TD Short Term Bond Fund

Transcription

1 TD Short Term Bond Fund (08/17) TD Mutual Funds for the period ended

2 nmanagement s Responsibility for Financial Reporting The accompanying unaudited interim financial report has been prepared by TD Asset Management Inc. ( TDAM ) as manager of the TD Mutual Fund Trusts, TD Managed Assets Program Portfolios and TD Managed ETF Portfolios (collectively the Funds and individually the Fund ) and approved by TDAM s board of directors. The manager is responsible for the integrity, objectivity and reliability of the data presented. This responsibility includes selecting appropriate accounting principles and making judgments and estimates consistent with International Financial Reporting Standards ( IFRS ). The manager is also responsible for the development of internal controls over the financial reporting process, which are designed to provide reasonable assurance that relevant and reliable financial information is produced, and the safeguarding of all assets of the Funds. The board of directors of TDAM is responsible for reviewing and approving the interim financial report and overseeing management s performance of its financial reporting responsibilities. On behalf of TDAM, manager of the Funds. Bruce Cooper David Lambie Director and Director and Chief Executive Officer Chief Financial Officer August 15, 2017 August 15, 2017 nnotice to Unitholders The Auditor of the Funds has not reviewed the TD Mutual Fund Trusts in this Financial Report TDAM, as manager of the Funds, appoints an independent auditor to audit the Funds annual financial statements. Applicable securities laws require that if an auditor has not reviewed the Funds interim financial report, this must be disclosed in an accompanying notice. 1

3 ntd Short Term Bond Fund Statements of Financial Position (in 000s except per unit amounts) as at and December 31, 2016 (Unaudited) June 30, December 31, Assets Current Assets Investments $ 5,955,348 $ 6,246,934 Cash 20,147 44,410 Interest Receivable 27,166 29,473 Subscriptions Receivable 10,842 8,743 6,013,503 6,329,560 Liabilities Current Liabilities Accrued Liabilities Redemptions Payable 17,135 9,144 Payable for Investments Purchased 2, ,092 9,151 Net Assets Attributable to Holders of Redeemable Units $ 5,993,411 $ 6,320,409 Net Assets Attributable to Holders of Redeemable Units Per Series (Note 5) Investor Series $ 192,270 $ 220,667 Institutional Series $ 1,198 $ 1,311 Premium Series $ 38,495 $ 48,210 Advisor Series $ 148,032 $ 179,510 F-Series $ 105,592 $ 96,496 Premium F-Series N/A $ 14,071 D-Series $ 2,457 $ 1,809 Private Series $ 1,185,660 $ 1,185,899 O-Series $ 4,319,707 $ 4,572,436 $ 5,993,411 $ 6,320,409 Net Assets Attributable to Holders of Redeemable Units Per Series Unit Investor Series $ 9.72 $ 9.80 Institutional Series $ 9.98 $ Premium Series $ 9.65 $ 9.73 Advisor Series $ $ F-Series $ $ Premium F-Series N/A $ D-Series $ 9.85 $ 9.93 Private Series $ 9.82 $ 9.90 O-Series $ $ The accompanying notes are an integral part of the interim financial report. 2

4 ntd Short Term Bond Fund Statements of Comprehensive Income (in 000s except per unit amounts) for the periods ended and 2016 (Unaudited) Income Foreign Exchange Gain (Loss) on Cash $ 0 $ (1) Securities Lending Income Net Gain (Loss) on Investments Interest for Distribution Purposes 71,570 72,629 Net Realized Gain (Loss) (11,392) (6,283) Net Change in Unrealized Appreciation/ Depreciation (35,590) 16,947 Net Gain (Loss) on Investments 24,588 83,293 Total Income (Net) 24,823 83,567 Expenses (Note 6) Management Fees 2,678 2,813 Securityholder Reporting Costs Custodial Fees 5 7 Filing Fees 3 0 Audit Fees 1 3 Independent Review Committee Fees 1 0 Total Expenses before Waivers 2,746 2,891 Less: Waived Expenses (1) 0 Total Expenses (Net) 2,745 2,891 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units before Tax 22,078 80,676 Tax Reclaims (Withholding Taxes) (3) 0 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units $ 22,075 $ 80,676 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units Per Series* Investor Series $ (182) $ 1,973 Institutional Series $ 3 $ 22 Premium Series $ 15 $ 437 Advisor Series $ (201) $ 1,582 F-Series $ 86 $ 1,015 Premium F-Series $ 60 $ 157 D-Series $ (6) $ 10 Private Series $ 4,361 $ 14,630 O-Series $ 17,939 $ 60,850 $ 22,075 $ 80,676 Weighted Average Units Outstanding for the Period Per Series* Investor Series 20,985 17,803 Institutional Series Premium Series 4,524 4,949 Advisor Series 15,867 18,751 F-Series 10,138 8,823 Premium F-Series 1,045 1,376 D-Series Private Series 118, ,987 O-Series 428, ,601 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units Per Series Unit* Investor Series $ (0.01) $ 0.11 Institutional Series $ 0.02 $ 0.12 Premium Series $ 0.00 $ 0.09 Advisor Series $ (0.01) $ 0.08 F-Series $ 0.01 $ 0.11 Premium F-Series $ 0.06 $ 0.11 D-Series $ (0.03) $ 0.10 Private Series $ 0.04 $ 0.12 O-Series $ 0.04 $ 0.14 * Series related to the converted and/or terminated series are for the period ended March 28, Refer to the Significant Events in the Fund-Specific Notes to the Interim Financial Report for further details. The accompanying notes are an integral part of the interim financial report. 3

5 ntd Short Term Bond Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (in 000s) for the periods ended and 2016 (Unaudited) Investor Series Institutional Series Premium Series Net Assets Attributable to Holders of Redeemable Units at Beginning of the Period $ 220,667 $ 135,249 $ 1,311 $ 2,131 $ 48,210 $ 46,492 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (182) 1, Distributions to Holders of Redeemable Units (1,409) (1,258) (13) (21) (327) (390) Redeemable Unit Transactions Proceeds from Redeemable Units Issued 7, , ,896 12,323 Reinvestments of Distributions to Holders of Redeemable Units 1,367 1, Early Redemption Fees on Redeemable Units Redemption of Redeemable Units (35,278) (33,592) (124) (303) (11,551) (8,694) Net Increase (Decrease) from Redeemable Unit Transactions (26,806) 108,313 (103) (282) (9,403) 3,940 Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (28,397) 109,028 (113) (281) (9,715) 3,987 Net Assets Attributable to Holders of Redeemable Units at End of the Period $ 192,270 $ 244,277 $ 1,198 $ 1,850 $ 38,495 $ 50,479 Redeemable Unit Transactions Redeemable Units Outstanding, Beginning of the Period 22,517 13, ,955 4,729 Redeemable Units Issued , ,253 Redeemable Units Issued on Reinvestments Redeemable Units Redeemed (3,596) (3,392) (12) (30) (1,185) (884) Redeemable Units Outstanding, End of the Period 19,784 24, ,990 5,130 Advisor Series F-Series Premium F-Series Net Assets Attributable to Holders of Redeemable Units at Beginning of the Period $ 179,510 $ 185,072 $ 96,496 $ 83,571 $ 14,071 $ 11,691 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (201) 1, , Distributions to Holders of Redeemable Units (997) (1,199) (969) (911) (46) (146) Redeemable Unit Transactions Proceeds from Redeemable Units Issued 10,720 68,634 33,800 35, ,981 Reinvestments of Distributions to Holders of Redeemable Units 894 1, Early Redemption Fees on Redeemable Units Redemption of Redeemable Units (41,894) (43,446) (24,476) (25,459) (14,128) (3,006) Net Increase (Decrease) from Redeemable Unit Transactions (30,280) 26,252 9,979 10,824 (14,085) 3,094 Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (31,478) 26,635 9,096 10,928 (14,071) 3,105 Net Assets Attributable to Holders of Redeemable Units at End of the Period $ 148,032 $ 211,707 $ 105,592 $ 94,499 $ N/A $ 14,796 Redeemable Unit Transactions Redeemable Units Outstanding, Beginning of the Period 17,552 17,905 9,422 8,075 1,406 1,156 Redeemable Units Issued 1,047 6,660 3,297 3, Redeemable Units Issued on Reinvestments Redeemable Units Redeemed (4,091) (4,204) (2,386) (2,460) (1,410) (297) Redeemable Units Outstanding, End of the Period 14,595 20,464 10,397 9,125 N/A 1,462 The accompanying notes are an integral part of the interim financial report. 4

6 ntd Short Term Bond Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (in 000s) for the periods ended and 2016 (Unaudited) D-Series Private Series Net Assets Attributable to Holders of Redeemable Units at Beginning of the Period $ 1,809 $ 319 $ 1,185,899 $ N/A Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (6) 10 4,361 14,630 Distributions to Holders of Redeemable Units (16) (8) (14,693) (11,586) Redeemable Unit Transactions Proceeds from Redeemable Units Issued 890 1, ,106 1,514,263 Reinvestments of Distributions to Holders of Redeemable Units ,010 8 Early Redemption Fees on Redeemable Units (1) Redemption of Redeemable Units (235) (48) (279,023) (258,926) Net Increase (Decrease) from Redeemable Unit Transactions 670 1,278 10,093 1,255,344 Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 648 1,280 (239) 1,258,388 Net Assets Attributable to Holders of Redeemable Units at End of the Period $ 2,457 $ 1,599 $ 1,185,660 $ 1,258,388 Redeemable Unit Transactions Redeemable Units Outstanding, Beginning of the Period ,743 N/A Redeemable Units Issued , ,541 Redeemable Units Issued on Reinvestments Redeemable Units Redeemed (24) (5) (28,139) (25,891) Redeemable Units Outstanding, End of the Period , ,651 O-Series TOTAL Net Assets Attributable to Holders of Redeemable Units at Beginning of the Period $ 4,572,436 $ 4,055,279 $ 6,320,409 $ 4,519,804 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 17,939 60,850 22,075 80,676 Distributions to Holders of Redeemable Units (54,921) (57,004) (73,391) (72,523) Redeemable Unit Transactions Proceeds from Redeemable Units Issued 262, , ,432 2,378,568 Reinvestments of Distributions to Holders of Redeemable Units 54,888 56,971 60,137 60,289 Early Redemption Fees on Redeemable Units Redemption of Redeemable Units (533,542) (118,566) (940,251) (492,040) Net Increase (Decrease) from Redeemable Unit Transactions (215,747) 538,054 (275,682) 1,946,817 Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (252,729) 541,900 (326,998) 1,954,970 Net Assets Attributable to Holders of Redeemable Units at End of the Period $ 4,319,707 $ 4,597,179 $ 5,993,411 $ 6,474,774 Redeemable Unit Transactions Redeemable Units Outstanding, Beginning of the Period 451, ,562 Redeemable Units Issued 25,962 58,668 Redeemable Units Issued on Reinvestments 5,423 5,580 Redeemable Units Redeemed (52,652) (11,603) Redeemable Units Outstanding, End of the Period 430, ,207 The accompanying notes are an integral part of the interim financial report. 5

7 ntd Short Term Bond Fund Statements of Cash Flows (in 000s) for the periods ended and 2016 (Unaudited) Cash Flows from (used in) Operating Activities Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units $ 22,075 $ 80,676 Adjustment For: Net Realized (Gain) Loss on Sale of Investments 11,392 6,283 Net Change in Unrealized Appreciation/ Depreciation of Investments 35,590 (16,947) Purchase of Investments (1,416,227) (8,067,061) Proceeds from Sale and/or Maturity of Investments 1,660,831 7,316,470 (Increase) Decrease in Interest Receivable 2,307 (7,658) Increase (Decrease) in Accrued Liabilities Net Cash from (used in) Operating Activities 316,354 (688,089) Cash Flows from (used in) Financing Activities Distributions Paid to Holders of Redeemable Units, Net of Reinvested Distributions (10,690) (9,684) Proceeds from Issuances of Redeemable Units 587,793 1,216,158 Amounts Paid on Redemption of Redeemable Units, Net of Early Redemption Fees (917,720) (479,298) Net Cash from (used in) Financing Activities (340,617) 727,176 Net Increase (Decrease) in Cash (24,263) 39,087 Cash (Bank Overdraft) at Beginning of the Period 44, Cash (Bank Overdraft) at End of the Period $ 20,147 $ 39,253 Interest for Distribution Purposes Received*, Net of Withholding Taxes $ 73,877 $ 64,971 * Included as part of Cash Flows from (used in) Operating Activities. The accompanying notes are an integral part of the interim financial report. 6

8 ntd Short Term Bond Fund Schedule of Investment Portfolio (in 000s except number of Shares or Units/Par Value) as at (Unaudited) No. of Shares or Units/ Par Value Description Cost Fair Value Canadian Bonds 99.4% FEDERAL BONDS & GUARANTEES 20.7% Canada Housing Trust No. 1 55,000, % due June 15, 2019 $ 55,570 $ 55,756 59,500, % due December 15, ,884 60,449 46,500, % due March 15, ,647 49,402 40,000, % due June 15, ,333 39,736 84,000, % due June 15, ,702 84,050 30,000, % due December 15, ,164 29, ,000, % due June 15, ,922 98, ,000, % due December 15, , ,009 Government of Canada 47,000, % due September 01, ,165 46, ,950, % due March 01, , ,860 57,000, % due September 01, ,085 55, ,000, % due March 01, , , ,000, % due June 01, , ,378 1,257,360 1,238,191 PROVINCIAL BONDS & GUARANTEES 16.8% Hydro One Inc. 30,000, % due October 09, ,835 30,514 21,000, % due June 01, ,056 22,571 19,500, % due February 24, ,768 19,492 Province of Alberta 146,500, % due June 01, , ,324 Province of British Columbia 20,000, % due December 18, ,945 21,313 50,000, % due December 18, ,295 53,566 Province of Manitoba 20,000, % due February 11, ,249 21,672 7,000, % due June 03, ,830 7,521 Province of New Brunswick 40,000, % due June 03, ,221 42,321 Province of Ontario 165,000, % due September 08, , , ,000, % due June 02, , , ,000, % due June 02, , ,242 80,000, % due March 08, ,334 78,197 Province of Quebec 30,000, % due December 01, ,183 32,875 95,000, % due December 01, , ,735 1,030,698 1,009,293 MUNICIPAL BONDS 0.3% Municipal Finance Authority of British Columbia 15,000, % due June 02, ,364 15,200 CORPORATE BONDS 61.6% Bank of Montreal 17,500, % due September 13, ,824 17,861 50,000, % due March 04, ,437 50,711 16,000, % due June 04, ,675 16,483 57,000, % due October 06, ,089 57,485 37,800, % due to March 31, ,127 37,696 52,600, % due October 28, ,206 51,648 30,000, % due March 16, ,513 30,021 No. of Shares or Units/ Par Value Description Cost Fair Value The Bank of Nova Scotia 40,700, % due March 14, 2019 $ 41,230 $ 41,303 25,000, % due October 28, ,403 25,391 7,500, % due January 13, ,601 7,596 40,200, % due June 15, ,263 40,567 66,200, % due September 09, ,282 66,683 60,000, % due January 11, ,371 62,752 57,000, % due June 04, ,312 58,841 26,900, % due December 02, ,892 26,678 39,900, % due April 27, ,885 39,293 bcimc Realty Corporation 31,100, % due August 02, ,093 31,538 27,000, % due June 03, ,518 27,090 Bell Canada 33,000, % due June 18, ,434 33,969 49,000, % due June 17, ,122 50,784 30,000, % due October 01, ,162 29,697 BMW Canada Inc. 21,700, % due May 23, ,809 21,874 17,400, % due September 26, ,497 17,562 23,800, % due November 26, ,921 24,023 10,600, % due October 19, ,597 10,539 42,700, % due December 11, ,700 42,585 Canadian Imperial Bank of Commerce 46,000, % due March 07, ,986 46,290 48,000, % due June 24, ,455 48,672 68,275, % due July 14, ,239 68,397 47,100, % due April 26, ,636 47,014 52,500, % due July 12, ,561 51,783 17,000, % due March 21, ,994 16,949 Canadian Natural Resources Limited 50,000, % due June 19, ,496 50,843 5,000, % due December 03, ,620 5,047 25,900, % due June 01, ,894 25,684 14,750, % due August 14, ,358 14,947 Canadian Pacific Railway Company 5,000, % due June 01, ,440 5,209 Capital Desjardins Inc. 25,000, % due May 05, ,554 27,164 Caterpillar Financial Services Corporation 10,000, % due June 03, ,999 10,023 CU Inc. 3,334, % due January 23, ,870 3,530 Daimler Canada Finance Inc. 27,300, % due August 19, ,260 27,267 26,000, % due May 25, ,000 25,712 30,100, % due December 16, ,090 30,076 Enbridge Gas Distribution Inc. 38,000, % due November 23, ,444 40,696 Enbridge Pipelines Inc. 30,000, % due November 12, ,597 31,916 31,000, % due April 06, ,666 33,101 Federation des caisses Desjardins du Quebec 62,000, % due November 19, ,213 63,052 50,500, % due July 17, ,107 51,284 71,000, % due March 02, ,638 70,947 Finning International Inc. 30,000, % due June 01, ,186 31,167 1,500, % due July 03, ,553 1,533 7

9 TD Short Term Bond Fund No. of Shares or Units/ Par Value Description Cost Fair Value First Capital Realty Inc. 4,900, % due November 30, 2017 $ 5,228 $ 4,984 Ford Auto Securitization Trust 6,000,000 Callable 1.423% due April 15, ,000 5,968 Ford Credit Canada Company 22,600, % due June 14, ,877 23,055 30,100, % due September 16, ,067 30,561 9,500, % due February 23, ,500 9,465 32,300, % due June 22, ,300 32,165 HCN Canadian Holdings-1 L.P. 10,000, % due November 25, ,019 10,344 Honda Canada Finance Inc. 23,600, % due June 04, ,554 23,809 21,900, % due August 12, ,911 21,859 11,100, % due February 18, ,100 11,149 HSBC Bank Canada 23,400, % due November 26, ,421 23,550 39,000, % due May 13, ,164 39,538 40,000, % due January 14, ,387 41,077 29,000, % due July 07, ,406 28,910 30,000, % due January 29, ,876 30,431 17,800, % due June 29, ,800 17,669 Husky Energy Inc. 17,987, % due March 12, ,573 19,291 Inter Pipeline Ltd. 31,605, % due July 30, ,872 32,333 John Deere Canada Funding Inc. 16,200, % due July 16, ,161 16,395 13,300, % due March 24, ,299 13,220 National Bank of Canada 27,000, % due August 09, ,900 27,397 39,200, % due March 03, ,072 39,145 Nissan Canada Financial Services Inc. 5,200, % due April 09, ,200 5,180 North West Redwater Partnership/ NWR Financing Company Ltd. 30,000,000 Callable 2.10% due February 23, ,819 29,793 OMERS Realty Corporation 31,900, % due June 05, ,271 32,221 36,400, % due November 12, ,727 37,044 20,000, % due April 05, ,011 20,688 RioCan Real Estate Investment Trust 26,000, % due March 05, ,551 26,236 45,000, % due June 28, ,577 46,636 11,700, % due August 26, ,700 11,660 12,200, % due April 09, ,200 12,079 Rogers Communications Inc. 36,000, % due March 13, ,073 36,661 20,000, % due November 04, ,499 21,601 11,000, % due September 29, ,181 11,910 30,000, % due March 22, ,886 33,382 Royal Bank of Canada 49,000, % due March 12, ,344 49,326 33,750, % due July 12, ,881 34,225 31,500, % due October 11, ,897 32,054 49,100, % due December 11, ,029 49,961 61,000, % due December 09, ,672 61,900 86,900, % due July 17, ,055 87,170 27,100, % due March 15, ,090 27,156 49,300, % due July 15, ,337 48,595 45,200, % due September 13, ,054 44,315 No. of Shares or Units/ Par Value Description Cost Fair Value Suncor Energy Inc. 26,000, % due May 22, 2018 $ 27,899 $ 26,959 TELUS Corporation 67,500, % due December 04, ,800 72,522 31,000, % due July 23, ,604 33,751 The Toronto-Dominion Bank* 25,000, % due April 02, ,350 25,168 57,500, % due April 02, ,457 58,371 73,460, % due April 02, ,216 73,332 8,500, % due June 24, ,767 8,691 69,600, % due March 08, ,878 69,860 26,200, % due March 23, ,200 26,089 Toyota Credit Canada Inc. 12,500, % due July 18, ,536 12,666 31,600, % due November 21, ,223 32,134 16,000, % due November 19, ,998 16,265 23,400, % due February 19, ,372 23,401 15,700, % due February 28, ,695 15,610 Ventas Canada Finance Limited 23,068, % due September 30, ,311 23,540 VW Credit Canada Inc. 15,800, % due November 14, ,760 15,861 6,000, % due August 20, ,981 6,073 30,300, % due October 01, ,634 30,628 27,600, % due June 24, ,311 27,587 Wells Fargo Canada Corporation 37,400, % due November 15, ,843 38,004 44,000, % due July 25, ,204 45,071 3,710,399 3,692,664 Total Canadian Bonds 6,013,821 5,955,348 TOTAL INVESTMENT PORTFOLIO 99.4% $ 6,013,821 $ 5,955,348 OTHER NET ASSETS (LIABILITIES) 0.6% 38,063 TOTAL NET ASSETS 100.0% $ 5,993,411 * Related party to the Fund as an affiliated entity of TD Asset Management Inc. 8

10 ntd Short Term Bond Fund Fund-Specific Notes to the Interim Financial Report (Unaudited) (A) The Fund (I) The Fund start date was January 23, (II) TDAM is the manager, portfolio adviser and trustee of the Fund. TDIS is the principal distributor of the Investor Series units of the Fund. (III) At, TD and funds managed by TDAM held 59.1% (December 31, 2016: 60.0%) of the net assets of the Fund. (IV) The presentation and functional currency of the Fund is the Canadian dollar. (V) The investment objective of the Fund is to maximize income while simultaneously preserving investment capital and liquidity. In seeking to achieve this objective, the Fund invests primarily in debt obligations with the terms to maturity of up to five years issued or guaranteed by the Canadian federal or provincial governments, or any agency of such governments, or any debt obligations of Schedule I Canadian chartered banks, loan or trust companies, or corporations. The Fund focuses on the Canadian corporate debt market as well as global macroeconomic trends. Generally, the Fund utilizes a bottom-up strategy using diligent credit analysis combined with a buy-and-hold strategy to seek to add value, enhance long-term performance, and reduce risk. (VI) Private Series was launched on February 4, (VII) Any related party holdings as at (December 31, 2016: 4.1%), are disclosed in the Schedule of Investment Portfolio. (B) Management Fees and Administration Fees (Note 6) for the six-month periods ended and 2016 (I) MANAGEMENT FEES (%) Actual Annual Rate (exclusive of GST and HST) Series Maximum* Investor Series Institutional Series Premium Series Advisor Series F-Series Premium F-Series D-Series Private Series O-Series Includes management fees paid by the Fund and the proportionate management fees, if any, of the underlying funds managed by TDAM held by the Fund. However there is no duplication of management fees. * Effective March 28, 2017, TDAM reduced the maximum management fees of certain series. Refer to the Significant Events section for further details. The amount payable (in 000s) to TDAM as at for management fees is $365 (December 31, 2016: $0) which is included in Accrued Liabilities on the Statements of Financial Position. (II) ADMINISTRATION FEES (%) Not applicable for the Fund. (C) Brokerage Commissions and Soft Dollars (in 000s) (Notes 3 and 6) for the six-month periods ended and 2016 Not significant or applicable to the Fund. (D) Tax Loss Carry Forwards (in 000s) (Note 7) as at December 31, 2016 Capital Losses $ 18,975 Non-Capital Losses (by year of expiry) (E) Securities Lent (Note 3) None (I) SECURITIES LENDING INCOME A reconciliation of the gross amount generated from the securities lending transactions to the security lending income to the Fund for the periods ended and 2016 is as follows: Percentage of Amount (in 000s) Total Amount (%) Gross Securities Lending Income $ 293 $ Agent fees The Bank of New York Mellon Corp. (58) (69) (19.8) (20.1) Securities Lending Income to the Fund before Tax Reclaims (Withholding Taxes) Tax Reclaims (Withholding Taxes) (3) 0 (1.0) 0.0 Net Securities Lending Income $ 232 $ (II) SECURITIES LENT AND COLLATERAL HELD (in 000s) The table below summarizes the aggregate securities lent and related collateral held by the Fund as at and December 31, June 30, December 31, Fair Value of Securities Lent $ 945,843 $ 745,779 Fair Value of Collateral Held 994, ,591 Collateral held is in the form of debt obligations of the Government of Canada and other countries, Canadian provincial and municipal governments or corporations and is not included in the Statements of Financial Position. (F) Financial Risk Management (Notes 3, 4 and 8) as at and December 31, 2016 (I) INTEREST RATE RISK The table below summarizes the Fund s exposure to interest rate risk as at and December 31, 2016 by remaining term to maturity. The table also illustrates the potential impact to the Fund s net assets had the prevailing interest rates changed by 1 percent, assuming a parallel shift in the yield curve, with all other variables held constant. The Fund s sensitivity to interest rate changes was estimated using the weighted average duration of the bond portfolio. In practice, the actual trading results may differ from these approx imate sensitivity analysis amounts and the differences could be material. Total Exposure (in 000s) Term to Maturity June 30, December 31, Bonds Less than 1 year $ 309,102 $ 538, years 5,646,246 5,708,050 Total $ 5,955,348 $ 6,246,934 Impact on Net Assets (000s) $ 169,430 $ 173,711 Impact on Net Assets (%)

11 TD Short Term Bond Fund Fund-Specific Notes to the Interim Financial Report (II) CURRENCY RISK Not significant or applicable to the Fund. (III) OTHER PRICE RISK Not significant or applicable to the Fund. (IV) CREDIT RISK The table below summarizes the debt instruments by credit ratings as at and December 31, Percentage of Percentage of Total Bonds (%) Total Net Assets (%) June 30, December 31, June 30, December 31, Credit Rating AAA AA A BBB Total Credit ratings are obtained from Standard & Poor s, Moody s or DBRS rating agencies. (V) FINANCIAL INSTRUMENTS BY THE LEVEL IN THE FAIR VALUE HIERARCHY (in 000s) The table below illustrates the classification of the Fund s financial instruments within the fair value hierarchy as at and December 31, Level 1 Level 2 Level 3 Total Bonds $ 0 $ 5,955,348 $ 0 $ 5,955,348 December 31, 2016 Bonds $ 0 $ 6,246,934 $ 0 $ 6,246,934 As at the end of the periods, transfers between Level 1 and Level 2 were nil. (VI) RECONCILIATION OF LEVEL 3 FAIR VALUE MEASUREMENTS (in 000s) Not significant or applicable to the Fund. (VII) CONTRACTUAL MATURITIES ANALYSIS FOR FINANCIAL LIABILITIES As at and December 31, 2016, the Fund s net assets are due on demand. All other financial liabilities of the Fund are due in less than three months. (G) Investment Portfolio Concentration (%) (Note 8) As at and December 31, 2016, the Fund s investment portfolio concentration can be summarized as follows: June 30, December 31, Canadian Bonds Federal Bonds & Guarantees Provincial Bonds & Guarantees Municipal Bonds Corporate Bonds Global Bonds United States Other Net Assets (Liabilities) (H) Interest in Unconsolidated Structured Entities (in 000s) (Note 3) Not significant or applicable to the Fund. (I) Offsetting of Financial Assets and Liabilities (in 000s) (Note 3) as at and December 31, 2016 Not significant or applicable to the Fund. (J) Significant Events (I) The TD Short Term Bond Fund (the Continuing Fund ), as set out below, acquired all of the net assets of the TD Private Canadian Bond Income Fund and TD Mortgage Fund (collectively, the Discontinued Funds ) on February 12, 2016 and April 22, 2016, respectively. Pursuant to these transactions, the Continuing Fund acquired all of the net assets of the Discontinued Funds at fair value in exchange for units of the Private Series or in the equivalent series of the Continuing Fund, as applicable, as at the respective merger date. The value of the units issued in connection with these mergers was equal to the market value of the net assets transferred from the Discontinued Funds. These mergers were effected on a tax-deferred basis. The Discontinued Funds were terminated and wound-up following their respective mergers. The number of units issued and the fair value of assets acquired by the Continuing Fund as at the merger dates were as follows: Fair Value of Net Assets Discontinued Fund/ Number of Units Acquired by Series Units of Series Units of Issued by the the Continuing Discontinued Fund Continuing Fund Continuing Fund Fund (in 000s) February 12, 2016 TD Private Canadian Bond Income Fund Private Series 132,805,450 $ 1,326,726 April 22, 2016 TD Mortgage Fund Investor Series Investor Series 12,413,622 $ 122,398 Advisor Series Advisor Series 4,742,401 48,817 F-Series F-Series 723,048 7,447 O-Series O-Series 12 0 The financial statements of the Continuing Fund do not include the operating results of the Discontinued Funds prior to the merger dates of February 12, 2016 for TD Private Canadian Bond Income Fund and April 22, 2016 for TD Mortgage Fund. (II) The following changes were made: The maximum annual management fee of Advisor Series was lowered from 1.25 percent to 1.00 percent effective March 28, The maximum annual management fee of F-Series was lowered from 0.75 percent to 0.55 percent effective March 28, The maximum annual management fee of D-Series was lowered from 0.90 percent to 0.80 percent effective March 28, The Premium Series was closed to all purchases effective March 28, The Premium F-Series was closed to all purchases effective end of business on November 21, 2016 and was terminated on March 28,

12 nnotes to the Interim Financial Report (Unaudited) 1. The Fund The TD Mutual Fund Trusts, TD Managed Assets Program Portfolios and TD Managed ETF Portfolios (collectively, the Funds and individually, the Fund ) are open-end mutual funds established under the laws of Ontario and governed by the Declaration of Trust, as amended from time to time. The TD Managed Assets Program Portfolios invest primarily in units of other mutual funds and TD Managed ETF Portfolios invest primarily in units of other exchange-traded funds. TD Asset Management Inc. ( TDAM ) is the manager, portfolio adviser and trustee of the Funds. TDAM, TDAM USA Inc., TD Investment Services Inc. ( TDIS ), TD Waterhouse Canada Inc. ( TDW ) and Epoch Investment Partners, Inc. ( Epoch ) are wholly-owned subsidiaries of The Toronto-Dominion Bank ( TD ). The registered address of the Funds is P.O. Box 100, 66 Wellington Street West, TD Bank Tower, Toronto-Dominion Centre, Toronto, Ontario M5K 1G8. The financial year-end for the Funds is December 31. The Statements of Financial Position are presented as at and December 31, The Statements of Comprehensive Income, Statements of Changes in Net Assets Attributable to Holders of Redeemable Units and Statements of Cash Flows are presented for the periods ended and Where a Fund or series of a Fund was established during either period, the information for the Fund or series is provided from the inception date. A comparative statement has only been presented for any period for which the Fund was in existence as at the reporting date. The Fund s start date as indicated in the Interim Fund-Specific Notes to the Financial Report is the date that the Fund commenced operations or in the case of a new series, the date the series was first offered and not its inception date. This financial report was authorized for issue by TDAM on August 15, Basis of Presentation This interim financial report has been prepared in compliance with International Financial Reporting Standards ( IFRS ) as published by the International Accounting Standards Board ( IASB ), applicable to the preparation of interim financial reports, including International Accounting Standards ( IAS ) 34, Interim Financial Reporting. This interim financial report has been prepared under the historical cost convention, as modified by the revaluation of financial assets and financial liabilities (including derivative financial instruments) at fair value through profit or loss ( FVTPL ). 3. Summary of Significant Accounting Policies Financial Instruments The Fund recognizes financial instruments at fair value upon initial recognition, plus transaction costs in the case of financial instruments not measured at FVTPL. Regular way purchases and sales of financial instruments are recognized at their trade date. The Fund s non-derivative investments, which are designated at FVTPL, and derivative assets and liabilities, which are classified as held for trading ( HFT ), are measured at FVTPL. All other financial assets and liabilities are measured at amortized cost. Under this method, financial assets and liabilities reflect the amount required to be received or paid, discounted, when appropriate, at the contract s effective interest rate. The Fund has determined that it meets the definition of an investment entity and as a result, it measures subsidiaries, if any, at FVTPL. An investment entity is an entity that: obtains funds from one or more investors for the purpose of providing them with investment manage - ment services; commits to its investors that its business purpose is to invest funds solely for returns from capital appreciation, investment income, or both; and measures and evaluates the performance of substantially all of its investments on a fair value basis. The significant judgment that the Fund has made in determining that it meets this definition is that fair value is the primary measurement attribute used to measure and evaluate the performance of substantially all of its investments. The Fund s investments may also include associates and joint ventures which are designated at FVTPL. The Fund s outstanding redeemable units entitlements include a contractual obligation to distribute any net income and net realized capital gains in cash (at the request of the unitholder) and therefore the ongoing redemption feature is not the Fund s only contractual obligation. Consequently, the Fund s outstanding redeemable units are classified as financial liabilities in accordance with the requirements of IAS 32, Financial Instruments: Presentation ( IAS 32 ). The Fund s obligations for Net Assets Attributable to Holders of Redeemable Units are presented at the redemption amount. The Fund s accounting policies for measuring the fair value of its investments and derivatives are substantially similar to those used in measuring its net asset value ( NAV ) for transactions with unitholders. The NAV is the value of the total assets of a fund less the value of its total liabilities determined, on each valuation day, in accordance with Part 14 of National Instrument , Investment Fund Continuous Disclosure, for the purpose of processing unitholder transactions. Net Assets Attributable to Holders of Redeemable Units, also referred to as net assets, refers to net assets calculated in accordance with IFRS. As at all dates presented, there were no differences between the Fund s NAV per series unit and net assets per series unit. 11

13 nnotes to the Interim Financial Report (Unaudited) Fair Value Measurement Fair value is 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 fair value of financial assets and liabilities traded in active markets (such as publicly traded derivatives and marketable securities) are based on quoted market prices at the close of trading on the reporting date. The Fund uses the last traded market price for both financial assets and financial liabilities where the last traded price falls within that day s bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread, TDAM determines the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances. The Fund s policy is to recognize transfers into and out of the fair value hierarchy levels at the end of reporting periods. The fair value of financial assets and liabilities that are not traded in an active market, including over-the-counter derivatives, is determined using valuation techniques. The Fund uses a variety of methods and makes assumptions that are based on market conditions existing at each reporting date. Valuation techniques include the use of comparable recent arm s length transactions, reference to other instruments that are substantially the same, discounted cash flow analysis, option pricing models and other techniques commonly used by market participants and which make the maximum use of observable inputs. The valuation methodology for specific types of investments held by the Fund is summarized below. (a) Securities not listed on any recognized public securities exchange are valued based on available quotations from recognized dealers in such securities, where readily available. If securities held in the Fund, if any, have no available broker-dealer bid/ask quotes, TDAM uses its own pricing model to price the securities. The pricing model will generally include the discounted cash flow valuation approach, the identification of a uniqueness premium and the use of such credit and yield analysis comparables as TDAM believes are relevant in the circumstances. Debt instruments are valued based on mid prices, where readily available. (b) Short-term debt instruments, repurchase and reverse repurchase agreements are valued based on quotations received from recognized investment dealers. (c) Real return bonds are valued based on the available public quotations from recognized dealers. Changes in the inflation factor are reported in Interest for Distribution Purposes on the Statements of Comprehensive Income. (d) The Fund may use foreign exchange forward contracts to hedge against or profit from fluctuations in foreign exchange rates. These contracts are valued on each valuation day based on the difference between the contract rates and the current forward rates at the measurement date applied to the contracts notional amount. The net change in unrealized appreciation or depreciation and the net realized gain or loss from closing out contracts are reflected on the Statements of Comprehensive Income as part of Net Gain (Loss) on Derivatives. (e) The Fund may enter into a forward contract to obtain exposure to a specific type of investment without actually investing directly in such investment. These contracts are valued based on the difference between the contract rate and the current market rate for the underlying investment, at the measurement date. The unrealized gain or loss and the net realized gain or loss from closing out contracts are reflected on the Statements of Comprehensive Income as part of Net Gain (Loss) on Derivatives. (f) The Fund may purchase standardized, exchange-traded futures contracts. Any outstanding futures contracts as at are listed in the Schedule of Investment Portfolio. Any difference between the value at the close of business on the current valuation day and that of the previous valuation day is settled in cash daily and recorded on the Statements of Comprehensive Income as Derivatives Income (Loss). Any amounts receivable (payable) from settlement of futures contracts are reflected on the Statements of Financial Position as Futures Margin Receivable (Payable). Short-term debt instruments as indicated in the Schedule of Investment Portfolio have been segregated and are held as margin against the futures contracts purchased by the Fund. (g) Options contracts that are traded in exchange markets are valued at their closing prices on each valuation day. The premium received or paid on options written or purchased is included in the cost of the options. Any difference between the current value of the contract and the value of the contract originated is recognized as net change in unrealized appreciation/depreciation on derivatives. When options are closed or exercised, the difference between the premium and the amount paid or received, or the full amount of the premium if the option expires worthless, is reflected on the Statements of Comprehensive Income as part of Net Gain (Loss) on Derivatives. The cost of a security purchased will be reduced by the premium received on options when a written put option is exercised. (h) Investments in underlying funds (mutual funds and TD Exchange- Traded Funds) are generally valued at the NAV per series unit of the underlying funds as reported by the underlying funds managers. (i) The exchange-traded funds (ETFs) are valued based on quoted market prices at the close of trading on the reporting date. 12

14 nnotes to the Interim Financial Report (Unaudited) Fair Value Hierarchy The Fund classifies its investment into fair value measurements within a hierarchy that prioritizes the inputs to fair value measurement. The fair value hierarchy has the following three levels: Level 1 Level 2 Level 3 Quoted (unadjusted) prices in active markets for identical assets or liabilities; Inputs other than quoted prices that are observable for the asset or liability either directly (that is, as prices) or indirectly (that is, derived from prices); and Inputs that are not based on observable market data (that is, unobservable inputs). All fair value measurements are recurring. The carrying values of Cash, Subscriptions Receivable, Interest Receivable, Dividends Receivable, Receivable for Investments Sold, Payable for Investments Purchased, Redemptions Payable, Distributions Payable, Accrued Liabilities and the Fund s obligation for Net Assets Attributable to Holders of Redeemable Units approximate their fair values due to their short-term nature. Fair values are classified as Level 1 when the related security or derivative is actively traded and a quoted price is available. If an instrument classified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1. In such cases, instruments are reclassified into Level 2, unless the measurement of its fair value requires the use of significant unobservable inputs, in which case it is classified as Level 3. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgment, considering factors specific to the asset or liability. The determination of what constitutes observable requires significant judgment. Observable data is considered to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. TDAM has a Global Fair Value Committee which oversees the performance of the fair value measurements included in the financial statements of the Fund, including any Level 3 measurements. TDAM utilizes a variety of methods (as listed in the Fair Value Measurement section) in determining the fair value of securities classified as Level 3. The committee also meets quarterly to perform reviews of the valuations of investments held by the Fund. Interest in Unconsolidated Structured Entities A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. TDAM has determined that all of the underlying funds and ETFs in which the Fund invests are unconsolidated structured entities. In making this determination, TDAM evaluated the fact that decision making about underlying funds and ETF s activities are generally not governed by voting or similar rights held by the Fund and other investors in any underlying funds and ETFs. The Fund may invest in underlying funds and ETFs whose investment objectives range from achieving short- to long-term income and capital growth potential. The Fund s interests in these securities as at and December 31, 2016 are included at their fair value on the Statements of Financial Position, which represent the Fund s exposure in these underlying funds and ETFs. The Fund does not provide and has not committed to provide any additional significant financial or other support to the underlying funds and ETFs. The change in fair value of each of the underlying funds and ETFs during the reporting periods is included in Net Change in Unrealized Appreciation/Depreciation on the Statements of Comprehensive Income in Net Gain (Loss) on Investments. Additional information on the Fund s interest in underlying funds and ETFs, where applicable, is provided in the Fund-Specific Notes to the Financial Statements. TD MUTUAL FUND TRUSTS The TD Mutual Fund Trusts may also invest in mortgage-related and other asset-backed securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. The debt and equity securities issued by these issuers may include tranches with varying levels of subordination. The Fund may also invest in senior notes that have a first lien on assets and have minimum exposure to junior or subordinate tranches. These securities may provide a monthly payment which consists of both interest and principal payments. Other asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. As at and December 31, 2016, the fair value of mortgagerelated and other asset-backed securities of the Fund, where applicable, is disclosed as part of the Investments on the Statements of Financial Position. This amount represents the maximum exposure to losses at that date. The change in fair value of mortgage-related and other asset-backed securities during the reporting periods are included in the Net Change in Unrealized Appreciation/Depreciation on Statements of Comprehensive Income in Net Gain (Loss) on Investments. The classification of the Fund s financial instruments within the fair value hierarchy as at and December 31, 2016, and any transfers between levels at end of the period as a result of changes in the lowest level input that is significant to the fair value measurement are disclosed in the Fund-Specific Notes to the Financial Statements, where applicable. 13

15 nnotes to the Interim Financial Report (Unaudited) Translation of Foreign Currencies The Fund s functional currency, as disclosed in the Fund-Specific Notes to the Financial Statements, represents the currency that TDAM views to most faithfully represent the economic effects of the Fund s underlying transactions, events and conditions taking into consideration how units are issued or redeemed and how returns are measured. Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates that transactions occur. Assets and liabilities denominated in a foreign currency are translated into the functional currency using the exchange rate prevailing at the measurement date. Foreign exchange gains and losses on the sale of investments are included in Net Realized Gain (Loss) on Investments. Unrealized foreign exchange gains and losses on investments held are included in Net Change in Unrealized Appreciation/Depreciation on Investments. Realized and unrealized foreign exchange gains and losses relating to cash are presented as Foreign Exchange Gain (Loss) on Cash on the Statements of Comprehensive Income. Offsetting Financial Assets and Liabilities Financial assets and liabilities are offset and the net amount reported on the Statements of Financial Position where the Fund has a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis or realize the asset and settle the liability simultaneously. In all other situations they are presented on a gross basis. In the normal course of business, the Fund may enter into various master netting agreements or other similar arrangements that do not meet the criteria for offsetting on the Statements of Financial Position but still allow for the related amounts to be set-off in certain circumstances, such as bankruptcy or the termination of the contracts. Offsetting information, where applicable, is presented in the Fund- Specific Notes to the Financial Statements. Reverse Repurchase Agreements The Fund may enter into reverse repurchase transactions. In a reverse repurchase transaction, the Fund buys a security at one price from a third party and agrees to sell the same security back to the same party at a specified price on an agreed future date and the difference is included as Net Gain (Loss) on Investments on the Statements of Comprehensive Income. The risk with these types of transactions is that the other party may default under the agreement or go bankrupt. These risks are reduced by requiring the other party to provide collateral to the Fund. The value of the collateral has to be at least 102 percent of the market value of the security and the collateral is marked to market on each business day. The type of securities received and related collateral held by the Fund, where applicable, are listed in the Schedule of Investment Portfolio. Cash Cash is comprised of deposits with financial institutions. Bank overdrafts are shown under Current Liabilities on the Statements of Financial Position. Receivable for Investments Sold/Payable for Investments Purchased Receivable for Investments Sold and Payable for Investments Purchased represent trades that have been contracted for but not yet settled or delivered in the Statements of Financial Position dates. Impairment of Financial Assets At each reporting date, the Fund assesses whether there is objective evidence that a financial asset at amortized cost is impaired. If such evidence exists, the Fund recognizes an impairment loss as the difference between the amortized cost of the financial asset and the present value of the estimated future cash flows, discounted using the instrument s original effective interest rate. Impairment losses on financial assets at amortized cost are reversed in subsequent periods if the amount of the loss decreases and the decrease can be related objectively to an event occurring after the impairment was recognized. Valuation of Series Units TDAM generally calculates the NAV for each series of the Fund as at 4 p.m. Eastern Time on each day that the Toronto Stock Exchange is open for trading. However, in some unusual circumstances, the series NAV per unit may be calculated at another time where it is in the best interests of unitholders to do so. The NAV is calculated, for processing purchase, switch, conversion or redemption orders of series units, for each series of units of the Fund by taking the series proportionate share of the Fund s common assets less that series proportionate share of the Fund s common liabilities and deducting from this amount all liabilities that relate solely to that specific series. The Net Assets Attributable to Holders of Redeemable Units Per Series Unit is determined by dividing the total Net Assets Attributable to Holders of Redeemable Units of each series of the Fund by the total number of units outstanding of that series at the reporting date. Income Recognition Interest for Distribution Purposes as shown on the Statements of Comprehensive Income includes interest income from cash and the coupon interest on debt instruments accounted for on an accrual basis. Interest Receivable is disclosed on the Statements of Financial Position based on the debt instruments stated rates of interest. The Fund does not amortize premiums paid or discounts received on the purchase of debt securities except for zero coupon bonds which are amortized. Dividend income and distributions from any underlying funds and ETFs, are recognized on the ex-dividend and ex-distribution date respectively. Distributions received from ETFs are recognized and presented in the financial statements based on the nature of the underlying components such as interest income, dividend income, capital gains and return of capital. The TD Mutual Fund Trusts may engage in securities lending pursuant to the terms of an agreement which includes restrictions as set out in Canadian securities legislation. The income earned from securities lending, where applicable, is included in the Statements of Comprehensive Income as it is earned. The fair value of the securities loaned and fair value of the collateral held is determined daily. The details of security lending income, aggregate values of securities on loan and related collateral held by the Fund is provided in the Fund-Specific Notes to the Financial Statements, where applicable. 14