FDP PORTFOLIOS INTERIM FINANCIAL STATEMENTS UNAUDITED STATEMENTS OF INVESTMENT PORTFOLIO

Transcription

1 FDP PORTFOLIOS INTERIM FINANCIAL STATEMENTS UNAUDITED STATEMENTS OF INVESTMENT PORTFOLIO AS AT JUNE 30,

2 INTERIM FINANCIAL STATEMENTS (UNAUDITED) NOTICE The following Interim Financial Statements unaudited have not been subject to a review by the Portfolio s external auditors.

3 TABLE OF CONTENT These unaudited interim financial statements include: // the statements of financial position as at, and December 31, ; // the statements of changes in net assets attributable to holders of redeemable units for the periods ended, and ; // the statements of comprehensive income for the periods ended, and ; // the statements of cash flows for the periods ended, and ; // the statements of investment securities as at, ; / / and the accompanying notes to the financial statements for the periods ended, and of the following Portfolios: FDP Balanced Portfolio 4 FDP Balanced Growth Portfolio 8 FDP Balanced Income Portfolio 12 FDP Canadian Bond Portfolio 16 FDP Cash Management Portfolio 24 FDP Short Term Fixed Income Portfolio 31 FDP Global Fixed Income Portfolio 39 FDP Canadian Equity Portfolio 51 FDP Canadian Dividend Equity Portfolio 57 FDP US Dividend Equity Portfolio 62 FDP Global Equity Portfolio 67 FDP US Index Equity Portfolio 74 FDP Emerging Markets Equity Portfolio 79 Notes to the interim financial statements 86

4 FDP BALANCED PORTFOLIO Statements of financial position As at (in thousands of Canadian dollars, except amounts per unit) December 31 (audited) Statements of changes in net assets attributable to holders of redeemable units For the six-month periods ended (in thousands of Canadian dollars) Assets Current assets Investments (Note 6) 407, ,362 Cash 1,745 1,875 Cash collateral receivable Subscriptions receivable Interest and dividends receivable , ,008 Liabilities Current liabilities Unrealized loss on futures contracts Redemptions payable Management fees payable Operating and executing expenses payable , ,305 Units outstanding, end of period (Note 10) 27,448 28,654 series A Net assets attributable to holders of redeemable units at the beginning of period 416, ,274 to holders of redeemable units 13,491 22, , ,648 Distributions to holders of redeemable units Net investment income distributed (2,358) (3,832) Total distributions to holders of redeemable units (2,358) (3,832) Redeemable unit transactions Proceeds from redeemable units issued 42, ,991 Redeemable units issued on reinvested distributions 2,358 3,831 Redemption of redeemable units (62,174) (188,200) Net increase (decrease) in redeemable unit transactions (17,372) (75,378) at the end of period 410, ,438 per unit Interim Financial Statements

5 FDP Balanced Portfolio Statements of comprehensive income For the six-month periods ended Statements of cash flows For the six-month periods ended (in thousands of Canadian dollars, except amounts per unit) (in thousands of Canadian dollars) Income Interest Dividends Income on investment funds 2,414 3,546 Other income 258 Net gains (losses) realized on investments sold 3,395 11,528 Net gains (losses) realized on swap contracts (563) 184 Net gains (losses) realized on foreign currencies (9) 38 Increase (decrease) in unrealized gains on investments 8,233 6,651 Increase (decrease) in unrealized gains on futures contracts (60) 133 Increase (decrease) in unrealized gains on foreign currencies 4 (9) 13,894 22,952 Expenses Management fees of the Fund s Manager (Note 8) Audit fees 5 5 Compensation of independent review committee members 2 1 Custodian fees Legal fees 6 6 Rights and filings Unitholder reporting costs Other 3 Interest 1 Transaction costs to holders of redeemable units, before taxes 13,548 22,454 Foreign withholding taxes (57) (80) to holders of redeemable units 13,491 22,374 Average weighted number of outstanding units during the period Series A 27,996 33,601 to holders of redeemable units per unit Series A Cash flows from operating activities to holders of redeemable units 13,491 22,374 Adjustments for: Net (gains) losses realized on investments sold (3,395) (11,528) Increase (decrease) in unrealized (gains) losses on investments (8,233) (6,651) Increase (decrease) in unrealized (gains) losses on futures contracts 60 (133) Increase (decrease) in unrealized (gains) losses on currencies (4) 9 Purchase of investments (37,266) (46,047) Proceeds from sale of investments 54, ,496 Change in non-cash working capital Cash collateral receivable 249 (328) Interest and dividends receivable Management fees payable (9) (22) Operating and executing expenses payable (18) (25) Net cash from (used in) operating activities 19,465 79,194 Cash flows used in financing activities Distributions to holders of redeemable units, net of reinvested distributions (1) Proceeds from redeemable units issued 42, ,993 Amounts paid on redemption of redeemable units (62,583) (188,088) Net cash from (used in) financing activities (19,599) (79,096) Net increase (decrease) in cash (134) 98 Increase (decrease) on unrealized gains on currencies 4 (9) Cash at the beginning of period 1,875 1,663 Cash at the end of period 1,745 1,752 Interest received included in operating activities 2,469 3,651 Dividends received included in operating activities Withholding taxes Interest paid included in operating activities 1 Interim Financial Statements 5

6 FDP Balanced Portfolio STATEMENT OF INVESTMENT SECURITIES As at, Money Market (1.71%) Par Average Fair Value Cost Value Issued and Guaranteed by the Government of Canada (1.71%) Government of Canada Treasury Bill 0.502%, ,000,000 6,994,622 6,994,622 Total Money Market 6,994,622 6,994,622 Number of Shares Investment Funds (97.74%) Bond Funds (41.55%) FDP Canadian Bond Portfolio 12,859, ,479, ,394,795 FDP Global Fixed Income Portfolio 1,377,594 13,704,126 12,996, ,183, ,391,020 Equity Funds (45.47%) FDP Canadian Equity Portfolio 6,022, ,207, ,549,621 FDP Emerging Markets Equity Portfolio 309,905 3,482,123 3,923,089 FDP Global Equity Portfolio 1,893,210 19,669,303 28,971, ,358, ,444,496 Index Funds (10.72%) ishares MSCI World Index ETF 145,000 5,721,016 5,663,700 ishares S&P/TSX 60 Index ETF 130,000 2,698,493 2,672,800 SPDR S&P 500 ETF Trust 130,934 30,765,522 35,629,316 39,185,031 43,965,816 Total Investment Funds 362,726, ,801,332 Adjustment for Transaction Costs (1,428) Total Investments (99.45%) 369,720, ,795,954 Futures Contracts (-0.03%) (123,090) Cash and Other Net Assets (0.58%) 2,393,316 Total Net Assets (100%) 410,066,180 SCHEDULE OF FUTURE CONTRACTS As at, Type Number of Contracts Long (Short) Settlement Date Notional Value Unrealized Gain (Loss) S&P500 EMINI Futures (32) September 16, USD (3,344,320) (123,090) (123,090) 6 Interim Financial Statements

7 FDP Balanced Portfolio Currency risk (Note 6) The following table is a summary, in Canadian dollars, of the Portfolio s direct exposure to currency risk, per currency. If the Canadian dollar had strengthened or weakened by 10% in relation to all other currencies, with all other variables held constant, the Portfolio s net assets and global return would have decreased or increased, respectively, by approximately 3,622,458 (December 31, : 4,012,657)., December 31, Currency Fair value % of net assets Fair value % of net assets U.S. Dollar 36,224, ,126, Credit risk (Note 6), December 31, Debt securities by credit rating % % AAA/Aaa/A-1/F Total The Portfolio is directly exposed to credit risk mainly through its investments in debt securities. The Portfolio s policy for managing credit risk is to invest in high-quality debt securities that provide a very high level of liquidities. Liquidity risk (Note 6) The Fund is exposed to cash redemptions on a daily basis. As at, and December 31,, the Fund has focused most of its assets in investments traded in an active market, which can be easily liquidated. The Fund also strives to maintain enough cash and cash equivalents to meet day-to-day liquidity needs. Interest rate risk (Note 6) Interestbearing instruments, December 31, Non interest- Interest- Non interestbearing bearing bearing instruments instruments instruments Investments 6,994, ,801, , ,362,734 Cash 1,745,527 1,874,942 Other assets 851,539 1,770,978 Liabilities 326, ,462 The Portfolio s policy is to manage price risk through diversification and the selection of investments that are within the limits established in the investment guidelines stated in the investment policy. A proportion between 35% and 60% of net assets attribuable to holders of redeemable units is invested in equity. The Portfolio invests mainly in our family of FDP Portfolios. Concentration risk (Note 6) The following table is a summary of the Portfolio s concentration risk. Percentages were calculated based on investment totals. Market segment, % December 31, % Bonds and fixed-income securities Canadian equities International equities American equities Cash and equivalents Financial instruments information (Note 7) The following table is a summary of the financial instruments carried at fair value to the financial situation and classified according to the fair value., Level 1 Level 2 Level 3 Total Equities and mutual funds 400,801, ,801,332 Money market instruments 6,994,622 6,994,622 Futures contracts (123,090) (123,090) Total 400,801,332 6,871, ,672,864 December 31, Level 1 Level 2 Level 3 Total Mutual funds 412,362, ,362,734 Money market instruments 999, ,673 Futures contracts (63,338) (63,338) Total 412,362, , ,299,069 For the period ended, and the year ended December 31,, there were no transfers between level 1 and level 2. If prevailing interest rates had raised or lowered by 1% (100 bps), with all other variables held constant, the Portfolio s net assets and global return would have increased or decreased, respectively, by approximately 10,540 (December 31, : 493). The information herein represents the Portfolio s direct exposure to risk. The Portfolio s policy is to hold between 40% and 65% of its net assets attributable to holders of redeemable units in interest-bearing assets. Price risk (Note 6), December 31, Fair value Change Fair value Change 400,801,332 40,080, ,362,734 41,236,273 If equity prices on all stock exchanges had increased or decreased by 10%, all other variables held constant, the Portfolio s net assets and global return would have increased or decreased, respectively, by approximately 40,080,133 (December 31, : 41,236,273). Interim Financial Statements 7

8 FDP BALANCED GROWTH PORTFOLIO Statements of financial position As at (in thousands of Canadian dollars, except amounts per unit) December 31 (audited) Statements of changes in net assets attributable to holders of redeemable units For the six-month periods ended (in thousands of Canadian dollars) Assets Current assets Investments (Note 6) 98,488 97,719 Cash 1,631 1,407 Cash collateral receivable 116 Subscriptions receivable Interest and dividends receivable ,437 99,433 Liabilities Current liabilities Unrealized loss on futures contracts 46 Redemptions payable 25 Management fees payable Operating and executing expenses payable ,321 99,379 Units outstanding, end of period (Note 10) 7,249 7,158 series A Net assets attributable to holders of redeemable units at the beginning of period 99, ,530 to holders of redeemable units 79 6,688 99, ,218 Distributions to holders of redeemable units Net investment income distributed (352) (639) Total distributions to holders of redeemable units (352) (639) Redeemable unit transactions Proceeds from redeemable units issued 26,502 40,764 Redeemable units issued on reinvested distributions Redemption of redeemable units (25,639) (56,633) Net increase (decrease) in redeemable unit transactions 1,215 (15,230) at the end of period 100, ,349 per unit Interim Financial Statements

9 FDP Balanced Growth Portfolio Statements of comprehensive income For the six-month periods ended Statements of cash flows For the six-month periods ended (in thousands of Canadian dollars, except amounts per unit) (in thousands of Canadian dollars) Income Interest Dividends Income on investment funds Other income 34 Net gains (losses) realized on investments sold 1,095 3,763 Net gains (losses) realized on swap contracts (14) Net gains (losses) realized on foreign currencies (41) 85 Increase (decrease) in unrealized gains on investments (1,340) 2,286 Increase (decrease) in unrealized gains on futures contracts (46) Increase (decrease) in unrealized gains on foreign currencies (3) (16) 327 6,946 Expenses Management fees of the Fund s Manager (Note 8) Audit fees 5 5 Compensation of independent review committee members 2 1 Custodian fees Legal fees 7 2 Rights and filings 8 8 Unitholder reporting costs 12 8 Other 3 Transaction costs to holders of redeemable units, before taxes 105 6,722 Foreign withholding taxes (26) (34) to holders of redeemable units 79 6,688 Average weighted number of outstanding units during the period Series A 7,218 8,256 to holders of redeemable units per unit Series A Cash flows from operating activities to holders of redeemable units 79 6,688 Adjustments for: Net (gains) losses realized on investments sold (1,095) (3,763) Increase (decrease) in unrealized (gains) losses on investments 1,340 (2,286) Increase (decrease) in unrealized (gains) losses on futures contracts 46 Increase (decrease) in unrealized (gains) losses on currencies 3 16 Purchase of investments (24,399) (23,229) Proceeds from sale of investments 23,385 36,887 Change in non-cash working capital Cash collateral receivable (116) Interest and dividends receivable 56 7 Management fees payable (6) (1) Operating and executing expenses payable (3) (14) Net cash from (used in) operating activities (710) 14,305 Cash flows used in financing activities Proceeds from redeemable units issued 26,551 40,804 Amounts paid on redemption of redeemable units (25,614) (56,637) Net cash from (used in) financing activities 937 (15,833) Net increase (decrease) in cash 227 (1,528) Increase (decrease) on unrealized gains on currencies (3) (16) Cash at the beginning of period 1,407 1,701 Cash at the end of period 1, Interest received included in operating activities Dividends received included in operating activities Withholding taxes Interim Financial Statements 9

10 FDP Balanced Growth Portfolio STATEMENT OF INVESTMENT SECURITIES As at, Money Market (2.49%) Par Average Fair Value Cost Value Issued and Guaranteed by the Government of Canada (2.49%) Government of Canada Treasury Bill 0.487%, ,500,000 2,498,139 2,498,139 Total Money Market 2,498,139 2,498,139 Number of Shares Investment Funds (95.68%) Bond Funds (26.66%) FDP Canadian Bond Portfolio 1,943,112 23,243,311 23,783,695 FDP Global Fixed Income Portfolio 313,658 3,088,658 2,959,046 26,331,969 26,742,741 Equity Funds (49.99%) FDP Canadian Equity Portfolio 894,170 21,889,793 22,797,768 FDP Emerging Markets Equity Portfolio 119,048 1,434,478 1,507,033 FDP Global Equity Portfolio 1,689,384 17,821,760 25,852,640 41,146,031 50,157,441 Index Funds (19.03%) ishares MSCI World Index ETF 205,000 8,040,406 8,007,300 SPDR S&P 500 ETF Trust 36,161 7,897,057 9,840,009 Vanguard FTSE Europe ETF 20,500 1,302,417 1,242,245 17,239,880 19,089,554 Total Investment Funds 84,717,880 95,989,736 Adjustment for Transaction Costs (8,560) Total Investments (98.17%) 87,207,459 98,487,875 Futures Contracts (-0.04%) (46,159) Cash and Other Net Assets (1.87%) 1,879,105 Total Net Assets (100%) 100,320,821 SCHEDULE OF FUTURE CONTRACTS As at, Type Number of Contracts Long (Short) Settlement Date Notional Value Unrealized Gain (Loss) S&P500 EMINI Futures (12) September 16, USD (1,254,120) (46,159) (46,159) 10 Interim Financial Statements

11 FDP Balanced Growth Portfolio Currency risk (Note 6) The following table is a summary, in Canadian dollars, of the Portfolio s direct exposure to currency risk, per currency. If the Canadian dollar had strengthened or weakened by 10% in relation to all other currencies, with all other variables held constant, the Portfolio s net assets and global return would have decreased or increased, respectively, by approximately 1,209,617 (December 31, : 1,980,053)., December 31, Currency Fair value % of net assets Fair value % of net assets U.S. Dollar 12,096, ,800, Credit risk (Note 6) December 31, Debt securities by credit rating % % AAA/Aaa/A-1/F Total The Portfolio is directly exposed to credit risk mainly through its investments in debt securities. The Portfolio s policy for managing credit risk is to invest in high-quality debt securities that provide a very high level of liquidities. Liquidity risk (Note 6) The Fund is exposed to cash redemptions on a daily basis. As at, and December 31,, the Fund has focused most of its assets in investments traded in an active market, which can be easily liquidated. The Fund also strives to maintain enough cash and cash equivalents to meet day-to-day liquidity needs. Interest rate risk (Note 6) Interestbearing instruments, December 31, Non interest- Interest- Non interestbearing bearing bearing instruments instruments instruments Investments 2,498,139 95,989,736 97,719,213 Cash 1,631,156 1,407,057 Other assets 317, ,434 Liabilities 115,702 53,903 If prevailing interest rates had raised or lowered by 1% (100 bps), with all other variables held constant, the Portfolio s net assets and global return would have increased or decreased, respectively, by approximately 3,764 (December 31, : 0). The information herein represents the Portfolio s direct exposure to risk. The Portfolio s policy is to hold between 20% and 55% of net assets attribuable to holders of redeemable units in interest-bearing assets. Price risk (Note 6), December 31, Fair value Change Fair value Change 95,989,736 9,598,974 97,719,213 9,771,921 If equity prices on all stock exchanges had increased or decreased by 10%, all other variables held constant, the Portfolio s net assets and global return would have increased or decreased, respectively, by approximately 9,598,974 (December 31, : 9,771,921). The Portfolio s policy is to manage price risk through diversification and the selection of investments that are within the limits established in the investment guidelines stated in the investment policy. A proportion between 45% and 80% of net assets attribuable to holders of redeemable units is invested in equity. The Portfolio invests mainly in our family of FDP s Portfolios. Concentration risk (Note 6) The following table is a summary of the Portfolio s concentration risk. Percentages were calculated based on total investments. Market segment, % December 31, % Cash and equivalents Bonds and fixed-income securities Canadian equities International equities American equities Index funds 1.30 Financial instruments information (Note 7) The following table is a summary of the financial instruments carried at fair value to the financial situation and classified according to the fair value., Level 1 Level 2 Level 3 Total Equities and mutual funds 95,989,736 95,989,736 Money market instruments 2,498,139 2,498,139 Futures contracts (46,159) (46,159) Total 95,989,736 2,451,980 98,441,716 December 31, Level 1 Level 2 Level 3 Total Mutual funds 97,719,213 97,719,213 Total 97,719,213 97,719,213 For the period ended, and the year ended December 31,, there were no transfers between level 1 and level 2. Interim Financial Statements 11

12 FDP BALANCED INCOME PORTFOLIO Statements of financial position As at (in thousands of Canadian dollars, except amounts per unit) December 31 (audited) Statements of changes in net assets attributable to holders of redeemable units For the six-month periods ended (in thousands of Canadian dollars) Assets Current assets Investments (Note 6) 180, ,267 Cash 621 1,145 Cash collateral receivable Subscriptions receivable , ,791 Liabilities Current liabilities Unrealized loss on futures contracts Redemptions payable Management fees payable 5 1 Operating and executing expenses payable , ,653 Units outstanding, end of period (Note 10) 16,449 16,814 series A Net assets attributable to holders of redeemable units at the beginning of period 182, ,065 to holders of redeemable units 3,304 6, , ,896 Distributions to holders of redeemable units Net investment income distributed (1,021) (1,757) Total distributions to holders of redeemable units (1,021) (1,757) Redeemable unit transactions Proceeds from redeemable units issued 21,258 48,165 Redeemable units issued on reinvested distributions 1,021 1,755 Redemption of redeemable units (26,211) (79,503) Net increase (decrease) in redeemable unit transactions (3,932) (29,583) at the end of period 181, ,556 per unit Interim Financial Statements

13 FDP Balanced Income Portfolio Statements of comprehensive income For the six-month periods ended Statements of cash flows For the six-month periods ended (in thousands of Canadian dollars, except amounts per unit) (in thousands of Canadian dollars) Income Interest 7 13 Dividends (12) Income on investment funds 1,077 1,764 Other income 59 Net gains (losses) realized on investments sold (422) 4,070 Net gains (losses) realized on swap contracts Net gains (losses) realized on foreign currencies (2) Increase (decrease) in unrealized gains on investments 2, Increase (decrease) in unrealized gains on futures contracts (47) 55 Increase (decrease) in unrealized gains on foreign currencies 4 3,355 6,905 Expenses Management fees of the Fund s Manager (Note 8) Audit fees 5 5 Compensation of independent review committee members 2 1 Custodian fees Legal fees 1 Rights and filings (1) 12 Unitholder reporting costs 1 3 Other 3 Transaction costs to holders of redeemable units 3,304 6,831 Average weighted number of outstanding units during the period Series A 16,640 18,444 to holders of redeemable units per unit Series A Cash flows from operating activities to holders of redeemable units 3,304 6,831 Adjustments for: Net (gains) losses realized on investments sold 422 (4,070) Increase (decrease) in unrealized gains on investments (2,657) (880) Increase (decrease) in unrealized gains (losses) on swap contracts 47 (55) Increase (decrease) in unrealized (gains) losses on foreign currencies (4) Purchase of investments (23,973) (42,462) Proceeds from sale of investments 27,198 71,267 Change in non-cash working capital Cash collateral receivable 127 (136) Management fees payable 4 (7) Operating and executing expenses payable (19) (8) Net cash from (used in) operating activities 4,449 30,503 Cash flows used in financing activities Distributions to holders of redeemable units, net of reinvested distributions (2) Proceeds from redeemable units issued 21,210 48,178 Amounts paid on redemption of redeemable units (26,187) (78,658) Net cash from (used in) financing activities (4,977) (30,482) Net increase (decrease) in cash (528) 21 Increase (decrease) on unrealized gains on currencies 4 Cash at the beginning of period 1, Cash at the end of period Interest received included in operating activities 1,084 1,777 Dividends received included in operating activities 13 Withholding taxes 2 Interim Financial Statements 13

14 FDP Balanced Income Portfolio STATEMENT OF INVESTMENT SECURITIES As at, Money Market (2.76%) Par Average Fair Value Cost Value Issued and Guaranteed by the Government of Canada (2.76%) Government of Canada Treasury Bill 0.491% ,000,000 4,996,248 4,996,248 Total Money Market 4,996,248 4,996,248 Investment Funds (96.84%) Bond Funds (64.58%) FDP Canadian Bond Portfolio 5,063,212 61,076,075 61,973,713 FDP Global Fixed Income Portfolio 588,928 5,837,452 5,555,945 FDP Short Term Fixed Income Portfolio 4,918,391 49,194,871 49,356, ,108, ,885,715 Equity Funds (32.26%) FDP Canadian Dividend Equity Portfolio 3,189,546 31,138,543 29,053,571 FDP Global Equity Portfolio 1,917,316 18,073,105 29,340,692 49,211,648 58,394,263 Total Investment Funds 165,320, ,279,978 Adjustment for Transaction Cost Total Investments (99.60%) 170,316, ,276,226 Futures Contracts (-0.04%) (73,085) Cash and Other Net Assets (0.44%) 801,154 Total Net assets (100%) 181,004,295 SCHEDULE OF FUTURE CONTRACTS As at, Type Number of Contracts Long (Short) Settlement Date Notional Value Unrealized Gain (Loss) S&P500 EMINI Futures (19) September 16, USD (1,985,690) (73,085) (73,085) 14 Interim Financial Statements

15 FDP Balanced Income Portfolio Currency risk (Note 6) The following table is a summary, in Canadian dollars, of the Portfolio s direct exposure to currency risk, per currency. If the Canadian dollar had strengthened or weakened by 10% in relation to all other currencies, with all other variables held constant, the Portfolio s net assets and global return would have decreased or increased, respectively, by approximately 13,933 (December 31, : 6,338)., December 31, Currency Fair value % of net assets Fair value % of net assets U.S. Dollar 139, , Credit risk (Note 6), December 31, Debt securities by credit rating % % AAA/Aaa/A-1/F Total The Portfolio is directly exposed to credit risk mainly through its investments in debt securities. The Portfolio s policy for managing credit risk is to invest in high-quality debt securities that provide a very high level of liquidities. Liquidity risk (Note 6) The Fund is exposed to cash redemptions on a daily basis. As at, and December 31,, the Fund has focused most of its assets in investments traded in an active market, which can be easily liquidated. The Fund also strives to maintain enough cash and cash equivalents to meet day-to-day liquidity needs. Interest rate risk (Note 6) Interestbearing instruments, December 31, Non interest- Interest- Non interestbearing bearing bearing instruments instruments instruments Investments 4,996, ,279, , ,866,845 Cash 621,547 1,145,387 Other assets 299, ,798 Liabilities 193, ,160 The Portfolio s policy is to manage price risk through diversification and the selection of investments that are within the limits established in the investment guidelines stated in the investment policy. A proportion between 20% and 45% of net assets attribuable to holders of redeemable units is invested in equity. The Portfolio invests mainly in our family of FDP s Portfolios. Concentration risk (Note 6) The following table is a summary of the Portfolio s concentration risk. Percentages were calculated based on total investments. Market segment, % December 31, % Cash and equivalents Bonds and fixed-income securities Canadian equities International equities Financial instruments information (Note 7) The following table is a summary of the financial instruments carried at fair value to the financial situation and classified according to the fair value., Level 1 Level 2 Level 3 Total Equities and mutual funds 175,279, ,279,978 Money market instruments 4,996,248 4,996,248 Futures contracts (73,085) (73,085) Total 175,279,978 4,923, ,203,141 December 31, Level 1 Level 2 Level 3 Total Mutual funds 180,866, ,866,845 Money market instruments 399, ,869 Futures contracts (26,551) (26,551) Total 180,866, , ,240,163 For the period ended, and the year ended December 31,, there were no transfers between level 1 and level 2. If prevailing interest rates had raised or lowered by 1% (100 bps), with all other variables held constant, the Portfolio s net assets would have increased or decreased, respectively, by approximately 7,529 (December 31, : 198). The Portfolio s policy is to hold between 55% and 80% of net assets attribuable to holders of redeemable units in interest-bearing assets. Price risk (Note 6), December 31, Fair value Change Fair value Change 175,279,978 17,527, ,866,845 18,086,685 If equity prices on all stock exchanges had increased or decreased by 10%, all other variables held constant, the Portfolio s net assets and global return would have increased or decreased, respectively, by approximately 17,527,998 (December 31, : 18,086,685). Interim Financial Statements 15

16 FDP CANADIAN BOND PORTFOLIO Statements of financial position As at (in thousands of Canadian dollars, except amounts per unit) December 31 (audited) Statements of changes in net assets attributable to holders of redeemable units For the six-month periods ended (in thousands of Canadian dollars) Assets Current assets Investments (Note 6) 439, ,826 Cash 1, Subscriptions receivable Proceeds from sale of investments receivable 55,501 Interest and dividends receivable 1,943 1, , ,302 Liabilities Current liabilities Short sale 2,515 Redemptions payable Management fees payable Securities purchased 55,330 Operating and executing expenses payable Other liabilities payable 14 58, , ,886 Series A 352, ,440 Series I 87,587 73,446 Units outstanding, end of period Series A 28,790 30,424 Units outstanding, end of period Series I 8,583 7,397 per unit Series A per unit Series I series A Net assets attributable to holders of redeemable units at the beginning of period 362, ,474 to holders of redeemable units 12,761 7, , ,879 Distributions to holders of redeemable units Net investment income distributed (3,091) (3,604) Total distributions to holders of redeemable units (3,091) (3,604) Redeemable unit transactions Proceeds from redeemable units issued 17,236 61,021 Redeemable units issued on reinvested distributions 3,091 3,604 Redemption of redeemable units (40,065) (64,010) Net increase (decrease) in redeemable unit transactions (19,738) 615 at the end of period 352, ,890 SERIES I Net assets attributable to holders of redeemable units at the beginning of period 73,446 to holders of redeemable units 3,331 (10) 76,777 (10) Distributions to holders of redeemable units Net investment income distributed (1,067) (338) Total distributions to holders of redeemable units (1,067) (338) Redeemable unit transactions Proceeds from redeemable units issued 20,034 49,261 Redeemable units issued on reinvested distributions 1, Redemption of redeemable units (9,224) (1,980) Net increase (decrease) in redeemable unit transactions 11,877 47,619 at the end of period 87,587 47, Interim Financial Statements

17 FDP Canadian Bond Portfolio Statements of changes in net assets attributable to holders of redeemable units (continued) Statements of comprehensive income For the six-month periods ended For the six-month periods ended (in thousands of Canadian dollars) (in thousands of Canadian dollars, except amounts per unit) Total Portfolios Net assets attributable to holders of redeemable units at the beginning of period 435, ,474 to holders of redeemable units 16,092 7, , ,869 Distributions to holders of redeemable units Net investment income distributed (4,158) (3,942) Total distributions to holders of redeemable units (4,158) (3,942) Redeemable unit transactions Proceeds from redeemable units issued 37, ,282 Redeemable units issued on reinvested distributions 4,158 3,942 Redemption of redeemable units (49,289) (65,990) Net increase (decrease) in redeemable unit transactions (7,861) 48,234 at the end of period 439, ,161 Income Interest 6,201 5,161 Dividends 56 6 Income on investment funds Net gains (losses) realized on investments sold 2,563 4,544 Net gains (losses) realized on foreign currencies (28) Increase (decrease) in unrealized gains on investments 9,558 (831) 18,408 9,325 Expenses Management fees of the Fund s Manager (Note 8) 1,923 1,714 Audit fees 5 5 Compensation of independent review committee members 1 Custodian fees Legal fees Rights and filings Unitholder reporting costs Other Transaction costs ,316 1,930 to holders of redeemable units, before taxes 16,092 7,395 to holders of redeemable units 16,092 7,395 to holders of redeemable units Series A 12,761 7,405 to holders of redeemable units Series I 3,331 (10) Average weighted number of outstanding units during the period Series A 29,950 30,560 Average weighted number of outstanding units during the period Series I 7,846 2,748 to holders of redeemable units per unit Series A to holders of redeemable units per unit Series I (0.004) Interim Financial Statements 17

18 FDP Canadian Bond Portfolio Statements of cash flows For the six-month periods ended (in thousands of Canadian dollars) Cash flows from operating activities to holders of redeemable units 16,092 7,395 Adjustments for: Net (gains) losses realized on investments sold (2,563) (4,544) Increase (decrease) in unrealized (gains) losses on investments (9,729) 1,066 Purchase of investments (2,643,638) (3,919,443) Proceeds from sale of investments 2,652,469 3,872,055 Change in non-cash working capital Interest and dividends receivable 31 (422) Management fees payable 6 23 Operating and executing expenses payable 13 (95) Dividend expenses payable 14 Net cash from (used in) operating activities 12,695 (43,965) Cash flows used in financing activities Proceeds from redeemable units issued 37, ,610 Amounts paid on redemption of redeemable units (49,227) (65,746) Net cash from (used in) financing activities (11,990) 43,864 Net increase (decrease) in cash 705 (101) Cash at the beginning of period Cash at the end of period 1, Interest received included in operating activities 6,277 5,212 Dividends received included in operating activities 41 6 Withholding taxes 6 Dividends paid 5 18 Interim Financial Statements

19 FDP Canadian Bond Portfolio STATEMENT OF INVESTMENT SECURITIES As at, Par Average Fair Value Cost Value Long Positions (99.92%) Money Market (12.43%) Municipalities and Subsidized Issuers (9.61%) City of Baie-Comeau 4.450%, , , ,706 City of Beauharnois 2.650%, , , ,125 City of Beloeil 1.450%, , , , %, , , ,676 City of Blainville 1.750%, , , , %, , , , %, , , ,198 City of Châteauguay 2.000%, , , ,141 City of Contrecoeur 1.300%, , , ,243 City of Dollard-des-Ormeaux 2.700%, , , ,310 City of Gatineau 4.250%, , , ,652 City of Granby 1.400%, , , ,747 City of Joliette 2.300%, , , ,192 City of Lévis 2.400%, , , ,139 City of Longueuil 1.350%, ,119,000 3,110,704 3,110, %, , , ,628 City of Mirabel 1.750%, , , ,537 City of Repentigny 1.400%, ,323,000 1,321,720 1,321,720 City of Rimouski 2.500%, , , ,355 City of Rivière-du-Loup 1.400%, , , ,710 City of Rouyn-Noranda 1.500%, , , ,182 City of Saguenay 2.150%, , , ,411 City of Sainte-Thérèse 2.750%, , , ,189 City of Saint-Eustache 2.950%, ,000,000 2,006,098 2,006,098 City of Saint-Hyacinthe 1.400%, , , ,404 City of Saint-Jean-sur-Richelieu 2.050%, , , ,478 City of Salaberry-de-Valleyfield 1.400%, ,148,000 1,147,183 1,147, %, ,500,000 1,511,370 1,511, %, , , ,864 Par Average Fair Value Cost Value City of Shawinigan 1.150%, , , , %, ,207,000 1,205,629 1,205, %, , , ,396 City of Sherbrooke 2.150%, , , , %, , , , %, ,550,000 2,558,340 2,558,340 City of Terrebonne 1.400%, ,999,000 2,995,076 2,995, %, , , ,559 City of Trois-Rivieres 1.400%, ,500,000 1,498,623 1,498, %, ,869,000 2,864,823 2,864, %, , , ,306 City of Val-d Or 1.400%, , , ,467 Kativik Regional Government 1.400%, , , ,129 Quebec City 1.900%, ,111,000 2,124,898 2,124, %, ,000,000 4,033,360 4,033,360 Town of Île Perrot 1.500%, , , ,393 Town of Mont Saint-Hilaire 1.400%, , , , %, , , ,931 Town of Mont-Laurier 2.700%, , , ,197 42,285,112 42,285,112 Corporations (2.82%) Canadian Imperial Bank of Commerce 0.790%, ,300,000 1,298,403 1,298,403 Laval University 4.800%, , , ,029 Montreal Metropolitan Community 2.250%, ,633,000 2,652,194 2,652,194 Réseau de transport de la Capitale 1.400%, ,700,000 1,698,158 1,698, %, ,041,000 2,033,437 2,033, %, ,000,000 1,993,324 1,993,324 Réseau de transport de Longueuil 1.300%, , , ,967 Société de transport de l Outaouais 1.450%, ,117,000 1,113,077 1,113,077 The Toronto-Dominion Bank 0.729%, , , ,785 12,398,374 12,398,374 Total Money Market 54,683,486 54,683,486 Interim Financial Statements 19

20 FDP Canadian Bond Portfolio STATEMENT OF INVESTMENT SECURITIES As at, Bonds (85.89%) Par Average Fair Value Cost Value Issued and Guaranteed by the Government of Canada (13.90%) Canada Housing Trust No %, ,000, ,214 1,072, %, ,700,000 1,806,962 1,849, %, ,500,000 1,648,992 1,671,094 Government of Canada 4.000%, ,650,000 7,789,343 8,229, %, ,000,000 1,070,690 1,070, %, ,800,000 19,194,998 20,185, %, ,400,000 8,075,113 8,187, %, ,700,000 18,513,068 18,888,276 59,091,380 61,154,625 Issued and Guaranteed by a Province (30.80%) Province of Alberta 3.450%, ,000,000 2,133,210 2,202,629 Province of British Columbia 2.850%, ,000,000 1,042,701 1,091, %, ,500,000 2,510,811 2,757, %, ,000,000 1,231,112 1,327, %, ,000,000 1,346,640 1,383,389 Province of Manitoba 2.550%, ,800,000 3,673,528 4,022, %, ,400,000 1,292,706 1,377, %, ,000,000 1,043,503 1,109,780 Province of New Brunswick 3.550%, ,000, ,580 1,076,336 Province of Ontario 2.600%, ,400,000 8,745,544 8,931, %, ,200,000 12,147,904 12,322, %, ,400,000 21,519,985 22,001, %, ,300,000 4,481,202 4,903, %, ,500,000 3,240,341 3,278, %, ,000,000 2,666,979 2,679, %, ,000,000 5,929,132 6,561, %, ,000,000 5,187,021 5,731, %, ,500,000 1,940,767 2,155,585 Province of Quebec 2.750%, ,000,000 5,200,955 5,368, %, ,900,000 5,144,577 5,366, %, ,800,000 10,804,810 11,003, %, ,800,000 3,920,042 4,331, %, ,100,000 4,874,548 5,224, %, ,700,000 2,076,612 2,321, %, ,700,000 6,091,365 6,564, %, ,500,000 3,390,595 3,660, %, ,500,000 2,058,195 2,109, %, ,500,000 3,359,292 3,688,193 Province of Saskatchewan 2.750%, ,000, , , ,906, ,524,466 Par Average Fair Value Cost Value Municipalities and Subsidized Issuers (5.77%) City of Brossard 2.350%, ,000,000 1,976,059 2,030,800 City of Drummondville 1.300%, , , , %, , , ,598 City of Kirkland 1.550%, , , ,178 City of Laval 1.750%, ,043,000 1,036,919 1,049, %, ,242,000 3,256,168 3,274,890 City of Montreal 3.000%, ,000,000 1,006,260 1,057, %, ,000,000 1,066,759 1,127,586 City of Quebec 2.100%, ,400,000 4,448,092 4,471,324 City of Quebec 4.100%, ,416,000 1,537,040 1,542,477 City of Repentigny 3.000%, , , ,439 City of Saint-Lambert 2.250%, , , ,310 City of Salaberry-de-Valleyfield 2.300%, , , ,572 City of Sherbrooke 2.150%, ,250,000 1,253,594 1,251, %, ,000,000 3,001,110 3,023, %, ,100,000 3,085,087 3,132,803 25,109,118 25,399,243 Corporations (35.42%) 407 International Inc %, ,000,000 1,050,595 1,108, %, ,200,000 1,188,352 1,285, %, ,000,000 1,323,011 1,394,755 Aéroports de Montréal 3.919%, ,000,000 1,000,042 1,127, %, ,200,000 1,671,089 1,738,428 Alimentation Couche-Tard Inc %, ,000,000 3,157,068 3,255,623 AltaGas Ltd %, , , , %, ,000,000 1,074,420 1,036,055 AltaLink, LP 3.668%, ,000,000 1,000,000 1,110,662 American Express Canada Credit Corporation 2.310%, ,000, ,720 1,017,173 Bank of Montreal 1.880%, ,000,000 5,014,950 5,072, %, ,000,000 1,999,620 2,049, %, ,500,000 1,502,620 1,533, %, ,000,000 1,999,720 2,024,282 bcimc Realty Corporation 2.840%, ,000,000 1,998,960 2,094, Interim Financial Statements

21 FDP Canadian Bond Portfolio STATEMENT OF INVESTMENT SECURITIES As at, Par Average Fair Value Cost Value Corporations (continued) Bell Canada 3.350%, ,000,000 2,099,140 2,091, %, ,000,000 2,006,191 2,124, %, , , , %, ,300,000 2,421,481 2,409, %, , , ,322 Brookfield Asset Management Inc %, , , , %, , , ,008 Brookfield Renewable Energy Partners ULC 4.790%, , , ,937 Caisse Centrale Desjardins 1.748%, ,300,000 3,289,218 3,323, %, ,000,000 3,054,630 3,097,934 Canadian Imperial Bank of Commerce 1.390%, ,000,000 1,000,000 1,001, %, ,000,000 4,006,444 4,035, %, ,000,000 1,004,180 1,014, %, ,000,000 3,997,920 4,063,027 Canadian National Railway Company 2.750%, ,000,000 1,004,112 1,054,146 Canadian Natural Resources Limited 2.890%, , , ,476 CARDS II Trust 2.155%, ,000,000 3,000,000 3,079,811 Choice Properties Real Estate Investment Trust 3.196%, ,000,000 1,000,000 1,043, %, ,500,000 1,581,540 1,590, %, ,000,000 1,000,000 1,086,247 CIBC Capital Trust 9.976%, ,000,000 1,301,978 1,196,207 CT Real Estate Investment Trust 2.852%, ,600,000 1,600,000 1,645, %, ,000, ,790 1,043,178 CU Inc %, ,500,000 1,500,000 1,662,887 Dollarama Inc %, ,000, , ,663 Enbridge Gas Distribution Inc %, , , ,007 First Capital Realty Inc %, ,000,000 1,004,580 1,147, %, ,500,000 1,602,870 1,609,466 Ford Credit Canada Limited 2.923%, ,500,000 2,503,540 2,553,116 Gaz Metro Inc %, ,000, ,650 1,004, %, , , ,929 George Weston Limited 4.115%, ,000,000 1,000,000 1,102,780 Greater Toronto Airports Authority 7.050%, ,200,000 1,663,800 1,753,649 Great-West Lifeco Inc %, ,000,000 1,083,485 1,113,532 Health Montreal Collective LP 6.721%, ,000,000 1,219,316 1,377,029 Par Average Fair Value Cost Value Honda Canada Finance Inc %, ,000,000 1,000,000 1,020,900 HSBC Bank Canada 2.938%, ,500,000 2,588,109 2,584,168 Husky Energy Inc %, , , ,289 Hydro One Inc %, ,700,000 1,967,770 2,061,998 Intact Financial Corporation 5.410%, ,300,000 1,342,913 1,437,410 Loblaw Companies Limited 5.220%, ,000,000 1,138,508 1,127, %, , , ,372 Lower Mattagami Energy LP 4.331%, , , ,384 Magna International, Inc %, ,000, ,870 1,045,956 Metro Inc %, ,900,000 1,899,772 2,001,780 North Battleford Power LP 4.958%, , ,732 1,079,927 Nova Scotia Power Inc %, , , ,265 Pembina Pipeline Corporation 3.540%, ,200,000 1,196,076 1,205, %, , , ,553 PSP Capital Inc %, ,000, ,490 1,110,381 Réseau de transport de la Capitale 2.000%, ,152,000 2,152,389 2,153,313 Réseau de transport de Longueuil 2.550%, ,300,000 1,315,665 1,312,535 RioCan Real Estate Investment Trust 3.620%, ,000,000 1,059,590 1,060,323 Rogers Communications Inc %, ,000,000 2,184,348 2,292, %, ,800,000 2,001,613 2,006, %, , , ,944 Royal Bank of Canada 1.968%, ,000,000 1,994,860 2,023, %, ,000,000 5,044,270 5,095, %, ,700,000 2,745,115 2,779, %, ,000,000 1,033,260 1,033,260 Saputo Inc %, ,000,000 1,000,000 1,005,918 Shaw Communications Inc %, ,000,000 1,106,850 1,106, %, , , ,646 Smart Real Estate Investment Trust 3.749%, ,500,000 1,501,185 1,596,026 Sun Life Financial Inc %, ,000, ,850 1,028,355 Suncor Energy Inc %, ,000,000 1,159,084 1,077,528 TD Capital Trust III 7.243%, , , ,053 Interim Financial Statements 21

22 FDP Canadian Bond Portfolio STATEMENT OF INVESTMENT SECURITIES As at, Par Average Fair Value Cost Value Corporations (continued) TELUS Corporation 2.350%, ,000, ,310 1,005, %, ,000,000 1,008,600 1,050, %, ,000, ,574 1,058, %, ,000,000 1,110,985 1,103, %, ,500,000 1,706,910 1,678,582 The Bank of Nova Scotia 2.462%, ,000,000 2,044,800 2,057,054 The Toronto-Dominion Bank 1.467%, ,000,000 1,000,000 1,003, %, ,000,000 1,000,000 1,021, %, ,000,000 2,029,171 2,031, %, ,000,000 6,142,095 6,246, %, ,200,000 1,294,872 1,265,250 Thomson Reuters Corporation 3.309%, ,000,000 1,000,000 1,049, %, ,000,000 1,000,000 1,038,548 Toronto Hydro Corporation 2.910%, ,000, ,801 1,062,910 Toyota Credit Canada Inc %, ,000, ,780 1,009,091 TransCanada PipeLines Limited 3.690%, ,500,000 1,593,585 1,624, %, ,500,000 1,496,505 1,566,088 Union Gas Limited 3.190%, ,500,000 1,499,355 1,604, %, , , ,614 Wells Fargo Canada Corporation 2.944%, ,000,000 1,043,956 1,045, %, , , , ,890, ,841,549 Total Bonds 364,997, ,919,883 Number of Shares Equities (1.47%) Energy (0.21%) Canadian Natural Resources Limited 5, , ,300 TransCanada Corporation Subscription Receipts 12, , , , ,300 Financials (1.22%) Acasta Enterprises Inc. Cl. A 100, , ,000 Acasta Enterprises Inc. Warrants (Exp. 09/08/20) 50,000 10,000 14,875 INFOR Acquisition Corp. 420,500 4,162,907 4,123,003 INFOR Acquisition Corp. Warrants (Exp. 07/06/20) 210,250 42,143 85,151 Power Financial Corporation 5, , ,075 5,376,650 5,354,104 Industrials (0.04%) Canadian Pacific Railway Company 1, , ,330 Total Equities 6,310,259 6,448,734 Number Average Fair of Shares Cost Value Investment Funds (0.13%) Index Funds (0.13%) BMO Laddered Preferred Share Index ETF 60, , ,522 Total Investment Funds 576, ,522 Total Long Positions 426,568, ,630,625 Par Value Short Positions (-0.57%) Bonds (-0.25%) Issued and Guaranteed by the Government of Canada (-0.25%) Government of Canada 1.250%, (1,100,000) (1,117,820) (1,117,820) Total Bonds (1,117,820) (1,117,820) Number of Shares Equities (-0.28%) Energy (-0.20%) Tourmaline Oil Corp. (4,000) (123,922) (136,040) TransCanada Corporation (12,500) (617,569) (730,750) (741,491) (866,790) Financials (-0.04%) Great-West Lifeco Inc. (5,000) (172,050) (170,400) Industrials (-0.04%) Canadian National Railway Company (2,200) (165,922) (167,838) Total Equities (1,079,463) (1,205,028) Investment Funds (-0.04%) Index Funds (-0.04%) ishares S&P/TSX Capped Energy Fund (16,000) (182,423) (192,000) Total Investment Funds (182,423) (192,000) Total Short Positions (2,379,706) (2,514,848) Adjustment for Transaction Costs (2,285) Total Investments (99.35%) 424,186, ,115,777 Cash and Other Net Assets (0.65%) 2,843,606 Total Net Assets (100%) 439,959, Interim Financial Statements