DIMENSIONAL WHOLESALE TRUSTS Financial Statements for the Year Ended 30 June 2017

Transcription

1 Financial Statements for the Year Ended 30 June 2017 Australian Core Equity Trust ARSN Australian Value Trust ARSN Australian Large Company Trust ARSN Australian Small Company Trust ARSN Australian Core Imputation Trust ARSN

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3 FINANCIAL STATEMENTS for the Year Ended 30 June 2017 CONTENTS Directors Report 2 Auditor s Independence Declaration 9 Statements of Comprehensive Income 10 Statements of Financial Position 13 Statements of Changes in Equity 15 Statements of Cash Flows 16 Notes to the Financial Statements 19 Directors Declaration 71 Independent Auditor s Report 72

4 Directors Report for the Year Ended 30 June 2017 The directors of DFA Australia Limited (ABN ), the Responsible Entity of the following trusts, which form part of the Wholesale Trusts (collectively the Schemes ), present their report together with the Financial Statements of the following Schemes for the year ended 30 June 2017: Australian Core Equity Trust Australian Value Trust Australian Large Company Trust Australian Small Company Trust Australian Core Imputation Trust The Responsible Entity of the Schemes is DFA Australia Limited (the Responsible Entity ), a public company incorporated and operating in Australia. In order to comply with the provisions of the Corporations Act 2001, the directors of the Responsible Entity report as follows: Directors The names of the directors of the Responsible Entity during the year and up to the date of this report (unless otherwise stated) are: D.G. Booth G.J. Lennon (Resigned 27 September 2016) E.A. Repetto B.P. Singh J.G. Crane M.S. Gilliland (Appointed 3 October 2016) N.A.D. Stewart S.A. Clark (Appointed 3 October 2016) C.L. Newell 2 Annual Report 2017

5 Directors Report for the Year Ended 30 June 2017 Principal activities The Schemes are registered managed investment schemes domiciled in Australia. The principal activity of the Schemes is to invest funds in accordance with their investment objectives and guidelines. These are set out in the Schemes current Product Disclosure Statements and in accordance with the provisions of their Constitutions. The following is a summary of the investment objectives of the Schemes: Scheme Name Investment Objective Principal Investments Australian Core Equity Trust To provide long-term capital growth by gaining exposure to a diversified portfolio of securities listed in Australia, with increased exposure to small companies and value companies relative to a Market Capitalisation Weighted portfolio. Securities that provide exposure to value companies listed in Australia. Australian Value Trust Australian Large Company Trust Australian Small Company Trust Australian Core Imputation Trust The Schemes continued to have no employees during the year. To provide long-term capital growth by gaining exposure to a diversified portfolio of value companies listed in Australia. To provide long-term capital growth by gaining exposure to a diversified portfolio of large companies listed in Australia. To provide long-term capital growth by gaining exposure to a diversified portfolio of small companies listed in Australia. To provide long-term capital growth and to seek franked dividends by gaining exposure to a diversified portfolio of securities listed in Australia. Securities that provide exposure to value companies listed in Australia. Securities that provide exposure to large companies listed in Australia. Securities that provide exposure to small companies listed in Australia. Securities that provide exposure to value companies listed in Australia. Annual Report

6 Directors Report for the Year Ended 30 June 2017 Review and results of operations The results of the operations of the Schemes and the total amount distributed to unitholders are set out below. For details of distributions paid during the year, refer to Note 9 to the Financial Statements. Australian Core Equity Trust Year ended Australian Value Trust Year ended Australian Large Company Trust Year ended $ $ $ $ $ $ Operating profit/(loss) 274,134,963 34,123, ,074,506 (30,796,437) 75,123,201 77,805 Distributions paid and payable c/unit c/unit c/unit c/unit c/unit c/unit July Distribution September Distribution December Distribution March Distribution Final Distribution (June) Australian Small Company Trust Year ended Australian Core Imputation Trust Year ended $ $ $ $ Operating profit/(loss) 21,797,821 22,447,235 42,225,882 (5,929,679) Distributions paid and payable c/unit c/unit c/unit c/unit July Distribution September Distribution December Distribution March Distribution Final Distribution (June) Annual Report 2017

7 Directors Report for the Year Ended 30 June 2017 Matters subsequent to the end of the financial year There has not been any matter or circumstance, other than that referred to in the Financial Statements or Notes thereto, that has arisen since the end of the financial year that has significantly affected, or may significantly affect: (i) the operations of the Schemes in future financial years; or (ii) the results of those operations in future financial years; or (iii) the state of affairs of the Schemes in future financial years. Performance The following table summarises the performance of the Schemes over the past five years. The growth return for each period represents the per unit percentage change in the unit redemption price over the period. The distribution return is the difference between the period s total return and the growth return. Australian Core Equity Trust Australian Value Trust % % % % % % % % % % Growth return (2.59) (8.31) Distribution return Total return (3.42) Australian Large Company Trust Australian Small Company Trust % % % % % % % % % % Growth return (4.86) (5.38) (4.37) Distribution return Total return (0.19) (2.47) (0.19 ) Australian Core Imputation Trust % % % % % Growth return (7.78) (2.03) Distribution return Total return (2.82) 2.69 Annual Report

8 Directors Report for the Year Ended 30 June 2017 Indirect Cost Ratio (ICR) The ICR includes the Responsible Entity s management fee and recoverable expenses (including the fees and expenses of any underlying funds in which the Schemes may have invested), but excludes transaction costs and government charges. The ICR also includes GST after taking into account any expected reduced input tax credits. The ICR captures expenses which are incurred by the operation of the Schemes. Expenses which would be incurred by a direct investor, such as transaction costs, brokerage, government taxes and charges on purchases and sales, are excluded where these can be identified and isolated. Australian Core Equity Trust Australian Value Trust % % % % % % % % % % Direct ICR Total ICR Australian Large Company Trust Australian Small Company Trust % % % % % % % % % % Direct ICR Total ICR Australian Core Imputation Trust % % % % % Direct ICR Total ICR All expenses of the Schemes are incurred directly. 6 Annual Report 2017

9 Directors Report for the Year Ended 30 June 2017 Significant changes in state of affairs There were no significant changes in the state of affairs of the Schemes that occurred during the financial year. Likely developments and expected results of operations The Schemes will continue to be managed in accordance with the investment objectives and guidelines as set out in the governing documents of the Schemes and in accordance with the provisions of the Schemes Constitutions. The results of the Schemes operations will be affected by a number of factors, including the performance of investment markets in which the Schemes invest. Investment performance is not guaranteed and future returns may differ from past returns. As investment conditions change over time, past returns should not be used to predict future returns. Further information on likely developments in the operations of the Schemes and the expected results of those operations has not been included in this report because the Responsible Entity believes it would be likely to result in unreasonable prejudice to the Schemes. Options granted No options were: (i) granted over unissued units in the Schemes during or since the end of the financial year; or (ii) granted to the Responsible Entity. No unissued units in the Schemes were under option as at the date on which this report was made. No units were issued in the Schemes during or since the end of the financial year as a result of the exercise of an option over unissued units in the Schemes. Indemnification and insurance of officers and auditor No insurance premiums are paid for out of the assets of the Schemes in regards to insurance cover provided to either the officers of the Responsible Entity or the auditor of the Schemes. So long as the officers of the Responsible Entity act in accordance with the Schemes constitutions and the Law, the officers remain indemnified out of the assets of the Schemes against losses incurred while acting on behalf of the Schemes. The auditor of the Schemes is in no way indemnified out of the assets of the Schemes. Annual Report

10 Directors Report for the Year Ended 30 June 2017 Scheme information in the financial report Fees paid to the Responsible Entity and its associates out of the Schemes property during the year are disclosed in the Statements of Comprehensive Income and in Note 13(e) to the Financial Statements. The number of units in the Schemes held by the Responsible Entity or its associates as at the end of the financial year are disclosed in Note 13(d) to the Financial Statements. The number of interests in the Schemes issued during the financial year, withdrawals from the Schemes during the financial year, and the number of interests in the Schemes at the end of the financial year are disclosed in Note 7 to the Financial Statements. The value of the Schemes assets as at the end of the financial year are disclosed in the Statements of Financial Position as Total Assets and the basis of valuation is included in Note 2 to the Financial Statements. Auditor s Independence Declaration A copy of the Auditor s Independence Declaration as required under section 307C of the Corporations Act 2001 is set out on page 9. Environmental regulation The operations of the Schemes are not subject to any particular or significant environmental regulations under either Commonwealth, State or Territory law. Signed in accordance with a resolution of the directors of the Responsible Entity made pursuant to section 298(2) of the Corporations Act On behalf of the directors, J.G. Crane Director B.P. Singh Director Sydney, 18 September Annual Report 2017

11 Auditor s Independence Declaration 30 June 2017 Annual Report

12 Statements of Comprehensive Income for the Year Ended 30 June 2017 Investment income Australian Core Equity Trust Year ended Australian Value Trust Year ended 30 June June June June 2016 Note $ $ $ $ Interest income 143, ,276 51,609 58,722 Dividend and distribution income 78,112,313 69,752,957 29,065,459 30,376,639 Unrealised gains/(losses) on financial instruments held at fair value through profit or loss 4 165,064,654 (28,748,123) 69,401,338 (41,842,833) Realised gains/(losses) on disposal of financial instruments held at fair value through profit or loss 4 35,426,378 (3,705,431) 44,334,531 (18,116,459 ) Other income 1,334,739 1,609, , ,421 Total net investment income/(loss) 280,081,138 39,086, ,347,969 (28,533,510) Expenses Management fees 13(e) 5,754,125 4,783,104 2,143,037 2,131,238 Brokerage fees 188, , , ,689 Other expenses 3,994 3,983 Total operating expenses 5,946,175 4,963,180 2,273,463 2,262,927 Operating profit/(loss) 274,134,963 34,123, ,074,506 (30,796,437) Finance costs attributable to unitholders Distributions to unitholders 9 71,977,505 70,563,029 26,443,867 32,801,560 Increase/(decrease) in net assets attributable to unitholders 7 202,157,458 (36,439,635) 114,630,639 (63,597,997) Net profit/(loss) for the year Other comprehensive income Total comprehensive income for the year The Notes to the Financial Statements should be read in conjunction with the above Statements of Comprehensive Income. 10 Annual Report 2017

13 Statements of Comprehensive Income for the Year Ended 30 June 2017 Investment income Australian Large Company Trust Year ended Australian Small Company Trust Year ended 30 June June June June 2016 Note $ $ $ $ Interest income 26,395 49,438 16,640 22,520 Dividend and distribution income 22,311,687 22,311,308 7,519,779 7,386,738 Unrealised gains/(losses) on financial instruments held at fair value through profit or loss 4 32,698,768 (27,994,642) 9,852,534 48,751,158 Realised gains/(losses) on disposal of financial instruments held at fair value through profit or loss 4 21,199,438 6,634,394 5,241,983 (32,905,268) Other income 94, , , ,203 Total net investment income/(loss) 76,330,395 1,196,844 23,123,485 23,716,351 Expenses Management fees 13(e) 1,151,969 1,071,339 1,293,578 1,240,334 Brokerage fees 51,242 47,700 28,103 28,782 Other expenses 3,983 3,983 Total operating expenses 1,207,194 1,119,039 1,325,664 1,269,116 Operating profit/(loss) 75,123,201 77,805 21,797,821 22,447,235 Finance costs attributable to unitholders Distributions to unitholders 9 21,139,224 22,874,025 6,722,714 7,147,935 Increase/(decrease) in net assets attributable to unitholders 7 53,983,977 (22,796,220) 15,075,107 15,299,300 Net profit/(loss) for the year Other comprehensive income Total comprehensive income for the year The Notes to the Financial Statements should be read in conjunction with the above Statements of Comprehensive Income. Annual Report

14 Statements of Comprehensive Income for the Year Ended 30 June 2017 Investment income Australian Core Imputation Trust Year ended 30 June June 2016 Note $ $ Interest income 17,931 27,639 Dividend and distribution income 15,200,541 11,138,230 Unrealised gains/(losses) on financial instruments held at fair value through profit or loss 4 27,875,582 (16,479,685) Realised gains/(losses) on disposal of financial instruments held at fair value through profit or loss 4 (81,702) (92,680) Other income 113, ,300 Total net investment income/(loss) 43,125,438 (5,235,196) Expenses Management fees 13(e) 860, ,057 Brokerage fees 35,011 29,284 Other expenses 3,992 1,142 Total operating expenses 899, ,483 Operating profit/(loss) 42,225,882 (5,929,679) Finance costs attributable to unitholders Distributions to unitholders 9 14,270,167 11,356,864 Increase/(decrease) in net assets attributable to unitholders 7 27,955,715 (17,286,543) Net profit/(loss) for the year Other comprehensive income Total comprehensive income for the year The Notes to the Financial Statements should be read in conjunction with the above Statements of Comprehensive Income. 12 Annual Report 2017

15 Statements of Financial Position as at 30 June 2017 Assets Australian Core Equity Trust As at Australian Value Trust As at Australian Large Company Trust As at 30 June June June June June June 2016 Note $ $ $ $ $ $ Cash and cash equivalents 10(a) 16,446,002 7,946,305 3,894,162 4,102,379 1,761,569 3,543,990 Deposits held with brokers for margin Financial assets held at fair value through profit or loss 3 1,989,296,834 1,658,305, ,530, ,388, ,939, ,382,888 Receivables 5 18,665,076 15,227,157 6,710,154 8,222,222 4,674,136 4,973,401 Total assets 2,024,407,965 1,681,479, ,134, ,713, ,375, ,900,279 Liabilities Payables 6 6,371,053 5,337,434 2,126,159 3,380,331 1,020,013 2,175,576 Distributions payable 9 11,754,303 9,008,072 1,138, ,344 3,129,793 2,564,461 Total liabilities (excluding net assets attributable to unitholders) 18,125,356 14,345,506 3,264,731 3,959,675 4,149,806 4,740,037 Net assets attributable to unitholders - liability 7 2,006,282,609 1,667,134, ,869, ,753, ,225, ,160,242 The Notes to the Financial Statements should be read in conjunction with the above Statements of Financial Position. Annual Report

16 Statements of Financial Position as at 30 June 2017 Assets Australian Small Company Trust As at Australian Core Impulation Trust As at 30 June June June June 2016 Note $ $ $ $ Cash and cash equivalents 10(a) 2,220,233 1,799,506 1,551,785 1,143,154 Deposits held with brokers for margin 6 Financial assets held at fair value through profit or loss 3 217,789, ,895, ,585, ,971,478 Receivables 5 531,042 1,093,707 2,170,470 1,980,647 Total assets 220,540, ,788, ,307, ,095,279 Liabilities Payables 6 2,344,364 2,504, ,546 1,211,291 Distributions payable 9 997, , , ,425 Total liabilities (excluding net assets attributable to unitholders) 3,341,633 3,239, ,943 1,727,716 Net assets attributable to unitholders - liability 7 217,198, ,549, ,337, ,367,563 The Notes to the Financial Statements should be read in conjunction with the above Statements of Financial Position. 14 Annual Report 2017

17 Statements of Changes in Equity for the Year Ended 30 June 2017 Australian Core Equity Trust Year ended Australian Value Trust Year ended Australian Large Company Trust Year ended Australian Small Company Trust Year ended 30 June June June June June June June June 2016 $ $ $ $ $ $ $ $ Total equity at the beginning of the financial year Profit/(loss) for the year Other comprehensive income Total comprehensive income Transactions with owners in their capacity as owners Total equity at the end of the financial year Australian Core Imputation Trust Year ended 30 June June 2016 $ $ Total equity at the beginning of the financial year Profit/(loss) for the year Other comprehensive income Total comprehensive income Transactions with owners in their capacity as owners Total equity at the end of the financial year Under Australian Accounting Standards, net assets attributable to unitholders are classified as a liability rather than equity. As a result, the Schemes have no equity at the start or end of the financial year. The Notes to the Financial Statements should be read in conjunction with the above Statements of Changes in Equity. Annual Report

18 Statements of Cash Flows for the Year Ended 30 June 2017 Cash flows from operating activities Australian Core Equity Trust Year ended Australian Value Trust Year ended 30 June June June June 2016 Note $ $ $ $ Proceeds from sale of financial instruments held at fair value through profit and loss 258,592, ,887, ,937, ,307,992 Purchase of financial instruments held at fair value through profit and loss (389,881,272) (384,091,786) (186,125,799) (207,847,950 ) Dividends and distributions received 77,173,202 68,566,831 28,481,442 31,677,591 Interest received 139, ,253 52,538 82,339 Expenses paid (5,674,942) (4,790,267) (2,150,600) (2,216,088) Other income received 1,301,025 1,574, ,158 1,030,782 Net cash provided by/(used in) operating activities 10(b) (58,350,290) (107,660,329) 144,692, ,034,666 Cash flows from financing activities Proceeds from applications by unitholders 381,885, ,648,806 83,146,457 83,281,759 Payments for redemptions by unitholders (249,420,061) (167,684,024) (205,134,638) (189,317,540) Distributions paid (65,615,870) (67,420,290 ) (22,912,265) (29,000,431) Net cash provided by/(used in) financing activities 66,849, ,544,492 (144,900,446) (135,036,212) Net increase/(decrease) in cash and cash equivalents 8,499, ,163 (208,217) (1,001,546) Cash and cash equivalents at the beginning of the year 7,946,305 7,062,142 4,102,379 5,103,925 Effects of foreign currency exchange rate changes on cash and cash equivalents Cash and cash equivalents at the end of the year 10(a) 16,446,002 7,946,305 3,894,162 4,102,379 The Notes to Financial Statements should be read in conjunction with the above Statements of Cash Flows. 16 Annual Report 2017

19 Statements of Cash Flows for the Year Ended 30 June 2017 Cash flows from operating activities Australian Large Company Trust Year ended Australian Small Company Trust Year ended 30 June June June June 2016 Note $ $ $ $ Proceeds from sale of financial instruments held at fair value through profit and loss 112,484,754 73,409,503 60,166,115 71,202,426 Purchase of financial instruments held at fair value through profit and loss (75,506,660) (110,872,041) (53,870,845) (54,572,402) Dividends and distributions received 22,597,522 21,814,345 7,742,587 7,211,767 Interest received 26,708 51,638 16,342 22,761 Expenses paid (1,153,168) (1,076,889) (1,297,269) (1,255,231) Other income received 96, , , ,559 Net cash provided by/(used in) operating activities 10(b) 58,545,648 (16,479,350) 13,252,639 23,060,880 Cash flows from financing activities Proceeds from applications by unitholders 76,713,771 89,086,400 32,827,393 24,993,586 Payments for redemptions by unitholders (117,037,940) (48,624,836) (39,464,232) (40,640,836) Distributions paid (20,003,900) (22,218,256) (6,195,073) (7,139,143) Net cash provided by/(used in) financing activities (60,328,069) 18,243,308 (12,831,912) (22,786,393) Net increase/(decrease) in cash and cash equivalents (1,782,421) 1,763, , ,487 Cash and cash equivalents at the beginning of the year 3,543,990 1,780,033 1,799,506 1,525,019 Effects of foreign currency exchange rate changes on cash and cash equivalents (1) Cash and cash equivalents at the end of the year 10(a) 1,761,569 3,543,990 2,220,233 1,799,506 The Notes to Financial Statements should be read in conjunction with the above Statements of Cash Flows. Annual Report

20 Statements of Cash Flows for the Year Ended 30 June 2017 Cash flows from operating activities Australian Core Imputation Trust Year ended 30 June June 2016 Note $ $ Proceeds from sale of financial instruments held at fair value through profit and loss 59,422,789 19,366,365 Purchase of financial instruments held at fair value through profit and loss (73,322,024) (90,025,843) Dividends and distributions received 15,047,460 10,391,900 Interest received 19,335 27,814 Expenses paid (854,065) (654,837) Other income received 112, ,553 Net cash provided by/(used in) operating activities 10(b) 426,185 (60,732,048) Cash flows from financing activities Proceeds from applications by unitholders 49,922,999 91,736,111 Payments for redemptions by unitholders (36,130,961) (17,520,198) Distributions paid (13,809,592) (13,672,078) Net cash provided by/(used in) financing activities (17,554) 60,543,835 Net increase/(decrease) in cash and cash equivalents 408,631 (188,213) Cash and cash equivalents at the beginning of the year 1,143,154 1,331,367 Effects of foreign currency exchange rate changes on cash and cash equivalents Cash and cash equivalents at the end of the year 10(a) 1,551,785 1,143,154 The Notes to Financial Statements should be read in conjunction with the above Statements of Cash Flows. 18 Annual Report 2017

21 1. General information These Financial Statements cover the following Schemes as individual entities; Scheme Name Date of Constitution Date of Commencement Date of Activation Date of Termination Australian Core Equity Trust 5 October June July June 2086 Australian Value Trust 11 November June June June 2078 Australian Large Company Trust 11 November June September June 2078 Small Company Trust 11 November June October June 2078 Australian Core Imputation Trust 13 June July July July 2094 The Schemes are registered managed investment schemes domiciled in Australia. The Schemes may be terminated prior to termination date in accordance with the provisions of the Schemes Constitutions. The Responsible Entity of the Schemes is DFA Australia Limited (the Responsible Entity ), a public company incorporated and operating in Australia. Principal Registered Office and Place of Business Level 43 1 Macquarie Place Sydney NSW 2000 Tel: (02) Fax: (02) invest@dimensional.com.au The Financial Statements are presented in the Australian currency. The Financial Statements were authorised for issue by the directors of the Responsible Entity on 18 September The directors of the Responsible Entity have the power to amend and reissue the Financial Statements. Annual Report

22 2. Summary of significant accounting policies Financial reporting framework These general-purpose Financial Statements have been prepared in accordance with Australian Accounting Standards and interpretations issued by the Australian Accounting Standards Board, and the Corporations Act 2001 in Australia. The Schemes are for-profit entities for the purpose of preparing the Financial Statements. (a) Basis of preparation The Schemes are of the kind referred to in ASIC Corporations (Related Scheme Reports) Instrument 2015/839 dated 18 September 2015 issued by ASIC and in accordance with that Instrument, Schemes with a common Responsible Entity can include the Financial Statements in adjacent columns in a single financial report. The Financial Statements are prepared on the basis of fair value measurement of assets and liabilities except where otherwise stated. The Statements of Financial Position are presented on a liquidity basis. Assets and liabilities are presented in decreasing order of liquidity and do not distinguish between current and non-current. All balances are expected to be recovered or settled within 12 months, except for financial assets at fair value through profit or loss and net assets attributable to unitholders. The amount expected to be recovered or settled within 12 months after the end of each reporting period cannot be reliably determined. The following significant accounting policies have been adopted in the preparation and presentation of the Financial Statements and have been consistently applied to all years presented unless otherwise stated below: (i) Compliance with International Financial Reporting Standards The Financial Statements of the Schemes also comply with International Financial Reporting Standards as issued by the International Accounting Standards Board. (ii) New and amended standards adopted by the Schemes There are no standards, interpretations or amendments to existing standards that are effective for the first time for the financial year beginning 1 July 2016 that have a material impact on the Schemes. (b) Financial instruments (i) Financial assets and liabilities held at fair value through profit or loss The Schemes investments are categorised as at fair value through profit or loss. They comprise: > > Financial instruments held for trading 20 Annual Report 2017

23 2. Summary of significant accounting policies (continued) (b) Financial instruments (continued) Derivative financial instruments such as futures, forward currency contracts, options and swaps are included under this classification. Financial assets and liabilities held for trading are acquired or incurred principally for the purpose of selling or repurchase in the short term. The Schemes do not designate any derivatives as hedges in a hedging relationship. > > Financial instruments designated at fair value through profit or loss upon initial recognition. These include financial assets that are not held for trading purposes and which may be sold. These are investments in listed equities and listed unit trusts. Financial assets and financial liabilities designated at fair value through profit or loss at inception are those that are managed and their performance evaluated on a fair value basis in accordance with the Schemes documented investment strategy. The Schemes policy is for the Responsible Entity to evaluate the information about these financial instruments on a fair value basis together with other related financial information. The Schemes have designated investments as at fair value through profit or loss and classified derivatives as held for trading. These securities are initially recognised at fair value. Investments are valued at their net fair value as at the end of each reporting period. Gains and losses arising from changes in the fair value of the financial assets at fair value through profit or loss category are included in the Statements of Comprehensive Income in the period in which they arise. Investments are derecognised when the right to receive cash flows from the investments has expired or the Schemes have transferred substantially all risks and rewards of ownership. The following represent the basis of valuation for financial reporting purposes: (i) Securities that are listed or traded on an exchange are fair valued based on quoted last prices on long securities. (ii) Securities which are not listed on a securities exchange or are thinly traded are valued using quotes from brokers. Investments in unlisted unit trusts are valued at the redemption price as established by the underlying trust s Responsible Entity. (iii) In the absence of quoted values or brokers representative prices, securities are valued using appropriate valuation techniques as reasonably determined by the Responsible Entity. The Responsible Entity has determined that the Schemes are an investment entity under AASB 10 as they meet all the criteria and characteristics of an investment entity. (ii) Loans and receivables Loan assets are measured initially at fair value plus transaction costs and subsequently amortised using the effective interest rate method, less impairment losses if any. Such assets are reviewed at the end of each reporting period to determine whether there is objective evidence of impairment. If evidence of impairment exists, an impairment loss is recognised in the Statements of Comprehensive Income as the difference between the asset s carrying amount and the present value of estimated future cash flows discounted at the original effective interest rate. If in a subsequent period the amount of an impairment loss recognised on a financial asset carried at amortised cost decreases and the decrease can be linked objectively to an event occurring after the write-down, the write-down is reversed through the Statements of Comprehensive Income. (iii) Offsetting financial instruments Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the asset and settle the liability simultaneously. Annual Report

24 2. Summary of significant accounting policies (continued) (b) Financial instruments (continued) (iv) Recognition/derecognition The Schemes recognise financial assets and financial liabilities on the date it becomes party to the contractual agreement (trade date) and recognises changes in the fair value of the financial assets or financial liabilities from this date. Investments are derecognised when the right to receive cash flows from the investments have expired or have been transferred and the Schemes have transferred substantially all of the the risks and rewards of ownership. (c) Net assets attributable to unitholders Units are redeemable at the unitholders option and are classified as financial liabilities as the Schemes are required to distribute their distributable income. The units can be put back to the Schemes at any time for cash based on the redemption price. The fair value of redeemable units is measured at the redemption amount that is payable (based on the redemption unit price) at the end of the reporting period if unitholders exercised their right to redeem units in the Schemes. (d) Derivative financial instruments Derivative financial instruments are categorised as held for trading, as the Schemes do not designate any derivatives as hedges in a hedging relationship (other than forward currency contracts). Derivatives are recognised at fair value on the date on which a derivative contract is entered into and are subsequently remeasured at their fair value. Fair values are obtained from quoted market prices in active markets, including recent market transactions and valuation techniques. (e) Investment income Interest income is brought to account on an accruals basis using the effective interest method. Interest on cash funds is included in interest income. Dividend income is recognised on the ex-dividend date inclusive of any related foreign withholding tax. Distribution revenue is recognised when the Schemes right to receive payment is established. Changes in the fair value of financial assets and liabilities are recognised as revenues or expenses in the Statements of Comprehensive Income in the year in which the changes occur in accordance with Note 2(b). (f) Expenses All expenses, including Responsible Entity fees and custodian fees, are recognised in profit or loss on an accruals basis. (g) Cash and cash equivalents For the purpose of the Statements of Cash Flows, cash and cash equivalents include deposits at call which are readily convertible to cash on hand and are subject to an insignificant risk of changes in value, and bank overdrafts. Overdrafts are presented as liabilities in the Statements of Financial Position. (h) Deposits with brokers Margin accounts comprise cash held as collateral for derivative transactions and short sales. The cash is held by the broker and is only available to meet margin calls. 22 Annual Report 2017

25 2. Summary of significant accounting policies (continued) (i) Income tax Under current legislation, the Schemes are not subject to income tax provided the taxable income of the Schemes is fully distributed either by way of cash or reinvestment (i.e. unitholders are presently entitled to the income of the Schemes). Financial instruments held at fair value may include unrealised capital gains. Should such a gain be realised, that portion of the gain that is subject to capital gains tax will be distributed so that the Schemes are not subject to capital gains tax. Realised capital losses are not distributed to unitholders but are retained in the Schemes to be offset against any realised capital gains. If realised capital gains exceed realised capital losses, the excess is distributed to unitholders. The benefits of imputation credits and foreign tax paid are passed on to unitholders. The Schemes currently incur withholding tax imposed by certain countries on investment income. Such income is recorded net of withholding tax in the Statements of Comprehensive Income. (j) Distributions In accordance with the Schemes Constitutions, the Schemes fully distribute their distributable income to unitholders by cash or reinvestment. Distributable income is determined by reference to the taxable income of the Schemes. The distributions are normally paid quarterly at the end of September, December, March and June each year. There was an interim distribution in July 2016 for Australian Core Equity Trust, Australian Value Trust, Australian Large Company Trust and Australian Core Imputation Trust. Distributions in the current period are recognised in the Statements of Comprehensive Income as finance costs attributable to unitholders. (k) Increase/decrease in net assets attributable to unitholders Non-distributable income is included in net assets attributable to unitholders and may consist of unrealised changes in the market value of investments, accrued income not yet assessable, expenses provided or accrued for which are not yet deductible, net capital losses and tax-free or tax-deferred income. Net capital gains on the realisation of any investments (including any adjustments for tax-deferred income previously taken directly to unitholders funds) and accrued income not yet assessable will be included in the determination of distributable income in the same year in which they become assessable for tax. Movements in net assets attributable to unitholders are recognised in the Statements of Comprehensive Income as financing costs. (l) Receivables Receivables may include amounts for dividends, trust distributions, interest and securities sold where settlement has not yet occurred. Interest is accrued at the end of each reporting period from the time of last payment. Amounts are generally received within 30 days of being recorded as receivables. (m) Payables Payables represent liabilities and accrued expenses owing by the Schemes at year end which are unpaid. The amounts are unsecured and are usually paid within 30 days of recognition. Trades are recorded on trade date and normally settled within three business days. Purchases of securities and investments that are unsettled at reporting date are included in payables. The distributions payable to unitholders as at the end of each reporting period are recognised separately in the Statements of Financial Position, as unitholders are presently entitled to the distributable income as at 30 June 2017 under the Schemes Constitutions. (n) Applications and redemptions Applications received for units in the Schemes are recorded net of any Transaction Cost Allowance payable before the issue of units in the Schemes. Redemptions from the Schemes are recorded gross of any Transaction Cost Allowance payable after the cancellation of units redeemed. Unit redemption prices are determined by reference to the net assets of the Schemes, divided by the number of units on issue at or immediately before close of business each day less any Transaction Cost Allowance. Issues and redemptions of units are processed simultaneously. Annual Report

26 2. Summary of significant accounting policies (continued) (o) Goods and Services Tax (GST) The GST incurred on the cost of various services provided to the Responsible Entity by third parties, such as audit fees, custodial fees and other expenses of the Schemes, have been passed on to the Schemes. The Schemes qualify for Reduced Input Tax Credits (RITCs) on certain fees and expenses, which have been recognised in the Statements of Comprehensive Income net of the amount of GST recoverable from the Australian Taxation Office (ATO). Accounts payable are inclusive of GST. The net amount of GST recoverable from the ATO is included in receivables in the Statements of Financial Position. Cash flows related to GST are included in the Statements of Cash Flows on a gross basis. (p) Foreign currency transactions and translation (i) Functional and presentation currency Items included in the Schemes Financial Statements are measured using the currency of the primary economic environment in which they operate (the functional currency ). This is the Australian dollar, reflecting the currency of the economy in which the Schemes compete for funds and are regulated. The Australian dollar is also the Schemes presentation currency. (ii) Transactions and balances Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translations at year-end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the Statements of Comprehensive Income. Non-monetary items that are measured at fair value in a foreign currency are translated using the exchange rates at the date when fair value was determined. Translation differences on assets and liabilities carried at fair value are reported in the Statements of Comprehensive Income on a net basis within net gains/(losses) on financial instruments held at fair value through profit or loss. (q) Use of estimates The Schemes make estimates and assumptions that affect the reported amounts of assets and liabilities within the next financial year. Estimates are continually evaluated and based on historical experience and other factors, including expectations of future events that are believed to be reasonable in the circumstances. Quoted market prices are readily available for most of the Schemes financial instruments. However, certain financial instruments, for example, over-the-counter derivatives or unquoted securities, are fair valued using valuation techniques. Where valuation techniques (for example, pricing models) are used to determine fair values, they are validated and periodically reviewed by experienced personnel of the Responsible Entity, independent of the area that created them. Models use observable data, to the extent practicable. However, areas such as credit risk (both own and counterparty), volatilities and correlations require management to make estimates. Changes in assumptions about these factors could affect the reported fair value of financial instruments. For certain other financial instruments, including amounts due from/to brokers and payables, the carrying amounts approximate fair value due to the short-term nature of these financial instruments. (r) Impairment of financial assets Financial assets, other than those at fair value through profit or loss, are assessed for indicators of impairment at the end of the reporting period. Financial assets are impaired where there is objective evidence that as a result of one or more events that occurred after the initial recognition of the financial asset the estimated future cash flows of the investment have been impacted. For financial assets carried at amortised cost, the amount of the impairment is the difference between the asset s carrying amount and the present value of estimated future cash flows, discounted at the original effective interest rate. 24 Annual Report 2017

27 2. Summary of significant accounting policies (continued) (r) Impairment of financial assets (continued) The carrying amount of the financial asset is reduced by the impairment loss directly for all financial assets with the exception of trade receivables, where the carrying amount is reduced through the use of an allowance account. When a trade receivable is uncollectable, it is written off against the allowance account. Subsequent recoveries of amounts previously written off are credited against the allowance account. Changes in the carrying amount of the allowance account are recognised in profit or loss. If, in a subsequent period, the amount of the impairment loss decreases and the decrease can be related objectively to an event occurring after the impairment was recognised, the previously recognised impairment loss is reversed through profit or loss to the extent the carrying amount of the investment at the date of the impairment does not exceed what the amortised cost would have been had the impairment not been recognised. (s) New accounting standards and interpretations Certain new accounting standards and interpretations have been published that are not mandatory for 30 June 2017 reporting periods and have not been early adopted by the Scheme. The directors assessment of the impact of these new standards (to the extent relevant to the Schemes) and interpretations is set out below: (i) AASB 9 Financial Instruments (and applicable amendments), (effective from 1 January 2018) AASB 9 Financial Instruments addresses the classification, measurement and derecognition of financial assets and financial liabilities. It has now also introduced revised rules around hedge accounting. The standard is not applicable until 1 January 2018 but is available for early adoption. The directors do not expect this to have a significant impact on the recognition and measurement of the Schemes financial instruments as they are carried at fair value through profit or loss. The derecognition rules have not been changed from the previous requirements, and the Schemes do not apply hedge accounting. AASB 9 introduces a new impairment model. However, as the Schemes investments are all held at fair value through profit or loss, the change in impairment rules will not impact the Schemes. The Schemes have not yet decided when to adopt AASB 9. (ii) AASB 15 Revenue from Contracts with Customers, (effective from 1 January 2018) The AASB has issued a new standard for the recognition of revenue. This will replace AASB 118 which covers contracts for goods and services and AASB 111 which covers construction contracts. The new standard is based on the principle that revenue is recognised when control of a good or service transfers to a customer so the notion of control replaces the existing notion of risks and rewards. The Schemes main sources of income are interest, dividends and gains on financial instruments held at fair value. All these are outside the scope of the new revenue standard. As a consequence, the directors do not expect the adoption of the new revenue recognition rules to have a significant impact on the Schemes accounting policies or the amounts recognised in the Financial Statements. (iii) AASB 16 Leases, (effective from 1 January 2018) AASB 16 Leases amends the accounting for leases. Lessees will be required to bring all leases on Balance Sheet as the distinction between operating and finance leases has been eliminated. Lessor accounting remains largely unchanged. AASB 16 is not mandatory until 1 January 2019 for the Schemes. The potential financial impacts of the above to the Schemes have not yet been determined. The Schemes do not intend to early adopt these standards. Annual Report

28 3. Financial assets held at fair value through profit or loss Held for trading Designated at fair value through profit or loss Australian Core Equity Trust Fair value Australian Value Trust Fair value Australian Large Company Trust Fair value 30 June June June June June June 2016 $ $ $ $ $ $ Listed equities 1,789,921,447 1,450,945, ,680, ,847, ,756, ,938,482 Listed unit trusts 199,375, ,360,825 8,849,542 6,541,648 58,183,048 66,444,406 Total financial assets held at fair value through profit or loss 1,989,296,834 1,658,305, ,530, ,388, ,939, ,382,888 Australian Small Company Trust Fair value Australian Core Imputation Trust Fair value 30 June June June June 2016 $ $ $ $ Held for trading Designated at fair value through profit or loss Listed equities 215,399, ,610, ,796, ,444,636 Listed unit trusts 2,390,075 5,284,906 4,788,917 6,526,842 Total financial assets held at fair value through profit or loss 217,789, ,895, ,585, ,971,478 An overview of the risk exposures relating to financial assets held at fair value through profit or loss is included in Note 14. The Schemes have entered into a securities lending arrangement with Citigroup. In accordance with the terms of the securities lending arrangement, the securities lent continue to be disclosed in the Statements of Financial Position of the Schemes, while the respective collateral received from counterparties is not included in the Statements of Financial Position. 26 Annual Report 2017

29 3. Financial assets held at fair value through profit or loss (continued) As at 30 June 2017, the value of securities lent to the counterparty and the respective collateral received are set out in the following tables: Australian Core Equity Trust Australian Value Trust Fair value Collateral value Fair value Collateral value 30 June June June June June June June June 2016 $ $ $ $ $ $ $ $ 76,433,191 90,359,059 80,254,850 94,877,012 5,711,966 24,560,753 5,997,565 25,788,790 Australian Large Company Trust Australian Small Company Trust Fair value Collateral value Fair value Collateral value 30 June June June June June June June June 2016 $ $ $ $ $ $ $ $ 5,587,900 30,566,545 5,867,295 32,094,872 22,871,680 23,015,127 24,017,044 24,167,647 Australian Core Imputation Trust Fair value Collateral value 30 June June June June 2016 $ $ $ $ 8,097,852 36,739,143 8,502,745 38,576,100 Annual Report

30 4. Net gains/(losses) on financial instruments held at fair value through profit or loss Net gains/(losses) recognised in relation to financial assets held at fair value through profit or loss: Australian Core Equity Trust Australian Value Trust Australian Large Company Trust 30 June June June June June June 2016 $ $ $ $ $ $ Financial assets Net gain/(loss) on financial assets held for trading 86,561 (192,928) 335,137 Net gain/(loss) on financial assets designated as at fair value through profit or loss 200,405,077 (32,260,626) 113,736,324 (60,294,430) 53,898,370 (21,360,248) Net gain/(loss) on financial assets held at fair value through profit or loss 200,491,638 (32,453,554) 113,736,324 (59,959,293) 53,898,370 (21,360,248) Net realised gain/(loss) on financial assets held at fair value through profit or loss 35,426,984 (3,705,431) 44,334,986 (18,116,460) 21,199,602 6,634,394 Net unrealised gain/(loss) on financial assets held at fair value through profit or loss 165,064,654 (28,748,123) 69,401,338 (41,842,833) 32,698,768 (27,994,642) Net gain/(loss) on financial assets held at fair value through profit or loss 200,491,638 (32,453,554) 113,736,324 (59,959,293) 53,898,370 (21,360,248) Financial liabilities Net gain/(loss) on financial liabilities held for trading (606) (455) (164) Net gain/(loss) on financial liabilities designated as at fair value through profit or loss Net gain/(loss) on financial liabilities held at fair value through profit or loss (606) (455) (164) Net realised gain/(loss) on financial liabilities held at fair value through profit or loss (606) (455) (164) Net unrealised gain/(loss) on financial liabilities held at fair value through profit or loss Net gain/(loss) on financial liabilities held at fair value through profit or loss (606) (455) (164) Total net gain/(loss) on financial instruments held at fair value through profit or loss 200,491,032 (32,453,554) 113,735,869 (59,959,293) 53,898,206 (21,360,248) 28 Annual Report 2017

31 4. Net gains/(losses) on financial instruments held at fair value through profit or loss (continued) Net gains/(losses) recognised in relation to financial assets held at fair value through profit or loss: (continued) Australian Small Company Trust Australian Core Imputation Trust 30 June June June June 2016 $ $ $ $ Financial assets Net gain/(loss) on financial assets held for trading 16,594 14,595 89,750 Net gain/(loss) on financial assets designated as at fair value through profit or loss 15,094,517 15,829,297 27,779,378 (16,662,115) Net gain/(loss) on financial assets held at fair value through profit or loss 15,094,517 15,845,891 27,793,973 (16,572,365) Net realised gain/(loss) on financial assets held at fair value through profit or loss 5,241,983 (32,905,268) (81,609) (92,680) Net unrealised gain/(loss) on financial assets held at fair value through profit or loss 9,852,534 48,751,158 27,875,582) (16,479,685) Net gain/(loss) on financial assets held at fair value through profit or loss 15,094,517 15,845,890 27,793,973 (16,572,365) Financial liabilities Net gain/(loss) on financial liabilities held for trading (93) Net gain/(loss) on financial liabilities designated as at fair value through profit or loss Net gain/(loss) on financial liabilities held at fair value through profit or loss (93) Net realised gain/(loss) on financial liabilities held at fair value through profit or loss (93) Net unrealised gain/(loss) on financial liabilities held at fair value through profit or loss Net gain/(loss) on financial liabilities held at fair value through profit or loss (93) Total net gain/(loss) on financial instruments held at fair value through profit or loss 15,094,517 15,845,890 27,793,880 (16,572,365) Annual Report

32 5. Receivables Australian Core Equity Trust As at Australian Value Trust As at Australian Large Company Trust As at Australian Small Company Trust As at Australian Core Imputation Trust As at 30 June June June June June June June June June June 2016 $ $ $ $ $ $ $ $ $ $ Unsettled sales 2,400,648 1,306, ,393 2,715, ,681 13, ,452 19,832 Dividends, distributions and interest receivable 13,970,271 13,027,198 5,956,383 5,373,294 4,275,577 4,561, , ,522 2,045,905 1,894,229 Applications receivable 2,054, , ,686 73, , , ,543 35,511 94,422 36,841 Other receivables 239, ,925 57,692 59,818 45,512 47,895 54,062 57,222 30,143 29,745 Total receivables 18,665,076 15,227,157 6,710,154 8,222,222 4,674,136 4,973, ,042 1,093,707 2,170,470 1,980, Payables Australian Core Equity Trust As at Australian Value Trust As at Australian Large Company Trust As at Australian Small Company Trust As at Australian Core Imputation Trust As at 30 June June June June June June June June June June 2016 $ $ $ $ $ $ $ $ $ $ Unsettled purchases 4,560,721 4,067, ,882 2,872, ,113 1,345,676 1,843,613 2,175,280 80,544 1,144,655 Management fee payable 534, , , , ,288 97, , ,287 77,115 66,636 Redemptions payable 1,275, ,479 1,099, , , , , ,883 37,887 Total payables 6,371,053 5,337,434 2,126,159 3,380,331 1,020,013 2,175,576 2,344,364 2,504, ,546 1,211, Annual Report 2017

33 7. Net assets attributable to unitholders Australian Core Equity Trust Australian Value Trust 30 June June June June June June June June 2016 Units Units $ $ Units Units $ $ Balance of units on issue at beginning of the year 161,409, ,705,088 1,667,134,016 1,523,722,723 32,682,705 38,211, ,753, ,355,769 Applications 33,635,104 33,710, ,253, ,915,535 3,954,217 4,603,503 83,415,490 83,222,588 Redemptions (22,006,772) (16,347,624) (249,877,558) (166,492,639) (9,475,626) (10,468,922) (205,902,765) (189,385,903) Units issued upon reinvestment of distributions 319, ,346 3,615,404 3,428, , ,491 2,972,373 6,159,405 Increase/(decrease) in net assets attributable to unitholders 202,157,458 (36,439,635) 114,630,639 (63,597,996) Balance of units on issue at end of the year 173,356, ,409,033 2,006,282,609 1,667,134,016 27,305,622 32,682, ,869, ,753,863 Australian Large Company Trust Australian Small Company Trust 30 June June June June June June June June 2016 Units Units $ $ Units Units $ $ Balance of units on issue at beginning of the year 29,371,099 26,906, ,160, ,052,126 11,958,889 12,900, ,549, ,930,612 Applications 4,263,929 5,381,573 76,531,354 89,385,084 1,771,549 1,513,502 32,944,425 24,830,003 Redemptions (6,477,462) (2,949,721) (117,020,156) (49,028,387) (2,135,503) (2,472,391) (39,635,523) (40,793,336) Units issued upon reinvestment of distributions 32,097 32, , ,640 14,237 17, , ,133 Increase/(decrease) in net assets attributable to unitholders 53,983,977 (22,796,221) 15,075,107 15,299,300 Balance of units on issue at end of the year 27,189,663 29,371, ,225, ,160,242 11,609,172 11,958, ,198, ,549,712 Annual Report

34 7. Net assets attributable to unitholders (continued) Australian Core Imputation Trust 30 June June June June 2016 Units Units $ $ Balance of units on issue at beginning of the year 27,600,270 19,637, ,367, ,386,484 Applications 5,078,972 9,867,236 49,980,580 91,595,186 Redemptions (3,640,316) (1,917,269) (36,168,848) (17,446,673) Units issued upon reinvestment of distributions 20,489 13, , ,109 Increase/(decrease) in net assets attributable to unitholders 27,955,715 (17,286,543) Balance of units on issue at end of the year 29,059,415 27,600, ,337, ,367,563 As stipulated in the Schemes Constitutions, each unit represents a right to an individual share of the net asset value of the Schemes (based on the market value of the portfolio of investments of the Schemes) and does not extend to a right to the underlying assets of the Schemes. Capital risk management is included in Note Annual Report 2017

35 8. Auditor s remuneration Australian Core Equity Trust Year ended Australian Value Trust Year ended Australian Large Company Trust Year ended 30 June June June June June June 2016 $ $ $ $ $ $ Auditing the Financial Report 15,388 14,942 15,048 14,608 11,124 10,801 Other non-audit services 13,653 7,831 13,653 7,831 13,653 7,831 Total auditor's remuneration 29,041 22,773 28,701 22,439 24,777 18,632 Australian Small Company Trust Year ended Australian Core Imputation Trust Year ended 30 June June June June 2016 $ $ $ $ Auditing the Financial Report 11,588 11,247 11,845 11,500 Other non-audit services 13,653 7,831 13,653 7,831 Total auditor's remuneration 25,241 19,078 25,498 19,331 The auditor of the Schemes is PricewaterhouseCoopers. Auditor s remuneration for auditing financial statements and other non-audit services was paid by the Responsible Entity. Other non-audit services include taxation services. Annual Report

36 9. Distributions payable Australian Core Equity Trust Australian Value Trust 30 June June June June June June 2016 $ $ c/unit c/unit $ $ Opening balance 30 June 9,008,072 9,293, ,344 2,937,619 Additional provisions for distributions recognised 71,977,505 70,563, ,443,867 32,801,560 Reductions arising from payments: June (9,008,072) (9,293,362) (5.58) (6.47) (579,344) (2,937,619) July (8,544,834) (7,738,533) (5.28) (5.36) (4,598,229) (5,310,641) September (16,433,569) (16,652,957) (10.02) (11.06) (6,299,910) (8,552,908) December (17,633,255) (16,518,960) (10.61) (10.63) (8,281,879) (9,621,660) March (17,611,544) (20,644,506) (10.44) (13.06) (6,125,277) (8,737,007) Closing balance 30 June 11,754,303 9,008, ,138, ,344 Australian Large Company Trust Australian Small Company Trust 30 June June June June June June 2016 $ $ c/unit c/unit $ $ Opening balance 30 June 2,564,461 2,456, ,643 1,008,985 Additional provisions for distributions recognised 21,139,224 22,874, ,722,714 7,147,935 Reductions arising from payments: June (2,564,461) (2,456,331) (8.73) (9.13) (734,643) (1,008,985) July (3,129,768) (2,881,830) (10.70) (10.63) September (4,980,793) (5,632,600) (17.11) (20.11) (2,077,696) (1,902,286) December (4,947,056) (4,919,778) (17.23) (16.99) (1,717,545) (1,523,715) March (4,951,814) (6,875,356) (17.76) (23.24) (1,930,204) (2,987,291) Closing balance 30 June 3,129,793 2,564, , , Annual Report 2017

37 9. Distributions payable (continued) Australian Core Imputation Trust 30 June June June June 2016 $ $ c/unit c/unit Opening balance 30 June 516,425 2,950, Additional provisions for distributions recognised 14,270,167 11,356, Reductions arising from payments: June (516,425) (2,950,748) (1.87) (15.03) July (1,645,177) (986,965) (5.93) (4.89) September (3,367,955) (3,283,677) (11.84) (14.79) December (4,852,332) (2,122,210) (16.79) (8.73) March (3,630,306) (4,447,587) (12.51) (17.68) Closing balance 30 June 774, , Cash and cash equivalents (a) Reconciliation of cash and cash equivalents Australian Core Equity Trust As at Australian Value Trust As at Australian Large Company Trust As at 30 June June June June June June 2016 $ $ $ $ $ $ Cash at bank 16,446,002 7,946,305 3,894,162 4,102,379 1,761,569 3,543,990 Total cash and cash equivalents 16,446,002 7,946,305 3,894,162 4,102,379 1,761,569 3,543,990 Annual Report

38 10. Cash and cash equivalents (continued) Australian Small Company Trust As at Australian Core Imputation Trust As at 30 June June June June 2016 $ $ $ $ Cash at bank 2,220,233 1,799,506 1,551,785 1,143,154 Total cash and cash equivalents 2,220,233 1,799,506 1,551,785 1,143,154 (b) Reconciliation of profit/(loss) to net cash inflows/(outflows) from operating activities Australian Core Equity Trust Year ended Australian Value Trust Year ended Australian Large Company Trust Year ended 30 June June June June June June 2016 $ $ $ $ $ $ Operating profit/(loss) attributable to unitholders 274,134,963 34,123, ,074,506 (30,796,437) 75,123,201 77,805 Proceeds from sale of financial instruments held at fair value through profit or loss 258,592, ,887, ,937, ,307, ,484,754 73,409,503 Purchase of financial instruments held at fair value through profit or loss (389,881,272) (384,091,786) (186,125,799) (207,847,950) (75,506,660) (110,872,041) Realised (gains)/losses on disposal of financial instruments held at fair value through profit or loss (35,426,378) 3,705,431 (44,334,531) 18,116,459 (21,199,438) (6,634,394) Unrealised (gains)/losses on financial instruments held at fair value through profit or loss (165,064,654) 28,748,123 (69,401,338) 41,842,833 (32,698,768) 27,994,642 Change in net assets: Receivables (976,787) (1,190,784) (580,963) 1,373, ,531 (493,989) Creditors and accruals 271, , ,864 38,176 54,028 39,124 Net cash provided by/(used in) operating activities (58,350,290) (107,660,329) 144,692, ,034,666 58,545,648 (16,479,350) 36 Annual Report 2017

39 10. Cash and cash equivalents (continued) (b) Reconciliation of profit/(loss) to net cash inflows/(outflows) from operating activities (continued) Australian Small Company Trust Year ended Australian Core Imputation Trust Year ended 30 June June June June 2016 $ $ $ $ Operating profit/(loss) attributable to unitholders 21,797,821 22,447,235 42,225,882 (5,929,679) Proceeds from sale of financial instruments held at fair value through profit or loss 60,166,115 71,202,426 59,422,789 19,366,365 Purchase of financial instruments held at fair value through profit or loss (53,870,845) (54,572,402) (73,322,024) (90,025,843) Realised (gains)/losses on disposal of financial instruments held at fair value through profit or loss (5,241,983) 32,905,268 81,702 92,680 Unrealised (gains)/losses on financial instruments held at fair value through profit or loss (9,852,534) (48,751,158) (27,875,582) 16,479,685 Change in net assets: Receivables 225,668 (173,337) (152,074) (754,902) Creditors and accruals 28,397 2,848 45,492 39,646 Net cash provided by/(used in) operating activities 13,252,639 23,060, ,185 (60,732,048) Annual Report

40 10. Cash and cash equivalents (continued) (c) Non-cash financing activities During the year, income distributions that were reinvested by unitholders for additional units in the Schemes are set out below: Australian Core Equity Trust Year Ended Australian Value Trust Year Ended Australian Large Company Trust Year Ended 30 June June June June June June 2016 $ $ $ $ $ $ Distributions reinvestments 3,615,404 3,428,032 2,972,373 6,159, , ,640 Australian Small Company Trust Year Ended Australian Core Imputation Trust Year Ended 30 June June June June 2016 $ $ $ $ Distributions reinvestments 265, , , , Annual Report 2017

41 11. Realised capital losses Where available, the capital losses available to offset future capital gains are set out below: Australian Core Equity Trust Australian Value Trust Australian Large Company Trust 30 June June June June June June 2016 $ $ $ $ $ $ Capital loss 170,515, ,807,685 15,451,374 60,003,333 37,221,542 45,389,105 Australian Small Company Trust Australian Core Imputation Trust 30 June June June June 2016 $ $ $ $ Capital loss 13,562,894 23,205,129 5,712,870 2,163,046 The above numbers are subject to change following the lodgement of tax returns. 12. Capital gains/(losses) The net capital gains/(losses) position for each Scheme is set out below after applying realised capital losses against unrealised capital gains/(losses): Australian Core Equity Trust Australian Value Trust Australian Large Company Trust 30 June June June June June June 2016 $ $ $ $ $ $ Net Capital gains/(losses) 228,849,867 25,462,181 64,001,428 (49,767,345) 158,984, ,239,832 Capital gains tax concession (114,424,934) (12,731,090) (32,000,714) (79,492,010) (52,119,916) Discount capital gains/(losses) 114,424,933 12,731,091 32,000,714 (49,767,345) 79,492,009 52,119,916 Annual Report

42 12. Capital gains/(losses) (continued) Australian Small Company Trust Australian Core Imputation Trust 30 June June June June 2016 $ $ $ $ Net Capital gains/(losses) 36,083,071 20,888,187 9,110,058 (19,636,439) Capital gains tax concession (18,041,536) (10,444,093) (4,555,029) Discount capital gains/(losses) 18,041,535 10,444,094 4,555,029 (19,636,439) 13. Related party transactions (a) Responsible Entity and Manager The Responsible Entity of the Schemes is DFA Australia Limited (ABN ). DFA Australia Limited is a subsidiary of Fund Advisors LP (incorporated in the United States of America). DFA Australia Limited also acts as the manager of the Schemes. (b) Key management personnel The names of each person considered to be key management personnel of the Responsible Entity during the financial year were: D.G. Booth E.A. Repetto B.P. Singh G.J. Lennon (Resigned 27 September 2016) M.S. Gilliland (Appointed 3 October 2016) J.G. Crane N.A.D. Stewart C.L. Newell S.A. Clark (Appointed 3 October 2016) (c) Key management personnel compensation No payments were made from the Schemes directly to the key management personnel of the Responsible Entity. Key management personnel are paid by the Responsible Entity. (d) Related party unitholdings The below related party unitholdings include units held by individuals and entities associated with key management personnel, DFA Australia Limited and other Wholesale Trusts. 40 Annual Report 2017

43 13. Related party transactions (continued) Fair Value Holding Acquired Disposals Distribution paid and payable Number of Units Held Other Change $ $ % % Units Units Units Units $ $ Units Units Units Australian Core Equity Trust 133,696,816 83,106, ,971,449 2,605,740 (413,612) (30,514) 4,051,234 3,187,796 11,494,177 8,011,066 (74,727) Australian Value Trust 2,779,950 2,408, ,223 3,529 (20,765) 109, , , ,349 (6,265) Australian Large Company Trust 181, , , (18,496) 7,788 11,338 9,784 14,557 (4,932) Australian Small Company Trust 284, , ,149 4,582 (10,131) 8,814 11,560 15,166 20,189 (5,041) Australian Core Imputation Trust 1,274,293 1,122, ,892 13,951 (46,102) 62,292 58, , ,078 Apart from those details disclosed in this note, no key management personnel have entered into a contract with the Schemes during the financial year and there were no material contracts involving key management personnel s interests existing at year end. (e) Transactions with related parties Under the terms of the Schemes Constitutions, the Responsible Entity is entitled to a management fee of up to 1% per annum (2016: 1% per annum) of the net asset value of the Schemes, payable monthly. The Responsible Entity has however agreed to be paid a management cost as set out below and in the current Product Disclosure Statement. Fees are accrued daily and payable on a monthly basis. Management fees are separately disclosed in the Statements of Comprehensive Income. Management Costs 1 Management Costs 1 Scheme Name 30 June June 2016 % % Australian Core Equity Trust Australian Core Imputation Trust Australian Large Company Trust Australian Small Company Trust Australian Value Trust Rates are inclusive of GST. The Responsible Entity has the right to increase management fees up to the limit set out in the Schemes Constitutions, and to remove or vary the management costs. Annual Report

44 13. Related party transactions (continued) (e) Transactions with related parties (continued) The management fees paid/payable for the year end between the Schemes and the Responsible Entity were as follows: Australian Core Equity Trust Australian Value Trust Australian Large Company Trust 30 June June June June June June 2016 $ $ $ $ $ $ Management fees for the year earned by the Responsible Entity 5,754,125 4,783,104 2,143,037 2,131,238 1,151,969 1,071,339 Aggregate amounts payable to the Responsible Entity at the end of the reporting period 534, , , , ,288 97,504 Australian Small Company Trust Australian Core Imputation Trust 30 June June June June 2016 $ $ $ $ Management fees for the year earned by the Responsible Entity 1,293,578 1,240, , ,057 Aggregate amounts payable to the Responsible Entity at the end of the reporting period 112, ,287 77,115 66,636 (f) Investments in related parties The Schemes did not hold any investment in DFA Australia Limited, its affiliates, or any other scheme managed by DFA Australia Limited or its parent entity during the year (2016: Nil). There have been no guarantees provided or received for any related party transactions or balances. 42 Annual Report 2017

45 14. Financial risk management (a) Significant accounting policies Details of the significant accounting policies and methods adopted, including the criteria for recognition, the basis of measurement and the basis on which revenues and expenses are recognised, in respect of each class of financial asset, financial liability and equity instruments are disclosed in Note 2 to the Financial Statements. (b) Financial risk management objectives The Schemes are exposed to a variety of financial risks as a result of their activities. These risks include market risk (including foreign exchange risk, interest rate risk and price risk), credit risk and liquidity risk. The Schemes risk management and investment policies, approved by the Responsible Entity, seek to minimise the potential adverse effects of these risks on the Schemes financial performance. These policies may include the use of certain financial derivative instruments. The Responsible Entity manages the financial risks relating to the operations of the Schemes in accordance with the Schemes Constitutions and Product Disclosure Statements. The Schemes do not enter into or trade derivative financial instruments for speculative purposes. The use of financial derivatives is governed by the Schemes investment policies, which provide written principles on the use of financial derivatives. These principles permit the use of derivatives to change the Schemes exposure to particular assets. Derivatives are not used to gear the Schemes and the Schemes effective market exposure will not exceed their market value. Compliance with policies and exposure limits is reviewed by the Responsible Entity on a continuous basis. (c) Capital risk management The Schemes consider its net assets attributable to unitholders as capital, notwithstanding net assets attributable to unitholders being classified as a liability. The amount of net assets attributable to unitholders can change significantly on a daily basis as the Schemes are subject to daily applications and redemptions. The Responsible Entity manages cash levels to ensure there are sufficient cash funds to meet unitholder redemptions. The Schemes have no restrictions or specific capital requirements on the application and redemption of units. The Schemes overall investment strategy remains unchanged from the prior year. (d) Market risk Market risk is the risk that the value of the Schemes investment portfolio will fluctuate as a result of changes in market prices. This risk is managed by ensuring that all activities are transacted in accordance with mandates, overall investment strategies and within approved limits. Market-risk analysis is conducted regularly on a total portfolio basis, which includes the effect of derivatives. Derivative financial instruments In the normal course of business the Schemes may enter into transactions in various derivative financial instruments which have certain risks. A derivative is a financial instrument or other contract which is settled at a future date the value of which changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index or other variable. Annual Report

46 14. Financial risk management (continued) (d) Market risk (continued) Derivative financial instruments (continued) Derivative transactions include many different instruments such as forwards, futures and options. Derivatives are considered to be part of the investment process and the use of derivatives is an essential part of the Schemes portfolio management. Derivatives are not managed in isolation. Consequently, the use of derivatives is multifaceted and includes: > > hedging to protect an asset or liability of the Schemes against a fluctuation in market values or to reduce volatility; > > a substitution for trading of physical securities; and > > adjusting asset exposures within the parameters set in the investment strategy, and adjusting the duration of fixed-interest portfolios or the weighted average maturity of cash portfolios. Derivatives are not used to gear (leverage) a portfolio. Gearing a portfolio would occur if the level of exposure to the markets exceeded the underlying value of the Schemes. The Schemes hold the following derivative instruments: (i) Warrants Warrants are an option to purchase additional securities from the issuer at a specified price during a specified period. Warrants are valued at the prevailing market price at reporting date. The Schemes recognise a gain or loss equal to the change in fair value at the end of each reporting period. (ii) Futures Futures are contractual obligations to buy or sell financial instruments on a future date at a specified price established in an organised market. The futures contracts are collateralised by cash or marketable securities. Changes in futures contracts values are usually settled net daily with the exchange. Foreign exchange risk A Scheme that invests in financial denominated currencies other than the Australian dollar is exposed to foreign exchange risk. Foreign exchange risk arises as the income and value of monetary securities denominated in other currencies will fluctuate due to changes in exchange rates. Derivative financial instruments are used within the Schemes to manage foreign exchange risk as described above. Foreign exchange risk arises as the value of the securities denominated in other currencies will fluctuate due to changes in exchange rates. The Schemes have no direct exposure to foreign exchange risk. Interest rate risk Interest rate risk is the risk that a financial asset s value will fluctuate as a result of changes in market interest rates. Interest rate risk is managed as part of the overall investment strategy of the Schemes. 44 Annual Report 2017

47 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) The following tables detail the Schemes exposure to interest rate risk as at 30 June 2017 and 30 June Australian Core Equity Trust Floating interest rate Non-interest bearing Total 30 June 2017 $ $ $ Assets Cash and cash equivalents 16,446,002 16,446,002 Deposits held with brokers for margin Receivables 18,665,076 18,665,076 Financial assets held at fair value through profit or loss 1,989,296,834 1,989,296,834 Total assets 16,446,055 2,007,961,910 2,024,407,965 Liabilities (excluding liabilities attributable to unitholders) Payables (6,371,053) (6,371,053) Distributions payable (11,754,303) (11,754,303) Total liabilities (excluding liabilities attributable to unitholders) (18,125,356) (18,125,356) Net assets (excluding liabilities attributable to unitholders) 16,446,055 1,989,836,554 2,006,282,609 Annual Report

48 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Core Equity Trust Floating interest rate Non-interest bearing Total 30 June 2016 $ $ $ Assets Cash and cash equivalents 7,946,305 7,946,305 Deposits held with brokers for margin Receivables 15,227,157 15,227,157 Financial assets held at fair value through profit or loss 1,658,305,969 1,658,305,969 Total assets 7,946,396 1,673,533,126 1,681,479,522 Liabilities (excluding liabilities attributable to unitholders) Payables (5,337,434) (5,337,434) Distributions payable (9,008,072) (9,008,072) Total liabilities (excluding liabilities attributable to unitholders) (14,345,506) (14,345,506) Net assets (excluding liabilities attributable to unitholders) 7,946,396 1,659,187,620 1,667,134,016 Effect on profit/net assets Change in variable attributable to unitholders 30 June June June June /-% +/-% $ $ Interest rate risk ,461 79, Annual Report 2017

49 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Value Trust Floating interest rate Non-interest bearing Total 30 June 2017 $ $ $ Assets Cash and cash equivalents 3,894,162 3,894,162 Deposits held with brokers for margin 7 7 Receivables 6,710,154 6,710,154 Financial assets held at fair value through profit or loss 582,530, ,530,008 Total assets 3,894, ,240, ,134,331 Liabilities (excluding liabilities attributable to unitholders) Payables (2,126,159) (2,126,159) Distributions payable (1,138,572) (1,138,572) Total liabilities (excluding liabilities attributable to unitholders) (3,264,731) (3,264,731) Net assets (excluding liabilities attributable to unitholders) 3,894, ,975, ,869,600 Annual Report

50 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Value Trust Floating interest rate Non-interest bearing Total 30 June 2016 $ $ $ Assets Cash and cash equivalents 4,102,379 4,102,379 Deposits held with brokers for margin 7 7 Receivables 8,222,222 8,222,222 Financial assets held at fair value through profit or loss 586,388, ,388,930 Total assets 4,102, ,611, ,713,538 Liabilities (excluding liabilities attributable to unitholders) Payables (3,380,331) (3,380,331) Distributions payable (579,344) (579,344) Total liabilities (excluding liabilities attributable to unitholders) (3,959,675) (3,959,675) Net assets (excluding liabilities attributable to unitholders) 4,102, ,651, ,753,863 Effect on profit/net assets Change in variable attributable to unitholders 30 June June June June /-% +/-% $ $ Interest rate risk ,942 41, Annual Report 2017

51 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Large Company Trust Floating interest rate Non-interest bearing Total 30 June 2017 $ $ $ Assets Cash and cash equivalents 1,761,569 1,761,569 Receivables 4,674,136 4,674,136 Financial assets held at fair value through profit or loss 499,939, ,939,511 Total assets 1,761, ,613, ,375,216 Liabilities (excluding liabilities attributable to unitholders) Payables (1,020,013) (1,020,013) Distributions payable (3,129,793) (3,129,793) Total liabilities (excluding liabilities attributable to unitholders) (4,149,806) (4,149,806) Net assets (excluding liabilities attributable to unitholders) 1,761, ,463, ,225,410 Annual Report

52 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Large Company Trust Floating interest rate Non-interest bearing Total 30 June 2016 $ $ $ Assets Cash and cash equivalents 3,543,990 3,543,990 Receivables 4,973,401 4,973,401 Financial assets held at fair value through profit or loss 484,382, ,382,888 Total assets 3,543, ,356, ,900,279 Liabilities (excluding liabilities attributable to unitholders) Payables (2,175,576) (2,175,576) Distributions payable (2,564,461) (2,564,461) Total liabilities (excluding liabilities attributable to unitholders) (4,740,037) (4,740,037) Net assets (excluding liabilities attributable to unitholders) 3,543, ,616, ,160,242 Effect on profit/net assets Change in variable attributable to unitholders 30 June June June June /-% +/-% $ $ Interest rate risk ,616 35, Annual Report 2017

53 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Small Company Trust Floating interest rate Non-interest bearing Total 30 June 2017 $ $ $ Assets Cash and cash equivalents 2,220,233 2,220,233 Receivables 531, ,042 Financial assets held at fair value through profit or loss 217,789, ,789,095 Total assets 2,220, ,320, ,540,370 Liabilities (excluding liabilities attributable to unitholders) Payables (2,344,364) (2,344,364) Distributions payable (997,269) (997,269) Total liabilities (excluding liabilities attributable to unitholders) (3,341,633) (3,341,633) Net assets (excluding liabilities attributable to unitholders) 2,220, ,978, ,198,737 Annual Report

54 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Small Company Trust Floating interest rate Non-interest bearing Total 30 June 2016 $ $ $ Assets Cash and cash equivalents 1,799,506 1,799,506 Receivables 1,093,707 1,093,707 Financial assets held at fair value through profit or loss 208,895, ,895,592 Total assets 1,799, ,989, ,788,805 Liabilities (excluding liabilities attributable to unitholders) Payables (2,504,450) (2,504,450) Distributions payable (734,643) (734,643) Total liabilities (excluding liabilities attributable to unitholders) (3,239,093) (3,239,093) Net assets (excluding liabilities attributable to unitholders) 1,799, ,750, ,549,712 Effect on profit/net assets Change in variable attributable to unitholders 30 June June June June /-% +/-% $ $ Interest rate risk ,202 17, Annual Report 2017

55 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Core Imputation Trust Floating interest rate Non-interest bearing Total 30 June 2017 $ $ $ Assets Cash and cash equivalents 1,551,785 1,551,785 Deposits held with brokers for margin 6 6 Receivables 2,170,470 2,170,470 Financial assets held at fair value through profit or loss 288,585, ,585,294 Total assets 1,551, ,755, ,307,555 Liabilities (excluding liabilities attributable to unitholders) Payables (195,546) (195,546) Distributions payable (774,397) (774,397) Total liabilities (excluding liabilities attributable to unitholders) (969,943) (969,943) Net assets (excluding liabilities attributable to unitholders) 1,551, ,785, ,337,612 Annual Report

56 14. Financial risk management (continued) (d) Market risk (continued) Interest rate risk (continued) Australian Core Imputation Trust Floating interest rate Non-interest bearing Total 30 June 2016 $ $ $ Assets Cash and cash equivalents 1,143,154 1,143,154 Receivables 1,980,647 1,980,647 Financial assets held at fair value through profit or loss 247,971, ,971,478 Total assets 1,143, ,952, ,095,279 Liabilities (excluding liabilities attributable to unitholders) Payables (1,211,291) (1,211,291) Distributions payable (516,425) (516,425) Total liabilities (excluding liabilities attributable to unitholders) (1,727,716) (1,727,716) Net assets (excluding liabilities attributable to unitholders) 1,143, ,224, ,367,563 Effect on profit/net assets Change in variable attributable to unitholders 30 June June June June /-% +/-% $ $ Interest rate risk ,518 11, Annual Report 2017

57 14. Financial risk management (continued) (d) Market risk (continued) Price risk Price risk is the risk that the total value of investments will fluctuate as a result of changes in market prices, whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in the market. The Schemes have investments in equity securities, unit trusts and equity derivatives which expose them to price risk. The Responsible Entity manages the Schemes market risk on a daily basis in accordance with the Schemes investment objectives and policies. As the majority of the Schemes financial instruments are carried at fair value, with changes in fair value recognised in the Statements of Comprehensive Income, all changes in market conditions will directly affect investment income. The following table details the effect on profit attributable to unitholders and net assets attributable to unitholders from possible changes in other market risk that were reasonably possible based on the risk the Schemes were exposed to at the reporting date: Australian Core Equity Trust Effect on profit attributable Change in variable to unitholders Australian Value Trust Effect on profit attributable Change in variable to unitholders 30 June June June June June June June June /-% +/-% $ $ +/-% +/-% $ $ Equity price risk Australia ,857, ,561, ,475,528 57,730,608 Asia Pacific (excluding Australia) ,130,663 1,144, , ,313 USA and Canada , Continental Europe , , Other ,454 36, ,972 Annual Report

58 14. Financial risk management (continued) (d) Market risk (continued) Australian Large Company Trust Change in variable Effect on profit attributable to unitholders Australian Small Company Trust Change in variable Effect on profit attributable to unitholders 30 June June June June June June June June /-% +/-% $ $ +/-% +/-% $ $ Equity price risk Australia ,073,629 47,366, ,778,909 20,566,054 Asia Pacific (excluding Australia) , , USA and Canada , , ,094 Continental Europe , , United Kingdom ,943 94, Other , ,411 Australian Core Imputation Trust Effect on profit attributable Change in variable to unitholders 30 June June June June /-% +/-% $ $ Equity price risk Australia ,702,000 24,645,296 Asia Pacific (excluding Australia) ,425 89,477 Continental Europe ,104 60,955 Other , Annual Report 2017

59 14. Financial risk management (continued) (e) Credit risk Credit risk refers to the risk that a counterparty will default on its contractual obligations resulting in financial loss to the Schemes. The Schemes have adopted the policy of only dealing with creditworthy counterparties and obtaining sufficient collateral or other security where appropriate, also ensuring that the majority of transactions are undertaken on recognised markets as a means of mitigating the financial risk of financial loss from default. The Schemes measure credit risk on a fair value basis. The Schemes are also exposed to counterparty credit risk on derivative financial instruments, cash and cash equivalents, amounts due from brokers and other receivables. The Schemes have no significant credit risk exposure to any single counterparty or counterparties having similar characteristics. All transactions in listed securities are settled/paid for upon delivery using approved brokers. The risk of default is considered low, as delivery of securities sold is only made once the broker has received payment. Payment is made once securities purchased have been received by the broker. The trade will fail if either party fails to meet its obligations. The exposure to credit risk for cash and cash equivalents is low as all counterparties have a rating of AA or higher. The exposure to credit risk in relation to other financial assets, such as equity securities and exchange traded derivitives, is reflected in the price of the assets and is therefore subject to price risk. The maximum exposure to credit risk at the end of each reporting period is the carrying amount of the financial assets. None of these assets are impaired nor past due but not impaired as at 30 June (f) Net fair value The carrying amount of financial assets and financial liabilities recorded in the Financial Statements represents their respective net fair values, determined in accordance with Note 2 to the Financial Statements. The Schemes have no significant holdings of investments which are not readily traded on original markets in standardised form or for which prices are not publicly available. (g) Liquidity and cash flow risk Liquidity risk is the risk that the Schemes will experience difficulty in either realising assets or otherwise raising sufficient funds to satisfy commitments associated with financial instruments. This risk is controlled through the Schemes investments in financial instruments which under normal market conditions are readily convertible to cash. In addition, the Schemes maintain cash and cash equivalents to meet normal operating requirements. Cash flow risk is the risk that the future cash flows derived from holding financial instruments will fluctuate. The risk-management guidelines adopted are designed to minimise liquidity and cash flow risk through: > > Ensuring there is no significant exposure to illiquid or thinly traded financial instruments; and > > Applying limits to ensure there is no concentration of liquidity risk to a particular counterparty or market. Annual Report

60 14. Financial risk management (continued) (g) Liquidity and cash flow risk (continued) (i) Maturity analysis of financial liabilities The following tables summarise the maturity analysis of the Schemes financial liabilities (excluding gross-settled financial liabilities) at the reporting date. Australian Core Equity Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2017 $ $ $ $ Payables 6,371,053 6,371,053 Distributions payable 11,754,303 11,754,303 Total liabilities (excluding liabilities attributable to unitholders) 18,125,356 18,125,356 Australian Core Equity Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2016 $ $ $ $ Payables 5,337,434 5,337,434 Distributions payable 9,008,072 9,008,072 Total liabilities (excluding liabilities attributable to unitholders) 14,345,506 14,345,506 Australian Value Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2017 $ $ $ $ Payables 2,126,159 2,126,159 Distributions payable 1,138,572 1,138,572 Total liabilities (excluding liabilities attributable to unitholders) 3,264,731 3,264, Annual Report 2017

61 14. Financial risk management (continued) (g) Liquidity and cash flow risk (continued) (i) Maturity analysis of financial liabilities (continued) Australian Value Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2016 $ $ $ $ Payables 3,380,331 3,380,331 Distributions payable 579, ,344 Total liabilities (excluding liabilities attributable to unitholders) 3,959,675 3,959,675 Australian Large Company Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2017 $ $ $ $ Payables 1,020,013 1,020,013 Distributions payable 3,129,793 3,129,793 Total liabilities (excluding liabilities attributable to unitholders) 4,149,806 4,149,806 Australian Large Company Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2016 $ $ $ $ Payables 2,175,576 2,175,576 Distributions payable 2,564,461 2,564,461 Total liabilities (excluding liabilities attributable to unitholders) 4,740,037 4,740,037 Annual Report

62 14. Financial risk management (continued) (g) Liquidity and cash flow risk (continued) (i) Maturity analysis of financial liabilities (continued) Australian Small Company Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2017 $ $ $ $ Payables 2,344,364 2,344,364 Distributions payable 997, ,269 Total liabilities (excluding liabilities attributable to unitholders) 3,341,633 3,341,633 Australian Small Company Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2016 $ $ $ $ Payables 2,504,450 2,504,450 Distributions payable 734, ,643 Total liabilities (excluding liabilities attributable to unitholders) 3,239,093 3,239,093 Australian Core Imputation Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2017 $ $ $ $ Payables 195, ,546 Distributions payable 774, ,397 Total liabilities (excluding liabilities attributable to unitholders) 969, , Annual Report 2017

63 14. Financial risk management (continued) (g) Liquidity and cash flow risk (continued) (i) Maturity analysis of financial liabilities (continued) Australian Core Imputation Trust Due on demand Due within 3 months Due after 3 months Total 30 June 2016 $ $ $ $ Payables 1,211,291 1,211,291 Distributions payable 516, ,425 Total liabilities (excluding liabilities attributable to unitholders) 1,727,716 1,727,716 (h) Fair value measurement The Schemes measure and recognise the following assets and liabilities at fair value on a recurring basis: > > Financial assets/liabilities at fair value through profit or loss > > Financial assets/liabilities held for trading > > Derivative financial instruments The Schemes have no assets or liabilities measured at fair value on a non-recurring basis in the current reporting period. AASB 13 requires disclosure of fair value measurements by level of the following fair value hierarchy: (a) quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1); (b) inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly (Level 2); and (c) inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3). (i) Fair value in an active market (Level 1) The fair value of financial assets and liabilities traded in active markets is based on their quoted market prices at the end of the reporting period without any deduction for estimated future selling costs. The Schemes value its investments in accordance with the accounting policies set out in Note 2 to the Financial Statements. For the majority of its investments, the Schemes rely on information provided by independent pricing services for the valuation of its investments. The quoted market price used for financial assets and financial liabilities held by the Schemes is last price. When the Schemes hold derivatives with offsetting market risks, it uses last market prices as a basis for establishing fair values for the offsetting risk positions and the net open position. A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from an exchange, dealer, broker, industry group, pricing service, or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm s length basis. Annual Report

64 14. Financial risk management (continued) (h) Fair value measurement (continued) (ii) Fair value in an inactive or unquoted market (Level 2 and Level 3) The fair value of financial assets and liabilities that are not traded in an active market is determined using valuation techniques. These include the use of recent arm s length market transactions, reference to the current fair value of a substantially similar other instrument, discounted cash flow techniques, option pricing models or any other valuation technique that provides a reliable estimate of prices obtained in actual market transactions. Where discounted cash flow techniques are used, estimated future cash flows are based on management s best estimates and the discount rate used is a market rate at the end of the reporting period applicable for an instrument with similar terms and conditions. For other pricing models, inputs are based on market data at the end of the reporting period. Fair values for unquoted equity investments are estimated, if possible, using applicable price/earnings ratios for similar listed companies adjusted to reflect the specific circumstances of the issuer. The fair value of derivatives that are not exchange traded is estimated at the amount that the Schemes would receive or pay to terminate the contract at the end of the reporting period taking into account current market conditions (volatility and appropriate yield curve) and the current creditworthiness of the counterparties. The fair value of a forward contract is determined as a net present value of estimated future cash flows, discounted at appropriate market rates as at the valuation date. The fair value of an option contract is determined by applying the Black-Scholes option valuation model. Investments in other unlisted unit trusts are recorded at the redemption value per unit as reported by the investment managers of such funds. Some of the inputs to these models may not be market observable and are therefore estimated based on assumptions. The output of a model is always an estimate or approximation of a value that cannot be determined with certainty, and valuation techniques employed may not fully reflect all factors relevant to the positions the Schemes hold. Valuations are therefore adjusted, where appropriate, to allow for additional factors including liquidity risk and counterparty risk. The following tables set out the Schemes financial assets and liabilities (by class) measured at fair value according to the fair value hierarchy at 30 June 2017 and 30 June Australian Core Equity Trust Australian Value Trust 30 June 2017 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Financial assets $ $ $ $ $ $ $ $ Financial assets held for trading: Derivatives Financial assets designated at fair value through profit or loss: Equity securities 1,788,418,386 1,503,061 1,789,921, ,459, , ,680,466 Listed unit trusts 199,180, , ,375,387 8,849,542 8,849,542 Total 1,987,599,356 1,697,478 1,989,296, ,308, , ,530, Annual Report 2017

65 14. Financial risk management (continued) (h) Fair value measurement (continued) Australian Large Company Trust Australian Small Company Trust 30 June 2017 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Financial assets $ $ $ $ $ $ $ $ Financial assets held for trading: Derivatives Financial assets designated at fair value through profit or loss: Equity securities 441,710,699 45, ,756, ,318,882 1,080, ,399,020 Listed unit trusts 58,183,048 58,183,048 2,390,075 2,390,075 Total 499,893,747 45, ,939, ,708,957 1,080, ,789,095 Australian Core Imputation Trust 30 June 2017 Level 1 Level 2 Level 3 Total Financial assets $ $ $ $ Financial assets held for trading: Derivatives Financial assets designated at fair value through profit or loss: Equity securities 283,716,161 80, ,796,377 Listed unit trusts 4,788,917 4,788,917 Total 288,505,078 80, ,585,294 Annual Report

66 14. Financial risk management (continued) (h) Fair value measurement (continued) Australian Core Equity Trust Australian Value Trust 30 June 2016 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Financial assets $ $ $ $ $ $ $ $ Financial assets held for trading: Derivatives Financial assets designated at fair value through profit or loss: Equity securities 1,450,512, ,511 1,450,945, ,847, ,847,282 Listed unit trusts 207,360, ,360,825 6,541,648 6,541,648 Total 1,657,873, ,511 1,658,305, ,388, ,388,930 Australian Large Company Trust Australian Small Company Trust 30 June 2016 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Financial assets $ $ $ $ $ $ $ $ Financial assets held for trading: Derivatives Financial assets designated at fair value through profit or loss: Equity securities 417,938, ,938, ,520,907 89, ,610,686 Listed unit trusts 66,444,406 66,444,406 5,284,906 5,284,906 Total 484,382, ,382, ,805,813 89, ,895, Annual Report 2017

67 14. Financial risk management (continued) (h) Fair value measurement (continued) Australian Core Imputation Trust 30 June 2016 Level 1 Level 2 Level 3 Total Financial assets $ $ $ $ Financial assets held for trading: Derivatives Financial assets designated at fair value through profit or loss: Equity securities 241,424,888 19, ,444,636 Listed unit trusts 6,526,842 6,526,842 Total 247,951,730 19, ,971,478 Investments whose values are based on quoted market prices in active markets, and therefore classified within Level 1, include active listed equities. Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include warrants and active unlisted unit trusts. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuation may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information. Investments classified within Level 3 have significant unobservable inputs, as they are infrequently traded. Level 3 instruments include certain unlisted shares and daily priced unlisted unit trusts with suspended applications and withdrawals. As observable prices are not available for these securities, the Responsible Entity undertakes valuation techniques to derive fair value. Annual Report

68 14. Financial risk management (continued) (h) Fair value measurement (continued) (iii) Transfer between levels Australian Core Equity Trust Australian Value Trust As at 30 June 2017 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Transfers between levels: Equity securities (1,286,061) 1,286,061 (221,246) 221,246 Listed unit trusts (194,417) 194,417 Fixed interest securities Derivatives Total (1,480,478) 1,480,478 (221,246) 221,246 Australian Small Company Trust Australian Core Imputation Trust As at 30 June 2017 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Transfers between levels: Equity securities (1,003,919) 1,003,919 (76,318) 76,318 Listed unit trusts Fixed interest securities Derivatives Total (1,003,919) 1,003,919 (76,318) 76,318 For the Australian Core Equity Trust, the transfer from Level 1 to Level 3 relates to nine securites. Five securities are suspended, two since they are in administration and three due to a voluntary suspension. Two securities have been priced as per the portfolio manager s recommendation and one security was delisted. There is one security which was transferred from Level 3 to Level 1. For the Australian Value Trust, the transfer to Level 1 to Level 3 relates to one security that is suspended due to a voluntary suspension. For the Australian Small Company Trust, the transfer from Level 1 to Level 3 relates to two securities that have been priced as per the portfolio manager s recommendation. For the Australian Core Imputation Trust, the transfer from Level 1 to Level 3 relates to six securities. Five securities are suspended, two since they are in administration and the other three securities are due to a voluntary suspension. There is one security which was transferred from Level 3 to Level Annual Report 2017

69 14. Financial risk management (continued) (h) Fair value measurement (continued) (iii) Transfer between levels (continued) Australian Core Equity Trust Australian Small Company Trust As at 30 June 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Transfers between levels: Equity securities (432,081) 432,081 (89,779) 89,779 Listed unit trusts Fixed interest securities Derivatives Total (432,081) 432,081 (89,779) 89,779 Australian Core Imputation Trust As at 30 June 2016 Level 1 Level 2 Level 3 Transfers between levels: Equity securities (19,748) 19,748 Listed unit trusts Fixed interest securities Derivatives Total (19,748) 19,748 For the Australian Core Equity Trust, the transfer from Level 1 to Level 3 related to three securites. Two securities were suspended since they were in administration. The third security was suspended due to a voluntary suspension. For the Australian Small Company Trust, the transfer from Level 1 to Level 3 related to one security in administration. Accordingly, the valuation inputs for the securities were not based on market observable inputs and there resulted in the reclassification to Level 3. For Australian Core Imputation Trust, the transfer from Level 1 to Level 3 related to two securities, one was in administration and the other security was due to a voluntary suspension. Annual Report

70 14. Financial risk management (continued) (h) Fair value measurement (continued) (iv) Movement in Level 3 instruments The following table presents the movement in Level 3 instruments for the year ended 30 June 2017 and 30 June 2016 by class of financial instrument. Australian Core Equity Trust Australian Value Trust 30 June June June June 2016 $ $ $ $ Opening balance 432,511 1,836,646 Purchases Sales (843,436) Transfer into level 3 financial instruments 1,480, , ,246 Total realised gains/(losses) on level 3 financial instruments (37,648) Total unrealised gains/(losses) on level 3 financial instruments (215,511) (955,132) Closing balance 1,697, , ,246 Total net losses for the year included in the statements of comprehensive income for financial assets and liabilities held at the end of the year (215,511) (992,780) 68 Annual Report 2017

71 14. Financial risk management (continued) (h) Fair value measurement (continued) (iv) Movement in Level 3 instruments (continued) Australian Large Company Trust Australian Small Company Trust 30 June June June June 2016 $ $ $ $ Opening balance ,779 1,608,245 Purchases Sales (726,034) Transfer into level 3 financial instruments 1,003,919 89,779 Total realised gains/(losses) on level 3 financial instruments (131,208) Total unrealised gains/(losses) on level 3 financial instruments 45, (13,560) (751,003) Closing balance 45, ,080,138 89,779 Total net gains/losses for the year included in the statements of comprehensive income for financial assets and liabilities held at the end of the year 45, (13,560) (882,211) Australian Core Imputation Trust 30 June June 2016 $ $ Opening balance 19,748 Purchases Sales Transfer into level 3 financial instruments 76,318 19,748 Total realised gains/(losses) on level 3 financial instruments Total unrealised gains/(losses) on level 3 financial instruments (15,850) Closing balance 80,216 19,748 Total net losses for the year included in the statements of comprehensive income for financial assets and liabilities held at the end of the year (15,850) Annual Report

72 14. Financial risk management (continued) (h) Fair value measurement (continued) (v) Valuation inputs and relationship to fair value There were no significant inter-relationships between unobservable inputs that materially affect fair value. 15. Structured Entites A structured entity is an entity in which voting or similar rights are not the dominant factor in deciding control. The nature and extent of the Schemes interests in structured entities are summarised in Note 3 Financial assets held at fair value through profit or loss and Note 13 Related party transactions where appropriate. The total size of the structured entities that the Schemes have exposure to is their net assets, which is determined based on the percentage interest held and carrying value disclosed in Note 13 Related party transactions. The Schemes have exposures to unconsolidated structured entities through its trading activities. These Schemes typically have no other involvement with the structured entity other than the securities it holds as part of trading activities and its maximum exposure to loss is restricted to the carrying value of the asset. Exposures to trading assets are managed in accordance with financial risk management practices as set out in Note Contingent assets and liabilities and commitments The Schemes did not have any contingent assets, liabilities or commitments as at 30 June 2017 (30 June 2016:Nil). 17. Subsequent events No significant events have occurred since the end of the reporting period which would impact on the financial position of the Schemes disclosed in the Statements of Financial Position as at 30 June 2017 or on the result and cash flows of the Schemes for the year ended on that date. 70 Annual Report 2017

73 Directors Declaration for the Year Ended 30 June 2017 The Financial Statements and Notes thereto of the following Schemes have been prepared by DFA Australia Limited (the Responsible Entity ) in accordance with the Corporations Act Australian Core Equity Trust Australian Value Trust Australian Large Company Trust Australian Small Company Trust Australian Core Imputation Trust In the opinion of the directors of the Responsible Entity: (a) there are reasonable grounds to believe that the Schemes will be able to pay their debts as and when they become due and payable; and (b) the attached Financial Statements and Notes thereto of the Schemes are in accordance with the Corporations Act 2001, including: (i) complying with Accounting Standards, the Corporations Regulations 2001 and other mandatory professional reporting requirements; and (ii) giving a true and fair view of the Schemes financial positions as at 30 June 2017 and of their performances for the financial year ended on that date. (c) the Financial Statements also comply with International Financial Reporting Standards issued by the International Accounting Standards Board as disclosed in Note 2. Signed in accordance with a resolution of the directors of the Responsible Entity made pursuant to section 295(5) of the Corporations Act On behalf of the directors, J.G. Crane Director B.P. Singh Director Sydney, 18 September 2017 Annual Report

74 Independent Auditor s Report to the Unitholders of Wholesale Trust 72 Annual Report 2017

75 Independent Auditor s Report to the Unitholders of Wholesale Trust Annual Report

76 Independent Auditor s Report to the Unitholders of Wholesale Trust 74 Annual Report 2017