td canadian index fund · 2020. 3. 26. · 1,635,304 1,365,541 liabilities current liabilities...

TD Canadian Index Fund

(03/20)532192

for the period ended December 31, 2019

TD Mutual Funds Annual Financial Statements

December 31, 2019 Annual Financial Statements

nManagement’s Responsibility for Financial Reporting

The accompanying financial statements have been prepared by TD Asset Management Inc. (“TDAM”), as manager of the TD Mutual Fund Trusts, TD Managed Assets Program Portfolios and TD Managed ETF Portfolios (collectively the “Funds” and individually the “Fund”) and approved by TDAM’s board of directors. The manager is responsible for the integrity, objectivity and reliability of the data presented. This responsibility includes selecting appropriate accounting principles and making judgments and estimates consistent with International Financial Reporting Standards as issued by the International Accounting Standards Board (“IFRS”). The manager is also responsible for the development of internal controls over the financial reporting process, which are designed to provide reasonable assurance that relevant and reliable financial informa tion is produced, and the safeguarding of all assets of the Funds.

The board of directors of TDAM is responsible for reviewing and approving the financial statements and overseeing management’s performance of its financial reporting responsibilities.

PricewaterhouseCoopers LLP is the external auditor of the Funds. The auditor has audited the financial statements in accordance with Canadian generally accepted auditing standards to enable them to express their opinion on the financial statements. The auditor’s report is included on the follow ing page of this annual report.

On behalf of TDAM, manager of the Funds.

Bruce Cooper Salma Salman Director and Director and Chief Executive Officer Chief Financial Officer March 13, 2020 March 13, 2020

1

To the Unitholders and Trustee of:


nIndependent Auditor’s Report

TD Canadian Money Market Fund TD Premium Money Market Fund TD U.S. Money Market Fund TD Ultra Short Term Bond Fund TD Short Term Bond Fund TD Canadian Bond Fund TD Income Advantage Portfolio TD Canadian Core Plus Bond Fund TD Canadian Corporate Bond Fund TD Corporate Bond Plus Fund TD U.S. Corporate Bond Fund TD Real Return Bond Fund TD Global Income Fund TD Global Core Plus Bond Fund TD Global Unconstrained Bond Fund TD High Yield Bond Fund TD Global Conservative Opportunities Fund TD Global Balanced Opportunities Fund TD Monthly Income Fund TD Tactical Monthly Income Fund TD U.S. Monthly Income Fund TD U.S. Monthly Income Fund – C$ TD Diversified Monthly Income Fund TD Global Tactical Monthly Income Fund

(formerly TD Strategic Yield Fund) TD Balanced Growth Fund TD Dividend Income Fund TD Canadian Diversified Yield Fund TD Canadian Low Volatility Fund TD Dividend Growth Fund TD Canadian Blue Chip Dividend Fund TD Canadian Large-Cap Equity Fund TD Canadian Equity Fund TD Canadian Small-Cap Equity Fund TD U.S. Risk Managed Equity Fund TD U.S. Low Volatility Fund TD North American Dividend Fund TD U.S. Dividend Growth Fund TD U.S. Blue Chip Equity Fund TD U.S. Quantitative Equity Fund TD U.S. Equity Portfolio TD North American Small-Cap Equity Fund TD U.S. Mid-Cap Growth Fund TD U.S. Small-Cap Equity Fund

TD Global Risk Managed Equity Fund TD Global Low Volatility Fund TD International Growth Fund TD Global Equity Focused Fund TD International Stock Fund TD Emerging Markets Low Volatility Fund TD Asian Growth Fund TD Emerging Markets Fund Epoch U.S. Shareholder Yield Fund Epoch U.S. Blue Chip Equity Fund Epoch U.S. Blue Chip Equity

Currency Neutral Fund Epoch U.S. Large-Cap Value Fund Epoch Global Shareholder Yield Fund Epoch Global Equity Fund Epoch International Equity Fund TD Resource Fund TD Precious Metals Fund TD Global Entertainment

& Communications Fund TD Science & Technology Fund TD Health Sciences Fund TD Canadian Bond Index Fund TD Balanced Index Fund TD Canadian Index Fund TD Dow Jones Industrial Average Index Fund TD U.S. Index Fund TD U.S. Index Currency Neutral Fund TD Nasdaq® Index Fund TD International Index Fund TD International Index

Currency Neutral Fund TD European Index Fund TD US$ Retirement Portfolio TD Retirement Conservative Portfolio TD Retirement Balanced Portfolio TD Advantage Balanced Income Portfolio TD Advantage Balanced Portfolio TD Advantage Balanced Growth Portfolio TD Comfort Conservative Income Portfolio TD Comfort Balanced Income Portfolio TD Comfort Balanced Portfolio TD Comfort Balanced Growth Portfolio TD Comfort Growth Portfolio TD Comfort Aggressive Growth Portfolio

TD Fixed Income Pool TD Risk Management Pool TD Canadian Equity Pool TD Global Equity Pool TD Tactical Pool TD Managed Income Portfolio TD Managed Income & Moderate

Growth Portfolio TD Managed Balanced Growth Portfolio TD Managed Aggressive Growth Portfolio TD Managed Maximum Equity

Growth Portfolio TD FundSmart Managed Income

& Moderate Growth Portfolio TD FundSmart Managed

Balanced Growth Portfolio TD FundSmart Managed

Aggressive Growth Portfolio TD Managed Index Income Portfolio TD Managed Index Income

& Moderate Growth Portfolio TD Managed Index Balanced

Growth Portfolio TD Managed Index Aggressive

Growth Portfolio TD Managed Index Maximum Equity

Growth Portfolio TD Managed Income ETF Portfolio TD Managed Income & Moderate Growth

ETF Portfolio TD Managed Balanced Growth ETF Portfolio TD Managed Aggressive Growth ETF Portfolio TD Managed Maximum Equity Growth

ETF Portfolio

(individually, a Fund)

2


nIndependent Auditor’s Report

Our opinion In our opinion, the accompanying December 31, 2019 financial statements of each Fund present fairly, in all material respects, the financial position of each Fund, its financial performance and its cash flows as at and for the periods indicated in note 1 in accordance with International Financial Reporting Standards as issued by the International Accounting Standards Board (IFRS).

WHAT WE HAVE AUDITED

The financial statements of each Fund comprise: • the statements of financial position as at the period-end dates

indicated in note 1; • the statements of comprehensive income for the periods indicated

in note 1; • the statements of changes in net assets attributable to holders of

redeemable units for the periods indicated in note 1; • the statements of cash flows for the periods indicated in note 1; and • the notes to the financial statements, which include a summary

of significant accounting policies.

Basis for opinion We conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the Auditor’s responsibilities for the audit of the financial statements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

INDEPENDENCE

We are independent of each Fund in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada. We have fulfilled our other ethical responsibilities in accordance with these requirements.

Other information Management is responsible for the other information of each Fund. The other information comprises the Annual Management Report of Fund Performance of each Fund.

Our opinion on the financial statements does not cover the other informa-tion and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements of each Fund, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements of each Fund or our knowledge obtained in the audit, or otherwise appears to be materially misstated.

If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Responsibilities of management and those charged with governance for the financial statements Management is responsible for the preparation and fair presentation of the financial statements of each Fund in accordance with IFRS, 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.

In preparing the financial statements, management is responsible for assessing the ability of each Fund to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate any Fund or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the financial reporting process of each Fund.

Auditor’s responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole for each Fund are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian generally accepted auditing standards will always detect a material misstate ment when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements of each Fund.

As part of an audit in accordance with Canadian generally accepted auditing standards, we exercise professional judgment and maintain professional skepticism throughout the audit. We also: • Identify and assess the risks of material misstatement of the financial

statements of each Fund, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit 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 internal control of each Fund.

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• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.

• Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the ability of each Fund to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements of each Fund or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause any Fund to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements of each Fund, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

Chartered Professional Accountants, Licensed Public Accountants Toronto, Ontario March 13, 2020

Independent Auditor’s Report

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nTD Canadian Index Fund

Statements of Financial Position (in 000s except per unit amounts)

as at December 31, 2019 and 2018

2019 2018

Assets Current Assets Investments $ 1,626,843 $ 1,355,634 Cash 2,199 1,944 Interest and Dividends Receivables 2,965 4,251 Income Receivable from Underlying Funds 207 0 Subscriptions Receivable 3,090 3,712

1,635,304 1,365,541

Liabilities Current Liabilities Derivative Liabilities (Note 3) 0 0 Accrued Liabilities 0 0 Redemptions Payable 2,488 2,332 Payable for Investments Purchased 576 1,234

3,064 3,566

Net Assets Attributable to Holders of Redeemable Units $ 1,632,240 $ 1,361,975

Net Assets Attributable to Holders of Redeemable Units – Per Series (Note 5) Investor Series $ 341,276 $ 432,478 e-Series $ 1,063,710 $ 751,745 Institutional Series N/A N/A F-Series $ 47,568 $ 31,689 O-Series $ 179,686 $ 146,063

$ 1,632,240 $ 1,361,975

Net Assets Attributable to Holders of Redeemable Units – Per Series Unit

Investor Series $ 26.23 $ 22.08

e-Series $ 28.11 $ 23.48

Institutional Series N/A N/A

F-Series $ 19.01 $ 15.84

O-Series $ 14.54 $ 12.16

Statements of Comprehensive Income (in 000s except per unit amounts)

for the periods ended December 31, 2019 and 2018

2019 2018

Income Net Gain (Loss) on Investments and Derivatives

Dividend Income $ 43,896 $ 43,484 Interest for Distribution Purposes 1,282 395 Distributions from Underlying Funds 207 0 Net Realized Gain (Loss) 155,502 24,757 Net Change in Unrealized Appreciation/

Depreciation 109,549 (199,669)

Net Gain (Loss) on Investments and Derivatives 310,436 (131,033) Foreign Exchange Gain (Loss) on

Cash and Other Net Assets (97) 68 Securities Lending Income 2,239 1,068

Total Income (Net) 312,578 (129,897)

Expenses (Note 6) Management Fees 6,630 7,194 Independent Review Committee Fees 2 2 Transaction Costs 208 37

Total Expenses before Waivers 6,840 7,233 Less: Waived Expenses (1) 0

Total Expenses (Net) 6,839 7,233

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units before Tax 305,739 (137,130)

Tax Reclaims (Withholding Taxes) (14) (18)

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units $ 305,725 $ (137,148)

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units – Per Series Investor Series $ 84,456 $ (46,567) e-Series $ 180,304 $ (73,831) Institutional Series N/A $ (794) F-Series $ 7,431 $ (3,009) O-Series $ 33,534 $ (12,947)

$ 305,725 $ (137,148)

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units – Per Series Unit

Investor Series $ 5.35 $ (2.33)

e-Series $ 5.16 $ (2.41)

Institutional Series N/A $ (3.58)

F-Series $ 3.56 $ (1.80)

O-Series $ 2.81 $ (1.15)

The accompanying notes are an integral part of the financial statements.

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Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (in 000s) for the periods ended December 31, 2019 and 2018

Investor Series e-Series Institutional Series

2019 2018 2019 2018 2019 2018

Net Assets Attributable to Holders of Redeemable Units at Beginning of the Period $ 432,478 $ 516,718 $ 751,745 $ 793,067 N/A $ 15,147

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 84,456 (46,567) 180,304 (73,831) N/A (794)

Distributions to Holders of Redeemable Units From Net Investment Income (9,019) (9,731) (25,705) (20,244) N/A 0 From Net Realized Gains on Investments 0 0 0 0 N/A 0

(9,019) (9,731) (25,705) (20,244) N/A 0

Redeemable Unit Transactions Proceeds from Redeemable Units Issued 34,564 41,370 271,982 155,714 N/A 406 Reinvestments of Distributions 8,905 9,600 24,965 19,632 N/A 0 Redemption of Redeemable Units (210,108) (78,912) (139,581) (122,593) N/A (14,759)

Net Increase (Decrease) from Redeemable Unit Transactions (166,639) (27,942) 157,366 52,753 N/A (14,353)

Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (91,202) (84,240) 311,965 (41,322) N/A (15,147)

Net Assets Attributable to Holders of Redeemable Units at End of the Period $ 341,276 $ 432,478 $ 1,063,710 $ 751,745 N/A $ N/A

Redeemable Unit Transactions Redeemable Units Outstanding,

Beginning of the Period 19,590 20,689 32,014 29,880 N/A 783 Redeemable Units Issued 1,370 1,701 10,081 6,002 N/A 21 Redeemable Units Issued on Reinvestments 340 434 889 835 N/A 0 Redeemable Units Redeemed (8,291) (3,234) (5,149) (4,703) N/A (804)

Redeemable Units Outstanding, End of the Period 13,009 19,590 37,835 32,014 N/A N/A

Weighted Average Units Outstanding 15,791 19,974 34,944 30,633 N/A 222

F-Series O-Series TOTAL

2019 2018 2019 2018 2019 2018

Net Assets Attributable to Holders of Redeemable Units at Beginning of the Period $ 31,689 $ 25,924 $ 146,063 $ 139,708 $ 1,361,975 $ 1,490,564

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 7,431 (3,009) 33,534 (12,947) 305,725 (137,148)

Distributions to Holders of Redeemable Units From Net Investment Income (962) (669) (5,120) (4,367) (40,806) (35,011) From Net Realized Gains on Investments 0 0 0 0 0 0

(962) (669) (5,120) (4,367) (40,806) (35,011)

Redeemable Unit Transactions Proceeds from Redeemable Units Issued 17,745 13,390 22,350 41,411 346,641 252,291 Reinvestments of Distributions 876 632 5,120 4,367 39,866 34,231 Redemption of Redeemable Units (9,211) (4,579) (22,261) (22,109) (381,161) (242,952)

Net Increase (Decrease) from Redeemable Unit Transactions 9,410 9,443 5,209 23,669 5,346 43,570

Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 15,879 5,765 33,623 6,355 270,265 (128,589)

Net Assets Attributable to Holders of Redeemable Units at End of the Period $ 47,568 $ 31,689 $ 179,686 $ 146,063 $ 1,632,240 $ 1,361,975

Redeemable Unit Transactions Redeemable Units Outstanding,

Beginning of the Period 2,000 1,452 12,010 10,162 Redeemable Units Issued 970 771 1,587 3,125 Redeemable Units Issued on Reinvestments 46 40 353 359 Redeemable Units Redeemed (513) (263) (1,596) (1,636)

Redeemable Units Outstanding, End of the Period 2,503 2,000 12,354 12,010

Weighted Average Units Outstanding 2,088 1,674 11,938 11,300



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Statements of Cash Flows (in 000s) for the periods ended December 31, 2019 and 2018

2019 2018

Cash Flows from (used in) Operating Activities Increase (Decrease) in Net Assets Attributable

to Holders of Redeemable Units $ 305,725 $ (137,148) Adjustment For:

Unrealized Foreign Exchange (Gain) Loss on Cash 27 (33) Net Realized (Gain) Loss (155,502) (24,757) Net Change in Unrealized Appreciation/

Depreciation (109,549) 199,669 Purchase of Investments and Derivatives (150,860) (149,459) Distributions In-Kind from Underlying Funds (207) 0 Proceeds from Sale, Paydown and Maturity

of Investments and Derivatives 144,251 104,614 (Increase) Decrease in Interest and

Dividends Receivables 1,286 (487) (Increase) Decrease in Income Receivable

from Underlying Funds (207) 0 Increase (Decrease) in Accrued Liabilities 0 0

Net Cash from (used in) Operating Activities 34,964 (7,601)

Cash Flows from (used in) Financing Activities Distributions Paid to Holders of Redeemable Units,

Net of Reinvested Distributions (940) (780) Proceeds from Issuances of Redeemable Units 193,355 235,568 Amounts Paid on Redemption of Redeemable Units (227,097) (228,372)

Net Cash from (used in) Financing Activities (34,682) 6,416

Unrealized Foreign Exchange Gain (Loss) on Cash (27) 33 Net Increase (Decrease) in Cash 282 (1,185) Cash (Bank Overdraft) at Beginning of the Period 1,944 3,096

Cash (Bank Overdraft) at End of the Period $ 2,199 $ 1,944

Interest for Distribution Purposes Received*, Net of Withholding Taxes $ 1,282 $ 395

Dividends Received*, Net of Withholding Taxes $ 45,182 $ 42,995

* Included as part of Cash Flows from (used in) Operating Activities.


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Communication Services – 4.1% 461,233 BCE Inc. $ 17,099 $ 27,748 31,821 Cineplex Inc. 683 1,077 11,447 Cogeco Communications Inc. 457 1,296 4,030 Cogeco Inc., SV 397 420 102,440 Corus Entertainment Inc., Class ‘B’ 527 545 89,752 Quebecor Inc., Class ‘B’ 998 2,974 180,306 Rogers Communications Inc., Class ‘B’ 4,749 11,626 244,784 Shaw Communications Inc., Class ‘B’ 4,609 6,450 304,892 TELUS Corporation 6,562 15,330

36,081 67,466

Consumer Discretionary – 3.0% 42,130 Aritzia Inc. 676 803 19,407 BRP Inc. 763 1,148 25,210 Canada Goose Holdings Inc. 1,212 1,185 29,540 Canadian Tire Corporation Limited,

Class ‘A’ 1,478 4,128 159,360 Dollarama Inc. 1,890 7,112 101,888 Gildan Activewear Inc. 1,377 3,912 29,942 Great Canadian Gaming Corporation 688 1,289 38,153 Hudson’s Bay Company 673 377 22,781 Linamar Corporation 583 1,119 145,724 Magna International Inc. 3,545 10,376 41,603 Martinrea International Inc. 395 595 10,040 MTY Food Group Inc. 631 557 14,170 Park Lawn Corporation 411 415 38,990 Real Matters Inc. 434 480 125,540 Restaurant Brands International Inc. 6,828 10,392 17,500 Sleep Country Canada Holdings Inc. 544 354 15,060 Spin Master Corporation 671 596 118,603 The Stars Group Inc. 4,329 4,019 18,400 Transat AT Inc. 293 293

27,421 49,150

Consumer Staples – 2.8% 423,842 Alimentation Couche-Tard Inc., Class ‘B’ 3,318 17,466 67,380 Cott Corporation 755 1,195 87,811 Empire Company Limited, Class ‘A’ 1,706 2,675 35,591 George Weston Limited 1,981 3,667 86,711 Loblaw Companies Limited 1,859 5,810 37,336 Maple Leaf Foods Inc. 552 966 129,057 Metro Inc. 2,016 6,916 31,710 Neptune Wellness Solutions Inc. 144 113 16,950 Premium Brands Holdings Corporation 1,079 1,542 119,946 Saputo Inc. 1,999 4,822 24,500 The North West Company Inc. 463 670 21,790 Village Farms International Inc. 244 176

16,116 46,018

Energy – 12.9% 92,880 Advantage Oil & Gas Limited 221 255 178,090 ARC Resources Limited 4,153 1,457 275,342 Baytex Energy Corporation 3,489 515 134,380 Birchcliff Energy Limited 302 348 200,692 Cameco Corporation 2,690 2,316 591,456 Canadian Natural Resources Limited 12,107 24,841 518,816 Cenovus Energy Inc. 8,002 6,848 127,290 CES Energy Solutions Corporation 239 297 277,340 Crescent Point Energy Corporation 8,273 1,606

1,027,549 Enbridge Inc. 38,814 53,052 655,786 Encana Corporation 7,953 3,987 44,928 Enerflex Limited 395 549 115,545 Enerplus Corporation 4,166 1,069 57,470 Ensign Energy Services Inc. 161 164 59,509 Freehold Royalties Limited 851 434 33,210 Frontera Energy Corporation 460 325 74,278 Gibson Energy Inc. 1,583 1,975 155,537 Husky Energy Inc. 2,609 1,621 108,002 Imperial Oil Limited 2,976 3,710 208,488 Inter Pipeline Limited 3,521 4,699 78,110 Kelt Exploration Limited 253 380 108,141 Keyera Corporation 2,227 3,679 151,010 MEG Energy Corporation 3,797 1,116 12,100 North American Construction

Group Limited 184 190 109,700 NuVista Energy Limited 241 350 14,170 Paramount Resources Limited, Class ‘A’ 82 107 70,884 Parex Resources Inc. 874 1,712 74,711 Parkland Fuel Corporation 1,659 3,564 37,398 Pason Systems Inc. 511 490 264,449 Pembina Pipeline Corporation 8,045 12,728 81,180 Peyto Exploration & Development

Corporation 244 309 118,154 PrairieSky Royalty Limited 3,137 1,800 146,880 Precision Drilling Corporation 217 266 76,617 Secure Energy Services Inc. 867 388 173,250 Seven Generations Energy Limited 3,030 1,467 35,208 ShawCor Limited, Class ‘A’ 723 441 784,784 Suncor Energy Inc. 21,640 33,400 111,160 Tamarack Valley Energy Limited 212 222 475,340 TC Energy Corporation 17,663 32,875 108,380 TORC Oil & Gas Limited 398 487 127,740 Tourmaline Oil Corporation 4,119 1,944 77,235 Vermilion Energy Inc. 3,324 1,640 206,574 Whitecap Resources Inc. 2,233 1,147

178,645 210,770

Financials – 23.9% 18,610 Alaris Royalty Corporation 602 408 325,982 Bank of Montreal 15,368 32,807 434,839 Brookfield Asset Management Inc.,

Class ‘A’ 8,888 32,626 49,000 Canaccord Genuity Group Inc. 273 237 225,122 Canadian Imperial Bank of Commerce 14,585 24,327 44,436 Canadian Western Bank 700 1,417 109,993 CI Financial Corporation 3,059 2,388 111,381 ECN Capital Corporation 321 534 219,561 Element Fleet Management Corporation 2,357 2,435 5,910 Equitable Group Inc. 595 646 13,726 Fairfax Financial Holdings Limited 5,312 8,369 25,420 Fiera Capital Corporation 279 298 18,851 Genworth MI Canada Inc. 519 1,071 5,210 goeasy Limited 333 362 111,452 Great-West Lifeco Inc. 2,497 3,707 29,121 Home Capital Group Inc. 507 960 53,448 iA Financial Corporation Inc. 1,507 3,812 41,389 IGM Financial Inc. 1,147 1,543 70,410 Intact Financial Corporation 3,618 9,887 21,008 Laurentian Bank of Canada 827 933 991,812 Manulife Financial Corporation 21,226 26,144 170,072 National Bank of Canada 3,752 12,259 43,066 Onex Corporation 1,356 3,539 152,410 Power Corporation of Canada 3,042 5,098 120,669 Power Financial Corporation 2,466 4,216

$ $


Schedule of Investment Portfolio (in 000s except number of Shares

or Units/Par Value) as at December 31, 2019

No. of Shares or Units/ Par Value Description Cost Fair Value


8

731,476 Royal Bank of Canada 30,037 75,159 299,987 Sun Life Financial Inc. 9,910 17,762 618,684 The Bank of Nova Scotia 23,242 45,380 925,824 The Toronto-Dominion Bank* 28,040 67,428 28,472 TMX Group Limited 2,166 3,202 69,770 Uranium Participation Corporation 288 285

188,819 389,239

Health Care – 1.1% 124,210 Aphria Inc. 1,716 842 479,580 Aurora Cannabis Inc. 4,499 1,338 178,363 Bausch Health Companies Inc. 10,756 6,933 55,470 CannTrust Holdings Inc. 83 67 112,150 Canopy Growth Corporation 2,029 3,063 47,920 Charlottes Web Holdings Inc. 683 476 111,060 Chartwell Retirement Residences 847 1,544 92,550 Cronos Group Inc. 1,283 923 38,440 Extendicare Inc. 339 324 121,030 HEXO Corporation 910 250 52,100 Knight Therapeutics Inc. 506 395 15,640 Medical Facilities Corporation 110 75 57,600 MediPharm Labs Corporation 296 222 76,810 Organigram Holdings Inc. 369 245 33,560 Sienna Senior Living Inc. 595 613 142,380 The Green Organic Dutchman

Holdings Limited 148 107 178,020 The Supreme Cannabis Company Inc. 145 112

25,314 17,529

Industrials – 8.3% 30,247 Aecon Group Inc. 551 530 9,150 Ag Growth International Inc. 544 425 135,015 Air Canada 705 6,549 46,480 ATS Automation Tooling Systems Inc. 692 996 17,976 Badger Daylighting Limited 514 632 82,200 Ballard Power Systems Inc. 592 763 1,064,827 Bombardier Inc., Class ‘B’, SV 6,920 2,055 40,432 Brookfield Business Partners

Limited Partnership 1,597 2,172 135,094 CAE Inc. 1,260 4,644 366,168 Canadian National Railway Company 9,872 43,014 70,926 Canadian Pacific Railway Limited 5,446 23,479 6,200 Cargojet Inc. 510 641 79,740 Chorus Aviation Inc. 718 645 15,170 Exchange Income Corporation 621 678 81,688 Finning International Inc. 1,073 2,067 32,470 Morneau Shepell Inc. 654 1,097 49,420 Mullen Group Limited 1,184 458 27,460 NFI Group Inc. 900 732 26,680 Richelieu Hardware Limited 807 724 54,558 Ritchie Bros. Auctioneers Inc. 1,288 3,040 31,604 Russel Metals Inc. 513 701 17,750 Savaria Corporation 245 248 89,292 SNC-Lavalin Group Inc. 2,195 2,674 56,610 Stantec Inc. 1,028 2,078 39,900 TFI International Inc. 544 1,746 87,511 Thomson Reuters Corporation 3,554 8,129 39,994 Toromont Industries Limited 760 2,823 37,510 Transcontinental Inc., Class ‘A’ 552 595 133,352 Waste Connections Inc. 6,843 15,729 22,750 Westshore Terminals Investment

Corporation 552 431 52,950 WSP Global Inc. 2,765 4,695

55,999 135,190

$ $ Information Technology – 4.3% 274,945 BlackBerry Limited 6,454 2,296 55,075 Celestica Inc. 2,312 593 121,773 CGI Inc. 2,621 13,233 10,329 Constellation Software Inc. 2,657 13,027 22,150 Enghouse Systems Limited 601 1,067 13,290 Kinaxis Inc. 710 1,329 34,750 Lightspeed POS Inc. 1,135 1,254 134,962 Open Text Corporation 1,938 7,723 51,060 Shopify Inc., Class ‘A’ 6,998 26,362 42,710 The Descartes Systems Group Inc. 806 2,370

26,232 69,254

Materials – 8.7% 122,066 Agnico Eagle Mines Limited 4,346 9,763 148,139 Alacer Gold Corporation 954 1,022 197,864 Alamos Gold Inc., Class ‘A’ 1,460 1,549 509,950 B2Gold Corporation 1,518 2,657 889,596 Barrick Gold Corporation 21,476 21,457 31,175 Canfor Corporation 359 378 37,980 Cascades Inc. 611 426 73,340 CCL Industries Inc., Class ‘B’ 869 4,057 108,697 Centerra Gold Inc. 1,043 1,123 82,160 Continental Gold Inc. 330 440 89,682 Detour Gold Corporation 1,426 2,255 72,040 Dundee Precious Metals Inc. 318 402 79,674 Eldorado Gold Corporation 3,140 831 69,610 Endeavour Silver Corporation 208 218 31,910 Ero Copper Corporation 530 753 91,993 First Majestic Silver Corporation 1,045 1,465 308,329 First Quantum Minerals Limited 3,853 4,061 80,090 Fortuna Silver Mines Inc. 326 424 93,440 Franco-Nevada Corporation 4,366 12,529 131,208 Hudbay Minerals Inc. 1,342 706 236,997 IAMGOLD Corporation 1,803 1,149 33,830 Interfor Corporation 541 496 28,080 Intertape Polymer Group Inc. 431 467 409,650 Ivanhoe Mines Limited, Class ‘A’ 1,051 1,741 638,294 Kinross Gold Corporation 7,959 3,932 99,741 Kirkland Lake Gold Limited 1,322 5,709 32,474 Labrador Iron Ore Royalty Corporation 497 799 65,870 Leagold Mining Corporation 145 213 38,600 Lundin Gold Inc. 290 322 305,996 Lundin Mining Corporation 2,193 2,375 37,480 MAG Silver Corporation 616 575 38,504 Methanex Corporation 816 1,931 341,620 New Gold Inc. 440 393 23,840 Norbord Inc. 828 828 119,166 NOVAGOLD Resources Inc. 753 1,385 291,299 Nutrien Limited 19,981 18,110 314,790 OceanaGold Corporation 967 803 71,889 Osisko Gold Royalties Limited 1,113 907 95,750 Osisko Mining Inc. 265 388 104,536 Pan American Silver Corporation 1,839 3,216 95,210 Premier Gold Mines Limited 202 188 93,754 Pretium Resources Inc. 1,041 1,355 157,640 Roxgold Inc. 144 164 90,150 Sandstorm Gold Limited 624 874 25,590 Seabridge Gold Inc. 485 460 169,454 SEMAFO Inc. 809 457 81,920 Silvercorp Metals Inc. 474 600 39,290 SilverCrest Metals Inc. 283 345 62,843 SSR Mining Inc. 1,133 1,570 23,830 Stelco Holdings Inc. 259 260 34,640 Stella-Jones Inc. 1,492 1,300 277,228 Teck Resources Limited, Class ‘B’ 5,002 6,243

$ $





9

42,640 Teranga Gold Corporation 227 299 43,286 Torex Gold Resources Inc. 753 888 69,110 Wesdome Gold Mines Limited 416 703 26,088 West Fraser Timber Company Limited 707 1,494 190,920 Western Forest Products Inc. 251 233 227,290 Wheaton Precious Metals Corporation 4,036 8,782 15,650 Winpak Limited 748 735 484,115 Yamana Gold Inc. 4,614 2,488

117,070 141,693

Real Estate – 2.1% 20,080 Altus Group Limited 580 762 19,295 Boardwalk Real Estate Investment Trust 337 886 81,157 Canadian Apartment Properties

Real Estate Investment Trust 1,502 4,302 126,212 Choice Properties Real Estate

Investment Trust 1,524 1,756 18,097 Colliers International Group Inc. 634 1,830 92,716 Cominar Real Estate Investment Trust 1,298 1,313 45,098 Crombie Real Estate Investment Trust 558 719 38,180 CT Real Estate Investment Trust 578 616 55,490 Dream Industrial Real Estate

Investment Trust 624 729 23,275 Dream Office Real Estate Investment Trust 542 725 99,549 First Capital Real Estate Investments 2,037 2,058 15,810 FirstService Corporation 305 1,911 25,120 Granite Real Estate Investment Trust 1,020 1,657 143,506 H&R Real Estate Investment Trust 2,577 3,028 60,450 InterRent Real Estate Investment Trust 724 945 46,160 Killam Apartment Real Estate

Investment Trust 654 874 18,200 Minto Apartment Real Estate

Investment Trust 412 421 15,690 Morguard North American Residential

Real Estate Investment Trust 297 290 31,326 Northview Apartment Real Estate

Investment Trust 705 929 62,280 NorthWest Healthcare Properties

Real Estate Investment Trust 686 743 153,099 RioCan Real Estate Investment Trust 3,050 4,097 63,571 SmartCentres Real Estate Investment Trust 1,296 1,984 56,680 Summit Industrial Income Real Estate

Investment Trust 642 684 94,460 Tricon Capital Group Inc. 1,020 1,004

23,602 34,263

Utilities – 3.1% 265,490 Algonquin Power & Utilities Corporation 2,915 4,877 9,550 AltaGas Canada Inc. 319 319 140,479 AltaGas Limited 4,027 2,779 37,224 ATCO Limited, Class ‘I’ 576 1,853 45,380 Boralex Inc., Class ‘A’ 938 1,110 91,290 Brookfield Renewable Partners

Limited Partnership 3,416 5,505 101,496 Canadian Utilities Limited, Class ‘A’ 2,722 3,975 52,641 Capital Power Corporation 1,330 1,810 119,803 Emera Inc. 3,887 6,684 220,816 Fortis Inc. 7,304 11,897 156,690 Hydro One Limited 3,671 3,930 61,260 Innergex Renewable Energy Inc. 705 1,033 40,990 Just Energy Group Inc. 114 89 79,785 Northland Power Inc. 1,454 2,170 90,239 Superior Plus Corporation 1,390 1,133 139,884 TransAlta Corporation 2,420 1,298 51,650 TransAlta Renewables Inc. 643 802

37,831 51,264

$ $ Exchange-Traded Funds – 25.4% 38,094 iShares S&P/TSX 60 Index ETF 958 974 21,615,000 TD Canadian Equity Index ETF† 410,177 414,033

411,135 415,007

Transaction Costs (290)

TOTAL INVESTMENT

PORTFOLIO – 99.7% $ 1,143,975 $ 1,626,843

TOTAL PORTFOLIO $ 1,626,843

Note: Percentages shown relate investments at fair value to Net Assets as at the period end.

* Related party to the Fund as an affiliated entity of TD Asset Management Inc.

† TD Asset Management Inc. is also the manager of the underlying funds.

$ $





10


Fund-Specific Notes to the Financial Statements

The Fund (I) The Fund was incepted on June 21, 1985 and its operations commenced on September 30, 1985.

(II) TDAM is the manager, portfolio adviser and trustee of the Fund. TDIS is the principal distributor of the Investor and e-Series units of the Fund.

(III) The presentation and functional currency of the Fund is the Canadian dollar. (IV) The investment objective of the Fund is to seek to provide long-term growth of capital by tracking the performance of a broad Canadian equity market index that measures the investment returns of publicly traded securities in the Canadian market. In seeking to achieve this objective, each security in the Solactive Canada Broad Market Index (Net Total Return, C$) (“Solactive Canada Broad Market Index (NTR, C$)”) is held by the Fund in close tolerance to its index weight so that the performance of the Fund closely tracks the performance of the Solactive Canada Broad Market Index (NTR, C$). The Fund may also hold up to 100% of its assets in units of exchange-traded funds, including TD Canadian Equity Index ETF, to gain the desired exposure to the Solactive Canada Broad Market Index (NTR, C$).

Effective November 7, 2019, the Fund changed its investment objectives from tracking the performance of the S&P/TSX Composite Total Return Index to tracking the performance of a broad Canadian equity market index that measures the investment return of publicly traded securities in the Canadian market. Correspondingly, the Fund changed its benchmark index from S&P/TSX Composite Total Return Index to Solactive Canada Broad Market Index (Net Total Return, C$).

(V) As at December 31, 2019, the Fund’s related party investment holdings as a percentage of its net assets was 29.5% (December 31, 2018: 6.0%).

(VI) As at December 31, 2019, TD and funds managed by TDAM held 4.0% (December 31, 2018: 4.2%) of the net assets of the Fund.

(VII) Institutional Series was terminated on June 13, 2018.

Management Fees and Administration Fees (%) (Note 6) for the periods ended December 31, 2019 and 2018 (exclusive of GST and HST)

Annual Rate

Management Administration Series Fees• Fees

Investor Series 0.60 N/A e-Series 0.25 N/A Institutional Series 0.30 N/A F-Series 0.15 N/A O-Series 0.00 N/A

• Includes management fees paid by the Fund and the proportionate management fees, if any, of the Underlying Funds managed by TDAM held by the Fund. However, no management fees are payable by the Fund that, to a reasonable person, would duplicate a fee payable by the Underlying Funds for the same services.

Effective November 7, 2019, the management fee rate charged to Investor Series, e-Series and F-Series was changed from 0.80% to 0.60%, 0.30% to 0.25% and 0.50% to 0.15%, respectively.

Brokerage Commissions and Soft Dollars (in 000s) (Notes 3 and 6) for the periods ended December 31, 2019 and 2018

2019 2018

Total Brokerage Commissions $ 208 $ 37

Commissions Paid to Related Parties 88 28

Soft Dollars 0 0

Tax Loss Carry Forwards (in 000s) (Note 7) as at December 31, 2019

Capital Losses $ 25,256

Non-Capital Losses (by year of expiry) None

Securities Lent (Note 3)

(I) SECURITIES LENDING INCOME

A reconciliation of the gross amount generated from the securities lending transactions to the securities lending income to the Fund for the periods ended December 31, 2019 and 2018 is as follows:

Percentage of Amount (in 000s) Total Amount (%)

2019 2018 2019 2018

Gross Securities Lending Income $ 2,795 $ 1,331 100.0 100.0

Agent Fees – The Bank of New York Mellon (556) (263) (19.9) (19.8)

Securities Lending Income to the Fund before Tax Reclaims (Withholding Taxes) 2,239 1,068 80.1 80.2

Tax Reclaims (Withholding Taxes) (14) (16) (0.5) (1.2)

Net Securities Lending Income $ 2,225 $ 1,052 79.6 79.0

(II) SECURITIES LENT AND COLLATERAL HELD (in 000s) The table below summarizes the aggregate securities lent and related collateral held by the Fund as at December 31, 2019 and 2018.

2019 2018

Fair Value of Securities Lent $ 61,647 $ 115,520

Fair Value of Collateral Held 65,521 122,063

Collateral held is in the form of debt obligations of the Government of Canada and other countries, Canadian provincial and municipal governments or corporations and is not included in the Statements of Financial Position.


11


Financial Risk Management (Notes 3, 4 and 8) as at December 31, 2019 and 2018

(I) INTEREST RATE RISK

Not significant to the Fund.

(II) CURRENCY RISK

Not significant to the Fund after hedging activities.

(III) OTHER PRICE RISK

The table below summarizes the impact of other price risk to the Fund. As at December 31, 2019 and 2018, had the benchmark of the Fund increased or decreased by 5 percent, with all other variables held constant, the net assets of the Fund would have increased or decreased by approximately:

Impact on Impact on Net Assets (in 000s) Net Assets (%)

Benchmark 2019 2018 2019 2018

Solactive Canada Broad Market Index (NTR, C$) $ 80,529 N/A 4.9 N/A

S&P/TSX Composite Total Return Index N/A $ 67,782 N/A 5.0

In practice, the actual trading results may differ from the above estimated amounts and the differences could be material.

(IV) CREDIT RISK

Not significant to the Fund.

(V) FINANCIAL INSTRUMENTS BY THE LEVEL IN THE FAIR VALUE HIERARCHY

(in 000s) The tables below illustrate the classification of the Fund’s financial instruments within the fair value hierarchy as at December 31, 2019 and 2018.

Level 1 Level 2 Level 3 Total

December 31, 2019 Equities $ 1,211,836 $ 0 $ 0 $ 1,211,836 Underlying Funds 415,007 0 0 415,007

$ 1,626,843 $ 0 $ 0 $ 1,626,843

Level 1 Level 2 Level 3 Total

December 31, 2018 Equities $ 1,348,800 $ 0 $ 0 $ 1,348,800 Underlying Funds 6,834 0 0 6,834

1,355,634 0 0 1,355,634

Foreign Exchange Forward Contracts 0 0 0 0

$ 1,355,634 $ 0 $ 0 $ 1,355,634

As at the end of the periods, transfers between Level 1 and Level 2 were not significant.

(VI) RECONCILIATION OF LEVEL 3 FAIR VALUE MEASUREMENTS (in 000s) Not significant or applicable to the Fund.

Investment Portfolio Concentration (%) (Note 8) The following tables summarize the Fund’s investment portfolio concentration as at December 31, 2019 and 2018:

2019

Exchange-Traded Funds 25.4 Financials 23.9 Energy 12.9 Materials 8.7 Industrials 8.3 Information Technology 4.3 Communication Services 4.1 Utilities 3.1 Consumer Discretionary 3.0 Consumer Staples 2.8 Real Estate 2.1 Health Care 1.1 Cash (Bank Overdraft) 0.1 Other Net Assets (Liabilities) 0.2

100.0

2018

Canadian Equities Energy 17.6 Materials 10.8 Industrials 9.1 Consumer Discretionary 4.2 Consumer Staples 3.9 Health Care 1.1 Financials 32.6 Information Technology 4.0 Utilities 3.2 Real Estate 0.5 Income Trusts 3.5 Communication Services 5.9 U.S. Equities Materials 0.1 Industrials 1.4 Consumer Staples 0.1 Health Care 0.4 Real Estate 0.3 International Equities Australia 0.1 Bermuda 0.1 Monaco 0.1 Index Equivalents 0.5 Foreign Exchange Forward Contracts 0.0 Other Net Assets (Liabilities) 0.5

100.0

Fund-Specific Notes to the Financial StatementsTD Canadian Index Fund

12


Interest in Unconsolidated Structured Entities (in 000s) (Note 3) The table below illustrates the Fund’s investment details in the Underlying Funds as at December 31, 2019 and 2018.

Fair Value Underlying of Fund’s Fund’s Underlying Funds Investment Net Assets

December 31, 2019 iShares S&P/TSX 60 Index ETF $ 974 $ 8,779,805 TD Canadian Equity Index ETF 414,033 430,986

$ 415,007

December 31, 2018 iShares S&P/TSX 60 Index ETF $ 6,834 $ 8,776,143

Offsetting of Financial Assets and Liabilities (in 000s) (Note 3) as at December 31, 2019 and 2018 Not significant or applicable to the Fund.

The TD Canadian Index Fund (the “Fund”) is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Solactive Canada Broad Market Index (CA NTR) (the “Index”) and/or any trade mark(s) associated with the Index or the price of the Index at any time or in any other respect. The Index is calculated and published by Solactive AG. Solactive AG uses its best efforts to ensure that the Index is calculated correctly. Irrespective of its obligations towards TDAM, Solactive AG has no obligation to point out errors in the Index to third parties including but not limited to investors and/or financial intermediaries of the Fund. Neither publication of the Index by Solactive AG nor the licensing of the Index or any trade mark(s) associated with the Index for the purpose of use in connection with the Fund constitutes a recommendation by Solactive AG to invest capital in said Fund nor does it in any way represent an assurance or opinion of Solactive AG with regard to any investment in the Fund.

Fund-Specific Notes to the Financial StatementsTD Canadian Index Fund

13

1. The Funds

The TD Mutual Fund Trusts and TD Managed Assets Program Portfolios (collectively, the “Funds” and individually, the “Fund”) are open-end mutual funds established under the laws of Ontario and governed by their respective Declarations of Trust or Trust Indenture, as amended from time to time.

TD Asset Management Inc. (“TDAM”) is the manager, portfolio adviser and trustee of the Funds. TDAM, TDAM USA Inc., TD Investment Services Inc. (“TDIS”), TD Waterhouse Canada Inc. (“TDWCI”) and Epoch Investment Partners, Inc. (“Epoch”) are wholly-owned subsidiaries of The Toronto-Dominion Bank (“TD”). The registered address of the Funds is P.O. Box 100, 66 Wellington Street West, TD Bank Tower, Toronto-Dominion Centre, Toronto, Ontario, M5K 1G8.

The financial year-end for the Funds is December 31. The Statements of Financial Position are presented as at December 31, 2019 and 2018, as applicable. The Statements of Comprehensive Income, Statements of Changes in Net Assets Attributable to Holders of Redeemable Units and Statements of Cash Flows are presented for the twelve-month periods ended December 31, 2019 and 2018, as applicable. Where a Fund or series of a Fund was established during either period, the information for that Fund or series is provided from the inception date, as disclosed in the Fund-Specific Notes to the Financial Statements (“Fund-Specific Notes”), to the applicable period end date and a comparative statement has only been presented for any period for which that Fund was in existence as at the reporting date.

These financial statements were authorized for issue by TDAM on March 13, 2020.

2. Basis of Presentation

These financial statements have been prepared in accordance with International Financial Reporting Standards as issued by the International Accounting Standards Board (“IFRS”). These financial statements have been prepared under the historical cost convention, as modified by the revaluation of financial assets and financial liabilities (including derivative financial instruments) at fair value through profit or loss (“FVTPL”).

3. Summary of Significant Accounting Policies

Financial Instruments Financial instruments include financial assets and financial liabilities, such as investments, derivatives, cash, and other receivables and payables. Derivatives that are reflected in the Statements of Financial Position as Derivative Assets (Liabilities) include rights, warrants, forwards, options, futures and swap contracts, where applicable, and are financial contracts between two or more parties, and whose value is derived from the performance of an underlying asset or group of assets. Underlying assets include stocks, bonds, currencies, interest rates and market indices. The Funds classify and measure financial instruments in accordance with IFRS 9, “Financial Instruments”. Upon initial recognition, financial instruments are measured at FVTPL. All financial assets and liabilities are recognized in the Statements of Financial Position when a 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 a Fund has transferred substantially all risks and rewards of ownership. As such, investment purchase and sale transactions are recorded as of the trade date.

The Funds’ financial assets and financial liabilities, other than receivables and payables, are subsequently measured at FVTPL with changes in fair value recognized in the Statements of Comprehensive Income. Other receivables and payables are subsequently measured at amortized cost.

The Funds have determined that they meet the definition of an ‘investment entity’ and as a result, the Funds measure subsidiaries, if any, at FVTPL. An investment entity is an entity that: obtains funds from one or more investors for the purpose of providing them with investment management services; commits to its investors that its business purpose is to invest funds solely for returns from capital appreciation, investment income, or both; and measures and evaluates the performance of substantially all of its investments on a fair value basis. The Funds’ investments may also include associates and joint ventures which are measured at FVTPL.

The Funds’ outstanding redeemable units’ entitlements include a contractual obligation to distribute any net income and net realized capital gains in cash (at the request of the unitholder) and therefore the ongoing redemption feature is not the Funds’ only contractual obligation. Consequently, the Funds’ Net Assets Attributable to Holders of Redeemable Units are classified as financial liabilities in accordance with the requirements of IAS 32, “Financial Instruments: Presentation”. The Funds’ obligations for Net Assets Attributable to Holders of Redeemable Units are presented at the redemption amount.

The accounting policies for measuring the fair value of the Funds’ invest-ments and derivatives are substantially similar to those used in measuring the Funds’ net asset value (“NAV”) for transactions with unitholders. The NAV is the value of the total assets of a fund less the value of its total liabilities determined, on each valuation day, in accordance with Part 14 of National Instrument 81-106, “Investment Fund Continuous Disclosure”, for the purpose of processing unitholder transactions. Net Assets Attributable to Holders of Redeemable Units, also referred to as Net Assets, refers to net assets calculated in accordance with IFRS. As at all dates presented, there were no differences between the Funds’ NAV per series unit and Net Assets per series unit.

nNotes to the Financial Statements

December 31, 2019 Annual Financial Statements14

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. The fair value of financial assets and liabilities traded in active markets (such as publicly traded derivatives and marke -table securities) is based on quoted market prices at the close of trading on the reporting date. The Funds use the last traded market price for both financial assets and financial liabilities where the last traded price falls within that day’s bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread, TDAM determines the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances.

The fair value of financial assets and liabilities not traded in an active market, including over-the-counter derivatives, is determined using valuation techniques. The Funds use a variety of methods and make assumptions that are based on market conditions existing at each reporting date. Valuation techniques include the use of comparable recent arm’s length transactions, reference to other instruments that are substantially the same, discounted cash flow analysis, option pricing models and other techniques commonly used by market participants and which attempt to make the maximum use of observable inputs.

The valuation methodology for specific types of investments held by the Funds is summarized below.

(a) Securities not listed on any recognized public securities exchange are valued based on available quotations from recognized dealers in such securities, where readily available. If securities have no available broker-dealer bid/ask quotes, TDAM uses its own pricing model to price the securities. The pricing model will generally include the discounted cash flow valuation approach, the use of a credit spread based on the terms of the security and the use of such credit and yield analysis comparables as TDAM believes are relevant in the circumstances. Debt instruments are valued based on mid prices, where readily available. Other valuation techniques may be used, as described above, where applicable.

(b) Short-term debt instruments, repurchase and reverse repurchase agreements are valued based on quotations received from recognized investment dealers.

(c) Real return bonds are valued based on the available public quotations from recognized dealers. Changes in the inflation factor are included in Interest for Distribution Purposes in the Statements of Comprehensive Income.

(d) The Funds may use foreign exchange forward contracts to hedge against or profit from fluctuations in foreign exchange rates. These contracts are valued on each valuation day based on the difference between the contract rates and the current forward rates at the measurement date applied to the contracts’ notional amount. The net change in unrealized appreciation or depreciation and the net realized gain or loss from closing out contracts are reflected in the Statements of Comprehensive Income as part of Net Gain (Loss) on Investments and Derivatives.

(e) Options contracts that are traded in exchange markets are valued at their closing prices on each valuation day. The premium received or paid on options written or purchased is included in the cost of the options. Any difference between the current value of the contract and the value of the contract originated is recognized as Net Change in Unrealized Appreciation/Depreciation. When options are closed or exercised, the difference between the premium and the amount paid or received, or the full amount of the premium if the option expires worthless, is reflected in the Statements of Comprehensive Income as Net Realized Gain (Loss). The cost of a security purchased will be reduced by the premium received on options when a written put option is exercised or increased by the amount paid on options when a purchased call option is exercised.

(f) The Funds may enter into standardized, exchange-traded futures contracts to purchase or sell a financial instrument at a contracted price on a specified future date. Any difference between the value at the close of business on the current valuation day and that of the previous valuation day is settled in cash daily and recorded in the Statements of Comprehensive Income as Derivatives Income (Loss). Any cash deposits or borrowings on margin are reflected in the Statements of Financial Position as Margin Deposit (Payable) on Derivatives. Short-term debt instruments as indicated in the Schedule of Investment Portfolio have been segregated and are held as margin against the futures contracts entered into by the Funds, as applicable.

(g) The TD Mutual Fund Trusts may enter into a credit default swap (“CDS”) agreements to gain exposure to debt instruments without investing in them directly. A CDS agreement is a bilateral over-the-counter derivative contract between a protection buyer and a protec -tion seller that exchange the credit risk of a specific issuer (reference entity). The protection buyer pays a periodic premium, often quarterly, to the protection seller to assume the credit risk associated with a particular credit event. Credit events include bankruptcy, a material default and debt restructuring for a specified reference asset. If a credit event occurs, the CDS agreements may be settled by either the physical delivery of the referenced asset for proceeds equal to par value or a cash payment equal to the loss amount. If there is no credit default event, no contingent amount is payable.

During the reporting periods, certain TD Mutual Fund Trusts have entered into CDS indices as protection seller. Any upfront payment made or received by these funds at the initiation of a CDS agreement is included in the CDS agreement’s fair value. Quarterly premiums received from the counterparty are accrued daily and recorded as Derivative Income (Loss) in the Statements of Comprehensive Income. Changes in the fair value of the CDS agreements outstanding at the reporting date are disclosed in the Statements of Comprehensive Income as Net Change in Unrealized Appreciation/Depreciation. Prices used to value the CDS are obtained directly from the data vendor or broker. When CDS agreements expire or are closed out, the net realized gain or loss is reflected in the Statements of Comprehensive Income as Net Realized Gain (Loss).

The TD Mutual Fund Trusts’ exposure to CDS is limited to the notional amount of the contract less any applicable recoverable amount, calculated by the product of the notional amount and the recovery rate of the respective reference entity.


Annual Financial StatementsDecember 31, 2019 15

(h) The exchange-traded funds (“ETFs”) that are not managed by TDAM are valued based on quoted market prices at the close of trading on the reporting date.

(i) Investments in underlying conventional mutual funds and TDAM managed ETFs are generally valued at the NAV per series unit of the investment funds as reported by the investment funds’ managers.

Fair Value Hierarchy

The Funds classify their investments into fair value measurements within a hierarchy that prioritizes the inputs to fair value measurement. The fair value hierarchy has the following three levels:

Level 1 Quoted (unadjusted) 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 (that is, as prices) or indirectly (that is, derived from prices); and

Level 3 Inputs that are not based on observable market data (that is, unobservable inputs).

All fair value measurements are recurring. The carrying values of Cash, Margin Deposit on Derivatives, Subscriptions Receivable, Interest and Dividends Receivables, Receivable for Investments Sold, Bank Overdraft, Margin Payable on Derivatives, Payable for Investments Purchased, Redemptions Payable, Distributions Payable, Accrued Liabilities and the redemption value of Funds’ obligation for Net Assets Attributable to Holders of Redeemable Units approximate their fair values due to their short-term nature.

Fair values are classified as Level 1 when the related security or deriva -tive is actively traded and a quoted price is available. If an instrument classified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1. In such cases, instruments are reclassified into Level 2, unless the measurement of their fair value requires the use of significant unobservable inputs, in which case they are classified as Level 3. The Funds’ policy is to recognize transfers into and out of the fair value hierarchy levels at the end of the reporting period.

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

The classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgment, considering factors specific to the asset or liability.

The determination of what constitutes ‘observable’ requires significant judgment. Observable data is considered to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

TDAM has a Global Fair Value Committee which oversees the perform -ance of the fair value measurements included in the financial statements of the Funds, including any Level 3 measurements. TDAM utilizes a variety of methods (as listed in the Fair Value Measurement section) in determining the fair value of securities classified as Level 3. The committee also meets quarterly to perform reviews of the valuations of investments held by the Funds.

The classification of the Funds’ financial instruments within the fair value hierarchy as at December 31, 2019 and 2018, and any transfers between levels at the end of the reporting periods as a result of changes in the lowest level input that is significant to the fair value measurement are disclosed in the Fund-Specific Notes, where applicable.

Interest in Unconsolidated Structured Entities A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrange-ments. TDAM has determined that all of the underlying investment funds (“Underlying Funds”) in which the Funds invest are unconsolidated structured entities. Underlying Funds include conventional mutual funds and ETFs. In making this determination, TDAM evaluated the fact that decision making about Underlying Funds’ activities is generally not governed by voting or similar rights held by the Funds and other investors in any Underlying Funds.

The Funds may invest in Underlying Funds whose investment objectives range from seeking to achieve short- to long-term income and/or capital growth potential. The Funds’ interests in these securities as at December 31, 2019 and 2018 are included at their fair value in the Statements of Financial Position, which represent the Funds’ exposure in these Underlying Funds. The Funds do not provide and have not committed to provide any additional significant financial or other support to the Underlying Funds. The change in fair value of each of the Underlying Funds during the reporting periods is included in Net Change in Unrealized Appreciation/Depreciation in the Statements of Comprehensive Income as part of Net Gain (Loss) on Investments and Derivatives. Additional information on the Funds’ interest in Underlying Funds, where applicable, is provided in the Schedule of Investment Portfolio and Fund-Specific Notes.

The TD Mutual Fund Trusts may also invest in mortgage-related and/or other asset-backed securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. The debt and equity securities issued by these issuers may include tranches with varying levels of subordination. The Funds may invest in senior notes that have a first lien on assets and have minimum exposure to junior or subordinate tranches. These securities may provide a monthly payment which consists of both interest and principal payments. Other asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans.



As at December 31, 2019 and 2018, the fair value of mortgage-related and other asset-backed securities of these funds, where applicable, is disclosed as Investments in the Statements of Financial Position. The fair value represents the maximum exposure to losses at those dates. The change in fair value of mortgage-related and other asset-backed securities during the reporting periods is included in Net Change in Unrealized Appreciation/Depreciation in the Statements of Comprehensive Income as part of Net Gain (Loss) on Investments and Derivatives.

Translation of Foreign Currencies A Fund’s functional currency, as disclosed in the Fund-Specific Notes, represents the currency that TDAM views to most faithfully represent the economic effects of the Fund’s underlying transactions, events and conditions taking into consideration how units are issued or redeemed and how returns are measured. Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates that transactions occur. Assets and liabilities denominated in a foreign currency are translated into the functional currency using the exchange rate prevailing at the measurement date.

Realized foreign exchange gains and losses on the sale of investments and derivatives are included in Net Realized Gain (Loss). Unrealized foreign exchange gains and losses on investments and derivatives are included in Net Change in Unrealized Appreciation/Depreciation. Realized and unrealized foreign exchange gains and losses relating to income, cash, other assets and liabilities are presented as Foreign Exchange Gain (Loss) on Cash and Other Net Assets in the Statements of Comprehensive Income.

Offsetting of Financial Assets and Liabilities Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position where the Funds have a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis or realize the asset and settle the liability simultaneously. In the normal course of business, the Funds may enter into various master netting agreements or other similar arrange -ments that do not meet the criteria for offsetting in the Statements of Financial Position but still allow for the related amounts to be set-off in certain circumstances, such as bankruptcy or the termination of the contracts. Offsetting information, where applicable, is presented in the Fund-Specific Notes.

Reverse Repurchase Agreements Certain TD Mutual Fund Trusts may enter into reverse repurchase transactions. In a reverse repurchase transaction, a fund buys a security at one price from a third party and agrees to sell the same security back to the same party at a specified price on an agreed future date and the difference is reflected as Income from Reverse Repurchase Agreements in the Statements of Comprehensive Income.

The risk with these types of transactions is that the other party may default under the agreement or go bankrupt. These risks are reduced by requiring the other party to provide collateral to these funds. The value of the collateral must be at least 102 percent of the market value of the security and the collateral is marked to market on each business day. The type of securities received and related collateral held by these funds, where applicable, are listed in the Schedule of Investment Portfolio.

Cash/Bank Overdraft Cash is comprised of deposits with financial institutions. Bank overdrafts are included under Current Liabilities in the Statements of Financial Position.

Margin Deposit (Payable) on Derivatives Margin accounts represent margin deposits or payable in respect of derivatives entered into by the Funds.

Receivable for Investments Sold/Payable for Investments Purchased Receivable for Investments Sold and Payable for Investments Purchased represent trades that have been contracted for but not yet settled or delivered on the Statements of Financial Position dates.

Valuation of Series Units TDAM generally calculates the NAV for each series of the Funds as at 4 p.m. Eastern Time on each day that the Toronto Stock Exchange is open for trading. However, in some unforeseen circumstances, the series NAV per unit may be calculated at another time.

The NAV is calculated, for processing subscription, switch, conversion or redemption orders of series units, for each series of units of the Funds by taking the series’ proportionate share of the individual Fund’s common assets less that series’ proportionate share of its common liabilities and deducting from this amount all liabilities that relate solely to that specific series.

The Net Assets Attributable to Holders of Redeemable Units – Per Series Unit is determined by dividing the total Net Assets Attributable to Holders of Redeemable Units of each series of the Funds by the total number of units outstanding of that series as at the reporting date.

Income Recognition Interest for Distribution Purposes as shown in the Statements of Comprehensive Income consists of interest income from cash and the coupon interest on debt instruments accounted for on an accrual basis. Interest receivable is included in Interest and Dividends Receivables in the Statements of Financial Position based on the debt instruments’ stated rates of interest. The Funds do not amortize premiums paid or discounts received on the purchase of debt securities except for zero coupon bonds which are amortized.

Dividend income from equities and ETFs are recognized on ex-dividend dates and distributions from underlying mutual funds are recognized on ex-distribution dates. Dividends received from ETFs are recognized in the Statements of Comprehensive Income based on the nature of the underlying components such as interest income, dividend income, capital gains and return of capital. Distributions received from underlying mutual funds are included in Distributions from Underlying Funds in the Statements of Comprehensive Income.

The TD Mutual Fund Trusts may engage in securities lending pursuant to the terms of an agreement which includes restrictions as set out in Canadian securities legislation. The income earned from securities lending, where applicable, is included in the Statements of Comprehensive Income as it is earned. The fair value of the securities loaned and fair value of the collateral held are determined daily. The details of securities lending income, aggregate values of securities on loan and related collateral held are provided in the Fund-Specific Notes, where applicable.



Investment Transactions and Transaction Costs For the purposes of calculating realized and unrealized gains and losses from investment transactions, the cost of each investment security is determined on an average cost basis, excluding transaction costs.

Transaction costs, such as brokerage commissions, incurred by the Funds in the purchase and sale of investments at fair value are recognized in the Statements of Comprehensive Income in the period incurred. Commissions incurred, where applicable, are also disclosed in the Fund-Specific Notes. No transaction costs are incurred when the Funds invest in underlying mutual funds; however, the underlying mutual funds’ investments may be subject to transaction costs.

Allocation of Income and Expenses, Realized and Unrealized Gains (Losses) Expenses (excluding interest charges and portfolio transaction costs) are accrued daily, separately for each series. Interest charges and portfolio transaction costs along with income, gains and losses, are allocated to each series based on their respective Net Assets Attributable to Holders of Redeemable Units of the Fund.

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units – Per Series Unit The Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units – Per Series Unit is calculated by dividing the Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units of each series by the weighted average units outstanding of that series for the reporting period, except when a series was established during the reporting period, in which case the Weighted Average Units Outstanding is calculated from the date of commencement of operation of that series.

4. Critical Accounting Estimates and Judgments

The preparation of financial statements requires management to use judgment in applying its accounting policies and to make estimates and assumptions about the future. The following discusses the most significant accounting judgments and estimates that the Funds have made in preparing the financial statements:

Fair Value Measurement of Derivatives and Securities Not Quoted in an Active Market The Funds may hold financial instruments that are not quoted in active markets, including derivatives. As described in Note 3, the use of valuation techniques for financial instruments and derivatives that are not quoted in an active market requires TDAM to make assumptions that are based on market conditions existing as at the reporting date of the financial statements. Changes in assumptions about these factors could affect the reported fair values of financial instruments. Refer to the Fund-Specific Notes for further information about the fair value measurement of the Funds’ financial instruments, where applicable.

Classification and Measurement of Investments In classifying and measuring financial instruments held by the Funds, TDAM has assessed the Funds’ business model for managing their respective portfolios of investments and evaluating the performance on a fair value basis, and concluded that these financial assets and liabilities should be measured at FVTPL in accordance with IFRS 9.

Investment Entity In determining whether a Fund meets the definition of an investment entity, TDAM may be required to make significant judgments about whether a Fund has the typical characteristics of an investment entity. Each Fund may hold only one investment, an underlying fund (or have only one investor or have investors that are its related parties); however, consistent with the investment entity definition, each Fund primarily obtains funds from one or more investors for the purpose of providing investment management services, commits to its investors that the business purpose is to invest the funds solely for returns from capital appreciation, investment income or both, and measures and evaluates the performance of its investments on a fair value basis.

5. Redeemable Units

For TD Mutual Fund Trusts and TD Managed Assets Program Portfolios, each individual series of units is sold under different purchase options and may have higher or lower management fees based on their specific attributes, as summarized below, reflecting the extent of the investment advice provided.

TD Mutual Fund Trusts Each TD Mutual Fund Trust is authorized to issue an unlimited number of units of multiple series that rank equally and are available for sale under a single simplified prospectus. In addition, each of these funds is also authorized to issue an unlimited number of units of multiple series to be sold under a confidential offering memorandum or other separate simplified prospectus. The various series that may be offered by these funds are as described below.

Investor Series: Offered on a no-load basis to investors.

H5 Series Offered on a no-load basis to investors who wish to receive and H8 Series: a regular monthly cash flow from the Funds. Monthly distri-

butions may consist of net income, net realized capital gains and/or a return of capital.

Premium Series: Offered on a no-load basis to large investors and others who make the required minimum investment, as determined by TDAM from time to time.

K-Series: Offered on a no-load basis to large investors and others who make the required minimum investment, as determined by TDAM from time to time, and who wish to receive a regular monthly cash flow from the Funds. Monthly distribu -tions may consist of net income, net realized capital gains, and/or a return of capital.

e-Series: Offered on a no-load basis to investors who want to complete their transactions electronically.

D-Series: Offered on a no-load basis to investors who want to complete their transactions through TD Direct Investing, a division of TDWCI, or other discount brokers.



Advisor Series: Offered to investors who seek investment advice and want the option of transacting on a front-end load, back-end load, low-load or low-load-2 basis.

T5 Series Offered to investors who seek investment advice; want the and T8 Series: option of transacting on a front-end load, back-end load,

low-load or low-load-2 basis; and who wish to receive a regular monthly cash flow from the Funds. Monthly distribu-tions may consist of net income, net realized capital gains and/or a return of capital.

F-Series: Offered to investors, through fee-based financial advisors or dealer-sponsored “wrap accounts”, and others who pay an annual fee to their dealer instead of transactional sales charges.

FT5 Series Offered to investors, through fee-based financial advisors and FT8 Series: or dealer-sponsored “wrap accounts”, who wish to receive

a regular monthly cash flow from the Funds. Monthly distributions may consist of net income, net realized capital gains, and/or a return of capital. These series may also be offered to other investors who pay an annual fee to their dealer instead of transactional sales charges.

Premium Offered to large investors, through fee-based financial F-Series: advisors or dealer-sponsored “wrap accounts”, and others

who pay an annual fee to their dealer instead of trans -actional sales charges. For this series, investors must make the required minimum investment, as determined by TDAM from time to time.

W-Series: Offered to investors, through certain wealth management businesses of TD Bank Group, including certain divisions of TDWCI, or other dealers authorized by TDAM, who pay an annual fee to their dealer instead of transactional sales charges.

Private Series Offered on a no-load basis to large investors who make the and Private-EM required minimum investment as determined by TDAM, and Series: have entered into a Private Series agreement with TDAM.

Institutional Offered on a no-load basis to large investors, such as group Series: savings plans and others who make the required minimum

investment, as determined by TDAM from time to time.

C-Series: Offered on a no-load basis to large investors who make the required minimum investment as determined by TDAM and have entered into a C-Series agreement with TDAM.

O-Series: Offered on a no-load basis to large investors, such as institutions and mutual funds, who make the required minimum investment as determined by TDAM, and have entered into an O-Series agreement with TDAM.

Effective November 1, 2019, the back-end load, low-load and low-load-2 purchase options of Advisor Series, T5 Series and T8 Series were closed to all purchases by investors. Switches and conversions are permitted if shares or units of the TD Mutual Funds and TD Managed Assets Program Portfolios being switched or converted from are held in the same purchase option.

Effective July 26, 2018, H-Series was renamed as H5 Series or H8 Series, T-Series was renamed as T5 Series or T8 Series and S-Series was renamed as FT5 Series or FT8 Series. Refer to Fund-Specific Notes of the applicable Funds for further details.

TD Managed Assets Program Portfolios Each TD Managed Assets Program Portfolio is authorized to issue an unlimited number of units of multiple series that rank equally and are available for sale under a single simplified prospectus. The various series that may be offered by these funds are as described below.

Investor Series: Offered on a no-load basis to investors.

H5 Series: Offered on a no-load basis to investors who wish to receive a regular monthly cash flow from the Funds. Monthly distributions may consist of net income, net realized capital gains and/or a return of capital.

Premium Series: Offered on a no-load basis to large investors and others who make the required minimum investment, as determined by TDAM from time to time.

K5 Series: Offered on a no-load basis to large investors and others who make the required minimum investment, as determined by TDAM from time to time, and who wish to receive a regular monthly cash flow from the Funds. Monthly distribu -tions may consist of net income, net realized capital gains, and/or a return of capital.

e-Series: Offered on a no-load basis to investors who want to complete their transactions electronically.

D-Series: Offered on a no-load basis to investors who want to complete their transactions through TD Direct Investing, a division of TDWCI, or other discount brokers.

Advisor Series: Offered to investors who seek investment advice and want the option of transacting on a front-end load, back-end load, low-load or low-load-2 basis.

T5 Series: Offered to investors who seek investment advice; want the option of transacting on a front-end load, back-end load, low-load or low-load-2 basis; and who wish to receive a regular monthly cash flow from the Funds. Monthly distribu -tions may consist of net income, net realized capital gains and/or a return of capital.

F-Series: Offered to investors, through fee-based financial advisors or dealer-sponsored “wrap accounts”, and others who pay an annual fee to their dealer instead of transactional sales charges.

FT5 Series Offered to investors, through fee-based financial advisors and FT8 Series: or dealer-sponsored “wrap accounts”, who wish to receive

a regular monthly cash flow from the Funds. Monthly distributions may consist of net income, net realized capital gains, and/or a return of capital. These series may also be offered to other investors who pay an annual fee to their dealer instead of transactional sales charges.

W-Series: Offered to investors, through certain wealth management businesses of TD Bank Group, including certain divisions of TDWCI, or other dealers authorized by TDAM, who pay an annual fee to their dealer instead of transactional sales charges.



WT5 Series Offered to investors who wish to receive a regular and WT8 Series: monthly cash flow from the Funds, through certain wealth

management businesses of TD Bank Group, including “certain divisions of TDWCI, or other dealers authorized by TDAM, who pay an annual fee to their dealer instead of transactional sales charges. Monthly distributions may consist of net income, net realized capital gains, and/or a return of capital.

Effective November 1, 2019, the back-end load, low-load and low-load-2 purchase options of Advisor Series, and T5 Series were closed to all pur -chases by investors. Switches and conversions are permitted if shares or units of the TD Mutual Funds and TD Managed Assets Program Portfolios being switched or converted from are held in the same purchase option.

Effective October 25, 2018, H-Series, K-Series, T-Series, S-Series and WT-Series were renamed as H5 Series, K5 Series, T5 Series, FT5 Series and WT5 Series, respectively. Refer to Fund-Specific Notes of the applicable Funds for further details.

Units of TD Mutual Fund Trusts and TD Managed Assets Program Portfolios are redeemable at the option of the unitholder in accordance with their respective provisions of the Declarations of Trust or Trust Indenture. Units of these funds are issued or redeemed on a daily basis at the NAV per series unit next determined after the subscription, switch, conversion order or redemption request, respectively, is received by TDAM. Subscriptions and redemptions include units converted from one series to another series within a Fund in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. However, conversions between series within a Fund are excluded from Proceeds from Issuances of Redeemable Units and Amounts Paid on Redemption of Redeemable Units in the Statements of Cash Flows.

6. Related Party Transactions

Capital TDAM, affiliates of TDAM, and/or other investment funds managed by TDAM may invest in units of the Funds from time to time. The investment made by related parties is disclosed in the Fund-Specific Notes if significant.

Management Fees (a) TD Mutual Fund Trusts

In consideration for the provision of management, distribution, and portfolio management services and oversight of any portfolio sub-advisory services provided to the TD Mutual Fund Trusts, TDAM receives an annual management fee in respect of certain series of these funds. The management fee is calculated and accrued on a daily basis for each applicable series based on the NAV of that series and paid monthly to TDAM.

No management fees are charged with respect to Private Series and O-Series units. Instead, unitholders in Private Series and O-Series units may be charged a fee directly by TDAM.

(b) TD Managed Assets Program Portfolios

In consideration for the provision of management, distribution and portfolio management services to the TD Managed Assets Program Portfolios, each series of these funds pay TDAM an annual management fee. The management fee is calculated and accrued on a daily basis for each series based on the NAV of that series and paid monthly to TDAM.

Where the TD Mutual Fund Trusts and TD Managed Assets Program Portfolios invest in Underlying Funds, there are fees and expenses payable by the Underlying Funds in addition to those paid by the Funds. However, no management fees are payable by Funds that invest in Underlying Funds that, to a reasonable person, would duplicate a fee payable by the Underlying Funds for the same services. TDAM may waive all or a portion of the management fees charged to the Funds, which may be discontinued at any time by TDAM at its discretion without notice to unitholders. Detailed information on the management fees of the Funds is provided in the Fund-Specific Notes.

Administration Fees (a) TD Mutual Fund Trusts

In consideration for paying certain operating expenses, TDAM is paid an annual administration fee with respect to certain series of the TD Mutual Fund Trusts. The administration fee includes recordkeeping and communi -cation costs, custodial costs, legal fees, audit fees, filing fees and bank charges. The administration fee is calculated and accrued on a daily basis for each applicable series based on the NAV of that series and paid monthly to TDAM. Annual administration fees for each series of these funds, where applicable, are provided in the Fund-Specific Notes.

The administration fee is payable in respect of Investor Series, H5 Series, H8 Series, D-Series, Advisor Series and T5 Series and T8 Series of the TD Mutual Fund Trusts, as applicable, other than the money market funds, TD Ultra Short Term Bond Fund, TD Short Term Bond Fund, TD Canadian Bond Fund, TD Global Conservative Opportunities Fund, TD Global Balanced Opportunities Fund, the Index funds and Advisor Series units of TD U.S. Equity Portfolio. The administration fee is also payable in respect of Premium Series and K-Series of TD Mutual Fund Trusts other than TD U.S. Money Market Fund, TD Short Term Bond Fund, TD Canadian Bond Fund, TD Income Advantage Portfolio, TD Canadian Core Plus Bond Fund, TD Corporate Bond Plus Fund and TD Global Conservative Opportunities Fund.

No administration fee is charged with respect to other series of the TD Mutual Fund Trusts.


Except for the TD Managed ETF Portfolios, no administration fee is charged to the TD Managed Assets Program Portfolios. For the TD Managed ETF Portfolios, in consideration for paying certain operating expenses, TDAM is paid an annual administration fee with respect to D-Series of the Funds. The administration fee includes recordkeeping and communication costs, custodial costs, certain legal fees, audit fees, regulatory filing fees and bank charges. The administration fee is calculated and accrued on a daily basis based on the NAV of D-Series and paid monthly to TDAM. Annual administration fees for D-Series of the Funds are provided in the Fund-Specific Notes.



Operating Expenses Fund’s Independent Review Committee (“IRC”)

TDAM is responsible for management of the Funds’ investment portfolios, including the making of decisions relating to the investment of the Funds’ assets.

TDAM has established an IRC in respect of the Funds and the Underlying Funds managed by TDAM. The IRC acts as an impartial and independent committee to review and provide recommendations or, if appropriate, approvals respecting any transactions in which TDAM may have a conflict of interest. The IRC prepares, at least annually, a report of its activities for unitholders of the Funds.

The IRC has approved standing instructions to permit the Funds and/or the Underlying Funds managed by TDAM to enter into the following securities transactions:

(i) trades in securities of TD or any affiliate or associate thereof; (ii) investments in the securities of an issuer where TD Securities Inc.,

TDWCI, or any other affiliate of TDAM (a “Related Dealer”) acted as an underwriter during the distribution of such securities and the 60-day period following the completion of the distribution of the underwritten securities;

(iii) purchases or sales of securities of an issuer from or to another investment fund or discretionary managed account managed by TDAM; and

(iv) purchases of securities from or sales of securities to a Related Dealer, where it acted as principal.

Investments in securities of TD, interests in Underlying Funds managed by TDAM, or investments in any affiliates that were held by the Funds at the end of the reporting period are disclosed in the Schedule of Investment Portfolio and/or the Fund-Specific Notes.

The compensation and relevant expenses of IRC members are allocated among the investment funds managed by TDAM and disclosed in the Statements of Comprehensive Income as Independent Review Committee Fees.

(a) TD Mutual Fund Trusts

TDAM pays all of the operating expenses with respect to O-Series units of the TD Mutual Fund Trusts.

Private Series and Private-EM Series of the TD Mutual Fund Trusts and Advisor Series of TD U.S. Equity Portfolio bear their respective pro rata share of the operating expenses which are common to the operation of all series of these funds as well as those expenses which are attributable solely to that series (which may be payable to TDAM or its affiliates), including IRC costs, recordkeeping and communication costs, custodial, legal, audit and filing fees, bank charges, borrowing costs, all taxes, costs relating to compliance with any new governmental and regulatory requirements, and new types of costs or expenses.

For other series of the TD Mutual Fund Trusts, TDAM pays all of the operating expenses (including services provided by TDAM or its affiliates), other than costs and expenses associated with: all taxes; borrowing; the IRC; compliance with any new governmental and regulatory require -ments, and new types of costs or expenses.


Except for the TD Managed ETF Portfolios, all operating expenses of the TD Managed Assets Program Portfolios (including for services provided by TDAM or its affiliates) are paid for by TDAM, including cost of the IRC, recordkeeping and communication costs, custodial, legal, audit and filing fees, bank charges, borrowing costs, and all taxes on such costs.

For the TD Managed ETF Portfolios, TDAM pays certain operating expenses. Each TD Managed ETF Portfolio is responsible for paying expenses associated with borrowing, the IRC, compliance with any new governmental and regulatory requirements, new types of costs or expenses, and all taxes on such costs and expenses.

Taxes on Expenses The Funds also pay applicable goods and services tax and harmonized sales tax at a blended rate to TDAM on management fees, administration fees and certain operating expenses based on the province or territory of residence of the investors in each series of the Funds, which are included with the respective expense in the Statements of Comprehensive Income.

Waived Expenses TDAM, at its discretion, may waive or absorb a portion of the expenses otherwise payable by the Funds. These waivers or absorptions may be terminated at any time without notice to unitholders. The amount of expenses waived or absorbed is disclosed in the Statements of Comprehensive Income as Waived Expenses, where applicable.

The Accrued Liabilities in the Statements of Financial Position represents the amount of management fees, administration fees and operating expenses (including applicable taxes) payable to TDAM by the Funds as at the reporting period end.

Brokerage Commissions and Soft Dollars (a) TD Mutual Fund Trusts

Brokerage commissions (including other transaction costs) paid on securities transactions and amounts paid to related parties of TD for brokerage services provided to these funds for the reporting periods ended December 31, 2019 and 2018, where applicable, are disclosed in the Fund-Specific Notes.

Client brokerage commissions are used as payment for order execution services and/or research services. The portfolio advisers or TDAM may select brokers including its affiliates, who charge a commission in excess of that charged by other brokers (“soft dollars”) if they determine in good faith that the commission is reasonable in relation to the order execution and research services utilized.

For debt instruments traded in the over the counter markets where client brokerage commissions are not charged, soft dollars or client brokerage commissions are not generated. For equities or other securities where client brokerage commissions are charged, the soft dollar portion of the amount paid or payable for goods and services other than order execu-tion for the TD Mutual Fund Trusts is not generally ascertainable. Any ascertainable soft dollar value received under the soft dollar arrangement entered into by the portfolio advisers or TDAM, where applicable, is disclosed in the Fund-Specific Notes.




These funds do not incur any brokerage commissions for executing transactions in the underlying mutual funds, and accordingly will not receive any investment or research services from brokers in exchange for commissions paid for such transactions. However, if these funds invest in underlying ETFs, brokerage commissions will be paid on the purchase or sale of units of the underlying ETFs and amounts paid to related parties of TD for brokerage services provided to these funds for the reporting periods ended December 31, 2019 and 2018, where applicable, are disclosed in the Fund-Specific Notes.

Certain of the Underlying Funds have incurred brokerage commissions, a portion of which may have been received by the Underlying Funds’ investment advisers in the form of investment or research services (“soft dollars”). Such amounts for each of the TDAM managed Underlying Funds are disclosed in the Underlying Funds’ financial statements, where ascertainable.

7. Taxation

The Funds (except for the TD Managed ETF Portfolios) qualify or intend to qualify as mutual fund trusts under the Income Tax Act (Canada) (“Tax Act”), unless otherwise disclosed in the Fund-Specific Notes. TD Managed ETF Portfolios qualify as unit trusts under the Tax Act. All or substantially all of the net investment income and sufficient amounts of net capital gains realized in any taxation year are distributed to unitholders such that no income tax is payable by the Funds, except that in certain circumstances, a Fund that is not a mutual fund trust may become liable to pay alternative minimum tax under the Tax Act. As a result of the distributions, the Funds have determined that they are in substance not taxable and therefore, do not record income taxes in the Statements of Comprehensive Income nor do they recognize any deferred tax assets or liabilities in the Statements of Financial Position. The Funds’ capital and/or non-capital losses carry forward, where appli -cable, are provided in the Fund-Specific Notes. Capital losses have no expiry. Non-Capital losses can be carried forward for up to twenty years.

The Funds may incur 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 reported as Tax Reclaims (Withholding Taxes) in the Statements of Comprehensive Income.

8. Financial Risk Management

Financial Risk Factors Each Fund is exposed to a variety of financial risks: these may include market risk (including interest rate risk, currency risk, and other price risk), credit risk, liquidity risk and concentration risk. All investments present a risk of loss of capital.

TDAM seeks to reduce financial risks by employing and overseeing professional and experienced portfolio advisers that regularly monitor the Funds’ positions and market events and diversify investment portfolios within the constraints of each Fund’s investment objectives, investment strategies and applicable TDAM policies and procedures (collectively referred to as “Investment Restrictions”).

If a Fund invests in Underlying Funds, TDAM seeks to reduce financial risks by diversifying investments across the three main asset classes: money market investments for safety, bonds for income and equity investments for growth, where applicable. Since different types of investments tend to move independently from one another, positive performance in one asset class may help to offset negative performance in another, thereby reducing volatility and overall risk in the long-term.

The Funds are managed in accordance with their respective Investment Restrictions.

(a) Market Risk (i) Interest Rate Risk

Interest rate risk arises from the possibility that changes in interest rates will affect the future cash flows or the fair values of interest-bearing investments.

A Fund’s exposure to interest rate risk is concentrated in its investments in debt instruments (such as bonds and debentures) and interest rate derivative instruments, if any. Short-term investments, currencies and other assets and liabilities are short-term in nature and/or non-interest bearing and not subject to significant amounts of risk due to fluctuations in the prevailing levels of market interest rates.

If a Fund invests in Underlying Funds, it is exposed to indirect interest rate risk to the extent of the interest-bearing financial instruments held by the Underlying Funds. A Fund’s direct exposure to interest rate risk, where significant, is disclosed in the Fund-Specific Notes.

(ii) Currency Risk

A Fund may hold financial instruments denominated in currencies other than its functional currency. It is therefore exposed to currency risk, as the value of the financial instruments denominated in other currencies will fluctuate due to changes in the foreign exchange rates of those currencies in relation to the Fund’s functional currency.

Where a Fund invests in any Underlying Funds, it is exposed to indirect currency risk in the event that the Underlying Funds invest in financial instruments that are denominated in a currency other than the Underlying Funds’ functional currency.

A Fund and/or its Underlying Funds may enter into foreign exchange forward contracts for hedging purposes to reduce its foreign currency exposure or to establish exposure to foreign currencies.

A Fund’s direct exposure to currency risk (including monetary and non-monetary instruments), where significant, is disclosed in the Fund-Specific Notes. Where a Fund invests in a single Underlying Fund, the direct and indirect exposure to currency risk (including monetary and non-monetary instruments), where significant, is disclosed in the Fund-Specific Notes.



(iii) Other Price Risk

Other price risk is the risk that securities will fluctuate in value because of changes in market prices (other than those arising from interest rate risk or currency risk). TDAM seeks to reduce this risk through its Investment Restrictions.

In determining each Fund’s sensitivity impact from exposure to other price risk, a historical beta may be used when applicable. Historical beta, a measure of the sensitivity of a fund’s returns to market returns, is generally derived from comparing 36 months of returns between a fund and its benchmark. As such, beta inherently includes effects previously reflected in the interest rate risk and currency risk disclosures. Historical beta may not be representative of future beta.

Where a Fund invests in a single Underlying Fund, it is exposed to indirect other price risk in the event that the Underlying Fund invests in equity securities. As a result, other price risk, reflecting this indirect exposure, is provided in the Fund-Specific Notes.

Where a Fund invests in several Underlying Funds, its exposure to other price risk includes all investments in Underlying Funds. A Fund’s direct exposure to other price risk, where applicable, is disclosed in the Fund-Specific Notes.

Except for written options and equities sold short, the maximum risk resulting from financial instruments is the fair value of the financial instruments as presented in the Statements of Financial Position. Possible losses from written options and equities sold short can be unlimited.

(b) Credit Risk Credit risk is the risk that one party to a financial instrument will cause a financial loss to the other party by failing to discharge an obligation. Where applicable, a Fund’s main credit risk concentration is in debt instruments and derivative instruments it holds. A Fund’s exposure to credit risk is the risk that an issuer of debt instruments or a counterparty to derivative instruments will be unable to pay amounts in full when due. All transactions in listed securities are settled or paid for upon delivery using approved brokers. The risk of default with a broker is considered minimal, as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once the securities have been received by the broker. The trade will fail if either party fails to meet its obligation.

A Fund may be exposed to credit risk from the use of counterparties for foreign exchange forward contracts. Where applicable, this risk is minimized by:

(i) using counterparties with a minimum credit rating of A by S&P Global Ratings (“S&PGR”) or an equivalent rating from another recognized credit rating agency;

(ii) limiting the term of the foreign exchange forward contracts to a maximum of 365 days; and,

(iii) limiting the mark-to-market exposure to any one counterparty to 10 percent of the portfolio value.

A Fund may also be exposed indirectly to credit risk if it invests in Underlying Funds in the event that the Underlying Funds invest in debt instruments or derivatives.

The Funds and their Underlying Funds managed by TDAM only buy and hold short-term notes with a minimum of R-1 Low credit rating by DBRS Limited or an equivalent rating from another recognized credit rating agency.

A Fund’s direct exposure to short-term and/or debt instruments, by ratings categories, where applicable, is disclosed in the Fund- Specific Notes.

The TD Mutual Fund Trusts and the Underlying Funds held by the Funds may also engage in securities lending transactions. For these funds that are managed by TDAM, the securities lending transactions are with counterparties that have a minimum credit rating of A by S&PGR or an equivalent rating from another credit agency. The value of cash or securities held as collateral by these funds in connection with these transactions is at least 102 percent of the fair value of the securities loaned. The collateral and loaned securities are marked to market on each business day. The aggregate fair value of the securities loaned, together with repurchase transactions, are limited to 50 percent of each fund’s NAV determined immediately after the fund enters into any such transaction. Information about the fair values of securities lent and collateral held and securities lending income earned, where applicable, is disclosed in the Fund-Specific Notes.

In the TD Managed Assets Program Portfolios, where applicable, the portfolio adviser reviews these funds’ credit positions as part of the investment management process.

(c) Liquidity Risk Liquidity risk is defined as the risk that a fund may not be able to settle or meet its obligations on time or at a reasonable price. A fund’s exposure to this risk is concentrated in the daily cash redemptions of redeemable units. The Funds primarily invest in securities that are traded in active markets and can be readily disposed of. In addition, the Funds retain sufficient cash and cash equivalents to maintain liquidity, and have the ability to borrow up to 5 percent of their respective NAV for the purpose of funding redemptions.

All non-derivative financial liabilities, other than redeemable units outstanding, are due in less than 3 months.

(d) Concentration Risk Concentration risk arises as a result of the concentration of exposures within the same category, whether it is geographical location, security type or industry sector. A Fund’s concentration risk is disclosed in the Fund-Specific Notes.



9. Capital Risk Management

Units issued and outstanding represent the capital of the Funds. The Funds do not have any specific capital requirements on the subscription and redemption of units, other than certain minimum subscription requirements. Changes in the Funds’ capital during the reporting periods are reflected in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. TDAM is responsible for managing the capital of the Funds in accordance with each Fund’s investment objec -tives and for managing liquidity in order to meet redemption requests.

10. Comparative Financial Information

Where applicable, certain comparative figures in the Statements of Comprehensive Income have been reclassified. Amounts related to real-ized foreign exchange gains and losses on income have been reclassified from income into Foreign Exchange Gain (Loss) on Cash and Other Net Assets in the Statements of Comprehensive Income. Amounts related to unrealized foreign exchange gains and losses on other assets and liabil-ities have been reclassified from Net Change in Unrealized Appreciation/ Depreciation into Foreign Exchange Gain (Loss) on Cash and Other Net Assets. For these reclassifications, there was no impact on the Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units.

If applicable, the most recent financial statements of the Underlying Funds managed by TDAM are available, without charge, by writing to TD Asset Management Inc., P.O. Box 100, 66 Wellington Street West, TD Bank Tower, Toronto-Dominion Centre, Toronto, Ontario, M5K 1G8, or by e-mail to [email protected], or by visiting our website at www.tdassetmanagement.com or the SEDAR website at www.sedar.com.



Currency codes used throughout the report:

Currency Code

Description

Currency Code

Description

Currency Code

Description

AED UAE Dirham HKD Hong Kong Dollar PHP Philippine Peso

ARS Argentine Peso HUF Hungarian Forint PKR Pakistan Rupee

AUD Australian Dollar IDR Indonesian Rupiah PLN Polish Zloty

BRL Brazilian Real ILS Israeli Shekel QAR Qatari Riyal

CAD/C$ Canadian Dollar INR Indian Rupee RON Romanian Leu

CHF Swiss Franc JOD Jordanian Dinar RUB Russian Ruble

CLP Chilean Peso JPY Japanese Yen SEK Swedish Krona

CNY/CNH China Renminbi KRW South Korean Won SGD Singapore Dollar

COP Colombian Peso LKR Sri Lanka Rupee THB Thai Baht

CZK Czech Koruna MAD Moroccan Dirham TRY Turkish Lira

DKK Danish Krone MXN Mexican Peso TWD New Taiwan Dollar

EGP Egyptian Pound MYR Malaysian Ringgit USD/US$ United States Dollar

EUR Euro NOK Norwegian Krone ZAR South African Rand

GBP British Pound NZD New Zealand Dollar

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Source: London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). © LSE Group 2019. FTSE Russell is a trading name of certain of the LSE Group companies. “FTSE®”, “Russell®”, and “FTSE Russell®” are trade marks of the relevant LSE Group companies and are used by any other LSE Group company under license. All rights in the FTSE Russell indexes or data vest in the relevant LSE Group company which owns the index or the data. Neither LSE Group nor its licensors accept any liability for any errors or omissions in the indexes or data and no party may rely on any indexes or data contained in this communication. No further distribution of data from the LSE Group is permitted without the relevant LSE Group company’s express written consent. The LSE Group does not promote, sponsor or endorse the content of this communication.

TD Mutual Funds, TD Pools and the TD Managed Assets Program portfolios are managed by TD Asset Management Inc., a wholly-owned subsidiary of The Toronto-Dominion Bank and are available through authorized dealers.

TD Exchange-Traded Funds are managed by TD Asset Management Inc., a wholly-owned subsidiary of The Toronto-Dominion Bank.

TDAM USA Inc. and Epoch Investment Partners Inc. are affiliates of TD Asset Management Inc. TD Asset Management operates through TD Asset Management Inc. in Canada and through TDAM USA Inc. in the United States. All entities are affiliates and wholly-owned subsidiaries of The Toronto-Dominion Bank.

All trademarks are the property of their respective owners.

® The TD logo and other trademarks are the property of The Toronto-Dominion Bank or its subsidiaries.

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td canadian index fund · 2020. 3. 26. · 1,635,304 1,365,541 liabilities current liabilities...

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