United Funds Notes to the Financial Statements (Unaudited)

SEMI-ANNUAL FINANCIAL STATEMENTS 2021

JUNE 30, 2021 Table of Contents

Income Fund(s) Cash Management Pool ...... 1 Short Term Income Pool ...... 10 Canadian Fixed Income Pool ...... 19 Global Fixed Income Pool ...... 45 Enhanced Income Pool ...... 59

Canadian Equity Fund(s) Canadian Equity Alpha Pool ...... 80 Canadian Equity Growth Pool ...... 90 Canadian Equity Small Cap Pool ...... 100 Canadian Equity Value Pool ...... 109

US Equity Fund(s) US Equity Alpha Pool ...... 119 US Equity Growth Pool ...... 131 US Equity Small Cap Pool ...... 142 US Equity Value Pool...... 153

International Equity Fund(s) Emerging Markets Equity Pool ...... 164 Global Equity Allocation Pool ...... 176 Global Equity Pool...... 188 International Equity Alpha Pool ...... 198 International Equity Growth Pool ...... 208 International Equity Value Pool ...... 219

Specialty Fund(s) Real Estate Investment Pool ...... 229

Currency Hedged Fund(s) International Equity Value Currency Hedged Pool ...... 241 US Equity Value Currency Hedged Pool ...... 251

Notes to the Financial Statements ...... 261 Legal Notice ...... 270

CI Investments Inc., the Manager of the Funds, appoints independent auditors to audit the Funds’ Annual Financial Statements. Under Canadian securities laws (National Instrument 81-106), if an auditor has not reviewed the Semi-Annual Financial Statements, this must be disclosed in an accompanying notice.

The Funds’ independent auditors have not performed a review of these Semi-Annual Financial Statements in accordance with standards established by the Chartered Professional Accountants of Canada.

To request an alternate format of this document, please contact us at [email protected] or 1-800-792-9355.

Semi-Annual Financial Statements - June 30, 2021 Cash Management Pool Financial Statements (unaudited)

Statements of Financial Position Statements of Financial Position (cont’d) (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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 10 10 5.00 5.00 2,001 2,001 Current assets Series E 4,303 1,632 5.00 5.00 860,668 326,381 Investments 29,386 31,494 Series F 680 1,177 5.00 5.00 136,065 235,398 Investments pledged as collateral - - Series I 4,013 2,264 5.00 5.00 802,518 452,808 Cash 14,494 20,879 Series OF 24 24 5.00 5.00 4,848 4,846 Unrealized gain on futures and foreign currency Series W 35,369 44,983 5.00 5.00 7,073,662 8,996,494 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 105 86 Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - - Receivable for unit subscriptions 6,023 3,514 50,008 55,973 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 5,557 5,825 Distributions payable to holders of redeemable units 2 - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities 50 58 5,609 5,883 Net assets attributable to holders of redeemable units 44,399 50,090

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

Semi-Annual Financial Statements - June 30, 2021 – 1 – CIG - 9601 Cash Management Pool Financial Statements (unaudited)

Statements of Comprehensive Income Statements of Comprehensive Income (cont’d) for the periods ended June 30 for the periods ended June 30 (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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A - - - 0.01 2,001 1,885 Net gain (loss) on investments and derivatives Series E - 8 - 0.01 666,904 457,939 Dividends - - Series F - 5 - 0.03 276,043 234,135 Interest for distribution purposes 211 466 Series I 11 33 0.01 0.04 1,207,606 806,247 Income distributions from investments - - Series OF - - - 0.02 4,848 6,291 Capital gain distributions from investments - - Series W 71 394 0.01 0.04 8,076,751 10,288,767 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 (88) 4 Change in unrealized appreciation (depreciation) in value of investments and derivatives (33) (13) Total net gain (loss) on investments and derivatives 90 457 Other income Foreign exchange gain (loss) on cash - - Commitment fee income - - Securities lending revenue (Note 6) - - Fees rebate - - Total other income - - Total income 90 457 Expenses Management fees (Note 5) 21 16 Administration fees (Note 5) - - Commissions and other portfolio transaction costs - 1 Independent review committee fees - - Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes - - Harmonized sales tax 3 2 Other expenses - - Total expenses 24 19 Expenses absorbed by the Manager (Note 5) (16) (2) Increase (decrease) in net assets attributable to holders of redeemable units 82 440

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

Semi-Annual Financial Statements - June 30, 2021 – 2 – Cash Management Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 10 10 1,632 1,593 1,177 1,940 2,264 5,092 Increase (decrease) in net assets attributable to holders of redeemable units - - - 8 - 5 11 33 Distributions to holders of redeemable units From net investment income - - - (8) - (5) (11) (33) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - - (8) - (5) (11) (33)

Redeemable unit transactions Proceeds from redeemable units issued - 204 255,984 209,897 122,074 78,122 508,961 335,890 Reinvestment of distributions to holders of redeemable units - - - 8 - 5 11 33 Redemption of redeemable units - (204) (253,313) (210,321) (122,571) (79,512) (507,223) (339,168) Net increase (decrease) from redeemable unit transactions - - 2,671 (416) (497) (1,385) 1,749 (3,245) Net increase (decrease) in net assets attributable to holders of redeemable units - - 2,671 (416) (497) (1,385) 1,749 (3,245) Net assets attributable to holders of redeemable units at the end of period 10 10 4,303 1,177 680 555 4,013 1,847

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 24 33 44,983 90,734 50,090 99,402 Increase (decrease) in net assets attributable to holders of redeemable units - - 71 394 82 440 Distributions to holders of redeemable units From net investment income - - (71) (394) (82) (440) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - (71) (394) (82) (440)

Redeemable unit transactions Proceeds from redeemable units issued - 52 184,908 190,809 1,071,927 814,974 Reinvestment of distributions to holders of redeemable units - - 69 390 80 436 Redemption of redeemable units - (61) (194,591) (224,535) (1,077,698) (853,801) Net increase (decrease) from redeemable unit transactions - (9) (9,614) (33,336) (5,691) (38,391) Net increase (decrease) in net assets attributable to holders of redeemable units - (9) (9,614) (33,336) (5,691) (38,391) Net assets attributable to holders of redeemable units at the end of period 24 24 35,369 57,398 44,399 61,011

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

Semi-Annual Financial Statements - June 30, 2021 – 3 – Cash Management Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 82 440 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 88 (4) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs - 1 Change in unrealized (appreciation) depreciation in value of investments and derivatives 33 13 Proceeds from sale and maturity of investments and derivatives 47,379 144,418 Purchase of investments and derivatives (45,392) (96,318) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable (19) 160 (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (8) - Net cash from (used in) operating activities 2,163 48,710

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 1,015,479 761,902 Amounts paid on redemption of redeemable units (1,024,027) (803,313) Net cash from (used in) financing activities (8,548) (41,411)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (6,385) 7,299 Cash (bank overdraft), beginning of period 20,879 16,075 Cash (bank overdraft), end of period 14,494 23,374

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 191 626 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.

Semi-Annual Financial Statements - June 30, 2021 – 4 – Cash Management Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

FINANCIALS 301,000 Bank of Montreal 1.61%, October 28, 2021 304,477 302,264 747,000 Bank of Montreal 1.61%, October 28, 2021 751,915 750,351 3,214,000 Bank of Montreal 1.61%, October 28, 2021 3,233,541 3,228,298 159,000 Bank of Montreal 2.12%, March 16, 2022 161,684 160,947 137,000 Bank of Montreal, FRN, 0.625%, February 01, 2023 137,527 137,371 99,000 Canadian Imperial Bank of Commerce 1.64%, July 12, 2021 100,091 99,042 260,000 Fortified Trust 1.67%, July 23, 2021 262,434 260,153 261,000 Fortified Trust 1.67%, July 23, 2021 263,519 261,159 333,000 Fortified Trust 1.67%, July 23, 2021 336,210 333,256 373,000 Fortified Trust 1.67%, July 23, 2021 376,678 373,305 869,000 Fortified Trust 1.67%, July 23, 2021 873,197 869,705 392,000 Fortified Trust 1.67%, July 23, 2021 393,936 392,327 3,195,000 Fortified Trust 1.67%, July 23, 2021 3,200,719 3,197,990 252,000 HSBC Bank Canada 2.908%, September 29, 2021 257,811 253,453 544,000 HSBC Bank Canada 2.908%, September 29, 2021 556,392 547,269 1,211,000 HSBC Bank Canada 2.908%, September 29, 2021 1,228,015 1,218,553 1,002,000 HSBC Bank Canada 2.908%, September 29, 2021 1,014,645 1,008,254 309,000 National Bank of Canada 1.809%, July 26, 2021 313,070 309,322 475,000 National Bank of Canada 1.809%, July 26, 2021 479,498 475,515 646,000 Royal Bank of Canada 1.968%, March 02, 2022 656,271 652,894 323,000 Royal Bank of Canada 1.968%, March 02, 2022 327,939 326,380 140,000 Royal Bank of Canada, FRN, 0.57875%, June 27, 2022 139,390 139,701 508,000 Royal Bank of Canada, FRN, 0.62%, June 27, 2022 508,950 508,526 288,000 Royal Bank of Canada, FRN, 0.62%, June 27, 2022 288,527 288,295 570,000 The Bank of Nova Scotia 1.9%, December 02, 2021 578,869 573,766 454,000 The Bank of Nova Scotia 1.9%, December 02, 2021 459,861 457,154 1,653,000 The Bank of Nova Scotia 1.9%, December 02, 2021 1,670,439 1,664,357 595,000 Toronto-Dominion Bank 2.621%, December 22, 2021 607,180 601,724 533,000 Toronto-Dominion Bank 2.621%, December 22, 2021 543,873 539,003 138,000 Toronto-Dominion Bank 2.621%, December 22, 2021 140,742 139,553 324,000 Toronto-Dominion Bank, FRN, 0.74875%, June 28, 2023 323,255 323,500 20,490,655 20,393,387 45.93 INDUSTRIALS 962,000 John Deere Financial Inc., 0.73625%, September 17, 2021 964,241 962,547 44,000 John Deere Financial Inc., 0.7375%, September 17, 2021 44,097 44,024 250,000 John Deere Financial Inc., 3.07%, July 23, 2021 255,110 250,418 1,671,000 John Deere Financial Inc., FRN, 0.7375%, September 17, 2021 1,673,924 1,672,530 2,937,372 2,929,519 6.60 CONSUMER DISCRETIONARY 120,000 Toyota Credit Canada Inc., 0.79875%, September 27, 2021 119,002 119,817 75,000 Toyota Credit Canada Inc., 0.84%, September 27, 2021 75,250 75,062 51,000 Toyota Credit Canada Inc., 0.84%, September 27, 2021 51,149 51,040 116,000 Toyota Credit Canada Inc., 0.84%, September 27, 2021 116,261 116,125 361,662 362,044 0.82 REAL ESTATE 337,000 OMERS Realty Corp., 1.823%, May 09, 2022 340,785 340,634 0.77

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

Semi-Annual Financial Statements - June 30, 2021 – 5 – Cash Management Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

SHORT-TERM INVESTMENT(S) 718,000 Enbridge Gas Distribution Inc., 0.2362%, July 16, 2021 717,921 717,921 390,000 Enbridge Gas Distribution Inc., 0.24338%, July 14, 2021 389,930 389,930 493,000 Enbridge Gas Distribution Inc., 0.25555%, July 29, 2021 492,896 492,896 654,000 Greater Toronto Airports Authority 0.22033%, September 13, 2021 653,503 653,503 748,000 Manulife Bank of Canada 0.37037%, January 04, 2022 745,247 745,247 239,000 Manulife Bank of Canada 0.3795%, November 29, 2021 238,099 238,099 2,127,000 Toyota Credit Canada Inc., 0.30993%, November 26, 2021 2,123,214 2,123,214 5,360,810 5,360,810 12.07 Commissions and other portfolio transaction costs - Total Investment Portfolio 29,491,284 29,386,394 66.19 Other Net Assets (Liabilities) 15,012,421 33.81 Net Assets Attributable to Holders of Redeemable Units 44,398,815 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 6 – Cash Management Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions - - Soft dollar commissions† - -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 2,001 2,035 326,381 318,547 235,398 387,997 452,808 1,018,459 Redeemable units issued for cash - 40,720 51,196,917 41,979,439 24,414,782 15,624,455 101,792,235 67,177,936 Redeemable units issued for reinvested distributions - 5 13 1,582 36 1,091 2,102 6,600 Redeemable units redeemed - (40,668) (50,662,643) (42,064,102) (24,514,151) (15,902,592) (101,444,627) (67,833,678) Number of redeemable units at the end of period 2,001 2,092 860,668 235,466 136,065 110,951 802,518 369,317

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 4,846 6,697 8,996,494 18,146,637 Redeemable units issued for cash 2 10,325 36,981,549 38,161,717 Redeemable units issued for reinvested distributions - 23 13,797 77,935 Redeemable units redeemed - (12,202) (38,918,178) (44,906,757) Number of redeemable units at the end of period 4,848 4,843 7,073,662 11,479,532

†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.

Semi-Annual Financial Statements - June 30, 2021 – 7 – Cash Management Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 1.250 Nil Series E 1.000 Nil Series F 0.700 Nil Series I Paid directly by investor Nil Series OF 0.750 Nil Series W Paid directly by investor Nil

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned - - Collateral (non-cash) - -

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue - - Charges - - Securities lending revenue - - Charges as a % of gross securities lending revenue - -

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

Semi-Annual Financial Statements - June 30, 2021 – 8 – Cash Management Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021, refer to the Schedule of Investment Portfolio. as at June 30, 2021 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, 2020 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Categories Net Assets (%) Interest Rate Exposure 28,925 461 - - 29,386 Other Net Assets (Liabilities) 37.1 Short-Term Investment(s) 35.7 Financials 23.1 as at December 31, 2020 Industrials 2.8 Greater Consumer Discretionary 1.3 Less than 1 - 3 3 - 5 than Total 100.0 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 50,975 1,398 - - 52,373 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. Fair Value Hierarchy as at June 30, 2021 Credit Rating^* Net Assets (%) The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and AAA/Aaa/A++ 2.5 derivatives carried at fair value. AA/Aa/A+ 13.3 A 5.0 Long Positions at fair value as at June 30, 2021 Not Rated 45.3 Total 66.1 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 24,026 - 24,026 as at December 31, 2020 Short-term investment(s) - 5,360 - 5,360 Credit Rating^* Net Assets (%) Total - 29,386 - 29,386 AAA/Aaa/A++ 18.4 AA/Aa/A+ 24.4 A 6.5 Long Positions at fair value as at December 31, 2020 Not Rated 13.6 Level 1 Level 2 Level 3 Total Total 62.9 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 13,633 - 13,633 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Short-term investment(s) - 17,861 - 17,861 Investors Service or Dominion Bond Rating Service, respectively. Total - 31,494 - 31,494 *Refer to Note 10 for Credit Rating Chart reference. There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020. Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund did not invest in equities and therefore was not subject to other price risk.

Currency Risk As at June 30, 2021 and December 31, 2020, the Fund had no significant exposure to currency risk as most of the Fund’s investments were denominated in Canadian dollars, the functional currency of the Fund.

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

Semi-Annual Financial Statements - June 30, 2021 – 9 – Short Term Income Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 60 61 11.36 11.70 5,301 5,173 Current assets Series E 1,134 1,344 10.95 11.27 103,651 119,296 Investments 28,674 96,355 Series F 42 42 10.38 10.67 4,000 3,964 Investments pledged as collateral - - Series I 20,237 59,677 13.64 13.98 1,484,006 4,267,598 Cash 904 557 Series OF 1 1 10.92 11.24 94 92 Unrealized gain on futures and foreign currency Series W 8,301 36,365 14.30 14.67 580,523 2,479,250 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 182 601 Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - - Receivable for unit subscriptions 31 59 29,791 97,572 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 16 82 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 16 82 Net assets attributable to holders of redeemable units 29,775 97,490

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

Semi-Annual Financial Statements - June 30, 2021 – 10 – CIG - 9602 Short Term Income Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A (1) 2 (0.13) 0.34 5,181 6,123 Net gain (loss) on investments and derivatives Series E (14) 45 (0.12) 0.33 108,871 133,803 Dividends - - Series F - - (0.06) 0.38 3,971 753 Interest for distribution purposes 726 626 Series I (162) 1,477 (0.06) 0.68 2,641,853 2,157,007 Income distributions from investments - - Series OF - - (0.10) 0.36 92 717 Capital gain distributions from investments - - Series W (101) 909 (0.07) 0.70 1,288,340 1,288,056 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 1,099 77 Change in unrealized appreciation (depreciation) in value of investments and derivatives (2,079) 1,754 Total net gain (loss) on investments and derivatives (254) 2,457 Other income Foreign exchange gain (loss) on cash - - Commitment fee income - - Securities lending revenue (Note 6) 4 2 Fees rebate - - Total other income 4 2 Total income (250) 2,459 Expenses Management fees (Note 5) 11 12 Administration fees (Note 5) 11 11 Commissions and other portfolio transaction costs 1 - Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes - - Harmonized sales tax 3 2 Other expenses 1 - Total expenses 28 26 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (278) 2,433

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

Semi-Annual Financial Statements - June 30, 2021 – 11 – Short Term Income Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 61 73 1,344 1,570 42 10 59,677 14,825 Increase (decrease) in net assets attributable to holders of redeemable units (1) 2 (14) 45 - - (162) 1,477 Distributions to holders of redeemable units From net investment income (1) - (20) (5) (1) - (544) (356) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (1) - (20) (5) (1) - (544) (356)

Redeemable unit transactions Proceeds from redeemable units issued 7 3 173 151 - 38 15,631 49,789 Reinvestment of distributions to holders of redeemable units 1 - 20 5 1 - 541 354 Redemption of redeemable units (7) (10) (369) (352) - (47) (54,906) (20,076) Net increase (decrease) from redeemable unit transactions 1 (7) (176) (196) 1 (9) (38,734) 30,067 Net increase (decrease) in net assets attributable to holders of redeemable units (1) (5) (210) (156) - (9) (39,440) 31,188 Net assets attributable to holders of redeemable units at the end of period 60 68 1,134 1,414 42 1 20,237 46,013

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1 10 36,365 8,350 97,490 24,838 Increase (decrease) in net assets attributable to holders of redeemable units - - (101) 909 (278) 2,433 Distributions to holders of redeemable units From net investment income - - (234) (214) (800) (575) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - (234) (214) (800) (575)

Redeemable unit transactions Proceeds from redeemable units issued - - 2,965 25,017 18,776 74,998 Reinvestment of distributions to holders of redeemable units - - 234 214 797 573 Redemption of redeemable units - (9) (30,928) (4,068) (86,210) (24,562) Net increase (decrease) from redeemable unit transactions - (9) (27,729) 21,163 (66,637) 51,009 Net increase (decrease) in net assets attributable to holders of redeemable units - (9) (28,064) 21,858 (67,715) 52,867 Net assets attributable to holders of redeemable units at the end of period 1 1 8,301 30,208 29,775 77,705

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

Semi-Annual Financial Statements - June 30, 2021 – 12 – Short Term Income Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (278) 2,433 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,099) (77) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 1 - Change in unrealized (appreciation) depreciation in value of investments and derivatives 2,079 (1,754) Proceeds from sale and maturity of investments and derivatives 122,403 21,642 Purchase of investments and derivatives (55,703) (68,526) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 419 (291) (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable - - Net cash from (used in) operating activities 67,822 (46,573)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (3) (2) Proceeds from issuance of redeemable units 18,364 74,383 Amounts paid on redemption of redeemable units (85,836) (24,068) Net cash from (used in) financing activities (67,475) 50,313

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 347 3,740 Cash (bank overdraft), beginning of period 557 61 Cash (bank overdraft), end of period 904 3,801

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 1,145 335 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.

Semi-Annual Financial Statements - June 30, 2021 – 13 – Short Term Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

CORPORATE BONDS 270,000 Apple Inc., 2.513%, August 19, 2024 282,859 281,471 335,000 Bank of America Corp., 2.604%, March 15, 2023 334,084 339,914 255,000 Bank of America Corp., 2.932%, April 25, 2025 255,158 266,539 385,000 Bank of America Corp., FRN, 1.035%, September 15, 2027 385,000 387,308 385,000 Bank of America Corp., FRN, 1.978%, September 15, 2027 384,985 384,434 260,000 Bank of Montreal 2.7%, September 11, 2024 264,165 272,799 264,000 Bank of Montreal, FRN, 2.077%, June 17, 2030 265,219 268,037 325,000 Bell Canada Inc., 4.7%, September 11, 2023 351,026 347,408 75,782 BMW Canada Auto Trust 0.502%, July 20, 2024 75,782 75,439 59,053 BMW Canada Auto Trust 0.755%, December 20, 2025 59,053 58,595 845,000 Brookfield Asset Management Inc., 5.04%, March 08, 2024 907,193 921,645 424,000 Brookfield Infrastructure Finance ULC 3.315%, February 22, 2024 413,803 445,288 250,000 Brookfield Property Finance ULC 4.115%, October 19, 2021 251,298 251,985 475,000 Brookfield Property Finance ULC 4.3%, March 01, 2024 482,566 496,310 284,000 Brookfield Renewable Partners ULC 3.752%, June 02, 2025 303,099 305,474 620,000 Canadian Mortgage Pools 6.45%, January 01, 2025 363,040 333,306 660,000 Canadian Western Bank 3.668%, June 11, 2029 665,749 693,783 790,000 Capital Power Corp., 4.986%, January 23, 2026 896,568 889,414 335,000 Choice Properties Real Estate Investment Trust 4.903%, July 05, 2023 351,749 357,200 175,000 Classic RMBS Trust 3.011%, August 15, 2026 16,663 16,927 304,725 CNH Capital Canada Receivables Trust 0.386%, March 15, 2024 256,448 262,246 318,000 CNH Capital Canada Receivables Trust 1.001%, November 16, 2026 318,000 317,042 322,000 Daimler Canada Finance Inc., 1.65%, September 22, 2025 329,583 322,627 348,000 Daimler Canada Finance Inc., 3.3%, August 16, 2022 356,728 357,995 286,000 Enbridge Inc., 3.95%, November 19, 2024 289,681 307,906 287,000 Enbridge Pipelines Inc., 3.79%, August 17, 2023 307,664 301,770 405,000 EPCOR Utilities Inc., 1.299%, May 19, 2023 409,439 408,425 600,000 Equitable Bank 1.876%, November 26, 2025 598,977 593,521 80,000 Ford Auto Securitization Trust 2.354%, June 15, 2023 24,471 24,605 55,000 Fortified Trust 2.34%, January 23, 2023 56,264 56,385 293,000 General Motors Financial of Canada Ltd., 3.25%, November 07, 2023 304,005 306,477 308,000 General Motors Financial of Canada Ltd., 5.95%, May 14, 2024 345,790 346,439 314,000 Gibson Energy Inc., 2.45%, July 14, 2025 319,178 321,698 195,000 Glacier Credit Card Trust 2.438%, September 22, 2025 195,000 196,494 100,000 Glacier Credit Card Trust 3.43%, June 06, 2024 100,000 104,287 155,000 Glacier Credit Card Trust 4.138%, September 20, 2023 155,000 163,317 264,547 GMF Canada Leasing Trust 0.422%, February 21, 2023 199,285 199,296 307,000 GMF Canada Leasing Trust 0.641%, March 20, 2024 307,000 306,862 213,000 GMF Canada Leasing Trust 1.264%, May 20, 2026 213,000 213,952 277,000 GMF Canada Leasing Trust 1.685%, November 20, 2025 277,000 278,441 500,000 Granite REIT Holdings L.P., 3.873%, November 30, 2023 535,885 530,364 513,000 H&R Real Estate Investment Trust 3.416%, January 23, 2023 522,854 528,088 150,000 HSBC Bank Canada 2.253%, September 15, 2022 147,445 152,817 345,000 HSBC Bank Canada 2.542%, January 31, 2023 354,975 354,333 155,000 Hyundai Capital Canada Inc., 2.008%, May 12, 2026 155,000 155,434 450,000 Manulife Bank of Canada 2.844%, January 12, 2023 458,443 464,227 260,000 Manulife Financial Corp., 3.049%, August 20, 2029 274,894 272,970 50,000 Master Credit Card Trust II 3.056%, January 21, 2022 49,433 50,435 125,000 MBARC Credit Canada Inc., 0.932%, February 17, 2026 125,000 124,792 385,000 Morgan Stanley 0.76875%, March 21, 2025 385,000 385,468 1,000,000 Nissan Canada Inc., 1.626%, March 18, 2024 1,000,685 997,226 425,000 Pembina Pipeline Corp., 2.99%, January 22, 2024 448,549 441,637 505,000 Penske Truck Leasing Canada Inc., 2.85%, December 07, 2022 494,652 517,514 100,000 Real Estate Asset Liquidity Trust 1.856%, September 12, 2021 7,622 7,622 585,000 RioCan Real Estate Investment Trust 1.974%, June 15, 2026 582,046 579,171

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

Semi-Annual Financial Statements - June 30, 2021 – 14 – Short Term Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) 545,000 Royal Bank of Canada, FRN, 2.88%, December 23, 2029 549,658 569,067 310,000 Smart Real Estate Investment Trust 3.985%, May 30, 2023 328,898 326,119 565,000 Sobeys Inc., 4.7%, August 08, 2023 605,465 602,397 219,000 The Bank of Nova Scotia 2.36%, November 08, 2022 223,583 224,203 320,000 Union Gas Ltd., 3.19%, September 17, 2025 338,570 342,374 515,000 VW Credit Canada Inc., 3.25%, March 29, 2023 538,638 535,033 135,000 WTH Car Rental ULC 2.781%, July 20, 2024 135,000 139,628 20,933,867 21,083,980 70.81 PROVINCIAL BONDS 1,783,000 Province of Ontario 1.35%, March 08, 2022 1,792,964 1,796,593 618,000 Province of Ontario 2.6%, September 08, 2023 648,816 644,681 933,000 Province of Quebec 3%, September 01, 2023 989,222 981,535 1,491,000 Province of Quebec 3.5%, December 01, 2022 1,570,969 1,555,942 5,001,971 4,978,751 16.72 CANADIAN GOVERNMENT BONDS 1,173,000 Government of Canada 1%, September 01, 2022 1,184,508 1,182,468 600,000 Government of Canada 1%, September 01, 2026 599,376 598,366 453,000 Government of Canada 2%, September 01, 2023 470,011 467,541 344,000 Government of Canada 2.5%, June 01, 2024 364,570 362,446 2,618,465 2,610,821 8.77 Commissions and other portfolio transaction costs - Total Investment Portfolio 28,554,303 28,673,552 96.30 Other Net Assets (Liabilities) 1,101,912 3.70 Net Assets Attributable to Holders of Redeemable Units 29,775,464 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 15 – Short Term Income Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions - - Soft dollar commissions† - -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 5,173 6,490 119,296 144,385 3,964 1,000 4,267,598 1,097,426 Redeemable units issued for cash 630 223 15,516 13,597 - 3,571 1,121,777 3,659,259 Redeemable units issued for reinvested distributions 92 20 1,854 474 83 6 39,539 25,689 Redeemable units redeemed (594) (847) (33,015) (31,940) (47) (4,480) (3,944,908) (1,463,901) Number of redeemable units at the end of period 5,301 5,886 103,651 126,516 4,000 97 1,484,006 3,318,473

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 92 959 2,479,250 589,862 Redeemable units issued for cash - - 203,116 1,756,046 Redeemable units issued for reinvested distributions 2 4 16,264 14,808 Redeemable units redeemed - (871) (2,118,107) (283,468) Number of redeemable units at the end of period 94 92 580,523 2,077,248

Semi-Annual Financial Statements - June 30, 2021 – 16 – Short Term Income Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 1.750 0.17 Series E 1.650 0.17 Series F 0.650 0.17 Series I Paid directly by investor Paid directly by investor Series OF 1.250 0.17 Series W Paid directly by investor 0.11

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 5,855 20,122 Collateral (non-cash) 5,972 20,551

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 5 2 Charges (1) - Securities lending revenue 4 2 Charges as a % of gross securities lending revenue 20.0 -

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

Semi-Annual Financial Statements - June 30, 2021 – 17 – Short Term Income Pool Fund Specific Notes to Financial Statements (unaudited)

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. Credit Rating^* Net Assets (%) AAA/Aaa/A++ 16.9 Long Positions at fair value as at June 30, 2021 AA/Aa/A+ 10.0 Level 1 Level 2 Level 3 Total A 32.8 (in $000’s) (in $000’s) (in $000’s) (in $000’s) BBB/Baa/B++ 39.1 Bonds - 28,674 - 28,674 Total 98.8 Total - 28,674 - 28,674

^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) Other Price Risk Bonds - 96,355 - 96,355 As at June 30, 2021 and December 31, 2020, the Fund did not invest in equities and therefore was not Total - 96,355 - 96,355 subject to other price risk. There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020. Currency Risk As at June 30, 2021 and December 31, 2020, the Fund had no significant exposure to currency risk as most of the Fund’s investments were denominated in Canadian dollars, the functional currency of the Fund.

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

Semi-Annual Financial Statements - June 30, 2021 – 18 – Canadian Fixed Income Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 6,822 8,306 14.08 14.55 484,519 570,992 Current assets Series E 544,071 804,079 14.15 14.63 38,438,157 54,976,117 Investments 2,680,487 3,158,437 Series F 65,837 88,361 10.94 11.31 6,016,951 7,814,744 Investments pledged as collateral - - Series I 1,592,661 1,848,099 17.90 18.49 88,999,926 99,932,602 Cash 56,063 98,446 Series OF 370 550 15.59 16.11 23,709 34,150 Unrealized gain on futures and foreign currency Series W 539,880 527,744 25.76 26.62 20,961,803 19,828,161 forward contracts 746 4,682 Swaps, swaptions and options - - Daily variation margin on derivative instruments 29 31 Fees rebate receivable 57 20 Cash collateral on deposit for short sale - - Dividends receivable 15 21 Interest receivable 15,081 17,999 Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 227 273 Receivable for unit subscriptions 5,897 8,657 2,758,602 3,288,566 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 4,046 212 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 2,651 6,222 Payable for unit redemptions 2,264 4,992 Distributions payable to holders of redeemable units - 1 Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 8,961 11,427 Net assets attributable to holders of redeemable units 2,749,641 3,277,139

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

Semi-Annual Financial Statements - June 30, 2021 – 19 – CIG - 9603 Canadian Fixed Income Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A (229) 497 (0.43) 0.67 529,100 760,377 Net gain (loss) on investments and derivatives Series E (22,588) 38,000 (0.50) 0.70 44,745,276 54,940,842 Dividends 725 1,610 Series F (2,101) 4,123 (0.32) 0.61 6,607,266 6,807,752 Interest for distribution purposes 37,704 43,520 Series I (33,587) 93,971 (0.36) 1.01 92,593,564 93,213,330 Income distributions from investments 6,673 1,828 Series OF (13) 43 (0.44) 0.83 29,518 51,978 Capital gain distributions from investments 331 2,264 Series W (8,387) 30,001 (0.41) 1.45 20,333,130 20,689,763 Derivative income (loss) - (137) 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 1,154 68,480 Change in unrealized appreciation (depreciation) in value of investments and derivatives (105,968) 57,131 Total net gain (loss) on investments and derivatives (59,381) 174,696 Other income Foreign exchange gain (loss) on cash (488) 491 Commitment fee income - - Securities lending revenue (Note 6) 96 124 Fees rebate 211 178 Total other income (181) 793 Total income (59,562) 175,489 Expenses Management fees (Note 5) 5,543 6,673 Administration fees (Note 5) 894 1,011 Commissions and other portfolio transaction costs 60 79 Independent review committee fees 1 1 Securities borrowing fees (Note 2) 9 12 Margin fees - - Service fees - - Interest expense - 4 Withholding taxes 67 163 Harmonized sales tax 768 911 Other expenses 1 - Total expenses 7,343 8,854 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (66,905) 166,635

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

Semi-Annual Financial Statements - June 30, 2021 – 20 – Canadian Fixed Income Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 8,306 11,721 804,079 785,331 88,361 69,037 1,848,099 1,660,041 Increase (decrease) in net assets attributable to holders of redeemable units (229) 497 (22,588) 38,000 (2,101) 4,123 (33,587) 93,971 Distributions to holders of redeemable units From net investment income (39) (75) (3,752) (6,384) (785) (860) (26,637) (23,045) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (39) (75) (3,752) (6,384) (785) (860) (26,637) (23,045)

Redeemable unit transactions Proceeds from redeemable units issued 544 636 103,355 123,254 21,140 21,753 292,814 273,618 Reinvestment of distributions to holders of redeemable units 39 75 3,752 6,383 784 859 26,637 23,045 Redemption of redeemable units (1,799) (3,250) (340,775) (182,652) (41,562) (17,880) (514,665) (389,194) Net increase (decrease) from redeemable unit transactions (1,216) (2,539) (233,668) (53,015) (19,638) 4,732 (195,214) (92,531) Net increase (decrease) in net assets attributable to holders of redeemable units (1,484) (2,117) (260,008) (21,399) (22,524) 7,995 (255,438) (21,605) Net assets attributable to holders of redeemable units at the end of period 6,822 9,604 544,071 763,932 65,837 77,032 1,592,661 1,638,436

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 550 870 527,744 558,079 3,277,139 3,085,079 Increase (decrease) in net assets attributable to holders of redeemable units (13) 43 (8,387) 30,001 (66,905) 166,635 Distributions to holders of redeemable units From net investment income (4) (8) (8,797) (7,065) (40,014) (37,437) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (4) (8) (8,797) (7,065) (40,014) (37,437)

Redeemable unit transactions Proceeds from redeemable units issued 71 49 86,260 104,070 504,184 523,380 Reinvestment of distributions to holders of redeemable units 4 8 8,795 7,063 40,011 37,433 Redemption of redeemable units (238) (245) (65,735) (193,602) (964,774) (786,823) Net increase (decrease) from redeemable unit transactions (163) (188) 29,320 (82,469) (420,579) (226,010) Net increase (decrease) in net assets attributable to holders of redeemable units (180) (153) 12,136 (59,533) (527,498) (96,812) Net assets attributable to holders of redeemable units at the end of period 370 717 539,880 498,546 2,749,641 2,988,267

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

Semi-Annual Financial Statements - June 30, 2021 – 21 – Canadian Fixed Income Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (66,905) 166,635 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,154) (68,480) Unrealized foreign exchange (gain) loss on cash (150) (163) Commissions and other portfolio transaction costs 60 79 Change in unrealized (appreciation) depreciation in value of investments and derivatives 105,968 (57,131) Proceeds from sale and maturity of investments and derivatives 3,063,002 3,126,280 Purchase of investments and derivatives (2,678,677) (2,846,014) Non-cash distributions from investments (7,004) (4,092) Change in daily variation margin 2 (1) (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 6 34 (Increase) decrease in interest receivable 2,918 849 (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (37) (61) Net cash from (used in) operating activities 418,029 317,935

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (4) (4) Proceeds from issuance of redeemable units 472,183 487,913 Amounts paid on redemption of redeemable units (932,741) (746,019) Net cash from (used in) financing activities (460,562) (258,110)

Unrealized foreign exchange gain (loss) on cash 150 163 Net increase (decrease) in cash (42,533) 59,825 Cash (bank overdraft), beginning of period 98,446 31,541 Cash (bank overdraft), end of period 56,063 91,529

Supplementary Information: Dividends received, net of withholding tax* 723 1,550 Interest received, net of withholding tax* 40,549 44,311 Dividends paid* - - Interest paid* - 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.

Semi-Annual Financial Statements - June 30, 2021 – 22 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

CORPORATE BONDS 4,446,000 407 International Inc., 2.84%, March 07, 2050 4,420,965 4,175,986 3,252,000 407 International Inc., 3.6%, May 21, 2047 3,388,110 3,498,700 3,226,000 407 International Inc., 3.65%, September 08, 2044 3,390,898 3,479,419 4,219,000 407 International Inc., Callable, 5.96%, December 03, 2035 5,313,805 5,683,981 USD 175,000 AAdvantage Loyalty IP Ltd., Term Loan, Private Placement, Variable Rate, March 10, 2028 218,623 226,435 EUR 1,042,166 Abengoa Abenewco 1 S.A.U., 6%, July 16, 2021 1,286,553 382,958 EUR 24,757 Abengoa Abenewco 1 S.A.U., Zero Coupon, December 31, 2022 - - USD 1,307,189 Abengoa Abenewco 2 BIS S.A., 1.5%, April 26, 2024 254,423 - USD 315,000 Abercrombie & Fitch Co., 8.75%, July 15, 2025 431,452 433,408 USD 900,000 Academy Ltd., 6%, November 15, 2027 1,199,234 1,196,343 USD 61,346 Academy Ltd., Term Loan, Private Placement, Variable Rate, November 06, 2027 80,866 76,532 5,435,007 Access Health Abbotsford Ltd., 6.032%, March 07, 2038 6,590,280 6,907,557 USD 109,333 Acrisure LLC, Term Loan B, Private Placement, Variable Rate, January 31, 2027 145,150 134,273 USD 457,000 AerCap Global Aviation Trust 6.5%, June 15, 2045 520,961 609,023 USD 522,000 AerCap Holdings N.V., 5.875%, October 10, 2079 700,520 675,508 USD 89,000 AerCap Ireland Capital DAC/AerCap Global Aviation Trust 6.5%, July 15, 2025 118,829 129,547 USD 116,000 Air Canada 2021-1 Class C Pass Through Trust 10.5%, July 15, 2026 173,860 177,226 USD 826,000 Air Canada 4%, July 01, 2025 1,181,161 1,590,545 22,000 Air Canada 4.75%, October 06, 2023 20,570 22,431 USD 8,350 Air Canada, 2013-1 Class A Pass Through Certificates 4.125%, May 15, 2025 10,372 10,682 USD 2,048,235 Air Canada, Term Loan B, Private Placement, Variable Rate, October 06, 2023 2,483,324 2,507,261 8,649,000 Air Lease Corp., 2.625%, December 05, 2024 8,523,800 8,889,376 USD 504,000 Aircastle Ltd., FRN, 5.25%, December 31, 2049 610,044 632,569 1,476,196 Alliance Pipeline L.P., 7.181%, June 30, 2023 1,666,488 1,583,853 1,468,130 Alliance Pipeline L.P., 7.217%, December 31, 2025 1,721,231 1,720,030 4,005,000 Allied Properties Real Estate Investment Trust 1.726%, February 12, 2026 4,005,000 3,950,525 4,063,000 Allied Properties Real Estate Investment Trust 3.113%, April 08, 2027 4,163,528 4,234,075 4,761,000 Allied Properties Real Estate Investment Trust 3.117%, February 21, 2030 4,795,241 4,818,808 5,005,000 Allied Properties Real Estate Investment Trust 3.636%, April 21, 2025 5,168,091 5,332,764 USD 812,000 Ally Financial Inc., FRN, 4.7%, December 31, 2049 979,883 1,021,958 4,281,000 AltaGas Ltd., 2.609%, December 16, 2022 4,430,488 4,385,358 2,483,000 AltaLink L.P., 3.99%, June 30, 2042 2,828,447 2,831,476 1,796,000 AltaLink L.P., 4.462%, November 08, 2041 2,263,765 2,172,134 2,366,000 AltaLink L.P., 4.872%, November 15, 2040 2,869,989 2,981,770 USD 286,172 Alterra Mountain Co., Term Loan, Private Placement, Variable Rate, August 01, 2026 366,143 356,071 USD 85,000 Altice Financing S.A., 5%, January 15, 2028 110,781 103,573 USD 380,000 Altice France Holding S.A., 6%, February 15, 2028 506,389 468,038 USD 202,000 Altice France S.A., 5.125%, July 15, 2029 253,095 251,940 USD 531,000 Altice France S.A., 5.5%, January 15, 2028 690,745 683,867 USD 2,067,122 Alvogen Pharma US Inc., Term Loan B-Ext, Private Placement, Variable Rate, December 31, 2023 2,746,385 2,528,791 USD 58,000 Ambience Merger Sub Inc., 4.875%, July 15, 2028 71,467 72,346 USD 58,000 Ambience Merger Sub Inc., 7.125%, July 15, 2029 71,467 72,706 USD 507,000 AMC Entertainment Holdings Inc., 10.5%, April 15, 2025 694,613 683,156 USD 507,392 AMC Entertainment Holdings Inc., Term Loan B, Private Placement, Variable Rate, March 20, 2026 670,648 592,601 USD 354,000 American Airlines Group Inc., 6.5%, July 01, 2025 455,147 690,044 USD 985,000 American Airlines Inc./AAdvantage Loyalty IP Ltd., 5.75%, April 20, 2029 1,271,317 1,319,715 3,953,000 Anheuser-Busch InBev Finance Inc., 4.32%, May 15, 2047 3,989,783 4,237,935 USD 1,869,000 Anheuser-Busch InBev Worldwide Inc., 4.35%, June 01, 2040 2,688,333 2,764,902 2,141,000 ARC Resources Ltd., 2.354%, March 10, 2026 2,141,000 2,157,987 3,274,000 ARC Resources Ltd., 3.465%, March 10, 2031 3,274,000 3,346,190 2,532,395 Arrow Lakes Power Corp., 5.516%, April 05, 2041 2,939,964 3,093,068 10,698,000 Aviva PLC 4%, October 02, 2030 10,740,817 11,440,924 USD 1,972,000 Avolon Holdings Funding Ltd., 2.75%, February 21, 2028 2,473,026 2,422,211 USD 683,000 Banco Santander S.A., FRN, 4.75%, December 31, 2049 830,799 858,925 8,716,000 Bank of America Corp., 2.604%, March 15, 2023 8,701,907 8,843,852

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

Semi-Annual Financial Statements - June 30, 2021 – 23 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) 3,391,000 Bank of America Corp., 2.932%, April 25, 2025 3,491,143 3,544,445 5,557,000 Bank of America Corp., 3.301%, April 24, 2024 5,624,466 5,790,949 4,906,000 Bank of America Corp., 3.515%, March 24, 2026 4,994,260 5,249,764 USD 1,373,000 Bank of America Corp., 5.875%, December 31, 2049 1,770,631 1,950,140 6,310,000 Bank of America Corp., FRN, 1.035%, September 15, 2027 6,310,000 6,347,835 5,358,000 Bank of America Corp., FRN, 1.978%, September 15, 2027 5,357,786 5,350,120 USD 131,000 Bank of America Corp., FRN, 5.2%, December 31, 2049 149,995 169,026 4,540,000 Bank of Montreal 2.7%, September 11, 2024 4,582,573 4,763,490 4,539,000 Bank of Montreal 2.85%, March 06, 2024 4,691,523 4,743,867 7,629,000 Bank of Montreal 2.89%, June 20, 2023 7,724,222 7,940,973 6,692,000 Bank of Montreal, FRN, 2.077%, June 17, 2030 6,722,221 6,794,322 4,463,000 Bank of Montreal, FRN, 4.3%, November 26, 2080 4,475,464 4,711,469 4,604,967 Bankers Hall L.P., 4.377%, November 20, 2023 4,666,470 4,764,792 USD 151,000 Barclays PLC 6.125%, December 31, 2049 200,451 207,652 USD 1,211,000 Barclays PLC 6.278%, December 31, 2049 1,777,931 2,016,267 USD 248,000 Barclays PLC 7.75%, December 31, 2049 323,077 338,548 USD 664,000 Barclays PLC 8%, December 31, 2049 882,521 940,079 4,630,000 Bell Canada Inc., 3.5%, September 30, 2050 4,476,788 4,356,617 3,845,000 Bell Canada Inc., 3.8%, August 21, 2028 4,278,307 4,218,688 3,163,000 Bell Canada Inc., 4.7%, September 11, 2023 3,454,728 3,381,086 USD 234,000 Big River Steel LLC/BRS Finance Corp., 6.625%, January 31, 2029 307,862 320,470 2,767,000 BMW Canada Auto Trust 0.502%, July 20, 2024 2,767,000 2,754,485 2,214,000 BMW Canada Auto Trust 0.755%, December 20, 2025 2,214,000 2,196,811 5,040,000 BMW Canada Auto Trust 1.99%, September 20, 2023 5,118,422 5,108,143 GBP 287,365 BrightHouse Group PLC, Zero Coupon, May 15, 2023 501,125 123,189 4,369,000 Brookfield Asset Management Inc., 4.82%, January 28, 2026 4,919,268 4,924,495 4,781,000 Brookfield Asset Management Inc., 5.95%, June 14, 2035 5,397,945 6,079,260 8,039,000 Brookfield Infrastructure Finance ULC 3.315%, February 22, 2024 8,151,569 8,442,621 4,631,000 Brookfield Infrastructure Finance ULC 3.41%, October 09, 2029 4,480,924 4,883,421 5,795,000 Brookfield Infrastructure Finance ULC 4.193%, September 11, 2028 5,971,483 6,438,973 5,009,000 Brookfield Property Finance ULC 4.115%, October 19, 2021 5,041,498 5,048,769 5,226,000 Brookfield Property Finance ULC 4.3%, March 01, 2024 5,414,155 5,460,457 5,109,000 Brookfield Property Finance ULC 4.346%, July 03, 2023 5,178,117 5,316,248 USD 1,078,000 Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimnus 5.75%, May 15, 2026 1,450,196 1,406,561 2,969,000 Brookfield Renewable Partners ULC 3.33%, August 13, 2050 2,986,688 2,859,320 1,295,000 Brookfield Renewable Partners ULC 3.38%, January 15, 2030 1,287,735 1,395,143 1,367,000 Brookfield Renewable Partners ULC 3.752%, June 02, 2025 1,414,672 1,470,360 922,000 Brookfield Renewable Partners ULC 5.84%, November 05, 2036 1,000,470 1,181,037 USD 863,000 Brookfield Residential Properties Inc., 4.875%, February 15, 2030 1,147,662 1,061,540 572,000 Brookfield Residential Properties Inc., 5.125%, June 15, 2029 572,000 577,243 USD 590,000 Brookfield Residential Properties Inc., 6.25%, September 15, 2027 776,577 774,439 USD 1,304,000 Burford Capital Global Finance LLC 6.25%, April 15, 2028 1,668,839 1,699,947 USD 75,000 Cablevision Lightpath LLC 5.625%, September 15, 2028 98,925 95,016 181,000 Calfrac Holdings L.P., 10%, December 18, 2023 181,000 181,000 USD 1,482,350 Calfrac Holdings L.P., 10.875%, March 15, 2026 1,571,421 1,416,006 USD 1,897,477 Canada Goose Inc., Term Loan, Private Placement, Variable Rate, October 07, 2027 2,472,329 2,365,348 1,868,000 Canada Life Capital Trust 7.529%, June 30, 2032 2,569,659 2,716,919 4,104,000 Canadian Imperial Bank of Commerce 2%, April 17, 2025 4,133,946 4,192,046 4,008,000 Canadian Imperial Bank of Commerce 2.3%, July 11, 2022 3,998,551 4,084,714 3,540,000 Canadian Imperial Bank of Commerce 2.35%, August 28, 2024 3,563,399 3,656,391 6,783,000 Canadian Imperial Bank of Commerce 2.97%, July 11, 2023 6,885,460 7,076,670 4,769,000 Canadian Imperial Bank of Commerce 3.3%, May 26, 2025 4,910,547 5,143,917 5,203,000 Canadian Imperial Bank of Commerce 4.375%, October 28, 2080 5,248,383 5,471,693 2,962,000 Canadian National Railway Co., 3.05%, February 08, 2050 3,017,480 2,754,074 1,137,000 Canadian Natural Resources Ltd., 2.5%, January 17, 2028 1,138,322 1,151,034

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

Semi-Annual Financial Statements - June 30, 2021 – 24 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) 3,044,000 Canadian Natural Resources Ltd., 3.42%, December 01, 2026 3,174,712 3,245,280 467,000 Canadian Pacific Railway Ltd., 3.05%, March 09, 2050 465,308 442,321 1,869,000 Canadian Tire Corp., Ltd., 5.61%, September 04, 2035 2,154,129 2,146,397 6,854,000 Canadian Western Bank 1.926%, April 16, 2026 6,854,000 6,875,876 1,827,000 Canadian Western Bank 2.597%, September 06, 2024 1,834,504 1,891,798 3,473,000 Canadian Western Bank 2.737%, June 16, 2022 3,476,284 3,543,170 5,074,000 Canadian Western Bank 2.788%, September 13, 2021 5,071,462 5,097,406 5,028,000 Canadian Western Bank 3.668%, June 11, 2029 5,055,860 5,285,364 898,000 Canadian Western Bank 5%, July 31, 2081 900,990 910,544 201,000 Canadian Western Bank 6%, April 30, 2081 202,100 215,530 3,493,000 Capital Power Corp., 3.147%, October 01, 2032 3,497,067 3,443,195 3,636,000 Capital Power Corp., 4.424%, February 08, 2030 3,712,916 4,068,106 5,020,000 Capital Power Corp., 4.986%, January 23, 2026 5,550,567 5,651,717 4,537,000 CARDS II Trust 2.427%, November 15, 2024 4,612,180 4,712,072 1,768,000 CARDS II Trust 3.127%, November 15, 2024 1,782,583 1,842,164 3,215,000 CARDS II Trust 3.877%, November 15, 2024 3,246,992 3,333,502 USD 1,276,000 Carnival Corp., 11.5%, April 01, 2023 1,815,124 1,791,352 USD 1,266,000 Carnival Corp., 5.75%, March 01, 2027 1,607,267 1,645,842 USD 298,000 Carnival Corp., 7.2%, October 01, 2023 361,987 397,960 USD 909,000 Carnival Corp., 7.625%, March 01, 2026 1,209,060 1,225,394 USD 397,000 Carnival Corp., 9.875%, August 01, 2027 577,996 575,175 USD 156,000 Carvana Co., 5.5%, April 15, 2027 196,855 200,431 USD 626,000 Carvana Co., 5.625%, October 01, 2025 833,798 808,781 USD 1,184,000 Carvana Co., 5.875%, October 01, 2028 1,581,657 1,546,343 4,476,000 CCL Industries Inc., 3.864%, April 13, 2028 4,608,012 4,867,932 USD 304,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, February 01, 2031 414,895 384,376 USD 14,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, August 15, 2030 19,214 18,114 USD 418,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, May 01, 2032 573,106 538,732 USD 539,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, March 01, 2030 719,202 706,564 USD 273,000 CCO Holdings LLC/CCO Holdings Capital Corp., 5%, February 01, 2028 372,158 355,498 9,277,000 Cenovus Energy Inc., 3.5%, February 07, 2028 9,284,304 9,729,785 834,000 Central 1 Credit Union 3.06%, October 14, 2026 844,008 839,159 USD 105,000 CenturyLink Inc., 4.5%, January 15, 2029 137,366 127,191 464,000 CES Energy Solutions Corp., 6.375%, October 21, 2024 464,000 478,597 USD 1,974,000 Charter Communications Operating LLC 2.8%, April 01, 2031 2,719,296 2,499,552 USD 726,000 Cheplapharm Arzneimittel GmbH 5.5%, January 15, 2028 972,518 923,575 4,237,000 Choice Properties Real Estate Investment Trust 2.848%, May 21, 2027 4,385,559 4,390,972 4,538,000 Choice Properties Real Estate Investment Trust 3.827%, March 04, 2050 4,589,052 4,365,580 4,296,000 Choice Properties Real Estate Investment Trust 4.178%, March 08, 2028 4,457,758 4,759,640 1,714,000 Choice Properties Real Estate Investment Trust 5.268%, March 07, 2046 1,870,859 2,021,768 USD 210,000 Cinemark Holdings Inc., 4.5%, August 15, 2025 255,734 461,737 2,291,000 Cineplex Inc., 7.5%, February 26, 2026 2,296,720 2,403,880 291,000 Citigroup Inc., 3.39%, November 18, 2021 299,206 294,256 4,685,000 Citigroup Inc., 4.09%, June 09, 2025 4,813,747 5,101,776 USD 40,000 Citigroup Inc., 4.7%, December 31, 2049 52,192 51,256 USD 930,000 Citigroup Inc., FRN, Series P, 5.95%, December 31, 2049 1,137,392 1,264,598 10,542,000 Classic RMBS Trust 3.011%, August 15, 2026 1,010,302 1,019,680 3,070,000 CNH Capital Canada Receivables Trust 0.386%, March 15, 2024 2,642,421 2,642,043 1,793,000 CNH Capital Canada Receivables Trust 1.001%, November 16, 2026 1,793,000 1,787,601 USD 75,000 Coeur Mining Inc., 5.125%, February 15, 2029 94,642 92,350 USD 58,000 Colgate Energy Partners III LLC 5.875%, July 01, 2029 71,099 74,593 3,185,490 Comber Wind Financial Corp., 5.132%, November 15, 2030 3,375,701 3,599,643 USD 129,000 CommScope Finance LLC 6%, March 01, 2026 172,506 169,016 USD 151,000 CommScope Inc., 7.125%, July 01, 2028 204,363 203,111 USD 249,534 CommScope Inc., Term Loan B2, Private Placement, Variable Rate, February 07, 2026 329,562 308,412

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

Semi-Annual Financial Statements - June 30, 2021 – 25 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 78,000 Comstock Resources Inc., 5.875%, January 15, 2030 94,719 98,744 USD 44,000 Consolidated Communications Inc., 5%, October 01, 2028 55,733 55,402 USD 215,000 Consolidated Communications Inc., 6.5%, October 01, 2028 283,780 287,237 USD 46,410 Consolidated Communications Inc., Term Loan B, Private Placement, Variable Rate, October 02, 2027 60,338 57,715 3,251,000 Co-operators Financial Services Ltd., 3.327%, May 13, 2030 3,260,072 3,212,141 USD 781,000 CQP Holdco L.P./BIP-V Chinook Holdco LLC 5.5%, June 15, 2031 947,927 1,009,992 USD 942,000 Credit Suisse Group AG 4.5%, December 31, 2049 1,217,353 1,161,751 USD 345,000 Credit Suisse Group AG 5.1%, December 31, 2049 448,960 442,097 USD 803,000 Credit Suisse Group AG 5.25%, December 31, 2049 1,064,751 1,055,125 USD 1,001,000 Credit Suisse Group AG 6.25%, December 31, 2049 1,249,482 1,361,687 USD 493,000 Credit Suisse Group AG 6.375%, December 31, 2049 670,376 680,771 USD 433,000 Credit Suisse Group AG 7.5%, December 31, 2049 568,531 585,055 USD 39,000 Credit Suisse Group AG, FRN, 7.5%, December 11, 2023 48,859 53,737 2,070,000 Crew Energy Inc., 6.5%, March 14, 2024 1,985,288 1,959,600 2,695,000 Crombie Real Estate Investment Trust 3.917%, June 21, 2027 2,759,659 2,915,384 USD 78,000 CrownRock L.P./CrownRock Finance Inc., 5%, May 01, 2029 97,730 101,679 USD 352,000 CrownRock L.P./CrownRock Finance Inc., 5.625%, October 15, 2025 444,072 452,853 USD 193,000 CSC Holdings LLC 4.5%, November 15, 2031 236,955 241,011 USD 193,000 CSC Holdings LLC 5%, November 15, 2031 236,955 240,715 USD 65,000 CSC Holdings LLC 5.375%, February 01, 2028 81,042 85,314 USD 576,000 CSC Holdings LLC, 4.625%, December 01, 2030 786,512 701,416 2,866,000 CU Inc., 2.609%, September 28, 2050 2,864,227 2,562,773 1,649,000 CU Inc., 3.548%, November 22, 2047 1,729,416 1,759,057 1,618,000 CU Inc., 3.964%, July 27, 2045 1,736,367 1,828,701 728,000 CU Inc., 4.801%, November 22, 2021 758,503 740,105 3,543,000 Daimler Canada Finance Inc., 1.65%, September 22, 2025 3,552,573 3,549,899 364,000 Daimler Canada Finance Inc., 1.91%, July 08, 2021 367,094 364,065 58,000 Daimler Canada Finance Inc., 2.23%, December 16, 2021 58,980 58,464 1,043,000 Daimler Canada Finance Inc., 3.3%, August 16, 2022 1,044,620 1,072,955 USD 57,000 Delta Air Lines Inc., 7%, May 01, 2025 80,000 82,536 USD 58,000 Delta Air Lines Inc., 7.375%, January 15, 2026 77,598 84,447 USD 62,000 Delta Air Lines Inc./SkyMiles IP Ltd., 4.5%, October 20, 2025 81,719 82,652 USD 707,000 Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, August 15, 2026 875,110 569,659 USD 134,000 Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, August 15, 2027 174,668 81,619 USD 80,049 Digicel International Finance Ltd., Term Loan B, Private Placement, Variable Rate, May 27, 2024 105,416 95,446 USD 55,000 Dolya HoldCo 18 Designated Activity Co., 5%, July 15, 2028 73,845 69,788 USD 1,515,000 Dresdner Funding Trust I 8.151%, June 30, 2031 2,565,466 2,694,928 1,550,000 Dye & Durham Ltd., 3.75%, March 01, 2026 1,575,188 1,575,870 3,843,000 Eagle Credit Card Trust 1.273%, July 17, 2025 3,845,559 3,818,502 4,790,000 Eagle Credit Card Trust 1.546%, June 17, 2026 4,790,000 4,772,993 830,000 Eagle Credit Card Trust 1.773%, July 17, 2025 830,000 825,443 1,435,000 Eagle Credit Card Trust 2.026%, June 17, 2026 1,435,000 1,428,499 1,875,000 Eagle Credit Card Trust 2.773%, July 17, 2025 1,874,595 1,872,054 1,275,000 Eagle Credit Card Trust 2.876%, June 17, 2026 1,275,000 1,269,159 4,790,000 E-L Financial Corp., Ltd., 4%, June 22, 2050 4,811,181 4,893,781 USD 1,057,000 Empire Communities Corp., 7%, December 15, 2025 1,398,916 1,380,326 1,055,000 Empire Communities Corp., 7.375%, December 15, 2025 1,067,072 1,107,108 3,000,000 Empire Life Insurance Co., 3.625%, April 17, 2081 3,000,000 3,019,014 7,379,000 Enbridge Gas Inc., 3.01%, August 09, 2049 7,393,102 7,163,493 650,000 Enbridge Inc., 3.95%, November 19, 2024 699,580 699,786 4,868,000 Enbridge Inc., 4.24%, August 27, 2042 4,837,849 5,008,959 1,383,000 Enbridge Inc., 4.85%, February 22, 2022 1,452,980 1,419,318 4,075,000 Enbridge Inc., 4.87%, November 21, 2044 4,327,870 4,581,791 3,187,000 Enbridge Inc., 5.375%, September 27, 2077 3,154,387 3,364,904 USD 1,000 Enbridge Inc., 5.5%, July 15, 2077 1,020 1,320

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

Semi-Annual Financial Statements - June 30, 2021 – 26 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 1,541,000 Enbridge Inc., 6%, January 15, 2077 2,085,431 2,120,353 USD 7,374,000 Enbridge Inc., 6.25%, March 01, 2078 9,453,951 10,044,466 4,465,000 Enbridge Inc., 6.625%, April 12, 2078 4,602,694 5,072,547 4,061,000 Enbridge Pipelines Inc., 3.79%, August 17, 2023 4,347,685 4,269,997 2,281,000 Enbridge Pipelines Inc., 4.2%, May 12, 2051 2,280,224 2,402,101 2,183,000 Enbridge Pipelines Inc., 4.33%, February 22, 2049 2,241,451 2,342,580 USD 193,000 Encino Acquisition Partners Holdings LLC 8.5%, May 01, 2028 240,826 244,327 USD 251,000 Endeavor Energy Resources L.P./EER Finance Inc., 5.5%, January 30, 2026 321,667 324,241 USD 612,000 Endeavor Energy Resources L.P./EER Finance Inc., 5.75%, January 30, 2028 814,434 808,768 2,980,000 EPCOR Utilities Inc., 2.899%, May 19, 2050 3,161,229 2,832,748 1,248,000 EPCOR Utilities Inc., 4.55%, February 28, 2042 1,391,863 1,508,680 3,240,000 Equitable Bank 1.774%, September 21, 2023 3,268,976 3,269,526 4,260,000 Equitable Bank 1.876%, November 26, 2025 4,245,420 4,213,999 USD 3,034,000 Fairfax India Holdings Corp., 5%, February 26, 2028 3,795,790 3,748,055 USD 304,000 Fairstone Financial Inc., 7.875%, July 15, 2024 410,622 394,166 1,768,000 Fairstone Financial Issuance Trust I 2.509%, October 20, 2039 1,768,256 1,791,470 1,768,000 Fairstone Financial Issuance Trust I 3.735%, October 20, 2039 1,767,565 1,750,012 1,170,000 Falcon Holding Acquisition Corp., 6.125%, June 30, 2031 1,170,000 1,180,220 5,176,489 Fifth Avenue L.P., 4.71%, August 05, 2021 5,297,621 5,189,827 4,555,000 First Capital Realty Inc., 3.604%, May 06, 2026 4,875,891 4,788,528 USD 196,000 First Quantum Minerals Ltd., 6.5%, March 01, 2024 255,118 248,547 USD 641,000 First Quantum Minerals Ltd., 6.875%, March 01, 2026 758,887 833,321 USD 526,000 First Quantum Minerals Ltd., 6.875%, October 15, 2027 689,108 711,333 USD 107,000 First Quantum Minerals Ltd., 7.25%, April 01, 2023 141,572 135,374 USD 2,458,000 First Quantum Minerals Ltd., 7.5%, April 01, 2025 3,239,640 3,169,233 3,971,000 Ford Auto Securitization Trust 2.354%, June 15, 2023 1,216,820 1,221,321 7,945,000 Ford Auto Securitization Trust 2.841%, January 15, 2024 7,367,658 7,357,673 5,677,000 Fortified Trust 2.34%, January 23, 2023 5,709,434 5,819,976 7,275,000 Fortified Trust 2.558%, March 23, 2024 7,438,981 7,559,655 1,094,000 FortisAlberta Inc., 2.632%, June 08, 2051 1,094,000 982,391 1,839,000 FortisAlberta Inc., 4.11%, September 29, 2044 1,973,644 2,120,075 1,968,000 FortisAlberta Inc., 4.27%, September 22, 2045 2,191,608 2,329,318 2,545,000 FortisBC Energy (Vancouver Island) Inc., 6.05%, February 15, 2038 3,271,024 3,525,627 2,035,000 FortisBC Energy Inc., 2.54%, July 13, 2050 2,030,976 1,814,670 2,433,000 FortisBC Energy Inc., 2.82%, August 09, 2049 2,274,795 2,304,546 2,829,000 FortisBC Inc., 5.6%, November 09, 2035 3,630,127 3,677,791 1,621,000 FortisBC Inc., 6.1%, June 02, 2039 2,199,770 2,254,686 USD 194,000 Fortress Transportation and Infrastructure Investors LLC 5.5%, May 01, 2028 244,829 250,703 USD 971,000 Fortress Transportation and Infrastructure Investors LLC 6.5%, October 01, 2025 1,251,290 1,251,807 USD 623,000 Fortress Transportation and Infrastructure Investors LLC 9.75%, August 01, 2027 846,635 894,492 USD 409,000 Front Range BidCo Inc., 4%, March 01, 2027 542,332 504,143 3,545,000 General Motors Financial of Canada Ltd., 1.75%, April 15, 2026 3,542,767 3,506,659 3,146,000 General Motors Financial of Canada Ltd., 3.25%, November 07, 2023 3,184,332 3,290,710 2,946,000 General Motors Financial of Canada Ltd., 5.95%, May 14, 2024 3,235,198 3,313,670 USD 116,000 Genesis Energy L.P./Genesis Energy Finance Corp., 8%, January 15, 2027 150,811 151,253 USD 1,256,000 Genworth Holdings Inc., 2.15838%, November 15, 2036 1,174,173 996,489 USD 1,096,000 Genworth Holdings Inc., 4.8%, February 15, 2024 1,266,537 1,361,322 USD 267,000 Genworth Holdings Inc., 4.9%, August 15, 2023 315,397 332,465 USD 304,000 Genworth Mortgage Holdings Inc., 6.5%, August 15, 2025 401,723 416,411 4,349,000 George Weston Ltd., 4.115%, June 17, 2024 4,552,786 4,658,282 1,970,000 George Weston Ltd., 6.69%, March 01, 2033 2,441,301 2,531,012 2,475,000 George Weston Ltd., 7.1%, February 05, 2032 3,120,318 3,199,143 3,547,000 Gibson Energy Inc., 2.45%, July 14, 2025 3,596,930 3,633,960 2,848,000 Gibson Energy Inc., 2.85%, July 14, 2027 2,866,067 2,926,741 3,310,000 Gibson Energy Inc., 3.6%, September 17, 2029 3,331,848 3,520,142

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

Semi-Annual Financial Statements - June 30, 2021 – 27 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) 964,000 Gibson Energy Inc., 5.25%, December 22, 2080 964,000 979,002 4,337,000 Glacier Credit Card Trust 1.388%, September 22, 2025 4,340,727 4,314,922 2,461,000 Glacier Credit Card Trust 2.438%, September 22, 2025 2,460,965 2,479,849 4,881,000 Glacier Credit Card Trust 3.298%, September 20, 2022 4,826,290 4,997,793 3,586,000 Glacier Credit Card Trust 3.43%, June 06, 2024 3,604,942 3,739,735 5,987,000 Glacier Credit Card Trust 4.138%, September 20, 2023 6,059,558 6,308,232 USD 2,779,014 Global Aircraft Leasing Co., Ltd., 6.5%, September 15, 2024 3,581,685 3,467,816 3,265,000 GMF Canada Leasing Trust 0.422%, February 21, 2023 2,459,542 2,459,685 3,917,000 GMF Canada Leasing Trust 0.641%, March 20, 2024 3,917,000 3,915,245 1,477,000 GMF Canada Leasing Trust 0.912%, July 20, 2023 1,477,056 1,481,273 2,739,000 GMF Canada Leasing Trust 1.264%, May 20, 2026 2,739,000 2,751,241 USD 771,000 goeasy Ltd., 4.375%, May 01, 2026 963,907 980,822 USD 835,000 Goldman Sachs Group Inc., 5.3%, December 31, 2049 1,096,121 1,163,003 7,400,000 Goldman Sachs Group Inc., FRN, 0.805%, April 29, 2025 7,400,000 7,418,789 2,004,000 Greater Toronto Airports Authority 2.75%, October 17, 2039 2,005,334 1,942,121 3,450,000 Greater Toronto Airports Authority 4.53%, December 02, 2041 4,187,132 4,217,921 1,129,036 Greater Toronto Airports Authority 6.45%, July 30, 2029 1,310,123 1,343,442 1,004,000 Great-West Lifeco Inc., 2.981%, July 08, 2050 994,900 946,133 USD 769,000 H&E Equipment Services Inc., 3.875%, December 15, 2028 967,624 939,194 3,375,000 H&R Real Estate Investment Trust 2.633%, February 19, 2027 3,375,000 3,344,239 USD 1,689,035 Hartford Financial Services Group Inc., 2.28088%, February 12, 2047 1,782,157 2,024,638 USD 739,000 HCA Inc., 3.5%, September 01, 2030 981,705 976,522 USD 1,423,000 HCA Inc., 5.375%, September 01, 2026 1,889,807 2,030,753 USD 431,000 HCA Inc., 7.05%, December 01, 2027 579,646 655,315 USD 126,000 HCA Inc., 7.58%, September 15, 2025 181,779 188,990 USD 47,000 HCA Inc., 7.69%, June 15, 2025 72,381 71,006 2,043,000 Heathrow Funding Ltd., 2.694%, October 13, 2027 2,043,000 2,079,793 3,365,000 Heathrow Funding Ltd., 3.25%, May 21, 2025 3,515,529 3,541,865 3,556,000 Heathrow Funding Ltd., 3.782%, September 04, 2030 3,614,184 3,813,557 USD 710,000 Hilton Domestic Operating Co., Inc., 3.625%, February 15, 2032 904,286 870,296 USD 398,000 Hilton Domestic Operating Co., Inc., 4%, May 01, 2031 522,724 498,394 USD 97,000 Hilton Grand Vacations Borrower Escrow LLC 4.875%, July 01, 2031 117,791 120,241 2,147,000 Honda Canada Finance Inc., 3.176%, August 28, 2023 2,206,269 2,244,069 USD 366,000 Howard Hughes Corp., 4.125%, February 01, 2029 468,704 455,044 USD 561,000 Howard Hughes Corp., 4.375%, February 01, 2031 705,336 694,291 USD 213,000 Howard Hughes Corp., 5.375%, August 01, 2028 282,756 280,836 3,775,000 HSBC Bank Canada 2.253%, September 15, 2022 3,789,338 3,845,900 4,335,000 HSBC Bank Canada 2.542%, January 31, 2023 4,347,741 4,452,271 4,908,000 HSBC Bank Canada 3.245%, September 15, 2023 4,986,177 5,144,070 2,422,000 HSBC Holdings PLC 3.196%, December 05, 2023 2,424,111 2,538,033 USD 301,716 HUB International Ltd., Term Loan B, Private Placement, Variable Rate, April 25, 2025 386,131 370,302 USD 49,376 HUB International Ltd., Term Loan B, Private Placement, Variable Rate, April 25, 2025 63,815 61,288 USD 695,000 Hughes Satellite Systems Corp., 5.25%, August 01, 2026 906,566 966,630 USD 139,000 Hughes Satellite Systems Corp., 6.625%, August 01, 2026 196,636 193,751 USD 2,352,000 Husky III Holding Ltd., 13%, February 15, 2025 3,107,818 3,155,991 2,840,000 Hyundai Capital Canada Inc., 2.008%, May 12, 2026 2,840,000 2,847,953 5,475,000 IGM Financial Inc., 4.56%, January 25, 2047 6,102,012 6,477,613 USD 255,000 ILFC E-Capital Trust I, FRN, 3.23%, December 21, 2065 288,914 262,435 USD 1,812,000 ILFC E-Capital Trust II 4.15%, December 21, 2065 2,117,198 1,919,456 USD 1,662,000 Imola Merger Corp., 4.75%, May 15, 2029 2,085,058 2,122,026 5,780,000 Independent Order of Foresters 2.885%, October 15, 2035 5,798,215 5,819,259 USD 151,000 ING Groep N.V., 4.875%, December 31, 2049 195,919 195,954 USD 528,000 ING Groep N.V., 6.5%, December 31, 2049 673,960 731,219 USD 144,000 ING Groep N.V., 6.75%, December 31, 2049 204,466 197,247 1,534,000 Intact Financial Corp., 2.954%, December 16, 2050 1,532,553 1,425,701

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

Semi-Annual Financial Statements - June 30, 2021 – 28 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 4,192,000 Intarcia Therapeutics Inc., 144A, Zero Coupon, April 15, 2031 1,172,066 3,014 USD 3,868,000 Intarcia Therapeutics Inc., Zero Coupon, April 15, 2031 1,075,223 2,781 USD 1,201,000 Intelsat Jackson Holdings S.A., Zero Coupon, August 01, 2023 1,350,441 854,178 1,500,000 Inter Pipeline Ltd., 6.625%, November 19, 2079 1,571,250 1,652,323 2,412,000 Inter Pipeline Ltd., 6.875%, March 26, 2079 2,415,647 2,688,642 USD 151,000 Iron Mountain Inc., 4.5%, February 15, 2031 201,624 189,754 USD 242,000 Iron Mountain Inc., 4.875%, September 15, 2029 317,495 310,063 USD 83,000 Iron Mountain Inc., 5%, July 15, 2028 112,614 106,817 USD 338,000 Iron Mountain Inc., 5.25%, July 15, 2030 451,730 444,089 USD 929,038 Ironshore Pharmaceuticals & Development Inc., 13%, February 28, 2024 1,191,626 975,230 USD 267,991 Ironshore Pharmaceuticals & Development Inc., Zero Coupon, February 28, 2024 342,880 270,625 USD 316,000 iStar Inc., 4.25%, August 01, 2025 418,998 404,073 USD 871,000 iStar Inc., 5.5%, February 15, 2026 1,147,200 1,133,976 USD 216,000 ITT Holdings LLC 6.5%, August 01, 2029 265,876 273,875 6,517,000 JPMorgan Chase & Co., 1.896%, March 05, 2028 6,517,000 6,497,149 USD 347,000 JPMorgan Chase & Co., 4.6%, December 31, 2049 452,766 446,273 USD 2,675,000 JPMorgan Chase & Co., FRN, 3.65%, December 31, 2049 3,282,611 3,324,725 USD 728,000 JPMorgan Chase & Co., FRN, 6%, December 31, 2049 862,399 959,961 USD 188,000 Kennedy-Wilson Inc., 4.75%, March 01, 2029 240,828 240,372 USD 222,000 Kennedy-Wilson Inc., 5%, March 01, 2031 284,749 283,448 USD 164,493 Kestrel Acquisition LLC, Term Loan B, Private Placement, Variable Rate, May 02, 2025 210,775 172,913 515,000 Keyera Corp., 5.95%, March 10, 2081 515,731 532,758 1,220,000 Keyera Corp., 6.875%, June 13, 2079 1,224,368 1,354,761 USD 349,000 Land O’Lakes Capital Trust I 7.45%, March 15, 2028 494,641 499,619 USD 214,000 Lannett Co., Inc., 7.75%, April 15, 2026 268,848 264,591 USD 375,000 Laredo Petroleum Inc., 9.5%, January 15, 2025 433,653 490,399 USD 128,000 LBC Tank Terminals Holding Netherlands B.V., 6.875%, May 15, 2023 153,046 158,899 USD 39,000 LCM Investments Holdings II LLC 4.875%, May 01, 2029 49,195 49,614 USD 220,000 Leeward Renewable Energy Operations LLC 4.25%, July 01, 2029 270,799 277,485 USD 111,000 Level 3 Financing Inc., 3.625%, January 15, 2029 140,068 132,975 3,188,000 Liberty Utilities Canada L.P., 3.315%, February 14, 2050 3,192,591 3,021,555 USD 441,000 Lincoln National Corp., 2.22825%, April 20, 2067 484,317 465,690 USD 1,159,000 Lincoln National Corp., Callable, 2.51338%, May 17, 2066 1,264,733 1,271,479 USD 155,000 Lloyds Banking Group PLC 6.75%, December 31, 2049 206,730 221,120 USD 256,000 Lloyds Banking Group PLC 7.5%, December 31, 2049 332,827 372,079 2,570,000 Loblaw Co., Ltd., 6.05%, June 09, 2034 2,898,776 3,272,996 2,597,000 Loblaw Co., Ltd., 6.45%, February 09, 2028 3,073,319 3,230,206 3,417,000 Loblaw Co., Ltd., 6.5%, January 22, 2029 4,053,613 4,325,307 3,055,000 Lower Mattagami Energy L.P., 4.944%, September 21, 2043 3,696,316 3,953,604 USD 1,601,000 Macquarie Bank Ltd., 6.125%, December 31, 2049 1,926,769 2,172,318 3,341,000 Manulife Bank of Canada 1.337%, February 26, 2026 3,341,000 3,306,523 328,000 Manulife Bank of Canada 1.915%, September 01, 2021 331,411 328,810 2,720,000 Manulife Bank of Canada 2.082%, May 26, 2022 2,701,001 2,759,701 4,249,000 Manulife Financial Corp., 2.237%, May 12, 2030 4,280,266 4,354,106 3,643,000 Manulife Financial Corp., 2.818%, May 13, 2035 3,685,495 3,723,726 USD 5,011,000 Manulife Financial Corp., 4.061%, February 24, 2032 7,132,753 6,866,748 615,000 Maple Leaf Sports & Entertainment Ltd., 4.94%, June 30, 2023 642,780 634,208 6,229,000 Master Credit Card Trust II 3.056%, January 21, 2022 6,156,377 6,283,199 1,144,000 Mattamy Group Corp., 4.625%, March 01, 2028 1,144,350 1,168,691 USD 434,000 Mattamy Group Corp., 4.625%, March 01, 2030 575,482 550,630 3,525,000 MBARC Credit Canada Inc., 0.932%, February 17, 2026 3,525,000 3,519,120 USD 918,942 McAfee LLC, Term Loan B, Private Placement, Variable Rate, September 29, 2024 1,136,539 1,140,621 4,305,000 MCAP Commercial L.P., 3.384%, November 26, 2027 4,322,019 4,356,865 USD 753,000 MEG Energy Corp., 5.875%, February 01, 2029 961,462 974,417 USD 408,000 MEG Energy Corp., 6.5%, January 15, 2025 518,723 524,279

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

Semi-Annual Financial Statements - June 30, 2021 – 29 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 336,000 MEG Energy Corp., 7.125%, February 01, 2027 412,994 444,841 USD 8,932 Meredith Corp., Term Loan, Private Placement, Variable Rate, January 31, 2025 11,699 11,331 USD 263,000 Merlin Entertainments PLC 5.75%, June 15, 2026 353,322 343,325 USD 175,000 Methanex Corp., 5.125%, October 15, 2027 230,178 234,586 USD 808,000 MetLife Capital Trust IV, 7.875%, December 15, 2037 1,404,321 1,397,231 728,000 Metro Inc., 3.2%, December 01, 2021 745,472 734,345 3,589,000 Metro Inc., 3.413%, February 28, 2050 3,539,594 3,414,232 2,768,000 Metro Inc., 4.27%, December 04, 2047 2,829,776 3,036,403 2,532,000 Metropolitan Life Global Funding I 3.394%, April 09, 2030 2,607,115 2,737,013 USD 998,000 MGM Growth Properties Operating Partnership L.P./MGP Finance 4.5%, January 15, 2028 1,173,485 1,310,732 USD 1,041,000 MGM Resorts International 4.625%, September 01, 2026 1,323,632 1,364,845 USD 960,000 MGM Resorts International 4.75%, October 15, 2028 1,267,293 1,266,775 USD 682,000 MGM Resorts International 5.5%, April 15, 2027 897,230 930,330 2,549,000 Molson Coors International L.P., 2.84%, July 15, 2023 2,483,119 2,626,606 3,807,000 Molson Coors International L.P., 3.44%, July 15, 2026 3,787,549 4,028,125 12,610,000 Morgan Stanley 0.76875%, March 21, 2025 12,610,000 12,625,334 USD 210,000 Moss Creek Resources Holdings Inc., 10.5%, May 15, 2027 278,586 258,349 USD 742,000 MPH Acquisition Holdings LLC 5.75%, November 01, 2028 972,306 925,520 4,395,000 National Bank of Canada 1.957%, June 30, 2022 4,397,941 4,462,620 USD 137,000 National CineMedia LLC 5.875%, April 15, 2028 182,409 167,102 USD 210,000 National Westminster Bank PLC, FRN, 0.5%, August 29, 2049 168,104 259,454 USD 175,000 Nationstar Mortgage Holdings Inc., 5.125%, December 15, 2030 226,405 216,280 USD 230,000 Nationstar Mortgage Holdings Inc., 5.5%, August 15, 2028 307,799 288,330 USD 456,000 Nationstar Mortgage Holdings Inc., 6%, January 15, 2027 553,843 586,897 USD 107,000 Natwest Group PLC 2.46725%, December 31, 2049 131,249 131,948 USD 285,000 Natwest Group PLC, FRN, 4.6%, December 31, 2049 350,808 355,830 USD 369,000 Navient Corp., 4.875%, March 15, 2028 467,343 460,272 USD 790,000 Navient Corp., 5%, March 15, 2027 1,020,436 1,015,520 USD 98,000 NCL Corp., Ltd., 10.25%, February 01, 2026 133,000 141,522 USD 1,026,000 NCL Corp., Ltd., 3.625%, December 15, 2024 1,195,401 1,230,027 USD 762,000 NCL Corp., Ltd., 5.875%, March 15, 2026 969,452 991,537 USD 150,000 NCL Finance Ltd., 6.125%, March 15, 2028 189,840 195,407 USD 136,000 New Gold Inc., 6.375%, May 15, 2025 166,976 174,276 USD 804,000 New Gold Inc., 7.5%, July 15, 2027 1,076,911 1,082,601 USD 1,831,000 NGL Energy Operating LLC/NGL Energy Finance Corp., 7.5%, February 01, 2026 2,334,339 2,386,036 USD 1,119,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 6.125%, March 01, 2025 1,439,057 1,261,589 USD 383,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 7.5%, April 15, 2026 511,629 434,650 USD 292,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 7.5%, November 01, 2023 356,294 356,987 USD 310,000 NHL CAN Funding L.P., 4.12%, July 12, 2028 414,256 395,640 USD 2,155,000 NHL U.S. Funding L.P., 3.29%, August 13, 2030 2,886,496 2,526,531 USD 1,625,000 NHL U.S. Funding L.P., 4.12%, July 12, 2028 2,171,502 2,073,919 USD 194,000 Nielsen Finance LLC 4.5%, July 15, 2029 233,625 241,685 USD 193,000 Nielsen Finance LLC 4.75%, July 15, 2031 232,421 240,141 USD 355,000 Nielsen Finance LLC/Nielsen Finance Co., 5.625%, October 01, 2028 468,424 465,589 USD 185,000 Nielsen Finance LLC/Nielsen Finance Co., 5.875%, October 01, 2030 244,108 250,189 4,941,000 Nissan Canada Inc., 1.626%, March 18, 2024 4,941,000 4,927,295 USD 500,000 NMI Holdings Inc., 7.375%, June 01, 2025 680,258 712,257 5,593,905 Northern Courier Pipeline L.P., 3.365%, June 30, 2042 5,684,453 5,720,941 USD 199,000 Northern Oil and Gas Inc., 8.125%, March 01, 2028 248,604 266,124 USD 650,000 Northriver Midstream Finance L.P., 5.625%, February 15, 2026 852,590 838,310 4,263,354 NorthWestConnect Group Partnership 5.95%, April 30, 2041 4,987,475 5,396,960 USD 272,000 NOVA Chemicals Corp., 4.25%, May 15, 2029 337,226 341,747 USD 270,000 NOVA Chemicals Corp., 4.875%, June 01, 2024 357,758 353,519 USD 440,000 NOVA Chemicals Corp., 5%, May 01, 2025 599,450 584,314 USD 456,000 NOVA Chemicals Corp., 5.25%, June 01, 2027 567,454 609,943

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

Semi-Annual Financial Statements - June 30, 2021 – 30 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) 2,116,000 Nova Scotia Power Inc., 3.307%, April 25, 2050 2,146,370 2,126,148 1,521,000 Nova Scotia Power Inc., 3.571%, April 05, 2049 1,717,708 1,609,259 2,236,000 Nova Scotia Power Inc., 4.5%, July 20, 2043 2,571,055 2,656,095 1,325,000 NuVista Energy Ltd., 6.5%, March 02, 2023 1,317,525 1,321,135 USD 149,000 Occidental Petroleum Corp., 3%, February 15, 2027 141,558 183,577 USD 258,000 Occidental Petroleum Corp., 3.2%, August 15, 2026 266,019 323,136 USD 91,000 Occidental Petroleum Corp., 3.4%, April 15, 2026 107,209 115,658 USD 160,000 Occidental Petroleum Corp., 6.125%, January 01, 2031 205,105 233,045 USD 91,000 Occidental Petroleum Corp., 6.625%, September 01, 2030 120,648 136,471 USD 42,000 Occidental Petroleum Corp., 8%, July 15, 2025 57,445 62,412 USD 268,000 OneMain Finance Corp., 3.5%, January 15, 2027 326,638 335,120 USD 347,000 Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics S.A., 7.25%, February 01, 2028 462,171 470,683 USD 46,000 Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics S.A., 7.375%, June 01, 2025 63,363 61,459 USD 129,000 Outfront Media Capital LLC/Outfront Media Capital Corp., 4.25%, January 15, 2029 164,823 161,228 USD 55,000 Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, March 15, 2030 72,800 69,337 USD 388,000 Park Intermediate Holdings LLC/PK Domestic Property LLC 4.875%, May 15, 2029 469,342 498,136 USD 1,564,000 Park Intermediate Holdings LLC/PK Domestic Property LLC 5.875%, October 01, 2028 2,028,654 2,070,525 243,000 Parkland Corp., 3.875%, June 16, 2026 243,000 245,683 611,000 Parkland Corp., 4.375%, March 26, 2029 611,000 621,438 USD 464,000 Parkland Corp., 4.5%, October 01, 2029 584,361 586,170 552,000 Parkland Corp., 6%, June 23, 2028 552,000 593,584 2,444,000 Pembina Pipeline Corp., 3.71%, August 11, 2026 2,728,048 2,630,251 2,658,000 Pembina Pipeline Corp., 4.54%, April 03, 2049 2,793,655 2,779,786 2,128,000 Pembina Pipeline Corp., 4.74%, January 21, 2047 2,228,223 2,285,924 1,101,000 Pembina Pipeline Corp., 4.8%, January 25, 2081 1,104,094 1,081,441 USD 130,000 Penn National Gaming Inc., 4.125%, July 01, 2029 160,185 160,746 USD 282,000 PennyMac Financial Services Inc., 4.25%, February 15, 2029 359,131 337,274 USD 727,000 PennyMac Financial Services Inc., 5.375%, October 15, 2025 976,220 951,176 1,661,000 Penske Truck Leasing Canada Inc., 2.85%, December 07, 2022 1,665,669 1,702,159 USD 390,000 Pilgrim’s Pride Corp., 4.25%, April 15, 2031 488,202 501,574 3,064,000 Power Corporation of Canada 4.455%, July 27, 2048 3,210,118 3,621,733 2,486,000 Power Corporation of Canada 4.81%, January 31, 2047 2,689,407 3,057,323 2,281,000 Power Corporation of Canada 8.57%, April 22, 2039 3,554,684 3,763,525 USD 213,000 Precision Drilling Corp., 6.875%, January 15, 2029 254,770 272,287 USD 266,000 Precision Drilling Corp., 7.125%, January 15, 2026 342,083 340,297 USD 522,500 Quotient Ltd., 12%, April 15, 2024 698,729 660,646 USD 1,262,250 Quotient Ltd., 12%, October 15, 2023 1,654,914 1,595,982 USD 2,045,000 Quotient Ltd., 4.75%, January 01, 2026 2,467,810 2,534,988 USD 1,588,000 Rayonier AM Products Inc., 5.5%, June 01, 2024 1,867,863 1,897,132 USD 513,000 Rayonier AM Products Inc., 7.625%, January 15, 2026 663,257 665,172 598,000 Real Estate Asset Liquidity Trust 1.856%, September 12, 2021 45,511 45,580 1,739,000 Real Estate Asset Liquidity Trust 3.239%, May 12, 2025 1,746,075 1,807,544 4,235,000 Reliance L.P., 2.67%, August 01, 2028 4,231,739 4,279,143 4,402,000 Reliance L.P., 3.75%, March 15, 2026 4,465,148 4,723,192 5,309,000 Reliance L.P., 3.836%, March 15, 2025 5,385,244 5,696,013 USD 629,000 RHP Hotel Properties L.P./RHP Finance, Corp., 4.5%, February 15, 2029 803,231 782,369 2,456,000 RioCan Real Estate Investment Trust 2.83%, October 03, 2022 2,421,586 2,511,948 USD 176,000 Rite Aid Corp., 7.5%, July 01, 2025 238,997 221,179 USD 404,000 Rite Aid Corp., 7.7%, February 15, 2027 472,499 477,723 USD 851,000 Rite Aid Corp., 8%, November 15, 2026 1,152,216 1,072,049 USD 629,000 Riverbed Technology Inc., Term Loan, Private Placement, Variable Rate, December 31, 2026 797,292 615,971 USD 1,483,000 Rockpoint Gas Storage Canada Ltd., 7%, March 31, 2023 1,848,328 1,883,140 9,708,000 Royal Bank of Canada 1.936%, May 01, 2025 9,755,175 9,896,980 2,337,000 Royal Bank of Canada 2.328%, January 28, 2027 2,363,627 2,403,894 4,051,000 Royal Bank of Canada 2.352%, July 02, 2024 4,088,225 4,185,927

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

Semi-Annual Financial Statements - June 30, 2021 – 31 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) 7,875,000 Royal Bank of Canada 2.36%, December 05, 2022 7,871,171 8,070,918 4,478,000 Royal Bank of Canada 2.609%, November 01, 2024 4,526,451 4,667,591 5,336,000 Royal Bank of Canada 2.949%, May 01, 2023 5,395,397 5,549,391 5,043,000 Royal Bank of Canada, FRN, 2.088%, June 30, 2030 5,067,761 5,121,049 4,067,000 Royal Bank of Canada, FRN, 2.88%, December 23, 2029 4,105,294 4,246,597 3,480,000 Royal Bank of Canada, FRN, 3.65%, November 24, 2081 3,480,000 3,483,898 2,286,000 Royal Bank of Canada, FRN, 4%, February 24, 2081 2,287,149 2,378,167 7,257,000 Royal Bank of Canada, FRN, 4.5%, November 24, 2080 7,336,986 7,726,310 USD 105,000 Royal Caribbean Cruises Ltd., 3.7%, March 15, 2028 119,125 124,507 USD 257,000 Royal Caribbean Cruises Ltd., 4.25%, June 15, 2023 345,588 435,679 USD 781,000 Royal Caribbean Cruises Ltd., 5.25%, November 15, 2022 957,031 997,764 USD 592,000 Royal Caribbean Cruises Ltd., 5.5%, April 01, 2028 744,495 769,473 USD 1,159,000 Royal Caribbean Cruises Ltd., 9.125%, June 15, 2023 1,592,871 1,578,610 4,263,000 Sagen MI Canada Inc., 3.261%, March 05, 2031 4,263,000 4,293,784 6,330,000 Sagen MI Canada Inc., 4.95%, March 24, 2081 6,330,000 6,426,868 USD 349,000 Scientific Games International Inc., 7%, May 15, 2028 399,010 473,504 USD 970,000 Scientific Games International Inc., 7.25%, November 15, 2029 1,306,442 1,359,504 USD 826,000 Scientific Games International Inc., 8.25%, March 15, 2026 1,101,991 1,099,405 USD 142,000 Scientific Games International Inc., 8.625%, July 01, 2025 192,665 192,966 6,112,904 SEC L.P. and Arci Ltd., 5.188%, August 29, 2033 6,338,407 6,592,047 USD 289,000 Service Properties Trust 5.5%, December 15, 2027 380,868 383,100 1,618,000 Shaw Communications Inc., 2.9%, December 09, 2030 1,628,912 1,621,471 3,809,000 Shaw Communications Inc., 4.25%, December 09, 2049 3,881,269 3,914,830 USD 234,000 Six Flags Entertainment Corp., 4.875%, July 31, 2024 296,980 291,517 USD 761,000 Six Flags Theme Parks Inc., 7%, July 01, 2025 1,086,230 1,017,885 USD 1,529,000 SkyMiles IP Ltd., Term Loan, Private Placement, Variable Rate, September 16, 2027 1,955,507 2,004,459 USD 19,000 SM Energy Co., 6.5%, July 15, 2028 23,016 24,230 2,358,000 Smart Real Estate Investment Trust 3.985%, May 30, 2023 2,501,744 2,480,609 3,645,000 SmartCentres Real Estate Investment Trust 1.74%, December 16, 2025 3,645,000 3,597,498 1,588,000 SmartCentres Real Estate Investment Trust 2.307%, December 18, 2028 1,588,000 1,542,957 3,471,000 SmartCentres Real Estate Investment Trust 3.526%, December 20, 2029 3,537,038 3,632,786 2,569,000 SmartCentres Real Estate Investment Trust 3.648%, December 11, 2030 2,692,257 2,687,389 USD 192,417 Software Luxembourg Acquisition S.a.r.l., Term Loan, Private Placement, Variable Rate, April 27, 2025 258,231 239,117 USD 346,200 Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8%, September 20, 2025 467,745 486,228 8,973,077 Strait Crossing Development Inc., 6.17%, September 15, 2031 9,496,113 9,936,464 USD 795,000 Studio City Finance Ltd., 5%, January 15, 2029 987,411 996,344 USD 83,000 Studio City Finance Ltd., 6%, July 15, 2025 112,133 108,314 USD 1,670,000 Studio City Finance Ltd., 6.5%, January 15, 2028 2,282,216 2,222,716 USD 659,000 Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5%, June 01, 2031 801,080 837,321 6,354,000 Sun Life Capital Trust 7.093%, June 30, 2052 8,393,117 8,662,323 4,498,000 Sun Life Financial Inc., 3.05%, September 19, 2028 4,507,142 4,684,917 546,000 Sun Life Financial Inc., 4.57%, August 23, 2021 561,343 549,044 4,397,000 Sun Life Financial Inc., FRN, 3.6%, June 30, 2081 4,397,000 4,418,642 USD 77,000 SunCoke Energy Inc., 4.875%, June 30, 2029 93,297 95,449 3,637,000 Suncor Energy Inc., 3.95%, March 04, 2051 3,584,118 3,648,299 6,960,000 Suncor Energy Inc., 5%, April 09, 2030 7,470,986 8,185,750 2,241,000 Suncor Energy Inc., 5.39%, March 26, 2037 2,681,719 2,688,856 385,000 Superior Plus L.P., 4.25%, May 18, 2028 385,000 393,743 USD 745,000 Superior Plus L.P./Superior General Partner Inc., 4.5%, March 15, 2029 947,781 952,419 USD 95,000 SVB Financial Group 4%, December 31, 2049 115,558 120,153 USD 176,000 Syneos Health Inc., 3.625%, January 15, 2029 230,174 216,261 6,322,000 Sysco Canada Inc., 3.65%, April 25, 2025 6,880,603 6,763,288 USD 619,000 Targa Resources Partners L.P./Targa Resources Partners 4%, January 15, 2032 777,782 790,334 USD 347,000 Targa Resources Partners L.P./Targa Resources Partners 5.5%, March 01, 2030 459,810 473,595 12,427,000 TD Capital Trust IV 6.631%, June 30, 2108 13,272,479 12,428,578

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

Semi-Annual Financial Statements - June 30, 2021 – 32 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 327,000 Teine Energy Ltd., 6.875%, April 15, 2029 411,528 417,440 3,490,000 TELUS Corp., 2.85%, November 13, 2031 3,481,345 3,506,207 USD 385,000 Tenet Healthcare Corp., 4.25%, June 01, 2029 464,348 483,809 3,397,000 Teranet Holdings L.P., 3.544%, June 11, 2025 3,432,394 3,610,519 6,204,000 Teranet Holdings L.P., 3.91896%, December 01, 2031 6,980,320 8,206,966 5,424,000 Teranet Holdings L.P., 5.754%, December 17, 2040 5,724,167 6,468,748 USD 58,000 TerraForm Power Operating LLC 5%, January 31, 2028 72,238 76,339 3,948,000 The Bank of Nova Scotia 1.83%, April 27, 2022 3,923,547 3,996,547 3,989,000 The Bank of Nova Scotia 2.16%, February 03, 2025 4,008,770 4,099,049 6,772,000 The Bank of Nova Scotia 2.36%, November 08, 2022 6,791,378 6,932,882 3,967,000 The Bank of Nova Scotia 3.89%, January 18, 2029 4,037,464 4,224,227 3,345,000 The Bank of Nova Scotia, FRN, 3.7%, July 27, 2081 3,345,000 3,350,773 USD 4,500,000 The National Hockey League 2.82%, January 06, 2026 5,713,415 5,505,361 USD 683,000 The National Hockey League 3.61%, August 10, 2027 859,064 853,507 USD 673,000 The National Hockey League 3.71%, August 10, 2029 846,153 825,960 USD 589,000 The Royal Bank of Scotland Group PLC 6%, December 31, 2049 802,461 815,609 USD 161,000 The Royal Bank of Scotland Group PLC 8%, December 31, 2049 225,086 236,663 4,093,000 Thomson Reuters Corp., 2.239%, May 14, 2025 4,124,586 4,201,443 3,452,745 THP Partnership 4.394%, October 31, 2046 3,739,675 3,959,508 USD 423,771 Tops Markets LLC 13%, November 19, 2024 558,938 514,802 364,000 Toronto Hydro Corp., 3.54%, November 18, 2021 374,774 368,226 2,401,000 Toronto-Dominion Bank 1.943%, March 13, 2025 2,417,902 2,450,321 4,581,000 Toronto-Dominion Bank 3.005%, May 30, 2023 4,649,474 4,773,908 2,333,000 Toronto-Dominion Bank 3.06%, January 26, 2032 2,379,144 2,460,657 6,418,000 Toronto-Dominion Bank 3.105%, April 22, 2030 6,508,848 6,763,966 8,127,000 Toronto-Dominion Bank 4.859%, March 04, 2031 8,731,504 9,217,936 5,922,000 TransCanada PipeLines Ltd., 4.18%, July 03, 2048 5,991,412 6,079,532 9,241,000 TransCanada Trust 4.65%, May 18, 2077 9,013,146 9,592,751 USD 462,000 TransCanada Trust 5.5%, September 15, 2079 633,798 626,387 USD 3,236,000 TransCanada Trust 5.875%, August 15, 2076 4,440,200 4,482,689 USD 829,000 TransDigm Inc., 5.5%, November 15, 2027 1,099,419 1,072,590 USD 102,000 TransDigm Inc., 7.5%, March 15, 2027 137,244 134,671 USD 563,000 TransMontaigne Partners L.P./TLP Finance Corp., 6.125%, February 15, 2026 717,598 716,604 2,705,165 Trillium Windpower L.P., 5.803%, February 15, 2033 2,964,086 3,223,289 USD 600,000 UBS Group AG 4.375%, December 31, 2049 771,724 761,761 USD 847,000 UBS Group AG 6.875%, December 31, 2049 1,125,382 1,197,980 USD 309,000 UBS Group AG, FRN, 3.875%, December 31, 2049 372,887 384,711 USD 243,000 UBS Group Funding Switzerland AG 7%, December 31, 2049 327,526 331,932 USD 154,000 United Airlines Inc., 4.375%, April 15, 2026 192,784 197,819 USD 193,000 United Airlines Inc., 4.625%, April 15, 2029 241,606 247,916 USD 391,000 United Airlines Inc., Term Loan B, Private Placement, Variable Rate, April 21, 2028 487,025 491,720 USD 504,000 United Shore Financial Services LLC 5.5%, November 15, 2025 671,078 648,791 66,000 University of Toronto 4.251%, December 07, 2051 85,650 80,829 259,000 University of Toronto 4.937%, November 16, 2045 358,186 337,617 USD 380,000 UPC Broadband Finco B.V., 4.875%, July 15, 2031 479,562 472,721 USD 824,000 USB Realty Corp., FRN, 1.33075%, December 29, 2049 869,581 799,271 USD 15,196 USI Inc., Term Loan B, Private Placement, Variable Rate, May 16, 2024 20,301 18,684 3,901,600 Vancouver Airport Fuel Facilities Corp., 2.168%, June 23, 2025 3,909,321 3,841,395 USD 888,000 Velvet Energy Ltd., 9%, September 22, 2023 1,148,752 1,100,767 4,333,000 Verizon Communications Inc., 2.375%, March 22, 2028 4,326,327 4,388,515 3,656,000 Verizon Communications Inc., 2.5%, May 16, 2030 3,684,791 3,652,732 3,051,000 Verizon Communications Inc., 3.625%, May 16, 2050 3,071,383 2,979,748 619,000 Vesta Energy Corp., 8.125%, July 24, 2023 615,460 495,200 USD 125,000 Virgin Media Secured Finance PLC 4.5%, August 15, 2030 166,537 156,306 USD 63,000 Vmed O2 UK Financing I PLC 4.25%, January 31, 2031 83,129 76,821

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

Semi-Annual Financial Statements - June 30, 2021 – 33 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) 3,737,000 VW Credit Canada Inc., 1.2%, September 25, 2023 3,753,318 3,743,347 652,000 VW Credit Canada Inc., 1.5%, September 23, 2025 651,162 649,200 2,213,000 Waste Management of Canada Corp., 2.6%, September 23, 2026 2,239,166 2,310,005 601,000 Wells Fargo & Co., 2.094%, April 25, 2022 613,020 608,542 9,449,000 Wells Fargo & Co., 2.568%, May 01, 2026 9,523,694 9,782,123 3,152,000 Wells Fargo & Co., 3.184%, February 08, 2024 3,178,574 3,307,670 USD 5,643,000 Wells Fargo & Co., 5.875%, December 31, 2049 7,538,644 7,851,346 6,766,231 West Edmonton Mall Property Inc., 4.056%, February 13, 2024 6,878,326 6,939,372 USD 661,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, May 15, 2027 862,695 882,429 USD 444,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5%, March 01, 2025 583,743 594,024 USD 142,000 Wynn Macau Ltd., 5.625%, August 26, 2028 185,699 184,056 USD 338,000 Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, April 15, 2025 473,653 452,475 USD 783,000 XHR L.P., 4.875%, June 01, 2029 957,714 1,003,367 USD 83,000 Ziggo B.V., 4.875%, January 15, 2030 109,103 105,595 USD 30,000 Ziggo Bond Co. B.V., 5.125%, February 28, 2030 39,870 38,136 USD 771,891 Zyla Life Sciences 13%, January 31, 2024 901,903 947,270 1,339,386,617 1,361,016,163 49.50 PROVINCIAL BONDS 23,535,000 First Nations Finance Authority 1.71%, June 16, 2030 23,814,066 23,028,637 7,009,000 First Nations Finance Authority 3.05%, June 01, 2028 7,434,006 7,632,601 27,420,000 Province of Alberta 3.1%, June 01, 2050 28,907,020 29,459,301 37,354,000 Province of Manitoba 2.05%, September 05, 2052 34,366,235 32,560,414 1,795,000 Province of Manitoba 3.2%, March 05, 2050 2,115,101 1,989,517 29,662,000 Province of New Brunswick 2.6%, August 14, 2026 31,411,465 31,493,412 22,763,000 Province of New Brunswick 3.05%, August 14, 2050 25,599,344 24,352,950 11,898,000 Province of Ontario 1.75%, September 08, 2025 12,474,533 12,191,912 83,446,000 Province of Ontario 2.4%, June 02, 2026 89,515,951 87,800,530 127,226,000 Province of Ontario 2.6%, June 02, 2025 129,943,302 134,545,403 20,471,000 Province of Ontario 2.85%, June 02, 2023 21,487,221 21,370,608 14,728,000 Province of Quebec 2.75%, September 01, 2025 15,775,603 15,717,539 20,441,000 Province of Quebec 3%, September 01, 2023 21,631,034 21,504,347 9,298,000 Province of Saskatchewan 2.8%, December 02, 2052 9,282,286 9,624,521 12,847,000 Province of Saskatchewan 3.75%, March 05, 2054 15,242,580 15,981,526 2,183,000 South Coast British Columbia Transportation Authority 2.65%, October 29, 2050 2,155,649 2,107,060 149,000 South Coast British Columbia Transportation Authority 4.65%, June 20, 2041 196,180 194,119 471,351,576 471,554,397 17.15 CANADIAN GOVERNMENT BONDS 22,290,000 Canada Housing Trust No.1, 1.25%, June 15, 2026 22,250,770 22,317,860 224,593,000 Government of Canada 0.25%, March 01, 2026 217,483,078 217,196,405 725,000 Government of Canada 0.25%, May 01, 2023 722,245 722,395 5,367,000 Government of Canada 1%, June 01, 2027 5,339,392 5,340,812 1,812,000 Government of Canada 1%, September 01, 2022 1,829,613 1,826,625 4,794,000 Government of Canada 1.25%, June 01, 2030 4,716,900 4,759,396 2,590,000 Government of Canada 1.25%, March 01, 2025 2,646,954 2,634,534 2,548,000 Government of Canada 1.5%, June 01, 2026 2,627,728 2,611,431 4,300,000 Government of Canada 1.5%, September 01, 2024 4,429,559 4,408,458 3,325,000 Government of Canada 2%, December 01, 2051 3,334,734 3,447,376 4,748,000 Government of Canada 2%, June 01, 2028 5,018,834 5,014,219 87,015,000 Government of Canada 2%, September 01, 2023 90,560,107 89,808,135 6,208,000 Government of Canada 2.25%, June 01, 2025 6,588,779 6,556,767 1,373,000 Government of Canada 2.25%, June 01, 2029 1,465,493 1,478,262 3,029,000 Government of Canada 2.25%, March 01, 2024 3,176,847 3,161,366 4,901,000 Government of Canada 2.5%, June 01, 2024 5,191,394 5,163,795 1,750,000 OPB Finance Trust 2.98%, January 25, 2027 1,930,425 1,872,459 379,312,852 378,320,295 13.76

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

Semi-Annual Financial Statements - June 30, 2021 – 34 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

FUND(S) 13,376,831 CI Alternative Investment Grade Credit Fund (Series I) 135,032,286 139,844,065 8,861,906 CI DoubleLine Income US$ Fund (Series IH) 88,734,870 89,791,487 223,767,156 229,635,552 8.35 MUNICIPAL BONDS 34,651,000 City of Montreal 1.75%, September 01, 2030 33,937,902 33,814,730 6,095,000 City of Montreal 2.3%, September 01, 2029 6,057,305 6,277,341 9,294,000 City of Montreal 2.4%, December 01, 2041 9,321,138 8,916,528 1,584,000 City of Montreal 3%, September 01, 2027 1,776,456 1,713,509 15,505,000 City of Montreal 3.15%, September 01, 2028 16,682,915 16,958,436 288,000 City of Montreal 4.1%, December 01, 2034 340,323 344,756 7,722,000 City of Ottawa 2.5%, May 11, 2051 7,612,377 7,260,609 143,000 City of Ottawa 3.05%, April 23, 2046 152,228 150,529 4,930,000 City of Ottawa 4.2%, July 30, 2053 6,669,007 6,370,811 693,000 City of St. John’s 4.5%, December 20, 2033 822,559 832,688 302,000 City of St. John’s 4.622%, August 11, 2031 359,005 362,113 3,479,000 City of Toronto 1.6%, December 02, 2030 3,457,284 3,362,663 16,064,000 City of Toronto 2.15%, August 25, 2040 15,977,112 14,925,183 4,625,000 City of Toronto 2.6%, September 24, 2039 4,952,404 4,637,539 20,305,000 City of Toronto 2.8%, November 22, 2049 21,556,800 20,290,989 7,764,000 City of Toronto 2.9%, April 29, 2051 7,728,519 7,884,300 209,000 City of Toronto 2.95%, April 28, 2035 217,704 221,956 9,578,000 City of Toronto 3.5%, June 02, 2036 11,540,936 10,802,414 18,675,000 City of Winnipeg 4.3%, November 15, 2051 24,849,213 23,963,992 3,593,000 Edmonton Regional Airports Authority 3.715%, May 20, 2051 3,593,000 3,714,294 14,182,000 Municipal Finance Authority of British Columbia 1.35%, June 30, 2026 14,166,116 14,200,908 144,000 Regional Municipality of Halton 4.05%, October 11, 2041 175,025 173,916 9,462,000 Regional Municipality of Peel Ontario 2.5%, June 16, 2051 9,632,055 8,884,131 28,000 Regional Municipality of Waterloo 3.75%, May 13, 2033 31,722 31,930 137,000 Regional Municipality of York 4%, May 31, 2032 159,430 160,488 483,000 Regional Municipality of York 4.05%, May 01, 2034 568,836 572,056 149,000 Regional Municipality of York 4.15%, November 18, 2041 184,674 183,268 202,522,045 197,012,077 7.17 EXCHANGE-TRADED FUND(S) 1,243,249 CI Alternative Investment Grade Credit Fund (ETF C$ Series) 24,742,234 25,256,603 64,600 CI Preferred Share ETF (Common Units) 1,270,144 1,540,387 26,012,378 26,796,990 0.97 PREFERRED SHARES 2,300 AltaGas Ltd., Preferred 4.75%, Series G 46,230 52,095 2,025 AltaGas Ltd., Preferred 5%, Series K 51,111 51,334 3,900 Bank of Montreal, Preferred 4%, Series 27 89,544 92,664 600 Bank of Montreal, Preferred 4.4%, Series 42 15,066 15,312 2,900 Bank of Montreal, Preferred 4.5%, Series 40 73,892 73,805 10,000 BCE Inc., Preferred 2.7%, Series AJ 147,755 183,450 6,750 BCE Inc., Preferred 4.4%, Series AF 16 100,134 133,380 9,750 BCE Inc., Preferred 5.319%, Series Z 155,318 181,155 2,200 BCE Inc., Preferred 5.54%, Series AC 39,116 43,098 3,900 BCE Inc., Preferred 5.55%, Series 19 56,467 71,487 9,800 BCE Inc., Preferred, Series 17 148,720 181,300 6,200 BCE Inc., Preferred, Series AB 95,151 112,778 4,725 Brookfield Asset Management Inc., Preferred, Series 2 54,196 63,953 5,575 Brookfield Infrastructure Partners L.P., Preferred 5%, Series 7 138,594 141,215 1,700 Brookfield Office Properties Inc., Preferred 4.75%, Series AA 29,869 35,224 14,075 Brookfield Office Properties Inc., Preferred 5.1%, Series EE 319,643 344,838 1,400 Brookfield Office Properties Inc., Preferred 5.1%, Series R 25,214 28,273

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

Semi-Annual Financial Statements - June 30, 2021 – 35 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

PREFERRED SHARES (cont’d) 4,100 Brookfield Office Properties Inc., Preferred 5.15%, Series P 66,912 76,916 7,575 Brookfield Renewable Partners L.P., Preferred 5%, Series 11 190,132 192,784 2,150 Brookfield Renewable Partners L.P., Preferred 5%, Series 13 53,428 55,040 2,000 Brookfield Renewable Power Preferred Equity Inc., Preferred 5%, Series 5 39,773 50,430 4,900 Brookfield Renewable Power Preferred Equity Inc., Preferred 5%, Series 6 97,546 122,255 3,000 Canadian Utilities Ltd., Preferred 4.9%, Series BB 69,105 76,470 2,705 Capital Power Corp., Preferred 4.5%, Series 5 52,612 64,677 3,900 Capital Power Corp., Preferred 6%, Series 7 99,528 99,645 107,300 Citigroup Capital XIII, Preferred 7.875% 3,660,495 3,710,962 2,804 Citigroup Inc., Preferred 6.875%, Series K 82,164 99,583 7,900 Element Financial Corp., Preferred 6.6%, Series A 203,564 206,190 9,070 Enbridge Inc., Preferred 4%, Series 1 232,935 256,345 3,000 Enbridge Inc., Preferred 4%, Series D 48,450 54,540 2,599 Enbridge Inc., Preferred 4%, Series F 44,086 49,181 2,525 Enbridge Inc., Preferred 4%, Series N 45,374 51,056 7,725 Enbridge Inc., Preferred 4.4%, Series 9 131,943 149,170 24,612 GMAC Capital Trust, Preferred 8.125%, Series 2 794,720 772,185 3,400 Great-West Lifeco Inc., Preferred 4.85%, Series H 77,520 85,306 9,200 Great-West Lifeco Inc., Preferred 5.8%, Series M 233,680 239,016 6,700 Intact Financial Corp., Preferred 5.4%, Series 9 167,500 182,441 2,800 Loblaw Co., Ltd., Preferred 5.3%, Series B 72,100 73,780 19,199 Morgan Stanley, Preferred 4.875%, Series L 633,806 657,094 6,150 National Bank of Canada, Preferred 3.9%, Series 32 134,808 145,632 1,450 National Bank of Canada, Preferred 4.45%, Series 38 36,395 37,482 2,475 Pembina Pipeline Corp., Preferred 5.25%, Series 23 61,875 64,325 6,100 Power Corporation of Canada, Preferred 5%, Series D 137,433 155,611 7,900 Power Financial Corp., Preferred, Series H 201,450 204,610 3,800 Royal Bank of Canada, Preferred 3.9%, Series BB 87,096 89,984 5,200 Shaw Communications Inc., Preferred 2.539%, Series B 119,669 129,948 3,500 Sun Life Financial Inc., Preferred 4.45%, Series 4 71,527 88,305 33,700 Synchrony Financial, Preferred 5.625%, Series A 1,105,838 1,142,953 11,000 TC Energy Corp., Preferred 3.266%, Series 1 188,210 206,690 7,400 Toronto-Dominion Bank, Preferred 4.75%, Series 18 180,560 186,776 2,800 Toronto-Dominion Bank, Preferred, Series 3 63,840 66,164 1,600 TransAlta Corp., Preferred 5%, Series E 31,968 35,168 11,104,062 11,684,075 0.42 COMMON EQUITIES 20,807 Assertio Holdings Inc. 264,712 40,236 36,594 Berry Petroleum Co., LLC 642,586 304,833 23,216 BrightHouse TopCo Ltd., A1 Ordinary Shares 234,806 - 82,690 Calfrac Well Services Ltd. 1,299,484 334,894 15,919 Pyxus International Inc. 58,432 72,026 1,807 Skillsoft Inc., Class A 304,202 341,594 402 Skillsoft Inc., Class B 65,445 75,994 1,010,481 Sporting Life Group Ltd., Class B 1,041,733 1,434,883 2,074 Tops Markets LLC 960,640 903,838 57,286 Xplornet Mobile 81,919 81,919 43,165 Xplornet Wireless 75,539 211,509 5,029,498 3,801,726 0.14 FOREIGN GOVERNMENT BONDS USD 504,700 United States Treasury Note/Bond 0.75%, May 31, 2026 611,914 622,402 0.02

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

Semi-Annual Financial Statements - June 30, 2021 – 36 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

WARRANTS 13,959 Assertio Holdings Inc., Warrants 177,583 26,966 1,699 California Resources Corp., Warrants (27 October 2024) - 16,175 22,000 Canadian International Oil Corp., Warrants (31 December 2049) - - 13,864 Highland Therapeutics Inc., Warrants (28 February 2024) - - 592 Skillsoft Inc., Class A, Warrants (27 August 2025) - - 1,184 Skillsoft Inc., Class B, Warrants (27 August 2025) - - 177,583 43,141 0.00 Commissions and other portfolio transaction costs (5,115) Total Investment Portfolio before Derivative Instruments 2,659,270,566 2,680,486,818 97.48 Foreign Currency Forward Contract(s) (see Schedule A) (3,300,247) (0.12) Total Investment Portfolio 2,659,270,566 2,677,186,571 97.36 Other Net Assets (Liabilities) 72,454,275 2.64 Net Assets Attributable to Holders of Redeemable Units 2,749,640,846 100.00

Principal amounts stated in: GBP British Pound EUR European Currency USD U.S. Dollar

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

Semi-Annual Financial Statements - June 30, 2021 – 37 – Canadian Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

Schedule A Foreign Currency Forward 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 August 18, 2021 CAD 5,428,233 USD 4,445,236 1.22 (82,090) Bank of Montreal A-1 September 15, 2021 CAD 1,784,102 USD 1,476,851 1.21 (46,598) Bank of Montreal A-1 July 20, 2021 CAD 1,866,241 USD 1,486,731 1.26 23,286 Bank of Montreal A-1 August 18, 2021 CAD 6,818,270 USD 5,583,551 1.22 (103,111) Bank of Montreal A-1 September 15, 2021 CAD 10,125,517 USD 8,381,738 1.21 (264,461) Canadian Imperial Bank of Commerce A-1 August 18, 2021 CAD 7,978,459 USD 6,464,310 1.23 (34,735) Canadian Imperial Bank of Commerce A-1 September 15, 2021 CAD 1,781,735 USD 1,476,851 1.21 (48,964) Canadian Imperial Bank of Commerce A-1 September 13, 2021 CAD 114,154 GBP 67,000 1.70 (749) Canadian Imperial Bank of Commerce A-1 July 20, 2021 CAD 2,239,124 USD 1,784,077 1.26 27,577 Canadian Imperial Bank of Commerce A-1 August 18, 2021 CAD 10,021,546 USD 8,119,661 1.23 (43,630) Canadian Imperial Bank of Commerce A-1 September 15, 2021 CAD 10,112,081 USD 8,381,738 1.21 (277,892) Citigroup Inc. A-2 August 18, 2021 CAD 6,925,774 USD 5,657,573 1.22 (87,368) Citigroup Inc. A-2 September 13, 2021 CAD 316,730 EUR 215,000 1.47 214 Citigroup Inc. A-2 July 20, 2021 CAD 1,877,838 USD 1,486,731 1.26 34,881 Citigroup Inc. A-2 August 18, 2021 CAD 8,699,295 USD 7,106,338 1.22 (109,741) Goldman Sachs Group Inc. A-2 August 18, 2021 CAD 4,957,856 USD 4,041,123 1.23 (51,534) Goldman Sachs Group Inc. A-2 September 15, 2021 CAD 1,393,623 USD 1,153,513 1.21 (36,269) Goldman Sachs Group Inc. A-2 September 13, 2021 CAD 3,440 GBP 2,000 1.72 10 Goldman Sachs Group Inc. A-2 July 20, 2021 CAD 1,865,922 USD 1,486,731 1.26 22,966 Goldman Sachs Group Inc. A-2 August 18, 2021 CAD 6,227,441 USD 5,075,956 1.23 (64,731) Goldman Sachs Group Inc. A-2 September 15, 2021 CAD 7,909,387 USD 6,546,666 1.21 (205,841) HSBC Holdings PLC A-1 August 18, 2021 CAD 4,895,962 USD 4,041,123 1.21 (113,412) HSBC Holdings PLC A-1 September 15, 2021 CAD 3,573,152 USD 2,953,701 1.21 (88,250) HSBC Holdings PLC A-1 July 20, 2021 USD 9,261,000 CAD 11,207,171 0.83 272,734 HSBC Holdings PLC A-1 August 18, 2021 CAD 6,149,698 USD 5,075,956 1.21 (142,454) HSBC Holdings PLC A-1 September 15, 2021 CAD 20,279,112 USD 16,763,476 1.21 (500,854) JPMorgan Chase & Co. A-2 August 18, 2021 CAD 6,970,904 USD 5,657,573 1.23 (42,249) JPMorgan Chase & Co. A-2 September 15, 2021 CAD 1,603,951 USD 1,329,166 1.21 (43,678) JPMorgan Chase & Co. A-2 July 20, 2021 CAD 1,396,570 USD 1,113,004 1.25 16,887 JPMorgan Chase & Co. A-2 August 18, 2021 CAD 8,755,982 USD 7,106,338 1.23 (53,069) JPMorgan Chase & Co. A-2 September 15, 2021 CAD 9,103,083 USD 7,543,564 1.21 (247,893) Morgan Stanley A-2 September 15, 2021 CAD 2,140,869 USD 1,772,221 1.21 (55,970) Morgan Stanley A-2 July 20, 2021 CAD 1,876,767 USD 1,486,731 1.26 33,810 Morgan Stanley A-2 September 15, 2021 CAD 12,150,318 USD 10,058,086 1.21 (317,655) Morgan Stanley A-2 September 13, 2021 GBP 4,000 CAD 6,887 0.58 (27) Royal Bank of Canada A-1+ August 18, 2021 CAD 6,940,371 USD 5,657,573 1.23 (72,776) Royal Bank of Canada A-1+ September 15, 2021 CAD 1,603,957 USD 1,329,166 1.21 (43,672) Royal Bank of Canada A-1+ July 20, 2021 USD 8,518,000 CAD 10,287,649 0.83 271,234 Royal Bank of Canada A-1+ July 20, 2021 CAD 2,622,187 USD 2,081,423 1.26 42,048 Royal Bank of Canada A-1+ August 18, 2021 CAD 8,717,629 USD 7,106,338 1.23 (91,412) Royal Bank of Canada A-1+ September 15, 2021 CAD 9,103,121 USD 7,543,564 1.21 (247,856) Toronto-Dominion Bank A-1+ August 18, 2021 CAD 2,902,096 USD 2,395,961 1.21 (67,936) Toronto-Dominion Bank A-1+ September 15, 2021 CAD 2,140,860 USD 1,772,221 1.21 (55,979) Toronto-Dominion Bank A-1+ August 18, 2021 CAD 3,645,252 USD 3,009,508 1.21 (85,333) Toronto-Dominion Bank A-1+ September 15, 2021 CAD 12,150,268 USD 10,058,086 1.21 (317,705) Total Foreign Currency Forward Contract(s) Value (3,300,247)

‡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.

Semi-Annual Financial Statements - June 30, 2021 – 38 – Canadian Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 746 (746) - - Derivative assets - Swaps and swaptions - - - - Total 746 (746) - - Derivative liabilities - Foreign currency forward contracts (4,046) 746 - (3,300) Derivative liabilities - Swaps and swaptions - - - - Total (4,046) 746 - (3,300) 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 4,682 (212) - 4,470 Derivative assets - Swaps and swaptions - - - - Total 4,682 (212) - 4,470 Derivative liabilities - Foreign currency forward contracts (212) 212 - - Derivative liabilities - Swaps and swaptions - - - - Total (212) 212 - -

Interest in Unconsolidated Structured Entities (Note 2)

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

Semi-Annual Financial Statements - June 30, 2021 – 39 – Canadian Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 4 8 Soft dollar commissions† 1 3

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 570,992 854,721 54,976,117 57,025,334 7,814,744 6,512,274 99,932,602 96,049,168 Redeemable units issued for cash 38,296 45,840 7,217,272 8,836,973 1,912,691 2,026,148 16,174,646 15,496,285 Redeemable units issued for reinvested distributions 2,776 5,403 266,599 457,305 71,989 79,880 1,496,919 1,318,511 Redeemable units redeemed (127,545) (235,229) (24,021,831) (13,228,785) (3,782,473) (1,680,223) (28,604,241) (22,501,133) Number of redeemable units at the end of period 484,519 670,735 38,438,157 53,090,827 6,016,951 6,938,079 88,999,926 90,362,831

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 34,150 57,531 19,828,161 22,434,086 Redeemable units issued for cash 4,523 3,191 3,316,990 4,121,032 Redeemable units issued for reinvested distributions 271 505 343,344 280,277 Redeemable units redeemed (15,235) (15,927) (2,526,692) (7,733,200) Number of redeemable units at the end of period 23,709 45,300 20,961,803 19,102,195

Semi-Annual Financial Statements - June 30, 2021 – 40 – Canadian Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 2.000 0.17 Series E 1.650 0.17 Series F 0.650 0.17 Series I Paid directly by investor Paid directly by investor Series OF 1.000 0.17 Series W Paid directly by investor 0.11

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 426,061 103,785 Collateral (non-cash) 434,582 105,861

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 113 146 Charges (17) (22) Securities lending revenue 96 124 Charges as a % of gross securities lending revenue 15.0 15.1

Related Party Investments (Note 9) as at June 30 (in $000’s)

Investments 2021 CI Alternative Investment Grade Credit Fund (Series I) 139,844 CI DoubleLine Income US$ Fund (Series IH) 89,792 CI Alternative Investment Grade Credit Fund (ETF C$ Series) 25,257 CI Preferred Share ETF (Common Units) 1,540

Investments 2020 CI Lawrence Park Alternative Investment Grade Credit Fund (Series I) 125,060 CI DoubleLine Income US$ Fund (Series IH) 81,909 CI Lawrence Park Alternative Investment Grade Credit ETF (Common Units) 23,888 CI First Asset Preferred Share ETF (Common Units) 1,158

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

Semi-Annual Financial Statements - June 30, 2021 – 41 – Canadian Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund was exposed to other price risk as some of its assets were invested in equities. Concentration Risk For Concentration Risk as at June 30, 2021, refer to the Schedule of Investment Portfolio. As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable The table below summarizes the Fund’s exposure to concentration risk. to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately $27,196,000 (December 31, 2020 - $27,329,000). In practice, actual results may as at December 31, 2020 differ from this analysis and the difference may be material. Categories Net Assets (%) Corporate Bonds 53.2 Provincial Bonds 24.8 Currency Risk Municipal Bonds 7.1 The tables below summarize the Fund’s exposure to currency risk. Fund(s) 6.8 Other Net Assets (Liabilities) 3.5 as at June 30, 2021~ Canadian Government Bonds 2.7 Financial Instruments Net Net Exchange-Traded Fund(s) 0.8 Exposure Derivatives Exposure Assets Preferred Shares 0.7 Currency (in $000’s) (in $000’s) (in $000’s) (%) Foreign Government Bonds 0.2 U.S. Dollar 275,664 (208,539) 67,125 2.4 Common Equities 0.1 Euro 410 (316) 94 0.0 Foreign Currency Forward Contract(s) 0.1 British Pound 133 (111) 22 0.0 Warrants 0.0 Total 276,207 (208,966) 67,241 2.4 Total 100.0

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 tables below. Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 263,509 (220,080) 43,429 1.3 as at June 30, 2021 Euro 1,354 (1,051) 303 0.0 Credit Rating^* Net Assets (%) British Pound 151 (125) 26 0.0 AAA/Aaa/A++ 17.1 Total 265,014 (221,256) 43,758 1.3 AA/Aa/A+ 10.6 A 29.1 ~Includes monetary and non-monetary instruments, if any. BBB/Baa/B++ 22.6 BB/Ba/B+ 4.3 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - B 2.6 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, CCC/Caa/C++ 0.6 net assets attributable to holders of redeemable units of the Fund would have decreased or increased, Not Rated 1.2 respectively, by approximately $6,724,000 (December 31, 2020 - $4,376,000). In practice, the actual Total 88.1 results may differ from this analysis and the difference may be material. as at December 31, 2020 Interest Rate Risk Credit Rating^* Net Assets (%) The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual AAA/Aaa/A++ 4.5 maturity date. AA/Aa/A+ 10.7 A 39.5 as at June 30, 2021 BBB/Baa/B++ 27.7 Greater BB/Ba/B+ 3.2 Less than 1 - 3 3 - 5 than B 1.8 1 Year Years Years 5 Years Total CCC/Caa/C++ 0.5 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Not Rated 0.8 Interest Rate Exposure 42,247 387,923 820,080 1,158,275 2,408,525 Total 88.7

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

Semi-Annual Financial Statements - June 30, 2021 – 42 – Canadian Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

Interest Rate Risk (cont’d) as at December 31, 2020 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 168,684 307,776 656,205 1,850,926 2,983,591

As at June 30, 2021, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2020 - 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 $36,594,000 (December 31, 2020 - $55,207,000). In practice, the 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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 12,436 - 3,050 15,486 Bonds - 2,389,694 18,831 2,408,525 Fund(s) 229,636 - - 229,636 Exchange-Traded Fund(s) 26,797 - - 26,797 Warrant(s) 16 27 - 43 Foreign currency forward contract(s), net - (3,300) - (3,300) Total 268,885 2,386,421 21,881 2,677,187

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

There were no transfers between Level 1 and 2 and level 1 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 43 – Canadian Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

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

for the period ended June 30, 2021 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2020 Purchases Sales In (Out) (Loss) (Loss)* Jun. 30, 2021 (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 2,683 - (69) - (82) 44 474 3,050 Bonds 16,899 8,589 (244) - - (11) (6,402) 18,831 Total 19,582 8,589 (313) - (82) 33 (5,928) 21,881

*Change in unrealized gain (loss) related to investments held at June 30, 2021 was $75,559.

During the period ended June 30, 2021, investments with a fair value of $82,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.

for the year ended December 31, 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 4,531 610 (2,742) 63 (178) 1,713 (1,314) 2,683 Bonds 13,334 8,982 (61) - (2,734) (1) (2,621) 16,899 Total 17,865 9,592 (2,803) 63 (2,912) 1,712 (3,935) 19,582

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

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

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 June 30, 2021 and December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 44 – Global Fixed Income Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 1,670 1,449 13.63 14.68 122,498 98,708 Current assets Series E 252,246 268,417 13.99 15.06 18,025,718 17,819,437 Investments 996,655 1,042,820 Series F 33,882 33,687 10.02 10.75 3,382,971 3,132,434 Investments pledged as collateral - - Series I 567,561 620,433 18.49 19.86 30,693,342 31,238,494 Cash 46,262 57,758 Series OF 232 233 15.78 16.94 14,713 13,727 Unrealized gain on futures and foreign currency Series W 188,563 182,405 15.79 16.96 11,941,220 10,756,862 forward contracts - 2,222 Swaps, swaptions and options - - Daily variation margin on derivative instruments 605 3 Fees rebate receivable 7 - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable 3,627 4,019 Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - - Receivable for unit subscriptions 1,437 2,665 1,048,593 1,109,487 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 2,717 - 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 1,722 2,863 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 4,439 2,863 Net assets attributable to holders of redeemable units 1,044,154 1,106,624

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

Semi-Annual Financial Statements - June 30, 2021 – 45 – CIG - 9604 Global Fixed Income Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A (114) 161 (0.96) 1.21 118,089 133,399 Net gain (loss) on investments and derivatives Series E (19,459) 20,445 (1.08) 1.21 18,039,581 16,978,095 Dividends 342 113 Series F (2,261) 2,664 (0.69) 0.94 3,230,684 2,830,125 Interest for distribution purposes 7,539 10,183 Series I (38,580) 60,826 (1.24) 1.87 30,931,927 32,472,840 Income distributions from investments 1,121 231 Series OF (19) 22 (1.08) 1.38 16,662 15,535 Capital gain distributions from investments - - Series W (11,715) 12,775 (1.01) 1.45 11,549,036 8,811,794 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 (27,854) 57,954 Change in unrealized appreciation (depreciation) in value of investments and derivatives (48,426) 30,058 Total net gain (loss) on investments and derivatives (67,278) 98,539 Other income Foreign exchange gain (loss) on cash (1,734) 1,338 Commitment fee income - - Securities lending revenue (Note 6) 73 112 Fees rebate 16 13 Total other income (1,645) 1,463 Total income (68,923) 100,002 Expenses Management fees (Note 5) 2,374 2,329 Administration fees (Note 5) 371 342 Commissions and other portfolio transaction costs 27 31 Independent review committee fees 1 1 Securities borrowing fees (Note 2) 4 4 Margin fees - - Service fees - - Interest expense 10 17 Withholding taxes 108 63 Harmonized sales tax 330 322 Other expenses - - Total expenses 3,225 3,109 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units (72,148) 96,893

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

Semi-Annual Financial Statements - June 30, 2021 – 46 – Global Fixed Income Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1,449 2,131 268,417 253,113 33,687 29,262 620,433 674,815 Increase (decrease) in net assets attributable to holders of redeemable units (114) 161 (19,459) 20,445 (2,261) 2,664 (38,580) 60,826 Distributions to holders of redeemable units From net investment income - (6) - (826) (98) (165) (4,730) (5,138) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - (6) - (826) (98) (165) (4,730) (5,138)

Redeemable unit transactions Proceeds from redeemable units issued 615 390 63,497 75,755 11,611 11,508 125,489 101,502 Reinvestment of distributions to holders of redeemable units - 6 - 826 97 164 4,730 5,138 Redemption of redeemable units (280) (914) (60,209) (98,954) (9,154) (14,839) (139,781) (252,772) Net increase (decrease) from redeemable unit transactions 335 (518) 3,288 (22,373) 2,554 (3,167) (9,562) (146,132) Net increase (decrease) in net assets attributable to holders of redeemable units 221 (363) (16,171) (2,754) 195 (668) (52,872) (90,444) Net assets attributable to holders of redeemable units at the end of period 1,670 1,768 252,246 250,359 33,882 28,594 567,561 584,371

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 233 258 182,405 129,127 1,106,624 1,088,706 Increase (decrease) in net assets attributable to holders of redeemable units (19) 22 (11,715) 12,775 (72,148) 96,893 Distributions to holders of redeemable units From net investment income (1) (1) (1,436) (1,246) (6,265) (7,382) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (1) (1) (1,436) (1,246) (6,265) (7,382)

Redeemable unit transactions Proceeds from redeemable units issued 150 21 46,382 79,135 247,744 268,311 Reinvestment of distributions to holders of redeemable units 1 1 1,436 1,246 6,264 7,381 Redemption of redeemable units (132) (40) (28,509) (57,118) (238,065) (424,637) Net increase (decrease) from redeemable unit transactions 19 (18) 19,309 23,263 15,943 (148,945) Net increase (decrease) in net assets attributable to holders of redeemable units (1) 3 6,158 34,792 (62,470) (59,434) Net assets attributable to holders of redeemable units at the end of period 232 261 188,563 163,919 1,044,154 1,029,272

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

Semi-Annual Financial Statements - June 30, 2021 – 47 – Global Fixed Income Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units (72,148) 96,893 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 27,854 (57,954) Unrealized foreign exchange (gain) loss on cash (365) 31 Commissions and other portfolio transaction costs 27 31 Change in unrealized (appreciation) depreciation in value of investments and derivatives 48,426 (30,058) Proceeds from sale and maturity of investments and derivatives 1,789,371 1,369,791 Purchase of investments and derivatives (1,813,453) (1,175,090) Non-cash distributions from investments (1,121) (231) Change in daily variation margin (602) - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 392 1,348 (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (7) (6) Net cash from (used in) operating activities (21,626) 204,755

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1) (1) Proceeds from issuance of redeemable units 236,017 254,737 Amounts paid on redemption of redeemable units (226,251) (412,082) Net cash from (used in) financing activities 9,765 (157,346)

Unrealized foreign exchange gain (loss) on cash 365 (31) Net increase (decrease) in cash (11,861) 47,409 Cash (bank overdraft), beginning of period 57,758 13,257 Cash (bank overdraft), end of period 46,262 60,635

Supplementary Information: Dividends received, net of withholding tax* 293 102 Interest received, net of withholding tax* 7,872 11,479 Dividends paid* - - Interest paid* 10 17 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.

Semi-Annual Financial Statements - June 30, 2021 – 48 – Global Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

U.S. DOLLAR USD 2,360,000 Abu Dhabi Government International Bond 1.7%, March 02, 2031 2,819,138 2,827,343 USD 630,000 AES Andres B.V., 5.7%, May 04, 2028 773,481 810,235 USD 1,083,000 Air Lease Corp., 2.3%, February 01, 2025 1,403,558 1,387,937 USD 1,851,000 Air Lease Corp., 3.625%, April 01, 2027 2,446,063 2,467,875 USD 948,000 Air Lease Corp., 4.25%, February 01, 2024 1,278,813 1,275,246 USD 645,000 Anheuser-Busch Co., LLC/Anheuser-Busch InBev Worldwide Inc., 4.9%, February 01, 2046 966,632 1,010,810 USD 1,682,000 Anheuser-Busch InBev Worldwide Inc., 4.35%, June 01, 2040 2,390,450 2,488,264 USD 1,490,000 Anheuser-Busch InBev Worldwide Inc., 4.6%, June 01, 2060 2,117,135 2,280,929 USD 3,510,000 Apple Inc., 1.2%, February 08, 2028 4,503,705 4,296,873 USD 940,000 AT&T Inc., 1.7%, March 25, 2026 1,174,493 1,177,941 USD 1,350,000 AT&T Inc., 2.3%, June 01, 2027 1,879,246 1,734,068 USD 565,000 AT&T Inc., 3.1%, February 01, 2043 754,420 688,356 USD 1,500,000 AT&T Inc., 3.65%, June 01, 2051 2,083,053 1,955,626 USD 1,604,000 Avolon Holdings Funding Ltd., 2.75%, February 21, 2028 2,011,528 1,970,196 USD 2,125,000 Avolon Holdings Funding Ltd., 5.25%, May 15, 2024 2,910,491 2,899,422 USD 1,730,000 Bank of America Corp., 5.125%, December 31, 2049 2,338,224 2,285,247 USD 1,900,000 Bank of America Corp., 6.25%, December 31, 2049 2,330,762 2,606,962 USD 1,202,000 Bank of America Corp., FRN, 6.5%, December 31, 2049 1,607,839 1,691,153 USD 1,278,000 Bank of Montreal, FRN, 3.803%, December 15, 2032 1,692,931 1,750,098 USD 2,000,000 Bank of Montreal, FRN, 4.338%, October 05, 2028 2,799,800 2,663,559 USD 1,930,000 Barclays PLC 1.7%, May 12, 2022 2,709,898 2,419,870 USD 1,113,000 Barclays PLC 4.972%, May 16, 2029 1,536,350 1,618,222 USD 1,230,000 BNP Paribas S.A., 3.8%, January 10, 2024 1,642,461 1,636,411 USD 675,000 Brookfield Finance Inc., 4.25%, June 02, 2026 910,355 945,002 USD 1,260,000 Brookfield Finance Inc., 4.35%, April 15, 2030 1,761,415 1,806,607 USD 558,000 Canadian Natural Resources Ltd., 3.85%, June 01, 2027 754,105 762,541 USD 585,000 Cargill Inc., 1.375%, July 23, 2023 825,633 738,877 USD 1,055,000 Cargill Inc., 2.125%, April 23, 2030 1,488,784 1,328,086 USD 2,337,000 CCL Industries Inc., 3.05%, June 01, 2030 3,220,069 3,048,560 USD 715,000 Cenovus Energy Inc., 5.375%, July 15, 2025 986,009 1,014,919 USD 1,035,000 Cenovus Energy Inc., 5.4%, June 15, 2047 1,459,629 1,592,093 USD 945,000 Charter Communications Operating LLC 2.8%, April 01, 2031 1,307,737 1,196,594 USD 1,742,000 Charter Communications Operating LLC 3.5%, June 01, 2041 2,198,264 2,165,566 USD 670,000 Charter Communications Operating LLC 4.8%, March 01, 2050 916,225 956,368 USD 2,070,000 Citigroup Inc., 3.106%, April 08, 2026 2,943,728 2,748,442 USD 1,215,000 Citigroup Inc., 3.668%, July 24, 2028 1,620,486 1,663,489 USD 780,000 Citigroup Inc., 4.45%, September 29, 2027 1,079,414 1,105,395 USD 1,280,000 Citigroup Inc., FRN, 0.981%, May 01, 2025 1,586,947 1,591,610 USD 2,927,000 Citigroup Inc., FRN, Series P, 5.95%, December 31, 2049 3,888,648 3,980,083 USD 1,550,000 Comcast Corp., 3.7%, April 15, 2024 2,171,732 2,084,664 USD 700,000 Consolidated Edison Company of New York Inc., 3.35%, April 01, 2030 981,153 955,829 USD 1,520,000 Costco Wholesale Corp., 1.375%, June 20, 2027 2,140,943 1,898,836 USD 970,000 Credit Suisse Group AG 0.495%, February 02, 2024 1,231,324 1,198,139 USD 785,000 Credit Suisse Group AG 1.305%, February 02, 2027 996,484 954,065 USD 2,500,000 Credit Suisse Group AG 2.95%, April 09, 2025 3,521,355 3,321,474 USD 2,100,000 Credit Suisse Group AG 6.375%, December 31, 2049 2,795,937 2,899,836 USD 1,039,000 Crown Castle International Corp., 3.3%, July 01, 2030 1,556,716 1,382,826 USD 1,150,000 Darden Restaurants Inc., 3.85%, May 01, 2027 1,574,832 1,585,711 USD 830,000 Diageo Capital PLC 1.375%, September 29, 2025 1,160,625 1,047,168 USD 2,060,000 Dominican Republic International Bond 4.875%, September 23, 2032 2,657,292 2,643,034 USD 3,990,000 Dominican Republic International Bond 5.5%, January 27, 2025 5,513,281 5,442,595 USD 865,000 Dominican Republic International Bond 5.875%, January 30, 2060 1,072,578 1,074,948 USD 1,800,000 Ecuador Government International Bond 0.5%, July 31, 2040 1,394,288 1,391,764 USD 2,990,000 Egypt Government International Bond 3.875%, February 16, 2026 3,670,167 3,651,891 USD 2,800,000 Egypt Government International Bond 5.875%, February 16, 2031 3,525,480 3,381,513

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

Semi-Annual Financial Statements - June 30, 2021 – 49 – Global Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

U.S. DOLLAR (cont’d) USD 650,000 Egypt Government International Bond 7.5%, February 16, 2061 828,163 757,760 USD 2,420,000 Emera Inc., 6.75%, June 15, 2076 3,537,908 3,518,796 USD 778,000 Emera U.S. Finance L.P., 3.55%, June 15, 2026 1,054,325 1,054,436 USD 540,000 Enbridge Inc., 6%, January 15, 2077 719,952 743,018 USD 785,000 Energy Transfer Operating L.P., 2.9%, May 15, 2025 1,055,256 1,024,466 USD 705,000 Energy Transfer Operating L.P., 3.75%, May 15, 2030 961,478 951,118 USD 945,000 Estée Lauder Co., Inc., 2.6%, April 15, 2030 1,319,911 1,239,909 USD 516,000 Exelon Corp., 4.7%, April 15, 2050 955,497 810,372 USD 1,477,000 Exxon Mobil Corp., 1.571%, April 15, 2023 2,047,351 1,871,879 USD 1,235,000 Exxon Mobil Corp., 2.61%, October 15, 2030 1,711,902 1,616,659 USD 2,915,000 Federative Republic of Brazil International Bond 2.875%, June 06, 2025 3,832,353 3,719,569 USD 1,200,000 Federative Republic of Brazil International Bond 3.875%, June 12, 2030 1,463,062 1,504,154 USD 700,000 Federative Republic of Brazil International Bond 4.75%, January 14, 2050 819,133 842,194 USD 955,000 Fiat Chrysler Automobiles N.V., 5.25%, April 15, 2023 1,330,359 1,277,970 USD 818,000 Florida Power & Light Co., 3.15%, October 01, 2049 1,075,759 1,104,923 USD 1,610,000 General Motors Co., 5.4%, October 02, 2023 2,189,197 2,198,548 USD 1,319,000 General Motors Financial Co., Inc., 4.375%, September 25, 2021 1,720,937 1,650,264 USD 1,120,000 Glencore Funding LLC 1.625%, April 27, 2026 1,398,530 1,394,652 USD 930,000 Glencore Funding LLC 3.875%, April 27, 2051 1,168,939 1,217,798 USD 1,136,000 Glencore Funding LLC 4.125%, May 30, 2023 1,503,331 1,498,634 USD 4,221,000 Government of Colombia International Bond 2.625%, March 15, 2023 5,379,919 5,351,923 USD 530,000 Government of Colombia International Bond 4%, February 26, 2024 705,836 696,787 USD 1,500,000 Government of Indonesia International Bond 2.85%, February 14, 2030 2,040,353 1,932,482 USD 6,409,000 Government of Indonesia International Bond 2.95%, January 11, 2023 8,481,000 8,247,555 USD 1,280,000 Government of Indonesia International Bond 4.2%, October 15, 2050 1,938,373 1,810,853 USD 1,620,000 Government of Mexico International Bond 2.659%, May 24, 2031 2,121,391 1,968,777 USD 1,325,000 Government of Mexico International Bond 3.75%, April 19, 2071 1,521,508 1,505,984 USD 650,000 Government of Mexico International Bond 4.5%, January 31, 2050 937,395 858,824 USD 1,110,000 Government of Philippines 1.648%, June 10, 2031 1,321,134 1,330,913 USD 2,220,000 Government of Saudi Arabia International Bond 2.25%, February 02, 2033 2,610,065 2,678,786 USD 1,675,000 Government of Saudi Arabia International Bond 3.45%, February 02, 2061 1,972,836 2,077,819 USD 1,346,000 Government of the Russian Federation 4.25%, June 23, 2027 1,887,944 1,865,606 USD 1,480,000 Government of the Russian Federation 4.75%, May 27, 2026 2,026,429 2,087,126 USD 690,000 Government of the Russian Federation 5.25%, June 23, 2047 1,059,920 1,077,141 USD 3,025,000 Government of Ukraine International Bond 7.75%, September 01, 2025 4,076,688 4,116,529 USD 950,000 Guatemala Government Bond 5.375%, April 24, 2032 1,385,679 1,370,458 USD 815,000 Guatemala Government Bond 6.125%, June 01, 2050 1,241,714 1,240,114 USD 732,000 HCA Inc., 5.25%, June 15, 2049 1,000,535 1,167,271 USD 1,200,000 Home Depot Inc., 2.5%, April 15, 2027 1,677,610 1,586,905 USD 2,050,000 Home Depot Inc., 3.35%, April 15, 2050 2,847,053 2,822,538 USD 1,480,000 HSBC Holdings PLC 4.292%, September 12, 2026 2,014,263 2,043,877 USD 520,000 International Flavors & Fragrances Inc., 1.832%, October 15, 2027 684,132 643,738 USD 375,000 International Flavors & Fragrances Inc., 3.468%, December 01, 2050 493,325 484,475 USD 650,000 Inversiones Latin America Power Ltd., 5.125%, June 15, 2033 786,121 799,497 USD 1,815,000 Ivory Coast Government International Bond 6.125%, June 15, 2033 2,389,757 2,380,305 USD 690,000 JPMorgan Chase & Co., 2.776%, April 25, 2023 919,072 871,846 USD 640,000 JPMorgan Chase & Co., 3.9%, July 15, 2025 900,848 878,172 USD 1,410,000 JPMorgan Chase & Co., 4.6%, December 31, 2049 1,839,770 1,813,384 USD 1,900,000 JPMorgan Chase & Co., FRN, 1.578%, April 22, 2027 2,408,523 2,369,597 USD 1,030,000 Lloyds Banking Group PLC 3.87%, July 09, 2025 1,460,641 1,384,501 USD 2,170,000 Manulife Financial Corp., 4.061%, February 24, 2032 3,095,103 2,973,627 USD 1,590,000 Marathon Oil Corp., 5.2%, June 01, 2045 1,589,422 2,373,290 USD 1,038,000 Marathon Petroleum Corp., 4.7%, May 01, 2025 1,460,546 1,452,662 USD 660,000 McDonald’s Corp., 3.35%, April 01, 2023 902,309 858,601 USD 1,284,000 Metropolitan Life Global Funding I 0.9%, June 08, 2023 1,739,790 1,608,095

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

Semi-Annual Financial Statements - June 30, 2021 – 50 – Global Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

U.S. DOLLAR (cont’d) USD 4,140,000 Morgan Stanley 3.622%, April 01, 2031 5,816,077 5,739,755 USD 900,000 Morgan Stanley, FRN, 3.79375%, December 31, 2049 1,141,873 1,119,854 USD 1,365,000 NextEra Energy Capital Holdings Inc., 2.25%, June 01, 2030 1,917,449 1,708,496 USD 1,880,000 NextEra Energy Capital Holdings Inc., 2.75%, May 01, 2025 2,669,734 2,477,787 USD 2,410,000 Nigeria Government International Bond 7.875%, February 16, 2032 3,267,587 3,226,632 USD 2,400,000 NVIDIA Corp., 2.85%, April 01, 2030 3,362,021 3,226,867 USD 3,700,000 Oman Government International Bond 4.75%, June 15, 2026 4,779,935 4,768,730 USD 1,540,000 Oman Government International Bond 6.25%, January 25, 2031 2,067,004 2,055,341 USD 1,025,000 Paraguay Government International Bond 2.739%, January 29, 2033 1,237,889 1,242,005 USD 470,000 Penske Truck Leasing Co., L.P./PTL Finance Corp., 3.95%, March 10, 2025 633,989 637,899 USD 420,000 PepsiCo Inc., 3.875%, March 19, 2060 692,901 644,322 USD 2,830,000 Petroleos Mexicanos 6.875%, October 16, 2025 3,841,962 3,887,825 USD 1,579,000 Petronas Capital Ltd., 3.404%, April 28, 2061 1,974,071 2,011,781 USD 2,600,000 Qatar Government International Bond 3.75%, April 16, 2030 3,909,255 3,653,636 USD 1,560,000 Qatar Government International Bond 4.4%, April 16, 2050 2,328,191 2,358,187 USD 1,160,000 Republic of Chile 3.1%, January 22, 2061 1,383,661 1,382,464 USD 1,290,000 Republic of Panama International Bond 2.252%, September 29, 2032 1,511,064 1,538,338 USD 1,800,000 Republic of Panama International Bond 3.87%, July 23, 2060 2,185,896 2,286,130 USD 710,000 Republic of Peru 2.392%, January 23, 2026 996,218 910,552 USD 2,620,000 Republic of South Africa International Bond 4.875%, April 14, 2026 3,521,197 3,534,244 USD 1,130,000 Republic of South Africa International Bond 5.75%, September 30, 2049 1,384,475 1,436,239 USD 935,000 Republic of Turkey International Bond 4.25%, March 13, 2025 1,115,745 1,139,467 USD 370,000 Republic of Turkey International Bond 5.75%, May 11, 2047 380,789 393,034 USD 1,030,000 Sempra Energy 4.875%, December 31, 2049 1,379,624 1,388,510 USD 910,000 Starbucks Corp., 2.55%, November 15, 2030 1,278,706 1,171,146 USD 892,000 Starbucks Corp., 3.8%, August 15, 2025 1,263,016 1,224,796 USD 2,072,000 Sunoco Logistics Partners Operations L.P., 5.3%, April 01, 2044 2,728,677 2,987,606 USD 1,020,000 Sysco Corp., 5.65%, April 01, 2025 1,585,352 1,466,006 USD 1,376,000 Sysco Corp., 5.95%, April 01, 2030 2,337,078 2,191,876 USD 1,492,000 Sysco Corp., 6.6%, April 01, 2050 2,866,133 2,883,546 USD 1,265,000 T-Mobile USA Inc., 2.05%, February 15, 2028 1,718,409 1,594,779 USD 1,780,000 T-Mobile USA Inc., 3.3%, February 15, 2051 2,363,379 2,205,610 USD 2,220,000 T-Mobile USA Inc., 3.5%, April 15, 2025 3,296,527 2,990,124 USD 2,147,000 T-Mobile USA Inc., 3.875%, April 15, 2030 3,056,823 2,980,719 USD 753,000 TransCanada Trust 5.5%, September 15, 2079 1,004,315 1,020,929 USD 750,000 TransCanada Trust 5.875%, August 15, 2076 1,032,505 1,038,942 USD 545,000 Transcontinental Gas Pipe Line Co., LLC 3.25%, May 15, 2030 769,482 732,864 USD 380,000 Transcontinental Gas Pipe Line Co., LLC 3.95%, May 15, 2050 534,568 529,209 USD 510,000 Transcontinental Gas Pipe Line Co., LLC 4.6%, March 15, 2048 696,910 773,274 USD 1,385,000 U.S. Bancorp., 3.375%, February 05, 2024 1,888,157 1,839,355 USD 1,405,000 UBS Group Funding Switzerland AG 4.253%, March 23, 2028 1,934,819 1,973,811 USD 2,457,160 United Airlines 2020-1 Class A Pass Through Trust 5.875%, October 15, 2027 3,477,926 3,386,948 USD 887,037 United Airlines 2020-1 Class B Pass Through Trust 4.875%, January 15, 2026 1,164,120 1,167,911 USD 135,900,000 United States Treasury Note/Bond 0.125%, June 30, 2023 167,983,355 168,047,450 USD 28,628,000 United States Treasury Note/Bond 0.875%, June 30, 2026 35,439,189 35,473,488 USD 899,000 United States Treasury Note/Bond 1.625%, May 15, 2031 1,124,724 1,132,947 USD 1,398,000 USB Realty Corp., FRN, 1.33075%, December 29, 2049 1,622,940 1,356,045 USD 1,050,000 Verizon Communications Inc., 2.1%, March 22, 2028 1,314,538 1,330,414 USD 1,855,000 Verizon Communications Inc., 3%, November 20, 2060 2,397,546 2,169,299 USD 445,000 Verizon Communications Inc., 3.376%, February 15, 2025 608,463 600,006 USD 1,050,000 Verizon Communications Inc., 3.4%, March 22, 2041 1,314,367 1,379,837 USD 456,000 Verizon Communications Inc., 4.016%, December 03, 2029 639,231 648,476 USD 265,000 Vodafone Group PLC 4.25%, September 17, 2050 347,259 384,687 USD 1,360,000 Volkswagen Group of America Finance LLC 2.9%, May 13, 2022 1,905,067 1,721,886 USD 980,000 Volkswagen Group of America Finance LLC 3.35%, May 13, 2025 1,372,069 1,311,973

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

Semi-Annual Financial Statements - June 30, 2021 – 51 – Global Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

U.S. DOLLAR (cont’d) USD 1,760,000 Wells Fargo & Co., 1.654%, June 02, 2024 2,427,821 2,228,721 USD 1,420,000 Wells Fargo & Co., 2.188%, April 30, 2026 1,998,002 1,829,597 USD 560,000 Wells Fargo & Co., 4.3%, July 22, 2027 782,169 792,396 USD 585,000 Wells Fargo & Co., 4.9%, November 17, 2045 848,160 932,632 519,312,862 514,495,745 49.27 EURO EUR 2,787,000 Anheuser-Busch InBev S.A./N.V., 2%, March 17, 2028 4,505,905 4,580,980 EUR 1,419,000 BMW Finance N.V., 1%, November 14, 2024 2,199,905 2,168,426 EUR 889,000 Bundesrepublik Deutschland Bundesanleihe, Zero Coupon, February 15, 2030 1,334,785 1,345,412 EUR 775,000 Bundesrepublik Deutschland Bundesanleihe, Zero Coupon, August 15, 2026 1,178,215 1,173,395 EUR 1,600,000 Cooperatieve Rabobank UA 3.25%, December 31, 2049 2,419,853 2,437,061 EUR 1,545,000 Exxon Mobil Corp., 0.835%, June 26, 2031 2,404,417 2,269,956 EUR 11,137,000 French Republic Government Bond, Zero Coupon, November 25, 2031 16,106,012 16,154,019 EUR 22,463,000 Government of France Bond OAT Zero Coupon, March 25, 2025 33,692,532 33,675,185 EUR 27,702,000 Government of France Bond OAT Zero Coupon, November 25, 2030 42,413,028 40,599,469 EUR 3,193,000 Government of Spain Bond Zero Coupon, January 31, 2026 4,752,462 4,745,907 EUR 36,385,000 Italy Buoni Poliennali Del Tesoro 0.5%, February 01, 2026 56,682,858 54,565,734 EUR 1,160,000 Sanofi S.A., 0.5%, March 21, 2023 1,883,928 1,728,227 EUR 2,115,000 Stellantis N.V., 3.375%, July 07, 2023 3,508,311 3,300,011 EUR 515,000 Unilever N.V., 0.875%, July 31, 2025 841,655 789,129 EUR 2,061,000 Vodafone Group PLC 2.5%, May 24, 2039 3,693,424 3,544,993 EUR 1,290,000 Volkswagen International Finance N.V., 2.5%, December 31, 2049 2,026,903 1,927,262 EUR 2,575,000 Volkswagen Leasing GmbH 1.375%, January 20, 2025 4,106,170 3,961,114 183,750,363 178,966,280 17.14 CANADIAN DOLLAR 1,875,000 Bank of America Corp., FRN, 1.035%, September 15, 2027 1,875,000 1,886,242 1,555,000 Canadian Western Bank 5%, July 31, 2081 1,562,775 1,576,722 2,180,000 Cenovus Energy Inc., 3.5%, February 07, 2028 2,179,847 2,286,400 950,000 Equitable Bank 1.774%, September 21, 2023 958,497 958,657 1,585,000 Fortified Trust 2.34%, January 23, 2023 1,642,123 1,624,918 30,112,000 Government of Canada 0.25%, May 01, 2023 30,039,280 30,003,785 23,010,000 Province of Alberta 2.2%, June 01, 2026 24,031,150 23,989,233 25,672,000 Province of Quebec 3%, September 01, 2023 27,162,003 27,007,465 1,950,000 Teranet Holdings L.P., 3.91896%, December 01, 2031 2,319,669 2,579,559 91,770,344 91,912,981 8.80 FUND(S) 6,663,242 CI DoubleLine Core Plus Fixed Income US$ Fund (Series I) 92,633,875 83,574,377 8.00 JAPANESE YEN JPY 352,150,000 Government of Japan, Five Year Bond 0.1%, December 20, 2022 4,063,461 3,941,422 JPY 3,576,800,000 Government of Japan, Ten Year Bond 0.1%, December 20, 2030 40,879,375 40,134,538 JPY 1,190,000,000 Government of Japan, Ten Year Bond 0.1%, March 20, 2031 13,255,810 13,334,445 JPY 501,350,000 Government of Japan, Two Year Bond 0.1%, January 01, 2023 6,151,498 5,612,407 64,350,144 63,022,812 6.04 AUSTRALIAN DOLLAR AUD 38,452,000 Government of Australia, Treasury Bond 0.5%, September 21, 2026 36,546,876 35,142,916 3.37 SWEDISH KRONA SEK 150,000,000 Government of Sweden 0.75%, November 12, 2029 21,896,327 22,653,826 2.17 EXCHANGE-TRADED FUND(S) 27,160 iShares iBoxx $ Investment Grade Corporate Bond ETF 4,124,437 4,523,580 0.43

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

Semi-Annual Financial Statements - June 30, 2021 – 52 – Global Fixed Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

BRITISH POUND GBP 1,205,000 Heathrow Funding Ltd., 7.125%, February 14, 2024 2,434,244 2,362,414 0.23 Commissions and other portfolio transaction costs (1,438) Total Investment Portfolio before Derivative Instruments 1,016,818,034 996,654,931 95.45 Foreign Currency Forward Contract(s) (see Schedule A) (2,429,621) (0.23) Short Futures Contract(s) (see Schedule B) (287,770) (0.03) Total Investment Portfolio 1,016,818,034 993,937,540 95.19 Other Net Assets (Liabilities) 50,216,850 4.81 Net Assets Attributable to Holders of Redeemable Units 1,044,154,390 100.00

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

Schedule A Foreign Currency Forward Contract(s)

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty‡ Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Citigroup Inc. A-2 September 14, 2021 JPY 11,287,368,737 USD 103,240,595 109.33 (1,945,933) Morgan Stanley A-2 September 13, 2021 CAD 18,125,107 JPY 1,647,346,138 0.01 (268,397) Toronto-Dominion Bank A-1+ September 14, 2021 GBP 12,529,631 JPY 1,943,754,588 0.01 (215,291) Total Foreign Currency Forward Contract(s) Value (2,429,621)

Schedule B Short Futures Contract(s)

Contract(s) Future(s) Expiry Date Price ($) Currency Contract Value ($) Fair Value ($) (105) US 10 Yr Ultra Futures September 21, 2021 147.20 USD (18,871,894) (19,159,664) (18,871,894) (19,159,664) Exercise Price ($) (18,871,894) Total Short Futures Contract(s) Value (287,770)

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

Semi-Annual Financial Statements - June 30, 2021 – 53 – Global Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 (2,429) - - (2,429) Derivative liabilities - Swaps and swaptions - - - - Total (2,429) - - (2,429) 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 2,222 - - 2,222 Derivative assets - Swaps and swaptions - - - - Total 2,222 - - 2,222 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 June 30, 2021 Fair Value of the Underlying Fund(s) / Fair Value of the Fund’s Investment Ownership in the ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) CI DoubleLine Core Plus Fixed Income US$ Fund 178,047 83,574 46.9 iShares iBoxx $ Investment Grade Corporate Bond ETF 49,474,810 4,524 - 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 $000’s) (%) CI DoubleLine Core Plus Fixed Income US$ Fund 169,737 86,093 50.7 iShares J.P. Morgan USD Emerging Markets Bond ETF 31,448,269 53,410 0.2 iShares iBoxx $ Investment Grade Corporate Bond ETF 89,796,397 4,775 -

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

Semi-Annual Financial Statements - June 30, 2021 – 54 – Global Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 4 2 Soft dollar commissions† 1 1

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 98,708 155,057 17,819,437 17,986,491 3,132,434 2,930,005 31,238,494 36,676,430 Redeemable units issued for cash 44,082 26,931 4,409,624 5,093,433 1,132,957 1,090,147 6,602,861 5,210,050 Redeemable units issued for reinvested distributions - 432 - 56,002 9,694 15,501 255,424 260,786 Redeemable units redeemed (20,292) (62,888) (4,203,343) (6,623,907) (892,114) (1,387,307) (7,403,437) (12,837,726) Number of redeemable units at the end of period 122,498 119,532 18,025,718 16,512,019 3,382,971 2,648,346 30,693,342 29,309,540

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 13,727 16,367 10,756,862 8,216,003 Redeemable units issued for cash 9,290 1,237 2,861,324 4,736,702 Redeemable units issued for reinvested distributions 40 74 90,773 73,940 Redeemable units redeemed (8,344) (2,334) (1,767,739) (3,397,712) Number of redeemable units at the end of period 14,713 15,344 11,941,220 9,628,933

Semi-Annual Financial Statements - June 30, 2021 – 55 – Global Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 2.000 0.18 Series E 1.750 0.18 Series F 0.750 0.18 Series I Paid directly by investor Paid directly by investor Series OF 1.000 0.18 Series W Paid directly by investor 0.12

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 104,449 237,451 Collateral (non-cash) 106,538 242,200

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 86 132 Charges (13) (20) Securities lending revenue 73 112 Charges as a % of gross securities lending revenue 15.1 15.2

Related Party Investments (Note 9) as at June 30 (in $000’s)

Investments 2021 CI DoubleLine Core Plus Fixed Income US$ Fund (Series I) 83,574

Investments 2020 CI DoubleLine Core Plus Fixed Income US$ Fund (Series I) 89,104

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

Semi-Annual Financial Statements - June 30, 2021 – 56 – Global Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund was invested in global equities and therefore was sensitive to changes in general economic conditions across the world. Concentration Risk For Concentration Risk as at June 30, 2021, refer to the Schedule of Investment Portfolio. As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable The table below summarizes the Fund’s exposure to concentration risk. to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately $8,810,000 (December 31, 2020 - $14,428,000). In practice, actual results may differ from as at December 31, 2020 this analysis and the difference may be material. Categories Net Assets (%) U.S. Dollar 44.0 Euro 21.5 Currency Risk Fund(s) 7.8 The tables below summarize the Fund’s exposure to currency risk. Other Net Assets (Liabilities) 5.6 Exchange-Traded Fund(s) 5.3 as at June 30, 2021~ Japanese Yen 4.7 Financial Instruments Net Net Australian Dollar 3.4 Exposure Derivatives Exposure Assets British Pound 2.6 Currency (in $000’s) (in $000’s) (in $000’s) (%) Canadian Dollar 2.6 U.S. Dollar 551,410 (124,611) 426,799 40.9 Swedish Krona 2.3 Euro 179,633 - 179,633 17.2 Foreign Currency Forward Contract(s) 0.2 Japanese Yen 63,677 86,136 149,813 14.3 Total 100.0 Australian Dollar 35,738 - 35,738 3.4 British Pound 2,417 21,485 23,902 2.3 Swedish Krona 22,757 - 22,757 2.2 Credit Risk Total 855,632 (16,990) 838,642 80.3 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~ as at June 30, 2021 Financial Instruments Net Net Credit Rating^* Net Assets (%) Exposure Derivatives Exposure Assets AAA/Aaa/A++ 28.4 Currency (in $000’s) (in $000’s) (in $000’s) (%) AA/Aa/A+ 13.4 U.S. Dollar 576,544 (158,542) 418,002 37.8 A 8.8 Euro 239,210 18,016 257,226 23.2 BBB/Baa/B++ 23.4 Japanese Yen 52,624 138,322 190,946 17.3 BB/Ba/B+ 4.6 Australian Dollar 37,850 - 37,850 3.4 B 2.2 British Pound 28,582 - 28,582 2.6 Not Rated 6.3 Swedish Krona 24,964 - 24,964 2.3 Total 87.1 Total 959,774 (2,204) 957,570 86.6

~Includes monetary and non-monetary instruments, if any. as at December 31, 2020 Credit Rating^* Net Assets (%) As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - AAA/Aaa/A++ 16.0 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, AA/Aa/A+ 16.2 net assets attributable to holders of redeemable units of the Fund would have decreased or increased, A 14.0 respectively, by approximately $83,864,000 (December 31, 2020 - $95,757,000). In practice, the actual BBB/Baa/B++ 27.5 results may differ from this analysis and the difference may be material. BB/Ba/B+ 3.7 Not Rated 4.0 Total 81.4 Interest Rate Risk The tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s maturity date. Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference. as at June 30, 2021 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 5,789 282,969 226,756 393,043 908,557

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

Semi-Annual Financial Statements - June 30, 2021 – 57 – Global Fixed Income Pool Fund Specific Notes to Financial Statements (unaudited)

Interest Rate Risk (cont’d)

as at December 31, 2020 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 77,344 160,739 174,103 544,114 956,300

As at June 30, 2021, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2020 - 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 $11,798,000 (December 31, 2020 - $17,763,000). In practice, the 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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 908,557 - 908,557 Fund(s) 83,574 - - 83,574 Exchange-Traded Fund(s) 4,524 - - 4,524 Foreign currency forward contract(s), net - (2,429) - (2,429) Total 88,098 906,128 - 994,226

Short Positions at fair value as at June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Futures contract(s), net (288) - - (288) Total (288) - - (288)

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

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 58 – Enhanced Income Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 2,902 3,104 18.75 17.63 154,727 176,101 Current assets Series E 559,912 444,958 19.39 18.22 28,880,051 24,420,262 Investments 1,140,319 970,580 Series F 72,702 52,481 12.25 11.52 5,932,811 4,556,268 Investments pledged as collateral - - Series I 497,203 395,593 25.46 23.93 19,529,032 16,531,051 Cash 194,178 72,500 Series OF 483 424 20.53 19.30 23,540 21,986 Unrealized gain on futures and foreign currency Series W 196,865 152,258 28.57 26.85 6,890,681 5,670,000 forward contracts 696 3,062 Swaps, swaptions and options - - Daily variation margin on derivative instruments 2 2 Fees rebate receivable 95 18 Cash collateral on deposit for short sale - - Dividends receivable 519 1,079 Interest receivable 2,250 1,807 Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 59 326 Receivable for unit subscriptions 2,060 1,577 1,340,178 1,050,951 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 4,510 194 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 4,626 287 Payable for unit redemptions 975 1,652 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 10,111 2,133 Net assets attributable to holders of redeemable units 1,330,067 1,048,818

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

Semi-Annual Financial Statements - June 30, 2021 – 59 – CIG - 9619 Enhanced Income Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 199 (122) 1.18 (0.47) 169,538 252,007 Net gain (loss) on investments and derivatives Series E 34,550 (10,433) 1.27 (0.43) 27,213,274 24,285,691 Dividends 8,022 4,226 Series F 4,567 (863) 0.87 (0.21) 5,288,583 3,917,959 Interest for distribution purposes 4,515 4,694 Series I 35,435 (4,014) 1.92 (0.26) 18,526,009 15,925,694 Income distributions from investments 3,114 6,225 Series OF 33 (11) 1.38 (0.46) 23,610 25,094 Capital gain distributions from investments 784 5,983 Series W 13,321 (2,512) 2.09 (0.44) 6,375,288 5,853,578 Derivative income (loss) - (89) 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 30,640 (17,007) Change in unrealized appreciation (depreciation) in value of investments and derivatives 47,357 (20,946) Total net gain (loss) on investments and derivatives 94,432 (16,914) Other income Foreign exchange gain (loss) on cash 374 4,337 Commitment fee income - - Securities lending revenue (Note 6) 116 99 Fees rebate 273 150 Total other income 763 4,586 Total income 95,195 (12,328) Expenses Management fees (Note 5) 4,421 3,588 Administration fees (Note 5) 696 562 Commissions and other portfolio transaction costs 147 184 Independent review committee fees 1 1 Securities borrowing fees (Note 2) 4 4 Margin fees - - Service fees - - Interest expense - 1 Withholding taxes 1,201 793 Harmonized sales tax 605 494 Other expenses 15 - Total expenses 7,090 5,627 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 88,105 (17,955)

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

Semi-Annual Financial Statements - June 30, 2021 – 60 – Enhanced Income Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 3,104 4,644 444,958 430,339 52,481 41,057 395,593 364,652 Increase (decrease) in net assets attributable to holders of redeemable units 199 (122) 34,550 (10,433) 4,567 (863) 35,435 (4,014) Distributions to holders of redeemable units From net investment income (3) (12) (1,225) (1,702) (539) (363) (6,222) (4,321) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (3) (12) (1,225) (1,702) (539) (363) (6,222) (4,321)

Redeemable unit transactions Proceeds from redeemable units issued 357 139 143,478 58,502 24,796 11,093 133,455 62,622 Reinvestment of distributions to holders of redeemable units 3 12 1,225 1,701 539 363 6,222 4,321 Redemption of redeemable units (758) (823) (63,074) (66,508) (9,142) (7,173) (67,280) (65,939) Net increase (decrease) from redeemable unit transactions (398) (672) 81,629 (6,305) 16,193 4,283 72,397 1,004 Net increase (decrease) in net assets attributable to holders of redeemable units (202) (806) 114,954 (18,440) 20,221 3,057 101,610 (7,331) Net assets attributable to holders of redeemable units at the end of period 2,902 3,838 559,912 411,899 72,702 44,114 497,203 357,321

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 424 437 152,258 161,776 1,048,818 1,002,905 Increase (decrease) in net assets attributable to holders of redeemable units 33 (11) 13,321 (2,512) 88,105 (17,955) Distributions to holders of redeemable units From net investment income (3) (3) (2,242) (1,571) (10,234) (7,972) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (3) (3) (2,242) (1,571) (10,234) (7,972)

Redeemable unit transactions Proceeds from redeemable units issued 93 65 55,999 41,119 358,178 173,540 Reinvestment of distributions to holders of redeemable units 3 3 2,242 1,571 10,234 7,971 Redemption of redeemable units (67) (63) (24,713) (65,642) (165,034) (206,148) Net increase (decrease) from redeemable unit transactions 29 5 33,528 (22,952) 203,378 (24,637) Net increase (decrease) in net assets attributable to holders of redeemable units 59 (9) 44,607 (27,035) 281,249 (50,564) Net assets attributable to holders of redeemable units at the end of period 483 428 196,865 134,741 1,330,067 952,341

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

Semi-Annual Financial Statements - June 30, 2021 – 61 – Enhanced Income Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 88,105 (17,955) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (30,640) 17,007 Unrealized foreign exchange (gain) loss on cash (835) 1,017 Commissions and other portfolio transaction costs 147 184 Change in unrealized (appreciation) depreciation in value of investments and derivatives (47,357) 20,946 Proceeds from sale and maturity of investments and derivatives 306,834 323,030 Purchase of investments and derivatives (383,537) (233,734) Non-cash distributions from investments (3,898) (12,208) Change in daily variation margin - (406) (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 560 745 (Increase) decrease in interest receivable (443) (186) (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (77) (45) Net cash from (used in) operating activities (71,141) 98,395

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - (1) Proceeds from issuance of redeemable units 333,133 153,843 Amounts paid on redemption of redeemable units (141,149) (185,861) Net cash from (used in) financing activities 191,984 (32,019)

Unrealized foreign exchange gain (loss) on cash 835 (1,017) Net increase (decrease) in cash 120,843 66,376 Cash (bank overdraft), beginning of period 72,500 30,594 Cash (bank overdraft), end of period 194,178 95,953

Supplementary Information: Dividends received, net of withholding tax* 7,843 4,619 Interest received, net of withholding tax* 4,064 4,465 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.

Semi-Annual Financial Statements - June 30, 2021 – 62 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

EXCHANGE-TRADED FUND(S) 164,661 CI Galaxy Ethereum ETF (C$ Unhedged Series) 2,549,068 1,692,715 1,059,541 CI Global Financial Sector ETF (Common Units) 20,208,025 24,899,214 428,772 CI Global Infrastructure Private Pool (ETF C$ Series) 8,807,142 9,484,437 1,778,121 CI Gold Bullion Fund (ETF US$ Series) 38,786,440 38,980,637 58,000 CI Preferred Share ETF (Common Units) 1,167,102 1,383,010 1,281,051 iShares Core MSCI EAFE ETF 110,675,819 118,909,024 3,107,985 iShares Core S&P/TSX Capped Composite Index ETF 84,312,333 99,641,999 237,220 iShares MSCI Japan ETF 19,645,460 19,860,717 615,740 iShares Russell 1000 Value ETF 109,944,819 121,070,371 396,096,208 435,922,124 32.77 FUND(S) 304,715 CI Adams Street Global Private Markets Fund (Series I) 4,137,153 4,466,007 4,602,085 CI DoubleLine Core Plus Fixed Income US$ Fund (Series IH) 46,192,014 45,983,114 3,834,719 CI High Yield Bond Fund (Series I) 36,738,726 40,198,980 3,111,626 CI Income Fund (Series I) 24,061,314 26,651,078 5,810,639 CI Munro Alternative Global Growth Fund (Series I) 61,514,247 90,661,076 323,557 CI Precious Metals Fund (Series I) 27,338,942 25,614,159 973,104 Real Estate Investment Pool (Series I) 24,796,593 29,108,076 224,778,989 262,682,490 19.75 COMMON EQUITIES 6,494 Assertio Holdings Inc. 82,621 12,558 10,739 Berry Petroleum Co., LLC 171,579 89,457 123,711 Boralex Inc., Class A 3,603,020 4,670,090 8,287 BrightHouse TopCo Ltd., A1 Ordinary Shares 82,487 - 242,264 Brookfield Asset Management Inc., Class A 9,700,614 15,320,775 1,651 Brookfield Asset Management Reinsurance Partners Ltd. 70,955 108,140 57,425 Calfrac Well Services Ltd. 894,210 232,571 18,371 Canadian Imperial Bank of Commerce 2,100,112 2,592,332 17,239 Canadian Pacific Railway Ltd. 1,508,325 1,643,221 127,720 Cheniere Energy Inc. 8,901,971 13,732,857 11,067 Citigroup Inc. 767,425 970,597 34,150 Coca-Cola Co. 2,028,425 2,290,608 186,868 Enbridge Inc. 8,666,511 9,274,259 22,306 Entergy Corp. 2,991,624 2,756,763 2,063,944 ESR Cayman Ltd. 6,477,225 8,633,350 211,751 Ferrovial S.A. 6,127,675 7,703,262 376,395 First Capital Real Estate Investment Trust 7,075,793 6,624,552 127,766 HarbourVest Adelaide Feeder F L.P. 13,128,978 15,208,460 119,680 Keyera Corp. 3,350,013 3,986,541 324,386 Manulife Financial Corp. 7,444,603 7,915,018 25,170 Nestlé S.A., Registered Shares 3,008,023 3,885,381 61,572 NextEra Energy Inc. 3,987,084 5,593,083 206,120 Northland Power Inc. 6,546,814 8,716,815 101,752 Pembina Pipeline Corp. 3,770,302 4,008,011 416,452 Plains GP Holdings L.P. 6,475,579 6,163,847 61,237 Power Corporation of Canada 1,872,938 2,399,266 6,515 Procter & Gamble Co. 828,035 1,089,696 23,091 Pyxus International Inc. 37,534 104,476 21,639 Royal Bank of Canada 2,289,944 2,717,642 109,211 Royal Dutch Shell PLC 2,659,300 2,709,395 31,437 Sempra Energy 4,960,828 5,162,665 1,168 Skillsoft Inc., Class A 196,671 220,798 217 Skillsoft Inc., Class B 35,266 41,022 263,604 Sporting Life Group Ltd., Class B 271,756 374,317 1,078,299 Sydney Airport 5,403,003 5,804,043

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

Semi-Annual Financial Statements - June 30, 2021 – 63 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

COMMON EQUITIES (cont’d) 40,871 TC Energy Corp. (CAD) 2,194,662 2,507,027 105,842 TELUS Corp. 2,782,677 2,942,408 42,834 The Bank of Nova Scotia 2,996,157 3,453,277 281,792 The Williams Co., Inc. 9,433,188 9,274,185 486 Tops Markets LLC 225,107 211,796 37,614 Toronto-Dominion Bank 2,775,405 3,267,528 844,607 Transurban Group 8,880,365 11,173,068 278,869 Tricon Capital Group Inc. 2,926,432 3,976,672 98,565 Vantage Towers AG 3,554,163 3,934,835 62,530 Vonovia S.E. 4,219,898 5,010,929 33,126 West Fraser Timber Co., Ltd. 2,765,128 2,947,883 7,296 Xplornet Mobile 10,433 10,433 5,498 Xplornet Wireless 9,621 26,938 170,290,479 201,492,847 15.15 CORPORATE BONDS EUR 216,093 Abengoa Abenewco 1 S.A.U., 6%, July 16, 2021 266,825 79,406 EUR 5,105 Abengoa Abenewco 1 S.A.U., Zero Coupon, December 31, 2022 - - USD 272,693 Abengoa Abenewco 2 BIS S.A., 1.5%, April 26, 2024 53,075 - USD 386,000 Abercrombie & Fitch Co., 8.75%, July 15, 2025 528,589 531,096 USD 579,000 Academy Ltd., 6%, November 15, 2027 772,067 769,647 USD 341,000 AerCap Global Aviation Trust 6.5%, June 15, 2045 367,923 454,435 USD 326,000 AerCap Holdings N.V., 5.875%, October 10, 2079 437,490 421,869 USD 62,000 AerCap Ireland Capital DAC/AerCap Global Aviation Trust 6.5%, July 15, 2025 82,780 90,246 USD 70,000 Air Canada 2021-1 Class C Pass Through Trust 10.5%, July 15, 2026 104,915 106,947 USD 489,000 Air Canada 4%, July 01, 2025 692,624 941,618 51,000 Air Canada 4.75%, October 06, 2023 47,685 51,999 USD 7,066 Air Canada, 2013-1 Class A Pass Through Certificates 4.125%, May 15, 2025 8,777 9,039 USD 51,119 Air Canada, Term Loan B, Private Placement, Variable Rate, October 06, 2023 58,882 62,575 USD 300,000 Aircastle Ltd., FRN, 5.25%, December 31, 2049 363,121 376,529 USD 480,000 Ally Financial Inc., FRN, 4.7%, December 31, 2049 579,241 604,113 USD 143,057 Alterra Mountain Co., Term Loan, Private Placement, Variable Rate, August 01, 2026 183,453 178,000 USD 55,000 Altice Financing S.A., 5%, January 15, 2028 71,682 67,018 USD 695,000 Altice France Holding S.A., 6%, February 15, 2028 895,162 856,017 USD 113,000 Altice France S.A., 5.125%, July 15, 2029 141,583 140,937 USD 35,000 Altice France S.A., 5.5%, January 15, 2028 45,266 45,076 USD 357,826 Alvogen Pharma US Inc., Term Loan B-Ext, Private Placement, Variable Rate, December 31, 2023 475,409 437,743 USD 525,000 AMC Entertainment Holdings Inc., 10.5%, April 15, 2025 718,403 707,410 USD 330,448 AMC Entertainment Holdings Inc., Term Loan B, Private Placement, Variable Rate, March 20, 2026 437,357 385,942 USD 386,000 American Airlines Group Inc., 6.5%, July 01, 2025 495,012 752,420 USD 1,146,000 American Airlines Inc./AAdvantage Loyalty IP Ltd., 5.75%, April 20, 2029 1,497,628 1,535,425 USD 619,000 Banco Santander S.A., FRN, 4.75%, December 31, 2049 752,950 778,440 USD 55,000 Barclays PLC 6.125%, December 31, 2049 73,012 75,635 USD 804,000 Barclays PLC 6.278%, December 31, 2049 1,163,392 1,338,628 USD 81,000 Barclays PLC 7.75%, December 31, 2049 105,683 110,574 USD 365,000 Barclays PLC 8%, December 31, 2049 485,121 516,760 USD 59,000 Baytex Energy Corp., 8.75%, April 01, 2027 46,156 73,784 USD 217,000 Big River Steel LLC/BRS Finance Corp., 6.625%, January 31, 2029 287,848 297,188 GBP 97,479 BrightHouse Group PLC, Zero Coupon, May 15, 2023 170,225 41,788 USD 674,000 Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimnus 5.75%, May 15, 2026 889,467 879,427 USD 812,000 Brookfield Residential Properties Inc., 4.875%, February 15, 2030 1,070,010 998,807 300,000 Brookfield Residential Properties Inc., 5.125%, June 15, 2029 300,000 302,750 USD 269,000 Brookfield Residential Properties Inc., 6.25%, September 15, 2027 352,168 353,092 USD 742,000 Burford Capital Global Finance LLC 6.25%, April 15, 2028 949,102 967,301 USD 206,000 Cablevision Lightpath LLC 5.625%, September 15, 2028 265,428 260,976 124,000 Calfrac Holdings L.P., 10%, December 18, 2023 124,000 124,000

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

Semi-Annual Financial Statements - June 30, 2021 – 64 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 808,750 Calfrac Holdings L.P., 10.875%, March 15, 2026 817,533 772,554 USD 952,221 Canada Goose Inc., Term Loan, Private Placement, Variable Rate, October 07, 2027 1,242,340 1,187,015 676,000 Canadian Western Bank 5%, July 31, 2081 676,655 685,443 325,000 Canadian Western Bank 6%, April 30, 2081 326,769 348,494 USD 834,000 Carnival Corp., 11.5%, April 01, 2023 1,198,652 1,170,837 USD 666,000 Carnival Corp., 5.75%, March 01, 2027 845,529 865,822 USD 207,000 Carnival Corp., 7.2%, October 01, 2023 251,448 276,435 USD 837,000 Carnival Corp., 7.625%, March 01, 2026 1,115,654 1,128,333 USD 190,000 Carnival Corp., 9.875%, August 01, 2027 276,623 275,273 USD 90,000 Carvana Co., 5.5%, April 15, 2027 113,570 115,633 USD 342,000 Carvana Co., 5.625%, October 01, 2025 455,468 441,858 USD 783,000 Carvana Co., 5.875%, October 01, 2028 1,042,435 1,022,624 USD 410,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, February 01, 2031 559,050 518,402 USD 9,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, August 15, 2030 12,352 11,645 USD 265,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, May 01, 2032 364,871 341,541 USD 341,000 CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, March 01, 2030 448,088 447,010 USD 17,000 CCO Holdings LLC/CCO Holdings Capital Corp., 5%, February 01, 2028 22,113 22,137 USD 105,000 Cenovus Energy Inc., 6.75%, November 15, 2039 102,356 177,257 USD 61,000 CenturyLink Inc., 4.5%, January 15, 2029 79,803 73,892 519,000 CES Energy Solutions Corp., 6.375%, October 21, 2024 517,197 535,327 USD 401,000 Cheplapharm Arzneimittel GmbH 5.5%, January 15, 2028 537,140 510,129 USD 50,000 Cinemark Holdings Inc., 4.5%, August 15, 2025 60,889 109,937 849,000 Cineplex Inc., 5.75%, September 30, 2025 939,838 1,232,111 1,567,000 Cineplex Inc., 7.5%, February 26, 2026 1,598,259 1,644,208 USD 39,000 Coeur Mining Inc., 5.125%, February 15, 2029 49,214 48,022 USD 35,000 Colgate Energy Partners III LLC 5.875%, July 01, 2029 42,905 45,013 USD 82,000 CommScope Finance LLC 6%, March 01, 2026 109,902 107,436 USD 72,000 CommScope Inc., 7.125%, July 01, 2028 97,445 96,848 USD 53,102 CommScope Inc., Term Loan B2, Private Placement, Variable Rate, February 07, 2026 70,109 65,631 USD 47,000 Comstock Resources Inc., 5.875%, January 15, 2030 57,074 59,499 USD 22,000 Consolidated Communications Inc., 5%, October 01, 2028 27,866 27,701 USD 120,000 Consolidated Communications Inc., 6.5%, October 01, 2028 158,389 160,319 USD 463,000 CQP Holdco L.P./BIP-V Chinook Holdco LLC 5.5%, June 15, 2031 561,987 598,753 USD 920,000 Credit Suisse Group AG 4.5%, December 31, 2049 1,159,958 1,134,618 USD 208,000 Credit Suisse Group AG 5.1%, December 31, 2049 268,964 266,539 USD 511,000 Credit Suisse Group AG 5.25%, December 31, 2049 676,878 671,443 USD 539,000 Credit Suisse Group AG 6.25%, December 31, 2049 674,212 733,216 USD 208,000 Credit Suisse Group AG 6.375%, December 31, 2049 279,306 287,222 USD 136,000 Credit Suisse Group AG 7.5%, December 31, 2049 179,008 183,759 883,000 Crew Energy Inc., 6.5%, March 14, 2024 866,756 835,907 USD 45,000 CrownRock L.P./CrownRock Finance Inc., 5%, May 01, 2029 56,382 58,661 USD 442,000 CrownRock L.P./CrownRock Finance Inc., 5.625%, October 15, 2025 562,302 568,640 USD 113,000 CSC Holdings LLC 4.5%, November 15, 2031 138,735 141,110 USD 113,000 CSC Holdings LLC 5%, November 15, 2031 138,735 140,937 USD 383,000 CSC Holdings LLC, 4.625%, December 01, 2030 472,172 466,393 USD 214,000 DCP Midstream LLC, FRN, 5.85%, May 21, 2043 222,469 246,646 USD 593,000 Delta Air Lines Inc., 7%, May 01, 2025 832,281 858,668 USD 50,000 Delta Air Lines Inc., 7.375%, January 15, 2026 66,886 72,800 USD 51,000 Delta Air Lines Inc./SkyMiles IP Ltd., 4.5%, October 20, 2025 67,267 67,988 USD 533,000 Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, August 15, 2026 673,283 429,460 USD 101,000 Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, August 15, 2027 131,653 61,519 USD 97,551 Digicel International Finance Ltd., Term Loan B, Private Placement, Variable Rate, May 27, 2024 120,862 116,315 USD 163,000 Dolya HoldCo 18 Designated Activity Co., 5%, July 15, 2028 219,265 206,825 USD 1,352,000 Dresdner Funding Trust I 8.151%, June 30, 2031 2,244,922 2,404,978 375,000 Dye & Durham Ltd., 3.75%, March 01, 2026 381,094 381,259

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

Semi-Annual Financial Statements - June 30, 2021 – 65 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 756,000 Empire Communities Corp., 7%, December 15, 2025 996,414 987,253 644,000 Empire Communities Corp., 7.375%, December 15, 2025 651,980 675,808 331,000 Enbridge Inc., 5.375%, September 27, 2077 331,000 349,477 USD 2,362,000 Enbridge Inc., 5.5%, July 15, 2077 2,567,078 3,118,533 USD 1,249,000 Enbridge Inc., 6%, January 15, 2077 1,664,015 1,718,573 USD 276,000 Enbridge Inc., 6.25%, March 01, 2078 344,810 375,952 519,000 Enbridge Inc., 6.625%, April 12, 2078 525,431 589,620 USD 114,000 Encino Acquisition Partners Holdings LLC 8.5%, May 01, 2028 142,249 144,318 USD 512,000 Endeavor Energy Resources L.P./EER Finance Inc., 5.75%, January 30, 2028 684,668 676,616 USD 1,367,000 Fairfax India Holdings Corp., 5%, February 26, 2028 1,710,332 1,688,725 USD 148,000 Fairstone Financial Inc., 7.875%, July 15, 2024 199,164 191,897 725,000 Falcon Holding Acquisition Corp., 6.125%, June 30, 2031 725,000 731,333 USD 49,000 First Quantum Minerals Ltd., 6.5%, March 01, 2024 64,170 62,137 USD 317,000 First Quantum Minerals Ltd., 6.875%, March 01, 2026 361,230 412,111 USD 424,000 First Quantum Minerals Ltd., 6.875%, October 15, 2027 559,543 573,394 USD 94,000 First Quantum Minerals Ltd., 7.25%, April 01, 2023 124,918 118,927 USD 1,351,000 First Quantum Minerals Ltd., 7.5%, April 01, 2025 1,790,851 1,741,918 USD 113,000 Fortress Transportation and Infrastructure Investors LLC 5.5%, May 01, 2028 142,607 146,028 USD 559,000 Fortress Transportation and Infrastructure Investors LLC 6.5%, October 01, 2025 729,467 720,659 USD 388,000 Fortress Transportation and Infrastructure Investors LLC 9.75%, August 01, 2027 525,170 557,084 USD 40,000 Genesis Energy L.P./Genesis Energy Finance Corp., 8%, January 15, 2027 52,004 52,156 USD 570,000 Genworth Holdings Inc., 2.15838%, November 15, 2036 441,225 452,228 USD 322,000 Genworth Holdings Inc., 4.8%, February 15, 2024 378,083 399,950 USD 550,000 Genworth Holdings Inc., 4.9%, August 15, 2023 661,023 684,853 USD 232,000 Genworth Mortgage Holdings Inc., 6.5%, August 15, 2025 306,578 317,787 555,000 Gibson Energy Inc., 5.25%, December 22, 2080 555,000 563,637 USD 1,915,318 Global Aircraft Leasing Co., Ltd., 6.5%, September 15, 2024 2,464,940 2,390,046 USD 454,000 goeasy Ltd., 4.375%, May 01, 2026 567,592 577,553 USD 322,000 H&E Equipment Services Inc., 3.875%, December 15, 2028 406,923 393,265 USD 919,765 Hartford Financial Services Group Inc., 2.28088%, February 12, 2047 1,004,152 1,102,518 USD 224,000 HCA Inc., 3.5%, September 01, 2030 297,566 295,996 USD 821,000 HCA Inc., 5.375%, September 01, 2026 1,150,392 1,171,643 USD 932,500 HCA Inc., 7.05%, December 01, 2027 1,323,433 1,417,823 USD 360,000 HCA Inc., 7.58%, September 15, 2025 534,891 539,971 USD 94,000 HCA Inc., 7.69%, June 15, 2025 145,614 142,012 USD 470,000 Hilton Domestic Operating Co., Inc., 3.625%, February 15, 2032 586,851 576,111 USD 59,000 Hilton Grand Vacations Borrower Escrow LLC 4.875%, July 01, 2031 71,646 73,137 USD 411,000 Howard Hughes Corp., 4.125%, February 01, 2029 514,463 510,992 USD 297,000 Howard Hughes Corp., 4.375%, February 01, 2031 375,125 367,566 USD 1,008,000 Howard Hughes Corp., 5.375%, August 01, 2028 1,301,297 1,329,027 USD 298,000 Hughes Satellite Systems Corp., 5.25%, August 01, 2026 377,184 414,469 USD 101,000 Hughes Satellite Systems Corp., 6.625%, August 01, 2026 138,700 140,783 USD 1,288,000 Husky III Holding Ltd., 13%, February 15, 2025 1,767,313 1,728,281 USD 107,000 ILFC E-Capital Trust I, FRN, 3.23%, December 21, 2065 115,043 110,120 USD 415,000 ILFC E-Capital Trust II 4.15%, December 21, 2065 478,034 439,611 USD 872,000 Imola Merger Corp., 4.75%, May 15, 2029 1,093,966 1,113,362 USD 121,000 ING Groep N.V., 4.875%, December 31, 2049 157,208 157,023 USD 620,000 ING Groep N.V., 6.5%, December 31, 2049 796,232 858,628 USD 73,000 ING Groep N.V., 6.75%, December 31, 2049 103,653 99,993 USD 2,087,000 Intarcia Therapeutics Inc., 144A, Zero Coupon, April 15, 2031 552,482 1,500 USD 868,000 Intarcia Therapeutics Inc., Zero Coupon, April 15, 2031 233,666 624 USD 270,000 Intelsat Jackson Holdings S.A., Zero Coupon, August 01, 2023 316,341 192,030 1,735,000 Inter Pipeline Ltd., 6.625%, November 19, 2079 1,717,635 1,911,187 1,720,000 Inter Pipeline Ltd., 6.875%, March 26, 2079 1,736,574 1,917,274 USD 185,000 Iron Mountain Inc., 4.875%, September 15, 2029 235,088 237,032

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

Semi-Annual Financial Statements - June 30, 2021 – 66 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 187,000 Iron Mountain Inc., 5.25%, July 15, 2030 240,880 245,694 USD 1,019,337 Ironshore Pharmaceuticals & Development Inc., 13%, February 28, 2024 1,319,950 1,070,019 USD 294,039 Ironshore Pharmaceuticals & Development Inc., Zero Coupon, February 28, 2024 376,207 296,929 USD 302,000 iStar Inc., 4.25%, August 01, 2025 381,379 386,171 USD 131,000 ITT Holdings LLC 6.5%, August 01, 2029 161,249 166,100 USD 190,000 JPMorgan Chase & Co., FRN, 6%, December 31, 2049 254,051 250,539 USD 97,000 Kennedy-Wilson Inc., 4.75%, March 01, 2029 124,257 124,022 USD 513,000 Kennedy-Wilson Inc., 5%, March 01, 2031 656,680 654,994 USD 116,280 Kestrel Acquisition LLC, Term Loan B, Private Placement, Variable Rate, May 02, 2025 148,997 122,232 286,000 Keyera Corp., 5.95%, March 10, 2081 286,406 295,862 1,282,000 Keyera Corp., 6.875%, June 13, 2079 1,281,672 1,423,609 USD 389,000 Land O’Lakes Capital Trust I 7.45%, March 15, 2028 504,966 556,882 USD 114,000 Lannett Co., Inc., 7.75%, April 15, 2026 143,218 140,950 USD 260,000 Laredo Petroleum Inc., 9.5%, January 15, 2025 295,670 340,010 USD 257,000 LBC Tank Terminals Holding Netherlands B.V., 6.875%, May 15, 2023 317,517 319,040 USD 22,000 LCM Investments Holdings II LLC 4.875%, May 01, 2029 27,751 27,987 USD 130,000 Leeward Renewable Energy Operations LLC 4.25%, July 01, 2029 160,018 163,968 USD 195,000 Level 3 Financing Inc., 3.625%, January 15, 2029 241,653 233,606 USD 456,000 Lincoln National Corp., 2.22825%, April 20, 2067 440,644 481,530 USD 583,000 Lincoln National Corp., Callable, 2.51338%, May 17, 2066 555,178 639,579 USD 85,000 Lloyds Banking Group PLC 6.75%, December 31, 2049 113,368 121,259 USD 325,000 Lloyds Banking Group PLC 7.5%, December 31, 2049 453,720 472,366 USD 238,000 Macquarie Bank Ltd., 6.125%, December 31, 2049 292,034 322,930 974,000 Mattamy Group Corp., 4.625%, March 01, 2028 976,846 995,022 USD 399,000 Mattamy Group Corp., 4.625%, March 01, 2030 514,523 506,225 USD 95,233 McAfee LLC, Term Loan B, Private Placement, Variable Rate, September 29, 2024 117,879 118,206 USD 248,000 MEG Energy Corp., 5.875%, February 01, 2029 315,863 320,923 USD 348,000 MEG Energy Corp., 7.125%, February 01, 2027 433,230 460,729 USD 5,955 Meredith Corp., Term Loan, Private Placement, Variable Rate, January 31, 2025 7,799 7,554 USD 418,000 Merlin Entertainments PLC 5.75%, June 15, 2026 554,595 545,665 USD 99,000 Methanex Corp., 5.125%, October 15, 2027 130,215 132,709 USD 517,000 MetLife Capital Trust IV, 7.875%, December 15, 2037 898,557 894,020 USD 281,000 MGM Growth Properties Operating Partnership L.P./MGP Finance 4.5%, January 15, 2028 340,798 369,054 USD 71,000 MGM Growth Properties Operating Partnership L.P./MGP Finance 5.75%, February 01, 2027 97,116 98,061 USD 787,000 MGM Resorts International 4.625%, September 01, 2026 1,001,628 1,031,828 USD 660,000 MGM Resorts International 4.75%, October 15, 2028 871,264 870,908 USD 1,115,000 MGM Resorts International 5.5%, April 15, 2027 1,424,892 1,520,995 USD 165,000 Moss Creek Resources Holdings Inc., 10.5%, May 15, 2027 219,035 202,988 USD 401,000 MPH Acquisition Holdings LLC 5.75%, November 01, 2028 525,448 500,180 USD 202,000 National CineMedia LLC 5.875%, April 15, 2028 251,946 246,383 USD 221,000 National Westminster Bank PLC, FRN, 0.5%, August 29, 2049 215,952 273,044 USD 268,000 Nationstar Mortgage Holdings Inc., 5.125%, December 15, 2030 341,852 331,217 USD 158,000 Nationstar Mortgage Holdings Inc., 5.5%, August 15, 2028 211,445 198,070 USD 569,000 Nationstar Mortgage Holdings Inc., 6%, January 15, 2027 683,104 732,334 USD 44,000 Natwest Group PLC 2.46725%, December 31, 2049 54,703 54,259 USD 173,000 Natwest Group PLC, FRN, 4.6%, December 31, 2049 212,947 215,995 USD 289,000 Navient Corp., 4.875%, March 15, 2028 367,336 360,484 USD 1,441,000 Navient Corp., 5%, March 15, 2027 1,792,235 1,852,360 USD 169,000 NCL Corp., Ltd., 10.25%, February 01, 2026 229,358 244,054 USD 80,000 NCL Corp., Ltd., 3.625%, December 15, 2024 93,585 95,909 USD 469,000 NCL Corp., Ltd., 5.875%, March 15, 2026 596,215 610,277 USD 673,000 NCL Finance Ltd., 6.125%, March 15, 2028 864,071 876,725 USD 600,000 New Gold Inc., 6.375%, May 15, 2025 777,712 768,864 USD 550,000 New Gold Inc., 7.5%, July 15, 2027 736,693 740,585 USD 785,000 NGL Energy Operating LLC/NGL Energy Finance Corp., 7.5%, February 01, 2026 1,006,994 1,022,959

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

Semi-Annual Financial Statements - June 30, 2021 – 67 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 657,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 6.125%, March 01, 2025 849,910 740,718 USD 209,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 7.5%, April 15, 2026 279,192 237,185 USD 149,000 NGL Energy Partners L.P./NGL Energy Finance Corp., 7.5%, November 01, 2023 200,378 182,161 USD 114,000 Nielsen Finance LLC 4.5%, July 15, 2029 137,285 142,021 USD 114,000 Nielsen Finance LLC 4.75%, July 15, 2031 137,285 141,845 USD 293,000 Nielsen Finance LLC/Nielsen Finance Co., 5.625%, October 01, 2028 389,715 384,275 USD 110,000 Nielsen Finance LLC/Nielsen Finance Co., 5.875%, October 01, 2030 145,146 148,761 USD 1,085,000 NMI Holdings Inc., 7.375%, June 01, 2025 1,497,590 1,545,598 USD 238,000 Northern Oil and Gas Inc., 8.125%, March 01, 2028 298,090 318,279 USD 480,000 Northriver Midstream Finance L.P., 5.625%, February 15, 2026 628,819 619,060 USD 160,000 NOVA Chemicals Corp., 4.25%, May 15, 2029 198,368 201,028 USD 4,000 NOVA Chemicals Corp., 4.875%, June 01, 2024 5,351 5,237 USD 452,000 NOVA Chemicals Corp., 5%, May 01, 2025 613,483 600,250 USD 315,000 NOVA Chemicals Corp., 5.25%, June 01, 2027 407,876 421,342 1,356,000 NuVista Energy Ltd., 6.5%, March 02, 2023 1,336,570 1,352,045 USD 103,000 Occidental Petroleum Corp., 3%, February 15, 2027 97,856 126,902 USD 181,000 Occidental Petroleum Corp., 3.2%, August 15, 2026 186,625 226,696 USD 218,000 Occidental Petroleum Corp., 3.4%, April 15, 2026 256,830 277,072 USD 92,000 Occidental Petroleum Corp., 6.125%, January 01, 2031 117,935 134,001 USD 63,000 Occidental Petroleum Corp., 6.625%, September 01, 2030 83,526 94,480 USD 29,000 Occidental Petroleum Corp., 8%, July 15, 2025 39,665 43,094 USD 163,000 OneMain Finance Corp., 3.5%, January 15, 2027 198,664 203,823 USD 187,000 Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics S.A., 7.25%, February 01, 2028 249,218 253,653 USD 56,000 Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics S.A., 7.375%, June 01, 2025 78,071 74,820 USD 68,000 Outfront Media Capital LLC/Outfront Media Capital Corp., 4.25%, January 15, 2029 86,883 84,988 USD 193,000 Park Intermediate Holdings LLC/PK Domestic Property LLC 4.875%, May 15, 2029 233,461 247,784 USD 753,000 Park Intermediate Holdings LLC/PK Domestic Property LLC 5.875%, October 01, 2028 977,556 996,870 146,000 Parkland Corp., 3.875%, June 16, 2026 146,000 147,612 1,090,000 Parkland Corp., 4.375%, March 26, 2029 1,092,032 1,108,621 USD 271,000 Parkland Corp., 4.5%, October 01, 2029 341,297 342,354 429,000 Parkland Corp., 6%, June 23, 2028 429,000 461,318 710,000 Pembina Pipeline Corp., 4.8%, January 25, 2081 712,362 697,387 USD 79,000 Penn National Gaming Inc., 4.125%, July 01, 2029 97,343 97,684 USD 240,000 PennyMac Financial Services Inc., 4.25%, February 15, 2029 305,783 287,041 USD 482,000 PennyMac Financial Services Inc., 5.375%, October 15, 2025 648,052 630,628 USD 226,000 Pilgrim’s Pride Corp., 4.25%, April 15, 2031 282,907 290,656 USD 127,000 Precision Drilling Corp., 6.875%, January 15, 2029 151,907 162,349 USD 369,000 Precision Drilling Corp., 7.125%, January 15, 2026 463,762 472,067 USD 235,848 Pyxus Holdings Inc., Term Loan, Private Placement, Variable Rate, February 24, 2025 299,987 287,241 USD 227,333 Quotient Ltd., 12%, April 15, 2024 303,177 287,439 USD 511,500 Quotient Ltd., 12%, October 15, 2023 675,386 646,738 USD 1,559,000 Rayonier AM Products Inc., 5.5%, June 01, 2024 1,837,500 1,862,486 USD 206,000 Rayonier AM Products Inc., 7.625%, January 15, 2026 266,350 267,106 USD 112,000 RHP Hotel Properties L.P./RHP Finance, Corp., 4.5%, February 15, 2029 142,564 139,309 USD 222,000 Rite Aid Corp., 7.5%, July 01, 2025 297,516 278,987 USD 215,000 Rite Aid Corp., 7.7%, February 15, 2027 246,351 254,234 USD 642,000 Rite Aid Corp., 8%, November 15, 2026 875,160 808,761 USD 551,650 Riverbed Technology Inc., Term Loan, Private Placement, Variable Rate, December 31, 2026 699,247 540,223 USD 930,000 Rockpoint Gas Storage Canada Ltd., 7%, March 31, 2023 1,167,244 1,180,931 USD 168,000 Royal Caribbean Cruises Ltd., 3.7%, March 15, 2028 189,463 199,211 USD 822,000 Royal Caribbean Cruises Ltd., 5.25%, November 15, 2022 1,030,713 1,050,144 USD 195,000 Royal Caribbean Cruises Ltd., 5.5%, April 01, 2028 245,231 253,458 USD 875,000 Royal Caribbean Cruises Ltd., 9.125%, June 15, 2023 1,204,095 1,191,789 USD 361,000 Scientific Games International Inc., 7%, May 15, 2028 442,038 489,785 USD 1,100,000 Scientific Games International Inc., 7.25%, November 15, 2029 1,487,443 1,541,706

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

Semi-Annual Financial Statements - June 30, 2021 – 68 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CORPORATE BONDS (cont’d) USD 549,000 Scientific Games International Inc., 8.25%, March 15, 2026 708,217 730,718 USD 245,000 Scientific Games International Inc., 8.625%, July 01, 2025 332,415 332,934 USD 315,000 Sempra Energy 4.875%, December 31, 2049 421,924 424,641 USD 169,000 Service Properties Trust 5.5%, December 15, 2027 222,730 224,028 USD 376,000 Six Flags Entertainment Corp., 4.875%, July 31, 2024 478,529 468,421 USD 82,000 Six Flags Theme Parks Inc., 7%, July 01, 2025 117,041 109,680 USD 669,000 SkyMiles IP Ltd., Term Loan, Private Placement, Variable Rate, September 16, 2027 856,215 877,033 USD 11,000 SM Energy Co., 6.5%, July 15, 2028 13,325 14,028 USD 124,401 Software Luxembourg Acquisition S.a.r.l., Term Loan, Private Placement, Variable Rate, April 27, 2025 166,950 154,593 USD 137,400 Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8%, September 20, 2025 187,032 192,974 USD 709,000 Studio City Finance Ltd., 5%, January 15, 2029 879,816 888,564 USD 739,000 Studio City Finance Ltd., 6.5%, January 15, 2028 1,002,115 983,585 USD 212,000 Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5%, June 01, 2031 256,717 269,366 USD 46,000 SunCoke Energy Inc., 4.875%, June 30, 2029 55,736 57,022 165,000 Superior Plus L.P., 4.25%, May 18, 2028 165,000 168,747 USD 1,392,000 Superior Plus L.P./Superior General Partner Inc., 4.5%, March 15, 2029 1,758,881 1,779,553 USD 52,000 SVB Financial Group 4%, December 31, 2049 63,253 65,768 USD 88,000 Syneos Health Inc., 3.625%, January 15, 2029 115,087 108,131 USD 301,000 Targa Resources Partners L.P./Targa Resources Partners 4%, January 15, 2032 377,090 384,314 USD 253,000 Targa Resources Partners L.P./Targa Resources Partners 5.5%, March 01, 2030 337,451 345,301 USD 157,000 Teine Energy Ltd., 6.875%, April 15, 2029 197,584 200,422 USD 180,000 Tenet Healthcare Corp., 4.25%, June 01, 2029 217,098 226,197 USD 15,000 TerraForm Power Operating LLC 5%, January 31, 2028 20,369 19,743 USD 600,000 The Royal Bank of Scotland Group PLC 6%, December 31, 2049 817,444 830,841 USD 51,000 The Royal Bank of Scotland Group PLC 8%, December 31, 2049 71,577 74,968 USD 99,302 Tops Markets LLC 13%, November 19, 2024 130,976 120,633 USD 82,697 Tops Markets LLC, Term Loan, Private Placement, Variable Rate, November 16, 2023 105,685 104,818 USD 391,000 TransCanada Trust 5.5%, September 15, 2079 540,249 530,124 USD 184,000 TransDigm Inc., 7.5%, March 15, 2027 247,193 242,935 USD 431,000 TransMontaigne Partners L.P./TLP Finance Corp., 6.125%, February 15, 2026 551,108 548,590 USD 321,000 UBS Group AG 4.375%, December 31, 2049 412,872 407,542 USD 554,000 UBS Group AG 6.875%, December 31, 2049 745,658 783,567 USD 183,000 UBS Group AG, FRN, 3.875%, December 31, 2049 220,836 227,839 USD 84,000 UBS Group Funding Switzerland AG 7%, December 31, 2049 111,363 114,742 USD 80,000 United Airlines Inc., 4.375%, April 15, 2026 100,148 102,763 USD 107,000 United Airlines Inc., 4.625%, April 15, 2029 133,948 137,446 USD 283,000 United Shore Financial Services LLC 5.5%, November 15, 2025 376,816 364,301 USD 121,000 United Wholesale Mortgage LLC 5.5%, April 15, 2029 152,913 150,162 USD 222,000 UPC Broadband Finco B.V., 4.875%, July 15, 2031 280,165 276,169 USD 756,000 USB Realty Corp., FRN, 1.33075%, December 29, 2049 803,772 733,312 USD 8,662 USI Inc., Term Loan B, Private Placement, Variable Rate, May 16, 2024 11,573 10,651 USD 368,000 Velvet Energy Ltd., 9%, September 22, 2023 473,228 456,174 367,000 Vesta Energy Corp., 8.125%, July 24, 2023 365,850 293,600 USD 147,000 Virgin Media Secured Finance PLC 4.5%, August 15, 2030 195,353 183,816 USD 169,000 Virgin Media Secured Finance PLC 5.5%, May 15, 2029 227,812 225,404 USD 505,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, May 15, 2027 659,656 674,170 USD 302,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.5%, March 01, 2025 401,409 404,043 USD 73,000 Wynn Macau Ltd., 5.625%, August 26, 2028 95,465 94,620 USD 231,000 Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, April 15, 2025 323,712 309,236 USD 414,000 XHR L.P., 4.875%, June 01, 2029 506,434 530,516 USD 19,000 Ziggo Bond Co. B.V., 5.125%, February 28, 2030 25,251 24,153 USD 376,309 Zyla Life Sciences 13%, January 31, 2024 445,993 461,809 149,310,031 150,724,074 11.33

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

Semi-Annual Financial Statements - June 30, 2021 – 69 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

REITS 35,549 Alexandria Real Estate Equities Inc. 6,358,693 8,017,485 201,454 Allied Properties Real Estate Investment Trust 6,679,615 9,075,503 264,447 American Homes 4 Rent 8,306,296 12,735,389 72,395 Americold Realty Trust 3,058,880 3,396,699 77,208 Apartment Income REIT Corp. 3,808,780 4,539,395 27,668 Camden Property Trust 3,374,626 4,550,227 72,721 Canadian Apartment Properties REIT 3,634,356 4,226,545 428,267 Choice Properties Real Estate Investment Trust 4,723,248 6,119,935 107,309 Dream Industrial Real Estate Investment Trust 1,192,969 1,639,682 433,000 Embassy Office Parks REIT 2,586,146 2,529,125 4,098 Equinix Inc. 3,540,433 4,077,122 91,494 Invitation Homes Inc. 3,380,730 4,229,291 104,893 Prologis Inc. 11,463,914 15,541,967 11,148 SBA Communications Corp. 4,159,653 4,404,145 66,268,339 85,082,510 6.40 PREFERRED SHARES 7,700 BCE Inc., Preferred 2.7%, Series AJ 113,796 141,256 5,650 BCE Inc., Preferred 4.4%, Series AF 16 83,805 111,644 3,700 BCE Inc., Preferred 5.55%, Series 19 53,571 67,821 14,900 BCE Inc., Preferred, Series 17 227,515 275,650 4,200 BCE Inc., Preferred, Series AB 64,386 76,398 2,900 Brookfield Renewable Power Preferred Equity Inc., Preferred 5%, Series 5 57,653 73,124 7,300 Brookfield Renewable Power Preferred Equity Inc., Preferred 5%, Series 6 145,314 182,135 2,400 Canadian Utilities Ltd., Preferred 4.9%, Series BB 55,272 61,176 7,000 Capital Power Corp., Preferred 5.75%, Series 9 175,000 180,600 28,197 Citigroup Capital XIII, Preferred 7.875% 966,867 975,191 14,770 GMAC Capital Trust, Preferred 8.125%, Series 2 456,540 463,399 3,100 Great-West Lifeco Inc., Preferred 4.85%, Series H 70,680 77,779 4,800 Intact Financial Corp., Preferred 5.3%, Series 6 114,768 126,480 4,900 Intact Financial Corp., Preferred 5.4%, Series 9 122,500 133,427 7,400 Pembina Pipeline Corp., Preferred 4.9%, Series 21 185,000 188,256 14,000 Pembina Pipeline Corp., Preferred 5.25%, Series 23 350,000 363,860 5,400 Power Corporation of Canada, Preferred 5%, Series D 121,662 137,754 1,000 Sun Life Financial Inc., Preferred 4.45%, Series 4 20,436 25,230 21,700 Synchrony Financial, Preferred 5.625%, Series A 712,518 735,967 4,097,283 4,397,147 0.33 WARRANTS 4,357 Assertio Holdings Inc., Warrants 55,428 8,417 1,005 California Resources Corp., Warrants (27 October 2024) - 9,568 16,300 Canadian International Oil Corp., Warrants (31 December 2049) 38 - 15,212 Highland Therapeutics Inc., Warrants (28 February 2024) - - 319 Skillsoft Inc., Class A, Warrants (27 August 2025) - - 638 Skillsoft Inc., Class B, Warrants (27 August 2025) - - 55,466 17,985 0.00 Commissions and other portfolio transaction costs (240,464) Total Investment Portfolio before Derivative Instruments 1,010,656,331 1,140,319,177 85.73 Foreign Currency Forward Contract(s) (see Schedule A) (3,814,004) (0.29) Total Investment Portfolio 1,010,656,331 1,136,505,173 85.44 Other Net Assets (Liabilities) 193,562,074 14.56 Net Assets Attributable to Holders of Redeemable Units 1,330,067,247 100.00

Principal amounts stated in: GBP British Pound EUR European Currency USD U.S. Dollar

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

Semi-Annual Financial Statements - June 30, 2021 – 70 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

Schedule A Foreign Currency Forward 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 July 20, 2021 CAD 110,515 USD 88,041 1.26 1,379 Bank of Montreal A-1 August 18, 2021 CAD 1,125,028 USD 921,297 1.22 (17,014) Bank of Montreal A-1 August 18, 2021 CAD 9,863,921 USD 8,077,666 1.22 (149,170) Bank of Montreal A-1 September 15, 2021 CAD 10,580,720 USD 8,758,548 1.21 (276,350) Canadian Imperial Bank of Commerce A-1 July 20, 2021 CAD 132,597 USD 105,650 1.26 1,633 Canadian Imperial Bank of Commerce A-1 August 18, 2021 CAD 1,653,575 USD 1,339,760 1.23 (7,199) Canadian Imperial Bank of Commerce A-1 July 20, 2021 USD 6,240,000 CAD 7,548,017 0.83 187,067 Canadian Imperial Bank of Commerce A-1 September 13, 2021 CAD 566,785 AUD 604,000 0.94 5,105 Canadian Imperial Bank of Commerce A-1 September 13, 2021 CAD 25,557 GBP 15,000 1.70 (168) Canadian Imperial Bank of Commerce A-1 September 13, 2021 CAD 203,470 GBP 119,000 1.71 (611) Canadian Imperial Bank of Commerce A-1 August 18, 2021 CAD 14,498,068 USD 11,746,631 1.23 (63,118) Canadian Imperial Bank of Commerce A-1 August 18, 2021 CAD 7,715,351 USD 6,373,000 1.21 (184,615) Canadian Imperial Bank of Commerce A-1 September 15, 2021 CAD 10,566,680 USD 8,758,548 1.21 (290,385) Citigroup Inc. A-2 July 20, 2021 CAD 111,202 USD 88,041 1.26 2,066 Citigroup Inc. A-2 August 18, 2021 CAD 1,435,401 USD 1,172,560 1.22 (18,108) Citigroup Inc. A-2 September 13, 2021 CAD 7,701,696 EUR 5,228,000 1.47 5,210 Citigroup Inc. A-2 September 13, 2021 CAD 216,166 GBP 126,000 1.72 79 Citigroup Inc. A-2 August 18, 2021 CAD 12,585,181 USD 10,280,666 1.22 (158,761) Goldman Sachs Group Inc. A-2 July 20, 2021 CAD 110,496 USD 88,041 1.26 1,360 Goldman Sachs Group Inc. A-2 August 18, 2021 CAD 1,027,540 USD 837,543 1.23 (10,681) Goldman Sachs Group Inc. A-2 September 13, 2021 AUD 929,220 CAD 870,157 1.07 (6,044) Goldman Sachs Group Inc. A-2 September 13, 2021 CAD 226,118 GBP 132,000 1.71 (258) Goldman Sachs Group Inc. A-2 September 13, 2021 CAD 252,820 GBP 147,000 1.72 719 Goldman Sachs Group Inc. A-2 August 18, 2021 CAD 9,009,176 USD 7,343,333 1.23 (93,645) Goldman Sachs Group Inc. A-2 September 15, 2021 CAD 8,264,962 USD 6,840,978 1.21 (215,095) HSBC Holdings PLC A-1 August 18, 2021 CAD 1,014,713 USD 837,543 1.21 (23,505) HSBC Holdings PLC A-1 September 13, 2021 CAD 241,809 GBP 141,000 1.71 (2) HSBC Holdings PLC A-1 July 20, 2021 CAD 7,189,483 USD 5,941,000 1.21 (174,961) HSBC Holdings PLC A-1 August 18, 2021 CAD 8,896,705 USD 7,343,333 1.21 (206,087) HSBC Holdings PLC A-1 September 15, 2021 CAD 21,190,781 USD 17,517,096 1.21 (523,370) JPMorgan Chase & Co. A-2 July 20, 2021 CAD 82,702 USD 65,910 1.25 1,000 JPMorgan Chase & Co. A-2 July 20, 2021 CAD 9,591,211 USD 7,950,398 1.21 (264,073) JPMorgan Chase & Co. A-2 August 18, 2021 CAD 1,444,755 USD 1,172,560 1.23 (8,756) JPMorgan Chase & Co. A-2 August 18, 2021 USD 7,950,398 CAD 9,591,342 0.83 263,957 JPMorgan Chase & Co. A-2 September 13, 2021 CAD 1,762,961 CHF 1,313,000 1.34 207 JPMorgan Chase & Co. A-2 September 13, 2021 CAD 507,210 GBP 297,000 1.71 (2,136) JPMorgan Chase & Co. A-2 August 18, 2021 CAD 12,667,189 USD 10,280,666 1.23 (76,774) JPMorgan Chase & Co. A-2 September 15, 2021 CAD 9,512,322 USD 7,882,693 1.21 (259,038) Morgan Stanley A-2 July 20, 2021 CAD 111,139 USD 88,041 1.26 2,002 Morgan Stanley A-2 September 13, 2021 CAD 122,639 CHF 91,000 1.35 468 Morgan Stanley A-2 September 15, 2021 CAD 12,696,549 USD 10,510,257 1.21 (331,936) Royal Bank of Canada A-1+ July 20, 2021 CAD 155,281 USD 123,258 1.26 2,490 Royal Bank of Canada A-1+ July 20, 2021 CAD 5,313,943 USD 4,402,619 1.21 (143,527) Royal Bank of Canada A-1+ August 18, 2021 CAD 1,438,426 USD 1,172,560 1.23 (15,083) Royal Bank of Canada A-1+ September 13, 2021 AUD 892,780 CAD 836,063 1.07 (5,837) Royal Bank of Canada A-1+ September 13, 2021 CAD 555,106 EUR 376,000 1.48 1,571 Royal Bank of Canada A-1+ September 13, 2021 CAD 4,052,583 HKD 26,151,000 0.15 (123,261) Royal Bank of Canada A-1+ August 18, 2021 CAD 12,611,705 USD 10,280,666 1.23 (132,244)

‡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.

Semi-Annual Financial Statements - June 30, 2021 – 71 – Enhanced Income Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

Credit Rating of Currency Currency Contract(s) Unrealized Counterparty the Counterparty‡ Settlement Date Buy Position Sell Position Rate Gain (Loss) ($) Royal Bank of Canada A-1+ September 15, 2021 CAD 9,512,361 USD 7,882,693 1.21 (258,998) Toronto-Dominion Bank A-1+ August 18, 2021 CAD 601,474 USD 496,575 1.21 (14,080) Toronto-Dominion Bank A-1+ July 20, 2021 USD 6,760,000 CAD 8,176,876 0.83 202,798 Toronto-Dominion Bank A-1+ September 13, 2021 CAD 8,028,017 AUD 8,614,399 0.93 17,213 Toronto-Dominion Bank A-1+ August 18, 2021 CAD 5,273,548 USD 4,353,825 1.21 (123,450) Toronto-Dominion Bank A-1+ September 15, 2021 CAD 12,696,496 USD 10,510,257 1.21 (331,988) Total Foreign Currency Forward Contract(s) Value (3,814,004)

‡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.

Semi-Annual Financial Statements - June 30, 2021 – 72 – Enhanced Income Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 696 (696) - - Derivative assets - Swaps and swaptions - - - - Total 696 (696) - - Derivative liabilities - Foreign currency forward contracts (4,510) 696 - (3,814) Derivative liabilities - Swaps and swaptions - - - - Total (4,510) 696 - (3,814) 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 3,062 (194) - 2,868 Derivative assets - Swaps and swaptions - - - - Total 3,062 (194) - 2,868 Derivative liabilities - Foreign currency forward contracts (194) 194 - - Derivative liabilities - Swaps and swaptions - - - - Total (194) 194 - -

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

Semi-Annual Financial Statements - June 30, 2021 – 73 – Enhanced Income Pool Fund Specific Notes to Financial Statements (unaudited)

Interest in Unconsolidated Structured Entities (Note 2)

The following tables present the Fund’s interest in Unconsolidated Structured Entities. as at June 30, 2021 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 $000’s) (%) CI DoubleLine Core Plus Fixed Income US$ Fund 178,047 45,983 25.8 CI High Yield Bond Fund 204,249 40,199 19.7 CI Adams Street Global Private Markets Fund 36,028 4,466 12.4 CI Gold Bullion Fund 505,796 38,981 7.7 CI Precious Metals Fund 373,698 25,614 6.9 Real Estate Investment Pool 773,497 29,108 3.8 CI Global Infrastructure Private Pool 249,850 9,484 3.8 CI Munro Alternative Global Growth Fund 2,595,486 90,661 3.5 CI Global Financial Sector ETF 821,180 24,899 3.0 CI Preferred Share ETF 86,805 1,383 1.6 iShares Core S&P/TSX Capped Composite Index ETF 6,942,851 99,642 1.4 CI Income Fund 5,571,787 26,651 0.5 CI Galaxy Ethereum ETF 371,810 1,693 0.5 iShares Russell 1000 Value ETF 66,930,301 121,070 0.2 iShares Core MSCI EAFE ETF 119,001,531 118,909 0.1 iShares MSCI Japan ETF 14,000,343 19,861 0.1 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 $000’s) (%) CI DoubleLine Core Plus Fixed Income US$ Fund 169,737 39,673 23.4 Signature High Yield Bond Fund 198,034 37,368 18.9 Real Estate Investment Pool 740,542 53,489 7.2 CI Munro Alternative Global Growth Fund 1,878,593 87,613 4.7 Sentry Precious Metals Fund 385,663 18,007 4.7 CI Global Infrastructure Private Pool 169,200 7,395 4.4 CI First Asset Global Financial Sector ETF 542,267 16,582 3.1 CI First Asset Preferred Share ETF 79,008 1,022 1.3 iShares Core S&P/TSX Capped Composite Index ETF 7,277,210 62,103 0.9 CI Income Fund 5,548,026 23,209 0.4 iShares Core MSCI EAFE ETF 136,057,428 69,647 0.1 iShares Russell 1000 Value ETF 71,315,733 66,062 0.1 iShares 20+ Year Treasury Bond ETF 30,974,236 39,667 0.1 SPDR S&P 500 ETF Trust 539,825,880 87,079 - SPDR Gold Trust 116,326,295 33,062 -

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

Semi-Annual Financial Statements - June 30, 2021 – 74 – Enhanced Income Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 114 139 Soft dollar commissions† 33 51

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 176,101 273,242 24,420,262 24,505,030 4,556,268 3,702,001 16,531,051 15,840,154 Redeemable units issued for cash 20,083 8,700 7,778,656 3,446,640 2,110,540 1,029,569 5,481,919 2,858,393 Redeemable units issued for reinvested distributions 136 822 63,892 107,373 44,691 35,611 248,748 203,340 Redeemable units redeemed (41,593) (50,596) (3,382,759) (3,953,896) (778,688) (683,534) (2,732,686) (2,980,572) Number of redeemable units at the end of period 154,727 232,168 28,880,051 24,105,147 5,932,811 4,083,647 19,529,032 15,921,315

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 21,986 23,522 5,670,000 6,262,041 Redeemable units issued for cash 4,732 3,452 2,036,675 1,689,193 Redeemable units issued for reinvested distributions 148 188 79,841 66,000 Redeemable units redeemed (3,326) (3,491) (895,835) (2,666,743) Number of redeemable units at the end of period 23,540 23,671 6,890,681 5,350,491

Semi-Annual Financial Statements - June 30, 2021 – 75 – Enhanced Income Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) Related Party Investments (Note 9) as at June 30, 2021 (%) as at June 30 (in $000’s)

Annual Annual management administration Investments 2021 fee rate: fee rate: CI Adams Street Global Private Markets Fund (Series I) 4,466 Series A 2.000 0.20 CI DoubleLine Core Plus Fixed Income US$ Fund (Series IH) 45,983 Series E 1.650 0.20 CI Galaxy Ethereum ETF (C$ Unhedged Series) 1,693 Series F 0.650 0.20 CI Global Financial Sector ETF (Common Units) 24,899 Series I Paid directly by investor Paid directly by investor CI Global Infrastructure Private Pool (ETF C$ Series) 9,484 Series OF 1.000 0.20 CI Gold Bullion Fund (US$ Series) 38,981 Series W Paid directly by investor 0.14 CI High Yield Bond Fund (Series I) 40,199 CI Income Fund (Series I) 26,651 CI Munro Alternative Global Growth Fund (Series I) 90,661 CI Precious Metals Fund (Series I) 25,614 Securities Lending (Note 6) CI Preferred Share ETF (Common Units) 1,383 as at June 30 (in $000’s) Real Estate Investment Pool (Series I) 29,108

2021 2020 Investments 2020 Loaned 127,138 88,833 CI Income Fund (Series I) 171,398 Collateral (non-cash) 129,681 90,610 CI Munro Alternative Global Growth Fund (Series I) 81,873 Real Estate Investment Pool (Series I) 54,961 Signature High Yield Bond Fund (Series I) 32,866 CI DoubleLine Core Plus Fixed Income US$ Fund (Series IH) 29,818 Securities Lending Revenue Reconciliation (Note 6) CI First Asset Global Financial Sector ETF (Common Units) 11,392 for the periods ended June 30 (in $000’s) CI First Asset Preferred Share ETF (Common Units) 878

2021 2020 Gross securities lending revenue 136 117 Charges (20) (18) Securities lending revenue 116 99 Charges as a % of gross securities lending revenue 14.7 15.4

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

Semi-Annual Financial Statements - June 30, 2021 – 76 – Enhanced Income Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada. Concentration Risk For Concentration Risk as at June 30, 2021, refer to the Schedule of Investment Portfolio. As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable to holders The table below summarizes the Fund’s exposure to concentration risk. of redeemable units of the Fund would have increased or decreased, respectively, by approximately $98,960,000 (December 31, 2020 - $84,776,000). In practice, actual results may differ from this analysis as at December 31, 2020 and the difference may be material. Categories Net Assets (%) Exchange-Traded Fund(s) 35.8 Fund(s) 25.4 Currency Risk Common Equities 13.5 The tables below summarize the Fund’s exposure to currency risk. Corporate Bonds 11.7 Other Net Assets (Liabilities) 7.2 as at June 30, 2021~ REITS 5.5 Financial Instruments Net Net Preferred Shares 0.6 Exposure Derivatives Exposure Assets Foreign Currency Forward Contract(s) 0.3 Currency (in $000’s) (in $000’s) (in $000’s) (%) Warrants 0.0 U.S. Dollar 563,862 (199,181) 364,681 27.4 Total 100.0 Japanese Yen 33,384 - 33,384 2.5 Australian Dollar 17,096 (6,876) 10,220 0.8 Euro 16,734 (8,237) 8,497 0.6 Credit Risk Hong Kong Dollar 8,535 (4,175) 4,360 0.3 The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, Indian Rupee 2,529 - 2,529 0.2 with the following credit ratings, as per the tables below. Swiss Franc 3,840 (1,881) 1,959 0.1 British Pound 2,754 (1,675) 1,079 0.1 as at June 30, 2021 Total 648,734 (222,025) 426,709 32.0 Credit Rating^* Net Assets (%) BBB/Baa/B++ 1.2 BB/Ba/B+ 5.0 as at December 31, 2020~ B 3.6 Financial Instruments Net Net CCC/Caa/C++ 0.9 Exposure Derivatives Exposure Assets Not Rated 0.9 Currency (in $000’s) (in $000’s) (in $000’s) (%) Total 11.6 U.S. Dollar 518,158 (158,406) 359,752 34.3 Japanese Yen 15,888 - 15,888 1.5 Australian Dollar 14,740 (7,759) 6,981 0.7 as at December 31, 2020 Euro 12,024 (5,895) 6,129 0.6 Credit Rating^* Net Assets (%) Hong Kong Dollar 7,637 (3,702) 3,935 0.4 AAA/Aaa/A++ 0.1 Indian Rupee 2,112 - 2,112 0.2 AA/Aa/A+ 0.2 Swiss Franc 3,058 (1,467) 1,591 0.2 A 0.1 British Pound 51 (30) 21 0.0 BBB/Baa/B++ 1.4 Total 573,668 (177,259) 396,409 37.9 BB/Ba/B+ 5.7 B 3.4 ~Includes monetary and non-monetary instruments, if any. CCC/Caa/C++ 0.9 Not Rated 0.8 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - Total 12.7 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, ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s respectively, by approximately $42,671,000 (December 31, 2020 - $39,641,000). In practice, the actual Investors Service or Dominion Bond Rating Service, respectively. results may differ from this analysis and the difference may be material. *Refer to Note 10 for Credit Rating Chart reference.

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

Semi-Annual Financial Statements - June 30, 2021 – 77 – Enhanced Income Pool Fund Specific Notes to Financial Statements (unaudited)

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

as at June 30, 2021 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 77 15,348 37,172 98,127 150,724

as at December 31, 2020 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 73,654 12,088 30,260 79,317 195,319

As at June 30, 2021, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2020 - 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 $934,000 (December 31, 2020 - $2,269,000). In practice, the 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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 274,879 - 16,094 290,973 Bonds - 148,762 1,962 150,724 Fund(s) 262,682 - - 262,682 Exchange-Traded Fund(s) 435,922 - - 435,922 Warrant(s) 10 8 - 18 Foreign currency forward contract(s), net - (3,814) - (3,814) Total 973,493 144,956 18,056 1,136,505

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

There were no transfers between Level 1 and 2 and level 1 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 78 – Enhanced Income Pool Fund Specific Notes to Financial Statements (unaudited)

Level 3 Reconciliation The tables below summarize the movement in financial instruments classified as Level 3. for the period ended June 30, 2021 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2020 Purchases Sales In (Out) (Loss) (Loss)* Jun. 30, 2021 (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 10,598 - (274) 13,129 (8,998) 58 1,581 16,094 Bonds 1,821 342 (98) - - (5) (98) 1,962 Total 12,419 342 (372) 13,129 (8,998) 53 1,483 18,056

*Change in unrealized gain (loss) related to investments held at June 30, 2021 was $1,459,900.

During the period ended June 30, 2021, investments with a fair value of $13,129,000 were transferred out of Level 2 into Level 3 as observable market inputs were no longer available for these investments and investments with a fair value of $8,998,000 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments. for the year ended December 31, 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 826 9,501 (514) 20 (55) 171 649 10,598 Bonds 2,644 272 (53) - (131) 2 (913) 1,821 Total 3,470 9,773 (567) 20 (186) 173 (264) 12,419

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

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

The following section discusses the significant unobservable inputs for individually material Level 3 positions and quantitatively outlines the inputs used to calculate fair value in accordance with IFRS 13, Fair Value Measurement.

The table below presents the valuation technique and the nature of significant inputs used to determine the fair value of significant Level 3 investments: as at June 30, 2021 Asset Type Fair Value Valuation Techniques Significant Unobservable Inputs Private Investment Fund $15,208,460 Net asset value as reported by underlying fund’s investment manager Net asset value

The above investment is valued using the valuation techniques detailed below:

Net asset value: The valuation utilizes net asset value as reported by the underlying fund’s investment manager.

For investment valued based on recent transactions, a sensitivity analysis to show the potential effect of using reasonably possible alternative assumptions is not applicable.

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

Semi-Annual Financial Statements - June 30, 2021 – 79 – Canadian Equity Alpha Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 761 987 11.35 10.20 67,095 96,759 Current assets Series E 205,605 227,960 11.43 10.26 17,984,560 22,222,104 Investments 477,609 512,264 Series F 20,889 21,017 11.57 10.36 1,805,103 2,029,500 Investments pledged as collateral - - Series I 174,250 192,859 11.73 10.46 14,858,096 18,432,820 Cash 366 846 Series OF 6 6 11.49 10.30 492 565 Unrealized gain on futures and foreign currency Series W 77,073 70,513 11.71 10.45 6,581,586 6,746,787 forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 13 - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 316 363 Receivable for unit subscriptions 893 689 479,197 514,162 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 37 39 Payable for unit redemptions 576 781 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 613 820 Net assets attributable to holders of redeemable units 478,584 513,342

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

Semi-Annual Financial Statements - June 30, 2021 – 80 – CIG - 9682 Canadian Equity Alpha Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 91 (306) 1.16 (1.96) 78,796 156,365 Net gain (loss) on investments and derivatives Series E 23,234 (40,161) 1.18 (1.86) 19,563,357 21,629,948 Dividends - - Series F 2,340 (3,113) 1.25 (1.77) 1,864,275 1,760,366 Interest for distribution purposes 1 45 Series I 21,832 (31,362) 1.34 (1.75) 16,248,010 17,963,211 Income distributions from investments 5,443 3,464 Series OF 1 (6) 1.25 (3.22) 527 1,710 Capital gain distributions from investments - - Series W 9,154 (8,644) 1.37 (1.09) 6,657,585 7,892,041 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 4,162 (8,301) Change in unrealized appreciation (depreciation) in value of investments and derivatives 49,667 (76,240) Total net gain (loss) on investments and derivatives 59,273 (81,032) Other income Foreign exchange gain (loss) on cash - - Commitment fee income - - Securities lending revenue (Note 6) - - Fees rebate 28 24 Total other income 28 24 Total income 59,301 (81,008) Expenses Management fees (Note 5) 2,094 2,015 Administration fees (Note 5) 281 271 Commissions and other portfolio transaction costs - - Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes - - Harmonized sales tax 273 297 Other expenses - - Total expenses 2,649 2,584 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 56,652 (83,592)

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

Semi-Annual Financial Statements - June 30, 2021 – 81 – Canadian Equity Alpha Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 987 1,776 227,960 219,165 21,017 16,438 192,859 179,665 Increase (decrease) in net assets attributable to holders of redeemable units 91 (306) 23,234 (40,161) 2,340 (3,113) 21,832 (31,362) Distributions to holders of redeemable units From net investment income (2) - (842) (330) (130) (66) (1,695) (1,103) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (2) - (842) (330) (130) (66) (1,695) (1,103)

Redeemable unit transactions Proceeds from redeemable units issued 65 261 23,193 60,273 5,106 7,339 26,199 58,671 Reinvestment of distributions to holders of redeemable units 2 - 842 330 130 66 1,695 1,103 Redemption of redeemable units (382) (404) (68,782) (34,918) (7,574) (3,443) (66,640) (36,892) Net increase (decrease) from redeemable unit transactions (315) (143) (44,747) 25,685 (2,338) 3,962 (38,746) 22,882 Net increase (decrease) in net assets attributable to holders of redeemable units (226) (449) (22,355) (14,806) (128) 783 (18,609) (9,583) Net assets attributable to holders of redeemable units at the end of period 761 1,327 205,605 204,359 20,889 17,221 174,250 170,082

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 6 28 70,513 72,196 513,342 489,268 Increase (decrease) in net assets attributable to holders of redeemable units 1 (6) 9,154 (8,644) 56,652 (83,592) Distributions to holders of redeemable units From net investment income - - (722) (423) (3,391) (1,922) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - (722) (423) (3,391) (1,922)

Redeemable unit transactions Proceeds from redeemable units issued - 2 12,512 66,304 67,075 192,850 Reinvestment of distributions to holders of redeemable units - - 722 423 3,391 1,922 Redemption of redeemable units (1) (19) (15,106) (63,705) (158,485) (139,381) Net increase (decrease) from redeemable unit transactions (1) (17) (1,872) 3,022 (88,019) 55,391 Net increase (decrease) in net assets attributable to holders of redeemable units - (23) 6,560 (6,045) (34,758) (30,123) Net assets attributable to holders of redeemable units at the end of period 6 5 77,073 66,151 478,584 459,145

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

Semi-Annual Financial Statements - June 30, 2021 – 82 – Canadian Equity Alpha Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 56,652 (83,592) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (4,162) 8,301 Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs - - Change in unrealized (appreciation) depreciation in value of investments and derivatives (49,667) 76,240 Proceeds from sale and maturity of investments and derivatives 106,956 45,959 Purchase of investments and derivatives (12,984) (96,677) Non-cash distributions from investments (5,443) (3,464) Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (13) (11) Net cash from (used in) operating activities 91,339 (53,244)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 58,595 184,729 Amounts paid on redemption of redeemable units (150,414) (131,653) Net cash from (used in) financing activities (91,819) 53,076

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (480) (168) Cash (bank overdraft), beginning of period 846 1,293 Cash (bank overdraft), end of period 366 1,125

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 1 45 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.

Semi-Annual Financial Statements - June 30, 2021 – 83 – Canadian Equity Alpha Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

Average Cost Fair Value % of Net Number of Shares Description ($) ($) Assets

UNDERLYING FUND(S) 23,616,670 Canadian Equity Alpha Corporate Class (I Shares) 425,819,078 477,609,355 99.80 Total Investment Portfolio 425,819,078 477,609,355 99.80 Other Net Assets (Liabilities) 974,257 0.20 Net Assets Attributable to Holders of Redeemable Units 478,583,612 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 84 – Canadian Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Interest in Unconsolidated Structured Entities (Note 2)

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

as at June 30, 2021 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) (%) Canadian Equity Alpha Corporate Class 1,155,766 477,609 41.3 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) (%) Canadian Equity Alpha Corporate Class 1,159,925 512,264 44.2

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

Semi-Annual Financial Statements - June 30, 2021 – 85 – Canadian Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions - - Soft dollar commissions† - -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 96,759 160,921 22,222,104 19,842,240 2,029,500 1,486,810 18,432,820 16,232,373 Redeemable units issued for cash 5,908 30,499 2,174,634 6,822,633 470,813 814,422 2,408,895 6,588,986 Redeemable units issued for reinvested distributions 225 44 77,839 44,356 11,952 8,837 153,798 147,824 Redeemable units redeemed (35,797) (43,059) (6,490,017) (3,901,038) (707,162) (395,311) (6,137,417) (4,134,636) Number of redeemable units at the end of period 67,095 148,405 17,984,560 22,808,191 1,805,103 1,914,758 14,858,096 18,834,547

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 565 2,490 6,746,787 6,523,711 Redeemable units issued for cash 9 215 1,142,489 7,962,565 Redeemable units issued for reinvested distributions 3 5 65,584 56,822 Redeemable units redeemed (85) (2,127) (1,373,274) (7,215,411) Number of redeemable units at the end of period 492 583 6,581,586 7,327,687

Semi-Annual Financial Statements - June 30, 2021 – 86 – Canadian Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 2.500 0.20 Series E 1.900 0.20 Series F 0.900 0.20 Series I Paid directly by investor Paid directly by investor Series OF 1.500 0.20 Series W Paid directly by investor 0.14

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned - - Collateral (non-cash) - -

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue - - Charges - - Securities lending revenue - - Charges as a % of gross securities lending revenue - -

Related Party Investments (Note 9) as at June 30 (in $000’s)

Investments 2021 Canadian Equity Alpha Corporate Class (I Shares) 477,609

Investments 2020 Canadian Equity Alpha Corporate Class (I Shares) 457,752

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

Semi-Annual Financial Statements - June 30, 2021 – 87 – Canadian Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the other price risk exposure of the Underlying Fund. Concentration Risk The tables below summarize the Underlying Fund’s exposure to concentration risk. As at June 30, 2021 and December 31, 2020, the Underlying Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada. as at June 30, 2021 Categories Net Assets (%) As at June 30, 2021, had the fair value of equities in the investment portfolio of the Underlying Fund Information Technology 24.1 increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, Consumer Discretionary 23.2 net assets attributable to holders of redeemable units of the Fund would have increased or decreased, Financials 18.5 respectively, by approximately $46,137,000 (December 31, 2020 - $49,177,000). In practice, actual results Communication Services 12.0 may differ from this analysis and the difference may be material. Health Care 6.0 Industrials 5.3 Consumer Staples 4.5 Currency Risk Cash & Cash Equivalents 3.7 As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to currency risk. Utilities 2.9 Other Net Assets (Liabilities) 0.2 As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the currency risk exposure of the Foreign Currency Forward Contract(s) (0.4) Underlying Fund. Total 100.0 The tables below summarize the Underlying Fund’s exposure to currency risk. as at December 31, 2020 as at June 30, 2021~ Categories Net Assets (%) Currency Net Assets (%) Consumer Discretionary 24.3 U.S. Dollar 9.7 Information Technology 23.9 Total 9.7 Financials 19.0 Communication Services 8.1 Health Care 7.1 as at December 31, 2020~ Consumer Staples 5.8 Currency Net Assets (%) Industrials 4.9 U.S. Dollar 14.4 Cash & Cash Equivalents 3.1 Total 14.4 Utilities 2.9 Foreign Currency Forward Contract(s) 0.7 ~Includes monetary and non-monetary instruments, if any. Other Net Assets (Liabilities) 0.2 Total 100.0 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - 10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have indirectly Credit Risk decreased or increased, respectively, by approximately $4,633,000 (December 31, 2020 - $7,377,000). As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to credit risk. In practice, the actual results may differ from this analysis and the difference may be material.

As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the credit risk exposure of the Underlying Fund. Interest Rate Risk As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to interest As at June 30, 2021, the Underlying Fund’s exposure to credit risk through derivative instruments was rate risk. insignificant. As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the interest rate risk exposure The Underlying Fund was invested in fixed income securities, preferred securities and derivative of the Underlying Fund. instruments, if any, with the following credit ratings, as per the table below. As at June 30, 2021 and December 31, 2020, the Underlying Fund did not have a significant exposure to as at December 31, 2020 interest rate risk as substantially all of its assets were invested in equities and derivatives. Credit Rating^* Net Assets (%) AAA/Aaa/A++ 0.2 AA/Aa/A+ 0.6 Total 0.8

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

Semi-Annual Financial Statements - June 30, 2021 – 88 – Canadian Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Underlying Fund(s) 477,609 - - 477,609 Total 477,609 - - 477,609

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) Underlying Fund(s) 512,264 - - 512,264 Total 512,264 - - 512,264

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 89 – Canadian Equity Growth Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 1,408 1,552 25.86 22.98 54,469 67,552 Current assets Series E 197,796 9,760 37.39 33.13 5,290,538 294,609 Investments 886,677 294,913 Series F 28,291 4,996 11.99 10.57 2,358,983 472,458 Investments pledged as collateral - - Series I 607,452 237,809 47.42 41.59 12,810,409 5,718,566 Cash 2,019 3,719 Series OF 64 78 26.87 23.76 2,368 3,265 Unrealized gain on futures and foreign currency Series W 49,488 45,883 60.57 53.15 817,068 863,314 forward contracts 808 - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 12 - Cash collateral on deposit for short sale - - Dividends receivable 516 885 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 99 - Receivable for unit subscriptions 667 864 890,798 300,381 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 3,972 - 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 1,588 1 Payable for unit redemptions 739 302 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 6,299 303 Net assets attributable to holders of redeemable units 884,499 300,078

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

Semi-Annual Financial Statements - June 30, 2021 – 90 – CIG - 9608 Canadian Equity Growth Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 176 (317) 2.98 (3.39) 59,160 93,590 Net gain (loss) on investments and derivatives Series E 17,496 (1,415) 5.11 (4.85) 3,423,137 291,956 Dividends 4,926 5,076 Series F 2,598 (538) 1.64 (1.43) 1,590,699 380,100 Interest for distribution purposes 4 71 Series I 64,937 (31,511) 6.56 (6.06) 9,908,002 5,198,083 Income distributions from investments - - Series OF 9 (54) 3.13 (7.98) 2,878 6,727 Capital gain distributions from investments - - Series W 6,405 (4,111) 7.79 (4.15) 822,438 991,630 Derivative income (loss) 333 109 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 42,834 (11,823) Change in unrealized appreciation (depreciation) in value of investments and derivatives 45,389 (30,956) Total net gain (loss) on investments and derivatives 93,486 (37,523) Other income Foreign exchange gain (loss) on cash 297 (7) Commitment fee income - - Securities lending revenue (Note 6) 24 28 Fees rebate 15 1 Total other income 336 22 Total income 93,822 (37,501) Expenses Management fees (Note 5) 1,243 123 Administration fees (Note 5) 172 47 Commissions and other portfolio transaction costs 535 147 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes 101 109 Harmonized sales tax 149 18 Other expenses - - Total expenses 2,201 445 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 91,621 (37,946)

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

Semi-Annual Financial Statements - June 30, 2021 – 91 – Canadian Equity Growth Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1,552 2,183 9,760 9,555 4,996 3,520 237,809 210,545 Increase (decrease) in net assets attributable to holders of redeemable units 176 (317) 17,496 (1,415) 2,598 (538) 64,937 (31,511) Distributions to holders of redeemable units From net investment income (5) (10) (737) (68) (109) (46) (2,728) (3,518) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (5) (10) (737) (68) (109) (46) (2,728) (3,518)

Redeemable unit transactions Proceeds from redeemable units issued 64 308 182,099 2,587 23,101 1,604 348,381 70,108 Reinvestment of distributions to holders of redeemable units 5 10 737 68 109 46 2,728 3,518 Redemption of redeemable units (384) (315) (11,559) (2,066) (2,404) (674) (43,675) (36,061) Net increase (decrease) from redeemable unit transactions (315) 3 171,277 589 20,806 976 307,434 37,565 Net increase (decrease) in net assets attributable to holders of redeemable units (144) (324) 188,036 (894) 23,295 392 369,643 2,536 Net assets attributable to holders of redeemable units at the end of period 1,408 1,859 197,796 8,661 28,291 3,912 607,452 213,081

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 78 241 45,883 48,206 300,078 274,250 Increase (decrease) in net assets attributable to holders of redeemable units 9 (54) 6,405 (4,111) 91,621 (37,946) Distributions to holders of redeemable units From net investment income - (1) (224) (710) (3,803) (4,353) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - (1) (224) (710) (3,803) (4,353)

Redeemable unit transactions Proceeds from redeemable units issued 10 11 8,027 30,668 561,682 105,286 Reinvestment of distributions to holders of redeemable units - 1 224 709 3,803 4,352 Redemption of redeemable units (33) (123) (10,827) (32,406) (68,882) (71,645) Net increase (decrease) from redeemable unit transactions (23) (111) (2,576) (1,029) 496,603 37,993 Net increase (decrease) in net assets attributable to holders of redeemable units (14) (166) 3,605 (5,850) 584,421 (4,306) Net assets attributable to holders of redeemable units at the end of period 64 75 49,488 42,356 884,499 269,944

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

Semi-Annual Financial Statements - June 30, 2021 – 92 – Canadian Equity Growth Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 91,621 (37,946) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (42,834) 11,823 Unrealized foreign exchange (gain) loss on cash (1) (4) Commissions and other portfolio transaction costs 535 147 Change in unrealized (appreciation) depreciation in value of investments and derivatives (45,389) 30,956 Proceeds from sale and maturity of investments and derivatives 843,615 52,727 Purchase of investments and derivatives (1,343,039) (88,571) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 369 (166) (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (12) - Net cash from (used in) operating activities (495,135) (31,034)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - (1) Proceeds from issuance of redeemable units 555,626 103,319 Amounts paid on redemption of redeemable units (62,192) (69,877) Net cash from (used in) financing activities 493,434 33,441

Unrealized foreign exchange gain (loss) on cash 1 4 Net increase (decrease) in cash (1,701) 2,407 Cash (bank overdraft), beginning of period 3,719 14,469 Cash (bank overdraft), end of period 2,019 16,880

Supplementary Information: Dividends received, net of withholding tax* 5,194 4,801 Interest received, net of withholding tax* 4 71 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.

Semi-Annual Financial Statements - June 30, 2021 – 93 – Canadian Equity Growth Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

FINANCIALS 577,000 Brookfield Asset Management Inc., Class A 29,225,686 36,489,480 3,979 Brookfield Asset Management Reinsurance Partners Ltd. 217,814 260,624 1,925,000 Element Fleet Management Corp. 25,661,973 27,835,500 180,000 Equitable Group Inc. 24,521,458 23,945,400 366,000 iA Financial Corp., Inc. 24,861,339 24,701,340 156,000 Intact Financial Corp. 23,747,853 26,271,960 313,000 KKR & Co., Inc. 18,367,218 22,984,864 87,000 Royal Bank of Canada 10,698,376 10,926,330 46,400 S&P Global Inc. 19,867,159 23,608,087 460,000 Sun Life Financial Inc. 29,595,091 29,403,200 206,763,967 226,426,785 25.60 INFORMATION TECHNOLOGY 35,500 Adobe Systems Inc. 20,031,034 25,771,616 1,030,000 Alphawave IP Group PLC 7,166,976 6,358,243 126,000 Kinaxis Inc. 18,339,981 20,546,820 190,000 Lightspeed POS Inc. 15,530,520 19,712,500 43,300 Mastercard Inc., Class A 20,245,662 19,596,134 130,000 Micron Technology Inc. 14,240,033 13,694,388 86,000 Microsoft Corp. 25,340,367 28,879,523 160,000 Nuvei Corp. (CAD) 12,108,787 16,233,600 16,600 NVIDIA Corp. 10,775,989 16,463,983 8,500 Shopify Inc. 12,708,940 15,409,395 156,488,289 182,666,202 20.65 HEALTH CARE 201,000 Baxter International Inc. 20,006,713 20,057,394 13,800 Intuitive Surgical Inc. 13,491,135 15,731,839 48,800 Teleflex Inc. 24,543,532 24,305,329 44,500 UnitedHealth Group Inc. 19,875,890 22,089,202 773,000 WELL Health Technologies Corp. 6,621,542 6,786,940 84,538,812 88,970,704 10.06 INDUSTRIALS 115,000 Boyd Group Services Inc. 25,425,626 25,941,700 210,000 CoStar Group Inc. 21,910,066 21,559,420 798,000 LifeWorks Inc. 26,391,885 26,669,160 223,000 Uber Technologies Inc. 15,313,939 13,854,743 89,041,516 88,025,023 9.95 CONSUMER DISCRETIONARY 7,400 Amazon.com Inc. 28,934,631 31,556,797 600,000 Aritzia Inc. 18,671,802 22,248,000 6,600 Booking Holdings Inc. 18,501,801 17,901,593 66,108,234 71,706,390 8.11 REAL ESTATE 152,000 Colliers International Group Inc. 20,188,057 21,100,640 19,000 Equinix Inc. 17,128,286 18,903,199 1,480,000 Tricon Capital Group Inc. 18,538,604 21,104,800 55,854,947 61,108,639 6.91 CONSUMER STAPLES 508,000 Alimentation Couche-Tard Inc., Class B 20,499,694 23,139,400 48,000 Estée Lauder Co., Inc. 17,283,866 18,926,058 514,000 Jamieson Wellness Inc. 18,381,615 17,373,200 56,165,175 59,438,658 6.72 COMMUNICATION SERVICES 9,650 Alphabet Inc., Class C 25,233,959 29,981,019 620,783 BBTV Holdings Inc. 6,644,387 4,960,056 116,500 Live Nation Entertainment Inc. 11,777,997 12,649,199 43,656,343 47,590,274 5.38

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

Semi-Annual Financial Statements - June 30, 2021 – 94 – Canadian Equity Growth Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

ENERGY 317,000 Enbridge Inc. 15,090,541 15,732,710 448,000 Keyera Corp. 13,352,668 14,922,880 365,000 Pembina Pipeline Corp. 14,205,014 14,377,350 42,648,223 45,032,940 5.09 UTILITIES 328,000 Brookfield Renewable Energy Partners L.P. 16,626,952 15,711,200 1.78 Commissions and other portfolio transaction costs (194,539) Total Investment Portfolio before Derivative Instruments 817,697,919 886,676,815 100.25 Foreign Currency Forward Contract(s) (see Schedule A) (3,164,217) (0.36) Total Investment Portfolio 817,697,919 883,512,598 99.89 Other Net Assets (Liabilities) 986,710 0.11 Net Assets Attributable to Holders of Redeemable Units 884,499,308 100.00

Schedule A Foreign Currency Forward 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 August 18, 2021 CAD 13,156,788 USD 10,774,229 1.22 (198,967) Bank of Montreal A-1 September 15, 2021 CAD 9,282,019 USD 7,683,505 1.21 (242,430) Canadian Imperial Bank of Commerce A-1 September 13, 2021 CAD 3,112,109 GBP 1,824,000 1.71 (15,997) Canadian Imperial Bank of Commerce A-1 August 18, 2021 CAD 19,337,949 USD 15,668,002 1.23 (84,189) Canadian Imperial Bank of Commerce A-1 September 15, 2021 CAD 9,269,703 USD 7,683,505 1.21 (254,743) Citigroup Inc. A-2 August 18, 2021 CAD 16,786,483 USD 13,712,655 1.22 (211,761) Citigroup Inc. A-2 August 18, 2021 CAD 12,040,073 USD 9,962,000 1.21 (308,809) Citigroup Inc. A-2 September 15, 2021 USD 3,998,500 CAD 4,915,800 0.81 40,761 Goldman Sachs Group Inc. A-2 September 13, 2021 CAD 192,625 GBP 112,000 1.72 548 Goldman Sachs Group Inc. A-2 August 18, 2021 CAD 12,016,703 USD 9,794,753 1.23 (124,907) Goldman Sachs Group Inc. A-2 September 15, 2021 CAD 7,250,502 USD 6,001,301 1.21 (188,694) Goldman Sachs Group Inc. A-2 July 20, 2021 USD 21,690,000 CAD 26,250,973 0.83 635,881 HSBC Holdings PLC A-1 August 18, 2021 CAD 11,866,687 USD 9,794,753 1.21 (274,885) HSBC Holdings PLC A-1 September 15, 2021 CAD 18,589,778 USD 15,367,009 1.21 (459,131) JPMorgan Chase & Co. A-2 September 13, 2021 CAD 299,765 GBP 175,000 1.71 (356) JPMorgan Chase & Co. A-2 August 18, 2021 CAD 16,895,869 USD 13,712,655 1.23 (102,403) JPMorgan Chase & Co. A-2 September 15, 2021 CAD 8,344,759 USD 6,915,154 1.21 (227,243) JPMorgan Chase & Co. A-2 September 13, 2021 GBP 294,000 CAD 503,422 0.58 780 Morgan Stanley A-2 September 15, 2021 CAD 11,138,147 USD 9,220,205 1.21 (291,193) Morgan Stanley A-2 September 15, 2021 CAD 12,510,488 USD 10,195,000 1.23 (127,276) Morgan Stanley A-2 September 13, 2021 GBP 95,000 CAD 162,455 0.58 467 Morgan Stanley A-2 September 15, 2021 USD 3,899,042 CAD 4,790,570 0.81 42,701 Morgan Stanley A-2 September 15, 2021 USD 3,998,500 CAD 4,914,260 0.81 42,300 Morgan Stanley A-2 September 15, 2021 USD 4,097,958 CAD 5,034,904 0.81 44,944 Royal Bank of Canada A-1+ September 13, 2021 CAD 159,376 GBP 93,000 1.71 (116) Royal Bank of Canada A-1+ August 18, 2021 CAD 16,821,862 USD 13,712,655 1.23 (176,391) Royal Bank of Canada A-1+ September 15, 2021 CAD 8,344,793 USD 6,915,154 1.21 (227,208) Toronto-Dominion Bank A-1+ August 18, 2021 CAD 7,034,014 USD 5,807,259 1.21 (164,661) Toronto-Dominion Bank A-1+ September 15, 2021 CAD 11,138,100 USD 9,220,205 1.21 (291,239) Total Foreign Currency Forward Contract(s) Value (3,164,217)

Semi-Annual Financial Statements - June 30, 2021 – 95 – Canadian Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 808 (486) - 322 Derivative assets - Swaps and swaptions - - - - Total 808 (486) - 322 Derivative liabilities - Foreign currency forward contracts (3,972) 486 - (3,486) Derivative liabilities - Swaps and swaptions - - - - Total (3,972) 486 - (3,486) 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 - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Semi-Annual Financial Statements - June 30, 2021 – 96 – Canadian Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 528 137 Soft dollar commissions† 150 52

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 67,552 92,329 294,609 280,450 472,458 323,909 5,718,566 4,921,181 Redeemable units issued for cash 2,602 15,921 5,301,984 89,861 2,092,467 175,860 8,025,310 1,983,361 Redeemable units issued for reinvested distributions 211 589 20,805 2,657 9,631 5,567 60,958 107,624 Redeemable units redeemed (15,896) (15,503) (326,860) (71,345) (215,573) (78,578) (994,425) (1,102,742) Number of redeemable units at the end of period 54,469 93,336 5,290,538 301,623 2,358,983 426,758 12,810,409 5,909,424

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 3,265 9,867 863,314 882,711 Redeemable units issued for cash 406 539 141,451 738,074 Redeemable units issued for reinvested distributions 12 71 3,918 17,079 Redeemable units redeemed (1,315) (6,859) (191,615) (718,486) Number of redeemable units at the end of period 2,368 3,618 817,068 919,378

Semi-Annual Financial Statements - June 30, 2021 – 97 – Canadian Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 1,033 8,250 Collateral (non-cash) 1,053 8,415

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 28 33 Charges (4) (5) Securities lending revenue 24 28 Charges as a % of gross securities lending revenue 14.3 15.2

Related Party Investments (Note 9) as at June 30 (in $000’s)

Investments 2021 -

Investments 2020 CI Financial Corp. 6,859

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

Semi-Annual Financial Statements - June 30, 2021 – 98 – Canadian Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

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

as at December 31, 2020~ Concentration Risk Financial Instruments Net Net For Concentration Risk as at June 30, 2021, 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 21,212 - 21,212 7.1 British Pound 12,293 - 12,293 4.1 as at December 31, 2020 Total 33,505 - 33,505 11.2 Categories Net Assets (%) Financials 23.4 ~Includes monetary and non-monetary instruments, if any. Energy 18.3 Consumer Staples 12.8 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - Consumer Discretionary 8.8 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, Materials 7.3 net assets attributable to holders of redeemable units of the Fund would have decreased or increased, Industrials 7.0 respectively, by approximately $22,233,000 (December 31, 2020 - $3,351,000). In practice, the actual Utilities 6.7 results may differ from this analysis and the difference may be material. Health Care 5.5 Information Technology 5.0 Real Estate 2.0 Interest Rate Risk Other Net Assets (Liabilities) 1.7 As at June 30, 2021, the Fund did not have a significant exposure to interest rate risk as substantially Communication Services 1.5 all of its assets were invested in equities and derivatives. Total 100.0 As at December 31, 2020, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities. Credit Risk As at June 30, 2021, the Fund’s exposure to credit risk through derivative instruments was insignificant. Fair Value Hierarchy As at December 31, 2020, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities. The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value. Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in Canadian equities Long Positions at fair value as at June 30, 2021 and therefore was sensitive to changes in general economic conditions in Canada. Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased Equities 886,677 - - 886,677 by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable Foreign currency forward contract(s), net - (3,164) - (3,164) to holders of redeemable units of the Fund would have increased or decreased, respectively, by Total 886,677 (3,164) - 883,513 approximately $88,668,000 (December 31, 2020 - $29,491,000). 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

Currency Risk Level 1 Level 2 Level 3 Total The tables below summarize the Fund’s exposure to currency risk. (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 294,913 - - 294,913 as at June 30, 2021~ Total 294,913 - - 294,913 Financial Instruments Net Net There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year Exposure Derivatives Exposure Assets ended December 31, 2020. Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 398,148 (179,068) 219,080 24.8 British Pound 6,358 (3,112) 3,246 0.4 Total 404,506 (182,180) 222,326 25.2

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

Semi-Annual Financial Statements - June 30, 2021 – 99 – Canadian Equity Small Cap Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 1,407 1,519 20.83 17.37 67,566 87,421 Current assets Series E 178,679 159,670 23.80 19.82 7,508,661 8,056,334 Investments 431,992 382,481 Series F 20,480 15,784 12.23 10.18 1,674,531 1,550,493 Investments pledged as collateral - - Series I 167,836 143,786 31.86 26.52 5,268,163 5,422,011 Cash 7,590 1,421 Series OF 78 79 22.88 19.05 3,412 4,138 Unrealized gain on futures and foreign currency Series W 73,858 64,858 63.09 52.52 1,170,635 1,235,016 forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 13 - Cash collateral on deposit for short sale - - Dividends receivable 2,060 1,783 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 22,739 - Receivable for unit subscriptions 779 630 465,173 386,315 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 22,386 - Payable for unit redemptions 449 619 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 22,835 619 Net assets attributable to holders of redeemable units 442,338 385,696

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

Semi-Annual Financial Statements - June 30, 2021 – 100 – CIG - 9609 Canadian Equity Small Cap Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 274 (293) 3.59 (2.43) 76,190 120,531 Net gain (loss) on investments and derivatives Series E 31,476 (20,528) 4.05 (2.54) 7,766,478 8,089,419 Dividends 6,290 5,815 Series F 3,391 (1,589) 2.12 (1.16) 1,605,665 1,367,349 Interest for distribution purposes 95 546 Series I 30,791 (16,806) 5.76 (3.16) 5,342,739 5,332,876 Income distributions from investments - - Series OF 15 (13) 3.95 (1.90) 3,825 6,595 Capital gain distributions from investments - - Series W 13,724 (5,320) 11.41 (3.80) 1,202,623 1,400,043 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 27,598 261 Change in unrealized appreciation (depreciation) in value of investments and derivatives 47,992 (49,219) Total net gain (loss) on investments and derivatives 81,975 (42,597) Other income Foreign exchange gain (loss) on cash (13) - Commitment fee income - - Securities lending revenue (Note 6) 18 20 Fees rebate 27 18 Total other income 32 38 Total income 82,007 (42,559) Expenses Management fees (Note 5) 1,728 1,374 Administration fees (Note 5) 239 193 Commissions and other portfolio transaction costs 143 245 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes - - Harmonized sales tax 225 177 Other expenses - - Total expenses 2,336 1,990 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 79,671 (44,549)

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

Semi-Annual Financial Statements - June 30, 2021 – 101 – Canadian Equity Small Cap Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1,519 2,081 159,670 143,183 15,784 11,216 143,786 124,097 Increase (decrease) in net assets attributable to holders of redeemable units 274 (293) 31,476 (20,528) 3,391 (1,589) 30,791 (16,806) Distributions to holders of redeemable units From net investment income - (6) (243) (843) (118) (136) (2,037) (2,013) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - (6) (243) (843) (118) (136) (2,037) (2,013)

Redeemable unit transactions Proceeds from redeemable units issued 54 430 20,939 52,087 5,585 6,369 25,101 49,991 Reinvestment of distributions to holders of redeemable units - 6 243 843 118 135 2,036 2,013 Redemption of redeemable units (440) (508) (33,406) (30,914) (4,280) (2,946) (31,841) (29,489) Net increase (decrease) from redeemable unit transactions (386) (72) (12,224) 22,016 1,423 3,558 (4,704) 22,515 Net increase (decrease) in net assets attributable to holders of redeemable units (112) (371) 19,009 645 4,696 1,833 24,050 3,696 Net assets attributable to holders of redeemable units at the end of period 1,407 1,710 178,679 143,828 20,480 13,049 167,836 127,793

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 79 120 64,858 60,958 385,696 341,655 Increase (decrease) in net assets attributable to holders of redeemable units 15 (13) 13,724 (5,320) 79,671 (44,549) Distributions to holders of redeemable units From net investment income - (1) (846) (905) (3,244) (3,904) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - (1) (846) (905) (3,244) (3,904)

Redeemable unit transactions Proceeds from redeemable units issued 13 37 10,005 44,812 61,697 153,726 Reinvestment of distributions to holders of redeemable units - 1 845 904 3,242 3,902 Redemption of redeemable units (29) (46) (14,728) (41,212) (84,724) (105,115) Net increase (decrease) from redeemable unit transactions (16) (8) (3,878) 4,504 (19,785) 52,513 Net increase (decrease) in net assets attributable to holders of redeemable units (1) (22) 9,000 (1,721) 56,642 4,060 Net assets attributable to holders of redeemable units at the end of period 78 98 73,858 59,237 442,338 345,715

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

Semi-Annual Financial Statements - June 30, 2021 – 102 – Canadian Equity Small Cap Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 79,671 (44,549) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (27,598) (261) Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs 143 245 Change in unrealized (appreciation) depreciation in value of investments and derivatives (47,992) 49,219 Proceeds from sale and maturity of investments and derivatives 106,042 90,506 Purchase of investments and derivatives (80,459) (143,749) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable (277) 83 (Increase) decrease in interest receivable - 78 (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (13) (8) Net cash from (used in) operating activities 29,517 (48,436)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2) (2) Proceeds from issuance of redeemable units 54,283 149,419 Amounts paid on redemption of redeemable units (77,629) (100,026) Net cash from (used in) financing activities (23,348) 49,391

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 6,169 955 Cash (bank overdraft), beginning of period 1,421 1,136 Cash (bank overdraft), end of period 7,590 2,091

Supplementary Information: Dividends received, net of withholding tax* 6,013 5,898 Interest received, net of withholding tax* 95 624 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.

Semi-Annual Financial Statements - June 30, 2021 – 103 – Canadian Equity Small Cap Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

FINANCIALS 711,432 Canadian Western Bank 17,276,114 24,757,834 27,858 E-L Financial Corp., Ltd. 18,662,931 26,461,618 773,200 Element Fleet Management Corp. 5,469,503 11,180,472 296,690 iA Financial Corp., Inc. 12,859,468 20,023,608 129,780 IGM Financial Inc. 4,023,284 5,679,173 17,300 Trisura Group Ltd. 2,838,619 2,868,167 61,129,919 90,970,872 20.57 INDUSTRIALS 190,900 Badger Infrastructure Solution 7,200,245 7,181,658 3,200 Boyd Group Services Inc. 718,658 721,856 18,600 Brookfield Business Partners L.P., Units 1,071,215 1,065,780 24,700 Cargojet Inc. 4,357,040 4,545,541 11,595 LifeWorks Inc. 385,989 387,505 1,034,900 Mullen Group Ltd. 11,455,668 13,826,264 79,739 Richelieu Hardware Ltd. 1,543,022 3,199,129 281,440 Stantec Inc. 9,233,919 15,566,446 51,900 TFI International Inc. 5,918,176 5,873,523 41,481 Toromont Industries Ltd. 2,166,315 4,479,948 336,639 Transcontinental Inc., Class A 5,447,549 7,836,956 332,420 Westshore Terminals Investment Corp. 5,694,702 5,677,734 55,192,498 70,362,340 15.91 UTILITIES 282,065 Algonquin Power & Utilities Corp. 3,730,820 5,209,741 845,790 AltaGas Ltd. 17,984,813 22,007,456 398,312 ATCO Ltd., Class I 15,163,000 17,509,796 58,063 Brookfield Infrastructure Partners L.P. 3,912,462 3,995,896 1,074,655 Superior Plus Corp. 11,597,338 16,409,982 52,388,433 65,132,871 14.72 ENERGY 182,850 Gibson Energy Inc. 3,400,988 4,342,688 136,800 Keyera Corp. 4,529,426 4,556,808 549,600 Parkland Corp. 16,420,136 22,016,976 1,021,000 Pason Systems Inc. 12,476,630 9,117,530 253,898 PrairieSky Royalty Ltd. 2,282,345 3,811,009 2,283,558 Secure Energy Services Inc. 13,717,227 9,613,779 52,826,752 53,458,790 12.09 CONSUMER DISCRETIONARY 396,200 Aritzia Inc. 5,742,328 14,691,096 707,489 Leon’s Furniture Ltd. 10,388,012 15,918,502 76,127 Linamar Corp. 4,033,979 5,918,874 522,620 Martinrea International Inc. 7,158,547 6,830,643 27,322,866 43,359,115 9.80 MATERIALS 1,157,158 Major Drilling Group International Inc. 6,977,722 9,916,844 331,100 Stella-Jones Inc. 11,489,496 14,776,993 367,400 Winpak Ltd. 15,041,163 14,207,358 33,508,381 38,901,195 8.79 REAL ESTATE 44,200 Colliers International Group Inc. 6,231,181 6,135,844 371,566 SmartCentres Real Estate Investment Trust 10,165,770 10,912,893 453,100 Tricon Capital Group Inc. 6,536,901 6,461,206 22,933,852 23,509,943 5.31 CONSUMER STAPLES 350,690 Empire Co., Ltd., Class A 9,434,156 13,711,979 22,500 Jamieson Wellness Inc. 766,990 760,500 10,201,146 14,472,479 3.27

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

Semi-Annual Financial Statements - June 30, 2021 – 104 – Canadian Equity Small Cap Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

HEALTH CARE 26,134 Andlauer Healthcare Group Inc. 939,192 958,595 312,700 dentalcorp Holdings Ltd. 5,167,358 5,147,042 1,488,560 Knight Therapeutics Inc. 10,212,140 7,814,940 16,318,690 13,920,577 3.15 INFORMATION TECHNOLOGY 25,900 Enghouse Systems Ltd. 1,442,579 1,429,421 17,490 Kinaxis Inc. 2,818,213 2,852,094 53,300 Softchoice Corp. 1,136,736 1,172,067 60,876 SS&C Technologies Holdings Inc. 5,525,550 5,437,796 10,923,078 10,891,378 2.46 COMMUNICATION SERVICES 57,850 Cogeco Communications Inc. 5,530,365 7,011,998 1.59 Commissions and other portfolio transaction costs (391,923) Total Investment Portfolio 347,884,057 431,991,558 97.66 Other Net Assets (Liabilities) 10,346,443 2.34 Net Assets Attributable to Holders of Redeemable Units 442,338,001 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 105 – Canadian Equity Small Cap Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 141 244 Soft dollar commissions† 40 13

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 87,421 118,744 8,056,334 7,170,236 1,550,493 1,093,630 5,422,011 4,643,857 Redeemable units issued for cash 2,812 34,177 956,225 3,421,300 494,698 795,268 856,917 2,421,883 Redeemable units issued for reinvested distributions 1 417 10,811 55,365 9,984 17,600 65,972 101,289 Redeemable units redeemed (22,668) (35,229) (1,514,709) (1,928,190) (380,644) (366,412) (1,076,737) (1,377,103) Number of redeemable units at the end of period 67,566 118,109 7,508,661 8,718,711 1,674,531 1,540,086 5,268,163 5,789,926

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 4,138 6,233 1,235,016 1,151,770 Redeemable units issued for cash 622 2,783 172,420 1,152,919 Redeemable units issued for reinvested distributions 11 56 13,835 22,994 Redeemable units redeemed (1,359) (2,867) (250,636) (972,379) Number of redeemable units at the end of period 3,412 6,205 1,170,635 1,355,304

Semi-Annual Financial Statements - June 30, 2021 – 106 – Canadian Equity Small Cap Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned - 40,746 Collateral (non-cash) - 41,561

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 21 24 Charges (3) (4) Securities lending revenue 18 20 Charges as a % of gross securities lending revenue 14.3 16.7

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

Semi-Annual Financial Statements - June 30, 2021 – 107 – Canadian Equity Small Cap Pool Fund Specific Notes to Financial Statements (unaudited)

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

Credit Risk As at December 31, 2020, the Fund did not have a significant exposure to interest rate risk as As at June 30, 2021, the Fund did not have a significant exposure to credit risk as substantially all of substantially all of its assets were invested in equities and short-term investments. Short-term its assets were invested in equities. investments exposure to interest rate risk is insignificant due to their short term to maturity.

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. Fair Value Hierarchy as at December 31, 2020 Credit Rating^* Net Assets (%) The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and AAA/Aaa/A++ 1.0 derivatives carried at fair value. Total 1.0 Long Positions at fair value as at June 30, 2021 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Level 1 Level 2 Level 3 Total Investors Service or Dominion Bond Rating Service, respectively. (in $000’s) (in $000’s) (in $000’s) (in $000’s) *Refer to Note 10 for Credit Rating Chart reference. Equities 431,992 - - 431,992 Total 431,992 - - 431,992

Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in Canadian equities Long Positions at fair value as at December 31, 2020 and therefore was sensitive to changes in general economic conditions in Canada. Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased Equities 378,482 - - 378,482 by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable Short-term investment(s) - 3,999 - 3,999 to holders of redeemable units of the Fund would have increased or decreased, respectively, by Total 378,482 3,999 - 382,481 approximately $43,199,000 (December 31, 2020 - $37,848,000). In practice, actual results may differ from this analysis and the difference may be material. There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 108 – Canadian Equity Value Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 4,601 5,238 18.00 15.86 255,619 330,256 Current assets Series E 206,059 229,513 21.88 19.23 9,417,308 11,937,126 Investments 566,296 633,213 Series F 23,136 21,744 14.65 12.81 1,579,088 1,696,915 Investments pledged as collateral - - Series I 202,989 262,123 29.73 25.95 6,828,606 10,102,334 Cash 2,022 6,181 Series OF 2,626 2,409 19.41 17.02 135,289 141,564 Unrealized gain on futures and foreign currency Series W 127,475 121,732 119.72 104.49 1,064,791 1,164,943 forward contracts 44 2,515 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 12 - Cash collateral on deposit for short sale - - Dividends receivable 757 898 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - - Receivable for unit subscriptions 1,004 1,043 570,135 643,850 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 2,355 - 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 894 1,091 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 3,249 1,091 Net assets attributable to holders of redeemable units 566,886 642,759

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

Semi-Annual Financial Statements - June 30, 2021 – 109 – CIG - 9606 Canadian Equity Value Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 601 (700) 2.09 (1.51) 287,368 460,454 Net gain (loss) on investments and derivatives Series E 26,730 (18,983) 2.58 (1.58) 10,361,279 12,104,291 Dividends 5,068 7,112 Series F 2,893 (1,417) 1.81 (0.94) 1,603,694 1,505,574 Interest for distribution purposes 23 107 Series I 30,504 (19,811) 3.75 (1.71) 8,132,627 11,613,338 Income distributions from investments - - Series OF 342 (230) 2.40 (1.48) 142,788 155,356 Capital gain distributions from investments - - Series W 17,273 (5,217) 15.66 (4.21) 1,103,185 1,237,837 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 48,290 (590) Change in unrealized appreciation (depreciation) in value of investments and derivatives 28,144 (49,757) Total net gain (loss) on investments and derivatives 81,525 (43,128) Other income Foreign exchange gain (loss) on cash (191) (111) Commitment fee income - - Securities lending revenue (Note 6) 16 16 Fees rebate 27 22 Total other income (148) (73) Total income 81,377 (43,201) Expenses Management fees (Note 5) 2,172 2,113 Administration fees (Note 5) 324 308 Commissions and other portfolio transaction costs 163 372 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes 88 89 Harmonized sales tax 286 274 Other expenses - - Total expenses 3,034 3,157 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 78,343 (46,358)

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

Semi-Annual Financial Statements - June 30, 2021 – 110 – Canadian Equity Value Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 5,238 7,541 229,513 218,328 21,744 16,428 262,123 268,877 Increase (decrease) in net assets attributable to holders of redeemable units 601 (700) 26,730 (18,983) 2,893 (1,417) 30,504 (19,811) Distributions to holders of redeemable units From net investment income - (6) - (259) (13) (76) (989) (2,075) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - (6) - (259) (13) (76) (989) (2,075)

Redeemable unit transactions Proceeds from redeemable units issued 124 326 23,024 37,587 6,757 6,109 25,850 67,256 Reinvestment of distributions to holders of redeemable units - 6 - 259 13 76 989 2,075 Redemption of redeemable units (1,362) (1,304) (73,208) (33,031) (8,258) (3,284) (115,488) (45,655) Net increase (decrease) from redeemable unit transactions (1,238) (972) (50,184) 4,815 (1,488) 2,901 (88,649) 23,676 Net increase (decrease) in net assets attributable to holders of redeemable units (637) (1,678) (23,454) (14,427) 1,392 1,408 (59,134) 1,790 Net assets attributable to holders of redeemable units at the end of period 4,601 5,863 206,059 203,901 23,136 17,836 202,989 270,667

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 2,409 2,587 121,732 116,350 642,759 630,111 Increase (decrease) in net assets attributable to holders of redeemable units 342 (230) 17,273 (5,217) 78,343 (46,358) Distributions to holders of redeemable units From net investment income - (6) (515) (787) (1,517) (3,209) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - (6) (515) (787) (1,517) (3,209)

Redeemable unit transactions Proceeds from redeemable units issued 128 19 14,809 56,179 70,692 167,476 Reinvestment of distributions to holders of redeemable units - 6 514 786 1,516 3,208 Redemption of redeemable units (253) (238) (26,338) (57,920) (224,907) (141,432) Net increase (decrease) from redeemable unit transactions (125) (213) (11,015) (955) (152,699) 29,252 Net increase (decrease) in net assets attributable to holders of redeemable units 217 (449) 5,743 (6,959) (75,873) (20,315) Net assets attributable to holders of redeemable units at the end of period 2,626 2,138 127,475 109,391 566,886 609,796

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

Semi-Annual Financial Statements - June 30, 2021 – 111 – Canadian Equity Value Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 78,343 (46,358) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (48,290) 590 Unrealized foreign exchange (gain) loss on cash (167) (1) Commissions and other portfolio transaction costs 163 372 Change in unrealized (appreciation) depreciation in value of investments and derivatives (28,144) 49,757 Proceeds from sale and maturity of investments and derivatives 296,892 304,711 Purchase of investments and derivatives (148,878) (339,796) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 141 92 (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (12) (10) Net cash from (used in) operating activities 150,048 (30,643)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1) (1) Proceeds from issuance of redeemable units 59,104 158,127 Amounts paid on redemption of redeemable units (213,477) (131,721) Net cash from (used in) financing activities (154,374) 26,405

Unrealized foreign exchange gain (loss) on cash 167 1 Net increase (decrease) in cash (4,326) (4,238) Cash (bank overdraft), beginning of period 6,181 31,578 Cash (bank overdraft), end of period 2,022 27,341

Supplementary Information: Dividends received, net of withholding tax* 5,121 7,115 Interest received, net of withholding tax* 23 107 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.

Semi-Annual Financial Statements - June 30, 2021 – 112 – Canadian Equity Value Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

FINANCIALS 154,311 Bank of Montreal 14,275,704 19,606,756 423,136 Brookfield Asset Management Inc., Class A 17,950,506 26,759,121 2,918 Brookfield Asset Management Reinsurance Partners Ltd. 133,782 191,129 111,708 Intact Financial Corp. 14,251,250 18,812,744 69,819 Onex Corp. 5,160,113 6,284,408 241,309 Royal Bank of Canada 21,313,391 30,305,997 32,204 S&P Global Inc. 11,127,660 16,385,234 254,786 Sun Life Financial Inc. 13,466,621 16,285,921 262,841 The Bank of Nova Scotia 16,739,256 21,190,241 90,700 TMX Group Ltd. 8,330,535 11,876,258 122,748,818 167,697,809 29.59 INFORMATION TECHNOLOGY 197,648 Amphenol Corp., Class A 15,930,139 16,760,793 46,259 Automatic Data Processing Inc. 8,455,659 11,389,424 130,905 CGI Inc. 9,135,614 14,712,413 13,305 Constellation Software Inc. 17,601,743 24,978,940 56,064 Microsoft Corp. 9,949,996 18,826,763 33,599 NXP Semiconductor N.V. 8,029,888 8,568,118 206,738 Open Text Corp. 10,602,438 13,014,157 49,253 Visa Inc., Class A 12,781,237 14,275,683 92,486,714 122,526,291 21.61 CONSUMER DISCRETIONARY 5,645 Booking Holdings Inc. 13,798,377 15,311,287 98,069 Canadian Tire Corp., Ltd., Class A, Non-Voting Shares 12,958,921 19,237,215 416,397 Dollarama Inc. 19,663,641 23,626,366 105,268 Magna International Inc., Class A 7,727,389 12,081,608 135,355 Restaurant Brands International Inc. 9,692,876 10,810,804 70,270 Ross Stores Inc. 8,301,628 10,801,254 72,142,832 91,868,534 16.21 INDUSTRIALS 94,532 Canadian National Railway Co. 9,680,765 12,363,840 198,985 MDA Ltd. 2,785,790 3,233,506 166,301 Thomson Reuters Corp. 13,179,330 20,476,642 84,525 Toromont Industries Ltd. 5,123,994 9,128,700 76,510 Waste Connections Inc. 10,332,649 11,331,131 41,102,528 56,533,819 9.97 COMMUNICATION SERVICES 8,470 Alphabet Inc., Class A 17,489,741 25,637,418 191,312 BCE Inc. 11,193,393 11,694,903 28,683,134 37,332,321 6.59 UTILITIES 751,671 Algonquin Power & Utilities Corp. 14,277,142 13,883,363 246,448 Brookfield Infrastructure Partners L.P. 14,487,985 16,960,551 28,765,127 30,843,914 5.44 HEALTH CARE 30,066 Humana Inc. 14,968,940 16,500,130 2.91 MATERIALS 196,601 CCL Industries Inc., Class B 8,005,807 13,421,950 2.37

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

Semi-Annual Financial Statements - June 30, 2021 – 113 – Canadian Equity Value Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CONSUMER STAPLES 23,968 Costco Wholesale Corp. 10,620,254 11,755,672 2.07 REAL ESTATE 645,619 Tricon Capital Group Inc. 6,214,801 9,206,527 1.62 ENERGY 140,350 TC Energy Corp. (CAD) 7,726,117 8,609,069 1.52 Commissions and other portfolio transaction costs (185,897) Total Investment Portfolio before Derivative Instruments 433,279,175 566,296,036 99.90 Foreign Currency Forward Contract(s) (see Schedule A) (2,310,795) (0.41) Total Investment Portfolio 433,279,175 563,985,241 99.49 Other Net Assets (Liabilities) 2,900,727 0.51 Net Assets Attributable to Holders of Redeemable Units 566,885,968 100.00

Schedule A Foreign Currency Forward Contract(s)

Semi-Annual Financial Statements - June 30, 2021 – 114 – Canadian Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 44 (44) - - Derivative assets - Swaps and swaptions - - - - Total 44 (44) - - Derivative liabilities - Foreign currency forward contracts (2,355) 44 - (2,311) Derivative liabilities - Swaps and swaptions - - - - Total (2,355) 44 - (2,311) 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 2,515 - - 2,515 Derivative assets - Swaps and swaptions - - - - Total 2,515 - - 2,515 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Semi-Annual Financial Statements - June 30, 2021 – 115 – Canadian Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 156 369 Soft dollar commissions† 44 72

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 330,256 495,507 11,937,126 11,892,685 1,696,915 1,347,232 10,102,334 10,899,776 Redeemable units issued for cash 7,451 25,346 1,143,154 2,325,150 500,507 561,189 951,632 3,122,025 Redeemable units issued for reinvested distributions - 562 - 18,901 968 7,423 34,932 98,684 Redeemable units redeemed (82,088) (95,485) (3,662,972) (1,987,432) (619,302) (306,340) (4,260,292) (2,058,222) Number of redeemable units at the end of period 255,619 425,930 9,417,308 12,249,304 1,579,088 1,609,504 6,828,606 12,062,263

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 141,564 159,549 1,164,943 1,172,892 Redeemable units issued for cash 7,319 1,318 133,778 678,648 Redeemable units issued for reinvested distributions - 424 4,525 9,292 Redeemable units redeemed (13,594) (16,003) (238,455) (650,278) Number of redeemable units at the end of period 135,289 145,288 1,064,791 1,210,554

Semi-Annual Financial Statements - June 30, 2021 – 116 – Canadian Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 28,395 24,065 Collateral (non-cash) 28,963 24,547

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 19 18 Charges (3) (2) Securities lending revenue 16 16 Charges as a % of gross securities lending revenue 15.8 11.1

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

Semi-Annual Financial Statements - June 30, 2021 – 117 – Canadian Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Currency Risk (cont’d) As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, Concentration Risk net assets attributable to holders of redeemable units of the Fund would have decreased or increased, For Concentration Risk as at June 30, 2021, refer to the Schedule of Investment Portfolio. respectively, by approximately $4,808,000 (December 31, 2020 - $4,313,000). In practice, the actual results may differ from this analysis and the difference may be material. The table below summarizes the Fund’s exposure to concentration risk. as at December 31, 2020 Interest Rate Risk Categories Net Assets (%) As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to interest Financials 27.6 rate risk as substantially all of its assets were invested in equities and derivatives. Information Technology 17.7 Consumer Discretionary 17.1 Industrials 10.6 Fair Value Hierarchy Utilities 6.6 Communication Services 6.3 Consumer Staples 5.1 The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and Materials 4.2 derivatives carried at fair value. Energy 2.0 Real Estate 1.3 Long Positions at fair value as at June 30, 2021 Other Net Assets (Liabilities) 1.1 Level 1 Level 2 Level 3 Total Foreign Currency Forward Contract(s) 0.4 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Total 100.0 Equities 566,296 - - 566,296 Foreign currency forward contract(s), net - (2,311) - (2,311) Total 566,296 (2,311) - 563,985 Credit Risk As at June 30, 2021 and December 31, 2020, the Fund’s exposure to credit risk through derivative instruments was insignificant. 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) Other Price Risk Equities 633,090 123 - 633,213 As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in Canadian equities Foreign currency forward contract(s), net - 2,515 - 2,515 and therefore was sensitive to changes in general economic conditions in Canada. Total 633,090 2,638 - 635,728

As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable ended December 31, 2020. to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately $56,630,000 (December 31, 2020 - $63,321,000). In practice, actual results may differ from this analysis and the difference may be material.

Currency Risk The tables below summarize the Fund’s exposure to currency risk. as at June 30, 2021~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 168,992 (120,912) 48,080 8.5 Total 168,992 (120,912) 48,080 8.5 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 171,204 (128,071) 43,133 6.7 Total 171,204 (128,071) 43,133 6.7

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

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

Semi-Annual Financial Statements - June 30, 2021 – 118 – US Equity Alpha Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 528 750 15.62 13.88 33,808 54,026 Current assets Series E 104,596 130,353 15.85 14.06 6,599,161 9,273,955 Investments 705,297 738,514 Series F 9,234 10,553 16.24 14.34 568,510 735,900 Investments pledged as collateral - - Series I 566,782 574,813 16.69 14.67 33,949,751 39,193,351 Cash 32,540 23,256 Series OF 5 7 16.00 14.17 310 462 Unrealized gain on futures and foreign currency Series W 57,995 52,136 16.64 14.63 3,484,718 3,563,658 forward contracts 1,804 5,798 Swaps, swaptions and options - - Daily variation margin on derivative instruments 830 198 Fees rebate receivable 4 - Cash collateral on deposit for short sale - - Dividends receivable 491 804 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - - Receivable for unit subscriptions 473 570 741,439 769,140 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 1,478 49 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 821 479 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 2,299 528 Net assets attributable to holders of redeemable units 739,140 768,612

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

Semi-Annual Financial Statements - June 30, 2021 – 119 – CIG - 9684 US Equity Alpha Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 75 (13) 1.77 (0.14) 42,631 89,522 Net gain (loss) on investments and derivatives Series E 13,418 (621) 1.77 (0.06) 7,591,616 10,579,711 Dividends 4,580 9,237 Series F 1,170 43 1.88 0.06 622,243 751,933 Interest for distribution purposes 12 109 Series I 74,189 1,490 2.08 0.04 35,721,205 42,961,133 Income distributions from investments - - Series OF 1 (2) 1.91 (1.06) 389 1,473 Capital gain distributions from investments - - Series W 7,293 3,146 2.09 0.77 3,488,960 4,079,878 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 66,211 18,676 Change in unrealized appreciation (depreciation) in value of investments and derivatives 27,326 (22,403) Total net gain (loss) on investments and derivatives 98,129 5,619 Other income Foreign exchange gain (loss) on cash 31 704 Commitment fee income - - Securities lending revenue (Note 6) 22 39 Fees rebate 10 9 Total other income 63 752 Total income 98,192 6,371 Expenses Management fees (Note 5) 1,115 1,204 Administration fees (Note 5) 168 173 Commissions and other portfolio transaction costs 80 105 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes 533 666 Harmonized sales tax 149 179 Other expenses - - Total expenses 2,046 2,328 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 96,146 4,043

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

Semi-Annual Financial Statements - June 30, 2021 – 120 – US Equity Alpha Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 750 1,203 130,353 131,607 10,553 8,786 574,813 548,631 Increase (decrease) in net assets attributable to holders of redeemable units 75 (13) 13,418 (621) 1,170 43 74,189 1,490 Distributions to holders of redeemable units From net investment income (1) (8) (226) (1,105) (29) (90) (2,478) (5,585) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (1) (8) (226) (1,105) (29) (90) (2,478) (5,585)

Redeemable unit transactions Proceeds from redeemable units issued 32 74 10,015 16,480 2,253 2,446 34,436 46,685 Reinvestment of distributions to holders of redeemable units 1 8 226 1,105 29 90 2,478 5,577 Redemption of redeemable units (329) (361) (49,190) (26,077) (4,742) (2,106) (116,656) (81,168) Net increase (decrease) from redeemable unit transactions (296) (279) (38,949) (8,492) (2,460) 430 (79,742) (28,906) Net increase (decrease) in net assets attributable to holders of redeemable units (222) (300) (25,757) (10,218) (1,319) 383 (8,031) (33,001) Net assets attributable to holders of redeemable units at the end of period 528 903 104,596 121,389 9,234 9,169 566,782 515,630

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 7 26 52,136 49,686 768,612 739,939 Increase (decrease) in net assets attributable to holders of redeemable units 1 (2) 7,293 3,146 96,146 4,043 Distributions to holders of redeemable units From net investment income - - (244) (493) (2,978) (7,281) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - (244) (493) (2,978) (7,281)

Redeemable unit transactions Proceeds from redeemable units issued - 3 10,108 26,571 56,844 92,259 Reinvestment of distributions to holders of redeemable units - - 244 493 2,978 7,273 Redemption of redeemable units (3) (21) (11,542) (33,352) (182,462) (143,085) Net increase (decrease) from redeemable unit transactions (3) (18) (1,190) (6,288) (122,640) (43,553) Net increase (decrease) in net assets attributable to holders of redeemable units (2) (20) 5,859 (3,635) (29,472) (46,791) Net assets attributable to holders of redeemable units at the end of period 5 6 57,995 46,051 739,140 693,148

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

Semi-Annual Financial Statements - June 30, 2021 – 121 – US Equity Alpha Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 96,146 4,043 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (66,211) (18,676) Unrealized foreign exchange (gain) loss on cash (426) (343) Commissions and other portfolio transaction costs 80 105 Change in unrealized (appreciation) depreciation in value of investments and derivatives (27,326) 22,403 Proceeds from sale and maturity of investments and derivatives 264,522 219,799 Purchase of investments and derivatives (132,425) (171,810) Non-cash distributions from investments - - Change in daily variation margin (632) (513) (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 313 486 (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (4) (4) Net cash from (used in) operating activities 134,037 55,490

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 52,345 86,621 Amounts paid on redemption of redeemable units (177,524) (137,049) Net cash from (used in) financing activities (125,179) (50,428)

Unrealized foreign exchange gain (loss) on cash 426 343 Net increase (decrease) in cash 8,858 5,062 Cash (bank overdraft), beginning of period 23,256 21,635 Cash (bank overdraft), end of period 32,540 27,040

Supplementary Information: Dividends received, net of withholding tax* 3,616 4,658 Interest received, net of withholding tax* 12 109 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.

Semi-Annual Financial Statements - June 30, 2021 – 122 – US Equity Alpha Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

INFORMATION TECHNOLOGY 164,604 Amphenol Corp., Class A 10,110,029 13,958,622 139,947 Apple Inc. 11,549,267 23,759,642 106,347 Applied Materials Inc. 5,461,069 18,772,313 354,787 Corning Inc. 14,851,340 17,987,614 42,796 Keysight Technologies Inc. 6,976,617 8,191,457 114,114 Microsoft Corp. 16,286,266 38,320,441 104,896 QUALCOMM Inc. 17,437,946 18,585,099 61,853 Salesforce.com Inc. 15,968,087 18,728,951 53,496 Splunk Inc. 8,897,141 9,587,648 67,332 Texas Instruments Inc. 10,778,254 16,050,308 115,991 Visa Inc., Class A 24,712,434 33,619,288 143,028,450 217,561,383 29.44 COMMUNICATION SERVICES 3,045 Alphabet Inc., Class A 4,369,789 9,216,758 12,095 Alphabet Inc., Class C 17,087,616 37,577,246 13,324 Charter Communications Inc. 5,715,083 11,915,806 65,122 Facebook Inc. 16,420,827 28,069,034 74,287 Walt Disney Co. 11,346,745 16,186,022 54,940,060 102,964,866 13.93 CONSUMER DISCRETIONARY 8,865 Amazon.com Inc. 22,515,340 37,804,190 76,188 Lowe’s Co., Inc., 12,255,867 18,319,082 84,349 Marriott International Inc. 13,395,686 14,274,430 114,605 Ross Stores Inc. 14,344,453 17,616,021 62,511,346 88,013,723 11.91 FINANCIALS 65,549 Chubb Ltd. 11,490,591 12,914,626 38,856 CME Group Inc. 8,915,557 10,243,946 62,807 First Republic Bank 7,875,718 14,572,258 142,017 JPMorgan Chase & Co. 20,032,907 27,381,989 539,284 Regions Financial Corp. 14,320,922 13,490,289 62,635,695 78,603,108 10.63 HEALTH CARE 294,543 Boston Scientific Corp. 14,112,798 15,612,375 49,935 IQVIA Holdings Inc. 9,309,029 14,999,503 180,032 Merck & Co., Inc. 18,039,267 17,355,789 43,541 UnitedHealth Group Inc. 15,692,990 21,613,167 57,154,084 69,580,834 9.41 INDUSTRIALS 70,619 Honeywell International Inc. 15,178,569 19,201,792 23,052 Parker Hannifin Corp. 8,558,653 8,775,768 34,841 United Rentals Inc. 5,536,788 13,777,724 97,146 Waste Management Inc. 14,535,214 16,872,390 43,809,224 58,627,674 7.93 MATERIALS 35,916 Air Products and Chemicals Inc. 12,238,839 12,807,967 26,575 Martin Marietta Materials Inc. 6,935,761 11,589,482 19,174,600 24,397,449 3.30 CONSUMER STAPLES 246,931 Mondelez International Inc. 15,747,585 19,112,657 2.59 REAL ESTATE 49,111 American Tower Corp., Class A 15,070,080 16,445,619 2.22

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

Semi-Annual Financial Statements - June 30, 2021 – 123 – US Equity Alpha Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

ENERGY 211,204 ConocoPhillips Co. 9,534,478 15,944,173 2.16 UTILITIES 85,526 Sempra Energy 14,140,744 14,045,301 1.90 Commissions and other portfolio transaction costs (84,911) Total Investment Portfolio before Derivative Instruments 497,661,435 705,296,787 95.42 Foreign Currency Forward Contract(s) (see Schedule A) 78,524 0.01 Long Futures Contract(s) (see Schedule B) 247,947 0.03 Total Investment Portfolio 497,661,435 705,623,258 95.46 Other Net Assets (Liabilities) 33,516,514 4.54 Net Assets Attributable to Holders of Redeemable Units 739,139,772 100.00

Schedule A Foreign Currency Forward Contract(s)

Semi-Annual Financial Statements - June 30, 2021 – 124 – US Equity Alpha Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

Schedule B Long Futures Contract(s)

Contract(s) Future(s) Expiry Date Price ($) Currency Contract Value ($) Fair Value ($) 70 S&P 500 E-Mini Futures September 17, 2021 4,288.50 USD 18,358,138 18,606,085 18,358,138 18,606,085 Exercise Price ($) 18,358,138 Total Long Futures Contract(s) Value 247,947

Semi-Annual Financial Statements - June 30, 2021 – 125 – US Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 1,556 (963) - 593 Derivative assets - Swaps and swaptions - - - - Total 1,556 (963) - 593 Derivative liabilities - Foreign currency forward contracts (1,478) 963 - (515) Derivative liabilities - Swaps and swaptions - - - - Total (1,478) 963 - (515) 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 5,798 - - 5,798 Derivative assets - Swaps and swaptions - - - - Total 5,798 - - 5,798 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Semi-Annual Financial Statements - June 30, 2021 – 126 – US Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 76 100 Soft dollar commissions† 22 64

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 54,026 100,800 9,273,955 10,938,567 735,900 720,957 39,193,351 44,403,533 Redeemable units issued for cash 2,157 6,844 680,296 1,475,001 148,703 214,652 2,198,509 4,061,137 Redeemable units issued for reinvested distributions 64 733 14,764 99,966 1,816 7,994 153,229 485,488 Redeemable units redeemed (22,439) (31,787) (3,369,854) (2,328,439) (317,909) (187,749) (7,595,338) (7,270,981) Number of redeemable units at the end of period 33,808 76,590 6,599,161 10,185,095 568,510 755,854 33,949,751 41,679,177

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 462 2,143 3,563,658 4,024,545 Redeemable units issued for cash - 219 650,409 2,523,552 Redeemable units issued for reinvested distributions 1 7 15,121 42,977 Redeemable units redeemed (153) (1,887) (744,470) (2,860,502) Number of redeemable units at the end of period 310 482 3,484,718 3,730,572

Semi-Annual Financial Statements - June 30, 2021 – 127 – US Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 2.500 0.21 Series E 1.900 0.21 Series F 0.900 0.21 Series I Paid directly by investor Paid directly by investor Series OF 1.500 0.21 Series W Paid directly by investor 0.15

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 45,765 80,120 Collateral (non-cash) 46,681 81,722

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 26 46 Charges (4) (7) Securities lending revenue 22 39 Charges as a % of gross securities lending revenue 15.4 15.2

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

Semi-Annual Financial Statements - June 30, 2021 – 128 – US Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

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

Short Positions Futures Contract(s) (0.0) Interest Rate Risk Total Short Positions (0.0) As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to interest rate Total 100.0 risk as substantially all of its assets were invested in equities and derivatives.

Credit Risk Fair Value Hierarchy As at June 30, 2021, the Fund’s exposure to credit risk through derivative instruments was insignificant.

The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and with the following credit ratings, as per the table below. derivatives carried at fair value. as at December 31, 2020 Long Positions at fair value as at June 30, 2021 Credit Rating^* Net Assets (%) Level 1 Level 2 Level 3 Total AAA/Aaa/A++ 0.2 (in $000’s) (in $000’s) (in $000’s) (in $000’s) AA/Aa/A+ 0.6 Equities 705,297 - - 705,297 Total 0.8 Foreign currency forward contract(s), net - 78 - 78 Futures contract(s), net 248 - - 248 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Total 705,545 78 - 705,623 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, 2020 Other Price Risk Level 1 Level 2 Level 3 Total As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in U.S. equities and (in $000’s) (in $000’s) (in $000’s) (in $000’s) therefore was sensitive to changes in general economic conditions in the United States. Equities 738,514 - - 738,514 Foreign currency forward contract(s), net - 5,798 - 5,798 As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased Total 738,514 5,798 - 744,312 by 10% (December 31, 2020 - 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 $70,530,000 (December 31, 2020 - $73,851,000). 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.

Semi-Annual Financial Statements - June 30, 2021 – 129 – US Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Fair Value Hierarchy (cont’d)

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) Future contract(s), net (49) - - (49) Total (49) - - (49)

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 130 – US Equity Growth Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 964 1,140 42.85 39.78 22,488 28,661 Current assets Series E 118,382 32,117 73.72 68.21 1,605,832 470,840 Investments 299,209 133,660 Series F 16,841 5,271 21.57 19.86 780,829 265,489 Investments pledged as collateral - - Series I 121,970 61,042 93.34 85.41 1,306,746 714,707 Cash 4,726 4,651 Series OF 72 79 58.98 54.46 1,227 1,449 Unrealized gain on futures and foreign currency Series W 45,277 39,724 36.98 33.87 1,224,229 1,172,911 forward contracts 527 1,084 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 5 - Cash collateral on deposit for short sale - - Dividends receivable 61 32 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - - Receivable for unit subscriptions 344 279 304,872 139,706 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 772 - 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 594 333 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 1,366 333 Net assets attributable to holders of redeemable units 303,506 139,373

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

Semi-Annual Financial Statements - June 30, 2021 – 131 – CIG - 9612 US Equity Growth Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 69 117 2.75 2.59 24,864 45,262 Net gain (loss) on investments and derivatives Series E 10,676 2,785 9.07 4.82 1,177,788 577,816 Dividends 803 508 Series F 1,457 334 2.56 1.65 570,729 203,084 Interest for distribution purposes 4 12 Series I 11,367 5,976 10.43 7.17 1,089,893 833,054 Income distributions from investments - - Series OF 5 (8) 4.06 (1.92) 1,346 4,143 Capital gain distributions from investments - - Series W 3,751 4,898 3.16 3.46 1,186,402 1,413,592 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 7,602 12,950 Change in unrealized appreciation (depreciation) in value of investments and derivatives 20,210 1,001 Total net gain (loss) on investments and derivatives 28,619 14,471 Other income Foreign exchange gain (loss) on cash (131) 128 Commitment fee income - - Securities lending revenue (Note 6) 7 5 Fees rebate 7 3 Total other income (117) 136 Total income 28,502 14,607 Expenses Management fees (Note 5) 831 318 Administration fees (Note 5) 129 63 Commissions and other portfolio transaction costs 16 10 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes 95 72 Harmonized sales tax 105 41 Other expenses - - Total expenses 1,177 505 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 27,325 14,102

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

Semi-Annual Financial Statements - June 30, 2021 – 132 – US Equity Growth Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1,140 1,590 32,117 32,974 5,271 2,876 61,042 41,849 Increase (decrease) in net assets attributable to holders of redeemable units 69 117 10,676 2,785 1,457 334 11,367 5,976 Distributions to holders of redeemable units From net investment income ------(38) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units ------(38)

Redeemable unit transactions Proceeds from redeemable units issued 37 59 87,429 4,508 12,113 1,089 65,980 28,800 Reinvestment of distributions to holders of redeemable units ------38 Redemption of redeemable units (282) (460) (11,840) (10,132) (2,000) (842) (16,419) (23,332) Net increase (decrease) from redeemable unit transactions (245) (401) 75,589 (5,624) 10,113 247 49,561 5,506 Net increase (decrease) in net assets attributable to holders of redeemable units (176) (284) 86,265 (2,839) 11,570 581 60,928 11,444 Net assets attributable to holders of redeemable units at the end of period 964 1,306 118,382 30,135 16,841 3,457 121,970 53,293

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 79 282 39,724 37,453 139,373 117,024 Increase (decrease) in net assets attributable to holders of redeemable units 5 (8) 3,751 4,898 27,325 14,102 Distributions to holders of redeemable units From net investment income - - - (5) - (43) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - - (5) - (43)

Redeemable unit transactions Proceeds from redeemable units issued 8 8 8,445 11,170 174,012 45,634 Reinvestment of distributions to holders of redeemable units - - - 5 - 43 Redemption of redeemable units (20) (207) (6,643) (18,073) (37,204) (53,046) Net increase (decrease) from redeemable unit transactions (12) (199) 1,802 (6,898) 136,808 (7,369) Net increase (decrease) in net assets attributable to holders of redeemable units (7) (207) 5,553 (2,005) 164,133 6,690 Net assets attributable to holders of redeemable units at the end of period 72 75 45,277 35,448 303,506 123,714

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

Semi-Annual Financial Statements - June 30, 2021 – 133 – US Equity Growth Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 27,325 14,102 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (7,602) (12,950) Unrealized foreign exchange (gain) loss on cash (28) (23) Commissions and other portfolio transaction costs 16 10 Change in unrealized (appreciation) depreciation in value of investments and derivatives (20,210) (1,001) Proceeds from sale and maturity of investments and derivatives 30,500 45,958 Purchase of investments and derivatives (166,924) (38,595) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable (29) 14 (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (5) (1) Net cash from (used in) operating activities (136,957) 7,514

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 169,004 42,591 Amounts paid on redemption of redeemable units (32,000) (49,830) Net cash from (used in) financing activities 137,004 (7,239)

Unrealized foreign exchange gain (loss) on cash 28 23 Net increase (decrease) in cash 47 275 Cash (bank overdraft), beginning of period 4,651 2,062 Cash (bank overdraft), end of period 4,726 2,360

Supplementary Information: Dividends received, net of withholding tax* 513 450 Interest received, net of withholding tax* 4 12 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.

Semi-Annual Financial Statements - June 30, 2021 – 134 – US Equity Growth Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

INFORMATION TECHNOLOGY 10,068 Adobe Systems Inc. 4,268,263 7,308,975 31,224 Advanced Micro Devices Inc. 2,012,687 3,635,594 140,683 Apple Inc. 13,669,644 23,884,598 4,818 DocuSign Inc. 791,988 1,669,706 17,166 Entegris Inc. 1,648,362 2,616,681 5,214 EPAM Systems Inc. 1,746,155 3,302,482 9,372 Five9 Inc. 1,916,327 2,130,544 10,556 FleetCor Technologies Inc. 3,435,519 3,350,608 12,437 Global Payments Inc. 2,441,306 2,891,293 27,516 GoDaddy Inc. 2,287,509 2,966,111 7,512 KLA-Tencor Corp. 2,168,418 3,019,010 18,942 Leidos Holdings Inc. 2,298,110 2,373,884 34,546 Marvell Technology Inc. 1,408,938 2,497,884 14,781 Mastercard Inc., Class A 4,618,974 6,689,387 18,103 Micron Technology Inc. 1,528,960 1,906,996 71,485 Microsoft Corp. 15,507,588 24,005,264 26,970 NetApp Inc. 2,465,666 2,735,413 19,497 PayPal Holdings Inc. 3,987,636 7,044,645 6,631 RingCentral Inc. 2,182,606 2,388,511 18,234 Salesforce.com Inc. 3,751,964 5,521,215 5,006 ServiceNow Inc. 2,189,954 3,410,206 9,744 Skyworks Solutions Inc. 1,987,304 2,316,089 7,095 Square Inc., Class A 1,458,579 2,144,217 12,988 Teradyne Inc. 1,531,873 2,156,751 16,032 Texas Instruments Inc. 3,362,735 3,821,638 12,285 Workday Inc. 2,985,687 3,635,657 87,652,752 129,423,359 42.64 CONSUMER DISCRETIONARY 12,668 Airbnb Inc. 2,326,406 2,404,802 4,801 Amazon.com Inc. 12,802,204 20,473,538 1,376 Booking Holdings Inc. 4,069,147 3,732,211 2,086 Chipotle Mexican Grill Inc., Class A 3,646,870 4,008,887 8,207 Lululemon Athletica Inc. (USD) 3,107,809 3,712,993 25,453 NIKE Inc., Class B 3,383,862 4,874,408 18,213 Penn National Gaming Inc. 1,974,544 1,726,906 3,641 Tesla Motors Inc. 1,838,585 3,067,754 60,591 TJX Co., Inc. 4,368,262 5,063,834 18,520 VF Corp. 1,763,438 1,883,429 39,281,127 50,948,762 16.79 COMMUNICATION SERVICES 5,918 Alphabet Inc., Class A 11,576,477 17,912,897 32,736 Facebook Inc. 8,934,212 14,109,946 8,711 Netflix Inc. 5,842,837 5,703,707 13,639 Walt Disney Co. 2,817,653 2,971,733 29,171,179 40,698,283 13.41

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

Semi-Annual Financial Statements - June 30, 2021 – 135 – US Equity Growth Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

HEALTH CARE 4,000 agilon health Inc. 143,096 201,163 3,044 Align Technology Inc. 2,161,642 2,305,517 21,038 Baxter International Inc. 1,983,764 2,099,341 18,867 Edwards Lifesciences Corp. 1,651,785 2,422,252 20,448 Eli Lilly and Co. 4,429,202 5,817,735 8,783 Exact Sciences Corp. 1,245,806 1,353,417 13,437 Horizon Therapeutics PLC 1,401,409 1,559,719 26,006 Merck & Co., Inc. 2,594,347 2,507,080 3,578 Regeneron Pharmaceuticals Inc. 2,409,625 2,477,292 9,036 Seagen Inc. 1,264,077 1,768,422 4,571 Teleflex Inc. 1,979,060 2,276,632 6,276 Thermo Fisher Scientific Inc. 2,529,948 3,924,649 10,071 UnitedHealth Group Inc. 3,216,123 4,999,109 9,238 Vertex Pharmaceuticals Inc. 2,396,803 2,308,956 29,406,687 36,021,284 11.87 INDUSTRIALS 11,281 Copart Inc. 1,205,344 1,843,505 7,058 Deere & Co. 2,947,540 3,085,901 8,269 Equifax Inc. 1,404,981 2,455,044 8,103 FedEx Corp. 2,350,541 2,996,576 21,261 Fortune Brands Home & Security Inc. 1,877,889 2,625,241 9,538 Nordson Corp. 2,142,813 2,595,340 24,626 Raytheon Technologies Corp. 2,498,956 2,604,212 14,428,064 18,205,819 6.00 CONSUMER STAPLES 9,688 Constellation Brands Inc., Class A 2,519,552 2,808,849 26,274 Monster Beverages Corp. 2,079,849 2,975,208 19,889 Procter & Gamble Co. 3,222,531 3,326,626 7,821,932 9,110,683 3.00 FINANCIALS 23,318 American Express Co. 4,014,210 4,775,983 3,323 S&P Global Inc. 1,291,703 1,690,726 5,305,913 6,466,709 2.13 EXCHANGE-TRADED FUND(S) 9,033 iShares Russell 1000 Growth ETF 2,761,726 3,039,852 1.00 REAL ESTATE 8,265 American Tower Corp., Class A 1,979,363 2,767,670 0.91 MATERIALS 12,005 PPG Industries Inc. 2,013,619 2,526,421 0.83 Commissions and other portfolio transaction costs (15,134) Total Investment Portfolio before Derivative Instruments 219,807,228 299,208,842 98.58 Foreign Currency Forward Contract(s) (see Schedule A) (245,154) (0.08) Total Investment Portfolio 219,807,228 298,963,688 98.50 Other Net Assets (Liabilities) 4,542,568 1.50 Net Assets Attributable to Holders of Redeemable Units 303,506,256 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 136 – US Equity Growth Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

Schedule A Foreign Currency Forward Contract(s)

‡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.

Semi-Annual Financial Statements - June 30, 2021 – 137 – US Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 (442) - 85 Derivative assets - Swaps and swaptions - - - - Total 527 (442) - 85 Derivative liabilities - Foreign currency forward contracts (772) 442 - (330) Derivative liabilities - Swaps and swaptions - - - - Total (772) 442 - (330)

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 1,084 - - 1,084 Derivative assets - Swaps and swaptions - - - - Total 1,084 - - 1,084 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 June 30, 2021 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 Russell 1000 Growth ETF 85,716,321 3,040 - as at December 31, 2020 Fair Value of the Underlying Fund(s) / Fair Value of the Fund’s Investment Ownership in the ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) iShares Russell 1000 Growth ETF 104,723,449 809 -

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

Semi-Annual Financial Statements - June 30, 2021 – 138 – US Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 15 10 Soft dollar commissions† 4 2

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 28,661 51,928 470,840 631,683 265,489 191,369 714,707 654,931 Redeemable units issued for cash 911 2,012 1,308,339 89,114 616,550 74,092 782,221 450,133 Redeemable units issued for reinvested distributions ------567 Redeemable units redeemed (7,084) (15,084) (173,347) (196,318) (101,210) (57,614) (190,182) (356,019) Number of redeemable units at the end of period 22,488 38,856 1,605,832 524,479 780,829 207,847 1,306,746 749,612

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 1,449 6,799 1,172,911 1,476,514 Redeemable units issued for cash 147 211 244,313 495,639 Redeemable units issued for reinvested distributions - - - 191 Redeemable units redeemed (369) (5,366) (192,995) (716,080) Number of redeemable units at the end of period 1,227 1,644 1,224,229 1,256,264

Semi-Annual Financial Statements - June 30, 2021 – 139 – US Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 16,224 13,390 Collateral (non-cash) 16,548 13,658

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 8 6 Charges (1) (1) Securities lending revenue 7 5 Charges as a % of gross securities lending revenue 12.5 16.7

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

Semi-Annual Financial Statements - June 30, 2021 – 140 – US Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

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

Concentration Risk as at June 30, 2021~ For Concentration Risk as at June 30, 2021, 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) (%) U.S. Dollar 302,805 (87,616) 215,189 70.9 as at December 31, 2020 Total 302,805 (87,616) 215,189 70.9 Categories Net Assets (%) Information Technology 41.4 Consumer Discretionary 16.1 as at December 31, 2020~ Health Care 13.3 Financial Instruments Net Net Communication Services 10.6 Exposure Derivatives Exposure Assets Industrials 5.3 Currency (in $000’s) (in $000’s) (in $000’s) (%) Consumer Staples 4.7 U.S. Dollar 135,747 (36,863) 98,884 70.9 Other Net Assets (Liabilities) 3.3 Total 135,747 (36,863) 98,884 70.9 Financials 1.7 Materials 1.4 ~Includes monetary and non-monetary instruments, if any. Real Estate 0.8 Foreign Currency Forward Contract(s) 0.8 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - Exchange-Traded Fund(s) 0.6 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, Total 100.0 net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $21,519,000 (December 31, 2020 - $9,888,000). In practice, the actual results may differ from this analysis and the difference may be material. Credit Risk As at June 30, 2021, the Fund’s exposure to credit risk through derivative instruments was insignificant. Interest Rate Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to interest with the following credit ratings, as per the table below. rate risk as 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++ 0.2 AA/Aa/A+ 0.6 Total 0.8 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 June 30, 2021 *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) Equities 296,169 - - 296,169 Other Price Risk Exchange-Traded Fund(s) 3,040 - - 3,040 As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in U.S. equities and Foreign currency forward contract(s), net - (245) - (245) therefore was sensitive to changes in general economic conditions in the United States. Total 299,209 (245) - 298,964

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 141 – US Equity Small Cap Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 1,403 1,566 26.29 22.25 53,379 70,373 Current assets Series E 200,492 189,368 32.11 27.11 6,243,292 6,985,545 Investments 492,360 439,719 Series F 24,650 20,077 14.16 11.88 1,741,279 1,689,349 Investments pledged as collateral - - Series I 194,799 172,459 45.04 37.58 4,325,153 4,589,700 Cash 18,243 20,054 Series OF 62 59 31.79 26.77 1,960 2,193 Unrealized gain on futures and foreign currency Series W 89,786 79,281 43.50 36.32 2,064,127 2,182,799 forward contracts 1,172 3,240 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 10 - Cash collateral on deposit for short sale - - Dividends receivable 36 200 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - 33 Receivable for unit subscriptions 814 523 512,635 463,769 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 1,107 - 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 - 290 Payable for unit redemptions 336 668 Distributions payable to holders of redeemable units - 1 Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 1,443 959 Net assets attributable to holders of redeemable units 511,192 462,810

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

Semi-Annual Financial Statements - June 30, 2021 – 142 – CIG - 9620 US Equity Small Cap Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 262 (229) 4.43 (2.24) 59,131 102,377 Net gain (loss) on investments and derivatives Series E 33,423 (17,097) 5.23 (2.32) 6,392,093 7,382,724 Dividends 2,304 2,200 Series F 3,785 (1,408) 2.30 (0.89) 1,655,319 1,589,968 Interest for distribution purposes 11 67 Series I 33,019 (12,747) 7.68 (2.70) 4,299,574 4,713,056 Income distributions from investments - - Series OF 11 (3) 5.15 (0.73) 2,089 4,270 Capital gain distributions from investments - - Series W 15,243 (2,406) 7.35 (0.94) 2,074,606 2,551,524 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 57,871 (7,212) Change in unrealized appreciation (depreciation) in value of investments and derivatives 28,738 (26,778) Total net gain (loss) on investments and derivatives 88,924 (31,723) Other income Foreign exchange gain (loss) on cash (306) 271 Commitment fee income - - Securities lending revenue (Note 6) 47 54 Fees rebate 20 13 Total other income (239) 338 Total income 88,685 (31,385) Expenses Management fees (Note 5) 1,979 1,596 Administration fees (Note 5) 294 238 Commissions and other portfolio transaction costs 102 136 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes 298 320 Harmonized sales tax 267 214 Other expenses 1 - Total expenses 2,942 2,505 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 85,743 (33,890)

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

Semi-Annual Financial Statements - June 30, 2021 – 143 – US Equity Small Cap Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1,566 2,142 189,368 168,664 20,077 14,529 172,459 144,145 Increase (decrease) in net assets attributable to holders of redeemable units 262 (229) 33,423 (17,097) 3,785 (1,408) 33,019 (12,747) Distributions to holders of redeemable units From net investment income ------(130) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units ------(130)

Redeemable unit transactions Proceeds from redeemable units issued 54 405 22,118 54,669 6,347 7,222 28,730 51,804 Reinvestment of distributions to holders of redeemable units ------130 Redemption of redeemable units (479) (628) (44,417) (42,452) (5,559) (4,413) (39,409) (38,144) Net increase (decrease) from redeemable unit transactions (425) (223) (22,299) 12,217 788 2,809 (10,679) 13,790 Net increase (decrease) in net assets attributable to holders of redeemable units (163) (452) 11,124 (4,880) 4,573 1,401 22,340 913 Net assets attributable to holders of redeemable units at the end of period 1,403 1,690 200,492 163,784 24,650 15,930 194,799 145,058

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 59 102 79,281 69,795 462,810 399,377 Increase (decrease) in net assets attributable to holders of redeemable units 11 (3) 15,243 (2,406) 85,743 (33,890) Distributions to holders of redeemable units From net investment income - - - (42) - (172) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - - (42) - (172)

Redeemable unit transactions Proceeds from redeemable units issued 11 39 11,904 54,549 69,164 168,688 Reinvestment of distributions to holders of redeemable units - - - 42 - 172 Redemption of redeemable units (19) (58) (16,642) (54,059) (106,525) (139,754) Net increase (decrease) from redeemable unit transactions (8) (19) (4,738) 532 (37,361) 29,106 Net increase (decrease) in net assets attributable to holders of redeemable units 3 (22) 10,505 (1,916) 48,382 (4,956) Net assets attributable to holders of redeemable units at the end of period 62 80 89,786 67,879 511,192 394,421

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

Semi-Annual Financial Statements - June 30, 2021 – 144 – US Equity Small Cap Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 85,743 (33,890) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (57,871) 7,212 Unrealized foreign exchange (gain) loss on cash (136) (158) Commissions and other portfolio transaction costs 102 136 Change in unrealized (appreciation) depreciation in value of investments and derivatives (28,738) 26,778 Proceeds from sale and maturity of investments and derivatives 203,122 218,751 Purchase of investments and derivatives (166,338) (247,167) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 164 49 (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (10) (6) Net cash from (used in) operating activities 36,038 (28,295)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1) - Proceeds from issuance of redeemable units 59,972 163,127 Amounts paid on redemption of redeemable units (97,956) (133,423) Net cash from (used in) financing activities (37,985) 29,704

Unrealized foreign exchange gain (loss) on cash 136 158 Net increase (decrease) in cash (1,947) 1,409 Cash (bank overdraft), beginning of period 20,054 12,947 Cash (bank overdraft), end of period 18,243 14,514

Supplementary Information: Dividends received, net of withholding tax* 2,171 1,933 Interest received, net of withholding tax* 9 67 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.

Semi-Annual Financial Statements - June 30, 2021 – 145 – US Equity Small Cap Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

FINANCIALS 101,202 Artisan Partners Asset Management Inc. 4,145,436 6,375,384 327,961 Axos Financial Inc. 13,040,888 18,859,455 316,138 Bank OZK 13,302,351 16,521,895 225,644 Cannae Holdings Inc. 10,810,025 9,484,930 15,470 Credit Acceptance Corp. 7,192,251 8,708,311 29,710 Diamond Hill Investment Group Inc. 5,841,640 6,161,793 101,438 Eagle Bancorp Inc. 6,535,179 7,051,658 201,815 Essent Group Ltd. 9,788,311 11,245,162 22,655 Hingham Institution for Savings 6,248,047 8,158,170 191,628 Home Bancshares Inc. 4,349,084 5,862,552 161,895 Meta Financial Group Inc. 10,146,572 10,160,707 25,909 Virtus Investment Partners Inc. 6,769,671 8,921,103 42,873 Western Alliance Bancorp. 2,355,503 4,934,559 100,524,958 122,445,679 23.98 INDUSTRIALS 31,074 Alamo Group Inc. 4,861,121 5,881,145 49,116 American Woodmark Corp. 5,783,732 4,973,641 177,813 Blue Bird Corp. 3,206,502 5,479,579 56,783 Cimpress PLC 6,843,622 7,630,803 73,064 Comfort Systems USA Inc. 5,083,209 7,136,037 118,396 Douglas Dynamics Inc. 6,391,904 5,971,828 100,121 Insperity Inc. 8,793,826 11,215,846 22,294 Kadant Inc. 2,863,736 4,866,371 166,429 Rexnord Corp. 7,306,692 10,323,545 120,362 Rush Enterprises Inc., Class A 7,249,524 6,451,455 144,135 SP Plus Corp. 5,502,111 5,465,520 22,381 Unifirst Corp. 5,686,532 6,509,747 69,572,511 81,905,517 16.02 CONSUMER DISCRETIONARY 11,992 Helen of Troy Ltd. 2,474,072 3,391,076 68,234 LGI Homes Inc. 5,473,830 13,697,381 13,816 Lithia Motors Inc., Class A 3,247,445 5,885,300 33,813 Marriott Vacations Worldwide Corp. 4,002,606 6,677,010 95,865 Monarch Casino & Resort Inc. 4,991,064 7,863,281 258,220 Nautilus Inc. 6,612,940 5,393,521 77,016 Patrick Industries Inc. 8,463,252 6,969,255 33,036 Stamps.com Inc. 8,032,021 8,202,180 43,297,230 58,079,004 11.36 INFORMATION TECHNOLOGY 127,279 ACI Worldwide Inc. 5,329,043 5,859,779 20,132 Aspen Technology Inc. 3,004,327 3,432,405 14,356 Blackbaud Inc. 1,209,083 1,362,620 108,383 Bottomline Technologies Inc. 6,436,139 4,981,767 94,908 Onto Innovation Inc. 7,510,272 8,593,026 174,063 Rambus Inc. 4,895,054 5,115,883 666,156 Sabre Corp. 7,872,158 10,305,595 368,901 SolarWinds Corp. 7,356,783 7,723,640 43,612,859 47,374,715 9.27

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

Semi-Annual Financial Statements - June 30, 2021 – 146 – US Equity Small Cap Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

HEALTH CARE 24,402 Molina Healthcare Inc. 3,828,276 7,654,758 190,881 Owens & Minor Inc. 6,584,822 10,015,982 172,678 Premier Inc. 7,800,412 7,446,874 68,808 Syneos Health Inc. 6,451,703 7,633,013 474,967 Vanda Pharmaceuticals Inc. 9,072,382 12,664,452 33,737,595 45,415,079 8.88 COMMUNICATION SERVICES 335,561 iHeart Media Inc. 3,807,527 11,201,867 467,007 Liberty Latin America Ltd. 6,236,463 8,162,535 156,870 Liberty Media Corp. - Liberty Braves 4,637,922 5,487,562 1,233,124 Liberty TripAdvisor Holdings Inc. 6,596,779 6,221,337 54,621 Nexstar Media Group Inc. 6,909,497 10,012,710 28,188,188 41,086,011 8.04 REAL ESTATE 57,424 Colliers International Group Inc. (USD) 4,443,979 7,971,067 9,774 Jones Lang LaSalle Inc. 1,652,575 2,368,170 80,191 Ryman Hospitality Properties Inc. 6,623,859 7,849,018 84,076 SL Green Realty Corp. 6,725,377 8,337,668 2,487 Texas Pacific Land Corp. 2,582,730 4,931,826 22,028,520 31,457,749 6.15 CONSUMER STAPLES 177,813 BellRing Brands Inc. 4,782,469 6,907,884 145,787 BJ’s Wholesale Club Holdings Inc. 7,153,182 8,598,561 34,657 Post Holdings Inc. 4,338,811 4,659,970 16,274,462 20,166,415 3.94 ENERGY 455,192 Liberty Oilfield Services Inc. 4,343,267 7,989,883 451,524 Viper Energy Partners L.P. 9,846,470 10,539,347 14,189,737 18,529,230 3.62 MATERIALS 60,836 Berry Plastics Group Inc. 3,678,809 4,918,402 13,072 NewMarket Corp. 6,333,780 5,217,392 59,181 Sensient Technologies Corp. 4,424,862 6,350,123 14,437,451 16,485,917 3.22 UTILITIES 100,729 Brookfield Infrastructure Corp. (USD) 8,637,509 9,414,742 1.84 Commissions and other portfolio transaction costs (157,733) Total Investment Portfolio before Derivative Instruments 394,343,287 492,360,058 96.32 Foreign Currency Forward Contract(s) (see Schedule A) 65,012 0.01 Total Investment Portfolio 394,343,287 492,425,070 96.33 Other Net Assets (Liabilities) 18,766,587 3.67 Net Assets Attributable to Holders of Redeemable Units 511,191,657 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 147 – US Equity Small Cap Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

Schedule A Foreign Currency Forward Contract(s)

‡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.

Semi-Annual Financial Statements - June 30, 2021 – 148 – US Equity Small Cap Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 1,172 (727) - 445 Derivative assets - Swaps and swaptions - - - - Total 1,172 (727) - 445 Derivative liabilities - Foreign currency forward contracts (1,107) 727 - (380) Derivative liabilities - Swaps and swaptions - - - - Total (1,107) 727 - (380) 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 3,240 - - 3,240 Derivative assets - Swaps and swaptions - - - - Total 3,240 - - 3,240 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Semi-Annual Financial Statements - June 30, 2021 – 149 – US Equity Small Cap Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 101 135 Soft dollar commissions† 29 -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 70,373 103,551 6,985,545 6,721,032 1,689,349 1,331,531 4,589,700 4,211,044 Redeemable units issued for cash 2,135 26,962 716,981 2,822,765 466,985 835,197 666,803 1,943,072 Redeemable units issued for reinvested distributions ------6,116 Redeemable units redeemed (19,129) (36,091) (1,459,234) (2,022,306) (415,055) (493,642) (931,350) (1,327,047) Number of redeemable units at the end of period 53,379 94,422 6,243,292 7,521,491 1,741,279 1,673,086 4,325,153 4,833,185

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 2,193 4,149 2,182,799 2,107,655 Redeemable units issued for cash 388 2,273 285,601 2,181,284 Redeemable units issued for reinvested distributions - - - 2,034 Redeemable units redeemed (621) (2,692) (404,273) (1,952,201) Number of redeemable units at the end of period 1,960 3,730 2,064,127 2,338,772

Semi-Annual Financial Statements - June 30, 2021 – 150 – US Equity Small Cap Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 74,443 103,386 Collateral (non-cash) 75,932 105,454

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 55 64 Charges (8) (10) Securities lending revenue 47 54 Charges as a % of gross securities lending revenue 14.5 15.6

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

Semi-Annual Financial Statements - June 30, 2021 – 151 – US Equity Small Cap Pool Fund Specific Notes to Financial Statements (unaudited)

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

Concentration Risk as at June 30, 2021~ For Concentration Risk as at June 30, 2021, 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) (%) U.S. Dollar 508,894 (151,883) 357,011 69.8 as at December 31, 2020 Total 508,894 (151,883) 357,011 69.8 Categories Net Assets (%) Financials 26.1 Industrials 16.0 as at December 31, 2020~ Information Technology 10.4 Financial Instruments Net Net Health Care 9.7 Exposure Derivatives Exposure Assets Consumer Discretionary 9.4 Currency (in $000’s) (in $000’s) (in $000’s) (%) Real Estate 7.5 U.S. Dollar 449,796 (121,297) 328,499 71.0 Communication Services 6.4 Total 449,796 (121,297) 328,499 71.0 Consumer Staples 5.0 Other Net Assets (Liabilities) 4.3 ~Includes monetary and non-monetary instruments, if any. Materials 3.3 Energy 1.2 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - Foreign Currency Forward Contract(s) 0.7 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, Total 100.0 net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $35,701,000 (December 31, 2020 - $32,850,000). In practice, the actual results may differ from this analysis and the difference may be material. Credit Risk As at June 30, 2021, the Fund’s exposure to credit risk through derivative instruments was insignificant. Interest Rate Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to interest with the following credit ratings, as per the table below. rate risk as 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+ 0.6 Total 0.7 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 June 30, 2021 *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) Equities 492,360 - - 492,360 Other Price Risk Foreign currency forward contract(s), net - 65 - 65 As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in U.S. equities and Total 492,360 65 - 492,425 therefore was sensitive to changes in general economic conditions in the United States.

As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased Long Positions at fair value as at December 31, 2020 by 10% (December 31, 2020 - 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 Level 1 Level 2 Level 3 Total approximately $49,236,000 (December 31, 2020 - $43,972,000). In practice, actual results may (in $000’s) (in $000’s) (in $000’s) (in $000’s) differ from this analysis and the difference may be material. Equities 439,719 - - 439,719 Foreign currency forward contract(s), net - 3,240 - 3,240 Total 439,719 3,240 - 442,959

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 152 – US Equity Value Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 3,309 3,944 19.07 16.45 173,515 239,798 Current assets Series E 121,044 151,166 30.54 26.26 3,963,843 5,756,287 Investments 355,896 388,755 Series F 13,738 14,575 15.76 13.48 871,624 1,081,096 Investments pledged as collateral - - Series I 148,813 156,891 44.40 37.73 3,352,031 4,158,328 Cash 9,732 12,593 Series OF 297 269 29.70 25.48 9,987 10,569 Unrealized gain on futures and foreign currency Series W 79,469 77,777 54.71 46.54 1,452,566 1,671,244 forward contracts 1,010 3,294 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 5 - Cash collateral on deposit for short sale - - Dividends receivable 97 179 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - - Receivable for unit subscriptions 818 395 367,558 405,216 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 490 - 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 398 594 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 888 594 Net assets attributable to holders of redeemable units 366,670 404,622

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

Semi-Annual Financial Statements - June 30, 2021 – 153 – CIG - 9610 US Equity Value Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 539 (568) 2.69 (1.75) 199,734 323,713 Net gain (loss) on investments and derivatives Series E 20,177 (13,888) 4.40 (2.33) 4,592,676 5,984,768 Dividends 1,880 4,266 Series F 2,142 (1,024) 2.30 (1.04) 930,701 989,684 Interest for distribution purposes 8 41 Series I 23,559 (11,962) 6.85 (2.66) 3,443,759 4,495,481 Income distributions from investments - - Series OF 48 (51) 4.10 (3.40) 11,736 14,937 Capital gain distributions from investments - - Series W 12,583 (673) 8.33 (0.29) 1,512,288 2,314,156 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 70,887 (3,286) Change in unrealized appreciation (depreciation) in value of investments and derivatives (11,361) (26,605) Total net gain (loss) on investments and derivatives 61,414 (25,584) Other income Foreign exchange gain (loss) on cash (385) (401) Commitment fee income - - Securities lending revenue (Note 6) 23 19 Fees rebate 11 9 Total other income (351) (373) Total income 61,063 (25,957) Expenses Management fees (Note 5) 1,346 1,362 Administration fees (Note 5) 212 221 Commissions and other portfolio transaction costs 40 67 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - 2 Withholding taxes 236 374 Harmonized sales tax 180 182 Other expenses - - Total expenses 2,015 2,209 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 59,048 (28,166)

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

Semi-Annual Financial Statements - June 30, 2021 – 154 – US Equity Value Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 3,944 5,342 151,166 142,785 14,575 10,938 156,891 150,811 Increase (decrease) in net assets attributable to holders of redeemable units 539 (568) 20,177 (13,888) 2,142 (1,024) 23,559 (11,962) Distributions to holders of redeemable units From net investment income ------(341) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units ------(341)

Redeemable unit transactions Proceeds from redeemable units issued 84 363 13,620 28,624 4,185 4,349 30,936 37,768 Reinvestment of distributions to holders of redeemable units ------341 Redemption of redeemable units (1,258) (909) (63,919) (22,028) (7,164) (2,265) (62,573) (35,054) Net increase (decrease) from redeemable unit transactions (1,174) (546) (50,299) 6,596 (2,979) 2,084 (31,637) 3,055 Net increase (decrease) in net assets attributable to holders of redeemable units (635) (1,114) (30,122) (7,292) (837) 1,060 (8,078) (9,248) Net assets attributable to holders of redeemable units at the end of period 3,309 4,228 121,044 135,493 13,738 11,998 148,813 141,563

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 269 421 77,777 85,501 404,622 395,798 Increase (decrease) in net assets attributable to holders of redeemable units 48 (51) 12,583 (673) 59,048 (28,166) Distributions to holders of redeemable units From net investment income - - - (125) - (466) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - - (125) - (466)

Redeemable unit transactions Proceeds from redeemable units issued 85 24 14,099 79,991 63,009 151,119 Reinvestment of distributions to holders of redeemable units - - - 125 - 466 Redemption of redeemable units (105) (145) (24,990) (90,973) (160,009) (151,374) Net increase (decrease) from redeemable unit transactions (20) (121) (10,891) (10,857) (97,000) 211 Net increase (decrease) in net assets attributable to holders of redeemable units 28 (172) 1,692 (11,655) (37,952) (28,421) Net assets attributable to holders of redeemable units at the end of period 297 249 79,469 73,846 366,670 367,377

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

Semi-Annual Financial Statements - June 30, 2021 – 155 – US Equity Value Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 59,048 (28,166) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (70,887) 3,286 Unrealized foreign exchange (gain) loss on cash (60) (129) Commissions and other portfolio transaction costs 40 67 Change in unrealized (appreciation) depreciation in value of investments and derivatives 11,361 26,605 Proceeds from sale and maturity of investments and derivatives 216,564 177,342 Purchase of investments and derivatives (121,445) (184,253) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 82 89 (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (5) (4) Net cash from (used in) operating activities 94,698 (5,163)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 54,370 144,641 Amounts paid on redemption of redeemable units (151,989) (145,155) Net cash from (used in) financing activities (97,619) (514)

Unrealized foreign exchange gain (loss) on cash 60 129 Net increase (decrease) in cash (2,921) (5,677) Cash (bank overdraft), beginning of period 12,593 9,625 Cash (bank overdraft), end of period 9,732 4,077

Supplementary Information: Dividends received, net of withholding tax* 1,555 2,447 Interest received, net of withholding tax* 8 41 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.

Semi-Annual Financial Statements - June 30, 2021 – 156 – US Equity Value Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

INFORMATION TECHNOLOGY 5,778 Adobe Systems Inc. 3,415,662 4,194,603 15,071 Arista Networks Inc. 4,845,313 6,768,695 26,217 Aspen Technology Inc. 4,193,121 4,469,867 14,280 Broadcom Inc. 4,950,184 8,440,797 40,797 Citrix Systems Inc. 6,482,637 5,930,587 166,076 Dropbox Inc. 4,373,227 6,239,868 10,656 Lam Research Corp. 4,278,125 8,595,232 59,519 Micron Technology Inc. 3,505,310 6,269,818 82,139 Microsoft Corp. 8,926,773 27,582,967 251,267 Sabre Corp. 4,146,477 3,887,162 40,361 SS&C Technologies Holdings Inc. 3,500,580 3,605,278 17,796 Visa Inc., Class A 2,314,496 5,158,063 54,931,905 91,142,937 24.86 COMMUNICATION SERVICES 5,941 Alphabet Inc., Class C 8,447,080 18,457,745 34,556 Electronic Arts Inc. 4,518,086 6,161,061 40,143 Facebook Inc. 10,361,991 17,302,528 109,391 Liberty Media Corp. - Liberty SiriusXM 6,201,764 6,316,313 30,495 Nexstar Media Group Inc. 4,486,656 5,590,114 36,164 T-Mobile USA Inc. 5,499,658 6,492,584 39,515,235 60,320,345 16.45 FINANCIALS 69,085 American International Group Inc. 3,682,812 4,076,367 153,050 Bank of America Corp. 5,117,054 7,822,206 21,148 Capital One Financial Corp. 3,465,031 4,055,217 114,814 Equitable Holdings Inc. 3,180,241 4,333,758 85,709 Essent Group Ltd. 5,079,886 4,775,718 84,973 KKR & Co., Inc. 3,109,236 6,239,913 54,641 MetLife Inc. 3,494,674 4,053,828 29,104 Morgan Stanley 1,648,477 3,307,937 12,264 Signature Bank 2,165,966 3,734,491 101,406 Wells Fargo & Co. 5,638,090 5,693,096 41,206 Western Alliance Bancorp. 2,681,424 4,742,692 39,262,891 52,835,223 14.41 HEALTH CARE 87,181 Centene Corp. 6,243,964 7,881,532 17,100 Danaher Corp. 1,452,939 5,688,483 64,806 Gilead Sciences Inc. 5,264,631 5,531,779 44,394 Merck & Co., Inc. 4,723,089 4,279,755 35,019 Syneos Health Inc. 3,525,619 3,884,730 9,293 Thermo Fisher Scientific Inc. 4,012,518 5,811,307 16,379 UnitedHealth Group Inc. 2,744,026 8,130,315 14,989 Vertex Pharmaceuticals Inc. 3,545,008 3,746,367 31,511,794 44,954,268 12.26 CONSUMER DISCRETIONARY 1,308 Amazon.com Inc. 5,353,889 5,577,877 23,819 CarMax Inc. 2,368,787 3,813,296 46,820 Dollar Tree Inc. 5,232,575 5,774,801 45,321 Las Vegas Sands Corp. 3,323,385 2,960,126 981 NVR Inc. 5,822,969 6,047,783 50,744 Restaurant Brands International Inc. (USD) 3,928,128 4,053,431 66,605 TJX Co., Inc. 2,596,298 5,566,448 28,626,031 33,793,762 9.22

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

Semi-Annual Financial Statements - June 30, 2021 – 157 – US Equity Value Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

INDUSTRIALS 30,795 AMETEK Inc. 3,282,179 5,096,171 26,462 Jacobs Engineering Group Inc. 2,991,997 4,376,492 17,006 Middleby Corp. 2,698,928 3,652,440 16,324 Norfolk Southern Corp. 2,921,579 5,370,645 15,943 Northrop Grumman Corp. 6,808,256 7,182,463 33,221 Raytheon Technologies Corp. 3,477,743 3,513,138 10,601 United Rentals Inc. 4,178,512 4,192,120 26,359,194 33,383,469 9.10 REAL ESTATE 23,083 Jones Lang LaSalle Inc. 4,198,955 5,592,844 33,902 Ryman Hospitality Properties Inc. 3,197,653 3,318,295 2,280 Texas Pacific Land Corp. 2,347,730 4,521,336 9,744,338 13,432,475 3.66 CONSUMER STAPLES 33,439 Lamb Weston Holdings Inc. 2,861,159 3,343,444 33,330 Walmart Inc. 5,636,616 5,826,377 8,497,775 9,169,821 2.50 ENERGY 24,609 Pioneer Natural Resources Co. 4,832,951 4,957,735 90,619 Schlumberger Ltd. 3,561,042 3,595,734 8,393,993 8,553,469 2.33 MATERIALS 13,408 Linde PLC (USD) 3,192,315 4,805,014 1.31 UTILITIES 37,036 NextEra Energy Partners L.P. 3,139,526 3,505,682 0.96 Commissions and other portfolio transaction costs (42,353) Total Investment Portfolio before Derivative Instruments 253,132,644 355,896,465 97.06 Foreign Currency Forward Contract(s) (see Schedule A) 520,269 0.14 Total Investment Portfolio 253,132,644 356,416,734 97.20 Other Net Assets (Liabilities) 10,253,050 2.80 Net Assets Attributable to Holders of Redeemable Units 366,669,784 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 158 – US Equity Value Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

Schedule A Foreign Currency Forward Contract(s)

‡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.

Semi-Annual Financial Statements - June 30, 2021 – 159 – US Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 1,010 (322) - 688 Derivative assets - Swaps and swaptions - - - - Total 1,010 (322) - 688 Derivative liabilities - Foreign currency forward contracts (490) 322 - (168) Derivative liabilities - Swaps and swaptions - - - - Total (490) 322 - (168) 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 3,294 - - 3,294 Derivative assets - Swaps and swaptions - - - - Total 3,294 - - 3,294 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Semi-Annual Financial Statements - June 30, 2021 – 160 – US Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 39 66 Soft dollar commissions† 11 -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 239,798 340,626 5,756,287 5,734,997 1,081,096 865,254 4,158,328 4,301,873 Redeemable units issued for cash 4,733 29,408 480,751 1,397,717 286,176 408,775 734,590 1,337,521 Redeemable units issued for reinvested distributions ------12,909 Redeemable units redeemed (71,016) (65,994) (2,273,195) (1,013,017) (495,648) (212,579) (1,540,887) (1,150,841) Number of redeemable units at the end of period 173,515 304,040 3,963,843 6,119,697 871,624 1,061,450 3,352,031 4,501,462

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 10,569 17,521 1,671,244 1,976,529 Redeemable units issued for cash 3,181 1,187 273,237 2,312,365 Redeemable units issued for reinvested distributions - - - 3,860 Redeemable units redeemed (3,763) (7,101) (491,915) (2,389,896) Number of redeemable units at the end of period 9,987 11,607 1,452,566 1,902,858

Semi-Annual Financial Statements - June 30, 2021 – 161 – US Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 24,595 37,084 Collateral (non-cash) 25,087 37,826

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 27 23 Charges (4) (4) Securities lending revenue 23 19 Charges as a % of gross securities lending revenue 14.8 17.4

Contingent Liabilities The Fund is subject to a claim in the amount of $14.8 million from creditors arising from proceeds received from the sale of an investment held by the Fund, in a subsequently bankrupt organization. While management currently believes that resolution of this claim will not have a material adverse impact on the Fund, these matters are subject to inherent uncertainties. The amount of the loss, if any, cannot be determined at this time.

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

Semi-Annual Financial Statements - June 30, 2021 – 162 – US Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

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

Concentration Risk as at June 30, 2021~ For Concentration Risk as at June 30, 2021, 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) (%) U.S. Dollar 364,479 (107,135) 257,344 70.2 as at December 31, 2020 Total 364,479 (107,135) 257,344 70.2 Categories Net Assets (%) Information Technology 23.1 Communication Services 15.7 as at December 31, 2020~ Health Care 15.0 Financial Instruments Net Net Financials 14.7 Exposure Derivatives Exposure Assets Consumer Discretionary 8.5 Currency (in $000’s) (in $000’s) (in $000’s) (%) Industrials 7.5 U.S. Dollar 392,648 (109,199) 283,449 70.1 Consumer Staples 6.1 Total 392,648 (109,199) 283,449 70.1 Other Net Assets (Liabilities) 3.1 Materials 2.9 ~Includes monetary and non-monetary instruments, if any. Real Estate 1.6 Utilities 1.0 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - Foreign Currency Forward Contract(s) 0.8 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, Total 100.0 net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $25,734,000 (December 31, 2020 - $28,345,000). In practice, the actual results may differ from this analysis and the difference may be material. Credit Risk As at June 30, 2021, the Fund’s exposure to credit risk through derivative instruments was insignificant. Interest Rate Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to interest with the following credit ratings, as per the table below. rate risk as 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++ 0.2 AA/Aa/A+ 0.7 Total 0.9 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 June 30, 2021 *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) Equities 355,896 - - 355,896 Other Price Risk Foreign currency forward contract(s), net - 520 - 520 As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in U.S. equities and Total 355,896 520 - 356,416 therefore was sensitive to changes in general economic conditions in the United States.

As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased Long Positions at fair value as at December 31, 2020 by 10% (December 31, 2020 - 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 Level 1 Level 2 Level 3 Total approximately $35,590,000 (December 31, 2020 - $38,876,000). In practice, actual results may (in $000’s) (in $000’s) (in $000’s) (in $000’s) differ from this analysis and the difference may be material. Equities 388,755 - - 388,755 Foreign currency forward contract(s), net - 3,294 - 3,294 Total 388,755 3,294 - 392,049

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 163 – Emerging Markets Equity Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 1,570 1,776 18.20 17.51 86,302 101,416 Current assets Series E 239,202 231,016 21.21 20.35 11,279,012 11,350,505 Investments 574,091 547,578 Series F 30,081 24,601 15.90 15.17 1,892,206 1,621,381 Investments pledged as collateral - - Series I 228,844 209,951 32.68 31.00 7,003,178 6,773,442 Cash 21,108 9,316 Series OF 74 66 18.47 17.68 3,987 3,757 Unrealized gain on futures and foreign currency Series W 96,795 84,419 38.97 37.00 2,483,769 2,281,649 forward contracts - 807 Swaps, swaptions and options 2,173 - Daily variation margin on derivative instruments - - Fees rebate receivable 8 - Cash collateral on deposit for short sale - - Dividends receivable 4,126 446 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 2,249 - Receivable for unit subscriptions 1,548 561 605,303 558,708 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 655 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 8,208 1,653 Payable for unit redemptions 529 4,571 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 8,737 6,879 Net assets attributable to holders of redeemable units 596,566 551,829

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

Semi-Annual Financial Statements - June 30, 2021 – 164 – CIG - 9621 Emerging Markets Equity Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 82 (57) 0.93 (0.36) 88,507 159,055 Net gain (loss) on investments and derivatives Series E 11,229 (2,580) 1.04 (0.21) 10,818,639 12,769,491 Dividends 7,991 3,724 Series F 1,378 (26) 0.82 (0.02) 1,680,772 1,615,269 Interest for distribution purposes 3 89 Series I 12,648 195 1.90 0.02 6,669,671 7,383,647 Income distributions from investments - - Series OF 3 1 0.80 0.16 3,852 7,009 Capital gain distributions from investments - - Series W 4,886 963 2.10 0.37 2,324,036 2,657,528 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 74,123 (14,105) Change in unrealized appreciation (depreciation) in value of investments and derivatives (45,771) 10,704 Total net gain (loss) on investments and derivatives 36,346 412 Other income Foreign exchange gain (loss) on cash (1,095) 2,044 Commitment fee income - - Securities lending revenue (Note 6) 39 29 Fees rebate 16 11 Total other income (1,040) 2,084 Total income 35,306 2,496 Expenses Management fees (Note 5) 2,290 1,960 Administration fees (Note 5) 351 294 Commissions and other portfolio transaction costs 1,550 1,042 Independent review committee fees 1 1 Securities borrowing fees (Note 2) 4 4 Margin fees - - Service fees - 15 Interest expense 5 3 Withholding taxes 560 419 Harmonized sales tax 308 262 Other expenses 11 - Total expenses 5,080 4,000 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 30,226 (1,504)

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

Semi-Annual Financial Statements - June 30, 2021 – 165 – Emerging Markets Equity Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1,776 2,476 231,016 205,851 24,601 17,624 209,951 173,849 Increase (decrease) in net assets attributable to holders of redeemable units 82 (57) 11,229 (2,580) 1,378 (26) 12,648 195 Distributions to holders of redeemable units From net investment income (2) - (249) - (33) - (269) (451) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (2) - (249) - (33) - (269) (451)

Redeemable unit transactions Proceeds from redeemable units issued 194 167 41,791 41,136 9,715 6,425 47,889 45,337 Reinvestment of distributions to holders of redeemable units 2 - 249 - 33 - 269 451 Redemption of redeemable units (482) (618) (44,834) (39,792) (5,613) (3,985) (41,644) (40,044) Net increase (decrease) from redeemable unit transactions (286) (451) (2,794) 1,344 4,135 2,440 6,514 5,744 Net increase (decrease) in net assets attributable to holders of redeemable units (206) (508) 8,186 (1,236) 5,480 2,414 18,893 5,488 Net assets attributable to holders of redeemable units at the end of period 1,570 1,968 239,202 204,615 30,081 20,038 228,844 179,337

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 66 94 84,419 74,109 551,829 474,003 Increase (decrease) in net assets attributable to holders of redeemable units 3 1 4,886 963 30,226 (1,504) Distributions to holders of redeemable units From net investment income - - (112) (143) (665) (594) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - (112) (143) (665) (594)

Redeemable unit transactions Proceeds from redeemable units issued 22 33 21,678 31,713 121,289 124,811 Reinvestment of distributions to holders of redeemable units - - 112 143 665 594 Redemption of redeemable units (17) (42) (14,188) (34,762) (106,778) (119,243) Net increase (decrease) from redeemable unit transactions 5 (9) 7,602 (2,906) 15,176 6,162 Net increase (decrease) in net assets attributable to holders of redeemable units 8 (8) 12,376 (2,086) 44,737 4,064 Net assets attributable to holders of redeemable units at the end of period 74 86 96,795 72,023 596,566 478,067

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

Semi-Annual Financial Statements - June 30, 2021 – 166 – Emerging Markets Equity Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 30,226 (1,504) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (74,123) 14,105 Unrealized foreign exchange (gain) loss on cash (173) (169) Commissions and other portfolio transaction costs 1,550 1,042 Change in unrealized (appreciation) depreciation in value of investments and derivatives 45,771 (10,704) Proceeds from sale and maturity of investments and derivatives 358,070 229,903 Purchase of investments and derivatives (355,496) (236,804) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable (3,680) (100) (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (8) (5) Net cash from (used in) operating activities 2,137 (4,236)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 110,050 117,778 Amounts paid on redemption of redeemable units (100,568) (111,048) Net cash from (used in) financing activities 9,482 6,730

Unrealized foreign exchange gain (loss) on cash 173 169 Net increase (decrease) in cash 11,619 2,494 Cash (bank overdraft), beginning of period 9,316 13,307 Cash (bank overdraft), end of period 21,108 15,970

Supplementary Information: Dividends received, net of withholding tax* 3,591 2,978 Interest received, net of withholding tax* 3 89 Dividends paid* - - Interest paid* 5 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.

Semi-Annual Financial Statements - June 30, 2021 – 167 – Emerging Markets Equity Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

CAYMAN ISLANDS 461,569 Alibaba Group Holding Ltd. 15,171,397 16,212,107 10,103 Alibaba Group Holding Ltd., ADR 2,528,142 2,840,126 356,213 ANTA Sports Products Ltd. 3,964,411 10,395,996 22,625 Baidu Inc., ADR 7,346,527 5,718,582 699,725 China Resources Mixc Lifestyle Services Ltd. 2,825,296 5,937,598 242,479 Full Truck Alliance Co Ltd. 5,662,685 6,125,773 111,161 GDS Holdings Ltd., ADR 6,558,215 10,815,568 79,269 Huazhu Group Ltd., ADR 4,372,380 5,189,220 49,469 JD.com Inc., ADR 3,066,455 4,894,102 5,641,040 KWG Living Group Holdings Ltd. 5,746,363 8,970,128 114,774 LDH Growth Corp., I 1,434,440 1,422,742 205,126 Meituan Dianping 9,986,654 10,492,848 26,346 Sea Ltd., ADR 4,168,760 8,968,045 323,290 Tencent Holdings Ltd. 23,581,829 30,142,916 2,873,408 Topsports International Holdings Ltd. 6,043,435 5,835,318 260,020 Wuxi Biologics Cayman Inc. 4,188,519 5,907,338 51,838 XPeng Inc. 1,952,530 2,854,364 108,598,038 142,722,771 23.94 CHINA 501,521 Aier Eye Hospital Group Co., Ltd. 4,690,330 6,829,319 4,420,508 Air China Ltd. 4,472,214 4,029,846 14,271,484 Aluminum Corporation of China Ltd., Shares H 8,265,910 10,549,461 128,581 BYD Co., Ltd., Shares H 1,189,252 4,766,715 796,233 China Merchants Bank Co., Ltd., Shares H 5,312,363 8,421,825 618,548 East Money Information Co., Ltd. 2,912,600 3,891,055 1,184,126 Hainan Meilan International Airport Co., Ltd. 7,479,005 6,134,692 831,660 Han’s Laser Technology Industry Group Co., Ltd. 5,938,905 6,362,873 10,407 Kweichow Moutai Co., Ltd. 1,858,571 4,106,282 711,901 Ping An Insurance (Group) Co. of China Ltd., Shares H 8,746,562 8,643,686 1,873,662 Sany Heavy Industry Co., Ltd. 12,499,772 10,449,332 380,888 Wuhan Raycus Fiber Laser Technologies Co., Ltd. 6,090,195 8,044,470 69,455,679 82,229,556 13.78 TAIWAN 527,976 Feng TAY Enterprise Co., Ltd. 4,628,103 5,743,220 262,727 MediaTek Inc. 4,606,925 11,244,553 236,383 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 18,897,272 35,209,408 990,782 Unimicron Technology Corp. 4,025,947 5,686,306 345,233 Universal Vision Biotechnology Co., Ltd. 4,041,143 5,298,999 36,199,390 63,182,486 10.59 SOUTH KOREA 76,786 Doosan Bobcat Inc. 2,124,190 4,057,043 11,440 LG Chem Ltd. 9,633,611 10,703,634 256,831 Samsung Electronics Co., Ltd. 13,654,385 22,814,308 27,285 Shinsegae Co., Ltd. 8,878,090 8,574,650 94,919 SK Hynix Inc. 13,334,819 13,321,393 47,625,095 59,471,028 9.97 INDIA 1,960,200 Embassy Office Parks REIT 11,312,664 11,449,403 99,241 Housing Development Finance Corp., Ltd. 3,216,761 4,094,995 567,846 ICICI Bank Ltd. 3,453,702 5,972,199 217,518 Larsen & Toubro Ltd. 4,608,502 5,441,126 222,116 Shriram Transport Finance Co., Ltd. 4,552,770 4,971,481 812,284 State Bank of India 5,340,159 5,676,391 32,484,558 37,605,595 6.30

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

Semi-Annual Financial Statements - June 30, 2021 – 168 – Emerging Markets Equity Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

HONG KONG 706,546 AIA Group Ltd. 8,808,913 10,885,488 489,602 Galaxy Entertainment Group Ltd. 6,115,276 4,858,078 5,612,181 Guangdong Investment Ltd. 12,432,574 9,999,448 8,518,836 SF Real Estate Investment Trust 6,682,283 5,957,095 34,039,046 31,700,109 5.31 BRAZIL 1,447,589 Banco Bradesco S.A., Preferred 9,721,428 9,282,816 682,708 Banco do Brasil S.A. 6,959,249 5,466,891 351,077 Petroleo Brasileiro S.A., ADR 4,594,043 5,322,448 205,332 Rede D’Or Sao Luiz S.A. 2,983,818 3,532,557 24,258,538 23,604,712 3.96 MEXICO 849,950 Controladora Vuela Cia de Aviacion S.A.B. de C.V. 1,491,792 2,017,982 561,170 Fomento Económico Mexicano, S.A.B. de C.V. 5,100,962 5,867,157 1,231,133 Grupo Financiero Banorte S.A.B. de C.V. 9,163,648 9,857,663 1,407,076 Walmart de Mexico S.A.B. de C.V. 4,896,360 5,693,593 20,652,762 23,436,395 3.93 CANADA 320,340 First Quantum Minerals Ltd. 8,218,740 9,152,114 769,346 Kinross Gold Corp. 7,010,832 6,047,060 104,997 Pan American Silver Corp. 4,223,650 3,716,894 122,943 Parex Resources Inc. 2,835,858 2,544,920 22,289,080 21,460,988 3.60 CZECH REPUBLIC 154,583 Komercni Banka AS 5,525,547 6,744,774 2,071,530 Moneta Money Bank AS 8,278,482 9,754,905 13,804,029 16,499,679 2.77 BERMUDA 23,666 Bunge Ltd. 1,960,687 2,292,643 8,130,938 Kunlun Energy Co., Ltd. 9,731,805 9,294,667 11,692,492 11,587,310 1.94 U.S.A. 4,349 MercadoLibre Inc. 5,171,502 8,398,097 1.41 INDONESIA 16,253,954 Bank Mandiri Persero Tbk PT 8,887,868 8,198,334 1.37 SOUTH AFRICA 27,765 Naspers Ltd. 7,742,918 7,233,157 1.21 GERMANY 43,769 Delivery Hero AG 2,623,890 7,166,809 1.20 EXCHANGE-TRADED FUND(S) 97,614 iShares MSCI Mexico ETF 5,562,628 5,806,914 0.97 U.K. 913,330 Network International Holdings PLC 4,878,777 5,727,302 0.96 RUSSIA 278,040 Sberbank of Russia, ADR (London) 4,873,347 5,723,066 0.96 PANAMA 152,212 Intercorp Financial Services Inc. 6,884,700 4,739,703 0.79 HUNGARY 61,630 OTP Bank PLC 3,318,508 4,112,806 0.69

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

Semi-Annual Financial Statements - June 30, 2021 – 169 – Emerging Markets Equity Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CHILE 16,761,498 Enersis S.A. 2,836,785 3,049,913 0.51 PORTUGAL 32,298 Galp Energia SGPS S.A. 473,551 434,476 0.07 Commissions and other portfolio transaction costs (1,031,148) Total Investment Portfolio before Derivative Instruments 473,322,033 574,091,206 96.23 Long Option Contract(s) (see Schedule A) 2,951,565 2,173,484 0.36 Total Investment Portfolio 476,273,598 576,264,690 96.59 Other Net Assets (Liabilities) 20,301,296 3.41 Net Assets Attributable to Holders of Redeemable Units 596,565,986 100.00

Schedule A Long Option Contract(s)

Premium Paid Contract(s) Underlying Interest Expiry Date Strike Price ($) Currency (Received) ($) Fair Value ($) 20,750 iShares MSCI Emerging Markets ETF Put @ 52.00 September 17, 2021 52.00 USD 2,951,565 2,173,484 Total Long Option Contract(s) Value 2,951,565 2,173,484

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

Semi-Annual Financial Statements - June 30, 2021 – 170 – Emerging Markets Equity Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 - - - -

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 807 (391) - 416 Derivative assets - Swaps and swaptions - - - - Total 807 (391) - 416 Derivative liabilities - Foreign currency forward contracts (655) 391 - (264) Derivative liabilities - Swaps and swaptions - - - - Total (655) 391 - (264)

Interest in Unconsolidated Structured Entities (Note 2)

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

as at June 30, 2021 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 MSCI Mexico ETF 1,475,074 5,807 0.4 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) (%) - - -

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

Semi-Annual Financial Statements - June 30, 2021 – 171 – Emerging Markets Equity Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 1,394 904 Soft dollar commissions† 397 311

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 101,416 175,788 11,350,505 12,646,132 1,621,381 1,468,589 6,773,442 7,148,651 Redeemable units issued for cash 11,031 13,194 2,003,702 2,760,360 616,831 581,352 1,491,637 2,030,145 Redeemable units issued for reinvested distributions 88 - 11,804 - 2,095 - 8,300 18,451 Redeemable units redeemed (26,233) (46,985) (2,086,999) (2,668,640) (348,101) (367,346) (1,270,201) (1,794,235) Number of redeemable units at the end of period 86,302 141,997 11,279,012 12,737,852 1,892,206 1,682,595 7,003,178 7,403,012

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 3,757 6,684 2,281,649 2,552,517 Redeemable units issued for cash 1,184 2,730 561,583 1,228,083 Redeemable units issued for reinvested distributions 4 - 2,888 4,908 Redeemable units redeemed (958) (3,236) (362,351) (1,294,491) Number of redeemable units at the end of period 3,987 6,178 2,483,769 2,491,017

Semi-Annual Financial Statements - June 30, 2021 – 172 – Emerging Markets Equity Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 2.500 0.22 Series E 1.900 0.22 Series F 0.900 0.22 Series I Paid directly by investor Paid directly by investor Series OF 1.500 0.22 Series W Paid directly by investor 0.16

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 32,115 31,702 Collateral (non-cash) 32,757 32,336

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 46 34 Charges (7) (5) Securities lending revenue 39 29 Charges as a % of gross securities lending revenue 15.2 14.7

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

Semi-Annual Financial Statements - June 30, 2021 – 173 – Emerging Markets Equity Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Other Price Risk As at June 30, 2021 and December 31, 2020, 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 June 30, 2021, refer to the Schedule of Investment Portfolio. As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable The table below summarizes the Fund’s exposure to concentration risk. to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately $57,409,000 (December 31, 2020 - $54,758,000). In practice, actual results may as at December 31, 2020 differ from this analysis and the difference may be material. Categories Net Assets (%) Cayman Islands 27.2 China 13.6 Currency Risk South Korea 10.0 The tables below summarize the Fund’s exposure to currency risk. Taiwan 9.5 India 6.4 as at June 30, 2021~ Brazil 6.0 Financial Instruments Net Net Hong Kong 4.2 Exposure Derivatives Exposure Assets Mexico 3.0 Currency (in $000’s) (in $000’s) (in $000’s) (%) Czech Republic 2.6 Hong Kong Dollar 173,257 - 173,257 29.0 Thailand 2.1 U.S. Dollar 128,930 - 128,930 21.6 South Africa 1.9 Korean Won 58,894 - 58,894 9.9 Indonesia 1.8 Chinese Renminbi 43,278 - 43,278 7.3 U.S.A. 1.8 Indian Rupee 37,666 - 37,666 6.3 Germany 1.6 Taiwan Dollar 33,172 - 33,172 5.6 Panama 1.2 Mexican Peso 23,436 - 23,436 3.9 Bermuda 1.1 Brazilian Real 18,321 - 18,321 3.1 Russia 1.0 Czech Koruna 16,150 - 16,150 2.7 Portugal 0.9 Euro 9,657 - 9,657 1.6 U.K. 0.8 Indonesian Rupiah 7,973 - 7,973 1.3 Other Net Assets (Liabilities) 0.7 South Africa Rand 7,045 - 7,045 1.2 Hungary 0.7 British Pound 5,569 - 5,569 0.9 Chile 0.7 Hungarian Forint 3,997 - 3,997 0.7 Canada 0.6 Chilean Peso 2,974 - 2,974 0.5 Singapore 0.6 Total 570,319 - 570,319 95.6 Foreign Currency Forward Contract(s) 0.0 Total 100.0 as at December 31, 2020~ Financial Instruments Net Net Credit Risk Exposure Derivatives Exposure Assets The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, Currency (in $000’s) (in $000’s) (in $000’s) (%) with the following credit ratings, as per the tables below. Hong Kong Dollar 154,815 - 154,815 28.1 U.S. Dollar 129,529 - 129,529 23.5 as at June 30, 2021 Korean Won 55,367 - 55,367 10.0 Credit Rating^* Net Assets (%) Chinese Renminbi 44,593 - 44,593 8.1 AAA/Aaa/A++ 0.4 Indian Rupee 35,581 - 35,581 6.4 Not Rated 1.6 Taiwan Dollar 22,950 - 22,950 4.2 Total 2.0 Brazilian Real 19,669 - 19,669 3.6 Mexican Peso 16,701 - 16,701 3.0 Czech Koruna 14,175 - 14,175 2.6 as at December 31, 2020 Euro 14,122 - 14,122 2.6 Credit Rating^* Net Assets (%) Thai Baht 11,675 - 11,675 2.1 AA/Aa/A+ 0.1 South Africa Rand 10,764 - 10,764 2.0 Not Rated 1.1 Indonesian Rupiah 10,005 - 10,005 1.8 Total 1.2 British Pound 4,267 - 4,267 0.8 Hungarian Forint 3,682 - 3,682 0.7 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Singapore Dollar 3,042 - 3,042 0.6 Investors Service or Dominion Bond Rating Service, respectively. Total 550,937 - 550,937 100.1 *Refer to Note 10 for Credit Rating Chart reference.

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

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

Semi-Annual Financial Statements - June 30, 2021 – 174 – Emerging Markets Equity Pool Fund Specific Notes to Financial Statements (unaudited)

Currency Risk (cont’d) As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - 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 $57,032,000 (December 31, 2020 - $55,094,000). In practice, the actual results may differ from this analysis and the difference may be material.

Interest Rate Risk As at June 30, 2021, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and Exchange-Traded Fund(s).

As at December 31, 2020, the Fund did not have a 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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 568,284 - - 568,284 Exchange-Traded Fund(s) 5,807 - - 5,807 Option contract(s) 2,173 - - 2,173 Total 576,264 - - 576,264

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 535,903 11,675 - 547,578 Foreign currency forward contract(s), net - 152 - 152 Total 535,903 11,827 - 547,730

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 175 – Global Equity Allocation Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 1,394 1,338 11.41 10.57 122,105 126,581 Current assets Series E 357,967 268,982 11.54 10.67 31,008,251 25,198,747 Investments 1,014,793 745,770 Series ET8 608 423 9.22 8.86 65,902 47,756 Investments pledged as collateral - - Series F 67,962 43,637 11.78 10.87 5,768,221 4,012,712 Cash 25,175 4,572 Series FT8 498 273 9.43 9.05 52,795 30,215 Unrealized gain on futures and foreign currency Series I 579,886 419,824 12.00 11.05 48,342,988 37,985,077 forward contracts 243 2,129 Series IT8 6,395 5,071 9.60 9.19 666,466 551,759 Swaps, swaptions and options - - Series OF 336 258 11.64 10.75 28,856 23,939 Daily variation margin on derivative instruments - - Series W 16,485 13,424 11.96 11.02 1,378,794 1,218,136 Fees rebate receivable 214 217 Series WT8 54 1 9.52 9.12 5,698 123 Cash collateral on deposit for short sale - - Dividends receivable 288 320 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - - Receivable for unit subscriptions 1,397 2,150 1,042,110 755,158 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 3,436 768 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 5,937 - Payable for unit redemptions 1,152 1,157 Distributions payable to holders of redeemable units - 2 Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 10,525 1,927 Net assets attributable to holders of redeemable units 1,031,585 753,231

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

Semi-Annual Financial Statements - June 30, 2021 – 176 – CIG - 9683 Global Equity Allocation Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 113 (187) 0.88 (1.08) 128,546 174,031 Net gain (loss) on investments and derivatives Series E 25,967 (21,066) 0.90 (0.88) 28,868,839 23,924,498 Dividends 6,380 10,699 Series ET8 42 (37) 0.73 (0.78) 58,125 47,465 Interest for distribution purposes 29 169 Series F 4,834 (2,688) 0.96 (0.78) 4,967,127 3,422,517 Income distributions from investments 294 - Series FT8 36 (20) 0.82 (0.86) 43,849 23,904 Capital gain distributions from investments 786 5,439 Series I 46,363 (28,240) 1.05 (0.80) 44,301,298 34,998,632 Derivative income (loss) - - Series IT8 530 (393) 0.87 (0.88) 610,040 448,221 Dividends expense on financial assets (liabilities) sold Series OF 26 (25) 0.92 (0.93) 28,025 27,248 short - - Series W 1,382 (1,073) 1.04 (0.88) 1,345,825 1,215,040 Interest expense on financial assets (liabilities) sold short - - Series WT8 - - 1.24 0.39 155 2,695 Net realized gain (loss) on sale of investments and derivatives 20,761 (19,186) Change in unrealized appreciation (depreciation) in value of investments and derivatives 54,096 (45,936) Total net gain (loss) on investments and derivatives 82,346 (48,815) Other income Foreign exchange gain (loss) on cash (83) (2,673) Commitment fee income - - Securities lending revenue (Note 6) 251 225 Fees rebate 1,197 1,076 Total other income 1,365 (1,372) Total income 83,711 (50,187) Expenses Management fees (Note 5) 2,841 2,181 Administration fees (Note 5) 428 324 Commissions and other portfolio transaction costs 329 408 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - 9 Withholding taxes 436 329 Harmonized sales tax 382 290 Other expenses 1 - Total expenses 4,418 3,542 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 79,293 (53,729)

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

Semi-Annual Financial Statements - June 30, 2021 – 177 – Global Equity Allocation Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series ET8 Series F 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1,338 2,147 268,982 262,282 423 530 43,637 34,469 Increase (decrease) in net assets attributable to holders of redeemable units 113 (187) 25,967 (21,066) 42 (37) 4,834 (2,688) Distributions to holders of redeemable units From net investment income - (3) (386) (864) (1) (1) (298) (233) From net realized gains ------Return of capital - - - - (21) (19) - - Total distributions to holders of redeemable units - (3) (386) (864) (22) (20) (298) (233)

Redeemable unit transactions Proceeds from redeemable units issued 292 107 97,464 49,800 228 62 25,987 12,059 Reinvestment of distributions to holders of redeemable units - 3 386 863 7 6 298 233 Redemption of redeemable units (349) (496) (34,446) (41,416) (70) (141) (6,496) (6,534) Net increase (decrease) from redeemable unit transactions (57) (386) 63,404 9,247 165 (73) 19,789 5,758 Net increase (decrease) in net assets attributable to holders of redeemable units 56 (576) 88,985 (12,683) 185 (130) 24,325 2,837 Net assets attributable to holders of redeemable units at the end of period 1,394 1,571 357,967 249,599 608 400 67,962 37,306

Series FT8 Series I Series IT8 Series OF 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 273 277 419,824 391,467 5,071 4,423 258 328 Increase (decrease) in net assets attributable to holders of redeemable units 36 (20) 46,363 (28,240) 530 (393) 26 (25) Distributions to holders of redeemable units From net investment income (2) (1) (4,400) (3,329) (48) (40) (1) (1) From net realized gains ------Return of capital (16) (10) - - (225) (191) - - Total distributions to holders of redeemable units (18) (11) (4,400) (3,329) (273) (231) (1) (1)

Redeemable unit transactions Proceeds from redeemable units issued 205 16 168,050 78,423 2,101 1,389 89 15 Reinvestment of distributions to holders of redeemable units 7 4 4,396 3,326 136 122 1 1 Redemption of redeemable units (5) (82) (54,347) (60,014) (1,170) (738) (37) (72) Net increase (decrease) from redeemable unit transactions 207 (62) 118,099 21,735 1,067 773 53 (56) Net increase (decrease) in net assets attributable to holders of redeemable units 225 (93) 160,062 (9,834) 1,324 149 78 (82) Net assets attributable to holders of redeemable units at the end of period 498 184 579,886 381,633 6,395 4,572 336 246

Series W Series WT8 Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 13,424 13,468 1 10 753,231 709,401 Increase (decrease) in net assets attributable to holders of redeemable units 1,382 (1,073) - - 79,293 (53,729) Distributions to holders of redeemable units From net investment income (118) (110) - - (5,254) (4,582) From net realized gains ------Return of capital - - - (1) (262) (221) Total distributions to holders of redeemable units (118) (110) - (1) (5,516) (4,803)

Redeemable unit transactions Proceeds from redeemable units issued 7,452 5,466 53 29 301,921 147,366 Reinvestment of distributions to holders of redeemable units 118 110 - 1 5,349 4,669 Redemption of redeemable units (5,773) (4,490) - (8) (102,693) (113,991) Net increase (decrease) from redeemable unit transactions 1,797 1,086 53 22 204,577 38,044 Net increase (decrease) in net assets attributable to holders of redeemable units 3,061 (97) 53 21 278,354 (20,488) Net assets attributable to holders of redeemable units at the end of period 16,485 13,371 54 31 1,031,585 688,913

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

Semi-Annual Financial Statements - June 30, 2021 – 178 – Global Equity Allocation Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 79,293 (53,729) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (20,761) 19,186 Unrealized foreign exchange (gain) loss on cash (87) (88) Commissions and other portfolio transaction costs 329 408 Change in unrealized (appreciation) depreciation in value of investments and derivatives (54,096) 45,936 Proceeds from sale and maturity of investments and derivatives 472,257 873,324 Purchase of investments and derivatives (655,181) (914,440) Non-cash distributions from investments (1,080) (5,439) Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 32 368 (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable 3 35 Net cash from (used in) operating activities (179,291) (34,439)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (169) (134) Proceeds from issuance of redeemable units 280,381 132,789 Amounts paid on redemption of redeemable units (80,405) (99,468) Net cash from (used in) financing activities 199,807 33,187

Unrealized foreign exchange gain (loss) on cash 87 88 Net increase (decrease) in cash 20,516 (1,252) Cash (bank overdraft), beginning of period 4,572 21,096 Cash (bank overdraft), end of period 25,175 19,932

Supplementary Information: Dividends received, net of withholding tax* 6,023 10,764 Interest received, net of withholding tax* 27 169 Dividends paid* - - Interest paid* - 9 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.

Semi-Annual Financial Statements - June 30, 2021 – 179 – Global Equity Allocation Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

EXCHANGE-TRADED FUND(S) 11,246,929 CI Energy Giants Covered Call ETF (CAD-Hedged) (Common Units) 43,428,460 54,210,198 270,536 CI Galaxy Ethereum ETF (C$ Unhedged Series) 3,208,496 2,781,110 692,917 CI Gold Bullion Fund (C$ Hedged Series) 16,196,607 15,549,057 9,072,030 CI Gold+ Giants Covered Call ETF (Common Units) 122,373,800 105,008,747 4,568,488 CI Health Care Giants Covered Call ETF (Common Units) 43,104,683 52,400,557 597,532 CI Morningstar International Value Index ETF (Common Units) 13,574,619 14,508,077 2,626,258 CI Morningstar International Value Index ETF (Unhedged Common Units) 66,273,413 65,603,925 588,928 CI WisdomTree Canada Quality Dividend Growth Index ETF (Non-Hedged Units) 19,935,213 19,634,860 389,864 CI WisdomTree Japan Equity Index ETF (Non-Hedged Units) 9,836,269 10,044,846 755,635 iShares Core MSCI Europe ETF 46,203,565 53,653,448 764,628 iShares Core S&P/TSX Capped Composite Index ETF 22,885,726 24,513,974 570,000 iShares MSCI Japan ETF 47,952,288 47,721,982 197,921 iShares Nasdaq Biotechnology Index Fund 40,458,797 40,150,453 385,848 iShares Russell 1000 Value ETF 68,694,304 75,867,672 409,804 iShares Russell 2000 ETF 110,376,106 116,518,629 6,660,009 iShares S&P/TSX Capped Energy Index ETF 49,937,800 60,273,081 1,147,290 VanEck Vectors Gold Miners ETF 55,450,972 48,325,810 109,063 VanEck Vectors Oil Services ETF 28,212,564 29,598,198 808,103,682 836,364,624 81.08 U.S.A. 4,175 Alphabet Inc., Class C 10,591,697 12,971,063 3,040 Amazon.com Inc. 12,065,206 12,963,874 118,599 Apple Inc. 18,009,751 20,135,264 16,934 Facebook Inc. 6,025,207 7,298,932 97,703 HarbourVest Adelaide Feeder G L.P. 10,039,806 11,626,499 50,139 Microsoft Corp. 14,564,586 16,837,098 5,496 Tesla Motors Inc. 4,620,705 4,630,699 75,916,958 86,463,429 8.38 CANADA 509,939 Canadian Natural Resources Ltd. 13,507,208 22,947,255 1,005,058 Cenovus Energy Inc. 5,963,507 11,919,988 180,721 Imperial Oil Ltd. 3,419,281 6,827,639 706,715 Suncor Energy Inc. 13,446,510 20,982,368 219,720 Tourmaline Oil Corp. 3,633,534 7,784,680 39,970,040 70,461,930 6.83 FUND(S) 304,715 CI Adams Street Global Private Markets Fund (Series I) 4,137,153 4,466,007 132,898 CI Global Alpha Innovators Corporate Class (I Shares) 13,999,599 17,037,495 18,136,752 21,503,502 2.08 Commissions and other portfolio transaction costs (389,336) Total Investment Portfolio before Derivative Instruments 941,738,096 1,014,793,485 98.37 Foreign Currency Forward Contract(s) (see Schedule A) (3,192,505) (0.31) Total Investment Portfolio 941,738,096 1,011,600,980 98.06 Other Net Assets (Liabilities) 19,983,707 1.94 Net Assets Attributable to Holders of Redeemable Units 1,031,584,687 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 180 – Global Equity Allocation Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

Schedule A Foreign Currency Forward 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 August 18, 2021 CAD 1,175,723 USD 962,811 1.22 (17,780) Bank of Montreal A-1 September 15, 2021 CAD 1,527 USD 1,264 1.21 (40) Canadian Imperial Bank of Commerce A-1 August 18, 2021 CAD 1,728,086 USD 1,400,131 1.23 (7,523) Canadian Imperial Bank of Commerce A-1 September 15, 2021 CAD 1,525 USD 1,264 1.21 (42) Citigroup Inc. A-2 August 18, 2021 CAD 1,500,081 USD 1,225,396 1.22 (18,923) Citigroup Inc. A-2 September 14, 2021 EUR 24,206,039 USD 29,682,631 0.82 (1,158,418) Citigroup Inc. A-2 September 14, 2021 JPY 5,592,470,000 USD 51,151,862 109.33 (964,137) Goldman Sachs Group Inc. A-2 August 18, 2021 CAD 1,073,842 USD 875,283 1.23 (11,162) Goldman Sachs Group Inc. A-2 September 15, 2021 CAD 1,193 USD 987 1.21 (31) HSBC Holdings PLC A-1 August 18, 2021 CAD 1,060,436 USD 875,283 1.21 (24,564) HSBC Holdings PLC A-1 September 15, 2021 CAD 3,058 USD 2,528 1.21 (76) JPMorgan Chase & Co. A-2 August 18, 2021 CAD 1,509,856 USD 1,225,396 1.23 (9,151) JPMorgan Chase & Co. A-2 September 15, 2021 CAD 1,373 USD 1,138 1.21 (37) Morgan Stanley A-2 September 15, 2021 CAD 1,832 USD 1,517 1.21 (48) Morgan Stanley A-2 September 15, 2021 CAD 24,948,660 USD 20,000,000 1.25 156,424 Morgan Stanley A-2 September 13, 2021 JPY 533,406,300 CAD 5,868,861 90.89 86,906 Royal Bank of Canada A-1+ August 18, 2021 CAD 1,503,243 USD 1,225,396 1.23 (15,763) Royal Bank of Canada A-1+ September 15, 2021 CAD 1,373 USD 1,138 1.21 (37) Royal Bank of Canada A-1+ September 14, 2021 GBP 27,195,747 USD 38,587,773 0.70 (1,193,340) Toronto-Dominion Bank A-1+ August 18, 2021 CAD 628,577 USD 518,951 1.21 (14,715) Toronto-Dominion Bank A-1+ September 15, 2021 CAD 1,832 USD 1,517 1.21 (48) Total Foreign Currency Forward Contract(s) Value (3,192,505)

‡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.

Semi-Annual Financial Statements - June 30, 2021 – 181 – Global Equity Allocation Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 243 - - 243 Derivative assets - Swaps and swaptions - - - - Total 243 - - 243 Derivative liabilities - Foreign currency forward contracts (3,436) - - (3,436) Derivative liabilities - Swaps and swaptions - - - - Total (3,436) - - (3,436) 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 2,129 (318) - 1,811 Derivative assets - Swaps and swaptions - - - - Total 2,129 (318) - 1,811 Derivative liabilities - Foreign currency forward contracts (768) 318 - (450) Derivative liabilities - Swaps and swaptions - - - - Total (768) 318 - (450)

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

Semi-Annual Financial Statements - June 30, 2021 – 182 – Global Equity Allocation Pool Fund Specific Notes to Financial Statements (unaudited)

Interest in Unconsolidated Structured Entities (Note 2)

The following tables present the Fund’s interest in Unconsolidated Structured Entities. as at June 30, 2021 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 Health Care Giants Covered Call ETF 122,605 52,400 42.7 CI Gold+ Giants Covered Call ETF 503,825 105,009 20.8 CI Adams Street Global Private Markets Fund 36,028 4,466 12.4 CI Energy Giants Covered Call ETF 443,964 54,210 12.2 CI Morningstar International Value Index ETF 665,823 65,604 9.9 iShares S&P/TSX Capped Energy Index ETF 1,130,728 60,273 5.3 CI WisdomTree Canada Quality Dividend Growth Index ETF 438,118 19,635 4.5 CI Gold Bullion Fund 505,796 15,549 3.1 CI WisdomTree Japan Equity Index ETF 355,584 10,045 2.8 CI Morningstar International Value Index ETF 665,823 14,508 2.2 CI Global Alpha Innovators Corporate Class 1,250,406 17,037 1.4 iShares Core MSCI Europe ETF 6,446,149 53,653 0.8 VanEck Vectors Oil Services ETF 3,527,715 29,598 0.8 CI Galaxy Ethereum ETF 371,810 2,781 0.7 iShares Core S&P/TSX Capped Composite Index ETF 6,942,851 24,514 0.4 VanEck Vectors Gold Miners ETF 18,206,360 48,326 0.3 iShares MSCI Japan ETF 14,000,343 47,722 0.3 iShares Nasdaq Biotechnology Index Fund 13,427,201 40,151 0.3 iShares Russell 2000 ETF 85,838,702 116,519 0.1 iShares Russell 1000 Value ETF 66,930,301 75,868 0.1 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 Health Care Giants Covered Call ETF 183,697 107,891 58.7 CI First Asset MSCI World Low Risk Weighted ETF 115,747 35,883 31.0 CI First Asset Gold+ Giants Covered Call ETF 452,110 94,916 21.0 CI First Asset Long Duration Fixed Income ETF 14,859 3,040 20.5 CI First Asset Morningstar International Value Index ETF 478,259 64,583 13.5 CI First Asset Energy Giants Covered Call ETF 300,720 35,357 11.8 CI Munro Alternative Global Growth ETF 185,334 11,438 6.2 CI WisdomTree U.S. Quality Dividend Growth Index ETF 280,218 15,562 5.6 iShares MSCI World ETF 1,459,480 40,697 2.8 Signature Global Technology Corporate Class 928,611 9,428 1.0 iShares S&P/TSX Capped Energy Index ETF 900,458 7,631 0.8 iShares MSCI United Kingdom ETF 4,628,125 29,827 0.6 iShares Core MSCI Europe ETF 6,343,839 34,223 0.5 VanEck Vectors Gold Miners ETF 26,856,381 85,956 0.3 Vanguard Real Estate ETF 50,388,822 36,297 0.1 iShares Russell 1000 Value ETF 71,315,733 34,112 - iShares Russell 2000 ETF 94,787,151 29,652 -

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

Semi-Annual Financial Statements - June 30, 2021 – 183 – Global Equity Allocation Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 325 404 Soft dollar commissions† 93 155

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series ET8 Series F 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 126,581 193,607 25,198,747 23,487,132 47,756 52,216 4,012,712 3,045,976 Redeemable units issued for cash 27,065 10,967 8,868,780 4,912,628 25,322 7,027 2,303,239 1,165,279 Redeemable units issued for reinvested distributions 2 326 34,831 85,594 740 686 25,938 22,703 Redeemable units redeemed (31,543) (50,145) (3,094,107) (4,098,492) (7,916) (14,950) (573,668) (646,724) Number of redeemable units at the end of period 122,105 154,755 31,008,251 24,386,862 65,902 44,979 5,768,221 3,587,234

Series FT8 Series I Series IT8 Series OF 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 30,215 26,956 37,985,077 34,197,553 551,759 425,157 23,939 29,251 Redeemable units issued for cash 22,379 1,827 14,693,096 7,498,735 223,771 147,051 8,050 1,586 Redeemable units issued for reinvested distributions 750 432 375,971 320,282 14,361 13,238 75 113 Redeemable units redeemed (549) (8,822) (4,711,156) (5,822,821) (123,425) (86,764) (3,208) (7,017) Number of redeemable units at the end of period 52,795 20,393 48,342,988 36,193,749 666,466 498,682 28,856 23,933

Series W Series WT8 2021 2020 2021 2020 Number of redeemable units at the beginning of period 1,218,136 1,178,759 123 1,008 Redeemable units issued for cash 647,927 514,170 5,569 3,246 Redeemable units issued for reinvested distributions 10,130 10,606 6 60 Redeemable units redeemed (497,399) (432,270) - (926) Number of redeemable units at the end of period 1,378,794 1,271,265 5,698 3,388

Semi-Annual Financial Statements - June 30, 2021 – 184 – Global Equity Allocation Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) Related Party Investments (Note 9) as at June 30, 2021 (%) as at June 30 (in $000’s)

Annual Annual management administration Investments 2021 fee rate: fee rate: CI Adams Street Global Private Markets Fund (Series I) 4,466 Series A 2.250 0.22 CI Energy Giants Covered Call ETF (Common Units) 54,210 Series E 1.650 0.22 CI Galaxy Ethereum ETF (C$ Unhedged Series) 2,781 Series ET8 1.650 0.22 CI Global Alpha Innovators Corporate Class (I Shares) 17,037 Series F 0.650 0.22 CI Gold Bullion Fund (C$ Hedged Series) 15,549 Series FT8 0.650 0.22 CI Gold+ Giants Covered Call ETF (Common Units) 105,009 Series I Paid directly by investor Paid directly by investor CI Health Care Giants Covered Call ETF (Common Units) 52,400 Series IT8 Paid directly by investor Paid directly by investor CI Morningstar International Value Index ETF (Common Units) 14,508 Series OF 1.250 0.22 CI Morningstar International Value Index ETF (Unhedged Common Units) 65,604 Series W Paid directly by investor 0.16 CI WisdomTree Canada Quality Dividend Growth Index ETF (Non-Hedged Units) 19,635 Series WT8 Paid directly by investor 0.16 CI WisdomTree Japan Equity Index ETF (Non-Hedged Units) 10,045

Investments 2020 Securities Lending (Note 6) CI First Asset Health Care Giants Covered Call ETF (Common Units) 104,874 as at June 30 (in $000’s) CI First Asset MSCI World Low Risk Weighted ETF (Unhedged Common Units) 82,359 CI First Asset Morningstar Canada Momentum Index ETF (Common Units) 55,046 CI First Asset Morningstar International Value Index ETF (Unhedged Common Units) 22,244 2021 2020 CI First Asset Gold+ Giants Covered Call ETF (Common Units) 18,824 Loaned 230,955 168,408 CI First Asset Morningstar International Value Index ETF (Common Units) 11,029 Collateral (non-cash) 235,574 171,777 CI First Asset Tech Giants Covered Call ETF (Unhedged Common Units) 7,283

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 295 264 Charges (44) (39) Securities lending revenue 251 225 Charges as a % of gross securities lending revenue 14.9 14.8

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

Semi-Annual Financial Statements - June 30, 2021 – 185 – Global Equity Allocation Pool Fund Specific Notes to Financial Statements (unaudited)

Credit Risk Long Positions at fair value as at June 30, 2021 As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to credit risk Level 1 Level 2 Level 3 Total as substantially all of its assets were invested in equities and Exchange-Traded Fund(s). (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 79,695 65,604 11,626 156,925 Fund(s) 21,503 - - 21,503 Other Price Risk Exchange-Traded Fund(s) 836,365 - - 836,365 As at June 30, 2021 and December 31, 2020, the Fund was exposed to other price risk as some of its Foreign currency forward contract(s), net - (3,193) - (3,193) assets were invested in Exchange-Traded Fund(s) and global equities. Total 937,563 62,411 11,626 1,011,600

As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable to holders Long Positions at fair value as at December 31, 2020 of redeemable units of the Fund would have increased or decreased, respectively, by approximately Level 1 Level 2 Level 3 Total $101,479,000 (December 31, 2020 - $74,577,000). In practice, actual results may differ from this analysis (in $000’s) (in $000’s) (in $000’s) (in $000’s) and the difference may be material. Equities 61,882 - 7,395 69,277 Fund(s) 9,428 - - 9,428 Exchange-Traded Fund(s) 667,065 - - 667,065 Currency Risk Foreign currency forward contract(s), net - 1,361 - 1,361 The tables below summarize the Fund’s exposure to currency risk. Total 738,375 1,361 7,395 747,131 ~ as at June 30, 2021 There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year Financial Instruments Net Net ended December 31, 2020. Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 507,045 (179,248) 327,797 31.8 Japanese Yen - 68,353 68,353 6.6 British Pound 24 46,634 46,658 4.5 Euro - 35,579 35,579 3.4 Total 507,069 (28,682) 478,387 46.3 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 317,908 (86,443) 231,465 30.7 Japanese Yen - 48,587 48,587 6.5 British Pound 24 47,348 47,372 6.3 Euro - 37,641 37,641 5.0 Total 317,932 47,133 365,065 48.5

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

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

Semi-Annual Financial Statements - June 30, 2021 – 186 – Global Equity Allocation Pool Fund Specific Notes to Financial Statements (unaudited)

Level 3 Reconciliation The table below summarizes the movement in financial instruments classified as Level 3.

for the period ended June 30, 2021 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2020 Purchases Sales In (Out) (Loss) (Loss)* Jun. 30, 2021 (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 7,395 3,249 (203) - - 40 1,145 11,626 Total 7,395 3,249 (203) - - 40 1,145 11,626

*Change in unrealized gain (loss) related to investments held at June 30, 2021 was $1,145,770.

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 - 7,043 (126) - - 37 441 7,395 Total - 7,043 (126) - - 37 441 7,395

**Change in unrealized gain (loss) related to investments held at December 31, 2020 was $440,923.

The table below presents the valuation technique and the nature of significant inputs used to determine the fair value of significant Level 3 investments:

as at June 30, 2021 Asset Type Fair Value Valuation Techniques Significant Unobservable Inputs Private Investment Fund $11,626,499 Net asset value as reported by underlying fund’s investment manager Net asset value

The above investment is valued using the valuation techniques detailed below:

Net asset value: The valuation utilizes net asset value as reported by the underlying fund’s investment manager.

For investment valued based on recent transactions, a sensitivity analysis to show the potential effect of using reasonably possible alternative assumptions is not applicable.

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

Semi-Annual Financial Statements - June 30, 2021 – 187 – Global Equity Pool Financial Statements (unaudited)

Statement of Financial Position Statement of Financial Position (cont’d) (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: as at as at as at as at Jun. 30, 2021 Jun. 30, 2021 Jun. 30, 2021 Jun. 30, 2021 Assets Series A 1,261 10.40 121,235 Current assets Series E 295,899 10.42 28,397,901 Investments 795,769 Series ET8 500 10.15 49,238 Investments pledged as collateral - Series F 55,361 10.46 5,294,390 Cash 23,703 Series FT8 444 10.18 43,585 Unrealized gain on futures and foreign currency Series I 455,008 10.47 43,443,991 forward contracts 63 Series IT8 5,381 10.20 527,588 Swaps, swaptions and options - Series OF 293 10.43 28,063 Daily variation margin on derivative instruments 437 Series W 6,030 10.48 575,643 Fees rebate receivable 153 Cash collateral on deposit for short sale - Dividends receivable 187 Interest receivable - Receivable for distribution from investments - Securities lending revenue receivable (Note 6) - Receivable for investments sold 1,152 Receivable for unit subscriptions 1,438 822,902 Liabilities Current liabilities Investments sold short - Bank overdraft - Unrealized loss on futures and foreign currency forward contracts 1,392 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 1,333 Distributions payable to holders of redeemable units - Management fees payable - Administration fees payable - Accounts payable and accrued liabilities - 2,725 Net assets attributable to holders of redeemable units 820,177

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

Semi-Annual Financial Statements - June 30, 2021 – 188 – CIG - 9687 Global Equity Pool Financial Statements (unaudited)

Statement of Comprehensive Income Statement of Comprehensive Income (cont’d) for the period ended June 30 for the period ended June 30 (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: 2021 2021 2021 2021 Income Series A 51 0.40 126,005 Net gain (loss) on investments and derivatives Series E 11,894 0.44 27,126,585 Dividends 2,596 Series ET8 21 0.45 45,917 Interest for distribution purposes 16 Series F 2,267 0.47 4,830,356 Income distributions from investments - Series FT8 16 0.41 39,041 Capital gain distributions from investments - Series I 20,606 0.51 40,804,046 Derivative income (loss) (1,398) Series IT8 231 0.48 482,793 Dividends expense on financial assets (liabilities) sold Series OF 12 0.43 27,629 short - Series W 182 0.30 604,180 Interest expense on financial assets (liabilities) sold short - Net realized gain (loss) on sale of investments and derivatives (9,730) Change in unrealized appreciation (depreciation) in value of investments and derivatives 46,439 Total net gain (loss) on investments and derivatives 37,923 Other income Foreign exchange gain (loss) on cash (296) Commitment fee income - Securities lending revenue (Note 6) - Fees rebate 506 Total other income 210 Total income 38,133 Expenses Management fees (Note 5) 1,576 Administration fees (Note 5) 234 Commissions and other portfolio transaction costs 575 Independent review committee fees 1 Securities borrowing fees (Note 2) - Margin fees - Service fees - Interest expense 12 Withholding taxes 220 Harmonized sales tax 235 Other expenses - Total expenses 2,853 Increase (decrease) in net assets attributable to holders of redeemable units 35,280

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

Semi-Annual Financial Statements - June 30, 2021 – 189 – Global Equity Pool Financial Statements (unaudited)

Statement of Changes in Net Assets Attributable to Holders of Redeemable Units for the period ended June 30 (in $000’s)

Series A Series E Series ET8 Series F 2021 2021 2021 2021 Net assets attributable to holders of redeemable units at the beginning of period - - - - Increase (decrease) in net assets attributable to holders of redeemable units 51 11,894 21 2,267 Distributions to holders of redeemable units From net investment income - - - - From net realized gains - - - - Return of capital - - (13) - Total distributions to holders of redeemable units - - (13) -

Redeemable unit transactions Proceeds from redeemable units issued 1,375 298,422 497 55,842 Reinvestment of distributions to holders of redeemable units - - 4 - Redemption of redeemable units (165) (14,417) (9) (2,748) Net increase (decrease) from redeemable unit transactions 1,210 284,005 492 53,094 Net increase (decrease) in net assets attributable to holders of redeemable units 1,261 295,899 500 55,361 Net assets attributable to holders of redeemable units at the end of period 1,261 295,899 500 55,361

Series FT8 Series I Series IT8 Series OF 2021 2021 2021 2021 Net assets attributable to holders of redeemable units at the beginning of period - - - - Increase (decrease) in net assets attributable to holders of redeemable units 16 20,606 231 12 Distributions to holders of redeemable units From net investment income - (635) (7) - From net realized gains - - - - Return of capital (11) - (134) - Total distributions to holders of redeemable units (11) (635) (141) -

Redeemable unit transactions Proceeds from redeemable units issued 436 462,128 5,561 301 Reinvestment of distributions to holders of redeemable units 3 634 60 - Redemption of redeemable units - (27,725) (330) (20) Net increase (decrease) from redeemable unit transactions 439 435,037 5,291 281 Net increase (decrease) in net assets attributable to holders of redeemable units 444 455,008 5,381 293 Net assets attributable to holders of redeemable units at the end of period 444 455,008 5,381 293

Series W Total Fund 2021 2021 Net assets attributable to holders of redeemable units at the beginning of period - - Increase (decrease) in net assets attributable to holders of redeemable units 182 35,280 Distributions to holders of redeemable units From net investment income (4) (646) From net realized gains - - Return of capital - (158) Total distributions to holders of redeemable units (4) (804)

Redeemable unit transactions Proceeds from redeemable units issued 9,057 833,619 Reinvestment of distributions to holders of redeemable units 4 705 Redemption of redeemable units (3,209) (48,623) Net increase (decrease) from redeemable unit transactions 5,852 785,701 Net increase (decrease) in net assets attributable to holders of redeemable units 6,030 820,177 Net assets attributable to holders of redeemable units at the end of period 6,030 820,177

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

Semi-Annual Financial Statements - June 30, 2021 – 190 – Global Equity Pool Financial Statements (unaudited)

Statement of Cash Flows for the period ended June 30 (in $000’s)

2021 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 35,280 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 9,730 Unrealized foreign exchange (gain) loss on cash (29) Commissions and other portfolio transaction costs 575 Change in unrealized (appreciation) depreciation in value of investments and derivatives (46,439) Proceeds from sale and maturity of investments and derivatives 292,750 Purchase of investments and derivatives (1,052,208) (Increase) decrease in cash collateral on deposit for short sale - Non-cash distributions from investments - Change in daily variation margin (437) (Increase) decrease in dividends receivable (187) (Increase) decrease in interest receivable - (Increase) decrease in securities lending revenue receivable - Increase (decrease) in management fees payable - Increase (decrease) in administration fees payable - Change in other accounts receivable and payable (153) Net cash from (used in) operating activities (761,118)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (99) Proceeds from issuance of redeemable units 819,926 Amounts paid on redemption of redeemable units (35,035) Net cash from (used in) financing activities 784,792

Unrealized foreign exchange gain (loss) on cash 29 Net increase (decrease) in cash 23,674 Cash (bank overdraft), beginning of period - Cash (bank overdraft), end of period 23,703

Supplementary Information: Dividends received, net of withholding tax* 2,189 Interest received, net of withholding tax* 16 Dividends paid* - Interest paid* 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.

Semi-Annual Financial Statements - June 30, 2021 – 191 – Global Equity Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

U.S.A. 100,400 Abbott Laboratories Inc. 14,739,410 14,428,198 23,320 Adobe Systems Inc. 14,317,099 16,929,411 66,275 Advanced Drainage Systems Inc. 8,915,545 9,576,771 7,790 Alphabet Inc., Class A 20,842,012 23,579,160 7,250 Amazon.com Inc. 27,951,297 30,917,133 21,600 Costco Wholesale Corp. 9,021,613 10,594,231 69,625 Danaher Corp. 19,733,898 23,161,440 129,060 Darling International Inc. 11,507,200 10,798,862 37,650 Mastercard Inc., Class A 17,411,507 17,039,132 81,090 Microsoft Corp. 23,898,912 27,230,704 16,895 Netflix Inc. 10,920,622 11,062,349 162,950 NextEra Energy Inc. 14,798,960 14,802,068 23,450 NVIDIA Corp. 14,894,054 23,257,856 62,900 PayPal Holdings Inc. 19,113,566 22,726,992 37,740 ServiceNow Inc. 23,093,413 25,709,384 26,950 Square Inc., Class A 7,952,434 8,144,699 211,850 Uber Technologies Inc. 14,520,877 13,162,006 51,765 Visa Inc., Class A 14,244,837 15,003,771 287,877,256 318,124,167 38.78 EXCHANGE-TRADED FUND(S) 5,504,868 CI Morningstar International Value Index ETF (Unhedged Common Units) 140,019,276 137,511,603 2,727,796 CI Munro Alternative Global Growth Fund (ETF C$ Series) 71,206,689 74,987,112 260,177 iShares Russell 2000 ETF 72,118,654 73,975,528 283,344,619 286,474,243 34.93 NETHERLANDS 108,400 Airbus Group N.V. 16,323,732 17,277,973 22,750 ASML Holding N.V. 15,196,054 19,374,651 31,519,786 36,652,624 4.47 GERMANY 170,700 HelloFresh S.E. 15,034,072 20,569,107 251,800 Infineon Technologies AG 12,430,446 12,517,089 27,464,518 33,086,196 4.03 IRELAND 43,690 Flutter Entertainment PLC 10,407,086 9,806,072 65,400 Trane Technologies PLC 14,105,220 14,928,234 24,512,306 24,734,306 3.02 SPAIN 251,440 Cellnex Telecom S.A.U. 17,258,454 19,853,833 2.42 ITALY 1,090,050 Enel SpA 13,193,206 12,548,537 56,655 Moncler SpA 4,796,783 4,751,645 17,989,989 17,300,182 2.11 CANADA 213,300 Nutrien Ltd. (USD) 15,835,999 16,025,725 1.95 TAIWAN 102,850 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 15,431,674 15,319,577 1.87 FRANCE 165,700 Compagnie de Saint-Gobain S.A. 12,926,086 13,527,028 1.65

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

Semi-Annual Financial Statements - June 30, 2021 – 192 – Global Equity Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

JAPAN 66,000 Freee K.K. 7,743,452 7,518,959 0.92 DENMARK 147,800 Vestas Wind Systems AS 6,427,029 7,151,783 0.87 Commissions and other portfolio transaction costs (330,269) Total Investment Portfolio before Derivative Instruments 748,000,899 795,768,623 97.02 Foreign Currency Forward Contract(s) (see Schedule A) (1,154,917) (0.14) Short Futures Contract(s) (see Schedule B) (173,927) (0.02) Total Investment Portfolio 748,000,899 794,439,779 96.86 Other Net Assets (Liabilities) 25,737,094 3.14 Net Assets Attributable to Holders of Redeemable Units 820,176,873 100.00

Schedule A Foreign Currency Forward 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 August 18, 2021 CAD 10,307,639 USD 8,441,031 1.22 (155,880) Bank of Montreal A-1 September 15, 2021 CAD 13,388 USD 11,082 1.21 (350) Bank of Montreal A-1 September 15, 2021 CAD 4,862,433 USD 3,911,869 1.24 13,240 Canadian Imperial Bank of Commerce A-1 August 18, 2021 CAD 15,150,248 USD 12,275,041 1.23 (65,958) Canadian Imperial Bank of Commerce A-1 September 15, 2021 CAD 13,370 USD 11,082 1.21 (367) Citigroup Inc. A-2 August 18, 2021 CAD 13,151,311 USD 10,743,131 1.22 (165,903) Goldman Sachs Group Inc. A-2 August 18, 2021 CAD 9,414,444 USD 7,673,665 1.23 (97,858) Goldman Sachs Group Inc. A-2 September 15, 2021 CAD 10,457 USD 8,656 1.21 (272) HSBC Holdings PLC A-1 August 18, 2021 CAD 9,296,914 USD 7,673,665 1.21 (215,357) HSBC Holdings PLC A-1 September 15, 2021 CAD 26,812 USD 22,164 1.21 (662) JPMorgan Chase & Co. A-2 August 18, 2021 CAD 13,237,009 USD 10,743,131 1.23 (80,227) JPMorgan Chase & Co. A-2 September 15, 2021 CAD 12,036 USD 9,974 1.21 (328) Morgan Stanley A-2 July 20, 2021 CAD 18,579,784 USD 15,123,000 1.23 (166,675) Morgan Stanley A-2 September 15, 2021 CAD 16,065 USD 13,298 1.21 (420) Morgan Stanley A-2 September 15, 2021 CAD 5,043,171 USD 4,057,044 1.24 14,018 Morgan Stanley A-2 September 15, 2021 CAD 5,045,932 USD 4,057,044 1.24 16,778 Morgan Stanley A-2 September 15, 2021 CAD 5,048,403 USD 4,057,044 1.24 19,248 Royal Bank of Canada A-1+ August 18, 2021 CAD 13,179,028 USD 10,743,131 1.23 (138,193) Royal Bank of Canada A-1+ September 15, 2021 CAD 12,036 USD 9,974 1.21 (328) Toronto-Dominion Bank A-1+ August 18, 2021 CAD 5,510,773 USD 4,549,677 1.21 (129,003) Toronto-Dominion Bank A-1+ September 15, 2021 CAD 16,065 USD 13,298 1.21 (420) Total Foreign Currency Forward Contract(s) Value (1,154,917)

Schedule B Short Futures Contract(s)

Contract(s) Future(s) Expiry Date Price ($) Currency Contract Value ($) Fair Value ($) (20) S&P 500 E-Mini Futures September 17, 2021 4,288.50 USD (5,142,098) (5,316,025) (5,142,098) (5,316,025) Exercise Price ($) (5,142,098) Total Short Futures Contract(s) Value (173,927)

Semi-Annual Financial Statements - June 30, 2021 – 193 – Global Equity Pool Fund Specific Notes to Financial Statements (unaudited)

Offsetting of Financial Instruments (Note 2)

The following table shows the net impact on the Fund’s Statement of Financial Position if all rights to offset were exercised. as at June 30, 2021 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 63 (63) - - Derivative assets - Swaps and swaptions - - - - Total 63 (63) - - Derivative liabilities - Foreign currency forward contracts (1,218) 63 - (1,155) Derivative liabilities - Swaps and swaptions - - - - Total (1,218) 63 - (1,155)

Interest in Unconsolidated Structured Entities (Note 2)

The following table presents the Fund’s interest in Unconsolidated Structured Entities. as at June 30, 2021 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 Morningstar International Value Index ETF 665,823 137,512 20.7 CI Munro Alternative Global Growth Fund 2,595,486 74,987 2.9 iShares Russell 2000 ETF 85,838,702 73,975 0.1

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

Semi-Annual Financial Statements - June 30, 2021 – 194 – Global Equity Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the period ended June 30 (in $000’s)

2021 Brokerage commissions 535 Soft dollar commissions† 152

Redeemable Unit Transactions (Note 4) for the period ended June 30

Series A Series E Series ET8 Series F 2021 2021 2021 2021 Number of redeemable units at the beginning of period - - - - Redeemable units issued for cash 137,538 29,815,695 49,569 5,566,260 Redeemable units issued for reinvested distributions - - 383 - Redeemable units redeemed (16,303) (1,417,794) (714) (271,870) Number of redeemable units at the end of period 121,235 28,397,901 49,238 5,294,390

Series FT8 Series I Series IT8 Series OF 2021 2021 2021 2021 Number of redeemable units at the beginning of period - - - - Redeemable units issued for cash 43,243 46,113,472 554,544 30,041 Redeemable units issued for reinvested distributions 342 61,828 5,939 - Redeemable units redeemed - (2,731,309) (32,895) (1,978) Number of redeemable units at the end of period 43,585 43,443,991 527,588 28,063

Series W 2021 Number of redeemable units at the beginning of period - Redeemable units issued for cash 893,344 Redeemable units issued for reinvested distributions 419 Redeemable units redeemed (318,120) Number of redeemable units at the end of period 575,643

Semi-Annual Financial Statements - June 30, 2021 – 195 – Global Equity Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 2.250 0.22 Series E 1.650 0.22 Series ET8 1.650 0.22 Series F 0.650 0.22 Series FT8 0.650 0.22 Series I Paid directly by investor Paid directly by investor Series IT8 Paid directly by investor Paid directly by investor Series OF 1.250 0.22 Series W Paid directly by investor 0.16

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 Loaned 92,413 Collateral (non-cash) 94,262

Securities Lending Revenue Reconciliation (Note 6) for the period ended June 30 (in $000’s)

2021 Gross securities lending revenue - Charges - Securities lending revenue - Charges as a % of gross securities lending revenue -

Related Party Investments (Note 9) as at June 30 (in $000’s)

Investments 2021 CI Morningstar International Value Index ETF (Unhedged Common Units) 137,512 CI Munro Alternative Global Growth Fund (ETF C$ Series) 74,987

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

Semi-Annual Financial Statements - June 30, 2021 – 196 – Global Equity Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Interest Rate Risk As at June 30, 2021, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives. Concentration Risk For Concentration Risk as at June 30, 2021, refer to the Schedule of Investment Portfolio. Fair Value Hierarchy

Credit Risk The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and with the following credit ratings, as per the table below. derivatives carried at fair value. as at June 30, 2021 Long Positions at fair value as at June 30, 2021 Credit Rating^* Net Assets (%) Level 1 Level 2 Level 3 Total AA/Aa/A+ 0.7 (in $000’s) (in $000’s) (in $000’s) (in $000’s) Total 0.7 Equities 371,783 137,512 - 509,295 Exchange-Traded Fund(s) 286,474 - - 286,474 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Foreign currency forward contract(s), net - (1,155) - (1,155) Investors Service or Dominion Bond Rating Service, respectively. Total 658,257 136,357 - 794,614 *Refer to Note 10 for Credit Rating Chart reference.

Short Positions at fair value as at June 30, 2021 Other Price Risk Level 1 Level 2 Level 3 Total As at June 30, 2021, the Fund was predominantly invested in global equities and therefore was (in $000’s) (in $000’s) (in $000’s) (in $000’s) sensitive to changes in general economic conditions across the world. Futures contract(s), net (174) - - (174) Total (174) - - (174) As at June 30, 2021, 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 There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021. the Fund would have increased or decreased, respectively, by approximately $79,577,000. In practice, actual results may differ from this analysis and the difference may be material.

Currency Risk The table below summarizes the Fund’s exposure to currency risk. as at June 30, 2021~ Financial Instruments Net Net Exposure Derivatives Exposure Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 444,343 (129,102) 315,241 38.4 Euro 130,471 - 130,471 15.9 Japanese Yen 7,519 - 7,519 0.9 Danish Krone 7,167 - 7,167 0.9 Hong Kong Dollar 1,605 - 1,605 0.2 British Pound 19 - 19 0.0 Total 591,124 (129,102) 462,022 56.3

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

As at June 30, 2021, had the Canadian dollar strengthened or weakened by 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 $46,202,000. In practice, the actual results may differ from this analysis and the difference may be material.

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

Semi-Annual Financial Statements - June 30, 2021 – 197 – International Equity Alpha Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 526 710 11.95 10.64 44,025 66,703 Current assets Series E 152,408 152,568 12.05 10.70 12,644,110 14,264,075 Investments 344,780 342,361 Series F 14,959 13,149 12.23 10.80 1,222,741 1,217,853 Investments pledged as collateral - - Series I 126,916 126,413 12.44 10.91 10,201,799 11,586,140 Cash 1,482 1,658 Series OF 5 5 12.12 10.73 382 496 Unrealized gain on futures and foreign currency Series W 51,523 50,863 12.41 10.90 4,151,064 4,668,396 forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 8 - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - 82 Receivable for unit subscriptions 475 509 346,745 344,610 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 99 18 Payable for unit redemptions 309 884 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 408 902 Net assets attributable to holders of redeemable units 346,337 343,708

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

Semi-Annual Financial Statements - June 30, 2021 – 198 – CIG - 9686 International Equity Alpha Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 75 (197) 1.40 (2.10) 53,850 94,048 Net gain (loss) on investments and derivatives Series E 18,114 (27,296) 1.37 (1.99) 13,177,534 13,718,459 Dividends - - Series F 1,690 (1,980) 1.42 (1.86) 1,190,776 1,065,143 Interest for distribution purposes 2 19 Series I 16,433 (20,132) 1.55 (1.85) 10,625,739 10,877,418 Income distributions from investments - - Series OF 1 (5) 1.44 (3.40) 424 1,525 Capital gain distributions from investments 2,791 11,326 Series W 6,614 (5,056) 1.54 (0.89) 4,281,273 5,660,364 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 3,327 (9,435) Change in unrealized appreciation (depreciation) in value of investments and derivatives 38,725 (54,882) Total net gain (loss) on investments and derivatives 44,845 (52,972) Other income Foreign exchange gain (loss) on cash - - Commitment fee income - - Securities lending revenue (Note 6) - - Fees rebate 17 13 Total other income 17 13 Total income 44,862 (52,959) Expenses Management fees (Note 5) 1,509 1,309 Administration fees (Note 5) 222 200 Commissions and other portfolio transaction costs - - Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - 1 Withholding taxes - - Harmonized sales tax 201 196 Other expenses 2 - Total expenses 1,935 1,707 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 42,927 (54,666)

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

Semi-Annual Financial Statements - June 30, 2021 – 199 – International Equity Alpha Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 710 1,126 152,568 147,182 13,149 10,454 126,413 114,148 Increase (decrease) in net assets attributable to holders of redeemable units 75 (197) 18,114 (27,296) 1,690 (1,980) 16,433 (20,132) Distributions to holders of redeemable units From net investment income ------From net realized gains ------Return of capital ------Total distributions to holders of redeemable units ------

Redeemable unit transactions Proceeds from redeemable units issued 31 132 16,979 35,613 3,823 4,307 18,732 33,594 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (290) (250) (35,253) (21,484) (3,703) (1,887) (34,662) (19,105) Net increase (decrease) from redeemable unit transactions (259) (118) (18,274) 14,129 120 2,420 (15,930) 14,489 Net increase (decrease) in net assets attributable to holders of redeemable units (184) (315) (160) (13,167) 1,810 440 503 (5,643) Net assets attributable to holders of redeemable units at the end of period 526 811 152,408 134,015 14,959 10,894 126,916 108,505

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 5 25 50,863 50,199 343,708 323,134 Increase (decrease) in net assets attributable to holders of redeemable units 1 (5) 6,614 (5,056) 42,927 (54,666) Distributions to holders of redeemable units From net investment income ------From net realized gains ------Return of capital ------Total distributions to holders of redeemable units ------

Redeemable unit transactions Proceeds from redeemable units issued - 1 9,826 61,514 49,391 135,161 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (1) (16) (15,780) (61,235) (89,689) (103,977) Net increase (decrease) from redeemable unit transactions (1) (15) (5,954) 279 (40,298) 31,184 Net increase (decrease) in net assets attributable to holders of redeemable units - (20) 660 (4,777) 2,629 (23,482) Net assets attributable to holders of redeemable units at the end of period 5 5 51,523 45,422 346,337 299,652

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

Semi-Annual Financial Statements - June 30, 2021 – 200 – International Equity Alpha Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 42,927 (54,666) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (3,327) 9,435 Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs - - Change in unrealized (appreciation) depreciation in value of investments and derivatives (38,725) 54,882 Proceeds from sale and maturity of investments and derivatives 50,348 55,899 Purchase of investments and derivatives (7,761) (83,792) Non-cash distributions from investments (2,791) (11,326) Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (8) (6) Net cash from (used in) operating activities 40,663 (29,574)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 42,503 128,856 Amounts paid on redemption of redeemable units (83,342) (97,389) Net cash from (used in) financing activities (40,839) 31,467

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (176) 1,893 Cash (bank overdraft), beginning of period 1,658 (1,964) Cash (bank overdraft), end of period 1,482 (71)

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 1 19 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.

Semi-Annual Financial Statements - June 30, 2021 – 201 – International Equity Alpha Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

Average Cost Fair Value % of Net Number of Shares Description ($) ($) Assets

UNDERLYING FUND(S) 16,968,461 International Equity Alpha Corporate Class (I Shares) 303,408,355 344,780,457 99.55 Total Investment Portfolio 303,408,355 344,780,457 99.55 Other Net Assets (Liabilities) 1,556,716 0.45 Net Assets Attributable to Holders of Redeemable Units 346,337,173 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 202 – International Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Interest in Unconsolidated Structured Entities (Note 2)

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

Semi-Annual Financial Statements - June 30, 2021 – 203 – International Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions - - Soft dollar commissions† - -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 66,703 98,511 14,264,075 12,864,474 1,217,853 912,869 11,586,140 9,956,203 Redeemable units issued for cash 2,659 14,938 1,475,000 3,916,350 327,572 464,718 1,593,523 3,662,542 Redeemable units issued for reinvested distributions ------Redeemable units redeemed (25,337) (25,445) (3,094,965) (2,303,245) (322,684) (208,402) (2,977,864) (2,059,475) Number of redeemable units at the end of period 44,025 88,004 12,644,110 14,477,579 1,222,741 1,169,185 10,201,799 11,559,270

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 496 2,198 4,668,396 4,379,118 Redeemable units issued for cash 1 123 835,859 7,120,551 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (115) (1,830) (1,353,191) (6,655,666) Number of redeemable units at the end of period 382 491 4,151,064 4,844,003

Semi-Annual Financial Statements - June 30, 2021 – 204 – International Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned - - Collateral (non-cash) - -

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue - - Charges - - Securities lending revenue - - Charges as a % of gross securities lending revenue - -

Related Party Investments (Note 9) as at June 30 (in $000’s)

Investments 2021 International Equity Alpha Corporate Class (I Shares) 344,780

Investments 2020 International Equity Alpha Corporate Class (I Shares) 300,080

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

Semi-Annual Financial Statements - June 30, 2021 – 205 – International Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the other price risk exposure of the Underlying Fund. Concentration Risk The tables below summarize the Underlying Fund’s exposure to concentration risk. As at June 30, 2021 and December 31, 2020, the Underlying Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world. as at June 30, 2021 Categories Net Assets (%) As at June 30, 2021, had the fair value of equities in the investment portfolio of the Underlying Fund U.K. 19.0 increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, France 10.1 net assets attributable to holders of redeemable units of the Fund would have increased or decreased, India 7.5 respectively, by approximately $33,064,000 (December 31, 2020 - $33,791,000). In practice, actual results Germany 7.3 may differ from this analysis and the difference may be material. Netherlands 6.6 Japan 6.6 Mexico 4.8 Currency Risk Portugal 4.7 As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to currency risk. Italy 4.3 China 4.3 As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the currency risk exposure of the Bermuda 4.1 Underlying Fund. Cayman Islands 3.8 Spain 3.5 The tables below summarize the Underlying Fund’s exposure to currency risk. Sweden 3.0 Other Net Assets (Liabilities) 3.2 as at June 30, 2021~ Austria 2.7 Currency Net Assets (%) Ireland 2.0 Euro 38.0 Switzerland 1.4 British Pound 19.3 Cash & Cash Equivalents 1.1 Hong Kong Dollar 12.2 Total 100.0 U.S. Dollar 11.9 Japanese Yen 6.6 as at December 31, 2020 Indian Rupee 4.2 Categories Net Assets (%) Swedish Krona 3.0 U.K. 18.1 Chinese Renminbi 1.8 France 10.1 Swiss Franc 1.4 Netherlands 9.1 Total 98.4 India 9.0 Germany 8.1 China 6.1 as at December 31, 2020~ Bermuda 4.6 Currency Net Assets (%) Portugal 4.4 Euro 42.0 Italy 4.4 British Pound 18.2 Mexico 4.4 Hong Kong Dollar 13.4 Austria 4.2 U.S. Dollar 12.2 Japan 4.1 Indian Rupee 4.2 Sweden 2.9 Japanese Yen 4.1 Spain 2.9 Swedish Krona 2.9 Cayman Islands 2.7 Swiss Franc 1.8 Switzerland 1.8 Total 98.8 Ireland 1.8 Cash & Cash Equivalents 0.9 ~Includes monetary and non-monetary instruments, if any. Other Net Assets (Liabilities) 0.4 Total 100.0 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - 10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have indirectly Credit Risk decreased or increased, respectively, by approximately $33,926,000 (December 31, 2020 - $33,825,000). As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to credit risk. In practice, the actual results may differ from this analysis and the difference may be material.

As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the credit risk exposure of the Underlying Fund.

As at June 30, 2021 and December 31, 2020, the Underlying Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

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

Semi-Annual Financial Statements - June 30, 2021 – 206 – International Equity Alpha Pool Fund Specific Notes to Financial Statements (unaudited)

Interest Rate Risk As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to interest rate risk.

As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the interest rate risk exposure of the Underlying Fund.

As at June 30, 2021 and December 31, 2020, the Underlying Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Underlying Fund(s) 344,780 - - 344,780 Total 344,780 - - 344,780

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) Underlying Fund(s) 342,361 - - 342,361 Total 342,361 - - 342,361

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 207 – International Equity Growth Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 999 1,091 17.71 15.89 56,416 68,626 Current assets Series E 153,393 146,363 25.69 23.01 5,972,065 6,360,735 Investments 322,460 294,669 Series F 20,240 16,531 14.19 12.67 1,426,655 1,305,010 Investments pledged as collateral - - Series I 124,971 113,113 36.01 32.03 3,470,556 3,531,522 Cash 11,178 11,240 Series OF 72 82 22.84 20.43 3,170 4,024 Unrealized gain on futures and foreign currency Series W 34,226 28,505 19.74 17.57 1,733,540 1,622,339 forward contracts 199 239 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 7 - Cash collateral on deposit for short sale - - Dividends receivable 364 38 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 65 - Receivable for unit subscriptions 379 374 334,652 306,560 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 283 408 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 468 467 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 751 875 Net assets attributable to holders of redeemable units 333,901 305,685

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

Semi-Annual Financial Statements - June 30, 2021 – 208 – CIG - 9616 International Equity Growth Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 113 (49) 1.83 (0.52) 61,378 95,261 Net gain (loss) on investments and derivatives Series E 16,452 (3,039) 2.69 (0.47) 6,111,325 6,527,328 Dividends 5,019 3,549 Series F 2,105 (148) 1.56 (0.13) 1,359,568 1,129,022 Interest for distribution purposes 10 48 Series I 14,479 (1,146) 4.16 (0.33) 3,480,603 3,467,180 Income distributions from investments - - Series OF 9 (5) 2.42 (0.94) 3,785 5,508 Capital gain distributions from investments - - Series W 3,814 596 2.30 0.32 1,659,073 1,864,423 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 22,404 (9,391) Change in unrealized appreciation (depreciation) in value of investments and derivatives 12,767 4,784 Total net gain (loss) on investments and derivatives 40,200 (1,010) Other income Foreign exchange gain (loss) on cash (1) 116 Commitment fee income - - Securities lending revenue (Note 6) 48 45 Fees rebate 16 12 Total other income 63 173 Total income 40,263 (837) Expenses Management fees (Note 5) 1,507 1,315 Administration fees (Note 5) 209 181 Commissions and other portfolio transaction costs 423 467 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - 1 Withholding taxes 946 815 Harmonized sales tax 200 174 Other expenses 5 - Total expenses 3,291 2,954 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 36,972 (3,791)

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

Semi-Annual Financial Statements - June 30, 2021 – 209 – International Equity Growth Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 1,091 1,527 146,363 137,638 16,531 11,956 113,113 98,899 Increase (decrease) in net assets attributable to holders of redeemable units 113 (49) 16,452 (3,039) 2,105 (148) 14,479 (1,146) Distributions to holders of redeemable units From net investment income (1) - (394) (152) (96) (53) (898) (711) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (1) - (394) (152) (96) (53) (898) (711)

Redeemable unit transactions Proceeds from redeemable units issued 39 74 18,166 23,077 4,991 4,129 20,572 21,985 Reinvestment of distributions to holders of redeemable units 1 - 394 152 95 53 898 711 Redemption of redeemable units (244) (289) (27,588) (20,945) (3,386) (2,481) (23,193) (19,780) Net increase (decrease) from redeemable unit transactions (204) (215) (9,028) 2,284 1,700 1,701 (1,723) 2,916 Net increase (decrease) in net assets attributable to holders of redeemable units (92) (264) 7,030 (907) 3,709 1,500 11,858 1,059 Net assets attributable to holders of redeemable units at the end of period 999 1,263 153,393 136,731 20,240 13,456 124,971 99,958

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 82 118 28,505 29,006 305,685 279,144 Increase (decrease) in net assets attributable to holders of redeemable units 9 (5) 3,814 596 36,972 (3,791) Distributions to holders of redeemable units From net investment income - - (231) (175) (1,620) (1,091) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - (231) (175) (1,620) (1,091)

Redeemable unit transactions Proceeds from redeemable units issued 8 5 7,117 13,750 50,893 63,020 Reinvestment of distributions to holders of redeemable units - - 231 174 1,619 1,090 Redemption of redeemable units (27) (36) (5,210) (17,201) (59,648) (60,732) Net increase (decrease) from redeemable unit transactions (19) (31) 2,138 (3,277) (7,136) 3,378 Net increase (decrease) in net assets attributable to holders of redeemable units (10) (36) 5,721 (2,856) 28,216 (1,504) Net assets attributable to holders of redeemable units at the end of period 72 82 34,226 26,150 333,901 277,640

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

Semi-Annual Financial Statements - June 30, 2021 – 210 – International Equity Growth Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 36,972 (3,791) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (22,404) 9,391 Unrealized foreign exchange (gain) loss on cash 1 (261) Commissions and other portfolio transaction costs 423 467 Change in unrealized (appreciation) depreciation in value of investments and derivatives (12,767) (4,784) Proceeds from sale and maturity of investments and derivatives 120,022 116,544 Purchase of investments and derivatives (113,215) (128,055) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable (326) (166) (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (7) (5) Net cash from (used in) operating activities 8,699 (10,660)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1) (1) Proceeds from issuance of redeemable units 43,325 57,309 Amounts paid on redemption of redeemable units (52,084) (54,625) Net cash from (used in) financing activities (8,760) 2,683

Unrealized foreign exchange gain (loss) on cash (1) 261 Net increase (decrease) in cash (61) (7,977) Cash (bank overdraft), beginning of period 11,240 12,092 Cash (bank overdraft), end of period 11,178 4,376

Supplementary Information: Dividends received, net of withholding tax* 3,747 2,568 Interest received, net of withholding tax* 10 48 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.

Semi-Annual Financial Statements - June 30, 2021 – 211 – International Equity Growth Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

FRANCE 145,611 BNP Paribas S.A. 10,743,813 11,315,597 14,114 Cap Gemini S.A. 2,718,124 3,360,773 14,512 Dassault Systèmes S.E. 2,748,930 4,362,090 5,545 Hermes International 6,292,944 10,012,689 20,506 L’Oréal S.A. 10,001,384 11,326,917 9,800 LVMH Moet Hennessy Louis Vuitton S.A. 5,614,995 9,525,737 48,222 Schneider Electric S.A. 7,195,532 9,404,261 229,046 Societe Generale S.A. 6,603,434 8,369,468 118,693 Total S.A. 7,015,233 6,656,571 117,964 Vivendi S.A. 5,144,661 4,912,132 64,079,050 79,246,235 23.73 U.K. 161,465 Ashtead Group PLC 6,172,780 14,851,303 155,512 Compass Group PLC 4,258,661 4,058,597 78,822 Croda International PLC 7,904,616 9,958,512 68,139 Intercontinental Hotels Group PLC 5,771,595 5,620,025 63,596 Softcat PLC 1,402,806 1,936,735 25,510,458 36,425,172 10.91 GERMANY 22,675 Allianz S.E. 7,273,676 7,009,073 50,889 BASF S.E. 4,692,643 4,969,670 41,018 Evotec AG 1,502,966 2,304,904 10,298 Henkel AG & Co., KGaA 1,287,953 1,175,353 83,652 Hugo Boss AG 4,069,738 5,641,229 130,962 Infineon Technologies AG 6,412,949 6,510,178 22,264 Jenoptik AG 868,845 754,634 5,726 Sartorius AG 1,042,809 3,694,791 84,584 Vantage Towers AG 3,125,595 3,376,696 30,277,174 35,436,528 10.61 NETHERLANDS 24,667 Airbus Group N.V. 3,536,191 3,931,695 14,022 ASML Holding N.V. 6,591,589 11,941,598 53,582 Euronext N.V. 4,687,691 7,222,079 216,236 Stellantis N.V. 4,572,645 5,261,444 157,290 STMicroelectronics N.V. 5,367,642 7,075,669 24,755,758 35,432,485 10.61 SWEDEN 138,095 Assa Abloy AB 4,490,571 5,156,635 132,588 Atlas Copco AB, Class A 6,314,503 10,063,314 170,089 Sandvik AB 5,661,964 5,385,573 98,971 Svenska Handelsbanken AB, Shares A 1,251,306 1,384,238 56,135 Thule Group AB 1,938,687 3,084,868 242,958 Volvo AB, Series B 5,323,595 7,245,912 24,980,626 32,320,540 9.68 DENMARK 29,366 DSV AS 2,246,682 8,489,246 61,578 GN Store Nord A/S 5,041,756 6,667,700 99,671 Novo Nordisk AS 7,099,970 10,351,120 14,388,408 25,508,066 7.64 SPAIN 3,196,746 Criteria Caixacorp S.A. 11,337,341 12,188,551 268,961 Iberdrola S.A. 4,204,167 4,064,025 15,541,508 16,252,576 4.87

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

Semi-Annual Financial Statements - June 30, 2021 – 212 – International Equity Growth Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

SWITZERLAND 19,305 Logitech International S.A. 2,172,544 2,899,332 6,598 Partners Group Holding AG 6,265,070 12,388,764 8,437,614 15,288,096 4.58 JERSEY ISLAND 42,536 Ferguson PLC 6,098,032 7,330,272 1,271,166 Glencore PLC 4,747,154 6,745,127 10,845,186 14,075,399 4.22 JAPAN 10,810 Keyence Corp. 4,337,307 6,763,076 7,065 Nintendo Co., Ltd. 3,776,885 5,094,096 8,114,192 11,857,172 3.55 IRELAND 28,195 Linde PLC (EUR) 5,249,349 10,085,036 3.02 LUXEMBOURG 28,158 Eurofins Scientific S.E. 2,919,524 3,989,816 253,471 Samsonite International S.A. 680,678 642,627 3,600,202 4,632,443 1.39 HONG KONG 168,473 Techtronic Industries Co. 3,190,561 3,647,289 1.09 NORWAY 145,962 Sbanken ASA 1,750,172 2,252,717 0.67 Commissions and other portfolio transaction costs (460,585) Total Investment Portfolio before Derivative Instruments 240,259,673 322,459,754 96.57 Foreign Currency Forward Contract(s) (see Schedule A) (84,089) (0.03) Total Investment Portfolio 240,259,673 322,375,665 96.54 Other Net Assets (Liabilities) 11,525,585 3.46 Net Assets Attributable to Holders of Redeemable Units 333,901,250 100.00

Schedule A Foreign Currency Forward 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 September 13, 2021 CAD 1,411,230 GBP 823,000 1.71 (194) Canadian Imperial Bank of Commerce A-1 September 13, 2021 CAD 21,629,614 GBP 12,695,000 1.70 (141,925) Canadian Imperial Bank of Commerce A-1 September 13, 2021 JPY 37,565,000 CAD 416,424 90.21 3,010 Citigroup Inc. A-2 September 13, 2021 CAD 493,341 CHF 364,000 1.36 4,655 Citigroup Inc. A-2 September 13, 2021 CAD 83,945,943 EUR 56,983,472 1.47 56,783 Citigroup Inc. A-2 September 13, 2021 CAD 1,839,417 HKD 11,827,000 0.16 (49,144) Goldman Sachs Group Inc. A-2 September 13, 2021 CAD 1,080,859 NOK 7,444,000 0.15 8,582 HSBC Holdings PLC A-1 September 13, 2021 CAD 6,180,050 EUR 4,173,000 1.48 36,687 HSBC Holdings PLC A-1 September 13, 2021 CAD 1,192,703 SEK 8,181,000 0.15 6,783 JPMorgan Chase & Co. A-2 September 13, 2021 CAD 6,411,379 CHF 4,775,000 1.34 752 JPMorgan Chase & Co. A-2 September 13, 2021 CAD 2,247,986 DKK 11,293,000 0.20 12,143 JPMorgan Chase & Co. A-2 September 13, 2021 CAD 1,565,488 GBP 911,000 1.72 3,146 JPMorgan Chase & Co. A-2 September 13, 2021 CAD 216,094 HKD 1,366,000 0.16 (2,033) JPMorgan Chase & Co. A-2 September 13, 2021 CAD 15,247,233 SEK 104,767,000 0.15 60,187 Morgan Stanley A-2 September 13, 2021 CAD 6,074,860 JPY 552,129,000 0.01 (89,957) Toronto-Dominion Bank A-1+ September 13, 2021 CAD 569,918 CHF 424,000 1.34 681 Toronto-Dominion Bank A-1+ September 13, 2021 CAD 10,108,506 DKK 51,028,000 0.20 5,755 Total Foreign Currency Forward Contract(s) Value (84,089)

Semi-Annual Financial Statements - June 30, 2021 – 213 – International Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 199 (54) - 145 Derivative assets - Swaps and swaptions - - - - Total 199 (54) - 145 Derivative liabilities - Foreign currency forward contracts (283) 54 - (229) Derivative liabilities - Swaps and swaptions - - - - Total (283) 54 - (229) 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 239 (2) - 237 Derivative assets - Swaps and swaptions - - - - Total 239 (2) - 237 Derivative liabilities - Foreign currency forward contracts (408) 2 - (406) Derivative liabilities - Swaps and swaptions - - - - Total (408) 2 - (406)

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

Semi-Annual Financial Statements - June 30, 2021 – 214 – International Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 404 452 Soft dollar commissions† 115 172

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 68,626 102,532 6,360,735 6,414,909 1,305,010 1,020,612 3,531,522 3,370,281 Redeemable units issued for cash 2,370 5,600 750,323 1,189,359 372,171 386,450 607,620 821,814 Redeemable units issued for reinvested distributions 84 - 15,236 7,269 6,682 4,589 24,773 24,737 Redeemable units redeemed (14,664) (20,944) (1,154,229) (1,073,518) (257,208) (236,333) (693,359) (741,991) Number of redeemable units at the end of period 56,416 87,188 5,972,065 6,538,019 1,426,655 1,175,318 3,470,556 3,474,841

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 4,024 6,233 1,622,339 1,799,561 Redeemable units issued for cash 388 269 379,423 1,014,346 Redeemable units issued for reinvested distributions 11 11 11,605 11,039 Redeemable units redeemed (1,253) (2,078) (279,827) (1,169,245) Number of redeemable units at the end of period 3,170 4,435 1,733,540 1,655,701

Semi-Annual Financial Statements - June 30, 2021 – 215 – International Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 37,300 31,972 Collateral (non-cash) 38,046 32,612

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 57 53 Charges (9) (8) Securities lending revenue 48 45 Charges as a % of gross securities lending revenue 15.8 15.1

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

Semi-Annual Financial Statements - June 30, 2021 – 216 – International Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

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

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

Other Price Risk As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in foreign equities 10%) in relation to all other foreign currencies held in the Fund, with all other variables held constant, and therefore was sensitive to changes in general economic conditions across the world. net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $16,332,000 (December 31, 2020 - $17,767,000). In practice, the actual As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased results may differ from this analysis and the difference may be material. by 10% (December 31, 2020 - 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 $32,246,000 (December 31, 2020 - $29,467,000). In practice, actual results may Interest Rate Risk differ from this analysis and the difference may be material. As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

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

Semi-Annual Financial Statements - June 30, 2021 – 217 – International Equity Growth Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 322,460 - - 322,460 Foreign currency forward contract(s), net - (84) - (84) Total 322,460 (84) - 322,376

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 294,669 - - 294,669 Foreign currency forward contract(s), net - (169) - (169) Total 294,669 (169) - 294,500

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 218 – International Equity Value Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 3,198 3,627 11.35 10.89 281,844 333,181 Current assets Series E 153,378 151,230 16.78 16.08 9,138,566 9,404,117 Investments 398,220 380,076 Series F 18,711 14,818 11.97 11.44 1,563,435 1,295,703 Investments pledged as collateral - - Series I 156,142 151,133 24.31 23.18 6,422,680 6,519,534 Cash 18,734 25,189 Series OF 243 212 13.50 12.92 18,027 16,422 Unrealized gain on futures and foreign currency Series W 86,810 84,723 30.13 28.73 2,881,074 2,948,715 forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 7 - Cash collateral on deposit for short sale - - Dividends receivable 620 569 Interest receivable - 4 Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - 80 Receivable for unit subscriptions 1,239 485 418,820 406,403 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 338 660 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 338 660 Net assets attributable to holders of redeemable units 418,482 405,743

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

Semi-Annual Financial Statements - June 30, 2021 – 219 – CIG - 9614 International Equity Value Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 152 (545) 0.50 (1.29) 305,246 421,342 Net gain (loss) on investments and derivatives Series E 7,072 (14,756) 0.78 (1.64) 9,168,912 8,957,533 Dividends 7,379 6,428 Series F 842 (1,160) 0.60 (1.06) 1,417,882 1,103,454 Interest for distribution purposes 18 110 Series I 8,896 (14,059) 1.39 (2.22) 6,397,051 6,324,137 Income distributions from investments - - Series OF 12 (31) 0.61 (1.46) 19,548 21,141 Capital gain distributions from investments - - Series W 4,821 (6,552) 1.71 (1.96) 2,824,167 3,334,716 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 11,579 2,364 Change in unrealized appreciation (depreciation) in value of investments and derivatives 6,488 (42,633) Total net gain (loss) on investments and derivatives 25,464 (33,731) Other income Foreign exchange gain (loss) on cash (96) 34 Commitment fee income - - Securities lending revenue (Note 6) 62 63 Fees rebate 15 11 Total other income (19) 108 Total income 25,445 (33,623) Expenses Management fees (Note 5) 1,550 1,361 Administration fees (Note 5) 254 233 Commissions and other portfolio transaction costs 213 411 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes 1,418 1,291 Harmonized sales tax 209 183 Other expenses 5 - Total expenses 3,650 3,480 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 21,795 (37,103)

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

Semi-Annual Financial Statements - June 30, 2021 – 220 – International Equity Value Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 3,627 5,006 151,230 141,094 14,818 11,278 151,133 145,043 Increase (decrease) in net assets attributable to holders of redeemable units 152 (545) 7,072 (14,756) 842 (1,160) 8,896 (14,059) Distributions to holders of redeemable units From net investment income (9) (8) (648) (472) (132) (78) (1,731) (1,615) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (9) (8) (648) (472) (132) (78) (1,731) (1,615)

Redeemable unit transactions Proceeds from redeemable units issued 110 227 20,319 27,750 6,138 4,283 22,651 29,629 Reinvestment of distributions to holders of redeemable units 9 8 648 472 132 78 1,730 1,614 Redemption of redeemable units (691) (774) (25,243) (19,237) (3,087) (2,060) (26,537) (26,494) Net increase (decrease) from redeemable unit transactions (572) (539) (4,276) 8,985 3,183 2,301 (2,156) 4,749 Net increase (decrease) in net assets attributable to holders of redeemable units (429) (1,092) 2,148 (6,243) 3,893 1,063 5,009 (10,925) Net assets attributable to holders of redeemable units at the end of period 3,198 3,914 153,378 134,851 18,711 12,341 156,142 134,118

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 212 303 84,723 90,001 405,743 392,725 Increase (decrease) in net assets attributable to holders of redeemable units 12 (31) 4,821 (6,552) 21,795 (37,103) Distributions to holders of redeemable units From net investment income (1) (1) (882) (879) (3,403) (3,053) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (1) (1) (882) (879) (3,403) (3,053)

Redeemable unit transactions Proceeds from redeemable units issued 86 12 14,119 49,862 63,423 111,763 Reinvestment of distributions to holders of redeemable units 1 1 881 878 3,401 3,051 Redemption of redeemable units (67) (78) (16,852) (52,553) (72,477) (101,196) Net increase (decrease) from redeemable unit transactions 20 (65) (1,852) (1,813) (5,653) 13,618 Net increase (decrease) in net assets attributable to holders of redeemable units 31 (97) 2,087 (9,244) 12,739 (26,538) Net assets attributable to holders of redeemable units at the end of period 243 206 86,810 80,757 418,482 366,187

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

Semi-Annual Financial Statements - June 30, 2021 – 221 – International Equity Value Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 21,795 (37,103) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (11,579) (2,364) Unrealized foreign exchange (gain) loss on cash (6) (7) Commissions and other portfolio transaction costs 213 411 Change in unrealized (appreciation) depreciation in value of investments and derivatives (6,488) 42,633 Proceeds from sale and maturity of investments and derivatives 66,173 103,175 Purchase of investments and derivatives (66,383) (124,289) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable (51) 109 (Increase) decrease in interest receivable 4 (4) (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (7) (5) Net cash from (used in) operating activities 3,671 (17,444)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2) (1) Proceeds from issuance of redeemable units 53,388 103,583 Amounts paid on redemption of redeemable units (63,518) (95,038) Net cash from (used in) financing activities (10,132) 8,544

Unrealized foreign exchange gain (loss) on cash 6 7 Net increase (decrease) in cash (6,461) (8,900) Cash (bank overdraft), beginning of period 25,189 23,776 Cash (bank overdraft), end of period 18,734 14,883

Supplementary Information: Dividends received, net of withholding tax* 5,910 5,247 Interest received, net of withholding tax* 18 110 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.

Semi-Annual Financial Statements - June 30, 2021 – 222 – International Equity Value Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

U.K. 98,194 Antofagasta PLC 1,335,001 2,417,049 103,045 BP PLC, ADR 4,771,610 3,374,755 1,974,102 BT Group PLC 8,269,951 6,567,025 209,086 Diageo PLC 8,769,950 12,408,633 473,031 GlaxoSmithKline PLC 11,919,625 11,513,087 218,024 Liberty Global PLC, Series A 7,458,778 7,340,348 5,681,522 Lloyds Banking Group PLC 4,241,208 4,548,686 91,773 Smiths Group PLC 2,531,843 2,502,127 402,848 Vodafone Group PLC, ADR 12,315,609 8,554,234 61,613,575 59,225,944 14.17 SWITZERLAND 77,079 Chubb Ltd. 11,955,099 15,186,295 75,614 Julius Baer Group Ltd. 4,174,344 6,116,710 87,165 Nestlé S.A., Registered Shares 9,418,724 13,455,274 74,577 Novartis AG, Registered Shares 8,030,643 8,424,770 8,627 Roche Holding AG 2,266,343 4,028,538 22,223 Zurich Financial Services AG 8,866,335 11,051,805 44,711,488 58,263,392 13.92 JAPAN 540,370 Astellas Pharma Inc. 10,353,079 11,664,013 73,367 Daito Trust Construction Co., Ltd. 11,292,014 9,946,381 154,502 Japan Exchange Group Inc. 3,729,550 4,258,132 111,352 Makita Corp. 5,037,966 6,498,120 4,580 Nintendo Co., Ltd. 1,532,618 3,302,330 199,431 Sumitomo Mitsui Trust Holdings Inc. 9,020,270 7,850,716 109,960 Taisei Corp. 5,391,435 4,466,056 178,905 Tokio Marine Holdings Inc. 8,549,038 10,196,741 54,905,970 58,182,489 13.90 FRANCE 88,146 Accor S.A. 3,846,716 4,079,898 342,400 AXA S.A. 10,111,036 10,762,595 209,165 Bureau Veritas S.A. 6,107,487 8,202,549 87,112 Danone S.A. 8,163,317 7,601,845 82,035 Sanofi S.A. 9,213,137 10,654,397 52,131 SCOR S.E. 2,652,740 2,055,080 148,644 Total S.A. 9,248,898 8,336,290 49,343,331 51,692,654 12.35 GERMANY 5,312 Adidas AG 1,586,311 2,450,888 17,264 Continental AG 3,264,255 3,146,060 86,290 Fresenius Medical Care AG & Co., KGaA 9,068,076 8,883,428 47,499 Henkel AG & Co., KGaA, Preferred, Non-Voting Shares 6,389,463 6,216,467 50,640 SAP AG 8,174,374 8,845,662 39,444 Siemens AG, Registered Shares 5,009,528 7,746,873 55,490 Siemens Energy AG 1,966,646 2,073,310 35,458,653 39,362,688 9.41 NETHERLANDS 53,915 Akzo Nobel N.V. 6,212,307 8,257,552 84,576 Euronext N.V. 9,560,646 11,399,623 90,273 Heineken N.V. 9,895,214 13,560,721 25,668,167 33,217,896 7.94

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

Semi-Annual Financial Statements - June 30, 2021 – 223 – International Equity Value Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

CAYMAN ISLANDS 19,161 Alibaba Group Holding Ltd., ADR 5,561,181 5,386,485 18,119 Baidu Inc., ADR 3,892,120 4,579,668 528,976 Sands China Ltd. 3,239,431 2,761,620 205,850 Tencent Music Entertainment Group, ADR 4,040,676 3,950,066 81,444 Trip.com Group Ltd., ADR 3,255,836 3,579,978 19,989,244 20,257,817 4.84 IRELAND 37,306 Aon PLC 5,226,262 11,041,366 5,308 Linde PLC (EUR) 945,703 1,898,612 46,271 Medtronic PLC 4,386,622 7,119,807 10,558,587 20,059,785 4.79 SWEDEN 176,095 Assa Abloy AB 5,560,708 6,575,601 53,918 Sandvik AB 1,016,509 1,707,220 174,997 Telefonaktiebolaget LM Ericsson, Class B 1,706,060 2,726,383 8,283,277 11,009,204 2.63 SOUTH KOREA 125,132 KB Financial Group Inc. 6,855,964 7,685,797 1,374 Samsung Electronics Co., Ltd., GDR 1,623,390 3,037,683 8,479,354 10,723,480 2.56 ISRAEL 67,246 Check Point Software Technologies Ltd. 8,936,232 9,680,403 2.31 SINGAPORE 803,104 Singapore Exchange Ltd. 7,154,248 8,276,980 1.98 BERMUDA 23,392 Everest Re Group Ltd. 7,525,999 7,307,481 1.75 SPAIN 16,759 Aena S.A. 3,007,851 3,406,781 0.81 BRAZIL 640,441 Ambev S.A., ADR 3,838,439 2,730,990 0.65 MEXICO 325,850 Grupo Financiero Banorte S.A.B. de C.V. 1,932,631 2,609,076 0.62 U.S.A. 816 Booking Holdings Inc. 1,519,005 2,213,288 0.53 Commissions and other portfolio transaction costs (778,111) Total Investment Portfolio 352,147,940 398,220,348 95.16 Other Net Assets (Liabilities) 20,261,970 4.84 Net Assets Attributable to Holders of Redeemable Units 418,482,318 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 224 – International Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 196 394 Soft dollar commissions† 25 56

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 333,181 447,824 9,404,117 8,577,602 1,295,703 968,404 6,519,534 6,144,418 Redeemable units issued for cash 9,821 23,416 1,229,697 1,926,804 520,651 416,781 946,951 1,423,027 Redeemable units issued for reinvested distributions 787 825 38,262 32,020 10,904 7,438 70,722 78,991 Redeemable units redeemed (61,945) (78,650) (1,533,510) (1,339,663) (263,823) (206,988) (1,114,527) (1,290,266) Number of redeemable units at the end of period 281,844 393,415 9,138,566 9,196,763 1,563,435 1,185,635 6,422,680 6,356,170

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 16,422 22,964 2,948,715 3,076,924 Redeemable units issued for cash 6,525 1,094 474,478 2,011,434 Redeemable units issued for reinvested distributions 95 84 29,026 34,544 Redeemable units redeemed (5,015) (6,610) (571,145) (2,034,678) Number of redeemable units at the end of period 18,027 17,532 2,881,074 3,088,224

Semi-Annual Financial Statements - June 30, 2021 – 225 – International Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 58,195 29,156 Collateral (non-cash) 59,358 29,739

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 73 74 Charges (11) (11) Securities lending revenue 62 63 Charges as a % of gross securities lending revenue 15.1 14.9

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

Semi-Annual Financial Statements - June 30, 2021 – 226 – International Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

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

Concentration Risk as at June 30, 2021~ For Concentration Risk as at June 30, 2021, 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 129,685 - 129,685 31.0 as at December 31, 2020 U.S. Dollar 96,247 - 96,247 23.0 Categories Net Assets (%) Japanese Yen 58,243 - 58,243 13.9 Switzerland 15.0 Swiss Franc 43,077 - 43,077 10.3 Japan 14.9 British Pound 40,111 - 40,111 9.6 U.K. 13.9 Swedish Krona 11,009 - 11,009 2.6 France 12.4 Singapore Dollar 8,277 - 8,277 2.0 Germany 7.7 Korean Won 7,686 - 7,686 1.8 Netherlands 6.6 Hong Kong Dollar 2,762 - 2,762 0.7 Other Net Assets (Liabilities) 6.3 Mexican Peso 2,609 - 2,609 0.6 Ireland 5.4 Total 399,706 - 399,706 95.5 Cayman Islands 4.5 Israel 2.8 South Korea 2.4 as at December 31, 2020~ Sweden 2.0 Financial Instruments Net Net Singapore 1.4 Exposure Derivatives Exposure Assets Spain 0.9 Currency (in $000’s) (in $000’s) (in $000’s) (%) Luxembourg 0.7 Euro 116,789 - 116,789 28.8 India 0.7 U.S. Dollar 95,868 - 95,868 23.6 Mexico 0.6 Japanese Yen 60,409 - 60,409 14.9 U.S.A. 0.6 Swiss Franc 45,428 - 45,428 11.2 Thailand 0.6 British Pound 38,496 - 38,496 9.5 Brazil 0.6 Swedish Krona 8,153 - 8,153 2.0 Total 100.0 Singapore Dollar 5,806 - 5,806 1.4 Korean Won 4,094 - 4,094 1.0 Mexican Peso 2,316 - 2,316 0.6 Credit Risk Thai Baht 2,236 - 2,236 0.6 The Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, Hong Kong Dollar 1,960 - 1,960 0.5 with the following credit ratings, as per the table below. Total 381,555 - 381,555 94.1 as at June 30, 2021 ~Includes monetary and non-monetary instruments, if any. Credit Rating^* Net Assets (%) Not Rated 1.5 As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - Total 1.5 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, ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s respectively, by approximately $39,971,000 (December 31, 2020 - $38,156,000). In practice, the actual Investors Service or Dominion Bond Rating Service, respectively. results may differ from this analysis and the difference may be material. *Refer to Note 10 for Credit Rating Chart reference.

As at December 31, 2020, the Fund did not have a significant exposure to credit risk as substantially all Interest Rate Risk of its assets were invested in equities. As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.

Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world.

As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased by 10% (December 31, 2020 - 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 $39,822,000 (December 31, 2020 - $38,008,000). 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.

Semi-Annual Financial Statements - June 30, 2021 – 227 – International Equity Value Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 398,220 - - 398,220 Total 398,220 - - 398,220

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 380,076 - - 380,076 Total 380,076 - - 380,076

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 228 – Real Estate Investment Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series A 2,947 3,064 13.61 12.16 216,571 252,035 Current assets Series E 287,591 260,086 20.97 18.71 13,711,203 13,899,711 Investments 765,231 713,459 Series F 34,202 26,984 12.59 11.23 2,716,258 2,402,433 Investments pledged as collateral - - Series I 314,473 334,002 29.91 26.68 10,513,078 12,517,686 Cash 16,665 21,553 Series OF 246 247 21.22 18.92 11,589 13,038 Unrealized gain on futures and foreign currency Series W 134,038 116,159 42.83 38.21 3,129,293 3,039,967 forward contracts 1,031 2,817 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 60 - Cash collateral on deposit for short sale - - Dividends receivable 1,781 2,635 Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 10,428 1,310 Receivable for unit subscriptions 1,097 585 796,293 742,359 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 903 - 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 15,961 1,293 Payable for unit redemptions 5,932 524 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 22,796 1,817 Net assets attributable to holders of redeemable units 773,497 740,542

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

Semi-Annual Financial Statements - June 30, 2021 – 229 – CIG - 9618 Real Estate Investment Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series A 338 (673) 1.44 (2.15) 235,649 313,691 Net gain (loss) on investments and derivatives Series E 32,008 (39,884) 2.31 (3.04) 13,875,541 13,070,147 Dividends 11,338 11,480 Series F 3,744 (3,377) 1.46 (1.75) 2,566,677 1,923,607 Interest for distribution purposes 108 245 Series I 43,583 (50,183) 3.61 (4.20) 12,101,950 11,970,114 Income distributions from investments - - Series OF 32 (105) 2.40 (4.71) 13,256 22,451 Capital gain distributions from investments - - Series W 15,976 (12,977) 5.25 (4.39) 3,040,474 2,952,209 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 36,264 (42,789) Change in unrealized appreciation (depreciation) in value of investments and derivatives 53,761 (70,166) Total net gain (loss) on investments and derivatives 101,471 (101,230) Other income Foreign exchange gain (loss) on cash (227) (414) Commitment fee income - - Securities lending revenue (Note 6) 80 66 Fees rebate 124 94 Total other income (23) (254) Total income 101,448 (101,484) Expenses Management fees (Note 5) 3,057 2,625 Administration fees (Note 5) 432 370 Commissions and other portfolio transaction costs 516 849 Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes 1,357 1,525 Harmonized sales tax 404 345 Other expenses - - Total expenses 5,767 5,715 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 95,681 (107,199)

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

Semi-Annual Financial Statements - June 30, 2021 – 230 – Real Estate Investment Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 3,064 4,342 260,086 251,709 26,984 20,327 334,002 321,742 Increase (decrease) in net assets attributable to holders of redeemable units 338 (673) 32,008 (39,884) 3,744 (3,377) 43,583 (50,183) Distributions to holders of redeemable units From net investment income - - (468) (353) (228) (137) (4,789) (4,002) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - - (468) (353) (228) (137) (4,789) (4,002)

Redeemable unit transactions Proceeds from redeemable units issued 146 434 36,134 53,021 7,830 8,187 35,483 68,594 Reinvestment of distributions to holders of redeemable units - - 468 353 228 137 4,788 4,002 Redemption of redeemable units (601) (774) (40,637) (29,455) (4,356) (3,241) (98,594) (31,662) Net increase (decrease) from redeemable unit transactions (455) (340) (4,035) 23,919 3,702 5,083 (58,323) 40,934 Net increase (decrease) in net assets attributable to holders of redeemable units (117) (1,013) 27,505 (16,318) 7,218 1,569 (19,529) (13,251) Net assets attributable to holders of redeemable units at the end of period 2,947 3,329 287,591 235,391 34,202 21,896 314,473 308,491

Series OF Series W Total Fund 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 247 562 116,159 107,254 740,542 705,936 Increase (decrease) in net assets attributable to holders of redeemable units 32 (105) 15,976 (12,977) 95,681 (107,199) Distributions to holders of redeemable units From net investment income (1) (1) (1,736) (1,227) (7,222) (5,720) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units (1) (1) (1,736) (1,227) (7,222) (5,720)

Redeemable unit transactions Proceeds from redeemable units issued 44 25 21,116 59,212 100,753 189,473 Reinvestment of distributions to holders of redeemable units 1 1 1,723 1,227 7,208 5,720 Redemption of redeemable units (77) (250) (19,200) (49,117) (163,465) (114,499) Net increase (decrease) from redeemable unit transactions (32) (224) 3,639 11,322 (55,504) 80,694 Net increase (decrease) in net assets attributable to holders of redeemable units (1) (330) 17,879 (2,882) 32,955 (32,225) Net assets attributable to holders of redeemable units at the end of period 246 232 134,038 104,372 773,497 673,711

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

Semi-Annual Financial Statements - June 30, 2021 – 231 – Real Estate Investment Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 95,681 (107,199) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (36,264) 42,789 Unrealized foreign exchange (gain) loss on cash (7) 12 Commissions and other portfolio transaction costs 516 849 Change in unrealized (appreciation) depreciation in value of investments and derivatives (53,761) 70,166 Proceeds from sale and maturity of investments and derivatives 221,358 372,595 Purchase of investments and derivatives (175,382) (452,299) Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable 854 (579) (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (60) (42) Net cash from (used in) operating activities 52,935 (73,708)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (14) - Proceeds from issuance of redeemable units 74,033 177,742 Amounts paid on redemption of redeemable units (131,849) (102,539) Net cash from (used in) financing activities (57,830) 75,203

Unrealized foreign exchange gain (loss) on cash 7 (12) Net increase (decrease) in cash (4,895) 1,495 Cash (bank overdraft), beginning of period 21,553 15,802 Cash (bank overdraft), end of period 16,665 17,285

Supplementary Information: Dividends received, net of withholding tax* 10,836 9,377 Interest received, net of withholding tax* 108 245 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.

Semi-Annual Financial Statements - June 30, 2021 – 232 – Real Estate Investment Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

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

U.S.A. 245,692 Americold Realty Trust 11,884,738 11,527,615 162,134 Apartment Income REIT Corp. 8,932,285 9,532,565 167,330 Boyd Gaming Corp. 8,394,216 12,754,424 121,293 CyrusOne Inc. 11,592,265 10,753,400 61,018 Digital Realty Trust Inc. 12,162,045 11,380,506 285,709 Duke Realty Corp. 14,282,075 16,769,745 10,222 Equinix Inc. 10,164,073 10,169,921 51,566 Essex Property Trust Inc. 16,962,758 19,177,047 109,065 Extra Space Storage Inc. 14,257,772 22,148,019 180,064 Healthcare Trust of America Inc., Class A 6,628,301 5,959,649 572,489 Healthpeak Properties Inc. 22,998,288 23,624,548 105,221 Highwoods Properties Inc. 5,418,539 5,891,625 751,289 Host Hotels & Resorts Inc. 15,155,261 15,915,917 196,800 Invitation Homes Inc. 6,360,712 9,097,039 36,434 Jones Lang LaSalle Inc. 6,644,227 8,827,695 412,633 Kimco Realty Corp. 9,143,376 10,664,797 366,202 Medical Properties Trust Inc. 8,725,412 9,124,295 152,602 Park Hotels & Resorts Inc. 3,340,193 3,898,709 213,807 Prologis Inc. 20,756,823 31,679,725 98,652 Public Storage Inc. 27,051,015 36,771,169 190,654 Simon Property Group Inc. 23,195,419 30,837,022 67,554 Sun Communities Inc. 12,559,842 14,353,058 416,534 UDR Inc. 20,776,880 25,290,173 323,768 Ventas Inc. 14,188,102 22,916,727 354,486 VEREIT Inc. 16,521,659 20,182,646 276,664 VICI Properties Inc. 7,509,641 10,638,417 96,097 Welltower Inc. 9,425,723 9,899,048 97,480 Weyerhaeuser Co. 3,908,347 4,159,192 348,939,987 423,944,693 54.82 JAPAN 1,236 Activia Properties Inc. 6,916,434 7,254,246 3,922 GLP J-REIT 6,930,363 8,384,769 11,621 Invincible Investment Corp. 5,469,077 5,549,774 115 Japan Prime Realty Investment Corp. 459,589 558,181 5,848 Japan Retail Fund Investment Corp. 5,886,324 7,856,369 474,158 Mitsubishi Estate Co., Ltd. 11,071,301 9,504,698 586,102 Mitsui Fudosan Co., Ltd. 16,686,058 16,826,780 695 Mitsui Fudosan Logistics Park Inc. 4,652,352 4,590,865 773 Nippon Building Fund Inc. 6,009,210 5,977,241 2,028 ORIX JREIT Inc. 4,614,342 4,837,976 622,500 Tokyu Fudosan Holdings Corp. 4,183,006 4,639,849 2,560 United Urban Investment Corp. 3,775,177 4,590,330 76,653,233 80,571,078 10.42 GERMANY 277,867 Alstria Office REIT AG 5,503,152 6,367,326 21,241 Deutsche Wohnen AG 1,226,907 1,610,387 141,955 Instone Real Estate Group AG 4,732,723 5,299,787 31,492 LEG Immobilien AG 5,637,964 5,621,753 13,387 VIB Vermoegen AG 624,827 704,434 345,357 Vonovia S.E. 26,848,964 27,675,668 44,574,537 47,279,355 6.11

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

Semi-Annual Financial Statements - June 30, 2021 – 233 – Real Estate Investment Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

U.K. 6,074,474 Assura PLC 7,668,524 7,713,138 1,110,857 British Land Co., PLC 9,321,876 9,426,989 381,666 Safestore Holdings PLC 4,269,187 6,197,704 340,926 Segro PLC 4,115,260 6,398,428 1,466,643 Tritax Big Box REIT PLC 4,831,078 4,936,761 329,523 Workspace Group PLC 4,072,438 4,712,476 34,278,363 39,385,496 5.09 AUSTRALIA 836,458 Charter Hall Group 6,278,373 12,068,373 165,273 Goodman Group 1,613,239 3,252,637 5,412,258 Mirvac Group 13,439,121 14,691,773 21,330,733 30,012,783 3.88 CAYMAN ISLANDS 1,544,500 CK Asset Holdings Ltd. 11,164,823 13,216,999 585,800 ESR Cayman Ltd. 1,670,269 2,450,365 28,546 GDS Holdings Ltd., ADR 2,996,253 2,777,424 811,600 Sands China Ltd. 4,558,947 4,237,112 936,000 Wharf Real Estate Investment Co., Ltd. 6,304,538 6,747,047 26,694,830 29,428,947 3.80 SWEDEN 250,616 Castellum AB 6,722,258 7,906,280 56,800 Catena AB 2,509,870 3,769,719 139,536 Fabege AB 2,900,853 2,774,996 104,762 Fastighets AB Balder 5,525,957 8,148,611 113,666 Wihlborgs Fastigheter AB 2,910,202 3,057,370 20,569,140 25,656,976 3.32 SINGAPORE 776,300 CapitaLand Ltd. 2,782,238 2,654,984 3,506,692 CapitaMall Trust 6,257,380 6,756,196 479,600 City Developments Ltd. 4,065,618 3,223,035 162,300 Frasers Logistics & Commercial Trust 212,679 215,446 785,392 Keppel DC REIT 1,491,071 1,802,786 4,602,100 Keppel REIT 5,048,187 5,006,064 1,363,500 Parkway Life Real Estate Investment Trust 3,915,591 5,769,340 23,772,764 25,427,851 3.29 FRANCE 19,534 Argan S.A. 2,128,936 2,957,348 60,200 icade S.A. 5,240,428 6,441,720 281,141 Klepierre S.A. 9,649,760 8,979,619 49,376 Unibail-Rodamco-Westfield S.E. 5,360,670 5,297,284 22,379,794 23,675,971 3.06 HONG KONG 712,251 Link REIT 8,215,980 8,556,964 646,000 Sun Hung Kai Properties Ltd. 13,203,784 11,932,901 21,419,764 20,489,865 2.65 BELGIUM 43,382 Aedifica S.A. 5,733,875 7,097,064 8,396 VGP N.V. 1,540,725 2,053,524 7,274,600 9,150,588 1.18 CANADA 43,017 Allied Properties Real Estate Investment Trust 1,425,888 1,937,916 113,353 RioCan Real Estate Investment Trust 2,495,372 2,502,834 3,921,260 4,440,750 0.57

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

Semi-Annual Financial Statements - June 30, 2021 – 234 – Real Estate Investment Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited) (cont’d)

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

NETHERLANDS 139,982 CTP B.V. 2,910,099 3,497,801 0.45 SPAIN 10,909 Merlin Properties Socimi S.A. 142,362 140,079 127,478 Neinor Homes S.A. 2,048,836 2,128,568 2,191,198 2,268,647 0.29 MALTA 9,518,140 BGP Holdings Inc., Private Placement - 14 0.00 Commissions and other portfolio transaction costs (685,351) Total Investment Portfolio before Derivative Instruments 656,224,951 765,230,815 98.93 Foreign Currency Forward Contract(s) (see Schedule A) 127,660 0.02 Total Investment Portfolio 656,224,951 765,358,475 98.95 Other Net Assets (Liabilities) 8,138,658 1.05 Net Assets Attributable to Holders of Redeemable Units 773,497,133 100.00

Schedule A Foreign Currency Forward Contract(s)

Semi-Annual Financial Statements - June 30, 2021 – 235 – Real Estate Investment Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 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 1,031 (604) - 427 Derivative assets - Swaps and swaptions - - - - Total 1,031 (604) - 427 Derivative liabilities - Foreign currency forward contracts (903) 604 - (299) Derivative liabilities - Swaps and swaptions - - - - Total (903) 604 - (299) 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 2,817 - - 2,817 Derivative assets - Swaps and swaptions - - - - Total 2,817 - - 2,817 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Semi-Annual Financial Statements - June 30, 2021 – 236 – Real Estate Investment Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions 497 826 Soft dollar commissions† 141 -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series A Series E Series F Series I 2021 2020 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 252,035 328,366 13,899,711 12,403,953 2,402,433 1,668,430 12,517,686 11,053,660 Redeemable units issued for cash 11,421 41,017 1,865,369 3,183,408 667,171 794,044 1,281,758 2,849,694 Redeemable units issued for reinvested distributions - - 22,129 21,752 18,412 14,537 164,595 179,970 Redeemable units redeemed (46,885) (66,829) (2,076,006) (1,689,208) (371,758) (320,042) (3,450,961) (1,291,414) Number of redeemable units at the end of period 216,571 302,554 13,711,203 13,919,905 2,716,258 2,156,969 10,513,078 12,791,910

Series OF Series W 2021 2020 2021 2020 Number of redeemable units at the beginning of period 13,038 27,368 3,039,967 2,588,130 Redeemable units issued for cash 2,304 1,571 524,934 1,814,157 Redeemable units issued for reinvested distributions 47 75 41,214 38,487 Redeemable units redeemed (3,800) (15,469) (476,822) (1,418,198) Number of redeemable units at the end of period 11,589 13,545 3,129,293 3,022,576

Semi-Annual Financial Statements - June 30, 2021 – 237 – Real Estate Investment Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series A 2.750 0.22 Series E 2.100 0.22 Series F 1.100 0.22 Series I Paid directly by investor Paid directly by investor Series OF 1.750 0.22 Series W Paid directly by investor 0.16

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned 56,712 42,946 Collateral (non-cash) 57,846 43,805

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue 94 78 Charges (14) (12) Securities lending revenue 80 66 Charges as a % of gross securities lending revenue 14.9 15.4

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

Semi-Annual Financial Statements - June 30, 2021 – 238 – Real Estate Investment Pool Fund Specific Notes to Financial Statements (unaudited)

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

~Includes monetary and non-monetary instruments, if any. Other Price Risk As at June 30, 2021 and December 31, 2020, the Fund was predominantly invested in foreign equities and As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - therefore was sensitive to changes in general economic conditions across the world. 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, As at June 30, 2021, had the fair value of equities in the investment portfolio increased or decreased by respectively, by approximately $64,540,000 (December 31, 2020 - $60,896,000). In practice, the actual 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable to holders results may differ from this analysis and the difference may be material. of redeemable units of the Fund would have increased or decreased, respectively, by approximately $76,523,000 (December 31, 2020 - $71,346,000). In practice, actual results may differ from this analysis and the difference may be material. Interest Rate Risk As at June 30, 2021 and December 31, 2020, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

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

Semi-Annual Financial Statements - June 30, 2021 – 239 – Real Estate Investment Pool Fund Specific Notes to Financial Statements (unaudited)

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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 765,231 - - 765,231 Foreign currency forward contract(s), net - 128 - 128 Total 765,231 128 - 765,359

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 713,459 - - 713,459 Foreign currency forward contract(s), net - 2,817 - 2,817 Total 713,459 2,817 - 716,276

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 240 – International Equity Value Currency Hedged Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series E 12,956 12,974 11.74 10.82 1,103,520 1,199,062 Current assets Series F 325 339 11.93 10.93 27,238 30,981 Investments 16,839 17,484 Series I 3,587 4,162 12.12 11.04 295,995 377,059 Investments pledged as collateral - - Cash 29 - Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 1 - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold - 9 Receivable for unit subscriptions 18 13 16,887 17,506 Liabilities Current liabilities Investments sold short - - Bank overdraft - 8 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 5 - Payable for unit redemptions 14 23 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 19 31 Net assets attributable to holders of redeemable units 16,868 17,475

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

Semi-Annual Financial Statements - June 30, 2021 – 241 – CIG - 16675 International Equity Value Currency Hedged Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series E 1,055 (1,731) 0.93 (1.40) 1,138,552 1,232,554 Net gain (loss) on investments and derivatives Series F 29 (48) 1.00 (1.44) 29,538 33,195 Dividends - - Series I 367 (500) 1.10 (1.28) 331,973 387,609 Interest for distribution purposes - - Income distributions from investments - 91 Capital gain distributions from investments 53 422 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 52 (143) Change in unrealized appreciation (depreciation) in value of investments and derivatives 1,500 (2,502) Total net gain (loss) on investments and derivatives 1,605 (2,132) Other income Foreign exchange gain (loss) on cash - - Commitment fee income - - Securities lending revenue (Note 6) - - Fees rebate 1 1 Total other income 1 1 Total income 1,606 (2,131) Expenses Management fees (Note 5) 124 117 Administration fees (Note 5) 14 13 Commissions and other portfolio transaction costs - - Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes - - Harmonized sales tax 16 17 Other expenses - - Total expenses 155 148 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 1,451 (2,279)

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

Semi-Annual Financial Statements - June 30, 2021 – 242 – International Equity Value Currency Hedged Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series E Series F Series I Total Fund 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 12,974 13,662 339 413 4,162 4,329 17,475 18,404 Increase (decrease) in net assets attributable to holders of redeemable units 1,055 (1,731) 29 (48) 367 (500) 1,451 (2,279) Distributions to holders of redeemable units From net investment income ------From net realized gains ------Return of capital ------Total distributions to holders of redeemable units ------

Redeemable unit transactions Proceeds from redeemable units issued 847 2,022 67 100 554 758 1,468 2,880 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (1,920) (1,623) (110) (149) (1,496) (724) (3,526) (2,496) Net increase (decrease) from redeemable unit transactions (1,073) 399 (43) (49) (942) 34 (2,058) 384 Net increase (decrease) in net assets attributable to holders of redeemable units (18) (1,332) (14) (97) (575) (466) (607) (1,895) Net assets attributable to holders of redeemable units at the end of period 12,956 12,330 325 316 3,587 3,863 16,868 16,509

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

Semi-Annual Financial Statements - June 30, 2021 – 243 – International Equity Value Currency Hedged Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 1,451 (2,279) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (52) 143 Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs - - Change in unrealized (appreciation) depreciation in value of investments and derivatives (1,500) 2,502 Proceeds from sale and maturity of investments and derivatives 2,678 1,229 Purchase of investments and derivatives (414) (1,454) Non-cash distributions from investments (53) (513) Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (1) (1) Net cash from (used in) operating activities 2,109 (373)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 1,218 2,511 Amounts paid on redemption of redeemable units (3,290) (2,132) Net cash from (used in) financing activities (2,072) 379

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 37 6 Cash (bank overdraft), beginning of period (8) 67 Cash (bank overdraft), end of period 29 73

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.

Semi-Annual Financial Statements - June 30, 2021 – 244 – International Equity Value Currency Hedged Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

Average Cost Fair Value % of Net Number of Shares Description ($) ($) Assets

UNDERLYING FUND(S) 786,362 International Equity Value Currency Hedged Corporate Class (I Shares) 15,799,545 16,838,770 99.82 Total Investment Portfolio 15,799,545 16,838,770 99.82 Other Net Assets (Liabilities) 29,588 0.18 Net Assets Attributable to Holders of Redeemable Units 16,868,358 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 245 – International Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Interest in Unconsolidated Structured Entities (Note 2)

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

Semi-Annual Financial Statements - June 30, 2021 – 246 – International Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions - - Soft dollar commissions† - -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series E Series F Series I 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 1,199,062 1,204,461 30,981 36,399 377,059 380,832 Redeemable units issued for cash 74,945 213,659 5,759 10,248 47,571 80,416 Redeemable units issued for reinvested distributions - 44 - 1 - 21 Redeemable units redeemed (170,487) (166,703) (9,502) (14,739) (128,635) (74,648) Number of redeemable units at the end of period 1,103,520 1,251,461 27,238 31,909 295,995 386,621

Semi-Annual Financial Statements - June 30, 2021 – 247 – International Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series E 1.900 0.22 Series F 0.900 0.22 Series I Paid directly by investor Paid directly by investor

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned - - Collateral (non-cash) - -

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue - - Charges - - Securities lending revenue - - Charges as a % of gross securities lending revenue - -

Related Party Investments (Note 9) as at June 30 (in $000’s)

Investments 2021 International Equity Value Currency Hedged Corporate Class (I Shares) 16,839

Investments 2020 International Equity Value Currency Hedged Corporate Class (I Shares) 16,437

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

Semi-Annual Financial Statements - June 30, 2021 – 248 – International Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Credit Risk As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to credit risk.

Concentration Risk As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the credit risk exposure of the The tables below summarize the Underlying Fund’s exposure to concentration risk. Underlying Fund. as at June 30, 2021 The Underlying Fund was invested in fixed income securities, preferred securities and derivative Categories Net Assets (%) instruments, if any, with the following credit ratings, as per the table below. U.K. 14.2 Switzerland 13.9 as at June 30, 2021 Japan 13.9 Credit Rating^* Net Assets (%) France 12.4 Not Rated 1.5 Germany 9.4 Total 1.5 Netherlands 7.9 Cayman Islands 4.8 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Ireland 4.8 Investors Service or Dominion Bond Rating Service, respectively. Cash & Cash Equivalents 4.5 *Refer to Note 10 for Credit Rating Chart reference. Sweden 2.6 South Korea 2.6 As at December 31, 2020, the Underlying Fund did not have a significant exposure to credit risk as Israel 2.3 substantially all of its assets were invested in equities. Singapore 2.0 Bermuda 1.8 Spain 0.8 Other Price Risk Brazil 0.7 As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the other price risk exposure of Mexico 0.6 the Underlying Fund. U.S.A. 0.5 Other Net Assets (Liabilities) 0.3 As at June 30, 2021 and December 31, 2020, the Underlying Fund was predominantly invested in foreign Total 100.0 equities and therefore was sensitive to changes in general economic conditions across the world.

As at June 30, 2021, had the fair value of equities in the investment portfolio of the Underlying Fund as at December 31, 2020 increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, Categories Net Assets (%) net assets attributable to holders of redeemable units of the Fund would have increased or decreased, Switzerland 15.1 respectively, by approximately $1,603,000 (December 31, 2020 - $1,638,000). In practice, actual results Japan 14.9 may differ from this analysis and the difference may be material. U.K. 13.9 France 12.4 Germany 7.7 Currency Risk Netherlands 6.6 As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to currency risk. Cash & Cash Equivalents 6.2 Ireland 5.4 As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the currency risk exposure of the Cayman Islands 4.5 Underlying Fund. Israel 2.8 South Korea 2.4 The tables below summarize the Underlying Fund’s exposure to currency risk. Sweden 2.0 Singapore 1.4 as at June 30, 2021~ Spain 0.9 Currency Net Assets (%) Luxembourg 0.7 Euro 31.0 India 0.7 U.S. Dollar 23.0 Thailand 0.6 Japanese Yen 13.9 Mexico 0.6 Swiss Franc 10.3 Brazil 0.6 British Pound 9.6 U.S.A. 0.6 Swedish Krona 2.6 Other Net Assets (Liabilities) 0.0 Singapore Dollar 2.0 Total 100.0 Korean Won 1.8 Hong Kong Dollar 0.7 Mexican Peso 0.6 Total 95.5

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

Semi-Annual Financial Statements - June 30, 2021 – 249 – International Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Currency Risk (cont’d)

as at December 31, 2020~ Currency Net Assets (%) Euro 28.8 U.S. Dollar 23.6 Japanese Yen 14.9 Swiss Franc 11.2 British Pound 9.5 Swedish Krona 2.0 Singapore Dollar 1.4 Korean Won 1.0 Mexican Peso 0.6 Thai Baht 0.6 Hong Kong Dollar 0.5 Total 94.1

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

As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - 10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have indirectly decreased or increased, respectively, by approximately $1,608,000 (December 31, 2020 - $1,645,000). In practice, the actual results may differ from this analysis and the difference may be material.

Interest Rate Risk As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to interest rate risk.

As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the interest rate risk exposure of the Underlying Fund.

As at June 30, 2021 and December 31, 2020, the Underlying Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Underlying Fund(s) 16,839 - - 16,839 Total 16,839 - - 16,839

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) Underlying Fund(s) 17,484 - - 17,484 Total 17,484 - - 17,484

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 250 – US Equity Value Currency Hedged Pool Financial Statements (unaudited)

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: as at as at as at as at as at as at as at as at Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Jun. 30, 2021 Dec. 31, 2020 Assets Series E 13,388 15,182 14.58 12.46 918,278 1,218,047 Current assets Series F 222 284 14.82 12.60 14,993 22,575 Investments 16,852 19,693 Series I 3,235 4,295 15.07 12.74 214,644 337,259 Investments pledged as collateral - - Cash 5 71 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 1 - Cash collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for distribution from investments - - Securities lending revenue receivable (Note 6) - - Receivable for investments sold 4 18 Receivable for unit subscriptions 20 11 16,882 19,793 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 3 - Payable for unit redemptions 34 32 Distributions payable to holders of redeemable units - - Management fees payable - - Administration fees payable - - Accounts payable and accrued liabilities - - 37 32 Net assets attributable to holders of redeemable units 16,845 19,761

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

Semi-Annual Financial Statements - June 30, 2021 – 251 – CIG - 16673 US Equity Value Currency Hedged Pool Financial Statements (unaudited)

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: 2021 2020 2021 2020 2021 2020 2021 2020 Income Series E 2,213 (1,946) 2.15 (1.43) 1,026,666 1,357,056 Net gain (loss) on investments and derivatives Series F 42 (44) 2.29 (1.46) 18,489 29,910 Dividends - - Series I 635 (445) 2.42 (1.16) 263,077 382,599 Interest for distribution purposes - - Income distributions from investments 47 228 Capital gain distributions from investments 193 195 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 839 (197) Change in unrealized appreciation (depreciation) in value of investments and derivatives 1,976 (2,492) Total net gain (loss) on investments and derivatives 3,055 (2,266) Other income Foreign exchange gain (loss) on cash - - Commitment fee income - - Securities lending revenue (Note 6) - - Fees rebate 1 1 Total other income 1 1 Total income 3,056 (2,265) Expenses Management fees (Note 5) 134 134 Administration fees (Note 5) 14 15 Commissions and other portfolio transaction costs - - Independent review committee fees 1 1 Securities borrowing fees (Note 2) - - Margin fees - - Service fees - - Interest expense - - Withholding taxes - - Harmonized sales tax 17 20 Other expenses - - Total expenses 166 170 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 2,890 (2,435)

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

Semi-Annual Financial Statements - June 30, 2021 – 252 – US Equity Value Currency Hedged Pool Financial Statements (unaudited)

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the periods ended June 30 (in $000’s)

Series E Series F Series I Total Fund 2021 2020 2021 2020 2021 2020 2021 2020 Net assets attributable to holders of redeemable units at the beginning of period 15,182 15,716 284 382 4,295 4,354 19,761 20,452 Increase (decrease) in net assets attributable to holders of redeemable units 2,213 (1,946) 42 (44) 635 (445) 2,890 (2,435) Distributions to holders of redeemable units From net investment income - (86) - (3) - (35) - (124) From net realized gains ------Return of capital ------Total distributions to holders of redeemable units - (86) - (3) - (35) - (124)

Redeemable unit transactions Proceeds from redeemable units issued 734 2,787 61 73 386 1,010 1,181 3,870 Reinvestment of distributions to holders of redeemable units - 86 - 3 - 35 - 124 Redemption of redeemable units (4,741) (2,440) (165) (148) (2,081) (912) (6,987) (3,500) Net increase (decrease) from redeemable unit transactions (4,007) 433 (104) (72) (1,695) 133 (5,806) 494 Net increase (decrease) in net assets attributable to holders of redeemable units (1,794) (1,599) (62) (119) (1,060) (347) (2,916) (2,065) Net assets attributable to holders of redeemable units at the end of period 13,388 14,117 222 263 3,235 4,007 16,845 18,387

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

Semi-Annual Financial Statements - June 30, 2021 – 253 – US Equity Value Currency Hedged Pool Financial Statements (unaudited)

Statements of Cash Flows for the periods ended June 30 (in $000’s)

2021 2020 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 2,890 (2,435) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (839) 197 Unrealized foreign exchange (gain) loss on cash - - Commissions and other portfolio transaction costs - - Change in unrealized (appreciation) depreciation in value of investments and derivatives (1,976) 2,492 Proceeds from sale and maturity of investments and derivatives 6,127 1,912 Purchase of investments and derivatives (214) (2,083) Non-cash distributions from investments (240) (423) Change in daily variation margin - - (Increase) decrease in cash collateral on deposit for short sale - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - (Increase) decrease in securities lending revenue receivable - - Increase (decrease) in management fees payable - - Increase (decrease) in administration fees payable - - Change in other accounts receivable and payable (1) (1) Net cash from (used in) operating activities 5,747 (341)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 941 3,444 Amounts paid on redemption of redeemable units (6,754) (3,092) Net cash from (used in) financing activities (5,813) 352

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (66) 11 Cash (bank overdraft), beginning of period 71 69 Cash (bank overdraft), end of period 5 80

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.

Semi-Annual Financial Statements - June 30, 2021 – 254 – US Equity Value Currency Hedged Pool Schedule of Investment Portfolio as at June 30, 2021 (unaudited)

Average Cost Fair Value % of Net Number of Shares Description ($) ($) Assets

UNDERLYING FUND(S) 480,235 US Equity Value Currency Hedged Corporate Class (I Shares) 13,480,315 16,852,166 100.04 Total Investment Portfolio 13,480,315 16,852,166 100.04 Other Net Assets (Liabilities) (7,415) (0.04) Net Assets Attributable to Holders of Redeemable Units 16,844,751 100.00

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

Semi-Annual Financial Statements - June 30, 2021 – 255 – US Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Interest in Unconsolidated Structured Entities (Note 2)

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

Semi-Annual Financial Statements - June 30, 2021 – 256 – US Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Commissions (Note 2) for the periods ended June 30 (in $000’s)

2021 2020 Brokerage commissions - - Soft dollar commissions† - -

Redeemable Unit Transactions (Note 4) for the periods ended June 30

Series E Series F Series I 2021 2020 2021 2020 2021 2020 Number of redeemable units at the beginning of period 1,218,047 1,314,139 22,575 31,940 337,259 363,252 Redeemable units issued for cash 54,748 297,410 4,379 7,430 27,138 109,513 Redeemable units issued for reinvested distributions - 11,606 - 345 - 4,714 Redeemable units redeemed (354,517) (239,292) (11,961) (14,016) (149,753) (88,486) Number of redeemable units at the end of period 918,278 1,383,863 14,993 25,699 214,644 388,993

Semi-Annual Financial Statements - June 30, 2021 – 257 – US Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Management and Administration Fees (Note 5) as at June 30, 2021 (%)

Annual Annual management administration fee rate: fee rate: Series E 1.900 0.21 Series F 0.900 0.21 Series I Paid directly by investor Paid directly by investor

Securities Lending (Note 6) as at June 30 (in $000’s)

2021 2020 Loaned - - Collateral (non-cash) - -

Securities Lending Revenue Reconciliation (Note 6) for the periods ended June 30 (in $000’s)

2021 2020 Gross securities lending revenue - - Charges - - Securities lending revenue - - Charges as a % of gross securities lending revenue - -

Related Party Investments (Note 9) as at June 30 (in $000’s)

Investments 2021 US Equity Value Currency Hedged Corporate Class (I Shares) 16,852

Investments 2020 US Equity Value Currency Hedged Corporate Class (I Shares) 18,318

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

Semi-Annual Financial Statements - June 30, 2021 – 258 – US Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 10) Credit Risk (cont’d) The Underlying Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the table below. Concentration Risk The tables below summarize the Underlying Fund’s exposure to concentration risk. as at December 31, 2020 Credit Rating^* Net Assets (%) as at June 30, 2021 AAA/Aaa/A++ 0.2 Categories Net Assets (%) AA/Aa/A+ 0.7 Information Technology 24.8 Total 0.9 Communication Services 16.5 Financials 14.4 ^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Health Care 12.3 Investors Service or Dominion Bond Rating Service, respectively. Consumer Discretionary 9.2 *Refer to Note 10 for Credit Rating Chart reference. Industrials 9.1 Real Estate 3.7 Cash & Cash Equivalents 2.7 Other Price Risk Consumer Staples 2.5 As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the other price risk exposure of Energy 2.3 the Underlying Fund. Materials 1.3 Utilities 1.0 As at June 30, 2021 and December 31, 2020, the Underlying Fund was predominantly invested in U.S. Foreign Currency Forward Contract(s) 0.1 equities and therefore was sensitive to changes in general economic conditions in the United States. Other Net Assets (Liabilities) 0.1 Total 100.0 As at June 30, 2021, had the fair value of equities in the investment portfolio of the Underlying Fund increased or decreased by 10% (December 31, 2020 - 10%), with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, as at December 31, 2020 respectively, by approximately $1,636,000 (December 31, 2020 - $1,893,000). In practice, actual results Categories Net Assets (%) may differ from this analysis and the difference may be material. Information Technology 23.2 Communication Services 15.7 Health Care 15.0 Currency Risk Financials 14.7 As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to currency Consumer Discretionary 8.5 risk. Industrials 7.5 Consumer Staples 6.1 As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the currency risk exposure of Cash & Cash Equivalents 3.1 the Underlying Fund. Materials 2.9 Real Estate 1.6 The tables below summarize the Underlying Fund’s exposure to currency risk. Utilities 1.0 Foreign Currency Forward Contract(s) 0.8 as at June 30, 2021~ Other Net Assets (Liabilities) (0.1) Currency Net Assets (%) Total 100.0 U.S. Dollar 70.2 Total 70.2

Credit Risk As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to credit risk. as at December 31, 2020~ Currency Net Assets (%) As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the credit risk exposure of the U.S. Dollar 70.1 Underlying Fund. Total 70.1

As at June 30, 2021, the Underlying Fund’s exposure to credit risk through derivative instruments was ~Includes monetary and non-monetary instruments, if any. insignificant. As at June 30, 2021, had the Canadian dollar strengthened or weakened by 10% (December 31, 2020 - 10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have indirectly decreased or increased, respectively, by approximately $1,183,000 (December 31, 2020 - $1,381,000). In practice, the actual results may differ from this analysis and the difference may be material.

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

Semi-Annual Financial Statements - June 30, 2021 – 259 – US Equity Value Currency Hedged Pool Fund Specific Notes to Financial Statements (unaudited)

Interest Rate Risk As at June 30, 2021 and December 31, 2020, the Fund had no significant direct exposure to interest rate risk.

As at June 30, 2021 and December 31, 2020, the Fund indirectly bears the interest rate risk exposure of the Underlying Fund.

As at June 30, 2021 and December 31, 2020, the Underlying Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

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 June 30, 2021 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Underlying Fund(s) 16,852 - - 16,852 Total 16,852 - - 16,852

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) Underlying Fund(s) 19,693 - - 19,693 Total 19,693 - - 19,693

There were no transfers between Level 1, 2 and 3 during the period ended June 30, 2021 and the year ended December 31, 2020.

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

Semi-Annual Financial Statements - June 30, 2021 – 260 – United Funds Notes to the Financial Statements (unaudited)

1. THE FUNDS The Funds are open-end investment mutual fund trusts established and governed by declarations of trust. The Funds’ registered office address is 15 York Street, Second Floor, Toronto, Ontario M5J 0A3. Effective on or about August 1, 2021, the Funds’ registered office address changed from 2 Queen Street East, Twentieth Floor, Toronto, Ontario, M5C 3G7 to 15 York Street, Second Floor, Toronto, Ontario M5J 0A3. CI Investments Inc. is the manager and the trustee (the Manager and the Trustee) to the Funds. RBC Investor Services Trust is the custodian (the Custodian) of the Funds.

These financial statements were authorized for issue by the Manager on August 16, 2021. The Manager is a subsidiary of CI Financial Corp.

The objective of each Fund is to pool and manage money contributed by investors (the Unitholders) with similar investment goals. The Funds may invest in equities, fixed income securities, derivatives, underlying fund(s) or some combination thereof according to their specific investment objectives and strategies. Investments may be held for income or capital appreciation or both. Unitholders share the Fund’s income, expenses and any gains or losses a Fund makes on its investments generally in proportion to the value of the units they own.

Effective on or about July 29, 2020, units that were previously issued as Class A units, Class E units, Class E2 units, Class E3 units, Class E4 units, Class E5 units, Class ET8 units, Class E3T8 units, Class E4T8 units, Class E5T8 units, Class F units, Class F2 units, Class F3 units, Class F4 units, Class F5 units, Class FT8 units, Class F3T8 units, Class F4T8 units, Class F5T8 units, Class I units, Class IT8 units, Class OF units, Class W units and Class WT8 units, as applicable, were renamed as Series A units, Series E units, Series E2 units, Series E3 units, Series E4 units, Series E5 units, Series ET8 units, Series E3T8 units, Series E4T8 units, Series E5T8 units, Series F units, Series F2 units, Series F3 units, Series F4 units, Series F5 units, Series FT8 units, Series F3T8 units, Series F4T8 units, Series F5T8 units, Series I units, Series IT8 units, Series OF units, Series W units and Series WT8 units, respectively.

Each mutual fund trust is referred to individually as (a United Fund or a Fund) and collectively as (the United Funds or the Funds). The Inception Date is the date upon which units of a Series of a Fund commenced operations.

Inception Date: Funds Series A Series E Series ET8 Series F Series FT8 Series I Series IT8 Canadian Equity Alpha Pool Jan. 31, 19 Jan. 31, 19 - Jan. 31, 19 - Jan. 31, 19 - Canadian Equity Growth Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - Canadian Equity Small Cap Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - Canadian Equity Value Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - Canadian Fixed Income Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - Cash Management Pool Dec. 28, 06 Aug. 29, 08 - May. 1, 17 - Aug. 29, 08 - Emerging Markets Equity Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - Enhanced Income Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - Global Equity Allocation Pool Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Oct. 19, 18 Global Equity Pool Feb. 23, 21 Feb. 23, 21 Feb. 23, 21 Feb. 23, 21 Feb. 23, 21 Feb. 23, 21 Feb. 23, 21 Global Fixed Income Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - International Equity Alpha Pool Jan. 31, 19 Jan. 31, 19 - Jan. 31, 19 - Jan. 31, 19 - International Equity Growth Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - International Equity Value Currency Hedged Pool - Jan. 31, 19 - Jan. 31, 19 - Jan. 31, 19 - International Equity Value Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - Real Estate Investment Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - Short Term Income Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - US Equity Alpha Pool Oct. 31, 18 Oct. 31, 18 - Oct. 31, 18 - Oct. 31, 18 - US Equity Growth Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - US Equity Small Cap Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 - US Equity Value Currency Hedged Pool - Jan. 31, 19 - Jan. 31, 19 - Jan. 31, 19 - US Equity Value Pool Dec. 28, 06 Aug. 18, 08 - May. 1, 17 - Aug. 19, 08 -

Semi-Annual Financial Statements - June 30, 2021 – 261 – United Funds Notes to the Financial Statements (unaudited) (cont’d)

Inception Date: Inception Date: Funds (cont’d) Series OF Series W Series WT8 Canadian Equity Alpha Pool Jan. 31, 19 Jan. 31, 19 - Canadian Equity Growth Pool Aug. 31, 07 Apr. 28, 00 - Canadian Equity Small Cap Pool Aug. 31, 07 Jan. 17, 00 - Canadian Equity Value Pool Aug. 31, 07 Apr. 30, 93 - Canadian Fixed Income Pool Aug. 31, 07 Apr. 30, 93 - Cash Management Pool Aug. 31, 07 Aug. 17, 95 - Emerging Markets Equity Pool Aug. 31, 07 Nov. 3, 05 - Enhanced Income Pool Aug. 31, 07 Nov. 3, 05 - Global Equity Allocation Pool Oct. 19, 18 Oct. 19, 18 Feb. 22, 19* Global Equity Pool Feb. 23, 21 Feb. 23, 21 - Global Fixed Income Pool Aug. 31, 07 Jun. 24, 94 - International Equity Alpha Pool Jan. 31, 19 Jan. 31, 19 - International Equity Growth Pool Aug. 31, 07 Apr. 28, 00 - International Equity Value Currency Hedged Pool - - - International Equity Value Pool Aug. 31, 07 Apr. 28, 00 - Real Estate Investment Pool Aug. 31, 07 May. 8, 96 - Short Term Income Pool Aug. 31, 07 Apr. 23, 93 - US Equity Alpha Pool Oct. 31, 18 Oct. 31, 18 - US Equity Growth Pool Aug. 31, 07 Apr. 28, 00 - US Equity Small Cap Pool Aug. 31, 07 Nov. 3, 05 - US Equity Value Currency Hedged Pool - - - US Equity Value Pool Aug. 31, 07 Jun. 24, 94 -

*Private Client Managed Portfolios are made available through Assante Private Client, a division of CI Private Counsel LP. The pools used in the Private Client Managed Portfolios are managed by CI Investments Inc., and affiliate of CI Private Counsel LP.

United Funds offer Series A units, Series E units, Series ET8 units, Series F units, Series FT8 units, Series F2, Series F3, Series F4, Series F5, Series F3T8, Series F4T8 and Series F5T8 units collectively Series I units, Series IT8 units, Series OF units, Series W units and Series WT8 units. Series A units are (Fee Tier Series F). Fee Tier Series F units were available to investors who qualified for our Automatic intended only for investors who want to receive the Optima Strategy Series A Services as described in Switch Program and: (i) held Series F units with a minimum investment of $500,000 in the Evolution the Funds’ simplified prospectus. Series E, Series ET8, Series F and Series FT8 units are only available Private Managed Accounts, provided their dealer had entered into the appropriate eligibility to investors who participate in the Evolution Private Managed Accounts’ program as described in the agreement with the Manager and was able to support Fee Tier Series F units; or (ii) already held Fee Funds’ simplified prospectus. Series I and Series IT8 units are only available to institutional clients Tier Series F units of a Fund. The Manager automatically switched a qualifying investor’s Series F and investors who have been approved by the Manager and have entered into a Series I Account or Series FT8 units of a Fund into the Fee Tier Series F that had the lowest combined management Agreement. Series OF units are available only to investors who participate in fee-based programs as and administration fees for which the investor qualified, and which was available for the Fund. If an described in the Funds’ simplified prospectus. Series W units are available to all investors. Investors in investor no longer qualified for Fee Tier Series F units, Manager automatically switched investor units Series W units who qualify may elect to participate in Optima Strategy Asset Management Service as back to Series F or Series FT8 units. described in the Funds’ simplified prospectus. Series WT8 units are offered to investors under Private Client Managed Portfolios Program. Effective after the close of business on August 2, 2019, the Funds that offered CI Preferred Pricing Program (CIPP) transitioned from a tiered pricing model to a fee rebate/distribution model. As a result, Series E2, Series E3, Series E4, Series E5, Series E3T8, Series E4T8 and Series E5T8 units collectively assets from Series E2 units, Series E3 units, Series E4 units and Series E5 units were transferred into (Fee Tier Series E). Fee Tier Series E units were available to investors who qualified for our Automatic Series E units, assets from Series E3T8 units, Series E4T8 units and Series E5T8 units were transferred Switch Program and: (i) held Series E units under the Initial Sales Charge Option with a minimum into Series ET8 units, assets from Series F2 units, Series F3 units, Series F4 units and Series F5 units investment of $500,000 in the Evolution Private Managed Accounts program, provided their dealer were transferred into Series F units and assets from Series F3T8 units, Series F4T8 units and Series had entered into the appropriate eligibility agreement with the Manager and was able to support Fee F5T8 units were transferred into Series FT8 units. Tier Series E units; or (ii) already held Fee Tier Series E units of a Fund. The Manager automatically switched a qualifying investor’s Series E or Series ET8 Initial Sales Charge units of a Fund into the Units of the Funds are distributed by principal distributors who have the exclusive right to distribute in Fee Tier Series E that had the lowest combined management and administration fees for which the the jurisdictions in which they are appropriately registered. These principal distributors are affiliates investor qualified, and which was available for the Fund. If an investor no longer qualified for Fee Tier of the Manager within the meaning of applicable securities legislation. Series E units, the Manager automatically switched investor units back to Series E or Series ET8 units.

Semi-Annual Financial Statements - June 30, 2021 – 262 – United Funds Notes to the Financial Statements (unaudited) (cont’d)

The Statements of Financial Position are as at June 30, 2021 and December 31, 2020, as applicable. The fair value of private placements and other securities where there are significant unobservable The Statements of Comprehensive Income, Changes in Net Assets Attributable to Holders of inputs is determined by using valuation models that may be based, in part, on assumptions that are Redeemable Units and Cash Flows are for the periods ended June 30, 2021 and 2020, except for Funds not supported by observable market inputs. These methods and procedures may include, but are established during either period, in which case the information provided relates to the period from not limited to, performing comparisons with prices of comparable or similar securities, obtaining inception to June 30, 2021 and 2020, as applicable. valuation related information from issuers and/or other analytical data relating to the investment and using other available indications of value. These values are independently assessed by the Manager 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES to ensure that they are reasonable. However, because of the inherent uncertainty of valuation, the These financial statements have been prepared in compliance with International Financial Reporting estimated fair values for these securities may be materially different from the values that would have Standards (IFRS) as published by the International Accounting Standards Board. been used had a ready market for the investment existed. The fair values of private placements are affected by the perceived credit risks of the issuer, predictability of cash flows and the length of time a. Classification and recognition of financial instruments to maturity. 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 c. Cash for managing those financial assets and the contractual cash flow characteristics of the financial Cash is comprised of cash on deposit and bank overdraft. assets. The Funds’ portfolios of financial assets are managed, and performance is evaluated on a fair value basis. The Funds are primarily focused on fair value information and use that information to d. Cost of investments assess the assets’ performance and to make decisions. The contractual cash flows of the Funds’ debt Cost of investments represents the amount paid for each security and is determined on an average securities are solely principal and interest, however, these securities are neither held for the purpose cost basis excluding commissions and transactions costs. Average cost does not include amortization of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale. of premiums or discounts on fixed-income securities with the exception of zero-coupon bonds. 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 e. Investment transactions and income recognition loss (FVTPL). Short sales are classified as financial liabilities at FVTPL. Derivative contracts that have Investment transactions are recorded on the trade date - the date on which a Fund commits to a negative fair value are presented as liabilities at FVTPL. purchase or sell the investment. The “Interest for distribution purposes” shown on the Statements of Comprehensive Income represents the coupon interest received by the Funds and is accounted for on The Funds’ obligations for net assets attributable to holders of redeemable units are presented at the an accrual basis. The Funds do not amortize premiums paid or discounts received on the purchase of redemption amount, which approximates their fair value. All other financial assets and liabilities are fixed-income securities except for zero-coupon bonds, which are amortized on a straight-line basis. measured at amortized cost, which approximates their fair value. Under this method, financial assets and liabilities reflect the amount required to be received or paid, discounted, when appropriate, at the Dividends and distributions from investments are recognized on the ex-dividend/ex-distribution date. 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 the nature of these investments, actual allocations could vary from this information. Distributions from intend either to settle on a net basis or to realize the asset and settle the liability simultaneously. income trust(s) or underlying fund(s) that are treated as a return of capital for income tax purposes In the normal course of business, the Funds enter into various master netting agreements or similar reduce the average cost of the income trust(s) or underlying fund(s). agreements that do not meet the criteria for offsetting in the Statements of Financial Position, but still allow for the related amounts to be offset in certain circumstances, such as bankruptcy or termination f. Foreign exchange of the contracts. The Funds’ functional and presentation currency is the Canadian dollar. Foreign currency amounts are translated into the functional currency as follows: fair value of investments, foreign currency forward b. Fair value of financial instruments contracts and other assets and liabilities at the closing rate of exchange on each business day; income At the financial reporting date, listed securities are valued based on the last traded market price and expenses, purchases and sales and settlements of investments at the rate of exchange prevailing for financial assets and financial liabilities where the last traded price falls within the day’s bid-ask on the respective dates of such transactions. Foreign exchange gains (losses) relating to cash are spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager presented as “Foreign exchange gain (loss) on cash” and those relating to other financial assets and determines the point within the bid-ask spread that is most representative of fair value based on liabilities are presented within “Net realized gain (loss) on sale of investments and derivatives” and the existing market conditions. Unlisted securities are valued based on price quotations received “Change in unrealized appreciation (depreciation) in value of investments and derivatives” in the from recognized investment dealers, or failing that, their fair value is determined by the Manager Statements of Comprehensive Income. based on the latest reported information available. Unlisted warrants, if any, are valued based on a pricing model which considers factors such as the market value of the underlying security, strike g. Unit valuation price, and terms of the warrant. Fixed-income securities, debentures and other debt instruments, Net asset value (NAV) per unit of each Series is calculated at the end of each day on which the including short-term investments, are valued at the quotation received from recognized investment Manager is open for a full day of business by dividing the total NAV of each Series of a Fund by the dealers. Underlying fund(s) are valued on each business day at their net asset value as reported by number of units of that Series outstanding. the underlying fund(s)’ managers.

Semi-Annual Financial Statements - June 30, 2021 – 263 – United Funds Notes to the Financial Statements (unaudited) (cont’d)

The NAV of each Series is computed by calculating the value of that Series’ proportionate share of the m. Options contracts Fund’s assets less that Series’ proportionate share of the Fund’s common liabilities and less Series Over-the-counter (OTC) options are valued using the Black Scholes model, whereas, exchange-traded specific liabilities. Expenses directly attributable to a Series are charged to that Series. Other income options are valued at last traded price taken from the exchange. Options contracts are valued each and expenses, and gains and losses, are allocated to each Series proportionately based upon the valuation day according to the gain or loss that would be realized if the contracts were closed relative total NAV of each 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 As at June 30, 2021, December 31, 2020 and June 30, 2020, there were no differences between the Comprehensive Income until the contracts are closed out or expire, at which time the gains (losses) NAV used for transactions with unitholders and the net assets attributable to holders of redeemable are realized and reflected in the Statements of Comprehensive Income in “Net realized gain (loss) on units used for reporting purposes under IFRS. sale of investments and derivatives”. Any expired option premiums are recorded as part of “Derivative income (loss)” in the Statements of Comprehensive Income. h. Classification of units The units of the Funds are classified as financial liabilities in accordance with IAS 32 – Financial n. Mortgage-backed and asset-backed investments Instruments: Presentation (IAS 32), as they do not meet the definition of puttable instruments to be Certain Funds invest in mortgage-related and other asset-backed securities. These securities may classified as equity in accordance with IAS 32 for financial reporting purposes. include: mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage- backed securities, asset-backed securities, collateralized debt obligations and other securities that i. Commissions and other portfolio transaction costs directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities, are on real property. The debt and equity securities issued by these securities may include tranches with included in “Commissions and other portfolio transaction costs” in the Statements of Comprehensive varying levels of subordination. These securities may provide a monthly payment which consists of Income. both interest and principal payments. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, Funds that invest only in units of underlying mutual fund(s) are not subject to transaction costs. mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. j. Increase (decrease) in net assets attributable to holders of redeemable units per unit “Increase (decrease) in net assets attributable to holders of redeemable units per unit” in the Mortgage-related and asset-backed securities are issued as separate tranches, or classes, of Statements of Comprehensive Income is calculated by dividing the increase (decrease) in net assets securities within each deal. The securities are also normally valued by pricing service providers that attributable to holders of redeemable units of each Series of a Fund by the weighted average number use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing of units outstanding during the period of that Series. models for these securities usually consider tranche-level attributes, current market data, estimated cash-flows, and market-based yield spreads for each tranche, and incorporate deal collateral k. Foreign currency forward contracts performance, as available. The carrying values of mortgage-related and other asset-backed securities A Fund may, from time to time, enter into foreign currency forward contracts. Foreign currency forward are included in “Investments” in the Statements of Financial Position. The change in fair values of contracts are valued on each valuation day based on the difference between the contract rate and the mortgage-related and other asset-backed securities are included in the Statements of Comprehensive current forward rate at the measurement date applied to the contract’s notional amount and adjusted Income in “Change in unrealized appreciation (depreciation) in value of investments and derivatives”. 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. Offsetting of financial instruments derivatives” in the Statements of Comprehensive Income and “Unrealized gain (loss) on futures and The disclosures set out in the Offsetting of Financial Instruments tables in the Fund Specific Notes foreign currency forward contracts” in the Statements of Financial Position until the contracts are to Financial Statements of each of the Funds include foreign currency forward contracts assets and closed out or expire, at which time the gains (losses) are realized and reported as “Net realized gain liabilities that are subject to an enforceable master netting arrangement. Transactions with individual (loss) on sale of investments and derivatives” in the Statements of Comprehensive Income. counterparties are governed by separate master netting agreements. Each agreement allows for net settlement of certain open contracts where the Funds and respective counterparty both elect to settle l. Futures contracts on a net basis. In the absence of such an election, contracts will be settled on a gross basis. However, Futures contracts are valued on each valuation day using the closing price posted on the relevant each party to the master netting agreement will have the option to settle all open contracts on a net public exchange. Cash and cash equivalents are held as margin against futures contracts which are basis in the event of default of the other party. reflected in the “Daily variation margin on derivative instruments” in the Statements of Financial Position. All unrealized gains (losses) arising from futures contracts are recorded as part of “Change International Swaps and Derivatives Association Inc. Master Agreements (ISDA Master Agreements) in unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of govern OTC financial derivative transactions entered into by the Funds and select counterparties. The Comprehensive Income and “Unrealized gain (loss) on futures and foreign currency forward contracts” ISDA Master Agreements maintain provisions for general obligations, representations, agreements, in the Statements of Financial Position until the contracts are closed out or expire, at which time collateral and events of default or termination. Events of termination include conditions that may the gains (losses) are realized and reported as “Net realized gain (loss) on sale of investments and entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions derivatives” in the Statements of Comprehensive Income. under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. The fair value of OTC financial derivative transactions net of collateral received in or pledged by a counterparty as at period end is disclosed in the Fund Specific Notes to Financial Statements of each of the Funds, as applicable.

Semi-Annual Financial Statements - June 30, 2021 – 264 – United Funds Notes to the Financial Statements (unaudited) (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 q. 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. r. Harmonized sales tax Certain provinces including Ontario, Prince Edward Island, Nova Scotia, New Brunswick and p. 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 provinces. 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 calculated using the residency of unitholders and the value of their interest in the Fund as at specific entity. Associates and joint ventures are investments over which a Fund has significant influence times, rather than the physical location of the Fund. The effective sales tax rate charged to each or joint control. A structured entity is an entity that has been designed so that voting or similar Series of the Fund is based on the unitholders’ proportionate investments by province, using each rights are not the dominant factors in deciding, who controls the entity, or when voting rights province’s HST rate, GST rate in the case of non-participating provinces and/or QST rate. All amounts relate to administrative tasks only and the relevant activities are directed by means of contractual are presented as “Harmonized sales tax” in the Statements of Comprehensive Income. arrangements. s. Non-cash Transactions The Manager has determined that underlying fund(s) or exchange-traded fund(s) (ETF(s)) held typically The “Proceeds from issuance of redeemable units” and “Amounts paid on redemption of redeemable by the Funds meet the definition of unconsolidated structured entities. Mortgage-backed securities units” in the Statements of Cash Flow exclude non-cash transactions. or asset-backed securities are also considered to be unconsolidated structured entities. The Funds account for their investments in unconsolidated structured entities at FVTPL. 3. CRITICAL ACCOUNTING JUDGMENTS AND ESTIMATES The preparation of financial statements in accordance with IFRS requires management to make The Funds that invest in underlying fund(s) are subject to the terms and conditions of the respective judgments, estimates and assumptions that affect the application of accounting policies and underlying fund(s)’ offering documents and are susceptible to market price risk arising from reported amounts of assets and liabilities at the reporting date and the reported amounts of income uncertainties about future values of those underlying fund(s). All of the underlying fund(s) in the and expenses during the reporting period. The following discusses the most significant accounting investment portfolio are managed by portfolio managers who are compensated by the respective judgments and estimates that the Funds have made in preparing their financial statements: underlying fund(s) for their services. Such compensation generally consists of an asset-based fee and is reflected in the valuation of each of the underlying fund(s), except when the Funds invest Fair value measurement of investments and derivatives not quoted in active market in certain classes/series of the underlying fund(s) where the compensation to portfolio managers The Funds may, from time to time, hold financial instruments that are not quoted in active is negotiated and paid outside each of the underlying fund(s). The underlying fund(s) finance their markets, such as unlisted securities, private securities or derivatives. Unlisted securities are operations by issuing redeemable units that entitle the holders to an equal beneficial interest in the valued based on price quotations from recognized investment dealers, or failing that, their fair underlying fund(s). The Funds can redeem their investments in the underlying fund(s) on a daily basis. value is determined by the Manager based on the latest reported information available. The These investments are included in “Investments” at FVTPL in the Statements of Financial Position. fair value of private securities is determined by using valuation models that may be based, in All unrealized gains (losses) arising from these investments are recorded as part of “Change in part, on assumptions that are not supported by observable market inputs. These methods and unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of procedures may include, but are not limited to, performing comparisons with prices of comparable Comprehensive Income until these investments are sold, at which time the gains (losses) are realized or similar securities, obtaining valuation related information from issuers and/or other analytical and reflected in the Statements of Comprehensive Income in “Net realized gain (loss) on sale of data relating to the investment and using other available indications of value. These values were investments and derivatives. The Funds’ maximum exposure to loss from their interest in underlying independently assessed by the Manager based on assumptions and estimates as at statement fund(s) is equal to the total fair value of their investments in underlying fund(s). of the financial position date. However, because of the inherent uncertainty of valuation, the estimated fair values for these securities may be materially different from the values that would Certain Funds invest in ETF(s) which are disclosed on the Schedule of Investment Portfolio and these have been used had a ready market for the investment existed. The fair values of private securities Funds have determined that their investments in such ETF(s) meet definition of unconsolidated are affected by the perceived credit risks of the issuer, predictability of cash flows and the length structured entities. These ETF(s) finance their operations by issuing redeemable units/shares which of time to maturity. are puttable at the holder’s option and entitle the holder to a proportional stake in each ETF’s net asset value. The ETF(s) are domiciled in Canada or U.S. and listed on recognized public stock exchanges. Valuation models use observable data, to the extent practicable. Since the outbreak of Coronavirus 19 The Funds’ maximum exposure to loss from their interest in ETF(s) is equal to the total fair value of (COVID-19), market volatility has increased significantly which results in fluctuation in quoted their investments in the ETF(s). securities prices, widening of bid ask spreads and reduced liquidity in the market. These changes may also impact the observability of some of the model valuation inputs used, which may have an

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implication on classification of certain financial instruments within the fair value hierarchy. Areas 2021 2020 such as credit risk (both own and counterparty); volatilities, correlations and key assumptions Funds (cont’d) (in $) (in $) concerning future developments require the Manager to make estimates. Changes in assumptions US Equity Alpha Pool 1,459 1,083 about these factors could affect the reported fair values of financial instruments. US Equity Value Currency Hedged Pool 1,597 1,105

The Funds consider observable data to be market data that is readily available, regularly 5. FEES AND OTHER EXPENSES distributed and updated, reliable and verifiable, not proprietary and provided by independent Management fees sources that are actively involved in the relevant market. The Manager of each Fund, in consideration for management fees, provides management services required in the day-to-day operations of the Funds, including management of the investment portfolios The fair value of investments in underlying fund(s) that are not quoted in active markets is of the Funds and provision of key management personnel. determined primarily by reference to the latest available net asset value of such units for each underlying fund, as determined by the underlying fund(s)’ managers. The management fee is calculated based on a percentage of the NAV of each Series of a Fund (other than Series I, Series IT8 and Series W and Series WT8 units (Series WT8 units are available IFRS 10 - Consolidated Financial Statements (IFRS 10) to investors only under Private Client Managed Portfolios Program)) at the end of each business day, In accordance with IFRS 10, the Manager has determined that the Funds meet the definition of an plus applicable taxes, and is payable monthly. Investors in Series I units, Series IT8 units, Series W Investment Entity which requires that the Funds obtain funds from one or more investors for the units and Series WT8 units are charged management fees directly as negotiated between the investor purpose of providing investment management services, commit to their investors that their business and the Manager. purpose is to invest funds solely for returns from capital appreciation, investment income, or both; and measure and evaluate the performance of their investments on a fair value basis. Consequently, the For each Series I units and Series IT8 units of a Fund, management fees, plus applicable taxes, are Funds do not consolidate their investment in subsidiaries, if any, but instead measure these at FVTPL, paid directly by investors to the Manager as negotiated between the investor and the Manager on a as required by the accounting standard. quarterly basis and are not charged to the Funds.

4. REDEEMABLE UNITS For each Series W units and Series WT8 units, management fees, plus applicable taxes, are paid Redeemable units issued and outstanding represent the capital of each Fund. directly by investors to the Manager on a quarterly basis (or monthly at the discretion of the Manager) and are not charged to the Funds. Each Fund is authorized to issue an unlimited number of redeemable, transferable units of each Series. Generally, the Funds have no restrictions or specific capital requirements, except for the minimum Administration fees subscriptions’ amounts. The relevant changes pertaining to subscriptions and redemptions of Fund The Manager bears all of the operating expenses of the Funds (other than certain taxes, brokerage units are disclosed in the Statements of Changes in Net Assets Attributable to Holders of Redeemable and borrowing costs and certain new governmental fees) in return for an annual administration fee, Units. In accordance with the objectives and risk management policies outlined in Notes 1 and 10, plus applicable taxes. Administration fees are calculated as an annual percentage of the NAV of each the Funds endeavour to invest subscriptions received in appropriate investments while maintaining Series (other than Series I units and Series IT8 units) of a Fund (except for Cash Management Pool) at sufficient liquidity to meet redemptions through utilizing a short-term borrowing facility or disposal of the end of each business day and are payable monthly. investments when necessary. Investors in Series I units and Series IT8 units are charged administration fees directly as negotiated Redeemable unit transactions information appears in the Fund Specific Notes to Financial Statements between the investor and the Manager. of each of the Funds. Fees rebates In order to establish each individual Series, the Manager has made initial investments in certain Funds. The Manager may reduce the management and/or administration fees based on size of a unitholder investment or participation in a program offered by the Manager for larger accounts. The Manager As at June 30, the Manager held investments in the following Funds: may also reduce management fee if a reduced trailing commission has been negotiated between a unitholder and the unitholder representative based on relevant documentation provided to the 2021 2020 Manager. Following the end of each quarter, the amount of any management and/or administration Funds (in $) (in $) fees reduction is distributed to qualified unitholders by the Fund in the form of a reinvestment in Canadian Equity Alpha Pool 1,364 1,059 additional units of the respective Series of the Fund. The management and/or administration fee Cash Management Pool 12,020 12,014 rebates, if applicable, are included in “Fees rebate receivable” and in “Fees rebate” as reflected Global Equity Allocation Pool 3,622 3,109 in the Statements of Financial Position and Statements of Comprehensive Income of each Fund, if Global Equity Pool 156,433 - applicable. The Manager may reduce or waive the management and/or administration fees without Global Fixed Income Pool 925 993 giving notice to unitholders. International Equity Alpha Pool 1,452 1,095 International Equity Growth Pool 1,381 1,116 A Unitholder that invests in Series E units, Series ET8 units, Series F units and/or Series FT8 units of International Equity Value Currency Hedged Pool 1,314 1,084 Funds available under Preferred Pricing Program and have a minimum account investment of $500,000 Short Term Income Pool 2,052 2,040 in qualifying investments, may be eligible for Preferred Pricing, which offers a potential for lower

Semi-Annual Financial Statements - June 30, 2021 – 266 – United Funds Notes to the Financial Statements (unaudited) (cont’d)

management and administration fees in form of distributions. The Manager may vary the terms, 9. RELATED PARTY TRANSACTIONS conditions and the unitholders qualifications for Preferred Pricing from time to time or the Manager The Funds may have direct or indirect holdings in CI Financial Corp., or its affiliates or other investment may discontinue the program based on the Manager sole discretion. fund(s) managed by the Manager as identified in the Fund Specific Notes to Financial Statements of each of the Funds, if applicable. Investments in underlying fund(s) A Fund that invests in units of underlying fund(s) will not pay a duplicated management and The Manager of the Funds may, from time to time, make initial investments in certain Series of administration fees on the portion of assets that are invested in units of underlying fund(s). During the certain Funds to help establish a Series or a Fund. Details of the investments made by the Manager reporting period, a Fund may have received a management and/or administration fee rebate from the are disclosed in Note 4. underlying fund(s)’ manager relating to its investment in an underlying fund. The management and/ or administration fee rebates, if applicable, are included in “Fees rebate receivable” and in “Fees Inter fund trading rebate” as reflected in the Statements of Financial Position and Statements of Comprehensive Income Inter fund trading occurs when a Fund purchases or sells a security of any issuer from or to another of each Fund, if applicable. Fund managed by the Manager. These transactions are executed through market intermediaries and under prevailing market terms and conditions. The Independent Review Committee (IRC) reviews such Refer to the Management and Administration Fees table in the Fund Specific Notes to the Financial transactions during scheduled meetings. During the periods June 30, 2021 and 2020, certain Funds Statements for the management and administrative fee rates applicable to each Series of each of executed inter fund trades. the Funds. Related fund trading 6. SECURITIES LENDING Related fund trading occurs when a Fund purchases or sells units/shares of another Fund managed Certain Funds have entered into a securities lending program with the Custodian. The aggregate by the Manager. During the periods ended June 30, 2021 and 2020, certain Funds engaged in related market value of all securities loaned by a Fund cannot exceed 50% of the assets of the Fund. A Fund fund trading or held position(s) in related fund(s) at the end of each period. will receive collateral of at least 102% of the value of securities on loan. Collateral will generally be comprised of cash and obligations of or guaranteed by the Government of Canada or a province Related issuer trading thereof, or by the United States government or its agencies, but may include obligations of other Related issuer trading occurs when a Fund purchases or sells securities of CI Financial Corp. These governments with appropriate credit ratings. For those Funds participating in the program, amounts for transactions are executed through market intermediaries and under prevailing market terms and securities loaned and the collateral received as well as reconciliation between gross securities lending conditions. The IRC reviews such transactions during scheduled meetings. During the periods ended revenue and securities lending revenue received by each Fund appear in the Fund Specific Notes to June 30, 2020 and 2021, certain Funds engaged in related issuer trading or held position(s) in Financial Statements of each of the Funds, if applicable. Revenue from securities lending is included CI Financial Corp. at the end of each of the periods. in “Securities lending revenue” in the Statements of Comprehensive Income. 10. FINANCIAL INSTRUMENTS RISK 7. TAXATION COVID-19 Impact The Funds qualify as a mutual fund trust under the Income Tax Act (Canada). All of the Funds’ net Since the outbreak of COVID-19, emergency measures taken in response to the spread of COVID-19 income for tax purposes and sufficient net capital gains realized in any period are required to be have resulted in significant disruption to business operations globally, resulting in an economic distributed to unitholders such that no income tax is payable by each of the Funds. As a result, the slowdown. Global equity and capital markets have also experienced significant volatility and Funds do not record income taxes. Since the Funds do not record income taxes, the tax benefit of weakness. The governments have reacted with significant monetary and fiscal interventions designed capital and non-capital losses has not been reflected in the Statements of Financial Position as a to stabilize economic conditions. These developments are constantly evolving and the duration and deferred income tax asset. Income tax on net realized capital gains not paid or payable will generally impact of the COVID-19 pandemic is highly uncertain and cannot be predicted at this time but could be recoverable by virtue of refunding provisions contained in the Income Tax Act (Canada) and have a material impact on the future performance of the Funds. In the face of the current environment provincial income tax legislation, as redemptions occur. Occasionally, the Funds may distribute more of heightened uncertainty and market volatility, the Manager continues to closely monitor its impact than they earn. This excess distribution is a return of capital and is not taxable to unitholders. on the Funds’ risk exposures from the portfolio holdings.

8. REINVESTMENT OF DISTRIBUTIONS Risk management When a Fund declares a distribution to a unitholder, it will be in the same currency in which the units The Funds are exposed to a variety of financial instruments risks: concentration risk, credit risk, are held. Distributions are automatically reinvested without charge in the same Fund (other than liquidity risk and market risk (including other price risk, currency risk and interest rate risk). The level of Cash Management Pool) and then the outstanding units of the Fund will be consolidated on such risk to which each Fund is exposed to depends on the investment objective and the type of investments basis as is necessary to increase the NAV per unit to that which prevailed prior to the distribution the Fund holds. The value of investments within a portfolio can fluctuate daily as a result of changes and to ensure that the number of units outstanding immediately following such reinvestment and in prevailing interest rates, economic and market conditions and company specific news related to consolidation are the same as the number of units outstanding immediately prior to the reinvestment investments held by the Fund. The Manager of the Funds may minimize potential adverse effects of and consolidation. Accordingly, no payments are made, or new units issued on a distribution except these risks on the Funds’ performance by, but not limited to, regular monitoring of the Funds’ positions for Cash Management Pool. The unitholders of Cash Management Pool may select to automatically and market events, diversification of the investment portfolio by asset type, country, sector, term to reinvest the distribution without charge in additional units of the Fund or have distribution paid in cash. maturity within the constraints of the stated objectives, and through the usage of derivatives to hedge The Manager may change the distribution policy at its discretion. certain risk exposures.

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The Funds that invest in units of underlying fund(s) are indirectly exposed to financial instruments All transactions executed by a Fund in listed securities are settled/paid for upon delivery using risks mentioned above. 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 a Fund may not be able to settle or meet its obligations, on time or at Details of each Fund’s exposure to concentration risk are available in the Fund Specific Notes to a reasonable price. The Funds are exposed to daily cash redemption of redeemable units. Therefore, Financial Statements of each of the Funds. Funds invest the majority of their assets in investments that are traded in active markets and can be readily disposed of. In addition, the Funds retain sufficient cash and cash equivalents positions to Credit risk maintain liquidity. From time to time, the Funds may enter into derivative contracts or invest in unlisted Credit risk is the risk that a security issuer or counterparty to a financial instrument will fail to meet securities that may not trade in an organized market and may be illiquid. All financial liabilities are its financial obligations. The fair value of a debt instrument includes consideration for the credit due within three months. 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 Market risk derivative instruments is based on each Fund’s unrealized gain on the contractual obligations with the The Funds’ investments are subject to market risk which is the risk that the fair value of future cash counterparty as at the reporting date. The credit rating of a counterparty to a derivative instrument is flows of a financial instrument will fluctuate due to changes in market conditions. disclosed in the Schedule of Investment Portfolio or in the Fund Specific Notes to Financial Statements of each of the Funds, if applicable. The credit risk exposure of the Fund’s other assets is represented Other price risk by their carrying amount as disclosed in the Statements of Financial Position. Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from currency risk or interest rate risk). The Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to indirect value of each investment is influenced by the outlook of the issuer and by general economic and credit risk in the event that the underlying fund(s)/ETF(s) invest in debt instruments, preferred political conditions, as well as industry and market trends. All securities present a risk of loss securities and derivatives. of capital.

Credit ratings for debt securities, preferred securities and derivative instruments are obtained from Other assets and liabilities are monetary items that are short-term in nature and therefore are not S&P Global Ratings, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond subject to significant other price risk. Rating Service, respectively. Credit ratings can be either long-term or short-term. Short-term credit ratings are generally assigned to those obligations and derivative instruments considered Currency risk short-term in nature. Currency risk arises from financial instruments that are denominated in a currency other than the Canadian dollar, the functional currency of the Funds. As a result, the Funds may be exposed to The table below provides a cross-reference between the long-term credit ratings disclosed in the the risk that the value of securities denominated in other currencies will fluctuate due to changes Credit Rating table inclusive of the short-term credit ratings disclosed in the derivatives schedules in in exchange rates. The Schedule of Investment Portfolio identifies all bonds and derivative the Schedule of Investment Portfolio. instruments denominated in foreign currencies. Equities traded in foreign markets are also exposed to currency risk as the prices denominated in foreign currencies are converted to the Credit Rating as per Credit Risk Table Credit Rating as per Derivatives Schedules Funds’ functional currency to determine their fair value. AAA/Aaa/A++ A-1+ AA/Aa/A+ A-1, A-2, A-3 Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to A B, B-1 indirect currency risk in the event that the underlying fund(s)/ETF(s) invest in financial instruments BBB/Baa/B++ B-2 that are denominated in a currency other than the functional currency of the Fund. BB/Ba/B+ B-3 B C Interest rate risk CCC/Caa/C++ - Interest rate risk is the risk that the fair value of interest-bearing investments and interest rate CC/Ca/C+ - derivative instruments will fluctuate due to changes in prevailing levels of market interest rates. C and Lower D As a result, the value of the Funds that invest in debt securities and/or income trusts will be Not Rated WR affected by changes in applicable interest rates. If interest rates fall, the fair value of existing debt securities may increase due to increase in yield. Alternatively, if interest rates rise, the yield Cash balances as disclosed in the Statements of Financial Position are maintained by the Custodian. of existing debt securities may decrease which may then lead to a decrease in their fair value. The Manager monitors the credit worthiness of the Custodian on a regular basis. The credit rating of The magnitude of the decline will generally be greater for long-term debt securities than for the Custodian as at June 30, 2021 was AA- (December 30, 2020 – AA-). short-term debt securities.

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Interest rate risk also applies to Funds that invest in convertible securities. The fair value of these securities varies inversely with interest rates, similar to other debt securities. However, since they may be converted into common shares, convertible securities are generally less affected by interest rate fluctuations than other debt securities.

Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to indirect interest rate risk in the event that the underlying fund(s)/ETF(s) invest in interest bearing financial instruments.

Fair value hierarchy The Funds are required to classify financial instruments measured at fair value using a fair value hierarchy. Investments whose values are based on quoted market prices in active markets are classified as Level 1. This level includes publicly traded equities, exchange-traded and retail mutual fund(s), exchange-traded warrants, futures contracts and traded options.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified as Level 2. These include fixed income securities, mortgage-backed securities, short-term instruments, non-traded warrants, over-the-counter options, structured notes of indexed securities, foreign currency forward contracts, swap instruments, American depositary receipts and Global depositary receipts, if quoted market price is not available.

Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments include private equities, private term-loans, private equity fund(s) and certain derivatives. As observable prices are not available for these securities, the Funds may use a variety of valuation techniques to derive their fair value.

Some of the Funds invest in other investment underlying fund(s) and these investments are generally classified as Level 1.

The Funds’ policy is to recognize transfers into and out of the fair value hierarchy levels as of the date of the event or change in circumstances giving rise to the transfer.

Details of each Fund’s exposure to financial instruments risks including concentration risk and fair value hierarchy classification are available in the Fund Specific Notes to Financial Statements for each Fund.

Semi-Annual Financial Statements - June 30, 2021 – 269 – SEND TO DAVIA WANG - FOR REVIEW AND SIGN OFF - EACH QUARTER

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You can get additional copies of these Financial Statements at your request, and at no cost, by calling 1-800-268-3200, by emailing [email protected], or by asking your representative.

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Semi-Annual Financial Statements - June 30, 2021 – 270 – For more information, please visit www.assante.com. UP_SA_E (08/21)