Annual Financial Statements - TD Asset Management · 2018. 3. 26. · International Financial Reporting Standards, ... 46 International Flavors & Fragrances Inc. 8 9 243 International

TD EXCHANGE-TRADED FUNDSAnnual Financial Statements

TD S&P 500 Index ETF535242(03/18)

TD Asset Management

for the period ended December 31, 2017

December 31, 2017

Management’s Responsibility for Financial Reporting

The accompanying audited financial statements have been prepared by TD Asset Management Inc. (“TDAM”), as manager of theFunds. The manager is responsible for the integrity, objectivity and reliability of the data presented. This responsibility includesselecting appropriate accounting principles and making judgments and estimates consistent with International Financial ReportingStandards (“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 information is produced, and thesafeguarding of all assets of the Funds.

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

On behalf of TDAM, manager of t he Funds

Bruce Cooper David LambieDirector and Chief Executive Officer Director and Chief Financial OfficerMarch 16, 2018 March 16, 2018

1 Annual Financial Statements

December 31, 2017

TD S&P 500 Index ETF


INDEPENDENT AUDITOR’S REPORT

To the Unitholders and Trustee of:

TD S&P 500 Index ETF (the “Fund”)

We have audited the accompanying financial statements of the Fund, which comprise the statements of financial position as atDecember 31, 2017 and 2016, and the statements of comprehensive income, changes in net assets attributable to holders of redeemableunits and cash flows for the year ended December 31, 2017 and for the period from February 23, 2016 (inception date) to December 31,2016, and the related notes, which comprise a summary of significant accounting policies and other explanatory information.

Management’s responsibility for the financial statements

Management is responsible for the preparation and fair presentation of the financial statements of the Fund in accordance withInternational Financial Reporting Standards, and for such internal control as management determines is necessary to enable thepreparation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s responsibility

Our responsibility is to express an opinion on the financial statements of the Fund based on our audits. We conducted our audits inaccordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements andplan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. Theprocedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financialstatements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’spreparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances,but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating theappropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluatingthe overall presentation of the financial statements.

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

Opinion

In our opinion, the financial statements of the Fund present fairly, in all material respects, the financial position of the Fund as atDecember 31, 2017 and 2016, and its financial performance and its cash flows for the year ended December 31, 2017 and for theperiod from February 23, 2016 to December 31, 2016 in accordance with International Financial Reporting Standards.

Chartered Professional Accountants, Licensed Public AccountantsToronto, OntarioMarch 16, 2018

December 31, 2017



STATEMENTS OF FINANCIAL POSITION(in 000s except per unit amounts)as at December 31, 2017 and 2016

December 31, December 31,2017 2016

AssetsCurrent AssetsInvestments $ 16,816 $ 8,396Cash 96 47Dividends Receivable 15 10

16,927 8,453

LiabilitiesCurrent LiabilitiesDistributions Payable 68 38

68 38

Net Assets Attributable to Holders of Redeemable Units (Note 5) $ 16,859 $ 8,415

Net Assets Attributable to Holders of Redeemable Units – Per Unit $ 18.73 $ 16.83

STATEMENTS OF COMPREHENSIVE INCOME(in 000s except per unit amounts)for the period ended December 31, 2017 and for the period from February 23, 2016(inception date) to December 31, 2016

2017 2016

IncomeForeign Exchange Gain (Loss) on Cash $ 0 $ 1

Net Gain (Loss) on Investmentsand DerivativesNet Gain (Loss) on InvestmentsDividend Income 254 123Net Realized Gain (Loss) 225 10Net Change in Unrealized Appreciation/Depreciation 1,084 804

Net Gain (Loss) on Investments 1,563 937Net Gain (Loss) on DerivativesNet Realized Gain (Loss) 0 (1)Net Gain (Loss) on Derivatives 0 (1)

Total Net Gain (Loss) on Investmentsand Derivatives 1,563 936

Total Income (Net) 1,563 937

Expenses (Note 6)Management Fees 13 6Independent Review Committee Fees 2 1Transaction Costs 0 0

Total Expenses before Waivers 15 7Less: Waived Expenses (2) (1)

Total Expenses (Net) 13 6

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units before Tax 1,550 931

Tax Reclaims (Withholding Taxes) (36) (16)

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units $ 1,514 $ 915

Weighted Average Units Outstandingfor the Period 671 419

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units – Per Unit $ 2.25 $ 2.18

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

December 31, 2017

STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLETO HOLDERS OF REDEEMABLE UNITS(in 000s)for the period ended December 31, 2017 and for the period from February 23, 2016(inception date) to December 31, 2016

STATEMENTS OF CASH FLOWS(in 000s)for the period ended December 31, 2017 and for the period from February 23, 2016(inception date) to December 31, 2016

2017 2016

Net Assets Attributable to Holders of Redeemable Units at Beginning of the Period $ 8,415 $ N/A

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 1,514 915

Distributions to Holders of Redeemable Units

From Net Investment Income (197) (90)From Net Realized Gains on Investments 0 (11)Return of Capital (13) (8)

(210) (109)

Redeemable Unit TransactionsProceeds from Redeemable Units Issued 8,901 7,598Reinvestments of Distributions to Holders of Redeemable Units 0 11

Redemption of Redeemable Units (1,761) 0

Net Increase (Decrease) from Redeemable Unit Transactions 7,140 7,609

Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 8,444 8,415

Net Assets Attributable to Holders of Redeemable Units at End of the Period $ 16,859 $ 8,415

Redeemable Unit TransactionsRedeemable Units Outstanding, Beginning of the Period 500 N/A

Redeemable Units Issued 500 500Redeemable Units Issued on Reinvestments 0 1Redeemable Units Consolidated* 0 (1)Redeemable Units Redeemed (100) 0

Redeemable Units Outstanding, End of the Period 900 500

* Redeemable units issued on reinvestments immediately consolidated with the units held priorto the distribution.

2017 2016

Cash Flows from (used in) Operating Activities

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units $ 1,514 $ 915

Adjustment For:Net Realized (Gain) Loss on Sale of Investments and Derivatives (225) (9)

Net Change in Unrealized Appreciation/ Depreciation of Investments (1,084) (804)

Purchase of Investments† (424) (432)Proceeds from Sale and/or Maturity of Investments†† 425 204

(Increase) Decrease in Dividends Receivable (6) (10)

Net Cash from (used in) Operating Activities 200 (136)

Cash Flows from (used in) Financing Activities

Distributions Paid to Holders of Redeemable Units, Net of Reinvested Distributions (180) (60)

Proceeds from Issuances of Redeemable Units† 35 243Amounts Paid on Redemption of Redeemable Units†† (6) 0

Net Cash from (used in) Financing Activities (151) 183

Net Increase (Decrease) in Cash 49 47Cash (Bank Overdraft) at Beginning of the Period 47 0

Cash (Bank Overdraft) at End of the Period $ 96 $ 47

Dividends Received*, Net of Withholding Taxes 212 97

* Included as part of Cash Flows from (used in) Operating Activities.† Excludes in-kind subscriptions of $8,866 (2016: $7,355).†† Excludes in-kind redemptions of $1,755 (2016: $0).

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



December 31, 2017



$ $U.S. EQUITIES – 97.6%

ENERGY – 6.0%

326 Anadarko Petroleum Corporation 22 22 84 Andeavor 10 12 217 Apache Corporation 14 11 253 Baker Hughes, a GE Company 15 10 277 Cabot Oil & Gas Corporation 9 10 534 Chesapeake Energy Corporation 3 3

1,114 Chevron Corporation 151 175 56 Cimarex Energy Company 8 9 88 Concho Resources Inc. 14 17 712 ConocoPhillips 41 49 305 Devon Energy Corp. 13 16 340 EOG Resources Inc. 39 46 141 EQT Corporation 11 10

2,487 Exxon Mobil Corporation 267 261 504 Halliburton Company 28 31 65 Helmerich & Payne Inc. 5 5 155 Hess Corporation 10 9

1,118 Kinder Morgan Inc. 28 25 497 Marathon Oil Corporation 8 10 287 Marathon Petroleum Corporation 18 24 223 National Oilwell Varco Inc. 10 10 110 Newfield Exploration Company 5 4 286 Noble Energy Inc. 12 10 448 Occidental Petroleum Corporation 38 41 224 ONEOK Inc. 14 15 254 Phillips 66 28 32 100 Pioneer Natural Resources Company 20 22 134 Range Resources Corporation 4 3 812 Schlumberger Ltd. 76 69 261 Valero Energy Corporation 23 30 477 The Williams Companies Inc. 16 18

960 1,009

MATERIALS – 3.0%

127 Air Products and Chemicals Inc. 24 26 65 Albemarle Corporation 8 10 55 Avery Dennison Corporation 6 8 200 Ball Corporation 10 9 128 CF Industries Holdings Inc. 5 7

1,367 DowDuPont Inc. 105 122 83 Eastman Chemical Company 9 10 154 Ecolab Inc. 24 26 80 FMC Corporation 7 10 773 Freeport-McMoRan Inc. 12 18 46 International Flavors & Fragrances Inc. 8 9 243 International Paper Company 15 18 190 LyondellBasell Industries NV 22 26 37 Martin Marietta Materials Inc. 9 10 259 Monsanto Company 36 38 197 The Mosaic Company 7 6 305 Newmont Mining Corporation 13 14 190 Nucor Corporation 13 15 55 Packaging Corporation of America 8 8 154 PPG Industries Inc. 22 23 170 Praxair Inc. 27 33 115 Sealed Air Corporation 7 7 48 The Sherwin-Williams Company 19 25 79 Vulcan Materials Company 12 13 150 WestRock Company 9 12

437 503

INDUSTRIALS – 10.0%

351 3M Company 86 104 27 Acuity Brands Inc. 7 6 71 Alaska Air Group Inc. 7 7 254 American Airlines Group Inc. 15 17 136 AMETEK Inc. 10 12 88 AO Smith Corporation 6 7 249 Arconic Inc. 8 9 326 The Boeing Company 76 120 349 Caterpillar Inc. 43 69 80 CH Robinson Worldwide Inc. 8 9 53 Cintas Corporation 8 10 526 CSX Corporation 27 36 92 Cummins Inc. 16 20 189 Deere & Company 26 37 392 Delta Air Lines Inc. 25 28 89 Dover Corporation 9 11 263 Eaton Corporation PLC 24 26 379 Emerson Electric Company 28 33 71 Equifax Inc. 12 11 101 Expeditors International of Washington Inc. 7 8 172 Fastenal Company 11 12 144 FedEx Corporation 35 45 71 Flowserve Corporation 4 4 83 Fluor Corporation 5 5 178 Fortive Corporation 13 16 89 Fortune Brands Home & Security Inc. 7 8 163 General Dynamics Corporation 36 42

5,073 General Electric Company 186 111 449 Honeywell International Inc. 73 86 181 Illinois Tool Works Inc. 30 38 151 Ingersoll-Rand PLC 15 17 71 Jacobs Engineering Group Inc. 5 6 47 JB Hunt Transport Services Inc. 6 7 547 Johnson Controls International PLC 30 26 62 Kansas City Southern 8 8 46 L3 Technologies Inc. 9 11 148 Lockheed Martin Corporation 50 60 188 Masco Corporation 8 10 196 Nielsen Holdings PLC 11 9 172 Norfolk Southern Corporation 23 31 104 Northrop Grumman Corporation 32 40 207 PACCAR Inc. 17 18 80 Parker-Hannifin Corporation 15 20 89 Quanta Services Inc. 3 4 172 Raytheon Company 33 40 134 Republic Services Inc. 10 11 71 Robert Half International Inc. 4 5 74 Rockwell Automation Inc. 14 18 97 Rockwell Collins Inc. 13 16 61 Roper Technologies Inc. 17 20 34 Snap-on Inc. 7 7 325 Southwest Airlines Co. 21 27 90 Stanley Black & Decker Inc. 15 19 47 Stericycle Inc. 6 4 152 Textron Inc. 9 11 29 TransDigm Group Incorporated 10 10 463 Union Pacific Corporation 59 78 153 United Continental Holdings Inc. 13 13 403 United Parcel Service Inc. 57 60 50 United Rentals Inc. 7 11 439 United Technologies Corporation 62 70 89 Verisk Analytics Inc. 9 11

SCHEDULE OF INVESTMENT PORTFOLIO(in 000s except number of Shares or Units/Par Value)as at December 31, 2017

NO. OF SHARES ORUNITS/PAR VALUE DESCRIPTION COST FAIR VALUE


$ $

December 31, 2017

$ $$ $30 W.W. Grainger Inc. 8 9 241 Waste Management Inc. 21 26 108 Xylem Inc. 7 9

1,482 1,689

CONSUMER DISCRETIONARY – 12.0%

43 Advance Auto Parts Inc. 7 5 235 Amazon.com Inc. 249 344 17 AutoZone Inc. 15 15 155 Best Buy Company Inc. 9 13 119 BorgWarner Inc. 6 8 107 CarMax Inc. 8 9 243 Carnival Corporation 18 20 217 CBS Corporation 17 16 114 Charter Communications Inc. 46 48 15 Chipotle Mexican Grill Inc. 8 5

2,745 Comcast Corporation, Class A 124 138 199 D.R. Horton Inc. 9 13 71 Darden Restaurants Inc. 7 9 83 Discovery Communications Inc., Class A 3 2 134 Discovery Communications Inc., Class C 4 4 135 DISH Network Corporation 11 8 151 Dollar General Corporation 15 18 136 Dollar Tree Inc. 14 18 72 Expedia Inc. 12 11 80 Foot Locker Inc. 6 5

2,296 Ford Motor Company 37 36 125 The Gap Inc. 4 5 752 General Motors Company 34 39 83 Genuine Parts Company 10 10 146 The Goodyear Tire & Rubber Company 6 6 128 H&R Block Inc 4 4 218 Hanesbrands Inc. 7 6 101 Harley-Davidson Inc. 7 6 70 Hasbro Inc. 8 8 120 Hilton Worldwide Holdings Inc. 10 12 687 The Home Depot Inc. 128 163 224 The Interpublic Group of Companies Inc. 6 6 107 Kohl's Corporation 6 7 146 L Brands Inc. 12 11 74 Leggett & Platt Inc. 5 4 119 Lennar Corporation 8 9 182 LKQ Corporation 8 9 494 Lowe's Companies Inc. 49 58 173 Macy's Inc. 7 5 181 Marriott International Inc. 21 31 205 Mattel Inc. 7 4 469 McDonald's Corporation 83 101 304 MGM Resorts International 13 13 37 Mohawk Industries Inc. 11 13 252 Netflix Inc. 45 61 280 Newell Brands Inc. 17 11 209 News Corporation, Class A 4 4 56 News Corporation, Class B 1 1 770 NIKE Inc., Class B 60 60 71 Nordstrom Inc. 5 4 101 Norwegian Cruise Line Holdings Ltd. 7 7 137 Omnicom Group Inc. 14 13 51 O'Reilly Automotive Inc. 16 15 29 The Priceline Group Inc. 61 63 159 PulteGroup Inc. 5 7 47 PVH Corp. 6 8 29 Ralph Lauren Corporation 3 4

233 Ross Stores Inc. 18 23 102 Royal Caribbean Cruises Ltd. 13 15 53 Scripps Networks Interactive Inc. 5 6 35 Signet Jewelers Limited 4 2 846 Starbucks Corporation 63 61 170 Tapestry Inc. 9 9 320 Target Corporation 27 26 62 Tiffany & Co. 7 8 457 Time Warner Inc. 52 52 377 The TJX Companies Inc. 37 36 74 Tractor Supply Company 7 7 62 TripAdvisor Inc. 4 3 614 Twenty-First Century Fox Inc., Class A 23 27 257 Twenty-First Century Fox Inc., Class B 10 11 36 Ulta Beauty Inc. 11 10 101 Under Armour Inc., Class A 6 2 101 Under Armour Inc., Class C 1 2 197 VF Corporation 16 18 199 Viacom Inc. 10 8 888 The Walt Disney Company 118 120 44 Whirlpool Corporation 10 9 62 Wyndham Worldwide Corporation 7 9 48 Wynn Resorts Ltd. 7 10 204 Yum! Brands Inc. 20 21

1,808 2,028

CONSUMER STAPLES – 8.2%

1,124 Altria Group Inc. 97 101 329 Archer-Daniels-Midland Company 18 17 116 Brown-Forman Corporation 8 10 115 Campbell Soup Company 9 7 152 Church & Dwight Company Inc. 9 10 74 The Clorox Company 13 14

2,253 The Coca-Cola Company 131 130 522 Colgate-Palmolive Company 49 49 251 ConAgra Brands Inc. 13 12 100 Constellation Brands Inc. 22 29 259 Costco Wholesale Corporation 53 60 277 Coty Inc. 7 7 601 CVS Health Corporation 68 55 109 Dr Pepper Snapple Group Inc 13 13 133 The Estee Lauder Companies Inc. 16 21 343 General Mills Inc. 26 25 80 The Hershey Company 10 11 152 Hormel Foods Corporation 7 7 71 The JM Smucker Company 12 11 145 Kellogg Company 14 12 208 Kimberly-Clark Corporation 35 31 350 The Kraft Heinz Company 38 34 533 The Kroger Co. 21 18 71 McCormick & Company Incorporated 9 9 107 Molson Coors Brewing Company, Class B NV 13 11 890 Mondelez International Inc. 49 48 244 Monster Beverage Corporation 16 19 838 PepsiCo Inc. 119 126 914 Philip Morris International Inc. 126 121

1,500 The Procter & Gamble Company 170 173 288 Sysco Corporation 19 22 170 Tyson Foods Inc. 15 17 513 Walgreens Boots Alliance Inc. 54 47 857 Wal-Mart Stores Inc. 83 106

1,362 1,383






7


Annual Financial StatementsDecember 31, 2017

$ $$ $

HEALTH CARE – 13.2%

1,020 Abbott Laboratories 60 73 934 AbbVie Inc. 81 113 191 Aetna Inc. 33 43 188 Agilent Technologies Inc. 13 16 134 Alexion Pharmaceuticals Inc. 22 20 42 Align Technology Inc. 9 12 197 Allergan PLC 62 40 98 AmerisourceBergen Corporation 11 11 428 Amgen Inc. 90 93 151 Anthem Inc. 32 43 295 Baxter International Inc. 20 24 155 Becton, Dickinson and Company 37 42 125 Biogen Inc. 45 50 794 Boston Scientific Corporation 24 25 961 Bristol-Myers Squibb Company 74 74 190 Cardinal Health Inc. 19 15 458 Celgene Corporation 68 60 98 Centene Corporation 9 12 186 Cerner Corporation 14 16 147 Cigna Corporation 30 37 28 The Cooper Companies Inc. 7 8 362 Danaher Corp. 38 42 92 DaVita Inc. 8 8 137 DENTSPLY SIRONA Inc. 11 11 125 Edwards Lifesciences Corporation 16 18 568 Eli Lilly & Company 58 60 70 Envision Healthcare Corporation 5 3 333 Express Scripts Holding Company 29 31 765 Gilead Sciences Inc. 79 69 170 HCA Healthcare Inc. 18 19 95 Henry Schein Inc. 10 8 165 Hologic Inc. 8 9 86 Humana Inc. 23 27 53 IDEXX Laboratories Inc. 10 10 87 Illumina Inc. 19 24 99 Incyte Corporation 17 12 66 Intuitive Surgical Inc. 23 30 90 IQIVA Holdings Inc. 11 11

1,576 Johnson & Johnson 250 276 60 Laboratory Corporation of America Holdings 11 12 124 McKesson Corporation 24 24

1,603 Merck & Company Inc. 122 113 16 Mettler-Toledo International Inc. 10 12 316 Mylan NV 16 17 44 Patterson Companies Inc. 2 2 62 PerkinElmer Inc. 5 6

3,509 Pfizer Inc. 149 159 80 Quest Diagnostics Incorporated 9 10 45 Regeneron Pharmaceuticals Inc. 24 21 83 ResMed Inc. 8 9 190 Stryker Corporation 31 37 235 Thermo Fisher Scientific Inc. 49 56 567 UnitedHealth Group Incorporated 119 157 53 Universal Health Services Inc. 8 7 53 Varian Medical Systems Inc. 6 7 149 Vertex Pharmaceuticals Incorporated 21 28 46 Waters Corporation 9 11 116 Zimmer Biomet Holdings Inc. 17 17 289 Zoetis Inc. 20 26

2,053 2,226

FINANCIALS – 14.2%

35 Affiliated Managers Group Inc. 8 9 233 Aflac Inc. 22 26 212 The Allstate Corporation 22 28 430 American Express Company 42 53 530 American International Group Inc. 41 40 90 Ameriprise Financial Inc. 14 19 101 Arthur J Gallagher & Co. 7 8 35 Assurant Inc. 4 4

5,709 Bank of America Corporation 149 211 605 The Bank of New York Mellon Corporation 36 41 464 BB&T Corporation 25 29

1,131 Berkshire Hathaway Inc. 236 281 73 BlackRock Inc., Class A 37 47 57 Brighthouse Financial Inc. 4 4 285 Capital One Financial Corporation 29 36 66 Cboe Global Markets Inc. 8 10 698 The Charles Schwab Corporation 33 45 89 Cincinnati Financial Corporation 8 8

1,560 Citigroup Inc. 114 145 296 Citizens Financial Group Inc. 12 16 198 CME Group Inc., Class A 29 36 106 Comerica Incorporated 8 12 213 Discover Financial Services 16 21 155 E*TRADE Financial Corporation 7 10 431 Fifth Third Bancorp 13 16 199 Franklin Resources Inc. 11 11 206 The Goldman Sachs Group Inc. 53 66 215 The Hartford Financial Services Group Inc. 14 15 631 Huntington Bancshares Inc. 10 12 349 Intercontinental Exchange Inc. 26 31 244 Invesco Ltd. 10 11

2,042 JPMorgan Chase & Co. 209 274 629 KeyCorp 13 16 182 Leucadia National Corporation 5 6 134 Lincoln National Corporation 10 13 161 Loews Corporation 9 10 89 M&T Bank Corporation 16 19 299 Marsh & McLennan Companies Inc. 27 30 622 MetLife Inc. 36 39 98 Moody's Corporation 14 18 828 Morgan Stanley 40 54 70 Nasdaq Inc. 6 7 191 Navient Corporation 3 3 127 Northern Trust Corporation 13 16 201 People’s United Financial Inc. 4 5 282 The PNC Financial Services Group Inc. 40 51 159 Principal Financial Group Inc. 11 14 343 The Progressive Corporation 18 24 251 Prudential Financial Inc. 31 36 73 Raymond James Financial Inc. 8 8 704 Regions Financial Corporation 11 15 150 S&P Global Inc. 25 32 221 State Street Corporation 22 27 280 SunTrust Banks Inc. 18 23 438 Synchrony Financial 17 21 143 T. Rowe Price Group Inc. 14 19 62 Torchmark Corporation 6 7 163 The Travelers Companies Inc. 26 28 134 Unum Group 7 9 928 US Bancorp 58 62





8 Annual Financial StatementsDecember 31, 2017

$ $$ $2,608 Wells Fargo & Company 179 198 119 Zions Bancorporation 6 8

1,950 2,393

INFORMATION TECHNOLOGY – 23.2%

444 Activision Blizzard Inc. 28 35 290 Adobe Systems Incorporated 46 64 450 Advanced Micro Devices Inc. 8 6 98 Akamai Technologies Inc. 7 8 28 Alliance Data Systems Corporation 8 9 175 Alphabet Inc., Class A 196 231 178 Alphabet Inc., Class C 196 233 178 Amphenol Corporation 16 19 215 Analog Devices Inc. 21 24 52 ANSYS Inc. 9 10

3,021 Apple Inc. 520 640 631 Applied Materials Inc. 28 40 129 Autodesk Inc. 15 17 263 Automatic Data Processing Inc. 34 39 239 Broadcom Limited 64 77 182 CA Inc. 8 8 165 Cadence Design Systems Inc. 8 9

2,909 Cisco Systems Inc. 118 140 89 Citrix Systems Inc. 9 10 352 Cognizant Technology Solutions Corporation 29 31 529 Corning Incorporated 17 21 86 CSRA Inc. 3 3 165 DXC Technology Company 16 20 571 eBay Inc. 22 27 182 Electronic Arts Inc. 21 24 38 F5 Networks Inc. 6 6

1,407 Facebook Inc. 254 311 195 Fidelity National Information Services Inc. 20 23 125 Fiserv Inc. 18 20 74 FLIR Systems Inc. 3 4 54 Gartner Inc. 8 8 89 Global Payments Inc. 9 11 71 Harris Corporation 9 13 938 Hewlett Packard Enterprise Company 18 17 997 HP Inc. 21 26

2,763 Intel Corporation 127 160 506 International Business Machines Corporation 102 97 143 Intuit Inc. 22 28 225 Juniper Networks Inc. 8 8 89 KLA-Tencor Corporation 10 12 96 Lam Research Corporation 16 22 550 Mastercard Inc. 80 104 135 Microchip Technology Incorporated 12 15 656 Micron Technology Inc. 21 34

4,540 Microsoft Corporation 381 487 99 Motorola Solutions Inc. 11 11 161 NetApp Inc. 8 11 351 NVIDIA Corporation 47 85

1,775 Oracle Corporation 103 105 187 Paychex Inc. 14 16 664 PayPal Holdings Inc. 43 61 71 Qorvo Inc. 6 6 871 QUALCOMM Incorporated 65 70 105 Red Hat Inc. 12 16 401 salesforce.com Inc. 44 51 164 Seagate Technology PLC 8 9 107 Skyworks Solutions Inc. 13 13

362 Symantec Corporation 12 13 90 Synopsys Inc. 9 10 579 Texas Instruments Incorporated 55 76 99 Total System Services Inc. 7 10 53 VeriSign Inc. 6 8

1,067 Visa Inc. 121 152 171 Western Digital Corporation 16 17 296 The Western Union Company 7 7 133 Xerox Corporation 6 5 143 Xilinx Inc. 11 12

3,216 3,915

TELECOMMUNICATION SERVICES – 2.0%

3,610 AT&T Inc. 182 176 570 CenturyLink Inc. 16 12

2,392 Verizon Communications Inc. 154 158

352 346

UTILITIES – 2.9%

368 The AES Corporation 5 5 133 Alliant Energy Corporation 7 7 142 Ameren Corporation 10 10 289 American Electric Power Company Inc. 26 27 101 American Water Works Company Inc. 10 12 242 CenterPoint Energy Inc. 8 9 161 CMS Energy Corporation 9 10 180 Consolidated Edison Inc. 18 19 377 Dominion Energy Inc. 37 38 106 DTE Energy Company 14 15 412 Duke Energy Corporation 44 43 188 Edison International 19 15 103 Entergy Corporation 10 10 182 Eversource Energy 14 14 566 Exelon Corporation 27 28 262 FirstEnergy Corp. 11 10 277 NextEra Energy Inc. 48 54 179 NiSource Inc. 6 6 173 NRG Energy Inc. 4 6 300 PG&E Corporation 24 17 62 Pinnacle West Capital Corporation 6 7 403 PPL Corporation 20 16 298 Public Service Enterprise Group Inc. 18 19 80 SCANA Corporation 7 4 145 Sempra Energy 21 19 583 The Southern Company 38 35 181 WEC Energy Group Inc. 14 15 295 Xcel Energy Inc. 17 18

492 488

REAL ESTATE – 2.9%

56 Alexandria Real Estate Equities Inc. 8 9 251 American Tower Corporation 39 45 92 Apartment Investment & Management Company 5 5 81 AvalonBay Communities Inc. 20 18 89 Boston Properties Inc. 15 15 179 CBRE Group Inc. 8 10 236 Crown Castle International Corp. 29 33 122 Digital Realty Trust Inc. 17 17 209 Duke Realty Corporation 7 7 46 Equinix Inc. 23 26 216 Equity Residential 19 17 39 Essex Property Trust Inc. 12 12




December 31, 2017



$ $$ $71 Extra Space Storage Inc. 8 8

44 Federal Realty Investment Trust 8 7 368 GGP Inc. 12 11 269 HCP Inc. 10 9 422 Host Hotels & Resorts Inc. 10 11 155 Iron Mountain Incorporated 7 7 241 Kimco Realty Corporation 7 5 71 The Macerich Company 6 6 65 Mid-America Apartment Communities Inc. 8 8 313 Prologis Inc. 21 25 89 Public Storage 27 23 160 Realty Income Corporation 12 11 90 Regency Centers Corporation 8 8 70 SBA Communications Corporation 14 14 182 Simon Property Group Inc. 42 39 61 SL Green Realty Corporation 8 8 160 UDR Inc. 8 8 206 Ventas Inc. 17 16 101 Vornado Realty Trust 12 10 214 Welltower Inc. 19 17 441 Weyerhaeuser Company 18 20

484 485

Total U.S. Equities 14,596 16,465

INTERNATIONAL EQUITIES – 2.1%

BERMUDA – 0.1%

26 Everest Re Group Ltd. 9 7 154 XL Group Ltd. 8 7

17 14

IRELAND – 1.0%

362 Accenture PLC, Class A 57 69 53 Allegion PLC 5 5 793 Medtronic PLC 82 80 78 Perrigo Company PLC 10 9

154 163

SWITZERLAND – 0.5%

272 Chubb Limited 47 50 65 Garmin Ltd. 4 5 207 TE Connectivity Ltd. 20 24

71 79

UNITED KINGDOM – 0.5%

149 Aon PLC 23 25 155 Aptiv PLC 16 17 215 IHS Markit Ltd. 13 12 88 Michael Kors Holdings Limited 5 7 101 Pentair PLC 8 9 257 TechnipFMC PLC 11 10 80 Willis Towers Watson PLC 14 15

90 95

Total International Equities 332 351

Transaction Costs 0

TOTAL INVESTMENTPORTFOLIO – 99.7% $ 14,928 $ 16,816

OTHER NET ASSETS(LIABILITIES) – 0.3% 43

TOTAL NET ASSETS – 100.0% $ 16,859




December 31, 2017

(A) THE FUND

(I) The Fund was incepted on February 23, 2016 and its start date was on March 22,2016. The units of the Fund were available for purchase on the Toronto Stock Exchange(“TSX”) effective March 30, 2016. The TSX ticker symbol for the Fund is TPU.

(II) TDAM is the trustee, manager, portfolio adviser and promoter of the Fund. As atDecember 31, 2017, TD and funds managed by TDAM held 54.1% (December 31, 2016:57.0%) of the net assets 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 track, to the extent reasonablypossible and before the deduction of fees and expenses, the performance of a broadU.S. equity market index that measures the investment return of large-capitalizationU.S. stocks. In seeking to achieve this objective, the Fund currently invests in and holdsa proportionate share of securities included in the S&P 500 Index (C$). The Fund mayalso invest in other investment funds, exchange-traded funds, or derivatives, to obtainexposure to such securities.

(V) The closing price as at December 31, 2017 was $18.81.

(B) MANAGEMENT FEES (%) (Note 6)for the periods ended December 31, 2017 and 2016

Annual Rate(exclusive of GST and HST)

Management Fee Waived Fund Year per Prospectus Management Fee Management Fee

TPU 2017 0.10 0.00 0.102016 0.10 0.00† 0.10†

† The management fee reported represents the annualized fee from the start date tothe period ended December 31, 2016.

The amount payable (in 000s) to TDAM as at December 31, 2017 for managementfees is $0 (December 31, 2016: $0), which is included in Accrued Liabilities on theStatements of Financial Position.

(C) BROKERAGE COMMISSIONS AND SOFT DOLLARS ( in 000s)

for the periods ended December 31, 2017 and 2016 (Notes 3 and 6)

Not significant or applicable to the Fund.

(D) TAX LOSS CARRY FORWARDS ( in 000s) (Note 7)as at December 31, 2017

None for the Fund.

(E) SECURITIES LENT (Note 3)

(I) Securities Lending Income


(II) Securities Lent and Collateral Held ( in 000s)

The table below summarizes the aggregate securities lent and related collateral heldby the Fund as at December 31, 2017 and 2016.


Fair Value of Securities Lent $ 477 $ 0

Fair Value of Collateral Held 501 0

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

(F) FINANCIAL RISK MANAGEMENT (Notes 3, 4 and 8)as at December 31, 2017 and 2016

(I) Interest Rate Risk


(II) Currency RiskThe following tables indicate the foreign currencies to which the fund had exposure to as at December 31, 2017 and 2016 in Canadian dollar terms, including theunderlying principal amount of foreign exchange forward contracts, as applicable. The tables also illustrate the potential impact to the Fund’s net assets if the Fund’sfunctional currency, the Canadian dollar, had strengthened or weakened by 5 percentin relation to all exposure to other currencies, with all other variables held constant. In practice, the actual trading results may differ from these approximate sensitivityamounts and the differences could be material.

ForeignExchange

Financial Forward Total Impact onCurrency (in 000s) Instruments Contracts Exposure* Net Assets*

December 31, 2017

United States Dollar $ 16,859 $ 0 $ 16,859 $ 843

As Percentageof Net Assets (%) 100.0 5.0

Total Impact onCurrency (in 000s) Exposure* Net Assets*

December 31, 2016

United States Dollar $ 8,414 $ 421

As Percentageof Net Assets (%) 100.0 5.0

* Includes both monetary and non-monetary instruments, where applicable.

(III) Other Price RiskThe table below summarizes the impact of other price risk to the Fund. As atDecember 31, 2017 and 2016, had the benchmark of the Fund increased ordecreased by 5 percent, with all other variables held constant, the net assets of theFund would have increased or decreased by approximately:

Impact on Net Assets ( in 000s)

December 31, December 31,Benchmark 2017 2016

S&P 500® Total Return Index (C$) $ 874 $ 449

Impact on Net Assets (%)

December 31, December 31,Benchmark 2017 2016

S&P 500® Total Return Index (C$) 5.2 5.3

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

(IV) Credit Risk


(V) Financial Instruments by the Level in the Fair Value Hierarchy ( in 000s)

The table below illustrates the classification of the Fund’s financial instruments withinthe fair value hierarchy as at December 31, 2017 and 2016.

Level 1 Level 2 Level 3 Total

December 31, 2017

Common Shares $ 16,816 $ 0 $ 0 $ 16,816

December 31, 2016

Common Shares $ 8,396 $ 0 $ 0 $ 8,396

As at the end of the periods, transfers between Level 1 and Level 2 were nil.

(VI) Reconciliation of Level 3 Fair Value Measurements ( in 000s)


(VII) Contractual Maturities Analysis for Financial Liabilities

As at December 31, 2017 and 2016, the Fund’s net assets are due on demand. Allother financial liabilities of the Fund are due in less than three months.

FUND-SPECIFIC NOTES TO THE FINANCIAL STATEMENTS





(G) INVESTMENT PORTFOLIO CONCENTRATION (%) (Note 8)

As at December 31, 2017 and 2016, the Fund’s investment portfolio concentrationcan be summarized as follows:


U.S. EquitiesEnergy 6.0 7.5Materials 3.0 2.8Industrials 10.0 10.2Consumer Discretionary 12.0 11.9Consumer Staples 8.2 9.4Health Care 13.2 13.0Financials 14.2 14.3Information Technology 23.2 19.8Telecommunication Services 2.0 2.6Utilities 2.9 3.1Real Estate 2.9 2.8International EquitiesBermuda 0.1 0.0Ireland 1.0 1.1Singapore 0.0 0.4Switzerland 0.5 0.5United Kingdom 0.5 0.4Other Net Assets (Liabilities) 0.3 0.2

100.0 100.0

(H) INTEREST IN UNCONSOLIDATED STRUCTURED ENTITIES ( in 000s)

(Note 3)as at December 31, 2017 and 2016


(I) OFFSETTING OF FINANCIAL ASSETS AND LIABILITIES ( in 000s) (Note 3)as at December 31, 2017 and 2016


FUND-SPECIFIC NOTES TO THE FINANCIAL STATEMENTS


The S&P 500® Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and has been licensed foruse by TD Asset Management Inc. (“TDAM”). Standard & Poor’s®, S&P® and S&P 500® are registered trademarks of Standard & Poor’sFinancial Services LLC, a division of S&P Global (“S&P”); Dow Jones®, Dow Jones Industrial Average® and DJIA® are registered trademarksof Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certainpurposes by TDAM. The TD S&P 500 Index ETF is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P or their respectiveaffiliates, and none of such parties make any representation regarding the advisability of investing in the TD S&P 500 Index ETF nor do theyhave any liability for any errors, omissions, or interruptions of the S&P 500® Index.


December 31, 2017 13 Annual Financial Statements

NOTES TO THE FINANCIAL STATEMENTS

1. THE FUNDThe TD Exchange-Traded Funds (collectively, the “Funds” and individually, the “Fund”) are open-end mutual funds established astrusts under the laws of the Province of Ontario and governed by the Declaration of Trust, as amended from time to time. The Fundsare authorized to issue an unlimited number of redeemable, transferrable units of an unlimited number of classes of units, each ofwhich represents an equal, undivided interest in the net assets of the Funds. The Funds currently offers one class of units denominatedin Canadian dollars. Units of the Funds are listed on the Toronto Stock Exchange (“TSX”).

TD Asset Management Inc. (“TDAM”) is the trustee, manager, portfolio adviser and promoter of the Funds. TDAM has entered into anagreement with TD Securities Inc. (“TDS”) to act as a designated broker and dealer to perform certain duties for the Funds. TDAM, TDSand TD Waterhouse Canada Inc. (“TDW”) are wholly-owned subsidiaries of The Toronto-Dominion Bank (“TD”). The registered addressof 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 of the Funds is December 31. The Statements of Financial Position are presented as at December 31, 2017 and2016. The Statements of Comprehensive Income, Changes in Net Assets Attributable to Holders of Redeemable Units and Cash Flowsare presented for the periods ended December 31, 2017 and 2016. Where a Fund was established during either reporting period, theinformation for such Fund is provided from the inception date, except Weighted Average Units Outstanding for the Period, which iscalculated from the start date.

The Funds’ start date as indicated in the Fund-Specific Notes to the Financial Statements is the date that the Funds commenced operationsand not the inception date.

These financial statements were authorized for issue by TDAM on March 16, 2018.

2. BASIS OF PRESENTATIONThese financial statements have been prepared in compliance with International Financial Reporting Standards (“IFRS”) as published bythe International Accounting Standards Board (“IASB”). These financial statements have been prepared under the historical costconvention, as modified by the revaluation of financial assets and financial liabilities (including derivative financial instruments) at fairvalue through profit or loss (“FVTPL”).

3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Financial Instruments

The Funds recognize financial instruments at fair value upon initial recognition, plus transaction costs in the case of financial instrumentsnot measured at FVTPL. Regular way purchases and sales of financial instruments are recognized at their trade date. The Funds’ non-derivative investments, which are designated at FVTPL, and derivative assets and liabilities, which are classified as held for trading(“HFT”), are measured at FVTPL.

All other financial assets and liabilities are measured at amortized cost. Under this method, financial assets and liabilities reflect theamount required to be received or paid, discounted, when appropriate, at the contract’s effective interest rate.

The Funds have determined that they meet the definition of an ‘investment entity’ and as a result, they 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 withinvestment management services; commits to its investors that its business purpose is to invest funds solely for returns from capitalappreciation, investment income, or both; and measures and evaluates the performance of substantially all of its investments on a fairvalue basis. The significant judgment that the Funds have made in determining that they meet this definition is that fair value is theprimary measurement attribute used to measure and evaluate the performance of substantially all of the Funds’ investments. TheFunds’ investments may also include associates and joint ventures which are designated at FVTPL.

The Funds’ outstanding redeemable units may be redeemed for cash at a redemption discount to the closing price on the TSX. Suchreduced redemption price causes cash flows on redemption not to be substantially based on net asset value (“NAV”). Consequently,the outstanding redeemable units of the Funds are classified as financial liabilities in accordance with the requirements of IAS 32,“Financial Instruments: Presentation”.

The Funds’ accounting policies for measuring the fair value of their investments and derivatives are substantially similar to those usedin measuring their NAVs for transactions with unitholders. The NAV is the value of the total assets of a fund less the value of its totalliabilities determined, on each valuation date, in accordance with Part 14 of National Instrument 81-106, “Investment Fund ContinuousDisclosure”, for the purpose of processing unitholder transactions. Net Assets Attributable to Holders of Redeemable Units, alsoreferred to as net assets, refers to net assets calculated in accordance with IFRS. As at all dates presented, there were no differencesbetween the Funds’ NAV per unit and net assets per unit.



The NAV per unit of a Fund is computed by dividing the NAV of the Fund by the total number of units of the Fund outstanding atsuch time on each valuation date.

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 marketparticipants at the measurement date. The fair values of financial assets and liabilities traded in active markets (such as publicly tradedderivatives and marketable securities) are based on quoted market prices at the close of trading on the reporting dates. The Funds usethe last traded market price for both financial assets and financial liabilities where the last traded price falls within that day’s bid-askspread. In circumstances where the last traded price is not within the bid-ask spread, TDAM determines the point within the bid-askspread that is most representative of fair value based on the specific facts and circumstances. The Funds’ policy is to recognizetransfers into and out of the fair value hierarchy levels at the end of the reporting periods.

The fair values of financial assets and liabilities that are not traded in an active market, including over-the-counter derivatives, aredetermined using valuation techniques. The Funds use a variety of methods and makes assumptions that are based on marketconditions 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 othertechniques 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 recognizeddealers in such securities, where readily available. If securities have no available broker-dealer bid/ask quotes, TDAM uses its ownpricing model to price the securities. The pricing model will generally include the discounted cash flow valuation approach, theuse of a credit spread based on the terms of the security and the use of such credit and yield analysis comparables as TDAMbelieves are relevant in the circumstances. Debt instruments are valued based on mid prices, where readily available. Othervaluation techniques may be used, as described above, where applicable.

(b) Short-term debt instruments are valued based on quotations received from recognized investment dealers.

(c) Investments in underlying conventional mutual funds and TD Exchange-Traded Funds are generally valued at the NAV per seriesunit or NAV per class unit of the investment funds as reported by the investment funds’ managers.

(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 forwardrates at the measurement date applied to the contracts’ notional amount. The net change in unrealized appreciation or depreciationand the net realized gain or loss from closing out contracts are reflected in the Statement of Comprehensive Income as part ofNet Gain (Loss) on Derivatives.

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, Subscriptions Receivable, Interest Receivable, Dividends Receivable,Receivable for Investments Sold, Bank Overdrafts, Payable for Investments Purchased, Redemptions Payable, Distributions Payable andAccrued Liabilities approximate their fair values due to their short-term nature.

Fair values are classified as Level 1 when the related security or derivative is actively traded and a quoted price is available. If an instrumentclassified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1. In such cases, an instrument is reclassifiedinto Level 2, unless the measurement of its fair value requires the use of significant unobservable inputs, in which case it is classified as Level 3.

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and thelowest 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 thispurpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement usesobservable 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 factorsspecific to the asset or liability.

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

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

The classification of the Funds’ financial instruments within the fair value hierarchy as at December 31, 2017 and 2016, and any transfersbetween levels at the end of the reporting periods as a result of changes in the lowest level input that is significant to the fair valuemeasurement are disclosed in the Fund-Specific Notes to the Financial Statements, 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 whocontrols the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by meansof contractual arrangements. TDAM has determined that all of the underlying funds in which the Funds invest are unconsolidatedstructured entities. In making this determination, TDAM evaluated the fact that decision making about underlying funds’ activities isgenerally 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 andcapital growth potential. The Funds’ interests in these securities as at December 31, 2017 and 2016 are included at their fair value inthe Statements of Financial Position, which represents the Funds’ exposure in these underlying funds. The Funds do not provide andhave not committed to provide any additional significant financial or other support to the underlying funds. Realized gain or loss andthe change in fair value of each of the underlying funds during the reporting periods are included in Net Gain (Loss) on Investments in the Statements of Comprehensive Income. Additional information on the Funds’ interests in underlying funds, where applicable, isprovided in the Schedule of Investment Portfolio and Fund-Specific Notes to the Financial Statements.

The Funds 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 residentialor commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banksand others. The debt and equity securities issued by these securities may include tranches with varying levels of subordination. TheFunds may invest in senior notes that have a first lien on assets and have minimum exposure to junior or subordinate tranches. Thesesecurities may provide a monthly payment which consists of both interest and principal payments. Other asset-backed securities arecreated from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans.

As at December 31, 2017 and 2016, the fair values of mortgage-related and other asset-backed securities of the Funds, where applicable,are disclosed as part of Investments in the Statements of Financial Position. These amounts represent the maximum exposure to losses atthose dates. The change in fair value of mortgage-related and other asset-backed securities during the reporting periods are included inthe Net Change in Unrealized Appreciation/Depreciation in the Statements of Comprehensive Income in Net Gain (Loss) on Investments.

Translation of Foreign Currencies

A Fund’s functional currency, as disclosed in the Fund-Specific Notes to the Financial Statements, represents the currency that TDAMviews to most faithfully represent the economic effects of the Fund’s underlying transactions, events and conditions taking intoconsideration 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 thattransactions occur. Realized foreign exchange gains and losses on income are recognized in investment income in the Statements ofComprehensive Income. Assets and liabilities denominated in a foreign currency are translated into the functional currency using theexchange rate prevailing at the measurement date. Foreign exchange gains and losses on the sale of investments are included in NetRealized Gain (Loss). Unrealized foreign exchange gains and losses on investments held and other assets and liabilities are included inNet Change in Unrealized Appreciation/Depreciation. Realized and unrealized foreign exchange gains and losses relating to cash arepresented as Foreign Exchange Gain (Loss) on Cash in the Statements of Comprehensive Income.



Offsetting 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 alegally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis or realize the asset andsettle the liability simultaneously. In all other situations they are presented on a gross basis. In the normal course of business, the Fundsmay enter into various master netting agreements or other similar arrangements that do not meet the criteria for offsetting in theStatements of Financial Position but still allow for the related amounts to be set-off in certain circumstances, such as bankruptcy or thetermination of the contracts. Offsetting information, where applicable, is presented in the Fund-Specific Notes to the Financial Statements.

Cash

Cash includes deposits with financial institutions. Bank overdrafts are shown under Current Liabilities in the Statements of Financial Position.

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 yetsettled or delivered on the Statements of Financial Position dates.

Impairment of Financial Assets

At each reporting date, the Funds assess whether there is objective evidence that a financial asset at amortized cost is impaired. If suchevidence exists, the Funds recognize an impairment loss as the difference between the amortized cost of the financial asset and thepresent value of the estimated future cash flows, discounted using the instrument’s original effective interest rate. Impairment losseson financial assets at amortized cost are reversed in subsequent periods if the amount of the loss decreases and the decrease can berelated objectively to an event occurring after the impairment is recognized.

Income Recognition

The Funds may engage in securities lending pursuant to the terms of an agreement which includes restrictions as set out in Canadiansecurities legislation. The income earned from securities lending, where applicable, is included in the Statements of ComprehensiveIncome when it is received. The fair value of the securities loaned and fair value of the collateral held are determined daily. Thebreakdown of securities lending income, aggregate values of securities on loan and related collateral held by the Funds are provided in the Fund-Specific Notes to the Financial Statements, where applicable.

Interest for Distribution Purposes as shown in the Statements of Comprehensive Income includes interest income from cash and thecoupon interest on debt instruments accounted for on an accrual basis. Interest Receivable is disclosed in the Statements of FinancialPosition based on the debt instruments’ stated rates of interest. The Funds do not amortize premiums paid or discounts received onthe purchase of debt securities except for zero coupon bonds which are amortized.

Dividend income from exchange-traded funds (ETFs) and distributions from any underlying mutual funds are recognized on the ex-dividend and ex-distribution date, respectively. Distributions received from ETFs, that are not managed by TDAM, are recognizedand presented in the financial statements based on the nature of the underlying components such as interest income, dividend income,capital gains and return of capital.

Investment Transactions and Transaction Costs

For the purposes of calculating realized and unrealized gains and losses from investment transactions, the cost of each investment securityis determined on an average cost basis, excluding transactions costs.

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

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

The Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units – Per Unit is calculated by dividing the Increase(Decrease) in Net Assets Attributable to Holders of Redeemable Units by the weighted average units outstanding for that reporting period.

Accounting Standards Issued but Not Yet Adopted

The final version of IFRS 9, “Financial Instruments” was issued by the IASB in July 2014 and will replace IAS 39, “Financial Instruments:Recognition and Measurement”. IFRS 9 introduces a model for classification and measurement, a single, forward-looking ‘expectedloss’ impairment model and a substantially reformed approach to hedge accounting. The new single, principle based approach fordetermining the classification of financial assets is driven by cash flow characteristics and the business model in which an asset is held.



The new model also results in a single impairment model being applied to all financial instruments, which will require more timelyrecognition of expected credit losses. It also includes changes in respect of own credit risk in measuring liabilities elected to bemeasured at fair value, so that gains caused by the deterioration of an entity’s own credit risk on such liabilities are no longer recognizedin profit or loss. IFRS 9 is effective for annual periods beginning on or after January 1, 2018. The manager has assessed the impact ofIFRS 9 by analyzing the current business model of the Funds and does not anticipate significant changes to the valuation of the Funds’financial instruments. As a result, the adoption of IFRS 9 is not expected to have a material impact on the Fund’s financial statements.

4. CRITICAL ACCOUNTING ESTIMATES AND JUDGMENTSThe preparation of financial statements requires management to use judgment in applying its accounting policies and to make estimatesand assumptions about the future. The following discusses the most significant accounting judgments and estimates that the Fundshave 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 useof valuation techniques for financial instruments and derivatives that are not quoted in an active market requires TDAM to makeassumptions that are based on market conditions existing as at the reporting date of the financial statements. Changes in assumptionsabout these factors could affect the reported fair values of financial instruments. Refer to the Fund-Specific Notes to the FinancialStatements for further information about the fair value measurement of the Funds’ financial instruments, where applicable.

Classification and Measurement of Investments and Application of the Fair Value Option

In classifying and measuring financial instruments held by the Funds, TDAM is required to make significant judgments about whetheror not the business of the Funds is to invest on a total return basis for the purpose of applying the fair value option for financial assetsunder IAS 39. The most significant judgments made include the determination that certain investments are HFT and that the fair valueoption can be applied to those which are not.

Investment Entity

In determining whether the Funds meet the definition of an investment entity, TDAM may be required to make significant judgmentsabout whether the Funds have the typical characteristics of an investment entity. The Funds may hold only one investment, anunderlying fund (or have only one investor or have investors that are its related parties), however, consistent with the investment entitydefinition, 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 incomeor both, and measures and evaluates the performance of its investments on a fair value basis.

5. REDEEMABLE UNITSThe Funds are listed on the TSX and investors are able to buy and sell units on the TSX through designated brokers and authorizeddealers in the province or territory where the investor resides. Investors may incur customary brokerage commissions in buying andselling units.

Units of the Funds are redeemable at the option of the unitholder in accordance with the provisions of the Declaration of Trust. Unitsare being issued and sold on a continuous basis and there is no maximum number of units that may be issued.

On any trading day, unitholders may redeem units of a Fund for cash at a redemption price per unit equal to the lower of: (i) 95% ofthe closing price for the units on the TSX on the effective day of the redemption; and (ii) the NAV per unit of the Fund on such tradingday. In order for a cash redemption to be effective on a trading day, a cash redemption request in the form prescribed by TDAM fromtime to time must be received by the applicable Fund at its registered office at or before the applicable cut-off time or at such othertime as TDAM may determine from time to time. If a cash redemption request is not received by the delivery deadline in respect of aparticular trading day, the cash redemption request will be effective only on the next trading day. Payment of the redemption price willbe made by no later than the second trading day after the effective day of the redemption, or such shorter period as may be requiredby Canadian securities regulatory authorities or at the discretion of TDAM.

TDAM reserves the right to cause the Funds to redeem the units held by a unitholder at a price equal to the NAV per unit on theeffective date of such redemption if TDAM believes it is in the best interest of the Funds to do so.

On any trading day, unitholders may subscribe for or exchange the prescribed number of units (or an integral multiple thereof) forbaskets of securities and cash, or with respect to TD International Equity Index ETF, cash only.



The closing price or mid price of the Funds’ redeemable units listed on the TSX as at December 31, 2017, where applicable, is disclosedin the Fund-Specific Notes to the Financial Statements.

6. RELATED PARTY TRANSACTIONS

Capital

TDAM, TDS and/or other investment funds managed by TDAM may invest in units of the Funds from time to time. The investmentmade by related parties is disclosed in the Fund-Specific Notes to the Financial Statements of the applicable Funds.

Management Fee

The Funds pay TDAM a management fee based on the average daily NAV of the applicable Funds. The management fee, plus applicabletaxes, is calculated and accrued daily and paid monthly to TDAM. Where a Fund invests in any underlying funds, there are fees andexpenses payable by the underlying funds in addition to those paid by the Fund. However, there is no duplication of management feespaid to TDAM or its affiliates if a Fund invests in underlying funds that are managed by TDAM.

Prior to February 23, 2017, the prospectus disclosed the maximum annual management fee rate that TDAM could charge to the Funds(so the actual management fee charged to the Funds might have been less than the maximum annual management fee rate). TDAMwas able to charge the maximum annual management fee without notice to unitholders. Effective February 23, 2017, the prospectusdiscloses a specified annual management fee rate. 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 themanagement fees of the Funds is provided in the Fund-Specific Notes to the Financial Statements.

Operating Expenses

Fund’s Independent Review Committee (“IRC”)

TDAM has established an IRC for each Fund to act as an impartial and independent committee to review and provide recommendationsor, if appropriate, approvals respecting any conflict of interest matters referred to it by TDAM. The IRC prepares, at least annually, areport of its activities for unitholders of the Funds.

The Funds and/or the underlying funds in which the Funds invest in relied on standing instructions from the IRC in respect of one ormore of the following transactions:

(a) trades in securities of TD or any affiliate or associate thereof;

(b) investments in the securities of an issuer where TDS, TDW, or any other affiliate of TDAM (a “Related Dealer”) acted as anunderwriter during the distribution of such securities and the 60-day period following the completion of the distribution of theunderwritten securities;

(c) purchases or sales of securities of an issuer from or to another investment fund or discretionary managed account managed byTDAM; and

(d) 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 theFunds at the end of the reporting period are disclosed in the Schedule of Investment Portfolio and/or the Fund-Specific Notes to theFinancial Statements.

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

Brokerage Commissions and Soft Dollars

Brokerage commissions (including other transaction costs) paid on securities transactions and amounts paid to related parties of TD forbrokerage services provided to the Funds for the periods ended December 31, 2017 and 2016, where applicable, are disclosed in theFund-Specific Notes to the Financial Statements.

Client brokerage commissions are used as payment for order execution services or research services. The portfolio advisers or TDAMmay select brokers including its affiliates, who charge a commission in excess of that charged by other brokers (“soft dollars”) if theydetermine 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 clientbrokerage commissions are not generated. For equities or other securities where client brokerage commissions are charged, the softdollar portion of the amount paid or payable for goods and services other than order execution for the Funds is not generally



ascertainable. Any ascertainable soft dollar value received as a percentage of total brokerage commissions paid under the soft dollar arrangement entered into by the portfolio advisers or TDAM, where applicable, is disclosed in the Fund-Specific Notes to the Financial Statements.

Other Operating Expenses

TDAM pays all of the operating expenses (including services provided by TDAM or affiliates of TDAM), other than costs and expensesassociated with: all taxes; borrowing; the IRC and compliance with any new governmental and regulatory requirements and new typesof costs or expenses.

TDAM is responsible for all other costs and expenses of the Funds, including the fees payable to the custodian, valuation agent,registrar and transfer agent and fees payable to other service providers retained by TDAM. TDAM is also responsible for all taxes forsuch cost and expenses.

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

The Funds also pays applicable goods and services tax and harmonized sales tax at a blended rate to TDAM, on management fees andcertain operating expenses based on the province or territory of residence of the investors of the Funds, which are included with therespective expense in the Statements of Comprehensive Income.

7. TAXATIONThe Funds qualify as mutual fund trusts under the Income Tax Act (Canada). All or substantially all of the net investment income andsufficient amounts of net capital gains realized in any period are distributed to unitholders such that no income tax is payable by theFunds. As a result, 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 FinancialPosition. The Funds’ capital and/or non-capital losses, where applicable, are provided in the Fund-Specific Notes to the FinancialStatements. Capital losses have no expiry. Non-Capital losses can be carried forward for up to twenty years.

In determining the amount of distributions payable to unitholders at the end of the year, net realized capital gains may be allocated toredeeming unitholders. This is disclosed in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units in theannual financial statements as net realized gains on investments with an offsetting notional reinvestment of the distribution.

Notional distributions are reinvested in additional units and these units will be immediately consolidated such that the number ofoutstanding units following the distribution will equal the number of outstanding units prior to the distribution. Such distributionsincrease the adjusted cost base of the unitholder.

The Funds currently incur withholding taxes imposed by certain countries on investment income and capital gains. Such income andgains are recorded on a gross basis and the related withholding taxes are reported as Tax Reclaims (Withholding Taxes) in theStatements of Comprehensive Income.

8. FINANCIAL RISK MANAGEMENTFinancial Risk Factors

Each Fund seeks to track, to the extent possible and before the deduction of fees and expenses, the performance of an index. TheFunds are exposed to a variety of financial risks: these may include market risk (including interest rate risk, currency risk, and otherprice risk), credit risk, liquidity risk and concentration risk. All investments present a risk of loss of capital.

(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 ofinterest-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 shortterm in nature and/or non-interest bearing and not subject to significant amounts of risk due to fluctuations in the prevailinglevels of market interest rates unless there are very significant interest rate shocks.



If a Fund invests in underlying funds, it is exposed to indirect interest rate risk to the extent of the interest-bearing financialinstruments held by the underlying funds. A Fund’s sensitivity exposure to interest rate risk, where significant, is disclosed in theFund-Specific Notes to the Financial Statements.

(ii) Currency Risk

A Fund may hold assets denominated in currencies other than its functional currency, which is the Canadian dollar. It istherefore exposed to currency risk, as the value of the assets denominated in other currencies will fluctuate due to changes in the foreign exchange rates of those currencies in relation to such Fund’s functional currency. A Fund may also enter intoforeign exchange forward contracts for hedging purposes to reduce its foreign currency exposure.

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

A Fund’s direct exposure to currency risk, where significant, is disclosed in the Fund-Specific Notes to the Financial Statements.

(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 arisingfrom interest rate risk or currency risk).

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 monthsof returns between a Fund and its benchmark. As such, beta inherently includes effects previously reflected in the interest rateand 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 underlyingfund invests in securities that trade on a market. Where a Fund invests in several underlying funds, the exposure to otherprice 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 to the Financial Statements.

(b) Credit RiskCredit risk is the risk that one party to a financial instrument will cause a financial loss to the other party by failing to discharge anobligation. A Fund’s main credit risk concentration is in debt instruments and derivative instruments it holds. Each Fund’s exposureto credit risk is the risk that an issuer of investments or a counterparty to derivative instruments will be unable to pay amounts infull when due. All transactions in listed securities are settled or paid for upon delivery using approved brokers. The risk of defaultwith a broker is considered minimal, as delivery of securities sold is only made once the broker has received payment. Payment ismade 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 also be exposed indirectly to credit risk if it invests in underlying funds in the event that the underlying funds invest indebt instruments and derivatives.

Where applicable, the direct exposure to credit risk is disclosed in the Fund-Specific Notes to the Financial Statements.

The Funds and the underlying funds only buy and hold short-term notes with a minimum R-1 Low credit rating by DBRS Limitedor an equivalent rating from another recognized credit rating agency. The credit risk from the use of counterparties for foreignexchange forward contracts is, where applicable, minimized by:

(i) using counterparties with a minimum credit rating of A by S&P Global Ratings (“SPGR”) or an equivalent rating from anotherrecognized 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’s investments in short term and debt instruments, by ratings categories, where applicable, are disclosed in the Fund-SpecificNotes to the Financial Statements.

The Funds may also engage in securities lending transactions with counterparties that have a minimum credit rating of A by SPGRor an equivalent rating from another credit agency. The value of securities held as collateral by the Funds in connection with thesetransactions is at least 102 percent of the fair value of the securities loaned. The collateral and loaned securities are marked tomarket on each business day. Information about securities lending income received by the Funds, the fair values of securities lentand collateral held, where applicable, is disclosed in the Fund-Specific Notes to the Financial Statements.



(c) Liquidity RiskLiquidity 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 insecurities that are traded in active markets and can be readily disposed. Where units are exchanged for baskets of securities ratherthan cash, the Funds are not exposed to any significant liquidity risk. In addition, the Funds retain sufficient cash and cash equivalentsto maintain liquidity, and have the ability to borrow up to 5 percent of its NAV for the purpose of funding redemptions.

The contractual maturities analysis for a Fund’s financial liabilities, where applicable, is disclosed in the Fund-Specific Notes to theFinancial Statements.

(d) Concentration RiskConcentration 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 to the Financial Statements.

Each Fund, which seeks to replicate the performance of an index, may have more of its net assets invested in one or more issuersthan is usually permitted for mutual funds. In addition, certain markets to which an index has exposure may be more concentratedin a particular sector or industry. Consequently, a Fund’s portfolio may be less diversified when compared to a less concentratedinvestment portfolio. Also, the NAV of such Fund may be more volatile than that of a more broadly-diversified portfolio and mayfluctuate substantially over short periods of time.

9. CAPITAL RISK MANAGEMENTUnits issued and outstanding represent the capital of the Funds. The Funds do not have any specific capital requirements on thesubscription and redemption of units, other than certain minimum subscription requirements. Changes in the Funds’ capital during thereporting periods are reflected in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. TDAM isresponsible for managing the capital of the Funds in accordance with each Fund’s investment objectives and for managing liquidity in order to meet redemption requests.

If applicable, the most recent financial statements of the underlying funds and ETFs managed by TDAM are available, without charge,by e-mail to [email protected], or by visiting our website at tdassetmanagement.com, or the SEDAR website at sedar.com, or bywriting to:

TD Asset Management Inc.P.O. Box 10066 Wellington Street WestTD Bank TowerToronto-Dominion CentreToronto, OntarioM5K 1G8

Currency Code Description Currency Code Description

AUD Australian Dollar ILS Israeli Shekel

CAD/C$ Canadian Dollar JPY Japanese Yen

CHF Swiss Franc NOK Norwegian Krone

DKK Danish Krone NZD New Zealand Dollar

EUR Euro SEK Swedish Krona

GBP British Pound SGD Singapore Dollar

HKD Hong Kong Dollar USD/US$ United States Dollar

Currency codes used throughout the report:


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

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® The TD logo and other trade-marks are the property of The Toronto-Dominion Bank.

Documents

Annual Financial Statements - TD Asset Management · 2018. 3. 26. · International Financial Reporting Standards, ... 46 International Flavors & Fragrances Inc. 8 9 243 International