RPH GLOBAL SOVEREIGN BOND POOLED FUND

Transcription

1 Financial Statements of RPH GLOBAL SOVEREIGN BOND POOLED FUND Period from April 1, 2011 (date of commencement of operations) to December 31, 2011

2 KPMG LLP Telephone (416) Chartered Accountants Fax (416) Bay Adelaide Centre Internet Bay Street Suite 4600 Toronto ON M5H 2S5 Canada INDEPENDENT AUDITORS' REPORT To the Unitholders of RPH Global Sovereign Bond Pooled Fund We have audited the accompanying financial statements of RPH Global Sovereign Bond Pooled Fund, which comprise the statements of net assets and investment portfolio as at December 31, 2011, the statements of operations and changes in net assets for the period from April 1, 2011 (date of commencement of operations) to December 31, 2011, and notes, comprising a summary of significant accounting policies and other explanatory information. Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with Canadian generally accepted accounting principles, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors' Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements present fairly, in all material respects, the financial position and investments of RPH Global Sovereign Bond Pooled Fund as at December 31, 2011, and its results of operations and its changes in net assets for the period from April 1, 2011 (date of commencement of operations) to December 31, 2011 in accordance with Canadian generally accepted accounting principles. Chartered Accountants, Licensed Public Accountants March 30, 2012 Toronto, Canada KPMG LLP is a Canadian limited liability partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative ( KPMG International ), a Swiss entity. KPMG Canada provides services to KPMG LLP.

3 Statement of Net Assets December 31, 2011 Assets Investments owned, at fair value (cost - $7,359,418) (note 1(e)) $ 7,085,943 Receivables from repurchase transactions (note 1(e)) 3,619,554 Margin deposited on forward contracts (note 1(l)) 898,965 Cash 1,269,058 Unrealized gain on option contracts (note 1(e)) 133,592 Interest receivable 38,739 13,045,851 Liabilities Investments sold short, at fair value (proceeds - $3,595,925) (note 1(e)) 2,992,640 Unrealized loss on forward contracts (note 1(e)) 100,944 Unrealized loss on option contracts (note 1(e)) 133,592 Accounts payable and accrued expenses 25,139 Interest payable 2,611 3,254,926 Net assets $ 9,790,925 Net assets per series: Series A $ 8,162,417 Series C 1,628,508 Units outstanding (note 3): Series A 1,014,836 Series C 204,038 Net assets per unit (note 4): Series A $ 8.04 Series C 7.98 See accompanying notes to financial statements. 1

4 Statement of Operations Investment income: Interest $ 68,651 Expenses: Foreign exchange tax (note 1(k)) 261,300 Management fees (note 2(a)) 43,608 Operating expenses (note 2(c)) 42,448 Performance fees (note 2(b)) 7, ,785 Net investment loss (286,134) Realized and unrealized gains (losses) on investments, derivative contracts and foreign currency: Net realized loss on sale of investments, derivative contracts and foreign currency (562,988) Commissions and other portfolio transaction costs (449) Change in unrealized appreciation on investments, derivative contracts and foreign currency 228,903 Net realized and unrealized loss on investments, derivative contracts and foreign currency (334,534) Decrease in net assets from operations $ (620,668) Decrease in net assets from operations per series: Series A $ (426,923) Series C (193,745) Decrease in net assets from operations per unit (based on the weighted average units outstanding): Series A $ (0.75) Series C (1.43) See accompanying notes to financial statements. 2

5 Statement of Changes in Net Assets Net assets, beginning of period: Series A $ Series C Decrease in net assets from operations: Series A (426,923) Series C (193,745) (620,668) Unit transactions: Sale of units: Series A 9,891,347 Series C 2,112,128 12,003,475 Redemption of units: Series A (1,302,007) Series C (289,875) (1,591,882) 10,411,593 Net assets, end of period $ 9,790,925 Represented by: Series A $ 8,162,417 Series C 1,628,508 See accompanying notes to financial statements. 3

6 Statement of Investment Portfolio December 31, 2011 Coupon Additional Average cost/ % of net Security rate (%) Maturity date details Par value proceeds Fair value assets Fixed income securities: Brazil Noters do Tesouro Nacional /05/15 Series B 3,328,000 $ 4,198,884 $ 3,915, Treasury bills: Government of Australia 2012/02/03 Treasury bill 3,060,000 3,160,534 3,170, Repurchase transaction agreements: Repo on United Kingdom Gilt Inflation Linked 2012/01/30 1,000,000 3,209,708 3,209, Repo on United States Treasury Bond 2012/01/31 1,000, , , Total investments owned 10,978,972 10,705, Fixed income securities: United Kingdom Gilt Inflation Linked /11/22 (1,000,000) (3,174,185) (2,569,048) (26.2) United States Treasury Bond 2040/11/15 Zero coupon (1,000,000) (421,740) (423,592) (4.3) Total investments sold short (3,595,925) (2,992,640) (30.5) 7,383,047 Commissions and other portfolio transaction costs (note 1) (37) Total investments $ 7,383,010 7,712, Unrealized loss on forward contracts (Schedule 1) (100,944) (1.0) Unrealized gain on option contracts (Schedule 2) Other assets, net 2,179, Net assets $ 9,790, Schedule 1 - Forward contracts: Unrealized Settlement date Counterparty Forward rates Contract price Fair value gain (loss) US dollar: June 27, 2012 BNY Mellon (2,052,976) (2,120,269) (67,293) June 27, 2012 BNY Mellon (1,026,643) (1,060,294) (33,651) Schedule 2 - Option contracts: Fair value Notional base Unrealized Maturity date Strike price currency currency fair value Option contracts: CAD/BRL 2012/ ,046,104 3,914,502 42,732 CAD/BRL 2012/ (7,046,104) (3,531,881) (42,732) AUD/USD 2012/ ,000, ,500 60,573 AUD/USD 2012/ (1,000,000) (1,040,500) (30,287) AUD/USD 2012/ ,000,000 1,909,000 (60,573) AUD/USD 2012/ (2,000,000) (2,081,000) 30,287 See accompanying notes to financial statements. 4

7 Notes to Financial Statements RPH Global Sovereign Bond Pooled Fund (the "Fund") is a trust established under the laws of the Province of Ontario pursuant to a Trust Agreement dated February 18, The Fund commenced operations on April 1, River Plate House Capital Management Inc. is the investment manager (the "Manager") of the Fund. The investment objective of the Fund is to provide long-term growth through capital appreciation by investing primarily in sovereign fixed income securities of global industrial, emerging and developed countries, and exchange traded and over-the-counter derivatives. 1. Significant accounting policies: These financial statements are prepared in accordance with Canadian generally accepted accounting principles ("GAAP"). The significant accounting policies are described below: (a) Accounting estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of changes in net assets during the period. Actual results could differ from those estimates. (b) Cash: Included in cash is deposits held with bank of $1,140,669 and an amount due from MF Global UK Limited, subject to bankruptcy clauses, of $128,389. As at December 31, 2011, the Manager believes that all or substantially all of the amounts due from MF Global UK Limited will be recovered. (c) Valuation of investments: For financial reporting purposes, investments are valued at their fair values in accordance with the Canadian Institute of Chartered Accountants' ("CICA") Handbook Section 3855, Financial Instruments - Recognition and Measurement ("Section 3855"). Investments are valued at the bid or ask price recorded by the securities exchanges on which such investments are principally traded at the financial reporting date. Securities not traded on the valuation date are valued based on the results of valuation techniques, using observable market inputs, if the former is not available. Securities not listed on an exchange, or that are traded over-the-counter, are valued at their fair values thereof as determined by the Manager in accordance with the methodologies provided in Section

8 1. Significant accounting policies (continued): For all other purposes, including the processing of unitholder transactions, the Fund values securities using the methods prescribed in its Offering Memorandum, as described below. (i) Fixed income securities and treasury bills: Fixed income securities and treasury bills held and/or invested that are listed upon a recognized public exchange are valued at their closing sale price on the valuation date. Investments not traded on that date are valued at the average of the closing and ask price. Fixed income securities and treasury bills sold short are valued at their closing sale price on the valuation date. Investments that are not traded on that date are valued at the average of the closing bid and ask price. (ii) Repurchase transaction agreements: When the Fund sells a financial asset and simultaneously enters into an agreement to repurchase the same or similar asset at a fixed price on a future date ("repo"), the arrangement is accounted for as an asset, recognized in the statement of net assets. Due to the short-term nature of the investments, by term to maturity or reset date, management believes that amortized cost is a reasonable approximation of fair value for financial reporting purposes. Management s approximation is based on fair value using the closing bid prices quoted by major dealers in such securities. (iii) Forward contracts: The Fund may enter into forward contracts for hedging purposes or to establish an exposure to a particular currency. Upon closing of a contract, the gain or loss is included in net realized gain (loss) on sale of investments and derivative contracts in the statement of operations. Outstanding settlement amounts on the close out of forward contracts are included in unrealized gain or unrealized loss in the statement of net assets. Forward contracts are valued based on the difference between the contract forward rate and the forward bid rate (for currency held) and the forward ask rate (for currency sold short) at the reporting date. 6

9 1. Significant accounting policies (continued): (iv) Derivative contracts: The Fund may use derivate contracts to enhance returns of the Fund and to manage risks associated with the investments. The value of the contracts are marked to market on the valuation date and the resultant gains and losses, both realized and unrealized, are recognized in the statement of operations. (d) Unit valuation: Net assets per unit ("GAAP NAV") is calculated for financial reporting purposes. GAAP NAV is computed by dividing the net assets attributable to the series determined in accordance with GAAP, by the total number of units of the series outstanding. Net increase (decrease) in GAAP NAV from operations represents the net increase (decrease) in net assets of the series from operations for the period divided by the units outstanding. Net asset value per unit ("pricing NAV"), which is utilized for shareholder reporting and transactional purposes, is computed by dividing the net asset value attributable to the series of the Fund, determined for the purchase and redemption of units in accordance with the Fund's Offering Memorandum, by the total number of units of the series outstanding. This amount may be different from the GAAP NAV calculation which is presented on the statement of net assets. The difference is due to valuing investments at bid and ask prices for GAAP purposes, while pricing NAV typically utilizes valuation methods as prescribed by the Offering Memorandum to determine fair value for the purchase and redemption of units and differences in treatment of certain operating fees. A comparison between GAAP NAV and pricing NAV is included in note 4. 7

10 1. Significant accounting policies (continued): (e) Fair value measurements: In accordance with CICA Handbook Section 3862, Financial Instruments - Disclosures, the Fund's investments are categorized in a three-tier hierarchy based on inputs to value the investments. The hierarchy of inputs is summarized below: Level 1 - quoted prices (unadjusted) in active markets for identical assets or liabilities. An active market is one in which transactions for the assets occur with sufficient frequency and volume to provide pricing information on an ongoing basis; Level 2 - inputs other than quoted prices included in Level 1 that are observable for the asset or liability; and Level 3 - inputs for the asset or liability that are not based on observable market data. The following tables summarize the inputs used as at December 31, 2011 in valuing the Fund's investments at fair value: Level 1 Level 2 Level 3 Total Financial assets: Fixed income securities $ $ 3,915,597 $ $ 3,915,597 Treasury bills 3,170,346 3,170,346 Repurchase transactions 3,619,554 3,619,554 Option contracts 133, ,592 10,839,089 10,839,089 Financial liabilities: Fixed income securities (2,992,640) (2,992,640) Forward contracts (100,944) (100,944) Option contracts (133,592) (133,592) (3,227,176) (3,227,176) $ $ 7,611,913 $ $ 7,611,913 During the period ended December 31, 2011, no financial assets and liabilities were transferred between levels. 8

11 1. Significant accounting policies (continued): (f) Accounts payable and accrued expenses: Accounts payable and accrued expenses represent the operating fees recoverable by the Manager as described in note 2. (g) Investment income and expenses: Interest income and expenses are recorded on an accrual basis. (h) Foreign currency: Investment transactions and income and expenses in foreign currencies have been translated into Canadian dollars at the rate of exchange prevailing at the time of the transactions. The market value of investments quoted in foreign currencies has been translated to Canadian dollars at the rate of exchange prevailing at period end. Foreign exchange gains and losses on the sale of investments are included in the net realized gain or loss on investments, derivative contracts and foreign currency in the statement of operations. (i) Transaction costs: Commissions and other transaction costs are incremental costs that are directly attributable to the acquisition, issue, or disposal of an investment, which include fees and commissions paid to agents, advisors, levies by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs are expensed in the statement of operations. (j) Taxation of the Fund: The Fund qualifies as a unit fund trust under the provisions of the Income Tax Act (Canada) (the "Income Tax Act") and, accordingly, is not subject to tax on its net taxable income, including net realized capital gains, which is paid or payable to its unitholders as at the end of the tax year. However, such part of the Fund s net income and net realized capital gains that is not paid or payable subject to income taxes. The Fund may be subject to alternative minimum tax, which is potentially recoverable. 9

12 1. Significant accounting policies (continued): Non-capital losses are available to be carried forward for 20 years and applied against future taxable income. Capital losses for income tax purposes may be carried forward indefinitely and applied against future capital gains. As at the tax year ended December 31, 2011, the Fund has no capital losses carried forward and no non-capital loses available for income tax purposes. (k) Foreign exchange tax: During the year, the Fund sold Canadian dollars and purchased Brazilian real in order to invest in Brazilian fixed income securities. A foreign exchange tax charge of 6% was incurred, which was applied to the Brazilian real purchased. The amount of the foreign exchange tax is being accrued daily over a 12 month period from the date of purchase for pricing NAV purposes. The total foreign exchange tax was expensed in the statement of operations for GAAP NAV purposes. (l) Margin deposited on forward contracts: These amounts relate to cash collateral held by the counterparties on the forward contracts. (m) Other assets and liabilities: For the purposes of categorization in accordance with Section 3855, interest receivable is classified as loans and receivables and recorded at cost or amortized cost. Similarly, accounts payable and accrued expenses is designated as other financial liabilities and reported at cost or amortized cost. Cost or amortized cost approximates fair value for these assets and liabilities. (n) Future accounting standards: International Financial Reporting Standards ("IFRS"): The Canadian Accounting Standards Board has confirmed the ability to defer the adoption of IFRS for fiscal periods beginning on or after January 1, 2014 for entities applying Accounting Guideline 18, Investment Companies. The Manager intends to have the Fund adopt IFRS on January 1,

13 1. Significant accounting policies (continued): The Manager has developed an IFRS changeover plan, which addresses key elements of the conversion to IFRS and includes identifying and assessing the impact of the significant differences between IFRS and GAAP that are expected to impact financial reporting. Based on the Manager's current evaluations of the differences between GAAP and IFRS, the adoption of IFRS is not expected to have a significant impact on the calculation of net assets. IFRS is expected to have an impact on the presentation of financial statement balances and result in additional disclosure in the accompanying notes. The Manager continues to monitor changes in IFRS. The current assessment and IFRS changeover plans may change if new standards are issued or if interpretations of existing standards are revised. 2. Related party transactions: (a) Management fees: The Manager is entitled to a fee at the rate of 1% per annum based on the pricing NAV of each unit outstanding on each valuation day of each outstanding series of Series A and Series C units. Any fee in respect of Series I units will be charged to the Investment Manager, and not the Fund. These fees are determined in accordance with each Subscription Agreement and the Investment Management Agreement between the Fund and the Manager. (b) Performance fees: The Manager is entitled to a performance fee equal to 10% of the increase in the pricing NAV of the investment of each unitholder at its fiscal year end. To the extent that the performance fee in respect of the investment in any period is negative, then the negative will be carried forward and deducted from any positive performance fee in respect of the unitholder's investment in future periods. In other words, the performance fee will be based on a 'high water mark' for the investment of each unitholder. 11

14 2. Related party transactions (continued): (c) Operating expenses: The Fund is responsible for the payment of all costs, charges, and expenses incurred in connection with the Fund, which include expenses relating to the continuing offering of units, brokerage fees and commission, bid/offer spreads, banking fees, insurance premiums, taxes, interest expense on borrowings, commitment fees, any third party consulting or research-related expenses, the cost of business travel related to the Fund's operations and marketing and investment due diligence, custodial fees, fund administration fees, auditors' fees, registration and filing fees, printing costs, legal fees, registrar and transfer agent fees, accounting and valuation fees, and other similar expenses. For the period ended December 31, 2011, the Manager paid all operating expenses on behalf of the Fund of which $4,271 is payable to the Manager at December 31, The Manager intends to continue to incur all operating costs of the Fund in future periods and seek reimbursement of these operating expenses incurred at a maximum rate of 50 basis points per annum in accordance with the Offering Memorandum. (d) Related party unit ownership: As at December 31, 2011, a related party, by virtue of common control, holds 698, units of the Fund. 3. Units of the Fund: The Fund is authorized to issue an unlimited number of redeemable units of three series: Series A units, Series C units and Series I units, issuable in series, each of which represent an equal, undivided, beneficial interest in the net asset value of the Fund. Each unit of each series entitles the holder to one vote and to participate equally with respect to any and all distributions made by the Fund. The Fund offers weekly subscriptions as of the last business day of each week and on the last business day of each month or at such other times as the Manager may permit, as its discretion. Unitholders may require that their units be redeemed by the Fund at the net asset value per unit on the last business day of any week (a "Redemption Day"), provided written notice of redemption is received by the administrator no later than the last business day of the prior week to the relevant Redemption Day. 12

15 3. Units of the Fund (continued): The Manager may, at its sole discretion at any time and for any reason, upon a minimum of 5 business days written notice to a unitholder, require the compulsory redemption of such person s units. The following tables summarize the changes in the number of units for the period ended December 31, 2011: Series A Units outstanding, beginning of period Units issued 1,180,037 Units redeemed (165,201) Units outstanding, end of period 1,014,836 Series C Units outstanding, beginning of period Units issued 240,935 Units redeemed (36,897) Units outstanding, end of period 204,038 There were no Series I units issued and outstanding as at December 31, Capital disclosure: The capital of the Fund is represented by issued and redeemable units. The units are entitled to distributions, if any, and to payment of a proportionate share based on the Fund s net asset value per unit upon redemption. The Fund has no restrictions or specific capital requirements on the subscription and redemption of units. The relevant movements are shown in the statement of changes in net assets. In accordance with its investment objectives and strategies and the risk management practices outlined in note 5, the Fund endeavours to invest the subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions, such liquidity being augmented by short-term borrowings or disposal of investments, where necessary. 13

16 4. Comparison of net assets per unit and NAV per unit: As described in note 1, the difference between net asset value per unit and net assets per unit is due to valuing investments at bid and ask prices for GAAP purposes whereas pricing net asset value typically utilizes the valuation methodology prescribed in the Offering Memorandum to determine the fair value for the purchase and redemption of units. The difference between net asset value per unit and net assets per unit does not affect investor balances. GAAP NAV Pricing NAV Series A $ 8.04 $ 8.03 Series C Financial instruments and risk management: Management of financial instruments risks: The Fund's activities expose it to a variety of financial risks including market risk, which includes currency risk, interest rate risk, counterparty risk, credit risk, other price risk and liquidity risk. The investment objective of the Fund is to provide long-term growth through capital appreciation by investing primarily in sovereign fixed income securities of global industrial, emerging and developed countries, and exchange traded and over-the-counter derivatives. In seeking to achieve the Fund's investment objective, the Manager will employ a global macro/fixed income investment strategy. The Fund's overall risk management program seeks to minimize the potentially adverse effect of risk on the Fund's financial performance in a manner consistent with the Fund's investment objective. 14

17 5. Financial instruments and risk management (continued): Market risk: (a) Currency risk: Investments denominated in currencies other than the Canadian dollar, which is the Fund's functional currency, expose the Fund to fluctuations in foreign exchange rates. Trading in foreign markets exposes the Fund to currency risk as the price in local terms is converted to Canadian dollars to determine fair value. The table below indicates the currencies to which the Fund had exposure as at December 31, 2011: Forward Net Financial contracts currency % of net instruments (notional) exposure assets Brazilian real $ 3,916,914 $ $ 3,916, Australian dollar 3,172,160 3,172, U.S. dollar 246,019 (3,180,563) (2,934,544) (30) British pound 437, ,030 4 $ 7,772,123 $ (3,180,563) $ 4,591, As at December 31, 2011, had the Canadian dollar strengthened or weakened by 5% in relation to all currencies, with all other variables held constant, net assets would have decreased or increased by approximately $229,578, respectively. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. (b) Interest rate risk: Interest rate risk refers to the effect on the fair value of the Fund's assets and liabilities due to fluctuations in interest rates. 15

18 5. Financial instruments and risk management (continued): The table below summarizes the Fund's exposure to interest rate risk at December 31, They include the Fund's assets and trading liabilities at fair values, categorized by its maturity dates. Less than More than 1 year years years 5 years Total Interest rate exposure $ 3,170,346 $ 3,915,597 $ $ (2,992,640) $ 4,093,303 As at December 31, 2011, if the prevailing interest rates have been raised or lowered by 1%, assuming a parallel shift in the yield curve, with all other factors remaining constant, net assets could possibly have decreased or increased by approximately 10.2%, respectively. The Fund's interest rate sensitivity was determined based on portfolio weighted duration. There is no material interest rate risk associated with the repos and option contracts held as at December 31, In practice, actual results may differ from the sensitivity analysis and the difference could be material. (c) Counterparty risk: The Fund has relationships with multiple counterparties, each having an interest over the cash of the Fund held by them as collateral for the Fund's indebtedness to the counterparties. The Fund may engage in transactions pursuant to which it will borrow securities from the counterparties that it will sell short or enter in financing transactions in the form of repurchase agreements with a counterparty or enter into forward contracts with the counterparty. Either the Fund or the counterparty to the Fund or the counterparty may default on their obligations and cause losses to the Fund. To minimize the Fund's counterparty risk, the Manager will utilize multiple counterparties with high credit ratings. As of December 31, 2011, the Fund's forward contracts, repurchase agreements and collateral are held at a financial institution with an S&P rating of A+. The total collateral held at these financial institutions is $898,965. (d) Credit risk: Credit risk is the risk that the counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Fund. It arises principally from debt securities held and also from cash and cash equivalent balances. 16

19 5. Financial instruments and risk management (continued): The Fund invests in debt instruments and derivatives which represents the main exposure to credit risk. The market value of debt instruments and derivatives includes consideration of the creditworthiness of the issuer, and accordingly, represents the maximum credit risk exposure to the Fund. As of December 31, 2011, the Fund was invested in debt securities, holds collateral and cash and cash equivalents with the following credit quality as determined by S&P: Portfolio by category rating % of net assets BB+ or higher (e) Liquidity risk: Liquidity risk exists when a Fund may not be able to settle or meet its obligation on time or at a reasonable price. The Fund is exposed to weekly cash redemptions of redeemable units. The units of the Fund are issued and redeemed on demand at the then current NAV per unit at the option of the unitholder. Liquidity risk is managed by investing the majority of the Fund's assets in investments that are traded in an active market and can be readily disposed of. The Fund retains sufficient cash and cash equivalent positions to maintain adequate liquidity. All financial liabilities of the Fund mature in three months or less. 6. Notice of filing exemption: On behalf of the Fund, the Manager has advised the Ontario Securities Commission ("OSC") that the Fund is relying on the filing exemption in accordance with Part 2.11 of National Instrument Consequently, these financial statements will not be filed with the OSC. 17