ScotiaFunds Interim Report

Transcription

1 ScotiaFunds Interim Report June 30, 2017 Cash Equivalent Funds Scotia T-Bill Fund Scotia Premium T-Bill Fund Scotia Money Market Fund Scotia U.S. $ Money Market Fund Income Funds Scotia Short Term Bond Fund Scotia Private Short-Mid Government Bond Pool Scotia Mortgage Income Fund Scotia Floating Rate Income Fund Scotia Conservative Income Fund Scotia Bond Fund Scotia Canadian Income Fund Scotia Private Total Return Bond Pool Scotia Private Canadian Corporate Bond Pool Scotia Private Canadian Preferred Share Pool Scotia U.S. $ Bond Fund Scotia Global Bond Fund Scotia Private Global Credit Pool Balanced Funds Scotia Diversified Monthly Income Fund Scotia Income Advantage Fund Scotia Canadian Balanced Fund Scotia Dividend Balanced Fund Scotia Balanced Opportunities Fund Scotia Global Balanced Fund Scotia U.S. $ Balanced Fund Equity Funds Canadian Equity Funds Scotia Canadian Dividend Fund Scotia Canadian Blue Chip Fund Scotia Private Canadian Equity Pool Scotia Private Fundamental Canadian Equity Pool Scotia Private Canadian All Cap Equity Pool Scotia Canadian Growth Fund Scotia Canadian Small Cap Fund Scotia Resource Fund Scotia Private Real Estate Income Pool Scotia Private North American Dividend Pool U.S. Equity Funds Scotia U.S. Dividend Fund Scotia Private U.S. Dividend Pool Scotia Private U.S. Equity Pool Scotia U.S. Blue Chip Fund Scotia U.S. Opportunities Fund International Equity Funds Scotia Private International Core Equity Pool Scotia International Value Fund Scotia European Fund Scotia Pacific Rim Fund Scotia Latin American Fund Global Equity Funds Scotia Private Global Low Volatility Equity Pool Scotia Global Dividend Fund Scotia Global Growth Fund Scotia Global Small Cap Fund Scotia Global Opportunities Fund Specialty Funds Scotia Private Options Income Pool Index Funds Scotia Canadian Bond Index Fund Scotia Canadian Index Fund Scotia U.S. Index Fund Scotia CanAm Index Fund Scotia Nasdaq Index Fund Scotia International Index Fund Scotia Portfolios Scotia Selected Portfolios Scotia Selected Income Portfolio Scotia Selected Balanced Income Portfolio Scotia Selected Balanced Growth Portfolio Scotia Selected Growth Portfolio Scotia Selected Maximum Growth Portfolio Scotia Partners Portfolios Scotia Partners Income Portfolio Scotia Partners Balanced Income Portfolio Scotia Partners Balanced Growth Portfolio Scotia Partners Growth Portfolio Scotia Partners Maximum Growth Portfolio Scotia INNOVA Portfolios Scotia INNOVA Income Portfolio Scotia INNOVA Balanced Income Portfolio Scotia INNOVA Balanced Growth Portfolio Scotia INNOVA Growth Portfolio Scotia INNOVA Maximum Growth Portfolio Scotia Aria Portfolios Scotia Aria Conservative Build Portfolio Scotia Aria Conservative Core Portfolio Scotia Aria Conservative Pay Portfolio Scotia Aria Moderate Build Portfolio Scotia Aria Moderate Core Portfolio Scotia Aria Moderate Pay Portfolio Scotia Aria Progressive Build Portfolio Scotia Aria Progressive Core Portfolio Scotia Aria Progressive Pay Portfolio Scotia Corporate Class Funds Scotia Conservative Government Bond Capital Yield Class Scotia Fixed Income Blend Class Scotia Canadian Dividend Class Scotia Canadian Equity Blend Class Scotia U.S. Equity Blend Class Scotia Global Dividend Class Scotia International Equity Blend Class Scotia INNOVA Income Portfolio Class Scotia INNOVA Balanced Income Portfolio Class Scotia INNOVA Balanced Growth Portfolio Class Scotia INNOVA Growth Portfolio Class Scotia INNOVA Maximum Growth Portfolio Class Scotia Partners Balanced Income Portfolio Class Scotia Partners Balanced Growth Portfolio Class Scotia Partners Growth Portfolio Class Scotia Partners Maximum Growth Portfolio Class 1

2 Table of Contents 1 Economic & Financial Market Outlook Financial Statements Cash Equivalent Funds 3 Scotia T-Bill Fund 6 Scotia Premium T-Bill Fund 9 Scotia Money Market Fund 13 Scotia U.S. $ Money Market Fund Income Funds 17 Scotia Short Term Bond Fund 21 Scotia Private Short-Mid Government Bond Pool 26 Scotia Mortgage Income Fund 30 Scotia Floating Rate Income Fund 38 Scotia Conservative Income Fund 41 Scotia Bond Fund 45 Scotia Canadian Income Fund 50 Scotia Private Total Return Bond Pool 55 Scotia Private Canadian Corporate Bond Pool 61 Scotia Private Canadian Preferred Share Pool 67 Scotia U.S. $ Bond Fund 71 Scotia Global Bond Fund 75 Scotia Private Global Credit Pool Balanced Funds 81 Scotia Diversified Monthly Income Fund 87 Scotia Income Advantage Fund 95 Scotia Canadian Balanced Fund 101 Scotia Dividend Balanced Fund 107 Scotia Balanced Opportunities Fund 120 Scotia Global Balanced Fund 126 Scotia U.S. $ Balanced Fund Equity Funds Canadian Equity Funds 131 Scotia Canadian Dividend Fund 136 Scotia Canadian Blue Chip Fund 141 Scotia Private Canadian Equity Pool 145 Scotia Private Fundamental Canadian Equity Pool 148 Scotia Private Canadian All Cap Equity Pool 152 Scotia Canadian Growth Fund 158 Scotia Canadian Small Cap Fund 163 Scotia Resource Fund 169 Scotia Private Real Estate Income Pool 174 Scotia Private North American Dividend Pool U.S. Equity Funds 178 Scotia U.S. Dividend Fund 181 Scotia Private U.S. Dividend Pool 186 Scotia Private U.S. Equity Pool 191 Scotia U.S. Blue Chip Fund 195 Scotia U.S. Opportunities Fund International Equity Funds 200 Scotia Private International Core Equity Pool 205 Scotia International Value Fund 211 Scotia European Fund 215 Scotia Pacific Rim Fund 219 Scotia Latin American Fund Global Equity Funds 223 Scotia Private Global Low Volatility Equity Pool 228 Scotia Global Dividend Fund 235 Scotia Global Growth Fund 241 Scotia Global Small Cap Fund 246 Scotia Global Opportunities Fund Specialty Funds 251 Scotia Private Options Income Pool Index Funds 258 Scotia Canadian Bond Index Fund 271 Scotia Canadian Index Fund 277 Scotia U.S. Index Fund 285 Scotia CanAm Index Fund 289 Scotia Nasdaq Index Fund 294 Scotia International Index Fund Scotia Portfolios Scotia Selected Portfolios 299 Scotia Selected Income Portfolio 303 Scotia Selected Balanced Income Portfolio 308 Scotia Selected Balanced Growth Portfolio 313 Scotia Selected Growth Portfolio 318 Scotia Selected Maximum Growth Portfolio Scotia Partners Portfolios 323 Scotia Partners Income Portfolio 327 Scotia Partners Balanced Income Portfolio 332 Scotia Partners Balanced Growth Portfolio 337 Scotia Partners Growth Portfolio 342 Scotia Partners Maximum Growth Portfolio Scotia INNOVA Portfolios 347 Scotia INNOVA Income Portfolio 351 Scotia INNOVA Balanced Income Portfolio 355 Scotia INNOVA Balanced Growth Portfolio 360 Scotia INNOVA Growth Portfolio 364 Scotia INNOVA Maximum Growth Portfolio Scotia Aria Portfolios 368 Scotia Aria Progressive Build Portfolio 372 Scotia Aria Progressive Core Portfolio 377 Scotia Aria Progressive Pay Portfolio 382 Scotia Aria Conservative Build Portfolio 386 Scotia Aria Conservative Core Portfolio 391 Scotia Aria Conservative Pay Portfolio 396 Scotia Aria Moderate Build Portfolio 400 Scotia Aria Moderate Core Portfolio 405 Scotia Aria Moderate Pay Portfolio Scotia Corporate Class Funds 410 Scotia Conservative Government Bond Capital Yield Class 414 Scotia Fixed Income Blend Class 418 Scotia Canadian Dividend Class 422 Scotia Canadian Equity Blend Class 426 Scotia U.S. Equity Blend Class 429 Scotia Global Dividend Class 433 Scotia International Equity Blend Class 436 Scotia INNOVA Income Portfolio Class 440 Scotia INNOVA Balanced Income Portfolio Class 444 Scotia INNOVA Balanced Growth Portfolio Class 449 Scotia INNOVA Growth Portfolio Class 454 Scotia INNOVA Maximum Growth Portfolio Class 458 Scotia Partners Balanced Income Portfolio Class 462 Scotia Partners Balanced Growth Portfolio Class 466 Scotia Partners Growth Portfolio Class 470 Scotia Partners Maximum Growth Portfolio Class 474 Notes to the Financial Statements 497 Management s Responsibility for Financial Reporting

3 Economic & Financial Market Outlook Jean-François Perrault SVP and Chief Economist Scotiabank Firing on More Cylinders Sources of global growth are strengthening and diversifying, both within countries and across regions. The strength of demand is leading to a re-assessment of monetary policy prospects in a number of countries, with the possibility that additional central banks will soon follow the US Fed and the Bank of Canada by beginning to withdraw exceptional stimulus. Global momentum remains strong, despite occasionally weak data in some countries. Growth is so solid, in fact, that the market s focus is now on determining which central banks will follow the Federal Reserve and tighten interest rates next: the Bank of Canada raised its overnight rate for the first time in nearly 7 years in July The European Central Bank (ECB) is likely to follow with a tightening in its policy stance. The withdrawal of monetary stimulus, when it occurs, is likely to be of material consequence to financial markets. We have already seen sharp movements in currencies and bond markets in the countries where central bankers have adopted more hawkish language. While there is, of course, the possibility of increased volatility as markets digest the potential for reduced central bank support, we consider this shift in stance from central bankers to be very good news: it signals that the economic recovery is now, at long last, self-sustaining, and far less reliant on exceptional policy support. Other threats to the outlook are mixed. It now appears clear that the United States (US) will seek to modernize NAFTA instead of ripping it up. The US is, however, now also considering other tariffs with the potential to trigger significant retaliatory actions that could develop into a trade war. Political developments also loom large in Latin America and concerns about conflict in the Korean Peninsula remain heightened. Economic risks are, meanwhile, diminishing as the increasingly broad-based nature of activity in most advanced economies reduces the reliance on households and policy support to drive growth. In Canada, GDP growth stormed ahead to an unexpectedly quick pace of 3.7% q/q in Q1. Economic activity continued to be led in a lopsided fashion by consumer demand and residential investment, but Q1 also provided some tentative evidence of a strong pick-up in business investment. This incipient broadening of the sources of private-sector growth at the same time as public infrastructure spending is set to move ahead underpins another mark-up in our growth projections for 2017 to 2.7%, roughly double the Bank of Canada s estimate of Canada s potential. If realized, this would be the highest annual growth rate since 2011 s 3.1% and it would make Canada one of the fastest-growing countries in the industrialized world. Some of this demand is likely being pulled ahead from future periods and we anticipate a marked deceleration to 1.9% next year which reflects our expectation that Canadian economic activity will continue its shift to a more durable mix of sources in the years ahead. The strength of demand, as well as much more positive commentary from the Bank of Canada on the state of the economy, lead us to believe that the Bank of Canada will continue to raise interest rates, with other increases in the fourth quarter of the year and the first of next year. As the US economy heads into the eighth year of what is now its third-longest expansion, the fundamentals for continued solid growth remain in place, though any slack in the economy is rapidly closing with the economy at full employment. Our outlook is changed only modestly from three months ago. We have removed nearly all of the very limited additional fiscal stimulus that we had programmed in 2017 and 2018 based on our current expectation that virtually no meaningful tax reform or expanded infrastructure spending is likely to be implemented by the US federal government over the next 18 months. At the same time, a variety of material risks to the US outlook have abated: the USD has weakened, bond yields are lower than expected, financial conditions have materially eased, oil prices are lower than previously projected, and trade policy risks are proving to be more bark than bite, thereby generating less of a drag than expected on investment. Taking all of these factors into account, our projections for US growth have been shaved only slightly to 2.1% in 2017 and 2.2% in Growth continues to be driven by support from a strong labour market, rising consumption, recovering capex, and a slightly better external picture, all of which should compensate for a relatively soft Q1. Owing to the still strong recovery, and what we perceive to be a hawkish bias at the Fed, we project one more rate rise this year in December followed by two more in

4 In Latin America, economic performance is likely to be heavily affected by politics. In Mexico, progress on the NAFTA negotiations and the 2018 elections will together have a disproportionate impact on economic developments. The country has opened up important investment opportunities through structural reforms, but if the President elected in July 2018 does not plan to follow through on them then important opportunities could be lost and growth would suffer. In Chile, we have seen a material slowdown in the economy in the aftermath of the copper price correction, but some of the drag has been domestically generated. The country also saw investment decline owing to cost inflation, partially driven by regulation, a tax reform that increased corporate taxes by 25%, and the elimination of some tax breaks that previously shielded investments. With the presidential election scheduled for November 2017, we could see both positive and negative changes to the country s growth outlook: major electoral platforms remain in flux. In Colombia, presidential elections are scheduled for May 2018, and although it s still not clear who the candidates will be, it s possible that the vote could have implications for the peace efforts between the government and the guerrillas, as well as broader effects on policy. In Peru, the government s position in the legislature is very weak, which has made reform difficult and even complicated the more basic administration of government and the execution of infrastructure projects. If the government cannot change the country s political dynamics, whether through a cabinet reshuffle or another strategy, economic growth is likely to slow owing to weak execution of public spending and low private-sector confidence. In Brazil, the fate of the current government s reform campaign, including revisions to the pension system, will determine whether the country is able to maintain investor confidence in both its public debt and in new investments in real assets. Brazilian balance sheets, both in the public and private sectors, remain stretched, so maintaining foreign support is important if the economic rebound is to gain steam. In the Eurozone, survey indicators are extremely strong; they imply that GDP growth should continue to accelerate throughout 2017 which could translate into an annual average growth rate of 2.25 to 2.5%. Yet, both the consensus and the ECB expect growth of 2% y/ y or lower. This cautious outlook may reflect scepticism that the elevated survey readings will actually filter through into the hard activity data, particularly in the context of the stop-start nature of the eurozone recovery thus far. We are more glass-half-full and forecast an annual average growth rate of 2.2% y/y, twice the growth of potential output, marking an extremely strong performance for the currency area. The outlook for the UK has softened since earlier in the year. In particular, Q1 GDP was much weaker than expected (at just 0.2% q/q) and forward-looking indicators imply that growth is unlikely to be any better over the remainder of the year. Indeed, the factors that caused GDP growth to slow by so much during Q1 are intensifying, which implies that the headwinds to growth will build as the year progresses. China s economy is showing early signs that growth is decelerating again after a period of stimulus-induced strength. Over the past few quarters, economic activity has been underpinned by massive public outlays in fixed assets, particularly in infrastructure. The slowdown is becoming evident in the industrial sector, as implied by somewhat softer data on high-frequency indicators such as steel output, electricity production, and business confidence. We expect that the Chinese government will continue its sizeable fiscal injections to keep the economy s growth trajectory in line with requirements for social harmony. China is well positioned to meet the official growth target of around 6.5% in 2017; we expect output to expand by 6.7% this year. In 2018, the economy will likely continue its transition toward a more sustainable growth trajectory, with real GDP expected to advance by 6.3% y/y. 2

5 Scotia T-Bill Fund (Unaudited) STATEMENTS OF FINANCIAL POSITION As at (in dollars) June 30, 2017 December 31, 2016 ASSETS Current assets Investments Non-derivative financial assets 37,180,793 40,552,568 Cash 204,114 28,664 Subscriptions receivable 11,864 53,437 Accrued investment income and other 2,077 1,401 37,398,848 40,636,070 LIABILITIES Current liabilities Management fee payable 19,802 Redemptions payable 11,840 7,768 Accrued expenses 1,889 Distributions payable ,688 9,662 Net assets attributable to holders of redeemable units 37,367,160 40,626,408 UNITS PER SERIES Series A 37,367,160 40,626,408 UNITS PER UNIT Series A STATEMENTS OF COMPREHENSIVE INCOME (in dollars except average units) INCOME Net gain (loss) on investments Interest for distribution purposes 128, ,369 Net gain (loss) on investments 128, ,369 Securities lending (note 11) 1, Total income (loss), net 130, ,697 EXPENSES Management fees (note 5) 193, ,870 Independent Review Committee fees Audit fees 5, Custodian fees Filing fees 9,415 9,501 Legal fees Unitholder administration costs 38,450 43,715 Unitholder reporting costs 7,003 8,187 Other fund costs 4 8 Harmonized Sales Tax/Goods and Services Tax 15,754 16,815 Total expenses 270, ,961 Expenses absorbed by the Manager (161,759) (190,106) Net expenses 108, ,855 Increase (decrease) in net assets attributable to holders of redeemable units from operations 21,268 20,842 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS PER SERIES Series A 21,268 20,842 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS PER UNIT Series A WEIGHTED AVERAGE NUMBER OF UNITS PER SERIES Series A 3,948,233 4,622,657 The increase (decrease) in net assets attributable to holders of redeemable units from operations per unit is calculated by dividing the increase (decrease) in net assets attributable to holders of redeemable units from operations per series by the weighted average number of units per series. STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (in dollars) UNITS, BEGINNING OF PERIOD Series A 40,626,408 48,579,634 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS Series A 21,268 20,842 DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS From net investment income Series A (21,268) (20,842) REDEEMABLE UNIT TRANSACTIONS Proceeds from issue Series A 3,363,044 3,500,067 Reinvested distributions Series A 21,053 20,658 Payments on redemption Series A (6,643,345) (7,365,446) (3,259,248) (3,844,721) INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS Series A (3,259,248) (3,844,721) UNITS, END OF PERIOD Series A 37,367,160 44,734,913 STATEMENTS OF CASH FLOWS (in dollars) CASH FLOWS FROM OPERATING ACTIVITIES Increase (decrease) in net assets attributable to holders of redeemable units 21,268 20,842 Adjustments for: Purchases of portfolio investments (54,058,747) (52,302,021) Proceeds from sale of portfolio investments 57,430,522 56,164,030 Accrued investment income and other (676) 1,456 Accrued expenses and other payables 17,913 23,827 Net cash provided by (used in) operating activities 3,410,280 3,908,134 CASH FLOWS FROM FINANCING ACTIVITIES Proceeds from issue of redeemable units 3,404,617 3,500,067 Amounts paid on redemption of redeemable units (6,639,273) (7,365,446) Distributions to unitholders of redeemable units (174) (191) Net cash provided by (used in) financing activities (3,234,830) (3,865,570) Net increase (decrease) in cash 175,450 42,564 Cash (bank overdraft), beginning of period 28,664 85,433 CASH (BANK OVERDRAFT), END OF PERIOD 204, ,997 Interest received (1) 127, ,355 (1) Classified as operating items. 3

6 Scotia T-Bill Fund (Unaudited Continued) SCHEDULE OF INVESTMENT PORTFOLIO As at June 30, 2017 Face Average Carrying Issuer Value Cost Value MONEY MARKET INSTRUMENTS 99.5% Short Term Bonds 47.0% Canada Housing Trust No. 1 (Floating Rate) 1.01% Sep 15, ,200,000 8,225,092 8,207,012 Ontario Hydro Corporation Coupon Strip 0.00% Apr 15, , , ,074 Province of Manitoba (Floating Rate) 1.14% Apr 02, ,000,000 1,002,940 1,003,946 Province of Manitoba 4.70% Sep 22, ,690,000 1,745,314 1,726,686 Province of Nova Scotia 1.12% Aug 15, ,200,000 3,208,928 3,212,307 Province of Ontario (Floating Rate) 1.16% Nov 23, ,900,000 2,909,889 2,908,178 17,588,183 17,554,203 Treasury Bills 52.5% Government of Canada 0.00% Aug 10, ,500,000 5,496,150 5,496,333 Government of Canada 0.00% Feb 08, ,585,000 3,566,585 3,571,841 Government of Canada 0.00% Jul 13, ,145,000 3,141,132 3,144,448 Government of Canada 0.00% Jul 27, ,400,000 3,394,084 3,398,696 Government of Canada 0.00% Sep 21, ,020,000 4,008,181 4,015,272 19,606,132 19,626,590 TOTAL INVESTMENT PORTFOLIO 37,194,315 37,180,793 OTHER ASSETS, LESS LIABILITIES 0.5% 186,367 NET ASSETS 100.0% 37,367,160 Instruments with a 0.00% stated interest rate are purchased at a discount to face value. The discount represents the implied effective interest. 4

7 Scotia T-Bill Fund (Unaudited Continued) FUND SPECIFIC NOTES For the periods indicated in Note 1 The Fund (note 1) The Fund s objective is to provide income and liquidity, while maintaining a high level of safety. It invests primarily in Government of Canada treasury bills and other short-term debt instruments guaranteed by the Government of Canada. Risks associated with financial instruments (note 4) Interest rate risk The table below summarizes the Fund s exposure to interest rate risk by the remaining term to maturity of the Fund s portfolio, excluding cash and overdrafts, as applicable. Interest rate exposure June 30, 2017 December 31, 2016 Less than 1 year 33,968,486 39,547, years 3,212,307 1,004, years 5-10 years > 10 years 37,180,793 40,552,568 As at June 30, 2017, had the prevailing interest rates increased or decreased by 0.25%, assuming a parallel shift in the yield curve and all other variables held constant, net assets attributable to holders of redeemable units would have decreased or increased, respectively, by $18,617 or approximately 0.0% (December 31, 2016 $19,937 or approximately 0.0%). Currency risk The Fund did not have significant currency risk exposure as at June 30, 2017 or December 31, Price risk The Fund did not have significant price risk exposure to equities, underlying funds, derivatives or commodities, if applicable, as at June 30, 2017 and December 31, Credit risk The table below summarizes the credit ratings of bond and debentures and money market instruments held by the Fund. Credit ratings June 30, 2017 December 31, 2016 Percentage of total money market instruments (%) Percentage of net assets (%) Percentage of total money market instruments (%) Percentage of net assets (%) Short Term Rating A A Bond Credit Rating AAA AA A Concentration risk Concentration risk arises as a result of the concentration of exposures within the same category, geographical location, asset type or industry sector, as applicable. The table below is a summary of the Fund s concentration risk: Percentage of net assets (%) June 30, 2017 December 31, 2016 Short Term Bonds Treasury Bills Fair Value Classification (note 2) The tables below illustrate the classification of the Fund s financial instruments within the fair value hierarchy. June 30, 2017 Level 1 Level 2 Level 3 Total Bonds and debentures 17,554,203 17,554,203 Money market instruments 19,626,590 19,626,590 37,180,793 37,180,793 December 31, 2016 Level 1 Level 2 Level 3 Total Bonds and debentures 17,782,407 17,782,407 Money market instruments 22,770,161 22,770,161 40,552,568 40,552,568 Transfers between levels During the periods ended June 30, 2017 and December 31, 2016, there were no significant transfers between Level 1 and Level 2. Offsetting of financial assets and liabilities (note 2) As at June 30, 2017 and December 31, 2016, the Fund did not enter into any agreement whereby the financial instruments were eligible for offset. Interest in Underlying Funds (note 2) The Fund did not hold any interest in Underlying Funds as at June 30, 2017 or December 31, Comparison of net asset value per unit and net assets per unit (note 2) As at June 30, 2017 or December 31, 2016, there were no differences between the net asset value per unit and the net assets per unit for any series of the Fund. 5

8 Scotia Premium T-Bill Fund (Unaudited) STATEMENTS OF FINANCIAL POSITION As at (in dollars) June 30, 2017 December 31, 2016 ASSETS Current assets Investments Non-derivative financial assets 153,590, ,620,152 Cash 117,880 57,385 Subscriptions receivable 13,194 4,000 Accrued investment income and other 37,107 5,864 Receivable for management fees rebate , ,759, ,723,897 LIABILITIES Current liabilities Management fee payable 76,148 7,656 Redemptions payable 14,656 Accrued expenses 4, Distributions payable 2,375 80,677 25,132 Net assets attributable to holders of redeemable units 153,678, ,698,765 UNITS PER SERIES Series A 153,678, ,698,765 UNITS PER UNIT Series A STATEMENTS OF COMPREHENSIVE INCOME (in dollars except average units) INCOME Net gain (loss) on investments Interest for distribution purposes 523, ,456 Net gain (loss) on investments 523, ,456 Securities lending (note 11) 8,908 2,652 Total income (loss), net 532, ,108 EXPENSES Management fees (note 5) 249, ,295 Independent Review Committee fees Audit fees 5,154 1,949 Custodian fees 1,819 2,052 Filing fees 9,446 9,039 Legal fees Unitholder administration costs 12,047 17,310 Unitholder reporting costs 2,243 2,762 Other fund costs Harmonized Sales Tax/Goods and Services Tax 27,522 45,045 Total expenses 308, ,359 Expenses absorbed by the Manager (26,582) (64,197) Net expenses 282, ,162 Increase (decrease) in net assets attributable to holders of redeemable units from operations 250, ,946 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS PER SERIES Series A 250, ,946 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS PER UNIT Series A WEIGHTED AVERAGE NUMBER OF UNITS PER SERIES Series A 15,977,260 18,321,854 The increase (decrease) in net assets attributable to holders of redeemable units from operations per unit is calculated by dividing the increase (decrease) in net assets attributable to holders of redeemable units from operations per series by the weighted average number of units per series. STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (in dollars) UNITS, BEGINNING OF PERIOD Series A 171,698, ,138,128 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS Series A 250, ,946 DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS From net investment income Series A (250,377) (262,947) REDEEMABLE UNIT TRANSACTIONS Proceeds from issue Series A 12,122,500 16,682,474 Reinvested distributions Series A 267, ,947 Payments on redemption Series A (30,410,695) (28,045,432) (18,020,359) (11,100,011) INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS Series A (18,020,361) (11,100,012) UNITS, END OF PERIOD Series A 153,678, ,038,116 STATEMENTS OF CASH FLOWS (in dollars) CASH FLOWS FROM OPERATING ACTIVITIES Increase (decrease) in net assets attributable to holders of redeemable units 250, ,946 Adjustments for: Purchases of portfolio investments (232,468,139) (227,802,594) Proceeds from sale of portfolio investments 250,497, ,946,635 Accrued investment income and other (31,243) (25,199) Accrued expenses and other payables 72,576 94,819 Receivable for management fees rebate 36,369 40,603 Net cash provided by (used in) operating activities 18,357,456 11,517,210 CASH FLOWS FROM FINANCING ACTIVITIES Proceeds from issue of redeemable units 12,113,306 16,682,474 Amounts paid on redemption of redeemable units (30,425,351) (28,045,432) Distributions to unitholders of redeemable units 15,084 (2,913) Net cash provided by (used in) financing activities (18,296,961) (11,365,871) Net increase (decrease) in cash 60, ,339 Cash (bank overdraft), beginning of period 57,385 45,976 CASH (BANK OVERDRAFT), END OF PERIOD 117, ,315 Interest received (1) 492, ,070 (1) Classified as operating items. 6

9 Scotia Premium T-Bill Fund (Unaudited Continued) SCHEDULE OF INVESTMENT PORTFOLIO As at June 30, 2017 Issuer Face Value Average Cost Carrying Value BONDS AND DEBENTURES 47.4% Short Term Bonds 23.1% Ontario Hydro Corporation Coupon Strip 0.00% Apr 15, ,100,000 2,083,284 2,083,510 Canada Housing Trust No. 1 (Floating Rate) 1.01% Sep 15, ,400,000 33,502,122 33,428,783 35,585,406 35,512,293 Provincial Bonds 24.2% Province of Manitoba (Floating Rate) 1.14% Apr 02, ,100,000 4,112,054 4,116,177 Province of Manitoba 4.70% Sep 22, ,250,000 7,487,293 7,407,382 Province of Nova Scotia 1.12% Aug 15, ,500,000 13,537,665 13,551,920 Province of Ontario (Floating Rate) 1.16% Nov 23, ,100,000 12,141,261 12,134,121 37,278,273 37,209,600 TOTAL BONDS AND DEBENTURES 72,863,679 72,721,893 MONEY MARKET INSTRUMENTS 52.6% Treasury Bills 52.6% Government of Canada 0.00% Aug 10, ,700,000 23,683,409 23,684,202 Government of Canada 0.00% Feb 08, ,600,000 14,524,934 14,546,398 Government of Canada 0.00% Jul 13, ,495,000 12,479,979 12,492,822 Government of Canada 0.00% Jul 27, ,685,000 13,662,950 13,679,844 Government of Canada 0.00% Sep 21, ,485,000 16,436,534 16,465,614 80,787,806 80,868,880 TOTAL INVESTMENT PORTFOLIO 153,651, ,590,773 OTHER ASSETS, LESS LIABILITIES 0.1% 87,631 NET ASSETS 100.0% 153,678,404 Instruments with a 0.00% stated interest rate are purchased at a discount to face value. The discount represents the implied effective interest. 7

10 Scotia Premium T-Bill Fund (Unaudited Continued) FUND SPECIFIC NOTES For the periods indicated in Note 1 The Fund (note 1) The Fund s objective is to provide income and liquidity, while maintaining a high level of safety. It invests primarily in Government of Canada treasury bills and other short-term debt instruments guaranteed by the Government of Canada. Risks associated with financial instruments (note 4) Interest rate risk The table below summarizes the Fund s exposure to interest rate risk by the remaining term to maturity of the Fund s portfolio, excluding cash and overdrafts, as applicable. Interest rate exposure June 30, 2017 December 31, 2016 Less than 1 year 140,038, ,501, years 13,551,920 4,118, years 5-10 years > 10 years 153,590, ,620,152 As at June 30, 2017, had the prevailing interest rates increased or decreased by 0.25%, assuming a parallel shift in the yield curve and all other variables held constant, net assets attributable to holders of redeemable units would have decreased or increased, respectively, by $76,789 or approximately 0.0% (December 31, 2016 $82,302 or approximately 0.0%). Currency risk The Fund did not have significant currency risk exposure as at June 30, 2017 or December 31, Price risk The Fund did not have significant price risk exposure to equities, underlying funds, derivatives or commodities, if applicable, as at June 30, 2017 and December 31, Credit risk The table below summarizes the credit ratings of bond and debentures and money market instruments held by the Fund. Credit ratings June 30, 2017 December 31, 2016 Percentage of total money market instruments (%) Percentage of net assets (%) Percentage of total money market instruments (%) Percentage of net assets (%) Short Term Rating A A Bond Credit Rating AAA AA A Concentration risk Concentration risk arises as a result of the concentration of exposures within the same category, geographical location, asset type or industry sector, as applicable. The table below is a summary of the Fund s concentration risk: Percentage of net assets (%) June 30, 2017 December 31, 2016 Provincial Bonds Short Term Bonds Treasury Bills Fair Value Classification (note 2) The tables below illustrate the classification of the Fund s financial instruments within the fair value hierarchy. June 30, 2017 Level 1 Level 2 Level 3 Total Bonds and debentures 72,721,893 72,721,893 Money market instruments 80,868,880 80,868, ,590, ,590,773 December 31, 2016 Level 1 Level 2 Level 3 Total Bonds and debentures 71,110,375 71,110,375 Money market instruments 100,509, ,509, ,620, ,620,152 Transfers between levels During the periods ended June 30, 2017 and December 31, 2016, there were no significant transfers between Level 1 and Level 2. Offsetting of financial assets and liabilities (note 2) As at June 30, 2017 and December 31, 2016, the Fund did not enter into any agreement whereby the financial instruments were eligible for offset. Interest in Underlying Funds (note 2) The Fund did not hold any interest in Underlying Funds as at June 30, 2017 or December 31, Comparison of net asset value per unit and net assets per unit (note 2) As at June 30, 2017 or December 31, 2016, there were no differences between the net asset value per unit and the net assets per unit for any series of the Fund. 8

11 Scotia Money Market Fund (Unaudited) STATEMENTS OF FINANCIAL POSITION As at (in dollars) June 30, 2017 December 31, 2016 ASSETS Current assets Investments Non-derivative financial assets 1,191,900,933 1,351,378,989 Cash 101,716 3,567 Subscriptions receivable 4,643,720 4,345,847 Accrued investment income and other 87,778 84,174 1,196,734,147 1,355,812,577 LIABILITIES Current liabilities Management fee payable 188,912 Redemptions payable 9,150,337 2,861,427 Accrued expenses 10,054 20,544 Distributions payable 2,921 4,449 9,352,224 2,886,420 Net assets attributable to holders of redeemable units 1,187,381,923 1,352,926,157 UNITS PER SERIES Series A 209,718, ,470,612 Advisor Series 288, ,468 Series K 1,202,464 1,004 Series M 898,834,709 1,038,195,157 Premium Series 77,338,040 95,808,916 UNITS PER UNIT Series A Advisor Series Series K Series M Premium Series STATEMENTS OF COMPREHENSIVE INCOME (in dollars except average units) INCOME Net gain (loss) on investments Interest for distribution purposes 6,614,735 8,016,891 Net gain (loss) on investments 6,614,735 8,016,891 Securities lending (note 11) 5,677 9,870 Total income (loss), net 6,620,412 8,026,761 EXPENSES Management fees (note 5) 1,353,577 1,949,996 Independent Review Committee fees Interest expense and bank overdraft charges 1, Audit fees 5,059 16,913 Custodian fees 16,680 15,648 Filing fees 23,693 28,168 Legal fees 2,454 2,731 Unitholder administration costs 159, ,100 Unitholder reporting costs 16,332 19,771 Other fund costs Harmonized Sales Tax/Goods and Services Tax 110, ,807 Total expenses 1,690,153 2,404,037 Expenses absorbed by the Manager (535,004) (713,309) Net expenses 1,155,149 1,690,728 Increase (decrease) in net assets attributable to holders of redeemable units from operations 5,465,263 6,336,033 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS PER SERIES Series A 323, ,399 Advisor Series Series K 2,967 Series M 4,850,788 5,150,399 Premium Series 287, ,327 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS PER UNIT Series A Advisor Series Series K 0.05 Series M Premium Series WEIGHTED AVERAGE NUMBER OF UNITS PER SERIES Series A 21,658,871 29,258,999 Advisor Series 35,453 61,074 Series K 59,031 Series M 100,485, ,845,975 Premium Series 8,564,484 22,176,356 The increase (decrease) in net assets attributable to holders of redeemable units from operations per unit is calculated by dividing the increase (decrease) in net assets attributable to holders of redeemable units from operations per series by the weighted average number of units per series. 9

12 Scotia Money Market Fund (Unaudited Continued) STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (in dollars) UNITS, BEGINNING OF PERIOD Series A 218,470, ,337,658 Advisor Series 450, ,361 Series K 1,004 Series M 1,038,195,157 1,038,899,571 Premium Series 95,808, ,043,990 1,352,926,157 1,552,957,580 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS FROM OPERATIONS Series A 323, ,399 Advisor Series Series K 2,967 Series M 4,850,788 5,150,399 Premium Series 287, ,327 5,465,263 6,336,033 DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS From net investment income Series A (323,798) (439,385) Advisor Series (527) (908) Series K (2,967) Series M (4,850,786) (5,150,410) Premium Series (287,182) (745,323) (5,465,260) (6,336,026) REDEEMABLE UNIT TRANSACTIONS Proceeds from issue Series A 67,588,396 69,272,789 Series K 1,209,454 Series M 1,012,628,323 1,092,855,556 Premium Series 13,067 92,339,255 Reinvested distributions Series A 317, ,646 Advisor Series Series K 2,967 Series M 4,810,210 5,099,371 Premium Series 278, ,873 Payments on redemption Series A (76,658,456) (103,366,221) Advisor Series (162,793) (126,854) Series K (10,961) Series M (1,156,798,983) (1,218,242,987) Premium Series (18,762,338) (68,555,889) (165,544,237) (129,559,553) INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS Series A (8,752,104) (33,660,772) Advisor Series (162,266) (125,946) Series K 1,201,460 Series M (139,360,448) (120,288,071) Premium Series (18,470,876) 24,515,243 (165,544,234) (129,559,546) UNITS, END OF PERIOD Series A 209,718, ,676,886 Advisor Series 288, ,415 Series K 1,202,464 Series M 898,834, ,611,500 Premium Series 77,338, ,559,233 1,187,381,923 1,423,398,034 STATEMENTS OF CASH FLOWS (in dollars) CASH FLOWS FROM OPERATING ACTIVITIES Increase (decrease) in net assets attributable to holders of redeemable units 5,465,263 6,336,033 Adjustments for: Purchases of portfolio investments (3,442,092,064) (5,810,663,622) Proceeds from sale of portfolio investments 3,601,570,120 5,939,933,493 Accrued investment income and other (3,604) 37,381 Accrued expenses and other payables 178, ,726 Net cash provided by (used in) operating activities 165,118, ,947,011 CASH FLOWS FROM FINANCING ACTIVITIES Proceeds from issue of redeemable units 1,081,141,367 1,254,467,601 Amounts paid on redemption of redeemable units (1,246,104,620) (1,390,291,951) Distributions to unitholders of redeemable units (56,735) (69,098) Net cash provided by (used in) financing activities (165,019,988) (135,893,448) Net increase (decrease) in cash 98,149 53,563 Cash (bank overdraft), beginning of period 3,567 47,141 CASH (BANK OVERDRAFT), END OF PERIOD 101, ,704 Interest paid (1) 1, Interest received (1) 6,611,131 8,779,216 (1) Classified as operating items. 10

13 Scotia Money Market Fund (Unaudited Continued) SCHEDULE OF INVESTMENT PORTFOLIO As at June 30, 2017 Issuer Face Value Average Cost Carrying Value MONEY MARKET INSTRUMENTS 100.5% Short-Term Bonds 59.1% Bank of Montreal (Floating Rate) 1.33% Dec 21, ,700,000 30,767,305 30,755,766 Bank of Montreal (Floating Rate) 1.47% Mar 29, ,393,000 27,516,854 27,486,866 Bank of Nova Scotia, The (Floating Rate) 1.13% Oct 11, ,000,000 8,006,560 8,006,820 Bank of Nova Scotia, The (Floating Rate) 1.52% Apr 20, ,958,000 23,054,839 23,075,174 Bank of Nova Scotia, The 2.24% Mar 22, ,000,000 7,065,520 7,103,127 Bank of Nova Scotia, The 2.37% Jan 11, ,000,000 20,231,800 20,349,989 BMW Canada Inc. 2.39% Nov 27, ,217,000 24,496,542 24,407,001 Caisse Centrale Desjardins 3.50% Oct 05, ,805,000 33,578,350 33,285,260 Canadian Imperial Bank of Commerce (Floating Rate) 1.56% Feb 08, ,300,000 59,300,000 59,433,232 City of Toronto 4.95% Jun 27, ,000,000 10,386,200 10,386,025 City of Toronto 5.05% Jul 18, ,761,000 22,008,425 22,299,951 City of Toronto 6.10% Dec 12, ,411,000 1,460,470 1,448,344 City of Vancouver 4.70% Dec 01, ,314,000 12,672,158 12,553,497 GE Capital Canada Funding Company 5.53% Aug 17, ,000,000 35,255,760 34,891,100 Greater Toronto Airports Authority 5.26% Apr 17, ,418,000 26,445,034 26,546,353 Honda Canada Finance Inc. 2.28% Dec 11, ,111,000 22,354,365 22,257,796 HSBC Bank of Canada 3.56% Oct 04, ,673,000 13,918,022 13,877,018 John Deere Canada Funding Inc. 2.25% Oct 18, ,838,000 25,075,303 25,041,486 John Deere Canada Funding Inc. 2.30% Jan 17, ,507,000 8,605,290 8,658,447 Lower Mattagami Energy LP 2.23% Oct 23, ,157,000 35,533,679 35,436,078 Manulife Bank of Canada (Floating Rate) 1.51% Jun 01, ,000,000 35,012,023 35,047,999 National Bank of Canada (Floating Rate) 1.39% Jun 14, ,797,000 24,878,037 24,872,474 National Bank of Canada 2.69% Aug 21, ,449,000 14,665,913 14,620,148 NAV Canada 1.95% Apr 19, ,796,767 32,096,518 32,165,171 Royal Bank of Canada (Floating Rate) 1.02% Jul 30, ,000,000 57,000,000 57,014,266 Toronto Hydro Corporation 5.15% Nov 14, ,349,000 28,455,297 27,945,664 Toronto-Dominion Bank, The (Floating Rate) 1.49% Mar 28, ,000,000 56,999,998 57,005,040 Toronto-Dominion Bank, The 2.43% Aug 15, ,300,000 2,329,256 2,324,817 Toyota Credit Canada Inc. 2.20% Oct 19, ,870,000 2,892,192 2,892, ,061, ,187,841 Bankers Acceptances 2.3% HSBC Bank of Canada 0.00% Aug 08, ,460,000 2,454,982 2,457,928 HSBC Bank of Canada 0.00% Aug 25, , , ,512 HSBC Bank of Canada 0.00% Sep 13, ,600,000 2,595,138 2,595,957 HSBC Bank of Canada 0.00% Sep 29, ,000,000 1,995,160 1,996,111 National Bank of Canada 0.00% Aug 14, ,400,000 9,382,422 9,391,501 National Bank of Canada 0.00% Aug 15, ,350,000 10,330,439 10,340,432 27,106,640 27,131,441 Bearers Deposit Notes 0.7% HSBC Bank of Canada 0.00% Sep 08, ,000,000 7,985,200 7,988,395 Commercial Paper 33.4% Canadian Utilities Limited 0.00% Aug 02, ,000,000 29,970,000 29,977,143 Enbridge Gas Distribution Inc. 0.00% Jul 12, ,600,000 7,596,048 7,598,110 Enbridge Gas Distribution Inc. 0.00% Jul 19, ,000,000 14,989,950 14,993,970 Enbridge Gas Distribution Inc. 0.00% Jul 21, ,000,000 4,996,510 4,997,679 Enbridge Gas Distribution Inc. 0.00% Jul 25, ,410,000 4,406,957 4,407,295 Enbridge Pipelines Inc. 0.00% Jul 12, ,530,000 11,526,772 11,527,041 Enbridge Pipelines Inc. 0.00% Jul 19, ,295,000 3,293,272 3,293,616 Enbridge Pipelines Inc. 0.00% Jul 20, ,950,000 4,947,173 4,947,808 FortisBC Energy Inc. 0.00% Aug 01, ,000,000 9,992,100 9,992,579 FortisBC Energy Inc. 0.00% Aug 02, ,900,000 4,890,268 4,896,629 FortisBC Energy Inc. 0.00% Aug 31, ,450,000 4,442,880 4,443,106 FortisBC Energy Inc. 0.00% Jul 26, ,000,000 3,992,400 3,997,865 Greater Toronto Airports Authority 0.00% Jul 19, ,500,000 7,494,675 7,497,181 Honda Canada Finance Inc. 0.00% Apr 03, ,000,000 10,883,730 10,911,107 Husky Energy Inc. 0.00% Aug 03, ,800,000 5,787,704 5,795,282 Husky Energy Inc. 0.00% Sep 01, ,300,000 4,290,884 4,293,428 Husky Energy Inc. 0.00% Sep 15, ,000,000 22,950,090 22,956,896 Imperial Oil Ltd. 0.00% Jul 13, ,000,000 26,992,170 26,993,289 Inter Pipeline Ltd. 0.00% Jul 13, ,000,000 1,996,840 1,999,417 Inter Pipeline Ltd. 0.00% Sep 07, ,350,000 3,342,597 3,344,468 Inter Pipeline Ltd. 0.00% Sep 12, ,000,000 4,988,800 4,991,113 Issuer Face Value Average Cost Carrying Value MONEY MARKET INSTRUMENTS (cont'd) Commercial Paper (cont'd) Inter Pipeline Ltd. 0.00% Sep 14, ,500,000 8,481,385 8,483,953 Inter Pipeline Ltd. 0.00% Sep 19, ,500,000 13,469,085 13,472,822 Nestle Capital Canada Ltd. 0.00% Aug 01, ,000,000 3,996,520 3,997,965 Nestle Capital Canada Ltd. 0.00% Aug 03, ,000,000 4,995,850 4,997,205 Nova Scotia Power Inc. 0.00% Jul 11, ,300,000 2,298,298 2,299,484 Nova Scotia Power Inc. 0.00% Jul 12, ,000,000 3,997,040 3,999,013 Nova Scotia Power Inc. 0.00% Jul 17, ,500,000 6,495,190 6,497,668 Nova Scotia Power Inc. 0.00% Jul 26, ,300,000 10,292,584 10,293,820 Nova Scotia Power Inc. 0.00% Jul 27, ,700,000 8,693,475 8,694,527 Omers Finance Trust 0.00% Aug 01, ,000,000 2,993,880 2,997,938 Omers Finance Trust 0.00% Sep 01, ,000,000 3,992,320 3,994,767 Omers Finance Trust 0.00% Sep 05, ,700,000 15,669,542 15,678,150 Omers Finance Trust 0.00% Sep 06, ,800,000 19,762,380 19,771,994 Omers Finance Trust 0.00% Sep 18, ,900,000 16,867,214 16,871,537 Ontario Teachers Financial Trust 0.00% Aug 25, ,000 99,615 99,875 Ontario Teachers Financial Trust 0.00% Dec 08, ,000,000 2,988,540 2,989,925 Ontario Teachers Financial Trust 0.00% Nov 29, ,100,000 10,061,317 10,067,549 Ontario Teachers Financial Trust 0.00% Sep 01, ,000,000 40,828,210 40,941,798 Ontario Teachers Financial Trust 0.00% Sep 05, ,700,000 4,681,803 4,693,061 Toyota Credit Canada Inc. 0.00% Dec 15, ,175,000 9,114,170 9,136,227 Toyota Credit Canada Inc. 0.00% Jan 04, ,000,000 12,911,300 12,937, ,461, ,771,452 Promissory Notes 2.8% Province of Alberta 0.00% Jul 17, ,190,000 26,177,953 26,183,968 Province of Alberta 0.00% Jul 26, ,000,000 4,997,250 4,998,090 Province of Saskatchewan 0.00% Aug 04, ,100,000 2,098,572 2,098,921 33,273,775 33,280,979 Treasury Bills 2.2% Province of New Brunswick 0.00% Jul 18, ,075,000 1,074,484 1,074,726 Province of Newfoundland and Labrador 0.00% Aug 03, ,000,000 10,992,740 10,994,555 Province of Newfoundland and Labrador 0.00% Jul 20, ,745,000 10,739,672 10,741,995 Province of Ontario 0.00% Jul 12, ,730,000 2,728,853 2,729,549 25,535,749 25,540,825 TOTAL INVESTMENT PORTFOLIO 1,192,424,612 1,191,900,933 OTHER ASSETS, LESS LIABILITIES (0.5%) (4,519,010) NET ASSETS 100.0% 1,187,381,923 Instruments with a 0.00% stated interest rate are purchased at a discount to face value. The discount represents the implied effective interest. 11

14 Scotia Money Market Fund (Unaudited Continued) FUND SPECIFIC NOTES For the periods indicated in Note 1 The Fund (note 1) The Fund s objective is to provide income and liquidity, while maintaining a high level of safety. It invests primarily in high quality, short-term fixed income securities issued by Canadian federal, provincial and municipal governments, Canadian chartered banks and trust companies, and corporations. Risks associated with financial instruments (note 4) Interest rate risk The table below summarizes the Fund s exposure to interest rate risk by the remaining term to maturity of the Fund s portfolio, excluding cash and overdrafts, as applicable. Interest rate exposure June 30, 2017 December 31, 2016 Less than 1 year 1,134,886,667 1,154,939, years 57,014, ,439, years 5-10 years > 10 years 1,191,900,933 1,351,378,989 As at June 30, 2017, had the prevailing interest rates increased or decreased by 0.25%, assuming a parallel shift in the yield curve and all other variables held constant, net assets attributable to holders of redeemable units would have decreased or increased, respectively, by $610,700 or approximately 0.1% (December 31, 2016 $548,160 or approximately 0.0%). Currency risk The Fund did not have significant currency risk exposure as at June 30, 2017 or December 31, Price risk The Fund did not have significant price risk exposure to equities, underlying funds, derivatives or commodities, if applicable, as at June 30, 2017 and December 31, Credit risk The table below summarizes the credit ratings of bond and debentures and money market instruments held by the Fund. Credit ratings June 30, 2017 December 31, 2016 Percentage of total money market instruments (%) Percentage of net assets (%) Percentage of total money market instruments (%) Percentage of net assets (%) Short Term Rating A A Bond Credit Rating AAA AA A Concentration risk Concentration risk arises as a result of the concentration of exposures within the same category, geographical location, asset type or industry sector, as applicable. The table below is a summary of the Fund s concentration risk: Percentage of net assets (%) June 30, 2017 December 31, 2016 Bankers Acceptances Bearers Deposit Notes Commercial Paper Promissory Notes 2.8 Short Term Bonds Treasury Bills Fair Value Classification (note 2) The tables below illustrate the classification of the Fund s financial instruments within the fair value hierarchy. June 30, 2017 Level 1 Level 2 Level 3 Total Bonds and debentures 701,187, ,187,841 Money market instruments 490,713, ,713,092 1,191,900,933 1,191,900,933 December 31, 2016 Level 1 Level 2 Level 3 Total Bonds and debentures 897,111, ,111,783 Money market instruments 454,267, ,267,206 1,351,378,989 1,351,378,989 Transfers between levels During the periods ended June 30, 2017 and December 31, 2016, there were no significant transfers between Level 1 and Level 2. Offsetting of financial assets and liabilities (note 2) As at June 30, 2017 and December 31, 2016, the Fund did not enter into any agreement whereby the financial instruments were eligible for offset. Interest in Underlying Funds (note 2) The Fund did not hold any interest in Underlying Funds as at June 30, 2017 or December 31, Comparison of net asset value per unit and net assets per unit (note 2) As at June 30, 2017 or December 31, 2016, there were no differences between the net asset value per unit and the net assets per unit for any series of the Fund. 12