CIBC Multi-Asset Absolute Return Strategy Annual Financial Statements

CIBC Multi-Asset Absolute Return Strategy

Annual Financial Statements for the financial year ended August 31, 2020

Statements of Financial Position Organization of the Fund (note 1) (in 000s, except per unit amounts) The Fund was established on October 5, 2018 (Date Established). Inception Date

As at August 31, 2020 and 2019 (note 1) x x Series A October 9, 2018 x August 31, 2020 August 31, 2019 Series F October 22, 2018 x x Assets Series O October 22, 2018 x x x x Series S October 22, 2018 x Current assets x x Investments- long (non-derivative financial assets) † (notes 2 and 3) $ 826,935 $ 252,503 x Cash including foreign currency holdings, at fair value – 3,566 x Margin 40,538 29,926 x Interest receivable 2,099 221 x Dividends receivable 149 – x Receivable for portfolio securities sold 838 378 x Receivable for units issued 15,345 874 x Derivative assets 31,156 12,097 x x x Total Assets 917,060 299,565 x x x Liabilities x x x Current liabilities x Bank overdraft 77 – x Payable for portfolio securities purchased 838 1,464 x Payable for units redeemed 818 – x Management fees payable 75 – x Other accrued expenses 8 – x Derivative liabilities 21,968 7,012 x x x Total Liabilities 23,784 8,476 x x x Net Assets Attributable to Holders of Redeemable Units (note 6) $ 893,276 $ 291,089 x xx Net Assets Attributable to Holders of Redeemable Units per Series x Series A $ 24,454 $ 4,261 x Series F $ 52,106 $ 11,235 x Series O $ 816,716 $ 275,593 x Series S $ – $ – x x Net Assets Attributable to Holders of Redeemable Units per Unit (note 6) x Series A $ 10.86 $ 10.37 x Series F $ 10.96 $ 10.39 x Series O $ 11.08 $ 10.48 x Series S $ 10.74 $ 10.22 x

† Securities Lending The tables that follow indicate the Fund had assets involved in securities lending transactions outstanding as at August 31, 2020 and 2019:

Aggregate Aggregate Value Value of Securities of Collateral on Loan for Loan ($000s) ($000s)

x x August 31, 2020 31,038 34,868 x August 31, 2019 – – x Collateral Type* ($000s) i ii iii iv

x x August 31, 2020 – 34,281 – 587 x August 31, 2019 – – – – x x * See note 2l for Collateral Type definitions.

The accompanying notes are an integral part of these financial statements. 1 CIBC Multi-Asset Absolute Return Strategy

Statements of Comprehensive Income ±±±± Brokerage Commissions and Fees (notes 9 and 10)

(in 000s, except per unit amounts) 2020 2019

x x For the periods ended August 31, 2020 and 2019 (note 1) Brokerage commissions and other fees ($000s) x Total Paid 1,576 286 August 31, 2020 August 31, 2019 x x Paid to CIBC World Markets Inc. – – x x Net Gain (Loss) on Financial Instruments Paid to CIBC World Markets Corp. – – x x Interest for distribution purposes $ 8,634 $ 2,346 Soft dollars ($000s) x x Dividend revenue 1,662 255 Total Paid – – x x Derivative income (loss) 21,043 3,953 Paid to CIBC World Markets Inc. and CIBC World Markets Corp. – x – x Other changes in fair value of investments and x derivatives x Net realized gain (loss) on sale of investments and derivatives 13,707 (681) x Net realized gain (loss) on foreign currency (notes 2f and g) (540) (74) x Net change in unrealized appreciation (depreciation) of investments and derivatives 4,382 2,535 x x x Net Gain (Loss) on Financial Instruments 48,888 8,334 xx x Other Income x Foreign exchange gain (loss) on cash (1,852) (27) x Securities lending revenue ± 53 – x x x (1,799) (27) xx x Expenses (note 7) x Management fees ±± 363 130 x Fixed administration fees ±±± 59 16 x Independent review committee fees – – x Transaction costs ±±±± 2,345 404 x Withholding taxes (note 8) 549 47 x x x 3,316 597 xx x Expenses waived/absorbed by the Manager – – xx x 3,316 597 xx x Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (excluding distributions) 43,773 7,710 xx x Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per Series (excluding distributions) x Series A $ 493 $ 263 x Series F $ 981 $ 161 x Series O $ 42,299 $ 7,286 x Series S $ – x $ – x Average Number of Units Outstanding for the Period per Series x Series A 859 552 x Series F 1,670 298 x Series O 47,808 12,885 x Series S – x – x Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per Unit (excluding distributions) x Series A $ 0.57 $ 0.47 x Series F $ 0.59 $ 0.54 x Series O $ 0.88 $ 0.57 x Series S $ 0.22 x $ 0.52

± Securities Lending Revenue (note 2l) August 31, 2020 August 31, 2019 % of Gross % of Gross securities securities (in 000s) lending revenue (in 000s) lending revenue

x x Gross securities lending revenue $ 93 100.0 $ – – x Interest paid on collateral – – – – x Withholding taxes (22) (23.7) – – x Agent fees - Bank of New York Mellon Corp. (The) (18) (19.4) – – x x x Securities lending revenue $ 53 56.9 $ – – x x

±± Maximum Chargeable Management Fee Rates (note 7)

x x Series A 1.90% x Series F 0.90% x Series O n/a x Series S 0.90% x x

±±± Fixed Administration Fee (note 7)

x x Series A 0.20% x Series F 0.20% x Series O n/a x Series S 0.15% x x

2 The accompanying notes are an integral part of these financial statements. x CIBC Multi-Asset Absolute Return Strategy

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (in 000s) For the periods ended August 31, 2020 and 2019 (note 1) Series A Units Series F Units Series O Units Series S Units August 31, August 31, August 31, August 31, August 31, August 31, August 31, August 31, 2020 2019 2020 2019 2020 2019 2020 2019

x x. Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (excluding

x distributions) $ 493 $ 263 $ 981 $ 161 $ 42,299 $ 7,286 $ – $ – x x. Distributions Paid or Payable to Holders of

x. Redeemable Units

Fx. rom net investment income (17) (15) (99) (28) (7,167) (1,573) – –

Fx. rom net realized capital gains – (3) (14) – (470) (9) – – x x

x (17) (18) (113) (28) (7,637) (1,582) – – x x.

xR. edeemable Unit Transactions

Ax. mount received from the issuance of units 25,541 14,454 49,223 11,654 545,850 272,255 – –

Ax. mount received from reinvestment of distributions 15 17 94 25 7,628 1,576 – –

Ax. mount paid on redemptions of units (5,839) (10,455) (9,314) (577) (47,017) (3,942) – – x x

x 19,717 4,016 40,003 11,102 506,461 269,889 – – x x. Increase (Decrease) in Net Assets Attributable to

x. Holders of Redeemable Units 20,193 4,261 40,871 11,235 541,123 275,593 – – Net Assets Attributable to Holders of Redeemable Units

x. at Beginning of Period 4,261 – 11,235 – 275,593 – – – x x Net Assets Attributable to Holders of Redeemable Units

x at End of Period $ 24,454 $ 4,261 $ 52,106 $ 11,235 $ 816,716 $ 275,593 $ – $ – x x.

xR. edeemable Units Issued and Outstanding (note 6) As at August 31, 2020 and 2019

Bx. alance - beginning of period 411 – 1,081 – 26,304 – – –

Rx. edeemable units issued 2,387 1,435 4,549 1,134 51,145 26,532 – –

Rx. edeemable units issued on reinvestments 2 2 9 3 714 153 – – x x

x. 2,800 1,437 5,639 1,137 78,163 26,685 – –

Rx. edeemable units redeemed (548) (1,026) (884) (56) (4,480) (381) – – x x

Bx alance - end of period 2,252 411 4,755 1,081 73,683 26,304 – –

The accompanying notes are an integral part of these financial statements. 3 x CIBC Multi-Asset Absolute Return Strategy

x Statements of Cash Flows (in 000s) For the periods ended August 31, 2020 and 2019 (note 1) August 31, 2020 August 31, 2019

x x.

xC. ash Flows from Operating Activities

Ix. ncrease (Decrease) in Net Assets Attributable to Holders of Redeemable Units from Operations (excluding distributions) $ 43,773 $ 7,710

Ax. djustments for:

x. Foreign exchange loss (gain) on cash 1,852 27

x. Net realized (gain) loss on sale of investments and derivatives (13,707) 681

x. Net change in unrealized (appreciation) depreciation of investments and derivatives (4,382) (2,535)

x. Purchase of investments (5,208,551) (1,597,131)

x. Proceeds from the sale of investments 4,647,019 1,342,483

x. Margin (10,612) (29,926)

x. Interest receivable (1,878) (221)

x. Dividends receivable (149) –

x. Other accrued expenses and liabilities 83 – x x

x (546,552) (278,912) x x.

xC. ash Flows from Financing Activities

Ax. mount received from the issuance of units 606,143 297,489

Ax. mount paid on redemptions of units (61,352) (14,974)

Dx. istributions paid to unitholders (30) (10) x x

x 544,761 282,505 x x.

Ix ncrease (Decrease) in Cash during the Period (1,791) 3,593 x x.

Fx oreign Exchange Loss (Gain) on Cash (1,852) (27) x x.

Cx ash (Bank Overdraft) at Beginning of Period 3,566 – x x. Cash (Bank Overdraft) at End of Period $ (77) $ 3,566

Ix. nterest received $ 6,756 $ 2,125 Dividends received, net of withholding taxes $ 1,277 $ 215

4 The accompanying notes are an integral part of these financial statements. CIBC Multi-Asset Absolute Return Strategy

Schedule of Investment Portfolio As at August 31, 2020

Average Fair % of Number Cost Value Net Security of Shares ($000s) ($000s) Assets INTERNATIONAL EQUITIES .. 11Chile (note 11) .. iShares MSCI Chile Capped ETF 402,026 16,027 13,293 ...... 16,027 13,293 1.5% . . China .. KraneShares CSI China Internet ETF 166,928 12,928 15,313 ...... 12,928 15,313 1.7% . . Russia .. VanEck Vectors Russia ETF 347,856 9,763 10,291 ...... 9,763 10,291 1.1% . . 10United States (note 11) .. iShares J.P. Morgan USD Emerging Markets Bond ETF 318,518 46,571 47,188 ...... 46,571 47,188 5.3% . . .. TOTAL INTERNATIONAL EQUITIES 85,289 86,085 9.6% . . .. TOTAL EQUITIES 85,289 86,085 9.6% . .

Average Fair % of Coupon Maturity Cost Value Net Security Rate (%) Date Additional Details Par Value ($000s) ($000s) Assets INTERNATIONAL BONDS .. 2Brazil (note 11) .. Federative Republic of Brazil 10.00% 2023/01/01 Series 'F', BRL 57,000,000 18,219 15,271 ...... 18,219 15,271 1.7% . . 3Colombia (note 11) .. Republic of Colombia 6.00% 2028/04/28 Series 'B', COP 118,671,000,000 43,296 43,409 ...... 43,296 43,409 4.9% . . Indonesia .. Republic of Indonesia 6.50% 2025/06/15 Series 'FR81', IDR 341,067,000,000 30,050 31,816 .. Republic of Indonesia 8.25% 2029/05/15 Series 'FR78', IDR 221,620,000,000 22,154 22,056 ...... 52,204 53,872 6.0% . . 7Malaysia (note 11) .. Federation of Malaysia 3.89% 2029/08/15 Series '0219', MYR 62,281,000 21,250 21,460 ...... 21,250 21,460 2.4% . . 8Poland (note 11) .. Republic of Poland 2.75% 2028/04/25 Series '0428', PLN 54,579,000 20,040 21,448 ...... 20,040 21,448 2.4% . . 12South Africa (note 11) .. Republic of South Africa 8.00% 2030/01/31 Series '2030', ZAR 269,500,000 19,232 19,121 ...... 19,232 19,121 2.1% . . .. TOTAL INTERNATIONAL BONDS 174,241 174,581 19.5% . . .. TOTAL BONDS 174,241 174,581 19.5% . . .. TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS 259,530 260,666 29.1% . . 10SHORT-TERM INVESTMENTS (notes 11 & 12) .. Bank of Montreal 0.27% 2020/11/23 Bankers' Acceptance 7,000,000 6,995 6,996 .. Bank of Nova Scotia 0.22% 2020/10/29 Bankers' Acceptance 17,500,000 17,492 17,494 .. Bank of Nova Scotia 0.50% 2020/12/07 Bankers' Acceptance 14,400,000 14,364 14,381 .. Banner Trust 0.34% 2020/10/14 Discount Note 4,000,000 3,997 3,998 .. Banner Trust 0.34% 2020/11/04 Discount Note 7,100,000 7,094 7,096 .. Bay Street Funding Trust 0.29% 2020/09/22 Discount Note 724,000 724 724 .. Bay Street Funding Trust 0.34% 2020/10/13 Discount Note 8,900,000 8,892 8,896 .. Bay Street Funding Trust 0.33% 2020/11/04 Discount Note 5,100,000 5,096 5,097 .. Bay Street Funding Trust 0.50% 2020/11/18 Discount Note 18,000,000 17,962 17,981 .. Canadian Master Trust 0.34% 2020/12/08 Series 'A', Discount Note 3,000,000 2,997 2,997 .. Canadian Master Trust 0.46% 2021/01/23 Discount Note 1,800,000 1,796 1,797 .. Canadian Master Trust 0.43% 2021/01/26 Series 'A', Discount Note 3,000,000 2,994 2,995 .. Canadian Utilities Ltd. 0.37% 2020/09/23 Discount Note 5,500,000 5,498 5,499 .. Clarity Trust 0.32% 2020/11/18 Series 'A', Discount Note 5,000,000 4,996 4,997 .. Clarity Trust 0.30% 2020/11/25 Series 'A', Discount Note 3,000,000 2,998 2,998 .. Enbridge Gas Inc. 0.47% 2020/09/09 Discount Note 4,500,000 4,498 4,499 .. Enbridge Gas Inc. 0.47% 2020/09/11 Discount Note 3,000,000 2,999 3,000 .. Enbridge Pipelines Inc. 0.52% 2020/10/14 Discount Note 1,000,000 999 999 .. Firstbank 0.38% 2020/09/24 Bankers' Acceptance 2,900,000 2,896 2,899 .. Firstbank 0.25% 2020/09/25 Bankers' Acceptance 9,374,000 9,371 9,372 .. Firstbank 0.28% 2020/10/23 Bankers' Acceptance 5,500,000 5,496 5,498 .. Firstbank 0.26% 2020/11/30 Bankers' Acceptance 1,125,000 1,124 1,124 .. Fusion Trust 0.38% 2020/09/02 Series 'A', Discount Note 3,000,000 2,997 3,000 .. Fusion Trust 0.32% 2020/11/10 Series 'A', Discount Note 3,000,000 2,998 2,998 .. Government of Canada 0.18% 2020/09/03 Treasury Bill 8,500,000 8,495 8,500 .. Government of Canada 0.18% 2020/09/17 Treasury Bill 4,600,000 4,598 4,600 .. Government of Canada 0.21% 2020/10/01 Treasury Bill 11,450,000 11,443 11,448 .. Government of Canada 0.19% 2020/10/15 Treasury Bill 30,550,000 30,534 30,543 .. Government of Canada 0.17% 2020/10/29 Treasury Bill 2,700,000 2,699 2,699 .. Government of Canada 0.16% 2020/11/12 Treasury Bill 23,575,000 23,565 23,568 .. Government of Canada 0.15% 2020/11/26 Treasury Bill 28,400,000 28,389 28,390 .. Greater Toronto Airports Authority 0.31% 2020/11/05 Discount Note 6,500,000 6,495 6,496 .. Greater Toronto Airports Authority 0.30% 2020/11/06 Discount Note 4,000,000 3,997 3,998 .. Hydro One Inc. 0.35% 2020/09/03 Discount Note 4,000,000 3,996 4,000 .. Hydro One Inc. 0.27% 2020/10/22 Discount Note 2,000,000 1,999 1,999

The accompanying notes are an integral part of these financial statements. 5 CIBC Multi-Asset Absolute Return Strategy

Schedule of Investment Portfolio As at August 31, 2020 (cont'd)

Average Fair % of Coupon Maturity Cost Value Net Security Rate (%) Date Additional Details Par Value ($000s) ($000s) Assets

.. Hydro One Inc. 0.30% 2020/11/05 Discount Note 4,425,000 4,422 4,423 .. Inter Pipeline (Corridor) Inc. 0.51% 2020/09/25 Discount Note 1,000,000 1,000 1,000 .. Inter Pipeline (Corridor) Inc. 0.54% 2020/10/16 Discount Note 6,400,000 6,394 6,396 .. King Street Funding Trust 0.34% 2020/10/13 Discount Note 8,500,000 8,493 8,497 .. King Street Funding Trust 0.41% 2021/01/07 Discount Note 1,575,000 1,572 1,573 .. Lakeshore Trust 0.34% 2020/11/09 Discount Note 1,700,000 1,699 1,699 .. Merit Trust 0.34% 2020/10/14 Senior Discount Note 6,100,000 6,095 6,098 .. National Bank of Canada 0.25% 2020/09/28 Bankers' Acceptance 1,600,000 1,600 1,600 .. PACCAR Financial Ltd. 0.28% 2020/09/08 Discount Note 2,220,000 2,220 2,220 .. PACCAR Financial Ltd. 0.28% 2020/09/09 Discount Note 3,000,000 3,000 3,000 .. PACCAR Financial Ltd. 0.28% 2020/09/24 Discount Note 6,700,000 6,698 6,699 .. Plaza Trust 0.37% 2020/10/26 Discount Note 10,000,000 9,990 9,994 .. Plaza Trust 0.32% 2020/11/10 Discount Note 6,000,000 5,995 5,996 .. Plaza Trust 0.65% 2020/11/17 Discount Note 1,500,000 1,495 1,498 .. Plaza Trust 0.55% 2020/12/29 Discount Note 7,500,000 7,480 7,487 .. Plaza Trust 0.44% 2021/02/23 Discount Note 2,800,000 2,794 2,794 .. Province of Alberta 0.45% 2020/09/14 Discount Note 12,250,000 12,227 12,248 .. Province of New Brunswick 0.20% 2020/10/29 Treasury Bill 10,000,000 9,995 9,997 .. Province of Newfoundland and Labrador 0.21% 2020/10/15 Treasury Bill 10,000,000 9,996 9,997 .. Province of Ontario 0.19% 2020/10/07 Treasury Bill 10,000,000 9,996 9,998 .. Province of Ontario 0.22% 2020/10/21 Treasury Bill 16,240,000 16,230 16,235 .. Reliant Trust 0.31% 2020/09/04 Discount Note 5,000,000 4,999 5,000 .. Ridge Trust 0.43% 2021/01/28 Discount Note 2,000,000 1,996 1,996 .. Royal Bank of Canada 0.20% 2020/09/01 Term Deposit 16,400,000 16,400 16,400 .. Royal Bank of Canada 0.26% 2020/09/24 Bankers' Acceptance 6,000,000 5,998 5,999 .. Royal Bank of Canada 0.24% 2020/09/25 Bankers' Acceptance 9,150,000 9,148 9,149 .. Royal Bank of Canada 0.26% 2020/09/30 Bankers' Acceptance 9,000,000 8,998 8,998 .. Royal Bank of Canada 0.30% 2020/10/02 Bankers' Acceptance 13,000,000 12,990 12,997 .. Royal Bank of Canada 0.27% 2020/10/13 Bankers' Acceptance 500,000 500 500 .. Royal Bank of Canada 0.25% 2020/10/26 Bankers' Acceptance 3,000,000 2,999 2,999 .. Royal Bank of Canada 0.25% 2020/10/30 Bankers' Acceptance 11,000,000 10,995 10,996 .. Storm King Funding 0.39% 2020/10/13 Discount Note 12,500,000 12,487 12,494 .. Storm King Funding 0.37% 2020/10/26 Discount Note 6,000,000 5,994 5,997 .. Storm King Funding 0.65% 2020/11/17 Discount Note 10,000,000 9,968 9,986 .. Storm King Funding 0.55% 2021/01/04 Discount Note 4,500,000 4,488 4,491 .. TMX Group Ltd. 0.27% 2020/09/04 Discount Note 8,000,000 7,998 8,000 .. Toronto-Dominion Bank (The) 0.24% 2020/09/24 Bankers' Acceptance 15,000,000 14,997 14,998 .. Toronto-Dominion Bank (The) 0.24% 2020/10/30 Bankers' Acceptance 8,857,000 8,854 8,854 .. United States Government 0.00% 2020/09/24 Treasury Bill, USD 1,500,000 2,107 1,955 .. United States Government 0.09% 2020/11/27 Treasury Bill, USD 1,500,000 1,971 1,955 .. Zeus Receivables Trust 0.30% 2020/09/29 Senior Discount Note 9,500,000 9,496 9,498 .. Zeus Receivables Trust 0.31% 2020/10/16 Discount Note 8,000,000 7,994 7,997 Zeus Receivables Trust 0.47% 2020/12/09 Senior Discount Note 12,000,000 11,972 11,985 ...... TOTAL SHORT-TERM INVESTMENTS 566,223 566,269 63.4% . . .. Less: Transaction costs included in average cost (464) . .. .. TOTAL INVESTMENTS 825,289 826,935 92.5% . . .. 1, 4-7, 9,Margin (note 11) 10, 12 40,538 4.6% .. Derivative assets 31,156 3.5% .. Derivative liabilities (21,968) (2.5)% .. Other Assets, less Liabilities 16,615 1.9% ...... TOTAL NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 893,276 100.0% . . .. 1-12Hedging reference number. Refers to a corresponding number on the Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts.

6 The accompanying notes are an integral part of these financial statements. CIBC Multi-Asset Absolute Return Strategy

x Schedule of Derivative Assets and Liabilities - Options Underlying Fair Number of Interest on Equity Proceeds Value Security Expiry Date Strike Price Options Options ($000s) ($000s)

x .. Purchased Put Options .. Euro Stoxx 50 2020/10/17 $ 3,125.00 EUR 1,809 18,090 1,545 1,808 .. S&P 500 Index 2020/09/19 $ 2,025.00 USD 67 6,700 127 2 .. S&P 500 Index 2020/10/03 $ 3,300.00 USD 239 23,900 1,116 1,097 .. S&P 500 Index 2020/10/17 $ 2,200.00 USD 67 6,700 94 26 .. S&P 500 Index 2020/11/21 $ 2,250.00 USD 67 6,700 96 83 ...... 2,978 3,016 . . .. Purchased Call Options .. Chicago Board Options Exchange SPX Volatility Index 2020/09/17 $ 42.50 USD 1,110 111,000 552 145 .. Chicago Board Options Exchange SPX Volatility Index 2020/10/22 $ 40.00 USD 899 89,900 478 411 .. Chicago Board Options Exchange SPX Volatility Index 2020/11/19 $ 37.50 USD 1,095 109,500 510 557 .. Financial Select Sector SPDR Fund 2020/12/19 $ 27.00 USD 8,170 817,000 562 831 .. SPDR Gold Shares 2020/10/01 $ 193.00 USD 3,477 347,700 2,251 934 ...... 4,353 2,878 ...... Total Purchased Options 7,331 5,894 . . .. Written Put Options .. Euro Stoxx 50 2020/10/17 $ 2,925.00 EUR (1,809) (18,090) (713) (862) .. S&P 500 Index 2020/09/19 $ 2,720.00 USD (67) (6,700) (643) (19) .. S&P 500 Index 2020/10/03 $ 3,075.00 USD (239) (23,900) (487) (503) .. S&P 500 Index 2020/10/17 $ 2,850.00 USD (67) (6,700) (541) (119) .. S&P 500 Index 2020/11/21 $ 3,000.00 USD (67) (6,700) (587) (448) .. Utilities Select Sector SPDR Fund 2020/12/19 $ 54.00 USD (3,344) (334,400) (657) (717) ...... (3,628) (2,668) ...... Total Written Options (3,628) (2,668) . . .. Derivative Assets and Liabilities - Options 3,703 3,226 . .

x Schedule of Derivative Assets and Liabilities - Futures Contracts (note 12)

Contracted Number of Contracted Fair Unrealized Gain Value ($) Name of Future Expiry Date Contracts Currency Price Value ($) (Loss) ($000s)

x .. Long Positions .. 48,583,046 100 oz Gold December 2020 190 USD 1,960.37 49,034,951 452 .. 12,025,352 10-Year Korea Treasury Bond September 2020 82 KRW 133.56 11,903,086 (122) .. 32,034,175 ASX SPI 200 Index September 2020 229 AUD 5,816.38 33,210,729 1,177 .. 12,331,796 Australian 10 Year Treasury Bond September 2020 87 AUD 147.34 12,342,532 11 .. 31,215,667 Euro Stoxx 50 Index Dividend December 2024 2,403 EUR 83.46 32,578,712 1,363 .. 25,005,123 FTSE Bursa Malaysia KLCI Index September 2020 1,025 MYR 1,558.15 24,609,606 (396) .. 23,967,819 Hang Seng China Enterprises Index September 2020 278 HKD 10,245.48 23,349,097 (619) .. 20,514,673 KOSPI 200 Index September 2020 254 KRW 294.22 21,384,631 870 .. 12,163,961 Mini 10-Year Japanese Government Bond September 2020 65 JPY 151.96 12,128,860 (35) .. 9,194,159 Mini-DAX September 2020 95 EUR 12,435.31 9,556,960 363 .. 14,364,960 MSCI Singapore Index September 2020 508 SGD 294.96 14,179,475 (185) .. 11,036,145 MSCI Taiwan Stock Index September 2020 169 USD 500.65 10,825,570 (211) .. 10,879,509 OMX Stockholm 30 Index September 2020 409 SEK 1,764.00 10,885,693 6 .. Short Positions .. (9,975,627) Euro-BUND September 2020 (37) EUR 173.21 (10,110,887) (135) .. (4,195,950) Euro Stoxx 50 Index Dividend September 2020 (81) EUR 3,328.00 (4,116,520) 79 .. (4,076,304) FTSE 100 Index September 2020 (38) GBP 6,152.32 (3,949,876) 126 .. (9,973,142) Long Gilt December 2020 (42) GBP 136.19 (9,886,887) 86 .. (10,270,180) Mexican Bolsa Index September 2020 (452) MXN 38,118.21 (9,919,326) 351 .. (3,467,386) S&P/TSX 60 Index September 2020 (19) CAD 912.47 (3,758,200) (291) .. (8,716,145) SGX CNX Nifty Index September 2020 (291) USD 11,481.73 (8,627,911) 88 .. (11,326,392) South African FSTE/JSE Top 40 Index September 2020 (301) ZAR 48,902.68 (11,833,462) (507) .. (10,025,290) Ten-Year Government of Canada Bond December 2020 (66) CAD 151.90 (9,962,040) 63 .. (9,525,661) Thailand SET 50 Index September 2020 (1,287) THB 883.01 (9,082,151) 443 .. (9,605,170) Ultra 10-Year United States Treasury Note December 2020 (46) USD 160.09 (9,566,266) 39 .. (7,385,719) United States S&P 500 E-Mini Index September 2020 (37) USD 3,060.74 (8,443,012) (1,056) ...... 164,773,419 166,733,364 1,960 . . .. As at August 31, 2020, $34,402,639 cash was deposited as margin for the futures contracts.

The accompanying notes are an integral part of these financial statements. 7 CIBC Multi-Asset Absolute Return Strategy

x Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts (note 11)

Hedging Ref. Credit Rating for Settlement Currency Currency Unrealized Gain No.** Counterparty Counterparty* Date Buys Par Value Sells Par Value Forward Rate Current Rate (Loss) ($000s)

x .. 1 Bank of Montreal A-1 2020/09/15 AUD 10,905,000 CAD 10,069,797 0.923 0.962 421 .. 1 Bank of Montreal A-1 2020/09/15 AUD 280,000 CAD 262,674 0.938 0.962 7 .. 1 Bank of Montreal A-1 2020/09/15 AUD 160,000 CAD 151,779 0.949 0.962 2 .. 1 Bank of Montreal A-1 2020/09/15 AUD 150,000 CAD 144,077 0.961 0.962 – .. 1 Canadian Imperial Bank of Commerce A-1 2020/09/15 AUD 255,000 CAD 240,144 0.942 0.962 5 .. 1 Goldman Sachs & Co., New York A-1 2020/09/15 AUD 190,000 CAD 178,004 0.937 0.962 5 .. 1 Goldman Sachs & Co., New York A-1 2020/09/15 AUD 125,000 CAD 116,348 0.931 0.962 4 .. 1 Royal Bank of Canada A-1+ 2020/09/15 AUD 485,000 CAD 451,718 0.931 0.962 15 .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 AUD 365,000 CAD 345,319 0.946 0.962 6 .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 AUD 265,000 CAD 247,431 0.934 0.962 8 .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 AUD 240,000 CAD 229,567 0.957 0.962 1 .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 AUD 240,000 CAD 225,043 0.938 0.962 6 .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 AUD 225,000 CAD 210,978 0.938 0.962 5 .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 AUD 160,000 CAD 149,634 0.935 0.962 4 .. 1 Toronto-Dominion Bank (The) A-1+ 2020/09/15 AUD 1,010,000 CAD 965,035 0.955 0.962 7 .. 1 Toronto-Dominion Bank (The) A-1+ 2020/09/15 AUD 510,000 CAD 486,040 0.953 0.962 5 .. 1 Toronto-Dominion Bank (The) A-1+ 2020/09/15 AUD 505,000 CAD 471,289 0.933 0.962 15 .. 1 Toronto-Dominion Bank (The) A-1+ 2020/09/15 AUD 370,000 CAD 351,145 0.949 0.962 5 .. 1 Toronto-Dominion Bank (The) A-1+ 2020/09/15 AUD 145,000 CAD 135,661 0.936 0.962 4 .. 1 Bank of Montreal A-1 2020/09/15 CAD 238,332 AUD 258,100 1.083 1.039 (10) .. 1 Bank of Montreal A-1 2020/09/15 CAD 183,285 AUD 195,000 1.064 1.039 (4) .. 1 Bank of Montreal A-1 2020/09/15 CAD 50,788 AUD 55,000 1.083 1.039 (2) .. 1 Canadian Imperial Bank of Commerce A-1 2020/09/15 CAD 371,988 AUD 395,000 1.062 1.039 (8) .. 1 Royal Bank of Canada A-1+ 2020/09/15 CAD 8,765,092 AUD 9,245,000 1.055 1.039 (129) .. 1 Royal Bank of Canada A-1+ 2020/09/15 CAD 3,347,014 AUD 3,570,000 1.067 1.039 (87) .. 1 Royal Bank of Canada A-1+ 2020/09/15 CAD 654,730 AUD 700,000 1.069 1.039 (19) .. 1 Royal Bank of Canada A-1+ 2020/09/15 CAD 298,041 AUD 320,000 1.074 1.039 (10) .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 CAD 412,571 AUD 435,000 1.054 1.039 (6) .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 CAD 397,541 AUD 415,000 1.044 1.039 (2) .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 CAD 327,324 AUD 350,000 1.069 1.039 (9) .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 CAD 302,535 AUD 315,000 1.041 1.039 (1) .. 1 State Street Trust Co. Canada A-1+ 2020/09/15 CAD 204,796 AUD 220,000 1.074 1.039 (7) .. 1 Toronto-Dominion Bank (The) A-1+ 2020/09/15 CAD 716,610 AUD 750,000 1.047 1.039 (5) .. 1 Toronto-Dominion Bank (The) A-1+ 2020/09/15 CAD 608,134 AUD 650,000 1.069 1.039 (17) .. 2 Bank of Montreal A-1 2020/09/02 BRL 4,050,000 USD 740,226 0.183 0.183 (1) .. 2 Bank of Montreal A-1 2020/09/02 BRL 3,680,000 USD 672,601 0.183 0.183 (1) .. 2 Bank of Montreal A-1 2020/09/02 BRL 2,455,000 USD 452,868 0.184 0.183 (6) .. 2 Bank of Montreal A-1 2020/09/02 BRL 915,000 USD 167,506 0.183 0.183 (1) .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 BRL 15,260,000 USD 2,789,099 0.183 0.183 (5) .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 BRL 7,690,000 USD 1,405,516 0.183 0.183 (2) .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 BRL 2,830,000 USD 519,314 0.184 0.183 (4) .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 BRL 2,345,000 USD 462,297 0.197 0.183 (45) .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 BRL 1,845,000 USD 337,214 0.183 0.183 (1) .. 2 Royal Bank of Canada A-1+ 2020/09/02 BRL 65,145,000 USD 11,752,661 0.180 0.183 180 .. 2 Royal Bank of Canada A-1+ 2020/09/02 BRL 33,350,000 USD 6,095,444 0.183 0.183 (10) .. 2 Royal Bank of Canada A-1+ 2020/09/02 BRL 30,580,000 USD 5,589,165 0.183 0.183 (10) .. 2 Royal Bank of Canada A-1+ 2020/09/02 BRL 26,650,000 USD 5,003,285 0.188 0.183 (181) .. 2 Royal Bank of Canada A-1+ 2020/09/02 BRL 3,885,000 USD 710,069 0.183 0.183 (1) .. 2 Royal Bank of Canada A-1+ 2020/12/02 BRL 33,350,000 USD 5,998,309 0.180 0.182 93 .. 2 Bank of Montreal A-1 2020/09/02 USD 778,622 BRL 4,050,000 5.202 5.479 51 .. 2 Bank of Montreal A-1 2020/09/02 USD 684,206 BRL 3,680,000 5.379 5.478 16 .. 2 Bank of Montreal A-1 2020/09/02 USD 448,705 BRL 2,455,000 5.471 5.479 1 .. 2 Bank of Montreal A-1 2020/09/02 USD 167,236 BRL 915,000 5.471 5.478 – .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 USD 2,800,257 BRL 15,260,000 5.450 5.479 19 .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 USD 1,420,392 BRL 7,690,000 5.414 5.479 22 .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 USD 517,245 BRL 2,830,000 5.471 5.478 1 .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 USD 428,600 BRL 2,345,000 5.471 5.479 1 .. 2 Canadian Imperial Bank of Commerce A-1 2020/09/02 USD 340,783 BRL 1,845,000 5.414 5.479 5 .. 2 Royal Bank of Canada A-1+ 2020/09/02 USD 11,906,677 BRL 65,145,000 5.471 5.479 20 .. 2 Royal Bank of Canada A-1+ 2020/09/02 USD 6,016,598 BRL 33,350,000 5.543 5.479 (92) .. 2 Royal Bank of Canada A-1+ 2020/09/02 USD 5,741,106 BRL 30,580,000 5.327 5.479 208 .. 2 Royal Bank of Canada A-1+ 2020/09/02 USD 4,870,872 BRL 26,650,000 5.471 5.479 8 .. 2 Royal Bank of Canada A-1+ 2020/09/02 USD 723,329 BRL 3,885,000 5.371 5.478 19 .. 2 Royal Bank of Canada A-1+ 2020/12/02 USD 11,716,937 BRL 65,145,000 5.560 5.495 (181) .. Bank of Montreal A-1 2020/11/30 CAD 464,158 CHF 320,000 0.689 0.691 1 .. State Street Trust Co. Canada A-1+ 2020/11/30 CAD 738,713 CHF 510,000 0.690 0.691 1 .. Toronto-Dominion Bank (The) A-1+ 2020/11/30 CAD 19,761,065 CHF 13,595,000 0.688 0.691 98 .. Bank of Montreal A-1 2020/09/08 CNY 1,290,000 CAD 246,026 0.191 0.190 (1) .. Royal Bank of Canada A-1+ 2020/09/08 CNY 33,250,000 CAD 6,324,599 0.190 0.190 – .. Royal Bank of Canada A-1+ 2020/09/08 CNY 22,970,000 CAD 4,390,268 0.191 0.190 (21) .. Royal Bank of Canada A-1+ 2020/09/08 CNY 1,355,000 CAD 258,183 0.191 0.190 – .. State Street Trust Co. Canada A-1+ 2020/09/08 CNY 50,440,000 CAD 9,634,301 0.191 0.190 (40) .. State Street Trust Co. Canada A-1+ 2020/09/08 CNY 27,935,000 CAD 5,404,668 0.193 0.190 (91) .. State Street Trust Co. Canada A-1+ 2020/09/08 CNY 6,010,000 CAD 1,144,065 0.190 0.190 (1) .. State Street Trust Co. Canada A-1+ 2020/09/08 CNY 2,820,000 CAD 536,816 0.190 0.190 – .. State Street Trust Co. Canada A-1+ 2020/09/08 CNY 1,900,000 CAD 362,492 0.191 0.190 (1) .. State Street Trust Co. Canada A-1+ 2020/09/08 CNY 1,800,000 CAD 343,160 0.191 0.190 (1) .. State Street Trust Co. Canada A-1+ 2020/09/08 CNY 1,610,000 CAD 306,937 0.191 0.190 (1)

8 The accompanying notes are an integral part of these financial statements. CIBC Multi-Asset Absolute Return Strategy

Hedging Ref. Credit Rating for Settlement Currency Currency Unrealized Gain No.** Counterparty Counterparty* Date Buys Par Value Sells Par Value Forward Rate Current Rate (Loss) ($000s)

.. Toronto-Dominion Bank (The) A-1+ 2020/09/08 CNY 197,615,000 CAD 37,748,734 0.191 0.190 (160) .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 CNY 3,850,000 CAD 732,793 0.190 0.190 – .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 CNY 2,610,000 CAD 498,776 0.191 0.190 (2) .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 CNY 2,500,000 CAD 476,459 0.191 0.190 (1) .. Canadian Imperial Bank of Commerce A-1 2020/09/08 CAD 16,827,665 CNY 88,930,000 5.285 5.257 (88) .. Canadian Imperial Bank of Commerce A-1 2020/09/08 CAD 4,903,732 CNY 25,915,000 5.285 5.257 (26) .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 7,221,247 CNY 37,710,000 5.222 5.257 48 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 381,180 CNY 2,020,000 5.299 5.257 (3) .. 3 Bank of Montreal A-1 2020/10/26 COP 10,071,415,000 USD 2,734,420 0.000272 0.000266 (68) .. 3 Bank of Montreal A-1 2020/10/26 COP 600,000,000 USD 157,978 0.000263 0.000266 2 .. 3 Bank of Montreal A-1 2020/10/26 COP 415,000,000 USD 110,352 0.000266 0.000266 – .. 3 Canadian Imperial Bank of Commerce A-1 2020/10/26 COP 1,088,500,000 USD 280,324 0.000258 0.000266 13 .. 3 Canadian Imperial Bank of Commerce A-1 2020/10/26 COP 774,370,000 USD 211,982 0.000274 0.000266 (7) .. 3 Bank of Montreal A-1 2020/10/26 USD 14,303,061 COP 52,681,035,000 3,683.200 3754.505 354 .. 3 Bank of Montreal A-1 2020/10/26 USD 13,951,842 COP 51,387,424,491 3,683.200 3754.505 346 .. 3 Bank of Montreal A-1 2020/10/26 USD 2,616,967 COP 9,962,270,000 3,806.800 3754.505 (48) .. 3 Bank of Montreal A-1 2020/10/26 USD 2,425,137 COP 9,232,010,000 3,806.800 3754.505 (44) .. 3 Bank of Montreal A-1 2020/10/26 USD 392,234 COP 1,480,800,000 3,775.300 3754.505 (3) .. 3 Canadian Imperial Bank of Commerce A-1 2020/10/26 USD 474,278 COP 1,792,295,000 3,779.000 3754.505 (4) .. 4 Bank of Montreal A-1 2020/10/14 EUR 3,650,000 CAD 5,660,865 1.551 1.558 25 .. 4 Royal Bank of Canada A-1+ 2020/10/14 EUR 135,000 CAD 210,841 1.562 1.558 (1) .. 4 State Street Trust Co. Canada A-1+ 2020/10/14 EUR 3,600,000 CAD 5,568,660 1.547 1.558 40 .. 4 State Street Trust Co. Canada A-1+ 2020/10/14 EUR 780,000 CAD 1,228,118 1.575 1.558 (13) .. 4 State Street Trust Co. Canada A-1+ 2020/10/14 EUR 275,000 CAD 431,178 1.568 1.558 (3) .. 4 State Street Trust Co. Canada A-1+ 2020/10/14 EUR 74,590 CAD 115,596 1.550 1.558 1 .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 EUR 3,890,000 CAD 6,129,045 1.576 1.558 (69) .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 EUR 2,490,000 CAD 3,874,664 1.556 1.558 4 .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 EUR 2,430,000 CAD 3,774,446 1.553 1.558 11 .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 EUR 1,727,200 CAD 2,650,148 1.534 1.558 41 .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 EUR 910,000 CAD 1,441,240 1.584 1.558 (24) .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 EUR 90,410 CAD 138,722 1.534 1.558 2 .. 4 State Street Trust Co. Canada A-1+ 2020/10/14 CAD 891,206 EUR 570,000 0.640 0.642 3 .. 4 State Street Trust Co. Canada A-1+ 2020/10/14 CAD 749,112 EUR 480,000 0.641 0.642 1 .. 4 State Street Trust Co. Canada A-1+ 2020/10/14 CAD 450,225 EUR 290,000 0.644 0.642 (2) .. 4 State Street Trust Co. Canada A-1+ 2020/10/14 CAD 308,121 EUR 195,000 0.633 0.642 4 .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 CAD 28,638,848 EUR 18,665,000 0.652 0.642 (438) .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 CAD 1,871,920 EUR 1,220,000 0.652 0.642 (29) .. 4 Toronto-Dominion Bank (The) A-1+ 2020/10/14 CAD 455,431 EUR 290,000 0.637 0.642 4 .. State Street Trust Co. Canada A-1+ 2020/11/30 GBP 1,235,215 CAD 2,140,164 1.733 1.744 14 .. State Street Trust Co. Canada A-1+ 2020/11/30 CAD 242,568 GBP 140,000 0.577 0.573 (2) .. Royal Bank of Canada A-1+ 2020/09/08 HKD 1,325,000 CAD 232,644 0.176 0.168 (10) .. Royal Bank of Canada A-1+ 2020/09/08 HKD 870,000 CAD 152,778 0.176 0.168 (6) .. State Street Trust Co. Canada A-1+ 2020/09/08 HKD 26,410,000 CAD 4,634,276 0.175 0.168 (190) .. State Street Trust Co. Canada A-1+ 2020/09/08 HKD 1,750,000 CAD 298,172 0.170 0.168 (4) .. State Street Trust Co. Canada A-1+ 2020/09/08 HKD 1,500,000 CAD 262,403 0.175 0.168 (10) .. State Street Trust Co. Canada A-1+ 2020/09/08 HKD 1,015,000 CAD 177,962 0.175 0.168 (7) .. State Street Trust Co. Canada A-1+ 2020/09/08 HKD 305,910 CAD 53,358 0.174 0.168 (2) .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 HKD 11,835,000 CAD 2,022,971 0.171 0.168 (31) .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 HKD 3,500,000 CAD 603,120 0.172 0.168 (14) .. 5 Bank of Montreal A-1 2020/09/08 CAD 373,742 HKD 2,140,000 5.726 5.942 14 .. 5 Canadian Imperial Bank of Commerce A-1 2020/09/08 CAD 423,517 HKD 2,420,000 5.714 5.942 16 .. 5 Royal Bank of Canada A-1+ 2020/09/08 CAD 459,918 HKD 2,690,000 5.849 5.942 7 .. 5 Royal Bank of Canada A-1+ 2020/09/08 CAD 226,407 HKD 1,295,000 5.720 5.942 8 .. 5 Royal Bank of Canada A-1+ 2020/09/08 CAD 82,535 HKD 470,000 5.695 5.942 3 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 6,404,800 HKD 36,720,000 5.733 5.942 225 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 1,376,267 HKD 7,990,000 5.806 5.942 32 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 601,964 HKD 3,450,000 5.731 5.942 21 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 565,323 HKD 3,240,000 5.731 5.942 20 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 505,099 HKD 2,970,000 5.880 5.942 5 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 441,289 HKD 2,530,000 5.733 5.942 16 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 305,840 HKD 1,745,000 5.706 5.942 12 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 131,828 HKD 755,000 5.727 5.942 5 .. 5 State Street Trust Co. Canada A-1+ 2020/09/08 CAD 69,769 HKD 400,000 5.733 5.942 2 .. 5 Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 2,852,756 HKD 16,555,000 5.803 5.942 67 .. 5 Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 1,902,851 HKD 10,870,000 5.712 5.942 74 .. 5 Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 472,817 HKD 2,720,000 5.753 5.942 15 .. 5 Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 409,910 HKD 2,380,000 5.806 5.942 9 .. 5 Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 400,435 HKD 2,280,000 5.694 5.942 17 .. 5 Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 322,454 HKD 1,855,000 5.753 5.942 10 .. 5 Toronto-Dominion Bank (The) A-1+ 2020/09/08 CAD 177,586 HKD 1,030,000 5.800 5.942 4 .. Canadian Imperial Bank of Commerce A-1 2020/09/23 IDR 3,807,320,000 USD 256,731 0.000067 0.000068 5 .. Royal Bank of Canada A-1+ 2020/09/23 IDR 10,328,250,000 USD 706,930 0.000068 0.000068 1 .. Royal Bank of Canada A-1+ 2020/09/23 IDR 9,771,800,000 USD 667,929 0.000068 0.000068 2 .. Royal Bank of Canada A-1+ 2020/09/23 IDR 8,601,810,000 USD 588,762 0.000068 0.000068 – .. Royal Bank of Canada A-1+ 2020/09/23 IDR 6,461,810,000 USD 431,507 0.000067 0.000068 14 .. Royal Bank of Canada A-1+ 2020/09/23 IDR 4,828,610,000 USD 330,049 0.000068 0.000068 1 .. Royal Bank of Canada A-1+ 2020/09/23 IDR 4,539,205,000 USD 301,951 0.000067 0.000068 12 .. Royal Bank of Canada A-1+ 2020/09/23 IDR 3,614,365,000 USD 246,799 0.000068 0.000068 1 .. Royal Bank of Canada A-1+ 2020/09/23 IDR 3,199,245,000 USD 213,452 0.000067 0.000068 7 .. Royal Bank of Canada A-1+ 2020/09/23 IDR 2,454,645,000 USD 163,916 0.000067 0.000068 5

The accompanying notes are an integral part of these financial statements. 9 CIBC Multi-Asset Absolute Return Strategy

Hedging Ref. Credit Rating for Settlement Currency Currency Unrealized Gain No.** Counterparty Counterparty* Date Buys Par Value Sells Par Value Forward Rate Current Rate (Loss) ($000s)

.. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 281,498,065,000 USD 19,534,911 0.000069 0.000068 (333) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 162,397,970,000 USD 11,269,811 0.000069 0.000068 (192) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 49,278,410,000 USD 3,372,923 0.000068 0.000068 3 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 9,329,090,000 USD 627,250 0.000067 0.000068 15 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 8,868,100,000 USD 602,739 0.000068 0.000068 6 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 8,386,080,000 USD 570,676 0.000068 0.000068 5 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 7,811,090,000 USD 530,897 0.000068 0.000068 5 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 7,379,940,000 USD 509,488 0.000069 0.000068 (5) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 6,860,380,000 USD 465,174 0.000068 0.000068 6 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 5,963,435,000 USD 400,957 0.000067 0.000068 10 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 5,171,715,000 USD 350,934 0.000068 0.000068 4 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 4,902,425,000 USD 330,664 0.000067 0.000068 7 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 4,784,540,000 USD 322,778 0.000067 0.000068 6 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 4,272,130,000 USD 288,346 0.000067 0.000068 6 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 4,209,620,000 USD 284,472 0.000068 0.000068 5 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 4,191,770,000 USD 290,470 0.000069 0.000068 (4) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 4,064,751,000 USD 279,537 0.000069 0.000068 (1) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 4,057,735,000 USD 278,959 0.000069 0.000068 (1) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 3,695,785,000 USD 256,100 0.000069 0.000068 (4) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 3,510,434,000 USD 239,082 0.000068 0.000068 2 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 3,230,485,000 USD 219,046 0.000068 0.000068 3 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 3,060,535,000 USD 207,353 0.000068 0.000068 3 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 2,963,145,000 USD 204,566 0.000069 0.000068 (2) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 2,674,535,000 USD 184,718 0.000069 0.000068 (2) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 2,200,000,000 USD 147,128 0.000067 0.000068 5 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 IDR 2,199,320,000 USD 148,342 0.000067 0.000068 3 .. Royal Bank of Canada A-1+ 2020/09/23 USD 165,365 IDR 2,476,345,000 14,975.000 14,600.616 (6) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 18,157,362 IDR 261,647,585,000 14,410.000 14,600.616 309 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 8,185,106 IDR 117,947,375,000 14,410.000 14,600.616 139 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 2,414,529 IDR 35,481,510,000 14,695.000 14,600.616 (20) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 2,318,974 IDR 34,316,170,000 14,798.000 14,600.616 (41) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 2,020,097 IDR 29,685,320,000 14,695.000 14,600.616 (17) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 1,532,142 IDR 22,542,410,000 14,713.000 14,600.616 (15) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 1,476,058 IDR 21,842,710,000 14,798.000 14,600.616 (26) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 1,153,566 IDR 16,972,410,000 14,713.000 14,600.616 (12) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 879,195 IDR 12,788,770,000 14,546.000 14,600.616 4 .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 723,297 IDR 10,628,850,000 14,695.000 14,600.616 (6) .. Toronto-Dominion Bank (The) A-1+ 2020/09/23 USD 323,536 IDR 4,668,955,000 14,431.000 14,600.616 5 .. Bank of Montreal A-1 2020/11/30 CAD 11,079,444 ILS 28,515,000 2.574 2.569 (22) .. State Street Trust Co. Canada A-1+ 2020/11/30 CAD 494,417 ILS 1,270,000 2.569 2.569 – .. Royal Bank of Canada A-1+ 2020/09/08 INR 251,460,000 USD 3,349,451 0.013 0.014 88 .. Royal Bank of Canada A-1+ 2020/09/08 INR 60,640,000 USD 804,031 0.013 0.014 26 .. Royal Bank of Canada A-1+ 2020/09/08 INR 53,190,000 USD 709,720 0.013 0.014 17 .. Royal Bank of Canada A-1+ 2020/09/08 INR 45,070,000 USD 601,374 0.013 0.014 14 .. Royal Bank of Canada A-1+ 2020/09/08 INR 43,930,000 USD 584,759 0.013 0.014 16 .. Royal Bank of Canada A-1+ 2020/09/08 INR 39,730,000 USD 524,073 0.013 0.014 21 .. Royal Bank of Canada A-1+ 2020/09/08 INR 35,940,000 USD 476,531 0.013 0.014 15 .. Royal Bank of Canada A-1+ 2020/09/08 INR 35,560,000 USD 484,304 0.014 0.014 (1) .. Royal Bank of Canada A-1+ 2020/09/08 INR 34,940,000 USD 475,860 0.014 0.014 (1) .. Royal Bank of Canada A-1+ 2020/09/08 INR 33,460,000 USD 446,288 0.013 0.014 11 .. Royal Bank of Canada A-1+ 2020/09/08 INR 30,000,000 USD 398,473 0.013 0.014 12 .. Royal Bank of Canada A-1+ 2020/09/08 INR 26,135,000 USD 347,887 0.013 0.014 9 .. Royal Bank of Canada A-1+ 2020/09/08 INR 25,830,000 USD 343,758 0.013 0.014 9 .. Royal Bank of Canada A-1+ 2020/09/08 INR 25,580,000 USD 337,423 0.013 0.014 13 .. Royal Bank of Canada A-1+ 2020/09/08 INR 24,780,000 USD 328,865 0.013 0.014 10 .. Royal Bank of Canada A-1+ 2020/09/08 INR 22,860,000 USD 301,839 0.013 0.014 11 .. Royal Bank of Canada A-1+ 2020/09/08 INR 21,835,000 USD 288,936 0.013 0.014 10 .. Royal Bank of Canada A-1+ 2020/09/08 INR 21,435,000 USD 285,268 0.013 0.014 8 .. Royal Bank of Canada A-1+ 2020/09/08 INR 20,010,000 USD 266,020 0.013 0.014 8 .. Royal Bank of Canada A-1+ 2020/09/08 INR 16,600,000 USD 220,892 0.013 0.014 6 .. Royal Bank of Canada A-1+ 2020/09/08 INR 14,645,000 USD 195,033 0.013 0.014 5 .. Royal Bank of Canada A-1+ 2020/09/08 INR 13,705,000 USD 182,794 0.013 0.014 4 .. Royal Bank of Canada A-1+ 2020/09/08 INR 13,215,000 USD 173,017 0.013 0.014 9 .. Royal Bank of Canada A-1+ 2020/09/08 INR 12,390,000 USD 165,257 0.013 0.014 4 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 1,415,165,000 USD 18,570,501 0.013 0.014 857 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 915,080,000 USD 12,008,136 0.013 0.014 554 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 42,350,000 USD 555,628 0.013 0.014 26 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 30,245,000 USD 403,805 0.013 0.014 9 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 26,530,000 USD 359,096 0.014 0.014 2 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 25,250,000 USD 327,794 0.013 0.014 20 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 22,975,000 USD 310,977 0.014 0.014 2 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 22,730,000 USD 298,216 0.013 0.014 14 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 21,885,000 USD 286,941 0.013 0.014 14 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 20,620,000 USD 267,688 0.013 0.014 16 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 18,200,000 USD 239,537 0.013 0.014 10 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 17,700,000 USD 232,788 0.013 0.014 10 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 14,385,000 USD 190,454 0.013 0.014 7 .. Toronto-Dominion Bank (The) A-1+ 2020/09/08 INR 12,805,000 USD 168,310 0.013 0.014 7 .. Royal Bank of Canada A-1+ 2020/09/08 USD 242,308 INR 18,585,000 76.700 73.600 (13) .. 6 Toronto-Dominion Bank (The) A-1+ 2020/11/27 KRW 3,601,680,000 USD 3,031,768 0.001 0.001 8

10 The accompanying notes are an integral part of these financial statements. CIBC Multi-Asset Absolute Return Strategy

Hedging Ref. Credit Rating for Settlement Currency Currency Unrealized Gain No.** Counterparty Counterparty* Date Buys Par Value Sells Par Value Forward Rate Current Rate (Loss) ($000s)

.. 6 Toronto-Dominion Bank (The) A-1+ 2020/11/27 USD 3,058,903 KRW 3,633,915,000 1,187.980 1,185.457 (8) .. 6 Toronto-Dominion Bank (The) A-1+ 2020/11/27 USD 3,027,131 KRW 3,601,680,000 1,189.800 1,185.457 (14) .. 6 Toronto-Dominion Bank (The) A-1+ 2020/11/27 USD 2,280,901 KRW 2,709,665,000 1,187.980 1,185.457 (6) .. 6 Toronto-Dominion Bank (The) A-1+ 2020/11/27 USD 758,085 KRW 900,590,000 1,187.980 1,185.457 (2) .. Bank of Montreal A-1 2020/10/14 MXN 7,800,000 CAD 465,125 0.060 0.059 (3) .. Bank of Montreal A-1 2020/10/14 MXN 6,985,000 CAD 413,185 0.059 0.059 1 .. Bank of Montreal A-1 2020/10/14 MXN 4,495,000 CAD 267,922 0.060 0.059 (1) .. Bank of Montreal A-1 2020/10/14 MXN 3,555,000 CAD 211,822 0.060 0.059 (1) .. Royal Bank of Canada A-1+ 2020/10/14 MXN 286,040,000 CAD 16,907,036 0.059 0.059 53 .. Royal Bank of Canada A-1+ 2020/10/14 MXN 204,540,000 CAD 12,089,796 0.059 0.059 38 .. Royal Bank of Canada A-1+ 2020/10/14 MXN 4,410,000 CAD 259,800 0.059 0.059 2 .. Royal Bank of Canada A-1+ 2020/10/14 MXN 3,630,000 CAD 212,915 0.059 0.059 2 .. Royal Bank of Canada A-1+ 2020/10/14 MXN 3,550,000 CAD 209,136 0.059 0.059 1 .. Royal Bank of Canada A-1+ 2020/10/14 MXN 2,550,000 CAD 153,472 0.060 0.059 (2) .. State Street Trust Co. Canada A-1+ 2020/10/14 MXN 8,230,000 CAD 490,218 0.060 0.059 (2) .. State Street Trust Co. Canada A-1+ 2020/10/14 MXN 7,720,000 CAD 457,602 0.059 0.059 – .. State Street Trust Co. Canada A-1+ 2020/10/14 MXN 7,190,000 CAD 426,186 0.059 0.059 – .. Toronto-Dominion Bank (The) A-1+ 2020/10/14 MXN 11,130,000 CAD 647,072 0.058 0.059 13 .. Toronto-Dominion Bank (The) A-1+ 2020/10/14 MXN 8,060,000 CAD 478,251 0.059 0.059 – .. Toronto-Dominion Bank (The) A-1+ 2020/10/14 MXN 7,425,000 CAD 431,672 0.058 0.059 9 .. Toronto-Dominion Bank (The) A-1+ 2020/10/14 MXN 5,800,000 CAD 344,151 0.059 0.059 – .. Toronto-Dominion Bank (The) A-1+ 2020/10/14 MXN 4,965,000 CAD 296,316 0.060 0.059 (2) .. Toronto-Dominion Bank (The) A-1+ 2020/10/14 MXN 4,010,000 CAD 239,681 0.060 0.059 (2) .. Toronto-Dominion Bank (The) A-1+ 2020/10/14 MXN 2,690,000 CAD 160,250 0.060 0.059 (1) .. 7 Bank of Montreal A-1 2020/10/09 MYR 16,465,000 USD 3,823,734 0.232 0.241 180 .. 7 Bank of Montreal A-1 2020/10/09 MYR 1,560,000 USD 364,307 0.234 0.241 14 .. 7 Bank of Montreal A-1 2020/10/09 USD 10,469,113 MYR 45,080,000 4.306 4.156 (493) .. 7 Bank of Montreal A-1 2020/10/09 USD 4,213,417 MYR 18,025,000 4.278 4.156 (162) .. 7 Bank of Montreal A-1 2020/10/09 USD 2,289,712 MYR 9,859,500 4.306 4.156 (108) .. 7 Bank of Montreal A-1 2020/10/09 USD 425,507 MYR 1,825,000 4.289 4.156 (18) .. 7 Bank of Montreal A-1 2020/10/09 USD 200,513 MYR 860,000 4.289 4.156 (8) .. 7 Royal Bank of Canada A-1+ 2020/10/09 USD 5,720,071 MYR 24,010,000 4.198 4.156 (75) .. 7 Royal Bank of Canada A-1+ 2020/10/09 USD 456,345 MYR 1,960,000 4.295 4.156 (20) .. Royal Bank of Canada A-1+ 2020/10/26 NOK 3,520,000 CAD 522,088 0.148 0.149 4 .. Royal Bank of Canada A-1+ 2020/10/26 NOK 3,500,000 CAD 514,331 0.147 0.149 8 .. State Street Trust Co. Canada A-1+ 2020/10/26 NOK 3,990,000 CAD 596,903 0.150 0.149 (1) .. State Street Trust Co. Canada A-1+ 2020/10/26 NOK 2,700,000 CAD 396,491 0.147 0.149 7 .. State Street Trust Co. Canada A-1+ 2020/10/26 NOK 2,100,000 CAD 308,227 0.147 0.149 5 .. Toronto-Dominion Bank (The) A-1+ 2020/10/26 NOK 120,600,000 CAD 17,716,262 0.147 0.149 294 .. Toronto-Dominion Bank (The) A-1+ 2020/10/26 NOK 4,190,000 CAD 623,735 0.149 0.149 2 .. Royal Bank of Canada A-1+ 2020/10/21 NZD 10,220,000 CAD 8,828,782 0.864 0.878 149 .. Royal Bank of Canada A-1+ 2020/10/21 CAD 7,687,477 NZD 8,680,000 1.129 1.138 63 .. Royal Bank of Canada A-1+ 2020/10/21 CAD 427,688 NZD 490,000 1.146 1.138 (3) .. State Street Trust Co. Canada A-1+ 2020/10/21 CAD 480,721 NZD 560,000 1.165 1.138 (11) .. State Street Trust Co. Canada A-1+ 2020/10/21 CAD 435,512 NZD 490,000 1.125 1.138 5 .. 8 Bank of Montreal A-1 2020/10/14 PLN 15,640,000 CAD 5,362,335 0.343 0.354 177 .. 8 Bank of Montreal A-1 2020/10/14 PLN 1,255,000 CAD 446,524 0.356 0.354 (2) .. 8 State Street Trust Co. Canada A-1+ 2020/10/14 PLN 1,170,000 CAD 402,607 0.344 0.354 12 .. 8 Toronto-Dominion Bank (The) A-1+ 2020/10/14 PLN 675,000 CAD 240,734 0.357 0.354 (2) .. 8 Toronto-Dominion Bank (The) A-1+ 2020/10/14 PLN 560,000 CAD 200,741 0.358 0.354 (2) .. 8 Bank of Montreal A-1 2020/10/14 CAD 15,659,903 PLN 45,674,300 2.917 2.823 (518) .. 8 Royal Bank of Canada A-1+ 2020/10/14 CAD 1,256,124 PLN 3,525,000 2.806 2.823 8 .. 8 Toronto-Dominion Bank (The) A-1+ 2020/10/14 CAD 4,603,091 PLN 12,800,000 2.781 2.823 69 .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 30,630,000 USD 409,821 0.013 0.013 1 .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 30,040,000 USD 407,377 0.014 0.013 (6) .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 29,080,000 USD 386,240 0.013 0.013 4 .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 27,100,000 USD 365,771 0.013 0.013 (3) .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 26,330,000 USD 346,698 0.013 0.013 8 .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 25,620,000 USD 337,349 0.013 0.013 8 .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 23,000,000 USD 313,779 0.014 0.013 (7) .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 22,830,000 USD 315,506 0.014 0.013 (12) .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 19,650,000 USD 266,477 0.014 0.013 (4) .. Canadian Imperial Bank of Commerce A-1 2020/10/23 RUB 13,600,000 USD 182,869 0.013 0.013 (1) .. Toronto-Dominion Bank (The) A-1+ 2020/10/23 RUB 770,350,000 USD 10,640,708 0.014 0.013 (415) .. Toronto-Dominion Bank (The) A-1+ 2020/10/23 RUB 510,605,000 USD 7,052,896 0.014 0.013 (275) .. Toronto-Dominion Bank (The) A-1+ 2020/10/23 RUB 30,100,000 USD 407,428 0.014 0.013 (5) .. Toronto-Dominion Bank (The) A-1+ 2020/10/23 RUB 17,415,000 USD 242,481 0.014 0.013 (12) .. Toronto-Dominion Bank (The) A-1+ 2020/10/23 RUB 16,010,000 USD 221,991 0.014 0.013 (10) .. Toronto-Dominion Bank (The) A-1+ 2020/10/23 RUB 14,185,000 USD 193,467 0.014 0.013 (4) .. Toronto-Dominion Bank (The) A-1+ 2020/10/23 RUB 13,265,000 USD 177,197 0.013 0.013 1 .. Canadian Imperial Bank of Commerce A-1 2020/10/23 USD 1,198,772 RUB 87,870,000 73.300 74.627 28 .. Toronto-Dominion Bank (The) A-1+ 2020/10/23 USD 6,534,777 RUB 473,095,000 72.397 74.627 255 .. Bank of Montreal A-1 2020/10/26 SEK 3,020,000 CAD 454,443 0.150 0.151 1 .. Bank of Montreal A-1 2020/10/26 SEK 2,640,000 CAD 404,260 0.153 0.151 (6) .. Royal Bank of Canada A-1+ 2020/10/26 SEK 91,225,000 CAD 13,737,339 0.151 0.151 25 .. Toronto-Dominion Bank (The) A-1+ 2020/10/26 SEK 3,010,000 CAD 458,116 0.152 0.151 (4) .. Toronto-Dominion Bank (The) A-1+ 2020/10/26 SEK 2,400,000 CAD 366,340 0.153 0.151 (4) .. Toronto-Dominion Bank (The) A-1+ 2020/10/26 SEK 2,060,000 CAD 311,166 0.151 0.151 – .. Royal Bank of Canada A-1+ 2020/10/26 CAD 423,904 SEK 2,815,000 6.641 6.628 (1) .. Canadian Imperial Bank of Commerce A-1 2020/09/22 SGD 1,110,000 CAD 1,079,215 0.972 0.959 (15)

The accompanying notes are an integral part of these financial statements. 11 CIBC Multi-Asset Absolute Return Strategy

Hedging Ref. Credit Rating for Settlement Currency Currency Unrealized Gain No.** Counterparty Counterparty* Date Buys Par Value Sells Par Value Forward Rate Current Rate (Loss) ($000s)

.. Royal Bank of Canada A-1+ 2020/09/22 SGD 325,000 CAD 313,569 0.965 0.959 (2) .. Royal Bank of Canada A-1+ 2020/09/22 SGD 255,000 CAD 249,131 0.977 0.959 (5) .. State Street Trust Co. Canada A-1+ 2020/09/22 SGD 345,000 CAD 338,946 0.982 0.959 (8) .. Toronto-Dominion Bank (The) A-1+ 2020/09/22 SGD 440,000 CAD 427,674 0.972 0.959 (6) .. Canadian Imperial Bank of Commerce A-1 2020/09/22 CAD 218,933 SGD 225,000 1.028 1.043 3 .. Royal Bank of Canada A-1+ 2020/09/22 CAD 277,220 SGD 285,000 1.028 1.043 4 .. Toronto-Dominion Bank (The) A-1+ 2020/09/22 CAD 599,306 SGD 620,000 1.035 1.043 5 .. 9 State Street Trust Co. Canada A-1+ 2020/11/30 CAD 23,879,458 THB 572,510,000 23.975 23.873 (102) .. 9 State Street Trust Co. Canada A-1+ 2020/11/30 CAD 2,249,844 THB 53,940,000 23.975 23.873 (10) .. 9 State Street Trust Co. Canada A-1+ 2020/11/30 CAD 930,674 THB 22,250,000 23.907 23.873 (1) .. 9 State Street Trust Co. Canada A-1+ 2020/11/30 CAD 537,866 THB 12,890,000 23.965 23.873 (2) .. 10 Canadian Imperial Bank of Commerce A-1 2020/09/02 USD 247,889 CAD 323,000 1.303 1.304 – .. 10 Bank of Montreal A-1 2020/10/15 USD 3,000,000 CAD 3,932,028 1.311 1.304 (19) .. 10 Bank of Montreal A-1 2020/10/15 USD 1,480,000 CAD 1,953,967 1.320 1.304 (24) .. 10 Bank of Montreal A-1 2020/10/15 USD 670,000 CAD 906,778 1.353 1.304 (33) .. 10 Bank of Montreal A-1 2020/10/15 USD 625,000 CAD 839,159 1.343 1.304 (24) .. 10 Bank of Montreal A-1 2020/10/15 USD 570,000 CAD 765,425 1.343 1.304 (22) .. 10 Bank of Montreal A-1 2020/10/15 USD 480,000 CAD 629,056 1.311 1.304 (3) .. 10 Bank of Montreal A-1 2020/10/15 USD 250,000 CAD 335,154 1.341 1.304 (9) .. 10 Bank of Montreal A-1 2020/10/15 USD 215,000 CAD 282,430 1.314 1.304 (2) .. 10 Bank of Montreal A-1 2020/10/15 USD 200,000 CAD 270,680 1.353 1.304 (10) .. 10 Bank of Montreal A-1 2020/10/15 USD 75,000 CAD 100,714 1.343 1.304 (3) .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 USD 52,905,000 CAD 71,613,266 1.354 1.304 (2,614) .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 USD 24,810,000 CAD 33,583,312 1.354 1.304 (1,226) .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 USD 3,900,000 CAD 5,149,404 1.320 1.304 (63) .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 USD 3,150,000 CAD 4,147,810 1.317 1.304 (40) .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 USD 1,470,000 CAD 1,935,645 1.317 1.304 (18) .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 USD 1,455,000 CAD 1,915,893 1.317 1.304 (18) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 425,000 CAD 570,109 1.341 1.304 (16) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 400,000 CAD 530,029 1.325 1.304 (8) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 390,000 CAD 516,778 1.325 1.304 (8) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 360,000 CAD 477,026 1.325 1.304 (8) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 350,000 CAD 461,368 1.318 1.304 (5) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 305,000 CAD 402,049 1.318 1.304 (4) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 245,000 CAD 324,766 1.326 1.304 (5) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 150,000 CAD 198,761 1.325 1.304 (3) .. 10 Royal Bank of Canada A-1+ 2020/10/15 USD 150,000 CAD 198,299 1.322 1.304 (3) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 1,450,000 CAD 1,890,991 1.304 1.304 – .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 1,070,000 CAD 1,433,458 1.340 1.304 (38) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 840,000 CAD 1,115,391 1.328 1.304 (20) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 700,000 CAD 934,322 1.335 1.304 (21) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 700,000 CAD 924,727 1.321 1.304 (12) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 660,000 CAD 871,399 1.320 1.304 (11) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 615,000 CAD 832,446 1.354 1.304 (30) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 570,000 CAD 743,355 1.304 1.304 – .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 525,000 CAD 700,786 1.335 1.304 (16) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 520,000 CAD 685,322 1.318 1.304 (7) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 410,000 CAD 553,862 1.351 1.304 (19) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 410,000 CAD 540,933 1.319 1.304 (6) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 300,000 CAD 407,123 1.357 1.304 (16) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 270,000 CAD 365,464 1.354 1.304 (13) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 255,000 CAD 341,065 1.338 1.304 (8) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 215,000 CAD 291,018 1.354 1.304 (11) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 215,000 CAD 287,564 1.338 1.304 (7) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 200,000 CAD 271,416 1.357 1.304 (11) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 200,000 CAD 264,208 1.321 1.304 (3) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 190,000 CAD 249,176 1.311 1.304 (1) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 180,000 CAD 237,483 1.319 1.304 (3) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 140,000 CAD 184,510 1.318 1.304 (2) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 70,000 CAD 94,562 1.351 1.304 (3) .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 USD 60,000 CAD 79,218 1.320 1.304 (1) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 33,850,000 CAD 45,440,240 1.342 1.304 (1,293) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 5,265,000 CAD 7,030,407 1.335 1.304 (164) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 5,250,000 CAD 6,930,735 1.320 1.304 (84) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 4,340,000 CAD 5,821,194 1.341 1.304 (161) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 1,570,000 CAD 2,137,351 1.361 1.304 (90) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 270,000 CAD 357,674 1.325 1.304 (6) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 200,000 CAD 272,274 1.361 1.304 (11) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 185,000 CAD 245,073 1.325 1.304 (4) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 155,000 CAD 206,973 1.335 1.304 (5) .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 USD 90,000 CAD 119,609 1.329 1.304 (2) .. 10 Canadian Imperial Bank of Commerce A-1 2020/09/02 CAD 515,010 USD 395,249 0.767 0.767 (1) .. 10 Bank of Montreal A-1 2020/10/15 CAD 889,607 USD 665,000 0.748 0.767 22 .. 10 Bank of Montreal A-1 2020/10/15 CAD 656,815 USD 500,000 0.761 0.767 5 .. 10 Bank of Montreal A-1 2020/10/15 CAD 636,098 USD 470,000 0.739 0.767 23 .. 10 Bank of Montreal A-1 2020/10/15 CAD 436,363 USD 325,000 0.745 0.767 13 .. 10 Bank of Montreal A-1 2020/10/15 CAD 328,408 USD 250,000 0.761 0.767 2 .. 10 Bank of Montreal A-1 2020/10/15 CAD 256,158 USD 195,000 0.761 0.767 2 .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 CAD 83,119,036 USD 61,405,000 0.739 0.767 3,033 .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 CAD 79,938,029 USD 59,055,000 0.739 0.767 2,918

12 The accompanying notes are an integral part of these financial statements. CIBC Multi-Asset Absolute Return Strategy

Hedging Ref. Credit Rating for Settlement Currency Currency Unrealized Gain No.** Counterparty Counterparty* Date Buys Par Value Sells Par Value Forward Rate Current Rate (Loss) ($000s)

.. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 CAD 61,941,651 USD 45,760,000 0.739 0.767 2,260 .. 10 Canadian Imperial Bank of Commerce A-1 2020/10/15 CAD 3,844,281 USD 2,840,000 0.739 0.767 140 .. 10 Royal Bank of Canada A-1+ 2020/10/15 CAD 8,159,902 USD 6,145,000 0.753 0.767 146 .. 10 Royal Bank of Canada A-1+ 2020/10/15 CAD 912,174 USD 680,000 0.745 0.767 25 .. 10 Royal Bank of Canada A-1+ 2020/10/15 CAD 791,445 USD 590,000 0.745 0.767 22 .. 10 Royal Bank of Canada A-1+ 2020/10/15 CAD 678,870 USD 515,000 0.759 0.767 7 .. 10 Royal Bank of Canada A-1+ 2020/10/15 CAD 656,160 USD 495,000 0.754 0.767 11 .. 10 Royal Bank of Canada A-1+ 2020/10/15 CAD 641,165 USD 485,000 0.756 0.767 9 .. 10 Royal Bank of Canada A-1+ 2020/10/15 CAD 589,657 USD 445,000 0.755 0.767 9 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 11,860,862 USD 8,740,000 0.737 0.767 462 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 10,124,972 USD 7,575,000 0.748 0.767 246 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 7,208,849 USD 5,460,000 0.757 0.767 88 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 5,942,602 USD 4,425,000 0.745 0.767 172 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 4,644,916 USD 3,480,000 0.749 0.767 106 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 2,699,581 USD 2,050,000 0.759 0.767 26 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 2,063,107 USD 1,540,000 0.746 0.767 55 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 1,761,679 USD 1,315,000 0.746 0.767 47 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 1,708,582 USD 1,280,000 0.749 0.767 39 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 1,254,740 USD 940,000 0.749 0.767 29 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 1,170,838 USD 865,000 0.739 0.767 43 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 1,136,136 USD 850,000 0.748 0.767 28 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 1,069,304 USD 800,000 0.748 0.767 26 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 1,027,819 USD 770,000 0.749 0.767 24 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 942,771 USD 710,000 0.753 0.767 17 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 912,892 USD 700,000 0.767 0.767 – .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 887,606 USD 665,000 0.749 0.767 20 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 793,429 USD 605,000 0.763 0.767 4 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 764,767 USD 565,000 0.739 0.767 28 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 678,539 USD 500,000 0.737 0.767 26 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 537,778 USD 405,000 0.753 0.767 10 .. 10 State Street Trust Co. Canada A-1+ 2020/10/15 CAD 267,936 USD 200,000 0.746 0.767 7 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 6,000,616 USD 4,490,000 0.748 0.767 145 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 5,510,835 USD 4,160,000 0.755 0.767 85 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 3,471,806 USD 2,600,000 0.749 0.767 81 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 3,470,571 USD 2,600,000 0.749 0.767 80 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 3,212,446 USD 2,425,000 0.755 0.767 50 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 3,200,371 USD 2,430,000 0.759 0.767 31 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 2,186,262 USD 1,660,000 0.759 0.767 21 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 2,149,849 USD 1,610,000 0.749 0.767 50 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 1,454,772 USD 1,100,000 0.756 0.767 20 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 1,454,772 USD 1,100,000 0.756 0.767 20 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 1,401,577 USD 1,050,000 0.749 0.767 32 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 1,063,194 USD 800,000 0.752 0.767 20 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 973,380 USD 715,000 0.735 0.767 41 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 670,645 USD 500,000 0.746 0.767 19 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 503,707 USD 370,000 0.735 0.767 21 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 502,105 USD 370,000 0.737 0.767 20 .. 10 Toronto-Dominion Bank (The) A-1+ 2020/10/15 CAD 467,359 USD 350,000 0.749 0.767 11 .. 11 Canadian Imperial Bank of Commerce A-1 2020/10/26 USD 8,781,892 CLP 6,891,590,000 784.750 777.301 (110) .. 11 Canadian Imperial Bank of Commerce A-1 2020/10/26 USD 1,094,752 CLP 828,180,000 756.500 777.301 38 .. 11 Canadian Imperial Bank of Commerce A-1 2020/10/26 USD 896,566 CLP 715,370,000 797.900 777.301 (31) .. 12 State Street Trust Co. Canada A-1+ 2020/11/27 ZAR 12,615,000 CAD 972,130 0.077 0.076 (10) .. 12 State Street Trust Co. Canada A-1+ 2020/11/27 CAD 19,236,845 ZAR 249,630,000 12.977 13.117 206 ...... Derivative Assets and Liabilities - Forwards 5,992 . . .. * The credit rating of each counterparty (as rated by S&P Global Ratings, a division of S&P Global) of the forward foreign currency contracts held by the Fund meets or exceeds the minimum designated rating.

.. ** See corresponding reference number on the Schedule of Investment Portfolio.

The accompanying notes are an integral part of these financial statements. 13 CIBC Multi-Asset Absolute Return Strategy

x Schedule of Derivative Assets and Liabilities - Swap Contracts (notes 2j and 12)

Credit Rating for No. of Notional Unrealized Gain Counterparty Counterparty* Contracts Amount Expiry Date (Loss) ($000s)

x .. Total Return Swaps - Over the Counter . . .. Receive at maturity (beginning 2020/08/31) floating rate based on return of Hong Kong Interbank Offered Rate (HIBOR) Fixings - 100 bps and pay at maturity (beginning 2020/08/31) floating rate based on return of Hong Kong Hang Seng Goldman Sachs Properties Index International A-1 1 73,626,278 2020/08/31 (278) .. Receive at maturity (beginning 2020/08/31) floating rate based on return of Hong Kong Interbank Offered Rate (HIBOR) Fixings - 100 bps and pay at maturity (beginning 2020/08/31) floating rate based on return of Hong Kong Hang Seng Goldman Sachs Properties Index International A-1 1 12,081,922 2020/08/31 (90) .. Receive at maturity (beginning 2020/09/16) floating rate based on return of iShares J.P. Morgan USD Emerging Markets Bond ETF and pay at maturity (beginning 2020/09/16) floating rate based on return of ICE LIBOR USD 1 Month Index + 65 Goldman Sachs bps International A-1 1 11,187,345 2020/09/16 730 .. Receive at maturity (beginning 2020/09/16) floating rate based on return of iShares J.P. Morgan USD Emerging Markets Bond ETF and pay at maturity (beginning 2020/09/16) floating rate based on return of ICE LIBOR USD 1 Month Index + 65 Goldman Sachs bps International A-1 1 2,886,296 2020/09/16 80 .. Receive at maturity (beginning 2020/09/16) floating rate based on return of VanEck Vectors Fallen Angel High Yield Bond ETF and pay at maturity (beginning 2020/09/16) floating rate based on return of ICE LIBOR USD 1 Month Index + 85 Goldman Sachs bps International A-1 1 11,162,880 2020/09/16 806 .. Receive at maturity (beginning 2020/09/16) floating rate based on return of VanEck Vectors Fallen Angel High Yield Bond ETF and pay at maturity (beginning 2020/09/16) floating rate based on return of ICE LIBOR USD 1 Month Index + 85 Goldman Sachs bps International A-1 1 2,996,784 2020/09/16 110 .. Receive at maturity (beginning 2020/09/16) floating rate based on return of Goldman Sachs Commodity Strategy 1076 and pay at maturity (beginning 2020/09/16) Goldman Sachs fixed rate of 0.30% International A-1 1 15,000,000 2020/09/16 (803) .. Receive at maturity (beginning 2020/12/08) floating rate based on return of ICE LIBOR USD 1 Month Index - 100 bps and pay at maturity (beginning 2020/12/08) floating rate based on return of MSCI Emerging Markets Indonesia Net Total Goldman Sachs Return USD Index International A-1 1 5,191,759 2020/12/08 (18) .. Receive at maturity (beginning 2020/12/16) floating rate based on return of Goldman Sachs Commodity Strategy 1076 and pay at maturity (beginning 2020/12/16) Goldman Sachs fixed rate of 0.30% International A-1 1 15,500,000 2020/12/16 (23) .. Receive at maturity (beginning 2020/12/16) floating rate based on return of Goldman Sachs Commodity Strategy 1076 and pay at maturity (beginning 2020/12/16) Goldman Sachs fixed rate of 0.30% International A-1 1 6,000,000 2020/12/16 (16) .. Receive at maturity (beginning 2020/12/16) floating rate based on return of Goldman Sachs Commodity Strategy 1076 and pay at maturity (beginning 2020/12/16) Goldman Sachs fixed rate of 0.30% International A-1 1 5,500,000 2020/12/16 174 .. Receive at maturity (beginning 2020/12/16) floating rate based on return of Goldman Sachs Commodity Strategy 1076 and pay at maturity (beginning 2020/12/16) Goldman Sachs fixed rate of 0.30% International A-1 1 87,000,000 2020/12/16 (566) .. Receive at maturity (beginning 2020/12/16) floating rate based on return of Goldman Sachs Commodity Strategy 1076 and pay at maturity (beginning 2020/12/16) Goldman Sachs fixed rate of 0.30% International A-1 1 8,500,000 2020/12/16 (51) .. Receive at maturity (beginning 2021/05/05) floating rate based on return of ICE LIBOR USD 1 Month Index - 60 bps and pay at maturity (beginning 2021/05/05) Goldman Sachs floating rate based on return of MSCI Brazil Net Total Return USD Index International A-1 1 4,750,193 2021/05/05 (2,045) ...... (1,990) ...... Derivative Assets and Liabilities - Swaps (1,990) . . .. As at August 31, 2020, $0 was deposited as margin for the swap contracts.

.. * The credit rating of each counterparty (as rated by S&P Global Ratings, a division of S&P Global) of the swap contracts held by the Fund meets or exceeds the minimum designated credit rating.

14 The accompanying notes are an integral part of these financial statements. CIBC Multi-Asset Absolute Return Strategy

Supplemental Schedule to Schedule of Investment Portfolio

Offsetting Arrangements (note 2d)

The Fund may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statement of Financial Position but still allow for the related amounts to be set off in certain circumstances, such as bankruptcy or the termination of the contracts. The following table reconciles the net amount of “Over-The-Counter” derivatives presented in the Statement of Financial Position, as at August 31, 2020 and 2019, to:

l The gross amount before offsetting required under IFRS; and

l The net amount after offsetting under the terms of master netting arrangements or other similar arrangements, but which do not meet the criteria for offsetting under IFRS.

x Financial Assets and Liabilities Amounts Offset Amounts Not Offset Net Net Amounts Presented on Gross Assets Amounts Offset Under Statements of Master Netting Cash Collateral (Liabilities) IFRS Financial Position Arrangements Received

x .. As at August 31, 2020 .. OTC Derivative Assets $ 19,745 $ – $ 19,745 $ (13,627) $ – $ 6,118 .. OTC Derivative Liabilities (15,743) – (15,743) 13,627 – (2,116) ...... Total 4,002 – 4,002 – – 4,002 . . .. As at August 31, 2019 .. OTC Derivative Assets $ 4,994 $ – $ 4,994 $ (3,025) $ – $ 1,969 .. OTC Derivative Liabilities (3,555) – (3,555) 3,025 – (530) ...... Total 1,439 – 1,439 – – 1,439 . .

Interest in Underlying Funds (note 4) As at August 31, 2020 and 2019, the Fund had no investments in Underlying Funds where the ownership exceeded 20% of each Underlying Fund.

The accompanying notes are an integral part of these financial statements. 15 CIBC Multi-Asset Absolute Return Strategy

Financial Instrument Risks As at August 31, 2020 Investment Objective: CIBC Multi-Asset Absolute Return Strategy (the Fund) seeks to Total Currency % of Currency (note 2o) Exposure* ($000s) Net Assets

x achieve a positive absolute return that exceeds the return of the Government of Canada x IDR 63,048 7.1 91-day treasury bills over rolling three-year periods, regardless of the prevailing economic x INR 62,209 7.0 conditions, by actively managing a diversified portfolio with direct and indirect exposure x CNY 38,685 4.3 x primarily to equity securities, fixed income securities, commodities, currencies, and MXN 35,615 4.0 x derivatives investments. NOK 20,997 2.4 x RUB 18,504 2.1 x Investment Strategies: The Fund targets over rolling three-year periods, an annualized SEK 15,707 1.8 x return of 5% in excess of the Government of Canada 91-day treasury bills (gross of fees BRL 7,954 0.9 x and expenses); and aims to achieve an annualized volatility, under normal market PLN 6,694 0.7 x conditions, at a level that is generally half the volatility of global equities represented by COP 4,768 0.5 x EUR (4,196) (0.5) the MSCI All Country World Index (CAD) measured over the same three-year rolling x HKD (9,366) (1.0) periods. x ILS (11,596) (1.3) x CLP (14,153) (1.6) Significant risks that are relevant to the Fund are discussed here. General information on x CHF (20,863) (2.3) risk management and specific discussion on concentration, credit, currency, interest rate, x USD (22,390) (2.5) x liquidity, and other price/market risk can be found in note 2 of the financial statements. THB (25,107) (2.8) x x x * Amounts reflect the carrying value of monetary and non-monetary items (including the notional In the following risk tables, Net Assets is defined as meaning “Net assets attributable to amount of forward foreign currency contracts, if any). holders of redeemable units". As at August 31, 2019 Concentration Risk as at August 31, 2020 and 2019 Total Currency % of The Schedule of Investment Portfolio presents the securities held by the Fund as at Currency (note 2o) Exposure* ($000s) Net Assets

x August 31, 2020. x USD 18,481 6.3 x The following table presents the investment sectors held by the Fund as at August 31, IDR 16,617 5.7 x 2019, and groups the securities by asset type, industry sector, geographic region, or INR 15,988 5.5 x JPY 9,042 3.1 currency exposure: x MXN 8,065 2.8 x CHF 6,412 2.2 As at August 31, 2019 x RUB 5,326 1.8 x % of ZAR (1,561) (0.5) x Portfolio Breakdown Net Assets SGD (1,588) (0.5) x x x BRL (2,132) (0.7) International Equities x x HUF (3,130) (1.1) Brazil 0.8 x x Chile 1.5 ILS (3,156) (1.1) x x Israel 1.1 x AUD (3,806) (1.3) x Russia 0.8 x NZD (3,954) (1.4) United States 3.3 x x TWD (3,980) (1.4) International Bonds x x CLP (4,293) (1.5) Brazil 1.6 x x KRW (5,671) (1.9) Colombia 2.7 x x HKD (5,798) (2.0) Thailand 1.2 x x EUR (12,879) (4.4) x Short-Term Investments 73.7 x x x Margin 10.3 * Amounts reflect the carrying value of monetary and non-monetary items (including the notional x Derivative Assets (Liabilities) 1.8 x amount of forward foreign currency contracts, if any). Other Assets, less Liabilities 1.2 x x x Total 100.0 x x The table that follows indicates how net assets as at August 31, 2020 and 2019 would Credit Risk have decreased or increased had the Canadian dollar strengthened or weakened by 1% in relation to all foreign currencies. This analysis assumes that all other variables remain Credit ratings represent a consolidation of the ratings provided by various outside service unchanged. In practice, the actual results may differ from this analysis and the difference providers and are subject to change, which could be material. could be material. See the Schedule of Investment Portfolio for counterparties related to over-the-counter August 31, 2020 August 31, 2019

x derivative contracts, where applicable. x Impact on Net Assets ($000s) 1,658 289 x As at August 31, 2020 and 2019, the Fund invested in debt securities with the following x credit ratings: Interest Rate Risk

. The Fund’s short-term assets and liabilities were not subject to significant amounts of risk % of Net Assets due to fluctuations in the prevailing level of market interest rates. Debt Securities by Credit Rating (note 2b) August 31, 2020 August 31, 2019 The table that follows indicates the Fund’s exposure to fixed income securities and x x 'AAA' 32.4 24.8 interest rate swaps by remaining term-to-maturity. x 'AA' 12.1 14.1 x 'A' 22.7 25.1 . x 'BBB' 11.8 13.6 August 31, 2020 August 31, 2019 x Below 'BBB' 3.9 1.6 Remaining Term-to-Maturity ($000s) ($000s) x x x x x 1-3 years 15,271 – Total 82.9 79.2 x x x 3-5 years 31,816 4,590 x > 5 years 127,494 11,840 x x x Currency Risk Total 174,581 16,430 x x The table that follows indicates the currencies to which the Fund had significant exposure as at August 31, 2020 and 2019, based on the market value of the Fund's financial instruments (including cash and cash equivalents) and the underlying principal amounts of forward foreign currency contracts, as applicable.

16 The accompanying notes are an integral part of these financial statements. CIBC Multi-Asset Absolute Return Strategy

The table that follows indicates how net assets as at August 31, 2020 and 2019 would Transfer of assets between Level 1 and Level 2 have increased or decreased had the interest rate decreased or increased by 25 basis Financial assets and liabilities transferred from Level 1 to Level 2 are the result of points and assuming a parallel shift in the yield curve. This change is estimated using the securities no longer being traded in an active market. weighted average duration of the fixed income and interest rate swap portfolio. This analysis assumes that all other variables remain unchanged. In practice, actual results For the period ended August 31, 2020 and 2019, there were no transfers of financial may differ from this analysis and the difference could be material. assets and liabilities from Level 1 to Level 2.

. August 31, 2020 August 31, 2019 Financial assets and liabilities transferred from Level 2 to Level 1 are the result of

x x Impact on Net Assets ($000s) 2,548 408 securities now being traded in an active market. x x For the period ended August 31, 2020 and 2019, there were no transfers of financial Liquidity Risk assets and liabilities from Level 2 to Level 1. Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial liabilities. The Fund is exposed to daily cash redemptions of Reconciliation of financial asset and liability movement – Level 3 redeemable units. The Fund maintains sufficient cash on hand to fund anticipated redemptions. The Fund did not hold any Level 3 investments at the beginning of, during, or at the end of the reporting period. With the exception of derivative contracts, where applicable, all of the Fund’s financial liabilities are short-term liabilities maturing within 90 days after the period end.

Other Price/Market Risk The table that follows indicates how net assets as at August 31, 2020 and 2019 would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 1%. This change is estimated based on the historical correlation between the return of Series A units of the Fund as compared to the return of the Fund’s benchmark, using 22 monthly data points, as available, based on the monthly net returns of the Fund. This analysis assumes that all other variables remain unchanged. The historical correlation may not be representative of the future correlation and, accordingly, the impact on net assets could be materially different.

x Impact on Net Assets ($000s) Benchmark August 31, 2020 August 31, 2019

x x FTSE Canada 91 Day T-Bill Index 43,972 27,700 x x

Fair Value Measurement of Financial Instruments The following is a summary of the inputs used as at August 31, 2020 and 2019 in valuing the Fund’s financial assets and financial liabilities, carried at fair value:

As at August 31, 2020 Level 1 (i) Level 2 (ii) Level 3 (iii) Total Classification ($000s) ($000s) ($000s) ($000s)

x x Financial Assets x Fixed Income Securities - long – 174,581 – 174,581 x Short-Term Investments – 566,269 – 566,269 x Equities - long 86,085 – – 86,085 x Derivative assets 11,409 19,747 – 31,156 x x x Total Financial Assets 97,494 760,597 – 858,091 x x x Financial Liabilities x Derivative liabilities (5,508) (16,460) – (21,968) x x x Total Financial Liabilities (5,508) (16,460) – (21,968) x x x Total Financial Assets and Liabilities 91,986 744,137 – 836,123 x x x (i) Quoted prices in active markets for identical assets

x (ii) Significant other observable inputs

x (iii) Significant unobservable inputs As at August 31, 2019 Level 1 (i) Level 2 (ii) Level 3 (iii) Total Classification ($000s) ($000s) ($000s) ($000s)

x x Financial Assets x Fixed Income Securities - long – 15,938 – 15,938 x Short-Term Investments – 214,686 – 214,686 x Equities - long 21,879 – – 21,879 x Derivative assets 7,081 5,016 – 12,097 x x x Total Financial Assets 28,960 235,640 – 264,600 x x x Financial Liabilities x Derivative liabilities (3,457) (3,555) – (7,012) x x x Total Financial Liabilities (3,457) (3,555) – (7,012) x x x Total Financial Assets and Liabilities 25,503 232,085 – 257,588 x x x (i) Quoted prices in active markets for identical assets

x (ii) Significant other observable inputs

x (iii) Significant unobservable inputs

The accompanying notes are an integral part of these financial statements. 17 Notes to Financial Statements

x As at and for the periods as disclosed in the financial statements (see note 1)

1. CIBC Multi-Asset Absolute Return Strategy — Organization of the Fund and Financial Reporting Periods CIBC Multi-Asset Absolute Strategy, (the Fund) is a mutual fund trust, organized under the laws of Ontario and governed by a declaration of trust (Declaration of Trust). The address of the Fund’s head office is Brookfield Place, 161 Bay Street, 22nd Floor, Toronto, Ontario M5J 2S1. The Fund is managed by CIBC Asset Management Inc. (the Manager). The Manager is also the trustee, registrar, portfolio advisor, and transfer agent of the Fund. The Fund has issued four series of units and each series can issue an unlimited number of units. The Fund currently offers Series A, Series F, Series S and Series O units for sale. Each series of units may charge a different management fee and fixed administration fee and as a result, a separate net asset value per unit is calculated for each series of units. Series A units are available to all investors for purchase, subject to certain minimum initial investment requirements. They may have to pay a short-term trading fee, if applicable. Series F units are available, subject to the minimum investment requirement, to investors participating in programs such as clients of “fee-for-service” investment advisors, dealer-sponsored “wrap accounts”, and others who pay an annual fee to their dealer, and to investors who have accounts with a discount broker (provided the discount broker offers Series F units on its platform). Instead of paying a sales charge, investors purchasing Series F units may pay fees to their dealer or discount broker for their services. We do not pay a trailing commission in respect of Series F units, allowing us to charge a lower annual management fee. Series S units are only available for purchase by mutual funds, asset allocation services or discretionary managed accounts offered by the Manager or its affiliates. The Manager reserves the right to fix a minimum initial and additional investment amount for purchases of Series S Units at any time as part of the criteria for approval. No sales charge is payable on the purchase of Series S units. Series O Units are available to certain investors, as determined by the Manager in its discretion, including:

l Institutional investors or segregated funds that use a fund of fund structure and other qualified investors who have entered into a Series O unit account agreement with the Manager;

l Investors whose dealer or discretionary manager offers separately managed accounts or similar programs and whose dealer or discretionary manager has entered into a Series O unit account agreement with the Manager; and

l Mutual funds managed by the Manager or an affiliate that use a fund-of-fund structure. The Manager reserves the right to fix a minimum initial and additional investment amount for purchases of Series O Units at any time as part of the criteria for approval. No management fees are charged in respect of Series O Units; instead, a negotiated management fee is charged by the Manager directly to, or as directed by, Series O Unitholders. No sales charges are payable on the purchase of Series O Units. The date upon which the Fund was established by Declaration of Trust (Date Established) and the date upon which each series of units of the Fund was first sold to the public (Inception Date) are reported in footnote Organization of the Fund on the Statement of Financial Position. The Schedule of Investment Portfolio of the Fund is as at August 31, 2020. The Statements of Financial Position is as at August 31, 2020 and August 31, 2019. The Statements of Comprehensive Income, Statements of Changes in Net Assets Attributable to Holders of Redeemable Units and Statements of Cash Flows is for the years period ended August 31, 2020 and from the date of inception to August 31, 2019. These financial statements were approved for issuance by the Manager on November 5, 2020.

x 2. Summary of Significant Accounting Policies These financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB). The financial statements have been prepared on a going concern basis using the historical-cost convention. However, the Fund is an investment entity and primarily all financial assets and financial liabilities are measured at fair value in accordance with IFRS. Accordingly, the Fund’s accounting policies for measuring the fair value of investments and derivatives are consistent with those used in measuring the Net Asset value for transactions with unitholders. In applying IFRS, these financial statements include estimates and assumptions made by management that affect the reported amounts of assets, liabilities, income, and expenses during the reporting periods. However, existing circumstances and assumptions may change due to market changes or circumstances arising beyond the control of the Fund. Such changes are reflected in the assumptions when they occur. These financial statements have been presented in Canadian dollars, which is the Fund’s functional currency. a) Financial Instruments Classification and recognition of financial instruments In accordance with IFRS 9 Financial instruments, financial assets are to be classified at initial recognition into one of the below categories based on the entity's business model for managing financial assets and the contractual cash flow characteristics of the financial assets. Those categories are:

l Amortized Cost - assets held within a business model whose objective is to collect cash flows and where the contractual cash flows of the assets are solely payments of principal and interest (SPPI criterion). Amortization of the asset is calculated utilizing the Effective Interest Rate Method.

l Fair Value Through Other Comprehensive Income (FVOCI) - Financial assets such as debt instruments that meet the SPPI criterion and are held within a business model with objectives that include both collecting the associated contractual cash flows and selling financial assets. Gains and Losses are reclassified to Profit or Loss upon de-recognition for debt instruments but remain in Other Comprehensive Income for equity instruments.

l Fair Value Through Profit or Loss (FVTPL) - A financial asset is measured at FVTPL unless it is measured at Amortized Cost or FVOCI. Derivative contracts are measured at FVTPL. For all instruments classified as FVTPL, the gains and losses are recognized in Profit or Loss. Financial Liabilities are classified at FVTPL when they meet the definition of held-for-trading (HFT) or when they are designated as FVTPL on initial recognition using the fair value option. The Manager has assessed the business model of the Fund and has determined that the Fund’s portfolio of financial assets and financial liabilities are managed and performance is evaluated on a fair value basis in accordance with the Fund’s risk management and investment strategies; therefore, classification and measurement of financial assets is FVTPL. The Fund has a contractual obligation to distribute cash to the unitholders. As a result, the Fund’s obligation for net assets attributable to holders of redeemable units represents a financial liability and is presented at the redemption amount. b) Risk Management The Fund’s overall risk management approach includes formal guidelines that govern the extent of exposure to various types of risk, including diversification within asset classes and limits on the exposure to individual investments and counterparties. In addition, derivative financial instruments may be used to manage certain risk exposures. The Manager also has various internal controls to oversee the Fund’s investment activities, including monitoring compliance with the investment objectives and strategies, internal guidelines, and securities regulations. Please refer to the Fund’s Supplemental Schedule to Schedule of Investment Portfolio for specific risk disclosures. Fair value of financial instruments Financial instruments are valued at their fair value, which is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Refer to notes 3a to 3f for valuation of each specific type of financial instruments held by the Fund. The fair value of financial assets and liabilities traded in active markets are based on quoted market prices at the close of trading on the reporting date. The Fund uses the last traded market price for both financial assets and financial liabilities where the last traded price falls within that 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 specific facts and circumstances.

18 p / 2 Notes to Financial Statements

For financial assets and financial liabilities that are not traded in an active market, fair value is determined using valuation techniques. The Fund classifies fair value measurement within a hierarchy, which gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are: Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date; Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and Level 3: Inputs are unobservable for the asset or liability. If inputs are used to measure an asset’s or liability’s fair value, the classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement. The Fund’s fair value hierarchy classification of its assets and liabilities is included in the Supplemental Schedule to Schedule of Investment Portfolio. The carrying values of all non-investment assets and liabilities approximate their fair values due to their short-term nature. Fair values are classified as Level 1 when the related security or derivative is actively traded and a quoted price is available. If an instrument classified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1. In such cases, instruments are reclassified into Level 2, unless the measurement of its fair value requires the use of significant unobservable inputs, in which case it is classified as Level 3. The Manager is responsible for performing the fair value measurements included in the financial statements of the Fund, including the Level 3 measurements. The Manager obtains pricing from third-party pricing vendors and the pricing is reviewed daily. At each financial reporting date, the Manager reviews and approves all Level 3 fair value measurements. The Fund also has a Valuation Committee, which meets quarterly to perform detailed reviews of the valuations of investments held by the Fund, which includes discussion on Level 3 measurements. Credit risk Credit risk is the risk that a counterparty to a financial instrument, such as a fixed income security or a derivative contract, will fail to discharge an obligation or commitment that it has entered into with a Fund. The value of fixed income securities and derivatives as presented on the Schedule of Investment Portfolio includes consideration of the creditworthiness of the issuer and, accordingly, represents the maximum credit risk exposure of the Fund. The Fund may invest in short-term fixed income securities issued or guaranteed primarily by the Government of Canada or any Canadian provincial government, obligations of Canadian chartered banks or trust companies, and commercial paper with approved credit ratings. The risk of default on these short-term fixed income securities is considered low and these securities primarily have credit ratings of ‘A-1 (Low)’ or higher (as rated by S&P Global Ratings, a division of S&P Global), or equivalent rating from another rating service). The bond ratings noted in the Fund’s ‘Financial Instruments Risk’ under sub-section ‘Credit Risk’ represent ratings collected and disseminated by recognized third party vendors. These ratings utilized by the Manager, while obtained from vendors skilled and recognized for bond rating services, may not be the same as those used directly by the portfolio advisor. Ratings used by the portfolio advisor could be higher or lower than those used for risk disclosure in the financial statements in compliance with their investment policy guidelines. The Fund may engage in securities lending transactions. The credit risk related to securities lending transactions is limited by the fact that the value of cash or securities held as collateral by the Fund in connection with these transactions is at least 102% of the fair value of the securities loaned. The collateral and loaned securities are marked to market on each business day. Further information regarding the collateral and securities on loan can be found in the footnotes to the Statement of Financial Position and in note 2l. Currency risk Currency risk is the risk that the value of an investment will fluctuate due to changes in foreign exchange rates. This is because the Fund may invest in securities denominated or traded in currencies other than a Fund’s reporting currency. Interest rate risk Prices of fixed income securities generally increase when interest rates decline and decrease when interest rates rise. This risk is known as interest rate risk. Prices of longer-term fixed income securities will generally fluctuate more in response to interest rate changes than would shorter-term securities. Due to the nature of short-term fixed income securities with a remaining term-to-maturity of less than one year, these investments are not generally exposed to a significant risk that their value will fluctuate in response to changes in the prevailing levels of market interest rates. Liquidity risk The Fund is exposed to daily cash redemptions of redeemable units. Generally, the Fund retains sufficient cash and cash equivalent positions to maintain adequate liquidity. However, liquidity risk also involves the ability to sell an asset for cash easily and at a fair price. Some securities are illiquid due to legal restrictions on their resale, the nature of the investment, or simply a lack of interested buyers for a particular security or security type. Certain securities may become less liquid due to changes in market conditions, such as interest rate changes or market volatility, which could impair the ability of the Fund to sell such securities quickly or at a fair price. Difficulty in selling securities could result in a loss or lower return for the Fund. Other price/market risk Other price/market risk is the risk that the value of investments will fluctuate as a result of changes in market conditions. Several factors can influence market trends, such as economic developments, changes in interest rates, political changes, and catastrophic events, such as pandemics or disasters which occur naturally or are exacerbated by climate change. Pandemics such as coronavirus disease 2019 (COVID-19) may adversely affect global markets and the performance of the Fund. All investments are exposed to other price/market risk. c) Investment Transactions, Income Recognition, and Recognition of Realized and Unrealized Gains and Losses i) Each transaction of purchase or sale of a portfolio asset by the Fund is reflected in the net assets no later than the first computation of net assets made after the date on which the transaction becomes binding upon the Fund. ii) Interest for distribution purposes shown on the Statements of Comprehensive Income represents the coupon interest received by the Fund accounted for on an accrual basis. The Fund does 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. iii) Dividend income is recorded on the ex-dividend date. iv) Security transactions are recorded on a trade date basis. Securities that are exchange-traded are recorded at fair value established by the last traded market price when that price falls within that day’s bid-ask spread. Debt securities are recorded at fair value, established by the last traded price on the Over-the-Counter (OTC) market when that price falls within that 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 specific facts and circumstances. Unlisted securities are recorded at fair value using fair valuation techniques established by the Manager in establishing a fair value. v) Realized gains and losses on investments and unrealized appreciation or depreciation of investments are calculated using the average cost, excluding transaction costs, of the related investments. vi) Investment income is the sum of income paid to the Fund that is generated from the Fund’s investment fund holdings. vii) Other income is the sum of income, excluding transaction costs, other than that which is separately classified on the Statements of Comprehensive Income. d) Offsetting Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position if there is a currently enforceable legal right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously. Where applicable, additional information can be found in the table Offsetting Arrangements as part of the Supplemental Schedule to Schedule of Investment Portfolio. This supplemental schedule discloses the OTC derivatives, which are subject to offsetting. e) Portfolio Securities The cost of securities of the Fund is determined in the following manner. Securities are purchased and sold at a market-traded price to arrive at a value for the position traded. The total purchased value represents the total cost of the security to the Fund. When additional units of the same security are purchased, the cost of those additional units is added to the total security cost. When units of the same security are sold, the proportionate cost of the units of the security sold is deducted from the total security cost. If there is a return of capital paid by a security, the amount of this return of capital is deducted from the total security cost. This method of tracking security cost is known as “average cost” and the current total for any one security is referred to as the adjusted cost base or “ACB” of the security. Transaction costs incurred in portfolio

19 Notes to Financial Statements p / 3

transactions are excluded from the average cost of investments and are recognized immediately in Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units and are presented as a separate expense item in the financial statements. The difference between the fair value of securities and their average cost, excluding transaction costs, represents the unrealized appreciation (depreciation) in value of the portfolio investments. The applicable period change in unrealized appreciation (depreciation) of investments is included on the Statements of Comprehensive Income. Short-term investments on the Schedule of Investment Portfolio are presented at their amortized cost, which approximates their fair value. Accrued interest for bonds is disclosed separately on the Statements of Financial Position. f) Foreign Exchange The value of investments and other assets and liabilities denominated in foreign currencies is translated into Canadian dollars, which is the Fund’s functional and presentation currency at the current rates prevailing on each Valuation Date. Purchases and sales of investments, income, and expenses are translated into Canadian dollars, which is the Fund's functional and presentation currency at the foreign exchange rates prevailing on the dates of such transactions. Foreign currency translation gains (losses) on investments and income transactions are included in Net realized gain (loss) on foreign currency and in Income, respectively, on the Statements of Comprehensive Income. g) Forward Foreign Currency Contracts The Fund may enter into forward foreign currency contracts for either hedging or non-hedging purposes where such activity is consistent with its investment objectives and as permitted by the Canadian securities regulatory authorities. Changes in the fair value of forward foreign currency contracts are included in derivative assets or derivative liabilities on the Statements of Financial Position and are recorded as an Increase (decrease) in unrealized appreciation (depreciation) of investments and derivatives during the applicable period on the Statements of Comprehensive Income. The gain or loss arising from the difference between the value of the original forward foreign currency contract and the value of such contract at close or delivery is realized and recorded as Derivative income (loss) for the Fund. h) Futures Contracts The Fund may enter into futures contracts for either hedging or non-hedging purposes where such activity is consistent with its investment objectives and as permitted by the Canadian securities regulatory authorities. The margin deposits with brokers relating to futures contracts are included in Margin on the Statements of Financial Position. Any change in the margin requirement is settled daily and included in Receivable for portfolio securities sold or Payable for portfolio securities purchased on the Statements of Financial Position. Any difference between the settlement value at the close of business on each Valuation Date and the settlement value at the close of business on the previous Valuation Date is recorded as Derivative Income (loss) on the Statements of Comprehensive Income. i) Options The Fund may enter into options contracts for either hedging or non-hedging purposes where such activity is consistent with its investment objectives and as permitted by the Canadian securities regulatory authorities. Premiums paid for purchased call and put options are included in derivative assets and subsequently measured at fair value on the Statements of Financial Position. When a purchased option expires, the Fund will realize a loss in the amount of the cost of the option. For a closing transaction, the Fund will realize a gain or loss depending on whether the proceeds are greater or less than the premium paid at the time of purchase. When a purchased call option is exercised, the cost of the security purchased is increased by the premium paid at the time of purchase. Premiums received from writing options are included in derivative liabilities and subsequently measured at fair value on the Statements of Financial Position as initial reductions in the value of investments. Premiums received from writing options that expire unexercised are recorded as realized gains and reported as Net gain (loss) on sale of investments and derivatives on the Statements of Comprehensive Income. For a closing transaction, if the cost of closing the transaction exceeds the premium received, the Fund will record a realized loss or, if the premium received at the time the option was written is greater than the amount paid, the Fund will record a realized gain and are reported as Net gain (loss) on sale of investments and derivatives. If a written put option is exercised, the cost for the security delivered is reduced by the premiums received at the time the option was written. j) Swap Contracts The Fund may enter into swap contracts for either hedging or non-hedging purposes where such activity is consistent with its investment objectives and as permitted by the Canadian securities regulatory authorities. The Fund can enter into swap contracts either through exchanges that provide clearing and settlement, or with financial institutions referred to as counterparties. The swap contracts with counterparties result in the Fund having a credit exposure to the counterparties or guarantors. With the exception of cleared specified derivatives, the Fund will only enter into swap contracts with counterparties having a designated rating. The amount to be received (or paid) on the swap contracts is recognized as Derivative asset or Derivative liability on the Statements of Financial Position over the life of the contracts. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Financial Position. A realized gain or loss is recorded upon early or partial termination and upon maturity of the swap contracts and is recorded as Derivative income (loss). Changes in the amount to be received (or paid) on the swap contract are recorded as Net change in unrealized appreciation (depreciation) of investments and derivatives on the Statements of Comprehensive Income. Details of swap contracts open at period end are included with the Fund’s Schedule of Investment Portfolio under the caption Schedule of Derivative Assets and Liabilities - Swap Contracts. k) Short Selling and Borrowing Fees The Fund may engage in short selling transactions. In a short selling strategy, the Portfolio Advisor identifies securities that it expects will fall in value. The Fund then borrows securities from a custodian or dealer (the Borrowing Agent) and sells them in the open market. The Fund must repurchase the securities at a later date in order to return them to the Borrowing Agent. In the interim, the proceeds from the short sale transaction are deposited with the Borrowing Agent and the Fund pays interest to the Borrowing Agent on the borrowed securities. If the Fund repurchases the securities later at a lower price than the price at which it sold the borrowed securities on the open market, a profit will result. However, if the price of the borrowed securities rises, a loss will result. Gains and losses realized on the short selling of securities are included in the Statements of Comprehensive Income as Net realized gain (loss) on sale of investments and derivatives. Where applicable dividends and interest paid on the short selling of securities are included in the Statements of Comprehensive Income as Dividend expense on investments sold short and Interest expense on investments sold short, respectively. l) Securities Lending The Fund may lend portfolio securities in order to earn additional revenue, which is disclosed on the Statements of Comprehensive Income. The loaned assets of the Fund are not permitted to exceed 50% of the fair value of the assets of the Fund (excluding collateral debt for the loaned securities). The minimum allowable collateral is 102% of the market value of the loaned securities as per the requirements of National Instrument 81-102 - Investment Funds. Collateral can consist of the following: i) Cash; ii) Qualified securities; iii) Irrevocable letters of credit issued by a Canadian financial institution that is not the counterparty, or an affiliate counterparty, of the Fund in the transaction, if evidences of indebtedness of the Canadian financial institution that are rated as short-term debt by a designated credit rating organization, or its designated rating organization affiliate, have a designated rating; and iv) Securities that are immediately convertible into, or exchangeable for, securities of the same issuer, class, or type, and the same term, as the securities loaned. The fair value of the loaned securities is determined on the close of any valuation date and any additional required collateral is delivered to the Fund on the next business day. The securities on loan continue to be included on the Schedule of Investment Portfolio and are included in the total value on the Statements of Financial Position in Investments (non-derivative financial assets) at fair value. Where applicable, the Fund’s securities lending transactions are reported in footnote Securities Lending on the Statements of Financial Position. National Instrument 81-106 – Investment Fund Continuous Disclosure requires a reconciliation of the gross income amount generated from the securities lending transactions of the Fund to the revenue from securities lending disclosed in the Fund’s Statements of Comprehensive Income. The gross amount generated from securities lending includes interest paid on collateral, withholding taxes deducted, the fees paid to the Fund’s lending agent and the securities lending revenue received by the Fund. Where applicable, the reconciliation can be found in the footnotes to the Fund’s Statements of Comprehensive Income.

20 p / 4 Notes to Financial Statements

m) Multi-Series Structured Fund The Fund has issued four series of units. The realized and unrealized capital gains or capital losses, income, and common expenses (other than fixed administration fees and management fees) of the Fund is allocated on each Valuation Date to the unitholders in proportion to the respective prior day’s net asset value, which includes unitholder trade(s) dated for that day, of each series of units at the date on which the allocation is made. Fixed administration fees and management fees do not require allocation. All operating expenses (except fund costs) are paid by the Manager in respect of Series A, Series F and Series S in exchange for the Fund paying a fixed administration fee with respect to those series. The Fund does not pay a fixed administration fee in respect of Series O units. The Manager pays the Fund’s operating expenses that are not fund costs allocated to Series O units of the Fund. n) Loans and Receivables, Other Assets and Liabilities Loans and receivables, other assets and liabilities are recorded at amortized cost, which approximates their fair value with the exception of net assets attributable to holders of redeemable units, which are presented at the redemption value. o) Legend for Abbreviations The following is a list of abbreviations (foreign currency translation and others) that may be used in the Schedule of Investment Portfolio:

x Currency Abbreviations

x .. AUD – Australian Dollar KRW – South Korean Won

.. BRL – Brazilian Real MXN – Mexican Peso

.. CAD – Canadian Dollar MYR – Malaysian Ringgit

.. CHF – Swiss Franc NOK – Norwegian Krone

.. CLP – Chilean Peso NZD – New Zealand Dollar

.. CNY – Chinese Renminbi PHP – Philippine Peso

.. CZK – Czech Koruna PLN – Polish Zloty

.. DKK – Danish Krone RUB – Russian Ruble

.. EUR – Euro SEK – Swedish Krona

.. GBP – British Pound SGD – Singapore Dollar

.. HKD – Hong Kong Dollar THB – Thai Baht

.. HUF – Hungarian Forint TRY – New Turkish Lira

.. IDR – Indonesian Rupiah TWD – Taiwan Dollar

.. INR – Indian Rupee USD – United States Dollar

.. JPY – Japanese Yen ILS – Israeli Shekel

.. COP – Colombian Peso ZAR – South African Rand

.. ..

Other Abbreviations

.. ADR – American Depositary Receipt iUnits – Index Units Securities

.. ADC – Austrian Depositary Certificates LEPOs – Low Exercise Price Options

.. CVO – Contingent Value Obligations International MSCI – Morgan Stanley Capital Index

.. ETF – Exchange-Traded Fund OPALS – Optimized Portfolios as Listed

.. GDR – Global Depositary Receipt Securities PERLES – Performance Linked to Equity

.. IPN – International Participation Note REIT – Real Estate Investment Trust

.. iShares – Index Shares SDR – Swedish Depositary Receipt

p) 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 of each series is calculated by dividing the Increase (decrease) in net assets attributable to holders of redeemable units (excluding distributions), as reported in the Statement of Comprehensive Income, by the weighted average number of units in issue during the related period. 3. Valuation of Investments The valuation date for the Fund is any day when the Manager’s head office is open for business (Valuation Date). The Manager may, at its discretion, establish other Valuation Dates. The value of the investments or assets of the Fund is determined as follows: a) Cash and Other Assets Cash, accounts receivable, dividends receivable, distributions receivable, and interest receivable are valued at fair value or at their recorded cost, plus or minus any foreign exchange between recognition of the asset by the Fund and the current Valuation Date, which approximates fair value. Short-term investments (money market instruments) are valued at fair value. b) Bonds, Debentures, and Other Debt Obligations Bonds, debentures, and other debt obligations are fair valued using the last traded price provided by a recognized vendor upon the close of trading on a Valuation Date, whereby the last traded price falls within that day’s bid-ask spread. If the last traded price does not fall within that day’s bid-ask spread, then the Manager will determine the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances. c) Listed Securities, Unlisted Securities, and Fair Value Pricing of Foreign Securities Any security that is listed or traded on a securities exchange is fair valued using the last traded price, whereby the last traded price falls within that day’s bid-ask spread or, if there is no traded price on that exchange or the last traded price does not fall within that day’s bid-ask spread and in the case of securities traded on an OTC market, at the fair value as determined by the Manager as an appropriate basis for valuation. In such situations, a fair value will be determined by the Manager to establish current value. If any securities are inter-listed or traded on more than one exchange or market, the Manager will use the principal exchange or market for the fair value of such securities. Units of each mutual fund in which the Fund invests will be valued at fair value using the most recent net asset value quoted by the trustee or manager of the mutual fund on the Valuation Date. Unlisted securities are fair valued using the last traded price quoted by a recognized dealer, or the Manager may determine a price that more accurately reflects the fair value of these securities if the Manager feels the last traded price does not reflect fair value. Fair value pricing is designed to avoid stale prices and to provide a more accurate fair value, and may assist in the deterrence of harmful short-term or excessive trading in the Fund. When securities listed or traded on markets or exchanges that close prior to North or South American markets or exchanges are valued by the Manager at their fair market value, instead of using quoted or published prices, the prices of such securities used to calculate the Fund's net assets or net asset value may differ from quoted or published prices of such securities.

21 Notes to Financial Statements p / 5

d) Derivatives Long positions in options, debt-like securities, and listed warrants are fair valued using the last traded price as established on either their principal trading exchange or by a recognized dealer in such securities, whereby the last traded price falls within that day’s bid-ask spread and the credit rating of each counterparty (as rated by S&P Global Ratings, a division of S&P Global) meets or exceeds the minimum designated rating. When any option is written by the Fund, the premium received by the Fund will be reflected as a liability that will be valued at an amount equal to the current value of the option that would have the effect of closing the position. Any difference resulting from revaluation shall be treated as an unrealized gain or loss on investment; the liability shall be deducted in arriving at the net assets attributable to holders of redeemable units of the Fund. The securities that are the subject of a written option, if any, will be valued in the manner described above for listed securities. Futures contracts, forward contracts, or swaps will be valued at fair value of the gain or loss, if any, that would be realized on the Valuation Date if the position in the futures contracts, forward contracts, or swaps were to be closed out. Margin paid or deposited in respect of swaps and forward contracts will be reflected as an account receivable and margin consisting of assets other than cash will be noted as held as collateral. Other derivatives and margin are fair valued in a manner that the Manager determines to represent their fair value. e) Restricted Securities Restricted securities purchased by the Fund will be fair valued in a manner that the Manager determines to represent their fair value. f) Other Securities All other investments of the Fund will be fair valued in accordance with the laws of the Canadian securities regulatory authorities, where applicable, and using fair valuation techniques that most accurately reflect their current value as determined by the Manager. The value of any security or other property of the Fund for which a market quotation is not readily available or where, in the opinion of the Manager, the market quotations do not properly reflect the fair value of such securities, will be determined by the Manager by valuing the securities at their fair value. In such situations, fair value will be determined using fair valuation techniques that most accurately reflect their fair value as established by the Manager. 4. Interest in Underlying Funds The Fund may invest in other investment funds (Underlying Funds). Each Underlying Fund invests in a portfolio of assets to generate returns in the form of investment income and capital appreciation for its unitholders. Each Underlying Fund finances its operations primarily through the issuance of redeemable units, which are puttable at the unitholder’s option and entitle the unitholder to a proportionate share of the Underlying Fund’s net assets. The Fund’s interests in Underlying Funds held in the form of redeemable units, are reported in its Schedule of Investments at fair value, which represents the Fund’s maximum exposure on those investments. The Fund’s interests in Underlying Funds as at the prior year period ends are presented in the Financial Instrument Risks – Concentration Risks section in the Supplemental Schedule to the Schedule of Investment Portfolio. Distributions earned from Underlying Funds are included in Investment Income in the Statements of Comprehensive Income. The total realized and change in unrealized gains (losses) arising from Underlying Funds are also included in the Statement of Comprehensive Income. The Fund does not provide any additional significant financial or other support to Underlying Funds. Where applicable, the table Interests in Underlying Funds is presented as part of the Supplemental Schedule to Schedule of Investment Portfolio, which provides additional information on the Fund’s investments in Underlying Funds where the ownership interest exceeds 20% of each Underlying Fund. 5. Leverage Leverage occurs when the Fund’s notional exposure to underlying assets is greater than the amount invested, and may not exceed 300% of the Fund’s Net Asset Value (NAV). Notional exposure equals the total of the following: i) the outstanding indebtedness under any borrowing agreements; ii) the aggregate market value of all securities sold short; and iii) the aggregate notional value of the Fund’s specified derivatives positions excluding any specified derivatives used for hedging purposes. During the year ending August 31, 2020, the Fund’s leverage position ranged from 115.4% to 233.1% of the Fund’s NAV. The low end of the range occurred in March, 2020 when the Fund's strategy dictated that less leverage was required to achieve the Fund's target risk-return objectives. The high end of the range was reached in December, 2019 when the Fund deployed a greater use of leverage to achieve its target risk-return objectives. The Fund’s derivative usage provided the only source of leverage during the year ended August 31, 2020. During the period from the Fund’s inception to August 31, 2019, the Fund’s leverage position ranged from 0.0% to 200.3% of the Fund’s NAV. The low end of the range occurred at the time of the Fund’s launch, when its derivatives strategies were not yet implemented. The high end of the range was reached in July 2019, when the Fund’s exposure to the global currency markets through the use of FX forward contracts and to the global capital markets through its use of futures, swaps and options contracts increased as a percentage of net assets. The Fund’s derivative usage provided the only source of leverage during the period ended August 31, 2019. 6. Redeemable Units Issued and Outstanding The Fund has issued four series of units and each series can issue an unlimited number of units. The outstanding units represent the net assets attributable to holders of redeemable units of the Fund. Each unit has no par value and the value of each unit is the net asset value as determined on each valuation date. Settlement of the cost for units issued is completed as per laws of the Canadian securities regulatory authorities in place at the time of issue. Distributions made by the Fund and reinvested by unitholders in additional units also constitute issued redeemable units of the Fund. Units are redeemed at the net assets attributable to holders of redeemable units per unit of each series of units of the Fund. A right to redeem units of the Fund may be suspended with the approval of the Canadian securities regulatory authorities or when normal trading is suspended on a stock, options, or futures exchange within Canada or outside of Canada on which securities or derivatives that make up more than 50% of the value or underlying exposure of the total assets of the Fund, not including any liabilities of the Fund, are traded and when those securities or derivatives are not traded on any other exchange that represents a reasonably practical alternative for the Fund. The Fund is not subject to any externally imposed capital requirements. The capital received by the Fund is utilized within the respective investment mandate of the Fund. For the Fund, this includes the ability to make liquidity available to satisfy unitholder unit redemption requirements upon the unitholder’s request. Changes in issued and outstanding units for the periods ended August 31, 2020 and August 31, 2019 can be found on the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. 7. Management Fees, Fixed Administration Fees and Operating Expenses Management fees are based on the net asset value of the Fund and are calculated daily and paid monthly. Management fees are paid to the Manager in consideration for providing, or arranging for the provision of, management, distribution, and portfolio advisory services. Advertising and promotional expenses, office overhead expenses related to the Manager’s activities, trailing commissions and the fees of the portfolio sub-advisors are paid by the Manager out of the management fees received from the Fund. The maximum annual management fee expressed as a percentage of the average net asset value for each series of units of the Fund is reported in footnote Maximum Chargeable Management Fee Rates on the Statements of Comprehensive Income. For Series O units, management fees are negotiated with and paid by, or as directed by, unitholders, or dealers and discretionary managers on behalf of unitholders. The Manager may also charge to the Fund less than the maximum management fee noted in footnote Maximum Chargeable Management Fee Rates on the Statements of Comprehensive Income, resulting in the Manager waiving management fees. At its sole discretion, the Manager may stop waiving management fees at any time. In some cases, the Manager may charge management fees to the Fund that are less than the management fees the Manager is entitled to charge in respect of certain investors in the Fund. The difference in the amount of the management fees will be paid out by the Fund to the applicable investors as a distribution of additional units of the Fund (Management Fee Distributions). Management Fee Distributions are negotiable between the Manager and the investor and are dependent primarily on the size of the investor’s investment in the Fund. Management Fee Distributions paid to qualified investors do not adversely impact the Fund or any of the Fund’s other investors. The Manager may increase or decrease the amount of Management Fee Distributions to certain investors from time to time. The Manager pays the operating expenses of the Fund (other than fund costs) in respect of Series A, Series F and Series S, which may include but is not limited to, operating and administrative costs; regulatory fees; audit, and legal fees and expenses; trustee, safekeeping, custodial, and any agency fees; and investor servicing costs and costs of unitholder reports, prospectuses, Fund Facts, and other reports, in exchange for the

22 p / 6 Notes to Financial Statements

payment by the Fund of a fixed rate administration fee to the Manager with respect to those series of units, and is referred to as a Fixed Administration Fee. The Fixed Administration Fee will be equal to a specified percentage of the net asset value of the series units of the Fund, calculated and accrued daily and paid monthly. The Fixed Administration Fee charged for Series A, Series F and Series S of the Fund is reported in the footnote Fixed Administration Fee on the Statements of Comprehensive Income. For Series O, no Fixed Administration Fee will be charged. The Manager pays the Fund’s operating expenses that are not fund costs allocated to Series O units of the Fund. The Fixed Administration Fee payable by the Fund, may, in any particular period, exceed or be lower than the expenses we incur in providing such services to the Fund. In addition to the management fees and Fixed Administration Fees, the Fund is responsible for fund costs which include, but are not limited to, all fees and expenses relating to the Independent Review Committee and expenses associated with borrowing and interest. Transaction costs which can include brokerage fees, spreads, commissions and all other securities transaction fees are also paid by the Fund. The Manager may, in some cases, waive all or a portion of the Fixed Administration Fee paid by the Fund with respect to Series A, Series F or Series S Units of the Fund. The decision to waive or absorb some or all of the Fixed Administration Fee is at the Manager’s discretion and may continue indefinitely or may be terminated at any time without notice to Unitholders. Operating expenses payable by the Manager or by the Fund as part of the Fund Costs may include services provided by the Manager or its affiliates. Where the Fund invests in units of an Underlying Fund, the Fund does not pay duplicate management fees on the portion of its assets that it invests in units of the Underlying Fund. In addition, the Fund will not pay duplicate sales fees or redemption fees with respect to the purchase or redemption by it of units of the Underlying Fund. Some of the Underlying Funds held by the Fund may offer Management Fee Distributions. Such Management Fee Distributions of an Underlying Fund will be paid out as required for taxable distribution payments by the Fund. The Manager of an Underlying Fund may, in some cases, waive a portion of an Underlying Fund’s management fee and/or absorb a portion of an Underlying Fund’s operating expenses. 8. Income Taxes and Withholding Taxes The Fund qualifies as a mutual fund trust under the Income Tax Act (Canada). No income tax is payable by the Fund on net income and/or net realized capital gains that are distributed to unitholders. In addition, income taxes payable on undistributed net realized capital gains are refundable on a formula basis when units of the Fund is redeemed. Sufficient net income and realized capital gains of the Fund has been, or will be, distributed to the unitholders such that no tax is payable by the Fund and accordingly, no provision for income taxes has been made in the financial statements. Occasionally, the Fund may pay distributions in excess of net income and net realized capital gains of the Fund. This excess distribution is called a return of capital and is non-taxable to the unitholder. However, a return of capital reduces the average cost of the unitholder’s units for tax purposes. Non-capital losses are available to be carried forward for 20 years. Capital losses for income tax purposes may be carried forward indefinitely and applied against capital gains realized in future years. Where applicable, the Fund’s net capital and non-capital losses are reported in Canadian dollars in the footnote Net Capital and Non-Capital Losses on the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. The Fund has a taxation year-end of December 15. The Fund currently incurs 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 as a separate expense in the Statements of Comprehensive Income. 9. Brokerage Commissions and Fees The total commissions paid by the Fund to brokers in connection with portfolio transactions are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of the Fund. In allocating brokerage business to a dealer, consideration may be given by the portfolio advisor of the Fund to the provision of goods and services by the dealer or a third party, other than order execution (referred to in the industry as “soft dollar” arrangements). These goods and services are paid for with a portion of brokerage commissions and assist the portfolio advisor with their investment decision-making services to the Fund or relate directly to the execution of portfolio transactions on behalf of the Fund. The services are supplied by the dealer executing the trade or by a third party and paid for by that dealer. The total soft dollar payments paid by the Fund to brokers are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of the Fund. In addition, the Manager may enter into commission recapture arrangements with certain dealers with respect to the Fund. Any commission recaptured will be paid to the Fund. Fixed income, other securities, and certain derivative products (including forwards) are transacted in an over-the-counter market, where participants are dealing as principals. Such securities are generally traded on a net basis and do not normally involve brokerage commissions, but will typically include a “spread” (being the difference between the bid and the offer prices on the security of the applicable marketplace). Spreads associated with fixed income securities trading and certain derivative products (including forwards) are not ascertainable and, for that reason, are not included in the dollar amounts. 10. Related Party Transactions Canadian Imperial Bank of Commerce (CIBC) and its affiliates have the following roles and responsibilities with respect to the Fund and receive the fees described below in connection with their roles and responsibilities. The Fund may hold securities of CIBC. CIBC and its affiliates may also be involved in underwriting or lending to issuers that may be held by the Fund, have purchased or sold securities from or to the Fund while acting as principal, have purchased or sold securities from or to the Fund on behalf of another investment fund managed by CIBC or an affiliate, or have been involved as a counterparty to derivative transactions. Management fees payable and other accrued expenses on the Statements of Financial Position are amounts generally payable to a related party of the Fund. Manager, Trustee, and Portfolio Advisor of the Fund CIBC Asset Management Inc. (CAMI), a wholly owned subsidiary of CIBC, is the Manager, trustee, registrar, transfer agent and portfolio advisor of the Fund. The Manager pays the operating expenses of the Fund (other than fund costs) in respect of Series A, Series F and Series S, which may include but is not limited to, operating and administrative costs; regulatory fees; audit, and legal fees and expenses; trustee, safekeeping, custodial, and any agency fees; and investor servicing costs and costs of unitholder reports, prospectuses, Fund Facts, and other reports, in exchange for the payment by the Fund of a fixed rate administration fee to the Manager with respect to those series of units. The dollar amount (including all applicable taxes) of the fixed rate administrative fee that the Manager receives from the Fund is reported in footnote Administrative and Other Fund Operating Expenses on the Statements of Comprehensive Income. Brokerage Arrangements and Soft Dollars The portfolio advisor make decisions, including the selection of markets and dealers and the negotiation of commissions, with respect to the purchase and sale of portfolio securities, certain derivative products, and the execution of portfolio transactions. Brokerage business may be allocated by portfolio advisors, to CIBC World Markets Inc. and CIBC World Markets Corp., each a subsidiary of CIBC. The total commissions paid to related brokers in connection with portfolio transactions are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of the Fund. CIBC World Markets Inc. and CIBC World Markets Corp. may also earn spreads on the sale of fixed income, other securities, and certain derivative products to the Fund. Dealers, including CIBC World Markets Inc. and CIBC World Markets Corp., may furnish goods and services, other than order execution, to the portfolio advisor, that process trades through them (referred to in the industry as “soft-dollar” arrangements). These goods and services are paid for with a portion of brokerage commissions and assist the portfolio advisor with their investment decision-making services to the Fund or relate directly to executing portfolio transactions on behalf the Fund. They are supplied by the dealer executing the trade or by a third party and paid for by that dealer. Custodial fees directly related to portfolio transactions incurred by the Fund, or a portion of the Fund, for which CAMI acts as advisor, shall be paid by CAMI and/or dealer(s) directed by CAMI up to the amount of the credits generated under soft dollar arrangements from trading on behalf of the Fund, or portion of the Fund, during the month. The total soft dollar payments paid by the Fund to related brokers are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of the Fund. In addition, the Manager may enter into commission recapture arrangements with certain dealers with respect to the Fund. Any commission recaptured will be paid to the Fund. Custodian The custodian holds cash and securities for the Fund and ensures that those assets are kept separate from any other cash or securities that the custodian might be holding. The custodian also provides other services to the Fund including record keeping and processing of foreign exchange transactions. CIBC Mellon Trust Company is the custodian of the Fund (the Custodian). The fees and spreads for services of the Custodian directly related to the execution of portfolio transactions by the Fund, or a portion of the Fund, for which CAMI acts as portfolio advisor are paid by CAMI and/or dealer(s) directed by CAMI up to the amount of the credits generated under soft dollar arrangements from trading on behalf of the Fund, or portion of the Fund, during that month. All other fees and spreads for the services of the Custodian are borne as an operating expense by the Fund. CIBC owns a 50 percent interest in the Custodian. Service Provider CIBC Mellon Global Securities Services Company (CIBC GSS) provides certain services to the Fund, including securities lending, fund accounting and reporting, and portfolio valuation. CIBC indirectly owns a 50 percent interest in CIBC GSS. Custodial, fund accounting, reporting and fund valuation fees are paid directly to CIBC GSS by the Manager, and the Manager receives payment from the Fund in the form of a fixed administration fee. Where applicable, securities lending fees are applied against the revenue received by the Fund.

23 Notes to Financial Statements p / 7

11. Hedging Certain foreign currency denominated positions have been hedged, or partially hedged, by forward foreign currency contracts as part of the investment strategies of the Fund. These hedges are indicated by a hedging reference number on the Schedule of Investment Portfolio and a corresponding hedging reference number on the Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contract(s). 12. Collateral on Specified Derivatives Short-term investments may be used as collateral for futures or swap contracts outstanding with brokers.

24 INDEPENDENT AUDITOR'S REPORT

x To the Unitholders of CIBC Multi-Asset Absolute Return Strategy

(the "Fund")

x x x x x x x x x x x x

x x

x ..

x x Opinion We have audited the financial statements of the Fund, which comprise the statements of financial position as at August 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 periods 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 Fund as at August 31, 2020 and 2019, and its financial performance and its cash flows for the periods 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 Fund 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. 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 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 Fund’s 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 Fund or to cease operations, or has no realistic alternative but to do so. Those charged with governance are responsible for overseeing the Fund’s 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:

l 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.

l 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 Fund’s internal control.

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

l 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 Fund’s 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 Fund to cease to continue as a going concern.

l 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.

x x x x x x x x x x x

Toronto, Canada November 19, 2020

25 CIBC Asset Management Inc.

1500 Robert-Bourassa Boulevard, Suite 800 Montreal, Quebec H3A 3S6 1-888-888-3863

Website www.renaissanceinvestments.ca

CIBC Asset Management Inc., the manager and trustee of CIBC Multi-Asset Absolute Return Strategy, is a wholly-owned subsidiary of Canadian Imperial Bank of Commerce (CIBC). Please read the CIBC Multi-Asset Absolute Return Strategy simplified prospectus before investing. To obtain a copy of the simplified prospectus, call 1-888-888-3863, email us at [email protected], or ask your advisor.

®CIBC Asset Management Inc. and the CIBC logo are registered trademarks of Canadian Imperial Bank of Commerce.