UNITED FUNDS · (in $000’s except for per unit amounts and units outstanding) Net assets...

ANNUAL FINANCIAL STATEMENTS2020

U N I T E D F U N D S

D E C E M B E R 3 1 , 2 0 2 0

Table of Contents

Annual Financial Statements - December 31, 2020

Independent Auditor’s Report .............................................................................................. 1

Income Fund(s)

Cash Management Pool ............................................................................................................ 3

Short Term Income Pool ............................................................................................................ 12

Canadian Fixed Income Pool ...................................................................................................... 22

Global Fixed Income Pool .......................................................................................................... 51

Enhanced Income Pool ............................................................................................................... 66

Canadian Equity Fund(s)

Canadian Equity Alpha Pool ...................................................................................................... 88

Canadian Equity Growth Pool .................................................................................................... 99

Canadian Equity Small Cap Pool ............................................................................................... 110

Canadian Equity Value Pool ....................................................................................................... 120

US Equity Fund(s)

US Equity Alpha Pool ................................................................................................................. 131

US Equity Growth Pool .............................................................................................................. 143

US Equity Small Cap Pool .......................................................................................................... 155

US Equity Value Pool ................................................................................................................... 167

International Equity Fund(s)

Emerging Markets Equity Pool .................................................................................................. 179

Global Equity Allocation Pool .................................................................................................... 193

International Equity Alpha Pool ................................................................................................. 207

International Equity Growth Pool .............................................................................................. 218

International Equity Value Pool ................................................................................................. 231

Specialty Fund(s)

Real Estate Investment Pool ...................................................................................................... 243

Currency Hedged Fund(s)

International Equity Value Currency Hedged Pool .................................................................... 256

US Equity Value Currency Hedged Pool ..................................................................................... 266

Notes to the Financial Statements ...................................................................................... 276

Legal Notice ............................................................................................................................. 286

To request an alternate format of this document, please contact us at [email protected] or

1-800-792-9355.

– 1 –Annual Financial Statements - December 31, 2020

INDEPENDENT AUDITOR’S REPORT To the Unitholders of Cash Management Pool Short Term Income Pool Canadian Fixed Income Pool Global Fixed Income Pool Enhanced Income Pool Canadian Equity Alpha Pool Canadian Equity Growth Pool Canadian Equity Small Cap Pool Canadian Equity Value Pool US Equity Alpha Pool US Equity Growth Pool US Equity Small Cap Pool US Equity Value Pool Emerging Markets Equity Pool Global Equity Allocation Pool International Equity Alpha Pool International Equity Growth Pool International Equity Value Pool Real Estate Investment Pool International Equity Value Currency Hedged Pool US Equity Value Currency Hedged Pool (collectively, the “Funds”)

Opinion We have audited the financial statements of the Funds, which comprise the statements of financial position as at December 31, 2020 and 2019, and the statements of comprehensive income, statements of changes in net assets attributable to holders of redeemable units and statements of cash flows for the years then ended, and notes to the financial statements, including a summary of significant accounting policies.

In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Funds as at December 31, 2020 and 2019, and their financial performance and their cash flows for the years then ended in accordance with International Financial Reporting Standards (IFRSs). Basis for Opinion We conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Funds in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Other Information Management is responsible for the other information. The other information comprises the Management Report of Fund Performance of the Funds. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information, and in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated.


We obtained the Management Report of Fund Performance of the Funds prior to the date of this auditor’s report. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact in this auditor’s report. We have nothing to report in this regard.

Responsibilities of Management and Those Charged with Governance for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with IFRSs, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, management is responsible for assessing the Funds’ ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate the Funds or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Funds’ financial reporting process.

Auditor’s Responsibilities for the Audit of the Financial Statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian generally accepted auditing standards will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with Canadian generally accepted auditing standards, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.

• Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Funds’ ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Funds to cease to continue as a going concern.

• Evaluate the overall presentation, structure, and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

Toronto, Canada March 24, 2021

Cash Management Pool


Statements of Financial Position as at December 31(in $000’s except for per unit amounts and units outstanding)

2020 2019

31,494 85,010 - - 20,879 16,075

- - - - - - - - - - - - 86 332 - - - - - - 3,514 3,804 55,973 105,221

- - - -

- - - - - - - - - - - - 5,825 5,760 - - - - - - 58 59 5,883 5,819

50,090 99,402

AssetsCurrent assetsInvestmentsInvestments pledged as collateralCashUnrealized gain on futures and foreign currency forward contractsSwaps, swaptions and optionsDaily variation margin on derivative instrumentsFees rebate receivableCash collateral on deposit for short saleDividends receivableInterest receivableReceivable for distribution from investmentsSecurities lending revenue receivable (Note 6)Receivable for investments soldReceivable for unit subscriptions

LiabilitiesCurrent liabilitiesInvestments sold shortBank overdraftUnrealized loss on futures and foreign currency forward contractsSwaps, swaptions and options Dividends payable on investments sold shortInterest payable on investments sold shortDaily variation margin on derivative instrumentsPayable for investments purchasedPayable for unit redemptionsDistributions payable to holders of redeemable units Management fees payableAdministration fees payableAccounts payable and accrued liabilities

Net assets attributable to holders of redeemable units

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

Financial Statements

CIG - 9601

Statements of Financial Position (cont’d)as at December 31(in $000’s except for per unit amounts and units outstanding)


per Series (Note 4):

Net assets attributable to holders of redeemable

units per unit: Number of redeemable

units outstanding:

2020 2019 2020 2019 2020 2019Series A 10 10 5.00 5.00 2,001 2,035Series E 1,632 1,593 5.00 5.00 326,381 318,547Series F 1,177 1,940 5.00 5.00 235,398 387,997Series I 2,264 5,092 5.00 5.00 452,808 1,018,459Series OF 24 33 5.00 5.00 4,846 6,697Series W 44,983 90,734 5.00 5.00 8,996,494 18,146,637



Statements of Comprehensive Incomefor the years ended December 31(in $000’s except for per unit amounts and number of units)

2020 2019

- - 679 1,428 - - - - - -

- - - -

(12) (11)

(71) 9 596 1,426 4 - - - - - - - 4 - 600 1,426

31 30 - - 1 1 - - - - - - - - - - - - 4 3 36 34 (11) (4)

575 1,396



Income Net gain (loss) on investments and derivatives Dividends Interest for distribution purposes Income distributions from investments Capital gain distributions from investments Derivative income (loss) Dividends expense on financial assets (liabilities) sold

short Interest expense on financial assets (liabilities) sold short Net realized gain (loss) on sale of investments and

derivatives Change in unrealized appreciation (depreciation) in value

of investments and derivativesTotal net gain (loss) on investments and derivativesOther income Foreign exchange gain (loss) on cash Commitment fee income Securities lending revenue (Note 6) Fees rebateTotal other incomeTotal incomeExpensesManagement fees (Note 5)Administration fees (Note 5)Commissions and other portfolio transaction costsIndependent review committee feesSecurities borrowing fees (Note 2)Margin feesService feesInterest expenseWithholding taxesHarmonized sales taxTotal expensesExpenses absorbed by the Manager (Note 5)Increase (decrease) in net assets attributable to holders of redeemable units

Statements of Comprehensive Income (cont’d)for the years ended December 31(in $000’s except for per unit amounts and number of units)

Increase (decrease) in net assets attributable to

holders of redeemable units per Series:


holders of redeemable units per unit:

Weighted average number of units:

2020 2019 2020 2019 2020 2019Series A - - 0.01 0.05 1,953 3,048Series E 10 25 0.02 0.05 482,974 483,094Series F 6 10 0.03 0.06 186,306 154,145Series I 45 94 0.06 0.10 754,714 937,855Series OF - - 0.02 0.06 5,571 3,828Series W 514 1,267 0.06 0.10 8,318,056 12,497,786



Statements of Changes in Net Assets Attributable to Holders of Redeemable Unitsfor the years ended December 31 (in $000’s)

Net assets attributable to holders of redeemable units at the beginning of yearIncrease (decrease) in net assets attributable to holders of redeemable unitsDistributions to holders of redeemable units From net investment income From net realized gains Return of capitalTotal distributions to holders of redeemable units

Redeemable unit transactions Proceeds from redeemable units issued Reinvestment of distributions to holders of redeemable units Redemption of redeemable unitsNet increase (decrease) from redeemable unit transactionsNet increase (decrease) in net assets attributable to holders of redeemable unitsNet assets attributable to holders of redeemable units at the end of year





Series A 2020 2019 10 13 - -

- - - - - - - -

216 946 - - (216) (949) - (3) - (3) 10 10

Series E 2020 2019 1,593 1,910 10 25

(9) (26) - - - - (9) (26)

365,730 422,836 9 26 (365,701) (423,178) 38 (316) 39 (317) 1,632 1,593

Series F 2020 2019 1,940 31 6 10

(6) (10) - - - - (6) (10)

141,089 137,314 6 10 (141,858) (135,415) (763) 1,909 (763) 1,909 1,177 1,940

Series I 2020 2019 5,092 3,205 45 94

(45) (93) - - - - (45) (93)

612,476 733,536 45 93 (615,349) (731,743) (2,828) 1,886 (2,828) 1,887 2,264 5,092

Series OF 2020 2019 33 10 - -

- - - - - - - -

62 177 - - (71) (154) (9) 23 (9) 23 24 33

Series W 2020 2019 90,734 119,799 514 1,267

(513) (1,268) - - - - (513) (1,268)

299,500 379,818 513 1,266 (345,765) (410,148) (45,752) (29,064) (45,751) (29,065) 44,983 90,734

Total Fund 2020 2019 99,402 124,968 575 1,396

(573) (1,397) - - - - (573) (1,397)

1,419,073 1,674,627 573 1,395 (1,468,960) (1,701,587) (49,314) (25,565) (49,312) (25,566) 50,090 99,402



*Dividends and interest received as well as dividends and interest paid relate to operating activities of the Fund. The accompanying notes are an integral part of these financial statements.


Statements of Cash Flowsfor the years ended December 31 (in $000’s)

2020 2019

575 1,396

12 11 - - 1 1

71 (9) 207,261 321,957 (153,829) (289,109) - - - - - - - - 246 321 - - - - - - (1) (1) 54,336 34,567

- (4) 1,343,712 1,591,519 (1,393,244) (1,616,235) (49,532) (24,720)

- - 4,804 9,847 16,075 6,228 20,879 16,075

- - 925 1,749 - - - - - -

Cash flows from (used in) operating activitiesIncrease (decrease) in net assets attributable to holders of redeemable unitsAdjustments for: Net realized (gain) loss on sale of investments and derivatives Unrealized foreign exchange (gain) loss on cash Commissions and other portfolio transaction costs Change in unrealized (appreciation) depreciation in value of

investments and derivatives Proceeds from sale and maturity of investments and derivatives Purchase of investments and derivatives Non-cash distributions from investments Change in daily variation margin (Increase) decrease in cash collateral on deposit for short sale (Increase) decrease in dividends receivable (Increase) decrease in interest receivable (Increase) decrease in securities lending revenue receivable Increase (decrease) in management fees payable Increase (decrease) in administration fees payable Change in other accounts receivable and payableNet cash from (used in) operating activities

Cash flows from (used in) financing activitiesDistributions paid to holders of redeemable units, net of reinvested distributionsProceeds from issuance of redeemable unitsAmounts paid on redemption of redeemable unitsNet cash from (used in) financing activities Unrealized foreign exchange gain (loss) on cashNet increase (decrease) in cashCash (bank overdraft), beginning of yearCash (bank overdraft), end of year

Supplementary Information:Dividends received, net of withholding tax*Interest received, net of withholding tax*Dividends paid*Interest paid*Tax recoverable (paid)



Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Schedule of Investment Portfolio as at December 31, 2020

Number ofUnits/Sharesor Par Value Description

Average Cost($)

Fair Value($)

% of Net Assets

FINANCIALS 301,000 Bank of Montreal 1.61%, October 28, 2021 304,477 304,171 155,000 Bank of Montreal 1.88%, March 31, 2021 156,015 155,263 472,000 Bank of Montreal 3.4%, April 23, 2021 483,314 476,020 170,000 Bank of Montreal 3.4%, April 23, 2021 173,108 171,618 137,000 Bank of Montreal, FRN, 0.68%, February 01, 2023 137,527 137,487 99,000 Canadian Imperial Bank of Commerce 1.64%, July 12, 2021 100,091 99,668 374,000 Canadian Imperial Bank of Commerce 1.9%, April 26, 2021 376,468 374,789 300,000 Canadian Imperial Bank of Commerce 1.9%, April 26, 2021 302,997 301,273 376,000 Canadian Imperial Bank of Commerce 1.9%, April 26, 2021 379,380 377,932 260,000 Fortified Trust 1.67%, July 23, 2021 262,434 261,360 261,000 Fortified Trust 1.67%, July 23, 2021 263,519 262,408 333,000 Fortified Trust 1.67%, July 23, 2021 336,210 335,274 373,000 Fortified Trust 1.67%, July 23, 2021 376,678 375,709 1,162,000 HSBC Bank Canada 2.449%, January 29, 2021 1,173,759 1,163,616 252,000 HSBC Bank Canada 2.908%, September 29, 2021 257,811 256,342 544,000 HSBC Bank Canada 2.908%, September 29, 2021 556,392 553,770 9,000 Manulife Bank of Canada 0.859%, March 04, 2021 9,010 9,008 721,000 Metropolitan Life Global Funding I 3.107%, April 16, 2021 733,978 725,878 309,000 National Bank of Canada 1.809%, July 26, 2021 313,070 311,560 475,000 National Bank of Canada 1.809%, July 26, 2021 479,498 479,042 328,000 Royal Bank of Canada 2.03%, March 15, 2021 330,493 328,556 571,000 Royal Bank of Canada 2.03%, March 15, 2021 575,602 572,068 210,000 Royal Bank of Canada 2.86%, March 04, 2021 212,789 210,542 140,000 Royal Bank of Canada, FRN, 0.62%, June 27, 2022 139,390 139,551 508,000 Royal Bank of Canada, FRN, 0.645%, June 27, 2022 508,950 508,789 288,000 Royal Bank of Canada, FRN, 0.645%, June 27, 2022 288,527 288,442 570,000 The Bank of Nova Scotia 1.9%, December 02, 2021 578,869 578,165 356,000 The Bank of Nova Scotia 2.873%, June 04, 2021 363,512 359,199 460,000 The Bank of Nova Scotia 2.873%, June 04, 2021 469,996 464,304 409,000 The Bank of Nova Scotia 3.27%, January 11, 2021 414,522 409,172 268,000 Toronto-Dominion Bank 2.045%, March 08, 2021 270,720 268,660 324,000 Toronto-Dominion Bank, FRN, 0.79%, June 28, 2023 323,255 323,375 11,652,361 11,583,011 23.12 INDUSTRIALS 142,000 John Deere Canada Funding Inc., 1.85%, March 24, 2021 143,022 142,294 962,000 John Deere Financial Inc., 0.785%, September 17, 2021 964,241 963,799 44,000 John Deere Financial Inc., 0.785%, September 17, 2021 44,097 44,079 250,000 John Deere Financial Inc., 3.07%, July 23, 2021 255,110 253,710 1,406,470 1,403,882 2.80 CONSUMER DISCRETIONARY 120,000 Toyota Credit Canada Inc., 0.84%, September 27, 2021 119,002 119,445 75,000 Toyota Credit Canada Inc., 0.865%, September 27, 2021 75,250 75,189 51,000 Toyota Credit Canada Inc., 0.865%, September 27, 2021 51,149 51,122 399,000 Toyota Credit Canada Inc., 2.2%, February 25, 2021 400,772 400,167 646,173 645,923 1.29




Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

SHORT-TERM INVESTMENT(S) 1,414,000 Bank of Nova Scotia 0.22308%, January 08, 2021 1,413,844 1,413,844 968,000 Canadian Imperial Bank of Commerce 0.27963%, April 16, 2021 966,645 966,645 1,000,000 Canadian Imperial Bank of of Commerce 0.23403%, January 29, 2021 999,750 999,750 451,000 Enbridge Gas Distributions Inc., 0.31578%, January 20, 2021 450,856 450,856 316,000 Enbridge Pipelines Inc., 0.3363%, January 21, 2021 315,889 315,889 2,500,000 EPCOR Utilities Inc., 0.25395%, January 13, 2021 2,499,600 2,499,600 1,075,000 First Banks Inc., 0.21473%, January 07, 2021 1,074,892 1,074,892 1,347,000 Inter Pipeline Corridor Inc 0.49705%, January 25, 2021 1,345,882 1,345,882 420,000 Inter Pipeline Corridor Inc 0.50917%, February 17, 2021 419,479 419,479 903,000 Inter Pipeline Corridor Inc., 0.49472%, January 14, 2021 902,621 902,621 239,000 Manulife Bank of Canada 0.3795%, November 29, 2021 238,099 238,099 679,000 Manulife Bank of Canada 1.99007%, January 05, 2021 665,787 665,787 1,000,000 National Bank of Canada 0.2434%, January 29, 2021 999,740 999,740 1,172,000 Province of Alberta 0.15899%, January 19, 2021 1,171,684 1,171,684 1,800,000 Royal Bank of Canada 0.21902%, January 05, 2021 1,799,838 1,799,838 1,834,000 Toronto Dominion Bank (The) 0.20859%, January 04, 2021 1,833,853 1,833,853 764,000 Toyota Credit Canada Inc 0.40007%, February 04, 2021 762,422 762,422 17,860,881 17,860,881 35.66

Commissions and other portfolio transaction costs -

Total Investment Portfolio 31,565,885 31,493,697 62.87

Other Net Assets (Liabilities) 18,595,957 37.13

Net Assets Attributable to Holders of Redeemable Units 50,089,654 100.00


Average Cost($)

Fair Value($)

% of Net Assets



Redeemable Unit Transactions (Note 4)for the years ended December 31

Number of redeemable units at the beginning of yearRedeemable units issued for cashRedeemable units issued for reinvested distributionsRedeemable units redeemedNumber of redeemable units at the end of year


Fund Specific Notes to Financial Statements

†A portion of brokerage commissions paid was used to cover research and market data services, termed soft dollar commissions. This amount has been estimated by the Manager of the Fund.The accompanying notes are an integral part of these financial statements.

Commissions (Note 2)for the years ended December 31 (in $000’s)

2020 2019Brokerage commissions - -Soft dollar commissions† - -

Series A 2020 2019 2,035 2,680 43,101 189,268 5 29 (43,140) (189,942) 2,001 2,035

Series E 2020 2019 318,547 381,953 73,146,272 84,567,183 1,766 5,179 (73,140,204) (84,635,768) 326,381 318,547

Series F 2020 2019 387,997 6,265 28,217,742 27,462,752 1,245 1,922 (28,371,586) (27,082,942) 235,398 387,997

Series I 2020 2019 1,018,459 640,997 122,495,191 146,706,799 8,935 19,177 (123,069,777) (146,348,514) 452,808 1,018,459

Series OF 2020 2019 6,697 2,044 12,324 35,421 27 46 (14,202) (30,814) 4,846 6,697

Series W 2020 2019 18,146,637 23,959,609 59,900,106 75,963,610 102,602 253,134 (69,152,851) (82,029,716) 8,996,494 18,146,637





Management and Administration Fees (Note 5) as at December 31, 2020 (%)

Annual management

fee rate:

Annual administration

fee rate:

Series A 1.250 NilSeries E 1.000 NilSeries F 0.700 NilSeries I Paid directly by investor NilSeries OF 0.750 NilSeries W Paid directly by investor Nil

Securities Lending (Note 6)as at December 31 (in $000’s)

2020 2019Loaned 156 -Collateral (non-cash) 159 -

Securities Lending Revenue Reconciliation (Note 6)for the years ended December 31 (in $000’s)

2020 2019Gross securities lending revenue - -Charges - -Securities lending revenue - -Charges as a % of gross securities lending revenue - -

Loss Carry Forwards (Note 7)as at December 31 (in $000’s)

2020Capital loss carried forward: -Non-capital losses expiring:2030 -2031 -2032 -2033 -2034 -2035 -2036 -2037 -2038 -2039 -2040 -Total -




Interest Rate RiskThe table below summarizes the Fund’s exposure to interest rate risk, categorized by the contractual maturity date.

as at December 31, 2020

Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 50,975 1,398 - - 52,373

As at December 31, 2019, the Fund did not have significant exposure to interest rate risk as the Fund was invested in bonds and short-term investments with maturity of less than 1 year.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020Level 1 Level 2 Level 3 Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - 13,633 - 13,633 Short-term investment(s) - 17,861 - 17,861 Total - 31,494 - 31,494


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - 11,355 - 11,355 Short-term investment(s) - 73,655 - 73,655 Total - 85,010 - 85,010

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019.

Financial Instruments Risks (Note 10)

Concentration RiskFor Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio.

The table below summarizes the Fund’s exposure to concentration risk.

as at December 31, 2019Categories Net Assets (%)Short-Term Investment(s) 74.1 Other Net Assets (Liabilities) 14.5 Financials 9.7 Consumer Discretionary 0.9 Industrials 0.8 Total 100.0

Credit RiskThe Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the tables below.

as at December 31, 2020 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 18.4AA/Aa/A+ 24.4A 6.5Not Rated 13.6Total 62.9

as at December 31, 2019 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 26.1AA/Aa/A+ 54.0A 1.6Not Rated 3.8Total 85.5

^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s

Investors Service or Dominion Bond Rating Service, respectively.

*Refer to Note 10 for Credit Rating Chart reference.

Other Price RiskAs at December 31, 2020 and 2019, the Fund did not invest in equities and therefore was not subject to other price risk.

Currency RiskAs at December 31, 2020 and 2019, the Fund had no significant exposure to currency risk as most of the Fund’s investments were denominated in Canadian dollars, the functional currency of the Fund.


Short Term Income Pool



2020 2019

96,355 24,591 - - 557 61

- - - - - - - - - - - - 601 156 - - - - - - 59 50 97,572 24,858

- - - -

- - - - - - - - - - - - 82 20 - - - - - - - - 82 20

97,490 24,838






CIG - 9602






units outstanding:

2020 2019 2020 2019 2020 2019Series A 61 73 11.70 11.29 5,173 6,490Series E 1,344 1,570 11.27 10.88 119,296 144,385Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 42 10 10.67 10.29 3,964 1,000Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 59,677 14,825 13.98 13.51 4,267,598 1,097,426Series OF 1 10 11.24 10.84 92 959Series W 36,365 8,350 14.67 14.15 2,479,250 589,862




2020 2019

- - 1,755 814 - - - - - -

- - - -

158 65

2,280 52 4,193 931 - - - - 9 3 - - 9 3 4,202 934

26 29 31 13 - 1 1 1 - - - - - - - 1 - - 6 4 64 49 - -

4,138 885













2020 2019 2020 2019 2020 2019Series A 4 1 0.44 0.16 5,981 7,701Series E 59 18 0.43 0.12 136,967 139,980Series E3 - 2 - 0.19 - 11,012Series E4 - - - 0.19 - 1,000Series E5 - 3 - 0.19 - 11,721Series F - - 0.71 0.08 497 1,577Series F3 - - - 0.25 - 1,000Series F4 - - - 0.25 - 1,000Series F5 - - - 0.26 - 1,000Series I 2,528 392 0.84 0.33 3,003,566 1,181,174Series OF 1 - 0.69 0.18 402 959Series W 1,546 469 0.86 0.59 1,789,129 782,063












Series A 2020 2019 73 98 4 1

- - - - - - - -

6 3 - - (22) (29) (16) (26) (12) (25) 61 73

Series E 2020 2019 1,570 1,530 59 18

(8) - - - - - (8) -

710 690 8 - (995) (668) (277) 22 (226) 40 1,344 1,570

Series E3 2020 2019 - 109 - 2

- - - - - - - -

- 95 - - - (206) - (111) - (109) - -

Series E4 2020 2019 - 10 - -

- - - - - - - -

- - - - - (10) - (10) - (10) - -

Series E5 2020 2019 - 122 - 3

- - - - - - - -

- 11 - - - (136) - (125) - (122) - -

Series F 2020 2019 10 10 - -

- - - - - - - -

79 59 - - (47) (59) 32 - 32 - 42 10

Series F3 2020 2019 - 10 - -

- - - - - - - -

- 18 - - - (28) - (10) - (10) - -

Series F4 2020 2019 - 10 - -

- - - - - - - -

- - - - - (10) - (10) - (10) - -

Series F5 2020 2019 - 10 - -

- - - - - - - -

- - - - - (10) - (10) - (10) - -

Series I 2020 2019 14,825 5,996 2,528 392

(1,003) - - - - - (1,003) -

76,445 51,644 1,000 - (34,118) (43,207) 43,327 8,437 44,852 8,829 59,677 14,825

Series OF 2020 2019 10 10 1 -

- - - - - - - -

- - - - (10) - (10) - (9) - 1 10

Series W 2020 2019 8,350 19,108 1,546 469

(580) - - - - - (580) -

35,091 17,004 580 - (8,622) (28,231) 27,049 (11,227) 28,015 (10,758) 36,365 8,350





Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (cont’d)for the years ended December 31 (in $000’s)



Total Fund 2020 2019 24,838 27,023 4,138 885

(1,591) - - - - - (1,591) -

112,331 69,524 1,588 - (43,814) (72,594) 70,105 (3,070) 72,652 (2,185) 97,490 24,838




2020 2019

4,138 885

(158) (65) - - - 1

(2,280) (52) 46,208 55,507 (115,534) (52,132) - - - - - - - - (445) 12 - - - - - - - - (68,071) 4,156

(3) - 111,695 57,804 (43,125) (61,325) 68,567 (3,521)

- - 496 635 61 (574) 557 61

- - 1,310 826 - - - 1 - -












Average Cost($)

Fair Value($)

% of Net Assets

CORPORATE BONDS 1,250,000 Alimentation Couche-Tard Inc., 3.6%, June 02, 2025 1,376,275 1,377,590 695,000 Apple Inc., 2.513%, August 19, 2024 728,101 739,428 855,000 Bank of America Corp., 2.604%, March 15, 2023 844,082 876,357 675,000 Bank of America Corp., 2.932%, April 25, 2025 675,419 717,826 1,050,000 Bank of Montreal 2.28%, July 29, 2024 1,035,574 1,103,388 620,000 Bank of Montreal 2.7%, September 11, 2024 629,931 664,978 715,000 Bank of Montreal, FRN, 2.077%, June 17, 2030 718,302 739,511 355,000 Bank of Montreal, FRN, 2.57%, June 01, 2027 361,930 364,906 585,000 Bank of Montreal, FRN, 2.88%, September 17, 2029 567,771 621,980 1,005,000 Bell Canada Inc., 4.7%, September 11, 2023 1,064,573 1,100,849 845,000 Brookfield Asset Management Inc., 5.04%, March 08, 2024 907,193 942,130 924,000 Brookfield Infrastructure Finance ULC 3.315%, February 22, 2024 901,778 986,797 740,000 Brookfield Property Finance ULC 4.115%, October 19, 2021 742,058 753,289 755,000 Brookfield Property Finance ULC 4.3%, March 01, 2024 767,025 790,601 60,000 Brookfield Property Finance ULC 4.346%, July 03, 2023 61,279 62,639 774,000 Brookfield Renewable Partners ULC 3.752%, June 02, 2025 826,052 855,332 453,000 Canadian Imperial Bank of Commerce 2%, April 17, 2025 460,519 472,695 620,000 Canadian Mortgage Pools 6.45%, January 01, 2025 381,212 359,718 590,000 Canadian Tire Corp., Ltd., 3.167%, July 06, 2023 618,650 623,288 790,000 Canadian Western Bank 2.597%, September 06, 2024 784,511 832,107 646,000 Canadian Western Bank 2.737%, June 16, 2022 639,569 665,937 985,000 Canadian Western Bank 3.668%, June 11, 2029 926,782 1,040,751 1,215,000 Capital Power Corp., 4.284%, September 18, 2024 1,236,080 1,337,609 995,000 Choice Properties Real Estate Investment Trust 4.903%, July 05, 2023 1,043,029 1,084,114 175,000 Classic RMBS Trust 3.011%, August 15, 2026 84,697 86,344 1,180,000 Daimler Canada Finance Inc., 2.97%, March 13, 2024 1,200,875 1,254,087 98,000 Daimler Canada Finance Inc., 3.3%, August 16, 2022 97,971 102,162 811,000 Enbridge Inc., 3.95%, November 19, 2024 821,437 894,758 957,000 Enbridge Pipelines Inc., 3.79%, August 17, 2023 1,025,904 1,026,129 1,055,000 EPCOR Utilities Inc., 1.299%, May 19, 2023 1,058,046 1,074,442 1,250,000 Equitable Bank 1.876%, November 26, 2025 1,252,125 1,256,678 1,000,000 Fairstone Financial Issuance Trust I 3.948%, March 21, 2033 1,006,520 1,005,130 80,000 Ford Auto Securitization Trust 2.354%, June 15, 2023 48,951 49,453 55,000 Fortified Trust 2.34%, January 23, 2023 56,264 56,976 2,800,000 General Motors Financial of Canada Ltd., 3%, February 26, 2021 2,812,740 2,809,348 853,000 General Motors Financial of Canada Ltd., 3.25%, November 07, 2023 880,842 900,146 608,000 General Motors Financial of Canada Ltd., 5.95%, May 14, 2024 682,599 696,433 979,000 Gibson Energy Inc., 2.45%, July 14, 2025 992,203 1,017,552 625,000 Glacier Credit Card Trust 2.438%, September 22, 2025 625,000 626,225 100,000 Glacier Credit Card Trust 3.43%, June 06, 2024 100,000 104,086 155,000 Glacier Credit Card Trust 4.138%, September 20, 2023 155,000 163,871 945,000 GMF Canada Leasing Trust 1.685%, November 20, 2025 945,000 948,015 1,275,000 Granite REIT Holdings L.P., 3.873%, November 30, 2023 1,294,207 1,378,842 1,388,000 H&R Real Estate Investment Trust 3.416%, January 23, 2023 1,407,762 1,433,123 620,000 Honda Canada Finance Inc., 1.337%, March 17, 2026 620,000 625,791 1,070,000 Honda Canada Finance Inc., 3.176%, August 28, 2023 1,069,238 1,138,760 270,000 HSBC Bank Canada 2.253%, September 15, 2022 265,402 277,844 925,000 HSBC Bank Canada 2.542%, January 31, 2023 951,746 961,713 715,000 Inter Pipeline Ltd., 4.967%, February 02, 2021 715,937 717,235 1,038,000 Loblaw Co., Ltd., 3.918%, June 10, 2024 1,081,800 1,141,500 1,250,000 Manulife Bank of Canada 2.844%, January 12, 2023 1,259,715 1,307,835 775,000 Manulife Financial Corp., 3.049%, August 20, 2029 821,887 830,352 50,000 Master Credit Card Trust II 3.056%, January 21, 2022 49,433 50,574 1,250,000 Pembina Pipeline Corp., 2.99%, January 22, 2024 1,319,262 1,321,172 565,000 Penske Truck Leasing Canada Inc., 2.85%, December 07, 2022 553,422 585,153






Average Cost($)

Fair Value($)

% of Net Assets

CORPORATE BONDS (cont’d) 100,000 Real Estate Asset Liquidity Trust 1.856%, September 12, 2021 23,286 23,365 700,000 RioCan Real Estate Investment Trust 2.83%, October 03, 2022 685,015 721,684 831,000 RioCan Real Estate Investment Trust 3.746%, May 30, 2022 861,963 863,716 590,000 Rogers Communications Inc., 4%, June 06, 2022 609,047 617,963 700,000 Royal Bank of Canada 1.936%, May 01, 2025 704,255 729,832 470,000 Royal Bank of Canada 2.352%, July 02, 2024 459,680 495,020 1,000,000 Royal Bank of Canada, FRN, 2.88%, December 23, 2029 963,276 1,067,371 880,000 SmartCentres Real Estate Investment Trust 2.757%, June 23, 2021 871,341 888,822 1,405,000 TD Capital Trust IV 6.631%, June 30, 2108 1,469,149 1,445,441 1,024,000 TELUS Corp., 2.35%, March 28, 2022 1,024,664 1,045,255 580,000 Teranet Holdings L.P., 3.544%, June 11, 2025 580,000 624,658 649,000 The Bank of Nova Scotia 2.36%, November 08, 2022 661,569 671,763 1,100,000 Thomson Reuters Corp., 2.239%, May 14, 2025 1,109,200 1,150,786 400,000 Toronto-Dominion Bank, FRN, 3.589%, September 14, 2028 427,888 428,832 905,000 Toyota Credit Canada Inc., 2.11%, February 26, 2025 895,138 949,243 1,190,000 Toyota Credit Canada Inc., 2.31%, October 23, 2024 1,240,293 1,255,205 715,000 Toyota Credit Canada Inc., 3.04%, July 12, 2023 713,769 757,868 700,000 Union Gas Ltd., 3.19%, September 17, 2025 740,622 772,731 625,000 VW Credit Canada Inc., 1.5%, September 23, 2025 623,681 632,412 1,250,000 VW Credit Canada Inc., 2.85%, September 26, 2024 1,227,904 1,331,680 135,000 WTH Car Rental ULC 2.781%, July 20, 2024 135,000 140,861 59,580,420 61,570,057 63.16 PROVINCIAL BONDS 3,779,000 Province of Alberta 2.35%, June 01, 2025 4,028,975 4,054,709 3,409,000 Province of Ontario 1.35%, March 08, 2022 3,403,154 3,455,306 600,000 Province of Ontario 1.75%, September 08, 2025 627,204 628,856 2,219,000 Province of Ontario 2.3%, September 08, 2024 2,309,439 2,360,879 1,990,000 Province of Ontario 2.6%, September 08, 2023 2,083,530 2,105,729 2,744,000 Province of Quebec 3%, September 01, 2023 2,875,934 2,934,438 3,289,000 Province of Quebec 3.5%, December 01, 2022 3,491,183 3,490,725 18,819,419 19,030,642 19.52 CANADIAN GOVERNMENT BONDS 1,984,000 Government of Canada 0.5%, September 01, 2025 1,997,359 1,994,089 2,345,000 Government of Canada 1%, September 01, 2022 2,357,435 2,377,557 1,192,000 Government of Canada 1.5%, August 01, 2021 1,190,180 1,201,416 3,776,000 Government of Canada 1.5%, September 01, 2024 3,944,407 3,941,113 4,668,000 Government of Canada 2%, September 01, 2023 4,908,537 4,883,474 1,039,000 Government of Canada 2.75%, June 01, 2022 1,077,755 1,076,978 276,000 Government of Canada 3.25%, June 01, 2021 280,582 279,518 15,756,255 15,754,145 16.16

Commissions and other portfolio transaction costs -














Series A 2020 2019 6,490 8,773 543 258 26 - (1,886) (2,541) 5,173 6,490

Series E 2020 2019 144,385 142,636 63,333 63,330 688 - (89,110) (61,581) 119,296 144,385

Series E3 2020 2019 - 11,022 - 9,529 - - - (20,551) - -

Series E4 2020 2019 - 1,000 - - - - - (1,000) - -

Series E5 2020 2019 - 12,389 - 1,149 - - - (13,538) - -

Series F 2020 2019 1,000 1,000 7,438 5,752 6 - (4,480) (5,752) 3,964 1,000

Series F3 2020 2019 - 1,000 - 1,721 - - - (2,721) - -

Series F4 2020 2019 - 1,000 - - - - - (1,000) - -

Series F5 2020 2019 - 1,000 - - - - - (1,000) - -

Series I 2020 2019 1,097,426 459,427 5,567,127 3,851,679 71,994 - (2,468,949) (3,213,680) 4,267,598 1,097,426

Series OF 2020 2019 959 959 - - 4 - (871) - 92 959

Series W 2020 2019 589,862 1,394,555 2,443,866 1,225,356 39,859 - (594,337) (2,030,049) 2,479,250 589,862






2020 2019Loaned 14,382 4,446Collateral (non-cash) 14,687 4,542


2020 2019Gross securities lending revenue 11 4Charges (2) (1)Securities lending revenue 9 3Charges as a % of gross securities lending revenue 18.2 25.0


Annual management

fee rate:


fee rate:

Series A 1.750 0.17Series E 1.650 0.17Series F 0.650 0.17Series I Paid directly by investor Paid directly by investorSeries OF 1.250 0.17Series W Paid directly by investor 0.11






Interest Rate RiskThe tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual maturity date.


Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 7,230 39,923 41,503 8,256 96,912


Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 944 11,814 10,047 1,786 24,591

As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $674,000 (December 31, 2019 - $177,000). In practice, the actual results may differ from this analysis and the difference may be material.




(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - 96,355 - 96,355 Total - 96,355 - 96,355


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - 24,591 - 24,591 Total - 24,591 - 24,591





as at December 31, 2019Categories Net Assets (%)Corporate Bonds 47.4 Provincial Bonds 36.4 Canadian Government Bonds 15.2 Other Net Assets (Liabilities) 1.0 Total 100.0


as at December 31, 2020 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 16.9AA/Aa/A+ 10.0A 32.8BBB/Baa/B++ 39.1Total 98.8

as at December 31, 2019 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 20.0AA/Aa/A+ 29.7A 26.5BBB/Baa/B++ 22.0BB/Ba/B+ 0.9Total 99.1




Other Price RiskAs at December 31, 2020 and 2019, the Fund did not invest in equities and therefore was not subject to other price risk.



Canadian Fixed Income Pool



2020 2019

3,158,437 3,028,358 - - 98,446 31,541

4,682 4,614 - - 31 42 20 1 - - 21 67 17,999 16,896 - - - - 273 89 8,657 5,827 3,288,566 3,087,435

- - - -

212 367 - - - - - - - - 6,222 445 4,992 1,544 1 - - - - - - - 11,427 2,356

3,277,139 3,085,079






CIG - 9603






units outstanding:

2020 2019 2020 2019 2020 2019Series A 8,306 11,721 14.55 13.71 570,992 854,721Series E 804,079 785,331 14.63 13.77 54,976,117 57,025,334Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 88,361 69,037 11.31 10.60 7,814,744 6,512,274Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 1,848,099 1,660,041 18.49 17.28 99,932,602 96,049,168Series OF 550 870 16.11 15.12 34,150 57,531Series W 527,744 558,079 26.62 24.88 19,828,161 22,434,086




2020 2019

2,484 1,910 86,131 90,967 4,169 5,430 4,324 - (137) 601

- - - -

110,771 42,414

72,683 62,506 280,425 203,828 6 (1,112) - - 199 356 377 63 582 (693) 281,007 203,135

13,524 13,371 2,043 2,003 99 51 1 1 23 23 - - - - 4 3 309 173 1,848 1,809 17,851 17,434 - -

263,156 185,701













2020 2019 2020 2019 2020 2019Series A 693 639 1.01 0.67 690,869 950,621Series E 56,179 26,006 1.03 0.55 54,416,434 47,495,753Series E3 - 9,636 - 0.58 - 16,394,963Series E4 - 1,901 - 0.60 - 3,185,447Series E5 - 842 - 0.60 - 1,412,367Series F 6,495 1,630 0.92 0.40 7,042,307 4,061,784Series F3 - 875 - 0.67 - 1,307,931Series F4 - 247 - 0.66 - 372,907Series F5 - 20 - 0.66 - 29,939Series I 152,815 107,023 1.62 1.17 94,643,357 91,824,919Series OF 61 55 1.34 0.91 45,418 61,584Series W 46,913 36,827 2.34 1.65 20,117,267 22,295,087












Series A 2020 2019 11,721 13,702 693 639

(124) - (1) - - - (125) -

1,032 568 125 - (5,140) (3,188) (3,983) (2,620) (3,415) (1,981) 8,306 11,721

Series E 2020 2019 785,331 544,454 56,179 26,006

(11,490) - (196) - - - (11,686) -

216,028 352,170 11,685 - (253,458) (137,299) (25,745) 214,871 18,748 240,877 804,079 785,331

Series E3 2020 2019 - 154,996 - 9,636

- - - - - - - -

- 35,047 - - - (199,679) - (164,632) - (154,996) - -

Series E4 2020 2019 - 31,887 - 1,901

- - - - - - - -

- 8,697 - - - (42,485) - (33,788) - (31,887) - -

Series E5 2020 2019 - 12,441 - 842

- - - - - - - -

- 4,196 - - - (17,479) - (13,283) - (12,441) - -

Series F 2020 2019 69,037 22,375 6,495 1,630

(1,681) - (50) - - - (1,731) -

41,659 59,258 1,729 - (28,828) (14,226) 14,560 45,032 19,324 46,662 88,361 69,037

Series F3 2020 2019 - 11,050 - 875

- - - - - - - -

- 7,915 - - - (19,840) - (11,925) - (11,050) - -

Series F4 2020 2019 - 3,288 - 247

- - - - - - - -

- 2,343 - - - (5,878) - (3,535) - (3,288) - -

Series F5 2020 2019 - 80 - 20

- - - - - - - -

- 746 - - - (846) - (100) - (80) - -

Series I 2020 2019 1,660,041 1,429,405 152,815 107,023

(45,776) - (1,567) - - - (47,343) -

557,552 320,139 47,279 - (522,245) (196,526) 82,586 123,613 188,058 230,636 1,848,099 1,660,041

Series OF 2020 2019 870 996 61 55

(13) - - - - - (13) -

63 105 13 - (444) (286) (368) (181) (320) (126) 550 870

Series W 2020 2019 558,079 515,748 46,913 36,827

(13,401) - (427) - - - (13,828) -

177,269 93,286 13,824 - (254,513) (87,782) (63,420) 5,504 (30,335) 42,331 527,744 558,079








Total Fund 2020 2019 3,085,079 2,740,422 263,156 185,701

(72,485) - (2,241) - - - (74,726) -

993,603 884,470 74,655 - (1,064,628) (725,514) 3,630 158,956 192,060 344,657 3,277,139 3,085,079




2020 2019

263,156 185,701

(110,771) (42,414) 94 225 99 51

(72,683) (62,506) 4,798,454 4,901,157 (4,731,315) (5,115,332) (8,493) (5,430) 11 1,767 - - 46 52 (1,103) 157 - - - - - - (19) (1) 137,476 (136,573)

(70) - 918,874 502,091 (989,281) (351,430) (70,477) 150,661

(94) (225) 66,999 14,088 31,541 17,678 98,446 31,541

2,348 1,906 84,874 91,034 - - 4 3 - -












Average Cost($)

Fair Value($)

% of Net Assets

CORPORATE BONDS 1,205,000 407 International Inc., 2.59%, May 25, 2032 1,216,158 1,298,861 4,509,000 407 International Inc., 2.84%, March 07, 2050 4,483,610 4,767,093 3,252,000 407 International Inc., 3.6%, May 21, 2047 3,388,110 3,896,500 3,256,000 407 International Inc., 3.65%, September 08, 2044 3,422,432 3,878,944 4,402,000 407 International Inc., Callable, 5.96%, December 03, 2035 5,544,292 6,353,973 EUR 1,011,184 Abengoa Abenewco 1 S.A.U., 6%, March 31, 2021 1,240,263 1,326,991 EUR 24,757 Abengoa Abenewco 1 S.A.U., Zero Coupon, December 31, 2022 - - USD 1,297,332 Abengoa Abenewco 2 BIS S.A., 1.5%, April 26, 2024 242,093 33,027 USD 315,000 Abercrombie & Fitch Co., 8.75%, July 15, 2025 431,452 446,321 USD 815,000 Academy Ltd., 6%, November 15, 2027 1,085,176 1,089,281 USD 82,000 Academy Ltd., Term Loan, Private Placement, variable rate, October 28, 2027 108,092 104,351 5,709,076 Access Health Abbotsford Ltd., 6.032%, March 07, 2038 6,922,606 7,768,511 USD 109,886 Acrisure LLC, Term Loan B, Private Placement, variable rate, January 31, 2027 145,885 137,630 USD 457,000 AerCap Global Aviation Trust 6.5%, June 15, 2045 520,961 594,802 USD 522,000 AerCap Holdings N.V., 5.875%, October 10, 2079 700,520 683,326 USD 89,000 AerCap Ireland Capital DAC/AerCap Global Aviation Trust 6.5%, July 15, 2025 118,829 135,537 2,892,000 Aeroports de Montreal 3.03%, April 21, 2050 2,917,076 3,190,846 USD 826,000 Air Canada 4%, July 01, 2025 1,181,161 1,556,090 22,000 Air Canada 4.75%, October 06, 2023 20,570 22,403 USD 420,000 Air Canada 7.75%, April 15, 2021 571,857 537,958 USD 8,660 Air Canada, 2013-1 Class A Pass Through Certificates 4.125%, May 15, 2025 10,758 10,654 USD 144,020 Air Canada, Term Loan B, Private Placement, variable rate, October 06, 2023 165,893 181,031 8,839,000 Air Lease Corp., 2.625%, December 05, 2024 8,711,049 9,037,636 73,000 Algonquin Power Co., 4.82%, February 15, 2021 73,591 73,333 3,020,000 Alimentation Couche-Tard Inc., 3.6%, June 02, 2025 3,105,334 3,328,258 1,611,962 Alliance Pipeline L.P., 7.181%, June 30, 2023 1,819,755 1,762,088 1,576,666 Alliance Pipeline L.P., 7.217%, December 31, 2025 1,848,478 1,895,519 5,553,000 Allied Properties Real Estate Investment Trust 3.113%, April 08, 2027 5,690,394 5,929,859 7,015,000 Allied Properties Real Estate Investment Trust 3.117%, February 21, 2030 7,065,452 7,373,387 1,785,000 Allied Properties Real Estate Investment Trust 3.131%, May 15, 2028 1,796,294 1,897,592 5,272,000 Allied Properties Real Estate Investment Trust 3.636%, April 21, 2025 5,443,791 5,721,780 1,615,000 Allied Properties Real Estate Investment Trust 3.934%, November 14, 2022 1,666,979 1,704,269 5,869,000 AltaGas Ltd., 2.609%, December 16, 2022 6,073,939 6,083,903 2,399,000 AltaLink L.P., 3.99%, June 30, 2042 2,728,302 2,993,881 1,745,000 AltaLink L.P., 4.462%, November 08, 2041 2,199,413 2,300,997 3,159,000 AltaLink L.P., 4.872%, November 15, 2040 3,831,908 4,322,652 USD 151,000 Alterra Mountain Co., Term Loan, Private Placement, variable rate, August 01, 2026 195,804 193,889 USD 85,000 Altice Financing S.A., 5%, January 15, 2028 110,781 111,004 USD 380,000 Altice France Holding S.A., 6%, February 15, 2028 506,389 490,644 USD 82,000 Altice France S.A., 5.5%, January 15, 2028 108,634 109,258 USD 2,067,122 Alvogen Pharma US Inc., Term Loan B-Ext, Private Placement, variable rate, December 31, 2023 2,746,385 2,530,363 USD 407,000 AMC Entertainment Holdings Inc., 10.5%, April 15, 2025 559,639 368,800 USD 509,594 AMC Entertainment Holdings Inc., Term Loan B, Private Placement, variable rate, March 20, 2026 673,559 421,305 USD 354,000 American Airlines Group Inc., 6.5%, July 01, 2025 455,147 567,117 6,021,000 Anheuser-Busch InBev Finance Inc., 4.32%, May 15, 2047 6,077,026 6,944,471 USD 1,685,000 Anheuser-Busch InBev Worldwide Inc., 4.35%, June 01, 2040 2,409,869 2,638,737 USD 16,000 Antero Resources Corp., 5.625%, June 01, 2023 17,565 19,984 USD 141,000 Antero Resources Corp., 8.375%, July 15, 2026 179,508 183,640 USD 342,000 Archrock Partners L.P./Archrock Partners Finance Corp., 6.25%, April 01, 2028 453,286 454,250 USD 1,278,000 Argos Merger Sub Inc., 7.125%, March 15, 2023 1,654,743 1,628,795 2,723,347 Arrow Lakes Power Corp., 5.516%, April 05, 2041 3,161,648 3,560,174 2,124,000 AT&T Inc., 4%, November 25, 2025 2,341,328 2,396,785 USD 218,000 Avaya Inc., 6.125%, September 15, 2028 287,443 296,953 11,049,000 Aviva PLC 4%, October 02, 2030 11,093,222 11,663,240 8,512,000 Aviva PLC 4.5%, May 10, 2021 8,642,599 8,620,519





CORPORATE BONDS (cont’d) 8,933,000 Bank of America Corp., 2.604%, March 15, 2023 8,918,556 9,156,140 11,038,000 Bank of America Corp., 2.932%, April 25, 2025 11,363,975 11,738,315 5,598,000 Bank of America Corp., 3.301%, April 24, 2024 5,665,964 5,920,298 5,200,000 Bank of America Corp., 3.515%, March 24, 2026 5,293,550 5,704,470 USD 119,000 Bank of America Corp., 4.3%, December 31, 2049 155,610 156,369 USD 1,523,000 Bank of America Corp., 5.875%, December 31, 2049 1,964,072 2,195,326 USD 131,000 Bank of America Corp., FRN, 5.2%, December 31, 2049 149,995 173,915 3,798,000 Bank of Montreal 2.28%, July 29, 2024 3,818,300 3,991,112 4,137,000 Bank of Montreal 2.37%, February 03, 2025 4,168,923 4,375,116 6,056,000 Bank of Montreal 2.7%, September 11, 2024 6,112,789 6,495,329 3,053,000 Bank of Montreal 2.85%, March 06, 2024 3,077,237 3,251,669 9,689,000 Bank of Montreal 2.89%, June 20, 2023 9,809,934 10,246,690 3,699,000 Bank of Montreal 3.19%, March 01, 2028 3,782,429 4,212,344 8,424,000 Bank of Montreal, FRN, 2.077%, June 17, 2030 8,462,042 8,712,781 1,694,000 Bank of Montreal, FRN, 2.57%, June 01, 2027 1,728,426 1,741,270 4,265,000 Bank of Montreal, FRN, 2.88%, September 17, 2029 4,303,167 4,534,607 4,571,000 Bank of Montreal, FRN, 4.3%, November 26, 2080 4,583,766 4,714,209 4,809,590 Bankers Hall L.P., 4.377%, November 20, 2023 4,873,826 5,027,199 USD 151,000 Barclays PLC 6.125%, December 31, 2049 200,451 207,589 USD 1,211,000 Barclays PLC 6.278%, December 31, 2049 1,777,931 1,936,943 USD 248,000 Barclays PLC 7.75%, December 31, 2049 323,077 340,143 USD 851,000 Barclays PLC 7.875%, December 31, 2049 1,139,984 1,138,750 USD 664,000 Barclays PLC 8%, December 31, 2049 882,521 942,831 455,000 bcIMC Realty Corp., 3.51%, June 29, 2022 475,930 475,329 6,996,000 Bell Canada Inc., 2.9%, September 10, 2029 7,039,165 7,595,808 9,818,000 Bell Canada Inc., 3.5%, September 30, 2050 9,493,111 10,364,359 2,639,000 Bell Canada Inc., 3.8%, August 21, 2028 2,950,602 3,035,798 1,553,000 Bell Canada Inc., 4.45%, February 27, 2047 1,635,015 1,887,016 9,708,000 Bell Canada Inc., 4.7%, September 11, 2023 10,603,484 10,633,875 USD 234,000 Big River Steel LLC/BRS Finance Corp., 6.625%, January 31, 2029 307,862 322,245 USD 850,591 Blue Ribbon LLC, Term Loan, Private Placement, variable rate, November 13, 2021 1,030,288 1,026,548 GBP 310,901 BrightHouse Group PLC 9%, May 15, 2023 542,168 135,294 1,831,000 Brookfield Asset Management Inc., 3.8%, March 16, 2027 1,824,678 2,060,429 4,579,000 Brookfield Asset Management Inc., 4.82%, January 28, 2026 5,155,717 5,306,488 1,262,000 Brookfield Asset Management Inc., 5.04%, March 08, 2024 1,347,944 1,407,063 5,024,000 Brookfield Asset Management Inc., 5.95%, June 14, 2035 5,672,302 6,736,950 10,929,000 Brookfield Infrastructure Finance ULC 3.315%, February 22, 2024 11,082,038 11,671,760 6,102,000 Brookfield Infrastructure Finance ULC 3.41%, October 09, 2029 5,904,254 6,717,222 9,123,000 Brookfield Infrastructure Finance ULC 4.193%, September 11, 2028 9,400,835 10,581,665 3,961,000 Brookfield Property Finance ULC 3.93%, January 15, 2027 3,971,424 4,114,360 5,158,000 Brookfield Property Finance ULC 4.115%, October 19, 2021 5,191,465 5,250,630 8,391,000 Brookfield Property Finance ULC 4.3%, March 01, 2024 8,693,107 8,786,666 5,269,000 Brookfield Property Finance ULC 4.346%, July 03, 2023 5,340,281 5,500,746 USD 1,807,000 Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimnus 5.75%, May 15, 2026 2,430,894 2,269,934 3,550,000 Brookfield Renewable Partners ULC 3.33%, August 13, 2050 3,565,154 3,673,969 5,086,000 Brookfield Renewable Partners ULC 3.38%, January 15, 2030 5,057,469 5,726,605 2,761,000 Brookfield Renewable Partners ULC 3.63%, January 15, 2027 2,776,937 3,108,472 5,409,000 Brookfield Renewable Partners ULC 3.752%, June 02, 2025 5,597,631 5,977,380 5,652,000 Brookfield Renewable Partners ULC 4.25%, January 15, 2029 6,008,361 6,709,814 4,060,000 Brookfield Renewable Partners ULC 5.84%, November 05, 2036 4,405,539 5,508,861 USD 863,000 Brookfield Residential Properties Inc., 4.875%, February 15, 2030 1,147,662 1,136,617 USD 772,000 Brookfield Residential Properties Inc., 6.25%, September 15, 2027 1,016,132 1,047,164 6,699,000 Bruce Power L.P., 4%, June 21, 2030 6,860,591 7,767,874 USD 110,000 Cablevision Lightpath LLC 3.875%, September 15, 2027 145,090 141,069 USD 75,000 Cablevision Lightpath LLC 5.625%, September 15, 2028 98,925 100,062


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) 146,000 Calfrac Holdings L.P., 10%, December 18, 2023 146,000 146,000 USD 537,350 Calfrac Holdings L.P., 10.875%, March 15, 2026 690,822 478,794 3,934,000 Cameco Corp., 2.95%, October 21, 2027 3,935,797 4,052,871 USD 1,519,000 Canada Goose Inc., Term Loan, Private Placement, variable rate, October 01, 2027 1,996,906 1,937,155 1,601,000 Canada Life Capital Trust 7.529%, June 30, 2032 2,169,874 2,380,644 5,453,000 Canadian Imperial Bank of Commerce 2%, April 17, 2025 5,492,789 5,690,080 3,875,000 Canadian Imperial Bank of Commerce 2.04%, March 21, 2022 3,874,467 3,953,639 4,008,000 Canadian Imperial Bank of Commerce 2.3%, July 11, 2022 3,998,551 4,122,830 3,540,000 Canadian Imperial Bank of Commerce 2.35%, August 28, 2024 3,563,399 3,728,633 6,853,000 Canadian Imperial Bank of Commerce 2.97%, July 11, 2023 6,956,518 7,267,727 6,431,000 Canadian Imperial Bank of Commerce 3.3%, May 26, 2025 6,621,876 7,130,069 12,790,000 Canadian Imperial Bank of Commerce 3.42%, January 26, 2026 12,889,492 12,812,300 5,815,000 Canadian Imperial Bank of Commerce 4.375%, October 28, 2080 5,840,305 5,989,450 5,214,000 Canadian National Railway Co., 3.05%, February 08, 2050 5,311,661 5,751,572 3,048,000 Canadian Natural Resources Ltd., 2.5%, January 17, 2028 3,049,976 3,156,493 5,983,000 Canadian Natural Resources Ltd., 3.42%, December 01, 2026 6,239,914 6,550,735 2,027,000 Canadian Pacific Railway Ltd., 3.05%, March 09, 2050 2,019,655 2,158,791 2,519,000 Canadian Tire Corp., Ltd., 3.167%, July 06, 2023 2,587,980 2,661,124 1,809,000 Canadian Tire Corp., Ltd., 5.61%, September 04, 2035 2,083,257 2,171,556 1,855,000 Canadian Western Bank 2.597%, September 06, 2024 1,862,619 1,953,872 3,858,000 Canadian Western Bank 2.737%, June 16, 2022 3,861,649 3,977,064 5,074,000 Canadian Western Bank 2.788%, September 13, 2021 5,071,462 5,154,990 5,028,000 Canadian Western Bank 3.668%, June 11, 2029 5,055,860 5,312,586 201,000 Canadian Western Bank 6%, April 30, 2081 202,100 207,719 4,825,000 Capital Power Corp., 3.147%, October 01, 2032 4,830,618 4,969,952 6,087,000 Capital Power Corp., 4.284%, September 18, 2024 6,170,459 6,701,256 4,888,000 Capital Power Corp., 4.424%, February 08, 2030 4,991,401 5,657,459 8,710,000 Capital Power Corp., 4.986%, January 23, 2026 8,889,342 10,040,532 3,784,000 CARDS II Trust 2.427%, November 15, 2024 3,825,807 4,016,448 1,768,000 CARDS II Trust 3.127%, November 15, 2024 1,782,583 1,868,811 3,215,000 CARDS II Trust 3.877%, November 15, 2024 3,246,992 3,349,451 USD 197,000 Carnival Corp., 10.5%, February 01, 2026 287,031 292,450 USD 926,000 Carnival Corp., 11.5%, April 01, 2023 1,309,541 1,365,143 USD 298,000 Carnival Corp., 7.2%, October 01, 2023 361,987 387,858 USD 299,000 Carnival Corp., 7.625%, March 01, 2026 391,197 415,369 USD 536,000 Carvana Co., 5.625%, October 01, 2025 717,114 701,035 USD 1,184,000 Carvana Co., 5.875%, October 01, 2028 1,581,657 1,567,393 4,716,000 CCL Industries Inc., 3.864%, April 13, 2028 4,855,091 5,312,169 USD 304,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, February 01, 2031 414,895 408,286 USD 14,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, August 15, 2030 19,214 18,934 USD 418,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, May 01, 2032 573,106 568,768 USD 539,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, March 01, 2030 719,202 741,150 USD 273,000 CCO Holdings LLC/CCO Holdings Capital Corp., 5%, February 01, 2028 372,158 367,829 USD 14,000 Cenovus Energy Inc., 3.8%, September 15, 2023 11,020 18,519 USD 69,000 Cenovus Energy Inc., 4.25%, April 15, 2027 82,576 95,989 USD 7,000 Cenovus Energy Inc., 5.4%, June 15, 2047 6,215 10,475 USD 378,000 Cenovus Energy Inc., 6.75%, November 15, 2039 434,155 636,881 834,000 Central 1 Credit Union 3.06%, October 14, 2026 844,008 844,987 USD 105,000 CenturyLink Inc., 4.5%, January 15, 2029 137,366 136,244 464,000 CES Energy Solutions Corp., 6.375%, October 21, 2024 464,000 457,717 USD 43,450 ChampionX Holding Inc., Term Loan, Private Placement, variable rate, June 01, 2027 56,533 56,275 USD 1,974,000 Charter Communications Operating LLC 2.8%, April 01, 2031 2,719,296 2,661,113 USD 726,000 Cheplapharm Arzneimittel GmbH 5.5%, January 15, 2028 972,518 966,863 7,788,000 Choice Properties Real Estate Investment Trust 2.848%, May 21, 2027 8,061,065 8,318,015 3,857,000 Choice Properties Real Estate Investment Trust 2.981%, March 04, 2030 3,890,510 4,110,215


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) 4,564,000 Choice Properties Real Estate Investment Trust 3.827%, March 04, 2050 4,615,344 4,817,478 5,640,000 Choice Properties Real Estate Investment Trust 4.178%, March 08, 2028 5,852,364 6,500,665 2,884,000 Choice Properties Real Estate Investment Trust 5.268%, March 07, 2046 3,147,934 3,663,063 USD 210,000 Cinemark Holdings Inc., 4.5%, August 15, 2025 255,734 391,469 USD 696,000 Cinemark USA Inc., 4.875%, June 01, 2023 847,142 843,300 291,000 Citigroup Inc., 3.39%, November 18, 2021 299,206 298,595 4,685,000 Citigroup Inc., 4.09%, June 09, 2025 4,813,747 5,202,206 USD 40,000 Citigroup Inc., 4.7%, December 31, 2049 52,192 52,416 USD 210,000 Citigroup Inc., 5.95%, December 29, 2049 287,058 280,676 USD 930,000 Citigroup Inc., FRN, Series P, 5.95%, December 31, 2049 1,137,392 1,296,254 10,542,000 Classic RMBS Trust 3.011%, August 15, 2026 5,135,185 5,201,385 USD 368,000 Clearwater Seafoods Inc., 6.875%, May 01, 2025 483,619 491,845 3,525,722 Comber Wind Financial Corp., 5.132%, November 15, 2030 3,736,248 4,089,028 USD 148,000 CommScope Finance LLC 5.5%, March 01, 2024 199,301 194,486 USD 129,000 CommScope Finance LLC 6%, March 01, 2026 172,506 173,221 USD 151,000 CommScope Inc., 7.125%, July 01, 2028 204,363 204,955 USD 369,804 CommScope Inc., Term Loan B2, Private Placement, variable rate, February 07, 2026 488,404 468,613 USD 129,000 Comstock Resources Inc., 9.75%, August 15, 2026 168,652 177,135 USD 215,000 Consolidated Communications Inc., 6.5%, October 01, 2028 283,780 293,240 USD 65,000 Consolidated Communications Inc., Term Loan, Private Placement, variable rate, October 18, 2027 84,507 83,236 3,172,000 Co-operators Financial Services Ltd., 3.327%, May 13, 2030 3,179,640 3,240,399 USD 942,000 Credit Suisse Group AG 4.5%, December 31, 2049 1,217,353 1,207,941 USD 352,000 Credit Suisse Group AG 5.1%, December 31, 2049 458,069 467,102 USD 600,000 Credit Suisse Group AG 5.25%, December 31, 2049 798,241 809,562 USD 1,001,000 Credit Suisse Group AG 6.25%, December 31, 2049 1,249,482 1,397,525 USD 393,000 Credit Suisse Group AG 6.375%, December 31, 2049 529,981 557,569 USD 433,000 Credit Suisse Group AG 7.5%, December 31, 2049 568,531 602,147 USD 39,000 Credit Suisse Group AG, FRN, 7.5%, December 11, 2023 48,859 55,392 1,530,000 Crew Energy Inc., 6.5%, March 14, 2024 1,489,838 1,077,375 2,605,000 Crombie Real Estate Investment Trust 3.917%, June 21, 2027 2,659,984 2,907,049 USD 1,124,000 Crown Americas LLC/Crown Americas Capital Corp., 4.75%, February 01, 2026 1,418,701 1,489,481 USD 252,000 CrownRock L.P./CrownRock Finance Inc., 5.625%, October 15, 2025 315,643 328,181 USD 65,000 CSC Holdings LLC 5.375%, February 01, 2028 81,042 88,530 USD 576,000 CSC Holdings LLC, 4.625%, December 01, 2030 786,512 766,281 1,388,000 CT Real Estate Investment Trust 3.527%, June 09, 2025 1,403,471 1,510,526 5,626,000 CU Inc., 2.609%, September 28, 2050 5,622,520 5,691,879 1,595,000 CU Inc., 3.548%, November 22, 2047 1,668,267 1,901,185 1,568,000 CU Inc., 3.964%, July 27, 2045 1,676,552 1,968,711 728,000 CU Inc., 4.801%, November 22, 2021 758,503 756,032 USD 150,000 Cushman & Wakefield US Borrower LLC 6.75%, May 15, 2028 208,861 211,102 1,348,000 Daimler Canada Finance Inc., 1.65%, September 22, 2025 1,346,940 1,374,421 364,000 Daimler Canada Finance Inc., 1.91%, July 08, 2021 367,094 366,802 58,000 Daimler Canada Finance Inc., 2.23%, December 16, 2021 58,980 58,957 1,093,000 Daimler Canada Finance Inc., 3.3%, August 16, 2022 1,094,698 1,139,423 USD 57,000 Delta Air Lines Inc., 7%, May 01, 2025 80,000 83,832 USD 170,000 Delta Air Lines Inc., 7.375%, January 15, 2026 227,443 247,393 USD 18,905 Delta Air Lines Inc., Term Loan, Private Placement, variable rate, April 27, 2023 25,737 24,485 USD 62,000 Delta Air Lines Inc./SkyMiles IP Ltd., 4.5%, October 20, 2025 81,719 84,394 USD 521,000 Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, August 15, 2026 680,731 540,076 USD 134,000 Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, August 15, 2027 174,668 103,407 USD 60,464 Digicel International Finance Ltd., Term Loan B, Private Placement, variable rate, May 27, 2024 82,143 70,647 USD 331,000 Discover Financial Services Inc., 6.125%, December 31, 2049 449,100 476,628 USD 255,000 Dole Food Co., Inc., 7.25%, June 15, 2025 338,605 332,263 USD 138,000 Dolya HoldCo 18 Designated Activity Co., 5%, July 15, 2028 185,285 182,862 2,970,000 Dream Industrial Real Estate Investment Trust 1.662%, December 22, 2025 2,970,000 2,986,924


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 1,192,000 Dresdner Funding Trust I 8.151%, June 30, 2031 1,989,718 2,243,650 3,843,000 Eagle Credit Card Trust 1.273%, July 17, 2025 3,845,559 3,880,958 830,000 Eagle Credit Card Trust 1.773%, July 17, 2025 830,000 828,382 1,875,000 Eagle Credit Card Trust 2.773%, July 17, 2025 1,874,595 1,871,888 USD 820,454 Egalet Corp., 13%, January 31, 2024 958,646 1,033,909 5,036,000 E-L Financial Corp., Ltd., 4%, June 22, 2050 5,058,269 5,388,903 USD 464,000 Empire Communities Corp., 7%, December 15, 2025 604,260 623,911 946,000 Empire Communities Corp., 7.375%, December 15, 2025 952,622 981,579 1,623,000 Enbridge Gas Inc., 2.9%, April 01, 2030 1,643,925 1,817,470 3,401,000 Enbridge Gas Inc., 3.01%, August 09, 2049 3,499,421 3,728,098 3,992,000 Enbridge Gas Inc., 3.65%, April 01, 2050 4,290,442 4,889,353 4,580,000 Enbridge Inc., 3.95%, November 19, 2024 4,929,347 5,053,012 6,458,000 Enbridge Inc., 4.24%, August 27, 2042 6,418,001 7,156,136 1,383,000 Enbridge Inc., 4.85%, February 22, 2022 1,452,980 1,448,822 5,393,000 Enbridge Inc., 4.87%, November 21, 2044 5,727,657 6,532,283 3,150,000 Enbridge Inc., 5.375%, September 27, 2077 3,110,151 3,344,412 USD 1,000 Enbridge Inc., 5.5%, July 15, 2077 1,020 1,307 738,000 Enbridge Inc., 5.75%, September 02, 2039 870,343 961,550 USD 1,541,000 Enbridge Inc., 6%, January 15, 2077 2,085,431 2,096,057 USD 9,204,000 Enbridge Inc., 6.25%, March 01, 2078 11,771,053 12,833,624 5,665,000 Enbridge Inc., 6.625%, April 12, 2078 5,839,700 6,482,690 5,424,000 Enbridge Pipelines Inc., 3.79%, August 17, 2023 5,806,905 5,815,806 2,114,000 Enbridge Pipelines Inc., 4.33%, February 22, 2049 2,163,053 2,501,171 USD 251,000 Endeavor Energy Resources L.P./EER Finance Inc., 5.5%, January 30, 2026 321,667 328,451 USD 612,000 Endeavor Energy Resources L.P./EER Finance Inc., 5.75%, January 30, 2028 814,434 841,489 3,018,000 EPCOR Utilities Inc., 2.899%, May 19, 2050 3,201,540 3,230,376 2,702,000 EPCOR Utilities Inc., 3.949%, November 26, 2048 2,841,653 3,457,448 1,248,000 EPCOR Utilities Inc., 4.55%, February 28, 2042 1,391,863 1,659,205 1,826,000 Equitable Bank 1.774%, September 21, 2023 1,827,467 1,852,971 2,752,000 Equitable Bank 1.876%, November 26, 2025 2,752,117 2,766,702 USD 445,000 Fairstone Financial Inc., 7.875%, July 15, 2024 601,445 602,136 1,768,000 Fairstone Financial Issuance Trust I 2.509%, October 20, 2039 1,768,256 1,782,374 1,768,000 Fairstone Financial Issuance Trust I 3.735%, October 20, 2039 1,767,565 1,773,180 3,575,000 Fairstone Financial Issuance Trust I 3.948%, March 21, 2033 3,598,309 3,593,340 6,108,000 Fairstone Financial Issuance Trust I 3.948%, March 21, 2033 6,149,992 6,167,003 1,626,000 Fairstone Financial Issuance Trust I 5.084%, March 21, 2033 1,627,159 1,634,471 5,289,094 Fifth Avenue L.P., 4.71%, August 05, 2021 5,412,861 5,376,928 USD 96,000 First Quantum Minerals Ltd., 6.5%, March 01, 2024 125,642 125,788 USD 641,000 First Quantum Minerals Ltd., 6.875%, March 01, 2026 758,887 852,133 USD 526,000 First Quantum Minerals Ltd., 6.875%, October 15, 2027 689,050 727,292 USD 107,000 First Quantum Minerals Ltd., 7.25%, April 01, 2023 141,572 140,586 USD 2,458,000 First Quantum Minerals Ltd., 7.5%, April 01, 2025 3,239,640 3,261,752 3,971,000 Ford Auto Securitization Trust 2.354%, June 15, 2023 2,434,102 2,454,737 7,051,000 Fortified Trust 2.34%, January 23, 2023 7,091,284 7,304,287 9,281,000 Fortified Trust 2.558%, March 23, 2024 9,490,197 9,818,088 2,263,000 FortisAlberta Inc., 4.11%, September 29, 2044 2,417,828 2,884,338 2,489,000 FortisAlberta Inc., 4.27%, September 22, 2045 2,760,050 3,263,264 1,094,000 FortisAlberta Inc., Zero Coupon, June 08, 2051 1,094,000 1,112,323 2,581,000 FortisBC Energy (Vancouver Island) Inc., 6.05%, February 15, 2038 3,317,294 3,860,712 2,594,000 FortisBC Energy Inc., 2.54%, July 13, 2050 2,593,154 2,615,516 2,351,000 FortisBC Energy Inc., 2.82%, August 09, 2049 2,192,328 2,505,907 4,228,000 FortisBC Inc., 5.6%, November 09, 2035 5,425,302 5,900,692 2,003,000 FortisBC Inc., 6.1%, June 02, 2039 2,712,316 3,020,401 USD 921,000 Fortress Transportation and Infrastructure Investors LLC 6.5%, October 01, 2025 1,186,056 1,229,495 USD 267,000 Fortress Transportation and Infrastructure Investors LLC 6.75%, March 15, 2022 360,968 341,469


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 473,000 Fortress Transportation and Infrastructure Investors LLC 9.75%, August 01, 2027 634,792 691,263 USD 409,000 Front Range BidCo Inc., 4%, March 01, 2027 542,332 522,595 USD 365,224 Front Range BidCo Inc., Term Loan, Private Placement, variable rate, February 21, 2027 483,075 463,107 USD 242,000 Frontier Communications Corp., 5%, May 01, 2028 316,051 321,710 USD 141,000 Frontier Communications Corp., 5.875%, October 15, 2027 187,234 194,398 3,066,000 General Motors Financial of Canada Ltd., 3.25%, November 07, 2023 3,099,532 3,235,462 2,996,000 General Motors Financial of Canada Ltd., 5.95%, May 14, 2024 3,290,106 3,431,768 USD 1,335,000 Genworth Holdings Inc., 2.2235%, November 15, 2036 1,248,027 705,216 USD 1,096,000 Genworth Holdings Inc., 4.8%, February 15, 2024 1,266,537 1,307,029 USD 232,000 Genworth Holdings Inc., 4.9%, August 15, 2023 272,517 279,993 USD 304,000 Genworth Mortgage Holdings Inc., 6.5%, August 15, 2025 401,723 419,610 5,789,000 George Weston Ltd., 4.115%, June 17, 2024 6,060,261 6,317,705 1,909,000 George Weston Ltd., 6.69%, March 01, 2033 2,360,592 2,591,196 2,440,000 George Weston Ltd., 7.1%, February 05, 2032 3,069,947 3,330,345 5,352,000 Gibson Energy Inc., 2.45%, July 14, 2025 5,427,338 5,562,756 2,757,000 Gibson Energy Inc., 2.85%, July 14, 2027 2,769,779 2,911,403 3,422,000 Gibson Energy Inc., 3.6%, September 17, 2029 3,444,588 3,746,280 964,000 Gibson Energy Inc., 5.25%, December 22, 2080 964,000 973,937 4,337,000 Glacier Credit Card Trust 1.388%, September 22, 2025 4,340,727 4,394,343 2,461,000 Glacier Credit Card Trust 2.438%, September 22, 2025 2,460,965 2,465,824 4,881,000 Glacier Credit Card Trust 3.298%, September 20, 2022 4,826,290 5,018,742 3,586,000 Glacier Credit Card Trust 3.43%, June 06, 2024 3,604,942 3,732,524 5,987,000 Glacier Credit Card Trust 4.138%, September 20, 2023 6,059,558 6,329,636 USD 2,302,547 Global Aircraft Leasing Co., Ltd., 6.5%, September 15, 2024 3,031,712 2,623,159 1,477,000 GMF Canada Leasing Trust 0.912%, July 20, 2023 1,477,056 1,480,578 USD 338,000 Goldman Sachs Group Inc., 4.12788%, December 31, 2049 428,237 430,445 USD 835,000 Goldman Sachs Group Inc., 5.3%, December 31, 2049 1,096,121 1,163,543 3,150,000 Granite REIT Holdings L.P., 2.378%, December 18, 2030 3,150,000 3,199,106 4,720,000 Granite REIT Holdings L.P., 3.062%, June 04, 2027 5,082,882 5,124,945 3,316,000 Granite REIT Holdings L.P., 3.788%, July 05, 2021 3,347,532 3,368,180 1,967,000 Greater Toronto Airports Authority 2.75%, October 17, 2039 1,967,700 2,067,727 3,584,000 Greater Toronto Airports Authority 4.53%, December 02, 2041 4,349,762 4,764,787 663,000 Greater Toronto Airports Authority 5.3%, February 25, 2041 868,982 956,704 1,063,678 Greater Toronto Airports Authority 6.45%, July 30, 2029 1,229,772 1,309,846 503,000 Greater Toronto Airports Authority, Callable, 6.98%, October 15, 2032 729,254 751,381 6,073,000 Great-West Lifeco Inc., 2.379%, May 14, 2030 6,138,027 6,442,735 995,000 Great-West Lifeco Inc., 2.981%, July 08, 2050 986,432 1,023,813 USD 350,000 H&E Equipment Services Inc., 3.875%, December 15, 2028 454,545 450,838 248,000 H&R Real Estate Investment Trust 2.923%, May 06, 2022 252,166 252,394 4,114,000 H&R Real Estate Investment Trust 3.416%, January 23, 2023 4,103,894 4,247,744 USD 1,689,035 Hartford Financial Services Group Inc., 2.346%, February 12, 2047 1,782,157 1,920,768 USD 739,000 HCA Inc., 3.5%, September 01, 2030 981,705 1,000,319 USD 1,423,000 HCA Inc., 5.375%, September 01, 2026 1,889,807 2,085,340 USD 431,000 HCA Inc., 7.05%, December 01, 2027 579,646 665,372 USD 126,000 HCA Inc., 7.58%, September 15, 2025 181,779 194,066 USD 47,000 HCA Inc., 7.69%, June 15, 2025 72,381 72,009 3,257,000 Heathrow Funding Ltd., 3.25%, May 21, 2025 3,400,714 3,461,744 4,761,000 Heathrow Funding Ltd., 3.782%, September 04, 2030 4,838,901 5,139,085 USD 529,000 Hilton Domestic Operating Co., Inc., 4%, May 01, 2031 694,776 711,734 9,254,000 Honda Canada Finance Inc., 3.176%, August 28, 2023 9,509,462 9,848,676 USD 213,000 Howard Hughes Corp., 5.375%, August 01, 2028 282,756 292,105 USD 271,000 Howard Hughes Corp., 5.375%, March 15, 2025 360,839 356,597 3,775,000 HSBC Bank Canada 2.253%, September 15, 2022 3,789,338 3,884,667 3,035,000 HSBC Bank Canada 2.449%, January 29, 2021 3,022,929 3,039,131 5,690,000 HSBC Bank Canada 2.542%, January 31, 2023 5,706,724 5,915,834


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) 4,908,000 HSBC Bank Canada 3.245%, September 15, 2023 4,986,177 5,235,194 2,465,000 HSBC Holdings PLC 3.196%, December 05, 2023 2,467,149 2,623,325 USD 303,268 HUB International Ltd., Term Loan B, Private Placement, variable rate, April 25, 2025 388,116 379,695 USD 49,625 HUB International Ltd., Term Loan B, Private Placement, variable rate, April 25, 2025 64,136 63,447 USD 155,000 Hudbay Minerals Inc., 6.125%, April 01, 2029 203,926 213,083 USD 695,000 Hughes Satellite Systems Corp., 5.25%, August 01, 2026 906,566 979,596 USD 139,000 Hughes Satellite Systems Corp., 6.625%, August 01, 2026 196,636 200,824 12,138,000 Husky Energy Inc., 3.5%, February 07, 2028 12,147,556 12,408,646 USD 1,992,000 Husky III Holding Ltd., 13%, February 15, 2025 2,610,531 2,765,399 3,972,000 IGM Financial Inc., 4.56%, January 25, 2047 4,246,380 4,932,998 USD 255,000 ILFC E-Capital Trust I, FRN, 4.67%, December 21, 2065 288,914 219,097 USD 1,812,000 ILFC E-Capital Trust II 4.15%, December 21, 2065 2,117,198 1,604,635 6,004,000 Independent Order of Foresters 2.885%, October 15, 2035 6,022,921 6,229,098 USD 62,000 ING Groep N.V., 4.875%, December 31, 2049 81,770 80,996 USD 528,000 ING Groep N.V., 6.5%, December 31, 2049 673,960 740,340 USD 144,000 ING Groep N.V., 6.75%, December 31, 2049 204,466 200,481 364,000 Institutional Mortgage Securities Canada Inc., 4.697%, February 12, 2021 358,808 356,310 1,490,000 Intact Financial Corp., 2.954%, December 16, 2050 1,490,000 1,521,092 USD 4,192,000 Intarcia Therapeutics Inc., 144A, Zero Coupon, April 15, 2031 1,172,066 43,382 USD 3,868,000 Intarcia Therapeutics Inc., Zero Coupon, April 15, 2031 1,075,223 40,029 USD 1,409,000 Intelsat Jackson Holdings S.A., Zero Coupon, August 01, 2023 1,584,323 1,219,587 4,176,000 Inter Pipeline Ltd., 4.232%, June 01, 2027 4,244,075 4,644,377 109,000 Inter Pipeline Ltd., 4.967%, February 02, 2021 109,719 109,341 2,412,000 Inter Pipeline Ltd., 6.875%, March 26, 2079 2,415,647 2,532,580 USD 151,000 Iron Mountain Inc., 4.5%, February 15, 2031 201,624 201,577 USD 192,000 Iron Mountain Inc., 4.875%, September 15, 2029 253,958 258,082 USD 83,000 Iron Mountain Inc., 5%, July 15, 2028 112,614 112,373 USD 238,000 Iron Mountain Inc., 5.25%, July 15, 2030 322,918 327,564 USD 1,007,572 Ironshore Pharmaceuticals & Development Inc., 13%, February 28, 2024 1,292,357 1,087,589 USD 114,782 Ironshore Pharmaceuticals & Development Inc., 16%, February 28, 2024 149,715 118,346 USD 316,000 iStar Inc., 4.25%, August 01, 2025 418,998 398,213 USD 912,000 iStar Inc., 5.5%, February 15, 2026 1,201,201 1,186,276 USD 517,000 JBS USA LLC S.A./JBS USA Finance Inc., 5.75%, June 15, 2025 645,206 681,120 USD 347,000 JPMorgan Chase & Co., 4.6%, December 31, 2049 452,766 456,602 USD 728,000 JPMorgan Chase & Co., FRN, 6%, December 29, 2049 862,399 982,620 USD 339,000 Kennedy-Wilson Inc., 5.875%, April 01, 2024 401,903 438,524 USD 164,916 Kestrel Acquisition LLC, Term Loan B, Private Placement, variable rate, May 02, 2025 211,317 183,812 1,220,000 Keyera Corp., 6.875%, June 13, 2079 1,224,368 1,323,233 USD 228,000 Kinross Gold Corp., 6.875%, September 01, 2041 331,484 400,361 USD 299,000 Land O’Lakes Capital Trust I 7.45%, March 15, 2028 420,043 434,355 USD 698,083 Lannett Co., Inc., Term Loan B, Private Placement, variable rate, November 25, 2022 849,320 876,703 USD 424,000 Laredo Petroleum Inc., 9.5%, January 15, 2025 490,317 472,752 364,000 Laurentian Bank of Canada 2.75%, April 22, 2021 366,584 366,416 USD 128,000 LBC Tank Terminals Holding Netherlands B.V., 6.875%, May 15, 2023 153,046 163,440 USD 110,000 LCPR Senior Secured Financing DAC 6.75%, October 15, 2027 144,094 150,870 3,109,000 Liberty Utilities Canada L.P., 3.315%, February 14, 2050 3,114,434 3,191,080 USD 441,000 Lincoln National Corp., 2.25838%, April 20, 2067 484,317 421,010 USD 1,159,000 Lincoln National Corp., Callable, 2.5795%, May 17, 2066 1,264,733 1,139,659 USD 71,000 Live Nation Entertainment Inc., 3.75%, January 15, 2028 90,391 91,541 USD 155,000 Lloyds Banking Group PLC 6.75%, December 31, 2049 206,730 221,386 USD 256,000 Lloyds Banking Group PLC 7.5%, December 31, 2049 332,827 375,555 1,241,000 Loblaw Co., Ltd., 2.284%, May 07, 2030 1,245,788 1,286,063 3,415,000 Loblaw Co., Ltd., 6.05%, June 09, 2034 3,851,875 4,576,955 3,741,000 Loblaw Co., Ltd., 6.45%, February 09, 2028 4,427,142 4,900,471 6,166,000 Loblaw Co., Ltd., 6.5%, January 22, 2029 7,314,773 8,232,076


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) 5,157,000 Lower Mattagami Energy L.P., 4.944%, September 21, 2043 6,239,575 7,355,413 USD 1,601,000 Macquarie Bank Ltd., 6.125%, December 31, 2049 1,926,769 2,182,262 328,000 Manulife Bank of Canada 1.915%, September 01, 2021 331,411 331,307 2,742,000 Manulife Bank of Canada 2.082%, May 26, 2022 2,722,847 2,803,565 5,952,000 Manulife Financial Corp., 2.237%, May 12, 2030 5,995,798 6,212,263 5,948,000 Manulife Financial Corp., 2.818%, May 13, 2035 6,017,382 6,348,401 USD 6,211,000 Manulife Financial Corp., 4.061%, February 24, 2032 8,840,856 8,656,232 615,000 Maple Leaf Sports & Entertainment Ltd., 4.94%, June 30, 2023 642,780 630,759 USD 228,000 Marriott International Inc., 3.5%, October 15, 2032 300,101 318,140 USD 148,000 Marriott International Inc., 4.625%, June 15, 2030 202,596 221,324 USD 25,000 Marriott International Inc., 5.75%, May 01, 2025 34,747 37,244 6,229,000 Master Credit Card Trust II 3.056%, January 21, 2022 6,156,377 6,300,571 1,144,000 Mattamy Group Corp., 4.625%, March 01, 2028 1,144,350 1,183,325 USD 434,000 Mattamy Group Corp., 4.625%, March 01, 2030 575,482 586,533 USD 961,558 McAfee LLC, Term Loan B, Private Placement, variable rate, September 29, 2024 1,189,246 1,225,726 4,305,000 MCAP Commercial L.P., 3.384%, November 26, 2027 4,322,019 4,376,134 USD 408,000 MEG Energy Corp., 6.5%, January 15, 2025 518,723 535,353 USD 149,000 MEG Energy Corp., 7%, March 31, 2024 174,982 192,032 USD 336,000 MEG Energy Corp., 7.125%, February 01, 2027 412,994 442,662 USD 8,955 Meredith Corp., Term Loan, Private Placement, variable rate, January 31, 2025 11,728 11,496 5,600,000 Merrill Lynch & Co., Inc., FRN, 1.41%, May 30, 2022 5,819,865 5,596,696 USD 175,000 Methanex Corp., 5.125%, October 15, 2027 230,178 242,388 USD 808,000 MetLife Capital Trust IV 7.875%, December 15, 2037 1,404,321 1,452,756 728,000 Metro Inc., 3.2%, December 01, 2021 745,472 744,283 3,589,000 Metro Inc., 3.413%, February 28, 2050 3,539,594 3,773,033 3,860,000 Metro Inc., 4.27%, December 04, 2047 3,946,147 4,632,897 4,180,000 Metro Inc., 5.03%, December 01, 2044 4,785,753 5,475,716 5,813,000 Metropolitan Life Global Funding I 3.394%, April 09, 2030 5,944,927 6,563,777 USD 998,000 MGM Growth Properties Operating Partnership L.P./MGP Finance 4.5%, January 15, 2028 1,173,485 1,356,023 USD 1,041,000 MGM Resorts International 4.625%, September 01, 2026 1,323,632 1,404,689 USD 960,000 MGM Resorts International 4.75%, October 15, 2028 1,267,293 1,312,095 USD 722,000 MGM Resorts International 5.5%, April 15, 2027 949,853 1,025,551 USD 373,000 MGM Resorts International 5.75%, June 15, 2025 498,744 525,842 USD 237,000 MGM Resorts International 6.75%, May 01, 2025 333,469 327,010 USD 163,000 Michaels Stores Inc., 8%, July 15, 2027 215,243 223,394 2,503,000 Molson Coors International L.P., 2.84%, July 15, 2023 2,433,574 2,609,531 5,223,000 Molson Coors International L.P., 3.44%, July 15, 2026 5,196,314 5,632,930 USD 3,358,000 Morgan Stanley 3.622%, April 01, 2031 4,736,752 4,975,519 USD 210,000 Moss Creek Resources Holdings Inc., 10.5%, May 15, 2027 278,586 214,515 USD 742,000 MPH Acquisition Holdings LLC 5.75%, November 01, 2028 972,306 929,424 6,065,000 National Bank of Canada 1.957%, June 30, 2022 6,069,058 6,206,421 1,809,000 National Bank of Canada 2.545%, July 12, 2024 1,821,165 1,916,551 2,486,000 National Bank of Canada 2.983%, March 04, 2024 2,573,604 2,657,417 USD 137,000 National CineMedia LLC 5.875%, April 15, 2028 182,409 148,229 USD 210,000 National Westminster Bank PLC, FRN, 0.4075%, August 29, 2049 168,104 248,671 USD 313,000 National Westminster Bank PLC, FRN, 0.5%, December 31, 2049 250,477 370,627 USD 175,000 Nationstar Mortgage Holdings Inc., 5.125%, December 15, 2030 226,405 233,108 USD 230,000 Nationstar Mortgage Holdings Inc., 5.5%, August 15, 2028 307,799 307,953 USD 456,000 Nationstar Mortgage Holdings Inc., 6%, January 15, 2027 553,843 616,991 USD 107,000 Natwest Group PLC 2.57388%, December 31, 2049 131,249 130,112 USD 790,000 Navient Corp., 5%, March 15, 2027 1,020,436 1,015,775 USD 98,000 NCL Corp Ltd., 10.25%, February 01, 2026 133,000 146,262 USD 1,026,000 NCL Corp Ltd., 3.625%, December 15, 2024 1,195,401 1,199,560 USD 369,000 NCL Corporation Ltd., 5.875%, March 15, 2026 472,072 494,919 USD 136,000 New Gold Inc., 6.375%, May 15, 2025 166,976 181,229


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 804,000 New Gold Inc., 7.5%, July 15, 2027 1,076,911 1,134,065 USD 62,000 New Residential Investment Corp., 6.25%, October 15, 2025 81,710 79,462 USD 105,000 NFP Corp., 6.875%, August 15, 2028 143,930 142,867 USD 1,119,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 6.125%, March 01, 2025 1,439,057 906,256 USD 383,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 7.5%, April 15, 2026 511,629 303,176 USD 310,000 NHL CAN Funding L.P., 4.12%, July 12, 2028 414,256 414,904 USD 2,155,000 NHL U.S. Funding L.P., 3.29%, August 13, 2030 2,886,496 2,680,604 USD 1,625,000 NHL U.S. Funding L.P., 4.12%, July 12, 2028 2,171,502 2,174,899 USD 355,000 Nielsen Finance LLC/Nielsen Finance Co., 5.625%, October 01, 2028 468,424 491,835 USD 185,000 Nielsen Finance LLC/Nielsen Finance Co., 5.875%, October 01, 2030 244,108 266,835 USD 528,000 NMI Holdings Inc., 7.375%, June 01, 2025 716,543 753,711 5,943,342 Northern Courier Pipeline L.P., 3.365%, June 30, 2042 6,039,546 6,411,525 USD 291,743 Northern Oil and Gas Inc., 8.5%, May 15, 2023 366,875 329,813 USD 650,000 Northriver Midstream Finance L.P., 5.625%, February 15, 2026 852,590 856,072 4,491,160 NorthWestConnect Group Partnership 5.95%, April 30, 2041 5,253,974 6,018,783 USD 270,000 NOVA Chemicals Corp., 4.875%, June 01, 2024 357,758 358,503 USD 440,000 NOVA Chemicals Corp., 5%, May 01, 2025 599,450 587,728 USD 242,000 NOVA Chemicals Corp., 5.25%, August 01, 2023 315,337 310,541 USD 456,000 NOVA Chemicals Corp., 5.25%, June 01, 2027 567,454 619,197 2,131,000 Nova Scotia Power Inc., 3.307%, April 25, 2050 2,161,585 2,387,389 1,521,000 Nova Scotia Power Inc., 3.571%, April 05, 2049 1,717,708 1,783,082 2,163,000 Nova Scotia Power Inc., 4.5%, July 20, 2043 2,480,419 2,811,685 USD 274,000 Nufarm Australia Ltd./Nufarm Americas Inc., 5.75%, April 30, 2026 345,257 359,606 USD 301,000 NuStar Logistics L.P., 6%, June 01, 2026 405,054 415,029 1,321,000 NuVista Energy Ltd., 6.5%, March 02, 2023 1,313,393 979,466 USD 149,000 Occidental Petroleum Corp., 3%, February 15, 2027 141,558 169,154 USD 258,000 Occidental Petroleum Corp., 3.2%, August 15, 2026 266,019 307,677 USD 91,000 Occidental Petroleum Corp., 3.4%, April 15, 2026 107,209 110,653 USD 160,000 Occidental Petroleum Corp., 6.125%, January 01, 2031 205,105 218,470 USD 91,000 Occidental Petroleum Corp., 6.625%, September 01, 2030 120,648 125,940 USD 42,000 Occidental Petroleum Corp., 8%, July 15, 2025 57,445 60,993 USD 578,000 Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics S.A., 7.25%, February 01, 2028 769,841 777,579 USD 76,000 Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics S.A., 7.375%, June 01, 2025 104,686 103,210 USD 55,000 Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, March 15, 2030 72,800 71,647 USD 323,861 Panther BF Aggregator 2 L.P., Term Loan, Private Placement, variable rate, March 18, 2026 430,159 411,639 USD 205,000 Panther BF Aggregator 2 L.P./Panther Finance Co., Inc., 8.5%, May 15, 2027 274,169 283,922 USD 326,000 Park Intermediate Holdings LLC/PK Domestic Property LLC 5.875%, October 01, 2028 429,700 442,715 USD 1,578,000 Park Intermediate Holdings LLC/PK Domestic Property LLC 7.5%, June 01, 2025 2,235,209 2,173,087 552,000 Parkland Corp., 6%, June 23, 2028 552,000 593,400 USD 44,000 Parkland Fuel Corp., 5.875%, July 15, 2027 57,953 60,662 USD 274,000 Parkland Fuel Corp., 6%, April 01, 2026 358,677 366,866 282,000 Parkland Fuel Corp., 6.5%, January 21, 2027 282,000 305,265 USD 236,000 Pattern Energy Operations L.P./Pattern Energy Operations Inc., 4.5%, August 15, 2028 321,316 317,489 4,862,000 Pembina Pipeline Corp., 3.54%, February 03, 2025 4,957,363 5,282,935 7,513,000 Pembina Pipeline Corp., 4.54%, April 03, 2049 7,896,438 8,438,097 5,496,000 Pembina Pipeline Corp., 4.74%, January 21, 2047 5,754,846 6,318,034 182,000 Pembina Pipeline Corp., 4.89%, March 29, 2021 184,493 183,843 USD 727,000 PennyMac Financial Services Inc., 5.375%, October 15, 2025 976,220 979,763 6,928,000 Penske Truck Leasing Canada Inc., 2.85%, December 07, 2022 6,947,473 7,175,120 USD 169,000 PetSmart Inc., 8.875%, June 01, 2025 219,361 221,304 4,715,000 Power Corporation of Canada 4.455%, July 27, 2048 4,939,852 5,962,616 3,201,000 Power Corporation of Canada 4.81%, January 31, 2047 3,462,908 4,124,298 3,140,000 Power Corporation of Canada 8.57%, April 22, 2039 4,893,340 5,549,828 USD 31,000 Precision Drilling Corp., 5.25%, November 15, 2024 33,767 34,256 USD 266,000 Precision Drilling Corp., 7.125%, January 15, 2026 342,083 295,779


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 309,000 Precision Drilling Corp., 7.75%, December 15, 2023 414,172 362,596 USD 740,000 Project Homestake Merger Corp., 8.875%, March 01, 2023 901,956 649,941 USD 570,000 Quotient Ltd., 12%, April 15, 2024 762,249 740,062 USD 1,377,000 Quotient Ltd., 12%, October 15, 2023 1,805,360 1,787,834 USD 588,000 Rayonier AM Products Inc., 5.5%, June 01, 2024 663,479 653,034 USD 513,000 Rayonier AM Products Inc., 7.625%, January 15, 2026 663,257 681,728 598,000 Real Estate Asset Liquidity Trust 1.856%, September 12, 2021 139,037 139,725 1,739,000 Real Estate Asset Liquidity Trust 3.239%, May 12, 2025 1,746,075 1,840,684 4,712,000 Reliance L.P., 3.75%, March 15, 2026 4,779,595 5,170,179 7,569,000 Reliance L.P., 3.836%, March 15, 2025 7,677,700 8,277,752 1,658,000 Reliance L.P., 4.075%, August 02, 2021 1,721,314 1,687,316 2,175,000 RioCan Real Estate Investment Trust 1.974%, June 15, 2026 2,175,000 2,185,735 204,000 RioCan Real Estate Investment Trust 2.194%, April 09, 2021 205,000 204,827 2,554,000 RioCan Real Estate Investment Trust 2.83%, October 03, 2022 2,518,213 2,633,115 USD 176,000 Rite Aid Corp., 7.5%, July 01, 2025 238,997 234,229 USD 404,000 Rite Aid Corp., 7.7%, February 15, 2027 472,499 493,891 USD 334,000 Rite Aid Corp., 8%, November 15, 2026 465,015 455,439 USD 1,433,000 Rockpoint Gas Storage Canada Ltd., 7%, March 31, 2023 1,784,949 1,811,520 3,457,000 Rogers Communications Inc., 3.65%, March 31, 2027 3,507,038 3,901,939 1,456,000 Rogers Communications Inc., 5.34%, March 22, 2021 1,476,821 1,470,900 3,105,000 Rogers Communications Inc., 6.11%, August 25, 2040 3,847,917 4,404,849 11,008,000 Royal Bank of Canada 1.936%, May 01, 2025 11,061,493 11,477,129 7,356,000 Royal Bank of Canada 2.328%, January 28, 2027 7,439,811 7,846,973 5,679,000 Royal Bank of Canada 2.352%, July 02, 2024 5,731,185 5,981,312 7,896,000 Royal Bank of Canada 2.36%, December 05, 2022 7,892,160 8,183,439 11,478,000 Royal Bank of Canada 2.609%, November 01, 2024 11,602,189 12,234,862 2,366,000 Royal Bank of Canada 2.86%, March 04, 2021 2,381,379 2,376,279 5,336,000 Royal Bank of Canada 2.949%, May 01, 2023 5,395,397 5,632,546 6,569,000 Royal Bank of Canada, FRN, 2.088%, June 30, 2030 6,601,254 6,806,688 3,550,000 Royal Bank of Canada, FRN, 2.74%, July 25, 2029 3,576,374 3,758,458 5,067,000 Royal Bank of Canada, FRN, 2.88%, December 23, 2029 5,114,710 5,408,369 673,000 Royal Bank of Canada, FRN, 3.45%, September 29, 2026 688,614 687,837 3,286,000 Royal Bank of Canada, FRN, 4%, February 24, 2081 3,287,652 3,344,918 9,338,000 Royal Bank of Canada, FRN, 4.5%, November 24, 2080 9,440,922 9,756,156 USD 105,000 Royal Caribbean Cruises Ltd., 3.7%, March 15, 2028 119,125 118,721 USD 321,000 Royal Caribbean Cruises Ltd., 4.25%, June 15, 2023 431,649 545,172 USD 453,000 Royal Caribbean Cruises Ltd., 5.25%, November 15, 2022 524,739 579,994 USD 709,000 Royal Caribbean Cruises Ltd., 9.125%, June 15, 2023 966,952 980,323 USD 255,000 RSA Security LLC, Term Loan, Private Placement, variable rate, July 01, 2027 338,045 326,414 USD 349,000 Scientific Games International Inc., 7%, May 15, 2028 399,010 478,403 USD 806,000 Scientific Games International Inc., 7.25%, November 15, 2029 1,079,470 1,127,719 USD 826,000 Scientific Games International Inc., 8.25%, March 15, 2026 1,101,991 1,134,795 USD 142,000 Scientific Games International Inc., 8.625%, July 01, 2025 192,665 198,149 6,390,431 SEC L.P. and Arci Ltd., 5.188%, August 29, 2033 6,626,172 6,936,544 USD 289,000 Service Properties Trust 5.5%, December 15, 2027 380,868 402,551 USD 109,000 Seven Generations Energy Ltd., 5.375%, September 30, 2025 135,687 141,606 USD 76,000 Seven Generations Energy Ltd., 6.875%, June 30, 2023 101,202 98,302 USD 395,000 SFR Group S.A., 7.375%, May 01, 2026 545,694 529,819 2,741,000 Shaw Communications Inc., 2.9%, December 09, 2030 2,755,840 2,917,706 1,809,000 Shaw Communications Inc., 3.3%, December 10, 2029 1,815,220 1,999,247 7,898,000 Shaw Communications Inc., 4.25%, December 09, 2049 8,047,851 8,983,525 USD 547,000 Silversea Cruises Ltd., 7.25%, February 01, 2025 705,484 721,949 USD 205,000 Six Flags Entertainment Corp., 4.875%, July 31, 2024 260,083 261,596 USD 761,000 Six Flags Theme Parks Inc., 7%, July 01, 2025 1,086,230 1,047,984 USD 210,000 SkyMiles IP Ltd., 4.75%, September 16, 2027 279,157 277,833


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) 3,740,000 SmartCentres Real Estate Investment Trust 1.74%, December 16, 2025 3,740,000 3,753,159 4,985,000 SmartCentres Real Estate Investment Trust 2.307%, December 18, 2028 4,985,000 5,008,694 2,722,000 SmartCentres Real Estate Investment Trust 2.757%, June 23, 2021 2,732,194 2,749,287 166,000 SmartCentres Real Estate Investment Trust 2.876%, March 21, 2022 169,868 170,575 3,580,000 SmartCentres Real Estate Investment Trust 3.192%, June 11, 2027 3,619,838 3,840,287 4,469,000 SmartCentres Real Estate Investment Trust 3.444%, August 28, 2026 4,495,307 4,843,525 5,198,000 SmartCentres Real Estate Investment Trust 3.526%, December 20, 2029 5,268,317 5,650,292 4,985,000 SmartCentres Real Estate Investment Trust 3.648%, December 11, 2030 5,224,174 5,412,957 USD 192,900 Software Luxembourg Acquisition S.a.r.l., Term Loan, Private Placement, variable rate, April 27, 2025 258,878 245,746 USD 577,000 Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8%, September 20, 2025 779,576 826,269 USD 130,000 Station Casinos LLC 4.5%, February 15, 2028 170,808 167,028 9,435,196 Strait Crossing Development Inc., 6.17%, September 15, 2031 9,985,169 10,796,929 USD 206,000 Studio City Finance Ltd., 6%, July 15, 2025 278,307 277,425 USD 1,620,000 Studio City Finance Ltd., 6.5%, January 15, 2028 2,214,313 2,216,439 USD 61,000 Studio City Finance Ltd., 7.25%, February 11, 2024 81,017 81,268 1,530,000 Summit Industrial Income REIT 1.82%, April 01, 2026 1,529,250 1,538,893 6,503,000 Sun Life Capital Trust 7.093%, June 30, 2052 8,589,934 9,114,338 4,646,000 Sun Life Financial Inc., 3.05%, September 19, 2028 4,655,443 4,928,347 546,000 Sun Life Financial Inc., 4.57%, August 23, 2021 561,343 560,047 8,131,000 Suncor Energy Inc., 3.1%, May 24, 2029 7,734,364 8,791,093 2,227,000 Suncor Energy Inc., 4.34%, September 13, 2046 2,264,852 2,523,461 6,327,000 Suncor Energy Inc., 5%, April 09, 2030 6,544,568 7,747,672 2,196,000 Suncor Energy Inc., 5.39%, March 26, 2037 2,624,727 2,724,620 USD 176,000 Syneos Health Inc., 3.625%, January 15, 2029 230,174 225,069 3,397,000 Sysco Canada Inc., 3.65%, April 25, 2025 3,679,639 3,711,150 USD 683,000 Targa Resources Partners L.P./Targa Resources Partners 5.5%, March 01, 2030 905,043 944,712 16,266,000 TD Capital Trust IV 6.631%, June 30, 2108 17,372,668 16,734,199 USD 192,000 Teck Resources Ltd., 5.4%, February 01, 2043 247,855 292,292 USD 357,000 Teck Resources Ltd., 6%, August 15, 2040 500,739 570,414 USD 259,000 Teck Resources Ltd., 6.125%, October 01, 2035 376,426 425,558 USD 107,000 Teine Energy Ltd., 6.875%, September 30, 2022 126,056 136,338 2,193,000 TELUS Corp., 2.35%, January 27, 2028 2,285,511 2,306,966 2,347,000 TELUS Corp., 3.3%, May 02, 2029 2,387,964 2,620,806 4,361,000 TELUS Corp., 3.95%, February 16, 2050 4,402,546 4,871,739 1,800,000 TELUS Corp., 4.4%, January 29, 2046 1,886,977 2,123,327 1,684,000 TELUS Corp., 4.75%, January 17, 2045 1,760,023 2,075,080 5,069,000 Teranet Holdings L.P., 3.544%, June 11, 2025 5,118,111 5,459,292 6,204,000 Teranet Holdings L.P., 3.83901%, December 01, 2031 6,980,320 8,015,535 5,549,000 Teranet Holdings L.P., 5.754%, December 17, 2040 5,856,084 6,757,586 USD 58,000 TerraForm Power Operating LLC 5%, January 31, 2028 72,238 83,095 3,948,000 The Bank of Nova Scotia 1.83%, April 27, 2022 3,923,547 4,023,209 4,005,000 The Bank of Nova Scotia 2.16%, February 03, 2025 4,024,849 4,207,343 4,723,000 The Bank of Nova Scotia 2.29%, June 28, 2024 4,737,199 4,986,150 6,772,000 The Bank of Nova Scotia 2.36%, November 08, 2022 6,791,378 7,009,520 2,184,000 The Bank of Nova Scotia 2.49%, September 23, 2024 2,196,212 2,315,855 5,429,000 The Bank of Nova Scotia 2.98%, April 17, 2023 5,497,528 5,728,869 7,196,000 The Bank of Nova Scotia 3.1%, February 02, 2028 7,408,684 8,141,537 5,267,000 The Bank of Nova Scotia 3.89%, January 18, 2029 5,360,555 5,723,775 USD 4,500,000 The National Hockey League 2.82%, January 06, 2026 5,713,415 5,728,033 USD 683,000 The National Hockey League 3.61%, August 10, 2027 859,064 891,158 USD 673,000 The National Hockey League 3.71%, August 10, 2029 846,153 868,618 USD 589,000 The Royal Bank of Scotland Group PLC 6%, December 31, 2049 802,461 823,113 USD 161,000 The Royal Bank of Scotland Group PLC 8%, December 31, 2049 225,086 239,206 10,680,000 Thomson Reuters Corp., 2.239%, May 14, 2025 10,762,420 11,173,083 3,722,825 THP Partnership 4.394%, October 31, 2046 4,032,199 4,616,501


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 423,771 Tops Markets LLC 13%, November 19, 2024 558,938 528,628 364,000 Toronto Hydro Corp., 3.54%, November 18, 2021 374,774 374,044 6,196,000 Toronto-Dominion Bank 1.943%, March 13, 2025 6,239,618 6,462,115 8,315,000 Toronto-Dominion Bank 1.994%, March 23, 2022 8,299,634 8,479,988 4,581,000 Toronto-Dominion Bank 3.005%, May 30, 2023 4,649,474 4,852,478 8,333,000 Toronto-Dominion Bank 3.06%, January 26, 2032 8,497,815 9,105,016 8,218,000 Toronto-Dominion Bank 3.105%, April 22, 2030 8,334,328 8,877,641 2,693,000 Toronto-Dominion Bank 3.224%, July 25, 2029 2,775,720 2,897,352 10,197,000 Toronto-Dominion Bank 4.859%, March 04, 2031 10,955,475 11,992,235 2,720,000 Toronto-Dominion Bank, FRN, 3.589%, September 14, 2028 2,909,712 2,916,056 2,615,000 Toyota Credit Canada Inc., 2.11%, February 26, 2025 2,623,798 2,742,841 1,664,000 Toyota Credit Canada Inc., 2.31%, October 23, 2024 1,674,718 1,755,177 291,000 Toyota Credit Canada Inc., 2.35%, July 18, 2022 299,497 299,551 5,922,000 TransCanada PipeLines Ltd., 4.18%, July 03, 2048 5,991,412 6,616,712 2,055,000 TransCanada PipeLines Ltd., 4.33%, September 16, 2047 2,200,900 2,346,528 12,049,000 TransCanada Trust 4.65%, May 18, 2077 11,751,909 12,417,930 USD 462,000 TransCanada Trust 5.5%, September 15, 2079 633,798 649,091 USD 3,339,000 TransCanada Trust 5.875%, August 15, 2076 4,581,529 4,743,547 USD 900,000 TransDigm Inc., 5.5%, November 15, 2027 1,200,601 1,206,095 USD 135,000 TransDigm Inc., 7.5%, March 15, 2027 181,647 183,731 USD 248,000 TransMontaigne Partners L.P./TLP Finance Corp., 6.125%, February 15, 2026 313,331 318,380 2,890,280 Trillium Windpower L.P., 5.803%, February 15, 2033 3,166,919 3,557,077 USD 847,000 UBS Group AG 6.875%, December 31, 2049 1,125,382 1,221,536 USD 663,000 UBS Group AG, FRN, 7%, December 31, 2049 862,542 962,608 USD 143,000 UBS Group Funding Switzerland AG 7%, December 31, 2049 189,504 199,670 3,369,000 Union Gas Ltd., 4.88%, June 21, 2041 4,173,207 4,596,617 USD 496,000 United Airlines 2020-1 Class A Pass Through Trust 5.875%, October 15, 2027 656,006 683,877 USD 504,000 United Shore Financial Services LLC 5.5%, November 15, 2025 671,078 677,626 66,000 University of Toronto 4.251%, December 07, 2051 85,650 90,406 259,000 University of Toronto 4.937%, November 16, 2045 358,186 367,968 USD 824,000 USB Realty Corp., FRN, 1.38388%, December 29, 2049 869,581 786,650 USD 15,275 USI Inc., Term Loan B, Private Placement, variable rate, May 16, 2024 20,406 19,198 3,972,000 Vancouver Airport Fuel Facilities Corp., 2.168%, June 23, 2025 3,979,861 3,985,164 USD 888,000 Velvet Energy Ltd., 9%, September 22, 2023 1,148,752 1,130,332 8,338,000 Verizon Communications Inc., 2.5%, May 16, 2030 8,403,661 8,837,160 4,399,000 Verizon Communications Inc., 3.625%, May 16, 2050 4,428,389 4,840,732 USD 269,645 Vertiv Group Corp., Term Loan B, Private Placement, variable rate, March 02, 2027 356,564 341,703 619,000 Vesta Energy Corp., 8.125%, July 24, 2023 615,460 256,111 USD 42,000 Virgin Media Secured Finance PLC 4.5%, August 15, 2030 56,985 55,921 USD 63,000 Vmed O2 UK Financing I PLC 4.25%, January 31, 2031 83,129 81,997 3,692,000 VW Credit Canada Inc., 1.2%, September 25, 2023 3,707,904 3,726,567 5,172,000 VW Credit Canada Inc., 1.5%, September 23, 2025 5,165,350 5,233,339 3,525,000 VW Credit Canada Inc., 2.85%, September 26, 2024 3,462,104 3,755,337 109,000 VW Credit Canada Inc., 2.9%, March 29, 2021 109,861 109,649 4,186,000 Walt Disney Co., 3.057%, March 30, 2027 4,240,480 4,581,853 4,393,000 Waste Management of Canada Corp., 2.6%, September 23, 2026 4,444,942 4,726,999 601,000 Wells Fargo & Co., 2.094%, April 25, 2022 613,020 613,153 11,986,000 Wells Fargo & Co., 2.568%, May 01, 2026 12,080,749 12,654,385 3,203,000 Wells Fargo & Co., 3.184%, February 08, 2024 3,230,004 3,414,719 USD 5,643,000 Wells Fargo & Co., 5.875%, December 31, 2049 7,538,644 8,161,631 7,110,162 West Edmonton Mall Property Inc., 4.056%, February 13, 2024 7,227,955 7,196,862 USD 384,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, May 15, 2027 497,537 504,739 USD 71,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5%, March 01, 2025 91,442 94,443 USD 142,000 Wynn Macau Ltd., 5.625%, August 26, 2028 185,699 190,580 USD 338,000 Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, April 15, 2025 473,653 466,794


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 83,000 Ziggo B.V., 4.875%, January 15, 2030 109,103 111,263 USD 30,000 Ziggo Bond Co. B.V., 5.125%, February 28, 2030 39,870 40,346 1,656,868,955 1,743,377,093 53.19 PROVINCIAL BONDS 8,560,000 First Nations Finance Authority 1.71%, June 16, 2030 8,560,000 8,778,134 7,103,000 First Nations Finance Authority 3.05%, June 01, 2028 7,517,710 8,061,396 50,005,000 Province of Alberta 2.05%, June 01, 2030 50,939,002 52,883,014 61,789,000 Province of Alberta 2.55%, June 01, 2027 67,441,658 67,845,186 34,653,000 Province of Manitoba 2.05%, September 05, 2052 33,107,886 33,736,838 9,517,000 Province of Manitoba 3.2%, March 05, 2050 11,214,160 11,596,911 22,763,000 Province of New Brunswick 3.05%, August 14, 2050 25,599,344 26,918,268 81,898,000 Province of Ontario 1.75%, September 08, 2025 85,866,475 85,836,709 104,163,000 Province of Ontario 1.9%, December 02, 2051 101,896,455 101,848,742 82,063,000 Province of Ontario 2.4%, June 02, 2026 88,093,697 88,960,545 127,226,000 Province of Ontario 2.6%, June 02, 2025 129,943,302 137,909,096 61,135,000 Province of Ontario 2.65%, December 02, 2050 66,229,870 69,867,934 8,773,000 Province of Ontario 2.9%, June 02, 2028 9,473,257 9,935,211 6,592,000 Province of Ontario 2.9%, June 02, 2049 7,157,640 7,837,331 60,023,000 Province of Ontario 3.5%, June 02, 2024 64,330,314 66,068,461 15,251,000 South Coast British Columbia Transportation Authority 1.6%, July 03, 2030 15,251,000 15,554,336 2,219,000 South Coast British Columbia Transportation Authority 2.65%, October 29, 2050 2,198,677 2,390,910 15,318,000 South Coast British Columbia Transportation Authority 3.05%, June 04, 2025 16,231,566 16,854,729 151,000 South Coast British Columbia Transportation Authority 4.65%, June 20, 2041 198,814 211,304 791,250,827 813,095,055 24.81 MUNICIPAL BONDS 17,304,000 City of Montreal 1.75%, September 01, 2030 17,309,670 17,763,383 6,210,000 City of Montreal 2.3%, September 01, 2029 6,150,160 6,702,237 16,138,000 City of Montreal 3.15%, September 01, 2028 17,346,847 18,437,898 291,000 City of Montreal 4.1%, December 01, 2034 343,868 369,023 7,565,000 City of Ottawa 2.5%, May 11, 2051 7,524,527 7,934,454 145,000 City of Ottawa 3.05%, April 23, 2046 154,357 166,014 5,912,000 City of Ottawa 4.2%, July 30, 2053 7,997,397 8,491,096 701,000 City of St. John’s 4.5%, December 20, 2033 832,055 891,264 305,000 City of St. John’s 4.622%, August 11, 2031 362,571 386,518 3,430,000 City of Toronto 1.6%, December 02, 2030 3,429,314 3,493,005 19,389,000 City of Toronto 2.15%, August 25, 2040 19,284,128 19,526,767 5,168,000 City of Toronto 2.6%, September 24, 2039 5,533,843 5,608,637 23,854,000 City of Toronto 2.65%, November 09, 2029 25,828,328 26,634,746 26,728,000 City of Toronto 2.8%, November 22, 2049 28,375,776 29,624,504 211,000 City of Toronto 2.95%, April 28, 2035 219,788 239,540 10,016,000 City of Toronto 3.5%, June 02, 2036 12,135,705 12,105,127 18,546,000 City of Winnipeg 4.3%, November 15, 2051 24,823,722 26,536,208 146,000 Regional Municipality of Halton 4.05%, October 11, 2041 177,456 190,694 10,330,000 Regional Municipality of Peel Ontario 2.5%, June 16, 2051 10,538,590 10,754,953 28,000 Regional Municipality of Waterloo 3.75%, May 13, 2033 31,722 34,107 325,000 Regional Municipality of Waterloo 3.8%, May 13, 2043 375,434 406,321 35,438,000 Regional Municipality of York 1.7%, May 27, 2030 36,006,791 36,528,618 139,000 Regional Municipality of York 4%, May 31, 2032 161,757 173,249 488,000 Regional Municipality of York 4.05%, May 01, 2034 574,725 618,107 151,000 Regional Municipality of York 4.15%, November 18, 2041 187,153 200,395 225,705,684 233,816,865 7.13


Average Cost($)

Fair Value($)

% of Net Assets





FUND(S) 8,578,104 CI DoubleLine Income US$ Fund (Series IH) 85,861,493 86,261,413 12,856,910 CI Lawrence Park Alternative Investment Grade Credit Fund (Series I) 129,577,466 135,837,108 215,438,959 222,098,521 6.78 CANADIAN GOVERNMENT BONDS 39,289,000 Government of Canada 0.25%, August 01, 2022 39,277,018 39,335,408 3,621,000 Government of Canada 0.5%, March 01, 2022 3,634,799 3,635,493 862,000 Government of Canada 0.75%, March 01, 2021 864,422 862,948 6,581,000 Government of Canada 0.75%, September 01, 2021 6,616,310 6,607,633 3,026,000 Government of Canada 1%, September 01, 2022 3,065,610 3,068,012 1,890,000 Government of Canada 1.75%, March 01, 2023 1,953,617 1,951,403 15,543,000 Government of Canada 2.75%, June 01, 2022 16,143,991 16,111,128 15,549,000 Government of Canada 3.25%, June 01, 2021 15,828,564 15,747,186 87,384,331 87,319,211 2.66 EXCHANGE-TRADED FUND(S) 64,600 CI First Asset Preferred Share ETF (Common Units) 1,266,325 1,346,910 1,250,000 CI Lawrence Park Alternative Investment Grade Credit ETF (Common Units) 24,978,125 25,375,000 26,244,450 26,721,910 0.82 PREFERRED SHARES 5,400 AltaGas Ltd., Preferred 4.75%, Series G 126,683 97,146 4,725 AltaGas Ltd., Preferred 5%, Series K 119,627 115,621 12,700 Bank of Montreal, Preferred 3.9%, Series 29 296,926 253,238 8,900 Bank of Montreal, Preferred 4%, Series 27 201,640 182,806 1,400 Bank of Montreal, Preferred 4.4%, Series 42 35,104 34,132 6,600 Bank of Montreal, Preferred 4.5%, Series 40 166,897 163,614 10,000 BCE Inc., Preferred 2.7%, Series AJ 147,755 140,000 6,750 BCE Inc., Preferred 4.4%, Series AF 16 100,134 105,502 22,350 BCE Inc., Preferred 5.319%, Series Z 422,104 328,098 8,300 BCE Inc., Preferred 5.45%, Series AA 143,553 122,508 5,100 BCE Inc., Preferred 5.54%, Series AC 107,329 80,937 3,900 BCE Inc., Preferred 5.55%, Series 19 56,467 54,795 11,100 BCE Inc., Preferred 6.174%, Series R 220,772 165,057 18,150 BCE Inc., Preferred, Series 18 291,020 256,278 32,200 BCE Inc., Preferred, Series AB 631,531 449,834 2,175 Brookfield Asset Management Inc., Preferred 4.75%, Series 17 48,488 51,515 10,925 Brookfield Asset Management Inc., Preferred, Series 2 178,709 103,678 12,775 Brookfield Infrastructure Partners L.P., Preferred 5%, Series 7 321,402 312,349 3,800 Brookfield Office Properties Inc., Preferred 4.75%, Series AA 84,664 55,974 32,475 Brookfield Office Properties Inc., Preferred 5.1%, Series EE 817,434 573,508 3,200 Brookfield Office Properties Inc., Preferred 5.1%, Series R 67,870 42,304 9,500 Brookfield Office Properties Inc., Preferred 5.15%, Series P 199,590 114,950 17,475 Brookfield Renewable Partners L.P., Preferred 5%, Series 11 438,149 425,342 4,850 Brookfield Renewable Partners L.P., Preferred 5%, Series 13 121,308 117,467 2,000 Brookfield Renewable Power Preferred Equity Inc., Preferred 5%, Series 5 39,773 46,600 4,900 Brookfield Renewable Power Preferred Equity Inc., Preferred 5%, Series 6 97,546 114,366 9,325 Canadian Imperial Bank of Commerce, Preferred 4.4%, Series 45 234,682 227,437 3,000 Canadian Utilities Ltd., Preferred 4.9%, Series BB 69,105 74,580 6,305 Capital Power Corp., Preferred 4.5%, Series 5 123,773 110,274 9,000 Capital Power Corp., Preferred 6%, Series 7 233,025 226,890 117,700 Citigroup Capital XIII, Preferred 7.875% 4,015,287 4,269,867 2,804 Citigroup Inc., Preferred 6.875%, Series K 82,164 102,472 2,500 CU Inc., Preferred 4.6%, Series 1 55,516 59,412 10,200 Elanco Animal Health Inc., Preferred 5% 702,759 634,116 20,970 Enbridge Inc., Preferred 4%, Series 1 636,418 488,475


Average Cost($)

Fair Value($)

% of Net Assets





PREFERRED SHARES (cont’d) 4,400 Enbridge Inc., Preferred 4%, Series 3 86,324 59,400 7,000 Enbridge Inc., Preferred 4%, Series D 140,786 95,760 6,099 Enbridge Inc., Preferred 4%, Series F 126,705 88,808 5,725 Enbridge Inc., Preferred 4%, Series N 118,812 90,169 7,800 Enbridge Inc., Preferred 4%, Series R 158,191 109,980 17,825 Enbridge Inc., Preferred 4.4%, Series 9 367,970 261,493 15,275 Enbridge Inc., Preferred, Series P 312,033 219,502 2,200 Fortis Inc., Preferred 4.9% 51,852 55,649 14,225 George Weston Ltd., Preferred 5.2%, Series IV 347,559 356,407 96,039 GMAC Capital Trust, Preferred 8.125%, Series 2 3,101,092 3,306,800 3,400 Great-West Lifeco Inc., Preferred 4.85%, Series H 77,520 83,300 21,100 Great-West Lifeco Inc., Preferred 5.8%, Series M 545,733 535,307 6,700 Intact Financial Corp., Preferred 5.4%, Series 9 167,500 174,468 6,300 Loblaw Co., Ltd., Preferred 5.3%, Series B 157,332 163,107 19,199 Morgan Stanley, Preferred 4.875%, Series L 633,806 650,793 14,250 National Bank of Canada, Preferred 3.9%, Series 32 316,019 274,882 3,250 National Bank of Canada, Preferred 4.45%, Series 38 81,724 81,218 6,172 NuStar Energy L.P., Preferred 7.625%, Series B 204,066 141,257 17,850 Pembina Pipeline Corp., Preferred 5%, Series 5 426,558 288,099 5,775 Pembina Pipeline Corp., Preferred 5.25%, Series 23 144,950 140,332 6,100 Power Corporation of Canada, Preferred 5%, Series D 137,433 151,768 18,300 Power Financial Corp., Preferred, Series H 466,845 465,186 8,600 Royal Bank of Canada, Preferred 3.9%, Series BB 194,977 182,750 3,500 Sun Life Financial Inc., Preferred 4.45%, Series 4 71,527 84,700 16,150 Sun Life Financial Inc., Preferred 4.45%, Series A 346,733 391,153 33,700 Synchrony Financial, Preferred 5.625%, Series A 1,105,838 1,145,339 17,000 Toronto-Dominion Bank, Preferred 4.75%, Series 18 425,000 389,130 5,700 Toronto-Dominion Bank, Preferred, Series 3 128,431 117,135 3,700 TransAlta Corp., Preferred 5%, Series E 76,905 66,563 22,155,425 20,871,597 0.64 FOREIGN GOVERNMENT BONDS USD 127,000 United States Treasury Note/Bond 0.375%, November 30, 2025 161,906 161,898 USD 4,805,000 United States Treasury Note/Bond 0.875%, November 15, 2030 6,175,270 6,096,675 USD 1,072,000 United States Treasury Note/Bond 1.375%, August 15, 2050 1,278,517 1,278,301 7,615,693 7,536,874 0.23 COMMON EQUITIES 83,230 Assertio Holdings Inc. 264,712 37,885 90,363 Berry Petroleum Co., LLC 1,586,764 423,284 23,216 BrightHouse TopCo Ltd., A1 Ordinary Shares 234,806 - 79,267 Calfrac Well Services Ltd. 1,299,484 313,290 2,323 Oasis Petroleum Inc. 196,029 109,584 15,919 Pyxus International Inc. 58,432 101,316 1,807 Skillsoft Inc., Class A 304,202 350,769 402 Skillsoft Inc., Class B 65,445 78,035 1,010,481 Sporting Life Group Ltd., Class B 1,041,733 1,041,733 2,074 Tops Markets LLC 960,640 928,114 57,286 Xplornet Mobile 81,919 81,919 57,286 Xplornet Wireless 100,250 100,250 6,194,416 3,566,179 0.11


Average Cost($)

Fair Value($)

% of Net Assets





WARRANTS 55,835 Assertio Holdings Inc., Warrants 177,583 25,415 1,699 California Resources Corp., Warrants (27Oct24) - 8,651 22,000 Canadian International Oil Corp., Warrants (31Dec49) - - 9,247 Highland Therapeutics Inc., Warrants (28Feb24) - - 592 Skillsoft Inc., Class A, Warrants (27Aug25) - - 1,184 Skillsoft Inc., Class B, Warrants (27Aug25) - - 177,583 34,066 0.00

Commissions and other portfolio transaction costs (13,078)

Total Investment Portfolio before Derivative Instruments 3,039,023,245 3,158,437,371 96.37

Foreign Currency Forward Contract(s) (see Schedule A) 4,470,207 0.14

Total Investment Portfolio 3,039,023,245 3,162,907,578 96.51


Net Assets Attributable to Holders of Redeemable Units 3,277,139,328 100.00

Principal amounts stated in:GBP British PoundEUR European CurrencyUSD U.S. Dollar


Average Cost($)

Fair Value($)

% of Net Assets



‡Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service.


Schedule AForeign Currency Forward Contract(s)

CounterpartyCredit Rating of the Counterparty‡ Settlement Date

Currency Buy Position

Currency Sell Position

Contract(s) Rate

Unrealized Gain (Loss) ($)

Bank of Montreal A-1 March 15, 2021 CAD 2,013,028 USD 1,576,148 1.28 7,308 Bank of Montreal A-1 March 15, 2021 CAD 2,518,450 USD 1,957,507 1.29 27,423 Bank of Montreal A-1 January 21, 2021 CAD 708,999 USD 539,902 1.31 21,840 Bank of Montreal A-1 March 15, 2021 CAD 18,458,628 USD 14,347,273 1.29 200,990 Bank of Montreal A-1 January 21, 2021 CAD 5,574,547 USD 4,245,010 1.31 171,714 Bank of Montreal A-1 February 18, 2021 CAD 5,932,269 USD 4,561,000 1.30 127,907 Bank of Montreal A-1 March 15, 2021 CAD 7,149,749 USD 5,598,066 1.28 25,955 Bank of Montreal A-1 March 15, 2021 CAD 15,551 USD 12,176 1.28 56 Bank of Montreal A-1 January 21, 2021 CAD 25,375 USD 19,323 1.31 782 Bank of Montreal A-1 March 15, 2021 CAD 41,566 USD 32,308 1.29 453 Canadian Imperial Bank of Commerce A-1 February 18, 2021 USD 1,113,848 CAD 1,440,633 0.77 (23,145)Canadian Imperial Bank of Commerce A-1 March 15, 2021 USD 2,415,000 CAD 3,088,451 0.78 (15,251)Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 152,475 USD 117,826 1.29 2,529 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 1,600,148 USD 1,237,063 1.29 25,916 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 5,512,668 USD 4,197,394 1.31 171,009 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 991,881 USD 755,863 1.31 29,857 Canadian Imperial Bank of Commerce A-1 March 9, 2021 CAD 4,151 GBP 2,450 1.69 (114)Canadian Imperial Bank of Commerce A-1 February 18, 2021 USD 3,729,940 CAD 4,824,242 0.77 (77,506)Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 1,117,547 USD 863,592 1.29 18,536 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 11,728,057 USD 9,066,882 1.29 189,951 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 6,231,130 USD 4,744,437 1.31 193,297 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 7,798,722 USD 5,943,015 1.31 234,756 Canadian Imperial Bank of Commerce A-1 February 18, 2021 USD 6,741 CAD 8,719 0.77 (140)Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 14,054 USD 11,000 1.28 56 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 15,306 USD 12,000 1.28 36 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 2,517 USD 1,945 1.29 42 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 26,410 USD 20,417 1.29 428 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 3,138 USD 2,389 1.31 97 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 35,499 USD 27,052 1.31 1,069 Citigroup Inc. A-2 February 18, 2021 CAD 7,301,889 USD 5,597,291 1.30 178,726 Citigroup Inc. A-2 January 21, 2021 CAD 855,148 USD 647,883 1.32 30,554 Citigroup Inc. A-2 March 9, 2021 CAD 132,274 GBP 76,000 1.74 (32)Citigroup Inc. A-2 March 9, 2021 GBP 3,000 CAD 5,148 0.58 74 Citigroup Inc. A-2 March 9, 2021 GBP 6,000 CAD 10,434 0.58 11 Citigroup Inc. A-2 January 21, 2021 CAD 6,723,644 USD 5,094,017 1.32 240,230 Citigroup Inc. A-2 February 18, 2021 CAD 8,253,540 USD 6,326,782 1.30 202,020 Citigroup Inc. A-2 January 21, 2021 CAD 30,605 USD 23,187 1.32 1,094 Citigroup Inc. A-2 February 18, 2021 CAD 4,156 USD 3,186 1.30 102 HSBC Holdings PLC A-2 March 15, 2021 CAD 2,558,831 USD 1,979,301 1.29 40,062 HSBC Holdings PLC A-2 February 18, 2021 CAD 4,594,576 USD 3,497,828 1.31 143,193 HSBC Holdings PLC A-2 March 15, 2021 CAD 18,754,591 USD 14,507,011 1.29 293,627 HSBC Holdings PLC A-2 February 18, 2021 CAD 5,193,384 USD 3,953,698 1.31 161,855 HSBC Holdings PLC A-2 February 18, 2021 CAD 2,615 USD 1,991 1.31 82 HSBC Holdings PLC A-2 March 15, 2021 CAD 42,232 USD 32,667 1.29 661 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 4,669,032 USD 3,600,686 1.30 86,778 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 516,685 USD 404,392 1.28 2,057 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 516,855 USD 404,455 1.28 2,148 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 522,120 USD 408,606 1.28 2,129 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 579,745 USD 453,826 1.28 2,208 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 992,336 USD 755,864 1.31 30,311 JPMorgan Chase & Co. A-2 March 9, 2021 GBP 5,000 CAD 8,526 0.59 178 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 1,835,129 USD 1,436,294 1.28 7,305 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 1,835,735 USD 1,436,517 1.28 7,628 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 1,854,434 USD 1,451,263 1.28 7,561





Schedule A (cont’d)Foreign Currency Forward Contract(s)




Contract(s) Rate


JPMorgan Chase & Co. A-2 February 18, 2021 CAD 2,059,102 USD 1,611,871 1.28 7,841 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 5,277,544 USD 4,069,962 1.30 98,088 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 7,802,294 USD 5,943,020 1.31 238,321 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 2,658 USD 2,049 1.30 49 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 35,515 USD 27,052 1.31 1,085 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 3,991 USD 3,124 1.28 16 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 3,993 USD 3,124 1.28 17 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 4,033 USD 3,157 1.28 16 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 4,479 USD 3,506 1.28 17 Morgan Stanley A-2 February 18, 2021 CAD 483,166 USD 378,153 1.28 1,930 Morgan Stanley A-2 February 18, 2021 CAD 503,210 USD 393,749 1.28 2,126 Morgan Stanley A-2 February 18, 2021 CAD 585,193 USD 457,848 1.28 2,537 Morgan Stanley A-2 February 18, 2021 CAD 6,340,618 USD 4,897,629 1.29 107,872 Morgan Stanley A-2 January 21, 2021 CAD 849,987 USD 647,883 1.31 25,395 Morgan Stanley A-2 February 18, 2021 CAD 1,716,078 USD 1,343,099 1.28 6,855 Morgan Stanley A-2 February 18, 2021 CAD 1,787,270 USD 1,398,494 1.28 7,551 Morgan Stanley A-2 February 18, 2021 CAD 2,078,453 USD 1,626,156 1.28 9,011 Morgan Stanley A-2 January 21, 2021 CAD 6,683,070 USD 5,094,017 1.31 199,666 Morgan Stanley A-2 February 18, 2021 CAD 7,166,986 USD 5,535,934 1.29 121,931 Morgan Stanley A-2 January 21, 2021 CAD 30,420 USD 23,187 1.31 909 Morgan Stanley A-2 February 18, 2021 CAD 3,609 USD 2,788 1.29 61 Morgan Stanley A-2 February 18, 2021 CAD 3,733 USD 2,921 1.28 15 Morgan Stanley A-2 February 18, 2021 CAD 3,887 USD 3,042 1.28 16 Morgan Stanley A-2 February 18, 2021 CAD 4,521 USD 3,537 1.28 20 Royal Bank of Canada A-1+ February 18, 2021 USD 1,034,152 CAD 1,336,366 0.77 (20,301)Royal Bank of Canada A-1+ March 15, 2021 CAD 197,212 USD 154,443 1.28 676 Royal Bank of Canada A-1+ March 15, 2021 CAD 2,528,928 USD 1,991,000 1.27 (4,702)Royal Bank of Canada A-1+ February 18, 2021 CAD 6,337,442 USD 4,896,300 1.29 106,390 Royal Bank of Canada A-1+ January 21, 2021 CAD 879,766 USD 665,118 1.32 33,236 Royal Bank of Canada A-1+ March 9, 2021 CAD 4,321 GBP 2,550 1.69 (118)Royal Bank of Canada A-1+ March 9, 2021 CAD 8,688 GBP 5,000 1.74 (16)Royal Bank of Canada A-1+ February 18, 2021 USD 3,463,060 CAD 4,475,084 0.77 (67,981)Royal Bank of Canada A-1+ January 21, 2021 CAD 6,917,207 USD 5,229,525 1.32 261,323 Royal Bank of Canada A-1+ March 15, 2021 CAD 700,445 USD 548,541 1.28 2,402 Royal Bank of Canada A-1+ February 18, 2021 CAD 7,163,397 USD 5,534,431 1.29 120,255 Royal Bank of Canada A-1+ February 18, 2021 USD 6,259 CAD 8,088 0.77 (123)Royal Bank of Canada A-1+ March 15, 2021 CAD 1,524 USD 1,193 1.28 5 Royal Bank of Canada A-1+ January 21, 2021 CAD 31,486 USD 23,804 1.32 1,190 Royal Bank of Canada A-1+ February 18, 2021 CAD 3,607 USD 2,787 1.29 61 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 183,466 USD 143,690 1.28 614 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 183,502 USD 143,690 1.28 650 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 2,234,136 USD 1,731,889 1.29 30,216 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 2,752,735 USD 2,098,697 1.31 81,907 Toronto-Dominion Bank A-1+ March 9, 2021 CAD 1,050,125 EUR 676,000 1.55 (2,331)Toronto-Dominion Bank A-1+ March 15, 2021 CAD 16,374,788 USD 12,693,634 1.29 221,466 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 3,111,497 USD 2,372,219 1.31 92,582 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 651,624 USD 510,349 1.28 2,182 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 651,752 USD 510,349 1.28 2,310 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 1,417 USD 1,110 1.28 5 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 1,418 USD 1,110 1.28 5 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 1,567 USD 1,195 1.31 47 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 36,873 USD 28,584 1.29 499 Total Foreign Currency Forward Contract(s) Value 4,470,207





Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised.

as at December 31, 2020Amounts Eligible for Offset

Gross Assets/(Liabilities)

FinancialInstruments

CollateralReceived/(Paid)

NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 4,682 (212) - 4,470Derivative assets - Swaps and swaptions - - - -Total 4,682 (212) - 4,470Derivative liabilities - Foreign currency forward contracts (212) 212 - -Derivative liabilities - Swaps and swaptions - - - -Total (212) 212 - -





NetExposure


Interest in Unconsolidated Structured Entities (Note 2)

The following tables present the Fund’s interest in Unconsolidated Structured Entities.

as at December 31, 2020 Fair Value of

the Underlying Fund(s) / ETF(s)Fair Value of the Fund’s Investment

in the Underlying Fund(s) / ETF(s)Ownership in the

Underlying Fund(s) / ETF(s)

Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)CI DoubleLine Income US$ Fund 153,003 86,261 56.4CI Lawrence Park Alternative Investment Grade Credit ETF 46,134 25,375 55.0CI Lawrence Park Alternative Investment Grade Credit Fund 371,864 135,837 36.5CI First Asset Preferred Share ETF 79,008 1,347 1.7





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)CI Lawrence Park Alternative Investment Grade Credit Fund 415,070 238,159 57.4CI First Asset Preferred Share ETF 88,143 1,325 1.5










2020 2019Brokerage commissions 15 12Soft dollar commissions† 5 3

Series A 2020 2019 854,721 1,047,216 73,331 41,893 8,870 - (365,930) (234,388) 570,992 854,721

Series E 2020 2019 57,025,334 41,563,138 15,236,511 25,532,227 822,384 - (18,108,112) (10,070,031) 54,976,117 57,025,334

Series E3 2020 2019 - 15,810,924 - 3,465,078 - - - (19,276,002) - -

Series E4 2020 2019 - 3,249,083 - 855,357 - - - (4,104,440) - -

Series E5 2020 2019 - 1,266,405 - 417,946 - - - (1,684,351) - -

Series F 2020 2019 6,512,274 2,243,695 3,801,193 5,634,938 157,387 - (2,656,110) (1,366,359) 7,814,744 6,512,274

Series F3 2020 2019 - 1,106,024 - 765,438 - - - (1,871,462) - -

Series F4 2020 2019 - 328,860 - 226,763 - - - (555,623) - -

Series F5 2020 2019 - 7,981 - 71,202 - - - (79,183) - -

Series I 2020 2019 96,049,168 88,739,281 30,985,194 18,857,930 2,635,199 - (29,736,959) (11,548,043) 99,932,602 96,049,168

Series OF 2020 2019 57,531 69,799 4,037 7,013 843 - (28,261) (19,281) 34,150 57,531

Series W 2020 2019 22,434,086 22,217,437 6,897,117 3,800,346 536,122 - (10,039,164) (3,583,697) 19,828,161 22,434,086










Annual management

fee rate:


fee rate:


Related Party Investments (Note 9)as at December 31 (in $000’s)

Investments 2020CI DoubleLine Income US$ Fund (Series IH) 86,261CI First Asset Preferred Share ETF (Common Units) 1,347CI Lawrence Park Alternative Investment Grade Credit ETF (Common Units) 25,375CI Lawrence Park Alternative Investment Grade Credit Fund (Series I) 135,837

Investments 2019CI First Asset Preferred Share ETF 1,325CI Lawrence Park Alternative Investment Grade Credit Fund (Class I) 238,159






Other Price RiskAs at December 31, 2020 and 2019, the Fund was exposed to other price risk as some of its assets were invested in equities.

As at December 31, 2020, had the fair value of the equities in the investment portfolio increased or decreased by 10% (December 31, 2019 - 10%), with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately $27,329,000 (December 31, 2019 - $27,100,000). In practice, actual results may differ from this analysis and the difference may be material.

Currency RiskThe tables below summarize the Fund’s exposure to currency risk.

as at December 31, 2020~

Currency

Financial Instruments Exposure Derivatives

Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 263,509 (220,080) 43,429 1.3 Euro 1,354 (1,051) 303 0.0 British Pound 151 (125) 26 0.0 Total 265,014 (221,256) 43,758 1.3


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 319,527 (203,617) 115,910 3.8 Euro 1,229 (974) 255 0.0 British Pound 301 (229) 72 0.0 Total 321,057 (204,820) 116,237 3.8

~Includes monetary and non-monetary instruments, if any.

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $4,376,000 (December 31, 2019 - $11,624,000). In practice, the actual results may differ from this analysis and the difference may be material.



Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 168,684 307,776 656,205 1,850,926 2,983,591




as at December 31, 2019Categories Net Assets (%)Corporate Bonds 42.8 Provincial Bonds 27.6 Canadian Government Bonds 17.4 Fund(s) 7.7 Other Net Assets (Liabilities) 1.7 Municipal Bonds 1.5 Preferred Shares 0.8 Common Equities 0.2 Foreign Government Bonds 0.2 Foreign Currency Forward Contract(s) 0.1 Exchange-Traded Fund(s) 0.0 REITS 0.0 Warrants 0.0 Total 100.0


as at December 31, 2020 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 4.5AA/Aa/A+ 10.7A 39.5BBB/Baa/B++ 27.7BB/Ba/B+ 3.2B 1.8CCC/Caa/C++ 0.5Not Rated 0.8Total 88.7









Interest Rate Risk (cont’d)


Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 24,158 282,905 592,895 1,857,406 2,757,364

As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $55,207,000 (December 31, 2019 - $49,899,000). In practice, the actual results may differ from this analysis and the difference may be material.




(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 21,442 312 2,683 24,437 Bonds - 2,868,246 16,899 2,885,145 Fund(s) 222,099 - - 222,099 Exchange-Traded Fund(s) 26,722 - - 26,722 Warrants 25 9 - 34 Foreign currency forward contract(s), net - 4,470 - 4,470 Total 270,288 2,873,037 19,582 3,162,907


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 26,468 440 4,531 31,439 Bonds - 2,744,028 13,334 2,757,362 Fund(s) 238,159 - - 238,159 Exchange-Traded Fund(s) 1,325 - - 1,325 Warrants - 73 - 73 Foreign currency forward contract(s), net - 4,247 - 4,247 Total 265,952 2,748,788 17,865 3,032,605

There were no transfers between Level 1 and 2 and Level 1 and 3 during the years ended December 31, 2020 and 2019.






Level 3 ReconciliationThe tables below summarize the movement in financial instruments classified as Level 3.

for the year ended December 31, 2020 Balance at

Dec. 31, 2019 Purchases SalesTransfers

InTransfers

(Out)Realized Gain

(Loss)Unrealized Gain

(Loss)*Balance at

Dec. 31, 2020(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)

Long Positions/Assets:Equities 4,531 610 (2,742) 63 (178) 1,713 (1,314) 2,683 Bonds 13,334 8,982 (61) - (2,734) (1) (2,621) 16,899Total 17,865 9,592 (2,803) 63 (2,912) 1,712 (3,935) 19,582

*Change in unrealized gain (loss) related to investments held at December 31, 2020 was ($2,655,716).

During the year ended December 31, 2020, investments with a fair value of $63,000 were transferred out of Level 2 into Level 3 as observable market inputs were no longer available for these investments and investments with a fair value of $2,912,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.



InTransfers

(Out)Realized Gain


(Loss)**Balance at


Long Positions/Assets:Equities 3,676 951 (58) - - (12) (26) 4,531 Bonds 11,594 2,573 - 1,827 (1,805) (259) (596) 13,334 Warrants 13 - - - - - (13) - Total 15,283 3,524 (58) 1,827 (1,805) (271) (635) 17,865

**Change in unrealized gain (loss) related to investments held at December 31, 2019 was ($560,356).

During the year ended December 31, 2019, investments with a fair value of $1,827,000 were transferred out of Level 2 into Level 3 as observable market inputs were no longer available for these investments and investments with a fair value of $1,805,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.

Investments classified as Level 3 are valued at fair value based on unobservable inputs and assumptions, which may include credit spreads, industry multipliers, and discount rates. Management has assessed that the effect of changing these inputs to reasonably possible alternatives would not have a significant impact on the net assets attributable to holders of redeemable units of the Fund as at December 31, 2020 and 2019.

Global Fixed Income Pool



2020 2019

1,042,820 1,069,494 - - 57,758 13,257

2,222 416 - - 3 3 - - - - - - 4,019 5,647 - - - - - - 2,665 2,266 1,109,487 1,091,083

- - - -

- - - - - - - - - - - - 2,863 2,377 - - - - - - - - 2,863 2,377

1,106,624 1,088,706






CIG - 9604






units outstanding:

2020 2019 2020 2019 2020 2019Series A 1,449 2,131 14.68 13.74 98,708 155,057Series E 268,417 253,113 15.06 14.07 17,819,437 17,986,491Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 33,687 29,262 10.75 9.99 3,132,434 2,930,005Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 620,433 674,815 19.86 18.40 31,238,494 36,676,430Series OF 233 258 16.94 15.74 13,727 16,367Series W 182,405 129,127 16.96 15.72 10,756,862 8,216,003




2020 2019

758 869 18,394 20,036 1,513 - - - - -

- - - -

63,794 39,858

19,452 (46,365) 103,911 14,398 362 (70) - - 190 279 25 8 577 217 104,488 14,615

4,774 4,520 715 621 54 65 1 1 8 8 - - - 5 17 17 221 204 662 619 6,452 6,060 - -

98,036 8,555













2020 2019 2020 2019 2020 2019Series A 151 (20) 1.25 (0.12) 121,102 168,500Series E 18,636 (2,913) 1.08 (0.19) 17,129,092 14,698,486Series E3 - 719 - 0.15 - 5,114,719Series E4 - 125 - 0.15 - 885,934Series E5 - 71 - 0.17 - 424,746Series F 2,599 (180) 0.92 (0.11) 2,841,466 1,703,617Series F3 - 161 - 0.26 - 613,959Series F4 - 29 - 0.14 - 211,284Series F5 - 5 - 0.67 - 6,884Series I 63,329 9,371 2.02 0.27 31,390,763 35,650,278Series OF 22 - 1.43 - 14,979 16,609Series W 13,299 1,187 1.40 0.15 9,480,394 7,648,705












Series A 2020 2019 2,131 2,520 151 (20)

(6) - - - - - (6) -

522 169 6 - (1,355) (538) (827) (369) (682) (389) 1,449 2,131

Series E 2020 2019 253,113 182,627 18,636 (2,913)

(826) - - - - - (826) -

124,025 128,034 826 - (127,357) (54,635) (2,506) 73,399 15,304 70,486 268,417 253,113

Series E3 2020 2019 - 47,573 - 719

- - - - - - - -

- 11,949 - - - (60,241) - (48,292) - (47,573) - -

Series E4 2020 2019 - 8,285 - 125

- - - - - - - -

- 2,619 - - - (11,029) - (8,410) - (8,285) - -

Series E5 2020 2019 - 3,614 - 71

- - - - - - - -

- 1,119 - - - (4,804) - (3,685) - (3,614) - -

Series F 2020 2019 29,262 8,342 2,599 (180)

(258) - - - - - (258) -

21,090 27,065 258 - (19,264) (5,965) 2,084 21,100 4,425 20,920 33,687 29,262

Series F3 2020 2019 - 5,101 - 161

- - - - - - - -

- 3,824 - - - (9,086) - (5,262) - (5,101) - -

Series F4 2020 2019 - 2,031 - 29

- - - - - - - -

- 1,113 - - - (3,173) - (2,060) - (2,031) - -

Series F5 2020 2019 - 10 - 5

- - - - - - - -

- 212 - - - (227) - (15) - (10) - -

Series I 2020 2019 674,815 624,083 63,329 9,371

(10,158) - - - - - (10,158) -

183,783 136,404 10,158 - (301,494) (95,043) (107,553) 41,361 (54,382) 50,732 620,433 674,815

Series OF 2020 2019 258 285 22 -

(2) - - - - - (2) -

29 44 2 - (76) (71) (45) (27) (25) (27) 233 258

Series W 2020 2019 129,127 123,161 13,299 1,187

(2,585) - - - - - (2,585) -

119,273 41,739 2,585 - (79,294) (36,960) 42,564 4,779 53,278 5,966 182,405 129,127








Total Fund 2020 2019 1,088,706 1,007,632 98,036 8,555

(13,835) - - - - - (13,835) -

448,722 354,291 13,835 - (528,840) (281,772) (66,283) 72,519 17,918 81,074 1,106,624 1,088,706




2020 2019

98,036 8,555

(63,794) (39,858) 346 19 54 65

(19,452) 46,365 1,924,526 1,535,009 (1,814,953) (1,607,808) (1,513) - - - - - - - 1,628 200 - - - - - - - - 124,878 (57,453)

- - 423,582 231,904 (503,613) (163,287) (80,031) 68,617

(346) (19) 44,847 11,164 13,257 2,112 57,758 13,257

650 743 19,908 20,159 - - 17 17 - -












Average Cost($)

Fair Value($)

% of Net Assets

U.S. DOLLAR USD 865,000 Air Lease Corp., 2.3%, February 01, 2025 1,113,187 1,140,948 USD 1,851,000 Air Lease Corp., 3.625%, April 01, 2027 2,446,063 2,528,456 USD 948,000 Air Lease Corp., 4.25%, February 01, 2024 1,278,813 1,310,331 USD 1,105,000 Alimentation Couche-Tard Inc., 2.95%, January 25, 2030 1,450,123 1,540,107 USD 490,000 Anheuser-Busch Co., LLC/Anheuser-Busch InBev Worldwide Inc., 4.9%, February 01, 2046 718,893 813,515 USD 1,732,000 Anheuser-Busch InBev Worldwide Inc., 4.35%, June 01, 2040 2,461,509 2,712,340 USD 1,490,000 Anheuser-Busch InBev Worldwide Inc., 4.6%, June 01, 2060 2,117,135 2,445,055 USD 1,350,000 AT&T Inc., 2.3%, June 01, 2027 1,879,246 1,834,887 USD 565,000 AT&T Inc., 3.1%, February 01, 2043 754,420 732,248 USD 1,500,000 AT&T Inc., 3.65%, June 01, 2051 2,083,053 2,002,946 USD 2,125,000 Avolon Holdings Funding Ltd., 5.25%, May 15, 2024 2,910,491 2,944,123 USD 1,730,000 Bank of America Corp., 5.125%, December 31, 2049 2,338,224 2,329,994 USD 1,900,000 Bank of America Corp., 6.25%, December 31, 2049 2,330,762 2,684,367 USD 1,202,000 Bank of America Corp., FRN, 6.5%, December 31, 2049 1,607,839 1,751,874 USD 1,278,000 Bank of Montreal, FRN, 3.803%, December 15, 2032 1,692,931 1,845,246 USD 1,930,000 Barclays PLC 1.7%, May 12, 2022 2,709,898 2,500,609 USD 1,113,000 Barclays PLC 4.972%, May 16, 2029 1,536,350 1,700,603 USD 1,230,000 BNP Paribas S.A., 3.8%, January 10, 2024 1,642,461 1,707,218 USD 675,000 Brookfield Finance Inc., 4.25%, June 02, 2026 910,355 1,000,620 USD 1,260,000 Brookfield Finance Inc., 4.35%, April 15, 2030 1,761,415 1,923,649 USD 558,000 Canadian Natural Resources Ltd., 3.85%, June 01, 2027 754,105 798,066 USD 585,000 Cargill Inc., 1.375%, July 23, 2023 825,633 763,522 USD 1,055,000 Cargill Inc., 2.125%, April 23, 2030 1,488,784 1,414,583 USD 2,437,000 CCL Industries Inc., 3.05%, June 01, 2030 3,357,855 3,389,718 USD 642,000 Centene Corp., 3.375%, February 15, 2030 853,213 861,046 USD 995,000 Charter Communications Operating LLC 2.8%, April 01, 2031 1,376,930 1,341,341 USD 995,000 Charter Communications Operating LLC 3.7%, April 01, 2051 1,372,172 1,320,032 USD 670,000 Charter Communications Operating LLC 4.8%, March 01, 2050 916,225 1,020,332 USD 1,645,000 Charter Communications Operating LLC 4.908%, July 23, 2025 2,380,843 2,433,410 USD 990,000 Charter Communications Operating LLC 5.05%, March 30, 2029 1,464,988 1,533,225 USD 2,070,000 Citigroup Inc., 3.106%, April 08, 2026 2,943,728 2,882,837 USD 1,315,000 Citigroup Inc., 3.668%, July 24, 2028 1,753,860 1,898,779 USD 780,000 Citigroup Inc., 4.45%, September 29, 2027 1,079,414 1,174,392 USD 2,927,000 Citigroup Inc., FRN, Series P, 5.95%, December 31, 2049 3,888,648 4,079,715 USD 1,600,000 Comcast Corp., 3.7%, April 15, 2024 2,241,788 2,241,745 USD 700,000 Consolidated Edison Company of New York Inc., 3.35%, April 01, 2030 981,153 1,022,658 USD 3,005,000 Consolidated Edison Company of New York Inc., 3.95%, April 01, 2050 4,193,626 4,673,171 USD 1,520,000 Costco Wholesale Corp., 1.375%, June 20, 2027 2,140,943 1,995,811 USD 2,600,000 Credit Suisse Group AG 2.95%, April 09, 2025 3,662,209 3,632,726 USD 2,100,000 Credit Suisse Group AG 6.375%, December 31, 2049 2,795,937 2,979,377 USD 1,039,000 Crown Castle International Corp., 3.3%, July 01, 2030 1,556,716 1,482,673 USD 830,000 Diageo Capital PLC 1.375%, September 29, 2025 1,160,625 1,086,308 USD 2,420,000 Emera Inc., 6.75%, June 15, 2076 3,537,908 3,605,603 USD 778,000 Emera U.S. Finance L.P., 3.55%, June 15, 2026 1,054,325 1,113,770 USD 540,000 Enbridge Inc., 6%, January 15, 2077 719,952 734,504 USD 885,000 Energy Transfer Operating L.P., 2.9%, May 15, 2025 1,189,684 1,193,011 USD 705,000 Energy Transfer Operating L.P., 3.75%, May 15, 2030 961,478 969,100 USD 670,000 EOG Resources Inc., 4.375%, April 15, 2030 940,001 1,038,092 USD 995,000 Estée Lauder Co., Inc., 2.6%, April 15, 2030 1,389,748 1,392,763 USD 516,000 Exelon Corp., 4.7%, April 15, 2050 955,497 876,458 USD 1,477,000 Exxon Mobil Corp., 1.571%, April 15, 2023 2,047,351 1,934,327 USD 1,235,000 Exxon Mobil Corp., 2.61%, October 15, 2030 1,711,902 1,718,555 USD 820,000 Exxon Mobil Corp., 3.452%, April 15, 2051 1,136,647 1,195,228 USD 5,928,000 Fannie Mae Pool 2%, December 01, 2050 8,010,764 7,822,229 USD 3,502,000 Fannie Mae Pool 2.5%, September 01, 2050 4,738,371 4,589,434





U.S. DOLLAR (cont’d) USD 5,514,000 Fannie Mae Pool 4%, January 01, 2050 5,232,702 5,022,039 USD 1,825,000 Federative Republic of Brazil International Bond 2.875%, June 05, 2025 2,439,652 2,421,788 USD 2,250,000 Federative Republic of Brazil International Bond 3.875%, June 12, 2030 3,005,929 3,026,549 USD 5,361,000 Federative Republic of Brazil International Bond 4.25%, January 07, 2025 7,382,440 7,496,604 USD 7,100,000 Federative Republic of Brazil International Bond 4.5%, May 30, 2029 9,967,270 10,069,517 USD 3,662,000 Federative Republic of Brazil International Bond 4.625%, January 13, 2028 4,941,990 5,230,939 USD 235,000 Federative Republic of Brazil International Bond 4.75%, January 14, 2050 315,825 320,556 USD 807,000 Federative Republic of Brazil International Bond 5.625%, February 21, 2047 1,190,963 1,229,894 USD 635,000 Florida Power & Light Co., 2.85%, April 01, 2025 919,111 881,012 USD 818,000 Florida Power & Light Co., 3.15%, October 01, 2049 1,075,759 1,202,389 USD 3,500,000 Freddie Mac Pool 2.5%, August 01, 2050 4,670,768 4,521,271 USD 7,123,000 Freddie Mac Pool 2.5%, August 01, 2050 9,704,365 9,353,336 USD 3,715,000 Freddie Mac Pool 4%, May 01, 2049 2,401,546 2,368,005 USD 355,000 General Motors Co., 6.125%, October 01, 2025 496,495 548,569 USD 895,000 General Motors Financial Co., Inc., 3.6%, June 21, 2030 1,230,888 1,271,746 USD 1,316,000 General Motors Financial Co., Inc., 4.2%, November 06, 2021 1,750,756 1,726,802 USD 1,319,000 General Motors Financial Co., Inc., 4.375%, September 25, 2021 1,720,937 1,724,534 USD 1,236,000 Glencore Funding LLC 4.125%, May 30, 2023 1,635,666 1,702,624 USD 4,221,000 Government of Colombia International Bond 2.625%, March 15, 2023 5,379,919 5,567,152 USD 2,500,000 Government of Colombia International Bond 3%, January 30, 2030 3,406,284 3,340,987 USD 2,964,000 Government of Colombia International Bond 3.875%, April 25, 2027 3,724,142 4,212,629 USD 530,000 Government of Colombia International Bond 4%, February 26, 2024 705,836 730,667 USD 946,000 Government of Colombia International Bond 4.5%, March 15, 2029 1,431,368 1,400,293 USD 729,000 Government of Colombia International Bond 5%, June 15, 2045 918,886 1,135,568 USD 1,000,000 Government of Indonesia International Bond 2.85%, February 14, 2030 1,400,305 1,377,503 USD 12,569,000 Government of Indonesia International Bond 2.95%, January 11, 2023 16,632,500 16,718,495 USD 1,525,000 Government of Indonesia International Bond 4.2%, October 15, 2050 2,309,390 2,325,100 USD 3,073,000 Government of Indonesia International Bond 4.35%, January 11, 2048 4,073,108 4,682,002 USD 3,901,000 Government of Indonesia International Bond 4.75%, February 11, 2029 5,909,630 6,028,518 USD 9,182,000 Government of Mexico International Bond 2.659%, May 24, 2031 12,023,833 11,997,458 USD 8,255,000 Government of Mexico International Bond 3.25%, April 16, 2030 10,885,402 11,372,232 USD 2,300,000 Government of Mexico International Bond 4.5%, April 22, 2029 3,396,385 3,442,564 USD 2,000,000 Government of Mexico International Bond 4.5%, January 31, 2050 2,884,291 2,988,124 USD 3,436,000 Government of the Russian Federation 4.25%, June 23, 2027 4,819,446 4,999,653 USD 1,320,000 Government of the Russian Federation 4.75%, May 27, 2026 1,802,649 1,943,840 USD 1,376,000 HCA Inc., 4.125%, June 15, 2029 1,999,848 2,034,043 USD 1,007,000 HCA Inc., 5.25%, June 15, 2049 1,376,419 1,695,781 USD 1,200,000 Home Depot Inc., 2.5%, April 15, 2027 1,677,610 1,678,616 USD 2,050,000 Home Depot Inc., 3.35%, April 15, 2050 2,847,053 3,111,450 USD 1,480,000 HSBC Holdings PLC 4.292%, September 12, 2026 2,014,263 2,149,337 USD 690,000 JPMorgan Chase & Co., 2.776%, April 25, 2023 919,072 907,049 USD 640,000 JPMorgan Chase & Co., 3.9%, July 15, 2025 900,848 926,032 USD 1,410,000 JPMorgan Chase & Co., 4.6%, December 31, 2049 1,839,770 1,855,358 USD 1,244,000 Kinder Morgan Inc., 3.25%, August 01, 2050 1,648,112 1,581,191 USD 1,060,000 Kroger Co., 2.2%, May 01, 2030 1,500,180 1,419,597 USD 1,030,000 Lloyds Banking Group PLC 3.87%, July 09, 2025 1,460,641 1,446,648 USD 2,270,000 Manulife Financial Corp., 4.061%, February 24, 2032 3,237,734 3,163,685 USD 1,590,000 Marathon Oil Corp., 5.2%, June 01, 2045 1,589,422 2,308,529 USD 1,038,000 Marathon Petroleum Corp., 4.7%, May 01, 2025 1,460,546 1,515,059 USD 660,000 McDonald’s Corp., 3.35%, April 01, 2023 902,309 895,231 USD 1,284,000 Metropolitan Life Global Funding I 0.9%, June 08, 2023 1,739,790 1,655,516 USD 725,000 Mondelez International Inc., 2.125%, April 13, 2023 1,012,153 959,030 USD 725,000 Mondelez International Inc., 2.75%, April 13, 2030 1,004,676 1,014,854 USD 4,140,000 Morgan Stanley 3.622%, April 01, 2031 5,816,077 6,134,202 USD 1,465,000 NextEra Energy Capital Holdings Inc., 2.25%, June 01, 2030 2,057,921 1,957,508


Average Cost($)

Fair Value($)

% of Net Assets





U.S. DOLLAR (cont’d) USD 1,880,000 NextEra Energy Capital Holdings Inc., 2.75%, May 01, 2025 2,669,734 2,591,471 USD 1,260,000 NIKE Inc., 2.4%, March 27, 2025 1,786,653 1,729,486 USD 726,000 NIKE Inc., 3.375%, March 27, 2050 1,027,381 1,146,624 USD 520,000 Nutrition & Biosciences Inc., 1.832%, October 15, 2027 684,132 682,628 USD 375,000 Nutrition & Biosciences Inc., 3.468%, December 01, 2050 493,325 519,497 USD 2,050,000 NVIDIA Corp., 2.85%, April 01, 2030 2,869,257 2,937,803 USD 470,000 Penske Truck Leasing Co., L.P./PTL Finance Corp., 3.95%, March 10, 2025 633,989 670,596 USD 420,000 PepsiCo Inc., 3.875%, March 19, 2060 692,901 718,697 USD 2,400,000 Qatar Government International Bond 3.75%, April 16, 2030 3,627,647 3,601,253 USD 2,960,000 Qatar Government International Bond 4%, March 14, 2029 4,381,449 4,474,230 USD 2,860,000 Republic of Chile 2.45%, January 31, 2031 4,017,311 3,904,418 USD 710,000 Republic of Peru 2.392%, January 23, 2026 996,218 965,673 USD 1,030,000 Sempra Energy 4.875%, December 31, 2049 1,379,624 1,404,498 USD 910,000 Starbucks Corp., 2.55%, November 15, 2030 1,278,706 1,253,807 USD 892,000 Starbucks Corp., 3.8%, August 15, 2025 1,263,016 1,292,948 USD 2,072,000 Sunoco Logistics Partners Operations L.P., 5.3%, April 01, 2044 2,728,677 2,855,879 USD 1,020,000 Sysco Corp., 5.65%, April 01, 2025 1,585,352 1,545,205 USD 2,125,000 Sysco Corp., 5.95%, April 01, 2030 3,609,224 3,559,556 USD 1,240,000 Sysco Corp., 6.6%, April 01, 2050 2,378,947 2,434,827 USD 1,290,000 T-Mobile USA Inc., 2.05%, February 15, 2028 1,752,370 1,710,033 USD 1,830,000 T-Mobile USA Inc., 3.3%, February 15, 2051 2,429,766 2,400,924 USD 2,220,000 T-Mobile USA Inc., 3.5%, April 15, 2025 3,296,527 3,125,311 USD 2,222,000 T-Mobile USA Inc., 3.875%, April 15, 2030 3,163,605 3,279,360 USD 753,000 TransCanada Trust 5.5%, September 15, 2079 1,004,315 1,057,934 USD 750,000 TransCanada Trust 5.875%, August 15, 2076 1,032,505 1,065,487 USD 545,000 Transcontinental Gas Pipe Line Co., LLC 3.25%, May 15, 2030 769,482 778,936 USD 380,000 Transcontinental Gas Pipe Line Co., LLC 3.95%, May 15, 2050 534,568 549,561 USD 510,000 Transcontinental Gas Pipe Line Co., LLC 4.6%, March 15, 2048 696,910 790,745 USD 1,385,000 U.S. Bancorp., 3.375%, February 05, 2024 1,888,157 1,920,323 USD 1,405,000 UBS Group Funding Switzerland AG 4.253%, March 23, 2028 1,934,819 2,094,985 USD 32,498,000 United States Treasury Note/Bond 0.125%, July 31, 2022 43,484,387 41,376,277 USD 6,263,000 United States Treasury Note/Bond 0.125%, November 30, 2022 8,095,760 7,973,706 USD 2,050,000 United States Treasury Note/Bond 0.125%, September 30, 2022 2,692,031 2,609,743 USD 729,000 United States Treasury Note/Bond 0.25%, August 31, 2025 963,164 925,005 USD 12,013,000 United States Treasury Note/Bond 0.25%, July 31, 2025 16,093,378 15,247,698 USD 1,575,000 United States Treasury Note/Bond 0.25%, November 15, 2023 2,028,172 2,010,607 USD 80,800 United States Treasury Note/Bond 0.25%, October 31, 2025 104,354 102,416 USD 34,374,000 United States Treasury Note/Bond 0.25%, September 30, 2025 45,777,641 43,592,164 USD 921,000 United States Treasury Note/Bond 0.375%, November 30, 2025 1,181,038 1,174,078 USD 672,000 United States Treasury Note/Bond 0.5%, August 31, 2027 900,052 850,274 USD 38,900 United States Treasury Note/Bond 0.625%, August 15, 2030 51,671 48,286 USD 1,969,000 United States Treasury Note/Bond 0.625%, November 30, 2027 2,518,152 2,506,333 USD 927,000 United States Treasury Note/Bond 0.875%, November 15, 2030 1,174,209 1,176,195 USD 76,000 United States Treasury Note/Bond 1.375%, August 15, 2050 91,811 90,626 USD 1,398,000 USB Realty Corp., FRN, 1.38388%, December 29, 2049 1,622,940 1,334,632 USD 1,855,000 Verizon Communications Inc., 3%, November 20, 2060 2,397,546 2,390,455 USD 445,000 Verizon Communications Inc., 3.376%, February 15, 2025 608,463 629,473 USD 456,000 Verizon Communications Inc., 4.016%, December 03, 2029 639,231 691,226 USD 487,000 Verizon Communications Inc., 4.522%, September 15, 2048 684,914 809,803 USD 802,000 Vodafone Group PLC 3.75%, January 16, 2024 1,116,052 1,116,200 USD 565,000 Vodafone Group PLC 4.25%, September 17, 2050 740,382 892,381 USD 1,360,000 Volkswagen Group of America Finance LLC 2.9%, May 13, 2022 1,905,067 1,786,437 USD 980,000 Volkswagen Group of America Finance LLC 3.35%, May 13, 2025 1,372,069 1,372,498 USD 800,000 Wachovia Capital Trust III, FRN, 5.56975%, December 31, 2049 1,067,909 1,033,724 USD 1,760,000 Wells Fargo & Co., 1.654%, June 02, 2024 2,427,821 2,303,310


Average Cost($)

Fair Value($)

% of Net Assets





U.S. DOLLAR (cont’d) USD 1,420,000 Wells Fargo & Co., 2.188%, April 30, 2026 1,998,002 1,905,074 USD 560,000 Wells Fargo & Co., 4.3%, July 22, 2027 782,169 835,752 USD 585,000 Wells Fargo & Co., 4.9%, November 17, 2045 848,160 994,944 486,090,183 487,289,364 44.05 EURO EUR 2,787,000 Anheuser-Busch InBev S.A./N.V., 2%, March 17, 2028 4,505,905 4,929,016 EUR 1,419,000 BMW Finance N.V., 1%, November 14, 2024 2,199,905 2,304,298 EUR 5,129,000 Bundesrepublik Deutschland Bundesanleihe 1.25%, August 15, 2048 8,564,415 11,247,613 EUR 2,334,000 Bundesrepublik Deutschland Bundesanleihe Zero Coupon, February 15, 2030 3,810,889 3,834,566 EUR 775,000 Daimler AG 2.25%, January 24, 2022 1,258,781 1,238,169 EUR 824,000 Enel Finance International N.V., 1.966%, January 27, 2025 1,428,178 1,387,949 EUR 2,318,000 Exxon Mobil Corp., 0.835%, June 26, 2031 3,607,403 3,710,278 EUR 3,156,000 Government of France Bond OAT 0.75%, May 25, 2052 4,985,675 5,471,310 EUR 8,140,000 Government of France Bond OAT 2%, May 25, 2048 14,769,875 18,455,131 EUR 9,049,000 Government of France Bond OAT Zero Coupon, February 25, 2022 14,029,813 14,187,977 EUR 4,958,000 Government of France Bond OAT Zero Coupon, March 25, 2023 7,443,672 7,834,466 EUR 10,279,000 Government of France Bond OAT Zero Coupon, March 25, 2024 15,369,261 16,357,895 EUR 15,036,000 Government of France Bond OAT Zero Coupon, March 25, 2025 22,595,147 24,056,384 EUR 7,726,931 Government of France Bond OAT Zero Coupon, November 25, 2029 11,654,100 12,465,463 EUR 4,988,000 Government of France Bond OAT Zero Coupon, November 25, 2030 7,989,709 8,025,106 EUR 10,320,000 Government of Spain Bond 0.05%, October 31, 2021 15,190,624 16,134,486 EUR 2,353,000 Government of Spain Bond 0.45%, October 31, 2022 3,573,876 3,728,751 EUR 4,988,000 Government of Spain Bond 0.5%, April 30, 2030 7,868,018 8,131,486 EUR 12,812,000 Government of Spain Bond Zero Coupon, January 31, 2026 20,534,976 20,334,316 EUR 4,560,000 Italy Buoni Poliennali Del Tesoro 0.65%, October 15, 2023 6,770,080 7,290,187 EUR 17,239,000 Italy Buoni Poliennali Del Tesoro 1.35%, April 01, 2030 26,568,453 29,022,772 EUR 1,734,000 Italy Buoni Poliennali Del Tesoro 3.85%, September 01, 2049 3,443,088 4,263,110 EUR 1,160,000 Sanofi S.A., 0.5%, March 21, 2023 1,883,928 1,835,405 EUR 515,000 Unilever N.V., 0.875%, July 31, 2025 841,655 841,357 EUR 775,000 Unilever N.V., 1.125%, February 12, 2027 1,312,081 1,298,534 EUR 2,061,000 Vodafone Group PLC 2.5%, May 24, 2039 3,693,424 3,909,657 EUR 1,290,000 Volkswagen International Finance N.V., 2.5%, December 31, 2049 2,026,903 2,033,836 EUR 2,575,000 Volkswagen Leasing GmbH 1.375%, January 20, 2025 4,106,170 4,193,930 222,026,004 238,523,448 21.55

FUND(S) 6,574,102 CI DoubleLine Core Plus Fixed Income US$ Fund (Series I) 91,512,594 86,093,123 7.78

EXCHANGE-TRADED FUND(S) 27,160 iShares iBoxx $ Investment Grade Corporate Bond ETF 4,124,437 4,775,411 362,000 iShares J.P. Morgan USD Emerging Markets Bond ETF 53,793,147 53,409,987 57,917,584 58,185,398 5.26 JAPANESE YEN JPY 1,790,250,000 Government of Japan, Five Year Bond 0.1%, December 20, 2022 20,657,704 22,171,800 JPY 1,618,800,000 Government of Japan, Twenty Year Bond 0.3%, June 20, 2039 20,632,974 19,714,910 JPY 631,000,000 Government of Japan, Two Year Bond 0.1%, February 01, 2022 7,688,043 7,797,397 JPY 237,000,000 Government of Japan, Two Year Bond 0.1%, October 01, 2022 2,992,633 2,933,664 51,971,354 52,617,771 4.75 AUSTRALIAN DOLLAR AUD 6,265,000 Government of Australia, Treasury Bond 1%, December 21, 2030 5,996,475 6,165,527 AUD 10,313,000 Government of Australia, Treasury Bond 1.75%, June 21, 2051 9,439,012 9,641,533 AUD 10,287,000 Government of Australia, Treasury Bond 2.5%, May 31, 2030 10,997,190 11,539,167 AUD 8,595,000 Government of Australia, Treasury Bond 3%, March 21, 2047 9,928,818 10,397,962 36,361,495 37,744,189 3.41


Average Cost($)

Fair Value($)

% of Net Assets



‡Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service.Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.


CANADIAN DOLLAR 1,585,000 Fortified Trust 2.34%, January 23, 2023 1,642,123 1,641,937 134,000 Government of Canada 1%, June 01, 2027 139,385 138,586 694,000 Government of Canada 2.75%, June 01, 2022 721,375 719,367 2,180,000 Husky Energy Inc., 3.5%, February 07, 2028 2,179,847 2,228,608 15,246,000 Province of Alberta 2.05%, June 01, 2030 15,720,760 16,123,476 4,954,000 Province of Alberta 3.1%, June 01, 2050 5,496,463 5,868,696 1,950,000 Teranet Holdings L.P., 3.83901%, December 01, 2031 2,319,669 2,519,390 28,219,622 29,240,060 2.64 BRITISH POUND GBP 1,205,000 Heathrow Funding Ltd., 7.125%, February 14, 2024 2,434,244 2,408,220 GBP 5,322,000 United Kingdom Gilt 0.625%, June 07, 2025 9,551,472 9,558,282 GBP 1,523,000 United Kingdom Gilt 1.75%, January 22, 2049 3,427,941 3,337,085 GBP 3,403,000 United Kingdom Gilt 3.5%, July 22, 2068 8,091,831 12,881,986 23,505,488 28,185,573 2.55

SWEDISH KRONA SEK 150,000,000 Government of Sweden 0.75%, November 12, 2029 21,896,327 24,941,287 2.25


Total Investment Portfolio before Derivative Instruments 1,019,496,987 1,042,820,213 94.24


Total Investment Portfolio 1,019,496,987 1,045,042,620 94.44



Principal amounts stated in:AUD Australian Dollar GBP British Pound EUR Euro JPY Japanese Yen SEK Swedish Krona USD U.S. Dollar


Average Cost($)

Fair Value($)

% of Net Assets





Contract(s) Rate


Citigroup Inc. A-2 March 10, 2021 JPY 11,220,368,737 USD 107,396,657 104.48 1,732,233 Citigroup Inc. A-2 March 10, 2021 EUR 11,585,832 USD 13,789,701 0.84 490,174 Total Foreign Currency Forward Contract(s) Value 2,222,407











NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 2,222 - - 2,222Derivative assets - Swaps and swaptions - - - -Total 2,222 - - 2,222Derivative liabilities - Foreign currency forward contracts - - - -Derivative liabilities - Swaps and swaptions - - - -Total - - - -





NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 416 - - 416Derivative assets - Swaps and swaptions - - - -Total 416 - - 416Derivative liabilities - Foreign currency forward contracts - - - -Derivative liabilities - Swaps and swaptions - - - -Total - - - -




the Underlying Fund(s) / ETF(s)

Fair Value of the Fund’s Investmentin the Underlying Fund(s) / ETF(s)

Ownership in theUnderlying Fund(s) / ETF(s)

Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)CI DoubleLine Core Plus Fixed Income US$ Fund 169,737 86,093 50.7iShares J.P. Morgan USD Emerging Markets Bond ETF 31,448,269 53,410 0.2iShares iBoxx $ Investment Grade Corporate Bond ETF 89,796,397 4,775 -





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)iShares J.P. Morgan USD Emerging Markets Bond ETF 20,652,125 15,793 0.1iShares iBoxx $ Investment Grade Corporate Bond ETF 45,686,854 5,393 -











Series A 2020 2019 155,057 181,555 35,844 12,209 432 - (92,625) (38,707) 98,708 155,057

Series E 2020 2019 17,986,491 12,875,334 8,273,288 8,955,652 56,002 - (8,496,344) (3,844,495) 17,819,437 17,986,491

Series E3 2020 2019 - 4,866,890 - 1,234,640 - - - (6,101,530) - -

Series E4 2020 2019 - 846,683 - 270,101 - - - (1,116,784) - -

Series E5 2020 2019 - 368,771 - 115,883 - - - (484,654) - -

Series F 2020 2019 2,930,005 837,955 1,974,124 2,687,688 24,138 - (1,795,833) (595,638) 3,132,434 2,930,005

Series F3 2020 2019 - 512,336 - 386,454 - - - (898,790) - -

Series F4 2020 2019 - 203,743 - 111,394 - - - (315,137) - -

Series F5 2020 2019 - 1,000 - 21,246 - - - (22,246) - -

Series I 2020 2019 36,676,430 34,389,372 9,318,557 7,442,686 511,713 - (15,268,206) (5,155,628) 31,238,494 36,676,430

Series OF 2020 2019 16,367 18,093 1,713 2,767 99 - (4,452) (4,493) 13,727 16,367

Series W 2020 2019 8,216,003 7,933,812 7,085,441 2,642,685 152,389 - (4,696,971) (2,360,494) 10,756,862 8,216,003






Annual management

fee rate:


fee rate:







Investments 2020CI DoubleLine Core Plus Fixed Income US$ Fund (Series I) 86,093

Investments 2019 -


2020Capital loss carried forward: 63,417Non-capital losses expiring:2030 -2031 -2032 -2033 -2034 -2035 -2036 -2037 -2038 -2039 -2040 -Total -






Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 576,544 (158,542) 418,002 37.8 Euro 239,210 18,016 257,226 23.2 Japanese Yen 52,624 138,322 190,946 17.3 Australian Dollar 37,850 - 37,850 3.4 British Pound 28,582 - 28,582 2.6 Swedish Krona 24,964 - 24,964 2.3 Total 959,774 (2,204) 957,570 86.6


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 618,261 (168,622) 449,639 41.3 Euro 271,967 - 271,967 25.0 Japanese Yen 90,260 164,660 254,920 23.4 British Pound 61,731 - 61,731 5.7 Total 1,042,219 (3,962) 1,038,257 95.4





Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total



Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 10,709 332,588 142,701 561,981 1,047,979





as at December 31, 2019Categories Net Assets (%)U.S. Dollar 54.3 Euro 24.9 Japanese Yen 8.3 British Pound 5.6 Canadian Dollar 3.2 Exchange-Traded Fund(s) 1.9 Other Net Assets (Liabilities) 1.8 Foreign Currency Forward Contract(s) 0.0 Total 100.0


as at December 31, 2020 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 16.0AA/Aa/A+ 16.2A 14.0BBB/Baa/B++ 27.5BB/Ba/B+ 3.7Not Rated 4.0Total 81.4

as at December 31, 2019 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 34.8AA/Aa/A+ 9.4A 15.2BBB/Baa/B++ 28.6BB/Ba/B+ 3.1Not Rated 5.3Total 96.4




Other Price RiskAs at December 31, 2020 and 2019, the Fund was invested in global equities and therefore was sensitive to changes in general economic conditions across the world.









(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - 898,542 - 898,542 Fund(s) 86,093 - - 86,093 Exchange-Traded Fund(s) 58,185 - - 58,185 Foreign currency forward contract(s), net - 2,222 - 2,222 Total 144,278 900,764 - 1,045,042


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 329 - - 329 Bonds - 1,047,979 - 1,047,979 Exchange-Traded Fund(s) 21,186 - - 21,186 Foreign currency forward contract(s), net - 416 - 416 Total 21,515 1,048,395 - 1,069,910



Enhanced Income Pool



2020 2019

970,580 967,163 - - 72,500 30,594

3,062 1,979 - - 2 2 18 9 - - 1,079 1,115 1,807 1,988 - - - - 326 38 1,577 1,235 1,050,951 1,004,123

- - - -

194 85 - - - - - - - - 287 450 1,652 683 - - - - - - - - 2,133 1,218

1,048,818 1,002,905






CIG - 9619






units outstanding:

2020 2019 2020 2019 2020 2019Series A 3,104 4,644 17.63 17.00 176,101 273,242Series E 444,958 430,339 18.22 17.56 24,420,262 24,505,030Series E2 - - - - - -Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 52,481 41,057 11.52 11.09 4,556,268 3,702,001Series F2 - - - - - -Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 395,593 364,652 23.93 23.02 16,531,051 15,840,154Series OF 424 437 19.30 18.59 21,986 23,522Series W 152,258 161,776 26.85 25.83 5,670,000 6,262,041




2020 2019

12,920 9,154 9,138 9,110 12,983 11,097 5,573 12 (89) -

- - - -

6,250 4,736

20,170 80,782 66,945 114,891 3,126 (1,041) - - 180 88 322 127 3,628 (826) 70,573 114,065

7,371 6,945 1,150 1,067 259 212 1 1 8 8 - - 10 - 1 1 1,395 992 1,014 948 11,209 10,174 - -

59,364 103,891













2020 2019 2020 2019 2020 2019Series A 129 512 0.56 1.69 229,691 303,535Series E 20,452 25,977 0.84 1.60 24,341,324 16,151,649Series E2 - 8,959 - 0.75 - 12,036,374Series E3 - 5,550 - 0.73 - 7,532,429Series E4 - 980 - 0.74 - 1,311,979Series E5 - 431 - 0.72 - 596,898Series F 2,874 1,896 0.70 1.04 4,112,920 1,829,497Series F2 - 539 - 0.77 - 703,595Series F3 - 573 - 0.76 - 766,531Series F4 - 138 - 0.81 - 170,962Series F5 - 2 - 0.14 - 15,217Series I 26,908 41,241 1.68 2.69 16,076,790 15,312,298Series OF 21 47 0.89 2.01 23,935 23,315Series W 8,980 17,046 1.60 2.98 5,637,355 5,704,650












Series A 2020 2019 4,644 5,048 129 512

(33) - - - - - (33) -

230 187 33 - (1,899) (1,103) (1,636) (916) (1,540) (404) 3,104 4,644

Series E 2020 2019 430,339 172,443 20,452 25,977

(4,977) - - - - - (4,977) -

106,833 301,663 4,977 - (112,666) (69,744) (856) 231,919 14,619 257,896 444,958 430,339

Series E2 2020 2019 - 116,175 - 8,959

- - - - - - - -

- 26,042 - - - (151,176) - (125,134) - (116,175) - -

Series E3 2020 2019 - 69,899 - 5,550

- - - - - - - -

- 18,179 - - - (93,628) - (75,449) - (69,899) - -

Series E4 2020 2019 - 13,081 - 980

- - - - - - - -

- 4,114 - - - (18,175) - (14,061) - (13,081) - -

Series E5 2020 2019 - 4,720 - 431

- - - - - - - -

- 2,602 - - - (7,753) - (5,151) - (4,720) - -

Series F 2020 2019 41,057 6,502 2,874 1,896

(1,016) - - - - - (1,016) -

22,965 42,098 1,016 - (14,415) (9,439) 9,566 32,659 11,424 34,555 52,481 41,057

Series F2 2020 2019 - 5,809 - 539

- - - - - - - -

- 4,445 - - - (10,793) - (6,348) - (5,809) - -

Series F3 2020 2019 - 5,913 - 573

- - - - - - - -

- 4,569 - - - (11,055) - (6,486) - (5,913) - -

Series F4 2020 2019 - 1,369 - 138

- - - - - - - -

- 839 - - - (2,346) - (1,507) - (1,369) - -

Series F5 2020 2019 - 33 - 2

- - - - - - - -

- 780 - - - (815) - (35) - (33) - -

Series I 2020 2019 364,652 299,745 26,908 41,241

(11,200) - - - - - (11,200) -

106,683 80,007 11,200 - (102,650) (56,341) 15,233 23,666 30,941 64,907 395,593 364,652








Series OF 2020 2019 437 420 21 47

(8) - - - - - (8) -

89 115 8 - (123) (145) (26) (30) (13) 17 424 437

Series W 2020 2019 161,776 124,673 8,980 17,046

(4,060) - - - - - (4,060) -

67,687 56,148 4,059 - (86,184) (36,091) (14,438) 20,057 (9,518) 37,103 152,258 161,776

Total Fund 2020 2019 1,002,905 825,830 59,364 103,891

(21,294) - - - - - (21,294) -

304,487 541,788 21,293 - (317,937) (468,604) 7,843 73,184 45,913 177,075 1,048,818 1,002,905




2020 2019

59,364 103,891

(6,250) (4,736) 502 334 259 212

(20,170) (80,782) 628,173 433,158 (588,299) (511,022) (18,556) (11,109) - 764 - - 36 (416) 181 (266) - - - - - - (9) (6) 55,231 (69,978)

(1) - 264,481 200,994 (277,303) (128,656) (12,823) 72,338

(502) (334) 42,408 2,360 30,594 28,568 72,500 30,594

9,024 7,834 9,260 8,774 - - 1 1 - -












Average Cost($)

Fair Value($)

% of Net Assets

EXCHANGE-TRADED FUND(S) 858,715 CI First Asset Global Financial Sector ETF (Common Units) 15,847,873 16,581,787 49,000 CI First Asset Preferred Share ETF (Common Units) 960,795 1,021,650 197,568 iShares 20+ Year Treasury Bond ETF 39,200,778 39,666,502 791,376 iShares Core MSCI EAFE ETF 66,610,379 69,647,454 2,244,420 iShares Core S&P/TSX Capped Composite Index ETF 58,949,247 62,103,101 379,574 iShares Russell 1000 Value ETF 65,551,299 66,062,236 145,627 SPDR Gold Trust 29,113,150 33,062,247 182,974 SPDR S&P 500 ETF Trust 80,809,715 87,079,237 357,043,236 375,224,214 35.78 FUND(S) 3,902,560 CI DoubleLine Core Plus Fixed Income US$ Fund (Series IH) 39,266,516 39,673,420 347,490 CI Global Infrastructure Private Pool (ETF C$ Series) 7,234,903 7,394,587 2,690,732 CI Income Fund (Series I) 20,502,334 23,208,911 5,792,268 CI Munro Alternative Global Growth Fund (Series I) 57,710,988 87,612,693 2,004,669 Real Estate Investment Pool (Series I) 50,975,362 53,489,371 222,863 Sentry Precious Metals Fund (Series I) 19,930,026 18,006,600 3,641,706 Signature High Yield Bond Fund (Series I) 34,599,982 37,368,273 230,220,111 266,753,855 25.43 COMMON EQUITIES 25,977 Assertio Holdings Inc. 82,621 11,824 26,517 Berry Petroleum Co., LLC 423,668 124,212 93,334 Boralex Inc., Class A 2,038,089 4,409,098 8,287 BrightHouse TopCo Ltd., A1 Ordinary Shares 82,487 - 250,842 Brookfield Asset Management Inc., Class A 9,323,682 13,199,306 36,820 Brookfield Infrastructure Partners L.P. 1,871,501 2,318,924 18,977 Brookfield Renewable Energy Partners L.P. 543,655 1,042,786 54,329 Calfrac Well Services Ltd. 890,672 214,727 9,750 Canadian Imperial Bank of Commerce 1,082,708 1,060,020 3,100 Canadian Pacific Railway Ltd. 1,335,788 1,368,743 115,059 Cheniere Energy Inc. 7,403,510 8,791,884 8,960 Citigroup Inc. 578,031 703,242 27,677 Coca-Cola Co. 1,604,015 1,932,010 149,350 Enbridge Inc. 6,967,841 6,080,038 18,070 Entergy Corp. 2,493,235 2,296,443 1,673,079 ESR Cayman Ltd. 4,924,869 7,636,871 200,087 Ferrovial S.A. 5,630,274 7,031,841 305,026 First Capital Real Estate Investment Trust 5,889,116 4,133,102 87,867 HarbourVest Adelaide Feeder H L.P. 9,093,253 9,669,845 132,689 Keyera Corp. 3,763,209 3,001,425 228,470 Manulife Financial Corp. 5,008,685 5,174,846 20,400 Nestlé S.A., Registered Shares 2,345,099 3,058,093 48,080 NextEra Energy Inc. 2,748,914 4,721,646 167,044 Northland Power Inc. 4,878,055 7,628,899 1,518 Oasis Petroleum Inc. 131,829 71,609 85,054 Pembina Pipeline Corp. 3,159,095 2,560,125 293,075 Plains GP Holdings L.P. 4,971,253 3,159,768 36,970 Power Corporation of Canada 1,095,950 1,080,633 5,290 Procter & Gamble Co. 627,082 936,916 23,091 Pyxus International Inc. 37,534 146,962 23,060 Sempra Energy 3,629,819 3,739,864 1,168 Skillsoft Inc., Class A 196,671 226,728 217 Skillsoft Inc., Class B 35,266 42,123 263,604 Sporting Life Group Ltd., Class B 271,756 271,756 873,652 Sydney Airport 4,230,218 5,495,583 33,120 TC Energy Corp. 1,745,869 1,713,960





COMMON EQUITIES (cont’d) 29,450 The Bank of Nova Scotia 2,007,719 2,026,160 228,350 The Williams Co., Inc. 7,810,953 5,827,850 486 Tops Markets LLC 225,107 217,485 33,020 Toronto-Dominion Bank 2,380,573 2,374,798 684,289 Transurban Group 6,860,610 9,172,919 225,943 Tricon Capital Group Inc. 2,257,114 2,582,528 50,690 Vonovia S.E. 3,247,902 4,710,583 7,296 Xplornet Mobile 10,433 10,433 7,296 Xplornet Wireless 12,768 12,768 125,948,498 141,991,376 13.54 CORPORATE BONDS EUR 209,669 Abengoa Abenewco 1 S.A.U., 6%, March 31, 2021 257,227 275,152 EUR 5,105 Abengoa Abenewco 1 S.A.U., Zero Coupon, December 31, 2022 - - USD 270,637 Abengoa Abenewco 2 BIS S.A., 1.5%, April 26, 2024 50,503 6,890 USD 386,000 Abercrombie & Fitch Co., 8.75%, July 15, 2025 528,589 546,921 USD 479,000 Academy Ltd., 6%, November 15, 2027 637,882 640,203 USD 341,000 AerCap Global Aviation Trust 6.5%, June 15, 2045 367,923 443,824 USD 326,000 AerCap Holdings N.V., 5.875%, October 10, 2079 437,490 426,751 USD 62,000 AerCap Ireland Capital DAC/AerCap Global Aviation Trust 6.5%, July 15, 2025 82,780 94,419 USD 489,000 Air Canada 4%, July 01, 2025 692,624 921,220 51,000 Air Canada 4.75%, October 06, 2023 47,685 51,935 USD 223,000 Air Canada 7.75%, April 15, 2021 305,332 285,630 USD 7,328 Air Canada, 2013-1 Class A Pass Through Certificates 4.125%, May 15, 2025 9,103 9,015 USD 51,295 Air Canada, Term Loan B, Private Placement, variable rate, October 06, 2023 59,085 64,477 USD 87,000 Alterra Mountain Co., Term Loan, Private Placement, variable rate, August 01, 2026 112,818 111,711 USD 55,000 Altice Financing S.A., 5%, January 15, 2028 71,682 71,826 USD 433,000 Altice France Holding S.A., 6%, February 15, 2028 572,990 559,076 USD 357,826 Alvogen Pharma US Inc., Term Loan B-Ext, Private Placement, variable rate, December 31, 2023 475,409 438,015 USD 387,000 AMC Entertainment Holdings Inc., 10.5%, April 15, 2025 532,138 350,677 USD 331,882 AMC Entertainment Holdings Inc., Term Loan B, Private Placement, variable rate, March 20, 2026 439,255 274,382 USD 386,000 American Airlines Group Inc., 6.5%, July 01, 2025 495,012 618,382 USD 8,000 Antero Resources Corp., 5.625%, June 01, 2023 8,783 9,992 USD 81,000 Antero Resources Corp., 8.375%, July 15, 2026 103,122 105,496 USD 222,000 Archrock Partners L.P./Archrock Partners Finance Corp., 6.25%, April 01, 2028 296,962 294,864 USD 393,000 Argos Merger Sub Inc., 7.125%, March 15, 2023 508,786 500,874 USD 248,000 Avaya Inc., 6.125%, September 15, 2028 330,929 337,818 USD 55,000 Barclays PLC 6.125%, December 31, 2049 73,012 75,612 USD 804,000 Barclays PLC 6.278%, December 31, 2049 1,163,392 1,285,964 USD 81,000 Barclays PLC 7.75%, December 31, 2049 105,683 111,095 USD 1,275,000 Barclays PLC 7.875%, December 31, 2049 1,740,464 1,706,118 USD 365,000 Barclays PLC 8%, December 31, 2049 485,121 518,273 USD 59,000 Baytex Energy Corp., 8.75%, April 01, 2027 46,156 47,976 USD 141,000 Big River Steel LLC/BRS Finance Corp., 6.625%, January 31, 2029 185,507 194,173 USD 249,791 Blue Ribbon LLC, Term Loan, Private Placement, variable rate, November 13, 2021 308,451 301,464 GBP 105,463 BrightHouse Group PLC 9%, May 15, 2023 184,168 45,894 USD 812,000 Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimnus 5.75%, May 15, 2026 1,081,912 1,020,026 USD 812,000 Brookfield Residential Properties Inc., 4.875%, February 15, 2030 1,070,010 1,069,447 USD 713,000 Brookfield Residential Properties Inc., 6.25%, September 15, 2027 933,441 967,135 USD 37,000 Cablevision Lightpath LLC 5.625%, September 15, 2028 48,803 49,364 100,000 Calfrac Holdings L.P., 10%, December 18, 2023 100,000 100,000 USD 178,750 Calfrac Holdings L.P., 10.875%, March 15, 2026 229,802 159,271 USD 791,000 Canada Goose Inc., Term Loan, Private Placement, variable rate, October 01, 2027 1,039,863 1,008,749 325,000 Canadian Western Bank 6%, April 30, 2081 326,769 335,865 USD 190,000 Carnival Corp., 10.5%, February 01, 2026 268,679 282,058 USD 415,000 Carnival Corp., 11.5%, April 01, 2023 593,717 611,808


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 207,000 Carnival Corp., 7.2%, October 01, 2023 251,448 269,418 USD 173,000 Carnival Corp., 7.625%, March 01, 2026 226,345 240,331 USD 292,000 Carvana Co., 5.625%, October 01, 2025 390,667 381,907 USD 731,000 Carvana Co., 5.875%, October 01, 2028 975,513 967,707 USD 410,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, February 01, 2031 559,050 550,649 USD 9,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, August 15, 2030 12,352 12,172 USD 265,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, May 01, 2032 364,871 360,582 USD 100,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, March 01, 2030 133,460 137,505 USD 305,000 Cenovus Energy Inc., 3.8%, September 15, 2023 291,770 403,456 USD 43,000 Cenovus Energy Inc., 4.25%, April 15, 2027 51,460 59,819 USD 134,000 Cenovus Energy Inc., 5.4%, June 15, 2047 118,964 200,528 USD 537,000 Cenovus Energy Inc., 6.75%, November 15, 2039 523,477 904,775 USD 61,000 CenturyLink Inc., 4.5%, January 15, 2029 79,803 79,151 519,000 CES Energy Solutions Corp., 6.375%, October 21, 2024 517,197 511,972 USD 29,625 ChampionX Holding Inc., Term Loan, Private Placement, variable rate, June 01, 2027 38,546 38,369 USD 401,000 Cheplapharm Arzneimittel GmbH 5.5%, January 15, 2028 537,140 534,039 USD 50,000 Cinemark Holdings Inc., 4.5%, August 15, 2025 60,889 93,207 USD 373,000 Cinemark USA Inc., 4.875%, June 01, 2023 453,908 451,941 613,000 Cineplex Inc., 5.75%, September 30, 2025 616,468 668,630 USD 238,000 Clearwater Seafoods Inc., 6.875%, May 01, 2025 314,799 318,095 USD 203,000 CommScope Finance LLC 5.5%, March 01, 2024 271,458 266,761 USD 82,000 CommScope Finance LLC 6%, March 01, 2026 109,902 110,109 USD 72,000 CommScope Inc., 7.125%, July 01, 2028 97,445 97,727 USD 53,372 CommScope Inc., Term Loan B2, Private Placement, variable rate, February 07, 2026 70,466 67,633 USD 123,000 Comstock Resources Inc., 9.75%, August 15, 2026 164,021 168,896 USD 120,000 Consolidated Communications Inc., 6.5%, October 01, 2028 158,389 163,669 USD 500,000 Credit Suisse Group AG 4.5%, December 31, 2049 646,153 641,158 USD 212,000 Credit Suisse Group AG 5.1%, December 31, 2049 274,137 281,323 USD 415,000 Credit Suisse Group AG 5.25%, December 31, 2049 552,107 559,947 USD 539,000 Credit Suisse Group AG 6.25%, December 31, 2049 674,212 752,514 USD 208,000 Credit Suisse Group AG 6.375%, December 31, 2049 279,306 295,100 USD 136,000 Credit Suisse Group AG 7.5%, December 31, 2049 179,008 189,127 USD 385,000 Credit Suisse Group AG, FRN, 7.5%, December 11, 2023 476,503 546,814 883,000 Crew Energy Inc., 6.5%, March 14, 2024 866,756 621,779 USD 442,000 CrownRock L.P./CrownRock Finance Inc., 5.625%, October 15, 2025 562,302 575,619 USD 101,000 Cushman & Wakefield US Borrower LLC 6.75%, May 15, 2028 140,633 142,142 USD 214,000 DCP Midstream LLC, FRN, 5.85%, May 21, 2043 222,469 235,434 USD 593,000 Delta Air Lines Inc., 7%, May 01, 2025 832,281 872,148 USD 150,000 Delta Air Lines Inc., 7.375%, January 15, 2026 200,658 218,288 USD 12,935 Delta Air Lines Inc., Term Loan, Private Placement, variable rate, April 27, 2023 17,610 16,753 USD 43,000 Delta Air Lines Inc./SkyMiles IP Ltd., 4.5%, October 20, 2025 56,676 58,531 USD 435,000 Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, August 15, 2026 570,868 450,927 USD 101,000 Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, August 15, 2027 131,653 77,941 USD 28,058 Digicel International Finance Ltd., Term Loan B, Private Placement, variable rate, May 27, 2024 38,117 32,783 USD 159,000 Discover Financial Services Inc., 6.125%, December 31, 2049 215,731 228,954 USD 380,000 Dole Food Co., Inc., 7.25%, June 15, 2025 494,571 495,138 USD 204,000 Dolya HoldCo 18 Designated Activity Co., 5%, July 15, 2028 274,418 270,317 USD 1,308,000 Dresdner Funding Trust I 8.151%, June 30, 2031 2,161,577 2,461,992 USD 399,984 Egalet Corp., 13%, January 31, 2024 474,052 504,047 USD 332,000 Empire Communities Corp., 7%, December 15, 2025 430,966 446,419 545,000 Empire Communities Corp., 7.375%, December 15, 2025 548,525 565,497 331,000 Enbridge Inc., 5.375%, September 27, 2077 331,000 351,429 USD 2,322,000 Enbridge Inc., 5.5%, July 15, 2077 2,516,982 3,034,399 USD 1,249,000 Enbridge Inc., 6%, January 15, 2077 1,664,015 1,698,881 USD 276,000 Enbridge Inc., 6.25%, March 01, 2078 344,810 384,841


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) 519,000 Enbridge Inc., 6.625%, April 12, 2078 525,431 593,913 USD 512,000 Endeavor Energy Resources L.P./EER Finance Inc., 5.75%, January 30, 2028 684,668 703,991 USD 561,000 Fairstone Financial Inc., 7.875%, July 15, 2024 754,939 759,097 USD 49,000 First Quantum Minerals Ltd., 6.5%, March 01, 2024 64,170 64,204 USD 317,000 First Quantum Minerals Ltd., 6.875%, March 01, 2026 361,230 421,414 USD 317,000 First Quantum Minerals Ltd., 6.875%, October 15, 2027 414,782 438,311 USD 94,000 First Quantum Minerals Ltd., 7.25%, April 01, 2023 124,918 123,505 USD 1,077,000 First Quantum Minerals Ltd., 7.5%, April 01, 2025 1,431,843 1,429,173 USD 509,000 Fortress Transportation and Infrastructure Investors LLC 6.5%, October 01, 2025 664,349 679,493 USD 110,000 Fortress Transportation and Infrastructure Investors LLC 6.75%, March 15, 2022 148,955 140,680 USD 323,000 Fortress Transportation and Infrastructure Investors LLC 9.75%, August 01, 2027 433,371 472,046 USD 129,963 Front Range BidCo Inc., Term Loan, Private Placement, variable rate, February 21, 2027 171,900 164,794 USD 140,000 Frontier Communications Corp., 5%, May 01, 2028 182,839 186,113 USD 79,000 Frontier Communications Corp., 5.875%, October 15, 2027 104,904 108,918 USD 609,000 Genworth Holdings Inc., 2.2235%, November 15, 2036 471,414 321,705 USD 322,000 Genworth Holdings Inc., 4.8%, February 15, 2024 378,083 383,999 USD 550,000 Genworth Holdings Inc., 4.9%, August 15, 2023 661,023 663,776 USD 226,000 Genworth Holdings Inc., 7.625%, September 24, 2021 286,516 292,709 USD 232,000 Genworth Mortgage Holdings Inc., 6.5%, August 15, 2025 306,578 320,229 555,000 Gibson Energy Inc., 5.25%, December 22, 2080 555,000 560,721 USD 1,534,686 Global Aircraft Leasing Co., Ltd., 6.5%, September 15, 2024 2,035,776 1,748,379 USD 427,000 Goldman Sachs Group Inc., 4.12788%, December 31, 2049 543,510 543,788 USD 200,000 H&E Equipment Services Inc., 3.875%, December 15, 2028 259,740 257,621 USD 919,765 Hartford Financial Services Group Inc., 2.346%, February 12, 2047 1,004,152 1,045,955 USD 224,000 HCA Inc., 3.5%, September 01, 2030 297,566 303,209 USD 821,000 HCA Inc., 5.375%, September 01, 2026 1,150,392 1,203,137 USD 850,500 HCA Inc., 7.05%, December 01, 2027 1,199,281 1,312,991 USD 360,000 HCA Inc., 7.58%, September 15, 2025 534,891 554,474 USD 94,000 HCA Inc., 7.69%, June 15, 2025 145,614 144,019 USD 147,000 Howard Hughes Corp., 5.375%, August 01, 2028 195,141 201,594 USD 415,000 Howard Hughes Corp., 5.375%, March 15, 2025 553,492 546,080 USD 31,760 HUB International Ltd., Term Loan B, Private Placement, variable rate, April 25, 2025 41,047 40,606 USD 106,000 Hudbay Minerals Inc., 6.125%, April 01, 2029 139,459 145,721 USD 298,000 Hughes Satellite Systems Corp., 5.25%, August 01, 2026 377,184 420,028 USD 101,000 Hughes Satellite Systems Corp., 6.625%, August 01, 2026 138,700 145,922 USD 288,000 Husky III Holding Ltd., 13%, February 15, 2025 385,963 399,817 USD 107,000 ILFC E-Capital Trust I, FRN, 4.67%, December 21, 2065 115,043 91,935 USD 415,000 ILFC E-Capital Trust II 4.15%, December 21, 2065 478,034 367,508 USD 53,000 ING Groep N.V., 4.875%, December 31, 2049 69,901 69,239 USD 620,000 ING Groep N.V., 6.5%, December 31, 2049 796,232 869,338 USD 73,000 ING Groep N.V., 6.75%, December 31, 2049 103,653 101,633 USD 2,087,000 Intarcia Therapeutics Inc., 144A, Zero Coupon, April 15, 2031 552,482 21,598 USD 868,000 Intarcia Therapeutics Inc., Zero Coupon, April 15, 2031 233,666 8,983 USD 392,000 Intelsat Jackson Holdings S.A., Zero Coupon, August 01, 2023 459,280 339,303 1,885,000 Inter Pipeline Ltd., 6.625%, November 19, 2079 1,866,133 1,943,496 1,720,000 Inter Pipeline Ltd., 6.875%, March 26, 2079 1,736,574 1,805,986 USD 105,000 Iron Mountain Inc., 4.5%, February 15, 2031 140,202 140,170 USD 263,000 Iron Mountain Inc., 4.875%, September 15, 2029 350,751 353,519 USD 33,000 Iron Mountain Inc., 5%, July 15, 2028 44,774 44,678 USD 360,000 Iron Mountain Inc., 5.25%, July 15, 2030 488,447 495,475 USD 1,105,503 Ironshore Pharmaceuticals & Development Inc., 13%, February 28, 2024 1,431,528 1,193,298 USD 125,939 Ironshore Pharmaceuticals & Development Inc., 16%, February 28, 2024 164,268 129,849 USD 742,000 iStar Inc., 5.5%, February 15, 2026 974,641 965,150 USD 161,000 JBS USA LLC S.A./JBS USA Finance Inc., 5.75%, June 15, 2025 201,680 212,109 USD 483,000 Kennedy-Wilson Inc., 5.875%, April 01, 2024 592,848 624,800


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 116,579 Kestrel Acquisition LLC, Term Loan B, Private Placement, variable rate, May 02, 2025 149,380 129,937 1,282,000 Keyera Corp., 6.875%, June 13, 2079 1,281,672 1,390,479 USD 139,000 Kinross Gold Corp., 6.875%, September 01, 2041 200,480 244,080 USD 379,000 Land O’Lakes Capital Trust I 7.45%, March 15, 2028 490,047 550,571 USD 187,593 Lannett Co., Inc., Term Loan B, Private Placement, variable rate, November 25, 2022 226,739 235,593 USD 283,000 Laredo Petroleum Inc., 9.5%, January 15, 2025 321,825 315,540 USD 477,000 LBC Tank Terminals Holding Netherlands B.V., 6.875%, May 15, 2023 589,321 609,069 USD 71,000 LCPR Senior Secured Financing DAC 6.75%, October 15, 2027 93,006 97,380 USD 456,000 Lincoln National Corp., 2.25838%, April 20, 2067 440,644 435,331 USD 405,000 Lincoln National Corp., Callable, 2.5795%, May 17, 2066 362,735 398,241 USD 41,000 Live Nation Entertainment Inc., 3.75%, January 15, 2028 52,197 52,862 USD 85,000 Lloyds Banking Group PLC 6.75%, December 31, 2049 113,368 121,405 USD 100,000 Lloyds Banking Group PLC 7.5%, December 31, 2049 143,011 143,837 USD 325,000 Lloyds Banking Group PLC 7.5%, December 31, 2049 453,720 476,779 USD 238,000 Macquarie Bank Ltd., 6.125%, December 31, 2049 292,034 324,409 782,000 Mattamy Group Corp., 4.625%, March 01, 2028 782,350 808,881 USD 310,000 Mattamy Group Corp., 4.625%, March 01, 2030 403,952 418,952 USD 95,504 McAfee LLC, Term Loan B, Private Placement, variable rate, September 29, 2024 118,215 121,741 USD 219,000 MEG Energy Corp., 7%, March 31, 2024 268,926 282,249 USD 348,000 MEG Energy Corp., 7.125%, February 01, 2027 433,230 458,472 USD 5,970 Meredith Corp., Term Loan, Private Placement, variable rate, January 31, 2025 7,819 7,664 USD 398,000 Merlin Entertainments PLC 5.75%, June 15, 2026 527,726 533,595 USD 99,000 Methanex Corp., 5.125%, October 15, 2027 130,215 137,123 USD 517,000 MetLife Capital Trust IV 7.875%, December 15, 2037 898,557 929,548 USD 251,000 MGM Growth Properties Operating Partnership L.P./MGP Finance 4.5%, January 15, 2028 301,878 341,044 USD 71,000 MGM Growth Properties Operating Partnership L.P./MGP Finance 5.75%, February 01, 2027 97,116 101,531 USD 777,000 MGM Resorts International 4.625%, September 01, 2026 988,415 1,048,457 USD 660,000 MGM Resorts International 4.75%, October 15, 2028 871,264 902,066 USD 1,127,000 MGM Resorts International 5.5%, April 15, 2027 1,436,808 1,600,826 USD 136,000 Michaels Stores Inc., 8%, July 15, 2027 179,589 186,390 USD 165,000 Moss Creek Resources Holdings Inc., 10.5%, May 15, 2027 219,035 168,547 USD 401,000 MPH Acquisition Holdings LLC 5.75%, November 01, 2028 525,448 502,290 USD 88,000 National CineMedia LLC 5.875%, April 15, 2028 117,168 95,213 USD 221,000 National Westminster Bank PLC, FRN, 0.4075%, August 29, 2049 215,952 261,697 USD 183,000 National Westminster Bank PLC, FRN, 0.5%, December 31, 2049 171,260 216,692 USD 118,000 Nationstar Mortgage Holdings Inc., 5.125%, December 15, 2030 152,662 157,182 USD 158,000 Nationstar Mortgage Holdings Inc., 5.5%, August 15, 2028 211,445 211,551 USD 569,000 Nationstar Mortgage Holdings Inc., 6%, January 15, 2027 683,104 769,886 USD 44,000 Natwest Group PLC 2.57388%, December 31, 2049 54,703 53,504 USD 466,000 Navient Corp., 5%, March 15, 2027 601,989 599,178 USD 169,000 NCL Corp Ltd., 10.25%, February 01, 2026 229,358 252,228 USD 80,000 NCL Corp Ltd., 3.625%, December 15, 2024 93,585 93,533 USD 135,000 NCL Corporation Ltd., 5.875%, March 15, 2026 173,505 181,068 USD 550,000 New Gold Inc., 7.5%, July 15, 2027 736,693 775,790 USD 42,000 New Residential Investment Corp., 6.25%, October 15, 2025 55,352 53,829 USD 62,000 NFP Corp., 6.875%, August 15, 2028 84,987 84,359 USD 657,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 6.125%, March 01, 2025 849,910 532,091 USD 209,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 7.5%, April 15, 2026 279,192 165,441 USD 149,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 7.5%, November 01, 2023 200,378 134,660 USD 293,000 Nielsen Finance LLC/Nielsen Finance Co., 5.625%, October 01, 2028 389,715 405,937 USD 110,000 Nielsen Finance LLC/Nielsen Finance Co., 5.875%, October 01, 2030 145,146 158,659 USD 1,114,000 NMI Holdings Inc., 7.375%, June 01, 2025 1,537,618 1,590,216 USD 207,667 Northern Oil and Gas Inc., 8.5%, May 15, 2023 261,374 234,766 USD 480,000 Northriver Midstream Finance L.P., 5.625%, February 15, 2026 628,819 632,176 USD 4,000 NOVA Chemicals Corp., 4.875%, June 01, 2024 5,351 5,311


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 452,000 NOVA Chemicals Corp., 5%, May 01, 2025 613,483 603,757 USD 315,000 NOVA Chemicals Corp., 5.25%, June 01, 2027 407,876 427,735 USD 58,000 Nufarm Australia Ltd./Nufarm Americas Inc., 5.75%, April 30, 2026 73,103 76,121 USD 320,000 NuStar Logistics L.P., 6%, June 01, 2026 434,728 441,227 866,000 NuVista Energy Ltd., 6.5%, March 02, 2023 863,720 642,103 USD 103,000 Occidental Petroleum Corp., 3%, February 15, 2027 97,856 116,932 USD 181,000 Occidental Petroleum Corp., 3.2%, August 15, 2026 186,625 215,851 USD 218,000 Occidental Petroleum Corp., 3.4%, April 15, 2026 256,830 265,082 USD 92,000 Occidental Petroleum Corp., 6.125%, January 01, 2031 117,935 125,620 USD 63,000 Occidental Petroleum Corp., 6.625%, September 01, 2030 83,526 87,189 USD 29,000 Occidental Petroleum Corp., 8%, July 15, 2025 39,665 42,114 USD 312,000 Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics S.A., 7.25%, February 01, 2028 415,807 419,731 USD 93,000 Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics S.A., 7.375%, June 01, 2025 129,654 126,296 USD 109,000 Panther BF Aggregator 2 L.P./Panther Finance Co., Inc., 8.5%, May 15, 2027 145,792 150,964 USD 183,000 Park Intermediate Holdings LLC/PK Domestic Property LLC 5.875%, October 01, 2028 241,209 248,518 USD 1,022,000 Park Intermediate Holdings LLC/PK Domestic Property LLC 7.5%, June 01, 2025 1,442,217 1,407,411 429,000 Parkland Corp., 6%, June 23, 2028 429,000 461,175 USD 24,000 Parkland Fuel Corp., 5.875%, July 15, 2027 31,611 33,088 238,000 Parkland Fuel Corp., 6.5%, January 21, 2027 238,115 257,635 USD 69,000 Pattern Energy Operations L.P./Pattern Energy Operations Inc., 4.5%, August 15, 2028 93,944 92,825 USD 482,000 PennyMac Financial Services Inc., 5.375%, October 15, 2025 648,052 649,581 USD 58,000 PetSmart Inc., 8.875%, June 01, 2025 75,284 75,951 USD 69,000 Precision Drilling Corp., 5.25%, November 15, 2024 76,371 76,247 USD 169,000 Precision Drilling Corp., 7.125%, January 15, 2026 215,301 187,920 USD 183,000 Precision Drilling Corp., 7.75%, December 15, 2023 245,353 214,742 USD 649,000 Project Homestake Merger Corp., 8.875%, March 01, 2023 754,131 570,016 USD 235,848 Pyxus Holdings Inc., Term Loan, Private Placement, variable rate, February 24, 2025 299,987 284,450 USD 248,000 Quotient Ltd., 12%, April 15, 2024 330,739 321,992 USD 558,000 Quotient Ltd., 12%, October 15, 2023 736,785 724,482 USD 661,000 Rayonier AM Products Inc., 5.5%, June 01, 2024 756,973 734,108 USD 216,000 Rayonier AM Products Inc., 7.625%, January 15, 2026 279,280 287,043 USD 222,000 Rite Aid Corp., 7.5%, July 01, 2025 297,516 295,448 USD 215,000 Rite Aid Corp., 7.7%, February 15, 2027 246,351 262,838 USD 457,000 Rite Aid Corp., 8%, November 15, 2026 630,639 623,161 USD 875,000 Rockpoint Gas Storage Canada Ltd., 7%, March 31, 2023 1,098,204 1,106,128 USD 168,000 Royal Caribbean Cruises Ltd., 3.7%, March 15, 2028 189,463 189,954 USD 338,000 Royal Caribbean Cruises Ltd., 5.25%, November 15, 2022 398,811 432,756 USD 528,000 Royal Caribbean Cruises Ltd., 9.125%, June 15, 2023 721,477 730,057 USD 161,000 RSA Security LLC, Term Loan, Private Placement, variable rate, July 01, 2027 213,723 206,089 654,000 Saguard Resources Ltd., 8.5%, April 13, 2022 643,152 691,847 USD 361,000 Scientific Games International Inc., 7%, May 15, 2028 442,038 494,852 USD 560,000 Scientific Games International Inc., 7.25%, November 15, 2029 753,253 783,527 USD 303,000 Scientific Games International Inc., 8.25%, March 15, 2026 378,466 416,275 USD 245,000 Scientific Games International Inc., 8.625%, July 01, 2025 332,415 341,876 USD 315,000 Sempra Energy 4.875%, December 31, 2049 421,924 429,531 USD 169,000 Service Properties Trust 5.5%, December 15, 2027 222,730 235,402 USD 976,000 Seven Generations Energy Ltd., 5.375%, September 30, 2025 1,252,684 1,267,958 USD 11,000 Seven Generations Energy Ltd., 6.875%, June 30, 2023 14,496 14,228 USD 485,000 Silversea Cruises Ltd., 7.25%, February 01, 2025 629,283 640,120 USD 356,000 Six Flags Entertainment Corp., 4.875%, July 31, 2024 453,082 454,284 USD 87,000 Six Flags Theme Parks Inc., 7%, July 01, 2025 124,177 119,809 USD 114,000 SkyMiles IP Ltd., 4.75%, September 16, 2027 151,543 150,824 USD 124,712 Software Luxembourg Acquisition S.a.r.l., Term Loan, Private Placement, variable rate, April 27, 2025 167,368 158,878 USD 207,000 Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8%, September 20, 2025 280,983 296,426 USD 86,000 Station Casinos LLC 4.5%, February 15, 2028 112,996 110,495


Average Cost($)

Fair Value($)

% of Net Assets





CORPORATE BONDS (cont’d) USD 50,000 Studio City Finance Ltd., 6%, July 15, 2025 67,550 67,336 USD 739,000 Studio City Finance Ltd., 6.5%, January 15, 2028 1,002,115 1,011,079 USD 34,000 Studio City Finance Ltd., 7.25%, February 11, 2024 45,185 45,297 USD 102,000 Syneos Health Inc., 3.625%, January 15, 2029 133,396 130,438 USD 460,000 Targa Resources Partners L.P./Targa Resources Partners 5.5%, March 01, 2030 613,548 636,263 USD 204,000 Teck Resources Ltd., 5.4%, February 01, 2043 282,320 310,560 USD 176,000 Teck Resources Ltd., 6.125%, October 01, 2035 254,468 289,182 USD 175,000 Teine Energy Ltd., 6.875%, September 30, 2022 215,879 222,983 USD 15,000 TerraForm Power Operating LLC 5%, January 31, 2028 20,369 21,490 USD 600,000 The Royal Bank of Scotland Group PLC 6%, December 31, 2049 817,444 838,485 USD 51,000 The Royal Bank of Scotland Group PLC 8%, December 31, 2049 71,577 75,773 USD 99,302 Tops Markets LLC 13%, November 19, 2024 130,976 123,873 USD 96,214 Tops Markets LLC, Term Loan, Private Placement, variable rate, November 16, 2023 122,960 125,226 USD 391,000 TransCanada Trust 5.5%, September 15, 2079 540,249 549,339 USD 242,000 TransDigm Inc., 5.5%, November 15, 2027 322,347 324,305 USD 244,000 TransDigm Inc., 7.5%, March 15, 2027 327,799 332,076 USD 431,000 TransMontaigne Partners L.P./TLP Finance Corp., 6.125%, February 15, 2026 551,108 553,314 USD 554,000 UBS Group AG 6.875%, December 31, 2049 745,658 798,974 USD 84,000 UBS Group Funding Switzerland AG 7%, December 31, 2049 111,363 117,289 USD 279,000 United Airlines 2020-1 Class A Pass Through Trust 5.875%, October 15, 2027 369,002 384,681 USD 283,000 United Shore Financial Services LLC 5.5%, November 15, 2025 376,816 380,493 USD 756,000 USB Realty Corp., FRN, 1.38388%, December 29, 2049 803,772 721,732 USD 8,708 USI Inc., Term Loan B, Private Placement, variable rate, May 16, 2024 11,633 10,944 USD 368,000 Velvet Energy Ltd., 9%, September 22, 2023 473,228 468,426 USD 145,170 Vertiv Group Corp., Term Loan B, Private Placement, variable rate, March 02, 2027 191,965 183,964 367,000 Vesta Energy Corp., 8.125%, July 24, 2023 365,850 151,846 USD 36,000 Virgin Media Secured Finance PLC 4.5%, August 15, 2030 48,845 47,932 USD 169,000 Virgin Media Secured Finance PLC 5.5%, May 15, 2029 227,812 233,478 USD 415,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, May 15, 2027 540,987 545,486 USD 71,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5%, March 01, 2025 91,442 94,443 USD 73,000 Wynn Macau Ltd., 5.625%, August 26, 2028 95,465 97,974 USD 231,000 Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, April 15, 2025 323,712 319,022 USD 19,000 Ziggo Bond Co. B.V., 5.125%, February 28, 2030 25,251 25,553 122,045,726 122,819,112 11.71 REITS 28,830 Alexandria Real Estate Equities Inc. 4,965,511 6,540,246 163,262 Allied Properties Real Estate Investment Trust 5,162,622 6,176,201 214,381 American Homes 4 Rent 6,333,288 8,186,543 58,791 Americold Realty Trust 2,456,501 2,793,585 62,249 Apartment Income REIT Corp. 3,009,358 3,049,021 62,249 Apartment Investment and Management Co. 4,571,087 418,369 22,420 Camden Property Trust 2,666,660 2,851,550 347,070 Choice Properties Real Estate Investment Trust 3,627,475 4,515,381 3,370 Crown Castle International Corp. 617,111 682,871 87,100 Dream Industrial Real Estate Investment Trust 950,622 1,145,365 352,000 Embassy Office Parks REIT 2,136,864 2,111,707 3,321 Equinix Inc. 2,912,917 3,019,045 74,150 Invitation Homes Inc. 2,723,938 2,803,242 85,055 Prologis Inc. 8,946,061 10,789,808 5,960 SBA Communications Corp. 2,402,035 2,140,368 53,482,050 57,223,302 5.46


Average Cost($)

Fair Value($)

% of Net Assets





PREFERRED SHARES 7,700 BCE Inc., Preferred 2.7%, Series AJ 113,796 107,800 5,650 BCE Inc., Preferred 4.4%, Series AF 16 83,805 88,310 3,700 BCE Inc., Preferred 5.55%, Series 19 53,571 51,985 14,900 BCE Inc., Preferred, Series 18 227,515 210,388 4,200 BCE Inc., Preferred, Series AB 64,386 58,674 2,900 Brookfield Renewable Power Preferred Equity Inc., Preferred 5%, Series 5 57,653 67,570 7,300 Brookfield Renewable Power Preferred Equity Inc., Preferred 5%, Series 6 145,314 170,382 2,400 Canadian Utilities Ltd., Preferred 4.9%, Series BB 55,272 59,664 7,000 Capital Power Corp., Preferred 5.75%, Series 9 175,000 176,400 28,197 Citigroup Capital XIII, Preferred 7.875% 966,867 1,022,918 2,865 Citigroup Inc., Preferred 6.875%, Series K 88,355 104,701 6,600 Elanco Animal Health Inc., Preferred 5% 461,313 410,310 48,100 GMAC Capital Trust, Preferred 8.125%, Series 2 1,486,767 1,656,172 3,100 Great-West Lifeco Inc., Preferred 4.85%, Series H 70,680 75,950 4,800 Intact Financial Corp., Preferred 5.3%, Series 6 114,768 122,040 4,900 Intact Financial Corp., Preferred 5.4%, Series 9 122,500 127,596 9,899 Morgan Stanley, Preferred 4.875%, Series L 328,590 335,549 2,165 NuStar Energy L.P., Preferred 7.625%, Series B 69,154 49,550 7,400 Pembina Pipeline Corp., Preferred 4.9%, Series 21 185,000 168,646 14,000 Pembina Pipeline Corp., Preferred 5.25%, Series 23 350,000 340,200 5,400 Power Corporation of Canada, Preferred 5%, Series D 121,662 134,352 2,000 Sempra Energy, Preferred 6%, Series A 253,550 253,968 1,000 Sun Life Financial Inc., Preferred 4.45%, Series 4 20,436 24,200 21,700 Synchrony Financial, Preferred 5.625%, Series A 712,518 737,503 6,328,472 6,554,828 0.62 WARRANTS 17,428 Assertio Holdings Inc., Warrants 55,428 7,933 1,005 California Resources Corp., Warrants (27Oct24) - 5,117 16,300 Canadian International Oil Corp., Warrants (31Dec49) 38 - 10,146 Highland Therapeutics Inc., Warrants (28Feb24) - - 319 Skillsoft Inc., Class A, Warrants (27Aug25) - - 638 Skillsoft Inc., Class B, Warrants (27Aug25) - - 55,466 13,050 0.00


Total Investment Portfolio before Derivative Instruments 894,956,143 970,579,737 92.54





Principal amounts stated in:GBP British PoundEUR European CurrencyUSD U.S. Dollar


Average Cost($)

Fair Value($)

% of Net Assets









Contract(s) Rate


Bank of Montreal A-1 January 21, 2021 CAD 118,065 USD 89,906 1.31 3,637 Bank of Montreal A-1 March 15, 2021 CAD 1,612,550 USD 1,253,381 1.29 17,559 Bank of Montreal A-1 March 15, 2021 CAD 10,391,366 USD 8,076,861 1.29 113,148 Bank of Montreal A-1 January 21, 2021 CAD 2,012,570 USD 1,532,570 1.31 61,994 Bank of Montreal A-1 March 15, 2021 CAD 8,779,324 USD 6,873,980 1.28 31,870 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 1,024,566 USD 792,085 1.29 16,594 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 1,500,387 USD 1,142,408 1.31 46,544 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 165,172 USD 125,869 1.31 4,972 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 97,629 USD 75,444 1.29 1,619 Canadian Imperial Bank of Commerce A-1 March 9, 2021 CAD 1,660 GBP 980 1.69 (46)Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 2,815,561 USD 2,145,598 1.31 84,754 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 629,128 USD 486,163 1.29 10,435 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 6,602,361 USD 5,104,241 1.29 106,934 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 9,502,918 USD 7,235,605 1.31 294,791 Citigroup Inc. A-2 January 21, 2021 CAD 142,402 USD 107,888 1.32 5,088 Citigroup Inc. A-2 February 18, 2021 CAD 1,987,360 USD 1,523,418 1.30 48,644 Citigroup Inc. A-2 March 9, 2021 CAD 27,847 GBP 16,000 1.74 (7)Citigroup Inc. A-2 March 9, 2021 GBP 2,000 CAD 3,478 0.58 4 Citigroup Inc. A-2 February 18, 2021 CAD 12,587,236 USD 9,648,793 1.30 308,094 Citigroup Inc. A-2 January 21, 2021 CAD 2,427,428 USD 1,839,086 1.32 86,730 HSBC Holdings PLC A-2 February 18, 2021 CAD 1,250,509 USD 952,006 1.31 38,973 HSBC Holdings PLC A-2 March 15, 2021 CAD 1,638,405 USD 1,267,336 1.29 25,651 HSBC Holdings PLC A-2 March 15, 2021 CAD 10,557,980 USD 8,166,786 1.29 165,299 HSBC Holdings PLC A-2 February 18, 2021 CAD 7,920,280 USD 6,029,671 1.31 246,841 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 1,270,774 USD 980,001 1.30 23,619 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 165,247 USD 125,869 1.31 5,047 JPMorgan Chase & Co. A-2 March 9, 2021 GBP 1,000 CAD 1,705 0.59 36 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 2,253,392 USD 1,763,655 1.28 8,970 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 2,254,137 USD 1,763,928 1.28 9,367 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 2,277,098 USD 1,782,036 1.28 9,285 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 2,528,414 USD 1,979,249 1.28 9,628 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 2,816,851 USD 2,145,600 1.31 86,041 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 8,048,630 USD 6,206,981 1.30 149,591 Morgan Stanley A-2 January 21, 2021 CAD 141,543 USD 107,888 1.31 4,229 Morgan Stanley A-2 February 18, 2021 CAD 1,725,730 USD 1,332,991 1.29 29,360 Morgan Stanley A-2 March 9, 2021 CAD 411,063 HKD 2,485,000 0.17 2,996 Morgan Stanley A-2 February 18, 2021 CAD 10,930,165 USD 8,442,694 1.29 185,954 Morgan Stanley A-2 February 18, 2021 CAD 2,107,208 USD 1,649,219 1.28 8,417 Morgan Stanley A-2 February 18, 2021 CAD 2,194,626 USD 1,717,240 1.28 9,271 Morgan Stanley A-2 January 21, 2021 CAD 2,412,779 USD 1,839,086 1.31 72,085 Morgan Stanley A-2 February 18, 2021 CAD 2,552,175 USD 1,996,791 1.28 11,065 Royal Bank of Canada A-1+ January 21, 2021 CAD 146,502 USD 110,758 1.32 5,535 Royal Bank of Canada A-1+ February 18, 2021 CAD 1,724,866 USD 1,332,629 1.29 28,956 Royal Bank of Canada A-1+ March 9, 2021 CAD 7,584,125 AUD 7,906,711 0.96 (177,123)Royal Bank of Canada A-1+ March 9, 2021 CAD 1,728 GBP 1,020 1.69 (47)Royal Bank of Canada A-1+ March 9, 2021 CAD 3,475 GBP 2,000 1.74 (6)Royal Bank of Canada A-1+ March 9, 2021 CAD 3,383,045 HKD 20,060,000 0.17 88,910 Royal Bank of Canada A-1+ February 18, 2021 CAD 10,924,691 USD 8,440,402 1.29 183,398 Royal Bank of Canada A-1+ January 21, 2021 CAD 2,497,309 USD 1,888,008 1.32 94,345 Royal Bank of Canada A-1+ March 15, 2021 CAD 860,091 USD 673,565 1.28 2,949





Toronto-Dominion Bank A-1+ March 15, 2021 CAD 1,430,505 USD 1,108,919 1.29 19,347 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 749,214 USD 571,204 1.31 22,293 Toronto-Dominion Bank A-1+ March 9, 2021 CAD 5,889,091 EUR 3,791,000 1.55 (13,074)Toronto-Dominion Bank A-1+ March 9, 2021 CAD 1,465,517 CHF 1,020,000 1.44 (3,711)Toronto-Dominion Bank A-1+ February 18, 2021 CAD 4,745,254 USD 3,617,802 1.31 141,194 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 800,143 USD 626,668 1.28 2,680 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 800,300 USD 626,668 1.28 2,836 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 9,218,259 USD 7,145,938 1.29 124,675 Total Foreign Currency Forward Contract(s) Value 2,868,240

Schedule A (cont’d)Foreign Currency Forward Contract(s)




Contract(s) Rate












NetExposure






NetExposure












Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)CI DoubleLine Core Plus Fixed Income US$ Fund 169,737 39,673 23.4Signature High Yield Bond Fund 198,034 37,368 18.9Real Estate Investment Pool 740,542 53,489 7.2CI Munro Alternative Global Growth Fund 1,878,593 87,613 4.7Sentry Precious Metals Fund 385,663 18,007 4.7CI Global Infrastructure Private Pool 169,200 7,395 4.4CI First Asset Global Financial Sector ETF 542,267 16,582 3.1CI First Asset Preferred Share ETF 79,008 1,022 1.3iShares Core S&P/TSX Capped Composite Index ETF 7,277,210 62,103 0.9CI Income Fund 5,548,026 23,209 0.4iShares Core MSCI EAFE ETF 136,057,428 69,647 0.1iShares Russell 1000 Value ETF 71,315,733 66,062 0.1iShares 20+ Year Treasury Bond ETF 30,974,236 39,667 0.1SPDR S&P 500 ETF Trust 539,825,880 87,079 -SPDR Gold Trust 116,326,295 33,062 -





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)Signature High Yield Bond Fund 218,131 29,930 13.7CI Munro Alternative Global Growth Fund 579,359 76,694 13.2Real Estate Investment Pool 705,936 58,191 8.2CI Income Fund 6,431,983 210,575 3.3CI First Asset Global Financial Sector ETF 338,004 9,878 2.9CI First Asset Preferred Share ETF 88,143 1,005 1.1iShares Core S&P/TSX Capped Composite Index ETF 6,082,546 50,754 0.8iShares Core MSCI EAFE ETF 96,054,136 60,355 0.1iShares 20+ Year Treasury Bond ETF 22,417,485 30,467 0.1Financial Select Sector SPDR Fund 31,725,598 25,762 0.1SPDR S&P 500 ETF Trust 404,960,751 66,612 -iShares Core MSCI Emerging Markets ETF 80,394,764 32,792 -SPDR Gold Trust 56,588,989 17,063 -












Series A 2020 2019 273,242 328,825 14,047 11,483 2,004 - (113,192) (67,066) 176,101 273,242

Series E 2020 2019 24,505,030 10,903,798 6,174,740 17,726,693 290,675 - (6,550,183) (4,125,461) 24,420,262 24,505,030

Series E2 2020 2019 - 11,984,398 - 2,542,914 - - - (14,527,312) - -

Series E3 2020 2019 - 7,204,863 - 1,773,691 - - - (8,978,554) - -

Series E4 2020 2019 - 1,346,921 - 398,616 - - - (1,745,537) - -

Series E5 2020 2019 - 485,453 - 255,574 - - - (741,027) - -

Series F 2020 2019 3,702,001 658,268 2,089,495 3,938,618 93,510 - (1,328,738) (894,885) 4,556,268 3,702,001

Series F2 2020 2019 - 588,270 - 426,124 - - - (1,014,394) - -

Series F3 2020 2019 - 598,320 - 435,876 - - - (1,034,196) - -

Series F4 2020 2019 - 138,364 - 80,127 - - - (218,491) - -

Series F5 2020 2019 - 3,324 - 72,531 - - - (75,855) - -

Series I 2020 2019 15,840,154 14,761,153 4,742,120 3,635,435 497,231 - (4,548,454) (2,556,434) 16,531,051 15,840,154

Series OF 2020 2019 23,522 25,270 4,727 6,359 447 - (6,710) (8,107) 21,986 23,522

Series W 2020 2019 6,262,041 5,462,405 2,697,894 2,253,671 160,709 - (3,450,644) (1,454,035) 5,670,000 6,262,041






Annual management

fee rate:


fee rate:







Investments 2020CI DoubleLine Core Plus Fixed Income US$ Fund (Series IH) 39,673CI First Asset Global Financial Sector ETF (Common Units) 16,582CI First Asset Preferred Share ETF (Common Units) 1,022CI Global Infrastructure Private Pool (ETF Series Units) 7,395CI Income Fund (Series I) 23,209CI Munro Alternative Global Growth Fund (Series I) 87,613Real Estate Investment Pool (Series I) 53,489Sentry Precious Metals Fund (Series I) 18,007Signature High Yield Bond Fund (Series I) 37,368

Investments 2019CI First Asset Global Financial Sector ETF 9,878CI First Asset Preferred Share ETF 1,005CI Income Fund (Class I) 210,575CI Munro Alternative Global Growth Fund (Class I) 76,694Real Estate Investment Pool (Class I) 58,191Signature High Yield Bond Fund (Class I) 29,930


2020Capital loss carried forward: 490Non-capital losses expiring:2030 -2031 -2032 -2033 -2034 -2035 -2036 -2037 -2038 -2039 -2040 -Total -




Other Price RiskAs at December 31, 2020 and 2019, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.




Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 518,158 (158,406) 359,752 34.3 Japanese Yen 15,888 - 15,888 1.5 Australian Dollar 14,740 (7,759) 6,981 0.7 Euro 12,024 (5,895) 6,129 0.6 Hong Kong Dollar 7,637 (3,702) 3,935 0.4 Indian Rupee 2,112 - 2,112 0.2 Swiss Franc 3,058 (1,467) 1,591 0.2 British Pound 51 (30) 21 0.0 Total 573,668 (177,259) 396,409 37.9


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 432,735 (94,410) 338,325 33.7 Euro 19,666 (7,682) 11,984 1.2 Australian Dollar 13,405 (6,563) 6,842 0.7 Hong Kong Dollar 3,381 (1,563) 1,818 0.2 Swiss Franc 2,309 (1,130) 1,179 0.1 Indian Rupee 641 - 641 0.1 British Pound 102 (50) 52 0.0 Total 472,239 (111,398) 360,841 36.0






as at December 31, 2019Categories Net Assets (%)Fund(s) 37.4 Exchange-Traded Fund(s) 29.4 Corporate Bonds 12.3 Common Equities 11.0 REITS 4.7 Other Net Assets (Liabilities) 3.4 Foreign Government Bonds 0.9 Preferred Shares 0.7 Foreign Currency Forward Contract(s) 0.2 Warrants 0.0 Total 100.0


as at December 31, 2020 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 0.1AA/Aa/A+ 0.2A 0.1BBB/Baa/B++ 1.4BB/Ba/B+ 5.7B 3.4CCC/Caa/C++ 0.9C and Lower 0.1Not Rated 0.8Total 12.7












Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total



Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure - 11,240 27,196 94,234 132,670





(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 194,957 215 10,598 205,770Bonds - 120,998 1,821 122,819 Fund(s) 266,754 - - 266,754Exchange-Traded Fund(s) 375,224 - - 375,224 Warrants 8 5 - 13 Foreign currency forward contract(s), net - 2,868 - 2,868 Total 836,943 124,086 12,419 973,448


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 163,158 408 826 164,392 Bonds - 130,026 2,644 132,670 Fund(s) 375,390 - - 375,390 Exchange-Traded Fund(s) 294,688 - - 294,688 Warrants - 23 - 23 Foreign currency forward contract(s), net - 1,894 - 1,894 Total 833,236 132,351 3,470 969,057

There were no transfers between Level 1 and 2 and Level 1 and 3 during the years ended December 31, 2020 and 2019.








InTransfers

(Out)Realized Gain


(Loss)*Balance at


Long Positions/Assets:Equities 826 9,501 (514) 20 (55) 171 649 10,598 Bonds 2,644 272 (53) - (131) 2 (913) 1,821 Total 3,470 9,773 (567) 20 (186) 173 (264) 12,419

*Change in unrealized gain (loss) related to investments held at December 31, 2020 was ($253,699).

During the year ended December 31, 2020, investments with a fair value of $20,000 were transferred out of Level 2 into Level 3 as observable market inputs were no longer available for these investments and investments with a fair value of $186,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.



InTransfers

(Out)Realized Gain


(Loss)**Balance at


Long Positions/Assets:Equities 665 204 - - - - (43) 826 Bonds 2,675 249 (2) 642 (610) (57) (253) 2,644 Warrants 9 - - - - - (9) - Total 3,349 453 (2) 642 (610) (57) (305) 3,470

**Change in unrealized gain (loss) related to investments held at December 31, 2019 was ($192,619).

During the year ended December 31, 2019, investments with a fair value of $642,000 were transferred out of Level 2 into Level 3 as observable market inputs were no longer available for these investments and investments with a fair value of $610,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.

Investments classified as Level 3 are valued at fair value based on unobservable inputs and assumptions, which may include credit spreads, industry multipliers, and discount rates. Management has assessed that the effect of changing these inputs to reasonably possible alternatives would not have a significant impact on the net assets attributable to holders of redeemable units of the Fund as at December 31, 2020 and 2019.

Canadian Equity Alpha Pool



2020 2019

512,264 488,384 - - 846 1,293

- - - - - - - - - - - - - - - - - - 363 - 689 856 514,162 490,533

- - - -

- - - - - - - - - - 39 - 781 1,265 - - - - - - - - 820 1,265

513,342 489,268






CIG - 9682






units outstanding:

2020 2019 2020 2019 2020 2019Series A 987 1,776 10.20 11.04 96,759 160,921Series E 227,960 219,165 10.26 11.05 22,222,104 19,842,240Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 21,017 16,438 10.36 11.06 2,029,500 1,486,810Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 192,859 179,665 10.46 11.07 18,432,820 16,232,373Series OF 6 28 10.30 11.05 565 2,490Series W 70,513 72,196 10.45 11.07 6,746,787 6,523,711






2020 2019

- - 46 25 3,464 1 2,259 2,831 - -

- - - -

(10,327) -

(4,993) 7,116 (9,551) 9,973 - - - - - - 45 2 45 2 (9,506) 9,975

4,175 379 555 49 - - 1 1 - - - - - - - - - - 615 56 5,346 485 - -

(14,852) 9,490











2020 2019 2020 2019 2020 2019Series A (151) 32 (1.08) 2.08 140,878 15,660Series E (10,835) 4,020 (0.50) 2.26 22,105,532 1,785,730Series E3 - - - 0.24 - 1,300Series E4 - - - 0.24 - 1,300Series E5 - - - 0.24 - 1,300Series F (429) 315 (0.24) 2.36 1,855,057 133,999Series F3 - - - 0.24 - 1,300Series F4 - - - 0.24 - 1,300Series F5 - - - 0.24 - 1,300Series I (4,643) 3,668 (0.25) 2.51 18,318,548 1,462,446Series OF (5) 2 (4.17) 1.15 1,138 1,407Series W 1,211 1,453 0.16 2.48 7,402,106 585,327












Series A 2020 2019 1,776 13 (151) 32

- - - - - - - -

299 1,775 - - (937) (44) (638) 1,731 (789) 1,763 987 1,776

Series E 2020 2019 219,165 13 (10,835) 4,020

- - - - (330) - (330) -

79,320 219,226 330 - (59,690) (4,094) 19,960 215,132 8,795 219,152 227,960 219,165

Series E3 2020 2019 - 13 - -

- - - - - - - -

- - - - - (13) - (13) - (13) - -

Series E4 2020 2019 - 13 - -

- - - - - - - -

- - - - - (13) - (13) - (13) - -

Series E5 2020 2019 - 13 - -

- - - - - - - -

- - - - - (13) - (13) - (13) - -

Series F 2020 2019 16,438 13 (429) 315

- - - - (66) - (66) -

11,421 16,322 66 - (6,413) (212) 5,074 16,110 4,579 16,425 21,017 16,438

Series F3 2020 2019 - 13 - -

- - - - - - - -

- - - - - (13) - (13) - (13) - -

Series F4 2020 2019 - 13 - -

- - - - - - - -

- - - - - (13) - (13) - (13) - -

Series F5 2020 2019 - 13 - -

- - - - - - - -

- - - - - (13) - (13) - (13) - -

Series I 2020 2019 179,665 13 (4,643) 3,668

- - - - (1,103) - (1,103) -

77,477 179,785 1,103 - (59,640) (3,801) 18,940 175,984 13,194 179,652 192,859 179,665

Series OF 2020 2019 28 13 (5) 2

- - - - - - - -

2 13 - - (19) - (17) 13 (22) 15 6 28

Series W 2020 2019 72,196 13 1,211 1,453

- - - - (423) - (423) -

77,134 73,071 423 - (80,028) (2,341) (2,471) 70,730 (1,683) 72,183 70,513 72,196








Total Fund 2020 2019 489,268 156 (14,852) 9,490

- - - - (1,922) - (1,922) -

245,653 490,192 1,922 - (206,727) (10,570) 40,848 479,622 24,074 489,112 513,342 489,268




2020 2019

(14,852) 9,490

10,327 - - - - -

4,993 (7,116) 72,801 - (106,602) (478,436) (5,723) (2,832) - - - - - - - - - - - - - - - - (39,056) (478,894)

- - 229,023 487,258 (190,414) (7,227) 38,609 480,031

- - (447) 1,137 1,293 156 846 1,293

- - 46 25 - - - - - -











Number of Shares Description Average Cost

($)Fair Value

($)% of Net

Assets

UNDERLYING FUND(S) 28,349,196 Canadian Equity Alpha Corporate Class (I Shares) 510,141,071 512,264,297 99.79














Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)Canadian Equity Alpha Corporate Class 1,159,925 512,264 44.2





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)Canadian Equity Alpha Corporate Class 1,144,718 488,384 42.7









Series A 2020 2019 160,921 1,300 34,597 163,696 44 - (98,803) (4,075) 96,759 160,921

Series E 2020 2019 19,842,240 1,300 8,809,788 20,215,610 44,356 - (6,474,280) (374,670) 22,222,104 19,842,240

Series E3 2020 2019 - 1,300 - - - - - (1,300) - -

Series E4 2020 2019 - 1,300 - - - - - (1,300) - -

Series E5 2020 2019 - 1,300 - - - - - (1,300) - -

Series F 2020 2019 1,486,810 1,300 1,236,758 1,504,980 8,836 - (702,904) (19,470) 2,029,500 1,486,810

Series F3 2020 2019 - 1,300 - - - - - (1,300) - -

Series F4 2020 2019 - 1,300 - - - - - (1,300) - -

Series F5 2020 2019 - 1,300 - - - - - (1,300) - -

Series I 2020 2019 16,232,373 1,300 8,517,154 16,576,511 147,820 - (6,464,527) (345,438) 18,432,820 16,232,373

Series OF 2020 2019 2,490 1,300 215 1,203 5 - (2,145) (13) 565 2,490

Series W 2020 2019 6,523,711 1,300 9,070,539 6,737,407 56,822 - (8,904,285) (214,996) 6,746,787 6,523,711








Annual management

fee rate:


fee rate:



2020 2019Loaned - -Collateral (non-cash) - -




Investments 2020Canadian Equity Alpha Corporate Class (I Shares) 512,264

Investments 2019Canadian Equity Alpha Corporate Class (I Shares) 488,384







Credit Risk (cont’d)

as at December 31, 2019 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 2.3Total 2.3




Other Price RiskAs at December 31, 2020 and 2019, the Fund indirectly bears the other price risk exposure of the Underlying Fund.

As at December 31, 2020 and 2019, the Underlying Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

As at December 31, 2020, had the fair value of the equities in the investment portfolio of the Underlying Fund increased or decreased by 10% (December 31, 2019 - 10%), with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately $49,177,000 (December 31, 2019 - $47,129,000). In practice, actual results may differ from this analysis and the difference may be material.

Currency RiskAs at December 31, 2020 and 2019, the Fund had no significant direct exposure to currency risk.

As at December 31, 2020 and 2019, the Fund indirectly bears the currency risk exposure of the Underlying Fund.

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


Currency Net Assets (%)U.S. Dollar 14.4Total 14.4

as at December 31, 2019~ Currency Net Assets (%)U.S. Dollar 3.3 Total 3.3


As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have indirectly decreased or increased, respectively, by approximately $7,377,000 (December 31, 2019 - $1,612,000). In practice, the actual results may differ from this analysis and the difference may be material.


Concentration RiskThe tables below summarize the Underlying Fund’s exposure to concentration risk.

as at December 31, 2020 Categories Net Assets (%)Consumer Discretionary 24.3Information Technology 23.9Financials 19.0Communication Services 8.1Health Care 7.1Consumer Staples 5.8Industrials 4.9Cash & Cash Equivalents 3.1Utilities 2.9Foreign Currency Forward Contract(s) 0.7Other Net Assets (Liabilities) 0.2 Total 100.0

as at December 31, 2019 Categories Net Assets (%)Energy 28.2 Financials 24.3 Utilities 13.7 Consumer Staples 9.4 Industrials 6.6 Information Technology 5.8 Communication Services 5.1 Short-Term Investment(s) 2.3 Consumer Discretionary 1.9 Materials 1.5 Other Net Assets (Liabilities) 1.2 Total 100.0

Credit RiskAs at December 31, 2020 and 2019, the Fund had no significant direct exposure to credit risk.

As at December 31, 2020 and 2019, the Fund indirectly bears the credit risk exposure of the Underlying Fund.

The Underlying Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the tables below.

as at December 31, 2020Credit Rating^* Net Assets (%)AAA/Aaa/A++ 0.2AA/Aa/A+ 0.6Total 0.8





Interest Rate RiskAs at December 31, 2020 and 2019, the Fund had no significant direct exposure to interest rate risk.

As at December 31, 2020 and 2019, the Fund indirectly bears the interest rate risk exposure of the Underlying Fund.

As at December 31, 2020 and 2019, the Underlying Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.




(in $000’s) (in $000’s) (in $000’s) (in $000’s)Underlying Fund(s) 512,264 - - 512,264 Total 512,264 - - 512,264




Canadian Equity Growth Pool



2020 2019

294,913 258,898 - - 3,719 14,469

- - - - - - - - - - 885 654 - - - - - - - - 864 446 300,381 274,467

- - - -

- - - - - - - - - - 1 - 302 217 - - - - - - - - 303 217

300,078 274,250






CIG - 9608






units outstanding:

2020 2019 2020 2019 2020 2019Series A 1,552 2,183 22.98 23.64 67,552 92,329Series E 9,760 9,555 33.13 34.07 294,609 280,450Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 4,996 3,520 10.57 10.87 472,458 323,909Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 237,809 210,545 41.59 42.78 5,718,566 4,921,181Series OF 78 241 23.76 24.43 3,265 9,867Series W 45,883 48,206 53.15 54.61 863,314 882,711




2020 2019

10,120 7,165 87 331 - - - - 109 -

- - - -

(13,891) 15,758

12,166 23,942 8,591 47,196 (28) - - - 29 12 2 1 3 13 8,594 47,209

252 265 93 140 262 390 1 1 - - - - - - - - 161 314 36 44 805 1,154 - -

7,789 46,055













2020 2019 2020 2019 2020 2019Series A (66) 378 (0.74) 3.65 87,800 103,410Series E (86) 1,435 (0.28) 5.27 293,776 272,338Series E3 - 153 - 1.24 - 122,525Series E4 - 18 - 1.14 - 15,584Series E5 - 14 - 1.29 - 11,073Series F 106 235 0.26 1.50 402,527 156,923Series F3 - 56 - 0.92 - 61,842Series F4 - 15 - 1.27 - 12,104Series F5 - 1 - 0.34 - 2,898Series I 4,920 16,499 0.88 4.35 5,535,997 3,792,326Series OF (41) 46 (8.17) 4.29 5,133 10,733Series W 2,956 27,205 3.14 17.05 941,857 1,595,680












Series A 2020 2019 2,183 2,248 (66) 378

(12) - - - - - (12) -

355 168 12 - (920) (611) (553) (443) (631) (65) 1,552 2,183

Series E 2020 2019 9,555 7,661 (86) 1,435

(101) - - - - - (101) -

4,298 3,651 101 - (4,007) (3,192) 392 459 205 1,894 9,760 9,555

Series E3 2020 2019 - 1,201 - 153

- - - - - - - -

- 250 - - - (1,604) - (1,354) - (1,201) - -

Series E4 2020 2019 - 137 - 18

- - - - - - - -

- 22 - - - (177) - (155) - (137) - -

Series E5 2020 2019 - 102 - 14

- - - - - - - -

- 3 - - - (119) - (116) - (102) - -

Series F 2020 2019 3,520 540 106 235

(85) - - - - - (85) -

3,049 3,622 85 - (1,679) (877) 1,455 2,745 1,476 2,980 4,996 3,520

Series F3 2020 2019 - 386 - 56

- - - - - - - -

- 516 - - - (958) - (442) - (386) - -

Series F4 2020 2019 - 106 - 15

- - - - - - - -

- 45 - - - (166) - (121) - (106) - -

Series F5 2020 2019 - 9 - 1

- - - - - - - -

- 58 - - - (68) - (10) - (9) - -

Series I 2020 2019 210,545 18,621 4,920 16,499

(7,010) - - - - - (7,010) -

88,111 198,847 7,000 - (65,757) (23,422) 29,354 175,425 27,264 191,924 237,809 210,545

Series OF 2020 2019 241 257 (41) 46

(2) - - - - - (2) -

12 27 2 - (134) (89) (120) (62) (163) (16) 78 241

Series W 2020 2019 48,206 187,596 2,956 27,205

(1,347) - - - - - (1,347) -

37,969 28,468 1,345 - (43,246) (195,063) (3,932) (166,595) (2,323) (139,390) 45,883 48,206








Total Fund 2020 2019 274,250 218,864 7,789 46,055

(8,557) - - - - - (8,557) -

133,794 235,677 8,545 - (115,743) (226,346) 26,596 9,331 25,828 55,386 300,078 274,250




2020 2019

7,789 46,055

13,891 (15,758) (5) 20 262 390

(12,166) (23,942) 114,706 228,595 (152,707) (232,392) - - - - - - (231) (346) - - - - - - - - - - (28,461) 2,622

(12) - 129,795 66,771 (112,077) (71,703) 17,706 (4,932)

5 (20) (10,755) (2,310) 14,469 16,799 3,719 14,469

9,728 6,505 78 331 - - - - - -












Average Cost($)

Fair Value($)

% of Net Assets

FINANCIALS 172,424 Brookfield Asset Management Inc., Class A 7,584,259 9,072,951 449,325 CI Financial Corp. 8,839,518 7,090,348 39,986 Fairfax Financial Holdings Ltd., Sub-Voting Shares 19,306,230 17,347,926 40,663 Intact Financial Corp. 4,462,795 6,128,727 568,376 Manulife Financial Corp. 11,475,261 12,873,716 605,648 Power Corporation of Canada 15,931,416 17,703,091 67,599,479 70,216,759 23.39 ENERGY 290,137 Canadian Natural Resources Ltd. 10,029,422 8,875,291 299,977 Enbridge Inc. 13,627,698 12,212,064 426,438 Keyera Corp. 10,913,950 9,646,028 187,391 TC Energy Corp. 10,668,378 9,697,484 542,229 Topaz Energy Corp. 5,989,399 7,374,314 415,997 Tourmaline Oil Corp. 8,128,152 7,138,509 59,356,999 54,943,690 18.31 CONSUMER STAPLES 199,063 Alimentation Couche-Tard Inc., Class B 8,087,927 8,635,353 358,283 Empire Co., Ltd., Class A 11,188,729 12,464,666 444,729 Imperial Brands PLC 13,616,589 11,886,741 165,391 The North West Co., Inc. 4,881,931 5,365,284 37,775,176 38,352,044 12.78 CONSUMER DISCRETIONARY 116,083 Dollarama Inc. 4,873,131 6,022,386 126,395 Gildan Activewear Inc. 3,811,078 4,498,398 216,109 Great Canadian Gaming Corp. 6,620,999 9,396,419 73,290 Magna International Inc., Class A 5,206,804 6,604,162 20,512,012 26,521,365 8.84 MATERIALS 108,988 CCL Industries Inc., Class B 5,624,004 6,298,417 58,833 Franco-Nevada Corp. 7,140,053 9,389,747 99,680 Nutrien Ltd. 6,188,518 6,104,403 18,952,575 21,792,567 7.26 INDUSTRIALS 16,549 Canadian Pacific Railway Ltd. 3,857,502 7,306,880 243,105 Finning International Inc. 5,425,921 6,571,128 107,311 TFI International Inc. 3,628,262 7,032,090 12,911,685 20,910,098 6.97 UTILITIES 112,339 Emera Inc. 5,931,070 6,077,540 222,143 Fortis Inc. 11,608,441 11,551,436 91,302 Hydro One Inc. 2,066,267 2,615,802 19,605,778 20,244,778 6.75 HEALTH CARE 22,391 Anthem Inc. 7,755,493 9,151,521 34,023 McKesson Corp. 5,549,510 7,532,084 13,305,003 16,683,605 5.56 INFORMATION TECHNOLOGY 81,649 CGI Inc. 7,504,126 8,245,733 55,529 Open Text Corp. 3,090,866 3,211,797 289,277 Sylogist Ltd. 3,302,323 3,413,469 13,897,315 14,870,999 4.96





REAL ESTATE 30,123 Colliers International Group Inc. 2,566,902 3,412,333 21,977 Morguard Corp. 3,667,895 2,537,245 6,234,797 5,949,578 1.98 COMMUNICATION SERVICES 59,208 Verizon Communications Inc. 4,573,914 4,427,731 1.48






Average Cost($)

Fair Value($)

% of Net Assets











Series A 2020 2019 92,329 112,000 18,136 7,505 652 - (43,565) (27,176) 67,552 92,329

Series E 2020 2019 280,450 266,391 144,069 112,881 3,707 - (133,617) (98,822) 294,609 280,450

Series E3 2020 2019 - 134,591 - 25,181 - - - (159,772) - -

Series E4 2020 2019 - 15,353 - 2,314 - - - (17,667) - -

Series E5 2020 2019 - 11,391 - 353 - - - (11,744) - -

Series F 2020 2019 323,909 59,504 319,972 349,733 9,421 - (180,844) (85,328) 472,458 323,909

Series F3 2020 2019 - 42,518 - 50,273 - - - (92,791) - -

Series F4 2020 2019 - 11,603 - 4,439 - - - (16,042) - -

Series F5 2020 2019 - 1,000 - 5,581 - - - (6,581) - -

Series I 2020 2019 4,921,181 527,965 2,442,310 4,967,200 195,904 - (1,840,829) (573,984) 5,718,566 4,921,181

Series OF 2020 2019 9,867 12,512 591 1,173 91 - (7,284) (3,818) 3,265 9,867

Series W 2020 2019 882,711 4,155,369 883,065 573,853 29,686 - (932,148) (3,846,511) 863,314 882,711






Annual management

fee rate:


fee rate:



2020 2019Loaned 850 2,630Collateral (non-cash) 867 2,683




Investments 2020CI Financial Corp. 7,090

Investments 2019CI Financial Corp. 7,011






Currency Risk (cont’d)


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 41,505 - 41,505 15.1 British Pound 10,904 - 10,904 4.0 Total 52,409 - 52,409 19.1



Interest Rate RiskAs at December 31, 2020 and 2019, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.




(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 294,913 - - 294,913 Total 294,913 - - 294,913

There were no transfers between Level 1 and 2 and Level 1 and 3 during the year ended December 31, 2020.


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 255,076 - 3,822 258,898 Total 255,076 - 3,822 258,898

There were no transfers between Level 1, 2 and 3 during the year ended December 31, 2019.




as at December 31, 2019Categories Net Assets (%)Energy 23.9 Financials 17.4 Consumer Staples 11.3 Consumer Discretionary 9.0 Health Care 8.0 Industrials 7.3 Materials 5.7 Utilities 5.7 Other Net Assets (Liabilities) 5.6 Communication Services 3.1 Private Placements 1.4 Real Estate 0.9 Information Technology 0.7 Total 100.0

Credit RiskAs at December 31, 2020 and 2019, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.





Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 21,212 - 21,212 7.1 British Pound 12,293 - 12,293 4.1 Total 33,505 - 33,505 11.2









InTransfers

(Out)Realized Gain


(Loss)Balance at


Long Positions/Assets:Equities 3,822 - - - (3,822) - - - Total 3,822 - - - (3,822) - - -

During the year ended December 31, 2020, investments with a fair value of $3,822,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.



InTransfers

(Out)Realized Gain


(Loss)Balance at


Long Positions/Assets:Equities - 3,822 - - - - - 3,822 Total - 3,822 - - - - - 3,822

Investments classified as Level 3 are valued at fair value based on unobservable inputs and assumptions, which may include credit spreads, industry multipliers, and discount rates. Management has assessed that the effect of changing these inputs to reasonably possible alternatives would not have a significant impact on the net assets attributable to holders of redeemable units of the Fund as at December 31, 2019.

Canadian Equity Small Cap Pool



2020 2019

382,481 338,577 - - 1,421 1,136

- - - - - - - - - - 1,783 1,181 - 78 - - - - - - 630 1,708 386,315 342,680

- - - -

- - - - - - - - - - - 21 619 1,004 - - - - - - - - 619 1,025

385,696 341,655






CIG - 9609






units outstanding:





2020 2019

11,352 9,359 916 564 - - - - - -

- - - -

4,523 (11,030)

13,285 47,038 30,076 45,931 9 1 - - 45 52 35 11 89 64 30,165 45,995

2,919 2,667 407 363 344 158 1 1 - - - - - - - - - 2 377 341 4,048 3,532 - -

26,117 42,463













2020 2019 2020 2019 2020 2019Series A 13 258 0.12 1.98 112,387 130,364Series E 7,937 14,021 0.96 2.34 8,256,757 5,977,343Series E3 - 1,878 - 0.66 - 2,860,225Series E4 - 314 - 0.69 - 461,730Series E5 - 167 - 0.68 - 249,483Series F 1,113 847 0.78 1.25 1,438,444 681,552Series F3 - 113 - 0.59 - 191,700Series F4 - 21 - 0.66 - 31,739Series F5 - - - 0.06 - 5,752Series I 10,133 16,298 1.85 3.64 5,464,230 4,471,435Series OF 4 16 0.77 2.62 5,770 6,039Series W 6,917 8,530 5.16 7.48 1,342,877 1,139,289












Series A 2020 2019 2,081 2,132 13 258

(6) - - - - - (6) -

486 274 6 - (1,061) (583) (569) (309) (562) (51) 1,519 2,081

Series E 2020 2019 143,183 90,048 7,937 14,021

(1,134) - - - - - (1,134) -

65,443 65,021 1,133 - (56,892) (25,907) 9,684 39,114 16,487 53,135 159,670 143,183

Series E3 2020 2019 - 23,516 - 1,878

- - - - - - - -

- 7,340 - - - (32,734) - (25,394) - (23,516) - -

Series E4 2020 2019 - 3,944 - 314

- - - - - - - -

- 1,501 - - - (5,759) - (4,258) - (3,944) - -

Series E5 2020 2019 - 1,925 - 167

- - - - - - - -

- 878 - - - (2,970) - (2,092) - (1,925) - -

Series F 2020 2019 11,216 3,422 1,113 847

(241) - - - - - (241) -

9,676 9,188 240 - (6,220) (2,241) 3,696 6,947 4,568 7,794 15,784 11,216

Series F3 2020 2019 - 1,318 - 113

- - - - - - - -

- 1,277 - - - (2,708) - (1,431) - (1,318) - -

Series F4 2020 2019 - 239 - 21

- - - - - - - -

- 131 - - - (391) - (260) - (239) - -

Series F5 2020 2019 - 9 - -

- - - - - - - -

- 132 - - - (141) - (9) - (9) - -

Series I 2020 2019 124,097 97,889 10,133 16,298

(3,879) - - - - - (3,879) -

63,552 32,305 3,878 - (53,995) (22,395) 13,435 9,910 19,689 26,208 143,786 124,097

Series OF 2020 2019 120 122 4 16

(1) - - - - - (1) -

43 24 1 - (88) (42) (44) (18) (41) (2) 79 120

Series W 2020 2019 60,958 58,538 6,917 8,530

(1,701) - - - - - (1,701) -

51,542 12,984 1,700 - (54,558) (19,094) (1,316) (6,110) 3,900 2,420 64,858 60,958








Total Fund 2020 2019 341,655 283,102 26,117 42,463

(6,962) - - - - - (6,962) -

190,742 131,055 6,958 - (172,814) (114,965) 24,886 16,090 44,041 58,553 385,696 341,655




2020 2019

26,117 42,463

(4,523) 11,030 - - 344 158

(13,285) (47,038) 144,250 104,604 (170,711) (129,278) - - - - - - (602) (32) 78 15 - - - - - - - - (18,332) (18,078)

(4) - 180,695 70,458 (162,074) (54,347) 18,617 16,111

- - 285 (1,967) 1,136 3,103 1,421 1,136

10,750 9,327 994 579 - - - - - -












Average Cost($)

Fair Value($)

% of Net Assets

FINANCIALS 768,982 Canadian Western Bank 18,673,634 22,008,265 27,858 E-L Financial Corp., Ltd. 18,662,931 21,332,264 1,415,220 Element Fleet Management Corp. 10,011,058 18,935,644 402,470 iA Financial Corp., Inc. 17,444,302 22,208,295 190,870 IGM Financial Inc. 5,917,123 6,586,924 15,166 Mount Real Corp. 84,846 - 11,800 Queensway Financial Holdings Inc. 50,121 - 70,844,015 91,071,392 23.62 UTILITIES 282,065 Algonquin Power & Utilities Corp. 3,730,820 5,909,262 1,237,301 AltaGas Ltd. 26,309,872 23,162,275 451,985 ATCO Ltd., Class I 17,206,232 16,492,933 1,340,605 Superior Plus Corp. 14,467,386 16,328,569 61,714,310 61,893,039 16.05 INDUSTRIALS 16,600 AimGlobal Technologies Co., Inc. 278,267 - 1,142,656 Mullen Group Ltd. 12,604,107 12,454,950 104,138 Richelieu Hardware Ltd. 2,015,165 3,440,720 307,240 Stantec Inc. 10,080,406 12,682,867 85,151 Toromont Industries Ltd. 4,446,949 7,595,469 412,470 Transcontinental Inc., Class A 6,115,338 8,459,760 17,300 US Ecology Canada Holdings Inc. 29,428 - 402,470 Westshore Terminals Investment Corp. 6,894,732 6,274,507 42,464,392 50,908,273 13.20 ENERGY 1,012,500 ARC Resources Ltd. 11,528,682 6,075,000 12,700 Beamscope Canada Inc. 132,393 - 182,850 Gibson Energy Inc. 3,400,988 3,759,396 483,345 Parkland Corp. 13,820,348 19,522,305 877,282 Pason Systems Inc. 11,186,047 6,912,982 549,331 PrairieSky Royalty Ltd. 4,889,807 5,542,750 2,908,358 Secure Energy Services Inc. 17,470,372 7,154,561 96,550 ShawCor Ltd. 1,618,819 339,856 64,047,456 49,306,850 12.78 MATERIALS 180,025 Labrador Iron Ore Royalty Corp. 2,751,070 5,870,615 1,544,285 Major Drilling Group International Inc. 9,312,118 11,875,552 316,000 Stella-Jones Inc. 10,819,186 14,624,480 211,380 Winpak Ltd. 8,693,197 9,051,292 31,575,571 41,421,939 10.74 CONSUMER DISCRETIONARY 576,220 Aritzia Inc. 8,351,449 14,860,714 207,000 Hip Interactive Corp. 529,139 21 13,100 ITI Education Corp. 57,698 - 716,024 Leon’s Furniture Ltd. 10,513,331 14,771,575 162,555 Linamar Corp. 8,613,810 10,959,458 28,065,427 40,591,768 10.52 CONSUMER STAPLES 556,730 Empire Co., Ltd., Class A 14,976,982 19,368,637 5.02 REAL ESTATE 458,666 SmartCentres Real Estate Investment Trust 12,795,839 10,586,011 2.74





COMMUNICATION SERVICES 22,000 Axxent Inc. 268,386 - 85,845 Cogeco Communications Inc. 8,206,641 8,400,792 8,200 Telescene Film Group Inc., Class B 41,870 - 8,516,897 8,400,792 2.18 HEALTH CARE 922,135 Knight Therapeutics Inc. 7,436,101 4,933,422 1.28 INFORMATION TECHNOLOGY 25,900 IDS Intelligent Detection Systems Inc. 202,291 - 119,500 NHC Communications Inc. 171,749 19 9,600 Q/Media Services Corp. 28,788 - 402,828 19 0.00 SHORT-TERM INVESTMENT(S) 1,000,000 Canadian Treasury Bill 0.05215%, March 18, 2021 999,890 999,890 3,000,000 Canadian Treasury Bill 0.09778%, January 21, 2021 2,999,365 2,999,365 3,999,255 3,999,255 1.04






Average Cost($)

Fair Value($)

% of Net Assets











Series A 2020 2019 118,744 137,061 37,729 16,408 444 - (69,496) (34,725) 87,421 118,744

Series E 2020 2019 7,170,236 5,110,777 4,151,743 3,418,782 71,680 - (3,337,325) (1,359,323) 8,056,334 7,170,236

Series E3 2020 2019 - 2,673,160 - 775,110 - - - (3,448,270) - -

Series E4 2020 2019 - 447,281 - 157,544 - - - (604,825) - -

Series E5 2020 2019 - 217,699 - 92,546 - - - (310,245) - -

Series F 2020 2019 1,093,630 382,323 1,143,613 941,951 28,643 - (715,393) (230,644) 1,550,493 1,093,630

Series F3 2020 2019 - 147,067 - 131,453 - - - (278,520) - -

Series F4 2020 2019 - 26,611 - 13,447 - - - (40,058) - -

Series F5 2020 2019 - 1,000 - 13,480 - - - (14,480) - -

Series I 2020 2019 4,643,857 4,249,619 2,972,671 1,281,194 176,249 - (2,370,766) (886,956) 5,422,011 4,643,857

Series OF 2020 2019 6,233 7,242 3,113 1,319 75 - (5,283) (2,328) 4,138 6,233

Series W 2020 2019 1,151,770 1,281,051 1,291,679 260,794 39,153 - (1,247,586) (390,075) 1,235,016 1,151,770










Annual management

fee rate:


fee rate:








Interest Rate RiskAs at December 31, 2020 and 2019, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and short-term investments. Short-term investments exposure to interest rate risk is insignificant due to their short term to maturity.




(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 378,482 - - 378,482 Short-term investment(s) - 3,999 - 3,999 Total 378,482 3,999 - 382,481


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 320,917 - - 320,917 Short-term investment(s) - 17,660 - 17,660 Total 320,917 17,660 - 338,577





as at December 31, 2019Categories Net Assets (%)Financials 22.8 Energy 18.9 Utilities 17.7 Consumer Discretionary 9.1 Industrials 8.0 Materials 5.6 Real Estate 5.5 Short-Term Investment(s) 5.2 Consumer Staples 3.4 Health Care 1.7 Communication Services 1.2 Other Net Assets (Liabilities) 0.9 Information Technology 0.0 Total 100.0










Canadian Equity Value Pool



2020 2019

633,213 594,515 - - 6,181 31,578

2,515 2,723 - 5 - - - - - - 898 797 - - - - - - - - 1,043 1,607 643,850 631,225

- - - -

- - - - - - - - - - - - 1,091 1,114 - - - - - - - - 1,091 1,114

642,759 630,111






CIG - 9606






units outstanding:

2020 2019 2020 2019 2020 2019Series A 5,238 7,541 15.86 15.22 330,256 495,507Series E 229,513 218,328 19.23 18.36 11,937,126 11,892,685Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 21,744 16,428 12.81 12.19 1,696,915 1,347,232Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 262,123 268,877 25.95 24.67 10,102,334 10,899,776Series OF 2,409 2,587 17.02 16.22 141,564 159,549Series W 121,732 116,350 104.49 99.20 1,164,943 1,172,892




2020 2019

14,898 11,343 107 873 - - - - - -

- - - -

45,049 51,703

(1,533) 85,964 58,521 149,883 (781) 20 - - 43 20 43 14 (695) 54 57,826 149,937

4,367 4,254 636 609 623 500 1 1 - - - - - - - - 233 300 568 544 6,428 6,208 - -

51,398 143,729













2020 2019 2020 2019 2020 2019Series A 109 1,767 0.26 3.09 421,766 571,133Series E 12,421 38,920 1.03 3.67 12,113,912 10,632,066Series E3 - 5,423 - 1.64 - 3,313,138Series E4 - 730 - 1.64 - 444,162Series E5 - 519 - 1.63 - 315,579Series F 1,478 2,056 0.96 2.34 1,558,779 877,454Series F3 - 381 - 1.64 - 231,396Series F4 - 74 - 1.68 - 44,073Series F5 - 6 - 1.13 - 5,648Series I 24,446 63,907 2.11 5.55 11,612,820 11,529,710Series OF 104 548 0.70 3.41 149,326 160,834Series W 12,840 29,398 10.59 23.35 1,211,391 1,258,524












Series A 2020 2019 7,541 7,632 109 1,767

(6) - - - - - (6) -

435 353 6 - (2,847) (2,211) (2,406) (1,858) (2,303) (91) 5,238 7,541

Series E 2020 2019 218,328 141,375 12,421 38,920

(339) - - - - - (339) -

56,642 79,840 339 - (57,878) (41,807) (897) 38,033 11,185 76,953 229,513 218,328

Series E3 2020 2019 - 29,680 - 5,423

- - - - - - - -

- 8,327 - - - (43,430) - (35,103) - (29,680) - -

Series E4 2020 2019 - 4,181 - 730

- - - - - - - -

- 1,827 - - - (6,738) - (4,911) - (4,181) - -

Series E5 2020 2019 - 2,675 - 519

- - - - - - - -

- 937 - - - (4,131) - (3,194) - (2,675) - -

Series F 2020 2019 16,428 5,052 1,478 2,056

(174) - - - - - (174) -

11,091 12,952 174 - (7,253) (3,632) 4,012 9,320 5,316 11,376 21,744 16,428

Series F3 2020 2019 - 1,762 - 381

- - - - - - - -

- 1,784 - - - (3,927) - (2,143) - (1,762) - -

Series F4 2020 2019 - 358 - 74

- - - - - - - -

- 161 - - - (593) - (432) - (358) - -

Series F5 2020 2019 - 10 - 6

- - - - - - - -

- 144 - - - (160) - (16) - (10) - -

Series I 2020 2019 268,877 234,845 24,446 63,907

(5,067) - - - - - (5,067) -

94,238 32,656 5,067 - (125,438) (62,531) (26,133) (29,875) (6,754) 34,032 262,123 268,877

Series OF 2020 2019 2,587 2,209 104 548

(9) - - - - - (9) -

33 215 9 - (315) (385) (273) (170) (178) 378 2,409 2,587

Series W 2020 2019 116,350 144,387 12,840 29,398

(1,989) - - - - - (1,989) -

71,552 24,771 1,986 - (79,007) (82,206) (5,469) (57,435) 5,382 (28,037) 121,732 116,350








Total Fund 2020 2019 630,111 574,166 51,398 143,729

(7,584) - - - - - (7,584) -

233,991 163,967 7,581 - (272,738) (251,751) (31,166) (87,784) 12,648 55,945 642,759 630,111




2020 2019

51,398 143,729

(45,049) (51,703) 155 8 623 500

1,533 (85,964) 601,799 436,070 (597,391) (385,760) - - - - - - (101) (346) - - - - - - - - - - 12,967 56,534

(3) - 214,171 82,518 (252,377) (170,060) (38,209) (87,542)

(155) (8) (25,242) (31,008) 31,578 62,594 6,181 31,578

14,565 10,698 107 873 - - - - - -












Average Cost($)

Fair Value($)

% of Net Assets

FINANCIALS 180,331 Bank of Montreal 16,509,463 17,452,434 546,056 Brookfield Asset Management Inc., Class A 22,806,722 28,733,467 41,400 CME Group Inc. 9,278,002 9,593,653 104,511 Intact Financial Corp. 12,828,294 15,751,898 88,189 Onex Corp. 6,511,476 6,443,088 303,700 Royal Bank of Canada 25,755,144 31,763,983 38,475 S&P Global Inc. 13,167,379 16,099,447 280,597 Sun Life Financial Inc. 13,964,226 15,881,790 329,661 The Bank of Nova Scotia 20,135,242 22,680,677 101,963 TMX Group Ltd. 9,283,621 12,963,576 150,239,569 177,364,013 27.59 INFORMATION TECHNOLOGY 79,798 Automatic Data Processing Inc. 14,496,747 17,897,440 205,213 CGI Inc. 14,191,288 20,724,461 13,692 Constellation Software Inc. 17,118,059 22,631,781 76,956 Microsoft Corp. 12,958,370 21,787,596 246,203 Open Text Corp. 12,548,347 14,240,382 25,464 Topicus.com Inc. - 122,540 60,019 Visa Inc., Class A 15,511,426 16,710,525 86,824,237 114,114,725 17.75 CONSUMER DISCRETIONARY 6,499 Booking Holdings Inc. 15,568,812 18,425,208 136,118 Canadian Tire Corp., Ltd., Class A, Non-Voting Shares 17,866,729 22,776,625 233,741 Dollarama Inc. 9,429,916 12,126,483 161,074 Magna International Inc., Class A 11,823,930 14,514,378 163,396 Restaurant Brands International Inc. 11,615,356 12,717,111 99,454 Ross Stores Inc. 11,529,323 15,547,085 99,757 Starbucks Corp. 10,074,589 13,584,353 87,908,655 109,691,243 17.07 INDUSTRIALS 386,591 Air Canada 9,484,177 8,802,677 80,232 Canadian National Railway Co. 6,636,211 11,227,666 26,042 Canadian Pacific Railway Ltd. 9,069,477 11,498,324 170,912 Thomson Reuters Corp. 11,727,694 17,805,612 103,629 Toromont Industries Ltd. 6,001,748 9,243,707 73,639 Waste Connections Inc. 9,698,363 9,611,362 52,617,670 68,189,348 10.61 UTILITIES 622,173 Algonquin Power & Utilities Corp. 11,861,152 13,034,524 267,041 Brookfield Infrastructure Partners L.P. 15,991,118 16,818,242 245,504 Fortis Inc. 13,731,636 12,766,208 41,583,906 42,618,974 6.63 COMMUNICATION SERVICES 9,929 Alphabet Inc., Class A 18,306,144 22,150,892 343,738 BCE Inc. 20,142,604 18,709,659 38,448,748 40,860,551 6.36 CONSUMER STAPLES 433,549 Alimentation Couche-Tard Inc., Class B 19,269,944 18,807,356 243,554 Metro Inc., Class A 13,536,732 13,833,867 32,806,676 32,641,223 5.08





MATERIALS 32,598 Air Products and Chemicals Inc. 12,379,160 11,336,955 272,032 CCL Industries Inc., Class B 10,852,265 15,720,729 23,231,425 27,057,684 4.21

ENERGY 300,213 Enbridge Inc. 12,664,711 12,221,671 1.90

REAL ESTATE 739,599 Tricon Capital Group Inc. 7,098,008 8,453,617 1.32








Average Cost($)

Fair Value($)

% of Net Assets





Contract(s) Rate


Bank of Montreal A-1 March 15, 2021 CAD 16,602,611 USD 12,904,653 1.29 180,781 Bank of Montreal A-1 January 21, 2021 CAD 439,317 USD 334,540 1.31 13,532 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 1,005,177 USD 776,758 1.29 16,672 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 10,548,799 USD 8,155,206 1.29 170,851 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 614,600 USD 468,356 1.31 18,501 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 9,924,815 USD 7,556,841 1.31 307,879 Citigroup Inc. A-2 February 18, 2021 CAD 13,146,066 USD 10,077,166 1.30 321,773 Citigroup Inc. A-2 January 21, 2021 CAD 529,875 USD 401,448 1.32 18,932 HSBC Holdings PLC A-2 March 15, 2021 CAD 16,868,814 USD 13,048,329 1.29 264,103 HSBC Holdings PLC A-2 February 18, 2021 CAD 8,271,913 USD 6,297,367 1.31 257,800 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 614,881 USD 468,356 1.31 18,782 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 8,405,961 USD 6,482,550 1.30 156,233 Morgan Stanley A-2 February 18, 2021 CAD 11,415,426 USD 8,817,520 1.29 194,210 Morgan Stanley A-2 January 21, 2021 CAD 526,678 USD 401,448 1.31 15,735 Royal Bank of Canada A-1+ February 18, 2021 CAD 11,409,710 USD 8,815,127 1.29 191,540 Royal Bank of Canada A-1+ January 21, 2021 CAD 545,130 USD 412,127 1.32 20,594 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 14,728,301 USD 11,417,288 1.29 199,197 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 4,955,927 USD 3,778,420 1.31 147,463 Total Foreign Currency Forward Contract(s) Value 2,514,578











NetExposure






NetExposure












Series A 2020 2019 495,507 625,602 32,782 25,974 562 - (198,595) (156,069) 330,256 495,507

Series E 2020 2019 11,892,685 9,662,088 3,379,676 4,695,268 23,082 - (3,358,317) (2,464,671) 11,937,126 11,892,685

Series E3 2020 2019 - 3,141,362 - 797,538 - - - (3,938,900) - -

Series E4 2020 2019 - 441,525 - 171,213 - - - (612,738) - -

Series E5 2020 2019 - 281,614 - 90,499 - - - (372,113) - -

Series F 2020 2019 1,347,232 525,527 972,254 1,150,094 15,328 - (637,899) (328,389) 1,696,915 1,347,232

Series F3 2020 2019 - 183,096 - 166,049 - - - (349,145) - -

Series F4 2020 2019 - 37,169 - 15,083 - - - (52,252) - -

Series F5 2020 2019 - 1,000 - 12,946 - - - (13,946) - -

Series I 2020 2019 10,899,776 12,227,240 4,228,127 1,467,549 219,211 - (5,244,780) (2,795,013) 10,102,334 10,899,776

Series OF 2020 2019 159,549 171,684 2,134 14,231 630 - (20,749) (26,366) 141,564 159,549

Series W 2020 2019 1,172,892 1,865,704 834,187 274,628 21,244 - (863,380) (967,440) 1,164,943 1,172,892






Annual management

fee rate:


fee rate:











Currency Risk (cont’d)As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $4,313,000 (December 31, 2019 - $3,072,000). In practice, the actual results may differ from this analysis and the difference may be material.

Interest Rate RiskAs at December 31, 2020 and 2019, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.




(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 633,090 123 - 633,213 Foreign currency forward contract(s), net - 2,515 - 2,515 Total 633,090 2,638 - 635,728


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 594,515 - - 594,515 Foreign currency forward contract(s), net - 2,723 - 2,723 Option contract(s) 5 - - 5 Total 594,520 2,723 - 597,243





as at December 31, 2019Categories Net Assets (%)Financials 31.6 Information Technology 20.8 Consumer Discretionary 12.0 Industrials 10.1 Energy 5.3 Other Net Assets (Liabilities) 5.2 Health Care 5.2 Communication Services 4.2 Real Estate 2.5 Utilities 1.7 Consumer Staples 1.0 Foreign Currency Forward Contract(s) 0.4 Option Contract(s) 0.0 Total 100.0

Credit RiskAs at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments was insignificant.





Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 171,204 (128,071) 43,133 6.7 Total 171,204 (128,071) 43,133 6.7


Currency


Net Exposure

Net Assets




US Equity Alpha Pool



2020 2019

738,514 709,449 - - 23,256 21,635

5,798 8,257 - - 198 141 - - - - 804 939 - - - - - - - - 570 566 769,140 740,987

- - - -

49 26 - - - - - - - - - - 479 1,022 - - - - - - - - 528 1,048

768,612 739,939






CIG - 9684






units outstanding:

2020 2019 2020 2019 2020 2019Series A 750 1,203 13.88 11.94 54,026 100,800Series E 130,353 131,607 14.06 12.03 9,273,955 10,938,567Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 10,553 8,786 14.34 12.19 735,900 720,957Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 574,813 548,631 14.67 12.36 39,193,351 44,403,533Series OF 7 26 14.17 12.10 462 2,143Series W 52,136 49,686 14.63 12.35 3,563,658 4,024,545




2020 2019

13,859 10,189 125 402 - - - - - -

- - - -

63,094 12,123

63,419 155,073 140,497 177,787 (283) (932) - - 64 292 17 1 (202) (639) 140,295 177,148

2,466 230 354 32 165 145 1 1 - - - - - - - - 1,331 1,452 367 34 4,684 1,894 - -

135,611 175,254













2020 2019 2020 2019 2020 2019Series A 131 26 1.71 2.79 77,106 9,496Series E 21,059 2,692 2.09 2.97 10,095,488 906,764Series E3 - 2 - 1.44 - 1,250Series E4 - 2 - 1.45 - 1,250Series E5 - 2 - 1.46 - 1,250Series F 1,775 188 2.39 3.12 741,524 60,394Series F3 - 2 - 1.51 - 1,250Series F4 - 2 - 1.52 - 1,250Series F5 - 2 - 1.54 - 1,250Series I 100,740 171,232 2.44 2.82 41,277,514 60,796,781Series OF - 3 (0.53) 2.65 966 1,324Series W 11,906 1,101 3.14 3.32 3,798,874 331,479












Series A 2020 2019 1,203 12 131 26

(5) - (6) - - - (11) -

98 1,210 11 - (682) (45) (573) 1,165 (453) 1,191 750 1,203

Series E 2020 2019 131,607 12 21,059 2,692

(719) - (1,164) - - - (1,883) -

24,985 132,823 1,883 - (47,298) (3,920) (20,430) 128,903 (1,254) 131,595 130,353 131,607

Series E3 2020 2019 - 12 - 2

- - - - - - - -

- - - - - (14) - (14) - (12) - -

Series E4 2020 2019 - 12 - 2

- - - - - - - -

- - - - - (14) - (14) - (12) - -

Series E5 2020 2019 - 12 - 2

- - - - - - - -

- - - - - (14) - (14) - (12) - -

Series F 2020 2019 8,786 12 1,775 188

(61) - (124) - - - (185) -

4,400 8,793 185 - (4,408) (207) 177 8,586 1,767 8,774 10,553 8,786

Series F3 2020 2019 - 12 - 2

- - - - - - - -

- - - - - (14) - (14) - (12) - -

Series F4 2020 2019 - 12 - 2

- - - - - - - -

- - - - - (14) - (14) - (12) - -

Series F5 2020 2019 - 12 - 2

- - - - - - - -

- - - - - (14) - (14) - (12) - -

Series I 2020 2019 548,631 574,045 100,740 171,232

(3,905) - (8,901) - - - (12,806) -

68,084 730,683 12,801 - (142,637) (927,329) (61,752) (196,646) 26,182 (25,414) 574,813 548,631

Series OF 2020 2019 26 12 - 3

- - - - - - - -

3 11 - - (22) - (19) 11 (19) 14 7 26

Series W 2020 2019 49,686 11 11,906 1,101

(343) - (769) - - - (1,112) -

37,029 50,896 1,112 - (46,485) (2,322) (8,344) 48,574 2,450 49,675 52,136 49,686








Total Fund 2020 2019 739,939 574,176 135,611 175,254

(5,033) - (10,964) - - - (15,997) -

134,599 924,416 15,992 - (241,532) (933,907) (90,941) (9,491) 28,673 165,763 768,612 739,939






2020 2019

135,611 175,254

(63,094) (12,123) (233) 575 165 145

(63,419) (155,073) 390,379 285,779 (290,614) (277,775) - - (57) 55 - - 135 (188) - - - - - - - - - - 108,873 16,649

(5) - 124,253 922,374 (231,733) (931,409) (107,485) (9,035)

233 (575) 1,388 7,614 21,635 14,596 23,256 21,635

8,264 8,569 119 402 - - - - - -










Average Cost($)

Fair Value($)

% of Net Assets

INFORMATION TECHNOLOGY 98,413 Amphenol Corp., Class A 12,088,990 16,381,497 147,506 Apple Inc. 10,785,697 24,913,852 215,366 Applied Materials Inc. 11,059,349 23,658,158 424,238 Corning Inc. 17,758,550 19,440,394 46,400 Keysight Technologies Inc. 7,534,542 7,801,550 136,452 Microsoft Corp. 19,474,329 38,631,960 107,639 QUALCOMM Inc. 17,949,688 20,872,603 13,580 Salesforce.com Inc. 2,678,758 3,846,638 69,315 Texas Instruments Inc. 10,432,053 14,481,321 104,648 Visa Inc., Class A 20,189,266 29,136,158 129,951,222 199,164,131 25.91 COMMUNICATION SERVICES 3,641 Alphabet Inc., Class A 5,225,090 8,122,812 14,464 Alphabet Inc., Class C 20,434,500 32,254,162 15,933 Charter Communications Inc. 6,834,166 13,416,932 68,207 Facebook Inc. 15,943,105 23,715,869 109,376 Walt Disney Co. 16,706,310 25,224,658 65,143,171 102,734,433 13.37 HEALTH CARE 476,137 Boston Scientific Corp. 22,845,003 21,788,324 416,952 Elanco Animal Health Inc. 14,967,024 16,277,692 78,285 IQVIA Holdings Inc. 14,594,118 17,854,054 204,492 Merck & Co., Inc. 20,462,711 21,292,302 44,737 UnitedHealth Group Inc. 15,507,267 19,969,668 88,376,123 97,182,040 12.64 FINANCIALS 85,826 Chubb Ltd. 15,045,103 16,815,389 63,821 CME Group Inc. 14,643,807 14,789,289 111,853 First Republic Bank 14,025,868 20,919,491 189,936 JPMorgan Chase & Co. 26,706,274 30,721,564 17,674 S&P Global Inc. 4,302,551 7,395,494 74,723,603 90,641,227 11.79 INDUSTRIALS 84,442 Honeywell International Inc. 18,149,630 22,862,252 79,068 Trane Technologies PLC 9,879,780 14,609,680 57,846 United Rentals Inc. 9,192,647 17,075,987 103,334 Waste Management Inc. 15,480,799 15,511,741 52,702,856 70,059,660 9.12 CONSUMER DISCRETIONARY 8,447 Amazon.com Inc. 18,467,044 35,019,014 76,721 Lowe’s Cos., Inc. 11,539,903 15,675,065 116,014 Ross Stores Inc. 14,115,367 18,135,817 44,122,314 68,829,896 8.96 CONSUMER STAPLES 236,484 Mondelez International Inc. 14,495,317 17,600,615 87,869 PepsiCo Inc. 13,493,889 16,587,076 27,989,206 34,187,691 4.45 UTILITIES 136,193 CMS Energy Corp. 11,170,891 10,576,666 92,751 Sempra Energy 15,413,776 15,042,330 26,584,667 25,618,996 3.33 ENERGY 173,541 ConocoPhillips Co. 6,901,691 8,833,778 286,712 Schlumberger Ltd. 17,122,673 7,966,959 24,024,364 16,800,737 2.19



Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund. ‡Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service.


MATERIALS 46,128 Martin Marietta Materials Inc. 12,038,862 16,673,627 2.17 REAL ESTATE 58,175 American Tower Corp., Class A 18,069,929 16,621,429 2.16




Short Futures Contract(s) (see Schedule B) (48,723) (0.01)





Average Cost($)

Fair Value($)

% of Net Assets





Contract(s) Rate


Bank of Montreal A-1 March 15, 2021 CAD 12,129,620 USD 9,427,948 1.29 132,076 Bank of Montreal A-1 January 21, 2021 CAD 18,375,091 USD 13,992,606 1.31 566,013 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 25,706,524 USD 19,589,655 1.31 773,813 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 4,741,907 USD 3,610,530 1.31 147,099 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 734,368 USD 567,488 1.29 12,180 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 7,706,796 USD 5,958,072 1.29 124,821 Citigroup Inc. A-2 January 21, 2021 CAD 22,162,802 USD 16,791,147 1.32 791,859 Citigroup Inc. A-2 February 18, 2021 CAD 6,280,966 USD 4,814,698 1.30 153,737 HSBC Holdings PLC A-2 March 15, 2021 CAD 12,324,105 USD 9,532,915 1.29 192,950 HSBC Holdings PLC A-2 February 18, 2021 CAD 3,952,179 USD 3,008,775 1.31 123,172 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 25,718,300 USD 19,589,671 1.31 785,565 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 4,016,225 USD 3,097,252 1.30 74,645 Morgan Stanley A-2 January 21, 2021 CAD 22,029,061 USD 16,791,147 1.31 658,149 Morgan Stanley A-2 February 18, 2021 CAD 5,454,096 USD 4,212,861 1.29 92,790 Royal Bank of Canada A-1+ January 21, 2021 CAD 22,800,834 USD 17,237,813 1.32 861,385 Royal Bank of Canada A-1+ February 18, 2021 CAD 5,451,365 USD 4,211,717 1.29 91,515 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 10,760,278 USD 8,341,301 1.29 145,530 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 2,367,858 USD 1,805,265 1.31 70,455 Total Foreign Currency Forward Contract(s) Value 5,797,754

Schedule BShort Futures Contract(s)

Contract(s) Future(s) Expiry Date Price ($) Currency Contract Value ($) Fair Value ($)(12) S&P 500 Index Futures E-Mini March 19, 2021 3,748.75 USD (2,814,347) (2,863,070) (2,814,347) (2,863,070)Exercise Price ($) (2,814,347)Total Short Futures Contract(s) Value (48,723)











NetExposure






NetExposure










Series A 2020 2019 100,800 1,250 8,647 103,400 973 - (56,394) (3,850) 54,026 100,800

Series E 2020 2019 10,938,567 1,250 2,116,259 11,267,399 157,030 - (3,937,901) (330,082) 9,273,955 10,938,567

Series E3 2020 2019 - 1,250 - - - - - (1,250) - -

Series E4 2020 2019 - 1,250 - - - - - (1,250) - -

Series E5 2020 2019 - 1,250 - - - - - (1,250) - -

Series F 2020 2019 720,957 1,250 359,245 737,289 14,808 - (359,110) (17,582) 735,900 720,957

Series F3 2020 2019 - 1,250 - - - - - (1,250) - -

Series F4 2020 2019 - 1,250 - - - - - (1,250) - -

Series F5 2020 2019 - 1,250 - - - - - (1,250) - -

Series I 2020 2019 44,403,533 60,468,595 5,590,750 72,795,432 991,755 - (11,792,687) (88,860,494) 39,193,351 44,403,533

Series OF 2020 2019 2,143 1,250 219 908 11 - (1,911) (15) 462 2,143

Series W 2020 2019 4,024,545 1,250 3,273,232 4,214,456 86,454 - (3,820,573) (191,161) 3,563,658 4,024,545








Annual management

fee rate:


fee rate:












Currency


Net Exposure

Net Assets



Currency


Net Exposure

Net Assets








(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 738,514 - - 738,514 Foreign currency forward contract(s), net - 5,798 - 5,798 Total 738,514 5,798 - 744,312

Short Positions at fair value as at December 31, 2020Level 1 Level 2 Level 3 Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Future contract(s), net (49) - - (49)Total (49) - - (49)






as at December 31, 2019Categories Net Assets (%)Long PositionsInformation Technology 34.4 Health Care 20.0 Financials 11.1 Industrials 9.2 Communication Services 5.8 Consumer Staples 4.8 Energy 4.0 Consumer Discretionary 3.8 Other Net Assets (Liabilities) 3.0 Utilities 2.8 Foreign Currency Forward Contract(s) 1.1 Total Long Positions 100.0

Short PositionsFuture Contract(s) (0.0) Total Short Positions (0.0)Total 100.0


as at December 31, 2020 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 0.2AA/Aa/A+ 0.6Total 0.8





Other Price RiskAs at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.






Fair Value Hierarchy (cont’d)

Short Positions at fair value as at December 31, 2019Level 1 Level 2 Level 3 Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Future contract(s), net (26) - - (26)Total (26) - - (26)




US Equity Growth Pool



2020 2019

133,660 113,616 - - 4,651 2,062

1,084 1,319 - - - - - - - - 32 37 - - - - - - - - 279 323 139,706 117,357

- - - -

- - - - - - - - - - - - 333 333 - - - - - - - - 333 333

139,373 117,024






CIG - 9612






units outstanding:

2020 2019 2020 2019 2020 2019Series A 1,140 1,590 39.78 30.63 28,661 51,928Series E 32,117 32,974 68.21 52.20 470,840 631,683Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 5,271 2,876 19.86 15.03 265,489 191,369Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 61,042 41,849 85.41 63.90 714,707 654,931Series OF 79 282 54.46 41.51 1,449 6,799Series W 39,724 37,453 33.87 25.37 1,172,911 1,476,514




2020 2019

951 894 14 47 - - - - - -

- - - -

25,953 7,509

11,901 23,424 38,819 31,874 25 (93) - - 10 16 5 2 40 (75) 38,859 31,799

648 639 129 124 17 14 1 1 - - - - - - - - 136 128 84 80 1,015 986 - - 37,844 30,813













2020 2019 2020 2019 2020 2019Series A 329 450 8.39 7.37 39,160 61,093Series E 8,150 7,043 15.31 12.41 532,069 567,865Series E3 - 809 - 2.01 - 403,427Series E4 - 95 - 1.85 - 51,478Series E5 - 102 - 1.90 - 53,524Series F 1,070 389 5.00 3.74 213,881 103,918Series F3 - 56 - 1.73 - 32,502Series F4 - 17 - 2.41 - 7,096Series F5 - 3 - 0.74 - 2,998Series I 16,576 11,125 21.19 16.69 782,127 666,602Series OF 6 87 2.03 10.39 2,842 8,381Series W 11,713 10,637 9.02 6.61 1,296,435 1,609,086












Series A 2020 2019 1,590 1,579 329 450

- - - - - - - -

90 87 - - (869) (526) (779) (439) (450) 11 1,140 1,590

Series E 2020 2019 32,974 18,130 8,150 7,043

- - - - - - - -

7,958 14,894 - - (16,965) (7,093) (9,007) 7,801 (857) 14,844 32,117 32,974

Series E3 2020 2019 - 4,115 - 809

- - - - - - - -

- 1,579 - - - (6,503) - (4,924) - (4,115) - -

Series E4 2020 2019 - 534 - 95

- - - - - - - -

- 576 - - - (1,205) - (629) - (534) - -

Series E5 2020 2019 - 391 - 102

- - - - - - - -

- 472 - - - (965) - (493) - (391) - -

Series F 2020 2019 2,876 541 1,070 389

- - - - - - - -

3,157 2,708 - - (1,832) (762) 1,325 1,946 2,395 2,335 5,271 2,876

Series F3 2020 2019 - 247 - 56

- - - - - - - -

- 358 - - - (661) - (303) - (247) - -

Series F4 2020 2019 - 65 - 17

- - - - - - - -

- 74 - - - (156) - (82) - (65) - -

Series F5 2020 2019 - 11 - 3

- - - - - - - -

- 127 - - - (141) - (14) - (11) - -

Series I 2020 2019 41,849 31,313 16,576 11,125

(38) - - - - - (38) -

40,296 9,160 38 - (37,679) (9,749) 2,655 (589) 19,193 10,536 61,042 41,849

Series OF 2020 2019 282 283 6 87

- - - - - - - -

10 69 - - (219) (157) (209) (88) (203) (1) 79 282

Series W 2020 2019 37,453 32,473 11,713 10,637

(5) - - - - - (5) -

17,670 7,141 5 - (27,112) (12,798) (9,437) (5,657) 2,271 4,980 39,724 37,453








Total Fund 2020 2019 117,024 89,682 37,844 30,813

(43) - - - - - (43) -

69,181 37,245 43 - (84,676) (40,716) (15,452) (3,471) 22,349 27,342 139,373 117,024




2020 2019

37,844 30,813

(25,953) (7,509) 13 53 17 14

(11,901) (23,424) 79,220 33,449 (61,192) (30,425) - - - - - - 5 (8) - - - - - - - - - - 18,053 2,963

- - 63,329 23,297 (78,780) (26,757) (15,451) (3,460)

(13) (53) 2,602 (497) 2,062 2,612 4,651 2,062

819 759 14 47 - - - - - -












Average Cost($)

Fair Value($)

% of Net Assets

INFORMATION TECHNOLOGY 4,592 Adobe Systems Inc. 1,205,321 2,923,271 15,532 Advanced Micro Devices Inc. 489,494 1,813,164 3,000 Airbnb Inc. 506,514 560,584 75,846 Apple Inc. 3,281,280 12,810,434 2,365 DocuSign Inc. 171,963 669,212 7,889 Entegris Inc. 499,394 965,024 2,439 EPAM Systems Inc. 474,176 1,112,531 4,476 FleetCor Technologies Inc. 1,243,008 1,554,444 6,177 Global Payments Inc. 831,661 1,693,779 12,438 GoDaddy Inc. 865,080 1,313,287 6,154 Guidewire Software Inc. 763,636 1,008,393 3,352 KLA-Tencor Corp. 647,758 1,104,703 9,380 Leidos Holdings Inc. 1,168,573 1,255,107 16,704 Marvell Technology Group Ltd. 464,513 1,010,817 7,174 Mastercard Inc., Class A 1,061,402 3,259,490 10,279 Micron Technology Inc. 610,987 983,663 31,420 Microsoft Corp. 3,735,464 8,895,553 9,257 PayPal Holdings Inc. 910,107 2,759,626 9,533 Salesforce.com Inc. 1,396,160 2,700,295 2,347 ServiceNow Inc. 567,417 1,644,403 4,915 Skyworks Solutions Inc. 957,655 956,461 5,042 Splunk Inc. 1,382,124 1,090,344 4,308 Square Inc., Class A 611,924 1,193,459 7,047 Teradyne Inc. 553,250 1,075,425 7,055 Texas Instruments Inc. 1,454,407 1,473,934 5,965 Workday Inc. 1,111,760 1,819,317 26,965,028 57,646,720 41.37 CONSUMER DISCRETIONARY 2,331 Amazon.com Inc. 3,380,068 9,663,706 3,809 McDonald’s Corp. 980,898 1,040,383 11,574 NIKE Inc., Class B 1,020,315 2,084,207 9,205 Penn National Gaming Inc. 756,430 1,011,998 10,537 PVH Corp. 986,346 1,259,300 2,723 Tesla Motors Inc. 888,912 2,445,920 28,463 TJX Co., Inc. 1,658,730 2,474,177 53,642 Under Armour Inc., Class C 1,001,878 1,016,017 13,387 VF Corp. 1,167,214 1,455,409 11,840,791 22,451,117 16.11 HEALTH CARE 11,267 Baxter International Inc. 1,005,868 1,150,780 2,981 Becton Dickinson and Co. 1,029,820 949,461 9,409 Edwards Lifesciences Corp. 654,392 1,092,633 10,834 Eli Lilly and Co. 1,790,306 2,328,398 4,361 Exact Sciences Corp. 588,579 735,465 6,576 Horizon Therapeutics PLC 639,525 612,307 20,470 Merck & Co., Inc. 2,142,042 2,131,396 1,433 Regeneron Pharmaceuticals Inc. 1,100,051 881,222 4,394 Seagen Inc. 383,719 979,577 2,274 Teleflex Inc. 810,028 1,191,317 3,392 Thermo Fisher Scientific Inc. 817,879 2,011,082 6,988 UnitedHealth Group Inc. 1,318,404 3,119,298 4,607 Vertex Pharmaceuticals Inc. 1,131,626 1,385,953 13,412,239 18,568,889 13.32





COMMUNICATION SERVICES 8,402 Activision Blizzard Inc. 548,602 993,019 2,907 Alphabet Inc., Class A 3,590,805 6,485,310 15,831 Facebook Inc. 3,240,329 5,504,507 7,859 Walt Disney Co. 1,376,572 1,812,469 8,756,308 14,795,305 10.62 INDUSTRIALS 5,510 Copart Inc. 416,792 892,488 4,122 Equifax Inc. 470,726 1,011,808 3,810 FedEx Corp. 935,741 1,259,088 11,707 Fortune Brands Home & Security Inc. 797,085 1,277,382 3,950 Illinois Tool Works Inc. 572,290 1,025,096 3,411 Nordson Corp. 579,744 872,495 11,559 Raytheon Technologies Corp. 1,220,461 1,052,156 4,992,839 7,390,513 5.30 CONSUMER STAPLES 6,725 Constellation Brands Inc., Class A 1,629,946 1,875,118 2,999 Costco Wholesale Corp. 529,716 1,438,326 12,968 Monster Beverages Corp. 623,006 1,526,560 9,832 Procter & Gamble Co. 1,592,998 1,741,353 4,375,666 6,581,357 4.72 FINANCIALS 10,618 American Express Co. 1,604,806 1,634,173 1,625 S&P Global Inc. 547,000 679,964 2,151,806 2,314,137 1.66 MATERIALS 5,335 PPG Industries Inc. 764,049 979,384 5,012 Vulcan Materials Co. 846,243 946,182 1,610,292 1,925,566 1.38 REAL ESTATE 4,121 American Tower Corp., Class A 889,718 1,177,429 0.84 EXCHANGE-TRADED FUND(S) 2,636 iShares Russell 1000 Growth ETF 814,934 809,110 0.58








Average Cost($)

Fair Value($)

% of Net Assets









Contract(s) Rate


Bank of Montreal A-1 January 21, 2021 CAD 3,393,618 USD 2,584,236 1.31 104,535 Bank of Montreal A-1 March 15, 2021 CAD 936,593 USD 727,983 1.29 10,198 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 1,367,771 USD 1,041,433 1.31 42,430 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 4,747,630 USD 3,617,931 1.31 142,912 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 56,704 USD 43,819 1.29 941 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 595,083 USD 460,055 1.29 9,638 Citigroup Inc. A-2 February 18, 2021 CAD 1,811,703 USD 1,388,768 1.30 44,345 Citigroup Inc. A-2 January 21, 2021 CAD 4,093,155 USD 3,101,086 1.32 146,245 HSBC Holdings PLC A-2 February 18, 2021 CAD 1,139,980 USD 867,861 1.31 35,528 HSBC Holdings PLC A-2 March 15, 2021 CAD 951,611 USD 736,088 1.29 14,899 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 1,158,453 USD 893,382 1.30 21,531 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 4,749,805 USD 3,617,934 1.31 145,083 Morgan Stanley A-2 February 18, 2021 CAD 1,573,198 USD 1,215,172 1.29 26,765 Morgan Stanley A-2 January 21, 2021 CAD 4,068,455 USD 3,101,086 1.31 121,551 Royal Bank of Canada A-1+ February 18, 2021 CAD 1,572,410 USD 1,214,842 1.29 26,397 Royal Bank of Canada A-1+ January 21, 2021 CAD 4,210,990 USD 3,183,579 1.32 159,086 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 682,993 USD 520,717 1.31 20,322 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 830,859 USD 644,077 1.29 11,237 Total Foreign Currency Forward Contract(s) Value 1,083,643











NetExposure






NetExposure








Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)iShares Russell 1000 Growth ETF 104,723,449 809 -


the Underlying Fund(s) / ETF(s)

Fair Value of the Fund’s Investmentin the Underlying Fund(s) / ETF(s)

Ownership in theUnderlying Fund(s) / ETF(s)

Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) - - -











Series A 2020 2019 51,928 67,610 2,840 3,267 - - (26,107) (18,949) 28,661 51,928

Series E 2020 2019 631,683 458,320 143,096 325,292 - - (303,939) (151,929) 470,840 631,683

Series E3 2020 2019 - 371,778 - 127,040 - - - (498,818) - -

Series E4 2020 2019 - 48,186 - 46,091 - - - (94,277) - -

Series E5 2020 2019 - 35,159 - 38,279 - - - (73,438) - -

Series F 2020 2019 191,369 48,033 185,480 200,488 - - (111,360) (57,152) 265,489 191,369

Series F3 2020 2019 - 21,913 - 27,277 - - - (49,190) - -

Series F4 2020 2019 - 5,748 - 5,792 - - - (11,540) - -

Series F5 2020 2019 - 1,000 - 9,412 - - - (10,412) - -

Series I 2020 2019 654,931 661,888 595,917 165,159 567 - (536,708) (172,116) 714,707 654,931

Series OF 2020 2019 6,799 9,035 247 1,856 - - (5,597) (4,092) 1,449 6,799

Series W 2020 2019 1,476,514 1,726,241 698,736 321,412 191 - (1,002,530) (571,139) 1,172,911 1,476,514










Annual management

fee rate:


fee rate:









Currency


Net Exposure

Net Assets



Currency


Net Exposure

Net Assets








(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 132,851 - - 132,851 Exchange-Traded Fund(s) 809 - - 809 Foreign currency forward contract(s), net - 1,084 - 1,084 Total 133,660 1,084 - 134,744







as at December 31, 2019Categories Net Assets (%)Information Technology 45.5 Consumer Discretionary 12.9 Health Care 12.9 Industrials 10.5 Consumer Staples 5.7 Financials 3.5 Communication Services 2.8 Other Net Assets (Liabilities) 1.8 Materials 1.7 Real Estate 1.2 Foreign Currency Forward Contract(s) 1.1 Energy 0.4 Total 100.0










US Equity Small Cap Pool



2020 2019

439,719 380,952 - - 20,054 12,947

3,240 4,564 - - - - - - - - 200 139 - - - - - - 33 - 523 1,876 463,769 400,478

- - - -

- - - - - - - - - - 290 - 668 1,101 1 - - - - - - - 959 1,101

462,810 399,377






CIG - 9620






units outstanding:





2020 2019

4,758 4,752 77 287 - - - - - -

- - - -

51,304 4,924

31,693 55,975 87,832 65,938 (573) (677) - - 103 191 26 8 (444) (478) 87,388 65,460

3,388 3,122 500 444 287 142 1 1 - - - - - - - - 690 733 453 413 5,319 4,855 - -

82,069 60,605













2020 2019 2020 2019 2020 2019Series A 201 341 2.17 2.98 92,963 114,402Series E 29,706 21,670 4.04 3.83 7,345,183 5,654,493Series E3 - 1,958 - 0.62 - 3,115,515Series E4 - 327 - 0.62 - 523,289Series E5 - 169 - 0.65 - 257,389Series F 3,399 1,453 2.09 1.76 1,625,171 825,345Series F3 - 122 - 0.48 - 253,877Series F4 - 36 - 0.71 - 51,460Series F5 - (2) - (0.50) - 5,280Series I 31,021 23,029 6.58 5.63 4,709,864 4,093,959Series OF 15 22 4.28 3.92 3,523 5,692Series W 17,727 11,480 7.38 5.58 2,398,556 2,056,982












Series A 2020 2019 2,142 2,176 201 341

- - (61) - - - (61) -

466 274 61 - (1,243) (649) (716) (375) (576) (34) 1,566 2,142

Series E 2020 2019 168,664 104,341 29,706 21,670

- - (7,499) - - - (7,499) -

70,001 74,283 7,499 - (79,003) (31,630) (1,503) 42,653 20,704 64,323 189,368 168,664

Series E3 2020 2019 - 26,516 - 1,958

- - - - - - - -

- 7,806 - - - (36,280) - (28,474) - (26,516) - -

Series E4 2020 2019 - 4,626 - 327

- - - - - - - -

- 1,852 - - - (6,805) - (4,953) - (4,626) - -

Series E5 2020 2019 - 2,011 - 169

- - - - - - - -

- 988 - - - (3,168) - (2,180) - (2,011) - -

Series F 2020 2019 14,529 4,253 3,399 1,453

- - (850) - - - (850) -

11,081 11,561 849 - (8,931) (2,738) 2,999 8,823 5,548 10,276 20,077 14,529

Series F3 2020 2019 - 1,840 - 122

- - - - - - - -

- 1,691 - - - (3,653) - (1,962) - (1,840) - -

Series F4 2020 2019 - 425 - 36

- - - - - - - -

- 290 - - - (751) - (461) - (425) - -

Series F5 2020 2019 - 9 - (2)

- - - - - - - -

- 128 - - - (135) - (7) - (9) - -

Series I 2020 2019 144,145 111,536 31,021 23,029

- - (7,984) - - - (7,984) -

68,387 35,532 7,982 - (71,092) (25,952) 5,277 9,580 28,314 32,609 172,459 144,145

Series OF 2020 2019 102 131 15 22

- - (2) - - - (2) -

42 10 2 - (100) (61) (56) (51) (43) (29) 59 102

Series W 2020 2019 69,795 60,102 17,727 11,480

- - (3,639) - - - (3,639) -

62,427 15,358 3,638 - (70,667) (17,145) (4,602) (1,787) 9,486 9,693 79,281 69,795








Total Fund 2020 2019 399,377 317,966 82,069 60,605

- - (20,035) - - - (20,035) -

212,404 149,773 20,031 - (231,036) (128,967) 1,399 20,806 63,433 81,411 462,810 399,377




2020 2019

82,069 60,605

(51,304) (4,924) (14) 407 287 142

(31,693) (55,975) 450,307 239,343 (424,783) (266,389) - - - - - - (61) 62 - - - - - - - - - - 24,808 (26,729)

(3) - 200,391 79,957 (218,103) (59,153) (17,715) 20,804

14 (407) 7,093 (5,925) 12,947 19,279 20,054 12,947

4,015 4,107 76 287 - - - - - -












Average Cost($)

Fair Value($)

% of Net Assets

FINANCIALS 110,177 Artisan Partners Asset Management Inc. 4,440,896 7,059,877 357,048 Axos Financial Inc. 14,021,199 17,056,824 344,176 Bank OZK 14,389,132 13,699,397 29,355 Brookfield Renewable Corp. 1,598,148 2,177,309 113,597 Cannae Holdings Inc. 5,713,160 6,401,318 21,329 Diamond Hill Investment Group Inc. 4,005,230 4,052,621 110,435 Eagle Bancorp Inc. 7,099,946 5,805,636 46,226 eHealth Inc. 4,609,974 4,154,756 151,733 Essent Group Ltd. 7,010,017 8,343,664 19,628 Hingham Institution for Savings 5,256,831 5,396,632 182,716 Home Bancshares Inc. 3,987,726 4,530,629 60,421 Signature Bank 8,572,315 10,405,108 75,756 Texas Capital Bancshares Inc. 4,683,792 5,737,557 9,046 Texas Pacific Land Trust 7,218,847 8,371,128 219,546 Universal Insurance Holdings Inc. 7,769,025 4,222,630 16,646 Virtus Investment Partners Inc. 3,662,947 4,597,933 115,377 Western Alliance Bancorp. 6,338,975 8,804,434 110,378,160 120,817,453 26.10 INDUSTRIALS 22,064 Alamo Group Inc. 3,016,341 3,874,351 38,351 American Woodmark Corp. 4,600,886 4,581,461 193,583 Blue Bird Corp. 3,424,844 4,499,466 61,853 Brookfield Infrastructure Corp. (USD) 5,373,022 5,692,356 62,862 Cimpress PLC 7,573,072 7,020,674 67,241 Comfort Systems USA Inc. 4,573,401 4,507,212 79,507 Douglas Dynamics Inc. 4,111,039 4,328,502 109,000 Insperity Inc. 9,511,434 11,296,674 24,271 Kadant Inc. 3,066,912 4,355,502 142,171 Rexnord Corp. 5,912,607 7,146,463 116,837 SP Plus Corp. 4,459,539 4,287,637 18,350 Unifirst Corp. 4,527,562 4,944,580 48,975 XPO Logistics Inc. 3,632,834 7,430,939 63,783,493 73,965,817 15.98 INFORMATION TECHNOLOGY 138,568 ACI Worldwide Inc. 5,783,720 6,778,387 21,917 Aspen Technology Inc. 3,259,886 3,633,723 61,234 Bottomline Technologies Inc. 4,067,660 4,110,794 24,418 CMC Materials Inc. 3,722,372 4,702,643 162,177 Dropbox Inc. 3,912,367 4,580,781 112,237 Ichor Holdings Ltd. 3,845,953 4,306,697 70,203 Mimecast Ltd. 3,873,048 5,079,287 36,661 Qualys Inc. 4,330,210 5,687,143 540,481 Sabre Corp. 5,744,222 8,269,474 54,738 SolarWinds Corp. 1,128,078 1,041,653 39,667,516 48,190,582 10.41 HEALTH CARE 244,284 Change Healthcare Inc. 4,739,061 5,799,184 23,149 Charles River Laboratories International Inc. 3,976,626 7,362,443 31,589 Molina Healthcare Inc. 4,955,799 8,551,760 168,102 Owens & Minor Inc. 5,524,753 5,788,062 131,577 Patterson Cos., Inc. 4,931,168 4,962,547 40,047 PRA Health Sciences Inc. 5,008,547 6,394,389 131,611 Premier Inc. 6,030,533 5,880,203 35,166,487 44,738,588 9.67






Average Cost($)

Fair Value($)

% of Net Assets

CONSUMER DISCRETIONARY 13,055 Helen of Troy Ltd. 2,671,402 3,692,278 74,285 LGI Homes Inc. 5,749,174 10,008,869 15,040 Lithia Motors Inc., Class A 3,469,589 5,602,980 36,811 Marriott Vacations Worldwide Corp. 4,270,522 6,429,660 104,367 Monarch Casino & Resort Inc. 5,341,182 8,132,977 172,026 Nautilus Inc. 4,992,867 3,972,138 19,532 Stamps.com Inc. 4,626,913 4,877,717 56,228 Under Armour Inc., Class C 961,491 1,064,997 32,083,140 43,781,616 9.46 REAL ESTATE 62,517 Colliers International Group Inc. (USD) 4,731,289 7,092,756 94,879 CubeSmart 3,278,814 4,059,117 36,774 Jones Lang LaSalle Inc. 6,217,698 6,945,123 206,344 Physicians Realty Trust 4,945,288 4,675,250 87,303 Ryman Hospitality Properties Inc. 7,181,719 7,530,010 56,327 SL Green Realty Corp. 4,126,081 4,271,792 30,480,889 34,574,048 7.47 COMMUNICATION SERVICES 365,322 iHeart Media Inc. 3,970,381 6,035,921 457,259 Liberty Latin America Ltd. 5,814,353 6,454,860 173,722 Liberty Media Corp. - Liberty Braves 5,120,075 5,499,505 405,713 Liberty TripAdvisor Holdings Inc. 2,034,616 2,241,309 59,465 Nexstar Media Group Inc. 7,442,314 8,264,894 26,588 Yelp Inc. 822,442 1,105,676 25,204,181 29,602,165 6.40 CONSUMER STAPLES 196,928 BellRing Brands Inc. 5,257,903 6,093,761 88,517 BJ’s Wholesale Club Holdings Inc. 3,739,232 4,200,448 135,368 Performance Food Group Co. 6,538,502 8,203,651 37,731 Post Holdings Inc. 4,710,547 4,851,273 20,246,184 23,349,133 5.05 MATERIALS 66,231 Berry Plastics Group Inc. 3,970,631 4,737,109 8,871 NewMarket Corp. 4,430,405 4,497,436 64,429 Sensient Technologies Corp. 4,761,687 6,049,983 13,162,723 15,284,528 3.30 ENERGY 412,651 Liberty Oilfield Services Inc. 3,590,963 5,415,450 1.17















Contract(s) Rate


Bank of Montreal A-1 January 21, 2021 CAD 10,705,720 USD 8,152,391 1.31 329,772 Bank of Montreal A-1 March 15, 2021 CAD 11,525,396 USD 8,958,304 1.29 125,496 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 14,977,170 USD 11,413,351 1.31 450,840 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 490,549 USD 373,509 1.31 15,217 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 697,786 USD 539,219 1.29 11,574 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 7,322,890 USD 5,661,277 1.29 118,604 Citigroup Inc. A-2 January 21, 2021 CAD 12,912,522 USD 9,782,880 1.32 461,354 Citigroup Inc. A-2 February 18, 2021 CAD 649,765 USD 498,080 1.30 15,904 HSBC Holdings PLC A-2 March 15, 2021 CAD 11,710,192 USD 9,058,043 1.29 183,338 HSBC Holdings PLC A-2 February 18, 2021 CAD 408,852 USD 311,257 1.31 12,742 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 14,984,030 USD 11,413,360 1.31 457,687 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 415,478 USD 320,410 1.30 7,722 Morgan Stanley A-2 January 21, 2021 CAD 12,834,601 USD 9,782,880 1.31 383,452 Morgan Stanley A-2 February 18, 2021 CAD 564,225 USD 435,820 1.29 9,599 Royal Bank of Canada A-1+ January 21, 2021 CAD 13,284,253 USD 10,043,118 1.32 501,861 Royal Bank of Canada A-1+ February 18, 2021 CAD 563,943 USD 435,701 1.29 9,467 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 10,224,266 USD 7,925,787 1.29 138,281 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 244,954 USD 186,754 1.31 7,289 Total Foreign Currency Forward Contract(s) Value 3,240,199











NetExposure






NetExposure











2020 2019Brokerage commissions 284 133Soft dollar commissions† - -

Series A 2020 2019 103,551 122,392 30,151 14,172 2,770 - (66,099) (33,013) 70,373 103,551

Series E 2020 2019 6,721,032 4,865,181 3,454,201 3,196,063 277,803 - (3,467,491) (1,340,212) 6,985,545 6,721,032

Series E3 2020 2019 - 2,928,434 - 792,101 - - - (3,720,535) - -

Series E4 2020 2019 - 509,696 - 186,109 - - - (695,805) - -

Series E5 2020 2019 - 221,047 - 99,957 - - - (321,004) - -

Series F 2020 2019 1,331,531 461,048 1,194,306 1,139,098 71,744 - (908,232) (268,615) 1,689,349 1,331,531

Series F3 2020 2019 - 199,335 - 166,468 - - - (365,803) - -

Series F4 2020 2019 - 45,968 - 28,905 - - - (74,873) - -

Series F5 2020 2019 - 1,000 - 12,470 - - - (13,470) - -

Series I 2020 2019 4,211,044 3,903,541 2,429,559 1,118,933 216,131 - (2,267,034) (811,430) 4,589,700 4,211,044

Series OF 2020 2019 4,149 6,223 2,374 453 89 - (4,419) (2,527) 2,193 4,149

Series W 2020 2019 2,107,655 2,170,741 2,421,815 499,400 101,539 - (2,448,210) (562,486) 2,182,799 2,107,655






Annual management

fee rate:


fee rate:













Currency


Net Exposure

Net Assets



Currency


Net Exposure

Net Assets










(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 378,891 2,061 - 380,952 Foreign currency forward contract(s), net - 4,564 - 4,564 Total 378,891 6,625 - 385,516





as at December 31, 2019Categories Net Assets (%)Financials 22.6 Industrials 20.0 Consumer Discretionary 13.0 Health Care 12.2 Information Technology 10.4 Communication Services 5.5 Real Estate 5.4 Consumer Staples 3.6 Other Net Assets (Liabilities) 3.5 Materials 1.7 Foreign Currency Forward Contract(s) 1.1 Energy 1.0 Total 100.0










US Equity Value Pool



2020 2019

388,755 381,909 - - 12,593 9,625

3,294 4,599 - - - - - - - - 179 211 - - - - - - - - 395 455 405,216 396,799

- - - -

- - - - - - - - - - - 187 594 814 - - - - - - - - 594 1,001

404,622 395,798






CIG - 9610






units outstanding:

2020 2019 2020 2019 2020 2019Series A 3,944 5,342 16.45 15.68 239,798 340,626Series E 151,166 142,785 26.26 24.90 5,756,287 5,734,997Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 14,575 10,938 13.48 12.64 1,081,096 865,254Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 156,891 150,811 37.73 35.06 4,158,328 4,301,873Series OF 269 421 25.48 24.04 10,569 17,521Series W 77,777 85,501 46.54 43.26 1,671,244 1,976,529




2020 2019

6,370 8,908 47 352 - - - - - -

- - - -

23,348 32,219

15,754 49,697 45,519 91,176 (607) (381) - - 41 45 18 6 (548) (330) 44,971 90,846

2,846 2,738 449 433 85 74 1 1 - - - - - - 2 - 666 824 378 361 4,427 4,431 - -

40,544 86,415













2020 2019 2020 2019 2020 2019Series A 134 1,207 0.44 3.09 299,521 389,555Series E 10,653 25,188 1.79 4.95 5,970,160 5,097,713Series E3 - 2,999 - 1.48 - 2,027,378Series E4 - 438 - 1.46 - 299,413Series E5 - 276 - 1.52 - 182,475Series F 1,267 1,406 1.24 2.53 1,019,953 555,473Series F3 - 213 - 1.40 - 152,777Series F4 - 42 - 1.53 - 26,935Series F5 - 2 - 0.44 - 3,799Series I 15,278 32,524 3.46 7.47 4,414,195 4,351,515Series OF (6) 92 (0.43) 4.95 13,076 18,657Series W 13,218 22,028 6.44 9.88 2,052,544 2,230,432












Series A 2020 2019 5,342 5,404 134 1,207

- - - - - - - -

432 233 - - (1,964) (1,502) (1,532) (1,269) (1,398) (62) 3,944 5,342

Series E 2020 2019 142,785 92,195 10,653 25,188

- - - - - - - -

40,666 50,759 - - (42,938) (25,357) (2,272) 25,402 8,381 50,590 151,166 142,785

Series E3 2020 2019 - 19,137 - 2,999

- - - - - - - -

- 5,159 - - - (27,295) - (22,136) - (19,137) - -

Series E4 2020 2019 - 3,029 - 438

- - - - - - - -

- 1,111 - - - (4,578) - (3,467) - (3,029) - -

Series E5 2020 2019 - 1,583 - 276

- - - - - - - -

- 662 - - - (2,521) - (1,859) - (1,583) - -

Series F 2020 2019 10,938 3,308 1,267 1,406

- - - - - - - -

7,472 8,523 - - (5,102) (2,299) 2,370 6,224 3,637 7,630 14,575 10,938

Series F3 2020 2019 - 1,220 - 213

- - - - - - - -

- 1,207 - - - (2,640) - (1,433) - (1,220) - -

Series F4 2020 2019 - 195 - 42

- - - - - - - -

- 197 - - - (434) - (237) - (195) - -

Series F5 2020 2019 - 10 - 2

- - - - - - - -

- 165 - - - (177) - (12) - (10) - -

Series I 2020 2019 150,811 96,366 15,278 32,524

(402) - - - - - (402) -

50,516 107,616 402 - (59,714) (85,695) (8,796) 21,921 6,080 54,445 156,891 150,811

Series OF 2020 2019 421 389 (6) 92

- - - - - - - -

26 29 - - (172) (89) (146) (60) (152) 32 269 421

Series W 2020 2019 85,501 114,265 13,218 22,028

(128) - - - - - (128) -

89,363 20,514 128 - (110,305) (71,306) (20,814) (50,792) (7,724) (28,764) 77,777 85,501








Total Fund 2020 2019 395,798 337,101 40,544 86,415

(530) - - - - - (530) -

188,475 196,175 530 - (220,195) (223,893) (31,190) (27,718) 8,824 58,697 404,622 395,798




2020 2019

40,544 86,415

(23,348) (32,219) (114) 482 85 74

(15,754) (49,697) 257,013 183,213 (223,725) (174,586) - - - - - - 32 (50) - - - - - - - - - - 34,733 13,632

- - 175,017 111,904 (206,896) (138,929) (31,879) (27,025)

114 (482) 2,854 (13,393) 9,625 23,500 12,593 9,625

4,202 4,963 47 352 - - 2 - - -












Average Cost($)

Fair Value($)

% of Net Assets

INFORMATION TECHNOLOGY 19,383 Arista Networks Inc. 6,073,814 7,169,102 33,720 Aspen Technology Inc. 5,351,544 5,590,598 24,256 Broadcom Inc. 8,090,823 13,518,781 225,502 Dropbox Inc. 5,681,695 6,369,432 13,705 Lam Research Corp. 5,113,611 8,238,770 100,845 Micron Technology Inc. 5,705,823 9,650,497 105,647 Microsoft Corp. 9,786,561 29,910,524 22,611 Universal Display Corp. 4,647,523 6,613,979 22,889 Visa Inc., Class A 2,698,808 6,372,769 53,150,202 93,434,452 23.09 COMMUNICATION SERVICES 7,641 Alphabet Inc., Class C 9,929,696 17,039,135 54,190 Electronic Arts Inc. 6,944,351 9,905,276 51,632 Facebook Inc. 12,791,195 17,952,670 97,165 Liberty Media Corp. - Liberty SiriusXM 5,513,186 5,341,781 39,223 Nexstar Media Group Inc. 5,665,638 5,451,508 46,514 T-Mobile USA Inc. 6,994,772 7,984,131 47,838,838 63,674,501 15.74 HEALTH CARE 59,483 Agilent Technologies Inc. 5,869,820 8,971,552 25,868 Alexion Pharmaceuticals Inc. 4,032,953 5,144,558 87,701 Centene Corp. 5,998,876 6,701,405 25,027 Charles River Laboratories International Inc. 4,581,010 7,959,733 33,615 Danaher Corp. 2,585,427 9,505,017 57,100 Merck & Co., Inc. 6,131,309 5,945,418 11,952 Thermo Fisher Scientific Inc. 5,027,230 7,086,217 21,066 UnitedHealth Group Inc. 3,005,890 9,403,425 37,232,515 60,717,325 15.01 FINANCIALS 88,857 American International Group Inc. 4,673,050 4,282,183 196,854 Bank of America Corp. 6,322,708 7,594,920 135,827 Bank OZK 6,084,783 5,406,385 69,649 Citizens Financial Group Inc. 2,468,034 3,170,337 147,675 Equitable Holdings Inc. 3,959,558 4,810,279 109,293 KKR & Co., Inc. 3,734,254 5,632,914 70,279 MetLife Inc. 4,417,830 4,200,047 72,313 Morgan Stanley 4,028,846 6,307,977 23,749 Signature Bank 4,007,742 4,089,818 6,140 Texas Pacific Land Trust 5,812,635 5,681,929 52,999 Western Alliance Bancorp. 3,217,301 4,044,360 15,107 Willis Towers Watson PLC 2,882,962 4,051,301 51,609,703 59,272,450 14.65 CONSUMER DISCRETIONARY 30,635 CarMax Inc. 2,926,162 3,683,484 60,219 Dollar Tree Inc. 6,662,592 8,281,540 17,946 Home Depot Inc. 3,686,580 6,067,663 65,267 Restaurant Brands International Inc. (USD) 5,024,520 5,076,904 85,667 TJX Co., Inc. 3,053,267 7,446,697 35,246 VF Corp. 3,732,758 3,831,877 25,085,879 34,388,165 8.50





INDUSTRIALS 39,609 AMETEK Inc. 4,041,906 6,097,571 24,186 Jacobs Engineering Group Inc. 2,111,471 3,354,472 21,872 Middleby Corp. 3,390,766 3,589,234 20,996 Norfolk Southern Corp. 3,501,602 6,350,300 15,195 Northrop Grumman Corp. 6,706,348 5,893,790 32,738 XPO Logistics Inc. 2,918,075 4,967,312 22,670,168 30,252,679 7.48 CONSUMER STAPLES 42,833 Coca-Cola Co. 2,553,354 2,989,984 43,009 Lamb Weston Holdings Inc. 3,626,700 4,310,700 44,586 McCormick & Co., Inc. 4,564,448 5,425,620 68,352 Performance Food Group Co. 2,573,755 4,142,308 42,869 Walmart Inc. 7,255,473 7,865,947 20,573,730 24,734,559 6.11 MATERIALS 13,810 International Flavors & Fragrances Inc. 2,363,272 1,913,265 17,245 Linde PLC (USD) 3,953,243 5,784,333 10,726 Martin Marietta Materials Inc. 2,748,019 3,877,067 9,064,534 11,574,665 2.86 REAL ESTATE 34,950 Jones Lang LaSalle Inc. 6,170,729 6,600,643 1.63 UTILITIES 48,102 NextEra Energy Partners L.P. 4,053,698 4,105,395 1.01








Average Cost($)

Fair Value($)

% of Net Assets









Contract(s) Rate


Bank of Montreal A-1 January 21, 2021 CAD 12,537,341 USD 9,547,168 1.31 386,192 Bank of Montreal A-1 March 15, 2021 CAD 5,318,889 USD 4,134,194 1.29 57,916 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 17,539,585 USD 13,366,040 1.31 527,973 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 322,023 USD 248,846 1.29 5,341 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 3,379,462 USD 2,612,639 1.29 54,735 Citigroup Inc. A-2 January 21, 2021 CAD 15,121,701 USD 11,456,615 1.32 540,286 HSBC Holdings PLC A-2 March 15, 2021 CAD 5,404,171 USD 4,180,223 1.29 84,609 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 17,547,620 USD 13,366,051 1.31 535,992 Morgan Stanley A-2 January 21, 2021 CAD 15,030,449 USD 11,456,615 1.31 449,056 Royal Bank of Canada A-1+ January 21, 2021 CAD 15,557,031 USD 11,761,376 1.32 587,724 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 4,718,426 USD 3,657,695 1.29 63,816 Total Foreign Currency Forward Contract(s) Value 3,293,640











NetExposure






NetExposure











2020 2019Brokerage commissions 82 66Soft dollar commissions† - 33

Series A 2020 2019 340,626 427,584 33,924 16,636 - - (134,752) (103,594) 239,798 340,626

Series E 2020 2019 5,734,997 4,620,803 1,893,107 2,227,746 - - (1,871,817) (1,113,552) 5,756,287 5,734,997

Series E3 2020 2019 - 1,945,158 - 475,277 - - - (2,420,435) - -

Series E4 2020 2019 - 307,305 - 99,998 - - - (407,303) - -

Series E5 2020 2019 - 160,147 - 61,549 - - - (221,696) - -

Series F 2020 2019 865,254 330,138 658,084 736,864 - - (442,242) (201,748) 1,081,096 865,254

Series F3 2020 2019 - 121,764 - 107,366 - - - (229,130) - -

Series F4 2020 2019 - 19,455 - 17,746 - - - (37,201) - -

Series F5 2020 2019 - 1,000 - 14,135 - - - (15,135) - -

Series I 2020 2019 4,301,873 3,511,845 1,702,134 3,521,657 14,789 - (1,860,468) (2,731,629) 4,158,328 4,301,873

Series OF 2020 2019 17,521 20,271 1,288 1,330 - - (8,240) (4,080) 10,569 17,521

Series W 2020 2019 1,976,529 3,369,056 2,527,454 530,396 3,928 - (2,836,667) (1,922,923) 1,671,244 1,976,529









Contingent LiabilitiesThe Fund is subject to a claim in the amount of $14.5 million from creditors arising from proceeds received from the sale of an investment held by the Fund, in a subsequently bankrupt organization. While management currently believes that resolution of this claim will not have a material adverse impact on the Fund, these matters are subject to inherent uncertainties. The amount of the loss, if any,cannot be determined at this time.


Annual management

fee rate:


fee rate:









Currency


Net Exposure

Net Assets



Currency


Net Exposure

Net Assets















as at December 31, 2019Categories Net Assets (%)Information Technology 21.2 Financials 19.4 Health Care 13.8 Industrials 13.7 Consumer Discretionary 8.9 Communication Services 7.6 Consumer Staples 4.0 Materials 3.1 Other Net Assets (Liabilities) 2.3 Utilities 1.8 Energy 1.6 Real Estate 1.4 Foreign Currency Forward Contract(s) 1.2 Total 100.0










Emerging Markets Equity Pool



2020 2019

547,578 460,105 - - 9,316 13,307

807 419 - 1,478 - - - - - - 446 366 - - - - - - - 109 561 1,775 558,708 477,559

- - - -

655 612 - - - - - - - - 1,653 1,810 4,571 1,134 - - - - - - - - 6,879 3,556

551,829 474,003






CIG - 9621






units outstanding:





2020 2019

7,491 14,657 92 544 - - - - (4,365) -

- - - -

44,652 17,872

82,521 45,871 130,391 78,944 716 (1,601) - - 96 177 22 7 834 (1,417) 131,225 77,527

4,127 3,842 618 556 2,157 2,047 1 1 8 8 - - 26 26 4 2 852 1,094 552 508 8,345 8,084 - - 122,880 69,443













2020 2019 2020 2019 2020 2019Series A 387 369 2.77 1.87 139,895 197,050Series E 48,755 25,871 3.95 2.39 12,322,487 10,795,651Series E3 - 2,017 - 0.58 - 3,483,120Series E4 - 347 - 0.59 - 579,709Series E5 - 189 - 0.63 - 300,820Series F 5,260 1,785 3.28 1.95 1,604,707 921,455Series F3 - 130 - 0.46 - 285,151Series F4 - 32 - 0.59 - 53,334Series F5 - (4) - (0.79) - 5,678Series I 48,299 27,190 6.71 3.84 7,191,858 7,080,050Series OF 18 16 3.22 2.14 5,684 7,379Series W 20,161 11,501 8.06 4.65 2,498,846 2,476,864












Series A 2020 2019 2,476 2,623 387 369

- - - - - - - -

225 186 - - (1,312) (702) (1,087) (516) (700) (147) 1,776 2,476

Series E 2020 2019 205,851 135,166 48,755 25,871

- - - - - - - -

59,135 82,861 - - (82,725) (38,047) (23,590) 44,814 25,165 70,685 231,016 205,851

Series E3 2020 2019 - 33,678 - 2,017

- - - - - - - -

- 8,521 - - - (44,216) - (35,695) - (33,678) - -

Series E4 2020 2019 - 5,898 - 347

- - - - - - - -

- 1,885 - - - (8,130) - (6,245) - (5,898) - -

Series E5 2020 2019 - 2,724 - 189

- - - - - - - -

- 1,062 - - - (3,975) - (2,913) - (2,724) - -

Series F 2020 2019 17,624 5,440 5,260 1,785

- - - - - - - -

11,159 13,802 - - (9,442) (3,403) 1,717 10,399 6,977 12,184 24,601 17,624

Series F3 2020 2019 - 2,402 - 130

- - - - - - - -

- 2,000 - - - (4,532) - (2,532) - (2,402) - -

Series F4 2020 2019 - 508 - 32

- - - - - - - -

- 325 - - - (865) - (540) - (508) - -

Series F5 2020 2019 - 10 - (4)

- - - - - - - -

- 157 - - - (163) - (6) - (10) - -

Series I 2020 2019 173,849 142,357 48,299 27,190

(851) - - - - - (851) -

65,952 39,503 850 - (78,148) (35,201) (11,346) 4,302 36,102 31,492 209,951 173,849

Series OF 2020 2019 94 112 18 16

- - - - - - - -

35 10 - - (81) (44) (46) (34) (28) (18) 66 94

Series W 2020 2019 74,109 64,266 20,161 11,501

(225) - - - - - (225) -

41,000 15,744 224 - (50,850) (17,402) (9,626) (1,658) 10,310 9,843 84,419 74,109








Total Fund 2020 2019 474,003 395,184 122,880 69,443

(1,076) - - - - - (1,076) -

177,506 166,056 1,074 - (222,558) (156,680) (43,978) 9,376 77,826 78,819 551,829 474,003




2020 2019

122,880 69,443

(44,652) (17,872) (85) 576 2,157 2,047

(82,521) (45,871) 533,847 476,476 (495,219) (513,679) - - - - - - (80) 10 - - - - - - - - - - 36,327 (28,870)

(2) - 162,382 81,192 (202,783) (72,247) (40,403) 8,945

85 (576) (4,076) (19,925) 13,307 33,808 9,316 13,307

6,268 9,078 92 544 - - 4 2 - -












Average Cost($)

Fair Value($)

% of Net Assets

CAYMAN ISLANDS 370,287 Alibaba Group Holding Ltd. 11,322,979 14,141,724 24,891 Alibaba Group Holding Ltd., ADR 4,603,346 7,373,738 619,080 Anta Sports Products Ltd. 4,645,544 12,492,600 10,657,205 Bosideng International Holdings Ltd. 6,042,416 6,911,855 736,300 China Resources Mixc Lifestyle Services Ltd. 2,754,476 4,346,182 122,940 GDS Holdings Ltd., ADR 4,987,640 14,653,711 778,110 Hansoh Pharmaceutical Group Co., Ltd. 4,338,931 4,803,779 2,846,974 HKBN Ltd. 5,925,014 5,609,433 82,661 Huazhu Group Ltd., ADR 4,452,557 4,738,006 96,612 JD.com Inc., ADR 5,661,473 10,809,683 59,904 Kingsoft Cloud Holdings Ltd., ADR 2,432,213 3,320,756 5,882,150 KWG Living Group Holdings Ltd. 5,820,781 6,084,583 168,574 Meituan Dianping 2,911,237 8,154,128 38,187 Sea Ltd., ADR 5,568,320 9,675,440 108,244 Shenzhou International Group Holdings Ltd. 2,339,749 2,701,479 1,166,474 Sunac China Holdings Ltd. 8,431,154 5,487,239 307,553 Tencent Holdings Ltd. 20,404,651 28,480,870 102,642,481 149,785,206 27.17 CHINA 236,984 Aier Eye Hospital Group Co., Ltd. 918,131 3,454,399 5,188,495 Air China Ltd. 5,244,501 5,196,673 134,079 BYD Co., Ltd., Shares H 974,711 4,473,409 831,215 China Merchants Bank Co., Ltd., Shares H 5,284,854 6,687,498 680,710 Inner Mongolia Yili Industrial Group Co., Ltd. 5,427,467 5,878,686 218,267 Jiangsu Hengrui Medicine Co., Ltd. 2,118,133 4,735,173 11,526 Kweichow Moutai Co., Ltd. 1,843,385 4,482,320 558,254 Media Group Co., Ltd. 6,346,601 10,696,265 908,649 Ping An Insurance (Group) Co. of China Ltd., Shares H 11,028,017 14,173,397 2,254,001 Sany Heavy Industry Co., Ltd. 8,928,789 15,346,263 48,114,589 75,124,083 13.61 SOUTH KOREA 80,108 Doosan Bobcat Inc. 2,069,547 2,783,196 11,961 LG Chem Ltd. 9,971,132 11,548,828 381,018 Samsung Electronics Co., Ltd. 19,384,610 36,163,773 35,080 SK Hynix Inc. 4,060,283 4,871,034 35,485,572 55,366,831 10.03 TAIWAN 284,687 MediaTek Inc. 4,600,219 9,633,982 185,113 Poya International Co., Ltd. 4,227,833 4,830,332 237,089 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 14,490,179 32,907,148 312,441 Unimicron Technology Corp. 1,198,666 1,237,078 364,143 Universal Vision Biotechnology Co., Ltd. 4,220,166 3,942,643 28,737,063 52,551,183 9.52 INDIA 2,042,800 Embassy Office Parks REIT 11,976,199 12,255,097 103,481 Housing Development Finance Corp., Ltd. 3,258,731 4,614,518 637,528 ICICI Bank Ltd. 3,620,643 5,944,953 175,313 Larsen & Toubro Ltd. 3,497,635 3,934,141 240,278 Shriram Transport Finance Co., Ltd. 4,474,284 4,382,360 1,253,838 Tata Motors Ltd. 2,839,059 4,017,537 29,666,551 35,148,606 6.37





BRAZIL 119,769 Azul S.A., ADR 2,684,547 3,478,989 946,249 Banco Bradesco S.A., Preferred 7,711,436 6,293,455 521,858 Banco do Brasil S.A. 5,954,817 4,962,013 340,633 CPFL Energia S.A. 2,854,060 2,717,137 718,048 Petroleo Brasileiro S.A., ADR 7,889,716 10,264,227 216,067 Rede D’Or Sao Luiz S.A. 3,104,351 3,616,454 416,494 Rumo S.A. 2,409,490 1,963,757 32,608,417 33,296,032 6.03 HONG KONG 620,522 AIA Group Ltd. 7,075,239 9,679,100 4,179,491 Guangdong Investment Ltd. 9,483,389 9,579,945 59,565 Hong Kong Exchanges and Clearing Ltd. 3,056,392 4,156,562 19,615,020 23,415,607 4.24 MEXICO 4,216,601 Cemex S.A.B. de C.V. 2,680,357 2,770,025 585,225 Fomento Económico Mexicano, S.A.B. de C.V. 5,286,964 5,627,923 614,397 Infraestructura Energetica Nova S.A.B. de C.V. 2,559,550 3,048,552 1,467,449 Walmart de Mexico S.A.B. de C.V. 5,052,374 5,254,684 15,579,245 16,701,184 3.03 CZECH REPUBLIC 161,259 Komercni Banka AS 5,690,556 6,279,117 1,959,121 Moneta Money Bank AS 7,618,562 7,895,496 13,309,118 14,174,613 2.57 THAILAND 6,465,980 PTT PCL 11,080,901 11,675,471 2.12 SOUTH AFRICA 306,519 Absa Group Ltd. 2,627,693 3,184,612 28,961 Naspers Ltd. 8,089,344 7,579,696 10,717,037 10,764,308 1.95 INDONESIA 8,732,720 Bank Mandiri Persero Tbk PT 4,803,914 5,004,109 13,236,723 PT Bank Rakyat Indonesia Persero Tbk PT 4,039,225 5,000,728 8,843,139 10,004,837 1.81 U.S.A. 4,539 MercadoLibre Inc. 5,134,793 9,678,878 1.75 GERMANY 45,638 Delivery Hero AG 2,315,304 9,013,056 1.63 PANAMA 158,743 Intercorp Financial Services Inc. 7,309,698 6,536,750 1.18 BERMUDA 2,647,376 Brilliance China Automotive Holdings Ltd. 3,359,643 3,068,842 32,900 Bunge Ltd. 2,671,123 2,746,378 6,030,766 5,815,220 1.05 RUSSIA 289,972 Sberbank of Russia, ADR (London) 5,019,998 5,359,394 0.97


Average Cost($)

Fair Value($)

% of Net Assets






Average Cost($)

Fair Value($)

% of Net Assets

PORTUGAL 375,321 Galp Energia SGPS S.A. 5,486,897 5,109,179 0.93 U.K. 750,566 Network International Holdings PLC 3,505,628 4,267,000 0.77 CHILE 60,249 Sociedad Quimica y Minera de Chile S.A., ADR 2,515,090 3,764,748 0.68 HUNGARY 64,276 OTP Bank PLC 3,420,082 3,682,250 0.67 CANADA 292,218 Lundin Mining Corp. 2,401,205 3,302,063 0.60 SINGAPORE 157,905 Great Eastern Holdings Ltd. 3,312,900 3,041,724 0.55



Foreign Currency Forward Contract(s) (see Schedule A) 151,795 0.03












Contract(s) Rate


Bank of Montreal A-1 January 21, 2021 USD 1,391,000 CAD 1,815,932 0.77 (45,541)Bank of Montreal A-1 January 21, 2021 CAD 130,594 USD 98,532 1.33 5,188 Bank of Montreal A-1 January 21, 2021 CAD 1,734,437 USD 1,320,772 1.31 53,426 Bank of Montreal A-1 March 10, 2021 GBP 452,000 USD 603,050 0.75 19,468 Canadian Imperial Bank of Commerce A-1 February 18, 2021 USD 855,000 CAD 1,121,837 0.76 (33,753)Canadian Imperial Bank of Commerce A-1 January 21, 2021 USD 2,194,000 CAD 2,882,280 0.76 (89,868)Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 1,112,325 USD 846,934 1.31 34,506 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 1,157,693 USD 885,000 1.31 31,433 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 2,426,456 USD 1,849,081 1.31 73,041 Citigroup Inc. A-2 March 10, 2021 USD 166,196 GBP 124,415 1.34 (5,099)Citigroup Inc. A-2 February 18, 2021 CAD 1,473,347 USD 1,129,400 1.30 36,063 Citigroup Inc. A-2 January 21, 2021 CAD 2,091,962 USD 1,584,928 1.32 74,744 HSBC Holdings PLC A-1 March 10, 2021 USD 145,858 GBP 109,195 1.34 (4,484)HSBC Holdings PLC A-1 January 21, 2021 USD 1,094,000 CAD 1,453,680 0.75 (61,288)HSBC Holdings PLC A-1 February 18, 2021 CAD 1,082,604 USD 829,000 1.31 27,610 HSBC Holdings PLC A-1 January 21, 2021 CAD 2,827,072 USD 2,168,000 1.30 67,757 HSBC Holdings PLC A-1 January 21, 2021 CAD 307,060 USD 231,839 1.32 11,987 HSBC Holdings PLC A-1 February 18, 2021 CAD 927,076 USD 705,778 1.31 28,893 JPMorgan Chase & Co. A-2 March 10, 2021 USD 291,735 GBP 218,390 1.34 (8,944)JPMorgan Chase & Co. A-2 January 21, 2021 CAD 2,427,568 USD 1,849,082 1.31 74,150 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 942,099 USD 726,533 1.30 17,510 Morgan Stanley A-2 February 18, 2021 CAD 1,279,385 USD 988,225 1.29 21,766 Morgan Stanley A-2 January 21, 2021 CAD 2,079,338 USD 1,584,928 1.31 62,123 Morgan Stanley A-2 January 21, 2021 CAD 230,408 USD 173,879 1.33 9,103 Royal Bank of Canada A-1+ January 21, 2021 USD 7,914,878 CAD 10,280,636 0.77 (207,007)Royal Bank of Canada A-1+ February 18, 2021 USD 7,607,292 CAD 9,880,427 0.77 (199,338)Royal Bank of Canada A-1+ February 18, 2021 CAD 1,229,813 USD 940,000 1.31 33,559 Royal Bank of Canada A-1+ February 18, 2021 CAD 1,278,744 USD 987,956 1.29 21,467 Royal Bank of Canada A-1+ January 21, 2021 CAD 2,152,186 USD 1,627,089 1.32 81,307 Royal Bank of Canada A-1+ January 21, 2021 CAD 69,818 USD 52,717 1.32 2,722 Royal Bank of Canada A-1+ January 21, 2021 CAD 70,265 USD 53,033 1.32 2,767 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 555,436 USD 423,467 1.31 16,527 Total Foreign Currency Forward Contract(s) Value 151,795











NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 807 (391) - 416Derivative assets - Swaps and swaptions - - - -Total 807 (391) - 416Derivative liabilities - Foreign currency forward contracts (655) 391 - (264)Derivative liabilities - Swaps and swaptions - - - -Total (655) 391 - (264)





NetExposure








Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) - - - - - -





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)Xtrackers Harvest CSI 300 China A-Shares ETF 2,479,170 7,142 0.3SPDR Gold Trust 56,588,989 6,605 -










2020 2019Brokerage commissions 1,996 1,913Soft dollar commissions† 622 489

Series A 2020 2019 175,788 214,595 16,937 14,107 - - (91,309) (52,914) 101,416 175,788

Series E 2020 2019 12,646,132 9,624,886 3,744,431 5,517,055 - - (5,040,058) (2,495,809) 11,350,505 12,646,132

Series E3 2020 2019 - 3,346,419 - 784,654 - - - (4,131,073) - -

Series E4 2020 2019 - 585,255 - 172,636 - - - (757,891) - -

Series E5 2020 2019 - 269,736 - 97,919 - - - (367,655) - -

Series F 2020 2019 1,468,589 531,262 928,291 1,241,788 - - (775,499) (304,461) 1,621,381 1,468,589

Series F3 2020 2019 - 234,247 - 178,993 - - - (413,240) - -

Series F4 2020 2019 - 49,519 - 29,119 - - - (78,638) - -

Series F5 2020 2019 - 1,000 - 13,827 - - - (14,827) - -

Series I 2020 2019 7,148,651 6,947,403 2,769,557 1,755,425 32,890 - (3,177,656) (1,554,177) 6,773,442 7,148,651

Series OF 2020 2019 6,684 9,254 2,866 787 - - (5,793) (3,357) 3,757 6,684

Series W 2020 2019 2,552,517 2,622,104 1,506,395 587,022 7,409 - (1,784,672) (656,609) 2,281,649 2,552,517






Annual management

fee rate:


fee rate:











Other Price RiskAs at December 31, 2020 and 2019, the Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world.




Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)Hong Kong Dollar 154,815 - 154,815 28.1 U.S. Dollar 129,529 - 129,529 23.5 Korean Won 55,367 - 55,367 10.0 Chinese Renminbi 44,593 - 44,593 8.1 Indian Rupee 35,581 - 35,581 6.4 Taiwan Dollar 22,950 - 22,950 4.2 Brazilian Real 19,669 - 19,669 3.6 Mexican Peso 16,701 - 16,701 3.0 Czech Koruna 14,175 - 14,175 2.6 Euro 14,122 - 14,122 2.6 Thai Baht 11,675 - 11,675 2.1 South Africa Rand 10,764 - 10,764 2.0 Indonesian Rupiah 10,005 - 10,005 1.8 British Pound 4,267 - 4,267 0.8 Hungarian Forint 3,682 - 3,682 0.7 Singapore Dollar 3,042 - 3,042 0.6 Total 550,937 - 550,937 100.1


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 105,474 61,436 166,910 35.2 Hong Kong Dollar 116,572 (72,635) 43,937 9.3 Indian Rupee 41,303 - 41,303 8.7 Chinese Renminbi 40,128 - 40,128 8.5 Brazilian Real 32,034 - 32,034 6.8 Korean Won 29,900 - 29,900 6.3 Mexican Peso 13,544 - 13,544 2.9 Indonesian Rupiah 12,930 - 12,930 2.7 British Pound 12,005 - 12,005 2.5 Taiwan Dollar 11,338 - 11,338 2.4 Czech Koruna 9,832 - 9,832 2.1 Euro 6,850 - 6,850 1.4 Hungarian Forint 6,710 - 6,710 1.4 South Africa Rand 6,204 - 6,204 1.3 Philippine Peso 3,380 - 3,380 0.7 Russian Rouble 3,370 - 3,370 0.7 Thai Baht 3,055 - 3,055 0.6 Singapore Dollar 2,988 - 2,988 0.6 Total 457,617 (11,199) 446,418 94.1





as at December 31, 2019Categories Net Assets (%)Cayman Islands 23.9 China 13.3 India 8.7 Brazil 7.9 South Korea 6.3 Taiwan 6.1 Hong Kong 4.4 Exchange-Traded Fund(s) 2.9 Russia 2.9 Mexico 2.9 Indonesia 2.7 Other Net Assets (Liabilities) 2.6 U.K. 2.5 Czech Republic 2.1 Canada 1.6 Panama 1.5 Germany 1.4 Hungary 1.4 South Africa 1.3 Thailand 0.9 Philippines 0.7 Singapore 0.6 Bermuda 0.6 Cyprus 0.5 Option Contract(s) 0.3 Foreign Currency Forward Contract(s) 0.0 Total 100.0


as at December 31, 2020 Credit Rating^* Net Assets (%)AA/Aa/A+ 0.1Not Rated 1.1Total 1.2

as at December 31, 2019 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 0.3AA/Aa/A+ 0.1Not Rated 2.1Total 2.5








Currency Risk (cont’d)As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $55,094,000 (December 31, 2019 - $44,642,000). In practice, the actual results may differ from this analysis and the difference may be material.





(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 535,903 11,675 - 547,578 Foreign currency forward contract(s), net - 152 - 152 Total 535,903 11,827 - 547,730


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 373,527 72,831 - 446,358 Exchange-Traded Fund(s) 13,747 - - 13,747 Foreign currency forward contract(s), net - (193) - (193)Option contract(s) 1,478 - - 1,478 Total 388,752 72,638 - 461,390



Global Equity Allocation Pool



2020 2019

745,770 687,313 - - 4,572 21,096

2,129 287 - - - - 217 225 - - 320 607 - - - - - - - - 2,150 2,093 755,158 711,621

- - - -

768 305 - - - - - - - - - - 1,157 1,915 2 - - - - - - - 1,927 2,220

753,231 709,401






CIG - 9683






units outstanding:

2020 2019 2020 2019 2020 2019Series A 1,338 2,147 10.57 11.09 126,581 193,607Series E 268,982 262,282 10.67 11.17 25,198,747 23,487,132Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series ET8 423 530 8.86 10.14 47,756 52,216Series E3T8 - - - - - -Series E4T8 - - - - - -Series E5T8 - - - - - -Series F 43,637 34,469 10.87 11.32 4,012,712 3,045,976Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series FT8 273 277 9.05 10.29 30,215 26,956Series F3T8 - - - - - -Series F4T8 - - - - - -Series F5T8 - - - - - -Series I 419,824 391,467 11.05 11.45 37,985,077 34,197,553Series IT8 5,071 4,423 9.19 10.40 551,759 425,157Series OF 258 328 10.75 11.23 23,939 29,251Series W 13,424 13,468 11.02 11.42 1,218,136 1,178,759Series WT8 1 10 9.12 10.34 123 1,008




2020 2019

12,418 9,245 240 569 - - 5,484 - - -

- - - -

16,072 31,560

(29,807) 65,633 4,407 107,007 (4,159) (1,232) - - 410 225 2,291 2,317 (1,458) 1,310 2,949 108,317

4,487 4,297 671 613 1,030 223 1 1 - - - - - - 10 6 791 403 598 558 7,588 6,101 - -

(4,639) 102,216













2020 2019 2020 2019 2020 2019Series A (95) 340 (0.62) 1.51 155,149 223,813Series E (5,050) 31,458 (0.21) 1.55 24,140,412 20,199,974Series E3 - 3,802 - 0.92 - 4,154,872Series E4 - 723 - 0.95 - 765,753Series E5 - 471 - 0.94 - 500,674Series ET8 (11) 64 (0.24) 1.50 46,427 42,533Series E3T8 - 12 - 1.02 - 12,529Series E4T8 - 2 - 0.94 - 3,340Series E5T8 - 1 - 0.93 - 745Series F (11) 2,867 - 1.59 3,537,153 1,796,395Series F3 - 571 - 0.89 - 635,511Series F4 - 173 - 0.92 - 189,410Series F5 - (1) - (0.07) - 8,091Series FT8 (6) 32 (0.27) 1.57 24,714 19,684Series F3T8 - 4 - 0.47 - 7,301Series F4T8 - 1 - 1.49 - 878Series F5T8 - 1 - 1.00 - 745Series I 641 59,061 0.02 1.78 35,675,011 33,200,478Series IT8 (46) 607 (0.09) 1.68 474,852 362,002Series OF (8) 52 (0.35) 1.70 25,395 30,911Series W (56) 1,975 (0.05) 1.77 1,243,576 1,112,156Series WT8 3 - 1.11 1.66 2,619 310












Series A 2020 2019 2,147 2,322 (95) 340

(2) - (26) - - - (28) -

143 203 28 - (857) (718) (686) (515) (809) (175) 1,338 2,147

Series E 2020 2019 262,282 167,561 (5,050) 31,458

(596) - (5,568) - - - (6,164) -

78,787 111,643 6,163 - (67,036) (48,380) 17,914 63,263 6,700 94,721 268,982 262,282

Series E3 2020 2019 - 36,448 - 3,802

- - - - - - - -

- 12,453 - - - (52,703) - (40,250) - (36,448) - -

Series E4 2020 2019 - 7,360 - 723

- - - - - - - -

- 3,042 - - - (11,125) - (8,083) - (7,360) - -

Series E5 2020 2019 - 4,315 - 471

- - - - - - - -

- 1,514 - - - (6,300) - (4,786) - (4,315) - -

Series ET8 2020 2019 530 380 (11) 64

(1) - (9) - (38) (32) (48) (32)

110 273 21 7 (179) (162) (48) 118 (107) 150 423 530

Series E3T8 2020 2019 - 127 - 12

- - - - - (5) - (5)

- 3 - 1 - (138) - (134) - (127) - -

Series E4T8 2020 2019 - 31 - 2

- - - - - (1) - (1)

- - - 1 - (33) - (32) - (31) - -

Series E5T8 2020 2019 - 7 - 1

- - - - - - - -

- - - - - (8) - (8) - (7) - -

Series F 2020 2019 34,469 8,727 (11) 2,867

(161) - (1,050) - - - (1,211) -

21,286 28,758 1,209 - (12,105) (5,883) 10,390 22,875 9,168 25,742 43,637 34,469

Series F3 2020 2019 - 4,857 - 571

- - - - - - - -

- 3,786 - - - (9,214) - (5,428) - (4,857) - -

Series F4 2020 2019 - 1,418 - 173

- - - - - - - -

- 1,139 - - - (2,730) - (1,591) - (1,418) - -












Series F5 2020 2019 - 7 - (1)

- - - - - - - -

- 409 - - - (415) - (6) - (7) - -

Series FT8 2020 2019 277 138 (6) 32

(1) - (7) - (20) (15) (28) (15)

110 150 14 6 (94) (34) 30 122 (4) 139 273 277

Series F3T8 2020 2019 - 7 - 4

- - - - - (4) - (4)

- 90 - 1 - (98) - (7) - (7) - -

Series F4T8 2020 2019 - 7 - 1

- - - - - - - -

- 57 - - - (65) - (8) - (7) - -

Series F5T8 2020 2019 - 7 - 1

- - - - - - - -

- - - - - (8) - (8) - (7) - -

Series I 2020 2019 391,467 293,013 641 59,061

(2,295) - (11,602) - - - (13,897) -

130,743 104,463 13,893 - (103,023) (65,070) 41,613 39,393 28,357 98,454 419,824 391,467

Series IT8 2020 2019 4,423 2,810 (46) 607

(28) - (143) - (402) (277) (573) (277)

2,159 1,874 342 92 (1,234) (683) 1,267 1,283 648 1,613 5,071 4,423

Series OF 2020 2019 328 340 (8) 52

(1) - (6) - - - (7) -

18 44 7 - (80) (108) (55) (64) (70) (12) 258 328

Series W 2020 2019 13,468 9,587 (56) 1,975

(76) - (369) - - - (445) -

13,816 7,141 445 - (13,804) (5,235) 457 1,906 (44) 3,881 13,424 13,468

Series WT8 2020 2019 10 - 3 -

- - - - (2) - (2) -

29 10 1 - (40) - (10) 10 (9) 10 1 10

Total Fund 2020 2019 709,401 539,469 (4,639) 102,216

(3,161) - (18,780) - (462) (334) (22,403) (334)

247,201 277,052 22,123 108 (198,452) (209,110) 70,872 68,050 43,830 169,932 753,231 709,401






2020 2019

(4,639) 102,216

(16,072) (31,560) (123) 155 1,030 223

29,807 (65,633) 1,773,306 714,165 (1,842,423) (820,571) (5,484) - - - - - 287 - - - - - - (806) - (111) 8 (70) (64,303) (101,992)

(278) (226) 216,158 154,975 (168,224) (86,916) 47,656 67,833

123 (155) (16,647) (34,159) 21,096 55,410 4,572 21,096

11,962 8,848 240 569 - - 10 6 - -










Average Cost($)

Fair Value($)

% of Net Assets

EXCHANGE-TRADED FUND(S) 9,280,000 CI First Asset Energy Giants Covered Call ETF (CAD-Hedged) 36,017,495 35,356,800 7,240,000 CI First Asset Gold+ Giants Covered Call ETF (Common Units) 102,488,677 94,916,400 10,154,461 CI First Asset Health Care Giants Covered Call ETF (Common Units) 94,975,021 107,891,148 135,000 CI First Asset Long Duration Fixed Income ETF (Common Units) 3,005,100 3,040,200 570,845 CI First Asset Morningstar International Value Index ETF (Common Units) 12,974,429 12,136,165 2,237,000 CI First Asset Morningstar International Value Index ETF (Unhedged Common Units) 56,495,804 52,446,465 1,086,716 CI First Asset MSCI World Low Risk Weighted ETF (Unhedged Common Units) 36,315,597 35,883,362 430,000 CI Munro Alternative Global Growth ETF (Common Units) 11,281,230 11,438,000 480,000 CI WisdomTree U.S. Quality Dividend Growth Index ETF (Non-Hedged Units) 14,999,243 15,561,600 524,300 iShares Core MSCI Europe ETF 30,708,680 34,223,220 800,000 iShares MSCI United Kingdom ETF 29,015,876 29,826,504 284,420 iShares MSCI World ETF 37,928,406 40,696,595 196,000 iShares Russell 1000 Value ETF 32,182,466 34,112,448 118,815 iShares Russell 2000 ETF 28,762,081 29,651,951 1,300,000 iShares S&P/TSX Capped Energy Index ETF 7,804,652 7,631,000 1,874,742 VanEck Vectors Gold Miners ETF 94,082,094 85,956,399 335,750 Vanguard Real Estate ETF 36,815,829 36,296,951 665,852,680 667,065,208 88.56 CANADA 457,330 Canadian Natural Resources Ltd. 10,873,265 13,989,725 937,893 Cenovus Energy Inc. 4,919,858 7,268,671 202,728 Imperial Oil Ltd. 3,835,658 4,897,908 649,932 Suncor Energy Inc. 11,319,344 13,876,048 229,178 Tourmaline Oil Corp. 3,705,872 3,932,694 34,653,997 43,965,046 5.84 U.S.A. 1,216 Alphabet Inc., Class C 2,352,338 2,711,633 849 Amazon.com Inc. 3,341,313 3,519,728 35,223 Apple Inc. 5,038,527 5,949,186 4,734 Facebook Inc. 1,585,499 1,646,032 67,192 HarbourVest Adelaide Feeder G L.P. 6,953,664 7,394,587 14,448 Microsoft Corp. 3,850,911 4,090,483 23,122,252 25,311,649 3.36 FUND(S) 82,792 Signature Global Technology Corporate Class (I Shares) 8,044,707 9,427,661 1.25















Contract(s) Rate


Canadian Imperial Bank of Commerce A-1 February 18, 2021 USD 32,000,000 CAD 41,410,176 0.77 (686,838)Canadian Imperial Bank of Commerce A-1 March 10, 2021 GBP 5,252,823 USD 7,000,000 0.75 236,688 Citigroup Inc. A-2 March 10, 2021 EUR 12,638,659 USD 15,042,797 0.84 534,717 Citigroup Inc. A-2 March 10, 2021 JPY 2,676,530,000 USD 25,618,621 104.48 413,211 Citigroup Inc. A-2 March 10, 2021 JPY 731,332,000 USD 7,000,000 104.48 112,909 JPMorgan Chase & Co. A-2 March 10, 2021 GBP 7,442,137 USD 9,954,305 0.75 288,540 Morgan Stanley A-2 March 10, 2021 EUR 11,567,380 USD 14,108,602 0.82 55,686 Royal Bank of Canada A-1+ March 9, 2021 JPY 533,406,300 CAD 6,660,420 80.09 (81,070)Royal Bank of Canada A-1+ March 10, 2021 GBP 10,000,000 USD 13,408,750 0.75 345,531 Royal Bank of Canada A-1+ March 10, 2021 GBP 4,500,787 USD 6,045,642 0.74 141,967 Total Foreign Currency Forward Contract(s) Value 1,361,341











NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 2,129 (318) - 1,811Derivative assets - Swaps and swaptions - - - -Total 2,129 (318) - 1,811Derivative liabilities - Foreign currency forward contracts (768) 318 - (450)Derivative liabilities - Swaps and swaptions - - - -Total (768) 318 - (450)





NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 287 - - 287Derivative assets - Swaps and swaptions - - - -Total 287 - - 287Derivative liabilities - Foreign currency forward contracts (305) - - (305)Derivative liabilities - Swaps and swaptions - - - -Total (305) - - (305)











Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)CI First Asset Health Care Giants Covered Call ETF 183,697 107,891 58.7CI First Asset MSCI World Low Risk Weighted ETF 115,747 35,883 31.0CI First Asset Gold+ Giants Covered Call ETF 452,110 94,916 21.0CI First Asset Long Duration Fixed Income ETF 14,859 3,040 20.5CI First Asset Morningstar International Value Index ETF 478,259 64,583 13.5CI First Asset Energy Giants Covered Call ETF 300,720 35,357 11.8CI Munro Alternative Global Growth ETF 185,334 11,438 6.2CI WisdomTree U.S. Quality Dividend Growth Index ETF 280,218 15,562 5.6iShares MSCI World ETF 1,459,480 40,697 2.8Signature Global Technology Corporate Class 928,611 9,428 1.0iShares S&P/TSX Capped Energy Index ETF 900,458 7,631 0.8iShares MSCI United Kingdom ETF 4,628,125 29,827 0.6iShares Core MSCI Europe ETF 6,343,839 34,223 0.5VanEck Vectors Gold Miners ETF 26,856,381 85,956 0.3Vanguard Real Estate ETF 50,388,822 36,297 0.1iShares Russell 1000 Value ETF 71,315,733 34,112 -iShares Russell 2000 ETF 94,787,151 29,652 -





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)CI First Asset Health Care Giants Covered Call ETF 199,620 108,911 54.6CI First Asset Gold+ Giants Covered Call ETF 54,991 21,411 38.9CI First Asset MSCI World Low Risk Weighted ETF 432,852 84,187 19.4CI First Asset Morningstar International Value Index ETF 508,635 61,389 12.1CI First Asset Tech Giants Covered Call ETF 322,720 34,675 10.7iShares MSCI World ETF 1,218,807 83,895 6.9CI First Asset Morningstar Canada Momentum Index ETF 897,877 48,975 5.5iShares S&P/TSX 60 Index ETF 8,782,416 76,169 0.9iShares Core S&P/TSX Capped Composite Index ETF 6,082,546 50,971 0.8SPDR Gold MiniShares Trust 1,466,922 11,775 0.8iShares MSCI Japan ETF 18,431,619 34,284 0.2SPDR S&P 500 ETF Trust 404,960,751 56,122 -SPDR Gold Trust 56,588,989 14,549 -











Series A 2020 2019 193,607 242,214 14,417 19,382 2,673 - (84,116) (67,989) 126,581 193,607

Series E 2020 2019 23,487,132 17,458,490 7,628,705 10,605,667 580,048 - (6,497,138) (4,577,025) 25,198,747 23,487,132

Series E3 2020 2019 - 3,797,399 - 1,204,195 - - - (5,001,594) - -

Series E4 2020 2019 - 766,681 - 290,999 - - - (1,057,680) - -

Series E5 2020 2019 - 449,361 - 146,726 - - - (596,087) - -

Series ET8 2020 2019 52,216 40,419 12,406 27,394 2,373 654 (19,239) (16,251) 47,756 52,216

Series E3T8 2020 2019 - 13,505 - 306 - 131 - (13,942) - -

Series E4T8 2020 2019 - 3,314 - - - 56 - (3,370) - -

Series E5T8 2020 2019 - 730 - - - 33 - (763) - -

Series F 2020 2019 3,045,976 907,233 2,014,195 2,695,583 112,178 - (1,159,637) (556,840) 4,012,712 3,045,976

Series F3 2020 2019 - 504,992 - 362,585 - - - (867,577) - -

Series F4 2020 2019 - 147,362 - 109,406 - - - (256,768) - -


2020 2019Brokerage commissions 1,024 217Soft dollar commissions† 229 109

Series F5 2020 2019 - 715 - 38,167 - - - (38,882) - -

Series FT8 2020 2019 26,956 14,659 11,922 15,012 1,582 635 (10,245) (3,350) 30,215 26,956

Series F3T8 2020 2019 - 730 - 8,983 - 130 - (9,843) - -

Series F4T8 2020 2019 - 730 - 5,718 - 33 - (6,481) - -

Series F5T8 2020 2019 - 730 - - - 33 - (763) - -

Series I 2020 2019 34,197,553 30,409,316 12,232,323 9,834,181 1,273,179 - (9,717,978) (6,045,944) 37,985,077 34,197,553

Series IT8 2020 2019 425,157 297,948 229,396 186,117 36,824 9,089 (139,618) (67,997) 551,759 425,157

Series OF 2020 2019 29,251 35,361 1,804 4,259 613 - (7,729) (10,369) 23,939 29,251



Redeemable Unit Transactions (Note 4) (cont’d)for the years ended December 31




Series W 2020 2019 1,178,759 995,144 1,273,833 663,336 40,897 - (1,275,353) (479,721) 1,218,136 1,178,759

Series WT8 2020 2019 1,008 - 3,308 984 68 24 (4,261) - 123 1,008






Annual management

fee rate:


fee rate:

Series A 2.250 0.22Series E 1.650 0.22Series ET8 1.650 0.22Series F 0.650 0.22Series FT8 0.650 0.22Series I Paid directly by investor Paid directly by investorSeries IT8 Paid directly by investor Paid directly by investorSeries OF 1.250 0.22Series W Paid directly by investor 0.16Series WT8 Paid directly by investor 0.16






Investments 2020CI First Asset Energy Giants Covered Call ETF (CAD-Hedged) 35,357CI First Asset Gold+ Giants Covered Call ETF (Common Units) 94,916CI First Asset Health Care Giants Covered Call ETF (Common Units) 107,891CI First Asset Long Duration Fixed Income ETF (Common Units) 3,040CI First Asset Morningstar International Value Index ETF (Common Units) 12,136CI First Asset Morningstar International Value Index ETF (Unhedged Common Units) 52,447CI First Asset MSCI World Low Risk Weighted ETF (Unhedged Common Units) 35,883CI Munro Alternative Global Growth ETF (Common Units) 11,438CI WisdomTree U.S. Quality Dividend Growth Index ETF (Non-Hedged Units) 15,562Signature Global Technology Corporate Class (I Shares) 9,428

Investments 2019CI First Asset Gold+ Giants Covered Call ETF (Common Units) 21,411CI First Asset Health Care Giants Covered Call ETF (Common Units) 108,911CI First Asset Morningstar Canada Momentum Index ETF (Common Units) 48,975CI First Asset Morningstar International Value Index ETF (Common Units) 33,483CI First Asset Morningstar International Value Index ETF (Unhedged Common Units) 27,906CI First Asset MSCI World Low Risk Weighted ETF (Unhedged Common Units) 84,187CI First Asset Tech Giants Covered Call ETF (Unhedged Common Units) 34,675







Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 210,619 - 210,619 29.7 Total 210,619 - 210,619 29.7



Interest Rate RiskAs at December 31, 2020, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and Exchange-Traded Fund(s).

As at December 31, 2019, the Fund indirectly bore the interest rate risk exposure of the Underlying Funds.




(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 61,882 - 7,395 69,277 Fund(s) 9,428 - - 9,428 Exchange-Traded Fund(s) 667,065 - - 667,065 Foreign currency forward contract(s), net - 1,361 - 1,361 Total 738,375 1,361 7,395 747,131


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Exchange-Traded Fund(s) 687,313 - - 687,313 Foreign currency forward contract(s), net - (18) - (18) Total 687,313 (18) - 687,295





as at December 31, 2019Funds Net Assets (%)CI First Asset Health Care Giants Covered Call ETF (Common Units) 15.4 CI First Asset MSCI World Low Risk Weighted ETF (Unhedged Common Units) 11.9 iShares MSCI World ETF 11.8 iShares S&P/TSX 60 Index ETF 10.7 SPDR S&P 500 ETF Trust 7.9 iShares Core S&P/TSX Capped Composite Index ETF 7.2 CI First Asset Morningstar Canada Momentum Index ETF (Common Units) 6.9 CI First Asset Tech Giants Covered Call ETF (Unhedged Common Units) 4.9 iShares MSCI Japan ETF 4.8 CI First Asset Morningstar International Value Index ETF (Common Units) 4.7 CI First Asset Morningstar International Value Index ETF (Unhedged Common Units) 3.9 Other Net Assets (Liabilities) 3.1 CI First Asset Gold+ Giants Covered Call ETF (Common Units) 3.0 SPDR Gold Trust 2.1 SPDR Gold MiniShares Trust 1.7 Foreign Currency Forward Contract(s) 0.0 Total 100.0

Credit RiskAs at December 31, 2020, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities and Exchange-Traded Fund(s).

As at December 31, 2019, the Fund indirectly bore the credit risk exposure of the Underlying Funds.

Other Price RiskAs at December 31, 2020, the Fund was exposed to other price risk as some of its assets were invested in Exchange-Traded Fund(s) and global equities.

As at December 31, 2019, the Fund indirectly bore the other price risk exposure of the Underlying Funds.




Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 317,908 (86,443) 231,465 30.7 Japanese Yen - 48,587 48,587 6.5 British Pound 24 47,348 47,372 6.3 Euro - 37,641 37,641 5.0 Total 317,932 47,133 365,065 48.5







Level 3 ReconciliationThe table below summarizes the movement in financial instruments classified as Level 3.



InTransfers

(Out)Realized Gain


(Loss)*Balance at


Long Positions/Assets:Equities - 7,043 (126) - - 37 441 7,395 Total - 7,043 (126) - - 37 441 7,395

*Change in unrealized gain (loss) related to investments held at December 31, 2020 was $440,923.

Investments classified as Level 3 are valued at fair value based on unobservable inputs and assumptions, which may include credit spreads, industry multipliers, and discount rates. Management has assessed that the effect of changing these inputs to reasonably possible alternatives would not have a significant impact on the net assets attributable to holders of redeemable units of the Fund as at December 31, 2020.

International Equity Alpha Pool



2020 2019

342,361 325,293 - - 1,658 -

- - - - - - - - - - - - - - - - - - 82 - 509 504 344,610 325,797

- - - 1,964

- - - - - - - - - - 18 - 884 699 - - - - - - - - 902 2,663

343,708 323,134






CIG - 9686






units outstanding:

2020 2019 2020 2019 2020 2019Series A 710 1,126 10.64 11.43 66,703 98,511Series E 152,568 147,182 10.70 11.44 14,264,075 12,864,474Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 13,149 10,454 10.80 11.45 1,217,853 912,869Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 126,413 114,148 10.91 11.47 11,586,140 9,956,203Series OF 5 25 10.73 11.45 496 2,198Series W 50,863 50,199 10.90 11.46 4,668,396 4,379,118




2020 2019

- - 20 1 - 1 14,173 3,271 - -

- - - -

(10,956) -

(1,188) 3,835 2,049 7,108 - - - - - - 25 1 25 1 2,074 7,109

2,714 256 407 37 - - 1 1 - - - - - - 1 - - - 406 39 3,529 333 - -

(1,455) 6,776













2020 2019 2020 2019 2020 2019Series A (81) 23 (0.94) 2.49 85,756 9,284Series E (4,475) 2,931 (0.31) 2.76 14,029,108 1,062,804Series E3 - - - 0.39 - 1,250Series E4 - - - 0.39 - 1,250Series E5 - 1 - 0.39 - 1,250Series F 6 219 0.01 2.86 1,122,135 76,514Series F3 - 1 - 0.39 - 1,250Series F4 - - - 0.39 - 1,250Series F5 - - - 0.39 - 1,250Series I 5 2,504 - 3.04 11,197,058 821,600Series OF (4) 2 (4.38) 1.53 1,003 1,328Series W 3,094 1,095 0.60 3.01 5,181,260 363,310












Series A 2020 2019 1,126 13 (81) 23

- - (9) - - - (9) -

162 1,128 9 - (497) (38) (326) 1,090 (416) 1,113 710 1,126

Series E 2020 2019 147,182 12 (4,475) 2,931

- - (2,060) - - - (2,060) -

49,674 147,571 2,060 - (39,813) (3,332) 11,921 144,239 5,386 147,170 152,568 147,182

Series E3 2020 2019 - 12 - -

- - - - - - - -

- - - - - (12) - (12) - (12) - -

Series E4 2020 2019 - 12 - -

- - - - - - - -

- - - - - (12) - (12) - (12) - -

Series E5 2020 2019 - 12 - 1

- - - - - - - -

- - - - - (13) - (13) - (12) - -

Series F 2020 2019 10,454 12 6 219

- - (214) - - - (214) -

6,775 10,409 214 - (4,086) (186) 2,903 10,223 2,695 10,442 13,149 10,454

Series F3 2020 2019 - 12 - 1

- - - - - - - -

- - - - - (13) - (13) - (12) - -

Series F4 2020 2019 - 13 - -

- - - - - - - -

- - - - - (13) - (13) - (13) - -

Series F5 2020 2019 - 13 - -

- - - - - - - -

- - - - - (13) - (13) - (13) - -

Series I 2020 2019 114,148 13 5 2,504

- - (2,460) - - - (2,460) -

47,267 114,369 2,460 - (35,007) (2,738) 14,720 111,631 12,265 114,135 126,413 114,148

Series OF 2020 2019 25 13 (4) 2

- - - - - - - -

1 10 - - (17) - (16) 10 (20) 12 5 25

Series W 2020 2019 50,199 13 3,094 1,095

- - (962) - - - (962) -

70,329 50,892 962 - (72,759) (1,801) (1,468) 49,091 664 50,186 50,863 50,199








Total Fund 2020 2019 323,134 150 (1,455) 6,776

- - (5,705) - - - (5,705) -

174,208 324,379 5,705 - (152,179) (8,171) 27,734 316,208 20,574 322,984 343,708 323,134




2020 2019

(1,455) 6,776

10,956 - - - - -

1,188 (3,835) 76,753 - (91,856) (318,186) (14,173) (3,272) - - - - - - - - - - - - - - - (1) (18,587) (318,518)

- - 162,696 322,433 (140,487) (6,030) 22,209 316,403

- - 3,622 (2,115) (1,964) 151 1,658 (1,964)

- - 20 1 - - 1 - - -












($)Fair Value

($)% of Net

Assets

UNDERLYING FUND(S) 19,056,468 International Equity Alpha Corporate Class (I Shares) 339,713,541 342,360,885 99.61














Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)International Equity Alpha Corporate Class 778,331 342,361 44.0





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)International Equity Alpha Corporate Class 753,392 325,293 43.2









Series A 2020 2019 98,511 1,250 18,056 100,662 810 - (50,674) (3,401) 66,703 98,511

Series E 2020 2019 12,864,474 1,250 5,349,462 13,157,105 194,373 - (4,144,234) (293,881) 14,264,075 12,864,474

Series E3 2020 2019 - 1,250 - - - - - (1,250) - -

Series E4 2020 2019 - 1,250 - - - - - (1,250) - -

Series E5 2020 2019 - 1,250 - - - - - (1,250) - -

Series F 2020 2019 912,869 1,250 714,343 928,194 19,988 - (429,347) (16,575) 1,217,853 912,869

Series F3 2020 2019 - 1,250 - - - - - (1,250) - -

Series F4 2020 2019 - 1,250 - - - - - (1,250) - -

Series F5 2020 2019 - 1,250 - - - - - (1,250) - -

Series I 2020 2019 9,956,203 1,250 5,020,907 10,195,181 227,802 - (3,618,772) (240,228) 11,586,140 9,956,203

Series OF 2020 2019 2,198 1,250 127 965 7 - (1,836) (17) 496 2,198

Series W 2020 2019 4,379,118 1,250 7,990,237 4,536,454 89,225 - (7,790,184) (158,586) 4,668,396 4,379,118








Annual management

fee rate:


fee rate:







Investments 2020International Equity Alpha Corporate Class (I Shares) 342,361

Investments 2019International Equity Alpha Corporate Class (I Shares) 325,293






As at December 31, 2020 and 2019, the Underlying Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world.






Currency Net Assets (%)Euro 42.0British Pound 18.2Hong Kong Dollar 13.4U.S. Dollar 12.2Indian Rupee 4.2Japanese Yen 4.1Swedish Krona 2.9Swiss Franc 1.8Total 98.8

as at December 31, 2019~ Currency Net Assets (%)Euro 34.1British Pound 24.5U.S. Dollar 14.6Hong Kong Dollar 12.9Japanese Yen 4.6Indian Rupee 3.8Swiss Franc 3.1Total 97.6





as at December 31, 2020 Categories Net Assets (%)U.K. 18.1France 10.1Netherlands 9.1India 9.0Germany 8.1China 6.1Bermuda 4.6Italy 4.4Mexico 4.4Portugal 4.4Austria 4.2Japan 4.1Sweden 2.9Spain 2.9Cayman Islands 2.7Switzerland 1.8Ireland 1.8Cash & Cash Equivalents 0.9Other Net Assets (Liabilities) 0.4 Total 100.0

as at December 31, 2019 Categories Net Assets (%)U.K. 24.6 Netherlands 11.2 Bermuda 8.8 India 8.5 Germany 6.4 France 4.9 Japan 4.6 Portugal 4.3 China 4.0 Italy 3.8 Mexico 3.7 Spain 3.7 Austria 3.4 Switzerland 3.1 Other Net Assets (Liabilities) 2.6 Ireland 1.4 Cayman Islands 1.0 Total 100.0



As at December 31, 2020 and 2019, the Underlying Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.



International Equity Growth Pool



2020 2019

294,669 266,676 - - 11,240 12,092

239 603 - - - - - - - - 38 - - - - - - - - - 374 519 306,560 279,890

- - - -

408 161 - - - - - - - - - - 467 585 - - - - - - - - 875 746

305,685 279,144






CIG - 9616






units outstanding:





2020 2019

4,829 6,228 54 139 - - - - - -

- - - -

407 10,401

25,583 38,776 30,873 55,544 (56) (334) - - 78 68 23 7 45 (259) 30,918 55,285

2,742 2,544 376 343 878 856 1 1 - - - - 5 5 1 1 996 1,018 362 333 5,361 5,101 - -

25,557 50,184













2020 2019 2020 2019 2020 2019Series A 62 296 0.72 2.53 86,554 116,608Series E 10,449 20,648 1.61 3.69 6,471,189 5,591,434Series E3 - 2,512 - 1.20 - 2,109,838Series E4 - 393 - 1.18 - 331,969Series E5 - 189 - 1.16 - 162,194Series F 1,340 1,356 1.14 2.04 1,166,739 663,009Series F3 - 171 - 1.07 - 160,129Series F4 - 36 - 1.15 - 31,590Series F5 - 1 - 0.24 - 3,890Series I 10,223 18,729 2.95 5.63 3,469,298 3,328,144Series OF 3 25 0.60 3.64 4,906 7,023Series W 3,480 5,828 2.00 3.11 1,740,091 1,873,253












Series A 2020 2019 1,527 1,573 62 296

- - - - - - - -

95 107 - - (593) (449) (498) (342) (436) (46) 1,091 1,527

Series E 2020 2019 137,638 88,390 10,449 20,648

(77) - - - (75) - (152) -

35,897 51,336 152 - (37,621) (22,736) (1,572) 28,600 8,725 49,248 146,363 137,638

Series E3 2020 2019 - 19,047 - 2,512

- - - - - - - -

- 5,068 - - - (26,627) - (21,559) - (19,047) - -

Series E4 2020 2019 - 3,172 - 393

- - - - - - - -

- 1,185 - - - (4,750) - (3,565) - (3,172) - -

Series E5 2020 2019 - 1,143 - 189

- - - - - - - -

- 794 - - - (2,126) - (1,332) - (1,143) - -

Series F 2020 2019 11,956 3,864 1,340 1,356

(27) - - - (26) - (53) -

7,930 8,982 53 - (4,695) (2,246) 3,288 6,736 4,575 8,092 16,531 11,956

Series F3 2020 2019 - 1,123 - 171

- - - - - - - -

- 1,293 - - - (2,587) - (1,294) - (1,123) - -

Series F4 2020 2019 - 250 - 36

- - - - - - - -

- 126 - - - (412) - (286) - (250) - -

Series F5 2020 2019 - 10 - 1

- - - - - - - -

- 100 - - - (111) - (11) - (10) - -

Series I 2020 2019 98,899 77,196 10,223 18,729

(362) - - - (349) - (711) -

37,319 21,033 711 - (33,328) (18,059) 4,702 2,974 14,214 21,703 113,113 98,899

Series OF 2020 2019 118 133 3 25

- - - - - - - -

6 14 - - (45) (54) (39) (40) (36) (15) 82 118

Series W 2020 2019 29,006 26,667 3,480 5,828

(89) - - - (86) - (175) -

18,855 7,199 174 - (22,835) (10,688) (3,806) (3,489) (501) 2,339 28,505 29,006








Total Fund 2020 2019 279,144 222,568 25,557 50,184

(555) - - - (536) - (1,091) -

100,102 97,237 1,090 - (99,117) (90,845) 2,075 6,392 26,541 56,576 305,685 279,144




2020 2019

25,557 50,184

(407) (10,401) (21) 126 878 856

(25,583) (38,776) 239,241 215,000 (241,512) (229,771) - - - - - - (38) 279 - - - - - - - - - - (1,885) (12,503)

(1) - 88,436 46,593 (87,423) (39,868) 1,012 6,725

21 (126) (873) (5,778) 12,092 17,996 11,240 12,092

3,795 5,386 54 139 - - 1 1 - -












Average Cost($)

Fair Value($)

% of Net Assets

JAPAN 143,453 Asahi Intecc Co., Ltd. 4,815,198 6,658,195 16,710 Keyence Corp. 6,511,053 11,947,756 9,065 Nintendo Co., Ltd. 4,846,067 7,356,540 23,506 Nitori Holdings Co., Ltd. 4,740,998 6,264,932 46,260 Tsuruha Holdings Inc. 8,845,023 8,371,699 29,758,339 40,599,122 13.27 FRANCE 42,600 BNP Paribas S.A. 2,975,210 2,855,479 8,444 Cap Gemini S.A. 1,418,805 1,664,981 13,540 Dassault Systèmes S.E. 2,477,584 3,498,330 5,745 Hermes International 6,519,921 7,858,089 9,507 L’Oréal S.A. 4,222,301 4,594,795 8,206 LVMH Moet Hennessy Louis Vuitton S.A. 4,022,343 6,519,423 39,475 Schneider Electric S.A. 5,267,542 7,261,873 52,836 Societe Generale S.A. 1,438,248 1,398,564 26,110 Total S.A. 1,522,698 1,433,255 29,864,652 37,084,789 12.13 NETHERLANDS 20,952 Airbus Group N.V. 2,880,364 2,925,141 14,522 ASML Holding N.V. 6,826,634 8,977,594 57,390 Euronext N.V. 5,024,269 8,045,327 10,915 Ferrari N.V. 2,588,848 3,202,007 198,449 STMicroelectronics N.V. 6,626,746 9,344,295 23,946,861 32,494,364 10.63 GERMANY 66,596 BASF S.E. 6,036,850 6,702,370 29,207 Evotec AG 888,873 1,375,259 41,031 Henkel AG & Co., KGaA 5,108,221 5,031,014 72,130 Infineon Technologies AG 3,092,136 3,520,862 36,498 Jenoptik AG 1,353,523 1,425,708 34,728 Nemetschek AG 1,596,489 3,261,809 6,663 Sartorius AG 1,213,453 3,560,121 25,609 Symrise AG 4,028,261 4,316,817 23,317,806 29,193,960 9.55 SWEDEN 197,484 Assa Abloy AB 5,981,846 6,186,957 131,916 Atlas Copco AB, Class A 6,049,922 8,594,149 335,076 Svenska Handelsbanken AB, Shares A 4,236,420 4,281,969 43,032 Thule Group AB 1,231,463 2,047,849 267,210 Volvo AB, Series B 5,538,268 8,011,736 23,037,919 29,122,660 9.53 U.K. 158,367 Ashtead Group PLC 5,771,748 9,477,376 36,005 Croda International PLC 2,863,110 4,133,910 62,820 Intercontinental Hotels Group PLC 5,127,319 5,128,476 53,523 London Stock Exchange Group PLC 7,863,056 8,392,403 46,279 Softcat PLC 893,405 1,106,849 22,518,638 28,239,014 9.24





SWITZERLAND 10,957 Logitech International S.A. 924,641 1,353,595 30,392 Nestlé S.A., Registered Shares 4,061,634 4,555,960 8,098 Partners Group Holding AG 7,689,381 12,109,159 6,819 Roche Holding AG 2,343,566 3,029,577 15,019,222 21,048,291 6.89 DENMARK 32,031 DSV AS 2,450,571 6,826,142 57,554 GN Store Nord A/S 4,610,694 5,858,513 84,729 Novo Nordisk AS 5,309,878 7,552,808 12,371,143 20,237,463 6.62 JERSEY ISLAND 83,230 Experian PLC 3,371,909 4,023,216 35,980 Ferguson PLC 4,967,182 5,564,001 1,512,740 Glencore PLC 5,192,431 6,135,327 13,531,522 15,722,544 5.14 SPAIN 1,678,810 Criteria Caixacorp S.A. 5,803,110 5,484,908 500,833 Iberdrola S.A. 7,940,416 9,112,143 13,743,526 14,597,051 4.78 IRELAND 35,859 Linde PLC (EUR) 6,676,233 11,877,349 3.89 CAYMAN ISLANDS 105,547 Tencent Holdings Ltd. 7,181,485 9,774,154 3.20 HONG KONG 98,319 Techtronic Industries Co. 1,751,285 1,785,446 0.58 NORWAY 143,041 Sbanken ASA 1,726,107 1,463,108 0.48 LUXEMBOURG 13,400 Eurofins Scientific S.E. 1,139,512 1,430,081 0.47



Foreign Currency Forward Contract(s) (see Schedule A) (169,472) (0.06)





Average Cost($)

Fair Value($)

% of Net Assets









Contract(s) Rate


Citigroup Inc. A-2 March 9, 2021 CAD 8,622,195 GBP 4,954,000 1.74 (2,087)Citigroup Inc. A-2 March 9, 2021 DKK 12,745,000 CAD 2,657,531 4.80 9,254 Morgan Stanley A-2 March 9, 2021 CHF 1,490,000 CAD 2,145,926 0.69 302 Morgan Stanley A-2 March 9, 2021 CAD 13,319,413 DKK 63,773,000 0.21 (24,569)Royal Bank of Canada A-1+ March 9, 2021 CAD 18,833,958 JPY 1,508,336,000 0.01 229,244 Toronto-Dominion Bank A-1+ March 9, 2021 CAD 55,516,019 EUR 35,737,472 1.55 (123,251)Toronto-Dominion Bank A-1+ March 9, 2021 CAD 13,413,278 SEK 88,117,000 0.15 (227,762)Toronto-Dominion Bank A-1+ March 9, 2021 CAD 12,086,207 CHF 8,412,000 1.44 (30,603)Total Foreign Currency Forward Contract(s) Value (169,472)











NetExposure






NetExposure












Series A 2020 2019 102,532 126,927 6,933 7,876 - - (40,839) (32,271) 68,626 102,532

Series E 2020 2019 6,414,909 4,978,661 1,770,886 2,578,017 7,269 - (1,832,329) (1,141,769) 6,360,735 6,414,909

Series E3 2020 2019 - 2,022,468 - 489,440 - - - (2,511,908) - -

Series E4 2020 2019 - 336,060 - 112,269 - - - (448,329) - -

Series E5 2020 2019 - 120,858 - 77,808 - - - (198,666) - -

Series F 2020 2019 1,020,612 403,010 700,394 826,619 4,589 - (420,585) (209,017) 1,305,010 1,020,612

Series F3 2020 2019 - 117,083 - 121,259 - - - (238,342) - -

Series F4 2020 2019 - 26,051 - 11,851 - - - (37,902) - -

Series F5 2020 2019 - 1,000 - 9,108 - - - (10,108) - -

Series I 2020 2019 3,370,281 3,255,283 1,322,812 785,788 24,736 - (1,186,307) (670,790) 3,531,522 3,370,281

Series OF 2020 2019 6,233 8,481 314 817 11 - (2,534) (3,065) 4,024 6,233

Series W 2020 2019 1,799,561 2,043,734 1,317,116 492,775 11,039 - (1,505,377) (736,948) 1,622,339 1,799,561






Annual management

fee rate:


fee rate:













Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)Euro 126,678 (55,573) 71,105 23.3 British Pound 43,962 (8,623) 35,339 11.6 Japanese Yen 40,637 (18,594) 22,043 7.2 Swedish Krona 29,123 (13,633) 15,490 5.1 Hong Kong Dollar 11,560 - 11,560 3.8 Swiss Franc 21,048 (9,953) 11,095 3.6 Danish Krone 20,237 (10,661) 9,576 3.1 Norwegian Krone 1,463 - 1,463 0.5 U.S. Dollar (4) - (4) 0.0 Total 294,704 (117,037) 177,667 58.2


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)Euro 130,688 (57,836) 72,852 26.1 British Pound 30,360 (6,825) 23,535 8.4 Japanese Yen 32,367 (13,362) 19,005 6.8 Danish Krone 26,345 (12,163) 14,182 5.1 Swiss Franc 27,576 (14,407) 13,169 4.7 Swedish Krona 10,333 (4,963) 5,370 1.9 Norwegian Krone 4,697 - 4,697 1.7 Brazilian Real 4,423 - 4,423 1.6 Taiwan Dollar 4,110 - 4,110 1.5 U.S. Dollar 186 - 186 0.1 Total 271,085 (109,556) 161,529 57.9







as at December 31, 2019Categories Net Assets (%)France 13.2 Germany 12.8 Japan 11.6 U.K. 10.8 Switzerland 9.9 Denmark 9.4 Netherlands 7.9 Ireland 5.5 Spain 4.9 Other Net Assets (Liabilities) 4.3 Sweden 3.7 Jersey Island 2.6 Brazil 1.5 Norway 1.0 Faroe Islands 0.7 Foreign Currency Forward Contract(s) 0.2 Total 100.0

Credit RiskAs at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments was insignificant.










(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 294,669 - - 294,669 Foreign currency forward contract(s), net - (169) - (169) Total 294,669 (169) - 294,500


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 266,676 - - 266,676 Foreign currency forward contract(s), net - 442 - 442 Total 266,676 442 - 267,118



International Equity Value Pool



2020 2019

380,076 368,087 - - 25,189 23,776

- - - - - - - - - - 569 852 4 - - - - - 80 - 485 628 406,403 393,343

- - - -

- - - - - - - - - - - - 660 618 - - - - - - - - 660 618

405,743 392,725






CIG - 9614






units outstanding:

2020 2019 2020 2019 2020 2019Series A 3,627 5,006 10.89 11.18 333,181 447,824Series E 151,230 141,094 16.08 16.45 9,404,117 8,577,602Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 14,818 11,278 11.44 11.65 1,295,703 968,404Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 151,133 145,043 23.18 23.61 6,519,534 6,144,418Series OF 212 303 12.92 13.19 16,422 22,964Series W 84,723 90,001 28.73 29.25 2,948,715 3,076,924




2020 2019

10,967 12,233 126 305 - - - - - -

- - - -

8,513 16,622

(11,962) 26,307 7,644 55,467 (65) (251) - - 138 116 22 7 95 (128) 7,739 55,339

2,812 2,729 471 458 604 476 1 1 - - - - 5 - - - 1,805 1,706 377 363 6,075 5,733 - -

1,664 49,606













2020 2019 2020 2019 2020 2019Series A (200) 621 (0.51) 1.22 394,754 506,872Series E (1,254) 14,831 (0.13) 1.97 9,136,961 7,517,794Series E3 - 1,036 - 0.50 - 2,055,566Series E4 - 150 - 0.50 - 297,920Series E5 - 96 - 0.52 - 183,615Series F 179 954 0.16 1.54 1,158,348 616,290Series F3 - 63 - 0.42 - 152,333Series F4 - 13 - 0.48 - 24,998Series F5 - - - (0.04) - 3,777Series I 994 18,885 0.16 3.17 6,369,639 5,951,753Series OF (11) 40 (0.56) 1.65 19,231 24,453Series W 1,956 12,917 0.62 3.98 3,139,233 3,245,879












Series A 2020 2019 5,006 5,541 (200) 621

(8) - - - - - (8) -

395 242 8 - (1,574) (1,398) (1,171) (1,156) (1,379) (535) 3,627 5,006

Series E 2020 2019 141,094 98,516 (1,254) 14,831

(554) - - - - - (554) -

45,827 51,138 554 - (34,437) (23,391) 11,944 27,747 10,136 42,578 151,230 141,094

Series E3 2020 2019 - 19,558 - 1,036

- - - - - - - -

- 5,353 - - - (25,947) - (20,594) - (19,558) - -

Series E4 2020 2019 - 3,058 - 150

- - - - - - - -

- 1,130 - - - (4,338) - (3,208) - (3,058) - -

Series E5 2020 2019 - 1,605 - 96

- - - - - - - -

- 681 - - - (2,382) - (1,701) - (1,605) - -

Series F 2020 2019 11,278 3,673 179 954

(133) - - - - - (133) -

7,862 8,810 133 - (4,501) (2,159) 3,494 6,651 3,540 7,605 14,818 11,278

Series F3 2020 2019 - 1,125 - 63

- - - - - - - -

- 1,300 - - - (2,488) - (1,188) - (1,125) - -

Series F4 2020 2019 - 205 - 13

- - - - - - - -

- 109 - - - (327) - (218) - (205) - -

Series F5 2020 2019 - 10 - -

- - - - - - - -

- 96 - - - (106) - (10) - (10) - -

Series I 2020 2019 145,043 92,478 994 18,885

(3,116) - - - - - (3,116) -

46,409 104,164 3,116 - (41,313) (70,484) 8,212 33,680 6,090 52,565 151,133 145,043

Series OF 2020 2019 303 320 (11) 40

(1) - - - - - (1) -

18 42 1 - (98) (99) (79) (57) (91) (17) 212 303

Series W 2020 2019 90,001 127,088 1,956 12,917

(1,650) - - - - - (1,650) -

62,227 17,961 1,648 - (69,459) (67,965) (5,584) (50,004) (5,278) (37,087) 84,723 90,001








Total Fund 2020 2019 392,725 353,177 1,664 49,606

(5,462) - - - - - (5,462) -

162,738 191,026 5,460 - (151,382) (201,084) 16,816 (10,058) 13,018 39,548 405,743 392,725




2020 2019

1,664 49,606

(8,513) (16,622) (9) 23 604 476

11,962 (26,307) 141,165 116,526 (157,287) (107,746) - - - - - - 283 (26) (4) - - - - - - - - - (10,135) 15,930

(2) - 150,095 110,556 (138,554) (120,553) 11,539 (9,997)

9 (23) 1,404 5,933 23,776 17,866 25,189 23,776

8,762 9,894 126 305 - - - - - -












Average Cost($)

Fair Value($)

% of Net Assets

SWITZERLAND 78,324 Chubb Ltd. 12,083,201 15,345,567 94,077 Julius Baer Group Ltd. 5,153,320 6,898,530 78,115 Nestlé S.A., Registered Shares 8,070,312 11,709,951 75,397 Novartis AG, Registered Shares 8,103,830 9,068,238 8,717 Roche Holding AG 2,262,023 3,872,830 17,510 Swiss Reinsurance Co., Ltd. 1,913,401 2,098,179 21,936 Zurich Financial Services AG 8,626,845 11,780,152 46,212,932 60,773,447 14.98 JAPAN 546,292 Astellas Pharma Inc. 10,460,899 10,734,827 53,172 Daito Trust Construction Co., Ltd. 8,900,316 6,318,907 62,047 Hitachi Ltd. 2,527,912 3,109,304 96,248 Japan Exchange Group Inc. 2,029,113 3,130,029 87,950 Makita Corp. 3,714,296 5,605,422 4,607 Nintendo Co., Ltd. 1,508,291 3,738,729 201,541 Sumitomo Mitsui Trust Holdings Inc. 9,132,647 7,893,371 87,007 Taisei Corp. 4,406,818 3,813,078 57,407 THK Co., Ltd. 1,674,546 2,356,628 180,812 Tokio Marine Holdings Inc. 8,573,378 11,831,507 232,828 Yahoo! Japan Corp. 1,244,903 1,792,173 54,173,119 60,323,975 14.87 U.K. 127,721 Antofagasta PLC 1,702,033 3,202,529 104,175 BP PLC, ADR 4,856,191 2,721,033 1,995,732 BT Group PLC 8,424,262 4,594,259 66,210 Compass Group PLC 1,470,746 1,570,858 211,376 Diageo PLC 8,826,086 10,589,220 478,211 GlaxoSmithKline PLC 12,059,482 11,170,937 220,414 Liberty Global PLC, Series A 7,545,178 6,795,264 4,410,082 Lloyds Banking Group PLC 3,341,231 2,797,323 376,139 RSA Insurance Group PLC 2,837,047 4,435,178 407,268 Vodafone Group PLC, ADR 12,514,031 8,543,395 63,576,287 56,419,996 13.91 FRANCE 89,136 Accor S.A. 3,885,329 4,102,859 346,150 AXA S.A. 10,206,283 10,502,867 211,455 Bureau Veritas S.A. 6,148,817 7,155,148 112,206 Danone S.A. 10,534,392 9,380,308 82,935 Sanofi S.A. 9,299,554 10,149,726 52,701 SCOR S.E. 2,688,836 2,165,177 126,920 Total S.A. 7,986,238 6,967,011 50,749,449 50,423,096 12.43 GERMANY 4,085 Adidas AG 1,084,648 1,892,362 27,767 Continental AG 5,253,603 5,235,431 87,240 Fresenius Medical Care AG & Co., KGaA 9,163,151 9,252,131 34,320 SAP AG 5,501,756 5,722,224 39,874 Siemens AG, Registered Shares 5,013,211 7,286,909 38,744 Siemens Energy AG 1,313,849 1,807,455 27,330,218 31,196,512 7.69






Average Cost($)

Fair Value($)

% of Net Assets

NETHERLANDS 314,879 ABN AMRO Group N.V., GDR 6,709,219 3,926,990 29,333 Akzo Nobel N.V. 2,760,297 4,007,647 41,687 Euronext N.V. 4,859,752 5,843,972 91,263 Heineken N.V. 9,944,982 12,945,730 24,274,250 26,724,339 6.59 IRELAND 49,403 Aon PLC 6,803,200 13,285,691 5,368 Linde PLC (EUR) 939,629 1,778,009 46,771 Medtronic PLC 4,383,364 6,973,886 12,126,193 22,037,586 5.43 CAYMAN ISLANDS 32,928 Baidu Inc., ADR 6,602,503 9,063,468 350,654 Sands China Ltd. 2,163,434 1,960,424 132,556 Tencent Music Entertainment Group, ADR 2,690,730 3,246,366 92,771 Trip.com Group Ltd., ADR 3,603,329 3,983,103 15,059,996 18,253,361 4.50

ISRAEL 67,976 Check Point Software Technologies Ltd. 8,996,797 11,500,223 2.83

SOUTH KOREA 80,506 KB Financial Group Inc. 4,120,814 4,094,126 2,368 Samsung Electronics Co., Ltd., GDR 2,748,336 5,500,948 6,869,150 9,595,074 2.36 SWEDEN 120,796 Assa Abloy AB 3,805,712 3,784,406 54,488 Sandvik AB 1,011,545 1,696,933 176,877 Telefonaktiebolaget LM Ericsson, Class B 1,705,245 2,671,894 6,522,502 8,153,233 2.01 SINGAPORE 649,618 Singapore Exchange Ltd. 5,664,739 5,806,306 1.43 SPAIN 16,939 Aena S.A. 3,028,047 3,745,667 0.92 LUXEMBOURG 283,566 Tenaris S.A. 4,554,964 2,920,897 0.72 INDIA 30,599 HDFC Bank Ltd. (USD) 1,815,709 2,814,480 0.69 BRAZIL 647,461 Ambev S.A., ADR 3,907,640 2,521,901 0.62 MEXICO 329,420 Grupo Financiero Banorte S.A.B. de C.V. 1,945,070 2,316,418 0.57






Average Cost($)

Fair Value($)

% of Net Assets

U.S.A. 816 Booking Holdings Inc. 1,499,498 2,313,428 0.57 THAILAND 444,131 Bangkok Bank PCL, Non-Voting Depository Receipt 2,962,667 2,236,045 0.55















Series A 2020 2019 447,824 556,708 40,020 23,031 825 - (155,488) (131,915) 333,181 447,824

Series E 2020 2019 8,577,602 6,764,445 3,127,363 3,320,494 37,725 - (2,338,573) (1,507,337) 9,404,117 8,577,602

Series E3 2020 2019 - 1,952,243 - 507,770 - - - (2,460,013) - -

Series E4 2020 2019 - 304,607 - 106,231 - - - (410,838) - -

Series E5 2020 2019 - 159,428 - 64,603 - - - (224,031) - -

Series F 2020 2019 968,404 360,170 748,658 806,697 12,729 - (434,088) (198,463) 1,295,703 968,404

Series F3 2020 2019 - 110,214 - 120,210 - - - (230,424) - -

Series F4 2020 2019 - 20,081 - 10,060 - - - (30,141) - -

Series F5 2020 2019 - 1,000 - 8,771 - - - (9,771) - -

Series I 2020 2019 6,144,418 4,530,466 2,192,319 4,847,389 148,355 - (1,965,558) (3,233,437) 6,519,534 6,144,418

Series OF 2020 2019 22,964 27,514 1,547 3,422 118 - (8,207) (7,972) 16,422 22,964

Series W 2020 2019 3,076,924 5,014,917 2,464,775 657,431 63,291 - (2,656,275) (2,595,424) 2,948,715 3,076,924






Annual management

fee rate:


fee rate:













Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)Euro 116,789 - 116,789 28.8 U.S. Dollar 95,868 - 95,868 23.6 Japanese Yen 60,409 - 60,409 14.9 Swiss Franc 45,428 - 45,428 11.2 British Pound 38,496 - 38,496 9.5 Swedish Krona 8,153 - 8,153 2.0 Singapore Dollar 5,806 - 5,806 1.4 Korean Won 4,094 - 4,094 1.0 Mexican Peso 2,316 - 2,316 0.6 Thai Baht 2,236 - 2,236 0.6 Hong Kong Dollar 1,960 - 1,960 0.5 Total 381,555 - 381,555 94.1


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)Euro 95,529 - 95,529 24.3 Japanese Yen 84,945 - 84,945 21.6 U.S. Dollar 84,089 - 84,089 21.4 Swiss Franc 43,022 - 43,022 11.0 British Pound 40,813 - 40,813 10.4 Korean Won 10,921 - 10,921 2.8 Thai Baht 4,110 - 4,110 1.0 Mexican Peso 3,632 - 3,632 0.9 Swedish Krona 2,730 - 2,730 0.7 Total 369,791 - 369,791 94.1



Interest Rate RiskAs at December 31, 2020 and 2019, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.




as at December 31, 2019Categories Net Assets (%)Japan 21.7 U.K. 18.3 Switzerland 13.4 France 9.6 Netherlands 6.6 Germany 6.4 Other Net Assets (Liabilities) 6.3 Ireland 5.5 South Korea 3.9 Israel 1.7 Curacao 1.3 Thailand 1.0 Cayman Islands 1.0 Mexico 0.9 Brazil 0.9 Luxembourg 0.8 Sweden 0.7 Total 100.0

Credit RiskAs at December 31, 2020, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the table below.

as at December 31, 2019 Credit Rating^* Net Assets (%)Not Rated 0.7Total 0.7













(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 380,076 - - 380,076 Total 380,076 - - 380,076


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 335,672 32,415 - 368,087 Total 335,672 32,415 - 368,087



Real Estate Investment Pool



2020 2019

713,459 683,133 - - 21,553 15,802

2,817 4,834 - - - - - - - - 2,635 2,052 - - - - - - 1,310 352 585 718 742,359 706,891

- - - -

- - - - - - - - - - 1,293 506 524 449 - - - - - - - - 1,817 955

740,542 705,936






CIG - 9618






units outstanding:

2020 2019 2020 2019 2020 2019Series A 3,064 4,342 12.16 13.22 252,035 328,366Series E 260,086 251,709 18.71 20.29 13,899,711 12,403,953Series E2 - - - - - -Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 26,984 20,327 11.23 12.18 2,402,433 1,668,430Series F2 - - - - - -Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 334,002 321,742 26.68 29.11 12,517,686 11,053,660Series OF 247 562 18.92 20.52 13,038 27,368Series W 116,159 107,254 38.21 41.44 3,039,967 2,588,130




2020 2019

24,229 23,687 301 241 - - - - - -

- - - -

(25,038) 66,221

(15,007) 48,785 (15,515) 138,934 (667) (447) - - 138 149 180 62 (349) (236) (15,864) 138,698

5,427 5,468 763 755 1,403 1,300 1 1 - - - - - - 1 2 3,107 3,048 714 719 11,416 11,293 - -

(27,280) 127,405













2020 2019 2020 2019 2020 2019Series A (345) 788 (1.16) 2.10 296,972 374,169Series E (13,972) 23,940 (1.03) 2.84 13,526,838 8,462,178Series E2 - 9,750 - 1.40 - 6,974,727Series E3 - 6,243 - 1.38 - 4,521,298Series E4 - 974 - 1.41 - 691,439Series E5 - 517 - 1.38 - 377,969Series F (719) 1,332 (0.34) 1.55 2,087,422 858,826Series F2 - 479 - 1.35 - 354,158Series F3 - 450 - 1.33 - 338,639Series F4 - 90 - 1.40 - 64,278Series F5 - 3 - 0.34 - 10,077Series I (11,932) 62,065 (0.95) 4.97 12,398,857 12,501,980Series OF (80) 105 (4.51) 3.44 17,810 30,374Series W (232) 20,669 (0.07) 7.50 2,980,701 2,756,507












Series A 2020 2019 4,342 4,727 (345) 788

(2) - - - - - (2) -

534 156 2 - (1,467) (1,329) (931) (1,173) (1,278) (385) 3,064 4,342

Series E 2020 2019 251,709 101,566 (13,972) 23,940

(968) - - - - - (968) -

74,463 174,191 968 - (52,114) (47,988) 23,317 126,203 8,377 150,143 260,086 251,709

Series E2 2020 2019 - 71,510 - 9,750

- - - - - - - -

- 14,845 - - - (96,105) - (81,260) - (71,510) - -

Series E3 2020 2019 - 45,290 - 6,243

- - - - - - - -

- 9,245 - - - (60,778) - (51,533) - (45,290) - -

Series E4 2020 2019 - 7,288 - 974

- - - - - - - -

- 2,370 - - - (10,632) - (8,262) - (7,288) - -

Series E5 2020 2019 - 3,454 - 517

- - - - - - - -

- 1,305 - - - (5,276) - (3,971) - (3,454) - -

Series F 2020 2019 20,327 3,520 (719) 1,332

(335) - - - - - (335) -

13,782 20,993 335 - (6,406) (5,518) 7,711 15,475 6,657 16,807 26,984 20,327

Series F2 2020 2019 - 3,058 - 479

- - - - - - - -

- 2,301 - - - (5,838) - (3,537) - (3,058) - -

Series F3 2020 2019 - 2,767 - 450

- - - - - - - -

- 2,278 - - - (5,495) - (3,217) - (2,767) - -

Series F4 2020 2019 - 511 - 90

- - - - - - - -

- 449 - - - (1,050) - (601) - (511) - -

Series F5 2020 2019 - 22 - 3

- - - - - - - -

- 482 - - - (507) - (25) - (22) - -

Series I 2020 2019 321,742 261,452 (11,932) 62,065

(9,037) - - - - - (9,037) -

89,004 94,702 9,037 - (64,812) (96,477) 33,229 (1,775) 12,260 60,290 334,002 321,742








Series OF 2020 2019 562 581 (80) 105

(2) - - - - - (2) -

46 10 2 - (281) (134) (233) (124) (315) (19) 247 562

Series W 2020 2019 107,254 102,072 (232) 20,669

(2,828) - - - - - (2,828) -

73,317 20,298 2,827 - (64,179) (35,785) 11,965 (15,487) 8,905 5,182 116,159 107,254

Total Fund 2020 2019 705,936 607,818 (27,280) 127,405

(13,172) - - - - - (13,172) -

251,146 343,625 13,171 - (189,259) (372,912) 75,058 (29,287) 34,606 98,118 740,542 705,936




2020 2019

(27,280) 127,405

25,038 (66,221) (2) - 1,403 1,300

15,007 (48,785) 668,394 647,268 (738,324) (625,944) - - - - - - (583) 581 - - - - - - - - - - (56,347) 35,604

(1) - 228,201 137,230 (166,104) (166,875) 62,096 (29,645)

2 - 5,749 5,959 15,802 9,843 21,553 15,802

20,541 21,229 301 241 - - 1 2 - -












Average Cost($)

Fair Value($)

% of Net Assets

U.S.A. 112,928 Agree Realty Corp. 9,580,190 9,570,584 203,669 Americold Realty Trust 9,910,704 9,677,784 117,485 Boyd Gaming Corp. 3,899,515 6,418,523 42,661 Caesars Entertainment Inc. 2,044,659 4,033,086 126,519 Cyrusone Inc. 12,093,113 11,780,482 43,631 Digital Realty Trust Inc. 9,091,937 7,748,069 306,437 Duke Realty Corp. 15,256,985 15,590,798 54,917 Essex Property Trust Inc. 17,986,040 16,596,523 100,299 Extra Space Storage Inc. 12,713,906 14,791,871 215,067 Healthcare Trust of America Inc., Class A 7,918,768 7,539,295 560,541 Healthpeak Properties Inc. 22,579,073 21,569,423 392,383 Host Hotels & Resorts Inc. 7,419,126 7,307,141 366,770 Invitation Homes Inc. 11,854,259 13,865,746 31,223 Jones Lang LaSalle Inc. 5,575,490 5,896,764 100,848 Kilroy Realty Corp. 9,183,580 7,368,383 438,757 Kimco Realty Corp. 9,731,024 8,382,967 343,201 Medical Properties Trust Inc. 8,106,815 9,519,163 164,314 Park Hotels & Resorts Inc. 3,596,548 3,587,003 240,292 Prologis Inc. 23,047,979 30,482,682 101,915 Public Storage Inc. 27,700,842 29,957,906 299,949 Simon Property Group Inc. 36,344,271 32,560,240 60,876 Sun Communities Inc. 11,411,628 11,774,427 416,159 UDR Inc. 20,608,357 20,357,417 456,331 Ventas Inc. 19,997,253 28,485,473 376,405 VEREIT Inc. 17,486,489 18,106,115 435,695 VICI Properties Inc. 11,693,457 14,142,160 104,720 Weyerhaeuser Co. 4,198,626 4,469,472 351,030,634 371,579,497 50.18 JAPAN 1,219 Activia Properties Inc. 6,873,257 6,544,459 4,247 GLP J-REIT 7,349,019 8,513,041 1,195 Japan Prime Realty Investment Corp. 4,639,888 5,038,206 3,760 Japan Retail Fund Investment Corp. 7,406,716 8,695,661 589,858 Mitsubishi Estate Co., Ltd. 13,772,826 12,049,025 730,702 Mitsui Fudosan Co., Ltd. 20,861,507 19,443,492 676 Mitsui Fudosan Logistics Park Inc. 4,567,077 4,358,432 1,134 Nippon Building Fund Inc. 8,815,580 8,359,805 898 NIPPON REIT Investment Corp. 4,449,690 4,101,535 371,400 Tokyu Fudosan Holdings Corp. 2,478,401 2,518,178 2,688 United Urban Investment Corp. 3,963,936 4,228,262 85,177,897 83,850,096 11.32 GERMANY 266,964 Alstria Office REIT AG 5,167,485 6,144,070 276,051 Deutsche Wohnen AG 15,819,064 18,754,829 176,428 Instone Real Estate Group AG 5,821,357 5,761,407 254,969 Vonovia S.E. 19,827,201 23,694,073 46,635,107 54,354,379 7.34 U.K. 3,058,994 Assura PLC 3,602,895 4,089,379 29,352 Derwent London PLC 1,457,102 1,581,817 313,067 Land Securities Group PLC 3,715,814 3,671,858 753,026 LondoMetric Property PLC 2,476,030 3,001,670 463,054 Safestore Holdings PLC 5,020,781 6,287,004 720,327 Segro PLC 8,694,944 11,881,527 201,992 Workspace Group PLC 2,186,638 2,703,822 27,154,204 33,217,077 4.49





AUSTRALIA 891,028 Charter Hall Group 6,453,879 12,862,379 157,920 Goodman Group 1,421,970 2,930,529 5,821,839 Mirvac Group 14,480,238 15,082,780 22,356,087 30,875,688 4.17 HONG KONG 2,284,000 Hang Lung Properties Ltd. 7,017,338 7,669,086 1,055,251 Link REIT 12,172,564 12,232,484 178,537 New World Development Co., Ltd. 1,317,413 1,058,253 437,000 Sun Hung Kai Properties Ltd. 9,578,898 7,175,227 30,086,213 28,135,050 3.80 SINGAPORE 4,115,392 CapitaMall Trust 7,343,551 8,561,677 625,200 City Developments Ltd. 5,420,637 4,799,226 1,499,299 Keppel DC REIT 2,846,427 4,057,780 1,119,100 Mapletree Industrial Trust 3,081,377 3,115,018 1,474,100 Parkway Life Real Estate Investment Trust 4,251,964 5,494,546 22,943,956 26,028,247 3.51 FRANCE 29,165 Argan S.A. 3,173,858 3,791,491 34,177 Covivio 3,405,867 4,004,598 14,164 Gecina S.A. 2,787,218 2,781,833 43,106 iCade 3,503,457 4,216,287 265,418 Klépierre 9,313,454 7,590,211 22,183,854 22,384,420 3.02 SWEDEN 259,662 Castellum AB 6,795,990 8,383,995 81,324 Catena AB 3,390,199 4,843,950 127,643 Fastighets AB Balder 6,553,734 8,469,801 16,739,923 21,697,746 2.93 CAYMAN ISLANDS 616,000 CK Asset Holdings Ltd. 4,274,215 4,025,483 934,400 ESR Cayman Ltd. 2,664,218 4,265,125 30,918 GDS Holdings Ltd., ADR 3,245,223 3,685,240 854,800 Sands China Ltd. 4,801,611 4,778,987 507,000 Wharf Real Estate Investment Co., Ltd. 3,305,009 3,358,967 18,290,276 20,113,802 2.72 BELGIUM 38,338 Aedifica S.A. 4,939,180 5,860,366 30,676 Aedifica S.A., Rights - - 21,684 VGP N.V. 3,979,167 4,134,011 8,918,347 9,994,377 1.35 AUSTRIA 117,501 CA Immobilien Anlagen AG 5,104,007 5,728,235 0.77 CANADA 106,501 Allied Properties Real Estate Investment Trust 3,548,167 4,028,933 0.54


Average Cost($)

Fair Value($)

% of Net Assets





INDIA 264,000 Mindspace Business Parks REIT 1,361,529 1,471,744 0.20 MALTA 9,518,140 BGP Holdings Inc., Private Placement - 15 0.00








Average Cost($)

Fair Value($)

% of Net Assets





Contract(s) Rate


Bank of Montreal A-1 March 15, 2021 CAD 9,391,214 USD 7,299,476 1.29 102,258 Bank of Montreal A-1 January 21, 2021 CAD 9,520,759 USD 7,250,045 1.31 293,271 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 13,319,424 USD 10,150,066 1.31 400,939 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 303,668 USD 231,216 1.31 9,420 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 568,575 USD 439,371 1.29 9,431 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 5,966,894 USD 4,612,966 1.29 96,641 Citigroup Inc. A-2 January 21, 2021 CAD 11,483,301 USD 8,700,064 1.32 410,289 Citigroup Inc. A-2 February 18, 2021 CAD 402,228 USD 308,330 1.30 9,845 HSBC Holdings PLC A-2 February 18, 2021 CAD 253,095 USD 192,680 1.31 7,888 HSBC Holdings PLC A-2 March 15, 2021 CAD 9,541,791 USD 7,380,745 1.29 149,389 JPMorgan Chase & Co. A-2 January 21, 2021 CAD 13,325,525 USD 10,150,075 1.31 407,028 JPMorgan Chase & Co. A-2 February 18, 2021 CAD 257,196 USD 198,346 1.30 4,780 Morgan Stanley A-2 January 21, 2021 CAD 11,414,005 USD 8,700,064 1.31 341,009 Morgan Stanley A-2 February 18, 2021 CAD 349,276 USD 269,788 1.29 5,942 Royal Bank of Canada A-1+ January 21, 2021 CAD 11,813,887 USD 8,931,497 1.32 446,313 Royal Bank of Canada A-1+ February 18, 2021 CAD 349,101 USD 269,715 1.29 5,861 Toronto-Dominion Bank A-1+ February 18, 2021 CAD 151,636 USD 115,608 1.31 4,512 Toronto-Dominion Bank A-1+ March 15, 2021 CAD 8,331,016 USD 6,458,152 1.29 112,675 Total Foreign Currency Forward Contract(s) Value 2,817,491











NetExposure






NetExposure












2020 2019Brokerage commissions 1,362 1,263Soft dollar commissions† 33 30

Series A 2020 2019 328,366 420,537 49,869 12,365 216 - (126,416) (104,536) 252,035 328,366

Series E 2020 2019 12,403,953 5,924,369 4,400,034 8,945,130 57,067 - (2,961,343) (2,465,546) 13,899,711 12,403,953

Series E2 2020 2019 - 7,148,121 - 1,342,349 - - - (8,490,470) - -

Series E3 2020 2019 - 4,520,443 - 833,038 - - - (5,353,481) - -

Series E4 2020 2019 - 725,987 - 210,930 - - - (936,917) - -

Series E5 2020 2019 - 343,141 - 118,459 - - - (461,600) - -

Series F 2020 2019 1,668,430 345,703 1,318,402 1,803,264 33,073 - (617,472) (480,537) 2,402,433 1,668,430

Series F2 2020 2019 - 300,075 - 203,101 - - - (503,176) - -

Series F3 2020 2019 - 271,113 - 201,441 - - - (472,554) - -

Series F4 2020 2019 - 49,962 - 39,756 - - - (89,718) - -

Series F5 2020 2019 - 2,103 - 41,245 - - - (43,348) - -

Series I 2020 2019 11,053,660 10,911,471 3,654,151 3,571,802 378,238 - (2,568,363) (3,429,613) 12,517,686 11,053,660

Series OF 2020 2019 27,368 33,670 2,663 517 142 - (17,135) (6,819) 13,038 27,368

Series W 2020 2019 2,588,130 2,986,771 2,201,874 513,830 82,475 - (1,832,512) (912,471) 3,039,967 2,588,130






Annual management

fee rate:


fee rate:















Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 377,136 (103,943) 273,193 36.9 Euro 92,497 - 92,497 12.5 Japanese Yen 84,607 - 84,607 11.4 Hong Kong Dollar 44,855 - 44,855 6.1 British Pound 33,394 - 33,394 4.5 Australian Dollar 31,217 - 31,217 4.2 Singapore Dollar 26,028 - 26,028 3.5 Swedish Krona 21,698 - 21,698 2.9 Indian Rupee 1,472 - 1,472 0.2 Total 712,904 (103,943) 608,961 82.2


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 370,388 (232,428) 137,960 19.5 Japanese Yen 81,168 - 81,168 11.5 Euro 70,155 - 70,155 9.9 Hong Kong Dollar 44,146 - 44,146 6.3 British Pound 37,453 - 37,453 5.3 Singapore Dollar 20,495 - 20,495 2.9 Australian Dollar 20,068 - 20,068 2.8 Swedish Krona 13,890 - 13,890 2.0 Norwegian Krone 7,402 - 7,402 1.0 Total 665,165 (232,428) 432,737 61.2







as at December 31, 2019Categories Net Assets (%)U.S.A. 51.5 Japan 11.5 U.K. 5.3 Hong Kong 5.1 Germany 4.9 Canada 2.9 Singapore 2.9 Australia 2.8 Other Net Assets (Liabilities) 2.5 France 2.5 Sweden 2.0 Cayman Islands 1.8 Spain 1.2 Norway 1.0 Belgium 0.7 Foreign Currency Forward Contract(s) 0.7 Austria 0.7 Malta 0.0 Total 100.0

Credit RiskAs at December 31, 2020, the Fund’s exposure to credit risk through derivative instruments was insignificant.

The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the table below.














(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 678,112 5,021 - 683,133 Foreign currency forward contract(s), net - 4,834 - 4,834 Total 678,112 9,855 - 687,967



International Equity Value Currency Hedged Pool



2020 2019

17,484 18,348 - - - 67

- - - - - - - - - - - - - - - - - - 9 - 13 24 17,506 18,439

- - 8 -

- - - - - - - - - - - 1 23 34 - - - - - - - - 31 35

17,475 18,404






CIG - 16675






units outstanding:

2020 2019 2020 2019 2020 2019Series E 12,974 13,662 10.82 11.34 1,199,062 1,204,461Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 339 413 10.93 11.35 30,981 36,399Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 4,162 4,329 11.04 11.37 377,059 380,832




2020 2019

- - - 1 91 1 666 200 - -

- - - -

(306) -

(712) 251 (261) 453 - - - - - - 2 - 2 - (259) 453

238 23 27 2 - - 1 1 - - - - - - - - - - 35 3 301 29 - -

(560) 424













2020 2019 2020 2019 2020 2019Series E (492) 301 (0.39) 2.69 1,232,095 112,210Series E3 - 1 - 0.58 - 1,700Series E4 - 1 - 0.58 - 1,700Series E5 - 1 - 0.58 - 1,700Series F (18) 14 (0.58) 2.06 31,192 6,729Series F3 - 1 - 0.58 - 1,700Series F4 - 1 - 0.58 - 1,700Series F5 - 1 - 0.58 - 1,700Series I (50) 103 (0.12) 2.91 386,095 35,796












Series E 2020 2019 13,662 17 (492) 301

- - (67) - - - (67) -

2,893 13,720 66 - (3,088) (376) (129) 13,344 (688) 13,645 12,974 13,662

Series E3 2020 2019 - 17 - 1

- - - - - - - -

- - - - - (18) - (18) - (17) - -

Series E4 2020 2019 - 17 - 1

- - - - - - - -

- - - - - (18) - (18) - (17) - -

Series E5 2020 2019 - 17 - 1

- - - - - - - -

- - - - - (18) - (18) - (17) - -

Series F 2020 2019 413 17 (18) 14

- - (3) - - - (3) -

375 394 3 - (431) (12) (53) 382 (74) 396 339 413

Series F3 2020 2019 - 17 - 1

- - - - - - - -

- - - - - (18) - (18) - (17) - -

Series F4 2020 2019 - 17 - 1

- - - - - - - -

- - - - - (18) - (18) - (17) - -

Series F5 2020 2019 - 17 - 1

- - - - - - - -

- - - - - (18) - (18) - (17) - -

Series I 2020 2019 4,329 17 (50) 103

- - (46) - - - (46) -

1,296 4,300 46 - (1,413) (91) (71) 4,209 (167) 4,312 4,162 4,329

Total Fund 2020 2019 18,404 153 (560) 424

- - (116) - - - (116) -

4,564 18,414 115 - (4,932) (587) (253) 17,827 (929) 18,251 17,475 18,404




2020 2019

(560) 424

306 - - - - -

712 (251) 2,749 414 (2,156) (18,309) (757) (201) - - - - - - - - - - - - - - - - 294 (17,923)

(1) - 3,811 18,145 (4,179) (308) (369) 17,837

- - (75) (86) 67 153 (8) 67

- - - 1 - - - - - -












($)Fair Value

($)% of Net

Assets

UNDERLYING FUND(S) 893,834 International Equity Value Currency Hedged Corporate Class (I Shares) 17,945,431 17,484,291 100.05


Other Net Assets (Liabilities) (9,503) (0.05)












Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)International Equity Value Currency Hedged Corporate Class 30,445 17,484 57.4





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)International Equity Value Currency Hedged Corporate Class 32,262 18,348 56.9









Series E 2020 2019 1,204,461 1,700 299,943 1,236,474 6,220 - (311,562) (33,713) 1,199,062 1,204,461

Series E3 2020 2019 - 1,700 - - - - - (1,700) - -

Series E4 2020 2019 - 1,700 - - - - - (1,700) - -

Series E5 2020 2019 - 1,700 - - - - - (1,700) - -

Series F 2020 2019 36,399 1,700 37,479 35,779 248 - (43,145) (1,080) 30,981 36,399

Series F3 2020 2019 - 1,700 - - - - - (1,700) - -

Series F4 2020 2019 - 1,700 - - - - - (1,700) - -

Series F5 2020 2019 - 1,700 - - - - - (1,700) - -

Series I 2020 2019 380,832 1,700 131,227 387,204 4,238 - (139,238) (8,072) 377,059 380,832








Annual management

fee rate:


fee rate:

Series E 1.900 0.22Series F 0.900 0.22Series I Paid directly by investor Paid directly by investor






Investments 2020International Equity Value Currency Hedged Corporate Class (I Shares) 17,484

Investments 2019International Equity Value Currency Hedged Corporate Class (I Shares) 18,348







As at December 31, 2020, the Underlying Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

The Underlying Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the table below.

as at December 31, 2019 Credit Rating^* Net Assets (%)Not Rated 0.7 Total 0.7





As at December 31, 2020 and 2019, the Underlying Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world.






Currency Net Assets (%)Euro 28.8 U.S. Dollar 23.6 Japanese Yen 14.9 Swiss Franc 11.2 British Pound 9.5 Swedish Krona 2.0 Singapore Dollar 1.4 Korean Won 1.0 Mexican Peso 0.6 Thai Baht 0.6 Hong Kong Dollar 0.5 Total 94.1



as at December 31, 2020 Categories Net Assets (%)Switzerland 15.1Japan 14.9U.K. 13.9France 12.4Germany 7.7Netherlands 6.6Cash & Cash Equivalents 6.2Ireland 5.4Cayman Islands 4.5Israel 2.8South Korea 2.4Sweden 2.0Singapore 1.4Spain 0.9India 0.7Luxembourg 0.7Brazil 0.6Mexico 0.6Thailand 0.6U.S.A. 0.6Other Net Assets (Liabilities) 0.0 Total 100.0

as at December 31, 2019 Categories Net Assets (%)Japan 21.7 U.K. 18.3 Switzerland 13.4 France 9.6 Netherlands 6.6 Germany 6.4 Other Net Assets (Liabilities) 6.3 Ireland 5.5 South Korea 3.9 Israel 1.7 Curacao 1.3 Thailand 1.0 Cayman Islands 1.0 Mexico 0.9 Brazil 0.9 Luxembourg 0.8 Sweden 0.7 Total 100.0






as at December 31, 2019~ Currency Net Assets (%)Euro 24.3 Japanese Yen 21.6 U.S. Dollar 21.4 Swiss Franc 11.0 British Pound 10.4 Korean Won 2.8 Thai Baht 1.0 Mexican Peso 0.9 Swedish Krona 0.7 Total 94.1















US Equity Value Currency Hedged Pool



2020 2019

19,693 20,413 - - 71 69

- - - - - - - - - - - - - - - - - - 18 4 11 10 19,793 20,496

- - - -

- - - - - - - - - - - - 32 44 - - - - - - - - 32 44

19,761 20,452






CIG - 16673






units outstanding:

2020 2019 2020 2019 2020 2019Series E 15,182 15,716 12.46 11.96 1,218,047 1,314,139Series E3 - - - - - -Series E4 - - - - - -Series E5 - - - - - -Series F 284 382 12.60 11.97 22,575 31,940Series F3 - - - - - -Series F4 - - - - - -Series F5 - - - - - -Series I 4,295 4,354 12.74 11.98 337,259 363,252




2020 2019

- - - 2 228 2 584 214 - -

- - - -

(239) (1)

1,218 178 1,791 395 - - - - - - 2 - 2 - 1,793 395

275 27 30 2 - - 1 1 - - - - - - - - - - 40 4 346 34 - -

1,447 361













2020 2019 2020 2019 2020 2019Series E 993 256 0.74 2.08 1,331,958 122,417Series E3 - 2 - 1.26 - 1,700Series E4 - 2 - 1.26 - 1,700Series E5 - 2 - 1.26 - 1,700Series F 9 11 0.34 1.88 26,244 6,329Series F3 - 2 - 1.26 - 1,700Series F4 - 2 - 1.26 - 1,700Series F5 - 2 - 1.26 - 1,700Series I 445 82 1.19 2.36 374,006 34,385












Series E 2020 2019 15,716 17 993 256

- - - - (86) - (86) -

3,360 15,930 86 - (4,887) (487) (1,441) 15,443 (534) 15,699 15,182 15,716

Series E3 2020 2019 - 17 - 2

- - - - - - - -

- - - - - (19) - (19) - (17) - -

Series E4 2020 2019 - 17 - 2

- - - - - - - -

- - - - - (19) - (19) - (17) - -

Series E5 2020 2019 - 17 - 2

- - - - - - - -

- - - - - (19) - (19) - (17) - -

Series F 2020 2019 382 17 9 11

- - - - (3) - (3) -

257 366 3 - (364) (12) (104) 354 (98) 365 284 382

Series F3 2020 2019 - 17 - 2

- - - - - - - -

- - - - - (19) - (19) - (17) - -

Series F4 2020 2019 - 17 - 2

- - - - - - - -

- - - - - (19) - (19) - (17) - -

Series F5 2020 2019 - 17 - 2

- - - - - - - -

- - - - - (19) - (19) - (17) - -

Series I 2020 2019 4,354 17 445 82

- - - - (35) - (35) -

1,381 4,529 35 - (1,885) (274) (469) 4,255 (59) 4,337 4,295 4,354

Total Fund 2020 2019 20,452 153 1,447 361

- - - - (124) - (124) -

4,998 20,825 124 - (7,136) (887) (2,014) 19,938 (691) 20,299 19,761 20,452




2020 2019

1,447 361

239 1 - - - -

(1,218) (178) 4,853 505 (2,356) (20,529) (812) (216) - - - - - - - - - - - - - - - - 2,153 (20,056)

- - 4,252 20,573 (6,403) (601) (2,151) 19,972

- - 2 (84) 69 153 71 69

- - - 2 - - - - - -












($)Fair Value

($)% of Net

Assets

UNDERLYING FUND(S) 654,984 US Equity Value Currency Hedged Corporate Class (I Shares) 18,297,171 19,693,013 99.65


Other Net Assets (Liabilities) 68,415 0.35












Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)US Equity Value Currency Hedged Corporate Class 35,095 19,693 56.1





Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)US Equity Value Currency Hedged Corporate Class 36,236 20,413 56.3









Series E 2020 2019 1,314,139 1,700 348,121 1,353,667 11,606 - (455,819) (41,228) 1,218,047 1,314,139

Series E3 2020 2019 - 1,700 - - - - - (1,700) - -

Series E4 2020 2019 - 1,700 - - - - - (1,700) - -

Series E5 2020 2019 - 1,700 - - - - - (1,700) - -

Series F 2020 2019 31,940 1,700 23,628 31,290 345 - (33,338) (1,050) 22,575 31,940

Series F3 2020 2019 - 1,700 - - - - - (1,700) - -

Series F4 2020 2019 - 1,700 - - - - - (1,700) - -

Series F5 2020 2019 - 1,700 - - - - - (1,700) - -

Series I 2020 2019 363,252 1,700 140,328 384,915 4,714 - (171,035) (23,363) 337,259 363,252








Annual management

fee rate:


fee rate:

Series E 1.900 0.21Series F 0.900 0.21Series I Paid directly by investor Paid directly by investor






Investments 2020US Equity Value Currency Hedged Corporate Class (I Shares) 19,693

Investments 2019US Equity Value Currency Hedged Corporate Class (I Shares) 20,413





Credit Risk (cont’d)

as at December 31, 2019 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 0.4 AA/Aa/A+ 0.8 Total 1.2





As at December 31, 2020 and 2019, the Underlying Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.


Currency RiskAs at December 31, 2020 and 2019, the Fund had no significant direct exposure to currency risk




Currency Net Assets (%)U.S. Dollar 70.1 Total 70.1

as at December 31, 2019~ Currency Net Assets (%)U.S. Dollar 42.8 Total 42.8


As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have indirectly decreased or increased, respectively, by approximately $1,381,000 (December 31, 2019 - $874,000). In practice, the actual results may differ from this analysis and the difference may be material.



as at December 31, 2020 Categories Net Assets (%)Information Technology 23.2Communication Services 15.7Health Care 15.0Financials 14.7Consumer Discretionary 8.5Industrials 7.5Consumer Staples 6.1Cash & Cash Equivalents 3.1Materials 2.9Real Estate 1.6Utilities 1.0Foreign Currency Forward Contract(s) 0.8Other Net Assets (Liabilities) (0.1)Total 100.0

as at December 31, 2019 Categories Net Assets (%)Information Technology 21.2 Financials 19.4 Health Care 13.8 Industrials 13.7 Consumer Discretionary 8.9 Communication Services 7.6 Consumer Staples 4.0 Materials 3.1 Other Net Assets (Liabilities) 2.3 Utilities 1.8 Energy 1.6 Real Estate 1.4 Foreign Currency Forward Contract(s) 1.2 Total 100.0



The Underlying Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the tables below.

as at December 31, 2020Credit Rating^* Net Assets (%)AAA/Aaa/A++ 0.2 AA/Aa/A+ 0.7 Total 0.9







As at December 31, 2020 and 2019, the Underlying Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.











United FundsNotes to the Financial Statements

1. THE FUNDS

The Funds are open-end investment mutual fund trusts established and governed by declarations of trust. The address of the Funds’ registered office is 2 Queen Street East, Twentieth Floor, Toronto, Ontario,

M5C 3G7. CI Investments Inc. is the manager and the trustee (the Manager and the Trustee) to the Funds. RBC Investor Services Trust is the custodian (the Custodian) of the Funds.

These financial statements were authorized for issue by the Manager on March 11, 2021. The Manager is a subsidiary of CI Financial Corp.

The objective of each Fund is to pool and manage money contributed by investors (the Unitholders) with similar investment goals. The Funds may invest in equities, fixed income securities, derivatives, underlying

fund(s) or some combination thereof according to their specific investment objectives and strategies. Investments may be held for income or capital appreciation or both. Unitholders share the Fund’s income, expenses

and any gains or losses a Fund makes on its investments generally in proportion to the value of the units they own.

Effective on or about July 29, 2020, units that were previously issued as Class A units, Class E units, Class E2 units, Class E3 units, Class E4 units, Class E5 units, Class ET8 units, Class E3T8 units, Class E4T8

units, Class E5T8 units, Class F units, Class F2 units, Class F3 units, Class F4 units, Class F5 units, Class FT8 units, Class F3T8 units, Class F4T8 units, Class F5T8 units, Class I units, Class IT8 units, Class OF units,

Class W units and Class WT8 units, as applicable, were renamed as Series A units, Series E units, Series E2 units, Series E3 units, Series E4 units, Series E5 units, Series ET8 units, Series E3T8 units, Series E4T8

units, Series E5T8 units, Series F units, Series F2 units, Series F3 units, Series F4 units, Series F5 units, Series FT8 units, Series F3T8 units, Series F4T8 units, Series F5T8 units, Series I units, Series IT8 units,

Series OF units, Series W units and Series WT8 units, respectively.

Each mutual fund trust is referred to individually as (a United Fund or a Fund) and collectively as (the United Funds or the Funds). The Inception Date is the date upon which units of a Series of a Fund commenced

operations.

Inception Date:

Funds Series A Series E Series ET8 Series F Series FT8 Series I Series IT8

Canadian Equity Alpha Pool Jan. 31, 19 Jan. 31, 19 - Jan. 31, 19 - Jan. 31, 19 -

Canadian Equity Growth Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Canadian Equity Small Cap Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Canadian Equity Value Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Canadian Fixed Income Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Cash Management Pool Dec. 28, 06 Aug. 29, 08 - May. 1, 17 - Aug. 29, 08 -

Emerging Markets Equity Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Enhanced Income Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Global Equity Allocation Pool Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Oct. 19, 18

Global Fixed Income Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

International Equity Alpha Pool Jan. 31, 19 Jan. 31, 19 - Jan. 31, 19 - Jan. 31, 19 -

International Equity Growth Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

International Equity Value Currency Hedged Pool - Jan. 31, 19 - Jan. 31, 19 - Jan. 31, 19 -

International Equity Value Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Real Estate Investment Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Short Term Income Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

US Equity Alpha Pool Oct. 31, 18 Oct. 31, 18 - Oct. 31, 18 - Oct. 31, 18 -

US Equity Growth Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

US Equity Small Cap Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

US Equity Value Currency Hedged Pool - Jan. 31, 19 - Jan. 31, 19 - Jan. 31, 19 -

US Equity Value Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -


United FundsNotes to the Financial Statements (cont’d)

Inception Date:

Funds (cont’d) Series OF Series W Series WT8

Canadian Equity Alpha Pool Jan. 31, 19 Jan. 31, 19 -

Canadian Equity Growth Pool Aug. 31, 07 Apr. 28, 00 -

Canadian Equity Small Cap Pool Aug. 31, 07 Jan. 17, 00 -

Canadian Equity Value Pool Aug. 31, 07 Apr. 30, 93 -

Canadian Fixed Income Pool Aug. 31, 07 Apr. 30, 93 -

Cash Management Pool Aug. 31, 07 Aug. 17, 95 -

Emerging Markets Equity Pool Aug. 31, 07 Nov. 3, 05 -

Enhanced Income Pool Aug. 31, 07 Nov. 3, 05 -

Global Equity Allocation Pool Oct. 19, 18 Oct. 19, 18 Feb. 22, 19*

Global Fixed Income Pool Aug. 31, 07 Jun. 24, 94 -

International Equity Alpha Pool Jan. 31, 19 Jan. 31, 19 -

International Equity Growth Pool Aug. 31, 07 Apr. 28, 00 -

International Equity Value Currency Hedged Pool - - -

International Equity Value Pool Aug. 31, 07 Apr. 28, 00 -

Real Estate Investment Pool Aug. 31, 07 May. 8, 96 -

Short Term Income Pool Aug. 31, 07 Apr. 23, 93 -

US Equity Alpha Pool Oct. 31, 18 Oct. 31, 18 -

US Equity Growth Pool Aug. 31, 07 Apr. 28, 00 -

US Equity Small Cap Pool Aug. 31, 07 Nov. 3, 05 -

US Equity Value Currency Hedged Pool - - -

US Equity Value Pool Aug. 31, 07 Jun. 24, 94 -

*Private Client Managed Portfolios are made available through Assante Private Client, a division of CI Private Counsel LP. The pools used in the Private Client Managed Portfolios are managed by CI Investments Inc., and affiliate of CI Private Counsel LP.

United Funds offer Series A units, Series E units, Series ET8 units, Series F units, Series FT8 units,

Series I units, Series IT8 units, Series OF units, Series W units and Series WT8 units. Series A units are

intended only for investors who want to receive the Optima Strategy Series A Services as described in

the Funds’ simplified prospectus. Series E, Series ET8, Series F and Series FT8 units are only available

to investors who participate in the Evolution Private Managed Accounts’ program as described in the

Funds’ simplified prospectus. Series I and Series IT8 units are only available to institutional clients

and investors who have been approved by the Manager and have entered into a Series I Account

Agreement. Series OF units are available only to investors who participate in fee-based programs as

described in the Funds’ simplified prospectus. Series W units are available to all investors. Investors

in Series W units who qualify may elect to participate in Optima Strategy Asset Management Service

as described in the Funds’ simplified prospectus. Series WT8 units are offer to investors under Private

Client Managed Portfolios Program.

Series E2, Series E3, Series E4, Series E5, Series E3T8, Series E4T8 and Series E5T8 units collectively

(Fee Tier Series E). Fee Tier Series E units were available to investors who qualified for our Automatic

Switch Program and: (i) held Series E units under the Initial Sales Charge Option with a minimum

investment of $500,000 in the Evolution Private Managed Accounts program, provided their dealer

had entered into the appropriate eligibility agreement with the Manager and was able to support Fee

Tier Series E units; or (ii) already held Fee Tier Series E units of a Fund. The Manager automatically

switched a qualifying investor’s Series E or Series ET8 Initial Sales Charge units of a Fund into the

Fee Tier Series E that had the lowest combined management and administration fees for which the

investor qualified, and which was available for the Fund. If an investor no longer qualified for Fee Tier

Series E units, the Manager automatically switched investor units back to Series E or Series ET8 units.

Series F2, Series F3, Series F4, Series F5, Series F3T8, Series F4T8 and Series F5T8 units collectively

(Fee Tier Series F). Fee Tier Series F units were available to investors who qualified for our Automatic

Switch Program and: (i) held Series F units with a minimum investment of $500,000 in the Evolution

Private Managed Accounts, provided their dealer had entered into the appropriate eligibility

agreement with the Manager and was able to support Fee Tier Series F units; or (ii) already held

Fee Tier Series F units of a Fund. The Manager automatically switched a qualifying investor’s Series

F or Series FT8 units of a Fund into the Fee Tier Series F that had the lowest combined management

and administration fees for which the investor qualified, and which was available for the Fund. If an

investor no longer qualified for Fee Tier Series F units, Manager automatically switched investor units

back to Series F or Series FT8 units.

Effective after the close of business on August 2, 2019, the Funds that offered CI Preferred Pricing

Program (CIPP) transitioned from a tiered pricing model to a fee rebate/distribution model. As a result,

assets from Series E2 units, Series E3 units, Series E4 units and Series E5 units were transferred into

Series E units, assets from Series E3T8 units, Series E4T8 units and Series E5T8 units were transferred

into Series ET8 units, assets from Series F2 units, Series F3 units, Series F4 units and Series F5 units

were transferred into Series F units and assets from Series F3T8 units, Series F4T8 units and Series

F5T8 units were transferred into Series FT8 units.

Units of the Funds are distributed by principal distributors who have the exclusive right to distribute in

the jurisdictions in which they are appropriately registered. These principal distributors are affiliates

of the Manager within the meaning of applicable securities legislation.

Inception Date:



The Statements of Financial Position are as at December 31, 2020 and 2019, as applicable.

The Statements of Comprehensive Income, Changes in Net Assets Attributable to Holders of

Redeemable Units and Cash Flows are for the years ended December 31, 2020 and 2019, except for

Funds established during either year, in which case the information provided relates to the period from

inception to December 31, 2020 and 2019, as applicable.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

These financial statements have been prepared in compliance with International Financial Reporting

Standards (IFRS) as published by the International Accounting Standards Board.

a. Classification and recognition of financial instruments

The Funds classify and measure their investments (such as fixed-income securities, equity securities,

investment fund(s), exchange-traded fund(s) and derivatives) based on both the Funds’ business model

for managing those financial assets and the contractual cash flow characteristics of the financial

assets. The Funds’ portfolios of financial assets are managed, and performance is evaluated on a fair

value basis. The Funds are primarily focused on fair value information and use that information to

assess the assets’ performance and to make decisions. The contractual cash flows of the Funds’ debt

securities are solely principal and interest, however, these securities are neither held for the purpose

of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale.

The collection of contractual cash flows is only incidental to achieving the Funds’ business model’s

objective. Consequently, all investments and derivatives are measured at fair value through profit or

loss (FVTPL). Short sales are classified as financial liabilities at FVTPL. Derivative contracts that have

a negative fair value are presented as liabilities at FVTPL.

The Funds’ obligations for net assets attributable to holders of redeemable units are presented at the

redemption amount, which approximates their fair value. All other financial assets and liabilities are

measured at amortized cost, which approximates their fair value. Under this method, financial assets

and liabilities reflect the amount required to be received or paid, discounted, when appropriate, at the

effective rate of interest.

Financial assets and liabilities are offset, and the net amount is presented in the Statements of

Financial Position when, and only when, the Funds have a legal right to offset the amounts and

intend either to settle on a net basis or to realize the asset and settle the liability simultaneously.

In the normal course of business, the Funds enter into various master netting agreements or similar

agreements that do not meet the criteria for offsetting in the Statements of Financial Position, but still

allow for the related amounts to be offset in certain circumstances, such as bankruptcy or termination

of the contracts.

b. Fair value of financial instruments

At the financial reporting date, listed securities are valued based on the last traded market price

for financial assets and financial liabilities where the last traded price falls within the day’s bid-ask

spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager

determines the point within the bid-ask spread that is most representative of fair value based on

the existing market conditions. Unlisted securities are valued based on price quotations received

from recognized investment dealers, or failing that, their fair value is determined by the Manager

based on the latest reported information available. Unlisted warrants, if any, are valued based on

a pricing model which considers factors such as the market value of the underlying security, strike

price, and terms of the warrant. Fixed-income securities, debentures and other debt instruments,

including short-term investments, are valued at the quotation received from recognized investment

dealers. Underlying fund(s) are valued on each business day at their net asset value as reported by

the underlying fund(s)’ managers.

The fair value of private placements and other securities where there are significant unobservable

inputs is determined by using valuation models that may be based, in part, on assumptions that are

not supported by observable market inputs. These methods and procedures may include, but are

not limited to, performing comparisons with prices of comparable or similar securities, obtaining

valuation related information from issuers and/or other analytical data relating to the investment and

using other available indications of value. These values are independently assessed by the Manager

to ensure that they are reasonable. However, because of the inherent uncertainty of valuation, the

estimated fair values for these securities may be materially different from the values that would have

been used had a ready market for the investment existed. The fair values of private placements are

affected by the perceived credit risks of the issuer, predictability of cash flows and the length of time

to maturity.

c. Cash

Cash is comprised of cash on deposit and bank overdraft.

d. Cost of investments

Cost of investments represents the amount paid for each security and is determined on an average

cost basis excluding commissions and transactions costs. Average cost does not include amortization

of premiums or discounts on fixed-income securities with the exception of zero-coupon bonds.

e. Investment transactions and income recognition

Investment transactions are recorded on the trade date - the date on which a Fund commits to

purchase or sell the investment. The “Interest for distribution purposes” shown on the Statements of

Comprehensive Income represents the coupon interest received by the Funds and is accounted for on

an accrual basis. The Funds do not amortize premiums paid or discounts received on the purchase of

fixed-income securities except for zero-coupon bonds, which are amortized on a straight-line basis.

Dividends and distributions from investments are recognized on the ex-dividend/ex-distribution date.

Distributions received from income trust(s) and underlying fund(s) holdings are recorded as income,

capital gains or a return of capital, based on the best information available to the Manager. Due to

the nature of these investments, actual allocations could vary from this information. Distributions from

income trust(s) or underlying fund(s) that are treated as a return of capital for income tax purposes

reduce the average cost of the income trust(s) or underlying fund(s).

f. Foreign exchange

The Funds’ functional and presentation currency is the Canadian dollar. Foreign currency amounts are

translated into the functional currency as follows: fair value of investments, foreign currency forward

contracts and other assets and liabilities at the closing rate of exchange on each business day; income

and expenses, purchases and sales and settlements of investments at the rate of exchange prevailing

on the respective dates of such transactions. Foreign exchange gains (losses) relating to cash are

presented as “Foreign exchange gain (loss) on cash” and those relating to other financial assets and

liabilities are presented within “Net realized gain (loss) on sale of investments and derivatives” and

“Change in unrealized appreciation (depreciation) in value of investments and derivatives” in the

Statements of Comprehensive Income.

g. Unit valuation

Net asset value (NAV) per unit of each Series is calculated at the end of each day on which the

Manager is open for a full day of business by dividing the total NAV of each Series of a Fund by the

number of units of that Series outstanding.



The NAV of each Series is computed by calculating the value of that Series’ proportionate share of

the Fund’s assets less that Series’ proportionate share of the Fund’s common liabilities and less Series

specific liabilities. Expenses directly attributable to a Series are charged to that Series. Other income

and expenses, and gains and losses, are allocated to each Series proportionately based upon the

relative total NAV of each Series.

As at December 31, 2020 and 2019, there were no differences between the NAV used for transactions

with unitholders and the net assets attributable to holders of redeemable units used for reporting

purposes under IFRS.

h. Classification of units

The units of the Funds are classified as financial liabilities in accordance with IAS 32 - Financial

Instruments: Presentation (IAS 32), as they do not meet the definition of puttable instruments to be

classified as equity in accordance with IAS 32 for financial reporting purposes.

i. Commissions and other portfolio transaction costs

Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities, are

included in “Commissions and other portfolio transaction costs” in the Statements of Comprehensive

Income.

Funds that invest only in units of underlying mutual fund(s) are not subject to transaction costs.

j. Increase (decrease) in net assets attributable to holders of redeemable units per unit

“Increase (decrease) in net assets attributable to holders of redeemable units per unit” in the

Statements of Comprehensive Income is calculated by dividing the increase (decrease) in net assets

attributable to holders of redeemable units of each Series of a Fund by the weighted average number

of units outstanding during the year of that Series.

k. Foreign currency forward contracts

A Fund may, from time to time, enter into foreign currency forward contracts. Foreign currency forward

contracts are valued on each valuation day based on the difference between the contract rate and the

current forward rate at the measurement date applied to the contract’s notional amount and adjusted

for counterparty risk. All unrealized gains (losses) arising from foreign currency forward contracts are

recorded as part of “Change in unrealized appreciation (depreciation) in value of investments and

derivatives” in the Statements of Comprehensive Income and “Unrealized gain (loss) on futures and

foreign currency forward contracts” in the Statements of Financial Position until the contracts are

closed out or expire, at which time the gains (losses) are realized and reported as “Net realized gain

(loss) on sale of investments and derivatives” in the Statements of Comprehensive Income.

l. Futures contracts

Futures contracts are valued on each valuation day using the closing price posted on the relevant

public exchange. Cash and cash equivalents are held as margin against futures contracts which are

reflected in the “Daily variation margin on derivative instruments” in the Statements of Financial

Position. All unrealized gains (losses) arising from futures contracts are recorded as part of “Change

in unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of

Comprehensive Income and “Unrealized gain (loss) on futures and foreign currency forward contracts”

in the Statements of Financial Position until the contracts are closed out or expire, at which time

the gains (losses) are realized and reported as “Net realized gain (loss) on sale of investments and

derivatives” in the Statements of Comprehensive Income.

m. Options contracts

Over-the-counter (OTC) options are valued using the Black Scholes model, whereas, exchange- traded

options are valued at last traded price taken from the exchange. Options contracts are valued each

valuation day according to the gain or loss that would be realized if the contracts were closed

out. All unrealized gains (losses) arising from option contracts are recorded as part of “Change in

unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of

Comprehensive Income until the contracts are closed out or expire, at which time the gains (losses)

are realized and reflected in the Statements of Comprehensive Income in “Net realized gain (loss) on

sale of investments and derivatives”. Any expired option premiums are recorded as part of “Derivative

income (loss)” in the Statements of Comprehensive Income.

n. Mortgage-backed and asset-backed investments

Certain Funds invest in mortgage-related and other asset-backed securities. These securities may

include: mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-

backed securities, asset-backed securities, collateralized debt obligations and other securities that

directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans

on real property. The debt and equity securities issued by these securities may include tranches with

varying levels of subordination. These securities may provide a monthly payment which consists of

both interest and principal payments. Mortgage-related securities are created from pools of residential

or commercial mortgage loans, including mortgage loans made by savings and loan institutions,

mortgage bankers, commercial banks and others. Asset-backed securities are created from many

types of assets, including auto loans, credit card receivables, home equity loans, and student loans.

Mortgage-related and asset-backed securities are issued as separate tranches, or classes, of

securities within each deal. The securities are also normally valued by pricing service providers that

use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing

models for these securities usually consider tranche-level attributes, current market data, estimated

cash-flows, and market-based yield spreads for each tranche, and incorporate deal collateral

performance, as available. The carrying values of mortgage-related and other asset-backed securities

are included in “Investments” in the Statements of Financial Position. The change in fair values of

mortgage-related and other asset-backed securities are included in the Statements of Comprehensive

Income in “Change in unrealized appreciation (depreciation) in value of investments and derivatives”.

o. Offsetting of financial instruments

The disclosures set out in the Offsetting of Financial Instruments tables in the Fund Specific Notes

to Financial Statements of each of the Funds include foreign currency forward contracts assets and

liabilities that are subject to an enforceable master netting arrangement. Transactions with individual

counterparties are governed by separate master netting agreements. Each agreement allows for net

settlement of certain open contracts where the Funds and respective counterparty both elect to settle

on a net basis. In the absence of such an election, contracts will be settled on a gross basis. However,

each party to the master netting agreement will have the option to settle all open contracts on a net

basis in the event of default of the other party.

International Swaps and Derivatives Association Inc. Master Agreements (ISDA Master Agreements)

govern OTC financial derivative transactions entered into by the Funds and select counterparties. The

ISDA Master Agreements maintain provisions for general obligations, representations, agreements,

collateral and events of default or termination. Events of termination include conditions that may

entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions

under the applicable ISDA Master Agreement. Any election to terminate early could be material to the

financial statements. The fair value of OTC financial derivative transactions net of collateral received

in or pledged by a counterparty as at year end is disclosed in the Fund Specific Notes to Financial

Statements of each of the Funds, as applicable.



The Funds may be subject to various Master Agreements or netting arrangements, with selected

counterparties. These Master Agreements reduce the counterparty risk associated with relevant

transactions by specifying credit protection mechanisms and providing standardization that improves

legal certainty. Since different types of transactions have different mechanics and are sometimes

traded out to different legal entities of a particular counterparty organization, each type of transaction

may be covered by a different Master Agreement resulting in the need for multiple agreements with

a single counterparty. As the Master Agreements are specific to unique operations of different asset

types, they allow the Funds to close out and net their total exposure to a counterparty in the event

of a default with respect to the transactions governed under a single agreement with a counterparty.

p. Investments in associates, joint ventures, subsidiaries and unconsolidated structured

entities

Subsidiaries are entities, including investments in other investment entities, over which a Fund has

control. A Fund controls an entity when it is exposed to, or has rights to, variable returns from its

involvement with the entity, and has the ability to affect those returns through its power over the

entity. Associates and joint ventures are investments over which a Fund has significant influence

or joint control. A structured entity is an entity that has been designed so that voting or similar

rights are not the dominant factors in deciding, who controls the entity, or when voting rights

relate to administrative tasks only and the relevant activities are directed by means of contractual

arrangements.

The Manager has determined that underlying fund(s) or exchange-traded fund(s) (ETF(s)) held typically

by the Funds meet the definition of unconsolidated structured entities. Mortgage-backed securities

or asset-backed securities are also considered to be unconsolidated structured entities. The Funds

account for their investments in unconsolidated structured entities at FVTPL.

The Funds that invest in underlying fund(s) are subject to the terms and conditions of the respective

underlying fund(s)’ offering documents and are susceptible to market price risk arising from

uncertainties about future values of those underlying fund(s). All of the underlying fund(s) in the

investment portfolio are managed by portfolio managers who are compensated by the respective

underlying fund(s) for their services. Such compensation generally consists of an asset-based fee

and is reflected in the valuation of each of the underlying fund(s), except when the Funds invest

in certain classes/series of the underlying fund(s) where the compensation to portfolio managers

is negotiated and paid outside each of the underlying fund(s). The underlying fund(s) finance their

operations by issuing redeemable units that entitle the holders to an equal beneficial interest in the

underlying fund(s). The Funds can redeem their investments in the underlying fund(s) on a daily basis.

These investments are included in “Investments” at FVTPL in the Statements of Financial Position.

All unrealized gains (losses) arising from these investments are recorded as part of “Change in

unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of

Comprehensive Income until these investments are sold, at which time the gains (losses) are realized

and reflected in the Statements of Comprehensive Income in “Net realized gain (loss) on sale of

investments and derivatives. The Funds’ maximum exposure to loss from their interest in underlying

fund(s) is equal to the total fair value of their investments in underlying fund(s).

Certain Funds invest in ETF(s) which are disclosed on the Schedule of Investment Portfolio and these

Funds have determined that their investments in such ETF(s) meet definition of unconsolidated

structured entities. These ETF(s) finance their operations by issuing redeemable units/shares which

are puttable at the holder’s option and entitle the holder to a proportional stake in each ETF’s net asset

value. The ETF(s) are domiciled in Canada or U.S. and listed on recognized public stock exchanges.

The Funds’ maximum exposure to loss from their interest in ETF(s) is equal to the total fair value of

their investments in the ETF(s).

Information related to Interest in Unconsolidated Structured Entities appears under the Fund Specific

Notes to Financial Statements of each of the Funds, if applicable.

q. Withholding taxes

A Fund may, from time to time, incur withholding taxes imposed by certain countries on investment

income and capital gains. Such income and gains are recorded on a gross basis and the related

withholding taxes are shown separately in the Statements of Comprehensive Income.

r. Harmonized sales tax

Certain provinces including Ontario, Prince Edward Island, Nova Scotia, New Brunswick and

Newfoundland and Labrador (each a Participating Tax Jurisdiction) have harmonized their provincial

sales tax (PST) with the federal goods and services tax (GST). The Harmonized Sales Tax (HST)

combines the federal GST rate of 5% with the PST rate of the participating provinces. The province

of Quebec also applies the Quebec sales tax (QST) of 9.975%. The Provincial HST liability or refund is

calculated using the residency of unitholders and the value of their interest in the Fund as at specific

times, rather than the physical location of the Fund. The effective sales tax rate charged to each

Series of the Fund is based on the unitholders’ proportionate investments by province, using each

province’s HST rate, GST rate in the case of non-participating provinces and/or QST rate. All amounts

are presented as “Harmonized sales tax” in the Statements of Comprehensive Income.

s. Non-cash Transactions

The “Proceeds from issuance of redeemable units” and “Amounts paid on redemption of redeemable

units” in the Statements of Cash Flow exclude non-cash transactions.

3. CRITICAL ACCOUNTING JUDGMENTS AND ESTIMATES

The preparation of financial statements in accordance with IFRS requires management to make

judgments, estimates and assumptions that affect the application of accounting policies and reported

amounts of assets and liabilities at the reporting date and the reported amounts of income and

expenses during the reporting year. The following discusses the most significant accounting judgments

and estimates that the Funds have made in preparing their financial statements:

Fair value measurement of investments and derivatives not quoted in active market

The Funds may, from time to time, hold financial instruments that are not quoted in active

markets, such as unlisted securities, private securities or derivatives. Unlisted securities are

valued based on price quotations from recognized investment dealers, or failing that, their

fair value is determined by the Manager based on the latest reported information available.

The fair value of private securities is determined by using valuation models that may be based,

in part, on assumptions that are not supported by observable market inputs. These methods and

procedures may include, but are not limited to, performing comparisons with prices of comparable

or similar securities, obtaining valuation related information from issuers and/or other analytical

data relating to the investment and using other available indications of value. These values were

independently assessed by the Manager based on assumptions and estimates as at statement

of the financial position date. However, because of the inherent uncertainty of valuation, the

estimated fair values for these securities may be materially different from the values that would

have been used had a ready market for the investment existed. The fair values of private securities

are affected by the perceived credit risks of the issuer, predictability of cash flows and the length

of time to maturity.

Valuation models use observable data, to the extent practicable. Since the outbreak of

Coronavirus 19 (COVID-19), market volatility has increased significantly which results in fluctuation

in quoted securities prices, widening of bid ask spreads and reduced liquidity in the market. These



changes may also impact the observability of some of the model valuation inputs used, which may

have an implication on classification of certain financial instruments within the fair value hierarchy.

Areas such as credit risk (both own and counterparty); volatilities, correlations and key

assumptions concerning future developments require the Manager to make estimates. Changes

in assumptions about these factors could affect the reported fair values of financial instruments.

The Funds consider observable data to be market data that is readily available, regularly

distributed and updated, reliable and verifiable, not proprietary and provided by independent

sources that are actively involved in the relevant market.

The fair value of investments in underlying fund(s) that are not quoted in active markets is

determined primarily by reference to the latest available net asset value of such units for each

underlying fund, as determined by the underlying fund(s)’ managers.

IFRS 10 - Consolidated Financial Statements (IFRS 10)

In accordance with IFRS 10, the Manager has determined that the Funds meet the definition of an

Investment Entity which requires that the Funds obtain funds from one or more investors for the

purpose of providing investment management services, commit to their investors that their business

purpose is to invest funds solely for returns from capital appreciation, investment income, or both; and

measure and evaluate the performance of their investments on a fair value basis. Consequently, the

Funds do not consolidate their investment in subsidiaries, if any, but instead measure these at FVTPL,

as required by the accounting standard.

4. REDEEMABLE UNITS

Redeemable units issued and outstanding represent the capital of each Fund.

Each Fund is authorized to issue an unlimited number of redeemable, transferable units of each Series.

Generally, the Funds have no restrictions or specific capital requirements, except for the minimum

subscriptions’ amounts. The relevant changes pertaining to subscriptions and redemptions of Fund

units are disclosed in the Statements of Changes in Net Assets Attributable to Holders of Redeemable

Units. In accordance with the objectives and risk management policies outlined in Notes 1 and 10,

the Funds endeavour 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.

Redeemable unit transactions information appears in the Fund Specific Notes to Financial Statements

of each of the Funds.

In order to establish each individual Series, the Manager has made initial investments in certain Funds.

2020 2019

Funds (in $) (in $)

Canadian Equity Alpha Pool 1,215 14,408

Cash Management Pool 12,018 30,769

Global Equity Allocation Pool 3,326 26,661

Global Fixed Income Pool 991 -

International Equity Alpha Pool 1,286 14,290

International Equity Growth Pool 1,231 24,646

International Equity Value Currency Hedged Pool 1,204 77,327

Short Term Income Pool 2,069 20,719

US Equity Alpha Pool 1,289 15,207

US Equity Value Currency Hedged Pool 1,358 81,802

5. FEES AND OTHER EXPENSES

Management fees

The Manager of each Fund, in consideration for management fees, provides management services

required in the day-to-day operations of the Funds, including management of the investment portfolios

of the Funds and provision of key management personnel.

The management fee is calculated based on a percentage of the NAV of each Series of a Fund

(other than Series I, Series IT8 and Series W and Series WT8 units (Series WT8 units are available

to investors only under Private Client Managed Portfolios Program)) at the end of each business day,

plus applicable taxes, and is payable monthly. Investors in Series I units, Series IT8 units, Series W

units and Series WT8 units are charged management fees directly as negotiated between the investor

and the Manager.

For each Series I units and Series IT8 units of a Fund, management fees, plus applicable taxes, are paid

directly by investors to the Manager as negotiated between the investor and the Manager on quarterly

basis and are not charged to the Funds.

For each Series W units and Series WT8 units, management fees, plus applicable taxes, are paid

directly by investors to the Manager on a quarterly basis (or monthly at the discretion of the Manager)

and are not charged to the Funds.

Administration fees

The Manager bears all of the operating expenses of the Funds (other than certain taxes, brokerage

and borrowing costs and certain new governmental fees) in return for an annual administration fee,

plus applicable taxes. Administration fees are calculated as an annual percentage of the NAV of each

Series (other than Series I units and Series IT8 units) of a Fund (except for Cash Management Pool) at

the end of each business day and are payable monthly.

Investors in Series I units and Series IT8 units are charged administration fees directly as negotiated

between the investor and the Manager.

Fees rebates

The Manager may reduce the management and/or administration fees based on size of a unitholder

investment or participation in a program offered by the Manager for larger accounts. The Manager

may also reduce management fee if a reduced trailing commission has been negotiated between

a unitholder and the unitholder representative based on relevant documentation provided to the

Manager. Following the end of each quarter, the amount of any management and/or administration

fees reduction is distributed to qualified unitholders by the Fund in the form of a reinvestment in

additional units of the respective Series of the Fund. The management and/or administration fee

rebates, if applicable, are included in “Fees rebate receivable” and in “Fees rebate” as reflected

in the Statements of Financial Position and Statements of Comprehensive Income of each Fund, if

applicable. The Manager may reduce or waive the management and/or administration fees without

giving notice to unitholders.

A Unitholder that invests in Series E units, Series ET8 units, Series F units and/or Series FT8 units of

Funds available under Preferred Pricing Program and have a minimum account investment of $500,000

in qualifying investments, may be eligible for Preferred Pricing, which offers a potential for lower

management and administration fees in form of distributions. The Manager may vary the terms,

conditions and the unitholders qualifications for Preferred Pricing from time to time or the Manager

may discontinue the program based on the Manager sole discretion.



Investments in underlying fund(s)

A Fund that invests in units of underlying fund(s) will not pay a duplicate management and

administration fee on the portion of assets that are invested in units of underlying fund(s). During the

reporting year, a Fund may have received a management and/or administration fee rebate from the

underlying fund(s)’ manager relating to its investment in an underlying fund. The management and/

or administration fee rebates, if applicable, are included in “Fees rebate receivable” and in “Fees

rebate” as reflected in the Statements of Financial Position and Statements of Comprehensive Income

of each Fund, if applicable.

Refer to the Management and Administration Fees table in the Fund Specific Notes to the Financial

Statements for the management and administrative fee rates applicable to each Series of each of

the Funds.

6. SECURITIES LENDING

Certain Funds have entered into a securities lending program with the Custodian. The aggregate

market value of all securities loaned by a Fund cannot exceed 50% of the assets of the Fund. A Fund

will receive collateral of at least 102% of the value of securities on loan. Collateral will generally

be comprised of cash and obligations of or guaranteed by the Government of Canada or a province

thereof, or by the United States government or its agencies, but may include obligations of other

governments with appropriate credit ratings. For those Funds participating in the program, amounts for

securities loaned and the collateral received as well as reconciliation between gross securities lending

revenue and securities lending revenue received by each Fund appear in the Fund Specific Notes to

Financial Statements of each of the Funds, if applicable. Revenue from securities lending is included

in “Securities lending revenue” in the Statements of Comprehensive Income.

7. TAXATION

The Funds qualify as a mutual fund trust under the Income Tax Act (Canada). All of the Funds’ net

income for tax purposes and sufficient net capital gains realized in any year are required to be

distributed to unitholders such that no income tax is payable by each of the Funds. As a result, the

Funds do not record income taxes. Since the Funds do not record income taxes, the tax benefit of

capital and non-capital losses has not been reflected in the Statements of Financial Position as a

deferred income tax asset. Income tax on net realized capital gains not paid or payable will generally

be recoverable by virtue of refunding provisions contained in the Income Tax Act (Canada) and

provincial income tax legislation, as redemptions occur. Occasionally, the Funds may distribute more

than they earn. This excess distribution is a return of capital and is not taxable to unitholders.

Refer to Loss Carry Forwards table in the Fund Specific Notes to Financial Statements for further

information relating to loss carry forwards.

8. REINVESTMENT OF DISTRIBUTIONS

When a Fund declares a distribution to a unitholder, it will be in the same currency in which the units

are held. Distributions are automatically reinvested without charge in the same Fund (other than

Cash Management Pool) and then the outstanding units of the Fund will be consolidated on such

basis as is necessary to increase the NAV per unit to that which prevailed prior to the distribution

and to ensure that the number of units outstanding immediately following such reinvestment and

consolidation are the same as the number of units outstanding immediately prior to the reinvestment

and consolidation. Accordingly, no payments are made, or new units issued on a distribution except

for Cash Management Pool. The unitholders of Cash Management Pool may select to automatically

reinvest the distribution without charge in additional units of the Fund or have distribution paid in cash.

The Manager may change the distribution policy at its discretion.

Notional distributions for the year ended December 31, 2020 are included in the Statements of

Changes in Net Assets Attributable to Holders of Redeemable Units.

December 31, 2019

Funds





















Class A Class E Class ET8 Class F Class FT8 Class OF Class I

(in ‘000s) (in ‘000s) (in ‘000s) (in ‘000s) (in ‘000s) (in ‘000s) (in ‘000s)

- - n/a - n/a - 1,370

103 511 n/a 227 n/a 14 16,213

- 584 n/a 169 n/a 1 3,398

- - n/a 30 n/a - 3,829

101 9,125 n/a 1,568 n/a 17 53,074

- - n/a 138 n/a - 3,972

34 4,494 n/a 905 n/a 8 11,711

61 8,980 17 1,565 13 13 21,670

- - n/a 241 n/a 2 12,848

- - n/a 31 n/a - 1,804

6 1,425 n/a 263 n/a 2 3,533

- 26 n/a 5 n/a - 114

- 509 n/a 187 n/a 3 4,585

- 1,483 n/a 382 n/a 6 11,685

1 20 n/a - n/a - 483

3 1,308 n/a 193 n/a - 19,413

- - n/a - n/a - -

- - n/a - n/a - 564

- 32 n/a 5 n/a - 113

- - n/a - n/a - 1,481

During the year ended December 31, 2019 each of the Funds made the following notional distributions that were automatically reinvested in additional units of the same Fund.



Funds (cont’d)





















Class IT8 Class W Class WT8

(in ‘000s) (in ‘000s) (in ‘000s)

n/a 435 n/a

n/a 3,634 n/a

n/a 1,577 n/a

n/a 1,478 n/a

n/a 17,197 n/a

n/a 1,539 n/a

n/a 4,928 n/a

245 720 1

n/a 2,284 n/a

n/a 703 n/a

n/a 981 n/a

n/a - n/a

n/a 2,653 n/a

n/a 3,671 n/a

n/a 263 n/a

n/a 1,667 n/a

n/a - n/a

n/a 133 n/a

n/a - n/a

n/a 667 n/a

9. RELATED PARTY TRANSACTIONS

The Funds may have direct or indirect holdings in CI Financial Corp., or its affiliates or other investment

fund(s) managed by the Manager as identified in the Fund Specific Notes to Financial Statements of

each of the Funds, if applicable.

The Manager of the Funds may, from time to time, make initial investments in certain Series of

certain Funds to help establish a Series or a Fund. Details of the investments made by the Manager

are disclosed in Note 4.

Inter fund trading

Inter fund trading occurs when a Fund purchases or sells a security of any issuer from or to another

Fund managed by the Manager. These transactions are executed through market intermediaries and

under prevailing market terms and conditions. The Independent Review Committee (IRC) reviews such

transactions during scheduled meetings. During the years December 31, 2020 and 2019, certain Funds

executed inter fund trades.

Related fund trading

Related fund trading occurs when a Fund purchases or sells units/shares of another Fund managed by

the Manager. During the years ended December 31, 2020 and 2019, certain Funds engaged in related

fund trading or held position(s) in related fund(s) at the end of each year.

Related issuer trading

Related issuer trading occurs when a Fund purchases or sells securities of CI Financial Corp.

These transactions are executed through market intermediaries and under prevailing market terms

and conditions. The IRC reviews such transactions during scheduled meetings. During the years ended

December 31, 2020 and 2019, certain Funds engaged in related issuer trading or held position(s) in

CI Financial Corp. at the end of each year.

10. FINANCIAL INSTRUMENTS RISK

COVID-19 Impact

Since the outbreak of COVID-19, emergency measures taken in response to the spread of

COVID-19 have resulted in significant disruption to business operations globally, resulting in an

economic slowdown. Global equity and capital markets have also experienced significant volatility and

weakness. The governments have reacted with significant monetary and fiscal interventions designed

to stabilize economic conditions. These developments are constantly evolving and the duration and

impact of the COVID-19 pandemic is highly uncertain and cannot be predicted at this time but could

have a material impact on the future performance of the Funds. In the face of the current environment

of heightened uncertainty and market volatility, the Manager continues to closely monitor its impact

on the Funds’ risk exposures from the portfolio holdings.

Risk management

The Funds are exposed to a variety of financial instruments risks: concentration risk, credit risk,

liquidity risk and market risk (including other price risk, currency risk and interest rate risk).

The level of risk to which each Fund is exposed to depends on the investment objective and the type of

investments the Fund holds. The value of investments within a 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 Fund. The Manager of the Funds may minimize potential adverse

effects of these risks on the Funds’ performance by, but not limited to, regular monitoring of the Funds’

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.

The Funds that invest in units of underlying fund(s) are indirectly exposed to financial instruments

risks mentioned above.



Concentration risk

Concentration risk arises as a result of the concentration of exposures within the same category,

whether it is a geographical allocation, asset type, industry sector or counterparty.

Details of each Fund’s exposure to concentration risk are available in the Fund Specific Notes to

Financial Statements of each of the Funds.

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 a debt instrument includes consideration for the credit

worthiness of the debt issuer. The carrying amount of debt instruments as shown on the Schedule

of Investment Portfolio represents the credit risk exposure of each Fund. Credit risk exposure for

derivative instruments is based on each Fund’s unrealized gain on the contractual obligations with the

counterparty as at the reporting date. The credit rating of a counterparty to a derivative instrument is

disclosed in the Schedule of Investment Portfolio or in the Fund Specific Notes to Financial Statements

of each of the Funds, if applicable. The credit risk exposure of the Fund’s other assets is represented

by their carrying amount as disclosed in the Statements of Financial Position.

Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to indirect

credit risk in the event that the underlying fund(s)/ETF(s) invest in debt instruments, preferred

securities and derivatives.

Credit ratings for debt securities, preferred securities and derivative instruments are obtained from

S&P Global Ratings, otherwise ratings are obtained from: Moody’s Investors Service or Dominion

Bond Rating Service, respectively. 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 Schedule 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

Cash balances as disclosed in the Statements of Financial Position are maintained by the Custodian.

The Manager monitors the credit worthiness of the Custodian on a regular basis. The credit rating of

the Custodian as at December 31, 2020 was AA- (December 31, 2019 – AA-).

All transactions executed by a Fund 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.

Liquidity risk

Liquidity risk is the risk that a Fund may not be able to settle or meet its obligations, on time or at

a reasonable price. The Funds are exposed to daily cash redemption of redeemable units. Therefore,

Funds invest the majority of their assets in investments that are traded in active markets and can be

readily disposed of. In addition, the Funds retain sufficient cash and cash equivalents positions to

maintain liquidity. From time to time, the Funds may enter into derivative contracts or invest in unlisted

securities that may not trade in an organized market and may be illiquid. All financial liabilities are

due within three months.

Market risk

The Funds’ investments are subject to market risk which is the risk that the fair value of future cash

flows of a financial instrument will fluctuate due to changes in market conditions.

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 currency risk or interest rate 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.

Other assets and liabilities are monetary items that are short-term in nature and therefore are

not subject to significant other price risk.

Currency risk

Currency risk arises from financial instruments that are denominated in a currency other than

the Canadian dollar, the functional currency of the Funds. As a result, the Funds may be exposed

to the risk that the value of securities denominated in other currencies will fluctuate due to

changes in exchange rates. The Schedule of Investment Portfolio identifies all bonds and

derivative instruments denominated in foreign currencies. Equities traded in foreign markets

are also exposed to currency risk as the prices denominated in foreign currencies are converted

to the Funds’ functional currency to determine their fair value.

Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed

to indirect currency risk in the event that the underlying fund(s)/ETF(s) invest in financial

instruments that are denominated in a currency other than the functional currency of the Fund.

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 Funds that invest in debt securities and/or income trusts

will be affected by changes in applicable interest rates. If interest rates fall, the fair value of

existing debt securities may increase due to increase in yield. Alternatively, if interest rates

rise, the yield of existing debt securities may 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 than for short-term debt securities.

Interest rate risk also applies to Funds that invest in 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.



Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed

to indirect interest rate risk in the event that the underlying fund(s)/ETF(s) invest in interest

bearing financial instruments.

Fair value hierarchy

The Funds 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 includes publicly traded equities, exchange-traded and retail mutual

fund(s), exchange-traded warrants, futures contracts and traded options.

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 include fixed income securities, mortgage-backed securities,

short-term instruments, non-traded warrants, over-the-counter options, structured notes of indexed

securities, foreign currency forward contracts, swap instruments, American depositary receipts and

Global depositary receipts, if quoted market price is not available.

Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments include

private equities, private term-loans, private equity fund(s) and certain derivatives. As observable prices

are not available for these securities, the Funds may use a variety of valuation techniques to derive

their fair value.

Some of the Funds invest in other investment underlying fund(s) and these investments are generally

classified as Level 1.

The Funds’ policy is to recognize transfers into and out of the fair value hierarchy levels as of the date

of the event or change in circumstances giving rise to the transfer.

Details of each Fund’s exposure to financial instruments risks including concentration risk and fair

value hierarchy classification are available in the Fund Specific Notes to Financial Statements for

each Fund.

Annual Financial Statements - December 31, 2020 – 286 –

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Certain names, words, phrases, graphics or designs in this document may constitute trade names,

registered or unregistered trademarks or service marks of CI Global Asset Management. CI Funds,

CI Financial, CI Investments, CI Investments design, Assante Wealth Management and the Assante

Wealth Management design are registered trademarks of CI Global Asset Management. The CI and

CI Icon logo trademarks and names are owned by CI Global Asset Management and used under

license. CI Global Asset Management is a registered business name of CI Investments Inc.

You can get additional copies of these Financial Statements at your request, and at no cost, by calling

1-800-268-3200, by emailing [email protected], or by asking your representative.

This document, and other information about the funds, is available at www.assante.com or at

www.sedar.com.

United FundsLegal Notice

UP_AR_E (03/21)For more information, please visit www.assante.com.

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