CIBC Multi-Asset Absolute Return Strategy

Interim Financial Reports (unaudited) for the period ended February 28, 2021

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

As at February 28, 2021 and August 31, 2020 (note 1) x x Series A October 9, 2018 x February 28, 2021 August 31, 2020 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) $ 1,330,956 $ 826,935 x Cash including foreign currency holdings, at fair value 19,306 – x Margin 84,222 40,538 x Interest receivable 5,191 2,099 x Dividends receivable 95 149 x Receivable for portfolio securities sold 110,914 838 x Receivable for units issued 2,523 15,345 x Derivative assets 52,760 31,156 x x x Total Assets 1,605,967 917,060 x x x Liabilities x x x Current liabilities x overdraft – 77 x Payable for portfolio securities purchased 151,965 838 x Payable for units redeemed 192 818 x Management fees payable – 75 x Other accrued expenses – 8 x Derivative liabilities 43,819 21,968 x x x Total Liabilities 195,976 23,784 x x x Net Assets Attributable to Holders of Redeemable Units (note 6) $ 1,409,991 $ 893,276 x x Net Assets Attributable to Holders of Redeemable Units per Series x Series A $ 40,304 $ 24,454 x Series F $ 83,479 $ 52,106 x Series O $ 1,286,208 $ 816,716 x Series S $ – $ – x x Net Assets Attributable to Holders of Redeemable Units per Unit (note 6) x Series A $ 10.75 $ 10.86 x Series F $ 10.86 $ 10.96 x Series O $ 10.95 $ 11.08 x Series S $ 10.79 $ 10.74 x

† Securities Lending The tables that follow indicate the Fund had assets involved in securities lending transactions outstanding as at February 28, 2021 and August 31, 2020:

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

x x February 28, 2021 3,873 4,069 x August 31, 2020 31,038 34,868 x Collateral Type* ($000s) i ii iii iv

x x February 28, 2021 – 4,069 – – x August 31, 2020 – 34,281 – 587 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 (unaudited) ±±±± Brokerage Commissions and Fees (notes 9 and 10)

(in 000s, except per unit amounts) 2021 2020

x x For the periods ended February 28, 2021 and February 29, 2020 (note 1) Brokerage commissions and other fees ($000s) x Total Paid 268 825 February 28, 2021 February 29, 2020 x x x Paid to CIBC World Markets Inc. – – x Net Gain (Loss) on Financial Instruments Paid to CIBC World Markets Corp. – – x x Interest for distribution purposes $ 7,117 $ 3,684 x Soft dollars ($000s) Dividend revenue 2,045 802 x x Total Paid – – Derivative income (loss) (1,203) (172) x x Paid to CIBC World Markets Inc. and CIBC World Markets Corp. – – x Other changes in fair value of investments and x derivatives x Net realized gain (loss) on sale of investments and derivatives 4,033 (152) x Net realized gain (loss) on foreign currency (notes 2f and g) (1,274) (273) x Net change in unrealized appreciation (depreciation) of investments and derivatives 18,464 (13,132) x x x Net Gain (Loss) on Financial Instruments 29,182 (9,243) x x Other Income x Foreign exchange gain (loss) on cash 310 (43) x Securities lending revenue ± 60 – x x x 370 (43) x x Expenses (note 7) x Management fees ±± 619 115 x Fixed administration fees ±±± 101 20 x Independent review committee fees – – x Transaction costs ±±±± 1,052 1,008 x Withholding taxes (note 8) 655 250 x x x 2,427 1,393 x x Expenses waived/absorbed by the Manager – – x x 2,427 1,393 x x Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (excluding distributions) 27,125 (10,679) x x Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per Series (excluding distributions) x Series A $ 355 $ (174) x Series F $ 995 $ (355) x Series O $ 25,775 $ (10,150) x Series S $ – $ – x x Average Number of Units Outstanding for the Period per Series x Series A 2,886 485 x Series F 5,819 1,224 x Series O 93,511 36,477 x Series S – – x x Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per Unit (excluding distributions) x Series A $ 0.12 $ (0.37) x Series F $ 0.18 $ (0.29) x Series O $ 0.27 $ (0.29) x Series S $ 0.05 $ (0.29) x

± Securities Lending Revenue (note 2l) February 28, 2021 February 29, 2020 % of Gross % of Gross securities lending securities (in 000s) revenue (in 000s) lending revenue

x x Gross securities lending revenue $ 100 100.0 $ – – x Interest paid on collateral – – – – x Withholding taxes (20) (20.0) – – x Agent fees - Bank of New York Mellon Corp. (The) (20) (20.0) – – x x x Securities lending revenue $ 60 60.0 $ – – 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 (unaudited) (in 000s) For the periods ended February 28, 2021 and February 29, 2020 (note 1) Series A Units Series F Units Series O Units Series S Units February 28, February 29, February 28, February 29, February 28, February 29, February 28, February 29, 2021 2020 2021 2020 2021 2020 2021 2020

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

x distributions) $ 355 $ (174) $ 995 $ (355) $ 25,775 $ (10,150) $ – $ – x x. Distributions Paid or Payable to Holders of Redeemable

x. Units

Fromx. net investment income (496) – (1,272) (13) (26,167) (2,274) – –

Fromx. net realized capital gains (150) – (271) (14) (9,154) (470) – – x x

x (646) – (1,543) (27) (35,321) (2,744) – – x x.

Redeemablex. Unit Transactions

Amountx. received from the issuance of units 22,995 2,261 53,761 5,647 480,033 267,410 – –

Amountx. received from reinvestment of distributions 606 – 1,277 21 35,277 2,740 – –

Amountx. paid on redemptions of units (7,460) (554) (23,117) (3,168) (36,272) (8,464) – – x x

x 16,141 1,707 31,921 2,500 479,038 261,686 – – x x. Increase (Decrease) in Net Assets Attributable to

x. Holders of Redeemable Units 15,850 1,533 31,373 2,118 469,492 248,792 – – Net Assets Attributable to Holders of Redeemable Units

x. at Beginning of Period 24,454 4,261 52,106 11,235 816,716 275,593 – – x x Net Assets Attributable to Holders of Redeemable Units

x at End of Period $ 40,304 $ 5,794 $ 83,479 $ 13,353 $ 1,286,208 $ 524,385 $ – $ – x x.

Redeemablex. Units Issued and Outstanding (note 6) As at February 28, 2021 and February 29, 2020

x.

Balancex. - beginning of period 2,252 411 4,755 1,081 73,683 26,304 – –

Redeemablex. units issued 2,140 220 4,952 548 43,843 25,706 – –

Redeemablex. units issued on reinvestments 56 – 119 2 3,261 266 – – x x

x. 4,448 631 9,826 1,631 120,787 52,276 – –

Redeemablex. units redeemed (697) (54) (2,137) (308) (3,310) (815) – – x x

Balancex - end of period 3,751 577 7,689 1,323 117,477 51,461 – –

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

x Statements of Cash Flows (unaudited) (in 000s) For the periods ended February 28, 2021 and February 29, 2020 (note 1) February 28, 2021 February 29, 2020

x x.

Cashx. Flows from Operating Activities

Increasex. (Decrease) in Net Assets Attributable to Holders of Redeemable Units from Operations (excluding distributions) $ 27,125 $ (10,679)

Adjustmentsx. for:

x. Foreign exchange loss (gain) on cash (310) 43

x. Net realized (gain) loss on sale of investments and derivatives (4,033) 152

x. Net change in unrealized (appreciation) depreciation of investments and derivatives (18,464) 13,132

x. Purchase of investments (4,805,641) (1,588,980)

x. Proceeds from the sale of investments 4,365,415 1,323,234

x. Margin (43,684) (7,138)

x. Interest receivable (3,092) (1,754)

x. Dividends receivable 54 (63)

x. Other accrued expenses and liabilities (83) – x x

x (482,713) (272,053) x x.

Cashx. Flows from Financing Activities

Amountx. received from the issuance of units 569,611 275,871

Amountx. paid on redemptions of units (67,475) (12,028)

Distributionsx. paid to unitholders (350) (10) x x

x 501,786 263,833 x x.

Increasex (Decrease) in Cash during the Period 19,073 (8,220) x x.

Foreignx Exchange Loss (Gain) on Cash 310 (43) x x.

Cashx (Bank Overdraft) at Beginning of Period (77) 3,566 x x. Cash (Bank Overdraft) at End of Period $ 19,306 $ (4,697)

x

x.

Interestx. received $ 4,025 $ 1,930 Dividends received, net of withholding taxes $ 1,813 $ 619

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

x

Schedule of Investment Portfolio (unaudited) As at February 28, 2021 Average Fair % of Number Cost Value Net Security of Shares ($000s) ($000s) Assets INTERNATIONAL EQUITIES .. 1 Chile (note 11) .. iShares MSCI Chile Capped ETF 572,208 22,042 22,873 ...... 22,042 22,873 1.6% . . China .. iShares MSCI China ETF 283,447 30,712 31,422 ...... 30,712 31,422 2.2% . . Russia .. VanEck Vectors Russia ETF 413,101 11,823 12,864 ...... 11,823 12,864 0.9% . . 10 United States (note 11) .. iShares Russell 2000 Value Index Fund 193,114 28,094 37,257 .. Macquarie Bank Limited, London Branch - Index-Linked Note - The Macquarie 7x Leveraged Dynamic Carry Bull / Bear Commodities Spread Index 490,000 61,814 62,416 ...... 89,908 99,673 7.1% . . .. TOTAL INTERNATIONAL EQUITIES 154,485 166,832 11.8% . . .. TOTAL EQUITIES 154,485 166,832 11.8% . .

Average Fair % of Coupon Maturity Cost Value Net Security Rate (%) Date Additional Details Par Value ($000s) ($000s) Assets INTERNATIONAL BONDS .. 2 Colombia (note 11) .. Republic of Colombia 6.00% 2028/04/28 Series 'B', COP 177,471,000,000 65,680 64,202 ...... 65,680 64,202 4.6% . . Indonesia .. Republic of Indonesia 6.50% 2025/06/15 Series 'FR81', IDR 516,767,000,000 46,885 47,749 .. Republic of Indonesia 8.25% 2029/05/15 Series 'FR78', IDR 320,220,000,000 32,240 32,185 ...... 79,125 79,934 5.7% . . Malaysia .. Federation of Malaysia 3.89% 2029/08/15 Series '0219', MYR 81,281,000 27,853 27,254 ...... 27,853 27,254 1.9% . . 6 Poland (note 11) .. Republic of Poland 2.75% 2028/04/25 Series '0428', PLN 71,579,000 26,641 26,780 ...... 26,641 26,780 1.9% . . 11 South Africa (note 11) .. Republic of South Africa 8.00% 2030/01/31 Series '2030', ZAR 364,900,000 26,768 28,712 ...... 26,768 28,712 2.0% . . 10 United States (note 11) .. United States Treasury Bond 0.13% 2030/01/15 USD 46,686,826 64,195 64,577 ...... 64,195 64,577 4.6% . . .. TOTAL INTERNATIONAL BONDS 290,262 291,459 20.7% . . .. TOTAL BONDS 290,262 291,459 20.7% . . .. TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS 444,747 458,291 32.5% . . SHORT-TERM INVESTMENTS (note 12) .. AltaLink L.P. 0.25% 2021/03/01 Discount Note 3,000,000 2,999 3,000 .. Bank of 0.18% 2021/03/15 Bankers' Acceptance 10,000,000 9,999 9,999 .. 0.18% 2021/03/24 Bankers' Acceptance 20,000,000 19,997 19,998 .. Bank of 0.18% 2021/05/18 Bankers' Acceptance 39,247,000 39,231 39,232 .. Banner Trust 0.41% 2021/03/23 Discount Note 5,000,000 4,990 4,999 .. Banner Trust 0.39% 2021/04/14 Discount Note 3,000,000 2,994 2,999 .. Banner Trust 0.25% 2021/04/20 Discount Note 8,125,000 8,113 8,121 .. Banner Trust 0.39% 2021/06/03 Discount Note 4,000,000 3,992 3,996 .. Banner Trust 0.38% 2021/06/18 Discount Note 10,000,000 9,982 9,989 .. Funding Trust 0.37% 2021/03/23 Discount Note 1,199,000 1,197 1,199 .. Bay Street Funding Trust 0.25% 2021/04/13 Discount Note 8,000,000 7,995 7,998 .. Bay Street Funding Trust 0.21% 2021/05/19 Discount Note 25,000,000 24,987 24,989 .. Bay Street Funding Trust 0.21% 2021/05/26 Discount Note 23,000,000 22,988 22,989 .. Canadian Master Trust 0.35% 2021/03/05 Series 'A', Discount Note 2,400,000 2,396 2,400 .. Canadian Master Trust 0.38% 2021/06/03 Series 'A', Discount Note 2,000,000 1,996 1,998 .. Canadian Master Trust 0.35% 2021/07/09 Series 'A', Discount Note 1,800,000 1,797 1,798 .. Canadian Master Trust 0.31% 2021/07/16 Series 'A', Discount Note 13,700,000 13,680 13,684 .. Canadian Utilities Ltd. 0.29% 2021/03/02 Discount Note 6,000,000 5,999 6,000 .. 0.29% 2021/07/15 Bearer Deposit Note 2,000,000 1,997 1,998 .. Canadian Western Bank 0.29% 2021/07/20 Bearer Deposit Note 8,500,000 8,488 8,490 .. Central 1 Credit Union 0.21% 2021/04/08 Discount Note 2,000,000 1,999 2,000 .. Clarity Trust 0.21% 2021/03/23 Series 'A', Discount Note 3,550,000 3,549 3,549 .. Clarity Trust 0.24% 2021/04/27 Series 'A', Discount Note 25,000,000 24,985 24,991 .. Clarity Trust 0.24% 2021/05/26 Series 'A', Discount Note 3,000,000 2,998 2,998 .. Gas Inc. 0.29% 2021/03/16 Discount Note 2,500,000 2,500 2,500 .. Enbridge Gas Inc. 0.29% 2021/03/30 Discount Note 9,000,000 8,996 8,998 .. Enbridge Pipelines Inc. 0.28% 2021/03/08 Discount Note 6,000,000 5,999 6,000 .. Enbridge Pipelines Inc. 0.29% 2021/03/29 Discount Note 8,500,000 8,497 8,498 .. Energir Inc. 0.24% 2021/03/09 Discount Note 12,100,000 12,095 12,099 .. Firstbank 0.19% 2021/03/22 Bankers' Acceptance 4,918,000 4,916 4,917 .. Firstbank 0.19% 2021/04/27 Bankers' Acceptance 30,500,000 30,490 30,491

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

Schedule of Investment Portfolio (unaudited) As at February 28, 2021 (cont'd) Average Fair % of Coupon Maturity Cost Value Net Security Rate (%) Date Additional Details Par Value ($000s) ($000s) Assets

.. Fusion Trust 0.28% 2021/03/03 Series 'A', Discount Note 5,000,000 4,997 5,000 .. Fusion Trust 0.24% 2021/05/11 Series 'A', Discount Note 11,000,000 10,993 10,995 .. Fusion Trust 0.24% 2021/05/18 Series 'A', Discount Note 1,800,000 1,799 1,799 .. Fusion Trust 0.24% 2021/05/20 Series 'A', Discount Note 10,000,000 9,994 9,995 .. Government of 0.11% 2021/03/04 Treasury Bill 7,775,000 7,773 7,775 .. Government of Canada 0.13% 2021/03/18 Treasury Bill 5,600,000 5,598 5,600 .. Government of Canada 0.07% 2021/04/01 Treasury Bill 1,825,000 1,825 1,825 .. Government of Canada 0.07% 2021/04/15 Treasury Bill 12,100,000 12,098 12,099 .. Government of Canada 0.07% 2021/05/13 Treasury Bill 13,400,000 13,398 13,398 .. Government of Canada 0.09% 2021/05/27 Treasury Bill 25,100,000 25,094 25,095 .. Hydro One Inc. 0.18% 2021/04/29 Discount Note 5,000,000 4,998 4,999 .. Hydro One Inc. 0.22% 2021/05/06 Discount Note 8,000,000 7,996 7,997 .. Hydro One Inc. 0.23% 2021/05/13 Discount Note 7,000,000 6,996 6,997 .. (Corridor) Inc. 0.45% 2021/04/14 Discount Note 9,700,000 9,691 9,695 .. King Street Funding Trust 0.25% 2021/04/08 Discount Note 5,000,000 4,997 4,999 .. King Street Funding Trust 0.25% 2021/04/13 Discount Note 6,000,000 5,996 5,998 .. King Street Funding Trust 0.24% 2021/05/05 Discount Note 5,200,000 5,196 5,198 .. Lakeshore Trust 0.39% 2021/04/20 Discount Note 750,000 749 750 .. Lakeshore Trust 0.37% 2021/06/10 Discount Note 35,000,000 34,936 34,964 .. Merit Trust 0.28% 2021/03/23 Senior Discount Note 28,500,000 28,456 28,494 .. Merit Trust 0.24% 2021/04/20 Senior Discount Note 9,450,000 9,444 9,447 .. Merit Trust 0.38% 2021/05/26 Senior Discount Note 1,000,000 998 999 .. Merit Trust 0.38% 2021/06/17 Senior Discount Note 16,500,000 16,471 16,481 .. National 0.24% 2021/03/29 Bankers' Acceptance 3,750,000 3,748 3,749 .. 0.20% 2021/05/31 Bankers' Acceptance 3,500,000 3,498 3,498 .. Nova Scotia Power Inc. 0.21% 2021/03/10 Discount Note 2,000,000 2,000 2,000 .. Nova Scotia Power Inc. 0.20% 2021/03/24 Discount Note 7,000,000 6,999 6,999 .. Nova Scotia Power Inc. 0.21% 2021/03/26 Discount Note 8,500,000 8,499 8,499 .. PACCAR Financial Ltd. 0.23% 2021/03/03 Discount Note 1,400,000 1,400 1,400 .. PACCAR Financial Ltd. 0.22% 2021/03/25 Discount Note 1,100,000 1,100 1,100 .. Plaza Trust 0.36% 2021/04/27 Discount Note 8,500,000 8,485 8,495 .. Plaza Trust 0.37% 2021/05/12 Discount Note 6,000,000 5,989 5,996 .. Plaza Trust 0.37% 2021/06/29 Discount Note 11,700,000 11,678 11,686 .. Prime Trust 0.24% 2021/04/28 Senior Discount Note 4,500,000 4,497 4,498 .. Prime Trust 0.37% 2021/07/06 Senior Discount Note 3,225,000 3,219 3,221 .. Province of Newfoundland and Labrador 0.17% 2021/05/20 Treasury Bill 20,000,000 19,992 19,993 .. Reliant Trust 0.44% 2021/03/05 Discount Note 4,000,000 3,991 4,000 .. Reliant Trust 0.37% 2021/07/06 Discount Note 2,700,000 2,695 2,696 .. Ridge Trust 0.41% 2021/03/15 Discount Note 7,000,000 6,986 6,999 .. Ridge Trust 0.31% 2021/07/28 Discount Note 2,000,000 1,997 1,997 .. 0.20% 2021/03/01 Term Deposit 49,600,000 49,600 49,601 .. Royal Bank of Canada 0.17% 2021/03/12 Bankers' Acceptance 16,600,000 16,598 16,599 .. Royal Bank of Canada 0.18% 2021/03/15 Bankers' Acceptance 15,000,000 14,998 14,999 .. Royal Bank of Canada 0.18% 2021/03/31 Bankers' Acceptance 27,500,000 27,492 27,496 .. Royal Bank of Canada 0.19% 2021/05/31 Bankers' Acceptance 10,000,000 9,995 9,995 .. Storm King Funding Trust 0.44% 2021/03/09 Discount Note 3,000,000 2,993 3,000 .. Storm King Funding Trust 0.29% 2021/04/05 Discount Note 5,000,000 4,996 4,999 .. Storm King Funding Trust 0.41% 2021/04/14 Discount Note 15,400,000 15,368 15,392 .. Storm King Funding Trust 0.37% 2021/05/04 Discount Note 6,700,000 6,688 6,696 .. Storm King Funding Trust 0.37% 2021/05/10 Discount Note 8,500,000 8,484 8,494 .. Storm King Funding Trust 0.37% 2021/05/18 Discount Note 4,900,000 4,891 4,896 .. Storm King Funding Trust 0.32% 2021/08/03 Discount Note 6,275,000 6,265 6,266 .. Storm King Funding Trust 0.32% 2021/08/10 Discount Note 7,500,000 7,488 7,489 .. -Dominion Bank (The) 0.17% 2021/03/12 Bankers' Acceptance 16,200,000 16,198 16,199 .. Zeus Receivables Trust 0.44% 2021/03/09 Senior Discount Note 7,600,000 7,583 7,599 .. Zeus Receivables Trust 0.28% 2021/03/16 Senior Discount Note 10,000,000 9,986 9,999 .. Zeus Receivables Trust 0.41% 2021/03/23 Senior Discount Note 10,000,000 9,980 9,997 .. Zeus Receivables Trust 0.31% 2021/03/30 Senior Discount Note 2,650,000 2,647 2,649 .. Zeus Receivables Trust 0.25% 2021/04/20 Senior Discount Note 6,075,000 6,066 6,072 .. Zeus Receivables Trust 0.39% 2021/05/20 Discount Note 10,000,000 9,981 9,991 Zeus Receivables Trust 0.38% 2021/06/29 Senior Discount Note 3,900,000 3,893 3,895 ...... TOTAL SHORT-TERM INVESTMENTS 872,297 872,665 61.9% . . .. Less: Transaction costs included in average cost (112) . .. .. TOTAL INVESTMENTS 1,316,932 1,330,956 94.4% . . .. 3-10 Margin (note 11) 84,222 6.0% .. Derivative assets 52,760 3.6% .. Derivative liabilities (43,819) (3.0)% .. Other Assets, less Liabilities (14,128) (1.0)% ...... TOTAL NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1,409,991 100.0% . . .. 1-11 Hedging reference number. Refers to a corresponding number on the Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts.

..

x

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 .. S&P 500 Index 2021/03/20 $ 2,930.00 USD 159 15,900 233 57 .. S&P 500 Index 2021/03/20 $ 2,650.00 USD 91 9,100 136 15 .. S&P 500 Index 2021/04/17 $ 3,050.00 USD 153 15,300 233 284 .. S&P 500 Index 2021/04/17 $ 2,725.00 USD 91 9,100 131 76 .. S&P 500 Index 2021/05/22 $ 2,725.00 USD 90 9,000 165 184 ...... 898 616 . . .. Purchased Call Options .. Chicago Board Options Exchange SPX Volatility Index 2021/03/18 $ 32.50 USD 1,449 144,900 547 407 .. Chicago Board Options Exchange SPX Volatility Index 2021/04/22 $ 35.00 USD 1,496 149,600 558 640 .. Chicago Board Options Exchange SPX Volatility Index 2021/05/20 $ 37.50 USD 1,333 133,300 606 591 .. SX5E OTC EC 80 12/20/2024 2024/12/21 $ 80.00 EUR 275,000 275,000 6,908 9,577 ...... 8,619 11,215 ...... Total Purchased Options 9,517 11,831 . . .. Written Put Options .. Advanced Micro Devices Inc. 2021/03/20 $ 75.00 USD (370) (37,000) (101) (35) .. Alphabet Inc., Class 'C' 2021/03/20 $ 1,585.00 USD (18) (1,800) (68) (6) .. Apple Inc. 2021/03/20 $ 112.50 USD (256) (25,600) (83) (49) .. Autodesk Inc. 2021/04/17 $ 270.00 USD (126) (12,600) (115) (189) .. Automatic Data Processing Inc. 2021/03/20 $ 140.00 USD (202) (20,200) (43) – .. Booking Holdings Inc. 2021/04/17 $ 2,020.00 USD (16) (1,600) (77) (67) .. Cadence Design Systems Inc. 2021/04/17 $ 120.00 USD (277) (27,700) (80) (63) .. Chipotle Mexican Grill Inc. 2021/03/20 $ 1,240.00 USD (23) (2,300) (85) (12) .. ConocoPhillips 2021/03/20 $ 39.00 USD (721) (72,100) (93) (8) .. Dow Chemical Co.(The) 2021/03/20 $ 50.00 USD (576) (57,600) (89) (12) .. Eaton Corp. PLC 2021/04/17 $ 115.00 USD (293) (29,300) (62) (47) .. Eli Lilly and Co. 2021/04/17 $ 180.00 USD (190) (19,000) (68) (64) .. EOG Resources Inc. 2021/04/17 $ 52.50 USD (584) (58,400) (87) (110) .. Estée Lauder Cos. Inc. (The), Class 'A' 2021/03/20 $ 220.00 USD (131) (13,100) (55) (1) .. FedEx Corp. 2021/04/17 $ 220.00 USD (147) (14,700) (66) (75) .. IDEXX Laboratories Inc. 2021/03/20 $ 450.00 USD (67) (6,700) (100) (16) .. iShares 20+ Year Treasury Bond ETF 2021/03/20 $ 149.00 USD (3,036) (303,600) (1,167) (2,940) .. Lowe's Cos. Inc. 2021/04/17 $ 160.00 USD (216) (21,600) (90) (190) .. Monster Beverage Corp. 2021/04/17 $ 80.00 USD (423) (42,300) (70) (65) .. Nike Inc., Class 'B' 2021/04/17 $ 130.00 USD (269) (26,900) (110) (166) .. NVIDIA Corp. 2021/04/17 $ 515.00 USD (63) (6,300) (104) (171) .. PayPal Holdings Inc. 2021/03/20 $ 210.00 USD (133) (13,300) (74) (14) .. QUALCOMM Inc. 2021/03/20 $ 140.00 USD (200) (20,000) (66) (170) .. Regeneron Pharmaceuticals Inc. 2021/04/17 $ 420.00 USD (81) (8,100) (104) (125) .. Ross Stores Inc. 2021/04/17 $ 105.00 USD (318) (31,800) (68) (100) .. S&P 500 Index 2021/03/20 $ 3,330.00 USD (91) (9,100) (651) (109) .. S&P 500 Index 2021/03/20 $ 3,830.00 USD (62) (6,200) (672) (723) .. S&P 500 Index 2021/04/17 $ 3,470.00 USD (91) (9,100) (663) (537) .. S&P 500 Index 2021/05/22 $ 3,520.00 USD (90) (9,000) (763) (960) .. ServiceNow Inc. 2021/03/20 $ 450.00 USD (63) (6,300) (80) (13) .. Target Corp. 2021/04/17 $ 170.00 USD (200) (20,000) (78) (113) .. TJX Cos. Inc. (The) 2021/04/17 $ 60.00 USD (555) (55,500) (59) (78) .. Twitter Inc. 2021/03/20 $ 37.00 USD (730) (73,000) (140) (9) .. United Parcel Service Inc., Class 'B' 2021/03/20 $ 140.00 USD (205) (20,500) (61) (9) .. Xilinx Inc. 2021/03/20 $ 120.00 USD (237) (23,700) (104) (65) ...... (6,396) (7,311) . . .. Written Call Options .. S&P 500 Index 2021/03/20 $ 3,975.00 USD (58) (5,800) (342) (82) .. SX5E OTC EC 100 12/20/2024 2024/12/21 $ 100.00 EUR (275,000) (275,000) (2,444) (3,865) .. SX5E OTC EP 65 12/20/2024 2024/12/21 $ 65.00 EUR (275,000) (275,000) (3,188) (1,838) ...... (5,974) (5,785) ...... Total Written Options (12,370) (13,096) . . .. Derivative Assets and Liabilities - Options (2,853) (1,265) . .

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 .. 81,388,853 100 oz Gold April 2021 345 USD 1,853.76 75,902,445 (5,486) .. 77,379,734 10-Year Korea Treasury Bond March 2021 526 KRW 129.87 75,965,215 (1,414) .. 5,270,221 Euro Stoxx 50 Index Dividend March 2021 95 EUR 3,613.00 5,290,642 20 .. 45,866,332 Euro Stoxx 50 Index Dividend December 2024 3,498 EUR 85.40 50,863,592 4,997 .. 23,482,460 Euro Stoxx March 2021 4,106 EUR 74.49 26,384,669 2,902 .. 5,855,092 FTSE 100 Index March 2021 51 GBP 6,475.28 5,822,744 (32) .. 30,468,139 FTSE Bursa Malaysia KLCI Index March 2021 1,238 MYR 1,565.49 30,478,070 10

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

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

.. 13,193,055 FTSE Taiwan Index March 2021 181 USD 1,431.91 12,765,476 (428) .. 12,350,331 ICE Brent October 2021 253 USD 38.36 19,511,249 7,161 .. 10,930,842 KOSPI 200 Index March 2021 105 KRW 367.63 12,189,308 1,259 .. 5,368,940 Nikkei 225 Index March 2021 30 USD 28,125.83 5,590,214 221 .. 9,450,991 OMX Stockholm 30 Index March 2021 308 SEK 2,036.00 9,307,090 (144) .. 7,628,876 Polish WIG20 Index March 2021 579 PLN 1,940.00 7,550,228 (79) .. 18,113,538 SGX 10-Year Japanese Government Bond March 2021 100 JPY 151.72 18,003,479 (110) .. 22,409,878 SGX MSCI Singapore Index March 2021 708 SGD 331.65 22,883,150 473 .. Short Positions .. (34,018,978) E-mini NASDAQ 100 March 2021 (107) USD 12,491.53 (35,161,353) (1,142) .. (33,098,402) Euro-BUND June 2021 (126) EUR 171.08 (32,991,995) 106 .. (16,253,781) Long Gilt June 2021 (71) GBP 129.12 (16,083,947) 170 .. (15,151,282) Mexican Bolsa Index March 2021 (565) MXN 44,085.06 (15,351,009) (200) .. (12,854,209) SGX CNX Nifty Index March 2021 (336) USD 15,030.87 (12,421,166) 433 .. (33,281,820) Ten-Year Government of Canada Bond June 2021 (234) CAD 142.23 (32,708,520) 573 .. (12,874,242) Thailand SET 50 Index March 2021 (1,688) THB 903.02 (13,226,067) (351) .. (33,384,914) Ultra 10-Year United States Treasury Note June 2021 (176) USD 149.06 (33,001,700) 383 ...... 178,239,654 187,561,814 9,322 . . .. As at February 28, 2021, $32,852,734 cash was deposited as margin for the futures contracts.

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 .. Bank of Montreal A-1 2021/03/15 AUD 545,000 CAD 529,759 0.972 0.979 4 .. & Co., New York A-1 2021/03/15 AUD 825,000 CAD 822,438 0.997 0.979 (15) .. Goldman Sachs & Co., New York A-1 2021/03/15 AUD 375,000 CAD 369,518 0.985 0.979 (2) .. Royal Bank of Canada A-1+ 2021/03/15 AUD 10,985,000 CAD 10,911,038 0.993 0.979 (154) .. Royal Bank of Canada A-1+ 2021/03/15 AUD 5,300,000 CAD 5,272,143 0.995 0.979 (82) .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 AUD 425,000 CAD 406,840 0.957 0.979 9 .. Bank of Montreal A-1 2021/03/15 CAD 681,655 AUD 695,000 1.020 1.021 1 .. Royal Bank of Canada A-1+ 2021/03/15 CAD 579,593 AUD 595,000 1.027 1.021 (3) .. Royal Bank of Canada A-1+ 2021/03/15 CAD 526,459 AUD 540,000 1.026 1.021 (2) .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 CAD 9,132,365 AUD 9,540,000 1.045 1.021 (209) .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 CAD 3,920,025 AUD 4,095,000 1.045 1.021 (90) .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 CAD 729,795 AUD 750,000 1.028 1.021 (5) .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 CAD 598,432 AUD 615,000 1.028 1.021 (4) .. Bank of Montreal A-1 2021/03/02 BRL 5,460,000 USD 994,536 0.182 0.178 (26) .. Bank of Montreal A-1 2021/03/02 BRL 4,180,000 USD 761,384 0.182 0.178 (20) .. Canadian Imperial Bank of Commerce A-1 2021/03/02 BRL 1,260,000 USD 227,840 0.181 0.178 (4) .. Royal Bank of Canada A-1+ 2021/03/02 BRL 103,135,000 USD 18,948,190 0.184 0.178 (694) .. Royal Bank of Canada A-1+ 2021/03/02 BRL 69,385,000 USD 12,546,563 0.181 0.178 (211) .. Royal Bank of Canada A-1+ 2021/03/02 BRL 41,280,000 USD 7,464,468 0.181 0.178 (125) .. Royal Bank of Canada A-1+ 2021/03/02 BRL 35,820,000 USD 6,632,842 0.185 0.178 (307) .. Royal Bank of Canada A-1+ 2021/03/02 BRL 11,535,000 USD 2,085,820 0.181 0.178 (35) .. Royal Bank of Canada A-1+ 2021/03/02 BRL 8,295,000 USD 1,499,946 0.181 0.178 (25) .. Toronto-Dominion Bank (The) A-1+ 2021/03/02 BRL 16,840,000 USD 3,045,098 0.181 0.178 (51) .. Royal Bank of Canada A-1+ 2021/06/02 BRL 41,280,000 USD 7,556,426 0.183 0.178 (280) .. Bank of Montreal A-1 2021/03/02 USD 987,306 BRL 5,460,000 5.530 5.604 17 .. Bank of Montreal A-1 2021/03/02 USD 755,850 BRL 4,180,000 5.530 5.604 13 .. Canadian Imperial Bank of Commerce A-1 2021/03/02 USD 247,010 BRL 1,260,000 5.101 5.604 28 .. Royal Bank of Canada A-1+ 2021/03/02 USD 18,649,416 BRL 103,135,000 5.530 5.604 313 .. Royal Bank of Canada A-1+ 2021/03/02 USD 12,848,122 BRL 69,385,000 5.400 5.604 595 .. Royal Bank of Canada A-1+ 2021/03/02 USD 7,584,053 BRL 41,280,000 5.443 5.604 278 .. Royal Bank of Canada A-1+ 2021/03/02 USD 6,477,162 BRL 35,820,000 5.530 5.604 109 .. Royal Bank of Canada A-1+ 2021/03/02 USD 2,208,924 BRL 11,535,000 5.222 5.604 192 .. Royal Bank of Canada A-1+ 2021/03/02 USD 1,514,930 BRL 8,295,000 5.476 5.604 44 .. Toronto-Dominion Bank (The) A-1+ 2021/03/02 USD 3,196,174 BRL 16,840,000 5.269 5.604 243 .. Royal Bank of Canada A-1+ 2021/06/02 USD 18,879,167 BRL 103,135,000 5.463 5.627 700 .. Royal Bank of Canada A-1+ 2021/05/28 CAD 39,443,084 CHF 28,120,000 0.713 0.713 10 .. Royal Bank of Canada A-1+ 2021/05/28 CAD 886,314 CHF 640,000 0.722 0.713 (11) .. State Street Trust Co. Canada A-1+ 2021/05/28 CAD 854,725 CHF 615,000 0.720 0.713 (8) .. 1 Toronto-Dominion Bank (The) A-1+ 2021/04/26 CLP 416,450,000 USD 565,752 0.001 0.001 13 .. 1 Canadian Imperial Bank of Commerce A-1 2021/04/26 USD 1,037,605 CLP 753,820,000 726.500 723.285 (6) .. 1 Royal Bank of Canada A-1+ 2021/04/26 USD 16,004,715 CLP 11,728,575,000 732.820 723.285 (268) .. 1 Royal Bank of Canada A-1+ 2021/04/26 USD 1,676,120 CLP 1,233,205,000 735.750 723.285 (37) .. Bank of Montreal A-1 2021/03/08 CNY 4,710,000 CAD 931,092 0.198 0.197 (4) .. Bank of Montreal A-1 2021/03/08 CNY 4,570,000 CAD 902,828 0.198 0.197 (4) .. Bank of Montreal A-1 2021/03/08 CNY 3,705,000 CAD 730,810 0.197 0.197 (2) .. Bank of Montreal A-1 2021/03/08 CNY 3,040,000 CAD 594,870 0.196 0.197 3 .. Bank of Montreal A-1 2021/03/08 CNY 2,725,000 CAD 534,245 0.196 0.197 2 .. Bank of Montreal A-1 2021/03/08 CNY 2,390,000 CAD 465,471 0.195 0.197 5 .. Bank of Montreal A-1 2021/03/08 CNY 2,170,000 CAD 424,797 0.196 0.197 2 .. Bank of Montreal A-1 2021/03/08 CNY 2,035,000 CAD 398,369 0.196 0.197 2 .. Bank of Montreal A-1 2021/03/08 CNY 1,595,000 CAD 310,639 0.195 0.197 3 .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CNY 273,540,000 CAD 53,666,336 0.196 0.197 147

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)

.. Canadian Imperial Bank of Commerce A-1 2021/03/08 CNY 91,390,000 CAD 17,929,979 0.196 0.197 49 .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CNY 15,275,000 CAD 3,014,093 0.197 0.197 (9) .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CNY 3,040,000 CAD 599,859 0.197 0.197 (2) .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CNY 1,825,000 CAD 354,026 0.194 0.197 5 .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CNY 1,405,000 CAD 273,589 0.195 0.197 3 .. Goldman Sachs & Co., New York A-1 2021/03/08 CNY 4,460,000 CAD 869,350 0.195 0.197 8 .. Goldman Sachs & Co., New York A-1 2021/03/08 CNY 4,270,000 CAD 842,315 0.197 0.197 (2) .. Goldman Sachs & Co., New York A-1 2021/03/08 CNY 3,775,000 CAD 740,492 0.196 0.197 2 .. Goldman Sachs & Co., New York A-1 2021/03/08 CNY 3,085,000 CAD 605,144 0.196 0.197 2 .. Goldman Sachs & Co., New York A-1 2021/03/08 CNY 2,475,000 CAD 484,449 0.196 0.197 2 .. Goldman Sachs & Co., New York A-1 2021/03/08 CNY 1,615,000 CAD 316,349 0.196 0.197 1 .. Royal Bank of Canada A-1+ 2021/03/08 CNY 3,855,000 CAD 748,570 0.194 0.197 10 .. Royal Bank of Canada A-1+ 2021/03/08 CNY 3,700,000 CAD 721,960 0.195 0.197 6 .. Royal Bank of Canada A-1+ 2021/03/08 CNY 2,950,000 CAD 581,670 0.197 0.197 (1) .. Royal Bank of Canada A-1+ 2021/03/08 CNY 2,760,000 CAD 535,913 0.194 0.197 7 .. Royal Bank of Canada A-1+ 2021/03/08 CNY 2,440,000 CAD 472,296 0.194 0.197 8 .. Royal Bank of Canada A-1+ 2021/03/08 CNY 1,965,000 CAD 383,850 0.195 0.197 3 .. Royal Bank of Canada A-1+ 2021/03/08 CNY 1,520,000 CAD 297,044 0.195 0.197 2 .. Royal Bank of Canada A-1+ 2021/03/08 CNY 1,135,000 CAD 222,505 0.196 0.197 1 .. State Street Trust Co. Canada A-1+ 2021/03/08 CNY 3,085,000 CAD 603,623 0.196 0.197 3 .. State Street Trust Co. Canada A-1+ 2021/03/08 CNY 2,445,000 CAD 480,575 0.197 0.197 – .. State Street Trust Co. Canada A-1+ 2021/03/08 CNY 1,945,000 CAD 376,489 0.194 0.197 6 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CNY 4,855,000 CAD 956,869 0.197 0.197 (2) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CNY 4,510,000 CAD 889,282 0.197 0.197 (2) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CNY 2,570,000 CAD 500,691 0.195 0.197 5 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CNY 2,535,000 CAD 495,626 0.196 0.197 3 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CNY 2,420,000 CAD 477,595 0.197 0.197 (2) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CNY 2,300,000 CAD 449,001 0.195 0.197 3 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CNY 2,140,000 CAD 418,399 0.196 0.197 3 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CNY 1,725,000 CAD 339,881 0.197 0.197 (1) .. Royal Bank of Canada A-1+ 2021/03/08 CAD 1,082,498 CNY 5,490,000 5.072 5.083 2 .. State Street Trust Co. Canada A-1+ 2021/03/08 CAD 18,957,635 CNY 96,450,000 5.088 5.083 (17) .. State Street Trust Co. Canada A-1+ 2021/03/08 CAD 14,662,930 CNY 74,600,000 5.088 5.083 (13) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CAD 1,327,707 CNY 6,815,000 5.133 5.083 (13) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CAD 1,027,682 CNY 5,275,000 5.133 5.083 (10) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CAD 836,043 CNY 4,240,000 5.072 5.083 2 .. 2 Bank of Montreal A-1 2021/04/26 COP 26,305,255,000 USD 7,553,338 0.000287 0.000274 (451) .. 2 Bank of Montreal A-1 2021/04/26 COP 16,795,450,000 USD 4,822,676 0.000287 0.000274 (288) .. 2 Bank of Montreal A-1 2021/04/26 COP 1,551,040,000 USD 434,100 0.000280 0.000274 (12) .. 2 Bank of Montreal A-1 2021/04/26 COP 1,213,110,000 USD 337,820 0.000278 0.000274 (7) .. 2 Royal Bank of Canada A-1+ 2021/04/26 COP 1,894,790,000 USD 525,455 0.000277 0.000274 (9) .. 2 Royal Bank of Canada A-1+ 2021/04/26 COP 1,694,685,000 USD 474,702 0.000280 0.000274 (14) .. 2 Royal Bank of Canada A-1+ 2021/04/26 COP 1,576,710,000 USD 452,947 0.000287 0.000274 (27) .. 2 Royal Bank of Canada A-1+ 2021/04/26 COP 1,141,315,000 USD 327,870 0.000287 0.000274 (20) .. 2 Bank of Montreal A-1 2021/04/26 USD 26,353,802 COP 91,779,750,000 3,482.600 3,654.061 1,573 .. 2 Bank of Montreal A-1 2021/04/26 USD 23,375,023 COP 81,405,855,000 3,482.600 3,654.061 1,395 .. 2 Bank of Montreal A-1 2021/04/26 USD 4,159,589 COP 14,937,085,000 3,591.000 3,654.061 91 .. 2 Bank of Montreal A-1 2021/04/26 USD 2,645,789 COP 9,501,030,000 3,591.000 3,654.061 58 .. 2 Royal Bank of Canada A-1+ 2021/04/26 USD 5,411,862 COP 19,149,875,000 3,538.500 3,654.061 218 .. 3 Bank of Montreal A-1 2021/04/14 EUR 900,000 CAD 1,388,847 1.543 1.537 (6) .. 3 Royal Bank of Canada A-1+ 2021/04/14 EUR 380,000 CAD 581,886 1.531 1.537 2 .. 3 State Street Trust Co. Canada A-1+ 2021/04/14 EUR 1,540,000 CAD 2,405,539 1.562 1.537 (39) .. 3 State Street Trust Co. Canada A-1+ 2021/04/14 EUR 1,040,000 CAD 1,609,109 1.547 1.537 (11) .. 3 Goldman Sachs & Co., New York A-1 2021/04/14 CAD 1,123,382 EUR 730,000 0.650 0.651 1 .. 3 Goldman Sachs & Co., New York A-1 2021/04/14 CAD 701,569 EUR 455,000 0.649 0.651 2 .. 3 State Street Trust Co. Canada A-1+ 2021/04/14 CAD 4,162,831 EUR 2,665,000 0.640 0.651 67 .. 3 State Street Trust Co. Canada A-1+ 2021/04/14 CAD 3,194,368 EUR 2,045,000 0.640 0.651 51 .. 3 Toronto-Dominion Bank (The) A-1+ 2021/04/14 CAD 1,291,618 EUR 840,000 0.650 0.651 1 .. 3 Toronto-Dominion Bank (The) A-1+ 2021/04/14 CAD 491,859 EUR 320,000 0.651 0.651 – .. State Street Trust Co. Canada A-1+ 2021/05/28 GBP 905,000 CAD 1,605,742 1.774 1.774 (1) .. Royal Bank of Canada A-1+ 2021/03/08 HKD 5,015,000 CAD 828,006 0.165 0.164 (5) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 HKD 11,415,000 CAD 1,861,746 0.163 0.164 11 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 HKD 8,055,000 CAD 1,313,742 0.163 0.164 8 .. Bank of Montreal A-1 2021/03/08 CAD 878,849 HKD 5,405,000 6.150 6.095 (8) .. Bank of Montreal A-1 2021/03/08 CAD 724,540 HKD 4,405,000 6.080 6.095 2 .. Bank of Montreal A-1 2021/03/08 CAD 700,132 HKD 4,285,000 6.120 6.095 (3) .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CAD 11,970,534 HKD 71,890,000 6.006 6.095 176 .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CAD 1,430,336 HKD 8,590,000 6.006 6.095 21 .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CAD 888,341 HKD 5,335,000 6.006 6.095 13 .. Canadian Imperial Bank of Commerce A-1 2021/03/08 CAD 835,057 HKD 5,015,000 6.006 6.095 12 .. Goldman Sachs & Co., New York A-1 2021/03/08 CAD 463,108 HKD 2,825,000 6.100 6.095 – .. Royal Bank of Canada A-1+ 2021/03/08 CAD 549,802 HKD 3,340,000 6.075 6.095 2 .. State Street Trust Co. Canada A-1+ 2021/03/08 CAD 447,827 HKD 2,720,000 6.074 6.095 2 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 CAD 739,703 HKD 4,540,000 6.138 6.095 (5) .. Canadian Imperial Bank of Commerce A-1 2021/03/23 IDR 6,479,515,000 USD 461,241 0.000071 0.000069 (14) .. Royal Bank of Canada A-1+ 2021/03/23 IDR 10,277,340,000 USD 734,096 0.000071 0.000069 (26) .. Royal Bank of Canada A-1+ 2021/03/23 IDR 8,790,070,000 USD 619,237 0.000070 0.000069 (11) .. Royal Bank of Canada A-1+ 2021/03/23 IDR 8,748,380,000 USD 610,281 0.000070 0.000069 (3) .. Royal Bank of Canada A-1+ 2021/03/23 IDR 7,833,960,000 USD 557,974 0.000071 0.000069 (18)

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)

.. Royal Bank of Canada A-1+ 2021/03/23 IDR 7,020,385,000 USD 496,561 0.000071 0.000069 (11) .. Royal Bank of Canada A-1+ 2021/03/23 IDR 5,891,365,000 USD 415,177 0.000070 0.000069 (8) .. Royal Bank of Canada A-1+ 2021/03/23 IDR 5,451,430,000 USD 384,716 0.000071 0.000069 (8) .. Royal Bank of Canada A-1+ 2021/03/23 IDR 4,665,800,000 USD 328,693 0.000070 0.000069 (6) .. Royal Bank of Canada A-1+ 2021/03/23 IDR 4,226,225,000 USD 294,819 0.000070 0.000069 (2) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 499,953,475,000 USD 35,048,791 0.000070 0.000069 (407) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 301,263,365,000 USD 21,119,798 0.000070 0.000069 (245) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 14,848,480,000 USD 1,037,267 0.000070 0.000069 (7) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 11,832,895,000 USD 832,306 0.000070 0.000069 (13) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 11,497,300,000 USD 809,213 0.000070 0.000069 (13) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 10,032,740,000 USD 713,515 0.000071 0.000069 (21) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 9,146,550,000 USD 648,968 0.000071 0.000069 (17) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 9,005,830,000 USD 636,995 0.000071 0.000069 (15) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 8,683,955,000 USD 604,143 0.000070 0.000069 (1) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 7,965,880,000 USD 564,916 0.000071 0.000069 (15) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 7,905,990,000 USD 557,978 0.000071 0.000069 (11) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 7,878,085,000 USD 559,722 0.000071 0.000069 (16) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 7,635,120,000 USD 535,122 0.000070 0.000069 (6) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 7,233,585,000 USD 508,870 0.000070 0.000069 (8) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 6,985,640,000 USD 496,810 0.000071 0.000069 (15) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 6,199,410,000 USD 438,493 0.000071 0.000069 (10) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 6,006,150,000 USD 425,938 0.000071 0.000069 (11) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 5,644,735,000 USD 400,506 0.000071 0.000069 (11) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 4,818,855,000 USD 341,400 0.000071 0.000069 (8) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 4,555,890,000 USD 321,721 0.000071 0.000069 (7) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 4,276,430,000 USD 302,992 0.000071 0.000069 (8) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 IDR 3,297,260,000 USD 235,754 0.000072 0.000069 (9) .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 USD 32,733,665 IDR 466,929,360,000 14,264.500 14,395.950 380 .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 USD 21,768,153 IDR 310,511,825,000 14,264.500 14,395.950 253 .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 USD 4,212,131 IDR 59,867,020,000 14,213.000 14,395.950 68 .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 USD 2,460,969 IDR 34,849,780,000 14,161.000 14,395.950 51 .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 USD 2,359,347 IDR 33,410,715,000 14,161.000 14,395.950 49 .. Toronto-Dominion Bank (The) A-1+ 2021/03/23 USD 1,611,095 IDR 22,898,495,000 14,213.000 14,395.950 26 .. State Street Trust Co. Canada A-1+ 2021/03/01 ILS 31,575,000 CAD 12,695,815 0.402 0.384 (556) .. Royal Bank of Canada A-1+ 2021/03/01 CAD 581,787 ILS 1,480,000 2.544 2.601 13 .. State Street Trust Co. Canada A-1+ 2021/03/01 CAD 11,786,892 ILS 30,095,000 2.553 2.601 216 .. Bank of Montreal A-1 2021/03/08 INR 78,670,000 USD 1,083,609 0.014 0.014 (20) .. Bank of Montreal A-1 2021/03/08 INR 55,435,000 USD 757,930 0.014 0.014 (7) .. Bank of Montreal A-1 2021/03/08 INR 50,555,000 USD 688,573 0.014 0.014 (3) .. Bank of Montreal A-1 2021/03/08 INR 43,950,000 USD 600,902 0.014 0.014 (5) .. Bank of Montreal A-1 2021/03/08 INR 41,380,000 USD 568,235 0.014 0.014 (8) .. Bank of Montreal A-1 2021/03/08 INR 39,810,000 USD 538,555 0.014 0.014 3 .. Bank of Montreal A-1 2021/03/08 INR 31,015,000 USD 427,204 0.014 0.014 (8) .. Bank of Montreal A-1 2021/03/08 INR 25,945,000 USD 355,606 0.014 0.014 (4) .. Royal Bank of Canada A-1+ 2021/03/08 INR 2,549,090,000 USD 34,312,694 0.013 0.014 381 .. Royal Bank of Canada A-1+ 2021/03/08 INR 2,543,695,000 USD 34,240,073 0.013 0.014 380 .. Royal Bank of Canada A-1+ 2021/03/08 INR 58,855,000 USD 800,639 0.014 0.014 (2) .. Royal Bank of Canada A-1+ 2021/03/08 INR 50,960,000 USD 700,096 0.014 0.014 (10) .. Royal Bank of Canada A-1+ 2021/03/08 INR 49,155,000 USD 663,360 0.013 0.014 5 .. Royal Bank of Canada A-1+ 2021/03/08 INR 48,135,000 USD 659,022 0.014 0.014 (7) .. Royal Bank of Canada A-1+ 2021/03/08 INR 46,245,000 USD 633,146 0.014 0.014 (7) .. Royal Bank of Canada A-1+ 2021/03/08 INR 44,650,000 USD 607,235 0.014 0.014 (1) .. Royal Bank of Canada A-1+ 2021/03/08 INR 43,430,000 USD 590,643 0.014 0.014 (1) .. Royal Bank of Canada A-1+ 2021/03/08 INR 41,570,000 USD 564,963 0.014 0.014 (1) .. Royal Bank of Canada A-1+ 2021/03/08 INR 39,550,000 USD 531,693 0.013 0.014 7 .. Royal Bank of Canada A-1+ 2021/03/08 INR 39,310,000 USD 533,813 0.014 0.014 – .. Royal Bank of Canada A-1+ 2021/03/08 INR 37,420,000 USD 502,957 0.013 0.014 7 .. Royal Bank of Canada A-1+ 2021/03/08 INR 36,690,000 USD 498,641 0.014 0.014 (1) .. Royal Bank of Canada A-1+ 2021/03/08 INR 36,615,000 USD 500,273 0.014 0.014 (4) .. Royal Bank of Canada A-1+ 2021/03/08 INR 31,885,000 USD 434,726 0.014 0.014 (2) .. Royal Bank of Canada A-1+ 2021/03/08 INR 30,750,000 USD 417,572 0.014 0.014 – .. Royal Bank of Canada A-1+ 2021/03/08 INR 28,620,000 USD 393,186 0.014 0.014 (6) .. Royal Bank of Canada A-1+ 2021/03/08 INR 28,555,000 USD 385,462 0.013 0.014 3 .. Royal Bank of Canada A-1+ 2021/03/08 INR 28,550,000 USD 388,383 0.014 0.014 (1) .. Royal Bank of Canada A-1+ 2021/03/08 INR 26,635,000 USD 357,997 0.013 0.014 5 .. Royal Bank of Canada A-1+ 2021/03/08 INR 25,465,000 USD 347,432 0.014 0.014 (2) .. Royal Bank of Canada A-1+ 2021/03/08 INR 16,135,000 USD 220,665 0.014 0.014 (2) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 INR 56,250,000 USD 756,659 0.013 0.014 9 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 INR 43,065,000 USD 581,645 0.014 0.014 4 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 INR 42,960,000 USD 584,013 0.014 0.014 (1) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 INR 41,960,000 USD 572,091 0.014 0.014 (3) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 INR 38,180,000 USD 513,241 0.013 0.014 7 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 INR 29,695,000 USD 404,867 0.014 0.014 (2) .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 INR 26,450,000 USD 355,559 0.013 0.014 5 .. Toronto-Dominion Bank (The) A-1+ 2021/03/08 INR 16,975,000 USD 228,343 0.013 0.014 3 .. Royal Bank of Canada A-1+ 2021/03/08 USD 530,793 INR 39,560,000 74.530 73.648 (8) .. 4 State Street Trust Co. Canada A-1+ 2021/05/28 CAD 45,382,968 JPY 3,788,361,394 83.475 83.682 112 .. 4 State Street Trust Co. Canada A-1+ 2021/05/28 CAD 1,464,801 JPY 124,052,503 84.689 83.682 (18) .. 5 Bank of Montreal A-1 2021/05/28 KRW 559,455,000 USD 502,001 0.001 0.001 (7)

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)

.. 5 Toronto-Dominion Bank (The) A-1+ 2021/05/28 KRW 9,710,010,000 USD 8,797,769 0.001 0.001 (229) .. 5 Toronto-Dominion Bank (The) A-1+ 2021/05/28 KRW 1,051,535,000 USD 944,945 0.001 0.001 (15) .. 5 Toronto-Dominion Bank (The) A-1+ 2021/05/28 USD 6,936,327 KRW 7,655,555,000 1,103.690 1,126.739 181 .. 5 Toronto-Dominion Bank (The) A-1+ 2021/05/28 USD 5,752,920 KRW 6,349,440,000 1,103.690 1,126.739 150 .. 5 Toronto-Dominion Bank (The) A-1+ 2021/05/28 USD 413,603 KRW 456,490,000 1,103.690 1,126.739 11 .. Bank of Montreal A-1 2021/04/14 MXN 7,325,000 CAD 468,822 0.064 0.061 (25) .. Canadian Imperial Bank of Commerce A-1 2021/04/14 MXN 14,210,000 CAD 896,005 0.063 0.061 (36) .. Goldman Sachs & Co., New York A-1 2021/04/14 MXN 14,110,000 CAD 881,316 0.062 0.061 (27) .. Royal Bank of Canada A-1+ 2021/04/14 MXN 316,855,000 CAD 19,923,904 0.063 0.061 (746) .. Royal Bank of Canada A-1+ 2021/04/14 MXN 304,970,000 CAD 19,176,573 0.063 0.061 (717) .. Royal Bank of Canada A-1+ 2021/04/14 MXN 32,655,000 CAD 2,053,353 0.063 0.061 (77) .. Royal Bank of Canada A-1+ 2021/04/14 MXN 8,280,000 CAD 508,015 0.061 0.061 (7) .. State Street Trust Co. Canada A-1+ 2021/04/14 MXN 15,630,000 CAD 981,539 0.063 0.061 (35) .. State Street Trust Co. Canada A-1+ 2021/04/14 MXN 14,020,000 CAD 884,433 0.063 0.061 (36) .. State Street Trust Co. Canada A-1+ 2021/04/14 MXN 12,640,000 CAD 793,772 0.063 0.061 (29) .. State Street Trust Co. Canada A-1+ 2021/04/14 MXN 5,600,000 CAD 357,106 0.064 0.061 (18) .. Toronto-Dominion Bank (The) A-1+ 2021/04/14 MXN 5,795,000 CAD 364,862 0.063 0.061 (14) .. Toronto-Dominion Bank (The) A-1+ 2021/04/14 MXN 4,560,000 CAD 287,104 0.063 0.061 (11) .. Goldman Sachs & Co., New York A-1 2021/04/14 CAD 21,684,653 MXN 343,880,000 15.858 16.521 870 .. Goldman Sachs & Co., New York A-1 2021/04/14 CAD 5,195,860 MXN 85,180,000 16.394 16.521 40 .. Royal Bank of Canada A-1+ 2021/04/14 CAD 5,660,540 MXN 93,200,000 16.465 16.521 19 .. Toronto-Dominion Bank (The) A-1+ 2021/04/14 CAD 526,578 MXN 8,310,000 15.781 16.521 24 .. Bank of Montreal A-1 2021/04/12 MYR 1,865,000 USD 460,323 0.247 0.246 (3) .. Bank of Montreal A-1 2021/04/12 MYR 1,465,000 USD 362,444 0.247 0.246 (4) .. Royal Bank of Canada A-1+ 2021/04/12 MYR 98,520,000 USD 24,368,044 0.247 0.246 (229) .. Royal Bank of Canada A-1+ 2021/04/12 MYR 5,190,000 USD 1,283,700 0.247 0.246 (12) .. Royal Bank of Canada A-1+ 2021/04/12 MYR 3,095,000 USD 763,500 0.247 0.246 (5) .. Royal Bank of Canada A-1+ 2021/04/12 MYR 1,920,000 USD 473,899 0.247 0.246 (3) .. Royal Bank of Canada A-1+ 2021/04/12 MYR 1,545,000 USD 382,047 0.247 0.246 (3) .. Royal Bank of Canada A-1+ 2021/04/12 MYR 1,535,000 USD 376,687 0.245 0.246 – .. Royal Bank of Canada A-1+ 2021/04/12 USD 23,810,117 MYR 95,550,000 4.013 4.073 447 .. Royal Bank of Canada A-1+ 2021/04/12 USD 3,869,923 MYR 15,530,000 4.013 4.073 73 .. Bank of Montreal A-1 2021/04/26 NOK 6,295,000 CAD 942,938 0.150 0.147 (19) .. Bank of Montreal A-1 2021/04/26 NOK 5,585,000 CAD 833,866 0.149 0.147 (14) .. Goldman Sachs & Co., New York A-1 2021/04/26 NOK 6,230,000 CAD 936,508 0.150 0.147 (22) .. Royal Bank of Canada A-1+ 2021/04/26 NOK 3,580,000 CAD 533,367 0.149 0.147 (8) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 NOK 201,685,000 CAD 30,136,459 0.149 0.147 (540) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 NOK 5,760,000 CAD 863,427 0.150 0.147 (18) .. Royal Bank of Canada A-1+ 2021/04/26 CAD 3,391,076 NOK 22,740,000 6.706 6.814 54 .. 6 Canadian Imperial Bank of Commerce A-1 2021/04/14 PLN 1,365,000 CAD 468,194 0.343 0.340 (5) .. 6 Goldman Sachs & Co., New York A-1 2021/04/14 PLN 60,685,000 CAD 20,906,037 0.345 0.340 (291) .. 6 Goldman Sachs & Co., New York A-1 2021/04/14 PLN 1,430,000 CAD 489,545 0.342 0.340 (4) .. 6 Royal Bank of Canada A-1+ 2021/04/14 PLN 1,540,000 CAD 520,176 0.338 0.340 3 .. 6 Goldman Sachs & Co., New York A-1 2021/04/14 CAD 28,819,288 PLN 83,650,000 2.903 2.944 403 .. 6 State Street Trust Co. Canada A-1+ 2021/04/14 CAD 927,137 PLN 2,700,000 2.912 2.944 10 .. Canadian Imperial Bank of Commerce A-1 2021/04/26 RUB 1,738,490,000 USD 23,296,036 0.013 0.013 (214) .. Canadian Imperial Bank of Commerce A-1 2021/04/26 RUB 915,305,000 USD 12,265,229 0.013 0.013 (113) .. Canadian Imperial Bank of Commerce A-1 2021/04/26 RUB 44,645,000 USD 597,258 0.013 0.013 (4) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 124,620,000 USD 1,656,410 0.013 0.013 2 .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 55,430,000 USD 725,476 0.013 0.013 15 .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 53,180,000 USD 714,929 0.013 0.013 (9) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 52,680,000 USD 705,363 0.013 0.013 (6) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 43,150,000 USD 564,754 0.013 0.013 12 .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 42,350,000 USD 553,870 0.013 0.013 12 .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 41,320,000 USD 538,441 0.013 0.013 14 .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 36,070,000 USD 483,739 0.013 0.013 (5) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 29,430,000 USD 394,134 0.013 0.013 (3) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 27,745,000 USD 373,871 0.013 0.013 (6) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 21,010,000 USD 275,371 0.013 0.013 5 .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 RUB 19,345,000 USD 252,661 0.013 0.013 6 .. Canadian Imperial Bank of Commerce A-1 2021/04/26 USD 11,181,559 RUB 834,435,000 74.626 75.168 103 .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 USD 1,258,830 RUB 95,520,000 75.880 75.168 (15) .. 7 Royal Bank of Canada A-1+ 2021/04/26 CAD 667,009 SEK 4,385,000 6.574 6.632 6 .. 7 Toronto-Dominion Bank (The) A-1+ 2021/04/26 CAD 667,793 SEK 4,395,000 6.581 6.632 5 .. 8 Bank of Montreal A-1 2021/03/22 SGD 930,000 CAD 895,418 0.963 0.954 (8) .. 8 Royal Bank of Canada A-1+ 2021/03/22 CAD 498,068 SGD 520,000 1.044 1.048 2 .. 8 State Street Trust Co. Canada A-1+ 2021/03/22 CAD 1,075,104 SGD 1,120,000 1.042 1.048 6 .. 9 State Street Trust Co. Canada A-1+ 2021/03/01 THB 279,045,000 CAD 11,875,519 0.043 0.042 (91) .. 9 State Street Trust Co. Canada A-1+ 2021/03/01 THB 146,075,000 CAD 6,237,457 0.043 0.042 (69) .. 9 State Street Trust Co. Canada A-1+ 2021/03/01 THB 23,125,000 CAD 979,379 0.042 0.042 (3) .. 9 State Street Trust Co. Canada A-1+ 2021/03/01 THB 21,430,000 CAD 900,193 0.042 0.042 5 .. 9 Canadian Imperial Bank of Commerce A-1 2021/03/01 CAD 733,655 THB 17,180,000 23.417 23.680 8 .. 9 State Street Trust Co. Canada A-1+ 2021/03/01 CAD 17,527,337 THB 407,940,000 23.275 23.680 300 .. 9 State Street Trust Co. Canada A-1+ 2021/03/01 CAD 1,914,327 THB 44,555,000 23.274 23.680 33 .. 9 State Street Trust Co. Canada A-1+ 2021/06/01 CAD 897,930 THB 21,430,000 23.866 23.690 (7) .. Goldman Sachs & Co., New York A-1 2021/04/26 TRY 48,660,000 CAD 8,030,896 0.165 0.167 96 .. State Street Trust Co. Canada A-1+ 2021/04/26 TRY 3,650,000 CAD 613,890 0.168 0.167 (4) .. Toronto-Dominion Bank (The) A-1+ 2021/04/26 TRY 3,170,000 CAD 560,245 0.177 0.167 (31) .. 10 State Street Trust Co. Canada A-1+ 2021/03/01 USD 50,450,911 CAD 64,133,198 1.271 1.273 71

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)

.. 10 Royal Bank of Canada A-1+ 2021/03/02 USD 43,325 CAD 55,044 1.270 1.273 – .. 10 Bank of Montreal A-1 2021/04/15 USD 90,135,000 CAD 115,079,230 1.277 1.273 (382) .. 10 Bank of Montreal A-1 2021/04/15 USD 18,380,000 CAD 23,337,784 1.270 1.273 51 .. 10 Bank of Montreal A-1 2021/04/15 USD 6,475,000 CAD 8,266,911 1.277 1.273 (27) .. 10 Bank of Montreal A-1 2021/04/15 USD 2,890,000 CAD 3,669,040 1.270 1.273 8 .. 10 Bank of Montreal A-1 2021/04/15 USD 2,530,000 CAD 3,234,795 1.279 1.273 (15) .. 10 Bank of Montreal A-1 2021/04/15 USD 1,310,000 CAD 1,680,658 1.283 1.273 (14) .. 10 Bank of Montreal A-1 2021/04/15 USD 1,185,005 CAD 1,510,881 1.275 1.273 (3) .. 10 Bank of Montreal A-1 2021/04/15 USD 1,125,000 CAD 1,429,391 1.271 1.273 2 .. 10 Bank of Montreal A-1 2021/04/15 USD 1,060,000 CAD 1,346,431 1.270 1.273 2 .. 10 Bank of Montreal A-1 2021/04/15 USD 840,000 CAD 1,067,279 1.271 1.273 2 .. 10 Bank of Montreal A-1 2021/04/15 USD 740,000 CAD 932,952 1.261 1.273 9 .. 10 Bank of Montreal A-1 2021/04/15 USD 665,000 CAD 850,252 1.279 1.273 (4) .. 10 Bank of Montreal A-1 2021/04/15 USD 500,000 CAD 630,373 1.261 1.273 6 .. 10 Bank of Montreal A-1 2021/04/15 USD 275,000 CAD 350,042 1.273 1.273 – .. 10 Bank of Montreal A-1 2021/04/15 USD 50,000 CAD 63,764 1.275 1.273 – .. 10 Canadian Imperial Bank of Commerce A-1 2021/04/15 USD 2,192,436 CAD 2,800,958 1.278 1.273 (11) .. 10 Canadian Imperial Bank of Commerce A-1 2021/04/15 USD 280,000 CAD 353,618 1.263 1.273 3 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 18,840,000 CAD 24,145,796 1.282 1.273 (172) .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 4,720,000 CAD 5,949,584 1.261 1.273 57 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 1,495,000 CAD 1,909,125 1.277 1.273 (7) .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 1,460,000 CAD 1,864,430 1.277 1.273 (7) .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 935,000 CAD 1,178,572 1.261 1.273 11 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 785,000 CAD 996,818 1.270 1.273 2 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 760,000 CAD 966,294 1.271 1.273 1 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 615,000 CAD 781,936 1.271 1.273 1 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 USD 340,000 CAD 428,572 1.261 1.273 4 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 33,125,000 CAD 41,981,664 1.267 1.273 170 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 24,250,000 CAD 30,607,817 1.262 1.273 250 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 14,925,000 CAD 18,829,156 1.262 1.273 163 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 4,850,000 CAD 6,079,616 1.254 1.273 92 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 4,500,000 CAD 5,769,725 1.282 1.273 (43) .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 1,020,000 CAD 1,278,600 1.254 1.273 19 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 1,000,000 CAD 1,275,711 1.276 1.273 (3) .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 955,000 CAD 1,225,127 1.283 1.273 (10) .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 745,000 CAD 939,881 1.262 1.273 8 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 675,000 CAD 855,833 1.268 1.273 3 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 565,000 CAD 708,244 1.254 1.273 11 .. 10 Royal Bank of Canada A-1+ 2021/04/15 USD 480,000 CAD 605,561 1.262 1.273 5 .. 10 State Street Trust Co. Canada A-1+ 2021/04/15 USD 1,230,000 CAD 1,540,462 1.252 1.273 25 .. 10 State Street Trust Co. Canada A-1+ 2021/04/15 USD 1,110,000 CAD 1,412,437 1.272 1.273 – .. 10 State Street Trust Co. Canada A-1+ 2021/04/15 USD 540,000 CAD 686,219 1.271 1.273 1 .. 10 State Street Trust Co. Canada A-1+ 2021/04/15 USD 515,000 CAD 644,990 1.252 1.273 10 .. 10 State Street Trust Co. Canada A-1+ 2021/04/15 USD 235,000 CAD 294,316 1.252 1.273 5 .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 9,115,000 CAD 11,566,844 1.269 1.273 32 .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 4,315,000 CAD 5,508,098 1.277 1.273 (17) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 2,170,000 CAD 2,756,716 1.270 1.273 5 .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 2,000,000 CAD 2,562,224 1.281 1.273 (17) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 1,385,000 CAD 1,757,551 1.269 1.273 5 .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 1,055,000 CAD 1,332,197 1.263 1.273 10 .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 780,000 CAD 985,881 1.264 1.273 7 .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 740,000 CAD 944,839 1.277 1.273 (3) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 725,000 CAD 928,806 1.281 1.273 (6) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 613,507 CAD 779,927 1.271 1.273 1 .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 USD 285,000 CAD 363,891 1.277 1.273 (1) .. 10 Royal Bank of Canada A-1+ 2021/03/02 CAD 388,245 USD 305,586 0.787 0.786 (1) .. 10 Bank of Montreal A-1 2021/04/15 CAD 138,647,906 USD 108,595,000 0.783 0.786 460 .. 10 Bank of Montreal A-1 2021/04/15 CAD 118,992,448 USD 93,200,000 0.783 0.786 395 .. 10 Bank of Montreal A-1 2021/04/15 CAD 108,223,120 USD 84,765,000 0.783 0.786 359 .. 10 Bank of Montreal A-1 2021/04/15 CAD 55,857,005 USD 44,230,000 0.792 0.786 (426) .. 10 Bank of Montreal A-1 2021/04/15 CAD 15,755,009 USD 12,340,000 0.783 0.786 52 .. 10 Bank of Montreal A-1 2021/04/15 CAD 9,096,080 USD 7,090,000 0.779 0.786 74 .. 10 Bank of Montreal A-1 2021/04/15 CAD 8,268,581 USD 6,445,000 0.779 0.786 67 .. 10 Bank of Montreal A-1 2021/04/15 CAD 6,805,796 USD 5,360,000 0.788 0.786 (15) .. 10 Bank of Montreal A-1 2021/04/15 CAD 2,045,408 USD 1,600,000 0.782 0.786 9 .. 10 Bank of Montreal A-1 2021/04/15 CAD 1,517,250 USD 1,190,000 0.784 0.786 3 .. 10 Canadian Imperial Bank of Commerce A-1 2021/04/15 CAD 3,668,783 USD 2,905,000 0.792 0.786 (28) .. 10 Canadian Imperial Bank of Commerce A-1 2021/04/15 CAD 3,101,122 USD 2,427,388 0.783 0.786 12 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 CAD 1,485,973 USD 1,170,000 0.787 0.786 (3) .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 CAD 1,219,039 USD 960,000 0.788 0.786 (3) .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 CAD 1,054,151 USD 830,000 0.787 0.786 (2) .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 CAD 996,065 USD 780,000 0.783 0.786 4 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 CAD 685,669 USD 535,000 0.780 0.786 5 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 CAD 467,793 USD 365,000 0.780 0.786 3 .. 10 Goldman Sachs & Co., New York A-1 2021/04/15 CAD 139,839 USD 110,000 0.787 0.786 – .. 10 Royal Bank of Canada A-1+ 2021/04/15 CAD 12,457,127 USD 9,825,000 0.789 0.786 (45) .. 10 Royal Bank of Canada A-1+ 2021/04/15 CAD 6,440,841 USD 5,100,000 0.792 0.786 (49) .. 10 Royal Bank of Canada A-1+ 2021/04/15 CAD 5,816,375 USD 4,640,000 0.798 0.786 (88) .. 10 Royal Bank of Canada A-1+ 2021/04/15 CAD 3,278,577 USD 2,570,000 0.784 0.786 8

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 Royal Bank of Canada A-1+ 2021/04/15 CAD 1,280,580 USD 1,010,000 0.789 0.786 (5) .. 10 Royal Bank of Canada A-1+ 2021/04/15 CAD 705,571 USD 550,000 0.780 0.786 6 .. 10 Royal Bank of Canada A-1+ 2021/04/15 CAD 622,185 USD 485,000 0.780 0.786 5 .. 10 State Street Trust Co. Canada A-1+ 2021/04/15 CAD 64,126,440 USD 50,450,000 0.787 0.786 (71) .. 10 State Street Trust Co. Canada A-1+ 2021/04/15 CAD 1,957,053 USD 1,550,000 0.792 0.786 (15) .. 10 State Street Trust Co. Canada A-1+ 2021/04/15 CAD 591,697 USD 465,000 0.786 0.786 – .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 CAD 3,273,241 USD 2,555,000 0.781 0.786 22 .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 CAD 1,704,707 USD 1,350,000 0.792 0.786 (13) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 CAD 1,067,858 USD 840,000 0.787 0.786 (1) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 CAD 1,029,721 USD 810,000 0.787 0.786 (1) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 CAD 916,364 USD 725,000 0.791 0.786 (6) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 CAD 916,364 USD 725,000 0.791 0.786 (6) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 CAD 723,324 USD 570,000 0.788 0.786 (2) .. 10 Toronto-Dominion Bank (The) A-1+ 2021/04/15 CAD 63,198 USD 50,000 0.791 0.786 – .. Royal Bank of Canada A-1+ 2021/03/15 USD 856,668 PHP 41,240,000 48.140 48.785 14 .. Royal Bank of Canada A-1+ 2021/03/15 USD 778,710 PHP 38,040,000 48.850 48.785 (1) .. Royal Bank of Canada A-1+ 2021/03/15 USD 540,897 PHP 26,055,000 48.170 48.785 9 .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 USD 9,656,444 PHP 467,285,000 48.391 48.785 99 .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 USD 4,854,504 PHP 234,390,000 48.283 48.785 64 .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 USD 759,975 PHP 36,760,000 48.370 48.785 8 .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 USD 615,759 PHP 29,695,000 48.225 48.785 9 .. Toronto-Dominion Bank (The) A-1+ 2021/03/15 USD 502,814 PHP 24,215,000 48.159 48.785 8 .. Royal Bank of Canada A-1+ 2021/04/08 USD 769,189 TWD 21,395,000 27.815 27.761 (2) .. Royal Bank of Canada A-1+ 2021/04/08 USD 689,413 TWD 19,145,000 27.770 27.761 – .. Royal Bank of Canada A-1+ 2021/04/08 USD 674,825 TWD 18,750,000 27.785 27.761 (1) .. Royal Bank of Canada A-1+ 2021/04/08 USD 634,199 TWD 17,580,000 27.720 27.761 1 .. Royal Bank of Canada A-1+ 2021/04/08 USD 612,104 TWD 16,790,000 27.430 27.761 9 .. Royal Bank of Canada A-1+ 2021/04/08 USD 552,155 TWD 15,245,000 27.610 27.761 4 .. Toronto-Dominion Bank (The) A-1+ 2021/04/08 USD 20,761,241 TWD 582,685,000 28.066 27.761 (290) .. Toronto-Dominion Bank (The) A-1+ 2021/04/08 USD 675,797 TWD 18,825,000 27.856 27.761 (3) .. Toronto-Dominion Bank (The) A-1+ 2021/04/08 USD 652,423 TWD 18,230,000 27.942 27.761 (5) .. Toronto-Dominion Bank (The) A-1+ 2021/04/08 USD 644,218 TWD 17,850,000 27.708 27.761 2 .. Toronto-Dominion Bank (The) A-1+ 2021/04/08 USD 532,111 TWD 14,715,000 27.654 27.761 3 .. 11 Royal Bank of Canada A-1+ 2021/03/01 ZAR 352,555,000 CAD 30,647,629 0.087 0.084 (997) .. 11 Royal Bank of Canada A-1+ 2021/03/01 ZAR 14,950,000 CAD 1,300,193 0.087 0.084 (43) .. 11 Royal Bank of Canada A-1+ 2021/03/01 ZAR 10,000,000 CAD 841,102 0.084 0.084 – .. 11 State Street Trust Co. Canada A-1+ 2021/03/01 ZAR 9,565,000 CAD 782,841 0.082 0.084 22 .. 11 Toronto-Dominion Bank (The) A-1+ 2021/03/01 ZAR 16,400,000 CAD 1,410,902 0.086 0.084 (32) .. 11 Royal Bank of Canada A-1+ 2021/06/01 ZAR 34,515,000 CAD 2,965,015 0.086 0.083 (96) .. 11 Bank of Montreal A-1 2021/03/01 CAD 1,840,430 ZAR 22,150,000 12.035 11.890 (22) .. 11 Bank of Montreal A-1 2021/03/01 CAD 1,707,468 ZAR 20,350,000 11.918 11.890 (4) .. 11 Goldman Sachs & Co., New York A-1 2021/03/01 CAD 3,253,752 ZAR 38,975,000 11.978 11.890 (24) .. 11 Royal Bank of Canada A-1+ 2021/03/01 CAD 23,074,371 ZAR 274,335,000 11.889 11.890 2 .. 11 Royal Bank of Canada A-1+ 2021/03/01 CAD 3,000,391 ZAR 34,515,000 11.503 11.890 98 .. 11 Royal Bank of Canada A-1+ 2021/03/01 CAD 603,987 ZAR 7,105,000 11.764 11.890 6 .. 11 Royal Bank of Canada A-1+ 2021/03/01 CAD 525,295 ZAR 6,040,000 11.498 11.890 17 .. 11 Royal Bank of Canada A-1+ 2021/06/01 CAD 30,286,279 ZAR 352,555,000 11.641 12.030 979 .. 11 Royal Bank of Canada A-1+ 2021/06/01 CAD 2,940,011 ZAR 34,515,000 11.740 12.030 71 ...... Derivative Assets and Liabilities - Forwards 3,264 . . .. * 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.

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 2021/03/17) floating rate based on return of Goldman Sachs Commodity Strategy 1076 and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.30% International A-1 1 6,000,000 2021/03/17 54 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of Goldman Sachs Commodity Strategy 1076 and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.30% International A-1 1 67,000,000 2021/03/17 (589) .. Receive at maturity (beginning 2021/03/17) floating rate based on return of iShares J.P. Morgan USD Emerging Markets Bond ETF and pay at maturity (beginning 2021/03/17) floating rate based on return of ICE USD 1 Month Index + 65 Goldman Sachs bps International A-1 1 15,893,184 2021/03/17 (242) .. Receive at maturity (beginning 2021/03/17) floating rate based on return of iShares J.P. Morgan USD Emerging Markets Bond ETF and pay at maturity (beginning 2021/03/17) floating rate based on return of ICE LIBOR USD 1 Month Index + Goldman Sachs 65bps International A-1 1 3,117,387 2021/03/17 (113) .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Aluminium Official Close Index ER and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.08% International A-1 1 3,000,000 2021/03/17 347 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Aluminium Official Close Index ER and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.08% International A-1 1 750,000 2021/03/17 67 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Aluminium Official Close Index ER and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.08% International A-1 1 1,085,000 2021/03/17 93 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Copper Official Close Index ER and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.08% International A-1 1 3,000,000 2021/03/17 775

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

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

.. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Copper Official Close Index ER and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.08% International A-1 1 850,000 2021/03/17 130 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Copper Official Close Index ER and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.08% International A-1 1 8,970,000 2021/03/17 2,110 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Copper Official Close Index ER and pay at maturity (beginning Goldman Sachs 2021/03/17) fixed rate of 0.08% International A-1 1 1,131,000 2021/03/17 312 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Nickel Official Close Index ER and pay at maturity (beginning 2021/03/17) Goldman Sachs fixed rate of 0.12% International A-1 1 3,000,000 2021/03/17 384 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Nickel Official Close Index ER and pay at maturity (beginning 2021/03/17) Goldman Sachs fixed rate of 0.12% International A-1 1 1,192,000 2021/03/17 267 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Zinc Official Close Index ER and pay at maturity (beginning 2021/03/17) Goldman Sachs fixed rate of 0.10% International A-1 1 3,000,000 2021/03/17 59 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Zinc Official Close Index ER and pay at maturity (beginning 2021/03/17) Goldman Sachs fixed rate of 0.10% International A-1 1 850,000 2021/03/17 24 .. Receive at maturity (beginning 2021/03/17) floating rate based on return of S&P GSCI Zinc Official Close Index ER and pay at maturity (beginning 2021/03/17) Goldman Sachs fixed rate of 0.10% International A-1 1 1,085,000 2021/03/17 24 .. 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 (3,143) .. Receive at maturity (beginning 2021/05/05) floating rate based on return of ICE LIBOR USD 1 Month Index - 60bps 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 2,049,968 2021/05/05 (543) .. Receive at maturity (beginning 2021/06/08) floating rate based on return of ICE LIBOR USD 1 Month Index - 25bps and pay at maturity (beginning 2021/06/08) floating rate based on return of MSCI Emerging Markets Indonesia Net Total Goldman Sachs Return USD Index International A-1 1 9,987,684 2021/06/08 184 .. Receive at maturity (beginning 2021/06/16) floating rate based on return of GSXFBNKS Index and pay at maturity (beginning 2021/06/16) floating rate Goldman Sachs based on return of ICE LIBOR USD 3 Month Index + 60bps International A-1 1 15,518,633 2021/06/16 489 .. Receive at maturity (beginning 2021/06/16) floating rate based on return of GSXFBNKS Index and pay at maturity (beginning 2021/06/16) floating rate Goldman Sachs based on return of ICE LIBOR USD 3 Month Index + 60bps International A-1 1 3,504,223 2021/06/16 (85) .. Receive at maturity (beginning 2021/06/16) floating rate based on return of ICE LIBOR USD 3 Month Index - 3bps and pay at maturity (beginning 2021/06/16) floating rate based on return of MSCI Daily TR Gross Emerging Markets EM Goldman Sachs Asia USD Index International A-1 1 2,999,354 2021/06/16 40 .. Receive at maturity (beginning 2021/06/16) floating rate based on return of ICE LIBOR USD 3 Month Index - 3bps and pay at maturity (beginning 2021/06/16) floating rate based on return of MSCI Daily TR Gross Emerging Markets EM Goldman Sachs Asia USD Index International A-1 1 23,000,104 2021/06/16 (4,400) .. Receive at maturity (beginning 2021/06/16) floating rate based on return of MSCI EM ex Asia Net Total Return USD Index and pay at maturity (beginning 2021/06/16) floating rate based on return of ICE LIBOR USD 3 Month Index + Goldman Sachs 35bps International A-1 1 22,999,890 2021/06/16 1,424 .. Receive at maturity (beginning 2021/06/21) floating rate based on return of MSCI EM ex Asia Net Total Return USD Index and pay at maturity (beginning 2021/06/21) floating rate based on return of ICE LIBOR USD 3 Month Index + Goldman Sachs 35bps International A-1 1 5,500,084 2021/06/21 (48) ...... (2,380) ...... Derivative Assets and Liabilities - Swaps (2,380) . . .. As at February 28, 2021, $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 (unaudited)

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 February 28, 2021 and August 31, 2020, to:

• The gross amount before offsetting required under IFRS; and

• 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 February 28, 2021 .. OTC Derivative Assets $ 22,221 $ – $ 22,221 $ (18,150) $ – $ 4,071 .. OTC Derivative Liabilities (21,337) – (21,337) 18,150 – (3,187) ...... Total 884 – 884 – – 884 . . .. 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 . .

Interest in Underlying Funds (note 4) As at February 28, 2021 and August 31, 2020, 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 February 28, 2021 Investment Objective: CIBC Multi-Asset Absolute Return Strategy (referred to as the Total Currency % of Currency (note 2o) Exposure* ($000s) Net Assets

x Fund) seeks to achieve a positive absolute return that exceeds the return of the x INR 112,396 8.0 Government of Canada 91-day treasury bills over rolling three-year periods, regardless x IDR 89,747 6.4 of the prevailing economic conditions, by actively managing a diversified portfolio with x CNY 57,264 4.1 direct and indirect exposure primarily to equity securities, fixed income securities, x RUB 39,187 2.8 x commodities, currencies, and derivatives investments. MYR 33,435 2.4 x NOK 30,288 2.1 Investment Strategies: The Fund targets over rolling three-year periods, an annualized x PLN 20,637 1.5 return of 5% in excess of the Government of Canada 91-day treasury bills (gross of fees x MXN 11,501 0.8 and expenses); and aims to achieve an annualized volatility, under normal market x KRW 10,746 0.8 x conditions, at a level that is generally half the volatility of global equities represented COP 9,850 0.7 x by the MSCI All Country World Index (CAD) measured over the same three-year rolling TRY 9,266 0.7 x periods. BRL (13,640) (1.0) x HKD (15,400) (1.1) x Significant risks that are relevant to the Fund are discussed here. General information CLP (23,398) (1.7) x on risk management and specific discussion on concentration, credit, currency, interest PHP (23,416) (1.7) x TWD (34,892) (2.5) rate, liquidity, and other price/market risk can be found in note 2 of the financial x CHF (41,193) (2.9) statements. x JPY (46,864) (3.3) x x x In the following risk tables, Net Assets is defined as meaning “Net assets attributable * Amounts reflect the carrying value of monetary and non-monetary items (including the notional to holders of redeemable units". amount of forward foreign currency contracts, if any).

Concentration Risk as at February 28, 2021 and August 31, 2020 As at August 31, 2020 The Schedule of Investment Portfolio presents the securities held by the Fund as at Total Currency % of February 28, 2021. Currency (note 2o) Exposure* ($000s) Net Assets x x IDR 63,048 7.1 The following table presents the investment sectors held by the Fund as at August 31, x INR 62,209 7.0 2020, and groups the securities by asset type, industry sector, geographic region, or x CNY 38,685 4.3 currency exposure: x MXN 35,615 4.0 x NOK 20,997 2.4 x As at August 31, 2020 RUB 18,504 2.1 x % of SEK 15,707 1.8 x Portfolio Breakdown Net Assets BRL 7,954 0.9 x x x PLN 6,694 0.7 International Equities x x COP 4,768 0.5 Chile 1.5 x x China 1.7 EUR (4,196) (0.5) x x Russia 1.1 x HKD (9,366) (1.0) x United States 5.3 x ILS (11,596) (1.3) International Bonds x x CLP (14,153) (1.6) Brazil 1.7 x x CHF (20,863) (2.3) Colombia 4.9 x x USD (22,390) (2.5) Indonesia 6.0 x x THB (25,107) (2.8) x x Malaysia 2.4 x x Poland 2.4 * Amounts reflect the carrying value of monetary and non-monetary items (including the notional x South Africa 2.1 amount of forward foreign currency contracts, if any). x Short-Term Investments 63.4 x Margin 4.6 x Derivative Assets (Liabilities) 1.0 The table that follows indicates how net assets as at February 28, 2021 and August 31, x Other Assets, less Liabilities 1.9 2020 would have decreased or increased had the strengthened or x x x Total 100.0 weakened by 1% in relation to all foreign currencies. This analysis assumes that all x x other variables remain unchanged. In practice, the actual results may differ from this Credit Risk analysis and the difference could be material. Credit ratings represent a consolidation of the ratings provided by various outside February 28, 2021 August 31, 2020

x x service providers and are subject to change, which could be material. Impact on Net Assets ($000s) 2,313 1,658 x x See the Schedule of Investment Portfolio for counterparties related to over-the-counter derivative contracts, where applicable. Interest Rate Risk The Fund’s short-term assets and liabilities were not subject to significant amounts of As at February 28, 2021 and August 31, 2020, the Fund invested in debt securities with risk due to fluctuations in the prevailing level of market interest rates. the following credit ratings: The table that follows indicates the Fund’s exposure to fixed income securities and . % of Net Assets interest rate swaps by remaining term-to-maturity.

Debt Securities by Credit Rating (note 2b) February 28, 2021 August 31, 2020 .

x x 'AAA' 39.9 32.4 February 28, 2021 August 31, 2020 x 'AA' 9.9 12.1 Remaining Term-to-Maturity ($000s) ($000s) x x x 'A' 17.3 22.7 x 1-3 years – 15,271 x 'BBB' 13.5 11.8 x 3-5 years 47,749 31,816 x Below 'BBB' 2.0 3.9 x > 5 years 243,710 127,494 x x x x x Total 82.6 82.9 x Total 291,459 174,581 x x x

Currency Risk The table that follows indicates the currencies to which the Fund had significant exposure as at February 28, 2021 and August 31, 2020, 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 February 28, 2021 and August 31, As at August 31, 2020 2020 would have increased or decreased had the interest rate decreased or increased Level 1 (i) Level 2 (ii) Level 3 (iii) Total by 25 basis points and assuming a parallel shift in the yield curve. This change is Classification ($000s) ($000s) ($000s) ($000s)

x x estimated using the weighted average duration of the fixed income and interest rate Financial Assets x swap portfolio. This analysis assumes that all other variables remain unchanged. In Fixed Income Securities - long – 174,581 – 174,581 x practice, actual results may differ from this analysis and the difference could be Short-Term Investments – 566,269 – 566,269 x material. 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 February 28, 2021 August 31, 2020 x x x x x Financial Liabilities Impact on Net Assets ($000s) 4,690 2,548 x x x Derivative liabilities (5,508) (16,460) – (21,968) x x x Total Financial Liabilities (5,508) (16,460) – (21,968) x Liquidity Risk x x Total Financial Assets and Liabilities 91,986 744,137 – 836,123 x x Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations x (i) Quoted prices in active markets for identical assets associated with financial liabilities. The Fund is exposed to daily cash redemptions of x (ii) Significant other observable inputs

redeemable units. The Fund maintains sufficient cash on hand to fund anticipated x redemptions. (iii) Significant unobservable inputs With the exception of derivative contracts, where applicable, all of the Fund’s financial Transfer of assets between Level 1 and Level 2 liabilities are short-term liabilities maturing within 90 days after the period end. Financial assets and liabilities transferred from Level 1 to Level 2 are the result of securities no longer being traded in an active market. Other Price/Market Risk The table that follows indicates how net assets as at February 28, 2021 and August 31, For the period ended February 28, 2021 and August 31, 2020, there were no transfers of 2020 would have increased or decreased had the value of the Fund’s benchmark(s) financial assets and liabilities from Level 1 to Level 2. 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 Financial assets and liabilities transferred from Level 2 to Level 1 are the result of of the Fund’s benchmark, using 28 monthly data points, as available, based on the securities now being traded in an active market. monthly net returns of the Fund. This analysis assumes that all other variables remain For the period ended February 28, 2021 and August 31, 2020, there were no transfers of unchanged. The historical correlation may not be representative of the future correlation financial assets and liabilities from Level 2 to Level 1. and, accordingly, the impact on net assets could be materially different.

x Reconciliation of financial asset and liability movement – Level 3 Impact on Net Assets ($000s) The Fund did not hold any Level 3 investments at the beginning of, during, or at the end Benchmark February 28, 2021 August 31, 2020

x x of the reporting period. FTSE Canada 91 day T-Bill Index 47,841 43,972 x x

Fair Value Measurement of Financial Instruments The following is a summary of the inputs used as at February 28, 2021 and August 31, 2020 in valuing the Fund’s financial assets and financial liabilities, carried at fair value:

As at February 28, 2021 Level 1 (i) Level 2 (ii) Level 3 (iii) Total Classification ($000s) ($000s) ($000s) ($000s)

x x Financial Assets x Fixed Income Securities - long – 291,459 – 291,459 x Short-Term Investments – 872,665 – 872,665 x Equities - long 104,416 62,416 – 166,832 x Derivative assets 30,539 22,221 – 52,760 x x x Total Financial Assets 134,955 1,248,761 – 1,383,716 x x x Financial Liabilities x Derivative liabilities (22,429) (21,390) – (43,819) x x x Total Financial Liabilities (22,429) (21,390) – (43,819) x x x Total Financial Assets and Liabilities 112,526 1,227,371 – 1,339,897 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 (unaudited)

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, (referred to as the Fund) is a mutual fund trust, organized under the laws of and governed by a declaration of trust (referred to as the Declaration of Trust). The address of the Fund’s head office is Brookfield Place, 161 Bay Street, 22 nd Floor, Toronto, Ontario M5J 2S1. The Fund is managed by CIBC Asset Management Inc. (referred to as 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 (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:

• 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;

• 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

• 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 (referred to as the Date Established) and the date upon which each series of units of the Fund was first sold to the public (referred to as the 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 February 28, 2021. The Statements of Financial Position is as at February 28, 2021 and August 31, 2020. 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 six-month periods ended February 28, 2021 and February 29, 2020. These financial statements were approved for issuance by the Manager on April 20, 2021.

x x 2. Summary of Significant Accounting Policies These financial statements have been prepared in accordance with International Accounting Standards Interim Reporting (referred to as IAS 34) as published by the International Accounting Standards Board (referred to as the 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 International Financial Reporting Standards (referred to as 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:

• 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 (referred to as SPPI criterion). Amortization of the asset is calculated utilizing the Effective Interest Rate Method.

• Fair Value Through Other Comprehensive Income (referred to as 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.

• Fair Value Through Profit or Loss (referred to as 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 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 (unaudited)

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 (referred to as Level 1) and the lowest priority to unobservable inputs (referred to as 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 (referred to as 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 (referred to as 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

19 Notes to Financial Statements (unaudited) p / 3

portfolio 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 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 (referred to as 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.

20 p / 4 Notes to Financial Statements (unaudited)

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. 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 (referred to as 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 – 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 x 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 (referred to as 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, 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 (unaudited) 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 (referred to as 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 (referred to as 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 six-month period ending February 28, 2021, the Fund’s leverage position ranged from 130.7% to 172.5% of the Fund’s NAV. The low end of the range occurred in September, 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 November, 2020 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 six-month period ended February 28, 2021. During the six-month period ended February 29, 2020, the Fund’s leverage position ranged from 136.1% to 229.47% of the Fund’s NAV. The low end of the range occurred in October 2019 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 period ended February 29, 2020. 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 six-month periods ended February 28, 2021 and February 29, 2020 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 (referred to as 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

22 p / 6 Notes to Financial Statements (unaudited)

for the payment by the Fund of a fixed rate administration fee to the Manager with respect to those series of units (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 (referred to as 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. (referred to as 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 (referred to as 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 (referred to as 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 (unaudited) 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.

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