Annual Financial Statements 2020

ANNUAL FINANCIAL STATEMENTS 2020

CI FIRST ASSET EXCHANGE-TRADED FUNDS

DECEMBER 31, 2020 Table of Contents

Independent Auditor’s Report ...... 1

CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF...... 4 CI First Asset Active Canadian Dividend ETF...... 12 CI First Asset Active Credit ETF...... 22 CI First Asset Active Utility & Infrastructure ETF ...... 36 CI First Asset Canadian Buyback Index ETF...... 46 CI First Asset Canadian Convertible Bond ETF...... 55 CI First Asset Canadian REIT ETF...... 66 CI First Asset CanBanc Income Class ETF...... 76 CI First Asset Core Canadian Equity Income Class ETF...... 84 CI First Asset Energy Giants Covered Call ETF...... 93 CI First Asset Enhanced Government Bond ETF...... 104 CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF)...... 117 CI First Asset European Bank ETF...... 135 CI First Asset Global Financial Sector ETF...... 146 CI First Asset Gold+ Giants Covered Call ETF...... 158 CI First Asset Health Care Giants Covered Call ETF...... 167 CI First Asset High Interest Savings ETF...... 178 CI First Asset Investment Grade Bond ETF...... 186 CI First Asset Long Duration Fixed Income ETF...... 203 CI First Asset Morningstar Canada Dividend Target 30 Index ETF...... 214 CI First Asset Morningstar Canada Momentum Index ETF...... 222 CI First Asset Morningstar Canada Value Index ETF...... 231 CI First Asset Morningstar International Momentum Index ETF...... 240 CI First Asset Morningstar International Value Index ETF...... 256 CI First Asset Morningstar National Bank Québec Index ETF...... 272 CI First Asset Morningstar US Dividend Target 50 Index ETF...... 281 CI First Asset Morningstar US Momentum Index ETF...... 292 CI First Asset Morningstar US Value Index ETF...... 303 CI First Asset MSCI Canada Low Risk Weighted ETF...... 314 CI First Asset MSCI Canada Quality Index Class ETF...... 324 CI First Asset MSCI Europe Low Risk Weighted ETF...... 332 CI First Asset MSCI International Low Risk Weighted ETF...... 344 CI First Asset MSCI USA Low Risk Weighted ETF...... 358 CI First Asset MSCI World ESG Impact ETF...... 371 CI First Asset MSCI World Low Risk Weighted ETF...... 383 CI First Asset Preferred Share ETF...... 397 CI First Asset Short Term Government Bond Index Class ETF...... 409 CI First Asset Tech Giants Covered Call ETF...... 418 CI First Asset U.S. & Canada Lifeco Income ETF...... 429 CI First Asset U.S. Buyback Index ETF...... 439 CI First Asset U.S. TrendLeaders Index ETF...... 449

Notes to the Financial Statements ...... 459 Legal Notice ...... 473

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Annual Financial Statements - December 31, 2020 INDEPENDENT AUDITOR’S REPORT

To the Unitholders/Shareholders of

CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF CI First Asset Morningstar Canada Momentum Index ETF CI First Asset Active Canadian Dividend ETF CI First Asset Morningstar Canada Value Index ETF CI First Asset Active Credit ETF CI First Asset Morningstar International Momentum Index ETF CI First Asset Active Utility & Infrastructure ETF CI First Asset Morningstar International Value Index ETF CI First Asset Canadian Buyback Index ETF CI First Asset Morningstar National Bank Québec Index ETF CI First Asset Canadian Convertible Bond ETF CI First Asset Morningstar US Dividend Target 50 Index ETF CI First Asset Canadian REIT ETF CI First Asset Morningstar US Momentum Index ETF CI First Asset CanBanc Income Class ETF CI First Asset Morningstar US Value Index ETF CI First Asset Core Canadian Equity Income Class ETF CI First Asset MSCI Canada Low Risk Weighted ETF CI First Asset Energy Giants Covered Call ETF CI First Asset MSCI Canada Quality Index Class ETF CI First Asset Enhanced Government Bond ETF CI First Asset MSCI Europe Low Risk Weighted ETF CI First Asset Enhanced Short Duration Bond Fund (formerly CI First CI First Asset MSCI International Low Risk Weighted ETF Asset Enhanced Short Duration Bond ETF) CI First Asset MSCI USA Low Risk Weighted ETF CI First Asset European Bank ETF CI First Asset MSCI World ESG Impact ETF CI First Asset Global Financial Sector ETF CI First Asset MSCI World Low Risk Weighted ETF CI First Asset Gold+ Giants Covered Call ETF CI First Asset Preferred Share ETF CI First Asset Health Care Giants Covered Call ETF CI First Asset Short Term Government Bond Index Class ETF CI First Asset High Interest Savings ETF CI First Asset Tech Giants Covered Call ETF CI First Asset Investment Grade Bond ETF CI First Asset U.S. & Canada Lifeco Income ETF CI First Asset Long Duration Fixed Income ETF CI First Asset U.S. Buyback Index ETF CI First Asset Morningstar Canada Dividend Target 30 Index ETF CI First Asset U.S. TrendLeaders Index ETF

(collectively, the “Funds”)

O We have audited the financial statements of the Funds, which comprise the statements of financial position as at December 31, 2020 and 2019, and the statements of comprehensive income, statements of changes in net assets attributable to holders of redeemable units/shares and statements of cash flows for the periods then ended, and notes to the financial statements, including a summary of significant accounting policies. In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Funds as at December 31, 2020 and 2019, and their financial performance and their cash flows for the periods then ended in accordance with International Financial Reporting Standards (IFRSs).

O We conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Funds in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

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

Annual Financial Statements - December 31, 2020 – 1 – n connection ith ou udit o the inncil stteents, ou esonsiility is to ed the othe inotion, nd in doin so, conside hethe the othe inotion is teilly inconsistent ith the inncil stteents o ou nolede otined in the udit o otheise es to e teilly isstted We obtained the Management Report of Fund Performance of the Funds prior to the date of this auditor’s report. If, based on the o e hve eoed, e conclude tht thee is teil isstteent o this othe inotion, e e euied to eot tht ct in this auditor’s report e hve nothin to eot in this ed

R T S neent is esonsile o the etion nd i esenttion o the inncil stteents in ccodnce ith Fs, nd o such intenl contol s neent deteines is necessy to enle the etion o inncil stteents tht e ee o teil isstteent, hethe due to ud o eo n ein the inncil stteents, neent is esonsile o ssessin the Funds’ ility to continue s oin concen, disclosin, s licle, ttes elted to oin concen nd usin the oin concen sis o ccountin unless neent eithe intends to liuidte the Funds o to cese oetions, o hs no elistic ltentive ut to do so Those charged with governance are responsible for overseeing the Funds’ financial reporting process.

Auditor’s Responsibilities for the Audit of the Financial Statements u oectives e to otin esonle ssunce out hethe the inncil stteents s hole e ee o teil isstteent, hethe due to ud o eo, nd to issue n uditor’s report that includes our opinion. Reasonable assurance is a hih level o ssunce, ut is not untee tht n udit conducted in ccodnce ith ndin enelly cceted uditin stndds ill lys detect teil isstteent hen it eists isstteents cn ise o ud o eo nd e consideed teil i, individully o in the ete, they could esonly e eected to inluence the econoic decisions o uses ten on the sis o these inncil stteents s t o n udit in ccodnce ith ndin enelly cceted uditin stndds, e eecise oessionl udent nd intin oessionl seticis thouhout the udit e lso • dentiy nd ssess the iss o teil isstteent o the inncil stteents, hethe due to ud o eo, desin nd eo udit ocedues esonsive to those iss, nd otin udit evidence tht is suicient nd oite to ovide sis o ou oinion he is o not detectin teil isstteent esultin o ud is hihe thn o one esultin o eo, s ud y involve collusion, oey, intentionl oissions, iseesenttions, o the oveide o intenl contol • tin n undestndin o intenl contol elevnt to the udit in ode to desin udit ocedues tht e oite in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control. • vlute the oiteness o ccountin olicies used nd the esonleness o ccountin estites nd elted disclosues de y neent • Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence otined, hethe teil uncetinty eists elted to events o conditions tht y cst siniicnt dout on the Funds’ ility to continue s oin concen e conclude tht teil uncetinty eists, e e euied to draw attention in our auditor’s report to the related disclosures in the financial stteents o, i such disclosues e indeute, to odiy ou oinion u conclusions e sed on the udit evidence otined u to the dte o ou auditor’s report. However, future events or conditions may cause the Funds to cease to continue as a goin concen • vlute the ovell esenttion, stuctue, nd content o the inncil stteents, includin the disclosues, nd hethe the inncil stteents eesent the undelyin tnsctions nd events in nne tht chieves i esenttion e counicte ith those ched ith ovennce edin, on othe ttes, the lnned scoe nd tiin o the udit nd siniicnt udit indins, includin ny siniicnt deiciencies in intenl contol tht e identiy duin ou udit

Annual Financial Statements - December 31, 2020 – 2 – We also provide those charged with governance with a statement that we have complied with relevant ethical reuirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards.

The engagement partner on the audit resulting in this independent auditor’s report is ueenie Chung.

Toronto, Canada March ,

Annual Financial Statements - December 31, 2020 – 3 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Financial Statements

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

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 113,760 147,250 10.58 10.23 10,749,969 14,399,969 Current assets Investments 113,639 147,185 Investments pledged as collateral - - Cash 119 98 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 1 3 Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions 26 - 113,785 147,286 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 19 25 Accounts payable and accrued liabilities 6 11 25 36 Net assets attributable to holders of redeemable units 113,760 147,250

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

Annual Financial Statements - December 31, 2020 – 4 – CIG - 580530247 CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Financial Statements

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

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 7,201 4,036 0.58 0.29 12,491,362 14,103,942 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 2,420 2,860 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 1,930 189 Change in unrealized appreciation (depreciation) in value of investments and derivatives 3,106 1,299 Total net gain (loss) on investments and derivatives 7,456 4,348 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 11 7 Fees rebate 30 17 Miscellaneous foreign income - - Other income - - Total other income 41 24 Total income 7,497 4,372 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 263 289 Audit fees - - Legal fees - - Independent review committee fees 1 3 Commissions and other portfolio transaction costs 6 11 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 26 33 Other expenses - - Total expenses 296 336 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 7,201 4,036

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

Annual Financial Statements - December 31, 2020 – 5 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 147,250 134,526 Increase (decrease) in net assets attributable to holders of redeemable units 7,201 4,036 Distributions to holders of redeemable units From net investment income (2,177) (2,533) From net realized gains - - Return of capital (22) (18) Total distributions to holders of redeemable units (2,199) (2,551)

Redeemable unit transactions Proceeds from redeemable units issued 25,073 33,364 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (63,565) (22,125) Net increase (decrease) from redeemable unit transactions (38,492) 11,239 Net increase (decrease) in net assets attributable to holders of redeemable units (33,490) 12,724 Net assets attributable to holders of redeemable units at the end of year 113,760 147,250

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

Annual Financial Statements - December 31, 2020 – 6 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 7,201 4,036 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,930) (189) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 6 - Change in unrealized (appreciation) depreciation in value of investments and derivatives (3,106) (1,299) Proceeds from sale and maturity of investments and derivatives 25,411 33,217 Purchase of investments and derivatives (22,018) (30,656) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (6) 2 Amortization interest earned (2,420) (2,860) Change in other accounts receivable and payable (4) - Net cash from (used in) operating activities 3,134 2,251

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,200) (2,551) Proceeds from issuance of redeemable units 556 729 Amounts paid on redemption of redeemable units (1,469) (433) Net cash from (used in) financing activities (3,113) (2,255)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 21 (4) Cash (bank overdraft), beginning of year 98 102 Cash (bank overdraft), end of year 119 98

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

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

Annual Financial Statements - December 31, 2020 – 7 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS Government of Canada & Guaranteed 4,238,000 Government of Canada, Coupon Strip, December 01, 2021 4,188,176 4,231,427 4,216,000 Government of Canada, Coupon Strip, June 01, 2023 4,051,203 4,183,211 5,182,000 Government of Canada, Coupon Strip, June 01, 2024 4,851,512 5,108,808 4,802,000 Government of Canada, Coupon Strip, June 01, 2025 4,510,904 4,705,282 4,266,000 Government of Canada, Coupon Strip, June 01, 2026 4,148,145 4,135,819 21,749,940 22,364,547 19.66 Provincial Government & Guaranteed 4,381,000 Hydro Québec, Coupon Strip, August 15, 2021 4,336,228 4,375,328 4,454,000 Hydro Québec, Coupon Strip, February 15, 2022 4,368,582 4,439,988 4,283,000 Hydro Québec, Coupon Strip, August 15, 2022 4,148,741 4,260,442 4,334,000 Hydro Québec, Coupon Strip, February 15, 2023 4,150,133 4,297,063 5,176,000 Hydro Québec, Coupon Strip, August 15, 2023 4,877,713 5,114,962 5,235,000 Hydro Québec, Coupon Strip, February 15, 2024 4,870,143 5,147,144 4,853,000 Hydro Québec, Coupon Strip, August 15, 2024 4,539,234 4,746,015 4,883,000 Hydro Québec, Coupon Strip, February 15, 2025 4,517,476 4,743,073 4,372,000 Hydro Québec, Coupon Strip, August 15, 2025 4,180,082 4,216,767 4,383,000 Hydro Québec, Coupon Strip, February 15, 2026 4,155,676 4,190,850 4,433,000 Province of Ontario, Coupon Strip, December 02, 2021 4,364,442 4,423,906 4,450,000 Province of Ontario, Coupon Strip, June 02, 2022 4,340,771 4,431,308 4,308,000 Province of Ontario, Coupon Strip, December 02, 2022 4,144,496 4,278,346 4,376,000 Province of Ontario, Coupon Strip, June 02, 2023 4,160,753 4,329,444 5,227,000 Province of Ontario, Coupon Strip, December 02, 2023 4,887,451 5,147,302 5,293,000 Province of Ontario, Coupon Strip, June 02, 2024 4,886,615 5,185,534 4,887,000 Province of Ontario, Coupon Strip, December 02, 2024 4,540,248 4,760,385 4,924,000 Province of Ontario, Coupon Strip, June 02, 2025 4,522,412 4,762,858 4,398,000 Province of Ontario, Coupon Strip, December 02, 2025 4,186,725 4,221,672 4,412,000 Province of Ontario, Coupon Strip, June 02, 2026 4,166,618 4,201,699 88,344,539 91,274,086 80.23 Total Bonds 110,094,479 113,638,633 99.89 Adjustment for transaction costs - Total Investments 110,094,479 113,638,633 99.89 Other Net Assets (Liabilities) 121,609 0.11 Net Assets Attributable to Holders of Redeemable Units 113,760,242 100.00

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

Annual Financial Statements - December 31, 2020 – 8 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Fund Specific Notes to Financial Statements

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

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

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 14,399,969 13,299,969 Redeemable units issued for cash 2,400,000 3,250,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (6,050,000) (2,150,000) Number of redeemable units at the end of year 10,749,969 14,399,969

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

Annual Financial Statements - December 31, 2020 – 9 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.200

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

2020 2019 Loaned 23,046 33,752 Collateral (non-cash) 24,202 35,457

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

2020 2019 Gross securities lending revenue 18 12 Charges (7) (5) Securities lending revenue 11 7 Charges as a % of gross securities lending revenue 40.0 40.0

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

2020 Capital loss carried forward: 176 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 10 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Interest Rate Risk The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual maturity date. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2020 Greater The table below summarizes the Fund’s exposure to concentration risk. Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total as at December 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Categories Net Assets (%) Interest Rate Exposure 13,031 40,482 47,598 12,528 113,639 Provincial Government & Guaranteed 80.31 Government of Canada & Guaranteed 19.65 Other Net Assets (Liabilities) 0.04 as at December 31, 2019 Total 100.00 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total Credit Risk (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, Interest Rate Exposure 11,126 56,697 61,421 17,941 147,185 with the following credit ratings, as per the table below. As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% as at December 31, 2020 (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders Credit Rating^* Net Assets (%) of redeemable units of the Fund would have decreased or increased, respectively, by approximately AAA/Aaa/A++ 19.7 $877,000 (December 31, 2019 - $1,155,000). In practice, actual results may differ from this analysis and AA/Aa/A+ 80.2 the difference may be material. Total 99.9

Fair Value Hierarchy The Fund was invested in fixed income securities, with the following credit ratings, as per the table below. The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and as at December 31, 2019 derivatives carried at fair value. Credit Rating^* Net Assets (%) AAA/Aaa/A++ 19.7 Long Positions at fair value as at December 31, 2020 AA/Aa/A+ 80.3 Level 1 Level 2 Level 3 Total Total 100.0 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 113,639 - 113,639 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Total - 113,639 - 113,639 Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference. Long Positions at fair value as at December 31, 2019 Other Price Risk Level 1 Level 2 Level 3 Total As at December 31, 2020 and 2019, the Fund did not invest in equities and therefore was not subject (in $000’s) (in $000’s) (in $000’s) (in $000’s) to other price risk. Bonds - 147,185 - 147,185 Total - 147,185 - 147,185

Currency Risk There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. As at December 31, 2020 and 2019, the Fund’s investments were mostly denominated in Canadian dollars, the functional currency of the Fund. As a result, the Fund did not have a significant exposure to currency risk.

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

Annual Financial Statements - December 31, 2020 – 11 – CI First Asset Active Canadian Dividend ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 17,354 35,596 10.21 10.32 1,699,968 3,449,968 Current assets Investments 16,643 22,917 Investments pledged as collateral - - Cash 684 12,602 Unrealized gain on futures and foreign currency forward contracts 61 91 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 6 12 Cash collateral on deposit for short sale - - Dividends receivable 33 59 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 17,427 35,681 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 8 17 Accounts payable and accrued liabilities 65 68 73 85 Net assets attributable to holders of redeemable units 17,354 35,596

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

Annual Financial Statements - December 31, 2020 – 12 – CIG - 580530127 CI First Asset Active Canadian Dividend ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (110) 6,476 (0.05) 1.67 2,060,624 3,875,584 Net gain (loss) on investments and derivatives Dividends 434 872 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 2,504 1,440 Change in unrealized appreciation (depreciation) in value of investments and derivatives (2,951) 4,461 Total net gain (loss) on investments and derivatives (13) 6,773 Other income Foreign exchange gain (loss) on cash 53 (68) Securities lending revenue (Note 6) 1 1 Fees rebate 75 153 Miscellaneous foreign income - 2 Other income - - Total other income 129 88 Total income 116 6,861 Expenses Custody fees 18 21 Unitholders reporting costs 38 41 Management fees (Note 5) 107 212 Audit fees 5 4 Legal fees - 1 Independent review committee fees - 1 Commissions and other portfolio transaction costs 44 72 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 8 25 Harmonized sales tax 6 8 Other expenses - - Total expenses 226 385 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (110) 6,476

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

Annual Financial Statements - December 31, 2020 – 13 – CI First Asset Active Canadian Dividend ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 35,596 38,737 Increase (decrease) in net assets attributable to holders of redeemable units (110) 6,476 Distributions to holders of redeemable units From net investment income (375) (693) From net realized gains (1,173) (401) Return of capital (5) (513) Total distributions to holders of redeemable units (1,553) (1,607)

Redeemable unit transactions Proceeds from redeemable units issued 1,372 1,495 Reinvestment of distributions to holders of redeemable units 722 - Redemption of redeemable units (18,673) (9,505) Net increase (decrease) from redeemable unit transactions (16,579) (8,010) Net increase (decrease) in net assets attributable to holders of redeemable units (18,242) (3,141) Net assets attributable to holders of redeemable units at the end of year 17,354 35,596

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

Annual Financial Statements - December 31, 2020 – 14 – CI First Asset Active Canadian Dividend ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (110) 6,476 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (2,504) (1,440) Unrealized foreign exchange (gain) loss on cash (48) 129 Commissions and other portfolio transaction costs 44 59 Change in unrealized (appreciation) depreciation in value of investments and derivatives 2,951 (4,461) Proceeds from sale and maturity of investments and derivatives 24,217 16,550 Purchase of investments and derivatives (30,047) (14,188) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 27 41 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (9) 1 Amortization interest earned - - Change in other accounts receivable and payable 2 (5) Net cash from (used in) operating activities (5,477) 3,162

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (829) (1,621) Proceeds from issuance of redeemable units 88 389 Amounts paid on redemption of redeemable units (5,748) (2,954) Net cash from (used in) financing activities (6,489) (4,186)

Unrealized foreign exchange gain (loss) on cash 48 (129) Net increase (decrease) in cash (11,966) (1,024) Cash (bank overdraft), beginning of year 12,602 13,755 Cash (bank overdraft), end of year 684 12,602

Supplementary Information: Dividends received, net of withholding tax* 454 888 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 15 – CI First Asset Active Canadian Dividend ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LIMITED PARTNERSHIP UNITS 7,725 Brookfield Infrastructure Partners L.P. 473,402 486,521 Total Limited Partnership Units 473,402 486,521 2.80

EQUITIES Communication Services USD 263 Alphabet Inc., Class ‘A’ 508,226 586,736 27,430 TELUS Corp. 686,570 691,510 1,194,796 1,278,246 7.37 Consumer Discretionary USD 143 Amazon.com Inc. 545,270 592,842 USD 195 Booking Holdings Inc. 519,761 552,843 4,461 Canadian Tire Corp. Ltd., Class ‘A’ 573,318 746,459 9,209 Dollarama Inc. 415,958 477,763 4,175 Magna International Inc. 289,891 376,209 5,173 Restaurant Brands International Inc. 434,172 402,615 USD 3,285 Ross Stores Inc. 384,220 513,527 3,162,590 3,662,258 21.10

Consumer Staples 5,460 Metro Inc. 311,466 310,128 1.79

Energy 9,067 Enbridge Inc. 401,205 369,118 6,985 TC Energy Corp. 410,681 361,474 811,886 730,592 4.21 Financials 4,345 Bank of Montreal 446,402 420,509 8,555 Bank of Nova Scotia 613,486 588,584 16,015 Brookfield Asset Management Inc., Class ‘A’ 805,867 842,709 USD 1,599 CME Group Inc. 358,406 370,539 2,820 Intact Financial Corp. 389,303 425,030 6,630 Royal Bank of Canada 690,915 693,432 USD 697 S&P Global Inc. 286,823 291,653 9,452 Toronto-Dominion Bank (The) 685,718 679,788 4,276,920 4,312,244 24.85 Industrials 10,862 Air Canada 260,688 247,328 4,065 Canadian National Railway Co. 500,803 568,856 882 Canadian Pacific Railway Ltd. 307,739 389,429 1,069,230 1,205,613 6.95 Information Technology USD 2,575 Automatic Data Processing Inc. 452,662 577,534 4,386 CGI Inc. 483,614 442,942 USD 2,128 Microsoft Corp. 482,619 602,476 5,848 Open Text Corp. 358,723 338,248 5,012 Thomson Reuters Corp. 429,991 522,150 USD 2,045 Visa Inc., Class ‘A’ 521,543 569,372 2,729,152 3,052,722 17.60

Materials USD 850 Air Products and Chemicals Inc. 323,264 295,614 1.70

Real Estate 23,890 Tricon Residential Inc. 238,696 273,063 1.57

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

Annual Financial Statements - December 31, 2020 – 16 – CI First Asset Active Canadian Dividend ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Utilities 21,862 Algonquin Power & Utilities Corp. 314,668 458,009 11,110 Fortis Inc. 609,300 577,719 923,968 1,035,728 5.97 Total Equities 15,041,968 16,156,208 93.11 Adjustment for transaction costs (7,025) Total Investments 15,508,345 16,642,729 95.91 Total unrealized gain on forward foreign currency contract(s) 61,488 0.35 Other Net Assets (Liabilities) 649,780 3.74 Net Assets Attributable to Holders of Redeemable Units 17,353,997 100.00

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 17 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 61 - - 61 Derivative assets - Swaps and swaptions - - - - Total 61 - - 61 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 91 - - 91 Derivative assets - Swaps and swaptions - - - - Total 91 - - 91 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 18 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 33 59 Soft dollar commissions† 6 -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 3,449,968 4,249,968 Redeemable units issued for cash 150,000 150,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (1,900,000) (950,000) Number of redeemable units at the end of year 1,699,968 3,449,968

Annual Financial Statements - December 31, 2020 – 19 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.550

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

2020 2019 Loaned 1,559 1,532 Collateral (non-cash) 1,666 1,609

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

2020 2019 Gross securities lending revenue 1 2 Charges - (1) Securities lending revenue 1 1 Charges as a % of gross securities lending revenue 41.4 40.0

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

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

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

Annual Financial Statements - December 31, 2020 – 20 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk (cont’d)

as at December 31, 2019~ Concentration Risk Financial Instruments Net Net For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) The table below summarizes the Fund’s exposure to concentration risk. U.S. Dollar 7,863 (4,037) 3,826 10.7 Total 7,863 (4,037) 3,826 10.7 as at December 31, 2019 Categories Net Assets (%) ~Includes monetary and non-monetary instruments, if any. Other Net Assets (Liabilities) 35.36 Utilities 25.73 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Materials 12.30 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held Real Estate 9.21 constant, net assets attributable to holders of redeemable units of the Fund would have decreased or Energy 9.11 increased, respectively, by approximately $131,000 (December 31, 2019 - $383,000). In practice, actual Industrials 4.54 results may differ from this analysis and the difference may be material. Consumer Staples 1.86 Health Care 1.63 Total unrealized gain on forward foreign currency contract(s) 0.26 Interest Rate Risk Total 100.00 As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Credit Risk As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Fair Value Hierarchy was insignificant.

The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Other Price Risk derivatives carried at fair value. As at December 31, 2020 and 2019, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada. Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total As at December 31, 2020, had the fair value of equities in the investment portfolio increased or (in $000’s) (in $000’s) (in $000’s) (in $000’s) decreased by 10%, with all other variables held constant, net assets attributable to holders of Equities 16,156 - - 16,156 redeemable units of the Fund would have increased or decreased, respectively, by approximately Limited partnership units 487 - - 487 $1,664,000. In practice, actual results may differ from this analysis and the difference may be material. Derivatives, net - 61 - 61 Total 16,643 61 - 16,704 The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This change is estimated based on the historical correlation between the return of the Fund’s securities as Long Positions at fair value as at December 31, 2019 compared to the return of the benchmark(s), as at year end, with all other variables held constant. The Level 1 Level 2 Level 3 Total historical correlation may not be representative of the future correlation, and accordingly the impact on (in $000’s) (in $000’s) (in $000’s) (in $000’s) net assets attributable to holders of redeemable units could be different. Equities 22,917 - - 22,917 Derivatives, net - 91 - 91 Impact on Net Assets Attributable to Holders of Redeemable Units Total 22,917 91 - 23,008 as at December 31, 2019 Benchmark ($) There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. S&P/TSX Composite Total Return Index 1,626,402

Currency Risk The tables below summarize the Fund’s exposure to currency risk. as at December 31, 2020~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 5,005 (3,696) 1,309 7.5 Total 5,005 (3,696) 1,309 7.5

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

Annual Financial Statements - December 31, 2020 – 21 – CI First Asset Active Credit ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 17,559 22,871 8.83 9.58 1,987,565 2,387,565 Current assets US$ Common Investments 19,415 24,553 Units 2,976 3,236 9.05* 9.65* 258,236 258,236 Investments pledged as collateral - - Cash 1,195 617 Unrealized gain on futures and foreign currency forward contracts 2 299 Swaps, swaptions and options - - Daily variation margin on derivative instruments 54 - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable 168 240 Receivable for investments sold 243 737 Receivable for unit subscriptions - - 21,077 26,446 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 23 - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 452 275 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 15 18 Accounts payable and accrued liabilities 52 46 542 339 Net assets attributable to holders of redeemable units 20,535 26,107

*Net assets attributable to holders of redeemable units per unit for US$ Common Units are presented in U.S. dollars. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2020 – 22 – CIG - 580530237 CI First Asset Active Credit ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (1,271) 2,367 (0.58) 1.02 2,202,866 2,323,318 Net gain (loss) on investments and derivatives US$ Common Dividends 225 47 Units (113) 207 (0.41) 0.80 273,127 258,236 Interest for distribution purposes 911 1,504 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (1,527) 374 Change in unrealized appreciation (depreciation) in value of investments and derivatives (760) 952 Total net gain (loss) on investments and derivatives (1,151) 2,877 Other income Foreign exchange gain (loss) on cash 73 (15) Securities lending revenue (Note 6) 7 4 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 80 (11) Total income (1,071) 2,866 Expenses Custody fees 19 20 Unitholders reporting costs 32 61 Management fees (Note 5) 192 214 Audit fees 5 4 Legal fees 2 1 Independent review committee fees - - Commissions and other portfolio transaction costs 18 8 Securities borrowing fees (Note 2) - - Interest expense 5 1 Withholding taxes 31 2 Harmonized sales tax 29 29 Other expenses - - Total expenses 333 340 Expenses absorbed by the Manager (Note 5) (20) (48) Increase (decrease) in net assets attributable to holders of redeemable units (1,384) 2,574

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

Annual Financial Statements - December 31, 2020 – 23 – CI First Asset Active Credit ETF Financial Statements

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

Common Units US$ Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 22,871 22,219 3,236 3,213 26,107 25,432 Increase (decrease) in net assets attributable to holders of redeemable units (1,271) 2,367 (113) 207 (1,384) 2,574 Distributions to holders of redeemable units From net investment income (749) (1,108) (129) (162) (878) (1,270) From net realized gains ------Return of capital (443) (148) (69) (22) (512) (170) Total distributions to holders of redeemable units (1,192) (1,256) (198) (184) (1,390) (1,440)

Redeemable unit transactions Proceeds from redeemable units issued 9,327 2,380 638 - 9,965 2,380 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (12,176) (2,839) (587) - (12,763) (2,839) Net increase (decrease) from redeemable unit transactions (2,849) (459) 51 - (2,798) (459) Net increase (decrease) in net assets attributable to holders of redeemable units (5,312) 652 (260) 23 (5,572) 675 Net assets attributable to holders of redeemable units at the end of year 17,559 22,871 2,976 3,236 20,535 26,107

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

Annual Financial Statements - December 31, 2020 – 24 – CI First Asset Active Credit ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (1,384) 2,574 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 1,527 (374) Unrealized foreign exchange (gain) loss on cash 10 18 Commissions and other portfolio transaction costs 18 2 Change in unrealized (appreciation) depreciation in value of investments and derivatives 760 (952) Proceeds from sale and maturity of investments and derivatives 75,378 29,544 Purchase of investments and derivatives (71,553) (28,999) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin (54) - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 72 (42) Increase (decrease) in management fees payable (4) - Amortization interest earned - - Change in other accounts receivable and payable 6 (13) Net cash from (used in) operating activities 4,776 1,758

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,390) (1,440) Proceeds from issuance of redeemable units 9,965 3,290 Amounts paid on redemption of redeemable units (12,763) (2,839) Net cash from (used in) financing activities (4,188) (989)

Unrealized foreign exchange gain (loss) on cash (10) (18) Net increase (decrease) in cash 588 769 Cash (bank overdraft), beginning of year 617 (134) Cash (bank overdraft), end of year 1,195 617

Supplementary Information: Dividends received, net of withholding tax* 193 45 Interest received, net of withholding tax* 984 1,462 Dividends paid* - - Interest paid* (5) (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 25 – CI First Asset Active Credit ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Exchange-Traded Fund(s) USD 35,000 Invesco Senior Loan ETF 910,109 992,607 USD 38,300 iShares Broad USD High Yield Corporate Bond ETF 2,002,752 2,011,510 USD 12,000 iShares iBoxx High Yield Corporate Bond ETF 1,345,078 1,333,490 4,257,939 4,337,607 21.13

BONDS Bermuda USD 15,000 NCL Corp. Ltd., 5.88%, March 15, 2026 19,115 20,119 USD 20,000 NCL Corp. Ltd., 10.25%, February 1, 2026 27,157 29,850 46,272 49,969 0.24 Canada USD 80,000 1011778 B.C. ULC / New Red Finance Inc., 3.50%, February 15, 2029 104,010 101,896 USD 35,000 1011778 B.C. ULC / New Red Finance Inc., 4.00%, October 15, 2030 45,465 45,206 USD 165,000 1011778 B.C. ULC / New Red Finance Inc., 4.25%, May 15, 2024 224,196 214,439 USD 110,000 1011778 B.C. ULC / New Red Finance Inc., 4.38%, January 15, 2028 146,630 144,456 100,000 Air Canada, 4.75%, October 6, 2023 96,500 101,833 USD 45,000 ATS Automation Tooling Systems Inc., 4.13%, December 15, 2028 58,111 58,426 45,000 Bank of Montreal, 4.30%, November 26, 2080 45,000 46,410 USD 60,000 Bausch Health Cos. Inc., 9.00%, December 15, 2025 89,361 84,456 USD 40,000 Baytex Energy Corp., 5.63%, June 1, 2024 33,492 35,212 USD 100,000 Baytex Energy Corp., 8.75%, April 1, 2027 65,095 81,315 USD 75,000 Bombardier Inc., 5.75%, March 15, 2022 90,880 97,498 USD 130,000 Bombardier Inc., 8.75%, December 1, 2021 166,706 172,373 20,000 Canadian Imperial Bank of Commerce, 4.38%, October 28, 2080 20,000 20,600 USD 15,000 Cenovus Energy Inc., 3.00%, August 15, 2022 19,896 19,515 USD 15,000 Cenovus Energy Inc., 5.38%, July 15, 2025 20,015 21,544 10,000 Empire Communities Corp., 7.38%, December 15, 2025 10,000 10,376 USD 15,000 First Quantum Minerals Ltd., 7.25%, April 1, 2023 20,058 19,708 70,000 Ford Credit Canada Co., 2.58%, May 10, 2021 70,000 70,123 USD 45,000 GFL Environmental Inc., 3.50%, September 1, 2028 57,134 58,390 USD 25,000 GFL Environmental Inc., 4.00%, August 1, 2028 32,259 32,121 USD 30,000 GFL Environmental Inc., 5.13%, December 15, 2026 41,145 40,673 85,000 Gibson Energy Inc., Series ‘20-A’, 5.25%, December 22, 2080 85,000 85,876 USD 60,000 IAMGOLD Corp., 5.75%, October 15, 2028 79,170 77,615 USD 45,000 Methanex Corp., 5.25%, December 15, 2029 54,708 62,183 USD 170,000 Open Text Corp., 5.88%, June 1, 2026 234,622 225,050 105,000 Royal Bank of Canada, Series ‘1’, 4.50%, November 24, 2080 105,000 109,702 75,000 Russel Metals Inc., 5.75%, October 27, 2025 75,000 78,609 USD 70,000 Telesat Canada / Telesat LLC, 4.88%, June 1, 2027 94,962 92,500 USD 35,000 Vermilion Energy Inc., 5.63%, March 15, 2025 39,535 38,421 50,000 Videotron Ltd., 4.50%, January 15, 2030 51,500 54,360 2,275,450 2,300,886 11.21

France USD 10,000 Altice France SA, 5.13%, January 15, 2029 13,190 13,198 0.06

Germany USD 15,000 Cheplapharm Arzneimittel GmbH, 5.50%, January 15, 2028 19,694 19,977 0.10

Ireland USD 125,000 Ardagh Packaging Finance PLC / Ardagh MP Holdings USA Inc, 4.13%, August 15, 2026 169,994 166,471 USD 250,000 Endo Finance LLC / Endo Ltd. / Endo Finco Inc., 5.88%, October 15, 2024 331,850 323,198 501,844 489,669 2.38

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

Annual Financial Statements - December 31, 2020 – 26 – CI First Asset Active Credit ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS (cont’d) Luxembourg USD 50,000 Connect Finco SARL / Connect U.S. Finco LLC., 6.75%, October 1, 2026 66,295 68,657 0.33

Marshall Islands USD 20,000 Teekay Offshore Partners L.P. / Teekay Offshore Finance Corp, 8.50%, July 15, 2023 21,512 21,700 0.11

Netherlands USD 130,000 Alcoa Nederland Holding BV, 6.75%, September 30, 2024 177,805 172,663 USD 105,000 Teva Pharmaceutical Finance Netherlands III BV, 2.20%, July 21, 2021 137,214 133,571 315,019 306,234 1.49

Panama USD 80,000 Carnival Corp., 11.50%, April 1, 2023 116,199 117,939 0.57

U.S.A. USD 30,000 Abercrombie & Fitch Management Co., 8.75%, July 15, 2025 39,152 42,507 USD 15,000 Academy Ltd., 6.00%, November 15, 2027 19,973 20,048 USD 30,000 Acadia Healthcare Co. Inc., 5.63%, February 15, 2023 40,258 38,378 USD 15,000 AdaptHealth LLC, 4.63%, August 1, 2029 19,045 19,642 USD 15,000 Albertsons Cos. Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 3.50%, February 15, 2023 20,626 19,590 USD 60,000 Albertsons Cos. Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 4.63%, January 15, 2027 83,283 81,323 USD 55,000 Alexander Funding Trust, 1.84%, November 15, 2023 71,929 70,856 USD 25,000 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 4.25%, October 15, 2027 32,842 32,598 USD 25,000 Allison Transmission Inc., 3.75%, January 30, 2031 32,598 32,618 USD 15,000 AMN Healthcare Inc., 4.00%, April 15, 2029 19,895 19,571 USD 35,000 ANGI Group LLC., 3.88%, August 15, 2028 46,047 45,415 USD 25,000 Antero Resources Corp., 5.13%, December 1, 2022 32,133 31,791 USD 10,000 Antero Resources Corp., 8.38%, July 15, 2026 12,788 13,024 USD 15,000 Apache Corp., 4.63%, November 15, 2025 19,980 20,206 USD 30,000 Arches Buyer Inc., 4.25%, June 1, 2028 38,958 38,744 USD 5,000 Archrock Partners L.P. / Archrock Partners Finance Corp, 6.25%, April 1, 2028 6,658 6,641 USD 35,000 Ascent Resources Utica Holdings LLC / ARU Finance Corp, 7.00%, November 1, 2026 30,267 42,279 USD 10,000 Ascent Resources Utica Holdings LLC / ARU Finance Corp, 8.25%, December 31, 2028 12,697 12,729 USD 5,000 AssuredPartners Inc., 5.63%, January 15, 2029 6,390 6,651 USD 30,000 Avaya Inc., 6.13%, September 15, 2028 39,557 40,865 USD 5,000 Axalta Coating Systems LLC, 3.38%, February 15, 2029 6,520 6,376 USD 95,000 Ball Corp., 2.88%, August 15, 2030 124,522 120,774 USD 40,000 Bausch Health Cos. Inc. of the United States, 8.50%, January 31, 2027 59,617 56,699 USD 55,000 Berry Global Escrow Corp., 4.88%, July 15, 2026 76,639 75,277 USD 5,000 Big River Steel LLC / BRS Finance Corp., 6.63%, January 31, 2029 6,598 6,886 USD 25,000 Black Knight InfoServ LLC, 3.63%, September 1, 2028 33,235 32,618 USD 125,000 Booz Allen Hamilton Inc., 3.88%, September 1, 2028 165,934 164,184 USD 25,000 BY Crown Parent LLC / BY Bond Finance Inc., 4.25%, January 31, 2026 33,282 32,658 USD 30,000 C&S Group Enterprises LLC, 5.00%, December 15, 2028 38,769 38,123 USD 95,000 Cablevision Lightpath LLC, 3.88%, September 15, 2027 125,748 121,832 USD 10,000 Calumet Specialty Products Partners L.P. / Calumet Finance Corp, 7.63%, January 15, 2022 12,606 12,646 USD 30,000 Calumet Specialty Products Partners L.P. / Calumet Finance Corp, 9.25%, July 15, 2024 43,306 42,769 USD 350,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.00%, March 1, 2023 465,212 449,135 USD 185,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.25%, February 1, 2031 250,213 248,464 USD 225,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, August 15, 2030 313,051 304,304 USD 75,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, May 1, 2032 102,590 102,052 USD 55,000 Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp, 5.38%, June 1, 2024 72,424 70,360 USD 50,000 Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp / Millennium Operations LLC, 5.50%, May 1, 2025 68,646 66,429 USD 20,000 Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp / Millennium Operations LLC, 6.50%, October 1, 2028 26,620 27,654

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

Annual Financial Statements - December 31, 2020 – 27 – CI First Asset Active Credit ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS (cont’d) U.S.A. (cont’d) USD 45,000 CenturyLink Inc., 4.00%, February 15, 2027 60,357 59,221 USD 5,000 CenturyLink Inc., 4.50%, January 15, 2029 6,500 6,488 USD 15,000 Charles River Laboratories International Inc., 4.25%, May 1, 2028 20,782 20,033 USD 30,000 Chobani LLC / Chobani Finance Corp. Inc., 4.63%, November 15, 2028 39,446 38,855 USD 30,000 CITGO Petroleum Corp., 7.00%, June 15, 2025 40,238 38,163 USD 50,000 Clean Harbors Inc., 4.88%, July 15, 2027 68,555 66,509 USD 15,000 Clearway Energy Operating LLC, 4.75%, March 15, 2028 20,956 20,496 USD 35,000 Cleveland-Cliffs Inc., 6.75%, March 15, 2026 46,946 48,171 USD 250,000 CommScope Finance LLC, 5.50%, March 1, 2024 348,642 328,525 USD 50,000 CommScope Finance LLC, 8.25%, March 1, 2027 69,429 68,021 USD 20,000 CommScope Technologies LLC, 6.00%, June 15, 2025 26,130 26,065 USD 350,000 CSC Holdings LLC, 4.13%, December 1, 2030 476,629 466,276 USD 115,000 DCP Midstream LLC, 4.75%, September 30, 2021 152,663 148,946 USD 45,000 Emergent BioSolutions Inc., 3.88%, August 15, 2028 58,995 59,421 USD 15,000 Encompass Health Corp., 4.63%, April 1, 2031 19,919 20,454 USD 25,000 Endeavor Energy Resources L.P. / EER Finance Inc, 6.63%, July 15, 2025 33,263 34,100 USD 35,000 EnLink Midstream Partners L.P., 5.45%, June 1, 2047 30,836 35,987 USD 20,000 EQT Corp., 3.00%, October 1, 2022 25,977 25,697 USD 25,000 EQT Midstream Partners L.P., Series ‘5Y’, 4.75%, July 15, 2023 33,028 33,516 USD 20,000 Expedia Group Inc., 3.60%, December 15, 2023 26,805 27,149 USD 210,000 Ford Motor Credit Co. LLC, Floating Rate, 1.12%, October 12, 2021 267,355 264,154 USD 70,000 Frontier Communications Corp., 5.88%, October 15, 2027 93,170 96,510 USD 10,000 Frontier Communications Corp., 6.75%, May 1, 2029 13,084 13,644 USD 40,000 Genesis Energy L.P. / Genesis Energy Finance Corp, 7.75%, February 1, 2028 46,206 48,800 USD 15,000 GrafTech Finance Inc., 4.63%, December 15, 2028 19,229 19,332 USD 15,000 Group 1 Automotive Inc., 4.00%, August 15, 2028 19,980 19,705 USD 15,000 Hill-Rom Holdings Inc., 4.38%, September 15, 2027 20,147 20,219 USD 45,000 Hologic Inc., 3.25%, February 15, 2029 59,232 58,390 USD 25,000 Ingevity Corp., 3.88%, November 1, 2028 32,855 32,121 USD 35,000 Iron Mountain Inc., 4.88%, September 15, 2027 47,652 46,686 USD 130,000 Jagged Peak Energy LLC, 5.88%, May 1, 2026 173,299 171,759 USD 395,000 JBS USA LLC / JBS USA Finance Inc., 5.75%, June 15, 2025 525,964 520,394 USD 60,000 JBS USA LUX SA / JBS Food Co. / JBS USA Finance Inc, 5.50%, January 15, 2030 87,143 87,850 USD 15,000 Ken Garff Automotive LLC, 4.88%, September 15, 2028 19,793 19,893 USD 220,000 Kraft Heinz Foods Co., 3.88%, May 15, 2027 311,376 302,114 USD 10,000 Kraton Polymers LLC / Kraton Polymers Capital Corp, 4.25%, December 15, 2025 12,798 13,001 USD 5,000 Kronos Acquisition Holdings Inc. / KIK Custom Products Inc, 7.00%, December 31, 2027 6,394 6,676 USD 15,000 Lamar Media Corp., 4.00%, February 15, 2030 19,694 19,845 USD 30,000 Laredo Petroleum Inc., 9.50%, January 15, 2025 29,275 33,450 USD 55,000 Las Vegas Sands Corp., 3.90%, August 8, 2029 73,409 75,345 USD 65,000 Level 3 Financing Inc., 4.25%, July 1, 2028 85,475 85,097 USD 15,000 Live Nation Entertainment Inc., 3.75%, January 15, 2028 19,097 19,340 USD 40,000 Marriott Ownership Resorts Inc., 6.13%, September 15, 2025 54,942 54,353 USD 5,000 MasTec Inc., 4.50%, August 15, 2028 6,708 6,691 USD 80,000 Mattel Inc., 3.15%, March 15, 2023 103,305 103,222 USD 105,000 Mattel Inc., 6.75%, December 31, 2025 145,806 141,202 USD 40,000 Michaels Stores Inc., 4.75%, October 1, 2027 52,796 52,265 USD 15,000 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd, 6.50%, June 20, 2027 20,433 20,561 USD 15,000 Molina Healthcare Inc., 4.38%, June 15, 2028 20,491 20,115 USD 20,000 Moss Creek Resources Holdings Inc., 10.50%, May 15, 2027 18,364 20,430 USD 45,000 Moss Creek Resources Holdings Inc., 7.50%, January 15, 2026 39,988 43,676 USD 35,000 MSCI Inc., 3.88%, February 15, 2031 48,081 47,169 USD 140,000 MSCI Inc., 4.75%, August 1, 2026 189,848 186,223 USD 90,000 Netflix Inc., 4.88%, June 15, 2030 137,092 131,960 USD 45,000 Netflix Inc., 5.88%, November 15, 2028 69,418 68,767

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

Annual Financial Statements - December 31, 2020 – 28 – CI First Asset Active Credit ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS (cont’d) U.S.A. (cont’d) USD 15,000 New Fortress Energy Inc., 6.75%, September 15, 2025 19,881 20,317 USD 25,000 New Residential Investment Corp., 6.25%, October 15, 2025 32,975 32,041 USD 80,000 Nielsen Finance LLC / Nielsen Finance Co., 5.00%, April 15, 2022 105,717 102,202 USD 35,000 Nielsen Finance LLC / Nielsen Finance Co., 5.63%, October 1, 2028 46,183 48,491 USD 110,000 Novelis Corp., 5.88%, September 30, 2026 150,271 146,495 USD 35,000 NRG Energy Inc., 2.45%, December 2, 2027 45,708 46,934 USD 35,000 NRG Energy Inc., 3.63%, February 15, 2031 45,773 45,918 USD 40,000 Occidental Petroleum Corp., 2.90%, August 15, 2024 45,221 49,083 USD 40,000 Occidental Petroleum Corp., 3.45%, July 15, 2024 46,042 48,752 USD 10,000 Occidental Petroleum Corp., 4.10%, February 15, 2047 10,316 10,429 USD 20,000 Occidental Petroleum Corp., 4.20%, March 15, 2048 21,245 20,780 USD 70,000 Occidental Petroleum Corp., Floating Rate, 1.70%, August 15, 2022 87,197 87,356 USD 55,000 ON Semiconductor Corp., 3.88%, September 1, 2028 72,649 72,547 USD 40,000 Panther BF Aggregator 2 L.P. / Panther Finance Co Inc, 6.25%, May 15, 2026 55,888 54,671 USD 60,000 Parsley Energy LLC / Parsley Finance Corp., 5.38%, January 15, 2025 80,657 78,686 USD 65,000 PDC Energy Inc., 5.75%, May 15, 2026 84,849 85,583 USD 140,000 PetSmart Inc., 5.88%, June 1, 2025 189,849 183,441 USD 15,000 PetSmart Inc., 7.13%, March 15, 2023 19,108 19,117 USD 10,000 PRA Group Inc., 7.38%, September 1, 2025 13,259 13,771 USD 15,000 Prime Healthcare Services Inc., 7.25%, November 1, 2025 19,705 20,311 USD 40,000 Prime Security Services Borrower LLC / Prime Finance Inc, 3.38%, August 31, 2027 52,495 50,598 USD 25,000 Qorvo Inc., 3.38%, April 1, 2031 32,889 32,897 USD 50,000 Quicken Loans LLC / Quicken Loans Co-Issuer Inc., 3.63%, March 1, 2029 65,893 65,037 USD 15,000 Range Resources Corp., 4.88%, May 15, 2025 18,467 18,071 USD 20,000 Range Resources Corp., 9.25%, February 1, 2026 26,342 26,642 USD 20,000 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) SA, 4.00%, October 15, 2027 26,610 26,126 USD 10,000 Reynolds Group Issuer Inc. / Reynolds Group IssuerLLC, 5.13%, July 15, 2023 13,489 12,892 USD 25,000 Rite Aid Corp., 7.50%, July 1, 2025 33,065 33,271 USD 40,000 Scientific Games International Inc., 5.00%, October 15, 2025 52,208 52,603 USD 15,000 Service Corp. International, 3.38%, August 15, 2030 19,980 19,897 USD 25,000 Sinclair Television Group Inc., 4.13%, December 1, 2030 32,709 32,621 USD 80,000 Sirius XM Radio Inc., 3.88%, August 1, 2022 107,361 103,487 USD 80,000 Sirius XM Radio Inc., 5.00%, August 1, 2027 111,197 108,347 USD 50,000 Six Flags Entertainment Corp., 4.88%, July 31, 2024 63,206 63,804 USD 30,000 Sprint Communications Inc., 6.00%, November 15, 2022 43,360 41,385 USD 125,000 SunOpta Foods Inc., 9.50%, October 9, 2022 164,462 162,891 USD 35,000 Switch Ltd., 3.75%, September 15, 2028 46,123 45,303 USD 30,000 Syneos Health Inc., 3.63%, January 15, 2029 38,942 38,364 USD 30,000 Talen Energy Supply LLC, 6.63%, January 15, 2028 39,624 40,017 USD 15,000 Targa Resources Partners L.P. / Targa Resources Partners Finance Corp, 4.88%, February 1, 2031 19,967 20,833 USD 60,000 Teleflex Inc., 4.25%, June 1, 2028 81,686 81,052 USD 460,000 Tenet Healthcare Corp., 4.63%, July 15, 2024 614,232 600,771 USD 25,000 TerraForm Power Operating LLC, 4.25%, January 31, 2023 33,923 32,956 USD 20,000 TerraForm Power Operating LLC, 4.75%, January 15, 2030 27,688 27,296 USD 5,000 Townsquare Media Inc., 6.88%, February 1, 2026 6,372 6,678 USD 70,000 TransDigm Inc., 6.25%, March 15, 2026 99,006 95,007 USD 15,000 TripAdvisor Inc., 7.00%, July 15, 2025 20,265 20,657 USD 15,000 Triumph Group Inc., 8.88%, June 1, 2024 19,950 20,991 USD 10,000 Unisys Corp., 6.88%, November 1, 2027 13,138 13,938 USD 10,000 United Airlines Pass Through Trust, Class ‘A’, Series ‘2020-1’, 5.88%, April 15, 2029 13,142 13,788 USD 15,000 United Natural Foods Inc., 6.75%, October 15, 2028 19,787 20,000 USD 165,000 United States Treasury Bond, 1.63%, November 15, 2050 208,877 209,274 USD 15,000 Uniti Group L.P. / Uniti Group Finance Inc. / CSL Capital LLC, 6.00%, April 15, 2023 20,273 19,511 USD 15,000 Uniti Group L.P. / Uniti Group Finance Inc. / CSLCapital LLC, 8.25%, October 15, 2023 19,857 19,273

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

Annual Financial Statements - December 31, 2020 – 29 – CI First Asset Active Credit ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS (cont’d) U.S.A. (cont’d) USD 25,000 White Cap Buyer LLC, 6.88%, October 15, 2028 33,385 33,990 USD 10,000 Williams Scotsman International Inc., 4.63%, August 15, 2028 13,275 13,198 USD 15,000 Winnebago Industries Inc., 6.25%, July 15, 2028 20,967 20,561 USD 235,000 WMG Acquisition Corp., 3.00%, February 15, 2031 301,968 293,897 USD 70,000 WPX Energy Inc., 5.88%, June 15, 2028 96,261 97,238 USD 25,000 Wyndham Hotels & Resorts Inc., 4.38%, August 15, 2028 32,961 33,125 USD 35,000 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, March 1, 2025 44,697 46,556 11,089,195 10,959,536 53.38 Term Loans USD 16,000 Ascent Resources Utica Holdings LLC, Variable Rate, 10.00%, November 3, 2025 17,449 22,072 USD 80,000 Bausch Health Americas Inc., Variable Rate, 3.15%, June 2, 2025 103,690 101,387 USD 70,344 Change Healthcare Holdings LLC, Variable Rate, 3.50%, March 1, 2024 91,548 89,048 USD 80,000 Graham Packaging Co. Inc., Variable Rate, 4.50%, August 4, 2027 106,241 102,074 USD 30,000 JBS USA LUX SA, Variable Rate, 2.15%, May 1, 2026 39,115 37,853 USD 44,886 JBS USA LUX SA, Variable Rate, 2.15%, May 1, 2026 58,128 56,636 USD 100,000 KFC Holding Co., Variable Rate, 1.91%, April 3, 2025 129,602 126,199 USD 50,000 Refinitiv US Holdings Inc., Variable Rate, 3.40%, October 1, 2025 65,455 63,513 USD 80,000 Reynolds Group Holdings Inc., Variable Rate, 3.40%, February 5, 2026 104,961 100,941 USD 25,000 Welbilt Inc., Variable Rate, October 23, 2025 30,316 30,072 746,505 729,795 3.55 Total Bonds 15,211,175 15,077,560 73.42 Adjustment for transaction costs (1,040) Total Investments 19,468,074 19,415,167 94.55 Margin 54,023 0.26 Total unrealized loss on futures contract(s) (636) (0.00) Total unrealized gain on forward foreign currency contract(s) 2,312 0.01 Total unrealized loss on forward foreign currency contract(s) (22,236) (0.11) Other Net Assets (Liabilities) 1,086,152 5.29 Net Assets Attributable to Holders of Redeemable Units 20,534,782 100.00

Futures Contract(s)

Number of Contracted Fair Value Unrealized Contracted Value Name of Future Expiry Date Contract(s) Currency Price ($) ($) Gain (Loss) ($) (526,643) United States 10 Year Note Future March 22, 2021 (3) USD 137.91 (527,279) (636) (526,643) (527,279) (636)

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 30 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

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

as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 2 (2) - - Derivative assets - Swaps and swaptions - - - - Total 2 (2) - - Derivative liabilities - Foreign currency forward contracts (22) 2 - (20) Derivative liabilities - Swaps and swaptions - - - - Total (22) 2 - (20)

as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 299 - - 299 Derivative assets - Swaps and swaptions - - - - Total 299 - - 299 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

Interest in Unconsolidated Structured Entities (Note 2)

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

as at December 31, 2020 Fair Value of Fair Value of the Fund’s Investment Ownership in the the Underlying Fund(s) / ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) Invesco Senior Loan ETF 6,154,166 993 - iShares Broad USD High Yield Corporate Bond ETF 9,503,468 2,012 - iShares iBoxx High Yield Corporate Bond ETF 32,892,754 1,333 - as at December 31, 2019 Fair Value of Fair Value of the Fund’s Investment Ownership in the the Underlying Fund(s) / ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) iShares iBoxx High Yield Corporate Bond ETF 24,734,526 278 - SPDR Bloomberg Barclays High Yield Bond ETF 14,880,704 203 -

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

Annual Financial Statements - December 31, 2020 – 31 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 7 2 Soft dollar commissions† - -

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

Common Units US$ Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 2,387,565 2,437,565 258,236 258,236 Redeemable units issued for cash 1,000,000 250,000 50,000 - Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (1,400,000) (300,000) (50,000) - Number of redeemable units at the end of year 1,987,565 2,387,565 258,236 258,236

Annual Financial Statements - December 31, 2020 – 32 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.850 US$ Common Units 0.850

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

2020 2019 Loaned 13 41 Collateral (non-cash) 14 43

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

2020 2019 Gross securities lending revenue 12 8 Charges (5) (4) Securities lending revenue 7 4 Charges as a % of gross securities lending revenue 41.0 54.0

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

2020 Capital loss carried forward: 3,005 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 33 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

as at December 31, 2019 as at December 31, 2020~ Categories Net Assets (%) Financial Instruments Net Net U.S.A. 41.25 Exposure Derivatives Exposure Assets Term Loans 35.53 Currency (in $000’s) (in $000’s) (in $000’s) (%) Canada 5.39 U.S. Dollar 19,493 (16,711) 2,782 13.5 Other Net Assets (Liabilities) 4.81 Total 19,493 (16,711) 2,782 13.5 Netherlands 2.55 Ireland 2.53 Luxembourg 2.40 as at December 31, 2019~ Equities 1.84 Financial Instruments Net Net France 1.28 Exposure Derivatives Exposure Assets Cayman Islands 1.27 Currency (in $000’s) (in $000’s) (in $000’s) (%) Total unrealized gain on forward foreign currency contract(s) 1.15 U.S. Dollar 25,498 (22,154) 3,344 12.8 Total 100.00 Total 25,498 (22,154) 3,344 12.8

~Includes monetary and non-monetary instruments, if any. Credit Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, with the following credit ratings, as per the table below. 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or as at December 31, 2020 increased, respectively, by approximately $278,000 (December 31, 2019 - $334,000). In practice, actual Credit Rating^* Net Assets (%) results may differ from this analysis and the difference may be material. AAA/Aaa/A++ 0.9 A 0.1 BBB/Baa/B++ 3.4 Interest Rate Risk BB/Ba/B+ 45.1 The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual B 19.5 maturity date. CCC/Caa/C++ 4.3 Total 73.3 as at December 31, 2020 Greater Less than 1 - 3 3 - 5 than The Fund was invested in fixed income securities, with the following credit ratings, as per the table 1 Year Years Years 5 Years Total below. (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 789 1,791 4,146 8,352 15,078 as at December 31, 2019 Credit Rating^* Net Assets (%) BBB/Baa/B++ 2.5 as at December 31, 2019 BB/Ba/B+ 24.3 Greater B 54.3 Less than 1 - 3 3 - 5 than CCC/Caa/C++ 11.1 1 Year Years Years 5 Years Total Total 92.2 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure - 1,866 6,508 15,697 24,071 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference. As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $201,000 (December 31, 2019 - $305,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Annual Financial Statements - December 31, 2020 – 34 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 15,077 - 15,077 Exchange-Traded Fund(s) 4,338 - - 4,338 Derivatives, net - (20) - (20) Total 4,338 15,057 - 19,395

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 481 - - 481 Bonds - 24,072 - 24,072 Derivatives, net - 299 - 299 Total 481 24,371 - 24,852

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

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

Annual Financial Statements - December 31, 2020 – 35 – CI First Asset Active Utility & Infrastructure ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 34,967 29,228 13.24 12.22 2,641,194 2,391,194 Current assets Investments 33,814 27,038 Investments pledged as collateral - - Cash 1,052 2,102 Unrealized gain on futures and foreign currency forward contracts 100 53 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 3 2 Cash collateral on deposit for short sale - - Dividends receivable 110 100 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 35,079 29,295 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 30 - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 19 16 Accounts payable and accrued liabilities 63 51 112 67 Net assets attributable to holders of redeemable units 34,967 29,228

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

Annual Financial Statements - December 31, 2020 – 36 – CIG - 580530097 CI First Asset Active Utility & Infrastructure ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 3,345 6,302 1.32 2.84 2,540,511 2,217,221 Net gain (loss) on investments and derivatives Dividends 1,159 898 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 1,856 (67) Change in unrealized appreciation (depreciation) in value of investments and derivatives 632 5,722 Total net gain (loss) on investments and derivatives 3,647 6,553 Other income Foreign exchange gain (loss) on cash (2) (23) Securities lending revenue (Note 6) 2 4 Fees rebate 31 26 Miscellaneous foreign income - 12 Other income - - Total other income 31 19 Total income 3,678 6,572 Expenses Custody fees 19 20 Unitholders reporting costs 39 43 Management fees (Note 5) 198 162 Audit fees 5 4 Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 34 19 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 16 4 Harmonized sales tax 22 18 Other expenses - - Total expenses 333 270 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 3,345 6,302

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

Annual Financial Statements - December 31, 2020 – 37 – CI First Asset Active Utility & Infrastructure ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 29,228 19,986 Increase (decrease) in net assets attributable to holders of redeemable units 3,345 6,302 Distributions to holders of redeemable units From net investment income (877) (588) From net realized gains (1,011) - Return of capital (2) (436) Total distributions to holders of redeemable units (1,890) (1,024)

Redeemable unit transactions Proceeds from redeemable units issued 10,336 4,510 Reinvestment of distributions to holders of redeemable units 634 - Redemption of redeemable units (6,686) (546) Net increase (decrease) from redeemable unit transactions 4,284 3,964 Net increase (decrease) in net assets attributable to holders of redeemable units 5,739 9,242 Net assets attributable to holders of redeemable units at the end of year 34,967 29,228

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

Annual Financial Statements - December 31, 2020 – 38 – CI First Asset Active Utility & Infrastructure ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 3,345 6,302 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,856) 67 Unrealized foreign exchange (gain) loss on cash 1 93 Commissions and other portfolio transaction costs 34 17 Change in unrealized (appreciation) depreciation in value of investments and derivatives (632) (5,722) Proceeds from sale and maturity of investments and derivatives 10,705 7,158 Purchase of investments and derivatives (11,713) (10,229) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (10) (6) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 3 4 Amortization interest earned - - Change in other accounts receivable and payable 12 (16) Net cash from (used in) operating activities (111) (2,332)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,256) (1,026) Proceeds from issuance of redeemable units 710 958 Amounts paid on redemption of redeemable units (392) (130) Net cash from (used in) financing activities (938) (198)

Unrealized foreign exchange gain (loss) on cash (1) (93) Net increase (decrease) in cash (1,049) (2,530) Cash (bank overdraft), beginning of year 2,102 4,725 Cash (bank overdraft), end of year 1,052 2,102

Supplementary Information: Dividends received, net of withholding tax* 1,133 888 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 39 – CI First Asset Active Utility & Infrastructure ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LIMITED PARTNERSHIP UNITS 24,046 Brookfield Infrastructure Partners L.P. 1,261,898 1,514,417 Total Limited Partnership Units 1,261,898 1,514,417 4.33

EQUITIES Energy USD 9,086 Cheniere Energy Inc. 696,988 694,281 21,001 Enbridge Inc. 965,285 854,951 45,550 Gibson Energy Inc. 866,519 936,508 27,334 Keyera Corp. 823,472 618,295 38,309 Parkland Corp. 1,163,326 1,547,301 8,513 Pembina Pipeline Corp. 319,795 256,241 25,646 TC Energy Corp. 1,502,996 1,327,180 USD 24,600 Williams Cos. Inc. (The) 710,953 627,832 7,049,334 6,862,589 19.63

Financials 28,619 Brookfield Asset Management Inc., Class ‘A’ 1,119,028 1,505,932 4.31

Utilities 125,311 Algonquin Power & Utilities Corp. 1,831,176 2,625,265 41,205 AltaGas Ltd. 716,826 771,358 69,148 Boralex Inc., Class ‘A’ 1,567,353 3,266,552 29,927 Canadian Utilities Ltd., Class ‘A’ 1,077,552 930,430 30,748 Emera Inc. 1,573,740 1,663,467 USD 9,229 Entergy Corp. 1,393,274 1,172,880 15,221 Fortis Inc. 809,666 791,492 63,181 Hydro One Ltd. 1,546,595 1,810,136 86,551 Innergex Renewable Energy Inc. 1,440,906 2,368,901 USD 11,354 NextEra Energy Inc. 945,887 1,115,011 50,154 Northland Power Inc. 1,528,810 2,290,533 USD 15,631 OGE Energy Corp. 664,471 633,909 USD 4,119 Sempra Energy 781,063 668,020 97,678 Superior Plus Corp. 1,111,602 1,189,718 110,838 TransAlta Corp. 975,918 1,071,803 71,759 TransAlta Renewables Inc. 1,010,692 1,561,476 18,975,531 23,930,951 68.44 Total Equities 27,143,893 32,299,472 92.37 Adjustment for transaction costs (25,385) Total Investments 28,380,406 33,813,889 96.70 Total unrealized gain on forward foreign currency contract(s) 100,235 0.29 Total unrealized loss on forward foreign currency contract(s) (30,034) (0.09) Other Net Assets (Liabilities) 1,082,742 3.10 Net Assets Attributable to Holders of Redeemable Units 34,966,832 100.00

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

Annual Financial Statements - December 31, 2020 – 40 – CI First Asset Active Utility & Infrastructure ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 41 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 100 (24) - 76 Derivative assets - Swaps and swaptions - - - - Total 100 (24) - 76 Derivative liabilities - Foreign currency forward contracts (30) 24 - (6) Derivative liabilities - Swaps and swaptions - - - - Total (30) 24 - (6) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 53 - - 53 Derivative assets - Swaps and swaptions - - - - Total 53 - - 53 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 42 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 20 17 Soft dollar commissions† 6 -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 2,391,194 2,041,194 Redeemable units issued for cash 850,000 400,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (600,000) (50,000) Number of redeemable units at the end of year 2,641,194 2,391,194

Annual Financial Statements - December 31, 2020 – 43 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.650

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

2020 2019 Loaned 2,716 29 Collateral (non-cash) 2,852 30

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

2020 2019 Gross securities lending revenue 3 6 Charges (1) (2) Securities lending revenue 2 4 Charges as a % of gross securities lending revenue 40.0 40.0

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

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

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

Annual Financial Statements - December 31, 2020 – 44 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk (cont’d)

as at December 31, 2019~ Concentration Risk Financial Instruments Net Net For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) The table below summarizes the Fund’s exposure to concentration risk. U.S. Dollar 4,427 (4,046) 381 1.3 Total 4,427 (4,046) 381 1.3 as at December 31, 2019 Categories Net Assets (%) ~Includes monetary and non-monetary instruments, if any. Utilities 64.90 Energy 20.02 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Other Net Assets (Liabilities) 7.31 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held Financials 3.83 constant, net assets attributable to holders of redeemable units of the Fund would have decreased or Limited Partnership Units 3.76 increased, respectively, by approximately $51,000 (December 31, 2019 - $38,000). In practice, actual Total unrealized gain on forward foreign currency contract(s) 0.18 results may differ from this analysis and the difference may be material. Total 100.00

Interest Rate Risk Credit Risk As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments substantially all of its assets were invested in equities and derivatives. was insignificant.

Fair Value Hierarchy Other Price Risk As at December 31, 2020 and 2019, the Fund was invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada. The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value. As at December 31, 2020, had the fair value of equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of Long Positions at fair value as at December 31, 2020 redeemable units of the Fund would have increased or decreased, respectively, by approximately Level 1 Level 2 Level 3 Total $3,381,000. In practice, actual results may differ from this analysis and the difference may be material. (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 32,299 - - 32,299 The table below indicates how net assets attributable to holders of redeemable units would have Limited partnership units 1,515 - - 1,515 increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Derivatives, net - 70 - 70 change is estimated based on the historical correlation between the return of the Fund’s securities as Total 33,814 70 - 33,884 compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on net assets attributable to holders of redeemable units could be different. Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total Impact on Net Assets Attributable to Holders of Redeemable Units (in $000’s) (in $000’s) (in $000’s) (in $000’s) as at December 31, 2019 Equities 25,938 - - 25,938 Benchmark ($) Limited partnership units 1,100 - - 1,100 S&P/TSX Capped Utilities Total Return Index 2,036,309 Derivatives, net - 53 - 53 Total 27,038 53 - 27,091

Currency Risk There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. The tables below summarize the Fund’s exposure to currency risk. as at December 31, 2020~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 5,105 (4,599) 506 1.4 Total 5,105 (4,599) 506 1.4

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

Annual Financial Statements - December 31, 2020 – 45 – CI First Asset Canadian Buyback Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 8,656 11,376 24.73 25.28 350,000 450,000 Current assets Investments 8,644 11,323 Investments pledged as collateral - - Cash 12 45 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 20 25 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - 8 8,676 11,401 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 4 5 Accounts payable and accrued liabilities 16 20 20 25 Net assets attributable to holders of redeemable units 8,656 11,376

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

Annual Financial Statements - December 31, 2020 – 46 – CIG - 580530037 CI First Asset Canadian Buyback Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (447) 1,641 (1.20) 3.69 373,361 444,384 Net gain (loss) on investments and derivatives Dividends 241 277 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (672) (188) Change in unrealized appreciation (depreciation) in value of investments and derivatives 61 1,647 Total net gain (loss) on investments and derivatives (370) 1,736 Other income Foreign exchange gain (loss) on cash 1 (1) Securities lending revenue (Note 6) - - Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 1 (1) Total income (369) 1,735 Expenses Custody fees 18 20 Unitholders reporting costs 20 43 Management fees (Note 5) 49 65 Audit fees 5 4 Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 9 4 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 10 14 Other expenses - - Total expenses 111 150 Expenses absorbed by the Manager (Note 5) (33) (56) Increase (decrease) in net assets attributable to holders of redeemable units (447) 1,641

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

Annual Financial Statements - December 31, 2020 – 47 – CI First Asset Canadian Buyback Index ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 11,376 9,927 Increase (decrease) in net assets attributable to holders of redeemable units (447) 1,641 Distributions to holders of redeemable units From net investment income (157) (157) From net realized gains - - Return of capital (10) (37) Total distributions to holders of redeemable units (167) (194)

Redeemable unit transactions Proceeds from redeemable units issued 2,073 1,269 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (4,179) (1,267) Net increase (decrease) from redeemable unit transactions (2,106) 2 Net increase (decrease) in net assets attributable to holders of redeemable units (2,720) 1,449 Net assets attributable to holders of redeemable units at the end of year 8,656 11,376

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

Annual Financial Statements - December 31, 2020 – 48 – CI First Asset Canadian Buyback Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (447) 1,641 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 672 188 Unrealized foreign exchange (gain) loss on cash - 1 Commissions and other portfolio transaction costs 9 3 Change in unrealized (appreciation) depreciation in value of investments and derivatives (61) (1,647) Proceeds from sale and maturity of investments and derivatives 4,002 4,163 Purchase of investments and derivatives (4,041) (4,139) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 5 (2) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (1) - Amortization interest earned - - Change in other accounts receivable and payable (4) - Net cash from (used in) operating activities 134 208

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (167) (194) Proceeds from issuance of redeemable units 18 - Amounts paid on redemption of redeemable units (18) (6) Net cash from (used in) financing activities (167) (200)

Unrealized foreign exchange gain (loss) on cash - (1) Net increase (decrease) in cash (33) 8 Cash (bank overdraft), beginning of year 45 38 Cash (bank overdraft), end of year 12 45

Supplementary Information: Dividends received, net of withholding tax* 245 275 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 49 – CI First Asset Canadian Buyback Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services 3,448 Rogers Communications Inc., Class ‘B’ 203,765 204,329 7,778 TELUS Corp. 179,806 196,083 383,571 400,412 4.63 Consumer Discretionary 1,346 Canadian Tire Corp. Ltd., Class ‘A’ 187,452 225,226 3,592 Dollarama Inc. 159,163 186,353 6,679 Gildan Activewear Inc. 166,188 237,706 2,896 Magna International Inc. 185,795 260,958 698,598 910,243 10.52 Consumer Staples 3,992 Alimentation Couche-Tard Inc., Class ‘B’ 140,453 173,173 4,760 Empire Co. Ltd., Class ‘A’ 167,346 165,600 1,873 George Weston Ltd. 179,069 178,085 2,653 Loblaw Cos. Ltd. 164,720 166,635 2,878 Metro Inc. 145,650 163,470 797,238 846,963 9.78 Energy 8,849 Canadian Natural Resources Ltd. 265,276 270,691 11,818 Imperial Oil Ltd. 291,166 285,523 11,529 Suncor Energy Inc. 310,165 246,144 866,607 802,358 9.27 Financials 2,374 Bank of Montreal 217,176 229,755 3,277 Bank of Nova Scotia 210,654 225,458 4,090 Brookfield Asset Management Inc., Class ‘A’ 157,872 215,216 1,841 Canadian Imperial Bank of Commerce 199,944 200,154 462 Fairfax Financial Holdings Ltd. 250,322 200,439 6,910 Great-West Lifeco Inc. 209,560 209,719 3,960 iA Financial Corp. Inc. 166,840 218,513 1,286 Intact Financial Corp. 149,266 193,826 9,740 Manulife Financial Corp. 211,401 220,611 2,744 National Bank of Canada 169,990 196,580 3,074 Onex Corp. 182,811 224,585 1,947 Royal Bank of Canada 188,358 203,637 3,346 Sun Life Financial Inc. 179,826 189,384 2,934 Toronto-Dominion Bank (The) 198,356 211,013 2,692,376 2,938,890 33.95 Industrials 11,736 Air Canada 241,128 267,229 9,015 CAE Inc. 232,251 317,959 1,295 Canadian National Railway Co. 145,894 181,222 456 Canadian Pacific Railway Ltd. 131,288 201,338 1,344 Waste Connections Inc. 153,680 175,419 904,241 1,143,167 13.21 Information Technology 2,005 CGI Inc. 161,931 202,486 121 Constellation Software Inc. 132,993 200,003 1,724 Thomson Reuters Corp. 127,771 179,606 225 Topicus.Com Inc. 1,083 2 423,778 582,097 6.72 Materials 15,904 First Quantum Minerals Ltd. 131,923 363,406 3,575 Nutrien Ltd. 195,120 218,933 9,720 Teck Resources Ltd., Class ‘B’ 202,966 224,532 530,009 806,871 9.32

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

Annual Financial Statements - December 31, 2020 – 50 – CI First Asset Canadian Buyback Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Real Estate 12,724 RioCan REIT 254,063 213,127 2.46

Total Equities 7,550,481 8,644,128 99.86 Adjustment for transaction costs (2,814) Total Investments 7,547,667 8,644,128 99.86 Other Net Assets (Liabilities) 12,213 0.14 Net Assets Attributable to Holders of Redeemable Units 8,656,341 100.00

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

Annual Financial Statements - December 31, 2020 – 51 – CI First Asset Canadian Buyback Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 3 3 Soft dollar commissions† - -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 450,000 450,000 Redeemable units issued for cash 100,000 50,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (200,000) (50,000) Number of redeemable units at the end of year 350,000 450,000

Annual Financial Statements - December 31, 2020 – 52 – CI First Asset Canadian Buyback Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600

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

2020 2019 Loaned 291 339 Collateral (non-cash) 305 357

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

2020 2019 Gross securities lending revenue - 1 Charges - (1) Securities lending revenue - - Charges as a % of gross securities lending revenue - 39.9

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

2020 Capital loss carried forward: 434 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 53 – CI First Asset Canadian Buyback Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Interest Rate Risk As at December 31, 2020 and 2019, the Fund’s exposure to interest rate risk was insignificant as substantially all of its assets were invested in equities. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Fair Value Hierarchy The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Categories Net Assets (%) derivatives carried at fair value. Financials 32.90 Energy 15.62 Long Positions at fair value as at December 31, 2020 Consumer Staples 10.88 Level 1 Level 2 Level 3 Total Industrials 10.41 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Consumer Discretionary 8.90 Equities 8,644 - - 8,644 Information Technology 7.28 Total 8,644 - - 8,644 Communication Services 4.87 Health Care 3.64 Materials 2.64 Long Positions at fair value as at December 31, 2019 Real Estate 2.40 Level 1 Level 2 Level 3 Total Other Net Assets (Liabilities) 0.46 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Total 100.00 Equities 11,323 - - 11,323 Total 11,323 - - 11,323

Credit Risk There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. As at December 31, 2020 and 2019, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

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

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2020 Benchmark ($) CIBC Canadian Buyback Total Return Index 864,116

as at December 31, 2019 Benchmark ($) CIBC Canadian Buyback Total Return Index 1,128,262

Currency Risk As at December 31, 2020 and 2019, the Fund’s investments were mostly denominated in Canadian dollars, the functional currency of the Fund. As a result, the Fund did not have a significant exposure to currency risk.

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

Annual Financial Statements - December 31, 2020 – 54 – CI First Asset Canadian Convertible Bond ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 56,627 59,598 10.03 9.94 5,647,245 5,997,245 Current assets Investments 54,507 57,526 Investments pledged as collateral - - Cash 1,481 1,678 Unrealized gain on futures and foreign currency forward contracts 99 136 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 1 1 Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable 360 432 Receivable for investments sold 216 - Receivable for unit subscriptions - - 56,664 59,773 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - 135 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 31 33 Accounts payable and accrued liabilities 6 7 37 175 Net assets attributable to holders of redeemable units 56,627 59,598

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

Annual Financial Statements - December 31, 2020 – 55 – CIG - 580530257 CI First Asset Canadian Convertible Bond ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 2,697 7,691 0.46 1.32 5,926,343 5,847,519 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 2,758 2,589 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 426 1,172 Change in unrealized appreciation (depreciation) in value of investments and derivatives (75) 4,380 Total net gain (loss) on investments and derivatives 3,109 8,141 Other income Foreign exchange gain (loss) on cash 12 (4) Securities lending revenue (Note 6) 3 3 Fees rebate 9 9 Miscellaneous foreign income - - Other income - - Total other income 24 8 Total income 3,133 8,149 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 364 364 Audit fees - - Legal fees - - Independent review committee fees - 1 Commissions and other portfolio transaction costs 36 56 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 36 37 Other expenses - - Total expenses 436 458 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 2,697 7,691

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

Annual Financial Statements - December 31, 2020 – 56 – CI First Asset Canadian Convertible Bond ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 59,598 55,085 Increase (decrease) in net assets attributable to holders of redeemable units 2,697 7,691 Distributions to holders of redeemable units From net investment income (2,374) (2,192) From net realized gains (570) (670) Return of capital (6) (2) Total distributions to holders of redeemable units (2,950) (2,864)

Redeemable unit transactions Proceeds from redeemable units issued 4,533 3,887 Reinvestment of distributions to holders of redeemable units 101 48 Redemption of redeemable units (7,352) (4,249) Acquisition of assets from terminated funds - - Net increase (decrease) from redeemable unit transactions (2,718) (314) Net increase (decrease) in net assets attributable to holders of redeemable units (2,971) 4,513 Net assets attributable to holders of redeemable units at the end of year 56,627 59,598

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

Annual Financial Statements - December 31, 2020 – 57 – CI First Asset Canadian Convertible Bond ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 2,697 7,691 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (426) (1,172) Unrealized foreign exchange (gain) loss on cash - 6 Commissions and other portfolio transaction costs 36 50 Change in unrealized (appreciation) depreciation in value of investments and derivatives 75 (4,380) Proceeds from sale and maturity of investments and derivatives 13,453 23,325 Purchase of investments and derivatives (13,027) (23,375) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 71 (30) Increase (decrease) in management fees payable (2) 5 Amortization interest earned - - Change in other accounts receivable and payable (2) 3 Net cash from (used in) operating activities 2,875 2,123

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,849) (2,817) Proceeds from issuance of redeemable units 194 208 Amounts paid on redemption of redeemable units (417) (257) Net cash from (used in) financing activities (3,072) (2,866)

Unrealized foreign exchange gain (loss) on cash - (6) Net increase (decrease) in cash (197) (743) Cash (bank overdraft), beginning of year 1,678 2,427 Cash (bank overdraft), end of year 1,481 1,678

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 2,830 2,559 Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 58 – CI First Asset Canadian Convertible Bond ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS Corporate Bonds USD 451,861 Cricket Media Inc., Coupon Strip, September 21, 2025 75,568 71,897 Total Bonds 75,568 71,897 0.13

CONVERTIBLE DEBENTURES Communication Services 2,380,000 Cineplex Inc., 5.75%, September 30, 2025 2,447,383 2,595,985 4.58

Consumer Staples 1,975,000 Premium Brands Holdings Corp., 4.60%, December 31, 2023 2,156,635 2,152,750 2,308,000 Premium Brands Holdings Corp., 4.65%, April 30, 2025 2,342,815 2,444,172 4,499,450 4,596,922 8.12 Energy 1,037,610 GASFRAC Energy Services Inc., 7.00% - - 960,000 North American Construction Group Ltd., 5.00%, March 31, 2026 934,867 912,192 1,366,000 Tidewater Midstream and Infrastructure Ltd., 5.50%, September 30, 2024 1,362,747 1,215,740 2,297,614 2,127,932 3.76 Financials 1,585,000 Alaris Equity Partners Income, 5.50%, June 30, 2024 1,403,752 1,428,164 827,000 Canaccord Genuity Group Inc., 6.25%, December 31, 2023 847,518 945,261 2,471,000 Element Fleet Management Corp., 4.25%, June 30, 2024 2,642,898 3,174,863 1,374,000 Fiera Capital Corp., 5.00%, June 30, 2023 1,299,934 1,417,144 6,194,102 6,965,432 12.30

Health Care 1,946,000 Extendicare Inc., 5.00%, April 30, 2025 1,860,802 1,976,650 3.49

Industrials 2,580,000 Aecon Group Inc., 5.00%, December 31, 2023 2,648,403 2,677,911 1,480,000 AG Growth International Inc., 4.50%, December 31, 2022 1,498,944 1,487,992 1,348,000 AG Growth International Inc., 4.85%, June 30, 2022 1,370,912 1,354,740 1,267,000 Algoma Central Corp., 5.25%, June 30, 2024 1,225,449 1,324,015 1,276,000 Exchange Income Corp., 5.25%, December 31, 2022 1,181,817 1,288,760 1,565,000 Exchange Income Corp., 5.75%, March 31, 2026 1,546,556 1,556,393 1,938,000 Mullen Group Ltd, 5.75%, November 30, 2026 1,989,806 2,054,280 11,461,887 11,744,091 20.74 Materials 2,937,000 Chemtrade Logistics Income Fund, 4.75%, May 31, 2024 2,589,474 2,337,118 2,077,000 Chemtrade Logistics Income Fund, 5.00%, August 31, 2023 1,959,185 1,866,808 USD 656,000 Fortuna Silver Mines Inc., 4.65%, October 31, 2024 906,480 1,425,801 2,612,000 Osisko Gold Royalties Ltd., 4.00%, December 31, 2022 2,620,416 2,768,720 8,075,555 8,398,447 14.83 Real Estate USD 550,000 BSR REIT, 5.00%, September 30, 2025 715,137 680,625 USD 765,000 Invesque Inc., 6.00%, September 30, 2023 862,422 589,130 1,222,000 Morguard North American Residential REIT, 4.50%, March 31, 2023 1,235,491 1,263,181 947,000 NorthWest Healthcare Properties REIT, 5.25%, July 31, 2021 959,877 970,912 1,922,000 Northwest Healthcare Properties REIT, 5.50%, December 31, 2023 2,002,730 2,037,320 USD 2,602,000 Tricon Residential Inc., 5.75%, March 31, 2022 3,515,507 3,428,008 9,291,164 8,969,176 15.84

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

Annual Financial Statements - December 31, 2020 – 59 – CI First Asset Canadian Convertible Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

CONVERTIBLE DEBENTURES (cont’d) Utilities 1,608,000 Atlantic Power Corp., Series ‘E’, 6.00%, January 31, 2025 1,621,254 1,684,782 1,646,000 Innergex Renewable Energy Inc., 4.65%, October 31, 2026 1,674,019 2,091,655 2,346,000 Innergex Renewable Energy Inc., 4.75%, June 30, 2025 2,342,830 3,284,400 5,638,103 7,060,837 12.47 Total Convertible Debentures 51,766,060 54,435,472 96.13 Adjustment for transaction costs (66,063) Total Investments 51,775,565 54,507,369 96.26 Total unrealized gain on forward foreign currency contract(s) 98,782 0.17 Other Net Assets (Liabilities) 2,021,319 3.57 Net Assets Attributable to Holders of Redeemable Units 56,627,470 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Bank of Montreal A-1 January 8, 2021 CAD 318,970 USD 250,000 1.28 749 Citibank N.A., New York A-1 January 8, 2021 CAD 5,550,408 USD 4,285,000 1.30 96,101 Royal Bank of Canada A-1+ January 8, 2021 CAD 313,788 USD 245,000 1.28 1,932 98,782

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 60 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 99 - - 99 Derivative assets - Swaps and swaptions - - - - Total 99 - - 99 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 136 - - 136 Derivative assets - Swaps and swaptions - - - - Total 136 - - 136 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 61 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 31 50 Soft dollar commissions† 10 4

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 5,997,245 6,047,245 Redeemable units issued for cash 450,000 400,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (800,000) (450,000) Redeemable units issued due to acquisition of assets from terminated funds - - Number of redeemable units at the end of year 5,647,245 5,997,245

Annual Financial Statements - December 31, 2020 – 62 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.650

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

2020 2019 Loaned 3,317 509 Collateral (non-cash) 3,483 535

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

2020 2019 Gross securities lending revenue 5 5 Charges (2) (2) Securities lending revenue 3 3 Charges as a % of gross securities lending revenue 40.0 40.0

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

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

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

Annual Financial Statements - December 31, 2020 – 63 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Other Price Risk As at December 31, 2020 and 2019, the Fund did not invest in equities and therefore was not subject to other price risk. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Currency Risk The table below summarizes the Fund’s exposure to concentration risk. As at December 31, 2020 and 2019, the Fund’s investments were mostly denominated in Canadian dollars, the functional currency of the Fund. As a result, the Fund did not have a significant exposure as at December 31, 2019 to currency risk. Categories Net Assets (%) Utilities 19.33 Industrials 18.87 Interest Rate Risk Materials 16.37 The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual Real Estate 15.29 maturity date. Financials 14.30 Energy 8.13 as at December 31, 2020 Consumer Staples 3.80 Greater Other Net Assets (Liabilities) 3.24 Less than 1 - 3 3 - 5 than Health Care 0.32 1 Year Years Years 5 Years Total Total unrealized gain on forward foreign currency contract(s) 0.23 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Corporate Bonds 0.12 Interest Rate Exposure 971 23,278 23,644 6,614 54,507 Equities 0.00 Total 100.00 as at December 31, 2019 Greater Credit Risk Less than 1 - 3 3 - 5 than The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, 1 Year Years Years 5 Years Total with the following credit ratings, as per the table below. (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 3,910 10,926 29,790 12,900 57,526 as at December 31, 2020 Credit Rating^* Net Assets (%) As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% AA/Aa/A+ 0.2 (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders BBB/Baa/B++ 5.6 of redeemable units of the Fund would have decreased or increased, respectively, by approximately BB/Ba/B+ 12.4 $429,000 (December 31, 2019 - $498,000). In practice, actual results may differ from this analysis and B 1.6 the difference may be material. Not Rated 76.6 Total 96.4 Fair Value Hierarchy

The Fund was invested in fixed income securities, with the following credit ratings, as per the table below. The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value. as at December 31, 2019 Credit Rating^* Net Assets (%) Long Positions at fair value as at December 31, 2020 BBB/Baa/B++ 30.5 Level 1 Level 2 Level 3 Total BB/Ba/B+ 6.6 (in $000’s) (in $000’s) (in $000’s) (in $000’s) B 1.8 Bonds - - 72 72 Not Rated 57.7 Convertible debentures - 54,435 - 54,435 Total 96.5 Derivatives, net - 99 - 99 Total - 54,534 72 54,606 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference.

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

Annual Financial Statements - December 31, 2020 – 64 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - - 74 74 Convertible debentures - 57,259 193 57,452 Derivatives, net - 136 - 136 Total - 57,395 267 57,662

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

*Change in unrealized gain (loss) related to investments held at December 31, 2020 was $19,000. for the year ended December 31, 2019 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2018 Purchases Sales In (Out) (Loss) (Loss)** Dec. 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Long Positions/Assets: Bonds 155 - (75) - - - (6) 74 Convertible debentures 203 - - - - - (10) 193 Total 358 - (75) - - - (16) 267

**Change in unrealized gain (loss) related to investments held at December 31, 2019 was ($15,822).

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

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

Annual Financial Statements - December 31, 2020 – 65 – CI First Asset Canadian REIT ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 569,088 627,453 16.47 18.65 34,546,068 33,646,068 Current assets Investments 520,733 579,835 Investments pledged as collateral - - Cash 45,845 44,999 Unrealized gain on futures and foreign currency forward contracts 1,195 1,004 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - 2 Cash collateral on deposit for short sale - - Dividends receivable 1,976 1,951 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - 189 569,749 627,980 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 124 - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 364 397 Accounts payable and accrued liabilities 173 130 661 527 Net assets attributable to holders of redeemable units 569,088 627,453

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

Annual Financial Statements - December 31, 2020 – 66 – CIG - 580530167 CI First Asset Canadian REIT ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (54,236) 92,662 (1.53) 3.26 35,525,713 28,422,232 Net gain (loss) on investments and derivatives Dividends 13,520 10,724 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 4,114 21,748 Change in unrealized appreciation (depreciation) in value of investments and derivatives (67,232) 64,934 Total net gain (loss) on investments and derivatives (49,598) 97,406 Other income Foreign exchange gain (loss) on cash 570 (270) Securities lending revenue (Note 6) 90 94 Fees rebate 10 199 Miscellaneous foreign income - 127 Other income - - Total other income 670 150 Total income (48,928) 97,556 Expenses Custody fees 46 52 Unitholders reporting costs 134 134 Management fees (Note 5) 4,301 3,857 Audit fees 5 4 Legal fees - 16 Independent review committee fees 4 8 Commissions and other portfolio transaction costs 152 198 Securities borrowing fees (Note 2) - - Interest expense - 7 Withholding taxes 212 233 Harmonized sales tax 454 385 Other expenses - - Total expenses 5,308 4,894 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (54,236) 92,662

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

Annual Financial Statements - December 31, 2020 – 67 – CI First Asset Canadian REIT ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 627,453 344,920 Increase (decrease) in net assets attributable to holders of redeemable units (54,236) 92,662 Distributions to holders of redeemable units From net investment income (8,746) (6,012) From net realized gains (6,152) (15,255) Return of capital (13,899) (2,137) Total distributions to holders of redeemable units (28,797) (23,404)

Redeemable unit transactions Proceeds from redeemable units issued 106,025 259,365 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (81,357) (46,090) Net increase (decrease) from redeemable unit transactions 24,668 213,275 Net increase (decrease) in net assets attributable to holders of redeemable units (58,365) 282,533 Net assets attributable to holders of redeemable units at the end of year 569,088 627,453

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

Annual Financial Statements - December 31, 2020 – 68 – CI First Asset Canadian REIT ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (54,236) 92,662 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (4,114) (21,748) Unrealized foreign exchange (gain) loss on cash (293) 319 Commissions and other portfolio transaction costs 152 136 Change in unrealized (appreciation) depreciation in value of investments and derivatives 67,232 (64,934) Proceeds from sale and maturity of investments and derivatives 64,058 95,021 Purchase of investments and derivatives (46,014) (70,923) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (25) (485) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (34) 173 Amortization interest earned - - Change in other accounts receivable and payable 46 10 Net cash from (used in) operating activities 26,772 30,231

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (28,797) (23,424) Proceeds from issuance of redeemable units 11,284 24,423 Amounts paid on redemption of redeemable units (8,706) (3,920) Net cash from (used in) financing activities (26,219) (2,921)

Unrealized foreign exchange gain (loss) on cash 293 (319) Net increase (decrease) in cash 553 27,310 Cash (bank overdraft), beginning of year 44,999 18,008 Cash (bank overdraft), end of year 45,845 44,999

Supplementary Information: Dividends received, net of withholding tax* 13,283 10,006 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (7) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 69 – CI First Asset Canadian REIT ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Financials 175,283 Brookfield Asset Management Inc., Class ‘A’ 6,792,964 9,223,391 1.62

Health Care 1,457,916 Chartwell Retirement Residences 18,171,389 16,314,080 601,648 Sienna Senior Living Inc. 10,266,404 8,507,303 28,437,793 24,821,383 4.36

Real Estate 524,745 Allied Properties REIT 21,073,366 19,851,103 USD 168,803 Americold Realty Trust 7,151,342 8,021,072 528,096 Artis REIT 5,637,684 5,629,503 569,137 Canadian Apartment Properties REIT 22,453,204 28,451,159 1,627,286 Choice Properties REIT 21,137,170 21,170,991 1,578,363 Crombie REIT 22,439,947 22,649,509 985,638 CT REIT 13,505,061 15,444,948 USD 3 Cushman & Wakefield PLC 59 57 2,239,322 Dream Industrial REIT 21,997,645 29,447,084 360,630 Dream Office REIT 8,073,018 7,140,474 USD 8,181 Equinix Inc. 7,659,172 7,437,181 3,503,804 European Residential REIT 14,902,939 14,610,863 1,194,761 First Capital REIT 23,842,562 16,189,012 USD 497,366 Flagship Communities REIT 9,983,479 9,344,514 335,319 Granite REIT 19,565,947 26,121,350 1,091,078 H&R REIT 22,146,221 14,500,427 638,813 Inovalis REIT 5,385,496 5,704,600 1,909,709 InterRent REIT 19,891,009 26,143,916 USD 466,423 Invesque Inc. 5,687,467 1,068,678 1,400,537 Killam Apartment REIT 21,112,142 23,963,188 1,189,410 Minto Apartment REIT 23,271,287 24,228,282 40,081 Morguard Corp. 6,750,936 4,627,351 1,406,578 Morguard North American Residential REIT 20,096,839 22,434,919 2,529,113 Nexus REIT 4,500,364 4,881,188 518,998 NorthWest Healthcare Properties REIT 5,999,477 6,539,375 USD 54,062 Prologis Inc. 5,274,998 6,858,155 948,035 RioCan REIT 23,507,234 15,879,586 267,489 SmartCentres REIT 8,059,618 6,173,646 3,042,825 StorageVault Canada Inc. 7,736,074 12,293,013 1,859,735 Summit Industrial Income REIT 19,336,991 25,385,383 USD 33,419 Sun Communities Inc. 6,128,474 6,463,808 2,387,845 Tricon Residential Inc. 23,107,036 27,293,068 USD 1,128,216 WPT Industrial REIT 17,163,411 20,741,250 464,577,669 486,688,653 85.52 Total Equities 499,808,426 520,733,427 91.50 Adjustment for transaction costs (422,400) Total Investments 499,386,026 520,733,427 91.50 Total unrealized gain on forward foreign currency contract(s) 1,195,246 0.21 Total unrealized loss on forward foreign currency contract(s) (123,986) (0.02) Other Net Assets (Liabilities) 47,282,932 8.31 Net Assets Attributable to Holders of Redeemable Units 569,087,619 100.00

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

Annual Financial Statements - December 31, 2020 – 70 – CI First Asset Canadian REIT ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Bank of Montreal A-1 January 21, 2021 CAD 2,094,405 USD 1,594,886 1.31 64,410 Bank of Montreal A-1 February 18, 2021 USD 1,669,000 CAD 2,170,787 0.77 (46,630) Bank of Montreal A-1 March 15, 2021 CAD 9,967,062 USD 7,747,064 1.29 107,715 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 2,930,046 USD 2,232,841 1.31 88,053 Canadian Imperial Bank of Commerce A-1 January 21, 2021 USD 1,452,000 CAD 1,925,483 0.75 (77,356) Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 516,213 USD 393,049 1.31 15,975 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 603,439 USD 466,312 1.29 9,959 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 6,332,772 USD 4,895,823 1.29 102,073 Citibank N.A., New York A-1 January 21, 2021 CAD 2,526,130 USD 1,913,866 1.32 90,134 Citibank N.A., New York A-1 February 18, 2021 CAD 683,759 USD 524,138 1.30 16,682 HSBC Bank, Toronto A-1 February 18, 2021 CAD 430,242 USD 327,541 1.31 13,376 HSBC Bank, Toronto A-1 March 15, 2021 CAD 10,126,873 USD 7,833,317 1.29 157,756 HSBC Bank, Toronto A-1 March 15, 2021 CAD 2,619,550 USD 2,056,000 1.27 2,969 JPMorgan Chase Bank, New York A-1 January 21, 2021 CAD 2,931,388 USD 2,232,843 1.31 89,393 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 437,214 USD 337,173 1.30 8,090 Morgan Stanley & Co. International PLC A-1 January 21, 2021 CAD 2,510,887 USD 1,913,866 1.31 74,890 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 593,744 USD 458,620 1.29 10,052 Royal Bank of Canada A-1+ January 21, 2021 CAD 2,598,854 USD 1,964,777 1.32 98,057 Royal Bank of Canada A-1+ February 18, 2021 CAD 4,013,901 USD 3,068,000 1.31 109,221 Royal Bank of Canada A-1+ February 18, 2021 CAD 593,446 USD 458,496 1.29 9,913 Toronto-Dominion Bank (The) A-1+ February 18, 2021 CAD 257,770 USD 196,525 1.31 7,650 Toronto-Dominion Bank (The) A-1+ March 15, 2021 CAD 8,841,856 USD 6,854,152 1.29 118,878 1,071,260

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 71 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,195 (124) - 1,071 Derivative assets - Swaps and swaptions - - - - Total 1,195 (124) - 1,071 Derivative liabilities - Foreign currency forward contracts (124) 124 - - Derivative liabilities - Swaps and swaptions - - - - Total (124) 124 - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,004 - - 1,004 Derivative assets - Swaps and swaptions - - - - Total 1,004 - - 1,004 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 72 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 106 136 Soft dollar commissions† 33 27

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 33,646,068 21,746,068 Redeemable units issued for cash 6,250,000 14,400,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (5,350,000) (2,500,000) Number of redeemable units at the end of year 34,546,068 33,646,068

Annual Financial Statements - December 31, 2020 – 73 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.750

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

2020 2019 Loaned 140,950 228,493 Collateral (non-cash) 148,018 240,304

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

2020 2019 Gross securities lending revenue 151 156 Charges (61) (62) Securities lending revenue 90 94 Charges as a % of gross securities lending revenue 40.3 40.0

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

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

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

Annual Financial Statements - December 31, 2020 – 74 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk (cont’d)

Credit Risk Interest Rate Risk As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as was insignificant. substantially all of its assets were invested in equities and derivatives.

Other Price Risk Fair Value Hierarchy As at December 31, 2020 and 2019, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada. The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and As at December 31, 2020, had the fair value of equities in the investment portfolio increased or derivatives carried at fair value. decreased by 10%, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately Long Positions at fair value as at December 31, 2020 $52,073,000. In practice, actual results may differ from this analysis and the difference may be material. Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) The table below indicates how net assets attributable to holders of redeemable units would have Equities 520,734 - - 520,734 increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Derivatives, net - 1,071 - 1,071 change is estimated based on the historical correlation between the return of the Fund’s securities as Total 520,734 1,071 - 521,805 compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on net assets attributable to holders of redeemable units could be different. Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total Impact on Net Assets Attributable to Holders of Redeemable Units (in $000’s) (in $000’s) (in $000’s) (in $000’s) as at December 31, 2019 Equities 579,835 - - 579,835 Benchmark ($) Derivatives, net - 1,004 - 1,004 S&P/TSX Capped REIT Total Return Index 57,640,426 Total 579,835 1,004 - 580,839

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. Currency Risk The tables below summarize the Fund’s exposure to currency risk. as at December 31, 2020~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 68,664 (56,442) 12,222 2.1 Total 68,664 (56,442) 12,222 2.1

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

Annual Financial Statements - December 31, 2020 – 75 – CI First Asset CanBanc Income Class ETF Financial Statements

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

Net assets attributable to Net assets attributable holders of redeemable shares to holders of redeemable Number of redeemable per Series (Note 4): shares per share: shares outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets ETF Shares 156,949 150,808 10.38 11.36 15,121,193 13,271,193 Current assets Investments 156,551 150,140 Investments pledged as collateral - - Cash 278 300 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 603 585 Interest receivable - - Receivable for investments sold - - Receivable for share subscriptions - 3 157,432 151,028 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options 300 63 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for share redemptions - - Dividends payable to holders of redeemable shares - - Management fees payable 87 85 Accounts payable and accrued liabilities 96 72 483 220 Net assets attributable to holders of redeemable shares 156,949 150,808

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

Annual Financial Statements - December 31, 2020 – 76 – CIG - 580530337 CI First Asset CanBanc Income Class ETF Financial Statements

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

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average shares per Series: shares per share: number of shares: 2020 2019 2020 2019 2020 2019 2020 2019 Income ETF Shares 6,136 19,460 0.41 1.45 15,005,619 13,396,125 Net gain (loss) on investments and derivatives Dividends 7,199 6,292 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (1,237) (1,558) Change in unrealized appreciation (depreciation) in value of investments and derivatives 1,482 16,054 Total net gain (loss) on investments and derivatives 7,444 20,788 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 4 - Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 4 - Total income 7,448 20,788 Expenses Custody fees 29 29 Securityholder reporting costs 59 64 Management fees (Note 5) 945 994 Audit fees 5 4 Legal fees - 5 Independent review committee fees 1 2 Commissions and other portfolio transaction costs 152 111 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 111 116 Directors’ fees 10 3 Other expenses - - Total expenses 1,312 1,328 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable shares 6,136 19,460

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

Annual Financial Statements - December 31, 2020 – 77 – CI First Asset CanBanc Income Class ETF Financial Statements

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

ETF Shares 2020 2019 Net assets attributable to holders of redeemable shares at the beginning of year 150,808 139,488 Increase (decrease) in net assets attributable to holders of redeemable shares 6,136 19,460 Dividends to holders of redeemable shares From net investment income (8,590) (7,316) From net realized gains - - Return of capital (6,559) (2,079) Total dividends to holders of redeemable shares (15,149) (9,395)

Redeemable share transactions Proceeds from redeemable shares issued 36,520 9,725 Reinvestment of dividends to holders of redeemable shares - - Redemption of redeemable shares (21,366) (8,470) Net increase (decrease) from redeemable share transactions 15,154 1,255 Net increase (decrease) in net assets attributable to holders of redeemable shares 6,141 11,320 Net assets attributable to holders of redeemable shares at the end of year 156,949 150,808

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

Annual Financial Statements - December 31, 2020 – 78 – CI First Asset CanBanc Income Class ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable shares 6,136 19,460 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 1,237 1,558 Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 152 102 Change in unrealized (appreciation) depreciation in value of investments and derivatives (1,482) (16,054) Proceeds from sale and maturity of investments and derivatives 62,410 14,489 Purchase of investments and derivatives (53,574) (10,388) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (17) 219 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 3 7 Amortization interest earned - - Change in other accounts receivable and payable 23 (27) Net cash from (used in) operating activities 14,888 9,366

Cash flows from (used in) financing activities Dividends paid to holders of redeemable shares, net of reinvested dividends (15,149) (9,395) Proceeds from issuance of redeemable shares 253 40 Amounts paid on redemption of redeemable shares (14) (49) Net cash from (used in) financing activities (14,910) (9,404)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (22) (38) Cash (bank overdraft), beginning of year 300 338 Cash (bank overdraft), end of year 278 300

Supplementary Information: Dividends received, net of withholding tax* 7,182 6,511 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 79 – CI First Asset CanBanc Income Class ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES 270,722 Bank of Montreal 22,458,336 26,200,475 383,853 Bank of Nova Scotia 24,440,275 26,409,086 233,969 Canadian Imperial Bank of Commerce 24,261,256 25,437,110 364,709 National Bank of Canada 19,756,198 26,127,753 250,443 Royal Bank of Canada 21,823,671 26,193,833 364,050 Toronto-Dominion Bank (The) 22,881,364 26,182,476 Total Equities 135,621,100 156,550,733 99.75 Adjustment for transaction costs (131,236) Total Investments 135,489,864 156,550,733 99.75 Total option contract(s) (300,354) (0.19) Other Net Assets (Liabilities) 698,418 0.44 Net Assets Attributable to Holders of Redeemable Shares 156,948,797 100.00

Option Contract(s)

Number of Strike Price Proceeds Fair Value Contract(s) Underlying Security (100 shares per contract) ($) Expiry Date ($) ($) (679) Bank of Montreal 97.00 January 16, 2021 (104,227) (69,258) (962) Bank of Nova Scotia 68.00 January 16, 2021 (88,504) (73,112) (586) Canadian Imperial Bank of Commerce 115.00 January 16, 2021 (15,822) (4,395) (914) National Bank of Canada 72.00 January 16, 2021 (76,776) (56,211) (628) Royal Bank of Canada 105.00 January 16, 2021 (81,954) (59,032) (913) Toronto-Dominion Bank (The) 72.00 January 16, 2021 (88,561) (38,346) Total Option Contract(s) (455,844) (300,354)

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

Annual Financial Statements - December 31, 2020 – 80 – CI First Asset CanBanc Income Class ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 140 102 Soft dollar commissions† 8 -

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

ETF Shares 2020 2019 Number of redeemable shares at the beginning of year 13,271,193 13,171,193 Redeemable shares issued for cash 4,000,000 850,000 Redeemable shares issued for reinvested dividends - - Redeemable shares redeemed (2,150,000) (750,000) Number of redeemable shares at the end of year 15,121,193 13,271,193

Annual Financial Statements - December 31, 2020 – 81 – CI First Asset CanBanc Income Class ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: ETF Shares 0.650

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

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

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

2020 2019 Gross securities lending revenue 6 - Charges (2) - Securities lending revenue 4 - Charges as a % of gross securities lending revenue 40.0 -

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

Annual Financial Statements - December 31, 2020 – 82 – CI First Asset CanBanc Income Class ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Fair Value Hierarchy

Concentration Risk The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. derivatives carried at fair value.

The table below summarizes the Fund’s exposure to concentration risk. Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total as at December 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Categories Net Assets (%) Equities 156,550 - - 156,550 Equities 99.56 Total 156,550 - - 156,550 Other Net Assets (Liabilities) 0.48 Total call option position(s) (0.04) Total 100.00 Short Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Credit Risk Option contract(s) (300) - - (300) As at December 31, 2020 and 2019, the Fund did not have a significant exposure to credit risk as Total (300) - - (300) substantially all of its assets were invested in equities.

Long Positions at fair value as at December 31, 2019 Other Price Risk Level 1 Level 2 Level 3 Total As at December 31, 2020 and 2019, the Fund was predominantly invested in Canadian equities and (in $000’s) (in $000’s) (in $000’s) (in $000’s) therefore was sensitive to changes in general economic conditions in Canada. Equities 150,140 - - 150,140 Total 150,140 - - 150,140 As at December 31, 2020, had the fair value of equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of redeemable shares of the Fund would have increased or decreased, respectively, by approximately Short Positions at fair value as at December 31, 2019 $15,655,000. In practice, actual results may differ from this analysis and the difference may be material. Level 1 Level 2 Level 3 Total The table below indicates how net assets attributable to holders of redeemable shares would have (in $000’s) (in $000’s) (in $000’s) (in $000’s) increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Option contract(s) (63) - - (63) change is estimated based on the historical correlation between the return of the Fund’s securities as Total (63) - - (63) compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. net assets attributable to holders of redeemable shares could be different.

Impact on Net Assets Attributable to Holders of Redeemable Shares as at December 31, 2019 Benchmark ($) S&P/TSX Equal Weight Diversified Banks Total Return Index 13,947,280

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

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

Annual Financial Statements - December 31, 2020 – 83 – CI First Asset Core Canadian Equity Income Class ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable shares to holders of redeemable Number of redeemable per Series (Note 4): shares per share: shares outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets ETF Shares 13,279 14,789 20.52 21.22 646,954 696,954 Current assets Investments 13,280 14,789 Investments pledged as collateral - - Cash 36 27 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for investments sold - - Receivable for share subscriptions - - 13,316 14,816 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for share redemptions - - Dividends payable to holders of redeemable shares - - Management fees payable 2 2 Accounts payable and accrued liabilities 35 25 37 27 Net assets attributable to holders of redeemable shares 13,279 14,789

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

Annual Financial Statements - December 31, 2020 – 84 – CIG - 580530347 CI First Asset Core Canadian Equity Income Class ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average shares per Series: shares per share: number of shares: 2020 2019 2020 2019 2020 2019 2020 2019 Income ETF Shares 8 3,079 0.01 3.89 656,653 790,927 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes - - Income distributions from investments 309 329 Capital gain distributions from investments 29 120 Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (86) 651 Change in unrealized appreciation (depreciation) in value of investments and derivatives (155) 2,074 Total net gain (loss) on investments and derivatives 97 3,174 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 1 1 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 1 1 Total income 98 3,175 Expenses Custody fees 18 20 Securityholder reporting costs 32 27 Management fees (Note 5) 19 24 Audit fees 5 4 Legal fees - 1 Independent review committee fees - - Commissions and other portfolio transaction costs 7 11 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 8 9 Directors’ fees 1 - Other expenses - - Total expenses 90 96 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable shares 8 3,079

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

Annual Financial Statements - December 31, 2020 – 85 – CI First Asset Core Canadian Equity Income Class ETF Financial Statements

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

ETF Shares 2020 2019 Net assets attributable to holders of redeemable shares at the beginning of year 14,789 15,641 Increase (decrease) in net assets attributable to holders of redeemable shares 8 3,079 Dividends to holders of redeemable shares From net investment income (388) (230) From net realized gains - - Return of capital (235) (568) Total dividends to holders of redeemable shares (623) (798)

Redeemable share transactions Proceeds from redeemable shares issued - - Reinvestment of dividends to holders of redeemable shares - - Redemption of redeemable shares (895) (3,133) Net increase (decrease) from redeemable share transactions (895) (3,133) Net increase (decrease) in net assets attributable to holders of redeemable shares (1,510) (852) Net assets attributable to holders of redeemable shares at the end of year 13,279 14,789

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

Annual Financial Statements - December 31, 2020 – 86 – CI First Asset Core Canadian Equity Income Class ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable shares 8 3,079 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 86 (651) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 7 10 Change in unrealized (appreciation) depreciation in value of investments and derivatives 155 (2,074) Proceeds from sale and maturity of investments and derivatives 4,321 7,044 Purchase of investments and derivatives (3,955) (6,583) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable - - Amortization interest earned - - Change in other accounts receivable and payable 9 (23) Net cash from (used in) operating activities 631 802

Cash flows from (used in) financing activities Dividends paid to holders of redeemable shares, net of reinvested dividends (623) (798) Proceeds from issuance of redeemable shares - - Amounts paid on redemption of redeemable shares 1 8 Net cash from (used in) financing activities (622) (790)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 9 12 Cash (bank overdraft), beginning of year 27 15 Cash (bank overdraft), end of year 36 27

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

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

Annual Financial Statements - December 31, 2020 – 87 – CI First Asset Core Canadian Equity Income Class ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

UNDERLYING FUND(S) 67,963 CI First Asset Active Canadian Dividend ETF 651,821 693,223 40,015 CI First Asset Canadian REIT ETF 634,179 659,447 260,105 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 2,578,765 2,702,491 151,922 CI First Asset Morningstar Canada Momentum Index ETF 2,722,611 3,129,594 209,919 CI First Asset Morningstar Canada Value Index ETF 2,907,847 3,369,200 173,782 CI First Asset MSCI Canada Low Risk Weighted ETF 1,981,503 2,034,987 33,164 CI First Asset Preferred Share ETF 669,415 691,469 Total Underlying Fund(s) 12,146,141 13,280,411 100.01 Adjustment for transaction costs (8,406) Total Investments 12,137,735 13,280,411 100.01 Other Net Assets (Liabilities) (1,761) (0.01) Net Assets Attributable to Holders of Redeemable Shares 13,278,650 100.00

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

Annual Financial Statements - December 31, 2020 – 88 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

Interest in Unconsolidated Structured Entities (Note 2)

The following tables present the Fund’s interest in Unconsolidated Structured Entities. as at December 31, 2020 Fair Value of Fair Value of the Fund’s Investment Ownership in the the Underlying Fund(s) / ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) CI First Asset MSCI Canada Low Risk Weighted ETF 4,743 2,035 42.9 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 10,662 2,703 25.3 CI First Asset Morningstar Canada Value Index ETF 75,421 3,369 4.5 CI First Asset Active Canadian Dividend ETF 17,354 693 4.0 CI First Asset Preferred Share ETF 77,967 691 0.9 CI First Asset Morningstar Canada Momentum Index ETF 819,364 3,130 0.4 CI First Asset Canadian REIT ETF 569,088 659 0.1 as at December 31, 2019 Fair Value of Fair Value of the Fund’s Investment Ownership in the the Underlying Fund(s) / ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) CI First Asset MSCI Canada Low Risk Weighted ETF 6,358 2,789 43.9 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 12,780 3,441 26.9 CI First Asset Morningstar Canada Value Index ETF 80,096 3,203 4.0 CI First Asset Active Canadian Dividend ETF 35,596 1,168 3.3 CI First Asset Preferred Share ETF 88,143 735 0.8 CI First Asset Morningstar Canada Momentum Index ETF 897,877 2,272 0.3 CI First Asset Canadian REIT ETF 627,452 1,181 0.2

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

Annual Financial Statements - December 31, 2020 – 89 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 6 10 Soft dollar commissions† - -

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

ETF Shares 2020 2019 Number of redeemable shares at the beginning of year 696,954 846,954 Redeemable shares issued for cash - - Redeemable shares issued for reinvested dividends - - Redeemable shares redeemed (50,000) (150,000) Number of redeemable shares at the end of year 646,954 696,954

Annual Financial Statements - December 31, 2020 – 90 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: ETF Shares 0.150

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

2020 2019 Loaned - 9 Collateral (non-cash) - 10

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

2020 2019 Gross securities lending revenue 1 1 Charges - - Securities lending revenue 1 1 Charges as a % of gross securities lending revenue 40.0 40.0

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

Investments 2020 CI First Asset Morningstar Canada Value Index ETF 3,369 CI First Asset Morningstar Canada Momentum Index ETF 3,130 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 2,703 CI First Asset MSCI Canada Low Risk Weighted ETF 2,035 CI First Asset Active Canadian Dividend ETF 693 CI First Asset Preferred Share ETF 691 CI First Asset Canadian REIT ETF 659

Investments 2019 CI First Asset Active Canadian Dividend ETF 1,168 CI First Asset Canadian REIT ETF 1,181 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 3,441 CI First Asset Morningstar Canada Momentum Index ETF 2,272 CI First Asset Morningstar Canada Value Index ETF 3,203 CI First Asset MSCI Canada Low Risk Weighted ETF 2,789 CI First Asset Preferred Share ETF 735

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

Annual Financial Statements - December 31, 2020 – 91 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Fair Value Hierarchy

Concentration Risk The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and The tables below summarize the Fund’s exposure to concentration risk. derivatives carried at fair value. as at December 31, 2020 Long Positions at fair value as at December 31, 2020 Categories Net Assets (%) Level 1 Level 2 Level 3 Total CI First Asset Morningstar Canada Value Index ETF 25.30 (in $000’s) (in $000’s) (in $000’s) (in $000’s) CI First Asset Morningstar Canada Momentum Index ETF 23.60 Underlying Fund(s) 13,280 - - 13,280 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 20.40 Total 13,280 - - 13,280 CI First Asset MSCI Canada Low Risk Weighted ETF 15.30 CI First Asset Active Canadian Dividend ETF 5.20 CI First Asset Preferred Share ETF 5.20 Long Positions at fair value as at December 31, 2019 CI First Asset Canadian REIT ETF 5.00 Level 1 Level 2 Level 3 Total Total 100.00 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Underlying Fund(s) 14,789 - - 14,789 Total 14,789 - - 14,789 as at December 31, 2019 Categories Net Assets (%) There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. CI First Asset Morningstar Canada Dividend Target 30 Index ETF 23.20 CI First Asset Morningstar Canada Value Index ETF 21.60 CI First Asset MSCI Canada Low Risk Weighted ETF 18.90 CI First Asset Morningstar Canada Momentum Index ETF 15.40 CI First Asset Canadian REIT ETF 8.00 CI First Asset Active Canadian Dividend ETF 7.90 CI First Asset Preferred Share ETF 5.00 Other Net Assets (Liabilities) (0.00) Total 100.00

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

As at December 31, 2020, had the fair value of the Underlying Funds increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of redeemable shares of the Fund would have increased or decreased, respectively, by approximately $1,328,000. In practice, actual results may differ from this analysis and the difference may be material.

The table below indicates how net assets attributable to holders of redeemable shares would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This change is estimated based on the historical correlation between the return of the Fund’s securities as compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on net assets attributable to holders of redeemable shares could be different.

Impact on Net Assets Attributable to Holders of Redeemable Shares as at December 31, 2019 Benchmark ($) S&P/TSX Composite Total Return Index 1,363,692

Refer to Note 10 for discussion of other financial risks.

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

Annual Financial Statements - December 31, 2020 – 92 – CI First Asset Energy Giants Covered Call ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 110,026 29,106 3.81 6.65 28,877,939 4,377,939 Current assets Unhedged Investments 300,636 49,455 Common Units 190,694 20,709 4.40 7.47 43,372,693 2,772,693 Investments pledged as collateral - - Cash 367 96 Unrealized gain on futures and foreign currency forward contracts 421 344 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 113 - Cash collateral on deposit for short sale - - Dividends receivable 408 206 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - 3 301,945 50,104 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 39 - Swaps, swaptions and options 904 248 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions 1 - Distributions payable to holders of redeemable units - - Management fees payable 146 27 Accounts payable and accrued liabilities 135 14 1,225 289 Net assets attributable to holders of redeemable units 300,720 49,815

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

Annual Financial Statements - December 31, 2020 – 93 – CIG - 580530317 CI First Asset Energy Giants Covered Call ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (11,216) 1,295 (1.14) 0.37 9,844,606 3,503,418 Net gain (loss) on investments and derivatives Unhedged Dividends 2,770 2,033 Common Units (8,140) 424 (1.39) 0.16 5,838,267 2,708,035 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (11,673) (122) Change in unrealized appreciation (depreciation) in value of investments and derivatives (9,464) 486 Total net gain (loss) on investments and derivatives (18,367) 2,397 Other income Foreign exchange gain (loss) on cash (12) 1 Securities lending revenue (Note 6) 8 2 Fees rebate 131 1 Miscellaneous foreign income - - Other income - - Total other income 127 4 Total income (18,240) 2,401 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 434 293 Audit fees - - Legal fees - - Independent review committee fees - 1 Commissions and other portfolio transaction costs 208 88 Securities borrowing fees (Note 2) - - Interest expense 1 12 Withholding taxes 446 263 Harmonized sales tax 27 25 Other expenses - - Total expenses 1,116 682 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (19,356) 1,719

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

Annual Financial Statements - December 31, 2020 – 94 – CI First Asset Energy Giants Covered Call ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 29,106 18,313 20,709 19,246 49,815 37,559 Increase (decrease) in net assets attributable to holders of redeemable units (11,216) 1,295 (8,140) 424 (19,356) 1,719 Distributions to holders of redeemable units From net investment income (758) (780) (982) (563) (1,740) (1,343) From net realized gains - (599) - (582) - (1,181) Return of capital (4,099) (491) (2,837) (308) (6,936) (799) Total distributions to holders of redeemable units (4,857) (1,870) (3,819) (1,453) (8,676) (3,323)

Redeemable unit transactions Proceeds from redeemable units issued 99,689 13,899 187,458 4,417 287,147 18,316 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (2,696) (2,531) (5,514) (1,925) (8,210) (4,456) Net increase (decrease) from redeemable unit transactions 96,993 11,368 181,944 2,492 278,937 13,860 Net increase (decrease) in net assets attributable to holders of redeemable units 80,920 10,793 169,985 1,463 250,905 12,256 Net assets attributable to holders of redeemable units at the end of year 110,026 29,106 190,694 20,709 300,720 49,815

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

Annual Financial Statements - December 31, 2020 – 95 – CI First Asset Energy Giants Covered Call ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (19,356) 1,719 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 11,673 122 Unrealized foreign exchange (gain) loss on cash (2) 6 Commissions and other portfolio transaction costs 208 61 Change in unrealized (appreciation) depreciation in value of investments and derivatives 9,464 (486) Proceeds from sale and maturity of investments and derivatives 48,036 26,757 Purchase of investments and derivatives (40,811) (24,901) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (202) (87) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 120 5 Amortization interest earned - - Change in other accounts receivable and payable 8 6 Net cash from (used in) operating activities 9,138 3,202

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (8,675) (3,323) Proceeds from issuance of redeemable units 207 208 Amounts paid on redemption of redeemable units (401) (78) Net cash from (used in) financing activities (8,869) (3,193)

Unrealized foreign exchange gain (loss) on cash 2 (6) Net increase (decrease) in cash 269 9 Cash (bank overdraft), beginning of year 96 93 Cash (bank overdraft), end of year 367 96

Supplementary Information: Dividends received, net of withholding tax* 2,122 1,683 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (12) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 96 – CI First Asset Energy Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Energy USD 741,695 BP PLC, ADR 21,652,563 19,373,005 USD 185,827 Chevron Corp. 21,666,807 19,975,734 USD 362,904 China Petroleum and Chemical Corp. (Sinopec), ADR 21,986,296 20,602,546 USD 176,311 CNOOC Ltd., ADR 23,922,386 20,568,668 USD 393,857 ConocoPhillips 21,629,784 20,048,610 USD 1,173,315 Ecopetrol SA, ADR 19,892,675 19,281,249 USD 770,894 Eni SPA, ADR 20,267,702 20,214,182 USD 313,846 EOG Resources Inc. 21,231,989 19,922,794 USD 966,716 Equinor ASA, ADR 20,693,922 20,205,349 USD 375,995 Exxon Mobil Corp. 20,391,765 19,728,058 USD 523,194 PetroChina Co. Ltd., ADR 22,768,222 20,458,710 USD 1,433,012 Petroleo Brasileiro SA, ADR 18,747,181 20,484,429 USD 142,877 Pioneer Natural Resources Co. 19,235,250 20,712,962 USD 432,394 Royal Dutch Shell PLC, ADR, Class ‘A’ 20,651,143 19,340,857 USD 369,623 Total SE, ADR 20,966,280 19,718,367 315,703,965 300,635,520 99.97 Total Equities 315,703,965 300,635,520 99.97 Adjustment for transaction costs (451,727) Total Investments 315,252,238 300,635,520 99.97 Total option contract(s) (904,313) (0.30) Total unrealized gain on forward foreign currency contract(s) 420,721 0.14 Total unrealized loss on forward foreign currency contract(s) (39,469) (0.01) Other Net Assets (Liabilities) 607,943 0.20 Net Assets Attributable to Holders of Redeemable Units 300,720,402 100.00

Option Contract(s)

Number of Strike Price Proceeds Fair Value Contract(s) Underlying Security (100 shares per contract) ($) Expiry Date ($) ($) (1,868) BP PLC, ADR 22.00 January 16, 2021 (193,489) (47,556) (468) Chevron Corp. 87.50 January 16, 2021 (187,919) (72,975) (914) China Petroleum and Chemical Corp. (Sinopec), ADR 45.00 January 16, 2021 (132,661) (101,800) (444) CNOOC Ltd., ADR 95.00 January 16, 2021 (122,072) (125,750) (992) ConocoPhillips 42.00 January 16, 2021 (204,236) (92,178) (2,955) Ecopetrol SA, ADR 15.00 January 16, 2021 (56,682) (18,807) (1,941) Eni SPA, ADR 22.50 January 16, 2021 (49,642) (12,353) (790) EOG Resources Inc. 52.50 January 16, 2021 (241,447) (94,526) (2,435) Equinor ASA, ADR 17.50 January 16, 2021 (96,528) (38,744) (947) Exxon Mobil Corp. 45.00 January 16, 2021 (111,412) (24,109) (3,609) Petroleo Brasileiro SA, ADR 12.00 January 16, 2021 (138,453) (62,018) (359) Pioneer Natural Resources Co. 115.00 January 16, 2021 (240,393) (175,934) (1,089) Royal Dutch Shell PLC, ADR, Class ‘A’ 40.00 January 16, 2021 (79,377) (13,862) (931) Total SE, ADR 45.00 January 16, 2021 (84,528) (23,701) Total Option Contract(s) (1,938,839) (904,313)

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

Annual Financial Statements - December 31, 2020 – 97 – CI First Asset Energy Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 113,203,706 USD 88,610,000 1.28 418,653 Royal Bank of Canada A-1+ January 19, 2021 USD 3,360,000 CAD 4,316,162 0.78 (39,469) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 2,967,751 USD 2,330,000 1.27 2,068 381,252

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 98 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 421 - - 421 Derivative assets - Swaps and swaptions - - - - Total 421 - - 421 Derivative liabilities - Foreign currency forward contracts (40) - - (40) Derivative liabilities - Swaps and swaptions - - - - Total (40) - - (40) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 344 - - 344 Derivative assets - Swaps and swaptions - - - - Total 344 - - 344 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 99 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 174 61 Soft dollar commissions† 11 1

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 4,377,939 2,727,939 2,772,693 2,472,693 Redeemable units issued for cash 25,200,000 2,050,000 41,650,000 550,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (700,000) (400,000) (1,050,000) (250,000) Number of redeemable units at the end of year 28,877,939 4,377,939 43,372,693 2,772,693

Annual Financial Statements - December 31, 2020 – 100 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.650 Unhedged Common Units 0.650

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

2020 2019 Loaned 26,205 83 Collateral (non-cash) 29,918 88

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

2020 2019 Gross securities lending revenue 14 4 Charges (6) (2) Securities lending revenue 8 2 Charges as a % of gross securities lending revenue 43.9 40.0

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

2020 Capital loss carried forward: 5,434 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 101 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

Concentration Risk Common Units For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2020~ The table below summarizes the Fund’s exposure to concentration risk. Financial Instruments Net Net Exposure Derivatives Exposure Assets as at December 31, 2019 Currency (in $000’s) (in $000’s) (in $000’s) (%) Categories Net Assets (%) U.S. Dollar 110,145 (111,805) (1,660) (1.5) U.S.A. 39.87 Total 110,145 (111,805) (1,660) (1.5) China 13.29 Hong Kong 6.79 Norway 6.64 as at December 31, 2019~ Brazil 6.61 Financial Instruments Net Net France 6.59 Exposure Derivatives Exposure Assets Netherlands 6.58 Currency (in $000’s) (in $000’s) (in $000’s) (%) U.K. 6.48 U.S. Dollar 29,018 (28,303) 715 2.5 Colombia 6.43 Total 29,018 (28,303) 715 2.5 Total unrealized gain on forward foreign currency contract(s) 0.69 Other Net Assets (Liabilities) 0.53 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Total call option position(s) (0.50) 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables Total 100.00 held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $166,000 (December 31, 2019 - $72,000). In practice, actual results may differ from this analysis and the difference may be material. Credit Risk As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments was insignificant. Unhedged Common Units

as at December 31, 2020~ Other Price Risk Financial Instruments Net Net As at December 31, 2020 and 2019, the Fund was predominantly invested in foreign equities and Exposure Derivatives Exposure Assets therefore was sensitive to changes in general economic conditions across the world. Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 190,901 (573) 190,328 99.8 As at December 31, 2020, had the fair value of equities in the investment portfolio increased or Total 190,901 (573) 190,328 99.8 decreased by 10%, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately $30,064,000. In practice, actual results may differ from this analysis and the difference may be material. as at December 31, 2019~

The table below indicates how net assets attributable to holders of redeemable units would have Financial Instruments Net Net increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Exposure Derivatives Exposure Assets change is estimated based on the historical correlation between the return of the Fund’s securities as Currency (in $000’s) (in $000’s) (in $000’s) (%) compared to the return of the benchmark(s), as at year end, with all other variables held constant. The U.S. Dollar 20,647 (103) 20,544 99.2 historical correlation may not be representative of the future correlation, and accordingly the impact on Total 20,647 (103) 20,544 99.2 net assets attributable to holders of redeemable units could be different. ~Includes monetary and non-monetary instruments, if any. Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2019 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Benchmark ($) 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units MSCI World Energy Total Return Index 4,421,611 would have decreased or increased, respectively, by approximately $19,033,000 (December 31, 2019 - $2,054,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Annual Financial Statements - December 31, 2020 – 102 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 100,388 200,248 - 300,636 Derivatives, net - 381 - 381 Total 100,388 200,629 - 301,017

Short Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Option contract(s) (904) - - (904) Total (904) - - (904)

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 19,857 29,598 - 49,455 Derivatives, net - 344 - 344 Total 19,857 29,942 - 49,799

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Option contract(s) (248) - - (248) Total (248) - - (248)

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

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

Annual Financial Statements - December 31, 2020 – 103 – CI First Asset Enhanced Government Bond ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 557,426 586,025 11.27 10.60 49,451,700 55,300,000 Current assets US$ Common Investments 502,262 667,972 Units 44,479 102,642 11.34* 10.68* 3,080,000 7,400,000 Investments pledged as collateral - - Cash 97,821 17,421 Unrealized gain on futures and foreign currency forward contracts 298 2,690 Swaps, swaptions and options - - Daily variation margin on derivative instruments 583 - Fees rebate receivable 112 105 Cash collateral on deposit for short sale 544 - Dividends receivable - - Interest receivable 1,305 2,253 Receivable for investments sold - 9,334 Receivable for unit subscriptions - 1,398 602,925 701,173 Liabilities Current liabilities Investments sold short 137 - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 331 1,059 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - 10,876 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 287 326 Accounts payable and accrued liabilities 265 245 1,020 12,506 Net assets attributable to holders of redeemable units 601,905 688,667

*Net assets attributable to holders of redeemable units per unit for US$ Common Units are presented in U.S. dollars. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2020 – 104 – CIG - 580530497 CI First Asset Enhanced Government Bond ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 41,424 20,205 0.81 0.52 51,103,899 38,994,658 Net gain (loss) on investments and derivatives US$ Common Dividends - - Units 6,449 (211) 1.03 (0.04) 6,273,579 4,723,288 Interest for distribution purposes 8,157 9,865 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - (69) Net realized gain (loss) on sale of investments and derivatives 28,128 26,428 Change in unrealized appreciation (depreciation) in value of investments and derivatives 10,673 (7,704) Total net gain (loss) on investments and derivatives 46,958 28,520 Other income Foreign exchange gain (loss) on cash 3,714 (6,634) Securities lending revenue (Note 6) 120 129 Fees rebate 1,258 1,024 Miscellaneous foreign income - - Other income - - Total other income 5,092 (5,481) Total income 52,050 23,039 Expenses Custody fees 67 58 Unitholders reporting costs 148 107 Management fees (Note 5) 3,664 2,631 Audit fees 5 4 Legal fees 1 14 Independent review committee fees 6 7 Commissions and other portfolio transaction costs 28 28 Securities borrowing fees (Note 2) - - Interest expense 2 - Withholding taxes 1 - Harmonized sales tax 255 196 Other expenses - - Total expenses 4,177 3,045 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 47,873 19,994

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

Annual Financial Statements - December 31, 2020 – 105 – CI First Asset Enhanced Government Bond ETF Financial Statements

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

Common Units US$ Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 586,025 51,895 102,642 13,782 688,667 65,677 Increase (decrease) in net assets attributable to holders of redeemable units 41,424 20,205 6,449 (211) 47,873 19,994 Distributions to holders of redeemable units From net investment income (4,741) (6,811) (186) (898) (4,927) (7,709) From net realized gains (8,547) (10,560) (421) - (8,968) (10,560) Return of capital (55) (232) (37) - (92) (232) Total distributions to holders of redeemable units (13,343) (17,603) (644) (898) (13,987) (18,501)

Redeemable unit transactions Proceeds from redeemable units issued 84,350 599,015 33,850 121,337 118,200 720,352 Reinvestment of distributions to holders of redeemable units 8,123 12,100 - 175 8,123 12,275 Redemption of redeemable units (149,153) (79,587) (97,818) (31,543) (246,971) (111,130) Net increase (decrease) from redeemable unit transactions (56,680) 531,528 (63,968) 89,969 (120,648) 621,497 Net increase (decrease) in net assets attributable to holders of redeemable units (28,599) 534,130 (58,163) 88,860 (86,762) 622,990 Net assets attributable to holders of redeemable units at the end of year 557,426 586,025 44,479 102,642 601,905 688,667

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

Annual Financial Statements - December 31, 2020 – 106 – CI First Asset Enhanced Government Bond ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 47,873 19,994 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (28,128) (26,428) Unrealized foreign exchange (gain) loss on cash 41 62 Commissions and other portfolio transaction costs 28 - Change in unrealized (appreciation) depreciation in value of investments and derivatives (10,673) 7,704 Proceeds from sale and maturity of investments and derivatives 3,229,293 1,983,475 Purchase of investments and derivatives (3,024,550) (2,576,943) (Increase) decrease in cash collateral on deposit for short sale (544) - Non-cash distributions from investments - - Change in daily variation margin (583) 68 (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 947 (1,931) Increase (decrease) in management fees payable (39) 298 Amortization interest earned - - Change in other accounts receivable and payable 13 96 Net cash from (used in) operating activities 213,678 (593,605)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (5,864) (6,226) Proceeds from issuance of redeemable units 119,597 719,459 Amounts paid on redemption of redeemable units (246,970) (111,130) Net cash from (used in) financing activities (133,237) 602,103

Unrealized foreign exchange gain (loss) on cash (41) (62) Net increase (decrease) in cash 80,441 8,498 Cash (bank overdraft), beginning of year 17,421 8,985 Cash (bank overdraft), end of year 97,821 17,421

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 9,104 7,934 Dividends paid* - - Interest paid* (2) (80) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 107 – CI First Asset Enhanced Government Bond ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS BONDS Canada 850,000 AltaLink L.P., Series ‘20-1’, 1.51%, September 11, 2030 850,000 853,909 1,480,000 Bank of Montreal, 4.30%, November 26, 2080 1,480,000 1,526,368 760,000 Bell Canada, 2.50%, May 14, 2030 785,680 797,337 50,000 Bruce Power L.P., 2.84%, June 23, 2021 49,641 50,530 180,000 Canadian Tire Corp. Ltd., Series ‘F’, 3.17%, July 06, 2023 183,377 190,156 1,600,000 Dollarama Inc., 2.34%, July 22, 2021 1,622,608 1,616,404 3,240,000 Government of Canada 0.25%, August 01, 2022 3,237,959 3,243,827 37,884,000 Government of Canada 0.50%, September 01, 2025 38,124,904 38,076,647 22,290,000 Government of Canada 0.75%, March 01, 2021 22,367,228 22,314,508 2,455,000 Government of Canada 0.75%, September 01, 2021 2,470,196 2,464,935 3,015,000 Government of Canada 1.00%, June 01, 2027 2,937,431 3,118,177 2,750,000 Government of Canada 1.25%, November 01, 2021 2,788,748 2,775,103 4,345,000 Government of Canada 1.25%, March 01, 2025 4,521,132 4,509,650 12,505,000 Government of Canada 1.25%, June 01, 2030 13,245,560 13,159,645 12,320,000 Government of Canada 1.50%, May 01, 2022 12,610,667 12,537,806 13,410,000 Government of Canada 1.50%, June 01, 2023 13,811,495 13,824,773 47,915,000 Government of Canada 1.50%, September 01, 2024 48,483,524 50,010,171 6,552,000 Government of Canada 2.00%, June 01, 2028 6,579,148 7,258,699 5,760,000 Government of Canada 2.00%, December 01, 2051 6,715,689 6,928,825 4,735,000 Government of Canada 2.25%, June 01, 2029 5,171,926 5,380,778 280,000 Government of Canada 2.50%, June 01, 2024 301,319 301,124 1,805,000 Government of Canada 2.75%, December 01, 2048 2,425,273 2,476,660 1,970,000 Hydro One Inc., 2.16%, February 28, 2030 2,022,028 2,094,661 1,920,000 Hydro One Ltd., 1.41%, October 15, 2027 1,919,366 1,947,668 3,225,000 OMERS Finance Trust, 1.55%, April 21, 2027 3,221,807 3,323,311 715,000 OMERS Finance Trust, 2.60%, May 14, 2029 714,249 786,782 2,400,000 OMERS Realty Corp., Series ‘12’, 1.30%, September 22, 2023 2,400,024 2,442,121 1,130,000 Ontario Teachers’ Finance Trust, 1.10%, October 19, 2027 1,126,893 1,130,833 1,230,000 Penske Truck Leasing Canada Inc., 2.70%, September 30, 2024 1,215,990 1,290,534 2,350,000 RioCan REIT, Series ‘AC’, 2.36%, March 10, 2027 2,350,000 2,395,722 1,530,000 Rogers Communications Inc., 3.25%, May 01, 2029 1,659,150 1,699,990 1,565,000 Royal Bank of Canada, Series ‘1’, 4.50%, November 24, 2080 1,565,000 1,635,081 1,675,000 Saputo Inc., 1.42%, June 19, 2026 1,675,000 1,685,820 970,000 Saputo Inc., 2.24%, June 16, 2027 970,000 1,015,425 375,000 SmartCentres REIT, Series ‘T’, 2.76%, June 23, 2021 375,000 378,759 65,000 Suncor Energy Inc., Series ‘5’, 3.10%, November 26, 2021 65,257 66,287 1,100,000 TELUS Corp., 2.05%, October 07, 2030 1,092,443 1,110,117 1,330,000 TELUS Corp., Series ‘CAA’, 3.15%, February 19, 2030 1,408,119 1,472,961 650,000 Thomson Reuters Corp., 2.24%, May 14, 2025 650,000 680,010 215,193,831 218,572,114 36.31

Mexico USD 850,000 Fomento Economico Mexicano SAB de CV, 3.50%, January 16, 2050 1,088,200 1,205,628 0.20

U.K. USD 530,000 AstraZeneca PLC, 0.70%, April 08, 2026 664,463 671,624 USD 875,000 AstraZeneca PLC, 1.38%, August 06, 2030 1,162,143 1,104,438 1,826,606 1,776,062 0.30 U.S.A. USD 2,174,000 Activision Blizzard Inc., 1.35%, September 15, 2030 2,800,456 2,721,613 USD 700,000 Alphabet Inc., 1.10%, August 15, 2030 929,845 879,647 USD 460,000 Amazon.com Inc., 1.50%, June 03, 2030 621,413 596,257 USD 1,660,000 Amazon.com Inc., 2.50%, June 03, 2050 2,284,136 2,196,943

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

Annual Financial Statements - December 31, 2020 – 108 – CI First Asset Enhanced Government Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 895,000 American Tower Corp., 1.88%, October 15, 2030 1,183,832 1,150,681 USD 95,000 American Tower Corp., 4.40%, February 15, 2026 141,921 140,194 USD 235,000 Apple Inc., 1.25%, August 20, 2030 310,829 299,590 435,000 Apple Inc., 2.51%, August 19, 2024 445,304 462,609 USD 435,000 Apple Inc., 2.65%, May 11, 2050 603,021 588,879 USD 260,000 Apple Inc., 3.85%, May 04, 2043 443,849 418,790 USD 745,000 AT&T Inc., 2.25%, February 01, 2032 995,593 963,828 USD 880,000 Bank of America Corp., 1.32%, June 19, 2026 1,193,984 1,145,036 USD 600,000 Bank of America Corp., 2.50%, February 13, 2031 803,129 811,805 USD 320,000 Bristol-Myers Squibb Co., 1.45%, November 13, 2030 416,551 409,702 USD 1,155,000 Broadcom Inc., 2.25%, November 15, 2023 1,634,046 1,536,520 USD 910,000 Broadcom Inc., 3.15%, November 15, 2025 1,298,047 1,266,262 USD 23,000 Broadcom Inc., 4.11%, September 15, 2028 33,495 33,561 USD 435,000 Broadcom Inc., 4.25%, April 15, 2026 617,161 634,574 USD 420,000 Broadcom Inc., 4.70%, April 15, 2025 592,645 612,892 USD 665,000 Carrier Global Corp., 2.24%, February 15, 2025 881,092 896,405 USD 2,400,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.00%, March 01, 2023 3,174,580 3,079,782 USD 1,185,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.25%, February 01, 2031 1,583,608 1,591,514 USD 15,000 Citigroup Inc., 4.00%, August 05, 2024 19,945 21,269 USD 750,000 Coca-Cola Co. (The), 1.38%, March 15, 2031 989,062 955,136 USD 910,000 Coca-Cola Co. (The), 1.65%, June 01, 2030 1,264,090 1,190,808 USD 335,000 Coca-Cola Co. (The), 2.50%, June 01, 2040 466,075 454,905 USD 1,875,000 Comcast Corp., 2.65%, February 01, 2030 2,649,209 2,613,061 USD 710,000 Costco Wholesale Corp., 1.38%, June 20, 2027 978,876 932,257 USD 1,093,000 Crown Castle International Corp., 3.70%, June 15, 2026 1,575,300 1,568,948 USD 1,285,000 CVS Health Corp., 1.75%, August 21, 2030 1,664,582 1,646,620 USD 1,245,000 Equinix Inc., 2.90%, November 18, 2026 1,684,435 1,735,494 USD 56,000 Intercontinental Exchange Inc., 3.00%, June 15, 2050 69,496 76,013 USD 895,000 Microsoft Corp., 2.53%, June 01, 2050 1,240,965 1,203,875 USD 550,000 Microsoft Corp., 3.70%, August 08, 2046 957,979 889,257 USD 790,000 Morgan Stanley, 1.79%, February 13, 2032 1,030,081 1,013,714 USD 133,000 Nike Inc., 2.75%, March 27, 2027 188,869 187,488 USD 470,000 Oracle Corp., 2.50%, April 01, 2025 661,186 643,499 USD 890,000 Oracle Corp., 3.60%, April 01, 2050 1,313,426 1,322,376 USD 1,230,000 PepsiCo Inc., 2.88%, October 15, 2049 1,797,153 1,756,336 USD 845,000 S&P Global Inc., 2.30%, August 15, 2060 1,049,073 1,026,303 USD 1,000,000 United States Treasury Bond, 0.25%, August 31, 2025 1,330,198 1,268,872 USD 1,000,000 United States Treasury Bond, 0.25%, September 30, 2025 1,306,952 1,268,176 USD 13,900,000 United States Treasury Bond, 0.38%, November 30, 2025 17,807,331 17,719,574 USD 2,875,000 United States Treasury Bond, 0.88%, January 15, 2029 3,989,290 4,323,884 USD 5,005,000 United States Treasury Bond, 0.88%, November 15, 2030 6,369,353 6,350,458 USD 5,290,000 United States Treasury Bond, 1.38%, January 31, 2025 7,023,419 7,037,970 USD 2,605,000 United States Treasury Bond, 1.38%, August 15, 2050 3,150,248 3,106,329 USD 12,999,000 United States Treasury Bond, 1.50%, September 30, 2024 17,005,735 17,329,797 USD 30,055,000 United States Treasury Bond, 1.63%, November 15, 2050 38,110,364 38,119,523 USD 2,185,000 United States Treasury Bond, 1.75%, June 30, 2024 2,879,205 2,931,758 USD 20,725,000 United States Treasury Bond, 1.75%, December 31, 2024 27,782,754 27,951,338 USD 13,490,000 United States Treasury Bond, 1.88%, June 30, 2026 17,745,860 18,532,390 1,035,000 Verizon Communications Inc., 2.50%, May 16, 2030 1,032,628 1,096,396 USD 2,635,000 Verizon Communications Inc., 2.88%, November 20, 2050 3,434,202 3,386,291 1,225,000 Verizon Communications Inc., 3.63%, May 16, 2050 1,224,689 1,348,174 USD 375,000 Viatris Inc., 1.13%, June 22, 2022 510,193 482,024 USD 250,000 Visa Inc., 2.70%, April 15, 2040 361,708 348,162

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

Annual Financial Statements - December 31, 2020 – 109 – CI First Asset Enhanced Government Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 440,000 Walmart Inc., 2.95%, September 24, 2049 658,251 647,041 USD 1,425,000 Waste Management Inc., 1.50%, March 15, 2031 1,854,224 1,798,513 196,164,943 196,721,113 32.68 Total Bonds 414,273,580 418,274,917 69.49 Total Long Positions 414,273,580 418,274,917 69.49

SHORT POSITIONS BONDS U.S.A. USD (110,000) United States Treasury Bond, 0.63%, May 15, 2030 (147,260) (136,912) Total Bonds (147,260) (136,912) (0.02) Total Short Positions (147,260) (136,912) (0.02)

SHORT-TERM INVESTMENT(S) 64,000,000 Government of Canada Treasury Bill, 0.102%, January 21, 2021 63,990,400 63,990,400 20,000,000 Toronto-Dominion Bank (The) Bankers’ Acceptance, 0.223%, January 29, 2021 19,996,200 19,996,200 Total Short-Term Investment(s) 83,986,600 83,986,600 13.95 Adjustment for transaction costs - Total Investments 498,112,920 502,124,605 83.42 Margin 583,051 0.10 Total unrealized gain on futures contract(s) 199,816 0.03 Total unrealized gain on forward foreign currency contract(s) 98,100 0.02 Total unrealized loss on forward foreign currency contract(s) (330,604) (0.05) Other Net Assets (Liabilities) 99,230,419 16.48 Net Assets Attributable to Holders of Redeemable Units 601,905,387 100.00

Futures Contract(s)

Number of Contracted Fair Value Unrealized Contracted Value Name of Future Expiry Date Contract(s) Currency Price ($) ($) Gain (Loss) ($) (15,851,792) United States Long Bond (CBT) March 22, 2021 (71) USD 175.40 (15,651,976) 199,816 (100,241,356) (15,651,976) 199,816

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

Annual Financial Statements - December 31, 2020 – 110 – CI First Asset Enhanced Government Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 111 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 98 (98) - - Derivative assets - Swaps and swaptions - - - - Total 98 (98) - - Derivative liabilities - Foreign currency forward contracts (331) 98 - (233) Derivative liabilities - Swaps and swaptions - - - - Total (331) 98 - (233) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 2,690 (1,059) - 1,631 Derivative assets - Swaps and swaptions - - - - Total 2,690 (1,059) - 1,631 Derivative liabilities - Foreign currency forward contracts (1,059) 1,059 - - Derivative liabilities - Swaps and swaptions - - - - Total (1,059) 1,059 - -

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

Annual Financial Statements - December 31, 2020 – 112 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions - - Soft dollar commissions† 7 2

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

Common Units US$ Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 55,300,000 5,150,000 7,400,000 1,000,000 Redeemable units issued for cash 7,510,000 57,800,000 2,180,000 8,650,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (13,358,300) (7,650,000) (6,500,000) (2,250,000) Number of redeemable units at the end of year 49,451,700 55,300,000 3,080,000 7,400,000

Annual Financial Statements - December 31, 2020 – 113 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.550 US$ Common Units 0.550

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

2020 2019 Loaned 233,381 296,074 Collateral (non-cash) 245,155 310,941

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

2020 2019 Gross securities lending revenue 203 219 Charges (83) (90) Securities lending revenue 120 129 Charges as a % of gross securities lending revenue 41.0 41.0

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

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

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

Annual Financial Statements - December 31, 2020 – 114 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Credit Risk 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, constant, net assets attributable to holders of redeemable units of the Fund would have decreased or with the following credit ratings, as per the table below. increased, respectively, by approximately $4,471,000 (December 31, 2019 - $10,103,000). In practice, actual results may differ from this analysis and the difference may be material. as at December 31, 2020 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 66.5 Interest Rate Risk AA/Aa/A+ 5.7 The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual A 3.6 maturity date. BBB/Baa/B++ 6.8 BB/Ba/B+ 0.8 as at December 31, 2020 Total 83.4 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total The Fund was invested in fixed income securities, with the following credit ratings, as per the table (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) below. Interest Rate Exposure 113,653 37,337 174,279 176,856 502,125 as at December 31, 2019 Credit Rating^* Net Assets (%) as at December 31, 2019 AAA/Aaa/A++ 82.1 Greater AA/Aa/A+ 6.5 Less than 1 - 3 3 - 5 than A 6.7 1 Year Years Years 5 Years Total BBB/Baa/B++ 0.4 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) B 1.3 Interest Rate Exposure 102,402 34,900 53,675 476,995 667,972 Total 97.0

^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% Investors Service or Dominion Bond Rating Service, respectively. (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders *Refer to Note 10 for Credit Rating Chart reference. of redeemable units of the Fund would have decreased or increased, respectively, by approximately $7,948,000 (December 31, 2019 - $12,545,000). In practice, actual results may differ from this analysis and the difference may be material. Other Price Risk As at December 31, 2020 and 2019, the Fund did not invest in equities and therefore was not subject to other price risk.

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

Annual Financial Statements - December 31, 2020 – 115 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 418,275 - 418,275 Short-term investment(s) - 83,987 - 83,987 Derivatives, net 200 (233) - (33) Total 200 502,029 - 502,229

Short Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - (137) - (137) Total - (137) - (137)

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 577,101 - 577,101 Short-term investment(s) - 90,871 - 90,871 Derivatives, net - 1,631 - 1,631 Total - 669,603 - 669,603

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

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

Annual Financial Statements - December 31, 2020 – 116 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Series A 65,071 - 10.05 - 6,472,788 - Current assets Series AH 1,171 - 10.05* - 91,438 - Investments 239,855 186,270 Series F 39,613 - 10.06 - 3,938,815 - Investments pledged as collateral - - Series FH 12,753 - 10.03* - 997,563 - Cash 102,684 13,104 Series I 4,991 - 10.06 - 495,951 - Unrealized gain on futures and foreign currency Series IH 89 - 10.06* - 6,976 - forward contracts 546 670 Series P 3,279 - 10.06 - 325,901 - Swaps, swaptions and options - - Series PH 13 - 10.06* - 1,003 - Daily variation margin on derivative instruments 358 77 Series W 2,628 - 9.99 - 263,155 - Fees rebate receivable 9 4 Series WH 13 - 9.98* - 1,003 - Cash collateral on deposit for short sale 19,115 - Common Units 203,607 168,888 10.03 9.91 20,305,000 17,050,000 Dividends receivable - 1 US$ Common Interest receivable 1,262 1,333 Units 15,005 22,863 10.15* 10.06* 1,160,000 1,750,000 Receivable for investments sold 375 24 Receivable for unit subscriptions 2,839 - 367,043 201,483 Liabilities Current liabilities Investments sold short 14,033 8,949 Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 253 359 Swaps, swaptions and options - - Dividends payable on investments sold short - 2 Interest payable on investments sold short 37 46 Daily variation margin on derivative instruments - - Payable for investments purchased 3,916 215 Payable for unit redemptions 283 - Distributions payable to holders of redeemable units - - Management fees payable 181 99 Accounts payable and accrued liabilities 107 62 18,810 9,732 Net assets attributable to holders of redeemable units 348,233 191,751

*Net assets attributable to holders of redeemable units per unit for Series AH, Series FH, Series IH, Series PH, Series WH and US$ Common Units are presented in U.S. dollars. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2020 – 117 – CIG - 580530477 CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Series A 93 - 0.03 - 2,827,164 - Net gain (loss) on investments and derivatives Series AH (9) - (0.34) - 26,760 - Dividends - 4 Series F 81 - 0.04 - 1,935,758 - Interest for distribution purposes 4,541 7,976 Series FH (137) - (0.65) - 210,732 - Income distributions from investments - - Series I 9 - 0.07 - 143,150 - Capital gain distributions from investments - - Series IH (1) - (0.22) - 3,536 - Derivative income (loss) - - Series P 9 - 0.05 - 163,592 - Dividends expense on financial assets (liabilities) sold Series PH - - (0.38) - 1,000 - short (21) (175) Series W 3 - 0.06 - 45,472 - Interest expense on financial assets (liabilities) sold short (160) (327) Series WH - - (0.04) - 1,001 - Net realized gain (loss) on sale of investments and Common Units 6,082 7,088 0.38 0.34 16,206,872 20,698,082 derivatives 6,796 6,986 US$ Common Change in unrealized appreciation (depreciation) in value Units 840 (670) 0.59 (0.32) 1,448,388 2,068,219 of investments and derivatives (484) (6,050) Total net gain (loss) on investments and derivatives 10,672 8,414 Other income Foreign exchange gain (loss) on cash (2,315) (307) Securities lending revenue (Note 6) - - Fees rebate 87 21 Miscellaneous foreign income - - Other income - - Total other income (2,228) (286) Total income 8,444 8,128 Expenses Custody fees 28 20 Unitholders reporting costs 72 74 Management fees (Note 5) 1,160 1,395 Administration fees (Note 5) 13 - Audit fees 5 4 Legal fees - 9 Independent review committee fees 1 3 Commissions and other portfolio transaction costs 31 19 Securities borrowing fees (Note 2) 33 32 Interest expense - - Withholding taxes - - Harmonized sales tax 131 154 Other expenses - - Total expenses 1,474 1,710 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 6,970 6,418

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

Annual Financial Statements - December 31, 2020 – 118 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Financial Statements

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

Series A Series AH Series F Series FH 2020 2019 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year ------Increase (decrease) in net assets attributable to holders of redeemable units 93 - (9) - 81 - (137) - Distributions to holders of redeemable units From net investment income (36) - - - (31) - (3) - From net realized gains (16) - - - (14) - (1) - Return of capital (27) - - - (24) - (2) - Total distributions to holders of redeemable units (79) - - - (69) - (6) -

Redeemable unit transactions Proceeds from redeemable units issued 66,877 - 1,180 - 41,042 - 13,882 - Reinvestment of distributions to holders of redeemable units 78 - - - 63 - 7 - Redemption of redeemable units (1,898) - - - (1,504) - (993) - Net increase (decrease) from redeemable unit transactions 65,057 - 1,180 - 39,601 - 12,896 - Net increase (decrease) in net assets attributable to holders of redeemable units 65,071 - 1,171 - 39,613 - 12,753 - Net assets attributable to holders of redeemable units at the end of year 65,071 - 1,171 - 39,613 - 12,753 -

Series I Series IH Series P Series PH 2020 2019 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year ------Increase (decrease) in net assets attributable to holders of redeemable units 9 - (1) - 9 - - - Distributions to holders of redeemable units From net investment income (4) - - - (4) - - - From net realized gains (2) - - - (2) - - - Return of capital (3) - - - (3) - - - Total distributions to holders of redeemable units (9) - - - (9) - - -

Redeemable unit transactions Proceeds from redeemable units issued 4,992 - 109 - 3,388 - 13 - Reinvestment of distributions to holders of redeemable units 8 - - - 8 - - - Redemption of redeemable units (9) - (19) - (117) - - - Net increase (decrease) from redeemable unit transactions 4,991 - 90 - 3,279 - 13 - Net increase (decrease) in net assets attributable to holders of redeemable units 4,991 - 89 - 3,279 - 13 - Net assets attributable to holders of redeemable units at the end of year 4,991 - 89 - 3,279 - 13 -

Series W Series WH Common Units US$ Common Units 2020 2019 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year - - - - 168,888 255,389 22,863 45,995 Increase (decrease) in net assets attributable to holders of redeemable units 3 - - - 6,082 7,088 840 (670) Distributions to holders of redeemable units From net investment income - - - - (2,312) (3,297) (257) (468) From net realized gains - - - - (1,028) (1,640) (114) (181) Return of capital - - - - (1,741) - (194) - Total distributions to holders of redeemable units - - - - (5,081) (4,937) (565) (649)

Redeemable unit transactions Proceeds from redeemable units issued 2,625 - 13 - 88,392 33,197 14,624 5,342 Reinvestment of distributions to holders of redeemable units - - - - 605 - 46 - Redemption of redeemable units - - - - (55,279) (121,849) (22,803) (27,155) Net increase (decrease) from redeemable unit transactions 2,625 - 13 - 33,718 (88,652) (8,133) (21,813) Net increase (decrease) in net assets attributable to holders of redeemable units 2,628 - 13 - 34,719 (86,501) (7,858) (23,132) Net assets attributable to holders of redeemable units at the end of year 2,628 - 13 - 203,607 168,888 15,005 22,863

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

Annual Financial Statements - December 31, 2020 – 119 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Financial Statements

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

Total Fund 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 191,751 301,384 Increase (decrease) in net assets attributable to holders of redeemable units 6,970 6,418 Distributions to holders of redeemable units From net investment income (2,647) (3,765) From net realized gains (1,177) (1,821) Return of capital (1,994) - Total distributions to holders of redeemable units (5,818) (5,586)

Redeemable unit transactions Proceeds from redeemable units issued 237,137 38,539 Reinvestment of distributions to holders of redeemable units 815 - Redemption of redeemable units (82,622) (149,004) Net increase (decrease) from redeemable unit transactions 155,330 (110,465) Net increase (decrease) in net assets attributable to holders of redeemable units 156,482 (109,633) Net assets attributable to holders of redeemable units at the end of year 348,233 191,751

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

Annual Financial Statements - December 31, 2020 – 120 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 6,970 6,418 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (6,796) (6,986) Unrealized foreign exchange (gain) loss on cash (190) 275 Commissions and other portfolio transaction costs 31 5 Change in unrealized (appreciation) depreciation in value of investments and derivatives 484 6,050 Proceeds from sale and maturity of investments and derivatives 872,479 954,193 Purchase of investments and derivatives (911,334) (851,339) (Increase) decrease in cash collateral on deposit for short sale (19,115) - Non-cash distributions from investments - - Change in daily variation margin (281) 1,348 (Increase) decrease in dividends receivable 1 (1) (Increase) decrease in interest receivable 71 1,544 Increase (decrease) in management fees payable 82 (57) Amortization interest earned - - Change in other accounts receivable and payable 31 (37) Net cash from (used in) operating activities (57,567) 111,413

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (5,003) (5,586) Proceeds from issuance of redeemable units 234,300 39,030 Amounts paid on redemption of redeemable units (82,340) (149,004) Net cash from (used in) financing activities 146,957 (115,560)

Unrealized foreign exchange gain (loss) on cash 190 (275) Net increase (decrease) in cash 89,390 (4,147) Cash (bank overdraft), beginning of year 13,104 17,526 Cash (bank overdraft), end of year 102,684 13,104

Supplementary Information: Dividends received, net of withholding tax* 2 3 Interest received, net of withholding tax* 4,612 9,520 Dividends paid* (22) (173) Interest paid* (169) (300) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 121 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS BONDS Canada USD 875,000 1011778 B.C. ULC / New Red Finance Inc., 3.50%, February 15, 2029 1,136,878 1,114,484 USD 295,000 1011778 B.C. ULC / New Red Finance Inc., 4.00%, October 15, 2030 383,951 381,018 USD 2,799,000 1011778 B.C. ULC / New Red Finance Inc., 4.25%, May 15, 2024 3,728,952 3,637,667 USD 300,000 1011778 B.C. ULC / New Red Finance Inc., 4.38%, January 15, 2028 398,608 393,971 415,000 Air Canada, 4.75%, October 6, 2023 429,246 422,608 165,000 AltaGas Ltd., 2.16%, June 10, 2025 165,000 171,557 685,000 AltaGas Ltd., 2.61%, December 16, 2022 685,000 710,082 175,000 AltaLink L.P., Series ‘20-1’, 1.51%, September 11, 2030 175,000 175,805 USD 250,000 ATS Automation Tooling Systems Inc., 4.13%, December 15, 2028 320,670 324,590 235,000 Bank of Montreal, 4.30%, November 26, 2080 235,000 242,363 USD 540,000 Bausch Health Cos. Inc., 5.50%, November 1, 2025 714,884 712,998 USD 270,000 Bausch Health Cos. Inc., 9.00%, December 15, 2025 390,268 380,053 840,000 BCI QuadReal Realty, 1.75%, July 24, 2030 840,000 848,839 100,000 Bell Canada, 2.50%, May 14, 2030 103,379 104,913 USD 126,000 Bombardier Inc., 5.75%, March 15, 2022 163,691 163,797 USD 185,000 Bombardier Inc., 8.75%, December 1, 2021 239,466 245,298 165,000 Brookfield Property Finance ULC, 3.93%, August 24, 2025 165,000 171,376 295,000 Brookfield Renewable Partners ULC, 3.33%, August 13, 2050 296,918 305,302 1,200,000 Bruce Power L.P., 2.84%, June 23, 2021 1,191,980 1,212,708 295,000 Bruce Power L.P., Series ‘17-2’, 4.01%, June 21, 2029 298,437 342,604 25,000 Canadian Imperial Bank of Commerce, 2.01%, July 21, 2030 24,991 25,742 175,000 Canadian Imperial Bank of Commerce, 4.38%, October 28, 2080 175,000 180,250 420,000 Canadian Natural Resources Ltd., 2.50%, January 17, 2028 419,924 434,950 45,000 Canadian Tire Corp. Ltd., Series ‘F’, 3.17%, July 6, 2023 45,834 47,539 225,000 Capital Power Corp., 3.15%, October 1, 2032 225,000 231,759 USD 150,000 Cenovus Energy Inc., 3.00%, August 15, 2022 198,961 195,153 1,050,000 Choice Properties REIT, Series ‘I’, 3.01%, March 21, 2022 1,078,560 1,078,700 260,000 Dollarama Inc., 1.51%, September 20, 2027 260,000 261,380 590,000 Dollarama Inc., 2.34%, July 22, 2021 598,337 596,049 930,000 Dream Industrial REIT, Series ‘A’, Restricted, 1.66%, December 22, 2025 930,000 935,299 140,000 Empire Communities Corp., 7.38%, December 15, 2025 140,000 145,265 1,515,000 Enbridge Inc., 3.16%, March 11, 2021 1,525,021 1,519,235 415,000 Fairfax Financial Holdings Ltd., 4.25%, December 6, 2027 414,967 454,152 295,000 First Capital REIT, 3.45%, March 1, 2028 295,000 311,827 405,000 First National Financial Corp., Series ‘3’, 2.96%, November 17, 2025 405,000 412,086 USD 140,000 First Quantum Minerals Ltd., 7.25%, April 1, 2023 187,208 183,944 1,901,000 Ford Credit Canada Co., 2.58%, May 10, 2021 1,903,376 1,904,348 405,000 Ford Credit Canada Co., Restricted, 3.50%, November 30, 2023 405,000 408,396 400,000 FortisBC Energy Inc., 2.54%, July 13, 2050 400,000 403,318 190,000 Genworth MI Canada Inc., 2.96%, March 1, 2027 189,998 197,359 USD 250,000 GFL Environmental Inc., 3.50%, September 1, 2028 317,413 324,391 165,000 Granite REIT Holdings L.P., Series ‘4’, 3.06%, June 4, 2027 165,000 179,156 305,000 Greater Toronto Airports Authority, Series ‘20-1’, Restricted, 1.54%, May 3, 2028 304,808 311,825 440,000 H&R REIT, Series ‘R’, Restricted, 2.91%, June 2, 2026 440,000 447,018 170,000 Hydro One Inc., 2.16%, February 28, 2030 174,490 180,758 295,000 Hydro One Ltd., 1.41%, October 15, 2027 294,903 299,251 USD 90,000 IAMGOLD Corp., 5.75%, October 15, 2028 118,755 116,423 195,000 Independent Order of Foresters (The), Series ‘20-1’, 2.89%, October 15, 2035 195,000 202,311 730,000 Manulife Bank of Canada, 2.08%, May 26, 2022 727,365 746,390 330,000 MCAP Commercial L.P., 3.38%, November 26, 2027 330,000 335,453 USD 55,000 MEG Energy Corp., 6.50%, January 15, 2025 54,766 72,168 530,000 Metro Inc., 3.20%, December 1, 2021 527,896 541,854 410,000 OMERS Realty Corp., Series ‘12’, 1.30%, September 22, 2023 410,004 417,196 535,000 Ontario Teachers’ Finance Trust, 1.10%, October 19, 2027 533,529 535,394

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

Annual Financial Statements - December 31, 2020 – 122 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) Canada (cont’d) USD 1,570,000 Open Text Corp., 5.88%, June 1, 2026 2,166,743 2,078,391 80,000 Parkland Corp., Restricted, 6.00%, June 23, 2028 80,000 86,000 795,000 Pembina Pipeline Corp., 2.56%, June 1, 2023 794,928 827,248 555,000 Penske Truck Leasing Canada Inc., 2.70%, September 30, 2024 552,549 582,314 840,000 Penske Truck Leasing Canada Inc., 2.85%, December 7, 2022 839,958 869,963 650,000 RioCan REIT, Series ‘AC’, 2.36%, March 10, 2027 650,000 662,647 530,000 RioCan REIT, Series ‘AD’, 1.97%, June 15, 2026 530,000 532,616 205,000 Royal Bank of Canada, Series ‘1’, 4.50%, November 24, 2080 205,000 214,180 535,000 Saputo Inc., 1.42%, June 19, 2026 535,000 538,456 515,000 SmartCentres REIT, Series ‘T’, 2.76%, June 23, 2021 515,000 520,163 1,290,000 Suncor Energy Inc., Series ‘5’, 3.10%, November 26, 2021 1,296,582 1,315,540 USD 155,000 Telesat Canada / Telesat LLC, 4.88%, June 1, 2027 208,226 204,822 200,000 TELUS Corp., 2.05%, October 7, 2030 199,586 201,840 210,000 TELUS Corp., Series ‘CAA’, 3.15%, February 19, 2030 222,365 232,573 255,000 Teranet Holdings L.P., Series ‘2020’, 3.54%, June 11, 2025 255,000 274,634 2,170,000 Toronto-Dominion Bank (The), 1.13%, December 9, 2025 2,170,000 2,178,959 200,000 Videotron Ltd., 5.75%, January 15, 2026 209,500 206,598 510,000 VW Credit Canada Inc., 2.90%, March 29, 2021 509,475 513,034 38,418,346 38,738,350 11.12 Government of Canada & Guaranteed 3,415,000 Government of Canada, 0.25%, August 1, 2022 3,416,298 3,419,034 7,220,000 Government of Canada, 0.25%, November 1, 2022 7,219,345 7,226,438 9,005,000 Government of Canada, 0.50%, March 1, 2022 9,038,653 9,041,043 1,320,000 Government of Canada, 0.75%, March 1, 2021 1,302,629 1,321,451 695,000 Government of Canada, 1.00%, September 1, 2022 706,087 704,649 3,000 Government of Canada, 1.00%, June 1, 2027 3,112 3,103 14,000 Government of Canada, 1.25%, March 1, 2025 14,562 14,531 455,000 Government of Canada, 1.50%, September 1, 2024 474,712 474,896 96,000 Government of Canada, 2.00%, September 1, 2023 100,705 100,431 270,000 Government of Canada, 2.00%, December 1, 2051 334,665 324,789 170,000 Government of Canada, 2.50%, June 1, 2024 182,944 182,825 22,793,712 22,813,190 6.55

France USD 95,000 Altice France SA, 5.13%, January 15, 2029 125,305 125,385 0.04

Ireland USD 325,000 Ardagh Packaging Finance PLC / Ardagh MP Holdings USA Inc, 4.13%, August 15, 2026 429,181 432,826 USD 505,000 Endo Finance LLC / Endo Ltd. / Endo Finco Inc., 5.88%, October 15, 2024 668,099 652,858 1,097,280 1,085,684 0.31

Luxembourg USD 55,000 Intelsat Jackson Holdings SA, 8.00%, February 15, 2024 74,956 71,788 0.02

Netherlands USD 640,000 Alcoa Nederland Holding BV, 6.75%, September 30, 2024 879,070 850,032 USD 604,000 Teva Pharmaceutical Finance Netherlands III BV, 2.20%, July 21, 2021 783,582 768,351 1,662,652 1,618,383 0.46

Saudi Arabia USD 465,000 Saudi Arabian Oil Co., 1.25%, November 24, 2023 606,807 599,763 0.17

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

Annual Financial Statements - December 31, 2020 – 123 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.K. USD 245,000 AstraZeneca PLC, 0.70%, April 8, 2026 307,157 310,468 USD 235,000 AstraZeneca PLC, 1.38%, August 6, 2030 312,119 296,620 619,276 607,088 0.17 U.S.A. USD 45,000 AbbVie Inc., 2.30%, May 14, 2021 61,603 57,599 USD 70,000 Academy Ltd., 6.00%, November 15, 2027 93,209 93,558 USD 245,000 Acadia Healthcare Co. Inc., 5.63%, February 15, 2023 328,773 313,420 USD 220,000 Activision Blizzard Inc., 1.35%, September 15, 2030 286,261 275,416 USD 150,000 AdaptHealth LLC, 4.63%, August 1, 2029 190,448 196,424 USD 55,000 Albemarle Corp., Floating Rate, 1.29%, November 15, 2022 71,314 69,867 USD 280,000 Albertsons Cos. Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 3.50%, February 15, 2023 373,081 365,679 USD 590,000 Alexander Funding Trust, 1.84%, November 15, 2023 771,602 760,088 USD 115,000 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 4.25%, October 15, 2027 151,812 149,952 USD 1,080,000 Ally Financial Inc., 1.45%, October 2, 2023 1,411,632 1,404,085 USD 135,000 Amazon.com Inc., 2.50%, June 3, 2050 181,990 178,667 USD 140,000 American Tower Corp., 1.88%, October 15, 2030 185,225 179,995 USD 110,000 AMN Healthcare Inc., 4.00%, April 15, 2029 145,899 143,519 USD 90,000 ANGI Group LLC., 3.88%, August 15, 2028 118,924 116,781 USD 250,000 Antero Resources Corp., 5.13%, December 1, 2022 321,325 317,907 USD 110,000 Apache Corp., 4.63%, November 15, 2025 146,520 148,178 USD 65,000 Apple Inc., 3.85%, May 4, 2043 107,469 104,698 USD 90,000 Arches Buyer Inc., 4.25%, June 1, 2028 116,874 116,231 USD 75,000 Archrock Partners L.P. / Archrock Partners Finance Corp, 6.25%, April 1, 2028 99,866 99,617 USD 65,000 AssuredPartners Inc., 5.63%, January 15, 2029 83,064 86,462 USD 255,000 AT&T Inc., 2.25%, February 1, 2032 339,438 329,901 USD 240,000 AT&T Inc., 3.30%, February 1, 2052 320,946 303,479 375,000 Athene Global Funding, 2.10%, September 24, 2025 374,539 379,772 USD 110,000 Avaya Inc., 6.13%, September 15, 2028 145,041 149,839 USD 75,000 Axalta Coating Systems LLC, 3.38%, February 15, 2029 97,793 95,647 USD 125,000 Ball Corp., 2.88%, August 15, 2030 159,859 158,914 USD 120,000 Bank of America Corp., 1.32%, June 19, 2026 162,816 156,141 USD 250,000 Bank of America Corp., 1.90%, July 23, 2031 318,722 321,796 USD 145,000 Bausch Health Cos. Inc. of the United States, 8.50%, January 31, 2027 216,111 205,535 USD 55,000 Big River Steel LLC / BRS Finance Corp., 6.63%, January 31, 2029 72,573 75,742 USD 260,000 Black Knight InfoServ LLC, 3.63%, September 1, 2028 342,869 339,228 USD 470,000 Booz Allen Hamilton Inc., 3.88%, September 1, 2028 622,673 617,333 USD 345,000 Bristol-Myers Squibb Co., 0.75%, November 13, 2025 449,117 442,474 USD 405,000 Bristol-Myers Squibb Co., 1.13%, November 13, 2027 524,778 521,180 USD 100,000 Bristol-Myers Squibb Co., 1.45%, November 13, 2030 130,172 128,032 USD 560,000 Broadcom Inc., 2.25%, November 15, 2023 792,265 744,980 USD 150,000 Broadcom Inc., 3.15%, November 15, 2025 211,946 208,725 USD 155,000 Broadcom Inc., 4.25%, April 15, 2026 219,984 226,112 USD 100,000 BY Crown Parent LLC / BY Bond Finance Inc., 4.25%, January 31, 2026 133,917 130,631 USD 940,000 Cablevision Lightpath LLC, 3.88%, September 15, 2027 1,227,438 1,205,499 USD 70,000 Calumet Specialty Products Partners L.P. / Calumet Finance Corp, 9.25%, July 15, 2024 101,048 99,795 USD 4,162,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.00%, March 1, 2023 5,592,553 5,340,854 USD 255,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, August 15, 2030 347,847 344,878 USD 520,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, May 1, 2032 711,490 707,560 USD 110,000 Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp / Millennium Operations LLC, 5.50%, May 1, 2025 153,075 146,145 USD 65,000 Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp, 5.38%, June 1, 2024 84,453 83,152 USD 65,000 CenturyLink Inc., 4.50%, January 15, 2029 84,503 84,342 USD 145,000 Charles River Laboratories International Inc., 4.25%, May 1, 2028 200,890 193,650 USD 250,000 Chobani LLC / Chobani Finance Corp. Inc., 4.63%, November 15, 2028 325,743 323,794

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

Annual Financial Statements - December 31, 2020 – 124 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 125,000 CITGO Petroleum Corp., 7.00%, June 15, 2025 167,235 159,013 USD 510,000 Clean Harbors Inc., 4.88%, July 15, 2027 685,763 678,392 USD 120,000 Clearway Energy Operating LLC, 4.75%, March 15, 2028 169,906 163,966 USD 140,000 Coca-Cola Co. (The), 1.38%, March 15, 2031 184,625 178,292 USD 150,000 Comcast Corp., 1.50%, February 15, 2031 199,000 189,820 USD 360,000 Comcast Corp., 2.65%, February 1, 2030 505,221 501,708 USD 1,572,000 CommScope Finance LLC, 5.50%, March 1, 2024 2,097,608 2,065,760 USD 140,000 CommScope Finance LLC, 8.25%, March 1, 2027 194,223 190,459 USD 310,000 CommScope Technologies LLC, 6.00%, June 15, 2025 404,998 404,010 USD 90,000 Costco Wholesale Corp., 1.38%, June 20, 2027 121,399 118,173 USD 165,000 Costco Wholesale Corp., 1.60%, April 20, 2030 227,208 215,487 USD 270,000 Cox Communications Inc., 1.80%, October 1, 2030 355,157 343,785 USD 165,000 Crown Castle International Corp., 2.25%, January 15, 2031 221,498 218,158 USD 485,000 Crown Castle International Corp., 3.70%, June 15, 2026 700,060 696,194 USD 1,940,000 CSC Holdings LLC, 4.13%, December 1, 2030 2,593,375 2,584,500 USD 140,000 CVS Health Corp., 1.75%, August 21, 2030 182,639 179,398 USD 1,185,000 DCP Midstream LLC, 4.75%, September 30, 2021 1,573,094 1,534,783 USD 115,000 DISH DBS Corp., 6.75%, June 1, 2021 160,789 149,488 USD 90,000 Edgewell Personal Care Co., 5.50%, June 1, 2028 125,082 123,277 USD 1,380,000 Electronic Arts Inc., 3.70%, March 1, 2021 1,791,342 1,760,584 USD 135,000 Emergent BioSolutions Inc., 3.88%, August 15, 2028 178,423 178,264 USD 110,000 Encompass Health Corp., 4.63%, April 1, 2031 146,069 149,995 USD 70,000 EQT Corp., 3.00%, October 1, 2022 90,921 89,938 USD 140,000 EQT Midstream Partners L.P., Series ‘5Y’, 4.75%, July 15, 2023 184,955 187,692 USD 125,000 Equinix Inc., 2.90%, November 18, 2026 169,054 174,246 USD 160,000 Expedia Group Inc., 3.60%, December 15, 2023 214,592 217,194 USD 6,558,000 Ford Motor Credit Co. LLC, Floating Rate, 1.06%, April 5, 2021 8,375,678 8,312,136 USD 1,875,000 Ford Motor Credit Co. LLC, Floating Rate, 1.12%, October 12, 2021 2,389,789 2,358,512 USD 90,000 Frontier Communications Corp., 5.00%, May 1, 2028 117,752 119,645 USD 125,000 Frontier Communications Corp., 6.75%, May 1, 2029 163,544 170,549 USD 140,000 GrafTech Finance Inc., 4.63%, December 15, 2028 179,466 180,434 USD 85,000 Graphic Packaging International LLC, 3.50%, March 1, 2029 112,702 110,834 USD 110,000 Group 1 Automotive Inc., 4.00%, August 15, 2028 146,520 144,504 USD 245,000 Hill-Rom Holdings Inc., 4.38%, September 15, 2027 329,188 330,243 USD 300,000 Hologic Inc., 3.25%, February 15, 2029 392,922 389,269 USD 350,000 Ingevity Corp., 3.88%, November 1, 2028 455,008 449,692 USD 65,000 Intercontinental Exchange Inc., 3.00%, June 15, 2050 88,987 88,229 USD 710,000 Jagged Peak Energy LLC, 5.88%, May 1, 2026 945,132 938,070 USD 1,865,000 JBS USA LLC / JBS USA Finance Inc., 5.75%, June 15, 2025 2,469,416 2,457,046 USD 245,000 JPMorgan Chase & Co., 2.52%, April 22, 2031 341,585 335,626 USD 700,000 Kraft Heinz Foods Co., 3.88%, May 15, 2027 976,174 961,273 USD 140,000 Kraton Polymers LLC / Kraton Polymers Capital Corp, 4.25%, December 15, 2025 179,172 182,011 USD 140,000 Kronos Acquisition Holdings Inc. / KIK Custom Products Inc, 5.00%, December 31, 2026 179,032 186,352 USD 80,000 Kronos Acquisition Holdings Inc. / KIK Custom Products Inc, 7.00%, December 31, 2027 102,304 106,811 USD 115,000 Lamar Media Corp., 4.00%, February 15, 2030 150,984 152,147 USD 155,000 Live Nation Entertainment Inc., 3.75%, January 15, 2028 197,331 199,845 USD 65,000 Marriott Ownership Resorts Inc., 6.13%, September 15, 2025 91,000 88,323 USD 55,000 MasTec Inc., 4.50%, August 15, 2028 73,783 73,597 USD 215,000 Mattel Inc., 3.15%, March 15, 2023 286,372 277,408 USD 1,140,000 Mattel Inc., 6.75%, December 31, 2025 1,582,177 1,533,050 USD 110,000 Meritor Inc., 6.25%, June 1, 2025 148,544 151,571 USD 155,000 Michaels Stores Inc., 4.75%, October 1, 2027 204,585 202,528 USD 145,000 Molina Healthcare Inc., 4.38%, June 15, 2028 199,159 194,445 USD 240,000 Morgan Stanley, 1.79%, February 13, 2032 312,936 307,964

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

Annual Financial Statements - December 31, 2020 – 125 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 455,000 MSCI Inc., 3.88%, February 15, 2031 625,631 613,196 USD 730,000 MSCI Inc., 4.75%, August 1, 2026 989,773 971,022 USD 720,000 Netflix Inc., 5.88%, November 15, 2028 1,109,921 1,100,276 USD 1,500,000 Nielsen Finance LLC / Nielsen Finance Co., 5.00%, April 15, 2022 1,982,188 1,916,281 USD 280,000 Novelis Corp., 5.88%, September 30, 2026 382,283 372,896 USD 80,000 NRG Energy Inc., 2.45%, December 2, 2027 104,476 107,278 USD 80,000 NRG Energy Inc., 3.63%, February 15, 2031 104,624 104,956 USD 500,000 Occidental Petroleum Corp., Floating Rate, 1.70%, August 15, 2022 622,839 623,969 USD 170,000 Olin Corp., 5.50%, August 15, 2022 237,248 226,891 USD 400,000 ON Semiconductor Corp., 3.88%, September 1, 2028 528,459 527,617 USD 165,000 Oracle Corp., 2.50%, April 1, 2025 232,119 225,909 USD 210,000 Oracle Corp., 2.95%, April 1, 2030 301,616 299,126 USD 905,000 Parsley Energy LLC / Parsley Finance Corp., 5.38%, January 15, 2025 1,203,742 1,186,851 USD 130,000 PepsiCo Inc., 2.88%, October 15, 2049 189,943 185,629 USD 100,000 PetSmart Inc., 7.13%, March 15, 2023 127,389 127,449 USD 100,000 Providence Service Corp. (The), 5.88%, November 15, 2025 131,420 134,848 USD 225,000 Qorvo Inc., 3.38%, April 1, 2031 296,002 296,069 USD 70,000 Range Resources Corp., 4.88%, May 15, 2025 86,179 84,333 USD 55,000 S&P Global Inc., 2.30%, August 15, 2060 68,283 66,801 USD 1,290,000 SBA Communications Corp., 4.00%, October 1, 2022 1,755,282 1,661,540 USD 185,000 Scientific Games International Inc., 5.00%, October 15, 2025 245,437 243,291 USD 160,000 Service Corp. International, 3.38%, August 15, 2030 212,520 212,235 USD 120,000 Sinclair Television Group Inc., 4.13%, December 1, 2030 157,002 156,583 USD 2,290,000 Sirius XM Radio Inc., 3.88%, August 1, 2022 3,062,094 2,962,308 USD 485,000 Sirius XM Radio Inc., 5.00%, August 1, 2027 671,869 656,852 USD 1,615,000 Sprint Communications Inc., 6.00%, November 15, 2022 2,344,105 2,227,900 USD 320,000 Switch Ltd., 3.75%, September 15, 2028 421,644 414,202 USD 235,000 Syneos Health Inc., 3.63%, January 15, 2029 303,178 300,519 USD 60,000 Targa Resources Partners L.P. / Targa Resources Partners Finance Corp, 4.88%, February 1, 2031 79,869 83,331 USD 360,000 Teleflex Inc., 4.25%, June 1, 2028 494,207 486,311 USD 6,520,000 Tenet Healthcare Corp., 4.63%, July 15, 2024 8,564,491 8,515,255 USD 545,000 TerraForm Power Operating LLC, 4.25%, January 31, 2023 732,890 718,445 USD 65,000 T-Mobile USA Inc., 2.25%, November 15, 2031 85,327 85,073 USD 225,000 T-Mobile USA Inc., 3.30%, February 15, 2051 298,743 295,197 USD 664,000 T-Mobile USA Inc., 4.50%, February 1, 2026 878,621 865,668 USD 269,000 T-Mobile USA Inc., 6.00%, March 1, 2023 373,103 343,266 USD 80,000 Townsquare Media Inc., 6.88%, February 1, 2026 101,948 106,843 USD 225,000 TransDigm Inc., 6.25%, March 15, 2026 303,932 305,378 USD 60,000 TripAdvisor Inc., 7.00%, July 15, 2025 81,060 82,627 USD 110,000 Triumph Group Inc., 8.88%, June 1, 2024 146,300 153,933 USD 105,000 Unisys Corp., 6.88%, November 1, 2027 137,949 146,352 USD 700,000 United States Treasury Bond, 0.88%, November 15, 2030 903,284 888,176 USD 875,000 United States Treasury Bond, 1.38%, August 15, 2050 1,076,447 1,043,393 USD 4,910,000 United States Treasury Bond, 1.63%, June 30, 2021 6,468,839 6,296,632 USD 1,465,000 United States Treasury Bond, 1.63%, November 15, 2050 1,868,945 1,858,097 USD 675,000 United States Treasury Bond, 1.75%, December 31, 2024 902,710 910,357 USD 405,000 United States Treasury Bond, 2.75%, August 15, 2021 530,458 523,974 USD 1,035,000 United States Treasury Bond, Inflation Indexed, 0.50%, January 15, 2028 1,307,966 1,504,634 USD 465,000 United States Treasury Bond, Inflation Indexed, 0.88%, January 15, 2029 645,224 699,341 USD 110,000 Uniti Group L.P. / Uniti Group Finance Inc. / CSL Capital LLC, 6.00%, April 15, 2023 148,668 143,082 USD 105,000 Uniti Group L.P. / Uniti Group Finance Inc. / CSLCapital LLC, 8.25%, October 15, 2023 138,997 134,908 155,000 Verizon Communications Inc., 2.50%, May 16, 2030 154,713 164,195 USD 330,000 Verizon Communications Inc., 2.88%, November 20, 2050 430,090 424,090 USD 205,000 Viatris Inc., 1.13%, June 22, 2022 278,906 263,506

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

Annual Financial Statements - December 31, 2020 – 126 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 115,000 Visa Inc., 2.05%, April 15, 2030 161,605 156,819 USD 380,000 Waste Management Inc., 1.50%, March 15, 2031 487,398 479,604 USD 165,000 Winnebago Industries Inc., 6.25%, July 15, 2028 226,015 226,174 USD 555,000 WMG Acquisition Corp., 3.00%, February 15, 2031 699,596 694,096 USD 235,000 WPX Energy Inc., 5.75%, June 1, 2026 314,820 314,911 USD 110,000 Wyndham Hotels & Resorts Inc., 4.38%, August 15, 2028 144,720 145,749 102,212,075 100,764,207 28.95 Total Bonds 167,610,409 166,423,838 47.79

TERM LOANS Canada USD 565,000 Bausch Health Americas Inc., Variable Rate, 3.15%, June 2, 2025 734,665 716,046 0.21

U.S.A. USD 782,527 Change Healthcare Holdings LLC, Variable Rate, 3.50%, March 1, 2024 1,022,251 990,600 USD 440,000 Financial & Risk US Holdings Inc., Variable Rate, 3.40%, October 1, 2025 575,303 558,911 USD 580,000 Graham Packaging Co. Inc., Variable Rate, 4.50%, August 4, 2027 768,707 740,039 USD 1,309,038 JBS USA LUX SA, Variable Rate, 2.15%, May 1, 2026 1,708,416 1,651,695 USD 215,000 KFC Holding Co., Variable Rate, 1.91%, April 3, 2025 278,643 271,328 USD 565,000 Reynolds Group Holdings Inc., Variable Rate, 3.40%, February 5, 2026 741,287 712,896 USD 250,000 Welbilt Inc., Variable Rate, October 23, 2025 303,157 300,723 5,397,764 5,226,192 1.50 Total Term Loans 6,132,429 5,942,238 1.71 Total Long Positions 173,742,838 172,366,076 49.50

SHORT POSITIONS BONDS Corporate Bonds USD (485,000) Royal Bank of Canada, 4.65%, January 27, 2026 (664,887) (729,812) (0.21)

Federal Bonds (2,278,000) Government of Canada, 0.50%, September 1, 2025 (2,281,140) (2,289,584) (2,311,000) Government of Canada, 1.00%, June 1, 2027 (2,390,661) (2,390,085) (301,000) Government of Canada, 1.25%, June 1, 2030 (316,039) (316,758) (1,161,000) Government of Canada, 1.50%, June 1, 2026 (1,223,246) (1,228,701) (283,000) Government of Canada, 2.00%, June 1, 2028 (312,415) (313,524) (770,000) Government of Canada, 2.00%, December 1, 2051 (957,598) (926,249) (297,000) Government of Canada, 2.25%, June 1, 2025 (324,633) (321,893) (740,000) Government of Canada, 5.75%, June 1, 2029 (1,002,870) (1,051,907) (8,808,602) (8,838,701) (2.54) U.S.A. USD (125,000) Crown Castle International Corp., 3.30%, July 1, 2030 (175,677) (178,378) USD (185,000) TransDigm Inc., 5.50%, November 15, 2027 (245,185) (247,920) USD (1,069,000) United States Treasury Bond, 0.13%, September 15, 2023 (1,404,518) (1,359,880) USD (410,000) United States Treasury Bond, 0.38%, November 30, 2025 (532,758) (522,664) USD (270,000) United States Treasury Bond, 0.50%, October 31, 2027 (347,652) (341,052) USD (827,000) United States Treasury Bond, 0.63%, May 15, 2030 (1,107,855) (1,029,332) USD (568,000) United States Treasury Bond, 2.00%, February 15, 2050 (891,333) (785,480) (4,704,978) (4,464,706) (1.28) Total Bonds (14,178,467) (14,033,219) (4.03) Total Short Positions (14,178,467) (14,033,219) (4.03)

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

Annual Financial Statements - December 31, 2020 – 127 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

SHORT-TERM INVESTMENT(S) 17,500,000 Enbridge Inc. Discount Note, 0.824%, January 5, 2021 17,496,544 17,496,544 40,000,000 Government of Canada Treasury Bill, 0.102%, January 21, 2021 39,994,000 39,994,000 10,000,000 Toronto-Dominion Bank (The) Bankers’ Acceptance, 0.223% January 29, 2021 9,998,100 9,998,100 Total Short-Term Investment(s) 67,488,644 67,488,644 19.38 Adjustment for transaction costs (80) Total Investments 227,052,935 225,821,501 64.85 Margin 358,106 0.10 Total unrealized loss on futures contract(s) (4,916) (0.00) Total unrealized gain on forward foreign currency contract(s) 545,698 0.16 Total unrealized loss on forward foreign currency contract(s) (247,734) (0.07) Other Net Assets (Liabilities) 121,760,212 34.97 Net Assets Attributable to Holders of Redeemable Units 348,232,867 100.00

Futures Contract(s)

Number of Contracted Fair Value Unrealized Contracted Value Name of Future Expiry Date Contract(s) Currency Price ($) ($) Gain (Loss) ($) (1,784,284) Canada 10 Year Bond Future March 22, 2021 (12) CAD 148.69 (1,789,200) (4,916) (1,784,284) (1,789,200) (4,916)

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

Annual Financial Statements - December 31, 2020 – 128 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 9,653,530 USD 7,516,976 1.28 85,571 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 513,882 USD 400,000 1.28 4,743 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 419,426 USD 328,834 1.28 871 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 96,111 USD 75,000 1.28 648 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 259,279 USD 203,288 1.28 525 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 362,230 USD 284,370 1.27 270 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 25,698 USD 20,003 1.28 237 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 17,770 USD 13,900 1.28 78 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 6,424 USD 5,000 1.28 59 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 6,421 USD 5,000 1.28 57 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 742 USD 581 1.28 3 Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 8 USD 6 1.33 - Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 14 USD 11 1.27 - Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 1,269 USD 1,000 1.27 (4) Bank of New York Mellon (The), New York A-1+ January 15, 2021 CAD 6,346 USD 5,000 1.27 (18) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 12,012,390 CAD 15,272,179 0.79 17,752 Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 2,270,358 CAD 2,886,463 0.79 3,355 Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 151,739 CAD 192,916 0.79 224 Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 85,000 CAD 108,066 0.79 126 Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 5,000 CAD 6,346 0.79 18 Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 10,000 CAD 12,714 0.79 15 Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 10,000 CAD 12,714 0.79 15 Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 1,000 CAD 1,269 0.79 4 Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 11 CAD 14 0.79 - Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 27 CAD 35 0.77 (1) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 26 CAD 34 0.76 (1) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 587 CAD 750 0.78 (3) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 213 CAD 275 0.77 (4) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 223 CAD 288 0.77 (4) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 37,500 CAD 47,767 0.79 (36) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 5,000 CAD 6,421 0.78 (57) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 5,000 CAD 6,424 0.78 (59) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 13,900 CAD 17,770 0.78 (78) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 5,296 CAD 6,844 0.77 (103) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 246,870 CAD 314,462 0.79 (235) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 20,003 CAD 25,698 0.78 (237) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 100,000 CAD 127,550 0.78 (265) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 203,288 CAD 259,279 0.78 (525) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 228,834 CAD 291,877 0.78 (606) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 400,000 CAD 513,882 0.78 (4,743) Bank of New York Mellon (The), New York A-1+ January 15, 2021 USD 7,516,976 CAD 9,653,530 0.78 (85,571) Canadian Imperial Bank of Commerce A-1 January 15, 2021 CAD 113,299,413 USD 88,820,487 1.28 244,552 Canadian Imperial Bank of Commerce A-1 January 15, 2021 CAD 3,851,751 USD 3,000,000 1.28 33,211 Canadian Imperial Bank of Commerce A-1 January 15, 2021 CAD 114,242,024 USD 89,875,090 1.27 (155,184) Canadian Imperial Bank of Commerce A-1 January 15, 2021 USD 88,820,487 CAD 112,901,497 0.79 153,364 297,964

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 129 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 546 (248) - 298 Derivative assets - Swaps and swaptions - - - - Total 546 (248) - 298 Derivative liabilities - Foreign currency forward contracts (248) 248 - - Derivative liabilities - Swaps and swaptions - - - - Total (248) 248 - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 635 (359) - 276 Derivative assets - Swaps and swaptions - - - - Total 635 (359) - 276 Derivative liabilities - Foreign currency forward contracts (359) 359 - - Derivative liabilities - Swaps and swaptions - - - - Total (359) 359 - -

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

Annual Financial Statements - December 31, 2020 – 130 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions - 5 Soft dollar commissions† - -

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

Series A Series AH Series F Series FH 2020 2019 2020 2019 2020 2019 2020 2019 Number of redeemable units at the beginning of year ------Redeemable units issued for cash 6,653,877 - 91,417 - 4,082,045 - 1,074,337 - Redeemable units issued for reinvested distributions 7,758 - 21 - 6,284 - 527 - Redeemable units redeemed (188,847) - - - (149,514) - (77,301) - Number of redeemable units at the end of year 6,472,788 - 91,438 - 3,938,815 - 997,563 -

Series I Series IH Series P Series PH 2020 2019 2020 2019 2020 2019 2020 2019 Number of redeemable units at the beginning of year ------Redeemable units issued for cash 496,001 - 8,444 - 336,746 - 1,000 - Redeemable units issued for reinvested distributions 832 - 22 - 796 - 3 - Redeemable units redeemed (882) - (1,490) - (11,641) - - - Number of redeemable units at the end of year 495,951 - 6,976 - 325,901 - 1,003 -

Series W Series WH Common Units US$ Common Units 2020 2019 2020 2019 2020 2019 2020 2019 Number of redeemable units at the beginning of year - - - - 17,050,000 26,000,000 1,750,000 3,400,000 Redeemable units issued for cash 263,152 - 1,000 - 8,845,000 3,350,000 1,080,000 400,000 Redeemable units issued for reinvested distributions 3 - 3 - - - - - Redeemable units redeemed - - - - (5,590,000) (12,300,000) (1,670,000) (2,050,000) Number of redeemable units at the end of year 263,155 - 1,003 - 20,305,000 17,050,000 1,160,000 1,750,000

Annual Financial Statements - December 31, 2020 – 131 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Fund Specific Notes to Financial Statements

Management and Administration Fees (Note 5) Loss Carry Forwards (Note 7) as at December 31, 2020 (%) as at December 31 (in $000’s)

Annual Annual management administration 2020 fee rate: fee rate: Capital loss carried forward: - Series A 1.100 0.15 Non-capital losses expiring: Series AH 1.100 0.15 2030 - Series F 0.600 0.15 2031 - Series FH 0.600 0.15 2032 - Series I Paid directly by investor Paid directly by investor 2033 - Series IH Paid directly by investor Paid directly by investor 2034 - Series P Paid directly by investor 0.15 2035 - Series PH Paid directly by investor 0.15 2036 - Series W Paid directly by investor 0.09 2037 - Series WH Paid directly by investor 0.09 2038 - Common Units 0.600 - 2039 - US$ Common Units 0.600 - 2040 - Total -

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

2020 2019 Loaned 61,034 7,428 Collateral (non-cash) 64,106 7,808

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

2020 2019 Gross securities lending revenue - 11 Charges - (11) Securities lending revenue - - Charges as a % of gross securities lending revenue - 100.0

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

Annual Financial Statements - December 31, 2020 – 132 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Credit Risk (cont’d) The Fund was invested in fixed income securities, with the following credit ratings, as per the table below. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2019 Credit Rating^* Net Assets (%) The table below summarizes the Fund’s exposure to concentration risk. AAA/Aaa/A++ 20.9 AA/Aa/A+ 10.2 as at December 31, 2019 A 18.6 Categories Net Assets (%) BBB/Baa/B++ 23.3 Long Positions BB/Ba/B+ 10.9 U.S.A. 41.03 B 10.1 Short-Term Investment(s) 25.62 CCC/Caa/C++ 0.6 Canada 22.82 Total 94.6 Other Net Assets (Liabilities) 7.33 Government of Canada & Guaranteed 4.62 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Netherlands 0.99 Investors Service or Dominion Bond Rating Service, respectively. U.K. 0.65 *Refer to Note 10 for Credit Rating Chart reference. Jersey 0.62 Luxembourg 0.53 Total unrealized gain on forward foreign currency contract(s) 0.33 Other Price Risk Bermuda 0.26 As at December 31, 2020, the Fund did not have a significant exposure to other price risk as the Fund Margin 0.04 did not invest in equities. Total unrealized gain on futures contract(s) 0.02 Total unrealized loss on forward foreign currency contract(s) (0.19) As at December 31, 2019, the Fund was exposed to other price risk as some of its assets were invested Total Long Positions 104.67 in Exchange-Traded Fund(s).

Short Positions As at December 31, 2019, had the fair value of equities in the investment portfolio of the Underlying Equities (2.15) Fund(s) increased or decreased by 10%, with all other variables held constant, net assets attributable Bonds (1.89) to holders of redeemable units of the Fund would have increased or decreased, respectively, by Government of Canada & Guaranteed (0.63) approximately $412,313. In practice, actual results may differ from this analysis and the difference Total Short Positions (4.67) may be material.

Total 100.00 Currency Risk The tables below summarize the Fund’s exposure to currency risk. Credit Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, as at December 31, 2020~ with the following credit ratings, as per the table below. Financial Instruments Net Net Exposure Derivatives Exposure Assets as at December 31, 2020 Currency (in $000’s) (in $000’s) (in $000’s) (%) Credit Rating^* Net Assets (%) U.S. Dollar 128,979 (99,797) 29,182 8.4 AAA/Aaa/A++ 18.3 Total 128,979 (99,797) 29,182 8.4 AA/Aa/A+ 3.6 A 2.6 BBB/Baa/B++ 13.5 as at December 31, 2019~ BB/Ba/B+ 21.5 Financial Instruments Net Net B 4.8 Exposure Derivatives Exposure Assets CCC/Caa/C++ 0.7 Currency (in $000’s) (in $000’s) (in $000’s) (%) Total 65.0 U.S. Dollar 100,291 (77,260) 23,031 12.0 Total 100,291 (77,260) 23,031 12.0

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

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

Annual Financial Statements - December 31, 2020 – 133 – CI First Asset Enhanced Short Duration Bond Fund (formerly CI First Asset Enhanced Short Duration Bond ETF) Fund Specific Notes to Financial Statements

Currency Risk (cont’d) Fair Value Hierarchy (cont’d) As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held Long Positions at fair value as at December 31, 2019 constant, net assets attributable to holders of redeemable units of the Fund would have decreased or Level 1 Level 2 Level 3 Total increased, respectively, by approximately $2,918,000 (December 31, 2019 - $2,303,000). In practice, (in $000’s) (in $000’s) (in $000’s) (in $000’s) actual results may differ from this analysis and the difference may be material. Bonds - 137,145 - 137,145 Short-term investment(s) - 49,125 - 49,125 Derivatives, net 36 275 - 305 Interest Rate Risk Total 36 186,545 - 186,581 The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual maturity date. Short Positions at fair value as at December 31, 2019 as at December 31, 2020 Level 1 Level 2 Level 3 Total Greater (in $000’s) (in $000’s) (in $000’s) (in $000’s) Less than 1 - 3 3 - 5 than Exchange-Traded Fund(s) (4,123) - - (4,123) 1 Year Years Years 5 Years Total Bonds - (4,826) - (4,826) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Total (4,123) (4,826) - (8,949) Interest Rate Exposure 98,941 47,241 31,711 47,929 225,822 There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 101,761 48,082 22,154 9,447 181,444

As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $1,506,000 (December 31, 2019 - $697,000). In practice, actual results may differ from this analysis and the difference may be material.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 172,366 - 172,366 Short-term investment(s) - 67,489 - 67,489 Derivatives, net (5) 298 - 293 Total (5) 240,153 - 240,148

Short Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - (14,033) - (14,033) Total - (14,033) - (14,033)

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

Annual Financial Statements - December 31, 2020 – 134 – CI First Asset European Bank ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 11,204 20,621 6.23 7.50 1,799,583 2,749,583 Current assets Investments 11,182 19,640 Investments pledged as collateral - - Cash 75 607 Unrealized gain on futures and foreign currency forward contracts 6 - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 9 53 Interest receivable - - Receivable for investments sold - 485 Receivable for unit subscriptions - - 11,272 20,785 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 26 - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - 121 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 9 15 Accounts payable and accrued liabilities 33 28 68 164 Net assets attributable to holders of redeemable units 11,204 20,621

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

Annual Financial Statements - December 31, 2020 – 135 – CIG - 580530137 CI First Asset European Bank ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (3,813) 1,838 (1.64) 0.57 2,325,676 3,229,857 Net gain (loss) on investments and derivatives Dividends 128 1,311 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (4,122) (5,257) Change in unrealized appreciation (depreciation) in value of investments and derivatives 552 6,507 Total net gain (loss) on investments and derivatives (3,442) 2,561 Other income Foreign exchange gain (loss) on cash (22) (64) Securities lending revenue (Note 6) - 3 Fees rebate - - Miscellaneous foreign income - - Other income 5 16 Total other income (17) (45) Total income (3,459) 2,516 Expenses Custody fees 22 23 Unitholders reporting costs 35 39 Management fees (Note 5) 109 200 Audit fees 5 4 Legal fees - 1 Independent review committee fees - 1 Commissions and other portfolio transaction costs 91 150 Securities borrowing fees (Note 2) - - Interest expense 1 4 Withholding taxes 70 223 Harmonized sales tax 21 33 Other expenses - - Total expenses 354 678 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (3,813) 1,838

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

Annual Financial Statements - December 31, 2020 – 136 – CI First Asset European Bank ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 20,621 29,374 Increase (decrease) in net assets attributable to holders of redeemable units (3,813) 1,838 Distributions to holders of redeemable units From net investment income - (743) From net realized gains - - Return of capital (226) (22) Total distributions to holders of redeemable units (226) (765)

Redeemable unit transactions Proceeds from redeemable units issued - 3,314 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (5,378) (13,140) Net increase (decrease) from redeemable unit transactions (5,378) (9,826) Net increase (decrease) in net assets attributable to holders of redeemable units (9,417) (8,753) Net assets attributable to holders of redeemable units at the end of year 11,204 20,621

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

Annual Financial Statements - December 31, 2020 – 137 – CI First Asset European Bank ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (3,813) 1,838 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 4,122 5,257 Unrealized foreign exchange (gain) loss on cash (3) 12 Commissions and other portfolio transaction costs 91 89 Change in unrealized (appreciation) depreciation in value of investments and derivatives (552) (6,507) Proceeds from sale and maturity of investments and derivatives 16,855 32,378 Purchase of investments and derivatives (11,675) (21,746) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 44 54 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (6) (7) Amortization interest earned - - Change in other accounts receivable and payable 5 (36) Net cash from (used in) operating activities 5,068 11,332

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (226) (765) Proceeds from issuance of redeemable units - 3,314 Amounts paid on redemption of redeemable units (5,377) (13,140) Net cash from (used in) financing activities (5,603) (10,591)

Unrealized foreign exchange gain (loss) on cash 3 (12) Net increase (decrease) in cash (535) 741 Cash (bank overdraft), beginning of year 607 (122) Cash (bank overdraft), end of year 75 607

Supplementary Information: Dividends received, net of withholding tax* 102 1,142 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (4) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 138 – CI First Asset European Bank ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Austria EUR 16,852 BAWAG Group AG 967,965 995,809 8.89

Belgium EUR 8,850 KBC Ancora 468,852 481,398 4.30

Bermuda GBP 82,040 Conduit Holdings Ltd. 708,534 718,958 6.42

Czech Republic CZK 239,340 Moneta Money Bank AS 1,006,325 964,572 8.61

Finland SEK 11,620 Nordea Bank Abp 129,714 120,844 1.08

France EUR 8,225 BNP Paribas SA 489,629 551,321 4.92

Guernsey USD 52,514 Burford Capital Ltd. 988,409 646,392 5.77

Italy EUR 49,219 Anima Holding SPA 330,164 297,118 2.65

Netherlands EUR 54,710 ABN AMRO Bank NV 1,073,751 682,311 EUR 82,406 ING Groep NV 1,135,670 979,152 2,209,421 1,661,463 14.82

Norway NOK 12,270 DNB ASA 285,515 306,022 2.73

Spain EUR 99,588 Banco Bilbao Vizcaya Argentaria SA 747,555 624,873 EUR 90,860 CaixaBank SA 301,627 296,852 1,049,182 921,725 8.23

Sweden SEK 12,900 Swedbank AB, Series ‘A’ 285,926 287,631 2.57

Switzerland CHF 41,260 Credit Suisse Group AG, Registered 642,590 676,298 6.04

U.K. GBP 51,955 Aviva PLC 335,431 294,103 GBP 263,690 Barclays PLC 674,856 673,265 GBP 219,970 NatWest Group PLC 809,813 641,931 GBP 19,440 Prudential PLC 508,495 455,812 2,328,595 2,065,111 18.42

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

Annual Financial Statements - December 31, 2020 – 139 – CI First Asset European Bank ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) United Arab Emirates GBP 85,800 Network International Holdings PLC 359,484 487,781 359,484 487,781 4.35 Total Equities 12,250,305 11,182,443 99.80 Adjustment for transaction costs (43,486) Total Investments 12,206,819 11,182,443 99.80 Total unrealized gain on forward foreign currency contract(s) 5,513 0.05 Total unrealized loss on forward foreign currency contract(s) (26,081) (0.23) Other Net Assets (Liabilities) 42,186 0.38 Net Assets Attributable to Holders of Redeemable Units 11,204,061 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Canadian Imperial Bank of Commerce A-1 March 09, 2021 CAD 374,385 GBP 220,990 1.69 (10,374) Canadian Imperial Bank of Commerce A-1 March 15, 2021 USD 20,000 CAD 25,553 0.78 (100) Canadian Imperial Bank of Commerce A-1 March 15, 2021 USD 28,000 CAD 36,049 0.78 (415) Royal Bank of Canada A-1+ February 18, 2021 CAD 227,421 USD 175,000 1.30 4,697 Royal Bank of Canada A-1+ March 09, 2021 CAD 104,328 GBP 60,000 1.74 (136) Royal Bank of Canada A-1+ March 09, 2021 CAD 106,948 GBP 62,000 1.72 (999) Royal Bank of Canada A-1+ March 09, 2021 CAD 573,435 GBP 330,000 1.74 (1,119) Royal Bank of Canada A-1+ March 09, 2021 CAD 389,744 GBP 230,010 1.69 (10,719) Royal Bank of Canada A-1+ March 09, 2021 GBP 81,000 CAD 140,211 0.58 816 Toronto-Dominion Bank (The) A-1+ March 09, 2021 CAD 204,969 GBP 119,000 1.72 (2,219) (20,568)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 140 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 6 (6) - - Derivative assets - Swaps and swaptions - - - - Total 6 (6) - - Derivative liabilities - Foreign currency forward contracts (26) 6 - (20) Derivative liabilities - Swaps and swaptions - - - - Total (26) 6 - (20) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts - - - - Derivative assets - Swaps and swaptions - - - - Total - - - - Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 141 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 60 89 Soft dollar commissions† 19 25

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 2,749,583 4,099,583 Redeemable units issued for cash - 450,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (950,000) (1,800,000) Number of redeemable units at the end of year 1,799,583 2,749,583

Annual Financial Statements - December 31, 2020 – 142 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.850

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

2020 2019 Loaned 444 - Collateral (non-cash) 471 -

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

2020 2019 Gross securities lending revenue - 4 Charges - (1) Securities lending revenue - 3 Charges as a % of gross securities lending revenue - 40.9

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

2020 Capital loss carried forward: 22,165 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 3 2035 - 2036 - 2037 - 2038 - 2039 - 2040 83 Total 86

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

Annual Financial Statements - December 31, 2020 – 143 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

Concentration Risk as at December 31, 2020~ For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Financial Instruments Net Net Exposure Derivatives Exposure Assets The table below summarizes the Fund’s exposure to concentration risk. Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 4,921 - 4,921 43.9 as at December 31, 2019 British Pound 3,292 (1,638) 1,654 14.8 Categories Net Assets (%) Czech Koruna 965 - 965 8.6 U.K. 14.30 Swiss Franc 676 - 676 6.0 Spain 12.30 U.S. Dollar 646 (162) 484 4.3 Netherlands 12.17 Swedish Krona 408 - 408 3.6 Italy 8.92 Norwegian Krone 306 - 306 2.7 Austria 7.96 Total 11,214 (1,800) 9,414 83.9 Ireland 6.39 Czech Republic 5.56 Sweden 4.93 as at December 31, 2019~ U.S.A. 4.85 Financial Instruments Net Net Other Net Assets (Liabilities) 4.76 Exposure Derivatives Exposure Assets Norway 4.65 Currency (in $000’s) (in $000’s) (in $000’s) (%) Russia 3.83 Euro 10,633 - 10,633 51.6 Finland 3.16 British Pound 3,945 - 3,945 19.1 Denmark 2.14 Swedish Krona 1,672 - 1,672 8.1 Hungary 1.28 Czech Koruna 1,146 - 1,146 5.6 France 1.11 Norwegian Krone 963 - 963 4.7 Belgium 1.01 U.S. Dollar 790 - 790 3.8 Switzerland 0.68 Danish Krone 462 - 462 2.2 Total 100.00 Hungarian Forint 265 - 265 1.3 Swiss Franc 141 - 141 0.7 Total 20,017 - 20,017 97.1 Credit Risk As at December 31, 2020, the Fund’s exposure to credit risk through derivative instruments was ~Includes monetary and non-monetary instruments, if any. insignificant. As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, As at December 31, 2019, the Fund did not have a significant exposure to credit risk as substantially all 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held of its assets were invested in equities. constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $941,000 (December 31, 2019 - $2,002,000). In practice, actual results may differ from this analysis and the difference may be material. Other Price Risk As at December 31, 2020 and 2019, the Fund was predominantly invested in equities of European companies and therefore was sensitive to changes in general economic conditions across Europe. Interest Rate Risk As at December 31, 2020, the Fund did not have a significant exposure to interest rate risk as As at December 31, 2020, had the fair value of equities in the investment portfolio increased or substantially all of its assets were invested in equities and derivatives. decreased by 10%, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately As at December 31, 2019, the Fund’s exposure to interest rate risk was insignificant as substantially $1,118,000. In practice, actual results may differ from this analysis and the difference may be material. all of its assets were invested in equities.

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2019 Benchmark ($) STOXX Europe 600 Banks Total Return Index 1,842,098

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

Annual Financial Statements - December 31, 2020 – 144 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 11,182 - - 11,182 Derivatives, net - (20) - (20) Total 11,182 (20) - 11,162

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 18,850 790 - 19,640 Total 18,850 790 - 19,640

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

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

Annual Financial Statements - December 31, 2020 – 145 – CI First Asset Global Financial Sector ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 542,267 337,999 19.28 20.01 28,121,952 16,891,952 Current assets Investments 529,854 320,003 Investments pledged as collateral - - Cash 13,821 15,880 Unrealized gain on futures and foreign currency forward contracts 1,373 595 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 380 240 Cash collateral on deposit for short sale - - Dividends receivable 572 217 Interest receivable - - Receivable for investments sold 2,662 2,088 Receivable for unit subscriptions - - 548,662 339,023 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 582 138 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 4,941 340 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 383 243 Accounts payable and accrued liabilities 489 303 6,395 1,024 Net assets attributable to holders of redeemable units 542,267 337,999

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

Annual Financial Statements - December 31, 2020 – 146 – CIG - 580530157 CI First Asset Global Financial Sector ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (7,425) 43,299 (0.33) 3.34 22,341,597 12,967,637 Net gain (loss) on investments and derivatives Dividends 7,333 10,447 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (22,484) 5,669 Change in unrealized appreciation (depreciation) in value of investments and derivatives 11,304 30,743 Total net gain (loss) on investments and derivatives (3,847) 46,859 Other income Foreign exchange gain (loss) on cash (1,083) (702) Securities lending revenue (Note 6) 5 11 Fees rebate 2,991 2,025 Miscellaneous foreign income - - Other income 14 10 Total other income 1,927 1,344 Total income (1,920) 48,203 Expenses Custody fees 118 84 Unitholders reporting costs 95 72 Management fees (Note 5) 3,035 2,086 Audit fees 5 4 Legal fees - 7 Independent review committee fees 2 3 Commissions and other portfolio transaction costs 1,327 1,327 Securities borrowing fees (Note 2) - - Interest expense 12 12 Withholding taxes 885 1,285 Harmonized sales tax 26 24 Other expenses - - Total expenses 5,505 4,904 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (7,425) 43,299

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

Annual Financial Statements - December 31, 2020 – 147 – CI First Asset Global Financial Sector ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 337,999 139,878 Increase (decrease) in net assets attributable to holders of redeemable units (7,425) 43,299 Distributions to holders of redeemable units From net investment income (6,274) (7,229) From net realized gains - (304) Return of capital (2,698) (175) Total distributions to holders of redeemable units (8,972) (7,708)

Redeemable unit transactions Proceeds from redeemable units issued 231,892 163,182 Reinvestment of distributions to holders of redeemable units - 304 Redemption of redeemable units (11,227) (956) Net increase (decrease) from redeemable unit transactions 220,665 162,530 Net increase (decrease) in net assets attributable to holders of redeemable units 204,268 198,121 Net assets attributable to holders of redeemable units at the end of year 542,267 337,999

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

Annual Financial Statements - December 31, 2020 – 148 – CI First Asset Global Financial Sector ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (7,425) 43,299 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 22,484 (5,669) Unrealized foreign exchange (gain) loss on cash (16) 25 Commissions and other portfolio transaction costs 1,327 1,289 Change in unrealized (appreciation) depreciation in value of investments and derivatives (11,304) (30,743) Proceeds from sale and maturity of investments and derivatives 316,899 354,345 Purchase of investments and derivatives (535,565) (502,677) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (355) (154) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 140 143 Amortization interest earned - - Change in other accounts receivable and payable 46 99 Net cash from (used in) operating activities (213,769) (140,043)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (8,972) (7,510) Proceeds from issuance of redeemable units 231,893 163,182 Amounts paid on redemption of redeemable units (11,227) (956) Net cash from (used in) financing activities 211,694 154,716

Unrealized foreign exchange gain (loss) on cash 16 (25) Net increase (decrease) in cash (2,075) 14,673 Cash (bank overdraft), beginning of year 15,880 1,232 Cash (bank overdraft), end of year 13,821 15,880

Supplementary Information: Dividends received, net of withholding tax* 6,093 9,008 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (12) (12) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 149 – CI First Asset Global Financial Sector ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Austria EUR 335,200 BAWAG Group AG 18,552,254 19,807,456 3.65

Bermuda GBP 3,881,000 Conduit Holdings Ltd. 33,515,723 34,011,173 USD 662,648 Third Point Reinsurance Ltd. 7,363,874 8,029,974 40,879,597 42,041,147 7.75 Brazil BRL 1,475,560 Banco Bradesco SA, Preferred 12,122,822 9,813,916 BRL 1,125,040 Banco do Brasil SA 14,672,666 10,697,328 26,795,488 20,511,244 3.78 Canada 263,700 Bank of Nova Scotia 15,430,313 18,142,560 20,800 Fairfax Financial Holdings Ltd. 8,949,792 9,024,080 20,100 Great-West Lifeco Inc., 5.15%, Preferred, Series ‘Q’, Perpetual 479,988 503,606 877,380 Manulife Financial Corp. 16,609,652 19,872,656 10,000 Manulife Financial Corp., 4.65%, Preferred, Class’A’ , Series ‘2’, Perpetual 221,550 243,900 20,000 Sun Life Financial Inc., 4.75%, Preferred, Class ‘A’, Series ‘1’, Perpetual 447,200 495,200 3,000 Sun Life Financial Inc., 4.80%, Preferred, Class ‘A’, Series ‘2’, Perpetual 68,655 74,550 42,207,150 48,356,552 8.92

China HKD 445,300 Ping An Insurance (Group) Co. of China Ltd. 6,416,679 6,945,949 1.28

Czech Republic CZK 208,309 Komercni Banka AS 7,121,408 8,111,179 CZK 4,913,889 Moneta Money Bank AS 20,732,737 19,803,630 27,854,145 27,914,809 5.15

Guernsey USD 2,454,883 Burford Capital Ltd. 34,832,852 30,217,015 5.57

India INR 148,348 Shriram Transport Finance Co. Ltd. 2,643,749 2,704,525 0.50

Indonesia IDR 5,480,000 PT Bank Rakyat Indonesia (Persero) TBK 1,380,873 2,070,306 0.38

Ireland USD 60,696 Willis Towers Watson PLC 16,421,882 16,277,124 3.00

Italy EUR 764,719 Anima Holding SPA 4,295,538 4,616,348 0.85

Netherlands EUR 1,596,100 ABN AMRO Bank NV 29,008,711 19,905,613 USD 239,800 AerCap Holdings NV 11,214,613 13,912,904 EUR 2,338,010 ING Groep NV 26,200,807 27,780,346 66,424,131 61,598,863 11.37

Peru USD 418,966 Intercorp Financial Services 19,455,388 17,252,314 3.18

Thailand THB 342,700 Siam Commercial Bank PCL 1,448,902 1,274,015 0.23

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

Annual Financial Statements - December 31, 2020 – 150 – CI First Asset Global Financial Sector ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) U.K. GBP 25,354 Arrow Global Group PLC 78,502 90,253 GBP 2,841,630 Aviva PLC 17,921,572 16,085,690 GBP 756,710 Prudential PLC 17,128,111 17,742,658 35,128,185 33,918,601 6.26 U.S.A. USD 29,994 Capital One Financial Corp. 3,691,530 3,774,030 USD 672,257 Citigroup Inc. 45,863,086 52,763,445 USD 242,699 East West Bancorp Inc. 14,472,926 15,665,919 USD 917,251 Equitable Holdings Inc. 24,343,308 29,878,086 USD 2,106,277 SLM Corp. 26,992,297 33,218,581 USD 1,223,253 Synchrony Financial 47,130,132 54,046,202 USD 32,600 Synchrony Financial, 5.63%, Preferred, Series ‘A’, Perpetual 895,233 1,107,958 163,388,512 190,454,221 35.12

United Arab Emirates GBP 684,940 Network International Holdings PLC 3,240,947 3,893,950 0.72

Total Equities 511,366,272 529,854,439 97.71 Adjustment for transaction costs (863,879) Total Investments 510,502,393 529,854,439 97.71 Total unrealized gain on forward foreign currency contract(s) 1,373,347 0.25 Total unrealized loss on forward foreign currency contract(s) (581,527) (0.11) Other Net Assets (Liabilities) 11,621,075 2.15 Net Assets Attributable to Holders of Redeemable Units 542,267,334 100.00

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

Annual Financial Statements - December 31, 2020 – 151 – CI First Asset Global Financial Sector ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Bank of Montreal A-1 January 21, 2021 CAD 1,319,429 USD 995,491 1.33 52,353 Bank of Montreal A-1 March 15, 2021 CAD 2,531,413 USD 1,967,582 1.29 27,357 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 3,119,307 USD 2,375,067 1.31 96,531 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 153,260 USD 118,433 1.29 2,529 Canadian Imperial Bank of Commerce A-1 March 9, 2021 CAD 8,398,350 GBP 4,957,330 1.69 (232,721) Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 8,055,550 USD 6,299,000 1.28 39,090 Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 1,608,383 USD 1,243,430 1.29 25,924 Citibank N.A., New York A-1 February 18, 2021 CAD 4,131,726 USD 3,167,190 1.30 100,805 HSBC Bank, Toronto A-1 January 21, 2021 CAD 3,102,315 USD 2,342,333 1.32 120,959 HSBC Bank, Toronto A-1 February 18, 2021 CAD 2,599,810 USD 1,979,223 1.31 80,829 HSBC Bank, Toronto A-1 March 15, 2021 CAD 2,572,001 USD 1,989,489 1.29 40,066 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 2,641,941 USD 2,037,425 1.30 48,886 Morgan Stanley & Co. International PLC A-1 January 21, 2021 CAD 2,327,879 USD 1,756,750 1.33 91,862 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 3,587,796 USD 2,771,291 1.29 60,741 Royal Bank of Canada A-1+ January 21, 2021 CAD 7,675,093 USD 5,897,000 1.30 169,306 Royal Bank of Canada A-1+ January 21, 2021 CAD 709,907 USD 535,809 1.32 27,921 Royal Bank of Canada A-1+ January 21, 2021 CAD 705,388 USD 532,617 1.32 27,465 Royal Bank of Canada A-1+ February 18, 2021 CAD 10,865,546 USD 8,361,000 1.30 224,401 Royal Bank of Canada A-1+ February 18, 2021 CAD 3,586,000 USD 2,770,539 1.29 59,902 Royal Bank of Canada A-1+ March 9, 2021 CAD 8,300,912 GBP 4,777,000 1.74 (16,192) Royal Bank of Canada A-1+ March 9, 2021 CAD 8,742,875 GBP 5,159,670 1.69 (240,485) Toronto-Dominion Bank (The) A-1+ February 18, 2021 CAD 1,557,617 USD 1,187,534 1.31 46,228 Toronto-Dominion Bank (The) A-1+ March 9, 2021 CAD 8,510,510 GBP 4,941,000 1.72 (92,129) Toronto-Dominion Bank (The) A-1+ March 15, 2021 CAD 2,245,635 USD 1,740,802 1.29 30,192 791,820

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 152 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,373 (497) - 876 Derivative assets - Swaps and swaptions - - - - Total 1,373 (497) - 876 Derivative liabilities - Foreign currency forward contracts (581) 497 - (84) Derivative liabilities - Swaps and swaptions - - - - Total (581) 497 - (84) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 595 (76) - 519 Derivative assets - Swaps and swaptions - - - - Total 595 (76) - 519 Derivative liabilities - Foreign currency forward contracts (138) 76 - (62) Derivative liabilities - Swaps and swaptions - - - - Total (138) 76 - (62)

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

Annual Financial Statements - December 31, 2020 – 153 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 1,304 1,289 Soft dollar commissions† 406 331

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 16,891,952 8,341,952 Redeemable units issued for cash 12,060,000 8,600,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (830,000) (50,000) Number of redeemable units at the end of year 28,121,952 16,891,952

Annual Financial Statements - December 31, 2020 – 154 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.850

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

2020 2019 Loaned 2,698 10,975 Collateral (non-cash) 2,857 11,570

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

2020 2019 Gross securities lending revenue 9 19 Charges (4) (8) Securities lending revenue 5 11 Charges as a % of gross securities lending revenue 41.8 40.0

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

2020 Capital loss carried forward: 21,379 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 155 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Other Price Risk (cont’d) As at December 31, 2020, had the fair value of equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of Concentration Risk redeemable units of the Fund would have increased or decreased, respectively, by approximately For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. $52,985,000. In practice, actual results may differ from this analysis and the difference may be material.

The table below summarizes the Fund’s exposure to concentration risk. The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This as at December 31, 2019 change is estimated based on the historical correlation between the return of the Fund’s securities as Categories Net Assets (%) compared to the return of the benchmark(s), as at year end, with all other variables held constant. The U.S.A. 45.55 historical correlation may not be representative of the future correlation, and accordingly the impact on Netherlands 7.58 net assets attributable to holders of redeemable units could be different. Other Net Assets (Liabilities) 5.18 Czech Republic 5.17 Impact on Net Assets Attributable to Holders of Redeemable Units Austria 4.74 as at December 31, 2019 U.K. 4.65 Benchmark ($) Ireland 3.64 MSCI ACWI Financials Total Return Index 27,158,204 Spain 3.57 Peru 2.89 Russia 2.63 Currency Risk Brazil 2.52 The tables below summarize the Fund’s exposure to currency risk. Italy 2.02 Hong Kong 1.99 as at December 31, 2020~ China 1.97 Financial Instruments Net Net India 1.43 Exposure Derivatives Exposure Assets Belgium 1.30 Currency (in $000’s) (in $000’s) (in $000’s) (%) Denmark 1.30 U.S. Dollar 275,526 (63,723) 211,803 39.1 Indonesia 1.10 Euro 72,716 - 72,716 13.4 Canada 0.63 British Pound 72,174 (34,534) 37,640 6.9 Total unrealized gain on forward foreign currency contract(s) 0.18 Czech Koruna 27,915 - 27,915 5.1 Total unrealized loss on forward foreign currency contract(s) (0.04) Brazilian Real 20,591 - 20,591 3.8 Total 100.00 Hong Kong Dollar 8,884 - 8,884 1.6 Indian Rupee 2,705 - 2,705 0.5 Indonesian Rupiah 2,070 - 2,070 0.4 Credit Risk Thai Baht 1,274 - 1,274 0.2 The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, Swedish Krona 50 - 50 0.0 with the following credit ratings, as per the table below. Total 483,905 (98,257) 385,648 71.0 as at December 31, 2020 Credit Rating^* Net Assets (%) as at December 31, 2019~ AA/Aa/A+ 0.1 Financial Instruments Net Net A 0.2 Exposure Derivatives Exposure Assets BB/Ba/B+ 0.2 Currency (in $000’s) (in $000’s) (in $000’s) (%) B 1.8 U.S. Dollar 158,196 (12,334) 145,862 43.2 Total 2.3 Euro 77,999 - 77,999 23.1 British Pound 31,633 - 31,633 9.4 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Czech Koruna 17,459 - 17,459 5.2 Investors Service or Dominion Bond Rating Service, respectively. Brazilian Real 8,532 - 8,532 2.5 *Refer to Note 10 for Credit Rating Chart reference. Indian Rupee 4,840 - 4,840 1.4 Danish Krone 4,462 - 4,462 1.3 As at December 31, 2019, the Fund’s exposure to credit risk through derivative instruments was Indonesian Rupiah 3,718 - 3,718 1.1 insignificant. Hong Kong Dollar 13,388 (10,139) 3,249 1.0 Swedish Krona 45 - 45 0.0 Norwegian Krone 1 - 1 0.0 Other Price Risk Total 320,273 (22,473) 297,800 88.2 As at December 31, 2020 and 2019, the Fund was predominantly invested in global equities and therefore was sensitive to changes in general economic conditions across the world. ~Includes monetary and non-monetary instruments, if any.

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

Annual Financial Statements - December 31, 2020 – 156 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d) As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $38,565,000 (December 31, 2019 - $29,780,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 529,854 - - 529,854 Derivatives, net - 791 - 791 Total 529,854 791 - 530,645

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 311,103 8,900 - 320,003 Derivatives, net - 457 - 457 Total 311,103 9,357 - 320,460

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

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

Annual Financial Statements - December 31, 2020 – 157 – CI First Asset Gold+ Giants Covered Call ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 452,110 54,991 13.13 12.68 34,438,041 4,338,041 Current assets Investments 453,184 55,657 Investments pledged as collateral - - Cash 614 116 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 210 12 Cash collateral on deposit for short sale - - Dividends receivable 280 16 Interest receivable - - Receivable for investments sold 185 - Receivable for unit subscriptions - - 454,473 55,801 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options 1,668 747 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 185 - Payable for unit redemptions 1 4 Distributions payable to holders of redeemable units - - Management fees payable 251 29 Accounts payable and accrued liabilities 258 30 2,363 810 Net assets attributable to holders of redeemable units 452,110 54,991

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

Annual Financial Statements - December 31, 2020 – 158 – CIG - 580530307 CI First Asset Gold+ Giants Covered Call ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 2,750 5,675 0.15 2.45 18,408,055 2,320,644 Net gain (loss) on investments and derivatives Dividends 3,119 282 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 22,736 (761) Change in unrealized appreciation (depreciation) in value of investments and derivatives (21,330) 6,494 Total net gain (loss) on investments and derivatives 4,525 6,015 Other income Foreign exchange gain (loss) on cash (245) (7) Securities lending revenue (Note 6) 8 1 Fees rebate 1,405 45 Miscellaneous foreign income - - Other income - - Total other income 1,168 39 Total income 5,693 6,054 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 1,748 180 Audit fees - - Legal fees - - Independent review committee fees 2 - Commissions and other portfolio transaction costs 1,021 173 Securities borrowing fees (Note 2) - - Interest expense 1 - Withholding taxes 127 7 Harmonized sales tax 44 19 Other expenses - - Total expenses 2,943 379 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 2,750 5,675

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

Annual Financial Statements - December 31, 2020 – 159 – CI First Asset Gold+ Giants Covered Call ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 54,991 14,906 Increase (decrease) in net assets attributable to holders of redeemable units 2,750 5,675 Distributions to holders of redeemable units From net investment income (1,869) (16) From net realized gains (8,508) - Return of capital (23,683) (2,348) Total distributions to holders of redeemable units (34,060) (2,364)

Redeemable unit transactions Proceeds from redeemable units issued 480,484 37,379 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (52,055) (605) Net increase (decrease) from redeemable unit transactions 428,429 36,774 Net increase (decrease) in net assets attributable to holders of redeemable units 397,119 40,085 Net assets attributable to holders of redeemable units at the end of year 452,110 54,991

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

Annual Financial Statements - December 31, 2020 – 160 – CI First Asset Gold+ Giants Covered Call ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 2,750 5,675 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (22,736) 761 Unrealized foreign exchange (gain) loss on cash 1 1 Commissions and other portfolio transaction costs 1,021 139 Change in unrealized (appreciation) depreciation in value of investments and derivatives 21,330 (6,494) Proceeds from sale and maturity of investments and derivatives 211,143 29,400 Purchase of investments and derivatives (252,531) (27,185) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (264) (4) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 223 22 Amortization interest earned - - Change in other accounts receivable and payable 31 12 Net cash from (used in) operating activities (39,032) 2,327

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (34,060) (2,364) Proceeds from issuance of redeemable units 74,664 94 Amounts paid on redemption of redeemable units (1,073) 8 Net cash from (used in) financing activities 39,531 (2,262)

Unrealized foreign exchange gain (loss) on cash (1) (1) Net increase (decrease) in cash 499 65 Cash (bank overdraft), beginning of year 116 52 Cash (bank overdraft), end of year 614 116

Supplementary Information: Dividends received, net of withholding tax* 2,728 271 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 161 – CI First Asset Gold+ Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Materials 336,176 Agnico Eagle Mines Ltd. 29,043,559 30,118,008 USD 1,033,097 AngloGold Ashanti Ltd., ADR 36,653,301 29,745,960 4,277,396 B2Gold Corp. 31,790,575 30,497,833 1,037,997 Barrick Gold Corp. 35,725,054 30,101,913 182,088 Franco-Nevada Corp. 33,143,397 29,061,245 USD 2,470,630 Gold Fields Ltd., ADR 30,705,741 29,152,898 3,216,110 Kinross Gold Corp. 30,935,637 30,038,467 577,543 Kirkland Lake Gold Ltd. 32,796,294 30,378,762 USD 399,305 Newmont Corp. 32,723,883 30,440,610 722,381 Pan American Silver Corp. 27,124,695 31,712,526 USD 214,694 Royal Gold Inc. 34,610,728 29,066,485 USD 1,501,926 Sibanye Stillwater Ltd., ADR 24,286,648 30,378,528 1,231,243 SSR Mining Inc. 31,504,242 31,470,571 573,092 Wheaton Precious Metals Corp. 32,167,065 30,465,571 4,202,830 Yamana Gold Inc. 28,821,434 30,554,574 Total Equities 472,032,253 453,183,951 100.24 Adjustment for transaction costs (611,704) Total Investments 471,420,549 453,183,951 100.24 Total option contract(s) (1,667,725) (0.37) Other Net Assets (Liabilities) 593,324 0.13 Net Assets Attributable to Holders of Redeemable Units 452,109,550 100.00

Option Contract(s)

Number of Strike Price Proceeds Fair Value Contract(s) Underlying Security (100 shares per contract) ($) Expiry Date ($) ($) (836) Agnico Eagle Mines Ltd. 94.00 January 16, 2021 (265,848) (96,558) (2,571) AngloGold Ashanti Ltd., ADR 24.00 January 16, 2021 (355,074) (130,905) (10,647) B2Gold Corp. 8.00 January 16, 2021 (170,352) (69,206) (2,583) Barrick Gold Corp. 31.00 January 16, 2021 (211,806) (60,701) (453) Franco-Nevada Corp. 175.00 January 16, 2021 (189,354) (18,120) (6,150) Gold Fields Ltd., ADR 10.00 January 16, 2021 (424,680) (136,996) (8,006) Kinross Gold Corp. 10.00 January 16, 2021 (328,326) (128,096) (1,437) Kirkland Lake Gold Ltd. 54.00 January 16, 2021 (349,191) (136,515) (993) Newmont Corp. 65.00 January 16, 2021 (120,747) (32,232) (1,798) Pan American Silver Corp. 44.00 January 16, 2021 (354,206) (302,063) (534) Royal Gold Inc. 115.00 January 16, 2021 (271,780) (42,483) (3,737) Sibanye Stillwater Ltd., ADR 17.50 January 16, 2021 (235,402) (130,813) (3,066) SSR Mining Inc. 26.00 January 16, 2021 (312,732) (243,746) (1,426) Wheaton Precious Metals Corp. 56.00 January 16, 2021 (232,438) (86,986) (10,461) Yamana Gold Inc. 8.00 January 16, 2021 (125,532) (52,305) Total Option Contract(s) (3,947,468) (1,667,725)

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

Annual Financial Statements - December 31, 2020 – 162 – CI First Asset Gold+ Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 971 139 Soft dollar commissions† 59 1

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 4,338,041 1,313,041 Redeemable units issued for cash 33,875,000 3,075,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (3,775,000) (50,000) Number of redeemable units at the end of year 34,438,041 4,338,041

Annual Financial Statements - December 31, 2020 – 163 – CI First Asset Gold+ Giants Covered Call ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.650

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

2020 2019 Loaned 9,706 5,399 Collateral (non-cash) 10,198 5,672

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

2020 2019 Gross securities lending revenue 15 2 Charges (7) (1) Securities lending revenue 8 1 Charges as a % of gross securities lending revenue 45.8 39.9

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

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

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

Annual Financial Statements - December 31, 2020 – 164 – CI First Asset Gold+ Giants Covered Call ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk (cont’d)

as at December 31, 2019~ Concentration Risk Financial Instruments Net Net For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) The table below summarizes the Fund’s exposure to concentration risk. U.S. Dollar 18,398 (239) 18,159 33.0 Total 18,398 (239) 18,159 33.0 as at December 31, 2019 Categories Net Assets (%) ~Includes monetary and non-monetary instruments, if any. Equities 101.21 Total call option position(s) (1.36) As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Other Net Assets (Liabilities) 0.15 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held Total 100.00 constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $14,832,000 (December 31, 2019 - $1,816,000). In practice, actual results may differ from this analysis and the difference may be material. Credit Risk As at December 31, 2020 and 2019, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities. Interest Rate Risk As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives. Other Price Risk As at December 31, 2020 and 2019, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada. Fair Value Hierarchy

As at December 31, 2020, had the fair value of equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and redeemable units of the Fund would have increased or decreased, respectively, by approximately derivatives carried at fair value. $45,318,000. In practice, actual results may differ from this analysis and the difference may be material. Long Positions at fair value as at December 31, 2020 The table below indicates how net assets attributable to holders of redeemable units would have Level 1 Level 2 Level 3 Total increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This (in $000’s) (in $000’s) (in $000’s) (in $000’s) change is estimated based on the historical correlation between the return of the Fund’s securities as Equities 363,907 89,277 - 453,184 compared to the return of the benchmark(s), as at year end, with all other variables held constant. The Total 363,907 89,277 - 453,184 historical correlation may not be representative of the future correlation, and accordingly the impact on net assets attributable to holders of redeemable units could be different. Short Positions at fair value as at December 31, 2020 Impact on Net Assets Attributable to Holders of Redeemable Units Level 1 Level 2 Level 3 Total as at December 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Benchmark ($) Option contract(s) (1,668) - - (1,668) S&P/TSX Global Gold Total Return Index 2,192,036 Total (1,668) - - (1,668)

Currency Risk Long Positions at fair value as at December 31, 2019 The tables below summarize the Fund’s exposure to currency risk. Level 1 Level 2 Level 3 Total as at December 31, 2020~ (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 44,570 11,087 - 55,657 Financial Instruments Net Net Total 44,570 11,087 - 55,657 Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 148,788 (473) 148,315 32.8 Total 148,788 (473) 148,315 32.8

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

Annual Financial Statements - December 31, 2020 – 165 – CI First Asset Gold+ Giants Covered Call ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Option contract(s) (747) - - (747) Total (747) - - (747)

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

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

Annual Financial Statements - December 31, 2020 – 166 – CI First Asset Health Care Giants Covered Call ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 180,975 197,933 10.71 11.09 16,900,000 17,850,000 Current assets Unhedged Investments 183,624 197,269 Common Units 2,722 1,687 10.89 11.25 250,000 150,000 Investments pledged as collateral - - Cash 490 324 Unrealized gain on futures and foreign currency forward contracts 664 2,358 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 92 102 Cash collateral on deposit for short sale - - Dividends receivable 190 200 Interest receivable - - Receivable for investments sold 75 - Receivable for unit subscriptions - - 185,135 200,253 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options 1,146 395 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 75 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 103 109 Accounts payable and accrued liabilities 114 129 1,438 633 Net assets attributable to holders of redeemable units 183,697 199,620

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

Annual Financial Statements - December 31, 2020 – 167 – CIG - 580530487 CI First Asset Health Care Giants Covered Call ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 13,470 28,088 0.75 1.71 17,997,814 16,436,438 Net gain (loss) on investments and derivatives Unhedged Dividends 4,255 3,404 Common Units 148 185 0.77 1.27 191,667 145,890 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 13,923 (3,504) Change in unrealized appreciation (depreciation) in value of investments and derivatives (3,708) 29,050 Total net gain (loss) on investments and derivatives 14,470 28,950 Other income Foreign exchange gain (loss) on cash 66 38 Securities lending revenue (Note 6) - 12 Fees rebate 1,135 1,039 Miscellaneous foreign income - - Other income - - Total other income 1,201 1,089 Total income 15,671 30,039 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 1,233 1,112 Audit fees - - Legal fees - - Independent review committee fees 1 3 Commissions and other portfolio transaction costs 150 166 Securities borrowing fees (Note 2) - - Interest expense 10 3 Withholding taxes 647 472 Harmonized sales tax 12 10 Other expenses - - Total expenses 2,053 1,766 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 13,618 28,273

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

Annual Financial Statements - December 31, 2020 – 168 – CI First Asset Health Care Giants Covered Call ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 197,933 132,167 1,687 1,066 199,620 133,233 Increase (decrease) in net assets attributable to holders of redeemable units 13,470 28,088 148 185 13,618 28,273 Distributions to holders of redeemable units From net investment income (3,416) (2,665) (57) (22) (3,473) (2,687) From net realized gains (5,567) - (42) - (5,609) - Return of capital (10,398) (8,311) (114) (69) (10,512) (8,380) Total distributions to holders of redeemable units (19,381) (10,976) (213) (91) (19,594) (11,067)

Redeemable unit transactions Proceeds from redeemable units issued 24,455 50,695 1,632 527 26,087 51,222 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (35,502) (2,041) (532) - (36,034) (2,041) Net increase (decrease) from redeemable unit transactions (11,047) 48,654 1,100 527 (9,947) 49,181 Net increase (decrease) in net assets attributable to holders of redeemable units (16,958) 65,766 1,035 621 (15,923) 66,387 Net assets attributable to holders of redeemable units at the end of year 180,975 197,933 2,722 1,687 183,697 199,620

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

Annual Financial Statements - December 31, 2020 – 169 – CI First Asset Health Care Giants Covered Call ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 13,618 28,273 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (13,923) 3,504 Unrealized foreign exchange (gain) loss on cash (3) 5 Commissions and other portfolio transaction costs 150 130 Change in unrealized (appreciation) depreciation in value of investments and derivatives 3,708 (29,050) Proceeds from sale and maturity of investments and derivatives 105,370 99,509 Purchase of investments and derivatives (89,280) (91,455) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 9 (81) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (6) 40 Amortization interest earned - - Change in other accounts receivable and payable (5) 82 Net cash from (used in) operating activities 19,638 10,957

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (19,594) (11,138) Proceeds from issuance of redeemable units 477 14 Amounts paid on redemption of redeemable units (358) (27) Net cash from (used in) financing activities (19,475) (11,151)

Unrealized foreign exchange gain (loss) on cash 3 (5) Net increase (decrease) in cash 163 (194) Cash (bank overdraft), beginning of year 324 523 Cash (bank overdraft), end of year 490 324

Supplementary Information: Dividends received, net of withholding tax* 3,617 2,851 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (10) (3) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 170 – CI First Asset Health Care Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Health Care USD 65,776 Abbott Laboratories 7,130,649 9,167,189 USD 68,742 AbbVie Inc. 7,858,826 9,375,806 USD 31,235 Amgen Inc. 8,824,966 9,141,397 USD 23,059 Anthem Inc. 8,259,387 9,424,570 USD 28,617 Becton, Dickinson and Co. 9,125,001 9,114,659 USD 113,509 Bristol-Myers Squibb Co. 8,090,074 8,962,442 USD 36,277 Cigna Corp. 8,968,778 9,613,126 USD 102,889 CVS Health Corp. 8,897,981 8,945,074 USD 31,829 Danaher Corp. 5,438,778 9,000,032 USD 41,979 Eli Lilly and Co. 6,990,430 9,021,977 USD 121,092 Gilead Sciences Inc. 10,810,905 8,980,081 USD 43,209 HCA Healthcare Inc. 9,075,741 9,045,421 USD 46,490 Johnson & Johnson 8,620,968 9,313,295 USD 61,209 Medtronic PLC 7,739,351 9,126,721 USD 90,302 Merck & Co. Inc. 9,606,462 9,402,535 USD 188,910 Pfizer Inc. 9,755,814 8,851,463 USD 29,976 Stryker Corp. 7,267,180 9,349,857 USD 15,370 Thermo Fisher Scientific Inc. 6,298,371 9,112,740 USD 21,137 UnitedHealth Group Inc. 7,564,539 9,435,146 USD 43,862 Zoetis Inc. 7,815,100 9,240,186 Total Equities 164,139,301 183,623,717 99.96 Adjustment for transaction costs (70,996) Total Investments 164,068,305 183,623,717 99.96 Total option contract(s) (1,145,665) (0.62) Total unrealized gain on forward foreign currency contract(s) 663,768 0.36 Other Net Assets (Liabilities) 555,173 0.30 Net Assets Attributable to Holders of Redeemable Units 183,696,993 100.00

Option Contract(s)

Number of Strike Price Proceeds Fair Value Contract(s) Underlying Security (100 shares per contract) ($) Expiry Date ($) ($) (163) Abbott Laboratories 110.00 January 16, 2021 (42,211) (38,488) (171) AbbVie Inc. 105.00 January 16, 2021 (44,718) (75,095) (77) Amgen Inc. 230.00 January 16, 2021 (53,986) (47,291) (57) Anthem Inc. 310.00 January 16, 2021 (67,005) (111,373) (71) Becton, Dickinson and Co. 250.00 January 16, 2021 (50,799) (44,284) (282) Bristol-Myers Squibb Co. 62.50 January 16, 2021 (54,633) (37,870) (90) Cigna Corp. 200.00 January 16, 2021 (63,817) (135,183) (256) CVS Health Corp. 70.00 January 16, 2021 (58,435) (26,884) (79) Danaher Corp. 230.00 January 16, 2021 (40,056) (20,715) (104) Eli Lilly and Co. 170.00 January 16, 2021 (70,167) (43,686) (301) Gilead Sciences Inc. 60.00 January 16, 2021 (48,310) (36,015) (107) HCA Healthcare Inc. 165.00 January 16, 2021 (72,548) (59,247) (115) Johnson & Johnson 155.00 January 16, 2021 (42,550) (58,553) (152) Medtronic PLC 120.00 January 16, 2021 (24,575) (19,348) (224) Merck & Co. Inc. 80.00 January 16, 2021 (37,751) (76,272) (470) Pfizer Inc. 38.00 January 16, 2021 (73,018) (21,537) (74) Stryker Corp. 240.00 January 16, 2021 (50,964) (78,182) (38) Thermo Fisher Scientific Inc. 460.00 January 16, 2021 (58,093) (64,816) (52) UnitedHealth Group Inc. 340.00 January 16, 2021 (54,761) (102,265) (109) Zoetis Inc. 165.00 January 16, 2021 (41,607) (48,561) Total Option Contract(s) (1,050,004) (1,145,665)

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

Annual Financial Statements - December 31, 2020 – 171 – CI First Asset Health Care Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 172 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 664 - - 664 Derivative assets - Swaps and swaptions - - - - Total 664 - - 664 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 2,358 - - 2,358 Derivative assets - Swaps and swaptions - - - - Total 2,358 - - 2,358 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 173 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 123 130 Soft dollar commissions† 7 1

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 17,850,000 13,100,000 150,000 100,000 Redeemable units issued for cash 2,400,000 4,950,000 150,000 50,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (3,350,000) (200,000) (50,000) - Number of redeemable units at the end of year 16,900,000 17,850,000 250,000 150,000

Annual Financial Statements - December 31, 2020 – 174 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.650 Unhedged Common Units 0.650

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

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

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

2020 2019 Gross securities lending revenue - 20 Charges - (8) Securities lending revenue - 12 Charges as a % of gross securities lending revenue - 40.0

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

2020 Capital loss carried forward: 2,863 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 175 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk (cont’d)

Common Units (cont’d) Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2019~ Financial Instruments Net Net The table below summarizes the Fund’s exposure to concentration risk. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) as at December 31, 2019 U.S. Dollar 195,879 (193,895) 1,984 1.0 Categories Net Assets (%) Total 195,879 (193,895) 1,984 1.0 U.S.A. 93.88 Ireland 4.94 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Total unrealized gain on forward foreign currency contract(s) 1.18 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables Other Net Assets (Liabilities) 0.20 held constant, net assets attributable to holders of redeemable Common Units would have decreased or Total call option position(s) (0.20) increased, respectively, by approximately $117,000 (December 31, 2019 - $198,000). In practice, actual Total 100.00 results may differ from this analysis and the difference may be material.

Credit Risk Unhedged Common Units As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments was insignificant. as at December 31, 2020~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Other Price Risk Currency (in $000’s) (in $000’s) (in $000’s) (%) As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore U.S. Dollar 2,724 (17) 2,707 99.4 was sensitive to changes in general economic conditions in the United States. Total 2,724 (17) 2,707 99.4

As at December 31, 2020, had the fair value of equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of as at December 31, 2019~ redeemable units of the Fund would have increased or decreased, respectively, by approximately Financial Instruments Net Net $18,362,000. In practice, actual results may differ from this analysis and the difference may be material. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) The table below indicates how net assets attributable to holders of redeemable units would have U.S. Dollar 1,670 (3) 1,667 98.8 increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Total 1,670 (3) 1,667 98.8 change is estimated based on the historical correlation between the return of the Fund’s securities as compared to the return of the benchmark(s), as at year end, with all other variables held constant. The ~Includes monetary and non-monetary instruments, if any. historical correlation may not be representative of the future correlation, and accordingly the impact on net assets attributable to holders of redeemable units could be different. As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all Impact on Net Assets Attributable to Holders of Redeemable Units other variables held constant, net assets attributable to holders of redeemable Unhedged Common as at December 31, 2019 Units would have decreased or increased, respectively, by approximately $271,000 (December 31, 2019 Benchmark ($) - $167,000). In practice, actual results may differ from this analysis and the difference may be material. S&P 500 Health Care Total Return Index 8,738,656

Interest Rate Risk Currency Risk As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as The tables below summarize the Fund’s exposure to currency risk. substantially all of its assets were invested in equities and derivatives.

Common Units as at December 31, 2020~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 181,121 (179,948) 1,173 0.6 Total 181,121 (179,948) 1,173 0.6

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

Annual Financial Statements - December 31, 2020 – 176 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 183,623 - - 183,623 Derivatives, net - 664 - 664 Total 183,623 664 - 184,287

Short Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Option contract(s) (1,146) - - (1,146) Total (1,146) - - (1,146)

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 197,269 - - 197,269 Derivatives, net - 2,358 - 2,358 Total 197,269 2,358 - 199,627

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Option contract(s) (395) - - (395) Total (395) - - (395)

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

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

Annual Financial Statements - December 31, 2020 – 177 – CI First Asset High Interest Savings ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 2,680,526 1,435,010 50.01 50.00 53,600,000 28,700,000 Current assets Investments 2,681,464 1,435,889 Investments pledged as collateral - - Cash 1 - Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 678 203 Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable 55 88 Receivable for investments sold - - Receivable for unit subscriptions - - 2,682,198 1,436,180 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - 645 Management fees payable 907 293 Accounts payable and accrued liabilities 765 232 1,672 1,170 Net assets attributable to holders of redeemable units 2,680,526 1,435,010

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

Annual Financial Statements - December 31, 2020 – 178 – CIG - 580530507 CI First Asset High Interest Savings ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 22,147 5,412 0.48 0.60 46,249,863 9,037,374 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 22,889 5,539 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives - - Change in unrealized appreciation (depreciation) in value of investments and derivatives - - Total net gain (loss) on investments and derivatives 22,889 5,539 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) - - Fees rebate 2,562 227 Miscellaneous foreign income - - Other income - - Total other income 2,562 227 Total income 25,451 5,766 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 3,239 343 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs - - Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 65 11 Other expenses - - Total expenses 3,304 354 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 22,147 5,412

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

Annual Financial Statements - December 31, 2020 – 179 – CI First Asset High Interest Savings ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 1,435,010 - Increase (decrease) in net assets attributable to holders of redeemable units 22,147 5,412 Distributions to holders of redeemable units From net investment income (21,164) (6,654) From net realized gains - - Return of capital (1,164) - Total distributions to holders of redeemable units (22,328) (6,654)

Redeemable unit transactions Proceeds from redeemable units issued 1,993,483 1,703,926 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (747,786) (267,674) Net increase (decrease) from redeemable unit transactions 1,245,697 1,436,252 Net increase (decrease) in net assets attributable to holders of redeemable units 1,245,516 1,435,010 Net assets attributable to holders of redeemable units at the end of year 2,680,526 1,435,010

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

Annual Financial Statements - December 31, 2020 – 180 – CI First Asset High Interest Savings ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 22,147 5,412 Adjustments for: Net realized (gain) loss on sale of investments and derivatives - - Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs - - Change in unrealized (appreciation) depreciation in value of investments and derivatives - - Proceeds from sale and maturity of investments and derivatives 859,162 273,514 Purchase of investments and derivatives (2,104,736) (1,709,403) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 32 (88) Increase (decrease) in management fees payable 614 293 Amortization interest earned - - Change in other accounts receivable and payable 58 29 Net cash from (used in) operating activities (1,222,723) (1,430,243)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (22,973) (6,009) Proceeds from issuance of redeemable units 1,993,483 1,703,926 Amounts paid on redemption of redeemable units (747,786) (267,674) Net cash from (used in) financing activities 1,222,724 1,430,243

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 1 - Cash (bank overdraft), beginning of year - - Cash (bank overdraft), end of year 1 -

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 22,921 5,451 Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 181 – CI First Asset High Interest Savings ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

HIGH INTEREST SAVINGS ACCOUNTS 599,378,908 Bank of Montreal, High Interest Savings Account 599,378,908 599,378,908 669,979,311 Canadian Imperial Bank of Commerce, High Interest Savings Account 669,979,311 669,979,311 669,929,835 National Bank of Canada, High Interest Savings Account 669,929,836 669,929,836 72,209,016 Royal Bank of Canada, High Interest Savings Account 72,209,016 72,209,016 669,966,669 Scotiabank, High Interest Savings Account 669,966,670 669,966,670 Total High Interest Savings Accounts 2,681,463,741 2,681,463,741 100.03 Adjustment for transaction costs - Total Investments 2,681,463,741 2,681,463,741 100.03 Other Net Assets (Liabilities) (937,596) (0.03) Net Assets Attributable to Holders of Redeemable Units 2,680,526,145 100.00

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

Annual Financial Statements - December 31, 2020 – 182 – CI First Asset High Interest Savings ETF Fund Specific Notes to Financial Statements

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

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

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 28,700,000 - Redeemable units issued for cash 39,850,000 34,050,001 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (14,950,000) (5,350,001) Number of redeemable units at the end of year 53,600,000 28,700,000

Annual Financial Statements - December 31, 2020 – 183 – CI First Asset High Interest Savings ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.140

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

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

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

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

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

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

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

Annual Financial Statements - December 31, 2020 – 184 – CI First Asset High Interest Savings ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

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

The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019 Categories Net Assets (%) Bank of Montreal, High Interest Savings Account 20.02 Canadian Imperial Bank of Commerce, High Interest Savings Account 20.02 National Bank of Canada, High Interest Savings Account 20.00 Royal Bank of Canada, High Interest Savings Account 20.02 Scotiabank, High Interest Savings Account 20.00 Other Net Assets (Liabilities) (0.06) Total 100.0

Credit Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the tables below. as at December 31, 2020 Credit Rating^* Net Assets (%) AA/Aa/A+ 2.7 A 97.3 Total 100.0 as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 100.1 Total 100.1

^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference.

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

Interest Rate Risk As at December 31, 2020 and 2019, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were held in high interest savings accounts.

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

Annual Financial Statements - December 31, 2020 – 185 – CI First Asset Investment Grade Bond ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 854,523 721,605 11.49 10.99 74,386,788 65,666,788 Current assets US$ Common Investments 831,293 725,107 Units 31,464 25,099 10.70* 10.17* 2,310,000 1,900,000 Investments pledged as collateral 13,801 - Cash 28,309 18,068 Unrealized gain on futures and foreign currency forward contracts 58 2,862 Swaps, swaptions and options - - Daily variation margin on derivative instruments 7,271 5,048 Fees rebate receivable 19 8 Cash collateral on deposit for short sale 8,094 - Dividends receivable - - Interest receivable 4,853 4,121 Receivable for investments sold - - Receivable for unit subscriptions 230 550 893,928 755,764 Liabilities Current liabilities Investments sold short 4,825 5,697 Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 565 657 Swaps, swaptions and options 1,884 2,178 Dividends payable on investments sold short - - Interest payable on investments sold short 21 24 Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 482 411 Accounts payable and accrued liabilities 164 93 7,941 9,060 Net assets attributable to holders of redeemable units 885,987 746,704

*Net assets attributable to holders of redeemable units per unit for US$ Common Units are presented in U.S. dollars. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2020 – 186 – CIG - 580530027 CI First Asset Investment Grade Bond ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 57,305 38,775 0.85 0.64 67,224,821 60,187,610 Net gain (loss) on investments and derivatives US$ Common Dividends - - Units 1,640 236 0.85 0.15 1,928,934 1,619,041 Interest for distribution purposes 20,892 18,954 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) (805) (1,040) Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short (143) (89) Net realized gain (loss) on sale of investments and derivatives 23,815 10,857 Change in unrealized appreciation (depreciation) in value of investments and derivatives 21,801 16,213 Total net gain (loss) on investments and derivatives 65,560 44,895 Other income Foreign exchange gain (loss) on cash (778) (657) Securities lending revenue (Note 6) 27 59 Fees rebate 161 48 Miscellaneous foreign income - - Other income - - Total other income (590) (550) Total income 64,970 44,345 Expenses Custody fees 53 32 Unitholders reporting costs 174 173 Management fees (Note 5) 5,117 4,442 Audit fees 5 4 Legal fees 1 23 Independent review committee fees 6 11 Commissions and other portfolio transaction costs 96 163 Securities borrowing fees (Note 2) - - Interest expense 7 - Withholding taxes 1 - Harmonized sales tax 565 486 Other expenses - - Total expenses 6,025 5,334 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 58,945 39,011

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

Annual Financial Statements - December 31, 2020 – 187 – CI First Asset Investment Grade Bond ETF Financial Statements

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

Common Units US$ Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 721,605 565,526 25,099 20,045 746,704 585,571 Increase (decrease) in net assets attributable to holders of redeemable units 57,305 38,775 1,640 236 58,945 39,011 Distributions to holders of redeemable units From net investment income - (4,744) - (200) - (4,944) From net realized gains (26,012) (13,438) (772) (318) (26,784) (13,756) Return of capital - (4,575) - (119) - (4,694) Total distributions to holders of redeemable units (26,012) (22,757) (772) (637) (26,784) (23,394)

Redeemable unit transactions Proceeds from redeemable units issued 227,842 240,628 21,925 13,465 249,767 254,093 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (126,217) (100,567) (16,428) (8,010) (142,645) (108,577) Net increase (decrease) from redeemable unit transactions 101,625 140,061 5,497 5,455 107,122 145,516 Net increase (decrease) in net assets attributable to holders of redeemable units 132,918 156,079 6,365 5,054 139,283 161,133 Net assets attributable to holders of redeemable units at the end of year 854,523 721,605 31,464 25,099 885,987 746,704

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

Annual Financial Statements - December 31, 2020 – 188 – CI First Asset Investment Grade Bond ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 58,945 39,011 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (23,815) (10,857) Unrealized foreign exchange (gain) loss on cash 95 392 Commissions and other portfolio transaction costs 96 - Change in unrealized (appreciation) depreciation in value of investments and derivatives (21,801) (16,213) Proceeds from sale and maturity of investments and derivatives 821,764 1,048,199 Purchase of investments and derivatives (894,774) (1,192,732) (Increase) decrease in cash collateral on deposit for short sale (8,094) - Non-cash distributions from investments - - Change in daily variation margin (2,223) (1,354) (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable (732) (382) Increase (decrease) in management fees payable 72 93 Amortization interest earned 90 - Change in other accounts receivable and payable 57 (12) Net cash from (used in) operating activities (70,320) (133,855)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (26,784) (23,394) Proceeds from issuance of redeemable units 250,085 262,102 Amounts paid on redemption of redeemable units (142,645) (108,577) Net cash from (used in) financing activities 80,656 130,131

Unrealized foreign exchange gain (loss) on cash (95) (392) Net increase (decrease) in cash 10,336 (3,724) Cash (bank overdraft), beginning of year 18,068 22,184 Cash (bank overdraft), end of year 28,309 18,068

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 20,248 18,572 Dividends paid* - - Interest paid* (153) (73) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 189 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS BONDS Bermuda USD 1,005,000 Bacardi Ltd., 5.15%, May 15, 2038 1,284,147 1,640,227 USD 565,000 Bacardi Ltd., 5.30%, May 15, 2048 721,404 1,000,875 2,005,551 2,641,102 0.30 Canada 2,850,000 407 International Inc., 2.43%, May 4, 2027 2,782,383 3,078,928 2,660,000 407 International Inc., 2.47%, September 8, 2022 2,652,102 2,732,216 965,000 407 International Inc., 3.14%, March 6, 2030 964,469 1,101,187 960,000 407 International Inc., 3.67%, March 8, 2049 958,781 1,172,035 1,000,000 407 International Inc., 3.98%, September 11, 2052 1,078,920 1,294,845 2,000,000 Aeroports de Montreal, Series ‘N’, 3.36%, April 24, 2047 2,000,000 2,319,803 1,280,000 Aeroports de Montreal, Series ‘R’, 3.03%, April 21, 2050 1,280,000 1,412,269 1,610,000 AIMCo Realty Investors L.P., Series ‘1’, 2.27%, June 26, 2024 1,610,000 1,683,300 1,721,097 Alberta PowerLine L.P., 4.07%, December 1, 2053 1,721,097 2,109,021 1,000,000 Algonquin Power Co., 4.09%, February 17, 2027 999,290 1,134,441 2,000,000 Algonquin Power Co., 4.82%, February 15, 2021 2,150,516 2,009,126 USD 1,330,000 Alimentation Couche-Tard Inc., 2.95%, January 25, 2030 1,744,261 1,853,709 1,540,000 Alimentation Couche-Tard Inc., 3.06%, July 26, 2024 1,540,000 1,651,367 USD 1,780,000 Alimentation Couche-Tard Inc., 3.80%, January 25, 2050 2,328,090 2,696,723 2,500,000 Alimentation Couche-Tard Inc., Series ‘5’, 3.60%, June 2, 2025 2,538,375 2,755,180 1,000,000 Allied Properties REIT, Series ‘C’, 3.64%, April 21, 2025 1,000,000 1,085,315 500,000 Allied Properties REIT, Series ‘D’, 3.39%, August 15, 2029 500,000 538,760 2,280,000 Allied Properties REIT, Series ‘F’, 3.12%, February 21, 2030 2,279,999 2,396,482 860,000 AltaGas Ltd., 2.08%, May 30, 2028 860,000 873,095 1,060,000 AltaGas Ltd., 2.16%, June 10, 2025 1,060,000 1,102,123 1,295,000 AltaGas Ltd., 2.48%, November 30, 2030 1,295,000 1,315,422 2,610,000 AltaGas Ltd., 2.61%, December 16, 2022 2,610,000 2,705,570 1,500,000 AltaLink L.P., 3.72%, December 3, 2046 1,500,000 1,844,048 845,000 AltaLink L.P., Series ‘20-1’, 1.51%, September 11, 2030 845,000 848,886 2,130,000 Bank of Montreal, 2.08%, June 17, 2030 2,131,235 2,203,018 4,395,000 Bank of Montreal, 2.28%, July 29, 2024 4,393,153 4,618,467 1,590,000 Bank of Montreal, 2.70%, September 11, 2024 1,589,793 1,705,346 1,445,000 Bank of Montreal, 2.85%, March 6, 2024 1,444,668 1,539,031 2,530,000 Bank of Montreal, 4.30%, November 26, 2080 2,530,000 2,609,265 USD 1,615,000 Bank of Montreal, Series ‘E’, 3.30%, February 5, 2024 2,117,658 2,230,982 1,900,000 Bank of Nova Scotia, 2.29%, June 28, 2024 1,899,886 2,005,862 1,645,000 Bank of Nova Scotia, 2.36%, November 8, 2022 1,644,770 1,702,696 1,900,000 Bank of Nova Scotia, 2.84%, July 3, 2029 1,900,000 2,012,739 1,500,000 Bank of Nova Scotia, 2.98%, April 17, 2023 1,499,580 1,582,852 3,460,000 Bank of Nova Scotia, 3.10%, February 2, 2028 3,458,824 3,914,636 4,305,000 BCI QuadReal Realty, 1.75%, July 24, 2030 4,308,732 4,350,298 4,660,000 BCI QuadReal Realty, Series ‘1’, 1.68%, March 3, 2025 4,659,208 4,809,625 1,690,000 Bell Canada, 1.65%, August 16, 2027 1,689,882 1,712,321 3,185,000 Bell Canada, 2.90%, September 10, 2029 3,180,891 3,458,069 1,505,000 Bell Canada, 3.50%, September 30, 2050 1,503,525 1,588,751 2,000,000 Bell Canada, 4.45%, February 27, 2047 2,247,220 2,430,156 2,110,000 Brookfield Infrastructure Finance ULC, 2.86%, September 1, 2032 2,110,000 2,177,592 2,000,000 Brookfield Infrastructure Finance ULC, 3.32%, February 22, 2024 2,000,000 2,135,925 910,000 Brookfield Infrastructure Finance ULC, 4.19%, September 11, 2028 915,023 1,055,499 2,530,000 Brookfield Property Finance ULC, 3.93%, August 24, 2025 2,530,000 2,627,763 1,770,000 Brookfield Property Finance ULC, 3.93%, January 15, 2027 1,770,000 1,838,530 5,400,000 Brookfield Property Finance ULC, 4.12%, October 19, 2021 5,400,000 5,496,975 1,690,000 Brookfield Renewable Partners ULC, 3.33%, August 13, 2050 1,688,733 1,749,016 905,000 Bruce Power L.P., 2.84%, June 23, 2021 899,125 914,584

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

Annual Financial Statements - December 31, 2020 – 190 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) Canada (cont’d) 1,500,000 Bruce Power L.P., Series ‘17-1’, 3.00%, June 21, 2024 1,499,835 1,601,067 1,000,000 Bruce Power L.P., Series ‘17-2’, 4.01%, June 21, 2029 1,000,040 1,161,370 2,390,000 Bruce Power L.P., Series ‘2019’, 4.75%, June 21, 2049 2,389,785 3,100,719 2,125,000 Canadian Imperial Bank of Commerce, 2.00%, April 17, 2025 2,123,385 2,217,389 1,680,000 Canadian Imperial Bank of Commerce, 2.01%, July 21, 2030 1,679,362 1,729,889 2,530,000 Canadian Imperial Bank of Commerce, 4.38%, October 28, 2080 2,530,000 2,605,900 3,855,000 Canadian National Railway Co., 3.60%, August 1, 2047 3,868,514 4,631,152 4,300,000 Canadian Natural Resources Ltd., 1.45%, November 16, 2023 4,295,098 4,358,858 3,870,000 Canadian Natural Resources Ltd., 2.50%, January 17, 2028 3,869,303 4,007,752 1,500,000 Canadian Natural Resources Ltd., 3.42%, December 1, 2026 1,500,000 1,642,337 1,680,000 Canadian Natural Resources Ltd., 4.85%, May 30, 2047 1,680,000 2,012,556 3,000,000 Canadian Pacific Railway Co., 6.45%, November 17, 2039 3,932,880 4,672,431 3,155,000 Canadian Tire Corp. Ltd., Series ‘F’, 3.17%, July 6, 2023 3,176,137 3,333,008 3,040,000 Capital Power Corp., 3.15%, October 1, 2032 3,040,000 3,131,327 2,270,000 CCL Industries Inc., Series ‘1’, 3.86%, April 13, 2028 2,270,000 2,556,960 3,980,000 Central 1 Credit Union, 2.58%, December 6, 2023 3,980,000 4,169,876 2,000,000 Central 1 Credit Union, 2.60%, November 7, 2022 1,999,260 2,068,386 5,000,000 Choice Properties REIT, Series ‘K’, 3.56%, September 9, 2024 5,000,000 5,423,685 5,000,000 Choice Properties REIT, Series ‘L’, 4.18%, March 8, 2028 5,000,000 5,763,001 1,900,000 Choice Properties REIT, Series ‘M’, 3.53%, June 11, 2029 1,900,000 2,112,056 3,555,000 Choice Properties REIT, Series ‘N’, 2.98%, March 4, 2030 3,555,000 3,788,389 11,860,000 Co-operators Financial Services Ltd., 3.33%, May 13, 2030 11,860,000 12,115,742 1,685,000 Daimler Canada Finance Inc., 1.65%, September 22, 2025 1,682,422 1,718,027 3,425,000 Dollarama Inc., 1.51%, September 20, 2027 3,425,000 3,443,179 6,000,000 Dollarama Inc., 3.55%, November 6, 2023 5,972,220 6,455,056 2,610,000 Dream Industrial REIT, Series ‘A’, Restricted, 1.66%, December 22, 2025 2,610,000 2,624,873 1,295,000 Enbridge Gas Inc., 3.65%, April 1, 2050 1,292,190 1,586,100 2,540,000 Enbridge Inc., 3.20%, June 8, 2027 2,602,078 2,775,141 1,500,000 Enbridge Inc., 5.38%, September 27, 2077 1,500,000 1,592,577 4,265,000 Fairfax Financial Holdings Ltd., 4.23%, June 14, 2029 4,262,953 4,637,291 2,170,000 Fairfax Financial Holdings Ltd., 4.25%, December 6, 2027 2,169,826 2,374,723 1,000,000 Fairfax Financial Holdings Ltd., 4.95%, March 3, 2025 995,885 1,115,710 1,360,000 First Capital Realty Inc., Series ‘S’, 4.32%, July 31, 2025 1,365,508 1,491,329 2,210,000 First National Financial Corp., Series ‘2’, 3.58%, November 25, 2024 2,210,000 2,312,429 2,140,000 First National Financial Corp., Series ‘3’, 2.96%, November 17, 2025 2,140,000 2,177,442 2,088,515 First Nations ETF L.P., Series ‘1A’, 4.14%, December 31, 2041 2,088,515 2,348,058 4,310,000 Ford Credit Canada Co., Restricted, 3.50%, November 30, 2023 4,310,000 4,346,137 1,040,000 General Motors Financial of Canada Ltd., 5.95%, May 14, 2024 1,041,099 1,191,268 1,775,000 Genworth MI Canada Inc., 2.96%, March 1, 2027 1,774,982 1,843,746 850,000 Gibson Energy Inc., 2.45%, July 14, 2025 848,334 883,472 2,540,000 Gibson Energy Inc., 2.85%, July 14, 2027 2,539,365 2,682,250 2,930,000 Gibson Energy Inc., Series ‘20-A’, 5.25%, December 22, 2080 2,930,000 2,960,204 1,325,000 Greater Toronto Airports Authority, Series ‘19-2’, 2.75%, October 17, 2039 1,323,172 1,392,851 850,000 Greater Toronto Airports Authority, Series ‘20-1’, Restricted, 1.54%, May 3, 2028 849,465 869,021 2,000,000 Great-West Lifeco Inc., 3.34%, February 28, 2028 2,000,000 2,264,140 1,000,000 H&R REIT, 3.37%, January 30, 2024 1,007,750 1,038,777 1,000,000 Honda Canada Finance Inc., 2.27%, July 15, 2022 1,000,000 1,027,289 1,310,000 HSBC Bank Canada, 2.17%, June 29, 2022 1,310,000 1,342,095 2,410,000 HSBC Bank Canada, 2.25%, September 15, 2022 2,410,024 2,480,012 4,000,000 HSBC Bank Canada, 2.54%, January 31, 2023 4,000,000 4,158,758 12,715,000 Husky Energy Inc., 3.50%, February 7, 2028 12,714,110 12,998,512 1,500,000 Husky Energy Inc., 3.60%, March 10, 2027 1,496,760 1,587,276 1,250,000 Hydro One Inc., 3.63%, June 25, 2049 1,249,775 1,529,843

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

Annual Financial Statements - December 31, 2020 – 191 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) Canada (cont’d) 6,355,000 Hydro One Ltd., 1.41%, October 15, 2027 6,352,903 6,446,578 3,000,000 IGM Financial Inc., 6.00%, December 10, 2040 3,704,416 4,193,614 3,810,000 Independent Order of Foresters (The), Series ‘20-1’, 2.89%, October 15, 2035 3,810,000 3,952,842 1,090,000 Intact Financial Corp., 2.95%, December 16, 2050 1,090,000 1,112,746 2,000,000 Inter Pipeline Ltd., 2.73%, April 18, 2024 2,000,000 2,083,257 3,390,000 Inter Pipeline Ltd., 4.23%, June 1, 2027 3,390,000 3,770,220 1,240,000 Inter Pipeline Ltd., Series ‘19-A’, 6.88%, March 26, 2079 1,240,000 1,301,990 2,000,000 Ivanhoe Cambridge II Inc., Series ‘1’, 2.91%, June 27, 2023 2,000,000 2,107,350 1,750,000 Ivanhoe Cambridge II Inc., Series ‘2’, 2.30%, December 12, 2024 1,750,000 1,846,752 770,000 John Deere Financial Inc., 2.41%, January 14, 2025 769,823 818,703 2,000,000 Keyera Corp., 3.93%, June 21, 2028 2,000,000 2,227,443 1,280,000 Keyera Corp., 3.96%, May 29, 2030 1,280,000 1,422,990 1,870,000 Keyera Corp., Floating Rate, 6.88%, June 13, 2079 1,870,000 2,028,234 680,000 Loblaw Cos. Ltd., Restricted, 2.28%, May 7, 2030 680,000 704,692 370,000 Manulife Bank of Canada, 2.08%, May 26, 2022 368,664 378,307 1,770,000 Manulife Bank of Canada, 2.38%, November 19, 2024 1,770,000 1,875,954 2,150,000 MCAP Commercial L.P., 3.38%, November 26, 2027 2,150,000 2,185,526 1,690,000 MCAP Commercial L.P., 3.74%, August 25, 2025 1,690,000 1,764,762 1,420,000 Metro Inc., 2.68%, December 5, 2022 1,419,929 1,474,252 1,430,000 Metro Inc., 3.39%, December 6, 2027 1,429,156 1,609,050 3,100,000 Metro Inc., 3.41%, February 28, 2050 3,100,000 3,258,959 2,515,000 Metro Inc., 4.27%, December 4, 2047 2,512,460 3,018,584 3,425,000 National Bank of Canada, 1.57%, August 18, 2026 3,424,966 3,498,413 1,445,000 NAV Canada, 3.21%, September 29, 2050 1,445,000 1,673,548 1,723,957 Nouvelle Autoroute 30 Financement Inc., Series ‘C’, 3.75%, March 31, 2033 1,723,957 1,918,424 1,449,427 Nouvelle Autoroute 30 Financement Inc., Series ‘D’, 3.74%, December 31, 2032 1,449,427 1,601,299 8,935,000 OMERS Finance Trust, 1.55%, April 21, 2027 8,926,154 9,207,374 2,380,000 OMERS Finance Trust, 2.60%, May 14, 2029 2,377,501 2,618,939 2,230,000 OMERS Realty Corp., Series ‘10’, 3.33%, June 5, 2025 2,230,000 2,451,997 1,500,000 OMERS Realty Corp., Series ‘11’, 3.63%, June 5, 2030 1,500,000 1,769,218 2,220,000 OMERS Realty Corp., Series ‘12’, 1.30%, September 22, 2023 2,220,022 2,258,962 1,440,000 Ontario Teachers’ Finance Trust, 1.10%, October 19, 2027 1,436,040 1,441,061 340,000 Parkland Corp., Restricted, 6.00%, June 23, 2028 340,000 365,500 1,840,000 Pembina Pipeline Corp., 4.54%, April 3, 2049 1,950,786 2,066,564 2,750,000 Pembina Pipeline Corp., Series ‘15’, 3.31%, February 1, 2030 2,747,910 2,980,913 1,500,000 Pembina Pipeline Corp., Series ‘4’, 4.81%, March 25, 2044 1,486,335 1,724,197 4,065,000 Penske Truck Leasing Canada Inc., 2.70%, September 30, 2024 4,056,707 4,265,058 3,845,000 Penske Truck Leasing Canada Inc., 2.85%, December 7, 2022 3,844,808 3,982,150 1,980,000 Power Corp. of Canada, 4.46%, July 27, 2048 1,984,034 2,503,919 805,000 Reliance L.P., 2.68%, December 1, 2027 804,855 846,292 4,625,000 RioCan REIT, Series ‘AC’, 2.36%, March 10, 2027 4,625,000 4,714,986 1,000,000 RioCan REIT, Series ‘Z’, 2.19%, April 9, 2021 999,530 1,004,056 1,300,000 Rogers Communications Inc., 3.65%, March 31, 2027 1,293,643 1,467,319 1,750,000 Rogers Communications Inc., 6.56%, March 22, 2041 2,165,251 2,611,380 2,430,000 Royal Bank of Canada, 2.61%, November 1, 2024 2,430,000 2,590,235 1,475,000 Royal Bank of Canada, 2.74%, July 25, 2029 1,475,000 1,561,613 2,255,000 Royal Bank of Canada, 2.88%, December 23, 2029 2,254,797 2,406,922 6,335,000 Royal Bank of Canada, Series ‘1’, 4.50%, November 24, 2080 6,335,000 6,618,681 7,260,000 Royal Bank of Canada, Series ‘2’, 4.00%, February 24, 2081 7,260,000 7,390,172 9,015,000 Saputo Inc., 1.42%, June 19, 2026 9,015,000 9,073,234 5,095,000 Saputo Inc., 2.24%, June 16, 2027 5,095,000 5,333,597 2,195,000 Shaw Communications Inc., 3.30%, December 10, 2029 2,184,618 2,425,842 750,000 Shaw Communications Inc., 4.25%, December 9, 2049 746,093 853,082

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

Annual Financial Statements - December 31, 2020 – 192 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) Canada (cont’d) 3,000,000 Shaw Communications Inc., 6.75%, November 9, 2039 3,635,053 4,330,560 655,000 SmartCentres REIT, Series ‘T’, 2.76%, June 23, 2021 655,000 661,566 815,000 SmartCentres REIT, Series ‘U’, 3.53%, December 20, 2029 815,000 885,915 850,000 SmartCentres REIT, Series ‘V’, 3.19%, June 11, 2027 850,000 911,800 1,700,000 SmartCentres REIT, Series ‘W’, 3.65%, December 11, 2030 1,700,000 1,845,943 1,510,000 South Coast British Columbia Transportation Authority, 3.15%, November 16, 2048 1,507,629 1,779,595 1,665,000 Suncor Energy Inc., 3.10%, May 24, 2029 1,661,021 1,800,169 2,150,000 Suncor Energy Inc., 5.00%, April 9, 2030 2,143,486 2,632,764 3,000,000 Suncor Energy Inc., 5.39%, March 26, 2037 3,453,767 3,722,159 1,295,000 Suncor Energy Inc., Series ‘5’, 3.10%, November 26, 2021 1,299,770 1,320,639 6,205,000 Sysco Canada Inc., 3.65%, April 25, 2025 6,202,642 6,778,829 1,685,000 TELUS Corp., Series ‘CY’, 3.30%, May 2, 2029 1,671,099 1,881,576 1,025,000 TELUS Corp., Series ‘CZ’, 2.75%, July 8, 2026 1,023,698 1,102,932 2,550,000 Teranet Holdings L.P., Series ‘2020’, 3.54%, June 11, 2025 2,550,000 2,746,339 8,825,000 Thomson Reuters Corp., 2.24%, May 14, 2025 8,825,000 9,232,440 870,000 TMX Group Ltd., Series ‘E’, 3.78%, June 5, 2028 870,000 1,010,193 1,810,000 Toromont Industries Ltd., 3.84%, October 27, 2027 1,810,000 2,029,590 6,500,000 Toronto-Dominion Bank (The), 1.99%, March 23, 2022 6,399,110 6,628,975 2,060,000 Toronto-Dominion Bank (The), 2.85%, March 8, 2024 2,060,000 2,195,782 8,430,000 Toronto-Dominion Bank (The), 3.11%, April 22, 2030 8,430,000 9,106,658 4,330,000 TransCanada PipeLines Ltd., 3.80%, April 5, 2027 4,323,115 4,881,001 1,500,000 TransCanada Trust, Series ‘17-B’, 4.65%, May 18, 2077 1,500,000 1,545,929 2,000,000 Ventas Canada Finance Ltd., Series ‘B’, 4.13%, September 30, 2024 2,030,724 2,192,068 860,000 VW Credit Canada Inc., 2.90%, March 29, 2021 859,114 865,117 7,260,000 Waste Management of Canada Corp., 2.60%, September 23, 2026 7,244,754 7,811,977 456,804,988 488,343,553 55.12 Government of Canada & Guaranteed 4,706,000 Government of Canada, 1.00%, June 1, 2027 4,237,918 4,867,045 1,480,000 Government of Canada, 1.25%, June 1, 2030 1,569,003 1,557,479 2,245,000 Government of Canada, 1.50%, June 1, 2023 2,210,414 2,314,438 6,506,000 Government of Canada, 1.75%, March 1, 2023 6,417,565 6,717,369 1,020,000 Government of Canada, 2.00%, September 1, 2023 1,074,305 1,067,083 200,000 Government of Canada, 2.00%, June 1, 2028 204,946 221,572 4,310,000 Government of Canada, 2.00%, December 1, 2051 5,426,292 5,184,590 2,455,000 Government of Canada, 2.50%, June 1, 2024 2,658,436 2,640,211 33,642,000 Government of Canada, 2.75%, December 1, 2048 43,547,741 46,160,549 67,346,620 70,730,336 7.98 Jersey 600,000 Heathrow Funding Ltd., 3.00%, June 17, 2023 606,198 606,042 1,035,000 Heathrow Funding Ltd., 3.40%, March 8, 2030 1,033,603 1,104,800 3,280,000 Heathrow Funding Ltd., 3.78%, September 4, 2032 3,280,000 3,529,608 4,919,801 5,240,450 0.59

Mexico USD 1,300,000 Fomento Economico Mexicano SAB de CV, 3.50%, January 16, 2050 1,664,307 1,843,901 0.21

Netherlands USD 640,000 NXP BV / NXP Funding LLC / NXP USA Inc., 3.40%, May 1, 2030 888,603 925,659 0.10

U.K. 8,055,000 Aviva PLC, 4.00%, October 2, 2030 8,047,106 8,502,796 4,000,000 BP Capital Markets PLC, 3.47%, May 15, 2025 4,000,000 4,401,280 635,000 Lloyds Banking Group PLC, 3.50%, February 3, 2025 635,000 683,679 12,682,106 13,587,755 1.53

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

Annual Financial Statements - December 31, 2020 – 193 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. USD 620,000 Activision Blizzard Inc., 1.35%, September 15, 2030 796,004 776,173 USD 890,000 Alphabet Inc., 2.05%, August 15, 2050 1,175,463 1,084,813 USD 2,110,000 Amazon.com Inc., 2.40%, February 22, 2023 2,661,097 2,804,608 USD 2,215,000 American Tower Corp., 1.88%, October 15, 2030 2,944,719 2,847,776 USD 2,215,000 American Tower Corp., 3.10%, June 15, 2050 3,016,241 2,909,714 USD 1,220,000 American Tower Corp., 3.55%, July 15, 2027 1,602,362 1,758,611 USD 195,000 American Tower Corp., 3.80%, August 15, 2029 278,389 289,005 2,960,000 Anheuser-Busch InBev Finance Inc., 4.32%, May 15, 2047 2,939,744 3,365,550 USD 425,000 Apple Inc., 1.25%, August 20, 2030 562,138 541,812 USD 605,000 Apple Inc., 2.40%, August 20, 2050 799,956 791,460 1,850,000 Apple Inc., 2.51%, August 19, 2024 1,908,284 1,967,420 USD 605,000 Apple Inc., 2.55%, August 20, 2060 793,610 794,013 USD 590,000 AT&T Inc., 3.30%, February 1, 2052 788,992 746,052 2,540,000 Athene Global Funding, 2.10%, September 24, 2025 2,536,876 2,572,320 USD 840,000 Bank of America Corp., 1.90%, July 23, 2031 1,130,430 1,081,234 USD 850,000 Bank of America Corp., 1.92%, October 24, 2031 1,121,150 1,097,246 USD 430,000 Bank of America Corp., 2.83%, October 24, 2051 567,170 572,083 2,890,000 Bank of America Corp., 2.93%, April 25, 2025 2,890,000 3,074,671 2,500,000 Bank of America Corp., 3.30%, April 24, 2024 2,500,000 2,645,050 1,000,000 Bank of America Corp., 3.41%, September 20, 2025 1,000,000 1,084,260 USD 670,000 BlackRock Inc., 1.90%, January 28, 2031 934,127 893,497 USD 890,000 Boeing Co. (The), 2.95%, February 1, 2030 1,169,158 1,172,603 USD 430,000 Bristol-Myers Squibb Co., 1.45%, November 13, 2030 559,741 550,537 USD 1,870,000 Bristol-Myers Squibb Co., 2.90%, July 26, 2024 2,510,979 2,585,841 USD 1,000,000 Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.88%, January 15, 2027 1,307,545 1,429,332 USD 1,055,000 Broadcom Inc., 2.25%, November 15, 2023 1,492,570 1,403,489 USD 505,000 Broadcom Inc., 4.70%, April 15, 2025 712,585 736,929 USD 545,000 Burlington Northern Santa Fe LLC, 3.90%, August 1, 2046 796,914 888,009 USD 2,500,000 Campbell Soup Co., 3.65%, March 15, 2023 3,237,793 3,398,884 USD 2,530,000 Campbell Soup Co., 4.15%, March 15, 2028 3,277,828 3,789,990 USD 890,000 Carrier Global Corp., 2.72%, February 15, 2030 1,179,111 1,213,433 USD 780,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, August 15, 2030 1,064,348 1,054,921 USD 280,000 Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 2.80%, April 1, 2031 387,477 377,464 USD 1,160,000 Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 5.38%, May 1, 2047 1,580,684 1,845,712 USD 1,145,000 Citigroup Inc., 2.70%, October 27, 2022 1,447,296 1,516,339 USD 520,000 Coca-Cola Co. (The), 1.65%, June 1, 2030 722,337 680,462 USD 250,000 Coca-Cola Co. (The), 2.60%, June 1, 2050 347,765 336,492 USD 1,880,000 Comcast Corp., 2.45%, August 15, 2052 2,482,792 2,327,374 USD 760,000 Comcast Corp., 2.65%, February 1, 2030 1,073,920 1,059,161 USD 635,000 Comcast Corp., 3.55%, May 1, 2028 786,234 932,673 USD 620,000 Costco Wholesale Corp., 1.60%, April 20, 2030 868,400 809,710 USD 620,000 Costco Wholesale Corp., 1.75%, April 20, 2032 868,139 821,470 USD 620,000 Cox Communications Inc., 2.95%, October 1, 2050 811,463 808,476 USD 830,000 Cox Communications Inc., 3.15%, August 15, 2024 1,036,566 1,146,043 USD 830,000 Cox Communications Inc., 3.50%, August 15, 2027 1,033,036 1,196,122 USD 1,305,000 Crown Castle International Corp., 3.15%, July 15, 2023 1,630,805 1,768,155 USD 1,735,000 Crown Castle International Corp., 3.70%, June 15, 2026 2,524,107 2,490,507 USD 1,625,000 Crown Castle International Corp., 3.80%, February 15, 2028 2,030,390 2,386,879 USD 755,000 CVS Health Corp., 3.35%, March 9, 2021 971,025 966,327 USD 211,000 CVS Health Corp., 3.70%, March 9, 2023 269,678 287,421 USD 1,325,000 D.R. Horton Inc., 2.50%, October 15, 2024 1,762,168 1,801,248 USD 2,020,000 DXC Technology Co., 4.00%, April 15, 2023 2,804,442 2,736,872 USD 1,215,000 DXC Technology Co., 4.13%, April 15, 2025 1,685,260 1,710,980

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

Annual Financial Statements - December 31, 2020 – 194 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 3,100,000 Equinix Inc., 1.00%, September 15, 2025 4,135,559 3,961,374 USD 2,215,000 Equinix Inc., 1.55%, March 15, 2028 2,955,219 2,869,866 USD 885,000 Expedia Group Inc., 3.60%, December 15, 2023 1,194,702 1,201,354 USD 420,000 Glencore Funding LLC, 1.63%, September 1, 2025 550,870 550,613 USD 1,260,000 Glencore Funding LLC, 2.50%, September 1, 2030 1,659,247 1,637,737 USD 1,500,000 Goldman Sachs Group Inc. (The), 2.88%, October 31, 2022 1,920,075 1,948,338 3,250,000 Goldman Sachs Group Inc. (The), 3.31%, October 31, 2025 3,250,000 3,518,125 USD 1,690,000 Great-West Lifeco US Finance 2020 L.P., 0.90%, August 12, 2025 2,249,644 2,162,102 USD 850,000 Hershey Co. (The), 2.65%, June 1, 2050 1,166,980 1,149,811 USD 1,270,000 Johnson & Johnson, 2.10%, September 1, 2040 1,663,360 1,634,060 USD 2,950,000 Johnson & Johnson, 2.25%, September 1, 2050 3,855,074 3,783,931 USD 670,000 Johnson & Johnson, 2.95%, March 3, 2027 866,327 961,093 USD 805,000 JPMorgan Chase & Co., 2.52%, April 22, 2031 1,136,419 1,102,770 USD 1,060,000 Lowe’s Cos. Inc., 4.05%, May 3, 2047 1,414,829 1,691,948 USD 440,000 Mars Inc., 0.88%, July 16, 2026 598,221 562,653 USD 420,000 Mars Inc., 1.63%, July 16, 2032 570,898 531,109 USD 420,000 Mars Inc., 2.45%, July 16, 2050 568,576 534,390 USD 1,455,000 Mars Inc., 2.70%, April 1, 2025 1,949,504 2,006,733 6,090,000 McDonald’s Corp., 3.13%, March 4, 2025 6,076,480 6,615,856 USD 4,440,000 Molson Coors Brewing Co., 4.20%, July 15, 2046 6,153,002 6,495,545 USD 1,025,000 Morgan Stanley, 1.79%, February 13, 2032 1,336,498 1,315,262 USD 163,000 Sherwin-Williams Co. (The), 2.75%, June 1, 2022 223,481 214,161 USD 1,425,000 Starbucks Corp., 3.55%, August 15, 2029 1,908,952 2,112,367 USD 1,015,000 Starbucks Corp., 4.45%, August 15, 2049 1,360,391 1,707,350 USD 445,000 Teachers Insurance & Annuity Association of America, 3.30%, May 15, 2050 624,505 618,439 USD 2,128,000 T-Mobile USA Inc., 3.75%, April 15, 2027 3,006,821 3,087,412 USD 1,300,000 T-Mobile USA Inc., 3.88%, April 15, 2030 1,825,638 1,918,623 USD 1,300,000 T-Mobile USA Inc., 4.50%, April 15, 2050 1,831,100 2,044,071 USD 855,000 Travelers Cos Inc. (The), 2.55%, April 27, 2050 1,193,776 1,149,223 USD 495,000 United Airlines Pass Through Trust, Class ‘A’, Series ‘2020-1’, 5.88%, April 15, 2029 650,529 682,500 3,000,000 United Parcel Service Inc., 2.13%, May 21, 2024 2,994,360 3,130,320 USD 15,160,000 United States Treasury Bond, 1.38%, August 15, 2050 18,991,493 18,077,523 USD 18,265,000 United States Treasury Bond, 1.63%, November 15, 2050 23,162,947 23,165,966 USD 145,000 United States Treasury Bond, 2.25%, August 15, 2049 199,660 211,283 USD 2,995,000 United States Treasury Bond, 2.38%, November 15, 2049 5,207,105 4,479,643 USD 16,927,000 United States Treasury Bond, 2.88%, May 15, 2028 21,973,394 24,967,707 USD 1,381,000 United States Treasury Bond, 3.13%, November 15, 2028 1,895,496 2,081,640 USD 245,000 UnitedHealth Group Inc., 3.70%, August 15, 2049 321,055 391,709 USD 430,000 Verizon Communications Inc., 1.75%, January 20, 2031 559,324 545,611 1,270,000 Verizon Communications Inc., 2.50%, May 16, 2030 1,267,651 1,345,336 USD 6,600,000 Verizon Communications Inc., 2.88%, November 20, 2050 8,601,797 8,481,791 850,000 Verizon Communications Inc., 3.63%, May 16, 2050 840,030 935,468 USD 850,000 Viatris Inc., 1.65%, June 22, 2025 1,154,390 1,120,253 USD 430,000 Viatris Inc., 2.30%, June 22, 2027 585,010 583,574 USD 1,280,000 Viatris Inc., 2.70%, June 22, 2030 1,736,755 1,730,318 USD 850,000 Viatris Inc., 4.00%, June 22, 2050 1,153,927 1,241,819 USD 435,000 Visa Inc., 2.70%, April 15, 2040 607,670 605,801 USD 935,000 Walmart Inc., 2.85%, July 8, 2024 1,246,329 1,288,214 USD 960,000 Walmart Inc., 3.05%, July 8, 2026 1,279,525 1,376,411 USD 1,000,000 Wal-Mart Stores Inc., 2.65%, December 15, 2024 1,246,388 1,381,158 USD 1,195,000 Wal-Mart Stores Inc., 3.63%, December 15, 2047 1,504,618 1,932,418 USD 100,000 Walt Disney Co. (The), 1.75%, January 13, 2026 140,241 133,500 USD 845,000 Walt Disney Co. (The), 2.65%, January 13, 2031 1,187,304 1,180,239

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

Annual Financial Statements - December 31, 2020 – 195 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 1,285,000 Waste Management Inc., 1.15%, March 15, 2028 1,674,970 1,641,457 4,875,000 Wells Fargo & Co., 2.49%, February 18, 2027 4,875,000 5,141,175 2,130,000 Wells Fargo & Co., 2.57%, May 1, 2026 2,130,000 2,250,792 USD 640,000 Western Midstream Operating L.P., 5.25%, February 1, 2050 839,312 897,580 242,651,736 250,014,745 28.22 Total Bonds 788,963,712 833,327,501 94.05 Total Long Positions 788,963,712 833,327,501 94.05

SHORT POSITIONS BONDS Government of Canada & Guaranteed (3,040,000) Government of Canada, 1.50%, September 1, 2024 (3,028,235) (3,172,930) (1,162,000) Government of Canada, 5.75%, June 1, 2029 (1,541,939) (1,651,778) Total Bonds (4,570,174) (4,824,708) (0.54) Total Short Positions (4,570,174) (4,824,708) (0.54)

SHORT-TERM INVESTMENT(S) 11,770,000 Enbridge Inc. Discount Note, 0.824%, January 5, 2021 11,767,675 11,767,675 Total Short-Term Investment(s) 11,767,675 11,767,675 1.33 Adjustment for transaction costs - Total Investments 796,161,213 840,270,468 94.84 Margin 7,271,226 0.82 Total unrealized loss on futures contract(s) (228,839) (0.03) Total unrealized gain on forward foreign currency contract(s) 58,421 0.01 Total unrealized loss on forward foreign currency contract(s) (336,125) (0.04) Total unrealized loss on credit default swap contract(s) (1,883,950) (0.21) Other Net Assets (Liabilities) 40,835,876 4.61 Net Assets Attributable to Holders of Redeemable Units 885,987,077 100.00

Futures Contract(s)

Number of Contracted Fair Value Unrealized Contracted Value Name of Future Expiry Date Contract(s) Currency Price ($) ($) Gain (Loss) ($) (108,519,813) United States Long Bond (CBT) March 22, 2021 (493) USD 172.93 (108,682,032) (162,219) (38,443,177) United States 10 Year Note Future March 22, 2021 (219) USD 137.91 (38,491,362) (48,185) (6,691,065) Canada 10 Year Bond Future March 22, 2021 (45) CAD 148.69 (6,709,500) (18,435) (153,654,055) (153,882,894) (228,839)

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

Annual Financial Statements - December 31, 2020 – 196 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

Credit Default Swap Contract(s)

Credit Rating of Fair Value Counterparty the Counterparty* Notional Amount Expiry Date ($) Pay 5.00% quarterly times the notional amount receive a payment only upon a default event of CDX iTraxx Europe Crossover S33 V1 P5% Citibank A-2 10,718,512 June 20, 2025 (1,883,950) (1,883,950)

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 197 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 58 (58) - - Derivative assets - Swaps and swaptions - - - - Total 58 (58) - - Derivative liabilities - Foreign currency forward contracts (336) 58 - (278) Derivative liabilities - Swaps and swaptions (1,884) - - (1,884) Total (2,220) 58 - (2,162) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,379 (657) - 722 Derivative assets - Swaps and swaptions - - - - Total 1,379 (657) - 722 Derivative liabilities - Foreign currency forward contracts (657) 657 - - Derivative liabilities - Swaps and swaptions (2,178) - - (2,178) Total (2,835) 657 - (2,178)

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

Annual Financial Statements - December 31, 2020 – 198 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions - - Soft dollar commissions† 14 6

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

Common Units US$ Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 65,666,788 52,866,788 1,900,000 1,500,000 Redeemable units issued for cash 20,110,000 21,950,000 1,570,000 1,000,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (11,390,000) (9,150,000) (1,160,000) (600,000) Number of redeemable units at the end of year 74,386,788 65,666,788 2,310,000 1,900,000

Annual Financial Statements - December 31, 2020 – 199 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.650 US$ Common Units 0.650

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

2020 2019 Loaned 86,272 157,680 Collateral (non-cash) 90,608 165,778

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

2020 2019 Gross securities lending revenue 70 105 Charges (43) (46) Securities lending revenue 27 59 Charges as a % of gross securities lending revenue 62.3 44.1

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

2020 Capital loss carried forward: 3,245 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 200 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Credit Risk (cont’d) The Fund was invested in fixed income securities, with the following credit ratings, as per the table below. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2019 Credit Rating^* Net Assets (%) The table below summarizes the Fund’s exposure to concentration risk. AAA/Aaa/A++ 43.8 AA/Aa/A+ 7.2 as at December 31, 2019 A 15.0 Categories Net Assets (%) BBB/Baa/B++ 30.0 Long Positions BB/Ba/B+ 0.4 Canada 38.74 Total 96.4 U.S.A. 33.91 Government of Canada & Guaranteed 21.59 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Other Net Assets (Liabilities) 2.97 Investors Service or Dominion Bond Rating Service, respectively. Short-Term Investment(s) 0.94 *Refer to Note 10 for Credit Rating Chart reference. U.K. 0.93 Jersey 0.69 Margin 0.68 Other Price Risk Bermuda 0.31 As at December 31, 2020 and 2019, the Fund did not invest in equities and therefore was not subject Total unrealized gain on futures contract(s) 0.20 to other price risk. Total unrealized gain on forward foreign currency contract(s) 0.18 Total unrealized loss on forward foreign currency contract(s) (0.09) Total unrealized loss on credit default swap contract(s) (0.29) Currency Risk Total Long Positions 100.76 The tables below summarize the Fund’s exposure to currency risk.

Short Positions as at December 31, 2020~ Government of Canada & Guaranteed (0.76) Financial Instruments Net Net Total Short Positions (0.76) Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Total 100.00 U.S. Dollar 247,625 (214,453) 33,172 3.7 Euro (1,081) 1,043 (38) 0.0 Total 246,544 (213,410) 33,134 3.7 Credit Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the table below. as at December 31, 2019~ Financial Instruments Net Net as at December 31, 2020 Exposure Derivatives Exposure Assets Credit Rating^* Net Assets (%) Currency (in $000’s) (in $000’s) (in $000’s) (%) AAA/Aaa/A++ 16.4 U.S. Dollar 252,783 (226,630) 26,153 3.5 AA/Aa/A+ 7.7 Euro 1,362 (1,628) (266) 0.0 A 16.9 Total 254,145 (228,258) 25,887 3.5 BBB/Baa/B++ 51.8 BB/Ba/B+ 1.8 ~Includes monetary and non-monetary instruments, if any. Total 94.6 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $3,313,000 (December 31, 2019 - $2,590,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Annual Financial Statements - December 31, 2020 – 201 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Interest Rate Risk Fair Value Hierarchy (cont’d) The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual maturity date. Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total as at December 31, 2020 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Greater Bonds - (5,697) - (5,697) Less than 1 - 3 3 - 5 than Derivatives, net - (2,835) - (2,835) 1 Year Years Years 5 Years Total Total - (8,532) - (8,532) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 25,006 87,277 144,200 583,787 840,270 There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 41,438 102,892 119,416 455,664 719,410

As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $20,260,000 (December 31, 2019 - $16,505,000). In practice, actual results may differ from this analysis and the difference may be material.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 833,328 - 833,328 Short-term investment(s) - 11,768 - 11,768 Derivatives, net - (278) - (278) Total - 844,818 - 844,818

Short Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 4,825 - 4,825 Derivatives, net 229 1,884 - 2,113 Total 229 6,709 - 6,938

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 718,118 - 718,118 Short-term investment(s) - 6,989 - 6,989 Derivatives, net 1,483 1,379 - 2,862 Total 1,483 726,486 - 727,969

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

Annual Financial Statements - December 31, 2020 – 202 – CI First Asset Long Duration Fixed Income ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 14,859 33,947 22.51 20.57 660,000 1,650,000 Current assets Investments 14,751 33,747 Investments pledged as collateral - - Cash 112 157 Unrealized gain on futures and foreign currency forward contracts 1 39 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 3 6 Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable 41 96 Receivable for investments sold - - Receivable for unit subscriptions - 36 14,908 34,081 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 28 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 4 8 Accounts payable and accrued liabilities 45 98 49 134 Net assets attributable to holders of redeemable units 14,859 33,947

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

Annual Financial Statements - December 31, 2020 – 203 – CIG - 580530177 CI First Asset Long Duration Fixed Income ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 3,294 6,031 3.01 2.26 1,095,027 2,672,192 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 590 1,560 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 3,375 1,992 Change in unrealized appreciation (depreciation) in value of investments and derivatives (607) 2,627 Total net gain (loss) on investments and derivatives 3,358 6,179 Other income Foreign exchange gain (loss) on cash (1) (3) Securities lending revenue (Note 6) 2 4 Fees rebate 58 114 Miscellaneous foreign income - - Other income - - Total other income 59 115 Total income 3,417 6,294 Expenses Custody fees 19 23 Unitholders reporting costs 25 60 Management fees (Note 5) 73 163 Audit fees 5 4 Legal fees - 2 Independent review committee fees - 1 Commissions and other portfolio transaction costs 7 6 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 7 14 Other expenses - - Total expenses 136 273 Expenses absorbed by the Manager (Note 5) (13) (10) Increase (decrease) in net assets attributable to holders of redeemable units 3,294 6,031

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

Annual Financial Statements - December 31, 2020 – 204 – CI First Asset Long Duration Fixed Income ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 33,947 53,030 Increase (decrease) in net assets attributable to holders of redeemable units 3,294 6,031 Distributions to holders of redeemable units From net investment income (501) (1,441) From net realized gains (502) - Return of capital (2) (46) Total distributions to holders of redeemable units (1,005) (1,487)

Redeemable unit transactions Proceeds from redeemable units issued 15,824 7,328 Reinvestment of distributions to holders of redeemable units 444 - Redemption of redeemable units (37,645) (30,955) Net increase (decrease) from redeemable unit transactions (21,377) (23,627) Net increase (decrease) in net assets attributable to holders of redeemable units (19,088) (19,083) Net assets attributable to holders of redeemable units at the end of year 14,859 33,947

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

Annual Financial Statements - December 31, 2020 – 205 – CI First Asset Long Duration Fixed Income ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 3,294 6,031 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (3,375) (1,992) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 7 - Change in unrealized (appreciation) depreciation in value of investments and derivatives 607 (2,627) Proceeds from sale and maturity of investments and derivatives 38,863 33,722 Purchase of investments and derivatives (36,749) (33,209) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 55 54 Increase (decrease) in management fees payable (5) (6) Amortization interest earned - - Change in other accounts receivable and payable (50) 13 Net cash from (used in) operating activities 2,647 1,986

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (562) (1,495) Proceeds from issuance of redeemable units (120) 216 Amounts paid on redemption of redeemable units (2,010) (898) Net cash from (used in) financing activities (2,692) (2,177)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (45) (191) Cash (bank overdraft), beginning of year 157 348 Cash (bank overdraft), end of year 112 157

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 645 1,614 Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 206 – CI First Asset Long Duration Fixed Income ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS Canada Corporate Bonds 107,000 First Nations Finance Authority, 1.71%, June 16, 2030 108,806 109,727 15,000 University of Toronto, 4.94%, November 16, 2045 20,732 21,311 15,000 University of Toronto, Series ‘E’, 4.25%, December 7, 2051 19,902 20,547 149,440 151,585 1.02 Government of Canada & Guaranteed 344,000 Government of Canada, 0.25%, August 1, 2022 344,070 344,406 424,000 Government of Canada, 0.25%, November 1, 2022 424,002 424,378 92,000 Government of Canada, 2.00%, December 1, 2051 111,230 110,669 530,000 Government of Canada, 2.75%, December 1, 2064 780,345 810,405 93,000 South Coast British Columbia Transportation Authority, 1.60%, July 3, 2030 94,007 94,850 53,000 South Coast British Columbia Transportation Authority, 2.65%, October 29, 2050 55,402 57,106 68,000 South Coast British Columbia Transportation Authority, 4.65%, June 20, 2041 93,131 95,157 1,902,187 1,936,971 13.04 Provincial Government & Guaranteed 106,000 City of Montreal, 1.75%, September 1, 2030 107,632 108,814 53,000 City of Montreal, 4.10%, December 1, 2034 66,036 67,210 81,000 City of Ottawa, 2.50%, May 11, 2051 82,927 84,956 14,000 City of Ottawa, 3.05%, April 23, 2046 15,599 16,029 59,000 City of Ottawa, 4.20%, July 30, 2053 82,623 84,739 14,000 City of St. John’s, 4.50%, December 20, 2033 17,311 17,800 28,000 City of St. John’s, 4.62%, August 11, 2031 34,352 35,484 66,000 City of Toronto, 1.60%, December 2, 2030 66,600 67,212 133,000 City of Toronto, 2.15%, August 25, 2040 132,014 133,945 73,000 City of Toronto, 2.60%, September 24, 2039 78,168 79,224 181,000 City of Toronto, 2.80%, November 22, 2049 194,967 200,615 68,000 City of Toronto, 2.95%, April 28, 2035 75,132 77,198 81,000 City of Toronto, 3.50%, June 2, 2036 97,116 97,895 184,000 City of Winnipeg, 4.30%, November 15, 2051 256,350 263,273 1,348,000 Province of Alberta, 2.05%, June 1, 2030 1,401,588 1,425,583 186,000 Province of Manitoba, 2.05%, September 5, 2052 177,731 181,083 648,000 Province of Manitoba, 3.20%, March 5, 2050 780,423 789,618 355,541 Province of New Brunswick, 3.05%, August 14, 2050 406,510 420,443 331,000 Province of Ontario, 1.75%, September 8, 2025 346,351 346,919 1,853,000 Province of Ontario, 1.90%, December 2, 2051 1,788,175 1,811,831 634,000 Province of Ontario, 2.05%, June 2, 2030 674,096 676,584 1,428,000 Province of Ontario, 2.65%, December 2, 2050 1,602,785 1,631,984 344,000 Province of Ontario, 2.70%, June 2, 2029 385,280 385,964 859,000 Province of Ontario, 2.80%, June 2, 2048 957,372 999,439 1,690,000 Province of Ontario, 2.90%, December 2, 2046 1,911,859 1,985,511 26,000 Regional Municipality of Halton, 4.05%, October 11, 2041 33,279 33,959 110,000 Regional Municipality of Peel, 2.50%, June 16, 2051 112,423 114,525 26,000 Regional Municipality of Waterloo, 3.75%, May 13, 2033 31,131 31,671 14,000 Regional Municipality of Waterloo, 3.80%, May 13, 2043 17,010 17,503 251,000 Regional Municipality of York, 1.70%, May 27, 2030 256,625 258,725 81,000 Regional Municipality of York, 4.05%, May 1, 2034 100,456 102,596 14,000 Regional Municipality of York, 4.15%, November 18, 2041 18,135 18,580 27,000 Regional Municipality of York, Series ‘F’, 4.00%, May 31, 2032 33,042 33,653 12,341,098 12,600,565 84.80

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

Annual Financial Statements - December 31, 2020 – 207 – CI First Asset Long Duration Fixed Income ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS (cont’d) International Bonds USD 45,000 United Mexican States, 3.25%, April 16, 2030 59,057 61,993 0.42

Total Bonds 14,451,782 14,751,114 99.28 Adjustment for transaction costs - Total Investments 14,451,782 14,751,114 99.28 Total unrealized gain on forward foreign currency contract(s) 1,145 0.01 Total unrealized loss on forward foreign currency contract(s) (40) (0.00) Other Net Assets (Liabilities) 106,295 0.71 Net Assets Attributable to Holders of Redeemable Units 14,858,514 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Bank of Montreal A-1 January 21, 2021 CAD 818 USD 623 1.31 25 Bank of Montreal A-1 March 15, 2021 CAD 2,371 USD 1,843 1.29 26 Bank of Montreal A-1 March 15, 2021 CAD 2,046 USD 1,602 1.28 7 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 1,144 USD 872 1.31 34 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 5,087 USD 3,873 1.31 157 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 144 USD 111 1.30 2 Canadian Imperial Bank of Commerce A-1 February 18, 2021 USD 1,037 CAD 1,341 0.77 (21) Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 1,506 USD 1,164 1.29 24 Citibank N.A., New York A-1 January 21, 2021 CAD 986 USD 747 1.32 35 Citibank N.A., New York A-1 February 18, 2021 CAD 6,738 USD 5,165 1.30 165 HSBC Bank, Toronto A-1 February 18, 2021 CAD 4,240 USD 3,228 1.31 132 HSBC Bank, Toronto A-1 March 15, 2021 CAD 2,409 USD 1,863 1.29 38 JPMorgan Chase Bank, New York A-1 January 21, 2021 CAD 1,145 USD 872 1.31 35 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 4,309 USD 3,323 1.30 80 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 531 USD 415 1.28 2 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 525 USD 411 1.28 2 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 525 USD 411 1.28 2 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 589 USD 461 1.28 2 Morgan Stanley & Co. International PLC A-1 January 21, 2021 CAD 981 USD 747 1.31 29 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 5,851 USD 4,520 1.29 99 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 595 USD 465 1.28 3 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 491 USD 384 1.28 2 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 511 USD 400 1.28 2 Royal Bank of Canada A-1+ January 21, 2021 CAD 1,015 USD 767 1.32 38 Royal Bank of Canada A-1+ February 18, 2021 CAD 5,848 USD 4,518 1.29 98 Royal Bank of Canada A-1+ February 18, 2021 USD 963 CAD 1,244 0.77 (19) Royal Bank of Canada A-1+ March 15, 2021 CAD 200 USD 157 1.27 1 Toronto-Dominion Bank (The) A-1+ February 18, 2021 CAD 2,540 USD 1,937 1.31 75 Toronto-Dominion Bank (The) A-1+ March 15, 2021 CAD 2,103 USD 1,630 1.29 28 Toronto-Dominion Bank (The) A-1+ March 15, 2021 CAD 186 USD 146 1.27 1 Toronto-Dominion Bank (The) A-1+ March 15, 2021 CAD 187 USD 146 1.28 1 1,105

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 208 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1 - - 1 Derivative assets - Swaps and swaptions - - - - Total 1 - - 1 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 39 (11) - 28 Derivative assets - Swaps and swaptions - - - - Total 39 (11) - 28 Derivative liabilities - Foreign currency forward contracts (28) 11 - (17) Derivative liabilities - Swaps and swaptions - - - - Total (28) 11 - (17)

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

Annual Financial Statements - December 31, 2020 – 209 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

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

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

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 1,650,000 2,800,000 Redeemable units issued for cash 710,000 350,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (1,700,000) (1,500,000) Number of redeemable units at the end of year 660,000 1,650,000

Annual Financial Statements - December 31, 2020 – 210 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.300

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

2020 2019 Loaned 2,159 4,462 Collateral (non-cash) 2,268 4,694

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

2020 2019 Gross securities lending revenue 4 7 Charges (2) (3) Securities lending revenue 2 4 Charges as a % of gross securities lending revenue 48.0 40.4

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

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

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

Annual Financial Statements - December 31, 2020 – 211 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk As at December 31, 2020, the Fund’s investments were mostly denominated in Canadian dollars, the functional currency of the Fund. As a result, the Fund did not have a significant exposure to currency risk. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. The table below summarizes the Fund’s exposure to currency risk.

The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019~ Financial Instruments Net Net as at December 31, 2019 Exposure Derivatives Exposure Assets Categories Net Assets (%) Currency (in $000’s) (in $000’s) (in $000’s) (%) Provincial Government & Guaranteed 79.28 U.S. Dollar 671 (428) 243 0.7 Government of Canada & Guaranteed 17.89 Total 671 (428) 243 0.7 U.S. Federal Bonds & Guaranteed 1.97 Other Net Assets (Liabilities) 0.56 ~Includes monetary and non-monetary instruments, if any. Corporate Bonds 0.27 Total unrealized gain on forward foreign currency contract(s) 0.11 As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all Total unrealized loss on forward foreign currency contract(s) (0.08) other foreign currencies held in the Fund, with all other variables held constant, net assets attributable Total 100.00 to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $24,000. In practice, actual results may differ from this analysis and the difference may be material. Credit Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the table below. Interest Rate Risk The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual as at December 31, 2020 maturity date. Credit Rating^* Net Assets (%) AAA/Aaa/A++ 12.7 as at December 31, 2020 AA/Aa/A+ 13.4 Greater A 72.8 Less than 1 - 3 3 - 5 than BBB/Baa/B++ 0.4 1 Year Years Years 5 Years Total Total 99.3 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure - 769 347 13,635 14,751

The Fund was invested in fixed income securities, with the following credit ratings, as per the table below. as at December 31, 2019 Greater as at December 31, 2019 Less than 1 - 3 3 - 5 than Credit Rating^* Net Assets (%) 1 Year Years Years 5 Years Total AAA/Aaa/A++ 36.1 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) AA/Aa/A+ 33.0 Interest Rate Exposure - - - 33,747 33,747 A 30.3 Total 99.4 As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s of redeemable units of the Fund would have decreased or increased, respectively, by approximately Investors Service or Dominion Bond Rating Service, respectively. $622,000 (December 31, 2019 - $1,387,000). In practice, actual results may differ from this analysis and *Refer to Note 10 for Credit Rating Chart reference. the difference may be material.

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

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

Annual Financial Statements - December 31, 2020 – 212 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 14,751 - 14,751 Derivatives, net - 1 - 1 Total - 14,752 - 14,752

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 33,747 - 33,747 Derivatives, net - 11 - 11 Total - 33,758 - 33,758

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

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

Annual Financial Statements - December 31, 2020 – 213 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 10,662 12,780 10.35 10.39 1,030,219 1,230,219 Current assets Investments 10,568 12,692 Investments pledged as collateral - - Cash 38 27 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 64 70 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 10,670 12,789 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 6 7 Accounts payable and accrued liabilities 2 2 8 9 Net assets attributable to holders of redeemable units 10,662 12,780

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

Annual Financial Statements - December 31, 2020 – 214 – CIG - 580530367 CI First Asset Morningstar Canada Dividend Target 30 Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 209 2,952 0.19 2.02 1,098,935 1,463,370 Net gain (loss) on investments and derivatives Dividends 529 681 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 187 192 Change in unrealized appreciation (depreciation) in value of investments and derivatives (429) 2,182 Total net gain (loss) on investments and derivatives 287 3,055 Other income Foreign exchange gain (loss) on cash 1 - Securities lending revenue (Note 6) 3 1 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 4 1 Total income 291 3,056 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 63 87 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 11 9 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 2 - Harmonized sales tax 6 8 Other expenses - - Total expenses 82 104 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 209 2,952

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

Annual Financial Statements - December 31, 2020 – 215 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 12,780 16,409 Increase (decrease) in net assets attributable to holders of redeemable units 209 2,952 Distributions to holders of redeemable units From net investment income (459) (609) From net realized gains - - Return of capital (6) (1) Total distributions to holders of redeemable units (465) (610)

Redeemable unit transactions Proceeds from redeemable units issued 481 2,979 Reinvestment of distributions to holders of redeemable units - 23 Redemption of redeemable units (2,343) (8,973) Net increase (decrease) from redeemable unit transactions (1,862) (5,971) Net increase (decrease) in net assets attributable to holders of redeemable units (2,118) (3,629) Net assets attributable to holders of redeemable units at the end of year 10,662 12,780

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

Annual Financial Statements - December 31, 2020 – 216 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 209 2,952 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (187) (192) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 11 5 Change in unrealized (appreciation) depreciation in value of investments and derivatives 429 (2,182) Proceeds from sale and maturity of investments and derivatives 6,854 3,431 Purchase of investments and derivatives (6,822) (3,396) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 6 34 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (1) (2) Amortization interest earned - - Change in other accounts receivable and payable (1) 1 Net cash from (used in) operating activities 498 651

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (465) (587) Proceeds from issuance of redeemable units 6 32 Amounts paid on redemption of redeemable units (28) (114) Net cash from (used in) financing activities (487) (669)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 11 (18) Cash (bank overdraft), beginning of year 27 45 Cash (bank overdraft), end of year 38 27

Supplementary Information: Dividends received, net of withholding tax* 533 715 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 217 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services 6,376 BCE Inc. 356,006 347,046 10,719 Quebecor Inc., Class ‘B’ 324,283 351,154 5,996 Rogers Communications Inc., Class ‘B’ 337,760 355,323 15,546 Shaw Communications Inc., Class ‘B’ 397,430 347,298 14,149 TELUS Corp. 309,774 356,696 1,725,253 1,757,517 16.48 Energy 11,524 Canadian Natural Resources Ltd. 267,011 352,519 8,473 Enbridge Inc. 396,210 344,936 16,911 Gibson Energy Inc. 269,795 347,690 15,407 Keyera Corp. 435,384 348,506 19,323 Ovintiv Inc. 257,382 353,418 10,741 Pembina Pipeline Corp. 380,972 323,304 6,388 TC Energy Corp. 365,627 330,579 2,372,381 2,400,952 22.52 Financials 5,287 Bank of Nova Scotia 348,981 363,746 21,657 CI Financial Corp. 480,966 341,746 12,367 Great-West Lifeco Inc. 375,866 375,338 6,395 iA Financial Corp. Inc. 302,371 352,876 10,246 IGM Financial Inc. 398,068 353,589 4,978 National Bank of Canada 238,365 356,624 3,437 Royal Bank of Canada 300,040 359,476 6,368 Sun Life Financial Inc. 321,580 360,429 2,766,237 2,863,824 26.86 Real Estate 25,926 H&R REIT 418,113 344,557 20,257 RioCan REIT 432,275 339,305 15,237 SmartCentres REIT 313,732 351,670 1,164,120 1,035,532 9.71 Utilities 17,682 Algonquin Power & Utilities Corp. 252,422 370,438 19,199 AltaGas Ltd. 309,810 359,405 9,444 ATCO Ltd., Class ‘I’ 354,063 344,612 11,265 Canadian Utilities Ltd., Class ‘A’ 402,884 350,229 10,311 Capital Power Corp. 290,054 360,679 6,606 Emera Inc. 306,875 357,385 8,056 Northland Power Inc. 216,162 367,918 2,132,270 2,510,666 23.55 Total Equities 10,160,261 10,568,491 99.12 Adjustment for transaction costs (5,006) Total Investments 10,155,255 10,568,491 99.12 Other Net Assets (Liabilities) 93,884 0.88 Net Assets Attributable to Holders of Redeemable Units 10,662,375 100.00

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

Annual Financial Statements - December 31, 2020 – 218 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 6 5 Soft dollar commissions† - -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 1,230,219 1,830,219 Redeemable units issued for cash 50,000 300,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (250,000) (900,000) Number of redeemable units at the end of year 1,030,219 1,230,219

Annual Financial Statements - December 31, 2020 – 219 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) Related Party Investments (Note 9) as at December 31, 2020 (%) as at December 31 (in $000’s)

Annual management fee rate: Investments 2020 Common Units 0.600 CI Financial Corp. 342

Investments 2019 Securities Lending (Note 6) CI Financial Corp. 424 as at December 31 (in $000’s)

2020 2019 Loaned 843 794 Collateral (non-cash) 886 834

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

2020 2019 Gross securities lending revenue 5 2 Charges (2) (1) Securities lending revenue 3 1 Charges as a % of gross securities lending revenue 40.4 40.0

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

2020 Capital loss carried forward: 3,854 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 220 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Fair Value Hierarchy

The table below summarizes the Fund’s exposure to concentration risk. Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total as at December 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Categories Net Assets (%) Equities 10,568 - - 10,568 Financials 26.19 Total 10,568 - - 10,568 Utilities 19.80 Energy 16.98 Communication Services 13.17 Long Positions at fair value as at December 31, 2019 Industrials 10.02 Level 1 Level 2 Level 3 Total Real Estate 6.70 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Consumer Discretionary 6.44 Equities 12,692 - - 12,692 Other Net Assets (Liabilities) 0.70 Total 12,692 - - 12,692 Total 100.00 There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019.

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

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

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2020 Benchmark ($) Morningstar® Canada Target Dividend Total Return IndexTM 1,055,064

as at December 31, 2019 Benchmark ($) Morningstar® Canada Target Dividend Total Return IndexTM 1,229,495

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

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

Annual Financial Statements - December 31, 2020 – 221 – CI First Asset Morningstar Canada Momentum Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 819,364 897,877 20.48 19.89 39,999,315 45,149,315 Current assets Investments 817,145 894,585 Investments pledged as collateral - - Cash 1,496 1,541 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 310 342 Cash collateral on deposit for short sale - - Dividends receivable 1,183 2,286 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions 5 - 820,139 898,754 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - 5 Distributions payable to holders of redeemable units - - Management fees payable 421 458 Accounts payable and accrued liabilities 354 414 775 877 Net assets attributable to holders of redeemable units 819,364 897,877

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

Annual Financial Statements - December 31, 2020 – 222 – CIG - 580530417 CI First Asset Morningstar Canada Momentum Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 24,072 161,119 0.58 4.02 41,427,320 40,093,014 Net gain (loss) on investments and derivatives Dividends 10,545 14,799 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 32,985 17,162 Change in unrealized appreciation (depreciation) in value of investments and derivatives (17,990) 130,580 Total net gain (loss) on investments and derivatives 25,540 162,541 Other income Foreign exchange gain (loss) on cash 2 (9) Securities lending revenue (Note 6) 626 599 Fees rebate 3,572 3,135 Miscellaneous foreign income - 16 Other income - - Total other income 4,200 3,741 Total income 29,740 166,282 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 4,789 4,445 Audit fees - - Legal fees - - Independent review committee fees 6 9 Commissions and other portfolio transaction costs 756 560 Securities borrowing fees (Note 2) - - Interest expense 1 10 Withholding taxes 2 - Harmonized sales tax 114 139 Other expenses - - Total expenses 5,668 5,163 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 24,072 161,119

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

Annual Financial Statements - December 31, 2020 – 223 – CI First Asset Morningstar Canada Momentum Index ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 897,877 249,163 Increase (decrease) in net assets attributable to holders of redeemable units 24,072 161,119 Distributions to holders of redeemable units From net investment income (10,769) (12,440) From net realized gains (208) - Return of capital - (245) Total distributions to holders of redeemable units (10,977) (12,685)

Redeemable unit transactions Proceeds from redeemable units issued 49,481 630,128 Reinvestment of distributions to holders of redeemable units 479 1,130 Redemption of redeemable units (141,568) (130,978) Net increase (decrease) from redeemable unit transactions (91,608) 500,280 Net increase (decrease) in net assets attributable to holders of redeemable units (78,513) 648,714 Net assets attributable to holders of redeemable units at the end of year 819,364 897,877

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

Annual Financial Statements - December 31, 2020 – 224 – CI First Asset Morningstar Canada Momentum Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 24,072 161,119 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (32,985) (17,162) Unrealized foreign exchange (gain) loss on cash (3) 7 Commissions and other portfolio transaction costs 756 533 Change in unrealized (appreciation) depreciation in value of investments and derivatives 17,990 (130,580) Proceeds from sale and maturity of investments and derivatives 934,024 545,905 Purchase of investments and derivatives (852,075) (726,247) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 1,103 (1,300) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (37) 329 Amortization interest earned - - Change in other accounts receivable and payable (28) 75 Net cash from (used in) operating activities 92,817 (167,321)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (10,498) (11,585) Proceeds from issuance of redeemable units 233 235,648 Amounts paid on redemption of redeemable units (82,600) (55,574) Net cash from (used in) financing activities (92,865) 168,489

Unrealized foreign exchange gain (loss) on cash 3 (7) Net increase (decrease) in cash (48) 1,168 Cash (bank overdraft), beginning of year 1,541 380 Cash (bank overdraft), end of year 1,496 1,541

Supplementary Information: Dividends received, net of withholding tax* 11,647 13,499 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (10) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 225 – CI First Asset Morningstar Canada Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services 797,978 Quebecor Inc., Class ‘B’ 23,632,035 26,141,759 3.19

Consumer Discretionary 337,246 BRP Inc. 13,520,480 28,359,016 497,367 Dollarama Inc. 20,471,554 25,803,400 397,675 Linamar Corp. 27,885,182 26,811,249 497,829 MTY Food Group Inc. 27,893,651 28,849,191 89,770,867 109,822,856 13.40 Consumer Staples 600,852 Alimentation Couche-Tard Inc., Class ‘B’ 26,669,164 26,064,960 774,034 North West Co. Inc. (The) 23,979,765 25,109,663 50,648,929 51,174,623 6.25 Energy 1,094,129 Imperial Oil Ltd. 26,718,138 26,434,157 1,438,501 Ovintiv Inc. 27,498,843 26,310,183 647,863 Parkland Corp. 27,404,147 26,167,187 81,621,128 78,911,527 9.63 Financials 295,852 goeasy Ltd. 28,787,710 28,594,095 370,604 National Bank of Canada 21,674,982 26,550,071 50,462,692 55,144,166 6.73

Health Care 2,334,903 Viemed Healthcare Inc. 34,561,867 23,232,285 2.84

Industrials 192,136 Canadian National Railway Co. 21,513,782 26,887,512 126,159 Cargojet Inc. 20,341,710 27,102,738 976,275 Finning International Inc. 26,933,505 26,388,713 396,278 TFI International Inc. 16,079,150 25,968,097 84,868,147 106,347,060 12.98 Information Technology 16,082 Constellation Software Inc. 17,646,801 26,582,259 415,423 Enghouse Systems Ltd. 21,923,501 25,610,828 457,191 Open Text Corp. 21,752,034 26,443,927 19,867 Shopify Inc., Class ‘A’ 23,679,735 28,555,236 29,909 Topicus.Com Inc. 143,755 299 85,145,826 107,192,549 13.08 Materials 3,271,712 Dundee Precious Metals Inc. 27,048,767 29,936,165 1,461,222 ERO Copper Corp. 26,811,593 29,838,153 1,313,812 First Quantum Minerals Ltd. 28,493,674 30,020,604 1,082,212 Intertape Polymer Group Inc. 28,275,949 26,124,598 2,704,439 Wesdome Gold Mines Ltd. 26,696,549 28,721,142 137,326,532 144,640,662 17.65 Real Estate 237,184 Colliers International Group Inc. 20,934,610 26,868,204 161,496 FirstService Corp. 18,593,270 28,135,833 39,527,880 55,004,037 6.71

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

Annual Financial Statements - December 31, 2020 – 226 – CI First Asset Morningstar Canada Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Utilities 680,396 Boralex Inc., Class ‘A’ 20,966,672 32,141,907 599,776 Northland Power Inc. 15,986,696 27,391,770 36,953,368 59,533,677 7.27 Total Equities 714,519,271 817,145,201 99.73 Adjustment for transaction costs (315,138) Total Investments 714,204,133 817,145,201 99.73 Other Net Assets (Liabilities) 2,219,011 0.27 Net Assets Attributable to Holders of Redeemable Units 819,364,212 100.00

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

Annual Financial Statements - December 31, 2020 – 227 – CI First Asset Morningstar Canada Momentum Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 736 533 Soft dollar commissions† 45 168

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 45,149,315 16,299,315 Redeemable units issued for cash 2,550,000 35,750,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (7,700,000) (6,900,000) Number of redeemable units at the end of year 39,999,315 45,149,315

Annual Financial Statements - December 31, 2020 – 228 – CI First Asset Morningstar Canada Momentum Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600

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

2020 2019 Loaned 51,470 84,269 Collateral (non-cash) 54,076 88,503

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

2020 2019 Gross securities lending revenue 1,154 998 Charges (528) (399) Securities lending revenue 626 599 Charges as a % of gross securities lending revenue 45.8 40.0

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

2020 Capital loss carried forward: 8 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 229 – CI First Asset Morningstar Canada Momentum Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk As at December 31, 2020 and 2019, the Fund’s investments were mostly denominated in Canadian dollars, the functional currency of the Fund. As a result, the Fund did not have a significant exposure Concentration Risk to currency risk. For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio.

The table below summarizes the Fund’s exposure to concentration risk. Interest Rate Risk As at December 31, 2020 and 2019, the Fund did not have a significant exposure to interest rate risk as as at December 31, 2019 substantially all of its assets were invested in equities. Categories Net Assets (%) Materials 17.82 Real Estate 16.90 Fair Value Hierarchy Information Technology 13.28 Industrials 12.96 Consumer Discretionary 12.73 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Financials 9.80 derivatives carried at fair value. Communication Services 6.42 Utilities 3.27 Long Positions at fair value as at December 31, 2020 Energy 3.25 Level 1 Level 2 Level 3 Total Health Care 3.20 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Other Net Assets (Liabilities) 0.37 Equities 817,145 - - 817,145 Total 100.00 Total 817,145 - - 817,145

Credit Risk Long Positions at fair value as at December 31, 2019 As at December 31, 2020 and 2019, the Fund did not have a significant exposure to credit risk as Level 1 Level 2 Level 3 Total substantially all of its assets were invested in equities. (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 894,585 - - 894,585 Total 894,585 - - 894,585 Other Price Risk As at December 31, 2020 and 2019, the Fund was predominantly invested in Canadian equities and There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2020 Benchmark ($) Morningstar® Canada Target Momentum Total Return IndexTM 81,707,361

as at December 31, 2019 Benchmark ($) Morningstar® Canada Target Momentum Total Return IndexTM 88,265,806

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

Annual Financial Statements - December 31, 2020 – 230 – CI First Asset Morningstar Canada Value Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 75,421 80,096 16.09 15.59 4,688,640 5,138,640 Current assets Investments 74,895 79,698 Investments pledged as collateral - - Cash 369 276 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 8 2 Cash collateral on deposit for short sale - - Dividends receivable 200 175 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 75,472 80,151 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 38 40 Accounts payable and accrued liabilities 13 15 51 55 Net assets attributable to holders of redeemable units 75,421 80,096

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

Annual Financial Statements - December 31, 2020 – 231 – CIG - 580530377 CI First Asset Morningstar Canada Value Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 85 18,496 0.02 3.19 4,321,563 5,790,421 Net gain (loss) on investments and derivatives Dividends 2,152 2,168 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 534 1,300 Change in unrealized appreciation (depreciation) in value of investments and derivatives (2,046) 15,720 Total net gain (loss) on investments and derivatives 640 19,188 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 13 23 Fees rebate 32 6 Miscellaneous foreign income - - Other income - - Total other income 45 29 Total income 685 19,217 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 365 499 Audit fees - - Legal fees - - Independent review committee fees - 1 Commissions and other portfolio transaction costs 190 168 Securities borrowing fees (Note 2) - - Interest expense - 1 Withholding taxes 11 - Harmonized sales tax 34 52 Other expenses - - Total expenses 600 721 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 85 18,496

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

Annual Financial Statements - December 31, 2020 – 232 – CI First Asset Morningstar Canada Value Index ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 80,096 90,978 Increase (decrease) in net assets attributable to holders of redeemable units 85 18,496 Distributions to holders of redeemable units From net investment income (1,735) (1,477) From net realized gains (6) - Return of capital - (305) Total distributions to holders of redeemable units (1,741) (1,782)

Redeemable unit transactions Proceeds from redeemable units issued 16,850 13,743 Reinvestment of distributions to holders of redeemable units 33 - Redemption of redeemable units (19,902) (41,339) Net increase (decrease) from redeemable unit transactions (3,019) (27,596) Net increase (decrease) in net assets attributable to holders of redeemable units (4,675) (10,882) Net assets attributable to holders of redeemable units at the end of year 75,421 80,096

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

Annual Financial Statements - December 31, 2020 – 233 – CI First Asset Morningstar Canada Value Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 85 18,496 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (534) (1,300) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 190 148 Change in unrealized (appreciation) depreciation in value of investments and derivatives 2,046 (15,720) Proceeds from sale and maturity of investments and derivatives 73,484 68,597 Purchase of investments and derivatives (73,444) (68,270) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (25) 74 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (2) (8) Amortization interest earned - - Change in other accounts receivable and payable (6) 6 Net cash from (used in) operating activities 1,794 2,023

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,708) (1,782) Proceeds from issuance of redeemable units 132 155 Amounts paid on redemption of redeemable units (125) (385) Net cash from (used in) financing activities (1,701) (2,012)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 93 11 Cash (bank overdraft), beginning of year 276 265 Cash (bank overdraft), end of year 369 276

Supplementary Information: Dividends received, net of withholding tax* 2,115 2,242 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 234 – CI First Asset Morningstar Canada Value Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services 25,231 Cogeco Communications Inc. 2,267,455 2,469,106 586,451 Corus Entertainment Inc., Class ‘B’ 1,862,085 2,510,010 4,129,540 4,979,116 6.60 Consumer Discretionary 37,124 Linamar Corp. 1,621,772 2,502,900 112,394 Transcontinental Inc., Class ‘A’ 1,929,068 2,305,201 3,550,840 4,808,101 6.37 Consumer Staples 70,459 Empire Co. Ltd., Class ‘A’ 2,138,155 2,451,269 25,256 George Weston Ltd. 2,451,280 2,401,340 38,406 Loblaw Cos. Ltd. 2,551,186 2,412,281 7,140,621 7,264,890 9.63 Energy 58,878 Enbridge Inc. 2,470,739 2,396,923 117,510 Gibson Energy Inc. 2,595,387 2,416,006 107,059 Keyera Corp. 2,337,948 2,421,675 134,269 Ovintiv Inc. 1,874,093 2,455,780 400,663 Seven Generations Energy Ltd., Class ‘A’ 1,831,293 2,648,382 11,109,460 12,338,766 16.36 Financials 25,873 Equitable Group Inc. 2,141,134 2,613,173 85,934 Great-West Lifeco Inc. 2,307,097 2,608,097 44,437 iA Financial Corp. Inc. 2,138,611 2,452,034 111,792 Manulife Financial Corp. 2,198,528 2,532,089 85,001 Power Corp. of Canada 2,308,388 2,484,579 11,093,758 12,689,972 16.83

Health Care 95,250 Bausch Health Cos. Inc. 2,315,438 2,515,553 3.34

Industrials 144,748 Westshore Terminals Investment Corp. 2,301,586 2,256,621 2.99

Materials 166,609 Cascades Inc. 2,419,044 2,424,161 195,942 Centerra Gold Inc. 2,226,803 2,888,185 305,383 Dundee Precious Metals Inc. 2,575,034 2,794,253 284,887 Kinross Gold Corp. 2,128,387 2,660,845 135,285 Torex Gold Resources Inc. 2,558,811 2,582,591 11,908,079 13,350,035 17.70

Real Estate 180,155 H&R REIT 1,931,398 2,394,260 3.17

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

Annual Financial Statements - December 31, 2020 – 235 – CI First Asset Morningstar Canada Value Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Utilities 133,411 AltaGas Ltd. 2,207,156 2,497,454 65,621 ATCO Ltd., Class ‘I’ 2,618,848 2,394,510 78,278 Canadian Utilities Ltd., Class ‘A’ 2,601,166 2,433,663 71,649 Capital Power Corp. 1,971,525 2,506,282 86,081 Hydro One Ltd. 2,098,918 2,466,221 11,497,613 12,298,130 16.31 Total Equities 66,978,333 74,895,444 99.30 Adjustment for transaction costs (94,276) Total Investments 66,884,057 74,895,444 99.30 Other Net Assets (Liabilities) 525,191 0.70 Net Assets Attributable to Holders of Redeemable Units 75,420,635 100.00

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

Annual Financial Statements - December 31, 2020 – 236 – CI First Asset Morningstar Canada Value Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 183 148 Soft dollar commissions† 11 13

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 5,138,640 7,088,640 Redeemable units issued for cash 1,100,000 950,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (1,550,000) (2,900,000) Number of redeemable units at the end of year 4,688,640 5,138,640

Annual Financial Statements - December 31, 2020 – 237 – CI First Asset Morningstar Canada Value Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600

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

2020 2019 Loaned 6,379 5,820 Collateral (non-cash) 6,732 6,113

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

2020 2019 Gross securities lending revenue 22 39 Charges (9) (16) Securities lending revenue 13 23 Charges as a % of gross securities lending revenue 40.9 40.0

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

2020 Capital loss carried forward: 12,913 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 238 – CI First Asset Morningstar Canada Value Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Interest Rate Risk As at December 31, 2020 and 2019, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Fair Value Hierarchy The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Categories Net Assets (%) derivatives carried at fair value. Financials 16.49 Utilities 16.11 Long Positions at fair value as at December 31, 2020 Energy 13.80 Level 1 Level 2 Level 3 Total Consumer Discretionary 13.55 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Materials 10.66 Equities 74,895 - - 74,895 Industrials 9.65 Total 74,895 - - 74,895 Consumer Staples 6.41 Communication Services 6.31 Real Estate 3.33 Long Positions at fair value as at December 31, 2019 Health Care 3.19 Level 1 Level 2 Level 3 Total Other Net Assets (Liabilities) 0.50 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Total 100.00 Equities 79,698 - - 79,698 Total 79,698 - - 79,698

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

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2020 Benchmark ($) Morningstar® Canada Target Value Total Return IndexTM 7,486,072

as at December 31, 2019 Benchmark ($) Morningstar® Canada Target Value Total Return IndexTM 7,781,500

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

Annual Financial Statements - December 31, 2020 – 239 – CI First Asset Morningstar International Momentum Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 25,112 31,432 35.42 30.70 708,902 1,023,902 Current assets Unhedged Investments 282,346 53,637 Common Units 257,422 22,510 38.40 32.02 6,702,975 702,975 Investments pledged as collateral - - Cash 407 - Unrealized gain on futures and foreign currency forward contracts 11 241 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 110 3 Cash collateral on deposit for short sale - - Dividends receivable 195 155 Interest receivable - - Receivable for investments sold - 2,505 Receivable for unit subscriptions - - 283,069 56,541 Liabilities Current liabilities Investments sold short - - Bank overdraft - 1,183 Unrealized loss on futures and foreign currency forward contracts 258 102 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - 1,243 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 128 29 Accounts payable and accrued liabilities 149 42 535 2,599 Net assets attributable to holders of redeemable units 282,534 53,942

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

Annual Financial Statements - December 31, 2020 – 240 – CIG - 580530447 CI First Asset Morningstar International Momentum Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 2,565 10,843 3.13 7.03 820,050 1,542,258 Net gain (loss) on investments and derivatives Unhedged Dividends 2,896 1,729 Common Units 46,550 4,347 12.40 6.04 3,754,505 719,619 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 12,397 3,688 Change in unrealized appreciation (depreciation) in value of investments and derivatives 34,743 10,505 Total net gain (loss) on investments and derivatives 50,036 15,922 Other income Foreign exchange gain (loss) on cash 165 (26) Securities lending revenue (Note 6) 77 6 Fees rebate 712 22 Miscellaneous foreign income - - Other income 127 39 Total other income 1,081 41 Total income 51,117 15,963 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 932 383 Audit fees - - Legal fees - - Independent review committee fees 1 1 Commissions and other portfolio transaction costs 624 164 Securities borrowing fees (Note 2) - - Interest expense 11 7 Withholding taxes 398 173 Harmonized sales tax 36 45 Other expenses - - Total expenses 2,002 773 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 49,115 15,190

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

Annual Financial Statements - December 31, 2020 – 241 – CI First Asset Morningstar International Momentum Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 31,432 43,678 22,510 21,945 53,942 65,623 Increase (decrease) in net assets attributable to holders of redeemable units 2,565 10,843 46,550 4,347 49,115 15,190 Distributions to holders of redeemable units From net investment income (153) (777) (2,070) (462) (2,223) (1,239) From net realized gains - (7) (243) - (243) (7) Return of capital (81) - (13) - (94) - Total distributions to holders of redeemable units (234) (784) (2,326) (462) (2,560) (1,246)

Redeemable unit transactions Proceeds from redeemable units issued 3,403 1 201,605 3,763 205,008 3,764 Reinvestment of distributions to holders of redeemable units - 257 20 169 20 426 Redemption of redeemable units (12,054) (22,563) (10,937) (7,252) (22,991) (29,815) Net increase (decrease) from redeemable unit transactions (8,651) (22,305) 190,688 (3,320) 182,037 (25,625) Net increase (decrease) in net assets attributable to holders of redeemable units (6,320) (12,246) 234,912 565 228,592 (11,681) Net assets attributable to holders of redeemable units at the end of year 25,112 31,432 257,422 22,510 282,534 53,942

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

Annual Financial Statements - December 31, 2020 – 242 – CI First Asset Morningstar International Momentum Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 49,115 15,190 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (12,397) (3,688) Unrealized foreign exchange (gain) loss on cash (4) 10 Commissions and other portfolio transaction costs 624 123 Change in unrealized (appreciation) depreciation in value of investments and derivatives (34,743) (10,505) Proceeds from sale and maturity of investments and derivatives 204,245 89,191 Purchase of investments and derivatives (384,791) (65,005) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (40) 37 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 99 (7) Amortization interest earned - - Change in other accounts receivable and payable 1 (13) Net cash from (used in) operating activities (177,891) 25,333

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,538) (820) Proceeds from issuance of redeemable units 205,007 3,763 Amounts paid on redemption of redeemable units (22,992) (29,815) Net cash from (used in) financing activities 179,477 (26,872)

Unrealized foreign exchange gain (loss) on cash 4 (10) Net increase (decrease) in cash 1,586 (1,539) Cash (bank overdraft), beginning of year (1,183) 366 Cash (bank overdraft), end of year 407 (1,183)

Supplementary Information: Dividends received, net of withholding tax* 2,458 1,593 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (11) (7) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 243 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Australia AUD 324,794 BWP Trust 1,130,783 1,411,302 AUD 269,723 Champion Iron Ltd. 830,668 1,259,509 AUD 98,582 Charter Hall Group 805,950 1,425,608 AUD 126,570 Codan Ltd. 895,638 1,391,113 AUD 76,621 Coles Group Ltd. 1,213,688 1,366,391 AUD 4,603 CSL Ltd. 1,194,045 1,281,425 AUD 277,201 CSR Ltd. 1,420,942 1,425,234 AUD 136,572 Elders Ltd. 1,248,147 1,323,818 AUD 64,214 Fortescue Metals Group Ltd. 784,085 1,479,080 AUD 304,318 Harvey Norman Holdings Ltd. 1,286,218 1,403,105 AUD 31,873 JB Hi-Fi Ltd. 1,137,732 1,523,449 AUD 39,916 Mineral Resources Ltd. 629,726 1,469,564 AUD 87,165 Netwealth Group Ltd. 1,287,297 1,365,904 AUD 157,288 Nick Scali Ltd. 1,495,526 1,492,152 AUD 1,359,090 Nickel Mines Ltd. 1,484,282 1,476,387 AUD 788,655 Ramelius Resources Ltd. 1,681,968 1,306,402 AUD 160,167 Technology One Ltd. 1,311,149 1,291,150 AUD 510,899 Waypoint REIT 1,221,390 1,371,158 21,059,234 25,062,751 8.87 Belgium EUR 10,678 Melexis NV 1,370,787 1,329,927 EUR 9,355 Montea CVA 1,214,842 1,357,640 EUR 31,182 Warehouses De Pauw SCA 1,180,883 1,373,622 3,766,512 4,061,189 1.44

Cyprus GBP 46,979 Polymetal International PLC 1,294,109 1,378,151 0.49

Denmark DKK 29,110 Demant AS 1,418,495 1,466,742 DKK 2,733 Genmab AS, Bearer 1,107,062 1,409,678 DKK 13,262 GN Store Nord AS 1,357,143 1,353,107 DKK 14,894 Novo Nordisk AS, Series ‘B’ 1,302,418 1,330,758 DKK 6,089 Orsted AS 1,416,864 1,585,651 DKK 10,125 Pandora AS 577,090 1,443,970 DKK 9,639 Royal Unibrew A/S 1,042,825 1,426,335 8,221,897 10,016,241 3.55 Finland EUR 42,706 Kesko OYJ, Series ‘B’ 1,009,277 1,400,638 EUR 12,825 Kone OYJ, Class ‘B’ 1,430,029 1,328,645 EUR 14,929 Neste Oil OYJ 728,846 1,376,734 EUR 22,164 Orion OYJ, Class ‘B’ 1,479,248 1,296,636 EUR 16,752 QT Group OYJ 1,414,060 1,504,112 EUR 21,316 Revenio Group OYJ 1,245,830 1,671,340 EUR 56,942 Tokmanni Group Corp. 1,027,929 1,441,484 EUR 50,080 Uponor OYJ 1,227,847 1,417,657 EUR 23,362 Vaisala OYJ, Class ‘A’ 1,151,229 1,469,416 10,714,295 12,906,662 4.57 France EUR 4,882 Iliad SA 1,297,133 1,279,254 EUR 24,124 La Francaise des Jeux SAEM 1,382,918 1,406,786 EUR 8,705 Pharmagest Interactive 1,425,555 1,511,628 EUR 2,964 Sartorius Stedim Biotech 1,062,719 1,345,429

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

Annual Financial Statements - December 31, 2020 – 244 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) France (cont’d) EUR 6,680 Somfy SA 1,478,328 1,443,214 EUR 6,246 Trigano SA 1,401,841 1,409,814 8,048,494 8,396,125 2.97 Germany EUR 4,917 Bechtle AG 1,125,519 1,367,371 EUR 16,067 flatexDEGIRO AG 1,482,641 1,590,375 EUR 17,236 HelloFresh SE 1,124,649 1,698,027 EUR 23,944 Hornbach Baumarkt Aktiengesellschaft 1,480,099 1,336,198 EUR 1,187 Rational AG 1,351,130 1,409,003 EUR 35,866 TAG Immobilien AG 1,186,860 1,448,018 EUR 30,981 VERBIO Vereinigte BioEnergie AG 1,358,178 1,482,603 9,109,076 10,331,595 3.66

Gibraltar GBP 283,497 888 Holdings PLC 912,466 1,409,538 0.50

Hong Kong HKD 21,050 Hong Kong Exchanges & Clearing Ltd. 1,044,940 1,469,918 HKD 573,347 Man Wah Holdings Ltd. 1,139,234 1,584,512 2,184,174 3,054,430 1.08 Israel GBP 53,053 Plus500 Ltd. 1,136,982 1,339,677 ILS 34,799 Strauss Group Ltd. 1,358,631 1,330,791 2,495,613 2,670,468 0.95 Italy EUR 52,355 Acea SPA 1,371,551 1,399,630 EUR 4,814 Ferrari NV 1,048,473 1,415,644 EUR 9,196 Reply SPA 1,071,612 1,366,102 EUR 141,562 Terna SPA 1,255,724 1,379,170 4,747,360 5,560,546 1.97 Japan JPY 13,898 Advantest Corp. 860,940 1,325,660 JPY 46,267 Anritsu Corp. 1,438,010 1,315,389 JPY 11,574 Bandai Namco Holdings Inc. 1,346,734 1,274,796 JPY 6,738 Baycurrent Consulting Inc. 828,036 1,504,077 JPY 34,767 Benefit One Inc. 977,033 1,308,481 JPY 17,869 Capcom Co. Ltd. 911,860 1,477,323 JPY 21,375 Chugai Pharmaceutical Co. Ltd. 1,184,829 1,451,463 JPY 6,401 COSMOS Pharmaceutical Corp. 1,344,932 1,317,481 JPY 40,895 Cybozu Inc. 1,253,792 1,301,433 JPY 31,940 Daiichi Sankyo Co. Ltd. 1,186,153 1,393,236 JPY 3,283 Disco Corp. 1,355,924 1,407,752 JPY 57,914 eRex Co. Ltd. 1,395,309 1,485,010 JPY 7,866 Fujitsu Ltd. 1,092,519 1,446,726 JPY 7,718 GMO Payment Gateway Inc. 1,121,468 1,318,078 JPY 4,251 Hikari Tsushin Inc. 1,255,934 1,268,375 JPY 8,266 Hoya Corp. 996,843 1,455,525 JPY 6,967 IR Japan Holdings Ltd. 688,749 1,416,783 JPY 37,229 ITOCHU Corp. 1,126,420 1,361,633 JPY 45,676 Japan Elevator Service Holding Co. Ltd. 978,335 1,478,946 JPY 28,413 JCU Corp. 1,198,063 1,393,653 JPY 37,077 KDDI Corp. 1,432,170 1,402,741 JPY 31,451 KOBE Bussan Co. Ltd. 959,548 1,234,133

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

Annual Financial Statements - December 31, 2020 – 245 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Japan (cont’d) JPY 12,324 Kusuri no Aoki Holdings Co. Ltd. 1,400,665 1,367,136 JPY 9,230 Lasertec Corp. 891,267 1,379,260 JPY 43,950 Lion Corp. 1,387,370 1,354,727 JPY 12,465 M3 Inc. 1,441,205 1,498,600 JPY 51,820 Maruwa Unyu Kikan Co. Ltd. 1,033,447 1,407,401 JPY 108,388 MCJ Co. Ltd. 1,224,717 1,481,908 JPY 19,750 Monotaro Co. Ltd. 1,088,215 1,279,460 JPY 36,702 Nexon Co. Ltd. 1,154,784 1,440,182 JPY 15,910 Nihon M&A Center Inc. 987,016 1,354,627 JPY 1,846 Nintendo Co. Ltd. 1,411,918 1,499,533 JPY 18,137 NISSEI ASB MACHINE Co. Ltd. 1,371,849 1,318,200 JPY 31,634 Nomura Research Institute Ltd. 1,073,361 1,442,344 JPY 4,902 OBIC Co. Ltd.. 1,048,394 1,253,929 JPY 71,171 OUTSOURCING Inc.. 1,278,890 1,212,822 JPY 47,582 Rakus Co. Ltd. 1,016,283 1,404,443 JPY 43,616 SBS Holdings Inc. 1,265,687 1,405,787 JPY 37,943 SG Holdings Co. Ltd. 885,516 1,316,580 JPY 30,061 SHOEI Co. Ltd. 1,355,918 1,537,547 JPY 29,411 SMS Co. Ltd. 1,375,553 1,433,532 JPY 11,023 Sony Corp. 995,739 1,398,957 JPY 15,658 Sugi Holdings Co. Ltd. 1,407,509 1,333,171 JPY 51,525 TechMatrix Corp. 1,286,555 1,365,056 JPY 18,320 Tecmo Koei Holdings Co. Ltd. 1,471,161 1,424,185 JPY 2,928 Tokyo Electron Ltd. 841,019 1,387,403 JPY 7,734 Tri Chemical Laboratories Inc. 997,841 1,588,981 JPY 31,542 ValueCommerce Co. Ltd. 1,230,145 1,241,596 JPY 26,445 Valuence Holdings Inc. 1,407,197 1,257,964 JPY 120,244 Wacom Co. Ltd. 1,083,243 1,283,453 JPY 27,171 Welcia Holdings Co. Ltd. 1,395,164 1,305,911 JPY 46,406 YA-MAN Ltd. 1,112,835 1,070,247 JPY 177,609 Z Holdings Corp. 1,198,169 1,368,448 JPY 41,487 ZOZO Inc. 1,417,041 1,304,915 63,469,274 74,056,999 26.21

Jordan GBP 31,449 Hikma Pharmaceuticals PLC 1,343,008 1,379,065 0.49

Malta SEK 119,052 Kindred Group PLC 1,156,637 1,487,810 0.53

Netherlands EUR 5,217 ASM International NV 802,557 1,463,402 EUR 2,255 ASML Holding NV 942,536 1,397,428 EUR 18,738 BE Semiconductor Industries NV 998,395 1,448,175 EUR 34,084 Flow Traders 1,525,899 1,437,704 EUR 36,626 Koninklijke Ahold Delhaize NV 1,316,363 1,319,412 EUR 320,140 PostNL NV 1,350,453 1,392,308 EUR 12,451 Wolters Kluwer NV 1,242,728 1,340,362 8,178,931 9,798,791 3.47 New Zealand NZD 46,144 Fisher & Paykel Healthcare Corp. Ltd. 1,189,334 1,395,520 NZD 23,825 Mainfreight Ltd. 1,350,429 1,518,867 2,539,763 2,914,387 1.03

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

Annual Financial Statements - December 31, 2020 – 246 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Norway NOK 52,455 Entra ASA 1,456,992 1,515,769 NOK 187,492 Europris ASA 1,051,258 1,425,609 NOK 55,591 Kongsberg Gruppen ASA 1,401,623 1,457,495 NOK 71,033 Nordic Semiconductor ASA 1,379,736 1,458,599 5,289,609 5,857,472 2.07 Singapore SGD 145,585 Best World International Ltd. 385,662 95,429 SGD 462,244 iFast Corp. Ltd. 1,335,751 1,336,736 SGD 1,692,215 Japfa Ltd. 1,148,325 1,508,865 SGD 1,135,052 Riverstone Holdings Ltd. 1,253,602 1,214,484 SGD 894,929 Sheng Siong Group Ltd. 1,304,117 1,337,129 SGD 153,877 Singapore Exchange Ltd. 1,369,103 1,376,494 SGD 1,082,235 StarHub Ltd. 1,397,621 1,366,614 8,194,181 8,235,751 2.91 Spain EUR 46,723 EDP Renovaveis SA 791,243 1,660,568 EUR 23,362 Laboratorios Farmaceuticos Rovi SA 1,407,065 1,380,195 EUR 46,125 Solaria Energia y Medio Ambiente SA 705,413 1,699,711 EUR 14,738 Viscofan SA 1,319,970 1,333,619 4,223,691 6,074,093 2.15 Sweden SEK 86,087 AddTech AB, ‘B’ Shares 1,358,159 1,455,645 SEK 19,903 Atlas Copco AB, Class ‘A’ 1,064,372 1,300,155 SEK 44,357 Avanza Bank Holding AB 821,079 1,603,279 SEK 46,473 Axfood AB 1,355,899 1,382,741 SEK 116,979 Betsson AB 1,129,033 1,337,417 SEK 91,838 Bilia AB 1,584,350 1,444,614 SEK 65,877 Biotage AB 1,661,897 1,420,495 SEK 30,366 Boliden AB 1,267,826 1,372,678 SEK 59,510 Bygghemma Group First AB 1,523,932 1,650,626 SEK 23,489 Catena AB 1,138,147 1,402,868 SEK 42,898 Electrolux AB, Series ‘B’ 1,295,971 1,273,377 SEK 11,640 Evolution Gaming Group AB 803,598 1,507,394 SEK 88,229 Husqvarna AB, ‘B’ Shares 1,275,772 1,457,647 SEK 54,067 Indutrade AB 1,265,141 1,477,847 SEK 39,497 Instalco AB 778,896 1,537,904 SEK 14,963 Investor AB, Series ‘B’ 1,323,107 1,390,855 SEK 22,824 Kinnevik AB, Class ‘B’ 1,479,650 1,471,141 SEK 56,840 Lindab International AB 1,330,195 1,502,502 SEK 38,220 Mycronic AB 1,435,886 1,454,979 SEK 11,332 Nolato AB, Series ‘B’ 1,456,717 1,462,586 SEK 35,496 Paradox Interactive AB 1,115,487 1,409,648 SEK 43,680 Sdiptech AB, Class ‘B’ 1,524,754 1,558,482 SEK 12,777 Sectra AB, Class ‘B’ 835,154 1,453,853 SEK 42,244 Skanska AB, Series ‘B’ 1,119,586 1,374,216 SEK 98,940 Stillfront Group AB 982,247 1,534,841 SEK 31,222 Thule Group AB (The) 1,309,128 1,489,836 SEK 51,793 Troax Group AB 1,356,433 1,544,244 SEK 41,629 Vitrolife AB 1,129,490 1,393,602 SEK 70,095 Wallenstam AB, Class ‘B’ 1,097,109 1,420,109 35,819,015 42,085,581 14.89

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

Annual Financial Statements - December 31, 2020 – 247 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Switzerland CHF 3,980 ALSO Holding AG 1,186,325 1,451,260 CHF 2,614 Bachem Holding AG, Registered, Class ‘B’ 1,023,830 1,490,026 CHF 118 Belimo Holding AG 1,112,272 1,306,126 CHF 9,058 Cembra Money Bank AG 1,190,851 1,399,487 GBP 290,036 Ferrexpo PLC 1,003,393 1,427,401 CHF 1,763 Geberit AG, Registered 1,210,964 1,408,188 CHF 377 Gurit Holding AG 1,298,016 1,347,518 CHF 4,715 Kuehne + Nagel International AG, Registered 1,229,145 1,364,543 CHF 11,638 Logitech International SA, Registered 974,241 1,441,167 CHF 941 Partners Group Holding AG 1,020,907 1,410,473 11,249,944 14,046,189 4.97 U.K. GBP 27,863 Admiral Group PLC 1,132,565 1,410,086 GBP 206,795 AO World PLC 1,477,291 1,480,144 GBP 23,878 Ashtead Group PLC 975,240 1,429,637 GBP 17,719 ASOS PLC 1,499,977 1,475,916 GBP 139,019 Auto Trader Group PLC 1,249,211 1,442,921 GBP 20,516 Avon Rubber PLC 1,131,049 1,130,807 GBP 251,327 boohoo.com PLC 1,417,892 1,501,258 GBP 218,994 CMC Markets PLC 1,356,038 1,491,183 GBP 150,505 Codemasters Group Holdings PLC 1,698,633 1,714,157 GBP 35,118 Computacenter PLC 994,350 1,497,143 GBP 177,914 Evraz PLC 1,471,548 1,461,188 GBP 7,863 Games Workshop Group PLC 852,838 1,533,657 GBP 51,975 Gamma Communications PLC 1,176,420 1,488,958 GBP 95,191 IG Group Holdings PLC 1,278,630 1,428,977 GBP 153,771 IntegraFin Holdings PLC 1,295,961 1,488,920 GBP 65,185 Kainos Group PLC 1,154,577 1,382,665 GBP 118,917 Kazakhmys PLC 1,213,051 1,366,816 GBP 102,581 Safestore Holdings PLC 1,187,088 1,393,425 GBP 109,343 Smart Metering Systems PLC 1,309,874 1,353,888 GBP 6,980 Spirax-Sarco Engineering PLC 1,111,895 1,372,978 GBP 301,593 Spirent Communications PLC 1,272,467 1,386,587 GBP 96,487 Team17 Group PLC 962,301 1,330,810 27,218,896 31,562,121 11.16 Total Equities 241,236,179 282,345,955 99.93 Adjustment for transaction costs (262,822) Total Investments 240,973,357 282,345,955 99.93 Total unrealized gain on forward foreign currency contract(s) 10,621 0.00 Total unrealized loss on forward foreign currency contract(s) (258,491) (0.09) Other Net Assets (Liabilities) 436,061 0.16 Net Assets Attributable to Holders of Redeemable Units 282,534,146 100.00

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

Annual Financial Statements - December 31, 2020 – 248 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 249 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 11 - - 11 Derivative assets - Swaps and swaptions - - - - Total 11 - - 11 Derivative liabilities - Foreign currency forward contracts (258) - - (258) Derivative liabilities - Swaps and swaptions - - - - Total (258) - - (258) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 241 (102) - 139 Derivative assets - Swaps and swaptions - - - - Total 241 (102) - 139 Derivative liabilities - Foreign currency forward contracts (102) 102 - - Derivative liabilities - Swaps and swaptions - - - - Total (102) 102 - -

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

Annual Financial Statements - December 31, 2020 – 250 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 526 123 Soft dollar commissions† 32 1

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 1,023,902 1,823,902 702,975 827,975 Redeemable units issued for cash 110,000 - 6,330,000 125,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (425,000) (800,000) (330,000) (250,000) Number of redeemable units at the end of year 708,902 1,023,902 6,702,975 702,975

Annual Financial Statements - December 31, 2020 – 251 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 13,873 8 Collateral (non-cash) 15,128 9

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

2020 2019 Gross securities lending revenue 160 10 Charges (83) (4) Securities lending revenue 77 6 Charges as a % of gross securities lending revenue 51.6 40.2

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

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

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

Annual Financial Statements - December 31, 2020 – 252 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Other Price Risk (cont’d)

Impact on Net Assets Attributable to Holders of Redeemable Units Concentration Risk as at December 31, 2019 For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Benchmark ($) Morningstar® Developed Markets ex-North America Target Momentum The table below summarizes the Fund’s exposure to concentration risk. Total Return IndexTM 4,855,547 as at December 31, 2019 Categories Net Assets (%) Currency Risk Japan 22.96 The tables below summarize the Fund’s exposure to currency risk. U.K. 17.99 Sweden 12.65 Common Units Australia 9.84 Italy 6.22 as at December 31, 2020~ Switzerland 4.93 Financial Instruments Net Net Germany 4.48 Exposure Derivatives Exposure Assets France 2.96 Currency (in $000’s) (in $000’s) (in $000’s) (%) Netherlands 2.95 Danish Krone 891 - 891 3.5 Belgium 2.44 Norwegian Krone 521 - 521 2.1 Denmark 2.42 Hong Kong Dollar 273 - 273 1.1 Singapore 2.12 New Zealand Dollar 259 - 259 1.0 Finland 1.46 Euro 5,078 (4,873) 205 0.8 New Zealand 1.07 Israeli Shekel 120 - 120 0.5 Norway 1.04 British Pound 3,425 (3,318) 107 0.4 Spain 1.00 Japanese Yen 6,588 (6,543) 45 0.2 Israel 0.97 Swiss Franc 1,122 (1,096) 26 0.1 Hong Kong 0.50 Singapore Dollar 732 (733) (1) 0.0 Austria 0.48 U.S. Dollar 1 - 1 0.0 Cambodia 0.48 Australian Dollar 2,234 (2,256) (22) (0.1) Ireland 0.48 Swedish Krona 3,873 (3,907) (34) (0.1) Total unrealized gain on forward foreign currency contract(s) 0.45 Total 25,117 (22,726) 2,391 9.5 Other Net Assets (Liabilities) 0.30 Total unrealized loss on forward foreign currency contract(s) (0.19) Total 100.00 as at December 31, 2019~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Credit Risk Currency (in $000’s) (in $000’s) (in $000’s) (%) As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Danish Krone 768 - 768 2.4 was insignificant. Singapore Dollar 668 - 668 2.1 New Zealand Dollar 337 - 337 1.1 Norwegian Krone 334 - 334 1.1 Other Price Risk Hong Kong Dollar 308 - 308 1.0 As at December 31, 2020 and 2019, the Fund was predominantly invested in foreign equities and Israeli Shekel 307 - 307 1.0 therefore was sensitive to changes in general economic conditions across the world. British Pound 5,520 (5,533) (13) 0.0 Euro 7,392 (7,406) (14) 0.0 The table below indicates how net assets attributable to holders of redeemable units would have Japanese Yen 7,225 (7,238) (13) 0.0 increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Swedish Krona 3,988 (3,985) 3 0.0 change is estimated based on the historical correlation between the return of the Fund’s securities as Swiss Franc 1,258 (1,252) 6 0.0 compared to the return of the benchmark(s), as at year end, with all other variables held constant. The U.S. Dollar 1 - 1 0.0 historical correlation may not be representative of the future correlation, and accordingly the impact on Australian Dollar 3,261 (3,323) (62) (0.2) net assets attributable to holders of redeemable units could be different. Total 31,367 (28,737) 2,630 8.5

Impact on Net Assets Attributable to Holders of Redeemable Units ~Includes monetary and non-monetary instruments, if any. as at December 31, 2020 Benchmark ($) Morningstar® Developed Markets ex-North America Target Momentum Total Return IndexTM 27,915,302

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

Annual Financial Statements - December 31, 2020 – 253 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d) Interest Rate Risk As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables substantially all of its assets were invested in equities and derivatives. held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $239,000 (December 31, 2019 - $263,000). In practice, actual results may differ from this analysis and the difference may be material. Fair Value Hierarchy

Unhedged Common Units The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value. as at December 31, 2020~ Financial Instruments Net Net Long Positions at fair value as at December 31, 2020 Exposure Derivatives Exposure Assets Level 1 Level 2 Level 3 Total Currency (in $000’s) (in $000’s) (in $000’s) (%) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Japanese Yen 67,538 - 67,538 26.2 Equities 282,251 - 95 282,346 Euro 52,055 - 52,055 20.2 Derivatives, net - (248) - (248) Swedish Krona 39,703 - 39,703 15.4 Total 282,251 (248) 95 282,098 British Pound 35,111 - 35,111 13.6 Australian Dollar 22,906 - 22,906 8.9 Swiss Franc 11,501 - 11,501 4.5 Long Positions at fair value as at December 31, 2019 Danish Krone 9,129 - 9,129 3.5 Level 1 Level 2 Level 3 Total Singapore Dollar 7,507 - 7,507 2.9 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Norwegian Krone 5,340 - 5,340 2.1 Equities 53,542 - 95 53,637 Hong Kong Dollar 2,795 - 2,795 1.1 Derivatives, net - 139 - 139 New Zealand Dollar 2,658 - 2,658 1.0 Total 53,542 139 95 53,776 Israeli Shekel 1,226 - 1,226 0.5 U.S. Dollar 6 - 6 0.0 There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. Total 257,475 - 257,475 99.9 as at December 31, 2019~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 5,293 - 5,293 23.5 Japanese Yen 5,174 - 5,174 23.0 British Pound 3,953 - 3,953 17.6 Swedish Krona 2,856 - 2,856 12.7 Australian Dollar 2,335 - 2,335 10.4 Swiss Franc 901 - 901 4.0 Danish Krone 550 - 550 2.4 Singapore Dollar 478 - 478 2.1 New Zealand Dollar 241 - 241 1.1 Norwegian Krone 239 - 239 1.1 Hong Kong Dollar 221 - 221 1.0 Israeli Shekel 220 - 220 1.0 U.S. Dollar 1 - 1 0.0 Total 22,462 - 22,462 99.9

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

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $25,748,000 (December 31, 2019 - $2,246,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Annual Financial Statements - December 31, 2020 – 254 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Level 3 Reconciliation The tables below summarize the movement in financial instruments classified as Level 3. for the year ended December 31, 2020 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2019 Purchases Sales In (Out) (Loss) (Loss) Dec. 31, 2020 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Long Positions/Assets: Equities 95 ------95 Total 95 ------95 for the year ended December 31, 2019 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2018 Purchases Sales In (Out) (Loss) (Loss)* Dec. 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Long Positions/Assets: Equities - 411 (21) - - (4) (291) 95 Total - 411 (21) - - (4) (291) 95

*Change in unrealized gain (loss) related to investments held at December 31, 2019 was $291,000.

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

Annual Financial Statements - December 31, 2020 – 255 – CI First Asset Morningstar International Value Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 28,655 64,522 21.24 25.46 1,348,952 2,533,952 Current assets Unhedged Investments 477,853 507,090 Common Units 449,604 444,113 23.39 26.98 19,219,099 16,459,099 Investments pledged as collateral - - Cash 658 1,374 Unrealized gain on futures and foreign currency forward contracts 12 527 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 204 212 Cash collateral on deposit for short sale - - Dividends receivable 228 733 Interest receivable - - Receivable for investments sold - 85 Receivable for unit subscriptions - - 478,955 510,021 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 209 11 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - 787 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 221 253 Accounts payable and accrued liabilities 266 335 696 1,386 Net assets attributable to holders of redeemable units 478,259 508,635

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

Annual Financial Statements - December 31, 2020 – 256 – CIG - 580530407 CI First Asset Morningstar International Value Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (13,488) 9,792 (7.79) 4.44 1,731,548 2,205,048 Net gain (loss) on investments and derivatives Unhedged Dividends 11,586 9,719 Common Units (55,152) 40,924 (4.01) 4.60 13,750,001 8,887,181 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (65,993) 6,301 Change in unrealized appreciation (depreciation) in value of investments and derivatives (11,270) 37,594 Total net gain (loss) on investments and derivatives (65,677) 53,614 Other income Foreign exchange gain (loss) on cash (91) (291) Securities lending revenue (Note 6) 107 143 Fees rebate 1,826 1,101 Miscellaneous foreign income - - Other income 170 271 Total other income 2,012 1,224 Total income (63,665) 54,838 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 2,072 1,685 Audit fees - - Legal fees - - Independent review committee fees 2 3 Commissions and other portfolio transaction costs 1,214 1,213 Securities borrowing fees (Note 2) - - Interest expense 18 16 Withholding taxes 1,636 1,136 Harmonized sales tax 33 69 Other expenses - - Total expenses 4,975 4,122 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (68,640) 50,716

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

Annual Financial Statements - December 31, 2020 – 257 – CI First Asset Morningstar International Value Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 64,522 41,584 444,113 80,011 508,635 121,595 Increase (decrease) in net assets attributable to holders of redeemable units (13,488) 9,792 (55,152) 40,924 (68,640) 50,716 Distributions to holders of redeemable units From net investment income (644) (962) (9,568) (6,676) (10,212) (7,638) From net realized gains ------Return of capital (175) (147) (161) - (336) (147) Total distributions to holders of redeemable units (819) (1,109) (9,729) (6,676) (10,548) (7,785)

Redeemable unit transactions Proceeds from redeemable units issued - 36,791 201,191 376,311 201,191 413,102 Reinvestment of distributions to holders of redeemable units - 124 - 856 - 980 Redemption of redeemable units (21,560) (22,660) (130,819) (47,313) (152,379) (69,973) Net increase (decrease) from redeemable unit transactions (21,560) 14,255 70,372 329,854 48,812 344,109 Net increase (decrease) in net assets attributable to holders of redeemable units (35,867) 22,938 5,491 364,102 (30,376) 387,040 Net assets attributable to holders of redeemable units at the end of year 28,655 64,522 449,604 444,113 478,259 508,635

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

Annual Financial Statements - December 31, 2020 – 258 – CI First Asset Morningstar International Value Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (68,640) 50,716 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 65,993 (6,301) Unrealized foreign exchange (gain) loss on cash (17) 25 Commissions and other portfolio transaction costs 1,214 1,079 Change in unrealized (appreciation) depreciation in value of investments and derivatives 11,270 (37,594) Proceeds from sale and maturity of investments and derivatives 562,487 314,477 Purchase of investments and derivatives (611,716) (656,890) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 505 (304) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (33) 185 Amortization interest earned - - Change in other accounts receivable and payable (61) 9 Net cash from (used in) operating activities (38,998) (334,598)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (10,549) (6,805) Proceeds from issuance of redeemable units 201,192 413,102 Amounts paid on redemption of redeemable units (152,378) (69,973) Net cash from (used in) financing activities 38,265 336,324

Unrealized foreign exchange gain (loss) on cash 17 (25) Net increase (decrease) in cash (733) 1,726 Cash (bank overdraft), beginning of year 1,374 (327) Cash (bank overdraft), end of year 658 1,374

Supplementary Information: Dividends received, net of withholding tax* 10,455 8,279 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (18) (16) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 259 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Australia AUD 185,289 AGL Energy Ltd. 2,644,183 2,176,744 AUD 476,252 Champion Iron Ltd. 1,554,240 2,223,925 AUD 113,383 Fortescue Metals Group Ltd. 1,690,864 2,611,620 AUD 1,029,895 Incitec Pivot Ltd. 2,059,524 2,308,435 AUD 961,770 Pact Group Holdings Ltd. 2,162,508 2,505,572 AUD 426,164 Sandfire Resources Ltd. 2,221,006 2,241,405 AUD 196,326 Worley Ltd. 1,933,808 2,217,623 14,266,133 16,285,324 3.41 Austria EUR 40,228 BAWAG Group AG 2,176,032 2,382,886 EUR 46,475 OMV AG 1,978,929 2,390,697 EUR 55,000 Strabag SE 2,419,274 2,439,137 EUR 75,370 Vienna Insurance Group 2,502,833 2,443,729 9,077,068 9,656,449 2.02 Belgium EUR 148,322 Ontex Group NV 2,658,366 2,543,252 EUR 69,851 Orange Belgium 1,676,855 2,373,670 EUR 45,902 Tessenderlo Chemie NV 2,435,890 2,336,178 6,771,111 7,253,100 1.52

Denmark DKK 110,179 Danske Bank AS 2,257,283 2,322,355 0.49

Finland EUR 82,768 Fortum OYJ 2,309,068 2,541,674 0.53

France EUR 34,263 BNP Paribas SA 2,038,533 2,302,206 EUR 454,779 Bollore SA 2,149,283 2,397,536 EUR 44,035 Bouygues SA 2,355,360 2,309,799 EUR 109,762 Carrefour SA 2,346,973 2,400,495 EUR 114,496 CNP Assurances 2,678,761 2,352,323 EUR 177,676 Coface SA 2,086,463 2,273,857 EUR 145,912 Credit Agricole SA 2,022,737 2,347,264 EUR 119,331 Electricite de France SA 1,863,995 2,398,644 EUR 160,084 Eutelsat Communications SA 2,306,123 2,310,735 EUR 31,404 Fnac Darty SA 2,036,364 2,579,804 EUR 53,458 Ipsos 1,978,001 2,299,921 EUR 149,265 Orange SA 2,396,416 2,264,855 EUR 72,437 Peugeot SA 1,924,974 2,525,908 EUR 38,004 Publicis Groupe 1,875,753 2,414,652 EUR 218,346 Television Francaise 1 SA 2,074,483 2,242,961 EUR 43,607 Vicat SA 2,116,925 2,334,931 34,251,144 37,755,891 7.89 Germany EUR 72,299 1&1 Drillisch AG 2,455,704 2,303,585 EUR 7,737 Allianz AG, Registered 2,339,669 2,420,534 EUR 23,153 Aurubis AG 2,275,101 2,297,550 EUR 20,870 Bayerische Motoren Werke (BMW) AG 2,205,150 2,349,802 EUR 59,947 Bilfinger SE 1,750,820 2,416,502 EUR 284,640 Commerzbank AG 2,148,051 2,336,512 EUR 101,377 Deutsche Telekom AG, Registered 2,371,673 2,363,290 EUR 89,358 Freenet AG 2,215,780 2,395,117 EUR 40,196 Fresenius SE 2,581,231 2,370,965 EUR 42,278 Hornbach Baumarkt Aktiengesellschaft 2,565,747 2,359,330

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

Annual Financial Statements - December 31, 2020 – 260 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Germany (cont’d) EUR 18,366 Hornbach Holding AG & CO. KGaA 1,914,834 2,253,100 EUR 49,265 Talanx AG 2,549,070 2,438,991 EUR 54,470 Uniper SE 2,397,794 2,397,801 29,770,624 30,703,079 6.42 Hong Kong HKD 256,175 CK Hutchison Holdings Ltd. 2,766,010 2,277,121 HKD 1,834,989 Dah Sing Banking Group Ltd. 2,323,351 2,399,930 HKD 652,720 Dah Sing Financial Holdings Ltd. 2,360,710 2,343,314 HKD 5,763,937 First Pacific Co. Ltd. 2,616,714 2,339,205 USD 10,076,091 Hutchison Port Holdings Trust 1,951,577 2,541,714 HKD 3,684,166 K Wah International Holdings Ltd. 2,500,816 2,257,876 HKD 844,832 Kerry Logistics Network Ltd. 2,169,658 2,359,779 HKD 716,161 Kerry Properties Ltd. 2,905,317 2,311,023 HKD 137,052 Sun Hung Kai Properties Ltd. 2,431,436 2,251,839 HKD 2,172,426 VST Holdings Ltd. 2,215,734 2,270,148 HKD 2,182,376 WH Group Ltd. 2,519,390 2,330,746 26,760,713 25,682,695 5.37

Israel ILS 510,022 Israel Discount Bank, Class ‘A’ 2,668,409 2,501,287 0.52

Italy EUR 106,544 Assicurazioni Generali SPA 2,188,009 2,368,316 EUR 678,328 Banca Popolare di Sondrio Scrl 2,096,260 2,326,235 EUR 1,010,085 BPER Banca SPA 2,297,531 2,338,167 EUR 226,109 Cementir Holding NV 2,213,646 2,343,854 EUR 326,468 Credito Emiliano SPA 2,407,591 2,244,245 EUR 518,776 Hera SPA 2,471,251 2,409,835 EUR 709,878 Mediaset SPA 2,079,306 2,308,284 EUR 202,473 Mediobanca SPA 2,345,519 2,379,741 EUR 181,565 Poste Italiane SPA 2,405,928 2,354,760 EUR 3,836,697 Telecom Italia SPA 2,199,750 2,257,099 EUR 389,744 Unipol Gruppo SPA 2,448,038 2,375,458 EUR 689,981 UnipolSai SPA 2,369,917 2,333,931 27,522,746 28,039,925 5.86 Japan JPY 131,607 77 Bank Ltd. (The) 2,637,882 2,280,061 JPY 110,049 ADEKA Corp. 2,138,757 2,445,683 JPY 155,332 AEON Financial Services Co. Ltd. 2,433,370 2,369,080 JPY 108,008 ARC Land Sakamoto Co. Ltd. 2,420,759 2,280,375 JPY 85,780 ARCS Co. Ltd. 2,680,743 2,454,637 JPY 156,280 Chubu Electric Power Co. Inc. 2,675,318 2,397,038 JPY 151,296 Chugoku Electric Power Co. Inc. (The) 2,665,245 2,257,117 JPY 113,127 Dai-ichi Life Holdings Inc. 2,235,710 2,166,498 JPY 27,607 Daiwabo Holdings Co. Ltd. 1,957,097 3,127,248 JPY 167,375 DCM Japan Holdings Co. Ltd. 2,295,951 2,435,033 JPY 55,135 Ebara Corp. 2,115,124 2,292,755 JPY 191,000 EDION Corp. 2,388,301 2,469,989 JPY 140,048 Electric Power Development Co. Ltd. 2,396,647 2,455,678 JPY 155,332 Furukawa Co. Ltd. 2,283,648 2,347,996 JPY 575,288 Gunma Bank Ltd. (The) 2,390,446 2,257,422 JPY 89,662 HEIWADO Co. Ltd. 2,339,228 2,450,657 JPY 508,323 Hokkaido Electric Power Co. Inc. 2,950,636 2,352,185 JPY 182,996 Hokukohu Financial Group Inc. 2,518,177 2,210,674 JPY 196,670 Hosiden Corp. 2,407,527 2,409,838

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

Annual Financial Statements - December 31, 2020 – 261 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Japan (cont’d) JPY 90,806 Iida Group Holdings Co. Ltd. 2,454,964 2,335,139 JPY 65,736 ITOCHU Corp. 1,921,021 2,404,262 JPY 31,655 Iwatani International Corp. 1,672,127 2,484,276 JPY 287,214 Iyo Bank Ltd. (The) 2,400,972 2,293,033 JPY 246,278 Japan Post Holdings Co. Ltd. 2,460,735 2,439,683 JPY 55,056 J-Oil Mills Inc. 2,589,803 2,401,566 JPY 85,627 Kanamoto Co. Ltd. 2,462,672 2,341,428 JPY 235,185 Kandenko Co. Ltd. 2,492,135 2,533,520 JPY 56,183 Kaneka Corp. 2,477,681 2,502,722 JPY 154,957 Kanematsu Corp. 2,518,921 2,458,966 JPY 207,995 Kansai Electric Power Co. Inc. 2,865,201 2,499,070 JPY 88,833 Kintetsu World Express Inc. 2,254,044 2,683,404 JPY 61,883 Kohnan Shoji Co. Ltd. 2,079,284 2,455,007 JPY 71,536 KOMERI CO. LTD. 2,287,892 2,574,024 JPY 151,535 K’s Holdings Corp. 2,592,923 2,685,145 JPY 30,499 KUREHA Corp. 2,268,477 2,736,027 JPY 130,623 KYOEI Steel Ltd. 2,379,727 2,304,921 JPY 62,385 KYUDENKO Corp. 2,418,610 2,563,450 JPY 227,123 Kyushu Electric Power Co. Inc. 2,644,222 2,488,711 JPY 93,411 Macnica Fuji Electronics Holdings Inc. 2,051,740 2,334,121 JPY 87,979 Maruha Nichiro Corp. 2,396,873 2,410,085 JPY 56,431 Maruzen Showa Unyu Co. Ltd. 2,298,720 2,423,245 JPY 932,748 Mebuki Financial Group Inc. 2,730,278 2,336,473 JPY 94,700 Medipal Holdings Corp. 2,512,392 2,264,666 JPY 102,043 Mitsui & Co. Ltd. 2,241,101 2,379,198 JPY 57,615 Mitsui Mining & Smelting Co. Ltd. 2,711,526 2,690,927 JPY 62,999 Mitsui O.S.K. Lines Ltd. 2,468,699 2,448,751 JPY 126,913 NIHON CHOUZAI Co. Ltd. 2,508,107 2,336,551 JPY 78,587 Nippon Yusen Kabushiki Kaisha 2,282,615 2,329,293 JPY 92,378 Nishimatsu Construction Co. Ltd. 2,458,787 2,409,761 JPY 256,880 Nishi-Nippon Financial Holding Inc. 2,456,361 2,088,893 JPY 89,830 NISHIO Rent All Co. Ltd. 2,473,238 2,394,283 JPY 64,306 Nisshin Oillio Group Ltd. (The) 2,409,195 2,408,300 JPY 92,467 Nitto Kogyo Corp. 2,389,249 2,331,071 JPY 353,665 Nomura Holdings Inc. 2,320,305 2,378,422 JPY 64,674 Noritake Co. Ltd. 2,677,188 2,389,362 JPY 821,137 North Pacific Bank Ltd. 2,492,154 2,208,882 JPY 203,329 Obayashi Corp. 2,439,680 2,233,005 JPY 139,136 Okinawa Electric Power Co. Inc. (The) 2,696,322 2,379,596 JPY 144,907 OKUWA Co. Ltd. 2,550,962 2,324,519 JPY 179,408 PACIFIC Industrial Co. Ltd. 2,483,766 2,377,642 JPY 233,470 Rengo Co. Ltd. 2,440,030 2,489,117 JPY 122,777 Seiren Co. Ltd. 2,255,443 2,364,941 JPY 195,270 SENKO Co. Ltd. 2,171,010 2,424,007 JPY 84,349 Shiga Bank Ltd. (The) 2,510,300 2,196,154 JPY 227,661 Shimizu Corp. 2,437,219 2,106,931 JPY 156,726 Shinsei Bank Ltd. 2,590,065 2,458,029 JPY 381,242 SKY Perfect JSAT Holdings Inc. 2,459,133 2,389,818 JPY 63,625 STARTS Corp. Inc. 2,025,606 2,250,113 JPY 102,423 Sumitomo Forestry Co. 2,605,355 2,722,348 JPY 156,982 T&D Holdings Inc. 2,290,916 2,357,441 JPY 95,122 Takamatsu Construction Group Co. Ltd. 2,662,174 2,400,351 JPY 223,426 Tohoku Electric Power Co. Inc. 2,674,997 2,343,436 JPY 81,314 Tokuyama Corp. 2,405,572 2,324,833 JPY 698,713 Tokyo Electric Power Co. Holdings Inc. 3,240,909 2,345,137

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

Annual Financial Statements - December 31, 2020 – 262 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Japan (cont’d) JPY 383,525 TOKYU Constructions Co. Ltd. 2,993,609 2,342,605 JPY 142,542 Toyobo Co. Ltd. 2,443,147 2,427,293 JPY 135,219 TPR Co. Ltd. 2,565,322 2,362,660 JPY 174,837 United Super Markets Holdings Inc. 2,424,400 2,437,878 JPY 73,647 Valor Holdings Co. Ltd. 2,132,549 2,401,886 JPY 297,440 Yamaguchi Financial Group Inc. 2,261,116 2,132,436 194,810,107 191,798,778 40.11 Netherlands EUR 47,965 ASR Nederland NV 2,378,258 2,456,128 EUR 25,370 EXOR NV 2,105,371 2,618,791 EUR 64,671 Koninklijke Ahold Delhaize NV 2,336,587 2,329,704 EUR 44,445 NN Group NV 2,306,726 2,461,553 9,126,942 9,866,176 2.06 Portugal EUR 11,858,882 Banco Comercial Portugues 1,849,903 2,277,433 EUR 470,480 NOS SGPS SA 2,489,647 2,096,016 4,339,550 4,373,449 0.91 Singapore NOK 275,974 BW LPG Ltd. 2,501,400 2,422,796 SGD 775,173 CapitaLand Ltd. 2,258,348 2,450,899 SGD 15,503,463 Golden Agri-Resources Ltd. 2,394,474 2,376,177 SGD 2,987,940 Japfa Ltd. 1,837,745 2,664,198 SGD 122,823 Jardine Cycle & Carriage Ltd. 2,365,517 2,314,619 SGD 1,621,744 Olam International Ltd. 2,657,398 2,391,810 SGD 585,523 Wilmar International Ltd. 2,360,289 2,624,520 SGD 2,240,955 Yanlord Land Group Ltd. 2,646,035 2,419,380 19,021,206 19,664,399 4.11

South Africa GBP 692,966 Investec PLC 2,077,908 2,260,330 0.47

Spain EUR 55,865 ACS Actividades de Construccion y Servicios SA 1,954,717 2,364,290 EUR 666,480 CaixaBank SA 2,184,791 2,182,752 EUR 52,994 Grupo Catalana Occidente SA 2,436,574 2,408,000 EUR 5,684,313 Liberbank SA 2,361,702 2,232,902 EUR 888,381 Mapfre SA 2,347,931 2,206,003 EUR 2,241,172 Unicaja Banco SA 2,451,973 2,497,885 13,737,688 13,891,832 2.90 Sweden SEK 201,499 AcadeMedia AB 2,120,917 2,656,949 SEK 268,091 Ambea AB 2,227,167 2,707,414 SEK 206,550 Betsson AB 2,106,366 2,361,479 SEK 162,159 Bilia AB 2,556,811 2,550,765 SEK 211,146 Bonava AB 2,477,744 2,577,799 SEK 172,618 Mekonomen AB 2,500,385 2,439,472 SEK 102,130 NCC AB, Series ‘B’ 2,297,297 2,376,490 SEK 258,999 Nobina AB 2,090,883 2,784,343 SEK 74,590 Skanska AB, Series ‘B’ 2,153,117 2,426,445 20,530,687 22,881,156 4.78 Switzerland CHF 6,564 Bell Food Group AG, Registered 2,286,588 2,256,310 CHF 7,245 Berner Kantonalbank, Registered 2,401,712 2,380,756 GBP 512,119 Ferrexpo PLC 1,413,133 2,520,375 CHF 4,065 Swiss Life Holding AG, Registered 2,433,703 2,416,134

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

Annual Financial Statements - December 31, 2020 – 263 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Switzerland (cont’d) CHF 127,259 UBS Group AG, Registered 2,153,844 2,287,161 CHF 19,037 Valiant Holding AG, Registered 2,390,312 2,373,320 13,079,292 14,234,056 2.98 U.K. GBP 1,453,619 Airtel Africa Ltd. 1,784,813 1,913,791 GBP 413,138 Aviva PLC 2,611,755 2,339,741 GBP 943,507 Barclays PLC 2,370,935 2,410,117 GBP 995,356 BT Group PLC 2,049,907 2,292,431 GBP 462,249 Direct Line Insurance Group PLC 2,296,570 2,567,963 GBP 408,480 Drax Group PLC 2,163,882 2,667,621 GBP 89,012 Imperial Brands PLC 2,298,506 2,380,238 GBP 617,576 J Sainsbury PLC 2,239,396 2,425,264 GBP 2,410,817 Just Group PLC 2,361,630 2,934,698 GBP 3,695,508 Lloyds Banking Group PLC 2,250,999 2,345,171 GBP 705,937 M&G PLC 2,071,259 2,433,568 GBP 287,506 Micro Focus International PLC 1,945,354 2,123,427 GBP 410,184 Royal Mail PLC 2,338,295 2,412,302 GBP 777,068 William Morrison Supermarkets PLC 2,548,618 2,400,005 31,331,919 33,646,337 7.04

U.S.A. GBP 1,267,566 Diversified Gas & Oil PLC 2,285,980 2,494,429 0.52

Total Equities 465,995,578 477,852,721 99.91 Adjustment for transaction costs (576,279) Total Investments 465,419,299 477,852,721 99.91 Total unrealized gain on forward foreign currency contract(s) 12,061 0.00 Total unrealized loss on forward foreign currency contract(s) (208,739) (0.04) Other Net Assets (Liabilities) 603,063 0.13 Net Assets Attributable to Holders of Redeemable Units 478,259,106 100.00

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

Annual Financial Statements - December 31, 2020 – 264 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Bank of Montreal A-1 January 19, 2021 CAD 89,302 SEK 585,000 0.15 (1,460) Bank of Montreal A-1 January 19, 2021 CAD 57,571 SGD 60,000 0.96 (264) Canadian Imperial Bank of Commerce A-1 January 19, 2021 AUD 100,000 CAD 96,924 1.03 1,394 Canadian Imperial Bank of Commerce A-1 January 19, 2021 CAD 1,546,078 AUD 1,605,000 0.96 (31,930) Canadian Imperial Bank of Commerce A-1 January 19, 2021 CAD 2,369,779 GBP 1,390,000 1.70 (51,038) Canadian Imperial Bank of Commerce A-1 January 19, 2021 HKD 760,000 CAD 124,668 6.10 204 Citibank N.A., New York A-1 January 19, 2021 CAD 9,561,047 EUR 6,160,000 1.55 (44,019) HSBC Bank, Toronto A-1 January 19, 2021 CAD 798,991 SGD 835,000 0.96 (5,867) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 1,769,359 HKD 10,735,000 0.16 5,545 Toronto-Dominion Bank (The) A-1+ January 19, 2021 AUD 465,000 CAD 452,288 1.03 4,892 Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 966,054 CHF 670,000 1.44 26 Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 11,204,892 JPY 911,785,000 0.01 (47,518) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 1,029,975 SEK 6,775,000 0.15 (21,155) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 233,002 SEK 1,510,000 0.15 (1,272) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 182,579 SGD 190,000 0.96 (562) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CHF 175,000 CAD 252,796 0.69 (475) Toronto-Dominion Bank (The) A-1+ January 19, 2021 EUR 490,000 CAD 766,621 0.64 (2,581) Toronto-Dominion Bank (The) A-1+ January 19, 2021 HKD 1,265,000 CAD 208,444 6.07 (598) (196,678)

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 265 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 12 (7) - 5 Derivative assets - Swaps and swaptions - - - - Total 12 (7) - 5 Derivative liabilities - Foreign currency forward contracts (209) 7 - (202) Derivative liabilities - Swaps and swaptions - - - - Total (209) 7 - (202) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 527 (11) - 516 Derivative assets - Swaps and swaptions - - - - Total 527 (11) - 516 Derivative liabilities - Foreign currency forward contracts (11) 11 - - Derivative liabilities - Swaps and swaptions - - - - Total (11) 11 - -

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

Annual Financial Statements - December 31, 2020 – 266 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 1,105 1,079 Soft dollar commissions† 67 164

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 2,533,952 1,883,952 16,459,099 3,209,099 Redeemable units issued for cash - 1,600,000 8,610,000 15,100,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (1,185,000) (950,000) (5,850,000) (1,850,000) Number of redeemable units at the end of year 1,348,952 2,533,952 19,219,099 16,459,099

Annual Financial Statements - December 31, 2020 – 267 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 25,072 2,468 Collateral (non-cash) 27,354 2,601

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

2020 2019 Gross securities lending revenue 187 239 Charges (80) (96) Securities lending revenue 107 143 Charges as a % of gross securities lending revenue 42.6 40.1

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

2020 Capital loss carried forward: 65,933 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 268 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Other Price Risk As at December 31, 2020 and 2019, the Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This The table below summarizes the Fund’s exposure to concentration risk. change is estimated based on the historical correlation between the return of the Fund’s securities as compared to the return of the benchmark(s), as at year end, with all other variables held constant. The as at December 31, 2019 historical correlation may not be representative of the future correlation, and accordingly the impact on Categories Net Assets (%) net assets attributable to holders of redeemable units could be different. Japan 38.90 U.K. 8.42 Impact on Net Assets Attributable to Holders of Redeemable Units Hong Kong 7.67 as at December 31, 2020 Italy 7.43 Benchmark ($) Germany 7.06 Morningstar® Developed Markets ex-North America Target Value Total Return IndexTM 47,747,238 France 6.61 Netherlands 4.98 Austria 3.52 as at December 31, 2019 Singapore 2.50 Benchmark ($) Norway 1.59 Morningstar® Developed Markets ex-North America Target Value Total Return IndexTM 48,734,634 Denmark 1.55 Israel 1.53 Spain 1.50 Currency Risk Sweden 1.04 The tables below summarize the Fund’s exposure to currency risk. Belgium 1.02 Switzerland 1.01 Common Units Australia 0.88 New Zealand 0.53 as at December 31, 2020~ Ireland 0.51 Financial Instruments Net Net Finland 0.49 Exposure Derivatives Exposure Assets Portugal 0.49 Currency (in $000’s) (in $000’s) (in $000’s) (%) Taiwan 0.47 Japanese Yen 11,495 (11,252) 243 0.8 Other Net Assets (Liabilities) 0.20 U.S. Dollar 152 - 152 0.5 Total unrealized gain on forward foreign currency contract(s) 0.10 Israeli Shekel 150 - 150 0.5 Total unrealized loss on forward foreign currency contract(s) (0.00) Norwegian Krone 145 - 145 0.5 Total 100.00 Danish Krone 139 - 139 0.5 British Pound 2,465 (2,421) 44 0.2 Swedish Krona 1,371 (1,376) (5) 0.0 Credit Risk Swiss Franc 702 (714) (12) 0.0 As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Singapore Dollar 1,033 (1,046) (13) 0.0 was insignificant. Hong Kong Dollar 1,388 (1,431) (43) (0.2) Australian Dollar 976 (1,023) (47) (0.2) Euro 8,633 (8,841) (208) (0.7) Total 28,649 (28,104) 545 1.9

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

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

Annual Financial Statements - December 31, 2020 – 269 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d) Currency Risk (cont’d)

Common Units (cont’d) Unhedged Common Units (cont’d) as at December 31, 2019~ as at December 31, 2019~ Financial Instruments Net Net Financial Instruments Net Net Exposure Derivatives Exposure Assets Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Currency (in $000’s) (in $000’s) (in $000’s) (%) Danish Krone 1,004 - 1,004 1.6 Japanese Yen 172,972 - 172,972 38.9 Norwegian Krone 1,030 - 1,030 1.6 Euro 149,607 - 149,607 33.7 Israeli Shekel 985 - 985 1.5 British Pound 37,550 - 37,550 8.5 Swedish Krona 673 - 673 1.0 Hong Kong Dollar 31,807 - 31,807 7.2 Swiss Franc 657 - 657 1.0 Singapore Dollar 11,082 - 11,082 2.5 U.S. Dollar 634 - 634 1.0 Danish Krone 6,913 - 6,913 1.6 Australian Dollar 568 - 568 0.9 Norwegian Krone 7,090 - 7,090 1.6 New Zealand Dollar 340 - 340 0.5 Israeli Shekel 6,778 - 6,778 1.5 British Pound 5,455 (5,387) 68 0.1 Swedish Krona 4,630 - 4,630 1.0 Hong Kong Dollar 4,621 (4,568) 53 0.1 Swiss Franc 4,524 - 4,524 1.0 Singapore Dollar 1,610 (1,563) 47 0.1 U.S. Dollar 4,367 - 4,367 1.0 Euro 21,735 (22,000) (265) (0.4) Australian Dollar 3,909 - 3,909 0.9 Japanese Yen 25,130 (26,245) (1,115) (1.7) New Zealand Dollar 2,338 - 2,338 0.5 Total 64,442 (59,763) 4,679 7.3 Total 443,567 - 443,567 99.9

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, ~Includes monetary and non-monetary instruments, if any. 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, or increased, respectively, by approximately $55,000 (December 31, 2019 - $468,000). In practice, actual 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all results may differ from this analysis and the difference may be material. other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $44,954,000 (December 31, 2019 - $44,357,000). In practice, actual results may differ from this analysis and the difference may Unhedged Common Units be material. as at December 31, 2020~ Financial Instruments Net Net Interest Rate Risk Exposure Derivatives Exposure Assets As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as Currency (in $000’s) (in $000’s) (in $000’s) (%) substantially all of its assets were invested in equities and derivatives. Japanese Yen 180,365 - 180,365 40.1 Euro 135,456 - 135,456 30.1 British Pound 38,675 - 38,675 8.6 Fair Value Hierarchy Hong Kong Dollar 21,775 - 21,775 4.9 Swedish Krona 21,513 - 21,513 4.8 Singapore Dollar 16,212 - 16,212 3.6 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Australian Dollar 15,313 - 15,313 3.4 derivatives carried at fair value. Swiss Franc 11,015 - 11,015 2.5 Danish Krone 2,186 - 2,186 0.5 Long Positions at fair value as at December 31, 2020 Israeli Shekel 2,353 - 2,353 0.5 Level 1 Level 2 Level 3 Total Norwegian Krone 2,280 - 2,280 0.5 (in $000’s) (in $000’s) (in $000’s) (in $000’s) U.S. Dollar 2,393 - 2,393 0.5 Equities 477,853 - - 477,853 New Zealand Dollar 2 - 2 0.0 Derivatives, net - (197) - (197) Total 449,538 - 449,538 100.0 Total 477,853 (197) - 477,656

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

Annual Financial Statements - December 31, 2020 – 270 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 507,090 - - 507,090 Derivatives, net - 516 - 516 Total 507,090 516 - 507,606

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

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

Annual Financial Statements - December 31, 2020 – 271 – CI First Asset Morningstar National Bank Québec Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 71,090 72,366 22.40 22.45 3,173,791 3,223,791 Current assets Investments 70,699 72,131 Investments pledged as collateral - - Cash 231 109 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 195 163 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 71,125 72,403 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 30 31 Accounts payable and accrued liabilities 5 6 35 37 Net assets attributable to holders of redeemable units 71,090 72,366

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

Annual Financial Statements - December 31, 2020 – 272 – CIG - 580530387 CI First Asset Morningstar National Bank Québec Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 460 14,994 0.14 4.52 3,289,365 3,313,791 Net gain (loss) on investments and derivatives Dividends 1,336 1,376 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (651) 3,291 Change in unrealized appreciation (depreciation) in value of investments and derivatives 111 10,675 Total net gain (loss) on investments and derivatives 796 15,342 Other income Foreign exchange gain (loss) on cash - (1) Securities lending revenue (Note 6) 66 61 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 66 60 Total income 862 15,402 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 323 348 Audit fees - - Legal fees - - Independent review committee fees - 1 Commissions and other portfolio transaction costs 32 10 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 47 49 Other expenses - - Total expenses 402 408 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 460 14,994

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

Annual Financial Statements - December 31, 2020 – 273 – CI First Asset Morningstar National Bank Québec Index ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 72,366 61,718 Increase (decrease) in net assets attributable to holders of redeemable units 460 14,994 Distributions to holders of redeemable units From net investment income (991) (915) From net realized gains (1) (2,065) Return of capital - (20) Total distributions to holders of redeemable units (992) (3,000)

Redeemable unit transactions Proceeds from redeemable units issued 3,090 971 Reinvestment of distributions to holders of redeemable units 57 1,970 Redemption of redeemable units (3,891) (4,287) Net increase (decrease) from redeemable unit transactions (744) (1,346) Net increase (decrease) in net assets attributable to holders of redeemable units (1,276) 10,648 Net assets attributable to holders of redeemable units at the end of year 71,090 72,366

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

Annual Financial Statements - December 31, 2020 – 274 – CI First Asset Morningstar National Bank Québec Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 460 14,994 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 651 (3,291) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 32 5 Change in unrealized (appreciation) depreciation in value of investments and derivatives (111) (10,675) Proceeds from sale and maturity of investments and derivatives 14,031 5,946 Purchase of investments and derivatives (13,964) (5,918) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (31) 4 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (1) 4 Amortization interest earned - - Change in other accounts receivable and payable (1) 1 Net cash from (used in) operating activities 1,066 1,070

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (935) (1,030) Proceeds from issuance of redeemable units 13 4 Amounts paid on redemption of redeemable units (22) (22) Net cash from (used in) financing activities (944) (1,048)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 122 22 Cash (bank overdraft), beginning of year 109 87 Cash (bank overdraft), end of year 231 109

Supplementary Information: Dividends received, net of withholding tax* 1,305 1,380 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 275 – CI First Asset Morningstar National Bank Québec Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services 27,706 Aimia Inc. 307,501 114,426 56,409 BCE Inc. 2,882,995 3,070,341 8,732 Cogeco Communications Inc. 591,164 854,514 3,362 Cogeco Inc. 209,102 275,617 61,080 Quebecor Inc., Class ‘B’ 1,247,875 2,000,980 16,545 Stingray Group Inc. 99,121 109,032 5,337,758 6,424,910 9.04 Consumer Discretionary 16,404 BRP Inc. 577,686 1,379,412 59,716 Dollarama Inc. 1,544,210 3,098,067 10,537 Dorel Industries Inc., Class ‘B’ 151,206 157,317 78,877 Gildan Activewear Inc. 2,037,671 2,807,232 19,317 Goodfood Market Corp. 72,102 234,122 7,741 MTY Food Group Inc. 285,274 448,591 3,751 New Look Vision Group Inc., Class ‘A’ 112,382 131,285 14,781 Transat A.T. Inc. 132,837 81,148 29,498 Transcontinental Inc., Class ‘A’ 476,919 605,004 15,312 Uni-Select Inc. 231,459 124,180 5,621,746 9,066,358 12.75 Consumer Staples 68,935 Alimentation Couche-Tard Inc., Class ‘B’ 1,287,268 2,990,401 1,276 Lassonde Industries Inc., Class ‘A’ 221,613 220,786 48,934 Metro Inc. 1,662,232 2,779,451 43,657 Neptune Wellness Solutions Inc. 157,247 86,441 89,530 Saputo Inc. 2,968,767 3,189,954 6,297,127 9,267,033 13.04 Financials 24,161 Fiera Capital Corp. 265,823 258,039 43,225 iA Financial Corp. Inc. 1,867,097 2,385,156 17,472 Laurentian Bank of Canada 779,155 545,126 46,517 National Bank of Canada 2,229,669 3,332,478 116,943 Power Corp. of Canada 3,622,345 3,418,244 8,764,089 9,939,043 13.98 Health Care 125,166 Bausch Health Cos. Inc. 4,442,952 3,305,634 20,785 BELLUS Health Inc. 150,864 79,607 43,965 Knight Therapeutics Inc. 353,571 235,213 30,633 Theratechnologies Inc. 130,995 97,719 5,078,382 3,718,173 5.23 Industrials 109,519 Air Canada 1,513,793 2,493,748 107,676 CAE Inc. 1,865,065 3,797,733 21,768 Canadian National Railway Co. 1,527,021 3,046,214 5,217 GDI Integrated Facility Services Inc. 118,816 232,000 11,570 Heroux-Devtek Inc. 124,649 163,137 21,074 Richelieu Hardware Ltd. 405,096 696,285 14,241 Savaria Corp. 177,971 205,925 71,177 SNC-Lavalin Group Inc. 2,935,019 1,546,675 35,889 TFI International Inc. 975,655 2,351,806 35,918 WSP Global Inc. 1,893,420 4,331,352 11,536,505 18,864,875 26.54

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

Annual Financial Statements - December 31, 2020 – 276 – CI First Asset Morningstar National Bank Québec Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Information Technology 34,686 CGI Inc. 1,705,566 3,502,939 25,329 Lightspeed POS Inc. 625,245 2,275,557 4,439 TECSYS Inc. 91,018 221,151 2,421,829 5,999,647 8.44 Materials 31,746 5N Plus Inc. 68,471 93,651 30,983 Cascades Inc. 314,837 450,803 59,868 Osisko Gold Royalties Ltd. 800,748 965,671 27,295 Stella-Jones Inc. 916,183 1,263,212 40,151 Turquoise Hill Resources Ltd. 432,458 635,590 2,532,697 3,408,927 4.79 Real Estate 24,552 BTB REIT 82,211 86,669 67,531 Cominar REIT 969,722 547,676 1,051,933 634,345 0.89 Utilities 41,008 Boralex Inc., Class ‘A’ 850,067 1,937,218 52,560 Innergex Renewable Energy Inc. 749,096 1,438,567 1,599,163 3,375,785 4.75 Total Equities 50,241,229 70,699,096 99.45 Adjustment for transaction costs (43,398) Total Investments 50,197,831 70,699,096 99.45 Other Net Assets (Liabilities) 391,256 0.55 Net Assets Attributable to Holders of Redeemable Units 71,090,352 100.00

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

Annual Financial Statements - December 31, 2020 – 277 – CI First Asset Morningstar National Bank Québec Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 27 5 Soft dollar commissions† 2 -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 3,223,791 3,373,791 Redeemable units issued for cash 150,000 50,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (200,000) (200,000) Number of redeemable units at the end of year 3,173,791 3,223,791

Annual Financial Statements - December 31, 2020 – 278 – CI First Asset Morningstar National Bank Québec Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.500

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

2020 2019 Loaned 8,457 6,696 Collateral (non-cash) 8,889 7,068

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

2020 2019 Gross securities lending revenue 110 102 Charges (44) (41) Securities lending revenue 66 61 Charges as a % of gross securities lending revenue 40.2 40.0

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

2020 Capital loss carried forward: 653 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 279 – CI First Asset Morningstar National Bank Québec Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Interest Rate Risk As at December 31, 2020 and 2019, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Fair Value Hierarchy The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Categories Net Assets (%) derivatives carried at fair value. Industrials 27.11 Financials 19.35 Long Positions at fair value as at December 31, 2020 Consumer Staples 14.02 Level 1 Level 2 Level 3 Total Consumer Discretionary 11.31 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Communication Services 9.27 Equities 70,699 - - 70,699 Health Care 7.00 Total 70,699 - - 70,699 Information Technology 4.94 Materials 3.28 Utilities 2.06 Long Positions at fair value as at December 31, 2019 Real Estate 1.34 Level 1 Level 2 Level 3 Total Other Net Assets (Liabilities) 0.32 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Total 100.00 Equities 72,131 - - 72,131 Total 72,131 - - 72,131

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

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2020 Benchmark ($) Morningstar® National Bank Québec Total Return IndexTM 7,069,008

as at December 31, 2019 Benchmark ($) Morningstar® National Bank Québec Total Return IndexTM 7,094,295

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

Annual Financial Statements - December 31, 2020 – 280 – CI First Asset Morningstar US Dividend Target 50 Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 23,264 37,366 15.78 15.74 1,474,356 2,374,356 Current assets Unhedged Investments 31,509 47,736 Common Units 8,440 11,053 17.81 17.72 473,804 623,804 Investments pledged as collateral - - Cash 83 180 Unrealized gain on futures and foreign currency forward contracts 72 439 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 69 98 Interest receivable - - Receivable for investments sold 14 - Receivable for unit subscriptions - - 31,747 48,453 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 7 - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 14 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 17 25 Accounts payable and accrued liabilities 5 9 43 34 Net assets attributable to holders of redeemable units 31,704 48,419

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

Annual Financial Statements - December 31, 2020 – 281 – CIG - 580530397 CI First Asset Morningstar US Dividend Target 50 Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (201) 8,341 (0.11) 2.99 1,879,001 2,789,151 Net gain (loss) on investments and derivatives Unhedged Dividends 1,526 2,220 Common Units 4 2,344 0.01 2.82 532,137 829,831 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 958 4,652 Change in unrealized appreciation (depreciation) in value of investments and derivatives (2,269) 4,370 Total net gain (loss) on investments and derivatives 215 11,242 Other income Foreign exchange gain (loss) on cash 25 (10) Securities lending revenue (Note 6) 2 9 Fees rebate 1 - Miscellaneous foreign income - 109 Other income - - Total other income 28 108 Total income 243 11,350 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 211 328 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 20 21 Securities borrowing fees (Note 2) - - Interest expense 1 1 Withholding taxes 184 277 Harmonized sales tax 24 38 Other expenses - - Total expenses 440 665 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (197) 10,685

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

Annual Financial Statements - December 31, 2020 – 282 – CI First Asset Morningstar US Dividend Target 50 Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 37,366 41,846 11,053 15,071 48,419 56,917 Increase (decrease) in net assets attributable to holders of redeemable units (201) 8,341 4 2,344 (197) 10,685 Distributions to holders of redeemable units From net investment income (837) (1,285) (276) (426) (1,113) (1,711) From net realized gains ------Return of capital - - - (3) - (3) Total distributions to holders of redeemable units (837) (1,285) (276) (429) (1,113) (1,714)

Redeemable unit transactions Proceeds from redeemable units issued - - - 1,634 - 1,634 Reinvestment of distributions to holders of redeemable units 58 152 20 46 78 198 Redemption of redeemable units (13,122) (11,688) (2,361) (7,613) (15,483) (19,301) Net increase (decrease) from redeemable unit transactions (13,064) (11,536) (2,341) (5,933) (15,405) (17,469) Net increase (decrease) in net assets attributable to holders of redeemable units (14,102) (4,480) (2,613) (4,018) (16,715) (8,498) Net assets attributable to holders of redeemable units at the end of year 23,264 37,366 8,440 11,053 31,704 48,419

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

Annual Financial Statements - December 31, 2020 – 283 – CI First Asset Morningstar US Dividend Target 50 Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (197) 10,685 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (958) (4,652) Unrealized foreign exchange (gain) loss on cash (1) 3 Commissions and other portfolio transaction costs 20 7 Change in unrealized (appreciation) depreciation in value of investments and derivatives 2,269 (4,370) Proceeds from sale and maturity of investments and derivatives 14,301 11,427 Purchase of investments and derivatives (13,532) (11,318) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 28 36 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (8) (4) Amortization interest earned - - Change in other accounts receivable and payable (4) 1 Net cash from (used in) operating activities 1,918 1,815

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,035) (1,516) Proceeds from issuance of redeemable units - 7 Amounts paid on redemption of redeemable units (981) (190) Net cash from (used in) financing activities (2,016) (1,699)

Unrealized foreign exchange gain (loss) on cash 1 (3) Net increase (decrease) in cash (98) 116 Cash (bank overdraft), beginning of year 180 67 Cash (bank overdraft), end of year 83 180

Supplementary Information: Dividends received, net of withholding tax* 1,370 1,979 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 284 – CI First Asset Morningstar US Dividend Target 50 Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services USD 8,152 Verizon Communications Inc. 530,408 610,157 530,408 610,157 1.92 Consumer Discretionary USD 4,828 Best Buy Co. Inc. 392,691 613,796 USD 31,062 H&R Block Inc. 882,007 627,628 USD 5,172 Polaris Inc. 615,201 627,812 1,889,899 1,869,236 5.90 Consumer Staples USD 11,398 Altria Group Inc. 706,230 595,363 USD 10,468 Campbell Soup Co. 628,518 644,807 USD 9,179 Coca-Cola Co. (The) 522,412 641,301 USD 5,807 Colgate-Palmolive Co. 501,962 632,613 USD 8,238 General Mills Inc. 570,878 617,118 USD 7,896 Kellogg Co. 648,567 626,003 USD 5,794 Philip Morris International Inc. 639,917 611,119 4,218,484 4,368,324 13.78 Energy USD 9,388 EOG Resources Inc. 505,985 596,461 USD 11,581 Exxon Mobil Corp. 907,023 608,168 USD 12,181 ONEOK Inc. 495,731 595,604 USD 8,670 Valero Energy Corp. 667,651 624,848 USD 22,730 Williams Cos. Inc. (The) 598,534 580,608 3,174,924 3,005,689 9.48 Financials USD 31,956 AGNC Investment Corp. 760,080 635,106 USD 59,334 Annaly Capital Management Inc. 745,358 638,748 USD 7,747 Blackstone Group Inc. (The), Class ‘A’ 360,191 639,654 USD 17,066 Federated Hermes Inc. 561,101 628,129 USD 19,410 Waddell & Reed Financial, Class ‘A’ 619,801 629,831 3,046,531 3,171,468 10.00 Health Care USD 4,693 AbbVie Inc. 541,898 640,637 USD 8,153 Bristol-Myers Squibb Co. 592,633 644,301 USD 3,097 Eli Lilly and Co. 393,367 666,171 USD 8,171 Gilead Sciences Inc. 774,580 606,478 USD 3,280 Johnson & Johnson 499,689 657,647 USD 6,087 Merck & Co. Inc. 498,557 634,346 USD 12,470 Pfizer Inc. 540,908 584,792 3,841,632 4,434,372 13.99 Industrials USD 2,825 3M Co. 594,717 629,078 USD 6,081 Emerson Electric Co. 440,166 622,642 USD 9,934 Fastenal Co. 565,550 617,988 USD 1,368 Lockheed Martin Corp. 443,334 618,671 USD 89,709 Pitney Bowes Inc. 798,283 704,022 USD 7,751 Robert Half International Inc. 540,182 616,976 3,382,232 3,809,377 12.02 Information Technology USD 3,435 Analog Devices Inc. 317,736 646,495 USD 4,015 Apple Inc. 205,279 678,724 USD 2,824 Automatic Data Processing Inc. 566,061 633,928 USD 9,688 Intel Corp. 507,106 614,904 USD 995 Lam Research Corp. 188,039 598,664 USD 3,456 Microchip Technology Inc. 291,467 608,091 USD 2,283 Microsoft Corp. 204,900 646,918

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

Annual Financial Statements - December 31, 2020 – 285 – CI First Asset Morningstar US Dividend Target 50 Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Information Technology (cont’d) USD 7,929 NetApp Inc. 476,945 669,126 USD 5,354 Paychex Inc. 373,619 635,580 USD 3,054 Texas Instruments Inc. 372,586 638,596 3,503,738 6,371,026 20.09

Materials USD 5,614 LyondellBasell Industries NV, Class ‘A’ 528,697 655,574 2.07

Real Estate USD 13,042 Omega Healthcare Investors Inc. 531,181 603,475 USD 5,599 Simon Property Group Inc. 831,868 608,313 1,363,049 1,211,788 3.82 Utilities USD 14,984 NRG Energy Inc. 760,236 716,815 USD 8,664 Public Services Enterprise Group Inc. 489,627 643,512 USD 8,195 Southern Co. (The) 495,413 641,356 1,745,276 2,001,683 6.31 Total Equities 27,224,870 31,508,694 99.38 Adjustment for transaction costs (9,209) Total Investments 27,215,661 31,508,694 99.38 Total unrealized gain on forward foreign currency contract(s) 71,712 0.23 Total unrealized loss on forward foreign currency contract(s) (7,341) (0.02) Other Net Assets (Liabilities) 130,579 0.41 Net Assets Attributable to Holders of Redeemable Units 31,703,644 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) HSBC Bank, Toronto A-1 January 19, 2021 USD 500,000 CAD 634,576 0.79 2,390 Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 24,465,083 USD 19,150,000 1.28 69,322 Royal Bank of Canada A-1+ January 19, 2021 USD 740,000 CAD 950,049 0.78 (7,341) 64,371

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 286 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 71 - - 71 Derivative assets - Swaps and swaptions - - - - Total 71 - - 71 Derivative liabilities - Foreign currency forward contracts (7) - - (7) Derivative liabilities - Swaps and swaptions - - - - Total (7) - - (7) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 439 - - 439 Derivative assets - Swaps and swaptions - - - - Total 439 - - 439 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 287 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 11 7 Soft dollar commissions† 1 -

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 2,374,356 3,174,356 623,804 973,804 Redeemable units issued for cash - - - 100,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (900,000) (800,000) (150,000) (450,000) Number of redeemable units at the end of year 1,474,356 2,374,356 473,804 623,804

Annual Financial Statements - December 31, 2020 – 288 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 1,638 2,948 Collateral (non-cash) 1,722 3,146

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

2020 2019 Gross securities lending revenue 3 14 Charges (1) (5) Securities lending revenue 2 9 Charges as a % of gross securities lending revenue 41.7 40.1

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

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

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

Annual Financial Statements - December 31, 2020 – 289 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

Credit Risk As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Unhedged Common Units was insignificant. as at December 31, 2020~ Financial Instruments Net Net Other Price Risk Exposure Derivatives Exposure Assets As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore Currency (in $000’s) (in $000’s) (in $000’s) (%) was sensitive to changes in general economic conditions in the United States. U.S. Dollar 8,408 - 8,408 99.6 Total 8,408 - 8,408 99.6 The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This change is estimated based on the historical correlation between the return of the Fund’s securities as as at December 31, 2019~ compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on Financial Instruments Net Net net assets attributable to holders of redeemable units could be different. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Impact on Net Assets Attributable to Holders of Redeemable Units U.S. Dollar 10,936 - 10,936 98.9 as at December 31, 2020 Total 10,936 - 10,936 98.9 Benchmark ($) ~ Morningstar® US Target Dividend Total Return IndexTM 3,120,122 Includes monetary and non-monetary instruments, if any.

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other as at December 31, 2019 variables held constant, net assets attributable to holders of redeemable Unhedged Common Units Benchmark ($) would have decreased or increased, respectively, by approximately $841,000 (December 31, 2019 - Morningstar® US Target Dividend Total Return IndexTM 4,048,041 $1,094,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Annual Financial Statements - December 31, 2020 – 290 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

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

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 31,509 - - 31,509 Derivatives, net - 64 - 64 Total 31,509 64 - 31,573

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 47,736 - - 47,736 Derivatives, net - 439 - 439 Total 47,736 439 - 48,175

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

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

Annual Financial Statements - December 31, 2020 – 291 – CI First Asset Morningstar US Momentum Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 10,326 14,499 16.19 14.68 637,816 987,816 Current assets Unhedged Investments 31,849 34,928 Common Units 21,865 20,837 21.29 19.35 1,026,902 1,076,902 Investments pledged as collateral - - Cash 330 89 Unrealized gain on futures and foreign currency forward contracts 29 352 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 8 6 Cash collateral on deposit for short sale - - Dividends receivable 6 5 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 32,222 35,380 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 13 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 16 18 Accounts payable and accrued liabilities 15 13 31 44 Net assets attributable to holders of redeemable units 32,191 35,336

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

Annual Financial Statements - December 31, 2020 – 292 – CIG - 580530437 CI First Asset Morningstar US Momentum Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 560 4,864 0.72 3.62 779,346 1,343,569 Net gain (loss) on investments and derivatives Unhedged Dividends 328 320 Common Units 1,288 4,041 1.23 3.47 1,044,115 1,163,614 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 994 224 Change in unrealized appreciation (depreciation) in value of investments and derivatives 744 8,654 Total net gain (loss) on investments and derivatives 2,066 9,198 Other income Foreign exchange gain (loss) on cash (3) (4) Securities lending revenue (Note 6) 3 7 Fees rebate 50 27 Miscellaneous foreign income - 2 Other income - - Total other income 50 32 Total income 2,116 9,230 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 187 234 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 20 23 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 45 44 Harmonized sales tax 16 24 Other expenses - - Total expenses 268 325 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 1,848 8,905

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

Annual Financial Statements - December 31, 2020 – 293 – CI First Asset Morningstar US Momentum Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 14,499 21,119 20,837 18,569 35,336 39,688 Increase (decrease) in net assets attributable to holders of redeemable units 560 4,864 1,288 4,041 1,848 8,905 Distributions to holders of redeemable units From net investment income (21) (17) (96) (50) (117) (67) From net realized gains - - (4) - (4) - Return of capital - - - (4) - (4) Total distributions to holders of redeemable units (21) (17) (100) (54) (121) (71)

Redeemable unit transactions Proceeds from redeemable units issued 712 - 6,125 7,247 6,837 7,247 Reinvestment of distributions to holders of redeemable units 21 17 45 24 66 41 Redemption of redeemable units (5,445) (11,484) (6,330) (8,990) (11,775) (20,474) Net increase (decrease) from redeemable unit transactions (4,712) (11,467) (160) (1,719) (4,872) (13,186) Net increase (decrease) in net assets attributable to holders of redeemable units (4,173) (6,620) 1,028 2,268 (3,145) (4,352) Net assets attributable to holders of redeemable units at the end of year 10,326 14,499 21,865 20,837 32,191 35,336

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

Annual Financial Statements - December 31, 2020 – 294 – CI First Asset Morningstar US Momentum Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 1,848 8,905 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (994) (224) Unrealized foreign exchange (gain) loss on cash - 1 Commissions and other portfolio transaction costs 20 12 Change in unrealized (appreciation) depreciation in value of investments and derivatives (744) (8,654) Proceeds from sale and maturity of investments and derivatives 25,955 31,272 Purchase of investments and derivatives (25,812) (31,374) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (1) 29 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (2) (6) Amortization interest earned - - Change in other accounts receivable and payable - (4) Net cash from (used in) operating activities 270 (43)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (55) (30) Proceeds from issuance of redeemable units 98 46 Amounts paid on redemption of redeemable units (72) (12) Net cash from (used in) financing activities (29) 4

Unrealized foreign exchange gain (loss) on cash - (1) Net increase (decrease) in cash 241 (39) Cash (bank overdraft), beginning of year 89 129 Cash (bank overdraft), end of year 330 89

Supplementary Information: Dividends received, net of withholding tax* 282 305 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 295 – CI First Asset Morningstar US Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services USD 235 Cable One Inc. 504,060 666,957 USD 5,071 NetEase Inc., ADR 461,042 618,718 USD 7,094 Pinterest Inc., Class ‘A’ 643,179 595,588 USD 3,657 T-Mobile US Inc. 630,158 628,269 2,238,439 2,509,532 7.80 Consumer Discretionary USD 4,810 Choice Hotels International Inc. 525,957 654,035 USD 1,918 Deckers Outdoor Corp. 416,918 700,756 USD 1,217 Domino’s Pizza Inc. 441,295 594,539 USD 11,865 L Brands Inc. 463,898 562,164 USD 3,610 Murphy USA Inc. 582,466 601,889 USD 1,395 Pool Corp. 335,330 662,018 USD 13,969 Rent-A-Center Inc. 478,416 681,428 USD 3,676 Wingstop Inc. 617,814 620,761 3,862,094 5,077,590 15.77 Consumer Staples USD 11,292 BJ’s Wholesale Club Holdings Inc. 643,260 536,310 USD 505 Boston Beer Co. Inc. (The), Class ‘A’ 586,736 639,696 USD 5,945 Brown-Forman Corp., Class ‘B’ 544,033 601,597 USD 2,335 Clorox Co. (The) 655,718 600,670 USD 9,847 Herbalife Nutrition Ltd. 599,471 602,791 USD 3,209 Hershey Co. (The) 523,081 622,766 USD 23,671 Sprouts Farmers Markets Inc. 764,459 606,153 4,316,758 4,209,983 13.07 Financials USD 10,583 Artisan Partners Asset Management Inc. 427,065 678,721 USD 6,848 Cohen & Steers Inc. 512,596 648,219 USD 5,265 LPL Financial Holdings Inc. 495,840 699,067 USD 1,737 Moody’s Corp. 449,245 642,283 USD 10,631 Stewart Information Services Corp. 594,468 654,983 USD 21,012 Virtu Financial Inc. 676,529 673,783 3,155,743 3,997,056 12.42 Health Care USD 6,874 Hologic Inc. 615,986 637,807 USD 1,021 IDEXX Laboratories Inc. 327,105 650,208 USD 24,960 Meridian Bioscience Inc. 538,720 594,324 USD 413 Mettler-Toledo International Inc. 381,832 599,656 USD 2,288 Molina Healthcare Inc. 460,041 619,943 USD 3,624 Providence Service Corp. 637,970 640,051 USD 15,013 Tenet Healthcare Corp. 591,585 763,724 3,553,239 4,505,713 14.00 Industrials USD 12,506 ArcBest Corp. 556,259 679,846 USD 13,261 Builders FirstSource Inc. 536,359 689,465 USD 7,836 Casella Waste Systems Inc., Class ‘A’ 361,847 618,451 USD 2,126 Generac Holdings Inc. 225,613 615,945 USD 1,288 Lockheed Martin Corp. 584,672 582,491 USD 27,023 Resideo Technologies Inc. 648,036 731,924 USD 2,896 United Parcel Service Inc., Class ‘B’ 620,279 621,312 3,533,065 4,539,434 14.10 Information Technology USD 3,618 Aspen Technology Inc. 506,619 600,365 USD 5,439 Booz Allen Hamilton Holding Corp. 449,335 604,095 USD 52,754 Diebold Nixdorf Inc. 576,896 716,444 USD 12,968 EVERTEC Inc. 516,192 649,615

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

Annual Financial Statements - December 31, 2020 – 296 – CI First Asset Morningstar US Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Information Technology (cont’d) USD 982 Fair Issac Corp. 435,616 639,346 USD 906 NVIDIA Corp. 366,183 602,746 USD 2,420 Square Inc., Class ‘A’ 514,434 671,003 USD 2,414 VeriSign Inc. 706,291 665,525 4,071,566 5,149,139 16.00 Materials USD 13,965 Louisiana Pacific Corp. 598,212 661,307 USD 654 Sherwin-Williams Co. (The) 404,880 612,324 1,003,092 1,273,631 3.96

Real Estate USD 1,634 SBA Communications Corp. 474,433 587,315 1.82

Total Equities 26,208,429 31,849,393 98.94 Adjustment for transaction costs (2,714) Total Investments 26,205,715 31,849,393 98.94 Total unrealized gain on forward foreign currency contract(s) 29,243 0.09 Other Net Assets (Liabilities) 312,349 0.97 Net Assets Attributable to Holders of Redeemable Units 32,190,985 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 10,054,319 USD 7,870,000 1.28 28,489 Royal Bank of Canada A-1+ January 19, 2021 CAD 255,540 USD 200,000 1.28 754 29,243

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 297 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 29 - - 29 Derivative assets - Swaps and swaptions - - - - Total 29 - - 29 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 352 (13) - 339 Derivative assets - Swaps and swaptions - - - - Total 352 (13) - 339 Derivative liabilities - Foreign currency forward contracts (13) 13 - - Derivative liabilities - Swaps and swaptions - - - - Total (13) 13 - -

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

Annual Financial Statements - December 31, 2020 – 298 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 7 12 Soft dollar commissions† - -

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 987,816 1,837,816 1,076,902 1,176,902 Redeemable units issued for cash 50,000 - 300,000 400,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (400,000) (850,000) (350,000) (500,000) Number of redeemable units at the end of year 637,816 987,816 1,026,902 1,076,902

Annual Financial Statements - December 31, 2020 – 299 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 3,385 1,395 Collateral (non-cash) 3,560 1,475

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

2020 2019 Gross securities lending revenue 5 12 Charges (2) (5) Securities lending revenue 3 7 Charges as a % of gross securities lending revenue 44.0 42.8

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

2020 Capital loss carried forward: 67 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 300 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

Credit Risk As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Unhedged Common Units was insignificant. as at December 31, 2020~ Financial Instruments Net Net Other Price Risk Exposure Derivatives Exposure Assets As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore Currency (in $000’s) (in $000’s) (in $000’s) (%) was sensitive to changes in general economic conditions in the United States. U.S. Dollar 21,646 - 21,646 99.0 Total 21,646 - 21,646 99.0 The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This change is estimated based on the historical correlation between the return of the Fund’s securities as as at December 31, 2019~ compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on Financial Instruments Net Net net assets attributable to holders of redeemable units could be different. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Impact on Net Assets Attributable to Holders of Redeemable Units U.S. Dollar 20,603 - 20,603 98.9 as at December 31, 2020 Total 20,603 - 20,603 98.9 Benchmark ($) ~ Morningstar® U.S. Target Momentum Total Return IndexTM 3,160,632 Includes monetary and non-monetary instruments, if any.

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other as at December 31, 2019 variables held constant, net assets attributable to holders of redeemable Unhedged Common Units Benchmark ($) would have decreased or increased, respectively, by approximately $2,165,000 (December 31, 2019 - Morningstar® U.S. Target Momentum Total Return IndexTM 3,271,687 $2,060,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Annual Financial Statements - December 31, 2020 – 301 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

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

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 31,231 618 - 31,849 Derivatives, net - 29 - 29 Total 31,231 647 - 31,878

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 34,228 700 - 34,928 Derivatives, net - 339 - 339 Total 34,228 1,039 - 35,267

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

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

Annual Financial Statements - December 31, 2020 – 302 – CI First Asset Morningstar US Value Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 17,940 15,513 9.17 11.03 1,956,368 1,406,368 Current assets Unhedged Investments 26,480 33,070 Common Units 8,992 18,028 12.17 14.55 739,009 1,239,009 Investments pledged as collateral - - Cash 411 50 Unrealized gain on futures and foreign currency forward contracts 49 366 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 14 94 Interest receivable - - Receivable for investments sold 9 - Receivable for unit subscriptions - - 26,963 33,580 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 9 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 9 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 14 17 Accounts payable and accrued liabilities 8 13 31 39 Net assets attributable to holders of redeemable units 26,932 33,541

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

Annual Financial Statements - December 31, 2020 – 303 – CIG - 580530427 CI First Asset Morningstar US Value Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (2,630) 1,736 (1.88) 0.86 1,401,040 2,029,793 Net gain (loss) on investments and derivatives Unhedged Dividends 653 1,182 Common Units (3,034) 483 (3.17) 0.27 956,632 1,797,091 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (5,759) (11,672) Change in unrealized appreciation (depreciation) in value of investments and derivatives (331) 13,266 Total net gain (loss) on investments and derivatives (5,437) 2,776 Other income Foreign exchange gain (loss) on cash 9 (9) Securities lending revenue (Note 6) 34 25 Fees rebate - 4 Miscellaneous foreign income - - Other income - - Total other income 43 20 Total income (5,394) 2,796 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 135 293 Audit fees - - Legal fees - - Independent review committee fees - 1 Commissions and other portfolio transaction costs 40 89 Securities borrowing fees (Note 2) - - Interest expense - 1 Withholding taxes 79 160 Harmonized sales tax 16 33 Other expenses - - Total expenses 270 577 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (5,664) 2,219

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

Annual Financial Statements - December 31, 2020 – 304 – CI First Asset Morningstar US Value Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 15,513 29,011 18,028 35,214 33,541 64,225 Increase (decrease) in net assets attributable to holders of redeemable units (2,630) 1,736 (3,034) 483 (5,664) 2,219 Distributions to holders of redeemable units From net investment income (271) (350) (195) (418) (466) (768) From net realized gains - - (12) - (12) - Return of capital - - - (2) - (2) Total distributions to holders of redeemable units (271) (350) (207) (420) (478) (770)

Redeemable unit transactions Proceeds from redeemable units issued 22,073 - 1,980 2,131 24,053 2,131 Reinvestment of distributions to holders of redeemable units 78 58 38 66 116 124 Redemption of redeemable units (16,823) (14,942) (7,813) (19,446) (24,636) (34,388) Net increase (decrease) from redeemable unit transactions 5,328 (14,884) (5,795) (17,249) (467) (32,133) Net increase (decrease) in net assets attributable to holders of redeemable units 2,427 (13,498) (9,036) (17,186) (6,609) (30,684) Net assets attributable to holders of redeemable units at the end of year 17,940 15,513 8,992 18,028 26,932 33,541

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

Annual Financial Statements - December 31, 2020 – 305 – CI First Asset Morningstar US Value Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (5,664) 2,219 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 5,759 11,672 Unrealized foreign exchange (gain) loss on cash (2) 3 Commissions and other portfolio transaction costs 40 68 Change in unrealized (appreciation) depreciation in value of investments and derivatives 331 (13,266) Proceeds from sale and maturity of investments and derivatives 37,628 43,277 Purchase of investments and derivatives (37,519) (43,288) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 81 (9) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (4) (22) Amortization interest earned - - Change in other accounts receivable and payable (6) (3) Net cash from (used in) operating activities 644 651

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (362) (646) Proceeds from issuance of redeemable units 425 21 Amounts paid on redemption of redeemable units (348) (59) Net cash from (used in) financing activities (285) (684)

Unrealized foreign exchange gain (loss) on cash 2 (3) Net increase (decrease) in cash 359 (33) Cash (bank overdraft), beginning of year 50 86 Cash (bank overdraft), end of year 411 50

Supplementary Information: Dividends received, net of withholding tax* 654 1,013 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 306 – CI First Asset Morningstar US Value Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services USD 38,637 CenturyLink Inc. 550,649 479,930 USD 20,121 Meredith Corp. 530,687 492,176 USD 20,744 Telephone and Data Systems Inc. 548,494 490,765 USD 12,494 United States Cellular Corp. 535,516 488,504 2,165,346 1,951,375 7.25 Consumer Discretionary USD 13,889 Adtalem Global Education Inc. 581,860 600,731 USD 3,209 Group 1 Automotive Inc. 414,420 536,135 USD 2,953 Murphy USA Inc. 485,184 492,349 USD 13,503 ODP Corp. (The) 442,228 504,043 USD 6,826 Penske Automotive Group Inc. 449,350 516,475 USD 39,025 Qurate Retail Inc. 425,863 545,405 2,798,905 3,195,138 11.86 Consumer Staples USD 11,077 Edgewell Personal Care Co. 476,098 487,996 USD 10,292 Ingles Markets Inc., Class ‘A’ 514,978 559,358 USD 11,958 Kroger Co. (The) 526,505 483,847 USD 21,480 SpartanNash Co. 586,912 476,434 USD 19,362 Sprouts Farmers Markets Inc. 600,415 495,810 USD 23,961 United Natural Foods Inc. 596,028 487,505 USD 10,336 Walgreens Boots Alliance Inc. 570,305 525,142 3,871,241 3,516,092 13.06 Energy USD 11,238 Cimarex Energy Co. 444,804 537,039 USD 41,443 CNX Resources Corp. 470,316 570,223 USD 40,662 Matador Resources Co. 516,006 624,749 USD 57,554 WPX Energy Inc. 449,363 597,589 1,880,489 2,329,600 8.65 Financials USD 14,262 American Equity Investment Life Holding Co. 511,357 502,576 USD 101,018 BGC Partners Inc., Class ‘A’ 427,220 514,788 USD 18,650 CNO Financial Group Inc. 424,194 528,187 USD 11,947 Encore Capital Group Inc. 528,336 592,839 USD 18,543 Enova International Inc. 445,891 585,161 USD 11,383 National General Holdings Corp. 399,546 495,676 USD 10,331 OneMain Holdings Inc. 443,079 633,867 USD 18,119 Unum Group 429,970 529,538 3,609,593 4,382,632 16.27 Health Care USD 1,270 Anthem Inc. 450,095 519,517 USD 5,844 CVS Health Corp. 521,972 508,511 USD 74,599 Endo International PLC 423,894 682,381 USD 2,284 McKesson Corp. 508,954 506,075 USD 40,919 Teva Pharmaceutical Industries Ltd., ADR 600,226 503,063 USD 22,646 Viatris Inc. 470,734 540,668 2,975,875 3,260,215 12.11 Industrials USD 7,723 AECOM 451,909 489,791 USD 10,230 ArcBest Corp. 481,471 556,119 USD 7,264 Atlas Air Worldwide Holdings Inc. 417,203 504,731 1,350,583 1,550,641 5.76

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

Annual Financial Statements - December 31, 2020 – 307 – CI First Asset Morningstar US Value Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Information Technology USD 91,922 Conduent Inc. 437,067 562,121 USD 10,364 Jabil Inc. 459,465 561,555 USD 17,372 Perspecta Inc. 515,035 532,937 1,411,567 1,656,613 6.15 Materials USD 7,184 Berry Global Group Inc. 463,619 514,274 USD 24,771 Graphic Packaging Holding Co. 491,274 534,597 USD 8,195 Greif Inc., Class ‘A’ 476,675 489,447 1,431,568 1,538,318 5.71

Real Estate USD 34,542 Realogy Holdings Corp. 551,144 577,365 2.14

Utilities USD 18,997 AES Corp. (The) 397,869 568,751 USD 3,560 Entergy Corp. 460,631 452,818 USD 9,266 Exelon Corp. 485,364 498,402 USD 15,718 MDU Resources Group Inc. 483,946 527,451 USD 4,661 Pinnacle West Capital Corp. 495,419 474,752 2,323,229 2,522,174 9.36 Total Equities 24,369,540 26,480,163 98.32 Adjustment for transaction costs (5,973) Total Investments 24,363,567 26,480,163 98.32 Total unrealized gain on forward foreign currency contract(s) 49,304 0.18 Other Net Assets (Liabilities) 402,994 1.50 Net Assets Attributable to Holders of Redeemable Units 26,932,461 100.00

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 308 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 49 - - 49 Derivative assets - Swaps and swaptions - - - - Total 49 - - 49 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 366 (9) - 357 Derivative assets - Swaps and swaptions - - - - Total 366 (9) - 357 Derivative liabilities - Foreign currency forward contracts (9) 9 - - Derivative liabilities - Swaps and swaptions - - - - Total (9) 9 - -

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

Annual Financial Statements - December 31, 2020 – 309 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 23 68 Soft dollar commissions† 1 1

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 1,406,368 2,756,368 1,239,009 2,439,009 Redeemable units issued for cash 2,700,000 - 150,000 150,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (2,150,000) (1,350,000) (650,000) (1,350,000) Number of redeemable units at the end of year 1,956,368 1,406,368 739,009 1,239,009

Annual Financial Statements - December 31, 2020 – 310 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 3,160 3,685 Collateral (non-cash) 3,319 3,901

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

2020 2019 Gross securities lending revenue 60 44 Charges (26) (19) Securities lending revenue 34 25 Charges as a % of gross securities lending revenue 43.3 44.0

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

2020 Capital loss carried forward: 21,318 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 311 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

Credit Risk As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Unhedged Common Units was insignificant. as at December 31, 2020~ Financial Instruments Net Net Other Price Risk Exposure Derivatives Exposure Assets As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore Currency (in $000’s) (in $000’s) (in $000’s) (%) was sensitive to changes in general economic conditions in the United States. U.S. Dollar 8,848 - 8,848 98.4 Total 8,848 - 8,848 98.4 The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This change is estimated based on the historical correlation between the return of the Fund’s securities as as at December 31, 2019~ compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on Financial Instruments Net Net net assets attributable to holders of redeemable units could be different. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Impact on Net Assets Attributable to Holders of Redeemable Units U.S. Dollar 17,797 - 17,797 98.7 as at December 31, 2020 Total 17,797 - 17,797 98.7 Benchmark ($) ~ Morningstar® U.S. Target Value Total Return IndexTM 2,582,009 Includes monetary and non-monetary instruments, if any.

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other as at December 31, 2019 variables held constant, net assets attributable to holders of redeemable Unhedged Common Units Benchmark ($) would have decreased or increased, respectively, by approximately $885,000 (December 31, 2019 - Morningstar® U.S. Target Value Total Return IndexTM 3,139,192 $1,780,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Annual Financial Statements - December 31, 2020 – 312 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

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

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 25,977 503 - 26,480 Derivatives, net - 49 - 49 Total 25,977 552 - 26,529

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 32,436 634 - 33,070 Derivatives, net - 357 - 357 Total 32,436 991 - 33,427

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

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

Annual Financial Statements - December 31, 2020 – 313 – CI First Asset MSCI Canada Low Risk Weighted ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 4,743 6,358 11.71 12.59 404,994 504,994 Current assets Investments 4,716 6,325 Investments pledged as collateral - - Cash 16 26 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 14 20 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 4,746 6,371 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 2 3 Accounts payable and accrued liabilities 1 10 3 13 Net assets attributable to holders of redeemable units 4,743 6,358

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

Annual Financial Statements - December 31, 2020 – 314 – CIG - 580530197 CI First Asset MSCI Canada Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (298) 1,562 (0.67) 2.50 444,475 624,583 Net gain (loss) on investments and derivatives Dividends 171 258 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (226) 547 Change in unrealized appreciation (depreciation) in value of investments and derivatives (208) 829 Total net gain (loss) on investments and derivatives (263) 1,634 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 2 3 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 2 3 Total income (261) 1,637 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 30 45 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 5 26 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 2 4 Other expenses - - Total expenses 37 75 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (298) 1,562

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

Annual Financial Statements - December 31, 2020 – 315 – CI First Asset MSCI Canada Low Risk Weighted ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 6,358 10,323 Increase (decrease) in net assets attributable to holders of redeemable units (298) 1,562 Distributions to holders of redeemable units From net investment income (138) (198) From net realized gains - - Return of capital - (14) Total distributions to holders of redeemable units (138) (212)

Redeemable unit transactions Proceeds from redeemable units issued 541 6,051 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (1,720) (11,366) Net increase (decrease) from redeemable unit transactions (1,179) (5,315) Net increase (decrease) in net assets attributable to holders of redeemable units (1,615) (3,965) Net assets attributable to holders of redeemable units at the end of year 4,743 6,358

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

Annual Financial Statements - December 31, 2020 – 316 – CI First Asset MSCI Canada Low Risk Weighted ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (298) 1,562 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 226 (547) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 5 1 Change in unrealized (appreciation) depreciation in value of investments and derivatives 208 (829) Proceeds from sale and maturity of investments and derivatives 1,518 1,470 Purchase of investments and derivatives (1,511) (1,411) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 6 19 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (1) (2) Amortization interest earned - - Change in other accounts receivable and payable (8) 7 Net cash from (used in) operating activities 145 270

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (139) (212) Proceeds from issuance of redeemable units 4 47 Amounts paid on redemption of redeemable units (20) (104) Net cash from (used in) financing activities (155) (269)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (10) 1 Cash (bank overdraft), beginning of year 26 25 Cash (bank overdraft), end of year 16 26

Supplementary Information: Dividends received, net of withholding tax* 177 277 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 317 – CI First Asset MSCI Canada Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services 2,337 BCE Inc. 137,299 127,203 3,576 Quebecor Inc., Class ‘B’ 110,914 117,150 1,717 Rogers Communications Inc., Class ‘B’ 104,237 101,749 3,902 Shaw Communications Inc., Class ‘B’ 100,476 87,171 5,654 TELUS Corp. 132,978 142,537 585,904 575,810 12.14 Consumer Discretionary 253 Canadian Tire Corp. Ltd., Class ‘A’ 33,923 42,334 1,048 Dollarama Inc. 45,896 54,370 492 Gildan Activewear Inc. 17,439 17,510 312 Magna International Inc. 20,365 28,114 362 Restaurant Brands International Inc. 29,096 28,174 146,719 170,502 3.59 Consumer Staples 1,247 Alimentation Couche-Tard Inc., Class ‘B’ 48,065 54,095 1,329 Empire Co. Ltd., Class ‘A’ 42,626 46,236 1,356 George Weston Ltd. 137,141 128,928 1,756 Loblaw Cos. Ltd. 113,441 110,294 2,449 Metro Inc. 129,296 139,103 2,550 Saputo Inc. 94,549 90,857 565,118 569,513 12.01 Energy 2,105 Cameco Corp. 29,252 35,890 475 Canadian Natural Resources Ltd. 16,420 14,530 1,393 Cenovus Energy Inc. 13,652 10,796 1,659 Enbridge Inc. 73,883 67,538 932 Imperial Oil Ltd. 33,767 22,517 1,843 Inter Pipeline Ltd. 38,791 21,876 996 Keyera Corp. 30,975 22,530 666 Parkland Corp. 30,547 26,900 1,029 Pembina Pipeline Corp. 43,262 30,973 895 Suncor Energy Inc. 33,443 19,108 1,099 TC Energy Corp. 65,150 56,873 409,142 329,531 6.95 Financials 677 Bank of Montreal 61,093 65,520 1,318 Bank of Nova Scotia 89,357 90,678 768 Brookfield Asset Management Inc., Class ‘A’ 30,936 40,412 689 Canadian Imperial Bank of Commerce 73,624 74,908 1,938 CI Financial Corp. 41,626 30,582 122 Fairfax Financial Holdings Ltd. 61,620 52,930 2,206 Great-West Lifeco Inc. 63,395 66,952 565 iA Financial Corp. Inc. 29,379 31,177 1,485 IGM Financial Inc. 54,428 51,247 559 Intact Financial Corp. 63,072 84,252 1,667 Manulife Financial Corp. 36,781 37,758 723 National Bank of Canada 44,703 51,796 493 Onex Corp. 38,710 36,019 1,706 Power Corp. of Canada 52,983 49,866 1,063 Royal Bank of Canada 102,331 111,179 753 Sun Life Financial Inc. 39,164 42,620

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

Annual Financial Statements - December 31, 2020 – 318 – CI First Asset MSCI Canada Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Financials (cont’d) 585 TMX Group Ltd. 78,984 74,377 1,326 Toronto-Dominion Bank (The) 90,927 95,366 1,053,113 1,087,639 22.93 Health Care 508 Bausch Health Cos. Inc. 14,363 13,416 210 Canopy Growth Corp. 8,560 6,577 22,923 19,993 0.42 Industrials 460 Air Canada 14,887 10,474 569 CAE Inc. 15,152 20,069 731 Canadian National Railway Co. 82,863 102,296 167 Canadian Pacific Railway Ltd. 48,571 73,736 835 GFL Environmental Inc. 29,567 30,987 400 Ritchie Bros. Auctioneers Inc. 23,770 35,392 739 Toromont Industries Ltd. 65,660 65,919 681 WSP Global Inc. 53,424 82,122 333,894 420,995 8.88 Information Technology 2,448 BlackBerry Ltd. 20,061 20,661 804 CGI Inc. 71,259 81,196 39 Constellation Software Inc. 45,231 64,464 1,241 Open Text Corp. 64,625 71,779 10 Shopify Inc., Class ‘A’ 3,668 14,373 791 Thomson Reuters Corp. 60,182 82,406 72 Topicus.Com Inc. 349 1 265,375 334,880 7.06 Materials 299 Agnico Eagle Mines Ltd. 19,982 26,787 2,440 B2Gold Corp. 18,214 17,397 936 Barrick Gold Corp. 21,580 27,144 680 CCL Industries Inc., Class ‘B’ 34,587 39,297 535 First Quantum Minerals Ltd. 5,204 12,225 259 Franco-Nevada Corp. 33,060 41,336 1,790 Kinross Gold Corp. 10,819 16,719 336 Kirkland Lake Gold Ltd. 17,052 17,674 2,139 Lundin Mining Corp. 14,083 24,171 704 Nutrien Ltd. 39,629 43,113 434 Pan American Silver Corp. 17,362 19,053 773 SSR Mining Inc. 19,315 19,758 941 Teck Resources Ltd., Class ‘B’ 16,125 21,737 533 Wheaton Precious Metals Corp. 19,357 28,334 2,230 Yamana Gold Inc. 16,062 16,212 302,431 370,957 7.82 Real Estate 1,212 Canadian Apartment Properties REIT 64,029 60,588 210 FirstService Corp. 37,197 36,586 2,325 RioCan REIT 57,035 38,944 158,261 136,118 2.87 Utilities 3,951 Algonquin Power & Utilities Corp. 73,844 82,773 1,311 AltaGas Ltd. 26,516 24,542

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

Annual Financial Statements - December 31, 2020 – 319 – CI First Asset MSCI Canada Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Utilities (cont’d) 1,595 ATCO Ltd., Class ‘I’ 69,385 58,202 892 Brookfield Renewable Corp. 60,602 66,240 1,931 Canadian Utilities Ltd., Class ‘A’ 69,057 60,035 1,855 Emera Inc. 92,576 100,356 2,184 Fortis Inc. 108,461 113,568 4,121 Hydro One Ltd. 96,487 118,067 1,662 Northland Power Inc. 73,992 75,904 670,920 699,687 14.75 Total Equities 4,513,800 4,715,625 99.42 Adjustment for transaction costs (1,202) Total Investments 4,512,598 4,715,625 99.42 Other Net Assets (Liabilities) 27,710 0.58 Net Assets Attributable to Holders of Redeemable Units 4,743,335 100.00

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

Annual Financial Statements - December 31, 2020 – 320 – CI First Asset MSCI Canada Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 1 1 Soft dollar commissions† - -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 504,994 954,994 Redeemable units issued for cash 50,000 500,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (150,000) (950,000) Number of redeemable units at the end of year 404,994 504,994

Annual Financial Statements - December 31, 2020 – 321 – CI First Asset MSCI Canada Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) Related Party Investments (Note 9) as at December 31, 2020 (%) as at December 31 (in $000’s)

Annual management fee rate: Investments 2020 Common Units 0.600 CI Financial Corp. 31

Investments 2019 Securities Lending (Note 6) CI Financial Corp. 69 as at December 31 (in $000’s)

2020 2019 Loaned 300 567 Collateral (non-cash) 316 595

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

2020 2019 Gross securities lending revenue 3 5 Charges (1) (2) Securities lending revenue 2 3 Charges as a % of gross securities lending revenue 40.0 39.9

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

2020 Capital loss carried forward: 257 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 322 – CI First Asset MSCI Canada Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Interest Rate Risk As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Fair Value Hierarchy The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Categories Net Assets (%) derivatives carried at fair value. Financials 29.78 Utilities 14.11 Long Positions at fair value as at December 31, 2020 Real Estate 10.60 Level 1 Level 2 Level 3 Total Energy 9.66 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Communication Services 9.46 Equities 4,716 - - 4,716 Consumer Staples 6.89 Total 4,716 - - 4,716 Information Technology 5.21 Materials 5.13 Industrials 4.57 Long Positions at fair value as at December 31, 2019 Consumer Discretionary 3.54 Level 1 Level 2 Level 3 Total Health Care 0.53 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Other Net Assets (Liabilities) 0.52 Equities 6,325 - - 6,325 Total 100.00 Total 6,325 - - 6,325

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. Credit Risk As at December 31, 2020 and 2019, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

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

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2020 Benchmark ($) MSCI Canada Risk Weighted Total Return Index 465,586

as at December 31, 2019 Benchmark ($) MSCI Canada Risk Weighted Total Return Index 505,279

Currency Risk As at December 31, 2020 and 2019, the Fund did not have significant exposure to currency risk as substantially all of its investments were denominated in Canadian dollars, the functional currency of the Fund.

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

Annual Financial Statements - December 31, 2020 – 323 – CI First Asset MSCI Canada Quality Index Class ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable shares to holders of redeemable Number of redeemable per Series (Note 4): shares per share: shares outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets ETF Shares 269,613 582,723 26.51 27.14 10,170,545 21,470,545 Current assets Investments 269,387 580,712 Investments pledged as collateral - - Cash 164 1,498 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 320 1,027 Interest receivable - - Receivable for investments sold - - Receivable for share subscriptions 3 - 269,874 583,237 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for share redemptions - - Dividends payable to holders of redeemable shares - - Management fees payable 98 299 Accounts payable and accrued liabilities 163 215 261 514 Net assets attributable to holders of redeemable shares 269,613 582,723

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

Annual Financial Statements - December 31, 2020 – 324 – CIG - 580530357 CI First Asset MSCI Canada Quality Index Class ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average shares per Series: shares per share: number of shares: 2020 2019 2020 2019 2020 2019 2020 2019 Income ETF Shares (113,043) 40,654 (14.81) 2.97 7,632,977 13,673,833 Net gain (loss) on investments and derivatives Dividends 4,677 9,460 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (93,999) 11,104 Change in unrealized appreciation (depreciation) in value of investments and derivatives (22,090) 23,069 Total net gain (loss) on investments and derivatives (111,412) 43,633 Other income Foreign exchange gain (loss) on cash 3 (4) Securities lending revenue (Note 6) 7 2 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 10 (2) Total income (111,402) 43,631 Expenses Custody fees 33 35 Securityholder reporting costs 214 284 Management fees (Note 5) 1,147 2,183 Audit fees 5 4 Legal fees - 18 Independent review committee fees 1 5 Commissions and other portfolio transaction costs 111 159 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 127 278 Directors’ fees 3 11 Other expenses - - Total expenses 1,641 2,977 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable shares (113,043) 40,654

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

Annual Financial Statements - December 31, 2020 – 325 – CI First Asset MSCI Canada Quality Index Class ETF Financial Statements

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

ETF Shares 2020 2019 Net assets attributable to holders of redeemable shares at the beginning of year 582,723 8,282 Increase (decrease) in net assets attributable to holders of redeemable shares (113,043) 40,654 Dividends to holders of redeemable shares From net investment income (3,864) (7,561) From net realized gains - - Return of capital - - Total dividends to holders of redeemable shares (3,864) (7,561)

Redeemable share transactions Proceeds from redeemable shares issued 241,429 571,903 Reinvestment of dividends to holders of redeemable shares - - Redemption of redeemable shares (437,632) (30,555) Net increase (decrease) from redeemable share transactions (196,203) 541,348 Net increase (decrease) in net assets attributable to holders of redeemable shares (313,110) 574,441 Net assets attributable to holders of redeemable shares at the end of year 269,613 582,723

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

Annual Financial Statements - December 31, 2020 – 326 – CI First Asset MSCI Canada Quality Index Class ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable shares (113,043) 40,654 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 93,999 (11,104) Unrealized foreign exchange (gain) loss on cash (3) 3 Commissions and other portfolio transaction costs 111 151 Change in unrealized (appreciation) depreciation in value of investments and derivatives 22,090 (23,069) Proceeds from sale and maturity of investments and derivatives 388,575 134,418 Purchase of investments and derivatives (36,324) (653,030) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 707 (1,001) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (200) 294 Amortization interest earned - - Change in other accounts receivable and payable (52) 182 Net cash from (used in) operating activities 355,860 (512,502)

Cash flows from (used in) financing activities Dividends paid to holders of redeemable shares, net of reinvested dividends (3,864) (7,561) Proceeds from issuance of redeemable shares 7,458 538,918 Amounts paid on redemption of redeemable shares (360,791) (17,380) Net cash from (used in) financing activities (357,197) 513,977

Unrealized foreign exchange gain (loss) on cash 3 (3) Net increase (decrease) in cash (1,337) 1,475 Cash (bank overdraft), beginning of year 1,498 26 Cash (bank overdraft), end of year 164 1,498

Supplementary Information: Dividends received, net of withholding tax* 5,384 8,459 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 327 – CI First Asset MSCI Canada Quality Index Class ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services 162,507 BCE Inc. 9,188,596 8,845,256 3.28

Consumer Discretionary 271,857 Dollarama Inc. 14,568,992 14,103,941 166,428 Magna International Inc. 13,144,498 14,996,827 27,713,490 29,100,768 10.79 Consumer Staples 301,641 Alimentation Couche-Tard Inc., Class ‘B’ 13,196,072 13,085,186 162,164 Empire Co. Ltd., Class ‘A’ 5,595,553 5,641,686 223,014 Metro Inc. 12,840,828 12,667,195 248,984 Saputo Inc. 9,217,017 8,871,300 40,849,470 40,265,367 14.94

Energy 235,868 Keyera Corp. 5,694,582 5,335,335 1.98

Financials 309,479 CI Financial Corp. 5,237,961 4,883,578 315,303 Great-West Lifeco Inc. 9,493,428 9,569,447 118,896 iA Financial Corp. Inc. 6,632,757 6,560,681 90,546 Intact Financial Corp. 13,003,768 13,647,093 613,800 Manulife Financial Corp. 13,801,358 13,902,570 225,532 Sun Life Financial Inc. 12,811,352 12,765,111 60,980,624 61,328,480 22.75 Industrials 93,795 Canadian National Railway Co. 12,885,855 13,125,672 30,326 Canadian Pacific Railway Ltd. 12,446,676 13,389,839 123,635 Ritchie Bros. Auctioneers Inc. 10,366,694 10,939,224 101,924 Toromont Industries Ltd. 9,202,309 9,091,621 44,901,534 46,546,356 17.26 Information Technology 146,063 CGI Inc. 14,357,804 14,750,903 8,656 Constellation Software Inc. 13,560,398 14,307,676 16,099 Topicus.Com Inc. 77,096 161 27,995,298 29,058,740 10.78 Materials 1,240,527 B2Gold Corp. 9,108,873 8,844,958 169,632 CCL Industries Inc., Class ‘B’ 10,017,860 9,803,033 79,378 Franco-Nevada Corp. 13,670,937 12,668,729 249,781 Kirkland Lake Gold Ltd. 13,347,694 13,138,479 46,145,364 44,455,199 16.49

Real Estate 89,044 Canadian Apartment Properties REIT 4,549,960 4,451,310 1.65

Total Equities 268,018,918 269,386,811 99.92 Adjustment for transaction costs (58,924) Total Investments 267,959,994 269,386,811 99.92 Other Net Assets (Liabilities) 226,135 0.08 Net Assets Attributable to Holders of Redeemable Shares 269,612,946 100.00

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

Annual Financial Statements - December 31, 2020 – 328 – CI First Asset MSCI Canada Quality Index Class ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 103 151 Soft dollar commissions† 6 1

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

ETF Shares 2020 2019 Number of redeemable shares at the beginning of year 21,470,545 370,545 Redeemable shares issued for cash 9,150,000 22,250,000 Redeemable shares issued for reinvested dividends - - Redeemable shares redeemed (20,450,000) (1,150,000) Number of redeemable shares at the end of year 10,170,545 21,470,545

Annual Financial Statements - December 31, 2020 – 329 – CI First Asset MSCI Canada Quality Index Class ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: ETF Shares 0.600

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

2020 2019 Loaned 11,354 31,111 Collateral (non-cash) 12,193 32,690

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

2020 2019 Gross securities lending revenue 11 4 Charges (4) (2) Securities lending revenue 7 2 Charges as a % of gross securities lending revenue 40.0 40.0

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

Investments 2020 CI Financial Corp. 4,884

Investments 2019 CI Financial Corp. 15,500

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

Annual Financial Statements - December 31, 2020 – 330 – CI First Asset MSCI Canada Quality Index Class ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Interest Rate Risk As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Fair Value Hierarchy The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Categories Net Assets (%) derivatives carried at fair value. Financials 24.48 Industrials 16.15 Long Positions at fair value as at December 31, 2020 Consumer Staples 13.65 Level 1 Level 2 Level 3 Total Information Technology 9.86 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Communication Services 8.67 Equities 269,387 - - 269,387 Consumer Discretionary 8.15 Total 269,387 - - 269,387 Materials 7.86 Energy 5.67 Utilities 3.40 Long Positions at fair value as at December 31, 2019 Real Estate 1.76 Level 1 Level 2 Level 3 Total Other Net Assets (Liabilities) 0.35 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Total 100.00 Equities 580,712 - - 580,712 Total 580,712 - - 580,712

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

Impact on Net Assets Attributable to Holders of Redeemable Shares as at December 31, 2020 Benchmark ($) MSCI Canada Quality Total Return Index 26,790,712

as at December 31, 2019 Benchmark ($) MSCI Canada Quality Total Return Index 57,679,191

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

Annual Financial Statements - December 31, 2020 – 331 – CI First Asset MSCI Europe Low Risk Weighted ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 38,689 57,057 27.94 30.43 1,384,820 1,874,820 Current assets Unhedged Investments 49,875 70,046 Common Units 11,142 13,831 28.21 29.12 394,964 474,964 Investments pledged as collateral - - Cash 3 106 Unrealized gain on futures and foreign currency forward contracts - 418 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 335 381 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 50,213 70,951 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 340 12 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 25 36 Accounts payable and accrued liabilities 17 15 382 63 Net assets attributable to holders of redeemable units 49,831 70,888

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

Annual Financial Statements - December 31, 2020 – 332 – CIG - 580530207 CI First Asset MSCI Europe Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (5,928) 12,720 (3.61) 6.59 1,641,897 1,930,162 Net gain (loss) on investments and derivatives Unhedged Dividends 1,804 2,227 Common Units (10) 2,573 (0.02) 4.79 448,734 536,882 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (3,735) 3,333 Change in unrealized appreciation (depreciation) in value of investments and derivatives (3,186) 10,693 Total net gain (loss) on investments and derivatives (5,117) 16,253 Other income Foreign exchange gain (loss) on cash (30) (17) Securities lending revenue (Note 6) 3 - Fees rebate - - Miscellaneous foreign income - - Other income 54 28 Total other income 27 11 Total income (5,090) 16,264 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 343 414 Audit fees - - Legal fees - - Independent review committee fees - 1 Commissions and other portfolio transaction costs 128 81 Securities borrowing fees (Note 2) - - Interest expense 1 1 Withholding taxes 346 439 Harmonized sales tax 30 35 Other expenses - - Total expenses 848 971 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (5,938) 15,293

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

Annual Financial Statements - December 31, 2020 – 333 – CI First Asset MSCI Europe Low Risk Weighted ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 57,057 50,971 13,831 19,501 70,888 70,472 Increase (decrease) in net assets attributable to holders of redeemable units (5,928) 12,720 (10) 2,573 (5,938) 15,293 Distributions to holders of redeemable units From net investment income (877) (1,132) (252) (274) (1,129) (1,406) From net realized gains - (1,162) - - - (1,162) Return of capital (165) - (34) (13) (199) (13) Total distributions to holders of redeemable units (1,042) (2,294) (286) (287) (1,328) (2,581)

Redeemable unit transactions Proceeds from redeemable units issued 6,205 2,484 4,676 - 10,881 2,484 Reinvestment of distributions to holders of redeemable units - 1,183 - 4 - 1,187 Redemption of redeemable units (17,603) (8,007) (7,069) (7,960) (24,672) (15,967) Net increase (decrease) from redeemable unit transactions (11,398) (4,340) (2,393) (7,956) (13,791) (12,296) Net increase (decrease) in net assets attributable to holders of redeemable units (18,368) 6,086 (2,689) (5,670) (21,057) 416 Net assets attributable to holders of redeemable units at the end of year 38,689 57,057 11,142 13,831 49,831 70,888

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

Annual Financial Statements - December 31, 2020 – 334 – CI First Asset MSCI Europe Low Risk Weighted ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (5,938) 15,293 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 3,735 (3,333) Unrealized foreign exchange (gain) loss on cash (19) 23 Commissions and other portfolio transaction costs 128 56 Change in unrealized (appreciation) depreciation in value of investments and derivatives 3,186 (10,693) Proceeds from sale and maturity of investments and derivatives 47,822 35,976 Purchase of investments and derivatives (33,955) (22,447) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 46 73 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (11) (1) Amortization interest earned - - Change in other accounts receivable and payable 3 (4) Net cash from (used in) operating activities 14,997 14,943

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,327) (1,394) Proceeds from issuance of redeemable units 10,880 2,484 Amounts paid on redemption of redeemable units (24,672) (15,967) Net cash from (used in) financing activities (15,119) (14,877)

Unrealized foreign exchange gain (loss) on cash 19 (23) Net increase (decrease) in cash (122) 66 Cash (bank overdraft), beginning of year 106 63 Cash (bank overdraft), end of year 3 106

Supplementary Information: Dividends received, net of withholding tax* 1,504 1,861 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 335 – CI First Asset MSCI Europe Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services EUR 19,527 Deutsche Telekom AG, Registered 445,829 455,211 EUR 5,305 Elisa OYJ 321,971 371,050 EUR 23,938 Orange SA 513,871 363,221 EUR 4,120 Scout24 AG 430,991 430,613 CHF 1,101 Swisscom AG 740,051 757,074 NOK 28,042 Telenor ASA 650,430 608,781 SEK 79,970 Telia Co. AB 474,059 421,295 EUR 12,027 Vivendi SA 380,772 494,565 3,957,974 3,901,810 7.83 Consumer Discretionary EUR 1,961 EssilorLuxottica 339,227 389,896 EUR 414 Hermes International 291,371 567,645 630,598 957,541 1.92 Consumer Staples CHF 188 Barry Callebaut AG 522,711 570,092 EUR 3,474 Beiersdorf AG 455,009 511,419 DKK 2,597 Carlsberg AS, Series ‘B’ 404,078 530,373 CHF 127 Chocoladefabriken Lindt & Sprungli AG 1,101,927 1,579,632 EUR 5,909 Colruyt Group 485,682 446,455 EUR 6,032 Danone 559,429 505,489 GBP 10,616 Diageo PLC 470,937 532,076 SEK 11,913 Essity AB, Class ‘B’ 532,125 488,808 EUR 3,328 Heineken Holding NV 366,404 399,712 EUR 2,936 Heineken NV 384,125 417,482 EUR 3,806 Henkel AG & Co. KGaA 495,165 467,802 EUR 3,348 Henkel AG & Co. KGaA, Preferred 484,568 481,702 EUR 2,683 Kerry Group PLC, Class ‘A’ 373,788 495,599 EUR 13,991 Koninklijke Ahold Delhaize NV 499,121 504,011 EUR 1,011 L’Oreal SA 276,217 489,805 CHF 6,243 Nestle SA, Registered 719,892 938,108 NOK 59,782 Orkla ASA 714,774 773,903 EUR 1,696 Pernod-Ricard SA 310,978 414,537 GBP 3,784 Reckitt Benckiser Group PLC 460,166 431,106 GBP 118,436 Tesco PLC 465,221 477,276 GBP 15,204 Unilever PLC 1,138,013 1,162,900 GBP 193,293 William Morrison Supermarkets PLC 643,532 596,993 11,863,862 13,215,280 26.52

Energy EUR 6,985 Koninklijke Vopak NV 514,646 468,085 0.94

Financials GBP 12,834 Admiral Group PLC 451,682 649,501 EUR 15,644 Assicurazioni Generali SPA 302,256 347,743 CHF 5,916 Banque Cantonale Vaudoise 794,489 821,099 EUR 1,756 Deutsche Boerse AG 365,638 381,163 NOK 18,696 Gjensidige Forsikring ASA 424,700 532,460 EUR 3,336 Groupe Bruxelles Lambert SA 389,698 429,118 GBP 57,327 HSBC Holdings PLC 549,736 378,224 SEK 9,958 Industrivarden AB, Series ‘A’ 400,098 423,576 SEK 10,406 Industrivarden AB, Series ‘C’ 286,239 428,588 SEK 4,980 Investor AB, Series ‘B’ 277,784 462,906 SEK 6,536 L E Lundbergforetagen AB, Series ‘B’ 300,876 446,733 GBP 2,815 London Stock Exchange Group PLC 396,874 441,600

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

Annual Financial Statements - December 31, 2020 – 336 – CI First Asset MSCI Europe Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Financials (cont’d) EUR 1,084 Sofina SA 410,268 468,059 DKK 14,741 Tryg AS 474,900 593,021 CHF 663 Zurich Insurance Group AG 299,774 356,899 6,125,012 7,160,690 14.37 Health Care DKK 2,360 Coloplast AS, Class ‘B’ 458,014 459,435 GBP 22,802 GlaxoSmithKline PLC 619,641 532,902 EUR 2,226 Merck KGaA 311,149 487,000 CHF 4,838 Novartis AG, Registered 541,289 583,275 DKK 4,975 Novo Nordisk AS, Series ‘B’ 434,980 444,509 EUR 5,491 Recordati Industria Chimica e Farmaceutica SPA 346,245 387,997 CHF 1,222 Roche Holding AG Genusscheine 446,355 544,216 EUR 3,489 Sanofi 469,796 428,023 3,627,469 3,867,357 7.76 Industrials EUR 6,390 Alstom SA 374,963 464,271 SEK 11,125 Assa Abloy AB, Class ‘B’ 311,993 349,475 GBP 10,684 Bunzl PLC 379,021 454,548 EUR 11,704 Bureau Veritas SA 330,887 396,994 GBP 6,854 Experian PLC 197,413 331,468 CHF 685 Geberit AG, Registered 395,427 547,140 GBP 3,571 Intertek Group PLC 337,598 351,242 EUR 5,105 Kone OYJ, Class ‘B’ 473,560 528,868 CHF 1,917 Kuehne + Nagel International AG, Registered 374,187 554,789 EUR 3,302 Legrand SA 310,241 375,743 GBP 13,806 RELX PLC 369,213 430,972 GBP 43,274 Rentokil Initial PLC 374,294 384,042 CHF 1,432 Schindler Holding AG 386,357 492,442 CHF 1,592 Schindler Holding AG, Registered 421,421 547,005 SEK 15,092 Securitas AB, Series ‘B’ 326,312 310,794 CHF 149 SGS SA, Registered 453,135 573,376 GBP 2,524 Spirax-Sarco Engineering PLC 430,265 496,475 EUR 5,064 Wolters Kluwer NV 323,112 545,144 6,569,399 8,134,788 16.33 Information Technology GBP 11,254 Halma PLC 364,192 479,974 GBP 31,872 Sage Group PLC (The) 376,789 323,039 740,981 803,013 1.61 Materials EUR 2,642 Air Liquide SA 381,325 552,889 GBP 6,254 Croda International PLC 529,612 718,390 CHF 465 Ems-Chemie Holding AG, Registered 384,494 571,668 CHF 151 Givaudan SA, Registered 479,267 811,760 EUR 1,931 Koninklijke DSM NV 342,384 423,815 EUR 3,347 Symrise AG 355,946 565,557 2,473,028 3,644,079 7.31 Real Estate EUR 6,910 Deutsche Wohnen SE 428,182 470,599 EUR 2,679 LEG Immobilien GmbH 465,071 530,607 GBP 38,718 SEGRO PLC 396,910 638,940 CHF 5,710 Swiss Prime Site AG, Registered 660,708 715,151 EUR 5,162 Vonovia SE 370,509 480,861 2,321,380 2,836,158 5.69

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

Annual Financial Statements - December 31, 2020 – 337 – CI First Asset MSCI Europe Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Utilities EUR 58,982 Energias de Portugal SA 408,638 474,049 EUR 27,756 Iberdrola SA 278,022 506,214 GBP 32,356 National Grid PLC 526,059 487,408 EUR 11,298 Naturgy Energy Group SA 372,854 333,911 DKK 1,707 Orsted AS 399,702 444,524 EUR 19,645 Red Electrica Corp. SA 527,121 513,696 GBP 11,084 Severn Trent PLC 464,599 441,839 EUR 55,994 Snam SPA 362,018 401,592 EUR 48,926 Terna SPA 351,925 476,662 EUR 9,117 Uniper SE 401,491 401,336 GBP 25,983 United Utilities Group PLC 406,905 404,981 4,499,334 4,886,212 9.81 Total Equities 43,323,683 49,875,013 100.09 Adjustment for transaction costs (89,524) Total Investments 43,234,159 49,875,013 100.09 Total unrealized gain on forward foreign currency contract(s) 222 0.00 Total unrealized loss on forward foreign currency contract(s) (339,641) (0.68) Other Net Assets (Liabilities) 295,444 0.59 Net Assets Attributable to Holders of Redeemable Units 49,831,038 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Canadian Imperial Bank of Commerce A-1 January 19, 2021 CAD 8,524,384 GBP 5,000,000 1.70 (183,590) Citibank N.A., New York A-1 January 19, 2021 CAD 15,389,250 EUR 9,915,000 1.55 (70,852) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 1,837,451 DKK 8,805,000 0.21 (6,973) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 1,452,838 NOK 9,940,000 0.15 (26,112) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 8,355,649 CHF 5,795,000 1.44 222 Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 2,537,311 SEK 16,690,000 0.15 (52,114) (339,419)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 338 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts - - - - Derivative assets - Swaps and swaptions - - - - Total - - - - Derivative liabilities - Foreign currency forward contracts (339) - - (339) Derivative liabilities - Swaps and swaptions - - - - Total (339) - - (339) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 418 (12) - 406 Derivative assets - Swaps and swaptions - - - - Total 418 (12) - 406 Derivative liabilities - Foreign currency forward contracts (12) 12 - - Derivative liabilities - Swaps and swaptions - - - - Total (12) 12 - -

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

Annual Financial Statements - December 31, 2020 – 339 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 91 56 Soft dollar commissions† 6 1

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 1,874,820 2,074,820 474,964 774,964 Redeemable units issued for cash 200,000 100,000 200,000 - Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (690,000) (300,000) (280,000) (300,000) Number of redeemable units at the end of year 1,384,820 1,874,820 394,964 474,964

Annual Financial Statements - December 31, 2020 – 340 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 1,329 - Collateral (non-cash) 1,427 -

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

2020 2019 Gross securities lending revenue 5 - Charges (2) - Securities lending revenue 3 - Charges as a % of gross securities lending revenue 41.3 -

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

2020 Capital loss carried forward: 3,935 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 341 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

Concentration Risk Common Units For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2020~ The table below summarizes the Fund’s exposure to concentration risk. Financial Instruments Net Net Exposure Derivatives Exposure Assets as at December 31, 2019 Currency (in $000’s) (in $000’s) (in $000’s) (%) Categories Net Assets (%) Swiss Franc 8,703 (8,355) 347 0.9 Switzerland 22.36 Euro 15,581 (15,460) 120 0.3 France 19.12 Danish Krone 1,936 (1,844) 91 0.2 U.K. 18.44 British Pound 8,693 (8,708) (15) 0.0 Germany 10.33 Norwegian Krone 1,494 (1,479) 15 0.0 Sweden 5.06 Swedish Krona 2,601 (2,589) 12 0.0 Netherlands 4.88 U.S. Dollar 3 - 3 0.0 Spain 4.52 Total 39,011 (38,435) 573 1.4 Norway 3.65 Belgium 3.14 Denmark 2.49 as at December 31, 2019~ Finland 1.98 Financial Instruments Net Net Ireland 1.87 Exposure Derivatives Exposure Assets Italy 0.97 Currency (in $000’s) (in $000’s) (in $000’s) (%) Other Net Assets (Liabilities) 0.62 Norwegian Krone 2,098 - 2,098 3.7 Total unrealized gain on forward foreign currency contract(s) 0.59 Danish Krone 1,444 - 1,444 2.5 Total unrealized loss on forward foreign currency contract(s) (0.02) British Pound 11,624 (11,362) 262 0.5 Total 100.00 Swiss Franc 12,892 (12,675) 217 0.4 Swedish Krona 2,913 (2,862) 51 0.1 Euro 25,761 (25,995) (234) (0.4) Credit Risk Total 56,732 (52,894) 3,838 6.8 As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments was insignificant. As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased Other Price Risk or increased, respectively, by approximately $57,000 (December 31, 2019 - $384,000). In practice, actual As at December 31, 2020 and 2019, the Fund was predominantly invested in equities of European results may differ from this analysis and the difference may be material. companies and therefore was sensitive to changes in general economic conditions across Europe.

The table below indicates how net assets attributable to holders of redeemable units would have Unhedged Common Units increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This change is estimated based on the historical correlation between the return of the Fund’s securities as as at December 31, 2020~ compared to the return of the benchmark(s), as at year end, with all other variables held constant. The Financial Instruments Net Net historical correlation may not be representative of the future correlation, and accordingly the impact on Exposure Derivatives Exposure Assets net assets attributable to holders of redeemable units could be different. Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 4,487 - 4,487 40.3 Impact on Net Assets Attributable to Holders of Redeemable Units British Pound 2,504 - 2,504 22.5 as at December 31, 2020 Swiss Franc 2,506 - 2,506 22.5 Benchmark ($) Swedish Krona 749 - 749 6.7 MSCI Europe Risk Weighted Top 100 Total Return Index 4,959,980 Danish Krone 558 - 558 5.0 Norwegian Krone 430 - 430 3.9 U.S. Dollar 1 - 1 0.0 as at December 31, 2019 Total 11,235 - 11,235 100.9 Benchmark ($) MSCI Europe Risk Weighted Top 100 Total Return Index 6,703,541 ~Includes monetary and non-monetary instruments, if any.

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

Annual Financial Statements - December 31, 2020 – 342 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

Unhedged Common Units (cont’d) as at December 31, 2019~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 6,245 - 6,245 45.2 Swiss Franc 3,125 - 3,125 22.6 British Pound 2,818 - 2,818 20.4 Swedish Krona 706 - 706 5.1 Norwegian Krone 509 - 509 3.7 Danish Krone 350 - 350 2.5 Total 13,753 - 13,753 99.5

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

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $1,124,000 (December 31, 2019 - $1,375,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 49,875 - - 49,875 Derivatives, net - (339) - (339) Total 49,875 (339) - 49,536

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 70,046 - - 70,046 Derivatives, net - 406 - 406 Total 70,046 406 - 70,452

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

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

Annual Financial Statements - December 31, 2020 – 343 – CI First Asset MSCI International Low Risk Weighted ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 13,042 9,108 20.06 22.77 650,000 400,000 Current assets Unhedged Investments 17,401 229,907 Common Units 4,566 221,562 19.43 22.38 235,000 9,900,000 Investments pledged as collateral - - Cash 66 371 Unrealized gain on futures and foreign currency forward contracts 5 116 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - 111 Cash collateral on deposit for short sale - - Dividends receivable 267 454 Interest receivable - - Receivable for investments sold - 11 Receivable for unit subscriptions - - 17,739 230,970 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 99 16 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - 7 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 9 118 Accounts payable and accrued liabilities 23 159 131 300 Net assets attributable to holders of redeemable units 17,608 230,670

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

Annual Financial Statements - December 31, 2020 – 344 – CIG - 580530457 CI First Asset MSCI International Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (1,934) 3,287 (3.09) 5.58 626,093 588,630 Net gain (loss) on investments and derivatives Unhedged Dividends 3,266 3,975 Common Units (22,761) 9,421 (6.47) 1.67 3,517,541 5,624,384 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (21,266) 3,050 Change in unrealized appreciation (depreciation) in value of investments and derivatives (5,785) 6,476 Total net gain (loss) on investments and derivatives (23,785) 13,501 Other income Foreign exchange gain (loss) on cash (208) 50 Securities lending revenue (Note 6) 8 8 Fees rebate 413 726 Miscellaneous foreign income - - Other income 119 143 Total other income 332 927 Total income (23,453) 14,428 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 514 822 Audit fees - - Legal fees - - Independent review committee fees - 2 Commissions and other portfolio transaction costs 250 524 Securities borrowing fees (Note 2) - - Interest expense 7 6 Withholding taxes 449 342 Harmonized sales tax 22 24 Other expenses - - Total expenses 1,242 1,720 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (24,695) 12,708

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

Annual Financial Statements - December 31, 2020 – 345 – CI First Asset MSCI International Low Risk Weighted ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 9,108 26,105 221,562 1,005 230,670 27,110 Increase (decrease) in net assets attributable to holders of redeemable units (1,934) 3,287 (22,761) 9,421 (24,695) 12,708 Distributions to holders of redeemable units From net investment income (478) (43) (2,333) (3,226) (2,811) (3,269) From net realized gains - (158) (2) (1,673) (2) (1,831) Return of capital - (186) - (709) - (895) Total distributions to holders of redeemable units (478) (387) (2,335) (5,608) (2,813) (5,995)

Redeemable unit transactions Proceeds from redeemable units issued 10,004 2,213 6,280 217,292 16,284 219,505 Reinvestment of distributions to holders of redeemable units 100 138 549 1,634 649 1,772 Redemption of redeemable units (3,758) (22,248) (198,729) (2,182) (202,487) (24,430) Net increase (decrease) from redeemable unit transactions 6,346 (19,897) (191,900) 216,744 (185,554) 196,847 Net increase (decrease) in net assets attributable to holders of redeemable units 3,934 (16,997) (216,996) 220,557 (213,062) 203,560 Net assets attributable to holders of redeemable units at the end of year 13,042 9,108 4,566 221,562 17,608 230,670

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

Annual Financial Statements - December 31, 2020 – 346 – CI First Asset MSCI International Low Risk Weighted ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (24,695) 12,708 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 21,266 (3,050) Unrealized foreign exchange (gain) loss on cash (9) 5 Commissions and other portfolio transaction costs 250 424 Change in unrealized (appreciation) depreciation in value of investments and derivatives 5,785 (6,476) Proceeds from sale and maturity of investments and derivatives 211,523 78,982 Purchase of investments and derivatives (26,119) (272,915) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 187 (403) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (109) 110 Amortization interest earned - - Change in other accounts receivable and payable (25) 31 Net cash from (used in) operating activities 188,054 (190,584)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,163) (4,223) Proceeds from issuance of redeemable units 16,283 219,505 Amounts paid on redemption of redeemable units (202,488) (24,430) Net cash from (used in) financing activities (188,368) 190,852

Unrealized foreign exchange gain (loss) on cash 9 (5) Net increase (decrease) in cash (314) 268 Cash (bank overdraft), beginning of year 371 108 Cash (bank overdraft), end of year 66 371

Supplementary Information: Dividends received, net of withholding tax* 3,004 3,230 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (7) (6) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 347 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Australia AUD 7,563 AGL Energy Ltd. 108,554 88,849 AUD 2,210 ASX Ltd. 162,839 156,428 AUD 81,269 AusNet Services 137,435 140,214 AUD 9,705 Brambles Ltd. 102,532 101,133 AUD 1,369 Commonwealth Bank of Australia 92,471 110,507 AUD 275 CSL Ltd. 71,230 76,557 AUD 9,145 Dexus 101,041 84,509 AUD 15,024 Insurance Australia Group Ltd. 97,262 69,418 AUD 33,301 Medibank Private Ltd. 86,740 98,540 AUD 922 Rio Tinto Ltd. 89,300 103,176 AUD 2,491 Sonic Healthcare Ltd. 64,995 78,731 AUD 8,808 Suncorp Group Ltd. 97,340 84,339 AUD 25,445 Telstra Corp. Ltd. 74,437 74,543 AUD 2,356 Wesfarmers Ltd. 85,173 116,734 AUD 4,039 Woolworths Group Ltd. 130,342 156,086 1,501,691 1,539,764 8.74 Belgium EUR 1,151 Colruyt Group 95,182 86,964 EUR 650 Groupe Bruxelles Lambert SA 77,683 83,611 EUR 211 Sofina SA 79,072 91,107 251,937 261,682 1.49 Denmark DKK 506 Carlsberg AS, Series ‘B’ 90,121 103,338 DKK 459 Coloplast AS, Class ‘B’ 89,080 89,356 DKK 969 Novo Nordisk AS, Series ‘B’ 84,723 86,579 DKK 2,870 Tryg AS 114,683 115,458 378,607 394,731 2.24

Finland EUR 994 Kone OYJ, Class ‘B’ 95,286 102,976 0.58

France EUR 515 Air Liquide SA 88,452 107,773 EUR 1,244 Alstom SA 74,071 90,384 EUR 2,279 Bureau Veritas SA 64,911 77,303 EUR 1,175 Danone 120,055 98,466 EUR 81 Hermes International 79,258 111,061 EUR 643 Legrand SA 61,505 73,169 EUR 197 L’Oreal SA 73,656 95,442 EUR 4,661 Orange SA 91,917 70,723 EUR 330 Pernod-Ricard SA 76,979 80,659 EUR 679 Sanofi 91,164 83,298 EUR 2,342 Vivendi SA 76,091 96,306 898,059 984,584 5.59 Germany EUR 676 Beiersdorf AG 101,395 99,516 EUR 342 Deutsche Boerse AG 71,480 74,236 EUR 3,802 Deutsche Telekom AG, Registered 84,477 88,632 EUR 1,345 Deutsche Wohnen SE 84,166 91,600 EUR 741 Henkel AG & Co. KGaA 90,247 91,077 EUR 652 Henkel AG & Co. KGaA, Preferred 86,149 93,808 EUR 522 LEG Immobilien GmbH 91,434 103,388 EUR 433 Merck KGaA 71,540 94,731

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

Annual Financial Statements - December 31, 2020 – 348 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Germany (cont’d) EUR 802 Scout24 AG 79,715 83,823 EUR 652 Symrise AG 88,431 110,171 EUR 1,005 Vonovia SE 73,315 93,620 922,349 1,024,602 5.82 Hong Kong HKD 18,510 BOC Hong Kong (Holdings) Ltd. 71,557 71,470 HKD 10,680 CK Asset Holdings Ltd. 78,238 69,840 HKD 7,770 CK Hutchison Holdings Ltd. 94,711 69,067 HKD 12,019 CK Infrastructure Holdings Ltd. 109,991 82,250 HKD 14,988 CLP Holdings Ltd. 207,672 176,569 HKD 21,608 Hang Lung Properties Ltd. 64,375 72,604 HKD 4,102 Hang Seng Bank Ltd. 116,244 90,111 HKD 15,869 Henderson Land Development Co. Ltd. 78,922 78,873 HKD 261,025 HK Electric Investments & HK Electric Investments Ltd 347,956 327,233 HKD 80,871 HKT Trust and HKT Ltd. 156,760 133,673 HKD 82,143 Hong Kong & China Gas Co. Ltd. 203,864 156,290 USD 15,812 Hongkong Land Holdings Ltd. 113,746 83,197 USD 1,299 Jardine Matheson Holdings Ltd. 93,291 92,676 USD 2,540 Jardine Strategic Holdings Ltd. 96,297 80,511 HKD 7,933 Link REIT 108,799 92,023 HKD 21,463 MTR Corp. Ltd. 165,590 152,873 HKD 159,903 PCCW Ltd. 125,567 122,695 HKD 21,820 Power Assets Holdings Ltd. 182,301 150,576 HKD 4,756 Sun Hung Kai Properties Ltd. 76,916 78,144 2,492,797 2,180,675 12.38

Ireland EUR 522 Kerry Group PLC, Class ‘A’ 83,463 96,423 0.55

Israel ILS 10,598 Bank Hapoalim Ltd. 99,142 92,471 ILS 14,291 Bank Leumi Le Israel 119,420 107,172 USD 627 Check Point Software Technologies Ltd. 95,538 106,168 ILS 577 Elbit Systems Ltd. 104,775 96,867 ILS 2,893 Mizrahi Tefahot Bank Ltd. 84,452 85,232 503,327 487,910 2.77 Italy EUR 10,903 Snam SPA 73,160 78,197 EUR 9,527 Terna SPA 80,537 92,817 153,697 171,014 0.97 Japan JPY 1,022 ABC-Mart Inc. 69,115 72,387 JPY 3,046 Ajinomoto Co. Inc. 72,874 87,858 JPY 2,020 Bridgestone Corp. 92,280 84,349 JPY 2,109 Calbee Inc. 80,882 80,935 JPY 2,901 Canon Inc. 100,779 70,807 JPY 5,023 Chubu Electric Power Co. Inc. 78,522 77,043 JPY 9,057 Chugoku Electric Power Co. Inc. (The) 157,419 135,117 JPY 991 East Japan Railway Co. 115,251 84,193 JPY 7,934 Japan Post Bank Co. Ltd. 102,532 82,923 JPY 9,049 Japan Post Holdings Co. Ltd. 118,115 89,641 JPY 4,509 Japan Tobacco Inc. 122,560 116,955 JPY 828 Kao Corp. 80,370 81,431

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

Annual Financial Statements - December 31, 2020 – 349 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Japan (cont’d) JPY 2,133 KDDI Corp. 83,888 80,698 JPY 1,311 Keihan Holdings Co. Ltd. 83,585 79,996 JPY 6,758 Kyushu Electric Power Co. Inc. 74,014 74,051 JPY 2,600 Kyushu Railway Co. 92,161 71,384 JPY 1,222 Lawson Inc. 71,854 72,454 JPY 1,792 McDonald’s Holdings Co. (Japan) Ltd. 117,968 110,563 JPY 928 Meiji Holdings Co. Ltd. 94,435 83,135 JPY 2,581 Mitsubishi Corp. 82,822 80,927 JPY 4,910 Mizuho Financial Group Inc. 98,313 79,218 JPY 2,815 Nagoya Railroad Ltd. 102,705 94,551 JPY 18 Nippon Prologis REIT Inc. 58,597 71,520 JPY 3,439 Nippon Telegraph & Telephone Corp. 106,741 112,264 JPY 769 Nissin Foods Holdings Co. Ltd. 82,405 83,884 JPY 307 Nitori Holdings Co. Ltd. 84,840 81,902 JPY 355 Oriental Land Co. Ltd. 66,236 74,645 JPY 3,656 Osaka Gas Co. Ltd. 89,073 95,280 JPY 566 Rinnai Corp. 66,772 83,671 JPY 990 SECOM Co. Ltd. 110,305 116,262 JPY 3,292 Sekisui House Ltd. 92,898 85,306 JPY 2,085 Seven & I Holdings Co. Ltd. 96,525 94,139 JPY 1,930 Suntory Beverage & Food Ltd. 105,113 86,926 JPY 7,299 Tohoku Electric Power Co. Inc. 97,624 76,557 JPY 3,043 Tokyo Gas Co. Ltd. 99,427 89,518 JPY 1,296 Toyo Suisan Kaisha Ltd. 91,159 80,280 JPY 935 Toyota Motor Corp. 81,238 91,804 3,421,397 3,214,574 18.26 Netherlands EUR 648 Heineken Holding NV 83,433 77,829 EUR 572 Heineken NV 79,372 81,335 EUR 2,724 Koninklijke Ahold Delhaize NV 101,331 98,129 EUR 376 Koninklijke DSM NV 80,050 82,524 EUR 1,360 Koninklijke Vopak NV 100,305 91,138 EUR 986 Wolters Kluwer NV 96,347 106,144 540,838 537,099 3.05 New Zealand NZD 16,526 Mercury NZ Ltd. 66,792 98,988 NZD 23,756 Spark New Zealand Ltd. 92,104 102,417 158,896 201,405 1.14 Norway NOK 3,640 Gjensidige Forsikring ASA 93,934 103,667 NOK 11,641 Orkla ASA 137,808 150,698 NOK 5,460 Telenor ASA 126,053 118,534 357,795 372,899 2.12

Portugal EUR 11,485 Energias de Portugal SA 79,570 92,307 0.53

Singapore SGD 26,509 Ascendas REIT 77,237 76,149 SGD 27,667 CapitaLand Ltd. 87,170 87,476 SGD 3,425 DBS Group Holdings Ltd. 77,596 82,670 SGD 11,038 Oversea-Chinese Banking Corp. Ltd. 111,371 107,039 SGD 19,297 Singapore Airlines Ltd. 125,056 79,613

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

Annual Financial Statements - December 31, 2020 – 350 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Singapore (cont’d) SGD 14,960 Singapore Exchange Ltd. 115,016 133,823 SGD 26,046 Singapore Technologies Engineering Ltd. 99,681 95,909 SGD 54,449 Singapore Telecommunications Ltd. 154,215 121,242 SGD 4,359 United Overseas Bank Ltd. 99,487 94,920 SGD 13,587 UOL Group Ltd. 90,372 100,979 SGD 19,736 Wilmar International Ltd. 73,387 88,464 1,110,588 1,068,284 6.07 Spain EUR 5,405 Iberdrola SA 68,531 98,576 EUR 3,825 Red Electrica Corp. SA 101,804 100,020 170,335 198,596 1.13 Sweden SEK 2,320 Essity AB, Class ‘B’ 103,488 95,193 SEK 1,939 Industrivarden AB, Series ‘A’ 77,906 82,478 SEK 2,026 Industrivarden AB, Series ‘C’ 60,944 83,444 SEK 970 Investor AB, Series ‘B’ 64,172 90,164 SEK 1,273 L E Lundbergforetagen AB, Series ‘B’ 63,442 87,009 SEK 15,572 Telia Co. AB 86,909 82,036 456,861 520,324 2.96 Switzerland CHF 1,152 Banque Cantonale Vaudoise 154,834 159,890 CHF 37 Barry Callebaut AG 103,434 112,199 CHF 25 Chocoladefabriken Lindt & Sprungli AG 249,826 310,950 CHF 91 Ems-Chemie Holding AG, Registered 95,517 111,875 CHF 133 Geberit AG, Registered 83,535 106,233 CHF 29 Givaudan SA, Registered 116,179 155,901 CHF 373 Kuehne + Nagel International AG, Registered 75,834 107,948 CHF 1,216 Nestle SA, Registered 169,413 182,722 CHF 942 Novartis AG, Registered 108,287 113,569 CHF 238 Roche Holding AG Genusscheine 92,484 105,993 CHF 279 Schindler Holding AG 91,175 95,944 CHF 310 Schindler Holding AG, Registered 94,047 106,515 CHF 29 SGS SA, Registered 98,559 111,597 CHF 1,112 Swiss Prime Site AG, Registered 131,205 139,273 CHF 214 Swisscom AG 141,954 147,152 CHF 129 Zurich Insurance Group AG 59,368 69,442 1,865,651 2,137,203 12.14 U.K. GBP 2,499 Admiral Group PLC 95,858 126,469 GBP 2,080 Bunzl PLC 79,083 88,493 GBP 1,218 Croda International PLC 107,636 139,910 GBP 2,067 Diageo PLC 110,039 103,598 GBP 4,440 GlaxoSmithKline PLC 119,295 103,767 GBP 2,191 Halma PLC 87,534 93,444 GBP 11,163 HSBC Holdings PLC 99,293 73,650 GBP 6,311 National Grid PLC 92,521 95,068 GBP 737 Reckitt Benckiser Group PLC 84,397 83,965 GBP 2,688 RELX PLC 82,480 83,909 GBP 7,539 SEGRO PLC 97,427 124,412 GBP 2,158 Severn Trent PLC 90,557 86,024 GBP 491 Spirax-Sarco Engineering PLC 84,918 96,581 GBP 23,062 Tesco PLC 89,993 92,936 GBP 2,960 Unilever PLC 228,840 226,401

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

Annual Financial Statements - December 31, 2020 – 351 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) U.K. (cont’d) GBP 5,059 United Utilities Group PLC 79,226 78,851 GBP 37,638 William Morrison Supermarkets PLC 121,228 116,246 1,750,325 1,813,724 10.30 Total Equities 17,193,469 17,400,776 98.83 Adjustment for transaction costs (22,883) Total Investments 17,170,586 17,400,776 98.83 Total unrealized gain on forward foreign currency contract(s) 5,358 0.03 Total unrealized loss on forward foreign currency contract(s) (98,562) (0.56) Other Net Assets (Liabilities) 300,028 1.70 Net Assets Attributable to Holders of Redeemable Units 17,607,600 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Canadian Imperial Bank of Commerce A-1 January 19, 2021 CAD 1,146,313 AUD 1,190,000 1.04 (23,674) Canadian Imperial Bank of Commerce A-1 January 19, 2021 CAD 1,321,280 GBP 775,000 1.70 (28,455) Citibank N.A., New York A-1 January 19, 2021 CAD 2,537,713 EUR 1,635,000 1.55 (11,684) HSBC Bank, Toronto A-1 January 19, 2021 CAD 140,260 NZD 155,000 0.90 (1,924) HSBC Bank, Toronto A-1 January 19, 2021 CAD 784,638 SGD 820,000 0.96 (5,760) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 284,852 DKK 1,365,000 0.21 (1,081) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 1,442,189 HKD 8,750,000 0.16 4,520 Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 274,549 ILS 700,000 0.39 (3,257) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 268,936 NOK 1,840,000 0.15 (4,834) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 261,898 USD 205,000 1.28 742 Royal Bank of Canada A-1+ January 19, 2021 CAD 17,888 ILS 45,000 0.40 29 Royal Bank of Canada A-1+ January 19, 2021 CAD 13,741 NZD 15,000 0.92 (19) Royal Bank of Canada A-1+ January 19, 2021 ILS 30,000 CAD 11,880 2.53 26 Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 1,550,012 CHF 1,075,000 1.44 41 Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 2,396,041 JPY 194,975,000 0.01 (10,161) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 375,504 SEK 2,470,000 0.15 (7,713) (93,204)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 352 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 5 (5) - - Derivative assets - Swaps and swaptions - - - - Total 5 (5) - - Derivative liabilities - Foreign currency forward contracts (98) 5 - (93) Derivative liabilities - Swaps and swaptions - - - - Total (98) 5 - (93) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 116 (16) - 100 Derivative assets - Swaps and swaptions - - - - Total 116 (16) - 100 Derivative liabilities - Foreign currency forward contracts (16) 16 - - Derivative liabilities - Swaps and swaptions - - - - Total (16) 16 - -

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

Annual Financial Statements - December 31, 2020 – 353 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 156 424 Soft dollar commissions† 10 40

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 400,000 1,350,000 9,900,000 50,000 Redeemable units issued for cash 450,000 100,000 300,000 9,950,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (200,000) (1,050,000) (9,965,000) (100,000) Number of redeemable units at the end of year 650,000 400,000 235,000 9,900,000

Annual Financial Statements - December 31, 2020 – 354 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 580 1,895 Collateral (non-cash) 626 2,002

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

2020 2019 Gross securities lending revenue 13 13 Charges (5) (5) Securities lending revenue 8 8 Charges as a % of gross securities lending revenue 40.2 40.0

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

2020 Capital loss carried forward: 20,790 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 355 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Other Price Risk (cont’d)

Impact on Net Assets Attributable to Holders of Redeemable Units Concentration Risk as at December 31, 2019 For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Benchmark ($) MSCI EAFE Risk Weighted Top 175 Total Return Index 20,982,761 The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019 Currency Risk Categories Net Assets (%) The tables below summarize the Fund’s exposure to currency risk. Japan 17.97 Switzerland 11.61 Common Units France 9.81 Singapore 9.76 as at December 31, 2020~ U.K. 9.22 Financial Instruments Net Net Hong Kong 8.98 Exposure Derivatives Exposure Assets Australia 8.58 Currency (in $000’s) (in $000’s) (in $000’s) (%) Germany 5.33 Swiss Franc 1,718 (1,550) 168 1.3 Sweden 2.81 Euro 2,601 (2,549) 52 0.4 Netherlands 2.71 Swedish Krona 402 (383) 19 0.1 Israel 2.34 Danish Krone 303 (286) 17 0.1 Spain 2.08 U.S. Dollar 271 (261) 10 0.1 Norway 1.60 Singapore Dollar 798 (790) 8 0.1 Denmark 1.38 Norwegian Krone 279 (274) 5 0.0 Belgium 1.37 British Pound 1,353 (1,350) 3 0.0 Finland 1.10 Israeli Shekel 285 (284) 1 0.0 Ireland 1.04 New Zealand Dollar 152 (156) (4) 0.0 New Zealand 1.00 Hong Kong Dollar 1,432 (1,438) (6) 0.0 Italy 0.98 Japanese Yen 2,395 (2,406) (11) (0.1) Other Net Assets (Liabilities) 0.29 Australian Dollar 1,150 (1,170) (20) (0.2) Total unrealized gain on forward foreign currency contract(s) 0.05 Total 13,139 (12,897) 242 1.8 Total unrealized loss on forward foreign currency contract(s) (0.01) Total 100.00 as at December 31, 2019~ Financial Instruments Net Net Credit Risk Exposure Derivatives Exposure Assets As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Currency (in $000’s) (in $000’s) (in $000’s) (%) was insignificant. Swedish Krona 257 - 257 2.8 Israeli Shekel 214 - 214 2.3 Norwegian Krone 146 - 146 1.6 Other Price Risk Danish Krone 127 - 127 1.4 As at December 31, 2020 and 2019, the Fund was predominantly invested in foreign equities and U.S. Dollar 121 - 121 1.3 therefore was sensitive to changes in general economic conditions across the world. New Zealand Dollar 92 - 92 1.0 Hong Kong Dollar 698 (674) 24 0.3 The table below indicates how net assets attributable to holders of redeemable units would have Swiss Franc 1,059 (1,042) 17 0.2 increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Euro 2,131 (2,118) 13 0.1 change is estimated based on the historical correlation between the return of the Fund’s securities as British Pound 937 (943) (6) (0.1) compared to the return of the benchmark(s), as at year end, with all other variables held constant. The Singapore Dollar 891 (897) (6) (0.1) historical correlation may not be representative of the future correlation, and accordingly the impact on Japanese Yen 1,641 (1,650) (9) (0.1) net assets attributable to holders of redeemable units could be different. Australian Dollar 787 (808) (21) (0.2) Total 9,101 (8,132) 969 10.5 Impact on Net Assets Attributable to Holders of Redeemable Units

as at December 31, 2020 ~Includes monetary and non-monetary instruments, if any. Benchmark ($) MSCI EAFE Risk Weighted Top 175 Total Return Index 1,678,643

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

Annual Financial Statements - December 31, 2020 – 356 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d) Interest Rate Risk As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables substantially all of its assets were invested in equities and derivatives. held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $24,000 (December 31, 2019 - $97,000). In practice, actual results may differ from this analysis and the difference may be material. Fair Value Hierarchy

Unhedged Common Units The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value. as at December 31, 2020~ Financial Instruments Net Net Long Positions at fair value as at December 31, 2020 Exposure Derivatives Exposure Assets Level 1 Level 2 Level 3 Total Currency (in $000’s) (in $000’s) (in $000’s) (%) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Euro 910 - 910 19.9 Equities 17,401 - - 17,401 Japanese Yen 838 - 838 18.4 Derivatives, net - (93) - (93) Swiss Franc 601 - 601 13.2 Total 17,401 (93) - 17,308 Hong Kong Dollar 502 - 502 11.0 British Pound 474 - 474 10.4 Australian Dollar 402 - 402 8.8 Long Positions at fair value as at December 31, 2019 Singapore Dollar 279 - 279 6.1 Level 1 Level 2 Level 3 Total Swedish Krona 141 - 141 3.1 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Danish Krone 106 - 106 2.3 Equities 229,907 - - 229,907 Israeli Shekel 100 - 100 2.2 Derivatives, net - 100 - 100 Norwegian Krone 98 - 98 2.1 Total 229,907 100 - 230,007 U.S. Dollar 95 - 95 2.1 New Zealand Dollar 53 - 53 1.2 There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. Total 4,599 - 4,599 100.8 as at December 31, 2019~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 51,846 - 51,846 23.4 Japanese Yen 39,927 - 39,927 18.0 Swiss Franc 25,767 - 25,767 11.6 British Pound 22,803 - 22,803 10.3 Singapore Dollar 21,687 - 21,687 9.8 Australian Dollar 19,145 - 19,145 8.6 Hong Kong Dollar 16,986 - 16,986 7.7 Swedish Krona 6,254 - 6,254 2.8 Israeli Shekel 5,207 - 5,207 2.4 Norwegian Krone 3,560 - 3,560 1.6 Danish Krone 3,082 - 3,082 1.4 U.S. Dollar 2,941 - 2,941 1.3 New Zealand Dollar 2,234 - 2,234 1.0 Total 221,439 - 221,439 99.9

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

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $460,000 (December 31, 2019 - $22,144,000). In practice, actual results may differ from this analysis and the difference may be material.

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

Annual Financial Statements - December 31, 2020 – 357 – CI First Asset MSCI USA Low Risk Weighted ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 14,053 15,908 18.32 18.35 766,898 866,898 Current assets Unhedged Investments 23,687 44,472 Common Units 10,024 29,119 22.28 22.40 449,996 1,299,996 Investments pledged as collateral - - Cash 346 87 Unrealized gain on futures and foreign currency forward contracts 39 553 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - 6 Cash collateral on deposit for short sale - - Dividends receivable 24 85 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 24,096 45,203 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 139 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 12 23 Accounts payable and accrued liabilities 7 14 19 176 Net assets attributable to holders of redeemable units 24,077 45,027

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

Annual Financial Statements - December 31, 2020 – 358 – CIG - 580530217 CI First Asset MSCI USA Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (70) 3,296 (0.09) 3.90 811,160 845,665 Net gain (loss) on investments and derivatives Unhedged Dividends 642 1,013 Common Units (840) 4,631 (1.27) 3.83 661,062 1,209,037 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 2,353 3,247 Change in unrealized appreciation (depreciation) in value of investments and derivatives (3,617) 4,007 Total net gain (loss) on investments and derivatives (622) 8,267 Other income Foreign exchange gain (loss) on cash 13 (4) Securities lending revenue (Note 6) 1 1 Fees rebate 12 49 Miscellaneous foreign income - 45 Other income 1 - Total other income 27 91 Total income (595) 8,358 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 170 242 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 41 23 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 84 144 Harmonized sales tax 20 22 Other expenses - - Total expenses 315 431 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (910) 7,927

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

Annual Financial Statements - December 31, 2020 – 359 – CI First Asset MSCI USA Low Risk Weighted ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 15,908 12,728 29,119 19,645 45,027 32,373 Increase (decrease) in net assets attributable to holders of redeemable units (70) 3,296 (840) 4,631 (910) 7,927 Distributions to holders of redeemable units From net investment income (210) (117) (181) (548) (391) (665) From net realized gains - (127) - (648) - (775) Return of capital - - (20) (12) (20) (12) Total distributions to holders of redeemable units (210) (244) (201) (1,208) (411) (1,452)

Redeemable unit transactions Proceeds from redeemable units issued - 8,132 1,991 11,861 1,991 19,993 Reinvestment of distributions to holders of redeemable units 31 43 23 779 54 822 Redemption of redeemable units (1,606) (8,047) (20,068) (6,589) (21,674) (14,636) Acquisition of assets from terminated funds ------Net increase (decrease) from redeemable unit transactions (1,575) 128 (18,054) 6,051 (19,629) 6,179 Net increase (decrease) in net assets attributable to holders of redeemable units (1,855) 3,180 (19,095) 9,474 (20,950) 12,654 Net assets attributable to holders of redeemable units at the end of year 14,053 15,908 10,024 29,119 24,077 45,027

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

Annual Financial Statements - December 31, 2020 – 360 – CI First Asset MSCI USA Low Risk Weighted ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (910) 7,927 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (2,353) (3,247) Unrealized foreign exchange (gain) loss on cash (1) 2 Commissions and other portfolio transaction costs 41 3 Change in unrealized (appreciation) depreciation in value of investments and derivatives 3,617 (4,007) Proceeds from sale and maturity of investments and derivatives 14,746 9,226 Purchase of investments and derivatives (13,435) (9,294) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 61 (15) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (11) 5 Amortization interest earned - - Change in other accounts receivable and payable (2) (1) Net cash from (used in) operating activities 1,753 599

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (356) (632) Proceeds from issuance of redeemable units 2 336 Amounts paid on redemption of redeemable units (1,141) (257) Net cash from (used in) financing activities (1,495) (553)

Unrealized foreign exchange gain (loss) on cash 1 (2) Net increase (decrease) in cash 258 46 Cash (bank overdraft), beginning of year 87 43 Cash (bank overdraft), end of year 346 87

Supplementary Information: Dividends received, net of withholding tax* 619 854 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 361 – CI First Asset MSCI USA Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services USD 72 Alphabet Inc., Class ‘A’ 142,715 160,766 USD 71 Alphabet Inc., Class ‘C’ 140,390 158,465 USD 4,536 AT&T Inc. 198,007 166,200 USD 56 Cable One Inc. 145,969 158,934 USD 2,621 Comcast Corp., Class ‘A’ 143,502 174,972 USD 849 Electronic Arts Inc. 140,564 155,321 USD 864 T-Mobile US Inc. 148,858 148,434 USD 3,869 Verizon Communications Inc. 300,705 289,585 USD 699 Walt Disney Co. (The) 113,910 161,346 1,474,620 1,574,023 6.54 Consumer Discretionary USD 644 Dollar General Corp. 172,764 172,542 USD 986 Garmin Ltd. 123,248 150,313 USD 666 McDonald’s Corp. 159,459 182,067 USD 1,040 Starbucks Corp. 111,402 141,744 566,873 646,666 2.69 Consumer Staples USD 2,564 Altria Group Inc. 138,341 133,928 USD 2,512 Archer-Daniels-Midland Co. 136,757 161,327 USD 1,382 Brown-Forman Corp., Class ‘B’ 104,786 139,850 USD 1,489 Church & Dwight Co. Inc. 155,237 165,474 USD 873 Clorox Co. (The) 194,350 224,576 USD 2,434 Coca-Cola Co. (The) 155,440 170,054 USD 2,369 Colgate-Palmolive Co. 227,009 258,078 USD 445 Costco Wholesale Corp. 164,625 213,608 USD 2,308 General Mills Inc. 197,226 172,895 USD 921 Hershey Co. (The) 158,923 178,737 USD 4,284 Hormel Foods Corp. 264,264 254,388 USD 1,216 J.M. Smucker Co. (The) 189,787 179,086 USD 2,210 Kellogg Co. 196,596 175,211 USD 3,868 Keurig Dr Pepper Inc. 149,760 157,691 USD 998 Kimberly-Clark Corp. 179,216 171,430 USD 1,462 McCormick & Co. Inc. 149,697 178,063 USD 2,852 Mondelez International Inc., Class ‘A’ 201,641 212,448 USD 1,102 PepsiCo Inc. 181,635 208,205 USD 1,381 Procter & Gamble Co. (The) 196,880 244,802 USD 1,185 Walmart Inc. 205,980 217,622 3,548,150 3,817,473 15.86 Financials USD 974 Allstate Corp. (The) 126,916 136,410 USD 460 Aon PLC 103,286 123,813 USD 1,014 Arthur J. Gallagher & Co. 107,203 159,813 USD 622 Berkshire Hathaway Inc., Class ‘B’ 162,541 183,740 USD 2,764 Brown & Brown Inc. 140,428 166,947 USD 588 Chubb Ltd. 110,205 115,303 USD 776 CME Group Inc. 195,832 179,979 USD 602 Erie Indemnity Co., Class ‘A’ 160,029 188,362 USD 319 FactSet Research Systems Inc. 135,866 135,130 USD 1,594 Intercontinental Exchange Inc. 192,769 234,126 USD 1,093 Marsh & McLennan Cos. Inc. 136,737 162,920 USD 229 MSCI Inc. 104,174 130,273 USD 900 Nasdaq Inc. 115,868 152,200 USD 1,306 Progressive Corp. (The) 119,552 164,521 USD 343 S&P Global Inc. 112,726 143,649

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

Annual Financial Statements - December 31, 2020 – 362 – CI First Asset MSCI USA Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Financials (cont’d) USD 672 Travelers Cos. Inc. (The) 115,623 120,175 USD 468 Willis Towers Watson PLC 121,669 125,614 2,261,424 2,622,975 10.89 Health Care USD 1,058 Abbott Laboratories 138,878 147,581 USD 1,139 Agilent Technologies Inc. 138,907 171,939 USD 503 Amgen Inc. 157,866 147,338 USD 1,968 Baxter International Inc. 210,186 201,180 USD 595 Becton, Dickinson and Co. 191,024 189,674 USD 1,921 Bristol-Myers Squibb Co. 158,000 151,809 USD 1,349 Cerner Corp. 130,850 134,878 USD 311 Cooper Cos. Inc. (The) 136,237 143,952 USD 638 Danaher Corp. 108,000 180,558 USD 778 Eli Lilly and Co. 162,012 167,349 USD 1,774 Gilead Sciences Inc. 139,499 131,672 USD 1,249 Johnson & Johnson 226,536 250,428 USD 940 Medtronic PLC 120,866 140,282 USD 2,055 Merck & Co. Inc. 213,177 214,159 USD 81 Mettler-Toledo International Inc. 89,198 117,608 USD 820 PerkinElmer Inc. 114,057 149,912 USD 3,819 Pfizer Inc. 194,170 179,096 USD 570 STERIS PLC 130,705 137,640 USD 280 Thermo Fisher Scientific Inc. 102,774 166,153 USD 419 Waters Corp. 115,807 132,074 USD 345 West Pharmaceutical Services Inc. 123,025 124,523 USD 710 Zoetis Inc. 137,300 149,701 3,239,074 3,529,506 14.66 Industrials USD 637 3M Co. 137,755 141,849 USD 831 Ametek Inc. 99,624 128,038 USD 1,270 C.H. Robinson Worldwide Inc. 142,693 151,880 USD 1,178 Emerson Electric Co. 99,560 120,617 USD 1,329 Expeditors International of Washington Inc. 140,984 161,035 USD 598 Idex Corp. 122,125 151,761 USD 1,243 IHS Markit Ltd. 105,308 142,253 USD 492 Illinois Tool Works Inc. 117,432 127,794 USD 295 Lockheed Martin Corp. 134,101 133,412 USD 414 Northrop Grumman Corp. 174,639 160,720 USD 1,101 PACCAR Inc. 124,230 121,023 USD 1,527 Republic Services Inc. 154,905 187,342 USD 3,171 Rollins Inc. 122,593 157,837 USD 342 Roper Technologies Inc. 153,017 187,829 USD 454 Union Pacific Corp. 106,677 120,434 USD 744 Verisk Analytics Inc. 128,891 196,765 USD 1,530 Waste Connections Inc. 178,844 199,932 USD 1,387 Waste Management Inc. 183,920 208,387 2,427,298 2,798,908 11.62 Information Technology USD 544 Accenture PLC, Class ‘A’ 132,312 181,033 USD 250 Adobe Inc. 134,177 159,288 USD 979 Akamai Technologies Inc. 131,334 130,948 USD 741 Amphenol Corp., Class ‘A’ 91,970 123,451 USD 316 ANSYS Inc. 138,441 146,460 USD 560 Automatic Data Processing Inc. 106,612 125,708

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

Annual Financial Statements - December 31, 2020 – 363 – CI First Asset MSCI USA Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Information Technology (cont’d) USD 1,354 Black Knight Inc. 144,200 152,403 USD 1,193 Booz Allen Hamilton Holding Corp. 134,194 132,503 USD 875 Broadridge Financial Solutions Inc. 136,755 170,780 USD 2,831 Cisco Systems Inc. 181,861 161,400 USD 989 Citrix Systems Inc. 141,160 163,924 USD 787 Fidelity National Information Services Inc. 132,425 141,833 USD 933 Fiserv Inc. 115,768 135,339 USD 878 International Business Machines Corp. 140,552 140,806 USD 692 Jack Henry & Associates Inc. 133,347 142,812 USD 4,719 Juniper Networks Inc. 133,192 135,330 USD 1,228 Maxim Integrated Products Inc. 98,200 138,690 USD 674 Microsoft Corp. 117,542 190,987 USD 2,981 Oracle Corp. 221,851 245,680 USD 1,083 Paychex Inc. 110,392 128,564 USD 435 Synopsys Inc. 109,004 143,668 USD 764 Texas Instruments Inc. 125,855 159,754 USD 352 Tyler Technologies Inc. 182,607 195,758 USD 616 VeriSign Inc. 180,048 169,827 USD 626 Visa Inc., Class ‘A’ 127,812 174,442 USD 4,171 Western Union Co. (The) 118,413 116,586 3,520,024 4,007,974 16.65 Materials USD 425 Air Products and Chemicals Inc. 111,710 147,935 USD 8,513 Amcor PLC 115,631 127,652 USD 961 Ball Corp. 69,462 114,082 USD 428 Ecolab Inc. 93,842 117,975 USD 411 Linde PLC 94,158 137,978 USD 618 PPG Industries Inc. 87,043 113,549 USD 139 Sherwin-Williams Co. (The) 134,672 130,142 706,518 889,313 3.69 Real Estate USD 711 Alexandria Real Estate Equities Inc. 137,779 161,434 USD 504 American Tower Corp. 123,680 144,125 USD 641 Crown Castle International Corp. 106,016 130,000 USD 764 Digital Realty Trust Inc. 149,203 135,790 USD 2,612 Duke Realty Corp. 109,865 133,008 USD 142 Equinix Inc. 93,231 129,201 USD 880 Extra Space Storage Inc. 117,729 129,893 USD 587 Public Storage Inc. 174,504 172,698 USD 336 SBA Communications Corp. 125,049 120,770 1,137,056 1,256,919 5.22 Utilities USD 2,176 Alliant Energy Corp. 141,101 142,853 USD 1,619 Ameren Corp. 152,425 161,007 USD 1,301 American Electric Power Co. Inc. 141,243 138,018 USD 640 American Water Works Co. Inc. 88,315 125,133 USD 1,494 Atmos Energy Corp. 197,495 181,637 USD 1,939 CMS Energy Corp. 143,351 150,712 USD 1,845 Consolidated Edison Inc. 202,885 169,874 USD 1,740 Dominion Energy Inc. 178,763 166,700 USD 1,246 Duke Energy Corp. 144,015 145,343 USD 2,203 Essential Utilities Inc. 129,251 132,725 USD 1,093 Eversource Energy 105,761 120,464 USD 2,309 Exelon Corp. 144,233 124,197

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

Annual Financial Statements - December 31, 2020 – 364 – CI First Asset MSCI USA Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Utilities (cont’d) USD 1,626 NextEra Energy Inc. 105,946 159,818 USD 4,374 NiSource Inc. 153,823 127,833 USD 1,631 Public Services Enterprise Group Inc. 122,162 121,141 USD 2,496 UGI Corp. 155,587 111,169 USD 1,086 WEC Energy Group Inc. 114,913 127,329 USD 1,616 Xcel Energy Inc. 118,202 137,259 2,539,471 2,543,212 10.56 Total Equities 21,420,508 23,686,969 98.38 Adjustment for transaction costs (2,281) Total Investments 21,418,227 23,686,969 98.38 Total unrealized gain on forward foreign currency contract(s) 38,915 0.16 Other Net Assets (Liabilities) 351,257 1.46 Net Assets Attributable to Holders of Redeemable Units 24,077,141 100.00

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 365 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 39 - - 39 Derivative assets - Swaps and swaptions - - - - Total 39 - - 39 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 553 (139) - 414 Derivative assets - Swaps and swaptions - - - - Total 553 (139) - 414 Derivative liabilities - Foreign currency forward contracts (139) 139 - - Derivative liabilities - Swaps and swaptions - - - - Total (139) 139 - -

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

Annual Financial Statements - December 31, 2020 – 366 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 4 3 Soft dollar commissions† - -

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 866,898 866,898 1,299,996 1,049,996 Redeemable units issued for cash - 450,000 100,000 550,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (100,000) (450,000) (950,000) (300,000) Redeemable units issued due to acquisition of assets from terminated funds - - - - Number of redeemable units at the end of year 766,898 866,898 449,996 1,299,996

Annual Financial Statements - December 31, 2020 – 367 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 639 2,092 Collateral (non-cash) 672 2,200

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

2020 2019 Gross securities lending revenue 2 2 Charges (1) (1) Securities lending revenue 1 1 Charges as a % of gross securities lending revenue 43.3 40.0

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

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

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

Annual Financial Statements - December 31, 2020 – 368 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

Concentration Risk Common Units For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2020~ The table below summarizes the Fund’s exposure to concentration risk. Financial Instruments Net Net Exposure Derivatives Exposure Assets as at December 31, 2019 Currency (in $000’s) (in $000’s) (in $000’s) (%) Categories Net Assets (%) U.S. Dollar 13,850 (13,695) 155 1.1 Utilities 24.78 Total 13,850 (13,695) 155 1.1 Financials 20.22 Real Estate 16.06 Industrials 8.20 as at December 31, 2019~ Consumer Staples 7.92 Financial Instruments Net Net Information Technology 7.47 Exposure Derivatives Exposure Assets Health Care 5.40 Currency (in $000’s) (in $000’s) (in $000’s) (%) Materials 3.02 U.S. Dollar 15,751 (15,499) 252 1.6 Consumer Discretionary 2.81 Total 15,751 (15,499) 252 1.6 Communication Services 1.84 Total unrealized gain on forward foreign currency contract(s) 1.23 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Energy 1.05 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables Other Net Assets (Liabilities) 0.31 held constant, net assets attributable to holders of redeemable Common Units would have decreased Total unrealized loss on forward foreign currency contract(s) (0.31) or increased, respectively, by approximately $16,000 (December 31, 2019 - $25,000). In practice, actual Total 100.00 results may differ from this analysis and the difference may be material.

Credit Risk Unhedged Common Units As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments was insignificant. as at December 31, 2020~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Other Price Risk Currency (in $000’s) (in $000’s) (in $000’s) (%) As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore U.S. Dollar 9,879 - 9,879 98.6 was sensitive to changes in general economic conditions in the United States. Total 9,879 - 9,879 98.6

The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This as at December 31, 2019~ change is estimated based on the historical correlation between the return of the Fund’s securities as compared to the return of the benchmark(s), as at year end, with all other variables held constant. The Financial Instruments Net Net historical correlation may not be representative of the future correlation, and accordingly the impact on Exposure Derivatives Exposure Assets net assets attributable to holders of redeemable units could be different. Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 28,832 - 28,832 99.0 Impact on Net Assets Attributable to Holders of Redeemable Units Total 28,832 - 28,832 99.0 as at December 31, 2020 ~ Benchmark ($) Includes monetary and non-monetary instruments, if any. MSCI USA Risk Weighted Top 150 Total Return Index 2,351,899 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units as at December 31, 2019 would have decreased or increased, respectively, by approximately $988,000 (December 31, 2019 - Benchmark ($) $2,883,000). In practice, actual results may differ from this analysis and the difference may be material. MSCI USA Risk Weighted Top 150 Total Return Index 3,561,764

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

Annual Financial Statements - December 31, 2020 – 369 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 23,687 - - 23,687 Derivatives, net - 39 - 39 Total 23,687 39 - 23,726

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 44,472 - - 44,472 Derivatives, net - 414 - 414 Total 44,472 414 - 44,886

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

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

Annual Financial Statements - December 31, 2020 – 370 – CI First Asset MSCI World ESG Impact ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 9,062 1,082 25.89 21.65 350,000 50,000 Current assets Unhedged Investments 62,199 21,282 Common Units 53,292 20,268 26.00 21.33 2,050,000 950,000 Investments pledged as collateral - - Cash 146 59 Unrealized gain on futures and foreign currency forward contracts 13 23 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 21 8 Cash collateral on deposit for short sale - - Dividends receivable 62 19 Interest receivable - - Receivable for investments sold 16 - Receivable for unit subscriptions - - 62,457 21,391 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 25 1 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 15 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 28 10 Accounts payable and accrued liabilities 35 30 103 41 Net assets attributable to holders of redeemable units 62,354 21,350

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

Annual Financial Statements - December 31, 2020 – 371 – CIG - 580530527 CI First Asset MSCI World ESG Impact ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 1,650 86 7.08 1.71 233,060 50,000 Net gain (loss) on investments and derivatives Unhedged Dividends 832 37 Common Units 8,160 108 5.42 0.37 1,506,284 295,455 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 3,722 (2) Change in unrealized appreciation (depreciation) in value of investments and derivatives 5,478 199 Total net gain (loss) on investments and derivatives 10,032 234 Other income Foreign exchange gain (loss) on cash 18 (5) Securities lending revenue (Note 6) 3 - Fees rebate 179 9 Miscellaneous foreign income - - Other income 16 9 Total other income 216 13 Total income 10,248 247 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 222 12 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 84 33 Securities borrowing fees (Note 2) - - Interest expense 2 - Withholding taxes 126 5 Harmonized sales tax 4 3 Other expenses - - Total expenses 438 53 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 9,810 194

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

Annual Financial Statements - December 31, 2020 – 372 – CI First Asset MSCI World ESG Impact ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 1,082 - 20,268 - 21,350 - Increase (decrease) in net assets attributable to holders of redeemable units 1,650 86 8,160 108 9,810 194 Distributions to holders of redeemable units From net investment income (62) - (566) (9) (628) (9) From net realized gains (682) - (3,026) - (3,708) - Return of capital - (3) (13) (60) (13) (63) Total distributions to holders of redeemable units (744) (3) (3,605) (69) (4,349) (72)

Redeemable unit transactions Proceeds from redeemable units issued 6,392 999 27,648 20,229 34,040 21,228 Reinvestment of distributions to holders of redeemable units 682 - 3,022 - 3,704 - Redemption of redeemable units - - (2,201) - (2,201) - Net increase (decrease) from redeemable unit transactions 7,074 999 28,469 20,229 35,543 21,228 Net increase (decrease) in net assets attributable to holders of redeemable units 7,980 1,082 33,024 20,268 41,004 21,350 Net assets attributable to holders of redeemable units at the end of year 9,062 1,082 53,292 20,268 62,354 21,350

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

Annual Financial Statements - December 31, 2020 – 373 – CI First Asset MSCI World ESG Impact ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 9,810 194 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (3,722) 2 Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 84 15 Change in unrealized (appreciation) depreciation in value of investments and derivatives (5,478) (199) Proceeds from sale and maturity of investments and derivatives 28,435 145 Purchase of investments and derivatives (60,203) (21,267) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (42) (19) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 18 10 Amortization interest earned - - Change in other accounts receivable and payable (8) 22 Net cash from (used in) operating activities (31,106) (21,097)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (645) (72) Proceeds from issuance of redeemable units 34,039 21,228 Amounts paid on redemption of redeemable units (2,201) - Net cash from (used in) financing activities 31,193 21,156

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 87 59 Cash (bank overdraft), beginning of year 59 - Cash (bank overdraft), end of year 146 59

Supplementary Information: Dividends received, net of withholding tax* 664 13 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (2) - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 374 – CI First Asset MSCI World ESG Impact ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Australia AUD 32,527 Dexus 310,659 300,581 AUD 58,064 GPT Group 259,906 256,868 AUD 115,340 Vicinity Centres 181,593 181,989 752,158 739,438 1.19 Belgium EUR 1,651 Colruyt Group 126,235 124,742 EUR 5,876 Umicore SA 339,265 359,878 465,500 484,620 0.78 Denmark DKK 1,054 Genmab AS, Bearer 429,014 543,652 DKK 1,123 H. Lundbeck AS 50,754 49,105 DKK 27,755 Novo Nordisk AS, Series ‘B’ 2,346,239 2,479,870 DKK 5,639 Orsted AS 875,472 1,468,466 DKK 5,870 Vestas Wind Systems AS 906,775 1,769,562 4,608,254 6,310,655 10.12 France EUR 1,549 Covivio 135,129 181,939 EUR 18,420 Danone 1,752,292 1,543,619 EUR 3,938 Dassault Systemes SA 937,630 1,019,923 EUR 1,367 Gecina SA 275,451 269,131 EUR 5,811 Klepierre SA 183,564 166,580 EUR 61,926 Valeo SA 2,405,121 3,116,002 5,689,187 6,297,194 10.10 Hong Kong HKD 46,040 MTR Corp. Ltd. 337,418 327,926 HKD 34,875 Swire Properties Ltd. 135,347 129,215 472,765 457,141 0.73 Ireland USD 894 Jazz Pharmaceuticals PLC 159,714 187,985 EUR 4,595 Kingspan Group PLC 388,154 411,139 547,868 599,124 0.96 Japan JPY 30,009 Astellas Pharma Inc. 624,099 590,256 JPY 4,298 Central Japan Railway Co. 999,444 773,788 JPY 10,826 Chugai Pharmaceutical Co. Ltd. 585,951 735,136 JPY 27,428 Daiichi Sankyo Co. Ltd. 1,177,680 1,196,420 JPY 9,012 East Japan Railway Co. 957,173 765,642 JPY 4,063 Eisai Co. Ltd. 409,879 369,601 JPY 78 Japan Retail Fund Investment Corp. 178,532 180,563 JPY 14,367 Kao Corp. 1,488,776 1,412,944 JPY 2,944 Kurita Water Industries Ltd. 114,397 143,313 JPY 4,454 Kyushu Railway Co. 172,129 122,287 JPY 7,684 NGK Insulators Ltd. 158,299 150,949 JPY 44 Nippon Building Fund Inc. 357,770 324,679 JPY 62 Nippon Prologis REIT Inc. 235,392 246,347 JPY 736 Nippon Shinyaku Co. Ltd. 79,491 61,485 JPY 1,890 Nissin Foods Holdings Co. Ltd. 207,250 206,165 JPY 126 Nomura Real Estate Master Fund Inc. 213,068 229,487 JPY 5,961 Ono Pharmaceutical Co. Ltd. 213,713 228,613 JPY 4,269 Shionogi & Co. 324,628 296,839 JPY 2,699 Sysmex Corp. 302,710 412,976 JPY 4,220 Toto Ltd. 238,820 322,853 JPY 2,644 Toyo Suisan Kaisha Ltd. 168,960 163,782 JPY 12,029 Uni-Charm Corp. 643,626 726,133

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

Annual Financial Statements - December 31, 2020 – 375 – CI First Asset MSCI World ESG Impact ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Japan (cont’d) JPY 4,848 West Japan Railway Co. 452,662 322,981 JPY 3,824 Yakult Honsha Co. Ltd. 280,877 245,370 10,585,326 10,228,609 16.40

Jordan GBP 2,786 Hikma Pharmaceuticals PLC 119,358 122,168 0.20

New Zealand NZD 20,304 Mercury NZ Ltd. 85,771 121,618 NZD 6,447 Ryman Healthcare Ltd. 86,639 89,829 172,410 211,447 0.34 Norway NOK 13,102 Mowi ASA 362,071 372,364 NOK 22,388 Orkla ASA 284,233 289,822 646,304 662,186 1.06 Singapore SGD 95,867 Ascendas REIT 275,653 275,384 SGD 135,034 CapitaLand Integrated Commercial Trust 263,137 281,158 SGD 13,592 City Developments Ltd. 116,789 104,423 SGD 43,419 Keppel Corp. Ltd. 249,832 225,172 905,411 886,137 1.42 Sweden SEK 18,140 Essity AB, Class ‘B’ 769,596 744,311 SEK 18,060 Svenska Cellulosa AB, Series ‘B’ 315,696 401,472 1,085,292 1,145,783 1.84 U.K. GBP 35,744 Berkeley Group Holdings PLC 2,720,999 2,951,798 GBP 5,769 Johnson Matthey PLC 243,985 243,632 GBP 20,997 Land Securities Group PLC 218,066 246,383 GBP 22,440 Pearson PLC 223,716 265,894 3,406,766 3,707,707 5.95 U.S.A. USD 726 ABIOMED Inc. 245,739 299,860 USD 3,759 Alexandria Real Estate Equities Inc. 804,204 853,490 USD 9,440 Amgen Inc. 2,877,587 2,765,146 USD 2,552 Biogen Inc. 946,858 796,101 USD 2,923 BioMarin Pharmaceutical Inc. 323,466 326,549 USD 4,407 Boston Properties Inc. 502,747 530,740 USD 3,498 Citrix Systems Inc. 602,963 579,784 USD 3,762 Clorox Co. (The) 931,182 967,760 USD 24,280 Colgate-Palmolive Co. 2,437,167 2,645,055 USD 1,543 Dexcom Inc. 641,324 726,789 USD 2,640 Equinix Inc. 2,682,796 2,402,043 USD 18,210 General Mills Inc. 1,408,753 1,364,133 USD 20,208 Gilead Sciences Inc. 1,799,832 1,499,903 USD 16,046 Healthpeak Properties Inc. 645,301 617,980 USD 8,836 Hormel Foods Corp. 553,333 524,692 USD 7,666 Kellogg Co. 662,172 607,768 USD 10,166 Kimberly-Clark Corp. 1,897,834 1,746,249 USD 7,796 Masco Corp. 587,241 545,570 USD 18,012 Mohawk Industries Inc. 2,404,613 3,234,420 USD 3,220 Owens Corning 255,905 310,789 USD 4,747 Tesla Motors Inc. 1,223,360 4,267,665 USD 1,469 Varian Medical Systems Inc. 289,218 327,532

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

Annual Financial Statements - December 31, 2020 – 376 – CI First Asset MSCI World ESG Impact ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) U.S.A. (cont’d) USD 4,198 Vertex Pharmaceuticals Inc. 1,333,151 1,264,006 USD 2,500 VMware Inc., Class ‘A’ 491,689 446,728 USD 5,364 Xylem Inc. 559,736 695,606 27,108,171 30,346,358 48.67 Total Equities 56,564,770 62,198,567 99.75 Adjustment for transaction costs (55,031) Total Investments 56,509,739 62,198,567 99.75 Total unrealized gain on forward foreign currency contract(s) 12,767 0.02 Total unrealized loss on forward foreign currency contract(s) (25,255) (0.04) Other Net Assets (Liabilities) 168,406 0.27 Net Assets Attributable to Holders of Redeemable Units 62,354,485 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Canadian Imperial Bank of Commerce A-1 January 19, 2021 CAD 513,168 GBP 301,000 1.70 (11,052) Citibank N.A., New York A-1 January 19, 2021 CAD 1,035,263 EUR 667,000 1.55 (4,766) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 853,721 DKK 4,091,000 0.21 (3,240) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 4,369,221 USD 3,420,000 1.28 12,381 Royal Bank of Canada A-1+ January 19, 2021 CAD 67,628 DKK 321,000 0.21 386 Royal Bank of Canada A-1+ January 19, 2021 CAD 31,297 GBP 18,000 1.74 (52) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 1,449,016 JPY 117,912,000 0.01 (6,145) (12,488)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 377 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 13 (3) - 10 Derivative assets - Swaps and swaptions - - - - Total 13 (3) - 10 Derivative liabilities - Foreign currency forward contracts (25) 3 - (22) Derivative liabilities - Swaps and swaptions - - - - Total (25) 3 - (22) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 23 (1) - 22 Derivative assets - Swaps and swaptions - - - - Total 23 (1) - 22 Derivative liabilities - Foreign currency forward contracts (1) 1 - - Derivative liabilities - Swaps and swaptions - - - - Total (1) 1 - -

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

Annual Financial Statements - December 31, 2020 – 378 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 65 15 Soft dollar commissions† 4 -

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 50,000 - 950,000 - Redeemable units issued for cash 300,000 50,001 1,200,000 950,001 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed - (1) (100,000) (1) Number of redeemable units at the end of year 350,000 50,000 2,050,000 950,000

Annual Financial Statements - December 31, 2020 – 379 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.550 Unhedged Common Units 0.550

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

2020 2019 Loaned 6,288 - Collateral (non-cash) 6,604 -

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

2020 2019 Gross securities lending revenue 5 - Charges (2) - Securities lending revenue 3 - Charges as a % of gross securities lending revenue 40.1 -

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

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

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

Annual Financial Statements - December 31, 2020 – 380 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Other Price Risk (cont’d)

Impact on Net Assets Attributable to Holders of Redeemable Units Concentration Risk as at December 31, 2019 For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Benchmark ($) MSCI World ESG Select Impact ex Fossil Fuels Total Return Index Hedged to CAD 2,041,904 The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2019 Currency Risk Categories Net Assets (%) The tables below summarize the Fund’s exposure to currency risk. U.S.A. 51.28 Japan 16.46 Common Units Denmark 7.20 France 4.73 as at December 31, 2020~ Australia 4.06 Financial Instruments Net Net Hong Kong 3.90 Exposure Derivatives Exposure Assets U.K. 3.17 Currency (in $000’s) (in $000’s) (in $000’s) (%) Singapore 2.06 Swedish Krona 167 - 167 1.8 Ireland 1.20 Singapore Dollar 129 - 129 1.4 Belgium 1.17 Australian Dollar 110 - 110 1.2 Portugal 1.16 Norwegian Krone 97 - 97 1.1 Sweden 1.14 U.S. Dollar 4,441 (4,357) 84 0.9 Norway 1.11 Hong Kong Dollar 67 - 67 0.7 Austria 0.33 Japanese Yen 1,490 (1,455) 35 0.4 Canada 0.29 New Zealand Dollar 31 - 31 0.3 Switzerland 0.22 Euro 1,046 (1,040) 6 0.1 Other Net Assets (Liabilities) 0.21 British Pound 558 (556) 2 0.0 Netherlands 0.20 Danish Krone 918 (924) (6) (0.1) Total unrealized gain on forward foreign currency contract(s) 0.11 Total 9,054 (8,332) 722 7.8 Germany 0.00 Israel 0.00 Italy 0.00 as at December 31, 2019~ New Zealand 0.00 Financial Instruments Net Net Spain 0.00 Exposure Derivatives Exposure Assets Taiwan 0.00 Currency (in $000’s) (in $000’s) (in $000’s) (%) Total unrealized loss on forward foreign currency contract(s) 0.00 British Pound 35 - 35 3.2 Total 100.00 Singapore Dollar 23 - 23 2.1 Norwegian Krone 12 - 12 1.1 Swedish Krona 12 - 12 1.1 Credit Risk U.S. Dollar 558 (552) 6 0.6 As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Japanese Yen 178 (173) 5 0.5 was insignificant. Danish Krone 78 (74) 4 0.4 Swiss Franc 2 - 2 0.2 Argentine Peso - - - 0.0 Other Price Risk Australian Dollar 45 (45) - 0.0 As at December 31, 2020 and 2019, the Fund was predominantly invested in global equities and Euro 93 (93) - 0.0 therefore was sensitive to changes in general economic conditions across the world. Hong Kong Dollar 42 (42) - 0.0 Total 1,078 (979) 99 9.2 The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This ~Includes monetary and non-monetary instruments, if any. change is estimated based on the historical correlation between the return of the Fund’s securities as compared to the return of the benchmark(s), as at year end, with all other variables held constant. The As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, historical correlation may not be representative of the future correlation, and accordingly the impact on 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables net assets attributable to holders of redeemable units could be different. held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $72,000 (December 31, 2019 - $10,000). In practice, actual Impact on Net Assets Attributable to Holders of Redeemable Units results may differ from this analysis and the difference may be material. as at December 31, 2020 Benchmark ($) MSCI World ESG Select Impact ex Fossil Fuels Total Return Index Hedged to CAD 6,194,721

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

Annual Financial Statements - December 31, 2020 – 381 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d) Fair Value Hierarchy

Unhedged Common Units The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and as at December 31, 2020~ derivatives carried at fair value. Financial Instruments Net Net Exposure Derivatives Exposure Assets Long Positions at fair value as at December 31, 2020 Currency (in $000’s) (in $000’s) (in $000’s) (%) Level 1 Level 2 Level 3 Total U.S. Dollar 26,118 - 26,118 49.0 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Japanese Yen 8,765 - 8,765 16.4 Equities 62,199 - - 62,199 Euro 6,151 - 6,151 11.5 Derivatives, net - (13) - (13) Danish Krone 5,396 - 5,396 10.1 Total 62,199 (13) - 62,186 British Pound 3,281 - 3,281 6.2 Swedish Krona 982 - 982 1.8 Singapore Dollar 760 - 760 1.4 Long Positions at fair value as at December 31, 2019 Australian Dollar 646 - 646 1.2 Level 1 Level 2 Level 3 Total Norwegian Krone 569 - 569 1.1 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Hong Kong Dollar 393 - 393 0.7 Equities 21,282 - - 21,282 New Zealand Dollar 184 - 184 0.3 Derivatives, net - 22 - 22 Swiss Franc 1 - 1 0.0 Total 21,282 22 - 21,304 Total 53,246 - 53,246 99.7 There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. as at December 31, 2019~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 10,450 - 10,450 51.6 Japanese Yen 3,338 - 3,338 16.5 Euro 1,748 - 1,748 8.6 Danish Krone 1,466 - 1,466 7.2 Australian Dollar 838 - 838 4.1 Hong Kong Dollar 794 - 794 3.9 British Pound 650 - 650 3.2 Singapore Dollar 421 - 421 2.1 Norwegian Krone 226 - 226 1.1 Swedish Krona 232 - 232 1.1 Swiss Franc 46 - 46 0.2 Total 20,209 - 20,209 99.6

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

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $5,325,000 (December 31, 2019 - $2,021,000). In practice, actual results may differ from this analysis and the difference may be material.

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

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

Annual Financial Statements - December 31, 2020 – 382 – CI First Asset MSCI World Low Risk Weighted ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 58,009 78,702 29.34 32.70 1,976,969 2,406,969 Current assets Unhedged Investments 115,298 429,762 Common Units 57,738 354,150 33.04 35.67 1,747,704 9,927,704 Investments pledged as collateral - - Cash 318 852 Unrealized gain on futures and foreign currency forward contracts 39 1,206 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 34 195 Cash collateral on deposit for short sale - - Dividends receivable 543 1,436 Interest receivable - - Receivable for investments sold 47 20 Receivable for unit subscriptions - - 116,279 433,471 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 315 110 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 43 11 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 67 239 Accounts payable and accrued liabilities 107 259 532 619 Net assets attributable to holders of redeemable units 115,747 432,852

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

Annual Financial Statements - December 31, 2020 – 383 – CIG - 580530227 CI First Asset MSCI World Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (8,159) 13,025 (3.01) 5.82 2,709,428 2,237,106 Net gain (loss) on investments and derivatives Unhedged Dividends 11,903 18,753 Common Units (12,203) 103,179 (1.42) 6.71 8,570,764 15,376,197 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 14,318 77,516 Change in unrealized appreciation (depreciation) in value of investments and derivatives (43,948) 22,267 Total net gain (loss) on investments and derivatives (17,727) 118,536 Other income Foreign exchange gain (loss) on cash (293) (94) Securities lending revenue (Note 6) 38 48 Fees rebate 1,680 3,093 Miscellaneous foreign income - 24 Other income 180 225 Total other income 1,605 3,296 Total income (16,122) 121,832 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 2,165 3,576 Audit fees - - Legal fees - - Independent review committee fees 3 9 Commissions and other portfolio transaction costs 669 478 Securities borrowing fees (Note 2) - - Interest expense 6 22 Withholding taxes 1,343 1,496 Harmonized sales tax 54 47 Other expenses - - Total expenses 4,240 5,628 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (20,362) 116,204

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

Annual Financial Statements - December 31, 2020 – 384 – CI First Asset MSCI World Low Risk Weighted ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 78,702 60,629 354,150 672,177 432,852 732,806 Increase (decrease) in net assets attributable to holders of redeemable units (8,159) 13,025 (12,203) 103,179 (20,362) 116,204 Distributions to holders of redeemable units From net investment income (2,080) (2,994) (8,931) (14,637) (11,011) (17,631) From net realized gains - (2,927) (1,636) (21,595) (1,636) (24,522) Return of capital (1,651) - (621) (385) (2,272) (385) Total distributions to holders of redeemable units (3,731) (5,921) (11,188) (36,617) (14,919) (42,538)

Redeemable unit transactions Proceeds from redeemable units issued 55,560 9,520 36,440 19,387 92,000 28,907 Reinvestment of distributions to holders of redeemable units 1,728 4,369 2,257 22,655 3,985 27,024 Redemption of redeemable units (66,091) (2,920) (311,718) (426,631) (377,809) (429,551) Net increase (decrease) from redeemable unit transactions (8,803) 10,969 (273,021) (384,589) (281,824) (373,620) Net increase (decrease) in net assets attributable to holders of redeemable units (20,693) 18,073 (296,412) (318,027) (317,105) (299,954) Net assets attributable to holders of redeemable units at the end of year 58,009 78,702 57,738 354,150 115,747 432,852

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

Annual Financial Statements - December 31, 2020 – 385 – CI First Asset MSCI World Low Risk Weighted ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (20,362) 116,204 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (14,318) (77,516) Unrealized foreign exchange (gain) loss on cash (23) 28 Commissions and other portfolio transaction costs 669 406 Change in unrealized (appreciation) depreciation in value of investments and derivatives 43,948 (22,267) Proceeds from sale and maturity of investments and derivatives 516,260 590,148 Purchase of investments and derivatives (298,057) (192,037) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 893 892 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (173) (133) Amortization interest earned - - Change in other accounts receivable and payable 8 373 Net cash from (used in) operating activities 228,845 416,098

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (10,933) (15,894) Proceeds from issuance of redeemable units 73,600 28,907 Amounts paid on redemption of redeemable units (292,069) (429,551) Net cash from (used in) financing activities (229,402) (416,538)

Unrealized foreign exchange gain (loss) on cash 23 (28) Net increase (decrease) in cash (557) (440) Cash (bank overdraft), beginning of year 852 1,320 Cash (bank overdraft), end of year 318 852

Supplementary Information: Dividends received, net of withholding tax* 11,454 18,149 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (6) (22) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 386 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services 16,614 BCE Inc. 947,088 904,300 EUR 20,758 Deutsche Telekom AG, Registered 462,690 483,908 HKD 441,493 HKT Trust and HKT Ltd. 790,450 729,750 JPY 18,775 Nippon Telegraph & Telephone Corp. 591,552 612,898 HKD 872,948 PCCW Ltd. 669,000 669,819 25,420 Quebecor Inc., Class ‘B’ 795,462 832,759 12,203 Rogers Communications Inc., Class ‘B’ 718,554 723,150 27,737 Shaw Communications Inc., Class ‘B’ 713,231 619,645 SGD 296,590 Singapore Telecommunications Ltd. 897,230 660,422 NZD 129,691 Spark New Zealand Ltd. 501,914 559,126 CHF 1,171 Swisscom AG 747,043 805,208 NOK 29,809 Telenor ASA 629,218 647,142 SEK 85,010 Telia Co. AB 410,595 447,846 40,188 TELUS Corp. 936,723 1,013,138 USD 9,476 Verizon Communications Inc. 749,550 709,255 EUR 12,785 Vivendi SA 500,683 525,735 11,060,983 10,944,101 9.45 Consumer Discretionary JPY 11,027 Bridgestone Corp. 499,786 460,456 EUR 440 Hermes International 507,217 603,294 USD 1,631 McDonald’s Corp. 349,587 445,874 JPY 9,780 McDonald’s Holdings Co. (Japan) Ltd. 658,635 603,406 JPY 1,938 Oriental Land Co. Ltd. 380,180 407,496 JPY 5,102 Toyota Motor Corp. 442,045 500,945 AUD 12,859 Wesfarmers Ltd. 503,299 637,130 3,340,749 3,658,601 3.16 Consumer Staples JPY 16,629 Ajinomoto Co. Inc. 388,730 479,643 CHF 199 Barry Callebaut AG 552,349 603,449 EUR 3,693 Beiersdorf AG 546,234 543,659 DKK 2,760 Carlsberg AS, Series ‘B’ 509,650 563,662 CHF 135 Chocoladefabriken Lindt & Sprungli AG 1,200,735 1,679,137 USD 2,106 Clorox Co. (The) 606,262 541,760 USD 5,802 Colgate-Palmolive Co. 589,128 632,068 EUR 6,281 Colruyt Group 487,167 474,562 USD 1,089 Costco Wholesale Corp. 477,984 522,739 EUR 6,412 Danone 628,265 537,334 GBP 11,285 Diageo PLC 556,606 565,607 SEK 12,664 Essity AB, Class ‘B’ 570,501 519,623 9,640 George Weston Ltd. 986,078 916,571 EUR 3,537 Heineken Holding NV 429,357 424,814 EUR 3,121 Heineken NV 398,196 443,787 EUR 4,046 Henkel AG & Co. KGaA 453,051 497,300 EUR 3,559 Henkel AG & Co. KGaA, Preferred 445,245 512,060 USD 10,492 Hormel Foods Corp. 706,541 623,027 JPY 24,616 Japan Tobacco Inc. 663,488 638,485 USD 5,485 Kellogg Co. 454,344 434,856 EUR 2,852 Kerry Group PLC, Class ‘A’ 491,597 526,816 EUR 14,873 Koninklijke Ahold Delhaize NV 553,267 535,784 12,481 Loblaw Cos. Ltd. 758,698 783,932 EUR 1,075 L’Oreal SA 318,667 520,812 JPY 5,066 Meiji Holdings Co. Ltd. 464,775 453,839 17,409 Metro Inc. 874,348 988,831 USD 6,985 Mondelez International Inc., Class ‘A’ 508,006 520,318

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

Annual Financial Statements - December 31, 2020 – 387 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Consumer Staples (cont’d) CHF 6,636 Nestle SA, Registered 763,654 997,162 NOK 63,549 Orkla ASA 788,364 822,668 USD 2,664 PepsiCo Inc. 414,817 503,321 EUR 1,803 Pernod-Ricard SA 434,399 440,690 USD 3,381 Procter & Gamble Co. (The) 462,494 599,331 GBP 4,022 Reckitt Benckiser Group PLC 460,574 458,221 18,125 Saputo Inc. 618,156 645,794 JPY 11,384 Seven & I Holdings Co. Ltd. 531,468 513,994 JPY 10,536 Suntory Beverage & Food Ltd. 581,832 474,536 GBP 125,900 Tesco PLC 491,898 507,354 JPY 7,076 Toyo Suisan Kaisha Ltd. 451,260 438,321 GBP 16,155 Unilever PLC 1,221,011 1,235,638 USD 2,901 Walmart Inc. 508,916 532,760 GBP 205,473 William Morrison Supermarkets PLC 659,234 634,612 SGD 107,745 Wilmar International Ltd. 426,250 482,951 AUD 22,050 Woolworths Group Ltd. 678,054 852,121 25,111,650 26,623,949 23.00 Energy EUR 7,425 Koninklijke Vopak NV 506,934 497,571 7,809 TC Energy Corp. 440,787 404,116 947,721 901,687 0.78 Financials GBP 13,643 Admiral Group PLC 550,204 690,443 AUD 12,067 ASX Ltd. 735,042 854,125 ILS 57,859 Bank Hapoalim Ltd. 476,594 504,838 ILS 78,017 Bank Leumi Le Israel 555,615 585,069 4,815 Bank of Montreal 446,257 465,996 9,370 Bank of Nova Scotia 630,823 644,656 CHF 6,289 Banque Cantonale Vaudoise 850,685 872,871 USD 1,505 Berkshire Hathaway Inc., Class ‘B’ 399,870 444,581 4,894 Canadian Imperial Bank of Commerce 525,299 532,076 AUD 7,476 Commonwealth Bank of Australia 512,006 603,469 SGD 18,690 DBS Group Holdings Ltd. 361,164 451,125 USD 1,493 Erie Indemnity Co., Class ‘A’ 436,525 467,151 NOK 19,874 Gjensidige Forsikring ASA 507,577 566,010 15,681 Great-West Lifeco Inc. 464,517 475,918 EUR 3,546 Groupe Bruxelles Lambert SA 413,631 456,130 HKD 22,395 Hang Seng Bank Ltd. 475,504 491,965 SEK 11,061 Industrivarden AB, Series ‘C’ 345,744 455,565 AUD 82,017 Insurance Australia Group Ltd. 455,397 378,958 3,976 Intact Financial Corp. 444,292 599,263 USD 3,904 Intercontinental Exchange Inc. 526,329 573,417 SEK 5,293 Investor AB, Series ‘B’ 394,666 492,000 JPY 43,313 Japan Post Bank Co. Ltd. 536,832 452,691 JPY 49,401 Japan Post Holdings Co. Ltd. 587,998 489,377 SEK 6,948 L E Lundbergforetagen AB, Series ‘B’ 472,086 474,893 AUD 181,797 Medibank Private Ltd. 480,801 537,951 ILS 15,794 Mizrahi Tefahot Bank Ltd. 427,295 465,313 JPY 26,807 Mizuho Financial Group Inc. 463,269 432,504 SGD 60,250 Oversea-Chinese Banking Corp. Ltd. 588,479 584,262 7,555 Royal Bank of Canada 737,072 790,177 SGD 81,637 Singapore Exchange Ltd. 766,851 730,278 EUR 1,153 Sofina SA 435,313 497,852 AUD 48,084 Suncorp Group Ltd. 409,396 460,415

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

Annual Financial Statements - December 31, 2020 – 388 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Financials (cont’d) 4,157 TMX Group Ltd. 569,221 528,521 9,427 Toronto-Dominion Bank (The) 639,726 677,990 DKK 15,670 Tryg AS 645,625 630,394 SGD 23,807 United Overseas Bank Ltd. 457,867 518,411 18,725,572 19,876,655 17.17 Health Care USD 4,819 Baxter International Inc. 589,513 492,626 DKK 2,508 Coloplast AS, Class ‘B’ 486,736 488,247 GBP 24,239 GlaxoSmithKline PLC 669,807 566,486 USD 3,060 Johnson & Johnson 529,921 613,536 USD 5,033 Merck & Co. Inc. 556,800 524,505 EUR 2,366 Merck KGaA 491,065 517,629 CHF 5,143 Novartis AG, Registered 611,019 620,046 DKK 5,289 Novo Nordisk AS, Series ‘B’ 462,434 472,565 USD 9,353 Pfizer Inc. 491,275 438,618 CHF 1,299 Roche Holding AG Genusscheine 617,835 578,508 EUR 3,709 Sanofi 504,823 455,012 6,011,228 5,767,778 4.98 Industrials EUR 6,793 Alstom SA 415,504 493,551 AUD 52,981 Brambles Ltd. 563,585 552,098 GBP 11,357 Bunzl PLC 380,492 483,180 5,199 Canadian National Railway Co. 632,062 727,547 1,186 Canadian Pacific Railway Ltd. 429,363 523,655 JPY 5,407 East Japan Railway Co. 632,241 459,368 ILS 3,148 Elbit Systems Ltd. 525,632 528,487 CHF 728 Geberit AG, Registered 413,232 581,486 USD 7,092 Jardine Matheson Holdings Ltd. 393,620 505,972 USD 13,864 Jardine Strategic Holdings Ltd. 383,371 439,449 EUR 5,427 Kone OYJ, Class ‘B’ 514,018 562,227 CHF 2,038 Kuehne + Nagel International AG, Registered 416,651 589,807 HKD 117,174 MTR Corp. Ltd. 805,395 834,587 JPY 15,369 Nagoya Railroad Ltd. 624,587 516,219 GBP 14,676 RELX PLC 393,635 458,130 USD 3,739 Republic Services Inc. 357,639 458,724 USD 843 Roper Technologies Inc. 462,693 462,983 CHF 1,523 Schindler Holding AG 494,255 523,736 CHF 1,693 Schindler Holding AG, Registered 547,218 581,708 JPY 5,403 SECOM Co. Ltd. 636,606 634,505 CHF 158 SGS SA, Registered 540,079 608,009 SGD 105,301 Singapore Airlines Ltd. 655,099 434,439 SGD 142,237 Singapore Technologies Engineering Ltd. 484,048 523,756 GBP 2,683 Spirax-Sarco Engineering PLC 460,589 527,751 5,251 Toromont Industries Ltd. 466,551 468,389 USD 1,822 Verisk Analytics Inc. 355,724 481,864 USD 3,746 Waste Connections Inc. 482,170 489,505 USD 3,396 Waste Management Inc. 402,572 510,225 EUR 5,383 Wolters Kluwer NV 591,079 579,485 14,459,710 15,540,842 13.43 Information Technology 5,716 CGI Inc. 507,852 577,259 USD 3,422 Check Point Software Technologies Ltd. 527,090 579,438 GBP 11,963 Halma PLC 477,025 510,212 USD 1,621 Microsoft Corp. 422,417 459,332

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

Annual Financial Statements - December 31, 2020 – 389 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Information Technology (cont’d) 8,824 Open Text Corp. 508,942 510,380 USD 7,300 Oracle Corp. 543,644 601,630 5,622 Thomson Reuters Corp. 399,781 585,700 USD 861 Tyler Technologies Inc. 450,348 478,825 3,837,099 4,302,776 3.72 Materials EUR 2,809 Air Liquide SA 541,990 587,837 GBP 6,648 Croda International PLC 602,344 763,649 CHF 494 Ems-Chemie Holding AG, Registered 514,488 607,320 CHF 161 Givaudan SA, Registered 556,262 865,519 AUD 5,033 Rio Tinto Ltd. 487,468 563,214 EUR 3,558 Symrise AG 547,921 601,210 3,250,473 3,988,749 3.45 Real Estate SGD 144,751 Ascendas REIT 386,841 415,806 8,617 Canadian Apartment Properties REIT 449,186 430,764 EUR 7,345 Deutsche Wohnen SE 458,226 500,225 AUD 49,924 Dexus 465,892 461,346 HKD 86,630 Henderson Land Development Co. Ltd. 431,686 430,572 USD 86,321 Hongkong Land Holdings Ltd. 449,506 454,188 EUR 2,848 LEG Immobilien GmbH 498,212 564,079 HKD 43,310 Link REIT 451,146 502,395 GBP 41,158 SEGRO PLC 524,717 679,206 HKD 25,965 Sun Hung Kai Properties Ltd. 416,292 426,619 CHF 6,070 Swiss Prime Site AG, Registered 698,816 760,239 SGD 74,171 UOL Group Ltd. 494,969 551,241 EUR 5,487 Vonovia SE 443,547 511,136 6,169,036 6,687,816 5.78 Utilities AUD 41,286 AGL Energy Ltd. 617,260 485,021 28,086 Algonquin Power & Utilities Corp. 523,307 588,402 11,336 ATCO Ltd., Class ‘I’ 465,930 413,651 USD 3,658 Atmos Energy Corp. 432,492 444,732 AUD 443,665 AusNet Services 727,365 765,459 13,727 Canadian Utilities Ltd., Class ‘A’ 501,283 426,772 JPY 49,445 Chugoku Electric Power Co. Inc. (The) 904,970 737,648 HKD 65,615 CK Infrastructure Holdings Ltd. 636,621 449,025 HKD 81,821 CLP Holdings Ltd. 1,086,705 963,909 USD 4,431 Consolidated Edison Inc. 449,013 407,971 USD 4,261 Dominion Energy Inc. 424,505 408,224 13,185 Emera Inc. 626,589 713,309 15,523 Fortis Inc. 747,092 807,196 HKD 1,424,996 HK Electric Investments & HK Electric Investments Ltd 1,858,639 1,786,446 HKD 448,439 Hong Kong & China Gas Co. Ltd. 902,620 853,226 29,293 Hydro One Ltd. 724,416 839,244 EUR 29,505 Iberdrola SA 443,553 538,112 NZD 90,218 Mercury NZ Ltd. 363,016 540,391 GBP 34,395 National Grid PLC 540,082 518,124 11,982 Northland Power Inc. 533,439 547,218 JPY 19,957 Osaka Gas Co. Ltd. 547,160 520,103 HKD 119,121 Power Assets Holdings Ltd. 1,074,948 822,034 EUR 20,883 Red Electrica Corp. SA 515,956 546,068 GBP 11,783 Severn Trent PLC 489,598 469,703 EUR 52,009 Terna SPA 384,070 506,699

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

Annual Financial Statements - December 31, 2020 – 390 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Utilities (cont’d) JPY 39,845 Tohoku Electric Power Co. Inc. 433,415 417,920 JPY 16,615 Tokyo Gas Co. Ltd. 543,600 488,773 17,497,644 17,005,380 14.69 Total Equities 110,411,865 115,298,334 99.61 Adjustment for transaction costs (122,839) Total Investments 110,289,026 115,298,334 99.61 Total unrealized gain on forward foreign currency contract(s) 38,556 0.03 Total unrealized loss on forward foreign currency contract(s) (314,506) (0.27) Other Net Assets (Liabilities) 724,947 0.63 Net Assets Attributable to Holders of Redeemable Units 115,747,331 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Canadian Imperial Bank of Commerce A-1 January 19, 2021 CAD 3,621,965 AUD 3,760,000 0.96 (74,802) Canadian Imperial Bank of Commerce A-1 January 19, 2021 CAD 4,466,777 GBP 2,620,000 1.70 (96,201) Citibank N.A., New York A-1 January 19, 2021 CAD 7,659,702 EUR 4,935,000 1.55 (35,265) HSBC Bank, Toronto A-1 January 19, 2021 CAD 520,318 NZD 575,000 0.90 (7,137) HSBC Bank, Toronto A-1 January 19, 2021 CAD 2,674,467 SGD 2,795,000 0.96 (19,635) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 1,055,934 DKK 5,060,000 0.21 (4,007) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 4,536,713 HKD 27,525,000 0.16 14,219 Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 1,019,753 ILS 2,600,000 0.39 (12,096) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 997,547 NOK 6,825,000 0.15 (17,929) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 8,444,606 USD 6,610,000 1.28 23,928 Morgan Stanley & Co. International PLC A-1 January 19, 2021 ILS 130,000 CAD 51,434 2.53 158 Royal Bank of Canada A-1+ January 19, 2021 CAD 63,601 ILS 160,000 0.40 102 Royal Bank of Canada A-1+ January 19, 2021 CAD 41,222 NZD 45,000 0.92 (57) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 5,551,208 CHF 3,850,000 1.44 148 Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 5,483,643 JPY 446,225,000 0.01 (23,255) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 1,174,399 SEK 7,725,000 0.15 (24,121) (275,950)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 391 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 38 (34) - 4 Derivative assets - Swaps and swaptions - - - - Total 38 (34) - 4 Derivative liabilities - Foreign currency forward contracts (314) 34 - (280) Derivative liabilities - Swaps and swaptions - - - - Total (314) 34 - (280) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,206 (110) - 1,096 Derivative assets - Swaps and swaptions - - - - Total 1,206 (110) - 1,096 Derivative liabilities - Foreign currency forward contracts (110) 110 - - Derivative liabilities - Swaps and swaptions - - - - Total (110) 110 - -

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

Annual Financial Statements - December 31, 2020 – 392 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 531 406 Soft dollar commissions† 32 85

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 2,406,969 2,206,969 9,927,704 21,627,704 Redeemable units issued for cash 1,900,000 300,000 1,130,000 600,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (2,330,000) (100,000) (9,310,000) (12,300,000) Number of redeemable units at the end of year 1,976,969 2,406,969 1,747,704 9,927,704

Annual Financial Statements - December 31, 2020 – 393 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2020 2019 Loaned 4,186 14,388 Collateral (non-cash) 4,485 15,130

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

2020 2019 Gross securities lending revenue 63 72 Charges (25) (24) Securities lending revenue 38 48 Charges as a % of gross securities lending revenue 40.3 33.5

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

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

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

Annual Financial Statements - December 31, 2020 – 394 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The tables below summarize the Fund’s exposure to currency risk.

Concentration Risk Common Units For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2020~ The table below summarizes the Fund’s exposure to concentration risk. Financial Instruments Net Net Exposure Derivatives Exposure Assets as at December 31, 2019 Currency (in $000’s) (in $000’s) (in $000’s) (%) Categories Net Assets (%) Swiss Franc 5,804 (5,551) 253 0.4 U.S.A. 31.75 Euro 7,763 (7,695) 68 0.1 Canada 21.71 British Pound 4,585 (4,563) 22 0.0 Japan 9.36 Danish Krone 1,081 (1,060) 21 0.0 Switzerland 7.74 U.S. Dollar 8,435 (8,421) 14 0.0 Singapore 5.93 Singapore Dollar 2,702 (2,694) 8 0.0 Hong Kong 4.28 Norwegian Krone 1,022 (1,015) 7 0.0 France 3.95 Israeli Shekel 1,046 (1,044) 2 0.0 Australia 3.79 Swedish Krona 1,199 (1,199) - 0.0 U.K. 3.14 New Zealand Dollar 553 (569) (16) 0.0 Germany 2.22 Hong Kong Dollar 4,492 (4,522) (30) (0.1) Denmark 1.03 Australian Dollar 3,595 (3,697) (102) (0.2) Belgium 1.02 Japanese Yen 5,400 (5,507) (107) (0.2) Netherlands 0.92 Total 47,677 (47,537) 140 0.0 Israel 0.74 Finland 0.49 Other Net Assets (Liabilities) 0.46 as at December 31, 2019~ Norway 0.43 Financial Instruments Net Net Italy 0.40 Exposure Derivatives Exposure Assets Bermuda 0.39 Currency (in $000’s) (in $000’s) (in $000’s) (%) Total unrealized gain on forward foreign currency contract(s) 0.28 British Pound 1,837 - 1,837 2.3 Total unrealized loss on forward foreign currency contract(s) (0.03) Danish Krone 812 - 812 1.0 Total 100.00 U.S. Dollar 26,785 (26,111) 674 0.9 Israeli Shekel 589 - 589 0.7 Norwegian Krone 342 - 342 0.4 Credit Risk Euro 7,115 (7,061) 54 0.1 As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Hong Kong Dollar 3,366 (3,305) 61 0.1 was insignificant. Singapore Dollar 4,676 (4,645) 31 0.0 Swiss Franc 5,735 (5,733) 2 0.0 Australian Dollar 2,995 (3,094) (99) (0.1) Other Price Risk Japanese Yen 7,393 (7,667) (274) (0.3) As at December 31, 2020 and 2019, the Fund was predominantly invested in global equities and Total 61,645 (57,616) 4,029 5.1 therefore was sensitive to changes in general economic conditions across the world.

~Includes monetary and non-monetary instruments, if any. The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, change is estimated based on the historical correlation between the return of the Fund’s securities as 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables compared to the return of the benchmark(s), as at year end, with all other variables held constant. The held constant, net assets attributable to holders of redeemable Common Units would have decreased historical correlation may not be representative of the future correlation, and accordingly the impact on or increased, respectively, by approximately $14,000 (December 31, 2019 - $403,000). In practice, actual net assets attributable to holders of redeemable units could be different. results may differ from this analysis and the difference may be material.

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2020 Benchmark ($) MSCI World Risk Weighted Top 200 Total Return Index 11,066,540

as at December 31, 2019 Benchmark ($) MSCI World Risk Weighted Top 200 Total Return Index 35,753,620

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

Annual Financial Statements - December 31, 2020 – 395 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d) Fair Value Hierarchy

Unhedged Common Units The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and as at December 31, 2020~ derivatives carried at fair value. Financial Instruments Net Net Exposure Derivatives Exposure Assets Long Positions at fair value as at December 31, 2020 Currency (in $000’s) (in $000’s) (in $000’s) (%) Level 1 Level 2 Level 3 Total U.S. Dollar 8,396 - 8,396 14.5 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Euro 7,726 - 7,726 13.4 Equities 115,298 - - 115,298 Swiss Franc 5,775 - 5,775 10.0 Derivatives, net - (276) - (276) Japanese Yen 5,374 - 5,374 9.3 Total 115,298 (276) - 115,022 British Pound 4,564 - 4,564 7.9 Hong Kong Dollar 4,471 - 4,471 7.7 Australian Dollar 3,579 - 3,579 6.2 Long Positions at fair value as at December 31, 2019 Singapore Dollar 2,689 - 2,689 4.7 Level 1 Level 2 Level 3 Total Swedish Krona 1,194 - 1,194 2.1 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Danish Krone 1,076 - 1,076 1.9 Equities 429,762 - - 429,762 Israeli Shekel 1,041 - 1,041 1.8 Derivatives, net - 1,096 - 1,096 Norwegian Krone 1,017 - 1,017 1.8 Total 429,762 1,096 - 430,858 New Zealand Dollar 550 - 550 1.0 Total 47,452 - 47,452 82.3 There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. as at December 31, 2019~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 120,532 - 120,532 34.0 Japanese Yen 33,266 - 33,266 9.4 Euro 32,017 - 32,017 9.0 Swiss Franc 25,805 - 25,805 7.3 Singapore Dollar 21,042 - 21,042 5.9 Hong Kong Dollar 15,145 - 15,145 4.3 Australian Dollar 13,478 - 13,478 3.8 British Pound 8,268 - 8,268 2.3 Danish Krone 3,654 - 3,654 1.0 Israeli Shekel 2,648 - 2,648 0.7 Norwegian Krone 1,537 - 1,537 0.4 Total 277,392 - 277,392 78.1

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

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $4,745,000 (December 31, 2019 - $27,739,000). In practice, actual results may differ from this analysis and the difference may be material.

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

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

Annual Financial Statements - December 31, 2020 – 396 – CI First Asset Preferred Share ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 77,967 88,143 20.82 20.52 3,745,078 4,295,078 Current assets Investments 76,510 86,561 Investments pledged as collateral - - Cash 1,417 1,739 Unrealized gain on futures and foreign currency forward contracts 94 86 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 18 17 Cash collateral on deposit for short sale - - Dividends receivable 96 113 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - 31 78,135 88,547 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 5 - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - 235 Payable for unit redemptions 23 - Distributions payable to holders of redeemable units - - Management fees payable 43 47 Accounts payable and accrued liabilities 97 122 168 404 Net assets attributable to holders of redeemable units 77,967 88,143

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

Annual Financial Statements - December 31, 2020 – 397 – CIG - 580530147 CI First Asset Preferred Share ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 4,284 3,252 1.11 1.04 3,851,635 3,126,311 Net gain (loss) on investments and derivatives Dividends 4,200 3,371 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (401) (2,190) Change in unrealized appreciation (depreciation) in value of investments and derivatives 939 2,599 Total net gain (loss) on investments and derivatives 4,738 3,780 Other income Foreign exchange gain (loss) on cash (17) (2) Securities lending revenue (Note 6) 1 4 Fees rebate 190 53 Miscellaneous foreign income - - Other income - - Total other income 174 55 Total income 4,912 3,835 Expenses Custody fees 21 23 Unitholders reporting costs 37 57 Management fees (Note 5) 473 412 Audit fees 5 4 Legal fees - 2 Independent review committee fees 1 1 Commissions and other portfolio transaction costs 50 33 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 6 6 Harmonized sales tax 35 45 Other expenses - - Total expenses 628 583 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 4,284 3,252

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

Annual Financial Statements - December 31, 2020 – 398 – CI First Asset Preferred Share ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 88,143 64,652 Increase (decrease) in net assets attributable to holders of redeemable units 4,284 3,252 Distributions to holders of redeemable units From net investment income (3,699) (2,686) From net realized gains - - Return of capital (47) (243) Total distributions to holders of redeemable units (3,746) (2,929)

Redeemable unit transactions Proceeds from redeemable units issued 7,078 51,816 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (17,792) (28,648) Net increase (decrease) from redeemable unit transactions (10,714) 23,168 Net increase (decrease) in net assets attributable to holders of redeemable units (10,176) 23,491 Net assets attributable to holders of redeemable units at the end of year 77,967 88,143

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

Annual Financial Statements - December 31, 2020 – 399 – CI First Asset Preferred Share ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 4,284 3,252 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 401 2,190 Unrealized foreign exchange (gain) loss on cash (1) 1 Commissions and other portfolio transaction costs 50 10 Change in unrealized (appreciation) depreciation in value of investments and derivatives (939) (2,599) Proceeds from sale and maturity of investments and derivatives 17,700 5,316 Purchase of investments and derivatives (17,723) (6,724) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 17 (4) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (4) 13 Amortization interest earned - - Change in other accounts receivable and payable (25) 5 Net cash from (used in) operating activities 3,760 1,460

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (3,747) (2,929) Proceeds from issuance of redeemable units 194 2,600 Amounts paid on redemption of redeemable units (530) (825) Net cash from (used in) financing activities (4,083) (1,154)

Unrealized foreign exchange gain (loss) on cash 1 (1) Net increase (decrease) in cash (323) 306 Cash (bank overdraft), beginning of year 1,739 1,434 Cash (bank overdraft), end of year 1,417 1,739

Supplementary Information: Dividends received, net of withholding tax* 4,211 3,361 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 400 – CI First Asset Preferred Share ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

LIMITED PARTNERSHIP UNITS 36,730 Brookfield Infrastructure Partners L.P., Preferred, Series ‘3’, Variable Rate, Perpetual 911,506 922,107 29,973 Brookfield Infrastructure Partners L.P., Preferred, Series ‘7’, Variable Rate, Perpetual 669,110 732,840 24,557 Brookfield Infrastructure Partners L.P., Preferred, Series ‘11’, Variable Rate, Perpetual 551,682 586,912 58,453 Brookfield Renewable Partners L.P., Preferred, Class ‘A’, Series ‘13’, Variable Rate, Perpetual 1,299,843 1,415,732 13,784 Brookfield Renewable Partners L.P., Preferred, Series ‘9’, Variable Rate, Perpetual 343,116 348,046 42,199 Brookfield Renewable Partners L.P., Preferred, Series ‘11’, Variable Rate, Perpetual 941,852 1,027,124 Total Limited Partnership Units 4,717,109 5,032,761 6.45

EQUITIES 34,924 AltaGas Ltd., Preferred, Series ‘G’, Variable Rate, Perpetual 639,852 628,283 27,267 Artis REIT, Preferred, Series ‘A’, Variable Rate, Perpetual 570,697 526,253 15,399 Artis REIT, Preferred, Series ‘E’, Variable Rate, Perpetual 308,045 283,111 28,577 Bank of Montreal, 4.00%, Preferred, Class ‘B’, Series ‘27’, Perpetual 548,726 586,972 16,789 Bank of Montreal, Preferred, Class ‘B’, Series ‘26’, Floating Rate, Perpetual 400,390 418,046 14,336 Bank of Montreal, Preferred, Class ‘B’, Series ‘29’, Variable Rate, Perpetual 269,551 285,860 20,571 Bank of Montreal, Preferred, Class ‘B’, Series ‘31’, Variable Rate, Perpetual 373,444 415,637 20,708 Bank of Montreal, Preferred, Class ‘B’, Series ‘42’, Variable Rate, Perpetual 452,635 504,861 48,131 Bank of Montreal, Preferred, Class ‘B’, Series ‘46’, Variable Rate, Perpetual 1,166,302 1,226,137 3,378 Bank of Montreal, Preferred, Series ‘38’, VariableRate, Perpetual 84,201 86,984 23,611 Bank of Montreal, Preferred, Series ‘40’, Variable Rate, Perpetual 527,884 585,317 14,189 Bank of Nova Scotia, Preferred, Series ‘40’, Variable Rate, Perpetual 275,871 318,685 14,326 BCE Inc., 5.32%, Preferred, Series ‘Z’ 232,890 210,306 33,565 BCE Inc., Preferred, Class ‘A’, Series ‘AJ’, Floating Rate, Perpetual 545,217 469,910 80,149 BCE Inc., Preferred, Series ‘AA’, Variable Rate, Perpetual 1,226,801 1,182,999 41,550 BCE Inc., Preferred, Series ‘AB’, Floating Rate, Perpetual 623,696 580,454 116,080 BCE Inc., Preferred, Series ‘AC’, Variable Rate, Perpetual 1,834,078 1,842,190 23,210 BCE Inc., Preferred, Series ‘AF’, Variable Rate, Perpetual 370,627 362,772 39,603 BCE Inc., Preferred, Series ‘AQ’, Variable Rate, Perpetual 736,185 738,200 26,097 BCE Inc., Preferred, Series ‘R’, Variable Rate, Perpetual 441,278 388,062 22,090 Brookfield Asset Management Inc., 4.75%, Preferred, Class ‘A’, Series ‘17’ 472,781 523,202 21,275 Brookfield Asset Management Inc., 4.90%, Preferred, Class ‘A’, Series ‘37’, Perpetual 459,424 521,238 16,349 Brookfield Asset Management Inc., Preferred, Class ‘A’, Series ‘2’, Floating Rate, Perpetual 218,617 155,152 2,485 Brookfield Asset Management Inc., Preferred, Class’A’, Series ‘13’, Floating Rate 33,112 23,334 25,977 Brookfield Asset Management Inc., Preferred, Class’A’, Series ‘32’, Variable Rate, Perpetual 539,902 490,965 38,828 Brookfield Asset Management Inc., Preferred, Series ‘46’, Variable Rate, Perpetual 970,335 978,466 19,545 Brookfield Office Properties Inc., 4.60%, Preferred, Class ‘AAA’, Series ‘T’, Perpetual 343,378 297,866 17,770 Brookfield Office Properties Inc., 4.85%, Preferred, Class ‘AAA’, Series ‘GG’, Perpetual 377,046 290,362 23,076 Brookfield Office Properties Inc., Preferred, Class ‘AAA’, Series ‘AA’, Variable Rate, Perpetual 411,981 339,909 44,208 Brookfield Office Properties Inc., Preferred, Class ‘AAA’, Series ‘EE’, Variable Rate, Perpetual 984,543 780,713 41,176 Brookfield Office Properties Inc., Preferred, Class ‘AAA’, Series ‘R’, Variable Rate, Perpetual 725,408 544,347 30,696 Brookfield Office Properties Inc., Preferred, Class ‘CC’, Variable Rate, Perpetual 781,173 667,638 87,101 Brookfield Office Properties Inc., Preferred, Series ‘P’, Variable Rate, Perpetual 1,331,565 1,053,922 8,882 Canadian Imperial Bank of Commence, Preferred, Series ‘51’, Variable Rate, Perpetual 221,977 225,514 3,090 Canadian Imperial Bank of Commerce, Preferred, Class ‘A’, Series ‘47’, Variable Rate, Perpetual 55,761 63,654 18,473 Canadian Imperial Bank of Commerce, Preferred, Class ‘A’, Series ‘49’, Variable Rate, Perpetual 438,371 460,901 97,764 Canadian Imperial Bank of Commerce, Preferred, Series ‘45’, Variable Rate, Perpetual 2,148,933 2,384,464 67,039 Capital Power Corp., Preferred, Series ‘3’, Variable Rate, Perpetual 1,192,251 1,236,870 60,387 Capital Power Corp., Preferred, Series ‘5’, Variable Rate, Perpetual 1,045,355 1,056,169 50,366 Capital Power Corp., Preferred, Series ‘7’, Variable Rate, Perpetual 1,288,263 1,269,727 14,364 Capital Power Corp., Preferred, Series ‘9’, Variable Rate, Perpetual 356,295 361,973 USD 57,789 Citigroup Capital XIII, 7.87%, Preferred, Callable 2,067,366 2,096,449 33,060 CU Inc., 4.60%, Preferred, Series ‘1’, Perpetual 684,441 785,671 20,169 E-L Financial Corp. Ltd., 5.50%, Preferred, Series’3’, Perpetual 504,467 507,250 23,189 Element Fleet Management Corp., Preferred, Series ‘A’, Variable Rate, Perpetual 534,825 567,899 USD 114,716 Enbridge Inc., Preferred, Series ‘1’, Variable Rate, Perpetual 3,029,085 2,672,203 USD 4,983 Enbridge Inc., Preferred, Series ‘5’, Variable Rate, Perpetual 125,429 107,892

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

Annual Financial Statements - December 31, 2020 – 401 – CI First Asset Preferred Share ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) 9,622 Enbridge Inc., Preferred, Series ‘9’, Variable Rate, Perpetual 165,040 141,155 16,824 Enbridge Inc., Preferred, Series ‘19’, Variable Rate, Perpetual 408,825 385,774 59,098 Enbridge Inc., Preferred, Series ‘D’, Variable Rate, Perpetual 913,567 808,461 40,511 Enbridge Inc., Preferred, Series ‘F’, Variable Rate, Perpetual 675,973 589,840 USD 4,388 Enbridge Inc., Preferred, Series ‘L’, Variable Rate, Perpetual 103,180 96,350 25,970 Enbridge Inc., Preferred, Series ‘P’, Variable Rate, Perpetual 413,457 373,189 44,532 Fortis Inc., 4.75%, Preferred, Series ‘J’, Perpetual 1,005,754 1,089,030 18,084 Fortis Inc., 4.90%, Preferred, Series ‘F’, Perpetual 428,128 457,435 10,991 George Weston Ltd., 5.20%, Preferred, Series ‘IV’, Perpetual 265,429 275,380 42,502 George Weston Ltd., 5.80%, Preferred, Series ‘I’,Perpetual 1,085,284 1,097,827 21,139 Great-West Lifeco Inc., 4.85%, Preferred, Series ‘H’, Perpetual 479,527 517,906 26,355 Great-West Lifeco Inc., 5.15%, Preferred, Series ‘T’, Perpetual 631,278 669,417 48,900 Great-West Lifeco Inc., 5.20%, Preferred, Series ‘G’, Perpetual 1,161,308 1,239,126 19,056 Great-West Lifeco Inc., 5.25%, Preferred, Series ‘S’, Perpetual 467,712 481,164 30,223 Husky Energy Inc., Preferred, Series ‘7’, VariableRate, Perpetual 593,508 519,836 45,426 Industrial Alliance Insurance and Financial Services Inc, Preferred, Class ‘A’, Series ‘G’, Variable Rate, Perpetual 856,245 938,047 7,566 Intact Financial Corp., 5.20%, Preferred, Class ‘A’, Series ‘5’, Perpetual 184,410 195,127 14,557 Intact Financial Corp., 5.40%, Preferred, Series ‘9’, Perpetual 362,847 379,064 29,539 Laurentian Bank of Canada, 4.30%, Preferred, Class ‘A’, Series ‘13’, Perpetual 492,416 465,830 61,300 Loblaw Cos. Ltd., 5.30%, Preferred, Series ‘B’, Perpetual 1,549,235 1,587,057 55,592 Manulife Financial Corp., 4.65%, Preferred, Class’A’ , Series ‘2’, Perpetual 1,214,539 1,355,889 18,059 Manulife Financial Corp., Preferred, Class ‘1’, Series ‘7’, Variable Rate, Perpetual 424,025 428,901 11,241 Manulife Financial Corp., Preferred, Series ‘23’, Variable Rate, Perpetual 271,590 281,699 13,937 National Bank of Canada, Preferred, Series ‘32’, Variable Rate, Perpetual 251,360 268,845 54,570 National Bank of Canada, Preferred, Series ‘38’, Variable Rate, Perpetual 1,190,002 1,363,704 30,770 National Bank of Canada, Preferred, Series ‘42’, Variable Rate, Perpetual 626,777 706,172 39,299 Pembina Pipeline Corp., Preferred, Class ‘A’, Series ‘21’, Variable Rate, Perpetual 881,128 895,624 23,826 Pembina Pipeline Corp., Preferred, Class ‘A’, Series ‘23’, Variable Rate, Perpetual 554,283 578,972 44,855 Pembina Pipeline Corp., Preferred, Series ‘5’, Variable Rate, Perpetual 820,204 723,960 27,629 Pembina Pipeline Corp., Preferred, Series ‘11’, Variable Rate, Perpetual 708,584 694,869 51,002 Power Corp. of Canada, 5.60%, Preferred, Series ‘A’, Perpetual 1,269,936 1,298,001 14,045 Power Financial Corp., 5.15%, Preferred, Series ‘V’, Perpetual 333,305 358,148 34,575 Power Financial Corp., 5.25%, Preferred, Series’E’, Perpetual 830,950 876,476 22,078 Power Financial Corp., 5.75%, Preferred, Series ‘H’, Perpetual 557,865 561,223 40,664 Power Financial Corp., Preferred, Series ‘A’, Floating Rate, Perpetual 530,104 447,304 21,834 Power Financial Corp., Preferred, Series ‘T’, Variable Rate, Perpetual 418,841 413,099 13,425 Royal Bank of Canada, Preferred, Series ‘AZ’, Variable Rate, Perpetual 252,214 281,254 42,593 Royal Bank of Canada, Preferred, Series ‘BB’, Variable Rate, Perpetual 799,327 905,101 14,015 Royal Bank of Canada, Preferred, Series ‘BD’, Variable Rate, Perpetual 290,773 310,432 USD 4,986 Sempra Energy, 6.00%, Preferred, Series ‘A’ 707,265 633,145 50,377 Sun Life Financial Inc., 4.45%, Preferred, Class ‘A’, Series ‘4’, Perpetual 1,020,671 1,219,122 22,173 Sun Life Financial Inc., 4.50%, Preferred, Class ‘A’, Series ‘5’, Perpetual 463,447 537,141 16,207 Sun Life Financial Inc., 4.75%, Preferred, Class ‘A’, Series ‘1’, Perpetual 367,343 401,285 60,204 Sun Life Financial Inc., 4.80%, Preferred, Class ‘A’, Series ‘2’, Perpetual 1,379,934 1,496,068 16,700 Sun Life Financial Inc., Preferred, Class ‘A’, Series ‘8R’, Variable Rate, Perpetual 253,025 197,227 41,103 Sun Life Financial Inc., Preferred, Class ‘A’, Series ‘10R’, Variable Rate, Perpetual 673,750 741,909 47,329 TC Energy Corp., Preferred, Series ‘1’, Variable Rate, Perpetual 679,669 632,315 24,201 TC Energy Corp., Preferred, Series ‘7’, Variable Rate, Perpetual 397,508 368,339 27,238 TC Energy Corp., Preferred, Series ‘9’, Variable Rate, Perpetual 445,890 403,122 10,395 TC Energy Corp., Preferred, Series ‘13’, VariableRate, Perpetual 269,983 265,280 9,899 TC Energy Corp., Preferred, Series ‘15’, VariableRate, Perpetual 251,841 246,485 32,877 Toronto-Dominion Bank (The), Preferred, Series ‘3’, Variable Rate, Perpetual 606,572 675,622 15,858 Toronto-Dominion Bank (The), Preferred, Series ‘7’, Variable Rate, Perpetual 329,511 350,462 12,153 Toronto-Dominion Bank (The), Preferred, Series ‘14’, Variable Rate, Perpetual 304,780 311,968 43,696 Toronto-Dominion Bank (The), Preferred, Series ‘18’, Variable Rate, Perpetual 929,637 1,000,200 24,324 Toronto-Dominion Bank (The), Preferred, Series ‘20’, Variable Rate, Perpetual 465,744 539,993

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

Annual Financial Statements - December 31, 2020 – 402 – CI First Asset Preferred Share ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) 6,908 Toronto-Dominion Bank (The), Preferred, Series ‘22’, Variable Rate, Perpetual 172,562 173,667 58,788 Toronto-Dominion Bank (The), Preferred, Series ‘24, Variable Rate, Perpetual 1,422,732 1,507,911 63,761 TransAlta Corp., Preferred, Series ‘C’, Variable Rate, Perpetual 936,363 958,328 80,410 TransAlta Corp., Preferred, Series ‘E’, Variable Rate, Perpetual 1,344,664 1,446,576 11,059 TransAlta Corp., Preferred, Series ‘G’, Variable Rate, Perpetual 196,632 209,568 Total Equities 71,058,907 71,477,210 91.68 Adjustment for transaction costs (43,924) Total Investments 75,732,092 76,509,971 98.13 Total unrealized gain on forward foreign currency contract(s) 93,715 0.12 Total unrealized loss on forward foreign currency contract(s) (4,607) (0.01) Other Net Assets (Liabilities) 1,367,813 1.75 Net Assets Attributable to Holders of Redeemable Units 77,966,892 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Bank of Montreal A-1 January 21, 2021 CAD 64,785 USD 49,333 1.31 1,992 Bank of Montreal A-1 March 15, 2021 CAD 403,570 USD 313,682 1.29 4,361 Bank of Montreal A-1 March 15, 2021 CAD 219,759 USD 172,066 1.28 779 Canadian Imperial Bank of Commerce A-1 January 21, 2021 CAD 90,633 USD 69,067 1.31 2,724 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 347,919 USD 264,909 1.31 10,767 Canadian Imperial Bank of Commerce A-1 February 18, 2021 CAD 24,433 USD 18,881 1.29 403 Canadian Imperial Bank of Commerce A-1 February 18, 2021 USD 118,748 CAD 153,587 0.77 (2,455) Canadian Imperial Bank of Commerce A-1 March 15, 2021 CAD 256,416 USD 198,234 1.29 4,133 Citibank N.A., New York A-1 January 21, 2021 CAD 78,139 USD 59,200 1.32 2,788 Citibank N.A., New York A-1 February 18, 2021 CAD 460,842 USD 353,260 1.30 11,244 HSBC Bank, Toronto A-1 February 18, 2021 CAD 289,976 USD 220,757 1.31 9,016 HSBC Bank, Toronto A-1 March 15, 2021 CAD 410,041 USD 317,174 1.29 6,388 JPMorgan Chase Bank, New York A-1 January 21, 2021 CAD 90,674 USD 69,067 1.31 2,765 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 294,675 USD 227,249 1.30 5,453 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 63,290 USD 49,544 1.28 235 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 56,424 USD 44,154 1.28 229 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 56,999 USD 44,607 1.28 227 JPMorgan Chase Bank, New York A-1 February 18, 2021 CAD 56,406 USD 44,147 1.28 219 Morgan Stanley & Co. International PLC A-1 January 21, 2021 CAD 77,667 USD 59,200 1.31 2,317 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 400,174 USD 309,103 1.29 6,775 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 63,885 USD 49,983 1.28 271 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 54,935 USD 42,985 1.28 227 Morgan Stanley & Co. International PLC A-1 February 18, 2021 CAD 52,747 USD 41,282 1.28 206 Royal Bank of Canada A-1+ January 21, 2021 CAD 80,388 USD 60,775 1.32 3,033 Royal Bank of Canada A-1+ February 18, 2021 CAD 399,973 USD 309,019 1.29 6,681 Royal Bank of Canada A-1+ February 18, 2021 USD 110,252 CAD 142,471 0.77 (2,152) Royal Bank of Canada A-1+ March 15, 2021 CAD 175,933 USD 138,000 1.27 306 Royal Bank of Canada A-1+ March 15, 2021 CAD 21,529 USD 16,860 1.28 72 Toronto-Dominion Bank (The) A-1+ February 18, 2021 CAD 173,733 USD 132,454 1.31 5,156 Toronto-Dominion Bank (The) A-1+ March 15, 2021 CAD 358,010 USD 277,527 1.29 4,814 Toronto-Dominion Bank (The) A-1+ March 15, 2021 CAD 20,033 USD 15,686 1.28 69 Toronto-Dominion Bank (The) A-1+ March 15, 2021 CAD 20,029 USD 15,686 1.28 65 89,108

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 403 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 94 (5) - 89 Derivative assets - Swaps and swaptions - - - - Total 94 (5) - 89 Derivative liabilities - Foreign currency forward contracts (5) 5 - - Derivative liabilities - Swaps and swaptions - - - - Total (5) 5 - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 86 - - 86 Derivative assets - Swaps and swaptions - - - - Total 86 - - 86 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 404 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 27 10 Soft dollar commissions† 8 -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 4,295,078 3,145,078 Redeemable units issued for cash 350,000 2,600,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (900,000) (1,450,000) Number of redeemable units at the end of year 3,745,078 4,295,078

Annual Financial Statements - December 31, 2020 – 405 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.650

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

2020 2019 Loaned 506 465 Collateral (non-cash) 532 493

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

2020 2019 Gross securities lending revenue 2 7 Charges (1) (3) Securities lending revenue 1 4 Charges as a % of gross securities lending revenue 40.2 39.9

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

2020 Capital loss carried forward: 1,223 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 406 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Other Price Risk (cont’d) The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Concentration Risk change is estimated based on the historical correlation between the return of the Fund’s securities as For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on The table below summarizes the Fund’s exposure to concentration risk. net assets attributable to holders of redeemable units could be different.

as at December 31, 2019 Impact on Net Assets Attributable to Holders of Redeemable Units Categories Net Assets (%) as at December 31, 2019 Canada 88.08 Benchmark ($) Limited Partnership Units 5.75 S&P/TSX Preferred Share Total Return Index 8,319,280 U.S.A. 4.38 Other Net Assets (Liabilities) 1.69 Total unrealized gain on forward foreign currency contract(s) 0.10 Currency Risk Total 100.00 The tables below summarize the Fund’s exposure to currency risk.

as at December 31, 2020~ Credit Risk Financial Instruments Net Net The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, Exposure Derivatives Exposure Assets with the following credit ratings, as per the table below. Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 5,679 (4,779) 900 1.2 as at December 31, 2020 Total 5,679 (4,779) 900 1.2 Credit Rating^* Net Assets (%) AA/Aa/A+ 0.1 A 15.9 as at December 31, 2019~ BBB/Baa/B++ 44.9 Financial Instruments Net Net BB/Ba/B+ 33.2 Exposure Derivatives Exposure Assets B 3.4 Currency (in $000’s) (in $000’s) (in $000’s) (%) Not Rated 0.8 U.S. Dollar 7,122 (4,391) 2,731 3.1 Total 98.3 Total 7,122 (4,391) 2,731 3.1

^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s ~Includes monetary and non-monetary instruments, if any. Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference. As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held As at December 31, 2019, the Fund’s exposure to credit risk through derivative instruments was constant, net assets attributable to holders of redeemable units of the Fund would have decreased or insignificant. increased, respectively, by approximately $90,000 (December 31, 2019 - $273,000). In practice, actual results may differ from this analysis and the difference may be material. Other Price Risk As at December 31, 2020 and 2019, the Fund was predominantly invested in Canadian equities and Interest Rate Risk therefore was sensitive to changes in general economic conditions in Canada. As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives. As at December 31, 2020, had the fair value of equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately Fair Value Hierarchy $7,651,000. In practice, actual results may differ from this analysis and the difference may be material.

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

Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 71,477 - - 71,477 Limited partnership units 5,033 - - 5,033 Derivatives, net - 89 - 89 Total 76,510 89 - 76,599

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

Annual Financial Statements - December 31, 2020 – 407 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 81,495 - - 81,495 Limited partnership units 5,066 - - 5,066 Derivatives, net - 86 - 86 Total 86,561 86 - 86,647

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

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

Annual Financial Statements - December 31, 2020 – 408 – CI First Asset Short Term Government Bond Index Class ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable shares to holders of redeemable Number of redeemable per Series (Note 4): shares per share: shares outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets ETF Shares 35,860 46,321 19.38 18.91 1,850,000 2,450,000 Current assets Investments 35,765 46,189 Investments pledged as collateral - - Cash 19 17 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable 113 160 Receivable for investments sold - - Receivable for share subscriptions - - 35,897 46,366 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for share redemptions - - Dividends payable to holders of redeemable shares - - Management fees payable 8 10 Accounts payable and accrued liabilities 29 35 37 45 Net assets attributable to holders of redeemable shares 35,860 46,321

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

Annual Financial Statements - December 31, 2020 – 409 – CIG - 580530267 CI First Asset Short Term Government Bond Index Class ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average shares per Series: shares per share: number of shares: 2020 2019 2020 2019 2020 2019 2020 2019 Income ETF Shares 1,813 1,020 0.90 0.40 2,025,000 2,581,918 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 850 1,145 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 530 (52) Change in unrealized appreciation (depreciation) in value of investments and derivatives 568 101 Total net gain (loss) on investments and derivatives 1,948 1,194 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 8 9 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 8 9 Total income 1,956 1,203 Expenses Custody fees 20 25 Securityholder reporting costs 39 61 Management fees (Note 5) 98 123 Audit fees 5 4 Legal fees - 2 Independent review committee fees 1 1 Commissions and other portfolio transaction costs 7 13 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 20 28 Directors’ fees 2 1 Other expenses - - Total expenses 192 258 Expenses absorbed by the Manager (Note 5) (49) (75) Increase (decrease) in net assets attributable to holders of redeemable shares 1,813 1,020

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

Annual Financial Statements - December 31, 2020 – 410 – CI First Asset Short Term Government Bond Index Class ETF Financial Statements

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

ETF Shares 2020 2019 Net assets attributable to holders of redeemable shares at the beginning of year 46,321 47,272 Increase (decrease) in net assets attributable to holders of redeemable shares 1,813 1,020 Dividends to holders of redeemable shares From net investment income - - From net realized gains - - Return of capital (743) (1,007) Total dividends to holders of redeemable shares (743) (1,007)

Redeemable share transactions Proceeds from redeemable shares issued 12,587 19,972 Reinvestment of dividends to holders of redeemable shares - - Redemption of redeemable shares (24,118) (20,936) Net increase (decrease) from redeemable share transactions (11,531) (964) Net increase (decrease) in net assets attributable to holders of redeemable shares (10,461) (951) Net assets attributable to holders of redeemable shares at the end of year 35,860 46,321

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

Annual Financial Statements - December 31, 2020 – 411 – CI First Asset Short Term Government Bond Index Class ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable shares 1,813 1,020 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (530) 52 Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 7 - Change in unrealized (appreciation) depreciation in value of investments and derivatives (568) (101) Proceeds from sale and maturity of investments and derivatives 20,840 23,752 Purchase of investments and derivatives (21,409) (23,716) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 47 9 Increase (decrease) in management fees payable (2) 1 Amortization interest earned - - Change in other accounts receivable and payable (7) 9 Net cash from (used in) operating activities 191 1,026

Cash flows from (used in) financing activities Dividends paid to holders of redeemable shares, net of reinvested dividends (743) (1,007) Proceeds from issuance of redeemable shares 1,407 690 Amounts paid on redemption of redeemable shares (853) (741) Net cash from (used in) financing activities (189) (1,058)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 2 (32) Cash (bank overdraft), beginning of year 17 49 Cash (bank overdraft), end of year 19 17

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 898 1,154 Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 412 – CI First Asset Short Term Government Bond Index Class ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS Government of Canada & Guaranteed 641,000 Canada Housing Trust No. 1, 1.75%, June 15, 2022 640,293 655,208 725,000 Canada Housing Trust No. 1, 1.80%, December 15, 2024 730,365 761,843 840,000 Canada Housing Trust No. 1, 1.95%, December 15, 2025 893,164 894,380 780,000 Canada Housing Trust No. 1, 2.35%, June 15, 2023 796,889 818,566 1,205,000 Canada Housing Trust No. 1, 2.40%, December 15, 2022 1,227,331 1,255,259 285,000 Canada Housing Trust No. 1, 2.55%, March 15, 2025 303,336 308,807 427,000 Canada Housing Trust No. 1, 2.65%, March 15, 2022 438,064 439,497 1,105,000 Canada Housing Trust No. 1, 2.90%, June 15, 2024 1,172,150 1,197,840 905,000 Canada Housing Trust No. 1, Series ‘55’, 3.15%, September 15, 2023 956,591 972,897 225,000 Canada Housing Trust No. 1, Series ‘70’, 2.25%, December 15, 2025 242,561 242,850 850,000 Canada Housing Trust No. 1, Series ‘MAR’, 0.95%, June 15, 2025 861,439 864,865 665,000 Canada Housing Trust No. 1, Series ‘SEPT’, 2.55%, December 15, 2023 687,274 707,226 569,000 Government of Canada, 0.25%, August 1, 2022 568,820 569,672 1,188,000 Government of Canada, 0.25%, November 1, 2022 1,187,138 1,189,059 534,000 Government of Canada, 0.25%, February 1, 2023 533,418 534,153 778,000 Government of Canada, 0.50%, March 1, 2022 758,025 781,114 1,860,000 Government of Canada, 0.50%, September 1, 2025 1,872,678 1,869,458 428,000 Government of Canada, 1.25%, March 1, 2025 434,524 444,219 334,000 Government of Canada, 1.50%, February 1, 2022 335,525 338,837 810,000 Government of Canada, 1.50%, June 1, 2023 803,544 835,053 615,000 Government of Canada, 1.50%, September 1, 2024 627,995 641,892 1,680,000 Government of Canada, 1.75%, March 1, 2023 1,703,516 1,734,581 1,210,000 Government of Canada, 2.00%, September 1, 2023 1,243,342 1,265,853 1,043,000 Government of Canada, 2.25%, March 1, 2024 1,092,753 1,108,097 1,021,000 Government of Canada, 2.25%, June 1, 2025 1,115,798 1,106,575 558,000 Government of Canada, 2.50%, June 1, 2024 593,256 600,097 2,765,000 Government of Canada, 2.75%, June 1, 2022 2,880,980 2,866,066 24,700,769 25,003,964 69.73 Provincial Government & Guaranteed 251,000 Province of Alberta, 2.35%, June 1, 2025 266,900 269,313 297,000 Province of Alberta, 2.55%, December 15, 2022 305,954 310,060 180,000 Province of Alberta, 3.10%, June 1, 2024 195,269 195,722 258,000 Province of British Columbia, 2.70%, December 18, 2022 267,192 270,219 286,000 Province of British Columbia, 2.85%, June 18, 2025 314,212 314,081 286,000 Province of British Columbia, Series ‘BCCD’, 3.30%, December 18, 2023 302,783 310,339 200,000 Province of Manitoba, 2.45%, June 2, 2025 214,432 215,460 285,000 Province of Manitoba, 2.55%, June 2, 2023 294,838 299,866 95,000 Province of Manitoba, 4.40%, September 5, 2025 111,604 110,964 266,000 Province of New Brunswick, 2.85%, June 2, 2023 273,158 281,714 390,000 Province of Ontario, 1.35%, March 8, 2022 385,414 395,298 693,000 Province of Ontario, 1.75%, September 8, 2025 726,287 726,328 186,000 Province of Ontario, 2.30%, September 8, 2024 194,169 197,893 560,000 Province of Ontario, 2.60%, September 8, 2023 573,938 592,567 1,115,000 Province of Ontario, 2.60%, June 2, 2025 1,206,927 1,208,627 186,000 Province of Ontario, 2.65%, February 5, 2025 195,716 201,486 547,000 Province of Ontario, 2.85%, June 2, 2023 562,776 579,525 674,000 Province of Ontario, 3.15%, June 2, 2022 702,035 701,598 1,036,000 Province of Ontario, 3.50%, June 2, 2024 1,120,108 1,140,345 375,000 Province of Quebec, 2.45%, March 1, 2023 380,600 392,369 466,000 Province of Quebec, 2.75%, September 1, 2025 511,630 510,733

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

Annual Financial Statements - December 31, 2020 – 413 – CI First Asset Short Term Government Bond Index Class ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

BONDS (cont’d) Provincial Government & Guaranteed (cont’d) 260,000 Province of Quebec, 3.00%, September 1, 2023 268,906 278,044 700,000 Province of Quebec, 3.50%, December 1, 2022 737,939 742,933 461,000 Province of Quebec, 3.75%, September 1, 2024 508,226 515,261 10,621,013 10,760,745 30.01 Total Bonds 35,321,782 35,764,709 99.73 Adjustment for transaction costs - Total Investments 35,321,782 35,764,709 99.73 Other Net Assets (Liabilities) 95,593 0.27 Net Assets Attributable to Holders of Redeemable Shares 35,860,302 100.00

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

Annual Financial Statements - December 31, 2020 – 414 – CI First Asset Short Term Government Bond Index Class ETF Fund Specific Notes to Financial Statements

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

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

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

ETF Shares 2020 2019 Number of redeemable shares at the beginning of year 2,450,000 2,500,000 Redeemable shares issued for cash 650,000 1,050,000 Redeemable shares issued for reinvested dividends - - Redeemable shares redeemed (1,250,000) (1,100,000) Number of redeemable shares at the end of year 1,850,000 2,450,000

Annual Financial Statements - December 31, 2020 – 415 – CI First Asset Short Term Government Bond Index Class ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: ETF Shares 0.250

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

2020 2019 Loaned 16,764 16,336 Collateral (non-cash) 17,631 17,187

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

2020 2019 Gross securities lending revenue 13 15 Charges (5) (6) Securities lending revenue 8 9 Charges as a % of gross securities lending revenue 40.0 40.3

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

Annual Financial Statements - December 31, 2020 – 416 – CI First Asset Short Term Government Bond Index Class ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Interest Rate Risk The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual maturity date. Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2020 Greater The table below summarizes the Fund’s exposure to concentration risk. Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total as at December 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Categories Net Assets (%) Interest Rate Exposure - 20,118 15,647 - 35,765 Government of Canada & Guaranteed 71.61 Provincial Government & Guaranteed 27.79 Corporate Bonds 0.31 as at December 31, 2019 Other Net Assets (Liabilities) 0.29 Greater Total 100.00 Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Credit Risk Interest Rate Exposure - 26,265 19,924 - 46,189 The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the table below. As at December 31, 2020, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2019 - 0.25%), with all other variables held constant, net assets attributable to holders as at December 31, 2020 of redeemable shares of the Fund would have decreased or increased, respectively, by approximately Credit Rating^* Net Assets (%) $254,000 (December 31, 2019 - $316,000). In practice, actual results may differ from this analysis and AAA/Aaa/A++ 72.2 the difference may be material. AA/Aa/A+ 6.8 A 20.7 Total 99.7 Fair Value Hierarchy

The Fund was invested in fixed income securities, with the following credit ratings, as per the table The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and below. derivatives carried at fair value. as at December 31, 2019 Long Positions at fair value as at December 31, 2020 Credit Rating^* Net Assets (%) Level 1 Level 2 Level 3 Total AAA/Aaa/A++ 73.9 (in $000’s) (in $000’s) (in $000’s) (in $000’s) AA/Aa/A+ 8.2 Bonds - 35,765 - 35,765 A 17.6 Total - 35,765 - 35,765 Total 99.7

^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Long Positions at fair value as at December 31, 2019 Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference. Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 46,189 - 46,189 Other Price Risk Total - 46,189 - 46,189 As at December 31, 2020 and 2019, the Fund did not invest in equities and therefore was not subject to other price risk. There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019.

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

Annual Financial Statements - December 31, 2020 – 417 – CI First Asset Tech Giants Covered Call ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 326,374 257,390 19.60 16.77 16,648,997 15,348,997 Current assets Unhedged Investments 376,322 320,255 Common Units 49,419 65,330 21.49 18.15 2,300,000 3,600,000 Investments pledged as collateral - - Cash 705 671 Unrealized gain on futures and foreign currency forward contracts 1,202 3,071 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 1 19 Cash collateral on deposit for short sale - - Dividends receivable - 57 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 378,230 324,073 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 38 - Swaps, swaptions and options 2,148 1,123 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 211 178 Accounts payable and accrued liabilities 40 52 2,437 1,353 Net assets attributable to holders of redeemable units 375,793 322,720

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

Annual Financial Statements - December 31, 2020 – 418 – CIG - 580530187 CI First Asset Tech Giants Covered Call ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 81,879 60,535 5.20 3.79 15,731,920 15,973,381 Net gain (loss) on investments and derivatives Unhedged Dividends 3,496 3,355 Common Units 14,700 6,176 5.42 3.13 2,714,208 1,974,521 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 60,262 5,077 Change in unrealized appreciation (depreciation) in value of investments and derivatives 35,605 60,770 Total net gain (loss) on investments and derivatives 99,363 69,202 Other income Foreign exchange gain (loss) on cash 295 (35) Securities lending revenue (Note 6) 17 6 Fees rebate 93 56 Miscellaneous foreign income - 315 Other income - - Total other income 405 342 Total income 99,768 69,544 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 2,135 1,890 Audit fees - - Legal fees - - Independent review committee fees 3 4 Commissions and other portfolio transaction costs 303 390 Securities borrowing fees (Note 2) - - Interest expense 14 7 Withholding taxes 554 385 Harmonized sales tax 180 157 Other expenses - - Total expenses 3,189 2,833 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 96,579 66,711

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

Annual Financial Statements - December 31, 2020 – 419 – CI First Asset Tech Giants Covered Call ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2020 2019 2020 2019 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 257,390 225,997 65,330 20,631 322,720 246,628 Increase (decrease) in net assets attributable to holders of redeemable units 81,879 60,535 14,700 6,176 96,579 66,711 Distributions to holders of redeemable units From net investment income (823) (2,092) (42) (772) (865) (2,864) From net realized gains (10,753) - (1,850) - (12,603) - Return of capital (23,012) (17,347) (3,530) (2,050) (26,542) (19,397) Total distributions to holders of redeemable units (34,588) (19,439) (5,422) (2,822) (40,010) (22,261)

Redeemable unit transactions Proceeds from redeemable units issued 63,683 13,387 27,375 50,074 91,058 63,461 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (41,990) (23,090) (52,564) (8,729) (94,554) (31,819) Net increase (decrease) from redeemable unit transactions 21,693 (9,703) (25,189) 41,345 (3,496) 31,642 Net increase (decrease) in net assets attributable to holders of redeemable units 68,984 31,393 (15,911) 44,699 53,073 76,092 Net assets attributable to holders of redeemable units at the end of year 326,374 257,390 49,419 65,330 375,793 322,720

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

Annual Financial Statements - December 31, 2020 – 420 – CI First Asset Tech Giants Covered Call ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 96,579 66,711 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (60,262) (5,077) Unrealized foreign exchange (gain) loss on cash (1) 5 Commissions and other portfolio transaction costs 303 346 Change in unrealized (appreciation) depreciation in value of investments and derivatives (35,605) (60,770) Proceeds from sale and maturity of investments and derivatives 240,116 187,853 Purchase of investments and derivatives (201,815) (168,435) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 57 58 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 33 37 Amortization interest earned - - Change in other accounts receivable and payable 6 9 Net cash from (used in) operating activities 39,411 20,737

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (40,011) (22,261) Proceeds from issuance of redeemable units 1,119 366 Amounts paid on redemption of redeemable units (486) (435) Net cash from (used in) financing activities (39,378) (22,330)

Unrealized foreign exchange gain (loss) on cash 1 (5) Net increase (decrease) in cash 33 (1,593) Cash (bank overdraft), beginning of year 671 2,269 Cash (bank overdraft), end of year 705 671

Supplementary Information: Dividends received, net of withholding tax* 2,998 3,028 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (14) (7) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 421 – CI First Asset Tech Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES USD 45,231 Accenture PLC, Class ‘A’ 11,734,609 15,039,046 USD 23,740 Adobe Inc. 8,784,001 15,112,949 USD 121,302 Advanced Micro Devices Inc. 8,330,524 14,160,512 USD 6,887 Alphabet Inc., Class ‘A’ 11,022,417 15,364,453 USD 124,764 Altaba Inc. Escrow 2,640,363 2,318,657 USD 3,713 Amazon.com Inc. 10,854,239 15,393,156 USD 93,292 Apple Inc. 9,145,821 15,757,121 USD 135,092 Applied Materials Inc. 10,567,843 14,840,028 USD 5,662 Booking Holdings Inc. 13,598,305 16,052,290 USD 27,412 Broadcom Inc. 11,231,307 15,277,784 USD 261,902 Cisco Systems Inc. 14,735,395 14,918,534 USD 43,516 Facebook Inc., Class ‘A’ 12,216,941 15,130,747 USD 241,440 Intel Corp. 16,165,999 15,311,130 USD 94,415 International Business Machines Corp. 16,730,507 15,128,366 USD 31,368 Intuit Inc. 9,956,283 15,166,775 USD 6,998 MercadoLibre Inc. 15,274,921 14,922,448 USD 163,518 Micron Technology Inc. 11,153,813 15,648,119 USD 54,400 Microsoft Corp. 11,703,158 15,401,642 USD 22,388 NVIDIA Corp. 7,658,747 14,881,491 USD 182,151 Oracle Corp. 13,340,765 14,999,024 USD 79,671 QUALCOMM Inc. 8,142,108 15,449,289 USD 52,444 salesforce.com Inc. 10,920,127 14,855,205 USD 21,177 ServiceNow Inc. 9,670,529 14,837,503 USD 35,519 Snowflake Inc., Class ‘A’ 15,082,654 12,722,695 USD 72,421 Texas Instruments Inc. 10,865,708 15,130,273 USD 29,119 Zoom Video Communications Inc. 8,440,360 12,502,960 Total Equities 289,967,444 376,322,197 100.14 Adjustment for transaction costs (120,921) Total Investments 289,846,523 376,322,197 100.14 Total option contract(s) (2,148,121) (0.57) Total unrealized gain on forward foreign currency contract(s) 1,201,530 0.32 Total unrealized loss on forward foreign currency contract(s) (38,126) (0.01) Other Net Assets (Liabilities) 455,600 0.12 Net Assets Attributable to Holders of Redeemable Units 375,793,080 100.00

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

Annual Financial Statements - December 31, 2020 – 422 – CI First Asset Tech Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Option Contract(s)

Number of Strike Price Proceeds Fair Value Contract(s) Underlying Security (100 shares per contract) ($) Expiry Date ($) ($) (111) Accenture PLC, Class ‘A’ 265.00 January 16, 2021 (74,947) (37,442) (58) Adobe Inc. 500.00 January 16, 2021 (119,544) (80,104) (298) Advanced Micro Devices Inc. 97.50 January 16, 2021 (195,492) (53,295) (16) Alphabet Inc., Class ‘A’ 1,715.00 January 16, 2021 (119,366) (122,198) (9) Amazon.com Inc. 3,185.00 January 16, 2021 (129,163) (129,712) (229) Apple Inc. 130.00 January 16, 2021 (98,756) (147,933) (332) Applied Materials Inc. 87.50 January 16, 2021 (139,254) (79,449) (13) Booking Holdings Inc. 2,100.00 January 16, 2021 (127,714) (237,542) (67) Broadcom Inc. 440.00 January 16, 2021 (86,363) (71,639) (643) Cisco Systems Inc. 46.00 January 16, 2021 (53,283) (18,825) (106) Facebook Inc., Class ‘A’ 275.00 January 16, 2021 (120,098) (86,016) (593) Intel Corp. 50.00 January 16, 2021 (87,040) (98,883) (232) International Business Machines Corp. 130.00 January 16, 2021 (43,744) (24,216) (77) Intuit Inc. 380.00 January 16, 2021 (103,980) (74,980) (17) MercadoLibre Inc. 1,690.00 January 16, 2021 (171,696) (101,488) (401) Micron Technology Inc. 72.50 January 16, 2021 (198,596) (247,559) (133) Microsoft Corp. 225.00 January 16, 2021 (55,785) (49,519) (55) NVIDIA Corp. 530.00 January 16, 2021 (151,844) (79,811) (447) Oracle Corp. 65.00 January 16, 2021 (90,462) (48,933) (195) QUALCOMM Inc. 150.00 January 16, 2021 (119,195) (134,657) (128) salesforce.com Inc. 230.00 January 16, 2021 (110,159) (42,525) (52) ServiceNow Inc. 560.00 January 16, 2021 (143,499) (67,846) (87) Snowflake Inc., Class ‘A’ 335.00 January 16, 2021 (318,079) (32,392) (177) Texas Instruments Inc. 165.00 January 16, 2021 (87,195) (64,437) (71) Zoom Video Communications Inc. 410.00 January 16, 2021 (206,038) (16,720) Total Option Contract(s) (3,151,292) (2,148,121)

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 324,893,741 USD 254,310,000 1.28 1,201,530 Royal Bank of Canada A-1+ January 19, 2021 USD 7,395,000 CAD 9,448,592 0.78 (36,049) Toronto-Dominion Bank (The) A-1+ January 19, 2021 CAD 6,737,533 USD 5,295,000 1.27 (2,077) 1,163,404

*Credit rating provided by S&P Global Ratings.

Annual Financial Statements - December 31, 2020 – 423 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,201 - - 1,201 Derivative assets - Swaps and swaptions - - - - Total 1,201 - - 1,201 Derivative liabilities - Foreign currency forward contracts (38) - - (38) Derivative liabilities - Swaps and swaptions - - - - Total (38) - - (38) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 3,071 - - 3,071 Derivative assets - Swaps and swaptions - - - - Total 3,071 - - 3,071 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 424 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 245 346 Soft dollar commissions† 15 1

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

Unhedged Common Units Common Units 2020 2019 2020 2019 Number of redeemable units at the beginning of year 15,348,997 15,948,997 3,600,000 1,300,000 Redeemable units issued for cash 3,700,000 850,000 1,400,000 2,800,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (2,400,000) (1,450,000) (2,700,000) (500,000) Number of redeemable units at the end of year 16,648,997 15,348,997 2,300,000 3,600,000

Annual Financial Statements - December 31, 2020 – 425 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.650 Unhedged Common Units 0.650

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

2020 2019 Loaned - 14,857 Collateral (non-cash) - 15,617

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

2020 2019 Gross securities lending revenue 31 10 Charges (14) (4) Securities lending revenue 17 6 Charges as a % of gross securities lending revenue 45.7 40.0

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

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

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

Annual Financial Statements - December 31, 2020 – 426 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk (cont’d)

Common Units (cont’d) Concentration Risk For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. as at December 31, 2019~ Financial Instruments Net Net The table below summarizes the Fund’s exposure to concentration risk. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) as at December 31, 2019 U.S. Dollar 255,543 (254,433) 1,110 0.4 Categories Net Assets (%) Total 255,543 (254,433) 1,110 0.4 Equities 99.24 Total unrealized gain on forward foreign currency contract(s) 0.95 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Other Net Assets (Liabilities) 0.16 2019 - 10%) in relation to all other foreign currencies held in the Common Units, with all other variables Total call option position(s) (0.35) held constant, net assets attributable to holders of redeemable Common Units would have decreased or Total 100.00 increased, respectively, by approximately $403,000 (December 31, 2019 - $111,000). In practice, actual results may differ from this analysis and the difference may be material.

Credit Risk As at December 31, 2020 and 2019, the Fund’s exposure to credit risk through derivative instruments Unhedged Common Units was insignificant. as at December 31, 2020~ Financial Instruments Net Net Other Price Risk Exposure Derivatives Exposure Assets As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore Currency (in $000’s) (in $000’s) (in $000’s) (%) was sensitive to changes in general economic conditions in the United States. U.S. Dollar 49,501 (282) 49,219 99.6 Total 49,501 (282) 49,219 99.6 As at December 31, 2020, had the fair value of equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately as at December 31, 2019~ $37,632,000. In practice, actual results may differ from this analysis and the difference may be material. Financial Instruments Net Net Exposure Derivatives Exposure Assets The table below indicates how net assets attributable to holders of redeemable units would have Currency (in $000’s) (in $000’s) (in $000’s) (%) increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This U.S. Dollar 64,861 (227) 64,634 98.9 change is estimated based on the historical correlation between the return of the Fund’s securities as Total 64,861 (227) 64,634 98.9 compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on ~Includes monetary and non-monetary instruments, if any. net assets attributable to holders of redeemable units could be different.

As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Impact on Net Assets Attributable to Holders of Redeemable Units 2019 - 10%) in relation to all other foreign currencies held in the Unhedged Common Units, with all other as at December 31, 2019 variables held constant, net assets attributable to holders of redeemable Unhedged Common Units Benchmark ($) would have decreased or increased, respectively, by approximately $4,922,000 (December 31, 2019 - S&P 500 Information Technology Sector Total Return Index 27,134,629 $6,463,000). In practice, actual results may differ from this analysis and the difference may be material.

Currency Risk Interest Rate Risk The tables below summarize the Fund’s exposure to currency risk. As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives. Common Units as at December 31, 2020~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 326,914 (322,885) 4,029 1.2 Total 326,914 (322,885) 4,029 1.2

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

Annual Financial Statements - December 31, 2020 – 427 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy Fair Value Hierarchy (cont’d)

Long Positions at fair value as at December 31, 2019 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Level 1 Level 2 Level 3 Total derivatives carried at fair value. (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 317,075 - 3,180 320,255 Long Positions at fair value as at December 31, 2020 Derivatives, net - 3,071 - 3,071 Level 1 Level 2 Level 3 Total Total 317,075 3,071 3,180 323,326 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 376,323 - - 376,323 Derivatives, net - 1,163 - 1,163 Short Positions at fair value as at December 31, 2019 Total 376,323 1,163 - 377,486 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Option contract(s) (1,123) - - (1,123) Short Positions at fair value as at December 31, 2020 Total (1,123) - - (1,123) Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) There were no transfers between Level 1, 2 and 3 during the year ended December 31, 2019. Option contract(s) (2,148) - - (2,148) Total (2,148) - - (2,148)

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

During the year ended December 31, 2020, investments with a fair value of $3,180,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments. for the year ended December 31, 2019 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2018 Purchases Sales In (Out) (Loss) (Loss)* Dec. 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Long Positions/Assets: Equities - 4,037 (36) - - - (821) 3,180 Total - 4,037 (36) - - - (821) 3,180

*Change in unrealized gain (loss) related to investments held at December 31, 2019 was ($821,000).

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

Annual Financial Statements - December 31, 2020 – 428 – CI First Asset U.S. & Canada Lifeco Income ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 72,171 121,414 8.72 11.37 8,275,890 10,675,890 Current assets Investments 72,135 119,626 Investments pledged as collateral - - Cash 327 501 Unrealized gain on futures and foreign currency forward contracts 182 1,545 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 72,644 121,672 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 15 - Swaps, swaptions and options 362 135 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 46 79 Accounts payable and accrued liabilities 50 44 473 258 Net assets attributable to holders of redeemable units 72,171 121,414

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

Annual Financial Statements - December 31, 2020 – 429 – CIG - 580530297 CI First Asset U.S. & Canada Lifeco Income ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (19,057) 27,485 (2.11) 2.14 9,049,524 12,868,219 Net gain (loss) on investments and derivatives Dividends 3,268 4,857 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (8,591) (3,628) Change in unrealized appreciation (depreciation) in value of investments and derivatives (12,564) 27,994 Total net gain (loss) on investments and derivatives (17,887) 29,223 Other income Foreign exchange gain (loss) on cash 19 (64) Securities lending revenue (Note 6) 2 4 Fees rebate - - Miscellaneous foreign income - 272 Other income - - Total other income 21 212 Total income (17,866) 29,435 Expenses Custody fees 21 28 Unitholders reporting costs 48 55 Management fees (Note 5) 569 1,081 Audit fees 5 4 Legal fees - 5 Independent review committee fees - 2 Commissions and other portfolio transaction costs 166 228 Securities borrowing fees (Note 2) - - Interest expense - 1 Withholding taxes 318 436 Harmonized sales tax 64 110 Other expenses - - Total expenses 1,191 1,950 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (19,057) 27,485

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

Annual Financial Statements - December 31, 2020 – 430 – CI First Asset U.S. & Canada Lifeco Income ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 121,414 151,494 Increase (decrease) in net assets attributable to holders of redeemable units (19,057) 27,485 Distributions to holders of redeemable units From net investment income (2,325) (3,601) From net realized gains - - Return of capital (6,597) (5,128) Total distributions to holders of redeemable units (8,922) (8,729)

Redeemable unit transactions Proceeds from redeemable units issued 2,058 1,076 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (23,322) (49,912) Net increase (decrease) from redeemable unit transactions (21,264) (48,836) Net increase (decrease) in net assets attributable to holders of redeemable units (49,243) (30,080) Net assets attributable to holders of redeemable units at the end of year 72,171 121,414

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

Annual Financial Statements - December 31, 2020 – 431 – CI First Asset U.S. & Canada Lifeco Income ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (19,057) 27,485 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 8,591 3,628 Unrealized foreign exchange (gain) loss on cash (1) 1 Commissions and other portfolio transaction costs 166 207 Change in unrealized (appreciation) depreciation in value of investments and derivatives 12,564 (27,994) Proceeds from sale and maturity of investments and derivatives 40,674 51,012 Purchase of investments and derivatives (34,689) (45,174) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (33) (22) Amortization interest earned - - Change in other accounts receivable and payable 6 (48) Net cash from (used in) operating activities 8,221 9,095

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (8,922) (8,729) Proceeds from issuance of redeemable units 450 (15) Amounts paid on redemption of redeemable units 76 (879) Net cash from (used in) financing activities (8,396) (9,623)

Unrealized foreign exchange gain (loss) on cash 1 (1) Net increase (decrease) in cash (175) (528) Cash (bank overdraft), beginning of year 501 1,030 Cash (bank overdraft), end of year 327 501

Supplementary Information: Dividends received, net of withholding tax* 2,950 4,421 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 432 – CI First Asset U.S. & Canada Lifeco Income ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Canada 255,656 Great-West Lifeco Inc. 7,649,901 7,759,160 308,325 Manulife Financial Corp. 6,804,396 6,983,561 139,171 Sun Life Financial Inc. 6,580,416 7,877,079 21,034,713 22,619,800 31.34 U.S.A. USD 124,823 Aflac Inc. 7,050,124 7,065,714 USD 64,661 Globe Life Inc. 6,267,853 7,815,871 USD 100,087 Lincoln National Corp. 7,806,422 6,409,531 USD 128,969 MetLife Inc. 8,023,283 7,707,530 USD 110,242 Principal Financial Group Inc. 7,140,002 6,961,624 USD 68,600 Prudential Financial Inc. 8,515,409 6,817,146 USD 230,728 Unum Group 11,035,935 6,737,333 55,839,028 49,514,749 68.61 Total Equities 76,873,741 72,134,549 99.95 Adjustment for transaction costs (114,478) Total Investments 76,759,263 72,134,549 99.95 Total option contract(s) (361,674) (0.50) Total unrealized gain on forward foreign currency contract(s) 182,491 0.25 Total unrealized loss on forward foreign currency contract(s) (15,074) (0.02) Other Net Assets (Liabilities) 230,537 0.32 Net Assets Attributable to Holders of Redeemable Units 72,170,829 100.00

Option Contract(s)

Number of Strike Price Proceeds Fair Value Contract(s) Underlying Security (100 shares per contract) ($) Expiry Date ($) ($) (309) Aflac Inc. 45.00 January 16, 2021 (39,119) (27,533) (160) Globe Life Inc. 95.00 January 16, 2021 (39,489) (23,420) (633) Great-West Lifeco Inc. 30.00 January 16, 2021 (18,990) (41,145) (247) Lincoln National Corp. 50.00 January 16, 2021 (64,119) (53,449) (763) Manulife Financial Corp. 23.00 January 16, 2021 (21,364) (13,734) (319) MetLife Inc. 47.50 January 16, 2021 (40,385) (35,530) (273) Principal Financial Group Inc. 50.00 January 16, 2021 (30,721) (35,619) (173) Prudential Financial Inc. 77.50 January 16, 2021 (53,095) (50,649) (344) Sun Life Financial Inc. 58.00 January 16, 2021 (11,008) (7,912) (571) Unum Group 22.50 January 16, 2021 (50,382) (72,683) Total Option Contract(s) (368,672) (361,674)

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) HSBC Bank, Toronto A-1 January 19, 2021 USD 880,000 CAD 1,135,160 0.78 (15,074) Morgan Stanley & Co. International PLC A-1 January 19, 2021 CAD 48,546,900 USD 38,000,000 1.28 179,537 Royal Bank of Canada A-1+ January 19, 2021 CAD 1,193,045 USD 935,000 1.28 2,954 167,417

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 433 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 182 - - 182 Derivative assets - Swaps and swaptions - - - - Total 182 - - 182 Derivative liabilities - Foreign currency forward contracts (15) - - (15) Derivative liabilities - Swaps and swaptions - - - - Total (15) - - (15) as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,545 - - 1,545 Derivative assets - Swaps and swaptions - - - - Total 1,545 - - 1,545 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2020 – 434 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 148 207 Soft dollar commissions† 9 4

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 10,675,890 15,025,890 Redeemable units issued for cash 250,000 100,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (2,650,000) (4,450,000) Number of redeemable units at the end of year 8,275,890 10,675,890

Annual Financial Statements - December 31, 2020 – 435 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.750

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

2020 2019 Loaned 1,812 2,032 Collateral (non-cash) 1,903 2,134

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

2020 2019 Gross securities lending revenue 4 7 Charges (2) (3) Securities lending revenue 2 4 Charges as a % of gross securities lending revenue 40.0 40.0

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

2020 Capital loss carried forward: 5,179 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 436 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk (cont’d)

as at December 31, 2019~ Concentration Risk Financial Instruments Net Net For Concentration Risk as at December 31, 2020, refer to the Schedule of Investment Portfolio. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) The table below summarizes the Fund’s exposure to concentration risk. U.S. Dollar 80,363 (65,019) 15,344 12.6 Total 80,363 (65,019) 15,344 12.6 as at December 31, 2019 Categories Net Assets (%) ~Includes monetary and non-monetary instruments, if any. U.S.A. 66.10 Canada 32.43 As at December 31, 2020, had the Canadian dollar strengthened or weakened by 10% (December 31, Total unrealized gain on forward foreign currency contract(s) 1.27 2019 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held Other Net Assets (Liabilities) 0.31 constant, net assets attributable to holders of redeemable units of the Fund would have decreased or Total call option position(s) (0.11) increased, respectively, by approximately $78,000 (December 31, 2019 - $1,534,000). In practice, actual Total 100.00 results may differ from this analysis and the difference may be material.

Other Price Risk Fair Value Hierarchy As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. and Canadian equities and therefore was sensitive to changes in general economic conditions in the United States and in Canada. The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value. As at December 31, 2020, had the fair value of equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of Long Positions at fair value as at December 31, 2020 redeemable units of the Fund would have increased or decreased, respectively, by approximately Level 1 Level 2 Level 3 Total $7,214,000. In practice, actual results may differ from this analysis and the difference may be material. (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 72,135 - - 72,135 The table below indicates how net assets attributable to holders of redeemable units would have Derivatives, net - 167 - 167 increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Total 72,135 167 - 72,302 change is estimated based on the historical correlation between the return of the Fund’s securities as compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on Short Positions at fair value as at December 31, 2020 net assets attributable to holders of redeemable units could be different. Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Impact on Net Assets Attributable to Holders of Redeemable Units Option contract(s) (362) - - (362) as at December 31, 2019 Total (362) - - (362) Benchmark ($) S&P 500 Life & Health Insurance Total Return Index 10,919,920 Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total Currency Risk (in $000’s) (in $000’s) (in $000’s) (in $000’s) The tables below summarize the Fund’s exposure to currency risk. Equities 119,626 - - 119,626 Derivatives - 1,545 - 1,545 as at December 31, 2020~ Total 119,626 1,545 - 121,171 Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 49,518 (48,736) 782 1.1 Total 49,518 (48,736) 782 1.1

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

Annual Financial Statements - December 31, 2020 – 437 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Option contract(s) (135) - - (135) Total (135) - - (135)

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

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

Annual Financial Statements - December 31, 2020 – 438 – CI First Asset U.S. Buyback Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 13,475 22,180 33.69 31.69 400,000 700,000 Current assets Investments 13,232 21,843 Investments pledged as collateral - - Cash 40 99 Unrealized gain on futures and foreign currency forward contracts 222 445 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 12 27 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 13,506 22,414 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 173 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 7 12 Accounts payable and accrued liabilities 24 49 31 234 Net assets attributable to holders of redeemable units 13,475 22,180

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

Annual Financial Statements - December 31, 2020 – 439 – CIG - 580530047 CI First Asset U.S. Buyback Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units (2,800) 7,202 (5.90) 7.35 474,590 979,863 Net gain (loss) on investments and derivatives Dividends 332 579 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (2,847) 1,336 Change in unrealized appreciation (depreciation) in value of investments and derivatives (122) 5,612 Total net gain (loss) on investments and derivatives (2,637) 7,527 Other income Foreign exchange gain (loss) on cash 2 (1) Securities lending revenue (Note 6) 3 1 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 5 - Total income (2,632) 7,527 Expenses Custody fees 22 21 Unitholders reporting costs 21 47 Management fees (Note 5) 80 167 Audit fees 5 4 Legal fees - 1 Independent review committee fees - - Commissions and other portfolio transaction costs 11 13 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 45 82 Harmonized sales tax 16 27 Other expenses - - Total expenses 200 362 Expenses absorbed by the Manager (Note 5) (32) (37) Increase (decrease) in net assets attributable to holders of redeemable units (2,800) 7,202

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

Annual Financial Statements - December 31, 2020 – 440 – CI First Asset U.S. Buyback Index ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 22,180 29,454 Increase (decrease) in net assets attributable to holders of redeemable units (2,800) 7,202 Distributions to holders of redeemable units From net investment income (180) (290) From net realized gains - - Return of capital - (1) Total distributions to holders of redeemable units (180) (291)

Redeemable unit transactions Proceeds from redeemable units issued 2,526 13,000 Reinvestment of distributions to holders of redeemable units 32 95 Redemption of redeemable units (8,283) (27,280) Net increase (decrease) from redeemable unit transactions (5,725) (14,185) Net increase (decrease) in net assets attributable to holders of redeemable units (8,705) (7,274) Net assets attributable to holders of redeemable units at the end of year 13,475 22,180

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

Annual Financial Statements - December 31, 2020 – 441 – CI First Asset U.S. Buyback Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (2,800) 7,202 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 2,847 (1,336) Unrealized foreign exchange (gain) loss on cash - 1 Commissions and other portfolio transaction costs 11 4 Change in unrealized (appreciation) depreciation in value of investments and derivatives 122 (5,612) Proceeds from sale and maturity of investments and derivatives 7,438 10,898 Purchase of investments and derivatives (8,186) (11,050) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 15 8 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (5) (6) Amortization interest earned - - Change in other accounts receivable and payable (25) 6 Net cash from (used in) operating activities (583) 115

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (149) (196) Proceeds from issuance of redeemable units (4) (95) Amounts paid on redemption of redeemable units 677 8 Net cash from (used in) financing activities 524 (283)

Unrealized foreign exchange gain (loss) on cash - (1) Net increase (decrease) in cash (59) (168) Cash (bank overdraft), beginning of year 99 268 Cash (bank overdraft), end of year 40 99

Supplementary Information: Dividends received, net of withholding tax* 303 505 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 442 – CI First Asset U.S. Buyback Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services USD 352 Charter Communications Inc., Class ‘A’ 209,351 296,415 2.20

Consumer Discretionary USD 185 AutoZone Inc. 248,877 279,155 USD 1,941 Best Buy Co. Inc. 198,716 246,551 USD 128 Booking Holdings Inc. 320,758 362,892 USD 2,284 CarMax Inc. 247,619 274,624 USD 4,223 eBay Inc. 289,913 270,117 USD 1,311 Lowe’s Cos. Inc. 197,795 267,854 USD 476 O’Reilly Automotive Inc. 245,958 274,212 USD 2,268 Ross Stores Inc. 303,760 354,545 USD 1,372 Target Corp. 196,965 308,295 USD 2,293 Yum! Brands Inc. 287,877 316,861 2,538,238 2,955,106 21.93

Consumer Staples USD 1,553 Walmart Inc. 238,850 284,958 2.11

Financials USD 2,346 Allstate Corp. (The) 318,567 328,275 USD 2,148 American Express Co. 312,386 330,591 USD 1,374 Ameriprise Financial Inc. 268,808 339,876 USD 9,015 Bank of America Corp. 372,036 347,813 USD 4,999 Citigroup Inc. 383,868 392,357 USD 8,327 Citizens Financial Group Inc. 280,667 379,036 USD 3,582 Discover Financial Services 279,807 412,774 USD 6,148 Loews Corp. 292,102 352,317 USD 2,333 M&T Bank Corp. 321,260 378,040 USD 4,550 Morgan Stanley 209,891 396,905 USD 18,263 Regions Financial Corp. 368,463 374,741 USD 7,948 Synchrony Financial 283,969 351,161 USD 2,010 Travelers Cos. Inc. (The) 338,881 359,141 USD 9,097 Wells Fargo & Co. 459,379 349,471 4,490,084 5,092,498 37.79 Health Care USD 889 Amgen Inc. 262,325 260,179 USD 1,392 IQVIA Holdings Inc. 254,753 317,467 USD 5,999 Pfizer Inc. 313,191 281,086 USD 744 Viatris Inc. 15,034 17,748 845,303 876,480 6.51 Industrials USD 2,829 CSX Corp. 270,806 326,794 USD 1,180 United Rentals Inc. 247,061 348,334 USD 607 W.W. Grainger Inc. 258,897 315,504 776,764 990,632 7.35 Information Technology USD 1,931 Apple Inc. 170,082 326,148 USD 5,703 Cisco Systems Inc. 367,291 324,856 USD 6,652 Corning Inc. 267,945 304,824 USD 23,168 Hewlett Packard Enterprise Co. 396,223 349,463 USD 11,432 HP Inc. 317,890 357,829 USD 1,810 International Business Machines Corp. 326,660 290,021 USD 5,104 NetApp Inc. 293,321 430,353 2,139,412 2,383,494 17.69

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

Annual Financial Statements - December 31, 2020 – 443 – CI First Asset U.S. Buyback Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Materials USD 3,021 LyondellBasell Industries NV, Class ‘A’ 346,175 352,472 346,175 352,472 2.62 Total Equities 11,584,177 13,232,055 98.20 Adjustment for transaction costs (3,118) Total Investments 11,581,059 13,232,055 98.20 Total unrealized gain on forward foreign currency contract(s) 222,398 1.65 Other Net Assets (Liabilities) 20,184 0.15 Net Assets Attributable to Holders of Redeemable Units 13,474,637 100.00

Forward Foreign Currency Contract(s)

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 444 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 222 - - 222 Derivative assets - Swaps and swaptions - - - - Total 222 - - 222 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 445 (173) - 272 Derivative assets - Swaps and swaptions - - - - Total 445 (173) - 272 Derivative liabilities - Foreign currency forward contracts (173) 173 - - Derivative liabilities - Swaps and swaptions - - - - Total (173) 173 - -

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

Annual Financial Statements - December 31, 2020 – 445 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 4 4 Soft dollar commissions† - -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 700,000 1,200,000 Redeemable units issued for cash 100,000 450,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (400,000) (950,000) Number of redeemable units at the end of year 400,000 700,000

Annual Financial Statements - December 31, 2020 – 446 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.600

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

2020 2019 Loaned 294 - Collateral (non-cash) 309 -

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

2020 2019 Gross securities lending revenue 5 1 Charges (2) - Securities lending revenue 3 1 Charges as a % of gross securities lending revenue 41.1 40.1

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

2020 Capital loss carried forward: 1,696 Non-capital losses expiring: 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - 2040 - Total -

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

Annual Financial Statements - December 31, 2020 – 447 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The table below summarizes the Fund’s exposure to currency risk.

Credit Risk As at December 31, 2019, the Fund did not have significant exposure to currency risk as substantially all The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, of its investments were denominated in Canadian dollars, the functional currency of the Fund. with the following credit ratings, as per the table below. as at December 31, 2020 Interest Rate Risk Credit Rating^* Net Assets (%) As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as AA/Aa/A+ 1.7 substantially all of its assets were invested in equities and derivatives. Total 1.7

^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Fair Value Hierarchy Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference. The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and As at December 31, 2019, the Fund’s exposure to credit risk through derivative instruments was derivatives carried at fair value. insignificant. Long Positions at fair value as at December 31, 2020 Level 1 Level 2 Level 3 Total Other Price Risk (in $000’s) (in $000’s) (in $000’s) (in $000’s) As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore Equities 13,232 - - 13,232 was sensitive to changes in general economic conditions in the United States. Derivatives, net - 222 - 222 Total 13,232 222 - 13,454 The table below indicates how net assets attributable to holders of redeemable units would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This change is estimated based on the historical correlation between the return of the Fund’s securities as Long Positions at fair value as at December 31, 2019 compared to the return of the benchmark(s), as at year end, with all other variables held constant. The Level 1 Level 2 Level 3 Total historical correlation may not be representative of the future correlation, and accordingly the impact on (in $000’s) (in $000’s) (in $000’s) (in $000’s) net assets attributable to holders of redeemable units could be different. Equities 21,843 - - 21,843 Derivatives, net - 272 - 272 Impact on Net Assets Attributable to Holders of Redeemable Units Total 21,843 272 - 22,115 as at December 31, 2020 Benchmark ($) There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. CIBC U.S. Buyback Total Return Index 1,321,269

as at December 31, 2019 Benchmark ($) CIBC U.S. Buyback Total Return Index 2,182,399

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

Annual Financial Statements - December 31, 2020 – 448 – CI First Asset U.S. TrendLeaders Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per Series (Note 4): units per unit: units outstanding:

2020 2019 2020 2019 2020 2019 2020 2019 Assets Common Units 37,234 26,169 33.85 22.76 1,100,000 1,150,000 Current assets Investments 36,588 25,920 Investments pledged as collateral - - Cash 183 30 Unrealized gain on futures and foreign currency forward contracts 534 393 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Cash collateral on deposit for short sale - - Dividends receivable 5 20 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 37,310 26,363 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 2 113 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 21 17 Accounts payable and accrued liabilities 53 64 76 194 Net assets attributable to holders of redeemable units 37,234 26,169

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

Annual Financial Statements - December 31, 2020 – 449 – CIG - 580530087 CI First Asset U.S. TrendLeaders Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per Series: units per unit: number of units: 2020 2019 2020 2019 2020 2019 2020 2019 Income Common Units 9,281 5,939 10.47 2.84 886,202 2,091,096 Net gain (loss) on investments and derivatives Dividends 175 495 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 6,528 (248) Change in unrealized appreciation (depreciation) in value of investments and derivatives 2,874 6,294 Total net gain (loss) on investments and derivatives 9,577 6,541 Other income Foreign exchange gain (loss) on cash (2) 30 Securities lending revenue (Note 6) 6 9 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 4 39 Total income 9,581 6,580 Expenses Custody fees 19 21 Unitholders reporting costs 22 49 Management fees (Note 5) 172 346 Audit fees 5 4 Legal fees - 2 Independent review committee fees - 1 Commissions and other portfolio transaction costs 50 136 Securities borrowing fees (Note 2) - - Interest expense - 2 Withholding taxes 16 71 Harmonized sales tax 21 38 Other expenses - - Total expenses 305 670 Expenses absorbed by the Manager (Note 5) (5) (29) Increase (decrease) in net assets attributable to holders of redeemable units 9,281 5,939

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

Annual Financial Statements - December 31, 2020 – 450 – CI First Asset U.S. TrendLeaders Index ETF Financial Statements

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

Common Units 2020 2019 Net assets attributable to holders of redeemable units at the beginning of year 26,169 68,506 Increase (decrease) in net assets attributable to holders of redeemable units 9,281 5,939 Distributions to holders of redeemable units From net investment income - - From net realized gains (1,803) - Return of capital (87) (1) Total distributions to holders of redeemable units (1,890) (1)

Redeemable unit transactions Proceeds from redeemable units issued 13,858 3,125 Reinvestment of distributions to holders of redeemable units 1,890 1 Redemption of redeemable units (12,074) (51,401) Net increase (decrease) from redeemable unit transactions 3,674 (48,275) Net increase (decrease) in net assets attributable to holders of redeemable units 11,065 (42,337) Net assets attributable to holders of redeemable units at the end of year 37,234 26,169

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

Annual Financial Statements - December 31, 2020 – 451 – CI First Asset U.S. TrendLeaders Index ETF Financial Statements

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

2020 2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 9,281 5,939 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (6,528) 248 Unrealized foreign exchange (gain) loss on cash - 1 Commissions and other portfolio transaction costs 50 116 Change in unrealized (appreciation) depreciation in value of investments and derivatives (2,874) (6,294) Proceeds from sale and maturity of investments and derivatives 154,325 403,891 Purchase of investments and derivatives (156,173) (404,244) (Increase) decrease in cash collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 16 36 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 4 (28) Amortization interest earned - - Change in other accounts receivable and payable (12) (29) Net cash from (used in) operating activities (1,911) (364)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 2,102 949 Amounts paid on redemption of redeemable units (38) (1,583) Net cash from (used in) financing activities 2,064 (634)

Unrealized foreign exchange gain (loss) on cash - (1) Net increase (decrease) in cash 153 (998) Cash (bank overdraft), beginning of year 30 1,029 Cash (bank overdraft), end of year 183 30

Supplementary Information: Dividends received, net of withholding tax* 175 460 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (2) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2020 – 452 – CI First Asset U.S. TrendLeaders Index ETF Schedule of Investment Portfolio as at December 31, 2020

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES Communication Services USD 1,899 Roku Inc. 575,835 802,571 USD 11,253 Snap Inc., Class ‘A’ 631,165 717,200 USD 4,013 T-Mobile US Inc. 688,532 688,834 USD 4,988 Zillow Group Inc., Class ‘C’ 583,339 824,129 2,478,871 3,032,734 8.14 Consumer Discretionary USD 2,368 Carvana Co. 571,561 722,028 USD 8,678 Crocs Inc. 692,259 692,157 USD 3,456 Etsy Inc. 625,514 782,651 USD 51,340 Qurate Retail Inc. 691,800 716,897 USD 937 Tesla Motors Inc. 702,887 841,658 3,284,021 3,755,391 10.09 Financials USD 7,729 Eaton Vance Corp. 634,821 668,312 USD 2,210 Kinsale Capital Group Inc. 684,656 562,987 1,319,477 1,231,299 3.31 Health Care USD 1,057 Align Technology Inc. 514,325 718,984 USD 23,005 Amicus Therapeutics Inc. 690,922 676,146 USD 6,072 Biohaven Pharmaceutical Holding Co. Ltd. 691,959 662,457 USD 5,732 Catalent Inc. 698,090 759,322 USD 4,295 Exact Sciences Corp. 710,199 724,337 USD 13,143 Halozyme Therapeutics Inc. 693,649 714,527 USD 1,154 IDEXX Laboratories Inc. 680,201 734,272 USD 10,829 Invitae Corp. 693,648 576,319 USD 2,779 iRhythm Technologies Inc. 788,757 839,104 USD 2,359 Mirati Therapeutics Inc. 545,373 659,529 USD 5,887 Natera Inc. 702,336 745,759 USD 7,794 Sage Therapeutics Inc. 705,910 858,264 USD 4,527 Ultragenyx Pharmaceutical Inc. 664,165 797,692 8,779,534 9,466,712 25.42 Industrials USD 1,831 FedEx Corp. 638,666 605,091 USD 2,535 Generac Holdings Inc. 626,831 733,807 USD 22,204 Plug Power Inc. 718,323 958,414 USD 8,762 Sunrun Inc. 692,402 773,806 2,676,222 3,071,118 8.25 Information Technology USD 4,500 BlackLine Inc. 701,047 764,007 USD 7,454 Brooks Automation Inc. 691,839 643,774 USD 4,175 Enphase Energy Inc. 541,200 932,510 USD 1,381 HubSpot Inc. 591,832 696,892 USD 7,666 II-VI Inc. 695,612 741,222 USD 1,113 Lam Research Corp. 689,766 669,083 USD 12,658 Lattice Semiconductor Corp. 692,615 738,269 USD 11,714 Marvell Technology Group Ltd. 689,571 708,857 USD 1,993 MongoDB Inc. 723,114 910,844 USD 1,664 Monolithic Power Systems Inc. 690,648 775,714 USD 984 NVIDIA Corp. 684,846 654,073 USD 1,271 Paycom Software Inc. 635,511 731,675 USD 3,564 QUALCOMM Inc. 614,613 691,108 USD 1,015 ServiceNow Inc. 627,143 711,152 USD 2,645 Square Inc., Class ‘A’ 701,623 732,755 USD 4,689 Teradyne Inc. 693,301 715,579 USD 616 Trade Desk Inc. (The) 534,987 628,069

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

Annual Financial Statements - December 31, 2020 – 453 – CI First Asset U.S. TrendLeaders Index ETF Schedule of Investment Portfolio as at December 31, 2020 (cont’d)

Number of Units/Shares Average Cost Fair Value % of Net or Par Value Description ($) ($) Assets

EQUITIES (cont’d) Information Technology (cont’d) USD 1,666 Twilio Inc. 635,942 717,841 USD 3,633 Xilinx Inc. 688,345 655,608 USD 4,035 Zendesk Inc. 633,863 735,086 13,157,418 14,554,118 39.09 Materials USD 3,950 Albemarle Corp. 694,816 741,724 USD 22,193 Freeport-McMoRan Inc. 527,730 735,051 1,222,546 1,476,775 3.97 Total Equities 32,918,089 36,588,147 98.27 Adjustment for transaction costs (3,670) Total Investments 32,914,419 36,588,147 98.27 Total unrealized gain on forward foreign currency contract(s) 534,280 1.43 Total unrealized loss on forward foreign currency contract(s) (2,408) (0.01) Other Net Assets (Liabilities) 113,564 0.31 Net Assets Attributable to Holders of Redeemable Units 37,233,583 100.00

Forward Foreign Currency Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty* Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Bank of Montreal A-1 January 8, 2021 CAD 1,958,861 USD 1,535,000 1.28 4,984 Citibank N.A., New York A-1 January 8, 2021 CAD 28,639,331 USD 22,110,000 1.30 495,866 HSBC Bank, Toronto A-1 January 8, 2021 CAD 877,190 USD 680,000 1.29 11,629 HSBC Bank, Toronto A-1 January 8, 2021 CAD 742,476 USD 585,000 1.27 (2,161) Royal Bank of Canada A-1+ January 8, 2021 CAD 1,897,417 USD 1,485,000 1.28 7,184 Royal Bank of Canada A-1+ January 8, 2021 CAD 1,266,742 USD 990,000 1.28 6,586 Toronto-Dominion Bank (The) A-1+ January 8, 2021 CAD 733,575 USD 570,000 1.29 8,031 Toronto-Dominion Bank (The) A-1+ January 8, 2021 CAD 782,577 USD 615,000 1.27 (247) 531,872

*Credit rating provided by S&P Global Ratings. Percentages shown relate investments at fair value to net assets attributable to holders of redeemable units of the Fund.

Annual Financial Statements - December 31, 2020 – 454 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2020 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 534 (2) - 532 Derivative assets - Swaps and swaptions - - - - Total 534 (2) - 532 Derivative liabilities - Foreign currency forward contracts (2) 2 - - Derivative liabilities - Swaps and swaptions - - - - Total (2) 2 - - as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 393 (113) - 280 Derivative assets - Swaps and swaptions - - - - Total 393 (113) - 280 Derivative liabilities - Foreign currency forward contracts (113) 113 - - Derivative liabilities - Swaps and swaptions - - - - Total (113) 113 - -

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

Annual Financial Statements - December 31, 2020 – 455 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

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

2020 2019 Brokerage commissions 37 116 Soft dollar commissions† 2 -

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

Common Units 2020 2019 Number of redeemable units at the beginning of year 1,150,000 3,350,000 Redeemable units issued for cash 450,000 150,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (500,000) (2,350,000) Number of redeemable units at the end of year 1,100,000 1,150,000

Annual Financial Statements - December 31, 2020 – 456 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2020 (%)

Annual management fee rate: Common Units 0.750

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

2020 2019 Loaned 7,741 2,909 Collateral (non-cash) 8,137 3,062

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

2020 2019 Gross securities lending revenue 10 16 Charges (4) (7) Securities lending revenue 6 9 Charges as a % of gross securities lending revenue 41.0 41.0

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

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

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

Annual Financial Statements - December 31, 2020 – 457 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10) Currency Risk The table below summarizes the Fund’s exposure to currency risk.

Credit Risk Interest Rate Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, As at December 31, 2020 and 2019, the Fund did not have significant exposure to interest rate risk as with the following credit ratings, as per the table below. substantially all of its assets were invested in equities and derivatives. as at December 31, 2020 Credit Rating^* Net Assets (%) Fair Value Hierarchy AAA/Aaa/A++ 0.1 AA/Aa/A+ 1.4 Total 1.5 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value. ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service, respectively. Long Positions at fair value as at December 31, 2020 *Refer to Note 10 for Credit Rating Chart reference. Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) As at December 31, 2019, the Fund’s exposure to credit risk through derivative instruments was Equities 36,588 - - 36,588 insignificant. Derivatives, net - 532 - 532 Total 36,588 532 - 37,120

Other Price Risk As at December 31, 2020 and 2019, the Fund was predominantly invested in U.S. equities and therefore Long Positions at fair value as at December 31, 2019 was sensitive to changes in general economic conditions in the United States. Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) The table below indicates how net assets attributable to holders of redeemable units would have Equities 25,920 - - 25,920 increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This Derivatives, net - 280 - 280 change is estimated based on the historical correlation between the return of the Fund’s securities as Total 25,920 280 - 26,200 compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2020 and 2019. net assets attributable to holders of redeemable units could be different.

Impact on Net Assets Attributable to Holders of Redeemable Units as at December 31, 2020 Benchmark ($) CIBC U.S. TrendLeaders Total Return Index 3,654,087

as at December 31, 2019 Benchmark ($) CIBC U.S. TrendLeaders Total Return Index 2,438,599

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

Annual Financial Statements - December 31, 2020 – 458 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements

1. THE FUNDS The Funds listed under the heading Corporate Class in the below table are ETF share series of CI First Asset Fund Corp. (Fund Corporation), were established under the laws of the Province of Ontario as a mutual fund corporation on June 28, 2010. Each series of shares is referred to as a Fund (the Fund) and collectively (the Funds). These financial statements only present the financial information of each of the corporate series as separate reporting entities.

The remaining Funds (individually, a Trust, and collectively, the Trusts) were established as investment funds under the laws of the Province of Ontario and governed by a Declaration of Trust.

On July 1, 2019, First Asset Investment Management Inc. amalgamated with CI Investments Inc. (CI). Effective July 1, 2019, CI became the manager, (the Manager) to the Funds. CI is a subsidiary of CI Financial Corp. CIBC Mellon Trust Company is the custodian (the Custodian) of the Funds.

Effective April 29, 2019, First Asset ETFs were rebranded as CI First Asset ETFs.

Each CI First Asset Exchange Traded Funds is referred to individually as (a Fund) and collectively (the Funds). Each Fund’s registered office is at 2 Queen Street East, Suite 2000, Toronto, Canada, M5C 3G7. These financial statements were authorized for issue by the Manager on March 11, 2021.

The objective of each Fund is to pool and manage money contributed by investors unitholders/shareholders with similar investment goals. The Funds may invest in equities, fixed income securities, derivatives, underlying fund(s) or some combination thereof according to their specific investment objectives and strategies. Investments may be held for income or capital appreciation or both.

Effective on or about May 27, 2020, units that were previously issued as Class of units, as applicable, were renamed as Series of units.

The table below outlines investment objective(s) of each of the Fund:

Fund Investment Objectives TRUSTS CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF The Fund seeks to replicate, to the extent possible, the performance of the FTSE Canada 1-5 Year Laddered Government Strip Bond IndexTM, net of expenses. CI First Asset Active Canadian Dividend ETF The Fund seeks long-term total returns consisting of regular dividend income and long-term capital appreciation from an actively managed portfolio comprised primarily of dividend-paying and other equity securities of Canadian issuers. The Fund may also invest up to 30% of its net asset value in dividend paying and other equity securities of non-Canadian issuers. CI First Asset Active Credit ETF The Fund seeks to maximize long term risk-adjusted total returns, delivered through cash distributions and long term capital appreciation, in a manner consistent with the preservation of capital and prudent risk management by actively investing primarily in Credit Securities of North American issuers, including high yield, investment grade bonds, senior floating rate loans of varying maturities and other floating rate fixed income securities. CI First Asset Active Utility & Infrastructure ETF The Fund seeks to provide unitholders with monthly cash distributions and the opportunity for capital appreciation from an actively managed portfolio comprised primarily of equity securities of issuers that: derive their revenue from the distribution, wholesale or retail, of oil, natural gas or other refined products typically pursuant to fixed rate transportation tolls or from power generation and sale including hydroelectric, gas-fired, coal-fired and wind, among others, typically pursuant to long term fixed price contracts; service and support these industries; or are otherwise in the energy infrastructure industry. CI First Asset Canadian Buyback Index ETF TThe Fund seeks to replicate, to the extent possible, the performance of the CIBC Canadian Buyback Index, net of expenses. CI First Asset Canadian Convertible Bond ETF The Fund seeks to provide unitholders with: (i) quarterly cash distributions and (ii) the opportunity for capital appreciation by investing on a capitalization weighted basis in a portfolio of convertible bonds of Canadian issuers. CI First Asset Canadian REIT ETF The Fund seeks long-term total returns consisting of regular income and long-term capital appreciation from an actively managed portfolio comprised primarily of securities of Canadian real estate investment trusts, real estate operating corporations and entities involved in real estate related services. CI First Asset Energy Giants Covered Call ETF The Fund seeks to provide unitholders, through an actively managed portfolio, with (i) quarterly cash distributions, (ii) the opportunity for capital appreciation by investing on an equal weight basis in a portfolio of equity securities of the 15 largest non-Canadian issuers classified within either the “Integrated Oil & Gas” or “Oil & Gas Exploration & Production” and (iii) lower overall volatility of returns on the portfolio than would be experienced by owning a portfolio of securities of such issuers directly.

Annual Financial Statements - December 31, 2020 – 459 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

Fund (cont’d) Investment Objectives TRUSTS (cont’d) CI First Asset Enhanced Government Bond ETF The Fund seeks long-term returns through interest income and capital appreciation. CI First Asset Enhanced Short Duration Bond The Fund seeks positive absolute returns over any twelve-month period with very low volatility and attractive monthly (formerly CI First Asset Enhanced Short Duration Bond ETF) distributions, regardless of the interest rate or credit environment. CI First Asset European Bank ETF The Fund seeks long-term total returns consisting of long-term capital appreciation from an actively managed portfolio comprised primarily of equity securities of European banks. CI First Asset Global Financial Sector ETF The Fund seeks long-term total returns consisting of long term capital appreciation and regular dividend income from an actively managed portfolio comprised primarily of equity securities of global financial issuers. CI First Asset Gold+ Giants Covered Call ETF The Fund seeks to provide unitholders, through an actively managed portfolio, with (i) quarterly cash distributions, (ii) the opportunity for capital appreciation by investing on an equal weight basis in a portfolio of securities of the 15 largest gold and precious metals companies measured by market capitalization listed on a North American stock exchange that have liquid options markets and (iii) lower overall volatility of returns on the portfolio than would be experienced by owning a portfolio of securities of such issuers directly. CI First Asset Health Care Giants Covered Call ETF The Fund seeks to provide unitholders, through an actively managed portfolio, with (i) regular cash distributions, (ii) the opportunity for capital appreciation by investing on an equal weight basis in a portfolio of securities of the 20 health care companies, as determined by the Manager in its discretion, with the largest market capitalization listed on a North American stock exchange and (iii) lower overall volatility of returns on the portfolio than would be experienced by owning a portfolio of securities of such issuers directly, by employing a covered call option writing program. CI First Asset High Interest Savings ETF The Fund seeks to maximize monthly income for unitholders while preserving capital and liquidity by investing primarily in high interest deposit accounts. CI First Asset Investment Grade Bond ETF The Fund seeks to provide unitholders with monthly cash distributions and to maximize total returns for unitholders consisting primarily of monthly distributions, while reducing risk and preserving capital. CI First Asset Long Duration Fixed Income ETF The Fund seeks to provide unitholders with: (a) regular distributions; and (b) the opportunity for capital appreciation from the performance of a portfolio comprised primarily of longer dated developed market Canadian and U.S. government issued fixed income securities. CI First Asset Morningstar Canada Dividend Target 30 Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Canada Target Dividend IndexTM, net of expenses. CI First Asset Morningstar Canada Momentum Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Canada Target Momentum IndexTM, net of expenses. CI First Asset Morningstar Canada Value Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Canada Target Value IndexTM, net of expenses. CI First Asset Morningstar International Momentum Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Developed Markets ex-North America Target Momentum IndexTM, net of expenses. CI First Asset Morningstar International Value Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Developed Markets ex-North America Target Value IndexTM, net of expenses. CI First Asset Morningstar National Bank Québec Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® National Bank Québec IndexTM, net of expenses. CI First Asset Morningstar US Dividend Target 50 Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® U.S. Target Dividend IndexTM, net of expenses. CI First Asset Morningstar US Momentum Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® U.S. Target Momentum IndexTM, net of expenses. CI First Asset Morningstar US Value Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® U.S. Target Value IndexTM, net of expenses. CI First Asset MSCI Canada Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI Canada Risk Weighted Index, net of expenses.

Annual Financial Statements - December 31, 2020 – 460 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

Fund (cont’d) Investment Objectives TRUSTS (cont’d) CI First Asset MSCI Europe Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI Europe Risk Weighted Top 100 Index Hedged to CAD, net of expenses. CI First Asset MSCI International Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI EAFE Risk Weighted Top 175 Index Hedged to CAD, net of expenses, and in respect of the Unhedged Units, the Fund’s investment objective is to replicate, to the extent possible, the performance of the MSCI EAFE Risk Weighted Top 175 Index, net of expenses. CI First Asset MSCI USA Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI USA Risk Weighted Top 150 Index Hedged to CAD, net of expenses, and in respect of the Unhedged Units, the Fund’s investment objective is to replicate, to the extent possible, the performance of the MSCI USA Risk Weighted Top 150 Index, net of expenses. CI First Asset MSCI World ESG Impact ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI World ESG Select Impact ex Fossil Fuels Index Hedged to CAD, net of expenses, and in respect of the Unhedged Common Units, the Fund’s investment objective is to replicate, to the extent possible, the performance of the MSCI World ESG Select Impact ex Fossil Fuels Index, net of expenses. CI First Asset MSCI World Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI World Risk Weighted Top 200 Index Hedged to CAD, net of expenses, and in respect of the Unhedged Units, the Fund’s investment objective is to replicate, to the extent possible, the performance of the MSCI World Risk Weighted Top 200 Index, net of expenses. CI First Asset Preferred Share ETF The Fund seeks to provide unitholders with: (a) regular distributions; and (b) the opportunity for capital appreciation from the performance of a portfolio comprised primarily of preferred shares of North American issuers. CI First Asset Tech Giants Covered Call ETF The Fund seeks to provide unitholders, through an actively managed portfolio, with (i) quarterly cash distributions, (ii) the opportunity for capital appreciation by investing on an equal weight basis in a portfolio of securities of the 25 largest technology issuers measured by market capitalization, whose common shares are listed on a North American stock exchange in the GICS Information Technology Sector, as well as those in the GICS Internet & Direct Marketing Retail, Interactive Home Entertainment and Interactive Media & Services Sub-Industries or such other Subindustry as the Manager considers appropriate, and excluding those in the GICS Data Processing & Outsourced Services Sub- Industry, and (iii) lower overall volatility of returns on the portfolio than would be experienced by owning a portfolio of securities of such issuers directly, by employing a covered call option writing program. CI First Asset U.S. & Canada Lifeco Income ETF The Fund seeks to provide unitholders with (i) quarterly cash distributions; (ii) the opportunity for capital appreciation; and (iii) lower overall volatility of portfolio returns than would be experienced by owning a portfolio of publicly traded common equity securities of the ten largest U.S. and Canadian life insurance companies by market capitalization directly. CI First Asset U.S. Buyback Index ETF The Fund seeks to replicate, to the extent possible, the performance of the CIBC U.S. Buyback Index, net of expenses. CI First Asset U.S. TrendLeaders Index ETF The Fund seeks to replicate the performance of the CIBC U.S. TrendLeaders Index, net of expenses. CORPORATE CLASS CI First Asset CanBanc Income Class ETF The Fund seeks to provide shareholders with: (i) quarterly distributions, (ii) the opportunity for capital appreciation, and (iii) lower overall volatility of portfolio returns than would be experienced by owning a portfolio of common shares of the six largest Canadian banks directly. CI First Asset Core Canadian Equity Income Class ETF The Fund seeks to provide shareholders with (i) long term capital appreciation with an attractive risk-adjusted rate of return and (ii) consistent dividend income through investing the in the CI First Asset ETF’s portfolio to gain exposure to equity securities of primarily large capitalization Canadian issuers. CI First Asset MSCI Canada Quality Index Class ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI Canada Quality Index, net of expenses. CI First Asset Short Term Government Bond Index Class ETF The Fund seeks to replicate, to the extent possible, the performance of a Canadian short term government bond index, currently the FTSE Canada Short Term Government Bond Index, net of expenses.

Annual Financial Statements - December 31, 2020 – 461 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

Each Trust offers Common Units or Unhedged Common Units. CI First Asset Active Credit ETF, CI First Asset Enhanced Short Duration Bond Fund, CI First Asset Investment Grade Bond ETF and CI First Asset Enhanced Government Bond ETF also offer U.S. dollar denominated Unhedged Common Units. The exposure in relation to the unhedged securities of a Fund to currencies other than the Canadian dollar is not hedged back to the Canadian dollar. Accordingly, the net asset value attributable to holders of redeemable units/shares per units/shares of each series will not be the same as a result of the different fees allocable to each series of units/shares and/or the different currency hedging strategy, as applicable. CI First Asset Enhanced Short Duration Bond Fund also offer Series A, Series AH, Series F, Series FH, Series I, Series IH, Series P and Series PH units. Effective November 2,.2020, CI First Asset Enhanced Short Duration Bond Fund became a dual structure fund, that is the Fund offers ETF Series as well as Mutual Fund Series of units.

The following table indicates the date upon which each Fund was established or the prospectus date of the initial public offering for Funds that were originally established as closed-end investment trusts (Inception Date). The date upon which each series of securities of each Fund started trading on the Toronto Stock Exchange (TSX) or Neo Exchange Inc. (NEO) as an ETF (Launch Date) is also indicated below.

TSX/NEO Unhedged Ticker Common Units / Common Units Series A, AH, F, FH, I, Fund Symbol Inception Date Corporate Class (CAD and/or USD) IH, P and PH Units TRUSTS CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF BXF May 30, 2013 June 11, 2013 - - CI First Asset Active Canadian Dividend ETF FDV July 18, 2014 September 9, 2014 - - CI First Asset Active Credit ETF FAO January 12, 2015 January 19, 2015 January 19, 2015 - CI First Asset Active Utility & Infrastructure ETF FAI January 12, 2015 January 16, 2015 - - CI First Asset Canadian Buyback Index ETF FBE August 22, 2016 September 13, 2016 - - CI First Asset Canadian Convertible Bond ETF CXF May 24, 2011 June 7, 2011 - - CI First Asset Canadian REIT ETF RIT July 10, 2015 July 14, 2015 - - CI First Asset Energy Giants Covered Call ETF NXF January 26, 2015 February 10, 2015 February 10, 2015 - CI First Asset Enhanced Government Bond ETF FGO July 26, 2018 July 31, 2018 July 31, 2018 - CI First Asset Enhanced Short Duration Bond Fund FSB September 7, 2017 September 12, 2017 October 4, 2017 November 2, 2020 (formerly CI First Asset Enhanced Short Duration Bond ETF) CI First Asset European Bank ETF FHB July 18, 2014 July 29, 2014 - - CI First Asset Global Financial Sector ETF FSF April 11, 2016 April 25, 2016 - - CI First Asset Gold+ Giants Covered Call ETF CGXF May 16, 2011 June 4, 2011 - - CI First Asset Health Care Giants Covered Call ETF FHI June 7, 2018 June 12, 2018 June 12, 2018 - CI First Asset High Interest Savings ETF CSAV May 29, 2019 June 14, 2019 - - CI First Asset Investment Grade Bond ETF FIG July 28, 2016 August 22, 2016 December 12, 2017 - CI First Asset Long Duration Fixed Income ETF FLB May 4, 2016 May 17, 2016 - - CI First Asset Morningstar Canada Dividend Target 30 Index ETF DXM January 13, 2012 February 6, 2012 - - CI First Asset Morningstar Canada Momentum Index ETF WXM January 13, 2012 February 15, 2012 - - CI First Asset Morningstar Canada Value Index ETF FXM January 13, 2012 February 15, 2012 - - CI First Asset Morningstar International Momentum Index ETF ZXM October 20, 2014 November 18, 2014 November 18, 2014 - CI First Asset Morningstar International Value Index ETF VXM October 20, 2014 November 18, 2014 November 18, 2014 - CI First Asset Morningstar National Bank Québec Index ETF QXM January 13, 2012 February 6, 2012 - - CI First Asset Morningstar US Dividend Target 50 Index ETF UXM January 13, 2012 February 6, 2012 October 22, 2013 - CI First Asset Morningstar US Momentum Index ETF YXM October 11, 2013 October 22, 2013 October 22, 2013 - CI First Asset Morningstar US Value Index ETF XXM October 11, 2013 October 22, 2013 October 22, 2013 - CI First Asset MSCI Canada Low Risk Weighted ETF RWC January 27, 2014 February 19, 2014 - - CI First Asset MSCI Europe Low Risk Weighted ETF RWE January 27, 2014 February 11, 2014 February 11, 2014 - CI First Asset MSCI International Low Risk Weighted ETF RWX August 23, 2017 August 25, 2017 August 25, 2017 - CI First Asset MSCI USA Low Risk Weighted ETF RWU January 27, 2014 February 11, 2014 February 11, 2014 - CI First Asset MSCI World ESG Impact ETF CESG September 12, 2019 September 12, 2019 September 12, 2019

Annual Financial Statements - December 31, 2020 – 462 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

TSX/NEO Unhedged Ticker Common Units / Common Units Series A, AH, F, FH, I, Fund Symbol Inception Date Corporate Class (CAD and/or USD) IH, P and PH Units TRUSTS (cont’d) CI First Asset MSCI World Low Risk Weighted ETF RWW January 27, 2014 February 19, 2014 February 19, 2014 - CI First Asset Preferred Share ETF FPR May 4, 2016 May 17, 2016 - - CI First Asset Tech Giants Covered Call ETF TXF October 17, 2011 October 26, 2011 August 31, 2017 - CI First Asset U.S. & Canada Lifeco Income ETF FLI August 25, 2014 September 3, 2014 - - CI First Asset U.S. Buyback Index ETF FBU August 22, 2016 September 13, 2016 - - CI First Asset U.S. TrendLeaders Index ETF SID June 28, 2017 July 5, 2017 - - CORPORATE CLASS CI First Asset CanBanc Income Class ETF CIC September 18, 2015 September 24, 2015 - - CI First Asset Core Canadian Equity Income Class ETF CSY April 1, 2016 May 4, 2016 - - CI First Asset MSCI Canada Quality Index Class ETF FQC April 1, 2016 May 4, 2016 - - CI First Asset Short Term Government Bond Index Class ETF FGB February 23, 2016 March 1, 2016 - -

On April 27, 2020, CI Investments Inc. announced Funds’ mergers. The following merger took place Net Assets Common on July 20, 2020. Terminating Fund Continuing Fund Acquired ($) Issued Units Skylon Growth & Income Trust CI First Asset Global Asset Terminating Fund Continuing Fund Allocation ETF 25,047,852 1,252,392 CI First Asset Global Asset Allocation ETF CI Global Asset Allocation Private Pool The Terminated Funds’ results are not included in these financial statements. Effective as of close of business on August 9, 2019, the following Funds merged: The Statements of Financial Position are as at December 31, 2020 and 2019, as applicable. The Terminating Fund Continuing Fund Statements of Comprehensive Income, Changes in Net Assets Attributable to Holders of Redeemable Skylon Growth & Income Trust CI First Asset Global Asset Allocation ETF Units/Shares and Cash Flows are for the years ended December 31, 2020 and 2019, except for Funds established during either year, in which case the information provided relates to the years from The Manager adopted the acquisition method of accounting for the mergers of the Funds. Under this inception to December 31, 2020 and 2019, as applicable. method, one of the Funds is identified as the acquiring Fund and is referred to as the “Continuing Fund”, and the other Fund involved in the merger is referred to as the “Terminating Fund”. This 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES identification is based on a comparison of the relative net asset value of the Funds as well as These financial statements have been prepared in compliance with International Financial Reporting consideration of the continuation of such aspects of the Continuing Fund as investment objectives Standards (IFRS) as published by the International Accounting Standards Board. and practices and type of portfolio securities. Effective as of the close of business on July 20, 2020 and August 9, 2019, the Continuing Funds acquired all of the net assets of the Terminating Funds in The following is a summary of the significant accounting policies of the Funds: exchange for securities in the Continuing Funds. The value of the securities of the Continuing Funds issued in connection with those mergers, was equal to the net assets transferred from the Terminating a. Classification and recognition of financial instruments Funds. The cost associated with the mergers was borne by the Manager. The Funds classify and measure their investments (such as fixed-income securities, equity securities, investment fund(s), exchange-traded fund(s) and derivatives) based on both the Funds’ business model The mergers occurred on a tax-deferred basis. for managing those financial assets and the contractual cash flow characteristics of the financial assets. The Funds’ portfolios of financial assets are managed, and performance is evaluated on a Net Assets Common fair value basis. The Funds are primarily focused on fair value information and use that information to Terminating Fund Continuing Fund Acquired ($) Issued Units assess the assets’ performance and to make decisions. The contractual cash flows of the Funds’ debt CI First Asset Global Asset CI Global Asset Allocation securities are solely principal and interest, however, these securities are neither held for the purpose Allocation ETF Private Pool 15,874,898 752,392 of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale. The collection of contractual cash flows is only incidental to achieving the Funds’ business model’s objective. Consequently, all investments and derivatives are measured at fair value through profit or loss (FVTPL). Short sales are classified as financial liabilities at FVTPL. Derivative contracts that have a negative fair value are presented as liabilities at FVTPL.

Annual Financial Statements - December 31, 2020 – 463 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

The Funds’ obligations for net assets attributable to holders of redeemable units/shares are presented an accrual basis. The Funds do not amortize premiums paid or discounts received on the purchase of at the redemption amount, which approximates their fair value. All other financial assets and liabilities fixed-income securities except for zero-coupon bonds, which are amortized on a straight-line basis. are measured at amortized cost, which approximates their fair value. Under this method, financial assets and liabilities reflect the amount required to be received or paid, discounted, when appropriate, Dividends and distributions from investments are recognized on the ex-dividend/ex-distribution date. at the effective rate of interest. Distributions received from income trust(s) and underlying fund(s) holdings are recorded as income, Financial assets and liabilities are offset, and the net amount is presented in the Statements of capital gains or a return of capital, based on the best information available to the Manager. Due to Financial Position when, and only when, the Funds have a legal right to offset the amounts and intend the nature of these investments, actual allocations could vary from this information. Distributions from either to settle on a net basis or to realize the asset and settle the liability simultaneously. In the normal income trust(s) or underlying fund(s) that are treated as a return of capital for income tax purposes course of business, the Funds enter into various master netting agreements or similar agreements reduce the average cost of the income trust(s) or underlying fund(s). that do not meet the criteria for offsetting in the Statements of Financial Position, but still allow for the related amounts to be offset in certain circumstances, such as bankruptcy or termination of the f. Foreign exchange contracts. The Funds’ functional and presentation currency is the Canadian dollar. For CI First Asset Active Credit ETF, CI First Asset Investment Grade Bond ETF, CI First Asset Enhanced Short Duration Bond Fund and b. Fair value of financial instruments CI First Asset Enhanced Government Bond ETF, all information is stated in Canadian dollars, except for At the financial reporting date, listed securities are valued based on the last traded market price net asset value per unit for the U.S. dollar series, which is stated in U.S. dollars. for financial assets and financial liabilities where the last traded price falls within the day’s bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager Foreign currency amounts are translated into the functional currency as follows: fair value of determines the point within the bid-ask spread that is most representative of fair value based on the investments, foreign currency forward contracts and other assets and liabilities at the closing rate existing market conditions. Unlisted securities are valued based on price quotations received from of exchange on each business day; income and expenses, purchases and sales and settlements of recognized investment dealers, or failing that, their fair value is determined by the Manager based on investments at the rate of exchange prevailing on the respective dates of such transactions. Foreign the latest reported information available. Unlisted warrants, if any, are valued based on a pricing model exchange gains (losses) relating to cash are presented as “Foreign exchange gain (loss) on cash” and which considers factors such as the market value of the underlying security, strike price, and terms of those relating to other financial assets and liabilities are presented within “Net realized gain (loss) on the warrant. Fixed-income securities, debentures and other debt instruments, including short- term sale of investments and derivatives” and “Change in unrealized appreciation (depreciation) in value of investments, are valued at the quotation received from recognized investment dealers. Underlying investments and derivatives” in the Statements of Comprehensive Income. fund(s) are valued on each business day at their net asset value as reported by the underlying fund(s)’ managers. g. Unit/Share valuation Net asset value (NAV) per unit/share of each series is calculated at the end of each day on which the The fair value of private placements and other securities where there are significant unobservable TSX/NEO is open for business by dividing the total NAV of each series of a Fund by the number of units/ inputs is determined by using valuation models that may be based, in part, on assumptions that are shares of that series outstanding. not supported by observable market inputs. These methods and procedures may include, but are not limited to, performing comparisons with prices of comparable or similar securities, obtaining valuation The NAV of each series is computed by calculating the value of that series’ proportionate share of related information from issuers and/or other analytical data relating to the investment and using other the Fund’s assets less that series’ proportionate share of the Fund’s common liabilities and less series available indications of value. These values are independently assessed by the Manager to ensure specific liabilities. Expenses directly attributable to a series are charged to that series. Other income that they are reasonable. However, because of the inherent uncertainty of valuation, the estimated and expenses, and gains and losses, are allocated to each series proportionately based upon the fair values for these securities may be materially different from the values that would have been used relative total NAV of each series. had a ready market for the investment existed. The fair values of private placements are affected by the perceived credit risks of the issuer, predictability of cash flows and the length of time to maturity. As at December 31, 2020 and 2019, there were no differences between the NAV used for transactions with unitholders/shareholders and the net assets attributable to holders of redeemable units/shares c. Cash used for reporting purposes under IFRS. Cash is comprised of cash on deposit and bank overdraft. h. Classification of units/shares d. Cost of investments The units/shares of the Funds are classified as financial liabilities in accordance with IAS 32 - Financial Cost of investments represents the amount paid for each security and is determined on an average cost Instruments: Presentation (IAS 32), as they do not meet the definition of puttable instruments to be basis excluding commissions and transactions costs. Average cost does not include amortization of classified as equity in accordance with IAS 32 for financial reporting purposes. premiums or discounts on fixed-income securities with the exception of zero-coupon bonds. i. Commissions and other portfolio transaction costs e. Investment transactions and income recognition Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities, are Investment transactions are recorded on the trade date – the date on which a Fund commits to included in “Commissions and other portfolio transaction costs” in the Statements of Comprehensive purchase or sell the investment. The “Interest for distribution purposes” shown on the Statements of Income. Comprehensive Income represents the coupon interest received by the Funds and is accounted for on

Annual Financial Statements - December 31, 2020 – 464 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

Funds that invest only in units/shares of underlying fund(s) are not subject to commissions. agreements expire or are closed out, gains or losses are included in “Net realized gain (loss) on sale of investments and derivatives” in the Statements of Comprehensive Income. j. Increase (decrease) in net assets attributable to holders of redeemable units/shares per unit/share n. Options contracts “Increase (decrease) in net assets attributable to holders of redeemable units/shares per unit/share” Over-the-counter (OTC) options are valued using the Black Scholes model, whereas, exchange- in the Statements of Comprehensive Income is calculated by dividing the increase (decrease) in net traded options are valued at last traded price taken from the exchange. Options contracts are valued assets attributable to holders of redeemable units/shares of each series of a Fund by the weighted each valuation day according to the gain or loss that would be realized if the contracts were closed average number of units/shares outstanding during the year of that series. out. All unrealized gains (losses) arising from option contracts are recorded as part of “Change in unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of k. Foreign currency forward contracts Comprehensive Income until the contracts are closed out or expire, at which time the gains (losses) A Fund may, from time to time, enter into foreign currency forward contracts. Foreign currency forward are realized and reflected in the Statements of Comprehensive Income in “Net realized gain (loss) on contracts are valued on each valuation day based on the difference between the contract rate and the sale of investments and derivatives”. Any expired option premiums are recorded as part of “Derivative current forward rate at the measurement date applied to the contract’s notional amount and adjusted income (loss)” in the Statements of Comprehensive Income. for counterparty risk. All unrealized gains (losses) arising from foreign currency forward contracts are recorded as part of “Change in unrealized appreciation (depreciation) in value of investments and o. Short selling derivatives” in the Statements of Comprehensive Income and “Unrealized gain (loss) on futures and When a Fund sells a security short, it will borrow that security from a broker to complete the sale. As foreign currency forward contracts” in the Statements of Financial Position until the contracts are the Fund borrows a security from the broker, the Fund is required to maintain a margin account with the closed out or expire, at which time the gains (losses) are realized and reported as “Net realized gain broker containing cash or liquid securities. The cash held on margin in respect of short sale activity is (loss) on sale of investments and derivatives” in the Statements of Comprehensive Income. included in the “Cash collateral on deposit for short sale” in the Statements of Financial Position. The maximum loss on securities sold short can be unlimited. The Fund will incur a loss as a result of a short l. Futures contracts sale if the price of the borrowed security increases between the date of the short sale and the date on Futures contracts are valued on each valuation day using the closing price posted on the relevant which the Fund closes out its short position by buying that security. The Fund will realize a gain if the public exchange. Cash and cash equivalents are held as margin against futures contracts which are security declines in price between those dates. The gain or loss that would be realized if the position reflected in the “Daily variation margin on derivative instruments” in the Statements of Financial was to be closed out on the valuation date is reflected in the Statements of Comprehensive Income Position. All unrealized gains (losses) arising from futures contracts are recorded as part of “Change as part of “Change in unrealized appreciation (depreciation) in value of investments and derivatives”. in unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of When the short position is closed out, gains and losses are realized and included in “Net realized gain Comprehensive Income and “Unrealized gain (loss) on futures and foreign currency forward contracts” (loss) on sale of investments and derivatives” in the Statements of Comprehensive Income. Fees paid in the Statements of Financial Position until the contracts are closed out or expire, at which time to a broker for borrowing a security are included in “Securities borrowing fees” in the Statements of the gains (losses) are realized and reported as “Net realized gain (loss) on sale of investments and Comprehensive Income. derivatives” in the Statements of Comprehensive Income. p. Offsetting of financial instruments m. Credit default swaps The disclosures set out in the Offsetting of Financial Instruments tables in the Fund Specific Notes Credit default swaps are agreements that help to mitigate credit risk exposure to certain issuing to Financial Statements of each of the Funds include foreign currency forward contracts assets and entities (Referenced Entity) or to increase credit risk exposure to the Referenced Entity by creating a liabilities that are subject to an enforceable master netting arrangement. Transactions with individual notional investment position. When a notional investment position is created, the credit risk exposure counterparties are governed by separate master netting agreements. Each agreement allows for net is comparable to the exposure that would have resulted had a Fund invested directly in the Referenced settlement of certain open contracts where the Funds and respective counterparty both elect to settle Entity. Under a credit default swap agreement, the protection buyer, whose intention is to reduce its on a net basis. In the absence of such an election, contracts will be settled on a gross basis. However, credit risk exposure to the Referenced Entity, pays a premium to the protection seller, who assumes the each party to the master netting agreement will have the option to settle all open contracts on a net credit risk of a default of the bond of a Referenced Entity. This premium is paid at regular intervals over basis in the event of default of the other party. the term of the credit default swap agreement. In return for the premium paid, the protection buyer is entitled to receive from the protection seller full payment for a loss arising from a credit default International Swaps and Derivatives Association Inc. Master Agreements (ISDA Master Agreements) event of the Referenced Entity. A credit default event may be triggered by bankruptcy, failure to pay or govern OTC financial derivative transactions entered into by the Funds and select counterparties. The restructuring of the Referenced Entity. If a credit default event occurs, the credit default swap may be ISDA Master Agreements maintain provisions for general obligations, representations, agreements, settled by either the physical delivery of the bond for proceeds equal to par value or a cash payment collateral and events of default or termination. Events of termination include conditions that may equal to the loss amount. Credit default swaps are valued based on dealer-supplied valuations. entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the Changes in value of credit default swap agreements are recorded as part of “Change in unrealized financial statements. The fair value of OTC financial derivative transactions net of collateral received appreciation (depreciation) in value of investments and derivatives” in the Statements of in or pledged by a counterparty as at year end is disclosed in the Fund Specific Notes to Financial Comprehensive Income. Premiums paid or received from credit default swap agreements are included Statements of each of the Funds, as applicable. in “Derivative income (loss)” in the Statements of Comprehensive Income. When credit default swap

Annual Financial Statements - December 31, 2020 – 465 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

The Funds may be subject to various Master Agreements or netting arrangements, with selected Information related to Interest in Unconsolidated Structured Entities appears under the Fund Specific counterparties. These Master Agreements reduce the counterparty risk associated with relevant Notes to Financial Statements of each of the Funds, if applicable. transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes r. Withholding taxes traded out to different legal entities of a particular counterparty organization, each type of transaction A Fund may, from time to time, incur withholding taxes imposed by certain countries on investment may be covered by a different Master Agreement resulting in the need for multiple agreements with income and capital gains. Such income and gains are recorded on a gross basis and the related a single counterparty. As the Master Agreements are specific to unique operations of different asset withholding taxes are shown separately in the Statements of Comprehensive Income. types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to the transactions governed under a single agreement with a counterparty. s. Harmonized sales tax Certain provinces including Ontario, Prince Edward Island, Nova Scotia, New Brunswick and q. Investments in associates, joint ventures, subsidiaries and unconsolidated structured Newfoundland and Labrador (each a Participating Tax Jurisdiction) have harmonized their provincial entities sales tax (PST) with the federal goods and services tax (GST). The Harmonized Sales Tax (HST) Subsidiaries are entities, including investments in other investment entities, over which a Fund has combines the federal GST rate of 5% with the PST rate of the participating province. The province control. A Fund controls an entity when it is exposed to, or has rights to, variable returns from its of Quebec also applies the Quebec sales tax (QST) of 9.975%. The Provincial HST liability or refund is involvement with the entity, and has the ability to affect those returns through its power over the entity. calculated using the residency of unitholders/shareholders and the value of their interest in the Fund Associates and joint ventures are investments over which a Fund has significant influence or joint as at specific times, rather than the physical location of the Fund. The effective sales tax rate charged control. A structured entity is an entity that has been designed so that voting or similar rights are not to each series of the Fund is based on the unitholders/shareholders’ proportionate investments by the dominant factors in deciding, who controls the entity, or when voting rights relate to administrative province, using each province’s HST rate, GST rate in the case of non-participating provinces and/or tasks only and the relevant activities are directed by means of contractual arrangements. QST rate. All amounts are presented as “Harmonized sales tax” in the Statements of Comprehensive Income. The Manager has determined that underlying fund(s) or exchange-traded fund(s) (ETF(s)) held typically by the Funds meet the definition of unconsolidated structured entities. Mortgage-backed securities 3. CRITICAL ACCOUNTING JUDGMENTS AND ESTIMATES or asset-backed securities are also considered to be unconsolidated structured entities. The Funds The preparation of financial statements in accordance with IFRS requires management to make account for their investments in unconsolidated structured entities at FVTPL. judgments, estimates and assumptions that affect the application of accounting policies and reported amounts of assets and liabilities at the reporting date and the reported amounts of income and The Funds that invest in underlying fund(s) are subject to the terms and conditions of the respective expenses during the reporting year. The following discusses the most significant accounting judgments underlying fund(s)’ offering documents and are susceptible to market price risk arising from uncertainties and estimates that the Funds have made in preparing their financial statements: about future values of those underlying fund(s). All of the underlying fund(s) in the investment portfolio are managed by portfolio managers who are compensated by the respective underlying fund(s) for Fair value measurement of investments and derivatives not quoted in active market their services. Such compensation generally consists of an asset-based fee and is reflected in the The Funds may, from time to time, hold financial instruments that are not quoted in active valuation of each of the underlying fund(s), except when the Funds invest in certain classes of the markets, such as unlisted securities, private securities or derivatives. Unlisted securities are underlying fund(s) where the compensation to portfolio managers is negotiated and paid outside each valued based on price quotations from recognized investment dealers, or failing that, their fair of the underlying fund(s). The underlying fund(s) finance their operations by issuing redeemable units/ value is determined by the Manager based on the latest reported information available. The shares that entitle the holders to an equal beneficial interest in the underlying fund(s). The Funds can fair value of private securities is determined by using valuation models that may be based, in redeem their investments in the underlying fund(s) on a daily basis. These investments are included part, on assumptions that are not supported by observable market inputs. These methods and in “Investments” at FVTPL in the Statements of Financial Position. All unrealized gains (losses) arising procedures may include, but are not limited to, performing comparisons with prices of comparable from these investments are recorded as part of “Change in unrealized appreciation (depreciation) or similar securities, obtaining valuation related information from issuers and/or other analytical in value of investments and derivatives” in the Statements of Comprehensive Income until these data relating to the investment and using other available indications of value. These values were investments are sold, at which time the gains (losses) are realized and reflected in the Statements of independently assessed by the Manager based on assumptions and estimates as at statement Comprehensive Income in “Net realized gain (loss) on sale of investments and derivatives”. The Funds’ of the financial position date. However, because of the inherent uncertainty of valuation, the maximum exposure to loss from their interest in underlying fund(s) is equal to the total fair value of estimated fair values for these securities may be materially different from the values that would their investments in underlying fund(s). have been used had a ready market for the investment existed. The fair values of private securities are affected by the perceived credit risks of the issuer, predictability of cash flows and the length Certain Funds invest in ETF(s) which are disclosed on the Schedule of Investment Portfolio and these of time to maturity. Funds have determined that their investments in such ETF(s) meet definition of unconsolidated structured entities. These ETF(s) finance their operations by issuing redeemable shares which are Valuation models use observable data, to the extent practicable. Since the outbreak of puttable at the holder’s option and entitle the holder to a proportional stake in each ETF’s net asset Coronavirus 19 (COVID-19), market volatility has increased significantly which results in fluctuation value. The ETF(s) are domiciled in Canada or U.S. and listed on recognized public stock exchanges. The in quoted securities prices, widening of bid ask spreads and reduced liquidity in the market. These Funds’ maximum exposure to loss from their interest in ETF(s) is equal to the total fair value of their changes may also impact the observability of some of the model valuation inputs used, which investments in the ETF(s). may have an implication on classification of certain financial instruments within the fair value hierarchy. Areas such as credit risk (both own and counterparty); volatilities, correlations and key

Annual Financial Statements - December 31, 2020 – 466 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

assumptions concerning future developments require the Manager to make estimates. Changes Units/shares of each Fund may also be issued to unitholders/shareholders of such Fund on the in assumptions about these factors could affect the reported fair values of financial instruments. automatic reinvestment of all distributions in accordance with the distribution policy of the Fund.

The Funds consider observable data to be market data that is readily available, regularly Unitholders/shareholders may exchange an integral multiple of the PNS of each Fund on any trading distributed and updated, reliable and verifiable, not proprietary, and provided by independent day for baskets of units/shares and cash, or in the discretion of the Manager, cash only. The exchange sources that are actively involved in the relevant market. price will be equal to the NAV of the applicable PNS of the Fund tendered for exchange at the valuation time on the effective day of the exchange request, payable generally within three trading days from the The fair value of investments in underlying fund(s) that are not quoted in active markets is effective day of the exchange request by delivery of (i) a basket of units/shares and cash in an amount determined primarily by reference to the latest available net asset value of such units/shares for sufficient so that the value of the units/shares and cash is equal to the applicable NAV of the PNS of each underlying fund, as determined by the underlying fund(s)’ managers. the Fund; or (ii) if approved by the Manager, cash only in an amount sufficient so that the value of the cash is equal to the applicable NAV of the PNS of the Fund, in each case less any applicable redemption IFRS 10 - Consolidated Financial Statements (IFRS 10) fee determined by the Manager. The units/shares will be redeemed in the exchange. In accordance with IFRS 10, the Manager has determined that the Funds meet the definition of an Investment Entity which requires that the Funds obtain funds from one or more investors for the On any trading day, unitholders/shareholders of each Fund may also redeem units/shares of such Fund purpose of providing investment management services, commit to their investors that their business at a redemption price per security equal to 95% of the applicable closing price for such unit/share on purpose is to invest funds solely for returns from capital appreciation, investment income, or both; and the TSX on the effective day of the redemption less any applicable redemption fee determined by the measure and evaluate the performance of their investments on a fair value basis. Consequently, the Manager. Funds do not consolidate their investment in subsidiaries, if any, but instead measure these at FVTPL, as required by the accounting standard. Unitholders/shareholders that have delivered a redemption request prior to the distribution record date for any distribution will not be entitled to receive that distribution. 4. REDEEMABLE UNITS/SHARES Each Fund except for CI First Asset CanBanc Income Class ETF, CI First Asset Core Canadian Equity Each Fund manages its capital in accordance with its investment objectives and strategies outlined Income Class ETF, CI First Asset MSCI Canada Quality Index Class ETF and CI First Asset Short in the Note 1 and the risk management practices disclosed in Note 10 and endeavors to invest the Term Government Bond Index Class ETF is authorized to issue an unlimited number of redeemable, subscriptions received in appropriate investments while maintaining sufficient liquidity to meet transferable Common Units, including Unhedged and US$ series, as applicable, each of which distributions and redemptions. In order to manage their capital structures, the Funds may adjust the represents an undivided interest in the net assets of the Fund. In the case of multi-series Funds, whole amount of distributions paid to unitholders/shareholders. units of each series of units are convertible into whole units of any other series of units of the Fund based on their respective NAV, with any remaining fractional units redeemed at their NAV. Redeemable unit/shares transactions information appears in the Fund Specific Notes to Financial Statements of each of the Funds. The authorized capital of the Fund Corporation including: (CI First Asset CanBanc Income Class ETF, CI First Asset Core Canadian Equity Income Class ETF, CI First Asset MSCI Canada Quality Index Class In order to establish each individual series, the Manager has made initial investments in certain Funds. ETF and CI First Asset Short Term Government Bond Index Class ETF) includes an unlimited number As at December 31, 2020, the Manager held investments in the following Funds: of non-cumulative, redeemable, non-voting series of shares (each a Corporate Class), issuable in an unlimited number of series, and one series of voting shares designated as Class J Shares. Each 2020 2019 Corporate Class is a separate investment fund having specific investment objectives and is specifically Fund (in $) (in $) referable to a separate portfolio of investments. Each Corporate Class is authorized to issue an CI First Asset Enhanced Short Duration Bond Fund 114,413 - unlimited number of exchange-traded fund shares (ETF Shares). The ETF Shares are Canadian dollar denominated. 5. FEES AND OTHER EXPENSES Management fees On any trading day, a designated broker or underwriter may place a subscription order for an integral The Manager of each Fund, in consideration for management fees, provides management services multiple of the prescribed number of units/shares (PNS) of each Fund. A trading day is each day on required in the day-to-day operations of the Funds, including management of the investment portfolios which the TSX is open for business. of the Funds and provision of key management personnel.

If the subscription order is accepted, the Fund will generally issue units/shares to the designated As compensation for the services it provides to the Funds, the Funds pay the Manager an annual broker or underwriter within three trading days from the effective day of the subscription. For each management fee on the applicable ETF Shares or, in case of the Funds, on Common Units, including PNS issued, a designated broker or underwriter must deliver payments consisting of (i) a basket of Unhedged and U.S. dollar classes if applicable, calculated as a percentage of the NAV daily and paid applicable units/shares and cash in an amount so that the value of the units/shares and cash is equal monthly in arrears. If applicable, the Manager pays any Advisor or Investment Sub-Advisor out of its to the NAV of the PNS of the Fund at the valuation time on the effective day of the subscription; or (ii) management fee. if approved by the Manager, cash in an amount sufficient so that the value of the cash is equal to the NAV of the PNS of the Fund at the valuation time on the effective day of the subscription, in each case plus any applicable subscription fee determined by the Manager.

Annual Financial Statements - December 31, 2020 – 467 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

Operational cost Investments in underlying fund(s) The following Funds: CI First Asset Active Canadian Dividend ETF, CI First Asset Active Credit ETF, A Fund that invests in units/shares of underlying fund(s) will not pay a duplicate management and CI First Asset Active Utility & Infrastructure ETF, CI First Asset Canadian Buyback Index ETF, CI First administration fee on the portion of assets that are invested in units/shares of underlying fund(s). Asset Canadian REIT ETF, CI First Asset Enhanced Government Bond ETF, CI First Asset Enhanced Short During the reporting year, a Fund may have received a management and/or administration fee rebate Duration Bond Fund , CI First Asset European Bank ETF, CI First Asset Global Financial Sector ETF, from the underlying fund(s)’ Manager relating to its investment in an underlying fund. The management CI First Asset Investment Grade Bond ETF, CI First Asset Long Duration Fixed Income ETF, CI First Asset and/or administration fee rebates, if applicable, are included in “Fees rebate receivable” and in “Fees Preferred Share ETF, CI First Asset U.S. & Canada Lifeco Income ETF, CI First Asset U.S. Buyback Index rebate” as reflected in the Statements of Financial Position and Statements of Comprehensive Income ETF, CI First Asset U.S. TrendLeaders Index ETF, CI First Asset CanBanc Income Class ETF, CI First of each Fund, if applicable. Asset Core Canadian Equity Income Class ETF, CI First Asset MSCI Canada Quality Index Class ETF and CI First Asset Short Term Government Bond Index Class ETF are responsible for all costs relating to their Refer to the Management Fee Rate table in the Fund Specific Notes to the Financial Statements for the operations and administration, which are presented in their Statements of Comprehensive Income. management fee rates applicable to each class of each of the Funds.

The following Funds: CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF, CI First 6. SECURITIES LENDING Asset Canadian Convertible Bond ETF, CI First Asset Energy Giants Covered Call ETF, CI First Asset The Funds, except for CI First Asset High Interest Savings ETF, have entered a securities lending Gold+ Giants Covered Call ETF, CI First Asset Health Care Giants Covered Call ETF, CI First Asset High program with the Bank of New York Mellon, who acts as the securities lending agent. These Interest Savings ETF, CI First Asset Morningstar Canada Dividend Target 30 Index ETF, CI First Asset transactions involve the temporary exchange of securities for collateral with a commitment to re- Morningstar Canada Momentum Index ETF, CI First Asset Morningstar Canada Value Index ETF, CI First deliver the same securities on a future date. Income is earned from these transactions in the form Asset Morningstar International Momentum Index ETF, CI First Asset Morningstar International Value of fees paid by the counterparty and, in certain circumstances, interest paid on cash or securities Index ETF, CI First Asset Morningstar National Bank Québec Index ETF, CI First Asset Morningstar held as collateral. Income from securities lending is included in the Statements of Comprehensive US Dividend Target 50 Index ETF, CI First Asset Morningstar US Momentum Index ETF, CI First Asset Income and is recognized when earned. The aggregate market value of all securities loaned by a Fund Morningstar US Value Index ETF, CI First Asset MSCI Canada Low Risk Weighted ETF, CI First Asset cannot exceed 50% of the assets of that Fund. Collateral received consists of qualified securities MSCI Europe Low Risk Weighted ETF, CI First Asset MSCI International Low Risk Weighted ETF, CI First and securities that are immediately convertible into, or exchangeable for, securities of the same Asset MSCI USA Low Risk Weighted ETF, CI First Asset MSCI World ESG Impact ETF, CI First Asset type, the same term and in the same number as those loaned by each Fund with market values of at MSCI World Low Risk Weighted ETF and CI First Asset Tech Giants Covered Call ETF the Manager least 102% of the market value of the loaned securities. Each Fund’s custodian is entitled to receive is responsible for all costs and expenses of the Funds, except for the management fee, brokerage payments out of the gross amount generated from the securities lending transactions of the Funds and expenses and commissions, the costs of any financial instruments used to achieve the investment bears all operational costs directly related to securities lending including the cost of borrower default objective of the Funds, reasonable costs associated with the Independent Review Committee (IRC), indemnification. For those Funds participating in the program, amounts for securities loaned and the income taxes, withholding taxes, any applicable goods and services or other sales taxes including GST/ collateral received as well as reconciliation between gross securities lending revenue and securities HST, costs of complying with any new governmental or regulatory requirement introduced after the lending revenue received by each Fund appear in the Fund Specific Notes to Financial Statements of Funds were established, any costs associated with the printing and distribution of any documents that each of the Funds, if applicable. Revenue from securities lending is included in “Securities lending securities regulatory authorities require to be sent to unitholders/ shareholders, any transaction costs revenue” in the Statements of Comprehensive Income. incurred by the custodian and any extraordinary expenses plus applicable taxes. From the management fee, the Manager pays for all other costs and expenses relating to the operation of the business of 7. TAXATION the Funds, if applicable, administration, legal, accounting, custody, audit, registrar and transfer agency All Funds except for CI First Asset CanBanc Income Class ETF, CI First Asset Core Canadian Equity fees and fees payable to other service providers, including index providers, if applicable. As a result, Income Class ETF, CI First Asset MSCI Canada Quality Index Class ETF and CI First Asset Short Term these Funds do not have any other expenses. Government Bond Index Class ETF qualify as a mutual fund trust under the Income Tax Act (Canada). All the Funds’ net income for tax purposes and sufficient net capital gains realized in any year are Absorption required to be distributed to unitholders such that no income tax is payable by each of the Funds. As The decision to waive and/or absorb management fees and fund-specific operating expenses is at a result, the Funds do not record income taxes. Since the Funds do not record income taxes, the tax the discretion of the Manager. The practice of waiving and/or absorbing expenses may continue benefit of capital and non-capital losses has not been reflected in the Statements of Financial Position indefinitely or may be terminated at any time without notice to unitholders/shareholders. Fund-specific as a deferred income tax asset. Income tax on net realized capital gains not paid or payable will operating expenses absorbed and/or management fees waived by the Manager are disclosed in the generally be recoverable by virtue of refunding provisions contained in the Income Tax Act (Canada) Statements of Comprehensive Income. and provincial income tax legislation, as redemptions occur. Occasionally, the Funds may distribute more than they earn. This excess distribution is a return of capital and is not taxable to unitholders. In some cases, the Manager may charge management fees to a Fund that are less than the management fees the Manager is entitled to charge in respect of certain investors in a Fund. The difference in the The tax year-end for all Funds is December 15. amount of the management fees is paid out by the Fund to the applicable investors as a distribution of additional securities of the Fund (Management Fee Distributions). Management Fee Distributions are Refer to Loss Carry Forwards table in the Fund Specific Notes to Financial Statements for further negotiated between the Manager and the investor and are dependent primarily on the intended size of information relating to loss carry forwards. the investor’s investment in the Fund. Management Fee Distributions paid to qualified investors do not adversely impact the Funds or any of the Funds’ other investors. The Manager may increase or decrease the amount of Management Fee Distributions to certain investors from time to time.

Annual Financial Statements - December 31, 2020 – 468 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

CI First Asset CanBanc Income Class ETF, CI First Asset Core Canadian Equity Income Class ETF, CI First ensure that the Fund Corporation will not be liable for income tax on such amounts under the Income Asset MSCI Canada Quality Index Class ETF and CI First Asset Short Term Government Bond Index Class Tax Act (Canada) (after taking into account all available deductions, credits and refunds) or to recover ETF are separate Corporate Classes of the Fund Corporation. The Fund Corporation presently qualifies refundable tax not otherwise recoverable upon payment of regular cash distributions. as a “mutual fund corporation” as defined in the Income Tax Act (Canada). The Fund Corporation computes its net income (loss) and net capital gains (losses) for income tax purposes as a single entity. Such special distributions may be paid in units/shares and subsequently consolidated. They are Net losses of one Fund may be used to offset net gains of another Fund to reduce the net income or reported as taxable distributions and increase each unitholder’s/shareholder’s adjusted cost base for net gain of the Corporation as a whole. As a mutual fund corporation, the Corporation is subject to their units/shares. Neither the number of units/shares held by the unitholder/shareholder nor the NAV Part IV federal tax. Taxable dividends received from taxable Canadian corporations are subject to a tax per units/shares of the Fund change as a result of any non-cash distributions. of 38 1/3%. Such taxes are fully refundable upon payment of taxable dividends to its shareholders. The Corporation is also subject to Part I tax on other income and taxable capital gain for the year. All Notional distributions for the year ended December 31, 2020 are included in the Statements of tax on net taxable realized capital gains is refundable when the gains are distributed to shareholders Changes in Net Assets Attributable to Holders of Redeemable Units. as capital gains dividends or through redemption of shares at the request of shareholders, while the Corporation qualifies as a mutual fund corporation. Accordingly, the corporation does not record a During the year ended December 31, 2019, each of the Funds made the following notional distributions provision for income taxes in respect of dividends from taxable Canadian Corporations and capital that were automatically reinvested in additional units of the same Fund. gains. Interest income and foreign dividends, net of applicable expenses, are taxed at full corporate rates applicable to mutual fund corporations with credits, subject to certain limitations, for foreign Unhedged US $ taxes paid. Income taxes (if any) are allocated to the Funds of the Corporation on a reasonable basis. December 31, 2019 Common Units Common Units Common Units Funds (in $000’s) (in $000’s) (in $000’s) The tax year-end for Fund Corporation is December 31. CI First Asset Canadian Convertible Bond ETF 48 n/a n/a CI First Asset Enhanced Government Bond ETF 12,100 n/a 175 As at December 31, 2020, the Fund corporation has the following loss carry forwards: CI First Asset Global Financial Sector ETF 304 n/a n/a CI First Asset Morningstar Canada Dividend Target 30 (in $000’s) Index ETF 23 n/a n/a Capital loss: 80,195 CI First Asset Morningstar Canada Momentum Index ETF 1,130 n/a n/a (in $000’s) CI First Asset Morningstar International Momentum Non-capital losses: 20,776 Index ETF 257 169 n/a CI First Asset Morningstar International Value Index ETF 124 856 n/a Withholding taxes CI First Asset Morningstar National Bank Québec Certain Funds may be subject to foreign taxation related to income received, capital gains on the sale Index ETF 1,970 n/a n/a of securities and certain foreign currency transactions in the foreign jurisdictions in which it invests. CI First Asset Morningstar US Dividend Target 50 Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign Index ETF 152 46 n/a markets in which the Funds invest. When a capital gain tax is determined to apply the Funds record CI First Asset Morningstar US Momentum Index ETF 17 24 n/a an estimated tax liability in an amount that would be payable if the securities were disposed of on CI First Asset Morningstar US Value Index ETF 58 66 n/a the valuation date. CI First Asset MSCI Europe Low Risk Weighted ETF 1,183 4 n/a CI First Asset MSCI International Low Risk 8. DISTRIBUTIONS Weighted ETF 138 1,634 n/a Each Fund distributes to its unitholders/shareholders on a monthly or quarterly basis. The amounts CI First Asset MSCI USA Low Risk Weighted ETF 43 779 n/a of distributions are based on the Manager’s assessment of anticipated cash flow of the Funds from CI First Asset MSCI World Low Risk Weighted ETF 4,369 22,655 n/a time to time. CI First Asset U.S. Buyback Index ETF 95 n/a n/a CI First Asset U.S. TrendLeaders Index ETF 1 n/a n/a In the case of Funds, if, in any year, after such distributions, there would otherwise remain in a Fund additional net income or net realized capital gains, the Fund intends to make, on or before December 9. RELATED PARTY TRANSACTIONS 31 of that year, a special distribution of such portion of the remaining net income or net realized capital The Manager manages and administers the business operations and affairs of the Funds, and, for gains as is necessary to ensure that the Fund will not be liable for income tax under the Income Tax Act certain Funds, is also responsible for providing all investment advisory and portfolio management (Canada), after taking into account all available deductions, credits and refunds. services required by the Funds. These services are in the normal course of operations and are recorded at the amount of the consideration agreed to by the parties. Purchase and sale for any securities In case of the Fund Corporation, if, in any taxation year, after the regular distributions, the Fund between Funds are done at arms’ length through a third-party broker. Corporation would otherwise be liable for tax on net realized capital gains, or refundable tax in respect of dividends received from taxable Canadian corporations, the Fund Corporation intends to pay, on December 31 of that year, a special capital gains dividend and/or an ordinary dividend in order to

Annual Financial Statements - December 31, 2020 – 469 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

The Funds may have direct or indirect holdings in CI Financial Corp., or its affiliates or other investment Leverage and short selling risk fund(s) managed by the Manager as identified in the Fund Specific Notes to Financial Statements of When a Fund makes investments in derivatives, borrows cash for investment purposes, or uses each of the Funds, if applicable. physical short sales on equities or other portfolio assets, leverage may be introduced into the Fund. Leverage occurs when the Fund’s notional exposure to underlying assets is greater than the amount Inter fund trading invested. It is an investment technique the magnifies gains and losses. Consequently, any adverse Inter fund trading occurs when a Fund purchases or sells a security of any issuer from or to another change in the value or level of the underlying asset, rate or index may amplify losses compared to Fund managed by the Manager. These transactions are executed through market intermediaries and those that would have been incurred if the underlying asset had been directly held by the Fund and under prevailing market terms and conditions. The IRC reviews such transactions during scheduled may result in losses greater than the amount invested in the derivative itself. Leverage may increase meetings. During the years ended December 31, 2020 and 2019, certain Funds executed inter fund volatility, may impair the Fund’s liquidity and may cause the Fund to liquidate positions at unfavorable trades. times.

Related fund trading In 2020 and 2019, the CI First Asset Investment Grade Bond ETF Fund, CI First Asset Enhanced Related fund trading occurs when a Fund purchases or sells units/shares of another Fund managed by Government Bond ETF Fund and CI First Asset Enhanced Short Duration Bond Fund, exercise leverage the Manager. During the years ended December 31, 2020 and 2019, certain Funds engaged in related through participating in short selling transactions, which expose the Funds to short selling risk. fund trading or held position(s) in related fund(s) at the end of each year. Short selling risk is the risk of loss related to short selling transactions. There is no assurance that Related issuer trading securities will decline in value during the year of the short sale and make a profit for the Funds and Related issuer trading occurs when a Fund purchases or sells securities of CI Financial Corp. These securities sold short may instead appreciate in value, resulting in a loss to the Funds. The Funds may transactions are executed through market intermediaries and under prevailing market terms and experience difficulties repurchasing and returning the borrowed securities if a liquid market for the conditions. The IRC reviews such transactions during scheduled meetings. During the years ended securities does not exist. The lender may also recall the borrowed securities at any time. The lender December 31, 2020 and 2019, certain Funds engaged in related issuer trading or held position(s) in may go bankrupt and the Funds may lose the collateral they have deposited with the lender. The CI Financial Corp. at the end of each year. Funds mitigates such risk by depositing collateral only with regulated financial institutions or dealers.

10. FINANCIAL INSTRUMENTS RISK Each of the Funds may borrow cash up to a maximum of 20% of each Fund’s NAV and may sell COVID-19 Impact securities short, whereby the aggregate market value of securities sold short will be limited to 20% of Since the outbreak of COVID-19, emergency measures taken in response to the spread of COVID-19 each Funds NAV. The combined use of short selling and cash borrowing by each of the Funds is subject have resulted in significant disruption to business operations globally, resulting in an economic to an overall limit of 20% of each Fund’s NAV. slowdown. Global equity and capital markets have also experienced significant volatility and weakness. The governments have reacted with significant monetary and fiscal interventions designed During the year ended December 31, 2020, the lowest aggregated fair value amount of the leverage to stabilize economic conditions. These developments are constantly evolving and the duration and exercised by the CI First Asset Investment Grade Bond ETF Fund was $4.8 million (0.5% of NAV), impact of the COVID-19 pandemic is highly uncertain and cannot be predicted at this time but could (December 31, 2019 - $2.4 million, 0.4% of NAV and the highest aggregated fair value amount of the have a material impact on the future performance of the Funds. In the face of the current environment leverage used during the year was $9.5 million (1.3% of NAV), (December 31, 2019 - $9.9 million, of heightened uncertainty and market volatility, the Manager continues to closely monitor its impact 1.4% of NAV). on the Funds’ risk exposures from the portfolio holdings. As at December 31, 2020, the CI First Asset Investment Grade bond ETF Fund had pledged securities as Risk management collateral to the prime broker equal to $13,800,855 (December 31. 2019 - $23,675,509). The Funds are exposed to a variety of financial instruments risks: leverage and short selling risk, concentration risk, credit risk, liquidity risk and market risk (including other price risk, currency risk During the year ended December 31, 2020, the lowest aggregated fair value amount of the leverage and interest rate risk). The level of risk to which each Fund is exposed to depends on the investment exercised by the CI First Asset Enhanced Government Bond ETF Fund was $0.14 million (0.02% objective and the type of investments the Fund holds. The value of investments within a portfolio can of NAV), (December 31, 2019 - $2.6 million, 0.8% of NAV) and the highest aggregated fair value fluctuate daily as a result of changes in prevailing interest rates, economic and market conditions amount of the leverage used during the year was $0.15 million (0.02% of NAV), (December 31, 2019 - and company specific news related to investments held by the Fund. The Manager of the Funds $2.9 million, 0.7% of NAV). may minimize potential adverse effects of these risks on the Funds’ performance by, but not limited to, regular monitoring of the Funds’ positions and market events, diversification of the investment As at December 31, 2020, the CI First Asset Enhanced Government Bond ETF Fund had pledged portfolio by asset type, country, sector, term to maturity within the constraints of the stated objectives, securities as collateral to the prime broker equal to $nil (December 31. 2019 - $nil). and through the usage of derivatives to hedge certain risk exposures. During the year ended December 31, 2020, the lowest aggregated fair value amount of the leverage The Funds that invest in units/shares of underlying fund(s) are indirectly exposed to financial exercised by the CI First Asset Enhanced Short Duration Bond Fund was $3.0 million (1.8% of NAV), instruments risks mentioned above. (December 31, 2019 - $9.0 million, 4.7% of NAV) and the highest aggregated fair value amount of the leverage used during the year was $14.0 million (4.0% of NAV), (December 31, 2019 - $21.5 million, 8.1% of NAV).

Annual Financial Statements - December 31, 2020 – 470 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

As at December 31, 2020, the CI First Asset Enhanced Short Duration Bond Fund had pledged All transactions executed by the Funds in listed securities are settled/paid for upon delivery using securities as collateral to the prime broker equal to $nil (December 31. 2019 - $3,089,776). approved brokers. The risk of default is considered minimal, as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once the securities have been Concentration risk received by the broker. The trade will fail if either party fails to meet its obligation. Concentration risk arises as a result of the concentration of exposures within the same category, whether it is a geographical allocation, asset type, industry sector or counterparty. Liquidity risk Liquidity risk is the risk that the Funds may not be able to meet their obligation on time or at a Details of each Fund’s exposure to financial instruments risks including concentration risk and fair reasonable price. value hierarchy classification are available in the Fund Specific Notes to Financial Statements for each Fund. The Funds’ exposure to liquidity risk is concentrated in the daily cash redemptions of units/shares. Generally, the Funds invest in securities that are considered readily realizable as they are actively Credit risk traded on public exchanges. Certain securities may be less liquid than other securities and involve Credit risk is the risk that a security issuer or counterparty to a financial instrument will fail to meet the risk that the Manager may not be able to dispose of them at the current market prices. As such, its financial obligations. The fair value of a debt instrument includes consideration for the credit it may be difficult to significantly alter the composition of a Fund’s portfolio in a short period of time. worthiness of the debt issuer. The carrying amount of debt instruments as shown on the Schedule of Investment Portfolio represents the credit risk exposure of each Fund. Credit risk exposure for All financial liabilities are due within three months, except for the redeemable units/shares, which derivative instruments is based on each Fund’s unrealized gain on the contractual obligations with the are redeemable on demand at the holder’s option. The Manager does not expect that this contractual counterparty as at the reporting date. The credit rating of a counterparty to a derivative instrument maturity is representative of the actual cash outflows, as unitholders/shareholders of these is disclosed in the Schedule of Investment Portfolio of each of the Funds, if applicable. The credit instruments typically retain them for a longer period. risk exposure of the Fund’s other assets is represented by their carrying amount as disclosed in the Statements of Financial Position. Market risk The Funds’ investments are subject to market risk which is the risk that the fair value of future cash Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to indirect flows of a financial instrument will fluctuate due to changes in market conditions. credit risk in the event that the underlying fund(s)/ETF(s) invest in debt instruments, preferred securities and derivatives. Other price risk Other price risk is the risk that the value of financial instruments will fluctuate as a result of Credit ratings for debt securities, preferred securities and derivative instruments are obtained from changes in market prices (other than those arising from currency risk or interest rate risk). The S&P Global Ratings, otherwise ratings are obtained from: Moody’s Investors Service or Dominion value of each investment is influenced by the outlook of the issuer and by general economic and Bond Rating Service, respectively. Credit ratings can be either long-term or short-term. Short-term political conditions, as well as industry and market trends. All securities present a risk of loss of credit ratings are generally assigned to those obligations and derivative instruments considered capital. Except for options written, future contracts sold short and investments sold short, the short-term in nature. maximum risk resulting from financial instruments is equivalent to their fair value.

The table below provides a cross-reference between the long-term credit ratings disclosed in the Other assets and liabilities are monetary items that are short-term in nature and therefore are not Credit Rating table inclusive of the short-term credit ratings disclosed in the derivatives schedules in subject to significant other price risk. the Schedule of Investment Portfolio. Currency risk Credit Rating as per Credit Risk Table Credit Rating as per Derivatives Schedules Currency risk arises from financial instruments that are denominated in a currency other than the AAA/Aaa/A++ A-1+ Canadian dollar, the functional currency of the Funds. As a result, the Funds may be exposed to AA/Aa/A+ A-1, A-2, A-3 the risk that the value of securities denominated in other currencies will fluctuate due to changes A B, B-1 in exchange rates. The Schedule of Investment Portfolio identifies all bonds and derivative BBB/Baa/B++ B-2 instruments denominated in foreign currencies. Equities traded in foreign markets are also BB/Ba/B+ B-3 exposed to currency risk as the prices denominated in foreign currencies are converted to the B C Funds’ functional currency to determine their fair value. CCC/Caa/C++ - CC/Ca/C+ - Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to C and Lower D indirect currency risk in the event that the underlying fund(s)/ETF(s) invest in financial instruments Not Rated WR that are denominated in a currency other than the functional currency of the Fund.

Cash balances as disclosed in the Statements of Financial Position are maintained by the Custodian. Interest rate risk The Manager monitors the credit worthiness of the Custodian on a regular basis. The credit rating of Interest rate risk is the risk that the fair value of interest-bearing investments and interest rate the Custodian as at December 31, 2020 was AA- (December 31, 2019 - AA- ). derivative instruments will fluctuate due to changes in prevailing levels of market interest rates. As a result, the value of the Funds that invest in debt securities and/or income trusts will be

Annual Financial Statements - December 31, 2020 – 471 – CI First Asset Exchange-Traded Funds Notes to the Financial Statements (cont’d)

affected by changes in applicable interest rates. If interest rates fall, the fair value of existing The Manager implemented fixed administration fees for each Series of the following Funds on debt securities may increase due to increase in yield. Alternatively, if interest rates rise, the yield January 1, 2021: of existing debt securities may decrease which may then lead to a decrease in their fair value. The magnitude of the decline will generally be greater for long-term debt securities than for short Fixed term debt securities. Fund Series Administration Fee CI First Asset Active Canadian Dividend ETF Common Units 0.20% Interest rate risk also applies to Funds that invest in convertible securities. The fair value of these CI First Asset Active Credit ETF Common Units 0.18% securities varies inversely with interest rates, similar to other debt securities. However, since CI First Asset Active Credit ETF US$ Common Units 0.18% they may be converted into common shares, convertible securities are generally less affected by CI First Asset Active Utility & Infrastructure ETF Common Units 0.22% interest rate fluctuations than other debt securities. CI First Asset Canadian Buyback Index ETF Common Units 0.15% CI First Asset Canadian REIT ETF Common Units 0.04% Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to CI First Asset CanBanc Income Class ETF Common Units 0.08% indirect interest rate risk in the event that the underlying fund(s)/ETF(s) invest in interest bearing CI First Asset Core Canadian Equity Income Class ETF Common Units 0.20% financial instruments. CI First Asset Enhanced Government Bond ETF Common Units 0.03% CI First Asset Enhanced Government Bond ETF US$ Common Units 0.03% Fair value hierarchy CI First Asset Enhanced Short Duration Bond Fund Common Units 0.07% The Funds are required to classify financial instruments measured at fair value using a fair value CI First Asset Enhanced Short Duration Bond Fund US$ Common Units 0.07% hierarchy. Investments whose values are based on quoted market prices in active markets are CI First Asset European Bank ETF Common Units 0.19% classified as Level 1. This level includes publicly traded equities, exchange-traded and retail mutual CI First Asset Global Financial Sector ETF Common Units 0.19% fund(s), exchange-traded warrants, futures contracts and traded options. CI First Asset Investment Grade Bond ETF Common Units 0.04% CI First Asset Investment Grade Bond ETF US$ Common Units 0.04% Financial instruments that trade in markets that are not considered to be active but are valued based CI First Asset Long Duration Fixed Income ETF Common Units 0.14% on quoted market prices, dealer quotations or alternative pricing sources supported by observable CI First Asset MSCI Canada Quality Index Class ETF Common Units 0.14% inputs are classified as Level 2. These include fixed income securities, mortgage-backed securities, CI First Asset Preferred Share ETF Common Units 0.10% short-term instruments, non-traded warrants, over-the-counter options, structured notes of indexed CI First Asset Short Term Government Bond Index Class ETF Common Units 0.06% securities, foreign currency forward contracts, swap instruments and American depositary receipts CI First Asset U.S. & Canada Lifeco Income ETF Common Units 0.12% and Global depositary receipts, if quoted market price is not available. CI First Asset U.S. Buyback Index ETF Common Units 0.15% CI First Asset U.S. TrendLeaders Index ETF Common Units 0.12% Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments include private equities, private term-loans, private equity fund(s) and certain derivatives. As observable prices On February 1, 2021, CI Global Asset Management announced proposed Funds’ mergers. The following are not available for these securities, the Funds may use a variety of valuation techniques to derive mergers will take place on April 22, 2021, if approved by unitholders. Please note that if a proposed their fair value. merger is not approved, the applicable Terminating ETF will be terminated on or about April 22, 2021.

Some of the Funds invest in other investment fund(s) and these investments are generally classified On April 22, 2021 CI First Asset Long Duration Fixed Income ETF will be terminated. as Level 1. Terminating Fund Continuing Fund The Funds’ policy is to recognize transfers into and out of the fair value hierarchy levels as of the date CI First Asset Morningstar Canada Dividend CI WisdomTree Canada Quality Dividend Growth of the event or change in circumstances giving rise to the transfer. Target 30 Index ETF (TSX: DXM) Index ETF (TSX: DGRC) CI First Asset Canadian Buyback Index ETF CI WisdomTree Canada Quality Dividend Growth Details of each Fund’s exposure to financial instruments risks including concentration risk and fair (TSX: FBE) Index ETF (TSX: DGRC) value hierarchy classification are available in the Fund Specific Notes to Financial Statements for CI First Asset U.S. Buyback Index ETF (TSX: FBU) CI WisdomTree U.S. Quality Dividend Growth each Fund. Index ETF (TSX: DGR) CI First Asset European Bank ETF (TSX: FHB) CI First Asset Global Financial Sector ETF 11. SUBSEQUENT EVENTS (TSX: FSF) On September 25, 2020, the Manager announced a proposal where fixed administration fees will CI First Asset Morningstar US Dividend CI WisdomTree U.S. Quality Dividend Growth replace the current variable operating expense being charged to the Funds listed below. Once the Target 50 Index ETF (TSX: UXM, UXM.B) Index ETF (TSX: DGR, DGR.B) proposal is implemented, the Manager of the Funds listed below, will be responsible for the operating expenses of each Fund, other than certain expenses, in exchange for the payment by the Funds of a fixed administration fee. On December 3, 2020 and December 10, 2020, securityholders of the Funds listed below approved the proposal.

Annual Financial Statements - December 31, 2020 – 472 – SEND TO DAVIA WANG - FOR REVIEW AND SIGN OFF - EACH QUARTER

CI First Asset Exchange-Traded Funds Legal Notice

Certain names, words, phrases, graphics or designs in this document may constitute trade Certains noms, mots, phrases, graphismes ou conceptions graphiques figurant dans ce document names, registered or unregistered trademarks or service marks of CI Global Asset Management. peuvent constituer des noms commerciaux, des marques déposées ou non déposées, ou des marques CI Funds, CI Financial, CI Investments and CI Investments design are registered trademarks of de service de CI Investments Inc. Placements CI et la conception graphique de Placements CI sont CI Global Asset Management. First Asset is a registered trademark of a subsidiary of CI Financial des marques déposées de CI Investments Inc. First Asset est une marque déposée d’une filiale de Corp. The CI and CI Icon logo trademarks and names are owned by CI Global Asset Management and CI Financial Corp. Le logo « Partenaire de confiance en matière de patrimoine » et le logo « Fonds used under license. CI Global Asset Management is a registered business name of CI Investments Inc. négociés en bourse CI First Asset » sont des marques de commerce de CI Investments Inc.

You can get additional copies of these Financial Statements at your request, and at no cost, by calling Vous pouvez obtenir sur demande et sans frais des exemplaires supplémentaires de ces 1-800-563-5181, by emailing [email protected], or by asking your representative. états financiers en composant le 1 877 642-1289, en envoyant un courriel à [email protected], ou en communiquant avec votre représentant. This document, and other information about the Funds, is available at www.firstasset.com, or at www.sedar.com. Ce document, ainsi que tout autre renseignement au sujet des fonds, est disponible à l’adresse www.firstasset.com, ou à www.sedar.com.

Annual Financial Statements - December 31, 2020 – 473 – For more information, please visit www.firstasset.com. FAETF_AR_E (03/21)