Semi-Annual Financial Statements

Trident Performance Corp.

Trident Performance Corp. II

Trident Performance Trust

Semi-Annual Financial Statementsas at June 30, 2011

2011

Table of ContentsTRIDENT PERFORMANCE CORP.

Financial StatementsStatement of Investment Portfolio ....................... 1Statements of Net Assets ..................................... 3Statements of Operations and Retained Earnings (Deficit) ............................... 4Statements of Changes in Net Assets .................. 5Statements of Cash Flows ................................... 6Corporation Specific Financial Instruments Risks .............................................. 7

TRIDENT PERFORMANCE CORP. II

Financial StatementsStatement of Investment Portfolio ....................... 8Statements of Net Assets ..................................... 10Statements of Operations and Retained Earnings (Deficit) ............................... 11Statements of Changes in Net Assets .................. 12Statements of Cash Flows ................................... 12Corporation Specific Financial Instruments Risks .............................................. 13

TRIDENT PERFORMANCE TRUST

Financial StatementsStatement of Investment Portfolio ....................... 14Statements of Net Assets ..................................... 22Statements of Operations and Retained Earnings (Deficit) ............................... 23Statements of Changes in Net Assets .................. 24Statements of Cash Flows ................................... 25Trust Specific Financial Instruments Risks .............................................. 26

Notes to the Financial Statements ....................... 30Corporations and Trust Information .................... 42

CI Investments Inc., the Manager of the Corporations and the Trust, appoints independent auditors to audit the Corporations’

and the Trust’s Annual Financial Statements. Under Canadian securities laws (National Instrument 81-106), if an auditor has not

reviewed the Semi-Annual Financial Statements, this must be disclosed in an accompanying notice.

The Corporations’ and the Trust’s independent auditors have not performed a review of these Semi-Annual Financial Statements

in accordance with standards established by the Canadian Institute of Chartered Accountants.

1Semi-Annual Financial Statements as at June 30, 2011

Average Fair Number of Shares Description Cost ($) Value ($) Equities Subject to Forward Contract (73.1%) 63,912 Celtic Exploration Ltd.* 1,065,827 1,361,965 55,679 Detour Gold Corp.* 1,749,991 1,554,558 69,334 Dundee Corp., Class A* 1,749,990 1,754,844 60,000 FirstService Corp.* 1,287,000 1,998,000 12,000 Flint Energy Services Ltd.* 134,640 166,800 10,000 CGI Group Inc.* 95,200 238,000 145,470 Harry Winston Diamond Corp.* 1,750,004 2,328,975 68,186 Kirkland Lake Gold Inc.* 1,016,653 1,032,336 104,478 Legacy Oil & Gas Inc.* 1,750,007 1,222,393 4,000 Open Text Corp.* 177,320 246,360 40,000 Osisko Mining Corp.* 582,000 598,000 69,638 Petrobank Energy & Resources Ltd.* 1,750,003 985,378 4,366 Precision Drilling Corp.* 63,831 60,294 123,762 Quadra FNX Mining Ltd.* 1,749,995 1,772,272 16,194 Research In Motion Ltd.* 1,703,123 450,355 95,000 SEMAFO Inc.* 1,135,250 699,200 12,000 Stantec Inc.* 315,960 334,920 70,879 Tourmaline Oil Corp.* 1,750,003 2,268,128 70,551 Transglobe Energy Corp.* 1,016,640 774,650

Commissions and other Portfolio Transaction Costs –

Total Equities Subject to Forward Contract (73.1%) 20,843,437 19,847,428 DERIVATIVE INSTRUMENTS Forward Contract (25.0%) (see Schedule A) 6,775,806 Total Investments (98.1%) 20,843,437 26,623,234 Other Assets (net) (1.9%) 529,252 Net Assets (100.0%) 27,152,486

Statement of Investment Portfolio (as at June 30, 2011)

* Securities sold forward as part of the Forward Contract Agreement. Percentages shown in brackets relate investments at fair value to net assets of the Corporation. The accompanying notes are an integral part of these financial statements.

TRIDENT PERFORMANCE CORP.

Financial Statements (unaudited)

2 Semi-Annual Financial Statements as at June 30, 2011

Schedule A

Forward Contract (25.0%) Investments sold forward Fair Value ($)

Celtic Exploration Ltd. (1,363,243)

Detour Gold Corp. (1,556,228)

Dundee Corp., Class A (1,757,617)

FirstService Corp. (2,003,400)

Flint Energy Services Ltd. (167,280)

CGI Group Inc. (238,100)

Harry Winston Diamond Corp. (2,330,429)

Kirkland Lake Gold Inc. (1,036,427)

Legacy Oil & Gas Inc. (1,223,437)

Open Text Corp. (247,320)

Osisko Mining Corp. (599,600)

Petrobank Energy & Resources Ltd. (986,074)

Precision Drilling Corp. (60,469)

Quadra FNX Mining Ltd. (1,772,272)

Research In Motion Ltd. (451,489)

SEMAFO Inc. (702,050)

Stantec Inc. (336,000)

Tourmaline Oil Corp. (2,270,963)

Transglobe Energy Corp. (776,061)

(19,878,459)

Notional Units Underlying Trust Fair Value ($)

2,200,259 Trident Perfomance Trust 26,654,265 Total Forward Contract Value 6,775,806

Settlement Date 31-Dec-13 Credit Rating of the Counterparty‡ A-1+

‡ Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody’s Investors Service, Dominion Bond Rating Services or Canadian Bond Rating Services.

Statement of Investment Portfolio (as at June 30, 2011) (cont’d)

Percentages shown in brackets relate investments at fair value to net assets of the Corporation.The accompanying notes are an integral part of these financial statements.


Financial Statements (unaudited) (cont’d)


ASSETSInvestments at fair value*CashUnrealized gain on forward contractReceivable for securities soldDividends and accrued interest receivable

LIABILITIESUnrealized loss on forward contractManagement fees payableAccrued expenses Payable for securities purchasedPayable for share redemptionsService fees payableSpread fee payableForward fee payableCapital taxes payable

Net assets and shareholders’ equity

SHAREHOLDERS’ EQUITYShare capitalContributed surplusRetained earnings (deficit)Net assets and shareholders’ equity

*Investments at cost

Net assets per class Class AClass F

Net assets per share (basic and diluted) (Note 9)Class A (basic)Class A (diluted)Class F (basic)Class F (diluted)

Number of shares outstanding (Note 3) Class AClass F

Statements of Net Assets (in $000’s except for per share amounts and number of shares outstanding)

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



As at June 30, 2011

19,847 698

6,776 ––

27,321

– 6

10 ––

26 –

11 116

169

27,152

25,062 –

2,090 27,152

20,843

26,268 884

10.52 –

10.91 –

2,496,230 81,000

As at December 31, 2010

11,570226

9,155 118

–21,069

–55–

7,590239–

1167,748

13,321

10,460–

2,86113,321

10,702

12,894427

11.8710.6512.9410.77

1,085,95333,000


Statements of Operations and Retained Earnings (Deficit) (in $000’s except for per share amounts)




INVESTMENT INCOMEDividendsInterest Derivative income (loss)Income distribution from investmentsManagement fee rebateLess: Foreign withholding taxes

EXPENSESRepurchase of warrantsManagement fees (Note 4)Administrative fees (Note 4)Service fees (Note 4)Legal feesAudit feesInterest expense Capital taxesGoods and services tax/Harmonized sales tax (Note 4)

Net investment income (loss) for the period

Realized and unrealized gain (loss) on investments and commissions and other portfolio transaction costs Realized gain (loss) on investmentsForeign exchange gain (loss)Commissions and other portfolio transaction costs Forward fee (Note 4)Change in unrealized appreciation (depreciation) of investments and derivativesNet gain (loss) on investments

Increase (decrease) in net assets from operations

Increase (decrease) in net assets from operations per classClass AClass F

Increase (decrease) in net assets from operations per share (basic and diluted) (Note 2)Class A (basic)Class A (diluted)Class F (basic) Class F (diluted)

STATEMENTS OF RETAINED EARNINGS (DEFICIT)Retained earnings (deficit), beginning of periodIncrease (decrease) in net assets from operations(Excess) deficiency on amounts paid on shares redeemedDividends from incomeDividends from realized gainsRetained earnings (deficit), end of period

Contributed surplus, beginning of period(Excess) deficiency on amounts paid on shares redeemedContributed surplus, end of period

For the periods ended June 302010

–––––––

467 28 26 42

–2–

17 5

587

(587)

8,014 – –

(60) (7,800)

154

(433)

(423) (10)

(0.24) (0.10)(0.25)

(0.06)

5,418 (433) (475)

– –

4,510

–––

2011

–3––––3

–292852

–11–

13124

(121)

3,657––

(55)(4,243)

(641)

(762)

(629)(133)

(0.30)–

(1.95)–

2,861(762)

(9)––

2,090

–––


CLASS ANet assets, beginning of periodCAPITAL TRANSACTIONS Proceeds from shares issued Shares issued upon repurchase of warrants Amounts paid for shares redeemed (Excess) deficiency on amounts paid on shares redeemed

DIVIDENDS TO INVESTORS From realized gains From net income From return of capital

Increase (decrease) in net assets from operationsNet assets, end of period

CLASS FNet assets, beginning of periodCAPITAL TRANSACTIONS Proceeds from shares issued Shares issued upon repurchase of warrants Amounts paid for shares redeemed (Excess) deficiency on amounts paid on shares redeemed



TOTAL CORPORATIONNet assets, beginning of periodCAPITAL TRANSACTIONS Proceeds from shares issued Shares issued upon repurchase of warrants Amounts paid for shares redeemed (Excess) deficiency on amounts paid on shares redeemed



Statements of Changes in Net Assets (in $000’s)





22,099

––

(151) (475) (626)

––––

(423) 21,050

486

–––––

––––

(10) 476

22,585

––

(151) (475) (626)

––––

(433) 21,526

2011

12,894

–14,003

––

14,003

––––

(629)26,268

427

–609(10)(9)

590

––––

(133)884

13,321

–14,612

(10)(9)

14,593

––––

(762)27,152



Statements of Cash Flows (in $000’s)



CASH PROVIDED BY (USED IN) OPERATING ACTIVITIESNet investment income (loss)Proceeds from disposition of investmentsPurchase of investmentsNet change in non-cash balances related to operations

FINANCING ACTIVITIESDividends paidProceeds from shares issuedCost of shares redeemed

Increase (decrease) in cash during the period

Cash (Bank overdraft), beginning of period

Cash (Bank overdraft), end of period


2010

(587) 17,133 (1,100)

(8) 15,438

––

(15,168) (15,168)

270

113

383

2011

(121)11,395

(17,932)9

(6,649)

–14,730(7,609)7,121

472

226

698




Corporation Specific Financial Instruments Risks (Note 13) (unaudited)

The Corporation is exposed to the financial instrument risks’ of the Trident Performance Trust (“the Trust”). The Corporation was created to obtain

exposure to the Global Macroeconomic Portfolio held by the Trust by virtue of the Forward Agreement. By entering into the Forward Agreement

the Corporation eliminated the direct risk exposure to its common share portfolio, and assumed risk exposure of the Trust, as well as credit risk

to the Counterparty of the Forward Agreement in respect of any positive amount of the Forward Contract value. Details of the Trust’s financial

instruments risks exposure can be found in the Trust Specific Financial Instruments Risks in the Trust’s financial statements. As at June 30, 2011,

the credit rating of the Counterparty to the Forward Agreement was A-1+ (December 31, 2010 - A-1+).

Long Positions at fair value as at June 30, 2011

Equities 19,847 – – 19,847 Forward contract, net – 6,776 – 6,776 Total 19,847 6,776 – 26,623

Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s)

Fair Value Hierarchy

The tables below summarize the inputs used by the Corporation in valuing the Corporation’s investments and derivatives carried at fair value.

Long Positions at fair value as at December 31, 2010

Equities 11,570 – – 11,570 Forward contract, net – 9,155 – 9,155 Total 11,570 9,155 – 20,725





Average Fair Number of Shares Description Cost ($) Value ($) Equities Subject to Forward Contract (145.2%) 550,613 Bankers Petroleum Ltd.* 3,589,997 3,788,217 455,100 Celestica Inc.* 3,153,843 3,822,840 217,868 Crew Energy Inc.* 3,474,995 3,261,484 29,204 Detour Gold Corp.* 899,483 815,376 104,768 Dundee Corp., Class A* 2,613,675 2,651,678 66,967 Open Text Corp.* 2,951,236 4,124,498 159,916 Osisko Mining Corp.* 2,325,179 2,390,744 39,573 Petrobank Energy & Resources Ltd.* 899,494 559,958 297,659 Precision Drilling Corp.* 2,083,613 4,110,671 328,754 Quadra FNX Mining Ltd.* 3,589,994 4,707,757 50,174 Research In Motion Ltd.* 2,951,235 1,395,339 34,201 Tourmaline Oil Corp.* 899,486 1,094,432

Commissions and other Portfolio Transaction Costs –

Total Equities Subject to Forward Contract (145.2%) 29,432,229 32,722,994 DERIVATIVE INSTRUMENTS Forward Contract (-52.5%) (see Schedule A) (11,841,833) Total Investments (92.7%) 29,432,229 20,881,161 Other Assets (net) (7.3%) 1,662,048 Net Assets (100.0%) 22,543,209


* Securities sold forward as part of the Forward Contract Agreement. Percentages shown in brackets relate investments at fair value to net assets of the Corporation II. The accompanying notes are an integral part of these financial statements.


Schedule A

Forward Contract (-52.5%) Investments sold forward Fair Value ($)

Bankers Petroleum Ltd. (3,788,217)

Celestica Inc. (3,845,595)

Crew Energy Inc. (3,268,020)

Detour Gold Corp. (816,252)

Dundee Corp., Class A (2,655,869)

Open Text Corp. (4,140,570)

Osisko Mining Corp. (2,397,141)

Petrobank Energy & Resources Ltd. (560,354)

Precision Drilling Corp. (4,122,577)

Quadra FNX Mining Ltd. (4,707,757)

Research In Motion Ltd. (1,398,851)

Tourmaline Oil Corp. (1,095,800)

(32,797,003)

Notional Units Underlying Trust Fair Value ($)

2,271,300 Trident Performance Trust II 20,955,170 Total Forward Contract Value (11,841,833)

Settlement Date 28-Feb.-2018 Credit Rating of the Counterparty‡ A-1

‡ Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody’s Investors Service, Dominion Bond Rating Services or Canadian Bond Rating Services.


Percentages shown in brackets relate investments at fair value to net assets of the Corporation II.The accompanying notes are an integral part of these financial statements.




Statements of Net Assets (in $000’s except for per share amounts and number of shares outstanding)




ASSETSInvestments at fair value*CashUnrealized gain on forward contractReceivable for securities soldIncome tax recoverableDividends and accrued interest receivable

LIABILITIESUnrealized loss on forward contractBank overdraftManagement fees payableAccrued expensesPayable for securities purchasedPayable for share redemptionsService fees payableForward fee payableIncome tax payableCapital taxes payable

Net assets and shareholders’ equity

SHAREHOLDERS’ EQUITYShare capitalContributed surplusRetained earnings (deficit)Net assets and shareholders’ equity

*Investments at cost

Net assets per share (Note 9)Class A

Number of shares outstanding (Note 3) Class A


83,566278

– –

1,648–

85,492

47,008 –9

13–

13,205 38 16

1,64863

62,000

23,492

25,2601,257

(3,025)23,492

50,727

8.70

2,699,032

As at June 30, 2011

32,72370

––

1,647–

34,440

11,842–58––

239

10_

11,897

22,543

25,2601,257

(3,974)22,543

29,432

8.35

2,699,032


Statements of Operations and Retained Earnings (Deficit) (in $000’s except for per share amounts)




INVESTMENT INCOMEDividendsInterest Derivative income (loss)Income distribution from investmentsManagement fee rebateLess: Foreign withholding taxes

EXPENSESManagement fees (Note 4)Administrative fees (Note 4)Interest expenseCustody feesService fees (Note 4)Legal feesAudit feesCapital taxesGoods and services tax/Harmonized sales tax (Note 4)


Realized and unrealized gain (loss) on investments and commissions and other portfolio transaction costs Realized gain (loss) on investmentsForeign exchange gain (loss)Commissions and other portfolio transaction costsForward fee (Note 4)Change in unrealized appreciation (depreciation) of investments and derivativesNet gain (loss) on investments


Increase (decrease) in net assets from operations per share

STATEMENTS OF RETAINED EARNINGS (DEFICIT)Retained earnings (deficit), beginning of periodIncrease (decrease) in net assets from operations(Excess) deficiency on amounts paid on shares redeemedDividends from incomeDividends from realized gainsRetained earnings (deficit), end of period

Contributed surplus, beginning of period(Excess) deficiency on amounts paid on shares redeemedContributed surplus, end of period

2011

–1––––1

3029

––

44–1–

12116

(115)

(6,397)––

(54)5,617(834)

(949)

(0.35)

(3,025)(949)

–––

(3,947)

1,257–

1,257

2010

–––––––

48 46

––

74 –2

27 8

205

(205)

1,131 ––

(95) (757) 279

74

0.01

(1,602) 74

–––

(1,528)

108181

289




CASH PROVIDED BY (USED IN) OPERATING ACTIVITIESNet investment income (loss)Proceeds from sale of investmentsPurchase of investmentsNet change in non-cash balances related to operations

FINANCING ACTIVITIESProceeds from shares issuedCost of shares redeemed




CLASS ANet assets, beginning of periodCAPITAL TRANSACTIONS Proceeds from shares issued Amounts paid for shares redeemed (Excess) deficiency on amounts paid on shares redeemed







2010

39,632

– (1,692)

181 (1,511)

––––

74 38,195

2011

23,492

––––

––––

(949)22,543

2010

(205) 16,502

(13,900) 22

2,419

– (1,663) (1,663)

756

(198)

558

2011

(115)21,830(6,995)(1,724)12,996

–(13,204)(13,204)

(208)

278

70




Corporation II Specific Financial Instruments Risks (unaudited) (Note 13)



The Corporation II is exposed to the financial instrument risks’ of the Trident Performance Trust (“the Trust”). The Corporation II was created

to obtain exposure to the Global Macroeconomic Portfolio held by the Trust by virtue of the Forward Agreement. By entering into the Forward

Agreement the Corporation II eliminated the direct risk exposure to its common share portfolio, and assumed risk exposure of the Trust, as well

as credit risk to the Counterparty of the Forward Agreement in respect of any positive amount of the Forward Contract value. Details of the

Trust’s financial instruments risks exposure can be found in the Trust Specific Financial Instruments Risks in the Trust’s financial statements.

As at June 30, 2011, the credit rating of the Counterparty to the Forward Agreement was A-1 (December 31, 2010 - A-1).


Equities 32,723 – – 32,723 Forward contract, net – (11,842) – (11,842)Total 32,723 (11,842) – 20,881



The tables below summarize the inputs used by the Corporation II in valuing the Corporation II’s investments and derivatives carried at fair value.


Equities 83,566 – – 83,566 Forward contract, net – (47,008) – (47,008)Total 83,566 (47,008) – 36,558



Number of Shares/ Average Fair

Par Value Description Cost ($) Value ($)

LONG POSITIONS (43.2%)

U.S.A. (29.0%)

USD 400,000 3M Co., 4.65% 12/15/2012 427,294 408,850

2,814 Claymore S&P Global Water ETF 66,287 58,893

USD 400,000 ConocoPhillips Co., 6% 01/15/2020 458,036 451,127

63,188 Consumer Staples Select Sector SPDR Fund 1,828,709 1,902,600

USD 600,000 Eli Lilly and Co., 3.55% 03/06/2012 601,470 591,320

1,704 Energy Select Sector SPDR 123,260 123,766

41,999 Health Care Select Sector SPDR Fund 1,344,575 1,437,961

USD 350,000 Hewlett-Packard Co., 4.25% 02/24/2012 357,506 345,686

USD 350,000 IBM International Group Capital LLC 5.05% 10/22/2012 370,338 357,369

5,488 iShares S&P Global Healthcare Sector Index Fund 295,430 307,835

7,734 Johnson & Johnson 483,103 495,729

7,330 Market Vectors Gold Miners ETF 366,407 385,708

17,328 Market Vectors Gold Miners ETF 1,004,032 911,806

3,816 Newmont Mining Corp. 213,021 198,554

USD 600,000 Newmont Mining Corp., 5.125% 10/01/2019 642,984 621,498

USD 217,000 Pfizer Inc., 4.45% 03/15/2012 223,432 215,248

USD 110,000 Pfizer Inc., 5.35% 03/15/2015 139,411 119,614

3,938 PowerShares Water Resources Portfolio ETF 76,183 73,491

21,923 SPDR Gold Trust 2,495,370 3,086,972

USD 600,000 The Coca-Cola Co., 0.75% 11/15/2013 584,317 575,731

21,949 Utilities Select Sector SPDR Fund 701,902 708,305

USD 400,000 Wyeth 5.5% 03/15/2013 432,943 416,180

13,236,010 13,794,243

CANADA (4.5%)

4,800 Barrick Gold Corp. (USD) 211,760 209,710

1,100 EnCana Corp. 36,341 32,670

293 EnCana Corp. (USD) 11,328 8,704

USD 800,000 EnCana Corp., 6.5% 05/15/2019 971,637 906,282

USD 600,000 Suncor Energy Inc., 6.1% 06/01/2018 664,776 658,116

24,218 Viterra Inc. 269,186 252,836

8,000 Yamana Gold Inc. 153,408 89,655

2,318,436 2,157,973

INDIA (2.1%)

USD 1,000,000 State Bank of India, London 4.5% 07/27/2015 1,006,014 990,298

JAPAN (1.5%)

10,000 Bank of Kyoto Ltd. 93,422 88,053

21,810 JX Holdings Inc. 132,163 140,571

21,378 Showa Shell Sekiyu K.K. 190,572 190,545

18,350 Sumitomo Metal Mining Co., Ltd. 324,184 288,861

740,341 708,030


Percentages shown in brackets relate investments at fair value to net assets of the Trust.The accompanying notes are an integral part of these financial statements.






LONG POSITIONS (43.2%) (cont’d)

LUXEMBOURG (1.4%)

USD 600,000 Gazprom Via Gaz Capital SA 8.146% 04/11/2018 682,774 678,664

ISLE OF MAN (1.4%)

USD 600,000 AngloGold Ashanti Holdings Finance PLC 3.5% 05/22/2014 703,970 668,075

BRITISH VIRGIN ISLANDS (1.2%)

USD 600,000 CNOOC Finance 2011 Ltd., 4.25% 01/26/2021 566,219 567,485

UAE DIRHAM (0.7%)

USD 300,000 Emirate of Abu Dhabi 5.5% 04/08/2014 376,038 318,269

CHINA (0.6%)

USD 300,000 CNPC HK Overseas Capital Ltd., 4.5% 04/28/2021 281,714 282,507

FRANCE (0.4%)

3,543 Total SA, ADR 200,420 197,676

NETHERLANDS (0.4%)

USD 200,000 Shell International Finance BV 1.875% 03/25/2013 200,560 197,039

Total Long Positions 20,312,496 20,560,259

SHORT POSITIONS (-17.6%)

U.S.A. (-18.2%)

USD (355,000) City National Corp., 5.125% 02/15/2013 (317,487) (357,944)

(5,400) iShares Dow Jones US Transport Index Fund (497,174) (510,439)

(72,500) iShares MSCI Japan Index Fund (758,134) (729,293)

(11,472) Retail Holders Trust (1,159,077) (1,201,901)

(46,184) SPDR Trust, Series 1 (5,605,968) (5,878,231)

(8,337,840) (8,677,808)

AUSTRALIA (-0.6%)

(5,267) Commonwealth Bank of Australia (248,868) (284,921)

Total Short Positions (8,586,708) (8,962,729)












Commissions and other Portfolio Transaction Costs (19,703)

Total Bonds & Equities (24.4%) 11,706,085 11,597,530

Short-Term Investments (4.4%) 2,131,621 2,106,240

DERIVATIVE INSTRUMENTS

Foreign Currency Forward Contracts (0.6%)

(see Schedule A) 297,068

Futures Contracts (-0.1%)

(see Schedule B) (38,605)

Short Option Contracts (0.0%)

(see Schedule C) (30,476) (15,206)

Long Option Contracts (4.9%)

(see Schedule D) 3,313,041 2,320,835

Interest Rate Swap Contracts (0.3%)

(see Schedule E) – 128,145

Credit Default Swap Contracts (-1.4%)

(see Schedule F) (366,944) (668,266)

Total Investments (33.1%) 16,753,327 15,727,741

Other Assets (net) (66.9%) 31,878,187

Net Assets (100.0%) 47,605,928

Principal amounts stated in:

USD U.S. DOLLAR


Schedule A

Foreign Currency Forward Contracts (0.6%)

Credit Rating of Settlement Contract Unrealized

Contracts Counterparty the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)

1 Goldman, Sachs & Co. A-1 07-Nov-11 1.64 (608,419) British Pound 1,000,001 US $ 24,235

1 Goldman, Sachs & Co. A-1 11-Aug-11 46.85 (45,000,000) Indian Rupee 960,512 US $ (38,685)

1 Goldman, Sachs & Co. A-1 20-Sep-11 81.78 (108,437,303) Japanese Yen 1,325,967 US $ (20,955)

1 Goldman, Sachs & Co. A-1 16-Aug-11 83.39 (80,100,000) Japanese Yen 960,489 US $ (33,532)

1 Goldman, Sachs & Co. A-1 15-Jul-11 28.15 (70,475,000) Russian Ruble 2,503,330 US $ (15,944)

1 Goldman, Sachs & Co. A-1 20-Sep-11 1.28 (1,680,000) Singaporean $ 1,307,902 US $ (57,848)

1 Goldman, Sachs & Co. A-1 16-Aug-11 0.01 (1,011,664) US $ 80,100,000 Japanese Yen (15,808)

1 Goldman, Sachs & Co. A-1 20-Sep-11 0.01 (1,378,559) US $ 108,437,304 Japanese Yen (29,738)

1 Goldman, Sachs & Co. A-1 20-Sep-11 1.27 (1,325,967) US $ 1,680,000 Singaporean $ 40,435

1 Goldman, Sachs & Co. A-1 11-Jul-11 0.98 (30,681,278) US $ 30,000,000 Canadian $ 400,949

1 Goldman, Sachs & Co. A-1 11-Aug-11 46.85 (960,492) US $ 45,000,000 Indian Rupee 38,704

1 Goldman, Sachs & Co. A-1 03-Nov-11 45.90 (1,000,000) US $ 45,900,000 Indian Rupee 5,255

Total Foreign Currency Forward Contracts Value 297,068

‡ Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody’s Investors Service, Dominion Bond Rating Services or

Canadian Bond Rating Services.

Schedule B

Futures Contracts (-0.1%)

Fair

Contract Future Expiry Date Price ($) Country Cost ($) Value ($)

(4) Australian SPI 200 Index Futures 15-Sep-11 4,601.00 Australian $ (472,066) (475,893)

(89) CBOT 10YR US Tresaury-Note Futures 21-Sep-11 122.33 US $ (10,477,551) (10,500,163)

(11) CBOT 5YR US Treseaury-Note Futures 30-Sep-11 119.36 US $ (1,262,729) (1,264,537)

(3) Comex Gold 100 Oz Futures 29-Aug-11 1,502.80 US $ (436,396) (434,813)

5 EUREX Bund Futures 08-Sep-11 125.48 Euro 875,468 877,510

46 MTL 10YR Canadian Bond Futures 21-Sep-11 123.99 Canadian $ 5,707,220 5,703,540

(2) OSA Nikkei 225 Index Futures 09-Sep-11 9,820.00 Japanese Yen (224,984) (235,287)

(6,291,038) (6,329,643)

Exercise Price ($) (6,291,038)

Total Futures Contracts Value (38,605)






Schedule C

Short Option Contracts (0.0%)

No of . Expiry Strike Premium Paid Fair

Contract underlying Interest Underlying Interest Date Price ($) (Received) ($) Value ($)

(68) (6,800) Energy Select Sector SPDR@68 16-Jul-11 68.00 (992) (656)

(69) (6,900) Energy Select Sector SPD@68 30-Sep-11 68.00 (10,496) (9,317)

(300) (30,000) [email protected] Call Opt. 31-Aug-11 132.50 (5,524) (2,937)

(4) (400) Gold @1250 Call Opt. 15-Dec-11 1,250.00 (13,464) (2,297)

Total Short Option Contracts Value (30,476) (15,206)

Schedule D




250,000 25,000,000 2Yr-10Yr Swap Spread Cap@200Bps 05-Jun-12 0.02 95,239 120,044

200,000 20,000,000 2Yr-10Yr Swap Spread Cap@200Bps 19-Feb-13 0.02 43,401 69,174

300,000 30,000,000 2Yr-10Yr Swap Spread Cap@225Bps 06-Dec-12 0.02 92,587 78,492

600,000 60,000,000 2Yr-10Yr Swap Spread Cap@225Bps 13-Nov-12 0.02 164,921 172,942

350,000 35,000,000 2Yr-10Yr Swap Spread Cap@225Bps 21-Jun-12 0.02 118,145 113,034

68 6,800 Energy Select Sector SPDR@78 16-Jul-11 78.00 1,195 1,508

69 6,900 Energy Select Sector SPDR@78 30-Sep-11 78.00 11,280 13,975

30 30,000 [email protected] Call Opt. 31-Aug-11 128.50 27,413 16,784

4 400 Gold@1500 Call Opt. 15-Dec-11 1,500.00 20,041 19,289

4 400 Gold @1575 Call Opt. 07-Oct-11 1,575.00 14,274 9,004

11 1,100 IDIX3 BRL @312000 01-Jul-11 312,000.00 77,505 –

1,080,000,000 108,000,000,000 KRW 2S10S Curve Cap @75Bps Gs 26-Aug-11 0.75 68,342 –

500,000 50,000,000 OTC Opt. 10Yr GBP/EUR@150 Bp Gs 19-Aug-11 1.50 69,932 –

8 800 OTC Opt. JPMCCI Gold Index@1400 11-Jul-11 1,400.00 57,481 79,301

270,000 27,000,000 OTC Swaption [email protected]% 30-Apr-12 0.06 159,182 269,196

180,000 18,000,000 OTC Swaption AUD [email protected]% 10-Nov-11 0.05 83,781 44,420



250,000 25,000,000 OTC Swaption AUD Rec. 18M-Yr [email protected] 09-Feb-12 0.05 67,878 29,194

250,000 25,000,000 OTC Swaption AUD Rec. 2Yr-2Yr [email protected]% 08-Mar-12 0.05 116,361 172,183

290,000 29,000,000 OTC Swaption AUD Rec. 2Yr-2Yr [email protected]% 19-Sep-11 0.05 167,974 163,529

160,000 16,000,000 OTC Swaption AUD Rec. 5Yr [email protected]% 03-Aug-11 0.05 132,393 24,163

6,440,000 644,000,000 OTC Swaption JYP 2Yr-10Yr [email protected] 24-Oct-11 0.03 76,312 32

6,400,000 640,000,000 OTC Swaption JYP 2Yr-10Yr [email protected] 25-Oct-11 0.03 76,681 32

7,500,000 750,000,000 OTC Swaption JYP 2Yr-10Yr [email protected] 15-Oct-12 0.03 48,519 37,083

10,200,000 1,020,000,000 OTC Swaption JYP 2Yr-10Yr [email protected] 07-Nov-11 0.03 151,523 257






Schedule D (cont'd)




550,000,000 55,000,000,000 OTC Swaption KRW REC 15M-2Yr [email protected] 01-Dec-11 0.03 67,122 1,193

1,000,000,000 100,000,000,000 OTC Swaption KRW REC 18M-1Yr [email protected] 17-Feb-12 0.03 76,839 2,396

800,000,000 80,000,000,000 OTC Swaption KRW REC 18M-1Yr [email protected] 28-Feb-12 0.03 80,999 2,271

4,000,000 400,000,000 OTC Swaption NOK [email protected]% 01-Dec-11 0.03 178,797 10,434

6,000,000 600,000,000 OTC Swaption NOK [email protected]% 05-Dec-11 0.03 171,649 16,649

2,550,000 255,000,000 OTC Swaption NOK [email protected]% 09-Mar-12 2.75 70,671 17,128

180,000 18,000,000 OTC Swaption REC 1Yr IRS 27-Jul-11 0.02 41,540 1,848

700,000 70,000,000 OTC Swaption USD 2Yr-30Yr IRS @5.5 26-Oct-11 0.06 64,136 3,092

270,000 27,000,000 OTC Opt. USD Put/CNY [email protected] 12-Aug-11 6.45 121,087 52,762

90,000 9,000,000 OTC Opt. USD Put/INR Call@43 30-Sep-11 43.00 69,267 9,633

60,000 6,000,000 OTC Opt. USD Put/INR Call@44 18-Aug-11 44.00 35,877 10,926

140,000 14,000,000 OTC Opt. USD Put/RUB [email protected] 14-Sep-11 28.50 116,255 381,984

400,000 40,000,000 USD 10Yr-2Yr Spread Cap@150Bps 28-Sep-12 1.50 59,544 302,882

Total Long Option Contracts Value 3,313,041 2,320,835

Schedule E

Interest Rate Swap Contracts (0.3%)

No. Notional Credit Rating of Fair

Contract (Local) Swap Contracts the Counterparty‡ Due Date Price ($) Cost ($) Value($)

240,000,000 (383,606) IRS JPY P- 0.57% CS (Pay Fix) A-1 13-May-16 (0.00) – (4,596)

240,000,000 (328,218) IRS JPY P- 0.5725% CS (Pay Fix) A-1 03-Jun-16 (0.00) – (3,932)

240,000,000 (830,111) IRS JPY P- 0.605% GS (Pay Fix) A-1 06-May-16 (0.00) – (9,945)

240,000,000 (985,689) IRS JPY R- 0.615% GS (Pay Fix) A-1 28-Apr-16 (0.00) – (11,809)

9,500,000 141,870 IRS NOK R- 4.74% (Rcv Fix) A-1 09-May-22 0.01 – 25,366

9,500,000 163,026 IRS NOK R- 4.765% (Rcv Fix) A-1 02-May-22 0.02 – 29,149

9,500,000 168,249 IRS NOK R- 4.79% GS (Rcv Fix) A-1 30-Apr-22 0.02 – 30,083

9,500,000 198,098 IRS NOK R- 4.8275% GS (Rcv Fix) A-1 26-Apr-22 0.02 – 35,420

17,000,000 110,079 IRS SEK R- 3.615% GS (Rec Fix) A-1 21-May-17 0.01 – 16,787

17,000,000 141,791 IRS SEK R- 3.645% (Rec Fix) A-1 21-May-17 0.01 – 21,622

Total Interest Rate Swap Contracts Value – 128,145







Semi-Annual Financial Statements as at June 30, 2011

Schedule F




1,100,000 (4,094) Allianz Se., -1.00% (Pay Cpn) A-1 20-Sep-14 (0.01) (15,329) (21,056)

1,000,000 489 AutoZone Inc., -1% (Pay Cpn) A-1 20-Jun-14 (0.02) (17,941) (17,470)

800,000 11,569 Aviva PLC., 1% Bp Gs A-1 20-Mar-16 0.01 (1,047) 15,134

1,000,000 24,479 Banco Santander SA., 1% (Pay Cpn) A-1 20-Jun-14 0.02 - 23,608

1,200,000 622 Capital One Financial Corp., 1% (Pay Cpn) A-1 20-Jun-14 (0.01) (10,298) (9,698)

750,000 (41,909) Carnival Corp., -1% (Pay Cpn) A-1 20-Sep-14 (0.01) 31,444 (8,976)

500,000 (13,615) Cdx.Na.Ig.Hvol.14-V1., 1% Gs A-1 20-Jun-15 0.00 14,233 1,102

1,000,000 7,453 Accor Sa., 1% Bp Cs A-1 20-Mar-16 0.00 7,966 778

1,100,000 1,577 Ace Ina., 1% Bp Cs A-1 20-Jun-16 (0.00) (3,534) (2,013)

1,200,000 6,148 Aunto Du France., 1% Bp A-1 20-Mar-16 (0.01) (13,209) (7,279)

1,200,000 625 Government of Australia., 1% Sp BAR A-1 20-Mar-16 0.02 24,888 25,491

1,200,000 (1,266) Government of Australia., 1% Sp Cs A-1 20-Mar-16 0.02 26,015 24,794

1,200,000 3,800 Aust&Nz., 1% Bp BAR A-1 20-Mar-16 0.01 5,407 9,072

1,000,000 4,047 Bouygues Sa., 1% Bp Cs A-1 20-Mar-16 (0.01) (13,360) (9,456)

1,200,000 1,235 Cie De St-Gobain., 1% Bp BAR A-1 20-Mar-16 0.00 (1,089) 102

1,200,000 150 Cred Suisse., 1% Bp JPM A-1 20-Jun-14 (0.01) (15,424) (15,279)

1,200,000 8,073 Deutsche Bank., 1% Bp BAR A-1 20-Jun-14 (0.01) (16,966) (9,180)

1,200,000 6,449 Deutsche Bank., 1% Bp JPM A-1 20-Jun-14 (0.01) (14,310) (8,091)

2,400,000 19,776 Republic of France., 0.25% Sp BAR A-1 20-Mar-16 (0.02) (70,073) (51,000)

3,000,000 25,931 Republic of France., 0.25% Sp Cs A-1 20-Mar-16 (0.02) (89,463) (64,453)

2,000,000 34,458 Republic of France., 0.25% Sp Cs A-1 20-Mar-16 (0.02) (76,201) (42,968)

1,200,000 (3,392) General Electric Capital Corp., 1% Bp 03/20/14 Cs A-1 20-Jun-14 (0.01) (3,416) (6,688)

2,400,000 11,139 Government of Germany., 0.25% Sp BAR A-1 20-Jun-16 (0.01) (25,979) (15,236)

2,400,000 10,121 Government of Germany., 0.25% Sp JPM A-1 20-Jun-16 (0.01) (23,613) (13,852)

1,200,000 1,978 JPMorgan Chase & Co., 1% Bp BAR A-1 20-Jun-14 (0.02) (24,395) (22,487)

1,000,000 (5,568) Klepierre., 1% Bp CS A-1 20-Mar-16 (0.01) (455) (5,825)

1,000,000 1,932 Publicis Groupe., 1% Bp Cs A-1 20-Mar-16 (0.01) (11,298) (9,435)

1,500,000 (3,750) Republic of China., 1% Sp A-1 20-Mar-16 0.01 18,571 14,955

1,200,000 6,396 UBS., 1% Bp BAR A-1 20-Jun-14 (0.01) (17,340) (11,171)

1,000,000 (2,178) Vivendi Universal SA., 1% Bp Cs A-1 20-Mar-16 0.00 2,789 689

1,200,000 3,422 Wells Fargo & Co., 1% Bp A-1 20-Jun-14 (0.02) (21,766) (18,466)

1,200,000 5,236 Westpac Banking Corp., 1% Bp Cs A-1 20-Mar-16 0.01 5,407 10,458

900,000 21,143 Commerzbank Aktiengesellschaft Bp Gs A-1 20-Mar-15 0.01 (8,750) 11,642

750,000 (13,593) Commonwealth Bank of Australia. 1% Bp Gs A-1 20-Jun-15 0.00 13,638 528

1,100,000 (38,907) Darden Restaurants Inc., -1.90% (Pay Cpn) A-1 20-Mar-14 (0.04) - (37,523)

600,000 (23,648) Darden Restaurants Inc., -2.13% (Pay Cpn) A-1 20-Dec-13 (0.04) - (22,807)

900,000 4,623 Dow Jones iTraxx Europ S12 Bp A-1 20-Dec-14 (0.00) (12,695) (6,230)

250,000 (13,137) Federated Dept (Macy's)., 1% Bp Gs A-1 20-Sep-15 (0.01) 10,922 (1,748)

1,000,000 8,175 French Republic 0.25% Sp Gs A-1 20-Mar-16 (0.02) (28,730) (20,845)

750,000 (8,698) HSBC Bank PLC 1% Bp Cs A-1 20-Jun-15 (0.01) (1,711) (10,099)

500,000 (3,521) Ingersoll Rand Co., 1% Bp Gs A-1 20-Jun-15 (0.03) (10,455) (13,851)

800,000 (13,954) Ingersoll Rand Co., Bp Gs A-1 20-Mar-15 (0.03) (7,878) (21,336)

500,000 (21,382) J. C. Penney Company 1% (Pay Cpn) A-1 20-Jun-14 0.00 22,361 1,739

500,000 (20,569) J. C. Penney Company 1% (Pay Cpn) A-1 20-Jun-14 0.00 21,577 1,739






20Percentages shown in brackets relate investments at fair value to net assets of the Trust.The accompanying notes are an integral part of these financial statements.


Schedule F (cont'd)




1,100,000 (36,868) John Hancock Financial Services, Inc.,

-2.10% (Pay Cpn) A-1 20-Mar-14 (0.03) - (35,557)

1,100,000 1,666 J.P. Morgan Chase & Co., 1% Bp Gs A-1 20-Jun-14 (0.02) (18,223) (16,616)

1,200,000 1,194 Linde Finance., 1% Bp Gs A-1 20-Mar-16 (0.02) (28,259) (27,108)

500,000 (2,525) MGIC Investment Corp., -4.40% (Pay Cpn) A-1 20-Jun-13 (0.01) - (2,435)

80,000,000 (282,171) Mitsui OSK Lines Ltd., 1% Bp Gs A-1 20-Mar-16 (0.01) (9,067) (12,447)

750,000 (29,206) Mohawk Industries Inc., 1% Gs A-1 20-Jun-15 0.02 39,124 10,955

800,000 8,889 Munich Re Ag, 1% Bp Gs A-1 20-Mar-16 (0.01) (26,160) (13,728)

1,200,000 (12,288) Newell Rubbermaid Inc., -1.04% (Pay Cpn) A-1 20-Dec-13 (0.01) - (11,851)

500,000 (42,012) Nordstrom Inc., -1% (Pay Cpn) A-1 20-Jun-14 (0.02) 33,039 (7,479)

400,000 (7,408) Nordstrom Inc., -1.17% (Pay Cpn) A-1 20-Sep-13 (0.02) - (7,144)

800,000 (5,226) Pearson PLC Bp Gs A-1 20-Mar-15 (0.02) (7,855) (12,895)

1,200,000 (14,137) Pitney Bowes Inc., -1.09% (Pay Cpn) A-1 20-Dec-13 (0.01) - (13,634)

1,100,000 (1,706) Republic of China., 1% (Pay Cpn) A-1 21-Sep-16 0.01 10,005 8,359

1,000,000 (2,282) Republic of China., 1% Sp Gs A-1 20-Mar-16 0.01 11,689 9,488

1,000,000 (2,560) Republic of China., 1% Sp Gs A-1 20-Mar-16 0.01 11,957 9,488

1,200,000 (4,766) Republic of China., 1% Sp Gs A-1 20-Jun-16 0.01 14,840 10,244

2,000,000 17,153 Republic of Germany., 0.25% Sp Gs A-1 20-Mar-16 (0.01) (26,322) (9,779)



1,500,000 (15,177) Target Corp., -1% Gs A-1 20-Jun-15 (0.02) (18,706) (33,343)

500,000 (12,094) Target Corp., -1% Gs A-1 20-Jun-14 (0.02) 1,589 (10,075)

500,000 (21,970) Black & Decker Corp., 1% (Pay Cpn) A-1 20-Jun-14 (0.02) 10,439 (10,750)

1,000,000 (55,637) Black & Decker Corp., -1% (Pay Cpn) A-1 20-Jun-14 (0.02) 32,159 (21,500)

600,000 (18,462) Black & Decker Corp., -1.45% (Pay Cpn) A-1 20-Dec-13 (0.03) - (17,806)

1,100,000 (25,145) Sherwin-Williams Co., -1.18% (Pay Cpn) A-1 20-Dec-13 (0.02) - (24,251)

1,200,000 (17,477) The Stanley Works., -0.90% (Pay Cpn) A-1 20-Dec-13 (0.01) - (16,855)

1,000,000 (7,746) The Stanley Works., Bp Gs A-1 20-Mar-15 (0.02) (11,510) (18,981)

1,100,000 3,201 Wells Fargo Co., 1% Bp Gs A-1 20-Jun-14 (0.01) (17,550) (14,463)

750,000 (5,444) Wells Fargo Co., 1% Bp Gs A-1 20-Jun-15 (0.01) (2,740) (7,991)

1,500,000 (5,517) Whirlpool Corp., 1% Bp Gs A-1 20-Sep-15 0.01 18,788 13,468

800,000 (2,446) Wolters Kluwer N.V. Bp Gs A-1 20-Mar-15 (0.01) (7,778) (10,136)

Total Credit Default Swap Contracts Value (366,944) (668,266)








Statements of Net Assets (in $000’s except for per unit amounts and number of units outstanding)




ASSETSInvestments at fair value*CashShort Term Investments Daily variation margin on derivative investmentsSwaps, swaptions and options at fair valueUnrealized gain on futures and forward currency contractsMargin for short salesReceivable for securities soldDividends and accrued interest receivable

LIABILITIESManagement fees payableAccrued expenses Dividend payable on securities sold shortInterest payable on securities sold shortUnrealized loss on futures and forward currency contractsPayable for securities purchasedPayable for unit redemptionsPerformance fees payableInvestments sold short at fair value**

Net assets and unitholders’ equity

UNITHOLDERS’ EQUITYUnit capitalContributed surplusRetained earnings (deficit)Net assets and unitholders’ equity

*Investments at cost**Investments sold short at cost

Net assets per classClass AClass A II

Net assets per unit (Note 9)Class AClass A II

Number of units outstanding (Note 3) Class AClass A II


14,43130,051

–1,3362,109

58812,3939,256

6870,232

568

8327

2355,259

20,670–

7,16833,506

36,726

35,192–

1,53436,726

13,527 (6,724)

13,23723,489

12.539.54

1,056,4682,460,978

As at June 30, 2011

20,56022,9172,1061,6361,766

5137,445

–136

57,079

486

727

255122

––

8,9639,473

47,606

47,294148164

47,606

20,293(8,587)

26,65220,954

12.119.23

2,200,2592,271,300


Statements of Operations and Retained Earnings (Deficit) (in $000’s except for per unit amounts)




INVESTMENT INCOMEDividendsInterest Derivative income (loss)Securities lendingLess: Foreign withholding taxes

EXPENSESManagement fees (Note 4)Administrative fees (Note 4)Dividend expense on securities sold shortInterest expense on securities sold shortPerformance fees (Note 4)Interest expenseLegal feesAudit feesGoods and services tax/Harmonized sales tax (Note 4)


Realized and unrealized gain (loss) on investments and commissions and other portfolio transaction costsRealized gain (loss) on investmentsForeign exchange gain (loss)Commissions and other portfolio transaction costsChange in unrealized appreciation (depreciation) of investments and derivativesNet gain (loss) on investments


Increase (decrease) in net assets from operations per classClass AClass A II

Increase (decrease) in net assets from operations per unit Class AClass A II

STATEMENTS OF RETAINED EARNINGS (DEFICIT)Retained earnings (deficit), beginning of period Increase (decrease) in net assets from operations(Excess) deficiency on amounts paid on units redeemedDistribution from incomeDistribution from realized gainsRetained earnings (deficit), end of period

Contributed surplus, beginning of period(Excess) deficiency on amounts paid on units redeemedContributed surplus, end of period


98 147

(379)–

(13) (147)

332 80 79 75

– 66

–3

19 654

(801)

(2,093) (100) (40)

3,341 1,108

307

114 193

0.07 0.06

7,533 307

(3,476) ––

4,364

–––

2011

99278

(475)(19)(14)

(131)

246337618

–111

––

16500

(631)

(275)(375)(34)(55)

(739)

(1,370)

(585)(785)

(0.31)(0.32)

1,534(1,370)

–––

164

–148148





CLASS A

Net assets, beginning of periodCAPITAL TRANSACTIONS Proceeds from units issued Amounts paid for units redeemed (Excess) deficiency on amounts paid on units redeemed

DISTRIBUTIONS TO INVESTORS From realized gains From net income From return of capital


CLASS A II




TOTAL TRUST






2010

37,748

– (12,527) (3,573)

(16,100)

––––

114 21,762

40,373

– (2,797)

97 (2,700)

––––

193 37,866

78,121

– (15,324) (3,476)

(18,800)

––––

307 59,628

2011

13,237

14,000––

14,000

––––

(585)26,652

23,489

–(1,898)

148(1,750)

––––

(785)20,954

36,726

14,000(1,898)

14812,250

––––

(1,370)47,606






CASH PROVIDED BY (USED IN) OPERATING ACTIVITIESNet investment income (loss)Proceeds from sale of investmentsPurchase of investments(Increase) decrease in margin for short sales(Increase) decrease in daily variation margin on derivative instrumentsNet change in non-cash balances related to operations

FINANCING ACTIVITIESLoan facility (Note 7)Distributions paidProceeds from units issuedCost of units redeemed





(801) 25,646

(23,039) 1,858

(1,072) 26

2,618

–––

(18,800) (18,800)

(16,182)

51,178

34,996

2011

(631)26,618

(29,240)4,948(300)(109)1,286

––

14,000(22,420) (8,420)

(7,134)

30,051

22,917



Trust Specific Financial Instruments Risks (Note 13) (unaudited)

Other Price Risk

As at June 30, 2011 and December 31, 2010, the Trust was exposed to other price risk as it was invested in a diversified portfolio of international

equities. As a result, the Trust was sensitive to changes in global economic conditions. The Trust has a long/short equity strategy that is taken via macro

themes initiated by the portfolio manager to express bearish and bullish views within particular sectors. This strategy can reduce total exposure to the

market as the short positions offset the long positions sensitivity to the overall market.

As at June 30, 2011, had the global markets increased or decreased by 10% (December 31, 2010 - 10%), with all other variables held constant, net

assets of the Trust would have increased or decreased, respectively, by approximately $259,000 (December 31, 2010 - $499,000). In practice, actual

results may differ from this analysis and the difference may be material.

The Trust’s investments were concentrated in the following segments:

as at December 31, 2010Category Net Assets (%)

Long PositionsOther Assets (net) 73.5U.S.A. 25.1Long Options Contracts 6.8Canada 6.3Japan 3.4Isle Of Man 2.0Netherlands 1.1Uae Dirham 0.9Foreign Currency Forward Contracts 0.7France 0.6Future Contracts 0.2Total Long Positions 120.6

Short PositionsCredit Default Swap Contracts -1.0Australia -0.6U.S.A. -19.0Total Short Positions -20.6

During the six-month period the Trust's exposure to other price risk, credit risk, currency risk and fair value hierarchy changed significantly as

disclosed in the section below. For details relating to interest rate risk, refer to the audited annual financial statements as at December 31, 2010,

as the Trust's exposure to interest rate risk remains unchanged.




Trust Specific Financial Instruments Risks (Note 13) (unaudited) (cont’d)


Credit Risk

CREDIT RATING^

AA/Aa/A+ 14.1 A 4.2 BBB/Baa/B++ 8.1 Not Rated 5.8 Total 32.2

Net Assets (%)

As at June 30, 2011 and December 31, 2010, the majority of the Trust’s assets were invested in listed securities in the form of common stock

that pose no credit risk. However, the Trust seeks to obtain a positive return on the default of low investment grade fixed income investments

and mortgage backed securities mainly through the investments in credit default swaps with counterparties. These investments are exposed to the

risk of impairment when there is risk of credit default in the market. All fixed income securities rated BB/Ba/B+ or lower are considered below

investment grade and have a higher credit risk than investment grade bonds.

The Trust was invested in fixed income securities, preferred securities and derivative instruments if any, with the following credit ratings:

as at June 30, 2011*

CREDIT RATING^

AA/Aa/A+ 10.4 A 1.3 BBB/Baa/B++ 6.2 Not Rated 2.0 Total 19.9

as at December 31, 2010*

Net Assets (%)

* Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody’s Investors Service, Dominion Bond Rating Services or Canadian Bond Rating Services, respectively.

^Refer to Note 13 for Credit Rating cross reference.


Currency Risk

As at June 30, 2011 and December 31, 2010, the Trust was exposed to currency risk at some of its assets were denominated in currencies other than

Canadian dollars, the functional currency of the Trust.

The tables below summarize the Trust’s exposure to currency risk.

as at June 30, 2011

CURRENCY

Hong Kong Dollar 2,123 – 2,123 4.5 Indian Rupee – 992 992 2.1 US Dollar 27,354 (26,738) 616 1.3 Norwegian Krone (8) 164 156 0.3 Swedish Krona – 38 38 0.1 Korean Won – 5 5 – Euro (186) (12) (198) (0.4)Australian Dollar (1,381) 777 (604) (1.3)Japanese Yen (671) (6) (677) (1.4)British Pound (322) (942) (1,264) (2.7)Russian Rouble – (2,434) (2,434) (5.1)Total 26,909 (28,156) (1,247) (2.6)

Financial Instruments Derivatives Total Currency Exposure Exposure Exposure Net Assets (in $000’s) (in $000’s) (in $000’s) (%)



CURRENCY

Swiss Franc – 832 832 2.3 Norwegian Krone (407) 1,069 662 1.8 Korean Won – 111 111 0.3 Euro (126) 18 (108) (0.3)British Pound (322) – (322) (0.9)Australian Dollar (1,077) 454 (623) (1.7)US Dollar 11,126 (11,945) (819) (2.2)Japanese Yen (1,397) (2,415) (3,812) (10.4)Total 7,797 (11,876) (4,079) (11.1)

As at June 30, 2011, had the Canadian dollar strengthened or weakened by 10% (December 31, 2010 - 10%) in relation to all other foreign

currencies held in the Trust, with all other variables held constant, net assets of the Trust would have decreased or increased, respectively, by

approximately $125,000 (December 31, 2010 - $408,000). In practice, the actual results may differ from this analysis and the difference may

be material.

Financial Instruments Derivatives Total Currency Exposure Exposure Exposure Net Assets (in $000’s) (in $000’s) (in $000’s) (%)

as at December 31, 2010





The tables below summarize the inputs used by the Trust in valuing the Trust’s investments and derivatives carried at fair value.


Equities (8,605) – – (8,605)Bonds – (358) – (358) Total (8,605) (358) – (8,963)


Short Positions at fair value as at June 30, 2011

Equities 11,192 – – 11,192 Bonds – 9,369 – 9,369 Short-term investments – 2,106 – 2,106 Foreign currency forward contracts, net – 297 – 297 Futures contracts, net (39) – – (39)Options, net – 2,306 – 2,306 Swaps, net – (540) – (540) Total 11,153 13,538 – 24,691



Equities (5,494) – – (5,494)Bonds – (1,674) – (1,674)Total (5,494) (1,674) – (7,168)


Short Positions at fair value as at December 31, 2010

Equities 9,843 – – 9,843 Bonds – 3,951 – 3,951 Mutual funds 637 – – 637 Foreign currency forward contracts, net – 263 – 263 Futures contracts, net 90 – – 90 Options, net – 2,485 – 2,485 Swaps, net – (376) – (376)Total 10,570 6,323 – 16,893





1. THE CORPORATIONS AND THE TRUSTTrident Performance Corp. (the “Corporation”) is a mutual fund corporation established under the laws of the Province of

Ontario on January 31, 2008. The Corporation commenced operations on February 22, 2008. Each Class A Unit (the “Class

A Unit“) of the Corporation consists of one redeemable Class A share (the “Class A Share”) and one transferable Class A

Share purchase warrant (the “Class A Warrant”). Each Class F Unit (the “Class F Unit”) of the Corporation consists of one

redeemable Class F Share (the “Class F Share”) and one transferable Class F Share purchase warrant (the “Class F Warrant”).

The Corporation’s Class A Shares and Class A Warrants are listed on the Toronto Stock Exchange, under the symbol TCP

and TCP.WT, respectively.

Trident Performance Corp. II (the “Corporation II”) is a corporation established under the laws of the Province of Ontario

on March 30, 2009. On April 27, 2009, the Corporation II completed an initial public offering of 4,510,000 Class A shares

at $10 per share. The Corporation II’s Class A shares are listed on the Toronto Stock Exchange, under the symbol TCZ.

CI Investment Inc. is the manager (the “Manager”) and the investment advisor (the “Investment Advisor”) to the Corporation

and Corporation II (the “Corporations”).

Through a Forward Agreement with National Bank Correspondent Network (“NBCN”), (the “Forward Agreement”) the

Corporations provide shareholders with exposure to the performance of the Global Macroeconomic Portfolio that may consist of

equity and fixed-income securities, commodities, currencies and derivative instruments of global companies. The Corporations

will partially settle the Forward Agreement from time to time prior to the February 28, 2018 (the “Forward Date) in order to fund

redemptions of Shares and the payment of expenses and other liabilities of the Corporations.

Trident Performance Trust (the “Trust”) is an investment trust established under the laws of the Province of Ontario pursuant

to a declaration of trust dated January 31, 2008. The Trust commenced operations on February 22, 2008. The Trust is

authorized to issue an unlimited number of redeemable, transferable units (the “Trust Units”). The difference between

Class A and Class A II is to differentiate between the counterparties to the forward agreement with the Trust.

CI Investments Inc. is the trustee (the “Trustee”) of the Trust. The Trustee has retained Trident Investment Management

LLC as the investment advisor (the “Investment Advisor”) to the Trust. The Investment Advisor will manage the Trust’s

investment portfolio pursuant to an investment advisory agreement between the Trustee and Trident.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIESThere financial statements have been prepared in accordance with Canadian Generally Accepted Accounting Principles

(“Canadian GAAP”). Significant accounting policies used in preparing the semi-annual financial statements are consistent

with those used in preparing the annual financial statements. The semi-annual financial statements should be read in

conjunction with the Corporations' and Trust’s December 31, 2010 annual financial statements.

(a) Valuation of Investments

Canadian GAAP requires the fair value of financial instruments traded in an active market to be measured based on an

investment’s bid/ask price depending on the investment position (long/short).

For the purpose of processing shareholder/unitholder transactions, net asset value is calculated based on the closing market

price of investments (referred to as “Net Asset Value”), while for financial statement purposes net assets are calculated

based on bid/ask price of investments (referred to as “Net Assets”).

In accordance with National Instrument 81-106, a comparison between the Net Asset Value per share/unit and the Net

Assets per share/unit is disclosed in the Note 9.

Notes to the Financial Statements (unaudited)

30


At the financial reporting date, listed securities are valued based on the bid price for securities held long and the ask price

for securities held short. Unlisted securities are valued based on price quotations from recognized investment dealers, or

failing that, their fair value is determined by the Manager on the basis of the latest reported information available. Fixed

income securities, debentures, money market investments and other debt instruments including short-term investments, are

valued at the bid quotation from recognized investment dealers. Underlying funds are valued on each business day at their

net asset value as reported by the underlying funds’ manager.

(b) Futures Contracts

Futures Contracts are valued using the bid price posted on the related public exchange. All gains or losses arising from

futures contracts are recorded as part of “Change in unrealized appreciation (depreciation) of investments and derivatives”

and "Unrealized gain (loss) on futures and forward currency contracts" in the Statement of Net Assets until the contracts are

closed out or expired, at which time the gains (losses) are realized and reported as “Realized gain (loss) on investments” in

the Statements of Operations.

(c) Forward Contracts

The Corporations or the Trust may enter into forward contracts. Forward foreign currency contracts are valued on each

valuation day based on the difference between the value of the contract on the date the contract originated and the value

of the contract on the valuation day.

All unrealized gains (losses) arising from forward foreign currency contracts are recorded as part of “Change in unrealized

appreciation (depreciation) of investments and derivatives” in the Statements of Operations and “Unrealized gain (loss) on

futures and forward currency contracts” in the Statements of Net Assets until the contracts are closed out or expire, at which

time the gains (losses) are realized and reported as “Realized gain (loss) on investments” in the Statements of Operations.

The value of the forward contract as part of the Forward Agreement on the valuation date is equal to the gain or loss

that would be realized if the contract were closed out or expired. Investments sold forward as part of the Forward

Agreement are valued at the market close price, and the Underlying Trust is valued at its net asset value as reported by

the Underlying Trust’s manager on the valuation date for purposes of determining the value of the forward contract. All

gains (losses) arising from the forward agreement are recorded as part of “Change in unrealized appreciation (depreciation)

of investments and derivatives” in the Statements of Operations and “Unrealized gain (loss) on forward contract” in the

Statements of Net Assets until the contracts are closed out or expire; at which time the gains (losses) are realized and

reported as “Realized gain (loss) on investments” in the Statements of Operations.

(d) Credit Default Swaps

The fair value of credit default swaps with exposures to underlying mortgage backed securities and asset backed securities

are determined using indicative bid values obtained from third-party broker-dealers. The broker-dealers determine the fair

value using valuation models that are based, in part, on assumptions that are not supported by observable market inputs.

The indicative bid values are independently assessed by the Manager to ensure that they are reasonable. The fair values of

credit default swaps are affected by the perceived credit risk of the underlying issuers, movements in credit spreads and the

length of time to maturity.

The fair value of credit default swaps with exposures to underlying marketable issuers are determined using indicative bid

values obtained from third-party broker-dealers. The broker-dealers determine the fair value using valuation models that are

based, on assumptions that are supported by observable market inputs. The indicative bid values are independently assessed

by the Manager to ensure that they are reasonable. The fair values of credit default swaps are affected by the perceived credit

risk of the underlying issuers, movements in credit spreads and the length of time to maturity.

Entering into credit default swaps involves, to varying degrees, elements of credit and market risk. Such risks involve, but,

but are not limited to, the possibility that there will be no liquid market for the agreements, and that the counterparty to the

agreements may default on its obligations.

Notes to the Financial Statements (unaudited) (cont’d)

31


Any income received for credit default swaps contracts is recorded as “Derivative income (loss) ” in the Statements of

Operations, when the credit default swaps contracts are closed out or expire, any gains (losses) are recorded as “Realized

gain (loss) on investments” in the Statements of Operations.

(e) Short Selling

The Trust has obtained a relief from the required regulators to engage in short selling.

When the Trust sells a security short, it will borrow that security from a broker to complete the sale. The Trust will incur a

loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date

on which the Trust closes out its short position by buying that security. The Trust will realize a gain if the security declines

in price between those dates. The gains or losses arising from short positions are reflected in the Statements of Operations

as part of “Change in unrealized appreciation (depreciation) of investments and derivatives” and fair value of short positions

is reflected in the Statements of Net Assets in “Investments sold short at fair value”. When the short position is closed out,

gains or losses are realized and included in “Realized gain (loss) on investments” in the Statements of Operations.

(f) Options Contracts

Option contracts are valued each valuation day according to the gain or loss that would be realized if the contracts were

closed out. All gains or losses arising from option contracts are recorded as part of “Change in unrealized appreciation

(depreciation) of investments and derivatives” until the contracts are closed out or expire, at which time the gains (losses)

are realized and reflected in the Statements of Operations in “Realized gain (loss) on investments”.

Over-the-counter options are valued using the Black & Scholes model, whereas, exchange traded options are valued at bid/

ask price taken from the exchange.

(g) Interest Rate Swaps

The fair value of interest rate swaps are determined using indicative bid values obtained from third-party broker-dealers.

The broker dealers determine the fair value using valuation models that are based on assumptions that are supported by

observable market inputs, including the interest rates for that day. The indicative bid values are independently assessed by

the Manager to ensure that they are reasonable.

Any income received for interest rate swaps contracts is recorded as “Derivative income (loss)” in the Statements of

Operations.

3. SHAREHOLDERS’ AND UNITHOLDERS’ EQUITY

Trident Performance Corp.

Shares issued and outstanding represent the capital of the Corporation.

The relevant changes pertaining to subscription and redemption of the Corporation shares are disclosed in the Statements of

Changes in Net Assets. In accordance with the objectives and risk management policies outlined in Note 13 the Corporation

endeavors to invest subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions

through utilizing a short-term borrowing facility or partial settlement of the Forward Agreement.


32


The Corporation is authorized to issue Class A and Class F Units. Each Class A Unit consists of one redeemable Class A

Share and one transferable Class A Share purchase warrant. Each Class F Unit consists of one redeemable Class F Share and

one transferable Class F share purchase warrants.

The Corporation is authorized to issue an unlimited number of transferable and redeemable Class A and Class F Shares of

the Corporation. Class F Shares are convertible into Class A Shares at the last day of each month by delivering a notice and

surrendering such Class F Shares by 4:00 p.m. (Toronto time) at least 20 business days prior to such Monthly Redemption

Date. The Class A Shares and Class F Shares are referred to, collectively, as the “Shares”. Commencing in December 2009,

shareholders are entitled to redeem their shares outstanding at the end of each month (the “Monthly Redemption”) or at

the end of each year (the “Annual Redemption”). Monthly redemption price per Class A Share is equal to the lesser of,

(a) 94% of the 15-day weighted average trading price of the Class A Shares preceding the applicable monthly redemption

date, and (b) of the “closing market price” of Class A Shares on the applicable monthly redemption date less applicable

redemption costs. The annual redemption price per Class A Share is equal to net asset value per Class A Share as at the

annual redemption date less any redemption costs. Monthly redemption price per Class F Share is equal to the product of

the monthly redemption price per Class A Share and a fraction of the most recently calculated net asset value per Class F

Share over the most recently calculated net asset value per Class A Share. The annual redemption price per Class F Share is

equal to the net asset value per Class F Share as at the annual redemption date less any redemption costs.

The Corporation is authorized to issue 100 Class M Shares. The holders of Class M Shares are not entitled to receive

dividends. The holders of the Class M Shares will be entitled to one vote per share. The Class M Shares are redeemable at

the option of either the Corporation or a holder thereof at a price of $1.00 per share. The Class M Shares rank subsequent

to the Class A Shares and Class F Shares.

Each Class A Warrant entitles the holder to purchase one Class A Share of the Corporation at a subscription price of $10.25 per

Class A Share on or before 4:00 p.m. (Toronto time) on the last day of any month on or before February 28, 2011 (“Expiry Time”).

Each Class F Warrant entitles the holder to purchase one Class F Share of the Corporation at a subscription price of $10.25 per

Class F Share on or before 4:00 p.m. (Toronto time) on the last day of any month on or before February 28, 2011 (“Expiry Time”).

For the periods ended June 30, net capital transactions of Corporation consisted of the following:

Class A Class F

Share Transactions 2011 2010 2011 2010

Balance, beginning of period 1,085,953 1,803,103 33,000 35,300

Shares issued for cash 1,410,277 – 60,000 –

Shares redeemed – (16,000) (12,000) –

Balance, end of period 2,496,230 1,787,103 81,000 35,300

Class A Warrants Class F Warrants

Warrants Transactions 2011 2010 2011 2010

Balance, beginning of period 2,444,200 3,124,700 115,300 115,300

Warrants issued – – – –

Warrants repurchased (2,444,200) (680,500) (115,300) –

Balance, end of period – 2,444,200 – 115,300


33


Trident Performance Corp. II

Shares issued and outstanding represent the capital of the Corporation II.

The relevant changes pertaining to subscription and redemption of the Corporation II shares are disclosed in the Statements

of Changes in Net Assets. In accordance with the objectives and risk management policies outlined in Note 13 the Corporation

II endeavors to invest subscriptions received in appropriate investments while maintaining sufficient liquidity to meet

redemptions through utilizing a short-term borrowing facility or settlement of the Forward Agreement when necessary.

The Corporation II is authorized to issue an unlimited number of Class A shares of the Corporation II.

The Corporation II is authorized to issue 100 shares of the Corporation II designated as Class M Shares (“Class M Shares”) of

which, before giving effect to the Offering, there are 100 Class M Shares issued and outstanding. The holders of Class M Shares

are not entitled to receive dividends. The holders of the Class M Shares are entitled to one vote per share. The Class M Shares are

redeemable at the option of either the Corporation II or a holder thereof at a price of $1.00 per share. The Class M Shares rank

subsequent to the Class A Shares with respect to distributions on the dissolution, liquidation or winding-up of the Corporation II.

Shareholders are entitled to redeem their shares outstanding monthly (the “Monthly Redemption”) or on December 31 of any year

(the “December Redemption”). Monthly redemption price per share is equal to lesser of (a) 94% of the weighted average trading

price of the shares on the TSX during the 15 trading days preceding the applicable monthly redemption date, and (b) the “closing

market price” of the shares on the TSX on the applicable monthly redemption date, less (c) applicable redemption costs. Annual

redemption price per share is equal to net asset value per share determined on the December redemption date less applicable

redemption costs.

For the periods ended June 30, net capital transactions of Corporation II consisted of the following:

Share Transactions 2011 2010

Balance, beginning of period 2,699,032 4,394,100

Shares issued for cash – –

Shares redeemed – (180,708)Balance, end of period 2,699,032 4,213,392

Trident Performance Trust

The relevant changes pertaining to subscription and redemption of the Trust units are disclosed in the Statements of

Changes in Net Assets. In accordance with the objectives and risk management policies outlined in Note 13, the Trust

endeavors to invest subscriptions received in appropriate investments while maintaining sufficient liquidity to meet

redemptions through utilizing a short-term borrowing facility or disposal of investments when necessary.

The Trust is authorized to issue an unlimited number of redeemable, transferable units (“Trust Units”), each of which

represents an equal, undivided interest in the net assets of the Trust.


34


For the periods ended June 30, net capital transactions of the Trust consisted of the following:

Class A Class A II

Unit Transactions 2011 2010 2011 2010

Balance, beginning of period 1,056,468 2,934,708 2,460,978 4,121,220

Units issued for cash 1,143,791 – – –

Units redeemed – (1,252,830) (189,678) (279,545)

Balance, end of period 2,200,259 1,681,878 2,271,300 3,841,675

When shares/units of the Corporations and Trust are redeemed at a price per share/unit which is lower than the average cost

per share/unit of capital, the difference is included in “Contributed surplus” on the Statements of Net Assets. If the redemption

price is greater than the average cost of capital, the difference is first charged to “Contributed surplus” until the entire account

is eliminated, and the remaining amount is charged to “Retained earnings (deficit)” in the Statements of Net Assets.

4. FEES AND OTHER EXPENSES(a) Management Fees

CI Investments Inc. is the Manager of the Corporations and in consideration for management fees provides management

services required in the day-to-day operations. The Corporations pay to the Manager an annual fee (the “Management Fee”)

equal to 0.25% of the net asset value of the Corporations calculated and paid monthly, plus an amount equal to the service

fees payable by to the Manager.

CI Investments Inc. is the Trustee of the Trust and in consideration of management fees provides management services

required in the day-to-day operations. The Trust pays to the Trustee an annual fee (the “Management Fee”) equal to 1.10%

of the net asset value of the Trust, calculated and paid monthly.

(b) Performance Fees

The Trust pays to the Trustee a performance fee (the “Performance Fee”) calculated as at December 31 of each year. The

performance fee will be an amount for each unit of the Trust then outstanding equal to 20% of the amount by which the

net asset value per unit of the Trust exceeds the Threshold Amount. The Threshold Amount is the greater of (i) the net asset

value per unit of the Trust immediately following the closing of the Offering, and (ii) the net asset value per unit of the Trust

on the most recent date that the performance fee was paid to the Trustee.

(c) Administrative Expenses

The Corporations and the Trust are also responsible for all expenses incurred in connection with its operations and administration

including audit and legal fees, transfer agency, custody, accounting fees, and independent review committee fees.

(d) Service Fees

The Corporations pays the Manager an annual service fee (the “Service Fee”) equal to 0.40% of the net asset value per

Class A Share for all Class A Shares then outstanding, calculated and paid quarterly. The Manager will pay a comparable

service fee to investment dealers on a pro rata basis based on the respective number of Class A Shares held by clients of

the sales representatives of such dealers.

(e) Advisory Fees

A portion of the Management Fee received by the Trustee will be paid to the Investment Advisor by the Trustee.


35


(f) Forward Fees

The Corporations pay to the Counterparty under the Forward Agreement a fee of 0.50% per annum of the net asset value

of an applicable number of units of the Trust.

(g) Warrant Exercise Fees

The Corporation pays a fee of $0.10 per Warrant to TD Securities Inc. for and on behalf of the agents and in addition

in case of the exercise of Class A Warrant, a fee of $0.15 per Class A Warrant to the dealers whose client exercised the

Class A Warrant. The fees are paid by Corporation out of the assets attributable to corresponding classes.

(h) Harmonized Sales Tax

As of July 1, 2010, Ontario combined the federal goods and services tax (“GST” - 5%) with the provincial retail sales tax

(“PST” - 8%). The combination resulted in a Harmonized sales tax (“HST”) rate of 13%.

5. SECURITIES LENDINGThe Corporations and the Trust may engage into a securities lending. The amounts for securities loaned and the collateral

received is disclosed in the Statements of Net Assets as “Cash collateral received (payable) for securities on loan” and income

from securities lending is included in “Securities lending” in the Statements of Operations. As at June 30, 2011 and 2010 the

Corporations and the Trust were not engage in securities lending.

6. INCOME TAX LOSSES CARRY FORWARDNet capital losses may be carried forward indefinitely to reduce future net realized capital gains. Non-capital losses arising

in taxation years after 2005 may be carried forward twenty years. Non-capital losses carried forward may reduce future net

investment income.

Trident Performance Corp.Losses carry forwards (in $000’s) 2010Net capital losses carry forward 7,946

Year of expiry 2014 2015 2026 2027 2028 2029 2030 TotalNon-capital losses carry forward – – – – – – – –

Trident Performance Corp. IILosses carry forwards (in $000’s) 2010Net capital losses carry forward –

Year of expiry 2014 2015 2026 2027 2028 2029 2030 TotalNon-capital losses carry forward – – – – – 295 827 1,122


36



Trident Performance TrustLosses carry forwards (in $000’s) 2010Net capital losses carry forward 8,677

Year of expiry 2014 2015 2026 2027 2028 2029 2030 TotalNon-capital losses carry forward – – – – – 2,038 5,275 7,313

7. LOAN FACILITYThe Trust may borrow pursuant to a loan facility (the “Loan Facility”) from a chartered bank (the “Lender”). The aggregate

amount of borrowing by the Trust may not exceed 35% of the net asset value of the Trust at the time of the borrowing.

During the periods ended June 30, 2011 and 2010 the Trust had no loan outstanding.

8. BROKERAGE AND OTHER COMMISSIONSCommissions paid for security transactions during the periods ended June 30, were as follows:

(in $000’s) 2011 2010

Brokerage Commissions

Trident Performance Corp. – –

Trident Performance Corp. II – –

Trident Performance Trust 28 36

Soft Dollar Commissions†

Trident Performance Corp. – –

Trident Performance Corp. II – –

Trident Performance Trust 28 36

†A portion of brokerage commissions paid was used to cover research and market data services, termed soft dollar commissions. These amounts have been estimated by the Manager.

9. NET ASSETS COMPARISONIn accordance with National Instrument 81-106, a comparison of net assets per share/unit and net asset value share/unit as

at June 30, is as follows:

Trident Performance Corp. Class A Class F

(in $) 2011 2010 2011 2010

Net assets per share 10.52 11.78 10.91 13.50

Net asset value per share 10.65 12.05 11.04 13.50

37



Trident Performance Corp. II Class A

(in $) 2011 2010

Net assets per share 8.35 9.07

Net asset value per share 8.47 9.09

Trident Performance Trust Class A Class A II

(in $) 2011 2010 2011 2010

Net assets per unit 12.11 12.94 9.23 9.86

Net asset value per unit 12.11 12.95 9.23 9.86

10. RELATED PARTY TRANSACTIONSThe Bank of Nova Scotia has a significant interest in CI Financial Corp., the parent company of the Manager/Trustee.

The Corporations and the Trust may have direct or indirect holdings in The Bank of Nova Scotia and/or CI Financial Corp.

as identified in the Statement of Investment Portfolio of the Corporations and of the Trust, if applicable.

11. INTERNATIONAL FINANCIAL REPORTING STANDARDSOn February 13, 2008, the Canadian Accounting Standards Board (“AcSB”) confirmed that the use of International Financial

Reporting Standards (“IFRS”) will be required for all publicly accountable profit-oriented enterprises for interim and annual

financial statements relating to fiscal years beginning on or after January 1, 2011. On January 12, 2011, the AcSB confirmed

deferral of the IFRS changeover date for investment funds. Based on the AcSB decision IFRS will become effective for interim

and annual financial statements relating to fiscal years beginning on or after January 1, 2013 instead of January 1, 2011.

Based on the Manager’s current evaluation of the differences between IFRS and Canadian GAAP, the Manager currently does

not expect any impact to net asset value or net asset value per share/unit as a result of the transition to IFRS, and expects that

the main impact will be on the financial statements, where additional disclosures or changes in presentation will be required.

Further updates on the progress in the implementation of the IFRS transition plan and any changes to reporting will be provided

during the implementation period leading up to the transition date.

12. FINANCIAL INSTRUMENTS The categorization of financial instruments is as follows: investments and derivatives are classified as held for trading and

are stated at fair value. Receivable for securities sold, dividends and accrued interest receivable, margin for short sales

and other receivables are designated as loans and receivables. They are recorded at amortized cost which approximates

their fair value due to their short-term nature. Similarly, payable for unit/share redemptions, payable for securities purchased,

management fees payable, accrued expenses, service fees payable, forward fee payable, spread fee payable, performance

fees payable, dividend payable on securities sold short, interest payable on securities sold short, capital taxes payable and

income taxes payable are designated as financial liabilities and are carried at their amortized cost which approximates their

fair value, due to their short-term nature. Financial liabilities are generally settled within three months.

38



13. FINANCIAL INSTRUMENTS RISK Risk Management

The Corporations and the Trust are exposed to a variety of financial instruments risks: credit risk, liquidity risk and market risk

(including interest rate risk, currency risk and other price risk). The level of risk to which the Corporations and the Trust are

exposed to depends on the investment objective and the type of investments held by the Corporations and the Trust. The value

of the investments within the portfolio can fluctuate daily as a result of changes in prevailing interest rates, economic and market

conditions and company specific news related to investments held by the Corporations and the Trust. The Manager of the

Corporations and the Trust may minimize potential adverse effects of these risks on the Corporations’ and the Trust’s performance

by, but not limited to, regular monitoring of the Corporations’ and the Trust’s positions and market events, diversification of the

investment portfolio by asset type, country, sector, term to maturity within the constraints of the stated objectives, and through the

usage of derivatives to hedge certain risk exposures.

Other Price Risk

Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other

than those arising from interest rate risk or currency risk). The value of each investment is influenced by the outlook of the

issuer and by general economic and political conditions, as well as industry and market trends. All securities present a risk

of loss of capital. Except for options written, future contracts and investments sold short, the maximum risk resulting from

financial instruments is equivalent to their fair value.

Other assets and liabilities are monetary items that are short-term in nature and therefore are not subject to significant other

price risk.

Interest Rate Risk

Interest rate risk is the risk that the fair value of interest-bearing investments and interest rate derivative instruments will

fluctuate due to changes in prevailing levels of market interest rates. As a result, the value of the Corporations or the Trust

will be affected by changes in applicable interest rates as they invest in debt securities and income trusts. If interest rates

fall, the fair value of existing debt securities may increase due to the increase in yield. Alternatively, if interest rates rise,

the yield of existing debt securities decrease which may then lead to a decrease in their fair value. The magnitude of the

decline will generally be greater for long-term debt securities rather than for short-term debt securities.

Interest rate risk also applies to convertible securities. The fair value of these securities varies inversely with interest rates,

similar to other debt securities. However, since they may be converted into common shares, convertible securities are

generally less affected by interest rate fluctuations than other debt securities.

Credit Risk

Credit risk is the risk that a security, issuer or counterparty to a financial instrument will fail to meet its financial obligations.

The fair value of debt instruments includes consideration of the credit worthiness of the debt issuer. Credit risk exposure for

derivative instruments is based on the Trust’s unrealized gain of the contractual obligations with the counterparty as at the

reporting date.

The credit risk exposure of the Corporations’ and the Trust’s other assets are represented by their carrying amount as

disclosed in the Statements of Net Assets.

Credit ratings for fixed income securities, preferred securities and derivative instruments are obtained from Standard & Poor’s,

where available, otherwise ratings are obtained from: Moody’s Investors Service, Dominion Bond Rating Services or Canadian

Bond Rating Services.

39



Credit ratings can be either long-term or short-term. Short-term credit ratings are generally assigned to those obligations

and derivative instruments considered short-term in nature. The table below provides a cross-reference between the long-

term credit ratings disclosed in the Credit Rating table inclusive of the short-term credit ratings disclosed in the derivatives

schedules in the Statement of Investment Portfolio.

Credit Rating as per Credit Risk table Credit Rating as per derivatives schedules

AAA/Aaa/A++ A-1+

AA/Aa/A+ A-1, A-2, A-3

A B, B-1

BBB/Baa/B++ B-2

BB/Ba/B+ B-3

B C

CCC/Caa/C++ -

CC/Ca/C+ -

C and Lower D

Not Rated WR

Significant cash balances as disclosed in the Statements of Net Assets are maintained by the Custodian, RBC Dexia. The

Manager monitors the credit worthiness of the custodian on a regular basis.

All transactions executed by the Corporations and the Trust in listed securities are settled / paid for upon delivery using approved

brokers. The risk of default is considered minimal, as delivery of securities sold is only made once the broker has received

payment. Payment is made on a purchase once the securities have been received by the broker. The trade will fail if either party

fails to meet its obligation.

Currency Risk

Currency risk arises from financial instruments that are denominated in a currency other than the Canadian dollar, the

functional currency of the Corporations or the Trust. As a result, the Trust may be exposed to the risk that the value of

securities denominated in other currencies will fluctuate due to changes in exchange rates. The Statement of Investment

Portfolio identifies all bonds and derivative instruments denominated in foreign currencies. Equities traded in foreign

markets are exposed to currency risk as the prices denominated in foreign currencies are converted to the Trust’s functional

currency to determine their fair value.

Liquidity Risk

Liquidity risk is the risk that the Corporations or the Trust may not be able to settle or meet their obligations, on time or at a

reasonable price. The Corporations are exposed to monthly and annual cash redemptions of redeemable shares. To finance

redemptions the Corporations will dispose of their assets. The Trust is exposed to daily cash redemption of redeemable units.

Therefore, the Trust aims to invest the majority of its assets in investments that are traded in active markets and can be readily

disposed of. In addition, the Trust aims to retain sufficient cash and cash equivalent positions to maintain liquidity. From time

to time, the Trust may enter into derivative contracts or invest in unlisted securities that may not trade in an organized market

and may be illiquid. Illiquid securities are identified in the Statement of Investment Portfolio of the Trust, if applicable.


The Corporations and the Trust are required to classify financial instruments measured at fair value using a fair value

hierarchy. Investments whose values are based on quoted market prices in active markets are classified as Level 1. This level

may include publicly traded equities, exchange traded and retail mutual funds, exchange traded warrants, futures contracts,

traded options, American depositary receipts (“ADRs”) and Global depositary receipts (“GDRs”).

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Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market

prices, dealer quotations or alternative pricing sources supported by observable inputs are classified as Level 2. These may

include fixed income securities, mortgage backed securities (“MBS”), short-term instruments, non-traded warrants,

over-the-counter options, structured notes of indexed securities, foreign currency forward contracts and swap instruments.

Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments may include private equities,

private term loans, private equity funds and certain derivatives. As observable prices are not available for these securities,

the Corporations and the Trust may use a variety of valuation techniques to derive the fair value.

Details of the Corporations’ and the Trust’s exposure to financial instruments risks including the fair value hierarchy

classification are available in the “Corporation and Trust Specific Financial Instruments Risks” section of the financial

statements.

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Manager and TrusteeCI Investments Inc.2 Queen Street East, 20th FloorToronto, OntarioM5C 3G7Phone: (416) 364-1145Fax: (416) 364-6299Toll Free: [email protected]

CustodianRBC Dexia Investor Services Trust155 Wellington Street West5th FloorToronto, OntarioM5V 3L3

AuditorPricewaterhouseCoopers LLPSuite 3000, Box 82Royal Trust Tower, TD CentreToronto, OntarioM5K 1G8

Registrar & Transfer AgentComputershare Investor Services Inc.100 University Avenue8th FloorToronto, OntarioM5J 2Y1

ListedThe Toronto Stock Exchange

Ticker SymbolTCP TCP.WT

For more information on the Corporations and Trust, visit us online at www.ci.com.

Corporations and Trust Information

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TridentPerf_SA_08/11E

2 Queen Street East, Twentieth Floor, Toronto, Ontario M5C 3G7 I www.ci.com

Head Office / Toronto416-364-1145 1-800-268-9374

Calgary 403-205-43961-800-776-9027

Montreal 514-875-0090 1-800-268-1602

Vancouver 604-681-3346 1-800-665-6994

Client Services English: 1-800-563-5181 French: 1-800-668-3528

Semi-Annual Financial Statements

Documents

Transcript of Semi-Annual Financial Statements