INTERIM REPORT - Dynamic Funds

INTERIM REPORTPeriod ended December 31, 2021

TABLE OF CONTENTS

Management Responsibility for Financial Reporting 1

Dynamic Private Investment PoolsDynamic Active Core Bond Private Pool 2Dynamic Active Credit Strategies Private Pool 8Dynamic Alternative Managed Risk Private Pool Class 15Dynamic Asset Allocation Private Pool 21Dynamic Canadian Equity Private Pool Class 26Dynamic Conservative Yield Private Pool 30Dynamic Conservative Yield Private Pool Class 33Dynamic Global Equity Private Pool Class 37Dynamic Global Yield Private Pool 44Dynamic Global Yield Private Pool Class 51Dynamic International Dividend Private Pool 58Dynamic North American Dividend Private Pool 63Dynamic Premium Bond Private Pool 68Dynamic Premium Bond Private Pool Class 71Dynamic Tactical Bond Private Pool 75Dynamic U.S. Equity Private Pool Class 83

Notes to the Financial Statements 89

The accompanying financial statements of the Funds (as defined in Note 1) have been prepared by 1832 Asset Management L.P., in itscapacity as manager (the “Manager”) of the Funds, and have been approved by the Board of Directors of Dynamic Global Fund Corporation(“DGFC”), with respect to the Funds that are corporate funds (the “Corporate Funds”), and by the Board of Directors of 1832 AssetManagement G.P. Inc., as general partner for and on behalf of 1832 Asset Management L.P., in its capacity as trustee (the “Trustee”) of theFunds, with respect to the Funds that are trust funds (the “Trust Funds”). The Board of Directors of DGFC, with respect to the CorporateFunds, and the Board of Directors of 1832 Asset Management G.P. Inc., as general partner for and on behalf of 1832 Asset Management L.P.,with respect to the Trust Funds, are responsible for the information and representations contained in these financial statements and themanagement report of fund performance.

The Manager maintains appropriate processes to ensure that relevant and reliable financial information is produced. The financialstatements have been prepared in accordance with International Financial Reporting Standards (“IFRS”) and include certain amountsthat are based on estimates and judgments made by the Manager. The significant accounting policies which the Manager believes areappropriate for the Funds are described in Note 2 to the financial statements.

The Board of Directors of 1832 Asset Management G.P. Inc. has delegated responsibility for oversight of the financial reporting process tothe Finance Committee of the Board of Directors of 1832 Asset Management G.P. Inc. (the “Finance Committee”). The Finance Committeeis responsible for reviewing the financial statements and the management report of fund performance and recommending them to theBoards of Directors of DGFC and 1832 Asset Management G.P. Inc. for approval, in addition to meeting with management, internal auditorsand external auditors to discuss internal controls over the financial reporting process, auditing matters and financial reporting issues.

PricewaterhouseCoopers LLP is the external auditor of the Funds, appointed by the shareholders of the Corporate Funds and the Trusteeof the Funds. The auditor of the Funds has not reviewed these financial statements. Applicable securities laws require that if an externalauditor has not reviewed the Funds’ financial statements, this must be disclosed in an accompanying notice.

NEAL KERR

President1832 Asset Management L.P.

GREGORY JOSEPH

Chief Financial Officer1832 Asset Management L.P.

February 17, 2022

Dynamic Private Investment PoolsMANAGEMENT RESPONSIBILITY FOR FINANCIAL REPORTING

1

STATEMENTS OF FINANCIAL POSITIONAs at

(in $000s except per unit amounts)December 31,

2021June 30,

2021ASSETSCurrent assetsFinancial assets at fair value through profit or loss (note 2)

Non-derivative financial assets 1,301,221 1,227,499Derivatives 127 1

Cash 13,551 73,798Cash collateral deposited on derivatives 18 5Margin deposited on derivatives – 520Subscriptions receivable 307 1,798Accrued investment income and other 6,137 6,050Total assets 1,321,361 1,309,671

LIABILITIESCurrent liabilitiesFinancial liabilities at fair value through profit or loss (note 2)

Derivatives – 443Management fee payable (note 5) 58 64Payable for securities purchased – 1,082Redemptions payable 2,293 524Accrued expenses 46 46Total liabilities 2,397 2,159Net assets attributable to holders of redeemable units 1,318,964 1,307,512

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 28,061 31,284Series F 75,012 83,365Series I 2,465 2,510Series O 1,213,426 1,190,353

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNITSeries A 10.39 10.41Series F 9.55 9.58Series I 9.60 9.63Series O 10.59 10.71

STATEMENTS OF COMPREHENSIVE INCOMEFor the periods ended December 31 (note 1),

(in $000s except per unit amounts and average units) 2021 2020INCOMENet gain (loss) on financial assets and liabilities at fair value

through profit or lossInterest for distribution purposes 17,702 12,664Net realized gain (loss) on non-derivative financial assets (4,052) 3,859Change in unrealized gain (loss) on non-derivative financial

assets 2,577 (1,186)Net realized gain (loss) on derivatives 148 (687)Change in unrealized gain (loss) on derivatives 312 279

Net gain (loss) on financial assets and liabilities at fair valuethrough profit or loss 16,687 14,929

Securities lending (note 11) 2 5Net realized and unrealized foreign currency translation gain (loss) 5 (62)Total income (loss), net 16,694 14,872

EXPENSESManagement fees (note 5) 335 354Fixed administration fees (note 6) 254 225Independent Review Committee fees 1 1Interest expense 2 –Harmonized Sales Tax/Goods and Services Tax 61 67Transaction costs 15 5Total expenses 668 652Expenses absorbed by the Manager – (23)Net expenses 668 629Net increase (decrease) in net assets attributable to holders

of redeemable units from operations 16,026 14,243

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE UNITS FROM OPERATIONS PER SERIES

Series A 186 179Series F 699 996Series I 32 33Series O 15,109 13,035

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE UNITS FROM OPERATIONS PER UNIT†

Series A 0.06 0.08Series F 0.08 0.11Series I 0.12 0.12Series O 0.13 0.15

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 2,871,203 2,314,645Series F 8,520,665 9,495,278Series I 257,249 253,156Series O 113,391,332 83,688,303

† The increase (decrease) in net assets attributable to holders of redeemable units from operationsper unit is calculated by dividing the increase (decrease) in net assets attributable to holders ofredeemable units from operations per series by the weighted average number of units per series.

Dynamic Active Core Bond Private Pool (Unaudited)

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

2

STATEMENTS OF CHANGES IN NET ASSETSATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFor the periods ended December 31 (note 1),

(in $000s) 2021 2020NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, BEGINNING OF PERIOD

Series A 31,284 18,423Series F 83,365 96,642Series I 2,510 2,482Series O 1,190,353 880,838

1,307,512 998,385

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 186 179Series F 699 996Series I 32 33Series O 15,109 13,035

16,026 14,243

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSFrom net investment income

Series A (198) (198)Series F (834) (1,301)Series I (31) (43)Series O (28,910) (24,550)

From net realized gains on investmentsSeries A – (74)Series F – (335)Series I – (9)Series O – (5,159)

From return of capitalSeries A (70) –Series F (173) –Series I (6) –

(30,222) (31,669)

REDEEMABLE UNIT TRANSACTIONSProceeds from issue

Series A 1,504 15,140Series F 5,323 13,062Series I – 235Series O 128,179 157,239

Reinvested distributionsSeries A 258 254Series F 785 1,323Series I 32 47Series O 28,910 29,709

Payments on redemptionSeries A (4,903) (2,101)Series F (14,153) (13,267)Series I (72) (71)Series O (120,215) (24,618)

25,648 176,952

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A (3,223) 13,200Series F (8,353) 478Series I (45) 192Series O 23,073 145,656

11,452 159,526

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 28,061 31,623Series F 75,012 97,120Series I 2,465 2,674Series O 1,213,426 1,026,494

1,318,964 1,157,911

STATEMENTS OF CASH FLOWSFor the periods ended December 31 (note 1),

(in $000s) 2021 2020CASH FLOWS FROM OPERATING ACTIVITIESIncrease (decrease) in net assets attributable to holders of

redeemable units 16,026 14,243Adjustments for:

Net realized (gain) loss on non-derivative financial assets 4,052 (3,859)Change in unrealized (gain) loss on non-derivative financial

assets (2,577) 1,186Net realized (gain) loss on options 1,141 418Change in unrealized (gain) loss on derivatives (312) (279)Unrealized foreign currency translation (gain) loss 7 (3)Other non-cash transactions (1,090) (976)Purchases of non-derivative financial assets and liabilities (661,837) (426,977)Proceeds from sale of non-derivative financial assets and

liabilities 585,250 244,446Cash collateral deposited on derivatives (13) 665Payable for interest and dividends on short securities – (6)Margin deposited on derivatives 520 1,699Accrued investment income and other (87) (535)Accrued expenses and other payables (6) 18

Net cash provided by (used in) operating activities (58,926) (169,960)

CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable units 136,469 183,867Amounts paid on redemption of redeemable units (137,546) (40,365)Distributions to unitholders of redeemable units (237) (336)Net cash provided by (used in) financing activities (1,314) 143,166

Unrealized foreign currency translation gain (loss) (7) 3Net increase (decrease) in cash (60,240) (26,794)Cash (bank overdraft), beginning of period 73,798 114,909CASH (BANK OVERDRAFT), END OF PERIOD 13,551 88,118

Interest paid(1) 2 –Interest received, net of withholding taxes(1) 16,525 11,167Dividends paid(1) – 6

(1) Classified as operating items.



3

Par Value($000s)/

Number ofShares/Units

AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (89.1%)Canadian Bonds and Debentures (83.0%)Federal (11.4%)Canada Housing Trust, 0.95% Jun. 15 25 399 401 393Canadian Mortgage and Housing Corporation, 0.84%

Jun. 01 26 2,897 2,878 2,829Canadian Mortgage and Housing Corporation, 0.89%

Sep. 01 26 9,666 9,411 9,436Canadian Mortgage and Housing Corporation, 1.92%

Jan. 01 30 2,917 2,897 2,899Government of Canada, 0.25% Apr. 01 24 950 930 934Government of Canada, 1.25% Mar. 01 25 2,185 2,183 2,193Government of Canada, 0.50%, Sep. 01 25 1,491 1,451 1,456Government of Canada, 0.25% Mar. 01 26 1,450 1,383 1,394Government of Canada, 1.50% Jun. 01 26 24 24 24Government of Canada, 0.50% Dec. 01 30 18,800 17,433 17,412Government of Canada, 4.00% Dec. 01 31, Real Return

Bond 3,950 9,047 9,099Government of Canada, 0.50% Dec. 01 50, Real Return

Bond 8,453 10,857 11,119Government of Canada, 2.00% Dec. 01 51 81,238 84,342 87,425PSP Capital Inc., 1.50% Mar. 15 28 3,924 3,925 3,877

147,162 150,490Provincial (23.5%)Ontario Electricity Financial Corporation, 8.25%

Jun. 22 26 3,820 5,239 4,899Province of Alberta, 2.35% Jun. 01 25 3,420 3,489 3,522Province of British Columbia, 2.95% Dec. 18 28 11,358 12,014 12,235Province of British Columbia, 1.55% Jun. 18 31 13,107 12,602 12,632Province of British Columbia, 2.95% Jun. 18 50 15,875 18,177 17,622Province of Manitoba, 3.00% Jun. 02 28 8,098 8,467 8,695Province of Manitoba, 2.75% Jun. 02 29 3,800 4,203 4,031Province of Manitoba, 2.85% Sep. 05 46 7,807 8,036 8,243Province of New Brunswick, 3.80% Aug. 14 45 7,471 8,617 9,112Province of New Brunswick, 3.05% Aug. 14 50 3,800 4,046 4,181Province of Newfoundland, 2.65% Oct. 17 50 7,777 7,838 7,490Province of Nova Scotia, 2.00% Sep. 01 30 6,607 6,584 6,621Province of Nova Scotia, 3.15% Dec. 01 51 5,057 6,250 5,736Province of Ontario, 2.05% Jun. 02 30 45,920 46,586 46,322Province of Ontario, 5.60% Jun. 02 35 12,313 16,678 16,976Province of Ontario, 2.90% Jun. 02 49 39,247 42,111 42,577Province of Ontario, 2.65% Dec. 02 50 40,520 44,821 42,124Province of Quebec, 2.30% Sep. 01 29 13,850 14,838 14,310Province of Quebec, 3.10% Dec. 01 51 37,625 43,300 43,126

313,896 310,454Corporate (48.1%)407 International Inc., 2.47% Sep. 08 22, Series 17-D1 1,952 2,004 1,967Algonquin Power Co., 4.09% Feb. 17 27 772 805 837Algonquin Power Co., 2.85% Jul. 15 31 1,571 1,572 1,590Allied Properties Real Estate Investment Trust, 1.726%

Feb. 12 26, Series “H” 5,153 5,092 5,030AltaGas Ltd., 2.609% Dec. 16 22 7,679 7,841 7,778AltaGas Ltd., 3.57% Jun. 12 23, Series 10 629 664 644AltaGas Ltd., 4.12% Apr. 07 26 5,700 6,209 6,106AltaGas Ltd., 2.166% Mar. 16 27 9,518 9,530 9,367AltaGas Ltd., 2.075% May 30 28 8,603 8,497 8,317AltaGas Ltd., 2.477% Nov. 30 30 1,619 1,619 1,563AltaGas Ltd., 4.50% Aug. 15 44 1,032 1,164 1,114Bank of Montreal, 3.19% Mar. 01 28 12,959 13,571 13,874Bank of Montreal, 1.928% Jul. 22 31 4,079 4,087 4,015Bank of Nova Scotia (The), 1.85% Nov. 02 26 7,544 7,542 7,467Bank of Nova Scotia (The), 3.89% Jan. 18 29 6,985 7,399 7,278Bank of Nova Scotia (The), 2.836% Jul. 03 29 14,568 15,150 14,889BCI QuadReal Realty, 1.073% Feb. 04 26 3,027 3,023 2,934BCI QuadReal Realty, 1.747% Jul. 24 30 4,077 4,058 3,914Bell Canada, 2.75% Jan. 29 25 7,517 7,711 7,706Bell Canada, 3.60% Sep. 29 27 2,401 2,598 2,556Bell Canada, 2.90% Sep. 10 29 2,210 2,340 2,262Bell Canada, 3.50% Sep. 30 50 6,814 6,847 6,559Brookfield Asset Management Inc., 5.04% Mar. 08 24 7,450 8,167 7,921Brookfield Asset Management Inc., 4.82% Jan. 28 26 7,619 8,559 8,364Brookfield Asset Management Inc., 3.80% Mar. 16 27 1,000 1,106 1,069Brookfield Infrastructure Finance ULC, 3.315%

Feb. 22 24 4,852 4,921 5,003Brookfield Infrastructure Finance ULC, 3.41%

Oct. 09 29 8,685 8,997 9,061Brookfield Infrastructure Finance ULC, 2.855%

Sep. 01 32 1,573 1,573 1,540Bruce Power L.P., 4.00% Jun. 21 30 1,307 1,495 1,435Calgary Airport Authority, 3.199% Oct. 07 36,

Series “A” 2,202 2,202 2,262Canadian Imperial Bank of Commerce, 2.00%

Apr. 17 25 8,377 8,616 8,421Canadian Imperial Bank of Commerce, 2.95%

Jun. 19 29 4,561 4,715 4,671Canadian Imperial Bank of Commerce, 2.01%

Jul. 21 30 1,779 1,758 1,771Canadian Imperial Bank of Commerce, 1.96%

Apr. 21 31 3,183 3,187 3,141

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (89.1%) (cont’d)Canadian Bonds and Debentures (83.0%) (cont’d)Corporate (48.1%) (cont’d)Canadian Imperial Bank of Commerce, 4.375%

Oct. 28 80 3,033 3,106 3,142Canadian Pacific Railway Limited, 2.54% Feb. 28 28 5,061 5,060 5,147Capital Power Corporation, 4.986% Jan. 23 26 1,500 1,690 1,651Capital Power Corporation, 3.147% Oct. 01 32 2,860 2,801 2,821Cenovus Energy Inc., 3.50% Feb. 07 28 2,010 2,010 2,105CGI Inc., 2.10% Sep. 18 28 3,057 3,052 3,005CHIP Mortgage Trust, 1.738% Dec. 15 45,

Series 2020-1 1,745 1,750 1,725City of Toronto, 2.80% Nov. 22 49 3,983 4,311 4,097CNH Capital Canada Receivables Trust, 1.764%

Jun. 15 28, Series 21-2, Class “A2” 2,987 2,987 2,992CNH Industrial Capital Canada Ltd. 1.50% Oct. 01 24 2,397 2,395 2,371Crombie Real Estate Investment Trust, 3.211%

Oct. 09 30, Series “I” 974 974 984Daimler Canada Finance Inc., 2.14% Dec. 13 24 5,366 5,365 5,398Dream Industrial Real Estate Investment Trust,

0.8675% Jun. 17 24, Series “B” 3,761 3,762 3,745Enbridge Gas Inc., 5.46% Sep. 11 36 1,146 1,524 1,497Enbridge Gas Inc., 5.20% Jul. 23 40 3,350 4,266 4,374Enbridge Gas Inc., 3.01% Aug. 09 49 4,971 5,029 4,918Enbridge Gas Inc., 3.65% Apr. 01 50 2,061 2,323 2,282Enbridge Inc., 3.94% Jun. 30 23 6,574 6,955 6,770Enbridge Inc., 3.20% Jun. 08 27 8,493 9,026 8,827Enbridge Inc., 3.10% Sep. 21 33 3,902 3,895 3,855Enbridge Inc., 5.375% Sep. 27 77 8,105 8,338 8,574Enbridge Pipelines Inc., 8.20% Feb. 15 24, Series “K” 1,490 1,864 1,679Enbridge Pipelines Inc., 4.20% May 12 51 679 679 719Enbridge Southern Lights LP, 4.014% Jun. 30 40 405 404 430ENMAX Corporation, 3.331% Jun. 02 25, Series 6 1,786 1,803 1,856ENMAX Corporation, 3.836% Mar. 05 28, Series 4 11,062 11,799 11,819ENMAX Corporation, 3.876% Oct. 18 29 2,800 3,038 3,006EPCOR Utilities Inc., 2.411% Jun 30. 31 1,277 1,277 1,278Fortified Trust, 1.964% Oct. 23 26, Series 2021-1,

Class “A” 2,956 2,956 2,963Fortis Inc., 2.18% May 15 28 3,342 3,342 3,339Fortis Inc., 6.51% Jul. 04 39 756 1,136 1,079Fédération des caisses Desjardins du Québec, 2.856%

May 26 30 1,381 1,410 1,412General Motors Financial of Canada, Ltd., 5.95%


Apr. 15 26 6,448 6,468 6,308Gibson Energy Inc., 2.85% Jul. 14 27 4,658 4,835 4,738Great-West Lifeco Inc., 2.981% Jul. 08 50 1,207 1,213 1,156Great-West Lifeco Inc., 3.60% Dec. 31 81 2,092 2,092 2,057H&R Real Estate Investment Trust, 3.369% Jan. 30 24 1,826 1,849 1,878H&R Real Estate Investment Trust, 2.906% Jun. 02 26 7,580 7,667 7,703HCN Canadian Holdings-1 LP, 2.95% Jan. 15 27 1,365 1,373 1,397Honda Canada Finance Inc., 1.711% Sep. 28 26 1,155 1,155 1,136HSBC Bank Canada, 1.782% May 20 26 1,149 1,149 1,140Hydro One Inc., 4.89% Mar. 13 37 3,082 4,104 3,869Hydro One Inc., 4.39% Sep. 26 41, Series 23 1,443 1,767 1,745Hydro One Inc., 4.59% Oct. 09 43, Series 29 1,002 1,266 1,252Hydro One Inc., 2.71% Feb. 28 50, Series 47 1,241 1,215 1,173Intact Financial Corporation, 3.77% Mar. 02 26 3,907 4,111 4,176Intact Financial Corporation, 3.765% May 20 53 1,802 1,804 1,985Intact Financial Corporation, 4.125% Mar. 31 81 1,140 1,140 1,162Inter Pipeline Ltd., 4.232% Jun. 01 27 2,866 3,054 3,062Inter Pipeline Ltd., 3.983% Nov. 25 31 6,661 6,662 6,853Loblaw Companies Limited, 2.284% May 07 30 921 922 904Manulife Bank of Canada, 1.536% Sep. 14 26 3,281 3,281 3,216Manulife Financial Corporation, 3.40% Jun. 19 81 838 838 814Nissan Canada Inc., 1.626% Mar. 18 24 5,503 5,502 5,455North West Redwater Partnership/NWR

Financing Co. Ltd., 3.20% Apr. 24 26 4,377 4,483 4,568North West Redwater Partnership/NWR

Financing Co. Ltd., 2.00% Dec. 01 26, 1,596 1,593 1,583North West Redwater Partnership/NWR

Financing Co. Ltd., 4.25% Jun. 01 29, Series “F” 2,659 2,967 2,966North West Redwater Partnership/NWR

Financing Co. Ltd., 2.80% Jun. 01 31, 5,860 5,849 5,878North West Redwater Partnership/NWR

Financing Co. Ltd., 3.65% Jun. 01 35, Series “K” 690 754 722Nova Scotia Power Incorporated, 3.571% Apr. 05 49,

Series “AB” 1,021 1,104 1,098OMERS Finance Trust, 2.60% May 14 29 5,131 5,126 5,344OMERS Realty Corporation, 3.244% Oct. 04 27,

Series 9 2,955 3,039 3,135OMERS Realty Corporation, 3.628% Jun. 05 30,

Series 11 5,201 5,629 5,722Ontario Power Generation, 2.977% Sep. 13 29 1,776 1,961 1,858Ontario Power Generation, 2.947% Feb. 21 51 3,135 3,114 2,984Ontario Teachers’ Finance Trust, 1.10% Oct. 19 27 1,519 1,515 1,461Pembina Pipeline Corporation, 2.56% Jun. 01 23,

Series 14 2,042 2,123 2,070


SCHEDULE OF INVESTMENT PORTFOLIOAs at December 31, 2021

4

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (89.1%) (cont’d)Canadian Bonds and Debentures (83.0%) (cont’d)Corporate (48.1%) (cont’d)Pembina Pipeline Corporation, 4.02% Mar. 27 28,

Series 10 8,420 9,298 9,054Pembina Pipeline Corporation, 3.31% Feb. 01 30,

Series 15 2,544 2,555 2,618Pembina Pipeline Corporation, 3.53% Dec. 10 31,

Series 17 2,324 2,324 2,377Pembina Pipeline Corporation, 4.75% Mar. 26 48,

Series 11 1,972 2,173 2,157Real Estate Asset Liquidity Trust, 2.419% Jun. 12 54,

Series 2019-1, Class “A1” 2,211 2,211 2,238Real Estate Asset Liquidity Trust, 2.381% , Feb. 12 55,

Series 2020-1, Class “A1” 2,172 2,172 2,193Reliance LP, 3.75% Mar. 15 26 1,934 2,063 2,040Reliance LP, 2.68% Dec. 01 27 2,678 2,720 2,689Reliance LP, 2.67% Aug. 01 28 1,976 1,976 1,974RioCan Real Estate Investment Trust, 3.725%

Apr. 18 23, Series “T” 8,745 9,126 8,983RioCan Real Estate Investment Trust, 1.974%

Jun. 15 26, Series “AD” 5,000 4,952 4,918Rogers Communications Inc., 3.65% Mar. 31 27 5,447 6,058 5,735Rogers Communications Inc., 3.25% May 01 29 1,191 1,218 1,226Rogers Communications Inc., 5.00% Dec. 17 81 7,476 7,476 7,588Royal Bank of Canada, 2.609% Nov. 01 24 9,271 9,523 9,491Royal Bank of Canada, 1.833% Jul. 31 28 3,561 3,561 3,481Royal Bank of Canada, 2.88% Dec. 23 29 7,094 7,373 7,269Royal Bank of Canada, 2.10% Jun. 30 30 6,342 6,538 6,341Royal Bank of Canada, 2.14% Nov. 03 31 3,996 3,995 3,962Royal Bank of Canada, 1.67% Jan. 28 33 1,150 1,150 1,100Royal Bank of Canada, 4.50% Nov. 24 80 1,506 1,506 1,579Royal Bank of Canada, 4.00% Feb. 24 81 5,190 5,271 5,301SmartCentres Real Estate Investment Trust, 3.985%

May 30 23, Series “I” 3,405 3,604 3,518SmartCentres Real Estate Investment Trust, 3.556%

Feb. 06 25, Series “N” 3,583 3,674 3,736SmartCentres Real Estate Investment Trust, 1.74%

Dec. 16 25, Series “X” 4,082 4,080 3,996SmartCentres Real Estate Investment Trust, 3.192%

Jun. 11 27, Series “V” 4,000 4,098 4,124SmartCentres Real Estate Investment Trust, 3.526%

Dec. 20 29, Series “U” 6,451 6,583 6,730Sobeys Inc., 4.70% May 08 23, Series 2013-2 9,322 10,086 9,717Suncor Energy Inc., 5.39% Mar. 26 37 707 902 856TELUS Corporation, 2.75% Jul. 08 26, Series “CZ” 4,037 4,068 4,136TELUS Corporation, 3.30% May 02 29, Series “CY” 5,350 5,462 5,609TELUS Corporation, 3.95% Feb. 16 50, Series “CAB” 3,603 3,635 3,682TELUS Corporation, 4.10% Apr. 05 51, Series “CAE” 1,864 1,854 1,955Thomson Reuters Corporation, 2.239% May 14 25 4,585 4,748 4,634TMX Group Limited, 3.779% Jun. 05 28, Series “E” 6,451 6,767 7,067TMX Group Limited, 2.016% Feb.12 31, Series “F” 1,382 1,381 1,339Toronto Hydro Corporation, 3.27% Oct. 18 51,

Series 18 1,501 1,500 1,604Toronto-Dominion Bank (The), 3.589% Sep. 14 28 2,006 2,123 2,071Toronto-Dominion Bank (The), 3.224% Jul. 25 24 11,345 11,964 11,714Toronto-Dominion Bank (The), 3.105% Apr. 22 30 19,847 21,164 20,494TransCanada PipeLines Limited, 3.80% Apr. 05 27 17,020 18,663 18,190TransCanada PipeLines Limited, 2.97% Jun. 09 31 4,165 4,164 4,201Ventas Canada Finance Limited, 2.55% Mar. 15 23,

Series “D” 5,599 5,708 5,665

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (89.1%) (cont’d)Canadian Bonds and Debentures (83.0%) (cont’d)Corporate (48.1%) (cont’d)Ventas Canada Finance Limited, 2.80% Apr. 12 24,

Series “E” 2,334 2,346 2,384Ventas Canada Finance Limited, 4.125% Sep. 30 24,

Series “B” 3,023 3,144 3,187Ventas Canada Finance Limited, 2.45% Jan. 04 27,

Series “G” 2,873 2,867 2,889Ventas Canada Finance Limited, 3.30% Dec. 01 31,

Series “H” 2,425 2,417 2,469VW Credit Canada, Inc., 2.45% Dec. 10 26 5,958 5,952 6,015WSP Global Inc., 2.408% Apr. 19 28 4,870 4,846 4,860

639,642 634,606Foreign Bonds and Debentures (6.1%)United Kingdom (1.4%)BP Capital Markets PLC, 3.47% May 15 25 847 900 890Heathrow Funding Limited, 3.25% May 21 25,

Class “A” 11,388 11,770 11,761Heathrow Funding Limited, 2.694% Oct. 13 29 2,306 2,306 2,316Heathrow Funding Limited, 3.726% Apr. 13 35 3,141 3,201 3,265

18,177 18,232United States (4.7%)Athene Global Funding, 2.47% Jun. 09 28 3,941 3,910 3,889Bank of America Corporation, 2.932% Apr. 25 25 4,306 4,477 4,422Bank of America Corporation, 3.407% Sep. 20 25 1,194 1,251 1,242Bank of America Corporation, 1.978% Sep. 15 27 4,280 4,287 4,227Bank of America Corporation, 2.598% Apr. 04 29 4,880 4,930 4,929JPMorgan Chase & Co., 1.896% Mar. 05 28 9,223 9,212 9,074Metropolitan Life Global Funding I, 3.394% Apr. 09 30 3,370 3,772 3,610Morgan Stanley, 1.779% Aug. 04 27 2,558 2,558 2,507Verizon Communications Inc., 2.375% Mar. 22 28 4,752 4,748 4,759Walt Disney Company (The), 3.057% Mar. 30 27 11,191 11,791 11,614Wells Fargo & Company, 2.568% May 01 26 1,838 1,921 1,869Wells Fargo & Company, 2.493% Feb. 18 27 9,717 9,964 9,810

62,821 61,952UNDERLYING FUNDS (9.5%)Scotia Mortgage Income Fund, Series “I” 11,846,615 125,473 125,487PURCHASED OPTIONS (0.0%) 257 126AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (98.6%) 1,307,428 1,301,347TRANSACTION COSTS (0.0%) (4) –TOTAL AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (98.6%) 1,307,424 1,301,347UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.0%) 1CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) (1.0%)Canadian 12,978 12,978Foreign 574 573

13,552 13,551OTHER NET ASSETS (LIABILITIES) (0.4%) 4,065NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS (100.0%) 1,318,964

Schedule of Purchased Options

Underlying SecurityOption

TypeNumber ofContracts

Number ofShares

ExpirationDate

StrikePrice ($)

StrikePrice

Currency

PremiumPaid

($000s)

CurrentValue

($000s)United States Treasury 10 Year Bond Futures, $130.00 Put, Jan. 21 22 Put 254 254,000 21-Jan-22 130.00 USD 257 126

257 126

Schedule of Derivative Instruments

Unrealized Gain on Swap Contracts

Interest Rate Swaps (OTC)

TerminationDate

NotionalAmount ($)

Pay/ReceiveFloating

Rate

FixedInterest

Rate (%)

UnrealizedGain

($000s)Fixed to Floating Rate Swap,Counterparty: Merrill Lynch International, Credit Rating A-1

21-Jan-26 CAD 25,000 Receive 1.768 11



5

The Fund (note 1)

The Fund’s investment objective is to achieve a high level of interestincome and the potential for some long-term capital growth byinvesting primarily in an actively managed and diversified portfolio ofcorporate credit securities.

The Fund may also invest a portion of its assets in funds managed bythe Manager and/or by third party investment managers (the“Underlying Funds”). In addition to the risks described below, theFund could be exposed to indirect risk to the extent that the UnderlyingFunds held financial instruments that were subject to the belowrisks.

Risks associated with financial instruments (note 4)

Interest rate risk

Below is a summary of the Fund’s direct exposure to interest rate riskby the remaining term to maturity of the Fund’s portfolio, net ofshort positions, if applicable, excluding Underlying Funds, preferredshares, cash and overdrafts, as applicable.

Interest rate exposureDecember 31, 2021

($000s)June 30, 2021

($000s)

Less than 1 year 9,745 2,3331-3 years 95,409 100,7393-5 years 158,134 218,0415-10 years 512,193 367,824> 10 years 400,254 322,156

1,175,735 1,011,093

As at December 31, 2021, had the prevailing interest rates fluctuatedby 0.25%, assuming a parallel shift in the yield curve and all othervariables held constant, net assets attributable to holders ofredeemable units of the Fund would have decreased or increased by$26,221,000 or approximately 2.0% (June 30, 2021 – $22,240,000 orapproximately 1.7%). In practice, actual results may differ from thissensitivity analysis and the difference could be material.

Currency risk

Below is a summary of the Fund’s direct exposure to currency risk.Amounts shown are based on the carrying value of monetary and non-monetary assets and liabilities of the Fund net of currency contractsand short positions, as applicable.

December 31, 2021

Currency

Grosscurrencyexposure

($000s)

Currencycontracts

($000s)

Net currencyexposure

($000s)

Percentage ofnet assets

(%)

US dollar 124 – 124 0.0124 – 124 0.0

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar (1,047) – (1,047) (0.1)(1,047) – (1,047) (0.1)

As at December 31, 2021, if the Canadian dollar fluctuated by 10% inrelation to all other foreign currencies, with all other variables heldconstant, net assets attributable to holders of redeemable units ofthe Fund would have decreased or increased by $12,000 orapproximately 0.0% (June 30, 2021 – $105,000 or approximately0.0%). In practice, actual results may differ from this sensitivityanalysis and the difference could be material.

Price risk

As at December 31, 2021, approximately 9.5% (June 30, 2021 – 9.6%)of the Fund’s net assets were directly exposed to price risk. If prices ofthese instruments had fluctuated by 10%, with all other variablesheld constant, net assets attributable to holders of redeemable unitsof the Fund would have decreased or increased by approximately$12,561,000 (June 30, 2021 – $12,616,000). In practice, actual resultsmay differ from this sensitivity analysis and the difference could bematerial.

Credit risk

Below is a summary of the credit ratings of bonds and debentures,money market instruments and preferred shares held by the Fund, asapplicable.

December 31, 2021 June 30, 2021

Credit ratings

Percentage oftotal credit

ratedinstruments

(%)


(%)


ratedinstruments

(%)


(%)

AAA/A-1+ 13.8 12.3 10.0 8.4AA 13.6 12.2 13.3 11.2A/A-1 30.4 27.1 38.1 32.1BBB/A-2 41.9 37.3 38.4 32.4BB 0.3 0.2 0.2 0.1

100.0 89.1 100.0 84.2

Concentration risk

Below is a summary of the Fund’s concentration risk by carryingvalue as a percentage of net assets.

December 31, 2021 June 30, 2021

BONDS AND DEBENTURES 89.1 84.2Canadian Bonds and DebenturesFederal 11.4 7.7Provincial 23.5 24.0Corporate 48.1 45.7Foreign Bonds and DebenturesUnited Kingdom 1.4 1.6United States 4.7 5.2UNDERLYING FUNDS 9.5 9.6PURCHASED OPTIONS 0.0 –UNREALIZED GAIN (LOSS) ON DERIVATIVES 0.0 0.0CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) 1.0 5.6


FUND SPECIFIC NOTESFor the periods indicated in note 1

6

Fair value classification (note 2)

Below is a summary of the classification of the Fund’s financialinstruments within the fair value hierarchy.

December 31, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Bonds and debentures – 1,175,734 – 1,175,734Underlying Funds 125,487 – – 125,487Warrants, rights and options 126 – – 126Unrealized gain on swap contracts – 1 – 1

125,613 1,175,735 – 1,301,348

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Bonds and debentures – 1,101,342 – 1,101,342Underlying Funds 126,157 – – 126,157Unrealized gain on swap contracts – 1 – 1

126,157 1,101,343 – 1,227,500Unrealized loss on futures contracts (443) – – (443)

(443) – – (443)125,714 1,101,343 – 1,227,057

Transfers between levels

During the periods ended December 31, 2021 and June 30, 2021,there were no significant transfers between Level 1 and Level 2.

Offsetting of financial assets and liabilities (note 2)

Below is a summary of the offsetting of financial assets and liabilitiesand collateral amounts that would occur if future events, such asbankruptcy or termination of contracts, were to arise. No amountswere offset in the financial statements.

December 31, 2021

Financial assets – by type

Grossamount of

assets($000s)

Masternetting

offset($000s)

Collateralreceived($000s)

Net amount($000s)

Currency forward contracts – – – –Options contracts – OTC – – – –Swap contracts – OTC 1 – – –

1 – – 1

December 31, 2021

Financial liabilities – by type

Grossamount ofliabilities

($000s)

Masternetting

offset($000s)

Collateralpledged($000s)

Net amount($000s)

Currency forward contracts – – – –Options contracts – OTC – – – –Swap contracts – OTC – – – –

– – – –

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts – – – –Options contracts – OTC – – – –Swap contracts – OTC 1 – – 1

1 – – 1

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts – – – –Options contracts – OTC – – – –Swap contracts – OTC – – – –

– – – –

Interest in Underlying Funds (note 2)

Below is a summary of the Underlying Funds held by the Fund.

December 31, 2021

Carrying valueof the

Underlying Fund($000s)

Ownershippercentage in

Underlying Fund(%)

Scotia Mortgage Income Fund, Series “I” 125,487 6.9125,487

June 30, 2021




Underlying Fund(%)

Scotia Mortgage Income Fund, Series “I” 126,157 7.6126,157

Comparison of net asset value per unit and net assets per unit(note 2)

As at December 31, 2021 or June 30, 2021, there were no significantdifferences between the net asset value per unit and the net assets perunit for any series of the Fund.



7



2021June 30,


Non-derivative financial assets 745,821 678,777Derivatives 144 1,793

Cash 67,546 33,827Subscriptions receivable 290 980Accrued investment income and other 8,904 8,950Total assets 822,705 724,327


Derivatives 3,921 2,354Management fee payable (note 5) 35 24Payable for securities purchased – 1,356Redemptions payable 2,000 334Accrued expenses 40 34Total liabilities 5,996 4,102Net assets attributable to holders of redeemable units 816,709 720,225

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 17,456 9,098Series F 20,029 19,433Series FH (in equivalent CAD) 329 270Series I 410 187Series O 778,485 691,237

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIES – USDSeries FH 260 217

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNITSeries A 10.22 10.35Series F 8.43 8.65Series FH (in equivalent CAD) 11.48 11.53Series I 9.38 9.52Series O 10.45 10.89

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT – USDSeries FH 9.07 9.30



through profit or lossDividends 179 126Interest for distribution purposes 22,413 13,604Net realized gain (loss) on non-derivative financial assets 1,176 5,770Change in unrealized gain (loss) on non-derivative financial

assets 20 13,872Net realized gain (loss) on derivatives (6,174) 20,130Change in unrealized gain (loss) on derivatives (3,216) 636



EXPENSESManagement fees (note 5) 158 91Fixed administration fees (note 6) 208 148Independent Review Committee fees 1 1Interest expense – 2Foreign withholding taxes/tax reclaims 6 14Harmonized Sales Tax/Goods and Services Tax 41 31Transaction costs 5 14Total expenses 419 301Expenses absorbed by the Manager (1) –Net expenses 418 301Net increase (decrease) in net assets attributable to holders



Series A 154 250Series F 275 2,014Series FH (in equivalent CAD) 11 9Series I 6 15Series O 13,654 51,005

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE UNITS FROM OPERATIONS PER SERIES – USD

Series FH 8 7


Series A 0.13 0.87Series F 0.11 0.75Series FH (in equivalent CAD) 0.38 0.34Series I 0.17 0.95Series O 0.20 1.01

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE UNITS FROM OPERATIONS PER UNIT – USD†

Series FH 0.30 0.26

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 1,218,190 286,965Series F 2,315,957 2,695,360Series FH 28,052 27,146Series I 31,988 15,371Series O 67,222,055 50,790,339


Dynamic Active Credit Strategies Private Pool (Unaudited)


8



Series A 9,098 2,726Series F 19,433 22,999Series FH 270 312Series I 187 92Series O 691,237 476,301

720,225 502,430

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 154 250Series F 275 2,014Series FH 11 9Series I 6 15Series O 13,654 51,005

14,100 53,293


Series A (258) (33)Series F (647) (365)Series FH (11) (5)Series I (10) (3)Series O (37,633) (19,567)

From net realized gains on investmentsSeries A (71) –Series F (144) –Series FH (2) –Series I (2) –Series O (7,244) –

From return of capitalSeries A – (22)Series F – (157)Series FH – (1)Series I – (1)

(46,022) (20,154)


Series A 8,806 355Series F 3,744 1,474Series FH 73 –Series I 223 90Series O 82,981 70,494

Reinvested distributionsSeries A 318 55Series F 399 263Series FH 1 –Series I 11 4Series O 44,877 19,567

Payments on redemptionSeries A (591) (269)Series F (3,031) (5,735)Series FH (13) –Series I (5) (12)Series O (9,387) (21,187)

128,406 65,099

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 8,358 336Series F 596 (2,506)Series FH 59 3Series I 223 93Series O 87,248 100,312

96,484 98,238

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 17,456 3,062Series F 20,029 20,493Series FH 329 315Series I 410 185Series O 778,485 576,613

816,709 600,668




Net realized (gain) loss on non-derivative financial assets (1,176) (5,770)Change in unrealized (gain) loss on non-derivative financial

assets (20) (13,872)Change in unrealized (gain) loss on derivatives 3,216 (636)Unrealized foreign currency translation (gain) loss 1 1Purchases of non-derivative financial assets and liabilities (309,111) (406,971)Proceeds from sale of non-derivative financial assets and

liabilities 241,907 307,032Cash collateral deposited on derivatives – 3,067Accrued investment income and other 46 (1,740)Accrued expenses and other payables 17 3


CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable units 96,517 72,309Amounts paid on redemption of redeemable units (11,361) (27,078)Distributions to unitholders of redeemable units (416) (265)Net cash provided by (used in) financing activities 84,740 44,966

Unrealized foreign currency translation gain (loss) (1) (1)Net increase (decrease) in cash 33,720 (20,627)Cash (bank overdraft), beginning of period 33,827 45,308CASH (BANK OVERDRAFT), END OF PERIOD 67,546 24,680

Interest paid(1) – 2Interest received, net of withholding taxes(1) 22,468 11,854Dividends received, net of withholding taxes(1) 162 120




9

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (88.2%)Canadian Bonds and Debentures (38.4%)Federal (5.8%)Government of Canada, 0.50%, Nov. 01 23 39,600 39,101 39,279Government of Canada, 1.50% Jun. 01 26 3,490 3,535 3,534Government of Canada, 1.00% Jun. 01 27 4,675 4,608 4,615

47,244 47,428Provincial (4.7%)Province of Ontario, 1.90% Dec. 02 51 34,015 29,117 30,087Province of Quebec, 3.10% Dec. 01 51 7,380 9,667 8,459

38,784 38,546Corporate (27.9%)Air Canada, 4.625% Aug. 15 29 560 560 559Bank of Nova Scotia (The), 3.70% Jul. 27 81 1,493 1,493 1,460Baytex Energy Corp., 8.75% Apr. 01 27 USD 1,306 929 1,733Bell Canada, 1.65% Aug. 16 27 3,840 3,830 3,705Brookfield Asset Management Inc., 3.80% Mar. 16 27 3,369 3,423 3,602Brookfield Infrastructure Finance ULC, 3.315%


Sep. 01 32 5,100 5,100 4,994Calfrac Well Services Ltd, 10.00% Sep. 15 23 138 138 435Canadian Energy Services & Technology Corp., 6.375%

Oct. 21 24 2,235 2,081 2,311Crombie Real Estate Investment Trust, 3.677%

Aug. 26 26, Series “F” 2,305 2,478 2,421Crombie Real Estate Investment Trust, 3.211%

Oct. 09 30, Series “I” 2,830 2,830 2,858Enbridge Inc., 6.625% Apr. 12 78, Series “C” 2,980 3,191 3,377Enbridge Inc., 5.75% Jul. 15 80 USD 3,140 4,279 4,421Enbridge Pipelines Inc., 4.13% Aug. 09 46 1,275 1,352 1,331Fairfax Financial Holdings Limited, 4.95% Mar. 03 25 4,459 4,731 4,826Fairfax Financial Holdings Limited, 4.70% Dec. 16 26 2,430 2,465 2,647Fairfax Financial Holdings Limited, 4.25% Dec. 06 27 6,530 6,643 7,001Fairfax Financial Holdings Limited, 3.95% Mar 03 31 USD 4,575 4,600 4,770First Quantum Minerals Ltd., 7.25% Apr. 01 23 USD 1,472 1,982 1,887First Quantum Minerals Ltd., 6.875% Mar. 01 26 USD 3,302 4,260 4,346First Quantum Minerals Ltd., 6.875% Oct. 15 27 USD 3,671 4,984 5,005Ford Credit Canada Company, 3.742% May 08 23 5,615 5,340 5,718Ford Credit Canada Company, 4.46% Nov. 13 24 1,784 1,705 1,858Ford Credit Canada Company, 2.961% Sep. 16 26 3,125 3,126 3,060Gibson Energy Inc., 5.25% Dec. 22 80 6,855 6,920 6,905Hudbay Minerals Inc., 6.125% Apr. 01 29 USD 1,734 2,318 2,329Inter Pipeline Ltd., 3.983% Nov. 25 31 13,400 13,400 13,785Inter Pipeline Ltd., 5.091% Nov. 27 51 10,400 10,400 11,103Inter Pipeline Ltd., 6.625% Nov. 19 79, Series 19-B 2,355 2,316 2,504Keyera Corp., 6.875% Jun. 13 79 10,551 10,882 11,613Masonite International Corporation, 5.375% Feb. 01 28 USD 1,254 1,712 1,667MEG Energy Corp., 6.50% Jan. 01 25 USD 472 602 609MEG Energy Corp., 5.875% Feb. 01 29 USD 3,931 5,014 5,223NOVA Chemicals Corporation, 5.25% Jun. 01 27 USD 3,157 3,975 4,259NOVA Chemicals Corporation, 4.25% May 15 29 USD 1,338 1,654 1,703NuVista Energy Ltd., 7.875% Jul. 23 26 2,180 2,165 2,249Parkland Corporation, 3.875% Jun. 16 26 3,731 3,755 3,715Parkland Corporation, 5.80% Jul 15 27 USD 1,670 2,240 2,232Parkland Corporation, 4.50% Oct. 01 29 USD 12,286 15,546 15,587Parkland Corporation, 4.625% May 01 31 USD 4,471 5,587 5,633Pembina Pipeline Corporation, 4.80% Jan. 25 81 8,358 8,346 8,241Precision Drilling Corporation, 6.875% Jan. 15 29 USD 2,435 2,986 3,145Saputo Inc., 3.603% Aug. 14 25 879 898 924SECURE Energy Services Inc., 7.25% Dec. 30 26 4,741 4,768 4,811SmartCentres Real Estate Investment Trust, 3.444%

Aug. 28 26, Series “P” 3,912 3,945 4,084Strathcona Resources Ltd., 6.875% Aug. 01 26 USD 5,269 6,600 6,561Suncor Energy Ventures Holding Corporation, 6.00%

Apr. 01 42 USD 3,594 4,598 5,277Superior Plus LP, 4.25% May 18 28 4,075 4,075 4,109Superior Plus LP/General Partner Inc., 4.50%

Mar. 15 29 USD 1,165 1,474 1,518TELUS Corporation, 3.625% Mar. 01 28, Series “CX” 2,900 2,992 3,094TELUS Corporation, 3.30% May 02 29, Series “CY” 2,650 2,646 2,778TELUS Corporation, 2.05% Oct. 07 30 2,305 2,300 2,182Tervita Corporation, 11.00% Dec. 01 25 USD 470 663 686Tourmaline Oil Corp., 2.529% Feb. 12 29 2,630 2,630 2,607TransCanada PipeLines Limited, 4.55% Nov. 15 41 1,270 1,465 1,392Videotron Ltd., 5.625% Jun. 15 25 7,305 7,794 7,853Videotron Ltd., 4.50% Jan. 15 30 785 788 805

221,529 228,096Foreign Bonds and Debentures (49.8%)Bermuda (0.3%)Weatherford International Ltd., 8.625% Apr. 30 30 USD 1,960 2,475 2,579United Kingdom (0.6%)Virgin Media Secured Finance PLC, 5.00% Jul. 15 30 USD 3,507 4,524 4,423VMED O2 UK Financing I PLC, 4.75% Jul. 15 31 USD 553 705 710

5,229 5,133United States (48.9%)Aadvantage Loyalty Ip Ltd, 5.50% Apr. 20 28, Term

Loan USD 175 219 230

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (88.2%) (cont’d)Foreign Bonds and Debentures (49.8%) (cont’d)United States (48.9%) (cont’d)Albertsons Companies, Inc./Safeway Inc., 4.625%

Jan. 15 27 USD 736 993 979Albertsons Companies, Inc./Safeway Inc., 3.50%

Mar. 15 29 USD 1,010 1,197 1,283American Airlines, Inc., 5.50% Apr. 20 26 USD 3,515 4,563 4,633Antero Resources Corporation, 5.00% Mar. 01 25 USD 4,660 5,431 5,998Asbury Automotive Group, Inc., 4.625% Nov. 15 29 USD 500 623 646Asbury Automotive Group, Inc., 5.00% Feb. 15 32 USD 250 312 329Ascent Resources Utica Holdings, LLC/ARU Finance

Corporation, 9.00% Nov. 01 27 USD 495 806 839Ascent Resources Utica Holdings, LLC/ARU Finance

Corporation, 8.25% Dec. 31 28 USD 1,205 1,574 1,592Ashton Woods USA LLC / Ashton Woods Finance Co.,

4.625% Apr. 01 30 USD 380 481 473Atkore Inc., 4.25% Jun. 01 31 USD 908 1,096 1,180Avaya Inc., 6.125% Sep. 15 28 USD 1,230 1,622 1,653Babson CLO Ltd., 5.786% Apr. 15 30, Series 18-2A,

Class “D” USD 670 832 837Bath & Body Works Inc., 7.5% Jun. 15 29 USD 778 1,132 1,123Bausch Health Companies Inc., 7.00% Jan. 15 28 USD 647 919 816Bausch Health Companies Inc., 5.00% Feb. 15 29 USD 1,697 1,852 1,899Bed Bath & Beyond Inc., 5.165% Aug. 01 44 USD 2,673 2,962 2,815Benefit Street Partners CLO XII, Ltd., 6.646%

Oct. 15 30, Series 17-12A, Class “D” USD 1,732 2,134 2,152BlueMountain CLO Ltd., 6.164% Oct. 25 30, Series 18-

3A, Class “E” USD 1,054 1,268 1,267Caesars Entertainment, Inc., 8.125% Jul. 01 27 USD 465 645 652Callon Petroleum Company, 8.00% Aug. 01 28 USD 1,145 1,438 1,466Calpine Corporation, 4.50% Feb. 15 28 USD 737 984 967Calpine Corporation, 5.125% Mar. 15 28 USD 1,850 2,478 2,381Carnival Corporation, 10.50% Feb. 01 26 USD 3,275 4,703 4,736Carnival Corporation, 9.875% Aug. 01 27 USD 2,815 4,097 4,075Carnival Corporation, 4.00% Aug. 01 28 USD 420 527 529Carnival Corporation, 6.00% May 01 29 USD 2,725 3,373 3,438CCO Holdings, LLC / CCO Holdings Capital Corp.,

5.125% May 01 27 USD 2,950 4,059 3,850CCO Holdings, LLC / CCO Holdings Capital Corp.,

5.00% Feb. 01 28 USD 1,172 1,575 1,546CCO Holdings, LLC / CCO Holdings Capital Corp.,

4.25% Feb. 01 31 USD 3,750 4,903 4,797CCO Holdings, LLC / CCO Holdings Capital Corp.,

4.50% May 01 32 USD 3,160 4,275 4,121CCO Holdings, LLC / CCO Holdings Capital Corp.,

4.50% Jun. 01 33 USD 1,410 1,764 1,823CCO Holdings, LLC / CCO Holdings Capital Corp.,

4.25% Jan. 15 34 USD 1,035 1,259 1,291Cedar Fair LP/Canada’s Wonderland Co/Magnum

Management Corp/Millennium Op, 5.50%May 01 25 USD 2,955 3,900 3,875

Centene Corporation, 2.45% Jul. 15 28 615 772 768Centene Corporation, 4.625% Dec. 15 29 USD 7,375 9,908 10,082Centene Corporation, 3.375% Feb. 15 30 USD 2,550 3,099 3,298Centene Corporation, 2.625% Aug. 01 31 1,230 1,530 1,528Cheniere Energy Partners, L.P., 4.50% Oct. 01 29 USD 1,180 1,584 1,586Cheniere Energy Partners, L.P., 4.00% Mar. 01 31 USD 265 338 353CIFC Funding Ltd., 5.904% Apr. 24 30, Series 14-2RA,

Class “B2” USD 1,472 1,611 1,790Cinemark USA, Inc., 5.875% Mar. 15 26 USD 1,833 2,312 2,352Cinemark USA, Inc., 5.25% Jul. 15 28 USD 3,208 3,853 3,965Cleveland-Cliffs Inc., 9.875% Oct. 17 25 USD 2,999 4,390 4,300Cleveland-Cliffs Inc., 6.75% Mar. 15 26 USD 10,254 13,768 13,755Cleveland-Cliffs Inc., 5.875% Jun. 01 27 USD 4,543 5,627 5,993Cleveland-Cliffs Inc., 4.875% Mar. 01 31 USD 4,131 5,348 5,439CNX Resources Corporation, 7.25% Mar. 14 27 USD 2,047 2,807 2,751CNX Resources Corporation, 6.00% Jan. 15 29 USD 1,650 2,157 2,175Coeur Mining, Inc., 5.125% Feb. 15 29 USD 2,250 2,837 2,614Comstock Resources, Inc., 5.875% Jan. 15 30 USD 620 798 806Continental Resources, Inc., 5.75% Jan. 15 31 USD 3,350 5,169 5,000CSC Holdings, LLC, 4.625% Dec. 01 30 USD 495 594 594CSC Holdings, LLC, 3.375% Feb. 15 31 USD 1,320 1,525 1,567Curo Group Holdings Corp., 7.50% Aug. 01 28 USD 2,245 2,846 2,862Dave & Buster’s, Inc., 7.625% Nov. 01 25 USD 3,636 4,867 4,911Delta Air Lines, Inc., 7.00% May 01 25 USD 1,991 2,890 2,885Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75% Sep. 16 27 USD 1,425 1,907 1,912Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75% Oct. 20 27 USD 1,949 2,606 2,697Dryden Senior Loan Fund, 5.836% Jul. 15 30, Series 15-

38A, Class “ER” USD 1,174 1,363 1,441Dycom Industries, Inc., 4.50% Apr. 15 29 USD 910 1,147 1,175Emergent BioSolutions Inc., 3.875% Aug. 15 28 USD 1,444 1,711 1,757Endeavor Energy Resources, L.P., 5.75% Jan. 30 28 USD 988 1,295 1,327Endurance International Group Holdings, Inc., 6.00%

Feb. 10 21 USD 714 915 842EnLink Midstream Partners, LP, 5.05% Apr. 01 45 USD 270 314 330EPR Properties, 4.75% Dec. 15 26 USD 2,010 2,621 2,722Flex Acquisition Company, Inc., 7.875% Jul. 15 26 USD 1,062 1,444 1,396Ford Motor Credit Company LLC, 4.000% Nov. 13 30 USD 3,498 4,336 4,770



10

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (88.2%) (cont’d)Foreign Bonds and Debentures (49.8%) (cont’d)United States (48.9%) (cont’d)Fortress Transportation and Infrastructure Investors

LLC, 6.50% Oct. 01 25 USD 2,100 2,798 2,750Fortress Transportation and Infrastructure Investors

LLC, 9.75% Aug. 01 27 USD 756 1,025 1,073Fortress Transportation and Infrastructure Investors

LLC, 5.50% May. 01 28 USD 690 878 892Freedom Mortgage Corporation, 7.625%, May 01 26 USD 2,050 2,712 2,652Freeport-McMoRan Inc., 5.25% Sep. 01 29 USD 1,355 1,883 1,881Freeport-McMoRan Inc., 4.625% Aug. 01 30 USD 4,250 5,907 5,778Frontier Communications Corporation, 6.00%

Jan. 15 30 USD 245 308 312Galaxy XXV CLO, Ltd., 6.164% Oct. 25 31, Series 18-

25A, Class “E” USD 1,422 1,765 1,778Gap, Inc. (The), 3.625% Oct. 01 29 USD 2,203 2,702 2,762Gap, Inc. (The), 3.875% Oct. 01 31 USD 2,492 3,059 3,116Genesis Energy, L.P. / Finance Corporation, 6.50%

Oct. 01 25 USD 1,020 1,270 1,276Genesis Energy, L.P. / Finance Corporation, 6.25%

May 15 26 USD 1,956 2,461 2,416Genworth Mortgage Holdings, Inc., 6.50% Aug. 15 25 USD 3,350 4,529 4,636Hawaiian Brand Intellectual Property, Ltd., 5.75%

Jan. 20 26 USD 2,900 3,867 3,845Hilcorp Energy I, L.P. / Hilcorp Finance Company, 5.75%

Feb. 01 29 USD 1,435 1,809 1,874Hilcorp Energy I, L.P. / Hilcorp Finance Company, 6.00%

Feb. 01 31 USD 2,106 2,676 2,755Hilton Domestic Operating Company Inc., 4.00%

May. 01 31 USD 975 1,287 1,265Howard Hughes Corporation (The), 5.375% Aug. 01 28 USD 3,168 4,207 4,276Howard Hughes Corporation (The), 4.125% Feb. 01 29 USD 2,770 3,491 3,558Howard Hughes Corporation (The), 4.375% Feb. 01 31 USD 3,690 4,610 4,724Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

4.75% Sep. 15 24 USD 673 889 885Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

5.25% May 15 27 USD 1,168 1,462 1,521International Game Technology PLC, 4.125%

Apr. 15 26 USD 1,052 1,317 1,373Iron Mountain Incorporated, 4.875% Sep. 15 27 USD 1,272 1,674 1,672Iron Mountain Incorporated, 5.25% Mar. 15 28 USD 1,164 1,534 1,535Iron Mountain Incorporated, 5.00% Jul. 15 28 USD 326 442 425Iron Mountain Incorporated, 4.875% Sep. 15 29 USD 4,960 6,454 6,507Iron Mountain Incorporated, 5.25% Jul. 15 30 USD 345 468 461JBS USA Lux SA/JBS USA Food Co./JBS USA

Finance Inc., 5.50% Jan. 15 30 USD 745 994 1,027Kontoor Brands, Inc., 4.125% Nov. 15 29 USD 730 909 925Kraft Heinz Foods Company, 3.875% May 15 27 USD 602 848 824L Brands, Inc., 6.694% Jan. 15 27 USD 1,435 1,969 2,090Lamar Media Corp., 4.875% Jan. 15 29 USD 818 1,150 1,082Leeward Renewable Energy Operations, LLC, 4.25%

Jul. 01 29 USD 1,285 1,598 1,645Lithia Motors, Inc., 3.875% Jun. 01 29 USD 2,778 3,428 3,595Lithia Motors, Inc., 4.375% Jan. 15 31 USD 10,136 13,378 13,712LogMeIn, Inc., 4.889% Aug. 14 27 USD 807 1,042 1,017LogMeIn, Inc., 5.50% Sep. 01 27 USD 270 362 346MasTec, Inc., 4.50% Aug. 15 28 USD 650 870 856Mercer International Inc., 5.125% Feb. 01 29 USD 1,751 2,272 2,267Meritage Homes Corporation, 5.125% Jun. 06 27 USD 350 462 489Meritage Homes Corporation, 3.875% Apr. 15 29 USD 620 779 825Meritor, Inc., 6.25% Jun. 01 25 USD 1,995 2,751 2,635Meritor, Inc., 4.50% Dec. 15 28 USD 1,675 2,193 2,128MGM Growth / MGM Finance, 4.625% Jun. 15 25 USD 1,169 1,604 1,580MGM Growth / MGM Finance, 4.50% Sep. 01 26 USD 671 901 915MGM Resorts International, 4.75% Oct. 15 28 USD 1,224 1,603 1,598MPH Acquisition Holdings LLC, 5.75% Nov. 01 28 USD 465 572 561Nationstar Mortgage Holdings Inc., 5.125% Dec. 15 30 USD 3,423 4,266 4,284Nationstar Mortgage Holdings Inc., 5.75% Nov. 15 31 USD 1,290 1,594 1,627NCL Corporation Ltd., 5.875% Mar. 15 26 USD 990 1,252 1,249NCL Finance, Ltd., 6.125% Mar. 15 28 USD 132 167 165Neiman Marcus Group LTD LLC, 7.125% Apr. 01 26 USD 3,915 5,042 5,267Northern Oil and Gas, Inc., 8.125% Mar. 01 28 USD 3,661 4,686 4,895NRG Energy, Inc., 3.375% Feb. 15 29 USD 193 253 240NRG Energy, Inc., 3.625% Feb. 15 31 USD 963 1,274 1,190NRG Energy, Inc., 3.875% Feb. 15 32 USD 2,254 2,834 2,800OCP CLO Ltd., 6.737% Oct. 17 30, Series 14-6A,

Class “DR” USD 1,003 1,187 1,271OUTFRONT Media Capital LLC, 4.20% Jan. 15 29 USD 1,845 2,359 2,343OUTFRONT Media Capital LLC, 4.625% Mar. 15 30 USD 606 742 766Park Intermediate Holdings LLC, 4.875% May 15 29 USD 1,425 1,729 1,847Patterson-UTI Energy, Inc., 3.95% Feb. 01 28 USD 877 973 1,117PBF Holding Co. LLC/PBF Finance Corp., 7.25%

Jun. 15 25 USD 600 464 539PennyMac Financial Services, Inc., 5.75% Sep. 15 31 USD 1,295 1,599 1,658Pitney Bowes Inc., 6.875% Mar. 15 27 USD 1,389 1,741 1,804Pitney Bowes Inc., 7.25% Mar. 15 29 USD 1,120 1,397 1,458Plains All American Pipeline, LP/PAA Finance Corp.,

4.30% Jan. 31 43 USD 444 489 568PRA Group, Inc., 7.375% Sep. 01 25 USD 4,187 5,805 5,636

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (88.2%) (cont’d)Foreign Bonds and Debentures (49.8%) (cont’d)United States (48.9%) (cont’d)PRA Group, Inc., 5.00% Oct. 01 29 USD 829 1,036 1,053Prime Healthcare Services, Inc., 7.25% Nov. 01 25 USD 1,975 2,625 2,652Range Resources Corporation, 9.25% Feb. 01 26 USD 1,934 2,620 2,641Realogy Group LLC, 5.75% Jan. 15 29 USD 1,530 1,976 1,988Rent-A-Center, Inc., 6.375% Feb. 15 29 USD 1,944 2,566 2,568Royal Caribbean Cruises, Ltd., 9.125% Jun. 15 23 USD 2,268 3,118 3,039Schweitzer-Mauduit International, Inc., 6.875%

Oct. 01 26 USD 3,099 4,222 4,109Scientific Games International, Inc., 5.00% Oct. 15 25 USD 294 362 384SeaWorld Parks & Entertainment, Inc., 5.25%

Aug. 15 29 USD 755 945 974Sensata Technologies BV, 4.00% Apr. 15 29 USD 1,680 2,120 2,175Simmons Foods, Inc. & Affiliates, 4.625% Mar. 01 29 USD 741 942 925Sirius XM Radio Inc., 3.875% Sep. 01 31 USD 675 809 839SRM Escrow Issuer, LLC, 6.00% Nov. 01 28 USD 3,293 4,300 4,460SunCoke Energy, Inc., 4.875% Jun. 30 29 USD 1,816 2,226 2,290Sunoco LP/Sunoco Finance Corp., 5.875% Mar. 15 28 USD 4,450 6,107 5,964SWF Escrow Issuer Corporation, 6.50% Oct. 01 29 USD 1,402 1,757 1,708T-Mobile USA, Inc., 3.375% Apr. 15 29 USD 2,135 2,607 2,758T-Mobile USA, Inc., 3.50% Apr. 15 31 USD 590 720 778Targa Resources Partners LP/Targa Resources Partners

Finance Corporation, 5.00% Jan. 15 28 USD 1,220 1,595 1,629Targa Resources Partners LP/Targa Resources Partners

Finance Corporation, 4.00% Jan. 15 32 USD 1,286 1,630 1,704Tenet Healthcare Corporation, 6.125% Oct. 01 28 USD 2,460 3,192 3,295Toll Brothers Finance Corp., 4.35% Feb. 15 28 USD 837 1,113 1,161TransDigm Inc., 5.50% Nov. 15 27 USD 1,000 1,237 1,306TransDigm Inc., 4.875% May 01 29 USD 2,440 3,060 3,106Travel + Leisure Co., Inc., 6.625% Jul. 31 26 USD 759 1,041 1,066Travel + Leisure Co., Inc., 4.625% Mar. 01 30 USD 807 1,084 1,030Turning Point Brands, Inc., 5.625% Feb. 15 26 USD 1,140 1,490 1,448Unisys Corporation, 6.875% Nov. 01 27 USD 1,310 1,751 1,797United Airlines, Inc., 4.375% Apr. 15 26 USD 295 369 390United Airlines, Inc., 4.50% Apr. 21 28, Term Loan “B” USD 457 569 581United Airlines, Inc., 4.625% Apr. 15 29 USD 295 369 386United Natural Foods, Inc., 6.75% Oct. 15 28 USD 1,585 2,128 2,151Univision Communications, Inc., 5.125% Feb. 15 25 USD 893 1,144 1,143Vail Resorts, Inc., 6.25% May 15 25 USD 3,775 5,128 4,974Viking Cruises Ltd., 5.875% Sep. 15 27 USD 1,278 1,578 1,542Viking Ocean Cruises Ship VII Ltd., 5.625% Feb. 15 29 USD 200 256 253Voya CLO Ltd., 5.468% Jan. 20 31, Series 16-1A,

Class “DR” USD 836 883 1,004Western Midstream Operating, LP, 5.50% Aug. 15 48 USD 785 922 1,190Windstream Escrow LLC/Windstream Escrow Finance

Corp., 7.75% Aug. 15 28 USD 2,240 2,953 3,011Wolverine World Wide, Inc., 4.00% Aug. 15 29 USD 2,130 2,625 2,625

394,482 398,970EQUITIES (0.3%)Canada (0.1%)Calfrac Well Services Ltd. 105,990 885 445United States (0.2%)Altice USA, Inc., Class “A” 85,000 1,768 1,741Avaya Holdings Corp. 1 – –

1,768 1,741UNDERLYING FUNDS (2.8%)Dynamic Active Crossover Bond ETF 120,000 2,631 2,648iShares iBoxx $High Yield Corporate Bond ETF 183,800 20,045 20,235

22,676 22,883AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (91.3%) 735,072 745,821TRANSACTION COSTS (0.0%) (15) –TOTAL AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (91.3%) 735,057 745,821UNREALIZED GAIN (LOSS) ON DERIVATIVES

(−0.5%) (3,777)CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) (8.3%)Canadian 59,222 59,222Foreign 8,325 8,324


REDEEMABLE UNITS (100.0%) 816,709



11


Unrealized Gain on Currency Forward Contracts

CounterpartyCreditRating

DeliveryDate

Par Value ofCurrency Bought

($000s)

Par Value ofCurrency Sold

($000s)ContractPrice ($)

MarketPrice ($)

UnrealizedGain

($000s)Bank of Montreal A-1 14-Jan-22 CAD 3,320 (USD) (2,600) 0.783 0.790 29Royal Bank of Canada A-1+ 14-Jan-22 CAD 2,815 (USD) (2,200) 0.782 0.790 31State Street Bank & Trust Company A-1+ 14-Jan-22 CAD 109,413 (USD) (86,400) 0.790 0.790 64Toronto-Dominion Bank (The) A-1+ 14-Jan-22 CAD 906 (USD) (700) 0.773 0.790 20

144

Unrealized Gain on Currency Forward Contracts – Series FH(1)


DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 6 (USD) (4) 0.781 0.790 –

–

Total Unrealized Gain on Currency Forward Contracts 144

Unrealized Loss on Currency Forward Contracts


DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)Bank of Montreal A-1 14-Jan-22 CAD 4,290 (USD) (3,400) 0.792 0.790 (13)Bank of Montreal A-1 14-Jan-22 USD 700 (CAD) (895) 1.278 1.266 (9)Bank of Montreal A-1 14-Jan-22 USD 2,300 (CAD) (2,939) 1.278 1.266 (28)State Street Bank & Trust Company A-1+ 11-Mar-22 CAD 124,504 (USD) (98,875) 0.794 0.790 (652)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 CAD 11,253 (USD) (9,100) 0.809 0.790 (265)Toronto-Dominion Bank (The) A-1+ 18-Feb-22 CAD 123,664 (USD) (100,000) 0.809 0.790 (2,908)Toronto-Dominion Bank (The) A-1+ 08-Apr-22 CAD 137,888 (USD) (108,925) 0.790 0.790 (11)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 USD 200 (CAD) (256) 1.282 1.266 (3)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 USD 200 (CAD) (256) 1.281 1.266 (3)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 USD 300 (CAD) (380) 1.268 1.266 (1)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 USD 1,100 (CAD) (1,420) 1.290 1.266 (27)

(3,920)

Unrealized Loss on Currency Forward Contracts – Series FH(1)


DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 264 (CAD) (335) 1.271 1.266 (1)

(1)

Total Unrealized Loss on Currency Forward Contracts (3,921)

(1) These unrealized forward currency contract gains and losses are attributed solely to Series FH.



12

The Fund (note 1)

The Fund’s investment objective is to provide income while preservingcapital through investment in a diversified portfolio of primarilyCanadian fixed income securities issued by the federal or provincialgovernments and investment grade corporate bonds.

The Fund may also invest a portion of its assets in funds managed bythe Manager and/or by third party investment managers (the “UnderlyingFunds”). In addition to the risks described below, the Fund could beexposed to indirect risk to the extent that the Underlying Funds heldfinancial instruments that were subject to the below risks.


Interest rate risk



($000s)June 30, 2021

($000s)

Less than 1 year – –1-3 years 58,000 52,7563-5 years 159,466 134,8735-10 years 385,151 355,141> 10 years 118,135 118,969

720,752 661,739


Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 523,069 (515,683) 7,386 0.9523,069 (515,683) 7,386 0.9

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 483,383 (477,085) 6,298 0.9483,383 (477,085) 6,298 0.9

The net assets attributable to Series FH units of the Fund are hedgedagainst changes in the U.S. currency relative to the Canadian

currency and in doing so attempts to eliminate the fluctuationsbetween the Canadian and U.S. net assets. The following table reflectsthe impact of this hedge on the net assets attributable to Series FH.

Series FH

December 31, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure

attributableto net assets

($000s)

Canadian dollar 329 (328) 1329 (328) 1

Series FH

June 30, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 270 (269) 1270 (269) 1


Price risk


Credit risk


December 31, 2021 June 30, 2021

Credit ratings


ratedinstruments

(%)


(%)


ratedinstruments

(%)


(%)

AAA/A-1+ 6.5 5.9 1.1 1.0AA 1.2 1.0 1.2 1.1A/A-1 4.7 4.1 4.7 4.3BBB/A-2 16.4 14.5 16.3 14.9BB 47.8 42.1 47.4 43.7B 21.2 18.7 22.7 20.9CCC 1.7 1.5 6.1 5.6Unrated 0.5 0.4 0.5 0.5

100.0 88.2 100.0 92.0



13

Concentration risk


December 31, 2021 June 30, 2021

BONDS AND DEBENTURES 88.2 92.0Canadian Bonds and DebenturesFederal 5.8 0.9Provincial 4.7 5.0Corporate 27.9 29.9Foreign Bonds and DebenturesBermuda 0.3 –Netherlands – 0.3United Kingdom 0.6 0.7United States 48.9 55.2EQUITIES 0.3 0.1Canada 0.1 0.1United States 0.2 0.0UNDERLYING FUNDS 2.8 2.3UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.5) (0.1)CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Equities 2,186 – – 2,186Bonds and debentures – 720,752 – 720,752Underlying Funds 22,883 – – 22,883Unrealized gain on currency forward contracts – 144 – 144

25,069 720,896 – 745,965Unrealized loss on currency forward contracts – (3,921) – (3,921)

– (3,921) – (3,921)25,069 716,975 – 742,044

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Equities 429 – – 429Bonds and debentures – 661,739 – 661,739Underlying Funds 16,609 – – 16,609Unrealized gain on currency forward contracts – 1,783 – 1,783Unrealized gain on currency spot contracts – 10 – 10

17,038 663,532 – 680,570Unrealized loss on currency forward contracts – (2,354) – (2,354)

– (2,354) – (2,354)17,038 661,178 – 678,216





December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts 144 (113) – 31Options contracts – OTC – – – –Swap contracts – OTC – – – –

144 (113) – 31

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts 3,921 (113) – 3,808Options contracts – OTC – – – –Swap contracts – OTC – – – –

3,921 (113) – 3,808

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


1,783 (519) – 1,264

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


2,354 (519) – 1,835



December 31, 2021




Underlying Fund(%)

Dynamic Active Crossover Bond ETF 2,648 4.5iShares iBoxx $ High Yield Corporate Bond ETF 20,235 0.1

22,883

June 30, 2021




Underlying Fund(%)

Dynamic Active Crossover Bond ETF 2,669 5.6Dynamic Preferred Yield Class, Series “O” 13,940 1.3

16,609





14


(in $000s except per share amounts)December 31,

2021June 30,


Non-derivative financial assets 69,170 54,737Derivatives 260 175

Cash – 6,380Cash collateral deposited on derivatives 3 3Margin deposited on derivatives 1,837 1,258Receivable for securities sold – 754Subscriptions receivable 108 157Accrued investment income and other 35 53Total assets 71,413 63,517


Derivatives 1,466 458Bank overdraft 238 –Management fee payable (note 5) 60 52Redemptions payable 22 –Accrued expenses 8 7Distributions payable 49 –Total liabilities 1,843 517Net assets attributable to holders of redeemable shares 69,570 63,000

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIESSeries A 12,668 10,284Series F 36,186 35,196Series FH (in equivalent CAD) 1,260 1,293Series FT 14,962 13,269Series I 2,296 2,283Series O 1 1Series T 2,197 674

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIES – USDSeries FH 995 1,042

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SHARESeries A 13.02 13.05Series F 13.59 13.55Series FH (in equivalent CAD) 16.80 16.38Series FT 10.27 10.43Series I 12.85 12.76Series O 15.37 15.25Series T 11.01 11.23

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SHARE – USDSeries FH 13.27 13.20


(in $000s except per share amounts and average shares) 2021 2020INCOMENet gain (loss) on financial assets and liabilities at fair value

through profit or lossDividends 217 310Interest for distribution purposes (276) 3Net realized gain (loss) on non-derivative financial assets 2,910 4,368Change in unrealized gain (loss) on non-derivative financial

assets (380) 3,279Net realized gain (loss) on derivatives (1,114) (2,203)Change in unrealized gain (loss) on derivatives (914) 1,268

Net gain (loss) on financial assets and liabilities at fair valuethrough profit or loss 443 7,025

Net realized and unrealized foreign currency translation gain (loss) 302 (166)Total income (loss), net 745 6,859

EXPENSESManagement fees (note 5) 301 191Fixed administration fees (note 6) 49 34Independent Review Committee fees 1 1Interest expense 3 9Foreign withholding taxes/tax reclaims 23 38Harmonized Sales Tax/Goods and Services Tax 38 25Transaction costs 25 29Total expenses 440 327Expenses absorbed by the Manager (1) (1)Net expenses 439 326Net increase (decrease) in net assets attributable to holders

of redeemable shares from operations 306 6,533

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE SHARES FROM OPERATIONS PER SERIES

Series A 14 736Series F 144 3,915Series FH (in equivalent CAD) 30 86Series FT 76 1,502Series I 18 256Series O – –Series T 24 38

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE SHARES FROM OPERATIONS PER SERIES – USD

Series FH 24 66

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE SHARES FROM OPERATIONS PER SHARE†

Series A 0.01 1.56Series F 0.05 1.62Series FH (in equivalent CAD) 0.40 1.20Series FT 0.06 1.31Series I 0.11 1.63Series O 0.12 1.92Series T 0.20 1.37

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE SHARES FROM OPERATIONS PER SHARE – USD†

Series FH 0.32 0.91

WEIGHTED AVERAGE NUMBER OF SHARES PER SERIESSeries A 877,482 475,403Series F 2,641,397 2,436,490Series FH 74,282 72,109Series FT 1,361,602 1,147,290Series I 179,398 157,005Series O 89 89Series T 121,515 27,748

† The increase (decrease) in net assets attributable to holders of redeemable shares from operationsper share is calculated by dividing the increase (decrease) in net assets attributable to holders ofredeemable shares from operations per series by the weighted average number of shares perseries.

Dynamic Alternative Managed Risk Private Pool Class (Unaudited)


15

STATEMENTS OF CHANGES IN NET ASSETSATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESFor the periods ended December 31 (note 1),

(in $000s) 2021 2020NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES, BEGINNING OF PERIOD

Series A 10,284 5,029Series F 35,196 29,056Series FH 1,293 1,170Series FT 13,269 9,775Series I 2,283 1,983Series O 1 1Series T 674 258

63,000 47,272

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESFROM OPERATIONSSeries A 14 736Series F 144 3,915Series FH 30 86Series FT 76 1,502Series I 18 256Series O – –Series T 24 38

306 6,533

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE SHARESFrom net investment income

Series A (10) –Series F (35) –Series FH (1) –Series FT (7) (1)Series I (2) –

From net realized gains on investmentsSeries A – (2)Series F – (14)Series FT – (127)Series I – (1)Series T – (4)

From return of capitalSeries FT (258) (90)Series T (27) (2)

(340) (241)

REDEEMABLE SHARE TRANSACTIONSProceeds from issue

Series A 3,378 647Series F 5,128 975Series FH 231 89Series FT 2,402 947Series I 150 203Series T 1,586 28

Reinvested distributionsSeries A 10 2Series F 30 12Series FH 1 –Series FT 39 21Series I 2 1Series T 10 5

Payments on redemptionSeries A (1,008) (858)Series F (4,277) (7,245)Series FH (294) (357)Series FT (559) (1,270)Series I (155) (776)Series T (70) (42)

6,604 (7,618)

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESSeries A 2,384 525Series F 990 (2,357)Series FH (33) (182)Series FT 1,693 982Series I 13 (317)Series T 1,523 23

6,570 (1,326)

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES, END OF PERIODSeries A 12,668 5,554Series F 36,186 26,699Series FH 1,260 988Series FT 14,962 10,757Series I 2,296 1,666Series O 1 1Series T 2,197 281

69,570 45,946



redeemable shares 306 6,533Adjustments for:


assets 380 (3,279)Net realized (gain) loss on options 141 197Change in unrealized (gain) loss on derivatives 914 (1,268)Unrealized foreign currency translation (gain) loss (4) (2)Purchases of non-derivative financial assets and liabilities (56,256) (29,714)Proceeds from sale of non-derivative financial assets and

liabilities 44,975 37,231Cash collateral deposited on derivatives – (3)Margin deposited on derivatives (579) (598)Accrued investment income and other 18 (5)Accrued expenses and other payables 9 (1)

Net cash provided by (used in) operating activities (13,006) 4,723

CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable shares 12,899 2,476Amounts paid on redemption of redeemable shares (6,316) (10,266)Distributions to shareholders of redeemable shares (199) (167)Net cash provided by (used in) financing activities 6,384 (7,957)

Unrealized foreign currency translation gain (loss) 4 2Net increase (decrease) in cash (6,622) (3,234)Cash (bank overdraft), beginning of period 6,380 1,847CASH (BANK OVERDRAFT), END OF PERIOD (238) (1,385)

Interest paid(1) 3 9Interest received, net of withholding taxes(1) – 6Dividends received, net of withholding taxes(1) 202 265




16

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (86.8%)Canada (5.7%)Cenovus Energy Inc. 209,027 1,955 3,242Suncor Energy Inc. 23,090 702 731

2,657 3,973United Kingdom (2.6%)AstraZeneca PLC, Sponsored ADR 24,540 1,708 1,809United States (78.5%)Activision Blizzard, Inc. 3,330 260 280Adobe Inc. 935 671 671AES Corporation (The) 33,085 1,024 1,017Alphabet Inc., Class “A” 738 1,566 2,706Amazon.com, Inc. 680 2,052 2,870American Tower Corporation 509 145 188Analog Devices, Inc. 3,045 630 677ARAMARK Holdings Corporation 15,316 683 714Axalta Coating Systems Ltd. 20,831 740 873Baker Hughes Company 33,345 928 1,015BioMarin Pharmaceutical Inc. 15,645 1,588 1,749Boston Properties, Inc. 740 124 108Boston Scientific Corporation 26,055 1,358 1,401Broadcom Inc. 1,061 425 894Burlington Stores, Inc. 4,867 1,841 1,796Centene Corporation 10,850 954 1,131Constellium Se 144,480 3,415 3,275Crown Holdings, Inc. 5,025 660 704CVS Health Corporation 2,800 278 366DENTSPLY SIRONA Inc. 4,605 310 325Elanco Animal Health Incorporated 37,650 1,435 1,352Eli Lilly and Company 3,302 978 1,154Emerson Electric Co. 4,514 395 531Equitable Holdings, Inc. 24,920 1,026 1,034Facebook, Inc., Class “A” 3,365 1,382 1,432General Electric Company 10,756 1,349 1,286General Motors Company 19,714 1,392 1,463Halliburton Company 67,870 2,063 1,964HCA Healthcare, Inc. 3,395 1,011 1,104Huntsman Corporation 8,250 263 364International Flavors & Fragrances Inc. 2,908 537 554JPMorgan Chase & Co. 3,135 487 628Lamb Weston Holdings, Inc. 11,595 948 930Lyft, Inc., Class “A” 21,465 1,435 1,161Medtronic PLC 7,551 1,127 989

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (86.8%) (cont’d)United States (78.5%) (cont’d)Micron Technology, Inc. 12,647 1,183 1,491PayPal Holdings, Inc. 2,053 458 490Penn National Gaming, Inc. 9,565 703 628Performance Food Group Company 15,705 888 912salesforce.com, inc. 1,890 629 608Schlumberger Limited 26,085 1,104 989Stryker Corporation 1,040 341 352Sysco Corporation 7,315 689 727Take-Two Interactive Software, Inc. 7,311 1,523 1,644Thermo Fisher Scientific Inc. 468 265 395Uber Technologies, Inc. 44,360 2,823 2,354Union Pacific Corporation 1,276 301 407United Rentals, Inc. 705 285 296Visa Inc., Class “A” 1,108 271 304Walmart Inc. 5,945 1,027 1,089Walt Disney Company (The) 9,850 2,067 1,931Weyerhaeuser Company 3,438 137 179Zimmer Biomet Holdings, Inc. 6,733 1,234 1,083

51,408 54,585UNDERLYING FUNDS (12.7%)Dynamic Premium Yield PLUS Fund, Series “O” 771,941 5,998 8,803PURCHASED OPTIONS (0.1%) 135 37AVERAGE COST AND CARRYING VALUE


OF INVESTMENTS (99.5%) 61,883 69,207WRITTEN OPTIONS (−0.1%) (115) (35)UNREALIZED GAIN (LOSS) ON DERIVATIVES (−1.8%) (1,208)CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) (−0.3%)Canadian 199 199Foreign (445) (437)

(246) (238)OTHER NET ASSETS (LIABILITIES) (2.7%) 1,844NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE SHARES (100.0%) 69,570

Schedule of Purchased Options



Number ofShares

ExpirationDate

StrikePrice ($)

StrikePrice

Currency

PremiumPaid

($000s)

CurrentValue

($000s)SPDR S&P 500 ETF Trust, $365.00 Put, Jan.07 22 Put 150 15,000 07-Jan-22 365.00 USD 12 –SPDR S&P 500 ETF Trust, $405.00 Put, Jan.07 22 Put 150 15,000 07-Jan-22 405.00 USD 26 –SPDR S&P 500 ETF Trust, $370.00 Put, Jan. 14 22 Put 150 15,000 14-Jan-22 370.00 USD 6 1SPDR S&P 500 ETF Trust, $410.00 Put, Jan. 14 22 Put 150 15,000 14-Jan-22 410.00 USD 15 3SPDR S&P 500 ETF Trust, $360.00 Put, Jan. 21 22 Put 150 15,000 21-Jan-22 360.00 USD 8 2SPDR S&P 500 ETF Trust, $380.00 Put, Jan. 21 22 Put 150 15,000 21-Jan-22 380.00 USD 7 3SPDR S&P 500 ETF Trust, $400.00 Put, Jan. 21 22 Put 150 15,000 21-Jan-22 400.00 USD 20 5SPDR S&P 500 ETF Trust, $420.00 Put, Jan. 21 22 Put 150 15,000 21-Jan-22 420.00 USD 18 8SPDR S&P 500 ETF Trust, $370.00 Put, Jan. 28 22 Put 150 15,000 28-Jan-22 370.00 USD 7 5SPDR S&P 500 ETF Trust, $410.00 Put, Jan. 28 22 Put 150 15,000 28-Jan-22 410.00 USD 16 10

135 37

Schedule of Written Options



Number ofShares

ExpirationDate

StrikePrice ($)

StrikePrice

Currency

PremiumReceived

($000s)

CurrentLiability($000s)

SPDR S&P 500 ETF Trust, $385.00 Put, Jan.07 22 Put (300) (30,000) 07-Jan-22 385.00 USD (33) –SPDR S&P 500 ETF Trust, $390.00 Put, Jan. 14 22 Put (300) (30,000) 14-Jan-22 390.00 USD (18) (4)SPDR S&P 500 ETF Trust, $380.00 Put, Jan. 21 22 Put (300) (30,000) 21-Jan-22 380.00 USD (23) (7)SPDR S&P 500 ETF Trust, $400.00 Put, Jan. 21 22 Put (300) (30,000) 21-Jan-22 400.00 USD (21) (10)SPDR S&P 500 ETF Trust, $390.00 Put, Jan. 28 22 Put (300) (30,000) 28-Jan-22 390.00 USD (20) (14)

(115) (35)



17




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)Royal Bank of Canada A-1+ 21-Mar-22 CAD 320 (USD) (250) 0.781 0.790 3Royal Bank of Canada A-1+ 21-Mar-22 CAD 3,223 (USD) (2,500) 0.776 0.790 58Royal Bank of Canada A-1+ 21-Mar-22 USD 2,500 (CAD) (3,081) 1.232 1.266 83Toronto-Dominion Bank (The) A-1+ 21-Mar-22 CAD 3,180 (USD) (2,500) 0.786 0.790 15Toronto-Dominion Bank (The) A-1+ 21-Mar-22 CAD 3,193 (USD) (2,500) 0.783 0.790 29Toronto-Dominion Bank (The) A-1+ 21-Mar-22 CAD 3,195 (USD) (2,500) 0.783 0.790 30Toronto-Dominion Bank (The) A-1+ 21-Mar-22 USD 1,500 (CAD) (1,898) 1.266 1.266 1

219



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 15 (USD) (12) 0.787 0.790 –State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 15 (USD) (12) 0.781 0.790 –State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 21 (USD) (17) 0.780 0.790 –State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 32 (USD) (25) 0.783 0.790 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 12 (CAD) (15) 1.265 1.266 –

–




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)Royal Bank of Canada A-1+ 21-Mar-22 CAD 3,110 (USD) (2,500) 0.804 0.790 (55)Royal Bank of Canada A-1+ 21-Mar-22 CAD 3,164 (USD) (2,500) 0.790 0.790 –Royal Bank of Canada A-1+ 21-Mar-22 CAD 3,714 (USD) (3,000) 0.808 0.790 (84)Toronto-Dominion Bank (The) A-1+ 21-Mar-22 CAD 927 (USD) (750) 0.809 0.790 (22)Toronto-Dominion Bank (The) A-1+ 21-Mar-22 CAD 2,075 (USD) (1,675) 0.807 0.790 (45)Toronto-Dominion Bank (The) A-1+ 21-Mar-22 CAD 3,103 (USD) (2,500) 0.806 0.790 (61)Toronto-Dominion Bank (The) A-1+ 21-Mar-22 CAD 3,717 (USD) (3,000) 0.807 0.790 (81)Toronto-Dominion Bank (The) A-1+ 21-Mar-22 CAD 28,671 (USD) (23,170) 0.808 0.790 (658)Toronto-Dominion Bank (The) A-1+ 21-Mar-22 USD 3,500 (CAD) (4,432) 1.266 1.266 (2)

(1,008)



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 11 (CAD) (15) 1.281 1.266 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 12 (CAD) (15) 1.269 1.266 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 21 (CAD) (27) 1.284 1.266 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 1,004 (CAD) (1,276) 1.271 1.266 (5)

(5)



Unrealized Gain on Futures Contracts

Futures Contracts

Number ofContracts

Bought (Sold) Price ($)Delivery

Date

NotionalCost

($000s)

CarryingValue

($000s)

UnrealizedGain

($000s)United States Treasury 10 Year Bond Futures, Mar. 22 22 19 USD 130.47 22-Mar-22 3,133 3,137 4

3,133 3,137 4

Unrealized Loss on Futures Contracts

Futures Contracts

Number ofContracts


Date

NotionalCost

($000s)

CarryingValue

($000s)

UnrealizedLoss

($000s)Russell 2000 Index E-Mini Futures, Mar. 18 22 (103) USD 2,242.80 18-Mar-22 (14,324) (14,618) (294)S&P 500 Index E-Mini Futures, Mar. 18 22 (23) USD 4,758.50 18-Mar-22 (6,838) (6,926) (88)United States 5-Year Treasury Note Futures, Mar. 31 22 29 USD 120.98 31-Mar-22 4,450 4,440 (10)United States Treasury 2 Year Bond Futures, Mar. 31 22 35 USD 109.09 31-Mar-22 9,690 9,664 (26)

(7,022) (7,440) (418)



18

The Fund (note 1)

The Fund’s investment objective is to provide diversification andlong-term capital appreciation by primarily investing in a diversifiedportfolio of alternative investments and the use of alternativeinvestment strategies including options and short selling strategies.



Interest rate risk



($000s)June 30, 2021

($000s)

Less than 1 year – –1-3 years 9,690 4,3813-5 years – –5-10 years 4,450 6,277> 10 years 3,133 6,230

17,273 16,888

As at December 31, 2021, had the prevailing interest rates fluctuatedby 0.25%, assuming a parallel shift in the yield curve and all othervariables held constant, net assets attributable to holders ofredeemable units of the Fund would have decreased or increased by$142,000 or approximately 0.2% (June 30, 2021 – $186,000 orapproximately 0.3%). In practice, actual results may differ from thissensitivity analysis and the difference could be material.

Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 57,002 (52,970) 4,032 5.857,002 (52,970) 4,032 5.8

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 44,964 (23,284) 21,680 34.444,964 (23,284) 21,680 34.4

The net assets attributable to Series FH units of the Fund are hedgedagainst changes in the U.S. currency relative to the Canadiancurrency and in doing so attempts to eliminate the fluctuationsbetween the Canadian and U.S. net assets. The following table reflectsthe impact of this hedge on the net assets attributable to Series FH.

Series FH

December 31, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 1,260 (1,260) 01,260 (1,260) 0

Series FH

June 30, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 1,293 (1,284) 91,293 (1,284) 9

As at December 31, 2021, if the Canadian dollar fluctuated by 10% inrelation to all other foreign currencies, with all other variables heldconstant, net assets attributable to holders of redeemable units ofthe Fund would have decreased or increased by $403,000 orapproximately 0.6% (June 30, 2021 – $2,169,000 or approximately3.4%). In practice, actual results may differ from this sensitivityanalysis and the difference could be material.

Price risk

As at December 31, 2021, approximately 69.1% (June 30, 2021 –61.6%) of the Fund’s net assets were directly exposed to price risk. Ifprices of these instruments had fluctuated by 10%, with all othervariables held constant, net assets attributable to holders ofredeemable units of the Fund would have decreased or increased byapproximately $4,801,000 (June 30, 2021 – $3,884,000). In practice,actual results may differ from this sensitivity analysis and thedifference could be material.

Credit risk

The Fund did not have significant direct exposure to bonds anddebentures, money market instruments or preferred shares as atDecember 31, 2021 or June 30, 2021.



19

Concentration risk


December 31, 2021 June 30, 2021

EQUITIES 86.8 73.1Canada 5.7 7.9Hong Kong – 0.6Sweden – 1.3United Kingdom 2.6 2.0United States 78.5 61.3UNDERLYING FUNDS 12.7 13.8PURCHASED OPTIONS 0.1 0.1WRITTEN OPTIONS (0.1) (0.1)UNREALIZED GAIN (LOSS) ON DERIVATIVES (1.8) (0.5)CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) (0.3) 10.1




Level 2($000s)

Level 3($000s)

Total($000s)

Equities 60,367 – – 60,367Underlying Funds 8,803 – – 8,803Warrants, rights and options 37 – – 37Unrealized gain on currency forward contracts – 219 – 219Unrealized gain on futures contracts 4 – – 4

69,211 219 – 69,430Liability for written options (35) – – (35)Unrealized loss on currency forward contracts – (1,013) – (1,013)Unrealized loss on futures contracts (418) – – (418)

(453) (1,013) – (1,466)68,758 (794) – 67,964

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Equities 46,021 – – 46,021Underlying Funds 8,716 – – 8,716Warrants, rights and options 68 – – 68Unrealized gain on currency forward contracts – 91 – 91Unrealized gain on futures contracts 16 – – 16

54,821 91 – 54,912Liability for written options (56) – – (56)Unrealized loss on currency forward contracts – (79) – (79)Unrealized loss on futures contracts (323) – – (323)

(379) (79) – (458)54,442 12 – 54,454





December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


219 (214) – 5

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts 1,013 (214) – 799Options contracts – OTC – – – –Swap contracts – OTC – – – –

1,013 (214) – 799

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


91 (79) – 12

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts 79 (79) – –Options contracts – OTC – – – –Swap contracts – OTC – – – –

79 (79) – –



December 31, 2021




Underlying Fund(%)

Dynamic Premium Yield PLUS Fund, Series “O” 8,803 1.28,803

June 30, 2021




Underlying Fund(%)

Dynamic Premium Yield PLUS Fund, Series “O” 8,716 1.58,716





20



2021June 30,


Non-derivative financial assets 865,342 721,439Derivatives – 7

Cash 2,205 3,452Subscriptions receivable 603 1,669Accrued investment income and other 190 351Total assets 868,340 726,918


Derivatives 12 –Management fee payable (note 5) 945 761Payable for securities purchased 487 1,511Redemptions payable 337 417Accrued expenses 118 98Distributions payable 1 –Total liabilities 1,900 2,787Net assets attributable to holders of redeemable units 866,440 724,131

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 483,430 378,043Series F 262,655 240,729Series FH (in equivalent CAD) 2,902 2,111Series FT 21,870 19,940Series I 84,583 76,238Series T 11,000 7,070

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIES – USDSeries FH 2,293 1,702

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNITSeries A 14.08 13.64Series F 16.62 16.13Series FH (in equivalent CAD) 20.19 19.17Series FT 12.56 12.34Series I 16.58 16.11Series T 12.45 12.30




through profit or lossDividends 3,250 1,670Interest for distribution purposes 11,383 5,674Net realized gain (loss) on non-derivative financial assets 1,910 110Change in unrealized gain (loss) on non-derivative financial

assets 15,555 38,194Net realized gain (loss) on derivatives 68 –Change in unrealized gain (loss) on derivatives (19) 3


Net realized and unrealized foreign currency translation gain (loss) (2) (64)Total income (loss), net 32,145 45,587

EXPENSESManagement fees (note 5) 4,766 1,958Fixed administration fees (note 6) 603 292Independent Review Committee fees 1 1Interest expense 1 –Harmonized Sales Tax/Goods and Services Tax 477 191Total expenses 5,848 2,442Expenses absorbed by the Manager (188) (127)Net expenses 5,660 2,315Net increase (decrease) in net assets attributable to holders



Series A 13,039 16,884Series F 9,048 17,541Series FH (in equivalent CAD) 136 47Series FT 755 1,675Series I 3,239 6,971Series T 268 154


Series FH 108 36


Series A 0.41 1.40Series F 0.59 1.68Series FH (in equivalent CAD) 1.06 0.93Series FT 0.45 1.32Series I 0.66 1.72Series T 0.36 1.25


Series FH 0.84 0.71

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 31,002,639 12,105,306Series F 15,181,594 10,404,418Series FH 127,920 50,374Series FT 1,681,420 1,271,082Series I 4,948,210 4,037,238Series T 757,883 123,026


Dynamic Asset Allocation Private Pool (Unaudited)


21



Series A 378,043 109,217Series F 240,729 136,354Series FH 2,111 787Series FT 19,940 11,765Series I 76,238 54,266Series T 7,070 898

724,131 313,287

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 13,039 16,884Series F 9,048 17,541Series FH 136 47Series FT 755 1,675Series I 3,239 6,971Series T 268 154

26,485 43,272


Series F (1,480) (673)Series FH (14) (4)Series FT (70) (35)Series I (916) (496)

From net realized gains on investmentsSeries F (128) –Series FH (1) –Series FT (6) –Series I (68) –


(3,198) (1,474)


Series A 116,088 100,139Series F 40,650 31,395Series FH 678 321Series FT 2,858 5,406Series I 9,637 7,213Series T 4,252 1,580

Reinvested distributionsSeries F 1,287 515Series FH 11 4Series FT 48 43Series I 970 489Series T 99 13

Payments on redemptionSeries A (23,740) (8,653)Series F (27,451) (13,266)Series FH (19) (1)Series FT (1,326) (893)Series I (4,517) (5,271)Series T (503) (429)

119,022 118,605

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 105,387 108,370Series F 21,926 35,512Series FH 791 367Series FT 1,930 5,957Series I 8,345 8,906Series T 3,930 1,291

142,309 160,403

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 483,430 217,587Series F 262,655 171,866Series FH 2,902 1,154Series FT 21,870 17,722Series I 84,583 63,172Series T 11,000 2,189

866,440 473,690




Net realized (gain) loss on non-derivative financial assets (1,910) (110)Change in unrealized (gain) loss on non-derivative financial

assets (15,555) (38,194)Change in unrealized (gain) loss on derivatives 19 (3)Unrealized foreign currency translation (gain) loss 2 64Other non-cash transactions (11,383) (5,674)Purchases of non-derivative financial assets and liabilities (128,688) (116,124)Proceeds from sale of non-derivative financial assets and

liabilities 12,609 630Accrued investment income and other 161 (9)Accrued expenses and other payables 204 218



Unrealized foreign currency translation gain (loss) (2) (64)Net increase (decrease) in cash (1,245) 1,200Cash (bank overdraft), beginning of period 3,452 1,133CASH (BANK OVERDRAFT), END OF PERIOD 2,205 2,269

Interest paid(1) 1 –Dividends received, net of withholding taxes(1) 3,248 1,668




22

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)UNDERLYING FUNDS (99.9%)Canadian Equity Funds (21.5%)Dynamic Canadian Equity Private Pool Class,

Series “O” 13,754,363 152,915 186,332Fixed Income and Credit Funds (39.0%)Dynamic Active Core Bond Private Pool, Series “O” 10,650,789 114,402 112,838Dynamic Active Credit Strategies Private Pool,

Series “O” 10,792,190 112,014 112,809Dynamic Tactical Bond Private Pool, Series “O” 10,392,673 113,322 111,853

339,738 337,500Global Equity Funds (39.4%)Dynamic Global Equity Private Pool Class, Series “O” 13,640,506 260,466 341,510

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (99.9%) 753,119 865,342UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.0%) (12)CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) (0.3%)Canadian 2,205 2,205Foreign –

2,205 2,205OTHER NET ASSETS (LIABILITIES) (−0.2%) (1,095)NET ASSETS ATTRIBUTABLE TO HOLDERS OF





DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 39 (USD) (31) 0.783 0.790 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 24 (CAD) (31) 1.265 1.266 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 36 (CAD) (45) 1.265 1.266 –

–



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 26 (CAD) (33) 1.281 1.266 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 35 (CAD) (44) 1.271 1.266 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 2,203 (CAD) (2,800) 1.271 1.266 (12)

(12)




23

The Fund (note 1)

The Fund’s investment objective is to seek to achieve long-termcapital appreciation and moderate income by investing primarily in adiversified portfolio of equity and fixed income securities fromaround the world.

The Fund invests primarily in funds managed by the Manager and/orby the third party investment managers (the “Underlying Funds”). Toensure the Fund’s composition meets the investment objectives ofthe Fund, the portfolio advisor monitors the Underlying Funds on anongoing basis and rebalances the Fund’s assets among the UnderlyingFunds. In addition to the risks described below, the Fund could beexposed to indirect risk to the extent that the Underlying Funds heldfinancial instruments that were subject to the below risks.


Interest rate risk

The majority of the Fund’s financial instruments were non-interestbearing as at December 31, 2021 and June 30, 2021. Accordingly, theFund did not have significant direct interest rate risk exposure due tofluctuations in the prevailing levels of market interest rates.

Currency risk

The Fund did not have significant direct currency risk exposure as atDecember 31, 2021 or June 30, 2021.

Price risk


Credit risk


Concentration risk


December 31, 2021 June 30, 2021

UNDERLYING FUNDS 99.9 99.6Canadian Equity Funds 21.5 20.5Fixed Income and Credit Funds 39.0 39.8Global Equity Funds 39.4 39.3UNREALIZED GAIN (LOSS) ON DERIVATIVES 0.0 0.0CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Underlying Funds 865,342 – – 865,342865,342 – – 865,342

Unrealized loss on currency forward contracts – (12) – (12)865,342 (12) – 865,330

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Underlying Funds 721,439 – – 721,439Unrealized gain on currency forward contracts – 7 – 7

721,439 7 – 721,446





December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts – – – –Options contracts – OTC – – – –Swap contracts – – – –

– – – –

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts 12 – – 12Options contracts – OTC – – – –Swap contracts – – – –

12 – – 12

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts 7 – – 7Options contracts – OTC – – – –Swap contracts – – – –

7 – – 7

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts – – – –Options contracts – OTC – – – –Swap contracts – – – –

– – – –



24



December 31, 2021




Underlying Fund(%)

Dynamic Active Core Bond Private Pool, Series “O” 112,838 8.6Dynamic Active Credit Strategies Private Pool, Series “O” 112,809 13.8Dynamic Canadian Equity Private Pool Class, Series “O” 186,332 82.2Dynamic Global Equity Private Pool Class, Series “O” 341,510 17.9Dynamic Tactical Bond Private Pool, Series “O” 111,853 6.9

865,342

June 30, 2021




Underlying Fund(%)

Dynamic Active Core Bond Private Pool, Series “O” 96,386 7.4Dynamic Active Credit Strategies Private Pool, Series “O” 96,063 13.3Dynamic Canadian Equity Private Pool Class, Series “O” 148,467 83.8Dynamic Global Equity Private Pool Class, Series “O” 284,945 18.1Dynamic Tactical Bond Private Pool, Series “O” 95,578 5.6

721,439





25



2021June 30,


Non-derivative financial assets 219,893 171,501Cash 5,982 4,897Receivable for securities sold 15 84Subscriptions receivable 225 355Accrued investment income and other 548 372Total assets 226,663 177,209

LIABILITIESCurrent liabilitiesManagement fee payable (note 5) 43 27Payable for securities purchased – 49Redemptions payable 2 2Accrued expenses 12 9Distributions payable 31 –Total liabilities 88 87Net assets attributable to holders of redeemable shares 226,575 177,122

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIESSeries A 22,831 12,784Series F 9,411 9,424Series I 7,999 6,448Series O 186,334 148,466

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SHARESeries A 12.96 12.07Series F 11.98 11.18Series I 13.60 12.61Series O 13.55 12.55



through profit or lossDividends 2,299 1,116Interest for distribution purposes 28 17Net realized gain (loss) on non-derivative financial assets (37) (903)Change in unrealized gain (loss) on non-derivative financial

assets 16,303 11,569Net gain (loss) on financial assets and liabilities at fair value

through profit or loss 18,593 11,799Securities lending (note 11) 2 1Net realized and unrealized foreign currency translation gain (loss) 7 (25)Total income (loss), net 18,602 11,775

EXPENSESManagement fees (note 5) 188 56Fixed administration fees (note 6) 59 26Independent Review Committee fees 1 1Foreign withholding taxes/tax reclaims 3 1Harmonized Sales Tax/Goods and Services Tax 24 9Transaction costs 28 20Total expenses 303 113Expenses absorbed by the Manager (1) –Net expenses 302 113Net increase (decrease) in net assets attributable to holders

of redeemable shares from operations 18,300 11,662


Series A 1,336 464Series F 764 756Series I 664 546Series O 15,536 9,896



WEIGHTED AVERAGE NUMBER OF SHARES PER SERIESSeries A 1,332,040 376,581Series F 759,171 626,172Series I 543,379 398,849Series O 12,654,281 7,181,292


Dynamic Canadian Equity Private Pool Class (Unaudited)


26



Series A 12,784 3,332Series F 9,424 6,003Series I 6,448 3,766Series O 148,466 59,899

177,122 73,000

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESFROM OPERATIONSSeries A 1,336 464Series F 764 756Series I 664 546Series O 15,536 9,896

18,300 11,662


Series A (279) (90)Series F (189) (192)Series I (143) (98)Series O (3,250) (1,647)

(3,861) (2,027)


Series A 9,051 1,154Series F 1,392 330Series I 1,217 702Series O 24,854 23,881

Reinvested distributionsSeries A 279 90Series F 158 130Series I 143 98Series O 3,250 1,647

Payments on redemptionSeries A (340) (377)Series F (2,138) (1,133)Series I (330) (188)Series O (2,522) (330)

35,014 26,004

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESSeries A 10,047 1,241Series F (13) (109)Series I 1,551 1,060Series O 37,868 33,447

49,453 35,639

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES, END OF PERIODSeries A 22,831 4,573Series F 9,411 5,894Series I 7,999 4,826Series O 186,334 93,346

226,575 108,639



redeemable shares 18,300 11,662Adjustments for:

Net realized (gain) loss on non-derivative financial assets 37 903Change in unrealized (gain) loss on non-derivative financial

assets (16,303) (11,569)Unrealized foreign currency translation (gain) loss – (6)Purchases of non-derivative financial assets and liabilities (37,769) (29,036)Proceeds from sale of non-derivative financial assets and

liabilities 5,663 3,249Accrued investment income and other (176) (84)Accrued expenses and other payables 19 4


CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable shares 36,637 25,821Amounts paid on redemption of redeemable shares (5,323) (2,023)Net cash provided by (used in) financing activities 31,314 23,798

Unrealized foreign currency translation gain (loss) – 6Net increase (decrease) in cash 1,085 (1,079)Cash (bank overdraft), beginning of period 4,897 7,068CASH (BANK OVERDRAFT), END OF PERIOD 5,982 5,995

Interest received, net of withholding taxes(1) 20 13Dividends received, net of withholding taxes(1) 2,131 1,034




27

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (97.0%)Canada (93.7%)Alimentation Couche-Tard Inc. 147,243 6,059 7,804Bank of Nova Scotia (The) 83,313 5,970 7,461BCE Inc. 88,644 5,096 5,834Boyd Group Services Inc. 6,050 1,342 1,208Brookfield Asset Management Inc., Class “A” 138,171 6,804 10,555Brookfield Infrastructure Partners L.P., Units 20,907 1,246 1,610Brookfield Renewable Partners L.P. 12,448 604 564CAE Inc. 97,146 2,618 3,100Canadian Apartment Properties Real Estate Investment

Trust 19,807 1,013 1,188Canadian National Railway Company 85,322 10,803 13,257Canadian Natural Resources Limited 55,450 1,989 2,964Canadian Pacific Railway Limited 23,500 1,768 2,138CCL Industries Inc., Class “B” 107,431 6,411 7,287CGI Inc. 47,379 4,044 5,299Chartwell Retirement Residences 86,348 965 1,021Colliers International Group Inc. 10,717 936 2,019Constellation Software Inc. 1,115 1,455 2,617Enbridge Inc. 41,048 1,928 2,028FirstService Corporation 7,820 914 1,944Fortis Inc. 20,350 1,008 1,242Franco-Nevada Corporation 17,925 2,634 3,136Granite Real Estate Investment Trust 18,664 1,429 1,967Innergex Renewable Energy Inc. 49,972 894 929Intact Financial Corporation 51,489 6,978 8,466Loblaw Companies Limited 48,356 3,311 5,012Magna International Inc. 17,800 1,954 1,822Manulife Financial Corporation 108,471 2,638 2,615Maple Leaf Foods Inc. 16,900 477 494National Bank of Canada 53,510 4,271 5,161Northland Power Inc. 121,309 4,272 4,604Nutrien Ltd. 47,985 3,067 4,562Onex Corporation 20,060 1,497 1,992Open Text Corporation 32,728 1,907 1,965Parkland Corporation 67,443 2,737 2,345Power Corporation of Canada 51,249 1,527 2,142PrairieSky Royalty Ltd. 196,539 2,878 2,679Restaurant Brands International Inc. 76,223 6,101 5,846Royal Bank of Canada 106,971 11,449 14,361Shaw Communications Inc., Class “B” 82,620 2,255 3,172Shopify Inc., Class “A” 4,820 7,198 8,395Sun Life Financial Inc. 34,440 2,022 2,425Suncor Energy Inc. 233,362 6,398 7,386TC Energy Corporation 82,725 4,912 4,867TELUS Corporation 55,550 1,412 1,655TFI International Inc. 27,410 3,124 3,889Thomson Reuters Corporation 14,402 1,416 2,179Toromont Industries Ltd. 28,711 2,384 3,283Toronto-Dominion Bank (The) 129,957 9,405 12,603Tricon Residential Inc. 89,250 1,016 1,728Waste Connections, Inc. 43,022 5,173 7,417Westshore Terminals Investment Corporation 77,716 1,578 2,084

171,287 212,321United States (3.3%)Alphabet Inc., Class “C” 618 1,161 2,263Danaher Corporation 6,510 1,658 2,711Microsoft Corporation 6,110 1,459 2,598



OF INVESTMENTS (97.0%) 175,455 219,893CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) (2.6%)Canadian 5,856 5,856Foreign 127 126

5,983 5,982OTHER NET ASSETS (LIABILITIES) (0.4%) 700NET ASSETS ATTRIBUTABLE TO HOLDERS OF




28

The Fund (note 1)

The Fund’s investment objective is to achieve long-term capitalappreciation by investing primarily in a diversified portfolio of equitysecurities of companies that are located or doing business primarilyin Canada.



Interest rate risk


Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 7,796 – 7,796 3.47,796 – 7,796 3.4

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 5,589 – 5,589 3.25,589 – 5,589 3.2


Price risk

As at December 31, 2021, approximately 97.0% (June 30, 2021 –96.8%) of the Fund’s net assets were directly exposed to price risk. Ifprices of these instruments had fluctuated by 10%, with all othervariables held constant, net assets attributable to holders ofredeemable units of the Fund would have decreased or increased byapproximately $21,989,000 (June 30, 2021 – $17,150,000). In practice,

actual results may differ from this sensitivity analysis and thedifference could be material.

Credit risk


Concentration risk


December 31, 2021 June 30, 2021

Communication Services 5.7 6.0Consumer Discretionary 3.4 3.2Consumer Staples 5.9 6.3Energy 9.8 8.5Financials 30.0 28.4Health Care 1.6 1.7Industrials 17.0 16.4Information Technology 9.2 11.2Materials 6.6 6.8Real Estate 3.9 4.0Utilities 3.9 4.3CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Equities 219,893 – – 219,893219,893 – – 219,893

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Equities 171,501 – – 171,501171,501 – – 171,501




As at December 31, 2021 and June 30, 2021, the Fund did not enterinto any agreement whereby the financial instruments were eligible foroffset.


The Fund did not hold any interest in Underlying Funds as atDecember 31, 2021 or June 30, 2021.





29



2021June 30,


Non-derivative financial assets 720,093 621,949Cash 602 3,385Receivable for securities sold 688 –Subscriptions receivable 883 1,416Accrued investment income and other 30 217Total assets 722,296 626,967

LIABILITIESCurrent liabilitiesManagement fee payable (note 5) 725 615Payable for securities purchased – 1,433Redemptions payable 260 535Accrued expenses 100 87Distributions payable 1 –Total liabilities 1,086 2,670Net assets attributable to holders of redeemable units 721,210 624,297

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 523,827 437,066Series F 171,062 161,646Series I 26,321 25,585

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNITSeries A 10.93 10.92Series F 10.20 10.16Series I 10.68 10.64



through profit or lossDividends 5,000 1,945Interest for distribution purposes 15,909 9,718Net realized gain (loss) on non-derivative financial assets 58 –Change in unrealized gain (loss) on non-derivative financial

assets (1,875) 19,163Total income (loss), net 19,092 30,826

EXPENSESManagement fees (note 5) 3,711 2,074Fixed administration fees (note 6) 512 303Independent Review Committee fees 1 1Harmonized Sales Tax/Goods and Services Tax 436 238Total expenses 4,660 2,616Expenses absorbed by the Manager (30) (57)Net expenses 4,630 2,559Net increase (decrease) in net assets attributable to holders



Series A 9,746 17,851Series F 3,992 8,706Series I 724 1,710


Series A 0.22 0.75Series F 0.24 0.74Series I 0.29 0.80

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 44,523,545 23,753,672Series F 16,348,336 11,866,961Series I 2,519,375 2,130,840




Series A 437,066 204,430Series F 161,646 107,238Series I 25,585 20,925

624,297 332,593

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 9,746 17,851Series F 3,992 8,706Series I 724 1,710

14,462 28,267


Series A (3,630) (1,519)Series F (1,961) (1,229)Series I (407) (305)

From return of capitalSeries A (5,359) (3,355)Series F (1,314) (1,164)Series I (201) (212)

(12,872) (7,784)



Reinvested distributionsSeries A 8,597 4,689Series F 2,335 1,723Series I 531 435

Payments on redemptionSeries A (42,560) (18,629)Series F (18,323) (13,860)Series I (3,349) (1,124)

95,323 115,529

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 86,761 109,258Series F 9,416 23,796Series I 736 2,958

96,913 136,012

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 523,827 313,688Series F 171,062 131,034Series I 26,321 23,883

721,210 468,605




Net realized (gain) loss on non-derivative financial assets (58) –Change in unrealized (gain) loss on non-derivative financial

assets 1,875 (19,163)Other non-cash transactions (20,909) (11,663)Purchases of non-derivative financial assets and liabilities (82,013) (103,267)Proceeds from sale of non-derivative financial assets and

liabilities 840 –Accrued investment income and other 187 91Accrued expenses and other payables 123 163


CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable units 138,944 136,703Amounts paid on redemption of redeemable units (54,826) (29,965)Distributions to unitholders of redeemable units (1,408) (937)Net cash provided by (used in) financing activities 82,710 105,801

Net increase (decrease) in cash (2,783) 229Cash (bank overdraft), beginning of period 3,385 1,222CASH (BANK OVERDRAFT), END OF PERIOD 602 1,451

Dynamic Conservative Yield Private Pool (Unaudited)


30

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)UNDERLYING FUNDS (99.9%)Canadian Equity Funds (16.9%)Dynamic North American Dividend Private Pool,



494,168 490,307Global Equity Funds (15.0%)Dynamic International Dividend Private Pool,

Series “O” 6,255,544 88,064 107,883AVERAGE COST AND CARRYING VALUE


(BANK OVERDRAFT) (0.1%)Canadian 602 602Foreign –

602 602OTHER NET ASSETS (LIABILITIES) (0.0%) 515NET ASSETS ATTRIBUTABLE TO HOLDERS OF




31

The Fund (note 1)

The Fund’s investment objective is to achieve income and somelong-term capital appreciation by investing primarily in a diversifiedportfolio of fixed income and income-oriented equity securities fromaround the world.



Interest rate risk


Currency risk


Price risk


Credit risk


Concentration risk


December 31, 2021 June 30, 2021

UNDERLYING FUNDS 99.9 99.6Canadian Equity Funds 16.9 15.7Fixed Income and Credit Funds 68.0 68.6Global Equity Funds 15.0 15.3CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)


June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)








December 31, 2021




Underlying Fund(%)

Dynamic Active Core Bond Private Pool, Series “O” 210,044 15.9Dynamic Active Credit Strategies Private Pool, Series “O” 140,439 17.2Dynamic International Dividend Private Pool, Series “O” 107,883 25.0Dynamic North American Dividend Private Pool, Series “O” 121,903 43.0Dynamic Tactical Bond Private Pool, Series “O” 139,824 8.6

720,093

June 30, 2021




Underlying Fund(%)


621,949





32



2021June 30,


Non-derivative financial assets 624,713 497,617Cash – 677Receivable for securities sold 1,015 62Subscriptions receivable 1,640 3,136Accrued investment income and other 95 217Total assets 627,463 501,709

LIABILITIESCurrent liabilitiesBank overdraft 70 –Management fee payable (note 5) 553 428Payable for securities purchased 532 1,728Redemptions payable 130 381Accrued expenses 88 68Distributions payable 312 –Total liabilities 1,685 2,605Net assets attributable to holders of redeemable shares 625,778 499,104

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIESSeries A 258,785 190,950Series F 279,838 235,387Series FT 34,297 33,991Series T 52,858 38,776

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SHARESeries A 12.09 11.89Series F 12.66 12.39Series FT 9.73 9.70Series T 10.73 10.74



through profit or lossDividends 4,262 1,602Interest for distribution purposes 13,893 8,014Net realized gain (loss) on non-derivative financial assets 343 168Change in unrealized gain (loss) on non-derivative financial

assets (2,649) 15,611Total income (loss), net 15,849 25,395

EXPENSESManagement fees (note 5) 2,677 1,394Fixed administration fees (note 6) 429 249Independent Review Committee fees 1 1Interest expense 1 1Harmonized Sales Tax/Goods and Services Tax 365 189Total expenses 3,473 1,834Expenses absorbed by the Manager (95) (62)Net expenses 3,378 1,772Net increase (decrease) in net assets attributable to holders



Series A 4,515 6,781Series F 6,232 13,389Series FT 793 2,073Series T 931 1,380


Series A 0.23 0.81Series F 0.31 0.89Series FT 0.23 0.71Series T 0.22 0.76

WEIGHTED AVERAGE NUMBER OF SHARES PER SERIESSeries A 19,089,209 8,386,601Series F 20,499,127 15,140,064Series FT 3,541,504 2,924,157Series T 4,204,448 1,832,581


Dynamic Conservative Yield Private Pool Class (Unaudited)


33



Series A 190,950 81,151Series F 235,387 158,292Series FT 33,991 25,510Series T 38,776 15,854

499,104 280,807

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESFROM OPERATIONSSeries A 4,515 6,781Series F 6,232 13,389Series FT 793 2,073Series T 931 1,380

12,471 23,623


Series A (123) (117)Series F (97) (86)Series FT (35) (29)Series T (42) (26)

From net realized gains on investmentsSeries A (431) (128)Series F (600) (400)Series FT (207) (156)Series T (140) (28)


(2,888) (1,699)



Reinvested distributionsSeries A 539 235Series F 611 407Series FT 157 112Series T 337 151

Payments on redemptionSeries A (19,592) (6,365)Series F (23,418) (16,346)Series FT (4,411) (3,231)Series T (4,253) (998)

117,091 84,451

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESSeries A 67,835 38,333Series F 44,451 53,064Series FT 306 5,544Series T 14,082 9,434

126,674 106,375

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES, END OF PERIODSeries A 258,785 119,484Series F 279,838 211,356Series FT 34,297 31,054Series T 52,858 25,288

625,778 387,182




Net realized (gain) loss on non-derivative financial assets (343) (168)Change in unrealized (gain) loss on non-derivative financial

assets 2,649 (15,611)Other non-cash transactions (18,155) (9,616)Purchases of non-derivative financial assets and liabilities (117,059) (82,408)Proceeds from sale of non-derivative financial assets and

liabilities 3,663 1,868Accrued investment income and other 122 44Accrued expenses and other payables 145 106


CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable shares 168,617 110,226Amounts paid on redemption of redeemable shares (51,925) (27,160)Distributions to shareholders of redeemable shares (932) (571)Net cash provided by (used in) financing activities 115,760 82,495

Net increase (decrease) in cash (747) 333Cash (bank overdraft), beginning of period 677 438CASH (BANK OVERDRAFT), END OF PERIOD (70) 771

Interest paid(1) 1 1




34

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)UNDERLYING FUNDS (99.8%)Canadian Equity Funds (16.5%)Dynamic North American Dividend Private Pool,



431,483 428,835Global Equity Funds (14.8%)Dynamic International Dividend Private Pool,

Series “O” 5,382,881 76,448 92,834AVERAGE COST AND CARRYING VALUE


(BANK OVERDRAFT) (0.0%)Canadian (70) (70)Foreign –

(70) (70)OTHER NET ASSETS (LIABILITIES) (0.2%) 1,135NET ASSETS ATTRIBUTABLE TO HOLDERS OF




35

The Fund (note 1)

The Fund’s investment objective is to achieve income and somelong-term capital appreciation by investing primarily in a diversifiedportfolio of fixed income and income-oriented equity securities fromaround the world.



Interest rate risk


Currency risk


Price risk


Credit risk


Concentration risk


December 31, 2021 June 30, 2021

UNDERLYING FUNDS 99.8 99.7Canadian Equity Funds 16.5 15.4Fixed Income and Credit Funds 68.5 69.1Global Equity Funds 14.8 15.2CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)


June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)








December 31, 2021




Underlying Fund(%)


624,713

June 30, 2021




Underlying Fund(%)


497,617





36



2021June 30,



Cash 121,152 71,124Receivable for securities sold 1,534 34,559Subscriptions receivable 2,591 4,742Accrued investment income and other 1,312 1,625Total assets 1,918,756 1,605,120


Derivatives 374 183Management fee payable (note 5) 1,565 1,258Payable for securities purchased 7,490 29,036Redemptions payable 886 2,953Accrued expenses 227 186Distributions payable 9 –Total liabilities 10,551 33,616Net assets attributable to holders of redeemable shares 1,908,205 1,571,504

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIESSeries A 612,447 477,268Series F 822,601 695,496Series FH (in equivalent CAD) 35,551 29,503Series FT 2,887 2,531Series I 93,211 81,766Series O 341,508 284,940

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIES – USDSeries FH 28,090 23,784

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SHARESeries A 17.06 16.56Series F 23.77 22.95Series FH (in equivalent CAD) 27.47 25.97Series FT 10.38 10.31Series I 22.45 21.59Series O 25.04 24.06




through profit or lossDividends 5,667 2,529Interest for distribution purposes 141 130Net realized gain (loss) on non-derivative financial assets 28,456 55,348Change in unrealized gain (loss) on non-derivative financial

assets 34,509 96,426Net realized gain (loss) on derivatives 1,347 (74)Change in unrealized gain (loss) on derivatives (224) 45


Net realized and unrealized foreign currency translation gain (loss) (278) (1,678)Total income (loss), net 69,618 152,726

EXPENSESManagement fees (note 5) 7,865 3,179Fixed administration fees (note 6) 1,146 532Independent Review Committee fees 1 1Interest expense 25 3Foreign withholding taxes/tax reclaims 681 264Harmonized Sales Tax/Goods and Services Tax 837 356Transaction costs 1,352 695Total expenses 11,907 5,030Expenses absorbed by the Manager (220) (182)Net expenses 11,687 4,848Net increase (decrease) in net assets attributable to holders



Series A 15,038 30,418Series F 25,777 76,046Series FH (in equivalent CAD) 1,810 919Series FT 88 –Series I 3,386 11,092Series O 11,832 29,403


Series FH 1,436 697


Series A 0.47 2.67Series F 0.81 3.82Series FH (in equivalent CAD) 1.45 3.04Series FT 0.33 –Series I 0.85 3.69Series O 0.94 4.14


Series FH 1.15 2.31

WEIGHTED AVERAGE NUMBER OF SHARES PER SERIESSeries A 32,400,169 11,351,059Series F 32,100,941 19,893,078Series FH 1,244,492 302,601Series FT 259,024 –Series I 4,023,698 2,999,102Series O 12,713,025 7,102,201


Dynamic Global Equity Private Pool Class (Unaudited)


37



Series A 477,268 108,148Series F 695,496 329,523Series FH 29,503 6,079Series FT 2,531 –Series I 81,766 51,658Series O 284,940 130,246

1,571,504 625,654

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESFROM OPERATIONSSeries A 15,038 30,418Series F 25,777 76,046Series FH 1,810 919Series FT 88 –Series I 3,386 11,092Series O 11,832 29,403

57,931 147,878


Series A – (21)Series F – (56)Series FH – (1)Series I – (9)Series O – (23)

From return of capitalSeries FT (78) –

(78) (110)


Series A 151,307 124,555Series F 159,001 131,863Series FH 6,411 3,296Series FT 342 –Series I 12,176 10,119Series O 49,779 31,932

Reinvested distributionsSeries A – 21Series F – 47Series FH – 1Series FT 22 –Series I – 9Series O – 23

Payments on redemptionSeries A (31,166) (8,741)Series F (57,673) (28,919)Series FH (2,173) (416)Series FT (18) –Series I (4,117) (4,318)Series O (5,043) (300)

278,848 259,172

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESSeries A 135,179 146,232Series F 127,105 178,981Series FH 6,048 3,799Series FT 356 –Series I 11,445 16,893Series O 56,568 61,035

336,701 406,940

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES, END OF PERIODSeries A 612,447 254,380Series F 822,601 508,504Series FH 35,551 9,878Series FT 2,887 –Series I 93,211 68,551Series O 341,508 191,281

1,908,205 1,032,594





assets (34,509) (96,426)Change in unrealized (gain) loss on derivatives 224 (45)Unrealized foreign currency translation (gain) loss 664 364Purchases of non-derivative financial assets and liabilities (1,488,280) (578,996)Proceeds from sale of non-derivative financial assets and

liabilities 1,263,594 379,450Accrued investment income and other 313 (207)Accrued expenses and other payables 348 408


CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable shares 373,865 298,357Amounts paid on redemption of redeemable shares (94,955) (41,504)Distributions to shareholders of redeemable shares (47) –Net cash provided by (used in) financing activities 278,863 256,853

Unrealized foreign currency translation gain (loss) (664) (364)Net increase (decrease) in cash 50,692 53,931Cash (bank overdraft), beginning of period 71,124 50,870CASH (BANK OVERDRAFT), END OF PERIOD 121,152 104,437

Interest paid(1) 25 3Interest received, net of withholding taxes(1) 114 124Dividends received, net of withholding taxes(1) 5,086 2,077




38

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (93.8%)Argentina (1.3%)MercadoLibre, Inc. 14,200 20,651 24,233Australia (1.4%)Atlassian Corporation PLC, Class “A” 53,700 22,144 25,914Belgium (0.9%)Anheuser-Busch InBev SA/NV 224,269 18,797 17,175Canada (1.0%)Shopify Inc., Class “A” 11,400 23,826 19,873Denmark (1.2%)Genmab A/S, Sponsored ADR 164,900 7,935 8,256Novo Nordisk A/S, ADR 100,000 11,522 14,175

19,457 22,431France (3.4%)LVMH Moët Hennessy Louis Vuitton SE 30,970 23,566 32,326Thales SA 134,819 16,412 14,513VINCI SA 133,700 16,499 17,918

56,477 64,757Germany (4.4%)adidas AG 40,000 16,108 14,592Bayer Aktiengesellschaft 194,760 16,406 13,188RWE AG 326,800 16,213 16,795SAP SE 108,158 17,887 19,539Scout24 Se, Common Stock 230,820 20,192 20,467

86,806 84,581Hong Kong (1.0%)CK Hutchison Holdings Limited 242,363 2,479 1,979Techtronic Industries Company Limited 701,040 9,741 17,662

12,220 19,641Ireland (2.7%)Accenture PLC, Class “A” 68,900 26,309 36,149ICON PLC 39,300 15,012 15,404

41,321 51,553Israel (4.7%)Elbit Systems Ltd. 93,100 15,647 20,403InMode Ltd. 233,000 22,639 20,813Nova Measuring Instruments Ltd. 160,000 12,441 29,666Strauss Group Ltd. 481,200 16,203 18,975

66,930 89,857Japan (3.0%)Hoya Corporation 86,000 10,598 16,129Keyence Corporation 29,700 22,022 23,608Sony Corporation 108,400 11,031 17,332

43,651 57,069Luxembourg (1.2%)Globant SA 55,900 19,652 22,221Netherlands (3.6%)Adyen N.V. 6,900 10,328 22,834ASML Holding NV, ADR 30,400 19,371 30,631Royal Dutch Shell PLC, “B” Shares 566,200 16,122 15,738

45,821 69,203Portugal (0.0%)Banco Espírito Santo, SA* 9,300 10 –Singapore (1.5%)Sea Limited, ADR 102,000 21,641 28,879Spain (0.9%)Amadeus IT Holding, SA, Class “A” 210,800 16,645 17,959Sweden (2.9%)Dometic Group AB 879,980 10,950 14,549Embracer Group AB 1,425,600 16,951 19,113Evolution Gaming Group AB 125,040 12,240 22,258

40,141 55,920Switzerland (6.2%)INFICON Holding AG 10,000 10,420 18,445Interroll Holding AG 3,200 9,555 18,179Lonza Group AG 14,000 14,366 14,748Novartis AG 161,200 17,788 17,901Schweiter Technologies AG 8,000 13,448 14,977Sika AG 33,700 12,295 17,690Temenos AG 97,830 17,296 17,071

95,168 119,011United Kingdom (3.1%)Ashtead Group PLC 171,600 11,871 17,414British American Tobacco PLC 313,542 15,294 14,711Endava PLC, Sponsored ADR 51,600 10,150 10,966Unilever PLC 244,637 17,733 16,570

55,048 59,661United States (49.4%)Advanced Micro Devices, Inc. 157,800 26,166 28,739Alarm.com Holdings, Inc. 163,300 16,955 17,528Align Technology, Inc. 21,460 7,968 17,849

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (93.8%) (cont’d)United States (49.4%) (cont’d)Alphabet Inc., Class “A” 12,410 33,009 45,501Alphabet Inc., Class “C” 5,100 15,642 18,677Amazon.com, Inc. 4,810 15,232 20,298American Tower Corporation 50,100 14,742 18,546Analog Devices, Inc. 57,900 13,588 12,880Anthem, Inc. 35,100 13,846 20,592Apple Inc. 117,000 23,071 26,294Bill.com Holdings, Inc. 28,600 11,888 9,018Booz Allen Hamilton Holding Corporation 196,380 21,544 21,074CBRE Group, Inc., Class “A” 115,000 15,191 15,793Charles Schwab Corporation (The) 133,000 13,389 14,156Datadog, Inc., Class “A” 128,100 22,755 28,876Deckers Outdoor Corporation 26,200 12,922 12,146Devon Energy Corporation 333,900 17,661 18,615EPAM Systems, Inc. 24,500 6,141 20,727Fidelity National Information Services, Inc. 113,700 17,839 15,707Interactive Brokers Group, Inc., Class “A” 240,830 18,414 24,207Keysight Technologies, Inc. 67,280 8,997 17,584Lam Research Corporation 22,150 9,613 20,160Lowe’s Companies, Inc. 43,000 14,127 14,067lululemon athletica inc. 35,200 18,200 17,439Mastercard Incorporated, Class “A” 43,000 18,598 19,554McDonald’s Corporation 49,700 13,172 16,862Medtronic PLC 137,600 19,411 18,015Microsoft Corporation 158,900 43,525 67,635MongoDB, Inc. 47,000 18,209 31,487NextEra Energy, Inc. 120,000 14,034 14,179NIKE, Inc., Class “B” 72,600 11,970 15,314NVIDIA Corporation 60,200 20,602 22,408Oak Street Health, Inc. 420,000 27,006 17,616Palo Alto Networks, Inc. 45,900 27,693 32,343Pfizer Inc. 236,600 11,731 17,682Progressive Corporation (The) 152,190 17,830 19,772S&P Global Inc. 41,900 20,807 25,026SVB Financial Group 25,000 19,459 21,460Ulta Beauty, Inc. 58,810 23,802 30,690Union Pacific Corporation 48,400 12,538 15,432UnitedHealth Group Incorporated 22,000 13,867 13,981Visa Inc., Class “A” 66,400 16,016 18,211Vivint Smart Home Inc. 1,301,282 17,508 16,107Wells Fargo & Company 242,500 11,921 14,725ZoomInfo Technologies Inc. 211,200 18,226 17,153



OF INVESTMENTS (93.8%) 1,492,232 1,792,063UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.0%) (270)CASH AND SHORT TERM INSTRUMENTS



REDEEMABLE SHARES (100.0%) 1,908,205

* These securities have no quoted market values and are classified as Level 3 securities.



39




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)Bank of Montreal A-1 28-Feb-22 CAD 291 (EUR) (200) 0.688 0.694 2Bank of Nova Scotia (The) A-1 28-Feb-22 CAD 3,246 (HKD) (19,900) 6.131 6.160 15Royal Bank of Canada A-1+ 28-Feb-22 CAD 145 (EUR) (100) 0.687 0.694 1Royal Bank of Canada A-1+ 28-Feb-22 CAD 577 (EUR) (400) 0.693 0.694 1Royal Bank of Canada A-1+ 28-Feb-22 CAD 3,947 (HKD) (24,200) 6.131 6.160 19State Street Bank & Trust Company A-1+ 28-Feb-22 EUR 1,000 (CAD) (1,438) 1.438 1.442 4Toronto-Dominion Bank (The) A-1+ 28-Feb-22 CAD 1,307 (EUR) (900) 0.688 0.694 10Toronto-Dominion Bank (The) A-1+ 28-Feb-22 EUR 300 (CAD) (429) 1.429 1.442 4

56



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 366 (USD) (288) 0.787 0.790 1State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 450 (USD) (349) 0.774 0.790 9State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 506 (USD) (398) 0.787 0.790 2State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 520 (USD) (407) 0.782 0.790 5State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 604 (USD) (472) 0.781 0.790 7State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 652 (USD) (510) 0.782 0.790 7State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 709 (USD) (555) 0.783 0.790 7State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 711 (USD) (554) 0.779 0.790 10State Street Bank & Trust Company A-1+ 28-Feb-22 USD 514 (CAD) (650) 1.265 1.266 –

48




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)Bank of Montreal A-1 28-Feb-22 CAD 2,297 (EUR) (1,600) 0.697 0.694 (10)Bank of Montreal A-1 28-Feb-22 HKD 800 (CAD) (131) 0.164 0.162 (2)Bank of Montreal A-1 28-Feb-22 HKD 1,000 (CAD) (165) 0.165 0.162 (2)Bank of Montreal A-1 28-Feb-22 HKD 1,700 (CAD) (280) 0.165 0.162 (4)Bank of Montreal A-1 28-Feb-22 HKD 1,900 (CAD) (309) 0.163 0.162 (1)Bank of Montreal A-1 28-Feb-22 HKD 2,000 (CAD) (328) 0.164 0.162 (3)Bank of Montreal A-1 28-Feb-22 HKD 2,100 (CAD) (348) 0.166 0.162 (7)Bank of Montreal A-1 28-Feb-22 HKD 2,100 (CAD) (345) 0.164 0.162 (4)Bank of Montreal A-1 28-Feb-22 HKD 2,300 (CAD) (377) 0.164 0.162 (4)Royal Bank of Canada A-1+ 28-Feb-22 CAD 8,182 (EUR) (5,700) 0.697 0.694 (35)Royal Bank of Canada A-1+ 28-Feb-22 HKD 1,200 (CAD) (198) 0.165 0.162 (3)Royal Bank of Canada A-1+ 28-Feb-22 HKD 1,200 (CAD) (197) 0.164 0.162 (2)Royal Bank of Canada A-1+ 28-Feb-22 HKD 2,200 (CAD) (362) 0.164 0.162 (4)Royal Bank of Canada A-1+ 28-Feb-22 HKD 4,000 (CAD) (652) 0.163 0.162 (2)Royal Bank of Canada A-1+ 28-Feb-22 HKD 4,300 (CAD) (700) 0.163 0.162 (2)Royal Bank of Canada A-1+ 28-Feb-22 HKD 7,200 (CAD) (1,184) 0.164 0.162 (15)State Street Bank & Trust Company A-1+ 28-Feb-22 HKD 900 (CAD) (148) 0.164 0.162 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 HKD 3,800 (CAD) (630) 0.166 0.162 (13)Toronto-Dominion Bank (The) A-1+ 28-Feb-22 CAD 287 (EUR) (200) 0.697 0.694 (1)Toronto-Dominion Bank (The) A-1+ 28-Feb-22 CAD 11,914 (EUR) (8,300) 0.697 0.694 (52)

(167)



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 292 (CAD) (373) 1.278 1.266 (4)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 300 (CAD) (385) 1.283 1.266 (5)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 307 (CAD) (394) 1.281 1.266 (5)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 316 (CAD) (402) 1.269 1.266 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 378 (CAD) (484) 1.280 1.266 (6)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 595 (CAD) (765) 1.284 1.266 (11)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 616 (CAD) (787) 1.277 1.266 (7)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 28,700 (CAD) (36,480) 1.271 1.266 (155)

(194)

Total Unrealized Loss on Currency Forward Contracts (361)




40

The Fund (note 1)

The Fund’s investment objective is to seek to achieve long-termcapital appreciation by investing primarily in a diversified portfolio ofequity securities from around the world.



Interest rate risk


Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 1,266,916 – 1,266,916 66.4Euro 223,920 (23,209) 200,711 10.5Swiss franc 119,459 – 119,459 6.3Japanese yen 57,069 – 57,069 3.0Swedish krona 55,920 – 55,920 2.9Pound sterling 48,137 – 48,137 2.5Israeli shekel 39,424 – 39,424 2.1Hong Kong dollar 20,099 (874) 19,225 1.0New Taiwan dollar 319 – 319 0.0Danish krone 13 – 13 0.0Norwegian krone 6 – 6 0.0

1,831,282 (24,083) 1,807,199 94.7

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 970,838 – 970,838 61.8Euro 195,880 (19,145) 176,735 11.2Swiss franc 89,769 – 89,769 5.7Swedish krona 78,400 – 78,400 5.0Hong Kong dollar 61,288 (6,232) 55,056 3.5Pound sterling 50,553 – 50,553 3.2Japanese yen 27,094 – 27,094 1.7Israeli shekel 23,463 – 23,463 1.5Chinese yuan 15,363 – 15,363 1.0New Taiwan dollar 311 – 311 0.0Danish krone 13 – 13 0.0Norwegian krone 6 – 6 0.0

1,512,978 (25,377) 1,487,601 94.6

The net assets attributable to Series FH units of the Fund are hedgedagainst changes in the U.S. currency relative to the Canadian

currency and in doing so attempts to eliminate the fluctuationsbetween the Canadian and U.S. net assets. The following table reflectsthe impact of this hedge on the net assets attributable to Series FH.

Series FH

December 31, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 35,551 (36,056) (505)35,551 (36,056) (505)

Series FH

June 30, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 29,503 (29,683) (180)29,503 (29,683) (180)

As at December 31, 2021, if the Canadian dollar fluctuated by 10% inrelation to all other foreign currencies, with all other variables heldconstant, net assets attributable to holders of redeemable units ofthe Fund would have decreased or increased by $180,669,000 orapproximately 9.5% (June 30, 2021 – $148,742,000 or approximately9.5%). In practice, actual results may differ from this sensitivityanalysis and the difference could be material.

Price risk

As at December 31, 2021, approximately 93.9% (June 30, 2021 –94.8%) of the Fund’s net assets were directly exposed to price risk. Ifprices of these instruments had fluctuated by 10%, with all othervariables held constant, net assets attributable to holders ofredeemable units of the Fund would have decreased or increased byapproximately $179,206,000 (June 30, 2021 – $149,293,000). Inpractice, actual results may differ from this sensitivity analysis andthe difference could be material.

Credit risk




41

Concentration risk


December 31, 2021 June 30, 2021

EQUITIES 93.8 94.8Argentina 1.3 1.3Australia 1.4 1.5Belgium 0.9 0.7Brazil – 1.9Canada 1.0 1.4China – 5.9Denmark 1.2 0.5France 3.4 5.7Germany 4.4 3.2Hong Kong 1.0 1.4Ireland 2.7 –Israel 4.7 2.4Japan 3.0 1.7Luxembourg 1.2 0.4Netherlands 3.6 4.3Portugal 0.0 0.0Russia – 0.1Singapore 1.5 2.3Spain 0.9 –Sweden 2.9 4.9Switzerland 6.2 5.7Taiwan – 0.9Uruguay – 0.5United Kingdom 3.1 3.2United States 49.4 44.9UNREALIZED GAIN (LOSS) ON DERIVATIVES 0.0 0.0CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Equities 1,229,305 562,758 – 1,792,063Unrealized gain on currency forward contracts – 104 – 104

1,229,305 562,862 – 1,792,167Unrealized loss on currency forward contracts – (361) – (361)Unrealized loss on currency spot contracts – (13) – (13)

– (374) – (374)1,229,305 562,488 – 1,791,793

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Equities 952,674 540,259 – 1,492,933Unrealized gain on currency forward contracts – 137 – 137

952,674 540,396 – 1,493,070Unrealized loss on currency forward contracts – (159) – (159)Unrealized loss on currency spot contracts – (24) – (24)

– (183) – (183)952,674 540,213 – 1,492,887



Reconciliation of Level 3 financial instruments

Below is a summary of the movement in the Fund’s Level 3 financialinstruments.

December 31, 2021($000s)

June 30, 2021($000s)

Beginning of period – –Purchases – –Sales/Return of Capital – –Transfers into Level 3 10 –Transfers out of Level 3 – –Net realized gains (losses) – –Net changes in unrealized gain (loss)* (10) –End of period – –

* Net change in unrealized gain (loss) for Level 3 financial instruments held as at December 31,2021 and June 30, 2021 was $(10,000) and nil, respectively.

During the period ended December 31, 2021, investments ofapproximately $10,000 (June 30, 2021 – nil) were transferred fromLevel 2 to 3 as the fair value of these securities are valued usingunobservable inputs.



December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


104 (89) – –

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


361 (89) – 272

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


137 (18) – 119

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


159 (18) – 141



42







43



2021June 30,



Cash 35,215 48,601Receivable for securities sold 4,353 32,085Subscriptions receivable 1,173 1,802Accrued investment income and other 2,269 2,381Total assets 2,247,178 2,082,014


Derivatives 2,305 723Management fee payable (note 5) 1,890 1,701Payable for securities purchased 501 24,384Redemptions payable 548 2,022Accrued expenses 310 285Distributions payable 180 25Total liabilities 5,734 29,140Net assets attributable to holders of redeemable units 2,241,444 2,052,874

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 760,130 667,247Series F 1,208,801 1,132,611Series FH (in equivalent CAD) 10,621 7,701Series I 261,892 245,315


NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNITSeries A 11.75 11.22Series F 13.15 12.66Series FH (in equivalent CAD) 16.53 15.53Series I 12.83 12.36




through profit or lossDividends 10,174 10,494Interest for distribution purposes 27,889 22,512Net realized gain (loss) on non-derivative financial assets 38,512 34,331Change in unrealized gain (loss) on non-derivative financial

assets 91,571 88,181Net realized gain (loss) on derivatives (228) 4,206Change in unrealized gain (loss) on derivatives (1,566) (72)



EXPENSESManagement fees (note 5) 9,749 8,119Fixed administration fees (note 6) 1,616 1,386Independent Review Committee fees 1 1Interest expense 11 20Foreign withholding taxes/tax reclaims 777 839Harmonized Sales Tax/Goods and Services Tax 1,218 1,032Transaction costs 403 358Total expenses 13,775 11,755Expenses absorbed by the Manager – (25)Net expenses 13,775 11,730Net increase (decrease) in net assets attributable to holders



Series A 47,544 43,436Series F 85,220 84,030Series FH (in equivalent CAD) 821 123Series I 19,325 19,789


Series FH 652 93


Series A 0.78 0.82Series F 0.94 0.97Series FH (in equivalent CAD) 1.53 0.28Series I 0.97 0.99


Series FH 1.21 0.21

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 61,609,129 53,125,664Series F 90,191,449 85,894,517Series FH 538,890 437,004Series I 19,932,721 19,908,707


Dynamic Global Yield Private Pool (Unaudited)


44



Series A 667,247 538,528Series F 1,132,611 989,684Series FH 7,701 6,734Series I 245,315 220,728

2,052,874 1,755,674

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 47,544 43,436Series F 85,220 84,030Series FH 821 123Series I 19,325 19,789

152,910 147,378


Series A (1,306) (8,838)Series F (11,685) (14,154)Series FH (83) (85)Series I (3,762) (3,827)

From net realized gains on investmentsSeries A (13,818) –Series F (28,852) –Series FH (211) –Series I (6,168) –

From return of capitalSeries A – (1,808)Series F – (2,852)Series FH – (17)Series I – (765)

(65,885) (32,346)


Series A 91,042 88,897Series F 79,927 90,543Series FH 2,418 323Series I 14,955 16,397

Reinvested distributionsSeries A 14,303 10,160Series F 28,653 11,729Series FH 233 81Series I 9,364 4,375

Payments on redemptionSeries A (44,882) (69,402)Series F (77,073) (90,393)Series FH (258) (217)Series I (17,137) (16,886)

101,545 45,607

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 92,883 62,445Series F 76,190 78,903Series FH 2,920 208Series I 16,577 19,083

188,570 160,639

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 760,130 600,973Series F 1,208,801 1,068,587Series FH 10,621 6,942Series I 261,892 239,811

2,241,444 1,916,313





assets (91,571) (88,181)Change in unrealized (gain) loss on derivatives 1,566 72Unrealized foreign currency translation (gain) loss 2 –Other non-cash transactions (27,670) (22,271)Purchases of non-derivative financial assets and liabilities (634,712) (409,238)Proceeds from sale of non-derivative financial assets and



CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable units 178,646 190,955Amounts paid on redemption of redeemable units (130,499) (170,761)Distributions to unitholders of redeemable units (13,177) (5,982)Net cash provided by (used in) financing activities 34,970 14,212

Unrealized foreign currency translation gain (loss) (2) –Net increase (decrease) in cash (13,384) (10,951)Cash (bank overdraft), beginning of period 48,601 94,482CASH (BANK OVERDRAFT), END OF PERIOD 35,215 83,531





45

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (61.9%)Australia (0.4%)Goodman Group 355,000 4,841 8,668Belgium (0.4%)Anheuser-Busch InBev SA/NV 107,200 9,675 8,209Canada (14.2%)Alimentation Couche-Tard Inc. 143,300 5,984 7,595Bank of Nova Scotia (The) 183,500 13,280 16,432Boyd Group Services Inc. 36,800 8,089 7,346Brookfield Asset Management Inc., Class “A” 214,385 8,728 16,377Brookfield Infrastructure Partners L.P., Units 123,702 6,541 9,524Brookfield Renewable Partners L.P. 74,251 3,648 3,364Canadian Apartment Properties Real Estate Investment

Trust 119,435 5,944 7,161Canadian National Railway Company 89,400 10,050 13,891Canadian Natural Resources Limited 339,150 11,620 18,128Canadian Pacific Railway Limited 141,650 8,354 12,887CCL Industries Inc., Class “B” 177,650 9,814 12,050Chartwell Retirement Residences 566,744 6,659 6,699Enbridge Inc. 248,895 11,752 12,298Fortis Inc. 125,000 5,929 7,629Granite Real Estate Investment Trust 115,177 8,338 12,140Innergex Renewable Energy Inc. 311,268 4,618 5,790Intact Financial Corporation 64,295 9,335 10,571Maple Leaf Foods Inc. 104,700 2,956 3,064Northland Power Inc. 194,600 6,489 7,385Nutrien Ltd. 96,072 6,141 9,135Open Text Corporation 197,269 11,118 11,844Parkland Corporation 240,272 9,672 8,354Restaurant Brands International Inc. 77,200 6,084 5,921Royal Bank of Canada 163,210 16,212 21,911TC Energy Corporation 170,847 10,369 10,051TELUS Corporation 334,200 8,011 9,956Toromont Industries Ltd. 69,800 7,343 7,982Toronto-Dominion Bank (The) 235,770 16,260 22,865Tricon Residential Inc. 537,600 5,395 10,408Waste Connections, Inc. 53,327 4,984 9,194

249,717 317,952Denmark (0.7%)Novo Nordisk A/S, ADR 110,000 12,552 15,592France (2.0%)LVMH Moët Hennessy Louis Vuitton SE 19,300 16,090 20,145Sanofi 68,000 8,048 8,642Thales SA 70,700 8,980 7,610VINCI SA 67,321 8,079 9,022

41,197 45,419Germany (2.0%)adidas AG 11,100 4,056 4,049Bayer Aktiengesellschaft 107,234 10,495 7,261Deutsche Börse Aktiengesellschaft 35,000 6,734 7,416RWE AG 170,100 8,260 8,742SAP SE 55,100 8,535 9,954Siemens Aktiengesellschaft 37,000 5,722 8,135

43,802 45,557Hong Kong (0.0%)CK Hutchison Holdings Limited 136,759 1,617 1,117Ireland (1.3%)Accenture PLC, Class “A” 55,800 22,365 29,276Israel (2.8%)Azrieli Group Ltd. 205,900 20,434 24,842Elbit Systems Ltd. 97,600 15,097 21,389Strauss Group Ltd. 433,000 13,485 17,074

49,016 63,305Japan (2.8%)Hoya Corporation 127,900 13,871 23,987KDDI Corporation 155,400 5,619 5,745Seven & i Holdings Co., Ltd. 144,200 6,926 8,017Sony Corporation 53,100 3,606 8,490Sony Corporation, Sponsored ADR 100,000 15,184 15,997

45,206 62,236Netherlands (1.6%)ASML Holding NV, ADR 19,800 19,662 19,950Euronext NV 63,200 8,272 8,300Royal Dutch Shell PLC, “B” Shares 300,900 7,025 8,364

34,959 36,614Switzerland (5.2%)Belimo Holding AG 43,600 11,225 34,898Interroll Holding AG 6,400 15,424 36,357Lonza Group AG 17,000 14,915 17,908Novartis AG 78,600 9,159 8,728Sika AG 36,000 16,184 18,897

66,907 116,788

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (61.9%) (cont’d)United Kingdom (0.7%)British American Tobacco PLC 172,800 9,011 8,108Unilever PLC 121,400 9,089 8,223

18,100 16,331United States (27.8%)Alphabet Inc., Class “A” 4,986 6,784 18,281American Tower Corporation 43,098 12,239 15,954Analog Devices, Inc. 110,000 24,673 24,470Anthem, Inc. 15,400 6,231 9,035Apple Inc. 218,226 33,617 49,042Blackstone Group Inc. (The), Class “A” 81,843 13,596 13,402Charles Schwab Corporation (The) 195,000 20,062 20,755ConocoPhillips 210,000 18,513 19,184Costco Wholesale Corporation 30,000 14,812 21,554Eaton Corporation PLC 52,316 11,398 11,443Exxon Mobil Corporation 168,079 12,440 13,016Home Depot, Inc. (The) 19,535 6,745 10,260Honeywell International Inc. 51,849 11,368 13,682Johnson & Johnson 68,462 12,683 14,822JPMorgan Chase & Co. 73,503 10,552 14,731Lowe’s Companies, Inc. 60,000 16,817 19,628Mastercard Incorporated, Class “A” 18,000 6,814 8,186McDonald’s Corporation 43,616 10,527 14,798Medtronic PLC 86,040 10,321 11,265Microsoft Corporation 147,582 28,017 62,818Mondelez International, Inc., Class “A” 176,777 11,927 14,835Morgan Stanley 163,400 20,185 20,299NextEra Energy, Inc. 127,688 12,546 15,087NIKE, Inc., Class “B” 132,114 24,994 27,868Oracle Corporation 107,561 7,200 11,872Pfizer Inc. 179,250 8,884 13,396Raytheon Technologies Corporation 103,546 11,638 11,278S&P Global Inc. 36,600 19,092 21,860Texas Instruments Incorporated 59,950 13,550 14,300Thermo Fisher Scientific Inc. 15,548 12,001 13,130TJX Companies, Inc. (The) 178,807 15,363 17,181Union Pacific Corporation 70,527 18,665 22,487UnitedHealth Group Incorporated 27,088 9,176 17,215Visa Inc., Class “A” 58,035 12,596 15,917

486,026 623,051UNDERLYING FUNDS (36.3%)Dynamic Active Core Bond Private Pool, Series “O” 26,172,850 275,674 277,283Dynamic Active Credit Strategies Private Pool,



OF INVESTMENTS (98.2%) 1,889,007 2,204,095TRANSACTION COSTS (0.0%) (1,076) –TOTAL AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (98.2%) 1,887,931 2,204,095UNREALIZED GAIN (LOSS) ON DERIVATIVES (−0.1%) (2,232)CASH AND SHORT TERM INSTRUMENTS






46




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)Bank of Nova Scotia (The) A-1 28-Feb-22 CAD 586 (EUR) (400) 0.683 0.694 9Bank of Nova Scotia (The) A-1 28-Feb-22 CAD 2,430 (HKD) (14,900) 6.131 6.160 11Royal Bank of Canada A-1+ 28-Feb-22 CAD 144 (EUR) (100) 0.693 0.694 –Royal Bank of Canada A-1+ 28-Feb-22 CAD 186 (AUD) (200) 1.078 1.087 2Royal Bank of Canada A-1+ 28-Feb-22 CAD 1,647 (HKD) (10,100) 6.131 6.160 8State Street Bank & Trust Company A-1+ 11-Mar-22 CAD 2,558 (USD) (2,000) 0.782 0.790 26State Street Bank & Trust Company A-1+ 28-Feb-22 EUR 1,000 (CAD) (1,438) 1.438 1.442 4Toronto-Dominion Bank (The) A-1+ 28-Feb-22 CAD 186 (AUD) (200) 1.076 1.087 2Toronto-Dominion Bank (The) A-1+ 28-Feb-22 CAD 1,162 (EUR) (800) 0.688 0.694 9

71



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 95 (CAD) (120) 1.265 1.266 –

–




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)Bank of Montreal A-1 18-Feb-22 CAD 3,608 (USD) (2,900) 0.804 0.790 (62)Bank of Montreal A-1 28-Feb-22 CAD 1,579 (EUR) (1,100) 0.697 0.694 (7)Bank of Montreal A-1 28-Feb-22 HKD 500 (CAD) (82) 0.165 0.162 (1)Bank of Montreal A-1 28-Feb-22 HKD 500 (CAD) (82) 0.164 0.162 (1)Bank of Montreal A-1 28-Feb-22 HKD 1,000 (CAD) (165) 0.165 0.162 (2)Bank of Montreal A-1 28-Feb-22 HKD 1,100 (CAD) (181) 0.164 0.162 (2)Bank of Montreal A-1 28-Feb-22 HKD 1,200 (CAD) (199) 0.166 0.162 (4)Bank of Montreal A-1 28-Feb-22 HKD 1,200 (CAD) (197) 0.164 0.162 (2)Bank of Montreal A-1 28-Feb-22 HKD 1,200 (CAD) (195) 0.163 0.162 (1)Bank of Montreal A-1 28-Feb-22 HKD 1,300 (CAD) (213) 0.164 0.162 (2)Bank of Montreal A-1 14-Jan-22 USD 51,900 (CAD) (66,739) 1.286 1.266 (1,057)Canadian Imperial Bank of Commerce A-1 28-Feb-22 CAD 4,019 (EUR) (2,800) 0.697 0.694 (17)Royal Bank of Canada A-1+ 28-Feb-22 CAD 1,102 (AUD) (1,200) 1.089 1.087 (3)Royal Bank of Canada A-1+ 28-Feb-22 CAD 3,302 (EUR) (2,300) 0.697 0.694 (14)Royal Bank of Canada A-1+ 28-Feb-22 HKD 700 (CAD) (116) 0.165 0.162 (2)Royal Bank of Canada A-1+ 28-Feb-22 HKD 700 (CAD) (115) 0.164 0.162 (1)Royal Bank of Canada A-1+ 28-Feb-22 HKD 1,300 (CAD) (214) 0.164 0.162 (3)Royal Bank of Canada A-1+ 28-Feb-22 HKD 2,200 (CAD) (358) 0.163 0.162 (1)Royal Bank of Canada A-1+ 28-Feb-22 HKD 2,600 (CAD) (423) 0.163 0.162 (1)Royal Bank of Canada A-1+ 28-Feb-22 HKD 4,100 (CAD) (674) 0.164 0.162 (8)State Street Bank & Trust Company A-1+ 14-Jan-22 CAD 124 (USD) (100) 0.809 0.790 (3)State Street Bank & Trust Company A-1+ 18-Feb-22 CAD 58,351 (USD) (46,900) 0.804 0.790 (1,010)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 1,102 (AUD) (1,200) 1.089 1.087 (3)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 5,742 (EUR) (4,000) 0.697 0.694 (25)State Street Bank & Trust Company A-1+ 28-Feb-22 HKD 500 (CAD) (82) 0.164 0.162 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 HKD 2,100 (CAD) (348) 0.166 0.162 (7)Toronto-Dominion Bank (The) A-1+ 28-Feb-22 CAD 3,876 (EUR) (2,700) 0.697 0.694 (17)

(2,257)



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 85 (CAD) (109) 1.279 1.266 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 95 (CAD) (122) 1.285 1.266 (2)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 101 (CAD) (129) 1.279 1.266 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 131 (CAD) (168) 1.283 1.266 (2)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 136 (CAD) (173) 1.271 1.266 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 7,763 (CAD) (9,867) 1.271 1.266 (41)

(48)





47

The Fund (note 1)

The Fund’s investment objective is to seek to achieve income andlong-term capital appreciation by investing primarily in a diversifiedportfolio of income-oriented equity securities and fixed incomesecurities from around the world.



Interest rate risk


Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 705,969 (8) 705,961 31.5Swiss franc 117,231 – 117,231 5.2Euro 115,935 (19,030) 96,905 4.3Israeli shekel 63,349 – 63,349 2.8Japanese yen 46,239 – 46,239 2.1Pound sterling 16,632 – 16,632 0.7Australian dollar 8,714 (2,578) 6,136 0.3Hong Kong dollar 1,375 (453) 922 0.0Danish krone 46 – 46 0.0

1,075,490 (22,069) 1,053,421 46.9

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 582,163 (61,402) 520,761 25.4Euro 151,271 (18,262) 133,009 6.5Swiss franc 81,040 – 81,040 3.9Israeli shekel 47,938 – 47,938 2.3Japanese yen 43,373 – 43,373 2.1Pound sterling 28,397 – 28,397 1.4Hong Kong dollar 7,753 (4,059) 3,694 0.2Australian dollar 7,399 (2,139) 5,260 0.3Danish krone 47 – 47 0.0

949,381 (85,862) 863,519 42.1

The net assets attributable to Series FH units of the Fund are hedgedagainst changes in the U.S. currency relative to the Canadiancurrency and in doing so attempts to eliminate the fluctuations

between the Canadian and U.S. net assets. The following tablereflects the impact of this hedge on the net assets attributable toSeries FH.

Series FH

December 31, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 10,621 (10,640) (19)10,621 (10,640) (19)

Series FH

June 30, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 7,701 (7,707) (6)7,701 (7,707) (6)


Price risk

As at December 31, 2021, approximately 98.3% (June 30, 2021 –97.2%) of the Fund’s net assets were directly exposed to price risk. Ifprices of these instruments had fluctuated by 10%, with all othervariables held constant, net assets attributable to holders ofredeemable units of the Fund would have decreased or increased byapproximately $220,410,000 (June 30, 2021 – $199,709,000). Inpractice, actual results may differ from this sensitivity analysis andthe difference could be material.

Credit risk




48

Concentration risk


December 31, 2021 June 30, 2021

EQUITIES 61.9 60.0Australia 0.4 0.4Belgium 0.4 0.4Canada 14.2 14.0Denmark 0.7 –France 2.0 4.1Germany 2.0 1.8Hong Kong 0.0 0.4Ireland 1.3 –Israel 2.8 2.3Japan 2.8 2.1Netherlands 1.6 1.0Switzerland 5.2 3.9United Kingdom 0.7 1.4United States 27.8 28.2UNDERLYING FUNDS 36.3 37.2UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.1) 0.0CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Equities 1,021,818 368,297 – 1,390,115Underlying Funds 813,980 – – 813,980Unrealized gain on currency forward contracts – 71 – 71Unrealized gain on currency spot contracts – 2 – 2

1,835,798 368,370 – 2,204,168Unrealized loss on currency forward contracts – (2,305) – (2,305)

1,835,798 366,065 – 2,201,863

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Equities 866,495 366,208 – 1,232,703Underlying Funds 764,385 – – 764,385Unrealized gain on currency forward contracts – 57 – 57

1,630,880 366,265 – 1,997,145Unrealized loss on currency forward contracts – (710) – (710)Unrealized loss on currency spot contracts – (13) – (13)

– (723) – (723)1,630,880 365,542 – 1,996,422





December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


71 (51) – 20

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


2,305 (51) – 2,254

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


57 (45) – 12

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


710 (45) – 665



December 31, 2021




Underlying Fund(%)

Dynamic Active Core Bond Private Pool, Series “O” 277,283 21.0Dynamic Active Credit Strategies Private Pool,

Series “O” 272,521 33.4Dynamic Tactical Bond Private Pool, Series “O” 264,176 16.2

813,980

June 30, 2021




Underlying Fund(%)



764,385



49





50



2021June 30,


Non-derivative financial assets 1,028,342 888,819Derivatives 47 107

Cash 23,999 26,213Receivable for securities sold 988 14,151Subscriptions receivable 808 1,677Accrued investment income and other 1,184 1,077Total assets 1,055,368 932,044


Derivatives 1,215 313Management fee payable (note 5) 804 687Payable for securities purchased 2,225 11,158Redemptions payable 230 1,253Accrued expenses 145 130Distributions payable 850 –Total liabilities 5,469 13,541Net assets attributable to holders of redeemable shares 1,049,899 918,503

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIESSeries A 157,768 121,447Series F 723,818 646,474Series FH (in equivalent CAD) 35,848 28,536Series FT 109,644 103,016Series T 22,821 19,030


NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SHARESeries A 12.88 12.10Series F 15.03 14.04Series FH (in equivalent CAD) 17.82 16.30Series FT 11.26 10.70Series T 11.47 10.95




through profit or lossDividends 4,611 4,594Interest for distribution purposes 13,213 9,708Net realized gain (loss) on non-derivative financial assets 16,499 18,032Change in unrealized gain (loss) on non-derivative financial

assets 41,418 36,889Net realized gain (loss) on derivatives 724 1,784Change in unrealized gain (loss) on derivatives (962) 351


Securities lending (note 11) 6 7Net realized and unrealized foreign currency translation gain (loss) 135 (2,435)Total income (loss), net 75,644 68,930

EXPENSESManagement fees (note 5) 4,027 3,165Fixed administration fees (note 6) 742 605Independent Review Committee fees 1 1Interest expense 5 12Foreign withholding taxes/tax reclaims 373 355Harmonized Sales Tax/Goods and Services Tax 562 441Transaction costs 195 156Total expenses 5,905 4,735Expenses absorbed by the Manager (14) (3)Net expenses 5,891 4,732Net increase (decrease) in net assets attributable to holders



Series A 9,126 7,243Series F 48,710 47,274Series FH (in equivalent CAD) 2,933 562Series FT 7,587 7,978Series T 1,397 1,141


Series FH 2,327 426


Series A 0.83 0.88Series F 1.04 1.08Series FH (in equivalent CAD) 1.54 0.32Series FT 0.77 0.85Series T 0.74 0.81


Series FH 1.22 0.24

WEIGHTED AVERAGE NUMBER OF SHARES PER SERIESSeries A 11,077,961 8,220,418Series F 46,952,770 43,244,990Series FH 1,899,612 1,799,986Series FT 9,679,320 9,362,635Series T 1,889,647 1,420,170


Dynamic Global Yield Private Pool Class (Unaudited)


51



Series A 121,447 87,564Series F 646,474 548,488Series FH 28,536 31,176Series FT 103,016 95,321Series T 19,030 13,733

918,503 776,282

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESFROM OPERATIONSSeries A 9,126 7,243Series F 48,710 47,274Series FH 2,933 562Series FT 7,587 7,978Series T 1,397 1,141

69,753 64,198


Series A (318) (359)Series F (583) (2,315)Series FH (23) (125)Series FT (153) (401)Series T (34) (57)

From net realized gains on investmentsSeries A (164) –Series F (1,936) –Series FH (94) –Series FT (520) –Series T (19) –

From return of capitalSeries FT (1,444) (1,653)Series T (360) (256)

(5,648) (5,166)


Series A 34,144 23,844Series F 80,046 52,713Series FH 5,590 1,213Series FT 7,363 5,986Series T 4,538 1,924

Reinvested distributionsSeries A 464 350Series F 2,080 1,888Series FH 102 109Series FT 366 384Series T 182 142

Payments on redemptionSeries A (6,931) (16,597)Series F (50,973) (54,390)Series FH (1,196) (5,258)Series FT (6,571) (8,788)Series T (1,913) (786)

67,291 2,734

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESSeries A 36,321 14,481Series F 77,344 45,170Series FH 7,312 (3,499)Series FT 6,628 3,506Series T 3,791 2,108

131,396 61,766

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES, END OF PERIODSeries A 157,768 102,045Series F 723,818 593,658Series FH 35,848 27,677Series FT 109,644 98,827Series T 22,821 15,841

1,049,899 838,048





assets (41,418) (36,889)Change in unrealized (gain) loss on derivatives 962 (351)Unrealized foreign currency translation (gain) loss 15 –Other non-cash transactions (13,105) (9,612)Purchases of non-derivative financial assets and liabilities (330,870) (188,910)Proceeds from sale of non-derivative financial assets and

liabilities 266,599 189,983Accrued investment income and other (107) 1Accrued expenses and other payables 132 62

Net cash provided by (used in) operating activities (64,538) 450

CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable shares 129,560 82,400Amounts paid on redemption of redeemable shares (65,617) (82,657)Distributions to shareholders of redeemable shares (1,604) (1,482)Net cash provided by (used in) financing activities 62,339 (1,739)

Unrealized foreign currency translation gain (loss) (15) –Net increase (decrease) in cash (2,199) (1,289)Cash (bank overdraft), beginning of period 26,213 39,605CASH (BANK OVERDRAFT), END OF PERIOD 23,999 38,316





52

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (61.2%)Australia (0.4%)Goodman Group 163,100 2,234 3,982Belgium (0.4%)Anheuser-Busch InBev SA/NV 51,600 4,659 3,952Canada (14.1%)Alimentation Couche-Tard Inc. 67,450 2,835 3,575Bank of Nova Scotia (The) 86,030 6,188 7,704Boyd Group Services Inc. 17,100 3,761 3,414Brookfield Asset Management Inc., Class “A” 99,380 4,042 7,592Brookfield Infrastructure Partners L.P., Units 58,266 3,115 4,486Brookfield Renewable Partners L.P. 34,991 1,714 1,585Canadian Apartment Properties Real Estate Investment

Trust 55,924 2,807 3,353Canadian National Railway Company 42,000 4,545 6,526Canadian Natural Resources Limited 156,700 5,525 8,376Canadian Pacific Railway Limited 66,650 3,836 6,064CCL Industries Inc., Class “B” 81,070 4,535 5,499Chartwell Retirement Residences 257,521 3,031 3,044Enbridge Inc. 116,749 5,672 5,769Fortis Inc. 58,350 2,659 3,561Granite Real Estate Investment Trust 53,621 3,927 5,652Innergex Renewable Energy Inc. 143,469 2,066 2,669Intact Financial Corporation 30,147 4,417 4,957Maple Leaf Foods Inc. 48,800 1,406 1,428Northland Power Inc. 90,300 3,051 3,427Nutrien Ltd. 45,154 2,934 4,293Open Text Corporation 92,407 5,207 5,548Parkland Corporation 111,198 4,465 3,866Restaurant Brands International Inc. 36,300 2,857 2,784Royal Bank of Canada 76,390 7,478 10,255TC Energy Corporation 80,067 4,722 4,710TELUS Corporation 156,500 3,794 4,662Toromont Industries Ltd. 32,700 3,443 3,740Toronto-Dominion Bank (The) 110,360 7,470 10,703Tricon Residential Inc. 252,050 2,595 4,880Waste Connections, Inc. 24,894 2,061 4,292

116,158 148,414Denmark (0.7%)Novo Nordisk A/S, ADR 50,400 5,784 7,144France (2.0%)LVMH Moët Hennessy Louis Vuitton SE 8,800 7,410 9,185Sanofi 32,400 3,812 4,118Thales SA 34,000 4,285 3,660VINCI SA 31,667 3,829 4,244

19,336 21,207Germany (2.1%)adidas AG 5,900 2,156 2,152Bayer Aktiengesellschaft 49,691 4,941 3,365Deutsche Börse Aktiengesellschaft 16,500 3,197 3,496RWE AG 80,800 3,914 4,152SAP SE 26,200 4,062 4,733Siemens Aktiengesellschaft 17,200 2,725 3,782

20,995 21,680Hong Kong (0.1%)CK Hutchison Holdings Limited 65,047 782 531Ireland (1.3%)Accenture PLC, Class “A” 25,500 10,272 13,379Israel (2.8%)Azrieli Group Ltd. 94,200 9,503 11,365Elbit Systems Ltd. 44,700 6,002 9,796Strauss Group Ltd. 197,800 5,739 7,800

21,244 28,961Japan (2.7%)Hoya Corporation 57,700 6,134 10,821KDDI Corporation 73,500 2,659 2,717Seven & i Holdings Co., Ltd. 69,600 3,396 3,870Sony Corporation 24,600 1,661 3,933Sony Corporation, Sponsored ADR 45,500 6,909 7,279

20,759 28,620Netherlands (1.6%)ASML Holding NV, ADR 9,100 9,041 9,169Euronext NV 30,500 4,010 4,006Royal Dutch Shell PLC, “B” Shares 140,600 3,301 3,908

16,352 17,083Switzerland (5.1%)Belimo Holding AG 19,600 4,112 15,688Interroll Holding AG 2,900 6,136 16,474Lonza Group AG 7,800 6,863 8,217Novartis AG 37,800 4,386 4,198Sika AG 17,000 7,676 8,924

29,173 53,501

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (61.2%) (cont’d)United Kingdom (0.7%)British American Tobacco PLC 81,400 4,301 3,819Unilever PLC 57,200 4,253 3,874

8,554 7,693United States (27.2%)Alphabet Inc., Class “A” 2,300 3,205 8,433American Tower Corporation 19,616 5,632 7,262Analog Devices, Inc. 50,300 11,286 11,189Anthem, Inc. 7,400 3,047 4,341Apple Inc. 99,800 15,329 22,428Blackstone Group Inc. (The), Class “A” 37,400 6,213 6,124Charles Schwab Corporation (The) 90,000 9,259 9,579ConocoPhillips 97,600 8,617 8,916Costco Wholesale Corporation 13,700 6,811 9,843Eaton Corporation PLC 24,000 5,230 5,249Exxon Mobil Corporation 77,200 5,722 5,979Home Depot, Inc. (The) 8,900 3,105 4,675Honeywell International Inc. 23,600 5,265 6,228Johnson & Johnson 31,400 5,854 6,798JPMorgan Chase & Co. 33,900 4,817 6,794Lowe’s Companies, Inc. 27,400 7,700 8,963Mastercard Incorporated, Class “A” 8,600 3,293 3,911McDonald’s Corporation 20,100 4,781 6,819Medtronic PLC 38,500 4,463 5,041Microsoft Corporation 67,300 12,332 28,646Mondelez International, Inc., Class “A” 81,200 5,374 6,814Morgan Stanley 73,900 9,132 9,181NextEra Energy, Inc. 58,600 5,788 6,924NIKE, Inc., Class “B” 60,300 11,455 12,720Oracle Corporation 48,200 3,192 5,320Pfizer Inc. 81,800 4,099 6,113Raytheon Technologies Corporation 47,500 5,335 5,174S&P Global Inc. 16,700 8,737 9,974Texas Instruments Incorporated 27,500 6,248 6,560Thermo Fisher Scientific Inc. 7,100 5,496 5,996TJX Companies, Inc. (The) 82,100 7,053 7,889Union Pacific Corporation 32,400 8,574 10,331UnitedHealth Group Incorporated 12,200 4,177 7,753Visa Inc., Class “A” 26,400 5,475 7,241

222,096 285,208UNDERLYING FUNDS (36.9%)Dynamic Active Core Bond Private Pool, Series “O” 11,995,054 126,467 127,079Dynamic Active Credit Strategies Private Pool,



OF INVESTMENTS (98.1%) 881,068 1,028,342TRANSACTION COSTS (0.0%) (482) –TOTAL AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (98.1%) 880,586 1,028,342UNREALIZED GAIN (LOSS) ON DERIVATIVES (−0.1%) (1,168)CASH AND SHORT TERM INSTRUMENTS



REDEEMABLE SHARES (100.0%) 1,049,899



53




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)Bank of Nova Scotia (The) A-1 28-Feb-22 CAD 293 (EUR) (200) 0.683 0.694 4Bank of Nova Scotia (The) A-1 28-Feb-22 CAD 1,077 (HKD) (6,600) 6.131 6.160 5Royal Bank of Canada A-1+ 28-Feb-22 CAD 93 (AUD) (100) 1.078 1.087 1Royal Bank of Canada A-1+ 28-Feb-22 CAD 144 (EUR) (100) 0.693 0.694 –Royal Bank of Canada A-1+ 28-Feb-22 CAD 864 (HKD) (5,300) 6.131 6.160 4State Street Bank & Trust Company A-1+ 11-Mar-22 CAD 1,279 (USD) (1,000) 0.782 0.790 13State Street Bank & Trust Company A-1+ 28-Feb-22 EUR 400 (CAD) (575) 1.438 1.442 1Toronto-Dominion Bank (The) A-1+ 28-Feb-22 CAD 93 (AUD) (100) 1.076 1.087 1Toronto-Dominion Bank (The) A-1+ 28-Feb-22 CAD 581 (EUR) (400) 0.688 0.694 4

33



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 368 (USD) (287) 0.781 0.790 4State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 500 (USD) (387) 0.774 0.790 10State Street Bank & Trust Company A-1+ 28-Feb-22 USD 446 (CAD) (565) 1.265 1.266 –

14




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)Bank of Montreal A-1 28-Feb-22 CAD 4,450 (EUR) (3,100) 0.697 0.694 (19)Bank of Montreal A-1 28-Feb-22 HKD 600 (CAD) (99) 0.164 0.162 (1)Bank of Montreal A-1 28-Feb-22 HKD 600 (CAD) (98) 0.164 0.162 (1)Bank of Montreal A-1 28-Feb-22 HKD 6,000 (CAD) (995) 0.166 0.162 (21)Bank of Montreal A-1 14-Jan-22 USD 24,000 (CAD) (30,862) 1.286 1.266 (486)Royal Bank of Canada A-1+ 18-Feb-22 CAD 5,225 (USD) (4,200) 0.804 0.790 (91)Royal Bank of Canada A-1+ 28-Feb-22 CAD 1,010 (AUD) (1,100) 1.089 1.087 (2)Royal Bank of Canada A-1+ 28-Feb-22 CAD 4,163 (EUR) (2,900) 0.697 0.694 (18)Royal Bank of Canada A-1+ 28-Feb-22 HKD 300 (CAD) (50) 0.165 0.162 (1)Royal Bank of Canada A-1+ 28-Feb-22 HKD 300 (CAD) (49) 0.164 0.162 –Royal Bank of Canada A-1+ 28-Feb-22 HKD 600 (CAD) (99) 0.164 0.162 (1)Royal Bank of Canada A-1+ 28-Feb-22 HKD 1,100 (CAD) (179) 0.163 0.162 (1)Royal Bank of Canada A-1+ 28-Feb-22 HKD 1,200 (CAD) (195) 0.163 0.162 –State Street Bank & Trust Company A-1+ 18-Feb-22 CAD 23,390 (USD) (18,800) 0.804 0.790 (405)State Street Bank & Trust Company A-1+ 28-Feb-22 HKD 1,000 (CAD) (166) 0.166 0.162 (4)

(1,051)



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 427 (CAD) (545) 1.278 1.266 (5)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 446 (CAD) (570) 1.277 1.266 (5)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 27,688 (CAD) (35,193) 1.271 1.266 (147)

(157)





54

The Fund (note 1)

The Fund’s investment objective is to seek to achieve income andlong-term capital appreciation by investing primarily in a diversifiedportfolio of income-oriented equity securities and fixed incomesecurities from around the world.



Interest rate risk


Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 323,886 (1) 323,885 30.8Euro 54,746 (9,084) 45,662 4.3Swiss franc 53,897 – 53,897 5.1Israeli shekel 28,983 – 28,983 2.8Japanese yen 21,341 – 21,341 2.0Pound sterling 7,802 – 7,802 0.7Australian dollar 4,004 (1,196) 2,808 0.3Hong Kong dollar 655 (32) 623 0.1Danish krone 27 – 27 0.0

495,341 (10,313) 485,028 46.1

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 256,443 (26,546) 229,897 25.0Euro 68,004 (8,247) 59,757 6.5Swiss franc 36,869 – 36,869 4.0Israeli shekel 21,604 – 21,604 2.4Japanese yen 19,309 – 19,309 2.1Pound sterling 12,752 – 12,752 1.4Hong Kong dollar 3,518 (1,838) 1,680 0.2Australian dollar 3,217 (931) 2,286 0.2Danish krone 28 – 28 0.0

421,744 (37,562) 384,182 41.8

The net assets attributable to Series FH units of the Fund are hedgedagainst changes in the U.S. currency relative to the Canadiancurrency and in doing so attempts to eliminate the fluctuations

between the Canadian and U.S. net assets. The following tablereflects the impact of this hedge on the net assets attributable toSeries FH.

Series FH

December 31, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 35,848 (35,862) (14)35,848 (35,862) (14)

Series FH

June 30, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 28,536 (28,411) 12528,536 (28,411) 125


Price risk


Credit risk




55

Concentration risk


December 31, 2021 June 30, 2021

EQUITIES 61.2 59.7Australia 0.4 0.3Belgium 0.4 0.4Canada 14.1 14.0Denmark 0.7 –France 2.0 4.1Germany 2.1 1.9Hong Kong 0.1 0.4Ireland 1.3 –Israel 2.8 2.3Japan 2.7 2.1Netherlands 1.6 1.0Switzerland 5.1 4.0United Kingdom 0.7 1.5United States 27.2 27.7UNDERLYING FUNDS 36.9 37.1UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.1) 0.0CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Equities 470,593 170,762 – 641,355Underlying Funds 386,987 – – 386,987Unrealized gain on currency forward contracts – 47 – 47

857,580 170,809 – 1,028,389Unrealized loss on currency forward contracts – (1,208) – (1,208)Unrealized loss on currency spot contracts – (7) – (7)

– (1,215) – (1,215)857,580 169,594 – 1,027,174

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Equities 383,441 164,793 – 548,234Underlying Funds 340,585 – – 340,585Unrealized gain on currency forward contracts – 107 – 107

724,026 164,900 – 888,926Unrealized loss on currency forward contracts – (307) – (307)Unrealized loss on currency spot contracts – (6) – (6)

– (313) – (313)724,026 164,587 – 888,613





December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


47 (33) – 14

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


1,208 (33) – 1,175

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


107 (101) – 6

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


307 (101) – 206



December 31, 2021




Underlying Fund(%)



386,987

June 30, 2021




Underlying Fund(%)



340,585



56





57



2021June 30,


Non-derivative financial assets 389,785 325,514Cash 41,843 45,705Subscriptions receivable 513 1,385Accrued investment income and other 346 607Total assets 432,487 373,211

LIABILITIESCurrent liabilitiesManagement fee payable (note 5) 188 163Redemptions payable 375 151Accrued expenses 39 34Total liabilities 602 348Net assets attributable to holders of redeemable units 431,885 372,863

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 47,048 41,053Series F 180,001 156,657Series I 4,117 3,812Series O 200,719 171,341




through profit or lossDividends 4,301 1,685Interest for distribution purposes 130 29Net realized gain (loss) on non-derivative financial assets (1,014) (722)Change in unrealized gain (loss) on non-derivative financial

assets (1,856) 38,350Change in unrealized gain (loss) on derivatives – (1)


Securities lending (note 11) 2 2Net realized and unrealized foreign currency translation gain (loss) – (46)Total income (loss), net 1,563 39,297

EXPENSESManagement fees (note 5) 1,022 338Fixed administration fees (note 6) 212 81Independent Review Committee fees 1 1Interest expense 1 –Foreign withholding taxes/tax reclaims 207 147Harmonized Sales Tax/Goods and Services Tax 114 39Transaction costs 192 107Total expenses 1,749 713Expenses absorbed by the Manager – –Net expenses 1,749 713Net increase (decrease) in net assets attributable to holders

of redeemable units from operations (186) 38,584


Series A (330) 2,880Series F (355) 12,311Series I 5 584Series O 494 22,809


Series A (0.10) 2.52Series F (0.04) 2.57Series I 0.01 2.66Series O 0.04 3.11



Dynamic International Dividend Private Pool (Unaudited)


58




372,863 156,975

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A (330) 2,880Series F (355) 12,311Series I 5 584Series O 494 22,809

(186) 38,584


Series A (93) (118)Series F (1,391) (780)Series I (48) (45)Series O (4,026) (1,610)

From return of capitalSeries A (121) (28)Series F (436) (180)Series I (7) (9)

(6,122) (2,770)


Series A 10,446 5,186Series F 56,493 17,688Series I 511 149Series O 29,630 19,367

Reinvested distributionsSeries A 208 144Series F 1,265 710Series I 49 47Series O 4,026 1,610

Payments on redemptionSeries A (4,115) (1,729)Series F (32,232) (7,042)Series I (205) (249)Series O (746) (832)

65,330 35,049

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 5,995 6,335Series F 23,344 22,707Series I 305 477Series O 29,378 41,344

59,022 70,863

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 47,048 18,620Series F 180,001 74,090Series I 4,117 3,122Series O 200,719 132,006

431,885 227,838



redeemable units (186) 38,584Adjustments for:

Net realized (gain) loss on non-derivative financial assets 1,014 722Change in unrealized (gain) loss on non-derivative financial

assets 1,856 (38,350)Change in unrealized (gain) loss on derivatives – 1Unrealized foreign currency translation (gain) loss (3) (3)Purchases of non-derivative financial assets and liabilities (72,845) (44,140)Proceeds from sale of non-derivative financial assets and




Unrealized foreign currency translation gain (loss) 3 3Net increase (decrease) in cash (3,865) 1,481Cash (bank overdraft), beginning of period 45,705 8,324CASH (BANK OVERDRAFT), END OF PERIOD 41,843 9,808

Interest paid(1) 1 –Interest received, net of withholding taxes(1) 123 30Dividends received, net of withholding taxes(1) 4,327 1,886




59

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (90.2%)Brazil (3.0%)Ambev SA 1,396,500 5,133 4,979OdontoPrev SA 2,816,800 9,843 8,056

14,976 13,035China (4.0%)Alibaba Group Holding Limited, Sponsored ADR 35,200 9,840 5,292Kweichow Moutai Co., Ltd., Class “A” 12,500 4,853 5,088NetEase, Inc., ADR 21,500 1,190 2,769Wuliangye Yibin Co., Ltd. 89,900 2,048 3,975

17,931 17,124Denmark (5.4%)DSV Panalpina A/S 40,400 8,177 11,808Topdanmark A/S 161,608 8,927 11,461

17,104 23,269Finland (2.1%)Nokian Renkaat OYJ 191,281 7,640 9,135France (5.8%)LVMH Moët Hennessy Louis Vuitton SE 11,450 7,459 11,951Schneider Electric SA 52,500 7,024 13,019

14,483 24,970Germany (3.3%)adidas AG 39,000 15,069 14,227Hong Kong (4.5%)Techtronic Industries Company Limited 777,400 7,376 19,585Italy (1.1%)Brembo SPA 276,146 3,436 4,960Japan (7.6%)NEXON Co., Ltd. 298,500 7,268 7,281Nomura Research Institute, Ltd. 208,000 6,255 11,204Santen Pharmaceutical Co., Ltd. 257,100 5,420 3,968Sony Corporation 65,400 5,994 10,457

24,937 32,910Mexico (5.0%)Grupo Mexico SAB de CV, Series “B” 1,710,599 7,049 9,432Quálitas Controladora, S.A.B. de C.V. 1,898,983 10,568 12,160

17,617 21,592Netherlands (3.4%)Koninklijke Philips NV 314,485 17,765 14,785Norway (4.4%)Equinor ASA 231,383 5,530 7,724Gjensidige Forsikring ASA 373,440 9,795 11,476

15,325 19,200Singapore (9.0%)DBS Group Holdings Ltd. 315,300 7,560 9,655Mapletree Logistics Trust 4,484,045 7,594 7,996Parkway Life Real Estate Investment Trust 1,027,000 2,775 4,945Raffles Medical Group Ltd. 5,345,900 4,935 6,876United Overseas Bank Limited 368,100 8,410 9,297

31,274 38,769South Korea (2.8%)Samsung Electronics Co., Ltd. 143,300 9,800 11,906Spain (3.6%)Amadeus IT Holding, SA, Class “A” 128,310 10,987 10,931Repsol, SA 299,217 5,227 4,492

16,214 15,423Sweden (4.8%)Dometic Group AB 780,672 9,763 12,907Evolution Gaming Group AB 44,992 3,577 8,009

13,340 20,916Switzerland (8.3%)Kuehne & Nagel International AG 29,900 7,779 12,160Nestlé SA 84,000 11,740 14,849Temenos AG 50,900 8,270 8,882

27,789 35,891United Kingdom (12.1%)Admiral Group PLC 223,100 10,428 12,079Anglo American PLC 200,176 7,015 10,376Diageo PLC 110,400 5,387 7,621Rio Tinto PLC 121,658 9,557 10,157Unilever PLC 175,040 12,794 11,855



OF INVESTMENTS (90.2%) 316,547 389,785

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)CASH AND SHORT TERM INSTRUMENTS






60

The Fund (note 1)

The Fund’s investment objective is to provide income and long-termcapital appreciation by investing primarily in equity securities outsideof North America that pay a dividend or distribution.



Interest rate risk


Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

Euro 95,387 – 95,387 22.1Singapore dollar 40,316 – 40,316 9.3Pound sterling 40,233 – 40,233 9.3Swiss franc 36,005 – 36,005 8.3Japanese yen 32,917 – 32,917 7.6Danish krone 23,368 – 23,368 5.4Mexican peso 21,607 – 21,607 5.0Swedish krona 20,916 – 20,916 4.8Hong Kong dollar 19,585 – 19,585 4.5Norwegian krone 19,200 – 19,200 4.4Brazilian real 13,217 – 13,217 3.1South Korean won 11,906 – 11,906 2.8Chinese yuan 9,063 – 9,063 2.1US dollar 8,180 – 8,180 1.9

391,900 – 391,900 90.6

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

Euro 73,980 – 73,980 19.8Pound sterling 32,432 – 32,432 8.7Singapore dollar 31,992 – 31,992 8.6Swiss franc 26,916 – 26,916 7.2Hong Kong dollar 24,484 – 24,484 6.6Swedish krona 22,726 – 22,726 6.1Japanese yen 22,265 – 22,265 6.0Danish krone 18,029 – 18,029 4.8Mexican peso 14,948 – 14,948 4.0Norwegian krone 14,356 – 14,356 3.9US dollar 13,092 – 13,092 3.5Brazilian real 11,556 – 11,556 3.1Chinese yuan 10,082 – 10,082 2.7South Korean won 9,353 – 9,353 2.5

326,211 – 326,211 87.5


Price risk

As at December 31, 2021, approximately 902% (June 30, 2021 –87.3%) of the Fund’s net assets were directly exposed to price risk. Ifprices of these instruments had fluctuated by 10%, with all othervariables held constant, net assets attributable to holders ofredeemable units of the Fund would have decreased or increased byapproximately $38,979,000 (June 30, 2021 – $32,551,000). In practice,actual results may differ from this sensitivity analysis and thedifference could be material.

Credit risk


Concentration risk


December 31, 2021 June 30, 2021

EQUITIES 90.2 87.5Brazil 3.0 3.1China 4.0 8.2Denmark 5.4 4.8Finland 2.1 2.5France 5.8 4.2Germany 3.3 3.2Hong Kong 4.5 4.5Italy 1.1 1.2Japan 7.6 6.0Mexico 5.0 4.0Netherlands 3.4 2.8Norway 4.4 3.9Singapore 9.0 8.6South Korea 2.8 2.5Spain 3.6 3.2Sweden 4.8 6.1Switzerland 8.3 7.2United Kingdom 12.1 11.5CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Equities 29,653 360,132 – 389,78529,653 360,132 – 389,785

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Equities 39,305 286,209 – 325,51439,305 286,209 – 325,514



61











62



2021June 30,



Cash 12,136 15,468Receivable for securities sold – 21Subscriptions receivable 129 496Accrued investment income and other 618 422Total assets 284,716 220,747


Derivatives 712 170Management fee payable (note 5) 65 46Redemptions payable 154 16Accrued expenses 16 13Total liabilities 947 245Net assets attributable to holders of redeemable units 283,769 220,502

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 31,740 20,793Series F 23,444 21,435Series I 3,630 3,265Series O 224,955 175,009




through profit or lossDividends 2,967 1,921Interest for distribution purposes 65 61Net realized gain (loss) on non-derivative financial assets 2,936 (828)Change in unrealized gain (loss) on non-derivative financial

assets 22,424 16,913Net realized gain (loss) on derivatives (218) 958Change in unrealized gain (loss) on derivatives (526) 104



EXPENSESManagement fees (note 5) 305 179Fixed administration fees (note 6) 80 48Independent Review Committee fees 1 1Foreign withholding taxes/tax reclaims 138 86Harmonized Sales Tax/Goods and Services Tax 39 24Transaction costs 28 30Total expenses 591 368Expenses absorbed by the Manager – –Net expenses 591 368Net increase (decrease) in net assets attributable to holders








Dynamic North American Dividend Private Pool (Unaudited)


63




220,502 122,810

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 2,562 1,706Series F 2,323 2,145Series I 367 363Series O 21,887 14,470

27,139 18,684


Series A (28) (141)Series F (149) (266)Series I (36) (53)Series O (3,835) (1,938)

From net realized gains on investmentsSeries A (98) –Series F (85) –Series I (13) –Series O (1,401) –

From return of capitalSeries A (139) (28)Series F (114) (54)Series I (16) (10)

(5,914) (2,490)



Reinvested distributionsSeries A 260 165Series F 234 202Series I 65 63Series O 5,236 1,938

Payments on redemptionSeries A (1,027) (1,744)Series F (1,508) (1,881)Series I (332) (144)Series O (1,232) (358)

42,042 28,617

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 10,947 1,445Series F 2,009 2,073Series I 365 269Series O 49,946 41,024

63,267 44,811

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 31,740 14,838Series F 23,444 18,244Series I 3,630 2,909Series O 224,955 131,630

283,769 167,621




Net realized (gain) loss on non-derivative financial assets (2,936) 828Change in unrealized (gain) loss on non-derivative financial

assets (22,424) (16,913)Change in unrealized (gain) loss on derivatives 526 (104)Unrealized foreign currency translation (gain) loss 4 (2)Purchases of non-derivative financial assets and liabilities (67,280) (45,465)Proceeds from sale of non-derivative financial assets and

liabilities 25,184 21,692Cash collateral deposited on derivatives – 150Accrued investment income and other (196) 19Accrued expenses and other payables 22 6



Unrealized foreign currency translation gain (loss) (4) 2Net increase (decrease) in cash (3,328) 4,707Cash (bank overdraft), beginning of period 15,468 19,984CASH (BANK OVERDRAFT), END OF PERIOD 12,136 24,693

Interest received, net of withholding taxes(1) 42 52Dividends received, net of withholding taxes(1) 2,655 1,873




64

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (95.7%)Canada (55.3%)ARC Resources Ltd. 237,000 2,616 2,726Bank of Montreal 59,906 5,089 8,159Bank of Nova Scotia (The) 106,991 8,120 9,581Brookfield Asset Management Inc., Class “A” 124,816 6,384 9,535Brookfield Infrastructure Partners L.P., Units 74,942 4,411 5,770Brookfield Renewable Partners L.P. 64,000 2,804 2,900Canadian Apartment Properties Real Estate Investment

Trust 55,479 2,792 3,327Canadian National Railway Company 58,719 7,231 9,124Canadian Natural Resources Limited 134,068 4,606 7,166Canadian Pacific Railway Limited 72,730 4,929 6,617CCL Industries Inc., Class “B” 57,974 3,188 3,932Definity Financial Corporation 134,309 2,955 3,966Enbridge Inc. 145,040 7,178 7,166Fortis Inc. 68,821 3,441 4,200Granite Real Estate Investment Trust 26,570 2,112 2,800Innergex Renewable Energy Inc. 329,752 6,690 6,133Intact Financial Corporation 34,652 5,189 5,697Nutrien Ltd. 51,835 3,190 4,928Rogers Communications Inc., Class “B” 111,057 6,643 6,689Royal Bank of Canada 79,337 8,146 10,651StorageVault Canada Inc. 504,000 2,357 3,634TC Energy Corporation 116,644 6,985 6,862TELUS Corporation 154,288 3,706 4,596Toronto-Dominion Bank (The) 124,487 9,035 12,073Tricon Residential Inc. 226,229 2,171 4,380Waste Connections, Inc. 25,756 3,381 4,440

125,349 157,052United States (40.4%)American Tower Corporation 15,586 4,591 5,770Apple Inc. 31,759 4,331 7,137Coca-Cola Company (The) 44,663 2,996 3,347Comcast Corporation, Class “A” 45,249 2,749 2,882Estee Lauder Companies Inc. (The), Class “A” 7,629 3,060 3,574Exxon Mobil Corporation 107,370 7,960 8,315

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (95.7%) (cont’d)United States (40.4%) (cont’d)Home Depot, Inc. (The) 7,251 2,592 3,808Honeywell International Inc. 20,632 4,947 5,445Johnson & Johnson 15,807 2,893 3,422JPMorgan Chase & Co. 41,616 6,292 8,340McDonald’s Corporation 13,794 3,566 4,680Medtronic PLC 22,401 2,831 2,933Microsoft Corporation 22,005 3,661 9,366Mondelez International, Inc., Class “A” 45,415 3,177 3,811NextEra Energy, Inc. 31,889 2,931 3,768NIKE, Inc., Class “B” 12,424 1,926 2,621Pfizer Inc. 51,060 2,506 3,816S&P Global Inc. 8,116 4,001 4,847Texas Instruments Incorporated 22,604 5,563 5,392Thermo Fisher Scientific Inc. 6,969 4,211 5,885Union Pacific Corporation 13,163 3,594 4,197UnitedHealth Group Incorporated 6,734 2,702 4,280Visa Inc., Class “A” 25,978 6,088 7,126



OF INVESTMENTS (95.7%) 214,428 271,814UNREALIZED GAIN (LOSS) ON DERIVATIVES (−0.3%) (693)CASH AND SHORT TERM INSTRUMENTS







DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)Canadian Imperial Bank of Commerce A-1 14-Jan-22 CAD 381 (USD) (300) 0.787 0.790 1State Street Bank & Trust Company A-1+ 11-Mar-22 CAD 1,790 (USD) (1,400) 0.782 0.790 18

19



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)Bank of Montreal A-1 18-Feb-22 CAD 4,479 (USD) (3,600) 0.804 0.790 (78)Royal Bank of Canada A-1+ 18-Feb-22 CAD 6,221 (USD) (5,000) 0.804 0.790 (108)State Street Bank & Trust Company A-1+ 18-Feb-22 CAD 8,709 (USD) (7,000) 0.804 0.790 (151)State Street Bank & Trust Company A-1+ 14-Jan-22 USD 17,900 (CAD) (23,013) 1.286 1.266 (357)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 CAD 742 (USD) (600) 0.809 0.790 (18)

(712)



65

The Fund (note 1)

The Fund’s investment objective is to provide income and long-termcapital appreciation by investing primarily in North American equitysecurities that pay a dividend or distribution.



Interest rate risk


Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 116,144 (2) 116,142 40.9116,144 (2) 116,142 40.9

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 86,453 (17,242) 69,211 31.486,453 (17,242) 69,211 31.4


Price risk


Credit risk


Concentration risk


December 31, 2021 June 30, 2021

EQUITIES 95.7 92.7Canada 55.3 54.1United States 40.4 38.6UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.3) (0.1)CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Equities 271,814 – – 271,814Unrealized gain on currency forward contracts – 19 – 19

271,814 19 – 271,833Unrealized loss on currency forward contracts – (712) – (712)

271,814 (693) – 271,121

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)



204,337 (167) – 204,170





December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


19 (18) – 1



66

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


712 (18) – 694

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


3 (3) – –

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


170 (3) – 167







67



2021June 30,


Non-derivative financial assets 429,550 419,901Cash 134 1,264Receivable for securities sold 628 148Subscriptions receivable 423 778Accrued investment income and other 65 190Total assets 430,800 422,281

LIABILITIESCurrent liabilitiesManagement fee payable (note 5) 289 284Redemptions payable 262 321Accrued expenses 52 51Distributions payable 1 1Total liabilities 604 657Net assets attributable to holders of redeemable units 430,196 421,624

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 102,998 102,300Series F 319,406 310,407Series I 7,792 8,917

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNITSeries A 10.19 10.34Series F 9.46 9.61Series I 9.41 9.56



through profit or lossInterest for distribution purposes 9,742 11,901Net realized gain (loss) on non-derivative financial assets 901 116Change in unrealized gain (loss) on non-derivative financial

assets (6,560) (132)Total income (loss), net 4,083 11,885




Series A 119 2,143Series F 1,923 7,733Series I 66 329


Series A 0.01 0.26Series F 0.06 0.27Series I 0.07 0.30

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 10,228,468 8,209,994Series F 33,090,991 27,795,526Series I 889,228 1,069,674





421,624 343,249

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 119 2,143Series F 1,923 7,733Series I 66 329

2,108 10,205


Series A – (1,141)Series F (1,278) (4,627)Series I (62) (205)

From return of capitalSeries A (1,708) (249)Series F (5,354) (949)Series I (141) (42)

(8,543) (7,213)


Series A 15,933 25,634Series F 41,135 47,351Series I 410 1,176

Reinvested distributionsSeries A 1,376 1,033Series F 4,446 3,602Series I 165 208

Payments on redemptionSeries A (15,022) (7,675)Series F (31,873) (29,732)Series I (1,563) (972)

15,007 40,625

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 698 19,745Series F 8,999 23,378Series I (1,125) 494

8,572 43,617

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 102,998 95,100Series F 319,406 281,049Series I 7,792 10,717

430,196 386,866





assets 6,560 132Other non-cash transactions (9,742) (11,901)Purchases of non-derivative financial assets and liabilities (103,779) (37,379)Proceeds from sale of non-derivative financial assets and



CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable units 56,826 74,039Amounts paid on redemption of redeemable units (47,510) (38,023)Distributions to unitholders of redeemable units (2,556) (2,370)Net cash provided by (used in) financing activities 6,760 33,646

Net increase (decrease) in cash (1,130) 78Cash (bank overdraft), beginning of period 1,264 1,061CASH (BANK OVERDRAFT), END OF PERIOD 134 1,139



Dynamic Premium Bond Private Pool (Unaudited)


68

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)UNDERLYING FUNDS (99.8%)Equity Funds (19.9%)Dynamic Premium Yield Fund, Series “O” 8,135,843 73,855 85,631Fixed Income Funds (19.8%)Dynamic Corporate Bond Strategies Fund, Series “O” 9,900,929 85,391 85,180Fixed Income and Credit Funds (60.1%)Dynamic Active Core Bond Private Pool, Series “O” 12,208,472 129,687 129,340Dynamic Tactical Bond Private Pool, Series “O” 12,022,997 129,302 129,399




134 134OTHER NET ASSETS (LIABILITIES) (0.2%) 512NET ASSETS ATTRIBUTABLE TO HOLDERS OF




69

The Fund (note 1)

The Fund’s investment objective is to provide income and somelong-term capital returns from an actively managed diversifiedportfolio of fixed income securities.



Interest rate risk


Currency risk


Price risk


Credit risk


Concentration risk


December 31, 2021 June 30, 2021

UNDERLYING FUNDS 99.8 99.6Equity Funds 19.9 –Fixed Income and Credit Funds 60.1 79.3Fixed Income Funds 19.8 –Global Equity Funds – 20.3CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)


June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)








December 31, 2021




Underlying Fund(%)

Dynamic Active Core Bond Private Pool, Series “O” 129,340 9.8Dynamic Corporate Bond Strategies Fund, Series “O” 85,180 17.5Dynamic Premium Yield Fund, Series “O” 85,631 7.8Dynamic Tactical Bond Private Pool, Series “O” 129,399 8.0

429,550

June 30, 2021




Underlying Fund(%)

Dynamic Active Core Bond Private Pool, Series “O” 167,016 12.8Dynamic Premium Yield Fund, Series “O” 85,628 8.2Dynamic Tactical Bond Private Pool, Series “O” 167,257 9.9

419,901





70



2021June 30,


Non-derivative financial assets 574,116 546,408Cash 857 787Receivable for securities sold 344 193Subscriptions receivable 196 3,030Accrued investment income and other 101 262Total assets 575,614 550,680

LIABILITIESCurrent liabilitiesManagement fee payable (note 5) 336 322Payable for securities purchased – 1,166Redemptions payable 452 1,425Accrued expenses 71 67Distributions payable 166 –Total liabilities 1,025 2,980Net assets attributable to holders of redeemable shares 574,589 547,700

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIESSeries A 49,916 47,883Series F 451,682 428,094Series FT 67,467 64,856Series T 5,524 6,867

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SHARESeries A 11.07 11.06Series F 11.44 11.37Series FT 8.97 9.11Series T 9.86 10.05



through profit or lossInterest for distribution purposes 12,912 15,806Net realized gain (loss) on non-derivative financial assets 784 292Change in unrealized gain (loss) on non-derivative financial

assets (8,206) (589)Total income (loss), net 5,490 15,509




Series A 108 928Series F 2,682 10,736Series FT 409 1,779Series T – 136


Series A 0.03 0.27Series F 0.07 0.34Series FT 0.06 0.28Series T – 0.28

WEIGHTED AVERAGE NUMBER OF SHARES PER SERIESSeries A 4,388,322 3,368,602Series F 38,822,683 32,676,532Series FT 7,317,639 6,555,072Series T 625,864 492,736


Dynamic Premium Bond Private Pool Class (Unaudited)


71




547,700 434,360

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESFROM OPERATIONSSeries A 108 928Series F 2,682 10,736Series FT 409 1,779Series T – 136

3,199 13,579

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE SHARESFrom net realized gains on investments

Series FT (382) –Series T (12) –

From return of capitalSeries FT (1,006) (1,233)Series T (117) (105)

(1,517) (1,338)


Series A 10,309 15,604Series F 80,912 104,444Series FT 8,486 9,407Series T 519 3,239

Reinvested distributionsSeries FT 505 452Series T 35 30

Payments on redemptionSeries A (8,384) (3,777)Series F (60,006) (52,594)Series FT (5,401) (4,084)Series T (1,768) (145)

25,207 72,576

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESSeries A 2,033 12,755Series F 23,588 62,586Series FT 2,611 6,321Series T (1,343) 3,155

26,889 84,817

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES, END OF PERIODSeries A 49,916 43,128Series F 451,682 404,399Series FT 67,467 65,143Series T 5,524 6,507

574,589 519,177





assets 8,206 589Other non-cash transactions (12,912) (15,806)Purchases of non-derivative financial assets and liabilities (160,229) (82,602)Proceeds from sale of non-derivative financial assets and



CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable shares 100,400 131,221Amounts paid on redemption of redeemable shares (73,872) (59,234)Distributions to shareholders of redeemable shares (811) (707)Net cash provided by (used in) financing activities 25,717 71,280

Net increase (decrease) in cash 70 1,634Cash (bank overdraft), beginning of period 787 1,058CASH (BANK OVERDRAFT), END OF PERIOD 857 2,692





72

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)UNDERLYING FUNDS (99.9%)Equity Funds (19.8%)Dynamic Premium Yield Fund, Series “O” 10,829,136 99,008 113,978Fixed Income Funds (19.9%)Dynamic Corporate Bond Strategies Fund, Series “O” 13,257,675 114,325 114,058Fixed Income and Credit Funds (60.2%)Dynamic Active Core Bond Private Pool, Series “O” 16,314,813 174,141 172,844Dynamic Tactical Bond Private Pool, Series “O” 16,095,899 173,773 173,236




857 857OTHER NET ASSETS (LIABILITIES) (0.0%) (384)NET ASSETS ATTRIBUTABLE TO HOLDERS OF




73

The Fund (note 1)




Interest rate risk


Currency risk


Price risk


Credit risk


Concentration risk


December 31, 2021 June 30, 2021

UNDERLYING FUNDS 99.9 99.8Equity Funds 19.8 –Fixed Income and Credit Funds 60.2 79.6Fixed Income Funds 19.9 –Global Equity Funds – 20.2CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)


June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)








December 31, 2021




Underlying Fund(%)

Dynamic Active Core Bond Private Pool, Series “O” 172,844 13.1Dynamic Corporate Bond Strategies Fund, Series “O” 114,058 23.4Dynamic Premium Yield Fund, Series “O” 113,978 10.4Dynamic Tactical Bond Private Pool, Series “O” 173,236 10.6

574,116

June 30, 2021




Underlying Fund(%)

Dynamic Active Core Bond Private Pool, Series “O” 217,818 16.7Dynamic Premium Yield Fund, Series “O” 110,526 10.6Dynamic Tactical Bond Private Pool, Series “O” 218,064 12.8

546,408





74



2021June 30,



Cash 1,853 144,942Cash collateral deposited on derivatives 6,456 –Margin deposited on derivatives 4,378 4,743Receivable for securities sold – 2,333Subscriptions receivable 525 1,876Accrued investment income and other 6,267 6,691Total assets 1,641,439 1,706,110


Derivatives 10,660 3,958Management fee payable (note 5) 248 289Payable for interest and dividends on short securities 60 –Payable for securities purchased – 1,975Redemptions payable 3,407 2,476Accrued expenses 83 93Distributions payable 1 –Total liabilities 14,459 8,791Net assets attributable to holders of redeemable units 1,626,980 1,697,319

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESSeries A 78,223 89,200Series F 322,594 379,856Series FH (in equivalent CAD) 10,757 14,845Series I 4,083 18,378Series O 1,211,322 1,195,039Series U 1 1


NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNITSeries A 10.18 10.26Series F 9.41 9.48Series FH (in equivalent CAD) 12.33 12.16Series I 9.49 9.57Series O 10.76 10.86Series U 9.39 9.47




through profit or lossInterest for distribution purposes 19,097 16,986Net realized gain (loss) on non-derivative financial assets (22,024) 8,310Change in unrealized gain (loss) on non-derivative financial

assets 24,544 (10,769)Net realized gain (loss) on non-derivative financial liabilities – 1Net realized gain (loss) on derivatives 3,709 5,627Change in unrealized gain (loss) on derivatives (7,365) 410


Securities lending (note 11) 18 40Net realized and unrealized foreign currency translation gain (loss) 218 (1,151)Total income (loss), net 18,197 19,454

EXPENSESManagement fees (note 5) 1,441 1,779Fixed administration fees (note 6) 478 558Independent Review Committee fees 1 1Interest expense 11 2Harmonized Sales Tax/Goods and Services Tax 228 276Transaction costs 111 30Total expenses 2,270 2,646Expenses absorbed by the Manager – (10)Net expenses 2,270 2,636Net increase (decrease) in net assets attributable to holders



Series A 254 326Series F 2,202 4,234Series FH (in equivalent CAD) 356 (635)Series I 99 600Series O 13,016 12,293Series U – –


Series FH 283 (482)


Series A 0.04 0.04Series F 0.06 0.08Series FH (in equivalent CAD) 0.32 (0.76)Series I 0.15 0.13Series O 0.11 0.15Series U 0.09 0.10


Series FH 0.25 (0.58)

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 8,280,191 7,646,039Series F 38,354,168 47,661,092Series FH 1,127,249 846,980Series I 653,035 4,579,167Series O 112,122,693 85,435,791Series U 120 116


Dynamic Tactical Bond Private Pool (Unaudited)


75



Series A 89,200 51,666Series F 379,856 442,007Series FH 14,845 9,542Series I 18,378 42,649Series O 1,195,039 874,991Series U 1 1

1,697,319 1,420,856

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 254 326Series F 2,202 4,234Series FH 356 (635)Series I 99 600Series O 13,016 12,293Series U – –

15,927 16,818


Series A (283) (842)Series F (2,795) (6,493)Series FH (101) (126)Series I (55) (733)Series O (24,259) (5,871)

From net realized gains on investmentsSeries FH – (38)Series O – (24,536)

From return of capitalSeries A (715) (209)Series F (3,044) (1,351)Series FH (100) –Series I (28) (168)

(31,380) (40,367)


Series A 5,563 62,778Series F 33,432 109,630Series FH 754 6,148Series I 312 12,806Series O 128,495 209,340

Reinvested distributionsSeries A 947 993Series F 3,216 4,943Series FH 144 81Series I 83 99Series O 24,259 30,406

Payments on redemptionSeries A (16,743) (11,312)Series F (90,273) (57,685)Series FH (5,141) (3,142)Series I (14,706) (2,427)Series O (125,228) (26,444)

(54,886) 336,214

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A (10,977) 51,734Series F (57,262) 53,278Series FH (4,088) 2,288Series I (14,295) 10,177Series O 16,283 195,188

(70,339) 312,665

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 78,223 103,400Series F 322,594 495,285Series FH 10,757 11,830Series I 4,083 52,826Series O 1,211,322 1,070,179Series U 1 1

1,626,980 1,733,521




Net realized (gain) loss on non-derivative financial assets 22,024 (8,310)Change in unrealized (gain) loss on non-derivative financial

assets (24,544) 10,769Net realized (gain) loss on non-derivative financial liabilities – (1)Net realized (gain) loss on options – (286)Change in unrealized (gain) loss on derivatives 7,365 (410)Other non-cash transactions (218) (476)Purchases of non-derivative financial assets and liabilities (1,405,670) (1,193,611)Proceeds from sale of non-derivative financial assets and

liabilities 1,331,668 891,434Cash collateral deposited on derivatives (6,456) 1,704Payable for interest and dividends on short securities 60 (16)Margin deposited on derivatives 365 (844)Accrued investment income and other 424 (580)Accrued expenses and other payables (51) 103


CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable units 169,497 400,397Amounts paid on redemption of redeemable units (250,750) (100,201)Distributions to unitholders of redeemable units (2,730) (3,845)Net cash provided by (used in) financing activities (83,983) 296,351

Net increase (decrease) in cash (143,089) 12,645Cash (bank overdraft), beginning of period 144,942 39,810CASH (BANK OVERDRAFT), END OF PERIOD 1,853 52,455

Interest paid(1) 11 2Interest received, net of withholding taxes(1) 19,301 15,913Dividends paid(1) – 16




76

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (98.7%)Canadian Bonds and Debentures (90.2%)Federal (34.7%)Canada Housing Trust, 1.75% Jun. 15 30 64,777 67,669 64,639Canada Housing Trust, 1.10% Mar. 15 31 11,072 10,549 10,387Canada Housing Trust, 1.90% Mar. 15 31 3,033 3,021 3,049Canada Housing Trust, 1.60% Dec. 15 31 122,720 120,424 119,519Canada Housing Trust, 2.15% Dec. 15 31 92,378 92,545 94,537Canadian Mortgage and Housing Corporation, 0.55%

Jan. 01 26 – – –Canadian Mortgage and Housing Corporation, 0.89%

Sep. 01 26 352 343 343Canadian Mortgage and Housing Corporation, 1.92%

Jan. 01 30 3,653 3,628 3,630Government of Canada, 0.50%, Nov. 01 23 40,727 40,430 40,397Government of Canada, 1.00% Sep. 01 26 58,249 57,316 57,590Government of Canada, 1.50% Dec. 01 31 17,631 17,553 17,668Government of Canada, 2.00% Dec. 01 51 82,778 87,912 89,083Government of Canada, 1.75% Dec. 01 53 63,584 62,559 64,192

563,949 565,034Provincial (21.2%)Province of Alberta, 2.05% Jun. 01 30 6,669 6,606 6,700Province of Alberta, 3.10% Jun. 01 50 9,164 10,336 10,180Province of British Columbia, 2.20% Jun. 18 30 72,550 74,179 74,307Province of British Columbia, 2.95% Jun. 18 50 15,035 15,998 16,689Province of Ontario, 2.05% Jun. 02 30 55,381 57,749 55,866Province of Ontario, 1.35% Dec. 02 30 10,277 10,006 9,751Province of Ontario, 1.90% Dec. 02 51 16,982 15,061 15,021Province of Ontario, 2.55% Dec. 02 52 69,025 66,805 70,579Province of Quebec, 3.10% Dec. 01 51 36,695 42,401 42,060Province of Quebec, 2.85% Dec. 01 53 40,223 41,290 44,169

340,431 345,322Corporate (34.3%)Algonquin Power Co., 4.09% Feb. 17 27 1,965 2,052 2,130Algonquin Power Co., 2.85% Jul. 15 31 1,839 1,839 1,862Allied Properties Real Estate Investment Trust, 1.726%

Feb. 12 26, Series “H” 1,516 1,516 1,480AltaGas Ltd., 2.609% Dec. 16 22 5,212 5,267 5,279AltaGas Ltd., 3.84% Jan. 15 25 5,678 6,016 5,955AltaGas Ltd., 4.12% Apr. 07 26 4,694 5,297 5,028AltaGas Ltd., 2.166% Mar. 16 27 1,636 1,611 1,610AltaGas Ltd., 2.075% May 30 28 10,395 10,313 10,050AltaGas Ltd., 2.477% Nov. 30 30 2,410 2,410 2,327AltaGas Ltd., 4.50% Aug. 15 44 1,512 1,705 1,632Bank of Montreal, 3.19% Mar. 01 28 3,320 3,567 3,554Bank of Montreal, 1.928% Jul. 22 31 4,845 4,850 4,768Bank of Nova Scotia (The), 1.85% Nov. 02 26 7,618 7,616 7,540Bank of Nova Scotia (The), 3.89% Jan. 18 29 6,521 6,808 6,795Bank of Nova Scotia (The), 2.836% Jul. 03 29 18,964 19,636 19,382BCI QuadReal Realty, 1.073% Feb. 04 26 4,382 4,382 4,247Bell Canada, 2.75% Jan. 29 25 8,289 8,418 8,498Bell Canada, 3.60% Sep. 29 27 4,034 4,374 4,295Bell Canada, 3.80% Aug. 21 28 5,750 5,911 6,218Bell Canada, 2.90% Sep. 10 29 8,490 8,667 8,689Bell Canada, 3.50% Sep. 30 50 1,128 1,142 1,086Brookfield Asset Management Inc., 5.04% Mar. 08 24 4,609 5,009 4,900Brookfield Asset Management Inc., 4.82% Jan. 28 26 7,485 8,337 8,217Brookfield Infrastructure Finance ULC, 3.315%


Oct. 09 29 11,603 11,786 12,105Brookfield Infrastructure Finance ULC, 2.855%

Sep. 01 32 2,519 2,525 2,466Bruce Power L.P., 3.969% Jun. 23 26 2,754 2,960 2,962Bruce Power L.P., 4.01% Jun. 21 29 2,607 2,898 2,864Bruce Power L.P., 4.00% Jun. 21 30 6,516 7,217 7,152Cadillac Fairview Property Trust, 2.50% Oct. 15 31 USD 2,442 3,063 3,083Canadian Imperial Bank of Commerce, 2.00%

Apr. 17 25 8,211 8,442 8,255Canadian Imperial Bank of Commerce, 2.01%

Jul. 21 30 1,897 1,875 1,888Canadian Imperial Bank of Commerce, 1.96%

Apr. 21 31 3,395 3,398 3,351Canadian Pacific Railway Limited, 2.54% Feb. 28 28 4,945 4,945 5,029CGI Inc., 1.45% Sep. 14 26 USD 4,586 5,776 5,685CGI Inc., 2.10% Sep. 18 28 3,134 3,129 3,081CHIP Mortgage Trust, 1.738% Dec. 15 45,

Series 2020-1 1,859 1,865 1,838CNH Industrial Capital Canada Ltd. 1.50% Oct. 01 24 2,447 2,445 2,420Daimler Canada Finance Inc., 2.14% Dec. 13 24 5,361 5,360 5,393Dream Industrial Real Estate Investment Trust,

0.8675% Jun. 17 24, Series “B” 1,176 1,176 1,171Enbridge Gas Inc., 2.90% Apr. 01 30 2,369 2,366 2,473Enbridge Gas Inc., 3.01% Aug. 09 49 2,022 2,171 2,000Enbridge Gas Inc., 3.65% Apr. 01 50 377 453 417Enbridge Gas Inc., 3.20% Sep. 15 51 4,671 4,666 4,784Enbridge Inc., 3.95% Nov. 19 24 6,368 6,816 6,706Enbridge Inc., 3.20% Jun. 08 27 3,040 3,207 3,160Enbridge Inc., 3.10% Sep. 21 33 4,050 4,043 4,001

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (98.7%) (cont’d)Canadian Bonds and Debentures (90.2%) (cont’d)Corporate (34.3%) (cont’d)Enbridge Inc., 5.375% Sep. 27 77 4,394 4,523 4,648Enbridge Inc., 6.625% Apr. 12 78, Series “C” 1,446 1,680 1,639Enbridge Pipelines Inc., 4.20% May 12 51 920 920 974Enbridge Southern Lights LP, 4.014% Jun. 30 40 750 743 797ENMAX Corporation, 3.331% Jun. 02 25, Series 6 3,373 3,450 3,505ENMAX Corporation, 3.836% Mar. 05 28, Series 4 2,123 2,249 2,268EPCOR Utilities Inc., 2.411% Jun 30. 31 1,366 1,366 1,367Fortified Trust, 1.964% Oct. 23 26, Series 2021-1,

Class “A” 7,834 7,834 7,853Fortis Inc., 2.18% May 15 28 3,661 3,659 3,657Fortis Inc., 6.51% Jul. 04 39 1,150 1,723 1,642Fédération des caisses Desjardins du Québec, 2.05%

Feb. 10 25 USD 2,872 3,865 3,684General Motors Financial of Canada, Ltd., 5.95%


Apr. 15 26 3,117 3,111 3,050Gibson Energy Inc., 2.85% Jul. 14 27 2,148 2,192 2,185Great-West Lifeco Inc., 3.60% Dec. 31 81 2,234 2,234 2,197H&R Real Estate Investment Trust, 2.906% Jun. 02 26 1,095 1,095 1,113HCN Canadian Holdings-1 LP, 2.95% Jan. 15 27 4,960 5,089 5,076Honda Canada Finance Inc., 1.711% Sep. 28 26 1,183 1,183 1,164HSBC Bank Canada, 1.782% May 20 26 1,192 1,192 1,183Hydro One Inc., 3.02% Apr. 05 29, Series 43 4,059 4,440 4,304Hydro One Inc., 2.16% Feb. 28 30, Series 46 6,518 6,563 6,505Hydro One Inc., 4.39% Sep. 26 41, Series 23 1,887 2,336 2,282Hydro One Inc., 4.59% Oct. 09 43, Series 29 1,255 1,598 1,568Intact Financial Corporation, 3.691% Mar. 24 25 7,034 7,115 7,435Intact Financial Corporation, 3.77% Mar. 02 26 5,182 5,547 5,539Intact Financial Corporation, 2.179% May 18 28 1,574 1,580 1,570Intact Financial Corporation, 3.765% May 20 53 1,544 1,544 1,701Inter Pipeline Ltd., 3.983% Nov. 25 31 5,376 5,380 5,531Manulife Bank of Canada, 1.536% Sep. 14 26 3,315 3,315 3,250Manulife Financial Corporation, 4.061% Feb. 24 32 USD 5,791 8,040 7,896Manulife Financial Corporation, 3.40% Jun. 19 81 1,063 1,063 1,032Nissan Canada Inc., 1.626% Mar. 18 24 3,603 3,600 3,571North West Redwater Partnership/NWR

Financing Co. Ltd., 2.00% Dec. 01 26, 1,686 1,683 1,672North West Redwater Partnership/NWR

Financing Co. Ltd., 4.25% Jun. 01 29, Series “F” 8,027 8,945 8,955North West Redwater Partnership/NWR

Financing Co. Ltd., 2.80% Jun. 01 31, 6,302 6,290 6,322North West Redwater Partnership/NWR

Financing Co. Ltd., 3.65% Jun. 01 35, Series “K” 1,225 1,331 1,281OMERS Realty Corporation, 3.244% Oct. 04 27,

Series 9 1,263 1,418 1,340OMERS Realty Corporation, 3.628% Jun. 05 30,

Series 11 2,941 3,266 3,236Ontario Power Generation, 2.977% Sep. 13 29 2,733 2,881 2,860Ontario Power Generation, 3.215% Apr. 08 30 3,329 3,530 3,533Ontario Power Generation, 2.947% Feb. 21 51 3,826 3,826 3,642Pembina Pipeline Corporation, 4.02% Mar. 27 28,

Series 10 5,952 6,462 6,400Pembina Pipeline Corporation, 3.31% Feb. 01 30,

Series 15 2,326 2,348 2,393Pembina Pipeline Corporation, 3.53% Dec. 10 31,

Series 17 2,314 2,314 2,367Reliance LP, 2.67% Aug. 01 28 2,249 2,247 2,247RioCan Real Estate Investment Trust, 1.974%

Jun. 15 26, Series “AD” 1,655 1,655 1,628Rogers Communications Inc., 3.65% Mar. 31 27 1,970 2,114 2,074Rogers Communications Inc., 3.25% May 01 29 2,374 2,428 2,444Rogers Communications Inc., 5.00% Dec. 17 81 7,442 7,442 7,554Royal Bank of Canada, 2.609% Nov. 01 24 19,746 20,342 20,215Royal Bank of Canada, 1.833% Jul. 31 28 6,659 6,659 6,509Royal Bank of Canada, 2.88% Dec. 23 29 8,830 9,047 9,048Royal Bank of Canada, 2.10% Jun. 30 30 3,076 3,076 3,075Royal Bank of Canada, 2.14% Nov. 03 31 4,012 4,011 3,978Royal Bank of Canada, 1.67% Jan. 28 33 2,154 2,154 2,060Royal Bank of Canada, 4.50% Nov. 24 80 2,250 2,250 2,360Royal Bank of Canada, 4.00% Feb. 24 81 2,893 2,893 2,955SmartCentres Real Estate Investment Trust, 3.556%

Feb. 06 25, Series “N” 4,369 4,541 4,556SmartCentres Real Estate Investment Trust, 1.74%

Dec. 16 25, Series “X” 5,152 5,153 5,044SmartCentres Real Estate Investment Trust, 3.526%

Dec. 20 29, Series “U” 1,486 1,506 1,550Sobeys Inc., 4.70% May 08 23, Series 2013-2 1,216 1,303 1,268Suncor Energy Inc., 3.00% Jun. 14 26 2,996 3,064 3,103Suncor Energy Inc., 5.39% Mar. 26 37 1,136 1,430 1,375TELUS Corporation, 2.75% Jul. 08 26, Series “CZ” 9,139 9,234 9,363TELUS Corporation, 3.30% May 02 29, Series “CY” 3,706 4,009 3,885TMX Group Limited, 4.461% Oct. 03 23 2,398 2,586 2,512TMX Group Limited, 2.997% Dec. 11 24, Series “D” 9,397 9,721 9,718TMX Group Limited, 3.779% Jun. 05 28, Series “E” 2,319 2,496 2,540TMX Group Limited, 2.016% Feb.12 31, Series “F” 1,909 1,909 1,850



77

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (98.7%) (cont’d)Canadian Bonds and Debentures (90.2%) (cont’d)Corporate (34.3%) (cont’d)Toronto Hydro Corporation, 3.27% Oct. 18 51,

Series 18 1,786 1,790 1,909Toronto-Dominion Bank (The), 1.943% Mar. 13 25 3,133 3,261 3,147Toronto-Dominion Bank (The), 3.589% Sep. 14 28 1,984 2,082 2,048Toronto-Dominion Bank (The), 3.224% Jul. 25 24 7,417 7,834 7,658Toronto-Dominion Bank (The), 3.105% Apr. 22 30 15,866 16,909 16,383TransCanada PipeLines Limited, 3.80% Apr. 05 27 15,181 16,575 16,224TransCanada PipeLines Limited, 2.97% Jun. 09 31 4,765 4,763 4,806Ventas Canada Finance Limited, 2.80% Apr. 12 24,

Series “E” 2,130 2,139 2,175Ventas Canada Finance Limited, 4.125% Sep. 30 24,

Series “B” 1,078 1,124 1,137Ventas Canada Finance Limited, 2.45% Jan. 04 27,

Series “G” 5,495 5,481 5,526Ventas Canada Finance Limited, 3.30% Dec. 01 31,

Series “H” 2,450 2,442 2,495VW Credit Canada, Inc., 2.45% Dec. 10 26 4,442 4,436 4,484WSP Global Inc., 2.408% Apr. 19 28 1,831 1,831 1,827

560,751 557,632Foreign Bonds and Debentures (8.5%)France (0.1%)Pernod Ricard International Finance LLC, 1.25%

Apr. 01 28 USD 1,287 1,715 1,546Ireland (0.2%)AerCap Ireland Capital Designated Activity Company/

Global Aviation Trust, 2.45% Oct. 29 26 USD 2,889 3,559 3,691United Kingdom (1.1%)BP Capital Markets PLC, 3.47% May 15 25 2,246 2,335 2,361Heathrow Funding Limited, 3.25% May 21 25,

Class “A” 8,664 8,951 8,947Heathrow Funding Limited, 2.694% Oct. 13 29 2,757 2,757 2,768Heathrow Funding Limited, 3.726% Apr. 13 35 3,862 3,934 4,015

17,977 18,091United States (7.1%)AbbVie Inc., 2.95% Nov. 21 26 USD 2,417 3,439 3,227Anthem, Inc., 2.25% May 15 30 USD 3,943 5,476 4,983Bank of America Corporation, 2.932% Apr. 25 25 12,099 12,419 12,424Bank of America Corporation, 3.407% Sep. 20 25 4,499 4,632 4,680Bank of America Corporation, 1.734% Jul. 22 27 USD 1,154 1,442 1,452Bank of America Corporation, 1.978% Sep. 15 27 4,562 4,556 4,505

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)BONDS AND DEBENTURES (98.7%) (cont’d)Foreign Bonds and Debentures (8.5%) (cont’d)United States (7.1%) (cont’d)Bank of America Corporation, 2.598% Apr. 04 29 2,698 2,698 2,725BlackRock, Inc., 2.40% Apr. 30 30 USD 784 1,024 1,023Crown Castle Towers LLC, 3.663% May 15 45 USD 2,500 3,592 3,297CVS Health Corporation, 4.30% Mar. 25 28 USD 1,504 2,247 2,139Emera US Finance LP, 2.639% Jun. 15 31 USD 4,567 5,512 5,694FS KKR Capital Corp., 1.65% Oct. 12 24 USD 3,325 4,154 4,132Highmark Inc., 2.55% May 10 31 USD 1,812 2,221 2,268JPMorgan Chase & Co., 3.782% Feb. 01 28 USD 3,258 4,836 4,469JPMorgan Chase & Co., 1.896% Mar. 05 28 6,589 6,582 6,482Morgan Stanley, 1.779% Aug. 04 27 2,783 2,779 2,727Mylan, Inc., 4.55% Apr. 15 28 USD 2,264 3,522 3,212NextEra Energy Capital Holdings, Inc., 3.50%

Apr. 01 29 USD 2,828 4,212 3,847Verizon Communications Inc., 2.375% Mar. 22 28 5,205 5,197 5,213Verizon Communications Inc., 2.55% Mar. 21 31 USD 592 768 758Walt Disney Company (The), 3.057% Mar. 30 27 16,674 17,315 17,304Wells Fargo & Company, 3.184% Feb. 08 24 3,693 3,791 3,806Wells Fargo & Company, 2.568% May 01 26 4,463 4,709 4,539Wells Fargo & Company, 2.493% Feb. 18 27 10,101 10,213 10,197

117,336 115,103UNDERLYING FUNDS (0.9%)1832 AM U.S. $Investment Grade U.S. Corporate Bond

Pool, Series “I” 1,116,050 15,884 15,341AVERAGE COST AND CARRYING VALUE


OF INVESTMENTS (99.6%) 1,621,601 1,621,760UNREALIZED GAIN (LOSS) ON

DERIVATIVES (−0.6%) (10,460)CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) (0.1%)Canadian 1,947 1,947Foreign (94) (94)






DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)Royal Bank of Canada A-1+ 11-Mar-22 CAD 2,430 (USD) (1,900) 0.782 0.790 25Toronto-Dominion Bank (The) A-1+ 11-Mar-22 CAD 10,486 (USD) (8,200) 0.782 0.790 106

131



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 152 (USD) (119) 0.780 0.790 2State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 373 (USD) (290) 0.779 0.790 5State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 432 (USD) (340) 0.787 0.790 2State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 1,054 (USD) (825) 0.782 0.790 10

19




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)Bank of Montreal A-1 14-Jan-22 CAD 4,543 (USD) (3,600) 0.792 0.790 (13)Bank of Montreal A-1 14-Jan-22 CAD 35,725 (USD) (28,900) 0.809 0.790 (849)Bank of Montreal A-1 14-Jan-22 USD 200 (CAD) (256) 1.278 1.266 (3)Royal Bank of Canada A-1+ 14-Jan-22 USD 1,000 (CAD) (1,279) 1.279 1.266 (14)State Street Bank & Trust Company A-1+ 14-Jan-22 CAD 34,984 (USD) (28,300) 0.809 0.790 (833)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 USD 600 (CAD) (774) 1.290 1.266 (15)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 USD 1,000 (CAD) (1,281) 1.281 1.266 (16)Toronto-Dominion Bank (The) A-1+ 14-Jan-22 USD 1,200 (CAD) (1,534) 1.279 1.266 (16)

(1,759)



78



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 97 (CAD) (125) 1.283 1.266 (2)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 9,929 (CAD) (12,620) 1.271 1.266 (53)

(55)



Unrealized Gain on Futures Contracts

Futures Contracts

Number ofContracts


Date

NotionalCost

($000s)

CarryingValue

($000s)

UnrealizedGain

($000s)Euro Bund Bond Futures, Mar. 08 22 (21) EUR 171.37 08-Mar-22 (5,208) (5,182) 26United States Treasury 10 Year Bond Futures, Mar. 22 22 (521) USD 130.47 22-Mar-22 (86,047) (86,028) 19United States Treasury 2 Year Bond Futures, Mar. 31 22 (25) USD 109.09 31-Mar-22 (6,908) (6,903) 5

(98,163) (98,113) 50

Unrealized Loss on Futures Contracts

Futures Contracts

Number ofContracts


Date

NotionalCost

($000s)

CarryingValue

($000s)

UnrealizedLoss

($000s)Government of Canada 10 Year Bond Futures, Mar. 22 22 (1,871) CAD 142.62 22-Mar-22 (262,401) (266,842) (4,441)United States Treasury Ultra 10-Year Treasury Note Futures, Mar. 22 22 33 USD 146.44 22-Mar-22 6,146 6,116 (30)

(256,255) (260,726) (4,471)

Unrealized Loss on Swap Contracts

Credit Default Swaps (Centrally Cleared)

TerminationDate

NotionalAmount ($)

InterestRate (%)

UnrealizedLoss

($000s)Markit North American Investment Grade CDX Index 36 Swap,Counterparty: Merrill Lynch International, Credit Rating A-1

20-Jun-26 USD 137,956,745 1.000 (4,375)(4,375)



79

The Fund (note 1)




Interest rate risk



($000s)June 30, 2021

($000s)

Less than 1 year 71 (1,763)1-3 years 115,502 58,3813-5 years 226,442 239,0035-10 years 825,267 899,258> 10 years 84,719 (387,688)

1,252,001 807,191


Currency risk

Below is a summary of the Fund’s direct exposure to currency risk.Amounts shown are based on the carrying value of monetary andnon-monetary assets and liabilities of the Fund net of currencycontracts and short positions, as applicable.

December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 84,037 (84,672) (635) 0.0Euro 105 – 105 0.0

84,142 (84,672) (530) –

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 128,938 (130,747) (1,809) (0.1)Euro 49 – 49 0.0

128,987 (130,747) (1,760) (0.1)


Series FH

December 31, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 10,757 (10,698) 5910,757 (10,698) 59

Series FH

June 30, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 14,845 (14,856) (11)14,845 (14,856) (11)


Price risk


Credit risk


December 31, 2021 June 30, 2021

Credit ratings


ratedinstruments

(%)


(%)


ratedinstruments

(%)


(%)

AAA/A-1+ 35.8 35.4 34.0 30.6AA 11.9 11.7 12.2 11.0A/A-1 23.6 23.3 26.5 23.9BBB/A-2 28.7 28.3 27.2 24.5Unrated – – 0.1 0.1

100.0 98.7 100.0 90.1



80

Concentration risk


December 31, 2021 June 30, 2021

BONDS AND DEBENTURES 98.7 90.0Canadian Bonds and DebenturesFederal 34.7 28.4Provincial 21.2 17.5Corporate 34.3 32.8Foreign Bonds and DebenturesFrance 0.1 0.1Ireland 0.2 –United Kingdom 1.1 1.4United States 7.1 9.8UNDERLYING FUNDS 0.9 0.9UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.6) (0.1)CASH AND SHORT TERM INSTRUMENTS





Level 2($000s)

Level 3($000s)

Total($000s)

Bonds and debentures – 1,606,419 – 1,606,419Underlying Funds 15,341 – – 15,341Unrealized gain on currency forward contracts – 150 – 150Unrealized gain on futures contracts 50 – – 50

15,391 1,606,569 – 1,621,960Unrealized loss on currency forward contracts – (1,814) – (1,814)Unrealized loss on futures contracts (4,471) – – (4,471)Unrealized loss on swap contracts – (4,375) – (4,375)

(4,471) (6,189) – (10,660)10,920 1,600,380 – 1,611,300

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)

Bonds and debentures – 1,528,713 883 1,529,596Underlying Funds 15,066 – – 15,066Unrealized gain on currency forward contracts – 863 – 863

15,066 1,529,576 883 1,545,525Unrealized loss on currency forward contracts – (416) – (416)Unrealized loss on futures contracts (3,542) – – (3,542)

(3,542) (416) – (3,958)11,524 1,529,160 883 1,541,567



Reconciliation of Level 3 financial instruments

Below is a summary of the movement in the Fund’s Level 3 financialinstruments.

December 31, 2021($000s)

June 30, 2021($000s)

Beginning of period 883 987Purchases – –Sales/Return of Capital – –Transfers into Level 3 – –Transfers out of Level 3 – –Net realized gains (losses) – –Net changes in unrealized gain (loss)* (883) (104)End of period – 883

* Net change in unrealized gain (loss) for Level 3 financial instruments held as at December 31,2021 and June 30, 2021 was $(104,000) and $(104,000), respectively.

Level 3 valuation techniques

Below is a summary of the valuation techniques and the significantunobservable inputs used in the fair value measurement of Level 3financial instruments. The significant unobservable inputs used in thevaluation of Level 3 financial instruments can vary considerablyover time depending on company specific factors and economic ormarket conditions. Below also illustrates the potential impact on theFund if the significant unobservable inputs used in the valuationtechniques had increased or decreased by 5%, or in the case ofUnderlying Funds, 10%, with all other variables held constant. Certainsignificant unobservable inputs used in the valuation techniques arenot reasonably expected to shift and are indicated in the below as “n/a”.Securities where the reasonable possible shift in the significantunobservable inputs did not result in a material impact on the Fundare indicated in the below as nil.

As at December 31, 2021, the Fund did not hold any Level 3 financialinstruments.

Security Valuation technique

Significantunobservableinput

Carryingvalue as at

June 30, 2021($000s)

Change invaluation

($000s)

Debt Fair value based onvendor quote

Indicativevendor quote

883 n/a

883



December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


150 (80) – 70

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)

Currency forward contracts 1,814 (80) – 1,734Options contracts – OTC – – – –Swap contracts – OTC 4,375 – (6,456) 4,375

6,189 (80) (6,456) 1,734

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


863 (19) – 844



81

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


416 (19) – 397



December 31, 2021




Underlying Fund(%)

1832 AM U.S. $ Investment Grade U.S. CorporateBond Pool, Series “I” 15,341 4.1

15,341

June 30, 2021




Underlying Fund(%)

1832 AM U.S. $ Investment Grade U.S. CorporateBond Pool, Series “I” 15,066 5.3

15,066





82



2021June 30,



Cash 13,981 12,188Receivable for securities sold 1,253 –Subscriptions receivable 201 (253)Accrued investment income and other 55 70Total assets 189,652 146,034


Derivatives 428 149Management fee payable (note 5) 202 150Payable for securities purchased 2,103 2,204Redemptions payable 129 14Accrued expenses 26 19Distributions payable 1 –Total liabilities 2,889 2,536Net assets attributable to holders of redeemable shares 186,763 143,498

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SERIESSeries A 84,560 60,458Series F 89,592 72,313Series FH (in equivalent CAD) 4,517 3,863Series FT 313 128Series I 7,781 6,736


NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES PER SHARESeries A 16.82 15.18Series F 22.80 20.46Series FH (in equivalent CAD) 23.79 20.92Series FT 11.12 10.25Series I 20.07 17.94




through profit or lossDividends 757 691Interest for distribution purposes 17 22Net realized gain (loss) on non-derivative financial assets 15,566 11,750Change in unrealized gain (loss) on non-derivative financial

assets 1,353 893Net realized gain (loss) on derivatives (424) 953Change in unrealized gain (loss) on derivatives (278) 4


Securities lending (note 11) 1 –Net realized and unrealized foreign currency translation gain (loss) 386 (345)Total income (loss), net 17,378 13,968

EXPENSESManagement fees (note 5) 962 563Fixed administration fees (note 6) 124 80Independent Review Committee fees 1 1Interest expense – 1Foreign withholding taxes/tax reclaims 107 85Harmonized Sales Tax/Goods and Services Tax 115 71Transaction costs 68 55Total expenses 1,377 856Expenses absorbed by the Manager – –Net expenses 1,377 856Net increase (decrease) in net assets attributable to holders



Series A 6,729 4,357Series F 7,947 7,816Series FH (in equivalent CAD) 517 248Series FT 13 –Series I 795 691


Series FH 410 188


Series A 1.55 1.78Series F 2.23 2.61Series FH (in equivalent CAD) 2.90 1.47Series FT 0.99 –Series I 2.10 2.30


Series FH 2.30 1.12

WEIGHTED AVERAGE NUMBER OF SHARES PER SERIESSeries A 4,365,147 2,446,981Series F 3,558,775 3,002,266Series FH 178,435 168,817Series FT 13,655 –Series I 376,497 300,005


Dynamic U.S. Equity Private Pool Class (Unaudited)


83



Series A 60,458 28,484Series F 72,313 53,709Series FH 3,863 4,047Series FT 128 –Series I 6,736 4,326

143,498 90,566

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESFROM OPERATIONSSeries A 6,729 4,357Series F 7,947 7,816Series FH 517 248Series FT 13 –Series I 795 691

16,001 13,112

DISTRIBUTIONS TO HOLDERS OF REDEEMABLE SHARESFrom return of capital

Series FT (5) –(5) –


Series A 20,718 14,055Series F 19,533 14,264Series FH 571 208Series FT 176 –Series I 1,117 1,095

Reinvested distributionsSeries FT 1 –

Payments on redemptionSeries A (3,345) (2,273)Series F (10,201) (8,250)Series FH (434) (1,269)Series I (867) (268)

27,269 17,562

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARESSeries A 24,102 16,139Series F 17,279 13,830Series FH 654 (813)Series FT 185 –Series I 1,045 1,518

43,265 30,674

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SHARES, END OF PERIODSeries A 84,560 44,623Series F 89,592 67,539Series FH 4,517 3,234Series FT 313 –Series I 7,781 5,844

186,763 121,240





assets (1,353) (893)Change in unrealized (gain) loss on derivatives 278 (4)Unrealized foreign currency translation (gain) loss 7 (1)Purchases of non-derivative financial assets and liabilities (225,212) (113,016)Proceeds from sale of non-derivative financial assets and



CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable shares 41,365 29,765Amounts paid on redemption of redeemable shares (14,436) (12,093)Distributions to shareholders of redeemable shares (3) –Net cash provided by (used in) financing activities 26,926 17,672

Unrealized foreign currency translation gain (loss) (7) 1Net increase (decrease) in cash 1,800 5,168Cash (bank overdraft), beginning of period 12,188 8,018CASH (BANK OVERDRAFT), END OF PERIOD 13,981 13,187

Interest paid(1) – 1Interest received, net of withholding taxes(1) 11 19Dividends received, net of withholding taxes(1) 671 613




84

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (93.2%)Ireland (2.2%)Accenture PLC, Class “A” 3,500 1,550 1,836Horizon Therapeutics Public Limited Company 16,700 2,380 2,278

3,930 4,114United States (91.0%)Advanced Micro Devices, Inc. 19,400 3,411 3,533Alphabet Inc., Class “A” 2,339 6,525 8,576American Tower Corporation 9,062 2,643 3,355Analog Devices, Inc. 5,800 1,302 1,290Apple Inc. 29,376 4,209 6,602Bill.com Holdings, Inc. 7,900 2,691 2,491Blackstone Group Inc. (The), Class “A” 16,929 2,812 2,772CBRE Group, Inc., Class “A” 8,500 1,121 1,167Charles Schwab Corporation (The) 11,700 1,282 1,245Chipotle Mexican Grill, Inc. 1,100 2,492 2,434Costco Wholesale Corporation 2,100 1,261 1,509Datadog, Inc., Class “A” 15,800 2,762 3,562Deckers Outdoor Corporation 2,500 1,257 1,159Devon Energy Corporation 21,100 1,189 1,176Dexcom, Inc. 3,900 2,644 2,650Eaton Corporation PLC 10,950 2,385 2,395Equifax Inc. 3,700 1,249 1,371Estee Lauder Companies Inc. (The), Class “A” 3,000 1,360 1,406Exxon Mobil Corporation 35,180 2,621 2,724Five Below, Inc. 9,000 2,233 2,357Fortinet, Inc. 6,700 1,670 3,048Home Depot, Inc. (The) 4,042 1,448 2,123Honeywell International Inc. 10,877 2,514 2,870Intuit Inc. 2,600 2,220 2,117IQVIA Holdings Inc. 7,400 2,531 2,642Johnson & Johnson 14,329 2,766 3,102Johnson Controls International PLC 13,700 1,381 1,410JPMorgan Chase & Co. 15,457 2,336 3,098Lam Research Corporation 1,300 1,173 1,183Lowe’s Companies, Inc. 4,300 1,235 1,407lululemon athletica inc. 5,100 2,446 2,527Marsh & McLennan Companies, Inc. 5,200 1,091 1,144Martin Marietta Materials, Inc. 2,200 1,242 1,227Marvell Technology, Inc. 25,800 2,769 2,857McDonald’s Corporation 12,429 3,455 4,217Medtronic PLC 17,343 2,174 2,271Micron Technology, Inc. 9,300 1,083 1,096Microsoft Corporation 16,243 4,213 6,914Mondelez International, Inc., Class “A” 37,000 2,592 3,105

Par Value($000s)/


AverageCost

($000s)

CarryingValue

($000s)EQUITIES (93.2%) (cont’d)United States (91.0%) (cont’d)MongoDB, Inc. 5,800 2,043 3,886NextEra Energy, Inc. 36,726 3,846 4,339NIKE, Inc., Class “B” 15,844 2,868 3,342NVIDIA Corporation 7,000 2,522 2,606Olin Corporation 15,200 1,068 1,107Oracle Corporation 21,798 1,564 2,406Palo Alto Networks, Inc. 5,800 3,347 4,087Pfizer Inc. 36,731 1,833 2,745Raytheon Technologies Corporation 21,673 2,426 2,361Repligen Corporation 8,300 1,209 2,782S&P Global Inc. 2,500 1,439 1,493Seagen Inc. 4,900 1,082 959ServiceNow, Inc. 3,500 2,910 2,875Snowflake Inc., Class “A” 7,000 3,129 3,001Tesla, Inc. 800 823 1,070Texas Instruments Incorporated 12,535 2,858 2,990Thermo Fisher Scientific Inc. 3,254 2,529 2,748TJX Companies, Inc. (The) 37,425 3,255 3,596Trade Desk, Inc. (The) 24,600 3,230 2,853Ulta Beauty, Inc. 2,200 1,109 1,148Union Pacific Corporation 9,892 2,699 3,154UnitedHealth Group Incorporated 7,845 3,449 4,986Visa Inc., Class “A” 11,997 2,755 3,290Zoetis Inc. 4,900 1,272 1,513ZoomInfo Technologies Inc. 31,600 2,385 2,565



OF INVESTMENTS (93.2%) 149,341 174,148UNREALIZED GAIN (LOSS) ON DERIVATIVES (−0.2%) (414)CASH AND SHORT TERM INSTRUMENTS


13,982 13,981OTHER NET ASSETS (LIABILITIES) (−0.5%) (952)NET ASSETS ATTRIBUTABLE TO HOLDERS OF





DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 11-Mar-22 CAD 767 (USD) (600) 0.782 0.790 8

8



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedGain

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 48 (USD) (38) 0.774 0.790 1State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 62 (USD) (49) 0.783 0.790 1State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 77 (USD) (61) 0.782 0.790 1State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 108 (USD) (84) 0.781 0.790 1State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 120 (USD) (94) 0.779 0.790 2State Street Bank & Trust Company A-1+ 28-Feb-22 USD 64 (CAD) (82) 1.265 1.266 –

6




DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)Bank of Montreal A-1 14-Jan-22 USD 9,900 (CAD) (12,731) 1.286 1.266 (202)State Street Bank & Trust Company A-1+ 18-Feb-22 CAD 11,571 (USD) (9,300) 0.804 0.790 (200)

(402)



85



DeliveryDate


($000s)



MarketPrice ($)

UnrealizedLoss

($000s)State Street Bank & Trust Company A-1+ 28-Feb-22 CAD 44 (USD) (35) 0.790 0.790 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 40 (CAD) (51) 1.278 1.266 –State Street Bank & Trust Company A-1+ 28-Feb-22 USD 51 (CAD) (66) 1.283 1.266 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 53 (CAD) (68) 1.284 1.266 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 82 (CAD) (105) 1.277 1.266 (1)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 350 (CAD) (448) 1.279 1.266 (5)State Street Bank & Trust Company A-1+ 28-Feb-22 USD 3,346 (CAD) (4,253) 1.271 1.266 (18)

(26)

Total Unrealized Loss on Currency Forward Contracts (428)




86

The Fund (note 1)

The Fund’s investment objective is to achieve long-term capitalappreciation by investing primarily in a diversified portfolio of equitysecurities of companies that are located or doing business primarilyin the United States.



Interest rate risk


Currency risk


December 31, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 179,121 (1) 179,120 95.9179,121 (1) 179,120 95.9

June 30, 2021

Currency


($000s)

Currencycontracts

($000s)


($000s)


(%)

US dollar 136,886 (15,134) 121,752 84.8136,886 (15,134) 121,752 84.8


Series FH

December 31, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 4,517 (4,594) (77)4,517 (4,594) (77)

Series FH

June 30, 2021

CurrencyNet assets

($000s)

Currencycontracts

($000s)

Currencyexposure


($000s)

Canadian dollar 3,863 (3,852) 113,863 (3,852) 11


Price risk


Credit risk


Concentration risk


December 31, 2021 June 30, 2021

Communication Services 4.6 10.8Consumer Discretionary 13.6 14.4Consumer Staples 3.2 3.5Energy 2.1 1.2Financials 5.2 6.9Health Care 15.4 12.0Industrials 7.3 3.9Information Technology 35.9 36.0Materials 1.2 –Real Estate 2.4 2.4Utilities 2.3 2.3UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.2) (0.1)CASH AND SHORT TERM INSTRUMENTS






87


Level 2($000s)

Level 3($000s)

Total($000s)



174,148 (414) – 173,734

June 30, 2021Level 1($000s)

Level 2($000s)

Level 3($000s)

Total($000s)



134,016 (136) – 133,880





December 31, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


14 (14) – –

December 31, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


428 (14) – 414

June 30, 2021


Grossamount of

assets($000s)

Masternetting

offset($000s)


Net amount($000s)


13 (13) – –

June 30, 2021



($000s)

Masternetting

offset($000s)


Net amount($000s)


149 (13) – 136







88

1. The Funds

1832 Asset Management L.P., a wholly owned subsidiary of The Bankof Nova Scotia (“Scotiabank”), is the manager and trustee (whereapplicable) of the funds. In this document, “we”, “us”, “our”, the“Manager”, the “Trustee”, and “1832 Asset Management” refer to1832 Asset Management L.P. The registered office of the funds isDynamic Funds Tower, 1 Adelaide Street East, 28th Floor, Toronto, ON,M5C 2V9.

The funds presented in these interim financial statements are eitheropen-ended mutual fund trusts (“Trust Funds”) or classes of amutual fund corporation (“Corporate Class Funds”). The Trust Fundsissue units and Corporate Class Funds issue shares. Throughoutthis document, where applicable, reference to units and unitholdersalso refers to shares and shareholders. We also refer to a Trust Fundand a Corporate Class Fund individually, as a “Fund” and collectively,as the “Funds”.

The Trust Funds are established under the laws of the Province ofOntario pursuant to an Amended and Restated Master Declaration ofTrust dated August 20, 2015, as amended from time to time.Dynamic Global Fund Corporation (the “Corporation”) is a multi-class open-ended mutual fund corporation formed by articles ofincorporation under the laws of Ontario on October 30, 2000. EachCorporate Class Fund is a class of shares of the Corporation. Thesefinancial statements only present the financial information of each ofthe Corporate Class Funds, each as its own reporting entity. As theCorporation as a whole is liable for the expenses and obligations of allclasses, there exists the possibility that if a Corporate Class Fundcannot satisfy its own obligations, they may be satisfied using assetsattributable to other Corporate Class Funds within the Corporation.The Manager, however, believes that the risk of cross-class liabilityis remote and is diligent to minimize such liability.

The Statements of Financial Position of each of the Funds are as atDecember 31, 2021 and June 30, 2021, as applicable, and theStatements of Comprehensive Income, Changes in Net AssetsAttributable to Holders of Redeemable Units and Cash Flows are forthe six month period ended December 31, 2021 and 2020, as applicable,except for the Funds that incepted during either period, where theinformation presented is for the period from the Fund’s inception dateto December 31, 2021 or 2020, as applicable. The Schedule ofInvestment Portfolio for each of the Funds is as at December 31,2021. Throughout this document, reference to the period or periodsrefers to the reporting periods described above.

These financial statements were approved and authorized for issueon February 17, 2022 by the Board of Directors of the Corporation, withrespect to the Corporate Class Funds and by the Board of Directorsof 1832 Asset Management G.P. Inc., as general partner for and onbehalf of 1832 Asset Management L.P., in its capacity as Trustee of theTrust Funds.

The investment objectives for each of the Funds are provided in therespective Fund’s “Fund Specific Notes”. The inception date for eachFund is as follows:

Fund Name Inception Date

Dynamic Active Core Bond Private Pool June 9, 2014Dynamic Active Credit Strategies Private Pool June 9, 2014Dynamic Alternative Managed Risk Private Pool Class June 9, 2014Dynamic Asset Allocation Private Pool June 9, 2014Dynamic Canadian Equity Private Pool Class June 9, 2014Dynamic Conservative Yield Private Pool March 9, 2015Dynamic Conservative Yield Private Pool Class March 9, 2015Dynamic Global Equity Private Pool Class June 9, 2014Dynamic Global Yield Private Pool June 9, 2014Dynamic Global Yield Private Pool Class June 9, 2014Dynamic International Dividend Private Pool March 9, 2015Dynamic North American Dividend Private Pool March 9, 2015Dynamic Premium Bond Private Pool January 14, 2016Dynamic Premium Bond Private Pool Class January 14, 2016Dynamic Tactical Bond Private Pool March 9, 2015Dynamic U.S. Equity Private Pool Class June 9, 2014

Each Fund may offer an unlimited number of units of some or all ofits respective series. Each series of a Fund is intended for differentinvestors.

A description of each series is provided below:

Series A: Series A units are available to all investors.

Series F: Series F units are generally only available to investorswho participate in an eligible fee-based or wrap programwith their registered dealer and who are subject to aperiodic asset-based fee rather than commissions oneach transaction. The Manager is able to reduce themanagement fee rate on Series F units because of lowercosts and because investors who purchase Series F unitswill usually have entered into a separate agreement topay account fees to their registered dealer for theirindividual investment program.

Series FH: Series FH units are generally only available to investorswho participate in an eligible fee-based or wrap programwith their registered dealer and who are subject to aperiodic asset-based fee rather than commissions oneach transaction. The Manager is able to reduce themanagement fee rate on Series FH units because oflower costs and because investors who purchaseSeries FH units will usually have entered into a separateagreement to pay account fees to their registered dealerfor their individual investment program.

Series FH units are offered for purchase in U.S. dollarsonly. The Fund hedges against changes in theU.S. currency relative to the Canadian currency inrespect of Series FH units and in doing so attempts toeliminate the fluctuations between the Canadian andU.S. currencies.

Series FT: Series FT units are generally only available to investorswho participate in an eligible fee-based or wrap programwith their registered dealer and who are subject to aperiodic asset-based fee rather than commissions on

Dynamic Private Investment Pools (Unaudited)

NOTES TO THE FINANCIAL STATEMENTSFor the periods indicated in note 1

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each transaction. The Manager is able to reduce themanagement fee rate on Series FT units because oflower costs and because investors who purchaseSeries FT units will usually have entered into a separateagreement to pay account fees to their registered dealerfor their individual investment program. Series FT unitsare intended for investors seeking stable monthlydistributions.

Series I: Series I units are generally only available for certainindividual investors who make large investments in aFund. The management fees for Series I units are paiddirectly by Series I unitholders, not by the Fund.Investors may only purchase Series I units through afinancial advisor who is registered with a dealer that hassigned an agreement with the Manager.

Series O: Series O units are generally only available for certaininvestors who make large investments in a Fund.Investors who purchase Series O units must enter intoan agreement with the Manager which identifies themanagement fee negotiated with the investor andpayable by the investor directly to the Manager.

Series T: Series T units are available to all investors. These areintended for investors seeking stable monthlydistributions.

Series U: Series U units are offered by way of private placement.

2. Summary of Significant Accounting Policies

The significant accounting policies applied in the preparation ofthese financial statements are set out below. These policies have beenconsistently applied to all the periods presented, unless otherwisestated.

a) Basis of accounting

These interim financial statements of the Funds have been preparedin accordance with International Financial Reporting Standards(“IFRS”) applicable to the preparation of interim financial statementsincluding International Accounting Standard (“IAS”) 34, InterimFinancial Statements.

The preparation of these interim financial statements in accordancewith IFRS requires the use of judgment in applying accounting policiesand to make estimates and assumptions concerning the future.Significant accounting judgments and estimates made by the Managerare disclosed in Note 3.

b) Financial instruments

Classification

The Funds classify investments, including derivatives, as financialassets or financial liabilities at fair value through profit or loss.Investment classification is based on both the Funds’ business modelfor managing those investments and their contractual cash flowcharacteristics. The portfolio of investments is managed andperformance is evaluated on a fair value basis. The Funds are primarilyfocused on fair value information and use that information to assessperformance and to make decisions. The contractual cash flows of theFunds’ debt securities are generally principal and interest, however,

the collection of contractual cash flows is only incidental to achievingthe Funds’ business model’s objective. Consequently, all investmentsare measured at fair value through profit or loss.

The Funds may sell securities short, in which a borrowed security issold in anticipation of a decline in the market value of that security.Short sales are held for trading and are consequently classified asfinancial liabilities at fair value through profit or loss.

Derivatives include warrants, swaps, options, futures and forwardcurrency contracts. Derivative contracts that have a negative fair valueare classified as financial liabilities at fair value through profit orloss.

As such, the Funds classify all investments and derivatives asfinancial assets or liabilities at fair value through profit or loss.

The Funds’ obligations for net assets attributable to holders ofredeemable units are presented at the redemption amount.

Receivable for securities sold, subscription receivable, and accruedinvestment income and other are measured at amortized cost.

All other financial liabilities, other than those classified as fair valuethrough profit or loss are measured at amortized cost.

Recognition and measurement

Regular purchases and sales of investments are recognized on thedate on which the Funds initiate a trade to purchase or sell investmentsat fair value. Transaction costs are expensed as incurred in theStatements of Comprehensive Income. Financial assets and liabilitiesat fair value through profit or loss are measured at fair value aspresented below. Gains and losses arising from changes in their fairvalue are included in the Statements of Comprehensive Income for theperiods in which they arise.

c) Fair value measurement and hierarchy of financialinstruments

Fair value of a financial instrument is the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date(i.e. an exit price). Fair value of financial assets and liabilities tradedin active markets (such as publicly traded derivatives andmarketable securities) is based on quoted market prices at the closeof trading on the reporting date. The Funds use the last tradedmarket price for both financial assets and financial liabilities wherethe last traded price falls within that day’s bid-ask spread. Incircumstances where the last traded price is not within the bid-askspread, the Manager determines the point within the bid-ask spreadthat is most representative of fair value based on the specific facts andcircumstances.

The fair value of financial assets and liabilities that are not traded inan active market, including over-the-counter derivatives, isdetermined using valuation techniques. The Funds use a variety ofmethods and make assumptions that are based on market conditionsexisting at each reporting date. Valuation techniques include theuse of comparable recent arm’s length transactions, reference to otherinstruments that are substantially the same, discounted cash flowanalysis, option pricing models and other techniques commonly usedby market participants which make the maximum use of observableinputs.

DYNAMIC PRIVATE INVESTMENT POOLS

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IFRS 13, Fair value measurement, requires the use and disclosure ofa fair value hierarchy that categorizes into three levels the inputsto valuation techniques used to measure fair value of financialinstruments. The fair value hierarchy gives the highest priority toquoted prices (unadjusted) in active markets and the lowest priorityto unobservable inputs. The three level hierarchy based on inputslevels are defined as follows:

• Level 1: Fair value is based on unadjusted quoted prices inactive markets for identical assets or liabilities;

• Level 2: Fair value is based on inputs other than unadjustedquoted prices included in level 1 that are observable for theassets or liabilities, either directly or indirectly; and

• Level 3: Fair value is based on at least one significant non-observable input that is not supported by market data for thefinancial assets or liabilities.

Changes in valuation methodology may result in transfers in and outof a level. The Funds’ policy is to recognize these transfers as of thedate of the event or circumstance giving rise to the transfer. Thethree level fair value hierarchy, transfers between levels and areconciliation of level 3 financial instruments, as applicable, aredisclosed in the respective Fund’s “Fund Specific Notes”.

The Manager is responsible for performing the fair value measurementsincluded in the financial statements of the Funds, including level 3measurements. The Manager considers several factors in private fairvaluation, including but not limited to, pricing from a third-partypricing vendor, and internal valuation models based on companyfundamental data and/or market data. These are monitored andreviewed by the valuation team daily. At each financial reporting date,the Manager reviews and approves all level 3 fair value measurements.The Manager also has a Valuation Committee which includesmembers of the finance team, as well as members of the investmentcounsel and compliance teams. The committee meets quarterly toperform detailed reviews of the valuations of investments held by theFunds.

Financial instruments are valued at their fair value as summarizedbelow:

(i) North American equities, including exchange traded funds andclosed end funds, are valued at the closing market pricerecorded by the security exchange on which the security isprincipally traded. Non-North American equities are valued atfair value based on the closing market price recorded by thesecurity exchange on which the security is principally tradedplus a fair value adjustment factor provided by an independentpricing source.

(ii) Fixed income securities, including bonds and mortgage-backedsecurities, are valued by using mean price quotationsreceived from independent pricing sources.

(iii) Short-term debt instruments are carried at amortized cost,which approximates fair value.

(iv) Investments in underlying mutual funds are valued based onthe net asset value per unit provided by the underlying mutualfunds’ manager at the end of each valuation date.

(v) Unlisted warrants are valued using the Black-Scholes optionvaluation model. The model factors in the time value of money

and the volatility inputs significant to such valuation. Forpurposes of determining Net Asset Value, as defined below,unlisted warrants are valued at their intrinsic value.

(vi) Options contracts are valued at their mid-price as reported bythe principal exchange or the over-the-counter market on whichthe contract is traded. All transactions in over-the-counteroptions are valued using quotations received from independentpricing sources. Options on futures are valued usingsettlement price determined by the exchange (if available); ifno settlement price is available, the last reported closing saleprice on the valuation date; or, if no closing sale price isavailable, the last reported settlement price. Exchange tradedindex options are valued using the 4 pm mid-price as reportedby the principal exchange.

(vii) Futures contracts are valued at their settlement prices oneach valuation date.

(viii) Open forward currency contracts are valued at the gain or lossthat would arise as a result of closing the position on thevaluation date.

(ix) Over-the-counter swap contracts are valued at the amount thatthe Funds would receive or pay to terminate the swap, basedon the current value of the underlying interest on the valuationdate; centrally cleared swaps listed or traded on a multilateralor trade facility platform, such as a registered exchange, arevalued at the daily settlement price determined by therespective exchange (if available).

d) Net Assets versus Net Asset Value

The Funds’ accounting policies for measuring the fair value of theirinvestments and derivatives are identical to those used in measuringtheir net asset value for transactions with unitholders in accordancewith Part 14 of National Instrument 81-106 Investment Funds forContinuous Disclosure (“NI 81-106”), except where the last tradedmarket price for financial assets and liabilities are not within the bid-ask spread or the Funds hold unlisted warrants, as described above.A comparison of the net assets per unit in accordance to IFRS (“NetAssets per unit”) and the net asset value per unit calculated inaccordance to NI 81-106 (“Net Asset Value per unit”) is presented inthe “Fund Specific Notes” for each Fund, as applicable.

e) Income recognition

Gains and losses arising from changes in fair value of non-derivativefinancial assets are shown in the Statements of Comprehensive Incomeas “Change in unrealized gain (loss) on non-derivative financialassets” and as “Net realized gain (loss) on non-derivative financialassets” when the positions are sold.

Gains and losses arising from changes in fair value of securities soldshort, are shown in the Statements of Comprehensive Income as“Change in unrealized gain (loss) on non-derivative financialliabilities”, and as “Net realized gain (loss) on non-derivative financialliabilities” when positions are closed out, where applicable.

Gains and losses arising from changes in fair value of derivatives areshown in the Statements of Comprehensive Income as “Change inunrealized gain (loss) on derivatives”, and as “Net realized gain (loss)on derivatives” when positions are closed out or have expired, whereapplicable. Gains and losses arising from changes in fair value of


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currency forward contracts used to hedge the net assets attributableto Series FH units of a Fund against changes in the U.S. currency areattributed solely to Series FH.

The premium received or paid on options purchased or written areincluded in the cost of the options. Any difference resulting fromrevaluation at the reporting date is treated as “Change in unrealizedgain (loss) on derivatives”, while the gains and losses realized whenthe position is closed is included in the Statements of ComprehensiveIncome as “Net realized gain (loss) on derivatives”.

Dividend income and distributions from Underlying Funds arerecognized on the ex-dividend date. Where applicable, interest anddividends on investments sold short are accrued as earned and arereported as a liability in the Statements of Financial Position in“Payable for interest and dividends on short securities” and in theStatements of Comprehensive Income in “Dividend and interestexpense on securities sold short”. Distributions received from incometrusts are recognized based on the nature of the underlyingcomponents such as dividend income, interest income, capital gains,and return of capital by applying previous year characterizationsreported by the trust as current year characterizations are not availableuntil the following year. The interest income, dividend and capitalgain income components of the distributions received from UnderlyingFunds are included in “Interest for distribution purposes”,“Dividends” and “Net realized gain (loss) on non-derivative financialassets”, respectively, in the Statements of Comprehensive Income.

Interest for distribution purposes represents amortization ofzero coupon bonds as well as the coupon interest received by theFunds, recognized on an accrual basis. The Funds do not amortizepremiums paid or discounts received on the purchase of fixed incomesecurities. Realized gains or losses on the sale of short-term debtinstruments are recorded as an adjustment to “Interest for distributionpurposes”.

The Funds’ “Income” and “Expenses” are allocated daily to eachseries based on the proportionate Net Asset Value of that series, exceptas otherwise disclosed.

f) Functional and presentation currency and foreignexchange translation

The functional and reporting currency for all Funds is the Canadiandollar. The functional currency is the currency of the primary economicenvironment in which the Funds operate, or where mixed indicatorsexist in the primary environment, the currency in which they primarilyraise capital. Any currency other than functional currency representsforeign currency to the Funds. Amounts denominated in foreigncurrencies are converted into the functional currency as follows:

(i) The fair values of investments, derivative contracts andmonetary and non-monetary assets and liabilities at the rates ofexchange prevailing as at the valuation date;

(ii) Foreign income and expenses at the rates of exchange applicableon the respective dates of such transactions; and

(iii) Purchase or sale of investments and investment income at therate of exchange prevailing on the respective dates of suchtransactions.

Gains and losses on foreign exchange incurred in the Funds frommonetary or non-monetary assets and liabilities other than investments

and derivatives are shown in the Statements of ComprehensiveIncome as “Net realized and unrealized foreign currency translationgain (loss)”.

g) Investments in unconsolidated structured entities

Certain Funds may invest in mutual funds, exchange-traded funds orclosed-ended funds managed by the Manager or third partyinvestment managers. The relevant Funds consider all investments insuch instruments (“Underlying Funds”) to be investments inunconsolidated structured entities based on the fact that the decisionsmade by these Underlying Funds are not governed by voting rightsor any other similar rights held by the Funds. The Funds account forthese unconsolidated structured entities at fair value.

The Underlying Funds each have their own objectives and investmentstrategies which assist the Funds in achieving their investmentobjectives. The Underlying Funds primarily finance their operationsby issuing redeemable units or shares which are puttable at the holder’soption in the case of mutual funds and exchange-traded funds orthrough issuing non-redeemable units or partnership interests in thecase of closed-ended funds. The Underlying Funds entitle theholder to a proportional stake in the respective fund’s net assets. TheFunds hold units, shares or partnership interests in each of theirUnderlying Funds. These investments are included in “Non-derivativefinancial assets” in the Statements of Financial Position. Thechange in fair value of each Underlying Fund is included in theStatements of Comprehensive Income in “Change in unrealizedgain (loss) of non-derivative financial assets”. The exposure toinvestments in Underlying Funds at fair value is disclosed in theFunds’ “Fund Specific Notes”. The Funds’ maximum exposure to lossfrom their interests in Underlying Funds is equal to the total carryingvalue of their investments in Underlying Funds.

Mortgage-backed securities or asset-backed securities are alsoconsidered to be unconsolidated structured entities. Mortgage-backed securities are formed by pooling various types of mortgageswhile asset-backed securities are formed by pooling assets such as autoloans, credit card receivables or student loans. An interest or claimto this future cash flow (interest and principal) is then sold in the formof debt or equity securities, which could be held by the Funds. TheFunds account for these unconsolidated structured entities at fairvalue. The fair value of such securities, as disclosed in the Schedule ofInvestment Portfolio, as applicable, represents the maximumexposure to losses at that date.

h) Redeemable units issued by the Funds

The Funds’ outstanding redeemable units qualify as “puttableinstruments” and have been classified as liabilities as per theInternational Accounting Standard 32, Financial Instruments:Presentation (“IAS 32”) which states that units or shares of an entitythat include a contractual obligation for the issuer to repurchaseor redeem them for cash or another financial asset should be classifiedas financial liabilities.

The Trust Funds’ redeemable units’ entitlements include a contractualobligation to distribute any net income and net realized capitalgains at least annually in cash (at the request of the unitholder) andtherefore meet the contractual obligation requirement. In addition,the Corporate Class Funds issue different series of units that areequally subordinated but have different features as outlined in thesenotes. These features violate criteria that are required in order for the


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redeemable units to be presented as equity under IAS 32.Consequently, the Funds’ outstanding redeemable units are classifiedas financial liabilities in these financial statements.

i) Offsetting of financial instruments

Financial assets and liabilities are offset and the net amount ispresented in the Statements of Financial Position only if there is anunconditional legal right to offset the amounts and there is an intentioneither to settle on a net basis or to realize the asset and settle theliability simultaneously. Income and expenses are presented on a netbasis only when permitted under IFRS, for gains and losses arisingfrom a group of similar transactions, such as gains and losses fromfinancial instruments at fair value through profit or loss. Financialassets and liabilities that are subject to master netting orcomparable agreements and the related potential effect of offsettingare disclosed in the respective Fund’s “Fund Specific Notes”.

j) Increase (decrease) in net assets attributable to holdersof redeemable units per unit

“Increase (decrease) in net assets attributable to holders ofredeemable units per unit” is disclosed in the Statements ofComprehensive Income and represents, for each series of units, theincrease or decrease in net assets attributable to holders ofredeemable units from operations for the period attributable to eachseries divided by the weighted average number of units outstandingfor the corresponding series during the period.

k) Short selling

If a Fund sells a security short, it will borrow that security from abroker to complete the sale. The Fund will incur a loss as a result of ashort sale if the price of the borrowed security increases betweenthe date of the short sale and the date on which the Fund closes outits short position by buying that security. There can be no assurancethat a Fund will be able to close out a short position at an acceptabletime or price. Until the Fund replaces a borrowed security, it willmaintain adequate margin with the broker consisting of cash andliquid securities.

l) Cash and bank overdraft

Cash is comprised of cash on deposit and bank overdraft, asapplicable. Short term instruments are disclosed in “Non-derivativefinancial assets” in the Statements of Financial Position.

m) Non-cash transactions

Non-cash transactions on the Statements of Cash Flows includereinvested distributions from the underlying mutual funds and stockdividends from equity investments. These amounts represent non-cashincome recognized in the Statements of Comprehensive Income.

In addition, reclassifications between series of the same fund are alsonon-cash in nature and have been excluded from “Proceeds fromissue of redeemable units” and “Amounts paid on redemption ofredeemable units” on the Statements of Cash Flows.

n) Corporate actions

Corporate actions include stock splits, dividends, mergers andacquisitions, rights issues and spin-offs. These are recorded in the

financial statements on a tax basis based on the information availableat the reporting date.

3. Significant Accounting Judgments and Estimates

The preparation of financial statements requires the Manager to usejudgment in applying its accounting policies and to make estimatesand assumptions about the future. These estimates are made basedon information available as at the date of issuance of the financialstatements. Actual results could materially differ from thoseestimates. The following discusses the most significant accountingjudgments and estimates that the Funds have made in preparing thefinancial statements:

Investment Entities

In accordance with IFRS 10: Consolidated Financial Statements, theManager has determined that the Funds meet the definition of anInvestment Entity which requires that the Funds obtain funds fromone or more investors for the purpose of providing investmentmanagement services, commit to their investors that their businesspurpose is to invest funds solely for returns from capital appreciation,investment income, or both; and measure and evaluate theperformance of their investments on a fair value basis. Consequently,the Funds do not consolidate their investment in subsidiaries, ifany, but instead measure these at fair value through profit or loss, asrequired by the accounting standard.

Classification and measurement of financial instruments

In classifying and measuring certain financial instruments held bythe Funds, the Manager is required to make significant judgmentsabout whether or not the business model of the Funds is to managetheir assets on a fair value basis and to realize those fair values, forthe purpose of classifying all financial instruments as fair value throughprofit or loss under IFRS 9.

Fair value measurement of financial instruments not quoted in anactive market

Key areas of estimation, where the Manager has made complex orsubjective judgments, include the determination of fair values offinancial instruments that are not quoted in an active market. The useof valuation techniques for financial instruments that are notquoted in an active market requires the Manager to make assumptionsthat are based on market conditions existing as at the date of thefinancial statements. Changes in these assumptions as a result ofchanges in market conditions could affect the reported fair value offinancial instruments.

4. Discussion of Financial Instrument Risk

Each Fund’s investment activities expose it to a variety of financialrisks: market risk (including interest rate risk, currency risk, and otherprice risk), credit risk, liquidity risk, and concentration risk. EachFund’s investment practices include portfolio monitoring to ensurecompliance with stated investment guidelines. The Manager seeks tominimize potential adverse effects of risks on each Fund’sperformance by employing and overseeing professional andexperienced portfolio advisors that regularly monitor each Fund’ssecurities and financial market developments. The risks are measuredusing a method that reflects the expected impact on the results and


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net assets attributable to unitholders of the Funds from reasonablypossible changes in the relevant risk variables.

The Manager maintains a risk management practice that includesmonitoring compliance with investment restrictions to ensure that theFunds are being managed in accordance with the Funds’ statedinvestment objectives, strategies and securities regulations.

Some Funds invest in Underlying Funds. These Funds are indirectlyexposed to market risk, credit risk, and liquidity risk in the event thatthe Underlying Funds invest in financial instruments that aresubject to those risks.

A Fund’s exposure to market risk, credit risk and liquidity risk, whereapplicable, is disclosed in the respective Fund’s “Fund SpecificNotes”.

Market disruptions associated with the COVID-19 pandemic have hada global impact, and uncertainty exists as to the long-termimplications. Such disruptions can adversely affect the financialinstrument risks associated with each of the Funds.

(a) Market risk

(i) Interest rate riskInterest rate risk arises from the possibility that changes ininterest rates will affect the future cash flows or the fair valuesof interest-bearing financial instruments. Each Fund’s exposureto interest rate risk is concentrated in its investments in debtinstruments (such as bonds and debentures) and interest ratesensitive derivative instruments, if any.

(ii) Currency riskThe Funds may invest in or take short positions in monetaryand non-monetary instruments denominated in currencies otherthan their functional currency. Currency risk is the risk thatthe value of foreign instruments will fluctuate due to changes inthe foreign exchange rates of those currencies in relation tothe Funds’ functional currency. Funds may enter into currencyforward contracts, currency futures contracts and/or foreigncurrency option contracts for hedging purposes to reduce theirforeign currency risk exposure.

(iii) Price riskPrice risk is the risk that the fair value of a Fund’s financialinstruments will fluctuate as a result of changes in market prices(other than those arising from interest rate risk or currencyrisk) caused by factors specific to a security, its issuer or allfactors affecting a market or a market segment. Exposure toprice risk is mainly in equities, Underlying Funds, derivatives andcommodities. The maximum risk resulting from these financialinstruments is equivalent to their fair value, except for writtenoptions, short sales and short futures contracts, where possiblelosses can be unlimited.

(b) Credit risk

Credit risk is the risk that the issuer of a financial instrument will failto discharge an obligation or commitment that it has entered intowith the Funds. A Fund’s investment in financial instruments such asbonds, debentures, money market instruments, preferred sharesand derivatives represents the main concentration of credit risk. Thefair value of financial instruments includes consideration of thecreditworthiness of the issuer, and accordingly, represents the

maximum credit risk exposure to the Funds. All the transactions inlisted securities and derivatives are settled or paid upon delivery usingapproved brokers with an approved credit rating. The risk of defaultwith the counterparty is considered minimal, as delivery of securitiessold is only made once the broker has received payment. Payment isonly made on a purchase once the securities have been received by thebroker.

The Trade Management Oversight Committee is responsible forregulatory evaluation and approval of trade management policies andprocedures, when applicable, and is also responsible for counterpartyselection and oversight. The committee reviews counterpartiesregularly to ensure they still meet preapproved credit standardsestablished by the committee. The counterparty policies andprocedures established by the committee have been reviewed andapproved by the Board of Directors of the Manager.

The Funds enter into transactions with approved counterparties witha designated rating in accordance with securities regulations.

The credit ratings reported in the financial statements for issuers ofdebt instruments, counterparties of derivative transactions, primebrokers and custodians, where applicable, are S&P Global Ratings’credit ratings or S&P Global Ratings equivalent for credit ratings fromother approved rating agencies. In instances where the credit ratingwas to fall below the designated rating, the Manager would takeappropriate action.

The Funds can also be exposed to credit risk to the extent that theFunds’ custodian may not be able to settle trades for cash. Canadiansecurities regulations require that the Funds employ a custodian thatmeets certain capital requirements. These regulations state that,among other things, a fund’s custodian be either a bank listed inSchedule I, II, or III of the Bank Act (Canada), or a companyincorporated in Canada affiliated with a bank with shareholders’equity of not less than $10,000,000. State Street Trust CompanyCanada, which is the custodian for the Funds, meets all of the CanadianSecurities Administrators’ requirements to act as the custodian.

A Fund may enter into securities lending transactions withcounterparties whereby the Fund temporarily exchanges securitiesfor collateral with a commitment by the counterparty to deliver thesame securities on a future date. Credit risk associated with thesetransactions is considered minimal as all counterparties haveapproved credit rating and the market value of cash or securitiesheld as collateral must be at least 102% of the fair value of the securitiesloaned as at the end of each trading day.

(c) Liquidity risk

All financial liabilities of the Funds mature in one year or less, unlessotherwise noted. The Funds’ exposure to liquidity risk arisesprimarily from the daily cash redemption of units. The Funds primarilyinvest in securities that are traded in active markets and can bereadily disposed of. In addition, each Fund aims to retain sufficientcash and cash equivalent positions to maintain liquidity. The Fundsmay, from time to time, enter into over-the-counter derivative contractsor invest in securities that are not traded in an active market andmay be illiquid. Illiquid securities are identified in the respectiveFund’s Schedule of Investment Portfolio, as applicable.

(d) Concentration risk

Concentrations of risk arise from financial instruments that havesimilar characteristics and are affected similarly by changes in


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economic or other conditions. The identification and disclosure ofconcentration risk is provided in the respective Fund’s “Fund SpecificNotes”.

5. Management Fees

The Funds pay the Manager management fees for some series ofsecurities. Management fees for other series of securities are paiddirectly by investors. The management fees cover the costs of managingthe Funds, arranging for investment analysis, recommendations andinvestment decision making for the Funds, arranging for distributionof the Funds, marketing and promotion of the Funds and providingor arranging for other services for the Funds.

The management fee for all series, except Series I and Series O, is anannualized rate based on the net asset value of each series of theFunds. The management fee for Series I is paid directly by thesesecurityholders and not by the Funds. The management fee for Series Ois negotiated and paid directly by these securityholders and not bythe Funds. The management fees paid by the Funds are calculated andpaid monthly.

The Manager may reduce the effective management fee payable byclients who invest large amounts in a particular Fund by waiving aportion of the management fee that it would otherwise be entitled toreceive from the Fund or a securityholder and directing the Fund tomake a management fee distribution in the case of clients of the TrustFunds, or a management fee rebate in the case of clients of theCorporate Class Funds, in the amount of such waiver. All managementfee distributions and management fee rebates are automaticallyreinvested in additional securities of the relevant series of the Funds.

There is no duplication of management fees, sales charges orredemption fees between the Funds and the Underlying Funds helddirectly by them, if any. The Manager is entitled to an annualmanagement fee, exclusive of sales taxes, as follows:

Series (%)

Fund Name A F FH FT T

Dynamic Active Core Bond Private Pool 1.05 0.45 – – –Dynamic Active Credit Strategies Private Pool 1.40 0.65 0.65 – –Dynamic Alternative Managed Risk Private Pool Class 1.75 0.75 0.75 0.75 1.75Dynamic Asset Allocation Private Pool 1.70 0.70 0.70 0.70 1.70Dynamic Canadian Equity Private Pool Class 1.75 0.75 – – –Dynamic Conservative Yield Private Pool 1.32 0.57 – – –Dynamic Conservative Yield Private Pool Class 1.32 0.57 – 0.57 1.32Dynamic Global Equity Private Pool Class 1.75 0.75 0.75 0.75 –Dynamic Global Yield Private Pool 1.65 0.65 0.65 – –Dynamic Global Yield Private Pool Class 1.65 0.65 0.65 0.65 1.65Dynamic International Dividend Private Pool 1.70 0.70 – – –Dynamic North American Dividend Private Pool 1.70 0.70 – – –Dynamic Premium Bond Private Pool 1.30 0.55 – – –Dynamic Premium Bond Private Pool Class 1.30 0.55 – 0.55 1.30Dynamic Tactical Bond Private Pool* 1.25 0.50 0.50 – –Dynamic U.S. Equity Private Pool Class 1.75 0.75 0.75 0.75 –* Series U is a private series.

6. Fixed Administration Fees and Operating Expenses

The Manager pays the operating expenses of each Fund, other thanFund Costs (as defined below) (the “Operating Expenses”), inexchange for the payment by the Fund of a fixed rate administrationfee (the “Administration Fee”) to the Manager with respect to eachseries of the Fund. The Administration Fee paid to the Manager by aFund in respect of a series may, in any particular period, be less than orexceed the Operating Expenses that the Manager incurs for theseries. The Operating Expenses include, but are not limited to, auditfees, fund accounting costs, transfer agency and recordkeeping costs,

custodian costs, administration costs and trustee services relating toregistered tax plans, costs of printing and disseminating prospectuses,annual information forms, Fund Facts and continuous disclosurematerials, legal fees, bank charges, investor communication costs andregulatory filing fees. The Manager is not obligated to pay any otherexpense, cost or fee, including those arising from new government orregulatory requirements relating to the foregoing expenses, costsand fees.

The “Fund Costs”, which are payable by the Funds, are fees, costs andexpenses associated with all taxes, borrowing and interest, directorfees of the Corporation, securityholder meeting fees, the IndependentReview Committee of the Funds or other advisory committees,compliance with any governmental and regulatory requirementsimposed commencing after May 30, 2012 (including relating to (i) theOperating Expenses, (ii) compliance with new IFRS, (iii) compliancewith Canadian OTC Derivatives Trade Reporting Rules, and(iv) compliance with the “Volcker Rule” under the Dodd-Frank WallStreet Reform and Consumer Protection Act and other applicableU.S. regulations) and any new types of costs, expenses or fees notincurred prior to May 30, 2012, including arising from new governmentor regulatory requirements relating to the Operating Expenses orrelated to external services that were not commonly charged in theCanadian mutual fund industry as of May 30, 2012.

The Administration Fee is equal to a specified percentage of the netasset value of a series, calculated and paid in the same manner as themanagement fees for a Fund. The rate of the annual AdministrationFee for each series is set out below.

Series (%)

Fund Name A F FH FT I O T

Dynamic Active Core Bond Private Pool 0.13 0.13 – – 0.13 0.03 –Dynamic Active Credit Strategies Private Pool 0.13 0.13 0.13 – 0.13 0.05 –Dynamic Alternative Managed Risk Private

Pool Class 0.15 0.15 0.15 0.15 0.15 0.06 0.15Dynamic Asset Allocation Private Pool 0.15 0.15 0.15 0.15 0.15 – 0.15Dynamic Canadian Equity Private Pool Class 0.15 0.15 – – 0.15 0.04 –Dynamic Conservative Yield Private Pool 0.15 0.15 – – 0.15 – –Dynamic Conservative Yield Private Pool Class 0.15 0.15 – 0.15 – – 0.15Dynamic Global Equity Private Pool Class 0.15 0.15 0.15 0.15 0.15 0.04 –Dynamic Global Yield Private Pool 0.15 0.15 0.15 – 0.15 – –Dynamic Global Yield Private Pool Class 0.15 0.15 0.15 0.15 – – 0.15Dynamic International Dividend Private Pool 0.15 0.15 – – 0.15 0.04 –Dynamic North American Dividend Private Pool 0.15 0.15 – – 0.15 0.04 –Dynamic Premium Bond Private Pool 0.13 0.13 – – 0.13 – –Dynamic Premium Bond Private Pool Class 0.13 0.13 – 0.13 – – 0.13Dynamic Tactical Bond Private Pool* 0.13 0.13 0.13 – 0.13 0.03 –Dynamic U.S. Equity Private Pool Class 0.15 0.15 0.15 0.15 0.15 – –* Series U is a private series.

The Manager has agreed to absorb certain expenses associated withsome of the Funds. The absorbed amounts are shown in the Statementsof Comprehensive Income as “Expenses absorbed by the Manager”,where applicable. Such absorption may be terminated by the Managerat any time without notice.

7. Redeemable Units

Units issued and outstanding represent the capital of each Fund.Each of the Funds may issue an unlimited number of units. Each unitis redeemable at the option of the unitholder in accordance withthe Declaration of Trust or articles of incorporation, ranks equallywith all other units of that relevant series of the Funds and entitles theunitholder to a proportionate undivided interest in the Net AssetValue of that series of the Funds. Unitholders are entitled todistributions when declared. Distributions on units of a Fund arereinvested in additional units of the Fund or at the option of the


95

unitholder, paid in cash. The Funds’ capital is managed in accordancewith each of the Funds’ investment objectives, policies andrestrictions, as outlined in the Funds’ prospectus. The Funds have nospecific restrictions on the redemption of units.

The units of each series of the Funds are issued and redeemed attheir Net Asset Value per unit of each series which is determined as

of the close of business on each day that the Toronto Stock Exchangeis open for trading. The Net Asset Value per unit is calculated bydividing the Net Asset Value per series by the total number ofoutstanding units of each series.

For the periods ended December 31, 2021 and 2020, the following number of units were issued, reinvested and redeemed:

Units outstanding,beginning of period Subscriptions Reinvested Distributions Redemptions

Units outstanding,end of period

2021 2020 2021 2020 2021 2020 2021 2020 2021 2020

Dynamic Active Core Bond Private PoolSeries A 3,005,117 1,680,954 145,219 1,382,698 24,999 23,295 (474,526) (192,238) 2,700,809 2,894,709Series F 8,706,210 9,552,974 557,001 1,292,537 82,565 131,699 (1,495,057) (1,312,529) 7,850,719 9,664,681Series I 260,782 243,990 – 23,065 3,384 4,658 (7,485) (6,968) 256,681 264,745Series O 111,138,894 78,293,013 11,928,661 13,926,687 2,745,763 2,701,339 (11,277,523) (2,180,591) 114,535,795 92,740,448

Dynamic Active Credit Strategies Private PoolSeries A 878,977 288,119 855,807 35,956 31,133 5,580 (57,400) (27,762) 1,708,517 301,893Series F 2,246,611 2,908,221 434,204 180,628 47,090 32,274 (352,814) (702,756) 2,375,091 2,418,367Series FH 23,386 27,131 6,285 – 70 36 (1,047) – 28,694 27,167Series I 19,645 10,619 23,445 10,091 1,211 455 (660) (1,355) 43,641 19,810Series O 63,465,990 48,641,446 7,567,721 6,852,017 4,307,702 1,889,444 (865,211) (2,050,910) 74,476,202 55,331,997

Dynamic Alternative Managed Risk Private Pool ClassSeries A 787,889 488,353 263,479 59,104 763 188 (79,259) (78,797) 972,872 468,848Series F 2,597,286 2,748,911 385,081 86,089 2,225 1,013 (322,247) (652,390) 2,662,345 2,183,623Series FH 78,911 83,677 14,209 6,239 36 10 (18,167) (24,890) 74,989 65,036Series FT 1,272,784 1,154,999 235,509 105,056 3,858 2,373 (55,305) (140,467) 1,456,846 1,121,961Series I 178,923 200,789 11,870 19,237 178 99 (12,322) (74,862) 178,649 145,263Series O 89 89 – – – – – – 89 89Series T 60,009 27,965 145,123 2,808 936 482 (6,448) (4,166) 199,620 27,089

Dynamic Asset Allocation Private PoolSeries A 27,706,340 9,326,281 8,343,254 8,009,327 – – (1,707,226) (695,259) 34,342,368 16,640,349Series F 14,925,572 9,912,232 2,456,483 2,126,381 77,092 33,566 (1,660,161) (896,586) 15,798,986 11,175,593Series FH 110,146 43,992 34,003 17,332 514 196 (945) (38) 143,718 61,482Series FT 1,615,386 1,079,755 228,291 469,598 3,865 3,772 (106,082) (77,013) 1,741,460 1,476,112Series I 4,732,048 3,966,138 583,655 493,715 58,236 32,019 (272,771) (362,501) 5,101,168 4,129,371Series T 574,684 81,905 341,509 135,988 7,941 1,119 (40,485) (36,908) 883,649 182,104

Dynamic Canadian Equity Private Pool ClassSeries A 1,058,957 348,633 708,185 112,059 21,507 8,475 (27,094) (37,033) 1,761,555 432,134Series F 842,808 677,099 119,745 34,137 13,227 13,304 (190,374) (119,845) 785,406 604,695Series I 511,373 384,462 91,076 65,501 10,509 8,977 (24,568) (18,021) 588,390 440,919Series O 11,828,587 6,166,806 1,876,311 2,284,578 239,871 151,284 (190,281) (30,023) 13,754,488 8,572,645

Dynamic Conservative Yield Private PoolSeries A 40,037,568 19,632,515 11,011,629 10,307,527 791,158 438,827 (3,912,457) (1,742,258) 47,927,898 28,636,611Series F 15,913,787 11,130,242 2,433,451 2,988,546 230,464 174,129 (1,806,878) (1,401,092) 16,770,824 12,891,825Series I 2,405,114 2,074,260 323,203 236,071 50,075 41,950 (314,848) (108,372) 2,463,544 2,243,909

Dynamic Conservative Yield Private Pool ClassSeries A 16,066,194 7,354,047 6,933,423 3,306,308 44,539 19,946 (1,640,756) (557,179) 21,403,400 10,123,122Series F 18,991,807 13,755,936 4,937,895 4,682,599 48,237 32,929 (1,869,711) (1,367,585) 22,108,228 17,103,879Series FT 3,503,192 2,723,006 460,128 742,111 16,260 11,664 (456,151) (335,316) 3,523,429 3,141,465Series T 3,609,267 1,531,029 1,683,348 872,944 31,564 14,224 (399,027) (94,258) 4,925,152 2,323,939

Dynamic Global Equity Private Pool ClassSeries A 28,816,077 8,116,725 8,905,033 8,404,677 2,957 1,300 (1,833,941) (593,090) 35,890,126 15,929,612Series F 30,306,366 17,721,614 6,741,121 6,384,556 3,252 2,107 (2,438,294) (1,403,842) 34,612,445 22,704,435Series FH 1,135,834 266,014 238,860 133,350 166 30 (80,872) (17,024) 1,293,988 382,370Series FT 245,543 n/a 32,259 n/a 2,121 n/a (1,726) n/a 278,197 n/aSeries I 3,787,931 2,940,974 548,404 507,426 – 405 (183,868) (222,278) 4,152,467 3,226,527Series O 11,842,249 6,684,674 1,998,353 1,440,346 – 955 (200,096) (14,606) 13,640,506 8,111,369

Dynamic Global Yield Private PoolSeries A 59,458,730 51,738,522 7,890,613 8,258,744 1,233,361 945,822 (3,891,260) (6,444,590) 64,691,444 54,498,498Series F 89,484,396 85,587,257 6,123,657 7,539,791 2,181,277 978,607 (5,895,430) (7,536,531) 91,893,900 86,569,124Series FH 496,052 435,119 148,175 20,707 14,087 5,187 (15,746) (13,913) 642,568 447,100Series I 19,845,972 19,563,679 1,171,147 1,402,964 730,496 374,039 (1,340,841) (1,437,594) 20,406,774 19,903,088

Dynamic Global Yield Private Pool ClassSeries A 10,037,323 8,055,435 2,725,764 2,101,555 36,042 29,898 (553,297) (1,468,012) 12,245,832 8,718,876Series F 46,043,618 43,459,198 5,486,004 3,988,605 138,399 138,268 (3,497,213) (4,121,561) 48,170,808 43,464,510Series FH 1,750,663 1,938,188 323,817 74,260 5,735 6,648 (68,290) (323,440) 2,011,925 1,695,656Series FT 9,631,396 9,544,574 669,372 576,284 33,134 37,084 (598,025) (854,321) 9,735,877 9,303,621Series T 1,738,077 1,344,827 403,713 182,195 16,168 13,444 (168,425) (74,772) 1,989,533 1,465,694

Dynamic International Dividend Private PoolSeries A 2,789,848 1,074,187 715,496 404,636 14,317 11,352 (282,332) (139,998) 3,237,329 1,350,177Series F 10,767,933 4,544,824 3,909,961 1,389,261 88,176 56,805 (2,243,746) (554,835) 12,522,324 5,436,055Series I 247,487 221,312 33,114 10,706 3,230 3,538 (13,412) (19,132) 270,419 216,424Series O 9,758,819 6,796,403 1,689,612 1,304,817 233,017 100,280 (43,023) (58,088) 11,638,425 8,143,412


96

Units outstanding,beginning of period Subscriptions Reinvested Distributions Redemptions

Units outstanding,end of period

2021 2020 2021 2020 2021 2020 2021 2020 2021 2020

Dynamic North American Dividend Private PoolSeries A 1,661,062 1,311,880 720,151 136,619 19,802 15,194 (79,690) (162,339) 2,321,325 1,301,354Series F 1,748,511 1,614,536 102,270 175,860 18,249 18,964 (118,256) (176,734) 1,750,774 1,632,626Series I 249,009 246,456 23,905 4,400 4,703 5,511 (24,396) (12,869) 253,221 243,498Series O 12,019,004 7,846,448 1,921,919 2,167,509 331,773 149,861 (79,024) (29,264) 14,193,672 10,134,554

Dynamic Premium Bond Private PoolSeries A 9,895,499 7,186,535 1,558,725 2,441,238 135,282 98,570 (1,478,624) (730,881) 10,110,882 8,995,462Series F 32,311,883 26,427,300 4,338,402 4,845,788 470,701 369,615 (3,364,852) (3,046,122) 33,756,134 28,596,581Series I 933,207 1,053,563 43,477 120,879 17,522 21,412 (165,979) (99,858) 828,227 1,095,996

Dynamic Premium Bond Private Pool ClassSeries A 4,330,878 2,780,544 941,368 1,416,000 – – (764,950) (342,251) 4,507,296 3,854,293Series F 37,646,280 30,419,427 7,145,568 9,183,782 – – (5,307,017) (4,620,244) 39,484,831 34,982,965

Dynamic Tactical Bond Private PoolSeries A 8,697,157 4,746,541 549,079 5,779,203 93,398 91,846 (1,653,303) (1,047,231) 7,686,331 9,570,359Series F 40,060,899 43,925,659 3,548,460 10,924,408 343,275 493,873 (9,653,499) (5,764,653) 34,299,135 49,579,287Series FH 1,220,365 676,583 61,730 451,032 11,770 5,937 (421,691) (235,503) 872,174 898,049Series I 1,921,005 4,200,405 32,551 1,269,091 8,729 9,816 (1,532,018) (239,366) 430,267 5,239,946Series O 110,073,003 76,701,211 11,816,849 18,274,195 2,268,091 2,725,818 (11,610,610) (2,309,035) 112,547,333 95,392,189Series U 120 115 – – 2 2 – – 122 117

Dynamic U.S. Equity Private Pool ClassSeries A 3,982,701 2,113,931 1,248,044 966,751 – – (204,228) (158,169) 5,026,517 2,922,513Series F 3,534,121 2,887,168 861,846 713,105 – – (467,293) (414,647) 3,928,674 3,185,626Series FH 184,702 192,215 23,639 9,543 – – (18,419) (58,111) 189,922 143,647Series FT 12,512 n/a 15,550 n/a 63 n/a – n/a 28,125 n/aSeries I 375,568 268,462 57,765 63,814 – – (45,710) (15,420) 387,623 316,856

8. Income Taxes

Mutual fund trusts

Each of the Trust Funds qualifies as a mutual fund trust under theIncome Tax Act (Canada). The Trust Funds are subject to tax on theirnet investment income, including the taxable portion of net realizedcapital gains that are not paid or payable to their unitholders. EachTrust Fund distributes sufficient amounts of its net investmentincome, including net realized capital gains, less the amount retainedto enable each Trust Fund to utilize any available tax losses or, ifapplicable, tax credits attributable to redemptions during the periodby its unitholders such that no income tax will be paid or payable by theTrust Funds. Such net investment income, including net realizedcapital gains are taxable in the hands of the unitholders. Accordingly,the Trust Funds do not record Canadian income taxes in theirfinancial statements.

The Trust Funds may distribute a return of capital. A return of capitalis generally not taxable to unitholders but will reduce the adjustedcost base of the units held.

Mutual fund Corporation

The Corporation qualifies as a mutual fund corporation under theIncome Tax Act (Canada). The Corporation may consist of one or moreCorporate Class Funds. Each Corporate Class Fund within theCorporation represents a class of shares of the Corporation andtherefore, is treated as one legal entity and a single taxpayer. As aresult, the Corporation must combine its income, expenses, capitalgains and capital losses of all of its Corporate Class Funds in order todetermine the Corporation’s tax payable as a whole and whetherthe Corporation will pay capital gains dividends to its shareholders.

The Corporation is subject to Part IV federal tax of 381∕3% on the amountof taxable dividends received from taxable Canadian corporations.This tax is refundable to the Corporation at the rate of 381∕3% on theamount of taxable dividends paid to its shareholders. The Corporationwill pay out sufficient taxable dividends such that the Corporationwould not be subject to Part IV tax.

The Corporation is also subject to Part I tax on other income andtaxable capital gains for the year. Part I tax on taxable capital gainscan be reduced by the capital gains refund available to the Corporationwhich is calculated based on the level of redemptions by shareholdersand on capital gains dividends distributed to shareholders. Switchesbetween Corporate Class Funds of the Corporation are treated astaxable dispositions, and accordingly, are included in redemptions forcapital gains refund purposes. The Corporation will pay out sufficientcapital gains dividends such that the Corporation would not be subjectto Part I tax on taxable capital gains.

As a result of the capital gains refund mechanism and Part IV taxrefund, the Corporation can recover any Canadian income taxes paidwith respect to taxable capital gains and taxable dividends receivedfrom taxable Canadian Corporations respectively. Generally, theCorporation is expected to have sufficient expenses to offset otherincome such that the Corporation would not be subject to Part I taxon other income. As a result, the Corporation does not record anyprovision for such income taxes. If any such income tax is payable bythe Corporation, it will be allocated amongst all or one or moreCorporate Class Funds. As a result, the assets of a Corporate Class Fundmay be used to satisfy the income tax payable allocated to it by theCorporation. These are shown in the Statements of Financial Positionas “Income taxes payable” and in the Statements of ComprehensiveIncome as “Income taxes”, if applicable.

Losses carried forward

Capital losses can be carried forward indefinitely to reduce future netrealized capital gains. Non-capital losses for income tax purposesmay be carried forward up to twenty years and applied against allsources of income. Since the Funds do not record income taxes, the taxbenefit of capital and non-capital losses have not been reflected inthe Statements of Financial Position as a deferred income tax asset.

As of the 2021 tax year end, Dynamic Global Fund Corporation has nilnon-capital and nil capital losses to carry forward.


97

As of the 2021 tax year end, the following Trust Funds have lossesavailable to carry forward as indicated in the table below:

Fund Name

TotalCapitalLosses

($000s)

TotalNon-Capital

Losses($000s)

Dynamic Active Core Bond Private Pool 7,315 –Dynamic International Dividend Private Pool 6,380 –Dynamic Tactical Bond Private Pool 11,545 –

Withholding taxes

The Funds currently incur withholding taxes imposed by certaincountries on investment income and in some cases, capital gains. Suchincome and gains are recorded on a gross basis and the relatedwithholding taxes are shown as a separate expense in the Statementsof Comprehensive Income.

Uncertain income taxes

The Funds may invest in securities issued by entities which aredomiciled in countries other than Canada. These foreign countriesmay impose taxes on capital gains realized by non-residents. Inaddition, the Funds may be required to determine these capital gainstaxes on a self-assessment basis; therefore, such taxes may not bededucted by the Funds’ broker on a “withholding” basis.

If applicable, the Funds have applied the most likely amount methodin measuring uncertain tax liabilities and related interest andpenalties with respect to foreign capital gains taxes. The uncertaintax liabilities, if any, are recorded by the Funds in the Statements ofFinancial Position as “Provision for uncertain tax” and in theStatements of Comprehensive Income as “Foreign withholding taxes/tax reclaims”. While any such provision represents the Manager’sbest estimate, the estimated value could differ significantly from theamount ultimately payable.

9. Client Brokerage Commissions

Client brokerage commissions are arrangements pursuant to whichproducts or services, other than the execution of portfolio securitiestransactions, are obtained by a portfolio advisor from or through abroker-dealer in exchange for directing client securities transactionsto the broker-dealer. The ascertainable client brokerage commissionspaid in connection with investment portfolio transactions for theperiods ended December 31, 2021 and 2020 are set out below.

Fund Name2021

($000s)2020

($000s)

Dynamic Alternative Managed Risk Private Pool Class 1 6Dynamic Canadian Equity Private Pool Class 10 9Dynamic Global Equity Private Pool Class 83 12Dynamic Global Yield Private Pool 16 152Dynamic Global Yield Private Pool Class 8 63Dynamic International Dividend Private Pool 17 34Dynamic North American Dividend Private Pool – 16Dynamic U.S. Equity Private Pool Class 1 7

10. Related Party Transactions

The Manager is a wholly-owned subsidiary of The Bank of Nova Scotia(“Scotiabank”).

The Manager, on behalf of the Funds, may enter into transactions orarrangements with other members of Scotiabank or certain othercompanies that are related or connected to the Manager (each a“related party”). All transactions between the Funds and the relatedparties are in the normal course of business.

(a) The Manager earns management fees for acting as trusteeand/or manager of the Funds, as applicable, and a FixedAdministration Fee in return for paying certain operatingexpenses of certain of the Funds as detailed in note 5 and note 6,respectively. The management fees, Fixed Administration Feesand performance fees, as applicable, are disclosed in separatelines in the Statements of Comprehensive Income.

(b) Scotiabank owns, directly or indirectly, 100% of ScotiaCapital Inc. (which includes ScotiaMcLeod and Scotia iTRADE),an investment dealer. Decisions about the purchase and sale ofeach Fund’s portfolio investments are made by appointed PortfolioManagers of each Fund. Provided that the pricing, service andother terms are comparable to those offered by other dealers, aportion of the portfolio transactions may be executed for theFunds, by a related party to the Funds. In such cases, the relatedparty will receive commissions from the Funds. Brokerage feespaid to related parties for the periods ended December 31, 2021and 2020 are as follows:

Fund Name2021

($000s)2020

($000s)

Dynamic Canadian Equity Private Pool Class 9 6Dynamic Global Equity Private Pool Class – 1Dynamic Global Yield Private Pool 11 10Dynamic Global Yield Private Pool Class 5 4Dynamic North American Dividend Private Pool 1 9Dynamic U.S. Equity Private Pool Class 1 4

(c) Scotiabank owns, directly or indirectly, 100% of ScotiaSecurities Inc., a mutual fund dealer and Scotia Capital Inc.(which includes ScotiaMcLeod and Scotia iTrade), an investmentdealer. Certain other registered dealers through which units orshares of the Funds are distributed are related parties to theFunds and the Manager. The Manager may pay a trailingcommission, which is negotiated with dealers, to dealers fortheir financial advisors in respect of the assets of their clientsinvested in securities of the Funds. The Manager may also paytrailing commissions to dealers for securities purchased or heldthrough discount brokerage accounts.

(d) The Manager received approval from the Independent ReviewCommittee to invest the Funds’ overnight cash with Scotiabankwith interest paid by Scotiabank to the Funds based onprevailing market rates. The interest earned by the Funds isincluded in “Interest for distribution purposes” in the Statementsof Comprehensive Income.

(e) The Funds may invest in investment funds managed by theManager or a related party, which are disclosed in the Scheduleof Investment Portfolio for the respective Funds. Theseinclude Scotia Funds, Scotia Private Pools, Pinnacle Portfolios,Scotia ETFs, Dynamic Funds, Marquis Funds and Dynamic PrivateInvestment Pools.

(f) Units held by the Manager in the Funds as at December 31, 2021and June 30, 2021 are disclosed below:

Fund NameDecember 31,

2021June 30,

2021

Dynamic Alternative Managed RiskPrivate Pool Class 89 Series O shares 89 Series O shares

– 120 Series T sharesDynamic Global Equity Private

Pool Class – 103 Series FT sharesDynamic Tactical Bond Private Pool 122 Series U units 120 Series U unitsDynamic U.S. Equity Private Pool Class 106 Series FT shares 103 Series FT shares

(g) The Manager has received approval from the IndependentReview Committee for the Funds to purchase securities of related


98

parties, which include investments in related funds as describedin e) above and investments in securities of Scotiabank. TheFunds are also permitted to enter into derivative transactionswith Scotiabank as counterparty.

(h) Distributions received from related party funds are included in“Interest for distribution purposes”, “Dividends” or “Net realizedgain (loss) on non-derivative financial assets”, if applicable, inthe Statements of Comprehensive Income.

11. Securities Lending

Some of the Funds may enter into securities lending transactionsunder a securities lending program with State Street Bank and TrustCompany. These transactions involve the temporary exchange ofsecurities for collateral with a commitment to return the samesecurities to the Fund on a future date. In accordance with securityregulations, the Funds receive minimum collateral of 102%. Collateral

is received in the form of debt obligations of the Government ofCanada, a Canadian provincial government, the government of theUnited States of America, certain financial institutions or otherqualified securities, and is not included in the Schedule of InvestmentPortfolio. The Funds do not receive cash collateral from anysecurities lending transactions. The aggregate market value of allsecurities loaned by a Fund cannot exceed 50% of the Net Assets ofthe Fund. The fair value of the securities lent and collateral held isdetermined on a daily basis. The securities lending arrangement canbe terminated by the borrower, the securities lending agent or theFund at any time.

The income earned from these securities lending transactions isincluded as part of “Securities lending” in the Statements ofComprehensive Income.

The securities lending agent earns 30% of the gross income generatedthrough any securities lending transactions in the Funds.

The aggregate market value of the securities on loan and the collateral received by the Funds as at December 31, 2021 and June 30, 2021 arepresented below along with the income earned for the six month period ended December 31, 2021 and 2020.

As at December 31, 2021 For the period ended December 31, 2021

Fund Name

Market value ofsecurities on loan

($000s)

Market value ofcollateral received

($000s)

Net amountreceived by the Fund

($000s)

Amount earnedby lending agent

($000s)

Gross securitieslending revenue earned

($000s)

Dynamic Active Core Bond Private Pool 4,683 4,880 2 1 3Dynamic Active Credit Strategies Private Pool 59,642 65,884 21 9 30Dynamic Alternative Managed Risk Private Pool Class 176 327 – – –Dynamic Canadian Equity Private Pool Class – – 2 1 3Dynamic Global Yield Private Pool 16,110 16,927 12 5 17Dynamic Global Yield Private Pool Class 9,011 9,455 6 2 8Dynamic International Dividend Private Pool – – 2 1 3Dynamic North American Dividend Private Pool 12,076 12,651 4 2 6Dynamic Tactical Bond Private Pool 104,481 108,626 18 8 26Dynamic U.S. Equity Private Pool Class 3,104 3,261 1 1 2

As at June 30, 2021 For the period ended December 31, 2020

Fund Name

Market value ofsecurities on loan

($000s)

Market value ofcollateral received

($000s)

Net amountreceived by the Fund

($000s)

Amount earnedby lending agent

($000s)

Gross securitieslending revenue earned

($000s)

Dynamic Active Core Bond Private Pool 6,926 7,189 5 2 7Dynamic Active Credit Strategies Private Pool 4,246 4,466 5 2 7Dynamic Alternative Managed Risk Private Pool Class 778 813 – – –Dynamic Canadian Equity Private Pool Class 4,827 5,137 1 1 2Dynamic Global Yield Private Pool 31,412 33,086 14 6 21Dynamic Global Yield Private Pool Class 13,857 14,694 7 3 10Dynamic International Dividend Private Pool 4,244 4,470 2 1 2Dynamic North American Dividend Private Pool 8,480 8,993 2 1 3Dynamic Tactical Bond Private Pool 17,730 18,526 40 17 57Dynamic U.S. Equity Private Pool Class 3,814 4,029 – 0 1

12. Currency Legend

The following is a list of abbreviations that may be used in theFinancial Statements:

AUD Australian dollar MXN Mexican pesoBMD Bermuda dollar MYR Malaysian ringgitBRL Brazilian real NOK Norwegian kroneCAD Canadian dollar NZD New Zealand dollarCHF Swiss franc PEN Peruvian new solDKK Danish krone PHP Philippine pesoEUR Euro PKR Pakistani rupeeGBP Pound sterling PLN Polish zlotyHKD Hong Kong dollar SEK Swedish kronaIDR Indonesian rupiah SGD Singapore dollarILS Israeli shekel THB Thailand bahtINR Indian rupee TWD New Taiwan dollarJPY Japanese yen USD US dollarKRW South Korean won ZAR South African rand


99

Head Office1832 Asset Management L.P.Dynamic Funds Tower 1 Adelaide St. E., 28th Floor Toronto, ON M5C 2V9Toll free: 1-866-977-0477 Tel: 416-363-5621

Customer Relations CentreToll free: 1-800-268-8186 Tel: 514-908-3212 (English)

514-908-3217 (French)Fax: 416-363-4179 or 1-800-361-4768Email: [email protected]

11DWD040_DF_DPIP_Interim_Cover_1221_EN_V1_DOP0122 MRC7101

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