,500 0.05New Century Home Equity Loan Trust,FRN, Series 2003-5 Class AI7 5.15%25/11/2033 USD 47,994 49,325 0.00New Century Home Equity Loan Trust,FRN, Series 2005-4 Class M2 0.697%25/09/2035 USD 1,570,000 1,386,894 0.02New Century Home Equity Loan Trust,FRN, Series 2005-C Class A2C 0.435%25/12/2035 USD 1,724,545 1,679,523 0.02New Century Home Equity Loan Trust,FRN, Series 2005-C Class A2D 0.525%25/12/2035 USD 9,300,000 7,986,477 0.12New Century Home Equity Loan Trust,FRN, Series 2006-1 Class A2B 0.367%25/05/2036 USD 3,699,534 2,764,706 0.04New Century Home Equity Loan Trust,FRN, Series 2006-2 Class A2B 0.347%25/08/2036 USD 5,706,359 4,740,872 0.07Newcastle Mortgage Securities Trust,FRN, Series 2007-1 Class 1A1 0.375%25/04/2037 USD 7,951,076 6,605,905 0.10Nexeo Solutions LLC 8.375%01/03/2018 USD 2,145,000 1,994,850 0.03Nexstar Broadcasting, Inc. 6.875%15/11/2020 USD 5,090,000 5,382,675 0.08Nexstar Broadcasting, Inc., 144A6.125% 15/02/2022 USD 925,000 941,188 0.01

NGL Energy Partners LP 5.125%15/07/2019 USD 408,000 409,020 0.01Nielsen Finance LLC, 144A 5%15/04/2022 USD 4,225,000 4,155,414 0.06NII Capital Corp. 7.625% 01/04/2021§ USD 7,517,000 1,869,854 0.03Nomura Home Equity Loan, Inc. HomeEquity Loan Trust, FRN, Series2005-FM1 Class M2 0.675%25/05/2035 USD 5,276,112 4,940,730 0.07Nomura Resecuritization Trust, FRN,Series 2015-2R Class 4A1 144A 0.361%26/12/2036 USD 2,096,993 1,876,808 0.03Northeast Ohio Regional Sewer DistrictWastewater 5% 15/11/2029 USD 1,720,000 1,977,673 0.03Northern Oil and Gas, Inc., 144A 8%01/06/2020 USD 2,089,000 1,912,124 0.03Northwest Airlines, Inc. Pass ThroughTrust, Series 2007-1 Class A 7.027%01/05/2021 USD 3,434,149 3,935,534 0.06NovaStar Mortgage Funding Trust,FRN, Series 2006-4 Class A2C 0.337%25/09/2036 USD 3,519,211 2,105,670 0.03NovaStar Mortgage Funding Trust,FRN, Series 2006-4 Class A2D 0.437%25/09/2036 USD 2,570,404 1,561,286 0.02NovaStar Mortgage Funding Trust,FRN, Series 2007-1 Class A2C 0.367%25/03/2037 USD 17,934,204 9,303,745 0.14NWH Escrow Corp., 144A 7.5%01/08/2021 USD 2,600,000 2,479,750 0.04Oklahoma City Oklahoma EconomicDevelopment Trust 5% 01/03/2033 USD 2,770,000 2,957,224 0.04Oklahoma City Oklahoma EconomicDevelopment Trust 5% 01/03/2034 USD 1,575,000 1,765,118 0.03Omega US Sub LLC, 144A 8.75%15/07/2023 USD 1,565,000 1,565,000 0.02Optimas OE Solutions Holding LLC,144A 8.625% 01/06/2021 USD 2,881,000 2,938,620 0.04Option One Mortgage Loan Trust, FRN,Series 2005-5 Class M1 0.575%25/12/2035 USD 8,370,000 7,356,895 0.11Outfront Media Capital LLC 5.25%15/02/2022 USD 485,000 494,135 0.01Outfront Media Capital LLC 5.625%15/02/2024 USD 480,000 493,548 0.01Pactiv LLC 8.375% 15/04/2027 USD 1,688,000 1,679,990 0.02Par Pharmaceutical Cos, Inc. 7.375%15/10/2020 USD 1,185,000 1,264,988 0.02Park Place Securities, Inc., FRN, Series2004-WHQ2 Class M2 1.13%25/02/2035 USD 1,896,231 1,895,656 0.03Park Place Securities, Inc., FRN, Series2005-WHQ3 Class M2 0.635%25/06/2035 USD 2,849,589 2,841,043 0.04Parsley Energy LLC, 144A 7.5%15/02/2022 USD 4,615,000 4,730,375 0.07Party City Holdings, Inc. 8.875%01/08/2020 USD 4,425,000 4,734,750 0.07PBF Logistics LP, 144A 6.875%15/05/2023 USD 2,912,000 2,941,120 0.04Peabody Energy Corp., 144A 10%15/03/2022 USD 3,038,000 1,915,839 0.03Petco Animal Supplies, Inc., 144A9.25% 01/12/2018 USD 3,615,000 3,777,675 0.06PHI, Inc. 5.25% 15/03/2019 USD 1,068,000 998,580 0.01Pilgrim’s Pride Corp., 144A 5.75%15/03/2025 USD 894,000 898,470 0.01Pittsburgh Glass Works LLC, 144A 8%15/11/2018 USD 1,548,000 1,625,400 0.02Plantronics, Inc., 144A 5.5%31/05/2023 USD 1,905,000 1,928,813 0.03Polymer Group, Inc. 7.75% 01/02/2019 USD 2,443,000 2,524,645 0.04Post Holdings, Inc., 144A 6.75%01/12/2021 USD 4,447,000 4,447,000 0.06Post Holdings, Inc., 144A 6%15/12/2022 USD 635,000 612,775 0.01Prestige Brands, Inc., 144A 5.375%15/12/2021 USD 1,550,000 1,557,750 0.02Prince Mineral Holding Corp., 144A11.5% 15/12/2019 USD 650,000 612,625 0.01Principal Life Global Funding II, 144A1.125% 18/09/2015 USD 13,565,000 13,578,267 0.20Project Homestake Merger Corp., 144A8.875% 01/03/2023 USD 2,950,000 2,883,625 0.04Quebecor, Inc. 0% 01/08/2027§ USD 1,840,000 8,050 0.00Quicken Loans, Inc., 144A 5.75%01/05/2025 USD 1,005,000 962,790 0.01Quintiles Transnational Corp., 144A4.875% 15/05/2023 USD 1,580,000 1,595,800 0.02Radio Systems Corp., 144A 8.375%01/11/2019 USD 4,536,000 4,853,520 0.07

81



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Rain CII Carbon LLC, 144A 8%01/12/2018 USD 2,659,000 2,612,468 0.04Rain CII Carbon LLC, 144A 8.25%15/01/2021 USD 3,045,000 2,946,038 0.04RALI Trust, Series 2003-QS16 Class A15% 25/08/2018 USD 1,068,185 1,079,094 0.02RALI Trust, Series 2003-QS20 Class CB5% 25/11/2018 USD 456,202 467,710 0.01RALI Trust, Series 2006-QS18 Class3A3 5.75% 25/12/2021 USD 462,197 442,055 0.01RALI Trust, Series 2007-QS4 Class 5A25.5% 25/04/2022 USD 507,124 513,545 0.01RALI Trust, FRN, Series 2005-QO4Class 2A1 0.467% 25/12/2045 USD 221,276 159,247 0.00RALI Trust, FRN, Series 2006-QO9Class 1A4A 0.357% 25/12/2046 USD 1,340,935 1,313,357 0.02RAMP Trust, FRN, Series 2005-EFC2Class M4 0.797% 25/07/2035 USD 3,361,600 3,102,935 0.05Range Resources Corp., 144A 4.875%15/05/2025 USD 1,395,000 1,358,381 0.02RASC Trust, STEP, Series 2004-KS5Class AI5 5.186% 25/06/2034 USD 1,200,000 1,219,591 0.02RBSSP Resecuritization Trust, FRN,Series 2010-10 Class 2A1 144A 0.311%26/09/2036 USD 1,305,597 1,240,284 0.02Realogy Group LLC, 144A 7.625%15/01/2020 USD 2,110,000 2,255,063 0.03Realogy Group LLC, 144A 5.25%01/12/2021 USD 1,770,000 1,809,825 0.03Regency Energy Partners LP 5.75%01/09/2020 USD 85,000 92,521 0.00Regency Energy Partners LP 5.875%01/03/2022 USD 565,000 604,460 0.01Regency Energy Partners LP 5%01/10/2022 USD 860,000 875,373 0.01Regency Energy Partners LP 5.5%15/04/2023 USD 1,385,000 1,412,506 0.02Regency Energy Partners LP 4.5%01/11/2023 USD 1,014,000 981,648 0.01Renaissance Home Equity Loan Trust,STEP, Series 2005-4 Class A3 5.565%25/02/2036 USD 413,212 405,445 0.01Rentech Nitrogen Partners LP, 144A6.5% 15/04/2021 USD 900,000 888,750 0.01Residential Asset Securitization Trust,Series 2004-A6 Class A1 5%25/08/2019 USD 268,485 276,121 0.00Residential Asset Securitization Trust,FRN, Series 2006-A1 Class 1A6 0.687%25/04/2036 USD 2,733,250 1,703,235 0.02Residential Asset Securitization Trust,FRN, Series 2006-R1 Class A2 0.585%25/01/2046 USD 8,296,424 4,299,605 0.06Revlon Consumer Products Corp.5.75% 15/02/2021 USD 2,387,000 2,351,088 0.03Reynolds Group Issuer, Inc. 7.125%15/04/2019 USD 1,929,000 1,990,545 0.03Reynolds Group Issuer, Inc. 6.875%15/02/2021 USD 695,000 726,087 0.01RFMSI Trust, FRN, Series 2005-SA2Class 2A2 3.014% 25/06/2035 USD 364,409 351,722 0.01RFMSI Trust, Series 2006-S9 Class A16.25% 25/09/2036 USD 1,949,500 1,867,277 0.03RFMSI Trust, Series 2006-S10 Class 1A16% 25/10/2036 USD 2,697,253 2,455,121 0.04RFMSI Trust, Series 2006-S12 Class3A9 5.75% 25/12/2036 USD 2,417,457 2,214,374 0.03RHP Hotel Properties LP, REIT, 144A5% 15/04/2023 USD 2,270,000 2,224,600 0.03Rice Energy, Inc., 144A 7.25%01/05/2023 USD 1,000,000 1,030,000 0.02Rite Aid Corp., 144A 6.125%01/04/2023 USD 5,423,000 5,592,469 0.08Rivers Pittsburgh Borrower LP, 144A9.5% 15/06/2019 USD 1,010,000 1,063,025 0.02RKI Exploration & Production LLC,144A 8.5% 01/08/2021 USD 1,550,000 1,546,125 0.02Rosetta Resources, Inc. 5.625%01/05/2021 USD 500,000 527,270 0.01Rosetta Resources, Inc. 5.875%01/06/2022 USD 500,000 529,963 0.01Rosetta Resources, Inc. 5.875%01/06/2024 USD 2,000,000 2,133,200 0.03RR Donnelley & Sons Co. 7.625%15/06/2020 USD 5,851,000 6,694,656 0.10RR Donnelley & Sons Co. 6.5%15/11/2023 USD 400,000 418,502 0.01RSI Home Products, Inc., 144A 6.5%15/03/2023 USD 2,920,000 2,949,200 0.04RSP Permian, Inc., 144A 6.625%01/10/2022 USD 1,206,000 1,239,165 0.02

Sabine Oil & Gas Corp. 9.75%15/02/2017 USD 3,140,000 510,250 0.01Sabine Pass Liquefaction LLC 5.625%01/02/2021 USD 225,000 230,276 0.00Sabine Pass Liquefaction LLC 6.25%15/03/2022 USD 4,070,000 4,220,285 0.06Sabine Pass Liquefaction LLC 5.625%15/04/2023 USD 5,490,000 5,466,613 0.08Sabine Pass Liquefaction LLC 5.75%15/05/2024 USD 1,360,000 1,355,104 0.02Sabine Pass Liquefaction LLC, 144A5.625% 01/03/2025 USD 2,766,000 2,727,954 0.04Sabre GLBL, Inc., 144A 5.375%15/04/2023 USD 2,900,000 2,863,750 0.04Samson Investment Co. 9.75%15/02/2020 USD 10,123,000 632,688 0.01Sanchez Energy Corp. 7.75%15/06/2021 USD 305,000 303,862 0.00SandRidge Energy, Inc., 144A 8.75%01/06/2020 USD 2,349,000 2,115,768 0.03Sanmina Corp., 144A 4.375%01/06/2019 USD 393,000 396,439 0.01Saxon Asset Securities Trust, STEP,Series 2002-3 Class AF6 5.407%25/05/2031 USD 1,646,617 1,614,749 0.02Saxon Asset Securities Trust, FRN,Series 2006-2 Class A3C 0.337%25/09/2036 USD 4,768,943 4,442,261 0.06SBA Telecommunications, Inc. 5.75%15/07/2020 USD 1,840,000 1,907,040 0.03Scientific Games International, Inc.,144A 7% 01/01/2022 USD 1,290,000 1,337,085 0.02Scientific Games International, Inc.10% 01/12/2022 USD 4,375,000 4,219,819 0.06Sealed Air Corp., 144A 6.5%01/12/2020 USD 1,960,000 2,169,328 0.03Sealed Air Corp., 144A 5.125%01/12/2024 USD 500,000 491,875 0.01Sears Holdings Corp. 6.625%15/10/2018 USD 4,352,000 4,150,111 0.06Securitized Asset-Backed ReceivablesLLC Trust, FRN, Series 2006-NC3 ClassA1 0.325% 25/09/2036 USD 5,674,941 3,847,026 0.06Securitized Asset-Backed ReceivablesLLC Trust, FRN, Series 2007-NC2 ClassA2B 0.327% 25/01/2037 USD 2,278,139 1,616,977 0.02Seminole Hard Rock Entertainment,Inc., 144A 5.875% 15/05/2021 USD 2,930,000 2,959,300 0.04Sequoia Mortgage Trust, FRN, Series2013-4 Class A1 2.325% 25/04/2043 USD 5,433,129 5,038,412 0.07Serta Simmons Holdings LLC, 144A8.125% 01/10/2020 USD 8,265,000 8,812,556 0.13ServiceMaster Co. LLC (The) 7%15/08/2020 USD 1,288,000 1,353,617 0.02SG Mortgage Securities Trust, FRN,Series 2006-FRE1 Class A2B 0.365%25/02/2036 USD 5,832,975 3,763,324 0.05Shingle Springs Tribal GamingAuthority, 144A 9.75% 01/09/2021 USD 2,712,000 3,023,880 0.04Simmons Foods, Inc., 144A 7.875%01/10/2021 USD 3,477,000 3,207,533 0.05Sinclair Television Group, Inc. 5.375%01/04/2021 USD 2,430,000 2,452,222 0.04Sinclair Television Group, Inc. 6.375%01/11/2021 USD 905,000 940,069 0.01Sinclair Television Group, Inc. 6.125%01/10/2022 USD 1,838,000 1,894,454 0.03Sinclair Television Group, Inc., 144A5.625% 01/08/2024 USD 950,000 935,399 0.01Sirius XM Radio, Inc., 144A 5.875%01/10/2020 USD 1,805,000 1,863,663 0.03Sirius XM Radio, Inc., 144A 5.75%01/08/2021 USD 6,150,000 6,342,188 0.09Sirius XM Radio, Inc., 144A 4.625%15/05/2023 USD 1,140,000 1,073,025 0.02Sirius XM Radio, Inc., 144A 6%15/07/2024 USD 4,582,000 4,627,820 0.07Sirius XM Radio, Inc., 144A 5.375%15/04/2025 USD 2,852,000 2,758,241 0.04SITEL LLC, 144A 11% 01/08/2017 USD 1,560,000 1,599,000 0.02SITEL LLC 11.5% 01/04/2018 USD 1,570,000 1,405,150 0.02SM Energy Co., 144A 6.125%15/11/2022 USD 520,000 537,004 0.01Smithfield Foods, Inc. 7.75%01/07/2017 USD 382,000 420,670 0.01Smithfield Foods, Inc., 144A 5.25%01/08/2018 USD 4,029,000 4,111,595 0.06Smithfield Foods, Inc., 144A 5.875%01/08/2021 USD 1,170,000 1,205,100 0.02Smithfield Foods, Inc. 6.625%15/08/2022 USD 3,450,000 3,687,981 0.05

82



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Soundview Home Loan Trust, FRN,Series 2007-OPT1 Class 2A4 0.467%25/06/2037 USD 5,640,039 3,520,258 0.05Spectrum Brands, Inc. 6.375%15/11/2020 USD 1,105,000 1,168,770 0.02Spectrum Brands, Inc. 6.625%15/11/2022 USD 1,455,000 1,559,338 0.02Spectrum Brands, Inc., 144A 5.75%15/07/2025 USD 1,110,000 1,134,564 0.02Speedy Cash Intermediate HoldingsCorp., 144A 10.75% 15/05/2018 USD 740,000 704,850 0.01SpringCastle America Funding LLC,Series 2014-AA Class B 144A 4.61%25/10/2027 USD 4,663,000 4,776,495 0.07Springleaf Mortgage Loan Trust, FRN,Series 2012-3A Class M3 144A 4.44%25/12/2059 USD 1,518,000 1,555,248 0.02Springleaf Mortgage Loan Trust, FRN,Series 2012-3A Class M4 144A 5.3%25/12/2059 USD 993,000 1,026,366 0.01Sprint Communications, Inc., 144A 9%15/11/2018 USD 12,547,000 14,234,572 0.21Sprint Communications, Inc., 144A 7%01/03/2020 USD 2,538,000 2,760,075 0.04Station Casinos LLC 7.5% 01/03/2021 USD 2,850,000 3,043,244 0.04Steel Dynamics, Inc. 5.125%01/10/2021 USD 1,000,000 1,002,500 0.01Steel Dynamics, Inc. 6.375%15/08/2022 USD 1,860,000 1,955,158 0.03Steel Dynamics, Inc. 5.25% 15/04/2023 USD 458,000 454,915 0.01Structured Asset Investment LoanTrust, FRN, Series 2003-BC5 Class M11.312% 25/06/2033 USD 1,930,587 1,864,185 0.03Structured Asset Investment LoanTrust, FRN, Series 2005-HE3 Class M10.905% 25/09/2035 USD 2,850,000 2,563,224 0.04Structured Asset Investment LoanTrust, FRN, Series 2006-BNC2 Class A50.347% 25/05/2036 USD 1,810,311 1,509,698 0.02Structured Asset Investment LoanTrust, FRN, Series 2006-3 Class A50.337% 25/06/2036 USD 7,609,167 6,538,847 0.10Structured Asset Securities Corp., FRN,Series 2003-29 Class 3A1 4.949%25/09/2033 USD 1,295,733 1,307,458 0.02Structured Asset Securities Corp., FRN,Series 2003-32 Class 5A1 5.841%25/11/2033 USD 3,798,879 4,050,876 0.06Structured Asset Securities Corp.Mortgage Loan Trust, FRN, Series2005-WF4 Class A4 0.547%25/11/2035 USD 24,747 24,797 0.00Summit Materials LLC, 144A 6.125%15/07/2023 USD 1,060,000 1,070,600 0.02SunCoke Energy Partners LP, 144A7.375% 01/02/2020 USD 450,000 459,563 0.01SunGard Data Systems, Inc. 7.375%15/11/2018 USD 1,028,000 1,067,707 0.02SunGard Data Systems, Inc. 6.625%01/11/2019 USD 2,235,000 2,315,259 0.03SunGard Data Systems, Inc. 7.625%15/11/2020 USD 1,575,000 1,652,592 0.02Talen Energy Supply LLC, 144A 5.125%15/07/2019 USD 931,000 917,035 0.01Talos Production LLC, 144A 9.75%15/02/2018 USD 4,794,000 4,230,705 0.06Targa Resources Partners LP, 144A4.125% 15/11/2019 USD 520,000 517,400 0.01TEGNA, Inc., 144A 4.875% 15/09/2021 USD 475,000 472,625 0.01TEGNA, Inc., 144A 5.5% 15/09/2024 USD 340,000 337,450 0.00Tenet Healthcare Corp., 144A 5%01/03/2019 USD 6,730,000 6,722,597 0.10Tenet Healthcare Corp., 144A 5.5%01/03/2019 USD 1,565,000 1,580,548 0.02Tenet Healthcare Corp. 6.75%01/02/2020 USD 1,116,000 1,176,342 0.02Tenet Healthcare Corp., FRN, 144A3.788% 15/06/2020 USD 1,176,000 1,193,640 0.02Tenet Healthcare Corp. 6% 01/10/2020 USD 7,076,000 7,513,085 0.11Tenet Healthcare Corp., 144A 6.75%15/06/2023 USD 2,866,000 2,905,236 0.04Tesoro Logistics LP, 144A 6.25%15/10/2022 USD 1,420,000 1,498,100 0.02Texas Competitive Electric Holdings Co.LLC, 144A 11.5% 01/10/2020§ USD 19,950,000 12,369,000 0.18Thornburg Mortgage Securities Trust,FRN, Series 2007-4 Class 3A1 6.221%25/09/2037 USD 2,268,733 2,339,282 0.03Time, Inc., 144A 5.75% 15/04/2022 USD 2,275,000 2,195,375 0.03TransDigm, Inc., 144A 6.5%15/05/2025 USD 1,690,000 1,690,000 0.02

Triangle USA Petroleum Corp., 144A6.75% 15/07/2022 USD 1,936,000 1,500,400 0.02Tronox Finance LLC, 144A 7.5%15/03/2022 USD 1,500,000 1,432,500 0.02UAL Pass Through Trust, Series 2007-16.636% 02/01/2024 USD 3,171,144 3,401,051 0.05UCI International, Inc. 8.625%15/02/2019 USD 3,350,000 2,998,250 0.04Unifrax I LLC, 144A 7.5% 15/02/2019 USD 1,529,000 1,548,113 0.02United Surgical Partners International,Inc. 9% 01/04/2020 USD 8,465,000 9,036,388 0.13Univar USA, Inc., 144A 6.75%15/07/2023 USD 1,192,000 1,203,920 0.02Univision Communications, Inc., 144A8.5% 15/05/2021 USD 16,177,000 17,147,620 0.25US Airways Pass Through Trust Class B5.375% 15/11/2021 USD 1,733,662 1,777,004 0.03US Concrete, Inc. 8.5% 01/12/2018 USD 1,315,000 1,393,900 0.02US Treasury Bill 0% 27/08/2015 USD 3,365,000 3,364,729 0.05US Treasury Bill 0% 12/11/2015 USD 6,905,000 6,903,429 0.10USG Corp., 144A 7.875% 30/03/2020 USD 77,000 82,775 0.00USG Corp., 144A 5.5% 01/03/2025 USD 690,000 685,974 0.01USI, Inc., 144A 7.75% 15/01/2021 USD 2,709,000 2,763,180 0.04Valeant Pharmaceuticals International,Inc., 144A 7% 01/10/2020 USD 995,000 1,039,178 0.02Valeant Pharmaceuticals International,Inc., 144A 6.375% 15/10/2020 USD 1,000,000 1,055,000 0.02Valeant Pharmaceuticals International,Inc., 144A 6.75% 15/08/2021 USD 4,880,000 5,099,600 0.07Valeant Pharmaceuticals International,Inc., 144A 7.25% 15/07/2022 USD 6,905,000 7,371,088 0.11VeriSign, Inc. 4.625% 01/05/2023 USD 615,000 591,504 0.01VeriSign, Inc., 144A 5.25% 01/04/2025 USD 357,000 356,108 0.01Virginia College Building AuthorityEducational Facilities 4% 01/02/2025 USD 4,300,000 4,697,234 0.07VWR Funding, Inc. 7.25% 15/09/2017 USD 5,915,000 6,129,419 0.09WaMu Mortgage Pass-ThroughCertificates Trust, FRN, Series 2005-7Class 1A2 0.637% 25/09/2035 USD 1,306,906 1,043,039 0.02WaMu Mortgage Pass-ThroughCertificates Trust, Series 2005-8 Class1A8 5.5% 25/10/2035 USD 268,688 252,556 0.00WaMu Mortgage Pass-ThroughCertificates Trust, Series 2006-1 Class3A2 5.75% 25/02/2036 USD 1,083,734 993,904 0.01Watco Cos. LLC, 144A 6.375%01/04/2023 USD 1,095,000 1,116,900 0.02WCI Communities, Inc. 6.875%15/08/2021 USD 3,922,000 4,069,075 0.06Wells Enterprises, Inc., 144A 6.75%01/02/2020 USD 505,000 517,625 0.01Wells Fargo Alternative Loan Trust,FRN, Series 2005-2 Class M1 0.86%25/10/2035 USD 2,760,000 2,523,405 0.04Wells Fargo Mortgage BackedSecurities Trust, Series 2007-3 Class3A1 5.5% 25/04/2022 USD 253,083 261,695 0.00Wells Fargo Mortgage BackedSecurities Trust, Series 2007-5 Class2A3 5.5% 25/05/2022 USD 429,801 438,062 0.01Wells Fargo Mortgage BackedSecurities Trust, Series 2005-16 ClassA8 5.75% 25/01/2036 USD 296,514 311,514 0.00Wells Fargo Mortgage BackedSecurities Trust, Series 2006-11 ClassA2 6% 25/09/2036 USD 348,033 334,064 0.00Wells Fargo Mortgage BackedSecurities Trust, Series 2006-11 ClassA8 6% 25/09/2036 USD 2,072,032 1,988,866 0.03Wells Fargo Mortgage BackedSecurities Trust, Series 2006-15 ClassA1 6% 25/11/2036 USD 3,069,018 2,974,040 0.04Wells Fargo Mortgage BackedSecurities Trust, Series 2007-7 ClassA49 6% 25/06/2037 USD 3,429,219 3,445,576 0.05Wells Fargo Mortgage BackedSecurities Trust, Series 2007-8 Class2A8 6% 25/07/2037 USD 2,448,871 2,428,126 0.04Wells Fargo Mortgage BackedSecurities Trust, STEP, Series 2007-10Class 1A9 6% 25/07/2037 USD 724,287 725,096 0.01Wells Fargo Mortgage BackedSecurities Trust, Series 2007-11 ClassA96 6% 25/08/2037 USD 291,411 288,351 0.00Wells Fargo Mortgage BackedSecurities Trust, Series 2007-11 ClassA85 6% 25/08/2037 USD 252,557 246,914 0.00Western Refining Logistics LP, 144A7.5% 15/02/2023 USD 2,754,000 2,836,620 0.04WFCG Commercial Mortgage Trust,FRN, Series 2015-BXRP Class F 144A3.92% 15/11/2029 USD 16,823,216 16,782,773 0.24

83



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Whiting Petroleum Corp., 144A 6.25%01/04/2023 USD 1,385,000 1,395,388 0.02Windstream Services LLC 7.75%01/10/2021 USD 7,732,000 7,087,113 0.10Windstream Services LLC 7.5%01/06/2022 USD 670,000 592,632 0.01Windstream Services LLC 7.5%01/04/2023 USD 8,719,000 7,657,287 0.11Windstream Services LLC 6.375%01/08/2023 USD 940,000 769,268 0.01Wise Metals Group LLC, 144A 8.75%15/12/2018 USD 1,230,000 1,302,263 0.02WMG Acquisition Corp., 144A 6%15/01/2021 USD 2,150,000 2,203,750 0.03WMG Acquisition Corp., 144A 5.625%15/04/2022 USD 165,000 166,238 0.00WMG Acquisition Corp., 144A 6.75%15/04/2022 USD 500,000 477,500 0.01WR Grace & Co. -Conn, 144A 5.125%01/10/2021 USD 475,000 482,125 0.01WR Grace & Co. -Conn, 144A 5.625%01/10/2024 USD 240,000 244,500 0.00Wynn Las Vegas LLC, 144A 5.5%01/03/2025 USD 7,405,000 7,053,263 0.10XPO Logistics, Inc., 144A 6.5%15/06/2022 USD 2,345,000 2,298,100 0.03Zayo Group LLC 10.125% 01/07/2020 USD 5,498,000 6,131,012 0.09Zayo Group LLC, 144A 6% 01/04/2023 USD 7,230,000 7,139,625 0.10Zayo Group LLC, 144A 6.375%15/05/2025 USD 1,040,000 1,011,400 0.01Zebra Technologies Corp., 144A 7.25%15/10/2022 USD 6,470,000 6,987,600 0.10ZF North America Capital, Inc., 144A4% 29/04/2020 USD 2,503,000 2,499,871 0.04ZF North America Capital, Inc., 144A4.5% 29/04/2022 USD 3,735,000 3,664,969 0.05ZF North America Capital, Inc., 144A4.75% 29/04/2025 USD 3,350,000 3,243,989 0.05

2,492,848,682 36.30

Virgin Islands, BritishSea Trucks Group Ltd., Reg. S, 144A9% 26/03/2018 USD 3,900,000 3,244,976 0.05

3,244,976 0.05

Total Bonds 2,932,791,981 42.71

Certificates of Deposit

AustraliaWestpac Banking Corp. 0.30%04/05/2016 USD 60,000,000 60,000,000 0.87

60,000,000 0.87

CanadaBank of Nova Scotia (The) 0.73%11/09/2015 USD 6,144,000 6,148,941 0.09Bank of Nova Scotia (The) 0.30%15/10/2015 USD 25,000,000 25,000,000 0.37Toronto-Dominion Bank (The) 0.29%24/08/2015 USD 75,000,000 75,000,000 1.09

106,148,941 1.55

ChinaChina Construction Bank Corp. 0.69%03/08/2015 USD 6,350,000 6,351,874 0.09

6,351,874 0.09

FranceNatixis SA 0.34% 31/07/2015 USD 50,000,000 50,000,000 0.73

50,000,000 0.73

NetherlandsCooperatieve CentraleRaiffeisen-Boerenleenbank BA 0.32%08/01/2016 USD 50,000,000 50,000,000 0.73

50,000,000 0.73

SwitzerlandCredit Suisse AG 0.31% 24/09/2015 USD 40,000,000 40,000,000 0.58

40,000,000 0.58

United States of AmericaChiba Bank Ltd. 0.21% 24/07/2015 USD 30,640,000 30,640,000 0.45HSBC Bank USA NA 0.28% 20/07/2015 USD 90,000,000 90,005,016 1.31

State Street Bank & Trust Co. 0.33%12/11/2015 USD 75,000,000 75,000,000 1.09Sumitomo Mitsui Banking Corp. 0.13%01/07/2015 USD 50,000,000 50,000,000 0.73Sumitomo Mitsui Banking Corp. 0.18%17/07/2015 USD 80,070,000 80,070,000 1.16Sumitomo Mitsui Trust Holdings, Inc.0.16% 29/07/2015 USD 33,050,000 33,050,000 0.48Toronto-Dominion Bank (The) 0.30%15/07/2015 USD 50,000,000 50,000,000 0.73Wells Fargo Bank NA 0.31%09/09/2015 USD 100,000,000 100,000,000 1.46Wells Fargo Bank NA 0.31%17/09/2015 USD 30,000,000 30,000,000 0.44

538,765,016 7.85

Total Certificates of Deposit 851,265,831 12.40

Commercial Papers

AustraliaMacquarie Bank Ltd. 0.00%21/09/2015 USD 10,000,000 9,992,853 0.15Westpac Banking Corp. 0.27%14/08/2015 USD 100,000,000 100,000,000 1.46Westpac Banking Corp. 0.00%21/08/2015 USD 25,000,000 24,988,050 0.36

134,980,903 1.97

CanadaLa Caisse Centrale Desjardins DuQuebec 0.00% 08/07/2015 USD 25,000,000 24,999,109 0.37Toyota Credit Canada, Inc. 0.00%13/07/2015 USD 25,000,000 24,997,095 0.36

49,996,204 0.73

Hong KongBank of China Ltd. 0.00% 07/08/2015 USD 50,000,000 49,983,111 0.73

49,983,111 0.73

JapanSumitomo Mitsui Banking Corp. 0.00%26/08/2015 USD 50,000,000 49,979,186 0.73

49,979,186 0.73

LuxembourgBanque Et Caisse D Epargne Del Etat0.00% 31/08/2015 USD 49,300,000 49,273,107 0.72

49,273,107 0.72

NetherlandsNederlandse Waterschapsbank NV0.00% 09/07/2015 USD 25,000,000 24,998,245 0.36

24,998,245 0.36

SingaporeDBS Bank Ltd. 0.00% 21/07/2015 USD 50,000,000 49,994,750 0.73

49,994,750 0.73

SwedenSkandinaviska Enskilda Banken AB0.00% 08/07/2015 USD 250,000 249,992 0.00

249,992 0.00

United KingdomHSBC Bank PLC 0.00% 20/01/2016 USD 75,000,000 75,000,000 1.09

75,000,000 1.09

United States of AmericaAgricultural Bank of China Ltd. 0.00%06/08/2015 USD 25,000,000 24,990,650 0.36Bedford Row Funding Corp. 0.00%14/09/2015 USD 14,000,000 13,988,132 0.20Bedford Row Funding Corp. 0.00%11/12/2015 USD 68,200,000 68,090,762 0.99Bedford Row Funding Corp. 0.32%04/01/2016 USD 25,000,000 25,000,000 0.36Can Ast & Can Ltd. 0.00% 03/08/2015 USD 75,000,000 74,986,157 1.09DCAT LLC 0.00% 02/07/2015 USD 30,820,000 30,819,518 0.45Exxon Mobil Corp. 0.00% 06/07/2015 USD 9,010,000 9,009,875 0.13General Electric Capital Corp. 0.00%14/07/2015 USD 22,405,000 22,404,007 0.33Gotham Funding Corp. 0.00%08/07/2015 USD 25,000,000 24,998,932 0.36

84



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Industrial & Commercial Bank of ChinaLtd. 0.00% 07/08/2015 USD 25,000,000 24,993,291 0.36ING (US) Funding LLC 0.00%13/10/2015 USD 4,700,000 4,695,576 0.07Intercontinental Exchange, Inc. 0.00%06/07/2015 USD 42,727,000 42,725,754 0.62Kells Funding LLC 0.00% 18/08/2015 USD 25,000,000 24,989,205 0.36LMA SA 0.00% 07/07/2015 USD 50,000,000 49,998,542 0.73National Australia Funding (Delaware),Inc. 0.29% 27/08/2015 USD 92,000,000 92,000,000 1.34Nieuw Amsterdam Receivables Corp.0.00% 10/08/2015 USD 36,000,000 35,987,635 0.53Nordea Bank AB 0.00% 19/11/2015 USD 50,000,000 49,934,561 0.73Toronto Dominion Holdings (USA), Inc.0.00% 10/07/2015 USD 20,580,000 20,579,232 0.30Toyota Motor Credit Corp. 0.00%18/11/2015 USD 50,000,000 49,934,958 0.73Victory Receivables Corp. 0.00%22/07/2015 USD 33,340,000 33,335,854 0.49Working Capital Management Co. LP0.00% 02/07/2015 USD 5,000,000 4,999,952 0.07Working Capital Management Co. LP0.00% 06/07/2015 USD 1,700,000 1,699,939 0.03Working Capital Management Co. LP0.00% 17/07/2015 USD 30,000,000 29,997,461 0.44

760,159,993 11.07

Total Commercial Papers 1,244,615,491 18.13

Convertible Bonds

United States of AmericaClearwire Communications LLC, 144A8.25% 01/12/2040 USD 1,904,000 2,072,980 0.03

2,072,980 0.03


Equities

Cayman IslandsXLIT Ltd. Preference, FRN 3.395% USD 15,885 13,373,185 0.19

13,373,185 0.19

United States of AmericaAlly Financial, Inc. Preference, 144A7% USD 2,246 2,281,515 0.03Halcon Resources Corp. Preference5.75% USD 118 26,196 0.00Neebo, Inc. USD 58,580 203,566 0.00Pitney Bowes International Holdings,Inc. Preference, 144A 6.125% USD 1,000 1,045,000 0.02RM Opco LLC USD 4,775 4,775 0.00RM Opco LLC USD 865,731 865,731 0.01

4,426,958 0.06



5,048,546,426 73.52


Bonds

NetherlandsReichhold Holdings International BV12% 31/03/2017* USD 2,131,000 2,131,000 0.03Reichhold Holdings International BV15% 31/03/2017* USD 1,370,000 1,370,000 0.02

3,501,000 0.05

United KingdomSUN NewCo 10.5% 15/02/2019* GBP 681 0 0.00

0 0.00

United States of AmericaConstar, Inc. 11% 31/12/2017* USD 1,250,441 207,573 0.00Momentive Performance Materials, Inc.0% 15/10/2020§ USD 4,000,000 0 0.00Motors Liquidation Co. 8.25%15/07/2023 USD 4,000,000 4 0.00

Reichhold Industries, Inc., 144A9.075% 08/05/2017*§ USD 2,433,329 3 0.00Reichhold LLC 12% 31/03/2017* USD 905,000 905,000 0.01

1,112,580 0.01

Total Bonds 4,613,580 0.06

Convertible Bonds

United States of AmericaUpstate New York Power Producers,Inc., 144A 20% 15/06/2017* USD 645,539 1,226,524 0.02

1,226,524 0.02


Equities

Cayman IslandsReichhold, Inc.* USD 4,045 1,727,215 0.03

1,727,215 0.03

United States of AmericaConstar International Holdings LLCPreference Class A * USD 2,084 0 0.00Constar International Holdings LLCClass A* USD 20,663 0 0.00General Motors Co. Preference USD 704,913 70 0.00General Motors Co. Preference USD 290,634 29 0.00General Motors Co. Preference USD 479,196 48 0.00General Motors Co. Preference USD 166,826 17 0.00General Motors Co. Preference USD 25,581 3 0.00General Motors Co. Preference USD 2,110 0 0.00General Motors Co. Preference USD 84,916 8 0.00Somerset Cayuga Holding Co., Inc.* USD 13,724 300,281 0.00

300,456 0.00


Warrants

Marshall IslandsGeneral Maritime Corp. 17/05/2017* USD 8,942 4,072 0.00

4,072 0.00

United States of AmericaNeebo, Inc. 20/06/2019* USD 30,102 0 0.00Neebo, Inc. 29/06/2019* USD 64,506 0 0.00

0 0.00

Total Warrants 4,072 0.00


7,871,668 0.11


Collective Investment Schemes - AIF

GuernseyJPMorgan Senior Secured Loan FundLtd. † GBP 7,500,000 10,692,688 0.16

10,692,688 0.16

Total Collective Investment Schemes - AIF 10,692,688 0.16


United States of AmericaAdvent Claymore ConvertibleSecurities and Income Fund II USD 486,494 3,123,289 0.05Blackstone/GSO Strategic Credit Fund USD 603,657 9,420,068 0.14Eaton Vance Floating-Rate Income PlusFund USD 70,767 1,134,387 0.02Eaton Vance Floating-Rate IncomeTrust Fund USD 114,262 1,575,102 0.02Eaton Vance Senior Income Trust Fund USD 716,988 4,427,401 0.06Invesco Dynamic Credit OpportunitiesFund USD 389,620 4,527,389 0.07Invesco Senior Income Trust Fund USD 538,492 2,442,061 0.04Nuveen Credit Strategies Income Fund USD 990,500 8,478,680 0.12Nuveen Floating Rate Income Fund USD 398,000 4,244,670 0.06Nuveen Floating Rate IncomeOpportunity Fund USD 394,000 4,257,170 0.06Nuveen Senior Income Fund USD 674,689 4,294,395 0.06

85



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets

Nuveen Short Duration CreditOpportunities Fund USD 263,119 4,328,312 0.06Voya Prime Rate Trust Fund USD 419,025 2,222,928 0.03

54,475,852 0.79



65,168,540 0.95


Cash 273,567,648 3.98

Other Assets/(Liabilities) (36,125,201) (0.52)

Total Net Assets 6,866,595,650 100.00

† Related Party Fund

* Security is valued at its fair value under the direction of the Board of Directors.§ Security is currently in default.

Geographic Allocation of Portfolio as at 30 June 2015 % of Net AssetsUnited States of America 74.07Canada 4.78Australia 3.77Luxembourg 2.52United Kingdom 1.64Japan 1.51Netherlands 1.43Bermuda 1.32Cayman Islands 1.32France 0.91Singapore 0.73Hong Kong 0.73Switzerland 0.58Ireland 0.49Guernsey 0.16Virgin Islands, British 0.14China 0.09Germany 0.09Marshall Islands 0.08Bahamas 0.05Mexico 0.04Sweden 0.03Italy 0.03Finland 0.02Supranational 0.01Liberia -Total Investments 96.54Cash and Other Assets/(Liabilities) 3.46

Total 100.00

Geographic Allocation of Portfolio as at 31 December 2014 % of Net AssetsUnited States of America 59.80Australia 8.18Canada 5.56Japan 3.65Netherlands 2.66Singapore 2.57China 2.56France 2.04Luxembourg 1.70United Kingdom 1.65Cayman Islands 1.32Bermuda 1.02Switzerland 0.70Chile 0.66International Agencies 0.52Sweden 0.51Hong Kong 0.47Norway 0.34Ireland 0.31Germany 0.19Channel Islands 0.15British Virgin Islands 0.08Marshall Islands 0.07Bahamas 0.06Nigeria 0.04Italy 0.03Finland 0.02Liberia -Total Investments 96.86Cash and Other Assets/(Liabilities) 3.14

Total 100.00

86



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

USD

%of


Quantity/Nominal

ValueMarket Value

USD

%of

NetAssets



As at 30 June 2015

To Be Announced Contracts

Country Security Description CurrencyNominal

Value

MarketValue

USD


USD

%of

NetAssets

United States of America FNMA, 3.00%, 25/07/2045 USD 17,730,000 17,644,121 (24,933) 0.26

Total To Be Announced Contracts Long Positions 17,644,121 (24,933) 0.26

United States of America FNMA, 3.50%, 25/07/2045 USD (19,080,000) (19,649,419) 19,600 (0.29)

Total To Be Announced Contracts Short Positions (19,649,419) 19,600 (0.29)

Net To Be Announced Contracts (2,005,298) (5,333) (0.03)

Financial Futures Contracts

Security DescriptionNumber ofContracts Currency

GlobalExposure

USD


USD

%of

NetAssets

US 10 Year Note, 21/09/2015 (206) USD (25,989,797) 185,391 0.01US Long Bond, 21/09/2015 (11) USD (1,659,453) 15,383 -US Ultra Bond, 21/09/2015 (66) USD (10,172,250) 134,062 -

Total Unrealised Gain on Financial Futures Contracts 334,836 0.01

Eurodollar 3 Month, 14/12/2015 (396) USD (98,467,875) (175,275) -Eurodollar 3 Month, 14/09/2015 (416) USD (103,617,800) (449,800) (0.01)US 2 Year Note, 30/09/2015 (544) USD (119,097,750) (263,423) -US 5 Year Note, 30/09/2015 (1,080) USD (128,777,344) (328,789) (0.01)

Total Unrealised Loss on Financial Futures Contracts (1,217,287) (0.02)

Net Unrealised Loss on Financial Futures Contracts (882,451) (0.01)



As at 30 June 2015




USD

%of

NetAssets

AUD 13,740,000 USD 10,448,382 21/09/2015 106,025 -AUD 3,510,000 USD 2,668,899 15/12/2015 15,175 -CHF 332,535 USD 355,521 01/07/2015 2,059 -CHF 159,431,720 USD 170,755,388 10/07/2015 729,008 0.01CNH 1,271,788 USD 204,486 10/07/2015 322 -EUR 9,307,929 USD 10,384,735 01/07/2015 39,214 -EUR 1,797,396 USD 2,010,484 02/07/2015 2,419 -EUR 27,866,649 USD 31,070,969 10/07/2015 140,257 -EUR 1,636,112 USD 1,831,635 21/07/2015 1,130 -EUR 31,746,728 USD 35,569,666 11/08/2015 3,547 -EUR 11,245,000 USD 12,578,414 21/09/2015 29,693 -GBP 336,889 USD 530,299 01/07/2015 420 -GBP 376,871,442 USD 576,724,960 10/07/2015 16,947,880 0.25SEK 1,029,053 USD 123,799 01/07/2015 1,001 -SEK 514,907 USD 62,409 02/07/2015 37 -SEK 499,181,621 USD 60,098,453 10/07/2015 449,285 0.01SEK 183,459 USD 22,252 11/08/2015 16 -SGD 281,561,182 USD 208,692,733 10/07/2015 507,128 0.01SGD 34,000,000 USD 24,979,796 21/09/2015 252,041 0.01USD 5,286,362 AUD 6,870,000 21/09/2015 9,158 -USD 51,844 CHF 48,111 02/07/2015 110 -USD 1,554,789 CHF 1,436,021 10/07/2015 10,208 -USD 42,121,627 EUR 37,261,481 10/07/2015 387,993 -USD 4,964,586 EUR 4,358,291 21/07/2015 82,448 -USD 6,362,309 EUR 5,622,500 21/09/2015 58,255 -USD 695,849 GBP 441,131 02/07/2015 913 -USD 14,680,072 NZD 20,240,000 21/09/2015 1,052,956 0.02USD 410,354 SEK 3,357,362 10/07/2015 3,126 -USD 847,946 SGD 1,140,728 10/07/2015 385 -

87



As at 30 June 2015




USD

%of

NetAssets

USD 34,375,241 SGD 45,940,000 21/09/2015 282,577 -


CHF 246,886 USD 267,944 10/07/2015 (2,394) -CHF 48,111 USD 51,921 11/08/2015 (105) -EUR 3,204,164,376 USD 3,598,582,307 10/07/2015 (9,851,510) (0.14)GBP 852,949 USD 1,353,810 10/07/2015 (10,188) -GBP 441,131 USD 695,665 11/08/2015 (927) -NZD 20,240,000 USD 14,997,840 21/09/2015 (1,370,723) (0.02)NZD 3,790,000 USD 2,641,782 15/12/2015 (104,603) -SEK 3,038,056 USD 372,724 10/07/2015 (4,226) -SGD 565,931 USD 422,548 10/07/2015 (2,062) -SGD 57,184,000 USD 42,991,005 21/09/2015 (554,025) (0.01)USD 5,244,954 AUD 6,870,000 21/09/2015 (32,249) -USD 2,654,290 AUD 3,510,000 15/12/2015 (29,784) -USD 2,254,532 CHF 2,110,636 10/07/2015 (15,665) -USD 461,609 CHF 431,373 11/08/2015 (2,989) -USD 1,098 CNH 6,832 10/07/2015 (2) -USD 34,017,286 EUR 30,906,518 10/07/2015 (598,657) (0.01)USD 12,422,099 EUR 11,123,330 11/08/2015 (41,945) -USD 12,242,207 EUR 11,245,000 21/09/2015 (365,900) (0.01)USD 19,387,620 GBP 12,832,007 10/07/2015 (826,207) (0.01)USD 706,885 GBP 449,265 11/08/2015 (663) -USD 2,536,344 NZD 3,790,000 15/12/2015 (835) -USD 1,726,747 SEK 14,503,631 10/07/2015 (32,456) -USD 186,348 SEK 1,543,960 11/08/2015 (1,057) -USD 353,168 SGD 476,142 10/07/2015 (605) -USD 41,401,255 SGD 56,487,000 21/09/2015 (518,473) (0.01)


Net Unrealised Gain on Forward Currency Exchange Contracts 6,746,536 0.10


USD

Bank of America (43,431)Barclays 3,918BNP Paribas (485,917)Citibank (697,630)Credit Suisse (975,331)Deutsche Bank (516,182)Goldman Sachs (868,098)HSBC 14,892,866Morgan Stanley (32,010)RBC (1,602,060)Societe Generale (1,589,211)Standard Chartered (116,560)State Street 287,948Toronto-Dominion (99,404)UBS (472,933)Westpac Banking (939,429)

6,746,536

Option Purchased Contracts

Quantity Security Description Currency Counterparty

Global Exposure(in contract

currency)

MarketValue

USD

%of

NetAssets

204 Eurodollar 3 Month, Put, 97.750, 19/09/2016 USD J.P. Morgan 4,985,250,000 15,300 -576 Eurodollar 3 Month, Put, 98.000, 19/12/2016 USD J.P. Morgan 14,112,000,000 180,000 -

7,228 Eurodollar 3 Month, Put, 98.750, 14/12/2015 USD J.P. Morgan 178,441,250,000 90,350 -

Total Option Purchased Contracts 285,650 -

88



As at 30 June 2015

Credit Default Swap Contracts

NominalAmount Currency Counterparty Reference Entity Buy/Sell

MaturityDate

MarketValue

USD


USD

%of

NetAssets

10,440,000 USD Citibank ABX.HE.PENAAA.7 Sell 25/01/2038 (2,131,807) 4,636,245 (0.02)4,686,000 USD Barclays Ally Financial, Inc. 7.500% 15/09/2020 Buy 20/12/2017 (419,823) 155,277 -2,284,000 USD Credit Suisse Ally Financial, Inc. 7.500% 15/09/2020 Buy 20/12/2017 (204,626) 47,750 -2,185,000 USD Barclays Ally Financial, Inc. 7.500% 15/09/2020 Buy 20/03/2017 (147,137) 41,777 -2,380,000 USD Citibank Avon Products, Inc. 6.500% 01/03/2019 Buy 20/09/2020 158,980 19,485 -2,380,000 USD Credit Suisse Barrick Gold Corp. 5.800% 15/11/2034 Buy 20/09/2020 86,562 14,823 -1,500,000 USD Citibank Brazilian Government International Bond 12.250% 06/03/2030 Buy 20/03/2020 98,983 21,623 -5,570,000 USD Citibank CDX.NA.HY.23-V4 Buy 20/12/2019 (409,796) 50,201 (0.01)

22,710,000 USD Citibank CDX.NA.HY.24-V2 Buy 20/06/2020 (1,366,612) 186,220 (0.03)248,990,000 USD Citibank CDX.NA.IG.23-V1 Buy 20/12/2019 (3,235,230) 1,075,404 (0.05)

71,370,000 USD BNP Paribas China Government Bond 7.500% 28/10/2027 Buy 20/09/2020 (240,112) 96,404 -1,514,000 USD Barclays CIT Group, Inc. 5.250% 15/03/2018 Buy 20/06/2017 (106,525) 61,697 -5,350,000 USD Barclays CMBX.NA.A.3 Sell 13/12/2049 (2,714,538) 1,015,060 (0.04)2,670,000 USD Morgan Stanley CMBX.NA.A.3 Sell 13/12/2049 (1,354,732) 513,256 (0.02)4,320,000 USD Goldman Sachs CMBX.NA.A.6 Buy 11/05/2063 9,516 80,236 -2,160,000 USD Barclays CMBX.NA.A.6 Buy 11/05/2063 4,758 39,590 -2,170,000 USD Morgan Stanley CMBX.NA.A.6 Buy 11/05/2063 4,780 38,334 -2,350,000 USD Citibank CMBX.NA.A.6 Buy 11/05/2063 5,177 24,097 -2,671,000 USD Citibank First Data Corp. 12.625% 15/01/2021 Buy 20/09/2017 (240,261) 38,915 -444,000 USD Goldman Sachs First Data Corp. 12.625% 15/01/2021 Buy 20/09/2017 (39,938) 5,717 -

5,940,000 USD BNP Paribas Freeport-McMoRan, Inc. 3.550% 01/03/2022 Buy 20/09/2020 465,232 32,084 0.01620,000 USD Barclays Frontier Communications Corp. 9.000% 15/08/2031 Buy 20/06/2017 (41,536) 18,980 -

22,440,000 USD Bank of America IOS.FN30.400 Buy 12/01/2042 (18,196) 68,464 -11,310,000 USD Goldman Sachs IOS.FN30.400 Buy 12/01/2042 (9,171) 37,262 -

22,240,000 USD Citibank IOS.FN30.400 Buy 12/01/2042 (18,034) 50,715 -33,464,000 USD Citibank IOS.FN30.450 Buy 12/01/2041 2,640 62,360 -48,870,000 USD Citibank IOS.FN30.500 Buy 12/01/2041 8,253 171,617 -55,324,000 USD Credit Suisse IOS.FN30.500 Buy 12/01/2041 9,341 115,075 -

1,148,000 USD Barclays iStar Financial, Inc. 7.125% 15/02/2018 Buy 20/09/2016 (51,558) 24,995 -92,555,000 EUR Citibank iTraxx Europe Crossover Series 21 Version 1 Sell 20/12/2019 7,089,923 72,897 0.10

280,470,000 EUR Citibank iTraxx Europe Series 22 Version 1 Buy 20/12/2019 (4,450,910) 1,344,526 (0.07)65,290,000 USD Barclays Mexico Government International Bond 5.950% 19/03/2019 Buy 20/09/2020 1,013,489 27,559 0.02

2,360,000 USD Credit Suisse MGM Resorts International 7.625% 15/01/2017 Buy 20/09/2015 (25,082) 78,270 -8,330,000 USD Citibank Nabors Industries, Inc. 6.150% 15/02/2018 Buy 20/09/2020 729,916 64,952 0.014,390,000 USD Goldman Sachs Sears Roebuck Acceptance Corp. 7.000% 01/06/2032 Sell 20/03/2016 (64,055) 342,550 -2,550,000 USD Deutsche Bank Sears Roebuck Acceptance Corp. 7.000% 01/06/2032 Sell 20/03/2016 (37,207) 306,334 -1,300,000 USD Goldman Sachs Sears Roebuck Acceptance Corp. 7.000% 01/06/2032 Sell 20/09/2016 (58,787) 169,435 -2,730,000 USD Citibank Sears Roebuck Acceptance Corp. 7.000% 01/06/2032 Sell 20/09/2015 (10,808) 140,098 -

470,000 USD Deutsche Bank Sears Roebuck Acceptance Corp. 7.000% 01/06/2032 Sell 20/09/2015 (1,861) 12,696 -742,000 USD Barclays Springleaf Finance Corp. 6.900% 15/12/2017 Buy 20/09/2017 (53,598) 5,424 -

1,430,000 USD UBS SUPERVALU, Inc. 8.000% 01/05/2016 Sell 20/03/2016 50,186 161,408 -950,000 USD Credit Suisse SUPERVALU, Inc. 8.000% 01/05/2016 Sell 20/03/2016 33,340 131,243 -940,000 USD BNP Paribas SUPERVALU, Inc. 8.000% 01/05/2016 Sell 20/03/2016 32,989 119,808 -

2,380,000 USD Morgan Stanley Transocean, Inc. 7.375% 15/04/2018 Buy 20/09/2020 549,840 1,087 0.017,960,000 USD UBS Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (4,947,568) 261,812 (0.07)6,830,000 USD Barclays Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (4,245,212) 143,254 (0.06)3,820,000 USD Credit Suisse Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (2,374,336) 119,130 (0.03)4,540,000 USD Goldman Sachs Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (2,821,854) 130,588 (0.04)1,130,000 USD Bank of America Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (702,356) 51,449 (0.01)1,080,000 USD BNP Paribas Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (671,278) 28,622 (0.01)1,140,000 USD Deutsche Bank Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (708,571) 17,070 (0.01)2,360,000 USD Goldman Sachs Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/06/2017 (1,221,714) 17,614 (0.02)4,630,000 USD Barclays Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/12/2019 (2,861,769) 69,450 (0.04)

Total Unrealised Gain on Credit Default Swap Contracts (27,652,693) 12,560,939 (0.38)

9,040,000 USD Credit Suisse ABX.HE.AAA.6 Buy 25/05/2046 1,485,918 (889,064) 0.025,960,000 USD Barclays ABX.HE.AAA.6 Buy 25/05/2046 979,653 (791,602) 0.018,250,000 USD Bank of America ABX.HE.AAA.6 Buy 25/05/2046 1,356,064 (237,230) 0.02

13,800,000 USD RBS ABX.HE.PENAAA.6 Buy 25/05/2046 443,255 (3,436,878) -25,890,000 USD Barclays CDX.EM.23-V1 Buy 20/06/2020 2,405,974 (337,647) 0.045,000,000 USD Citibank CDX.NA.HY.23-V4 Buy 20/12/2019 (367,860) (2,193) (0.01)5,350,000 USD Barclays CMBX.NA.AA.3 Buy 13/12/2049 2,786,960 (248,282) 0.042,670,000 USD Morgan Stanley CMBX.NA.AA.3 Buy 13/12/2049 1,390,875 (157,284) 0.026,750,000 USD Citibank CMBX.NA.BBB-4 Buy 17/02/2051 1,389,062 (4,149,368) 0.022,500,000 USD Citibank International Lease Finance Corp. 8.250% 15/12/2020 Sell 20/09/2019 346,747 (37,638) 0.01

22,780,000 USD Citibank IOS.FN30.400 Buy 12/01/2042 (27,538) (88,962) -16,412,000 USD Credit Suisse IOS.FN30.450 Buy 12/01/2041 1,295 (62,936) -2,380,000 USD BNP Paribas Staples, Inc. 2.750% 12/01/2018 Buy 20/09/2020 71,365 (2,414) -

41,570,000 USD BNP Paribas Turkey Government Bond 11.875% 15/01/2030 Buy 20/09/2020 2,465,856 (149,992) 0.044,387,200 USD Barclays Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/12/2019 (2,711,695) (214,080) (0.04)4,620,000 USD Goldman Sachs Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/06/2017 (2,391,660) (161,950) (0.04)1,150,000 USD Deutsche Bank Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/12/2019 (710,806) (17,452) (0.01)1,180,000 USD BNP Paribas Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/09/2016 (441,515) (17,370) (0.01)

458,400 USD Goldman Sachs Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/12/2019 (283,334) (13,514) (0.01)1,120,000 USD Deutsche Bank Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (696,140) (21,340) (0.01)1,120,000 USD Goldman Sachs Venezuela Government International Bond 9.250% 15/09/2027 Sell 20/03/2020 (696,140) (21,340) (0.01)

Total Unrealised Loss on Credit Default Swap Contracts 6,796,336 (11,058,536) 0.08

Net Unrealised Gain on Credit Default Swap Contracts (20,856,357) 1,502,403 (0.30)

89



As at 30 June 2015

Interest Rate Swap Contracts

NominalAmount Currency Counterparty Security Description

MaturityDate

MarketValue

USD


USD

%of

NetAssets

20,000,000 USD Citibank Pay fixed 3.979% Receive floating USD LIBOR 17/04/2024 (823,547) (823,547) (0.02)15,100,000 USD Citibank Pay fixed 1.456% Receive floating USD LIBOR 21/06/2018 (108,288) (108,288) -15,006,000 USD Citibank Pay fixed 1.541% Receive floating USD LIBOR 06/12/2018 (103,386) (103,386) -

7,377,000 USD Bank of America Pay fixed 1.393% Receive floating USD LIBOR 27/10/2016 (88,888) (88,888) -

Total Unrealised Loss on Interest Rate Swap Contracts (1,124,109) (1,124,109) (0.02)

Net Unrealised Loss on Interest Rate Swap Contracts (1,124,109) (1,124,109) (0.02)

Total Return Swaps

Security Description Currency Maturity Date Counterparty

GlobalExposure

USD


USD

%of

NetAssets

Receive USD Libor 1 month - 0.187% USD 21/03/2016 Goldman Sachs (578,416) (578,416) (0.01)Pay iBoxx $ Liquid High Yield Index

Receive USD Libor 1 month - 0.186% USD 21/03/2016 Morgan Stanley (240,437) (240,437) -Pay iBoxx $ Liquid High Yield Index

Net Unrealised Loss on Total Return Swap Contracts (818,853) (818,853) (0.01)

90


Equities

JapanADEKA Corp. JPY 100,000 169,900,000 0.32Aichi Steel Corp. JPY 230,000 125,810,000 0.24Aida Engineering Ltd. JPY 75,000 100,537,500 0.19Aisin Seiki Co. Ltd. JPY 50,000 260,750,000 0.49Alpine Electronics, Inc. JPY 35,000 82,617,500 0.15Aozora Bank Ltd. JPY 525,000 243,075,000 0.46Asahi Glass Co. Ltd. JPY 500,000 367,750,000 0.69Bank of Yokohama Ltd. (The) JPY 350,000 262,745,000 0.49Bunka Shutter Co. Ltd. JPY 170,000 164,305,000 0.31Calsonic Kansei Corp. JPY 340,000 295,970,000 0.55Central Japan Railway Co. JPY 27,500 608,093,750 1.14Chiba Bank Ltd. (The) JPY 375,000 349,687,500 0.66Chiyoda Integre Co. Ltd. JPY 40,000 136,400,000 0.26Chudenko Corp. JPY 90,000 211,635,000 0.40Citizen Holdings Co. Ltd. JPY 300,000 256,500,000 0.48CKD Corp. JPY 180,000 252,450,000 0.47Cocokara fine, Inc. JPY 50,000 210,750,000 0.40COMSYS Holdings Corp. JPY 110,000 200,145,000 0.38Credit Saison Co. Ltd. JPY 85,000 223,252,500 0.42Daido Metal Co. Ltd. JPY 120,000 141,120,000 0.26Daihatsu Diesel Manufacturing Co. Ltd. JPY 215,000 146,845,000 0.28Daihen Corp. JPY 270,000 168,885,000 0.32Dai-ichi Life Insurance Co. Ltd. (The) JPY 250,000 601,062,500 1.13Dai-ichi Seiko Co. Ltd. JPY 25,000 50,637,500 0.09Daikyonishikawa Corp. JPY 45,000 188,775,000 0.35Daiwa House Industry Co. Ltd. JPY 170,000 484,627,500 0.91Daiwa Securities Group, Inc. JPY 650,000 596,407,500 1.12DCM Holdings Co. Ltd. JPY 200,000 240,000,000 0.45Denki Kagaku Kogyo KK JPY 525,000 285,337,500 0.53DMG Mori Seiki Co. Ltd. JPY 110,000 260,260,000 0.49East Japan Railway Co. JPY 75,000 825,187,500 1.55Ebara Corp. JPY 500,000 297,000,000 0.56Foster Electric Co. Ltd. JPY 60,000 165,030,000 0.31Fuji Heavy Industries Ltd. JPY 165,000 742,871,250 1.39FUJIFILM Holdings Corp. JPY 120,000 524,040,000 0.98Fujikura Ltd. JPY 350,000 239,750,000 0.45Fujitsu General Ltd. JPY 100,000 157,100,000 0.29Fukuoka Financial Group, Inc. JPY 200,000 126,900,000 0.24Fuyo General Lease Co. Ltd. JPY 35,000 182,525,000 0.34H2O Retailing Corp. JPY 175,000 445,900,000 0.84Haseko Corp. JPY 200,000 289,000,000 0.54Hitachi Capital Corp. JPY 80,000 259,400,000 0.49Hitachi Chemical Co. Ltd. JPY 120,000 264,660,000 0.50Hitachi Ltd. JPY 200,000 161,370,000 0.30Ibiden Co. Ltd. JPY 90,000 186,165,000 0.35Iida Group Holdings Co. Ltd. JPY 90,000 175,410,000 0.33Inabata & Co. Ltd. JPY 160,000 214,400,000 0.40ITOCHU Corp. JPY 300,000 485,400,000 0.91Jafco Co. Ltd. JPY 40,000 195,300,000 0.37Japan Airlines Co. Ltd. JPY 95,000 405,887,500 0.76JVC Kenwood Corp. JPY 230,000 77,050,000 0.14JX Holdings, Inc. JPY 900,000 475,245,000 0.89Kawasaki Kisen Kaisha Ltd. JPY 185,000 53,557,500 0.10KDDI Corp. JPY 275,000 811,731,250 1.52Kinden Corp. JPY 180,000 291,060,000 0.55Konoike Transport Co. Ltd. JPY 110,000 163,515,000 0.31K’s Holdings Corp. JPY 60,000 264,750,000 0.50Kyoritsu Maintenance Co. Ltd. JPY 45,000 354,375,000 0.66Leopalace21 Corp. JPY 240,000 180,360,000 0.34LIXIL Group Corp. JPY 120,000 291,780,000 0.55Maeda Road Construction Co. Ltd. JPY 95,000 214,272,500 0.40Makino Milling Machine Co. Ltd. JPY 140,000 172,760,000 0.32Matsumotokiyoshi Holdings Co. Ltd. JPY 50,000 282,750,000 0.53METAWATER Co. Ltd. JPY 75,000 233,437,500 0.44Mirait Holdings Corp. JPY 145,000 206,842,500 0.39Mitsubishi Chemical Holdings Corp. JPY 450,000 346,455,000 0.65Mitsubishi Corp. JPY 365,000 982,671,250 1.84Mitsubishi Electric Corp. JPY 425,000 671,500,000 1.26Mitsubishi Gas Chemical Co., Inc. JPY 280,000 192,220,000 0.36Mitsubishi Heavy Industries Ltd. JPY 675,000 502,402,500 0.94Mitsubishi Materials Corp. JPY 550,000 258,775,000 0.49Mitsubishi UFJ Financial Group, Inc. JPY 2,725,000 2,399,771,250 4.50Mitsubishi UFJ Lease & Finance Co. Ltd. JPY 550,000 368,225,000 0.69Mitsui Chemicals, Inc. JPY 900,000 409,500,000 0.77Mitsui Mining & Smelting Co. Ltd. JPY 750,000 247,875,000 0.46Mizuho Financial Group, Inc. JPY 4,500,000 1,191,600,000 2.24MS&AD Insurance Group Holdings, Inc. JPY 180,000 685,620,000 1.29NHK Spring Co. Ltd. JPY 200,000 269,600,000 0.51Nichiha Corp. JPY 100,000 187,900,000 0.35Nippo Corp. JPY 110,000 230,395,000 0.43Nippon Chemi-Con Corp. JPY 500,000 184,000,000 0.34

Nippon Electric Glass Co. Ltd. JPY 330,000 204,270,000 0.38Nippon Light Metal Holdings Co. Ltd. JPY 900,000 190,350,000 0.36Nippon Road Co. Ltd. (The) JPY 350,000 214,025,000 0.40Nippon Telegraph & Telephone Corp. JPY 300,000 1,329,825,000 2.49Nisshin Steel Co. Ltd. JPY 150,000 227,850,000 0.43Nissin Electric Co. Ltd. JPY 200,000 174,000,000 0.33Nitto Kogyo Corp. JPY 90,000 247,680,000 0.46Nomura Holdings, Inc. JPY 1,000,000 830,000,000 1.56Nomura Real Estate Holdings, Inc. JPY 220,000 564,520,000 1.06NTN Corp. JPY 400,000 308,200,000 0.58ORIX Corp. JPY 375,000 682,875,000 1.28Osaka Gas Co. Ltd. JPY 400,000 193,340,000 0.36Pacific Industrial Co. Ltd. JPY 145,000 169,795,000 0.32Paltac Corp. JPY 85,000 184,110,000 0.35Panasonic Corp. JPY 310,000 520,955,000 0.98Ryobi Ltd. JPY 660,000 314,820,000 0.59Sanyo Denki Co. Ltd. JPY 200,000 195,600,000 0.37Sanyo Special Steel Co. Ltd. JPY 400,000 228,400,000 0.43SBI Holdings, Inc. JPY 200,000 336,900,000 0.63SBS Holdings, Inc. JPY 250,000 248,125,000 0.47Seiko Holdings Corp. JPY 375,000 232,687,500 0.44Seino Holdings Co. Ltd. JPY 200,000 274,200,000 0.51Sekisui House Ltd. JPY 250,000 486,562,500 0.91Senko Co. Ltd. JPY 200,000 155,000,000 0.29Shizuoka Bank Ltd. (The) JPY 150,000 191,700,000 0.36SKY Perfect JSAT Holdings, Inc. JPY 140,000 91,980,000 0.17Sohgo Security Services Co. Ltd. JPY 45,000 217,125,000 0.41Sompo Japan Nipponkoa Holdings, Inc. JPY 105,000 471,633,750 0.88Sony Corp. JPY 75,000 259,743,750 0.49Sumitomo Bakelite Co. Ltd. JPY 356,000 197,936,000 0.37Sumitomo Chemical Co. Ltd. JPY 775,000 571,175,000 1.07Sumitomo Corp. JPY 250,000 356,125,000 0.67Sumitomo Electric Industries Ltd. JPY 200,000 378,850,000 0.71Sumitomo Forestry Co. Ltd. JPY 125,000 188,437,500 0.35Sumitomo Heavy Industries Ltd. JPY 300,000 213,900,000 0.40Sumitomo Mitsui Financial Group, Inc. JPY 200,000 1,090,600,000 2.05Sumitomo Mitsui Trust Holdings, Inc. JPY 800,000 448,880,000 0.84Sumitomo Osaka Cement Co. Ltd. JPY 900,000 408,150,000 0.77Sumitomo Warehouse Co. Ltd. (The) JPY 255,000 174,547,500 0.33Sun Frontier Fudousan Co. Ltd. JPY 140,000 138,600,000 0.26T&D Holdings, Inc. JPY 190,000 347,035,000 0.65Taiheiyo Cement Corp. JPY 550,000 197,175,000 0.37Takara Leben Co. Ltd. JPY 275,000 200,475,000 0.38Takashimaya Co. Ltd. JPY 250,000 277,125,000 0.52Takuma Co. Ltd. JPY 200,000 156,200,000 0.29TDK Corp. JPY 60,000 562,800,000 1.06TechnoPro Holdings, Inc. JPY 17,000 52,360,000 0.10Teijin Ltd. JPY 700,000 332,850,000 0.62Tohoku Electric Power Co., Inc. JPY 225,000 372,937,500 0.70Tokai Rika Co. Ltd. JPY 60,000 183,600,000 0.34Tokio Marine Holdings, Inc. JPY 135,000 687,757,500 1.29Tokyo Electric Power Co., Inc. JPY 450,000 300,600,000 0.56Topre Corp. JPY 160,000 353,200,000 0.66Tosei Corp. JPY 310,000 269,700,000 0.51Toshiba Machine Co. Ltd. JPY 310,000 173,755,000 0.33Tosoh Corp. JPY 570,000 434,340,000 0.81Toyo Tire & Rubber Co. Ltd. JPY 60,000 155,310,000 0.29Toyota Motor Corp. JPY 280,000 2,295,160,000 4.31TPR Co. Ltd. JPY 50,000 184,250,000 0.35TS Tech Co. Ltd. JPY 55,000 180,125,000 0.34Tsubakimoto Chain Co. JPY 150,000 179,325,000 0.34Tsugami Corp. JPY 235,000 158,037,500 0.30Ulvac, Inc. JPY 120,000 225,900,000 0.42Unipres Corp. JPY 60,000 153,690,000 0.29Ushio, Inc. JPY 100,000 159,550,000 0.30West Japan Railway Co. JPY 100,000 782,600,000 1.47YAMABIKO Corp. JPY 33,000 185,130,000 0.35Yamada Denki Co. Ltd. JPY 400,000 196,400,000 0.37Yorozu Corp. JPY 75,000 202,350,000 0.38Yuasa Trading Co. Ltd. JPY 70,000 204,820,000 0.38Zojirushi Corp. JPY 100,000 189,600,000 0.36

51,499,254,750 96.64

Total Equities 51,499,254,750 96.64


51,499,254,750 96.64


Cash 598,189,245 1.12

Other Assets/(Liabilities) 1,192,593,153 2.24

Total Net Assets 53,290,037,148 100.00

91

JPMorgan Investment Funds - Japan Strategic Value Fund


As at 30 June 2015


Quantity/Nominal

ValueMarket Value

JPY

%of


Quantity/Nominal

ValueMarket Value

JPY

%of

NetAssets

Geographic Allocation of Portfolio as at 30 June 2015Japan 96.64Total Investments 96.64Cash and Other Assets/(Liabilities) 3.36

Total 100.00

Geographic Allocation of Portfolio as at 31 December 2014 % of Net AssetsJapan 98.64Total Investments 98.64Cash and Other Assets/(Liabilities) 1.36

Total 100.00

92



As at 30 June 2015


Quantity/Nominal

ValueMarket Value

JPY

%of


Quantity/Nominal

ValueMarket Value

JPY

%of

NetAssets

93



As at 30 June 2015




JPY

%of

NetAssets

GBP 3,535,282 JPY 676,791,138 15/07/2015 4,132,694 0.01JPY 7,553,747 EUR 54,687 01/07/2015 64,233 -JPY 4,033,632 EUR 29,436 02/07/2015 2,296 -JPY 244,151,590 EUR 1,755,408 15/07/2015 3,731,328 0.01JPY 14,355,624 GBP 73,637 15/07/2015 172,453 -JPY 22,172,406 USD 178,913 01/07/2015 293,148 -JPY 706,764 USD 5,769 02/07/2015 1,263 -JPY 100,966,891 USD 817,345 15/07/2015 1,026,363 -


EUR 28,799,454 JPY 3,988,209,602 15/07/2015 (43,843,418) (0.09)GBP 112,504 JPY 21,985,432 15/07/2015 (316,202) -JPY 111,533,125 EUR 817,237 15/07/2015 (395,423) -JPY 36,526,558 GBP 191,062 15/07/2015 (273,517) -JPY 24,484,364 USD 200,473 15/07/2015 (28,350) -USD 7,512,553 JPY 928,696,770 15/07/2015 (10,102,615) (0.02)




JPY

Barclays 37,410BNP Paribas (165,827)Citibank (402,052)Credit Suisse (95,062)Deutsche Bank (391,632)Goldman Sachs 32,972HSBC (160,473)RBC 269,736Societe Generale (391,167)Standard Chartered (43,239,503)State Street (1,176,225)Westpac Banking 146,076

(45,535,747)

1. Fund Total Expense Ratios+ (continued)For theperiodended

30 Jun 15

For theperiodended

30 Jun 15#

For theyear

ended31 Dec 14

For theyear

ended31 Dec 13

CappedExpenseRatio##

30 Jun 15Inception

Date

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 1.65% - 1.65% 1.65% - 15-Jun-04JPMorgan Global Convertibles (USD) A (acc) - SGD (hedged) 1.90% - 1.90% - - 04-Oct-13JPMorgan Global Convertibles (USD) A (acc) - USD 1.90% - 1.90% 1.90% - 17-Aug-09JPM Global Convertibles (USD) A (dist) - USD 1.65% - 1.65% 1.90% - 27-Feb-14JPM Global Convertibles (USD) A (mth) - USD 1.65% - 1.65% 1.65% - 12-Jun-12JPM Global Convertibles (USD) B (acc) - USD 0.95% - 1.00% 1.00% - 23-May-08JPM Global Convertibles (USD) B (mth) - USD 0.95% - 1.00% 1.00% - 12-Jun-12JPM Global Convertibles (USD) C (acc) - USD 0.95% - 0.95% 0.95% - 08-Aug-05JPM Global Convertibles (USD) D (acc) - USD 2.15% - 2.15% 2.15% - 28-Sep-04JPM Global Convertibles (USD) D (mth) - USD 2.15% - 2.15% 2.15% - 12-Jun-12JPM Global Convertibles (USD) I (acc) - USD 0.87% - 0.86% 0.88% 0.91% 01-Mar-07JPM Global Convertibles (USD) X (acc) - USD 0.15% - 0.15% 0.14% 0.15% 15-Jun-04

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - EUR 1.90% - 1.90% 1.90% - 14-Sep-06JPM Global Financials A (acc) - SGD 1.90% - 1.90% 1.90% - 21-Sep-11JPM Global Financials A (acc) - USD 1.90% - 1.90% 1.90% - 11-Dec-00JPM Global Financials A (dist) - USD 1.90% - 1.90% 1.90% - 15-May-06JPM Global Financials B (acc) - EUR 1.05% - 1.15% 1.15% - 08-Aug-13JPM Global Financials B (acc) - USD 1.05% - 1.15% 1.15% - 08-Feb-01JPM Global Financials C (acc) - USD 1.05% - 1.05% 1.05% - 28-Dec-00JPM Global Financials C (dist) - USD 1.05% - 1.05% 1.05% - 05-Dec-13JPM Global Financials D (acc) - USD 2.90% - 2.90% 2.90% - 12-Jul-01JPM Global Financials X (acc) - USD* - - - - 0.20% 07-Feb-02

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - AUD (hedged) 1.25% - 1.25% - - 03-Apr-14JPM Global High Yield Bond A (acc) - CHF (hedged) 1.25% - 1.25% 1.25% - 25-Sep-12JPM Global High Yield Bond A (acc) - EUR (hedged) 1.25% - 1.25% 1.25% - 24-Mar-00JPM Global High Yield Bond A (acc) - HUF (hedged) 1.25% - 1.25% - - 24-Jul-14JPM Global High Yield Bond A (acc) - USD 1.25% - 1.25% 1.25% - 02-Sep-08JPM Global High Yield Bond A (dist) - USD 1.25% - 1.25% 1.25% - 17-Oct-12JPM Global High Yield Bond A (inc) - EUR (hedged) 1.25% - 1.25% 1.25% - 15-May-06JPM Global High Yield Bond A (irc) - AUD (hedged) 1.25% - 1.25% 1.25% - 12-Mar-13JPM Global High Yield Bond A (irc) - CAD (hedged) 1.25% - 1.25% 1.25% - 19-Mar-13JPM Global High Yield Bond A (irc) - NZD (hedged) 1.25% - 1.25% 1.25% - 14-Mar-13JPM Global High Yield Bond A (irc) - RMB (hedged) 1.25% - 1.25% - - 17-Mar-14JPM Global High Yield Bond A (mth) - HKD 1.25% - 1.25% 1.25% - 01-Feb-12JPM Global High Yield Bond A (mth) - SGD 1.25% - 1.25% 1.25% - 15-Nov-12JPM Global High Yield Bond A (mth) - USD 1.25% - 1.25% 1.25% - 17-Sep-08JPM Global High Yield Bond B (acc) - EUR (hedged) 0.60% - 0.90% 0.90% - 24-Mar-00JPM Global High Yield Bond B (acc) - USD 0.60% - 0.90% 0.90% - 25-Aug-11JPM Global High Yield Bond B (dist) - EUR (hedged) 0.60% - 0.90% 0.90% - 12-Feb-13JPM Global High Yield Bond B (mth) - USD 0.60% - 0.90% 0.90% - 13-Jun-12JPM Global High Yield Bond C (acc) - EUR (hedged) 0.60% - 0.60% 0.60% - 24-Mar-00JPM Global High Yield Bond C (acc) - PLN (hedged) 0.60% - 0.60% 0.60% - 18-Sep-12JPM Global High Yield Bond C (acc) - USD 0.60% - 0.60% 0.60% - 18-Aug-08JPM Global High Yield Bond C (dist) - GBP (hedged) 0.60% - - - - 20-Jan-15JPM Global High Yield Bond C (dist) - USD 0.60% - 0.60% 0.60% - 29-May-12JPM Global High Yield Bond C (div) - EUR (hedged) 0.60% - 0.60% 0.60% - 04-May-12JPM Global High Yield Bond C (inc) - EUR (hedged) 0.60% - 0.60% - - 22-Feb-13JPM Global High Yield Bond C (mth) - USD 0.60% - 0.60% 0.60% - 13-Jul-12JPM Global High Yield Bond D (acc) - EUR (hedged) 1.65% - 1.65% 1.65% - 18-Apr-01JPM Global High Yield Bond D (acc) - PLN (hedged) 1.65% - 1.65% 1.65% - 18-Sep-12JPM Global High Yield Bond D (acc) - USD 1.65% - 1.65% 1.65% - 17-Sep-10JPM Global High Yield Bond D (div) - EUR (hedged) 1.65% - 1.65% 1.65% - 31-Oct-12JPM Global High Yield Bond I (acc) - EUR (hedged) 0.54% - 0.52% 0.56% 0.56% 03-Oct-13JPM Global High Yield Bond I (acc) - USD 0.54% - 0.52% 0.51% 0.56% 19-Nov-09JPM Global High Yield Bond I (dist) - EUR (hedged) 0.52% - 0.53% 0.56% 0.56% 18-Oct-13JPM Global High Yield Bond I (dist) - GBP (hedged) 0.46% - - - 0.56% 24-Jun-15JPM Global High Yield Bond I (dist) - USD 0.54% - 0.54% 0.56% 0.56% 16-Oct-13JPM Global High Yield Bond I (inc) - EUR (hedged) 0.53% - 0.51% 0.51% 0.56% 09-Mar-07JPM Global High Yield Bond I (mth) - USD 0.53% - 0.51% 0.51% 0.56% 04-Dec-12JPM Global High Yield Bond P (dist) - USD* - - - - - 14-Apr-14JPM Global High Yield Bond T (acc) - EUR (hedged) 1.65% - 1.65% 1.65% - 17-Aug-12JPM Global High Yield Bond X (acc) - EUR (hedged) 0.08% - 0.06% 0.06% 0.10% 24-Mar-00JPM Global High Yield Bond X (acc) - USD 0.08% - 0.06% 0.06% 0.10% 06-Jan-11

94


Appendix - Unaudited Additional Disclosures


30 Jun 15

For theperiodended

30 Jun 15#

For theyear

ended31 Dec 14

For theyear

ended31 Dec 13


30 Jun 15Inception

Date

JPMorgan Investment Funds - Global Income FundJPM Global Income A (acc) - AUD (hedged) 1.45% - 1.45% - - 03-Apr-14JPM Global Income A (acc) - CHF (hedged) 1.45% - 1.45% 1.45% - 25-Sep-12JPM Global Income A (acc) - EUR 1.45% - 1.45% 1.45% - 01-Mar-12JPM Global Income A (acc) - SGD (hedged) 1.45% - - - - 12-Jun-15JPM Global Income A (acc) - USD (hedged) 1.45% - 1.45% 1.45% - 30-May-12JPM Global Income A (dist) - GBP (hedged) 1.45% - - - - 23-Mar-15JPM Global Income A (div) - CHF (hedged) 1.45% - 1.45% 1.45% - 20-Jun-13JPM Global Income A (div) - EUR 1.45% - 1.45% 1.45% - 11-Dec-08JPM Global Income A (div) - SGD 1.45% - 1.45% 1.45% - 17-Sep-12JPM Global Income A (div) - SGD (hedged) 1.45% - 1.45% 1.45% - 15-Feb-13JPM Global Income A (div) - USD (hedged) 1.45% - 1.45% 1.45% - 13-Jan-12JPM Global Income A (inc) - EUR 1.45% - 1.45% 1.45% - 24-Jan-13JPM Global Income A (irc) - AUD (hedged) 1.45% - 1.45% 1.45% - 28-Mar-13JPM Global Income A (irc) - CAD (hedged) 1.45% - - - - 02-Jun-15JPM Global Income A (irc) - RMB (hedged) 1.45% - 1.45% - - 04-Jun-14JPM Global Income A (mth) - EUR 1.45% - - - - 10-Jun-15JPM Global Income A (mth) - GBP (hedged) 1.45% - - - - 04-Mar-15JPM Global Income A (mth) - SGD (hedged) 1.45% - 1.45% 1.45% - 05-Apr-13JPM Global Income A (mth) - USD (hedged) 1.45% - 1.45% 1.45% - 31-Aug-12JPM Global Income B (acc) - EUR 0.75% - 1.05% 1.05% - 31-Oct-13JPM Global Income B (acc) - USD (hedged) 0.75% - 1.05% 1.05% - 30-May-12JPM Global Income B (dist) - GBP (hedged) 0.75% - 1.05% 1.05% - 15-Oct-13JPM Global Income B (dist) - USD (hedged) 0.75% - 1.05% 1.05% - 02-Dec-13JPM Global Income B (div) - EUR 0.75% - 1.05% 1.05% - 11-Apr-11JPM Global Income B (div) - USD (hedged) 0.75% - 1.05% 1.05% - 29-Feb-12JPM Global Income B (mth) - USD (hedged) 0.75% - 1.05% 1.05% - 28-Sep-12JPM Global Income C (acc) - EUR 0.75% - 0.75% 0.75% - 22-May-12JPM Global Income C (div) - EUR 0.75% - 0.75% 0.75% - 16-Feb-10JPM Global Income C (div) - USD (hedged) 0.75% - 0.75% 0.75% - 11-Dec-13JPM Global Income D (acc) - EUR 1.80% - 1.80% 1.80% - 01-Mar-12JPM Global Income D (acc) - USD (hedged) 1.80% - 1.80% 1.80% - 30-May-12JPM Global Income D (div) - EUR 1.80% - 1.80% 1.80% - 08-Jul-09JPM Global Income D (div) - USD (hedged) 1.80% - 1.80% 1.80% - 29-Feb-12JPM Global Income D (mth) - USD (hedged) 1.80% - 1.80% 1.80% - 28-Sep-12JPM Global Income I (acc) - EUR 0.70% - 0.68% - 0.71% 24-Oct-14JPM Global Income I (mth) - JPY (hedged) 0.71% - 0.71% - 0.71% 17-Sep-14JPM Global Income T (div) - EUR 1.80% - 1.80% 1.80% - 28-Jun-11JPM Global Income X (div) - AUD (hedged)* - - - 0.10% 0.10% 19-Dec-13JPM Global Income X (div) - EUR 0.08% - 0.06% 0.07% 0.10% 16-Nov-11JPM Global Income X (irc) - AUD (hedged) 0.10% - 0.10% - 0.10% 02-Jul-14

95


Appendix - Unaudited Additional Disclosures (continued)


30 Jun 15

For theperiodended

30 Jun 15#

For theyear

ended31 Dec 14

For theyear

ended31 Dec 13


30 Jun 15Inception

Date

JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (perf) (acc) - CHF (hedged) 1.20% 1.20% 1.20% 1.20% - 28-Sep-11JPM Income Opportunity A (perf) (acc) - EUR (hedged) 1.20% 1.20% 1.20% 1.20% - 19-Jul-07JPM Income Opportunity A (perf) (acc) - SEK (hedged) 1.20% 1.20% 1.20% 1.20% - 02-Jul-09JPM Income Opportunity A (perf) (acc) - SGD (hedged) 1.20% 1.25% 1.20% 1.20% - 17-Dec-13JPM Income Opportunity A (perf) (acc) - USD 1.20% 1.20% 1.20% 1.20% - 14-Oct-08JPM Income Opportunity A (perf) (dist) - EUR (hedged) 1.20% 1.43% - - - 05-Feb-15JPM Income Opportunity A (perf) (dist) - GBP (hedged) 1.20% 1.20% 1.20% 1.20% - 06-Feb-08JPM Income Opportunity A (perf) (dist) - USD 1.20% 1.36% - - - 05-Feb-15JPM Income Opportunity A (perf) (fix) EUR 2.35 - EUR (hedged) 1.20% 1.20% 1.20% 1.20% - 13-Dec-12JPM Income Opportunity A (perf) (inc) - EUR (hedged) 1.20% 1.20% 1.20% 1.20% - 19-Jul-07JPM Income Opportunity A (perf) (irc) - RMB (hedged) 1.20% 1.33% 1.20% - - 24-Oct-14JPM Income Opportunity A (perf) (mth) - USD 1.20% 1.20% 1.20% 1.20% - 06-Jul-12JPM Income Opportunity B (perf) (acc) - CHF (hedged) 0.70% 0.70% 0.80% 0.80% - 14-Oct-13JPM Income Opportunity B (perf) (acc) - EUR (hedged) 0.70% 0.88% 0.80% 0.80% - 26-Jun-09JPM Income Opportunity B (perf) (acc) - USD 0.70% 0.99% 0.80% 0.80% - 18-Nov-09JPM Income Opportunity B (perf) (dist) - EUR (hedged) 0.70% 0.86% 0.80% 0.80% - 03-Jun-13JPM Income Opportunity B (perf) (dist) - GBP (hedged) 0.70% 0.90% 0.80% 0.80% - 15-Jul-11JPM Income Opportunity B (perf) (inc) - EUR (hedged) 0.70% 0.84% 0.80% 0.80% - 04-Oct-13JPM Income Opportunity B (perf) (mth) - USD 0.70% 1.17% 0.80% 0.80% - 06-Jul-12JPM Income Opportunity C (perf) (acc) - CHF (hedged) 0.70% 0.70% 0.70% 0.70% - 17-Jul-14JPM Income Opportunity C (perf) (acc) - EUR (hedged) 0.70% 0.91% 0.70% 0.70% - 18-Jan-08JPM Income Opportunity C (perf) (acc) - SEK (hedged) 0.70% 0.99% 0.70% 0.70% - 18-Mar-10JPM Income Opportunity C (perf) (acc) - USD 0.70% 0.98% 0.70% 0.70% - 22-Oct-09JPM Income Opportunity C (perf) (dist) - GBP (hedged) 0.70% 0.86% 0.70% 0.70% - 17-Feb-09JPM Income Opportunity C (perf) (dist) - USD 0.70% 0.92% 0.70% 0.70% - 04-Jun-13JPM Income Opportunity C (perf) (fix) EUR 2.70 - EUR (hedged)* - - - - - 04-Mar-13JPM Income Opportunity D (perf) (acc) - EUR (hedged) 1.45% 1.45% 1.45% 1.45% - 19-Jul-07JPM Income Opportunity D (perf) (acc) - USD 1.45% 1.45% 1.45% 1.45% - 24-Oct-13JPM Income Opportunity D (perf) (fix) EUR 2.15 - EUR (hedged) 1.45% 1.45% 1.45% 1.45% - 13-Dec-12JPM Income Opportunity D (perf) (inc) - EUR (hedged) 1.45% 1.45% 1.45% 1.45% - 19-Jul-07JPM Income Opportunity I (perf) (acc) - CHF (hedged) 0.66% 0.66% 0.66% 0.66% 0.66% 17-Oct-13JPM Income Opportunity I (perf) (acc) - EUR (hedged) 0.63% 0.82% 0.61% 0.66% 0.66% 04-Oct-13JPM Income Opportunity I (perf) (acc) - SGD (hedged) 0.66% 0.78% 0.65% - 0.66% 02-Sep-14JPM Income Opportunity I (perf) (acc) - USD 0.63% 0.96% 0.62% 0.62% 0.66% 19-Jan-11JPM Income Opportunity I (perf) (dist) - GBP (hedged) 0.64% 0.86% 0.63% 0.66% 0.66% 15-Oct-13JPM Income Opportunity I (perf) (dist) - USD 0.64% 1.02% 0.62% 0.66% 0.66% 18-Oct-13JPM Income Opportunity I (perf) (inc) - EUR (hedged) 0.63% 0.86% 0.60% 0.61% 0.66% 11-Oct-12JPM Income Opportunity P (perf) (acc) - USD 0.41% 0.79% 0.41% 0.41% - 21-Jun-13JPM Income Opportunity P (perf) (dist) - GBP (hedged)** - - - - - 29-Apr-15JPM Income Opportunity T (perf) (acc) - EUR (hedged) 1.45% 1.45% 1.45% 1.45% - 17-Aug-12JPM Income Opportunity X (perf) (acc) - EUR (hedged) 0.08% 0.20% 0.07% 0.07% 0.10% 17-Nov-09JPM Income Opportunity X (perf) (acc) - GBP (hedged)* - - - - 0.10% 09-Dec-09JPM Income Opportunity X (perf) (acc) - USD 0.08% 0.28% 0.05% 0.06% 0.10% 12-Mar-09JPM Income Opportunity X (perf) (dist) - GBP (hedged) - - - 0.10% 0.10% 24-May-11

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - EUR 1.90% - 1.90% 1.90% - 30-Nov-07JPM Japan Strategic Value A (acc) - EUR (hedged) 1.90% - 1.90% 1.90% - 21-Mar-13JPM Japan Strategic Value A (acc) - JPY 1.90% - 1.90% 1.90% - 30-Nov-07JPM Japan Strategic Value A (acc) - USD (hedged) 1.90% - 1.90% 1.90% - 21-Mar-13JPM Japan Strategic Value A (dist) - GBP 1.90% - 1.90% 1.90% - 30-Nov-07JPM Japan Strategic Value A (dist) - GBP (hedged) 1.90% - 1.90% 1.90% - 21-Mar-13JPM Japan Strategic Value B (acc) - JPY 0.95% - 1.15% 1.15% - 28-Oct-13JPM Japan Strategic Value C (acc) - JPY 0.95% - 0.95% 0.95% - 02-Apr-09JPM Japan Strategic Value C (acc) - USD* 0.95% - 0.95% 0.95% - 08-Nov-13JPM Japan Strategic Value C (acc) - USD (hedged) 0.95% - 0.95% 0.95% - 17-May-13JPM Japan Strategic Value D (acc) - EUR 2.65% - 2.65% 2.65% - 30-Nov-07JPM Japan Strategic Value D (acc) - EUR (hedged) 2.65% - 2.65% 2.65% - 13-May-13JPM Japan Strategic Value D (acc) - JPY 2.65% - 2.65% 2.65% - 30-Nov-07JPM Japan Strategic Value I (acc) - JPY 0.91% - 0.88% 0.89% 0.91% 23-Jul-13JPM Japan Strategic Value X (acc) - JPY 0.15% - 0.14% 0.14% 0.15% 30-Apr-09JPM Japan Strategic Value X (acc) - USD 0.15% - 0.13% 0.13% 0.15% 27-Jun-13

* Share Class inactive as at end of the period.** Share Class closed during the period.# These figures include the Performance Fees, where applicable.## Please refer to Note 18 a).+ Expense ratios are calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Funds & Asset Management Association. The Total Expense Ratio (”TER”) represents the totaloperating costs as a percentage of the Fund’s average daily net assets. The total operating cost comprises investment management and advisory fees, custodian fees, taxe d’abonnement and otherexpenses, as summarised in the Combined Statement of Operations. Overdraft interest and Performance Fees are excluded from the calculation. The capped expense ratios and total expense ratios forsome share classes may have changed over the previous five years. All details concerning these changes have been disclosed in previous year’s Financial Statements.All TER figures are annualised unless otherwise mentioned.

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Global Convertibles Fund (USD)

Seeks to provide a return by investing primarily in a diversified portfolio of convertible securities, globally.

Global Financials Fund

Seeks to achieve a high return by investing primarily in companies from the financial, banking, insurance and property sectors (“Financial Companies”),globally.

Global High Yield Bond Fund

Seeks to achieve a return in excess of global bond markets by investing primarily in global below investment grade corporate debt securities, using financialderivative instruments where appropriate.

Global Income Fund

Seeks to provide regular income by investing primarily in a portfolio of income generating securities, globally, and through the use of financial derivativeinstruments.

Income Opportunity Fund

Seeks to achieve a return in excess of the benchmark by exploiting investment opportunities in, amongst others, the debt and currency markets, usingfinancial derivative instruments where appropriate.

Japan Strategic Value Fund

Seeks to provide long-term capital growth by investing primarily in a value style biased portfolio of Japanese companies.

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2. Summary of Investment Objectives of the Sub-Funds

As at 30 June 2015

3. Performance and Volatility

PerformanceReturns for periods greater than one year are annualised. Fund performance includes reinvestment of income and is net of all expenses.

Past performance is no indication of current or future performance.

The performance data does not take into account the commissions and costs incurred on the issue and redemption of units.

Volatility

The standard deviation (D) of the price is calculated on a daily basis throughout each Fund’s financial period.

The details below relate to the period from 1 January 2015 to 30 June 2015.

If D is equal to or less than 0.1 then volatility will be LowIf D is greater than 0.1 but less than or equal to 1.0 then volatility will be MediumIf D is greater than 1.0 but less than or equal to 2.4 then volatility will be HighIf D is greater than 2.4 then volatility will be Very High

Performance (continued) 3 Months 6 Months 9 Months 1 Year 2 Years 3 Years Volatility

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD -1.46% 2.44% 5.15% 2.72% 8.18% 10.88% MediumJPMorgan Global Convertibles (USD) A (acc) - SGD (hedged) -1.43% 2.51% 5.26% 2.71% - - MediumJPMorgan Global Convertibles (USD) A (acc) - USD -1.52% 2.31% 4.95% 2.46% 7.88% 10.55% MediumJPM Global Convertibles (USD) A (dist) - USD -1.46% 2.43% 5.14% 2.72% - - MediumJPM Global Convertibles (USD) A (mth) - USD -1.46% 2.44% 5.14% 2.71% 8.12% 6.96% MediumJPM Global Convertibles (USD) B (acc) - USD -1.29% 2.78% 5.68% 3.41% 8.95% 11.76% MediumJPM Global Convertibles (USD) B (mth) - USD -1.28% 2.78% 5.67% 3.39% 8.76% 11.43% MediumJPM Global Convertibles (USD) C (acc) - USD -1.29% 2.79% 5.70% 3.44% 9.00% 11.81% MediumJPM Global Convertibles (USD) D (acc) - USD -1.58% 2.18% 4.76% 2.21% 7.60% 10.22% MediumJPM Global Convertibles (USD) D (mth) - USD -1.58% 2.18% 4.76% 2.20% 7.54% 10.07% MediumJPM Global Convertibles (USD) I (acc) - USD -1.25% 2.85% 5.78% 3.56% 9.10% 11.93% MediumJPM Global Convertibles (USD) X (acc) - USD -1.08% 3.21% 6.34% 4.28% 9.95% 9.12% Medium

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - EUR 0.22% 12.11% 19.72% 27.80% 21.29% 25.97% MediumJPM Global Financials A (acc) - SGD 2.34% 5.28% 12.16% 12.98% 14.99% 22.34% MediumJPM Global Financials A (acc) - USD 4.49% 3.52% 6.32% 4.74% 11.26% 19.09% MediumJPM Global Financials A (dist) - USD 4.50% 3.50% 6.29% 4.72% 11.19% 18.98% MediumJPM Global Financials B (acc) - EUR 0.43% 12.56% 20.41% 28.80% - - MediumJPM Global Financials B (acc) - USD 4.69% 3.90% 6.86% 5.49% 12.20% 20.34% MediumJPM Global Financials C (acc) - USD 4.71% 3.95% 6.98% 5.63% 12.31% 20.44% MediumJPM Global Financials C (dist) - USD 4.71% 3.90% 6.93% 5.57% - - MediumJPM Global Financials D (acc) - USD 4.24% 3.01% 5.53% 3.71% 10.05% 17.54% MediumJPM Global Financials X (acc) - USD* - - - - - - Medium

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JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - AUD (hedged) 0.39% 2.98% 3.59% 1.57% - - MediumJPM Global High Yield Bond A (acc) - CHF (hedged) -0.48% 1.28% 1.33% -1.37% 4.10% - MediumJPM Global High Yield Bond A (acc) - EUR (hedged) -0.25% 1.56% 1.60% -1.07% 4.37% 5.98% MediumJPM Global High Yield Bond A (acc) - HUF (hedged) -0.06% 2.05% 2.23% - - - MediumJPM Global High Yield Bond A (acc) - USD -0.13% 1.84% 1.94% -0.66% 4.61% 6.28% MediumJPM Global High Yield Bond A (dist) - USD -0.13% 1.83% 1.91% -0.68% 4.56% - MediumJPM Global High Yield Bond A (inc) - EUR (hedged) -0.27% 1.56% 1.59% -1.08% 4.34% 5.80% MediumJPM Global High Yield Bond A (irc) - AUD (hedged) 0.30% 2.93% 3.42% 1.42% 6.68% - MediumJPM Global High Yield Bond A (irc) - CAD (hedged) -0.09% 2.07% 2.34% -0.12% 5.18% - MediumJPM Global High Yield Bond A (irc) - NZD (hedged) 0.75% 3.62% 4.58% 2.70% 7.44% - MediumJPM Global High Yield Bond A (irc) - RMB (hedged) 0.71% 3.52% 4.32% 2.13% - - MediumJPM Global High Yield Bond A (mth) - HKD -0.07% 1.81% 1.79% -0.61% 4.44% 5.89% MediumJPM Global High Yield Bond A (mth) - SGD -2.11% 3.59% 7.50% 6.95% 7.46% - MediumJPM Global High Yield Bond A (mth) - USD -0.12% 1.84% 1.91% -0.67% 4.46% 5.93% MediumJPM Global High Yield Bond B (acc) - EUR (hedged) -0.09% 1.81% 1.94% -0.65% 4.79% 6.42% MediumJPM Global High Yield Bond B (acc) - USD 0.03% 2.09% 2.28% -0.24% 5.03% 6.73% MediumJPM Global High Yield Bond B (dist) - EUR (hedged) -0.10% 1.80% 1.93% -0.67% 4.75% - MediumJPM Global High Yield Bond B (mth) - USD 0.04% 2.09% 2.25% -0.27% 4.84% 6.34% MediumJPM Global High Yield Bond C (acc) - EUR (hedged) -0.10% 1.88% 2.09% -0.43% 5.08% 6.75% MediumJPM Global High Yield Bond C (acc) - PLN (hedged) 0.26% 2.66% 3.45% 1.53% 7.35% - MediumJPM Global High Yield Bond C (acc) - USD 0.03% 2.17% 2.43% -0.01% 5.32% 7.06% MediumJPM Global High Yield Bond C (dist) - GBP (hedged) 0.09% - - - - - MediumJPM Global High Yield Bond C (dist) - USD 0.03% 2.13% 2.40% -0.04% 5.24% 6.89% MediumJPM Global High Yield Bond C (div) - EUR (hedged) -0.08% 1.90% 2.08% -0.45% 4.90% 6.34% MediumJPM Global High Yield Bond C (inc) - EUR (hedged) -0.10% 1.89% 2.10% - - - MediumJPM Global High Yield Bond C (mth) - USD 0.04% 2.16% 2.39% -0.05% 5.13% - MediumJPM Global High Yield Bond D (acc) - EUR (hedged) -0.36% 1.36% 1.29% -1.47% 3.93% 5.51% MediumJPM Global High Yield Bond D (acc) - PLN (hedged) 0.00% 2.13% 2.64% 0.47% 3.20% - MediumJPM Global High Yield Bond D (acc) - USD -0.24% 1.63% 1.63% -1.05% 4.17% 5.81% MediumJPM Global High Yield Bond D (div) - EUR (hedged) -0.34% 1.39% 1.31% -1.45% 3.83% - MediumJPM Global High Yield Bond I (acc) - EUR (hedged) -0.08% 1.94% 2.16% -0.34% - - MediumJPM Global High Yield Bond I (acc) - USD 0.04% 2.21% 2.49% 0.07% 5.41% 7.16% MediumJPM Global High Yield Bond I (dist) - EUR (hedged) -0.08% 1.93% 2.16% -0.35% - - MediumJPM Global High Yield Bond I (dist) - GBP (hedged)*** - - - - - - MediumJPM Global High Yield Bond I (dist) - USD 0.05% 2.17% 2.45% 0.02% - - MediumJPM Global High Yield Bond I (inc) - EUR (hedged) -0.08% 1.93% 2.15% -0.35% 5.12% 6.59% MediumJPM Global High Yield Bond I (mth) - USD 0.06% 2.21% 2.46% 0.03% 5.22% - MediumJPM Global High Yield Bond P (dist) - USD* - - - - - - MediumJPM Global High Yield Bond T (acc) - EUR (hedged) -0.36% 1.36% 1.30% -1.46% 3.93% - MediumJPM Global High Yield Bond X (acc) - EUR (hedged) 0.04% 2.16% 2.51% 0.11% 5.68% 7.39% MediumJPM Global High Yield Bond X (acc) - USD 0.16% 2.44% 2.84% 0.53% 5.93% 7.72% Medium

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JPMorgan Investment Funds - Global Income FundJPM Global Income A (acc) - AUD (hedged) -1.45% 2.84% 4.83% 4.43% - - MediumJPM Global Income A (acc) - CHF (hedged) -2.24% 0.82% 2.10% 0.97% 6.33% - MediumJPM Global Income A (acc) - EUR -1.98% 1.65% 2.97% 1.86% 6.96% 8.72% MediumJPM Global Income A (acc) - SGD (hedged)*** - - - - - - MediumJPM Global Income A (acc) - USD (hedged) -1.99% 1.73% 3.07% 2.08% 7.06% 9.03% MediumJPM Global Income A (dist) - GBP (hedged) -1.86% - - - - - MediumJPM Global Income A (div) - CHF (hedged) -2.22% 0.87% 2.13% 0.96% 6.18% - MediumJPM Global Income A (div) - EUR -1.96% 1.68% 2.98% 1.83% 6.74% 8.27% MediumJPM Global Income A (div) - SGD 0.12% -4.52% -3.46% -9.80% 2.12% - MediumJPM Global Income A (div) - SGD (hedged) -1.81% 2.10% 3.45% 2.34% 6.98% - MediumJPM Global Income A (div) - USD (hedged) -1.98% 1.75% 3.09% 2.04% 6.82% 8.50% MediumJPM Global Income A (inc) - EUR -1.99% 1.71% 3.03% 1.92% 6.87% - MediumJPM Global Income A (irc) - AUD (hedged) -1.38% 2.90% 4.83% 4.31% 9.23% - MediumJPM Global Income A (irc) - CAD (hedged)*** - - - - - - MediumJPM Global Income A (irc) - RMB (hedged) -1.32% 3.31% 5.48% 5.14% - - MediumJPM Global Income A (mth) - EUR*** - - - - - - MediumJPM Global Income A (mth) - GBP (hedged) -1.82% - - - - - MediumJPM Global Income A (mth) - SGD (hedged) -1.80% 2.06% 3.44% 2.37% 6.98% - MediumJPM Global Income A (mth) - USD (hedged) -1.98% 1.74% 3.07% 2.04% 6.82% - MediumJPM Global Income B (acc) - EUR -1.82% 1.92% 3.35% 2.34% - - MediumJPM Global Income B (acc) - USD (hedged) -1.83% 2.00% 3.46% 2.56% 7.56% 9.57% MediumJPM Global Income B (dist) - GBP (hedged) -1.67% 2.24% 3.76% 2.88% - - MediumJPM Global Income B (dist) - USD (hedged) -1.83% 2.05% 3.50% 2.60% - - MediumJPM Global Income B (div) - EUR -1.79% 1.96% 3.36% 2.30% 7.22% 8.76% MediumJPM Global Income B (div) - USD (hedged) -1.80% 2.03% 3.46% 2.51% 7.31% 9.04% MediumJPM Global Income B (mth) - USD (hedged) -1.81% 2.02% 3.44% 2.51% 7.30% - MediumJPM Global Income C (acc) - EUR -1.81% 2.00% 3.51% 2.58% 7.77% 9.62% MediumJPM Global Income C (div) - EUR -1.79% 2.03% 3.51% 2.53% 7.50% 9.09% MediumJPM Global Income C (div) - USD (hedged) -1.80% 2.11% 3.62% 2.74% - - MediumJPM Global Income D (acc) - EUR -2.07% 1.47% 2.70% 1.50% 6.56% 8.28% MediumJPM Global Income D (acc) - USD (hedged) -2.08% 1.56% 2.81% 1.72% 6.66% 8.59% MediumJPM Global Income D (div) - EUR -2.05% 1.51% 2.72% 1.48% 6.36% 7.87% MediumJPM Global Income D (div) - USD (hedged) -2.06% 1.58% 2.82% 1.69% 6.45% 8.07% MediumJPM Global Income D (mth) - USD (hedged) -2.06% 1.57% 2.80% 1.69% 6.44% - MediumJPM Global Income I (acc) - EUR -1.79% 2.04% - - - - MediumJPM Global Income I (mth) - JPY (hedged) -1.90% 1.86% 3.38% - - - MediumJPM Global Income T (div) - EUR -2.05% 1.51% 2.72% 1.47% 6.36% 7.86% MediumJPM Global Income X (div) - AUD (hedged)* - - - - - - MediumJPM Global Income X (div) - EUR -1.62% 2.38% 4.05% 3.23% 8.27% 9.91% MediumJPM Global Income X (irc) - AUD (hedged) -1.12% 3.53% 5.82% - - - Medium

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JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (perf) (acc) - CHF (hedged) -0.33% -0.10% -0.82% -1.34% -0.03% 1.05% MediumJPM Income Opportunity A (perf) (acc) - EUR (hedged) -0.10% 0.33% -0.35% -0.80% 0.38% 1.40% MediumJPM Income Opportunity A (perf) (acc) - SEK (hedged) -0.13% 0.32% -0.25% -0.64% 0.85% 2.14% MediumJPM Income Opportunity A (perf) (acc) - SGD (hedged) 0.10% 0.90% 0.30% -0.20% - - MediumJPM Income Opportunity A (perf) (acc) - USD 0.03% 0.57% -0.06% -0.47% 0.57% 1.64% MediumJPM Income Opportunity A (perf) (dist) - EUR (hedged) -0.10% - - - - - MediumJPM Income Opportunity A (perf) (dist) - GBP (hedged) 0.09% 0.66% 0.18% -0.17% 0.84% 1.83% MediumJPM Income Opportunity A (perf) (dist) - USD 0.02% - - - - - MediumJPM Income Opportunity A (perf) (fix) EUR 2.35 - EUR (hedged) -0.09% 0.35% -0.35% -0.82% 0.39% - MediumJPM Income Opportunity A (perf) (inc) - EUR (hedged) -0.08% 0.34% -0.31% -0.77% 0.41% 1.39% MediumJPM Income Opportunity A (perf) (irc) - RMB (hedged) 0.77% 2.31% - - - - MediumJPM Income Opportunity A (perf) (mth) - USD 0.03% 0.57% -0.08% -0.49% 0.55% - MediumJPM Income Opportunity B (perf) (acc) - CHF (hedged) -0.21% 0.13% -0.50% -0.91% - - MediumJPM Income Opportunity B (perf) (acc) - EUR (hedged) 0.02% 0.50% -0.02% -0.40% 0.76% 1.78% MediumJPM Income Opportunity B (perf) (acc) - USD 0.10% 0.66% 0.19% -0.14% 0.90% 1.99% MediumJPM Income Opportunity B (perf) (dist) - EUR (hedged) 0.00% 0.51% -0.07% -0.51% 0.78% - MediumJPM Income Opportunity B (perf) (dist) - GBP (hedged) 0.18% 0.80% 0.43% 0.16% 1.15% 2.14% MediumJPM Income Opportunity B (perf) (fix) EUR 2.60 - EUR (hedged)** - - - - - - MediumJPM Income Opportunity B (perf) (inc) - EUR (hedged) 0.00% 0.52% -0.07% -0.51% - - MediumJPM Income Opportunity B (perf) (mth) - USD 0.07% 0.62% 0.14% -0.18% 0.87% - MediumJPM Income Opportunity C (perf) (acc) - CHF (hedged) -0.20% 0.15% -0.45% - - - MediumJPM Income Opportunity C (perf) (acc) - EUR (hedged) 0.01% 0.49% 0.06% -0.30% 0.84% 1.84% MediumJPM Income Opportunity C (perf) (acc) - SEK (hedged) -0.04% 0.48% 0.02% -0.27% 1.28% 2.59% MediumJPM Income Opportunity C (perf) (acc) - USD 0.10% 0.66% 0.23% -0.08% 0.96% 2.05% MediumJPM Income Opportunity C (perf) (dist) - GBP (hedged) 0.18% 0.82% 0.38% 0.15% 1.22% 2.22% MediumJPM Income Opportunity C (perf) (dist) - USD 0.11% 0.65% 0.28% -0.03% 1.06% - MediumJPM Income Opportunity C (perf) (fix) EUR 2.70 - EUR (hedged)* - - - - - - MediumJPM Income Opportunity D (perf) (acc) - EUR (hedged) -0.14% 0.22% -0.53% -1.05% 0.15% 1.15% MediumJPM Income Opportunity D (perf) (acc) - USD -0.04% 0.43% -0.28% -0.78% - - MediumJPM Income Opportunity D (perf) (fix) EUR 2.15 - EUR (hedged) -0.14% 0.23% -0.53% -1.10% 0.15% - MediumJPM Income Opportunity D (perf) (inc) - EUR (hedged) -0.14% 0.23% -0.03% -0.53% 0.39% 1.31% MediumJPM Income Opportunity I (perf) (acc) - CHF (hedged) -0.20% 0.15% -0.32% -0.69% - - MediumJPM Income Opportunity I (perf) (acc) - EUR (hedged) 0.03% 0.53% 0.01% -0.35% - - MediumJPM Income Opportunity I (perf) (acc) - SGD (hedged) 0.20% 1.11% 0.70% - - - MediumJPM Income Opportunity I (perf) (acc) - USD 0.12% 0.69% 0.31% 0.01% 1.07% - MediumJPM Income Opportunity I (perf) (dist) - GBP (hedged) 0.19% 0.82% 0.49% 0.27% - - MediumJPM Income Opportunity I (perf) (dist) - USD 0.12% 0.67% 0.29% 0.00% - - MediumJPM Income Opportunity I (perf) (inc) - EUR (hedged) 0.01% 0.51% 0.06% -0.28% 0.90% - MediumJPM Income Opportunity P (perf) (acc) - USD 0.17% 0.77% 0.46% 0.21% 1.26% - MediumJPM Income Opportunity P (perf) (dist) - GBP (hedged)*** - - - - - - MediumJPM Income Opportunity T (perf) (acc) - EUR (hedged) -0.14% 0.22% -0.55% -1.09% 0.14% - MediumJPM Income Opportunity X (perf) (acc) - EUR (hedged) 0.17% 0.85% 0.50% 0.31% 1.49% 2.50% MediumJPM Income Opportunity X (perf) (acc) - GBP (hedged) - - - - - - MediumJPM Income Opportunity X (perf) (acc) - USD 0.26% 1.02% 0.67% 0.46% 1.59% 2.68% MediumJPM Income Opportunity X (perf) (dist) - GBP (hedged) 0.36% 1.16% 0.96% 0.90% 1.95% 2.94% Medium

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - EUR 1.01% 22.36% 22.37% 26.11% 16.04% 19.05% MediumJPM Japan Strategic Value A (acc) - EUR (hedged) 7.43% 15.61% 20.74% 24.07% 19.30% - MediumJPM Japan Strategic Value A (acc) - JPY 7.36% 15.56% 21.24% 24.69% 20.07% 37.86% MediumJPM Japan Strategic Value A (acc) - USD (hedged) 7.65% 15.97% 21.22% 24.60% 19.33% - MediumJPM Japan Strategic Value A (dist) - GBP -1.13% 11.16% 11.88% 11.90% 4.82% 12.73% MediumJPM Japan Strategic Value A (dist) - GBP (hedged) 7.55% 15.78% 21.02% 24.46% 19.62% - MediumJPM Japan Strategic Value B (acc) - JPY 7.61% 16.05% 21.99% 25.70% - - MediumJPM Japan Strategic Value C (acc) - JPY 7.61% 16.10% 22.11% 25.89% 21.43% 39.92% MediumJPM Japan Strategic Value C (acc) - USD* - - - - - - MediumJPM Japan Strategic Value C (acc) - USD (hedged) 7.90% 16.53% 22.08% 25.79% 20.66% - MediumJPM Japan Strategic Value D (acc) - EUR 0.82% 21.90% 21.68% 25.17% 15.06% 17.88% MediumJPM Japan Strategic Value D (acc) - EUR (hedged) 7.24% 15.18% 20.06% 23.15% 18.27% - MediumJPM Japan Strategic Value D (acc) - JPY 7.16% 15.12% 20.57% 23.77% 19.02% 36.27% MediumJPM Japan Strategic Value I (acc) - JPY 7.63% 16.14% 22.17% 25.97% - - MediumJPM Japan Strategic Value X (acc) - JPY 7.83% 16.56% 22.85% 26.91% 22.58% 41.71% MediumJPM Japan Strategic Value X (acc) - USD 5.79% 13.57% 10.13% 5.22% 8.81% - Medium

* Share Class inactive as at end of the period.** Share Class closed during the period.*** No data is applicable for these Share Classes as they were launched or reactivated less than 3 months before the period end.

4. Interest Rate Received/(Charged) on Bank Accounts

Basis for Bank Interest Rates

The rates are based on the JPMorgan Chase Treasury rates and consequently may change on a daily basis. The bank interest amount is posted to each of theFund’s bank accounts on a monthly basis on the first business day of the subsequent month based on the bank balances from the prior month.

101



5. Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01%

The following Sub-Fund share classes have been subject to an asset based tax of 0.01% per annum:

Share Class Name

JPM Global Convertibles (USD) I (acc) - USD

JPM Global Convertibles (USD) X (acc) - USD

JPM Global High Yield Bond I (acc) - EUR (hedged)

JPM Global High Yield Bond I (acc) - USD

JPM Global High Yield Bond I (dist) - EUR (hedged)

JPM Global High Yield Bond I (dist) - GBP (hedged)

JPM Global High Yield Bond I (dist) - USD

JPM Global High Yield Bond I (inc) - EUR (hedged)

JPM Global High Yield Bond I (mth) - USD

JPM Global High Yield Bond X (acc) - EUR (hedged)

JPM Global High Yield Bond X (acc) - USD

JPM Global Income I (acc) - EUR

JPM Global Income I (mth) - JPY (hedged)

JPM Global Income X (div) - EUR

JPM Global Income X (irc) - AUD (hedged)

JPM Income Opportunity I (perf) (acc) - CHF (hedged)

JPM Income Opportunity I (perf) (acc) - EUR (hedged)

JPM Income Opportunity I (perf) (acc) - SGD (hedged)

JPM Income Opportunity I (perf) (acc) - USD

JPM Income Opportunity I (perf) (dist) - GBP (hedged)

JPM Income Opportunity I (perf) (dist) - USD

JPM Income Opportunity I (perf) (inc) - EUR (hedged)

JPM Income Opportunity X (perf) (acc) - EUR (hedged)

JPM Income Opportunity X (perf) (acc) - USD

JPM Income Opportunity X (perf) (dist) - GBP (hedged)

JPM Japan Strategic Value I (acc) - JPY

JPM Japan Strategic Value X (acc) - JPY

JPM Japan Strategic Value X (acc) - USD

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6. Portfolio Turnover Ratio

The Portfolio Turnover Ratio is an indicator of the relevance of the additional costs incurred by a fund when buying and selling investments according to itsinvestment policy. The Portfolio Turnover Ratio is calculated in accordance with the CSSF Circular 03/122 and the guidelines dated 16 May 2008 issued by theSwiss Funds & Asset Management Association as outlined below:

(Total securities’ purchases and sales - total subscriptions and redemptions of Sub-Fund shares)

Average net Sub-Fund assets in Sub-Fund currency

The Portfolio Turnover Ratio is expressed as a percentage and in the case the outcome of the calculation is negative, a zero value has been published.

Sub-Fund Portfolio Turnover RatioJPMorgan Investment Funds - Global Convertibles Fund (USD) 46.82JPMorgan Investment Funds - Global Financials Fund -JPMorgan Investment Funds - Global High Yield Bond Fund -JPMorgan Investment Funds - Global Income Fund 44.08JPMorgan Investment Funds - Income Opportunity Fund -JPMorgan Investment Funds - Japan Strategic Value Fund 71.27

7. Calculation Method of the Risk Exposure

Global exposure using the VaR approach

Sub-Fund NameMarketRisk Limit

Maximumusage ofreg limit*

Minimumusage ofreg limit*

Averageusage ofreg limit* Reference portfolio Model

ConfidenceInterval

Holdingperiod

Effectiveobservation

period** Leverage

JPMorgan Investment Funds -Global High Yield Bond Fund

Relative 200% 61% 45% 52% BofA Merrill Lynch USHigh Yield Master IIConstrained Index(Total Return Gross)

MonteCarloSimulation

99% 20 days 500 days 6%

JPMorgan Investment Funds -Global Income Fund

Relative 200% 72% 55% 62% 40% Barclays US HighYield 2% Issuer CapIndex (Total ReturnGross) Hedged to EUR /35% MSCI World Index(Total Return Net)Hedged to EUR / 25%Barclays Global CreditIndex (Total ReturnGross) Hedged to EUR

MonteCarloSimulation

99% 20 days 500 days 149%

JPMorgan Investment Funds -Income Opportunity Fund

Absolute 20% 6% 1% 3% MonteCarloSimulation

99% 20 days 500 days 357%

*Over the last 12 months versus regulatory limit.**The effective observation period is 500 days from 31 October 2012 onwards due to a change to a new VaR calculation process.

Global exposure using the commitment approach

JPMorgan Investment Funds - Global Convertibles Fund (USD) Thomson Reuters Global Focus Convertible Bond Index (Total Return Gross) Hedged to USDJPMorgan Investment Funds - Global Financials Fund MSCI World Financials Index (Total Return Net)JPMorgan Investment Funds - Japan Strategic Value Fund TOPIX (Total Return Net)

103

8. Collateral

Collateral received in respect of financial derivative instruments:

Type ofCollateral Counterparty Currency Collateral Amount

JPMorgan Investment Funds - Income Opportunity FundCash Bank of America USD 550,000Cash Barclays USD 6,250,000Cash BNP Paribas USD 1,760,000Cash Crédit Suisse USD 1,000,000Cash Deutsche Bank USD 1,940,000Cash Goldman Sachs USD 7,610,000Cash Morgan Stanley USD 660,000Cash RBS USD 570,000Cash UBS USD 4,920,000

25,260,000

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of the Year

Shares Subscribed Shares Redeemed Shares Outstandingat the End

of the Year

9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2014 (continued)JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 3,084,539.177 2,443,963.183 2,732,288.420 2,796,213.940JPMorgan Global Convertibles (USD) A (acc) - SGD (hedged) 77,995.687 781,492.899 181,924.288 677,564.298JPMorgan Global Convertibles (USD) A (acc) - USD 28,867.799 47,944.369 18,860.480 57,951.688JPM Global Convertibles (USD) A (dist) - USD - 405,356.315 16,006.721 389,349.594JPM Global Convertibles (USD) A (mth) - USD 75,564.333 92,706.582 68,121.644 100,149.271JPM Global Convertibles (USD) B (acc) - USD 769,564.799 645,869.898 539,082.692 876,352.005JPM Global Convertibles (USD) B (mth) - USD 8,175.000 41,140.596 23,410.000 25,905.596JPM Global Convertibles (USD) C (acc) - USD 336,226.022 1,282,590.032 980,117.019 638,699.035JPM Global Convertibles (USD) D (acc) - USD 201,185.491 191,779.940 81,347.775 311,617.656JPM Global Convertibles (USD) D (mth) - USD 28,047.053 62,972.018 14,475.188 76,543.883JPM Global Convertibles (USD) I (acc) - USD 93,623.697 1,498,026.491 146,174.060 1,445,476.128JPM Global Convertibles (USD) X (acc) - USD 1,443.020 1,095.487 594.500 1,944.007

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - EUR 208,125.602 161,113.054 81,500.864 287,737.792JPM Global Financials A (acc) - SGD 25,161.850 42,731.852 24,473.350 43,420.352JPM Global Financials A (acc) - USD 1,062,581.112 502,422.462 570,364.711 994,638.863JPM Global Financials A (dist) - USD 692,031.109 84,574.041 652,819.956 123,785.194JPM Global Financials B (acc) - EUR 311,756.771 44,261.405 71,539.176 284,479.000JPM Global Financials B (acc) - USD 646,008.222 3,471,147.593 3,246,287.681 870,868.134JPM Global Financials C (acc) - USD 481,781.471 134,286.953 489,160.062 126,908.362JPM Global Financials C (dist) - USD 5,000.000 162,478.379 9,259.305 158,219.074JPM Global Financials D (acc) - USD 47,793.889 13,814.155 17,439.681 44,168.363

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - AUD (hedged) - 375,597.210 188,011.812 187,585.398JPM Global High Yield Bond A (acc) - CHF (hedged) 9,173.194 3,991.000 3,538.000 9,626.194JPM Global High Yield Bond A (acc) - EUR (hedged) 857,590.884 296,503.314 624,033.621 530,060.577JPM Global High Yield Bond A (acc) - HUF (hedged) - 29,455.463 1,707.912 27,747.551JPM Global High Yield Bond A (acc) - USD 4,490,044.049 3,341,521.357 4,259,264.927 3,572,300.479JPM Global High Yield Bond A (dist) - USD 8,645.000 53,583.593 8,810.620 53,417.973JPM Global High Yield Bond A (inc) - EUR (hedged) 877,247.584 414,249.275 486,071.199 805,425.660JPM Global High Yield Bond A (irc) - AUD (hedged) 40,574,061.140 71,163,940.507 42,015,046.694 69,722,954.953JPM Global High Yield Bond A (irc) - CAD (hedged) 65,411.757 969,102.298 268,488.902 766,025.153JPM Global High Yield Bond A (irc) - NZD (hedged) 65,369.489 620,101.662 547,382.502 138,088.649JPM Global High Yield Bond A (irc) - RMB (hedged) - 336,440.061 - 336,440.061JPM Global High Yield Bond A (mth) - HKD 49,301,777.957 60,488,887.608 37,949,769.590 71,840,895.975JPM Global High Yield Bond A (mth) - SGD 234,266.255 650,049.460 284,857.853 599,457.862JPM Global High Yield Bond A (mth) - USD 27,875,959.282 29,412,949.734 22,060,717.107 35,228,191.909JPM Global High Yield Bond B (acc) - EUR (hedged) 202,214.379 104,104.510 174,011.991 132,306.898JPM Global High Yield Bond B (acc) - USD 324,359.155 400,821.161 339,528.480 385,651.836JPM Global High Yield Bond B (dist) - EUR (hedged) 17,951.016 4,062.155 8,451.055 13,562.116JPM Global High Yield Bond B (mth) - USD 213,248.935 290,651.406 204,054.039 299,846.302JPM Global High Yield Bond C (acc) - EUR (hedged) 1,274,068.903 253,398.128 893,671.046 633,795.985JPM Global High Yield Bond C (acc) - PLN (hedged) 54,239.518 229,162.292 136,970.543 146,431.267JPM Global High Yield Bond C (acc) - USD 1,506,656.259 1,812,588.164 1,441,104.755 1,878,139.668JPM Global High Yield Bond C (dist) - USD 412,906.985 143,031.888 124,400.492 431,538.381JPM Global High Yield Bond C (div) - EUR (hedged) 120,361.775 - 94,176.169 26,185.606JPM Global High Yield Bond C (inc) - EUR (hedged)** - 77,278.702 - 77,278.702JPM Global High Yield Bond C (mth) - USD 352,223.610 53,507.027 309,143.963 96,586.674JPM Global High Yield Bond D (acc) - EUR (hedged) 276,352.511 87,756.281 132,964.162 231,144.630JPM Global High Yield Bond D (acc) - PLN (hedged) 5,270.111 121,760.024 111,906.183 15,123.952JPM Global High Yield Bond D (acc) - USD 22,976.779 106,941.038 52,157.550 77,760.267JPM Global High Yield Bond D (div) - EUR (hedged) 120,797.652 548,041.172 135,817.776 533,021.048JPM Global High Yield Bond I (acc) - EUR (hedged) 308,318.047 1,010,248.431 544,807.150 773,759.328JPM Global High Yield Bond I (acc) - USD 1,843,496.450 1,753,315.006 1,686,553.827 1,910,257.629JPM Global High Yield Bond I (dist) - EUR (hedged) 9,185.486 173,075.579 21,223.710 161,037.355JPM Global High Yield Bond I (dist) - USD 46,694.530 109,765.467 28,675.080 127,784.917JPM Global High Yield Bond I (inc) - EUR (hedged) 1,017,088.849 267,624.927 278,440.557 1,006,273.219JPM Global High Yield Bond I (mth) - USD 697,315.313 2,489,625.814 721,001.390 2,465,939.737JPM Global High Yield Bond P (dist) - USD* - 14,845.542 14,845.542 -JPM Global High Yield Bond T (acc) - EUR (hedged) 7,126.989 17,561.533 10,497.890 14,190.632JPM Global High Yield Bond X (acc) - EUR (hedged) 824,404.128 727,155.000 210,761.000 1,340,798.128JPM Global High Yield Bond X (acc) - USD 1,327,807.925 1,881,944.509 1,210,011.122 1,999,741.312

105

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of the Year


of the Year

9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2014 (continued)JPMorgan Investment Funds - Global Income FundJPM Global Income A (acc) - AUD (hedged) - 690,463.645 250,806.094 439,657.551JPM Global Income A (acc) - CHF (hedged) 26,636.812 125,620.466 28,628.682 123,628.596JPM Global Income A (acc) - EUR 1,740,074.851 6,124,792.229 2,440,982.049 5,423,885.031JPM Global Income A (acc) - USD (hedged) 2,122,440.750 3,651,660.964 1,739,462.107 4,034,639.607JPM Global Income A (div) - CHF (hedged) 664.896 4,854.703 9.896 5,509.703JPM Global Income A (div) - EUR 5,921,003.648 13,747,980.163 1,549,382.776 18,119,601.035JPM Global Income A (div) - SGD 409,115.908 932,908.711 311,813.078 1,030,211.541JPM Global Income A (div) - SGD (hedged) 82,922.567 1,795,362.759 82,257.327 1,796,027.999JPM Global Income A (div) - USD (hedged) 1,333,436.364 2,212,918.169 835,427.046 2,710,927.487JPM Global Income A (inc) - EUR 468,531.675 2,060,890.183 78,037.101 2,451,384.757JPM Global Income A (irc) - AUD (hedged) 37,573,523.461 42,744,764.852 37,887,095.761 42,431,192.552JPM Global Income A (irc) - RMB (hedged) - 2,073,239.258 - 2,073,239.258JPM Global Income A (mth) - SGD (hedged) 6,752,768.518 13,654,125.997 2,517,768.896 17,889,125.619JPM Global Income A (mth) - USD (hedged) 8,052,628.644 10,467,371.460 8,281,254.240 10,238,745.864JPM Global Income B (acc) - EUR 2,880.593 187,969.121 13,535.283 177,314.431JPM Global Income B (acc) - USD (hedged) 191,536.933 227,510.654 127,647.798 291,399.789JPM Global Income B (dist) - GBP (hedged) 20,124.884 35,399.874 9,421.477 46,103.281JPM Global Income B (dist) - USD (hedged) 9,373.385 6,840.555 90.657 16,123.283JPM Global Income B (div) - EUR 74,235.508 318,450.788 76,213.511 316,472.785JPM Global Income B (div) - USD (hedged) 36,881.360 511,479.945 193,792.355 354,568.950JPM Global Income B (mth) - USD (hedged) 97,210.029 73,121.793 79,358.677 90,973.145JPM Global Income C (acc) - EUR 2,770,560.500 4,242,618.996 2,752,679.275 4,260,500.221JPM Global Income C (div) - EUR 1,257,876.111 1,062,662.814 973,174.887 1,347,364.038JPM Global Income C (div) - USD (hedged) 182,975.920 136,023.298 - 318,999.218JPM Global Income D (acc) - EUR 2,020,399.325 2,828,996.155 844,634.969 4,004,760.511JPM Global Income D (acc) - USD (hedged) 320,731.846 318,161.275 60,292.322 578,600.799JPM Global Income D (div) - EUR 9,345,187.605 8,359,079.193 2,659,234.173 15,045,032.625JPM Global Income D (div) - USD (hedged) 61,465.923 36,944.421 28,056.027 70,354.317JPM Global Income D (mth) - USD (hedged) 236,128.454 339,957.786 59,847.352 516,238.888JPM Global Income I (acc) - EUR - 75,000.000 20.000 74,980.000JPM Global Income I (mth) - JPY (hedged) - 2,296.443 - 2,296.443JPM Global Income T (div) - EUR 1,727,626.617 1,392,644.033 335,013.532 2,785,257.118JPM Global Income X (div) - AUD (hedged)* 49,700.000 50,099.232 99,799.232 -JPM Global Income X (div) - EUR 1,155,023.000 547,671.000 37,414.000 1,665,280.000JPM Global Income X (irc) - AUD (hedged) - 54,613.141 - 54,613.141

JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (perf) (acc) - CHF (hedged)# 1,359,904.467 771,499.268 556,447.238 1,574,956.497JPM Income Opportunity A (perf) (acc) - EUR (hedged)# 12,648,522.127 4,802,189.714 8,409,548.321 9,041,163.520JPM Income Opportunity A (perf) (acc) - SEK (hedged)# 667,211.905 93,666.766 386,349.936 374,528.735JPM Income Opportunity A (perf) (acc) - SGD (hedged)# 25,070.000 2,394,698.758 334,172.692 2,085,596.066JPM Income Opportunity A (perf) (acc) - USD# 10,607,919.401 3,788,253.660 6,221,160.963 8,175,012.098JPM Income Opportunity A (perf) (dist) - GBP (hedged)# 1,764,163.022 644,056.863 1,304,041.101 1,104,178.784JPM Income Opportunity A (perf) (fix) EUR 2.35 - EUR (hedged)# 81,131.808 57,257.531 42,269.173 96,120.166JPM Income Opportunity A (perf) (inc) - EUR (hedged)# 3,503,424.349 491,005.497 1,303,457.025 2,690,972.821JPM Income Opportunity A (perf) (irc) - RMB (hedged)# - 123,039.353 - 123,039.353JPM Income Opportunity A (perf) (mth) - USD# 773,592.473 607,009.577 466,730.520 913,871.530JPM Income Opportunity B (perf) (acc) - CHF (hedged)# 73,929.043 162,377.367 132,983.025 103,323.385JPM Income Opportunity B (perf) (acc) - EUR (hedged)# 2,127,352.930 1,216,446.482 1,716,699.516 1,627,099.896JPM Income Opportunity B (perf) (acc) - USD# 1,981,686.055 1,465,162.762 1,514,010.580 1,932,838.237JPM Income Opportunity B (perf) (dist) - EUR (hedged)# 61,016.075 954,122.133 386,083.494 629,054.714JPM Income Opportunity B (perf) (dist) - GBP (hedged)# 207,837.364 75,603.588 143,815.671 139,625.281JPM Income Opportunity B (perf) (fix) EUR 2.60 - EUR (hedged)#* 13.080 - 13.080 -JPM Income Opportunity B (perf) (inc) - EUR (hedged)# 9,663.481 24,030.000 - 33,693.481JPM Income Opportunity B (perf) (mth) - USD# 181,923.376 60,368.363 80,190.060 162,101.679JPM Income Opportunity C (perf) (acc) - CHF (hedged)# - 286,617.889 900.000 285,717.889JPM Income Opportunity C (perf) (acc) - EUR (hedged)# 6,730,305.527 3,488,928.858 6,179,409.048 4,039,825.337JPM Income Opportunity C (perf) (acc) - SEK (hedged)# 48,171.573 37,466.115 16,244.419 69,393.269JPM Income Opportunity C (perf) (acc) - USD# 2,655,190.304 1,898,001.344 2,046,682.723 2,506,508.925JPM Income Opportunity C (perf) (dist) - GBP (hedged)# 1,169,045.150 1,157,185.525 930,954.349 1,395,276.326JPM Income Opportunity C (perf) (dist) - USD# 1,171,702.877 656,863.120 898,643.440 929,922.557JPM Income Opportunity C (perf) (fix) EUR 2.70 - EUR (hedged)#* 13.080 - 13.080 -JPM Income Opportunity D (perf) (acc) - EUR (hedged)# 5,365,205.751 1,045,822.880 3,357,173.030 3,053,855.601JPM Income Opportunity D (perf) (acc) - USD# 37,650.906 141,792.268 40,028.148 139,415.026JPM Income Opportunity D (perf) (fix) EUR 2.15 - EUR (hedged)# 235,765.438 267,357.942 132,641.349 370,482.031JPM Income Opportunity D (perf) (inc) - EUR (hedged)# 445,386.658 99,385.093 481,142.710 63,629.041JPM Income Opportunity I (perf) (acc) - CHF (hedged)# 3,163.721 4,236.379 5,215.470 2,184.630JPM Income Opportunity I (perf) (acc) - EUR (hedged)# 2,006,614.150 6,137,677.787 3,538,365.809 4,605,926.128JPM Income Opportunity I (perf) (acc) - SGD (hedged)# - 26,665,194.583 - 26,665,194.583JPM Income Opportunity I (perf) (acc) - USD# 2,008,265.426 4,946,814.687 5,092,636.667 1,862,443.446JPM Income Opportunity I (perf) (dist) - GBP (hedged)# 201,201.916 893,308.149 243,207.040 851,303.025JPM Income Opportunity I (perf) (dist) - USD# 249,927.597 134,822.436 207,703.380 177,046.653JPM Income Opportunity I (perf) (inc) - EUR (hedged)# 2,037,680.267 245,644.462 705,633.537 1,577,691.192JPM Income Opportunity P (perf) (acc) - USD# 9,137.396 - 6,172.090 2,965.306JPM Income Opportunity T (perf) (acc) - EUR (hedged)# 1,033.863 - - 1,033.863JPM Income Opportunity X (perf) (acc) - EUR (hedged)# 89,015.619 - - 89,015.619JPM Income Opportunity X (perf) (acc) - USD# 157,802.598 1,260,250.656 988,201.777 429,851.477JPM Income Opportunity X (perf) (dist) - GBP (hedged)# 10.112 - - 10.112




of the Year


of the Year

9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2014 (continued)JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - EUR 285,472.032 999,595.757 1,263,028.061 22,039.728JPM Japan Strategic Value A (acc) - EUR (hedged) 390,069.915 331,591.175 444,615.417 277,045.673JPM Japan Strategic Value A (acc) - JPY 861,548.234 1,085,645.324 1,074,614.994 872,578.564JPM Japan Strategic Value A (acc) - USD (hedged) 68,083.097 33,876.339 51,485.831 50,473.605JPM Japan Strategic Value A (dist) - GBP 45,334.993 26,042.352 18,063.966 53,313.379JPM Japan Strategic Value A (dist) - GBP (hedged) 33,375.702 852.000 1,889.833 32,337.869JPM Japan Strategic Value B (acc) - JPY 105,199.836 117,964.951 133,319.129 89,845.658JPM Japan Strategic Value C (acc) - JPY 1,287,149.784 442,180.221 476,256.515 1,253,073.490JPM Japan Strategic Value C (acc) - USD 10,706.145 623,980.201 495,086.293 139,600.053JPM Japan Strategic Value C (acc) - USD (hedged) 409,251.431 666,905.221 831,665.052 244,491.600JPM Japan Strategic Value D (acc) - EUR 7,474.442 33,596.029 29,166.333 11,904.138JPM Japan Strategic Value D (acc) - EUR (hedged) 28,526.177 43,349.922 20,480.922 51,395.177JPM Japan Strategic Value D (acc) - JPY 32,460.988 14,800.505 22,598.595 24,662.898JPM Japan Strategic Value I (acc) - JPY 216,714.981 - - 216,714.981JPM Japan Strategic Value X (acc) - JPY 88,646.999 37,611.000 36,780.000 89,477.999JPM Japan Strategic Value X (acc) - USD 504,205.923 32,500.398 63,413.024 473,293.297

# The suffix “(perf)” was added to this Share Class on 24 November 2014.* Share Class inactive as at end of the year.** Share Class reactivated during the year.

107




of the Year


of the Year

10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2013 (continued)

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 1,944,221.364 2,560,675.391 1,420,357.578 3,084,539.177JPM Global Convertibles (USD) A (acc) - SGD (hedged)* - 25,182.000 25,182.000 -JPMorgan Global Convertibles (USD) A (acc) - SGD (hedged) - 83,377.658 5,381.971 77,995.687JPMorgan Global Convertibles (USD) A (acc) - USD # 6,560.266 30,828.344 8,520.811 28,867.799JPM Global Convertibles (USD) A (mth) - USD** 1,852.889 77,164.770 3,453.326 75,564.333JPM Global Convertibles (USD) B (acc) - USD 328,091.455 768,794.051 327,320.707 769,564.799JPM Global Convertibles (USD) B (mth) - USD 10.000 8,170.000 5.000 8,175.000JPM Global Convertibles (USD) C (acc) - USD 37,525.545 813,758.225 515,057.748 336,226.022JPM Global Convertibles (USD) D (acc) - USD 169,584.590 115,138.249 83,537.348 201,185.491JPM Global Convertibles (USD) D (mth) - USD 10.000 30,146.792 2,109.739 28,047.053JPM Global Convertibles (USD) I (acc) - USD 2,400.000 93,623.697 2,400.000 93,623.697JPM Global Convertibles (USD) X (acc) - USD** 4,813.000 12,524.020 15,894.000 1,443.020

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - EUR 513,375.357 423,294.087 728,543.842 208,125.602JPM Global Financials A (acc) - SGD 799.240 29,819.904 5,457.294 25,161.850JPM Global Financials A (acc) - USD 794,053.198 750,768.612 482,240.698 1,062,581.112JPM Global Financials A (dist) - USD 783,177.464 118,892.181 210,038.536 692,031.109JPM Global Financials B (acc) - EUR - 319,873.649 8,116.878 311,756.771JPM Global Financials B (acc) - USD 2,942,048.013 5,432,471.971 7,728,511.762 646,008.222JPM Global Financials C (acc) - USD 113,154.504 683,681.590 315,054.623 481,781.471JPM Global Financials C (dist) - USD - 5,000.000 - 5,000.000JPM Global Financials D (acc) - USD 53,902.644 20,286.911 26,395.666 47,793.889

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - CHF (hedged) 2,148.933 9,493.000 2,468.739 9,173.194JPM Global High Yield Bond A (acc) - EUR (hedged) 969,863.876 840,720.745 952,993.737 857,590.884JPM Global High Yield Bond A (acc) - USD 4,710,304.008 4,712,979.692 4,933,239.651 4,490,044.049JPM Global High Yield Bond A (dist) - USD 664.000 9,101.000 1,120.000 8,645.000JPM Global High Yield Bond A (inc) - EUR (hedged) 349,501.884 806,248.253 278,502.553 877,247.584JPM Global High Yield Bond A (irc) - AUD (hedged) - 51,075,732.911 10,501,671.771 40,574,061.140JPM Global High Yield Bond A (irc) - CAD (hedged) - 65,548.257 136.500 65,411.757JPM Global High Yield Bond A (irc) - NZD (hedged) - 210,173.929 144,804.440 65,369.489JPM Global High Yield Bond A (mth) - HKD 37,320,636.509 56,659,503.043 44,678,361.595 49,301,777.957JPM Global High Yield Bond A (mth) - SGD 498.652 357,426.781 123,659.178 234,266.255JPM Global High Yield Bond A (mth) - USD 13,002,890.896 29,588,729.252 14,715,660.866 27,875,959.282JPM Global High Yield Bond B (acc) - EUR (hedged) 233,185.836 345,699.364 376,670.821 202,214.379JPM Global High Yield Bond B (acc) - USD 318,606.826 396,147.977 390,395.648 324,359.155JPM Global High Yield Bond B (dist) - EUR (hedged) - 57,178.498 39,227.482 17,951.016JPM Global High Yield Bond B (mth) - USD 142,959.883 341,068.121 270,779.069 213,248.935JPM Global High Yield Bond C (acc) - EUR (hedged) 1,866,912.080 625,612.633 1,218,455.810 1,274,068.903JPM Global High Yield Bond C (acc) - PLN (hedged) 991.863 53,247.655 - 54,239.518JPM Global High Yield Bond C (acc) - USD 1,980,904.221 905,311.410 1,379,559.372 1,506,656.259JPM Global High Yield Bond C (dist) - USD 27,932.633 446,989.636 62,015.284 412,906.985JPM Global High Yield Bond C (div) - EUR (hedged) 95,364.900 24,996.875 - 120,361.775JPM Global High Yield Bond C (inc) - EUR (hedged)* - 65,000.000 65,000.000 -JPM Global High Yield Bond C (mth) - USD 364,965.964 596,612.014 609,354.368 352,223.610JPM Global High Yield Bond D (acc) - EUR (hedged) 308,946.124 142,167.575 174,761.188 276,352.511JPM Global High Yield Bond D (acc) - PLN (hedged)** 991.863 16,950.028 12,671.780 5,270.111JPM Global High Yield Bond D (acc) - USD 7,797.927 19,921.219 4,742.367 22,976.779JPM Global High Yield Bond D (div) - EUR (hedged) 430.164 147,035.400 26,667.912 120,797.652JPM Global High Yield Bond I (acc) - EUR (hedged) - 310,675.843 2,357.796 308,318.047JPM Global High Yield Bond I (acc) - USD 788,849.092 1,514,083.163 459,435.805 1,843,496.450JPM Global High Yield Bond I (dist) - EUR (hedged) - 45,710.155 36,524.669 9,185.486JPM Global High Yield Bond I (dist) - USD - 46,694.530 - 46,694.530JPM Global High Yield Bond I (inc) - EUR (hedged) 760,953.467 275,993.952 19,858.570 1,017,088.849JPM Global High Yield Bond I (mth) - USD 805,336.896 489,826.165 597,847.748 697,315.313JPM Global High Yield Bond T (acc) - EUR (hedged) 12.329 7,617.597 502.937 7,126.989JPM Global High Yield Bond X (acc) - EUR (hedged) 178,013.128 962,161.000 315,770.000 824,404.128JPM Global High Yield Bond X (acc) - USD 865,416.917 965,586.438 503,195.430 1,327,807.925

108

109




of the Year


of the Year


JPMorgan Investment Funds - Global Income FundJPM Global Income A (acc) - CHF (hedged) 1,828.568 50,034.812 25,226.568 26,636.812JPM Global Income A (acc) - EUR 109,225.292 2,071,811.529 440,961.970 1,740,074.851JPM Global Income A (acc) - USD (hedged) 50,932.541 3,211,281.894 1,139,773.685 2,122,440.750JPM Global Income A (div) - CHF (hedged) - 664.896 - 664.896JPM Global Income A (div) - EUR 1,074,126.789 5,555,328.915 708,452.056 5,921,003.648JPM Global Income A (div) - SGD 3,630.296 508,988.306 103,502.694 409,115.908JPM Global Income A (div) - SGD (hedged) - 82,922.567 - 82,922.567JPM Global Income A (div) - USD (hedged) 649,571.606 1,907,571.103 1,223,706.345 1,333,436.364JPM Global Income A (inc) - EUR - 490,443.825 21,912.150 468,531.675JPM Global Income A (irc) - AUD (hedged) - 57,379,820.218 19,806,296.757 37,573,523.461JPM Global Income A (mth) - SGD (hedged) - 7,060,888.319 308,119.801 6,752,768.518JPM Global Income A (mth) - USD (hedged) 611,185.971 13,134,651.289 5,693,208.616 8,052,628.644JPM Global Income B (acc) - EUR - 2,880.593 - 2,880.593JPM Global Income B (acc) - USD (hedged) 7,008.053 260,215.445 75,686.565 191,536.933JPM Global Income B (dist) - GBP (hedged) - 20,124.884 - 20,124.884JPM Global Income B (dist) - USD (hedged) - 9,373.385 - 9,373.385JPM Global Income B (div) - EUR 7,563.472 117,125.565 50,453.529 74,235.508JPM Global Income B (div) - USD (hedged) 7.432 70,619.552 33,745.624 36,881.360JPM Global Income B (mth) - USD (hedged) 7.755 108,733.001 11,530.727 97,210.029JPM Global Income C (acc) - EUR 886,429.579 3,292,349.391 1,408,218.470 2,770,560.500JPM Global Income C (div) - EUR 154,451.703 1,161,180.266 57,755.858 1,257,876.111JPM Global Income C (div) - USD (hedged)** - 182,975.920 - 182,975.920JPM Global Income D (acc) - EUR 176,938.795 2,147,035.366 303,574.836 2,020,399.325JPM Global Income D (acc) - USD (hedged) 16,662.114 366,070.610 62,000.878 320,731.846JPM Global Income D (div) - EUR 3,161,399.087 7,474,447.923 1,290,659.405 9,345,187.605JPM Global Income D (div) - USD (hedged) 6,523.713 71,672.057 16,729.847 61,465.923JPM Global Income D (mth) - USD (hedged) 7.755 248,744.665 12,623.966 236,128.454JPM Global Income T (div) - EUR 345,988.639 1,458,566.575 76,928.597 1,727,626.617JPM Global Income X (div) - AUD (hedged) - 49,700.000 - 49,700.000JPM Global Income X (div) - EUR 255,837.000 1,026,162.000 126,976.000 1,155,023.000

JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD 199,485.735 160,896.478 75,045.589 285,336.624JPM Global Select Equity A (dist) - USD 1,879.523 1,733.335 1,690.778 1,922.080JPM Global Select Equity B (acc) - USD 154.000 148.051 40.000 262.051JPM Global Select Equity C (acc) - EUR 118,637.573 115,190.901 57,175.171 176,653.303JPM Global Select Equity C (acc) - USD 206,192.477 99,110.557 57,208.447 248,094.587JPM Global Select Equity D (acc) - USD 27,631.515 14,953.820 8,904.142 33,681.193JPM Global Select Equity X (acc) - USD 342,841.521 - 45,751.837 297,089.684

JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (acc) - CHF (hedged) 111,245.951 1,474,677.771 226,019.255 1,359,904.467JPM Income Opportunity A (acc) - EUR (hedged) 8,230,976.265 10,374,994.804 5,957,448.942 12,648,522.127JPM Income Opportunity A (acc) - SEK (hedged) 631,780.929 655,246.073 619,815.097 667,211.905JPM Income Opportunity A (acc) - SGD (hedged) - 25,070.000 - 25,070.000JPM Income Opportunity A (acc) - USD 5,592,653.272 8,394,815.950 3,379,549.821 10,607,919.401JPM Income Opportunity A (dist) - GBP (hedged) 2,359,086.521 1,021,377.282 1,616,300.781 1,764,163.022JPM Income Opportunity A (fix) EUR 2.35 - EUR (hedged) 10.029 99,951.561 18,829.782 81,131.808JPM Income Opportunity A (inc) - EUR (hedged) 2,548,444.247 1,686,625.014 731,644.912 3,503,424.349JPM Income Opportunity A (mth) - USD 43,859.435 792,412.002 62,678.964 773,592.473JPM Income Opportunity B (acc) - CHF (hedged) - 74,878.043 949.000 73,929.043JPM Income Opportunity B (acc) - EUR (hedged) 1,036,364.801 2,174,158.319 1,083,170.190 2,127,352.930JPM Income Opportunity B (acc) - USD 951,740.416 1,568,548.626 538,602.987 1,981,686.055JPM Income Opportunity B (dist) - EUR (hedged) - 63,094.075 2,078.000 61,016.075JPM Income Opportunity B (dist) - GBP (hedged) 337,832.565 167,325.755 297,320.956 207,837.364JPM Income Opportunity B (fix) EUR 2.60 - EUR (hedged)** - 23.080 10.000 13.080JPM Income Opportunity B (inc) - EUR (hedged) - 9,663.481 - 9,663.481JPM Income Opportunity B (mth) - USD 3,079.307 189,953.424 11,109.355 181,923.376JPM Income Opportunity C (acc) - EUR (hedged) 5,523,759.372 5,823,232.075 4,616,685.920 6,730,305.527JPM Income Opportunity C (acc) - SEK (hedged) 6,141.154 42,932.574 902.155 48,171.573JPM Income Opportunity C (acc) - USD 1,868,634.098 2,764,578.992 1,978,022.786 2,655,190.304JPM Income Opportunity C (dist) - GBP (hedged) 617,900.607 1,305,928.291 754,783.748 1,169,045.150JPM Income Opportunity C (dist) - USD - 1,299,888.695 128,185.818 1,171,702.877JPM Income Opportunity C (fix) EUR 2.70 - EUR (hedged)** - 23.080 10.000 13.080JPM Income Opportunity D (acc) - EUR (hedged) 4,208,962.890 3,400,590.888 2,244,348.027 5,365,205.751JPM Income Opportunity D (acc) - USD - 37,650.906 - 37,650.906JPM Income Opportunity D (fix) EUR 2.15 - EUR (hedged) 10.029 270,502.480 34,747.071 235,765.438JPM Income Opportunity D (inc) - EUR (hedged) 272,205.337 218,627.233 45,445.912 445,386.658JPM Income Opportunity I (acc) - CHF (hedged) - 6,317.443 3,153.722 3,163.721JPM Income Opportunity I (acc) - EUR (hedged) - 3,099,270.988 1,092,656.838 2,006,614.150JPM Income Opportunity I (acc) - USD 550,000.000 1,684,517.933 226,252.507 2,008,265.426JPM Income Opportunity I (dist) - GBP (hedged) - 354,328.226 153,126.310 201,201.916JPM Income Opportunity I (dist) - USD - 282,763.070 32,835.473 249,927.597JPM Income Opportunity I (inc) - EUR (hedged) 1,250,009.927 810,740.965 23,070.625 2,037,680.267JPM Income Opportunity P (acc) - USD** - 21,130.236 11,992.840 9,137.396JPM Income Opportunity T (acc) - EUR (hedged) 1,046.192 - 12.329 1,033.863JPM Income Opportunity X (acc) - EUR (hedged) 150,569.400 24,326.219 85,880.000 89,015.619JPM Income Opportunity X (acc) - GBP (hedged)* 8,064.000 - 8,064.000 -JPM Income Opportunity X (acc) - USD 308,964.029 12,795.044 163,956.475 157,802.598JPM Income Opportunity X (dist) - GBP (hedged) 10.112 - - 10.112




of the Year


of the Year


JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - EUR 100,209.281 1,608,291.590 1,423,028.839 285,472.032JPM Japan Strategic Value A (acc) - EUR (hedged) - 428,561.183 38,491.268 390,069.915JPM Japan Strategic Value A (acc) - JPY 758,956.425 1,088,978.157 986,386.348 861,548.234JPM Japan Strategic Value A (acc) - USD (hedged) - 80,093.020 12,009.923 68,083.097JPM Japan Strategic Value A (dist) - GBP 94,692.422 11,403.786 60,761.215 45,334.993JPM Japan Strategic Value A (dist) - GBP (hedged) - 33,375.702 - 33,375.702JPM Japan Strategic Value B (acc) - JPY - 105,744.159 544.323 105,199.836JPM Japan Strategic Value C (acc) - JPY 889,189.883 711,260.390 313,300.489 1,287,149.784JPM Japan Strategic Value C (acc) - USD - 10,945.851 239.706 10,706.145JPM Japan Strategic Value C (acc) - USD (hedged) - 596,346.355 187,094.924 409,251.431JPM Japan Strategic Value D (acc) - EUR 4,439.665 8,357.345 5,322.568 7,474.442JPM Japan Strategic Value D (acc) - EUR (hedged) - 30,748.579 2,222.402 28,526.177JPM Japan Strategic Value D (acc) - JPY 15,178.892 35,880.187 18,598.091 32,460.988JPM Japan Strategic Value I (acc) - JPY - 216,714.981 - 216,714.981JPM Japan Strategic Value X (acc) - JPY 348,676.373 47,993.000 308,022.374 88,646.999JPM Japan Strategic Value X (acc) - USD - 504,205.923 - 504,205.923

# This Share Class changed prefix from “JF” to “JPMorgan” on 4 February 2013.* Share Class inactive at end of the year.** Share Class reactivated during the year.

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