TD Mutual Funds Annual Financial Report potx

for the period ended December 31, 2011 TD Mutual Funds Annual Financial Report TD High Yield Bond Fund December 31, 2011 Annual Financial Report n Management’s Responsibility for Financial Reporting The accompanying financial statements have been prepared by TD Asset Management Inc. as Manager of the Fund and approved by its Board of Directors. The Manager is responsible for the integrity, objectivity and reliability of the data presented. This responsibility includes selecting appropriate accounting principles and making judgments and estimates consistent with Canadian generally accepted accounting principles. The Manager is also responsible for the development of internal controls over the financial reporting process, which are designed to provide reasonable assurance that relevant and reliable financial information is produced, and the safeguarding of all assets of the Fund. The Board of Directors of TD Asset Management Inc. is responsible for reviewing and approving the financial statements and overseeing manage - ment’s performance of its financial reporting responsibilities. PricewaterhouseCoopers LLP is the external auditor of the Fund. The auditor has audited the financial statements in accordance with Canadian generally accepted auditing standards to enable it to express its opinion on the financial statements. The auditor’s report is included on the following page of this Annual Report. On behalf of TD Asset Management Inc., Manager of the Fund Sandra Cimoroni Francesca Shaw Director and Officer, Director and TD Mutual Funds Chief Financial Officer March 7, 2012 March 7, 2012 1 December 31, 2011 Annual Financial Report n Independent Auditor’s Report We have audited the financial statements of each of the Funds, which comprise the statement of investment portfolio as at December 31, 2011 and the statements of net assets, investment operations and changes in net assets as at and for the periods indicated in note 1, and the related notes and supplementary schedules, which comprise a summary of significant accounting policies and other explanatory information. Management’s responsibility for the financial statements Management is responsible for the preparation and fair presentation of the financial statements of each of the Funds in accordance with Canadian generally accepted accounting principles, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s responsibility Our responsibility is to express an opinion on the financial statements of each of the Funds based on each of our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform an audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained in each of our audits is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements of each of the Funds present fairly, in all material respects, the financial position of each of the Funds, the results of each of their investment operations and the changes in each of their net assets as at and for the periods indicated in note 1 in accordance with Canadian generally accepted accounting principles. Chartered Accountants, Licensed Public Accountants Toronto, Ontario March 7, 2012 To the Unitholders and Trustee of: (collectively, the “Funds”) TD Canadian T-Bill Fund TD Canadian Money Market Fund TD Premium Money Market Fund TD U.S. Money Market Fund TD Ultra Short Term Bond Fund TD Short Term Bond Fund TD Mortgage Fund TD Canadian Bond Fund TD Income Advantage Portfolio TD Canadian Core Plus Bond Fund TD Corporate Bond Capital Yield Fund TD Real Return Bond Fund TD Global Bond Fund TD High Yield Bond Fund TD Monthly Income Fund TD U.S. Monthly Income Fund TD Balanced Income Fund TD Diversified Monthly Income Fund TD Balanced Growth Fund TD Dividend Income Fund TD Dividend Growth Fund TD Canadian Blue Chip Equity Fund TD Canadian Equity Fund TD Canadian Value Fund TD Canadian Small-Cap Equity Fund TD North American Dividend Fund TD U.S. Blue Chip Equity Fund TD U.S. Quantitative Equity Fund TD U.S. Large-Cap Value Fund TD U.S. Large-Cap Value Currency Neutral Fund TD U.S. Equity Portfolio TD U.S. Equity Currency Neutral Portfolio TD U.S. Mid-Cap Growth Fund TD U.S. Small-Cap Equity Fund TD Global Low Volatility Fund TD Global Dividend Fund TD Global Value Fund TD Global Growth Fund TD Global Equity Portfolio TD Global Multi-Cap Fund TD Global Sustainability Fund TD International Value Fund TD International Growth Fund TD European Growth Fund TD Japanese Growth Fund TD Asian Growth Fund TD Pacific Rim Fund TD Emerging Markets Fund TD Latin American Growth Fund TD Resource Fund TD Energy Fund TD Precious Metals Fund TD Entertainment & Communications Fund TD Science & Technology Fund TD Health Sciences Fund TD Canadian Bond Index Fund TD Balanced Index Fund TD Canadian Index Fund TD Dow Jones Industrial Average SM Index Fund TD U.S. Index Fund TD U.S. Index Currency Neutral Fund TD Nasdaq ® Index Fund TD International Index Fund TD International Index Currency Neutral Fund TD European Index Fund TD Japanese Index Fund TD Advantage Balanced Income Portfolio TD Advantage Balanced Portfolio TD Advantage Balanced Growth Portfolio TD Advantage Growth Portfolio TD Advantage Aggressive Growth Portfolio TD Comfort Conservative Income Portfolio TD Comfort Balanced Income Portfolio TD Comfort Balanced Portfolio TD Comfort Balanced Growth Portfolio TD Comfort Growth Portfolio TD Comfort Aggressive Growth Portfolio TD Target Return Conservative Fund TD Target Return Balanced Fund 2 December 31, 2011 Annual Financial Report n TD High Yield Bond Fund Statements of Net Assets (in 000s except per unit amounts and number of units) as at December 31, 2011 and 2010 2011 2010 Assets Investments at Fair Value (Note 2) $ 1,368,257 $ 1,254,844 Short-Term Investments 68,964 26,233 Foreign Currencies 93 2,816 Cash 279 154 Interest Receivable 26,312 23,033 Dividends Receivable 72 120 Subscriptions Receivable 3,380 1,325 Receivable for Investment Sales 0 3,151 Unrealized Gain on Open Foreign Exchange Forward Contracts 20,844 25,912 1,488,201 1,337,588 Liabilities Accrued Liabilities 607 642 Redemptions Payable 712 1,610 Unrealized Loss on Open Foreign Exchange Forward Contracts 2,411 3,460 3,730 5,712 Net Assets (Note 2) $ 1,484,471 $ 1,331,876 Net Assets Representing Unitholders’ Equity (Note 3) Investor Series $ 87,760 $ 99,343 Institutional Series $ 109,897 $ 90,427 Advisor Series $ 198,220 $ 210,078 F-Series $ 54,346 $ 50,085 H-Series $ 1,313 $ 977 S-Series $ 415 $ 6 T-Series $ 8,696 $ 7,366 Q-Series $ 62,440 $ 38,686 O-Series $ 961,384 $ 834,908 $ 1,484,471 $ 1,331,876 Number of Units Outstanding Investor Series 14,828,533 16,048,577 Institutional Series 16,616,762 13,084,315 Advisor Series 28,634,588 29,020,306 F-Series 8,341,382 7,352,307 H-Series 84,767 58,513 S-Series 26,925 359 T-Series 561,785 441,319 Q-Series 4,103,733 2,357,859 O-Series 101,374,188 84,226,905 Net Assets Per Unit (Note 2) Investor Series $ 5.92 $ 6.19 Institutional Series $ 6.61 $ 6.91 Advisor Series $ 6.92 $ 7.24 F-Series $ 6.52 $ 6.81 H-Series $ 15.49 $ 16.69 S-Series $ 15.40 $ 16.61 T-Series $ 15.48 $ 16.69 Q-Series $ 15.22 $ 16.41 O-Series $ 9.48 $ 9.91 Statements of Investment Operations (in 000s except per unit amounts) for the periods ended December 31, 2011 and 2010 2011 2010 Investment Income Interest $ 101,152 $ 94,558 Dividends 120 398 Foreign Exchange (10,111) 40,147 Securities Lending 1 1 Less: Withholding Taxes (199) (36) 90,963 135,068 Expenses (Note 4) Management Fees 7,147 7,582 Administration Fees 525 477 Independent Review Committee Fees 5 6 Bank Charges and Interest 6 6 7,683 8,071 Less: Waived Expenses (9) (9) 7,674 8,062 Net Investment Income (Loss) 83,289 127,006 Net Realized Gain (Loss) on Sale of Investments (8,557) (53,248) Net Change in Unrealized Appreciation/ Depreciation of Investments (45,117) 101,651 Transaction Costs on Purchases and Sales of Investments (15) (9) Net Gain (Loss) on Investments (53,689) 48,394 Increase (Decrease) in Net Assets from Investment Operations † $ 29,600 $ 175,400 † Increase (Decrease) in Net Assets from Investment Operations Investor Series $ 598 $ 11,604 Institutional Series $ 1,684 $ 66,711 Advisor Series $ 1,494 $ 23,327 F-Series $ 806 $ 6,295 H-Series $ (18) $ 39 S-Series $ (1) $ 248 T-Series $ 27 $ 340 Q-Series $ 561 $ 4,121 O-Series $ 24,449 $ 62,715 $ 29,600 $ 175,400 Increase (Decrease) in Net Assets from Investment Operations – Per Unit (Note 2) Investor Series $ 0.04 $ 0.76 Institutional Series $ 0.15 $ 0.95 Advisor Series $ 0.05 $ 0.89 F-Series $ 0.12 $ 0.91 H-Series $ 0.13 $ 2.09 S-Series $ 0.31 $ 2.26 T-Series $ 0.13 $ 2.09 Q-Series $ 0.35 $ 2.28 O-Series $ 0.27 $ 0.80 The accompanying notes are an integral part of these financial statements. 3 December 31, 2011 Annual Financial Report Statements of Changes in Net Assets (in 000s except number of units) for the periods ended December 31, 2011 and 2010 Investor Series Institutional Series Advisor Series 2011 2010 2011 2010 2011 2010 Net Assets, Beginning of the Period $ 99,343 $ 90,909 $ 90,427 $ 905,359 $ 210,078 $ 171,152 Increase (Decrease) in Net Assets from Investment Operations 598 11,604 1,684 66,711 1,494 23,327 Capital Unit Transactions † Proceeds from Sale of Units 38,469 53,404 55,581 28,090 67,861 90,560 Reinvestments of Distributions 4,745 7,959 836 16,278 8,289 14,272 Early Redemption Fees 1 2 2 6 3 3 Amounts Paid on Redemptions (50,287) (55,967) (31,982) (901,967) (78,956) (71,479) (7,072) 5,398 24,437 (857,593) (2,803) 33,356 Distributions to Unitholders From Net Investment Income (5,109) (8,568) (6,651) (24,050) (10,549) (17,757) From Net Realized Gains on Investments 0 0 0 0 0 0 (5,109) (8,568) (6,651) (24,050) (10,549) (17,757) Increase (Decrease) in Net Assets for the Period (11,583) 8,434 19,470 (814,932) (11,858) 38,926 Net Assets, End of the Period $ 87,760 $ 99,343 $ 109,897 $ 90,427 $ 198,220 $ 210,078 † Capital Unit Transactions Units Outstanding, Beginning of the Period 16,048,577 15,191,043 13,084,315 135,472,462 29,020,306 24,459,686 Units Issued 6,146,863 8,530,900 8,079,309 3,996,889 9,402,916 12,380,691 Units Issued on Reinvestments 770,001 1,279,082 121,445 2,366,472 1,151,158 1,960,925 Units Redeemed (8,136,908) (8,952,448) (4,668,307) (128,751,508) (10,939,792) (9,780,996) Units Outstanding, End of the Period 14,828,533 16,048,577 16,616,762 13,084,315 28,634,588 29,020,306 F-Series H-Series S-Series 2011 2010 2011 2010 2011 2010 Net Assets, Beginning of the Period $ 50,085 $ 45,503 $ 977 $ 90 $ 6 $ 4,654 Increase (Decrease) in Net Assets from Investment Operations 806 6,295 (18) 39 (1) 248 Capital Unit Transactions † Proceeds from Sale of Units 22,029 16,751 1,419 1,040 473 265 Reinvestments of Distributions 2,063 2,803 88 42 11 5 Early Redemption Fees 1 1 0 0 0 0 Amounts Paid on Redemptions (17,355) (16,466) (1,031) (174) (54) (5,090) 6,738 3,089 476 908 430 (4,820) Distributions to Unitholders From Net Investment Income (3,283) (4,802) (76) (52) (12) (59) From Net Realized Gains on Investments 0 0 0 0 0 0 From Return of Capital 0 0 (46) (8) (8) (17) (3,283) (4,802) (122) (60) (20) (76) Increase (Decrease) in Net Assets for the Period 4,261 4,582 336 887 409 (4,648) Net Assets, End of the Period $ 54,346 $ 50,085 $ 1,313 $ 977 $ 415 $ 6 † Capital Unit Transactions Units Outstanding, Beginning of the Period 7,352,307 6,910,478 58,513 5,480 359 284,422 Units Issued 3,241,032 2,428,405 84,331 60,583 29,336 15,786 Units Issued on Reinvestments 305,130 409,336 5,339 2,470 705 304 Units Redeemed (2,557,087) (2,395,912) (63,416) (10,020) (3,475) (300,153) Units Outstanding, End of the Period 8,341,382 7,352,307 84,767 58,513 26,925 359 n TD High Yield Bond Fund The accompanying notes are an integral part of these financial statements. 4 December 31, 2011 Annual Financial Report Statements of Changes in Net Assets (in 000s except number of units) for the periods ended December 31, 2011 and 2010 T-Series Q-Series 2011 2010 2011 2010 Net Assets, Beginning of the Period $ 7,366 $ 717 $ 38,686 $ 24,553 Increase (Decrease) in Net Assets from Investment Operations 27 340 561 4,121 Capital Unit Transactions † Proceeds from Sale of Units 3,419 7,467 42,600 22,384 Reinvestments of Distributions 143 120 0 0 Early Redemption Fees 0 0 0 0 Amounts Paid on Redemptions (1,581) (784) (14,394) (8,283) 1,981 6,803 28,206 14,101 Distributions to Unitholders From Net Investment Income (420) (412) (3,302) (3,494) From Net Realized Gains on Investments 0 0 0 0 From Return of Capital (258) (82) (1,711) (595) (678) (494) (5,013) (4,089) Increase (Decrease) in Net Assets for the Period 1,330 6,649 23,754 14,133 Net Assets, End of the Period $ 8,696 $ 7,366 $ 62,440 $ 38,686 † Capital Unit Transactions Units Outstanding, Beginning of the Period 441,319 43,686 2,357,859 1,520,918 Units Issued 208,063 436,553 2,651,642 1,332,706 Units Issued on Reinvestments 8,744 7,090 1 1 Units Redeemed (96,341) (46,010) (905,769) (495,766) Units Outstanding, End of the Period 561,785 441,319 4,103,733 2,357,859 O-Series TOTAL 2011 2010 2011 2010 Net Assets, Beginning of the Period $ 834,908 $ 0 $ 1,331,876 $ 1,242,937 Increase (Decrease) in Net Assets from Investment Operations 24,449 62,715 29,600 175,400 Capital Unit Transactions † Proceeds from Sale of Units 183,002 985,023 414,853 1,204,984 Reinvestments of Distributions 61,542 73,204 77,717 114,683 Early Redemption Fees 12 10 19 22 Amounts Paid on Redemptions (80,986) (212,840) (276,626) (1,273,050) 163,570 845,397 215,963 46,639 Distributions to Unitholders From Net Investment Income (61,543) (73,204) (90,945) (132,398) From Net Realized Gains on Investments 0 0 0 0 From Return of Capital 0 0 (2,023) (702) (61,543) (73,204) (92,968) (133,100) Increase (Decrease) in Net Assets for the Period 126,476 834,908 152,595 88,939 Net Assets, End of the Period $ 961,384 $ 834,908 $ 1,484,471 $ 1,331,876 † Capital Unit Transactions Units Outstanding, Beginning of the Period 84,226,905 0 Units Issued 19,035,484 97,791,573 Units Issued on Reinvestments 6,255,811 7,325,678 Units Redeemed (8,144,012) (20,890,346) Units Outstanding, End of the Period 101,374,188 84,226,905 n TD High Yield Bond Fund The accompanying notes are an integral part of these financial statements. 5 December 31, 2011 Annual Financial Report Canadian Equities – 1.3% MATERIALS – 0.5% 445,213 AbitibiBowater Inc. $ 35,853,142 $ 6,571,102 CONSUMER DISCRETIONARY – 0.8% 1,350,000 Postmedia Network Canada Corp. (Restricted) 12,500,000 9,625,500 370,039 Postmedia Network Canada Corp., Class “NC” Variable Voting Shares 2,172,641 2,638,378 14,672,641 12,263,878 Total Canadian Equities 50,525,783 18,834,980 U.S. Equities – 2.9% MATERIALS – 0.1% 299,036 INTERMET Corporation 8,407,222 0 2,500 PT Holdings Company Inc. 3,133,031 721,685 11,540,253 721,685 INDUSTRIALS – 0.1% 4,756 Dayton Superior Corporation, Class “A” 2,206,551 611,143 77,677 Quad/Graphics Inc. 4,019,481 1,130,262 6,226,032 1,741,405 CONSUMER DISCRETIONARY – 1.4% 522,794 Cooper-Standard Holdings Inc. 19,157,618 17,700,138 105,326 Cooper-Standard Holdings Inc., Warrants 27/11/2017 1,728,372 1,567,432 74,914 Lazy Days’ R.V. Center Inc. 12,172,867 630,845 262,313 Movie Gallery Inc. 11,840,394 668 11,300,000 Movie Gallery Inc., Escrow Shares 0 0 94,071 Muzak Holdings LLC, Units 3,348,437 903,279 48,247,688 20,802,362 FINANCIALS – 0.0% 132 Leucadia National Corporation 3,645 3,054 PREFERRED – 0.5% 41,666 Cooper-Standard Holdings Inc., Pref. 6,554,869 6,166,714 5,285 Dayton Superior Corporation, Class “A” Pref. 2,451,568 679,119 900 Lazy Days’ R.V. Center Inc., Pref. 917,073 870,604 9,923,510 7,716,437 INDEX EQUIVALENTS – 0.8% 132,900 iShares iBoxx $ High Yield Corporate Bond Fund 12,150,138 12,098,093 Total U.S. Equities 88,091,266 43,083,036 International Equities – 0.0% AUSTRALIA – 0.0% 6,000 Xplorenet Limited, Warrants 15/05/2017 0 0 Canadian Bonds – 16.8% CORPORATE BONDS – 16.8% Air Canada $ 4,000,000 10.125% due August 01, 2015 4,100,000 3,640,000 Armtec Holdings Limited 8,000,000 8.875% due September 22, 2017 8,000,000 5,200,000 Baytex Energy Corp. (USD) 1,000,000 Callable 6.75% due February 17, 2021 995,800 1,023,341 Black Press Group Ltd. 2,000,000 10.00% due February 04, 2014 2,000,000 2,000,000 Bombardier Inc. 5,500,000 Callable 7.35% due December 22, 2026 4,986,816 5,525,208 Bombardier Inc. (EUR) 2,000,000 6.125% due May 15, 2021 2,796,057 2,485,052 Bombardier Inc. (USD) 6,683,000 7.50% due March 15, 2018 6,915,515 7,281,312 Bowater Incorporated 10,500,000 Callable 10.85% due November 30, 2014 0 0 Cara Operations Ltd. 6,340,000 9.125% due December 01, 2015 6,401,875 6,329,433 Cascades Inc. 14,000,000 7.75% due December 15, 2016 14,107,077 13,976,667 Catalyst Paper Corporation (USD) 15,800,000 Callable 7.375% due March 01, 2014 12,557,405 764,197 5,000,000 11.00% due December 15, 2016 4,153,348 2,698,363 CHC Helicopter SA (USD) 13,185,000 9.25% due October 15, 2020 13,283,884 12,083,064 Corus Entertainment Inc. 70,000 7.25% due February 10, 2017 73,850 73,267 Data & Audio-Visual Enterprises Wireless Inc. 3,000,000 Callable 9.50% due April 29, 2018 3,000,000 2,705,625 Domtar Corporation (USD) 13,000,000 5.375% due December 01, 2013 12,526,852 13,369,623 Fairfax Financial Holdings Limited 7,000,000 6.40% due May 25, 2021 6,971,440 7,082,545 Fairfax Financial Holdings Limited (USD) 3,000,000 7.375% due April 15, 2018 3,318,997 3,284,162 Ford Credit Canada Limited 10,000,000 4.20% due November 14, 2013 9,994,900 10,005,275 13,200,000 4.875% due March 17, 2014 13,228,507 13,300,324 14,000,000 Callable 7.50% due August 18, 2015 14,846,500 14,975,625 Harvest Operations Corp. (USD) 3,160,000 6.875% due October 01, 2017 3,201,795 3,330,288 Iron Mountain Nova Scotia Funding Company 11,000,000 Callable 7.50% due March 15, 2017 10,587,500 11,221,860 Kruger Products L.P. 2,150,000 8.00% due August 09, 2018 2,150,000 2,096,250 Masonite International Inc. (USD) 6,100,000 Callable 8.25% due April 15, 2021 5,860,808 6,087,099 MPL 2 Acquisition Canco Inc. (USD) 2,212,000 Callable 9.875% due August 15, 2018 2,087,585 1,970,823 Newalta Corporation 4,000,000 7.625% due November 23, 2017 4,132,500 4,093,333 1,000,000 7.75% due November 14, 2019 1,000,000 1,021,250 NOVA Chemicals Corporation (USD) 32,500,000 Callable 6.50% due January 15, 2012 29,454,851 33,134,491 2,100,000 8.375% due November 01, 2016 2,260,820 2,330,774 $ $ $ Par Value Description Cost Fair Value n TD High Yield Bond Fund Statement of Investment Portfolio as at December 31, 2011 No. of Shares or Units Description Cost Fair Value The accompanying notes are an integral part of these financial statements. 6 December 31, 2011 Annual Financial Report $ $ $ Par Value Description Cost Fair Value TD High Yield Bond Fund $ $ Par Value Description Cost Fair Value The accompanying notes are an integral part of these financial statements. Precision Drilling Corporation 2,500,000 Callable 6.50% due March 15, 2019 2,536,250 2,529,167 Russel Metals Inc. (USD) 5,838,000 Callable 6.375% due March 01, 2014 6,097,127 5,944,544 Sherritt International Corporation 1,900,000 Callable 7.75% due October 15, 2015 1,831,625 1,969,667 11,250,000 Callable 8.00% due November 15, 2018 11,250,000 11,418,750 Teck Resources Limited (USD) 186,000 9.75% due May 15, 2014 230,561 222,569 Tembec Industries Inc. (USD) 6,000,000 Callable 11.25% due December 15, 2018 5,997,433 6,292,785 Trident Exploration Corp. 10,000,000 Callable 8.25% due April 13, 2018 9,998,750 9,150,000 Trinidad Drilling Ltd. (USD) 1,000,000 Callable 7.875% due January 15, 2019 1,017,996 1,048,798 Videotron Ltee 4,000,000 6.875% due July 15, 2021 4,000,000 4,010,000 West Fraser Timber Co., Ltd. (USD) 7,500,000 Callable 5.20% due October 15, 2014 6,218,325 7,646,421 Xplornet Communications Inc. 6,117,699 13.00% due May 15, 2017 6,117,699 6,117,699 Total Canadian Bonds 260,290,448 249,439,651 Global Bonds – 71.2% AUSTRALIA – 1.5% FMG Resources (August 2006) Pty Ltd. (USD) 15,550,000 Callable 7.00% due November 01, 2012 15,626,061 15,992,125 4,400,000 Callable 6.375% due February 01, 2016 4,243,263 4,345,891 2,400,000 Callable 6.875% due February 01, 2018 2,420,778 2,339,939 22,290,102 22,677,955 BERMUDA – 0.1% Aircastle Ltd. (USD) 1,250,000 9.75% due August 01, 2018 1,304,399 1,333,271 CAYMAN ISLANDS – 3.2% Seagate HDD Cayman (USD) 9,350,000 7.75% due December 15, 2018 9,505,578 10,127,578 Seagate Technology HDD Holdings (USD) 27,052,000 Callable 6.80% due October 01, 2016 24,208,552 29,473,898 UPCB Finance II Limited (EUR) 2,000,000 Callable 6.375% due July 01, 2020 2,676,198 2,458,615 Votorantim Overseas III (USD) 5,500,000 7.875% due January 23, 2014 6,976,077 6,160,413 43,366,405 48,220,504 FRANCE – 0.1% Crown European Holdings SA (EUR) 1,000,000 Callable 7.125% due August 15, 2018 1,365,852 1,334,618 GERMANY – 0.7% Auto-Teile-Unger Handels GmbH & Co. KG (EUR) 5,000,000 11.00% due May 15, 2014 6,940,212 5,353,436 Kabel BW GmbH (USD) 3,000,000 Callable 7.50% due March 15, 2019 3,028,049 3,207,488 Kabel BW GmbH (EUR) 1,000,000 Callable 7.50% due March 15, 2019 1,421,513 1,341,003 11,389,774 9,901,927 IRELAND – 0.8% Smurfit Kappa Funding PLC (USD) 11,834,000 Callable 7.75% due April 01, 2015 10,942,404 12,049,971 JAPAN – 0.4% eAccess Ltd. (EUR) 1,000,000 8.375% due April 01, 2018 1,390,345 1,141,075 eAccess Ltd. (USD) 5,000,000 Callable 8.25% due April 01, 2018 4,909,317 4,836,688 6,299,662 5,977,763 LIBERIA – 0.8% Royal Caribbean Cruises Ltd. (USD) 11,000,000 6.875% due December 01, 2013 11,305,048 11,816,791 LUXEMBOURG – 1.1% ConvaTec Healthcare E SA (USD) 3,000,000 10.5% due December 15, 2018 3,033,150 2,726,364 Evraz Group SA (USD) 12,500,000 Callable 8.875% due April 24, 2013 13,280,353 13,196,775 16,313,503 15,923,139 MEXICO – 0.6% CEMEX SAB de CV (USD) 11,250,000 Callable 9.00% due January 11, 2018 10,857,352 9,135,612 NETHERLANDS – 0.1% GMAC International Finance BV (EUR) 500,000 7.50% due April 21, 2015 639,181 624,568 LyondellBasell Industries NV (USD) 625,000 6.00% due November 15, 2021 635,375 660,271 1,274,556 1,284,839 NEW ZEALAND – 0.1% Reynolds Group Holdings Limited (USD) 400,000 Callable 6.875% due February 15, 2021 397,300 405,264 500,000 Callable 8.25% due February 15, 2021 496,625 450,576 893,925 855,840 SOUTH KOREA – 0.2% MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Company, Conv. (USD) 3,500,000 Callable 10.50% due April 15, 2018 3,683,197 3,706,430 SPAIN – 0.4% Cemex Espana Luxembourg (USD) 7,000,000 9.25% due May 12, 2020 6,749,957 5,434,909 SWEDEN – 0.2% TVN Finance Corp. III AB (EUR) 2,000,000 7.875% due November 15, 2018 2,735,707 2,462,237 UNITED KINGDOM – 0.3% Virgin Media Finance PLC (USD) 4,000,000 Callable 9.50% due August 15, 2016 4,356,767 4,571,943 UNITED STATES – 60.6% ABI Escrow Corp. (USD) 8,896,000 10.25% due October 15, 2018 9,333,970 9,986,833 Advanced Micro Devices Inc. (USD) 12,300,000 8.125% due December 15, 2013 12,676,315 12,994,143 7,525,000 Callable 7.75% due August 01, 2020 7,529,784 7,873,045 AK Steel Holding Corporation (USD) 3,750,000 Callable 7.625% due May 15, 2020 3,662,068 3,589,331 Aleris International Inc. (USD) 4,000,000 Callable 7.625% due February 15, 2018 3,804,378 3,971,175 Algoma Acquisition Corp. (USD) 7,535,000 Callable 9.875% due June 15, 2015 7,025,804 6,598,362 7 December 31, 2011 Annual Financial Report Ally Financial Inc. (USD) 2,300,000 4.50% due February 11, 2014 2,150,845 2,260,006 2,000,000 6.75% due December 01, 2014 2,024,672 2,054,258 3,000,000 8.30% due February 12, 2015 3,034,396 3,222,761 3,400,000 6.25% due December 01, 2017 3,153,874 3,339,493 12,550,000 7.50% due September 15, 2020 12,720,940 12,906,828 AMC Entertainment Inc. (USD) 2,000,000 Callable 8.75% due June 01, 2019 2,101,659 2,107,778 1,000,000 9.75% due December 01, 2020 1,003,900 967,338 American Greetings Corporation (USD) 1,500,000 Callable 7.375% due December 01, 2021 1,534,500 1,546,467 Appleton Papers Inc. (USD) 12,300,000 Callable 9.75% due June 15, 2014 14,371,370 10,708,426 1,500,000 10.50% due June 15, 2015 1,544,223 1,506,374 Apria Healthcare Group Inc. (USD) 5,000,000 Callable 11.25% due November 01, 2014 5,549,088 5,256,716 ArvinMeritor Inc. (USD) 5,788,000 Callable 8.125% due September 15, 2015 4,173,383 5,274,800 Ashtead Capital Inc. (USD) 1,000,000 Callable 9.00% due August 15, 2016 609,964 1,061,526 Baker & Taylor Inc. (USD) 6,000,000 Callable 11.50% due July 01, 2013 6,798,970 4,765,410 Belden Inc. (USD) 3,500,000 9.25% due June 15, 2019 3,892,581 3,804,437 Boise Cascade LLC (USD) 4,560,000 Callable 7.125% due October 15, 2014 4,492,003 4,614,200 The Bon-Ton Stores Inc. (USD) 20,750,000 Callable 10.25% due March 15, 2014 17,160,116 13,548,771 Broder Bros., Co. (USD) 5,659,296 12.00% due October 15, 2013 13,356,411 5,647,327 Brookstone Inc. (USD) 10,000,000 13.00% due October 15, 2014 10,216,000 8,133,272 Calpine Corporation (USD) 11,500,000 Callable 7.25% due October 15, 2017 11,680,734 12,295,369 1,500,000 7.875% due July 31, 2020 1,560,909 1,645,747 6,550,000 7.50% due February 15, 2021 6,650,376 7,136,405 Case New Holland Inc. (USD) 8,000,000 7.75% due September 01, 2013 8,579,148 8,655,125 9,985,000 Callable 7.25% due January 15, 2016 9,153,496 10,904,350 4,410,000 7.875% due December 01, 2017 4,753,935 5,074,245 CB Richard Ellis Services Inc. (USD) 2,000,000 11.625% due June 15, 2017 2,194,077 2,347,066 CCO Holdings LLC/ CCO Holdings Capital Corp. (USD) 1,000,000 7.375% due June 01, 2020 1,019,950 1,074,254 Cenveo Corporation (USD) 5,505,000 Callable 7.875% due December 01, 2013 6,060,720 4,400,291 2,000,000 8.875% due February 01, 2018 2,123,552 1,776,846 3,000,000 Callable 8.875% due February 01, 2018 2,731,422 2,665,269 Chiron Merger Sub Inc. (USD) 2,000,000 Callable 10.5% due November 01, 2018 1,973,387 1,995,770 Chrysler Group LLC/CG Co-Issuer Inc. (USD) 13,650,000 8.00% due June 15, 2019 12,852,588 12,717,688 Cincinnati Bell Inc. (USD) 4,000,000 Callable 7.00% due February 15, 2015 3,939,972 4,088,274 10,000,000 Callable 8.25% due October 15, 2017 9,852,655 10,233,413 7,000,000 8.375% due October 15, 2020 7,128,800 7,109,931 $ $ Par Value Description Cost Fair Value TD High Yield Bond Fund CIT Group Inc. (USD) 1,000,000 7.00% due May 01, 2015 957,099 1,020,287 12,000,000 Callable 7.00% due May 04, 2015 12,083,024 12,234,274 2,900,000 7.00% due May 01, 2016 2,914,295 2,952,925 7,900,000 Callable 7.00% due May 02, 2016 7,773,166 8,034,120 1,650,000 Callable 7.00% due May 02, 2017 1,602,440 1,678,012 CityCenter Holdings LLC/ CityCenter Finance Corp. (USD) 2,000,000 Callable 7.625% due January 15, 2016 1,978,500 2,087,413 Commercial Barge Line Company (USD) 645,000 12.50% due July 15, 2017 679,022 707,671 Constellation Brands Inc. (USD) 9,084,000 8.375% due December 15, 2014 9,889,514 10,382,881 3,940,000 Callable 7.25% due September 01, 2016 4,318,255 4,408,081 Crown Americas LLC/ Crown Americas Capital Corp. III (USD) 250,000 Callable 6.25% due February 01, 2021 248,213 266,018 Dana Holding Corporation (USD) 9,700,000 Callable 6.50% due February 15, 2019 9,448,107 9,975,795 DirectBuy Holdings Inc. (USD) 8,000,000 Callable 12.00% due February 01, 2017 7,724,692 1,955,040 Dole Food Company Inc. (USD) 2,794,000 Callable 8.00% due October 01, 2016 2,909,556 2,965,903 EarthLink Inc. (USD) 5,500,000 Callable 8.875% due May 15, 2019 5,151,150 5,152,345 Easton-Bell Sports Inc. (USD) 1,000,000 9.75% due December 01, 2012 1,105,363 1,109,893 EchoStar DBS Corporation (USD) 5,000,000 7.00% due October 01, 2013 5,249,995 5,434,909 28,660,000 Callable 6.625% due October 01, 2014 29,771,347 31,152,901 1,000,000 7.125% due February 01, 2016 1,071,425 1,097,164 Exide Technologies (USD) 3,000,000 Callable 8.625% due February 01, 2018 3,109,043 2,352,158 Ford Motor Credit Company LLC (USD) 15,000,000 8.00% due June 01, 2014 15,874,219 16,624,866 800,000 3.875% due January 15, 2015 815,694 811,553 Gannett Co. Inc. (USD) 6,500,000 8.75% due November 15, 2014 6,993,534 7,090,202 4,000,000 6.375% due September 01, 2015 4,027,100 4,134,095 2,500,000 10.00% due April 01, 2016 2,842,950 2,838,372 1,600,000 9.375% due November 15, 2017 1,784,869 1,767,682 850,000 Callable 7.125% due September 01, 2018 809,258 852,530 General Cable Corporation (USD) 17,140,000 Callable 7.125% due April 01, 2017 15,148,817 17,409,173 Goodman Networks Inc. (USD) 2,000,000 Callable 12.125% due July 01, 2018 1,926,347 1,944,858 The Goodyear Tire & Rubber Company (USD) 2,275,000 10.50% due May 15, 2016 2,566,858 2,553,962 11,800,000 8.25% due August 15, 2020 12,276,686 13,096,732 Great Lakes Dredge & Dock Corporation (USD) 500,000 Callable 7.375% due February 01, 2019 498,825 504,034 Harland Clarke Holdings Corp. (USD) 3,900,000 Callable 9.50% due May 15, 2015 3,959,199 2,898,958 HCA Inc. (USD) 5,900,000 Callable 8.50% due April 15, 2019 6,508,423 6,578,404 1,250,000 Callable 7.875% due February 15, 2020 1,267,306 1,374,638 The Hertz Corporation (EUR) 4,000,000 Callable 7.875% due January 01, 2014 4,764,976 5,287,344 $ $ Par Value Description Cost Fair Value The accompanying notes are an integral part of these financial statements. 8 December 31, 2011 Annual Financial Report The Hertz Corporation (USD) 1,628,000 Callable 8.875% due January 01, 2014 1,535,718 1,666,000 Hertz Holdings Netherlands BV (EUR) 2,000,000 Callable 8.50% due July 31, 2015 2,552,404 2,716,373 Host Hotels & Resorts, L.P. (USD) 600,000 Callable 6.375% due March 15, 2015 673,347 621,642 Houghton Mifflin Harcourt Publishing Company (USD) 3,000,000 Callable 10.50% due June 01, 2019 2,938,115 1,863,398 Icon Health & Fitness (USD) 5,000,000 11.875% due October 15, 2016 5,090,793 4,136,641 Interface Inc. (USD) 100,000 11.375% due November 01, 2013 105,084 113,026 International Lease Finance Corporation (USD) 8,000,000 6.375% due March 25, 2013 7,925,161 8,105,270 4,000,000 6.625% due November 15, 2013 3,976,949 4,052,635 400,000 6.50% due September 01, 2014 417,167 416,464 2,950,000 8.625% due September 15, 2015 2,919,739 3,078,933 6,600,000 5.75% due May 15, 2016 6,323,097 6,233,486 6,250,000 8.75% due March 15, 2017 6,672,237 6,554,984 International Wire Group Inc. (USD) 5,000,000 9.75% due April 15, 2015 4,945,710 5,123,070 Jabil Circuit Inc. (USD) 14,430,000 7.75% due July 15, 2016 15,683,273 16,383,082 1,700,000 Callable 8.25% due March 15, 2018 1,626,899 1,995,006 Jarden Corporation (USD) 7,650,000 Callable 7.50% due May 01, 2017 7,048,674 8,256,989 Lamar Media Corp. (USD) 1,500,000 Callable 6.625% due August 15, 2015 1,362,199 1,556,650 3,785,000 6.625% due August 15, 2015 3,653,810 3,921,523 1,250,000 7.875% due April 15, 2018 1,253,500 1,349,181 Landry’s Restaurants Inc. (USD) 5,500,000 11.625% due December 01, 2015 5,745,495 5,894,395 Levi Strauss & Co. (EUR) 2,350,000 7.75% due May 15, 2018 2,912,065 2,857,810 Levi Strauss & Co. (USD) 7,000,000 Callable 8.875% due April 01, 2016 6,926,828 7,412,860 13,200,000 7.625% due May 15, 2020 13,029,332 13,726,519 Limited Brands Inc. (USD) 2,000,000 Callable 6.625% due April 01, 2021 2,024,564 2,158,690 Lyondell Chemical Company (USD) 336,000 Callable 8.00% due November 01, 2017 378,333 373,779 The Manitowoc Company Inc. (USD) 18,000,000 Callable 7.125% due November 01, 2013 16,246,099 18,374,321 3,000,000 8.50% due November 01, 2020 2,988,784 3,218,943 Media General Inc. (USD) 8,000,000 Callable 11.75% due February 15, 2017 8,265,013 7,779,430 MEMC Electronic Materials Inc. (USD) 4,955,000 Callable 7.75% due April 01, 2019 4,621,964 3,645,322 MetroPCS Wireless Inc. (USD) 9,000,000 7.875% due September 01, 2018 9,340,398 9,290,258 12,483,000 6.625% due November 15, 2020 12,149,529 11,852,835 MGM Resorts International (USD) 500,000 Callable 11.125% due May 15, 2013 551,925 580,403 3,000,000 10.375% due May 15, 2014 3,334,183 3,490,052 Navistar International Corporation (USD) 500,000 Callable 8.25% due November 01, 2021 537,686 541,582 Neenah Foundry Company (USD) 980,000 15.00% due July 29, 2015 949,254 987,906 $ $ Par Value Description Cost Fair Value TD High Yield Bond Fund The New York Times Company (USD) 2,070,000 Callable 5.00% due March 15, 2015 1,597,849 2,086,700 Nextel Communications Inc. (USD) 4,950,000 Callable 6.875% due October 31, 2013 4,908,154 5,015,136 3,650,000 7.375% due August 01, 2015 3,480,418 3,400,700 NRG Energy Inc. (USD) 17,500,000 Callable 7.625% due January 15, 2018 17,496,396 17,819,375 13,700,000 7.625% due May 15, 2019 13,172,228 13,671,025 Pilgrim’s Pride Corporation (USD) 7,500,000 7.875% due December 15, 2018 7,389,570 7,178,663 Pregis Corporation (USD) 5,000,000 Callable 12.375% due October 15, 2013 5,807,231 4,862,144 Quiksilver Inc. (USD) 15,000,000 Callable 6.875% due April 15, 2015 12,984,117 14,185,495 Qwest Communications International Inc. (USD) 10,800,000 Callable 7.50% due February 15, 2014 11,229,691 11,038,559 R.R. Donnelley & Sons Company (USD) 11,450,000 Callable 8.60% due August 15, 2016 11,487,806 11,673,536 3,550,000 Callable 6.125% due January 15, 2017 3,130,220 3,361,752 3,170,000 7.25% due May 15, 2018 3,083,301 3,131,017 2,250,000 Callable 11.25% due February 01, 2019 2,646,746 2,497,258 1,200,000 7.625% due June 15, 2020 1,088,505 1,142,477 RailAmerica Inc. (USD) 1,600,000 9.25% due July 01, 2017 1,739,122 1,779,901 RathGibson Inc. (USD) 8,771,740 Callable 11.25% due February 15, 2014 10,076,321 893 Reichhold Industries Inc. (USD) 4,500,000 Callable 9.00% due August 15, 2014 5,015,783 2,428,526 Reliance Intermediate Holdings LP (USD) 2,000,000 Callable 9.50% due December 15, 2019 2,063,297 2,158,690 Reynolds Group Issuer Inc. (USD) 2,775,000 7.125% due April 15, 2019 2,680,070 2,875,093 750,000 9.00% due April 15, 2019 758,100 725,503 RSC Equipment Rental Inc. (USD) 3,244,000 Callable 9.50% due December 01, 2014 2,839,449 3,394,041 Sears Holdings Corporation (USD) 27,800,000 Callable 6.625% due October 15, 2018 26,131,718 21,513,586 Solo Cup Company (USD) 100,000 Callable 10.50% due November 01, 2013 112,842 103,352 7,695,000 Callable 8.50% due February 15, 2014 7,807,027 7,208,599 Spirit Aerosystems Inc. (USD) 750,000 7.50% due October 01, 2017 798,888 828,601 Sprint Nextel Corporation (USD) 13,305,000 Callable 6.00% due December 01, 2016 11,594,162 11,244,687 12,600,000 Callable 8.375% due August 15, 2017 12,199,624 11,498,843 3,250,000 9.00% due November 15, 2018 3,329,455 3,475,605 2,000,000 11.50% due November 15, 2021 1,985,553 1,958,441 Steel Dynamics Inc. (USD) 6,400,000 7.375% due November 01, 2012 6,455,128 6,785,618 1,553,000 6.75% due April 01, 2015 1,581,137 1,616,922 1,400,000 Callable 7.75% due April 15, 2016 1,447,035 1,486,136 1,000,000 7.625% due March 15, 2020 1,066,237 1,074,254 SunGard Data Systems Inc. (USD) 1,500,000 7.375% due November 15, 2018 1,411,139 1,563,650 Swift Services Holdings Inc. (USD) 4,000,000 Callable 10.00% due November 15, 2018 4,016,200 4,286,833 Terex Corporation (USD) 5,000,000 Callable 10.875% due June 01, 2016 5,329,541 5,625,831 10,000,000 Callable 8.00% due November 15, 2017 9,859,069 9,978,850 $ $ Par Value Description Cost Fair Value The accompanying notes are an integral part of these financial statements. 9 [...]... activity in the market for those securities The accompanying notes are an integral part of these financial statements December 31, 2011 13 Annual Financial Report n Notes to Financial Statements 1 The Fund The TD Mutual Fund Trusts (collectively, the Funds or individually, the “Fund”) are open-ended mutual funds established under the laws of Ontario and are governed by the Amended, Consolidated and... Dollar Swedish Krona Singapore Dollar United States Dollar Annual Financial Report TD Mutual Funds are managed by TD Asset Management Inc (TDAM), a wholly-owned subsidiary of The Toronto-Dominion Bank (TD Bank) and are available through authorized dealers Commissions, trailing commissions, management fees and expenses all may be associated with mutual fund investments Please read the prospectus, which... Fund that invests in underlying mutual funds is exposed to indirect currency risk in the event that the underlying mutual funds invest in financial instruments that are denominated in a currency other than the underlying mutual funds functional currency A Fund’s exposure to currency risk, where significant, is disclosed in section (G) of the Supplementary Schedules in the Financial Statements The Fund’s... by the broker The trade will fail if either party fails to meet its obligation The underlying mutual funds, where applicable, are exposed to indirect credit risk in the event that the underlying mutual funds invest in debt securities and derivatives December 31, 2011 20 Annual Financial Report n Notes to Financial Statements (B) Classification of Fair Value Measurement 9 Prior Period Comparatives The... LIABILITIES The Fund’s own credit risk (in the case of financial liabilities) and a counter-party’s credit risk (in the case of financial assets) are considered, where applicable, in determining the fair value of financial assets and financial liabilities, including derivative instruments December 31, 2011 17 Annual Financial Report n Notes to Financial Statements 3 Unitholders’ Equity 5 Other Related... are an integral part of these financial statements December 31, 2011 11 Annual Financial Report n TD High Yield Bond Fund (E) Schedule of Tax Loss Carry Forwards (in 000s) as at December 31, 2011 (Note 7) Financial Statements – Supplementary Schedules (A) The Fund (Note 1) (I) The Fund start date was June 29, 1998 Capital Losses $ Non-Capital Losses (by year of expiry) (II) TDAM is the manager, portfolio... derived from prices); and Level 3 Inputs that are not based on observable market data (that is, unobservable inputs) 10 Other Reports If applicable, the most recent financial statements of the underlying funds are available, without charge, by writing to: TD Mutual Funds c/o TD Asset Management Inc P.O Box 100 66 Wellington Street West Toronto-Dominion Bank Tower Toronto-Dominion Centre Toronto, Ontario... incur these transaction costs December 31, 2011 16 Annual Financial Report n Notes to Financial Statements (VII) INCREASE (DECREASE) IN NET ASSETS FROM INVESTMENT OPERATIONS PER UNIT Future Accounting Change – Transition to International Financial Reporting Standards (“IFRS”) The Increase (Decrease) in Net Assets from Investment Operations Per Unit reported in the Statements of Investment Operations... Fund start date as indicated in section (A) of the Supplementary Schedules in the Financial Statements is the date the Fund commenced operations or in the case of a series, the dates the series were first offered and not their inception dates December 31, 2011 14 Annual Financial Report n Notes to Financial Statements (e) TDAM uses fair value pricing when the market value of a security held in the Fund... non-monetary instruments, where applicable (II) SOFT DOLLARS Not applicable for the Fund The accompanying notes are an integral part of these financial statements December 31, 2011 12 Annual Financial Report TD High Yield Bond Fund Supplementary Schedules to Financial Statements (continued) (III) OTHER PRICE RISK (VI) RECONCILIATION OF LEVEL 3 FAIR VALUE MEASUREMENTS (in 000s) Not applicable for the . 31, 2011 TD Mutual Funds Annual Financial Report TD High Yield Bond Fund December 31, 2011 Annual Financial Report n Management’s Responsibility for Financial Reporting The accompanying financial. Funds ) TD Canadian T-Bill Fund TD Canadian Money Market Fund TD Premium Money Market Fund TD U.S. Money Market Fund TD Ultra Short Term Bond Fund TD Short Term Bond Fund TD Mortgage Fund TD. Growth Fund TD European Growth Fund TD Japanese Growth Fund TD Asian Growth Fund TD Pacific Rim Fund TD Emerging Markets Fund TD Latin American Growth Fund TD Resource Fund TD Energy Fund TD Precious