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PIMCO – IG Global Bond PoolAnnual Financial Report MARCH 31, 2020

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IGM Financial Inc. and licensed to its subsidiary corporations.

STATEMENTS OF FINANCIAL POSITION

at March 31 (in $ 000 except per security amounts)

STATEMENTS OF COMPREHENSIVE INCOME

for the periods ended March 31 (in $ 000 except per security amounts)

See accompanying notes.

PIMCO – IG Global Bond PoolANNUAL FINANCIAL STATEMENTS MARCH 31, 2020

2020 2019

Assets

Current assets:

Non-derivative investments 265,366 192,040

Cash and cash equivalents 71,915 78,178

Accrued interest receivable 1,320 942

Dividends receivable - -

Accounts receivable for investments sold 67,063 17,658

Accounts receivable for securities issued - -

Accounts receivable from the Manager - -

Margin on derivative contracts 10,017 -

Derivative assets 9,482 5,967

Other assets - -

425,163 294,785

Non-current assets:

Taxes recoverable - -

Other assets - -

- -

Total assets 425,163 294,785

Liabilities

Current liabilities:

Bank indebtedness - -

Accounts payable for investments purchased 100,475 49,478

Accounts payable for securities redeemed - -

Distributions payable - -

Accrued expenses and miscellaneous payables - 1

Dividends payable on investments sold short - -

Margin on derivative contracts - 442

Derivative liabilities 26,201 4,722

Taxes payable - -

Other liabilities - -

Total liabilities 126,676 54,643

Net assets attributable to securityholders 298,487 240,142

2020 2019

Income:

Gains (losses) on derivative and non-derivative investments:

Dividends - -

Interest income 5,514 1,328

Net realized gain (loss) 9,012 2,759

Net unrealized gain (loss) (3,123) 6,502

Income (loss) from derivatives 2,944 (1,265)

Income (loss) from short selling - -

Other - -

Net gain (loss) on derivative and non-derivative investments 14,347 9,324

Securities lending income - -

Other 10 4

Total income 14,357 9,328

Expenses:

Management fees - -

Management fee rebates - -

Service fees - -

Service fee rebates - -

Administration fees - -

Trustee fees - -

Commissions and other portfolio transaction costs 65 20

Independent Review Committee costs 1 -

Other 50 6

Expenses before amounts absorbed by Manager 116 26

Expenses absorbed by Manager - -

Net expenses 116 26

Increase (decrease) in net assets attributable to securityholders

from operations before tax 14,241 9,302

Foreign withholding taxes paid (recovered) 24 -

Foreign income taxes paid (recovered) - -

Income tax paid (recovered) - -

Increase (decrease) in net assets attributable to securityholders

from operations 14,217 9,302

Net assets attributable to securityholders

per security per series

2020 2019 2020 2019

Series P 10.30 10.34 298,487 240,142

Increase (decrease) in net assets attributable to securityholders from operations

per security per series

2020 2019 2020 2019

Series P 0.49 0.42 14,217 9,302


SERIES P

b2020 b2019

Net assets attributable to securityholders, beginning of period 240,142 -

Increase (decrease) in net assets attributable to securityholders resulting from:

Operations 14,217 9,302

Distributions:

Income (5,446) (1,719)

Capital gains (10,078) -

Return of capital - -

Management fee rebates - -

Service fee rebates - -

Total distributions (15,524) (1,719)

Security transactions:

Proceeds from sale of securities 92,171 238,018

Proceeds from securities issued on merger - -

Reinvested from distributions 15,524 1,719

Payment on redemption of securities (48,043) (7,178)

Total security transactions 59,652 232,559

Increase (decrease) in assets attributable to securityholders 58,345 240,142

Net assets attributable to securityholders, end of period 298,487 240,142

Increase (decrease) in securities outstanding (in thousands):

Securities outstanding, beginning of period 23,215 -

Add (deduct):

Securities sold 8,792 23,756

Securities issued on merger - -

Reinvested from distributions 1,487 169

Securities redeemed (4,515) (710)

Securities outstanding, end of period 28,979 23,215

STATEMENTS OF CHANGES IN FINANCIAL POSITION

for the periods ended March 31 (in $ 000 except when stated)



STATEMENTS OF CASH FLOWS

for the periods ended March 31 (in $ 000 except when stated)


a2020 b2019

Cash flows from operating activities

Increase (decrease) in net assets attributable to securityholders from operations 14,217 9,302

Less non-cash impact of:

Net realized (gain) loss (9,012) (2,759)

Change in net unrealized (gain) loss 3,123 (6,502)

Adjustments for:

Proceeds from sale and maturity of investments 989,502 161,204

Purchases of investments (1,041,286) (313,613)

(Increase) decrease in accounts receivable and other assets (10,457) (933)

Increase (decrease) in accounts payable and other liabilities (360) 479

Net cash provided by (used in) operating activities (54,273) (152,822)

Cash flows from financing activities:

Proceeds from securities issued 92,171 238,018

Proceeds from securities issued on merger - -

Payments on redemption of securities (48,043) (7,178)

Distributions paid net of reinvestments - -

Net cash provided by (used in) financing activities 44,128 230,840

Increase (decrease) in cash and cash equivalents (10,145) 78,018

Cash and cash equivalents at beginning of period 78,178 -

Effect of exchange rate fluctuations on cash and cash equivalents 3,882 160

Cash and cash equivalents, end of period 71,915 78,178

Cash 6,903 2,659

Cash equivalents 65,012 75,519

Bank indebtedness - -

71,915 78,178

Supplementary disclosures on cash flow from operating activities:

Dividends received net of withholding taxes - -

Interest received net of withholding taxes 5,112 386

Interest paid - -



BONDS ALME Loan Funding Ltd. F/R 01-15-2031 Callable 2020 Ireland Mortgage Backed EUR 500,000 730 777 Altarea SCA 1.88% 01-17-2028 Callable 2027 France Corporate EUR 400,000 588 597 American Tower Corp. 2.95% 01-15-2025 Callable 2024 United States Corporate USD 600,000 811 843 Annington Funding PLC 1.65% 07-12-2024 Callable 2024 United Kingdom Corporate EUR 400,000 590 626 Aroundtown SA 1.50% 07-15-2024 Germany Corporate EUR 400,000 581 614 Aroundtown SA 5.38% 03-21-2029 Callable 2028 Germany Corporate USD 400,000 594 646 AT&T Inc. 1.80% 09-05-2026 Callable 2026 United States Corporate EUR 800,000 1,276 1,257 Atrium European Real Estate Ltd. 3.00% 09-11-2025 Callable 2025 Netherlands Corporate EUR 400,000 612 623 Banca Carige SpA F/R 10-25-2021 Italy Corporate EUR 1,000,000 1,524 1,562 Banca Carige SpA F/R 05-25-2022 Italy Corporate EUR 300,000 443 467 Banca Monte dei Paschi di Siena SpA 4.00% 07-10-2022 Italy Corporate EUR 200,000 295 284 Banca Monte dei Paschi di Siena 0.88% 10-08-2026 Italy Corporate EUR 500,000 720 772 Banco Bilbao Vizcaya Argentaria SA F/R 06-29-2067 Perpetual Callable 2024 Spain Corporate EUR 200,000 303 264 Banco Santander SA F/R 04-14-2168 Callable 2026 Spain Corporate EUR 200,000 290 234 Bank of America Corp. F/R 02-07-2030 Callable 2029 United States Corporate USD 1,200,000 1,755 1,806 Barclays Bank PLC 7.63% 11-21-2022 United Kingdom Corporate USD 600,000 887 863 Barclays PLC F/R 02-15-2023 Callable 2022 United Kingdom Corporate USD 200,000 274 286 Barclays PLC 5.20% 05-12-2026 United Kingdom Corporate USD 300,000 448 428 Barclays PLC F/R 05-16-2029 Callable 2028 United Kingdom Corporate USD 300,000 441 450 Barclays PLC 3.25% 01-17-2033 United Kingdom Corporate GBP 100,000 188 150 Barclays PLC F/R Perpetual Callable 2020 United Kingdom Corporate EUR 1,300,000 2,083 1,928 BNP Paribas SA F/R 01-10-2030 Callable 2029 France Corporate USD 500,000 776 716 BOC Aviation Ltd. 3.50% 10-10-2024 Callable 2024 Singapore Corporate USD 600,000 816 904 Bosphorus CLO F/R 04-15-2027 Callable Ireland Corporate EUR 176,991 265 275 Boston Scientific Corp. 4.00% 03-01-2029 Callable 2028 United States Corporate USD 600,000 880 895 Broadcom Inc. 3.00% 01-15-2022 Callable 2021 United States Corporate USD 400,000 513 558 Broadcom Inc. 4.25% 04-15-2026 Callable 2026 United States Corporate USD 600,000 823 822 Brunel Residential Mortgage Securities F/R 01-13-2039 Callable United Kingdom Mortgage Backed GBP 321,215 533 527 Bumper UK F/R 12-20-2028 Callable 2023 United Kingdom Mortgage Backed GBP 400,000 685 701 Canada Square Funding F/R 10-17-2051 United Kingdom Mortgage Backed GBP 500,000 838 876 Canterbury Finance Plc F/R 05-16-2056 Callable 2023 United Kingdom Mortgage Backed GBP 1,000,000 1,723 1,767 Charter Communications Operating LLC 5.13% 07-01-2049 Callable 2049 United States Corporate USD 300,000 395 452 China Mengniu Dairy Co. Ltd. 3.00% 07-18-2024 China Corporate USD 300,000 390 443 Ciel No. 1 PLC F/R 06-12-2046 United Kingdom Mortgage Backed GBP 457,358 760 799 CIT Mortgage Loan Trust F/R 10-25-2037 Callable 2029 144A United States Mortgage Backed USD 600,000 807 715 Citigroup Inc. F/R 06-01-2024 Callable 2023 United States Corporate USD 300,000 418 444 Countrywide Alternative Loan Trust 6.00% 04-25-2037 Callable 2023 United States Mortgage Backed USD 332,508 373 285 CPI Property Group S.A. 2.13% 10-04-2024 Callable 2024 Czech Republic Corporate EUR 400,000 586 608 CPI Property Group S.A. 1.63% 04-23-2027 Czech Republic Corporate EUR 300,000 434 423 Credit Suisse AG 6.50% 08-08-2023 Switzerland Corporate USD 500,000 700 720 Credit Suisse Group F/R 06-24-2027 Callable 2026 Switzerland Corporate EUR 300,000 450 423 Credit Suisse Group AG 4.29% 01-09-2028 Callable 2027 144A Switzerland Corporate USD 250,000 349 365 Credit Suisse Group AG F/R 01-12-2029 Callable 2028 144A Switzerland Corporate USD 500,000 702 713 CVS Health Corp. 4.30% 03-25-2028 Callable 2027 United States Corporate USD 800,000 1,141 1,199 DE Kinder Morgan Inc. 4.30% 03-01-2028 Callable 2027 United States Corporate USD 600,000 857 842 Deutsche Bank AG 1.63% 02-12-2021 Germany Corporate EUR 900,000 1,348 1,372 Deutsche Bank AG 0.05% 11-20-2024 Germany Corporate EUR 1,100,000 1,600 1,704 Deutsche Bank AG F/R 11-26-2025 Callable 2024 Germany Corporate USD 400,000 536 517 Deutsche Bank AG 1.63% 01-20-2027 Germany Corporate EUR 1,000,000 1,489 1,295 Dryden Leveraged Loan CDO F/R 01-15-2030 Netherlands Mortgage Backed EUR 500,000 751 777 Eastern Creation II Investment Holdings Ltd. 2.80% 07-15-2022 China Corporate USD 600,000 785 863 Elm Park CLO F/R 04-16-2029 Ireland Mortgage Backed EUR 400,000 597 617 Enel SpA 4.63% 09-14-2025 Italy Corporate USD 600,000 864 876 European Loan Conduit F/R 02-17-2030 Callable 2020 Ireland Mortgage Backed EUR 499,931 729 779 Expedia Inc. 3.80% 02-15-2028 Callable 2028 United States Corporate USD 600,000 827 732 Fannie Mae 2.50% 08-25-2049 United States Mortgage Backed USD 6,300,000 8,403 9,204 Fannie Mae 2.50% 09-25-2049 United States Mortgage Backed USD 13,000,000 18,829 18,929 Fidelity National Information Services Inc. 0.75% 05-21-2023 Callable 2023 United States Corporate EUR 100,000 151 153 Finsbury Square F/R 06-16-2069 Callable 2022 United Kingdom Mortgage Backed GBP 440,998 776 756 Finsbury Square F/R 12-16-2069 Callable 2023 United Kingdom Mortgage Backed GBP 484,342 839 847 Finsbury Square F/R 03-16-2070 Callable 2023 United Kingdom Mortgage Backed GBP 250,000 432 424 Fiserv Inc. 3.20% 07-01-2026 United States Corporate USD 600,000 826 866 Ford Motor Credit Co. LLC F/R 03-28-2022 United States Corporate USD 200,000 254 212 Ford Motor Credit Co. LLC F/R 08-03-2022 United States Corporate USD 500,000 616 578 Ford Motor Credit Co. LLC 3.02% 03-06-2024 United States Corporate EUR 400,000 599 508 French Republic Government Bond OAT 3.25% 05-25-2045 France Foreign Governments EUR 500,000 1,097 1,241 GE Capital UK Funding Unlimited Co. 5.88% 11-04-2020 United States Corporate GBP 100,000 174 178 General Electric Co. 0.38% 05-17-2022 Callable 2022 United States Corporate EUR 400,000 599 595 GLP Capital LP/GLP Financing II Inc. 5.25% 06-01-2025 United States Corporate USD 500,000 724 654 The Goldman Sachs Group Inc. 1.38% 05-15-2024 Callable 2023 United States Corporate EUR 500,000 756 763 The Goldman Sachs Group Inc. F/R 05-01-2029 Callable 2028 United States Corporate USD 800,000 1,181 1,194 The Goldman Sachs Group Inc. 0.88% 01-21-2030 United States Corporate EUR 100,000 144 131 Government National Mortgage Association 2.50% 09-20-2049 United States Mortgage Backed USD 4,400,000 6,125 6,485 Government of Abu Dhabi 3.13% 10-11-2027 United Arab Emirates Foreign Governments USD 1,500,000 1,949 2,154 Government of Abu Dhabi 3.13% 10-11-2027 144A United Arab Emirates Foreign Governments USD 900,000 1,136 1,293 Government of Australia 4.25% 04-21-2026 Australia Foreign Governments AUD 3,800,000 4,164 4,027

SCHEDULE OF INVESTMENTS

as at March 31, 2020 No. of Units, Fair Shares, or Cost Value Country Sector Par Value (CAD$ 000) (CAD$ 000)

SCHEDULE OF INVESTMENTS (continued)


BONDS (continued) Government of Finland 0.88% 09-15-2025 Finland Foreign Governments EUR 400,000 619 661 Government of France 2.00% 05-25-2048 France Foreign Governments EUR 300,000 522 615 Government of France 1.50% 05-25-2050 France Foreign Governments EUR 1,200,000 2,096 2,229 Government of Germany 2.50% 07-04-2044 Germany Foreign Governments EUR 900,000 1,886 2,277 Government of Italy 3.85% 09-01-2049 Italy Foreign Governments EUR 200,000 402 404 Government of Italy 2.45% 09-01-2050 Italy Foreign Governments EUR 400,000 578 628 Government of Japan 0.10% 03-10-2028 Japan Foreign Governments JPY 130,000,000 1,666 1,727 Government of Japan 0.10% 06-20-2029 Japan Foreign Governments JPY 160,000,000 1,991 2,121 Government of Japan 1.20% 09-20-2035 Japan Foreign Governments JPY 427,000,000 6,148 6,375 Government of Japan 30 Year Bond 1.40% 09-20-2045 Japan Foreign Governments JPY 220,000,000 3,281 3,591 Government of Japan 0.70% 12-20-2048 Japan Foreign Governments JPY 173,000,000 2,199 2,434 Government of Japan 0.50% 03-20-2049 Japan Foreign Governments JPY 170,000,000 2,077 2,277 Government of Kuwait 3.50% 03-20-2027 Kuwait Foreign Governments USD 1,600,000 2,146 2,357 Government of Kuwait 3.50% 03-20-2027 144A Kuwait Foreign Governments USD 1,900,000 2,499 2,798 Government of Lithuania 0.50% 06-19-2029 Lithuania Foreign Governments EUR 1,700,000 2,534 2,697 Government of New South Wales 2.00% 03-20-2031 Australia Foreign Governments AUD 500,000 465 445 Government of Peru 5.94% 02-12-2029 Peru Foreign Governments PEN 1,400,000 593 616 Government of Peru 5.94% 02-12-2029 144A Peru Foreign Governments PEN 1,000,000 422 440 Government of Peru 6.95% 08-12-2031 144A Peru Foreign Governments PEN 800,000 365 382 Government of Qatar 3.38% 03-14-2024 Qatar Foreign Governments USD 1,300,000 1,759 1,869 Government of Qatar 3.25% 06-02-2026 Qatar Foreign Governments USD 900,000 1,245 1,289 Government of Qatar 4.00% 03-14-2029 Qatar Foreign Governments USD 900,000 1,218 1,362 Government of Qatar 4.82% 03-14-2049 Qatar Foreign Governments USD 300,000 403 498 Government of Queensland 3.50% 08-21-2030 Australia Foreign Governments AUD 1,300,000 1,382 1,346 Government of Queensland 1.75% 08-21-2031 Australia Foreign Governments AUD 200,000 181 174 Government of Saudi Arabia 4.38% 04-16-2029 144A Saudi Arabia Foreign Governments USD 1,000,000 1,310 1,521 Government of South Africa 4.85% 09-30-2029 South Africa Foreign Governments USD 300,000 398 341 Government of South Australia 2.75% 05-24-2030 Australia Foreign Governments AUD 500,000 502 479 Government of South Australia 1.75% 05-24-2032 Australia Foreign Governments AUD 400,000 355 345 Government of South Africa 8.75% 02-28-2048 South Africa Foreign Governments ZAR 2,500,000 209 149 Government of Spain 1.45% 04-30-2029 Spain Foreign Governments EUR 1,800,000 2,919 3,006 Government of Spain 0.60% 10-31-2029 Spain Foreign Governments EUR 2,500,000 3,802 3,875 Government of Spain 2.70% 10-31-2048 Spain Foreign Governments EUR 200,000 360 396 Government of Spain 1.00% 10-31-2050 Spain Foreign Governments EUR 600,000 871 810 Government of Victoria 2.50% 10-22-2029 Australia Foreign Governments AUD 100,000 98 94 Government of Victoria 1.50% 11-20-2030 Australia Foreign Governments AUD 300,000 265 256 Government of Victoria 4.25% 12-20-2032 Australia Foreign Governments AUD 100,000 117 111 Government of Western Australia 2.75% 07-24-2029 Australia Foreign Governments AUD 100,000 99 96 Harben Finance F/R 08-20-2056 United Kingdom Mortgage Backed GBP 845,310 1,425 1,468 Harvest CLO F/R 11-15-2028 Ireland Mortgage Backed EUR 209,053 314 325 HCA Inc. 4.13% 06-15-2029 Callable 2029 United States Corporate USD 600,000 869 853 HSBC Holdings PLC F/R 03-11-2025 Callable 2024 United Kingdom Corporate USD 300,000 417 430 HSBC Holdings PLC F/R 05-22-2030 Callable 2029 United Kingdom Corporate USD 500,000 672 715 HSBC Holdings PLC F/R 01-04-2067 Callable 2029 United Kingdom Corporate EUR 200,000 274 269 HSI Asset Loan Obligation F/R 12-25-2036 Callable 2022 United States Mortgage Backed USD 422,393 256 157 ICICI Bank Ltd. of Hong Kong 5.75% 11-16-2020 144A India Corporate USD 300,000 407 430 IHO Verwaltungs GmbH 3.63% 05-15-2025 Callable 2021 Germany Corporate EUR 400,000 599 491 ING Groep NV F/R 11-16-2067 Netherlands Corporate USD 600,000 800 730 Japan Finance Organization for Municipalities 3.00% 03-12-2024 144A Japan Foreign Governments USD 800,000 1,064 1,218 JP Morgan Chase Commercial Mortgage F/R 12-15-2031 144A United States Mortgage Backed USD 600,000 796 826 JP Morgan Mortgage Acquisition F/R 05-25-2036 United States Mortgage Backed USD 309,639 408 397 JP Morgan Mortgage Acquisition F/R 10-25-2036 Callable 2024 United States Mortgage Backed USD 599,195 772 718 JPMorgan Chase & Co. F/R 05-06-2030 Callable 2029 United States Corporate USD 600,000 850 896 JPMorgan Chase & Co. F/R 10-15-2030 Callable 2029 United States Corporate USD 1,000,000 1,357 1,413 Jubilee CDO BV 0.52% 07-12-2028 Netherlands Mortgage Backed EUR 400,000 600 620 Jyske Realkredit A/S 1.00% 10-01-2050 Denmark Corporate DKK 13,490,975 2,575 2,687 Kreditanstalt Fuer Wiederaufbau 0.75% 01-15-2029 Germany Corporate EUR 500,000 759 831 Lloyds Bank PLC 4.88% 03-30-2027 United Kingdom Corporate GBP 700,000 1,499 1,541 Lloyds Banking Group PLC 4.58% 12-10-2025 United Kingdom Corporate USD 510,000 716 720 Lloyds Banking Group PLC F/R 12-27-2067 United Kingdom Corporate USD 200,000 286 253 Lloyds Banking Group PLC F/R Perpetual Callable 2023 United Kingdom Corporate GBP 600,000 1,047 893 Logicor Financing SARL 1.63% 07-15-2027 Callable 2027 Luxembourg Corporate EUR 500,000 749 729 Morgan Stanley F/R 04-24-2024 Callable 2023 United States Corporate USD 300,000 414 436 Nationwide Building Society F/R 07-18-2030 Callable 2029 144A United Kingdom Corporate USD 600,000 784 866 Nationwide Building Society F/R 12-20-2067 United Kingdom Corporate GBP 900,000 1,541 1,291 New Residential Mortgage Loan Trust 2.75% 11-25-2059 Callable 2022 United States Mortgage Backed USD 589,647 791 845 New South Wales Treasury Corp. 3.00% 02-20-2030 Australia Foreign Governments AUD 1,300,000 1,334 1,292 Newhaven CLO F/R 02-15-2030 Ireland Mortgage Backed EUR 400,000 601 621 Nissan Motor Acceptance Corp. F/R 09-21-2021 144A United States Corporate USD 100,000 132 137 Nomura Resecuritization Trust F/R 03-25-2037 Callable 2020 144A United States Mortgage Backed USD 339,071 443 448 Nordea Kredit Realkreditaktieselskab 1.00% 10-01-2050 Denmark Corporate DKK 8,799,134 1,688 1,750 Nordea Kredit Realkreditaktieselskab 2.00% 10-01-2050 Denmark Corporate DKK 1 - - NWD MTN Ltd. 4.13% 07-18-2029 Hong Kong Corporate USD 300,000 387 407 Nykredit Realkredit A/S 1.00% 10-01-2050 Denmark Corporate DKK 38,061,136 7,267 7,571


SCHEDULE OF INVESTMENTS (continued)


BONDS (continued) Nykredit Realkredit A/S 2.00% 10-01-2050 Denmark Corporate DKK 2 - - Park Aerospace Holdings Ltd. 3.63% 03-15-2021 Callable 2021 144A Ireland Corporate USD 200,000 269 262 Penske Truck Leasing Co. LP 3.45% 07-01-2024 Callable 2024 144A United States Corporate USD 600,000 824 863 Petroleo Brasileiro SA 5.09% 01-15-2030 Brazil Corporate USD 816,000 1,133 1,046 Precise Mortgage Funding F/R 10-16-2056 Callable 2024 United Kingdom Mortgage Backed GBP 496,840 845 845 Province of Alberta 0.63% 01-16-2026 Canada Provincial Governments EUR 1,500,000 2,270 2,416 Province of Ontario 1.85% 02-01-2027 Canada Provincial Governments 800,000 798 811 Qatar National Bank QPSC F/R 02-12-2022 Qatar Corporate USD 2,900,000 3,851 4,080 Real Estate Asset Liquidity Trust 2.38% 02-12-2055 Callable 2020 144A Canada Mortgage Backed 498,417 498 498 Real Estate Asset Liquidity Trust 2.87% 02-12-2055 Callable 2020 144A Canada Mortgage Backed 800,000 800 800 Republic of Peru 6.35% 08-12-2028 144A Peru Foreign Governments PEN 1,300,000 547 594 Republic of Peru 5.35% 08-12-2040 Peru Foreign Governments PEN 500,000 196 196 Residential Mortgage Securities F/R 03-20-2050 Callable 2021 United Kingdom Corporate GBP 257,507 430 447 The Royal Bank of Scotland F/R 05-15-2023 Callable 2022 United Kingdom Corporate USD 200,000 258 268 The Royal Bank of Scotland Group PLC F/R 11-15-2025 Callable 2024 United Kingdom Corporate EUR 300,000 436 419 The Royal Bank of Scotland Group PLC F/R 09-19-2026 Callable 2025 United Kingdom Corporate GBP 200,000 350 336 The Royal Bank of Scotland Group PLC F/R 11-01-2029 Callable 2024 United Kingdom Corporate USD 200,000 262 259 The Royal Bank of Scotland Group PLC F/R 05-08-2030 United Kingdom Corporate USD 200,000 288 288 The Royal Bank of Scotland Group PLC F/R 09-30-2067 Callable 2021 United Kingdom Corporate USD 900,000 1,231 1,258 Sabine Pass Liquefaction LLC 5.63% 02-01-2021 United States Corporate USD 300,000 413 419 Sabine Pass Liquefaction LLC 5.00% 03-15-2027 United States Corporate USD 600,000 867 751 Sands China Ltd. 5.40% 08-08-2028 Callable 2028 United States Corporate USD 600,000 891 794 Santander UK Group Holdings PLC 3.57% 01-10-2023 Callable 2022 United Kingdom Corporate USD 500,000 637 703 Santander UK Group Holdings PLC 4.75% 09-15-2025 144A United Kingdom Corporate USD 400,000 557 559 Santander UK Group Holdings PLC F/R 05-08-2026 United Kingdom Corporate GBP 200,000 349 347 Santander UK PLC 0.05% 01-12-2027 United Kingdom Corporate EUR 500,000 721 770 Santander UK PLC 1.26% 02-12-2027 144A United Kingdom Corporate GBP 200,000 346 334 Santander UK PLC F/R 11-12-2024 United Kingdom Corporate GBP 400,000 678 686 Saudi Arabian Oil Co. 2.75% 04-16-2022 Saudi Arabia Corporate USD 300,000 399 417 Seazen Holdings Co. Ltd. 7.50% 03-20-2022 Callable 2020 China Corporate USD 200,000 269 248 Sempra Energy 3.55% 06-15-2024 Callable 2024 United States Corporate USD 600,000 826 846 Shriram Transport Finance Co. Ltd. 5.95% 10-24-2022 India Corporate USD 200,000 266 210 Spain Government Bond 5.15% 10-31-2044 Spain Foreign Governments EUR 100,000 244 276 Spirit AeroSystems Inc. 3.95% 06-15-2023 Callable 2023 United States Corporate USD 600,000 818 728 Sprint Spectrum Co. LLC 4.74% 03-20-2025 144A United States Corporate USD 400,000 530 578 Structured Asset Securities Corp. F/R 01-25-2036 Callable United States Mortgage Backed USD 226,145 275 222 Sumitomo Mitsui Banking Corp. 0.41% 11-07-2029 Japan Corporate EUR 400,000 582 623 Sunac China Holdings Ltd. 7.88% 02-15-2022 Callable 2021 China Corporate USD 200,000 273 269 Sunoco Logistics Partners Operations LP 4.40% 04-01-2021 Callable 2021 United States Corporate USD 400,000 533 552 Syngenta Finance NV 5.18% 04-24-2028 Callable 2028 144A China Corporate USD 600,000 838 724 Tesco Property Finance 5 PLC 5.66% 10-13-2041 United Kingdom Corporate GBP 294,192 562 641 Tikehau F/R 12-07-2029 Netherlands Mortgage Backed EUR 400,000 601 621 Towd Point Mortgage F/R 02-20-2045 Callable 2023 United Kingdom Mortgage Backed GBP 323,134 560 553 Towd Point Mortgage Funding F/R 07-20-2045 Callable 2022 United Kingdom Mortgage Backed GBP 967,510 1,594 1,684 Towd Point Mortgage Funding F/R 10-20-2051 Callable 2024 United Kingdom Mortgage Backed GBP 502,598 890 866 Towd Point Mortgage Trust F/R 07-25-2059 144A United States Mortgage Backed USD 2,247,787 2,985 3,200 Towd Point Mortgage Trust F/R 09-25-2059 Callable 2022 144A United States Mortgage Backed USD 530,276 706 750 Toyota Auto Loan Extended Note 2.56% 11-25-2031 Callable 2023 144A United States Mortgage Backed USD 200,000 265 281 Twin Bridges F/R 12-12-2052 Callable 2022 United Kingdom Mortgage Backed GBP 487,609 851 839 UBS AG 5.13% 05-15-2024 Switzerland Corporate USD 500,000 657 707 UBS Group AG F/R 08-13-2030 Callable 2029 144A Switzerland Corporate USD 500,000 673 687 United States Treasury 0.25% 01-15-2025 Inflation Indexed United States Foreign Governments USD 1,000,000 1,371 1,548 United States Treasury 0.50% 01-15-2028 Inflation Indexed United States Foreign Governments USD 6,000,000 7,948 9,211 United States Treasury 2.63% 02-15-2029 United States Foreign Governments USD 7,300,000 9,815 12,024 United States Treasury Note/Bond 4.25% 05-15-2039 United States Foreign Governments USD 2,400,000 3,737 5,247 United States Treasury Note/Bond 2.75% 08-15-2042 United States Foreign Governments USD 700,000 863 1,271 United States Treasury Note/Bond 2.88% 11-15-2046 United States Foreign Governments USD 6,800,000 8,428 12,917 United States Treasury 1.01% 02-15-2048 Inflation Indexed United States Foreign Governments USD 100,000 132 182 Vanke Real Estate Hong Kong Co. 3.15% 05-12-2025 China Corporate USD 200,000 263 269 Virgin Money PLC F/R 03-22-2024 United Kingdom Corporate GBP 200,000 354 344 Volkswagen Bank GmbH 1.88% 01-31-2024 Germany Corporate EUR 1,000,000 1,550 1,525 Warwick Finance Residential F/R 09-21-2049 Callable 2020 United Kingdom Mortgage Backed GBP 273,056 480 471 Wells Fargo & Co. 3.75% 01-24-2024 Callable 2023 United States Corporate USD 600,000 835 895 Zimmer Biomet Holdings Inc. 3.55% 04-01-2025 United States Corporate USD 600,000 836 853 TOTAL NON-DERIVATIVE INVESTMENTS 249,376 265,366

Net Assets (see asset composition): Total non-derivative investments 265,366 Cash and cash equivalents 71,915 Derivative assets (see schedule of derivative instruments) 9,482 Derivative liabilities (see schedule of derivative instruments) (26,201) Other net assets (liabilities) (22,075)

298,487



as at March 31, 2020

% of net assets

PORTFOLIO ALLOCATION

Long Positions Bonds 101.4 Cash and cash equivalents 24.0 125.4 Short Positions Bonds (26.8) Other net assets (liabilities) 1.4 Total 100.0

BONDS SECTOR ALLOCATION

Foreign Governments 48.6 Corporate 30.5 Mortgage Backed 21.2 Provincial Governments 1.1 101.4


% of net assets

PORTFOLIO ALLOCATION

Long Positions Bonds 139.8 Cash and cash equivalents 32.5 172.3 Short Positions Bonds (58.3) Other net assets (liabilities) (14.0)Total 100.0

BONDS SECTOR ALLOCATION

Foreign Governments 104.3 Mortgage Backed 17.2 Corporate 16.4 Provincial Governments 1.0 Federal Government 0.9 139.8

Schedule of Asset Composition

Schedule of Derivative Instruments


Schedule of Reverse Repurchase Agreements

Reverse Reverse repurchase repurchase agreement Principal Collateral agreement to be Lending rate Settlement Maturity amount received at value1 received (%) date date (CAD$ 000) Collateralized by: (CAD$ 000) (CAD$ 000) (CAD$ 000)

0.25 03-31-2020 04-01-2020 800 Government of Canada 0.25% 04-01-2020 (800) 800 800

1 Included in cash and cash equivalents on the Statement of Financial Position.

Schedule of Forward Currency Contracts

Currency to Contract Currency to Current Unrealized Unrealized Counterparty Settlement be received costs be delivered fair value gains losses credit rating date (000) (CAD$ 000) (000) (CAD$ 000) (CAD$ 000) (CAD$ 000)

A 04-02-2020 351 AUD 298 298 CAD 304 6 - AA 04-02-2020 3,089 BRL 838 594 USD 839 1 - A 04-02-2020 13,405 BRL 4,308 3,056 USD 3,640 - (668) A 04-02-2020 8,776 BRL 2,380 1,688 USD 2,383 3 - A 05-05-2020 2,908 BRL 818 580 USD 787 - (31) A 04-02-2020 6,981 CAD 6,981 7,989 AUD 6,917 64 - AA 04-02-2020 953 CAD 953 1,071 AUD 927 26 - AA 04-02-2020 793 CAD 793 892 AUD 773 20 - A 05-04-2020 112 CAD 112 128 AUD 111 1 - A 04-02-2020 329 CAD 329 223 CHF 326 3 - A 04-01-2020 15,375 CAD 15,375 78,025 DKK 16,232 - (857) AA 04-02-2020 301 CAD 301 1,520 DKK 316 - (15) A 04-02-2020 73,217 CAD 73,217 49,227 EUR 76,452 - (3,235) AA 04-02-2020 291 CAD 291 195 EUR 302 - (11) AA 04-02-2020 2,291 CAD 2,291 1,479 EUR 2,297 - (6) A 04-02-2020 1,524 CAD 1,524 977 EUR 1,518 6 - A 04-02-2020 1,273 CAD 1,273 814 EUR 1,264 9 - A 04-02-2020 236 CAD 236 159 EUR 246 - (10) AA 04-02-2020 282 CAD 282 180 EUR 280 2 - AA 04-02-2020 822 CAD 822 532 EUR 826 - (4) A 05-04-2020 945 CAD 945 606 EUR 941 4 - A 05-04-2020 64,407 CAD 64,407 41,175 EUR 63,959 448 - A 04-02-2020 13,840 CAD 13,840 7,982 GBP 13,965 - (125) AA 04-02-2020 1,556 CAD 1,556 913 GBP 1,598 - (42) A 04-02-2020 2,377 CAD 2,377 1,331 GBP 2,328 49 - A 04-02-2020 397 CAD 397 228 GBP 399 - (2) AA 04-02-2020 1,753 CAD 1,753 1,013 GBP 1,773 - (20) A 04-02-2020 321 CAD 321 188 GBP 329 - (8) AA 04-02-2020 27,132 CAD 27,132 2,196,800 JPY 28,783 - (1,651) A 04-13-2020 11,744 CAD 11,744 980,000 JPY 12,840 - (1,096)

PIMCO - IG Global Bond PoolANNUAL FINANCIAL STATEMENTS MARCH 31, 2020

A 04-20-2020 5,705 CAD 5,705 480,000 JPY 6,288 - (583) A 04-27-2020 15,174 CAD 15,174 1,260,000 JPY 16,506 - (1,332) A 05-11-2020 4,256 CAD 4,256 350,000 JPY 4,587 - (331) A 06-08-2020 6,768 CAD 6,768 530,000 JPY 6,951 - (183) A 06-29-2020 3,802 CAD 3,802 295,000 JPY 3,872 - (70) A 06-29-2020 1,415 CAD 1,415 108,277 JPY 1,421 - (6) A 04-02-2020 161 CAD 161 1,130 NOK 152 9 - A 04-02-2020 154 CAD 154 1,130 NOK 153 1 - A 04-02-2020 174 CAD 174 1,205 NOK 163 11 - A 04-02-2020 2,465 CAD 2,465 2,884 NZD 2,421 44 - A 04-02-2020 756 CAD 756 906 NZD 761 - (5) A 04-02-2020 1,830 CAD 1,833 1,300 USD 1,830 - (3) AA 04-02-2020 2,352 CAD 2,284 1,620 USD 2,352 68 - AA 04-02-2020 1,757 CAD 1,847 1,310 USD 1,757 - (90) AA 04-02-2020 720 CAD 705 500 USD 720 15 - AA 04-02-2020 6,195 CAD 6,518 4,623 USD 6,196 - (322) AA 04-02-2020 4,772 CAD 5,050 3,582 USD 4,773 - (277) AA 04-02-2020 2,455 CAD 2,598 1,843 USD 2,455 - (143) AA 04-02-2020 1,671 CAD 1,727 1,225 USD 1,671 - (56) AA 04-02-2020 363 CAD 375 266 USD 363 - (12) AA 04-02-2020 113,900 CAD 120,508 85,479 USD 113,917 - (6,591) A 04-02-2020 1,852 CAD 1,903 1,350 USD 1,852 - (51) A 04-02-2020 802 CAD 805 571 USD 802 - (3) A 04-02-2020 1,701 CAD 1,654 1,173 USD 1,701 47 - A 04-02-2020 1,135 CAD 1,122 796 USD 1,135 13 - A 04-02-2020 123 CAD 120 85 USD 123 3 - A 04-02-2020 10,837 CAD 11,428 8,106 USD 10,838 - (590) A 04-02-2020 766 CAD 804 570 USD 767 - (37) AA 04-02-2020 2,875 CAD 2,918 2,070 USD 2,875 - (43) AA 04-02-2020 6,541 CAD 6,739 4,780 USD 6,542 - (197) AA 04-02-2020 134 CAD 141 100 USD 134 - (7) AA 04-02-2020 500 CAD 495 351 USD 500 5 - AA 04-02-2020 299 CAD 292 207 USD 299 7 - AA 04-02-2020 2,879 CAD 2,820 2,000 USD 2,880 60 - A 04-02-2020 735 CAD 775 550 USD 735 - (40) AA 05-04-2020 99,163 CAD 99,183 70,352 USD 99,385 202 - A 05-04-2020 1,748 CAD 1,738 1,233 USD 1,752 14 - A 05-04-2020 2,518 CAD 2,495 1,770 USD 2,523 28 - A 05-04-2020 29,520 CAD 29,423 20,871 USD 29,586 163 - A 05-04-2020 1,058 CAD 1,060 752 USD 1,060 - - A 04-02-2020 1,382 CHF 2,040 2,040 CAD 2,023 - (17) A 04-02-2020 1,955 CHF 2,793 2,793 CAD 2,861 68 - AA 06-04-2020 215 CLP - - USD - - - A 06-17-2020 4,236 CNY 847 601 USD 842 - (5) AA 04-01-2020 6,400 DKK 1,253 1,253 CAD 1,331 78 - AA 04-02-2020 5,605 DKK 1,160 1,160 CAD 1,166 6 - AA 04-02-2020 12,410 DKK 2,613 2,613 CAD 2,582 - (31) AA 04-02-2020 456 EUR 691 691 CAD 709 18 - AA 04-02-2020 797 EUR 1,236 1,236 CAD 1,238 2 - AA 04-02-2020 2,674 EUR 4,146 4,146 CAD 4,153 7 - AA 04-02-2020 762 EUR 1,168 1,168 CAD 1,184 16 - AA 04-02-2020 306 EUR 477 477 CAD 475 - (2) AA 04-02-2020 101 EUR 157 157 CAD 157 - - AA 04-02-2020 144 EUR 223 223 CAD 224 1 - AA 04-02-2020 263 EUR 414 414 CAD 409 - (5) A 04-02-2020 304 EUR 454 454 CAD 472 18 - A 04-02-2020 1,729 EUR 2,583 2,583 CAD 2,685 102 - AA 04-02-2020 203 EUR 315 315 CAD 315 - - AA 04-02-2020 1,920 EUR 2,840 2,840 CAD 2,982 142 - AA 04-02-2020 1,811 EUR 2,707 2,707 CAD 2,813 106 - A 04-02-2020 100 EUR 149 149 CAD 156 7 - A 04-02-2020 818 EUR 1,274 1,274 CAD 1,271 - (3) A 04-24-2020 1,183 EUR 1,753 1,002 GBP 1,839 86 - AA 04-02-2020 311 GBP 522 522 CAD 544 22 - AA 04-02-2020 1,080 GBP 1,937 1,937 CAD 1,889 - (48) A 04-02-2020 198 GBP 346 346 CAD 347 1 - A 04-03-2020 398 GBP 719 510 USD 696 - (23) AA 09-03-2020 12,211 HKD 2,195 1,557 USD 2,219 24 - A 06-17-2020 25,334,882 IDR 2,576 1,827 USD 2,163 - (413) A 04-27-2020 114,473 INR 2,199 1,560 USD 2,116 - (83) A 05-05-2020 113,210 INR 2,175 1,543 USD 2,087 - (88) A 04-02-2020 72,800 JPY 943 943 CAD 954 11 - AA 04-02-2020 740,500 JPY 9,423 9,423 CAD 9,703 280 - A 04-02-2020 109,700 JPY 1,445 1,445 CAD 1,437 - (8) A 04-02-2020 32,500 JPY 427 427 CAD 426 - (1) AA 04-22-2020 2,312 MXN 166 117 USD 137 - (29)

Schedule of Derivative Instruments (continued)


Schedule of Forward Currency Contracts





A 05-05-2020 25,463 MXN 1,830 1,298 USD 1,509 - (321) AA 06-17-2020 7,588 MXN 560 397 USD 447 - (113) A 04-02-2020 11,870 NOK 1,697 1,697 CAD 1,607 - (90) A 04-03-2020 2,361 NOK 358 254 USD 320 - (38) A 04-02-2020 899 NZD 760 760 CAD 755 - (5) A 04-03-2020 2,868 NZD 2,531 1,795 USD 2,408 - (123) AA 05-15-2020 557 PEN 231 164 USD 228 - (3) A 06-10-2020 12 PLN 4 3 USD 4 - - A 04-15-2020 27,168 RUB 599 425 USD 487 - (112) A 04-15-2020 35,767 RUB 815 578 USD 641 - (174) A 05-20-2020 2,634 RUB 47 33 USD 47 - - A 05-20-2020 16,222 RUB 290 206 USD 289 - (1) A 04-02-2020 1,235 SEK 176 176 CAD 175 - (1) A 04-03-2020 255 USD 360 390 AUD 338 22 - AA 04-02-2020 178 USD 251 805 BRL 219 32 - AA 04-02-2020 501 USD 706 2,284 BRL 620 86 - A 04-02-2020 77 USD 109 343 BRL 94 15 - A 04-02-2020 173 USD 244 802 BRL 218 26 - A 04-02-2020 85 USD 120 395 BRL 107 13 - A 04-02-2020 2,282 USD 3,217 11,865 BRL 3,221 - (4) A 04-02-2020 399 USD 563 1,806 BRL 491 72 - A 04-02-2020 581 USD 819 2,908 BRL 790 29 - A 04-02-2020 203 USD 286 904 BRL 245 41 - A 04-02-2020 360 USD 508 1,590 BRL 432 76 - A 04-02-2020 347 USD 489 1,568 BRL 426 63 - A 04-02-2020 3,760 USD 5,301 5,359 CAD 5,360 - (59) A 04-02-2020 2,000 USD 2,820 2,744 CAD 2,744 76 - AA 04-02-2020 1,577 USD 2,223 2,255 CAD 2,256 - (33) AA 04-02-2020 783 USD 1,104 1,134 CAD 1,134 - (30) AA 04-02-2020 1,861 USD 2,624 2,561 CAD 2,562 62 - AA 04-02-2020 70,329 USD 99,149 99,163 CAD 99,178 - (29) A 04-02-2020 1,536 USD 2,165 2,065 CAD 2,065 100 - A 04-02-2020 572 USD 806 814 CAD 814 - (8) A 04-02-2020 20,861 USD 29,409 29,520 CAD 29,524 - (115) A 04-02-2020 549 USD 774 734 CAD 734 40 - A 04-02-2020 974 USD 1,373 1,331 CAD 1,331 42 - A 04-02-2020 1,846 USD 2,603 2,589 CAD 2,590 13 - A 04-02-2020 2,848 USD 4,015 4,061 CAD 4,061 - (46) A 04-02-2020 2,000 USD 2,820 2,733 CAD 2,734 86 - A 04-02-2020 600 USD 846 806 CAD 807 39 - A 04-02-2020 712 USD 1,004 951 CAD 951 53 - AA 04-02-2020 3,422 USD 4,824 4,870 CAD 4,871 - (47) AA 04-02-2020 257 USD 257 360 CAD 255 2 - AA 04-02-2020 1,283 USD 1,809 1,781 CAD 1,782 27 - AA 04-02-2020 1,524 USD 2,149 2,088 CAD 2,089 60 - A 04-02-2020 2,984 USD 4,207 4,143 CAD 4,144 63 - A 04-03-2020 254 USD 358 339 CAD 339 19 - A 05-04-2020 1,000 USD 1,410 1,422 CAD 1,425 - (15) A 04-03-2020 1,024 USD 1,444 978 CHF 1,431 13 - AA 06-17-2020 179 USD 252 1,265 CNY 251 1 - AA 06-17-2020 256 USD 361 1,785 CNY 355 6 - A 06-17-2020 381 USD 537 2,678 CNY 532 5 - AA 04-24-2020 3 USD 4 10,023 COP 3 1 - A 04-02-2020 334 USD 471 300 EUR 466 5 - A 04-03-2020 1,295 USD 1,826 1,157 EUR 1,797 29 - A 09-03-2020 1,572 USD 2,216 12,354 HKD 2,245 - (29) A 06-17-2020 261 USD 367 4,292,867 IDR 366 1 - A 06-17-2020 209 USD 295 2,974,070 IDR 254 41 - A 06-17-2020 266 USD 375 3,941,216 IDR 336 39 - AA 04-16-2020 117 USD 165 427 ILS 170 - (5) A 04-27-2020 1,578 USD 2,224 114,473 INR 2,116 108 - AA 05-05-2020 1,575 USD 2,221 113,210 INR 2,087 134 - A 04-03-2020 254 USD 357 27,331 JPY 358 - (1) A 06-29-2020 1,315 USD 1,854 142,000 JPY 1,868 - (14) AA 04-13-2020 96 USD 136 2,237 MXN 133 3 - AA 04-13-2020 492 USD 694 11,191 MXN 663 31 - AA 05-08-2020 964 USD 1,359 3,236 PEN 1,328 31 - AA 05-15-2020 353 USD 497 1,197 PEN 490 7 - AA 05-18-2020 304 USD 428 1,036 PEN 424 4 - A 04-15-2020 33 USD 47 2,634 RUB 47 - - A 04-15-2020 52 USD 73 4,091 RUB 73 - - A 04-03-2020 233 USD 329 2,217 SEK 315 14 - A 04-06-2020 85 USD 120 1,335 ZAR 105 15 - A 04-06-2020 156 USD 220 2,355 ZAR 186 34 - AA 04-06-2020 5,160 ZAR 471 334 USD 406 - (65) 4,006 (20,990)

Schedule of Forward Currency Contracts (continued)





Schedule of Futures Contracts

Notional Unrealized Unrealized Type of No. of Expiration Average rate value gains losses contract contracts date of contracts (CAD$ 000) (CAD$ 000) (CAD$ 000)

CBOT U.S. 10 Year Treasury Note (43) June 2020 138.65 USD (8,407) (2)CBOT U.S. 5 Year Treasury Note 28 June 2020 120.48 USD 4,948 192 EUX Euro-BOBL Future 17 June 2020 135.43 EUR 3,570 - (6)EUX Euro-BTP Future 112 June 2020 147.36 EUR 24,597 - (1,035)EUX Euro-BUND Future (100) June 2020 173.37 EUR (26,792) 133 EUX Euro-BUXL 30 Year Bond Future (1) June 2020 217.78 EUR (326) 12 EUX Euro-OAT Future (1) June 2020 167.66 EUR (260) 7 EUX Euro-SCHATZ Future (161) June 2020 112.11 EUR (28,052) (21)ICE Long Gilt Future (11) June 2020 133.52 GBP (2,621) - (52)MSE Canadian 10 Year Bond Future (47) June 2020 140.41 CAD (6,916) - (317)SFE ASX 10 Year Treasury Bond Future (51) June 2020 99.33 AUD (6,651) 38 SFE ASX 3 Year Treasury Bond Future 40 June 2020 99.56 AUD 4,056 20 (42,854) 402 (1,433)

Schedule of Options Purchased

Premium Fair Underlying No. of No. of shares or Option Strike Expiration paid value security options Notional currency type price date (CAD$ 000) (CAD$ 000)

Currency Option EUR/GBP 2,254,000 GBP Put 0.83 EUR 04-22-2020 17 1 Currency Option EUR/USD 1,724,000 USD Put 1.09 EUR 04-08-2020 8 4 Interest Rate swap GBP 6 Month LIBOR 350,000 GBP Put 0.86 GBP 02-26-2021 28 31 53 36

Schedule of Options Written

Premium Fair Underlying No. of No. of shares or Option Strike Expiration received value security options Notional currency type price date (CAD$ 000) (CAD$ 000)

Currency Option EUR/RUB 1,051,000 EUR Call 73.00 EUR 04-02-2020 (14) (253)Currency Option EUR/USD 1,724,000 EUR Call 1.11 EUR 04-08-2020 (9) (14)Interest Rate swap EUR 6 Month LIBOR 400,000 EUR Call - EUR 08-27-2020 (16) (30)Interest Rate swap EUR 6 Month LIBOR 700,000 EUR Call - EUR 08-28-2020 (37) (53)Interest Rate swap GBP 6 Month LIBOR 1,000,000 GBP Put 0.78 GBP 02-26-2021 (28) (29)Interest Rate swap USD 3 Month LIBOR 9,300,000 USD Call 1.45 USD 08-06-2020 (17) (106)Interest Rate swap USD 3 Month LIBOR 9,300,000 USD Call 1.45 USD 08-11-2020 (18) (106) (139) (591)




Schedule of Interest Rate Swaps

Notional Unrealized Unrealized Counterparty No. of Maturity Fund pays Fund receives value gains losses credit rating contracts date return on: return on: (CAD$ 000) (CAD$ 000) (CAD$ 000)

A+ 1 12-19-2020 Fixed interest at 2.75% Floating interest LIBOR USD 3 month 9,164 - (183) A+ 1 06-17-2021 Floating interest LIBOR USD 3 month Fixed interest at 1.25% 18,327 80 - A+ 1 06-19-2021 Floating interest LIBOR USD 3 month Fixed interest at 3.00% 9,305 319 - A+ 1 12-03-2021 Fixed interest at 0.00% Floating interest LIBOR JPY 6 month 47,301 - (24) A+ 1 12-18-2021 Fixed interest at 1.50% Floating interest LIBOR USD 3 month 6,344 - (124) A+ 1 12-18-2021 Fixed interest at 2.50% Floating interest LIBOR USD 3 month 3,525 - (140) A+ 1 02-26-2022 Fixed interest at 1.54% Floating interest LIBOR USD 3 month 7,472 - (135) A+ 1 02-27-2022 Fixed interest at 1.57% Floating interest LIBOR USD 3 month 9,305 - (174) A+ 1 03-18-2022 Fixed interest at 0.75% Floating interest LIBOR GBP 6 month 4,024 - (21) A+ 1 06-17-2022 Fixed interest at -0.30% Floating interest EURIBOR EUR 6 month 35,410 - (1) A+ 1 06-17-2022 Floating interest LIBOR USD 3 month Fixed interest at 1.00% 21,711 263 - A+ 1 01-30-2024 Floating interest TELBOR ILS 3 month Fixed interest at 1.18% 556 17 - A+ 1 06-19-2024 Floating interest EURIBOR EUR 6 month Fixed interest at 1.31% 2,485 184 - A+ 1 06-19-2024 Floating interest LIBOR JPY 6 month Fixed interest at 0.00% 4,979 14 - A+ 1 06-19-2024 Floating interest LIBOR USD 3 month Fixed interest at 3.00% 2,538 290 - A+ 1 07-01-2024 Floating interest 7 day Repo rate CNY Fixed interest at 2.90% 219 6 - A+ 1 07-05-2024 Floating interest 7 day Repo rate CNY Fixed interest at 2.79% 3,483 82 - A+ 1 10-25-2024 Floating interest LIBOR USD 3 month Fixed interest at 1.50% 3,384 162 - A+ 1 12-03-2024 Floating interest LIBOR USD 3 month Fixed interest at 1.60% 1,974 107 - A+ 1 12-18-2024 Floating interest LIBOR USD 3 month Fixed interest at 1.50% 1,974 101 - A+ 1 03-18-2025 Fixed interest at -0.50% Floating interest EURIBOR EUR 6 month 10,095 130 - A+ 1 06-17-2025 Fixed interest at 1.25% Floating interest LIBOR USD 3 month 564 - (21) A+ 1 06-17-2025 Floating interest EURIBOR EUR 6 month Fixed interest at -0.15% 25,625 93 - A+ 1 06-17-2025 Floating interest LIBOR GBP 6 month Fixed interest at 1.00% 1,400 33 - A+ 1 06-17-2025 Floating interest LIBOR GBP 6 month Fixed interest at 1.00% 10,148 238 - A+ 1 06-20-2028 Floating interest BA CAD 3 month Fixed interest at 2.25% 400 38 - A+ 1 03-20-2029 Floating interest LIBOR JPY 6 month Fixed interest at 0.45% 131 5 - A+ 1 04-22-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.78% 238 23 - A+ 1 04-29-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.76% 397 38 - A+ 1 04-30-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.78% 318 31 - A+ 1 05-01-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.79% 199 20 - A+ 1 05-02-2029 Floating interest TELBOR ILS 3 month Fixed interest at 1.81% 357 36 - A+ 1 06-19-2029 Floating interest BA CAD 3 month Fixed interest at 2.50% 4,600 571 - A+ 1 06-19-2029 Floating interest LIBOR JPY 6 month Fixed interest at 0.20% 5,503 106 - A+ 1 10-02-2029 Floating interest BA CAD 3 month Fixed interest at 1.71% 1,200 64 - A+ 1 11-29-2029 Floating interest LIBOR JPY 6 month Fixed interest at 0.04% 3,145 9 - A+ 1 12-18-2029 Fixed interest at 1.50% Floating interest LIBOR USD 3 month 1,128 - (89) A+ 1 12-18-2029 Fixed interest at 1.50% Floating interest LIBOR USD 3 month 17,623 - (1,410) A+ 1 12-18-2029 Fixed interest at 2.75% Floating interest LIBOR USD 3 month 141 - (29) A+ 1 12-18-2029 Floating interest BA CAD 3 month Fixed interest at 1.90% 3,400 245 - A+ 1 01-15-2030 Fixed interest at 2.00% Floating interest LIBOR USD 3 month 564 - (70) A+ 1 01-15-2030 Floating interest GBP UK RPI Fixed interest at 3.39% 700 5 - A+ 1 02-15-2030 Floating interest GBP UK RPI Fixed interest at 3.44% 350 5 - A+ 1 02-15-2030 Floating interest GBP UK RPI Fixed interest at 3.45% 1,050 16 - A+ 1 03-18-2030 Fixed interest at 0.75% Floating interest LIBOR GBP 6 month 87 - (2) A+ 1 03-18-2030 Floating interest EURIBOR EUR 6 month Fixed interest at -0.15% 9,940 - (122) A+ 1 06-17-2030 Fixed interest at 1.25% Floating interest LIBOR USD 3 month 2,679 - (139) A+ 1 06-17-2030 Floating interest BA CAD 3 month Fixed interest at 1.50% 3,000 106 - A+ 1 06-17-2030 Floating interest EURIBOR EUR 6 month Fixed interest at 0.15% 6,368 99 - A+ 1 06-17-2030 Floating interest LIBOR GBP 6 month Fixed interest at 1.00% 1,050 42 - A+ 1 06-17-2030 Floating interest LIBOR USD 3 month Fixed interest at 1.25% 1,128 58 - A+ 1 02-26-2031 Fixed interest at 0.67% Floating interest LIBOR GBP 6 month 787 - (7) A+ 1 06-19-2039 Floating interest LIBOR JPY 6 month Fixed interest at 0.40% 480 26 - A+ 1 12-03-2039 Fixed interest at 0.91% Floating interest GBP SONIA 1,050 - (50) A+ 1 12-03-2039 Floating interest LIBOR GBP 3 month Fixed interest at 1.08% 1,050 47 - A+ 1 05-15-2045 Floating interest LIBOR USD 3 month Fixed interest at 1.85% 2,256 500 - A+ 1 06-19-2049 Fixed interest at 0.50% Floating interest LIBOR JPY 6 month 1,048 - (97) A+ 1 12-18-2049 Floating interest BA CAD 3 month Fixed interest at 2.20% 1,900 338 - A+ 1 12-18-2049 Floating interest LIBOR USD 3 month Fixed interest at 1.75% 282 68 - A+ 1 12-20-2049 Floating interest BA CAD 3 month Fixed interest at 1.83% 550 48 - A+ 1 03-12-2050 Fixed interest at 2.25% Floating interest LIBOR USD 3 month 282 - (102) A+ 1 03-18-2050 Fixed interest at 0.25% Floating interest EURIBOR EUR 6 month 1,009 - (24) A+ 1 03-18-2050 Fixed interest at 0.75% Floating interest LIBOR GBP 6 month 262 - (11) A+ 1 06-17-2050 Fixed interest at 0.50% Floating interest EURIBOR EUR 6 month 1,475 - (141) A+ 1 06-17-2050 Floating interest LIBOR USD 3 month Fixed interest at 1.50% 2,115 342 - A+ 1 02-26-2051 Floating interest LIBOR GBP 6 month Fixed interest at 0.72% 262 9 - 321,816 5,014 (3,116)




Schedule of Currency Swaps

Notional amount Notional amount Unrealized Unrealized Counterparty Maturity of currency of currency gains losses credit rating Receive Pay date received delivered (CAD$ 000) (CAD$ 000)

A+ Floating rate equal to 3-Month Floating rate equal to 3-Month EUR-EURIBOR less 0.172% USD-LIBOR based based on the notional amount on the notional amount of currency received of currency delivered 01-23-2029 2,600,000 EUR 1,443,520 USD - (19) A+ Floating rate equal to 3-Month Floating rate equal to 3-Month AUD-LIBOR plus 0.420% USD-LIBOR based based on the notional amount on the notional amount of currency received of currency delivered 07-31-2029 1,700,000 AUD 1,173,000 USD 12 - A+ Floating rate equal to 3-Month Floating rate equal to 3-Month EUR-EURIBOR less 0.156% USD-LIBOR based based on the notional amount on the notional amount of currency received of currency delivered 03-18-2030 1,600,000 EUR 893,320 USD - (9) A+ Floating rate equal to 3-Month Floating rate equal to 3-Month AUD-LIBOR plus 0.423% USD-LIBOR based based on the notional amount on the notional amount of currency received of currency delivered 08-01-2029 1,700,000 AUD 1,173,000 USD 12 - 24 (28)

TOTAL DERIVATIVE ASSETS 9,482

TOTAL DERIVATIVE LIABILITIES (26,201)

Schedule of Total Return Swaps

Notional Unrealized Unrealized Counterparty No. of Maturity Fund pays Fund receives value gains losses credit rating contracts date return on: return on: (CAD$ 000) (CAD$ 000) (CAD$ 000)

A+ 1 05-05-2020 Fixed Interest at 1.02% Government of Canada 2.75% 12-01-2048 1,400 - (43)

PIMCO – IG Global Bond PoolNOTES TO THE ANNUAL FINANCIAL STATEMENTS MARCH 31, 2020

1. ORGANIZATION OF THE FUND, FISCAL PERIODS AND GENERAL INFORMATION

(a) Organization of the Fund

The Fund is organized as an open-ended mutual fund trust established under the laws of Manitoba and governed by a Declaration of Trust. The address of the Fund’s registered office is 447 Portage Avenue, Winnipeg, Manitoba, Canada. The Fund is authorized to issue an unlimited number of securities of multiple series. Series P securities are only available for purchase by other IG Wealth Management Funds or other qualified investors.

(b) Financial periods

The Statements of Financial Position are presented as at March 31, 2020 and 2019. The Statements of Comprehensive Income, Statements of Changes in Financial Position and Statements of Cash Flows are for the 12-month periods ended March 31, 2020 and 2019. The Schedule of Investments is presented as at March 31, 2020. Where a Fund or series of a Fund was established during either period, the information for the Fund or series is provided from inception date. Where a series of a Fund was terminated during either period, the information for the series is provided up to close of business on the termination date.

(c) General information

I.G. Investment Management, Ltd. is the Manager, Portfolio Advisor and Trustee of the Fund. The Fund is distributed by Investors Group Financial Services Inc. and Investors Group Securities Inc. (collectively, the Distributors). These companies are, indirectly, wholly owned subsidiaries of IGM Financial Inc.

IGM Financial Inc. is a subsidiary of Power Financial Corp. and Power Corporation of Canada. Companies related to Power Financial Corporation are therefore considered affiliates of the Trustee, the Manager and the Distributors. The Fund may invest in certain securities within the Power Group of Companies, subject to certain governance criteria, and these holdings, as at the end of the period, have been identified on the Schedule of Investments for the Fund. Any transactions during the periods, other than transactions with unlisted open-ended mutual funds, were executed through market intermediaries and under prevailing market terms and conditions.

2. BASIS OF PREPARATION AND PRESENTATION

These annual financial statements (financial statements) have been prepared in accordance with International Financial Reporting Standards (IFRS), as issued by the International Accounting Standards Board (IASB). A summary of the Fund’s significant accounting policies under IFRS is presented in Note 3.These financial statements are presented in Canadian dollars, which is the Fund’s functional currency, and rounded to the nearest thousand unless otherwise indicated. These financial statements are prepared on a going concern basis using the historical cost basis, except for financial assets and liabilities that have been measured at fair value.These financial statements were authorized for issue by the Manager on July 17, 2020.Standards issued but not yet effective for the current accounting year are described in Note 3.

3. SIGNIFICANT ACCOUNTING POLICIES

(a) Financial instruments

The Fund classifies and measures financial instruments in accordance with IFRS 9 Financial Instruments (IFRS 9). Upon initial recognition, financial instruments are classified as fair value through profit or loss (FVTPL). All financial assets and liabilities are recognized in the Statement of Financial Position when the Fund becomes a party to the contractual requirements of the instrument. Financial instruments are derecognized when the right to receive cash flows from the instrument has expired or the Fund has transferred substantially all risks and rewards of ownership. As such, investment purchase and sale transactions are recorded as of the trade date.

Financial instruments are subsequently measured at FVTPL with changes in fair value recognized in the Statement of Comprehensive Income.

The cost of investments (cost) is based on the weighted average cost of investments and excludes commissions and other portfolio transaction costs, which are separately reported in the Statement of Comprehensive Income. Realized gains and losses on disposition including foreign exchange gains or losses on such investments, are determined based on the cost of investments. Gains and losses arising from changes in the fair value of the investments are included in the Statement of Comprehensive Income for the period in which they arise. Gains and losses realized on certain derivatives, including interest rate and currency swaps, and futures are reported as Income (loss) from derivatives within the Statement of Comprehensive Income.

The Fund accounts for its holdings in unlisted open-ended investment funds (Underlying Funds) and Exchange Traded Funds (ETFs) at FVTPL. The Fund has concluded that the Underlying Funds and ETFs in which it invests do not meet the definition of structured entities. The Fund’s investment in Underlying Funds and ETFs, if any, is presented in the Schedule of Investments at fair value which represents the Fund’s maximum exposure on these investments.

(b) Fair value measurement

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund’s valuation policies are as follows:

(i) Equity securities, fixed-income securities and other investment funds

Fair value for securities listed on a public securities exchange or traded on an over-the-counter market is determined as the last traded market price or close price recorded by the security exchange on which the security is principally traded, where the close price falls within the bid-ask spread of the security. In situations where the last traded market price is not within the bid-ask spread, the Manager selects the point within the bid-ask spread that is most representative of fair value.

Fair value of fixed-income securities includes consideration of the creditworthiness of the issuer.

Investments in securities of another investment fund are valued at the net asset value per security calculated in accordance with the offering documents of such investment fund or as reported by that fund’s manager.

Unlisted or non-exchange traded securities, or securities for which a last traded market price is unavailable or securities for which market quotations are, in the Manager’s opinion, inaccurate, unreliable or not reflective of all available material information, are valued at their estimated fair value, determined by using appropriate and accepted industry valuation techniques including valuation models. The estimated fair value of a security determined using valuation models requires the use of inputs and assumptions based on observable market data including volatility and other applicable rates or prices. In limited circumstances, the estimated fair value of a security may be determined using valuation techniques that are not supported by observable market data.

(ii) Futures and swaps contracts

Futures and swaps contracts are valued at the gain or loss that would be realized upon closure of the contract. The values for such contracts fluctuate and are best determined at the settlement price established each day by the board of trade or exchange on which the contracts are traded.

Margin accounts represent margin deposits held with brokers in respect of open futures and swaps contracts. Any change in the variation margin requirement is settled daily. Margin paid or deposited in respect of futures contracts or swaps is reflected as a receivable at fair value in the Statement of Financial Position.

(iii) Forward contracts

Forward contracts, including forward currency contracts, are valued at the gain or loss that would arise as a result of closing the position at the reporting date.

(iv) Options contracts

Premiums paid for purchasing an option are recorded as an asset in the Statement of Financial Position and premiums received from writing options are included in the Statement of Financial Position as a liability. Subsequently, options contracts are adjusted daily to fair value.

(c) Cash and cash equivalents

Cash and cash equivalents includes cash on deposit with banks and short term investments that are readily convertible to cash, are subject to an insignificant risk of changes in value, and are used by the Fund in the management of short-term commitments. Cash and cash equivalents are reported at fair value which closely approximates their amortized cost due to their nature of being highly liquid and having short terms to maturity. Bank overdraft positions are presented as bank indebtedness in current liabilities in the Statement of Financial Position.

(d) Currency

All amounts are expressed in Canadian dollars. Foreign currency amounts have been expressed in Canadian dollars on the following bases:

(i) Fair value of investments and other assets and liabilities at the rate of exchange at the end of the periods.

(ii) Income, expenses, purchases and sales of investments at the rate of exchange on the dates of such transactions.

(e) Income recognition

Interest income from interest bearing investments is recognized using the effective interest method. Dividends are accrued as of the ex-dividend date. Dividend income and distributions from open-ended investment funds are recognized when the Fund’s right to receive payment is established which is typically on the ex-dividend or distribution date. Distributions received from income trusts and open-ended investment funds are included in interest income, dividend income or capital gains, as appropriate, based on the best information available to the Manager. Due to the nature of these investments, actual allocations could vary from this information.

(f) Securities lending and repurchase transactions

The Fund may be permitted to enter into securities lending, repurchase and reverse repurchase transactions as set out in the Fund’s Simplified Prospectus. These transactions involve the temporary exchange of securities for collateral with a commitment to deliver the same securities on a future date. Income is earned from these transactions in the form of fees paid by the counterparty and, in certain circumstances, interest paid on cash or securities held as collateral. Income earned from these transactions is recognized on the accrual basis and included in the Statement of Comprehensive Income. Securities lending transactions are administered by The Bank of New York Mellon (the Securities Lending Agent). All the counterparties have a sufficient, approved credit rating based on ratings provided by external credit rating agencies, and the value of cash or securities held as collateral must be at least 102% of the fair value of the securities loaned, sold or purchased. The value of securities loaned and collateral received from securities lending as of the end of the periods, if applicable, is disclosed in Note 12. Collateral received is comprised of debt obligations of the Government of Canada and other countries, Canadian provincial and municipal governments, and financial institutions.

(g) Redeemable securities

The Fund’s redeemable securities entitle securityholders the right to redeem their interest in the Fund for cash equal to their proportionate share of the net asset value of the Fund, amongst other contractual rights. These redeemable securities involve multiple contractual obligations on the part of the Fund and therefore meet the criteria for classification as financial liabilities. The Fund’s obligation for net assets attributable to securityholders is measured at FVTPL, with fair value being the redemption amount as of the reporting date. The fair value of net assets presented in the financial statements is consistent with the net asset values calculated in accordance with securities regulations for the purchase and redemption of the Fund’s redeemable securities.


3. SIGNIFICANT ACCOUNTING POLICIES (continued)

(h) Commissions and other portfolio transaction costs

Commissions and other portfolio transaction costs are costs incurred to acquire, dispose or otherwise transact financial assets or liabilities. They include fees and commissions paid to agents, exchanges, brokers and dealers, and other intermediaries.

(i) Increase (decrease) in net assets attributable to securityholders from operations

Increase (decrease) in net assets attributable to securityholders from operations per security for a series in the Statement of Comprehensive Income represents the weighted average increase (decrease) in net assets attributable to securityholders from operations for the series, per security outstanding during the period.

(j) Offsetting

Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position only when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously. In the normal course of business, the Fund enters into various master netting agreements or similar agreements that do not meet the criteria for offsetting in the Statement of Financial Position but still allow for the related amounts to be set off in certain circumstances, such as bankruptcy or termination of the contracts.

Note 12 presents the amounts, if any, subject to master netting arrangements or other similar agreements and the net impact to the Statements of Financial Position if all such rights were exercised.

(k) Future accounting changes

The Fund has determined there are no material implications to the Fund’s financial statements arising from IFRS issued but not yet effective.

4. USE OF ACCOUNTING JUDGMENTS AND ESTIMATES

The preparation of financial statements in accordance with IFRS requires judgments, estimates and assumptions that affect the application of accounting policies and reported amounts of assets and liabilities at the reporting date and the reported amounts of income and expenses during the period. However, existing circumstances and assumptions may change due to market changes or circumstances arising beyond the control of the Fund. Such changes are reflected in the assumptions when they occur.The outbreak of the novel coronavirus (COVID-19) developed rapidly over the first three months of 2020, with the World Health Organization declaring it a pandemic on March 11, 2020, and governments around the world enacting emergency measures that resulted in business disruptions, volatility in markets and a global economic slowdown.The Manager uses judgment in assessing the impact from such events on assumptions and estimates applied in reporting the assets and liabilities in the Fund’s financial statements at March 31, 2020. The impact to the assumptions and estimates applied in these financial statements, if any, is described in Note 12.The duration and impact of the COVID-19 pandemic on businesses and markets, and the extent of economic relief measures provided by governments and central banks, are unknown at the reporting date and it is therefore not possible to reliably estimate the impact on the financial results and position of the Fund in future periods.The following discusses the most significant accounting judgments and estimates made in preparing the financial statements:(a) Functional currency

The Fund’s functional and presentation currency is the Canadian dollar, which is the currency considered to most faithfully represent the economic effects of the Fund’s underlying transactions, events and conditions taking into consideration the manner in which securities are issued and redeemed and how returns and performance by the Fund are measured.

(b) Classification of financial instruments

In classifying and measuring financial instruments held by the Fund, the Manager is required to make significant judgments in determining the most appropriate classification in accordance with IFRS 9. The Manager has assessed the Fund’s business model, the manner in which all financial assets and financial liabilities are managed and performance evaluated as a group on a fair value basis, and concluded that FVTPL in accordance with IFRS 9 provides the most appropriate measurement and presentation of the Fund’s financial assets and financial liabilities.

(c) Estimations of fair value

The Fund may, from time to time, hold investments that are not quoted in active markets, such as unlisted securities or private securities. To estimate fair value, the Manager uses valuation techniques that make use of observable data, to the extent practicable. The Fund categorizes the fair value of its assets and liabilities into three categories, which are differentiated based on the observable nature of the inputs and extent of estimation required.

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 – Inputs other than quoted prices that are observable for the asset or liability either directly or indirectly. Examples of Level 2 valuations include quoted prices for similar securities, quoted prices on inactive markets and from recognized investment dealers, and the application of factors derived from observable data to non-North American quoted prices in order to estimate the impact of differences in market closing times. The estimated fair values for these securities may be different from the values that would have been used had a ready market for the investment existed.

Level 3 – Inputs that are not based on observable market data. Various valuation techniques are utilized, depending on each situation. These methods and procedures may include, but are not limited to, performing comparisons with prices of comparable or similar securities, obtaining relevant information from issuers and/or other analytical data relating to the investment, and recent arm’s length transactions. Key inputs and assumptions used are usually security specific and may include estimated discount rates, credit risk, volatility, correlations, and future cash flows. Changes in key inputs and assumptions could affect the reported fair value of these financial instruments held by the Fund. The estimated fair values for these securities may be significantly different from the values that would have been used had a ready market for the investment existed.

See Note 12 for the fair value classifications of the Fund.

(d) Structured entities

In determining whether unlisted open-ended investment funds or ETFs in which the Fund invests, but that it does not consolidate, meet the definition of a structured entity, the Manager is required to make significant judgments about whether the Underlying Funds or ETFs have the typical characteristics of a structured entity. The Manager has assessed the characteristics of the Underlying Funds and ETFs and has concluded that they do not meet the definition of a structured entity because the Fund does not have contracts or financing arrangements with the Underlying Funds or ETFs and does not have an ability to influence the activities of the Underlying Funds or ETFs or the return it receives from its investment.

5. FEES AND OTHER EXPENSES

(a) The Fund is responsible for the payment of certain expenses related to its operation including taxes (including but not limited to GST/HST and income tax), transaction costs related to the purchase and sale of investments and derivatives, interest and borrowing costs, and Independent Review Committee (IRC) costs.

(b) The Manager provides or arranges for the provision of investment and advisory services, and administrative services. The Trustee is responsible for the overall direction and management of the Fund.

(c) GST/HST paid by the Fund on its expenses is not recoverable. In these financial statements, reference to GST/HST includes QST (Quebec sales tax), as applicable.

(d) Other expenses are comprised of bank charges and other miscellaneous expenses.

(e) The Manager may, at its discretion, pay certain expenses of a Fund so that the Fund’s performance remains competitive; however, there is no assurance that this will occur in the future. Any expenses absorbed by the Manager during the periods have been reported in the Statements of Comprehensive Income.

(f) Investment in Underlying Funds will be in series that do not pay fees. The ETFs into which the Fund may invest may have their own fees and expenses which reduce the value of the ETF. Generally, the Manager has determined that fees paid by an ETF are not duplicative with the fees paid by the Fund. However, where the ETF is managed by Mackenzie Financial Corporation, the ETF may distribute a fee rebate to the Fund to offset fees paid within the ETF. There is no assurance that these distributions will continue in the future.

6. INCOME TAXES

As a unit trust, the Fund, under the provisions of the Income Tax Act (Canada), is subject to tax on its income including net realized capital gains, which is not paid or payable to its securityholders. The Fund maintains a December year-end for tax purposes. The Fund may be subject to withholding taxes on foreign income. In general, the Fund treats withholding tax as a charge against income for tax purposes. The Fund will distribute sufficient amounts from net income for tax purposes, as required, so that the Fund will not pay income taxes.See Note 12 for the losses that were available to offset future income for tax purposes as at the last taxation year-end. The net capital losses can be carried forward indefinitely to reduce future realized capital gains. The non-capital losses may be utilized to reduce taxable income of future years and expire in December of the years indicated.


7. COMMISSIONS AND OTHER PORTFOLIO TRANSACTION COSTS

The total brokerage commissions incurred by the Fund in connection with portfolio transactions for the periods, together with other transaction charges, is disclosed in the Statements of Comprehensive Income. Brokerage business is allocated to brokers based on the best net result for the Fund. Subject to this criteria, commissions may be paid to brokerage firms which provide (or pay for) certain services, other than order execution, which may include investment research, analysis and reports, and databases or software in support of these services. Where applicable and ascertainable, the value of third-party services that were paid for by brokers during the periods is disclosed in Note 12. The value of certain proprietary services provided by brokers cannot be reasonably estimated.

8. GUARANTEES AND INDEMNITIES

Agreements between the individual members of the Fund’s IRC and the Trustee, on behalf of the Fund, provides for the indemnification of each IRC member by the Fund from and against liabilities and costs in respect of any action or suit against the member by reason of being or having been a member of the IRC, provided that the member acted honestly and in good faith with a view to the best interest of the Fund, or, in the case of a criminal or administrative action or proceeding that is enforced by a monetary penalty, that they had reasonable grounds for believing that his/her conduct was lawful. No claims with respect to such occurrences have been made and, as such, no amount has been recorded in these financial statements with respect to these indemnifications.

9. CAPITAL MANAGEMENT

The capital structure of the Fund consists of redeemable securities. The net capital received by the Fund is managed in accordance with the investment objective and strategies of the Fund and to maintain adequate liquidity to meet securityholder redemption requests. The Fund is not subject to externally imposed capital requirements and has no legal restrictions on the issue or redemption of securities beyond those included in the Fund’s prospectus. Securities issued, reinvested and redeemed during the periods are reflected in the Statements of Changes in Financial Position.

10. FINANCIAL INSTRUMENT RISK

The Fund’s investment activities expose it to a variety of financial risks. See the Schedule of Investments for additional information about the securities, Underlying Funds and ETFs, if any, held by the Fund as at the end of the period. Where significant, Note 12 presents the Fund’s exposure, directly and, if applicable, indirectly through investments in Underlying Funds, ETFs and/or derivative contracts, to financial instrument risks, as indicated below.(a) Risk management

The Manager seeks to minimize potential adverse effects of financial instrument risks on the Fund’s performance by employing professional, experienced portfolio advisors, daily monitoring of the Fund’s positions and market events, and diversifying the investment portfolio within the constraints of the investment objective. To assist in managing risk, the Manager also uses internal guidelines that identify the target exposures for each type of risk, maintains a governance structure that oversees the Fund’s investment activities and monitors compliance with the Fund’s stated investment strategy, internal guidelines and securities regulations.

(b) Liquidity risk

Liquidity risk arises when the Fund encounters difficulty in meeting its financial obligations as they come due. The Fund is exposed to liquidity risk due to potential daily cash redemptions of redeemable securities. In order to monitor the liquidity of its assets, the Fund utilizes a liquidity risk management program that calculates the number of days to convert the investments held by the Fund into cash using a multi-day liquidation approach. This liquidity risk analysis assesses the Fund’s liquidity against predetermined minimum liquidity percentages, established for different time periods, and is monitored quarterly. In addition, the Fund has the ability to borrow up to 5% of its net assets for the purposes of funding redemptions. In order to comply with securities regulations, the Fund must maintain at least 90% of its assets in liquid investments (i.e., investments that can be readily sold).

(c) Currency risk

Currency risk is the risk that financial instruments which are denominated or exchanged in a currency other than the Canadian dollar, which is the Fund’s functional currency, will fluctuate due to changes in exchange rates. Generally, foreign denominated investments increase in value when the value of the Canadian dollar (relative to foreign currencies) falls. Conversely, when the value of the Canadian dollar rises relative to foreign currencies, the values of foreign denominated investments fall.

Note 12 indicates the foreign currencies, if applicable, to which the Fund had significant exposure, including both monetary and non-monetary financial instruments, and illustrates the potential impact, in Canadian dollar terms, to the Fund’s net assets had the Canadian dollar strengthened or weakened by 5% relative to all foreign currencies, all other variables held constant. In practice, the actual trading results may differ, and the difference could be material.

The Fund’s sensitivity to currency risk illustrated in Note 12 includes potential indirect impacts from Underlying Funds and ETFs in which the Fund invests, and/or derivative contracts including forward currency contracts. Other financial assets and liabilities (including dividends and interest receivable, and receivables/payables for investments sold/purchased) that are denominated in foreign currencies do not expose the Fund to significant currency risk.

(d) Interest rate risk

Interest rate risk arises on interest-bearing financial instruments. The Fund is exposed to the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. Generally, these securities increase in value when interest rates fall and decrease in value when interest rates rise.

If significant, Note 12 summarizes the Fund’s interest-bearing financial instruments by remaining term to maturity and illustrates the potential impact to the Fund’s net assets had prevailing interest rates increased or decreased by 1%, assuming a parallel shift in the yield curve, all other variables held constant. The Fund’s sensitivity to interest rate changes was estimated using weighted average duration, and a valuation model that estimates the impact to the fair value of mortgages based on changes in prevailing interest rates in a manner consistent with the valuation policy for mortgages. In practice, the actual trading results may differ and the difference could be material.

The Fund’s sensitivity to interest rate risk illustrated in Note 12 includes potential indirect impacts from Underlying Funds and ETFs in which the Fund invests, and/or derivative contracts. Cash and cash equivalents and other money market instruments are short term in nature and are not generally subject to significant amounts of interest rate risk.

(e) Credit risk

Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Fund. Note 12 summarizes the Fund’s exposure, if significant, to credit risk. Indirect exposure to credit risk may arise from fixed-income securities, such as bonds, held by Underlying Funds and ETFs, if any. The fair value of fixed-income securities held by Underlying Funds and ETFs includes consideration of the creditworthiness of the issuer.

All transactions in listed securities are settled/paid for upon delivery using approved third-party brokers. The risk of default is considered minimal, as delivery of investments sold by the Fund is only made once the broker has received payment. Payment is made by the Fund on a purchase only once the investments have been received by the broker.

The carrying amount of investments represents the maximum credit risk exposure. The carrying amount of other assets also represents the maximum credit risk exposure, as they will be settled in the short term.

The Fund may enter into securities lending transactions with counterparties whereby the Fund temporarily exchanges securities for collateral with a commitment by the counterparty to deliver the same securities on a future date. Credit risk associated with these transactions is considered minimal as all counterparties have a sufficient, approved credit rating and the value of cash or securities held as collateral must be at least 102% of the fair value of the investments loaned.

(f) Other price risk

Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from interest rate or currency risk), whether caused by factors specific to an individual investment, its issuer or other factors affecting all instruments traded in a market or market segment. All investments present a risk of loss of capital. The Manager moderates this risk through a careful selection of securities and other financial instruments within the parameters of the investment strategies. Except for certain derivative contracts, the maximum risk resulting from financial instruments is equivalent to their fair value. The maximum risk of loss on certain derivative contracts such as forwards, swaps and futures contracts is equal to their notional values. In the case of written call (put) options and futures contracts sold short, the maximum loss to the Fund increases, theoretically without limit, as the fair value of the underlying security increases (decreases). However, these instruments are generally used within the overall investment management process to manage the risk from the underlying investments and do not typically increase the overall risk of loss to the Fund.

Other price risk typically arises from exposure to equity and commodity securities. If significant, Note 12 illustrates the potential increase or decrease in the Fund’s net assets, had the prices on the respective exchanges for these securities increased or decreased by 10%, all other variables held constant. In practice, the actual trading results may differ and the difference could be material.

The Fund’s sensitivity to other price risk illustrated in Note 12 includes potential indirect impacts from Underlying Funds and ETFs in which the Fund invests, and/or derivative contracts.

In addition, if the Fund invests in Investors Real Property Fund, the Fund is exposed to the risk that the value of the Underlying Fund could change as a result of changes in the valuation of real properties. Valuations of real properties are sensitive to changes in capitalization rates. Note 12 also indicates the Fund’s sensitivity, if any, to a 25 basis point change in the weighted average capitalization rates.


11. OTHER INFORMATION

(a) Abbreviations

Foreign currencies, if any, are presented in these financial statements using the following abbreviated currency codes:

Currency Code Description

Currency Code Description

AUD Australian dollars MXN Mexican peso

BRL Brazilian real MYR Malaysian ringgit

CAD Canadian dollars NGN Nigerian naira

CHF Swiss franc NOK Norwegian krona

CKZ Czech koruna NTD New Taiwan dollar

CLP Chilean peso NZD New Zealand dollars

CNY Chinese yuan PEN Peruvian nuevo sol

COP Colombian peso PHP Philippine peso

DKK Danish krone PLN Polish zloty

EUR Euro RON Romanian leu

GBP United Kingdom pounds RUB Russian ruble

HKD Hong Kong dollars SEK Swedish krona

HUF Hungarian forint SGD Singapore dollars

IDR Indonesian rupiah THB Thailand baht

ILS Israeli sheqel TRL Turkish lira

INR Indian rupee USD United States dollars

JPY Japanese yen ZAR South African rand

KOR South Korean won ZMW Zambian kwacha

(b) Additional information available

A copy of the Fund’s current Simplified Prospectus, Annual Information Form and/or Management Report of Fund Performance, will be provided, without charge, by writing to: Investors Group Financial Services Inc., 447 Portage Avenue, Winnipeg, Manitoba, R3B 3H5 or, in Quebec, 2001, Robert-Bourassa Boulevard, Bureau 2000, Montreal, Quebec, H3A 2A6, or by calling toll-free 1-888-746-6344 (in Quebec 1-800-661-4578), or by visiting the IG Wealth Management website at www.ig.ca or SEDAR at www.sedar.com. Copies of financial statements for all IG Wealth Management Funds are also available upon request or by visiting the IG Wealth Management website at www.ig.ca or SEDAR at www.sedar.com.

12. FUND SPECIFIC INFORMATION

(a) Fund and series information

The fee rates in the table above are rounded to two decimals.Date operations commenced are shown if within 10 years.

The Fund aims to provide interest income by investing primarily in bonds and debentures of non-Canadian issuers.

The Manager has engaged PIMCO Canada Corp. as sub-advisor to assist in investment management and trade execution for the Fund.

(b) Income tax losses ($ 000)

Total Total Expiration year for non-capital losses capital loss non-capital loss 2026 2027 2028 2029 2030 after 2030

19 - - - - - - -

(c) Commissions

for the period ended ($ 000)

March 31, 2020 -

March 31, 2019 -

(d) Securities lending

Value of Value of securities collateral loaned received as at ($ 000) ($ 000)

March 31, 2020 12,944 13,624

March 31, 2019 - -

March 31, 2020 March 31, 2019

for the period ended ($ 000) (%) ($ 000) (%)

Gross securities lending income - - - -Tax withheld - - - -

- - - -Payments to securities lending agents - - - -

Securities lending income - - - -

(e) Financial instrument risk

i) Currency risk

As at March 31, 2020 and 2019, the Fund did not have a significant net exposure to currency risk, as the Fund entered into forward currency contracts to hedge the exposure from foreign securities.

ii) Interest rate risk

The tables below summarize the Fund’s exposure to interest rate risk.

Bond holdings

Impact on net assets

Increase by 1% Decrease by 1%

March 31, 2020 ($ 000) ($ 000) (%) ($ 000) (%)

Less than 1 year 2,661 1-5 years 34,157 5-10 years 97,054 Greater than 10 years 131,494

Total 265,366 (34,298) (11.5) 34,298 11.5

Interest sensitivity arising from other securities 1,512 0.5 (1,630) (0.6)

Total sensitivity to interest rate changes (32,785) (11.0) 32,668 10.9

Date operations Management Service Administration Trustee Series commenced fee (%) fee (%) fee (%) fee (%)Series P December 3, 2018 - - - -


ii) Interest rate risk (continued)

Bond holdings

Impact on net assets

Increase by 1% Decrease by 1%

March 31, 2019 ($ 000) ($ 000) (%) ($ 000) (%)

Less than 1 year 11,833 1-5 years 55,064 5-10 years 45,118 Greater than 10 years 80,025

Total 192,040 (20,014) (8.4) 20,014 8.3

Interest sensitivity arising from other securities (5,081) (2.1) 4,332 1.8

Total sensitivity to interest rate changes (25,095) (10.5) 24,346 10.1

iii) Credit risk

The Fund’s greatest concentration of credit risk is in fixed-income securities, such as bonds, and certain derivative contracts, if applicable. The maximum exposure to any one issuer as at March 31, 2020, was 14.2% (United States Treasury) of the net assets of the Fund (March 31, 2019 – 25.5% (United States Treasury)).

The tables below summarize the securities by credit rating:

Percent of total March 31, 2020 net assets (%)

AAA 11.6 AA 31.1 A 16.2 BBB 13.4 less than BBB 4.9 Unrated 13.0

Total 90.2

Percent of total March 31, 2019 net assets (%)

AAA 20.9 AA 31.1 A 6.8 BBB 7.2 less than BBB 3.5 Unrated 13.2

Total 82.7

iv) Other price risk

As at March 31, 2020 and 2019, the Fund did not have a significant exposure to other price risk.

v) Offsetting of financial assets and financial liabilities

The table below presents the recognized financial assets and financial liabilities that are subject to master netting arrangements or other similar agreements and the net impact on the Fund’s Statements of Financial Position if all set-off rights were exercised.

($ 000)

Gross amount presented in the Statement of

Financial Position Set-off amounts Net

March 31, 2020

Financial assets 4,042 (3,969) 73

Financial liabilities (21,581) 3,969 (17,612)

March 31, 2019

Financial assets 1,373 (1,055) 318

Financial liabilities (2,192) 1,055 (1,137)


12. FUND SPECIFIC INFORMATION

(e) Financial instrument risk

The tables below summarize the fair value of the Fund’s investments using the fair value categories described in Note 4.

as at March 31, 2020 ($ 000) Level 1 Level 2 Level 3 Total

Bonds - 265,366 - 265,366 Mutual funds - - - - Exchange Traded Funds - - - - Equities - - - - Short-term investments - 65,012 - 65,012 Derivative assets 402 9,080 - 9,482 Derivative liabilities (1,433) (24,768) - (26,201)

Total (1,031) 314,690 - 313,659

as at March 31, 2019 ($ 000) Level 1 Level 2 Level 3 Total

Bonds - 192,040 - 192,040 Mutual Funds - - - - Exchange Traded Funds - - - -Equities - - - - Short-term investments - 75,519 - 75,519 Derivative assets 397 5,570 - 5,967 Derivative liabilities (781) (3,941) - (4,722)

Total (384) 269,188 - 268,804

During the periods, there were no significant transfers between Level 1 and Level 2.


12. FUND SPECIFIC INFORMATION (continued)

(f) Fair value of investments

TO THE SECURITYHOLDERS OF PIMCO – IG GLOBAL BOND POOL (THE “FUND”)

Opinion

We have audited the financial statements of the Fund, which comprise the statements of financial position as at March 31, 2020 and 2019, and the statements of comprehensive income, changes in financial position and cash flows for the periods then ended, and indicated in note 1, and notes to the financial statements, including a summary of significant accounting policies (collectively referred to as the “financial statements”).

In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as at March 31, 2020 and 2019, and its financial performance and its cash flows for the periods then ended, as indicated in note 1, in accordance with International Financial Reporting Standards (“IFRS”).

Basis for Opinion

We conducted our audit in accordance with Canadian generally accepted auditing standards (“Canadian GAAS”). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Fund in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Other Information

Management is responsible for the other information. The other information comprises the Management Report of Fund Performance.

Our opinion on the financial statements does not cover the other information and we do not and will not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated.

We obtained the Management Report of Fund Performance prior to the date of this auditor’s report. If, based on the work we have performed on this other information, we conclude that there is a material misstatement of this other information, we are required to report that fact in this auditor’s report. We have nothing to report in this regard.

Responsibilities of Management and Those Charged with Governance for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with IFRS, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, management is responsible for assessing the Fund’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Fund’s financial reporting process.

Auditor’s Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian GAAS will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with Canadian GAAS, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.

• Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Fund to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards.

/s/ Deloitte LLP Chartered Professional Accountants

Winnipeg, Canada

July 17, 2020

Independent Auditor’s Report XXMARCH 31, 2020

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