Interim Financial Statements the Accompanying Interim Financial Statements Have Not Been Reviewed by the External Auditors of the Funds

MANAGEMENT’S RESPONSIBILITY FOR FINANCIAL REPORTING

The accompanying financial statements have been prepared by RBC Global Asset Management Inc. (“RBC GAM”) as manager of the RBC GAM Investment Funds (the “Funds”) and approved by the Board of Directors of RBC GAM. We are responsible for the information contained within the financial statements.

We have maintained appropriate procedures and controls to ensure that timely and reliable financial information is produced. The financial statements have been prepared in compliance with International Financial Reporting Standards (“IFRS”) (and they include certain amounts that are based on estimates and judgments). The significant accounting policies, which we believe are appropriate for the Funds, are described in Note 3 to the financial statements.

Damon G. Williams, FSA, FCIA, CFA Heidi Johnston, CPA, CA Chief Executive Officer Chief Financial Officer RBC Global Asset Management Inc. RBC GAM Funds August 9, 2021

Unaudited Interim Financial Statements The accompanying interim financial statements have not been reviewed by the external auditors of the Funds. The external auditors will be auditing the annual financial statements of the Funds in accordance with Canadian generally accepted auditing standards. 2021 INTERIM FINANCIAL STATEMENTS

SCHEDULE OF INVESTMENT PORTFOLIO (unaudited) (in $000s) PHILLIPS, HAGER & NORTH VINTAGE FUND

June 30, 2021

Fair % of Net Fair % of Net Holdings Security Cost Value Assets Holdings Security Cost Value Assets CANADIAN EQUITIES Health Care Communication Services 22 210 Bausch Health Co. Inc. $ 499 $ 808 24 370 Quebecor Inc., Class B $ 405 $ 806 42 606 dentalcorp Holdings Ltd. 596 701 10 170 Rogers Communications Inc., 1 095 1 509 1.7 Class B 605 670 Industrials 59 910 Shaw Communications Inc., 37 876 Badger Infrastructure Solution 937 1 425 Class B 1 522 2 151 151 805 Blackline Safety Corp. 464 1 361 2 532 3 627 4.1 6 130 Boyd Group Services Inc. 683 1 383 Consumer Discretionary 34 790 CAE Inc. 723 1 328 29 930 Aritzia Inc. 426 1 110 15 840 Canadian National Railway Co. 1 858 2 072 4 360 BRP Inc. 113 423 20 490 Canadian Pacific Railway Ltd. 1 261 1 953 16 330 Dollarama Inc. 428 927 15 550 K-Bro Linen Inc. 542 674 9 880 Gildan Activewear Inc., Class A 345 452 10 958 LifeWorks Inc. 295 366 15 080 Sleep Country Canada Holdings Inc. 272 447 13 580 Richelieu Hardware Ltd. 275 545 1 584 3 359 3.7 17 760 Russel Metals Inc. 290 602 Consumer Staples 45 360 SNC-Lavalin Group Inc. 1 525 1 463 32 450 Alimentation Couche-Tard Inc. 750 1 478 20 230 Stantec Inc. 773 1 119 8 670 Jamieson Wellness Inc. 146 293 2 922 Thomson Reuters Corp. 175 360 1 807 Lassonde Industries Inc. 438 313 4 360 Toromont Industries Ltd. 261 471 21 630 Maple Leaf Foods Inc. 504 557 3 943 WSP Global Inc. 471 571 38 040 Mav Beauty Brands Inc. 532 181 10 533 15 693 17.6 2 984 Premium Brands Holdings Corp. 283 376 Information Technology 2 653 3 198 3.6 8 840 CGI Inc. 576 994 Energy 1 020 Constellation Software Inc. 1 299 1 915 48 721 ARC Resources Ltd. 515 513 10 770 Enghouse Systems Ltd. 611 594 34 910 Canadian Natural Resources Ltd. 1 211 1 570 9 130 Kinaxis Inc. 773 1 489 97 580 Cenovus Energy Inc. 840 1 157 6 470 Nuvei Corp. 222 656 79 290 Enbridge Inc. 3 584 3 935 10 526 Open Text Corp. 495 663 29 825 Keyera Corp. 771 993 22 682 TELUS International CDA Inc. 779 873 50 630 Secure Energy Services Inc. 471 213 4 755 7 184 8.0 42 590 Suncor Energy Inc. 1 318 1 264 Materials 22 820 TC Energy Corp. 1 355 1 400 7 090 Agnico Eagle Mines Ltd. 483 531 15 800 Tourmaline Oil Corp. 329 560 39 070 Barrick Gold Corp. 1 160 1 002 10 394 11 605 13.0 5 590 CCL Industries, Class B 220 382 Financials 31 120 First Quantum Minerals Ltd. 375 889 22 010 Bank of Montreal 2 193 2 797 7 040 Franco-Nevada Corp. 555 1 266 47 430 Bank of Nova Scotia 3 106 3 824 11 770 Kirkland Lake Gold Ltd. 679 562 56 885 Brookfield Asset Management Inc., 14 920 Nutrien Ltd. 682 1 121 Class A 1 914 3 597 16 439 Stella-Jones Inc. 658 734 392 Brookfield Asset Management 19 800 Teck Resources Ltd., Class B 558 565 Reinsurance Partners Ltd. 27 20 5 370 7 052 7.9 19 400 Canadian Imperial Real Estate Bank of Commerce 2 045 2 738 9 130 Altus Group Ltd. 275 525 95 830 Element Fleet Management Corp. 787 1 386 4 980 Colliers International Group Inc. 422 691 7 415 Intact Financial Corp. 930 1 249 9 570 Mainstreet Equity Corp. 356 989 63 240 Manulife Financial Corporation 1 348 1 543 27 830 Real Matters Inc. 153 498 43 930 Royal Bank of Canada* 3 600 5 517 65 565 Tricon Residential Inc. 692 935 12 550 Sun Life Financial Inc. 666 802 1 898 3 638 4.1 276 700 The Westaim Corp. 835 739 57 270 Toronto-Dominion Bank 3 172 4 975 20 623 29 187 32.7

The accompanying notes are an integral part of the financial statements. SCHEDULE OF INVESTMENT PORTFOLIO (unaudited) (in $000s) PHILLIPS, HAGER & NORTH VINTAGE FUND

June 30, 2021

Fair % of Net Holdings Security Cost Value Assets Utilities 17 602 Brookfield Infrastructure Partners LP $ 947 $ 1 211 16 970 Emera Inc. 903 954 1 850 2 165 2.4 TOTAL CANADIAN EQUITIES 63 287 88 217 98.8 SHORT-TERM INVESTMENTS† 850 850 0.9 TOTAL INVESTMENTS $ 64 137 89 067 99.7 OTHER NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 264 0.3 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 89 331 100.0

* Investment in related party (see note 8 in the generic notes). † Short-term investments, which may be made up of treasury bills, commercial paper, term deposits and discount notes, earn interest at rates ranging from 0.14% to 0.23% and mature between July 7, 2021 and July 23, 2021.

The accompanying notes are an integral part of the financial statements. FINANCIAL STATEMENTS (unaudited) PHILLIPS, HAGER & NORTH VINTAGE FUND

Statements of Financial Position (unaudited) Statements of Comprehensive Income (unaudited) (in $000s except per unit amounts) (in $000s except per unit amounts)

June 30 December 31 For the periods ended June 30 (see note 2 in the generic notes) 2021 2020 (see note 2 in the generic notes) 2021 2020 ASSETS INCOME (see note 3 in the generic notes) Investments at fair value $ 89 067 $ 71 062 Dividends $ 1 029 $ 898 Cash 133 105 Interest for distribution purposes 1 5 Due from investment dealers – 47 Income from investment trusts – 5 Subscriptions receivable 122 1 Net realized gain (loss) on investments 2 655 (369) Dividends receivable, interest accrued Change in unrealized gain (loss) on investments 10 616 (5 517) and other assets 121 110 TOTAL NET GAIN (LOSS) ON TOTAL ASSETS 89 443 71 325 INVESTMENTS AND DERIVATIVES 14 301 (4 978) LIABILITIES Securities lending revenue Due to investment dealers – 34 (see note 7 in the generic notes) – 1 Redemptions payable 75 108 TOTAL OTHER INCOME (LOSS) – 1 Accounts payable and accrued expenses 37 33 TOTAL INCOME (LOSS) 14 301 (4 977) TOTAL LIABILITIES EXCLUDING NET ASSETS EXPENSES (see notes – Fund Specific Information) ATTRIBUTABLE TO HOLDERS OF Management fees 165 134 REDEEMABLE UNITS 112 175 Administration fees 28 22 NET ASSETS ATTRIBUTABLE TO HOLDERS Independent Review Committee costs 1 1 OF REDEEMABLE UNITS (“NAV”) $ 89 331 $ 71 150 GST/HST 15 12 Transaction costs 15 20 Investments at cost $ 64 137 $ 56 748 TOTAL EXPENSES 224 189 INCREASE (DECREASE) IN NAV $ 14 077 $ (5 166) NAV INCREASE (DECREASE) IN NAV SERIES A $ 1 067 $ 810 SERIES A $ 152 $ (32) ADVISOR SERIES $ – $ – ADVISOR SERIES $ – $ (40) SERIES D $ 29 791 $ 24 922 SERIES D $ 4 678 $ (2 193) SERIES F $ 2 797 $ 1 003 SERIES F $ 272 $ (82) SERIES O $ 55 676 $ 44 415 SERIES O $ 8 975 $ (2 819) NAV PER UNIT INCREASE (DECREASE) IN NAV PER UNIT SERIES A $ 41.25 $ 34.86 SERIES A $ 6.32 $ (2.79) ADVISOR SERIES $ – $ – ADVISOR SERIES $ – $ (3.27) SERIES D $ 43.19 $ 36.34 SERIES D $ 6.84 $ (3.06) SERIES F $ 44.99 $ 37.81 SERIES F $ 6.74 $ (3.15) SERIES O $ 47.20 $ 39.48 SERIES O $ 7.72 $ (2.78)

The accompanying notes are an integral part of these financial statements. FINANCIAL STATEMENTS (unaudited) PHILLIPS, HAGER & NORTH VINTAGE FUND

Statements of Cash Flow (unaudited) (in $000s)

For the periods ended June 30 (see note 2 in the generic notes) 2021 2020 CASH FLOWS FROM OPERATING ACTIVITIES Increase (decrease) in NAV $ 14 077 $ (5 166) ADJUSTMENTS TO RECONCILE NET CASH PROVIDED BY (USED IN) OPERATIONS Interest for distribution purposes – – Non-cash dividends (27) – Non-cash distributions from underlying funds – – Net realized loss (gain) on investments (2 655) 369 Change in unrealized loss (gain) on investments (10 616) 5 517 (Increase) decrease in accrued receivables (11) (21) Increase (decrease) in accrued payables 4 (4) (Increase) decrease in margin accounts – – Cost of investments purchased* (27 830) (24 160) Proceeds from sale and maturity of investments* 23 136 21 706 NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES (3 922) (1 759) CASH FLOWS FROM FINANCING ACTIVITIES Proceeds from issue of redeemable units* 7 818 7 515 Cash paid on redemption of redeemable units* (3 868) (5 768) Distributions paid to holders of redeemable units – – NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES $ 3 950 $ 1 747 Net increase (decrease) in cash for the period 28 (12) Cash (bank overdraft), beginning of period 105 99 CASH (BANK OVERDRAFT), END OF PERIOD $ 133 $ 87

Interest received (paid)† $ 1 $ 5 Income from investment trusts received (paid)†‡ $ – $ 5 Dividends received (paid)†‡ $ 991 $ 876

* Excludes in-kind transactions. † Classified as part of operating activities. ‡ Net of withholding taxes, if applicable.

The accompanying notes are an integral part of these financial statements. FINANCIAL STATEMENTS (unaudited) PHILLIPS, HAGER & NORTH VINTAGE FUND

Statements of Changes in NAV (unaudited) (in $000s)

For the periods ended June 30 Series A Advisor Series Series D Series F (see note 2 in the generic notes) 2021 2020 2021 2020 2021 2020 2021 2020 NAV AT BEGINNING OF PERIOD $ 810 $ 439 $ – $ 402 $ 24 922 $ 25 182 $ 1 003 $ 1 046 INCREASE (DECREASE) IN NAV 152 (32) – (40) 4 678 (2 193) 272 (82) Early redemption fees – – – – – – – – Proceeds from redeemable units issued 156 28 – 22 1 540 1 211 1 633 143 Reinvestments of distributions to holders of redeemable units – – – – – – – – Redemption of redeemable units (51) (112) – (54) (1 349) (1 883) (111) (200) NET INCREASE (DECREASE) FROM REDEEMABLE UNIT TRANSACTIONS 105 (84) – (32) 191 (672) 1 522 (57) Distributions from net income – – – – – – – – Distributions from net gains – – – – – – – – Distributions from capital – – – – – – – – TOTAL DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS – – – – – – – – NET INCREASE (DECREASE) IN NAV 257 (116) – (72) 4 869 (2 865) 1 794 (139) NAV AT END OF PERIOD $ 1 067 $ 323 $ – $ 330 $ 29 791 $ 22 317 $ 2 797 $ 907

For the periods ended June 30 Series O Total (see note 2 in the generic notes) 2021 2020 2021 2020 NAV AT BEGINNING OF PERIOD $ 44 415 $ 37 019 $ 71 150 $ 64 088 INCREASE (DECREASE) IN NAV 8 975 (2 819) 14 077 (5 166) Early redemption fees – – – – Proceeds from redeemable units issued 4 700 6 226 8 029 7 630 Reinvestments of distributions to holders of redeemable units – – – – Redemption of redeemable units (2 414) (3 737) (3 925) (5 986) NET INCREASE (DECREASE) FROM REDEEMABLE UNIT TRANSACTIONS 2 286 2 489 4 104 1 644 Distributions from net income – – – – Distributions from net gains – – – – Distributions from capital – – – – TOTAL DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS – – – – NET INCREASE (DECREASE) IN NAV 11 261 (330) 18 181 (3 522) NAV AT END OF PERIOD $ 55 676 $ 36 689 $ 89 331 $ 60 566

The accompanying notes are an integral part of these financial statements. NOTES TO FINANCIAL STATEMENTS – FUND SPECIFIC INFORMATION (unaudited) PHILLIPS, HAGER & NORTH VINTAGE FUND

June 30, 2021

Effective June 26, 2020, Advisor Series units were capped and Fair value hierarchy ($000s except % amounts) were re-designated as Series A units effective August 4, 2020. (see note 3 in the generic notes) The following is a summary of the inputs used as of General information (see note 1 in the generic notes) June 30, 2021 and December 31, 2020. The investment objective of the Fund is to provide investors with long-term capital growth and dividend income by June 30, 2021 Level 1 Level 2 Level 3 Total Equities 88 217 – – 88 217 investing primarily in a well-diversified portfolio of Canadian Underlying funds – – – – common stocks listed on the TSX. Fixed-income and debt securities – – – – Financial instrument risk and capital management Short-term investments – 850 – 850 (see note 5 in the generic notes) Derivatives – assets – – – – Concentration risk (%) Derivatives – liabilities – – – – Total financial instruments 88 217 850 – 89 067 The table below summarizes the Fund’s investment exposure % of total portfolio 99.0 1.0 – 100.0 (after consideration of derivative products, if any) as at:

June 30 December 31 Investment mix 2021 2020 December 31, 2020 Level 1 Level 2 Level 3 Total Financials 32.7 32.6 Equities 69 817 420 – 70 237 Industrials 17.6 19.8 Underlying funds – – – – Energy 13.0 10.0 Fixed-income Information Technology 8.0 6.6 and debt securities – – – – Materials 7.9 10.3 Short-term investments – 825 – 825 Real Estate 4.1 4.6 Derivatives – assets – – – – Communication Services 4.1 3.3 Derivatives – liabilities – – – – Consumer Discretionary 3.7 4.3 Total financial instruments 69 817 1 245 – 71 062 Consumer Staples 3.6 4.8 % of total portfolio 98.2 1.8 – 100.0 Utilities 2.4 1.3 For the period ended June 30, 2021, there were transfers of Health Care 1.7 1.1 Cash/Other 1.2 1.3 $420 of financial instruments into Level 1 from Level 2. The Total 100.0 100.0 securities transferred into Level 1 relate to the exchange of restricted-trading, discount-priced securities for listed, Other price risk (% impact on NAV) actively traded equity positions. For the period ended In light of current market volatility related to COVID‑19, December 31, 2020, there were no transfers of financial management has applied 10% for other price risk sensitivity. instruments between Level 1, Level 2 and Level 3.

The table below shows the impact of a 10% change in the Management fees and administration fees broad-based index (noted below) on the Fund’s NAV, using a (see note 8 in the generic notes) 36-month historical correlation of data of the Fund’s return Management fees and administration fees of each series and the index, with all other factors kept constant, as at: of the Fund are payable to RBC GAM and calculated at the June 30 December 31 following annual percentages, before GST/HST, of the daily 2021 2020 NAV of each series of the Fund. S&P/TSX Capped Composite Total Return Index + or - 9.9 + or - 9.9 Management fees Administration fees Since historical correlation may not be representative of Series A 1.85% 0.10% Advisor Series 1.85% 0.10% future correlation, actual results could differ from this Series D 1.10% 0.10% sensitivity analysis and the difference could be material. Series F 0.85% 0.10% Series O n/a* 0.06% * Series O unitholders pay a negotiated management fee directly to RBC GAM for investment-counselling services.

Please see the generic notes at the back of the financial statements. NOTES TO FINANCIAL STATEMENTS – FUND SPECIFIC INFORMATION (unaudited) PHILLIPS, HAGER & NORTH VINTAGE FUND

June 30, 2021

Investments by related parties For the periods ended June 30 (see note 2 in the generic notes) 2021 2020 ($000s except unit amounts) Series O Royal Bank of Canada, or one of its subsidiaries, held the Opening units 1 125 987 following investments in the Fund as at: Issued number of units 112 189 Reinvested number of units – – June 30 December 31 2021 2020 Redeemed number of units (57) (112) Units held Ending number of units 1 180 1 064 Series A 29 29 Series F 29 29 Transaction costs ($000s except %) Series O 31 31 Transaction costs, including brokerage commissions, in Value of all units 4 3 consideration of portfolio transactions for the periods ended: Taxes ($000s) (see note 6 in the generic notes) June 30 June 30 2021 2020 The non-capital and capital losses as at December 31, 2020 $ % $ % for the Fund were approximately: Total transaction costs 15 100 20 100 Related-party brokerage commissions* 3 20 3 15 Capital losses 26 802 Commission arrangements† 2 13 1 5 Non-capital losses – * See note 8 in the generic notes. † Commission arrangements are part of commission amounts paid to dealers. The Fund uses Redeemable units (000s) commission arrangements (formerly known as “soft dollars”) for research and/or order execution goods and services. There is no limitation on the number of units available for issue. Units are purchased and redeemed at the NAV per unit. Securities lending revenue ($000s except %) For the periods ended June 30 (see note 7 in the generic notes) (see note 2 in the generic notes) 2021 2020 Fair value of securities on loan and collateral received as at: Series A Opening units 23 13 June 30 June 30 2021 2020 Issued number of units 4 2 Fair value of securities loaned 848 1 132 Reinvested number of units – – Fair value of collateral received 865 1 155 Redeemed number of units (1) (4) Ending number of units 26 11 The table below provides a reconciliation of the gross revenue Advisor Series Opening units – 12 generated from the securities lending transactions of the Fund Issued number of units – 1 to the securities lending revenue disclosed in the Statements of Reinvested number of units – – Comprehensive Income. Redeemed number of units – (2) Ending number of units – 11 June 30 June 30 2021 2020 Series D $ % $ % Opening units 686 729 Gross revenue – 100 1 100 Issued number of units 38 41 RBC IS (paid) – (25) – (25) Reinvested number of units – – Tax withheld – (5) – – Redeemed number of units (34) (62) Fund revenue – 70 1 75 Ending number of units 690 708 Series F Opening units 27 29 Issued number of units 38 5 Reinvested number of units – – Redeemed number of units (3) (6) Ending number of units 62 28

Please see the generic notes at the back of the financial statements. GENERIC NOTES TO FINANCIAL STATEMENTS (unaudited) (also see Fund Specific Information)

June 30, 2021

1. The Funds Series I units have no sales charges, have lower fees than The Funds (“Fund” or “Funds”) are open-ended mutual Series F units, Series FT5 units and Series FT8 units and fund trusts governed by the laws of the Province of Ontario are only available to investors who invest and maintain or British Columbia. RBC GAM is the manager and portfolio the required minimum balance and who have accounts manager of the Funds and its head office is located at with dealers who have signed a fee-based agreement with 155 Wellington Street West, 22nd Floor, Toronto, Ontario. RBC GAM. RBC GAM is also the trustee of those Funds governed by the Series N units are only available to related funds. laws of the Province of Ontario. These financial statements were approved for issuance by the Board of Directors of Series O units are only available to large private or RBC GAM on August 9, 2021. institutional investors or dealers. No management fees are payable by the Funds in respect to Series O units. The Funds may issue an unlimited number of units in some Unitholders pay a negotiated fee directly to RBC GAM for or all of Series A, Advisor Series, Advisor T5 Series, Series T5, investment-counselling services. Series T8, Series H, Series D, Series DZ, Series F, Series FT5, Series FT8, Series I, Series N and Series O. 2. Financial period

Advisor Series units and Advisor T5 Series units were The information provided in these financial statements and available to all investors through authorized dealers with an notes thereto is as at June 30, 2021 and December 31, 2020, as initial sales charge or low-load sales charge option. Effective applicable, and for the six-month periods ended June 30, 2021 August 4, 2020, such Advisor Series and Advisor T5 Series and June 30, 2020, as applicable, except for Funds or series were re-designated as Series A and Series T5, respectively. established during either period, in which case the information For certain of the Funds, Advisor Series units and Advisor T5 for the Fund, or series, is provided for the period from the start Series units are available with a deferred sales charge option. date as described in the Notes to Financial Statements – Fund Under the initial sales charge option, investors pay a sales Specific Information of the Fund. charge ranging from 0% to 5% of the amount invested. 3. Summary of significant accounting policies Under the deferred sales charge or low-load sales charge These financial statements have been prepared in accordance option, sales charges may be applicable, as described in the with International Financial Reporting Standards (“IFRS”) Simplified Prospectus. and in accordance with International Accounting Standard Series T5 units and Series T8 units have no sales charges and (“IAS”) 34 – Interim Financial Reporting, as issued by the are available to all investors through authorized dealers. International Accounting Standards Board (“IASB”). The significant accounting policies of the Funds are as follows: Series H units have no sales charges, have lower fees than Series A units and are only available to investors who invest Classification and Measurement of Financial Assets, and maintain the required minimum balance through Liabilities and Derivatives Each of the Funds classifies authorized dealers. its investment portfolio based on the business model for managing the portfolio and the contractual cash flow Series D units and Series DZ units have no sales charges characteristics. The investment portfolio of financial assets and have lower fees than Series A units. Series D units and and liabilities is managed and performance is evaluated on Series DZ units may be available to investors who have a fair value basis. The contractual cash flows of the Funds’ accounts with RBC Direct Investing Inc., Phillips, Hager & debt securities that are solely principal and interest are North Investment Funds Ltd. (“PH&N IF”) or certain other neither held for the purpose of collecting contractual cash authorized dealers (primarily discount brokers). flows nor held both for collecting contractual cash flows Series F units, Series FT5 units and Series FT8 units have no and for sale. The collection of contractual cash flows is only sales charges and have lower fees than Series A units. Series F incidental to achieving the Funds’ business model objectives. units, Series FT5 units and Series FT8 units are only available Consequently, all investments are measured at fair value to investors who have fee-based accounts with their dealer. through profit and loss (“FVTPL”). Derivative assets and liabilities are also measured at FVTPL. GENERIC NOTES TO FINANCIAL STATEMENTS (unaudited) (also see Fund Specific Information)

June 30, 2021

The Funds’ obligation for net assets attributable to holders The Funds do not consolidate their investment in underlying of redeemable units represents a financial liability and is funds but account for these investments at fair value. The measured at the redemption amount, which approximates manager has determined that the Funds are investment fair value as of the reporting date. All other financial assets entities in accordance with IFRS 10 Consolidated Financial and liabilities are measured at amortized cost. Statements, since the Funds meet the following criteria:

Offsetting Financial Assets and Liabilities In the normal (i) The Funds obtain capital from one or more investors for course of business, the Funds may enter into various the purpose of providing those investors with investment International Swaps and Derivatives Association master management services, netting agreements or other similar arrangements with (ii) The Funds commit to their investors that their business certain counterparties that allow for related amounts to purpose is to invest funds solely for the returns from be offset in certain circumstances, such as bankruptcy or capital appreciation, investment income or both, and termination of contracts. Offsetting information, where applicable, is presented in the Notes to Financial (iii) The Funds measure and evaluate the performance of Statements – Fund Specific Information. substantially all of their investments on a fair value basis.

Classification of Redeemable Units The Funds have multiple Therefore, the fair value of investments in the underlying features across the different series of the Funds. Consequently, funds is included in the Schedule of Investment Portfolio the Funds’ outstanding redeemable units are classified as and included in “Investments at fair value” in the Funds’ financial liabilities in accordance with the requirements of Statements of Financial Position. The change in fair value IAS 32 Financial Instruments: Presentation. of the investment held in the underlying funds is included in “Change in unrealized gain (loss) on investments” in the Unconsolidated Structured Entities The Funds may invest in Statements of Comprehensive Income. other Funds and exchange-traded funds (“ETFs”) managed by the manager or an affiliate of the manager (“sponsored Certain Funds may invest in mortgage-related or other funds”) and may invest in other funds and ETFs managed asset-backed securities. These securities include commercial by unaffiliated entities (“unsponsored funds”); collectively, mortgage-backed securities, asset-backed securities, “underlying funds.” The underlying funds are determined to collateralized debt obligations and other securities that be unconsolidated structured entities, as decision making directly or indirectly represent a participation in, or are in the underlying fund is not governed by the voting rights securitized by and payable from, mortgage loans on real or other similar rights held by the Fund. The investments property. Mortgage-related securities are created from in underlying funds are subject to the terms and conditions pools of residential or commercial mortgage loans while of the offering documents of the respective underlying asset-backed securities are created from many types of funds and are susceptible to market price risk arising from assets, including auto loans, credit card receivables, home uncertainties about future values of those underlying funds. equity loans and student loans. The Funds account for these The underlying funds’ objectives are generally to achieve investments at fair value. The fair value of such securities, as long-term capital appreciation and/or current income by disclosed in the Schedule of Investment Portfolio, represents investing in a portfolio of securities and other funds in line the maximum exposure to losses at that date. with each of their documented investment strategies. The Determination of Fair Value The fair value of a financial underlying funds apply various investment strategies to instrument is the amount at which the financial instrument accomplish their respective investment objectives. could be exchanged in an arm’s-length transaction between The underlying funds finance their operations by issuing knowledgeable and willing parties under no compulsion to redeemable units which are puttable at the unitholder’s act. In determining fair value, a three-tier hierarchy based on option, and entitle the unitholder to a proportional stake in inputs is used to value the Funds’ financial instruments. the respective underlying funds’ NAV. The hierarchy of inputs is summarized below: GENERIC NOTES TO FINANCIAL STATEMENTS (unaudited) (also see Fund Specific Information)

June 30, 2021

Level 1 – quoted prices (unadjusted) in active markets for Options purchased and options written (sold) are recorded identical assets or liabilities; as