Horizons US Dollar Currency ETF (DLR, DLR.U:TSX)

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1 Annual Report December 31, 2017 Horizons US Dollar Currency ETF (DLR, DLR.U:TSX) Innovation is our capital. Make it yours. ACTIVE BENCHMARK BETAPRO

2 Contents MANAGEMENT REPORT OF FUND PERFORMANCE Management Discussion of Fund Performance...1 Financial Highlights...5 Past Performance...8 Summary of Investment Portfolio...10 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING...11 INDEPENDENT AUDITORS REPORT...12 FINANCIAL STATEMENTS Statements of Financial Position...13 Statements of Comprehensive Income...14 Statements of Changes in Financial Position...15 Statements of Cash Flows...16 Schedule of Investments...17 Notes to Financial Statements...18

3 Letter from the President and Co-CEO For both Horizons ETFs Management (Canada) Inc. ( Horizons ETFs ) and the Canadian ETF industry, 2017 was an extraordinary year. The industry surpassed $146 billion in assets under management ( AUM ) and now has over 650 ETF listings. Meanwhile, Horizons ETFs launched seven new ETFs and our AUM surpassed $9 billion, giving us a total of 81 different investment tools available for our clients. This was an especially remarkable year for Horizons ETFs for two key reasons. Firstly, we continued to create innovative, firstof-their-kind solutions for investors; and secondly, we became an official partner of the Toronto Raptors. In April, we brought to market the world s first marijuana-focused ETF the Horizons Marijuana Life Sciences Index ETF ( HMMJ ). HMMJ took investors to a new frontier by giving them diversified exposure to the rapidly growing cannabis industry. The launch of HMMJ was a tremendous success, as it captured worldwide media attention and is arguably the biggest new ETF launch in Canada in 2017, when you look at AUM growth and daily trading activity. We have continued our tradition of being a disruptive force in the industry, with the autumn launches of the Horizons Active A.I. Global Equity ETF ( MIND ) and the Horizons Robotics and Automation Index ETF ( ROBO ). MIND is the world s first global equity ETF driven by artificial intelligence, while ROBO is Canada s first ETF to give investors exposure to a basket of robotics, automation and artificial intelligence companies from across the globe. Like HMMJ, these ETFs also created significant media and investor interest. In addition to our new offerings, several of our established ETFs also distinguished themselves in Our lineup of Total Return Index ETFs ( TRI ETFs ), which use an innovative structure to deliver index returns in a low-cost and tax-efficient manner, experienced significant AUM growth this year. For the first time in decades, we may be looking at a period of prolonged rising interest rates. We believe that our low-cost family of actively managed fixed income ETFs have the flexibility to reduce duration and take advantage of these potentially seismic changes in the fixed income market. One of the primary beneficiaries of rising rates, for example, was in the Canadian preferred share asset class. The Horizons Active Preferred Share ETF ( HPR ) has been among the top asset-gatherers in the preferred share space in Canada this year and was our top-selling actively managed ETF. Regardless of the direction of markets or interest rates, we have ETF solutions that allow investors of all types to customize their portfolio exposure. Markets do change and our family of ETFs gives investors the tools they need to help meet their objectives. For more information on all our strategies, please visit where we offer a range of resources designed to inform and educate ETF investors. Thank you for your continued support and here s wishing you strong returns in Sincerely, Steven J. Hawkins, President & Co-CEO Horizons ETFs Management (Canada) Inc. P.S. LET S GO RAPTORS!

4 MANAGEMENT REPORT OF FUND PERFORMANCE This annual management report of fund performance for Horizons US Dollar Currency ETF ( DLR or the ETF ) contains financial highlights and is included with the audited annual financial statements for the investment fund. You may request a copy of the investment fund s unaudited interim or audited annual financial statements, interim or annual management report of fund performance, current proxy voting policies and procedures, proxy voting disclosure record or quarterly portfolio disclosures, at no cost, by calling (toll free) , or (416) , by writing to Horizons ETFs Management (Canada) Inc. ( Horizons Management or the Manager ), at 55 University Avenue, Suite 800, Toronto, Ontario, M5J 2H7, by visiting our website at or through SEDAR at This document may contain forward-looking statements relating to anticipated future events, results, circumstances, performance, or expectations that are not historical facts but instead represent our beliefs regarding future events. By their nature, forward-looking statements require us to make assumptions and are subject to inherent risks and uncertainties. There is significant risk that predictions and other forward-looking statements will not prove to be accurate. We caution readers of this document not to place undue reliance on our forward-looking statements as a number of factors could cause actual future results, conditions, actions or events to differ materially from the targets, expectations, estimates or intentions expressed or implied in the forward-looking statements. Actual results may differ materially from management expectations as projected in such forward-looking statements for a variety of reasons, including but not limited to market and general economic conditions, interest rates, regulatory and statutory developments, the effects of competition in the geographic and business areas in which the ETF may invest and the risks detailed from time to time in the ETF s simplified prospectus. New risk factors emerge from time to time and it is not possible for management to predict all such risk factors. We caution that the foregoing list of factors is not exhaustive, and that when relying on forward-looking statements to make decisions with respect to investing in the ETF, investors and others should carefully consider these factors, as well as other uncertainties and potential events, and the inherent uncertainty of forward-looking statements. Due to the potential impact of these factors, the Manager does not undertake, and specifically disclaims, any intention or obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by applicable law. Management Discussion of Fund Performance Investment Objective and Strategy Risk DLR seeks to reflect the reference value in Canadian dollars (in respect of the Canadian dollar units C$ Units ) and U.S. dollars (in respect of the U.S. dollar units US$ Units ) of the U.S. dollar, net of expenses, by investing primarily in cash and cash equivalents that are denominated in the U.S. dollar. As the underlying exposure of the C$ Units and US$ Units of DLR is the same, no currency hedging is used with respect to US$ Units of DLR. In order to achieve its investment objective, DLR may also, subject to regulatory approval, invest in money market mutual funds, exchange traded funds, or exchange traded notes. Horizons Management does not invest the assets of DLR on a discretionary basis or select investments based on its view of the investment merit of a particular security or company, nor does it conduct conventional research or analysis, or forecast currency market movement or trends in managing the assets of DLR. The Manager performs a review of the ETF s risk rating at least annually, as well as when there is a material change in the ETF s investment objective or investment strategies. The current risk rating for the ETF is: low to medium. 1

5 Management Discussion of Fund Performance (continued) Risk ratings are determined based on the historical volatility of the ETF as measured by the standard deviation of its performance against its mean. The risk categorization of the ETF may change over time and historical volatility is not indicative of future volatility. Generally, a risk rating is assigned to the ETF based on a blend of the historical rolling 3-year and 5-year standard deviations of its return (or, generally, commencing with prospectus renewals after September 1, 2017, a rolling 10-year standard deviation), the return of an underlying index, or of an applicable proxy index. In cases where the Manager believes that this methodology produces a result that is not indicative of the ETF s future volatility, the risk rating may be determined by the ETF s category. Risk ratings are not intended for use as a substitute for undertaking a proper and complete suitability or financial assessment by an investment advisor. The Manager, as a summary for existing investors, is providing the list below of the risks to which an investment in the ETF may be subject. Prospective investors should read the ETF s most recent prospectus and consider the full description of the risks contained therein before purchasing units. The risks to which an investment in the ETF is subject are listed below and have not changed from the list of risks found in the ETF s most recent prospectus. A full description of each risk listed below may also be found in the most recent prospectus. The most recent prospectus is available at or from or by calling Horizons ETFs Management (Canada) Inc. at (toll free) , or at (416) Price fluctuations of the U.S. dollar Foreign exchange rate risk Concentration risk Substantial sales of U.S. dollars Borrowing risk Regulatory risk Reliance on historical data risk Liquidity risk Corresponding net asset value risk Risk that units will trade at prices other than net asset value per unit Designated broker/dealer risk Cease trading of securities risk Exchange risk Early closing risk No assurance of meeting investment objectives Tax related risks Risks relating to tax changes Securities lending, repurchase and reverse repurchase transaction risk Liability of unitholders Reliance on key personnel Results of Operations For the year ended December 31, 2017, the ETF s C$ Units and US$ Units returned -6.36% and 0.02%, respectively. By comparison, the U.S. dollar (USD) fell 6.47% versus the Canadian dollar (CAD) for the year. The difference in performance between the ETF and the U.S. dollar performance relative to the Canadian dollar is due to expenses payable by the ETF, which include management fees plus applicable sales taxes, net of the income earned by the ETF. For the most part, the relationship of USD versus CAD ( USDCAD ) was correlated to the yield spread between U.S. 10- year Treasury bonds (the U.S. 10-Year ) and Government of Canada 10-year bonds (the Canada 10-Year ) in For the first five months of the year, that spread remained in a range between 66 basis points (bps) and 84bps, widening towards the top of that range into the end of May. During this period, USDCAD followed the yield spread, trading in a slightly rising trend from a low in early February of $ to a high for the year of $ in early May, before settling at $ on May 31, The yield spread between the two countries narrowed significantly following the announcement at the end of May that Canadian gross domestic product ( GDP ) grew at a 3.7% pace in the first quarter of the year, over three times the U.S. first 2

6 Management Discussion of Fund Performance (continued) quarter growth of 1.2%. At the same time, speculation became more prevalent that the Bank of Canada ( BoC ) would begin raising interest rates for the first time in several years. In mid-july, the BoC did in fact follow through on this speculation, raising its key interest rate by 25bps. A second increase of 25bps followed in early September, erasing the two cuts it had implemented in The spread between the U.S. and Canada 10-Year yields, which had averaged 75bps for the first five months of the year, began narrowing, and hit a low of 7bps just after the announcement in early September of the BoC s second rate hike. USDCAD followed this same pattern. From May 31, 2017, USDCAD fell 10.26% to $ on September 11, 2017, the low for the year. In the fourth quarter, threats of a U.S. government shutdown began to dissipate, inflationary pressures in the U.S. began to emerge with stronger economic data and the passage of a tax reform bill at the end of the year by the U.S. Congress, saw yields on the U.S. 10-Year widen back out to end the year at 2.41%. Conversely, weaker third quarter economic growth expectations in Canada saw the 10-Year yield tighten to 1.83% leading in to the BoC s mid-december meeting. At that meeting, the BoC confirmed the widely expected move that it would leave rates unchanged, noting in its comments that while higher rates will be required over time, it also remained cautious. A slow and steady sell-off saw Canada 10-Year yields rise once again to close the year on December 29, 2017 at 2.04%. The spread between U.S. and Canada 10-Year yields rose steadily from the early September low to hit 54bps in mid-december, before narrowing to end the year at 36bps. This widening of the yield spread was mimicked by USDCAD, rising to a fourth quarter high of $ on November 30, As the yield spread narrowed over the last two weeks of December, USDCAD sold off before finishing the year on December 29, 2017 at $ Horizons Management does not endeavour to predict market direction, changes that may occur in global fiscal and monetary policies, the effect of additional geopolitical concerns, or other unforeseen crises. Horizons Management and the ETF are agnostic as to their impact on global equity, fixed income, currency, and commodity markets generally, and the relative movements of the U.S. dollar versus the Canadian dollar specifically. They are only of concern to the ETF in so much as there is some minimal risk that could affect its ability to meet its investment objective. Please refer to the risk factors section in the ETF s prospectus for a more detailed discussion. Presentation The attached financial statements have been prepared in accordance with International Financial Reporting Standards ( IFRS ). Any mention of total net assets, net assets, net asset value or increase (decrease) in net assets in the financial statements and/or management report of fund performance is referring to net assets or increase (decrease) in net assets attributable to holders of redeemable units as reported under IFRS. Recent Developments Other than indicated below, there have been no recent market developments of particular note, aside from the normal fluctuations of the markets, that are expected to have an undue influence on the portfolio of the ETF when compared to its benchmark. 3

7 Management Discussion of Fund Performance (continued) Elimination of PACCs and SWPs Effective August 1, 2017, the ETF s pre-authorized cash contribution plan ( PACC ) and systematic withdrawal plan ( SWP ) were eliminated. These changes did not impact the ETF s distribution reinvestment plan ( DRIP ). Change to the Expense Structure of the ETF A change to the expense structure of the ETF was approved at a meeting of the unitholders of the ETF on December 20, In order to bring the current fee structure of the ETF in line with generally prevailing Canadian industry practice for investment funds, unitholders approved a resolution to expand the scope of operating expenses payable by the ETF and consequently indirectly borne by unitholders (the Amended Fee Structure ). The changes to the expense structure became effective on January 1, 2017, and are detailed in the Management Fees section on page 7. Related Party Transactions There were no related party portfolio transactions during the current reporting period. Certain services have been provided to the ETF by related parties, and those relationships are described below. Manager, Trustee and Investment Manager The manager, trustee and investment manager of the ETF is Horizons ETFs Management (Canada) Inc., 55 University Avenue, Suite 800, Toronto, Ontario, M5J 2H7, a corporation incorporated under the laws of Ontario. The Manager is a member of the Mirae Asset Financial Group based in Seoul, South Korea. For a complete description of services provided, please refer to the most recent prospectus of the ETF - Duties and Services to be Provided by the Manager. 4

8 Financial Highlights The following tables show selected key financial information about the ETF and are intended to help you understand the ETF s financial performance for the past five fiscal years. This information is derived from the ETF s audited annual financial statements and the current unaudited interim financial statements. Please see the front page for information on how you may obtain the ETF s annual or interim financial statements. The ETF s Net Assets per Unit Year (1) Net assets, beginning of year $ Decrease from operations: Total revenue Total expenses (0.06) (0.06) (0.06) (0.06) (0.06) Realized gains for the year Unrealized losses for the year Total decrease from operations (2) (0.02) (0.04) (0.06) (0.06) Total distributions (3) Net assets, end of year (US$ units) (4) $ Net assets, end of year (C$ units) (4) $ This information is derived from the ETF s audited annual financial statements as at December 31 of the years shown. The ETF effectively began operations on April 6, Information is presented in accordance with IFRS. 2. Net assets per unit and distributions are based on the actual number of units outstanding at the relevant time. The increase (decrease) from operations is based on the weighted average number of units outstanding over the financial period. 3. Income, dividend and/or return of capital distributions, if any, are paid in cash, reinvested in additional units of the ETF, or both. Capital gains distributions, if any, may or may not be paid in cash. Non-cash capital gains distributions are reinvested in additional units of the ETF and subsequently consolidated. They are reported as taxable distributions and increase each unitholder s adjusted cost base for their units. Neither the number of units held by the unitholder, nor the net asset per unit of the ETF change as a result of any non-cash capital gains distributions. Distributions classified as return of capital, if any, decrease each unitholder s adjusted cost base for their units. 4. The Financial Highlights are not intended to act as a continuity of the opening and closing net assets per unit. 5

9 Financial Highlights (continued) Ratios and Supplemental Data Year (1) Total net asset value (000 s) $ 53,769 57,485 48,866 33,063 21,500 Number of units outstanding (000 s) 5,406 5,781 4,906 3,306 2,138 Management expense ratio (2) 0.56% 0.55% 0.56% 0.60% 0.60% Management expense ratio before waivers and absorptions (2) 0.62% 0.55% 0.57% 0.62% 0.73% Trading expense ratio (3) 0.00% 0.00% 0.00% 0.00% 0.00% Portfolio turnover rate (4) 0.00% 0.00% 0.00% 0.00% 0.00% Net asset value per unit, end of year (US$ units) $ Closing market price (US$ units) $ Net asset value per unit, end of year (C$ units) $ Closing market price (C$ units) $ This information is provided as at December 31 of the years shown. The ETF effectively began operations on April 6, Information is presented in accordance with IFRS. 2. Management expense ratio is based on total expenses, including sales tax, (excluding commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset value during the year. Out of its management fees, the Manager pays for such services as investment manager compensation, administration, service fees and marketing. The Manager, at its discretion, may waive and/or absorb a portion of the fees and/or expenses otherwise payable by the ETF. The waiving and/or absorption of such fees and/or expenses by the Manager may be terminated at any time, or continued indefinitely, at the discretion of the Manager. 3. The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the year. 4. The ETF s portfolio turnover rate indicates how actively the ETF trades its portfolio investments. A portfolio turnover rate of 100% is equivalent to the ETF buying and selling all of the securities in its portfolio once in the course of a year. The higher an ETF s portfolio turnover rate in a year, the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of an ETF. 6

10 Financial Highlights (continued) Management Fees In consideration for management services and investment advice provided to the ETF, the Manager is entitled to a management fee. The management fee, inclusive of sales tax, is applied on a daily basis to the net asset value of the ETF. The management fees, exclusive of sales tax, are charged at the annual rate of 0.45%. Approximately 100% of management fees were used for management, investment management, other general administration and profit. From the management fee, the Manager has paid substantially all of the costs and expenses relating to the operation of the business and affairs of the ETF including investment management, administration, legal, accounting, custody, audit, registrar and transfer agency fees, and applicable sales taxes as well as expenses associated with advertising, marketing, sponsoring and promoting the sale of units of the ETF. The ETF, and not the Manager, is responsible for all brokerage expenses and commissions, income taxes, sales tax, costs associated with the Independent Review Committee of the ETF, filing fees, costs associated with delivering documents to unitholders, fees payable to the CDS Clearing and Depository Services Inc., annual stock exchange fees, annual index licensing fees, if applicable, withholding taxes and extraordinary expenses. As described in the Recent Developments section, as of the implementation of the Amended Fee Structure on January 1, 2017, the ETF will now be responsible for all of its operating expenses, unless waived or reimbursed by the Manager, including but not limited to: audit fees; trustee and custodial expenses; valuation, accounting and record keeping costs; legal expenses; permitted prospectus preparation and filing expenses; costs associated with delivering documents to unitholders; listing and annual stock exchange fees; index licensing fees, if applicable; CDS fees; bank related fees and interest charges; extraordinary expenses; unitholder reports and servicing costs; registrar and transfer agent fees; costs of the independent review committee; income taxes; sales tax; brokerage expenses and commissions; and withholding taxes. The Manager continues to bear the costs relating to the investment management, advertising, marketing, sponsorship and promotion of the ETF. The table below details, in percentage terms, the services received by the ETF, from the Manager, in consideration of the management fees paid during the year. Portfolio management Marketing fees, general administrative costs and profit Waived/absorbed expenses of the ETF 5% 83% 12% 7

11 Past Performance Sales commissions, management fees, expenses and applicable sales taxes all may be associated with an investment in the ETF. Please read the prospectus before investing. The indicated rates of return are the historical returns including changes in unit value and reinvestment of all distributions and do not take into account sales, redemption, distribution or optional charges or income taxes payable by any investor that would have reduced returns. An investment in the ETF is not guaranteed. Its value changes frequently and past performance may not be repeated. The ETF s performance numbers assume that all distributions, if any, are reinvested in additional units of the ETF. If you hold this ETF outside of a registered plan, income and capital gains distributions that are paid to you increase your income for tax purposes whether paid to you in cash or reinvested in additional units. The amount of the reinvested taxable distributions is added to the adjusted cost base of the units that you own. This would decrease your capital gain or increase your capital loss when you later redeem from the ETF, thereby ensuring that you are not taxed on this amount again. Please consult your tax advisor regarding your personal tax situation. Year-by-Year Returns The following chart presents the performance for the periods shown, and illustrates how the performance has changed from period to period. In percentage terms, the chart shows how much an investment made on the first day of each financial period (or, on the inception date, as the case may be) would have grown or decreased by the last day of the financial period % 15.00% 10.00% Rate of Return 5.00% 0.00% -5.00% % DLR 5.70% -3.08% 6.34% 8.77% 18.54% -3.06% -6.36% DLR.U -0.37% -0.52% -0.56% -0.56% -0.41% -0.17% 0.02% The ETF effectively began operations on April 6, Units of ETF began trading in U.S. dollars under the symbol DLR.U on May 12,

12 Past Performance (continued) Annual Compound Returns The following table presents the ETF s annual compound total return since inception and for the periods shown ended December 31, 2017, compared with the ETF s applicable benchmark. The table is used only to illustrate the effects of the compound growth rate and is not intended to reflect future values of the ETF or future returns on investments in the ETF. 1 Year 3 Year 5 Year Since Inception DLR 1 Since Inception DLR.U 2 Horizons US Dollar Currency ETF - DLR -6.36% 2.47% 4.47% 3.67% Horizons US Dollar Currency ETF - DLR.U 0.02% -0.19% -0.33% -0.39% U.S. Dollar -6.46% 2.67% 4.85% 4.08% 4.13% The ETF effectively began operations on April 6, Units of ETF began trading in U.S. dollars under the symbol DLR.U on May 12,

13 Summary of Investment Portfolio As at December 31, 2017 % of ETF s Sector & Asset Mix Net Asset Value Net Asset Value Cash and Cash Equivalents $ 54,789, % Other Assets less Liabilities (1,020,917) -1.90% $ 53,768, % The summary of investment portfolio may change due to the ongoing portfolio transactions of the ETF. The most recent interim and annual reports are available at no cost by calling toll free , or (416) , by writing to us at Horizons ETFs Management (Canada) Inc., 55 University Avenue, Suite 800, Toronto, Ontario, M5J 2H7, or by visiting our website at or through SEDAR at 10

14 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING The accompanying audited annual financial statements of Horizons US Dollar Currency ETF (the ETF ) are the responsibility of the manager and the trustee to the ETF, Horizons ETFs Management (Canada) Inc. (the Manager ). They have been prepared in accordance with International Financial Reporting Standards using information available and include certain amounts that are based on the Manager s best estimates and judgments. The Manager has developed and maintains a system of internal controls to provide reasonable assurance that all assets are safeguarded and to produce relevant, reliable and timely financial information, including the accompanying financial statements. These financial statements have been approved by the Board of Directors of the Manager and have been audited by KPMG LLP, Chartered Professional Accountants, Licensed Public Accountants, on behalf of unitholders. The independent auditors report outlines the scope of their audit and their opinion on the financial statements. Steven J. Hawkins Director Horizons ETFs Management (Canada) Inc. Taeyong Lee Director Horizons ETFs Management (Canada) Inc. 11

15 INDEPENDENT AUDITORS REPORT To the Unitholders of Horizons US Dollar Currency ETF (the ETF ) We have audited the accompanying financial statements of the ETF, which comprise the statements of financial position as at December 31, 2017 and 2016, the statements of comprehensive income, changes in financial position and cash flows for the years then ended, 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 International Financial Reporting Standards, 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 audits. We conducted our audits 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 in our audits 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 of the ETF as at December 31, 2017 and 2016, and its financial performance and its cash flows for the years then ended in accordance with International Financial Reporting Standards. Chartered Professional Accountants, Licensed Public Accountants March 14, 2018 Toronto, Canada 12

16 Statements of Financial Position As at December 31, Assets Cash and cash equivalents $ 54,789,629 $ 59,748,178 Amounts receivable relating to securities issued 497,320 Total Assets 55,286,949 59,748,178 Liabilities Amounts payable relating to securities redeemed 1,491,975 2,237,513 Accrued management fees 22,797 25,374 Accrued operating expenses 3,465 Total Liabilities 1,518,237 2,262,887 Total net assets (note 2) $ 53,768,712 $ 57,485,291 Number of redeemable units outstanding (note 9) 5,405,654 5,780,654 Total net assets per unit (US$ units) (note 1) $ 9.95 $ 9.94 Total net assets per unit (C$ units) (note 1) $ $ (See accompanying notes to financial statements) Approved on behalf of the Board of Directors of the Manager: Steven J. Hawkins Director Taeyong Lee Director 13

17 Statements of Comprehensive Income For the Years Ended December 31, Income Interest income for distribution purposes $ 352,683 $ 274,026 Net realized gain (loss) on foreign exchange (112) Net change in unrealized appreciation (depreciation) of foreign exchange , ,003 Expenses Management fees (note 10) 299, ,165 Annual stock exchange listing fees 3,435 3,698 Audit fees 6,042 6,150 Filing fees 28,387 21,382 Independent Review Committee fees 714 1,110 Custodial fees 4,801 Legal fees 5,639 Securityholder reporting costs 10,668 8,681 Administration fees 21,796 Transaction costs , ,216 Amounts that were payable by the investment fund that were paid or absorbed by the Manager (35,923) 345, ,216 Increase (decrease) in net assets for the year $ 7,349 $ (123,213) Increase (decrease) in net assets per unit $ $ (0.02) (See accompanying notes to financial statements) 14

18 Statements of Changes in Financial Position For the Years Ended December 31, Total net assets at the beginning of the year $ 57,485,291 $ 48,866,224 Increase (decrease) in net assets 7,349 (123,213) Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 94,688, ,011,155 Aggregate amounts paid on redemption of securities of the investment fund (98,412,128) (155,268,875) Total net assets at the end of the year $ 53,768,712 $ 57,485,291 (See accompanying notes to financial statements) 15

19 Statements of Cash Flows For the Years Ended December 31, Cash flows from operating activities: Increase (decrease) in net assets for the year $ 7,349 $ (123,213) Adjustments for: Net change in unrealized depreciation (appreciation) of foreign exchange (89) Proceeds from the sale of investments 17,463,508 Accrued expenses 888 6,288 Net cash from operating activities 8,237 17,346,494 Cash flows from financing activities: Amount received from the issuance of units 94,190, ,003,435 Amount paid on redemptions of units (99,157,666) (153,031,362) Net cash from (used in) financing activities (4,966,786) 12,972,073 Net increase (decrease) in cash and cash equivalents for the year (4,958,549) 30,318,567 Effect of exchange rate fluctuations on cash and cash equivalents 89 Cash and cash equivalents at beginning of year 59,748,178 29,429,522 Cash and cash equivalents at end of year $ 54,789,629 $ 59,748,178 Interest received $ 352,683 $ 274,026 (See accompanying notes to financial statements) 16

20 Schedule of Investments As at December 31, 2017 Security Fair Value Cash and cash equivalents (101.90%) $ 54,789,629 Other assets less liabilities (-1.90%) (1,020,917) TOTAL NET ASSETS (100.00%) $ 53,768,712 (See accompanying notes to financial statements) 17

21 Notes to Financial Statements For the Years Ended December 31, 2017 and REPORTING ENTITY Horizons US Dollar Currency ETF ( DLR or the ETF ) is an investment trust established under the laws of the Province of Ontario by Declaration of Trust and effectively began operations on April 6, The address of the ETF s registered office is: c/o Horizons ETFs Management (Canada) Inc., 55 University Avenue, Suite 800, Toronto, Ontario, M5J 2H7. The ETF is offered for sale on a continuous basis by its prospectus in class A units which trade on the Toronto Stock Exchange ( TSX ) in Canadian dollars ( C$ Units ) and in U.S. dollars ( US$ Units ). The C$ Units and US$ Units trade on the TSX under the symbols DLR and DLR.U, respectively. An investor may buy or sell units of the ETF on the TSX only through a registered broker or dealer in the province or territory where the investor resides. Investors are able to trade units of the ETF in the same way as other securities traded on the TSX, including by using market orders and limit orders and may incur customary brokerage commissions when buying or selling units. DLR seeks to reflect the reference value in Canadian dollars (in respect of the Canadian dollar units C$ Units ) and U.S. dollars (in respect of the U.S. dollar units US$ Units ) of the U.S. dollar, net of expenses, by investing primarily in cash and cash equivalents that are denominated in the U.S. dollar. As the underlying exposure of the C$ Units and US$ Units of DLR is the same, no currency hedging is used with respect to US$ Units of DLR. Horizons ETFs Management (Canada) Inc. ( Horizons Management or the Manager, the Investment Manager, or the Trustee ) is the manager, investment manager and trustee of the ETF. The Investment Manager is responsible for implementing the ETF s investment strategies. 2. BASIS OF PREPARATION (i) Statement of compliance These financial statements have been prepared in accordance with International Financial Reporting Standards ( IFRS ). Any mention of total net assets, net assets, net asset value or increase (decrease) in net assets is referring to net assets or increase (decrease) in net assets attributable to holders of redeemable units as reported under IFRS. These financial statements were authorized for issue on March 14, 2018, by the Board of Directors of the Manager. (ii) Basis of measurement The financial statements have been prepared on the historical cost basis except for financial instruments at fair value though profit or loss, which are measured at fair value. (iii) Functional and presentation currency These financial statements are presented in U.S. dollars, which is the ETF s functional currency. 3. SIGNIFICANT ACCOUNTING POLICIES The accounting policies set out below have been applied consistently to all periods presented in these financial statements. 18

22 Notes to Financial Statements (continued) For the Years Ended December 31, 2017 and 2016 (a) Financial instruments (i) Recognition, initial measurement and classification Financial assets and financial liabilities at fair value through profit or loss ( FVTPL ) are initially recognized on the trade date, at fair value (see below), with transaction costs recognized in the statements of comprehensive income. Other financial assets and financial liabilities are recognized on the date on which they are originated at fair value. The ETF classifies financial assets and financial liabilities into the following categories: Financial assets at fair value through profit or loss: - Held for trading: derivative financial instruments - Designated as at fair value through profit or loss: debt securities and equity investments Financial assets at amortized cost: All other financial assets are classified as loans and receivables Financial liabilities at fair value through profit or loss: - Held for trading: derivative financial instruments Financial liabilities at amortized cost: all other financial liabilities are classified as other financial liabilities (ii) Fair value measurement Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date in the principal or, in its absence, the most advantageous market to which the ETF has access at that date. The fair value of a liability reflects its non-performance risk. Investments are valued at fair value as of the close of business on each day upon which a session of the TSX is held ( Valuation Date ) and based on external pricing sources to the extent possible. Investments held that are traded in an active market through recognized public stock exchanges, over-the-counter markets, or through recognized investment dealers, are valued at their closing sale price. However, such prices may be adjusted if a more accurate value can be obtained from recent trading activity or by incorporating other relevant information that may not have been reflected in pricing obtained from external sources. Short-term investments, including notes and money market instruments, are valued at amortized cost which approximates fair value. Investments held that are not traded in an active market, including some derivative financial instruments, are valued using observable market inputs where possible, on such basis and in such manner as established by the Manager. Derivative financial instruments are recorded in the statements of financial position according to the gain or loss that would be realized if the contracts were closed out on the Valuation Date. Margin deposits, if any, are included in the schedule of investments as margin deposits. See also the summary of fair value measurements in note 7. Fair value policies used for financial reporting purposes are the same as those used to measure the net asset value ( NAV ) for transactions with unitholders. The fair value of other financial assets and liabilities approximates their carrying values due to the short-term nature of these instruments. 19

23 Notes to Financial Statements (continued) For the Years Ended December 31, 2017 and 2016 (iii) Offsetting Financial assets and liabilities are offset and the net amount presented in the statements of financial position when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously. Income and expenses are presented on a net basis for gains and losses from financial instruments at fair value through profit or loss and foreign exchange gains and losses. (iv) Specific instruments Cash and cash equivalents Cash and cash equivalents consist of cash on deposit and short-term, interest bearing notes with a term to maturity of less than three months from the date of purchase. Redeemable units The redeemable units are measured at the present value of the redemption amounts and are considered a residual amount of the net assets attributable to holders of redeemable units. They are classified as financial liabilities as a result of the ETF s requirement to distribute net income and capital gains to unitholders. (b) Investment income Investment transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are calculated on a weighted average cost basis. The difference between fair value and average cost, as recorded in the financial statements, is included in the statements of comprehensive income as part of the net change in unrealized appreciation (depreciation) of investments and derivatives. Interest income for distribution purposes from investments in bonds and short-term investments, if any, represents the coupon interest received by the ETF accounted for on an accrual basis. The ETF does not amortize premiums paid or discounts received on the purchase of fixed income securities. The ETF does not use the effective interest method. Dividend income, if any, is recognized on the ex-dividend date. Distribution income from investments in other funds or ETFs, if any, is recognized when earned. Income from derivatives is shown in the statements of comprehensive income as net realized gain (loss) on sale of investments and derivatives; net change in unrealized appreciation (depreciation) of investments and derivatives; and, interest income for distribution purposes, in accordance with its nature. Income from securities lending, if any, is included in Securities lending income on the statements of comprehensive income and is recognized when earned. Any securities on loan continue to be displayed in the schedule of investments and the market value of the securities loaned and collateral held is determined daily (see note 8). If the ETF incurs withholding taxes imposed by certain countries on investment income and capital gains, such income and gains are recorded on a gross basis and the related withholding taxes are shown as a separate expense in the statements of comprehensive income. 20

24 Notes to Financial Statements (continued) For the Years Ended December 31, 2017 and 2016 (c) Foreign currency Transactions in foreign currencies, if any, are translated into the ETF s reporting currency using the exchange rate prevailing on the trade date. Monetary assets and liabilities denominated in foreign currencies at the reporting date are translated at the year-end exchange rate. Foreign exchange gains and losses are presented as Net realized gain (loss) on foreign exchange, except for those arising from financial instruments at fair value through profit or loss, which are recognized as a component within Net realized gain (loss) on sale of investments and derivatives and Net change in unrealized appreciation (depreciation) of investments and derivatives in the statements of comprehensive income. (d) Cost basis The cost of portfolio investments is determined on an average cost basis. (e) Increase (decrease) in net assets attributable to holders of redeemable units per unit The increase (decrease) in net assets per unit in the statements of comprehensive income represents the change in net assets attributable to holders of redeemable units from operations divided by the weighted average number of units of the ETF outstanding during the reporting year. For management fees please refer to note 10. (f) Unitholder transactions The value at which units are issued or redeemed is determined by dividing the net asset value of the ETF by the total number of units outstanding of the ETF on the Valuation Date. Amounts received on the issuance of units and amounts paid on the redemption of units are included in the statements of changes in financial position. (g) Amounts receivable (payable) relating to portfolio assets sold (purchased) In accordance with the ETF s policy of trade date accounting for sale and purchase transactions, sales/purchase transactions awaiting settlement represent amounts receivable/payable for securities sold/purchased, but not yet settled as at the reporting date. (h) Net assets attributable to holders of redeemable units per unit Net assets attributable to holders of redeemable units per unit is calculated by dividing the ETF s net assets attributable to holders of redeemable units by the number of units of the ETF outstanding on the Valuation Date. (i) Transaction costs 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, brokers and dealers, fees incurred in conjunction with the ETF s total return swap agreements, levies by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs are expensed and are included in Transaction costs in the statements of comprehensive income. 21

25 Notes to Financial Statements (continued) For the Years Ended December 31, 2017 and 2016 (j) Future accounting changes The International Accounting Standards Board ( IASB ) has issued the following new standards and amendments to existing standards that are not yet effective. IFRS 9, Financial Instruments ( IFRS 9 ): For fiscal years beginning January 1, 2018, IFRS 9, Financial Instruments will replace International Accounting Standard 39, Financial Instruments Recognition and Measurement ( IAS 39 ). IFRS 9 addresses classification and measurement of financial instruments, impairment on financial assets and hedge accounting. The new standard requires assets to be classified based on the ETF s business model for managing the financial assets and contractual cash flow characteristics of the financial assets. Financial assets will be measured at fair value through profit and loss unless certain conditions are met which require measurement at amortized cost or at fair value through other comprehensive income. The Manager has assessed the impact of this new standard on the ETF s financial statements and determined that it will not be material. Financial instruments classified as held-for-trading under IAS 39, such as derivatives, will continue to be classified as such under IFRS 9. Financial instruments currently measured at FVTPL under IAS 39 are designated as such because they are managed on a fair value basis in accordance with a documented investment strategy. Accordingly, they will also be required to be measured at FVTPL under IFRS 9. Financial instruments measured at amortized cost, such as cash and cash equivalents and receivables, will continue to be measured at amortized cost under IFRS 9. The classification and measurement of liabilities remains generally unchanged. 4. CRITICAL ACCOUNTING ESTIMATES AND JUDGEMENTS In preparing these financial statements, the Manager has made judgements, estimates and assumptions that affect the application of accounting policies and the reported amounts of assets, liabilities, income and expenses. Actual results may differ from these estimates. Estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to estimates are recognized prospectively. The ETF may hold financial instruments that are not quoted in active markets, including derivatives. The determination of the fair value of these instruments is the area with the most significant accounting judgements and estimates that the ETF has made in preparing the financial statements. See note 7 for more information on the fair value measurement of the ETF s financial instruments. 5. FINANCIAL INSTRUMENTS RISK In the normal course of business, the ETF s investment activities expose it to a variety of financial risks. The Manager seeks to minimize potential adverse effects of these risks for the ETF s performance by employing professional, experienced portfolio advisors, by daily monitoring of the ETF s positions and market events, and periodically may use derivatives to hedge certain risk exposures. To assist in managing risks, the Manager maintains a governance structure that oversees the ETF s investment activities and monitors compliance with the ETF s stated investment strategies, internal guidelines and securities regulations. 22 Please refer to the most recent prospectus for a complete discussion of the risks attributed to an investment in the units of the ETF. Significant financial instrument risks that are relevant to the ETF and an analysis of how they are managed are presented below.

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