Annual Financial Statements - December 31, 2019

CI First Asset Exchange Traded Funds Table of Contents

Independent Auditor’s Report ...... 1

CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF...... 4 CI First Asset Active Canadian Dividend ETF...... 13 CI First Asset Active Credit ETF...... 24 CI First Asset Active Utility & Infrastructure ETF ...... 37 CI First Asset Canadian Buyback Index ETF...... 48 CI First Asset Canadian Convertible Bond ETF...... 58 CI First Asset Canadian REIT ETF...... 70 CI First Asset CanBanc Income Class ETF...... 81 CI First Asset Core Canadian Equity Income Class ETF...... 90 CI First Asset Energy Giants Covered Call ETF...... 100 CI First Asset Enhanced Government Bond ETF...... 112 CI First Asset Enhanced Short Duration Bond ETF...... 125 CI First Asset European Bank ETF...... 140 CI First Asset Global Asset Allocation ETF...... 151 CI First Asset Global Financial Sector ETF...... 166 CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF)...... 178 CI First Asset Health Care Giants Covered Call ETF...... 187 CI First Asset High Interest Savings ETF...... 199 CI First Asset Investment Grade Bond ETF...... 207 CI First Asset Long Duration Fixed Income ETF...... 223 CI First Asset Morningstar Canada Dividend Target 30 Index ETF...... 235 CI First Asset Morningstar Canada Momentum Index ETF...... 244 CI First Asset Morningstar Canada Value Index ETF...... 253 CI First Asset Morningstar International Momentum Index ETF...... 262 CI First Asset Morningstar International Value Index ETF...... 279 CI First Asset Morningstar National Bank Québec Index ETF...... 295 CI First Asset Morningstar US Dividend Target 50 Index ETF...... 305 CI First Asset Morningstar US Momentum Index ETF...... 317 CI First Asset Morningstar US Value Index ETF...... 329 CI First Asset MSCI Canada Low Risk Weighted ETF...... 341 CI First Asset MSCI Canada Quality Index Class ETF...... 352 CI First Asset MSCI Europe Low Risk Weighted ETF...... 361 CI First Asset MSCI International Low Risk Weighted ETF...... 375 CI First Asset MSCI USA Low Risk Weighted ETF...... 391 CI First Asset MSCI World ESG Impact ETF...... 405 CI First Asset MSCI World Low Risk Weighted ETF...... 417 CI First Asset Preferred Share ETF...... 433 CI First Asset Short Term Government Bond Index Class ETF...... 446 CI First Asset Tech Giants Covered Call ETF...... 456 CI First Asset U.S. & Canada Lifeco Income ETF...... 468 CI First Asset U.S. Buyback Index ETF...... 478 CI First Asset U.S. TrendLeaders Index ETF...... 489

Notes to the Financial Statements ...... 500 Legal Notice ...... 514

Annual Financial Statements - December 31, 2019 CI First Asset Exchange Trade Funds

INDEPENDENT AUDITOR’S REPORT

To the Unitholders/Shareholders of

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

(collectively, the “Funds”)

O We have audited the financial statements of the Funds, which comprise the statements of financial position as at December 31, 2019 and 2018 (if applicable), and the statements of comprehensive income, statements of changes in net assets attributable to holders of redeemable units/shares and statements of cash flows for the periods then ended, and notes to the financial statements, including a summary of significant accounting policies. In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Funds as at December 31, 2019 and 2018 (if applicable), and their financial performance and their cash flows for the periods then ended in accordance with International Financial Reporting Standards (IFRSs).

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

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

Annual Financial Statements - December 31, 2019 – 1 – CI First Asset Exchange Trade Funds

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

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

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

Annual Financial Statements - December 31, 2019 – 2 – CI First Asset Exchange Trade Funds

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

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

Toronto,Canada March ,

Annual Financial Statements - December 31, 2019 – 3 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Financial Statements

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

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 147,250 134,526 10.23 10.11 14,399,969 13,299,969 Current assets Investments 147,185 134,444 Cash 98 102 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 3 - Collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - 11 147,286 134,557 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 25 23 Accounts payable and accrued liabilities 11 8 36 31 Net assets attributable to holders of redeemable units 147,250 134,526

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

Annual Financial Statements - December 31, 2019 – 4 – CIG - 580530247 CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Financial Statements

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

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 4,036 2,517 0.29 0.19 14,103,942 13,545,037 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 2,860 2,474 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 189 (375) Change in unrealized appreciation (depreciation) in value of investments and derivatives 1,299 741 Total net gain (loss) on investments and derivatives 4,348 2,840 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 7 9 Fees rebate 17 - Miscellaneous foreign income - - Other income - - Total other income 24 9 Total income 4,372 2,849 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 289 273 Audit fees - - Legal fees - - Independent review committee fees 3 4 Commissions and other portfolio transaction costs 11 16 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 33 39 Other expenses - - Total expenses 336 332 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 4,036 2,517

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

Annual Financial Statements - December 31, 2019 – 5 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 134,526 120,036 Increase (decrease) in net assets attributable to holders of redeemable units 4,036 2,517 Distributions to holders of redeemable units From net investment income (2,533) (2,117) From net realized gains - - Return of capital (18) (12) Total distributions to holders of redeemable units (2,551) (2,129)

Redeemable unit transactions Proceeds from redeemable units issued 33,364 33,196 Reinvestment of distributions to holders of redeemable units - 13 Redemption of redeemable units (22,125) (19,107) Net increase (decrease) from redeemable unit transactions 11,239 14,102 Net increase (decrease) in net assets attributable to holders of redeemable units 12,724 14,490 Net assets attributable to holders of redeemable units at the end of year 147,250 134,526

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

Annual Financial Statements - December 31, 2019 – 6 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 4,036 2,517 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (189) 375 Unrealized foreign exchange (gain) loss on cash - - Commissions - - Change in unrealized (appreciation) depreciation in value of investments and derivatives (1,299) (741) Proceeds from sale and maturity of investments and derivatives 33,217 31,915 Purchase of investments and derivatives (30,656) (29,794) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 2 3 Amortization interest earned (2,860) (2,474) Change in other accounts receivable and payable - 1 Net cash from (used in) operating activities 2,251 1,802

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,551) (2,499) Proceeds from issuance of redeemable units 729 771 Amounts paid on redemption of redeemable units (433) (408) Net cash from (used in) financing activities (2,255) (2,136)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (4) (334) Cash (bank overdraft), beginning of year 102 436 Cash (bank overdraft), end of year 98 102

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

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

Annual Financial Statements - December 31, 2019 – 7 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS Government of Canada & Guaranteed 5,564,000 Government of Canada, Coupon Strip, June 01, 2021 5,451,736 5,427,833 5,800,000 Government of Canada, Coupon Strip, December 01, 2021 5,648,453 5,608,354 5,763,000 Government of Canada, Coupon Strip, June 01, 2023 5,419,474 5,419,022 7,080,000 Government of Canada, Coupon Strip, June 01, 2024 6,441,885 6,531,190 6,561,000 Government of Canada, Coupon Strip, June 01, 2025 6,045,611 5,942,222 29,007,159 28,928,621 19.65% Provincial Government & Guaranteed 5,622,000 Hydro Quebec, Coupon Strip, August 15, 2020 5,561,324 5,559,039 5,706,000 Hydro Quebec, Coupon Strip, February 15, 2021 5,589,732 5,589,800 6,016,000 Hydro Quebec, Coupon Strip, August 15, 2021 5,843,965 5,836,738 6,053,000 Hydro Quebec, Coupon Strip, February 15, 2022 5,817,397 5,817,679 5,855,000 Hydro Quebec, Coupon Strip, August 15, 2022 5,532,204 5,567,387 5,923,000 Hydro Quebec, Coupon Strip, February 15, 2023 5,523,129 5,572,710 7,068,000 Hydro Quebec, Coupon Strip, August 15, 2023 6,455,171 6,576,594 7,156,000 Hydro Quebec, Coupon Strip, February 15, 2024 6,443,360 6,573,900 6,606,000 Hydro Quebec, Coupon Strip, August 15, 2024 6,030,568 5,994,456 6,701,000 Hydro Quebec, Coupon Strip, February 15, 2025 6,046,287 6,004,657 5,660,000 Province of Ontario, Coupon Strip, December 02, 2020 5,567,963 5,566,916 5,774,000 Province of Ontario, Coupon Strip, June 02, 2021 5,622,764 5,624,263 6,030,000 Province of Ontario, Coupon Strip, December 02, 2021 5,820,951 5,815,145 6,110,000 Province of Ontario, Coupon Strip, June 02, 2022 5,834,729 5,831,592 5,906,000 Province of Ontario, Coupon Strip, December 02, 2022 5,536,970 5,577,945 5,959,000 Province of Ontario, Coupon Strip, June 02, 2023 5,511,158 5,565,968 7,142,000 Province of Ontario, Coupon Strip, December 02, 2023 6,468,019 6,591,606 7,234,000 Province of Ontario, Coupon Strip, June 02, 2024 6,455,798 6,593,086 6,668,000 Province of Ontario, Coupon Strip, December 02, 2024 6,044,190 6,002,789 6,744,000 Province of Ontario, Coupon Strip, June 02, 2025 6,034,354 5,994,322 117,740,033 118,256,592 80.31% Total Bonds 146,747,192 147,185,213 99.96% Adjustment for transaction costs - Total Investments 146,747,192 147,185,213 99.96% Other Net Assets (Liabilities) 64,967 0.04% Net Assets Attributable to Holders of Redeemable Units 147,250,180 100.00%

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

Annual Financial Statements - December 31, 2019 – 8 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions - - Soft dollar commissions† - -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 13,299,969 11,899,969 Redeemable units issued for cash 3,250,000 3,300,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (2,150,000) (1,900,000) Number of redeemable units at the end of year 14,399,969 13,299,969

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

Annual Financial Statements - December 31, 2019 – 9 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.200

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

2019 2018 Loaned 33,752 11,844 Collateral (non-cash) 35,457 12,439

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

2019 2018 Gross securities lending revenue 12 15 Charges (5) (6) Securities lending revenue 7 9 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: 176 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 10 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Bonds Federal Bonds 19.70 Provincial Government & Guaranteed 80.24 Other Net Assets (Liabilities) 0.06

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the tables below.

as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 19.7 AA/Aa/A+ 80.3 Total 100.0

as at December 31, 2018 Credit Rating^* Net Assets (%) AAA 19.70 AA 40.12 A 40.12

^Credit ratings are obtained from S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service, respectively. *Refer to Note 10 for Credit Rating Chart reference.

Other Price Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to other price risk as the Fund did not invest in equities.

Currency Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to currency risk as substantially all of its investments were denominated in Canadian dollars, the functional currency of the Fund.

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 11,126 56,697 61,421 17,941 147,185

As at December 31, 2019, had the prevailing interest rates increased or decreased by 0.25%, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $1,155,000. 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.

Annual Financial Statements - December 31, 2019 – 11 – CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF Fund Specific Notes to Financial Statements

Interest Rate Risk (cont’d)

as at December 31, 2018

Fair Value $ Less than 1 year 16,621,561 1 - 3 years 52,545,824 3 - 5 years 47,469,003 Greater than 5 years 17,807,522

As at December 31, 2018, if the prevailing interest rates had been raised or lowered by 1%, assuming a parallel shift in the yield curve, with all other factors remaining constant, net assets could possibly have decreased or increased, respectively, by approximately $4,145,392 or 3.08% of net assets.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 147,185 - 147,185 Total - 147,185 - 147,185

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Bonds - 134,443,910 - 134,443,910 Total - 134,443,910 - 134,443,910

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 12 – CI First Asset Active Canadian Dividend ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 35,596 38,737 10.32 9.11 3,449,968 4,249,968 Current assets Investments 22,917 24,973 Cash 12,602 13,755 Unrealized gain on futures and foreign currency forward contracts 91 - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 12 12 Collateral on deposit for short sale - - Dividends receivable 59 100 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 35,681 38,840 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - 14 Management fees payable 17 16 Accounts payable and accrued liabilities 68 73 85 103 Net assets attributable to holders of redeemable units 35,596 38,737

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

Annual Financial Statements - December 31, 2019 – 13 – CIG - 580530127 CI First Asset Active Canadian Dividend ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 6,476 (720) 1.67 (0.21) 3,875,584 3,468,598 Net gain (loss) on investments and derivatives Dividends 872 1,058 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 1,440 375 Change in unrealized appreciation (depreciation) in value of investments and derivatives 4,461 (2,061) Total net gain (loss) on investments and derivatives 6,773 (628) Other income Foreign exchange gain (loss) on cash (68) 116 Securities lending revenue (Note 6) 1 5 Fees rebate 153 149 Miscellaneous foreign income 2 1 Other income - - Total other income 88 271 Total income 6,861 (357) Expenses Custody fees 21 19 Unitholders reporting costs 41 48 Management fees (Note 5) 212 181 Audit fees 4 27 Legal fees 1 3 Independent review committee fees 1 1 Commissions and other portfolio transaction costs 72 50 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 25 18 Harmonized sales tax 8 16 Other expenses - - Total expenses 385 363 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 6,476 (720)

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

Annual Financial Statements - December 31, 2019 – 14 – CI First Asset Active Canadian Dividend ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 38,737 30,725 Increase (decrease) in net assets attributable to holders of redeemable units 6,476 (720) Distributions to holders of redeemable units From net investment income (693) (841) From net realized gains (401) (394) Return of capital (513) (230) Total distributions to holders of redeemable units (1,607) (1,465)

Redeemable unit transactions Proceeds from redeemable units issued 1,495 11,146 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (9,505) (949) Net increase (decrease) from redeemable unit transactions (8,010) 10,197 Net increase (decrease) in net assets attributable to holders of redeemable units (3,141) 8,012 Net assets attributable to holders of redeemable units at the end of year 35,596 38,737

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

Annual Financial Statements - December 31, 2019 – 15 – CI First Asset Active Canadian Dividend ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 6,476 (720) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,440) (375) Unrealized foreign exchange (gain) loss on cash 129 (107) Commissions 59 36 Change in unrealized (appreciation) depreciation in value of investments and derivatives (4,461) 2,061 Proceeds from sale and maturity of investments and derivatives 16,550 17,876 Purchase of investments and derivatives (14,188) (11,512) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 41 (14) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 1 (11) Amortization interest earned - - Change in other accounts receivable and payable (5) 30 Net cash from (used in) operating activities 3,162 7,264

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,621) (1,562) Proceeds from issuance of redeemable units 389 3,184 Amounts paid on redemption of redeemable units (2,954) (216) Net cash from (used in) financing activities (4,186) 1,406

Unrealized foreign exchange gain (loss) on cash (129) 107 Net increase (decrease) in cash (1,024) 8,670 Cash (bank overdraft), beginning of year 13,755 4,978 Cash (bank overdraft), end of year 12,602 13,755

Supplementary Information: Dividends received, net of withholding tax* 888 1,026 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 16 – CI First Asset Active Canadian Dividend ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Consumer Staples 9,868 Loblaw Cos. Ltd. 652,857 661,156 652,857 661,156 1.86% Energy 18,979 Enbridge Inc. 867,991 979,886 19,650 Keyera Corp. 669,880 668,493 8,665 Pembina Pipeline Corp. 316,503 417,046 17,020 TC Energy Corp. 999,662 1,177,103 2,854,036 3,242,528 9.11% Health Care 31,844 Sienna Senior Living Inc. 551,476 581,471 551,476 581,471 1.63% Industrials 6,959 Air Canada 156,597 337,581 USD 10,834 Waste Connections Inc. 874,275 1,277,278 1,030,872 1,614,859 4.54% Materials 21,930 Agnico Eagle Mines Ltd. 1,341,898 1,753,961 16,580 Barrick Gold Corp. 415,147 399,910 9,158 Kirkland Lake Gold Ltd. 459,510 524,204 USD 24,218 Newmont Goldcorp Corp. 1,154,068 1,366,429 65,093 Yamana Gold Inc. 250,710 334,578 3,621,333 4,379,082 12.30% Real Estate USD 1,972 Camden Property Trust 245,397 271,695 6,182 Crombie REIT 88,649 98,541 18,044 First Capital REIT 390,691 372,969 22,283 H&R REIT 469,398 470,171 26,482 Killam Apartment REIT 393,588 501,569 88,971 Tricon Capital Group Inc. 890,531 945,762 USD 34,576 WPT Industrial REIT 491,590 619,154 2,969,844 3,279,861 9.21% Utilities 81,901 Algonquin Power & Utilities Corp. 1,059,088 1,504,521 39,498 AltaGas Canada Inc. 728,057 1,318,048 34,029 Boralex Inc., Class ‘A’ 649,448 832,349 USD 9,072 CMS Energy Corp. 626,169 740,283 6,774 Emera Inc. 301,927 377,921 7,039 Fortis Inc. 358,026 379,261 31,204 Hydro One Ltd. 668,200 782,596 4,860 Inter Pipeline Ltd. 108,591 109,544 USD 1,818 NextEra Energy Inc. 488,264 571,683 58,366 Northland Power Inc. 1,356,077 1,587,556 USD 4,545 Southern Co. (The) 333,112 375,952 46,049 Superior Plus Corp. 553,969 578,375 7,230,928 9,158,089 25.73% Total Equities 18,911,346 22,917,046 64.38% Adjustment for transaction costs (50,110) Total Investments 18,861,236 22,917,046 64.38% Total unrealized gain on forward foreign currency contract(s) 91,221 0.26% Other Net Assets (Liabilities) 12,588,079 35.36% Net Assets Attributable to Holders of Redeemable Units 35,596,346 100.00%

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

Annual Financial Statements - December 31, 2019 – 17 – CI First Asset Active Canadian Dividend ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) March 16, 2020 CAD 4,128,661 USD 3,110,000 1.33 Canadian Imperial Bank of Commerce A-1 91,221 91,221

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 18 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 91 - - 91 Derivative assets - Swaps and swaptions - - - - Total 91 - - 91 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts - - - - Derivative assets - Swaps and swaptions - - - - Total - - - - Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2019 – 19 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 59 36 Soft dollar commissions† - 3

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 4,249,968 3,149,968 Redeemable units issued for cash 150,000 1,200,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (950,000) (100,000) Number of redeemable units at the end of year 3,449,968 4,249,968

Annual Financial Statements - December 31, 2019 – 20 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.550

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

2019 2018 Loaned 1,532 3,065 Collateral (non-cash) 1,609 3,218

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

2019 2018 Gross securities lending revenue 2 8 Charges (1) (3) Securities lending revenue 1 5 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 21 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Limited Partnership Units 4.97 Equities Communication Services 1.98 Consumer Discretionary 0.27 Consumer Staples 0.76 Energy 18.13 Financials 6.15 Health Care 3.06 Industrials 5.83 Materials 0.28 Real Estate 10.81 Utilities 12.23 Other Net Assets (Liabilities) 35.53

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

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

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ S&P/TSX Composite Total Return Index 1,626,402 1,818,454

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 7,863 (4,037) 3,826 10.7 Total 7,863 (4,037) 3,826 10.7

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $383,000. 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.

Annual Financial Statements - December 31, 2019 – 22 – CI First Asset Active Canadian Dividend ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

The table below indicates the foreign currencies to which the Fund has significant exposure in Canadian dollar terms, including any underlying principal amount of forward foreign currency contracts. The table also illustrates the potential impact on the net assets attributable to holders of redeemable units of the Fund, all other variables held constant, as a result of a 5% change in these currencies relative to the Canadian dollar.

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 4,160,216 1,413,128 15,590 - 5,588,934 279,447 Total 4,160,216 1,413,128 15,590 - 5,588,934 279,447 As a % of Net Assets 10.7 3.7 - - 14.4 0.7

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 22,917 - - 22,917 Derivatives - 91 - 91 Total 22,917 91 - 23,008

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 23,049,353 - - 23,049,353 Limited partnership units 1,923,962 - - 1,923,962 Total 24,973,315 - - 24,973,315

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 23 – CI First Asset Active Credit ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 22,871 22,219 9.58 9.12 2,387,565 2,437,565 Current assets US$ Common Investments 24,553 25,058 Units 3,236 3,213 9.65* 9.11* 258,236 258,236 Cash 617 - Unrealized gain on futures and foreign currency forward contracts 299 - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable - - Interest receivable 240 198 Receivable for investments sold 737 - Receivable for unit subscriptions - 910 26,446 26,166 Liabilities Current liabilities Investments sold short - - Bank overdraft - 134 Unrealized loss on futures and foreign currency forward contracts - 523 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 275 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 18 18 Accounts payable and accrued liabilities 46 59 339 734 Net assets attributable to holders of redeemable units 26,107 25,432

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

Annual Financial Statements - December 31, 2019 – 24 – CIG - 580530237 CI First Asset Active Credit ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 2,367 (395) 1.02 (0.14) 2,323,318 2,864,414 Net gain (loss) on investments and derivatives US$ Common Dividends 47 87 Units 207 234 0.80 0.62* 258,236 274,674 Interest for distribution purposes 1,504 1,806 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 374 (2,273) Change in unrealized appreciation (depreciation) in value of investments and derivatives 952 468 Total net gain (loss) on investments and derivatives 2,877 88 Other income Foreign exchange gain (loss) on cash (15) 103 Securities lending revenue (Note 6) 4 9 Fees rebate - - Miscellaneous foreign income - 5 Other income - - Total other income (11) 117 Total income 2,866 205 Expenses Custody fees 20 23 Unitholders reporting costs 61 74 Management fees (Note 5) 214 263 Audit fees 4 12 Legal fees 1 20 Independent review committee fees - 1 Commissions and other portfolio transaction costs 8 10 Securities borrowing fees (Note 2) - - Interest expense 1 2 Withholding taxes 2 8 Harmonized sales tax 29 36 Other expenses - - Total expenses 340 449 Expenses absorbed by the Manager (Note 5) (48) (83) Increase (decrease) in net assets attributable to holders of redeemable units 2,574 (161)

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

Annual Financial Statements - December 31, 2019 – 25 – CI First Asset Active Credit ETF Financial Statements

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

Common Units US$ Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 22,219 33,375 3,213 3,791 25,432 37,166 Increase (decrease) in net assets attributable to holders of redeemable units 2,367 (395) 207 234 2,574 (161) Distributions to holders of redeemable units From net investment income (1,108) (1,370) (162) (193) (1,270) (1,563) From net realized gains ------Return of capital (148) (178) (22) - (170) (178) Total distributions to holders of redeemable units (1,256) (1,548) (184) (193) (1,440) (1,741)

Redeemable unit transactions Proceeds from redeemable units issued 2,380 3,821 - - 2,380 3,821 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (2,839) (13,034) - (619) (2,839) (13,653) Net increase (decrease) from redeemable unit transactions (459) (9,213) - (619) (459) (9,832) Net increase (decrease) in net assets attributable to holders of redeemable units 652 (11,156) 23 (578) 675 (11,734) Net assets attributable to holders of redeemable units at the end of year 22,871 22,219 3,236 3,213 26,107 25,432

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

Annual Financial Statements - December 31, 2019 – 26 – CI First Asset Active Credit ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 2,574 (161) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (374) 2,273 Unrealized foreign exchange (gain) loss on cash 18 131 Commissions 2 3 Change in unrealized (appreciation) depreciation in value of investments and derivatives (952) (468) Proceeds from sale and maturity of investments and derivatives 29,544 57,482 Purchase of investments and derivatives (28,999) (48,355) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable (42) 119 Increase (decrease) in management fees payable - (9) Amortization interest earned - - Change in other accounts receivable and payable (13) 17 Net cash from (used in) operating activities 1,758 11,032

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,440) (1,910) Proceeds from issuance of redeemable units 3,290 2,911 Amounts paid on redemption of redeemable units (2,839) (13,653) Net cash from (used in) financing activities (989) (12,652)

Unrealized foreign exchange gain (loss) on cash (18) (131) Net increase (decrease) in cash 769 (1,620) Cash (bank overdraft), beginning of year (134) 1,617 Cash (bank overdraft), end of year 617 (134)

Supplementary Information: Dividends received, net of withholding tax* 45 79 Interest received, net of withholding tax* 1,462 1,925 Dividends paid* - - Interest paid* (1) (2) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 27 – CI First Asset Active Credit ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES USD 2,437 iShares iBoxx High Yield Corporate Bond ETF 279,827 278,292 USD 1,427 SPDR Bloomberg Barclays High Yield Bond ETF 204,302 202,981 Total Equities 484,129 481,273 1.84%

BONDS Canada USD 250,000 Bausch Health Co. Inc., 5.50%, November 1, 2025 312,825 339,923 USD 96,000 Bausch Health Co. Inc., 5.88%, May 15, 2023 122,750 125,830 USD 250,000 GFL Environmental Inc., 5.13%, December 15, 2026 330,700 342,129 USD 194,000 GW B-CR Security Corp., 9.50%, November 1, 2027 253,577 269,389 USD 250,000 Telesat Canada / Telesat LLC, 4.88%, June 1, 2027 332,288 331,130 1,352,140 1,408,401 5.39% Cayman Islands USD 250,000 Transocean Sentry Ltd., 5.38%, May 15, 2023 334,370 331,127 334,370 331,127 1.27% France USD 250,000 Altice France SA, 5.50%, January 15, 2028 332,075 334,182 332,075 334,182 1.28% Ireland USD 250,000 Endo Dac / Endo Finance LLC / Endo Finco Inc., 5.88%, October 15, 2024 331,850 315,845 USD 250,000 LCPR Senior Secured Financing DAC, 6.75%, October 15, 2027 327,463 344,716 659,313 660,561 2.53% Luxembourg USD 250,000 Connect Finco SARL / Connect US Finco LLC, 6.75%, October 1, 2026 331,475 346,145 USD 200,000 Telenet Finance Luxembourg Notes Sarl, 5.50%, March 1, 2028 257,170 279,578 588,645 625,723 2.40% Netherlands USD 250,000 OCI NV, 6.63%, April 15, 2023 313,775 339,571 USD 250,000 Sigma Holdco BV, 7.88%, May 15, 2026 322,671 325,254 636,446 664,825 2.55% U.S.A. USD 250,000 Albertsons Cos. Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 4.63%, January 15, 2027 329,425 324,849 USD 250,000 Albertsons Cos. LLC / Safeway Inc. / New Albertson’s Inc / Albertson’s LLC, 5.88%, February 15, 2028 330,488 345,528 USD 250,000 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 6.75%, October 15, 2027 332,838 348,271 USD 250,000 AmWINS Group Inc., 7.75%, July 1, 2026 341,446 359,691 USD 200,000 Ascend Learning LLC, 6.88%, August 1, 2025 260,630 273,453 USD 250,000 B&G Foods Inc., 5.25%, September 15, 2027 330,450 328,290 USD 250,000 Berry Global Escrow Corp., 4.88%, July 15, 2026 336,400 343,004 USD 250,000 Boyd Gaming Corp., 4.75%, December 1, 2027 330,200 337,818 USD 250,000 Calpine Corp., 4.50%, February 15, 2028 330,825 327,923 USD 250,000 Catalent Pharma Solutions Inc., 5.00%, July 15, 2027 329,563 340,658 USD 250,000 CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, March 1, 2030 336,203 331,091 USD 250,000 Change Healthcare Holdings LLC / Change Healthcare Finance Inc, 5.75%, March 1, 2025 325,713 334,373 USD 280,000 Citgo Holding Inc., 9.25%, August 1, 2024 389,781 390,864 USD 250,000 CommScope Inc., 5.50%, June 15, 2024 309,225 329,510 USD 250,000 CSC Holdings LLC, 5.75%, January 15, 2030 344,734 346,956 USD 200,000 Cumulus Media New Holdings Inc., 6.75%, July 1, 2026 266,760 278,539 USD 250,000 Diamond Sports Group LLC / Diamond Sports Finance Co, 5.38%, August 15, 2026 325,925 328,996

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

Annual Financial Statements - December 31, 2019 – 28 – CI First Asset Active Credit ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS (cont’d) U.S.A. (cont’d) USD 250,000 Energizer Holdings Inc., 6.38%, July 15, 2026 332,550 346,456 USD 250,000 H-Food Holdings LLC / Hearthside Finance Co. Inc.,Callable, 8.50%, June 1, 2026 319,950 304,582 USD 250,000 Houghton Mifflin Harcourt Publishers Inc., 9.00%, February 15, 2025 325,127 333,971 USD 250,000 iHeartCommunications Inc., 5.25%, August 15, 2027 330,488 340,269 USD 250,000 Infor (US) Inc., 6.50%, May 15, 2022 321,857 330,085 USD 250,000 IQVIA Inc., 5.00%, May 15, 2027 336,850 344,173 USD 250,000 Kenan Advantage Group Inc. (The), 7.88%, July 31, 2023 324,970 318,416 USD 250,000 LPL Holdings Inc., 5.75%, September 15, 2025 334,475 340,058 USD 100,000 Nexstar Escrow Inc., 5.63%, July 15, 2027 132,875 137,081 USD 250,000 Panther BF Aggregator 2 L.P. / Panther Finance Co Inc, 8.50%, May 15, 2027 331,631 345,528 USD 250,000 Prime Security Services Borrower LLC / Prime Finance Inc, Series ‘SEPT’, 5.75%, April 15, 2026 338,717 353,450 USD 250,000 Station Casinos LLC, 5.00%, October 1, 2025 311,093 331,130 USD 250,000 Tempo Acquisition LLC / Tempo Acquisition Finance Co, 6.75%, June 1, 2025 337,413 335,997 USD 250,000 Twitter Inc., 3.88%, December 15, 2027 329,475 325,280 USD 200,000 VICI Properties L.P. / VICI Note Co. Inc., 4.63%, December 1, 2029 265,670 271,228 USD 250,000 Vistra Operations Co. LLC, 5.63%, February 15, 2027 333,838 342,687 10,557,585 10,770,205 41.25% Term Loans USD 246,782 AI Ladder Luxembourg Subco SARL, 6.60%, 7/09/25 321,016 319,657 USD 269,109 Avaya Inc., 5.99%, 12/15/24 337,724 342,288 USD 121,306 AVSC Holding Corp., 4.94%, 3/03/25 157,292 156,734 USD 121,876 AVSC Holding Corp., 5.23%, 3/03/25 158,032 157,471 USD 6,818 AVSC Holding Corp., 5.35%, 3/03/25 8,841 8,809 USD 155,000 CCS-CMGC Holdings Inc., 7.20%, 10/01/25 198,787 196,243 USD 93,125 CCS-CMGC Holdings Inc., 7.43%, 10/01/25 119,432 117,904 USD 90,000 Citgo Holding Inc., 8.70%, 8/01/23 116,570 118,866 USD 248,750 Dealer Tire LLC, 7.20%, 12/12/25 313,185 323,218 USD 246,253 Delek US Holdings Inc., 3.95%, 3/31/25 320,832 318,707 USD 645 DTI Holdco Inc., 6.61%, 9/30/23 806 781 USD 249,355 DTI Holdco Inc., 6.68%, 9/30/23 311,705 301,943 USD 293,985 Frontier Communications Corp., 5.46%, 6/17/24 354,454 383,079 USD 344,711 Idera Inc., 6.21%, 6/28/24 440,041 448,466 USD 296,250 KUEHG Corp., 5.85%, 2/21/25 385,315 385,576 USD 238,195 LTI Holdings Inc., 5.20%, 9/08/25 303,170 276,943 USD 242,888 McAfee LLC, 5.45%, 9/30/24 318,514 316,585 USD 247,481 Navistar Inc., 5.24%, 11/06/24 323,979 320,027 USD 200,000 Nexus Buyer LLC, 5.46%, 11/09/26 261,993 261,253 USD 250,000 Petco Animal Supplies Inc., 5.18%, 1/26/23 279,421 275,130 USD 123,125 Pro Mach Group Inc., 4.47%, 3/07/25 156,788 158,186 USD 294,750 PSC Industrial Outsourcing L.P., 5.49%, 10/11/24 366,810 379,238 USD 347,375 Refinitiv US Holdings Inc., 5.45%, 10/01/25 449,800 454,918 USD 245,625 Research Now Group Inc., 7.41%, 12/20/24 300,010 318,478 USD 882 Sequa Mezzanine Holdings LLC, 6.82%, 11/28/21 1,165 1,144 USD 343,829 Sequa Mezzanine Holdings LLC, 6.90%, 11/28/21 454,292 446,340 USD 242,414 Starfruit US Holdco LLC, 4.96%, 10/01/25 311,234 314,525 USD 295,313 Stena International SA, 5.11%, 3/03/21 363,559 379,164 USD 344,710 Sterling Midco Holdings Inc., 5.20%, 6/19/24 430,112 442,028 USD 250,000 STG-Fairway Acquisitions Inc., 6.95%, 6/30/22 322,379 324,232 USD 297,722 USI Inc., 5.10%, 5/16/24 387,379 386,220 USD 250,000 Vertiv Group Corp., 5.93%, 11/30/23 324,993 323,537

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

Annual Financial Statements - December 31, 2019 – 29 – CI First Asset Active Credit ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS (cont’d) Term Loans (cont’d) USD 625 WP CPP Holdings LLC, 5.46%, 4/30/25 812 804 USD 246,875 WP CPP Holdings LLC, 5.68%, 4/30/25 320,898 317,775 9,221,340 9,276,269 35.53% Total Bonds 23,681,914 24,071,293 92.20% Adjustment for transaction costs (610) Total Investments 24,165,433 24,552,566 94.04% Total unrealized gain on forward foreign currency contract(s) 299,302 1.15% Other Net Assets (Liabilities) 1,255,042 4.81% Net Assets Attributable to Holders of Redeemable Units 26,106,910 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) January 14, 2020 CAD 22,453,848 USD 17,062,000 1.32 Canadian Imperial Bank of Commerce A-1 299,302 299,302

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 30 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 299 - - 299 Derivative assets - Swaps and swaptions - - - - Total 299 - - 299 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 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 (523) - - (523) Derivative liabilities - Swaps and swaptions - - - - Total (523) - - (523)

Interest in Unconsolidated Structured Entities (Note 2)

The following tables present the Fund’s interest in Unconsolidated Structured Entities. as at December 31, 2019 Fair Value of Fair Value of the Fund’s Investment Ownership in the the Underlying Fund(s) / ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) iShares iBoxx High Yield Corporate Bond ETF 24,734,526 278 - SPDR Bloomberg Barclays High Yield Bond ETF 14,880,704 203 - as at December 31, 2018 Fair Value of Fair Value of the Fund’s Investment Ownership in the the Underlying Fund(s) / ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) iShares iBoxx High Yield Corporate Bond ETF 18,069,132 762 - SPDR Bloomberg Barclays High Yield Bond ETF 9,080,791 761 -

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

Annual Financial Statements - December 31, 2019 – 31 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 2 3 Soft dollar commissions† - -

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

Common Units US$ Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 2,437,565 3,387,565 258,236 308,236 Redeemable units issued for cash 250,000 400,000 - - Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (300,000) (1,350,000) - (50,000) Number of redeemable units at the end of year 2,387,565 2,437,565 258,236 258,236

Annual Financial Statements - December 31, 2019 – 32 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

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

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

2019 2018 Loaned 41 911 Collateral (non-cash) 43 971

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

2019 2018 Gross securities lending revenue 8 19 Charges (4) (10) Securities lending revenue 4 9 % of gross securities lending revenue 46.0 47.7

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

2019 Capital loss carried forward: 1,621 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 33 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities 5.99 Bonds Canada 3.74 Cayman Islands 1.29 Ireland 1.27 Luxembourg 2.29 Netherlands 3.69 U.K. 1.28 U.S.A. 24.76 Term loans 54.22 Total unrealized loss on forward foreign currency contracts (2.06) Other Net Assets (Liabilities) 3.53

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the tables below.

as at December 31, 2019 Credit Rating^* Net Assets (%) BBB/Baa/B++ 2.5 BB/Ba/B+ 24.3 B 54.3 CCC/Caa/C++ 11.1 Total 92.2

as at December 31, 2018 Credit Rating^* Net Assets (%) BBB 1.30 BB 23.13 B 52.09 CCC 16.02 Not Rated -

Other Price Risk As at December 31, 2019 and 2018, the Fund’s exposure to other price risk through its investments in equities was insignificant.

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

Annual Financial Statements - December 31, 2019 – 34 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 25,498 (22,154) 3,344 12.8 Total 25,498 (22,154) 3,344 12.8

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $334,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 25,058,359 653,221 (484,480) (22,586,579) 2,640,521 132,026 Total 25,058,359 653,221 (484,480) (22,586,579) 2,640,521 132,026 As a % of Net Assets 98.5 2.6 (1.9) (88.8) 10.4 0.5

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure - 1,866 6,508 15,697 24,071

As at December 31, 2019, had the prevailing interest rates increased or decreased by 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 $305,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Fair Value $ Less than 1 year - 1 - 3 years 2,851,362 3 - 5 years 6,001,387 Greater than 5 years 14,681,981

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

Annual Financial Statements - December 31, 2019 – 35 – CI First Asset Active Credit ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

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

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 1,523,629 - - 1,523,629 Bonds - 23,534,730 - 23,534,730 Total 1,523,629 23,534,730 - 25,058,359

Financial liabilities Derivatives - 522,947 - 522,947 Total - 522,947 - 522,947

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 36 – CI First Asset Active Utility & Infrastructure ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 29,228 19,986 12.22 9.79 2,391,194 2,041,194 Current assets Investments 27,038 15,246 Cash 2,102 4,725 Unrealized gain on futures and foreign currency forward contracts 53 - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 2 2 Collateral on deposit for short sale - - Dividends receivable 100 94 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 29,295 20,067 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - 2 Management fees payable 16 12 Accounts payable and accrued liabilities 51 67 67 81 Net assets attributable to holders of redeemable units 29,228 19,986

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

Annual Financial Statements - December 31, 2019 – 37 – CIG - 580530097 CI First Asset Active Utility & Infrastructure ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 6,302 (801) 2.84 (0.38) 2,217,221 2,128,865 Net gain (loss) on investments and derivatives Dividends 898 994 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (67) 1,210 Change in unrealized appreciation (depreciation) in value of investments and derivatives 5,722 (2,873) Total net gain (loss) on investments and derivatives 6,553 (669) Other income Foreign exchange gain (loss) on cash (23) 108 Securities lending revenue (Note 6) 4 5 Fees rebate 26 22 Miscellaneous foreign income 12 - Other income - - Total other income 19 135 Total income 6,572 (534) Expenses Custody fees 20 17 Unitholders reporting costs 43 50 Management fees (Note 5) 162 140 Audit fees 4 15 Legal fees - 2 Independent review committee fees - 1 Commissions and other portfolio transaction costs 19 13 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 4 9 Harmonized sales tax 18 20 Other expenses - - Total expenses 270 267 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 6,302 (801)

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

Annual Financial Statements - December 31, 2019 – 38 – CI First Asset Active Utility & Infrastructure ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 19,986 21,637 Increase (decrease) in net assets attributable to holders of redeemable units 6,302 (801) Distributions to holders of redeemable units From net investment income (588) (677) From net realized gains - (1,135) Return of capital (436) (3) Total distributions to holders of redeemable units (1,024) (1,815)

Redeemable unit transactions Proceeds from redeemable units issued 4,510 3,109 Reinvestment of distributions to holders of redeemable units - 914 Redemption of redeemable units (546) (3,058) Net increase (decrease) from redeemable unit transactions 3,964 965 Net increase (decrease) in net assets attributable to holders of redeemable units 9,242 (1,651) Net assets attributable to holders of redeemable units at the end of year 29,228 19,986

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

Annual Financial Statements - December 31, 2019 – 39 – CI First Asset Active Utility & Infrastructure ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 6,302 (801) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 67 (1,210) Unrealized foreign exchange (gain) loss on cash 93 (111) Commissions 17 4 Change in unrealized (appreciation) depreciation in value of investments and derivatives (5,722) 2,873 Proceeds from sale and maturity of investments and derivatives 7,158 5,971 Purchase of investments and derivatives (10,229) (2,799) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (6) 1 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 4 - Amortization interest earned - - Change in other accounts receivable and payable (16) 1 Net cash from (used in) operating activities (2,332) 3,929

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,026) (972) Proceeds from issuance of redeemable units 958 385 Amounts paid on redemption of redeemable units (130) (486) Net cash from (used in) financing activities (198) (1,073)

Unrealized foreign exchange gain (loss) on cash (93) 111 Net increase (decrease) in cash (2,530) 2,856 Cash (bank overdraft), beginning of year 4,725 1,758 Cash (bank overdraft), end of year 2,102 4,725

Supplementary Information: Dividends received, net of withholding tax* 888 986 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 40 – CI First Asset Active Utility & Infrastructure ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LIMITED PARTNERSHIP UNITS 16,964 Brookfield Infrastructure Partners L.P. 929,404 1,100,285 Total Limited Partnership Units 929,404 1,100,285 3.76%

EQUITIES Energy USD 7,149 Cheniere Energy Inc. 580,561 566,933 16,414 Enbridge Inc. 770,420 847,455 13,589 Gibson Energy Inc. 260,554 361,332 20,760 Keyera Corp. 720,390 706,255 29,940 Parkland Fuel Corp. 804,036 1,428,437 6,928 Pembina Pipeline Corp. 264,591 333,445 10,269 TC Energy Corp. 622,701 710,204 260,210 Tidewater Midstream and Infrastructure Ltd. 369,962 304,446 USD 19,201 Williams Cos. Inc. (The) 582,306 591,422 4,975,521 5,849,929 20.02% Financials 14,935 Brookfield Asset Management Inc., Class ‘A’ 754,301 1,120,573 754,301 1,120,573 3.83% Utilities 97,925 Algonquin Power & Utilities Corp. 1,144,448 1,798,882 42,414 AltaGas Canada Inc. 786,045 1,415,355 79,457 Boralex Inc., Class ‘A’ 1,344,141 1,943,518 23,324 Canadian Utilities Ltd., Class ‘A’ 864,140 913,601 43,372 Capital Power Corp. 1,167,991 1,491,563 17,779 Emera Inc. 817,378 991,890 USD 9,907 Exelon Corp. 588,309 586,503 USD 9,192 FirstEnergy Corp. 586,873 580,103 18,287 Fortis Inc. 897,239 985,304 49,469 Hydro One Ltd. 1,122,110 1,240,683 67,679 Innergex Renewable Energy Inc. 932,607 1,141,068 6,260 Inter Pipeline Ltd. 139,861 141,100 USD 1,838 NextEra Energy Inc. 581,372 577,972 42,352 Northland Power Inc. 949,314 1,151,974 USD 23,606 Pattern Energy Group Inc. 694,084 820,136 USD 2,961 Sempra Energy 586,257 582,442 76,236 Superior Plus Corp. 917,336 957,524 USD 3,511 TerraForm Power Inc., Class ‘A’ 58,379 70,166 76,339 TransAlta Corp. 689,732 708,426 55,986 TransAlta Renewables Inc. 715,111 868,903 15,582,727 18,967,113 64.90% Total Equities 21,312,549 25,937,615 88.75% Adjustment for transaction costs (22,148) Total Investments 22,219,805 27,037,900 92.51% Total unrealized gain on forward foreign currency contract(s) 53,185 0.18% Other Net Assets (Liabilities) 2,136,912 7.31% Net Assets Attributable to Holders of Redeemable Units 29,227,997 100.00%

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

Annual Financial Statements - December 31, 2019 – 41 – CI First Asset Active Utility & Infrastructure ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) March 16, 2020 CAD 3,234,154 USD 2,465,000 1.31 Canadian Imperial Bank of Commerce A-1 34,061 March 16, 2020 CAD 865,559 USD 652,000 1.33 Canadian Imperial Bank of Commerce A-1 19,124 53,185

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 42 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 53 - - 53 Derivative assets - Swaps and swaptions - - - - Total 53 - - 53 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts - - - - Derivative assets - Swaps and swaptions - - - - Total - - - - Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2019 – 43 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 17 4 Soft dollar commissions† - -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 2,041,194 2,041,194 Redeemable units issued for cash 400,000 300,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (50,000) (300,000) Number of redeemable units at the end of year 2,391,194 2,041,194

Annual Financial Statements - December 31, 2019 – 44 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.650

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

2019 2018 Loaned 29 1,222 Collateral (non-cash) 30 1,283

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

2019 2018 Gross securities lending revenue 6 8 Charges (2) (3) Securities lending revenue 4 5 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: 2 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 45 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Limited Partnership Units 0.54 Equities Energy 35.82 Financials 3.34 Materials 1.50 Utilities 35.08 Other Net Assets (Liabilities) 23.72

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ S&P/TSX Capped Utilities Total Return Index 2,036,309 1,133,524

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 4,427 (4,046) 381 1.3 Total 4,427 (4,046) 381 1.3

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $38,000. 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.

Annual Financial Statements - December 31, 2019 – 46 – CI First Asset Active Utility & Infrastructure ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 558,293 2,096,124 9,870 - 2,664,287 133,214 Total 558,293 2,096,124 9,870 - 2,664,287 133,214 As a % of Net Assets 2.8 10.5 - - 13.3 0.7

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 25,938 - - 25,938 Limited partnership units 1,100 - - 1,100 Derivatives - 53 - 53 Total 27,038 53 - 27,091

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 15,138,256 - - 15,138,256 Limited partnership units 107,531 - - 107,531 Total 15,245,787 - - 15,245,787

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 47 – CI First Asset Canadian Buyback Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 11,376 9,927 25.28 22.06 450,000 450,000 Current assets Investments 11,323 9,891 Cash 45 38 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 25 23 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions 8 - 11,401 9,952 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 5 5 Accounts payable and accrued liabilities 20 20 25 25 Net assets attributable to holders of redeemable units 11,376 9,927

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

Annual Financial Statements - December 31, 2019 – 48 – CIG - 580530037 CI First Asset Canadian Buyback Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 1,641 (456) 3.69 (1.04) 444,384 439,041 Net gain (loss) on investments and derivatives Dividends 277 244 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (188) 616 Change in unrealized appreciation (depreciation) in value of investments and derivatives 1,647 (1,219) Total net gain (loss) on investments and derivatives 1,736 (359) Other income Foreign exchange gain (loss) on cash (1) 1 Securities lending revenue (Note 6) - - Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income (1) 1 Total income 1,735 (358) Expenses Custody fees 20 21 Unitholders reporting costs 43 31 Management fees (Note 5) 65 62 Audit fees 4 10 Legal fees - 13 Independent review committee fees - - Commissions and other portfolio transaction costs 4 11 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 14 13 Other expenses - - Total expenses 150 161 Expenses absorbed by the Manager (Note 5) (56) (63) Increase (decrease) in net assets attributable to holders of redeemable units 1,641 (456)

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

Annual Financial Statements - December 31, 2019 – 49 – CI First Asset Canadian Buyback Index ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 9,927 7,106 Increase (decrease) in net assets attributable to holders of redeemable units 1,641 (456) Distributions to holders of redeemable units From net investment income (157) (117) From net realized gains - (332) Return of capital (37) - Total distributions to holders of redeemable units (194) (449)

Redeemable unit transactions Proceeds from redeemable units issued 1,269 9,587 Reinvestment of distributions to holders of redeemable units - 280 Redemption of redeemable units (1,267) (6,141) Net increase (decrease) from redeemable unit transactions 2 3,726 Net increase (decrease) in net assets attributable to holders of redeemable units 1,449 2,821 Net assets attributable to holders of redeemable units at the end of year 11,376 9,927

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

Annual Financial Statements - December 31, 2019 – 50 – CI First Asset Canadian Buyback Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 1,641 (456) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 188 (616) Unrealized foreign exchange (gain) loss on cash 1 (1) Commissions 3 1 Change in unrealized (appreciation) depreciation in value of investments and derivatives (1,647) 1,219 Proceeds from sale and maturity of investments and derivatives 4,163 2,863 Purchase of investments and derivatives (4,139) (2,836) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (2) (4) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable - 1 Amortization interest earned - - Change in other accounts receivable and payable - 13 Net cash from (used in) operating activities 208 184

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (194) (204) Proceeds from issuance of redeemable units - 25 Amounts paid on redemption of redeemable units (6) (21) Net cash from (used in) financing activities (200) (200)

Unrealized foreign exchange gain (loss) on cash (1) 1 Net increase (decrease) in cash 8 (16) Cash (bank overdraft), beginning of year 38 53 Cash (bank overdraft), end of year 45 38

Supplementary Information: Dividends received, net of withholding tax* 275 240 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 51 – CI First Asset Canadian Buyback Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services 4,150 Rogers Communications Inc., Class ‘B’ 260,855 267,592 5,686 TELUS Corp. 263,911 285,892 524,766 553,484 4.87% Consumer Discretionary 1,825 Canadian Tire Corp. Ltd., Class ‘A’ 280,910 255,044 5,638 Dollarama Inc. 243,128 251,624 5,785 Gildan Activewear Inc. 222,620 222,086 3,987 Magna International Inc. 271,110 283,875 1,017,768 1,012,629 8.90% Consumer Staples 6,649 Alimentation Couche-Tard Inc., Class ‘B’ 214,284 274,005 7,409 Empire Co. Ltd., Class ‘A’ 264,009 225,678 2,426 George Weston Ltd. 227,221 249,927 3,587 Loblaw Cos. Ltd. 205,500 240,329 4,628 Metro Inc. 204,946 248,015 1,115,960 1,237,954 10.88% Energy 21,719 Cameco Corp. 281,798 250,637 7,995 Canadian Natural Resources Ltd. 324,053 335,790 23,100 Cenovus Energy Inc. 279,862 304,920 30,881 Husky Energy Inc. 279,412 321,780 8,056 Imperial Oil Ltd. 310,318 276,724 6,735 Suncor Energy Inc. 296,595 286,642 1,772,038 1,776,493 15.62% Financials 2,803 Bank of Montreal 274,275 282,094 3,951 Brookfield Asset Management Inc., Class ‘A’ 216,940 296,444 2,505 Canadian Imperial Bank of Commerce 280,468 270,690 474 Fairfax Financial Holdings Ltd. 312,303 289,017 8,805 Great-West Lifeco Inc. 288,855 292,854 2,020 Intact Financial Corp. 210,635 283,648 11,676 Manulife Financial Corp. 273,295 307,779 4,116 National Bank of Canada 251,524 296,681 9,058 Power Corp. of Canada 270,609 302,990 9,028 Power Financial Corp. 287,674 315,438 2,551 Royal Bank of Canada 250,179 262,115 4,662 Sun Life Financial Inc. 252,652 276,037 3,658 Toronto-Dominion Bank (The) 260,322 266,412 3,429,731 3,742,199 32.90% Health Care 10,665 Bausch Health Cos. Inc. 299,749 414,549 299,749 414,549 3.64% Industrials 6,315 Air Canada 180,060 306,341 8,292 CAE Inc. 289,388 285,079 2,377 Canadian National Railway Co. 248,428 279,226 948 Canadian Pacific Railway Ltd. 236,129 313,816 954,005 1,184,462 10.41% Information Technology 2,634 CGI Inc. 203,533 286,237 204 Constellation Software Inc. 184,792 257,277 3,063 Thomson Reuters Corp. 181,940 284,522 570,265 828,036 7.28%

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

Annual Financial Statements - December 31, 2019 – 52 – CI First Asset Canadian Buyback Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Materials 13,333 Teck Resources Ltd., Class ‘B’ 338,989 300,259 338,989 300,259 2.64% Real Estate 10,211 RioCan REIT 268,086 273,246 268,086 273,246 2.40% Total Equities 10,291,357 11,323,311 99.54% Adjustment for transaction costs (3,693) Total Investments 10,287,664 11,323,311 99.54% Other Net Assets (Liabilities) 52,245 0.46% Net Assets Attributable to Holders of Redeemable Units 11,375,556 100.00%

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

Annual Financial Statements - December 31, 2019 – 53 – CI First Asset Canadian Buyback Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 3 1 Soft dollar commissions† - -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 450,000 300,000 Redeemable units issued for cash 50,000 400,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (50,000) (250,000) Number of redeemable units at the end of year 450,000 450,000

Annual Financial Statements - December 31, 2019 – 54 – CI First Asset Canadian Buyback Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) Related Party Investments (Note 9) as at December 31, 2019 (%) as at December 31 (in $000’s)

Annual management fee rate: as at December 31, 2018 Common Units 0.600 During the year, the Fund engaged in trading securities of CI Financial Corp. (“CI”). The trades were executed by an unrelated broker and through the facilities of the Toronto Stock Exchange (“TSX”) at prevailing market prices on the days of the transactions. No related parties received any fees in Securities Lending (Note 6) connection with the trades. The trades were executed in reliance on a standing instruction issued by as at December 31 (in $000’s) the Fund’s Independent Review Committee. As at December 31, 2018, the Fund held 13,391 shares of CI, with a fair value of $231,397 and representing 2.3% of the Fund’s net assets.

2019 2018 Loaned 339 364 Collateral (non-cash) 357 382

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

2019 2018 Gross securities lending revenue 1 - Charges (1) - Securities lending revenue - - % of gross securities lending revenue 60.1 -

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

2019 Capital loss carried forward: 179 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 55 – CI First Asset Canadian Buyback Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 5.59 Consumer Discretionary 10.26 Consumer Staples 11.86 Energy 11.41 Financials 31.32 Health Care 1.99 Industrials 12.69 Information Technology 10.23 Materials 4.28 Other Net Assets (Liabilities) 0.37

Credit Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominately invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ CIBC Canadian Buyback Total Return Index 1,128,262 984,531

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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

Annual Financial Statements - December 31, 2019 – 56 – CI First Asset Canadian Buyback Index ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 11,323 - - 11,323 Total 11,323 - - 11,323

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 9,890,625 - - 9,890,625 Total 9,890,625 - - 9,890,625

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 57 – CI First Asset Canadian Convertible Bond ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 59,598 55,085 9.94 9.11 5,997,245 6,047,245 Current assets Investments 57,526 52,610 Cash 1,678 2,427 Unrealized gain on futures and foreign currency forward contracts 136 - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 1 1 Collateral on deposit for short sale - - Dividends receivable - - Interest receivable 432 402 Receivable for investments sold - 7 Receivable for unit subscriptions - - 59,773 55,447 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 162 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 135 167 Payable for unit redemptions - - Distributions payable to holders of redeemable units - 1 Management fees payable 33 28 Accounts payable and accrued liabilities 7 4 175 362 Net assets attributable to holders of redeemable units 59,598 55,085

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

Annual Financial Statements - December 31, 2019 – 58 – CIG - 580530257 CI First Asset Canadian Convertible Bond ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 7,691 (1,152) 1.32 (0.46) 5,847,519 2,478,295 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 2,589 1,070 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 1,172 (284) Change in unrealized appreciation (depreciation) in value of investments and derivatives 4,380 (1,743) Total net gain (loss) on investments and derivatives 8,141 (957) Other income Foreign exchange gain (loss) on cash (4) 6 Securities lending revenue (Note 6) 3 1 Fees rebate 9 17 Miscellaneous foreign income - - Other income - - Total other income 8 24 Total income 8,149 (933) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 364 153 Audit fees - - Legal fees - - Independent review committee fees 1 1 Commissions and other portfolio transaction costs 56 48 Securities borrowing fees (Note 2) - - Interest expense - 1 Withholding taxes - - Harmonized sales tax 37 16 Other expenses - - Total expenses 458 219 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 7,691 (1,152)

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

Annual Financial Statements - December 31, 2019 – 59 – CI First Asset Canadian Convertible Bond ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 55,085 17,735 Increase (decrease) in net assets attributable to holders of redeemable units 7,691 (1,152) Distributions to holders of redeemable units From net investment income (2,192) (856) From net realized gains (670) - Return of capital (2) (395) Total distributions to holders of redeemable units (2,864) (1,251)

Redeemable unit transactions Proceeds from redeemable units issued 3,887 9,715 Reinvestment of distributions to holders of redeemable units 48 - Redemption of redeemable units (4,249) (3,673) Acquisition of assets from terminated funds - 33,711 Net increase (decrease) from redeemable unit transactions (314) 39,753 Net increase (decrease) in net assets attributable to holders of redeemable units 4,513 37,350 Net assets attributable to holders of redeemable units at the end of year 59,598 55,085

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

Annual Financial Statements - December 31, 2019 – 60 – CI First Asset Canadian Convertible Bond ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 7,691 (1,152) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,172) 284 Unrealized foreign exchange (gain) loss on cash 6 (5) Commissions 50 - Change in unrealized (appreciation) depreciation in value of investments and derivatives (4,380) 1,743 Proceeds from sale and maturity of investments and derivatives 23,325 11,962 Purchase of investments and derivatives (23,375) (9,360) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable (30) (321) Increase (decrease) in management fees payable 5 19 Amortization interest earned - - Change in other accounts receivable and payable 3 1 Net cash from (used in) operating activities 2,123 3,171

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,817) (1,325) Proceeds from issuance of redeemable units 208 397 Amounts paid on redemption of redeemable units (257) (323) Net cash from (used in) financing activities (2,866) (1,251)

Unrealized foreign exchange gain (loss) on cash (6) 5 Net increase (decrease) in cash (743) 1,920 Cash (bank overdraft), beginning of year 2,427 502 Cash (bank overdraft), end of year 1,678 2,427

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 2,559 750 Dividends paid* - - Interest paid* - (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 61 – CI First Asset Canadian Convertible Bond ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES 22 Genalta Power Inc., Rights - - Total Equities - - 0.00%

BONDS Corporate Bonds USD 1,132,000 Cricket Acquisition Group Inc., 5.00%, June 20, 2025 75,569 73,498 Total Bonds 75,569 73,498 0.12%

CONVERTIBLE DEBENTURES Consumer Staples 2,094,000 Premium Brands Holdings Corp., 4.60%, December 31, 2023 2,285,603 2,263,823 2,285,603 2,263,823 3.80% Energy 1,037,610 GASFRAC Energy Services Inc., 7.00% - - 1,858,000 Gibson Energy Inc., 5.25%, July 15, 2021 1,939,955 2,321,943 1,016,000 North American Construction Group Ltd., 5.00%, March 31, 2026 988,108 1,043,940 1,450,000 Tidewater Midstream and Infrastructure Ltd., 5.50%, September 30, 2024 1,449,423 1,478,420 4,377,486 4,844,303 8.13% Financials 1,922,000 Alaris Royalty Corp., 5.50%, June 30, 2024 1,853,083 1,935,935 1,140,000 Canaccord Genuity Group Inc., 6.25%, December 31, 2023 1,165,752 1,185,030 3,310,000 Element Fleet Management Corp., 4.25%, June 30, 2024 3,498,059 3,801,204 980,000 goeasy Ltd., 5.75%, July 31, 2022 1,037,930 1,598,135 7,554,824 8,520,304 14.30% Health Care USD 175,000 Emergent BioSolutions Inc., 2.88%, January 15, 2021 198,031 193,159 198,031 193,159 0.32% Industrials 3,533,000 Aecon Group Inc., 5.00%, December 31, 2023 3,622,675 3,701,524 1,658,000 AG Growth International Inc., 4.50%, December 31, 2022 1,679,541 1,682,870 1,655,000 AG Growth International Inc., 4.85%, June 30, 2022 1,683,981 1,687,604 1,609,000 Exchange Income Corp., 5.75%, March 31, 2026 1,585,609 1,673,360 2,404,000 Mullen Group Ltd, 5.75%, November 30, 2026 2,464,770 2,500,160 11,036,576 11,245,518 18.87% Materials 3,119,000 Chemtrade Logistics Income Fund, 4.75%, May 31, 2024 2,755,663 2,823,475 2,203,000 Chemtrade Logistics Income Fund, 5.00%, August 31, 2023 2,086,038 2,056,501 USD 880,000 Fortuna Silver Mines Inc., 4.65%, October 31, 2024 1,204,971 1,302,705 3,533,000 Osisko Gold Royalties Ltd., 4.00%, December 31, 2022 3,538,867 3,571,156 9,585,539 9,753,837 16.37% Real Estate USD 961,000 Invesque Inc., 6.00%, September 30, 2023 1,086,921 1,141,834 1,580,000 Morguard North American Residential REIT, 4.50%, March 31, 2023 1,593,119 1,689,020 1,091,000 NorthWest Healthcare Properties REIT, 5.50%, December 31, 2023 1,149,813 1,156,242 1,191,000 NorthWest Healthcare Properties REIT, 5.25%, July 31, 2021 1,204,164 1,242,570 USD 2,882,000 Tricon Capital Group Inc., 5.75%, March 31, 2022 3,901,152 3,882,762 8,935,169 9,112,428 15.29%

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

Annual Financial Statements - December 31, 2019 – 62 – CI First Asset Canadian Convertible Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

CONVERTIBLE DEBENTURES (cont’d) Utilities 2,209,000 Atlantic Power Corp., Series ‘E’, 6.00%, January 31, 2025 2,219,772 2,319,229 2,272,000 Innergex Renewable Energy Inc., 4.65%, October 31, 2026 2,293,168 2,317,440 2,877,000 Innergex Renewable Energy Inc., 4.75%, June 30, 2025 2,830,323 3,046,024 3,029,000 Northland Power Inc., 4.75%, June 30, 2020 3,428,501 3,836,229 10,771,764 11,518,922 19.33% Total Convertible Debentures 54,744,992 57,452,294 96.53% Adjustment for transaction costs (64,384) Total Investments 54,756,177 57,525,792 96.53% Total unrealized gain on forward foreign currency contract(s) 135,986 0.23% Other Net Assets (Liabilities) 1,935,937 3.24% Net Assets Attributable to Holders of Redeemable Units 59,597,715 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) February 7, 2020 CAD 4,519,382 USD 3,400,000 1.33 Canadian Imperial Bank of Commerce A-1 105,071 February 7, 2020 CAD 1,236,402 USD 935,000 1.32 Canadian Imperial Bank of Commerce A-1 22,466 February 7, 2020 CAD 263,456 USD 200,000 1.32 Canadian Imperial Bank of Commerce A-1 3,791 February 7, 2020 CAD 236,154 USD 180,000 1.31 Canadian Imperial Bank of Commerce A-1 2,455 February 7, 2020 CAD 417,668 USD 320,000 1.31 Canadian Imperial Bank of Commerce A-1 2,203 135,986

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 63 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 136 - - 136 Derivative assets - Swaps and swaptions - - - - Total 136 - - 136 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 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 (162) - - (162) Derivative liabilities - Swaps and swaptions - - - - Total (162) - - (162)

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

Annual Financial Statements - December 31, 2019 – 64 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 50 43 Soft dollar commissions† 4 4

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 6,047,245 1,799,982 Redeemable units issued for cash 400,000 1,000,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (450,000) (400,000) Redeemable units issued due to acquisition of assets from terminated funds - 3,647,263 Number of redeemable units at the end of year 5,997,245 6,047,245

Annual Financial Statements - December 31, 2019 – 65 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.650

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

2019 2018 Loaned 509 318 Collateral (non-cash) 535 334

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

2019 2018 Gross securities lending revenue 5 2 Charges (2) (1) Securities lending revenue 3 1 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 66 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities 0.00 Bonds 0.28 Convertible Debentures Consumer Discretionary 2.75 Consumer Staples 3.88 Energy 7.15 Financials 10.41 Health Care 2.72 Industrials 18.15 Materials 12.83 Real Estate 12.87 Utilities 24.47 Total unrealized loss on forward foreign currency contracts (0.29) Other Net Assets (Liabilities) 4.78

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the tables below.

as at December 31, 2019 Credit Rating^* Net Assets (%) BBB/Baa/B++ 30.5 BB/Ba/B+ 6.6 B 1.8 Not Rated 57.7 Total 96.6

as at December 31, 2018 Credit Rating^* Net Assets (%) BBB 13.10 BB 6.56 B 3.61 C and Lower 6.82 Not Rated 65.42

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

Annual Financial Statements - December 31, 2019 – 67 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Other Price Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to other price risk as the Fund did not invest in equities.

Currency Risk As at December 31, 2019, the Fund did not have significant exposure to currency risk as substantially all of its investments were denominated in Canadian dollars, the functional currency of the Fund.

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 6,090,191 185,077 79,411 (6,542,918) (188,239) (9,412) Total 6,090,191 185,077 79,411 (6,542,918) (188,239) (9,412) As a % of Net Assets 11.1 0.3 0.1 (11.9) (0.4) -

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 3,910 10,926 29,790 12,900 57,526

As at December 31, 2019, had the prevailing interest rates increased or decreased by 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 $498,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Fair Value $ Less than 1 year 4,549,014 1 - 3 years 17,459,456 3 - 5 years 23,890,619 Greater than 5 years 6,711,199

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

Annual Financial Statements - December 31, 2019 – 68 – CI First Asset Canadian Convertible Bond ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

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

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Convertible debentures - 52,252,674 357,614 52,610,288 Total - 52,252,674 357,614 52,610,288

Financial liabilities Derivatives - 162,394 - 162,394 Total - 162,394 - 162,394

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

Level 3 Reconciliation The table below summarizes the movement in financial instruments classified as Level 3.

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

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

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

During the year ended December 31, 2018, the reconciliation of Level 3 investments measured using non-observable inputs is presented as follows:

$ Beginning balance - Purchases 348,735 Sales - Net transfers (out of) Level 3 - Net transfers (in to) Level 3 - Realized gains (losses) - Change in unrealized appreciation (depreciation) 8,879 Ending balance 357,614

As at December 31, 2018, the Fair Value of Level 3 holdings is not significant to the Fund. Therefore, the sensitivity analysis is not applicable.

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

Annual Financial Statements - December 31, 2019 – 69 – CI First Asset Canadian REIT ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 627,453 344,920 18.65 15.86 33,646,068 21,746,068 Current assets Investments 579,835 326,953 Cash 44,999 18,008 Unrealized gain on futures and foreign currency forward contracts 1,004 13 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 2 18 Collateral on deposit for short sale - - Dividends receivable 1,951 1,466 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions 189 - 627,980 346,458 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 1,158 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - 20 Management fees payable 397 224 Accounts payable and accrued liabilities 130 136 527 1,538 Net assets attributable to holders of redeemable units 627,453 344,920

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

Annual Financial Statements - December 31, 2019 – 70 – CIG - 580530167 CI First Asset Canadian REIT ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 92,662 11,161 3.26 0.56 28,422,232 20,039,904 Net gain (loss) on investments and derivatives Dividends 10,724 9,673 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 21,748 11,961 Change in unrealized appreciation (depreciation) in value of investments and derivatives 64,934 (7,615) Total net gain (loss) on investments and derivatives 97,406 14,019 Other income Foreign exchange gain (loss) on cash (270) 48 Securities lending revenue (Note 6) 94 117 Fees rebate 199 215 Miscellaneous foreign income 127 67 Other income - - Total other income 150 447 Total income 97,556 14,466 Expenses Custody fees 52 42 Unitholders reporting costs 134 127 Management fees (Note 5) 3,857 2,445 Audit fees 4 12 Legal fees 16 22 Independent review committee fees 8 11 Commissions and other portfolio transaction costs 198 104 Securities borrowing fees (Note 2) - - Interest expense 7 4 Withholding taxes 233 288 Harmonized sales tax 385 250 Other expenses - - Total expenses 4,894 3,305 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 92,662 11,161

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

Annual Financial Statements - December 31, 2019 – 71 – CI First Asset Canadian REIT ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 344,920 305,391 Increase (decrease) in net assets attributable to holders of redeemable units 92,662 11,161 Distributions to holders of redeemable units From net investment income (6,012) (6,598) From net realized gains (15,255) (10,470) Return of capital (2,137) (14) Total distributions to holders of redeemable units (23,404) (17,082)

Redeemable unit transactions Proceeds from redeemable units issued 259,365 60,714 Reinvestment of distributions to holders of redeemable units - 587 Redemption of redeemable units (46,090) (15,851) Net increase (decrease) from redeemable unit transactions 213,275 45,450 Net increase (decrease) in net assets attributable to holders of redeemable units 282,533 39,529 Net assets attributable to holders of redeemable units at the end of year 627,453 344,920

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

Annual Financial Statements - December 31, 2019 – 72 – CI First Asset Canadian REIT ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 92,662 11,161 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (21,748) (11,961) Unrealized foreign exchange (gain) loss on cash 319 (9) Commissions 136 85 Change in unrealized (appreciation) depreciation in value of investments and derivatives (64,934) 7,615 Proceeds from sale and maturity of investments and derivatives 95,021 51,183 Purchase of investments and derivatives (70,923) (46,708) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (485) (237) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 173 50 Amortization interest earned - - Change in other accounts receivable and payable 10 (15) Net cash from (used in) operating activities 30,231 11,164

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (23,424) (17,781) Proceeds from issuance of redeemable units 24,423 5,756 Amounts paid on redemption of redeemable units (3,920) (1,360) Net cash from (used in) financing activities (2,921) (13,385)

Unrealized foreign exchange gain (loss) on cash (319) 9 Net increase (decrease) in cash 27,310 (2,221) Cash (bank overdraft), beginning of year 18,008 20,220 Cash (bank overdraft), end of year 44,999 18,008

Supplementary Information: Dividends received, net of withholding tax* 10,006 9,148 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (7) (4) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 73 – CI First Asset Canadian REIT ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Canada 511,083 Allied Properties REIT 20,431,345 26,612,092 206,153 Altus Group Ltd. 5,791,318 7,825,568 514,344 Artis REIT 5,602,710 6,120,694 113,804 Brookfield Asset Management Inc., Class ‘A’ 6,264,382 8,538,714 554,323 Canadian Apartment Properties REIT 21,416,978 29,384,662 1,419,936 Chartwell Retirement Residences 19,023,245 19,737,110 1,584,896 Choice Properties REIT 20,375,117 22,045,903 458,327 Cominar REIT 5,456,491 6,489,910 1,292,764 Crombie REIT 17,996,050 20,606,658 959,970 CT REIT 13,146,957 15,493,916 2,180,984 Dream Industrial REIT 20,332,271 28,658,129 257,368 Dream Office REIT 6,097,965 8,011,866 2,915,864 European Residential REIT 12,569,491 13,558,768 1,163,639 First Capital REIT 23,857,676 24,052,418 314,539 Granite REIT 17,637,331 20,753,283 972,028 H&R REIT 20,358,578 20,509,791 638,813 Inovalis REIT 5,659,154 6,809,747 1,893,882 InterRent REIT 18,587,927 29,620,314 USD 470,696 Invesque Inc. 5,739,571 4,115,849 1,364,051 Killam Apartment REIT 20,129,544 25,835,126 1,019,196 Minto Apartment REIT 19,804,668 23,594,387 39,037 Morguard Corp. 6,619,809 7,846,437 1,369,948 Morguard North American Residential REIT 19,942,639 25,330,339 2,529,113 Nexus REIT 4,811,997 5,488,175 609,693 Northview Apartment REIT 16,335,117 18,071,301 505,480 NorthWest Healthcare Properties REIT 6,165,177 6,030,376 923,339 RioCan REIT 23,636,153 24,708,552 817,737 Sienna Senior Living Inc. 14,354,487 14,931,878 260,523 SmartCentres REIT 8,222,304 8,130,923 2,963,553 StorageVault Canada Inc. 7,046,442 10,994,782 1,625,373 Summit Industrial Income REIT 15,876,900 19,601,998 2,119,740 Tricon Capital Group Inc. 21,141,719 22,532,836 USD 1,201,289 WPT Industrial REIT 18,395,966 21,511,488 468,827,479 553,553,990 88.23% U.K. USD 478,512 Cushman & Wakefield PLC 10,969,778 12,700,839 10,969,778 12,700,839 2.02% U.S.A. USD 164,411 Americold Realty Trust 6,835,464 7,485,166 USD 52,658 Prologis Inc. 4,875,273 6,095,308 11,710,737 13,580,474 2.16% Total Equities 491,507,994 579,835,303 92.41% Adjustment for transaction costs (318,649) Total Investments 491,189,345 579,835,303 92.41% Total unrealized gain on forward foreign currency contract(s) 1,004,472 0.16% Other Net Assets (Liabilities) 46,612,736 7.43% Net Assets Attributable to Holders of Redeemable Units 627,452,511 100.00%

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

Annual Financial Statements - December 31, 2019 – 74 – CI First Asset Canadian REIT ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) January 22, 2020 CAD 5,544,398 USD 4,196,169 1.32 Canadian Imperial Bank of Commerce A-1 96,021 January 22, 2020 CAD 478,194 USD 361,981 1.32 Canadian Imperial Bank of Commerce A-1 8,193 January 22, 2020 CAD 1,665,990 USD 1,263,166 1.32 HSBC Bank, Toronto A-1+ 25,873 January 22, 2020 CAD 5,746,917 USD 4,348,076 1.32 Royal Bank of Canada A-1+ 101,301 January 22, 2020 CAD 1,943,867 USD 1,473,000 1.32 Royal Bank of Canada A-1+ 31,298 January 22, 2020 CAD 3,697,433 USD 2,780,746 1.33 Toronto-Dominion Bank (The) A-1+ 86,865 February 20, 2020 CAD 2,663,684 USD 2,014,491 1.32 Bank of Montreal A-1 48,287 February 20, 2020 CAD 3,617,984 USD 2,733,095 1.32 Canadian Imperial Bank of Commerce A-1 69,628 February 20, 2020 CAD 3,013,340 USD 2,279,035 1.32 HSBC Bank, Toronto A-1+ 54,487 February 20, 2020 CAD 3,942,524 USD 2,974,670 1.33 Toronto-Dominion Bank (The) A-1+ 80,533 March 16, 2020 CAD 7,693,340 USD 5,787,643 1.33 Bank of Montreal A-1 179,752 March 16, 2020 CAD 8,951,697 USD 6,724,219 1.33 Royal Bank of Canada A-1+ 222,234 1,004,472

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 75 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,004 - - 1,004 Derivative assets - Swaps and swaptions - - - - Total 1,004 - - 1,004 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 13 (13) - - Derivative assets - Swaps and swaptions - - - - Total 13 (13) - - Derivative liabilities - Foreign currency forward contracts (1,158) 13 - (1,145) Derivative liabilities - Swaps and swaptions - - - - Total (1,158) 13 - (1,145)

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

Annual Financial Statements - December 31, 2019 – 76 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 136 85 Soft dollar commissions† 27 6

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 21,746,068 19,046,068 Redeemable units issued for cash 14,400,000 3,700,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (2,500,000) (1,000,000) Number of redeemable units at the end of year 33,646,068 21,746,068

Annual Financial Statements - December 31, 2019 – 77 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.750

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

2019 2018 Loaned 228,493 124,022 Collateral (non-cash) 240,304 130,224

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

2019 2018 Gross securities lending revenue 156 195 Charges (62) (78) Securities lending revenue 94 117 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 78 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Limited Partnership Units 7.28 Equities Canada 79.44 U.S.A. 8.07 Total unrealized gain on forward foreign currency contracts 0.00 Total unrealized loss on forward foreign currency contracts (0.33) Other Net Assets (Liabilities) 5.54

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ S&P/TSX Capped REIT Total Return Index 57,640,426 27,998,594

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 73,675 (47,955) 25,720 4.1 Total 73,675 (47,955) 25,720 4.1

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $2,572,000. 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.

Annual Financial Statements - December 31, 2019 – 79 – CI First Asset Canadian REIT ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 27,825,210 546,968 246,513 (25,032,952) 3,585,739 179,287 Total 27,825,210 546,968 246,513 (25,032,952) 3,585,739 179,287 As a % of Net Assets 8.1 0.2 0.1 (7.3) 1.1 0.1

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 579,835 - - 579,835 Derivatives - 1,004 - 1,004 Total 579,835 1,004 - 580,839

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 301,824,305 - - 301,824,305 Limited partnership units 25,128,687 - - 25,128,687 Derivatives - 13,495 - 13,495 Total 326,952,992 13,495 - 326,966,487

Financial liabilities Derivatives - 1,157,819 - 1,157,819 Total - 1,157,819 - 1,157,819

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 80 – CI First Asset CanBanc Income Class ETF Financial Statements

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

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets ETF Shares 150,808 139,488 11.36 11.59 13,271,193 13,171,193 Current assets Investments 150,140 139,257 Cash 300 338 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 585 804 Interest receivable - - Receivable for investments sold - - Receivable for share subscriptions 3 - 151,028 140,399 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options 63 734 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for share redemptions - - Dividends payable to holders of redeemable shares - - Management fees payable 85 78 Accounts payable and accrued liabilities 72 99 220 911 Net assets attributable to holders of redeemable shares 150,808 139,488

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

Annual Financial Statements - December 31, 2019 – 81 – CIG - 580530337 CI First Asset CanBanc Income Class ETF Financial Statements

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

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average shares per class: shares per share: number of shares: 2019 2018 2019 2018 2019 2018 2019 2018 Income ETF Shares 19,460 (13,511) 1.45 (1.03) 13,396,125 13,123,111 Net gain (loss) on investments and derivatives Dividends 6,292 6,125 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (1,558) 4,802 Change in unrealized appreciation (depreciation) in value of investments and derivatives 16,054 (23,014) Total net gain (loss) on investments and derivatives 20,788 (12,087) Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) - - Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income - - Total income 20,788 (12,087) Expenses Custody fees 29 30 Securityholder reporting costs 64 109 Management fees (Note 5) 994 1,017 Audit fees 4 7 Legal fees 5 15 Independent review committee fees 2 4 Commissions and other portfolio transaction costs 111 109 Securities borrowing fees (Note 2) - - Interest expense - 3 Withholding taxes - - Harmonized sales tax 116 124 Directors’ fees 3 6 Other expenses - - Total expenses 1,328 1,424 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable shares 19,460 (13,511)

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

Annual Financial Statements - December 31, 2019 – 82 – CI First Asset CanBanc Income Class ETF Financial Statements

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

ETF Shares 2019 2018 Net assets attributable to holders of redeemable shares at the beginning of year 139,488 166,327 Increase (decrease) in net assets attributable to holders of redeemable shares 19,460 (13,511) Dividends to holders of redeemable shares From net investment income (7,316) (6,125) From net realized gains - - Return of capital (2,079) (3,043) Total dividends to holders of redeemable shares (9,395) (9,168)

Redeemable share transactions Proceeds from redeemable shares issued 9,725 6,811 Reinvestment of dividends to holders of redeemable shares - - Redemption of redeemable shares (8,470) (10,971) Net increase (decrease) from redeemable share transactions 1,255 (4,160) Net increase (decrease) in net assets attributable to holders of redeemable shares 11,320 (26,839) Net assets attributable to holders of redeemable shares at the end of year 150,808 139,488

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

Annual Financial Statements - December 31, 2019 – 83 – CI First Asset CanBanc Income Class ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable shares 19,460 (13,511) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 1,558 (4,802) Unrealized foreign exchange (gain) loss on cash - - Commissions 102 102 Change in unrealized (appreciation) depreciation in value of investments and derivatives (16,054) 23,014 Proceeds from sale and maturity of investments and derivatives 14,489 34,160 Purchase of investments and derivatives (10,388) (29,582) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 219 (58) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 7 (14) Amortization interest earned - - Change in other accounts receivable and payable (27) 14 Net cash from (used in) operating activities 9,366 9,323

Cash flows from (used in) financing activities Dividends paid to holders of redeemable shares, net of reinvested dividends (9,395) (11,525) Proceeds from issuance of redeemable shares 40 (2) Amounts paid on redemption of redeemable shares (49) (48) Net cash from (used in) financing activities (9,404) (11,575)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (38) (2,252) Cash (bank overdraft), beginning of year 338 2,590 Cash (bank overdraft), end of year 300 338

Supplementary Information: Dividends received, net of withholding tax* 6,511 6,067 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (3) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 84 – CI First Asset CanBanc Income Class ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES 230,356 Bank of Montreal 20,987,777 23,183,028 265,456 Bank of Nova Scotia 19,730,167 19,471,198 186,091 Canadian Imperial Bank of Commerce 20,494,031 20,108,993 450,116 National Bank of Canada 22,919,217 32,444,362 267,672 Royal Bank of Canada 22,920,307 27,503,298 376,615 Toronto-Dominion Bank (The) 23,958,721 27,428,870 Total Equities 131,010,220 150,139,749 99.56% Adjustment for transaction costs (469,882) Total Investments 130,540,338 150,139,749 99.56% Total call option position(s) (63,114) (0.04)% Other Net Assets (Liabilities) 731,403 0.48% Net Assets Attributable to Holders of Redeemable Shares 150,808,038 100.00%

CALL OPTION(S)

Number of Strike Proceeds Fair Value contract(s) Underlying Security - 100 shares per contract Price Expiry Date $ $ (573) Bank of Montreal 103.00 January 18, 2020 (34,953) (7,163) (661) Bank of Nova Scotia 74.00 January 18, 2020 (29,084) (7,602) (463) Canadian Imperial Bank of Commerce 112.00 January 18, 2020 (15,742) (3,473) (1121) National Bank of Canada 73.00 January 18, 2020 (26,904) (27,464) (666) Royal Bank of Canada 105.00 January 18, 2020 (56,610) (11,321) (937) Toronto-Dominion Bank (The) 75.00 January 18, 2020 (34,669) (6,091) Call Option Position(s) (197,962) (63,114)

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

Annual Financial Statements - December 31, 2019 – 85 – CI First Asset CanBanc Income Class ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 102 102 Soft dollar commissions† - 1

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

ETF Shares 2019 2018 Number of redeemable shares at the beginning of year 13,171,193 13,471,193 Redeemable shares issued for cash 850,000 600,000 Redeemable shares issued for reinvested dividends - - Redeemable shares redeemed (750,000) (900,000) Number of redeemable shares at the end of year 13,271,193 13,171,193

Annual Financial Statements - December 31, 2019 – 86 – CI First Asset CanBanc Income Class ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: ETF Shares 0.650

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

2019 2018 Loaned - - Collateral (non-cash) - -

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

2019 2018 Gross securities lending revenue - - Charges - - Securities lending revenue - - % of gross securities lending revenue - -

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

Annual Financial Statements - December 31, 2019 – 87 – CI First Asset CanBanc Income Class ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities 99.85 Call option positions (0.53) Other Net Assets (Liabilities) 0.68

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

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

Impact on Net Assets Attributable to Holders of Redeemable Shares December 31, 2019 December 31, 2018 Benchmark $ $ S&P/TSX Equal Weight Diversified Banks Total Return Index 13,947,280 12,832,785

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

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

Annual Financial Statements - December 31, 2019 – 88 – CI First Asset CanBanc Income Class ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 150,140 - - 150,140 Total 150,140 - - 150,140

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives (63) - - (63) Total (63) - - (63)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 139,257,180 - - 139,257,180 Total 139,257,180 - - 139,257,180

Financial liabilities Derivatives - 733,765 - 733,765 Total - 733,765 - 733,765

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 89 – CI First Asset Core Canadian Equity Income Class ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets ETF Shares 14,789 15,641 21.22 18.47 696,954 846,954 Current assets Investments 14,789 15,676 Cash 27 15 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for investments sold - - Receivable for share subscriptions - - 14,816 15,691 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for share redemptions - - Dividends payable to holders of redeemable shares - - Management fees payable 2 2 Accounts payable and accrued liabilities 25 48 27 50 Net assets attributable to holders of redeemable shares 14,789 15,641

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

Annual Financial Statements - December 31, 2019 – 90 – CIG - 580530347 CI First Asset Core Canadian Equity Income Class ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average shares per class: shares per share: number of shares: 2019 2018 2019 2018 2019 2018 2019 2018 Income ETF Shares 3,079 (1,425) 3.89 (1.37) 790,927 1,037,091 Net gain (loss) on investments and derivatives Dividends - 532 Interest for distribution purposes - - Income distributions from investments 329 - Capital gain distributions from investments 120 - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 651 1,077 Change in unrealized appreciation (depreciation) in value of investments and derivatives 2,074 (2,899) Total net gain (loss) on investments and derivatives 3,174 (1,290) Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 1 3 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 1 3 Total income 3,175 (1,287) Expenses Custody fees 20 22 Securityholder reporting costs 27 50 Management fees (Note 5) 24 26 Audit fees 4 7 Legal fees 1 1 Independent review committee fees - 1 Commissions and other portfolio transaction costs 11 10 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 9 17 Directors’ fees - 4 Other expenses - - Total expenses 96 138 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable shares 3,079 (1,425)

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

Annual Financial Statements - December 31, 2019 – 91 – CI First Asset Core Canadian Equity Income Class ETF Financial Statements

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

ETF Shares 2019 2018 Net assets attributable to holders of redeemable shares at the beginning of year 15,641 25,250 Increase (decrease) in net assets attributable to holders of redeemable shares 3,079 (1,425) Dividends to holders of redeemable shares From net investment income (230) (504) From net realized gains - - Return of capital (568) (529) Total dividends to holders of redeemable shares (798) (1,033)

Redeemable share transactions Proceeds from redeemable shares issued - - Reinvestment of dividends to holders of redeemable shares - - Redemption of redeemable shares (3,133) (7,151) Net increase (decrease) from redeemable share transactions (3,133) (7,151) Net increase (decrease) in net assets attributable to holders of redeemable shares (852) (9,609) Net assets attributable to holders of redeemable shares at the end of year 14,789 15,641

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

Annual Financial Statements - December 31, 2019 – 92 – CI First Asset Core Canadian Equity Income Class ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable shares 3,079 (1,425) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (651) (1,077) Unrealized foreign exchange (gain) loss on cash - - Commissions 10 9 Change in unrealized (appreciation) depreciation in value of investments and derivatives (2,074) 2,899 Proceeds from sale and maturity of investments and derivatives 7,044 7,223 Purchase of investments and derivatives (6,583) (6,484) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - 136 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable - - Amortization interest earned - - Change in other accounts receivable and payable (23) 1 Net cash from (used in) operating activities 802 1,282

Cash flows from (used in) financing activities Dividends paid to holders of redeemable shares, net of reinvested dividends (798) (1,352) Proceeds from issuance of redeemable shares - - Amounts paid on redemption of redeemable shares 8 7 Net cash from (used in) financing activities (790) (1,345)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 12 (63) Cash (bank overdraft), beginning of year 15 78 Cash (bank overdraft), end of year 27 15

Supplementary Information: Dividends received, net of withholding tax* - 669 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 93 – CI First Asset Core Canadian Equity Income Class ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES 113,243 CI First Asset Active Canadian Dividend ETF 1,092,818 1,168,102 63,386 CI First Asset Canadian REIT ETF 1,019,775 1,180,881 331,228 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 3,303,564 3,441,459 114,302 CI First Asset Morningstar Canada Momentum Index ETF 1,876,328 2,272,324 205,510 CI First Asset Morningstar Canada Value Index ETF 2,925,230 3,202,872 221,398 CI First Asset MSCI Canada Low Risk Weighted ETF 2,505,815 2,788,508 35,829 CI First Asset Preferred Share ETF 778,231 734,674 Total Equities 13,501,761 14,788,820 100.00% Adjustment for transaction costs (10,304) Total Investments 13,491,457 14,788,820 100.00% Other Net Assets (Liabilities) (78) 0.00% Net Assets Attributable to Holders of Redeemable Shares 14,788,742 100.00%

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

Annual Financial Statements - December 31, 2019 – 94 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

Interest in Unconsolidated Structured Entities (Note 2)

The following table presents the Fund’s interest in Unconsolidated Structured Entities. as at December 31, 2019 Fair Value of Fair Value of the Fund’s Investment Ownership in the the Underlying Fund(s) / ETF(s) in the Underlying Fund(s) / ETF(s) Underlying Fund(s) / ETF(s) Unconsolidated Structured Entities (in $000’s) (in $000’s) (%) CI First Asset Active Canadian Dividend ETF 35,596 1,168 3.3 CI First Asset Canadian REIT ETF 627,452 1,181 0.2 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 12,780 3,441 26.9 CI First Asset Morningstar Canada Momentum Index ETF 897,877 2,272 0.3 CI First Asset Morningstar Canada Value Index ETF 80,096 3,203 4.0 CI First Asset MSCI Canada Low Risk Weighted ETF 6,358 2,789 43.9 CI First Asset Preferred Share ETF 88,143 735 0.8

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

Annual Financial Statements - December 31, 2019 – 95 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 10 9 Soft dollar commissions† - -

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

ETF Shares 2019 2018 Number of redeemable shares at the beginning of year 846,954 1,196,954 Redeemable shares issued for cash - - Redeemable shares issued for reinvested dividends - - Redeemable shares redeemed (150,000) (350,000) Number of redeemable shares at the end of year 696,954 846,954

Annual Financial Statements - December 31, 2019 – 96 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) Related Party Investments (Note 9) as at December 31, 2019 (%) as at December 31 (in $000’s)

Annual management fee rate: Investments 2019 ETF Shares 0.150 CI First Asset Active Canadian Dividend ETF 1,168 CI First Asset Canadian REIT ETF 1,181 CI First Asset Morningstar Canada Dividend Target 30 Index ETF 3,441 CI First Asset Morningstar Canada Momentum Index ETF 2,272 Securities Lending (Note 6) CI First Asset Morningstar Canada Value Index ETF 3,203 as at December 31 (in $000’s) CI First Asset MSCI Canada Low Risk Weighted ETF 2,789 CI First Asset Preferred Share ETF 735

2019 2018 Loaned 9 - as at December 31, 2018 Collateral (non-cash) 10 - % Ownership Underlying Fund(s) of Net Assets Interest % First Asset MSCI Canada Low Risk Weighted ETF 22.54 34.17 First Asset Morningstar Canada Dividend Target 30 Index ETF 19.13 18.26 Securities Lending Revenue Reconciliation (Note 6) First Asset Active Canadian Dividend ETF 8.73 3.52 for the years ended December 31 (in $000’s) First Asset Morningstar Canada Value Index ETF 16.81 2.89 First Asset Preferred Share ETF 8.26 2.00 First Asset Morningstar Canada Momentum Index ETF 16.18 1.02 2019 2018 First Asset Canadian REIT ETF 8.57 0.39 Gross securities lending revenue 1 5 Total 100.22 Charges - (2) Securities lending revenue 1 3 % of gross securities lending revenue 60.0 60.0

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

Annual Financial Statements - December 31, 2019 – 97 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk The Fund’s investments were concentrated in the following Underlying Funds:

as at December 31, 2019 Funds Net Assets (%) CI First Asset Morningstar Canada Dividend Target 30 Index ETF 23.2 CI First Asset Morningstar Canada Value Index ETF 21.6 CI First Asset MSCI Canada Low Risk Weighted ETF 18.9 CI First Asset Morningstar Canada Momentum Index ETF 15.4 CI First Asset Canadian REIT ETF 8.0 CI First Asset Active Canadian Dividend ETF 7.9 CI First Asset Preferred Share ETF 5.0 Other Net Assets (Liabilities) -

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities 100.22 Other Net Assets (Liabilities) (0.22)

Other Price Risk As at December 31, 2019 and 2018, the Fund indirectly bears the other price risk exposure of the Underlying Funds.

Impact on Net Assets Attributable to Holders of Redeemable Shares December 31, 2019 December 31, 2018 Benchmark $ $ S&P/TSX Composite Total Return Index 1,363,692 1,433,987

Refer to Note 10 for discussion of other financial risks.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 14,789 - - 14,789 Total 14,789 - - 14,789

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

Annual Financial Statements - December 31, 2019 – 98 – CI First Asset Core Canadian Equity Income Class ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 15,675,730 - - 15,675,730 Total 15,675,730 - - 15,675,730

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 99 – CI First Asset Energy Giants Covered Call ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 29,106 18,313 6.65 6.71 4,377,939 2,727,939 Current assets Unhedged Investments 49,455 38,535 Common Units 20,709 19,246 7.47 7.78 2,772,693 2,472,693 Cash 96 93 Unrealized gain on futures and foreign currency forward contracts 344 315 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 206 119 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions 3 - 50,104 39,062 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 1,220 Swaps, swaptions and options 248 253 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 27 22 Accounts payable and accrued liabilities 14 8 289 1,503 Net assets attributable to holders of redeemable units 49,815 37,559

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

Annual Financial Statements - December 31, 2019 – 100 – CIG - 580530317 CI First Asset Energy Giants Covered Call ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 1,295 (3,515) 0.37 (1.43) 3,503,418 2,458,076 Net gain (loss) on investments and derivatives Unhedged Dividends 2,033 1,441 Common Units 424 (411) 0.16 (0.17) 2,708,035 2,348,857 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (122) 1,194 Change in unrealized appreciation (depreciation) in value of investments and derivatives 486 (6,020) Total net gain (loss) on investments and derivatives 2,397 (3,385) Other income Foreign exchange gain (loss) on cash 1 17 Securities lending revenue (Note 6) 2 1 Fees rebate 1 - Miscellaneous foreign income - - Other income - - Total other income 4 18 Total income 2,401 (3,367) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 293 270 Audit fees - - Legal fees - - Independent review committee fees 1 1 Commissions and other portfolio transaction costs 88 84 Securities borrowing fees (Note 2) - - Interest expense 12 1 Withholding taxes 263 182 Harmonized sales tax 25 21 Other expenses - - Total expenses 682 559 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 1,719 (3,926)

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

Annual Financial Statements - December 31, 2019 – 101 – CI First Asset Energy Giants Covered Call ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 18,313 11,471 19,246 17,865 37,559 29,336 Increase (decrease) in net assets attributable to holders of redeemable units 1,295 (3,515) 424 (411) 1,719 (3,926) Distributions to holders of redeemable units From net investment income (780) (409) (563) (441) (1,343) (850) From net realized gains (599) (313) (582) (273) (1,181) (586) Return of capital (491) (901) (308) (822) (799) (1,723) Total distributions to holders of redeemable units (1,870) (1,623) (1,453) (1,536) (3,323) (3,159)

Redeemable unit transactions Proceeds from redeemable units issued 13,899 20,941 4,417 5,494 18,316 26,435 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (2,531) (8,961) (1,925) (2,166) (4,456) (11,127) Net increase (decrease) from redeemable unit transactions 11,368 11,980 2,492 3,328 13,860 15,308 Net increase (decrease) in net assets attributable to holders of redeemable units 10,793 6,842 1,463 1,381 12,256 8,223 Net assets attributable to holders of redeemable units at the end of year 29,106 18,313 20,709 19,246 49,815 37,559

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

Annual Financial Statements - December 31, 2019 – 102 – CI First Asset Energy Giants Covered Call ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 1,719 (3,926) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 122 (1,194) Unrealized foreign exchange (gain) loss on cash 6 (6) Commissions 61 59 Change in unrealized (appreciation) depreciation in value of investments and derivatives (486) 6,020 Proceeds from sale and maturity of investments and derivatives 26,757 26,401 Purchase of investments and derivatives (24,901) (24,325) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (87) (52) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 5 6 Amortization interest earned - - Change in other accounts receivable and payable 6 (4) Net cash from (used in) operating activities 3,202 2,979

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (3,323) (3,544) Proceeds from issuance of redeemable units 208 53 Amounts paid on redemption of redeemable units (78) (13) Net cash from (used in) financing activities (3,193) (3,504)

Unrealized foreign exchange gain (loss) on cash (6) 6 Net increase (decrease) in cash 9 (525) Cash (bank overdraft), beginning of year 93 612 Cash (bank overdraft), end of year 96 93

Supplementary Information: Dividends received, net of withholding tax* 1,683 1,207 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (12) (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 103 – CI First Asset Energy Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Brazil USD 159,179 Petroleo Brasileiro SA, ADR 2,778,532 3,294,828 2,778,532 3,294,828 6.61% China USD 42,327 China Petroleum and Chemical Corp. (Sinopec), ADR 4,145,328 3,306,068 USD 50,738 PetroChina Co. Ltd., ADR 4,117,037 3,316,034 8,262,365 6,622,102 13.29% Colombia USD 123,542 Ecopetrol SA, ADR 3,424,222 3,202,092 3,424,222 3,202,092 6.43% France USD 45,725 TOTAL SA, ADR 3,316,824 3,283,504 3,316,824 3,283,504 6.59% Hong Kong USD 15,619 CNOOC Ltd., ADR 3,154,089 3,380,410 3,154,089 3,380,410 6.79% Netherlands USD 42,813 Royal Dutch Shell PLC, Class ‘A’, ADR 3,443,797 3,278,983 3,443,797 3,278,983 6.58% Norway USD 127,979 Equinor ASA, ADR 3,946,240 3,308,786 3,946,240 3,308,786 6.64% U.K. USD 65,848 BP PLC, ADR 3,502,835 3,227,031 3,502,835 3,227,031 6.48% U.S.A. USD 20,867 Chevron Corp. 3,309,060 3,265,441 USD 39,099 ConocoPhillips 3,168,333 3,301,703 USD 30,370 EOG Resources Inc. 3,895,522 3,303,240 USD 35,619 Exxon Mobil Corp. 3,561,146 3,227,538 USD 63,956 Occidental Petroleum Corp. 4,730,899 3,422,493 USD 16,978 Pioneer Natural Resources Co. 3,011,033 3,337,221 21,675,993 19,857,636 39.87% Total Equities 53,504,897 49,455,372 99.28% Adjustment for transaction costs (44,365) Total Investments 53,460,532 49,455,372 99.28% Total call option position(s) (248,407) (0.50)% Total unrealized gain on forward foreign currency contract(s) 343,625 0.69% Other Net Assets (Liabilities) 264,631 0.53% Net Assets Attributable to Holders of Redeemable Units 49,815,221 100.00%

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

Annual Financial Statements - December 31, 2019 – 104 – CI First Asset Energy Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

CALL OPTION(S)

Number of Strike Proceeds Fair Value contract(s) Underlying Security - 100 shares per contract Price Expiry Date $ $ (162) BP PLC, ADR 38.00 January 18, 2020 (11,722) (8,415) (51) Chevron Corp. 120.00 January 18, 2020 (11,541) (13,874) (104) China Petroleum and Chemical Corp. (Sinopec), ADR 60.00 January 18, 2020 (7,662) (13,167) (38) CNOOC Ltd., ADR 160.00 January 18, 2020 (20,147) (40,463) (96) ConocoPhillips 65.00 January 18, 2020 (11,367) (17,951) (74) EOG Resources Inc. 82.50 January 18, 2020 (22,391) (25,897) (315) Equinor ASA, ADR 20.00 January 18, 2020 (7,410) (12,271) (87) Exxon Mobil Corp. 70.00 January 18, 2020 (14,079) (10,676) (157) Occidental Petroleum Corp. 40.00 January 18, 2020 (14,665) (35,066) (125) PetroChina Co. Ltd., ADR 50.00 January 18, 2020 (10,249) (17,043) (392) Petroleo Brasileiro SA, ADR 16.00 January 18, 2020 (15,988) (18,071) (41) Pioneer Natural Resources Co. 150.00 January 18, 2020 (17,423) (24,491) (105) Royal Dutch Shell PLC, ADR, Class ‘A’ 60.00 January 18, 2020 (2,625) (3,750) (112) TOTAL SA, ADR 55.00 January 18, 2020 (5,894) (7,272) Call Option Position(s) (173,163) (248,407)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) March 20, 2020 CAD 27,850,548 USD 21,195,000 1.31 Bank of Montreal A-1 335,248 March 20, 2020 CAD 650,984 USD 495,000 1.32 Bank of Montreal A-1 8,377 343,625

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 105 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 344 - - 344 Derivative assets - Swaps and swaptions - - - - Total 344 - - 344 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 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 315 (315) - - Derivative assets - Swaps and swaptions - - - - Total 315 (315) - - Derivative liabilities - Foreign currency forward contracts (1,220) 315 - (905) Derivative liabilities - Swaps and swaptions - - - - Total (1,220) 315 - (905)

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

Annual Financial Statements - December 31, 2019 – 106 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 61 59 Soft dollar commissions† 1 -

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 2,727,939 1,427,939 2,472,693 2,122,693 Redeemable units issued for cash 2,050,000 2,450,000 550,000 600,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (400,000) (1,150,000) (250,000) (250,000) Number of redeemable units at the end of year 4,377,939 2,727,939 2,772,693 2,472,693

Annual Financial Statements - December 31, 2019 – 107 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

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

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

2019 2018 Loaned 83 732 Collateral (non-cash) 88 770

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

2019 2018 Gross securities lending revenue 4 2 Charges (2) (1) Securities lending revenue 2 1 % of gross securities lending revenue 60.0 57.7

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 108 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Brazil 7.06 China 13.07 Colombia 6.62 France 6.80 Hong Kong 7.04 Netherlands 6.94 Norway 6.89 U.K. 6.85 U.S.A. 41.33 Call option positions (0.67) Total unrealized gain on forward foreign currency contracts 0.84 Total unrealized loss on forward foreign currency contracts (3.25) Other Net Assets (Liabilities) 0.48

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ MSCI World Energy Total Return Index 4,421,611 3,404,548

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

Annual Financial Statements - December 31, 2019 – 109 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 29,018 (28,303) 715 2.5 Total 29,018 (28,303) 715 2.5

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $72,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 20,647 (103) 20,544 99.2 Total 20,647 (103) 20,544 99.2

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $2,054,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

The tables below indicate the foreign currencies to which the Fund has significant exposure in Canadian dollar terms, including any underlying principal amount of forward foreign currency contracts. The table also illustrates the potential impact on the net assets attributable to holders of redeemable units of the Fund, all other variables held constant, as a result of a 5% change in these currencies relative to the Canadian dollar.

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 18,788,886 9,043 (65,409) (18,596,777) 135,743 6,787 Total 18,788,886 9,043 (65,409) (18,596,777) 135,743 6,787 As a % of Net Assets 102.6 - (0.4) (101.5) 0.7 -

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 19,746,477 9,504 (68,743) - 19,687,238 984,362 Total 19,746,477 9,504 (68,743) - 19,687,238 984,362 As a % of Net Assets 102.6 - (0.4) - 102.2 5.1

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

Annual Financial Statements - December 31, 2019 – 110 – CI First Asset Energy Giants Covered Call ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

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

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

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 38,535,363 - - 38,535,363 Derivatives - 314,758 - 314,758 Total 38,535,363 314,758 - 38,850,121

Financial liabilities Derivatives - 1,472,864 - 1,472,864 Total - 1,472,864 - 1,472,864

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 111 – CI First Asset Enhanced Government Bond ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 586,025 51,895 10.60 10.08 55,300,000 5,150,000 Current assets US$ Common Investments 667,972 58,988 Units 102,642 13,782 10.68* 10.09* 7,400,000 1,000,000 Cash 17,421 8,985 Unrealized gain on futures and foreign currency forward contracts 2,690 221 Swaps, swaptions and options - - Daily variation margin on derivative instruments - 68 Fees rebate receivable 105 - Collateral on deposit for short sale - - Dividends receivable - - Interest receivable 2,253 322 Receivable for investments sold 9,334 - Receivable for unit subscriptions 1,398 503 701,173 69,087 Liabilities Current liabilities Investments sold short - 2,691 Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 1,059 647 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - 11 Daily variation margin on derivative instruments - - Payable for investments purchased 10,876 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 326 28 Accounts payable and accrued liabilities 245 33 12,506 3,410 Net assets attributable to holders of redeemable units 688,667 65,677

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

Annual Financial Statements - December 31, 2019 – 112 – CIG - 580530497 CI First Asset Enhanced Government Bond ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 20,205 332 0.52 0.18 38,994,658 1,825,649 Net gain (loss) on investments and derivatives US$ Common Dividends - - Units (211) 712 (0.04) 0.98* 4,723,288 529,870 Interest for distribution purposes 9,865 181 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short (69) (8) Net realized gain (loss) on sale of investments and derivatives 26,428 (141) Change in unrealized appreciation (depreciation) in value of investments and derivatives (7,704) 1,010 Total net gain (loss) on investments and derivatives 28,520 1,042 Other income Foreign exchange gain (loss) on cash (6,634) 110 Securities lending revenue (Note 6) 129 - Fees rebate 1,024 - Miscellaneous foreign income - - Other income - - Total other income (5,481) 110 Total income 23,039 1,152 Expenses Custody fees 58 4 Unitholders reporting costs 107 17 Management fees (Note 5) 2,631 63 Audit fees 4 10 Legal fees 14 5 Independent review committee fees 7 - Commissions and other portfolio transaction costs 28 13 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 196 12 Other expenses - - Total expenses 3,045 124 Expenses absorbed by the Manager (Note 5) - (16) Increase (decrease) in net assets attributable to holders of redeemable units 19,994 1,044

Annual Financial Statements - December 31, 2019 – 113 – CI First Asset Enhanced Government Bond ETF Financial Statements

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

Common Units US$ Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 51,895 - 13,782 - 65,677 - Increase (decrease) in net assets attributable to holders of redeemable units 20,205 332 (211) 712 19,994 1,044 Distributions to holders of redeemable units From net investment income (6,811) (58) (898) (8) (7,709) (66) From net realized gains (10,560) (15) - (45) (10,560) (60) Return of capital (232) - - (1) (232) (1) Total distributions to holders of redeemable units (17,603) (73) (898) (54) (18,501) (127)

Redeemable unit transactions Proceeds from redeemable units issued 599,015 51,636 121,337 14,424 720,352 66,060 Reinvestment of distributions to holders of redeemable units 12,100 - 175 34 12,275 34 Redemption of redeemable units (79,587) - (31,543) (1,334) (111,130) (1,334) Net increase (decrease) from redeemable unit transactions 531,528 51,636 89,969 13,124 621,497 64,760 Net increase (decrease) in net assets attributable to holders of redeemable units 534,130 51,895 88,860 13,782 622,990 65,677 Net assets attributable to holders of redeemable units at the end of year 586,025 51,895 102,642 13,782 688,667 65,677

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

Annual Financial Statements - December 31, 2019 – 114 – CI First Asset Enhanced Government Bond ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 19,994 1,044 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (26,428) 141 Unrealized foreign exchange (gain) loss on cash 62 (22) Commissions - - Change in unrealized (appreciation) depreciation in value of investments and derivatives 7,704 (1,010) Proceeds from sale and maturity of investments and derivatives 1,983,475 14,772 Purchase of investments and derivatives (2,576,943) (69,774) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin 68 (68) (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable (1,931) (322) Increase (decrease) in management fees payable 298 29 Amortization interest earned - - Change in other accounts receivable and payable 96 44 Net cash from (used in) operating activities (593,605) (55,166)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (6,226) (92) Proceeds from issuance of redeemable units 719,459 65,555 Amounts paid on redemption of redeemable units (111,130) (1,334) Net cash from (used in) financing activities 602,103 64,129

Unrealized foreign exchange gain (loss) on cash (62) 22 Net increase (decrease) in cash 8,498 8,963 Cash (bank overdraft), beginning of year 8,985 - Cash (bank overdraft), end of year 17,421 8,985

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 7,934 67 Dividends paid* - - Interest paid* (80) - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 115 – CI First Asset Enhanced Government Bond ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS Canada 60,000 Bank of Montreal, 2.10%, October 6, 2020 59,216 60,054 55,000 Bell Canada, 2.00%, October 1, 2021 53,131 54,832 50,000 Bruce Power L.P., 2.84%, June 23, 2021 49,641 50,425 125,000 Canadian Natural Resources Ltd., 2.05%, June 1, 2020 123,251 124,952 45,000 Canadian Tire Corp. Ltd., Series ‘E’, 2.65%, July 6, 2020 44,820 45,101 55,000 Choice Properties L.P., Series ‘8’, 3.60%, April 20, 2020 55,505 55,037 215,000 Choice Properties REIT, Series ‘E’, 2.30%, September 14, 2020 211,566 215,123 10,000 Ford Credit Canada Ltd., 2.45%, May 7, 2020 9,882 9,999 45,000 H&R REIT, Series ‘F’, 4.45%, March 2, 2020 46,030 45,158 35,000 HSBC Bank Canada, 2.45%, January 29, 2021 34,613 35,131 130,000 Inter Pipeline Ltd., 3.45%, July 20, 2020 131,197 130,858 95,000 Metro Inc., Series ‘C’, 3.20%, December 1, 2021 94,623 96,602 715,000 OMERS Finance Trust, 2.60%, May 14, 2029 714,249 723,980 5,000 Parkland Fuel Corp., 5.50%, May 28, 2021 5,100 5,078 495,000 Penske Truck Leasing Canada Inc., 2.95%, June 12, 2020 496,921 496,589 65,000 RioCan REIT, 2.19%, August 26, 2020 63,849 65,001 60,000 Royal Bank of Canada, 1.92%, July 17, 2020 59,153 59,988 375,000 SmartCentres REIT, Series ‘T’, 2.76%, June 23, 2021 375,000 377,465 65,000 Suncor Energy Inc., Series ‘5’, 3.10%, November 26, 2021 65,257 66,015 45,000 VW Credit Canada Inc., 2.15%, June 24, 2020 44,404 44,993 2,737,408 2,762,381 0.40% Government of Canada & Guaranteed 70,000 Government of Canada, 0.75%, March 1, 2021 69,079 69,206 16,805,000 Government of Canada, 2.00%, June 1, 2028 16,874,631 17,174,965 136,090,000 Government of Canada, 2.25%, June 1, 2029 144,625,218 142,603,984 22,260,000 Government of Canada, 2.75%, December 1, 2048 28,041,116 27,226,048 189,610,044 187,074,203 27.17% U.K. 50,000 BP Capital Markets PLC, 3.50%, November 9, 2020 50,565 50,557 50,565 50,557 0.01% U.S.A. USD 180,000 Activision Blizzard Inc., 2.30%, September 15, 2021 230,812 235,027 USD 65,000 American Tower Corp., 2.80%, June 1, 2020 85,082 84,654 90,000 AT&T Inc., 3.83%, November 25, 2020 91,027 91,286 USD 155,000 CVS Health Corp., 2.80%, July 20, 2020 203,648 201,867 USD 71,000 Kraft Heinz Foods Co., 2.80%, July 2, 2020 92,663 92,352 USD 5,000 Lennar Corp., 4.13%, January 15, 2022 6,421 6,650 USD 6,783,754 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) SA, 5.75%, October 15, 2020 8,863,127 8,831,066 USD 87,500 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co III LLC, Series ‘A-1’, 3.36%, March 20, 2023 115,129 114,776 USD 2,905,000 United States Treasury Bond, 0.88%, January 15, 2029 4,030,917 4,011,577 USD 12,725,000 United States Treasury Bond, 1.50%, September 30, 2024 16,587,585 16,389,469 USD 2,000,000 United States Treasury Bond, 1.63%, June 30, 2021 2,649,138 2,598,672 USD 84,180,000 United States Treasury Bond, 1.63%, August 15, 2029 111,830,884 106,596,222 USD 2,185,000 United States Treasury Bond, 1.75%, June 30, 2024 2,879,205 2,846,808 USD 3,790,000 United States Treasury Bond, 1.75%, July 31, 2024 5,069,618 4,938,134 USD 28,455,000 United States Treasury Bond, 1.75%, November 15, 2029 36,991,065 36,427,019 USD 6,200,000 United States Treasury Bond, 1.88%, January 31, 2022 8,112,030 8,099,914 USD 6,040,000 United States Treasury Bond, 1.88%, June 30, 2026 7,933,371 7,883,684 USD 3,800,000 United States Treasury Bond, 2.00%, December 31, 2021 4,964,969 4,974,968 USD 18,755,000 United States Treasury Bond, 2.13%, March 31, 2024 24,907,100 24,811,424 USD 4,145,000 United States Treasury Bond, 2.25%, August 15, 2049 5,403,220 5,237,940 USD 45,380,000 United States Treasury Bond, 2.38%, May 15, 2029 61,689,979 61,303,742 USD 16,380,000 United States Treasury Bond, 2.38%, November 15, 2049 21,453,383 21,265,264

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

Annual Financial Statements - December 31, 2019 – 116 – CI First Asset Enhanced Government Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS (cont’d) U.S.A. (cont’d) USD 10,083,000 United States Treasury Bond, 2.50%, December 31, 2020 13,464,741 13,204,010 USD 2,315,000 United States Treasury Bond, 2.50%, January 31, 2021 3,086,646 3,034,091 USD 3,395,000 United States Treasury Bond, 2.63%, December 31, 2023 4,517,667 4,573,899 USD 7,745,000 United States Treasury Bond, 2.63%, January 31, 2026 10,276,291 10,551,490 USD 6,815,000 United States Treasury Bond, 2.63%, February 15, 2029 9,132,524 9,387,336 USD 630,000 United States Treasury Bond, 2.88%, October 31, 2020 843,970 826,299 USD 1,210,000 United States Treasury Bond, 2.88%, October 15, 2021 1,586,479 1,606,813 USD 290,000 United States Treasury Bond, 2.88%, November 15, 2021 390,385 385,538 USD 18,615,000 United States Treasury Bond, 3.13%, November 15, 2028 25,538,821 26,602,035 393,027,897 387,214,026 56.22% Total Bonds 585,425,914 577,101,167 83.80%

SHORT-TERM INVESTMENTS 16,000,000 Bank of Montreal Bankers’ Acceptance, 1.859%, January 20, 2020 15,974,700 15,974,700 5,000,000 Bank of Nova Scotia Bankers’ Acceptance, 1.775%, January 16, 2020 4,995,850 4,995,850 25,000,000 Firstbank Bankers’ Acceptance, 1.239%, January 3, 2020 24,971,750 24,971,750 15,000,000 Royal Bank of Canada Bankers’ Acceptance, 1.739%, January 13, 2020 14,976,000 14,976,000 25,000,000 Royal Bank of Canada Bankers’ Acceptance, 1.893%, January 28, 2020 24,961,000 24,961,000 5,000,000 Royal Bank of Canada Bankers’ Acceptance, 1.905%, January 30, 2020 4,991,900 4,991,900 Total Short-Term Investments 90,871,200 90,871,200 13.20% Adjustment for transaction costs - Total Investments 676,297,114 667,972,367 97.00% Total unrealized gain on forward foreign currency contract(s) 2,690,066 0.39% Total unrealized loss on forward foreign currency contract(s) (1,059,369) (0.15)% Other Net Assets (Liabilities) 19,064,090 2.76% Net Assets Attributable to Holders of Redeemable Units 688,667,154 100.00%

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

Annual Financial Statements - December 31, 2019 – 117 – CI First Asset Enhanced Government Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) January 7, 2020 CAD 392,418,708 USD 300,804,720 1.30 Bank of New York Mellon (The), New York A-1+ 1,817,160 January 7, 2020 CAD 22,508,323 USD 17,000,000 1.32 Bank of New York Mellon (The), New York A-1+ 433,448 January 7, 2020 CAD 5,292,400 USD 4,000,000 1.32 Bank of New York Mellon (The), New York A-1+ 98,312 January 7, 2020 CAD 2,876,012 USD 2,163,500 1.33 Bank of New York Mellon (The), New York A-1+ 66,659 January 7, 2020 CAD 1,727,369 USD 1,300,000 1.33 Bank of New York Mellon (The), New York A-1+ 39,290 January 7, 2020 CAD 1,439,392 USD 1,084,100 1.33 Bank of New York Mellon (The), New York A-1+ 31,664 January 7, 2020 CAD 1,422,026 USD 1,075,000 1.32 Bank of New York Mellon (The), New York A-1+ 26,115 January 7, 2020 CAD 1,422,594 USD 1,075,600 1.32 Bank of New York Mellon (The), New York A-1+ 25,904 January 7, 2020 CAD 1,417,141 USD 1,075,800 1.32 Bank of New York Mellon (The), New York A-1+ 20,191 January 7, 2020 CAD 1,417,930 USD 1,077,000 1.32 Bank of New York Mellon (The), New York A-1+ 19,422 January 7, 2020 CAD 715,830 USD 538,500 1.33 Bank of New York Mellon (The), New York A-1+ 16,576 January 7, 2020 CAD 713,717 USD 538,400 1.33 Bank of New York Mellon (The), New York A-1+ 14,593 January 7, 2020 CAD 715,567 USD 542,500 1.32 Bank of New York Mellon (The), New York A-1+ 11,119 January 7, 2020 CAD 710,251 USD 539,000 1.32 Bank of New York Mellon (The), New York A-1+ 10,348 January 7, 2020 CAD 1,034,400 USD 788,878 1.31 Bank of New York Mellon (The), New York A-1+ 10,025 January 7, 2020 CAD 658,900 USD 500,000 1.32 Bank of New York Mellon (The), New York A-1+ 9,639 January 7, 2020 CAD 658,615 USD 500,000 1.32 Bank of New York Mellon (The), New York A-1+ 9,354 January 7, 2020 CAD 704,817 USD 535,600 1.32 Bank of New York Mellon (The), New York A-1+ 9,329 January 7, 2020 CAD 800,000 USD 609,772 1.31 Bank of New York Mellon (The), New York A-1+ 8,197 January 7, 2020 CAD 1,397,104 USD 1,070,000 1.31 Bank of New York Mellon (The), New York A-1+ 7,686 January 7, 2020 CAD 500,000 USD 381,176 1.31 Bank of New York Mellon (The), New York A-1+ 5,035 January 7, 2020 USD 380,144 CAD 500,000 1.32 Bank of New York Mellon (The), New York A-1+ (6,374) January 7, 2020 USD 1,070,000 CAD 1,397,104 1.31 Bank of New York Mellon (The), New York A-1+ (7,686) January 7, 2020 USD 535,600 CAD 704,817 1.32 Bank of New York Mellon (The), New York A-1+ (9,329) January 7, 2020 USD 500,000 CAD 658,615 1.32 Bank of New York Mellon (The), New York A-1+ (9,354) January 7, 2020 USD 500,000 CAD 658,900 1.32 Bank of New York Mellon (The), New York A-1+ (9,639) January 7, 2020 USD 539,000 CAD 710,251 1.32 Bank of New York Mellon (The), New York A-1+ (10,348) January 7, 2020 USD 542,500 CAD 715,567 1.32 Bank of New York Mellon (The), New York A-1+ (11,119) January 7, 2020 USD 538,400 CAD 713,717 1.33 Bank of New York Mellon (The), New York A-1+ (14,593) January 7, 2020 USD 538,500 CAD 715,830 1.33 Bank of New York Mellon (The), New York A-1+ (16,576) January 7, 2020 USD 1,077,000 CAD 1,417,930 1.32 Bank of New York Mellon (The), New York A-1+ (19,422) January 7, 2020 USD 1,075,800 CAD 1,417,141 1.32 Bank of New York Mellon (The), New York A-1+ (20,191) January 7, 2020 USD 1,075,600 CAD 1,422,594 1.32 Bank of New York Mellon (The), New York A-1+ (25,904) January 7, 2020 USD 1,075,000 CAD 1,422,026 1.32 Bank of New York Mellon (The), New York A-1+ (26,115) January 7, 2020 USD 1,084,100 CAD 1,439,392 1.33 Bank of New York Mellon (The), New York A-1+ (31,664) January 7, 2020 USD 1,128,099 CAD 1,500,000 1.33 Bank of New York Mellon (The), New York A-1+ (35,138) January 7, 2020 USD 1,300,000 CAD 1,727,369 1.33 Bank of New York Mellon (The), New York A-1+ (39,290) January 7, 2020 USD 2,163,500 CAD 2,876,012 1.33 Bank of New York Mellon (The), New York A-1+ (66,660) January 7, 2020 USD 7,000,000 CAD 9,182,110 1.31 Bank of New York Mellon (The), New York A-1+ (92,455) January 7, 2020 USD 7,623,694 CAD 10,000,000 1.31 Bank of New York Mellon (The), New York A-1+ (100,464) January 7, 2020 USD 83,934,597 CAD 109,497,970 1.30 Bank of New York Mellon (The), New York A-1+ (507,048) 1,630,697

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 118 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 2,690 (1,059) - 1,631 Derivative assets - Swaps and swaptions - - - - Total 2,690 (1,059) - 1,631 Derivative liabilities - Foreign currency forward contracts (1,059) 1,059 - - Derivative liabilities - Swaps and swaptions - - - - Total (1,059) 1,059 - - as at December 31, 2018 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 221 (221) - - Derivative assets - Swaps and swaptions - - - - Total 221 (221) - - Derivative liabilities - Foreign currency forward contracts (610) 221 - (389) Derivative liabilities - Swaps and swaptions - - - - Total (610) 221 - (389)

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

Annual Financial Statements - December 31, 2019 – 119 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions - - Soft dollar commissions† 2 -

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

Common Units US$ Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 5,150,000 - 1,000,000 - Redeemable units issued for cash 57,800,000 5,150,000 8,650,000 1,100,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (7,650,000) - (2,250,000) (100,000) Number of redeemable units at the end of year 55,300,000 5,150,000 7,400,000 1,000,000

Annual Financial Statements - December 31, 2019 – 120 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

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

*Effective January 1, 2019, the Fund’s management fee rate was changed from 0.60% to 0.55%.

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

2019 2018 Loaned 296,074 27,251 Collateral (non-cash) 310,941 28,703

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

2019 2018 Gross securities lending revenue 219 1 Charges (90) - Securities lending revenue 129 1 % of gross securities lending revenue 59.0 59.0

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 121 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) LONG POSITIONS Bonds Canada 4.43 Government of Canada & Guaranteed 24.10 Luxembourg 0.29 Netherlands 2.39 U.K. 0.08 U.S.A. 58.53

SHORT POSITIONS Bonds U.S.A. (4.10) Margin 0.10 Total unrealized loss on futures contracts (0.06) Total unrealized gain on forward foreign currency contracts 0.34 Total unrealized loss on forward foreign currency contracts (0.93) Other Net Assets (Liabilities) 14.83

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the tables below.

as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 82.1 AA/Aa/A+ 6.5 A 6.7 BBB/Baa/B++ 0.4 B 1.3 Total 97.0

as at December 31, 2018 Credit Rating^* Net Assets (%) AAA 72.74 AA 0.33 A 0.18 BBB 6.09 BB 5.13 B 1.25

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

Annual Financial Statements - December 31, 2019 – 122 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Other Price Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to other price risk as the Fund did not invest in equities.

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 391,268 (290,243) 101,025 14.7 Total 391,268 (290,243) 101,025 14.7

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $10,103,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 38,541,953 4,090,615 234,243 (28,682,898) 14,183,913 709,196 Total 38,541,953 4,090,615 234,243 (28,682,898) 14,183,913 709,196 As a % of Net Assets 58.7 6.2 0.4 (43.7) 21.6 1.1

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 102,402 34,900 53,675 476,995 667,972

As at December 31, 2019, had the prevailing interest rates increased or decreased by 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 $12,545,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Fair Value $ Less than 1 year 10,497,859 1 - 3 years 26,043,024 3 - 5 years 2,036,329 Greater than 5 years 17,719,895

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

Annual Financial Statements - December 31, 2019 – 123 – CI First Asset Enhanced Government Bond ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 577,101 - 577,101 Short-term investments - 90,871 - 90,871 Derivatives - 2,690 - 2,690 Total - 670,662 - 670,662

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (1,059) - (1,059) Total - (1,059) - (1,059)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities - 58,988,106 - 58,988,106 Derivatives - 220,764 - 220,764 Total - 59,208,870 - 59,208,870

Financial liabilities Equities - 2,690,999 - 2,690,999 Derivatives 36,943 609,813 - 646,756 Total 36,943 3,300,812 - 3,337,755

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 124 – CI First Asset Enhanced Short Duration Bond ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 168,888 255,389 9.91 9.82 17,050,000 26,000,000 Current assets US$ Common Investments 186,270 287,459 Units 22,863 45,995 10.06* 9.90* 1,750,000 3,400,000 Cash 13,104 17,526 Unrealized gain on futures and foreign currency forward contracts 670 815 Swaps, swaptions and options - - Daily variation margin on derivative instruments 77 1,425 Fees rebate receivable 4 - Collateral on deposit for short sale - - Dividends receivable 1 - Interest receivable 1,333 2,877 Receivable for investments sold 24 - Receivable for unit subscriptions - 491 201,483 310,593 Liabilities Current liabilities Investments sold short 8,949 4,138 Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 359 4,772 Swaps, swaptions and options - - Dividends payable on investments sold short 2 - Interest payable on investments sold short 46 19 Daily variation margin on derivative instruments - - Payable for investments purchased 215 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 99 156 Accounts payable and accrued liabilities 62 124 9,732 9,209 Net assets attributable to holders of redeemable units 191,751 301,384

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

Annual Financial Statements - December 31, 2019 – 125 – CIG - 580530477 CI First Asset Enhanced Short Duration Bond ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 7,088 3,409 0.34 0.13 20,698,082 25,832,329 Net gain (loss) on investments and derivatives US$ Common Dividends 4 - Units (670) 4,547 (0.32) 0.93* 2,068,219 3,580,822 Interest for distribution purposes 7,976 13,389 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - (4) Dividends expense on financial assets (liabilities) sold short (175) (10) Interest expense on financial assets (liabilities) sold short (327) (109) Net realized gain (loss) on sale of investments and derivatives 6,986 (9,640) Change in unrealized appreciation (depreciation) in value of investments and derivatives (6,050) 6,365 Total net gain (loss) on investments and derivatives 8,414 9,991 Other income Foreign exchange gain (loss) on cash (307) 242 Securities lending revenue (Note 6) - - Fees rebate 21 - Miscellaneous foreign income - 3 Other income - - Total other income (286) 245 Total income 8,128 10,236 Expenses Custody fees 20 21 Unitholders reporting costs 74 149 Management fees (Note 5) 1,395 1,810 Audit fees 4 12 Legal fees 9 22 Independent review committee fees 3 9 Commissions and other portfolio transaction costs 19 74 Securities borrowing fees (Note 2) 32 13 Interest expense - - Withholding taxes - - Harmonized sales tax 154 170 Other expenses - - Total expenses 1,710 2,280 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 6,418 7,956

Annual Financial Statements - December 31, 2019 – 126 – CI First Asset Enhanced Short Duration Bond ETF Financial Statements

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

Common Units US$ Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 255,389 180,265 45,995 46,930 301,384 227,195 Increase (decrease) in net assets attributable to holders of redeemable units 7,088 3,409 (670) 4,547 6,418 7,956 Distributions to holders of redeemable units From net investment income (3,297) (10,192) (468) (1,796) (3,765) (11,988) From net realized gains (1,640) - (181) - (1,821) - Return of capital - - - (17) - (17) Total distributions to holders of redeemable units (4,937) (10,192) (649) (1,813) (5,586) (12,005)

Redeemable unit transactions Proceeds from redeemable units issued 33,197 134,272 5,342 38,225 38,539 172,497 Reinvestment of distributions to holders of redeemable units - 3,944 - 704 - 4,648 Redemption of redeemable units (121,849) (56,309) (27,155) (42,598) (149,004) (98,907) Net increase (decrease) from redeemable unit transactions (88,652) 81,907 (21,813) (3,669) (110,465) 78,238 Net increase (decrease) in net assets attributable to holders of redeemable units (86,501) 75,124 (23,132) (935) (109,633) 74,189 Net assets attributable to holders of redeemable units at the end of year 168,888 255,389 22,863 45,995 191,751 301,384

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

Annual Financial Statements - December 31, 2019 – 127 – CI First Asset Enhanced Short Duration Bond ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 6,418 7,956 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (6,986) 9,640 Unrealized foreign exchange (gain) loss on cash 275 (182) Commissions 5 2 Change in unrealized (appreciation) depreciation in value of investments and derivatives 6,050 (6,365) Proceeds from sale and maturity of investments and derivatives 954,193 669,184 Purchase of investments and derivatives (851,339) (822,923) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin 1,348 (1,011) (Increase) decrease in dividends receivable (1) - (Increase) decrease in interest receivable 1,544 (727) Increase (decrease) in management fees payable (57) 51 Amortization interest earned - - Change in other accounts receivable and payable (37) 64 Net cash from (used in) operating activities 111,413 (144,311)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (5,586) (8,026) Proceeds from issuance of redeemable units 39,030 173,627 Amounts paid on redemption of redeemable units (149,004) (99,901) Net cash from (used in) financing activities (115,560) 65,700

Unrealized foreign exchange gain (loss) on cash (275) 182 Net increase (decrease) in cash (4,147) (78,611) Cash (bank overdraft), beginning of year 17,526 95,955 Cash (bank overdraft), end of year 13,104 17,526

Supplementary Information: Dividends received, net of withholding tax* 3 - Interest received, net of withholding tax* 9,520 12,663 Dividends paid* (173) - Interest paid* (300) (90) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 128 – CI First Asset Enhanced Short Duration Bond ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS BONDS Bermuda USD 330,000 Bacardi Ltd., 5.30%, May 15, 2048 421,351 498,700 421,351 498,700 0.26% Canada USD 70,000 1011778 B.C. ULC / New Red Finance Inc., 4.25%, May 15, 2024 95,026 93,360 1,110,000 Air Canada, 4.75%, October 6, 2023 1,150,970 1,152,883 685,000 AltaGas Ltd., 2.61%, December 16, 2022 685,000 686,934 USD 50,000 Athabasca Oil Corp., 9.88%, February 24, 2022 59,691 55,696 1,015,000 Bank of Montreal, 2.10%, October 6, 2020 1,001,734 1,015,921 USD 1,785,000 Bausch Health Cos. Inc., 6.50%, March 15, 2022 2,435,801 2,372,962 USD 4,140,000 Bausch Health Cos. Inc., 7.00%, March 15, 2024 5,805,647 5,602,246 735,000 Bell Canada, 2.00%, October 1, 2021 710,025 732,755 670,000 BMW Canada Inc., Series ‘U’, 2.15%, November 26, 2021 669,946 669,501 USD 360,000 Bombardier Inc., 5.75%, March 15, 2022 481,852 483,649 USD 70,000 Bombardier Inc., 8.75%, December 1, 2021 100,093 99,795 1,200,000 Bruce Power L.P., 2.84%, June 23, 2021 1,191,980 1,210,197 955,000 Bruce Power L.P., Series ‘2017-2’, 4.01%, June 21, 2029 966,126 1,006,510 1,650,000 Canadian Natural Resources Ltd., 2.05%, June 1, 2020 1,627,420 1,649,365 1,280,000 Canadian Tire Corp. Ltd., Series ‘E’, 2.65%, July 6, 2020 1,278,198 1,282,874 675,000 Choice Properties L.P., Series ‘8’, 3.60%, April 20, 2020 684,150 675,451 1,170,000 Choice Properties REIT, Series ‘E’, 2.30%, September 14, 2020 1,154,954 1,170,669 725,000 Enbridge Inc., 3.16%, March 11, 2021 732,398 732,078 515,000 Fairfax Financial Holdings Ltd., 4.25%, December 6, 2027 514,959 530,819 USD 2,015,000 First Quantum Minerals Ltd., 7.00%, February 15, 2021 2,734,946 2,628,026 1,050,000 Ford Credit Canada Co., 2.92%, September 16, 2020 1,050,249 1,051,933 1,245,000 Ford Credit Canada Ltd., 2.45%, May 7, 2020 1,236,031 1,244,857 225,000 Ford Credit Canada Ltd., 4.46%, November 13, 2024 225,000 227,039 USD 360,000 GFL Environmental Inc., 5.63%, May 1, 2022 483,006 476,973 440,000 H&R REIT, Series ‘F’, 4.45%, March 2, 2020 450,624 441,544 500,000 H&R REIT, Series ‘O’, 3.42%, January 23, 2023 500,000 509,765 635,000 HSBC Bank Canada, 2.45%, January 29, 2021 628,187 637,385 1,470,000 Inter Pipeline Ltd., 3.45%, July 20, 2020 1,484,105 1,479,703 685,000 Kruger Products L.P., 6.00%, April 24, 2025 679,056 675,153 900,000 Manulife Bank of Canada, 2.08%, May 26, 2022 896,751 897,273 692,000 Metro Inc., Series ‘C’, 3.20%, December 1, 2021 689,253 703,669 225,000 Parkland Fuel Corp., 5.50%, May 28, 2021 229,500 228,516 900,000 Pembina Pipeline Corp., 2.56%, June 1, 2023 899,919 900,999 440,000 Penske Truck Leasing Canada Inc., 2.70%, September 30, 2024 439,102 436,395 1,380,000 Penske Truck Leasing Canada Inc., 2.85%, December 7, 2022 1,379,931 1,389,446 1,910,000 Penske Truck Leasing Canada Inc., 2.95%, June 12, 2020 1,915,118 1,916,133 610,000 RioCan REIT, 2.19%, August 26, 2020 599,197 610,009 1,015,000 Royal Bank of Canada, 1.92%, July 17, 2020 1,000,667 1,014,799 515,000 SmartCentres REIT, Series ‘T’, 2.76%, June 23, 2021 515,000 518,385 220,000 SNC-Lavalin Group Inc., Series ‘1’, 2.69%, November 24, 2020 218,259 219,712 1,240,000 Suncor Energy Inc., Series ‘5’, 3.10%, November 26, 2021 1,245,556 1,259,365 USD 90,000 Telesat Canada / Telesat LLC, 4.88%, June 1, 2027 119,624 119,207 200,000 Videotron Ltd., 5.75%, January 15, 2026 209,500 210,375 USD 1,465,000 Viterra Inc., 5.95%, August 1, 2020 1,969,232 1,942,281 275,000 VW Credit Canada Inc., 2.15%, June 24, 2020 271,356 274,957 510,000 VW Credit Canada Inc., 2.90%, March 29, 2021 509,475 513,366 43,924,614 43,750,930 22.82% Government of Canada & Guaranteed 890,000 Government of Canada, 0.50%, March 1, 2022 839,715 867,601 2,960,000 Government of Canada, 0.75%, September 1, 2020 2,890,687 2,940,393 1,320,000 Government of Canada, 0.75%, March 1, 2021 1,302,628 1,305,035 8,000 Government of Canada, 1.00%, June 1, 2027 7,280 7,602

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

Annual Financial Statements - December 31, 2019 – 129 – CI First Asset Enhanced Short Duration Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) BONDS (cont’d) Government of Canada & Guaranteed (cont’d) 745,000 Government of Canada, 1.50%, June 1, 2026 746,329 736,506 182,000 Government of Canada, 2.00%, June 1, 2028 181,137 186,007 605,000 Government of Canada, 2.25%, June 1, 2029 640,504 633,958 525,000 Government of Canada, 2.50%, June 1, 2024 551,523 543,181 345,000 Government of Canada, 2.75%, December 1, 2048 426,420 421,967 1,200,000 Government of Canada, 3.50%, June 1, 2020 1,217,496 1,208,492 8,803,719 8,850,742 4.62% Jersey 1,170,000 Heathrow Funding Ltd., 3.00%, June 17, 2023 1,182,413 1,182,952 1,182,413 1,182,952 0.62% Luxembourg USD 765,000 Intelsat Jackson Holdings SA, 8.00%, February 15, 2024 1,042,573 1,021,538 1,042,573 1,021,538 0.53% Netherlands USD 1,390,000 Fiat Chrysler Automobiles NV, 4.50%, April 15, 2020 1,877,457 1,819,361 USD 59,000 Teva Pharmaceutical Finance Netherlands III BV, 2.20%, July 21, 2021 75,511 74,337 1,952,968 1,893,698 0.99% U.K. 1,110,000 BP Capital Markets PLC, 3.50%, November 9, 2020 1,123,503 1,122,365 USD 150,000 Ferroglobe PLC / Globe Specialty Metals Inc., 9.38%, March 1, 2022 170,982 121,313 1,294,485 1,243,678 0.65% U.S.A. USD 765,000 Activision Blizzard Inc., 2.30%, September 15, 2021 939,246 998,866 USD 355,000 Aleris International Inc., 10.75%, July 15, 2023 499,038 480,865 USD 195,000 Allison Transmission Inc., 5.00%, October 1, 2024 264,535 259,862 USD 1,350,000 American Tower Corp., 2.80%, June 1, 2020 1,735,242 1,758,200 710,000 AT&T Inc., 3.83%, November 25, 2020 718,101 720,146 USD 1,450,000 Ball Corp., 4.38%, December 15, 2020 1,943,900 1,926,656 USD 905,000 Becton, Dickinson and Co., 2.40%, June 5, 2020 1,124,815 1,176,531 USD 1,150,000 Broadcom Corp. / Broadcom Cayman Finance Ltd., 2.38%, January 15, 2020 1,456,486 1,493,412 USD 2,305,000 CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, September 30, 2022 3,083,635 3,032,159 USD 675,000 Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp, 5.38%, June 1, 2024 890,161 903,181 USD 500,000 Century Aluminum Co., 7.50%, June 1, 2021 669,024 638,172 USD 3,180,000 Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 3.58%, July 23, 2020 4,251,265 4,156,094 USD 140,000 CommScope Finance LLC, 6.00%, March 1, 2026 187,330 193,727 USD 46,000 CommScope Inc., 5.00%, June 15, 2021 61,766 59,936 USD 1,200,000 CVS Health Corp., 2.80%, July 20, 2020 1,523,165 1,562,844 USD 943,000 Delta Air Lines Inc., 2.88%, March 13, 2020 1,212,447 1,224,783 USD 450,000 DISH DBS Corp., 5.13%, May 1, 2020 599,742 588,695 USD 1,605,000 Electronic Arts Inc., 3.70%, March 1, 2021 2,083,408 2,123,618 USD 1,350,000 Equinix Inc., 5.88%, January 15, 2026 1,894,566 1,863,677 USD 230,000 Ford Motor Credit Co. LLC, 2.68%, January 9, 2020 300,921 298,691 USD 575,000 GLP Capital L.P. / GLP Financing II Inc., 4.38%, April 15, 2021 753,170 763,332 USD 50,000 Guitar Center Escrow Issuer Inc., 9.50%, October 15, 2021 65,157 64,070 USD 58,000 Kraft Heinz Foods Co., 2.80%, July 2, 2020 75,696 75,443 USD 665,000 Lennar Corp., 2.95%, November 29, 2020 836,348 868,199 USD 90,000 Lennar Corp., 4.13%, January 15, 2022 115,570 119,707 USD 30,000 Lennar Corp., 6.63%, May 1, 2020 40,375 39,605 USD 140,000 Nielsen Finance LLC / Nielsen Finance Co., 4.50%, October 1, 2020 184,849 182,251 USD 700,000 NortonLifeLock Inc., 4.20%, September 15, 2020 896,382 919,896 USD 225,000 NuStar Logistics L.P., 4.80%, September 1, 2020 302,197 296,670

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

Annual Financial Statements - December 31, 2019 – 130 – CI First Asset Enhanced Short Duration Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 395,000 Par Pharmaceutical Inc., 7.50%, April 1, 2027 503,212 511,658 USD 99,328 Party City Holdings Inc., 4.21%, August 19, 2022 130,688 119,503 USD 100,000 Resolute Forest Products Inc., 5.88%, May 15, 2023 135,450 131,370 USD 8,922,575 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) SA, 5.75%, October 15, 2020 11,687,884 11,615,375 USD 210,000 Reynolds Group Issuer Inc. / Reynolds Group IssuerLLC / Reynolds Group Issuer (Luxembourg) SA, Floating Rate, 5.58%, July 15, 2021 280,886 273,650 USD 1,338,750 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co III LLC, Series ‘A-1’, 3.36%, March 20, 2023 1,722,968 1,756,079 USD 400,000 TransDigm Inc., 6.25%, March 15, 2026 566,280 563,303 USD 1,035,000 United States Treasury Bond, 0.50%, January 15, 2028 1,307,966 1,380,656 USD 465,000 United States Treasury Bond, 0.88%, January 15, 2029 645,224 642,128 USD 3,670,000 United States Treasury Bond, 1.50%, September 30, 2024 4,779,937 4,726,863 USD 240,000 United States Treasury Bond, 1.50%, November 30, 2024 312,669 309,181 USD 11,355,000 United States Treasury Bond, 1.63%, June 30, 2021 14,960,017 14,753,962 USD 2,665,000 United States Treasury Bond, 1.63%, August 15, 2029 3,459,677 3,374,660 USD 1,710,000 United States Treasury Bond, 2.13%, March 31, 2024 2,301,906 2,262,199 USD 50,000 United States Treasury Bond, 2.25%, August 15, 2049 63,895 63,184 USD 85,000 United States Treasury Bond, 2.38%, November 15, 2049 112,016 110,351 USD 3,255,000 United States Treasury Bond, 2.50%, January 31, 2021 4,346,102 4,266,076 USD 405,000 United States Treasury Bond, 2.75%, August 15, 2021 530,458 535,620 USD 1,360,000 Universal Health Services Inc., 4.75%, August 1, 2022 1,810,549 1,788,091 USD 150,000 Vistra Operations Co. LLC, 3.55%, July 15, 2024 199,630 197,520 USD 417,000 Whiting Petroleum Corp., Convertible, 1.25%, April 01, 2020 545,620 531,255 79,111,571 78,701,972 41.04% Total Bonds 137,733,694 137,144,210 71.52% Total Long Positions 137,733,694 137,144,210 71.52%

SHORT POSITIONS EQUITIES USD (2,925) iShares Core S&P 500 ETF (1,219,149) (1,227,749) USD (17,425) iShares iBoxx $ Investment Grade Corporate Bond ETF (2,836,211) (2,895,381) Total Equities (4,055,360) (4,123,130) (2.15)%

BONDS USD (130,000) Allison Transmission Inc., 5.88%, June 1, 2029 (186,554) (185,241) USD (485,000) Citigroup Inc., 4.13%, July 25, 2028 (624,535) (687,852) USD (175,000) Home Depot Inc. (The), 2.80%, September 14, 2027 (238,257) (236,590) USD (390,000) Morgan Stanley, 3.77%, January 24, 2029 (554,484) (545,571) USD (485,000) Oracle Corp., 2.95%, May 15, 2025 (623,329) (656,132) USD (485,000) Royal Bank of Canada, 4.65%, January 27, 2026 (664,887) (699,165) USD (245,000) Societe Generale SA, 3.88%, March 28, 2024 (334,073) (334,820) USD (200,000) TransDigm Inc., 6.38%, June 15, 2026 (279,523) (275,931) (3,505,642) (3,621,302) (1.89)% Government of Canada & Guaranteed (210,000) Government of Canada, 1.50%, September 1, 2024 (208,855) (208,296) (740,000) Government of Canada, 5.75%, June 1, 2029 (1,002,869) (996,566) (1,211,724) (1,204,862) (0.63)% Total Bonds (4,717,366) (4,826,164) (2.52)% Total Short Positions (8,772,726) (8,949,294) (4.67)%

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

Annual Financial Statements - December 31, 2019 – 131 – CI First Asset Enhanced Short Duration Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

SHORT-TERM INVESTMENTS 4,000,000 Bank of Nova Scotia Bankers’ Acceptance, 1.815%, January 16, 2020 3,995,120 3,995,120 4,000,000 Bank of Nova Scotia Bankers’ Acceptance, 1.550%, January 6, 2020 3,995,720 3,995,720 2,000,000 Canadian Imperial Bank of Commerce Bankers’ Acceptance, 1.743%, January 14, 2020 1,998,560 1,998,560 4,200,000 Canadian Imperial Bank of Commerce Bankers’ Acceptance, 1.883%, January 27, 2020 4,193,700 4,193,700 18,000,000 Firstbank Bankers’ Acceptance, 1.582%, January 7, 2020 17,968,540 17,968,540 4,000,000 Royal Bank of Canada Bankers’ Acceptance, 1.739%, January 13, 2020 3,993,600 3,993,600 13,000,000 Royal Bank of Canada Bankers’ Acceptance, 1.786%, January 15, 2020 12,980,240 12,980,240 Total Short-Term Investments 49,125,480 49,125,480 25.62% Adjustment for transaction costs (643) Total Investments 178,085,805 177,320,396 92.47% Margin 76,700 0.04% Total unrealized gain on futures contract(s) 35,700 0.02% Total unrealized gain on forward foreign currency contract(s) 634,537 0.33% Total unrealized loss on forward foreign currency contract(s) (359,078) (0.19)% Other Net Assets (Liabilities) 14,042,618 7.33% Net Assets Attributable to Holders of Redeemable Units 191,750,873 100.00%

FUTURES CONTRACT(S)

Contracted Number of Contracted Fair Unrealized Value Name of Future Expiry Date Contract(s) Currency Price ($) Value ($) Gain (Loss) ($) (1,960,420) Canadian Government 10 Year Bond Future March 20, 2020 (14.00) CAD 140.03 (1,924,720) 35,700 (1,960,420) (1,924,720) 35,700

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) January 7, 2020 CAD 116,711,996 USD 89,483,850 1.30 Canadian Imperial Bank of Commerce A-1 515,248 January 7, 2020 CAD 4,624,375 USD 3,500,000 1.32 Canadian Imperial Bank of Commerce A-1 79,548 January 7, 2020 CAD 667,189 USD 503,300 1.33 Canadian Imperial Bank of Commerce A-1 13,642 January 7, 2020 CAD 663,865 USD 503,300 1.32 Canadian Imperial Bank of Commerce A-1 10,319 January 7, 2020 CAD 663,377 USD 503,500 1.32 Canadian Imperial Bank of Commerce A-1 9,571 January 7, 2020 CAD 660,059 USD 503,700 1.31 Canadian Imperial Bank of Commerce A-1 5,993 January 7, 2020 CAD 200,000 USD 153,855 1.30 Canadian Imperial Bank of Commerce A-1 216 January 7, 2020 USD 75,570 CAD 100,000 1.32 Canadian Imperial Bank of Commerce A-1 (1,870) January 7, 2020 USD 113,117 CAD 150,000 1.33 Canadian Imperial Bank of Commerce A-1 (3,116) January 7, 2020 USD 503,700 CAD 660,059 1.31 Canadian Imperial Bank of Commerce A-1 (5,993) January 7, 2020 USD 503,500 CAD 663,377 1.32 Canadian Imperial Bank of Commerce A-1 (9,571) January 7, 2020 USD 503,300 CAD 663,865 1.32 Canadian Imperial Bank of Commerce A-1 (10,319) January 7, 2020 USD 503,300 CAD 667,189 1.33 Canadian Imperial Bank of Commerce A-1 (13,642) January 7, 2020 USD 3,000,000 CAD 3,922,875 1.31 Canadian Imperial Bank of Commerce A-1 (27,309) January 7, 2020 USD 3,811,818 CAD 5,000,000 1.31 Canadian Imperial Bank of Commerce A-1 (50,270) January 7, 2020 USD 18,638,874 CAD 24,310,310 1.30 Canadian Imperial Bank of Commerce A-1 (107,323) January 7, 2020 USD 8,000,000 CAD 10,517,840 1.31 Canadian Imperial Bank of Commerce A-1 (129,665) 275,459

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 132 – CI First Asset Enhanced Short Duration Bond ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 635 (359) - 276 Derivative assets - Swaps and swaptions - - - - Total 635 (359) - 276 Derivative liabilities - Foreign currency forward contracts (359) 359 - - Derivative liabilities - Swaps and swaptions - - - - Total (359) 359 - - as at December 31, 2018 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 815 (815) - - Derivative assets - Swaps and swaptions - - - - Total 815 (815) - - Derivative liabilities - Foreign currency forward contracts (3,809) 815 - (2,994) Derivative liabilities - Swaps and swaptions - - - - Total (3,809) 815 - (2,994)

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

Annual Financial Statements - December 31, 2019 – 133 – CI First Asset Enhanced Short Duration Bond ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 5 2 Soft dollar commissions† - -

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

Common Units US$ Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 26,000,000 18,150,000 3,400,000 3,750,000 Redeemable units issued for cash 3,350,000 13,550,000 400,000 2,950,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (12,300,000) (5,700,000) (2,050,000) (3,300,000) Number of redeemable units at the end of year 17,050,000 26,000,000 1,750,000 3,400,000

Annual Financial Statements - December 31, 2019 – 134 – CI First Asset Enhanced Short Duration Bond ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 US$ Common Units 0.600

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

2019 2018 Loaned 7,428 16,785 Collateral (non-cash) 7,808 17,667

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

2019 2018 Gross securities lending revenue 11 1 Charges (11) (1) Securities lending revenue - - % of gross securities lending revenue - -

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

2019 Capital loss carried forward: 3,726 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 135 – CI First Asset Enhanced Short Duration Bond ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) LONG POSITIONS Bonds Bermuda 0.20 Canada 23.09 Government of Canada & Guaranteed 6.10 France 0.34 Guernsey 0.32 Ireland 0.67 Luxembourg 0.68 Netherlands 5.23 Sweden 0.23 U.K. 0.95 U.S.A. 57.57

SHORT POSITIONS Bonds U.S.A. (0.32) Government of Canada & Guaranteed (1.06) Margin 0.47 Total unrealized loss on futures contracts (0.32) Total unrealized gain on forward foreign currency contracts 0.27 Total unrealized loss on forward foreign currency contracts (1.26) Other Net Assets (Liabilities) 6.84

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the tables below.

as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 20.9 AA/Aa/A+ 10.2 A 18.6 BBB/Baa/B++ 23.3 BB/Ba/B+ 10.9 B 10.1 CCC/Caa/C++ 0.6 Total 94.6

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

Annual Financial Statements - December 31, 2019 – 136 – CI First Asset Enhanced Short Duration Bond ETF Fund Specific Notes to Financial Statements

Credit Risk (cont’d)

as at December 31, 2018 Credit Rating^* Net Assets (%) AAA 18.46 AA 1.84 A 1.90 BBB 28.42 BB 29.42 B 14.19 CCC 0.10

Other Price Risk As at December 31, 2019 and 2018, some of the Fund’s assets were invested in U.S. equities and therefore the Fund was sensitive to changes in general economic conditions in United States, however most of the Fund’s assets were invested in fixed income securities.

As at December 31, 2019, had the equities in the investment portfolio increased or decreased by 10%, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have increased or decreased, respectively, by approximately $412,313 (December 31, 2018 - $95,400). 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 December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 100,291 (77,260) 23,031 12.0 Total 100,291 (77,260) 23,031 12.0

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $2,303,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 223,856,538 2,589,292 1,887,282 (181,509,989) 46,823,123 2,341,156 Total 223,856,538 2,589,292 1,887,282 (181,509,989) 46,823,123 2,341,156 As a % of Net Assets 74.3 0.9 0.6 (60.2) 15.6 0.8

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

Annual Financial Statements - December 31, 2019 – 137 – CI First Asset Enhanced Short Duration Bond ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 101,761 48,082 22,154 9,447 181,444

As at December 31, 2019, had the prevailing interest rates increased or decreased by 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 $697,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Fair Value $ Less than 1 year 62,605,647 1 - 3 years 145,317,681 3 - 5 years 31,630,788 Greater than 5 years 44,722,297

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 137,145 - 137,145 Short-term investments - 49,125 - 49,125 Derivatives 36 634 - 670 Total 36 186,904 - 186,940

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities (4,123) - - (4,123) Bonds - (4,826) - (4,826) Derivatives - (359) - (359) Total (4,123) (5,185) - (9,308)

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

Annual Financial Statements - December 31, 2019 – 138 – CI First Asset Enhanced Short Duration Bond ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Bonds - 287,458,988 - 287,458,988 Derivatives - 815,158 - 815,158 Total - 288,274,146 - 288,274,146

Financial liabilities Equities 954,936 - - 954,936 Bonds - 3,182,575 - 3,182,575 Derivatives 963,824 3,808,516 - 4,772,340 Total 1,918,760 6,991,091 - 8,909,851

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 139 – CI First Asset European Bank ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 20,621 29,374 7.50 7.17 2,749,583 4,099,583 Current assets Investments 19,640 28,979 Cash 607 - Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 53 107 Interest receivable - - Receivable for investments sold 485 522 Receivable for unit subscriptions - - 20,785 29,608 Liabilities Current liabilities Investments sold short - - Bank overdraft - 122 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 121 26 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 15 22 Accounts payable and accrued liabilities 28 64 164 234 Net assets attributable to holders of redeemable units 20,621 29,374

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

Annual Financial Statements - December 31, 2019 – 140 – CIG - 580530137 CI First Asset European Bank ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 1,838 (7,894) 0.57 (1.74) 3,229,857 4,543,145 Net gain (loss) on investments and derivatives Dividends 1,311 2,036 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (5,257) 43 Change in unrealized appreciation (depreciation) in value of investments and derivatives 6,507 (8,808) Total net gain (loss) on investments and derivatives 2,561 (6,729) Other income Foreign exchange gain (loss) on cash (64) (183) Securities lending revenue (Note 6) 3 26 Fees rebate - - Miscellaneous foreign income - 2 Other income 16 19 Total other income (45) (136) Total income 2,516 (6,865) Expenses Custody fees 23 51 Unitholders reporting costs 39 56 Management fees (Note 5) 200 341 Audit fees 4 12 Legal fees 1 3 Independent review committee fees 1 1 Commissions and other portfolio transaction costs 150 245 Securities borrowing fees (Note 2) - - Interest expense 4 11 Withholding taxes 223 257 Harmonized sales tax 33 52 Other expenses - - Total expenses 678 1,029 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 1,838 (7,894)

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

Annual Financial Statements - December 31, 2019 – 141 – CI First Asset European Bank ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 29,374 42,298 Increase (decrease) in net assets attributable to holders of redeemable units 1,838 (7,894) Distributions to holders of redeemable units From net investment income (743) (1,218) From net realized gains - - Return of capital (22) - Total distributions to holders of redeemable units (765) (1,218)

Redeemable unit transactions Proceeds from redeemable units issued 3,314 7,836 Reinvestment of distributions to holders of redeemable units - 164 Redemption of redeemable units (13,140) (11,812) Net increase (decrease) from redeemable unit transactions (9,826) (3,812) Net increase (decrease) in net assets attributable to holders of redeemable units (8,753) (12,924) Net assets attributable to holders of redeemable units at the end of year 20,621 29,374

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

Annual Financial Statements - December 31, 2019 – 142 – CI First Asset European Bank ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 1,838 (7,894) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 5,257 (43) Unrealized foreign exchange (gain) loss on cash 12 (3) Commissions 89 199 Change in unrealized (appreciation) depreciation in value of investments and derivatives (6,507) 8,808 Proceeds from sale and maturity of investments and derivatives 32,378 53,471 Purchase of investments and derivatives (21,746) (50,029) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 54 28 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (7) (9) Amortization interest earned - - Change in other accounts receivable and payable (36) (10) Net cash from (used in) operating activities 11,332 4,518

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (765) (1,262) Proceeds from issuance of redeemable units 3,314 7,836 Amounts paid on redemption of redeemable units (13,140) (11,812) Net cash from (used in) financing activities (10,591) (5,238)

Unrealized foreign exchange gain (loss) on cash (12) 3 Net increase (decrease) in cash 741 (720) Cash (bank overdraft), beginning of year (122) 595 Cash (bank overdraft), end of year 607 (122)

Supplementary Information: Dividends received, net of withholding tax* 1,142 1,807 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (4) (11) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 143 – CI First Asset European Bank ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Austria EUR 19,418 BAWAG Group AG 1,116,777 1,148,328 EUR 10,100 Erste Group Bank AG 451,649 493,718 1,568,426 1,642,046 7.96% Belgium EUR 3,200 KBC Ancora 203,671 208,629 203,671 208,629 1.01% Czech Republic CZK 235,360 Moneta Money Bank AS 1,046,733 1,145,929 1,046,733 1,145,929 5.56% Denmark DKK 21,000 Danske Bank AS 779,035 441,267 779,035 441,267 2.14% Finland SEK 62,199 Nordea Bank Abp 800,272 652,264 800,272 652,264 3.16% France EUR 12,192 Credit Agricole SA 235,313 229,531 235,313 229,531 1.11% Hungary HUF 3,900 OTP Bank Nyrt. 225,691 264,840 225,691 264,840 1.28% Ireland EUR 185,417 Bank of Ireland Group PLC 1,220,346 1,318,508 1,220,346 1,318,508 6.39% Italy EUR 137,299 Anima Holding SPA 929,170 920,342 EUR 5,200 Banca IFIS SPA 136,411 106,039 EUR 42,840 UniCredit SPA 808,723 812,449 1,874,304 1,838,830 8.92% Netherlands EUR 43,100 ABN AMRO Bank NV 1,037,128 1,018,271 EUR 47,100 ING Groep NV 870,828 733,251 EUR 69,200 NIBC Holding NV 901,707 757,983 2,809,663 2,509,505 12.17% Norway NOK 39,500 DNB ASA 922,385 958,164 922,385 958,164 4.65% Russia USD 37,100 Sberbank of Russia PJSC, ADR 681,395 790,090 681,395 790,090 3.83% Spain EUR 86,748 Banco Bilbao Vizcaya Argentaria SA 859,046 629,630 EUR 311,382 Banco Santander SA 2,110,631 1,691,756 EUR 52,200 CaixaBank SA 221,725 212,742 3,191,402 2,534,128 12.30% Sweden SEK 52,600 Swedbank AB, Series ‘A’ 960,078 1,016,934 960,078 1,016,934 4.93% Switzerland CHF 16,400 EFG International, Registered 142,124 140,611 142,124 140,611 0.68%

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

Annual Financial Statements - December 31, 2019 – 144 – CI First Asset European Bank ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.K. GBP 1,361,000 Lloyds Banking Group PLC 1,386,645 1,463,125 GBP 105,840 M&G PLC 394,226 431,825 GBP 26,650 Prudential PLC 706,159 664,216 GBP 94,000 Royal Bank of Scotland Group PLC 433,903 388,530 2,920,933 2,947,696 14.30% U.S.A. GBP 81,729 Burford Capital Ltd. 1,705,900 1,000,921 1,705,900 1,000,921 4.85% Total Equities 21,287,671 19,639,893 95.24% Adjustment for transaction costs (51,053) Total Investments 21,236,618 19,639,893 95.24% Other Net Assets (Liabilities) 980,762 4.76% Net Assets Attributable to Holders of Redeemable Units 20,620,655 100.00%

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

Annual Financial Statements - December 31, 2019 – 145 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 89 199 Soft dollar commissions† 25 48

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 4,099,583 4,599,583 Redeemable units issued for cash 450,000 800,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (1,800,000) (1,300,000) Number of redeemable units at the end of year 2,749,583 4,099,583

Annual Financial Statements - December 31, 2019 – 146 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.850

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

2019 2018 Loaned - 230 Collateral (non-cash) - 245

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

2019 2018 Gross securities lending revenue 4 45 Charges (1) (19) Securities lending revenue 3 26 % of gross securities lending revenue 59.1 57.9

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

2019 Capital loss carried forward: 18,192 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 3 2035 - 2036 - 2037 - 2038 - 2039 - Total 3

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

Annual Financial Statements - December 31, 2019 – 147 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Austria 2.48 Belgium 1.93 Czech Republic 3.72 Denmark 5.97 Finland 5.09 France 10.62 Georgia 1.76 Germany 0.92 Ireland 4.28 Italy 12.72 Netherlands 12.29 Russia 2.89 Spain 12.58 Sweden 2.18 Switzerland 7.09 U.K. 12.14 Total unrealized gain on forward foreign currency contracts 0.00 Total unrealized loss on forward foreign currency contracts 0.00 Other Net Assets (Liabilities) 1.34

Credit Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in equities of European companies and therefore was sensitive to changes in general economic conditions across Europe.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ STOXX Europe 600 Banks Total Return Index 1,842,098 2,735,646

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

Annual Financial Statements - December 31, 2019 – 148 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 10,633 - 10,633 51.6 British Pound 3,945 - 3,945 19.1 Swedish Krona 1,672 - 1,672 8.1 Czech Koruna 1,146 - 1,146 5.6 Norwegian Krone 963 - 963 4.7 U.S. Dollar 790 - 790 3.8 Danish Krone 462 - 462 2.2 Hungarian Forint 265 - 265 1.3 Swiss Franc 141 - 141 0.7 Total 20,017 - 20,017 97.1

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $2,002,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ British pound 4,084,038 - 407,781 - 4,491,819 224,591 Czech koruna 1,093,463 (164) - - 1,093,299 54,665 Danish krone 1,752,587 - 31,903 - 1,784,490 89,224 Euro 15,838,899 116,806 150,430 - 16,106,135 805,307 Hungarian forint - (94) - - (94) (5) Norwegian krone - (2) 4,824 - 4,822 241 Swedish krona 2,133,438 (22) 3,170 - 2,136,586 106,829 Swiss franc 2,083,442 - - - 2,083,442 104,172 United States dollar 1,993,440 (458) 4,160 - 1,997,142 99,857 Total 28,979,307 116,066 602,269 - 29,697,642 1,484,881 As a % of Net Assets 98.7 0.4 2.1 - 101.2 5.1

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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

Annual Financial Statements - December 31, 2019 – 149 – CI First Asset European Bank ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

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

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 28,979,305 - - 28,979,305 Derivatives - 120 - 120 Total 28,979,305 120 - 28,979,425

Financial liabilities Derivatives - 127 - 127 Total - 127 - 127

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 150 – CI First Asset Global Asset Allocation ETF Financial Statements

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

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per class (Note 4): units per unit: units outstanding: as at 2019 2019 2019 2019 2019 2019 2019 Assets Common Units 15,700 15,700 20.87 20.87 752,392 752,392 Current assets Investments 14,340 Cash 1,313 Unrealized gain on futures and foreign currency forward contracts 36 Swaps, swaptions and options - Daily variation margin on derivative instruments - Fees rebate receivable - Collateral on deposit for short sale - Dividends receivable 7 Interest receivable 52 Receivable for investments sold - Receivable for unit subscriptions - 15,748 Liabilities Current liabilities Investments sold short - Bank overdraft - Unrealized loss on futures and foreign currency forward contracts 1 Swaps, swaptions and options - Dividends payable on investments sold short - Interest payable on investments sold short - Daily variation margin on derivative instruments - Payable for investments purchased - Payable for unit redemptions - Distributions payable to holders of redeemable units - Management fees payable 8 Accounts payable and accrued liabilities 39 48 Net assets attributable to holders of redeemable units 15,700

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

Annual Financial Statements - December 31, 2019 – 151 – CIG - 580530517 CI First Asset Global Asset Allocation ETF Financial Statements

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

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2019 2019 2019 2019 2019 2019 Income Common Units 958 958 1.00 1.00 957,253 957,253 Net gain (loss) on investments and derivatives Dividends 97 Interest for distribution purposes 104 Income distributions from investments - Capital gain distributions from investments - Derivative income (loss) - Dividends expense on financial assets (liabilities) sold short - Interest expense on financial assets (liabilities) sold short - Net realized gain (loss) on sale of investments and derivatives 448 Change in unrealized appreciation (depreciation) in value of investments and derivatives 610 Total net gain (loss) on investments and derivatives 1,259 Other income Foreign exchange gain (loss) on cash (181) Securities lending revenue (Note 6) - Fees rebate - Miscellaneous foreign income - Other income - Total other income (181) Total income 1,078 Expenses Custody fees 9 Unitholders reporting costs 12 Management fees (Note 5) 45 Audit fees 2 Legal fees - Independent review committee fees - Commissions and other portfolio transaction costs 45 Securities borrowing fees (Note 2) - Interest expense - Withholding taxes 8 Harmonized sales tax 16 Other expenses - Total expenses 137 Expenses absorbed by the Manager (Note 5) (17) Increase (decrease) in net assets attributable to holders of redeemable units 958

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

Annual Financial Statements - December 31, 2019 – 152 – CI First Asset Global Asset Allocation ETF Financial Statements

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

Common Units 2019 Net assets attributable to holders of redeemable units at the beginning of period - Increase (decrease) in net assets attributable to holders of redeemable units 958 Distributions to holders of redeemable units From net investment income (96) From net realized gains - Return of capital (13) Total distributions to holders of redeemable units (109)

Redeemable unit transactions Proceeds from redeemable units issued - Reinvestment of distributions to holders of redeemable units - Redemption of redeemable units (10,196) Acquisition of assets from terminated funds 25,047 Net increase (decrease) from redeemable unit transactions 14,851 Net increase (decrease) in net assets attributable to holders of redeemable units 15,700 Net assets attributable to holders of redeemable units at the end of period 15,700

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

Annual Financial Statements - December 31, 2019 – 153 – CI First Asset Global Asset Allocation ETF Financial Statements

Statement of Cash Flows for the period ended December 31 (in $000’s)

2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 958 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (448) Unrealized foreign exchange (gain) loss on cash 9 Commissions 19 Change in unrealized (appreciation) depreciation in value of investments and derivatives (610) Proceeds from sale and maturity of investments and derivatives 24,764 Purchase of investments and derivatives (41,005) (Increase) decrease in collateral on deposit for short sale - Non-cash distributions from investments - Change in daily variation margin - (Increase) decrease in dividends receivable (7) (Increase) decrease in interest receivable (52) Increase (decrease) in management fees payable 8 Amortization interest earned - Change in other accounts receivable and payable 39 Net cash from (used in) operating activities (16,325)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (109) Proceeds from issuance of redeemable units 25,048 Amounts paid on redemption of redeemable units (7,292) Net cash from (used in) financing activities 17,647

Unrealized foreign exchange gain (loss) on cash (9) Net increase (decrease) in cash 1,322 Cash (bank overdraft), beginning of period - Cash (bank overdraft), end of period 1,313

Supplementary Information: Dividends received, net of withholding tax* 82 Interest received, net of withholding tax* 52 Dividends paid* - Interest paid* - Tax recoverable (paid) -

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

Annual Financial Statements - December 31, 2019 – 154 – CI First Asset Global Asset Allocation ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Australia AUD 28,300 Atlas Arteria Ltd. 176,058 201,925 176,058 201,925 1.29% Austria EUR 2,070 BAWAG Group AG 111,720 122,414 111,720 122,414 0.78% Belgium EUR 871 Anheuser-Busch InBev SA/NV 105,233 92,246 105,233 92,246 0.59% Canada 452 Granite REIT 28,928 29,823 USD 197 Shopify Inc., Class ‘A’ 89,795 101,707 118,723 131,530 0.84% China USD 940 Alibaba Group Holding Ltd., ADR 255,144 258,897 255,144 258,897 1.65% Czech Republic CZK 28,600 Moneta Money Bank AS 136,153 139,249 136,153 139,249 0.89% France EUR 1,022 Danone 118,604 110,010 EUR 256 Gecina SA 56,337 59,513 EUR 2,429 Sanofi 265,783 317,079 440,724 486,602 3.10% Germany EUR 1,531 Hugo Boss AG 110,823 96,471 110,823 96,471 0.61% Japan JPY 11,693 Mitsubishi Electric Corp. 219,377 209,407 JPY 1,696 Sony Corp. 134,839 150,012 354,216 359,419 2.29% Macau HKD 43,267 MGM China Holdings Ltd. 85,788 91,714 85,788 91,714 0.58% Mexico MXN 10,294 Fomento Economico Mexicano SAB de CV 125,787 126,076 125,787 126,076 0.80% Peru USD 2,500 Intercorp Financial Services 130,159 134,075 130,159 134,075 0.85% Spain EUR 2,367 Industria de Diseno Textil SA 92,838 108,431 92,838 108,431 0.69% Switzerland CHF 1,329 Nestlé SA, Registered 191,924 186,843 CHF 1,986 Novartis AG, Registered 241,703 244,888 EUR 4,872 STMicroelectronics NV 129,599 170,103 563,226 601,834 3.83% Taiwan USD 2,978 Taiwan Semiconductor Manufacturing Co. Ltd., ADR 163,248 224,677 163,248 224,677 1.43% U.K. GBP 7,770 Prudential PLC 176,283 193,657 GBP 8,132 SSE PLC 143,887 201,211 GBP 20,200 Tesco PLC 85,339 88,670 405,509 483,538 3.08%

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

Annual Financial Statements - December 31, 2019 – 155 – CI First Asset Global Asset Allocation ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.S.A. USD 4,381 Advanced Micro Devices Inc. 174,041 260,895 USD 2,858 Air Lease Corp. 157,830 176,359 USD 106 Alexandria Real Estate Equities Inc. 21,730 22,241 USD 88 Alphabet Inc., Class ‘C’ 156,446 152,784 USD 1,577 American Homes 4 Rent, Class ‘A’ 54,723 53,673 USD 2,997 Americold Realty Trust 143,304 136,445 USD 534 Anthem Inc. 201,680 209,435 USD 764 Apartment Investment & Management Co. 54,504 51,242 USD 370 Becton, Dickinson & Co. 124,330 130,672 GBP 13,566 Burford Capital Ltd. 181,276 166,140 USD 493 Burlington Stores Inc. 112,054 145,981 USD 2,161 Cheniere Energy Inc. 178,191 171,373 USD 2,890 Exelon Corp. 168,823 171,091 USD 844 Facebook Inc., Class ‘A’ 209,449 224,949 USD 1,173 Honeywell International Inc. 258,239 269,606 USD 3,218 Invitation Homes Inc. 118,500 125,237 USD 1,413 iShares iBoxx $ Investment Grade Corporate Bond ETF 238,451 234,787 USD 803 Liberty Property Trust 54,859 62,616 USD 2,336 Marathon Petroleum Corp. 149,741 182,763 USD 144 MGM Growth Properties LLC 5,777 5,791 USD 2,637 Mondelez International Inc., Class ‘A’ 190,553 188,609 USD 978 Nike Inc., Class ‘B’ 106,084 128,662 USD 1,855 Norwegian Cruise Line Holdings Ltd. 121,944 140,699 USD 2,040 Pilgrim’s Pride Corp. 85,737 86,663 USD 534 Procter & Gamble Co. (The) 85,599 86,609 USD 1,294 Prologis Inc. 139,995 149,784 USD 17,528 SLM Corp. 196,420 202,800 USD 1,082 Store Capital Corp. 54,344 52,323 USD 3,391 Synchrony Financial 158,785 158,566 USD 521 Thermo Fisher Scientific Inc. 191,873 219,789 USD 1,887 VICI Properties Inc. 60,568 62,607 USD 903 Walt Disney Co. (The) 165,052 169,592 USD 3,198 WestRock Co. 145,145 178,195 USD 4,440 Williams Cos. Inc. (The) 137,600 136,759 4,603,647 4,915,737 31.31% Total Equities 7,978,996 8,574,835 54.61%

BONDS Canada USD 17,000 Bank of Montreal, 3.80%, December 15, 2032 24,068 23,043 USD 67,000 Brookfield Residential Properties Inc. / Brookfield Residential US Corp, 6.25%, September 15, 2027 88,178 91,949 USD 2,000 Canadian National Railway Co., 4.50%, November 7, 2043 3,168 3,049 15,000 CES Energy Solutions Corp., 6.38%, October 21, 2024 14,400 14,300 USD 10,000 Emera Inc., Series ‘2016-A’, Convertible, 6.75%, June 15, 2076 14,423 14,693 USD 15,000 Enbridge Inc., 4.50%, June 10, 2044 21,881 21,511 USD 66,000 Fairstone Financial Inc., 7.88%, July 15, 2024 90,594 92,382 USD 75,000 First Quantum Minerals Ltd., 6.88%, March 1, 2026 87,410 98,789 USD 13,000 Glencore Finance Canada Ltd., Step Rate, October 25, 2042 18,414 17,932 51,000 Keyera Corp., Floating Rate, 6.88%, June 13, 2079 52,734 53,470 USD 28,000 MEG Energy Corp., 6.38%, January 30, 2023 33,938 36,526 USD 7,000 MEG Energy Corp., 7.00%, March 31, 2024 8,484 9,166 USD 29,000 NOVA Chemicals Corp., 4.88%, June 1, 2024 39,447 38,960 USD 13,000 Toronto-Dominion Bank (The), 3.63%, September 15, 2031 17,965 17,665 USD 7,000 TransCanada Trust, 5.50%, September 15, 2079 9,253 9,563

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

Annual Financial Statements - December 31, 2019 – 156 – CI First Asset Global Asset Allocation ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS (cont’d) Canada (cont’d) USD 9,000 TransCanada Trust, Series ‘16-A’, 5.88%, August 15, 2076 12,622 12,596 USD 12,000 Xplornet Communications Inc., Payment-In-Kind, 9.63%, June 1, 2022 16,502 15,549 553,481 571,143 3.64% Cayman Islands USD 89,000 Global Aircraft Leasing Co., Payment-In-Kind, 6.50%, September 15, 2024 116,467 120,882 116,467 120,882 0.77% France USD 21,000 BNP Paribas SA, 3.80%, January 10, 2024 29,244 28,673 29,244 28,673 0.18% Luxembourg USD 19,000 Intelsat Jackson Holdings SA, 5.50%, August 1, 2023 22,971 21,246 22,971 21,246 0.14% Netherlands USD 6,000 AerCap Holdings NV, 5.88%, October 10, 2079 8,056 8,355 USD 5,000 Shell International Finance BV, 4.38%, May 11, 2045 8,093 7,762 16,149 16,117 0.10% Switzerland USD 8,000 Credit Suisse Group AG, Perpetual, 6.38%, August 21, 2026 10,651 11,225 10,651 11,225 0.07% U.K. USD 19,000 Barclays PLC, 4.97%, May 16, 2029 27,530 27,842 USD 25,000 HSBC Holdings PLC, 4.29%, September 12, 2026 35,794 35,130 USD 15,000 Vodafone Group PLC, 4.25%, September 17, 2050 19,657 20,420 USD 11,000 Vodafone Group PLC, 4.88%, June 19, 2049 16,673 16,634 99,654 100,026 0.64% U.S.A. USD 21,000 Air Lease Corp., 3.63%, April 1, 2027 28,977 28,307 USD 3,000 Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc, 4.90%, February 1, 2046 4,756 4,628 USD 10,000 Anheuser-Busch InBev Worldwide Inc., 4.15%, January 23, 2025 14,231 14,161 USD 10,000 AT&T Inc., 3.40%, May 15, 2025 13,765 13,610 USD 5,000 AT&T Inc., 4.35%, March 1, 2029 7,343 7,229 USD 5,000 AT&T Inc., 4.55%, March 9, 2049 7,239 7,222 USD 20,000 Bank of America Corp., Series ‘JJ’, Floating Rate, Perpetual, 5.13%, June 20, 2024 27,330 27,505 USD 30,000 Bank of America Corp., Series ‘X’, 6.25%, September 29, 2049 43,195 43,318 USD 4,000 Bristol-Myers Squibb Co., 3.25%, February 20, 2023 5,459 5,382 USD 4,000 Bristol-Myers Squibb Co., 3.45%, November 15, 2027 5,628 5,565 USD 3,000 Bristol-Myers Squibb Co., 4.55%, February 20, 2048 4,883 4,786 USD 69,000 Calfrac Holdings L.P., 8.50%, June 15, 2026 57,905 36,962 USD 83,000 California Resources Corp., 8.00%, December 15, 2022 58,325 46,615 USD 57,000 CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, February 15, 2026 79,714 78,227 USD 5,000 Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 4.80%, March 1, 2050 6,837 6,858 USD 15,000 Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 4.91%, July 23, 2025 21,710 21,465 USD 10,000 Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 5.05%, March 30, 2029 14,799 14,746 USD 4,000 Citigroup Inc., 2.70%, March 30, 2021 5,366 5,244 USD 8,000 Citigroup Inc., 4.45%, September 29, 2027 11,706 11,455 USD 46,000 Citigroup Inc., Series ‘P’, Perpetual, 5.95%, May 15, 2025 64,789 65,235 USD 35,000 Citigroup Inc., Series ‘U’, Perpetual, 5.00%, September 12, 2024 46,317 47,637 USD 14,000 Comcast Corp., 3.70%, April 15, 2024 19,702 19,402 USD 11,000 Comcast Corp., 4.60%, October 15, 2038 17,709 17,059 USD 27,000 CommScope Finance LLC, 6.00%, March 1, 2026 35,782 37,362

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

Annual Financial Statements - December 31, 2019 – 157 – CI First Asset Global Asset Allocation ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS (cont’d) U.S.A. (cont’d) USD 26,000 Dresdner Funding Trust I, 8.15%, June 30, 2031 46,834 45,539 USD 14,000 Emera U.S. Finance L.P., 3.55%, June 15, 2026 19,501 18,901 USD 32,435 Fannie Mae, 3.50%, August 1, 2049 44,049 43,324 USD 34,000 Fannie Mae, 4.00%, August 1, 2049 44,480 45,960 USD 32,313 Fannie Mae, 3.50%, September 1, 2049 43,390 43,174 USD 34,000 Fannie Mae, 3.50%, October 1, 2049 45,213 45,454 USD 5,000 Florida Power & Light Co., 3.15%, October 1, 2049 6,586 6,586 USD 52,000 Fortress Transportation and Infrastructure Investors LLC, 6.50%, October 1, 2025 71,337 71,469 USD 33,000 Freddie Mac, 3.50%, January 1, 2050 44,761 44,170 USD 12,000 General Electric Capital Corp., Series ‘A’, Callable, 6.75%, March 15, 2032 20,504 20,034 USD 10,000 General Motors Financial Co. Inc., 3.45%, January 14, 2022 13,395 13,280 USD 14,000 General Motors Financial Co. Inc., 4.20%, November 6, 2021 19,259 18,854 USD 2,000 Genworth Financial Inc., 7.20%, February 15, 2021 2,712 2,683 USD 47,000 Genworth Holdings Inc., 4.90%, August 15, 2023 59,784 60,599 USD 13,000 Glencore Funding LLC, 4.13%, May 30, 2023 18,163 17,603 USD 7,000 HCA Inc., 4.13%, June 15, 2029 9,933 9,664 USD 13,000 HCA Inc., 5.25%, June 15, 2049 19,479 18,930 USD 14,000 HCA Inc., 5.50%, June 15, 2047 21,350 20,929 USD 20,000 HCA Inc., 5.88%, February 15, 2026 29,768 29,580 USD 4,000 Hughes Satellite Systems Corp., 5.25%, August 1, 2026 5,601 5,715 USD 11,000 iStar Inc., 4.25%, August 1, 2025 14,586 14,476 USD 10,000 JPMorgan Chase & Co., 3.90%, July 15, 2025 14,399 14,035 USD 12,000 Kimco Realty Corp., 3.20%, May 1, 2021 16,159 15,806 USD 17,000 Kinder Morgan Energy Partners L.P., 5.40%, September 1, 2044 26,331 25,474 USD 8,000 Lowe’s Cos. Inc., 3.65%, April 5, 2029 11,453 11,120 USD 9,000 Lowe’s Cos. Inc., 4.55%, April 5, 2049 13,792 13,821 USD 8,000 McDonald’s Corp., 2.63%, September 1, 2029 10,662 10,425 USD 36,000 MGM Growth Properties Operating Partnership L.P / MGP Finance Co-Issuer Inc, 4.50%, January 15, 2028 48,249 48,868 USD 10,000 Microsoft Corp., 3.30%, February 6, 2027 14,108 13,891 USD 7,000 Morgan Stanley, 2.50%, April 21, 2021 9,368 9,161 USD 81,000 MPH Acquisition Holdings LLC, 7.13%, June 1, 2024 92,245 102,026 USD 1,000 National CineMedia LLC, 5.88%, April 15, 2028 1,331 1,383 USD 56,000 Nationstar Mortgage Holdings Inc., 8.13%, July 15, 2023 76,638 77,126 USD 38,699 Northern Oil and Gas Inc., Payment-In-Kind, 8.50%, May 15, 2023 52,961 52,137 USD 5,000 Ortho-Clinical Diagnostics Inc. / Ortho-Clinical Diagnostics SA, 6.63%, May 15, 2022 6,410 6,468 USD 44,000 Panther BF Aggregator 2 L.P. / Panther Finance Co Inc, 6.25%, May 15, 2026 60,069 61,671 USD 10,000 Penske Truck Leasing Co. L.P. / PTL Finance Corp.,Callable, 3.95%, March 10, 2025 14,106 13,805 USD 21,000 Sprint Corp., 7.13%, June 15, 2024 30,347 29,474 USD 8,000 Starbucks Corp., 3.80%, August 15, 2025 11,328 11,203 USD 20,000 Sunoco Logistics Partners Operations L.P., 5.30%, April 1, 2044 28,251 27,685 USD 17,000 Targa Resources Partners L.P. / Targa Resources Partners Finance Corp, 5.50%, March 1, 2030 22,526 22,710 USD 10,000 Transcontinental Gas Pipe Line Co. LLC, 4.60%, March 15, 2048 14,778 14,262 USD 24,000 U.S. Bancorp, 3.38%, February 5, 2024 33,711 32,747 USD 15,000 U.S. Bank National Association (Cincinnati OH), 1.95%, January 9, 2023 19,752 19,470 USD 19,000 UnitedHealth Group Inc., 3.75%, July 15, 2025 27,345 26,673 USD 6,000 UnitedHealth Group Inc., 4.75%, July 15, 2045 9,890 9,607 USD 10,000 Verizon Communications Inc., 3.38%, February 15, 2025 14,074 13,764 USD 6,000 Verizon Communications Inc., 4.02%, December 3, 2029 8,943 8,692 USD 6,000 Verizon Communications Inc., 4.52%, September 15, 2048 9,536 9,364 USD 55,000 Vertiv Intermediate Holding Corp., 12.00%, February 15, 2022 24 74,299 USD 6,000 Volkswagen Group of America Finance LLC, 4.25%, November 13, 2023 8,464 8,308

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

Annual Financial Statements - December 31, 2019 – 158 – CI First Asset Global Asset Allocation ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS (cont’d) U.S.A. (cont’d) USD 7,000 Wells Fargo & Co., 4.30%, July 22, 2027 10,260 9,970 USD 9,000 Wells Fargo Bank National Association, 3.55%, August 14, 2023 12,622 12,256 1,934,284 1,974,605 12.58% U.S. Federal Bonds & Guaranteed USD 111,000 United States Treasury Bond, 1.25%, August 31, 2024 144,274 141,411 USD 569,000 United States Treasury Bond, 1.50%, September 30, 2021 756,146 737,865 USD 37,000 United States Treasury Bond, 1.50%, November 30, 2021 48,614 47,989 USD 347,000 United States Treasury Bond, 1.50%, September 30, 2024 465,089 446,927 USD 7,400 United States Treasury Bond, 1.50%, October 31, 2024 9,690 9,531 USD 96,000 United States Treasury Bond, 1.50%, November 30, 2024 125,216 123,672 USD 111,000 United States Treasury Bond, 1.63%, November 15, 2022 146,031 144,266 USD 36,000 United States Treasury Bond, 1.63%, September 30, 2026 48,205 46,200 USD 48,000 United States Treasury Bond, 1.63%, October 31, 2026 63,119 61,565 USD 185,000 United States Treasury Bond, 1.63%, November 30, 2026 240,907 237,234 USD 118,000 United States Treasury Bond, 1.63%, August 15, 2029 158,323 149,422 USD 170,500 United States Treasury Bond, 1.75%, November 15, 2029 222,094 218,268 USD 68,000 United States Treasury Bond, 2.25%, August 15, 2049 90,033 85,930 USD 300,000 United States Treasury Bond, 2.38%, November 15, 2049 400,806 389,474 USD 57,000 United States Treasury Bond, 2.88%, May 15, 2049 88,667 81,827 3,007,214 2,921,581 18.61% Total Bonds 5,790,115 5,765,498 36.73% Adjustment for transaction costs (3,556) Total Investments 13,765,555 14,340,333 91.34% Total unrealized gain on forward foreign currency contract(s) 35,858 0.23% Total unrealized loss on forward foreign currency contract(s) (1,106) (0.01)% Other Net Assets (Liabilities) 1,324,992 8.44% Net Assets Attributable to Holders of Redeemable Units 15,700,077 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) March 11, 2020 HKD 483,000 USD 61,664 0.13 Citibank N.A., New York A-1 370 March 11, 2020 HKD 483,000 USD 61,664 0.13 Citibank N.A., New York A-1 371 March 11, 2020 USD 5,000 HKD 39,000 7.80 Canadian Imperial Bank of Commerce A-1 (3) March 11, 2020 USD 172,172 HKD 1,349,000 7.84 Citibank N.A., New York A-1 (1,103) March 16, 2020 CAD 672,076 USD 505,598 1.33 Bank of Montreal A-1 15,703 March 16, 2020 CAD 782,004 USD 587,415 1.33 Royal Bank of Canada A-1+ 19,414 34,752

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 159 – CI First Asset Global Asset Allocation ETF Fund Specific Notes to Financial Statements

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 December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 36 (1) - 35 Derivative assets - Swaps and swaptions - - - - Total 36 (1) - 35 Derivative liabilities - Foreign currency forward contracts (1) 1 - - Derivative liabilities - Swaps and swaptions - - - - Total (1) 1 - -

Interest in Unconsolidated Structured Entities (Note 2)

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

Annual Financial Statements - December 31, 2019 – 160 – CI First Asset Global Asset Allocation ETF Fund Specific Notes to Financial Statements

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

2019 Brokerage commissions 19 Soft dollar commissions† 5

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

Common Units 2019 Number of redeemable units at the beginning of period - Redeemable units issued for cash - Redeemable units issued for reinvested distributions - Redeemable units redeemed (500,000) Redeemable units issued due to acquisition of assets from terminated funds 1,252,392 Number of redeemable units at the end of period 752,392

Annual Financial Statements - December 31, 2019 – 161 – CI First Asset Global Asset Allocation ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600

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

2019 Loaned - Collateral (non-cash) -

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

2019 Gross securities lending revenue - Charges - Securities lending revenue - % of gross securities lending revenue -

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 162 – CI First Asset Global Asset Allocation ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the table below.

as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 18.7 AA/Aa/A+ 1.6 A 1.6 BBB/Baa/B++ 4.4 BB/Ba/B+ 4.6 B 5.0 CCC/Caa/C++ 0.8 Total 36.7

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

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2019 Benchmark $ $ MSCI All Country World Index (C$) (60%), JP Morgan Global Government Bond Total Return Index (C$) (25%), and ICE BoA Merrill Lynch U.S. High Yield (US$) (15%) 255,465

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

Annual Financial Statements - December 31, 2019 – 163 – CI First Asset Global Asset Allocation ETF Fund Specific Notes to Financial Statements

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 11,916 (1,349) 10,567 67.3 Euro 1,082 - 1,082 6.9 British Pound 665 - 665 4.2 Swiss Franc 432 - 432 2.8 Japanese Yen 360 - 360 2.3 Australian Dollar 202 - 202 1.3 Czech Koruna 139 - 139 0.9 Mexican Peso 127 - 127 0.8 Hong Kong Dollar 94 (70) 24 0.2 Total 15,017 (1,419) 13,598 86.7

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $1,360,000. In practice, the actual results may differ from this analysis and the difference may be material.

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure - 1,138 1,520 3,107 5,765

As at December 31, 2019, had the prevailing interest rates increased or decreased by 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 $113,000. 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 December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 8,091 484 - 8,575 Bonds - 5,750 - 5,750 Convertible debentures - 15 - 15 Derivatives - 36 - 36 Total 8,091 6,285 - 14,376

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

Annual Financial Statements - December 31, 2019 – 164 – CI First Asset Global Asset Allocation ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

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

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

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

Annual Financial Statements - December 31, 2019 – 165 – CI First Asset Global Financial Sector ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 337,999 139,878 20.01 16.77 16,891,952 8,341,952 Current assets Investments 320,003 139,562 Cash 15,880 1,232 Unrealized gain on futures and foreign currency forward contracts 595 672 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 240 94 Collateral on deposit for short sale - - Dividends receivable 217 63 Interest receivable - - Receivable for investments sold 2,088 380 Receivable for unit subscriptions - - 339,023 142,003 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 138 1,455 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 340 406 Payable for unit redemptions - - Distributions payable to holders of redeemable units - 106 Management fees payable 243 100 Accounts payable and accrued liabilities 303 58 1,024 2,125 Net assets attributable to holders of redeemable units 337,999 139,878

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

Annual Financial Statements - December 31, 2019 – 166 – CIG - 580530157 CI First Asset Global Financial Sector ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 43,299 (25,825) 3.34 (5.71) 12,967,637 4,520,308 Net gain (loss) on investments and derivatives Dividends 10,447 2,476 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 5,669 878 Change in unrealized appreciation (depreciation) in value of investments and derivatives 30,743 (27,743) Total net gain (loss) on investments and derivatives 46,859 (24,389) Other income Foreign exchange gain (loss) on cash (702) (410) Securities lending revenue (Note 6) 11 26 Fees rebate 2,025 658 Miscellaneous foreign income - - Other income 10 11 Total other income 1,344 285 Total income 48,203 (24,104) Expenses Custody fees 84 35 Unitholders reporting costs 72 58 Management fees (Note 5) 2,086 755 Audit fees 4 15 Legal fees 7 - Independent review committee fees 3 3 Commissions and other portfolio transaction costs 1,327 531 Securities borrowing fees (Note 2) - - Interest expense 12 3 Withholding taxes 1,285 286 Harmonized sales tax 24 35 Other expenses - - Total expenses 4,904 1,721 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 43,299 (25,825)

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

Annual Financial Statements - December 31, 2019 – 167 – CI First Asset Global Financial Sector ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 139,878 62,854 Increase (decrease) in net assets attributable to holders of redeemable units 43,299 (25,825) Distributions to holders of redeemable units From net investment income (7,229) (1,235) From net realized gains (304) (1,573) Return of capital (175) - Total distributions to holders of redeemable units (7,708) (2,808)

Redeemable unit transactions Proceeds from redeemable units issued 163,182 111,853 Reinvestment of distributions to holders of redeemable units 304 - Redemption of redeemable units (956) (6,196) Net increase (decrease) from redeemable unit transactions 162,530 105,657 Net increase (decrease) in net assets attributable to holders of redeemable units 198,121 77,024 Net assets attributable to holders of redeemable units at the end of year 337,999 139,878

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

Annual Financial Statements - December 31, 2019 – 168 – CI First Asset Global Financial Sector ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 43,299 (25,825) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (5,669) (878) Unrealized foreign exchange (gain) loss on cash 25 (8) Commissions 1,289 471 Change in unrealized (appreciation) depreciation in value of investments and derivatives (30,743) 27,743 Proceeds from sale and maturity of investments and derivatives 354,345 137,376 Purchase of investments and derivatives (502,677) (241,740) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (154) (30) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 143 89 Amortization interest earned - - Change in other accounts receivable and payable 99 (124) Net cash from (used in) operating activities (140,043) (102,926)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (7,510) (2,900) Proceeds from issuance of redeemable units 163,182 111,854 Amounts paid on redemption of redeemable units (956) (6,196) Net cash from (used in) financing activities 154,716 102,758

Unrealized foreign exchange gain (loss) on cash (25) 8 Net increase (decrease) in cash 14,673 (168) Cash (bank overdraft), beginning of year 1,232 1,392 Cash (bank overdraft), end of year 15,880 1,232

Supplementary Information: Dividends received, net of withholding tax* 9,008 2,160 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (12) (3) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 169 – CI First Asset Global Financial Sector ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Austria EUR 271,200 BAWAG Group AG 14,668,250 16,038,033 14,668,250 16,038,033 4.74% Belgium EUR 67,300 KBC Ancora 4,160,019 4,387,737 4,160,019 4,387,737 1.30% Brazil BRL 498,700 Banco do Brasil SA 7,401,471 8,503,130 7,401,471 8,503,130 2.52% Canada 15,000 Great-West Lifeco Inc., 5.15%, Preferred, Series ‘Q’, Perpetual 346,200 364,200 10,000 Manulife Financial Corp., 4.65%, Preferred, Class’A’ , Series ‘2’, Perpetual 216,700 222,000 30,985 Power Financial Corp. 1,085,711 1,082,616 10,000 Sun Life Financial Inc., 4.75%, Preferred, Class ‘A’, Series ‘1’, Perpetual 216,300 227,400 10,000 Sun Life Financial Inc., 4.80%, Preferred, Class ‘A’, Series ‘2’, Perpetual 224,300 231,400 2,089,211 2,127,616 0.63% China HKD 433,300 Ping An Insurance (Group) Co. of China Ltd. 5,978,631 6,650,301 5,978,631 6,650,301 1.97% Czech Republic CZK 3,585,798 Moneta Money Bank AS 15,842,688 17,458,662 15,842,688 17,458,662 5.17% Denmark DKK 209,000 Danske Bank AS 5,281,393 4,391,662 5,281,393 4,391,662 1.30% Hong Kong HKD 494,291 AIA Group Ltd. 6,252,440 6,737,969 6,252,440 6,737,969 1.99% India INR 227,200 Shriram Transport Finance Co. Ltd. 4,640,545 4,840,561 4,640,545 4,840,561 1.43% Indonesia IDR 5,179,600 PT Bank Mandiri (Persero) TBK 3,567,011 3,718,481 3,567,011 3,718,481 1.10% Ireland EUR 1,728,288 Bank of Ireland Group PLC 9,545,523 12,289,927 9,545,523 12,289,927 3.64% Italy EUR 1,019,519 Anima Holding SPA 5,661,088 6,834,037 5,661,088 6,834,037 2.02% Netherlands EUR 502,700 ABN AMRO Bank NV 11,892,369 11,876,682 EUR 330,900 ING Groep NV 4,953,066 5,151,440 EUR 783,600 NIBC Holding NV 9,146,897 8,583,169 25,992,332 25,611,291 7.58% Peru USD 181,843 Intercorp Financial Services 9,714,978 9,752,261 9,714,978 9,752,261 2.89% Russia USD 417,900 Sberbank of Russia PJSC, ADR 7,392,941 8,899,690 7,392,941 8,899,690 2.63% Spain EUR 2,221,800 Banco Santander SA 12,999,376 12,071,165 12,999,376 12,071,165 3.57%

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

Annual Financial Statements - December 31, 2019 – 170 – CI First Asset Global Financial Sector ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.K. GBP 1,858,660 M&G PLC 6,987,971 7,583,297 GBP 326,600 Prudential PLC 8,579,841 8,140,067 15,567,812 15,723,364 4.65% U.S.A. USD 326,800 Air Lease Corp. 17,108,384 20,165,879 USD 49,400 Assurant Inc. 8,256,521 8,408,568 USD 407,024 AXA Equitable Holdings Inc. 11,209,755 13,097,246 USD 398,511 Brightsphere Investment Group Inc. 6,299,932 5,288,712 GBP 1,325,939 Burford Capital Ltd. 24,607,503 16,238,540 USD 214,499 East West Bancorp Inc. 13,423,473 13,564,785 USD 168,300 Morgan Stanley 9,551,130 11,172,070 USD 2,324,700 SLM Corp. 29,694,187 26,896,965 USD 39,748 SVB Financial Group 11,384,250 12,957,371 USD 421,650 Synchrony Financial 17,483,380 19,716,685 USD 80,000 Synchrony Financial, 5.63%, Preferred, Series ‘A’, Perpetual 2,636,400 2,654,236 USD 15,600 Visa Inc., Class ‘A’ 3,764,641 3,806,362 155,419,556 153,967,419 45.55% Total Equities 312,175,265 320,003,306 94.68% Adjustment for transaction costs (554,588) Total Investments 311,620,677 320,003,306 94.68% Total unrealized gain on forward foreign currency contract(s) 595,072 0.18% Total unrealized loss on forward foreign currency contract(s) (137,615) (0.04)% Other Net Assets (Liabilities) 17,538,217 5.18% Net Assets Attributable to Holders of Redeemable Units 337,998,980 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) January 22, 2020 CAD 4,379,133 USD 3,314,261 1.32 Canadian Imperial Bank of Commerce A-1 75,840 January 22, 2020 CAD 1,315,849 USD 997,687 1.32 HSBC Bank, Toronto A-1+ 20,436 January 22, 2020 CAD 4,539,089 USD 3,434,242 1.32 Royal Bank of Canada A-1+ 80,011 January 22, 2020 CAD 2,920,344 USD 2,196,317 1.33 Toronto-Dominion Bank (The) A-1+ 68,609 January 22, 2020 USD 6,080,269 CAD 8,032,339 1.32 Canadian Imperial Bank of Commerce A-1 (137,615) March 12, 2020 CAD 784,372 HKD 4,666,000 0.17 HSBC Bank, Toronto A-1+ 7,444 March 12, 2020 CAD 9,524,205 HKD 56,229,000 0.17 Royal Bank of Canada A-1+ 161,602 March 16, 2020 CAD 3,466,529 USD 2,607,844 1.33 Bank of Montreal A-1 80,994 March 16, 2020 CAD 4,033,530 USD 3,029,854 1.33 Royal Bank of Canada A-1+ 100,136 457,457

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 171 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 595 (76) - 519 Derivative assets - Swaps and swaptions - - - - Total 595 (76) - 519 Derivative liabilities - Foreign currency forward contracts (138) 76 - (62) Derivative liabilities - Swaps and swaptions - - - - Total (138) 76 - (62) as at December 31, 2018 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 672 (396) - 276 Derivative assets - Swaps and swaptions - - - - Total 672 (396) - 276 Derivative liabilities - Foreign currency forward contracts (1,455) 396 - (1,059) Derivative liabilities - Swaps and swaptions - - - - Total (1,455) 396 - (1,059)

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

Annual Financial Statements - December 31, 2019 – 172 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 1,289 471 Soft dollar commissions† 331 136

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 8,341,952 2,991,952 Redeemable units issued for cash 8,600,000 5,650,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (50,000) (300,000) Number of redeemable units at the end of year 16,891,952 8,341,952

Annual Financial Statements - December 31, 2019 – 173 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.850

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

2019 2018 Loaned 10,975 4,912 Collateral (non-cash) 11,570 5,214

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

2019 2018 Gross securities lending revenue 19 45 Charges (8) (19) Securities lending revenue 11 26 % of gross securities lending revenue 60.0 58.6

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

2019 Capital loss carried forward: 9 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 174 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Belgium 1.29 Brazil 1.24 Canada 1.98 China 3.40 Czech Republic 2.59 Denmark 3.36 France 9.39 Georgia 1.17 Indonesia 1.51 Italy 2.27 Netherlands 6.33 Peru 2.06 Russia 1.80 Spain 3.35 Switzerland 5.32 U.K. 4.56 U.S.A. 48.15 Total unrealized gain on forward foreign currency contracts 0.48 Total unrealized loss on forward foreign currency contracts (1.04) Other Net Assets (Liabilities) 0.79

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in global equities and therefore was sensitive to changes in general economic conditions across the world.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ MSCI ACWI Financials Total Return Index 27,158,204 11,614,746

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

Annual Financial Statements - December 31, 2019 – 175 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 158,196 (12,334) 145,862 43.2 Euro 77,999 - 77,999 23.1 British Pound 31,633 - 31,633 9.4 Czech Koruna 17,459 - 17,459 5.2 Brazilian Real 8,532 - 8,532 2.5 Indian Rupee 4,840 - 4,840 1.4 Danish Krone 4,462 - 4,462 1.3 Indonesian Rupiah 3,718 - 3,718 1.1 Hong Kong Dollar 13,388 (10,139) 3,249 1.0 Swedish Krona 45 - 45 - Norwegian Krone 1 - 1 - Total 320,273 (22,473) 297,800 88.2

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $29,780,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Brazilian real 1,729,275 5,373 - - 1,734,648 86,732 British pound 3,868,383 2 - - 3,868,385 193,419 Czech koruna 3,621,678 (63) - - 3,621,615 181,081 Danish krone 4,698,768 (32) 14,095 - 4,712,831 235,642 Euro 31,663,199 1,017 29,511 - 31,693,727 1,584,686 Hong Kong dollar 4,756,045 - - - 4,756,045 237,802 Indonesian rupiah 2,107,863 - - - 2,107,863 105,393 Norwegian krone - - 829 - 829 41 Swedish krona - 50,082 - - 50,082 2,504 Swiss franc 7,444,991 (46) - - 7,444,945 372,247 United States dollar 76,897,975 231,880 (6,849) (14,586,822) 62,536,184 3,126,809 Total 136,788,177 288,213 37,586 (14,586,822) 122,527,154 6,126,356 As a % of Net Assets 97.8 0.2 - (10.4) 87.6 4.4

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

Annual Financial Statements - December 31, 2019 – 176 – CI First Asset Global Financial Sector ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 311,103 8,900 - 320,003 Derivatives - 595 - 595 Total 311,103 9,495 - 320,598

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (138) - (138) Total - (138) - (138)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 139,561,960 - - 139,561,960 Derivatives - 671,681 - 671,681 Total 139,561,960 671,681 - 140,233,641

Financial liabilities Derivatives - 1,454,786 - 1,454,786 Total - 1,454,786 - 1,454,786

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 177 – CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 54,991 14,906 12.68 11.35 4,338,041 1,313,041 Current assets Investments 55,657 15,031 Cash 116 52 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 12 - Collateral on deposit for short sale - - Dividends receivable 16 12 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 55,801 15,095 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options 747 176 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 4 - Distributions payable to holders of redeemable units - - Management fees payable 29 7 Accounts payable and accrued liabilities 30 6 810 189 Net assets attributable to holders of redeemable units 54,991 14,906

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

Annual Financial Statements - December 31, 2019 – 178 – CIG - 580530307 CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 5,675 (2,990) 2.45 (2.70) 2,320,644 1,108,109 Net gain (loss) on investments and derivatives Dividends 282 188 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (761) (1,196) Change in unrealized appreciation (depreciation) in value of investments and derivatives 6,494 (1,783) Total net gain (loss) on investments and derivatives 6,015 (2,791) Other income Foreign exchange gain (loss) on cash (7) 1 Securities lending revenue (Note 6) 1 1 Fees rebate 45 - Miscellaneous foreign income - - Other income - - Total other income 39 2 Total income 6,054 (2,789) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 180 94 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 173 95 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes 7 - Harmonized sales tax 19 12 Other expenses - - Total expenses 379 201 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 5,675 (2,990)

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

Annual Financial Statements - December 31, 2019 – 179 – CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 14,906 11,761 Increase (decrease) in net assets attributable to holders of redeemable units 5,675 (2,990) Distributions to holders of redeemable units From net investment income (16) - From net realized gains - - Return of capital (2,348) (1,022) Total distributions to holders of redeemable units (2,364) (1,022)

Redeemable unit transactions Proceeds from redeemable units issued 37,379 9,542 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (605) (2,385) Net increase (decrease) from redeemable unit transactions 36,774 7,157 Net increase (decrease) in net assets attributable to holders of redeemable units 40,085 3,145 Net assets attributable to holders of redeemable units at the end of year 54,991 14,906

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

Annual Financial Statements - December 31, 2019 – 180 – CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 5,675 (2,990) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 761 1,196 Unrealized foreign exchange (gain) loss on cash 1 (1) Commissions 139 67 Change in unrealized (appreciation) depreciation in value of investments and derivatives (6,494) 1,783 Proceeds from sale and maturity of investments and derivatives 29,400 11,055 Purchase of investments and derivatives (27,185) (10,136) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (4) (8) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 22 2 Amortization interest earned - - Change in other accounts receivable and payable 12 (7) Net cash from (used in) operating activities 2,327 961

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,364) (1,170) Proceeds from issuance of redeemable units 94 20 Amounts paid on redemption of redeemable units 8 2 Net cash from (used in) financing activities (2,262) (1,148)

Unrealized foreign exchange gain (loss) on cash (1) 1 Net increase (decrease) in cash 65 (187) Cash (bank overdraft), beginning of year 52 238 Cash (bank overdraft), end of year 116 52

Supplementary Information: Dividends received, net of withholding tax* 271 179 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 181 – CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES 45,405 Agnico Eagle Mines Ltd. 3,268,070 3,631,492 USD 131,243 AngloGold Ashanti Ltd., ADR 3,623,855 3,807,308 738,748 B2Gold Corp. 3,419,871 3,848,877 151,151 Barrick Gold Corp. 3,403,783 3,645,762 USD 181,308 Compania de Minas Buenaventura SA, ADR, Series ‘B’ 3,487,270 3,555,106 145,463 Detour Gold Corp. 2,771,066 3,656,940 27,180 Franco-Nevada Corp. 3,232,884 3,644,566 USD 434,635 Gold Fields Ltd., ADR 3,128,589 3,725,009 614,752 Kinross Gold Corp. 3,623,986 3,786,872 64,387 Kirkland Lake Gold Ltd. 3,368,508 3,685,512 USD 64,272 Newmont Goldcorp Corp. 3,318,285 3,626,355 122,949 Pan American Silver Corp. 2,817,699 3,781,911 USD 23,130 Royal Gold Inc. 3,816,914 3,671,835 95,905 Wheaton Precious Metals Corp. 3,328,525 3,705,769 755,592 Yamana Gold Inc. 3,288,036 3,883,743 Total Equities 49,897,341 55,657,057 101.21% Adjustment for transaction costs (80,702) Total Investments 49,816,639 55,657,057 101.21% Total call option position(s) (747,356) (1.36)% Other Net Assets (Liabilities) 81,420 0.15% Net Assets Attributable to Holders of Redeemable Units 54,991,121 100.00%

CALL OPTION(S)

Number of Strike Proceeds Fair Value contract(s) Underlying Security - 100 shares per contract Price Expiry Date $ $ (111) Agnico Eagle Mines Ltd. 78.00 January 18, 2020 (19,869) (36,630) (322) AngloGold Ashanti Ltd., ADR 20.00 January 18, 2020 (36,431) (104,533) (1814) B2Gold Corp. 5.00 January 18, 2020 (12,698) (49,885) (371) Barrick Gold Corp. 23.00 January 18, 2020 (22,631) (46,746) (445) Compania de Minas Buenaventura SA, ADR, Series ‘B’ 15.00 January 18, 2020 (15,222) (27,448) (357) Detour Gold Corp. 24.00 January 18, 2020 (28,917) (56,763) (66) Franco-Nevada Corp. 130.00 January 18, 2020 (13,398) (35,145) (1510) Kinross Gold Corp. 6.00 January 18, 2020 (16,610) (47,565) (158) Kirkland Lake Gold Ltd. 54.00 January 18, 2020 (27,334) (59,645) (157) Newmont Goldcorp Corp. 41.12 January 18, 2020 (16,318) (51,478) (302) Pan American Silver Corp. 29.00 January 18, 2020 (17,214) (61,608) (56) Royal Gold Inc. 115.00 January 18, 2020 (19,745) (55,266) (235) Wheaton Precious Metals Corp. 36.00 January 18, 2020 (23,030) (66,388) (1856) Yamana Gold Inc. 5.00 January 18, 2020 (11,136) (48,256) Call Option Position(s) (280,553) (747,356)

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

Annual Financial Statements - December 31, 2019 – 182 – CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 139 67 Soft dollar commissions† 1 -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 1,313,041 788,041 Redeemable units issued for cash 3,075,000 700,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (50,000) (175,000) Number of redeemable units at the end of year 4,338,041 1,313,041

Annual Financial Statements - December 31, 2019 – 183 – CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.650

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

2019 2018 Loaned 5,399 539 Collateral (non-cash) 5,672 567

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

2019 2018 Gross securities lending revenue 2 1 Charges (1) - Securities lending revenue 1 1 % of gross securities lending revenue 60.1 60.1

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

2019 Capital loss carried forward: 5,069 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 184 – CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities 100.84 Call option positions (1.18) Other Net Assets (Liabilities) 0.34

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2019 Benchmark $ $ S&P/TSX Global Gold Total Return Index 2,192,036

December 31, 2019 December 31, 2018 Benchmark $ $ S&P/TSX Capped Materials Total Return Index 1,156,069

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 18,398 (239) 18,159 33.0 Total 18,398 (239) 18,159 33.0

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $1,816,000. In practice, the actual results may differ from this analysis and the difference may be material.

As at December 31, 2018, the Fund did not have significant exposure to currency risk as substantially all of its investments were denominated in Canadian dollars, the functional currency of the Fund.

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

Annual Financial Statements - December 31, 2019 – 185 – CI First Asset Gold+ Giants Covered Call ETF (formerly CI First Asset Can-Materials Covered Call ETF) Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 44,570 11,087 - 55,657 Total 44,570 11,087 - 55,657

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives (747) - - (747) Total (747) - - (747)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 15,031,087 - - 15,031,087 Total 15,031,087 - - 15,031,087

Financial liabilities Derivatives - 176,139 - 176,139 Total - 176,139 - 176,139

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 186 – CI First Asset Health Care Giants Covered Call ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 197,933 132,167 11.09 10.09 17,850,000 13,100,000 Current assets Unhedged Investments 197,269 138,934 Common Units 1,687 1,066 11.25 10.66 150,000 100,000 Cash 324 523 Unrealized gain on futures and foreign currency forward contracts 2,358 208 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 102 63 Collateral on deposit for short sale - - Dividends receivable 200 119 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 200,253 139,847 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 5,286 Swaps, swaptions and options 395 1,180 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - 71 Management fees payable 109 69 Accounts payable and accrued liabilities 129 8 633 6,614 Net assets attributable to holders of redeemable units 199,620 133,233

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

Annual Financial Statements - December 31, 2019 – 187 – CIG - 580530487 CI First Asset Health Care Giants Covered Call ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 28,088 (3,898) 1.71 (0.89) 16,436,438 4,363,793 Net gain (loss) on investments and derivatives Unhedged Dividends 3,404 536 Common Units 185 107 1.27 0.56 145,890 190,394 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (3,504) 1,032 Change in unrealized appreciation (depreciation) in value of investments and derivatives 29,050 (5,218) Total net gain (loss) on investments and derivatives 28,950 (3,650) Other income Foreign exchange gain (loss) on cash 38 1 Securities lending revenue (Note 6) 12 - Fees rebate 1,039 153 Miscellaneous foreign income - - Other income - - Total other income 1,089 154 Total income 30,039 (3,496) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 1,112 174 Audit fees - - Legal fees - - Independent review committee fees 3 1 Commissions and other portfolio transaction costs 166 44 Securities borrowing fees (Note 2) - - Interest expense 3 1 Withholding taxes 472 70 Harmonized sales tax 10 5 Other expenses - - Total expenses 1,766 295 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 28,273 (3,791)

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

Annual Financial Statements - December 31, 2019 – 188 – CI First Asset Health Care Giants Covered Call ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 132,167 - 1,066 - 133,233 - Increase (decrease) in net assets attributable to holders of redeemable units 28,088 (3,898) 185 107 28,273 (3,791) Distributions to holders of redeemable units From net investment income (2,665) (228) (22) - (2,687) (228) From net realized gains - (818) - (41) - (859) Return of capital (8,311) (720) (69) (5) (8,380) (725) Total distributions to holders of redeemable units (10,976) (1,766) (91) (46) (11,067) (1,812)

Redeemable unit transactions Proceeds from redeemable units issued 50,695 142,694 527 3,118 51,222 145,812 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (2,041) (4,863) - (2,113) (2,041) (6,976) Net increase (decrease) from redeemable unit transactions 48,654 137,831 527 1,005 49,181 138,836 Net increase (decrease) in net assets attributable to holders of redeemable units 65,766 132,167 621 1,066 66,387 133,233 Net assets attributable to holders of redeemable units at the end of year 197,933 132,167 1,687 1,066 199,620 133,233

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

Annual Financial Statements - December 31, 2019 – 189 – CI First Asset Health Care Giants Covered Call ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 28,273 (3,791) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 3,504 (1,032) Unrealized foreign exchange (gain) loss on cash 5 (1) Commissions 130 24 Change in unrealized (appreciation) depreciation in value of investments and derivatives (29,050) 5,218 Proceeds from sale and maturity of investments and derivatives 99,509 14,579 Purchase of investments and derivatives (91,455) (13,751) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (81) (119) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 40 67 Amortization interest earned - - Change in other accounts receivable and payable 82 (55) Net cash from (used in) operating activities 10,957 1,139

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (11,138) (1,740) Proceeds from issuance of redeemable units 14 1,102 Amounts paid on redemption of redeemable units (27) 21 Net cash from (used in) financing activities (11,151) (617)

Unrealized foreign exchange gain (loss) on cash (5) 1 Net increase (decrease) in cash (194) 522 Cash (bank overdraft), beginning of year 523 - Cash (bank overdraft), end of year 324 523

Supplementary Information: Dividends received, net of withholding tax* 2,851 347 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (3) (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 190 – CI First Asset Health Care Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Ireland USD 66,876 Medtronic PLC 8,315,969 9,852,206 8,315,969 9,852,206 4.94% U.S.A. USD 87,662 Abbott Laboratories 8,322,274 9,887,577 USD 83,802 AbbVie Inc. 9,245,868 9,635,019 USD 31,422 Amgen Inc. 8,377,416 9,836,388 USD 25,330 Anthem Inc. 9,082,923 9,934,453 USD 28,077 Becton, Dickinson & Co. 8,874,116 9,915,860 USD 120,409 Bristol-Myers Squibb Co. 8,248,472 10,036,563 USD 37,264 Cigna Corp. 9,342,944 9,895,101 USD 101,713 CVS Health Corp. 8,824,819 9,812,180 USD 50,114 Danaher Corp. 7,341,584 9,987,793 USD 57,718 Eli Lilly and Co. 8,635,199 9,850,640 USD 115,105 Gilead Sciences Inc. 10,266,196 9,712,533 USD 51,665 HCA Healthcare Inc. 10,038,641 9,916,512 USD 52,006 Johnson & Johnson 9,378,048 9,850,950 USD 83,256 Merck & Co. Inc. 8,814,117 9,832,794 USD 192,550 Pfizer Inc. 10,309,648 9,796,403 USD 36,278 Stryker Corp. 8,613,132 9,890,021 USD 23,374 Thermo Fisher Scientific Inc. 7,402,710 9,860,554 USD 25,854 UnitedHealth Group Inc. 8,967,470 9,869,706 USD 57,578 Zoetis Inc. 7,688,433 9,895,533 167,774,010 187,416,580 93.88% Total Equities 176,089,979 197,268,786 98.82% Adjustment for transaction costs (90,593) Total Investments 175,999,386 197,268,786 98.82% Total call option position(s) (395,342) (0.20)% Total unrealized gain on forward foreign currency contract(s) 2,357,652 1.18% Other Net Assets (Liabilities) 389,277 0.20% Net Assets Attributable to Holders of Redeemable Units 199,620,373 100.00%

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

Annual Financial Statements - December 31, 2019 – 191 – CI First Asset Health Care Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

CALL OPTION(S)

Number of Strike Proceeds Fair Value contract(s) Underlying Security - 100 shares per contract Price Expiry Date $ $ (219) Abbott Laboratories 87.50 January 18, 2020 (36,447) (27,301) (209) AbbVie Inc. 92.50 January 18, 2020 (23,647) (5,699) (78) Amgen Inc. 245.00 January 18, 2020 (33,021) (22,334) (63) Anthem Inc. 310.00 January 18, 2020 (30,281) (18,284) (70) Becton, Dickinson & Co. 280.00 January 18, 2020 (13,288) (7,726) (301) Bristol-Myers Squibb Co. 65.00 January 18, 2020 (20,196) (25,406) (93) Cigna Corp. 210.00 January 18, 2020 (43,534) (23,489) (254) CVS Health Corp. 75.00 January 18, 2020 (50,627) (32,983) (125) Danaher Corp. 155.00 January 18, 2020 (30,664) (28,000) (144) Eli Lilly and Co. 135.00 January 18, 2020 (23,018) (10,472) (287) Gilead Sciences Inc. 67.50 January 18, 2020 (41,724) (20,870) (129) HCA Healthcare Inc. 150.00 January 18, 2020 (28,936) (22,195) (130) Johnson & Johnson 150.00 January 18, 2020 (12,827) (5,233) (167) Medtronic PLC 115.00 January 18, 2020 (26,255) (18,650) (208) Merck & Co. Inc. 92.50 January 18, 2020 (28,049) (13,910) (481) Pfizer Inc. 40.00 January 18, 2020 (25,945) (14,366) (90) Stryker Corp. 210.00 January 18, 2020 (40,081) (34,477) (58) Thermo Fisher Scientific Inc. 330.00 January 18, 2020 (29,587) (18,452) (64) UnitedHealth Group Inc. 300.00 January 18, 2020 (39,869) (29,711) (143) Zoetis Inc. 135.00 January 18, 2020 (21,729) (15,784) Call Option Position(s) (599,725) (395,342)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) March 20, 2020 CAD 195,860,506 USD 149,055,000 1.31 Bank of Montreal A-1 2,357,652 2,357,652

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 192 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 2,358 - - 2,358 Derivative assets - Swaps and swaptions - - - - Total 2,358 - - 2,358 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 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 208 (208) - - Derivative assets - Swaps and swaptions - - - - Total 208 (208) - - Derivative liabilities - Foreign currency forward contracts (5,286) 208 - (5,078) Derivative liabilities - Swaps and swaptions - - - - Total (5,286) 208 - (5,078)

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

Annual Financial Statements - December 31, 2019 – 193 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 130 24 Soft dollar commissions† 1 -

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 13,100,000 - 100,000 - Redeemable units issued for cash 4,950,000 13,550,001 50,000 300,001 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (200,000) (450,001) - (200,001) Number of redeemable units at the end of year 17,850,000 13,100,000 150,000 100,000

Annual Financial Statements - December 31, 2019 – 194 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

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

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

2019 2018 Loaned - - Collateral (non-cash) - -

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

2019 2018 Gross securities lending revenue 20 - Charges (8) - Securities lending revenue 12 - % of gross securities lending revenue 60.0 -

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

2019 Capital loss carried forward: 2,863 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 195 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Ireland 10.23 U.S.A. 94.05 Call option positions (0.89) Total unrealized gain on forward foreign currency contracts 0.16 Total unrealized loss on forward foreign currency contracts (3.97) Other Net Assets (Liabilities) 0.42

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ S&P 500 Health Care Total Return Index 8,738,656 4,477,038

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 195,879 (193,895) 1,984 1.0 Total 195,879 (193,895) 1,984 1.0

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $198,000. 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.

Annual Financial Statements - December 31, 2019 – 196 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2019~ (cont’d)

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 1,670 (3) 1,667 98.8 Total 1,670 (3) 1,667 98.8

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $167,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 137,821,893 98,395 (1,053,199) (135,155,671) 1,711,419 85,571 Total 137,821,893 98,395 (1,053,199) (135,155,671) 1,711,419 85,571 As a % of Net Assets 104.3 0.1 (0.8) (102.3) 1.3 0.1

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 1,111,619 794 (8,495) - 1,103,918 55,196 Total 1,111,619 794 (8,495) - 1,103,918 55,196 As a % of Net Assets 104.3 0.1 (0.8) - 103.6 5.2

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

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

Annual Financial Statements - December 31, 2019 – 197 – CI First Asset Health Care Giants Covered Call ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 197,269 - - 197,269 Derivatives - 2,358 - 2,358 Total 197,269 2,358 - 199,627

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives (395) - - (395) Total (395) - - (395)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 138,933,513 - - 138,933,513 Derivatives - 208,163 - 208,163 Total 138,933,513 208,163 - 139,141,676

Financial liabilities Derivatives - 6,466,469 - 6,466,469 Total - 6,466,469 - 6,466,469

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 198 – CI First Asset High Interest Savings ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per class (Note 4): units per unit: units outstanding: as at 2019 2019 2019 2019 2019 2019 2019 Assets Common Units 1,435,010 1,435,010 50.00 50.00 28,700,000 28,700,000 Current assets Investments 1,435,889 Cash - Unrealized gain on futures and foreign currency forward contracts - Swaps, swaptions and options - Daily variation margin on derivative instruments - Fees rebate receivable 203 Collateral on deposit for short sale - Dividends receivable - Interest receivable 88 Receivable for investments sold - Receivable for unit subscriptions - 1,436,180 Liabilities Current liabilities Investments sold short - Bank overdraft - Unrealized loss on futures and foreign currency forward contracts - Swaps, swaptions and options - Dividends payable on investments sold short - Interest payable on investments sold short - Daily variation margin on derivative instruments - Payable for investments purchased - Payable for unit redemptions - Distributions payable to holders of redeemable units 645 Management fees payable 293 Accounts payable and accrued liabilities 232 1,170 Net assets attributable to holders of redeemable units 1,435,010

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

Annual Financial Statements - December 31, 2019 – 199 – CIG - 580530507 CI First Asset High Interest Savings ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2019 2019 2019 2019 2019 2019 Income Common Units 5,412 5,412 0.60 0.60 9,037,374 9,037,374 Net gain (loss) on investments and derivatives Dividends - Interest for distribution purposes 5,539 Income distributions from investments - Capital gain distributions from investments - Derivative income (loss) - Dividends expense on financial assets (liabilities) sold short - Interest expense on financial assets (liabilities) sold short - Net realized gain (loss) on sale of investments and derivatives - Change in unrealized appreciation (depreciation) in value of investments and derivatives - Total net gain (loss) on investments and derivatives 5,539 Other income Foreign exchange gain (loss) on cash - Securities lending revenue (Note 6) - Fees rebate 227 Miscellaneous foreign income - Other income - Total other income 227 Total income 5,766 Expenses Custody fees - Unitholders reporting costs - Management fees (Note 5) 343 Audit fees - Legal fees - Independent review committee fees - Commissions and other portfolio transaction costs - Securities borrowing fees (Note 2) - Interest expense - Withholding taxes - Harmonized sales tax 11 Other expenses - Total expenses 354 Expenses absorbed by the Manager (Note 5) - Increase (decrease) in net assets attributable to holders of redeemable units 5,412

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

Annual Financial Statements - December 31, 2019 – 200 – CI First Asset High Interest Savings ETF Financial Statements

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

Common Units 2019 Net assets attributable to holders of redeemable units at the beginning of period - Increase (decrease) in net assets attributable to holders of redeemable units 5,412 Distributions to holders of redeemable units From net investment income (6,654) From net realized gains - Return of capital - Total distributions to holders of redeemable units (6,654)

Redeemable unit transactions Proceeds from redeemable units issued 1,703,926 Reinvestment of distributions to holders of redeemable units - Redemption of redeemable units (267,674) Net increase (decrease) from redeemable unit transactions 1,436,252 Net increase (decrease) in net assets attributable to holders of redeemable units 1,435,010 Net assets attributable to holders of redeemable units at the end of period 1,435,010

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

Annual Financial Statements - December 31, 2019 – 201 – CI First Asset High Interest Savings ETF Financial Statements

Statement of Cash Flows for the period ended December 31 (in $000’s)

2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 5,412 Adjustments for: Net realized (gain) loss on sale of investments and derivatives - Unrealized foreign exchange (gain) loss on cash - Commissions - Change in unrealized (appreciation) depreciation in value of investments and derivatives - Proceeds from sale and maturity of investments and derivatives 273,514 Purchase of investments and derivatives (1,709,403) (Increase) decrease in collateral on deposit for short sale - Non-cash distributions from investments - Change in daily variation margin - (Increase) decrease in dividends receivable - (Increase) decrease in interest receivable (88) Increase (decrease) in management fees payable 293 Amortization interest earned - Change in other accounts receivable and payable 29 Net cash from (used in) operating activities (1,430,243)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (6,009) Proceeds from issuance of redeemable units 1,703,926 Amounts paid on redemption of redeemable units (267,674) Net cash from (used in) financing activities 1,430,243

Unrealized foreign exchange gain (loss) on cash - Net increase (decrease) in cash - Cash (bank overdraft), beginning of period - Cash (bank overdraft), end of period -

Supplementary Information: Dividends received, net of withholding tax* - Interest received, net of withholding tax* 5,451 Dividends paid* - Interest paid* - Tax recoverable (paid) -

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

Annual Financial Statements - December 31, 2019 – 202 – CI First Asset High Interest Savings ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

HIGH INTEREST SAVINGS ACCOUNTS 287,184,640 Bank of Montreal, High Interest Savings Account 287,184,640 287,184,640 287,184,548 Canadian Imperial Bank of Commerce, High Interest Savings Account 287,184,548 287,184,548 287,161,666 National Bank of Canada, High Interest Savings Account 287,161,667 287,161,667 287,184,633 Royal Bank of Canada, High Interest Savings Account 287,184,633 287,184,633 287,173,166 Scotiabank, High Interest Savings Account 287,173,166 287,173,166 1,435,888,654 1,435,888,654 100.06% Adjustment for transaction costs - Total Investments 1,435,888,654 1,435,888,654 100.06% Other Net Assets (Liabilities) (878,682) (0.06)% Net Assets Attributable to Holders of Redeemable Units 1,435,009,972 100.00%

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

Annual Financial Statements - December 31, 2019 – 203 – CI First Asset High Interest Savings ETF Fund Specific Notes to Financial Statements

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

2019 Brokerage commissions - Soft dollar commissions† -

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

Common Units 2019 Number of redeemable units at the beginning of period - Redeemable units issued for cash 34,050,001 Redeemable units issued for reinvested distributions - Redeemable units redeemed (5,350,001) Number of redeemable units at the end of period 28,700,000

Annual Financial Statements - December 31, 2019 – 204 – CI First Asset High Interest Savings ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.140

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

2019 Loaned - Collateral (non-cash) -

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

2019 Gross securities lending revenue - Charges - Securities lending revenue - % of gross securities lending revenue -

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 205 – CI First Asset High Interest Savings ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Credit Risk The Fund was invested in high interest savings accounts, with the following credit ratings, as per the table below.

as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 100.1 Total 100.1

Other Price Risk As at December 31, 2019, the Fund did not have a significant exposure to other price risk as the Fund did not invest in equities.

Currency Risk As at December 31, 2019, the Fund did not have significant exposure to currency risk as substantially all of its assets were denominated in Canadian dollars, the functional currency of the Fund. As a result, the Fund’s exposure to currency risk was insignificant.

Interest Rate Risk As at December 31, 2019, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were held in high interest savings accounts.

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

Annual Financial Statements - December 31, 2019 – 206 – CI First Asset Investment Grade Bond ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 721,605 565,526 10.99 10.70 65,666,788 52,866,788 Current assets US$ Common Investments 725,107 555,178 Units 25,099 20,045 10.17* 9.78* 1,900,000 1,500,000 Cash 18,068 22,184 Unrealized gain on futures and foreign currency forward contracts 2,862 332 Swaps, swaptions and options - - Daily variation margin on derivative instruments 5,048 3,694 Fees rebate receivable 8 - Collateral on deposit for short sale - - Dividends receivable - - Interest receivable 4,121 3,739 Receivable for investments sold - - Receivable for unit subscriptions 550 8,559 755,764 593,686 Liabilities Current liabilities Investments sold short 5,697 2,443 Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 657 5,233 Swaps, swaptions and options 2,178 - Dividends payable on investments sold short - - Interest payable on investments sold short 24 8 Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 411 318 Accounts payable and accrued liabilities 93 113 9,060 8,115 Net assets attributable to holders of redeemable units 746,704 585,571

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

Annual Financial Statements - December 31, 2019 – 207 – CIG - 580530027 CI First Asset Investment Grade Bond ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 38,775 4,030 0.64 0.08 60,187,610 48,615,966 Net gain (loss) on investments and derivatives US$ Common Dividends - - Units 236 1,802 0.15 1.12* 1,619,041 1,172,877 Interest for distribution purposes 18,954 15,321 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) (1,040) (193) Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short (89) (27) Net realized gain (loss) on sale of investments and derivatives 10,857 (9,932) Change in unrealized appreciation (depreciation) in value of investments and derivatives 16,213 4,903 Total net gain (loss) on investments and derivatives 44,895 10,072 Other income Foreign exchange gain (loss) on cash (657) 173 Securities lending revenue (Note 6) 59 31 Fees rebate 48 - Miscellaneous foreign income - - Other income - - Total other income (550) 204 Total income 44,345 10,276 Expenses Custody fees 32 97 Unitholders reporting costs 173 147 Management fees (Note 5) 4,442 3,502 Audit fees 4 4 Legal fees 23 17 Independent review committee fees 11 16 Commissions and other portfolio transaction costs 163 293 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 486 368 Other expenses - - Total expenses 5,334 4,444 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 39,011 5,832

Annual Financial Statements - December 31, 2019 – 208 – CI First Asset Investment Grade Bond ETF Financial Statements

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

Common Units US$ Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 565,526 394,554 20,045 1,877 585,571 396,431 Increase (decrease) in net assets attributable to holders of redeemable units 38,775 4,030 236 1,802 39,011 5,832 Distributions to holders of redeemable units From net investment income (4,744) (12,294) (200) (454) (4,944) (12,748) From net realized gains (13,438) - (318) - (13,756) - Return of capital (4,575) (6,458) (119) - (4,694) (6,458) Total distributions to holders of redeemable units (22,757) (18,752) (637) (454) (23,394) (19,206)

Redeemable unit transactions Proceeds from redeemable units issued 240,628 288,914 13,465 27,658 254,093 316,572 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (100,567) (103,220) (8,010) (10,838) (108,577) (114,058) Net increase (decrease) from redeemable unit transactions 140,061 185,694 5,455 16,820 145,516 202,514 Net increase (decrease) in net assets attributable to holders of redeemable units 156,079 170,972 5,054 18,168 161,133 189,140 Net assets attributable to holders of redeemable units at the end of year 721,605 565,526 25,099 20,045 746,704 585,571

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

Annual Financial Statements - December 31, 2019 – 209 – CI First Asset Investment Grade Bond ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 39,011 5,832 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (10,857) 9,932 Unrealized foreign exchange (gain) loss on cash 392 (212) Commissions - - Change in unrealized (appreciation) depreciation in value of investments and derivatives (16,213) (4,903) Proceeds from sale and maturity of investments and derivatives 1,048,199 834,885 Purchase of investments and derivatives (1,192,732) (1,069,215) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin (1,354) (1,196) (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable (382) (1,519) Increase (decrease) in management fees payable 93 106 Amortization interest earned - - Change in other accounts receivable and payable (12) 11 Net cash from (used in) operating activities (133,855) (226,279)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (23,394) (20,630) Proceeds from issuance of redeemable units 262,102 309,116 Amounts paid on redemption of redeemable units (108,577) (114,059) Net cash from (used in) financing activities 130,131 174,427

Unrealized foreign exchange gain (loss) on cash (392) 212 Net increase (decrease) in cash (3,724) (51,852) Cash (bank overdraft), beginning of year 22,184 73,824 Cash (bank overdraft), end of year 18,068 22,184

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 18,572 13,802 Dividends paid* - - Interest paid* (73) (20) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 210 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS BONDS Bermuda USD 1,005,000 Bacardi Ltd., 5.15%, May 15, 2038 1,284,147 1,477,251 USD 565,000 Bacardi Ltd., 5.30%, May 15, 2048 721,404 853,834 2,005,551 2,331,085 0.31% Canada 2,850,000 407 International Inc., 2.43%, May 4, 2027 2,782,384 2,860,548 2,660,000 407 International Inc., 2.47%, September 8, 2022 2,652,102 2,676,639 965,000 407 International Inc., 3.14%, March 6, 2030 964,469 1,007,405 960,000 407 International Inc., 3.67%, March 8, 2049 958,781 1,075,466 2,000,000 407 International Inc., 3.98%, September 11, 2052 2,157,840 2,367,219 1,610,000 AIMCo Realty Investors L.P., Series ‘1’, 2.27%, June 26, 2024 1,610,000 1,602,831 1,724,079 Alberta PowerLine L.P., 4.07%, December 1, 2053 1,724,079 1,952,836 1,000,000 Algonquin Power Co., 4.09%, February 17, 2027 999,290 1,058,616 2,000,000 Algonquin Power Co., 4.82%, February 15, 2021 2,150,516 2,055,255 1,540,000 Alimentation Couche-Tard Inc., 3.06%, July 26, 2024 1,540,000 1,559,318 2,500,000 Alimentation Couche-Tard Inc., Series ‘5’, 3.60%, June 2, 2025 2,538,375 2,583,694 1,000,000 Allied Properties REIT, Series ‘C’, 3.64%, April 21, 2025 1,000,000 1,034,789 500,000 Allied Properties REIT, Series ‘D’, 3.39%, August 15, 2029 500,000 497,913 2,610,000 AltaGas Ltd., 2.61%, December 16, 2022 2,610,000 2,617,369 1,500,000 AltaLink L.P., 3.72%, December 3, 2046 1,500,000 1,707,283 2,000,000 Aéroports de Montréal, Series ‘N’, 3.36%, April 24, 2047 2,000,000 2,181,262 4,645,000 Bank of Montreal, 2.28%, July 29, 2024 4,643,049 4,602,822 1,590,000 Bank of Montreal, 2.70%, September 11, 2024 1,589,793 1,620,193 1,445,000 Bank of Montreal, 2.85%, March 6, 2024 1,444,668 1,467,001 USD 2,115,000 Bank of Montreal, Series ‘E’, 3.30%, February 5, 2024 2,773,280 2,864,638 2,650,000 Bank of Nova Scotia, 2.29%, June 28, 2024 2,649,841 2,652,977 3,000,000 Bank of Nova Scotia, 2.36%, November 8, 2022 2,999,580 3,015,016 1,900,000 Bank of Nova Scotia, 2.84%, July 3, 2029 1,900,000 1,898,596 1,500,000 Bank of Nova Scotia, 2.98%, April 17, 2023 1,499,580 1,536,879 3,460,000 Bank of Nova Scotia, 3.10%, February 2, 2028 3,458,824 3,629,753 1,000,000 bcIMC Realty Corp., 3.00%, March 31, 2027 1,000,000 1,032,043 3,185,000 Bell Canada, 2.90%, September 10, 2029 3,180,891 3,125,865 2,000,000 Bell Canada, 4.45%, February 27, 2047 2,247,220 2,213,332 2,000,000 Brookfield Infrastructure Finance ULC, 3.32%, February 22, 2024 2,000,000 2,038,903 5,400,000 Brookfield Property Finance ULC, 4.12%, October 19, 2021 5,400,000 5,547,633 905,000 Bruce Power L.P., 2.84%, June 23, 2021 899,125 912,690 3,140,000 Bruce Power L.P., 4.75%, June 21, 2049 3,139,717 3,509,868 1,500,000 Bruce Power L.P., Series ‘2017-1’, 3.00%, June 21, 2024 1,499,835 1,522,585 1,000,000 Bruce Power L.P., Series ‘2017-2’, 4.01%, June 21, 2029 1,000,040 1,053,937 3,855,000 Canadian National Railway Co., 3.60%, August 1, 2047 3,868,514 4,224,848 1,500,000 Canadian Natural Resources Ltd., 3.42%, December 1, 2026 1,500,000 1,534,341 1,680,000 Canadian Natural Resources Ltd., 4.85%, May 30, 2047 1,680,000 1,955,293 3,000,000 Canadian Pacific Railway Co., 6.45%, November 17, 2039 3,932,880 4,355,673 2,000,000 Canadian Tire Corp. Ltd., Series ‘F’, 3.17%, July 6, 2023 2,000,000 2,041,893 2,270,000 CCL Industries Inc., Series ‘1’, 3.86%, April 13, 2028 2,270,000 2,367,988 3,980,000 Central 1 Credit Union, 2.58%, December 6, 2023 3,980,000 3,972,150 2,000,000 Central 1 Credit Union, 2.60%, November 7, 2022 1,999,260 2,007,112 3,980,000 Choice Properties REIT, Series ‘E’, 2.30%, September 14, 2020 3,924,742 3,982,277 5,000,000 Choice Properties REIT, Series ‘K’, 3.56%, September 9, 2024 5,000,000 5,148,674 5,000,000 Choice Properties REIT, Series ‘L’, 4.18%, March 8, 2028 5,000,000 5,308,166 1,900,000 Choice Properties REIT, Series ‘M’, 3.53%, June 11, 2029 1,900,000 1,923,480 2,000,000 Cogeco Cable Inc., 5.15%, November 16, 2020 2,228,200 2,047,005 3,000,000 Co-operators Financial Services Ltd., 5.78%, March 10, 2020 3,279,714 3,018,496 7,000,000 Dollarama Inc., 3.55%, November 6, 2023 6,967,590 7,217,427 1,500,000 Enbridge Inc., 5.38%, September 27, 2077 1,500,000 1,505,006

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

Annual Financial Statements - December 31, 2019 – 211 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) BONDS (cont’d) Canada (cont’d) 4,265,000 Fairfax Financial Holdings Ltd., 4.23%, June 14, 2029 4,262,953 4,337,115 2,170,000 Fairfax Financial Holdings Ltd., 4.25%, December 6, 2027 2,169,826 2,236,655 1,000,000 Fairfax Financial Holdings Ltd., 4.95%, March 3, 2025 995,885 1,081,350 3,760,000 First National Financial Corp., 4.01%, April 9, 2020 3,758,496 3,775,271 2,210,000 First National Financial Corp., Series ‘2’, 3.58%, November 25, 2024 2,210,000 2,208,999 2,182,852 First Nations ETF L.P., Series ‘1A’, 4.14%, December 31, 2041 2,182,852 2,316,054 1,260,000 Ford Credit Canada Ltd., 2.45%, May 7, 2020 1,245,069 1,259,856 1,325,000 Greater Toronto Airports Authority, Series ‘19-2’, 2.75%, October 17, 2039 1,323,172 1,315,144 2,000,000 Great-West Lifeco Inc., 3.34%, February 28, 2028 2,000,000 2,105,859 1,000,000 H&R REIT, 3.37%, January 30, 2024 1,007,750 1,015,208 1,000,000 Honda Canada Finance Inc., 2.27%, July 15, 2022 1,000,000 999,448 1,310,000 HSBC Bank Canada, 2.17%, June 29, 2022 1,310,000 1,306,549 2,410,000 HSBC Bank Canada, 2.25%, September 15, 2022 2,410,024 2,406,010 4,000,000 HSBC Bank Canada, 2.54%, January 31, 2023 4,000,000 4,021,408 1,500,000 Husky Energy Inc., 3.60%, March 10, 2027 1,496,760 1,533,819 3,000,000 Husky Energy Inc., 5.00%, March 12, 2020 3,344,457 3,016,111 1,250,000 Hydro One Inc., 3.63%, June 25, 2049 1,249,775 1,388,243 3,000,000 IGM Financial Inc., 6.00%, December 10, 2040 3,704,416 3,942,617 2,500,000 Inter Pipeline (Corridor) Inc., 4.90%, February 3, 2020 2,784,187 2,505,116 2,000,000 Inter Pipeline Ltd., 2.73%, April 18, 2024 2,000,000 1,995,997 950,000 Inter Pipeline Ltd., 3.45%, July 20, 2020 959,121 956,270 1,705,000 Inter Pipeline Ltd., Series ‘19-A’, 6.88%, March 26, 2079 1,705,000 1,758,006 2,000,000 Ivanhoe Cambridge II Inc., Series ‘1’, 2.91%, June 27, 2023 2,000,000 2,045,028 1,750,000 Ivanhoe Cambridge II Inc., Series ‘2’, 2.30%, December 12, 2024 1,750,000 1,750,563 2,000,000 Keyera Corp., 3.93%, June 21, 2028 2,000,000 2,083,852 1,870,000 Keyera Corp., Floating Rate, 6.88%, June 13, 2079 1,870,000 1,960,573 370,000 Manulife Bank of Canada, 2.08%, May 26, 2022 368,664 368,879 1,770,000 Manulife Bank of Canada, 2.38%, November 19, 2024 1,770,000 1,767,152 1,420,000 Metro Inc., 2.68%, December 5, 2022 1,419,929 1,433,157 1,430,000 Metro Inc., 3.39%, December 6, 2027 1,429,156 1,470,074 2,515,000 Metro Inc., 4.27%, December 4, 2047 2,512,460 2,748,182 1,445,000 NAV Canada, 3.21%, September 29, 2050 1,445,000 1,568,793 1,736,627 Nouvelle Autoroute 30 Financement Inc., Series ‘C’, 3.75%, March 31, 2033 1,736,627 1,828,853 1,477,672 Nouvelle Autoroute 30 Financement Inc., Series ‘D’, 3.74%, December 31, 2032 1,477,672 1,550,366 2,380,000 OMERS Finance Trust, 2.60%, May 14, 2029 2,377,501 2,409,891 2,230,000 OMERS Realty Corp., Series ‘10’, 3.33%, June 5, 2025 2,230,000 2,335,501 1,500,000 OMERS Realty Corp., Series ‘11’, 3.63%, June 5, 2030 1,500,000 1,629,927 1,840,000 Pembina Pipeline Corp., 4.54%, April 3, 2049 1,950,786 1,969,590 2,750,000 Pembina Pipeline Corp., Series ‘15’, 3.31%, February 1, 2030 2,747,910 2,740,355 1,500,000 Pembina Pipeline Corp., Series ‘4’, 4.81%, March 25, 2044 1,486,335 1,655,404 4,065,000 Penske Truck Leasing Canada Inc., 2.70%, September 30, 2024 4,056,707 4,031,692 3,845,000 Penske Truck Leasing Canada Inc., 2.85%, December 7, 2022 3,844,808 3,871,318 940,000 Penske Truck Leasing Canada Inc., 2.95%, June 12, 2020 945,142 943,018 1,980,000 Power Corp. of Canada, 4.46%, July 27, 2048 1,984,034 2,199,221 2,085,000 RioCan REIT, Series ‘U’, 3.62%, June 1, 2020 2,102,062 2,097,234 1,000,000 RioCan REIT, Series ‘Z’, 2.19%, April 9, 2021 999,530 999,465 3,000,000 Rogers Communications Inc., 6.56%, March 22, 2041 3,711,858 4,186,040 2,430,000 Royal Bank of Canada, 2.61%, November 1, 2024 2,430,000 2,441,219 3,035,000 Royal Bank of Canada, 2.74%, July 25, 2029 3,035,000 3,025,276 2,255,000 Royal Bank of Canada, 2.88%, December 23, 2029 2,254,797 2,256,335 4,420,000 Saputo Inc., 2.88%, November 19, 2024 4,420,000 4,440,466 2,195,000 Shaw Communications Inc., 3.30%, December 10, 2029 2,184,618 2,193,083 750,000 Shaw Communications Inc., 4.25%, December 9, 2049 746,093 756,443

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

Annual Financial Statements - December 31, 2019 – 212 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) BONDS (cont’d) Canada (cont’d) 3,000,000 Shaw Communications Inc., 6.75%, November 9, 2039 3,635,053 4,046,801 655,000 SmartCentres REIT, Series ‘T’, 2.76%, June 23, 2021 655,000 659,305 815,000 SmartCentres REIT, Series ‘U’, 3.53%, December 20, 2029 815,000 820,956 755,000 SNC-Lavalin Group Inc., Series ‘1’, 2.69%, November 24, 2020 749,310 754,012 3,000,000 Suncor Energy Inc., 5.39%, March 26, 2037 3,453,767 3,729,387 1,295,000 Suncor Energy Inc., Series ‘5’, 3.10%, November 26, 2021 1,299,770 1,315,224 1,665,000 Suncor Energy Inc., Series ‘6’, 3.10%, May 24, 2029 1,661,021 1,688,568 6,205,000 Sysco Canada Inc., 3.65%, April 25, 2025 6,202,642 6,460,916 1,685,000 TELUS Corp., Series ‘CY’, 3.30%, May 2, 2029 1,671,099 1,710,075 1,025,000 TELUS Corp., Series ‘CZ’, 2.75%, July 8, 2026 1,023,698 1,018,447 870,000 TMX Group Ltd., Series ‘E’, 3.78%, June 5, 2028 870,000 923,287 1,810,000 Toromont Industries Ltd., 3.84%, October 27, 2027 1,810,000 1,906,480 6,500,000 Toronto-Dominion Bank (The), 1.99%, March 23, 2022 6,399,110 6,483,147 2,060,000 Toronto-Dominion Bank (The), 2.85%, March 8, 2024 2,060,000 2,093,878 1,500,000 TransCanada Trust, Series ‘2017-A’, 4.65%, May 18, 2077 1,500,000 1,457,598 2,000,000 Ventas Canada Finance Ltd., Series ‘B’, 4.13%, September 30, 2024 2,030,724 2,110,871 USD 3,075,000 Viterra Inc., 5.95%, August 1, 2020 3,943,144 4,076,801 860,000 VW Credit Canada Inc., 2.90%, March 29, 2021 859,114 865,676 7,260,000 Waste Management of Canada Corp., 2.60%, September 23, 2026 7,244,754 7,225,307 281,833,817 289,277,794 38.74% Government of Canada & Guaranteed 4,100,000 Government of Canada, 0.50%, March 1, 2022 3,919,190 3,996,815 3,310,000 Government of Canada, 0.75%, September 1, 2020 3,234,883 3,288,075 20,120,000 Government of Canada, 1.00%, September 1, 2022 19,525,804 19,762,779 13,132,000 Government of Canada, 1.00%, June 1, 2027 11,814,964 12,478,172 515,000 Government of Canada, 1.50%, March 1, 2020 510,623 514,790 1,195,000 Government of Canada, 1.50%, June 1, 2023 1,157,369 1,188,144 3,723,000 Government of Canada, 1.50%, June 1, 2026 3,560,274 3,680,551 11,506,000 Government of Canada, 1.75%, March 1, 2023 11,349,601 11,529,978 14,219,000 Government of Canada, 2.00%, June 1, 2028 14,294,067 14,532,035 497,000 Government of Canada, 2.75%, June 1, 2022 525,439 509,415 2,935,000 Government of Canada, 2.25%, June 1, 2025 3,050,933 3,021,262 22,935,000 Government of Canada, 2.25%, June 1, 2029 24,540,293 24,032,790 49,915,000 Government of Canada, 2.75%, December 1, 2048 62,495,736 61,050,680 1,510,000 South Coast British Columbia Transportation Authority, 3.15%, November 16, 2048 1,507,629 1,634,530 161,486,805 161,220,016 21.59% Jersey 600,000 Heathrow Funding Ltd., 3.00%, June 17, 2023 606,198 606,642 1,035,000 Heathrow Funding Ltd., 3.40%, March 8, 2030 1,033,603 1,069,931 3,280,000 Heathrow Funding Ltd., 3.78%, September 4, 2032 3,280,000 3,465,418 4,919,801 5,141,991 0.69% U.K. 4,000,000 BP Capital Markets PLC, 3.47%, May 15, 2025 4,000,000 4,184,880 810,000 BP Capital Markets PLC, 3.50%, November 9, 2020 820,161 819,023 1,000,000 HSBC Holdings PLC, 3.20%, December 5, 2023 1,000,000 1,020,700 885,000 Lloyds Banking Group PLC, 3.50%, February 3, 2025 885,000 908,178 6,705,161 6,932,781 0.93% U.S.A. USD 2,110,000 Amazon.com Inc., 2.40%, February 22, 2023 2,661,097 2,790,307 USD 1,220,000 American Tower Corp., 3.55%, July 15, 2027 1,602,362 1,662,351 1,715,000 Anheuser-Busch InBev Finance Inc., 2.60%, May 15, 2024 1,714,571 1,715,566 2,960,000 Anheuser-Busch InBev Finance Inc., 4.32%, May 15, 2047 2,939,744 3,169,746 USD 1,380,000 Apple Inc., 1.80%, September 11, 2024 1,822,059 1,782,088

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

Annual Financial Statements - December 31, 2019 – 213 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 980,000 Apple Inc., 2.05%, September 11, 2026 1,294,691 1,264,746 USD 1,000,000 AT&T Inc., 3.20%, March 1, 2022 1,303,708 1,329,784 1,290,000 AT&T Inc., 3.83%, November 25, 2020 1,304,719 1,308,434 2,890,000 Bank of America Corp., 2.93%, April 25, 2025 2,890,000 2,923,582 2,500,000 Bank of America Corp., 3.30%, April 24, 2024 2,500,000 2,560,425 1,000,000 Bank of America Corp., 3.41%, September 20, 2025 1,000,000 1,030,550 USD 890,000 Boeing Co. (The), 2.95%, February 1, 2030 1,169,158 1,184,535 USD 2,370,000 Bristol-Myers Squibb Co., 2.90%, July 26, 2024 3,182,364 3,179,886 USD 1,000,000 Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.88%, January 15, 2027 1,307,545 1,350,043 USD 545,000 Burlington Northern Santa Fe LLC, 3.90%, August 1, 2046 796,914 778,550 USD 2,500,000 Campbell Soup Co., 3.65%, March 15, 2023 3,237,793 3,384,196 USD 2,530,000 Campbell Soup Co., 4.15%, March 15, 2028 3,277,828 3,569,945 USD 1,160,000 Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 5.38%, May 1, 2047 1,580,684 1,692,714 USD 1,805,000 Citigroup Inc., 2.70%, October 27, 2022 2,281,545 2,383,709 USD 635,000 Comcast Corp., 3.55%, May 1, 2028 786,234 888,198 USD 830,000 Cox Communications Inc., 3.15%, August 15, 2024 1,036,566 1,109,029 USD 830,000 Cox Communications Inc., 3.50%, August 15, 2027 1,033,036 1,125,543 USD 1,305,000 Crown Castle International Corp., 3.15%, July 15, 2023 1,630,805 1,749,712 USD 1,625,000 Crown Castle International Corp., 3.80%, February 15, 2028 2,030,390 2,251,233 USD 755,000 CVS Health Corp., 3.35%, March 9, 2021 971,025 996,937 USD 1,545,000 CVS Health Corp., 3.70%, March 9, 2023 1,974,656 2,092,422 USD 1,325,000 D.R. Horton Inc., 2.50%, October 15, 2024 1,762,168 1,723,734 USD 1,500,000 Goldman Sachs Group Inc. (The), 2.88%, October 31, 2022 1,920,075 1,975,884 3,250,000 Goldman Sachs Group Inc. (The), 3.31%, October 31, 2025 3,250,000 3,317,665 USD 670,000 Johnson & Johnson, 2.95%, March 3, 2027 866,327 913,323 USD 67,000 Kraft Heinz Foods Co., 2.80%, July 2, 2020 87,443 87,149 USD 1,060,000 Lowe’s Cos. Inc., 4.05%, May 3, 2047 1,414,829 1,489,536 USD 1,455,000 Mars Inc., 2.70%, April 1, 2025 1,949,504 1,934,771 6,090,000 McDonald’s Corp., 3.13%, March 4, 2025 6,076,480 6,247,366 USD 1,500,000 Sherwin-Williams Co. (The), 2.75%, June 1, 2022 2,056,574 1,982,544 USD 1,425,000 Starbucks Corp., 3.55%, August 15, 2029 1,908,952 2,009,112 USD 1,015,000 Starbucks Corp., 4.45%, August 15, 2049 1,360,391 1,531,267 3,000,000 United Parcel Service Inc., 2.13%, May 21, 2024 2,994,360 2,969,370 USD 2,000,000 United States Treasury Bond, 1.25%, October 31, 2021 2,659,799 2,582,035 USD 12,003,000 United States Treasury Bond, 1.63%, August 15, 2029 15,940,533 15,199,270 USD 390,000 United States Treasury Bond, 1.75%, July 31, 2024 520,025 508,146 USD 1,265,000 United States Treasury Bond, 1.75%, November 15, 2029 1,627,180 1,619,405 USD 1,750,000 United States Treasury Bond, 1.88%, August 31, 2024 2,134,429 2,292,568 USD 20,000,000 United States Treasury Bond, 2.00%, November 30, 2022 25,567,109 26,269,769 USD 2,249,000 United States Treasury Bond, 2.13%, December 31, 2022 2,794,915 2,965,557 USD 1,579,000 United States Treasury Bond, 2.13%, July 31, 2024 2,013,476 2,090,778 USD 15,345,000 United States Treasury Bond, 2.25%, August 15, 2049 20,553,731 19,391,121 USD 500,000 United States Treasury Bond, 2.38%, May 15, 2029 680,553 675,449 USD 275,000 United States Treasury Bond, 2.38%, November 15, 2049 365,793 357,018 USD 1,850,000 United States Treasury Bond, 2.50%, January 15, 2022 2,450,758 2,446,282 USD 420,000 United States Treasury Bond, 2.50%, March 31, 2023 523,260 560,634 USD 806,000 United States Treasury Bond, 2.63%, December 31, 2023 1,074,492 1,085,880 USD 155,000 United States Treasury Bond, 2.75%, August 31, 2023 204,099 209,189 USD 155,000 United States Treasury Bond, 2.88%, October 31, 2023 202,669 210,415 USD 19,787,000 United States Treasury Bond, 2.88%, May 15, 2028 25,686,038 27,680,206 USD 11,854,000 United States Treasury Bond, 2.88%, May 15, 2049 17,134,431 17,017,095 USD 18,007,000 United States Treasury Bond, 3.00%, August 15, 2048 22,044,290 26,410,905 USD 4,137,000 United States Treasury Bond, 3.13%, November 15, 2028 5,678,253 5,912,040

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

Annual Financial Statements - December 31, 2019 – 214 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) BONDS (cont’d) U.S.A. (cont’d) USD 2,495,000 United States Treasury Bond, 3.13%, May 15, 2048 3,255,183 3,741,241 USD 6,535,000 United States Treasury Bond, 3.38%, November 15, 2048 9,142,410 10,268,421 USD 245,000 UnitedHealth Group Inc., 3.70%, August 15, 2049 321,055 342,899 USD 960,000 Walmart Inc., 2.85%, July 8, 2024 1,279,653 1,294,220 USD 960,000 Walmart Inc., 3.05%, July 8, 2026 1,279,525 1,316,023 USD 1,000,000 Wal-Mart Stores Inc., 2.65%, December 15, 2024 1,246,388 1,341,836 USD 1,195,000 Wal-Mart Stores Inc., 3.63%, December 15, 2047 1,504,618 1,729,825 USD 695,000 Waste Management Inc., 2.95%, June 15, 2024 934,163 932,303 USD 940,000 Waste Management Inc., 3.45%, June 15, 2029 1,261,071 1,308,335 243,056,496 253,214,817 33.91% Total Bonds 700,007,631 718,118,484 96.17% Total Long Positions 700,007,631 718,118,484 96.17%

SHORT POSITIONS BONDS Government of Canada & Guaranteed (894,000) Government of Canada, 0.75%, March 1, 2021 (862,925) (883,865) (3,275,000) Government of Canada, 1.50%, September 1, 2024 (3,262,326) (3,248,418) (1,162,000) Government of Canada, 5.75%, June 1, 2029 (1,541,939) (1,564,879) Total Bonds (5,667,190) (5,697,162) (0.76)% Total Short Positions (5,667,190) (5,697,162) (0.76)%

SHORT-TERM INVESTMENTS 2,000,000 Royal Bank of Canada Bankers’ Acceptance, 1.739%, January 13, 2020 1,996,800 1,996,800 5,000,000 Royal Bank of Canada Bankers’ Acceptance, 1.905%, January 30, 2020 4,991,900 4,991,900 Total Short-Term Investments 6,988,700 6,988,700 0.94% Adjustment for transaction costs - Total Investments 701,329,141 719,410,022 96.35% Margin 5,048,362 0.68% Total unrealized gain on futures contract(s) 1,483,064 0.20% Total unrealized gain on forward foreign currency contract(s) 1,379,087 0.18% Total unrealized loss on forward foreign currency contract(s) (657,102) (0.09)% Total unrealized loss on credit default swap contract(s) (2,178,265) (0.29)% Other Net Assets (Liabilities) 22,219,043 2.97% Net Assets Attributable to Holders of Redeemable Units 746,704,211 100.00%

FUTURES CONTRACT(S)

Contracted Number of Contracted Fair Unrealized Value Name of Future Expiry Date Contract(s) Currency Price ($) Value ($) Gain (Loss) ($) (7,001,500) Canadian Government 10 Year Bond Future March 20, 2020 (50) CAD 140.03 (6,874,000) 127,500 (35,201,033) United States 10 Year Note Future March 20, 2020 (209) USD 129.70 (34,853,305) 347,727 (108,307,429) United States Long Bond (CBT) March 20, 2020 (530) USD 157.37 (107,299,592) 1,007,837 (150,509,962) (149,026,898) 1,483,064

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

Annual Financial Statements - December 31, 2019 – 215 – CI First Asset Investment Grade Bond ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) January 7, 2020 CAD 274,921,337 USD 210,738,260 1.30 Bank of New York Mellon (The), New York A-1+ 1,273,069 January 7, 2020 CAD 1,345,472 USD 1,021,200 1.32 Bank of New York Mellon (The), New York A-1+ 19,421 January 7, 2020 CAD 1,345,852 USD 1,023,000 1.32 Bank of New York Mellon (The), New York A-1+ 17,464 January 7, 2020 CAD 672,899 USD 508,000 1.32 Bank of New York Mellon (The), New York A-1+ 13,250 January 7, 2020 CAD 672,889 USD 508,000 1.32 Bank of New York Mellon (The), New York A-1+ 13,239 January 7, 2020 CAD 500,000 USD 376,198 1.33 Bank of New York Mellon (The), New York A-1+ 11,499 January 7, 2020 CAD 660,577 USD 500,000 1.32 Bank of New York Mellon (The), New York A-1+ 11,316 January 7, 2020 CAD 668,838 USD 510,400 1.31 Bank of New York Mellon (The), New York A-1+ 6,073 January 7, 2020 CAD 300,000 USD 226,796 1.32 Bank of New York Mellon (The), New York A-1+ 5,500 January 7, 2020 CAD 200,000 USD 151,923 1.32 Bank of New York Mellon (The), New York A-1+ 2,725 January 7, 2020 CAD 269,300 USD 205,380 1.31 Bank of New York Mellon (The), New York A-1+ 2,610 January 7, 2020 CAD 150,000 USD 113,980 1.32 Bank of New York Mellon (The), New York A-1+ 1,994 January 7, 2020 EUR 377,250 CAD 548,699 1.45 Bank of New York Mellon (The), New York A-1+ 927 January 7, 2020 USD 114,031 CAD 150,000 1.32 Bank of New York Mellon (The), New York A-1+ (1,928) January 7, 2020 USD 510,400 CAD 668,838 1.31 Bank of New York Mellon (The), New York A-1+ (6,073) January 7, 2020 USD 376,198 CAD 500,000 1.33 Bank of New York Mellon (The), New York A-1+ (11,499) January 7, 2020 USD 508,000 CAD 672,889 1.32 Bank of New York Mellon (The), New York A-1+ (13,239) January 7, 2020 USD 508,000 CAD 672,899 1.32 Bank of New York Mellon (The), New York A-1+ (13,250) January 7, 2020 USD 1,023,000 CAD 1,345,852 1.32 Bank of New York Mellon (The), New York A-1+ (17,464) January 7, 2020 USD 1,021,200 CAD 1,345,472 1.32 Bank of New York Mellon (The), New York A-1+ (19,421) January 7, 2020 USD 1,524,739 CAD 2,000,000 1.31 Bank of New York Mellon (The), New York A-1+ (20,093) January 7, 2020 USD 1,524,704 CAD 2,000,000 1.31 Bank of New York Mellon (The), New York A-1+ (20,138) January 7, 2020 USD 3,770,739 CAD 5,000,000 1.33 Bank of New York Mellon (The), New York A-1+ (103,612) January 7, 2020 USD 18,891,284 CAD 24,644,870 1.30 Bank of New York Mellon (The), New York A-1+ (114,122) January 7, 2020 USD 4,519,297 CAD 6,000,000 1.33 Bank of New York Mellon (The), New York A-1+ (131,593) January 7, 2020 USD 6,018,635 CAD 8,000,000 1.33 Bank of New York Mellon (The), New York A-1+ (184,670) 721,985

CREDIT DEFAULT SWAP CONTRACT(S)

Credit Rating of Counterparty the Counterparty* Notional Amount Expiry Date Fair Value ($) Pay 5.00% quarterly times the notional amount receive a payment only upon a default event of CDX iTraxx s30 Xover 5Y V1 P 5% Citibank A-1 13,887,240 December 20, 2023 (2,178,265) (2,178,265)

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 216 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,379 (657) - 722 Derivative assets - Swaps and swaptions - - - - Total 1,379 (657) - 722 Derivative liabilities - Foreign currency forward contracts (657) 657 - - Derivative liabilities - Swaps and swaptions (2,178) - - (2,178) Total (2,835) 657 - (2,178) as at December 31, 2018 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 332 (332) - - Derivative assets - Swaps and swaptions - - - - Total 332 (332) - - Derivative liabilities - Foreign currency forward contracts (3,297) 332 - (2,965) Derivative liabilities - Swaps and swaptions - - - - Total (3,297) 332 - (2,965)

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

Annual Financial Statements - December 31, 2019 – 217 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions - - Soft dollar commissions† 6 -

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

Common Units US$ Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 52,866,788 35,816,788 1,500,000 150,000 Redeemable units issued for cash 21,950,000 26,700,000 1,000,000 2,200,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (9,150,000) (9,650,000) (600,000) (850,000) Number of redeemable units at the end of year 65,666,788 52,866,788 1,900,000 1,500,000

Annual Financial Statements - December 31, 2019 – 218 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.650 US$ Common Units 0.650

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

2019 2018 Loaned 157,680 123,778 Collateral (non-cash) 165,778 130,134

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

2019 2018 Gross securities lending revenue 105 57 Charges (46) (26) Securities lending revenue 59 31 % of gross securities lending revenue 55.9 54.2

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

2019 Capital loss carried forward: 6,912 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 219 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Long Positions Bonds Bermuda 0.34 Canada 37.75 France 0.99 Government of Canada & Guaranteed 19.77 Ireland 0.10 Jersey 0.72 U.K. 1.28 U.S.A. 33.86 Short Positions Bonds Government of Canada & Guaranteed (0.42)

Margin 0.63 Total unrealized loss on futures contracts (0.33) Total unrealized gain on forward foreign currency contracts 0.06 Total unrealized loss on forward foreign currency contracts (0.56) Other Net Assets (Liabilities) 5.81

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the tables below.

as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 43.8 AA/Aa/A+ 7.2 A 15.0 BBB/Baa/B++ 30.0 BB/Ba/B+ 0.4 Total 96.4

as at December 31, 2018 Credit Rating^* Net Assets (%) AAA 39.53 AA 4.82 A 11.86 BBB 37.66 BB 0.52

Other Price Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to other price risk as the Fund did not invest in equities.

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

Annual Financial Statements - December 31, 2019 – 220 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 252,783 (226,630) 26,153 3.5 Euro 1,362 (1,628) (266) - Total 254,145 (228,258) 25,887 3.5

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $2,590,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ British pound - 6,299 - - 6,299 315 Euro - 535,734 - (435,140) 100,594 5,030 United States dollar 192,803,536 8,137,622 (329,281) (179,463,781) 21,148,096 1,057,405 Total 192,803,536 8,679,655 (329,281) (179,898,921) 21,254,989 1,062,750 As a % of Net Assets 32.9 1.5 (0.1) (30.7) 3.6 0.2

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure 41,438 102,892 119,416 455,664 719,410

As at December 31, 2019, had the prevailing interest rates increased or decreased by 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 $16,505,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Fair Value $ Less than 1 year 29,612,816 1 - 3 years 55,173,708 3 - 5 years 127,911,928 Greater than 5 years 340,036,089

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

Annual Financial Statements - December 31, 2019 – 221 – CI First Asset Investment Grade Bond ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 718,118 - 718,118 Short-term investments - 6,989 - 6,989 Derivatives 1,483 1,379 - 2,862 Total 1,483 726,486 - 727,969

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - (5,697) - (5,697) Derivatives - (2,835) - (2,835) Total - (8,532) - (8,532)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Bonds - 555,177,673 - 555,177,673 Derivatives - 332,178 - 332,178 Total - 555,509,851 - 555,509,851

Financial liabilities Bonds - 2,443,132 - 2,443,132 Derivatives 1,935,863 3,297,484 - 5,233,347 Total 1,935,863 5,740,616 - 7,676,479

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 222 – CI First Asset Long Duration Fixed Income ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 33,947 53,030 20.57 18.94 1,650,000 2,800,000 Current assets Investments 33,747 52,633 Cash 157 348 Unrealized gain on futures and foreign currency forward contracts 39 - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 6 9 Collateral on deposit for short sale - - Dividends receivable - - Interest receivable 96 150 Receivable for investments sold - - Receivable for unit subscriptions 36 - 34,081 53,140 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 28 - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - 8 Management fees payable 8 14 Accounts payable and accrued liabilities 98 88 134 110 Net assets attributable to holders of redeemable units 33,947 53,030

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

Annual Financial Statements - December 31, 2019 – 223 – CIG - 580530177 CI First Asset Long Duration Fixed Income ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 6,031 (204) 2.26 (0.07) 2,672,192 2,833,014 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 1,560 1,695 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 1,992 (1,620) Change in unrealized appreciation (depreciation) in value of investments and derivatives 2,627 (171) Total net gain (loss) on investments and derivatives 6,179 (96) Other income Foreign exchange gain (loss) on cash (3) 52 Securities lending revenue (Note 6) 4 3 Fees rebate 114 104 Miscellaneous foreign income - - Other income - - Total other income 115 159 Total income 6,294 63 Expenses Custody fees 23 23 Unitholders reporting costs 60 54 Management fees (Note 5) 163 160 Audit fees 4 12 Legal fees 2 3 Independent review committee fees 1 2 Commissions and other portfolio transaction costs 6 8 Securities borrowing fees (Note 2) - - Interest expense - 5 Withholding taxes - 3 Harmonized sales tax 14 18 Other expenses - - Total expenses 273 288 Expenses absorbed by the Manager (Note 5) (10) (21) Increase (decrease) in net assets attributable to holders of redeemable units 6,031 (204)

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

Annual Financial Statements - December 31, 2019 – 224 – CI First Asset Long Duration Fixed Income ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 53,030 55,741 Increase (decrease) in net assets attributable to holders of redeemable units 6,031 (204) Distributions to holders of redeemable units From net investment income (1,441) (1,460) From net realized gains - - Return of capital (46) (120) Total distributions to holders of redeemable units (1,487) (1,580)

Redeemable unit transactions Proceeds from redeemable units issued 7,328 2,832 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (30,955) (3,759) Net increase (decrease) from redeemable unit transactions (23,627) (927) Net increase (decrease) in net assets attributable to holders of redeemable units (19,083) (2,711) Net assets attributable to holders of redeemable units at the end of year 33,947 53,030

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

Annual Financial Statements - December 31, 2019 – 225 – CI First Asset Long Duration Fixed Income ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 6,031 (204) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,992) 1,620 Unrealized foreign exchange (gain) loss on cash - - Commissions - - Change in unrealized (appreciation) depreciation in value of investments and derivatives (2,627) 171 Proceeds from sale and maturity of investments and derivatives 33,722 61,504 Purchase of investments and derivatives (33,209) (61,628) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - 35 (Increase) decrease in interest receivable 54 6 Increase (decrease) in management fees payable (6) 10 Amortization interest earned - - Change in other accounts receivable and payable 13 (32) Net cash from (used in) operating activities 1,986 1,482

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,495) (1,710) Proceeds from issuance of redeemable units 216 94 Amounts paid on redemption of redeemable units (898) (210) Net cash from (used in) financing activities (2,177) (1,826)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (191) (344) Cash (bank overdraft), beginning of year 348 692 Cash (bank overdraft), end of year 157 348

Supplementary Information: Dividends received, net of withholding tax* - 32 Interest received, net of withholding tax* 1,614 1,701 Dividends paid* - - Interest paid* - (5) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 226 – CI First Asset Long Duration Fixed Income ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS Corporate Bonds 35,000 University of Toronto, 4.94%, November 16, 2045 48,621 47,766 35,000 University of Toronto, Series ‘E’, 4.25%, December 7, 2051 45,642 44,684 94,263 92,450 0.27% Government of Canada & Guaranteed 2,724,000 Government of Canada, 2.25%, June 1, 2029 2,911,783 2,854,385 904,000 Government of Canada, 2.75%, December 1, 2048 1,112,683 1,105,676 1,560,000 Government of Canada, 2.75%, December 1, 2064 1,931,522 2,047,810 43,000 South Coast British Columbia Transportation Authority, 2.65%, October 29, 2050 42,913 42,526 17,000 South Coast British Columbia Transportation Authority, 4.65%, June 20, 2041 22,502 22,201 6,021,403 6,072,598 17.89% Provincial Government & Guaranteed 73,000 City of Montreal, 4.10%, December 1, 2034 86,541 85,317 43,000 City of Montreal, 6.00%, June 1, 2043 67,912 66,827 34,000 City of Ottawa, 3.05%, April 23, 2046 36,522 35,835 77,000 City of Ottawa, 4.20%, July 30, 2053 104,380 101,996 26,000 City of St. John’s Newfoundland, 4.50%, December 20, 2033 30,888 30,395 30,000 City of St. John’s Newfoundland, 4.62%, August 11, 2031 35,549 34,888 104,000 City of Toronto, 2.80%, November 22, 2049 103,917 104,507 77,000 City of Toronto, 2.95%, April 28, 2035 80,282 79,272 67,000 City of Vancouver, 3.70%, October 18, 2052 83,369 81,885 114,000 City of Winnipeg, 4.30%, November 15, 2051 153,813 150,235 135,000 Province of British Columbia, 2.95%, June 18, 2050 136,471 150,802 1,717,000 Province of British Columbia, 4.95%, June 18, 2040 2,385,659 2,399,087 2,042,000 Province of British Columbia, 6.35%, June 18, 2031 2,976,125 2,860,460 1,000 Province of British Columbia, Series ‘BCCD-35’, 2.80%, June 18, 2048 1,015 1,076 16,000 Province of Nova Scotia, 3.15%, December 1, 2051 18,792 18,114 1,400,000 Province of Nova Scotia, 4.70%, June 1, 2041 1,834,163 1,883,452 1,981,000 Province of Ontario, 2.65%, December 2, 2050 2,039,382 2,049,180 2,146,000 Province of Ontario, 2.80%, June 2, 2048 2,119,631 2,273,592 4,330,000 Province of Ontario, 2.90%, December 2, 2046 4,420,225 4,644,653 1,124,000 Province of Ontario, 2.90%, June 2, 2049 1,133,164 1,217,219 3,018,000 Province of Quebec, 2.75%, September 1, 2028 3,006,124 3,135,760 476,000 Province of Quebec, 3.10%, December 1, 2051 503,844 543,868 3,904,000 Province of Quebec, 3.50%, December 1, 2048 4,432,554 4,726,101 36,000 Regional Municipality of Halton, 4.05%, October 11, 2041 43,918 43,531 27,000 Regional Municipality of Waterloo, 3.75%, May 13, 2033 30,465 30,107 18,000 Regional Municipality of Waterloo, 3.80%, May 13, 2043 20,900 20,836 50,000 Regional Municipality of York, 4.05%, May 1, 2034 58,916 58,110 18,000 Regional Municipality of York, Ontario, 4.15%, November 18, 2041 22,482 22,095 57,000 Regional Municipality of York, Series ‘F’, 4.00%, May 31, 2032 66,231 65,246 26,033,234 26,914,446 79.28% U.S. Federal Bonds & Guaranteed USD 410,200 United States Treasury Bond, 1.63%, August 15, 2029 546,008 519,432 USD 117,200 United States Treasury Bond, 2.25%, August 15, 2049 155,107 148,103 701,115 667,535 1.97% Total Bonds 32,850,015 33,747,029 99.41% Adjustment for transaction costs - Total Investments 32,850,015 33,747,029 99.41% Total unrealized gain on forward foreign currency contract(s) 38,665 0.11% Total unrealized loss on forward foreign currency contract(s) (28,122) (0.08)% Other Net Assets (Liabilities) 189,288 0.56% Net Assets Attributable to Holders of Redeemable Units 33,946,860 100.00%

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

Annual Financial Statements - December 31, 2019 – 227 – CI First Asset Long Duration Fixed Income ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) January 22, 2020 CAD 63,216 USD 47,853 1.32 Canadian Imperial Bank of Commerce A-1 1,083 January 22, 2020 USD 476,000 CAD 629,153 1.32 Bank of Montreal A-1 (11,106) January 22, 2020 USD 217,000 CAD 285,801 1.32 Royal Bank of Canada A-1+ (4,045) February 20, 2020 CAD 352,133 USD 266,311 1.32 Bank of Montreal A-1 6,383 February 20, 2020 CAD 478,289 USD 361,309 1.32 Canadian Imperial Bank of Commerce A-1 9,205 February 20, 2020 CAD 398,356 USD 301,283 1.32 HSBC Bank, Toronto A-1+ 7,203 February 20, 2020 CAD 521,192 USD 393,244 1.33 Toronto-Dominion Bank (The) A-1+ 10,647 February 20, 2020 USD 476,000 CAD 630,958 1.33 Royal Bank of Canada A-1+ (12,971) March 16, 2020 CAD 79,320 USD 59,672 1.33 Bank of Montreal A-1 1,853 March 16, 2020 CAD 92,294 USD 69,328 1.33 Royal Bank of Canada A-1+ 2,291 10,543

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 228 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 39 (11) - 28 Derivative assets - Swaps and swaptions - - - - Total 39 (11) - 28 Derivative liabilities - Foreign currency forward contracts (28) 11 - (17) Derivative liabilities - Swaps and swaptions - - - - Total (28) 11 - (17) as at December 31, 2018 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts - - - - Derivative assets - Swaps and swaptions - - - - Total - - - - Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - -

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

Annual Financial Statements - December 31, 2019 – 229 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions - - Soft dollar commissions† - -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 2,800,000 2,850,000 Redeemable units issued for cash 350,000 150,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (1,500,000) (200,000) Number of redeemable units at the end of year 1,650,000 2,800,000

Annual Financial Statements - December 31, 2019 – 230 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.300

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

2019 2018 Loaned 4,462 7,947 Collateral (non-cash) 4,694 8,347

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

2019 2018 Gross securities lending revenue 7 6 Charges (3) (3) Securities lending revenue 4 3 % of gross securities lending revenue 59.6 58.8

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

2019 Capital loss carried forward: 999 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 231 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Bonds Federal Bonds 20.60 Provincial Government & Guaranteed 78.65 Other Net Assets (Liabilities) 0.75

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the tables below.

as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 36.1 AA/Aa/A+ 33.0 A 30.3 Total 99.4

as at December 31, 2018 Credit Rating^* Net Assets (%) AAA 38.93 AA 28.73 A 31.59

Other Price Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to other price risk as the Fund did not invest in equities.

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 671 (428) 243 0.7 Total 671 (428) 243 0.7

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $24,000. 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.

Annual Financial Statements - December 31, 2019 – 232 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

As at December 31, 2018, the Fund did not have significant exposure to currency risk as substantially all of its investments were denominated in Canadian dollars, the functional currency of the Fund.

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure - - - 33,747 33,747

As at December 31, 2019, had the prevailing interest rates increased or decreased by 0.25%, with all other variables held constant, net assets attributable to holders of redeemable units of the Fund would have decreased or increased, respectively, by approximately $1,387,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Fair Value $ Less than 1 year - 1 - 3 years - 3 - 5 years - Greater than 5 years 52,632,838

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 33,747 - 33,747 Derivatives - 39 - 39 Total - 33,786 - 33,786

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (28) - (28) Total - (28) - (28)

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

Annual Financial Statements - December 31, 2019 – 233 – CI First Asset Long Duration Fixed Income ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Bonds - 52,632,838 - 52,632,838 Total - 52,632,838 - 52,632,838

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 234 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 12,780 16,409 10.39 8.97 1,230,219 1,830,219 Current assets Investments 12,692 16,270 Cash 27 45 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 70 104 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 12,789 16,419 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 7 9 Accounts payable and accrued liabilities 2 1 9 10 Net assets attributable to holders of redeemable units 12,780 16,409

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

Annual Financial Statements - December 31, 2019 – 235 – CIG - 580530367 CI First Asset Morningstar Canada Dividend Target 30 Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 2,952 (2,425) 2.02 (1.19) 1,463,370 2,044,603 Net gain (loss) on investments and derivatives Dividends 681 1,020 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 192 105 Change in unrealized appreciation (depreciation) in value of investments and derivatives 2,182 (3,416) Total net gain (loss) on investments and derivatives 3,055 (2,291) Other income Foreign exchange gain (loss) on cash - 2 Securities lending revenue (Note 6) 1 2 Fees rebate - 7 Miscellaneous foreign income - - Other income - - Total other income 1 11 Total income 3,056 (2,280) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 87 123 Audit fees - - Legal fees - - Independent review committee fees - 1 Commissions and other portfolio transaction costs 9 8 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 8 13 Other expenses - - Total expenses 104 145 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 2,952 (2,425)

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

Annual Financial Statements - December 31, 2019 – 236 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 16,409 24,668 Increase (decrease) in net assets attributable to holders of redeemable units 2,952 (2,425) Distributions to holders of redeemable units From net investment income (609) (858) From net realized gains - (82) Return of capital (1) - Total distributions to holders of redeemable units (610) (940)

Redeemable unit transactions Proceeds from redeemable units issued 2,979 2,077 Reinvestment of distributions to holders of redeemable units 23 - Redemption of redeemable units (8,973) (6,971) Net increase (decrease) from redeemable unit transactions (5,971) (4,894) Net increase (decrease) in net assets attributable to holders of redeemable units (3,629) (8,259) Net assets attributable to holders of redeemable units at the end of year 12,780 16,409

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

Annual Financial Statements - December 31, 2019 – 237 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 2,952 (2,425) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (192) (105) Unrealized foreign exchange (gain) loss on cash - (1) Commissions 5 4 Change in unrealized (appreciation) depreciation in value of investments and derivatives (2,182) 3,416 Proceeds from sale and maturity of investments and derivatives 3,431 5,768 Purchase of investments and derivatives (3,396) (5,665) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 34 14 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (2) (2) Amortization interest earned - - Change in other accounts receivable and payable 1 (4) Net cash from (used in) operating activities 651 1,000

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (587) (1,170) Proceeds from issuance of redeemable units 32 25 Amounts paid on redemption of redeemable units (114) (77) Net cash from (used in) financing activities (669) (1,222)

Unrealized foreign exchange gain (loss) on cash - 1 Net increase (decrease) in cash (18) (222) Cash (bank overdraft), beginning of year 45 266 Cash (bank overdraft), end of year 27 45

Supplementary Information: Dividends received, net of withholding tax* 715 1,034 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 238 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services 6,755 BCE Inc. 372,998 406,381 6,636 Rogers Communications Inc., Class ‘B’ 375,070 427,889 15,966 Shaw Communications Inc., Class ‘B’ 420,910 420,704 8,514 TELUS Corp. 361,265 428,084 1,530,243 1,683,058 13.17% Consumer Discretionary 5,831 Magna International Inc. 357,798 415,167 4,925 Restaurant Brands International Inc. 417,881 407,692 775,679 822,859 6.44% Energy 54,637 ARC Resources Ltd. 414,304 446,931 8,377 Enbridge Inc. 402,737 432,505 12,555 Keyera Corp. 455,730 427,121 8,932 Pembina Pipeline Corp. 376,628 429,897 6,262 TC Energy Corp. 352,646 433,080 2,002,045 2,169,534 16.98% Financials 4,183 Bank of Montreal 356,444 420,977 5,748 Bank of Nova Scotia 394,763 421,616 3,873 Canadian Imperial Bank of Commerce 397,247 418,516 19,542 CI Financial Corp. 480,210 424,257 12,612 Great-West Lifeco Inc. 408,096 419,475 11,067 IGM Financial Inc. 446,535 412,578 11,820 Power Financial Corp. 375,357 412,991 4,061 Royal Bank of Canada 343,748 417,268 3,202,400 3,347,678 26.19% Industrials 16,327 NFI Group Inc. 612,955 435,115 9,641 TFI International Inc. 387,694 421,987 4,777 WSP Global Inc. 264,930 423,577 1,265,579 1,280,679 10.02% Real Estate 20,444 H&R REIT 429,115 431,368 15,894 RioCan REIT 411,578 425,323 840,693 856,691 6.70% Utilities 22,700 Algonquin Power & Utilities Corp. 297,025 416,999 10,679 Canadian Utilities Ltd., Class ‘A’ 395,784 418,296 7,645 Emera Inc. 332,290 426,515 7,773 Fortis Inc. 337,975 418,809 18,934 Inter Pipeline Ltd. 469,768 426,772 15,574 Northland Power Inc. 407,094 423,612 2,239,936 2,531,003 19.80% Total Equities 11,856,575 12,691,502 99.30% Adjustment for transaction costs (7,279) Total Investments 11,849,296 12,691,502 99.30% Other Net Assets (Liabilities) 88,349 0.70% Net Assets Attributable to Holders of Redeemable Units 12,779,851 100.00%

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

Annual Financial Statements - December 31, 2019 – 239 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 5 4 Soft dollar commissions† - -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 1,830,219 2,330,219 Redeemable units issued for cash 300,000 200,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (900,000) (700,000) Number of redeemable units at the end of year 1,230,219 1,830,219

Annual Financial Statements - December 31, 2019 – 240 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) Related Party Investments (Note 9) as at December 31, 2019 (%) as at December 31 (in $000’s)

Annual management fee rate: Investments 2019 Common Units 0.600 CI Financial Corp. 424

as at December 31, 2018 Securities Lending (Note 6) as at December 31 (in $000’s) During the year, the Fund engaged in trading securities of CI Financial Corp. (“CI”). The trades were executed by an unrelated broker and through the facilities of the Toronto Stock Exchange (“TSX”) at prevailing market prices on the days of the transactions. No related parties received any fees in 2019 2018 connection with the trades. The trades were executed in reliance on a standing instruction issued by Loaned 794 1,936 the Fund’s Independent Review Committee. As at December 31, 2018, the Fund held 31,491 shares of Collateral (non-cash) 834 2,033 CI, with a fair value of $544,165 and representing 3.30% of the Fund’s net assets.

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

2019 2018 Gross securities lending revenue 2 4 Charges (1) (2) Securities lending revenue 1 2 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: 3,864 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 241 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 13.17 Consumer Discretionary 3.47 Energy 25.98 Financials 26.48 Industrials 6.64 Materials 3.65 Real Estate 6.59 Utilities 13.18 Other Net Assets (Liabilities) 0.84

Credit Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® Canada Target Dividend Total Return IndexTM 1,229,495 1,575,849

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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

Annual Financial Statements - December 31, 2019 – 242 – CI First Asset Morningstar Canada Dividend Target 30 Index ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 12,692 - - 12,692 Total 12,692 - - 12,692

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 16,270,077 - - 16,270,077 Total 16,270,077 - - 16,270,077

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 243 – CI First Asset Morningstar Canada Momentum Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 897,877 249,163 19.89 15.29 45,149,315 16,299,315 Current assets Investments 894,585 247,939 Cash 1,541 380 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 342 27 Collateral on deposit for short sale - - Dividends receivable 2,286 986 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - 14 898,754 249,346 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions 5 - Distributions payable to holders of redeemable units - 30 Management fees payable 458 129 Accounts payable and accrued liabilities 414 24 877 183 Net assets attributable to holders of redeemable units 897,877 249,163

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

Annual Financial Statements - December 31, 2019 – 244 – CIG - 580530417 CI First Asset Morningstar Canada Momentum Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 161,119 (24,987) 4.02 (1.90) 40,093,014 13,176,986 Net gain (loss) on investments and derivatives Dividends 14,799 4,165 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 17,162 8,151 Change in unrealized appreciation (depreciation) in value of investments and derivatives 130,580 (35,857) Total net gain (loss) on investments and derivatives 162,541 (23,541) Other income Foreign exchange gain (loss) on cash (9) 4 Securities lending revenue (Note 6) 599 185 Fees rebate 3,135 61 Miscellaneous foreign income 16 - Other income - - Total other income 3,741 250 Total income 166,282 (23,291) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 4,445 1,386 Audit fees - - Legal fees - - Independent review committee fees 9 9 Commissions and other portfolio transaction costs 560 148 Securities borrowing fees (Note 2) - - Interest expense 10 - Withholding taxes - - Harmonized sales tax 139 153 Other expenses - - Total expenses 5,163 1,696 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 161,119 (24,987)

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

Annual Financial Statements - December 31, 2019 – 245 – CI First Asset Morningstar Canada Momentum Index ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 249,163 166,227 Increase (decrease) in net assets attributable to holders of redeemable units 161,119 (24,987) Distributions to holders of redeemable units From net investment income (12,440) (1,815) From net realized gains - (7,231) Return of capital (245) - Total distributions to holders of redeemable units (12,685) (9,046)

Redeemable unit transactions Proceeds from redeemable units issued 630,128 204,191 Reinvestment of distributions to holders of redeemable units 1,130 5,830 Redemption of redeemable units (130,978) (93,052) Net increase (decrease) from redeemable unit transactions 500,280 116,969 Net increase (decrease) in net assets attributable to holders of redeemable units 648,714 82,936 Net assets attributable to holders of redeemable units at the end of year 897,877 249,163

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

Annual Financial Statements - December 31, 2019 – 246 – CI First Asset Morningstar Canada Momentum Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 161,119 (24,987) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (17,162) (8,151) Unrealized foreign exchange (gain) loss on cash 7 (4) Commissions 533 114 Change in unrealized (appreciation) depreciation in value of investments and derivatives (130,580) 35,857 Proceeds from sale and maturity of investments and derivatives 545,905 161,659 Purchase of investments and derivatives (726,247) (161,582) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (1,300) (550) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 329 84 Amortization interest earned - - Change in other accounts receivable and payable 75 (52) Net cash from (used in) operating activities (167,321) 2,388

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (11,585) (3,765) Proceeds from issuance of redeemable units 235,648 1,197 Amounts paid on redemption of redeemable units (55,574) (425) Net cash from (used in) financing activities 168,489 (2,993)

Unrealized foreign exchange gain (loss) on cash (7) 4 Net increase (decrease) in cash 1,168 (605) Cash (bank overdraft), beginning of year 380 981 Cash (bank overdraft), end of year 1,541 380

Supplementary Information: Dividends received, net of withholding tax* 13,499 3,614 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (10) - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 247 – CI First Asset Morningstar Canada Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services 468,279 BCE Inc. 27,055,737 28,171,665 889,814 Quebecor Inc., Class ‘B’ 26,112,079 29,488,436 53,167,816 57,660,101 6.42% Consumer Discretionary 492,921 BRP Inc. 21,252,448 29,161,206 589,299 Canada Goose Holdings Inc. 33,216,363 27,702,946 660,538 Dollarama Inc. 26,643,251 29,479,811 2,267,965 Real Matters Inc. 24,767,191 27,941,329 105,879,253 114,285,292 12.73% Energy 1,098,110 Gibson Energy Inc. 22,778,566 29,198,745 22,778,566 29,198,745 3.25% Financials 387,323 Brookfield Asset Management Inc., Class ‘A’ 24,754,114 29,060,845 893,587 Home Capital Group Inc. 15,307,852 29,452,628 409,240 National Bank of Canada 24,857,773 29,498,019 64,919,739 88,011,492 9.80% Health Care 739,685 Bausch Health Cos. Inc. 29,156,852 28,751,556 29,156,852 28,751,556 3.20% Industrials 591,544 Air Canada 18,526,868 28,695,799 247,328 Canadian National Railway Co. 27,433,319 29,053,620 668,316 TFI International Inc. 27,877,907 29,252,191 331,159 WSP Global Inc. 22,394,699 29,363,869 96,232,793 116,365,479 12.96% Information Technology 269,118 CGI Inc. 23,621,295 29,245,053 23,495 Constellation Software Inc. 24,291,350 29,630,954 641,555 Enghouse Systems Ltd. 31,551,444 30,910,120 57,024 Shopify Inc., Class ‘A’ 14,956,001 29,441,491 94,420,090 119,227,618 13.28% Materials 1,413,810 ERO Copper Corp. 30,981,359 33,380,054 535,213 Kirkland Lake Gold Ltd. 23,773,310 30,635,592 1,047,063 Pan American Silver Corp. 29,759,332 32,207,658 3,186,420 Wesdome Gold Mines Ltd. 29,882,694 32,405,891 811,949 Wheaton Precious Metals Corp. 24,886,228 31,373,709 139,282,923 160,002,904 17.82% Real Estate 560,421 Canadian Apartment Properties REIT 27,246,592 29,707,917 313,462 Colliers International Group Inc. 27,857,491 31,691,008 1,874,600 Crombie REIT 29,210,002 29,881,124 970,919 Dream Office REIT 28,122,550 30,224,708 249,904 FirstService Corp. 27,917,465 30,210,895 140,354,100 151,715,652 16.90% Utilities 1,079,628 Northland Power Inc. 27,812,195 29,365,883 27,812,195 29,365,883 3.27% Total Equities 774,004,327 894,584,722 99.63% Adjustment for transaction costs (350,233) Total Investments 773,654,094 894,584,722 99.63% Other Net Assets (Liabilities) 3,292,446 0.37% Net Assets Attributable to Holders of Redeemable Units 897,877,168 100.00%

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

Annual Financial Statements - December 31, 2019 – 248 – CI First Asset Morningstar Canada Momentum Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 533 114 Soft dollar commissions† 168 32

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 16,299,315 10,149,315 Redeemable units issued for cash 35,750,000 11,400,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (6,900,000) (5,250,000) Number of redeemable units at the end of year 45,149,315 16,299,315

Annual Financial Statements - December 31, 2019 – 249 – CI First Asset Morningstar Canada Momentum Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600

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

2019 2018 Loaned 84,269 25,885 Collateral (non-cash) 88,503 27,183

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

2019 2018 Gross securities lending revenue 998 308 Charges (399) (123) Securities lending revenue 599 185 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: 8 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 250 – CI First Asset Morningstar Canada Momentum Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 9.87 Consumer Discretionary 12.96 Energy 13.01 Financials 6.18 Industrials 16.55 Information Technology 13.68 Materials 17.01 Real Estate 10.25 Other Net Assets (Liabilities) 0.49

Credit Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® Canada Target Momentum Total Return IndexTM 88,265,806 24,395,036

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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

Annual Financial Statements - December 31, 2019 – 251 – CI First Asset Morningstar Canada Momentum Index ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 894,585 - - 894,585 Total 894,585 - - 894,585

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 247,939,235 - - 247,939,235 Total 247,939,235 - - 247,939,235

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 252 – CI First Asset Morningstar Canada Value Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 80,096 90,978 15.59 12.83 5,138,640 7,088,640 Current assets Investments 79,698 90,519 Cash 276 265 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 2 - Collateral on deposit for short sale - - Dividends receivable 175 249 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 80,151 91,033 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 40 48 Accounts payable and accrued liabilities 15 7 55 55 Net assets attributable to holders of redeemable units 80,096 90,978

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

Annual Financial Statements - December 31, 2019 – 253 – CIG - 580530377 CI First Asset Morningstar Canada Value Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 18,496 (20,013) 3.19 (2.35) 5,790,421 8,511,243 Net gain (loss) on investments and derivatives Dividends 2,168 3,117 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 1,300 5,500 Change in unrealized appreciation (depreciation) in value of investments and derivatives 15,720 (27,646) Total net gain (loss) on investments and derivatives 19,188 (19,029) Other income Foreign exchange gain (loss) on cash - 1 Securities lending revenue (Note 6) 23 13 Fees rebate 6 10 Miscellaneous foreign income - - Other income - - Total other income 29 24 Total income 19,217 (19,005) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 499 761 Audit fees - - Legal fees - - Independent review committee fees 1 4 Commissions and other portfolio transaction costs 168 161 Securities borrowing fees (Note 2) - - Interest expense 1 - Withholding taxes - - Harmonized sales tax 52 82 Other expenses - - Total expenses 721 1,008 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 18,496 (20,013)

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

Annual Financial Statements - December 31, 2019 – 254 – CI First Asset Morningstar Canada Value Index ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 90,978 145,668 Increase (decrease) in net assets attributable to holders of redeemable units 18,496 (20,013) Distributions to holders of redeemable units From net investment income (1,477) (2,109) From net realized gains - (600) Return of capital (305) - Total distributions to holders of redeemable units (1,782) (2,709)

Redeemable unit transactions Proceeds from redeemable units issued 13,743 10,629 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (41,339) (42,597) Net increase (decrease) from redeemable unit transactions (27,596) (31,968) Net increase (decrease) in net assets attributable to holders of redeemable units (10,882) (54,690) Net assets attributable to holders of redeemable units at the end of year 80,096 90,978

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

Annual Financial Statements - December 31, 2019 – 255 – CI First Asset Morningstar Canada Value Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 18,496 (20,013) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,300) (5,500) Unrealized foreign exchange (gain) loss on cash - - Commissions 148 151 Change in unrealized (appreciation) depreciation in value of investments and derivatives (15,720) 27,646 Proceeds from sale and maturity of investments and derivatives 68,597 77,296 Purchase of investments and derivatives (68,270) (76,715) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 74 60 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (8) (23) Amortization interest earned - - Change in other accounts receivable and payable 6 (7) Net cash from (used in) operating activities 2,023 2,895

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,782) (3,349) Proceeds from issuance of redeemable units 155 53 Amounts paid on redemption of redeemable units (385) (421) Net cash from (used in) financing activities (2,012) (3,717)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 11 (822) Cash (bank overdraft), beginning of year 265 1,087 Cash (bank overdraft), end of year 276 265

Supplementary Information: Dividends received, net of withholding tax* 2,242 3,177 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 256 – CI First Asset Morningstar Canada Value Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services 22,604 Cogeco Communications Inc. 1,636,592 2,558,773 469,545 Corus Entertainment Inc., Class ‘B’ 2,581,575 2,497,979 4,218,167 5,056,752 6.31% Consumer Discretionary 54,516 Linamar Corp. 3,035,389 2,678,371 35,886 Magna International Inc. 2,173,757 2,555,083 201,543 Martinrea International Inc. 2,158,317 2,884,080 172,486 Transcontinental Inc., Class ‘A’ 3,161,086 2,737,353 10,528,549 10,854,887 13.55% Consumer Staples 84,436 Empire Co. Ltd., Class ‘A’ 1,992,534 2,571,921 24,872 George Weston Ltd. 2,363,644 2,562,313 4,356,178 5,134,234 6.41% Energy 1,082,670 Birchcliff Energy Ltd. 2,547,148 2,804,115 65,997 Canadian Natural Resources Ltd. 2,742,835 2,771,874 453,298 Encana Corp. 2,601,931 2,756,052 321,480 Seven Generations Energy Ltd., Class ‘A’ 2,594,344 2,722,936 10,486,258 11,054,977 13.80% Financials 37,884 iA Financial Corp. Inc. 1,917,008 2,702,266 59,077 Laurentian Bank of Canada 2,924,507 2,624,791 101,869 Manulife Financial Corp. 2,327,180 2,685,267 36,339 National Bank of Canada 1,949,369 2,619,316 76,925 Power Corp. of Canada 2,280,909 2,573,141 11,398,973 13,204,781 16.49% Health Care 65,682 Bausch Health Cos. Inc. 1,510,193 2,553,059 1,510,193 2,553,059 3.19% Industrials 52,527 Air Canada 1,368,401 2,548,085 116,551 Russel Metals Inc. 2,412,369 2,583,936 59,345 TFI International Inc. 2,411,069 2,597,531 6,191,839 7,729,552 9.65% Materials 270,388 Centerra Gold Inc. 2,077,602 2,793,108 467,034 Kinross Gold Corp. 2,248,440 2,876,929 1,124,490 OceanaGold Corp. 3,566,549 2,867,450 7,892,591 8,537,487 10.66% Real Estate 224,320 Artis REIT 2,491,674 2,669,408 2,491,674 2,669,408 3.33% Utilities 52,047 ATCO Ltd., Class ‘I’ 2,291,593 2,590,379 65,732 Canadian Utilities Ltd., Class ‘A’ 2,311,276 2,574,722 76,120 Capital Power Corp. 1,898,039 2,617,767 47,846 Fortis Inc. 2,029,473 2,577,942 101,356 Hydro One Ltd. 2,114,298 2,542,008 10,644,679 12,902,818 16.11% Total Equities 69,719,101 79,697,955 99.50% Adjustment for transaction costs (79,072) Total Investments 69,640,029 79,697,955 99.50% Other Net Assets (Liabilities) 398,464 0.50% Net Assets Attributable to Holders of Redeemable Units 80,096,419 100.00%

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

Annual Financial Statements - December 31, 2019 – 257 – CI First Asset Morningstar Canada Value Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 148 151 Soft dollar commissions† 13 36

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 7,088,640 9,288,640 Redeemable units issued for cash 950,000 700,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (2,900,000) (2,900,000) Number of redeemable units at the end of year 5,138,640 7,088,640

Annual Financial Statements - December 31, 2019 – 258 – CI First Asset Morningstar Canada Value Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600

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

2019 2018 Loaned 5,820 5,031 Collateral (non-cash) 6,113 5,285

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

2019 2018 Gross securities lending revenue 39 21 Charges (16) (8) Securities lending revenue 23 13 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: 10,429 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 259 – CI First Asset Morningstar Canada Value Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 3.36 Consumer Discretionary 20.79 Consumer Staples 3.29 Energy 17.21 Financials 16.31 Health Care 2.84 Industrials 6.78 Information Technology 3.26 Materials 9.63 Real Estate 3.25 Utilities 12.77 Other Net Assets (Liabilities) 0.51

Credit Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® Canada Target Value Total Return IndexTM 7,781,500 8,810,756

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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

Annual Financial Statements - December 31, 2019 – 260 – CI First Asset Morningstar Canada Value Index ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 79,698 - - 79,698 Total 79,698 - - 79,698

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 90,518,525 - - 90,518,525 Total 90,518,525 - - 90,518,525

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 261 – CI First Asset Morningstar International Momentum Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 31,432 43,678 30.70 23.95 1,023,902 1,823,902 Current assets Unhedged Investments 53,637 66,429 Common Units 22,510 21,945 32.02 26.50 702,975 827,975 Cash - 366 Unrealized gain on futures and foreign currency forward contracts 241 56 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 3 - Collateral on deposit for short sale - - Dividends receivable 155 192 Interest receivable - - Receivable for investments sold 2,505 - Receivable for unit subscriptions - - 56,541 67,043 Liabilities Current liabilities Investments sold short - - Bank overdraft 1,183 - Unrealized loss on futures and foreign currency forward contracts 102 1,332 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 1,243 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 29 36 Accounts payable and accrued liabilities 42 52 2,599 1,420 Net assets attributable to holders of redeemable units 53,942 65,623

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

Annual Financial Statements - December 31, 2019 – 262 – CIG - 580530447 CI First Asset Morningstar International Momentum Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 10,843 (11,357) 7.03 (6.27) 1,542,258 1,812,669 Net gain (loss) on investments and derivatives Unhedged Dividends 1,729 2,173 Common Units 4,347 (3,387) 6.04 (3.51) 719,619 965,783 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 3,688 (3,111) Change in unrealized appreciation (depreciation) in value of investments and derivatives 10,505 (12,694) Total net gain (loss) on investments and derivatives 15,922 (13,632) Other income Foreign exchange gain (loss) on cash (26) (30) Securities lending revenue (Note 6) 6 31 Fees rebate 22 - Miscellaneous foreign income - - Other income 39 146 Total other income 41 147 Total income 15,963 (13,485) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 383 491 Audit fees - - Legal fees - - Independent review committee fees 1 5 Commissions and other portfolio transaction costs 164 490 Securities borrowing fees (Note 2) - - Interest expense 7 7 Withholding taxes 173 185 Harmonized sales tax 45 81 Other expenses - - Total expenses 773 1,259 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 15,190 (14,744)

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

Annual Financial Statements - December 31, 2019 – 263 – CI First Asset Morningstar International Momentum Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 43,678 38,538 21,945 22,419 65,623 60,957 Increase (decrease) in net assets attributable to holders of redeemable units 10,843 (11,357) 4,347 (3,387) 15,190 (14,744) Distributions to holders of redeemable units From net investment income (777) (945) (462) (352) (1,239) (1,297) From net realized gains (7) (793) - (739) (7) (1,532) Return of capital ------Total distributions to holders of redeemable units (784) (1,738) (462) (1,091) (1,246) (2,829)

Redeemable unit transactions Proceeds from redeemable units issued 1 30,122 3,763 31,788 3,764 61,910 Reinvestment of distributions to holders of redeemable units 257 1,047 169 747 426 1,794 Redemption of redeemable units (22,563) (12,934) (7,252) (28,531) (29,815) (41,465) Net increase (decrease) from redeemable unit transactions (22,305) 18,235 (3,320) 4,004 (25,625) 22,239 Net increase (decrease) in net assets attributable to holders of redeemable units (12,246) 5,140 565 (474) (11,681) 4,666 Net assets attributable to holders of redeemable units at the end of year 31,432 43,678 22,510 21,945 53,942 65,623

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

Annual Financial Statements - December 31, 2019 – 264 – CI First Asset Morningstar International Momentum Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 15,190 (14,744) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (3,688) 3,111 Unrealized foreign exchange (gain) loss on cash 10 (7) Commissions 123 341 Change in unrealized (appreciation) depreciation in value of investments and derivatives (10,505) 12,694 Proceeds from sale and maturity of investments and derivatives 89,191 141,577 Purchase of investments and derivatives (65,005) (161,979) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 37 (100) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (7) 5 Amortization interest earned - - Change in other accounts receivable and payable (13) 36 Net cash from (used in) operating activities 25,333 (19,066)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (820) (1,157) Proceeds from issuance of redeemable units 3,763 61,909 Amounts paid on redemption of redeemable units (29,815) (41,465) Net cash from (used in) financing activities (26,872) 19,287

Unrealized foreign exchange gain (loss) on cash (10) 7 Net increase (decrease) in cash (1,539) 221 Cash (bank overdraft), beginning of year 366 138 Cash (bank overdraft), end of year (1,183) 366

Supplementary Information: Dividends received, net of withholding tax* 1,593 1,888 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (7) (7) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 265 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Australia AUD 30,786 ALS Ltd. 263,226 257,618 AUD 8,373 Altium Ltd. 204,992 264,997 AUD 8,576 Aristocrat Leisure Ltd. 272,010 263,214 AUD 69,286 Bunnings Warehouse Property Trust 245,352 247,578 AUD 8,503 Caltex Australia Ltd. 264,280 263,144 AUD 45,009 Codan Ltd. 301,727 305,658 AUD 1,029 CSL Ltd. 181,801 258,659 AUD 24,132 Dexus 280,835 257,371 AUD 27,968 Fortescue Metals Group Ltd. 278,563 272,533 AUD 66,584 Growthpoint Properties Australia Ltd. 244,956 251,883 AUD 16,319 IDP Education Ltd. 149,737 255,414 AUD 7,781 JB Hi-Fi Ltd. 244,829 267,185 AUD 2,142 Macquarie Group Ltd. 257,490 269,158 AUD 5,328 Magellan Financial Group Ltd. 192,609 276,591 AUD 86,145 Mirvac Group 226,295 249,711 AUD 349,768 Mount Gibson Iron Ltd. 321,246 304,484 AUD 44,870 Nanosonics Ltd. 191,866 259,723 AUD 93,346 NRW Holdings Ltd. 146,022 274,839 AUD 33,140 Technology One Ltd. 240,938 250,431 AUD 105,184 Viva Energy REIT Ltd. 260,057 255,042 4,768,831 5,305,233 9.84% Austria EUR 7,993 S IMMO AG 235,435 259,452 235,435 259,452 0.48% Belgium EUR 831 Barco NV 175,155 264,904 EUR 2,313 Elia System Operator SA/NV 212,485 266,314 EUR 927 Galapagos NV 252,605 251,652 EUR 2,224 Montea CVA 249,730 262,218 EUR 1,142 Warehouses De Pauw SCA 279,568 269,625 1,169,543 1,314,713 2.44% Cambodia HKD 113,430 NagaCorp Ltd. 163,067 256,735 163,067 256,735 0.48% Denmark DKK 1,798 DSV Panalpina AS 214,799 268,915 DKK 868 Genmab AS, Bearer 247,771 250,495 DKK 3,507 Novo Nordisk AS, Series ‘B’ 246,876 264,138 DKK 2,189 Royal Unibrew A/S 180,731 260,108 DKK 1,787 SimCorp AS 220,226 263,685 1,110,403 1,307,341 2.42% Finland EUR 13,493 Cramo OYJ 262,066 260,039 EUR 3,736 Elisa OYJ 206,995 267,828 EUR 2,832 Kesko OYJ, Series ‘B’ 236,080 260,032 705,141 787,899 1.46% France EUR 1,447 Airbus SE 260,012 274,824 EUR 2,119 Gaztransport Et Technigaz SA 224,126 263,410 EUR 271 Hermes International 230,090 262,795 EUR 329 Kering 251,676 280,248 EUR 449 LVMH Moet Hennessy-Louis Vuitton SA 212,951 270,707 EUR 1,222 Safran SA 251,030 244,844 1,429,885 1,596,828 2.96%

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

Annual Financial Statements - December 31, 2019 – 266 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Germany EUR 645 Adidas AG 260,146 272,083 EUR 10,682 Alstria Office REIT-AG 226,918 260,441 EUR 1,484 Bechtle AG 270,241 270,446 EUR 1,602 Carl Zeiss Meditec AG 241,693 265,134 EUR 1,000 Eckert & Ziegler AG 276,002 277,438 EUR 7,213 Hamburger Hafen und Logistik AG 244,924 257,652 EUR 1,056 Hannover Rueckversicherungs SE 269,560 264,845 EUR 8,224 TAG Immobilien AG 242,891 265,274 EUR 1,599 Varta AG 275,071 282,559 2,307,446 2,415,872 4.48% Hong Kong HKD 19,923 AIA Group Ltd. 240,178 271,223 240,178 271,223 0.50% Ireland AUD 10,280 James Hardie Industries SE, ADR 266,680 261,162 266,680 261,162 0.48% Israel ILS 46,527 Shikun & Binui Ltd. 179,174 277,564 ILS 6,234 Strauss Group Ltd. 235,044 247,854 414,218 525,418 0.97% Italy EUR 9,475 Acea SPA 252,796 254,321 EUR 6,902 Amplifon SPA 225,156 257,594 EUR 8,239 Azimut Holding SPA 209,064 255,205 EUR 5,950 Banca Generali SPA 250,834 250,818 EUR 19,720 Banca Mediolanum SpA 258,429 254,178 EUR 38,493 Falck Renewables SPA 259,849 266,705 EUR 1,204 Ferrari NV 169,712 259,201 EUR 4,345 Moncler SPA 215,825 253,426 EUR 63,232 Piaggio & C SPA 252,751 252,928 EUR 17,568 Poste Italiane SPA 262,896 258,789 EUR 2,533 Reply SPA 263,263 256,065 EUR 31,683 Terna SPA 265,338 274,586 EUR 35,353 Unipol Gruppo SPA 278,858 263,063 3,164,771 3,356,879 6.22% Japan JPY 4,019 Advantest Corp. 118,173 295,410 JPY 7,355 AMUSE INC. 266,248 264,165 JPY 11,638 Astellas Pharma Inc. 260,188 259,685 JPY 3,241 Bandai Namco Holdings Inc. 189,882 256,439 JPY 9,974 Casio Computer Co. Ltd. 264,822 260,758 JPY 2,175 Chugai Pharmaceutical Co. Ltd. 157,942 261,605 JPY 2,990 Daiichi Sankyo Co. Ltd. 262,020 257,879 JPY 6,623 DIP Corp. 205,406 255,656 JPY 5,149 ELECOM Co. Ltd. 208,376 271,565 JPY 11,973 eRex Co. Ltd. 270,775 260,159 JPY 5,516 Fukui Computer Holdings Inc. 245,312 233,657 JPY 819 Hikari Tsushin Inc. 209,556 268,063 JPY 2,895 Hitachi High-Technologies Corp. 271,435 267,372 JPY 16,006 Hosiden Corp. 273,559 264,711 JPY 2,207 Hoya Corp. 182,741 275,198 JPY 6,295 Insource Co. Ltd. 260,636 265,529 JPY 8,684 ITOCHU Corp. 251,472 262,627 JPY 6,942 Japan Electron Optics Laboratory Co. Ltd. 187,761 275,425

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

Annual Financial Statements - December 31, 2019 – 267 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Japan (cont’d) JPY 7,773 Japan Elevator Service Holding Co. Ltd. 199,801 254,414 JPY 2,387 JCR Pharmaceuticals Co. Ltd. 238,526 252,355 JPY 6,049 KOBE BUSSAN CO. LTD. 139,951 270,671 JPY 2,979 Kotobuki Spirits Co. Ltd. 256,112 286,150 JPY 4,634 Lasertec Corp. 192,835 307,438 JPY 5,064 M&A Capital Partners Co. Ltd. 250,809 267,685 JPY 7,464 MANI INC. 136,257 278,768 JPY 8,688 Maruwa Unyu Kikan Co. Ltd. 282,410 248,597 JPY 6,865 Net One Systems Co. Ltd. 206,596 229,118 JPY 5,766 Nihon M&A Center Inc. 255,389 259,040 JPY 9,097 Nomura Research Institute Ltd. 264,639 253,787 JPY 1,470 Obic Co. Ltd. 181,400 258,899 JPY 7,413 OPTORUN Co. Ltd. 289,268 266,691 JPY 12,080 Pressance Corp. 232,501 192,863 JPY 11,545 Rakus Co. Ltd. 139,878 275,656 JPY 5,390 Recruit Holdings Co. Ltd. 155,911 263,629 JPY 5,653 RORZE CORP. 291,888 294,098 JPY 10,828 SBS Holdings Inc. 253,612 245,229 JPY 3,315 Shionogi & Co. 269,414 267,674 JPY 2,995 Sony Corp. 264,085 264,493 JPY 3,917 SQUARE ENIX HOLDINGS CO. LTD. 261,182 253,793 JPY 2,535 Sushiro Global Holdings Ltd. 202,607 283,429 JPY 2,819 TechnoPro Holdings Inc. 228,638 257,326 JPY 8,225 T-GAIA Corp. 267,486 260,473 JPY 3,218 TIS Inc. 245,579 246,901 JPY 964 Tokyo Electron Ltd. 277,883 275,205 JPY 4,645 TOSHIBA TEC CORP. 257,731 250,525 JPY 2,812 Tri Chemical Laboratories Inc. 290,729 287,221 JPY 4,529 UNIZO Holdings Co. Ltd. 267,103 276,693 10,886,524 12,384,724 22.96% Netherlands EUR 1,777 ASM International NV 222,753 259,048 EUR 706 ASML Holding NV 234,263 270,993 EUR 5,244 BE Semiconductor Industries NV 268,182 263,039 EUR 2,553 Euronext NV 263,129 269,978 EUR 1,576 Koninklijke DSM NV 208,472 266,337 EUR 2,782 Wolters Kluwer NV 215,292 263,297 1,412,091 1,592,692 2.95% New Zealand NZD 14,032 Fisher & Paykel Healthcare Corp. Ltd. 270,875 272,526 NZD 39,108 Summerset Group Holdings Ltd. 272,420 304,502 543,295 577,028 1.07% Norway NOK 12,772 Entra ASA 220,394 273,293 NOK 56,563 Europris ASA 275,253 287,973 495,647 561,266 1.04% Singapore SGD 175,507 Ascendas India Trust 186,489 262,345 SGD 145,585 Best World International Ltd. 385,662 95,471 SGD 159,929 Mapletree Logistics Trust 221,095 268,364 SGD 217,968 Sheng Siong Group Ltd. 243,154 260,652 SGD 30,132 Singapore Exchange Ltd. 223,660 257,459 1,260,060 1,144,291 2.12%

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

Annual Financial Statements - December 31, 2019 – 268 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Spain EUR 5,127 ACS Actividades de Construccion y Servicios SA 268,963 266,051 EUR 17,803 EDP Renovaveis SA 258,832 272,098 527,795 538,149 1.00% Sweden SEK 7,422 AddTech AB 294,607 311,527 SEK 8,094 Alfa Laval AB 272,179 264,498 SEK 5,147 Atlas Copco AB, Class ‘A’ 277,200 266,376 SEK 8,942 Atrium Ljungberg AB, Series ‘B’ 209,567 279,946 SEK 9,116 Axfood AB 246,637 263,168 SEK 7,677 Beijer Ref AB 243,469 292,240 SEK 17,816 Bilia AB 221,272 262,346 SEK 9,050 Castellum AB 215,846 275,806 SEK 4,754 Catena AB 174,658 272,312 SEK 7,086 Evolution Gaming Group AB 282,725 276,810 SEK 4,593 Fastighets AB Balder, Class ‘B’ 216,457 275,624 SEK 16,091 Hemfosa Fastigheter AB 227,879 270,381 SEK 9,715 Hennes & Mauritz AB, Series ‘B’ 251,691 256,344 SEK 5,879 Indutrade AB 253,345 272,985 SEK 14,670 Instalco AB 271,096 274,751 SEK 93,890 Klovern AB 174,385 298,883 SEK 12,654 PowerCell Sweden AB 263,957 270,299 SEK 81,290 Samhallsbyggnadsbolaget i Norden AB 278,250 258,435 SEK 5,001 Sectra AB 223,367 270,873 SEK 7,033 Sinch AB 277,657 279,124 SEK 8,783 Skanska AB, Series ‘B’ 234,107 257,570 SEK 5,245 Stillfront Group AB 182,495 267,014 SEK 5,296 SWECO AB, Class ‘B’ 196,798 264,989 SEK 9,935 Vitrolife AB 222,733 271,811 SEK 17,071 Wallenstam AB, Class ‘B’ 218,398 267,693 5,930,775 6,821,805 12.65% Switzerland CHF 29 Belimo Holding AG 187,355 283,106 CHF 1,787 Cembra Money Bank AG 217,719 253,661 CHF 3,270 Galenica AG 245,062 262,081 CHF 360 Geberit AG, Registered 261,332 261,870 CHF 1,206 Kuehne + Nagel International AG, Registered 264,014 263,567 CHF 229 Partners Group Holding AG 183,850 272,131 CHF 647 Roche Holding AG Genusscheine 210,084 272,056 CHF 897 Sonova Holding AG, Registered 271,395 266,067 EUR 7,572 STMicroelectronics NV 269,032 264,193 GBP 3,916 Wizz Air Holdings PLC 267,918 262,024 2,377,761 2,660,756 4.93% U.K. GBP 4,918 4imprint Group PLC 221,292 294,007 GBP 7,125 Admiral Group PLC 249,885 282,617 GBP 6,524 Ashtead Group PLC 257,087 270,546 GBP 28,093 Auto Trader Group PLC 219,754 286,955 GBP 3,309 Berkeley Group Holdings PLC 211,057 276,206 GBP 56,543 boohoo.com PLC 279,345 289,361 GBP 7,251 Burberry Group PLC 266,682 274,661 GBP 9,803 Dart Group PLC 286,472 285,275 EUR 3,986 Dialog Semiconductor PLC 251,577 261,730 GBP 14,096 Dunelm Group PLC 216,139 279,926 GBP 2,220 Ferguson PLC 238,516 261,236

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

Annual Financial Statements - December 31, 2019 – 269 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.K. (cont’d) GBP 2,706 Games Workshop Group PLC 135,839 283,794 GBP 12,794 Gamma Communications PLC 250,269 292,313 GBP 8,612 GlaxoSmithKline PLC 226,773 263,190 GBP 7,489 Go-Ahead Group PLC (The) 266,645 284,062 GBP 7,258 Greggs PLC 171,316 286,521 GBP 23,700 Howden Joinery Group PLC 217,877 273,839 GBP 22,874 IG Group Holdings PLC 272,194 273,098 GBP 9,867 Intermediate Capital Group PLC 191,376 272,899 GBP 2,765 Intertek Group PLC 241,571 277,965 GBP 105,426 ITV PLC 271,289 273,473 GBP 20,766 JD Sports Fashion PLC 160,298 298,728 GBP 53,592 Legal & General Group PLC 282,941 278,955 GBP 19,619 Marshalls PLC 211,196 289,845 GBP 2,188 Next PLC 231,234 263,785 GBP 44,508 Qinetiq PLC 223,888 273,570 GBP 24,725 Rightmove PLC 236,571 269,117 GBP 20,251 Safestore Holdings PLC 171,236 280,396 GBP 17,761 SEGRO PLC 233,738 273,745 GBP 103,404 Serco Group PLC 245,539 287,590 GBP 13,825 Softcat PLC 145,405 273,595 GBP 1,739 Spirax-Sarco Engineering PLC 176,150 265,578 GBP 69,894 Spirent Communications PLC 237,330 301,973 EUR 3,323 Unilever NV 267,316 247,798 GBP 3,337 Unilever PLC 272,983 249,394 8,038,780 9,697,743 17.99% Total Equities 47,448,326 53,637,209 99.44% Adjustment for transaction costs (53,469) Total Investments 47,394,857 53,637,209 99.44% Total unrealized gain on forward foreign currency contract(s) 241,406 0.45% Total unrealized loss on forward foreign currency contract(s) (102,030) (0.19)% Other Net Assets (Liabilities) 165,108 0.30% Net Assets Attributable to Holders of Redeemable Units 53,941,693 100.00%

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

Annual Financial Statements - December 31, 2019 – 270 – CI First Asset Morningstar International Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) March 20, 2020 AUD 605,000 CAD 550,804 0.91 Bank of Montreal A-1 1,578 March 20, 2020 AUD 345,000 CAD 336,461 0.98 Bank of Montreal A-1 (21,467) March 20, 2020 CAD 4,140,823 AUD 4,590,000 0.90 Bank of Montreal A-1 (49,981) March 20, 2020 CAD 1,201,151 CHF 890,000 1.35 Bank of Montreal A-1 3,119 March 20, 2020 CAD 168,425 CHF 125,000 1.35 Bank of Montreal A-1 162 March 20, 2020 CAD 7,388,898 EUR 5,010,000 1.47 Bank of Montreal A-1 62,868 March 20, 2020 CAD 843,657 EUR 575,000 1.47 Bank of Montreal A-1 2,846 March 20, 2020 CAD 6,202,480 GBP 3,585,000 1.73 Bank of Montreal A-1 32,497 March 20, 2020 CAD 719,437 HKD 4,270,000 0.17 Bank of Montreal A-1 9,444 March 20, 2020 CAD 783,967 NOK 5,375,000 0.15 Bank of Montreal A-1 (9,190) March 20, 2020 CAD 4,212,937 SEK 29,880,000 0.14 Bank of Montreal A-1 59,416 March 20, 2020 CAD 227,133 SEK 1,620,000 0.14 Bank of Montreal A-1 1,942 March 20, 2020 CHF 85,000 CAD 115,176 1.36 Bank of Montreal A-1 (757) March 20, 2020 EUR 520,000 CAD 764,478 1.47 Bank of Montreal A-1 (4,092) March 20, 2020 GBP 370,000 CAD 635,309 1.72 Bank of Montreal A-1 1,482 March 20, 2020 HKD 4,270,000 CAD 719,437 0.17 Bank of Montreal A-1 (9,444) March 20, 2020 NOK 5,375,000 CAD 789,494 0.15 Bank of Montreal A-1 3,664 March 20, 2020 SEK 2,835,000 CAD 398,544 0.14 Bank of Montreal A-1 (4,459) March 23, 2020 CAD 7,358,517 JPY 609,230,000 0.01 Bank of Montreal A-1 57,583 March 23, 2020 CAD 611,668 JPY 50,640,000 0.01 Bank of Montreal A-1 4,805 March 23, 2020 JPY 55,860,000 CAD 672,059 0.01 Bank of Montreal A-1 (2,640) 139,376

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 271 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 241 (102) - 139 Derivative assets - Swaps and swaptions - - - - Total 241 (102) - 139 Derivative liabilities - Foreign currency forward contracts (102) 102 - - Derivative liabilities - Swaps and swaptions - - - - Total (102) 102 - - as at December 31, 2018 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 56 (56) - - Derivative assets - Swaps and swaptions - - - - Total 56 (56) - - Derivative liabilities - Foreign currency forward contracts (1,332) 56 - (1,276) Derivative liabilities - Swaps and swaptions - - - - Total (1,332) 56 - (1,276)

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

Annual Financial Statements - December 31, 2019 – 272 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 123 341 Soft dollar commissions† 1 115

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 1,823,902 1,323,902 827,975 727,975 Redeemable units issued for cash - 1,000,000 125,000 1,000,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (800,000) (500,000) (250,000) (900,000) Number of redeemable units at the end of year 1,023,902 1,823,902 702,975 827,975

Annual Financial Statements - December 31, 2019 – 273 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2019 2018 Loaned 8 2,118 Collateral (non-cash) 9 2,252

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

2019 2018 Gross securities lending revenue 10 52 Charges (4) (21) Securities lending revenue 6 31 % of gross securities lending revenue 59.8 59.8

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

2019 Capital loss carried forward: 5,187 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 274 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Australia 8.50 Belgium 1.57 Cambodia 0.51 Denmark 2.00 Finland 1.55 France 4.26 Germany 5.05 Hong Kong 6.68 Israel 1.45 Italy 3.17 Japan 27.10 Luxembourg 1.03 Netherlands 1.51 New Zealand 2.09 Norway 2.94 Portugal 1.05 Russia 0.53 Singapore 1.67 Spain 1.54 Sweden 7.25 Switzerland 5.12 U.K. 14.05 U.S.A. 0.61 Total unrealized gain on forward foreign currency contracts 0.09 Total unrealized loss on forward foreign currency contracts (2.03) Other Net Assets (Liabilities) 0.71

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® Developed Markets ex-North America Target Momentum Total Return IndexTM 4,855,547 5,974,996

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

Annual Financial Statements - December 31, 2019 – 275 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Danish Krone 768 - 768 2.4 Singapore Dollar 668 - 668 2.1 New Zealand Dollar 337 - 337 1.1 Norwegian Krone 334 - 334 1.1 Hong Kong Dollar 308 - 308 1.0 Israeli Shekel 307 - 307 1.0 British Pound 5,520 (5,533) (13) - Euro 7,392 (7,406) (14) - Japanese Yen 7,225 (7,238) (13) - Swedish Krona 3,988 (3,985) 3 - Swiss Franc 1,258 (1,252) 6 - U.S. Dollar 1 - 1 - Australian Dollar 3,261 (3,323) (62) (0.2) Total 31,367 (28,737) 2,630 8.5

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $263,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 5,293 - 5,293 23.5 Japanese Yen 5,174 - 5,174 23.0 British Pound 3,953 - 3,953 17.6 Swedish Krona 2,856 - 2,856 12.7 Australian Dollar 2,335 - 2,335 10.4 Swiss Franc 901 - 901 4.0 Danish Krone 550 - 550 2.4 Singapore Dollar 478 - 478 2.1 New Zealand Dollar 241 - 241 1.1 Norwegian Krone 239 - 239 1.1 Hong Kong Dollar 221 - 221 1.0 Israeli Shekel 220 - 220 1.0 U.S. Dollar 1 - 1 - Total 22,462 - 22,462 99.9

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $2,246,000. 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.

Annual Financial Statements - December 31, 2019 – 276 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Australian dollar 3,716,175 2,476 21,307 (3,661,835) 78,123 3,906 British pound 7,090,969 10,215 12,109 (7,048,837) 64,456 3,223 Danish krone 872,385 492 9,552 - 882,429 44,121 Euro 9,047,927 2,424 29,977 (9,039,966) 40,362 2,018 Hong Kong dollar 3,135,778 662 12,950 (3,142,200) 7,190 360 Israeli new shekel 415,250 12,189 1,966 - 429,405 21,470 Japanese yen 11,854,072 3,248 14,907 (11,927,046) (54,819) (2,741) New Zealand dollar 905,654 1,631 - - 907,285 45,364 Norwegian krone 1,283,329 214 3,514 - 1,287,057 64,353 Singapore dollar 726,912 7,995 - - 734,907 36,745 Slovak koruna 3,159,657 1,013 933 (3,209,554) (47,951) (2,398) Swiss franc 2,006,133 6,550 20,643 (2,005,096) 28,230 1,412 United States dollar - 890 - - 890 45 Total 44,214,241 49,999 127,858 (40,034,534) 4,357,564 217,878 As a % of Net Assets 101.2 0.1 0.3 (91.7) 9.9 0.5

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Australian dollar 1,867,142 1,244 10,705 - 1,879,091 93,955 British pound 3,562,761 5,132 6,084 - 3,573,977 178,699 Danish krone 438,318 247 4,799 - 443,364 22,168 Euro 4,546,008 1,218 15,062 - 4,562,288 228,114 Hong Kong dollar 1,575,529 333 6,506 - 1,582,368 79,118 Israeli new shekel 208,637 6,124 988 - 215,749 10,787 Japanese yen 5,955,919 1,632 7,490 - 5,965,041 298,252 New Zealand dollar 455,034 819 - - 455,853 22,793 Norwegian krone 644,791 108 1,765 - 646,664 32,333 Singapore dollar 365,227 4,017 - - 369,244 18,462 Swedish krona 1,587,527 509 469 - 1,588,505 79,425 Swiss franc 1,007,954 3,291 10,372 - 1,021,617 51,081 United States dollar - 447 - - 447 22 Total 22,214,847 25,121 64,240 - 22,304,208 1,115,209 As a % of Net Assets 101.2 0.1 0.3 - 101.6 5.1

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

Annual Financial Statements - December 31, 2019 – 277 – CI First Asset Morningstar International Momentum Index ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 53,542 - 95 53,637 Derivatives - 241 - 241 Total 53,542 241 95 53,878

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (102) - (102) Total - (102) - (102)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 66,429,088 - - 66,429,088 Derivatives - 56,043 - 56,043 Total 66,429,088 56,043 - 66,485,131

Financial liabilities Derivatives - 1,331,908 - 1,331,908 Total - 1,331,908 - 1,331,908

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

Level 3 Reconciliation The table below summarizes the movement in financial instruments classified as Level 3.

for the year ended December 31, 2019 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2018 Purchases Sales In (Out) (Loss) (Loss)* Dec. 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Long Positions/Assets: Equities - 411 (21) - - (4) (291) 95 Total - 411 (21) - - (4) (291) 95

*Change in unrealized gain (loss) related to investments held at December 31, 2019 was ($291,000).

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

Annual Financial Statements - December 31, 2019 – 278 – CI First Asset Morningstar International Value Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 64,522 41,584 25.46 22.07 2,533,952 1,883,952 Current assets Unhedged Investments 507,090 122,817 Common Units 444,113 80,011 26.98 24.93 16,459,099 3,209,099 Cash 1,374 - Unrealized gain on futures and foreign currency forward contracts 527 50 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 212 - Collateral on deposit for short sale - - Dividends receivable 733 429 Interest receivable - - Receivable for investments sold 85 249 Receivable for unit subscriptions - - 510,021 123,545 Liabilities Current liabilities Investments sold short - - Bank overdraft - 327 Unrealized loss on futures and foreign currency forward contracts 11 1,441 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 787 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 253 68 Accounts payable and accrued liabilities 335 114 1,386 1,950 Net assets attributable to holders of redeemable units 508,635 121,595

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

Annual Financial Statements - December 31, 2019 – 279 – CIG - 580530407 CI First Asset Morningstar International Value Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 9,792 (8,626) 4.44 (3.46) 2,205,048 2,496,281 Net gain (loss) on investments and derivatives Unhedged Dividends 9,719 6,202 Common Units 40,924 (13,770) 4.60 (3.67) 8,887,181 3,747,455 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 6,301 (620) Change in unrealized appreciation (depreciation) in value of investments and derivatives 37,594 (25,829) Total net gain (loss) on investments and derivatives 53,614 (20,247) Other income Foreign exchange gain (loss) on cash (291) 69 Securities lending revenue (Note 6) 143 87 Fees rebate 1,101 - Miscellaneous foreign income - - Other income 271 198 Total other income 1,224 354 Total income 54,838 (19,893) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 1,685 1,020 Audit fees - - Legal fees - - Independent review committee fees 3 3 Commissions and other portfolio transaction costs 1,213 654 Securities borrowing fees (Note 2) - - Interest expense 16 13 Withholding taxes 1,136 680 Harmonized sales tax 69 133 Other expenses - - Total expenses 4,122 2,503 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 50,716 (22,396)

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

Annual Financial Statements - December 31, 2019 – 280 – CI First Asset Morningstar International Value Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 41,584 42,175 80,011 71,607 121,595 113,782 Increase (decrease) in net assets attributable to holders of redeemable units 9,792 (8,626) 40,924 (13,770) 50,716 (22,396) Distributions to holders of redeemable units From net investment income (962) (1,287) (6,676) (2,864) (7,638) (4,151) From net realized gains - (1,546) - (2,888) - (4,434) Return of capital (147) (3) - - (147) (3) Total distributions to holders of redeemable units (1,109) (2,836) (6,676) (5,752) (7,785) (8,588)

Redeemable unit transactions Proceeds from redeemable units issued 36,791 42,089 376,311 47,032 413,102 89,121 Reinvestment of distributions to holders of redeemable units 124 1,664 856 3,774 980 5,438 Redemption of redeemable units (22,660) (32,882) (47,313) (22,880) (69,973) (55,762) Net increase (decrease) from redeemable unit transactions 14,255 10,871 329,854 27,926 344,109 38,797 Net increase (decrease) in net assets attributable to holders of redeemable units 22,938 (591) 364,102 8,404 387,040 7,813 Net assets attributable to holders of redeemable units at the end of year 64,522 41,584 444,113 80,011 508,635 121,595

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

Annual Financial Statements - December 31, 2019 – 281 – CI First Asset Morningstar International Value Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 50,716 (22,396) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (6,301) 620 Unrealized foreign exchange (gain) loss on cash 25 (19) Commissions 1,079 392 Change in unrealized (appreciation) depreciation in value of investments and derivatives (37,594) 25,829 Proceeds from sale and maturity of investments and derivatives 314,477 147,983 Purchase of investments and derivatives (656,890) (184,319) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (304) (183) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 185 10 Amortization interest earned - - Change in other accounts receivable and payable 9 87 Net cash from (used in) operating activities (334,598) (31,996)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (6,805) (3,579) Proceeds from issuance of redeemable units 413,102 89,123 Amounts paid on redemption of redeemable units (69,973) (55,761) Net cash from (used in) financing activities 336,324 29,783

Unrealized foreign exchange gain (loss) on cash (25) 19 Net increase (decrease) in cash 1,726 (2,213) Cash (bank overdraft), beginning of year (327) 1,867 Cash (bank overdraft), end of year 1,374 (327)

Supplementary Information: Dividends received, net of withholding tax* 8,279 5,339 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (16) (13) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 282 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Australia AUD 1,366,263 Perenti Global Ltd. 2,142,692 2,017,577 AUD 1,403,930 Viva Energy Group Ltd. 2,528,472 2,457,126 4,671,164 4,474,703 0.88% Austria EUR 104,047 EVN AG 2,313,284 2,620,102 EUR 34,906 OMV AG 2,373,524 2,544,527 EUR 79,419 Raiffeisen Bank International AG 2,624,015 2,588,339 EUR 55,226 Strabag SE 2,475,632 2,491,999 EUR 191,520 UNIQA Insurance Group AG 2,428,420 2,535,476 EUR 68,163 Vienna Insurance Group 2,408,230 2,520,142 EUR 67,842 Wienerberger AG 2,084,339 2,609,000 16,707,444 17,909,585 3.52% Belgium EUR 69,088 Bekaert SA 2,422,292 2,664,963 EUR 16,941 Solvay SA 2,288,075 2,547,311 4,710,367 5,212,274 1.02% Denmark DKK 31,207 Drilling Co. of 1972 AS (The) 2,549,517 2,678,392 DKK 162,644 Scandinavian Tobacco Group AS 2,576,850 2,574,181 DKK 210,722 Spar Nord Bank AS 2,381,079 2,655,779 7,507,446 7,908,352 1.55% Finland EUR 130,176 Cramo OYJ 2,526,366 2,508,774 2,526,366 2,508,774 0.49% France EUR 45,839 Bouygues SA 2,326,354 2,527,480 EUR 671,061 CGG SA 2,138,347 2,827,829 EUR 97,266 CNP Assurances 2,660,749 2,510,224 EUR 167,118 Coface SA 2,477,337 2,668,532 EUR 136,703 Credit Agricole SA 2,303,147 2,571,883 EUR 183,599 Electricite de France SA 2,678,972 2,653,229 EUR 36,281 Faurecia SE 2,283,327 2,536,498 EUR 61,944 Ipsos 2,323,928 2,610,300 EUR 82,760 Peugeot SA 2,544,525 2,565,918 EUR 78,483 Quadient 2,332,842 2,465,299 EUR 148,231 Rexel SA 2,592,356 2,555,740 EUR 59,191 Societe Generale SA 2,276,392 2,672,207 EUR 229,621 Television Francaise 1 SA 2,506,478 2,473,352 31,444,754 33,638,491 6.61% Germany EUR 60,579 Aareal Bank AG 2,368,553 2,667,412 EUR 141,218 ADLER Real Estate AG 2,771,992 2,795,578 EUR 8,012 Allianz AG, Registered 2,386,587 2,547,042 EUR 23,330 Bayerische Motoren Werke (BMW) AG 2,222,737 2,483,775 EUR 104,803 Deutsche Lufthansa AG, Registered 2,524,236 2,503,369 EUR 123,139 Deutsche Pfandbriefbank AG 2,620,029 2,609,754 EUR 31,739 Draegerwerk AG & Co. KGaA, Preferred 2,159,460 2,573,304 EUR 28,383 Hornbach Holding AG & CO. KGaA 2,208,346 2,664,775 EUR 120,777 Metro Wholesale & Food Specialist AG 2,579,043 2,522,776 EUR 6,621 Muenchener Rueckversicherungs-Gesellschaft AG, Registered 2,255,029 2,534,673 EUR 38,355 Talanx AG 2,091,113 2,466,552 EUR 58,630 Uniper SE 2,584,651 2,518,441 EUR 9,714 Volkswagen AG, Preferred 2,140,270 2,491,984 EUR 89,800 Wuestenrot & Wuerttembergische AG 2,483,448 2,530,605 33,395,494 35,910,040 7.06%

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

Annual Financial Statements - December 31, 2019 – 283 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Hong Kong HKD 1,665,856 Chow Sang Sang Holdings International Ltd. 2,835,891 2,686,456 HKD 214,949 CK Hutchison Holdings Ltd. 2,708,697 2,657,925 HKD 511,697 Dah Sing Financial Holdings Ltd. 2,714,371 2,614,386 HKD 5,552,855 First Pacific Co. Ltd. 3,016,642 2,448,954 HKD 554,259 Great Eagle Holdings Ltd. 2,941,495 2,421,366 USD 35,087 Jardine Matheson Holdings Ltd. 2,699,203 2,529,748 USD 62,173 Jardine Strategic Holdings Ltd. 2,811,825 2,471,090 HKD 895,622 Johnson Electric Holdings Ltd. 2,370,602 2,641,234 HKD 3,578,212 K Wah International Holdings Ltd. 2,575,778 2,590,441 HKD 1,241,118 Kerry Logistics Network Ltd. 2,801,228 2,763,679 HKD 593,771 Kerry Properties Ltd. 2,901,952 2,445,753 HKD 17,848,462 Li & Fung Ltd. 2,652,716 2,524,865 HKD 4,883,618 Shun Tak Holdings Ltd. 3,361,206 3,023,452 HKD 212,211 Swire Pacific Ltd., Class ‘A’ 2,928,023 2,556,966 HKD 304,112 Wheelock and Co. Ltd. 2,647,793 2,629,284 41,967,422 39,005,599 7.67% Ireland EUR 363,879 Bank of Ireland Group PLC 2,453,963 2,585,815 2,453,963 2,585,815 0.51% Israel ILS 273,043 Bank Leumi Le Israel 2,446,585 2,577,094 ILS 416,903 Israel Discount Bank, Class ‘A’ 2,529,693 2,505,880 ILS 448,886 Shikun & Binui Ltd. 2,050,590 2,677,897 7,026,868 7,760,871 1.53% Italy EUR 94,816 Assicurazioni Generali SPA 2,311,036 2,538,774 EUR 62,234 ASTM SPA 2,357,407 2,442,251 EUR 1,241,103 Banca Monte dei Paschi di Siena SPA 2,511,692 2,525,559 EUR 811,311 Banca Popolare di Sondrio Scrl 2,515,609 2,489,434 EUR 253,713 Cementir Holding NV 2,339,927 2,483,208 EUR 331,674 Credito Emiliano SPA 2,484,548 2,505,656 EUR 127,379 Eni SPA 2,706,304 2,567,230 EUR 443,478 Hera SPA 2,149,912 2,517,557 EUR 749,173 Intesa Sanpaolo SPA 2,130,918 2,561,034 EUR 613,950 IREN SPA 2,102,370 2,468,308 EUR 169,490 Poste Italiane SPA 2,241,302 2,496,705 EUR 595,986 UBI Banca - Unione di Banche Italiane SPA 2,039,052 2,526,213 EUR 134,651 UniCredit SPA 2,201,686 2,551,897 EUR 341,083 Unipol Gruppo SPA 2,246,882 2,538,011 EUR 678,158 UnipolSai SPA 2,304,909 2,556,662 34,643,554 37,768,499 7.43% Japan JPY 124,182 ADEKA Corp. 2,265,418 2,453,836 JPY 246,020 AISAN INDUSTRY CO. LTD. 2,350,770 2,319,125 JPY 92,271 Brother Industries Ltd. 2,271,351 2,500,397 JPY 212,018 Bunka Shutter Co. Ltd. 2,177,858 2,438,801 JPY 81,082 Canon Marketing Japan Inc. 2,213,026 2,457,450 JPY 136,178 Chubu Electric Power Co. Inc. 2,557,365 2,504,823 JPY 114,378 Dai-ichi Life Holdings Inc. 2,235,119 2,479,160 JPY 32,446 Daiwabo Holdings Co. Ltd. 1,738,871 2,605,571 JPY 194,432 DCM Japan Holdings Co. Ltd. 2,508,169 2,466,196 JPY 67,846 DIC Corp. 2,493,492 2,457,025 JPY 169,890 EDION Corp. 2,139,590 2,458,981 JPY 77,845 Electric Power Development Co. Ltd. 2,375,604 2,458,732

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

Annual Financial Statements - December 31, 2019 – 284 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Japan (cont’d) JPY 86,316 F.C.C. Co. Ltd. 2,313,201 2,448,201 JPY 134,164 Fuji Television Network Inc. 2,402,459 2,490,991 JPY 116,681 G-TEKT Corp. 2,594,611 2,429,530 JPY 442,003 Hachijuni Bank Ltd. (The) 2,346,615 2,521,040 JPY 100,542 HEIWADO CO. LTD. 2,588,378 2,483,387 JPY 401,975 Hokkaido Electric Power Co. Inc. 2,829,046 2,542,151 JPY 364,093 Hokuetsu Corp. 2,495,275 2,454,638 JPY 66,251 Honda Motor Co. Ltd. 2,358,520 2,449,856 JPY 154,423 Hosiden Corp. 2,092,514 2,553,888 JPY 83,785 ITOCHU Corp. 2,065,442 2,533,874 JPY 55,782 Iwatani International Corp. 2,504,276 2,472,746 JPY 61,742 Japan Airlines Co. Ltd. 2,623,151 2,502,666 JPY 68,514 Japan Petroleum Exploration Co. Ltd. 2,069,289 2,415,814 JPY 198,785 Japan Post Holdings Co. Ltd. 2,485,872 2,433,647 JPY 50,454 Japan Pulp & Paper Co. Ltd. 2,422,716 2,528,550 JPY 81,431 KAGA ELECTRONICS CO. LTD. 2,588,413 2,450,538 JPY 67,407 Kanamoto Co. Ltd. 2,249,431 2,269,001 JPY 167,503 Kansai Electric Power Co. Inc. 2,679,418 2,527,365 JPY 87,511 KOMERI CO. LTD. 2,474,619 2,450,769 JPY 31,372 KUREHA Corp. 2,472,046 2,463,172 JPY 97,854 KYOEI STEEL LTD. 2,541,712 2,497,560 JPY 200,794 Maeda Corp. 2,288,848 2,561,268 JPY 253,370 Marubeni Corp. 2,220,983 2,450,690 JPY 747,761 Mebuki Financial Group Inc. 2,539,310 2,498,316 JPY 87,768 Medipal Holdings Corp. 2,450,021 2,527,087 JPY 71,435 Mitsubishi Corp. 2,437,697 2,471,927 JPY 105,767 Mitsui & Co. Ltd. 2,202,695 2,455,951 JPY 70,889 Mitsui O.S.K. Lines Ltd. 2,499,143 2,558,768 JPY 78,697 NICHIAS CORP. 1,938,743 2,615,231 JPY 88,326 Nippo Corp. 2,198,169 2,480,971 JPY 315,621 Nippon Suisan Kaisha Ltd. 2,448,193 2,455,501 JPY 243,437 Nishi-Nippon Financial Holding Inc. 2,487,251 2,489,396 JPY 93,933 Nissin Kogyo Co. Ltd. 1,779,093 2,488,272 JPY 865,665 North Pacific Bank Ltd. 2,725,098 2,530,711 JPY 167,168 Obayashi Corp. 2,090,558 2,427,562 JPY 334,335 Oji Holdings Corp. 2,284,638 2,373,698 JPY 113,785 Orix Corp. 2,225,612 2,458,839 JPY 139,736 PACIFIC INDUSTRIAL CO. LTD. 2,536,869 2,492,735 JPY 475,228 PRESS KOGYO Co. Ltd. 2,856,227 2,478,050 JPY 255,668 Rengo Co. Ltd. 2,723,076 2,544,304 JPY 96,363 Ryobi Ltd. 2,364,748 2,246,785 JPY 70,768 Seiko Corp. 1,945,179 2,468,268 JPY 138,898 Seino Holdings Co. Ltd. 2,423,743 2,447,953 JPY 227,261 SENKO Co. Ltd. 2,321,262 2,530,074 JPY 75,452 Shiga Bank Ltd. (The) 2,343,483 2,509,195 JPY 196,076 Shikoku Electric Power Co. Inc. 2,615,125 2,522,144 JPY 91,824 SHOWA CORP. 1,685,056 2,489,380 JPY 587,677 Sojitz Corp. 2,428,813 2,468,357 JPY 126,286 Sumitomo Corp. 2,460,506 2,447,191 JPY 154,766 T&D Holdings Inc. 2,273,850 2,576,181 JPY 61,999 Taiheiyo Cement Corp. 2,370,971 2,378,440 JPY 158,530 Takashimaya Co. Ltd. 2,301,252 2,322,932 JPY 99,204 Teijin Ltd. 2,533,959 2,420,745 JPY 100,156 Teikoku Piston Ring Co. Ltd. 2,148,635 2,583,802

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

Annual Financial Statements - December 31, 2019 – 285 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Japan (cont’d) JPY 193,530 Tohoku Electric Power Co. Inc. 2,602,701 2,498,631 JPY 94,486 TOKAI RIKA CO. LTD. 2,017,100 2,420,617 JPY 71,594 Tokuyama Corp. 2,195,379 2,445,821 JPY 434,636 Tokyo Electric Power Co. Holdings Inc. 2,803,603 2,421,972 JPY 259,162 Tokyo Steel Manufacturing Co. Ltd. 2,670,637 2,443,009 JPY 266,784 TOKYU CONSTRUCTION CO. LTD. 2,645,023 2,486,208 JPY 95,832 Toppan Printing Co. Ltd. 2,649,422 2,585,459 JPY 70,649 TORII PHARMACEUTICAL CO. LTD. 2,611,385 2,579,610 JPY 126,516 Tosoh Corp. 2,410,744 2,558,832 JPY 87,072 Ube Industries Ltd. 2,428,597 2,471,722 JPY 100,301 Valor Holdings Co. Ltd. 2,614,376 2,556,425 JPY 72,414 World Co. Ltd. 2,490,253 2,325,214 JPY 173,421 YAMABIKO CORP. 2,461,634 2,474,910 JPY 90,392 Yokohama Rubber Co. Ltd. (The) 2,232,137 2,298,476 190,505,434 197,857,111 38.90% Netherlands EUR 113,642 ABN AMRO Bank NV 3,006,685 2,683,072 EUR 429,080 Aegon NV 2,668,643 2,540,125 EUR 51,805 ASR Nederland NV 2,568,159 2,515,593 EUR 69,033 Eurocommercial Properties NV 2,437,754 2,512,114 EUR 25,574 EXOR NV 2,255,736 2,571,542 EUR 78,876 Koninklijke Volkerwessels NV 2,046,978 2,520,125 EUR 51,012 NN Group NV 2,565,585 2,511,242 GBP 67,183 Royal Dutch Shell PLC, Class ‘A’ 2,715,332 2,579,450 EUR 62,211 Signify NV 2,369,066 2,522,847 EUR 81,475 Van Lanschot NV, Class ‘A’ 2,554,922 2,377,833 25,188,860 25,333,943 4.98% New Zealand NZD 1,044,345 Air New Zealand Ltd. 2,748,330 2,676,988 2,748,330 2,676,988 0.53% Norway NOK 1,930,981 B2Holding ASA 2,715,388 2,722,761 NOK 180,040 Sparebanken 1 SMN 2,613,055 2,662,181 NOK 267,051 Storebrand ASA, Series ‘A’ 2,416,883 2,720,007 7,745,326 8,104,949 1.59% Portugal EUR 1,863,658 Sonae SGPS SA 2,491,403 2,468,597 2,491,403 2,468,597 0.49% Singapore SGD 4,419,600 Japfa Ltd. 2,424,479 2,472,054 SGD 1,464,957 Olam International Ltd. 2,728,311 2,557,116 SGD 1,179,920 SembCorp Industries Ltd. 2,609,275 2,605,764 SGD 617,920 Wilmar International Ltd. 2,440,551 2,455,141 SGD 2,228,738 Yanlord Land Group Ltd. 2,840,942 2,600,707 13,043,558 12,690,782 2.50% Spain EUR 49,467 ACS Actividades de Construccion y Servicios SA 2,498,717 2,566,952 EUR 363,383 Banco Bilbao Vizcaya Argentaria SA 2,615,462 2,635,713 EUR 120,651 Repsol SA 2,378,619 2,446,384 7,492,798 7,649,049 1.50% Sweden SEK 172,294 Modern Times Group MTG AB, Class ‘B’ 2,711,563 2,664,775 SEK 180,806 Scandic Hotels Group AB 2,023,261 2,614,839 4,734,824 5,279,614 1.04%

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

Annual Financial Statements - December 31, 2019 – 286 – CI First Asset Morningstar International Value Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Switzerland CHF 3,862 Swiss Life Holding AG, Registered 2,395,555 2,512,428 CHF 160,968 UBS Group AG, Registered 2,644,786 2,635,192 5,040,341 5,147,620 1.01% Taiwan HKD 5,491,834 FIT Hon Teng Ltd. 3,013,984 2,394,623 3,013,984 2,394,623 0.47% U.K. GBP 69,757 Anglo American PLC 2,129,621 2,603,980 GBP 364,134 Aviva PLC 2,528,900 2,619,114 GBP 244,467 Babcock International Group PLC 2,068,584 2,643,242 GBP 863,490 Barclays PLC 2,086,658 2,664,714 GBP 94,580 Dart Group PLC 1,256,866 2,752,345 GBP 492,738 Drax Group PLC 2,569,039 2,657,883 EUR 134,462 Fiat Chrysler Automobiles NV 2,513,774 2,582,371 GBP 1,276,542 FirstGroup PLC 2,501,094 2,749,938 GBP 72,249 Go-Ahead Group PLC (The) 2,380,307 2,740,445 GBP 669,979 J Sainsbury PLC 2,372,137 2,646,003 GBP 337,551 Mitchells & Butlers PLC 1,638,995 2,664,496 GBP 1,674,178 Premier Oil PLC 2,706,031 2,824,251 GBP 216,424 Redrow PLC 1,986,698 2,769,821 GBP 637,154 Royal Mail PLC 2,408,769 2,476,961 GBP 617,176 TI Fluid Systems PLC 1,912,153 2,820,206 GBP 753,900 William Morrison Supermarkets PLC 2,613,978 2,587,614 35,673,604 42,803,384 8.42% Total Equities 484,733,304 507,089,663 99.70% Adjustment for transaction costs (634,801) Total Investments 484,098,503 507,089,663 99.70% Total unrealized gain on forward foreign currency contract(s) 526,592 0.10% Total unrealized loss on forward foreign currency contract(s) (11,023) 0.00% Other Net Assets (Liabilities) 1,029,509 0.20% Net Assets Attributable to Holders of Redeemable Units 508,634,741 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) March 20, 2020 CAD 25,411,321 EUR 17,230,000 1.47 Bank of Montreal A-1 216,213 March 20, 2020 CAD 6,150,577 GBP 3,555,000 1.73 Bank of Montreal A-1 32,225 March 20, 2020 CAD 2,634,284 HKD 15,635,000 0.17 Bank of Montreal A-1 34,582 March 20, 2020 CAD 1,994,878 HKD 11,840,000 0.17 Bank of Montreal A-1 26,188 March 20, 2020 CAD 1,573,427 SGD 1,620,000 0.97 Bank of Montreal A-1 10,391 March 20, 2020 EUR 2,185,000 CAD 3,205,898 1.47 Bank of Montreal A-1 (10,813) March 20, 2020 GBP 425,000 CAD 731,659 1.72 Bank of Montreal A-1 (210) March 23, 2020 CAD 26,451,611 JPY 2,189,995,000 0.01 Bank of Montreal A-1 206,993 515,569

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 287 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 527 (11) - 516 Derivative assets - Swaps and swaptions - - - - Total 527 (11) - 516 Derivative liabilities - Foreign currency forward contracts (11) 11 - - Derivative liabilities - Swaps and swaptions - - - - Total (11) 11 - - as at December 31, 2018 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 50 (50) - - Derivative assets - Swaps and swaptions - - - - Total 50 (50) - - Derivative liabilities - Foreign currency forward contracts (1,441) 50 - (1,391) Derivative liabilities - Swaps and swaptions - - - - Total (1,441) 50 - (1,391)

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

Annual Financial Statements - December 31, 2019 – 288 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 1,079 392 Soft dollar commissions† 164 83

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 1,883,952 1,583,952 3,209,099 2,509,099 Redeemable units issued for cash 1,600,000 1,600,000 15,100,000 1,600,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (950,000) (1,300,000) (1,850,000) (900,000) Number of redeemable units at the end of year 2,533,952 1,883,952 16,459,099 3,209,099

Annual Financial Statements - December 31, 2019 – 289 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2019 2018 Loaned 2,468 8,179 Collateral (non-cash) 2,601 8,762

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

2019 2018 Gross securities lending revenue 239 145 Charges (96) (58) Securities lending revenue 143 87 % of gross securities lending revenue 59.9 60.0

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

2019 Capital loss carried forward: 6,387 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 290 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Australia 1.99 Austria 3.44 Belgium 0.50 China 0.52 Denmark 0.48 Finland 1.95 France 9.04 Germany 5.05 Hong Kong 5.22 Ireland 0.51 Israel 0.51 Italy 9.28 Japan 40.23 Luxembourg 0.48 Netherlands 1.95 Norway 0.51 Portugal 2.05 Singapore 2.02 Spain 2.01 Sweden 1.52 Switzerland 2.07 U.K. 9.68 Total unrealized gain on forward foreign currency contracts 0.04 Total unrealized loss on forward foreign currency contracts (1.19) Other Net Assets (Liabilities) 0.14

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® Developed Markets ex-North America Target Value Total Return IndexTM 48,734,634 11,754,173

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

Annual Financial Statements - December 31, 2019 – 291 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Danish Krone 1,004 - 1,004 1.6 Norwegian Krone 1,030 - 1,030 1.6 Israeli Shekel 985 - 985 1.5 Swedish Krona 673 - 673 1.0 Swiss Franc 657 - 657 1.0 U.S. Dollar 634 - 634 1.0 Australian Dollar 568 - 568 0.9 New Zealand Dollar 340 - 340 0.5 British Pound 5,455 (5,387) 68 0.1 Hong Kong Dollar 4,621 (4,568) 53 0.1 Singapore Dollar 1,610 (1,563) 47 0.1 Euro 21,735 (22,000) (265) (0.4) Japanese Yen 25,130 (26,245) (1,115) (1.7) Total 64,442 (59,763) 4,679 7.3

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units, would have decreased or increased, respectively, by approximately $468,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Japanese Yen 172,972 - 172,972 38.9 Euro 149,607 - 149,607 33.7 British Pound 37,550 - 37,550 8.5 Hong Kong Dollar 31,807 - 31,807 7.2 Singapore Dollar 11,082 - 11,082 2.5 Danish Krone 6,913 - 6,913 1.6 Norwegian Krone 7,090 - 7,090 1.6 Israeli Shekel 6,778 - 6,778 1.5 Swedish Krona 4,630 - 4,630 1.0 Swiss Franc 4,524 - 4,524 1.0 U.S. Dollar 4,367 - 4,367 1.0 Australian Dollar 3,909 - 3,909 0.9 New Zealand Dollar 2,338 - 2,338 0.5 Total 443,567 - 443,567 99.9

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $44,357,000. 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.

Annual Financial Statements - December 31, 2019 – 292 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Australian dollar 827,461 1,429 9,381 (807,334) 30,937 1,547 British pound 4,044,034 1,876 43,157 (4,034,130) 54,937 2,747 Danish krone 200,216 100 7,029 - 207,345 10,367 Euro 15,270,564 3,025 110,456 (15,327,955) 56,090 2,805 Hong Kong dollar 1,729,509 178 6,334 (1,773,105) (37,084) (1,854) Israeli new shekel 211,726 (12,170) 5,348 - 204,904 10,245 Japanese yen 16,730,267 3,613 19,979 (16,682,079) 71,780 3,589 New Zealand dollar - 363 - - 363 18 Norwegian krone 211,664 1,106 3,960 - 216,730 10,837 Singapore dollar 1,058,816 619 3,886 - 1,063,321 53,166 Swedish krona 633,637 285 3,545 (654,285) (16,818) (841) Swiss franc 644,685 2,849 16,877 (640,517) 23,894 1,195 United States dollar 439,669 828 1,573 - 442,070 22,104 Total 42,002,248 4,205 231,525 (39,919,405) 2,318,573 115,930 As a % of Net Assets 101.0 - 0.6 (96.0) 5.6 0.3

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Australian dollar 1,592,087 2,749 18,049 - 1,612,885 80,644 British pound 7,780,974 3,610 83,037 - 7,867,621 393,381 Danish krone 385,228 193 13,525 - 398,946 19,947 Euro 29,381,517 5,820 212,522 - 29,599,859 1,479,993 Hong Kong dollar 3,327,683 342 12,187 - 3,340,212 167,011 Israeli new shekel 407,375 (23,415) 10,291 - 394,251 19,713 Japanese yen 32,190,077 6,951 38,440 - 32,235,468 1,611,773 New Zealand dollar - 698 - - 698 35 Norwegian krone 407,255 2,129 7,617 - 417,001 20,850 Singapore dollar 2,037,228 1,191 7,477 - 2,045,896 102,295 South African rand - 201 - - 201 10 Swedish krona 1,219,158 548 6,819 - 1,226,525 61,326 Swiss franc 1,240,415 5,481 32,471 - 1,278,367 63,918 United States dollar 845,951 1,593 3,027 - 850,571 42,529 Total 80,814,948 8,091 445,462 - 81,268,501 4,063,425 As a % of Net Assets 101.0 - 0.6 - 101.6 5.1

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

Annual Financial Statements - December 31, 2019 – 293 – CI First Asset Morningstar International Value Index ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 507,090 - - 507,090 Derivatives - 527 - 527 Total 507,090 527 - 507,617

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (11) - (11) Total - (11) - (11)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 122,817,197 - - 122,817,197 Derivatives - 50,379 - 50,379 Total 122,817,197 50,379 - 122,867,576

Financial liabilities Derivatives - 1,440,903 - 1,440,903 Total - 1,440,903 - 1,440,903

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 294 – CI First Asset Morningstar National Bank Québec Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 72,366 61,718 22.45 18.29 3,223,791 3,373,791 Current assets Investments 72,131 61,496 Cash 109 87 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 163 167 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 72,403 61,750 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 31 27 Accounts payable and accrued liabilities 6 5 37 32 Net assets attributable to holders of redeemable units 72,366 61,718

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

Annual Financial Statements - December 31, 2019 – 295 – CIG - 580530387 CI First Asset Morningstar National Bank Québec Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 14,994 (6,475) 4.52 (1.83) 3,313,791 3,532,969 Net gain (loss) on investments and derivatives Dividends 1,376 1,412 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 3,291 3,130 Change in unrealized appreciation (depreciation) in value of investments and derivatives 10,675 (10,627) Total net gain (loss) on investments and derivatives 15,342 (6,085) Other income Foreign exchange gain (loss) on cash (1) 5 Securities lending revenue (Note 6) 61 27 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 60 32 Total income 15,402 (6,053) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 348 353 Audit fees - - Legal fees - - Independent review committee fees 1 2 Commissions and other portfolio transaction costs 10 16 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 49 51 Other expenses - - Total expenses 408 422 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 14,994 (6,475)

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

Annual Financial Statements - December 31, 2019 – 296 – CI First Asset Morningstar National Bank Québec Index ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 61,718 70,119 Increase (decrease) in net assets attributable to holders of redeemable units 14,994 (6,475) Distributions to holders of redeemable units From net investment income (915) (837) From net realized gains (2,065) (1,372) Return of capital (20) (3) Total distributions to holders of redeemable units (3,000) (2,212)

Redeemable unit transactions Proceeds from redeemable units issued 971 6,953 Reinvestment of distributions to holders of redeemable units 1,970 1,154 Redemption of redeemable units (4,287) (7,821) Net increase (decrease) from redeemable unit transactions (1,346) 286 Net increase (decrease) in net assets attributable to holders of redeemable units 10,648 (8,401) Net assets attributable to holders of redeemable units at the end of year 72,366 61,718

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

Annual Financial Statements - December 31, 2019 – 297 – CI First Asset Morningstar National Bank Québec Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 14,994 (6,475) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (3,291) (3,130) Unrealized foreign exchange (gain) loss on cash - (1) Commissions 5 9 Change in unrealized (appreciation) depreciation in value of investments and derivatives (10,675) 10,627 Proceeds from sale and maturity of investments and derivatives 5,946 5,984 Purchase of investments and derivatives (5,918) (6,017) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 4 (14) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 4 (3) Amortization interest earned - - Change in other accounts receivable and payable 1 (4) Net cash from (used in) operating activities 1,070 976

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,030) (1,294) Proceeds from issuance of redeemable units 4 36 Amounts paid on redemption of redeemable units (22) (42) Net cash from (used in) financing activities (1,048) (1,300)

Unrealized foreign exchange gain (loss) on cash - 1 Net increase (decrease) in cash 22 (324) Cash (bank overdraft), beginning of year 87 410 Cash (bank overdraft), end of year 109 87

Supplementary Information: Dividends received, net of withholding tax* 1,380 1,398 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 298 – CI First Asset Morningstar National Bank Québec Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services 29,934 Aimia Inc. 370,388 107,762 52,387 BCE Inc. 2,575,380 3,151,602 8,343 Cogeco Communications Inc. 498,151 944,428 2,953 Cogeco Inc. 161,248 307,378 64,458 Quebecor Inc., Class ‘B’ 1,133,281 2,136,138 8,790 Stingray Group Inc. 71,601 62,761 4,810,049 6,710,069 9.27% Consumer Discretionary 13,801 BRP Inc. 501,791 816,467 70,374 Dollarama Inc. 1,741,967 3,140,792 9,445 Dorel Industries Inc., Class ‘B’ 277,194 56,481 72,222 Gildan Activewear Inc. 1,906,151 2,772,603 17,546 Goodfood Market Corp. 57,630 54,919 7,099 MTY Food Group Inc. 281,072 393,924 3,365 New Look Vision Group Inc., Class ‘A’ 105,151 109,026 11,638 Transat A.T. Inc. 102,954 185,510 26,466 Transcontinental Inc., Class ‘A’ 452,091 420,015 15,359 Uni-Select Inc. 253,150 174,939 6,894 Yellow Pages Ltd. 60,371 62,460 5,739,522 8,187,136 11.31% Consumer Staples 83,002 Alimentation Couche-Tard Inc., Class ‘B’ 1,437,301 3,420,512 1,140 Lassonde Industries Inc., Class ‘A’ 207,897 177,236 57,766 Metro Inc. 1,631,086 3,095,680 26,742 Neptune Wellness Solutions Inc. 108,761 95,736 83,457 Saputo Inc. 2,711,579 3,354,971 6,096,624 10,144,135 14.02% Financials 21,484 Fiera Capital Corp. 257,713 251,578 38,337 iA Financial Corp. Inc. 1,606,068 2,734,578 15,380 Laurentian Bank of Canada 746,834 683,333 51,376 National Bank of Canada 2,408,979 3,703,182 107,900 Power Corp. of Canada 3,067,072 3,609,255 86,387 Power Financial Corp. 2,677,328 3,018,362 10,763,994 14,000,288 19.35% Health Care 111,900 Bausch Health Cos. Inc. 4,168,161 4,349,553 13,514 BELLUS Health Inc. 88,492 132,572 87,445 HEXO Corp. 699,397 181,011 37,349 Knight Therapeutics Inc. 309,696 283,105 27,412 Theratechnologies Inc. 128,454 116,775 5,394,200 5,063,016 7.00% Industrials 78,827 Air Canada 798,268 3,823,898 758,584 Bombardier Inc., Class ‘B’ 2,731,010 1,464,067 96,394 CAE Inc. 1,532,799 3,314,026 29,673 Canadian National Railway Co. 1,994,315 3,485,687 4,145 GDI Integrated Facility Services Inc. 73,261 140,225 10,253 Heroux-Devtek Inc. 105,848 195,832 18,910 Richelieu Hardware Ltd. 335,212 513,028 12,519 Savaria Corp. 165,386 174,640 63,632 SNC-Lavalin Group Inc. 2,942,603 1,905,778 28,224 TFI International Inc. 685,830 1,235,364 37,953 WSP Global Inc. 1,673,393 3,365,293 13,037,925 19,617,838 27.11%

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

Annual Financial Statements - December 31, 2019 – 299 – CI First Asset Morningstar National Bank Québec Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Information Technology 32,888 CGI Inc. 1,418,913 3,573,940 1,418,913 3,573,940 4.94% Materials 29,201 5N Plus Inc. 63,986 71,834 27,214 Cascades Inc. 246,485 305,069 13,787 IPL Plastics Inc. 105,752 108,642 49,257 Osisko Gold Royalties Ltd. 681,571 621,623 121,070 SEMAFO Inc. 513,266 326,889 25,005 Stella-Jones Inc. 841,990 938,188 2,453,050 2,372,245 3.28% Real Estate 21,961 BTB REIT 79,773 113,538 60,535 Cominar REIT 946,451 857,176 1,026,224 970,714 1.34% Utilities 30,492 Boralex Inc., Class ‘A’ 519,839 745,834 44,238 Innergex Renewable Energy Inc. 514,564 745,853 1,034,403 1,491,687 2.06% Total Equities 51,774,904 72,131,068 99.68% Adjustment for transaction costs (34,341) Total Investments 51,740,563 72,131,068 99.68% Other Net Assets (Liabilities) 234,927 0.32% Net Assets Attributable to Holders of Redeemable Units 72,365,995 100.00%

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

Annual Financial Statements - December 31, 2019 – 300 – CI First Asset Morningstar National Bank Québec Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 5 9 Soft dollar commissions† - -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 3,373,791 3,423,791 Redeemable units issued for cash 50,000 350,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (200,000) (400,000) Number of redeemable units at the end of year 3,223,791 3,373,791

Annual Financial Statements - December 31, 2019 – 301 – CI First Asset Morningstar National Bank Québec Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.500

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

2019 2018 Loaned 6,696 4,973 Collateral (non-cash) 7,068 5,223

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

2019 2018 Gross securities lending revenue 102 46 Charges (41) (19) Securities lending revenue 61 27 % of gross securities lending revenue 60.0 59.4

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 302 – CI First Asset Morningstar National Bank Québec Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 9.41 Consumer Discretionary 12.70 Consumer Staples 18.01 Financials 16.80 Health Care 5.38 Industrials 25.09 Information Technology 5.76 Materials 3.19 Real Estate 1.20 Utilities 2.10 Other Net Assets (Liabilities) 0.36

Credit Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® National Bank Québec Total Return IndexTM 7,094,295 6,033,260

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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

Annual Financial Statements - December 31, 2019 – 303 – CI First Asset Morningstar National Bank Québec Index ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 72,131 - - 72,131 Total 72,131 - - 72,131

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 61,496,366 - - 61,496,366 Total 61,496,366 - - 61,496,366

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 304 – CI First Asset Morningstar US Dividend Target 50 Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 37,366 41,846 15.74 13.18 2,374,356 3,174,356 Current assets Unhedged Investments 47,736 58,665 Common Units 11,053 15,071 17.72 15.48 623,804 973,804 Cash 180 67 Unrealized gain on futures and foreign currency forward contracts 439 176 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 98 134 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 48,453 59,042 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 2,088 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 25 29 Accounts payable and accrued liabilities 9 8 34 2,125 Net assets attributable to holders of redeemable units 48,419 56,917

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

Annual Financial Statements - December 31, 2019 – 305 – CIG - 580530397 CI First Asset Morningstar US Dividend Target 50 Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 8,341 (4,718) 2.99 (1.34) 2,789,151 3,531,753 Net gain (loss) on investments and derivatives Unhedged Dividends 2,220 3,064 Common Units 2,344 8 2.82 0.01 829,831 1,252,023 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 4,652 3,054 Change in unrealized appreciation (depreciation) in value of investments and derivatives 4,370 (10,035) Total net gain (loss) on investments and derivatives 11,242 (3,917) Other income Foreign exchange gain (loss) on cash (10) (8) Securities lending revenue (Note 6) 9 12 Fees rebate - - Miscellaneous foreign income 109 131 Other income - - Total other income 108 135 Total income 11,350 (3,782) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 328 431 Audit fees - - Legal fees - - Independent review committee fees - 2 Commissions and other portfolio transaction costs 21 31 Securities borrowing fees (Note 2) - - Interest expense 1 1 Withholding taxes 277 412 Harmonized sales tax 38 51 Other expenses - - Total expenses 665 928 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 10,685 (4,710)

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

Annual Financial Statements - December 31, 2019 – 306 – CI First Asset Morningstar US Dividend Target 50 Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 41,846 56,641 15,071 30,161 56,917 86,802 Increase (decrease) in net assets attributable to holders of redeemable units 8,341 (4,718) 2,344 8 10,685 (4,710) Distributions to holders of redeemable units From net investment income (1,285) (1,690) (426) (604) (1,711) (2,294) From net realized gains - (2,018) - (1,363) - (3,381) Return of capital - - (3) (1) (3) (1) Total distributions to holders of redeemable units (1,285) (3,708) (429) (1,968) (1,714) (5,676)

Redeemable unit transactions Proceeds from redeemable units issued - - 1,634 - 1,634 - Reinvestment of distributions to holders of redeemable units 152 2,276 46 1,400 198 3,676 Redemption of redeemable units (11,688) (8,645) (7,613) (14,530) (19,301) (23,175) Net increase (decrease) from redeemable unit transactions (11,536) (6,369) (5,933) (13,130) (17,469) (19,499) Net increase (decrease) in net assets attributable to holders of redeemable units (4,480) (14,795) (4,018) (15,090) (8,498) (29,885) Net assets attributable to holders of redeemable units at the end of year 37,366 41,846 11,053 15,071 48,419 56,917

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

Annual Financial Statements - December 31, 2019 – 307 – CI First Asset Morningstar US Dividend Target 50 Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 10,685 (4,710) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (4,652) (3,054) Unrealized foreign exchange (gain) loss on cash 3 (16) Commissions 7 12 Change in unrealized (appreciation) depreciation in value of investments and derivatives (4,370) 10,035 Proceeds from sale and maturity of investments and derivatives 11,427 18,017 Purchase of investments and derivatives (11,318) (18,425) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 36 36 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (4) (13) Amortization interest earned - - Change in other accounts receivable and payable 1 (5) Net cash from (used in) operating activities 1,815 1,877

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,516) (2,537) Proceeds from issuance of redeemable units 7 28 Amounts paid on redemption of redeemable units (190) 10 Net cash from (used in) financing activities (1,699) (2,499)

Unrealized foreign exchange gain (loss) on cash (3) 16 Net increase (decrease) in cash 116 (622) Cash (bank overdraft), beginning of year 67 673 Cash (bank overdraft), end of year 180 67

Supplementary Information: Dividends received, net of withholding tax* 1,979 2,688 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 308 – CI First Asset Morningstar US Dividend Target 50 Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services USD 11,883 Verizon Communications Inc. 717,999 947,443 717,999 947,443 1.96% Consumer Discretionary USD 49,734 American Eagle Outfitters Inc. 995,386 949,357 USD 8,481 Best Buy Co. Inc. 582,359 966,942 USD 31,174 H&R Block Inc. 1,030,907 950,494 USD 40,694 L Brands Inc. 1,583,808 957,519 USD 10,684 Las Vegas Sands Corp. 752,379 957,841 USD 7,286 Polaris Inc. 907,850 962,208 USD 15,800 Six Flags Entertainment Corp. 1,036,847 925,526 USD 28,556 Tapestry Inc. 1,278,007 1,000,085 8,167,543 7,669,972 15.84% Consumer Staples USD 14,380 Altria Group Inc. 926,436 931,977 USD 15,171 Campbell Soup Co. 863,184 973,589 USD 13,370 Coca-Cola Co. (The) 718,117 960,965 USD 10,565 Colgate-Palmolive Co. 881,058 944,428 USD 13,891 General Mills Inc. 899,074 966,124 USD 10,978 Kellogg Co. 875,592 985,909 USD 8,436 Philip Morris International Inc. 952,908 932,124 6,116,369 6,695,116 13.83% Energy USD 10,394 Exxon Mobil Corp. 1,060,503 941,830 USD 9,914 ONEOK Inc. 524,936 974,162 USD 7,648 Valero Energy Corp. 729,110 930,067 2,314,549 2,846,059 5.88% Financials USD 41,841 AGNC Investment Corp. 1,042,791 960,601 USD 77,077 Annaly Capital Management Inc. 1,034,893 942,832 USD 13,343 Blackstone Group Inc. (The), Class ‘A’ 569,384 969,247 USD 21,804 Federated Investors Inc., Class ‘B’ 760,706 922,740 USD 93,283 MFA Financial Inc. 890,231 926,665 USD 43,674 Waddell & Reed Financial, Class ‘A’ 1,398,141 948,239 5,696,146 5,670,324 11.71% Health Care USD 8,136 AbbVie Inc. 922,755 935,425 USD 11,458 Bristol-Myers Squibb Co. 802,529 955,069 USD 5,923 Eli Lilly and Co. 588,344 1,010,869 USD 11,004 Gilead Sciences Inc. 1,115,970 928,515 USD 5,132 Johnson & Johnson 698,178 972,101 USD 8,149 Merck & Co. Inc. 574,233 962,422 USD 18,590 Pfizer Inc. 782,840 945,807 5,484,849 6,710,208 13.86% Industrials USD 4,261 3M Co. 881,678 976,153 USD 9,554 Emerson Electric Co. 686,706 946,108 USD 1,885 Lockheed Martin Corp. 534,047 953,111 USD 168,428 Pitney Bowes Inc. 1,856,873 881,410 3,959,304 3,756,782 7.76% Information Technology USD 6,122 Analog Devices Inc. 519,666 944,745 USD 2,600 Apple Inc. 400,055 991,430 USD 12,610 Intel Corp. 582,205 980,027 USD 2,560 Lam Research Corp. 456,422 972,022 USD 7,046 Microchip Technology Inc. 553,417 958,144

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

Annual Financial Statements - December 31, 2019 – 309 – CI First Asset Morningstar US Dividend Target 50 Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Information Technology (cont’d) USD 4,678 Microsoft Corp. 305,801 957,967 USD 8,569 Paychex Inc. 583,335 946,486 USD 5,726 Texas Instruments Inc. 682,395 953,900 4,083,296 7,704,721 15.91% Materials USD 7,769 LyondellBasell Industries NV, Class ‘A’ 924,091 953,155 924,091 953,155 1.97% Real Estate USD 17,682 Omega Healthcare Investors Inc. 768,393 972,397 USD 4,998 Simon Property Group Inc. 1,020,619 966,773 1,789,012 1,939,170 4.00% Utilities USD 18,136 NRG Energy Inc. 969,457 936,132 USD 12,260 Public Services Enterprise Group Inc. 666,581 940,089 USD 11,685 Southern Co. (The) 673,975 966,557 2,310,013 2,842,778 5.87% Total Equities 41,563,171 47,735,728 98.59% Adjustment for transaction costs (15,343) Total Investments 41,547,828 47,735,728 98.59% Total unrealized gain on forward foreign currency contract(s) 438,653 0.91% Other Net Assets (Liabilities) 244,944 0.50% Net Assets Attributable to Holders of Redeemable Units 48,419,325 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) March 20, 2020 CAD 36,658,368 USD 27,900,000 1.31 Toronto-Dominion Bank (The) A-1+ 438,653 438,653

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 310 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 439 - - 439 Derivative assets - Swaps and swaptions - - - - Total 439 - - 439 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 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 176 (176) - - Derivative assets - Swaps and swaptions - - - - Total 176 (176) - - Derivative liabilities - Foreign currency forward contracts (2,088) 176 - (1,912) Derivative liabilities - Swaps and swaptions - - - - Total (2,088) 176 - (1,912)

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

Annual Financial Statements - December 31, 2019 – 311 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 7 12 Soft dollar commissions† - -

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 3,174,356 3,774,356 973,804 1,873,804 Redeemable units issued for cash - - 100,000 - Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (800,000) (600,000) (450,000) (900,000) Number of redeemable units at the end of year 2,374,356 3,174,356 623,804 973,804

Annual Financial Statements - December 31, 2019 – 312 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2019 2018 Loaned 2,948 3,724 Collateral (non-cash) 3,146 3,915

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

2019 2018 Gross securities lending revenue 14 20 Charges (5) (8) Securities lending revenue 9 12 % of gross securities lending revenue 59.9 58.0

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 313 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Limited Partnership Units 2.16 Equities Communication Services 2.10 Consumer Discretionary 18.58 Consumer Staples 13.71 Energy 6.00 Financials 10.49 Health Care 14.97 Industrials 8.11 Information Technology 16.67 Materials 2.12 Real Estate 2.10 Utilities 6.06 Total unrealized gain on forward foreign currency contracts 0.31 Total unrealized loss on forward foreign currency contracts (3.67) Other Net Assets (Liabilities) 0.29

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® US Target Dividend Total Return IndexTM 4,048,041 4,838,096

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

Annual Financial Statements - December 31, 2019 – 314 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 36,969 (36,220) 749 2.0 Total 36,969 (36,220) 749 2.0

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $75,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 10,936 - 10,936 98.9 Total 10,936 - 10,936 98.9

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $1,094,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 43,131,033 43,711 98,856 (42,062,676) 1,210,924 60,546 Total 43,131,033 43,711 98,856 (42,062,676) 1,210,924 60,546 As a % of Net Assets 103.1 0.1 0.2 (100.5) 2.9 0.1

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 15,533,552 15,742 35,603 - 15,584,897 779,245 Total 15,533,552 15,742 35,603 - 15,584,897 779,245 As a % of Net Assets 103.1 0.1 0.2 - 103.4 5.2

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

Annual Financial Statements - December 31, 2019 – 315 – CI First Asset Morningstar US Dividend Target 50 Index ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 47,736 - - 47,736 Derivatives - 439 - 439 Total 47,736 439 - 48,175

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 57,433,309 - - 57,433,309 Limited partnership units 1,231,276 - - 1,231,276 Derivatives - 176,468 - 176,468 Total 58,664,585 176,468 - 58,841,053

Financial liabilities Derivatives - 2,087,627 - 2,087,627 Total - 2,087,627 - 2,087,627

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 316 – CI First Asset Morningstar US Momentum Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 14,499 21,119 14.68 11.49 987,816 1,837,816 Current assets Unhedged Investments 34,928 40,639 Common Units 20,837 18,569 19.35 15.78 1,076,902 1,176,902 Cash 89 129 Unrealized gain on futures and foreign currency forward contracts 352 246 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 6 - Collateral on deposit for short sale - - Dividends receivable 5 34 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 35,380 41,048 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 13 1,325 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 18 24 Accounts payable and accrued liabilities 13 11 44 1,360 Net assets attributable to holders of redeemable units 35,336 39,688

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

Annual Financial Statements - December 31, 2019 – 317 – CIG - 580530437 CI First Asset Morningstar US Momentum Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 4,864 (5,913) 3.62 (2.81) 1,343,569 2,101,652 Net gain (loss) on investments and derivatives Unhedged Dividends 320 522 Common Units 4,041 (3,771) 3.47 (2.27) 1,163,614 1,657,724 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 224 3,439 Change in unrealized appreciation (depreciation) in value of investments and derivatives 8,654 (13,084) Total net gain (loss) on investments and derivatives 9,198 (9,123) Other income Foreign exchange gain (loss) on cash (4) (10) Securities lending revenue (Note 6) 7 10 Fees rebate 27 - Miscellaneous foreign income 2 2 Other income - - Total other income 32 2 Total income 9,230 (9,121) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 234 375 Audit fees - - Legal fees - - Independent review committee fees - 2 Commissions and other portfolio transaction costs 23 60 Securities borrowing fees (Note 2) - - Interest expense - 2 Withholding taxes 44 77 Harmonized sales tax 24 47 Other expenses - - Total expenses 325 563 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 8,905 (9,684)

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

Annual Financial Statements - December 31, 2019 – 318 – CI First Asset Morningstar US Momentum Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 21,119 28,934 18,569 51,325 39,688 80,259 Increase (decrease) in net assets attributable to holders of redeemable units 4,864 (5,913) 4,041 (3,771) 8,905 (9,684) Distributions to holders of redeemable units From net investment income (17) - (50) - (67) - From net realized gains ------Return of capital - - (4) - (4) - Total distributions to holders of redeemable units (17) - (54) - (71) -

Redeemable unit transactions Proceeds from redeemable units issued - 14,270 7,247 19,100 7,247 33,370 Reinvestment of distributions to holders of redeemable units 17 - 24 - 41 - Redemption of redeemable units (11,484) (16,172) (8,990) (48,085) (20,474) (64,257) Net increase (decrease) from redeemable unit transactions (11,467) (1,902) (1,719) (28,985) (13,186) (30,887) Net increase (decrease) in net assets attributable to holders of redeemable units (6,620) (7,815) 2,268 (32,756) (4,352) (40,571) Net assets attributable to holders of redeemable units at the end of year 14,499 21,119 20,837 18,569 35,336 39,688

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

Annual Financial Statements - December 31, 2019 – 319 – CI First Asset Morningstar US Momentum Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 8,905 (9,684) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (224) (3,439) Unrealized foreign exchange (gain) loss on cash 1 (5) Commissions 12 30 Change in unrealized (appreciation) depreciation in value of investments and derivatives (8,654) 13,084 Proceeds from sale and maturity of investments and derivatives 31,272 55,073 Purchase of investments and derivatives (31,374) (54,863) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 29 (25) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (6) (19) Amortization interest earned - - Change in other accounts receivable and payable (4) 1 Net cash from (used in) operating activities (43) 153

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (30) (179) Proceeds from issuance of redeemable units 46 206 Amounts paid on redemption of redeemable units (12) (296) Net cash from (used in) financing activities 4 (269)

Unrealized foreign exchange gain (loss) on cash (1) 5 Net increase (decrease) in cash (39) (116) Cash (bank overdraft), beginning of year 129 240 Cash (bank overdraft), end of year 89 129

Supplementary Information: Dividends received, net of withholding tax* 305 420 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (2) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 320 – CI First Asset Morningstar US Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services USD 338 Cable One Inc. 689,163 653,304 USD 115,466 Central European Media Enterprises Ltd., Class ‘A’ 710,001 679,221 USD 8,271 Cogent Communications Holdings Inc. 688,653 706,820 USD 1,757 NetEase Inc., ADR 735,907 699,615 2,823,724 2,738,960 7.75% Consumer Discretionary USD 2,512 Burlington Stores Inc. 435,780 743,824 USD 5,622 Choice Hotels International Inc. 569,051 755,085 USD 3,289 Deckers Outdoor Corp. 648,409 721,189 USD 1,821 Domino’s Pizza Inc. 553,529 694,690 USD 142 NVR Inc. 615,801 702,248 USD 2,527 Pool Corp. 491,553 696,911 USD 21,037 Rent-A-Center Inc. 684,224 787,839 USD 17,336 SeaWorld Entertainment Inc. 680,884 713,845 4,679,231 5,815,631 16.46% Consumer Staples USD 117,300 Avon Products Inc. 679,744 859,084 USD 7,694 Brown-Forman Corp., Class ‘B’ 693,142 675,395 USD 2,684 Estee Lauder Cos. Inc. (The), Class ‘A’ 576,288 719,856 USD 3,530 Hershey Co. (The) 520,392 673,739 USD 6,245 Lamb Weston Holdings Inc. 616,716 697,656 3,086,282 3,625,730 10.26% Financials USD 12,475 Cardtronics PLC 545,354 723,304 USD 7,840 Cohen & Steers Inc. 542,851 638,936 USD 5,764 LPL Financial Holdings Inc. 487,095 690,477 USD 2,308 Moody’s Corp. 489,882 711,530 2,065,182 2,764,247 7.82% Health Care USD 8,884 Anika Therapeutics Inc. 671,527 598,158 USD 2,365 Dexcom Inc. 714,086 671,766 USD 1,985 IDEXX Laboratories Inc. 539,656 673,094 USD 43,288 Ironwood Pharmaceuticals Inc., Class ‘A’ 691,287 748,177 USD 734 Mettler-Toledo International Inc. 609,630 756,103 USD 3,812 Molina Healthcare Inc. 704,927 671,675 USD 24,389 Select Medical Holdings Corp. 716,355 739,186 USD 16,470 Tenet Healthcare Corp. 679,735 813,352 5,327,203 5,671,511 16.05% Industrials USD 3,093 Allegiant Travel Co. 697,334 699,017 USD 5,524 Armstrong World Industries Inc. 668,116 674,065 USD 20,809 Builders FirstSource Inc. 702,417 686,617 USD 11,854 Casella Waste Systems Inc., Class ‘A’ 444,802 708,540 USD 4,008 Cimpress PLC 612,028 654,581 USD 5,512 Generac Holdings Inc. 426,559 719,984 USD 2,063 Huntington Ingalls Industries Inc. 689,654 672,085 USD 1,326 Lockheed Martin Corp. 560,582 670,465 4,801,492 5,485,354 15.52% Information Technology USD 4,301 Aspen Technology Inc. 542,970 675,402 USD 7,177 Booz Allen Hamilton Holding Corp. 524,390 662,910 USD 16,227 EVERTEC Inc. 613,985 717,276 USD 1,457 Fair Issac Corp. 590,509 708,890 USD 4,892 Keysight Technologies Inc. 630,886 651,958

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

Annual Financial Statements - December 31, 2019 – 321 – CI First Asset Morningstar US Momentum Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Information Technology (cont’d) USD 1,979 Paycom Software Inc. 332,639 680,388 USD 2,663 Ubiquiti Inc. 404,603 653,500 3,639,982 4,750,324 13.45% Materials USD 5,856 Ingevity Corp. 795,560 664,465 USD 13,542 Koppers Holdings Inc. 666,494 672,097 USD 910 Sherwin-Williams Co. (The) 491,758 689,558 USD 7,581 W.R. Grace & Co. 758,470 687,625 2,712,282 2,713,745 7.68% Real Estate USD 2,177 SBA Communications Corp. 542,734 681,265 542,734 681,265 1.93% Utilities USD 13,197 NRG Energy Inc. 664,859 681,194 664,859 681,194 1.93% Total Equities 30,342,971 34,927,961 98.85% Adjustment for transaction costs (4,793) Total Investments 30,338,178 34,927,961 98.85% Total unrealized gain on forward foreign currency contract(s) 351,993 1.00% Total unrealized loss on forward foreign currency contract(s) (12,815) (0.04)% Other Net Assets (Liabilities) 68,738 0.19% Net Assets Attributable to Holders of Redeemable Units 35,335,877 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) February 28, 2020 CAD 14,920,495 USD 11,225,000 1.33 Toronto-Dominion Bank (The) A-1+ 347,406 February 28, 2020 CAD 381,085 USD 290,000 1.31 Toronto-Dominion Bank (The) A-1+ 4,587 February 28, 2020 USD 535,000 CAD 707,389 1.32 Toronto-Dominion Bank (The) A-1+ (12,815) 339,178

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 322 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 352 (13) - 339 Derivative assets - Swaps and swaptions - - - - Total 352 (13) - 339 Derivative liabilities - Foreign currency forward contracts (13) 13 - - Derivative liabilities - Swaps and swaptions - - - - Total (13) 13 - - as at December 31, 2018 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 246 (246) - - Derivative assets - Swaps and swaptions - - - - Total 246 (246) - - Derivative liabilities - Foreign currency forward contracts (1,325) 246 - (1,079) Derivative liabilities - Swaps and swaptions - - - - Total (1,325) 246 - (1,079)

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

Annual Financial Statements - December 31, 2019 – 323 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 12 30 Soft dollar commissions† - 4

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 1,837,816 2,037,816 1,176,902 2,876,902 Redeemable units issued for cash - 950,000 400,000 950,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (850,000) (1,150,000) (500,000) (2,650,000) Number of redeemable units at the end of year 987,816 1,837,816 1,076,902 1,176,902

Annual Financial Statements - December 31, 2019 – 324 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2019 2018 Loaned 1,395 5,564 Collateral (non-cash) 1,475 5,913

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

2019 2018 Gross securities lending revenue 12 17 Charges (5) (7) Securities lending revenue 7 10 % of gross securities lending revenue 57.2 60.0

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

2019 Capital loss carried forward: 67 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 325 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 8.11 Consumer Discretionary 12.26 Consumer Staples 12.07 Energy 3.66 Financials 8.12 Health Care 15.44 Industrials 17.09 Information Technology 15.24 Materials 5.88 Real Estate 2.25 Utilities 2.28 Total unrealized gain on forward foreign currency contracts 0.62 Total unrealized loss on forward foreign currency contracts (3.34) Other Net Assets (Liabilities) 0.32

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® U.S. Target Momentum Total Return IndexTM 3,271,687 3,786,147

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

Annual Financial Statements - December 31, 2019 – 326 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 14,337 (14,255) 82 0.6 Total 14,337 (14,255) 82 0.6

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $8,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 20,603 - 20,603 98.9 Total 20,603 - 20,603 98.9

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $2,060,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 21,625,298 13,933 18,072 (21,495,064) 162,239 8,112 Total 21,625,298 13,933 18,072 (21,495,064) 162,239 8,112 As a % of Net Assets 102.4 0.1 0.1 (101.8) 0.8 -

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 19,014,148 12,250 15,890 - 19,042,288 952,114 Total 19,014,148 12,250 15,890 - 19,042,288 952,114 As a % of Net Assets 102.4 0.1 0.1 - 102.6 5.1

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

Annual Financial Statements - December 31, 2019 – 327 – CI First Asset Morningstar US Momentum Index ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 34,228 700 - 34,928 Derivatives - 352 - 352 Total 34,228 1,052 - 35,280

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (13) - (13) Total - (13) - (13)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 40,639,446 - - 40,639,446 Derivatives - 245,861 - 245,861 Total 40,639,446 245,861 - 40,885,307

Financial liabilities Derivatives - 1,325,414 - 1,325,414 Total - 1,325,414 - 1,325,414

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 328 – CI First Asset Morningstar US Value Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 15,513 29,011 11.03 10.52 1,406,368 2,756,368 Current assets Unhedged Investments 33,070 65,524 Common Units 18,028 35,214 14.55 14.44 1,239,009 2,439,009 Cash 50 86 Unrealized gain on futures and foreign currency forward contracts 366 276 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 94 85 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 33,580 65,971 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 9 1,691 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 17 39 Accounts payable and accrued liabilities 13 16 39 1,746 Net assets attributable to holders of redeemable units 33,541 64,225

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

Annual Financial Statements - December 31, 2019 – 329 – CIG - 580530427 CI First Asset Morningstar US Value Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 1,736 (9,795) 0.86 (3.01) 2,029,793 3,257,327 Net gain (loss) on investments and derivatives Unhedged Dividends 1,182 2,315 Common Units 483 (8,441) 0.27 (2.59) 1,797,091 3,253,941 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (11,672) 4,284 Change in unrealized appreciation (depreciation) in value of investments and derivatives 13,266 (23,761) Total net gain (loss) on investments and derivatives 2,776 (17,162) Other income Foreign exchange gain (loss) on cash (9) 13 Securities lending revenue (Note 6) 25 21 Fees rebate 4 - Miscellaneous foreign income - - Other income - - Total other income 20 34 Total income 2,796 (17,128) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 293 582 Audit fees - - Legal fees - - Independent review committee fees 1 3 Commissions and other portfolio transaction costs 89 115 Securities borrowing fees (Note 2) - - Interest expense 1 2 Withholding taxes 160 343 Harmonized sales tax 33 63 Other expenses - - Total expenses 577 1,108 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 2,219 (18,236)

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

Annual Financial Statements - December 31, 2019 – 330 – CI First Asset Morningstar US Value Index ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 29,011 57,336 35,214 81,028 64,225 138,364 Increase (decrease) in net assets attributable to holders of redeemable units 1,736 (9,795) 483 (8,441) 2,219 (18,236) Distributions to holders of redeemable units From net investment income (350) (434) (418) (788) (768) (1,222) From net realized gains - (751) - (2,038) - (2,789) Return of capital - (2) (2) - (2) (2) Total distributions to holders of redeemable units (350) (1,187) (420) (2,826) (770) (4,013)

Redeemable unit transactions Proceeds from redeemable units issued - - 2,131 15,659 2,131 15,659 Reinvestment of distributions to holders of redeemable units 58 656 66 2,166 124 2,822 Redemption of redeemable units (14,942) (17,999) (19,446) (52,372) (34,388) (70,371) Net increase (decrease) from redeemable unit transactions (14,884) (17,343) (17,249) (34,547) (32,133) (51,890) Net increase (decrease) in net assets attributable to holders of redeemable units (13,498) (28,325) (17,186) (45,814) (30,684) (74,139) Net assets attributable to holders of redeemable units at the end of year 15,513 29,011 18,028 35,214 33,541 64,225

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

Annual Financial Statements - December 31, 2019 – 331 – CI First Asset Morningstar US Value Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 2,219 (18,236) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 11,672 (4,284) Unrealized foreign exchange (gain) loss on cash 3 (5) Commissions 68 73 Change in unrealized (appreciation) depreciation in value of investments and derivatives (13,266) 23,761 Proceeds from sale and maturity of investments and derivatives 43,277 55,390 Purchase of investments and derivatives (43,288) (55,649) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (9) 19 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (22) (32) Amortization interest earned - - Change in other accounts receivable and payable (3) (4) Net cash from (used in) operating activities 651 1,033

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (646) (1,563) Proceeds from issuance of redeemable units 21 6 Amounts paid on redemption of redeemable units (59) (240) Net cash from (used in) financing activities (684) (1,797)

Unrealized foreign exchange gain (loss) on cash (3) 5 Net increase (decrease) in cash (33) (764) Cash (bank overdraft), beginning of year 86 845 Cash (bank overdraft), end of year 50 86

Supplementary Information: Dividends received, net of withholding tax* 1,013 1,992 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (2) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 332 – CI First Asset Morningstar US Value Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services USD 36,678 Cars.com Inc. 647,602 582,017 USD 31,713 CenturyLink Inc. 483,475 544,000 USD 104,654 Entercom Communications Corp. 657,874 630,569 USD 14,155 United States Cellular Corp. 637,626 665,943 USD 193,009 VEON Ltd., ADR 616,891 634,099 3,043,468 3,056,628 9.11% Consumer Discretionary USD 49,625 American Axle & Manufacturing Holdings Inc. 650,105 693,380 USD 37,675 Bed Bath & Beyond Inc. 735,145 846,366 USD 54,069 Ford Motor Co. 718,662 652,965 USD 13,584 General Motors Co. 636,209 645,606 USD 32,102 Macy’s Inc. 1,201,590 708,663 USD 197,874 Office Depot Inc. 705,601 704,041 USD 30,073 Signet Jewelers Ltd. 493,783 848,975 USD 14,358 Sonic Automotive Inc. 364,106 577,982 5,505,201 5,677,978 16.94% Consumer Staples USD 8,619 Bunge Ltd. 613,285 644,111 USD 10,909 Ingles Markets Inc., Class ‘A’ 460,643 673,021 USD 5,320 Tyson Foods Inc., Class ‘A’ 457,816 628,930 USD 9,225 Universal Corp. 708,196 683,529 2,239,940 2,629,591 7.84% Energy USD 253,148 Callon Petroleum Co. 1,390,975 1,587,743 USD 38,539 CONSOL Energy Inc. 1,258,906 726,150 USD 207,463 Laredo Petroleum Inc. 711,583 773,181 3,361,464 3,087,074 9.20% Financials USD 15,340 Ally Financial Inc. 467,530 608,748 USD 16,267 American Equity Investment Life Holding Co. 650,293 632,227 USD 4,396 American Financial Group Inc. 501,876 625,929 USD 4,867 Capital One Financial Corp. 515,019 650,396 USD 5,679 Discover Financial Services 474,751 625,502 USD 32,956 Navient Corp. 560,330 585,436 USD 19,913 Santander Consumer USA Holdings Inc. 433,846 604,302 USD 8,232 Voya Financial Inc. 490,192 651,856 4,093,837 4,984,396 14.86% Health Care USD 1,603 Anthem Inc. 378,852 628,698 USD 152,408 Mallinckrodt PLC 1,806,723 690,704 USD 27,112 Mylan NV 676,412 707,646 2,861,987 2,027,048 6.04% Industrials USD 16,403 Avis Budget Group Inc. 777,620 686,716 USD 18,944 Builders FirstSource Inc. 639,463 625,079 USD 15,677 Hawaiian Holdings Inc. 738,202 596,267 USD 30,640 Hertz Global Holdings Inc. 497,505 626,654 USD 30,680 Manitowoc Co. Inc. (The) 512,807 697,192 USD 5,177 United Airlines Holdings Inc. 502,147 592,193 3,667,744 3,824,101 11.40% Information Technology USD 38,241 Amkor Technology Inc. 449,495 645,552 USD 5,940 Arrow Electronics Inc. 519,088 653,632 USD 2,002 CACI International Inc., Class ‘A’ 330,508 649,898 USD 27,573 Hewlett Packard Enterprise Co. 579,869 567,866

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

Annual Financial Statements - December 31, 2019 – 333 – CI First Asset Morningstar US Value Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Information Technology (cont’d) USD 7,177 Insight Enterprises Inc. 529,030 655,081 USD 3,904 SYNNEX Corp. 495,214 652,957 USD 3,639 Tech Data Corp. 393,506 678,571 USD 66,236 TiVo Corp. 687,354 729,371 3,984,064 5,232,928 15.60% Materials USD 11,500 Greif Inc., Class ‘A’ 691,888 660,053 691,888 660,053 1.97% Utilities USD 4,063 Entergy Corp. 424,349 632,067 USD 10,609 Exelon Corp. 526,369 628,062 USD 5,396 Pinnacle West Capital Corp. 556,429 630,137 1,507,147 1,890,266 5.64% Total Equities 30,956,740 33,070,063 98.60% Adjustment for transaction costs (26,275) Total Investments 30,930,465 33,070,063 98.60% Total unrealized gain on forward foreign currency contract(s) 366,384 1.09% Total unrealized loss on forward foreign currency contract(s) (8,982) (0.03)% Other Net Assets (Liabilities) 113,285 0.34% Net Assets Attributable to Holders of Redeemable Units 33,540,750 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) February 28, 2020 CAD 15,505,351 USD 11,665,000 1.33 Toronto-Dominion Bank (The) A-1+ 361,024 February 28, 2020 CAD 368,875 USD 280,000 1.32 Toronto-Dominion Bank (The) A-1+ 5,360 February 28, 2020 USD 375,000 CAD 495,834 1.32 Toronto-Dominion Bank (The) A-1+ (8,982) 357,402

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 334 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 366 (9) - 357 Derivative assets - Swaps and swaptions - - - - Total 366 (9) - 357 Derivative liabilities - Foreign currency forward contracts (9) 9 - - Derivative liabilities - Swaps and swaptions - - - - Total (9) 9 - - as at December 31, 2018 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 276 (276) - - Derivative assets - Swaps and swaptions - - - - Total 276 (276) - - Derivative liabilities - Foreign currency forward contracts (1,691) 276 - (1,415) Derivative liabilities - Swaps and swaptions - - - - Total (1,691) 276 - (1,415)

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

Annual Financial Statements - December 31, 2019 – 335 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 68 73 Soft dollar commissions† 1 27

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 2,756,368 4,156,368 2,439,009 4,689,009 Redeemable units issued for cash - - 150,000 950,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (1,350,000) (1,400,000) (1,350,000) (3,200,000) Number of redeemable units at the end of year 1,406,368 2,756,368 1,239,009 2,439,009

Annual Financial Statements - December 31, 2019 – 336 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2019 2018 Loaned 3,685 9,216 Collateral (non-cash) 3,901 9,771

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

2019 2018 Gross securities lending revenue 44 37 Charges (19) (16) Securities lending revenue 25 21 % of gross securities lending revenue 56.0 55.8

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

2019 Capital loss carried forward: 12,809 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 337 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 3.80 Consumer Discretionary 21.01 Consumer Staples 11.74 Energy 7.58 Financials 14.75 Health Care 3.64 Industrials 9.76 Information Technology 11.46 Materials 7.20 Real Estate 1.70 Utilities 9.38 Total unrealized gain on forward foreign currency contracts 0.43 Total unrealized loss on forward foreign currency contracts (2.63) Other Net Assets (Liabilities) 0.18

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ Morningstar® U.S. Target Value Total Return IndexTM 3,139,192 6,147,233

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

Annual Financial Statements - December 31, 2019 – 338 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 15,315 (15,021) 294 1.9 Total 15,315 (15,021) 294 1.9

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $29,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 17,797 - 17,797 98.7 Total 17,797 - 17,797 98.7

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $1,780,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 29,597,742 24,902 38,449 (29,467,060) 194,033 9,702 Total 29,597,742 24,902 38,449 (29,467,060) 194,033 9,702 As a % of Net Assets 102.0 0.1 0.1 (101.6) 0.6 -

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 35,926,679 30,227 46,672 - 36,003,578 1,800,179 Total 35,926,679 30,227 46,672 - 36,003,578 1,800,179 As a % of Net Assets 102.0 0.1 0.1 - 102.2 5.1

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

Annual Financial Statements - December 31, 2019 – 339 – CI First Asset Morningstar US Value Index ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 32,436 634 - 33,070 Derivatives - 366 - 366 Total 32,436 1,000 - 33,436

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (9) - (9) Total - (9) - (9)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 65,524,421 - - 65,524,421 Derivatives - 276,242 - 276,242 Total 65,524,421 276,242 - 65,800,663

Financial liabilities Derivatives - (1,691,273) - (1,691,273) Total - (1,691,273) - (1,691,273)

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 340 – CI First Asset MSCI Canada Low Risk Weighted ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 6,358 10,323 12.59 10.81 504,994 954,994 Current assets Investments 6,325 10,267 Cash 26 25 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 20 39 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 6,371 10,331 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 3 5 Accounts payable and accrued liabilities 10 3 13 8 Net assets attributable to holders of redeemable units 6,358 10,323

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

Annual Financial Statements - December 31, 2019 – 341 – CIG - 580530197 CI First Asset MSCI Canada Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 1,562 (939) 2.50 (1.13) 624,583 834,172 Net gain (loss) on investments and derivatives Dividends 258 324 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 547 263 Change in unrealized appreciation (depreciation) in value of investments and derivatives 829 (1,458) Total net gain (loss) on investments and derivatives 1,634 (871) Other income Foreign exchange gain (loss) on cash - 1 Securities lending revenue (Note 6) 3 1 Fees rebate - 7 Miscellaneous foreign income - - Other income - - Total other income 3 9 Total income 1,637 (862) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 45 58 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 26 12 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 4 7 Other expenses - - Total expenses 75 77 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 1,562 (939)

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

Annual Financial Statements - December 31, 2019 – 342 – CI First Asset MSCI Canada Low Risk Weighted ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 10,323 10,963 Increase (decrease) in net assets attributable to holders of redeemable units 1,562 (939) Distributions to holders of redeemable units From net investment income (198) (228) From net realized gains - (57) Return of capital (14) - Total distributions to holders of redeemable units (212) (285)

Redeemable unit transactions Proceeds from redeemable units issued 6,051 4,631 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (11,366) (4,047) Net increase (decrease) from redeemable unit transactions (5,315) 584 Net increase (decrease) in net assets attributable to holders of redeemable units (3,965) (640) Net assets attributable to holders of redeemable units at the end of year 6,358 10,323

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

Annual Financial Statements - December 31, 2019 – 343 – CI First Asset MSCI Canada Low Risk Weighted ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 1,562 (939) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (547) (263) Unrealized foreign exchange (gain) loss on cash - - Commissions 1 1 Change in unrealized (appreciation) depreciation in value of investments and derivatives (829) 1,458 Proceeds from sale and maturity of investments and derivatives 1,470 1,956 Purchase of investments and derivatives (1,411) (1,884) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 19 (6) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (2) 2 Amortization interest earned - - Change in other accounts receivable and payable 7 (1) Net cash from (used in) operating activities 270 324

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (212) (354) Proceeds from issuance of redeemable units 47 37 Amounts paid on redemption of redeemable units (104) (18) Net cash from (used in) financing activities (269) (335)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash 1 (11) Cash (bank overdraft), beginning of year 25 36 Cash (bank overdraft), end of year 26 25

Supplementary Information: Dividends received, net of withholding tax* 277 318 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 344 – CI First Asset MSCI Canada Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services 2,455 BCE Inc. 145,040 147,693 2,775 Quebecor Inc., Class ‘B’ 87,246 91,964 1,603 Rogers Communications Inc., Class ‘B’ 100,805 103,361 3,837 Shaw Communications Inc., Class ‘B’ 103,037 101,105 3,130 TELUS Corp. 145,455 157,376 581,583 601,499 9.46% Consumer Discretionary 371 Canadian Tire Corp. Ltd., Class ‘A’ 52,342 51,847 747 Dollarama Inc. 29,477 33,339 896 Gildan Activewear Inc. 37,213 34,397 437 Magna International Inc. 29,333 31,114 723 Restaurant Brands International Inc. 59,019 59,850 427 Stars Group Inc. (The) 10,533 14,471 217,917 225,018 3.54% Consumer Staples 1,188 Alimentation Couche-Tard Inc., Class ‘B’ 42,874 48,957 707 Empire Co. Ltd., Class ‘A’ 21,418 21,535 1,177 George Weston Ltd. 121,297 121,255 1,271 Loblaw Cos. Ltd. 80,245 85,157 1,700 Metro Inc. 80,401 91,103 1,745 Saputo Inc. 69,963 70,149 416,198 438,156 6.89% Energy 1,447 Cameco Corp. 19,742 16,698 873 Canadian Natural Resources Ltd. 30,951 36,666 1,107 Cenovus Energy Inc. 14,009 14,612 1,155 Enbridge Inc. 54,125 59,633 2,189 Encana Corp. 15,532 13,309 2,904 Husky Energy Inc. 38,194 30,260 1,931 Imperial Oil Ltd. 73,126 66,330 1,433 Keyera Corp. 47,389 48,751 841 Parkland Fuel Corp. 39,847 40,124 2,124 Pembina Pipeline Corp. 96,229 102,228 2,508 PrairieSky Royalty Ltd. 46,442 38,197 1,414 Suncor Energy Inc. 59,588 60,180 1,260 TC Energy Corp. 74,646 87,142 609,820 614,130 9.66% Financials 1,167 Bank of Montreal 110,305 117,447 1,736 Bank of Nova Scotia 124,585 127,336 1,212 Brookfield Asset Management Inc., Class ‘A’ 71,520 90,936 1,138 Canadian Imperial Bank of Commerce 123,198 122,972 3,180 CI Financial Corp. 69,875 69,038 111 Fairfax Financial Holdings Ltd. 68,692 67,681 3,297 Great-West Lifeco Inc. 104,410 109,658 958 iA Financial Corp. Inc. 50,832 68,334 2,354 IGM Financial Inc. 86,764 87,757 958 Intact Financial Corp. 105,556 134,522 2,409 Manulife Financial Corp. 56,043 63,501 2,117 National Bank of Canada 129,952 152,593 939 Onex Corp. 75,597 77,158 3,218 Power Corp. of Canada 93,249 107,642 3,545 Power Financial Corp. 107,928 123,862 1,454 Royal Bank of Canada 142,127 149,399

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

Annual Financial Statements - December 31, 2019 – 345 – CI First Asset MSCI Canada Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Financials (cont’d) 1,488 Sun Life Financial Inc. 77,466 88,104 1,849 Toronto-Dominion Bank (The) 131,278 134,663 1,729,377 1,892,603 29.78% Health Care 2,682 Aurora Cannabis Inc. 13,170 7,483 192 Bausch Health Cos. Inc. 7,184 7,463 210 Canopy Growth Corp. 10,267 5,735 1,301 Cronos Group Inc. 18,188 12,971 48,809 33,652 0.53% Industrials 427 Air Canada 19,147 20,714 3,227 Bombardier Inc., Class ‘B’ 7,005 6,228 1,557 CAE Inc. 41,977 53,530 701 Canadian National Railway Co. 76,637 82,346 187 Canadian Pacific Railway Ltd. 49,668 61,903 745 WSP Global Inc. 54,863 66,059 249,297 290,780 4.57% Information Technology 1,867 BlackBerry Ltd. 17,492 15,589 1,050 CGI Inc. 92,498 114,104 38 Constellation Software Inc. 37,599 47,924 983 Open Text Corp. 46,822 56,247 27 Shopify Inc., Class ‘A’ 7,581 13,940 901 Thomson Reuters Corp. 64,079 83,694 266,071 331,498 5.21% Materials 357 Agnico Eagle Mines Ltd. 21,602 28,553 1,275 Barrick Gold Corp. 23,567 30,753 634 CCL Industries Inc., Class ‘B’ 34,769 35,073 633 First Quantum Minerals Ltd. 7,164 8,337 418 Franco-Nevada Corp. 42,435 56,050 3,283 Kinross Gold Corp. 15,854 20,223 246 Kirkland Lake Gold Ltd. 12,020 14,081 1,701 Lundin Mining Corp. 11,422 13,200 407 Methanex Corp. 23,437 20,411 563 Nutrien Ltd. 36,756 35,002 614 Teck Resources Ltd., Class ‘B’ 14,362 13,827 307 West Fraser Timber Co. Ltd. 18,351 17,585 859 Wheaton Precious Metals Corp. 25,096 33,192 286,835 326,287 5.13% Real Estate 1,819 Canadian Apartment Properties REIT 99,503 96,425 6,269 First Capital REIT 130,809 129,580 7,196 H&R REIT 154,765 151,836 5,942 RioCan REIT 152,201 159,008 4,401 SmartCentres REIT 139,507 137,355 676,785 674,204 10.60% Utilities 6,761 Algonquin Power & Utilities Corp. 123,591 124,200 1,506 AltaGas Ltd. 32,353 29,789 2,185 ATCO Ltd., Class ‘I’ 96,980 108,747 3,109 Canadian Utilities Ltd., Class ‘A’ 113,127 121,780 2,372 Emera Inc. 115,304 132,334 2,940 Fortis Inc. 143,858 158,407

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

Annual Financial Statements - December 31, 2019 – 346 – CI First Asset MSCI Canada Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Utilities (cont’d) 6,488 Hydro One Ltd. 149,038 162,719 2,636 Inter Pipeline Ltd. 59,774 59,415 834,025 897,391 14.11% Total Equities 5,916,717 6,325,218 99.48% Adjustment for transaction costs (2,083) Total Investments 5,914,634 6,325,218 99.48% Other Net Assets (Liabilities) 33,126 0.52% Net Assets Attributable to Holders of Redeemable Units 6,358,344 100.00%

nuary 8, 2016 USD 23,206,250 CAD 17,500,000 1.3420 Canadian Imperial Bank of Commerce A+ (88,089)

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

Annual Financial Statements - December 31, 2019 – 347 – CI First Asset MSCI Canada Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 1 1 Soft dollar commissions† - -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 954,994 904,994 Redeemable units issued for cash 500,000 400,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (950,000) (350,000) Number of redeemable units at the end of year 504,994 954,994

Annual Financial Statements - December 31, 2019 – 348 – CI First Asset MSCI Canada Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) Related Party Investments (Note 9) as at December 31, 2019 (%) as at December 31 (in $000’s)

Annual management fee rate: Investments 2019 Common Units 0.600 CI Financial Corp. 69

as at December 31, 2018 Securities Lending (Note 6) as at December 31 (in $000’s) During the year, the Fund engaged in trading securities of CI Financial Corp. (“CI”). The trades were executed by an unrelated broker and through the facilities of the Toronto Stock Exchange (“TSX”) at prevailing market prices on the days of the transactions. No related parties received any fees in 2019 2018 connection with the trades. The trades were executed in reliance on a standing instruction issued by Loaned 567 603 the Fund’s Independent Review Committee. As at December 31, 2018, the Fund held 7,905 shares of CI, Collateral (non-cash) 595 633 with a fair value of $136,598 and representing 1.30% of the Fund’s net assets.

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

2019 2018 Gross securities lending revenue 5 2 Charges (2) (1) Securities lending revenue 3 1 % of gross securities lending revenue 60.1 60.1

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

2019 Capital loss carried forward: 4 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 349 – CI First Asset MSCI Canada Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 9.22 Consumer Discretionary 4.10 Consumer Staples 8.68 Energy 11.39 Financials 31.25 Health Care 0.43 Industrials 6.49 Information Technology 5.67 Materials 4.74 Real Estate 9.70 Utilities 7.79 Other Net Assets (Liabilities) 0.54

Credit Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ MSCI Canada Risk Weighted Total Return Index 505,279 811,609

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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

Annual Financial Statements - December 31, 2019 – 350 – CI First Asset MSCI Canada Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 6,325 - - 6,325 Total 6,325 - - 6,325

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 10,267,182 - - 10,267,182 Total 10,267,182 - - 10,267,182

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 351 – CI First Asset MSCI Canada Quality Index Class ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets ETF Shares 582,723 8,282 27.14 22.35 21,470,545 370,545 Current assets Investments 580,712 8,271 Cash 1,498 26 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 1,027 26 Interest receivable - - Receivable for investments sold - - Receivable for share subscriptions - - 583,237 8,323 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for share redemptions - 3 Dividends payable to holders of redeemable shares - - Management fees payable 299 5 Accounts payable and accrued liabilities 215 33 514 41 Net assets attributable to holders of redeemable shares 582,723 8,282

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

Annual Financial Statements - December 31, 2019 – 352 – CIG - 580530357 CI First Asset MSCI Canada Quality Index Class ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average shares per class: shares per share: number of shares: 2019 2018 2019 2018 2019 2018 2019 2018 Income ETF Shares 40,654 (460) 2.97 (1.03) 13,673,833 448,627 Net gain (loss) on investments and derivatives Dividends 9,460 255 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 11,104 756 Change in unrealized appreciation (depreciation) in value of investments and derivatives 23,069 (1,361) Total net gain (loss) on investments and derivatives 43,633 (350) Other income Foreign exchange gain (loss) on cash (4) - Securities lending revenue (Note 6) 2 - Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income (2) - Total income 43,631 (350) Expenses Custody fees 35 21 Securityholder reporting costs 284 50 Management fees (Note 5) 2,183 62 Audit fees 4 10 Legal fees 18 1 Independent review committee fees 5 - Commissions and other portfolio transaction costs 159 4 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 278 10 Directors’ fees 11 1 Other expenses - - Total expenses 2,977 159 Expenses absorbed by the Manager (Note 5) - (49) Increase (decrease) in net assets attributable to holders of redeemable shares 40,654 (460)

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

Annual Financial Statements - December 31, 2019 – 353 – CI First Asset MSCI Canada Quality Index Class ETF Financial Statements

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

ETF Shares 2019 2018 Net assets attributable to holders of redeemable shares at the beginning of year 8,282 12,355 Increase (decrease) in net assets attributable to holders of redeemable shares 40,654 (460) Dividends to holders of redeemable shares From net investment income (7,561) (185) From net realized gains - - Return of capital - - Total dividends to holders of redeemable shares (7,561) (185)

Redeemable share transactions Proceeds from redeemable shares issued 571,903 1,189 Reinvestment of dividends to holders of redeemable shares - - Redemption of redeemable shares (30,555) (4,617) Net increase (decrease) from redeemable share transactions 541,348 (3,428) Net increase (decrease) in net assets attributable to holders of redeemable shares 574,441 (4,073) Net assets attributable to holders of redeemable shares at the end of year 582,723 8,282

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

Annual Financial Statements - December 31, 2019 – 354 – CI First Asset MSCI Canada Quality Index Class ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable shares 40,654 (460) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (11,104) (756) Unrealized foreign exchange (gain) loss on cash 3 - Commissions 151 1 Change in unrealized (appreciation) depreciation in value of investments and derivatives (23,069) 1,361 Proceeds from sale and maturity of investments and derivatives 134,418 2,292 Purchase of investments and derivatives (653,030) (2,274) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (1,001) (2) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 294 (1) Amortization interest earned - - Change in other accounts receivable and payable 182 66 Net cash from (used in) operating activities (512,502) 227

Cash flows from (used in) financing activities Dividends paid to holders of redeemable shares, net of reinvested dividends (7,561) (235) Proceeds from issuance of redeemable shares 538,918 4 Amounts paid on redemption of redeemable shares (17,380) (10) Net cash from (used in) financing activities 513,977 (241)

Unrealized foreign exchange gain (loss) on cash (3) - Net increase (decrease) in cash 1,475 (14) Cash (bank overdraft), beginning of year 26 40 Cash (bank overdraft), end of year 1,498 26

Supplementary Information: Dividends received, net of withholding tax* 8,459 253 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 355 – CI First Asset MSCI Canada Quality Index Class ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services 344,865 BCE Inc. 21,026,798 20,747,078 461,642 Rogers Communications Inc., Class ‘B’ 31,562,001 29,766,676 52,588,799 50,513,754 8.67% Consumer Discretionary 499,001 Gildan Activewear Inc. 24,557,997 19,156,648 397,892 Magna International Inc. 26,048,319 28,329,910 50,606,316 47,486,558 8.15% Consumer Staples 716,790 Alimentation Couche-Tard Inc., Class ‘B’ 29,128,713 29,538,916 525,423 Metro Inc. 26,047,555 28,157,419 543,317 Saputo Inc. 24,345,361 21,841,343 79,521,629 79,537,678 13.65% Energy 507,404 Keyera Corp. 16,471,782 17,261,884 330,730 Parkland Fuel Corp. 15,668,818 15,779,128 32,140,600 33,041,012 5.67% Financials 713,935 CI Financial Corp. 14,312,867 15,499,529 645,137 Great-West Lifeco Inc. 20,767,326 21,457,257 247,899 iA Financial Corp. Inc. 13,310,031 17,682,636 215,751 Intact Financial Corp. 24,572,071 30,295,755 1,113,672 Manulife Financial Corp. 28,888,176 29,356,394 479,113 Sun Life Financial Inc. 26,030,645 28,368,281 127,881,116 142,659,852 24.48% Industrials 340,000 Air Canada 17,092,624 16,493,400 560,020 CAE Inc. 18,134,257 19,253,488 236,802 Canadian National Railway Co. 29,217,001 27,817,131 92,352 Canadian Pacific Railway Ltd. 27,473,069 30,571,283 91,916,951 94,135,302 16.15% Information Technology 272,935 CGI Inc. 26,425,831 29,659,846 22,025 Constellation Software Inc. 25,924,895 27,777,049 52,350,726 57,436,895 9.86% Materials 350,182 CCL Industries Inc., Class ‘B’ 20,329,677 19,372,068 462,226 Kirkland Lake Gold Ltd. 20,519,836 26,457,816 40,849,513 45,829,884 7.86% Real Estate 193,452 Canadian Apartment Properties REIT 10,582,669 10,254,891 10,582,669 10,254,891 1.76% Utilities 879,171 Inter Pipeline Ltd. 18,865,831 19,816,515 18,865,831 19,816,515 3.40% Total Equities 557,304,150 580,712,341 99.65% Adjustment for transaction costs (108,366) Total Investments 557,195,784 580,712,341 99.65% Other Net Assets (Liabilities) 2,010,512 0.35% Net Assets Attributable to Holders of Redeemable Shares 582,722,853 100.00%

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

Annual Financial Statements - December 31, 2019 – 356 – CI First Asset MSCI Canada Quality Index Class ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 151 1 Soft dollar commissions† 1 -

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

ETF Shares 2019 2018 Number of redeemable shares at the beginning of year 370,545 520,545 Redeemable shares issued for cash 22,250,000 50,000 Redeemable shares issued for reinvested dividends - - Redeemable shares redeemed (1,150,000) (200,000) Number of redeemable shares at the end of year 21,470,545 370,545

Annual Financial Statements - December 31, 2019 – 357 – CI First Asset MSCI Canada Quality Index Class ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: ETF Shares 0.600

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

2019 2018 Loaned 31,111 441 Collateral (non-cash) 32,690 463

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

2019 2018 Gross securities lending revenue 4 - Charges (2) - Securities lending revenue 2 - % of gross securities lending revenue 60.0 -

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

Investments 2019 CI Financial Corp. 15,500 as at December 31, 2018

During the year, the Fund engaged in trading securities of CI Financial Corp. (“CI”). The trades were executed by an unrelated broker and through the facilities of the Toronto Stock Exchange (“TSX”) at prevailing market prices on the days of the transactions. No related parties received any fees in connection with the trades. The trades were executed in reliance on a standing instruction issued by the Fund’s Independent Review Committee. As at December 31, 2018, the Fund held 12,827 shares of CI, with a fair value of $221,650 and representing 2.7% of the Fund’s net assets.

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

Annual Financial Statements - December 31, 2019 – 358 – CI First Asset MSCI Canada Quality Index Class ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 8.35 Consumer Discretionary 12.74 Consumer Staples 15.62 Energy 4.89 Financials 25.43 Industrials 12.54 Information Technology 10.30 Materials 10.00 Other Net Assets (Liabilities) 0.13

Credit Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to credit risk as substantially all of its assets were invested in equities.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Shares December 31, 2019 December 31, 2018 Benchmark $ $ MSCI Canada Quality Total Return Index 57,679,191 820,406

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities.

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

Annual Financial Statements - December 31, 2019 – 359 – CI First Asset MSCI Canada Quality Index Class ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 580,712 - - 580,712 Total 580,712 - - 580,712

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 8,270,678 - - 8,270,678 Total 8,270,678 - - 8,270,678

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 360 – CI First Asset MSCI Europe Low Risk Weighted ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 57,057 50,971 30.43 24.57 1,874,820 2,074,820 Current assets Unhedged Investments 70,046 72,022 Common Units 13,831 19,501 29.12 25.16 474,964 774,964 Cash 106 63 Unrealized gain on futures and foreign currency forward contracts 418 102 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 381 454 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 70,951 72,641 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 12 2,113 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 36 37 Accounts payable and accrued liabilities 15 19 63 2,169 Net assets attributable to holders of redeemable units 70,888 70,472

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

Annual Financial Statements - December 31, 2019 – 361 – CIG - 580530207 CI First Asset MSCI Europe Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 12,720 (2,771) 6.59 (1.29) 1,930,162 2,143,313 Net gain (loss) on investments and derivatives Unhedged Dividends 2,227 2,692 Common Units 2,573 (469) 4.79 (0.52) 536,882 893,046 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 3,333 1,834 Change in unrealized appreciation (depreciation) in value of investments and derivatives 10,693 (6,765) Total net gain (loss) on investments and derivatives 16,253 (2,239) Other income Foreign exchange gain (loss) on cash (17) (63) Securities lending revenue (Note 6) - 21 Fees rebate - - Miscellaneous foreign income - - Other income 28 55 Total other income 11 13 Total income 16,264 (2,226) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 414 477 Audit fees - - Legal fees - - Independent review committee fees 1 3 Commissions and other portfolio transaction costs 81 179 Securities borrowing fees (Note 2) - - Interest expense 1 3 Withholding taxes 439 303 Harmonized sales tax 35 49 Other expenses - - Total expenses 971 1,014 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 15,293 (3,240)

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

Annual Financial Statements - December 31, 2019 – 362 – CI First Asset MSCI Europe Low Risk Weighted ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 50,971 52,099 19,501 23,062 70,472 75,161 Increase (decrease) in net assets attributable to holders of redeemable units 12,720 (2,771) 2,573 (469) 15,293 (3,240) Distributions to holders of redeemable units From net investment income (1,132) (1,357) (274) (474) (1,406) (1,831) From net realized gains (1,162) (662) - (228) (1,162) (890) Return of capital - - (13) (1) (13) (1) Total distributions to holders of redeemable units (2,294) (2,019) (287) (703) (2,581) (2,722)

Redeemable unit transactions Proceeds from redeemable units issued 2,484 10,539 - 7,962 2,484 18,501 Reinvestment of distributions to holders of redeemable units 1,183 832 4 206 1,187 1,038 Redemption of redeemable units (8,007) (7,709) (7,960) (10,557) (15,967) (18,266) Net increase (decrease) from redeemable unit transactions (4,340) 3,662 (7,956) (2,389) (12,296) 1,273 Net increase (decrease) in net assets attributable to holders of redeemable units 6,086 (1,128) (5,670) (3,561) 416 (4,689) Net assets attributable to holders of redeemable units at the end of year 57,057 50,971 13,831 19,501 70,888 70,472

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

Annual Financial Statements - December 31, 2019 – 363 – CI First Asset MSCI Europe Low Risk Weighted ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 15,293 (3,240) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (3,333) (1,834) Unrealized foreign exchange (gain) loss on cash 23 (19) Commissions 56 125 Change in unrealized (appreciation) depreciation in value of investments and derivatives (10,693) 6,765 Proceeds from sale and maturity of investments and derivatives 35,976 44,630 Purchase of investments and derivatives (22,445) (44,638) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 73 (80) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (1) (1) Amortization interest earned - - Change in other accounts receivable and payable (4) 7 Net cash from (used in) operating activities 14,943 1,715

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,394) (2,042) Proceeds from issuance of redeemable units 2,484 18,502 Amounts paid on redemption of redeemable units (15,967) (18,266) Net cash from (used in) financing activities (14,877) (1,806)

Unrealized foreign exchange gain (loss) on cash (23) 19 Net increase (decrease) in cash 66 (91) Cash (bank overdraft), beginning of year 63 135 Cash (bank overdraft), end of year 106 63

Supplementary Information: Dividends received, net of withholding tax* 1,861 2,308 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (3) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 364 – CI First Asset MSCI Europe Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Belgium EUR 9,638 Ageas NV 658,087 739,053 EUR 7,400 Groupe Bruxelles Lambert SA 884,727 1,012,086 EUR 12,740 Proximus SA 527,840 473,252 2,070,654 2,224,391 3.14% Denmark DKK 4,659 Carlsberg AS, Series ‘B’ 698,787 901,923 DKK 22,489 Tryg AS 692,324 865,197 1,391,111 1,767,120 2.49% Finland EUR 7,829 Elisa OYJ 413,876 561,248 EUR 14,926 Sampo OYJ, Series ‘A’ 912,833 845,371 1,326,709 1,406,619 1.98% France EUR 3,928 Air Liquide SA 533,566 721,562 EUR 19,727 CNP Assurances 577,026 509,111 EUR 6,048 Covivio 770,537 890,912 EUR 6,763 Danone 626,783 727,489 EUR 4,295 Eiffage SA 608,077 637,685 EUR 2,573 EssilorLuxottica 436,605 508,607 EUR 6,518 Eurazeo SE 629,709 578,745 EUR 3,166 Gecina SA 594,482 735,506 EUR 28,314 Getlink SE 636,300 639,228 EUR 725 Hermes International 457,809 703,048 EUR 6,351 ICADE 750,998 897,181 EUR 12,293 Klepierre SA 639,450 605,702 EUR 6,790 Legrand SA 631,287 717,940 EUR 1,898 L’Oreal SA 473,372 729,361 EUR 39,987 Orange SA 891,799 763,652 EUR 2,841 Pernod-Ricard SA 500,182 659,177 EUR 4,902 Thales SA 683,091 660,164 EUR 8,241 TOTAL SA 591,618 590,184 EUR 3,049 Unibail-Rodamco-Westfield 853,422 624,223 EUR 4,529 Vinci SA 496,022 652,650 12,382,135 13,552,127 19.12% Germany EUR 2,278 Allianz AG, Registered 724,573 724,184 EUR 4,773 Beiersdorf AG 606,829 740,960 EUR 3,311 Deutsche Boerse AG 670,579 675,453 EUR 33,425 Deutsche Telekom AG, Registered 769,773 708,881 EUR 3,010 Hannover Rueckversicherungs SE 453,018 754,909 EUR 4,567 Henkel AG & Co. KGaA 616,880 558,410 EUR 3,966 Henkel AG & Co. KGaA, Preferred 601,210 532,263 EUR 3,372 Merck KGaA 455,478 517,088 EUR 2,306 Muenchener Rueckversicherungs-Gesellschaft AG, Registered 631,820 882,791 EUR 4,832 Symrise AG 455,868 659,739 EUR 8,120 Vonovia SE 576,296 567,335 6,562,324 7,322,013 10.33% Ireland GBP 16,741 Experian PLC 425,179 733,926 EUR 3,651 Kerry Group PLC, Class ‘A’ 482,580 590,430 907,759 1,324,356 1.87% Italy EUR 79,023 Terna SPA 537,459 684,865 537,459 684,865 0.97%

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

Annual Financial Statements - December 31, 2019 – 365 – CI First Asset MSCI Europe Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Netherlands EUR 6,377 Heineken Holding NV 692,228 801,997 EUR 5,572 Heineken NV 730,373 769,859 GBP 16,242 Royal Dutch Shell PLC, Class ‘A’ 628,800 623,602 GBP 15,053 Royal Dutch Shell PLC, Class ‘B’ 577,215 579,114 EUR 7,236 Wolters Kluwer NV 404,918 684,839 3,033,534 3,459,411 4.88% Norway NOK 22,449 DNB ASA 533,896 543,302 NOK 25,907 Gjensidige Forsikring ASA 569,537 704,410 NOK 56,551 Orkla ASA 658,539 742,396 NOK 25,641 Telenor ASA 625,099 595,770 2,387,071 2,585,878 3.65% Spain EUR 2,901 Aena SME SA 708,626 719,971 EUR 16,522 Ferrovial SA 436,051 648,614 EUR 51,598 Iberdrola SA 485,401 689,474 EUR 16,932 Naturgy Energy Group SA 583,196 552,076 EUR 22,811 Red Electrica Corp. SA 620,670 595,177 2,833,944 3,205,312 4.52% Sweden SEK 9,883 ICA Gruppen AB 527,135 598,550 SEK 18,905 Industrivarden AB, Series ‘C’ 506,116 591,595 SEK 8,955 Investor AB, Series ‘B’ 469,648 634,144 SEK 11,109 L E Lundbergforetagen AB, Series ‘B’ 477,029 632,482 SEK 24,942 Securitas AB, Series ‘B’ 558,713 557,829 SEK 102,271 Telia Co. AB 646,233 570,230 3,184,874 3,584,830 5.06% Switzerland CHF 3,352 Baloise Holding AG, Registered 597,431 785,536 CHF 155 Chocoladefabriken Lindt & Sprungli AG 1,202,258 1,559,856 CHF 614 Ems-Chemie Holding AG, Registered 489,904 523,348 CHF 999 Geberit AG, Registered 555,398 726,690 CHF 227 Givaudan SA, Registered 591,769 921,373 CHF 2,490 Kuehne + Nagel International AG, Registered 475,292 544,181 CHF 8,847 Nestle SA, Registered 872,115 1,241,362 CHF 5,237 Novartis AG, Registered 567,679 644,499 CHF 6,634 Pargesa Holding SA, Class ‘B’ 649,979 714,703 CHF 590 Partners Group Holding AG 550,849 701,125 CHF 1,677 Roche Holding AG Genusscheine 544,412 705,158 CHF 1,542 Schindler Holding AG 378,436 508,389 CHF 1,733 Schindler Holding AG, Registered 415,240 550,474 CHF 227 SGS SA, Registered 676,869 805,860 CHF 1,299 Swiss Life Holding AG, Registered 626,114 845,066 CHF 9,364 Swiss Prime Site AG, Registered 1,031,400 1,403,186 CHF 5,801 Swiss Re AG 687,172 844,416 CHF 1,428 Swisscom AG 939,763 980,236 CHF 1,608 Zurich Insurance Group AG 715,392 855,086 12,567,472 15,860,544 22.36% U.K. GBP 16,983 Admiral Group PLC 578,602 673,641 GBP 57,660 British Land Co. PLC (The) 666,780 632,747 GBP 19,692 Bunzl PLC 709,413 698,554 GBP 16,886 Compass Group PLC 413,007 548,250 GBP 7,651 Croda International PLC 640,054 672,943 GBP 15,180 Diageo PLC 652,588 834,603

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

Annual Financial Statements - December 31, 2019 – 366 – CI First Asset MSCI Europe Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.K. (cont’d) GBP 17,773 Halma PLC 549,756 646,051 GBP 64,807 HSBC Holdings PLC 713,912 658,962 GBP 45,173 Informa PLC 539,620 665,043 GBP 7,092 InterContinental Hotels Group PLC 604,854 634,498 GBP 43,517 Land Securities Group PLC 761,172 740,090 GBP 48,678 National Grid PLC 799,064 789,647 GBP 22,844 RELX PLC 576,590 747,776 GBP 71,102 RSA Insurance Group PLC 659,020 690,846 GBP 56,043 SEGRO PLC 508,935 863,775 GBP 23,208 Smith & Nephew PLC 671,177 730,587 GBP 24,759 SSE PLC 617,153 611,833 EUR 8,024 Unilever NV 598,625 598,354 GBP 183,594 William Morrison Supermarkets PLC 630,160 630,150 11,890,482 13,068,350 18.44% Total Equities 61,075,528 70,045,816 98.81% Adjustment for transaction costs (110,448) Total Investments 60,965,080 70,045,816 98.81% Total unrealized gain on forward foreign currency contract(s) 418,055 0.59% Total unrealized loss on forward foreign currency contract(s) (11,621) (0.02)% Other Net Assets (Liabilities) 436,022 0.62% Net Assets Attributable to Holders of Redeemable Units 70,888,272 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) February 28, 2020 CAD 13,567,094 CHF 10,060,000 1.35 Bank of Montreal A-1 45,281 February 28, 2020 CAD 26,352,900 EUR 17,800,000 1.48 Bank of Montreal A-1 357,858 February 28, 2020 CAD 9,740,738 GBP 5,655,000 1.72 Bank of Montreal A-1 13,136 February 28, 2020 CAD 1,625,735 GBP 950,000 1.71 Bank of Montreal A-1 (8,433) February 28, 2020 CAD 3,101,630 SEK 22,355,000 0.14 Bank of Montreal A-1 (2,870) February 28, 2020 CHF 630,000 CAD 845,014 1.34 Bank of Montreal A-1 1,780 February 28, 2020 SEK 1,745,000 CAD 242,651 0.14 Bank of Montreal A-1 (318) 406,434

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 367 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 418 (12) - 406 Derivative assets - Swaps and swaptions - - - - Total 418 (12) - 406 Derivative liabilities - Foreign currency forward contracts (12) 12 - - Derivative liabilities - Swaps and swaptions - - - - Total (12) 12 - - as at December 31, 2018 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 102 (102) - - Derivative assets - Swaps and swaptions - - - - Total 102 (102) - - Derivative liabilities - Foreign currency forward contracts (2,113) 102 - (2,011) Derivative liabilities - Swaps and swaptions - - - - Total (2,113) 102 - (2,011)

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

Annual Financial Statements - December 31, 2019 – 368 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 56 125 Soft dollar commissions† 1 19

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 2,074,820 1,974,820 774,964 874,964 Redeemable units issued for cash 100,000 400,000 - 300,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (300,000) (300,000) (300,000) (400,000) Number of redeemable units at the end of year 1,874,820 2,074,820 474,964 774,964

Annual Financial Statements - December 31, 2019 – 369 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2019 2018 Loaned - 513 Collateral (non-cash) - 554

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

2019 2018 Gross securities lending revenue - 35 Charges - (14) Securities lending revenue - 21 % of gross securities lending revenue - 59.7

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 370 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Belgium 4.38 Denmark 2.75 Finland 2.04 France 20.57 Germany 10.61 Ireland 0.87 Italy 1.96 Luxembourg 0.82 Netherlands 4.28 Norway 2.10 Spain 5.51 Sweden 4.81 Switzerland 22.45 U.K. 19.04 Total unrealized gain on forward foreign currency contracts 0.15 Total unrealized loss on forward foreign currency contracts (3.00) Other Net Assets (Liabilities) 0.66

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ MSCI Europe Risk Weighted Top 100 Total Return Index 6,703,541 6,873,714

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

Annual Financial Statements - December 31, 2019 – 371 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Norwegian Krone 2,098 - 2,098 3.7 Danish Krone 1,444 - 1,444 2.5 British Pound 11,624 (11,362) 262 0.5 Swiss Franc 12,892 (12,675) 217 0.4 Swedish Krona 2,913 (2,862) 51 0.1 Euro 25,761 (25,995) (234) (0.4) Total 56,732 (52,894) 3,838 6.8

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $384,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 6,245 - 6,245 45.2 Swiss Franc 3,125 - 3,125 22.6 British Pound 2,818 - 2,818 20.4 Swedish Krona 706 - 706 5.1 Norwegian Krone 509 - 509 3.7 Danish Krone 350 - 350 2.5 Total 13,753 - 13,753 99.5

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $1,375,000. 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.

Annual Financial Statements - December 31, 2019 – 372 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ British pound 9,253,201 2,345 62,690 (9,314,614) 3,622 181 Danish krone 1,399,529 624 21,829 - 1,421,982 71,099 Euro 26,475,064 1,752 72,889 (26,021,468) 528,237 26,412 Norwegian krone 1,070,808 701 150 - 1,071,659 53,583 Swedish krona 2,450,790 388 - (2,446,796) 4,382 219 Swiss franc 11,442,906 3,170 170,554 (11,250,517) 366,113 18,306 United States dollar - 863 - - 863 43 Total 52,092,298 9,843 328,112 (49,033,395) 3,396,858 169,843 As a % of Net Assets 102.2 - 0.6 (96.2) 6.6 0.3

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ British pound 3,540,169 897 23,985 - 3,565,051 178,253 Danish krone 535,444 239 8,351 - 544,034 27,202 Euro 10,129,056 670 27,887 - 10,157,613 507,881 Norwegian krone 409,679 268 57 - 410,004 20,500 Swedish krona 937,644 148 - - 937,792 46,890 Swiss franc 4,377,925 1,213 65,252 - 4,444,390 222,220 United States dollar - 330 - - 330 17 Total 19,929,917 3,765 125,532 - 20,059,214 1,002,963 As a % of Net Assets 102.2 - 0.6 - 102.8 5.1

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 70,046 - - 70,046 Derivatives - 418 - 418 Total 70,046 418 - 70,464

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

Annual Financial Statements - December 31, 2019 – 373 – CI First Asset MSCI Europe Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (12) - (12) Total - (12) - (12)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 72,022,215 - - 72,022,215 Derivatives - 101,746 - 101,746 Total 72,022,215 101,746 - 72,123,961

Financial liabilities Derivatives - 2,112,987 - 2,112,987 Total - 2,112,987 - 2,112,987

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 374 – CI First Asset MSCI International Low Risk Weighted ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 9,108 26,105 22.77 19.34 400,000 1,350,000 Current assets Unhedged Investments 229,907 27,588 Common Units 221,562 1,005 22.38 20.10 9,900,000 50,000 Cash 371 108 Unrealized gain on futures and foreign currency forward contracts 116 16 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 111 - Collateral on deposit for short sale - - Dividends receivable 454 51 Interest receivable - - Receivable for investments sold 11 - Receivable for unit subscriptions - - 230,970 27,763 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 16 628 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 7 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 118 8 Accounts payable and accrued liabilities 159 17 300 653 Net assets attributable to holders of redeemable units 230,670 27,110

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

Annual Financial Statements - December 31, 2019 – 375 – CIG - 580530457 CI First Asset MSCI International Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 3,287 (514) 5.58 (1.78) 588,630 288,630 Net gain (loss) on investments and derivatives Unhedged Dividends 3,975 291 Common Units 9,421 (23) 1.67 (0.20) 5,624,384 115,479 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 3,050 96 Change in unrealized appreciation (depreciation) in value of investments and derivatives 6,476 (700) Total net gain (loss) on investments and derivatives 13,501 (313) Other income Foreign exchange gain (loss) on cash 50 (42) Securities lending revenue (Note 6) 8 - Fees rebate 726 - Miscellaneous foreign income - - Other income 143 48 Total other income 927 6 Total income 14,428 (307) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 822 50 Audit fees - - Legal fees - - Independent review committee fees 2 - Commissions and other portfolio transaction costs 524 136 Securities borrowing fees (Note 2) - - Interest expense 6 2 Withholding taxes 342 25 Harmonized sales tax 24 17 Other expenses - - Total expenses 1,720 230 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 12,708 (537)

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

Annual Financial Statements - December 31, 2019 – 376 – CI First Asset MSCI International Low Risk Weighted ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 26,105 3,084 1,005 3,106 27,110 6,190 Increase (decrease) in net assets attributable to holders of redeemable units 3,287 (514) 9,421 (23) 12,708 (537) Distributions to holders of redeemable units From net investment income (43) (110) (3,226) - (3,269) (110) From net realized gains (158) (22) (1,673) (50) (1,831) (72) Return of capital (186) (128) (709) (6) (895) (134) Total distributions to holders of redeemable units (387) (260) (5,608) (56) (5,995) (316)

Redeemable unit transactions Proceeds from redeemable units issued 2,213 23,795 217,292 4,184 219,505 27,979 Reinvestment of distributions to holders of redeemable units 138 - 1,634 - 1,772 - Redemption of redeemable units (22,248) - (2,182) (6,206) (24,430) (6,206) Net increase (decrease) from redeemable unit transactions (19,897) 23,795 216,744 (2,022) 196,847 21,773 Net increase (decrease) in net assets attributable to holders of redeemable units (16,997) 23,021 220,557 (2,101) 203,560 20,920 Net assets attributable to holders of redeemable units at the end of year 9,108 26,105 221,562 1,005 230,670 27,110

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

Annual Financial Statements - December 31, 2019 – 377 – CI First Asset MSCI International Low Risk Weighted ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 12,708 (537) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (3,050) (96) Unrealized foreign exchange (gain) loss on cash 5 (2) Commissions 424 52 Change in unrealized (appreciation) depreciation in value of investments and derivatives (6,476) 700 Proceeds from sale and maturity of investments and derivatives 78,982 7,209 Purchase of investments and derivatives (272,915) (28,661) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (403) (37) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 110 5 Amortization interest earned - - Change in other accounts receivable and payable 31 17 Net cash from (used in) operating activities (190,584) (21,350)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (4,223) (346) Proceeds from issuance of redeemable units 219,505 27,977 Amounts paid on redemption of redeemable units (24,430) (6,206) Net cash from (used in) financing activities 190,852 21,425

Unrealized foreign exchange gain (loss) on cash (5) 2 Net increase (decrease) in cash 268 75 Cash (bank overdraft), beginning of year 108 31 Cash (bank overdraft), end of year 371 108

Supplementary Information: Dividends received, net of withholding tax* 3,230 229 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (6) (2) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 378 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Australia AUD 25,100 ASX Ltd. 1,827,829 1,794,014 AUD 829,843 AusNet Services 1,371,385 1,285,954 AUD 16,322 Commonwealth Bank of Australia 1,163,410 1,188,778 AUD 104,217 Dexus 1,239,051 1,111,489 AUD 211,866 GPT Group 1,172,733 1,081,509 AUD 136,790 Insurance Australia Group Ltd. 1,015,167 955,133 AUD 331,212 Mirvac Group 918,499 960,094 AUD 47,807 National Australia Bank Ltd. 1,188,562 1,073,338 AUD 15,124 Ramsay Health Care Ltd. 937,648 999,920 AUD 275,261 Scentre Group 999,868 961,002 AUD 50,762 Sonic Healthcare Ltd. 1,251,521 1,330,324 AUD 107,347 Suncorp Group Ltd. 1,342,192 1,268,165 AUD 92,185 Transurban Group 1,214,854 1,252,906 AUD 405,098 Vicinity Centres 966,110 919,475 AUD 33,062 Wesfarmers Ltd. 1,141,361 1,247,700 AUD 39,688 Westpac Banking Corp. Ltd. 1,031,006 876,584 AUD 44,927 Woolworths Group Ltd. 1,395,450 1,480,869 20,176,646 19,787,254 8.58% Belgium EUR 17,405 Ageas NV 1,237,393 1,334,635 EUR 13,363 Groupe Bruxelles Lambert SA 1,696,281 1,827,635 2,933,674 3,162,270 1.37% Denmark DKK 8,413 Carlsberg AS, Series ‘B’ 1,496,777 1,628,649 DKK 40,613 Tryg AS 1,627,547 1,562,463 3,124,324 3,191,112 1.38% Finland EUR 14,138 Elisa OYJ 845,095 1,013,530 EUR 26,955 Sampo OYJ, Series ‘A’ 1,557,430 1,526,663 2,402,525 2,540,193 1.10% France EUR 7,093 Air Liquide SA 1,149,559 1,302,963 EUR 10,922 Covivio 1,539,191 1,608,886 EUR 12,214 Danone 1,337,597 1,313,848 EUR 7,756 Eiffage SA 1,040,628 1,151,544 EUR 11,770 Eurazeo SE 1,106,125 1,045,078 EUR 5,718 Gecina SA 1,161,127 1,328,372 EUR 51,133 Getlink SE 1,149,626 1,154,398 EUR 1,310 Hermes International 1,208,693 1,270,336 EUR 11,469 ICADE 1,321,249 1,620,182 EUR 22,200 Klépierre SA 1,001,992 1,093,841 EUR 12,262 Legrand SA 1,148,538 1,296,522 EUR 3,427 L’Oréal SA 1,230,561 1,316,924 EUR 72,213 Orange SA 1,510,387 1,379,087 EUR 5,131 Pernod-Ricard SA 1,215,294 1,190,510 EUR 8,852 Thales SA 1,353,307 1,192,119 EUR 14,883 TOTAL SA 1,042,901 1,065,855 EUR 5,506 Unibail-Rodamco-Westfield 1,148,789 1,127,246 EUR 8,180 Vinci SA 1,102,575 1,178,776 21,768,139 22,636,487 9.81% Germany EUR 4,114 Allianz AG, Registered 1,309,146 1,307,855 EUR 8,620 Beiersdorf AG 1,296,590 1,338,168 EUR 5,979 Deutsche Boerse AG 1,211,476 1,219,732 EUR 60,363 Deutsche Telekom AG, Registered 1,346,649 1,280,186

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

Annual Financial Statements - December 31, 2019 – 379 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Germany (cont’d) EUR 5,436 Hannover Rueckversicherungs SE 1,112,802 1,363,350 EUR 8,247 Henkel AG & Co. KGaA 1,020,479 1,008,365 EUR 7,163 Henkel AG & Co. KGaA, Preferred 953,536 961,321 EUR 4,165 Muenchener Rueckversicherungs-Gesellschaft AG, Registered 1,357,429 1,594,459 EUR 8,725 Symrise AG 1,091,229 1,191,272 EUR 14,665 Vonovia SE 1,014,623 1,024,627 11,713,959 12,289,335 5.33% Hong Kong HKD 97,283 CK Hutchison Holdings Ltd. 1,276,089 1,202,941 HKD 149,433 CK Infrastructure Holdings Ltd. 1,528,556 1,379,007 HKD 137,564 CLP Holdings Ltd. 2,038,396 1,875,024 HKD 40,401 Hang Seng Bank Ltd. 1,324,250 1,082,521 HKD 1,857,144 HK Electric Investments & HK Electric Investments Ltd 2,456,738 2,373,697 HKD 624,611 HKT Trust and HKT Ltd. 1,307,490 1,141,380 HKD 774,549 Hong Kong & China Gas Co. Ltd. 2,238,021 1,961,923 USD 149,835 Hongkong Land Holdings Ltd. 1,290,567 1,117,217 USD 14,119 Jardine Matheson Holdings Ltd. 1,167,306 1,017,970 USD 22,817 Jardine Strategic Holdings Ltd. 1,090,642 906,871 HKD 81,097 Link REIT 1,244,822 1,113,467 HKD 213,944 MTR Corp. Ltd. 1,748,578 1,639,639 HKD 1,451,786 PCCW Ltd. 1,135,263 1,113,838 HKD 176,749 Power Assets Holdings Ltd. 1,656,689 1,676,680 HKD 93,212 Swire Pacific Ltd., Class ‘A’ 1,394,245 1,123,127 22,897,652 20,725,302 8.98% Ireland GBP 30,234 Experian PLC 1,185,075 1,325,460 EUR 6,593 Kerry Group PLC, Class ‘A’ 1,022,232 1,066,203 2,207,307 2,391,663 1.04% Israel ILS 104,108 Bank Hapoalim Ltd. 1,032,359 1,119,806 ILS 116,779 Bank Leumi Le Israel 1,085,577 1,102,209 ILS 198,066 Israel Discount Bank, Class ‘A’ 1,074,602 1,190,516 ILS 30,971 Mizrahi Tefahot Bank Ltd. 932,417 1,069,737 ILS 4,597 NICE Ltd. 858,294 924,377 4,983,249 5,406,645 2.34% Italy EUR 149,543 Snam SPA 998,225 1,020,025 EUR 142,709 Terna SPA 1,170,550 1,236,809 2,168,775 2,256,834 0.98% Japan JPY 26,544 ANA Holdings Inc. 1,201,782 1,153,541 JPY 30,463 Canon Inc. 1,140,900 1,085,580 JPY 4,570 Central Japan Railway Co. 1,266,073 1,199,680 JPY 69,780 Chugoku Electric Power Co. Inc. (The) 1,226,960 1,190,676 JPY 485 Daiwa House REIT Investment Corp. 1,551,865 1,641,249 JPY 11,282 East Japan Railway Co. 1,425,690 1,327,093 JPY 27,244 Japan Airlines Co. Ltd. 1,110,559 1,104,315 JPY 102,902 Japan Post Bank Co. Ltd. 1,368,669 1,289,258 JPY 113,368 Japan Post Holdings Co. Ltd. 1,546,706 1,387,920 JPY 333 Japan Prime Realty Investment Corp. 1,890,023 1,893,362 JPY 241 Japan Real Estate Investment Corp. 1,917,403 2,070,503 JPY 719 Japan Retail Fund Investment Corp. 1,921,122 2,001,566 JPY 16,129 Keihan Holdings Co. Ltd. 1,069,999 1,020,023 JPY 18,448 Kintetsu Group Holdings Co. Ltd. 1,160,843 1,303,160 JPY 20,030 McDonald’s Holdings Co. (Japan) Ltd. 1,337,967 1,252,388

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

Annual Financial Statements - December 31, 2019 – 380 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Japan (cont’d) JPY 605,380 Mizuho Financial Group Inc. 1,256,383 1,215,735 JPY 29,113 Nagoya Railroad Ltd. 1,066,356 1,177,642 JPY 186 Nippon Building Fund Inc. 1,702,134 1,764,439 JPY 490 Nippon Prologis REIT Inc. 1,493,274 1,616,072 JPY 680 Nomura Real Estate Master Fund Inc. 1,387,345 1,505,960 JPY 37,105 NTT DOCOMO INC. 1,175,293 1,345,076 JPY 5,993 Oriental Land Co. Ltd. 1,121,361 1,064,079 JPY 837 ORIX JREIT Inc. 2,458,537 2,350,033 JPY 47,127 Osaka Gas Co. Ltd. 1,145,571 1,175,846 JPY 27,897 Sankyo Co. Ltd. 1,359,543 1,206,680 JPY 13,179 SECOM Co. Ltd. 1,456,598 1,537,498 JPY 38,179 Sekisui House Ltd. 1,123,818 1,063,063 JPY 845 United Urban Investment Corp. REIT 1,933,154 2,052,868 JPY 12,821 West Japan Railway Co. 1,397,802 1,444,330 41,213,730 41,439,635 17.97% Netherlands EUR 11,516 Heineken Holding NV 1,544,540 1,448,298 EUR 10,062 Heineken NV 1,434,539 1,390,224 GBP 29,331 Royal Dutch Shell PLC, Class ‘A’ 1,136,034 1,126,146 GBP 27,185 Royal Dutch Shell PLC, Class ‘B’ 1,042,884 1,045,853 EUR 13,067 Wolters Kluwer NV 1,230,631 1,236,703 6,388,628 6,247,224 2.71% New Zealand NZD 146,393 Auckland International Airport Ltd. 1,126,454 1,120,632 NZD 272,739 Meridian Energy Ltd. 1,077,160 1,193,032 2,203,614 2,313,664 1.00% Norway NOK 46,785 Gjensidige Forsikring ASA 1,192,694 1,272,081 NOK 102,127 Orkla ASA 1,155,267 1,340,714 NOK 46,305 Telenor ASA 1,129,372 1,075,899 3,477,333 3,688,694 1.60% Singapore SGD 696,124 Ascendas REIT 2,005,773 1,993,839 SGD 680,318 CapitaLand Commercial Trust Ltd. 1,310,178 1,305,606 SGD 289,608 CapitaLand Ltd. 949,894 1,047,343 SGD 749,023 CapitaLand Mall Trust 1,800,222 1,776,958 SGD 39,851 DBS Group Holdings Ltd. 982,123 994,605 SGD 686,934 Mapletree Commercial Trust 1,625,863 1,583,288 SGD 111,439 Oversea-Chinese Banking Corp. Ltd. 1,230,325 1,180,012 SGD 249,999 SATS Ltd. 1,223,808 1,219,932 SGD 181,456 Singapore Airlines Ltd. 1,668,418 1,581,928 SGD 207,535 Singapore Exchange Ltd. 1,531,247 1,773,259 SGD 514,799 Singapore Press Holdings Ltd. 1,165,471 1,082,284 SGD 341,825 Singapore Technologies Engineering Ltd. 1,331,887 1,298,814 SGD 531,679 Singapore Telecommunications Ltd. 1,665,214 1,727,931 SGD 1,039,784 Suntec REIT 1,882,958 1,845,049 SGD 42,971 United Overseas Bank Ltd. 1,087,063 1,094,437 SGD 252,944 Wilmar International Ltd. 911,667 1,005,006 22,372,111 22,510,291 9.76% Spain EUR 5,239 Aena SME SA 1,287,306 1,300,216 EUR 29,837 Ferrovial SA 959,705 1,171,328 EUR 93,181 Iberdrola SA 1,134,052 1,245,124 EUR 41,195 Red Electrica Corp. SA 1,111,869 1,074,846 4,492,932 4,791,514 2.08%

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

Annual Financial Statements - December 31, 2019 – 381 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Sweden SEK 17,848 ICA Gruppen AB 993,083 1,080,940 SEK 34,140 Industrivarden AB, Series ‘C’ 989,476 1,068,345 SEK 16,172 Investor AB, Series ‘B’ 1,003,367 1,145,213 SEK 20,061 L E Lundbergforetagen AB, Series ‘B’ 924,716 1,142,158 SEK 45,043 Securitas AB, Series ‘B’ 997,942 1,007,389 SEK 184,692 Telia Co. AB 1,075,085 1,029,783 5,983,669 6,473,828 2.81% Switzerland CHF 6,054 Baloise Holding AG, Registered 1,389,964 1,418,745 CHF 280 Chocoladefabriken Lindt & Sprüngli AG 2,606,171 2,817,805 CHF 1,805 Geberit AG, Registered 1,067,921 1,312,988 CHF 410 Givaudan SA, Registered 1,424,458 1,664,155 CHF 4,497 Kuehne + Nagel International AG, Registered 846,159 982,804 CHF 15,978 Nestlé SA, Registered 2,133,370 2,241,944 CHF 9,457 Novartis AG, Registered 1,080,399 1,163,839 CHF 11,981 Pargesa Holding SA, Class ‘B’ 1,209,274 1,290,753 CHF 1,066 Partners Group Holding AG 1,079,748 1,266,778 CHF 3,028 Roche Holding AG Genusscheine 1,075,834 1,273,237 CHF 3,129 Schindler Holding AG, Registered 896,610 993,903 CHF 410 SGS SA, Registered 1,375,241 1,455,518 CHF 2,346 Swiss Life Holding AG, Registered 1,459,154 1,526,193 CHF 16,911 Swiss Prime Site AG, Registered 1,929,749 2,534,097 CHF 10,476 Swiss Re AG 1,341,446 1,524,927 CHF 2,579 Swisscom AG 1,649,026 1,770,328 CHF 2,905 Zurich Insurance Group AG 1,312,121 1,544,792 23,876,645 26,782,806 11.61% U.K. GBP 30,670 Admiral Group PLC 1,109,555 1,216,544 GBP 35,562 Bunzl PLC 1,333,891 1,261,527 GBP 30,494 Compass Group PLC 965,773 990,071 GBP 13,817 Croda International PLC 1,166,806 1,215,273 GBP 27,413 Diageo PLC 1,524,710 1,507,178 GBP 209,919 Direct Line Insurance Group PLC 1,136,593 1,126,917 GBP 117,036 HSBC Holdings PLC 1,263,547 1,190,030 GBP 81,579 Informa PLC 1,114,748 1,201,018 GBP 78,588 Land Securities Group PLC 1,141,782 1,336,539 GBP 87,909 National Grid PLC 1,254,805 1,426,046 GBP 41,254 RELX PLC 1,267,997 1,350,409 GBP 128,404 RSA Insurance Group PLC 1,191,458 1,247,608 GBP 101,209 SEGRO PLC 1,222,637 1,559,907 GBP 41,912 Smith & Nephew PLC 1,240,414 1,319,388 GBP 44,713 SSE PLC 836,336 1,104,928 EUR 14,491 Unilever NV 1,137,228 1,080,601 GBP 331,554 William Morrison Supermarkets PLC 1,094,299 1,137,994 20,002,579 21,271,978 9.22% Total Equities 224,387,491 229,906,729 99.67% Adjustment for transaction costs (302,547) Total Investments 224,084,944 229,906,729 99.67% Total unrealized gain on forward foreign currency contract(s) 116,275 0.05% Total unrealized loss on forward foreign currency contract(s) (16,368) (0.01)% Other Net Assets (Liabilities) 663,684 0.29% Net Assets Attributable to Holders of Redeemable Units 230,670,320 100.00%

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

Annual Financial Statements - December 31, 2019 – 382 – CI First Asset MSCI International Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) February 28, 2020 AUD 205,000 CAD 185,252 0.90 Bank of Montreal A-1 1,834 February 28, 2020 CAD 988,303 AUD 1,090,000 0.91 Bank of Montreal A-1 (6,448) February 28, 2020 CAD 1,220,499 CHF 905,000 1.35 Bank of Montreal A-1 4,073 February 28, 2020 CAD 2,339,190 EUR 1,580,000 1.48 Bank of Montreal A-1 31,766 February 28, 2020 CAD 775,125 GBP 450,000 1.72 Bank of Montreal A-1 1,045 February 28, 2020 CAD 59,681 GBP 35,000 1.71 Bank of Montreal A-1 (525) February 28, 2020 CAD 150,643 GBP 88,000 1.71 Bank of Montreal A-1 (733) February 28, 2020 CAD 688,221 HKD 4,055,000 0.17 Bank of Montreal A-1 13,881 February 28, 2020 CAD 299,977 ILS 780,000 0.38 Bank of Montreal A-1 6,356 February 28, 2020 CAD 1,159,584 JPY 94,135,000 0.01 Bank of Montreal A-1 32,984 February 28, 2020 CAD 535,496 JPY 43,750,000 0.01 Bank of Montreal A-1 11,899 February 28, 2020 CAD 909,180 SGD 930,000 0.98 Bank of Montreal A-1 12,070 February 28, 2020 CHF 130,000 CAD 174,368 1.34 Bank of Montreal A-1 367 February 28, 2020 EUR 130,000 CAD 191,250 1.47 Bank of Montreal A-1 (1,398) February 28, 2020 GBP 25,000 CAD 43,289 1.73 Bank of Montreal A-1 (284) February 28, 2020 ILS 780,000 CAD 300,601 0.39 Bank of Montreal A-1 (6,980) 99,907

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 383 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 116 (16) - 100 Derivative assets - Swaps and swaptions - - - - Total 116 (16) - 100 Derivative liabilities - Foreign currency forward contracts (16) 16 - - Derivative liabilities - Swaps and swaptions - - - - Total (16) 16 - - as at December 31, 2018 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 16 (16) - - Derivative assets - Swaps and swaptions - - - - Total 16 (16) - - Derivative liabilities - Foreign currency forward contracts (628) 16 - (612) Derivative liabilities - Swaps and swaptions - - - - Total (628) 16 - (612)

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

Annual Financial Statements - December 31, 2019 – 384 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 424 52 Soft dollar commissions† 40 3

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 1,350,000 150,000 50,000 150,000 Redeemable units issued for cash 100,000 1,200,000 9,950,000 200,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (1,050,000) - (100,000) (300,000) Number of redeemable units at the end of year 400,000 1,350,000 9,900,000 50,000

Annual Financial Statements - December 31, 2019 – 385 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2019 2018 Loaned 1,895 317 Collateral (non-cash) 2,002 337

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

2019 2018 Gross securities lending revenue 13 - Charges (5) - Securities lending revenue 8 - % of gross securities lending revenue 60.0 -

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 386 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Australia 11.54 Belgium 2.41 Denmark 1.51 Finland 1.12 France 11.80 Germany 5.84 Hong Kong 11.20 Ireland 0.48 Israel 3.20 Italy 1.08 Japan 7.75 Luxembourg 0.46 Netherlands 2.36 New Zealand 0.42 Norway 1.16 Singapore 9.62 Spain 3.43 Sweden 2.65 Switzerland 12.37 U.K. 11.36 Total unrealized gain on forward foreign currency contracts 0.06 Total unrealized loss on forward foreign currency contracts (2.32) Other Net Assets (Liabilities) 0.50

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in foreign equities and therefore was sensitive to changes in general economic conditions across the world.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ MSCI EAFE Risk Weighted Top 175 Total Return Index 20,982,761 2,557,247

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

Annual Financial Statements - December 31, 2019 – 387 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Swedish Krona 257 - 257 2.8 Israeli Shekel 214 - 214 2.3 Norwegian Krone 146 - 146 1.6 Danish Krone 127 - 127 1.4 U.S. Dollar 121 - 121 1.3 New Zealand Dollar 92 - 92 1.0 Hong Kong Dollar 698 (674) 24 0.3 Swiss Franc 1,059 (1,042) 17 0.2 Euro 2,131 (2,118) 13 0.1 British Pound 937 (943) (6) (0.1) Singapore Dollar 891 (897) (6) (0.1) Japanese Yen 1,641 (1,650) (9) (0.1) Australian Dollar 787 (808) (21) (0.2) Total 9,101 (8,132) 969 10.5

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $97,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) Euro 51,846 - 51,846 23.4 Japanese Yen 39,927 - 39,927 18.0 Swiss Franc 25,767 - 25,767 11.6 British Pound 22,803 - 22,803 10.3 Singapore Dollar 21,687 - 21,687 9.8 Australian Dollar 19,145 - 19,145 8.6 Hong Kong Dollar 16,986 - 16,986 7.7 Swedish Krona 6,254 - 6,254 2.8 Israeli Shekel 5,207 - 5,207 2.4 Norwegian Krone 3,560 - 3,560 1.6 Danish Krone 3,082 - 3,082 1.4 U.S. Dollar 2,941 - 2,941 1.3 New Zealand Dollar 2,234 - 2,234 1.0 Total 221,439 - 221,439 99.9

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $22,144,000. 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.

Annual Financial Statements - December 31, 2019 – 388 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Australian dollar 3,011,289 7,762 25,957 (3,130,117) (85,109) (4,255) British pound 2,837,126 12,020 6,248 (2,776,974) 78,420 3,921 Danish krone 394,762 1,048 365 - 396,175 19,809 Euro 7,694,853 18,352 4,086 (7,915,972) (198,681) (9,934) Hong Kong dollar 2,473,298 2,049 - (2,550,245) (74,898) (3,745) Israeli new shekel 704,691 5,645 103 (705,388) 5,051 253 Japanese yen 2,024,165 2,528 7,704 (2,014,061) 20,336 1,017 New Zealand dollar 109,792 710 - - 110,502 5,525 Norwegian krone 302,046 1,150 464 - 303,660 15,183 Singapore dollar 2,510,849 7,556 1,224 (2,601,988) (82,359) (4,118) Swedish krona 691,241 1,350 441 - 693,032 34,652 Swiss franc 3,229,244 13,343 2,674 (3,169,590) 75,671 3,784 United States dollar 581,846 3,573 - - 585,419 29,271 Total 26,565,202 77,086 49,266 (24,864,335) 1,827,219 91,363 As a % of Net Assets 101.8 0.3 0.2 (95.2) 7.1 0.3

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Australian dollar 115,952 299 1,000 - 117,251 5,863 British pound 109,246 463 241 - 109,950 5,498 Danish krone 15,201 40 14 - 15,255 763 Euro 296,297 707 157 - 297,161 14,858 Hong Kong dollar 95,236 79 - - 95,315 4,766 Israeli new shekel 27,135 217 4 - 27,356 1,368 Japanese yen 77,942 97 297 - 78,336 3,917 New Zealand dollar 4,228 27 - - 4,255 213 Norwegian krone 11,631 44 18 - 11,693 585 Singapore dollar 96,682 291 47 - 97,020 4,851 Swedish krona 26,617 52 17 - 26,686 1,334 Swiss franc 124,345 514 103 - 124,962 6,248 United States dollar 22,404 138 - - 22,542 1,127 Total 1,022,916 2,968 1,898 - 1,027,782 51,391 As a % of Net Assets 101.8 0.3 0.2 - 102.3 5.1

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

Annual Financial Statements - December 31, 2019 – 389 – CI First Asset MSCI International Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 229,907 - - 229,907 Derivatives - 116 - 116 Total 229,907 116 - 230,023

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (16) - (16) Total - (16) - (16)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 27,588,118 - - 27,588,118 Derivatives - 15,559 - 15,559 Total 27,588,118 15,559 - 27,603,677

Financial liabilities Derivatives - 627,832 - 627,832 Total - 627,832 - 627,832

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 390 – CI First Asset MSCI USA Low Risk Weighted ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 15,908 12,728 18.35 14.68 866,898 866,898 Current assets Unhedged Investments 44,472 32,866 Common Units 29,119 19,645 22.40 18.71 1,299,996 1,049,996 Cash 87 43 Unrealized gain on futures and foreign currency forward contracts 553 43 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 6 2 Collateral on deposit for short sale - - Dividends receivable 85 70 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 45,203 33,024 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 139 620 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - 2 Management fees payable 23 18 Accounts payable and accrued liabilities 14 11 176 651 Net assets attributable to holders of redeemable units 45,027 32,373

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

Annual Financial Statements - December 31, 2019 – 391 – CIG - 580530217 CI First Asset MSCI USA Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 3,296 (630) 3.90 (0.98) 845,665 645,527 Net gain (loss) on investments and derivatives Unhedged Dividends 1,013 906 Common Units 4,631 1,858 3.83 1.44 1,209,037 1,285,886 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 3,247 2,499 Change in unrealized appreciation (depreciation) in value of investments and derivatives 4,007 (1,817) Total net gain (loss) on investments and derivatives 8,267 1,588 Other income Foreign exchange gain (loss) on cash (4) 3 Securities lending revenue (Note 6) 1 2 Fees rebate 49 23 Miscellaneous foreign income 45 7 Other income - - Total other income 91 35 Total income 8,358 1,623 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 242 199 Audit fees - - Legal fees - - Independent review committee fees - - Commissions and other portfolio transaction costs 23 44 Securities borrowing fees (Note 2) - - Interest expense - 1 Withholding taxes 144 120 Harmonized sales tax 22 31 Other expenses - - Total expenses 431 395 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 7,927 1,228

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

Annual Financial Statements - December 31, 2019 – 392 – CI First Asset MSCI USA Low Risk Weighted ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 12,728 9,828 19,645 30,704 32,373 40,532 Increase (decrease) in net assets attributable to holders of redeemable units 3,296 (630) 4,631 1,858 7,927 1,228 Distributions to holders of redeemable units From net investment income (117) (164) (548) (380) (665) (544) From net realized gains (127) - (648) - (775) - Return of capital - (1) (12) (27) (12) (28) Total distributions to holders of redeemable units (244) (165) (1,208) (407) (1,452) (572)

Redeemable unit transactions Proceeds from redeemable units issued 8,132 738 11,861 2,652 19,993 3,390 Reinvestment of distributions to holders of redeemable units 43 23 779 27 822 50 Redemption of redeemable units (8,047) (4,491) (6,589) (15,189) (14,636) (19,680) Acquisition of assets from terminated funds - 7,425 - - - 7,425 Net increase (decrease) from redeemable unit transactions 128 3,695 6,051 (12,510) 6,179 (8,815) Net increase (decrease) in net assets attributable to holders of redeemable units 3,180 2,900 9,474 (11,059) 12,654 (8,159) Net assets attributable to holders of redeemable units at the end of year 15,908 12,728 29,119 19,645 45,027 32,373

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

Annual Financial Statements - December 31, 2019 – 393 – CI First Asset MSCI USA Low Risk Weighted ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 7,927 1,228 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (3,247) (2,499) Unrealized foreign exchange (gain) loss on cash 2 (3) Commissions 3 4 Change in unrealized (appreciation) depreciation in value of investments and derivatives (4,007) 1,817 Proceeds from sale and maturity of investments and derivatives 9,226 9,153 Purchase of investments and derivatives (9,294) (16,247) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (15) 2 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 5 (4) Amortization interest earned - - Change in other accounts receivable and payable (1) (18) Net cash from (used in) operating activities 599 (6,567)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (632) (646) Proceeds from issuance of redeemable units 336 7,447 Amounts paid on redemption of redeemable units (257) (267) Net cash from (used in) financing activities (553) 6,534

Unrealized foreign exchange gain (loss) on cash (2) 3 Net increase (decrease) in cash 46 (33) Cash (bank overdraft), beginning of year 43 73 Cash (bank overdraft), end of year 87 43

Supplementary Information: Dividends received, net of withholding tax* 854 788 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 394 – CI First Asset MSCI USA Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Communication Services USD 3,828 AT&T Inc. 179,227 193,992 USD 1,884 Omnicom Group Inc. 192,367 197,938 USD 2,881 Verizon Communications Inc. 208,438 229,387 USD 1,107 Walt Disney Co. (The) 170,825 207,617 750,857 828,934 1.84% Consumer Discretionary USD 699 Home Depot Inc. (The) 164,809 197,946 USD 1,237 McDonald’s Corp. 267,409 316,982 USD 1,773 Starbucks Corp. 187,682 202,140 USD 2,694 TJX Cos. Inc. (The) 168,835 213,310 USD 2,563 Yum! Brands Inc. 331,455 334,783 1,120,190 1,265,161 2.81% Consumer Staples USD 2,375 Brown-Forman Corp., Class ‘B’ 157,664 208,193 USD 1,203 Clorox Co. (The) 222,083 239,521 USD 5,944 Coca-Cola Co. (The) 369,888 426,631 USD 2,993 Colgate-Palmolive Co. 271,501 267,180 USD 519 Costco Wholesale Corp. 145,519 197,812 USD 1,543 Hershey Co. (The) 240,085 294,090 USD 4,482 Hormel Foods Corp. 264,287 262,181 USD 1,241 Kimberly-Clark Corp. 205,663 221,355 USD 916 McCormick & Co. Inc. 151,298 201,609 USD 3,797 Mondelez International Inc., Class ‘A’ 263,658 271,201 USD 2,125 PepsiCo Inc. 324,730 376,607 USD 2,019 Procter & Gamble Co. (The) 252,208 327,005 USD 2,440 Sysco Corp. 202,567 270,655 3,071,151 3,564,040 7.92% Energy USD 1,403 Chevron Corp. 221,734 219,249 USD 2,787 Exxon Mobil Corp. 283,961 252,188 505,695 471,437 1.05% Financials USD 4,347 Aflac Inc. 250,262 298,196 USD 18,779 AGNC Investment Corp. 447,367 430,538 USD 249 Alleghany Corp. 201,578 258,174 USD 2,209 Allstate Corp. (The) 263,659 322,115 USD 2,108 American Financial Group Inc. 290,869 299,734 USD 32,779 Annaly Capital Management Inc. 422,829 400,408 USD 1,103 Aon PLC 218,956 297,920 USD 5,406 Arch Capital Group Ltd. 223,715 300,669 USD 2,748 Arthur J. Gallagher & Co. 253,015 339,349 USD 893 Berkshire Hathaway Inc., Class ‘B’ 216,545 262,286 USD 6,706 Brown & Brown Inc. 337,949 343,318 USD 1,958 Chubb Ltd. 354,280 395,226 USD 1,813 Cincinnati Financial Corp. 195,492 247,208 USD 914 CME Group Inc. 235,973 237,899 USD 842 Erie Indemnity Co., Class ‘A’ 222,790 181,249 USD 590 Everest Re Group Ltd. 173,743 211,805 USD 2,381 Globe Life Inc. 249,303 324,966 USD 3,710 Hartford Financial Services Group Inc. (The) 275,393 292,361 USD 2,214 Intercontinental Exchange Inc. 249,549 265,711 USD 4,631 Loews Corp. 285,631 315,216 USD 224 Markel Corp. 312,825 332,059 USD 2,317 Marsh & McLennan Cos. Inc. 254,001 334,739 USD 1,743 Nasdaq Inc. 203,545 242,071

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

Annual Financial Statements - December 31, 2019 – 395 – CI First Asset MSCI USA Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Financials (cont’d) USD 2,107 Progressive Corp. (The) 154,122 197,788 USD 1,300 Reinsurance Group of America Inc. 247,846 274,882 USD 981 RenaissanceRe Holdings Ltd. 186,674 249,359 USD 705 S&P Global Inc. 215,051 249,625 USD 1,692 Travelers Cos. Inc. (The) 287,323 300,482 USD 3,206 U.S. Bancorp 213,637 246,491 USD 4,323 W.R. Berkley Corp. 296,524 387,364 USD 1,013 Willis Towers Watson PLC 262,258 265,270 8,002,704 9,104,478 20.22% Health Care USD 2,019 Baxter International Inc. 176,467 218,929 USD 641 Becton, Dickinson & Co. 183,795 226,066 USD 1,304 Danaher Corp. 184,397 259,529 USD 1,787 Johnson & Johnson 299,153 338,023 USD 1,740 Medtronic PLC 209,817 255,982 USD 2,054 Merck & Co. Inc. 183,989 242,248 USD 4,659 Pfizer Inc. 224,421 236,708 USD 1,583 Quest Diagnostics Inc. 218,119 219,214 USD 832 Stryker Corp. 173,190 226,503 USD 498 Thermo Fisher Scientific Inc. 142,022 209,795 1,995,370 2,432,997 5.40% Industrials USD 1,850 Ametek Inc. 216,031 239,275 USD 1,355 Honeywell International Inc. 261,771 311,006 USD 1,129 Idex Corp. 217,318 251,813 USD 2,948 IHS Markit Ltd. 242,757 288,049 USD 507 Lockheed Martin Corp. 208,069 255,999 USD 416 Northrop Grumman Corp. 151,678 185,554 USD 689 Raytheon Co. 175,154 196,329 USD 3,685 Republic Services Inc. 333,850 428,299 USD 579 Roper Technologies Inc. 212,546 265,962 USD 1,234 United Technologies Corp. 204,974 239,644 USD 1,590 Verisk Analytics Inc. 242,867 307,914 USD 2,976 Waste Connections Inc. 330,925 350,370 USD 2,506 Waste Management Inc. 286,411 370,331 3,084,351 3,690,545 8.20% Information Technology USD 1,022 Accenture PLC, Class ‘A’ 231,563 279,064 USD 1,778 Amphenol Corp., Class ‘A’ 204,270 249,537 USD 938 Automatic Data Processing Inc. 156,862 207,388 USD 1,250 Broadridge Financial Solutions Inc. 164,684 200,251 USD 1,647 Citrix Systems Inc. 216,947 236,854 USD 1,790 Fidelity National Information Services Inc. 264,868 322,853 USD 1,819 Fiserv Inc. 196,353 272,747 USD 1,339 Jack Henry & Associates Inc. 231,453 252,934 USD 615 MasterCard Inc., Class ‘A’ 166,849 238,126 USD 1,348 Microsoft Corp. 218,530 275,663 USD 2,541 Paychex Inc. 237,969 280,276 USD 1,309 Visa Inc., Class ‘A’ 227,333 318,950 USD 6,646 Western Union Co. (The) 182,645 230,795 2,700,326 3,365,438 7.47% Materials USD 878 Air Products and Chemicals Inc. 212,210 267,547 USD 23,194 Amcor PLC 313,991 326,033 USD 2,356 Ball Corp. 149,713 197,576

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

Annual Financial Statements - December 31, 2019 – 396 – CI First Asset MSCI USA Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Materials (cont’d) USD 1,328 Ecolab Inc. 262,618 332,345 USD 864 Linde PLC 175,526 238,531 1,114,058 1,362,032 3.02% Real Estate USD 1,585 Alexandria Real Estate Equities Inc. 283,256 332,103 USD 944 American Tower Corp. 190,536 281,330 USD 1,393 AvalonBay Communities Inc. 356,804 378,796 USD 1,343 Boston Properties Inc. 229,504 240,088 USD 2,448 Camden Property Trust 314,437 336,809 USD 1,261 Crown Castle International Corp. 181,504 232,444 USD 6,587 Duke Realty Corp. 267,786 296,141 USD 283 Equinix Inc. 166,839 214,206 USD 4,680 Equity Lifestyle Properties Inc. 397,663 427,183 USD 3,221 Equity Residential 315,329 337,989 USD 881 Essex Property Trust Inc. 315,061 343,714 USD 1,513 Federal Realty Investment Trust 269,904 252,566 USD 3,956 Fidelity National Financial Inc. 206,835 232,643 USD 2,966 Liberty Property Trust 188,310 230,962 USD 1,735 Mid-America Apartment Communities Inc. 280,136 296,667 USD 3,646 National Retail Properties Inc. 268,105 253,513 USD 2,146 Prologis Inc. 197,095 248,061 USD 964 Public Storage Inc. 284,617 266,214 USD 2,770 Realty Income Corp. 266,384 264,479 USD 2,768 Regency Centers Corp. 239,389 226,456 USD 1,238 Simon Property Group Inc. 275,347 239,137 USD 1,941 Sun Communities Inc. 347,241 377,800 USD 5,659 UDR Inc. 317,153 342,699 USD 2,910 Vornado Realty Trust 280,685 250,941 USD 3,157 WP Carey Inc. 307,864 327,671 6,747,784 7,230,612 16.06% Utilities USD 6,168 Alliant Energy Corp. 368,611 437,670 USD 3,812 Ameren Corp. 323,903 379,639 USD 3,455 American Electric Power Co. Inc. 349,725 423,430 USD 2,107 American Water Works Co. Inc. 257,337 335,657 USD 5,011 Aqua America Inc. 293,823 305,017 USD 2,946 Atmos Energy Corp. 362,495 427,330 USD 10,382 CenterPoint Energy Inc. 354,565 367,132 USD 5,342 CMS Energy Corp. 359,771 435,308 USD 3,526 Consolidated Edison Inc. 379,491 413,661 USD 3,859 Dominion Energy Inc. 382,920 414,444 USD 2,975 DTE Energy Co. 442,830 501,018 USD 4,268 Duke Energy Corp. 477,475 504,804 USD 2,805 Entergy Corp. 339,383 435,759 USD 4,485 Evergy Inc. 347,791 378,558 USD 3,772 Eversource Energy 333,103 416,106 USD 6,236 Exelon Corp. 384,653 368,665 USD 5,184 FirstEnergy Corp. 306,096 326,706 USD 1,555 NextEra Energy Inc. 351,695 488,304 USD 9,328 NiSource Inc. 332,845 336,755 USD 6,736 OGE Energy Corp. 369,573 388,441 USD 3,166 Pinnacle West Capital Corp. 346,476 369,209 USD 6,315 PPL Corp. 270,280 293,820 USD 4,300 Public Services Enterprise Group Inc. 316,247 329,264 USD 1,671 Sempra Energy 267,954 328,237

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

Annual Financial Statements - December 31, 2019 – 397 – CI First Asset MSCI USA Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Utilities (cont’d) USD 5,002 Southern Co. (The) 342,690 413,180 USD 5,277 UGI Corp. 327,734 309,028 USD 7,494 Vistra Energy Corp. 247,844 223,413 USD 3,391 WEC Energy Group Inc. 318,778 405,561 USD 4,865 Xcel Energy Inc. 320,609 400,539 9,876,697 11,156,655 24.78% Total Equities 38,969,183 44,472,329 98.77% Adjustment for transaction costs (7,394) Total Investments 38,961,789 44,472,329 98.77% Total unrealized gain on forward foreign currency contract(s) 553,067 1.23% Total unrealized loss on forward foreign currency contract(s) (138,713) (0.31)% Other Net Assets (Liabilities) 140,468 0.31% Net Assets Attributable to Holders of Redeemable Units 45,027,151 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) February 28, 2020 CAD 15,679,521 USD 11,790,000 1.33 Bank of Montreal A-1 394,132 February 28, 2020 CAD 3,470,152 USD 2,610,000 1.33 Bank of Montreal A-1 86,363 February 28, 2020 CAD 3,735,102 USD 2,825,000 1.32 Bank of Montreal A-1 72,572 February 28, 2020 USD 2,610,000 CAD 3,435,439 1.32 Bank of Montreal A-1 (51,650) February 28, 2020 USD 2,660,000 CAD 3,535,675 1.33 Bank of Montreal A-1 (87,063) 414,354

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 398 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 553 (139) - 414 Derivative assets - Swaps and swaptions - - - - Total 553 (139) - 414 Derivative liabilities - Foreign currency forward contracts (139) 139 - - Derivative liabilities - Swaps and swaptions - - - - Total (139) 139 - - as at December 31, 2018 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 43 (43) - - Derivative assets - Swaps and swaptions - - - - Total 43 (43) - - Derivative liabilities - Foreign currency forward contracts (620) 43 - (577) Derivative liabilities - Swaps and swaptions - - - - Total (620) 43 - (577)

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

Annual Financial Statements - December 31, 2019 – 399 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 3 4 Soft dollar commissions† - -

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 866,898 650,165 1,049,996 1,749,996 Redeemable units issued for cash 450,000 50,000 550,000 150,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (450,000) (300,000) (300,000) (850,000) Redeemable units issued due to acquisition of assets from terminated funds - 466,733 - - Number of redeemable units at the end of year 866,898 866,898 1,299,996 1,049,996

Annual Financial Statements - December 31, 2019 – 400 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600 Unhedged Common Units 0.600

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

2019 2018 Loaned 2,092 3,000 Collateral (non-cash) 2,200 3,153

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

2019 2018 Gross securities lending revenue 2 4 Charges (1) (2) Securities lending revenue 1 2 % of gross securities lending revenue 60.0 56.8

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 401 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 2.80 Consumer Discretionary 3.29 Consumer Staples 9.94 Energy 1.27 Financials 18.98 Health Care 7.84 Industrials 11.16 Information Technology 8.64 Materials 3.75 Real Estate 12.05 Utilities 21.80 Total unrealized gain on forward foreign currency contracts 0.13 Total unrealized loss on forward foreign currency contracts (1.91) Other Net Assets (Liabilities) 0.26

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ MSCI USA Risk Weighted Top 150 Total Return Index 3,561,764 2,589,485

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

Annual Financial Statements - December 31, 2019 – 402 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 15,751 (15,499) 252 1.6 Total 15,751 (15,499) 252 1.6

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $25,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 28,832 - 28,832 99.0 Total 28,832 - 28,832 99.0

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $2,883,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 12,921,426 9,612 27,484 (12,833,179) 125,343 6,267 Total 12,921,426 9,612 27,484 (12,833,179) 125,343 6,267 As a % of Net Assets 101.5 0.1 0.2 (100.8) 1.0 -

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 19,944,301 14,836 42,421 - 20,001,558 1,000,078 Total 19,944,301 14,836 42,421 - 20,001,558 1,000,078 As a % of Net Assets 101.5 0.1 0.2 - 101.8 5.1

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

Annual Financial Statements - December 31, 2019 – 403 – CI First Asset MSCI USA Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 44,472 - - 44,472 Derivatives - 553 - 553 Total 44,472 553 - 45,025

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (139) - (139) Total - (139) - (139)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 32,865,727 - - 32,865,727 Derivatives - 43,147 - 43,147 Total 32,865,727 43,147 - 32,908,874

Financial liabilities Derivatives - 620,301 - 620,301 Total - 620,301 - 620,301

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 404 – CI First Asset MSCI World ESG Impact ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per class (Note 4): units per unit: units outstanding: as at 2019 2019 2019 2019 2019 2019 2019 Assets Common Units 1,082 1,082 21.65 21.65 50,000 50,000 Current assets Unhedged Investments 21,282 Common Units 20,268 20,268 21.33 21.33 950,000 950,000 Cash 59 Unrealized gain on futures and foreign currency forward contracts 23 Swaps, swaptions and options - Daily variation margin on derivative instruments - Fees rebate receivable 8 Collateral on deposit for short sale - Dividends receivable 19 Interest receivable - Receivable for investments sold - Receivable for unit subscriptions - 21,391 Liabilities Current liabilities Investments sold short - Bank overdraft - Unrealized loss on futures and foreign currency forward contracts 1 Swaps, swaptions and options - Dividends payable on investments sold short - Interest payable on investments sold short - Daily variation margin on derivative instruments - Payable for investments purchased - Payable for unit redemptions - Distributions payable to holders of redeemable units - Management fees payable 10 Accounts payable and accrued liabilities 30 41 Net assets attributable to holders of redeemable units 21,350

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

Annual Financial Statements - December 31, 2019 – 405 – CIG - 580530527 CI First Asset MSCI World ESG Impact ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2019 2019 2019 2019 2019 2019 Income Common Units 86 86 1.71 1.71 50,000 50,000 Net gain (loss) on investments and derivatives Unhedged Dividends 37 Common Units 108 108 0.37 0.37 295,455 295,455 Interest for distribution purposes - Income distributions from investments - Capital gain distributions from investments - Derivative income (loss) - Dividends expense on financial assets (liabilities) sold short - Interest expense on financial assets (liabilities) sold short - Net realized gain (loss) on sale of investments and derivatives (2) Change in unrealized appreciation (depreciation) in value of investments and derivatives 199 Total net gain (loss) on investments and derivatives 234 Other income Foreign exchange gain (loss) on cash (5) Securities lending revenue (Note 6) - Fees rebate 9 Miscellaneous foreign income - Other income 9 Total other income 13 Total income 247 Expenses Custody fees - Unitholders reporting costs - Management fees (Note 5) 12 Audit fees - Legal fees - Independent review committee fees - Commissions and other portfolio transaction costs 33 Securities borrowing fees (Note 2) - Interest expense - Withholding taxes 5 Harmonized sales tax 3 Other expenses - Total expenses 53 Expenses absorbed by the Manager (Note 5) - Increase (decrease) in net assets attributable to holders of redeemable units 194

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

Annual Financial Statements - December 31, 2019 – 406 – CI First Asset MSCI World ESG Impact ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2019 2019 Net assets attributable to holders of redeemable units at the beginning of period - - - Increase (decrease) in net assets attributable to holders of redeemable units 86 108 194 Distributions to holders of redeemable units From net investment income - (9) (9) From net realized gains - - - Return of capital (3) (60) (63) Total distributions to holders of redeemable units (3) (69) (72)

Redeemable unit transactions Proceeds from redeemable units issued 999 20,229 21,228 Reinvestment of distributions to holders of redeemable units - - - Redemption of redeemable units - - - Net increase (decrease) from redeemable unit transactions 999 20,229 21,228 Net increase (decrease) in net assets attributable to holders of redeemable units 1,082 20,268 21,350 Net assets attributable to holders of redeemable units at the end of period 1,082 20,268 21,350

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

Annual Financial Statements - December 31, 2019 – 407 – CI First Asset MSCI World ESG Impact ETF Financial Statements

Statement of Cash Flows for the period ended December 31 (in $000’s)

2019 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 194 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 2 Unrealized foreign exchange (gain) loss on cash - Commissions 15 Change in unrealized (appreciation) depreciation in value of investments and derivatives (199) Proceeds from sale and maturity of investments and derivatives 145 Purchase of investments and derivatives (21,267) (Increase) decrease in collateral on deposit for short sale - Non-cash distributions from investments - Change in daily variation margin - (Increase) decrease in dividends receivable (19) (Increase) decrease in interest receivable - Increase (decrease) in management fees payable 10 Amortization interest earned - Change in other accounts receivable and payable 22 Net cash from (used in) operating activities (21,097)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (72) Proceeds from issuance of redeemable units 21,228 Amounts paid on redemption of redeemable units - Net cash from (used in) financing activities 21,156

Unrealized foreign exchange gain (loss) on cash - Net increase (decrease) in cash 59 Cash (bank overdraft), beginning of period - Cash (bank overdraft), end of period 59

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

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

Annual Financial Statements - December 31, 2019 – 408 – CI First Asset MSCI World ESG Impact ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Australia AUD 1,969 CSL Ltd. 492,509 494,946 AUD 18,845 Dexus 207,325 200,985 AUD 33,468 GPT Group 185,064 170,844 884,898 866,775 4.06% Austria EUR 1,251 Andritz AG 65,279 69,925 65,279 69,925 0.33% Belgium EUR 530 Colruyt NV 36,631 35,858 EUR 3,387 Umicore SA 190,351 213,770 226,982 249,628 1.17% Canada 3,011 First Capital REIT 65,049 62,237 65,049 62,237 0.29% Denmark DKK 282 Genmab AS, Bearer 86,171 81,382 DKK 303 H. Lundbeck AS 15,325 15,015 DKK 7,689 Novo Nordisk AS, Series ‘B’ 568,600 579,116 DKK 3,250 Orsted AS 400,299 436,195 DKK 3,246 Vestas Wind Systems AS 405,003 425,667 1,475,398 1,537,375 7.20% France EUR 5,925 Danone 655,282 637,346 EUR 786 Gecina SA 179,119 182,599 EUR 4,153 Valeo SA 214,923 189,877 1,049,324 1,009,822 4.73% Hong Kong HKD 26,442 MTR Corp. Ltd. 198,579 202,648 HKD 27,383 Sun Hung Kai Properties Ltd. 531,208 543,676 HKD 20,102 Swire Properties Ltd. 83,844 86,481 813,631 832,805 3.90% Ireland USD 246 Jazz Pharmaceuticals PLC 48,683 47,620 EUR 2,641 Kingspan Group PLC 188,988 209,319 237,671 256,939 1.20% Japan JPY 8,207 Astellas Pharma Inc. 182,649 183,127 JPY 2,478 Central Japan Railway Co. 662,994 650,505 JPY 973 Chugai Pharmaceutical Co. Ltd. 110,221 117,031 JPY 5,195 East Japan Railway Co. 636,255 611,084 JPY 1,095 Eisai Co. Ltd. 104,143 107,193 JPY 45 Japan Retail Fund Investment Corp. 134,484 125,272 JPY 4,625 Kao Corp. 479,830 498,064 JPY 1,697 Kurita Water Industries Ltd. 62,854 65,911 JPY 2,749 Kyushu Railway Co. 122,863 119,728 JPY 34 Nippon Prologis REIT Inc. 120,918 112,136 JPY 608 NISSIN FOODS HOLDINGS CO. LTD. 60,078 58,910 JPY 1,653 Ono Pharmaceutical Co. Ltd. 48,369 49,350 JPY 727 Sysmex Corp. 66,548 64,619 JPY 2,433 Toto Ltd. 139,482 134,706 JPY 851 Toyo Suisan Kaisha Ltd. 48,474 47,015 JPY 3,872 Uni-Charm Corp. 167,619 170,948

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

Annual Financial Statements - December 31, 2019 – 409 – CI First Asset MSCI World ESG Impact ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Japan (cont’d) JPY 2,794 West Japan Railway Co. 325,941 314,754 JPY 1,149 Yakult Honsha Co. Ltd. 89,222 82,673 3,562,944 3,513,026 16.46% Netherlands EUR 986 QIAGEN NV 54,862 43,717 54,862 43,717 0.20% Norway NOK 4,217 Mowi ASA 139,096 142,010 NOK 7,206 Orkla ASA 92,808 94,600 231,904 236,610 1.11% Portugal EUR 43,976 Energias de Portugal SA 235,233 247,341 235,233 247,341 1.16% Singapore SGD 46,367 CapitaLand Commercial Trust Ltd. 90,937 88,983 SGD 44,363 CapitaLand Mall Trust 109,029 105,245 SGD 7,811 City Developments Ltd. 78,040 82,484 SGD 24,994 Keppel Corp. Ltd. 161,792 163,182 439,798 439,894 2.06% Sweden SEK 5,819 Essity AB, Class ‘B’ 242,053 243,276 242,053 243,276 1.14% Switzerland CHF 198 Vifor Pharma AG 46,432 46,838 46,432 46,838 0.22% U.K. GBP 2,057 Berkeley Group Holdings PLC 160,374 171,700 GBP 3,325 Johnson Matthey PLC 165,843 171,129 GBP 13,436 Pearson PLC 154,080 147,028 GBP 56,512 Taylor Wimpey PLC 167,667 187,753 647,964 677,610 3.17% U.S.A. USD 6,424 AbbVie Inc. 733,210 737,567 USD 686 Acuity Brands Inc. 119,659 122,761 USD 1,949 Alexandria Real Estate Equities Inc. 418,213 408,372 USD 2,606 Amgen Inc. 797,114 814,655 USD 801 Biogen Inc. 310,904 308,212 USD 780 BioMarin Pharmaceutical Inc. 82,732 85,519 USD 2,249 Citrix Systems Inc. 332,010 323,428 USD 1,206 Clorox Co. (The) 239,090 240,118 USD 7,821 Colgate-Palmolive Co. 708,461 698,167 USD 396 Dexcom Inc. 115,079 112,326 USD 904 Edwards Lifesciences Corp. 290,906 273,477 USD 5,790 General Mills Inc. 410,672 402,138 USD 5,503 Gilead Sciences Inc. 490,628 463,698 USD 8,438 Healthpeak Properties Inc. 390,563 377,170 USD 2,817 Hormel Foods Corp. 166,405 164,784 USD 2,451 Kellogg Co. 211,530 219,814 USD 3,302 Kimberly-Clark Corp. 596,680 588,971 USD 2,688 Liberty Property Trust 216,311 209,314 USD 1,057 Mohawk Industries Inc. 193,640 186,931 USD 1,869 Owens Corning 164,638 157,827

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

Annual Financial Statements - December 31, 2019 – 410 – CI First Asset MSCI World ESG Impact ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.S.A. (cont’d) USD 6,679 Procter & Gamble Co. (The) 1,083,774 1,081,757 USD 2,304 Tesla Motors Inc. 984,349 1,249,850 USD 396 Varian Medical Systems Inc. 69,524 72,924 USD 1,117 Vertex Pharmaceuticals Inc. 321,252 317,142 USD 1,407 VMware Inc., Class ‘A’ 290,411 276,945 USD 6,963 Welltower Inc. 784,505 738,414 USD 3,093 Xylem Inc. 318,548 316,015 10,840,808 10,948,296 51.28% Total Equities 21,120,230 21,282,114 99.68% Adjustment for transaction costs (14,934) Total Investments 21,105,296 21,282,114 99.68% Total unrealized gain on forward foreign currency contract(s) 22,985 0.11% Total unrealized loss on forward foreign currency contract(s) (1,044) 0.00% Other Net Assets (Liabilities) 46,184 0.21% Net Assets Attributable to Holders of Redeemable Units 21,350,239 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rate(s) Counterparty Rating* ($) February 28, 2020 CAD 44,428 AUD 49,000 0.91 Bank of Montreal A-1 (290) February 28, 2020 CAD 75,580 DKK 381,000 0.20 Bank of Montreal A-1 1,093 February 28, 2020 CAD 88,830 EUR 60,000 1.48 Bank of Montreal A-1 1,206 February 28, 2020 CAD 5,905 EUR 4,000 1.48 Bank of Montreal A-1 64 February 28, 2020 CAD 42,261 HKD 249,000 0.17 Bank of Montreal A-1 852 February 28, 2020 CAD 2,367 HKD 14,000 0.17 Bank of Montreal A-1 39 February 28, 2020 CAD 178,110 JPY 14,459,000 0.01 Bank of Montreal A-1 5,066 February 28, 2020 CAD 565,208 USD 425,000 1.33 Bank of Montreal A-1 14,208 February 28, 2020 CAD 30,275 USD 23,000 1.32 Bank of Montreal A-1 457 February 28, 2020 HKD 12,000 CAD 2,036 0.17 Bank of Montreal A-1 (41) February 28, 2020 USD 22,000 CAD 29,236 1.33 Bank of Montreal A-1 (713) 21,941

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 411 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

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 December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 23 (1) - 22 Derivative assets - Swaps and swaptions - - - - Total 23 (1) - 22 Derivative liabilities - Foreign currency forward contracts (1) 1 - - Derivative liabilities - Swaps and swaptions - - - - Total (1) 1 - -

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

Annual Financial Statements - December 31, 2019 – 412 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

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

2019 Brokerage commissions 15 Soft dollar commissions† -

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

Unhedged Common Units Common Units 2019 2019 Number of redeemable units at the beginning of period - - Redeemable units issued for cash 50,001 950,001 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (1) (1) Number of redeemable units at the end of period 50,000 950,000

Annual Financial Statements - December 31, 2019 – 413 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.550 Unhedged Common Units 0.550

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

2019 Loaned - Collateral (non-cash) -

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

2019 Gross securities lending revenue - Charges - Securities lending revenue - % of gross securities lending revenue -

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

2019 Capital loss carried forward: 7 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 414 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

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

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

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2019 Benchmark $ $ MSCI World ESG Select Impact ex Fossil Fuels Index Hedged to CAD 2,041,904

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) British Pound 35 - 35 3.2 Singapore Dollar 23 - 23 2.1 Norwegian Krone 12 - 12 1.1 Swedish Krona 12 - 12 1.1 U.S. Dollar 558 (552) 6 0.6 Japanese Yen 178 (173) 5 0.5 Danish Krone 78 (74) 4 0.4 Swiss Franc 2 - 2 0.2 Argentine Peso - - - - Australian Dollar 45 (45) - - Euro 93 (93) - - Hong Kong Dollar 42 (42) - - Total 1,078 (979) 99 9.2

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $10,000. 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.

Annual Financial Statements - December 31, 2019 – 415 – CI First Asset MSCI World ESG Impact ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2019~ (cont’d)

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 10,450 - 10,450 51.6 Japanese Yen 3,338 - 3,338 16.5 Euro 1,748 - 1,748 8.6 Danish Krone 1,466 - 1,466 7.2 Australian Dollar 838 - 838 4.1 Hong Kong Dollar 794 - 794 3.9 British Pound 650 - 650 3.2 Singapore Dollar 421 - 421 2.1 Norwegian Krone 226 - 226 1.1 Swedish Krona 232 - 232 1.1 Swiss Franc 46 - 46 0.2 Total 20,209 - 20,209 99.6

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $2,021,000. In practice, the actual results may differ from this analysis and the difference may be material.

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

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 21,282 - - 21,282 Derivatives - 23 - 23 Total 21,282 23 - 21,305

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

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

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

Annual Financial Statements - December 31, 2019 – 416 – CI First Asset MSCI World Low Risk Weighted ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 78,702 60,629 32.70 27.47 2,406,969 2,206,969 Current assets Unhedged Investments 429,762 731,589 Common Units 354,150 672,177 35.67 31.08 9,927,704 21,627,704 Cash 852 1,320 Unrealized gain on futures and foreign currency forward contracts 1,206 223 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 195 336 Collateral on deposit for short sale - - Dividends receivable 1,436 2,328 Interest receivable - - Receivable for investments sold 20 - Receivable for unit subscriptions - - 433,471 735,796 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 110 2,211 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 11 - Payable for unit redemptions - - Distributions payable to holders of redeemable units - 380 Management fees payable 239 372 Accounts payable and accrued liabilities 259 27 619 2,990 Net assets attributable to holders of redeemable units 432,852 732,806

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

Annual Financial Statements - December 31, 2019 – 417 – CIG - 580530227 CI First Asset MSCI World Low Risk Weighted ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 13,025 (826) 5.82 (0.38) 2,237,106 2,193,544 Net gain (loss) on investments and derivatives Unhedged Dividends 18,753 20,149 Common Units 103,179 31,189 6.71 1.74 15,376,197 17,886,060 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 77,516 13,019 Change in unrealized appreciation (depreciation) in value of investments and derivatives 22,267 (423) Total net gain (loss) on investments and derivatives 118,536 32,745 Other income Foreign exchange gain (loss) on cash (94) 99 Securities lending revenue (Note 6) 48 44 Fees rebate 3,093 3,249 Miscellaneous foreign income 24 3 Other income 225 97 Total other income 3,296 3,492 Total income 121,832 36,237 Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 3,576 3,674 Audit fees - - Legal fees - - Independent review committee fees 9 17 Commissions and other portfolio transaction costs 478 399 Securities borrowing fees (Note 2) - - Interest expense 22 41 Withholding taxes 1,496 1,697 Harmonized sales tax 47 46 Other expenses - - Total expenses 5,628 5,874 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 116,204 30,363

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

Annual Financial Statements - December 31, 2019 – 418 – CI First Asset MSCI World Low Risk Weighted ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 60,629 59,895 672,177 517,961 732,806 577,856 Increase (decrease) in net assets attributable to holders of redeemable units 13,025 (826) 103,179 31,189 116,204 30,363 Distributions to holders of redeemable units From net investment income (2,994) (1,085) (14,637) (15,794) (17,631) (16,879) From net realized gains (2,927) (168) (21,595) (12,481) (24,522) (12,649) Return of capital - (201) (385) - (385) (201) Total distributions to holders of redeemable units (5,921) (1,454) (36,617) (28,275) (42,538) (29,729)

Redeemable unit transactions Proceeds from redeemable units issued 9,520 5,618 19,387 144,412 28,907 150,030 Reinvestment of distributions to holders of redeemable units 4,369 174 22,655 13,020 27,024 13,194 Redemption of redeemable units (2,920) (2,778) (426,631) (6,130) (429,551) (8,908) Net increase (decrease) from redeemable unit transactions 10,969 3,014 (384,589) 151,302 (373,620) 154,316 Net increase (decrease) in net assets attributable to holders of redeemable units 18,073 734 (318,027) 154,216 (299,954) 154,950 Net assets attributable to holders of redeemable units at the end of year 78,702 60,629 354,150 672,177 432,852 732,806

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

Annual Financial Statements - December 31, 2019 – 419 – CI First Asset MSCI World Low Risk Weighted ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 116,204 30,363 Adjustments for: Net realized (gain) loss on sale of investments and derivatives (77,516) (13,019) Unrealized foreign exchange (gain) loss on cash 28 (52) Commissions 406 365 Change in unrealized (appreciation) depreciation in value of investments and derivatives (22,267) 423 Proceeds from sale and maturity of investments and derivatives 590,148 248,742 Purchase of investments and derivatives (192,037) (303,073) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 892 (898) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (133) 335 Amortization interest earned - - Change in other accounts receivable and payable 373 (335) Net cash from (used in) operating activities 416,098 (37,149)

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (15,894) (19,042) Proceeds from issuance of redeemable units 28,907 62,567 Amounts paid on redemption of redeemable units (429,551) (6,846) Net cash from (used in) financing activities (416,538) 36,679

Unrealized foreign exchange gain (loss) on cash (28) 52 Net increase (decrease) in cash (440) (470) Cash (bank overdraft), beginning of year 1,320 1,738 Cash (bank overdraft), end of year 852 1,320

Supplementary Information: Dividends received, net of withholding tax* 18,149 17,554 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (22) (41) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 420 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Australia AUD 35,064 ASX Ltd. 1,861,880 2,506,188 AUD 1,159,249 AusNet Services 1,895,271 1,796,414 AUD 22,802 Commonwealth Bank of Australia 1,662,659 1,660,735 AUD 295,967 GPT Group 1,447,730 1,510,818 AUD 66,784 National Australia Bank Ltd. 1,631,968 1,499,400 AUD 70,912 Sonic Healthcare Ltd. 1,931,739 1,858,396 AUD 128,778 Transurban Group 1,395,191 1,750,250 AUD 46,187 Wesfarmers Ltd. 1,772,416 1,743,014 AUD 62,760 Woolworths Group Ltd. 1,783,433 2,068,674 15,382,287 16,393,889 3.79% Belgium EUR 24,315 Ageas NV 1,905,008 1,864,501 EUR 18,668 Groupe Bruxelles Lambert SA 2,215,226 2,553,192 4,120,234 4,417,693 1.02% Bermuda USD 30,749 Arch Capital Group Ltd. 1,153,662 1,710,186 1,153,662 1,710,186 0.39% Canada 142,191 Algonquin Power & Utilities Corp. 2,599,251 2,612,049 45,946 ATCO Ltd., Class ‘I’ 1,900,180 2,286,732 24,554 Bank of Montreal 2,367,705 2,471,115 36,516 Bank of Nova Scotia 2,657,452 2,678,449 51,632 BCE Inc. 2,943,746 3,106,181 25,496 Brookfield Asset Management Inc., Class ‘A’ 1,344,014 1,912,965 38,264 Canadian Apartment Properties REIT 2,093,111 2,028,375 23,929 Canadian Imperial Bank of Commerce 2,619,458 2,585,768 14,740 Canadian National Railway Co. 1,680,670 1,731,508 65,392 Canadian Utilities Ltd., Class ‘A’ 2,482,849 2,561,405 22,079 CGI Inc. 1,920,978 2,399,325 49,880 Emera Inc. 2,211,886 2,782,805 131,853 First Capital REIT 2,675,754 2,725,402 61,842 Fortis Inc. 2,835,174 3,332,047 24,749 George Weston Ltd. 2,580,504 2,549,642 69,339 Great-West Lifeco Inc. 2,263,485 2,306,215 151,356 H&R REIT 3,136,632 3,193,612 136,451 Hydro One Ltd. 3,128,616 3,422,191 49,505 IGM Financial Inc. 1,697,326 1,845,546 20,149 Intact Financial Corp. 1,942,125 2,829,323 26,724 Loblaw Cos. Ltd. 1,487,981 1,790,508 35,751 Metro Inc. 1,487,546 1,915,896 44,529 National Bank of Canada 2,732,124 3,209,650 19,756 Onex Corp. 1,721,606 1,623,351 67,687 Power Corp. of Canada 1,927,615 2,264,130 74,550 Power Financial Corp. 2,304,604 2,604,777 58,366 Quebecor Inc., Class ‘B’ 1,844,568 1,934,249 124,968 RioCan REIT 3,144,009 3,344,144 33,717 Rogers Communications Inc., Class ‘B’ 2,020,808 2,174,072 30,587 Royal Bank of Canada 2,923,867 3,142,814 80,701 Shaw Communications Inc., Class ‘B’ 2,181,151 2,126,471 92,555 SmartCentres REIT 2,875,418 2,888,642 31,290 Sun Life Financial Inc. 1,558,683 1,852,681 26,493 TC Energy Corp. 1,446,748 1,832,256 65,838 TELUS Corp. 2,945,412 3,310,335 18,946 Thomson Reuters Corp. 1,076,823 1,759,894 38,879 Toronto-Dominion Bank (The) 2,691,692 2,831,558

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

Annual Financial Statements - December 31, 2019 – 421 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Canada (cont’d) USD 16,926 Waste Connections Inc. 2,130,741 1,992,731 85,582,312 93,958,814 21.71% Denmark DKK 11,753 Carlsberg AS, Series ‘B’ 2,151,426 2,275,231 DKK 56,734 Tryg AS 2,358,390 2,182,671 4,509,816 4,457,902 1.03% Finland EUR 37,655 Sampo OYJ, Series ‘A’ 2,201,923 2,132,684 2,201,923 2,132,684 0.49% France EUR 15,257 Covivio 2,007,852 2,247,462 EUR 17,062 Danone 1,705,894 1,835,342 EUR 7,988 Gecina SA 1,493,768 1,855,725 EUR 16,022 ICADE 1,702,064 2,263,366 EUR 17,130 Legrand SA 1,816,618 1,811,239 EUR 4,787 L’Oréal SA 1,254,338 1,839,543 EUR 100,878 Orange SA 2,151,980 1,926,517 EUR 7,168 Pernod-Ricard SA 1,760,814 1,663,140 EUR 12,366 Thales SA 1,983,607 1,665,357 15,876,935 17,107,691 3.95% Germany EUR 5,747 Allianz AG, Registered 1,827,973 1,826,991 EUR 12,042 Beiersdorf AG 1,764,995 1,869,399 EUR 84,324 Deutsche Telekom AG, Registered 1,858,721 1,788,353 EUR 7,593 Hannover Rueckversicherungs SE 1,851,384 1,904,326 EUR 5,818 Muenchener Rueckversicherungs-Gesellschaft AG, Registered 1,951,007 2,227,266 9,254,080 9,616,335 2.22% Hong Kong HKD 135,899 CK Hutchison Holdings Ltd. 1,937,138 1,680,442 HKD 208,751 CK Infrastructure Holdings Ltd. 2,168,070 1,926,409 HKD 192,170 CLP Holdings Ltd. 2,614,262 2,619,316 HKD 2,594,338 HK Electric Investments & HK Electric Investments Ltd 3,224,258 3,315,937 HKD 872,550 HKT Trust and HKT Ltd. 1,482,958 1,594,451 HKD 1,082,006 Hong Kong & China Gas Co. Ltd. 2,254,299 2,740,708 HKD 298,869 MTR Corp. Ltd. 2,078,225 2,290,493 HKD 246,910 Power Assets Holdings Ltd. 2,581,124 2,342,243 18,340,334 18,509,999 4.28% Israel ILS 145,433 Bank Hapoalim Ltd. 1,203,056 1,564,305 ILS 276,688 Israel Discount Bank, Class ‘A’ 1,439,869 1,663,089 2,642,925 3,227,394 0.74% Italy EUR 199,358 Terna SPA 1,352,691 1,727,767 1,352,691 1,727,767 0.40% Japan JPY 678 Daiwa House REIT Investment Corp. 2,189,920 2,294,365 JPY 15,760 East Japan Railway Co. 1,973,681 1,853,837 JPY 143,749 Japan Post Bank Co. Ltd. 1,866,033 1,801,029 JPY 158,369 Japan Post Holdings Co. Ltd. 2,008,405 1,938,850 JPY 465 Japan Prime Realty Investment Corp. 2,490,351 2,643,884 JPY 337 Japan Real Estate Investment Corp. 2,551,294 2,895,270 JPY 1,004 Japan Retail Fund Investment Corp. 2,655,886 2,794,957 JPY 25,770 Kintetsu Group Holdings Co. Ltd. 2,001,413 1,820,383 JPY 27,980 McDonald’s Holdings Co. (Japan) Ltd. 1,868,171 1,749,466 JPY 260 Nippon Building Fund Inc. 2,403,914 2,466,420

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

Annual Financial Statements - December 31, 2019 – 422 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Japan (cont’d) JPY 684 Nippon Prologis REIT Inc. 2,064,927 2,255,905 JPY 950 Nomura Real Estate Master Fund Inc. 1,956,443 2,103,915 JPY 51,834 NTT DOCOMO INC. 1,901,605 1,879,010 JPY 1,169 ORIX JREIT Inc. 3,432,184 3,282,185 JPY 38,971 Sankyo Co. Ltd. 1,797,856 1,685,684 JPY 18,410 SECOM Co. Ltd. 2,167,638 2,147,761 JPY 1,181 United Urban Investment Corp. REIT 2,642,024 2,869,157 JPY 17,910 West Japan Railway Co. 2,161,730 2,017,624 40,133,475 40,499,702 9.36% Netherlands EUR 14,056 Heineken NV 1,787,885 1,942,058 EUR 16,087 Heineken Holding NV 1,980,046 2,023,166 3,767,931 3,965,224 0.92% Norway NOK 142,666 Orkla ASA 1,753,906 1,872,906 1,753,906 1,872,906 0.43% Singapore SGD 972,451 Ascendas REIT 2,486,847 2,785,295 SGD 950,371 CapitaLand Commercial Trust Ltd. 1,472,758 1,823,867 SGD 1,046,348 CapitaLand Mall Trust 2,071,802 2,482,323 SGD 959,613 Mapletree Commercial Trust 2,270,230 2,211,775 SGD 155,675 Oversea-Chinese Banking Corp. Ltd. 1,667,368 1,648,421 SGD 349,237 SATS Ltd. 1,629,876 1,704,189 SGD 253,484 Singapore Airlines Ltd. 2,367,071 2,209,866 SGD 289,916 Singapore Exchange Ltd. 2,055,166 2,477,153 SGD 719,149 Singapore Press Holdings Ltd. 2,150,951 1,511,898 SGD 477,512 Singapore Technologies Engineering Ltd. 1,656,924 1,814,377 SGD 742,729 Singapore Telecommunications Ltd. 2,483,130 2,413,833 SGD 1,452,527 Suntec REIT 2,442,611 2,577,443 24,754,734 25,660,440 5.93% Switzerland CHF 8,457 Baloise Holding AG, Registered 1,637,364 1,981,884 CHF 391 Chocoladefabriken Lindt & Sprungli AG 3,097,106 3,934,863 USD 11,139 Chubb Ltd. 1,923,022 2,248,431 CHF 2,521 Geberit AG, Registered 1,311,072 1,833,819 CHF 572 Givaudan SA, Registered 1,717,287 2,321,699 CHF 22,320 Nestlé SA, Registered 2,257,334 3,131,818 CHF 16,737 Pargesa Holding SA, Class ‘B’ 1,765,443 1,803,132 CHF 1,489 Partners Group Holding AG 1,301,343 1,769,449 CHF 572 SGS SA, Registered 1,957,103 2,030,625 CHF 3,277 Swiss Life Holding AG, Registered 2,154,350 2,131,856 CHF 23,624 Swiss Prime Site AG, Registered 2,633,286 3,540,034 CHF 14,635 Swiss Re AG 1,706,191 2,130,327 CHF 3,603 Swisscom AG 2,211,311 2,473,243 CHF 4,058 Zurich Insurance Group AG 1,814,201 2,157,922 27,486,413 33,489,102 7.74% U.K. USD 131,920 Amcor PLC 1,941,005 1,854,369 USD 6,272 Aon PLC 1,045,250 1,694,068 GBP 38,295 Diageo PLC 1,915,401 2,105,475 GBP 109,783 Land Securities Group PLC 1,530,302 1,867,069 GBP 122,805 National Grid PLC 1,917,097 1,992,123 GBP 57,629 RELX PLC 1,488,369 1,886,428 GBP 141,383 SEGRO PLC 1,682,432 2,179,097 11,519,856 13,578,629 3.14%

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

Annual Financial Statements - December 31, 2019 – 423 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.S.A. USD 24,725 Aflac Inc. 1,238,793 1,696,087 USD 106,805 AGNC Investment Corp. 2,626,841 2,448,669 USD 4,993 Air Products and Chemicals Inc. 1,074,608 1,521,483 USD 9,012 Alexandria Real Estate Equities Inc. 1,931,210 1,888,274 USD 35,080 Alliant Energy Corp. 1,869,548 2,489,212 USD 12,561 Allstate Corp. (The) 1,331,105 1,831,639 USD 21,680 Ameren Corp. 1,733,821 2,159,120 USD 19,649 American Electric Power Co. Inc. 1,729,190 2,408,100 USD 11,991 American Financial Group Inc. 1,605,962 1,704,984 USD 11,982 American Water Works Co. Inc. 1,232,095 1,908,801 USD 186,434 Annaly Capital Management Inc. 2,490,366 2,277,363 USD 15,628 Arthur J. Gallagher & Co. 1,198,595 1,929,894 USD 16,758 Atmos Energy Corp. 1,827,259 2,430,823 USD 7,923 AvalonBay Communities Inc. 1,877,007 2,154,489 USD 38,142 Brown & Brown Inc. 1,921,106 1,952,706 USD 13,924 Camden Property Trust 1,964,673 1,915,736 USD 59,047 CenterPoint Energy Inc. 2,026,904 2,088,042 USD 30,380 CMS Energy Corp. 1,797,463 2,475,598 USD 33,805 Coca-Cola Co. (The) 1,941,413 2,426,358 USD 20,053 Consolidated Edison Inc. 2,015,193 2,352,557 USD 21,951 Dominion Energy Inc. 2,080,149 2,357,468 USD 16,919 DTE Energy Co. 2,317,374 2,849,311 USD 24,275 Duke Energy Corp. 2,608,045 2,871,164 USD 7,554 Ecolab Inc. 1,283,943 1,890,462 USD 15,953 Entergy Corp. 1,631,909 2,478,309 USD 26,615 Equity Lifestyle Properties Inc. 2,167,384 2,429,370 USD 18,318 Equity Residential 1,531,962 1,922,163 USD 5,013 Essex Property Trust Inc. 1,651,932 1,955,773 USD 25,506 Evergy Inc. 1,909,141 2,152,846 USD 21,452 Eversource Energy 1,640,930 2,366,467 USD 35,470 Exelon Corp. 2,302,473 2,096,945 USD 10,182 Fidelity National Information Services Inc. 1,444,079 1,836,476 USD 29,482 FirstEnergy Corp. 1,872,025 1,858,016 USD 10,344 Fiserv Inc. 934,921 1,551,012 USD 13,543 Globe Life Inc. 1,320,795 1,848,388 USD 7,706 Honeywell International Inc. 1,317,436 1,768,718 USD 10,161 Johnson & Johnson 1,645,199 1,922,023 USD 26,341 Loews Corp. 1,583,909 1,792,937 USD 1,272 Markel Corp. 1,664,731 1,885,620 USD 13,177 Marsh & McLennan Cos. Inc. 1,264,177 1,903,693 USD 7,036 McDonald’s Corp. 1,282,775 1,802,980 USD 9,866 Mid-America Apartment Communities Inc. 1,797,314 1,686,982 USD 8,845 NextEra Energy Inc. 1,595,113 2,777,516 USD 53,052 NiSource Inc. 1,865,391 1,915,258 USD 38,309 OGE Energy Corp. 2,054,023 2,209,145 USD 14,453 Paychex Inc. 1,203,846 1,594,188 USD 12,084 PepsiCo Inc. 1,718,500 2,141,609 USD 18,006 Pinnacle West Capital Corp. 1,912,104 2,099,801 USD 35,915 PPL Corp. 1,557,722 1,671,031 USD 11,485 Procter & Gamble Co. (The) 1,312,544 1,860,157 USD 24,455 Public Services Enterprise Group Inc. 1,723,915 1,872,595 USD 7,394 Reinsurance Group of America Inc. 1,271,686 1,563,447 USD 20,960 Republic Services Inc. 1,671,210 2,436,133 USD 9,503 Sempra Energy 1,349,313 1,866,690 USD 28,447 Southern Co. (The) 1,794,541 2,349,807

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

Annual Financial Statements - December 31, 2019 – 424 – CI First Asset MSCI World Low Risk Weighted ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.S.A. (cont’d) USD 11,039 Sun Communities Inc. 1,875,555 2,148,655 USD 9,623 Travelers Cos. Inc. (The) 1,530,502 1,708,948 USD 32,185 UDR Inc. 1,604,792 1,949,066 USD 30,014 UGI Corp. 1,915,256 1,757,657 USD 9,045 Verisk Analytics Inc. 1,482,651 1,751,624 USD 7,446 Visa Inc., Class ‘A’ 1,072,022 1,814,287 USD 24,585 W.R. Berkley Corp. 1,451,693 2,202,949 USD 14,253 Waste Management Inc. 1,397,854 2,106,275 USD 19,286 WEC Energy Group Inc. 1,571,377 2,306,591 USD 17,955 WP Carey Inc. 1,628,094 1,863,583 USD 27,672 Xcel Energy Inc. 1,592,551 2,278,254 USD 14,575 Yum! Brands Inc. 1,810,131 1,903,810 112,648,141 137,436,134 31.75% Total Equities 382,481,655 429,762,491 99.29% Adjustment for transaction costs (303,992) Total Investments 382,177,663 429,762,491 99.29% Total unrealized gain on forward foreign currency contract(s) 1,206,396 0.28% Total unrealized loss on forward foreign currency contract(s) (110,267) (0.03)% Other Net Assets (Liabilities) 1,993,514 0.46% Net Assets Attributable to Holders of Redeemable Units 432,852,134 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) February 28, 2020 AUD 340,000 CAD 307,247 0.90 Bank of Montreal A-1 3,042 February 28, 2020 CAD 3,381,991 AUD 3,730,000 0.91 Bank of Montreal A-1 (22,067) February 28, 2020 CAD 5,751,854 CHF 4,265,000 1.35 Bank of Montreal A-1 19,197 February 28, 2020 CAD 5,381,618 EUR 3,635,000 1.48 Bank of Montreal A-1 73,080 February 28, 2020 CAD 1,765,380 EUR 1,200,000 1.47 Bank of Montreal A-1 12,905 February 28, 2020 CAD 3,761,881 HKD 22,165,000 0.17 Bank of Montreal A-1 75,875 February 28, 2020 CAD 4,286,401 JPY 347,970,000 0.01 Bank of Montreal A-1 121,926 February 28, 2020 CAD 3,582,568 JPY 292,660,000 0.01 Bank of Montreal A-1 80,039 February 28, 2020 CAD 4,707,205 SGD 4,815,000 0.98 Bank of Montreal A-1 62,490 February 28, 2020 CAD 30,148,833 USD 22,670,000 1.33 Bank of Montreal A-1 757,842 February 28, 2020 HKD 2,290,000 CAD 388,116 0.17 Bank of Montreal A-1 (7,292) February 28, 2020 USD 2,530,000 CAD 3,360,979 1.33 Bank of Montreal A-1 (80,908) 1,096,129

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 425 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,206 (110) - 1,096 Derivative assets - Swaps and swaptions - - - - Total 1,206 (110) - 1,096 Derivative liabilities - Foreign currency forward contracts (110) 110 - - Derivative liabilities - Swaps and swaptions - - - - Total (110) 110 - - as at December 31, 2018 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 223 (223) - - Derivative assets - Swaps and swaptions - - - - Total 223 (223) - - Derivative liabilities - Foreign currency forward contracts (2,211) 223 - (1,988) Derivative liabilities - Swaps and swaptions - - - - Total (2,211) 223 - (1,988)

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

Annual Financial Statements - December 31, 2019 – 426 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 406 365 Soft dollar commissions† 85 73

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 2,206,969 2,106,969 21,627,704 17,127,704 Redeemable units issued for cash 300,000 200,000 600,000 4,700,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (100,000) (100,000) (12,300,000) (200,000) Number of redeemable units at the end of year 2,406,969 2,206,969 9,927,704 21,627,704

Annual Financial Statements - December 31, 2019 – 427 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) Related Party Investments (Note 9) as at December 31, 2019 (%) as at December 31 (in $000’s)

Annual management fee rate: as at December 31, 2018 Common Units 0.600 Unhedged Common Units 0.600 During the year, the Fund engaged in trading securities of CI Financial Corp. (“CI”). The trades were executed by an unrelated broker and through the facilities of the Toronto Stock Exchange (“TSX”) at prevailing market prices on the days of the transactions. No related parties received any fees in connection with the trades. The trades were executed in reliance on a standing instruction issued by the Securities Lending (Note 6) Fund’s Independent Review Committee. As at December 31, 2018, the Fund held 165,817 shares of CI, as at December 31 (in $000’s) with a fair value of $2,865,318 and representing less than 0.40% of the Fund’s net assets.

2019 2018 Loaned 14,388 36,273 Collateral (non-cash) 15,130 38,238

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

2019 2018 Gross securities lending revenue 72 76 Charges (24) (32) Securities lending revenue 48 44 % of gross securities lending revenue 66.5 58.0

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

2019 Capital loss carried forward: - Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 428 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Australia 5.45 Belgium 1.07 Bermuda 0.96 Canada 19.94 Finland 0.44 France 2.61 Germany 0.49 Hong Kong 6.00 Ireland 0.88 Israel 0.82 Italy 0.43 Japan 1.85 Netherlands 0.99 Norway 0.42 Singapore 5.75 Switzerland 7.08 U.K. 3.04 U.S.A. 41.61 Total unrealized gain on forward foreign currency contracts 0.03 Total unrealized loss on forward foreign currency contracts (0.30) Other Net Assets (Liabilities) 0.44

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in global equities and therefore was sensitive to changes in general economic conditions across the world.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ MSCI World Risk Weighted Top 200 Total Return Index 35,753,620 60,864,213

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

Annual Financial Statements - December 31, 2019 – 429 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) British Pound 1,837 - 1,837 2.3 Danish Krone 812 - 812 1.0 U.S. Dollar 26,785 (26,111) 674 0.9 Israeli Shekel 589 - 589 0.7 Norwegian Krone 342 - 342 0.4 Euro 7,115 (7,061) 54 0.1 Hong Kong Dollar 3,366 (3,305) 61 0.1 Singapore Dollar 4,676 (4,645) 31 - Swiss Franc 5,735 (5,733) 2 - Australian Dollar 2,995 (3,094) (99) (0.1) Japanese Yen 7,393 (7,667) (274) (0.3) Total 61,645 (57,616) 4,029 5.1

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $403,000. In practice, the actual results may differ from this analysis and the difference may be material.

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 120,532 - 120,532 34.0 Japanese Yen 33,266 - 33,266 9.4 Euro 32,017 - 32,017 9.0 Swiss Franc 25,805 - 25,805 7.3 Singapore Dollar 21,042 - 21,042 5.9 Hong Kong Dollar 15,145 - 15,145 4.3 Australian Dollar 13,478 - 13,478 3.8 British Pound 8,268 - 8,268 2.3 Danish Krone 3,654 - 3,654 1.0 Israeli Shekel 2,648 - 2,648 0.7 Norwegian Krone 1,537 - 1,537 0.4 Total 277,392 - 277,392 78.1

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $27,739,000. 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.

Annual Financial Statements - December 31, 2019 – 430 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Australian dollar 3,302,803 724 42,694 (3,355,070) (8,849) (442) British pound 1,559,760 268 5,926 - 1,565,954 78,298 Danish krone - 171 98 - 269 13 Euro 3,655,840 747 7,516 (3,606,704) 57,399 2,870 Hong Kong dollar 3,640,372 500 - (3,700,534) (59,662) (2,983) Israeli new shekel 499,709 857 646 - 501,212 25,061 Japanese yen 1,124,218 20 4,487 - 1,128,725 56,436 New Zealand dollar - 496 - - 496 25 Norwegian krone 257,853 15 - - 257,868 12,893 Singapore dollar 3,483,862 156 6,725 (3,641,982) (151,239) (7,562) Swedish krona - 7 - - 7 - Swiss franc 3,947,576 537 9,858 (4,076,576) (118,605) (5,930) United States dollar 26,968,027 26,102 58,584 (25,993,839) 1,058,874 52,944 Total 48,440,020 30,600 136,534 (44,374,705) 4,232,449 211,623 As a % of Net Assets 79.9 0.1 0.2 (73.2) 7.0 0.3

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ Australian dollar 36,617,134 8,032 473,336 - 37,098,502 1,854,925 British pound 17,292,572 2,970 65,695 - 17,361,237 868,062 Danish krone - 1,896 1,090 - 2,986 149 Euro 40,531,140 8,279 83,327 - 40,622,746 2,031,137 Hong Kong dollar 40,359,657 5,546 - - 40,365,203 2,018,260 Israeli new shekel 5,540,121 9,501 7,167 - 5,556,789 277,839 Japanese yen 12,463,852 224 49,744 - 12,513,820 625,691 New Zealand dollar - 5,497 - - 5,497 275 Norwegian krone 2,858,731 169 - - 2,858,900 142,945 Singapore dollar 38,624,476 1,729 74,557 - 38,700,762 1,935,038 Swedish krona - 75 - - 75 4 Swiss franc 43,765,534 5,954 109,291 - 43,880,779 2,194,039 United States dollar 298,986,009 289,384 649,501 - 299,924,894 14,996,245 Total 537,039,226 339,256 1,513,708 - 538,892,190 26,944,609 As a % of Net Assets 79.9 0.1 0.2 - 80.2 4.0

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

Annual Financial Statements - December 31, 2019 – 431 – CI First Asset MSCI World Low Risk Weighted ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 429,762 - - 429,762 Derivatives - 1,206 - 1,206 Total 429,762 1,206 - 430,968

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (110) - (110) Total - (110) - (110)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 731,588,528 - - 731,588,528 Derivatives - 223,168 - 223,168 Total 731,588,528 223,168 - 731,811,696

Financial liabilities Derivatives - 2,211,138 - 2,211,138 Total - 2,211,138 - 2,211,138

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 432 – CI First Asset Preferred Share ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 88,143 64,652 20.52 20.56 4,295,078 3,145,078 Current assets Investments 86,561 63,144 Cash 1,739 1,434 Unrealized gain on futures and foreign currency forward contracts 86 7 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 17 - Collateral on deposit for short sale - - Dividends receivable 113 109 Interest receivable - - Receivable for investments sold - 380 Receivable for unit subscriptions 31 - 88,547 65,074 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 134 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased 235 154 Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 47 34 Accounts payable and accrued liabilities 122 100 404 422 Net assets attributable to holders of redeemable units 88,143 64,652

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

Annual Financial Statements - December 31, 2019 – 433 – CIG - 580530147 CI First Asset Preferred Share ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 3,252 (4,103) 1.04 (1.37) 3,126,311 2,985,352 Net gain (loss) on investments and derivatives Dividends 3,371 3,179 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (2,190) 438 Change in unrealized appreciation (depreciation) in value of investments and derivatives 2,599 (7,105) Total net gain (loss) on investments and derivatives 3,780 (3,488) Other income Foreign exchange gain (loss) on cash (2) (2) Securities lending revenue (Note 6) 4 1 Fees rebate 53 4 Miscellaneous foreign income - - Other income - - Total other income 55 3 Total income 3,835 (3,485) Expenses Custody fees 23 23 Unitholders reporting costs 57 59 Management fees (Note 5) 412 434 Audit fees 4 12 Legal fees 2 4 Independent review committee fees 1 2 Commissions and other portfolio transaction costs 33 36 Securities borrowing fees (Note 2) - - Interest expense - 4 Withholding taxes 6 7 Harmonized sales tax 45 51 Other expenses - - Total expenses 583 632 Expenses absorbed by the Manager (Note 5) - (14) Increase (decrease) in net assets attributable to holders of redeemable units 3,252 (4,103)

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

Annual Financial Statements - December 31, 2019 – 434 – CI First Asset Preferred Share ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 64,652 68,199 Increase (decrease) in net assets attributable to holders of redeemable units 3,252 (4,103) Distributions to holders of redeemable units From net investment income (2,686) (2,386) From net realized gains - (500) Return of capital (243) (13) Total distributions to holders of redeemable units (2,929) (2,899)

Redeemable unit transactions Proceeds from redeemable units issued 51,816 21,660 Reinvestment of distributions to holders of redeemable units - 135 Redemption of redeemable units (28,648) (18,340) Net increase (decrease) from redeemable unit transactions 23,168 3,455 Net increase (decrease) in net assets attributable to holders of redeemable units 23,491 (3,547) Net assets attributable to holders of redeemable units at the end of year 88,143 64,652

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

Annual Financial Statements - December 31, 2019 – 435 – CI First Asset Preferred Share ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 3,252 (4,103) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 2,190 (438) Unrealized foreign exchange (gain) loss on cash 1 - Commissions 10 19 Change in unrealized (appreciation) depreciation in value of investments and derivatives (2,599) 7,105 Proceeds from sale and maturity of investments and derivatives 5,316 10,217 Purchase of investments and derivatives (6,724) (9,427) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable (4) 4 (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 13 (5) Amortization interest earned - - Change in other accounts receivable and payable 5 (63) Net cash from (used in) operating activities 1,460 3,309

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,929) (2,995) Proceeds from issuance of redeemable units 2,600 802 Amounts paid on redemption of redeemable units (825) (521) Net cash from (used in) financing activities (1,154) (2,714)

Unrealized foreign exchange gain (loss) on cash (1) - Net increase (decrease) in cash 306 595 Cash (bank overdraft), beginning of year 1,434 839 Cash (bank overdraft), end of year 1,739 1,434

Supplementary Information: Dividends received, net of withholding tax* 3,361 3,176 Interest received, net of withholding tax* - - 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.

Annual Financial Statements - December 31, 2019 – 436 – CI First Asset Preferred Share ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LIMITED PARTNERSHIP UNITS 42,120 Brookfield Infrastructure Partners L.P., Preferred, Series ‘3’, Variable Rate, Perpetual 1,063,100 1,071,112 25,965 Brookfield Infrastructure Partners L.P., Preferred, Series ‘7’, Variable Rate, Perpetual 600,958 604,985 28,154 Brookfield Infrastructure Partners L.P., Preferred, Series ‘11’, Variable Rate, Perpetual 642,756 623,611 61,771 Brookfield Renewable Partners L.P., Preferred, Class ‘A’, Series ‘13’, Variable Rate, Perpetual 1,434,686 1,439,882 15,808 Brookfield Renewable Partners L.P., Preferred, Series ‘9’, Variable Rate, Perpetual 403,874 406,266 39,520 Brookfield Renewable Partners L.P., Preferred, Series ‘11’, Variable Rate, Perpetual 927,014 920,421 Total Limited Partnership Units 5,072,388 5,066,277 5.75%

EQUITIES Canada 33,140 AltaGas Ltd., Preferred, Series ‘G’, Variable Rate, Perpetual 639,631 576,636 21,314 AltaGas Ltd., Preferred, Series ‘I’, Variable Rate, Perpetual 512,288 522,619 8,333 AltaGas Ltd., Preferred, Series ‘K’, Variable Rate, Perpetual 190,806 191,576 18,679 Artis REIT, Preferred, Series ‘A’, Variable Rate, Perpetual 429,279 432,419 13,732 Artis REIT, Preferred, Series ‘E’, Variable Rate, Perpetual 294,395 304,164 28,018 Bank of Montreal, 4.00%, Preferred, Class ‘B’, Series ‘27’, Perpetual 550,835 505,725 19,488 Bank of Montreal, 5.00%, Preferred, Class ‘B’, Series ‘35’, Perpetual 487,527 488,369 49,680 Bank of Montreal, Preferred, Class ‘B’, Series ‘25’, Variable Rate, Perpetual 1,125,633 1,204,740 11,063 Bank of Montreal, Preferred, Class ‘B’, Series ‘26’, Floating Rate, Perpetual 260,289 269,605 13,037 Bank of Montreal, Preferred, Class ‘B’, Series ‘29’, Variable Rate, Perpetual 254,018 224,758 19,055 Bank of Montreal, Preferred, Class ‘B’, Series ‘31’, Variable Rate, Perpetual 351,534 334,225 22,614 Bank of Montreal, Preferred, Class ‘B’, Series ‘42’, Variable Rate, Perpetual 493,405 482,809 31,500 Bank of Montreal, Preferred, Class ‘B’, Series ‘46’, Variable Rate, Perpetual 775,856 778,050 9,338 Bank of Montreal, Preferred, Series ‘38’, VariableRate, Perpetual 237,292 240,173 18,232 Bank of Montreal, Preferred, Series ‘40’, Variable Rate, Perpetual 425,263 398,734 66,623 Bank of Nova Scotia, Preferred, Series ‘30’, Callable 1,557,608 1,655,582 92,221 Bank of Nova Scotia, Preferred, Series ‘31’, Floating Rate, Perpetual 2,178,374 2,300,452 71,227 Bank of Nova Scotia, Preferred, Series ‘32’, Variable Rate, Perpetual 1,649,680 1,758,595 36,494 Bank of Nova Scotia, Preferred, Series ‘33’, Floating Rate, Perpetual 863,104 896,475 3,796 Bank of Nova Scotia, Preferred, Series ‘38’, Variable Rate, Perpetual 96,236 97,861 16,268 Bank of Nova Scotia, Preferred, Series ‘40’, Variable Rate, Perpetual 314,307 322,920 16,427 BCE Inc., 5.32%, Preferred, Series ‘Z’ 269,523 252,154 64,658 BCE Inc., Preferred, Class ‘A’, Series ‘AJ’, Floating Rate, Perpetual 1,066,034 996,380 74,201 BCE Inc., Preferred, Series ‘AA’, Variable Rate, Perpetual 1,173,130 1,169,779 29,800 BCE Inc., Preferred, Series ‘AB’, Floating Rate, Perpetual 499,202 458,324 61,276 BCE Inc., Preferred, Series ‘AC’, Variable Rate, Perpetual 996,687 1,012,280 13,515 BCE Inc., Preferred, Series ‘AE’, Floating Rate, Perpetual 232,209 207,861 8,369 BCE Inc., Preferred, Series ‘AF’, Variable Rate, Perpetual 127,669 128,966 46,304 BCE Inc., Preferred, Series ‘AH’, Variable Rate, Perpetual 756,677 709,840 45,411 BCE Inc., Preferred, Series ‘AQ’, Variable Rate, Perpetual 845,278 841,920 29,925 BCE Inc., Preferred, Series ‘R’, Variable Rate, Perpetual 513,467 465,633 20,148 Brookfield Asset Management Inc., 4.75%, Preferred, Class ‘A’, Series ‘17’ 429,242 436,204 15,729 Brookfield Asset Management Inc., 4.90%, Preferred, Class ‘A’, Series ‘37’, Perpetual 345,001 350,442 18,579 Brookfield Asset Management Inc., Preferred, Class ‘A’, Series ‘2’, Floating Rate, Perpetual 255,272 224,806 2,848 Brookfield Asset Management Inc., Preferred, Class’A’, Series ‘13’, Floating Rate 38,845 34,318

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

Annual Financial Statements - December 31, 2019 – 437 – CI First Asset Preferred Share ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Canada (cont’d) 25,033 Brookfield Asset Management Inc., Preferred, Class’A’, Series ‘32’, Variable Rate, Perpetual 543,799 514,178 17,451 Brookfield Asset Management Inc., Preferred, Class’A’, Series ‘40’, Variable Rate, Perpetual 358,912 326,857 34,656 Brookfield Asset Management Inc., Preferred, Series ‘46’, Variable Rate, Perpetual 877,197 892,045 13,589 Brookfield Office Properties Inc., 4.60%, Preferred, Class ‘AAA’, Series ‘T’, Perpetual 276,664 271,780 16,417 Brookfield Office Properties Inc., 4.85%, Preferred, Class ‘AAA’, Series ‘GG’, Perpetual 373,090 349,682 25,347 Brookfield Office Properties Inc., Preferred, Class ‘AAA’, Series ‘AA’, Variable Rate, Perpetual 461,771 453,711 42,306 Brookfield Office Properties Inc., Preferred, Class ‘AAA’, Series ‘EE’, Variable Rate, Perpetual 999,787 943,424 41,555 Brookfield Office Properties Inc., Preferred, Class ‘AAA’, Series ‘R’, Variable Rate, Perpetual 764,800 751,314 42,351 Brookfield Office Properties Inc., Preferred, Class ‘CC’, Variable Rate, Perpetual 1,107,369 1,105,361 71,879 Brookfield Office Properties Inc., Preferred, Series ‘P’, Variable Rate, Perpetual 1,246,431 1,189,597 3,541 Canadian Imperial Bank of Commerce, Preferred, Class ‘A’, Series ‘47’, Variable Rate, Perpetual 63,500 65,013 97,969 Canadian Imperial Bank of Commerce, Preferred, Series ‘45’, Variable Rate, Perpetual 2,150,943 2,090,658 9,592 Canadian Utilities Ltd., 4.90%, Preferred, Series’BB’, Perpetual 220,881 223,973 65,114 Capital Power Corp., Preferred, Series ‘3’, Variable Rate, Perpetual 1,186,582 1,230,655 59,017 Capital Power Corp., Preferred, Series ‘5’, Variable Rate, Perpetual 1,049,181 1,062,306 45,070 Capital Power Corp., Preferred, Series ‘7’, Variable Rate, Perpetual 1,161,783 1,173,171 11,294 Capital Power Corp., Preferred, Series ‘9’, Variable Rate, Perpetual 286,439 291,950 27,538 CU Inc., 4.60%, Preferred, Series ‘1’, Perpetual 600,126 594,270 23,128 E-L Financial Corp. Ltd., 5.50%, Preferred, Series’3’, Perpetual 578,303 584,445 18,950 Element Fleet Management Corp., Preferred, Series ‘A’, Variable Rate, Perpetual 428,655 441,535 20,498 Element Fleet Management Corp., Preferred, Series’G’, Variable Rate, Perpetual 512,643 490,517 USD 106,975 Enbridge Inc., Preferred, Series ‘1’, Variable Rate, Perpetual 2,928,582 2,928,273 USD 5,709 Enbridge Inc., Preferred, Series ‘5’, Variable Rate, Perpetual 144,750 144,858 10,358 Enbridge Inc., Preferred, Series ‘9’, Variable Rate, Perpetual 181,762 170,596 37,765 Enbridge Inc., Preferred, Series ‘17’, Variable Rate, Perpetual 953,337 985,667 19,288 Enbridge Inc., Preferred, Series ‘19’, Variable Rate, Perpetual 470,488 481,236 58,716 Enbridge Inc., Preferred, Series ‘D’, Variable Rate, Perpetual 943,328 931,823 52,249 Enbridge Inc., Preferred, Series ‘F’, Variable Rate, Perpetual 881,713 866,811 USD 5,026 Enbridge Inc., Preferred, Series ‘L’, Variable Rate, Perpetual 118,515 124,004 29,776 Enbridge Inc., Preferred, Series ‘P’, Variable Rate, Perpetual 477,314 482,967 42,436 Fortis Inc., 4.75%, Preferred, Series ‘J’, Perpetual 956,354 953,961 16,348 Fortis Inc., 4.90%, Preferred, Series ‘F’, Perpetual 385,471 388,919 6,393 George Weston Ltd., 4.75%, Preferred, Series ‘V’,Perpetual 141,938 143,715 46,334 George Weston Ltd., 5.20%, Preferred, Series ‘III’, Perpetual 1,129,399 1,139,816 10,740 George Weston Ltd., 5.20%, Preferred, Series ‘IV’, Perpetual 258,188 263,237 40,101 George Weston Ltd., 5.80%, Preferred, Series ‘I’,Perpetual 1,030,067 1,034,606 19,345 Great-West Lifeco Inc., 4.80%, Preferred, Series ‘R’, Perpetual 440,482 442,033 19,177 Great-West Lifeco Inc., 4.85%, Preferred, Series ‘H’, Perpetual 437,709 443,756 3,390 Great-West Lifeco Inc., 5.15%, Preferred, Series ‘Q’, Perpetual 79,473 82,309

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

Annual Financial Statements - December 31, 2019 – 438 – CI First Asset Preferred Share ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Canada (cont’d) 23,916 Great-West Lifeco Inc., 5.15%, Preferred, Series ‘T’, Perpetual 575,346 585,942 44,122 Great-West Lifeco Inc., 5.20%, Preferred, Series ‘G’, Perpetual 1,066,733 1,086,725 18,240 Great-West Lifeco Inc., 5.25%, Preferred, Series ‘S’, Perpetual 450,022 452,534 34,656 Husky Energy Inc., Preferred, Series ‘7’, VariableRate, Perpetual 691,394 657,771 52,092 Industrial Alliance Insurance and Financial Services Inc, Preferred, Class ‘A’, Series ‘G’, Variable Rate, Perpetual 980,480 1,018,399 5,122 Intact Financial Corp., 5.20%, Preferred, Class ‘A’, Series ‘5’, Perpetual 124,806 124,669 33,873 Laurentian Bank of Canada, 4.30%, Preferred, Class ‘A’, Series ‘13’, Perpetual 568,603 546,033 56,064 Loblaw Cos. Ltd., 5.30%, Preferred, Series ‘B’, Perpetual 1,421,093 1,440,845 46,668 Manulife Financial Corp., 4.65%, Preferred, Class’A’ , Series ‘2’, Perpetual 1,032,935 1,036,030 12,813 National Bank of Canada, Preferred, Series ‘32’, Variable Rate, Perpetual 237,111 219,999 7,749 National Bank of Canada, Preferred, Series ‘34’, Variable Rate, Perpetual 201,905 201,474 5,770 National Bank of Canada, Preferred, Series ‘36’, Variable Rate, Perpetual 149,118 149,732 55,804 National Bank of Canada, Preferred, Series ‘38’, Variable Rate, Perpetual 1,193,469 1,205,366 35,280 National Bank of Canada, Preferred, Series ‘42’, Variable Rate, Perpetual 717,888 695,722 34,152 Pembina Pipeline Corp., Preferred, Class ‘A’, Series ‘21’, Variable Rate, Perpetual 798,037 830,918 39,553 Pembina Pipeline Corp., Preferred, Series ‘5’, Variable Rate, Perpetual 767,182 730,544 28,808 Pembina Pipeline Corp., Preferred, Series ‘11’, Variable Rate, Perpetual 746,465 749,008 19,602 Pembina Pipeline Corp., Preferred, Series ‘23’, Variable Rate, Perpetual 471,302 485,150 44,828 Power Corp. of Canada, 5.60%, Preferred, Series ‘A’, Perpetual 1,132,207 1,134,148 12,167 Power Financial Corp., 5.15%, Preferred, Series ‘V’, Perpetual 291,724 294,320 32,106 Power Financial Corp., 5.25%, Preferred, Series’E’, Perpetual 775,294 793,500 20,618 Power Financial Corp., 5.75%, Preferred, Series ‘H’, Perpetual 524,897 532,151 42,786 Power Financial Corp., Preferred, Series ‘A’, Floating Rate, Perpetual 574,461 562,636 20,285 Power Financial Corp., Preferred, Series ‘T’, Variable Rate, Perpetual 408,303 373,447 41,024 Royal Bank of Canada, 4.90%, Preferred, Series ‘BH’, Perpetual 1,013,478 1,012,883 12,564 Royal Bank of Canada, Preferred, Series ‘AZ’, Variable Rate, Perpetual 241,434 221,126 38,291 Royal Bank of Canada, Preferred, Series ‘BB’, Variable Rate, Perpetual 745,310 673,922 13,582 Royal Bank of Canada, Preferred, Series ‘BD’, Variable Rate, Perpetual 288,178 270,553 55,959 Sun Life Financial Inc., 4.45%, Preferred, Class ‘A’, Series ‘4’, Perpetual 1,118,460 1,201,999 16,423 Sun Life Financial Inc., 4.50%, Preferred, Class ‘A’, Series ‘5’, Perpetual 352,153 352,930 8,886 Sun Life Financial Inc., 4.75%, Preferred, Class ‘A’, Series ‘1’, Perpetual 194,223 202,068 51,528 Sun Life Financial Inc., 4.80%, Preferred, Class ‘A’, Series ‘2’, Perpetual 1,176,568 1,192,358 16,700 Sun Life Financial Inc., Preferred, Class ‘A’, Series ‘8R’, Variable Rate, Perpetual 253,025 225,784 38,871 Sun Life Financial Inc., Preferred, Class ‘A’, Series ‘10R’, Variable Rate, Perpetual 654,981 648,757 33,708 TC Energy Corp., Preferred, Series ‘1’, Variable Rate, Perpetual 528,420 493,148 20,394 TC Energy Corp., Preferred, Series ‘7’, Variable Rate, Perpetual 357,671 340,172 20,071 TC Energy Corp., Preferred, Series ‘9’, Variable Rate, Perpetual 358,017 331,372 12,475 TC Energy Corp., Preferred, Series ‘13’, VariableRate, Perpetual 326,154 324,600 10,452 TC Energy Corp., Preferred, Series ‘15’, VariableRate, Perpetual 268,561 267,989 29,609 Toronto-Dominion Bank (The), Preferred, Series ‘3’, Variable Rate, Perpetual 568,594 520,230 14,451 Toronto-Dominion Bank (The), Preferred, Series ‘7’, Variable Rate, Perpetual 308,715 286,130 11,461 Toronto-Dominion Bank (The), Preferred, Series ‘14’, Variable Rate, Perpetual 289,417 295,923 37,982 Toronto-Dominion Bank (The), Preferred, Series ‘18’, Variable Rate, Perpetual 839,484 763,058 27,888 Toronto-Dominion Bank (The), Preferred, Series ‘20’, Variable Rate, Perpetual 530,370 549,115 39,150 Toronto-Dominion Bank (The), Preferred, Series ‘24, Variable Rate, Perpetual 966,212 974,444 55,012 TransAlta Corp., Preferred, Series ‘C’, Variable Rate, Perpetual 828,458 822,704 72,691 TransAlta Corp., Preferred, Series ‘E’, Variable Rate, Perpetual 1,251,814 1,256,827 9,506 TransAlta Corp., Preferred, Series ‘G’, Variable Rate, Perpetual 178,466 171,013 77,982,260 77,636,591 88.08%

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

Annual Financial Statements - December 31, 2019 – 439 – CI First Asset Preferred Share ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) U.S.A. USD 82,228 Citigroup Capital XIII, 7.87%, Preferred, Callable 2,926,957 2,968,405 USD 5,712 Sempra Energy, 6.00%, Preferred, Series ‘A’ 805,160 890,226 3,732,117 3,858,631 4.38% Total Equities 86,786,765 86,561,499 92.46% Adjustment for transaction costs (67,174) Total Investments 86,719,591 86,561,499 98.21% Total unrealized gain on forward foreign currency contract(s) 86,085 0.10% Other Net Assets (Liabilities) 1,495,444 1.69% Net Assets Attributable to Holders of Redeemable Units 88,143,028 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) January 22, 2020 CAD 290,744 USD 221,000 1.32 Bank of Montreal A-1 3,794 January 22, 2020 CAD 116,832 USD 88,439 1.32 Canadian Imperial Bank of Commerce A-1 2,002 January 22, 2020 CAD 245,458 USD 186,000 1.32 Royal Bank of Canada A-1+ 3,952 February 20, 2020 CAD 650,791 USD 492,180 1.32 Bank of Montreal A-1 11,798 February 20, 2020 CAD 883,945 USD 667,749 1.32 Canadian Imperial Bank of Commerce A-1 17,011 February 20, 2020 CAD 736,218 USD 556,813 1.32 HSBC Bank, Toronto A-1+ 13,312 February 20, 2020 CAD 963,236 USD 726,771 1.33 Toronto-Dominion Bank (The) A-1+ 19,675 March 16, 2020 CAD 3,723 USD 2,801 1.33 Bank of Montreal A-1 87 March 16, 2020 CAD 581,664 USD 437,000 1.33 Royal Bank of Canada A-1+ 14,346 March 16, 2020 CAD 4,332 USD 3,254 1.33 Royal Bank of Canada A-1+ 108 86,085

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 440 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 86 - - 86 Derivative assets - Swaps and swaptions - - - - Total 86 - - 86 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 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 7 (7) - - Derivative assets - Swaps and swaptions - - - - Total 7 (7) - - Derivative liabilities - Foreign currency forward contracts (134) 7 - (127) Derivative liabilities - Swaps and swaptions - - - - Total (134) 7 - (127)

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

Annual Financial Statements - December 31, 2019 – 441 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 10 19 Soft dollar commissions† - -

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 3,145,078 2,995,078 Redeemable units issued for cash 2,600,000 1,000,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (1,450,000) (850,000) Number of redeemable units at the end of year 4,295,078 3,145,078

Annual Financial Statements - December 31, 2019 – 442 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.650

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

2019 2018 Loaned 465 277 Collateral (non-cash) 493 292

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

2019 2018 Gross securities lending revenue 7 1 Charges (3) - Securities lending revenue 4 1 % of gross securities lending revenue 60.1 60.2

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

2019 Capital loss carried forward: 1,128 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 443 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Limited Partnership Units 2.66 Equities Canada 90.92 U.S.A. 4.10 Total unrealized gain on forward foreign currency contracts 0.01 Total unrealized loss on forward foreign currency contracts (0.21) Other Net Assets (Liabilities) 2.52

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in Canadian equities and therefore was sensitive to changes in general economic conditions in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ S&P/TSX Preferred Share Total Return Index 8,319,280 6,051,676

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 7,122 (4,391) 2,731 3.1 Total 7,122 (4,391) 2,731 3.1

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $273,000. 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.

Annual Financial Statements - December 31, 2019 – 444 – CI First Asset Preferred Share ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 5,357,721 28,795 7,937 (3,907,970) 1,486,483 74,324 Total 5,357,721 28,795 7,937 (3,907,970) 1,486,483 74,324 As a % of Net Assets 8.3 - - (6.0) 2.3 0.1

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 81,495 - - 81,495 Limited partnership units 5,066 - - 5,066 Derivatives - 86 - 86 Total 86,561 86 - 86,647

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 61,421,049 - - 61,421,049 Limited partnership units 1,722,585 - - 1,722,585 Derivatives - 7,406 - 7,406 Total 63,143,634 7,406 - 63,151,040

Financial liabilities Derivatives - 133,624 - 133,624 Total - 133,624 - 133,624

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 445 – CI First Asset Short Term Government Bond Index Class ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets ETF Shares 46,321 47,272 18.91 18.91 2,450,000 2,500,000 Current assets Investments 46,189 47,089 Cash 17 49 Unrealized gain on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable - - Interest receivable 160 169 Receivable for investments sold - - Receivable for share subscriptions - - 46,366 47,307 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - - Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for share redemptions - - Dividends payable to holders of redeemable shares - - Management fees payable 10 9 Accounts payable and accrued liabilities 35 26 45 35 Net assets attributable to holders of redeemable shares 46,321 47,272

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

Annual Financial Statements - December 31, 2019 – 446 – CIG - 580530267 CI First Asset Short Term Government Bond Index Class ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average shares per class: shares per share: number of shares: 2019 2018 2019 2018 2019 2018 2019 2018 Income ETF Shares 1,020 690 0.40 0.36 2,581,918 1,901,507 Net gain (loss) on investments and derivatives Dividends - - Interest for distribution purposes 1,145 825 Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (52) (976) Change in unrealized appreciation (depreciation) in value of investments and derivatives 101 967 Total net gain (loss) on investments and derivatives 1,194 816 Other income Foreign exchange gain (loss) on cash - - Securities lending revenue (Note 6) 9 6 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 9 6 Total income 1,203 822 Expenses Custody fees 25 21 Securityholder reporting costs 61 47 Management fees (Note 5) 123 88 Audit fees 4 10 Legal fees 2 3 Independent review committee fees 1 1 Commissions and other portfolio transaction costs 13 10 Securities borrowing fees (Note 2) - - Interest expense - - Withholding taxes - - Harmonized sales tax 28 17 Directors’ fees 1 3 Other expenses - - Total expenses 258 200 Expenses absorbed by the Manager (Note 5) (75) (68) Increase (decrease) in net assets attributable to holders of redeemable shares 1,020 690

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

Annual Financial Statements - December 31, 2019 – 447 – CI First Asset Short Term Government Bond Index Class ETF Financial Statements

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

ETF Shares 2019 2018 Net assets attributable to holders of redeemable shares at the beginning of year 47,272 40,836 Increase (decrease) in net assets attributable to holders of redeemable shares 1,020 690 Dividends to holders of redeemable shares From net investment income - - From net realized gains - - Return of capital (1,007) (728) Total dividends to holders of redeemable shares (1,007) (728)

Redeemable share transactions Proceeds from redeemable shares issued 19,972 31,935 Reinvestment of dividends to holders of redeemable shares - - Redemption of redeemable shares (20,936) (25,461) Net increase (decrease) from redeemable share transactions (964) 6,474 Net increase (decrease) in net assets attributable to holders of redeemable shares (951) 6,436 Net assets attributable to holders of redeemable shares at the end of year 46,321 47,272

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

Annual Financial Statements - December 31, 2019 – 448 – CI First Asset Short Term Government Bond Index Class ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable shares 1,020 690 Adjustments for: Net realized (gain) loss on sale of investments and derivatives 52 976 Unrealized foreign exchange (gain) loss on cash - - Commissions - - Change in unrealized (appreciation) depreciation in value of investments and derivatives (101) (967) Proceeds from sale and maturity of investments and derivatives 23,752 15,428 Purchase of investments and derivatives (23,716) (15,406) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable 9 (49) Increase (decrease) in management fees payable 1 1 Amortization interest earned - - Change in other accounts receivable and payable 9 (21) Net cash from (used in) operating activities 1,026 652

Cash flows from (used in) financing activities Dividends paid to holders of redeemable shares, net of reinvested dividends (1,007) (799) Proceeds from issuance of redeemable shares 690 615 Amounts paid on redemption of redeemable shares (741) (515) Net cash from (used in) financing activities (1,058) (699)

Unrealized foreign exchange gain (loss) on cash - - Net increase (decrease) in cash (32) (47) Cash (bank overdraft), beginning of year 49 96 Cash (bank overdraft), end of year 17 49

Supplementary Information: Dividends received, net of withholding tax* - - Interest received, net of withholding tax* 1,154 776 Dividends paid* - - Interest paid* - - Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 449 – CI First Asset Short Term Government Bond Index Class ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS Corporate Bonds 141,000 Cadillac Fairview Finance Trust, Series ‘B’, 4.31%, January 25, 2021 150,404 144,529 150,404 144,529 0.31% Government of Canada & Guaranteed 923,000 Canada Housing Trust No. 1, 1.50%, December 15, 2021 911,016 918,131 964,000 Canada Housing Trust No. 1, 1.75%, June 15, 2022 955,230 962,293 1,035,000 Canada Housing Trust No. 1, 1.80%, December 15, 2024 1,031,295 1,026,495 875,000 Canada Housing Trust No. 1, 2.35%, June 15, 2023 877,060 887,911 1,885,000 Canada Housing Trust No. 1, 2.40%, December 15, 2022 1,904,603 1,914,224 688,000 Canada Housing Trust No. 1, 2.65%, March 15, 2022 703,769 700,446 1,735,000 Canada Housing Trust No. 1, 2.90%, June 15, 2024 1,829,271 1,804,059 1,328,000 Canada Housing Trust No. 1, 3.80%, June 15, 2021 1,410,596 1,366,228 745,000 Canada Housing Trust No. 1, Series ‘55’, 3.15%, September 15, 2023 767,865 777,378 315,000 Canada Housing Trust No. 1, Series ‘71’, 1.25%, June 15, 2021 310,960 312,635 885,000 Canada Housing Trust No. 1, Series ‘SEPT’, 2.55%, December 15, 2023 897,971 905,337 1,531,000 Government of Canada, 0.50%, March 1, 2022 1,475,545 1,492,469 1,928,000 Government of Canada, 0.75%, March 1, 2021 1,888,499 1,906,143 1,620,000 Government of Canada, 0.75%, September 1, 2021 1,586,372 1,594,914 954,000 Government of Canada, 1.25%, November 1, 2021 948,720 946,424 990,000 Government of Canada, 1.50%, August 1, 2021 991,915 986,732 500,000 Government of Canada, 1.50%, February 1, 2022 498,803 498,069 1,105,000 Government of Canada, 1.50%, June 1, 2023 1,080,188 1,098,660 1,480,000 Government of Canada, 1.50%, September 1, 2024 1,498,276 1,467,987 928,000 Government of Canada, 1.75%, May 1, 2021 931,239 928,256 1,641,000 Government of Canada, 1.75%, March 1, 2023 1,629,046 1,644,420 1,520,000 Government of Canada, 2.00%, September 1, 2023 1,525,677 1,536,850 1,250,000 Government of Canada, 2.25%, February 1, 2021 1,257,945 1,256,760 1,317,000 Government of Canada, 2.25%, March 1, 2024 1,348,855 1,346,701 753,000 Government of Canada, 2.50%, June 1, 2024 791,380 779,076 3,000,000 Government of Canada, 2.75%, June 1, 2022 3,110,042 3,074,939 1,015,000 Government of Canada, 3.25%, June 1, 2021 1,056,140 1,036,420 33,218,278 33,169,957 71.61% Provincial Government & Guaranteed 393,000 Province of Alberta, 1.35%, September 1, 2021 385,715 389,990 386,000 Province of Alberta, 2.55%, December 15, 2022 395,821 392,947 246,000 Province of British Columbia, 2.70%, December 18, 2022 251,635 251,856 450,000 Province of British Columbia, 3.25%, December 18, 2021 467,303 462,340 342,000 Province of British Columbia, Series ‘BCCD’, 3.30%, December 18, 2023 357,662 359,609 500,000 Province of Manitoba, 2.55%, June 2, 2023 513,473 509,937 350,000 Province of New Brunswick, 2.85%, June 2, 2023 355,637 360,093 405,000 Province of Ontario, 1.35%, March 8, 2022 395,567 400,640 345,000 Province of Ontario, 2.30%, September 8, 2024 354,320 348,997 740,000 Province of Ontario, 2.60%, September 8, 2023 744,409 756,436 928,000 Province of Ontario, 2.85%, June 2, 2023 944,892 955,973 1,199,000 Province of Ontario, 3.15%, June 2, 2022 1,246,760 1,234,916 1,623,000 Province of Ontario, 3.50%, June 2, 2024 1,744,451 1,723,851 1,049,000 Province of Ontario, 4.00%, June 2, 2021 1,114,938 1,080,819 592,000 Province of Quebec, 2.45%, March 1, 2023 594,622 602,058 333,000 Province of Quebec, 3.00%, September 1, 2023 340,939 345,413 1,110,000 Province of Quebec, 3.50%, December 1, 2022 1,165,364 1,160,655

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

Annual Financial Statements - December 31, 2019 – 450 – CI First Asset Short Term Government Bond Index Class ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

BONDS (cont’d) Provincial Government & Guaranteed (cont’d) 638,000 Province of Quebec, 3.75%, September 1, 2024 700,521 686,978 814,000 Province of Quebec, 4.25%, December 1, 2021 871,244 850,909 12,945,273 12,874,417 27.79% Total Bonds 46,313,955 46,188,903 99.71% Adjustment for transaction costs - Total Investments 46,313,955 46,188,903 99.71% Other Net Assets (Liabilities) 132,572 0.29% Net Assets Attributable to Holders of Redeemable Shares 46,321,475 100.00%

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

Annual Financial Statements - December 31, 2019 – 451 – CI First Asset Short Term Government Bond Index Class ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions - - Soft dollar commissions† - -

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

ETF Shares 2019 2018 Number of redeemable shares at the beginning of year 2,500,000 2,150,000 Redeemable shares issued for cash 1,050,000 1,700,000 Redeemable shares issued for reinvested dividends - - Redeemable shares redeemed (1,100,000) (1,350,000) Number of redeemable shares at the end of year 2,450,000 2,500,000

Annual Financial Statements - December 31, 2019 – 452 – CI First Asset Short Term Government Bond Index Class ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: ETF Shares 0.250

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

2019 2018 Loaned 16,336 16,536 Collateral (non-cash) 17,187 17,440

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

2019 2018 Gross securities lending revenue 15 11 Charges (6) (5) Securities lending revenue 9 6 % of gross securities lending revenue 59.7 55.6

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

Annual Financial Statements - December 31, 2019 – 453 – CI First Asset Short Term Government Bond Index Class ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Bonds Corporate Bonds 0.85 Government of Canada & Guaranteed 71.34 Provincial Bonds 27.42 Other Net Assets (Liabilities) 0.39

Credit Risk The Fund was invested in fixed income securities, with the following credit ratings, as per the tables below.

as at December 31, 2019 Credit Rating^* Net Assets (%) AAA/Aaa/A++ 73.9 AA/Aa/A+ 8.2 A 17.6 Total 99.7

as at December 31, 2018 Credit Rating^* Net Assets (%) AAA 74.17 AA 8.43 A 17.01

Other Price Risk As at December 31, 2019 and 2018, the Fund did not have a significant exposure to other price risk as the Fund did not invest in equities.

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

Annual Financial Statements - December 31, 2019 – 454 – CI First Asset Short Term Government Bond Index Class ETF Fund Specific Notes to Financial Statements

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

as at December 31, 2019 Greater Less than 1 - 3 3 - 5 than 1 Year Years Years 5 Years Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Interest Rate Exposure - 26,265 19,924 - 46,189

As at December 31, 2019, had the prevailing interest rates increased or decreased by 0.25%, with all other variables held constant, net assets attributable to holders of redeemable shares of the Fund would have decreased or increased, respectively, by approximately $316,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Fair Value $ Less than 1 year - 1 - 3 years 26,473,427 3 - 5 years 20,615,129 Greater than 5 years -

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Bonds - 46,189 - 46,189 Total - 46,189 - 46,189

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Bonds - 47,088,556 - 47,088,556 Total - 47,088,556 - 47,088,556

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 455 – CI First Asset Tech Giants Covered Call ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 257,390 225,997 16.77 14.17 15,348,997 15,948,997 Current assets Unhedged Investments 320,255 258,130 Common Units 65,330 20,631 18.15 15.87 3,600,000 1,300,000 Cash 671 2,269 Unrealized gain on futures and foreign currency forward contracts 3,071 1,868 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable 19 - Collateral on deposit for short sale - - Dividends receivable 57 115 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 324,073 262,382 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 12,456 Swaps, swaptions and options 1,123 3,133 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 178 141 Accounts payable and accrued liabilities 52 24 1,353 15,754 Net assets attributable to holders of redeemable units 322,720 246,628

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

Annual Financial Statements - December 31, 2019 – 456 – CIG - 580530187 CI First Asset Tech Giants Covered Call ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 60,535 (19,150) 3.79 (1.16) 15,973,381 16,528,860 Net gain (loss) on investments and derivatives Unhedged Dividends 3,355 5,924 Common Units 6,176 (721) 3.13 (0.72) 1,974,521 997,123 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 5,077 13,432 Change in unrealized appreciation (depreciation) in value of investments and derivatives 60,770 (35,916) Total net gain (loss) on investments and derivatives 69,202 (16,560) Other income Foreign exchange gain (loss) on cash (35) (49) Securities lending revenue (Note 6) 6 15 Fees rebate 56 - Miscellaneous foreign income 315 - Other income - - Total other income 342 (34) Total income 69,544 (16,594) Expenses Custody fees - - Unitholders reporting costs - - Management fees (Note 5) 1,890 1,936 Audit fees - - Legal fees - - Independent review committee fees 4 9 Commissions and other portfolio transaction costs 390 372 Securities borrowing fees (Note 2) - - Interest expense 7 10 Withholding taxes 385 788 Harmonized sales tax 157 162 Other expenses - - Total expenses 2,833 3,277 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 66,711 (19,871)

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

Annual Financial Statements - December 31, 2019 – 457 – CI First Asset Tech Giants Covered Call ETF Financial Statements

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

Unhedged Common Units Common Units Total Fund 2019 2018 2019 2018 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 225,997 243,390 20,631 6,712 246,628 250,102 Increase (decrease) in net assets attributable to holders of redeemable units 60,535 (19,150) 6,176 (721) 66,711 (19,871) Distributions to holders of redeemable units From net investment income (2,092) (1,123) (772) (148) (2,864) (1,271) From net realized gains - (14,964) - (1,289) - (16,253) Return of capital (17,347) (5,978) (2,050) (39) (19,397) (6,017) Total distributions to holders of redeemable units (19,439) (22,065) (2,822) (1,476) (22,261) (23,541)

Redeemable unit transactions Proceeds from redeemable units issued 13,387 67,301 50,074 20,702 63,461 88,003 Reinvestment of distributions to holders of redeemable units ------Redemption of redeemable units (23,090) (43,479) (8,729) (4,586) (31,819) (48,065) Net increase (decrease) from redeemable unit transactions (9,703) 23,822 41,345 16,116 31,642 39,938 Net increase (decrease) in net assets attributable to holders of redeemable units 31,393 (17,393) 44,699 13,919 76,092 (3,474) Net assets attributable to holders of redeemable units at the end of year 257,390 225,997 65,330 20,631 322,720 246,628

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

Annual Financial Statements - December 31, 2019 – 458 – CI First Asset Tech Giants Covered Call ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 66,711 (19,871) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (5,077) (13,432) Unrealized foreign exchange (gain) loss on cash 5 (82) Commissions 346 321 Change in unrealized (appreciation) depreciation in value of investments and derivatives (60,770) 35,916 Proceeds from sale and maturity of investments and derivatives 187,853 265,807 Purchase of investments and derivatives (168,435) (243,542) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 58 (36) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable 37 3 Amortization interest earned - - Change in other accounts receivable and payable 9 (16) Net cash from (used in) operating activities 20,737 25,068

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (22,261) (27,058) Proceeds from issuance of redeemable units 366 (530) Amounts paid on redemption of redeemable units (435) 479 Net cash from (used in) financing activities (22,330) (27,109)

Unrealized foreign exchange gain (loss) on cash (5) 82 Net increase (decrease) in cash (1,593) (2,041) Cash (bank overdraft), beginning of year 2,269 4,228 Cash (bank overdraft), end of year 671 2,269

Supplementary Information: Dividends received, net of withholding tax* 3,028 5,101 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (7) (10) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 459 – CI First Asset Tech Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES USD 46,148 Accenture PLC, Class ‘A’ 10,364,149 12,618,509 USD 29,850 Adobe Inc. 7,872,412 12,784,002 USD 221,620 Advanced Micro Devices Inc. 12,872,910 13,197,804 USD 7,213 Alphabet Inc., Class ‘A’ 9,816,489 12,545,318 USD 5,436 Amazon.com Inc. 13,674,308 13,043,751 USD 81,369 Analog Devices Inc. 12,148,761 12,556,838 USD 34,791 Apple Inc. 9,058,765 13,266,477 USD 157,921 Applied Materials Inc. 9,321,608 12,517,370 USD 4,830 Booking Holdings Inc. 12,332,418 12,880,987 USD 30,732 Broadcom Inc. 10,512,132 12,611,422 USD 204,737 Cisco Systems Inc. 11,247,736 12,750,705 USD 124,764 Escrow Altegrity Inc. 4,000,787 3,180,301 USD 47,301 Facebook Inc., Class ‘A’ 10,227,388 12,607,012 USD 166,069 Intel Corp. 10,496,417 12,906,588 USD 71,790 International Business Machines Corp. 13,534,205 12,495,598 USD 36,679 Intuit Inc. 8,469,632 12,475,599 USD 32,797 Lam Research Corp. 12,869,579 12,452,890 USD 176,511 Micron Technology Inc. 11,502,486 12,326,826 USD 62,167 Microsoft Corp. 7,791,309 12,730,641 USD 40,692 NVIDIA Corp. 9,446,753 12,433,392 USD 182,089 Oracle Corp. 12,332,551 12,527,210 USD 110,172 QUALCOMM Inc. 9,290,249 12,622,524 USD 59,271 salesforce.com Inc. 8,930,853 12,517,808 USD 34,736 ServiceNow Inc. 11,513,684 12,734,448 USD 75,905 Texas Instruments Inc. 9,923,533 12,645,088 USD 65,070 VMware Inc., Class ‘A’ 11,201,531 12,825,746 Total Equities 270,752,645 320,254,854 99.24% Adjustment for transaction costs (292,272) Total Investments 270,460,373 320,254,854 99.24% Total call option position(s) (1,122,700) (0.35)% Total unrealized gain on forward foreign currency contract(s) 3,070,571 0.95% Other Net Assets (Liabilities) 516,822 0.16% Net Assets Attributable to Holders of Redeemable Units 322,719,547 100.00%

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

Annual Financial Statements - December 31, 2019 – 460 – CI First Asset Tech Giants Covered Call ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

CALL OPTION(S)

Number of Strike Proceeds Fair Value contract(s) Underlying Security - 100 shares per contract Price Expiry Date $ $ (115) Accenture PLC, Class ‘A’ 215.00 January 18, 2020 (20,879) (10,080) (74) Adobe Inc. 330.00 January 18, 2020 (49,944) (52,371) (553) Advanced Micro Devices Inc. 45.00 January 18, 2020 (101,805) (152,595) (18) Alphabet Inc., Class ‘A’ 1,355.00 January 18, 2020 (51,814) (26,880) (13) Amazon.com Inc. 1,795.00 January 18, 2020 (58,800) (112,217) (203) Analog Devices Inc. 120.00 January 18, 2020 (70,774) (43,495) (86) Apple Inc. 285.00 January 18, 2020 (39,940) (127,031) (394) Applied Materials Inc. 62.50 January 18, 2020 (69,460) (35,814) (12) Booking Holdings Inc. 2,025.00 January 18, 2020 (56,961) (80,017) (76) Broadcom Inc. 320.00 January 18, 2020 (67,791) (40,463) (511) Cisco Systems Inc. 50.00 January 18, 2020 (9,768) (6,304) (118) Facebook Inc., Class ‘A’ 210.00 January 18, 2020 (52,472) (30,416) (415) Intel Corp. 60.00 January 18, 2020 (36,035) (50,118) (179) International Business Machines Corp. 140.00 January 18, 2020 (13,894) (4,184) (91) Intuit Inc. 270.00 January 18, 2020 (42,860) (18,907) (81) Lam Research Corp. 300.00 January 18, 2020 (83,441) (34,973) (441) Micron Technology Inc. 57.50 January 18, 2020 (54,538) (22,620) (155) Microsoft Corp. 160.00 January 18, 2020 (25,694) (21,436) (101) NVIDIA Corp. 240.00 January 18, 2020 (97,399) (51,478) (455) Oracle Corp. 55.00 January 18, 2020 (15,564) (4,431) (275) QUALCOMM Inc. 90.00 January 18, 2020 (63,691) (42,138) (148) salesforce.com Inc. 165.00 January 18, 2020 (64,839) (32,479) (86) ServiceNow Inc. 290.00 January 18, 2020 (45,031) (34,619) (189) Texas Instruments Inc. 130.00 January 18, 2020 (42,271) (30,310) (162) VMware Inc., Class ‘A’ 153.19 January 18, 2020 (58,963) (57,324) Call Option Position(s) (1,294,628) (1,122,700)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) March 20, 2020 CAD 256,608,576 USD 195,300,000 1.31 Toronto-Dominion Bank (The) A-1+ 3,070,571 3,070,571

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 461 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 3,071 - - 3,071 Derivative assets - Swaps and swaptions - - - - Total 3,071 - - 3,071 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 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 1,868 (1,868) - - Derivative assets - Swaps and swaptions - - - - Total 1,868 (1,868) - - Derivative liabilities - Foreign currency forward contracts (12,456) 1,868 - (10,588) Derivative liabilities - Swaps and swaptions - - - - Total (12,456) 1,868 - (10,588)

Interest in Unconsolidated Structured Entities (Note 2)

The following table presents the Fund’s interest in Unconsolidated Structured Entities. as at December 31, 2018 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) (%) Altaba Inc. 47,895,509 10,339 -

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

Annual Financial Statements - December 31, 2019 – 462 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 346 321 Soft dollar commissions† 1 2

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

Unhedged Common Units Common Units 2019 2018 2019 2018 Number of redeemable units at the beginning of year 15,948,997 14,748,997 1,300,000 400,000 Redeemable units issued for cash 850,000 3,900,000 2,800,000 1,150,000 Redeemable units issued for reinvested distributions - - - - Redeemable units redeemed (1,450,000) (2,700,000) (500,000) (250,000) Number of redeemable units at the end of year 15,348,997 15,948,997 3,600,000 1,300,000

Annual Financial Statements - December 31, 2019 – 463 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

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

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

2019 2018 Loaned 14,857 - Collateral (non-cash) 15,617 -

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

2019 2018 Gross securities lending revenue 10 24 Charges (4) (9) Securities lending revenue 6 15 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: 6,903 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 464 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities 104.66 Call option positions (1.28) Total unrealized gain on forward foreign currency contracts 0.76 Total unrealized loss on forward foreign currency contracts (5.05) Other Net Assets (Liabilities) 0.91

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ S&P 500 Information Technology Sector Total Return Index 27,134,629 21,633,973

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

as at December 31, 2019~

Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 255,543 (254,433) 1,110 0.4 Total 255,543 (254,433) 1,110 0.4

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Common Units, with all other variables held constant, net assets attributable to holders of redeemable Common Units would have decreased or increased, respectively, by approximately $111,000. 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.

Annual Financial Statements - December 31, 2019 – 465 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2019~ (cont’d)

Unhedged Common Units Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 64,861 (227) 64,634 98.9 Total 64,861 (227) 64,634 98.9

~Includes monetary and non-monetary instruments.

As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% in relation to all other foreign currencies held in the Unhedged Common Units, with all other variables held constant, net assets attributable to holders of redeemable Unhedged Common Units would have decreased or increased, respectively, by approximately $6,463,000. In practice, the actual results may differ from this analysis and the difference may be material.

as at December 31, 2018

Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 236,536,951 1,550,386 (2,764,920) (233,942,948) 1,379,469 68,973 Total 236,536,951 1,550,386 (2,764,920) (233,942,948) 1,379,469 68,973 As a % of Net Assets 104.7 0.7 (1.2) (103.5) 0.7 -

Unhedged Common Units Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 21,593,294 141,534 (252,408) - 21,482,420 1,074,121 Total 21,593,294 141,534 (252,408) - 21,482,420 1,074,121 As a % of Net Assets 104.7 0.7 (1.2) - 104.2 5.2

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 317,075 - 3,180 320,255 Derivatives - 3,071 - 3,071 Total 317,075 3,071 3,180 323,326

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

Annual Financial Statements - December 31, 2019 – 466 – CI First Asset Tech Giants Covered Call ETF Fund Specific Notes to Financial Statements

Fair Value Hierarchy (cont’d)

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives (1,123) - - (1,123) Total (1,123) - - (1,123)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 258,130,245 - - 258,130,245 Derivatives - 1,867,605 - 1,867,605 Total 258,130,245 1,867,605 - 259,997,850

Financial liabilities Derivatives - 15,588,570 - 15,588,570 Total - 15,588,570 - 15,588,570

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

Level 3 Reconciliation The table below summarizes the movement in financial instruments classified as Level 3.

for the year ended December 31, 2019 Balance at Transfers Transfers Realized Gain Unrealized Gain Balance at Dec. 31, 2018 Purchases Sales In (Out) (Loss) (Loss)* Dec. 31, 2019 (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s) Long Positions/Assets: Equities - 4,037 (36) - - - (821) 3,180 Total - 4,037 (36) - - - (821) 3,180

*Change in unrealized gain (loss) related to investments held at December 31, 2019 was ($821,000).

Escrow Altegrity Inc. (Altegrity) mainly holds investments in liquid securities, held back after the Altegrity liquidated its assets and is valued at $19.63 USD. Altegrity reported a net asset value per share of $23.08 USD as of Sept. 30, 2019. Altegrity is valued at last trading price, which is a 15% discount to the last net asset value per share.

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

Annual Financial Statements - December 31, 2019 – 467 – CI First Asset U.S. & Canada Lifeco Income ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 121,414 151,494 11.37 10.08 10,675,890 15,025,890 Current assets Investments 119,626 155,053 Cash 501 1,030 Unrealized gain on futures and foreign currency forward contracts 1,545 - Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable - - Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 121,672 156,083 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts - 3,187 Swaps, swaptions and options 135 1,209 Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 79 101 Accounts payable and accrued liabilities 44 92 258 4,589 Net assets attributable to holders of redeemable units 121,414 151,494

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

Annual Financial Statements - December 31, 2019 – 468 – CIG - 580530297 CI First Asset U.S. & Canada Lifeco Income ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 27,485 (40,795) 2.14 (2.51) 12,868,219 16,249,315 Net gain (loss) on investments and derivatives Dividends 4,857 5,951 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (3,628) 1,461 Change in unrealized appreciation (depreciation) in value of investments and derivatives 27,994 (46,005) Total net gain (loss) on investments and derivatives 29,223 (38,593) Other income Foreign exchange gain (loss) on cash (64) 24 Securities lending revenue (Note 6) 4 1 Fees rebate - - Miscellaneous foreign income 272 318 Other income - - Total other income 212 343 Total income 29,435 (38,250) Expenses Custody fees 28 39 Unitholders reporting costs 55 104 Management fees (Note 5) 1,081 1,470 Audit fees 4 12 Legal fees 5 15 Independent review committee fees 2 6 Commissions and other portfolio transaction costs 228 217 Securities borrowing fees (Note 2) - - Interest expense 1 1 Withholding taxes 436 526 Harmonized sales tax 110 155 Other expenses - - Total expenses 1,950 2,545 Expenses absorbed by the Manager (Note 5) - - Increase (decrease) in net assets attributable to holders of redeemable units 27,485 (40,795)

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

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 151,494 192,514 Increase (decrease) in net assets attributable to holders of redeemable units 27,485 (40,795) Distributions to holders of redeemable units From net investment income (3,601) (2,791) From net realized gains - (1,960) Return of capital (5,128) (7,014) Total distributions to holders of redeemable units (8,729) (11,765)

Redeemable unit transactions Proceeds from redeemable units issued 1,076 38,812 Reinvestment of distributions to holders of redeemable units - - Redemption of redeemable units (49,912) (27,272) Net increase (decrease) from redeemable unit transactions (48,836) 11,540 Net increase (decrease) in net assets attributable to holders of redeemable units (30,080) (41,020) Net assets attributable to holders of redeemable units at the end of year 121,414 151,494

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

Annual Financial Statements - December 31, 2019 – 470 – CI First Asset U.S. & Canada Lifeco Income ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 27,485 (40,795) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 3,628 (1,461) Unrealized foreign exchange (gain) loss on cash 1 - Commissions 207 200 Change in unrealized (appreciation) depreciation in value of investments and derivatives (27,994) 46,005 Proceeds from sale and maturity of investments and derivatives 51,012 39,532 Purchase of investments and derivatives (45,174) (31,522) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable - - (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (22) (23) Amortization interest earned - - Change in other accounts receivable and payable (48) 16 Net cash from (used in) operating activities 9,095 11,952

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (8,729) (14,178) Proceeds from issuance of redeemable units (15) 75 Amounts paid on redemption of redeemable units (879) 94 Net cash from (used in) financing activities (9,623) (14,009)

Unrealized foreign exchange gain (loss) on cash (1) - Net increase (decrease) in cash (528) (2,057) Cash (bank overdraft), beginning of year 1,030 3,087 Cash (bank overdraft), end of year 501 1,030

Supplementary Information: Dividends received, net of withholding tax* 4,421 5,425 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (1) (1) Tax recoverable (paid) - -

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

Annual Financial Statements - December 31, 2019 – 471 – CI First Asset U.S. & Canada Lifeco Income ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Canada 372,188 Great-West Lifeco Inc. 12,602,898 12,378,973 517,570 Manulife Financial Corp. 11,993,613 13,643,145 225,433 Sun Life Financial Inc. 10,560,476 13,347,888 35,156,987 39,370,006 32.43% U.S.A. USD 172,600 Aflac Inc. 9,572,957 11,856,463 USD 101,057 Globe Life Inc. 9,583,086 13,811,701 USD 140,028 Lincoln National Corp. 11,632,583 10,729,987 USD 182,833 MetLife Inc. 10,942,199 12,101,185 USD 165,209 Principal Financial Group Inc. 12,051,981 11,799,268 USD 89,498 Prudential Financial Inc. 11,652,551 10,894,240 USD 239,362 Unum Group 12,787,567 9,063,614 78,222,924 80,256,458 66.10% Total Equities 113,379,911 119,626,464 98.53% Adjustment for transaction costs (209,733) Total Investments 113,170,178 119,626,464 98.53% Total call option position(s) (134,514) (0.11)% Total unrealized gain on forward foreign currency contract(s) 1,545,167 1.27% Other Net Assets (Liabilities) 376,665 0.31% Net Assets Attributable to Holders of Redeemable Units 121,413,782 100.00%

CALL OPTION(S)

Number of Strike Proceeds Fair Value contract(s) Underlying Security - 100 shares per contract Price Expiry Date $ $ (431) Aflac Inc. 55.00 January 18, 2020 (9,640) (3,638) (252) Globe Life Inc. 110.00 January 18, 2020 (16,245) (3,272) (930) Great-West Lifeco Inc. 34.00 January 18, 2020 (8,370) (6,510) (350) Lincoln National Corp. 62.50 January 18, 2020 (23,484) (5,908) (1293) Manulife Financial Corp. 26.50 January 18, 2020 (32,325) (23,921) (457) MetLife Inc. 52.50 January 18, 2020 (19,841) (9,792) (412) Principal Financial Group Inc. 55.00 January 18, 2020 (59,135) (50,825) (223) Prudential Financial Inc. 97.50 January 18, 2020 (25,818) (6,226) (563) Sun Life Financial Inc. 62.00 January 18, 2020 (4,504) (1,126) (598) Unum Group 30.00 January 18, 2020 (47,205) (23,296) Call Option Position(s) (246,567) (134,514)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) February 7, 2020 CAD 66,461,500 USD 50,000,000 1.33 Canadian Imperial Bank of Commerce A-1 1,545,167 1,545,167

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 472 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 1,545 - - 1,545 Derivative assets - Swaps and swaptions - - - - Total 1,545 - - 1,545 Derivative liabilities - Foreign currency forward contracts - - - - Derivative liabilities - Swaps and swaptions - - - - Total - - - - as at December 31, 2018 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 (3,187) - - (3,187) Derivative liabilities - Swaps and swaptions - - - - Total (3,187) - - (3,187)

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

Annual Financial Statements - December 31, 2019 – 473 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

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

2019 2018 Brokerage commissions 207 200 Soft dollar commissions† 4 2

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

Common Units 2019 2018 Number of redeemable units at the beginning of year 15,025,890 14,425,890 Redeemable units issued for cash 100,000 3,000,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (4,450,000) (2,400,000) Number of redeemable units at the end of year 10,675,890 15,025,890

Annual Financial Statements - December 31, 2019 – 474 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.750

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

2019 2018 Loaned 2,032 - Collateral (non-cash) 2,134 -

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

2019 2018 Gross securities lending revenue 7 2 Charges (3) (1) Securities lending revenue 4 1 % of gross securities lending revenue 60.0 60.0

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

2019 Capital loss carried forward: 1,146 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

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

Annual Financial Statements - December 31, 2019 – 475 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Canada 30.46 U.S.A. 71.89 Call option positions (0.80) Total unrealized loss on forward foreign currency contracts (2.10) Other Net Assets (Liabilities) 0.55

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in U.S. and Canadian equities and therefore was sensitive to changes in general economic conditions in the United States and in Canada.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ S&P 500 Life & Health Insurance Total Return Index 10,919,920 13,969,092

Currency Risk The table below summarizes the Fund’s exposure to currency risk.

as at December 31, 2019~ Financial Instruments Exposure Derivatives Net Exposure Net Assets Currency (in $000’s) (in $000’s) (in $000’s) (%) U.S. Dollar 80,363 (65,019) 15,344 12.6 Total 80,363 (65,019) 15,344 12.6

~Includes monetary and non-monetary instruments.

As at December 31, 2019, 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 $1,534,000. 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.

Annual Financial Statements - December 31, 2019 – 476 – CI First Asset U.S. & Canada Lifeco Income ETF Fund Specific Notes to Financial Statements

Currency Risk (cont’d)

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 108,914,337 161,270 (813,031) (93,032,121) 15,230,455 761,523 Total 108,914,337 161,270 (813,031) (93,032,121) 15,230,455 761,523 As a % of Net Assets 71.9 0.1 (0.5) (61.4) 10.1 0.5

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

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

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 119,626 - - 119,626 Derivatives - 1,545 - 1,545 Total 119,626 1,545 - 121,171

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives (135) - - (135) Total (135) - - (135)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 155,052,856 - - 155,052,856 Total 155,052,856 - - 155,052,856

Financial liabilities Derivatives - 4,396,705 - 4,396,705 Total - 4,396,705 - 4,396,705

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

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

Annual Financial Statements - December 31, 2019 – 477 – CI First Asset U.S. Buyback Index ETF Financial Statements

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

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 22,180 29,454 31.69 24.54 700,000 1,200,000 Current assets Investments 21,843 30,760 Cash 99 268 Unrealized gain on futures and foreign currency forward contracts 445 290 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 27 35 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 22,414 31,353 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 173 1,838 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 12 18 Accounts payable and accrued liabilities 49 43 234 1,899 Net assets attributable to holders of redeemable units 22,180 29,454

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

Annual Financial Statements - December 31, 2019 – 478 – CIG - 580530047 CI First Asset U.S. Buyback Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 7,202 (3,849) 7.35 (4.16) 979,863 926,438 Net gain (loss) on investments and derivatives Dividends 579 501 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives 1,336 453 Change in unrealized appreciation (depreciation) in value of investments and derivatives 5,612 (4,505) Total net gain (loss) on investments and derivatives 7,527 (3,551) Other income Foreign exchange gain (loss) on cash (1) (2) Securities lending revenue (Note 6) 1 1 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income - (1) Total income 7,527 (3,552) Expenses Custody fees 21 21 Unitholders reporting costs 47 31 Management fees (Note 5) 167 151 Audit fees 4 10 Legal fees 1 13 Independent review committee fees - 1 Commissions and other portfolio transaction costs 13 15 Securities borrowing fees (Note 2) - - Interest expense - 1 Withholding taxes 82 72 Harmonized sales tax 27 24 Other expenses - - Total expenses 362 339 Expenses absorbed by the Manager (Note 5) (37) (42) Increase (decrease) in net assets attributable to holders of redeemable units 7,202 (3,849)

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

Annual Financial Statements - December 31, 2019 – 479 – CI First Asset U.S. Buyback Index ETF Financial Statements

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

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 29,454 11,821 Increase (decrease) in net assets attributable to holders of redeemable units 7,202 (3,849) Distributions to holders of redeemable units From net investment income (290) (167) From net realized gains - - Return of capital (1) (45) Total distributions to holders of redeemable units (291) (212)

Redeemable unit transactions Proceeds from redeemable units issued 13,000 38,725 Reinvestment of distributions to holders of redeemable units 95 - Redemption of redeemable units (27,280) (17,031) Net increase (decrease) from redeemable unit transactions (14,185) 21,694 Net increase (decrease) in net assets attributable to holders of redeemable units (7,274) 17,633 Net assets attributable to holders of redeemable units at the end of year 22,180 29,454

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

Annual Financial Statements - December 31, 2019 – 480 – CI First Asset U.S. Buyback Index ETF Financial Statements

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

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 7,202 (3,849) Adjustments for: Net realized (gain) loss on sale of investments and derivatives (1,336) (453) Unrealized foreign exchange (gain) loss on cash 1 (1) Commissions 4 2 Change in unrealized (appreciation) depreciation in value of investments and derivatives (5,612) 4,505 Proceeds from sale and maturity of investments and derivatives 10,898 6,148 Purchase of investments and derivatives (11,050) (6,355) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 8 (25) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (6) 13 Amortization interest earned - - Change in other accounts receivable and payable 6 20 Net cash from (used in) operating activities 115 5

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (196) (247) Proceeds from issuance of redeemable units (95) 234 Amounts paid on redemption of redeemable units 8 257 Net cash from (used in) financing activities (283) 244

Unrealized foreign exchange gain (loss) on cash (1) 1 Net increase (decrease) in cash (168) 249 Cash (bank overdraft), beginning of year 268 18 Cash (bank overdraft), end of year 99 268

Supplementary Information: Dividends received, net of withholding tax* 505 404 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* - (1) Tax recoverable (paid) - -

*Dividends and interest received as well as dividends and interest paid relate to operating activities of the Fund. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 481 – CI First Asset U.S. Buyback Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Netherlands USD 4,525 LyondellBasell Industries NV, Class ‘A’ 577,117 555,159 577,117 555,159 2.50% U.S.A. USD 3,597 Allstate Corp. (The) 467,652 525,241 USD 12,176 Ally Financial Inc. 446,360 483,189 USD 15,001 American Airlines Group Inc. 672,516 558,673 USD 3,383 American Express Co. 479,043 546,884 USD 7,129 American International Group Inc. 480,298 475,180 USD 2,810 Ameriprise Financial Inc. 534,552 607,839 USD 2,013 Amgen Inc. 540,546 630,152 USD 1,745 Apple Inc. 471,200 665,402 USD 363 AutoZone Inc. 417,943 561,552 USD 5,899 Best Buy Co. Inc. 547,240 672,561 USD 1,038 Boeing Co. (The) 486,726 439,090 USD 197 Booking Holdings Inc. 505,838 525,374 USD 4,450 CarMax Inc. 444,599 506,605 USD 929 Charter Communications Inc., Class ‘A’ 469,384 585,178 USD 8,229 Cisco Systems Inc. 558,527 512,489 USD 5,752 Citigroup Inc. 517,003 596,719 USD 6,036 Comerica Inc. 556,522 562,380 USD 13,956 Corning Inc. 560,856 527,548 USD 4,956 Discover Financial Services 492,999 545,869 USD 10,851 E*TRADE Financial Corp. 546,362 639,289 USD 26,426 Hewlett Packard Enterprise Co. 510,592 544,244 USD 20,580 HP Inc. 584,277 549,181 USD 2,696 International Business Machines Corp. 498,087 469,259 USD 2,685 IQVIA Holdings Inc. 447,320 538,716 USD 15,204 Kroger Co. (The) 541,412 572,354 USD 3,571 Lowe’s Cos. Inc. 488,021 555,342 USD 6,469 Marathon Petroleum Corp. 562,521 506,119 USD 1,052 Northrop Grumman Corp. 433,537 469,889 USD 974 O’Reilly Automotive Inc. 447,039 554,306 USD 10,985 Pfizer Inc. 567,990 558,886 USD 1,995 Raytheon Co. 513,816 569,260 USD 25,157 Regions Financial Corp. 562,101 560,576 USD 3,543 Ross Stores Inc. 443,328 535,621 USD 3,618 Target Corp. 426,126 602,350 USD 2,676 Travelers Cos. Inc. (The) 461,742 475,890 USD 4,565 United Airlines Holdings Inc. 496,468 522,187 USD 1,330 W.W. Grainger Inc. 527,748 584,648 USD 3,282 Walmart Inc. 434,033 506,477 USD 3,401 Yum! Brands Inc. 403,028 444,861 19,545,352 21,287,380 95.98% Total Equities 20,122,469 21,842,539 98.48% Adjustment for transaction costs (4,138) Total Investments 20,118,331 21,842,539 98.48% Total unrealized gain on forward foreign currency contract(s) 444,533 2.00% Total unrealized loss on forward foreign currency contract(s) (172,970) (0.78)% Other Net Assets (Liabilities) 66,378 0.30% Net Assets Attributable to Holders of Redeemable Units 22,180,480 100.00%

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 482 – CI First Asset U.S. Buyback Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) February 7, 2020 CAD 23,055,972 USD 17,545,000 1.31 Bank of Montreal A-1 276,830 February 7, 2020 CAD 4,766,729 USD 3,605,000 1.32 Bank of Montreal A-1 86,262 February 7, 2020 CAD 3,457,090 USD 2,600,000 1.33 Bank of Montreal A-1 81,441 February 7, 2020 USD 3,290,000 CAD 4,330,726 1.32 Bank of Montreal A-1 (59,231) February 7, 2020 USD 3,675,000 CAD 4,885,089 1.33 Bank of Montreal A-1 (113,739) 271,563

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 483 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 445 (173) - 272 Derivative assets - Swaps and swaptions - - - - Total 445 (173) - 272 Derivative liabilities - Foreign currency forward contracts (173) 173 - - Derivative liabilities - Swaps and swaptions - - - - Total (173) 173 - - as at December 31, 2018 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 290 (290) - - Derivative assets - Swaps and swaptions - - - - Total 290 (290) - - Derivative liabilities - Foreign currency forward contracts (1,838) 290 - (1,548) Derivative liabilities - Swaps and swaptions - - - - Total (1,838) 290 - (1,548)

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 484 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

Commissions (Note 2) for the years ended December 31 (in $000’s)

2019 2018 Brokerage commissions 4 2 Soft dollar commissions† - -

Redeemable Unit Transactions (Note 4) for the years ended December 31

Common Units 2019 2018 Number of redeemable units at the beginning of year 1,200,000 450,000 Redeemable units issued for cash 450,000 1,400,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (950,000) (650,000) Number of redeemable units at the end of year 700,000 1,200,000

Annual Financial Statements - December 31, 2019 – 485 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.600

Securities Lending (Note 6) as at December 31 (in $000’s)

2019 2018 Loaned - 1,282 Collateral (non-cash) - 1,347

Securities Lending Revenue Reconciliation (Note 6) for the years ended December 31 (in $000’s)

2019 2018 Gross securities lending revenue 1 1 Charges - - Securities lending revenue 1 1 % of gross securities lending revenue 59.9 47.4

Loss Carry Forwards (Note 7) as at December 31 (in $000’s)

2019 Capital loss carried forward: 48 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 - 2039 - Total -

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 486 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Netherlands 2.42 U.S.A. 102.02 Total unrealized gain on forward foreign currency contracts 0.98 Total unrealized loss on forward foreign currency contracts (6.24) Other Net Assets (Liabilities) 0.82

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominately invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ CIBC U.S. Buyback Total Return Index 2,182,399 3,073,069

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 30,760,357 28,895 35,080 (29,855,771) 968,561 48,428 Total 30,760,357 28,895 35,080 (29,855,771) 968,561 48,428 As a % of Net Assets 104.4 0.1 0.1 (101.4) 3.2 0.2

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 487 – CI First Asset U.S. Buyback Index ETF Fund Specific Notes to Financial Statements

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value.

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 21,843 - - 21,843 Derivatives - 445 - 445 Total 21,843 445 - 22,288

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (173) - (173) Total - (173) - (173)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 30,760,357 - - 30,760,357 Derivatives - 289,505 - 289,505 Total 30,760,357 289,505 - 31,049,862

Financial liabilities Derivatives - 1,838,415 - 1,838,415 Total - 1,838,415 - 1,838,415

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 488 – CI First Asset U.S. TrendLeaders Index ETF Financial Statements

Net assets attributable to Net assets attributable holders of redeemable units to holders of redeemable Number of redeemable per class (Note 4): units per unit: units outstanding:

2019 2018 2019 2018 2019 2018 2019 2018 Assets Common Units 26,169 68,506 22.76 20.45 1,150,000 3,350,000 Current assets Investments 25,920 70,692 Cash 30 1,029 Unrealized gain on futures and foreign currency forward contracts 393 377 Swaps, swaptions and options - - Daily variation margin on derivative instruments - - Fees rebate receivable - - Collateral on deposit for short sale - - Dividends receivable 20 56 Interest receivable - - Receivable for investments sold - - Receivable for unit subscriptions - - 26,363 72,154 Liabilities Current liabilities Investments sold short - - Bank overdraft - - Unrealized loss on futures and foreign currency forward contracts 113 3,510 Swaps, swaptions and options - - Dividends payable on investments sold short - - Interest payable on investments sold short - - Daily variation margin on derivative instruments - - Payable for investments purchased - - Payable for unit redemptions - - Distributions payable to holders of redeemable units - - Management fees payable 17 45 Accounts payable and accrued liabilities 64 93 194 3,648 Net assets attributable to holders of redeemable units 26,169 68,506

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 489 – CIG - 580530087 CI First Asset U.S. TrendLeaders Index ETF Financial Statements

Increase (decrease) in Increase (decrease) in net assets attributable to net assets attributable to holders of redeemable holders of redeemable Weighted average units per class: units per unit: number of units: 2019 2018 2019 2018 2019 2018 2019 2018 Income Common Units 5,939 (9,255) 2.84 (3.30) 2,091,096 2,803,562 Net gain (loss) on investments and derivatives Dividends 495 544 Interest for distribution purposes - - Income distributions from investments - - Capital gain distributions from investments - - Derivative income (loss) - - Dividends expense on financial assets (liabilities) sold short - - Interest expense on financial assets (liabilities) sold short - - Net realized gain (loss) on sale of investments and derivatives (248) (2,183) Change in unrealized appreciation (depreciation) in value of investments and derivatives 6,294 (6,753) Total net gain (loss) on investments and derivatives 6,541 (8,392) Other income Foreign exchange gain (loss) on cash 30 (10) Securities lending revenue (Note 6) 9 1 Fees rebate - - Miscellaneous foreign income - - Other income - - Total other income 39 (9) Total income 6,580 (8,401) Expenses Custody fees 21 23 Unitholders reporting costs 49 43 Management fees (Note 5) 346 485 Audit fees 4 10 Legal fees 2 14 Independent review committee fees 1 2 Commissions and other portfolio transaction costs 136 155 Securities borrowing fees (Note 2) - - Interest expense 2 2 Withholding taxes 71 84 Harmonized sales tax 38 51 Other expenses - - Total expenses 670 869 Expenses absorbed by the Manager (Note 5) (29) (15) Increase (decrease) in net assets attributable to holders of redeemable units 5,939 (9,255)

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 490 – CI First Asset U.S. TrendLeaders Index ETF Financial Statements

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units for the years ended December 31 (in $000’s)

Common Units 2019 2018 Net assets attributable to holders of redeemable units at the beginning of year 68,506 29,709 Increase (decrease) in net assets attributable to holders of redeemable units 5,939 (9,255) Distributions to holders of redeemable units From net investment income - - From net realized gains - - Return of capital (1) - Total distributions to holders of redeemable units (1) -

Redeemable unit transactions Proceeds from redeemable units issued 3,125 67,864 Reinvestment of distributions to holders of redeemable units 1 - Redemption of redeemable units (51,401) (19,812) Net increase (decrease) from redeemable unit transactions (48,275) 48,052 Net increase (decrease) in net assets attributable to holders of redeemable units (42,337) 38,797 Net assets attributable to holders of redeemable units at the end of year 26,169 68,506

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 491 – CI First Asset U.S. TrendLeaders Index ETF Financial Statements

Statements of Cash Flows for the years ended December 31 (in $000’s)

2019 2018 Cash flows from (used in) operating activities Increase (decrease) in net assets attributable to holders of redeemable units 5,939 (9,255) Adjustments for: Net realized (gain) loss on sale of investments and derivatives 248 2,183 Unrealized foreign exchange (gain) loss on cash 1 (1) Commissions 116 121 Change in unrealized (appreciation) depreciation in value of investments and derivatives (6,294) 6,753 Proceeds from sale and maturity of investments and derivatives 403,891 428,733 Purchase of investments and derivatives (404,244) (427,781) (Increase) decrease in collateral on deposit for short sale - - Non-cash distributions from investments - - Change in daily variation margin - - (Increase) decrease in dividends receivable 36 (52) (Increase) decrease in interest receivable - - Increase (decrease) in management fees payable (28) 29 Amortization interest earned - - Change in other accounts receivable and payable (29) 81 Net cash from (used in) operating activities (364) 811

Cash flows from (used in) financing activities Distributions paid to holders of redeemable units, net of reinvested distributions - - Proceeds from issuance of redeemable units 949 84 Amounts paid on redemption of redeemable units (1,583) 74 Net cash from (used in) financing activities (634) 158

Unrealized foreign exchange gain (loss) on cash (1) 1 Net increase (decrease) in cash (998) 969 Cash (bank overdraft), beginning of year 1,029 59 Cash (bank overdraft), end of year 30 1,029

Supplementary Information: Dividends received, net of withholding tax* 460 408 Interest received, net of withholding tax* - - Dividends paid* - - Interest paid* (2) 2 Tax recoverable (paid) - -

*Dividends and interest received as well as dividends and interest paid relate to operating activities of the Fund. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 492 – CI First Asset U.S. TrendLeaders Index ETF Schedule of Investment Portfolio as at December 31, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES Consumer Discretionary USD 4,058 CarMax Inc. 518,048 461,978 USD 4,026 Garmin Ltd. 499,019 510,040 USD 7,487 Leggett & Platt Inc. 515,334 494,182 USD 2,479 Lithia Motors Inc., Class ‘A’ 518,057 473,209 USD 3,231 Marriott Vacations Worldwide Corp. 485,386 540,227 USD 9,923 PulteGroup Inc. 478,634 499,958 USD 3,130 Target Corp. 516,330 521,105 USD 2,913 Tiffany & Co. 516,636 505,555 USD 3,584 TopBuild Corp. 522,354 479,735 4,569,798 4,485,989 17.14% Financials USD 1,529 MSCI Inc. 517,181 512,612 517,181 512,612 1.96% Health Care USD 8,579 Acadia Pharmaceuticals Inc. 512,806 476,580 USD 3,220 Alnylam Pharmaceuticals Inc. 524,026 481,564 USD 5,608 Arrowhead Pharmaceuticals Inc. 512,108 461,914 USD 1,704 Dexcom Inc. 518,161 484,012 USD 1,594 Edwards Lifesciences Corp. 451,454 482,884 USD 2,118 Insulet Corp. 341,240 470,856 USD 4,618 Medicines Co. (The) 516,521 509,360 USD 1,927 Reata Pharmaceuticals Inc. 519,555 511,546 USD 3,266 Seattle Genetics Inc. 457,482 484,584 USD 4,959 Teladoc Health Inc. 520,238 539,116 4,873,591 4,902,416 18.73% Industrials USD 12,638 Arconic Inc. 516,113 504,969 USD 4,449 Copart Inc. 458,691 525,383 USD 6,256 Fortune Brands Home & Security Inc. 509,902 530,804 USD 2,598 Kansas City Southern Industries Inc. 510,400 516,706 USD 6,082 Stericycle Inc. 515,357 503,957 USD 1,145 Teledyne Technologies Inc. 519,062 515,249 3,029,525 3,097,068 11.83% Information Technology USD 10,106 Advanced Micro Devices Inc. 522,910 601,828 USD 1,561 ANSYS Inc. 448,977 521,779 USD 1,505 Apple Inc. 509,728 573,885 USD 7,028 Applied Materials Inc. 463,249 557,064 USD 2,936 CDW Corp. 468,397 544,584 USD 3,749 Fortinet Inc. 517,536 519,736 USD 2,200 Global Payments Inc. 519,082 521,539 USD 10,205 Jabil Inc. 470,799 547,693 USD 13,202 KBR Inc. 518,956 522,875 USD 3,818 Keysight Technologies Inc. 484,799 508,826 USD 1,516 Lam Research Corp. 450,391 575,619 USD 5,438 Lumentum Holdings Inc. 518,857 559,978 USD 15,512 Marvell Technology Group Ltd. 519,203 535,001 USD 3,727 MKS Instruments Inc. 551,490 532,415 USD 3,835 Qorvo Inc. 520,943 578,818 USD 2,343 RingCentral Inc. 485,850 513,179 USD 4,003 Skyworks Solutions Inc. 518,745 628,346 USD 3,202 SYNNEX Corp. 508,235 535,545 USD 2,698 Tech Data Corp. 451,872 503,101 USD 6,308 Teradyne Inc. 449,128 558,562 USD 26,707 Viavi Solutions Inc. 518,163 520,206

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 493 – CI First Asset U.S. TrendLeaders Index ETF Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

EQUITIES (cont’d) Information Technology (cont’d) USD 14,538 Western Union Co. (The) 517,341 505,561 USD 10,199 Xerox Holdings Corp. 518,906 488,303 11,453,557 12,454,443 47.60% Real Estate USD 2,398 Sun Communities Inc. 427,907 467,400 427,907 467,400 1.79% Total Equities 24,871,559 25,919,928 99.05% Adjustment for transaction costs (3,257) Total Investments 24,868,302 25,919,928 99.05% Total unrealized gain on forward foreign currency contract(s) 393,362 1.50% Total unrealized loss on forward foreign currency contract(s) (113,246) (0.43)% Other Net Assets (Liabilities) (30,885) (0.12)% Net Assets Attributable to Holders of Redeemable Units 26,169,159 100.00%

FORWARD FOREIGN CURRENCY CONTRACT(S)

Unrealized Settlement Currency Currency Contract Credit Gain (Loss) Date Buy Position Sell Position Rates Counterparty Rating* ($) February 7, 2020 CAD 32,353,265 USD 24,620,000 1.31 Bank of Montreal A-1 388,462 February 7, 2020 CAD 335,973 USD 255,000 1.32 Bank of Montreal A-1 4,900 February 7, 2020 USD 700,000 CAD 921,046 1.32 Bank of Montreal A-1 (12,217) February 7, 2020 USD 575,000 CAD 763,502 1.33 Bank of Montreal A-1 (16,964) February 7, 2020 USD 645,000 CAD 855,580 1.33 Bank of Montreal A-1 (18,159) February 7, 2020 USD 780,000 CAD 1,033,527 1.33 Bank of Montreal A-1 (20,833) February 7, 2020 USD 2,185,000 CAD 2,881,917 1.32 Bank of Montreal A-1 (45,073) 280,116

*Credit rating provided by S&P Global Ratings. The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 494 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

Offsetting of Financial Instruments (Note 2)

The following tables show the net impact on the Fund’s Statements of Financial Position if all rights to offset were exercised. as at December 31, 2019 Amounts Eligible for Offset Gross Assets/ Financial Collateral Net (Liabilities) Instruments Received/(Paid) Exposure (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivative assets - Foreign currency forward contracts 393 (113) - 280 Derivative assets - Swaps and swaptions - - - - Total 393 (113) - 280 Derivative liabilities - Foreign currency forward contracts (113) 113 - - Derivative liabilities - Swaps and swaptions - - - - Total (113) 113 - - as at December 31, 2018 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 377 (377) - - Derivative assets - Swaps and swaptions - - - - Total 377 (377) - - Derivative liabilities - Foreign currency forward contracts (3,510) 377 - (3,133) Derivative liabilities - Swaps and swaptions - - - - Total (3,510) 377 - (3,133)

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 495 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

Commissions (Note 2) for the years ended December 31 (in $000’s)

2019 2018 Brokerage commissions 116 121 Soft dollar commissions† - -

Redeemable Unit Transactions (Note 4) for the years ended December 31

Common Units 2019 2018 Number of redeemable units at the beginning of year 3,350,000 1,350,000 Redeemable units issued for cash 150,000 2,900,000 Redeemable units issued for reinvested distributions - - Redeemable units redeemed (2,350,000) (900,000) Number of redeemable units at the end of year 1,150,000 3,350,000

Annual Financial Statements - December 31, 2019 – 496 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

Management Fee Rate (Note 5) as at December 31, 2019 (%)

Annual management fee rate: Common Units 0.750

Securities Lending (Note 6) as at December 31 (in $000’s)

2019 2018 Loaned 2,909 11,597 Collateral (non-cash) 3,062 12,211

Securities Lending Revenue Reconciliation (Note 6) for the years ended December 31 (in $000’s)

2019 2018 Gross securities lending revenue 16 2 Charges (7) (1) Securities lending revenue 9 1 % of gross securities lending revenue 59.0 60.0

Loss Carry Forwards (Note 7) as at December 31 (in $000’s)

2019 Capital loss carried forward: 2,541 Non-capital losses expiring: 2029 - 2030 - 2031 - 2032 - 2033 - 2034 - 2035 - 2036 - 2037 - 2038 219 2039 8 Total 227

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 497 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

Financial Instruments Risks (Note 10)

Concentration Risk For Concentration Risk as at December 31, 2019, refer to the Schedule of Investment Portfolio.

The Fund’s investments were concentrated in the following segments:

as at December 31, 2018 Categories Net Assets (%) Equities Communication Services 12.07 Consumer Discretionary 18.32 Consumer Staples 8.24 Financials 8.53 Health Care 24.24 Industrials 4.31 Information Technology 12.77 Materials 3.95 Real Estate 4.17 Utilities 6.60 Total unrealized gain on forward foreign currency contracts 0.55 Total unrealized loss on forward foreign currency contracts (5.12) Other Net Assets (Liabilities) 1.37

Credit Risk As at December 31, 2019 and 2018, the Fund’s exposure to credit risk through derivative instruments was insignificant.

Other Price Risk As at December 31, 2019 and 2018, the Fund was predominantly invested in U.S. equities and therefore was sensitive to changes in general economic conditions in the United States.

Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2019 December 31, 2018 Benchmark $ $ CIBC U.S. TrendLeaders Total Return Index 2,438,599 6,600,848

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 498 – CI First Asset U.S. TrendLeaders Index ETF Fund Specific Notes to Financial Statements

as at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ United States dollar 70,692,296 15,818 55,575 (69,968,070) 795,619 39,781 Total 70,692,296 15,818 55,575 (69,968,070) 795,619 39,781 As a % of Net Assets 103.2 - 0.1 (102.1) 1.2 0.1

Interest Rate Risk As at December 31, 2019 and 2018, the Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in equities and derivatives.

Fair Value Hierarchy

The tables below summarize the inputs used by the Fund in valuing the Fund’s investments and derivatives carried at fair value.

Long Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Equities 25,920 - - 25,920 Derivatives - 393 - 393 Total 25,920 393 - 26,313

Short Positions at fair value as at December 31, 2019 Level 1 Level 2 Level 3 Total (in $000’s) (in $000’s) (in $000’s) (in $000’s) Derivatives - (113) - (113) Total - (113) - (113)

Long Positions at fair value as at December 31, 2018 Level 1 Level 2 Level 3 Total ($) ($) ($) ($) Financial assets Equities 70,692,296 - - 70,692,296 Derivatives - 377,392 - 377,392 Total 70,692,296 377,392 - 71,069,688

Financial liabilities Derivatives - 3,509,625 - 3,509,625 Total - 3,509,625 - 3,509,625

There were no transfers between Level 1, 2 and 3 during the years ended December 31, 2019 and 2018.

The accompanying notes are an integral part of these financial statements.

Annual Financial Statements - December 31, 2019 – 499 – CI First Asset Exchange Traded Funds Notes to the Financial Statements

1. THE FUNDS The Funds listed under the heading Corporate Class in the below table are ETF share classes of CI First Asset Fund Corp. (Fund Corporation), were established under the laws of the Province of Ontario as a mutual fund corporation on June 28, 2010. Each class of shares is referred to as a Fund (the Fund) and collectively (the Funds). These financial statements only present the financial information of each of the corporate classes as separate reporting entities.

The remaining Funds (individually, a Trust, and collectively, the Trusts) were established as investment funds under the laws of the Province of Ontario and governed by a Declaration of Trust.

On July 1, 2019, First Asset Investment Management Inc. amalgamated with CI Investments Inc. (CI). Effective July 1, 2019, CI became the manager, (the Manager) to the Funds. CI is a subsidiary of CI Financial Corp. CIBC Mellon Trust Company is the custodian (the Custodian) of the Funds.

Effective April 29, 2019, First Asset ETFs were rebranded as CI First Asset ETFs.

Each CI First Asset Exchange Traded Funds is referred to individually as (a Fund) and collectively (the Funds). Each Fund’s registered office is at 2 Queen Street East, Suite 2000, Toronto, Canada, M5C 3G7. These financial statements were authorized for issue by the Manager on March 12, 2020.

The following table indicates the date upon which each Fund was established or the prospectus date of the initial public offering for Funds that were originally established as closed-end investment trusts (Inception Date). The date upon which each class of securities of each Fund started trading on the Toronto Stock Exchange (TSX) or Neo Exchange Inc. (NEO) as an ETF (Launch Date) is also indicated below.

TSX/NEO Common Units / Unhedged Common Units Fund Ticker Symbol Inception Date Corporate Class (CAD and/or USD) TRUSTS CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF BXF May 30, 2013 June 11, 2013 CI First Asset Active Canadian Dividend ETF FDV July 18, 2014 September 9, 2014 CI First Asset Active Credit ETF FAO January 12, 2015 January 19, 2015 January 19, 2015 CI First Asset Active Utility & Infrastructure ETF FAI January 12, 2015 January 16, 2015 CI First Asset Canadian Buyback Index ETF FBE August 22, 2016 September 13, 2016 CI First Asset Canadian Convertible Bond ETF CXF May 24, 2011 June 7, 2011 CI First Asset Canadian REIT ETF RIT July 10, 2015 July 14, 2015 CI First Asset Energy Giants Covered Call ETF NXF January 26, 2015 February 10, 2015 February 10, 2015 CI First Asset Enhanced Government Bond ETF FGO July 26, 2018 July 31, 2018 July 31, 2018 CI First Asset Enhanced Short Duration Bond ETF FSB September 7, 2017 September 12, 2017 October 4, 2017 CI First Asset European Bank ETF FHB July 18, 2014 July 29, 2014 CI First Asset Global Asset Allocation ETF CGAA August 9, 2019 August 9, 2019 CI First Asset Global Financial Sector ETF FSF April 11, 2016 April 25, 2016 CI First Asset Gold+ Giants Covered Call ETF CGXF May 16, 2011 June 4, 2011 (formerly CI First Asset Can-Materials Covered Call ETF) CI First Asset Health Care Giants Covered Call ETF FHI June 7, 2018 June 12, 2018 June 12, 2018 CI First Asset High Interest Savings ETF CSAV May 29, 2019 June 14, 2019 CI First Asset Investment Grade Bond ETF FIG July 28, 2016 August 22, 2016 December 12, 2017 CI First Asset Long Duration Fixed Income ETF FLB May 4, 2016 May 17, 2016 CI First Asset Morningstar Canada Dividend Target 30 Index ETF DXM January 13, 2012 February 6, 2012 CI First Asset Morningstar Canada Momentum Index ETF WXM January 13, 2012 February 15, 2012 CI First Asset Morningstar Canada Value Index ETF FXM January 13, 2012 February 15, 2012 CI First Asset Morningstar International Momentum Index ETF ZXM October 20, 2014 November 18, 2014 November 18, 2014 CI First Asset Morningstar International Value Index ETF VXM October 20, 2014 November 18, 2014 November 18, 2014 CI First Asset Morningstar National Bank Québec Index ETF QXM January 13, 2012 February 6, 2012 CI First Asset Morningstar US Dividend Target 50 Index ETF UXM January 13, 2012 February 6, 2012 October 22, 2013 CI First Asset Morningstar US Momentum Index ETF YXM October 11, 2013 October 22, 2013 October 22, 2013

Annual Financial Statements - December 31, 2019 – 500 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

TSX/NEO Common Units / Unhedged Common Units Fund Ticker Symbol Inception Date Corporate Class (CAD and/or USD) TRUSTS (cont’d) CI First Asset Morningstar US Value Index ETF XXM October 11, 2013 October 22, 2013 October 22, 2013 CI First Asset MSCI Canada Low Risk Weighted ETF RWC January 27, 2014 February 19, 2014 CI First Asset MSCI Europe Low Risk Weighted ETF RWE January 27, 2014 February 11, 2014 February 11, 2014 CI First Asset MSCI International Low Risk Weighted ETF RWX August 23, 2017 August 25, 2017 August 25, 2017 CI First Asset MSCI USA Low Risk Weighted ETF RWU January 27, 2014 February 11, 2014 February 11, 2014 CI First Asset MSCI World ESG Impact ETF CESG September 12, 2019 September 12, 2019 September 12, 2019 CI First Asset MSCI World Low Risk Weighted ETF RWW January 27, 2014 February 19, 2014 February 19, 2014 CI First Asset Preferred Share ETF FPR May 4, 2016 May 17, 2016 CI First Asset Tech Giants Covered Call ETF TXF October 17, 2011 October 26, 2011 August 31, 2017 CI First Asset U.S. & Canada Lifeco Income ETF FLI August 25, 2014 September 3, 2014 CI First Asset U.S. Buyback Index ETF FBU August 22, 2016 September 13, 2016 CI First Asset U.S. TrendLeaders Index ETF SID June 28, 2017 July 5, 2017 CORPORATE CLASS CI First Asset CanBanc Income Class ETF CIC September 18, 2015 September 24, 2015 CI First Asset Core Canadian Equity Income Class ETF CSY April 1, 2016 May 4, 2016 CI First Asset MSCI Canada Quality Index Class ETF FQC April 1, 2016 May 4, 2016 CI First Asset Short Term Government Bond Index Class ETF FGB February 23, 2016 March 1, 2016

Each Trust offers one class of security called Common Units or Unhedged Common Units. CI First Asset Active Credit ETF, CI First Asset Enhanced Short Duration Bond ETF, CI First Asset Investment Grade Bond ETF and CI First Asset Enhanced Government Bond ETF also offer U.S. dollar denominated Unhedged Common Units. The exposure in relation to the unhedged securities of a Fund to currencies other than the Canadian dollar is not hedged back to the Canadian dollar. Accordingly, the net asset value attributable to holders of redeemable units/shares per units/shares of each class will not be the same as a result of the different fees allocable to each class of units/shares and/or the different currency hedging strategy, as applicable.

All classes of units/shares of the Funds are currently listed on the TSX.

The objective of each Fund is to pool and manage money contributed by investors (unitholders/shareholders) with similar investment goals. The Funds may invest in equities, fixed income securities, derivatives, underlying fund(s) or some combination thereof according to their specific investment objectives and strategies. Investments may be held for income or capital appreciation or both.

Fund Investment Objectives TRUSTS CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF The Fund seeks to replicate, to the extent possible, the performance of the FTSE Canada 1-5 Year Laddered Government Strip Bond IndexTM, net of expenses. CI First Asset Active Canadian Dividend ETF The Fund seeks long-term total returns consisting of regular dividend income and long-term capital appreciation from an actively managed portfolio comprised primarily of dividend-paying and other equity securities of Canadian issuers. The Fund may also invest up to 30% of its net asset value in dividend paying and other equity securities of non-Canadian issuers. CI First Asset Active Credit ETF The Fund seeks to maximize long term risk-adjusted total returns, delivered through cash distributions and long term capital appreciation, in a manner consistent with the preservation of capital and prudent risk management by actively investing primarily in credit securities of North American issuers, including high yield, investment grade bonds, senior floating rate loans of varying maturities and other floating rate fixed income securities. CI First Asset Active Utility & Infrastructure ETF The Fund seeks to provide unitholders with monthly cash distributions and the opportunity for capital appreciation from an actively managed portfolio comprised primarily of equity securities of issuers that: derive their revenue from the distribution, wholesale or retail, of oil, natural gas or other refined products typically pursuant to fixed rate transportation tolls or from power generation and sale including hydroelectric, gas-fired, coal-fired and wind, among others, typically pursuant to long term fixed price contracts; service and support these industries; or are otherwise in the energy infrastructure industry.

Annual Financial Statements - December 31, 2019 – 501 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

Fund Investment Objectives TRUSTS (cont’d) CI First Asset Canadian Buyback Index ETF The Fund seeks to replicate, to the extent possible, the performance of the CIBC Canadian Buyback Index, net of expenses. CI First Asset Canadian Convertible Bond ETF The Fund seeks to provide unitholders with: (i) quarterly cash distributions and (ii) the opportunity for capital appreciation by investing on a capitalization weighted basis in a portfolio of convertible bonds of Canadian issuers. CI First Asset Canadian REIT ETF The Fund seeks long-term total returns consisting of regular income and long-term capital appreciation from an actively managed portfolio comprised primarily of securities of Canadian real estate investment trusts, real estate operating corporations and entities involved in real estate related services. CI First Asset Energy Giants Covered Call ETF The Fund seeks to provide unitholders, through an actively managed portfolio, with (i) quarterly cash distributions, (ii) the opportunity for capital appreciation by investing on an equal weight basis in a portfolio of equity securities of the 15 largest non-Canadian issuers classified within either the “Integrated Oil & Gas” or “Oil & Gas Exploration & Production” and (iii) lower overall volatility of returns on the portfolio than would be experienced by owning a portfolio of securities of such issuers directly. CI First Asset Enhanced Government Bond ETF The Fund seeks long-term returns through interest income and capital appreciation. CI First Asset Enhanced Short Duration Bond ETF The Fund seeks positive absolute returns over any twelve-month period with very low volatility and attractive monthly distributions, regardless of the interest rate or credit environment. CI First Asset European Bank ETF The Fund seeks long-term total returns consisting of long-term capital appreciation from an actively managed portfolio comprised primarily of equity securities of European banks. CI First Asset Global Asset Allocation ETF The Fund seeks to generate income and long-term capital growth by investing in a combination of equity and fixed- income securities of countries and companies located anywhere in the world. CI First Asset Global Financial Sector ETF The Fund seeks long-term total returns consisting of long term capital appreciation and regular dividend income from an actively managed portfolio comprised primarily of equity securities of global financial issuers. CI First Asset Gold+ Giants Covered Call ETF The Fund seeks to provide unitholders, through an actively managed portfolio, with (i) quarterly cash distributions, (formerly CI First Asset Can-Materials Covered Call ETF) (ii) the opportunity for capital appreciation by investing on an equal weight basis in a portfolio of securities of the 15 largest gold and precious metals companies measured by market capitalization listed on a North American stock exchange that have liquid options markets and (iii) lower overall volatility of returns on the portfolio than would be experienced by owning a portfolio of securities of such issuers directly. CI First Asset Health Care Giants Covered Call ETF The Fund seeks to provide unitholders, through an actively managed portfolio, with (i) regular cash distributions, (ii) the opportunity for capital appreciation by investing on an equal weight basis in a portfolio of securities of the 20 health care companies, as determined by the Manager in its discretion, with the largest market capitalization listed on a North American stock exchange and (iii) lower overall volatility of returns on the portfolio than would be experienced by owning a portfolio of securities of such issuers directly, by employing a covered call option writing program. CI First Asset High Interest Savings ETF The Fund seeks to maximize monthly income for unitholders while preserving capital and liquidity by investing primarily in high interest deposit accounts. CI First Asset Investment Grade Bond ETF The Fund seeks to provide unitholders with monthly cash distributions and to maximize total returns for unitholders consisting primarily of monthly distributions, while reducing risk and preserving capital. CI First Asset Long Duration Fixed Income ETF The Fund seeks to provide unitholders with: (a) regular distributions; and (b) the opportunity for capital appreciation from the performance of a portfolio comprised primarily of longer dated developed market Canadian and U.S. government issued fixed income securities. CI First Asset Morningstar Canada Dividend Target 30 Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Canada Target Dividend Index™, net of expenses. CI First Asset Morningstar Canada Momentum Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Canada Target Momentum Index™, net of expenses. CI First Asset Morningstar Canada Value Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Canada Target Value Index™, net of expenses. CI First Asset Morningstar International Momentum Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Developed Markets ex-North America Target Momentum Index™, net of expenses.

Annual Financial Statements - December 31, 2019 – 502 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

Fund Investment Objectives TRUSTS (cont’d) CI First Asset Morningstar International Value Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® Developed Markets ex-North America Target Value Index™, net of expenses. CI First Asset Morningstar National Bank Québec Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® National Bank Québec Index™, net of expenses. CI First Asset Morningstar US Dividend Target 50 Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® U.S. Target Dividend Index™, net of expenses. CI First Asset Morningstar US Momentum Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® U.S. Target Momentum Index™, net of expenses. CI First Asset Morningstar US Value Index ETF The Fund seeks to replicate, to the extent possible, the performance of the Morningstar® U.S. Target Value Index™, net of expenses. CI First Asset MSCI Canada Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI Canada Risk Weighted Index, net of expenses. CI First Asset MSCI Europe Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI Europe Risk Weighted Top 100 Index Hedged to CAD, net of expenses. CI First Asset MSCI International Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI EAFE Risk Weighted Top 175 Index Hedged to CAD, net of expenses, and in respect of the Unhedged Units, the Fund’s investment objective is to replicate, to the extent possible, the performance of the MSCI EAFE Risk Weighted Top 175 Index, net of expenses. CI First Asset MSCI USA Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI USA Risk Weighted Top 150 Index Hedged to CAD, net of expenses, and in respect of the Unhedged Units, the Fund’s investment objective is to replicate, to the extent possible, the performance of the MSCI USA Risk Weighted Top 150 Index, net of expenses. CI First Asset MSCI World ESG Impact ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI World ESG Select Impact ex Fossil Fuels Index Hedged to CAD, net of expenses, and in respect of the Unhedged Common Units, the Fund’s investment objective is to replicate, to the extent possible, the performance of the MSCI World ESG Select Impact ex Fossil Fuels Index, net of expenses. CI First Asset MSCI World Low Risk Weighted ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI World Risk Weighted Top 200 Index Hedged to CAD, net of expenses, and in respect of the Unhedged Units, the Fund’s investment objective is to replicate, to the extent possible, the performance of the MSCI World Risk Weighted Top 200 Index, net of expenses. CI First Asset Preferred Share ETF The Fund seeks to provide unitholders with: (a) regular distributions; and (b) the opportunity for capital appreciation from the performance of a portfolio comprised primarily of preferred shares of North American issuers. CI First Asset Tech Giants Covered Call ETF The Fund seeks to provide unitholders, through an actively managed portfolio, with (i) quarterly cash distributions, (ii) the opportunity for capital appreciation by investing on an equal weight basis in a portfolio of securities of the 25 largest technology issuers measured by market capitalization, whose common shares are listed on a North American stock exchange in the GICS Information Technology Sector, as well as those in the GICS Internet & Direct Marketing Retail, Interactive Home Entertainment and Interactive Media & Services Sub-Industries or such other Subindustry as the Manager considers appropriate, and excluding those in the GICS Data Processing & Outsourced Services Sub- Industry, and (iii) lower overall volatility of returns on the portfolio than would be experienced by owning a portfolio of securities of such issuers directly, by employing a covered call option writing program. CI First Asset U.S. & Canada Lifeco Income ETF The Fund seeks to provide unitholders with (i) quarterly cash distributions; (ii) the opportunity for capital appreciation; and (iii) lower overall volatility of portfolio returns than would be experienced by owning a portfolio of publicly traded common equity securities of the ten largest U.S. and Canadian life insurance companies by market capitalization directly. CI First Asset U.S. Buyback Index ETF The Fund seeks to replicate, to the extent possible, the performance of the CIBC U.S. Buyback Index, net of expenses. CI First Asset U.S. TrendLeaders Index ETF The Fund seeks to replicate the performance of the CIBC U.S. TrendLeaders Index, net of expenses. CORPORATE CLASS CI First Asset CanBanc Income Class ETF The Fund seeks to provide shareholders with: (i) quarterly distributions, (ii) the opportunity for capital appreciation, and (iii) lower overall volatility of portfolio returns than would be experienced by owning a portfolio of common shares of the six largest Canadian banks directly.

Annual Financial Statements - December 31, 2019 – 503 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

Fund Investment Objectives CORPORATE CLASS (cont’d) CI First Asset Core Canadian Equity Income Class ETF The Fund seeks to provide shareholders with (i) long term capital appreciation with an attractive risk-adjusted rate of return and (ii) consistent dividend income through investing the in the CI First Asset ETF’s portfolio to gain exposure to equity securities of primarily large capitalization Canadian issuers. CI First Asset MSCI Canada Quality Index Class ETF The Fund seeks to replicate, to the extent possible, the performance of the MSCI Canada Quality Index, net of expenses. CI First Asset Short Term Government Bond Index Class ETF The Fund seeks to replicate, to the extent possible, the performance of a Canadian short term government bond index, currently the FTSE Canada Short Term Government Bond Index, net of expenses.

Effective as of close of business on August 9, 2019, the following Funds merged: The merger occurred on a tax-deferred basis.

Terminating Fund Continuing Fund Net Assets Common Skylon Growth & Income Trust CI First Asset Global Asset Allocation ETF Terminating Fund Continuing Fund Acquired ($) Issued Units First Asset Morningstar U.S. First Asset MSCI USA Low The Manager adopted the acquisition method of accounting for the merger of the Funds. Under this Consumer Defensive Index Fund Risk Weighted ETF 7,424,832 466,733 method, one of the Funds is identified as the acquiring Fund and is referred to as the “Continuing Fund”, and the other Fund involved in the merger is referred to as the “Terminating Fund”. This Effective as of close of business on November 1, 2018, the following Funds merged: identification is based on a comparison of the relative net asset value of the Funds as well as consideration of the continuation of such aspects of the Continuing Fund as investment objectives and Terminating Funds Continuing Funds practices and type of portfolio securities. Effective as of the close of business on August 9, 2019, the First Asset Canadian Convertibles Fund First Asset Canadian Convertible Bond ETF Continuing Fund acquired all of the net assets of the Terminating Fund in exchange for securities in First Asset Diversified Convertible Debenture Fund First Asset Canadian Convertible Bond ETF the Continuing Fund. The value of the securities of the Continuing Fund issued in connection with this First Asset North American Convertibles Fund First Asset Canadian Convertible Bond ETF merger, was equal to the net assets transferred from the Terminating Fund. The cost associated with the merger was borne by the Manager. The Manager adopted the acquisition method of accounting for the merger of the Funds. Under this method, one of the Funds is identified as the acquiring Fund and is referred to as the “Continuing The merger occurred on a tax-deferred basis. Fund”, and the other Fund involved in the merger is referred to as the “Terminating Fund”. This identification is based on a comparison of the relative net asset value of the Funds as well as Net Assets Common consideration of the continuation of such aspects of the Continuing Fund as investment objectives and Terminating Fund Continuing Fund Acquired ($) Issued Units practices and type of portfolio securities. Effective as of the close of business on November 1, 2018, Skylon Growth & CI First Asset Global the Continuing Fund acquired all of the net assets of the Terminating Fund in exchange for securities Income Trust Asset Allocation ETF 25,047,852 1,252,392 in the Continuing Fund. The value of the securities of the Continuing Fund issued in connection with this merger, was equal to the net assets transferred from the Terminating Fund. The cost associated Effective as of close of business on September 17, 2018 the following Funds merged: with the merger was borne by the Manager.

Terminating Fund Continuing Fund The merger occurred on a tax-deferred basis. First Asset Morningstar U.S. Consumer First Asset MSCI USA Low Risk Weighted ETF Defensive Index Fund Net Assets Common Terminating Funds Continuing Funds Acquired ($) Issued Units The Manager adopted the acquisition method of accounting for the merger of the Funds. Under this First Asset Canadian First Asset Canadian method, one of the Funds is identified as the acquiring Fund and is referred to as the “Continuing Convertibles Fund Convertible Bond ETF 6,514,730 704,848 Fund”, and the other Fund involved in the merger is referred to as the “Terminating Fund”. This First Asset Diversified First Asset Canadian identification is based on a comparison of the relative net asset value of the Funds as well as Convertible Debenture Fund Convertible Bond ETF 17,645,361 1,909,104 consideration of the continuation of such aspects of the Continuing Fund as investment objectives and First Asset North American First Asset Canadian practices and type of portfolio securities. Effective as of the close of business on September 17, 2018, Convertibles Fund Convertible Bond ETF 9,550,630 1,033,311 the Continuing Fund acquired all of the net assets of the Terminating Fund in exchange for securities in the Continuing Fund. The value of the securities of the Continuing Fund issued in connection with The Terminated Funds’ results are not included in these financial statements. this merger, was equal to the net assets transferred from the Terminating Fund. The cost associated with the merger was borne by the Manager.

Annual Financial Statements - December 31, 2019 – 504 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The fair value of private placements and other securities where there are significant unobservable These financial statements have been prepared in compliance with International Financial Reporting inputs is determined by using valuation models that may be based, in part, on assumptions that are Standards (IFRS) as published by the International Accounting Standards Board. not supported by observable market inputs. These methods and procedures may include, but are not limited to, performing comparisons with prices of comparable or similar securities, obtaining valuation The following is a summary of the significant account policies of the Funds: related information from issuers and/or other analytical data relating to the investment and using other available indications of value. These values are independently assessed by the Manager to ensure The Statements of Financial Position are as at December 31, 2019 and 2018, as applicable. The that they are reasonable. However, because of the inherent uncertainty of valuation, the estimated Statements of Comprehensive Income, Changes in Net Assets Attributable to Holders of Redeemable fair values for these securities may be materially different from the values that would have been used Units/Shares and Cash Flows are for the years ended December 31, 2019 and 2018, except for Funds had a ready market for the investment existed. The fair values of private placements are affected by established during either year, in which case the information provided relates to the period from the perceived credit risks of the issuer, predictability of cash flows and the length of time to maturity. inception to December 31, 2019 and 2018, as applicable. c. Cash a. Classification and recognition of financial instruments Cash is comprised of cash on deposit and bank overdraft. 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 d. Cost of investments for managing those financial assets and the contractual cash flow characteristics of the financial Cost of investments represents the amount paid for each security and is determined on an average cost assets. The Funds’ portfolios of financial assets are managed, and performance is evaluated on a basis excluding commissions and transactions costs. Average cost does not include amortization of fair value basis. The Funds are primarily focused on fair value information and use that information to premiums or discounts on fixed-income securities with the exception of zero-coupon bonds. assess the assets’ performance and to make decisions. The contractual cash flows of the Funds’ debt securities are solely principal and interest, however, these securities are neither held for the purpose e. Investment transactions and income recognition of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale. Investment transactions are recorded on the trade date – the date on which a Fund commits to The collection of contractual cash flows is only incidental to achieving the Funds’ business model’s purchase or sell the investment. The “Interest for distribution purposes” shown on the Statements of objective. Consequently, all investments and derivatives are measured at fair value through profit or Comprehensive Income represents the coupon interest received by the Funds and is accounted for on loss (FVTPL). Short sales are classified as financial liabilities at FVTPL. Derivative contracts that have a an accrual basis. The Funds do not amortize premiums paid or discounts received on the purchase of negative fair value are presented as liabilities at FVTPL. fixed-income securities except for zero-coupon bonds, which are amortized on a straight-line basis.

The Funds’ obligations for net assets attributable to holders of redeemable units/shares are presented Dividends and distributions from investments are recognized on the ex-dividend/ex-distribution date. at the redemption amount, which approximates their fair value. All other financial assets and liabilities are measured at amortized cost, which approximates their fair value. Under this method, financial Distributions received from income trust(s) and underlying fund(s) holdings are recorded as income, assets and liabilities reflect the amount required to be received or paid, discounted, when appropriate, capital gains or a return of capital, based on the best information available to the Manager. Due to at the effective rate of interest. the nature of these investments, actual allocations could vary from this information. Distributions from income trust(s) or underlying fund(s) that are treated as a return of capital for income tax purposes Financial assets and liabilities are offset, and the net amount is presented in the Statements of reduce the average cost of the income trust(s) or underlying fund(s). Financial Position when, and only when, the Funds have a legal right to offset the amounts and intend either to settle on a net basis or to realize the asset and settle the liability simultaneously. In the normal f. Foreign exchange course of business, the Funds enter into various master netting agreements or similar agreements The Funds’ functional and presentation currency is the Canadian dollar. For CI First Asset Active Credit that do not meet the criteria for offsetting in the Statements of Financial Position, but still allow for ETF, CI First Asset Investment Grade Bond ETF, CI First Asset Enhanced Short Duration Bond ETF and the related amounts to be offset in certain circumstances, such as bankruptcy or termination of the CI First Asset Enhanced Government Bond ETF, all information is stated in Canadian dollars, except for contracts. net asset value per unit for the U.S. dollar classes, which is stated in U.S. dollars. b. Fair value of financial instruments Foreign currency amounts are translated into the functional currency as follows: fair value of At the financial reporting date, listed securities are valued based on the last traded market price investments, foreign currency forward contracts and other assets and liabilities at the closing rate for financial assets and financial liabilities where the last traded price falls within the day’s bid-ask of exchange on each business day; income and expenses, purchases and sales and settlements of spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager investments at the rate of exchange prevailing on the respective dates of such transactions. Foreign determines the point within the bid-ask spread that is most representative of fair value based on the exchange gains (losses) relating to cash are presented as “Foreign exchange gain (loss) on cash” and existing market conditions. Unlisted securities are valued based on price quotations received from those relating to other financial assets and liabilities are presented within “Net realized gain (loss) on recognized investment dealers, or failing that, their fair value is determined by the Manager based sale of investments and derivatives” and “Change in unrealized appreciation (depreciation) in value of on the latest reported information available. Unlisted warrants, if any, are valued based on a pricing investments and derivatives” in the Statements of Comprehensive Income. model which considers factors such as the market value of the underlying security, strike price, and terms of the warrant. Fixed-income securities, debentures and other debt instruments, including short- term investments, are valued at the quotation received from recognized investment dealers. Underlying fund(s) are valued on each business day at their net asset value as reported by the underlying fund(s)’ managers.

Annual Financial Statements - December 31, 2019 – 505 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

g. Unit/Share valuation in the Statements of Financial Position until the contracts are closed out or expire, at which time Net asset value (NAV) per unit/share of each class is calculated at the end of each day on which the the gains (losses) are realized and reported as “Net realized gain (loss) on sale of investments and TSX/NEO is open for business by dividing the total NAV of each class of a Fund by the number of units/ derivatives” in the Statements of Comprehensive Income. shares of that class outstanding. m. Credit default swaps The NAV of each class is computed by calculating the value of that class’ proportionate share of Credit default swaps are agreements that help to mitigate credit risk exposure to certain issuing the Fund’s assets less that class’ proportionate share of the Fund’s common liabilities and less class entities (Referenced Entity) or to increase credit risk exposure to the Referenced Entity by creating a specific liabilities. Expenses directly attributable to a class are charged to that class. Other income and notional investment position. When a notional investment position is created, the credit risk exposure expenses, and gains and losses, are allocated to each class proportionately based upon the relative is comparable to the exposure that would have resulted had a Fund invested directly in the Referenced total NAV of each class. Entity. Under a credit default swap agreement, the protection buyer, whose intention is to reduce its credit risk exposure to the Referenced Entity, pays a premium to the protection seller, who assumes the As at December 31, 2019 and 2018, there were no differences between the NAV used for transactions credit risk of a default of the bond of a Referenced Entity. This premium is paid at regular intervals over with unitholders/shareholders and the net assets attributable to holders of redeemable units/shares the term of the credit default swap agreement. In return for the premium paid, the protection buyer used for reporting purposes under IFRS. is entitled to receive from the protection seller full payment for a loss arising from a credit default event of the Referenced Entity. A credit default event may be triggered by bankruptcy, failure to pay or h. Classification of units/shares restructuring of the Referenced Entity. If a credit default event occurs, the credit default swap may be The units/shares of the Funds are classified as financial liabilities in accordance with IAS 32, as they settled by either the physical delivery of the bond for proceeds equal to par value or a cash payment do not meet the definition of puttable instruments to be classified as equity in accordance with IAS 32 equal to the loss amount. Credit default swaps are valued based on dealer-supplied valuations. for financial reporting purposes”. Changes in value of credit default swap agreements are recorded as part of “Change in unrealized i. Commissions and other portfolio transaction costs appreciation (depreciation) in value of investments and derivatives” in the Statements of Comprehensive Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities, are Income. Premiums paid or received from credit default swap agreements are included in “Derivative included in “Commissions and other portfolio transaction costs” in the Statements of Comprehensive income (loss)” in the Statements of Comprehensive Income. When credit default swap agreements Income. expire or are closed out, gains or losses are included in “Net realized gain (loss) on sale of investments and derivatives” in the Statements of Comprehensive Income. Funds that invest only in units/shares of underlying fund(s) are not subject to commissions. n. Options contracts j. Increase (decrease) in net assets attributable to holders of redeemable units/shares per Over-the-counter (OTC) options are valued using the Black Scholes model, whereas, exchange- unit/share traded options are valued at last traded price taken from the exchange. Options contracts are valued “Increase (decrease) in net assets attributable to holders of redeemable units/shares per unit/share” each valuation day according to the gain or loss that would be realized if the contracts were closed in the Statements of Comprehensive Income is calculated by dividing the increase (decrease) in net out. All unrealized gains (losses) arising from option contracts are recorded as part of “Change in assets attributable to holders of redeemable units/shares of each class of a Fund by the weighted unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of average number of units/shares outstanding during the year of that class. Comprehensive Income until the contracts are closed out or expire, at which time the gains (losses) are realized and reflected in the Statements of Comprehensive Income in “Net realized gain (loss) on k. Foreign currency forward contracts sale of investments and derivatives”. Any expired option premiums are recorded as part of “Derivative A Fund may, from time to time, enter into foreign currency forward contracts. Foreign currency forward income (loss)” in the Statements of Comprehensive Income. contracts are valued on each valuation day based on the difference between the contract rate and the current forward rate at the measurement date applied to the contract’s notional amount and adjusted o. Short selling for counterparty risk. All unrealized gains (losses) arising from foreign currency forward contracts are When a Fund sells a security short, it will borrow that security from a broker to complete the sale. As recorded as part of “Change in unrealized appreciation (depreciation) in value of investments and the Fund borrows a security from the broker, the Fund is required to maintain a margin account with derivatives” in the Statements of Comprehensive Income and “Unrealized gain (loss) on futures and the broker containing cash or liquid securities. The cash held on margin in respect of short sale activity foreign currency forward contracts” in the Statements of Financial Position until the contracts are is included in the “Collateral on deposit for short sale” in the Statements of Financial Position. The closed out or expire, at which time the gains (losses) are realized and reported as “Net realized gain maximum loss on securities sold short can be unlimited. The Fund will incur a loss as a result of a short (loss) on sale of investments and derivatives” in the Statements of Comprehensive Income. sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund closes out its short position by buying that security. The Fund will realize a gain if the l. Futures contracts security declines in price between those dates. The gain or loss that would be realized if the position Futures contracts are valued on each valuation day using the closing price posted on the relevant was to be closed out on the valuation date is reflected in the Statements of Comprehensive Income public exchange. Cash and cash equivalents are held as margin against futures contracts which are as part of “Change in unrealized appreciation (depreciation) in value of investments and derivatives”. reflected in the “Daily variation margin on derivative instruments” in the Statements of Financial When the short position is closed out, gains and losses are realized and included in “Net realized gain Position. All unrealized gains (losses) arising from futures contracts are recorded as part of “Change (loss) on sale of investments and derivatives” in the Statements of Comprehensive Income. Fees paid in unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of to a broker for borrowing a security are included in “Securities borrowing fees” in the Statements of Comprehensive Income and “Unrealized gain (loss) on futures and foreign currency forward contracts” Comprehensive Income.

Annual Financial Statements - December 31, 2019 – 506 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

p. Offsetting of financial instruments of the underlying fund(s). The underlying fund(s) finance their operations by issuing redeemable units/ The disclosures set out in the Offsetting of Financial Instruments tables in the Fund Specific Notes shares that entitle the holders to an equal beneficial interest in the underlying fund(s). The Funds can to Financial Statements of each of the Funds include foreign currency forward contracts assets and redeem their investments in the underlying fund(s) on a daily basis. These investments are included liabilities that are subject to an enforceable master netting arrangement. Transactions with individual in “Investments” at FVTPL in the Statements of Financial Position. All unrealized gains (losses) arising counterparties are governed by separate master netting agreements. Each agreement allows for net from these investments are recorded as part of “Change in unrealized appreciation (depreciation) settlement of certain open contracts where the Funds and respective counterparty both elect to settle in value of investments and derivatives” in the Statements of Comprehensive Income until these on a net basis. In the absence of such an election, contracts will be settled on a gross basis. However, investments are sold, at which time the gains (losses) are realized and reflected in the Statements of each party to the master netting agreement will have the option to settle all open contracts on a net Comprehensive Income in “Net realized gain (loss) on sale of investments and derivatives”. The Funds’ basis in the event of default of the other party. maximum exposure to loss from their interest in underlying fund(s) is equal to the total fair value of their investments in underlying fund(s). International Swaps and Derivatives Association Inc. Master Agreements (ISDA Master Agreements) govern OTC financial derivative transactions entered into by the Funds and select counterparties. The Certain Funds invest in ETF(s) which are disclosed on the Schedule of Investment Portfolio and these ISDA Master Agreements maintain provisions for general obligations, representations, agreements, Funds have determined that their investments in such ETF(s) meet definition of unconsolidated collateral and events of default or termination. Events of termination include conditions that may structured entities. These ETF(s) finance their operations by issuing redeemable shares which are entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions puttable at the holder’s option and entitle the holder to a proportional stake in each ETF’s net asset under the applicable ISDA Master Agreement. Any election to terminate early could be material to the value. The ETF(s) are domiciled in Canada or U.S. and listed on recognized public stock exchanges. The financial statements. The fair value of OTC financial derivative transactions net of collateral received Funds’ maximum exposure to loss from their interest in ETF(s) is equal to the total fair value of their in or pledged by a counterparty as at year end is disclosed in the Fund Specific Notes to Financial investments in the ETF(s). Statements of each of the Funds, as applicable. Information related to Interest in Unconsolidated Structured Entities appears under the Fund Specific The Funds may be subject to various Master Agreements or netting arrangements, with selected Notes to Financial Statements of each of the Funds, if applicable. counterparties. These Master Agreements reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves r. Withholding taxes legal certainty. Since different types of transactions have different mechanics and are sometimes A Fund may, from time to time, incur withholding taxes imposed by certain countries on investment traded out to different legal entities of a particular counterparty organization, each type of transaction income and capital gains. Such income and gains are recorded on a gross basis and the related may be covered by a different Master Agreement resulting in the need for multiple agreements with withholding taxes are shown separately in the Statements of Comprehensive Income. a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of s. Harmonized sales tax a default with respect to the transactions governed under a single agreement with a counterparty. Certain provinces including Ontario, Prince Edward Island, Nova Scotia, New Brunswick and Newfoundland and Labrador (each a Participating Tax Jurisdiction) have harmonized their provincial q. Investments in associates, joint ventures, subsidiaries and unconsolidated structured sales tax (PST) with the federal goods and services tax (GST). The Harmonized Sales Tax (HST) combines entities the federal GST rate of 5% with the PST rate of the participating province. The province of Quebec Subsidiaries are entities, including investments in other investment entities, over which a Fund has also applies the Quebec sales tax (QST) of 9.975%. The Provincial HST liability or refund is calculated control. A Fund controls an entity when it is exposed to, or has rights to, variable returns from its using the residency of unitholders/shareholders and the value of their interest in the Fund as at specific involvement with the entity, and has the ability to affect those returns through its power over the entity. times, rather than the physical location of the Fund. The effective sales tax rate charged to each class Associates and joint ventures are investments over which a Fund has significant influence or joint of the Fund is based on the unitholders/shareholders’ proportionate investments by province, using control. A structured entity is an entity that has been designed so that voting or similar rights are not each province’s HST rate, GST rate in the case of non-participating provinces and/or QST rate. All the dominant factors in deciding, who controls the entity, or when voting rights relate to administrative amounts are presented as “Harmonized sales tax” in the Statements of Comprehensive Income. tasks only and the relevant activities are directed by means of contractual arrangements. t. Comparative balances The Manager has determined that underlying fund(s) or exchange-traded fund(s) (ETF(s)) held typically The comparative financial statements have been reclassified from the statements previously presented by the Funds meet the definition of unconsolidated structured entities. Mortgage-backed securities in order to conform to the presentation of the current year financial statements. Certain balances have or asset-backed securities are also considered to be unconsolidated structured entities. The Funds been combined or disaggregated in order to conform to the current year’s classification of financial account for their investments in unconsolidated structured entities at FVTPL. statement items.

The Funds that invest in underlying fund(s) are subject to the terms and conditions of the respective 3. CRITICAL ACCOUNTING JUDGMENTS AND ESTIMATES underlying fund(s)’ offering documents and are susceptible to market price risk arising from uncertainties The preparation of financial statements in accordance with IFRS requires management to make about future values of those underlying fund(s). All of the underlying fund(s) in the investment portfolio judgments, estimates and assumptions that affect the application of accounting policies and reported are managed by portfolio managers who are compensated by the respective underlying fund(s) for amounts of assets and liabilities at the reporting date and the reported amounts of income and their services. Such compensation generally consists of an asset-based fee and is reflected in the expenses during the reporting year. The following discusses the most significant accounting judgments valuation of each of the underlying fund(s), except when the Funds invest in certain classes of the and estimates that the Funds have made in preparing their financial statements: underlying fund(s) where the compensation to portfolio managers is negotiated and paid outside each

Annual Financial Statements - December 31, 2019 – 507 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

Fair value measurement of investments and derivatives not quoted in active market number of series, and one class of voting shares designated as Class J Shares. Each Corporate Class The Funds may, from time to time, hold financial instruments that are not quoted in active is a separate investment fund having specific investment objectives and is specifically referable to a markets, such as unlisted securities, private securities or derivatives. Unlisted securities are separate portfolio of investments. Each Corporate Class is authorized to issue an unlimited number of valued based on price quotations from recognized investment dealers, or failing that, their fair exchange-traded fund shares (ETF Shares). The ETF Shares are Canadian dollar denominated. value is determined by the Manager based on the latest reported information available. The fair value of private securities is determined by using valuation models that may be based, in On any trading day, a designated broker or underwriter may place a subscription order for an integral part, on assumptions that are not supported by observable market inputs. These methods and multiple of the prescribed number of units/shares (PNS) of each Fund. A trading day is each day on procedures may include, but are not limited to, performing comparisons with prices of comparable which the TSX is open for business. or similar securities, obtaining valuation related information from issuers and/or other analytical data relating to the investment and using other available indications of value. These values are If the subscription order is accepted, the Fund will generally issue units/shares to the designated independently assessed by the Manager to ensure that they are reasonable. However, because broker or underwriter within three trading days from the effective day of the subscription. For each of the inherent uncertainty of valuation, the estimated fair values for these securities may be PNS issued, a designated broker or underwriter must deliver payments consisting of (i) a basket of materially different from the values that would have been used had a ready market for the applicable units/shares and cash in an amount so that the value of the units/shares and cash is equal investment existed. The fair values of private securities are affected by the perceived credit risks to the NAV of the PNS of the Fund at the valuation time on the effective day of the subscription; or of the issuer, predictability of cash flows and the length of time to maturity. (ii) if approved by the Manager, cash in an amount sufficient so that the value of the cash is equal to the NAV of the PNS of the Fund at the valuation time on the effective day of the subscription, in each Valuation models use observable data, to the extent practicable. However, areas such as credit case plus any applicable subscription fee determined by the Manager. risk (both own and counterparty); volatilities and correlations require the Manager to make estimates. Changes in assumptions about these factors could affect the reported fair values of Units/shares of each Fund may also be issued to unitholders/shareholders of such Fund on the financial instruments. automatic reinvestment of all distributions in accordance with the distribution policy of the Fund.

The Funds consider observable data to be market data that is readily available, regularly Unitholders/shareholders may exchange an integral multiple of the PNS of each Fund on any trading distributed and updated, reliable and verifiable, not proprietary, and provided by independent day for baskets of units/shares and cash, or in the discretion of the Manager, cash only. The exchange sources that are actively involved in the relevant market. price will be equal to the NAV of the applicable PNS of the Fund tendered for exchange at the valuation time on the effective day of the exchange request, payable generally within three trading days from the The fair value of investments in underlying fund(s) that are not quoted in active markets is effective day of the exchange request by delivery of (i) a basket of units/shares and cash in an amount determined primarily by reference to the latest available net asset value of such units/shares for sufficient so that the value of the units/shares and cash is equal to the applicable NAV of the PNS of each underlying fund, as determined by the underlying fund(s)’ managers. the Fund; or (ii) if approved by the Manager, cash only in an amount sufficient so that the value of the cash is equal to the applicable NAV of the PNS of the Fund, in each case less any applicable redemption IFRS 10 fee determined by the Manager. The units/shares will be redeemed in the exchange. In accordance with IFRS 10 - Consolidated Financial Statements, the Manager has determined that the Funds meet the definition of an Investment Entity which requires that the Funds obtain funds from On any trading day, unitholders/shareholders of each Fund may also redeem units/shares of such Fund one or more investors for the purpose of providing investment management services, commit to their at a redemption price per security equal to 95% of the applicable closing price for such unit/share on investors that their business purpose is to invest funds solely for returns from capital appreciation, the TSX on the effective day of the redemption less any applicable redemption fee determined by the investment income, or both; and measure and evaluate the performance of their investments on a fair Manager. value basis. Consequently, the Funds do not consolidate their investment in subsidiaries, if any, but instead measure these at FVTPL, as required by the accounting standard. Unitholders/shareholders that have delivered a redemption request prior to the distribution record date for any distribution will not be entitled to receive that distribution. 4. REDEEMABLE UNITS/SHARES Each Fund except for CI First Asset CanBanc Income Class ETF, CI First Asset Core Canadian Equity Each Fund manages its capital in accordance with its investment objectives and strategies outlined Income Class ETF, CI First Asset MSCI Canada Quality Index Class ETF and CI First Asset Short in the Note 1 and the risk management practices disclosed in Note 10 and endeavors to invest the Term Government Bond Index Class ETF is authorized to issue an unlimited number of redeemable, subscriptions received in appropriate investments while maintaining sufficient liquidity to meet transferable Common Units, including Unhedged and US$ classes, as applicable, each of which distributions and redemptions. In order to manage their capital structures, the Funds may adjust the represents an undivided interest in the net assets of the Fund. In the case of multi-class Funds, whole amount of distributions paid to unitholders/shareholders. units of each class of units are convertible into whole units of any other class of units of the Fund based on their respective NAV, with any remaining fractional units redeemed at their NAV. 5. FEES AND OTHER EXPENSES Management fees The authorized capital of the Fund Corporation including: (CI First Asset CanBanc Income Class ETF, CI The Manager of each Fund, in consideration for management fees, provides management services First Asset Core Canadian Equity Income Class ETF, CI First Asset MSCI Canada Quality Index Class ETF required in the day-to-day operations of the Funds, including management of the investment portfolios and CI First Asset Short Term Government Bond Index Class ETF) includes an unlimited number of non- of the Funds and provision of key management personnel. cumulative, redeemable, non-voting classes of shares (each a Corporate Class), issuable in an unlimited

Annual Financial Statements - December 31, 2019 – 508 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

As compensation for the services it provides to the Funds, the Funds pay the Manager an annual In some cases, the Manager may charge management fees to a Fund that are less than the management management fee on the applicable ETF Shares or, in case of the Funds, on Common Units, including fees the Manager is entitled to charge in respect of certain investors in a Fund. The difference in the Unhedged and U.S. dollar classes if applicable, calculated as a percentage of the NAV daily and paid amount of the management fees is paid out by the Fund to the applicable investors as a distribution of monthly in arrears. If applicable, the Manager pays any Advisor or Investment Sub-Advisor out of its additional securities of the Fund (Management Fee Distributions). Management Fee Distributions are management fee. negotiated between the Manager and the investor and are dependent primarily on the intended size of the investor’s investment in the Fund. Management Fee Distributions paid to qualified investors do not Operational cost adversely impact the Funds or any of the Funds’ other investors. The Manager may increase or decrease The following Funds: CI First Asset Active Canadian Dividend ETF, CI First Asset Active Credit ETF, the amount of Management Fee Distributions to certain investors from time to time. CI First Asset Active Utility & Infrastructure ETF, CI First Asset Canadian Buyback Index ETF, CI First Asset Canadian REIT ETF, CI First Asset Enhanced Government Bond ETF, CI First Asset Enhanced Short Investments in underlying fund(s) Duration Bond ETF, CI First Asset European Bank ETF, CI First Asset Global Asset Allocation ETF, CI A Fund that invests in units/shares of underlying fund(s) will not pay a duplicate management and First Asset Global Financial Sector ETF, CI First Asset Investment Grade Bond ETF, CI First Asset Long administration fee on the portion of assets that are invested in units/shares of underlying fund(s). Duration Fixed Income ETF, CI First Asset Preferred Share ETF, CI First Asset U.S. & Canada Lifeco During the reporting year, a Fund may have received a management and/or administration fee rebate Income ETF, CI First Asset U.S. Buyback Index ETF, CI First Asset U.S. TrendLeaders Index ETF, CI First from the underlying fund(s)’ Manager relating to its investment in an underlying fund. The management Asset CanBanc Income Class ETF, CI First Asset Core Canadian Equity Income Class ETF, CI First Asset and/or administration fee rebates, if applicable, are included in “Fees rebate receivable” and in “Fees MSCI Canada Quality Index Class ETF and CI First Asset Short Term Government Bond Index Class ETF rebate” as reflected in the Statements of Financial Position and Statements of Comprehensive Income are responsible for all costs relating to their operations and administration, which are presented in of each Fund, if applicable. their Statements of Comprehensive Income. Refer to the Management Fee Rate table in the Fund Specific Notes to the Financial Statements for the The following Funds: CI First Asset 1-5 Year Laddered Government Strip Bond Index ETF, CI First management fee rates applicable to each class of each of the Funds. Asset Canadian Convertible Bond ETF, CI First Asset Energy Giants Covered Call ETF, CI First Asset Gold+ Giants Covered Call ETF, CI First Asset Health Care Giants Covered Call ETF, CI First Asset High 6. SECURITIES LENDING Interest Savings ETF, CI First Asset Morningstar Canada Dividend Target 30 Index ETF, CI First Asset The Funds, except for CI First Asset High Interest Savings ETF, have entered a securities lending Morningstar Canada Momentum Index ETF, CI First Asset Morningstar Canada Value Index ETF, CI First program with the Bank of New York Mellon, who acts as the securities lending agent. These Asset Morningstar International Momentum Index ETF, CI First Asset Morningstar International Value transactions involve the temporary exchange of securities for collateral with a commitment to re- Index ETF, CI First Asset Morningstar National Bank Québec Index ETF, CI First Asset Morningstar deliver the same securities on a future date. Income is earned from these transactions in the form US Dividend Target 50 Index ETF, CI First Asset Morningstar US Momentum Index ETF, CI First Asset of fees paid by the counterparty and, in certain circumstances, interest paid on cash or securities Morningstar US Value Index ETF, CI First Asset MSCI Canada Low Risk Weighted ETF, CI First Asset held as collateral. Income from securities lending is included in the Statements of Comprehensive MSCI Europe Low Risk Weighted ETF, CI First Asset MSCI International Low Risk Weighted ETF, CI First Income and is recognized when earned. The aggregate market value of all securities loaned by a Fund Asset MSCI USA Low Risk Weighted ETF, CI First Asset MSCI World ESG Impact ETF, CI First Asset cannot exceed 50% of the assets of that Fund. Collateral received consists of qualified securities MSCI World Low Risk Weighted ETF and CI First Asset Tech Giants Covered Call ETF the Manager and securities that are immediately convertible into, or exchangeable for, securities of the same is responsible for all costs and expenses of the Funds, except for the management fee, brokerage type, the same term and in the same number as those loaned by each Fund with market values of at expenses and commissions, the costs of any financial instruments used to achieve the investment least 102% of the market value of the loaned securities. Each Fund’s custodian is entitled to receive objective of the Funds, reasonable costs associated with the Independent Review Committee (IRC), payments out of the gross amount generated from the securities lending transactions of the Funds and income taxes, withholding taxes, any applicable goods and services or other sales taxes including GST/ bears all operational costs directly related to securities lending including the cost of borrower default HST, costs of complying with any new governmental or regulatory requirement introduced after the indemnification. For those Funds participating in the program, amounts for securities loaned and the Funds were established, any costs associated with the printing and distribution of any documents that collateral received as well as reconciliation between gross securities lending revenue and securities securities regulatory authorities require to be sent to unitholders/ shareholders, any transaction costs lending revenue received by each Fund appear in the Fund Specific Notes to Financial Statements of incurred by the custodian and any extraordinary expenses plus applicable taxes. From the management each of the Funds, if applicable. Revenue from securities lending is included in “Securities lending fee, the Manager pays for all other costs and expenses relating to the operation of the business of revenue” in the Statements of Comprehensive Income. the Funds, if applicable, administration, legal, accounting, custody, audit, registrar and transfer agency fees and fees payable to other service providers, including index providers, if applicable. As a result, 7. TAXATION these Funds do not have any other expenses. All Funds except for CI First Asset CanBanc Income Class ETF, CI First Asset Core Canadian Equity Income Class ETF, CI First Asset MSCI Canada Quality Index Class ETF and CI First Asset Short Term Absorption Government Bond Index Class ETF qualify as a mutual fund trust under the Income Tax Act (Canada). The decision to waive and/or absorb management fees and fund-specific operating expenses is at All the Funds’ net income for tax purposes and sufficient net capital gains realized in any year are the discretion of the Manager. The practice of waiving and/or absorbing expenses may continue required to be distributed to unitholders such that no income tax is payable by each of the Funds. As indefinitely or may be terminated at any time without notice to unitholders/shareholders. Fund-specific a result, the Funds do not record income taxes. Since the Funds do not record income taxes, the tax operating expenses absorbed and/or management fees waived by the Manager are disclosed in the benefit of capital and non-capital losses has not been reflected in the Statements of Financial Position Statements of Comprehensive Income. as a deferred income tax asset. Income tax on net realized capital gains not paid or payable will generally be recoverable by virtue of refunding provisions contained in the Income Tax Act (Canada) and provincial income tax legislation, as redemptions occur. Occasionally, the Funds may distribute more than they earn. This excess distribution is a return of capital and is not taxable to unitholders.

Annual Financial Statements - December 31, 2019 – 509 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

The tax year-end for all Funds is December 15. In case of the Fund Corporation, if, in any taxation year, after the regular distributions, the Fund Corporation would otherwise be liable for tax on net realized capital gains, or refundable tax in respect Refer to Fund Specific Notes to Financial Statements for further information relating to Loss Carry of dividends received from taxable Canadian corporations, the Fund Corporation intends to pay, on Forwards. December 31 of that year, a special capital gains dividend and/or an ordinary dividend in order to ensure that the Fund Corporation will not be liable for income tax on such amounts under the Income CI First Asset CanBanc Income Class ETF, CI First Asset Core Canadian Equity Income Class ETF, Tax Act (Canada) (after taking into account all available deductions, credits and refunds) or to recover CI First Asset MSCI Canada Quality Index Class ETF and CI First Asset Short Term Government Bond refundable tax not otherwise recoverable upon payment of regular cash distributions. Index Class ETF are separate Corporate Classes of the Fund Corporation. The Fund Corporation presently qualifies as a “mutual fund corporation” as defined in the Income Tax Act (Canada). The Fund Such special distributions may be paid in units/shares and subsequently consolidated. They are Corporation computes its net income (loss) and net capital gains (losses) for income tax purposes as reported as taxable distributions and increase each unitholder’s/shareholder’s adjusted cost base for a single entity. Net losses of one Fund may be used to offset net gains of another Fund to reduce the their units/shares. Neither the number of units/shares held by the unitholder/shareholder nor the NAV net income or net gain of the Corporation as a whole. As a mutual fund corporation, the Corporation per units/shares of the Fund change as a result of any non-cash distributions. is subject to Part IV federal tax. Taxable dividends received from taxable Canadian corporations are subject to a tax of 38 1/3%. Such taxes are fully refundable upon payment of taxable dividends to its During the years ended December 31, 2019 and 2018, each of the Funds made the following notional shareholders. The Corporation is also subject to Part I tax on other income and taxable capital gain for distributions that were automatically reinvested in additional units of the same Fund. the year. All tax on net taxable realized capital gains is refundable when the gains are distributed to shareholders as capital gains dividends or through redemption of shares at the request of shareholders, Unhedged US $ while the Corporation qualifies as a mutual fund corporation. Accordingly, the corporation does not December 31, 2019 Common Units Common Units Common Units record a provision for income taxes in respect of dividends from taxable Canadian Corporations and Funds (in $000’s) (in $000’s) (in $000’s) capital gains. Interest income and foreign dividends, net of applicable expenses, are taxed at full CI First Asset U.S. Buyback Index ETF 95 n/a n/a corporate rates applicable to mutual fund corporations with credits, subject to certain limitations, for CI First Asset U.S. TrendLeaders Index ETF 1 n/a n/a foreign taxes paid. Income taxes (if any) are allocated to the Funds of the Corporation on a reasonable CI First Asset Global Financial Sector ETF 304 n/a n/a basis. CI First Asset MSCI Europe Low Risk Weighted ETF 1,183 4 n/a CI First Asset MSCI USA Low Risk Weighted ETF 43 779 n/a The tax year-end for Fund Corporation is December 31. CI First Asset MSCI World Low Risk Weighted ETF 4,369 22,655 n/a CI First Asset Canadian Convertible Bond ETF 48 n/a n/a As at December 31, 2019, the Fund Corporation had the following loss carry forwards: CI First Asset Morningstar Canada Dividend Target 30 Index ETF 23 n/a n/a (in $000’s) CI First Asset Morningstar National Bank Québec Capital loss: Nil Index ETF 1,970 n/a n/a CI First Asset Morningstar US Dividend Target 50 (in $000’s) Index ETF 152 46 n/a Non-capital losses: $17,901 CI First Asset Morningstar International Value Index ETF 124 856 n/a Withholding taxes CI First Asset Morningstar Canada Momentum Certain Funds may be subject to foreign taxation related to income received, capital gains on the sale Index ETF 1,130 n/a n/a of securities and certain foreign currency transactions in the foreign jurisdictions in which it invests. CI First Asset Morningstar US Value Index ETF 58 66 n/a Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign CI First Asset Morningstar US Momentum Index ETF 17 24 n/a markets in which the Funds invest. When a capital gain tax is determined to apply the Funds record CI First Asset Morningstar International Momentum an estimated tax liability in an amount that would be payable if the securities were disposed of on Index ETF 257 169 n/a the valuation date. CI First Asset MSCI International Low Risk Weighted ETF 138 1,634 n/a 8. DISTRIBUTIONS CI First Asset Enhanced Government Bond ETF 12,100 n/a 175 Each Fund distributes to its unitholders/shareholders on a monthly or quarterly basis. The amounts of distributions are based on the Manager’s assessment of anticipated cash flow of the Funds from Unhedged US $ time to time. December 31, 2018 Common Units Common Units Common Units Funds (in $000’s) (in $000’s) (in $000’s) In the case of Funds, if, in any year, after such distributions, there would otherwise remain in a Fund CI First Asset Canadian Buyback Index ETF 280 n/a n/a additional net income or net realized capital gains, the Fund intends to make, on or before December 31 CI First Asset Active Utility & Infrastructure ETF 914 n/a n/a of that year, a special distribution of such portion of the remaining net income or net realized capital CI First Asset European Bank ETF 164 n/a n/a gains as is necessary to ensure that the Fund will not be liable for income tax under the Income Tax Act CI First Asset Preferred Share ETF 135 n/a n/a (Canada), after taking into account all available deductions, credits and refunds. CI First Asset Canadian REIT ETF 587 n/a n/a CI First Asset MSCI Europe Low Risk Weighted ETF 832 206 n/a

Annual Financial Statements - December 31, 2019 – 510 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

Unhedged US $ Related fund trading December 31, 2018 (cont’d) Common Units Common Units Common Units Related fund trading occurs when a Fund purchases or sells units/shares of another Fund managed by Funds (in $000’s) (in $000’s) (in $000’s) the Manager. During the years ended December 31, 2019 and 2018, certain Funds engaged in related CI First Asset MSCI USA Low Risk Weighted ETF 23 27 n/a fund trading or held position(s) in related fund(s) at the end of each year. CI First Asset MSCI World Low Risk Weighted ETF 174 13,020 n/a CI First Asset 1-5 Year Laddered Government Strip Bond Related issuer trading Index ETF 13 n/a n/a Related issuer trading occurs when a Fund purchases or sells securities of CI Financial Corp. These CI First Asset Morningstar National Bank Québec transactions are executed through market intermediaries and under prevailing market terms and Index ETF 1,154 n/a n/a conditions. The IRC reviews such transactions during scheduled meetings. During the years ended CI First Asset Morningstar US Dividend Target 50 December 31, 2019 and 2018, certain Funds engaged in related issuer trading or held position(s) in Index ETF 2,276 1,400 n/a CI Financial Corp. at the end of each year. CI First Asset Morningstar International Value Index ETF 1,664 3,774 n/a Inter fund trading CI First Asset Morningstar Canada Momentum Inter fund trading occurs when a Fund purchases or sells a security of any issuer from or to another Index ETF 5,830 n/a n/a Fund managed by the Manager. These transactions are executed through market intermediaries and CI First Asset Morningstar US Value Index ETF 656 2,166 n/a under prevailing market terms and conditions. The IRC reviews such transactions during scheduled CI First Asset Morningstar International Momentum meetings. During the years ended December 31, 2019 and 2018, certain Funds executed inter fund Index ETF 1,047 747 n/a trades. CI First Asset Enhanced Short Duration Bond ETF 3,944 n/a 704 CI First Asset Enhanced Government Bond ETF n/a n/a 34 10. FINANCIAL INSTRUMENTS RISK Risk management 9. RELATED PARTY TRANSACTIONS The Funds are exposed to a variety of financial instruments risks: leverage and short selling risk, The Manager manages and administers the business operations and affairs of the Funds, and, for concentration risk, credit risk, liquidity risk and market risk (including other price risk, currency risk certain Funds, is also responsible for providing all investment advisory and portfolio management and interest rate risk). The level of risk to which each Fund is exposed to depends on the investment services required by the Funds. These services are in the normal course of operations and are recorded objective and the type of investments the Fund holds. The value of investments within a portfolio can at the amount of the consideration agreed to by the parties. Purchase and sale for any securities fluctuate daily as a result of changes in prevailing interest rates, economic and market conditions between Funds are done at arms’ length through a third-party broker. and company specific news related to investments held by the Fund. The Manager of the Funds may minimize potential adverse effects of these risks on the Funds’ performance by, but not limited to, Members of the IRC receive fees from the Funds for services rendered to the Funds and are reimbursed regular monitoring of the Funds’ positions and market events, diversification of the investment portfolio for out- of-pocket expenses. In the case of the Fund Corporation, the Independent Directors are paid an by asset type, country, sector, term to maturity within the constraints of the stated objectives, and annual fee and are reimbursed for their out-of-pocket expenses. through the usage of derivatives to hedge certain risk exposures.

The above services are reported in the Statements of Comprehensive Income as Management fees, The Funds that invest in units/shares of underlying fund(s) are indirectly exposed to financial instruments Directors’ fees and Independent review committees fees, as applicable. Management fees payable and risks mentioned above. are reported in the Statements of Financial Position and the amounts generally payable to the Manager. Leverage and short selling risk The Funds may have direct or indirect holdings in CI Financial Corp., or its affiliates or other investment When a Fund makes investments in derivatives, borrows cash for investment purposes, or uses physical fund(s) managed by the Manager as identified in the Fund Specific Notes to Financial Statements of short sales on equities or other portfolio assets, leverage may be introduced into the Fund. Leverage each of the Funds, if applicable. occurs when the Fund’s notional exposure to underlying assets is greater than the amount invested. It is an investment technique the magnifies gains and losses. Consequently, any adverse change in the Funds that invest in redeemable securities of other underlying fund(s) managed by the Manager do so value or level of the underlying asset, rate or index may amplify losses compared to those that would to gain exposure to the investment objectives and strategies of the underlying fund(s). Each underlying have been incurred if the underlying asset had been directly held by the Fund and may result in losses fund is generally financed through the capital invested by the Funds, along with other investors, which greater than the amount invested in the derivative itself. Leverage may increase volatility, may impair entitles unitholders/shareholders to a proportionate share of the underlying fund’s net assets. The the Fund’s liquidity and may cause the Fund to liquidate positions at unfavorable times. Funds do not provide additional financial or other support to the underlying fund(s). All underlying fund(s) were established in and carry out their operations in Canada. The Funds’ interests in underlying In 2019 and 2018, the CI First Asset Investment Grade Bond ETF Fund, CI First Asset Enhanced fund(s) are reported at fair value in their Statements of Financial Position and in their Schedule of Government Bond ETF Fund and CI First Asset Enhanced Short Duration Bond ETF Fund, exercise Investment Portfolio, which represents the Funds’ maximum exposure to financial loss. leverage through participating in short selling transactions, which expose the Funds to short selling risk.

Short selling risk is the risk of loss related to short selling transactions. There is no assurance that securities will decline in value during the year of the short sale and make a profit for the Funds and securities sold short may instead appreciate in value, resulting in a loss to the Funds. The Funds may

Annual Financial Statements - December 31, 2019 – 511 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

experience difficulties repurchasing and returning the borrowed securities if a liquid market for the Credit ratings for debt securities are obtained from S&P Global Ratings, where applicable, otherwise securities does not exist. The lender may also recall the borrowed securities at any time. The lender ratings are obtained from: Moody’s Investors Service or Dominion Bond Rating Service, respectively. may go bankrupt and the Funds may lose the collateral they have deposited with the lender. The Funds mitigates such risk by depositing collateral only with regulated financial institutions or dealers. Cash balances as disclosed in the Statements of Financial Position are maintained by the Custodian. The Manager monitors the credit worthiness of the Custodian on a regular basis. The credit rating of Each of the Funds may borrow cash up to a maximum of 20% of each Fund’s NAV and may sell the Custodian as at December 31, 2019 was AA- (December 31, 2018 - AA-). securities short, whereby the aggregate market value of securities sold short will be limited to 20% of each Funds NAV. The combined use of short selling and cash borrowing by each of the Funds is subject All transactions executed by the Funds in listed securities are settled/paid for upon delivery using to an overall limit of 20% of each Fund’s NAV. 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 During the year ended December 31, 2019, the lowest aggregated fair value amount of the leverage received by the broker. The trade will fail if either party fails to meet its obligation. exercised by the CI First Asset Investment Grade Bond ETF Fund was $2.4 million (0.4% of NAV), (December 31, 2018 - $0.9 million, 0.2% of NAV and the highest aggregated fair value amount of the Liquidity risk leverage used during the year was $9.9 million (1.4% of NAV), (December 31, 2018 - $2.4 million, Liquidity risk is the risk that the Funds may not be able to meet their obligation on time or at a reasonable 0.4% of NAV). price.

During the year ended December 31, 2019, the lowest aggregated fair value amount of the leverage The Funds’ exposure to liquidity risk is concentrated in the daily cash redemptions of units/shares. exercised by the CI First Asset Enhanced Government Bond ETF Fund was $2.6 million (0.8% of NAV), Generally, the Funds invest in securities that are considered readily realizable as they are actively (December 31, 2018 - $2.6 million, 5.5% of NAV) and the highest aggregated fair value amount of the traded on public exchanges. Certain securities may be less liquid than other securities and involve the leverage used during the periods was $2.9 million (0.7% of NAV), (December 31, 2018 - $2.7 million, risk that the Manager may not be able to dispose of them at the current market prices. As such, it may 4.1% of NAV). be difficult to significantly alter the composition of a Fund’s portfolio in a short period of time.

During the year ended December 31, 2019, the lowest aggregated fair value amount of the leverage All financial liabilities are due within three months, except for the redeemable units/shares, which exercised by the CI First Asset Enhanced Short Duration Bond ETF Fund was $9.0 million (4.7% of NAV), are redeemable on demand at the holder’s option. The Manager does not expect that this contractual (December 31, 2018 - $0.7 million, 0.3% of NAV) and the highest aggregated fair value amount of the maturity is representative of the actual cash outflows, as unitholders/shareholders of these instruments leverage used during the year was $21.5 million (8.1% of NAV), (December 31, 2018 - $11.0 million, typically retain them for a longer period. 3.6% of NAV). Market risk As at December 31, 2019, the CI First Asset Investment Grade bond ETF Fund had pledged securities as The Funds’ investments are subject to market risk which is the risk that the fair value of future cash collateral to the prime broker equal to $23,675,509. flows of a financial instrument will fluctuate due to changes in market conditions

As at December 31, 2019, the CI First Asset Enhanced Short Duration Bond ETF Fund had pledged Other price risk securities as collateral to the prime broker equal to $3,089,776. 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 Concentration risk value of each investment is influenced by the outlook of the issuer and by general economic and Concentration risk arises as a result of the concentration of exposures within the same category, political conditions, as well as industry and market trends. All securities present a risk of loss of whether it is a geographical allocation, asset type, industry sector or counterparty. capital. Except for options written, future contracts sold short and investments sold short, the maximum risk resulting from financial instruments is equivalent to their fair value. Credit risk Credit risk is the risk that a security issuer or counterparty to a financial instrument will fail to meet Other assets and liabilities are monetary items that are short-term in nature and therefore are not its financial obligations. The fair value of a debt instrument includes consideration for the credit subject to significant other price risk. 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 Currency risk derivative instruments is based on each Fund’s unrealized gain on the contractual obligations with Currency risk arises from financial instruments that are denominated in a currency other than the the counterparty as at the reporting date. The credit rating of a counterparty to a derivative instrument Canadian dollar, the functional currency of the Funds. As a result, the Funds may be exposed to is disclosed in the Schedule of Investment Portfolio of each of the Funds, if applicable. The credit the risk that the value of securities denominated in other currencies will fluctuate due to changes risk exposure of the Fund’s other assets is represented by their carrying amount as disclosed in the in exchange rates. The Schedule of Investment Portfolio identifies all bonds and derivative Statements of Financial Position. 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 Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to indirect Funds’ functional currency to determine their fair value. credit risk in the event that the underlying fund(s)/ETF(s) invest in debt instruments, preferred securities and derivatives.

Annual Financial Statements - December 31, 2019 – 512 – CI First Asset Exchange Traded Funds Notes to the Financial Statements (cont’d)

Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to indirect currency risk in the event that the underlying fund(s)/ETF(s) invest in financial instruments that are denominated in a currency other than the functional currency of the Fund.

Interest rate risk Interest rate risk is the risk that the fair value of interest-bearing investments and interest rate derivative instruments will fluctuate due to changes in prevailing levels of market interest rates. As a result, the value of the Funds that invest in debt securities and/or income trusts will be affected by changes in applicable interest rates. If interest rates fall, the fair value of existing debt securities may increase due to increase in yield. Alternatively, if interest rates rise, the yield of existing debt securities may decrease which may then lead to a decrease in their fair value. The magnitude of the decline will generally be greater for long-term debt securities than for short term debt securities.

Interest rate risk also applies to Funds that invest in convertible securities. The fair value of these securities varies inversely with interest rates, similar to other debt securities. However, since they may be converted into common shares, convertible securities are generally less affected by interest rate fluctuations than other debt securities.

Certain Funds invest only in units/shares of underlying fund(s)/ETF(s) and may be exposed to indirect interest rate risk in the event that the underlying fund(s)/ETF(s) invest in interest bearing financial instruments.

Fair value hierarchy The Funds are required to classify financial instruments measured at fair value using a fair value hierarchy. Investments whose values are based on quoted market prices in active markets are classified as Level 1. This level includes publicly traded equities, exchange-traded and retail mutual fund(s), exchange-traded warrants, futures contracts and traded options.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified as Level 2. These include fixed income securities, mortgage-backed securities, short-term instruments, non-traded warrants, over-the-counter options, structured notes of indexed securities, foreign currency forward contracts, swap instruments and American depositary receipts and Global depositary receipts.

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 fund(s) and these investments are generally classified as Level 1.

The Funds’ policy is to recognize transfers into and out of the fair value hierarchy levels as of the date of the event or change in circumstances giving rise to the transfer.

Details of each Fund’s exposure to financial instruments risks including concentration risk and fair value hierarchy classification are available in the Fund Specific Notes to Financial Statements for each Fund.

Annual Financial Statements - December 31, 2019 – 513 – SEND TO DAVIA WANG - FOR REVIEW AND SIGN OFF - EACH QUARTER

CI First Asset Exchange Trade Funds Legal Notice

Certain names, words, phrases, graphics or designs in this document may constitute trade names, Certains noms, mots, phrases, graphismes ou conceptions graphiques figurant dans ce document registered or unregistered trademarks or service marks of CI Investments Inc. CI Investments and the peuvent constituer des noms commerciaux, des marques déposées ou non déposées, ou des marques CI Investments design are registered trademarks of CI Investments Inc. First Asset is a registered de service de CI Investments Inc. Placements CI et la conception graphique de Placements CI sont trademark of a subsidiary of CI Financial Corp. The “Trusted Partner in Wealth” logo and the “CI First des marques déposées de CI Investments Inc. First Asset est une marque déposée d’une filiale de Asset Exchange Traded Funds” logo are trademarks of CI Investments Inc. CI Financial Corp. Le logo « Partenaire de confiance en matière de patrimoine » et le logo « Fonds négociés en bourse CI First Asset » sont des marques de commerce de CI Investments Inc. CI First Asset ETFs is a division of CI Investments Inc. FNB CI First Asset est une division de CI Investments Inc. You can get additional copies of these Financial Statements at your request, and at no cost, by calling 1-877-642-1289, by emailing [email protected], or by asking your representative. Vous pouvez obtenir sur demande et sans frais des exemplaires supplémentaires de ces états financiers en composant le 1 877 642-1289, en envoyant un courriel à [email protected], This document, and other information about the Funds, is available at www.firstasset.com, or at ou en communiquant avec votre représentant. www.sedar.com. Ce document, ainsi que tout autre renseignement au sujet des fonds, est disponible à l’adresse www.firstasset.com, ou à www.sedar.com.

Annual Financial Statements - December 31, 2019 – 514 – 2 Queen Street East, Twentieth Floor, Toronto, Ontario M5C 3G7 I www.ci.com Head Office / Toronto Calgary Montreal Vancouver Client Services 416-364-1145 403-205-4396 514-875-0090 604-681-3346 English: 1-800-563-5181 1-800-268-9374 1-800-776-9027 1-800-268-1602 1-800-665-6994 French: 1-800-668-3528 CI FirstAsset_ETF_03/20E