Investors Mortgage and Short Term Income Fund Interim Financial Report FOR THE SIX-MONTH PERIOD ENDED SEPTEMBER 30, 2017 The accompanying interim financial statements have not been reviewed by the external auditors of the Fund. The external auditors will be auditing the annual financial statements of the Fund as at March 31, 2018, in accordance with Canadian generally accepted auditing standards. Copyright Investors Group Inc. 2017 Trademarks, including Investors Group, are owned by IGM Financial Inc. and licensed to its subsidiary corporations.
INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 STATEMENTS OF FINANCIAL POSITION at September 30, 2017 (unaudited) with comparative figures at March 31, 2017 (in $ 000 except per security amounts) Assets Current assets: Sep. 30 Mar. 31 2017 2017 Non-derivative investments 5,515,192 5,617,749 Cash and cash equivalents 47,771 154,821 Accrued interest receivable 23,654 22,836 Dividends receivable - - Accounts receivable for investments sold 30,527 - Accounts receivable for securities issued - - Accounts receivable from the Manager 9 - Margin on derivative contracts - - Derivative assets - - Other assets - - Non-current assets: 5,617,153 5,795,406 Taxes recoverable - - Other assets - - - - Total assets 5,617,153 5,795,406 Liabilities Current liabilities: Bank indebtedness - - Accounts payable for investments purchased 29,927 - Accounts payable for securities redeemed - - Distributions payable - - Accrued expenses and miscellaneous payables 58 12 Dividends payable on investments sold short - - Derivative liabilities - - Taxes payable - - Other liabilities - - Total liabilities 29,985 12 Net assets attributable to securityholders 5,587,168 5,795,394 STATEMENTS OF COMPREHENSIVE INCOME for the six-month periods ended September 30 (unaudited) (in $ 000 except per security amounts) Income: Gains (losses) on derivative and non-derivative investments: a2017 b2016 Dividends - - Interest income 74,456 70,711 Net realized gain (loss) (18,190) (4,577) Net unrealized gain (loss) (62,194) (4,978) Income (loss) from derivatives - - Income (loss) from short selling - - Other - - Net gain (loss) on derivative and non-derivative investments (5,928) 61,156 Securities lending income 44 20 Other - - Total income (5,884) 61,176 Expenses: Management fees 8,045 9,139 Management fee rebates (211) (210) Service fees - - Service fee rebates - - Mortgage administration and service fees 2,118 2,018 Administration fees 545 633 Trustee fees 301 319 Commissions and other portfolio transaction costs - - Independent Review Committee costs 10 19 Other 8 17 Expenses before amounts absorbed by Manager 10,816 11,935 Expenses absorbed by Manager - - Net expenses 10,816 11,935 Increase (decrease) in net assets attributable to securityholders from operations before tax (16,700) 49,241 Foreign withholding taxes paid (recovered) - - Foreign income taxes paid (recovered) - - Income tax paid (recovered) - - Increase (decrease) in net assets attributable to securityholders from operations (16,700) 49,241 Net assets attributable to securityholders per security per series Sep. 30 Mar. 31 Sep. 30 Mar. 31 2017 2017 2017 2017 Series A 9.50 9.64 283,123 319,850 Series B 9.49 9.63 110,890 113,446 Series C 4.85 4.91 191,185 209,296 Series Jdsc 9.56 9.70 211,750 256,083 Series Jnl 9.55 9.68 54,281 62,739 Series P 10.70 10.85 4,542,233 4,681,036 Series S 9.68 9.81 76,861 77,881 Series U 9.74 9.88 116,845 75,063 5,587,168 5,795,394 Increase (decrease) in net assets attributable to securityholders from operations per security per series a2017 b2016 a2017 b2016 Series A (0.10) 0.02 (3,131) 654 Series B (0.10) 0.01 (1,174) 148 Series C (0.05) 0.03 (1,982) 602 Series Jdsc (0.09) 0.03 (1,998) 1,016 Series Jnl (0.09) 0.03 (496) 179 Series P (0.01) 0.13 (6,719) 46,286 Series S (0.09) 0.01 (722) 130 Series U (0.02) 0.09 (478) 226 (16,700) 49,241 See accompanying notes.
INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 STATEMENTS OF CHANGES IN FINANCIAL POSITION for the six-month periods ended September 30 (unaudited) (in $ 000 except when stated) TOTAL SERIES A SERIES B SERIES C a2017 b2016 a2017 b2016 a2017 b2016 a2017 b2016 Net assets attributable to securityholders, beginning of period 5,795,394 5,239,010 319,850 371,704 113,446 98,768 209,296 244,330 Increase (decrease) in net assets attributable to securityholders resulting from: Operations (16,700) 49,241 (3,131) 654 (1,174) 148 (1,982) 602 Distributions: Income (62,169) (58,109) (858) (1,256) (322) (307) (537) (831) Capital gains - - - - - - - - Return of capital - - - - - - - - Management fee rebates (211) (210) - - - - (154) (153) Service fee rebates - - - - - - - - Total distributions (62,380) (58,319) (858) (1,256) (322) (307) (691) (984) Security transactions: Proceeds from sale of securities 835,342 681,884 12,419 28,944 41,456 17,798 5,614 5,437 Proceeds from securities issued on merger - - - - - - - - Reinvested from distributions 62,351 58,300 857 1,251 320 305 688 978 Payment on redemption of securities (1,026,839) (562,373) (46,014) (42,842) (42,836) (23,969) (21,740) (19,684) Total security transactions (129,146) 177,811 (32,738) (12,647) (1,060) (5,866) (15,438) (13,269) Increase (decrease) in assets attributable to securityholders (208,226) 168,733 (36,727) (13,249) (2,556) (6,025) (18,111) (13,651) Net assets attributable to securityholders, end of period 5,587,168 5,407,743 283,123 358,455 110,890 92,743 191,185 230,679 Increase (decrease) in securities outstanding (in thousands): Securities outstanding, beginning of period 33,196 38,240 11,783 10,170 42,591 49,304 Add (deduct): Securities sold 1,292 2,980 4,322 1,834 1,145 1,098 Securities issued on merger - - - - - - Reinvested from distributions 89 129 34 31 141 198 Securities redeemed (4,790) (4,412) (4,463) (2,470) (4,439) (3,976) Securities outstanding, end of period 29,787 36,937 11,676 9,565 39,438 46,624 SERIES Jdsc SERIES Jnl SERIES P SERIES S a2017 b2016 a2017 b2016 a2017 b2016 a2017 b2016 Net assets attributable to securityholders, beginning of period 256,083 297,752 62,739 58,583 4,681,036 4,071,861 77,881 70,077 Increase (decrease) in net assets attributable to securityholders resulting from: Operations (1,998) 1,016 (496) 179 (6,719) 46,286 (722) 130 Distributions: Income (986) (1,468) (243) (268) (57,796) (53,462) (319) (249) Capital gains - - - - - - - - Return of capital - - - - - - - - Management fee rebates (44) (47) (13) (10) - - - - Service fee rebates - - - - - - - - Total distributions (1,030) (1,515) (256) (278) (57,796) (53,462) (319) (249) Security transactions: Proceeds from sale of securities 22,460 31,660 26,013 13,763 645,855 564,029 8,260 14,018 Proceeds from securities issued on merger - - - - - - - - Reinvested from distributions 1,028 1,511 251 276 57,796 53,462 319 249 Payment on redemption of securities (64,793) (35,837) (33,970) (15,201) (777,939) (409,395) (8,558) (7,795) Total security transactions (41,305) (2,666) (7,706) (1,162) (74,288) 208,096 21 6,472 Increase (decrease) in assets attributable to securityholders (44,333) (3,165) (8,458) (1,261) (138,803) 200,920 (1,020) 6,353 Net assets attributable to securityholders, end of period 211,750 294,587 54,281 57,322 4,542,233 4,272,781 76,861 76,430 Increase (decrease) in securities outstanding (in thousands): Securities outstanding, beginning of period 26,411 30,443 6,480 5,999 431,518 372,137 7,938 7,082 Add (deduct): Securities sold 2,323 3,240 2,695 1,410 59,683 51,576 845 1,418 Securities issued on merger - - - - - - - - Reinvested from distributions 106 155 26 28 5,356 4,895 33 25 Securities redeemed (6,702) (3,667) (3,518) (1,558) (72,086) (37,435) (875) (789) Securities outstanding, end of period 22,138 30,171 5,683 5,879 424,471 391,173 7,941 7,736 See accompanying notes.
INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 STATEMENTS OF CHANGES IN FINANCIAL POSITION (continued) for the six-month periods ended September 30 (unaudited) (in $ 000 except when stated) SERIES U a2017 b2016 Net assets attributable to securityholders, beginning of period 75,063 25,935 Increase (decrease) in net assets attributable to securityholders resulting from: Operations (478) 226 Distributions: Income (1,108) (268) Capital gains - - Return of capital - - Management fee rebates - - Service fee rebates - - Total distributions (1,108) (268) Security transactions: Proceeds from sale of securities 73,265 6,235 Proceeds from securities issued on merger - - Reinvested from distributions 1,092 268 Payment on redemption of securities (30,989) (7,650) Total security transactions 43,368 (1,147) Increase (decrease) in assets attributable to securityholders 41,782 (1,189) Net assets attributable to securityholders, end of period 116,845 24,746 Increase (decrease) in securities outstanding (in thousands): Securities outstanding, beginning of period 7,596 2,603 Add (deduct): Securities sold 7,430 626 Securities issued on merger - - Reinvested from distributions 111 27 Securities redeemed (3,150) (768) Securities outstanding, end of period 11,987 2,488 See accompanying notes.
INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 STATEMENTS OF CASH FLOWS for the six-month periods ended September 30 (unaudited) (in $ 000 except when stated) Cash flows from operating activities a2017 b2016 Increase (decrease) in net assets attributable to securityholders from operations (16,700) 49,241 Less non-cash impact of: Net realized (gain) loss 18,190 4,577 Change in net unrealized (gain) loss 62,194 4,978 Adjustments for: Proceeds from sale and maturity of investments 1,709,863 1,048,813 Purchases of investments (1,688,290) (1,247,953) (Increase) decrease in accounts receivable and other assets (827) (832) Increase (decrease) in accounts payable and other liabilities 46 (2,144) Net cash provided by (used in) operating activities 84,476 (143,320) Cash flows from financing activities: Proceeds from securities issued 774,887 664,727 Proceeds from securities issued on merger - - Payments on redemption of securities (966,384) (544,786) Distributions paid net of reinvestments (29) (19) Net cash provided by (used in) financing activities (191,526) 119,922 Increase (decrease) in cash and cash equivalents (107,050) (23,398) Cash and cash equivalents at beginning of period 154,821 126,781 Effect of exchange rate fluctuations on cash and cash equivalents - - Cash and cash equivalents, end of period 47,771 103,383 Cash - - Cash equivalents 48,176 104,021 Bank indebtedness (405) (638) Supplementary disclosures on cash flow from operating activities: 47,771 103,383 Dividends received net of withholding taxes - - Interest received net of withholding taxes 73,638 69,879 Interest paid - - See accompanying notes.
INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 SCHEDULE OF INVESTMENTS No. of Units, Fair Shares, or Cost Value Country Sector Par Value (CAD$ 000) (CAD$ 000) MORTGAGES Canada See Schedules 2 to 6 2,563,542,404 2,580,294 2,546,170 BONDS Bank of Montreal 3.21% 09-13-2018 DPNT Canada Corporate 25,000,000 25,679 25,334 Bank of Montreal 2.84% 06-04-2020 DPNT Canada Corporate 27,000,000 28,067 27,487 Bank of Montreal 2.10% 10-06-2020 DPNT Canada Corporate 118,100,000 119,790 117,757 Bank of Montreal 1.88% 03-31-2021 DPNT Canada Corporate 50,000,000 50,293 49,329 Bank of Montreal 1.61% 10-28-2021 DPNT Canada Corporate 76,000,000 75,394 73,783 Bank of Montreal 2.27% 07-11-2022 DPNT Canada Corporate 38,000,000 37,932 37,658 Bank of Montreal 2.70% 09-11-2024 DPNT Canada Corporate 35,000,000 34,995 34,848 The Bank of Nova Scotia 1.33% 05-01-2018 DPNT Canada Corporate 45,000,000 45,088 44,935 The Bank of Nova Scotia 2.40% 10-28-2019 DPNT Canada Corporate 43,000,000 43,916 43,326 The Bank of Nova Scotia 2.27% 01-13-2020 DPNT Canada Corporate 32,000,000 32,371 32,129 The Bank of Nova Scotia 2.13% 06-15-2020 DPNT Canada Corporate 35,000,000 35,205 34,974 The Bank of Nova Scotia 2.09% 09-09-2020 DPNT Canada Corporate 50,000,000 50,223 49,828 The Bank of Nova Scotia 3.27% 01-11-2021 DPNT Canada Corporate 5,000,000 5,203 5,157 The Bank of Nova Scotia 2.87% 06-04-2021 DPNT Canada Corporate 80,000,000 83,192 81,533 The Bank of Nova Scotia 1.90% 12-02-2021 DPNT Canada Corporate 40,000,000 40,000 39,225 The Bank of Nova Scotia 1.83% 04-27-2022 Canada Corporate 41,000,000 40,114 39,873 Bell Canada 5.52% 02-26-2019 Canada Corporate 43,293,000 46,624 45,361 Bell Canada 3.25% 06-17-2020 MTN Canada Corporate 10,000,000 10,327 10,243 Bell Canada 2.00% 10-01-2021 Canada Corporate 15,000,000 14,914 14,699 Bell Canada 3.00% 10-03-2022 Callable Canada Corporate 15,750,000 15,897 15,964 Canada Housing Trust No. 1 2.35% 12-15-2018 Canada Federal Government 25,000,000 25,595 25,250 Canada Housing Trust No. 1 1.95% 06-15-2019 Canada Federal Government 100,000,000 102,333 100,564 Canada Housing Trust No. 1 1.45% 06-15-2020 Canada Federal Government 110,000,000 110,954 109,039 Canada Housing Trust No. 1 1.25% 12-15-2020 Canada Federal Government 25,000,000 25,098 24,525 Canada Housing Trust No. 1 1.25% 06-15-2021 Canada Federal Government 160,000,000 158,922 156,026 Canada Housing Trust No. 1 2.65% 03-15-2022 Canada Federal Government 75,000,000 79,606 76,939 Canada Housing Trust No. 1 1.75% 06-15-2022 Canada Federal Government 185,000,000 185,235 182,373 Canada Housing Trust No. 1 2.40% 12-15-2022 Canada Federal Government 10,000,000 10,502 10,136 Canada Housing Trust No. 1 2.35% 09-15-2023 Canada Federal Government 55,000,000 57,415 55,465 Canadian Imperial Bank of Commerce 1.70% 10-09-2018 DPNT Canada Corporate 63,500,000 63,871 63,445 Canadian Imperial Bank of Commerce 1.66% 01-20-2020 DPNT Canada Corporate 79,000,000 78,622 78,281 Canadian Imperial Bank of Commerce 1.85% 07-14-2020 Canada Corporate 15,000,000 14,835 14,873 Canadian Imperial Bank of Commerce 1.90% 04-26-2021 DPNT Canada Corporate 50,000,000 50,147 49,352 Canadian Imperial Bank of Commerce 1.64% 07-12-2021 DPNT Canada Corporate 45,289,000 44,874 44,196 Canadian Imperial Bank of Commerce 2.04% 03-21-2022 DPNT Canada Corporate 9,750,000 9,747 9,590 Canadian Imperial Bank of Commerce 2.30% 07-11-2022 DPNT Canada Corporate 13,000,000 12,999 12,902 Home Trust Co. 2.29% 08-01-2018 Canada Mortgage Backed 155,533 157 156 Home Trust Co. 1.30% 08-01-2020 Canada Mortgage Backed 15,998,736 15,889 15,731 Hydro One Inc. 2.78% 10-09-2018 MTN Canada Corporate 47,250,000 48,360 47,734 Hydro One Inc. 1.48% 11-18-2019 MTN Canada Corporate 5,000,000 5,000 4,954 1 I.G. Investment Management, Ltd. 2.05% 11-01-2018 Canada Mortgage Backed 9,241,925 9,193 9,274 Province of Ontario F/R 06-27-2022 Canada Provincial Governments 25,000,000 25,000 25,031 Province of Ontario 1.95% 01-27-2023 Canada Provincial Governments 35,000,000 34,794 34,431 Province of Quebec 1.65% 03-03-2022 Canada Provincial Governments 10,000,000 9,990 9,815 RBC Dominion Securities Inc. 1.43% 01-01-2021 Canada Mortgage Backed 7,782,809 7,785 7,662 Royal Bank of Canada 3.77% 03-30-2018 Canada Corporate 80,000,000 83,202 80,885 Royal Bank of Canada 2.82% 07-12-2018 DPNT Canada Corporate 43,000,000 43,642 43,378 Royal Bank of Canada 2.77% 12-11-2018 DPNT Canada Corporate 103,500,000 105,628 104,634 Royal Bank of Canada 1.40% 04-26-2019 Canada Corporate 30,000,000 30,133 29,788 Royal Bank of Canada 3.70% 08-01-2019 Canada Mortgage Backed 3,321,105 3,404 3,419 Royal Bank of Canada 2.35% 12-09-2019 DPNT Canada Corporate 55,000,000 56,484 55,356 Royal Bank of Canada 1.59% 03-23-2020 Canada Corporate 10,000,000 9,999 9,891 Royal Bank of Canada F/R 03-23-2020 Canada Corporate 30,000,000 30,000 30,157 Royal Bank of Canada 1.65% 07-15-2021 DPNT Canada Corporate 110,000,000 108,718 107,265 Royal Bank of Canada 1.58% 09-13-2021 DPNT Canada Corporate 9,500,000 9,520 9,223 Royal Bank of Canada 2.33% 12-05-2023 DPNT Canada Corporate 25,000,000 25,074 24,557 Shaw Communications Inc. 5.65% 10-01-2019 Canada Corporate 20,000,000 22,234 21,307 The Toronto-Dominion Bank F/R 03-28-2018 DPNT Canada Corporate 70,600,000 70,646 70,816 The Toronto-Dominion Bank 2.17% 04-02-2018 DPNT Canada Corporate 100,000,000 101,203 100,325 The Toronto-Dominion Bank 2.45% 04-02-2019 DPNT Canada Corporate 57,000,000 57,739 57,483 The Toronto-Dominion Bank 1.69% 04-02-2020 DPNT Canada Corporate 30,000,000 30,069 29,715 The Toronto-Dominion Bank 2.56% 06-24-2020 DPNT Canada Corporate 46,000,000 46,871 46,522 The Toronto-Dominion Bank 2.05% 03-08-2021 DPNT Canada Corporate 46,000,000 46,327 45,683 1 The issuer of this security is the Manager of the Fund.
INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 SCHEDULE OF INVESTMENTS (continued) No. of Units, Fair Shares, or Cost Value Country Sector Par Value (CAD$ 000) (CAD$ 000) BONDS (continued) The Toronto-Dominion Bank 1.68% 06-08-2021 Canada Corporate 58,700,000 58,535 57,601 The Toronto-Dominion Bank 1.27% 07-01-2021 Canada Mortgage Backed 31,352,236 31,155 30,582 The Toronto-Dominion Bank 1.91% 07-18-2023 DPNT Canada Corporate 20,000,000 19,729 19,248 3,012,459 2,969,022 TOTAL NON-DERIVATIVE INVESTMENTS 5,592,753 5,515,192 Net Assets (see asset composition): Total non-derivative investments 5,515,192 Cash and cash equivalents 47,771 Other net assets (liabilities) 24,205 5,587,168 Schedule 1 Asset Composition PORTFOLIO ALLOCATION % of net assets Canadian Bonds 53.1 Mortgages 45.6 Cash and cash equivalents 0.9 Other net assets (liabilities) 0.4 Total 100.0 CANADIAN BONDS SECTOR ALLOCATION Corporate 37.5 Federal Government 13.2 Mortgage Backed 1.2 Provincial Governments 1.2 53.1 MORTGAGES BY YEAR OF MATURITY 2017 1.0 2018 4.2 2019 6.3 2020 11.0 2021 13.1 2022 10.0 45.6 MORTGAGES BY INTEREST RATE less than 2.5% 8.3 2.5 3.0% 30.4 3.0 3.5% 5.3 greater than 3.5% 1.6 45.6 as at March 31, 2017 PORTFOLIO ALLOCATION % of net assets Canadian Bonds 52.9 Mortgages 44.0 Cash and cash equivalents 2.7 Other net assets (liabilities) 0.4 Total 100.0 CANADIAN BONDS SECTOR ALLOCATION Corporate 37.4 Federal Government 12.5 Provincial Governments 1.9 Mortgage Backed 1.1 52.9 MORTGAGES BY YEAR OF MATURITY 2017 4.3 2018 4.7 2019 6.8 2020 11.3 2021 13.4 2022 3.5 44.0 MORTGAGES BY INTEREST RATE less than 2.5% 8.5 2.5 3.0% 26.3 3.0 3.5% 7.0 greater than 3.5% 2.2 44.0
INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 Schedule 2 Distribution of Mortgages by Interest Rate Principal value Amortized Fair Number outstanding cost value Rate of loans ($ 000) ($ 000) ($ 000) 0.751 to 1.000 1 182 174 171 1.001 to 1.250 3 222 216 215 1.751 to 2.000 1 288 284 276 2.001 to 2.250 19 7,229 7,189 7,112 2.251 to 2.500 1,808 461,118 461,904 453,076 2.501 to 2.750 4,648 979,284 985,518 969,125 2.751 to 3.000 3,723 726,821 732,783 725,692 3.001 to 3.250 1,062 168,048 169,675 168,452 3.251 to 3.500 829 129,424 130,612 130,261 3.501 to 3.750 478 67,272 67,960 67,851 3.751 to 4.000 123 17,643 17,863 17,836 4.001 to 4.250 33 5,016 5,084 5,081 4.251 to 4.500 4 690 717 709 4.501 to 4.750 5 186 190 189 4.751 to 5.000 2 119 125 124 12,739 2,563,542 2,580,294 2,546,170 The rates used for determining fair value of NHA and conventional loans as at September 30, 2017 were as follows: Term Residential rate 6 month (open) 6.50% 6 month (closed) 3.45% 0-12 months (open) 6.30% 0-12 months (closed) 2.94% 13-24 months 2.89% 25-36 months 2.99% 37-48 months 2.99% 49-60 months 3.10% 61-84 months 3.50% 85-120 months 4.00% Schedule 3 Distribution of Mortgages by Geographic Location Percentage Principal value Fair total fair Number outstanding value value of loans ($ 000) ($ 000) (%) British Columbia 1,715 387,294 384,495 15.1 Alberta 1,934 472,156 469,243 18.4 Saskatchewan 879 170,688 169,778 6.7 Manitoba 1,092 188,554 187,430 7.4 Ontario 4,254 889,020 881,664 34.6 Quebec 2,296 377,652 375,792 14.8 New Brunswick 190 24,297 24,124 0.9 Nova Scotia 183 23,307 23,180 0.9 Newfoundland and Labrador 136 22,649 22,571 0.9 Prince Edward Island 45 4,582 4,559 0.2 Yukon/Territories 15 3,343 3,334 0.1 12,739 2,563,542 2,546,170 100.0 Schedule 4 Distribution of Mortgages by Type of Construction Percentage Principal value Amortized Fair total fair Number outstanding cost value value of loans ($ 000) ($ 000) ($ 000) (%) Single Family Dwelling 10,548 2,168,604 2,183,134 2,153,958 84.6 Condominiums 1,853 333,455 335,317 330,904 13.0 Multi-unit Dwelling up to 8 units 338 61,483 61,843 61,308 2.4 12,739 2,563,542 2,580,294 2,546,170 100.0 Schedule 5 Distribution of Mortgages by Year of Maturity Percentage Principal value Fair total fair Number outstanding value value of loans ($ 000) ($ 000) (%) 2017 353 54,108 54,069 2.1 2018 1,550 231,584 231,798 9.1 2019 2,020 351,847 353,026 13.9 2020 3,004 620,184 616,804 24.2 2021 3,265 738,435 729,209 28.6 2022 2,547 567,384 561,264 22.1 12,739 2,563,542 2,546,170 100.0 Schedule 6 Distribution of Mortgages by Type of Insurance Percentage Principal value Fair total fair Number outstanding value value of loans ($ 000) ($ 000) (%) Insured by National Housing Act (Canada) 2,969 426,794 425,005 16.7 Insured by a Private Insurer 1,738 396,207 393,824 15.5 Uninsured - Conventional 8,032 1,740,541 1,727,341 67.8 12,739 2,563,542 2,546,170 100.0
NOTES TO THE INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 1. ORGANIZATION OF THE FUND, FISCAL PERIODS AND GENERAL INFORMATION (a) Organization of the Fund The Fund is organized as an open-ended mutual fund trust established under the laws of Manitoba and is governed by a Declaration of Trust. The address of the Fund s registered office is 447 Portage Avenue, Winnipeg, Manitoba, Canada. The Fund is authorized to issue an unlimited number of securities of multiple series. If issued, Series P and S securities are only available for purchase by other Investors Group Funds or other qualified investors. All series generally share in the operations of the Fund on a pro rata basis except for items that can be specifically attributed to one or more series. Distributions for each series may vary, partly due to the differences in expenses between the series. (b) Financial periods The Statements of Financial Position are presented as at September 30, 2017 and March 31, 2017. The Statements of Comprehensive Income, Statements of Changes in Financial Position and Statements of Cash Flows are for the six-month periods ended September 30, 2017 and 2016. The Schedule of Investments is presented as at September 30, 2017. Where a Fund or series of a Fund was established during either period, the information for the Fund or series is provided from inception date. (c) Fund and series information Effective January 1, 2017, the administration fee rate for Series B, Jnl and U decreased by 0.05%, and the management fee rate for Series S decreased by 0.25%. The deferred sales charge (DSC) purchase option of the Fund is closed to all new investments. For Series A and Jdsc, the DSC purchase option is still available for reinvested distributions and investments through switches from series of the Fund and other Investors Group Funds held under the DSC option. For Series C, the DSC purchase option is still available for reinvested distributions and investments through switches from Series C or Tc of other Investors Group Funds held under the DSC option. Effective October 23, 2017, the Manager has engaged Mackenzie Financial Corporation as sub-advisor to assist in investment management and trade execution for the Fund. This sub-advisor is a subsidiary of IGM Financial Inc. and, therefore, is considered an affiliate of the Trustee, the Manager and the Distributors. Date operations Management Service Administration Trustee Series commenced 1 fee 2 (%) fee (%) fee 3 (%) fee (%) Series A July 13, 2012 1.55-0.08 0.05 Series B July 13, 2012 1.55-0.08 0.05 Series C n/a 1.55-0.13 0.05 Series Jdsc July 13, 2012 1.30-0.08 0.05 Series Jnl July 13, 2012 1.30-0.08 0.05 Series P July 13, 2009 - - - - Series S November 16, 2009 1.30-0.10 0.05 Series U July 12, 2013 0.20-0.08 0.05 The fee rates in the table above are rounded to two decimals. 1 If within 10½ years. 2 Until December 31, 2016, the annual management fee rate for Series S was 1.55%. 3 Until December 31, 2016, the annual administration fee rate for Series B, Jnl and U was 0.13%. (d) General information I.G. Investment Management, Ltd. is the Manager and Trustee of the Fund. The Fund is distributed by Investors Group Financial Services Inc. and Investors Group Securities Inc. (collectively, the Distributors). These companies are, indirectly, wholly owned subsidiaries of IGM Financial Inc. IGM Financial Inc. is a subsidiary of Power Financial Corp. and Power Corporation of Canada. Companies related to Power Financial Corporation are therefore considered affiliates of the Trustee, the Manager and the Distributors. The Fund may invest in certain securities within the Power Group of Companies, subject to certain governance criteria, and these holdings, as at the end of the period, have been identified on the Schedule of Investments for the Fund. Any transactions during the periods were executed through market intermediaries and under prevailing market terms and conditions. 2. BASIS OF PREPARATION AND PRESENTATION These unaudited interim financial statements (financial statements) have been prepared in accordance with International Financial Reporting Standards (IFRS), including International Accounting Standard 34 Interim Financial Reporting (IAS 34), as issued by the International Accounting Standards Board (IASB). These financial statements were prepared using the same accounting policies, critical judgments and estimates as applied in the Fund s most recent audited annual financial statements for the year ended March 31, 2017. A summary of the Fund s significant accounting policies under IFRS is presented in Note 3. These financial statements are presented in Canadian dollars, which is the Fund s functional currency, and rounded to the nearest thousand unless otherwise indicated. These financial statements are prepared on a going concern basis using the historical cost basis, except for financial assets and liabilities that have been measured at fair value. These financial statements were authorized for issue by the Manager on November 9, 2017. Standards issued but not yet effective for the current accounting year are described in Note 3. 3. SIGNIFICANT ACCOUNTING POLICIES (a) Financial instruments Investments include financial assets and liabilities such as debt and equity securities, open-ended investment funds and derivatives. The Fund classifies and measures financial instruments in accordance with IFRS 9 Financial Instruments (IFRS 9). Upon initial recognition, financial instruments are classified as fair value through profit or loss (FVTPL). All financial assets and liabilities are recognized in the Statement of Financial Position when the Fund becomes a party to the contractual requirements of the instrument. Financial instruments are derecognized when the right to receive cash flows from the instrument has expired or the Fund has transferred substantially all risks and rewards of ownership. As such, investment purchase and sale transactions are recorded as of the trade date. Financial instruments are subsequently measured as FVTPL with changes in fair value recognized in the Statement of Comprehensive Income. The cost of investments, other than mortgages, is based on the weighted average cost of investments and excludes commissions and other portfolio transaction costs, which are separately reported in the Statement of Comprehensive Income. The cost of mortgages is amortized cost. Amortized cost is the principal cost of mortgages purchased net of amortized premium or discount. Realized gains and losses on disposition, including foreign exchange gains or losses on such investments, are determined based on the cost of investments. Gains and losses arising from changes in the fair value of the investments are included in the Statement of Comprehensive Income for the period in which they arise. The Fund accounts for its holdings in unlisted open-ended investment funds at FVTPL. The Fund has concluded that unlisted open-ended investment funds in which it invests do not meet the definition of structured entities. The Fund s investment in unlisted open-ended funds, if any, is presented in the Schedule of Investments at fair value which represents the Fund s maximum exposure on these investments.
NOTES TO THE INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 3. SIGNIFICANT ACCOUNTING POLICIES (continued) (b) Fair value measurement Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund s valuation policies are as follows: (i) Mortgages All mortgages are recorded at FVTPL, which is the principal amount required to produce a yield to maturity equal to or not less than one-quarter of one percent below the interest rate at which major lending institutions are making commitments on the date of valuation. All mortgages are subject to pre-payment with appropriate penalties being remitted. The Manager retains credit risk on all mortgages sold to the Fund and therefore mortgage valuations do not include expected credit losses. (ii) Fixed-income securities other than mortgages Investments in securities listed on a public securities exchange or traded on an over-the-counter market are valued at the last traded market price or close price recorded by the security exchange on which the security is principally traded, where the close price falls within the bid-ask spread of the security. In situations where the last traded market price is not within the bid-ask spread, the Manager selects the point within the bid-ask spread that is most representative of fair value. Unlisted or non-exchange traded securities, or securities for which a last traded market price is unavailable or securities for which market quotations are, in the Manager s opinion, inaccurate, unreliable or not reflective of all available material information, are valued at their estimated fair value, determined by using appropriate and accepted industry valuation techniques including valuation models. The estimated fair value of a security determined using valuation models requires the use of inputs and assumptions based on observable market data including volatility and other applicable rates or prices. In limited circumstances, the estimated fair value of a security may be determined using valuation techniques that are not supported by observable market data. Fair value of fixed-income securities includes consideration of the creditworthiness of the issuer. (c) Cash and cash equivalents Cash and cash equivalents includes cash on deposit with banks and short term investments that are readily convertible to cash, are subject to an insignificant risk of changes in value, and are used by the Fund in the management of short-term commitments. Cash and cash equivalents are reported at fair value which closely approximates their amortized cost due to their nature of being highly liquid and having short terms to maturity. Bank overdraft positions are presented as bank indebtedness in current liabilities in the Statement of Financial Position. (d) Currency All amounts are expressed in Canadian dollars. Foreign currency amounts have been expressed in Canadian dollars on the following bases: (i) Fair value of investments and other assets and liabilities at the rate of exchange at the end of the periods. (ii) Income, expenses, purchases and sales of investments at the rate of exchange on the dates of such transactions. (e) Income recognition (f) Interest income from interest bearing investments is recognized using the effective interest method. Securities lending and repurchase transactions The Fund may be permitted to enter into securities lending, repurchase and reverse repurchase transactions as set out in the Fund s Simplified Prospectus. These transactions involve the temporary exchange of securities for collateral with a commitment to deliver the same securities on a future date. Income is earned from these transactions in the form of fees paid by the counterparty and, in certain circumstances, interest paid on cash or securities held as collateral. Income earned from these transactions is recognized on the accrual basis and included in the Statement of Comprehensive Income. Securities lending transactions are administered by The Bank of New York Mellon (the Securities Lending Agent). All the counterparties have a sufficient, approved credit rating and the value of cash or securities held as collateral must be at least 102% of the fair value of the securities loaned, sold or purchased. Collateral received is comprised of debt obligations of the Government of Canada and other countries, Canadian provincial and municipal governments, and financial institutions. Value of Value of securities collateral loaned received as at ($ 000) ($ 000) September 30, 2017 - - March 31, 2017 126,238 132,960 September 30, 2017 September 30, 2016 for the six-month period ended ($ 000) (%) ($ 000) (%) Gross securities lending income 59 100.0 27 100.0 Tax withheld - - - - 59 100.0 27 100.0 Payments to securities lending agents (15) (25.0) (7) (24.1) Securities lending income 44 75.0 20 75.9 (g) Redeemable securities The Fund s redeemable securities entitle securityholders the right to redeem their interest in the Fund for cash equal to their proportionate share of the net asset value of the Fund, amongst other contractual rights. These redeemable securities involve multiple contractual obligations on the part of the Fund and therefore meet the criteria for classification as financial liabilities. The Fund s obligation for net assets attributable to securityholders is measured at FVTPL, with fair value being the redemption amount as of the reporting date. (h) Commissions and other portfolio transaction costs (i) (j) Commissions and other portfolio transaction costs are costs incurred to acquire, dispose or otherwise transact financial assets or liabilities. They include fees and commissions paid to agents, exchanges, brokers and dealers, and other intermediaries. Increase (decrease) in net assets attributable to securityholders from operations Increase (decrease) in net assets attributable to securityholders from operations per security for a series in the Statement of Comprehensive Income represents the weighted average increase (decrease) in net assets attributable to securityholders from operations for the series, per security outstanding during the period. Mergers The Fund applies the acquisition method of accounting for Fund mergers. Under this method, one of the Funds in each merger is identified as the acquiring Fund, and is referred to as the Continuing Fund, and the other Fund involved in the merger is referred to as the Terminated Fund. This identification is based on the comparison of the relative net asset values of the Funds as well as consideration of the continuation of such aspects of the Continuing Fund as: investment advisors; investment objectives and practices; type of portfolio securities; and management fees and expenses. (k) Comparative figures (l) Certain prior period comparative amounts have been reclassified to conform to current presentation including, as applicable, eliminations within the Statements of Cash Flows for non-cash transfers between series of the Fund, and reclassification of foreign withholding taxes from securities lending activity within the Statements of Comprehensive Income. Future accounting changes The Fund has determined there are no material implications to the Fund s financial statements arising from IFRS issued but not yet effective.
NOTES TO THE INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 4. USE OF ACCOUNTING JUDGMENTS AND ESTIMATES The preparation of financial statements in accordance with IFRS requires judgments, estimates and assumptions that affect the application of accounting policies and reported amounts of assets and liabilities at the reporting date and the reported amounts of income and expenses during the period. However, existing circumstances and assumptions may change due to market changes or circumstances arising beyond the control of the Fund. Such changes are reflected in the assumptions when they occur. The following discusses the most significant accounting judgments and estimates made in preparing the financial statements: (a) Functional currency The Fund s functional and presentation currency is the Canadian dollar, which is the currency considered to most faithfully represent the economic effects of the Fund s underlying transactions, events and conditions taking into consideration the manner in which securities are issued and redeemed and how returns and performance by the Fund are measured. (b) Classification of financial instruments In classifying and measuring financial instruments held by the Fund, the Manager is required to make significant judgments in determining the most appropriate classification in accordance with IFRS 9. The Manager has assessed the Fund s business model, the manner in which all financial assets and financial liabilities are managed and performance evaluated as a group on a fair value basis, and concluded that FVTPL in accordance with IFRS 9 provides the most appropriate measurement and presentation of the Fund s financial assets and financial liabilities. (c) Estimations of fair value The Fund may, from time to time, hold investments that are not quoted in active markets, such as unlisted securities or private securities. To estimate fair value, the Manager uses valuation techniques that make use of observable data, to the extent practicable. The Fund categorizes the fair value of its assets and liabilities into three categories, which are differentiated based on the observable nature of the inputs and extent of estimation required. Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 Inputs other than quoted prices that are observable for the asset or liability either directly or indirectly. Examples of Level 2 valuations include quoted prices for similar securities, quoted prices on inactive markets and from recognized investment dealers, and the application of factors derived from observable data to non-north American quoted prices in order to estimate the impact of differences in market closing times. The estimated fair values for these securities may be different from the values that would have been used had a ready market for the investment existed. Level 3 Inputs that are not based on observable market data. Various valuation techniques are utilized, depending on each situation. These methods and procedures may include, but are not limited to, performing comparisons with prices of comparable or similar securities, obtaining relevant information from issuers and/or other analytical data relating to the investment, and recent arm s length transactions. Key inputs and assumptions used are usually security specific and may include estimated discount rates, credit risk, volatility, correlations, and future cash flows. Changes in key inputs and assumptions could affect the reported fair value of these financial instruments held by the Fund. The estimated fair values for these securities may be significantly different from the values that would have been used had a ready market for the investment existed. See Note 11 for the fair value classifications of the Fund. (d) Structured entities In determining whether unlisted open-ended investment funds in which the Fund invests, but that it does not consolidate, meet the definition of a structured entity, the Manager is required to make significant judgments about whether the Underlying Funds have the typical characteristics of a structured entity. The Manager has assessed the characteristics of the Underlying Funds and has concluded that they do not meet the definition of a structured entity because the Fund does not have contracts or financing arrangements with the Underlying Funds and does not have an ability to influence the activities of the Underlying Funds or the return it receives from its investment. 5. MANAGEMENT FEES AND OTHER EXPENSES (a) Each series of the Fund will incur expenses that can be specifically attributed to that series. Common expenses of the Fund are allocated across the series of the Fund on a pro rata basis. (b) The Manager provides or arranges for the provision of investment and advisory services for a management fee. See Note 1 for the annual rates paid (as a percent of average assets) by the Fund. (c) The Fund pays the Manager an administration fee and in return the Manager will bear the operating expenses of the Fund, other than certain specified costs. See Note 1 for the annual rates paid (as a percent of average assets) by the Fund. Other Fund costs include taxes (including but not limited to GST/HST and income tax), transaction costs related to the purchase and sale of investments and derivatives, interest and borrowing costs, and Independent Review Committee (IRC) costs. (d) The Fund may pay the Distributors a service fee to compensate them for providing or arranging for the provision of services to the Fund. A portion of the service fee related to Series C is rebated by the Distributors to the Fund on a quarterly basis as outlined in the Fund s Prospectus. The rebate is distributed as a capital distribution to eligible securityholders and is reinvested in additional Series C securities of the Fund or another distributing Fund held by the securityholder. See Note 1 for the annual rates paid (as a percent of average assets) by the Fund. (e) The Trustee is responsible for overall direction and management of the affairs of the Fund. See Note 1 for the annual rates paid (as a percent of average assets) to the Trustee by the Fund. (f) The Fund pays the Manager a mortgage administration and servicing fee of up to 0.15% annually, applicable to the value of mortgages held by the Fund that are originated and serviced by the Manager. (g) An advisory fee is charged by the Distributors for investment advice and administrative services related to Series U, if issued. The advisory fee is payable monthly directly by investors in Series U, and not by the Fund. (h) GST/HST paid by the Fund on its expenses is not recoverable. In these financial statements, reference to GST/HST includes QST (Québec sales tax), as applicable. (i) (j) Other expenses are comprised of interest and borrowing charges and other miscellaneous expenses. The Manager may, at its discretion, pay certain expenses of the Fund so the Fund s performance remains competitive; however, there is no assurance that this will occur in the future. Any expenses absorbed by the Manager during the periods have been identified in the Statements of Comprehensive Income. 6. INCOME TAXES The Fund qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada) and, accordingly, is subject to tax on its income including net realized capital gains, which is not paid or payable to its securityholders. The Fund maintains a December year-end for tax purposes. It is the intention of the Fund to distribute sufficient amounts from net income for tax purposes, as required, so that the Fund will not pay income taxes other than refundable tax on capital gains, if applicable. The net capital losses can be carried forward indefinitely to reduce future realized capital gains. The non-capital losses may be utilized to reduce taxable income of future years and expire in December of the years indicated. Income tax losses that were available to offset future income for tax purposes as at the last taxation year-end were as follows: Total Total capital loss non-capital loss Expiration year for non-capital losses ($ 000) ($ 000) ($ 000) 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 2036 104,676 - - - - - - - - - - - - 7. TRANSACTIONS WITH THE FUND MANAGER During the period, the Fund acquired mortgages from the Manager valued at $444,557,000 at time of purchase (September 30, 2016 $474,636,000). The fair value of the mortgages at acquisition was calculated using the Modified Lender s Rate method. Under the terms of the transaction, the Manager retains the credit risk exposure associated with these mortgages. 8. GUARANTEES AND INDEMNITIES Agreements between the individual members of the Fund s IRC and the Trustee, on behalf of the Fund, provides for the indemnification of each IRC member by the Fund from and against liabilities and costs in respect of any action or suit against the member by reason of being or having been a member of the IRC, provided that the member acted honestly and in good faith with a view to the best interest of the Fund, or, in the case of a criminal or administrative action or proceeding that is enforced by a monetary penalty, that they had reasonable grounds for believing that his/her conduct was lawful. No claims with respect to such occurrences have been made and, as such, no amount has been recorded in these financial statements with respect to these indemnifications.
NOTES TO THE INTERIM FINANCIAL STATEMENTS SEPTEMBER 30, 2017 9. CAPITAL MANAGEMENT The capital structure of the Fund consists of redeemable securities in multiple series. The net capital received by the Fund is managed in accordance with the investment objective and strategies of the Fund and to maintain adequate liquidity to meet securityholder redemption requests. The Fund is not subject to externally imposed capital requirements and has no legal restrictions on the issue or redemption of securities beyond those included in the Fund s prospectus. Securities issued, reinvested and redeemed during the periods are reflected in the Statements of Changes in Financial Position. 10. FINANCIAL INSTRUMENT RISK The Fund s investment activities expose it to a variety of financial risks. See the Schedule of Investments for additional information about the securities held by the Fund as at the end of the period. Where significant, presented below is the Fund s exposure, directly and, if applicable, indirectly through investments in other funds and/or derivative contracts, to financial instrument risks. (a) Risk management The Manager seeks to minimize potential adverse effects of financial instrument risks on the Fund s performance by employing professional, experienced portfolio advisors, daily monitoring of the Fund s positions and market events, and diversifying the investment portfolio within the constraints of the investment objective. To assist in managing risk, the Manager also uses internal guidelines that identify the target exposures for each type of risk, maintains a governance structure that oversees the Fund s investment activities and monitors compliance with the Fund s stated investment strategy, internal guidelines and securities regulations. The Fund invests primarily in short-term debt securities and mortgages on improved real estate in Canada. (b) Currency risk Currency risk is the risk that financial instruments which are denominated or exchanged in a currency other than the Canadian dollar, which is the Fund s functional currency, will fluctuate due to changes in exchange rates. Generally, foreign denominated investments increase in value when the value of the Canadian dollar (relative to foreign currencies) falls. Conversely, when the value of the Canadian dollar rises relative to foreign currencies, the values of foreign denominated investments fall. As at September 30, 2017 and March 31, 2017, the Fund did not have a significant exposure to currency risk. (c) Liquidity risk The Fund is exposed to daily cash redemptions of redeemable securities. The corporate and government-issued debt securities held by the Fund are liquid (i.e. investments that are traded in an active market and can be readily sold). Mortgages can be disposed within a short period of time, but are not as liquid as bonds. In addition, the Fund retains sufficient cash and short-term investments to maintain adequate liquidity. The Fund also has the ability to borrow up to 5% of its net assets for the purposes of funding redemptions. (d) Interest rate risk Interest rate risk arises on interest-bearing financial instruments such as bonds and mortgages. The Fund is exposed to the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. Generally, these securities increase in value when interest rates fall and decrease in value when interest rates rise. Cash and short-term investments and other money market instruments are short term in nature and are not generally subject to significant amounts of interest rate risk. The tables below summarize the Fund s exposure to interest rate risk by remaining term to maturity. as at September 30, 2017 ($ 000) Less than 1 year 1-3 years 3-5 years > 5 years Total Bonds 365,830 1,100,766 1,307,777 194,649 2,969,022 Mortgages 208,744 897,379 1,440,047-2,546,170 Total 574,574 1,998,145 2,747,824 194,649 5,515,192 as at March 31, 2017 ($ 000) Less than 1 year 1-3 years 3-5 years > 5 years Total Bonds 478,902 1,163,419 1,249,331 174,722 3,066,374 Mortgages 329,205 722,263 1,497,752 2,155 2,551,375 Total 808,107 1,885,682 2,747,083 176,877 5,617,749 As of September 30, 2017, had prevailing interest rates increased by 1%, assuming a parallel shift in the yield curve, with all other variables held constant, net assets would have decreased by approximately $142,750,000 or 2.6% of total net assets attributable to securityholders (March 31, 2017 approximately $146,235,000 or 2.5%). Similarly, had prevailing interest rates decreased by 1%, assuming a parallel shift in the yield curve, all other variables held constant, net assets would have increased by approximately $145,049,000 or 2.6% of total net assets attributable to securityholders (March 31, 2017 approximately $148,757,000 or 2.6%). The Fund s sensitivity to interest rate changes was estimated using the weighted average duration of the bond portfolio and a valuation model which estimates the impact to the fair value of mortgages based on changes in prevailing interest rates in a manner consistent with the valuation policy for mortgages. In practice, the actual trading results may differ and the difference could be material. (e) Credit risk Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Fund. All transactions in listed securities are settled/paid for upon delivery using approved third-party brokers. The risk of default is considered minimal, as delivery of investments sold by the Fund is only made once the broker has received payment. Payment is made by the Fund on a purchase only once the investments have been received by the broker. The carrying amount of investments represents the maximum credit risk exposure. The carrying amount of other assets also represents the maximum credit risk exposure, as they will be settled in the short term. The Fund may enter into securities lending transactions with counterparties whereby the Fund temporarily exchanges securities for collateral with a commitment by the counterparty to deliver the same securities on a future date. Credit risk associated with these transactions is considered minimal as all counterparties have a sufficient, approved credit rating, and the value of cash or securities held as collateral must be at least 102% of the fair value of the investments loaned. Legislation requires that any mortgage loan with a loan to value ratio greater than 80% at time of funding must be insured by an approved mortgage default insurance provider. The Manager may also, on a case by case basis, utilize mortgage default insurance to mitigate any unique or unusual risk associated with the nature or the location of property pledged as security. In either case, the mortgage default insurance provides coverage on any losses incurred in the event of credit default resulting from the enforcement and disposition of the property. Schedule 6 to the Statement of Investments provides information on the type of mortgage insurance in place and the value. As of September 30, 2017, and March 31, 2017, there were no mortgages in arrears by 90 days or more. Due to the quality of mortgages held and the retention of credit risk by the Manager on all mortgages sold to the Fund, defaults and other credit losses are not considered a significant risk to the Fund. The fair value of fixed-income securities includes consideration of the creditworthiness of the issuer. The maximum exposure to any one issuer as of September 30, 2017 was 13.3% (Government of Canada) of the net assets of the Fund (March 31, 2017 12.5% (Government of Canada)).