annual financial statements - december 31, 2019 · annua l financial statements - december 31, 2019...

Annual Financial Statements - December 31, 2019

CI Liquid Alternative Funds

Table of Contents

Annual Financial Statements - December 31, 2019

Independent Auditor’s Report .............................................................................................. 1

CI Lawrence Park Alternative Investment Grade Credit Fund

(formerly Lawrence Park Alternative Investment Grade Credit Fund) ..................................... 3

CI Marret Alternative Absolute Return Bond Fund

(formerly Marret Alternative Absolute Return Bond Fund) ...................................................... 19

CI Munro Alternative Global Growth Fund (formerly Munro Alternative Global Growth Fund) 31

Notes to the Financial Statements ...................................................................................... 42

Legal Notice ............................................................................................................................. 50


– 1 –Annual Financial Statements - December 31, 2019

INDEPENDENT AUDITOR’S REPORT To the Unitholders of CI Lawrence Park Alternative Investment Grade Credit Fund (formerly Lawrence Park Alternative Investment Grade Credit Fund) CI Marret Alternative Absolute Return Bond Fund (formerly Marret Alternative Absolute Return Bond Fund) CI Munro Alternative Global Growth Fund (formerly Munro Alternative Global Growth Fund) (collectively, the “Funds”)

Opinion We have audited the financial statements of the Funds, which comprise the statement of financial position as at December 31, 2019, and the statement of comprehensive income, statement of changes in net assets attributable to holders of redeemable units and statement of cash flows for the year 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 their financial performance and their cash flows for the year then ended in accordance with International Financial Reporting Standards (IFRSs). Basis for Opinion We conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the 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.

Other Matter The financial statements of the Funds for the period ended December 31, 2018 were audited by another auditor who expressed an unmodified opinion on those statements on March 26, 2019.

Other Information 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.

In connection with our audit of the financial statements, our responsibility is to read the other information, and in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated.

We obtained the Management Report of Fund Performance of the Funds prior to the date of this auditor’s report. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact in this auditor’s report. We have nothing to report in this regard.

Responsibilities of Management and Those Charged with Governance for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with IFRSs, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.



In preparing the financial statements, management is responsible for assessing the Funds’ ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate the Funds or to cease operations, or has no realistic alternative but 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 Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian generally accepted auditing standards will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with Canadian generally accepted auditing standards, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control.

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

• Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Funds’ ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Funds to cease to continue as a going concern.

• Evaluate the overall presentation, structure, and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

Toronto, Canada March 24, 2020

CI Lawrence Park Alternative Investment Grade Credit Fund (formerly Lawrence Park Alternative Investment Grade Credit Fund)


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

2019 2018 1,094,050 125,264 - -

225 - 45,799 - 416 397 - - - - 6 9 6,670 846 - - - - 2,382 3,965 872 - 1,150,420 130,481

542,691 40,377 124,914 1,572

3,935 598 45,772 - - - 1,954 136 - - 16,065 3,942 19 7 - - - - - - - - - - 735,350 46,632

415,070 83,849

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

Net assets attributable to holders of redeemable units

per class (Note 4):

Net assets attributable to holders of redeemable

units per unit: Number of redeemable

units outstanding:

2019 2018 2019 2018 2019 2018Class A 6,751 71 10.39 9.95 649,393 7,050Class F 79,238 1,125 10.40 9.96 7,619,084 113,054Class I 328,582 82,653 10.38 9.93 31,670,475 8,320,057Class W 499 - 9.93 - 50,270 -

AssetsCurrent assetsInvestmentsCashUnrealized gain on futures and foreign currency forward contractsSwaps, swaptions and optionsDaily variation margin on derivative instrumentsFees rebate receivableCollateral on deposit for short saleDividends receivableInterest receivableReceivable for distribution from investmentsSecurities lending revenue receivable (Note 6)Receivable for investments soldReceivable for unit subscriptions

LiabilitiesCurrent liabilitiesInvestments sold shortBank overdraftUnrealized loss on futures and foreign currency forward contractsSwaps, swaptions and options Dividends payable on investments sold shortInterest payable on investments sold shortDaily variation margin on derivative instrumentsPayable for investments purchasedPayable for unit redemptionsDistributions payable to holders of redeemable units Management fees payableAdministration fees payableAccounts payable and accrued liabilitiesPerformance fees payable


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

Financial Statements

CIG - 2190



Statements of Comprehensive Incomefor the periods ended December 31(in $000’s except for per unit amounts and number of units)

2019 2018

198 36 13,871 521 - - - - (9,557) - - -

- - (3,257) (59)

10,670 (488)

(345) (316) 11,580 (306) 2,562 69 - - 3 - - - 2,565 69 14,145 (237)

196 1 40 - - - 13 1 1 - 13 1 533 - - - - - 1,211 1 - - 15 - 2,022 4

12,123 (241)



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

Increase (decrease) in net assets attributable to

holders of redeemable units per class:


holders of redeemable units per unit:

Weighted average number of units:

2019 2018 2019 2018 2019 2018Class A 81 (1) 0.50 (0.05) 161,460 7,027Class F 1,211 (2) 0.56 (0.02) 2,123,841 74,321Class I 10,830 (238) 0.67 (0.03) 15,892,554 7,111,305Class W 1 - 0.17 - 9,938 -

Income Net gain (loss) on investments and derivatives Dividends Interest for distribution purposes Income distributions from investments Capital gain distributions from investments Derivative income (loss) Interest expense on swaps 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 derivativesTotal net gain (loss) on investments and derivativesOther income Foreign exchange gain (loss) on cash Commitment fee income Securities lending revenue (Note 6) Fees rebateTotal other incomeTotal incomeExpensesManagement fees (Note 5)Administration fees (Note 5)Performance fees (Note 5)Commissions and other portfolio transaction costsIndependent review committee feesCommitment feesSecurities borrowing fees (Note 2)Margin feesService feesInterest expenseWithholding taxesHarmonized sales taxTotal expensesIncrease (decrease) in net assets attributable to holders of redeemable units



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

Net assets attributable to holders of redeemable units at the beginning of periodIncrease (decrease) in net assets attributable to holders of redeemable unitsDistributions to holders of redeemable units From net investment income From net realized gains Return of capitalTotal distributions to holders of redeemable units

Redeemable unit transactions Proceeds from redeemable units issued Reinvestment of distributions to holders of redeemable units Redemption of redeemable unitsNet increase (decrease) from redeemable unit transactionsNet increase (decrease) in net assets attributable to holders of redeemable unitsNet assets attributable to holders of redeemable units at the end of period





Class A 2019 2018 71 - 81 (1)

(37) - - - - - (37) -

6,865 72 29 - (258) - 6,636 72 6,680 71 6,751 71

Class F 2019 2018 1,125 - 1,211 (2)

(954) - - - - - (954) -

79,832 1,163 782 - (2,758) (36) 77,856 1,127 78,113 1,125 79,238 1,125

Class I 2019 2018 82,653 - 10,830 (238)

(7,468) (306) - - - - (7,468) (306)

238,049 82,891 7,468 306 (2,950) - 242,567 83,197 245,929 82,653 328,582 82,653

Class W 2019 2018 - - 1 -

(7) - - - - - (7) -

498 - 7 - - - 505 - 499 - 499 -

Total Fund 2019 2018 83,849 - 12,123 (241)

(8,466) (306) - - - - (8,466) (306)

325,244 84,126 8,286 306 (5,966) (36) 327,564 84,396 331,221 83,849 415,070 83,849



Statements of Cash Flowsfor the periods ended December 31 (in $000’s)

2019 2018

12,123 (241)

(10,670) 488 (1,769) 18 13 1

345 316

4,361,251 85,731 (4,800,620) (170,848) - - - - (19) (397) 3 (9) (4,006) (710) - - - - - - - - - - (443,349) (85,651)

(180) - 324,227 84,126 (5,809) (29) 318,238 84,097

1,769 (18) (125,111) (1,554) (1,572) - (124,914) (1,572)

201 27 8,046 - - - 2,650 - - -

*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.


Cash flows from (used in) operating activitiesIncrease (decrease) in net assets attributable to holders of redeemable unitsAdjustments for: Net realized (gain) loss on sale of investments and derivatives Unrealized foreign exchange (gain) loss on cash Commissions and other portfolio transaction costs Change in unrealized (appreciation) depreciation in value of

investments and derivatives Proceeds from sale, maturity of investments, derivatives and

short sales Purchase of investments, derivatives and cover short purchases (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 securities lending revenue receivable Increase (decrease) in management fees payable Increase (decrease) in administration fees payable Increase (decrease) in performance fees payable Change in other accounts receivable and payableNet cash from (used in) operating activities

Cash flows from (used in) financing activitiesDistributions paid to holders of redeemable units, net of reinvested distributionsProceeds from issuance of redeemable unitsAmounts paid on redemption of redeemable unitsNet cash from (used in) financing activities Unrealized foreign exchange gain (loss) on cashNet increase (decrease) in cashCash (bank overdraft), beginning of periodCash (bank overdraft), end of period

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



Schedule of Investment Portfolio as at December 31, 2019

LONG POSITIONS (263.5%) FINANCIALS (83.7%) USD 9,237,000 AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.125% 07/03/2023 12,774,611 12,670,838 2,350,000 Bank of Montreal 2.57% 06/01/2027 2,366,980 2,357,855 USD 1,200,000 Bank of Montreal 3.803% 12/15/2032 1,664,945 1,624,933 USD 6,500,000 Canadian Imperial Bank of Commerce 2.33559% 03/17/2023 8,596,460 8,466,764 4,500,000 Canadian Imperial Bank of Commerce 2.35% 08/28/2024 4,496,666 4,462,297 4,115,000 Canadian Imperial Bank of Commerce 2.95% 06/19/2029 4,141,283 4,129,017 8,000,000 CARDS II Trust 2.427% 11/15/2024 8,037,895 8,005,736 12,400,000 Central 1 Credit Union 2.584% 12/06/2023 12,395,800 12,367,889 3,500,000 Chip Mortgage Trust 2.981% 11/15/2021 3,540,225 3,524,448 29,485,000 CI Financial Corp., 2.645% 12/07/2020 29,580,968 29,566,240 USD 1,155,000 Citibank N.A., 2.4985% 05/20/2022 1,534,199 1,505,213 12,275,000 Coast Capital Savings Credit Union 2.62% 02/28/2020 12,273,816 12,270,949 USD 2,000,000 Credit Agricole S.A., 8.125% 12/31/2049 3,069,385 3,148,492 USD 9,054,000 Danske Bank AS 3.001% 09/20/2022 11,982,250 11,859,435 4,300,000 Equitable Bank 2.948% 09/26/2022 4,308,587 4,315,525 8,000,000 Equitable Bank 3.198% 04/16/2021 8,071,265 8,060,576 10,594,000 Fairfax Financial Holdings Ltd., 5.84% 10/14/2022 11,625,218 11,486,824 77,400 Financial 15 Split Corp., Preferred 5.25% 772,623 779,418 8,000,000 First National Financial Corp., 3.582% 11/25/2024 8,023,910 7,986,870 5,000,000 Glacier Credit Card Trust 2.28% 06/06/2024 4,986,350 4,965,002 11,000,000 Glacier Credit Card Trust 3.138% 09/20/2023 11,454,552 11,299,269 6,670,000 Industrial Alliance Insurance and Financial Services Inc., 3.3% 09/15/2028 6,859,007 6,841,021 USD 980,000 ING Groep N.V., 6% 12/31/2049 1,307,380 1,279,124 USD 990,000 Intesa Sanpaolo SpA 5.017% 06/26/2024 1,304,362 1,350,628 11,210,000 Laurentian Bank of Canada 2.55% 06/20/2022 11,228,965 11,211,727 USD 15,000,000 Laurentian Bank of Canada 2.68838% 12/13/2021 19,765,450 19,475,208 2,500,000 Laurentian Bank of Canada 2.71% 09/13/2021 2,508,300 2,504,050 2,500,000 Laurentian Bank of Canada 2.75% 04/22/2021 2,513,100 2,511,614 USD 300,000 Lloyds Banking Group PLC 6.75% 12/31/2049 400,123 421,638 USD 1,468,000 Lloyds Banking Group PLC 7.5% 12/31/2049 2,021,937 2,106,101 3,250,000 MCAP Commercial L.P., 4.151% 06/17/2024 3,285,745 3,298,962 2,435,000 MCAP Commercial L.P., 5% 12/14/2022 2,502,856 2,533,403 USD 967,000 Mizuho Financial Group Inc., 2.73738% 09/13/2023 1,286,865 1,260,436 38,834,000 Nissan Canada Financial Services Inc., 2.42% 10/19/2020 38,886,388 38,886,312 20,650,000 Nissan Canada Financial Services Inc., 2.606% 03/05/2021 20,718,752 20,686,316 2,500,000 Nissan Canada Inc., 3.15% 09/14/2021 2,531,700 2,525,565 5,175,000 Royal Bank of Canada 2.74% 07/25/2029 5,194,059 5,154,759 7,800,000 Royal Bank of Canada 2.88% 12/23/2029 7,801,998 7,799,231 10,000,000 Royal Bank of Canada 3.296% 09/26/2023 10,434,200 10,312,565 8,000,000 Royal Bank of Canada 3.31% 01/20/2026 8,111,780 8,085,686 USD 750,000 Scotiabank Peru S.A., 4.5% 12/13/2027 1,038,674 1,005,417 USD 4,185,000 Synchrony Financial 2.85% 07/25/2022 5,568,531 5,500,728

LONG POSITIONS (263.5%) (cont’d) FINANCIALS (83.7%) (cont’d) 1,960,000 TD Capital Trust IV 6.631% 06/30/2108 2,111,960 2,079,306 5,000,000 The Bank of Nova Scotia 2.38% 05/01/2023 4,999,760 4,999,863 5,000,000 The Bank of Nova Scotia 2.58% 03/30/2027 5,048,150 5,016,350 5,000,000 The Bank of Nova Scotia 2.836% 07/03/2029 5,008,275 4,992,810 17,700 The Bank of Nova Scotia, Preferred 1.528%, Series 31 432,334 441,438 19,700 The Bank of Nova Scotia, Preferred 3.85%, Series 30 481,262 489,545 100 Toronto-Dominion Bank, Preferred 5.1%, Series 24 2,476 2,489 7,750,000 Vancouver City Savings Credit Union 2.55033% 10/09/2020 7,750,490 7,750,310 2,350,000 Vancouver City Savings Credit Union 2.56% 04/09/2020 2,349,010 2,350,940 349,151,877 347,727,132 REAL ESTATE (33.4%) 12,622,000 Artis Real Estate Investment Trust 3.04125% 02/07/2020 12,640,623 12,625,470 3,245,000 Artis Real Estate Investment Trust 3.674% 02/22/2021 3,270,703 3,279,093 9,900 Brookfield Office Properties Inc., Preferred 5.1%, Series EE 230,143 220,770 5,563,000 Brookfield Property Finance ULC 4.115% 10/19/2021 5,741,083 5,712,293 5,919,000 Brookfield Property Finance ULC 4.346% 07/03/2023 6,161,889 6,142,460 2,502,000 Calloway Real Estate Investment Trust 3.985% 05/30/2023 2,627,751 2,609,954 1,500,000 Choice Properties L.P., 3.6% 09/20/2022 1,550,370 1,538,871 1,934,000 Choice Properties Real Estate Investment Trust 2.297% 09/14/2020 1,935,741 1,934,708 4,000,000 Choice Properties Real Estate Investment Trust 3.01% 03/21/2022 4,069,070 4,050,085 4,640,000 Cominar Real Estate Investment Trust 4.25% 12/08/2021 4,745,536 4,740,108 1,600,000 Cominar Real Estate Investment Trust 4.941% 07/27/2020 1,636,870 1,619,548 1,800,000 Crombie Real Estate Investment Trust 3.917% 06/21/2027 1,800,000 1,804,624 3,397,000 Crombie Real Estate Investment Trust 3.962% 06/01/2021 3,476,503 3,463,226 3,521,000 First Capital Realty Inc., 3.753% 07/12/2027 3,584,212 3,558,449 3,500,000 First Capital Realty Inc., 3.9% 10/30/2023 3,639,970 3,628,079 3,064,000 First Capital Realty Inc., 4.5% 03/01/2021 3,161,478 3,135,126 7,538,000 First Capital Realty Inc., 5.6% 04/30/2020 7,697,620 7,616,881 6,750,000 Granite REIT Holdings L.P., 3.788% 07/05/2021 6,925,982 6,872,724 3,125,000 Granite REIT Holdings L.P., 3.873% 11/30/2023 3,245,206 3,235,038 11,690,000 H&R Real Estate Investment Trust 3.416% 01/23/2023 11,934,821 11,908,814 3,000,000 HCN Canadian Holdings-1 L.P., 2.95% 01/15/2027 3,000,782 2,998,966 USD 1,000,000 Hospitality Properties Trust 4.35% 10/01/2024 1,313,805 1,334,290 5,218,000 Morguard Corp., 4.013% 11/18/2020 5,289,068 5,279,199 3,097,000 Morguard Corp., 4.085% 05/14/2021 3,153,391 3,151,311 7,015,000 Morguard Corp., 4.204% 11/27/2024 7,029,761 7,035,484

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

No. of Shares/Par Value Description

AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)



Schedule of Investment Portfolio as at December 31, 2019 (cont’d)

LONG POSITIONS (263.5%) (cont’d) REAL ESTATE (33.4%) (cont’d) 1,039,000 Morguard Corp., 4.333% 09/15/2022 1,063,525 1,068,711 2,000,000 Morguard Corp., 4.715% 01/25/2024 2,074,385 2,066,053 3,225,000 SmartCentres Real Estate Investment Trust 2.71% 12/21/2020 3,236,105 3,233,461 7,485,000 SmartCentres Real Estate Investment Trust 2.757% 06/23/2021 7,542,332 7,531,132 1,500,000 SmartCentres Real Estate Investment Trust 2.876% 03/21/2022 1,524,345 1,513,609 2,108,000 SmartCentres Real Estate Investment Trust 3.73% 07/22/2022 2,189,664 2,171,539 9,000,000 Ventas Canada Finance Ltd., 2.51% 11/12/2021 9,008,425 9,025,020 USD 2,000,000 Welltower Inc., 2.7% 02/15/2027 2,648,451 2,607,822 139,149,610 138,712,918 CONSUMER DISCRETIONARY (30.4%) 1,000,000 Federated Co-Operatives Ltd., 3.917% 06/17/2025 1,038,800 1,030,065 3,052,000 Ford Credit Canada Co., 2.58% 05/10/2021 3,032,748 3,037,282 1,600,000 Ford Credit Canada Co., 2.71% 02/23/2022 1,577,544 1,581,629 1,000,000 Ford Credit Canada Co., 2.766% 06/22/2022 982,810 985,283 35,459,000 Ford Credit Canada Co., 2.923% 09/16/2020 35,525,493 35,516,115 3,050,000 Ford Credit Canada Co., 4.46% 11/13/2024 3,056,915 3,073,859 2,400,000 Ford Credit Canada Co., 5% 01/10/2022 2,477,712 2,475,232 2,500,000 General Motors Financial of Canada Ltd., 3% 02/26/2021 2,515,250 2,512,349 2,956,000 General Motors Financial of Canada Ltd., 3.25% 11/07/2023 2,961,174 2,959,695 USD 900,000 Goodyear Tire & Rubber Co., 4.875% 03/15/2027 1,138,089 1,209,410 USD 6,389,000 Hyundai Capital America 3% 06/20/2022 8,541,490 8,387,289 1,940,000 Mattamy Group Corp., 6.5% 10/01/2025 2,034,294 2,045,488 6,000,000 Penske Truck Leasing Canada Inc., 2.85% 12/07/2022 6,050,840 6,036,934 7,850,000 Reliance L.P., 4.075% 08/02/2021 8,106,818 8,046,391 23,079,000 VW Credit Canada Inc., 2.15% 06/24/2020 23,060,726 23,073,031 8,088,000 VW Credit Canada Inc., 2.65% 06/27/2022 8,094,737 8,102,729 16,000,000 VW Credit Canada Inc., 2.74125% 09/27/2021 16,028,770 16,044,450 126,224,210 126,117,231 ENERGY (24.7%) 35,272,000 Canadian Natural Resources Ltd., 2.89% 08/14/2020 35,488,353 35,412,047 1,000,000 Canadian Natural Resources Ltd., 3.31% 02/11/2022 1,020,080 1,019,141 740,000 Crew Energy Inc., 6.5% 03/14/2024 635,862 614,200 2,000 Enbridge Inc., Preferred 4%, Series R 28,910 31,900 2,500 Enbridge Inc., Preferred 4.4%, Series 7 37,108 41,500 1,600 Enbridge Inc., Preferred, Series P 23,608 25,952 4,963,000 Husky Energy Inc., 3.55% 03/12/2025 5,098,770 5,082,202 5,325,000 Inter Pipeline Ltd., 2.734% 04/18/2024 5,350,713 5,309,377 32,717,000 Inter Pipeline Ltd., 3.448% 07/20/2020 33,023,898 32,928,799 4,000,000 Inter Pipeline Ltd., 3.776% 05/30/2022 4,174,800 4,118,584 1,025,000 Inter Pipeline Ltd., 6.625% 11/19/2079 1,025,000 1,031,800 3,000,000 Pembina Pipeline Corp., 2.56% 06/01/2023 2,998,980 3,001,218 4,800,000 Pembina Pipeline Corp., 2.99% 01/22/2024 4,874,016 4,861,613

LONG POSITIONS (263.5%) (cont’d) ENERGY (24.7%) (cont’d) 2,500,000 Pembina Pipeline Corp., 3.77% 10/24/2022 2,590,200 2,588,851 3,000 Pembina Pipeline Corp., Preferred 4.7%, Series 3 45,765 51,675 500 Pembina Pipeline Corp., Preferred 5%, Series Q 8,428 9,125 7,900 Pembina Pipeline Corp., Preferred 5.25%, Series 23 180,053 195,525 1,200,000 Suncor Energy Inc., 3% 09/14/2026 1,227,336 1,222,962 4,800,000 TransCanada PipeLines Ltd., 3.3% 07/17/2025 4,971,162 4,961,509 102,803,042 102,507,980 COMMUNICATION SERVICES (19.5%) 48,383,000 AT&T Inc., 3.825% 11/25/2020 49,209,348 49,052,378 1,200,000 AT&T Inc., 5.1% 11/25/2048 1,324,896 1,321,185 2,761,000 Cogeco Cable Inc., 4.175% 05/26/2023 2,904,673 2,874,319 5,936,000 Cogeco Cable Inc., 5.15% 11/16/2020 6,138,543 6,074,221 6,156,000 Cogeco Communications Inc., 4.925% 02/14/2022 6,504,310 6,442,279 4,123,000 Shaw Communications Inc., 3.8% 11/02/2023 4,302,515 4,293,601 5,200,000 Shaw Communications Inc., 4.25% 12/09/2049 5,193,532 5,222,670 USD 378,438 Sprint Spectrum Co., LLC/Sprint Spectrum Co., II LLC 3.36% 09/20/2021 506,117 495,717 3,890,000 TELUS Corp., 3.15% 02/19/2030 3,884,434 3,872,667 1,350,000 TELUS Corp., 3.95% 02/16/2050 1,338,579 1,339,096 81,306,947 80,988,133 CONSUMER STAPLES (15.0%) USD 700,000 Grupo Bimbo S.A.B. de C.V., 144A, 3.875% 06/27/2024 976,995 948,237 54,322,000 Molson Coors International L.P., 2.75% 09/18/2020 54,496,541 54,455,635 6,750,000 Molson Coors International L.P., 2.84% 07/15/2023 6,780,032 6,750,780 62,253,568 62,154,652 UTILITIES (7.8%) 2,000 Actions Privilegiees Energie Renouvelable Brookfield Inc., Preferred, Class A 30,770 35,180 12,404,000 AltaGas Ltd., 3.72% 09/28/2021 12,783,122 12,693,624 32,000 Brookfield Infrastructure Partners L.P., Preferred 5.35%, Series 5 804,390 825,280 7,768,000 Capital Power Corp., 4.284% 09/18/2024 8,141,485 8,105,054 3,493,000 Capital Power Corp., 5.276% 11/16/2020 3,593,424 3,580,390 1,200,000 ENMAX Corp., 3.876% 10/18/2029 1,235,532 1,221,828 3,600,000 Thames Water Utilities Cayman Finance Ltd., 2.875% 12/12/2024 3,461,040 3,515,580 2,480,000 TransAlta Corp., 5% 11/25/2020 2,544,260 2,530,943 32,594,023 32,507,879 INDUSTRIALS (6.8%) 3,430,000 Concentra Bank 2.57125% 05/07/2020 3,430,250 3,430,000 8,740,000 Finning International Inc., 2.84% 09/29/2021 8,819,345 8,809,305 2,035,000 Finning International Inc., 3.232% 07/03/2020 2,046,875 2,044,893 5,100,000 Penske Truck Leasing Canada Inc., 2.7% 09/30/2024 5,068,239 5,053,366 4,790,000 SNC-Lavalin Group Inc., 2.51% 03/02/2021 4,733,782 4,752,020 2,419,000 SNC-Lavalin Group Inc., 2.689% 11/24/2020 2,411,349 2,414,259 1,810,000 SNC-Lavalin Group Inc., 3.235% 03/02/2023 1,781,072 1,777,007 28,290,912 28,280,850



AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)




LONG POSITIONS (263.5%) (cont’d) ASSET-BACKED SECURITIES (6.0%) 9,000,000 Classic RMBS Trust 3.011% 08/15/2026 8,605,031 8,588,287 1,175,000 Ford Auto Securitization Trust 2.354% 06/15/2023 1,177,536 1,176,494 940,000 Ford Auto Securitization Trust 2.552% 09/15/2024 945,975 941,020 1,470,000 MCAP RMBS Issuer Corp., 2.4% 10/15/2022 1,189,481 1,195,949 10,370,000 MCAP RMBS Issuer Corp., 2.75% 05/15/2023 8,250,406 8,307,812 3,125,000 Silver Arrow Canada, Series 2019-1, A2 2.361% 01/15/2023 3,123,612 3,129,288 1,625,000 Silver Arrow Canada, Series 2019-1, A3 2.399% 08/15/2026 1,624,252 1,624,452 24,916,293 24,963,302 INFORMATION TECHNOLOGY (3.2%) USD 2,205,000 Hewlett Packard Enterprise Co., 2.56725% 03/12/2021 2,919,407 2,873,505 10,049,000 Teranet Holdings L.P., 4.807% 12/16/2020 10,285,488 10,277,075 13,204,895 13,150,580 FOREIGN GOVERNMENT BONDS (1.9%) USD 5,336,000 United States Treasury Note/Bond 1.625% 08/15/2029 6,999,701 6,754,511 USD 385,000 United States Treasury Note/Bond 1.625% 11/30/2026 505,412 493,537 USD 520,000 United States Treasury Note/Bond 1.75% 11/15/2029 680,914 665,488 8,186,027 7,913,536 HEALTH CARE (1.7%) USD 2,000,000 AbbVie Inc., 2.95% 11/21/2026 2,664,734 2,643,860 USD 1,000,000 AbbVie Inc., 3.2% 11/21/2029 1,349,916 1,320,879 2,950,000 Sienna Senior Living Inc., 3.109% 11/04/2024 2,968,684 2,968,529 6,983,334 6,933,268 EXCHANGE-TRADED FUND(S) (0.2%) 44,500 iShares Canadian Corporate Bond Index ETF 969,305 961,645 CANADIAN GOVERNMENT BONDS (0.0%) 1,000 Government of Canada 1.25% 11/01/2021 995 992 SHORT-TERM INVESTMENTS (29.2%) 5,000,000 Credit Union Central of Alberta 1.97355% 01/09/2020 4,990,850 4,990,850 15,000,000 Enbridge Inc., 2.55846% 03/03/2020 14,904,150 14,904,150 18,500,000 Enbridge Inc., 2.56757% 01/10/2020 18,459,470 18,459,470 36,000,000 Enbridge Inc., 2.57924% 01/13/2020 35,917,500 35,917,500 5,000,000 Enbridge Inc., 2.59022% 01/20/2020 4,988,350 4,988,350 7,500,000 Harley-Davidson Financial Services Canada Inc., 2.00114% 01/09/2020 7,485,675 7,485,675 12,500,000 Harley-Davidson Financial Services Canada Inc., 2.00718% 01/22/2020 12,466,500 12,466,500 5,000,000 Harley-Davidson Financial Services Canada Inc., 2.01394% 01/06/2020 4,983,000 4,983,000 12,500,000 Harley-Davidson Financial Services Canada Inc., 2.01877% 01/10/2020 12,464,250 12,464,250

LONG POSITIONS (263.5%) (cont’d) SHORT-TERM INVESTMENTS (29.2%) (cont’d) 1,479,000 Ryder Truck Rental 2.032% 01/09/2020 1,475,968 1,475,968 3,000,000 Ryder Truck Rental 2.03263% 01/07/2020 2,994,180 2,994,180 121,129,893 121,129,893 Total Long Positions 1,097,164,931 1,094,049,991 SHORT POSITIONS (-130.7%) COMMUNICATION SERVICES (-0.3%) (1,000,000) Bell Canada Inc., 4.45% 02/27/2047 (1,121,760) (1,102,506) UTILITIES (-1.1%) (4,500,000) Hydro One Inc., 3.02% 04/05/2029 (4,725,945) (4,671,720) FINANCIALS (-2.3%) USD (5,000,000) Goldman Sachs Group Inc., 4.223% 05/01/2029 (7,310,523) (7,157,653) USD (1,700,000) Wells Fargo & Co., 4.15% 01/24/2029 (2,529,440) (2,458,730) (9,839,963) (9,616,383) FOREIGN GOVERNMENT BONDS (-15.9%) USD (2,000,000) United States Treasury Note/Bond 1.375% 08/31/2026 (2,588,626) (2,526,097) USD (2,348,000) United States Treasury Note/Bond 1.375% 10/15/2022 (3,069,045) (3,029,942) USD (8,262,000) United States Treasury Note/Bond 1.5% 08/31/2021 (10,894,160) (10,710,184) USD (3,272,000) United States Treasury Note/Bond 1.5% 09/15/2022 (4,372,179) (4,238,401) USD (7,621,000) United States Treasury Note/Bond 1.5% 09/30/2021 (9,994,762) (9,879,630) USD (1,012,000) United States Treasury Note/Bond 1.5% 09/30/2024 (1,321,089) (1,302,995) USD (25,000) United States Treasury Note/Bond 1.625% 09/30/2026 (32,600) (32,072) USD (3,986,000) United States Treasury Note/Bond 1.625% 10/31/2026 (5,236,613) (5,110,724) USD (6,512,000) United States Treasury Note/Bond 1.625% 12/15/2022 (8,557,651) (8,463,094) USD (1,191,000) United States Treasury Note/Bond 1.75% 06/15/2022 (1,563,366) (1,552,553) USD (606,000) United States Treasury Note/Bond 1.75% 06/30/2024 (798,568) (789,288) USD (7,935,000) United States Treasury Note/Bond 1.75% 07/15/2022 (10,493,452) (10,342,226) USD (300,000) United States Treasury Note/Bond 2.125% 03/31/2024 (397,122) (396,746) USD (849,000) United States Treasury Note/Bond 2.125% 05/15/2022 (1,138,024) (1,115,903) USD (164,000) United States Treasury Note/Bond 2.125% 05/31/2021 (218,091) (214,468) USD (2,000) United States Treasury Note/Bond 2.25% 03/31/2026 (2,638) (2,668) USD (1,044,000) United States Treasury Note/Bond 2.25% 04/15/2022 (1,405,568) (1,375,383)



AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)




SHORT POSITIONS (-130.7%) (cont’d) FOREIGN GOVERNMENT BONDS (-15.9%) (cont’d) USD (732,000) United States Treasury Note/Bond 2.25% 04/30/2021 (984,592) (958,409) USD (58,000) United States Treasury Note/Bond 2.375% 02/29/2024 (77,837) (77,451) USD (1,104,000) United States Treasury Note/Bond 2.375% 03/15/2022 (1,475,278) (1,458,179) USD (147,000) United States Treasury Note/Bond 2.375% 04/30/2026 (198,839) (197,582) USD (454,000) United States Treasury Note/Bond 2.5% 01/31/2024 (599,158) (608,860) USD (188,000) United States Treasury Note/Bond 2.5% 02/15/2022 (249,786) (248,723) USD (282,000) United States Treasury Note/Bond 2.5% 02/28/2026 (381,017) (381,566) USD (62,000) United States Treasury Note/Bond 2.625% 01/31/2026 (82,039) (84,438) USD (484,000) United States Treasury Note/Bond 2.625% 12/31/2023 (642,664) (651,842) USD (16,000) United States Treasury Note/Bond 2.875% 05/15/2049 (23,505) (22,959) USD (44,000) United States Treasury Note/Bond 2.875% 11/30/2023 (58,247) (59,754) USD (142,000) United States Treasury Note/Bond 3% 10/31/2025 (188,809) (197,048) USD (84,000) United States Treasury Note/Bond 3.125% 11/15/2028 (114,576) (119,997) (67,159,901) (66,149,182) CANADIAN GOVERNMENT BONDS (-75.4%) (15,118,000) Government of Canada 0.5% 03/01/2022 (14,754,168) (14,736,391) (17,182,000) Government of Canada 0.75% 03/01/2021 (16,976,119) (16,986,426) (2,274,000) Government of Canada 0.75% 09/01/2020 (2,255,133) (2,258,833) (27,191,000) Government of Canada 0.75% 09/01/2021 (26,820,099) (26,768,132) (7,340,000) Government of Canada 1% 06/01/2027 (7,022,020) (6,973,082) (16,130,000) Government of Canada 1% 09/01/2022 (15,877,768) (15,841,199) (24,862,000) Government of Canada 1.5% 06/01/2023 (24,834,433) (24,715,213) (3,705,000) Government of Canada 1.5% 06/01/2026 (3,679,446) (3,662,015) (41,391,000) Government of Canada 1.5% 09/01/2024 (41,246,153) (41,048,489) (576,000) Government of Canada 1.75% 03/01/2023 (576,564) (577,109) (49,403,000) Government of Canada 2% 09/01/2023 (50,325,771) (49,942,418) (9,230,000) Government of Canada 2.25% 02/01/2021 (9,295,462) (9,279,494) (5,240,000) Government of Canada 2.25% 03/01/2024 (5,397,270) (5,357,301) (7,459,000) Government of Canada 2.25% 06/01/2025 (7,692,611) (7,676,858) (5,148,000) Government of Canada 2.25% 06/01/2029 (5,413,689) (5,393,381) (2,359,000) Government of Canada 2.5% 06/01/2024 (2,456,944) (2,440,259) (63,097,000) Government of Canada 2.75% 06/01/2022 (65,207,847) (64,668,389) (4,356,000) Government of Canada 2.75% 12/01/2048 (5,367,732) (5,325,832) (9,127,000) Government of Canada 3.25% 06/01/2021 (9,419,472) (9,319,040) (314,618,701) (312,969,861)

SHORT POSITIONS (-130.7%) (cont’d) SHORT-TERM INVESTMENTS (-35.7%) USD (19,903,607) United States Treasury Bill 1.52937% 04/23/2020 (25,994,001) (25,841,792) USD (14,883,202) United States Treasury Bill 1.58716% 05/28/2020 (19,769,410) (19,323,564) USD (29,755,575) United States Treasury Bill 1.63381% 04/02/2020 (39,613,360) (38,633,068) USD (29,753,010) United States Treasury Bill 1.65109% 04/02/2020 (39,609,945) (38,629,737) USD (19,835,139) United States Treasury Bill 1.65313% 04/09/2020 (26,374,761) (25,752,897) (151,361,477) (148,181,058) Total Short Positions (548,827,747) (542,690,710)

Commissions and other portfolio transaction costs (497)

Total Investment Portfolio before Derivative Instruments (132.8%) 548,336,687 551,359,281

Foreign Currency Forward Contract(s) (-0.9%) (see Schedule A) (3,935,071)

Short Future Contract(s) (0.1%) (see Schedule B) 224,580

Total Return Swap Contract(s) (0.0%) (see Schedule C) 27,020

Total Investment Portfolio (132.0%) 548,336,687 547,675,810 Other Net Assets (Liabilities) (-32.0%) (132,606,288) Net Assets Attributable to Holders of Redeemable Units (100.0%) 415,069,522

Principal amounts stated in:USD U.S. Dollar



AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)



Schedule AForeign Currency Forward Contract(s) (-0.9%)

Contract(s) CounterpartyCredit Rating of

the Counterparty‡Settlement

DateContract(s)

Rate Pay ReceiveUnrealized

Gain (Loss) ($)1 Canadian Imperial Bank of Commerce A-1 10-Jan-20 1.32 (12,000,000) Canadian $ 9,063,889 US $ (232,535)1 Canadian Imperial Bank of Commerce A-1 27-Jan-20 1.33 (15,000,000) Canadian $ 11,313,241 US $ (313,623)1 Canadian Imperial Bank of Commerce A-1 23-Jan-20 1.32 (18,000,000) Canadian $ 13,678,019 US $ (243,542)1 Canadian Imperial Bank of Commerce A-1 17-Jan-20 1.31 (35,000,000) Canadian $ 26,676,321 US $ (368,343)1 Canadian Imperial Bank of Commerce A-1 13-Jan-20 1.32 (60,000,000) Canadian $ 45,538,447 US $ (879,573)1 Canadian Imperial Bank of Commerce A-1 13-Jan-20 1.32 (8,000,000) Canadian $ 6,048,829 US $ (147,066)1 Canadian Imperial Bank of Commerce A-1 02-Jan-20 1.32 (55,000,000) Canadian $ 41,806,338 US $ (721,296)1 Royal Bank of Canada A-1+ 14-Jan-20 1.32 (10,000,000) Canadian $ 7,547,426 US $ (201,543)1 Royal Bank of Canada A-1+ 13-Jan-20 1.32 (5,000,000) Canadian $ 3,782,489 US $ (89,360)1 Toronto-Dominion Bank A-1+ 07-Jan-20 1.32 (18,000,000) Canadian $ 13,664,874 US $ (258,911)1 Toronto-Dominion Bank A-1+ 06-Jan-20 1.31 (40,000,000) Canadian $ 30,440,242 US $ (479,279)Total Foreign Currency Forward Contract(s) Value (3,935,071)

Schedule BShort Future Contract(s) (0.1%)

Contract(s) Future(s) Expiry Date Price ($) Currency Contract Value ($) Fair Value ($)(197) Canadian 5Yr Bond Futures 20-Mar-20 120.29 Canadian $ (23,921,710) (23,697,130) (23,921,710) (23,697,130)Exercise Price ($) (23,921,710)Total Short Future Contract(s) Value 224,580

Schedule CTotal Return Swap Contract(s) (0.0%)

Credit Rating ofNotional Fair Value (Local) ($) Swap Contract(s) Counterparty the Counterparty‡ Due Date Price ($) Cost ($) Fair Value ($)5,000,000 16,108 TRS - AbbVie Inc. Float 11/21/22 - Receive Leg Canadian Imperial Bank A-1 21-Jan-20 100.84 6,525,108 6,546,021 of Canada (5,000,000) (11,488) TRS - AbbVie Inc. USD 1 Month - Pay Leg Canadian Imperial Bank A-1 23-Jan-20 100.74 (6,525,108) (6,540,023) of Canada300,000 2,835 TRS - AIB Group PLC 4.263% Canadian Imperial Bank 04/10/25 - Receive Leg of Canada A-1 21-Jan-20 106.91 412,727 416,408 (300,000) (2,197) TRS - AIB Group PLC USD Canadian Imperial Bank 1 Month - Pay Leg of Canada A-1 23-Jan-20 106.69 (412,727) (415,580)6,619,000 22,283 TRS - Ares Capital Corp. 3.625% Canadian Imperial Bank 01/19/22 - Receive Leg of Canada A-1 21-Jan-20 103.45 8,860,903 8,889,834 (6,619,000) (12,277) TRS - Ares Capital Corp. USD Canadian Imperial Bank 1 Month - Pay Leg of Canada A-1 23-Jan-20 103.29 (8,860,903) (8,876,843)1,710,000 (1,241) TRS - Chip Mortgage Trust 2.981% Canadian Imperial Bank 11/15/21 - Receive Leg of Canada A-1 21-Jan-20 101.13 1,730,480 1,729,239


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



Schedule CTotal Return Swap Contract(s) (0.0%) (cont’d)

Credit Rating ofNotional Fair Value (Local) ($) Swap Contract(s) Counterparty the Counterparty‡ Due Date Price ($) Cost ($) Fair Value ($)(1,710,000) 179 TRS - Chip Mortgage Trust CAD Canadian Imperial Bank 1 Month - Pay Leg of Canada A-1 23-Jan-20 101.19 (1,730,480) (1,730,301)3,750,000 (25,283) TRS - CPPIB Capital Inc. 2.000% Canadian Imperial Bank 11/01/29 - Receive Leg of Canada A-1 21-Jan-20 98.47 4,827,049 4,794,222 (3,750,000) 23,154 TRS - CPPIB Capital Inc. USD Canadian Imperial Bank 1 Month - Pay Leg of Canada A-1 23-Jan-20 98.52 (4,827,049) (4,796,987)330,000 (5,322) TRS - Grupo Bimbo S.A.B. de C.V. Canadian Imperial Bank 3.875% 06/27/24 - Receive Leg of Canada A-1 21-Jan-20 104.52 454,715 447,805 (330,000) (617) TRS - Grupo Bimbo S.A.B. de C.V. Canadian Imperial Bank USD 1 Month - Pay Leg of Canada A-1 23-Jan-20 106.32 (454,715) (455,515)4,000,000 (42,547) TRS - Hyundai Capital America 3.000% Canadian Imperial Bank 06/20/22 - Receive Leg of Canada A-1 21-Jan-20 101.27 5,314,597 5,259,356 (4,000,000) 47,455 TRS - Hyundai Capital America USD Canadian Imperial Bank 1 Month - Pay Leg of Canada A-1 23-Jan-20 101.15 (5,314,597) (5,252,984)7,000,000 4,619 TRS - Mizuho Financial Group Inc. Float Canadian Imperial Bank 09/13/23 - Receive Leg of Canada A-1 21-Jan-20 100.59 9,135,621 9,141,617 (7,000,000) (3,950) TRS - Mizuho Financial Group Inc. USD Canadian Imperial Bank 1 Month - Pay Leg of Canada A-1 23-Jan-20 100.58 (9,135,621) (9,140,749)2,500,000 5,345 TRS - Skandinaviska Enskilda Banken AB Canadian Imperial Bank Float 12/12/22 - Receive Leg of Canada A-1 21-Jan-20 100.65 3,260,001 3,266,941 (2,500,000) (3,488) TRS - Skandinaviska Enskilda Banken Canadian Imperial Bank AB USD 1 Month - Pay Leg of Canada A-1 23-Jan-20 100.57 (3,260,001) (3,264,529)3,986,000 20,657 TRS - Synchrony Financial 2.850% Canadian Imperial Bank 07/25/22 - Receive Leg of Canada A-1 21-Jan-20 102.56 5,281,043 5,307,864 (3,986,000) (13,658) TRS - Synchrony Financial USD Canadian Imperial Bank 1 Month - Pay Leg of Canada A-1 23-Jan-20 102.39 (5,281,043) (5,298,776) Total Total Return Swap Contract(s) Value 27,020





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, 2019Amounts Eligible for Offset

Gross Assets/(Liabilities)

FinancialInstruments

CollateralReceived/(Paid)

NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts - - - -Derivative assets - Swaps and swaptions 45,799 (45,772) - 27Total 45,799 (45,772) - 27Derivative liabilities - Foreign currency forward contracts (3,935) - - (3,935)Derivative liabilities - Swaps and swaptions (45,772) 45,772 - -Total (49,707) 45,772 - (3,935)





NetExposure

(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 (187) - - (187)Derivative liabilities - Swaps and swaptions - - - -Total (187) - - (187)

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

the Underlying Fund(s) / ETF(s)

Fair Value of the Fund’s Investmentin the Underlying Fund(s) / ETF(s)

Ownership in theUnderlying Fund(s) / ETF(s)

Unconsolidated Structured Entities (in $000’s) (in $000’s) (%)iShares Canadian Corporate Bond Index ETF 2,023,978 962 -



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

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

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

Number of redeemable units at the beginning of periodRedeemable units issued for cashRedeemable units issued for reinvested distributionsRedeemable units redeemedNumber of redeemable units at the end of period

Class A 2019 2018 7,050 - 664,622 7,050 2,768 - (25,047) - 649,393 7,050

Class F 2019 2018 113,054 - 7,696,467 116,718 75,414 - (265,851) (3,664) 7,619,084 113,054

Class I 2019 2018 8,320,057 - 22,912,383 8,289,247 722,335 30,810 (284,300) - 31,670,475 8,320,057

Class W 2019 2018 - - 49,540 - 730 - - - 50,270 -


†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.





Management and Administration Fees (Note 5) as at December 31, 2019 (%)

Annual management

fee rate:

Annual administration

fee rate:

Class A 1.300 0.17Class F 0.800 0.17Class I Paid directly by investor Paid directly by investorClass W Paid directly by investor 0.11

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

2019Capital loss carried forward: 72Non-capital losses expiring:2029 -2030 -2031 -2032 -2033 -2034 -2035 -2036 -2037 -2038 -2039 -Total -

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

2019 2018Loaned 11,814 1,007Collateral (non-cash) 12,050 1,027

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

2019 2018Gross securities lending revenue 4 -Charges (1) -Securities lending revenue 3 -% of gross securities lending revenue 25.0 -

Investments 2019CI Financial Corp., 2.645% 12/07/2020 29,566

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




Credit Risk (cont’d)

as at December 31, 2018 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 25.4 AA/Aa/A+ 4.4 A 31.6 BBB/Baa/B++ 79.2 BB/Ba/B+ 4.8 B 0.9 Not Rated 3.9 Total 150.2

^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 RiskAs at December 31, 2019 and 2018, the Fund was exposed to other price risk as some of the Fund’s assets were invested in equities.

As at December 31, 2019, had the equities in the investment portfolio increased or decreased by 10% (December 31, 2018 - 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 $411,000 (December 31, 2018 - $356,000). In practice, actual results may differ from this analysis and the difference may be material.

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

as at December 31, 2019~

Currency

Financial Instruments Exposure Derivatives

Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar (227,557) 272,082 44,525 10.7 Total (227,557) 272,082 44,525 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 $4,453,000. In practice, the actual results may differ from this analysis and the difference may be material.

As at December 31, 2018, the Fund’s investments were denominated in Canadian dollars, the functional currency of the Fund. As a result, the Fund’s exposure to currency risk was insignificant.

Financial Instruments Risks (Note 10)

Concentration RiskFor 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 PositionsFinancials 60.7 Industrials 17.8 Utilities 16.6 Real Estate 12.1 Consumer Discretionary 9.4 Communication Services 6.6 Asset-Backed Securities 5.9 Energy 5.2 Consumer Staples 4.7 Canadian Government Bonds 3.2 Health Care 2.4 Foreign Government Bonds 2.4 Short-Term Investments 1.4 Information Technology 0.7 Materials 0.2 Foreign Currency Forward Contract(s) (0.2)Other Net Assets (Liabilities) (0.5)Total Long Positions 148.6

Short PositionsForeign Government Bonds (0.3)Futures Contract(s) (0.5)Canadian Government Bonds (47.8)Total Short Positions (48.6)

Credit RiskThe Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the tables below.

as at December 31, 2019Credit Rating^* Net Assets (%)AAA/Aaa/A++ 14.6 AA/Aa/A+ 14.6 A 60.3 BBB/Baa/B++ 166.0 BB/Ba/B+ 7.3 B 0.1 Not Rated 11.5 Total 274.4





Fair Value Hierarchy (cont’d)

Long Positions at fair value as at December 31, 2018Level 1 Level 2 Level 3 Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 3,556 - - 3,556 Bonds - 115,639 - 115,639 Asset-backed securities - 4,922 - 4,922 Short-term investments - 1,147 - 1,147 Foreign currency forward contract(s), net - (187) - (187)Futures contract(s), net (411) - - (411)Total 3,145 121,521 - 124,666

Short Positions at fair value as at December 31, 2018Level 1 Level 2 Level 3 Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - (40,377) - (40,377)Total - (40,377) - (40,377)

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

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

as at December 31, 2019

Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 354,614 55,967 71,100 65,565 547,246


Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total


As at December 31, 2019, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2018 - 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 $2,139,000 (December 31, 2018 - $237,000). 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.


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 3,151 - - 3,151 Bonds - 921,866 21,979 943,845 Asset-backed securities - 24,963 - 24,963 Exchange-Traded Fund(s) 962 - - 962 Short-term investments - 121,129 - 121,129 Foreign currency forward contract(s), net - (3,935) - (3,935)Swap contract(s) - 27 - 27 Total 4,113 1,064,050 21,979 1,090,142


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - (394,510) - (394,510)Short-term investments - (148,181) - (148,181)Future contract(s), net 225 - - 225 Total 225 (542,691) - (542,466)






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

for the year ended December 31, 2019 Balance at

Dec. 31, 2018 Purchases SalesTransfers

InTransfers

(Out)Realized Gain

(Loss)Unrealized Gain

(Loss)*Balance at

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 - 22,274 - - - - (295) 21,979 Total - 22,274 - - - - (295) 21,979

*Change in unrealized gain (loss) related to investments held at December 31, 2019 was ($294,492).

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.

CI Marret Alternative Absolute Return Bond Fund (formerly Marret Alternative Absolute Return Bond Fund)


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

CIG - 5191


2019 2018 137,240 5,187 7,774 413

522 - - - 46 - - - - - - - 472 15 - - - - - - 328 - 146,382 5,615

3,173 - - -

78 21 - - - - 2 - - - - - 4,295 - - - - - - - 1 - 43 - 7,592 21

138,790 5,594



per class (Note 4):



units outstanding:

2019 2018 2019 2018 2019 2018Class A 24,680 1,506 10.22 10.03 2,414,804 150,179Class AH 509 - 9.52* - 41,171 -Class F 106,518 3,987 10.19 10.03 10,457,142 397,497Class FH 3,089 - 9.50* - 250,492 -Class I 3,109 101 10.08 9.94 308,328 10,124Class IH 13 - 9.39* - 1,064 -Class W 872 - 9.48 - 92,005 -









2019 2018

- - 1,565 12 - - - - - -

(47) - (7) -

3,151 (8)

(2,215) 16 2,447 20 (108) 6 - - 26 - - - (82) 6 2,365 26

634 5 123 1 43 - 3 - - - 6 - - - - - 5 - - - 97 1 911 7

1,454 19








2019 2018 2019 2018 2019 2018Class A 230 4 0.21 0.04 1,098,622 131,378Class AH (17) - (0.84) - 21,112 -Class F 1,443 14 0.25 0.07 5,647,819 205,991Class FH (175) - (0.63) - 279,604 -Class I (23) 1 (0.39) 0.06 56,269 10,029Class IH - - (0.21) - 1,007 -Class W (4) - (0.24) - 15,109 -

Income Net gain (loss) on investments and derivatives Dividends Interest for distribution purposes Income distributions from investments Capital gain distributions from investments Derivative income (loss) Dividends expense on financial assets (liabilities) sold



of investments and derivativesTotal net gain (loss) on investments and derivativesOther income Foreign exchange gain (loss) on cash Commitment fee income Securities lending revenue (Note 6) Fees rebateTotal other incomeTotal incomeExpensesManagement fees (Note 5)Administration fees (Note 5)Performance fees (Note 5)Commissions and other portfolio transaction costsIndependent review committee feesSecurities borrowing fees (Note 2)Margin feesService feesInterest expenseWithholding taxesHarmonized sales taxTotal expensesIncrease (decrease) in net assets attributable to holders of redeemable units










Class A 2019 2018 1,506 - 230 4

(60) - (546) - - - (606) -

27,222 1,502 547 - (4,219) - 23,550 1,502 23,174 1,506 24,680 1,506

Class AH 2019 2018 - - (17) -

(1) - (12) - - - (13) -

544 - 13 - (18) - 539 - 509 - 509 -

Class F 2019 2018 3,987 - 1,443 14

(335) (2) (3,334) (1) - - (3,669) (3)

128,409 3,980 2,987 3 (26,639) (7) 104,757 3,976 102,531 3,987 106,518 3,987

Class FH 2019 2018 - - (175) -

(10) - (134) - - - (144) -

6,443 - 142 - (3,177) - 3,408 - 3,089 - 3,089 -

Class I 2019 2018 101 - (23) 1

(10) (1) (90) - - - (100) (1)

3,683 100 100 1 (652) - 3,131 101 3,008 101 3,109 101

Class IH 2019 2018 - - - -

- - (1) - - - (1) -

13 - 1 - - - 14 - 13 - 13 -

Class W 2019 2018 - - (4) -

(1) - (11) - - - (12) -

876 - 12 - - - 888 - 872 - 872 -

Total Fund 2019 2018 5,594 - 1,454 19

(417) (3) (4,128) (1) - - (4,545) (4)

167,190 5,582 3,802 4 (34,705) (7) 136,287 5,579 133,196 5,594 138,790 5,594





2019 2018

1,454 19

(3,151) 8 49 (1) 3 -

2,215 (16)

363,587 2,814 (491,999) (7,972) - - - - (46) - - - (455) (15) - - - - - - 43 - 1 - (128,299) (5,163)

(743) - 156,475 5,582 (20,023) (7) 135,709 5,575

(49) 1 7,410 412 413 - 7,774 413

- - 1,108 - 47 - 10 - - -




short sale Purchase of investments, derivatives and cover short purchases (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 securities lending revenue receivable Increase (decrease) in management fees payable Increase (decrease) in administration fees payable Increase (decrease) in performance fees payable Change in other accounts receivable and payableNet cash from (used in) operating activities






LONG POSITIONS (98.9%) FOREIGN GOVERNMENT BONDS (55.0%) USD 290,000 United States Treasury Inflation Indexed Bonds 0.89176% 01/15/2029 403,858 407,467 USD 770,000 United States Treasury Note/Bond 1.25% 08/31/2024 1,001,524 980,631 USD 2,520,000 United States Treasury Note/Bond 1.5% 09/30/2024 3,286,232 3,244,612 USD 1,675,000 United States Treasury Note/Bond 1.625% 06/30/2021 2,196,178 2,175,581 USD 20,210,000 United States Treasury Note/Bond 1.625% 08/15/2029 26,765,157 25,582,582 USD 785,000 United States Treasury Note/Bond 1.75% 06/30/2024 1,032,040 1,022,427 USD 585,000 United States Treasury Note/Bond 1.75% 07/31/2024 787,152 761,966 USD 3,815,000 United States Treasury Note/Bond 1.75% 11/15/2029 4,963,681 4,882,379 USD 460,000 United States Treasury Note/Bond 1.75% 12/31/2024 603,465 599,129 USD 1,545,000 United States Treasury Note/Bond 1.875% 01/31/2022 2,053,420 2,017,700 USD 2,080,000 United States Treasury Note/Bond 1.875% 06/30/2026 2,732,005 2,713,960 USD 2,015,000 United States Treasury Note/Bond 2.125% 03/31/2024 2,693,913 2,664,814 USD 490,000 United States Treasury Note/Bond 2.125% 05/31/2021 658,176 640,788 USD 390,000 United States Treasury Note/Bond 2.25% 04/30/2024 530,977 518,540 USD 760,000 United States Treasury Note/Bond 2.25% 08/15/2049 989,294 959,917 USD 11,695,000 United States Treasury Note/Bond 2.375% 05/15/2029 15,931,709 15,793,317 USD 2,585,000 United States Treasury Note/Bond 2.375% 11/15/2049 3,396,984 3,354,523 USD 630,000 United States Treasury Note/Bond 2.5% 01/31/2021 839,926 825,467 USD 1,490,000 United States Treasury Note/Bond 2.5% 12/31/2020 1,974,548 1,950,709 USD 275,000 United States Treasury Note/Bond 2.625% 01/31/2026 364,513 374,521 USD 40,000 United States Treasury Note/Bond 2.625% 02/15/2029 53,738 55,078 USD 110,000 United States Treasury Note/Bond 2.625% 12/31/2023 146,359 148,146 USD 2,180,000 United States Treasury Note/Bond 2.875% 10/31/2020 2,942,451 2,858,590 USD 1,255,000 United States Treasury Note/Bond 3.125% 11/15/2028 1,741,019 1,792,814 78,088,319 76,325,658

LONG POSITIONS (98.9%) (cont’d) CANADIAN GOVERNMENT BONDS (28.6%) 670,000 Government of Canada 2% 06/01/2028 671,897 684,622 32,170,000 Government of Canada 2.25% 06/01/2029 34,356,292 33,703,391 4,290,000 Government of Canada 2.75% 12/01/2048 5,410,604 5,245,138 40,438,793 39,633,151 CORPORATE BONDS (4.0%) USD 10,000 Activision Blizzard Inc., 2.3% 09/15/2021 12,815 13,052 USD 50,000 Allison Transmission Inc., 5% 10/01/2024 67,837 66,459 495,000 AltaGas Ltd., 2.609% 12/16/2022 495,000 496,070 200,000 Enbridge Inc., 3.16% 03/11/2021 202,030 201,890 250,000 Ford Credit Canada Co., 2.45% 05/07/2020 249,428 249,943 450,000 Heathrow Funding Ltd., FRN, 3% 06/17/2023 454,744 454,482 USD 3,000 Kraft Heinz Foods Co., 2.8% 07/02/2020 3,915 3,901 655,000 Manulife Bank of Canada 2.082% 05/26/2022 652,635 652,737 75,000 OMERS Finance Trust 2.6% 05/14/2029 74,921 75,873 30,000 Penske Truck Leasing Canada Inc., 2.95% 06/12/2020 30,164 30,092 USD 1,938,215 Reynolds Group Issuer Inc./Reynolds Group Issuer LLC 5.75% 10/15/2020 2,565,855 2,519,622 25,000 SmartCentres Real Estate Investment Trust 2.757% 06/23/2021 25,000 25,154 USD 100,000 TransDigm Inc., 6.25% 03/15/2026 141,565 140,560 USD 500,000 Valeant Pharmaceuticals International Inc., 7% 03/15/2024 686,444 675,141 5,662,353 5,604,976 SHORT-TERM INVESTMENTS (11.3%) 6,000,000 Bank of Montreal 1.85528% 01/07/2020 5,989,380 5,989,380 8,000,000 Royal Bank of Canada 1.84749% 01/02/2020 7,988,660 7,988,660 1,700,000 Toronto-Dominion Bank 1.982% 01/27/2020 1,697,518 1,697,518 15,675,558 15,675,558 Total Long Positions 139,865,023 137,239,343 SHORT POSITIONS (-2.3%) EXCHANGE-TRADED FUND(S) (-2.1%) (6,925) iShares Core S&P 500 ETF (2,885,563) (2,906,268)



AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)





SHORT POSITIONS (-2.3%) (cont’d) CORPORATE BONDS (-0.2%) USD (25,000) Allison Transmission Inc., 5.875% 06/01/2029 (35,878) (35,542) USD (120,000) Home Depot Inc., 2.8% 09/14/2027 (163,376) (162,071) USD (50,000) TransDigm Inc., 6.375% 06/15/2026 (69,878) (68,852) (269,132) (266,465) Total Short Positions (3,154,695) (3,172,733)

Commissions and other portfolio transaction costs (128)


Foreign Currency Forward Contract(s) (0.3%) (see Schedule A) 443,952

Total Investment Portfolio (96.9%) 136,710,200 134,510,562 Other Net Assets (Liabilities) (3.1%) 4,279,597 Net Assets Attributable to Holders of Redeemable Units (100.0%) 138,790,159

Principal amounts stated in:USD U.S. Dollar


AverageCost ($)

FairValue ($)





Schedule AForeign Currency Forward Contract(s) (0.3%)



DateContract(s)


Gain (Loss) ($)1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (120,000) Canadian $ 90,275 US $ (2,795)1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (170,000) Canadian $ 128,047 US $ (3,756)1 Royal Bank of Canada A-1+ 07-Jan-20 1.30 (2,208,510) Canadian $ 1,692,987 US $ (10,517)1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (30,000) Canadian $ 22,589 US $ (672)1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (50,000) Canadian $ 37,704 US $ (1,048)1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (50,000) Canadian $ 37,580 US $ (1,210)1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (50,000) Canadian $ 37,616 US $ (1,163)1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (50,000) Canadian $ 37,915 US $ (775)1 Royal Bank of Canada A-1+ 07-Jan-20 1.31 (51,000) Canadian $ 38,996 US $ (371)1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (658,212) Canadian $ 500,000 US $ (9,063)1 Royal Bank of Canada A-1+ 07-Jan-20 1.31 (70,000) Canadian $ 53,358 US $ (725)1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (120,000) US $ 158,899 Canadian $ 3,103 1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (131,579) US $ 175,000 Canadian $ 4,170 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (20,000) US $ 26,305 Canadian $ 339 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (28,000) US $ 37,046 Canadian $ 694 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (493,578) US $ 650,000 Canadian $ 9,189 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (501,959) US $ 660,839 Canadian $ 9,146 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (58,162) US $ 77,000 Canadian $ 1,488 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (60,699) US $ 80,000 Canadian $ 1,194 1 Royal Bank of Canada A-1+ 07-Jan-20 1.31 (68,867) US $ 90,000 Canadian $ 590 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (1,054,997) Canadian $ 800,000 US $ (16,357)1 Royal Bank of Canada A-1+ 07-Jan-20 1.31 (2,000,000) Canadian $ 1,524,764 US $ (20,404)1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (50,000) Canadian $ 37,704 US $ (1,048)1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (527,191) Canadian $ 400,000 US $ (7,872)1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (90,275) US $ 120,000 Canadian $ 2,795 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (980,000) US $ 1,288,943 Canadian $ 16,611 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (1,105,000) US $ 1,454,765 Canadian $ 20,145 1 Royal Bank of Canada A-1+ 07-Jan-20 1.31 (1,192,000) US $ 1,559,131 Canadian $ 11,564 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (2,780,000) US $ 3,681,156 Canadian $ 71,877 1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (37,580) US $ 50,000 Canadian $ 1,210 1 Royal Bank of Canada A-1+ 07-Jan-20 1.33 (37,616) US $ 50,000 Canadian $ 1,163 1 Royal Bank of Canada A-1+ 07-Jan-20 1.30 (56,308,330) US $ 73,454,498 Canadian $ 349,802 1 Royal Bank of Canada A-1+ 07-Jan-20 1.32 (672,000) US $ 889,107 Canadian $ 16,648 Total Foreign Currency Forward Contract(s) Value 443,952











NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 522 (78) - 444Derivative assets - Swaps and swaptions - - - -Total 522 (78) - 444Derivative liabilities - Foreign currency forward contracts (78) 78 - -Derivative liabilities - Swaps and swaptions - - - -Total (78) 78 - -





NetExposure






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




Class A 2019 2018 150,179 - 2,614,578 150,179 53,210 - (403,163) - 2,414,804 150,179

Class AH 2019 2018 - - 41,526 - 1,050 - (1,405) - 41,171 -

Class F 2019 2018 397,497 - 12,305,981 397,976 291,329 265 (2,537,665) (744) 10,457,142 397,497

Class FH 2019 2018 - - 481,353 - 11,254 - (242,115) - 250,492 -


Class I 2019 2018 10,124 - 350,184 10,000 9,880 124 (61,860) - 308,328 10,124

Class IH 2019 2018 - - 1,000 - 64 - - - 1,064 -

Class W 2019 2018 - - 90,696 - 1,309 - - - 92,005 -






Annual management

fee rate:


fee rate:

Class A 1.300 0.17Class AH 1.300 0.17Class F 0.800 0.17Class FH 0.800 0.17Class I Paid directly by investor Paid directly by investorClass IH Paid directly by investor Paid directly by investorClass W Paid directly by investor 0.11


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


2019 2018Loaned 62,136 2,228Collateral (non-cash) 63,379 2,273






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


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 80,405 (76,922) 3,483 2.5 Total 80,405 (76,922) 3,483 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 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 $348,000. In practice, the actual results may differ from this analysis and the difference may be material.

As at December 31, 2018, the Fund’s investments 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 RiskThe tables below summarize the Fund’s exposure to interest rate risk, categorized by the contractual maturity date.


Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total



Less than1 Year

1 - 3Years

3 - 5Years

Greaterthan

5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)Interest Rate Exposure 3,125 137 108 2,230 5,600

As at December 31, 2019, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2018 - 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 $2,408,000 (December 31, 2018 - $49,000). In practice, the actual results may differ from this analysis and the difference may be material.




as at December 31, 2018 Categories Net Assets (%)Short-Term Investments 44.6 Foreign Government Bonds 39.9 Corporate Bonds 8.2 Other Net Assets (Liabilities) 7.7 Foreign Currency Forward Contract(s) (0.4)

Credit RiskThe Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the tables below.

as at December 31, 2019Credit Rating^* Net Assets (%)AAA/Aaa/A++ 94.8 AA/Aa/A+ 0.1 A 0.8 BBB/Baa/B++ 0.7 BB/Ba/B+ 0.5 B 1.9 Not Rated 0.4 Total 99.2

as at December 31, 2018 Credit Rating^* Net Assets (%)AAA/Aaa/A++ 84.5 BBB/Baa/B++ 3.9 BB/Ba/B+ 3.0 B 1.3 Total 92.7




Other Price RiskAs at December 31, 2019, the Fund was exposed to other price risk as some of the Fund’s assets were invested in equities.

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 $291,000. In practice, actual results may differ from this analysis and the difference may be material.

As at December 31, 2018, the investments of this Fund were not subject to other price risk as the Fund did not invest in equities.







(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - 121,564 - 121,564 Short-term investments - 15,676 - 15,676 Foreign currency forward contract(s), net - 444 - 444 Total - 137,684 - 137,684


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - (267) - (267)Exchange-Traded Fund(s) (2,906) - - (2,906)Total (2,906) (267) - (3,173)


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Bonds - 2,691 - 2,691 Short-term investments - 2,496 - 2,496 Foreign currency forward contracts, net - (21) - (21)Total - 5,166 - 5,166




CI Munro Alternative Global Growth Fund

(formerly Munro Alternative Global Growth Fund)




CIG - 2192


2019 2018 584,012 31,578 34,783 50,954

3,330 - 403 209 - - - - - - 299 14 10 - - - - - - 25 64 - 622,901 82,780

38,484 7,156 - -

140 520 - - 90 8 - - - - 2,815 1,214 4 - - - - - - - 235 - 1,774 - 43,542 9,212

579,359 73,568






per class (Note 4):



units outstanding:

2019 2018 2019 2018 2019 2018Class A 6,191 445 10.52 9.63 588,207 46,213Class F 29,665 926 10.65 9.64 2,785,000 96,109Class I 542,913 72,197 10.78 9.66 50,376,827 7,476,878Class W 590 - 10.65 - 55,352 -







2019 2018

4,002 40 1,316 29 - - - - (9,104) (51)

(680) (29) - -

(4,899) (1,127)

69,275 (1,558) 59,910 (2,696) (5,055) 937 - - 98 - - - (4,957) 937 54,953 (1,759)

327 2 68 - 1,774 - 3,240 91 1 - 248 - - - - - 312 - 734 5 265 - 6,969 98

47,984 (1,857)







2019 2018 2019 2018 2019 2018Class A 258 (17) 0.58 (0.38) 447,954 46,107Class F 1,426 (27) 0.54 (0.36) 2,638,817 77,166Class I 46,289 (1,813) 1.05 (0.36) 44,196,134 5,072,522Class W 11 - 0.64 - 16,153 -

Income Net gain (loss) on investments and derivatives Dividends Interest for distribution purposes Income distributions from investments Capital gain distributions from investments Derivative income (loss) Dividends expense on financial assets (liabilities) sold



of investments and derivativesTotal net gain (loss) on investments and derivativesOther income Foreign exchange gain (loss) on cash Commitment fee income Securities lending revenue (Note 6) Fees rebateTotal other incomeTotal incomeExpensesManagement fees (Note 5)Administration fees (Note 5)Performance fees (Note 5)Commissions and other portfolio transaction costsIndependent review committee feesSecurities borrowing fees (Note 2)Margin feesService feesInterest expenseWithholding taxesHarmonized sales taxTotal expensesIncrease (decrease) in net assets attributable to holders of redeemable units











Class A 2019 2018 445 - 258 (17)

- - - - - - - -

6,810 462 - - (1,322) - 5,488 462 5,746 445 6,191 445

Class F 2019 2018 926 - 1,426 (27)

- - - - - - - -

43,156 953 - - (15,843) - 27,313 953 28,739 926 29,665 926

Class I 2019 2018 72,197 - 46,289 (1,813)

- (23) - - - - - (23)

428,038 74,010 - 23 (3,611) - 424,427 74,033 470,716 72,197 542,913 72,197

Class W 2019 2018 - - 11 -

- - - - - - - -

579 - - - - - 579 - 590 - 590 -

Total Fund 2019 2018 73,568 - 47,984 (1,857)

- (23) - - - - - (23)

478,583 75,425 - 23 (20,776) - 457,807 75,448 505,791 73,568 579,359 73,568







2019 2018

47,984 (1,857)

4,899 1,127 669 (525) 3,240 91

(69,275) 1,558

1,165,535 36,021 (1,627,783) (61,719) - 314 - - (314) - (203) (6) (10) - - - - - - - 1,774 - 235 - (473,249) (24,996)

- - 478,396 75,425 (20,649) - 457,747 75,425

(669) 525 (15,502) 50,429 50,954 - 34,783 50,954

2,985 21 1,306 29 598 21 312 - - -



short sales Purchase of investments, derivatives and cover short purchases (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 securities lending revenue receivable Increase (decrease) in management fees payable Increase (decrease) in administration fees payable Increase (decrease) in performance fees payable Change in other accounts receivable and payableNet cash from (used in) operating activities







LONG POSITIONS (100.8%) U.S.A. (64.3%) 166,050 Abbott Laboratories Inc. 17,319,251 18,726,195 35,825 Adobe Systems Inc. 13,317,737 15,340,548 15,925 Alphabet Inc., Class A 23,834,103 27,693,468 10,567 Amazon.com Inc. 24,067,081 25,351,690 34,250 CME Group Inc. 8,611,654 8,925,696 59,356 Danaher Corp. 8,759,553 11,827,890 7,356 Envista Holdings Corp. 275,483 283,081 63,950 Facebook Inc. 15,194,849 17,041,765 65,900 Fidelity National Information Services Inc. 11,399,258 11,900,691 103,850 Fiserv Inc. 14,673,912 15,590,781 100,850 Keysight Technologies Inc. 13,242,688 13,438,199 35,522 Mastercard Inc., Class A 11,546,419 13,770,938 143,850 Microsoft Corp. 22,784,803 29,453,195 110,700 NIKE Inc., Class B 13,272,491 14,560,986 49,531 NVIDIA Corp. 14,151,746 15,131,775 120,125 PayPal Holdings Inc. 16,295,689 16,870,621 68,225 Salesforce.com Inc. 14,371,528 14,406,609 40,700 ServiceNow Inc. 13,385,831 14,918,560 122,650 Starbucks Corp. 13,859,562 14,000,582 46,850 Stryker Corp. 11,735,712 12,770,139 43,000 Thermo Fisher Scientific Inc. 16,418,970 18,137,144 87,050 Thor Industries Inc. 8,237,807 8,396,339 43,900 Trade Desk Inc. 12,427,341 14,806,796 75,200 Visa Inc., Class A 15,377,447 18,345,750 334,560,915 371,689,438 NETHERLANDS (7.1%) 99,850 Airbus Group N.V. 17,277,385 18,972,242 57,317 ASML Holding N.V. 16,831,333 22,010,008 34,108,718 40,982,250 CAYMAN ISLANDS (5.5%) 372,250 Alibaba Group Holding Ltd. 11,608,407 12,851,050 68,850 Alibaba Group Holding Ltd., ADR 16,584,525 18,959,875 28,192,932 31,810,925 FRANCE (5.4%) 17,549 Kering S.A. 13,753,524 14,954,893 71,140 Pernod-Ricard S.A. 16,582,323 16,513,107 30,335,847 31,468,000 TAIWAN (3.1%) 239,200 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 14,445,397 18,043,806 SPAIN (2.9%) 304,074 Cellnex Telecom S.A.U. 12,460,060 16,990,170 GERMANY (2.5%) 483,478 Infineon Technologies AG 13,165,297 14,299,250 JAPAN (2.4%) 364,300 Freee K.K. 11,473,233 14,037,509 ITALY (2.3%) 230,136 Moncler SpA 11,999,730 13,428,594

LONG POSITIONS (100.8%) (cont’d) PORTUGAL (2.0%) 2,092,000 Energias de Portugal S.A. 11,514,246 11,771,327 U.K. (1.5%) 189,534 Persimmon PLC 7,914,422 8,783,927 FINLAND (1.5%) 192,756 Neste Oil OYJ 8,257,094 8,707,156 CANADA (0.3%) 2,000,000 Government of Canada 1.25% 02/01/2020 1,996,860 1,998,886 Total Long Positions 520,424,751 584,011,238 SHORT POSITIONS (-6.6%) FRANCE (-1.5%) (148,816) Publicis Groupe (9,220,447) (8,746,361) EXCHANGE-TRADED FUND(S) (-1.5%) (81,800) Industrial Select Sector SPDR Fund (8,820,258) (8,652,505) SWITZERLAND (-1.4%) (23,021) Swatch Group AG (8,362,154) (8,340,271) JAPAN (-1.2%) (158,000) Dentsu Inc. (7,313,789) (7,126,482) U.S.A. (-1.0%) (116,350) Harley-Davidson Inc. (5,331,555) (5,618,022) Total Short Positions (39,048,203) (38,483,641)

Commissions and other portfolio transaction costs (527,051)


Foreign Currency Forward Contract(s) (0.6%) (see Schedule A) 3,189,776

Long Option Contract(s) (0.1%) (see Schedule B) 555,042 403,171

Total Investment Portfolio (94.9%) 481,404,539 549,120,544 Other Net Assets (Liabilities) (5.1%) 30,237,997 Net Assets Attributable to Holders of Redeemable Units (100.0%) 579,358,541



AverageCost ($)

FairValue ($)


AverageCost ($)

FairValue ($)




Schedule AForeign Currency Forward Contract(s) (0.6%)



DateContract(s)


Gain (Loss) ($)1 Royal Bank of Canada A-1+ 15-Jan-20 1.74 (9,300,000) British Pound 16,173,379 Canadian $ 175,410 1 Royal Bank of Canada A-1+ 15-Jan-20 0.58 (5,393,060) Canadian $ 3,150,000 British Pound 25,533 1 Royal Bank of Canada A-1+ 15-Jan-20 1.47 (5,735,765) Canadian $ 3,900,000 Euro (51,613)1 Royal Bank of Canada A-1+ 15-Jan-20 1.32 (6,579,480) Canadian $ 5,000,000 US $ (88,298)1 Royal Bank of Canada A-1+ 15-Jan-20 0.75 (8,985,509) Canadian $ 6,700,000 Swiss Franc 13,817 1 Royal Bank of Canada A-1+ 15-Jan-20 1.47 (94,800,000) Euro 139,199,011 Canadian $ 1,030,589 1 Royal Bank of Canada A-1+ 15-Jan-20 1.46 (2,050,000) Euro 2,991,823 Canadian $ 4,020 1 Royal Bank of Canada A-1+ 15-Jan-20 0.17 (74,000,000) Hong Kong Dollars 12,472,888 Canadian $ 146,158 1 Royal Bank of Canada A-1+ 15-Jan-20 0.01 (915,000,000) Japanese Yen 11,016,863 Canadian $ 75,664 1 Royal Bank of Canada A-1+ 15-Jan-20 1.34 (6,700,000) Swiss Franc 9,005,388 Canadian $ 6,045 1 Royal Bank of Canada A-1+ 15-Jan-20 1.32 (1,000,000) US $ 1,315,593 Canadian $ 17,357 1 Royal Bank of Canada A-1+ 15-Jan-20 1.32 (21,600,000) US $ 28,412,165 Canadian $ 370,270 1 Royal Bank of Canada A-1+ 15-Jan-20 1.31 (22,300,000) US $ 29,198,817 Canadian $ 248,274 1 Royal Bank of Canada A-1+ 15-Jan-20 1.31 (2,500,000) US $ 3,282,840 Canadian $ 37,255 1 Royal Bank of Canada A-1+ 15-Jan-20 1.32 (69,800,000) US $ 91,796,144 Canadian $ 1,179,295 Total Foreign Currency Forward Contract(s) Value 3,189,776

Schedule BLong Option Contract(s) (0.1%)

Premium Paid FairContract(s) Underlying Interest Expiry Date Strike Price ($) Currency (Received) ($) Value ($)2,234 Alibaba Group Holding Ltd. Call @ 220.00 17-Jan-20 220.00 US $ 555,042 403,171 Total Long Option Contract(s) Value 555,042 403,171














NetExposure

(in $000’s) (in $000’s) (in $000’s) (in $000’s)Derivative assets - Foreign currency forward contracts 3,330 (140) - 3,190Derivative assets - Swaps and swaptions - - - -Total 3,330 (140) - 3,190Derivative liabilities - Foreign currency forward contracts (140) 140 - -Derivative liabilities - Swaps and swaptions - - - -Total (140) 140 - -





NetExposure








2019 2018Brokerage commissions 3,025 85Soft dollar commissions† 278 35



Class A 2019 2018 46,213 - 673,644 46,213 - - (131,650) - 588,207 46,213

Class F 2019 2018 96,109 - 4,265,756 96,109 - - (1,576,865) - 2,785,000 96,109

Class I 2019 2018 7,476,878 - 43,249,118 7,474,538 - 2,340 (349,169) - 50,376,827 7,476,878

Class W 2019 2018 - - 55,352 - - - - - 55,352 -






Annual management

fee rate:


fee rate:

Class A 1.900 0.22Class F 0.900 0.22Class I Paid directly by investor Paid directly by investorClass W Paid directly by investor 0.16


2019 2018Loaned 42,960 -Collateral (non-cash) 43,819 -





2019Capital loss carried forward: 11,511Non-capital losses expiring:2029 -2030 -2031 -2032 -2033 -2034 -2035 -2036 -2037 -2038 -2039 5,438Total 5,438





Other Price RiskAs 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.

As at December 31, 2019, had the equities in the investment portfolio increased or decreased by 10% (December 31, 2018 - 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 $54,353,000 (December 31, 2018 - $2,442,000). In practice, actual results may differ from this analysis and the difference may be material.

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


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 401,799 (145,675) 256,124 44.2 Japanese Yen 13,221 (10,933) 2,288 0.4 Hong Kong Dollar 13,003 (12,330) 673 0.1 British Pound 10,713 (10,576) 137 - Swedish Krona 48 - 48 - Australian Dollar 2 - 2 - Swiss Franc (633) - (633) (0.1)Euro 134,600 (135,357) (757) (0.1)Total 572,753 (314,871) 257,882 44.5


Currency


Net Exposure

Net Assets

(%)(in $000’s) (in $000’s) (in $000’s)U.S. Dollar 44,112 (8,599) 35,513 48.3 Japanese Yen 1,615 (1,520) 95 0.1 Swiss Franc 89 - 89 0.1 Swedish Krona 1,579 (1,515) 64 0.1 Hong Kong Dollar 2,332 (2,283) 49 0.1 Euro 3,018 (3,049) (31) - British Pound 2,516 (2,610) (94) (0.1)Total 55,261 (19,576) 35,685 48.6


As at December 31, 2019, had the Canadian dollar strengthened or weakened by 10% (December 31, 2018 - 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 $25,788,000 (December 31, 2018 - $3,569,000). In practice, the actual results may differ from this analysis and the difference may be material.

Interest Rate RiskAs 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 and derivatives.




as at December 31, 2018 Categories Net Assets (%)Long PositionsOther Net Assets (Liabilities) 67.2 U.S.A. 35.7 U.K. 2.6 Germany 1.5 Sweden 1.5 France 1.0 China 0.6 Option Contract(s) 0.3 Foreign Currency Forward Contract(s) (0.7)Total Long Positions 109.7

Short PositionsU.K. (0.8)Sweden (0.9)Japan (0.9)U.S.A. (1.7)Germany (2.5)Switzerland (2.9)Total Short Positions (9.7)

Credit RiskThe Fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per the table below.

as at December 31, 2019Credit Rating^* Net Assets (%)AAA/Aaa/A++ 0.9 AA/Aa/A+ 0.1 Total 1.0




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









(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 545,009 37,004 - 582,013 Bonds - 1,999 - 1,999 Foreign currency forward contract(s), net - 3,190 - 3,190 Option contract(s) 403 - - 403 Total 545,412 42,193 - 587,605


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities (29,831) - - (29,831)Exchange-Traded Fund(s) (8,653) - - (8,653)Total (38,484) - - (38,484)


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities 31,578 - - 31,578 Foreign currency forward contract(s), net - (520) - (520)Option contract(s) 209 - - 209 Total 31,787 (520) - 31,267


(in $000’s) (in $000’s) (in $000’s) (in $000’s)Equities (7,156) - - (7,156)Total (7,156) - - (7,156)




Alternative Investments Funds

1. THE FUNDS

The following Funds (the Funds) are open-ended mutual fund trusts created under the laws of Province

of Ontario by declarations of trust. The address of the Funds’ registered office is 2 Queen Street East,

Twentieth Floor, Toronto, Ontario, M5C 3G7. CI Investments Inc. is the manager and the trustee (the

Manager and the Trustee) to the Funds. RBC Investor Services Trust is the custodian (the Custodian)

of the Funds.

These financial statements were authorized for issue by the Manager on March 12, 2020. The Manager

is a subsidiary of CI Financial Corp.

Each Fund is considered an “Alternative Fund”, meaning it has received exemptions from National

Instrument 81-102 - Investment Funds to permit it to use strategies generally prohibited by conventional

mutual funds, such as the ability to invest more than 10% of its net asset value in securities of a single

issuer, the ability to borrow cash, to short sell beyond the limits prescribed for conventional mutual

funds and to generally employ leverage.

CI Lawrence Park Alternative Investment Grade Credit Fund (formerly Lawrence Park Alternative

Investment Grade Credit Fund), investment objective is to generate consistent positive total returns

with an emphasis on capital preservation and low correlation to traditional equity and fixed income

markets. The Fund will be primarily invested in the investment grade debt of corporations and financial

institutions in the developed world.

CI Marret Alternative Absolute Return Bond Fund (formerly Marret Alternative Absolute Return Bond

Fund), investment objective is to provide positive absolute returns with low volatility over a market

cycle regardless of market conditions or general market direction, by primarily investing in debt

instruments across the credit spectrum including cash, government debt, investment grade corporate

debt, high yield debt, credit derivatives and other income-producing securities throughout the world.

CI Munro Alternative Global Growth Fund (formerly Munro Alternative Global Growth Fund), investment

objective is to generate risk-adjusted, absolute returns through exposure to global growth equities over

the medium to long term, while maintaining a capital preservation mindset.

The Funds were created under the prospectus on October 30, 2018. Each of the Funds offers Class A,

Class F, Class I and Class W units. Class A units are available to all investors. Class F units are only

available to investors who participate in fee-based programs as described in the Funds’ simplified

prospectus. Class I units are only available to institutional clients and investors who have been

approved by the Manager and have entered into a Class I Account Agreement.

Effective as of July 8, 2019, the CI Marret Alternative Absolute Return Bond Fund offers Class AH,

Class FH and Class IH units. Class AH units, Class FH units and Class IH units are similar to Class A

units, Class F units and Class I units, respectively, and are offered for purchase in U.S. dollars only.

Effective as of September 27, 2019, each of the Funds offers Class W units to qualified investors.

The Statements of Financial Position is as at December 31, 2019 and 2018. The Statements of

Comprehensive Income, Changes in Net Assets Attributable to Holders of Redeemable Units and Cash

Flows are for the year ended December 31, 2019 and for the period from inception to December 31, 2018.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

These financial statements have been prepared in compliance with International Financial Reporting

Standards (IFRS) as published by the International Accounting Standards Board.

The following is a summary of the significant accounting policies of the Funds:

a. Classification and recognition of financial instruments

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

for managing those financial assets and the contractual cash flow characteristics of the financial

assets. The Funds’ portfolios of financial assets are managed, and performance is evaluated on a

fair value basis. The Funds are primarily focused on fair value information and use that information to

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

of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale.

The collection of contractual cash flows is only incidental to achieving the Funds’ business model’s

objective. Consequently, all investments and derivatives are measured at fair value through profit or

loss (FVTPL). Short sales are classified as financial liabilities at FVTPL.

The Funds’ obligations for net assets attributable to holders of redeemable units are presented 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 assets

and liabilities reflect the amount required to be received or paid, discounted, when appropriate, at the

effective rate of interest.

Financial assets and liabilities are offset, and the net amounts are presented in the Statements of

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

course of business, the Funds enter into various master netting agreements or similar agreements

that do not meet the criteria for offsetting in the Statements of Financial Position, but still allow for

the related amounts to be offset in certain circumstances, such as bankruptcy or termination of the

contracts.

b. Fair value of financial instruments

At the financial reporting date, listed securities are valued based on the last traded market price

for financial assets and financial liabilities where the last traded price falls within the day’s bid-ask

spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager

determines the point within the bid-ask spread that is most representative of fair value based on the

existing market conditions. Unlisted securities are valued based on price quotations received from

recognized investment dealers, or failing that, their fair value is determined by the Manager based

on the latest reported information available. Unlisted warrants, if any, are valued based on a pricing

model which considers factors such as the market value of the underlying security, strike 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.

The fair value of securities where no market price exists is determined by using valuation models that

may be based, in part, on assumptions that are 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 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 that they are reasonable. However, because of

the inherent uncertainty of valuation, the estimated fair values for these securities may be materially

different from the values that would have been used had a ready market for the investment existed.

The fair values of securities where no market price exists are affected by the perceived credit risks of

the issuer, predictability of cash flows and the length of time to maturity.

Notes to the Financial Statements



c. Cash

Cash is comprised of cash on deposit and bank overdraft.

d. Cost of investments

Cost of investments represents the amount paid for each security and is determined on an average cost

basis excluding commissions and transactions costs. Average cost does not include amortization of

premiums or discounts on fixed income securities with the exception of zero coupon bonds.

e. Investment transactions and income recognition

Investment transactions are recorded on the trade date - the date on which a Fund commits to

purchase or sell the investment. The interest for distribution purposes disclosed in the Statements

of Comprehensive Income, represents the coupon interest received by the Funds and is accounted for

on an accrual basis. The Funds do not amortize premiums paid or discounts received on the purchase

of fixed income securities, except for zero coupon bonds which are amortized on a straight-line basis.

Dividends and distributions from investments are recognized on the ex-dividend/ex-distribution date.

Distributions received from income trust(s) and underlying fund(s) holdings are recorded as income,

capital gains or a return of capital based on the best information available to the Manager. Due to the

nature of these investments, actual allocations could vary from this information. Distributions from

income trust(s) and underlying fund(s) that are treated as a return of capital for income tax purposes

reduce the average cost of the income trust(s) and underlying fund(s).

f. Foreign exchange

The Funds’ functional and presentation currency is the Canadian dollar. Foreign currency amounts are

translated into the functional currency as follows: fair value of investments, foreign currency forward

contracts and other assets and liabilities at the closing rate of exchange on each business day; income

and expenses, purchases and sales and settlements of investments at the rate of exchange prevailing

on the respective dates of such transactions. Foreign exchange gains (losses) relating to cash are

presented as “Foreign exchange gain (loss) on cash” and those relating to other financial assets and

liabilities are presented within “Net realized gain (loss) on sale of investments and derivatives” and

“Change in unrealized appreciation (depreciation) in value of investments and derivatives” in the

Statements of Comprehensive Income.

g. Unit valuation

Net asset value (NAV) per unit of each class is calculated at the end of each day on which the Manager

is open for a full day of business by dividing the total NAV of each class of a Fund by the number of

units of that class outstanding.

The NAV of each class is computed by calculating the value of that class’ proportionate share of

the Fund’s assets less that class’ proportionate share of the Fund’s common liabilities and less class

specific liabilities. Expenses directly attributable to a class are charged to that class. Other income and

expenses, and gains and losses, are allocated to each class proportionately based upon the relative

total NAV of each class.

As at December 31, 2019 and 2018, there were no differences between the NAV used for transactions

with unitholders and the net assets attributable to holders of redeemable units used for reporting

purposes under IFRS.

h. Classification of units

The units of each of the Funds do not meet the “identical features” criteria under IAS 32.16A(c) to be

classified as equity and therefore, have been classified as liabilities.

i. Commissions and other portfolio transaction costs

Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities, are

included in “Commissions and other portfolio transaction costs” in the Statements of Comprehensive

Income.

j. Increase (decrease) in net assets attributable to holders of redeemable units per unit

“Increase (decrease) in net assets attributable to holders of redeemable units per unit” in the

Statements of Comprehensive Income is calculated by dividing the increase (decrease) in net assets

attributable to holders of redeemable units of each class of a Fund by the weighted average number of

units of that class outstanding during the year.

k. Foreign currency forward contracts

A Fund may, from time to time, enter into foreign currency forward contracts. Foreign currency forward

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

for counterparty risk. All unrealized gains (losses) arising from foreign currency forward contracts are

recorded as part of “Change in unrealized appreciation (depreciation) in value of investments and

derivatives” in the Statements of Comprehensive Income and “Unrealized gain (loss) on futures and

foreign currency forward contracts” in the Statements of Financial Position until the contracts are

closed out or expire, at which time the gains (losses) are realized and reported as “Net realized gain

(loss) on sale of investments and derivatives” in the Statements of Comprehensive Income.

l. Futures contracts

Futures contracts are valued on each valuation day using the closing price posted on the relevant

public exchange. Cash and cash equivalents are held as margin against futures contracts which are

reflected in the “Daily variation margin on derivative instruments” in the Statements of Financial

Position. All unrealized gains (losses) arising from futures contracts are recorded as part of “Change

in unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of

Comprehensive Income and “Unrealized gain (loss) on futures and foreign currency forward contracts”

in the Statements of Financial Position until the contracts are closed out or expire, at which time

the gains (losses) are realized and reported as “Net realized gain (loss) on sale of investments and

derivatives” in the Statements of Comprehensive Income.

m. Options contracts

Over-the-counter (OTC) options are valued using the Black Scholes model, whereas, exchange traded

options are valued at last traded price taken from the exchange. Options contracts are valued each

valuation day according to the gain or loss that would be realized if the contracts were closed

out. All unrealized gains (losses) arising from option contracts are recorded as part of “Change in

unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of

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

sale of investments and derivatives”. Any expired option premiums are recorded as part of “Derivative

income (loss)” in the Statements of Comprehensive Income.

n. Total return swaps

A total return swap is an agreement between a Fund and a counterparty where single or multiple

cash flows are exchanged based on the price of an underlying reference asset and based on a fixed

or variable rate. Over the term of the contract, the Fund will pay to the counterparty a periodic stream

of payments based on fixed or variable rate. Such periodic payments paid are accrued daily and are

included in the Statement of Comprehensive Income in “Interest expense”. At the maturity date, a net

cash flow is exchanged where the total return is equivalent to the return of the underlying reference

asset less a rate, if any. As a receiver, the Fund would receive payments based on any net positive

total return and would owe payments in the event of a net negative total return.

Notes to the Financial Statements (cont’d)



The unrealized gain or loss on total return swaps is reflected in the Statements of Comprehensive

Income as part of “Change in unrealized appreciation (depreciation) in value of investments and

derivatives”. When the total return swaps contracts are closed out, any gains (losses) are recorded as

“Net realized gain (loss) on sale of investments and derivatives” in the Statements of Comprehensive

Income.

o. Mortgage-backed and asset-backed securities

Certain Funds invest in mortgage-related and other asset-backed securities. These securities may

include: mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-

backed securities, asset-backed securities, collateralized debt obligations and other securities that

directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans

on real property. The debt and equity securities issued by these securities may include tranches with

varying levels of subordination. These securities may provide a monthly payment which consists of

both interest and principal payments.

Mortgage-related securities are created from pools of residential or commercial mortgage loans,

including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks

and others. Asset-backed securities are created from many types of assets, including auto loans, credit

card receivables, home equity loans and student loans.

Mortgage-related and asset-backed securities are issued as separate tranches, or classes, of securities

within each deal. The securities are also normally valued by pricing service providers that use broker-

dealer quotations or valuation estimates from their internal pricing models. The pricing models for

these securities usually consider tranche-level attributes, current market data, estimated cash-flows,

and market-based yield spreads for each tranche and incorporate deal collateral performance, as

available. The carrying values of mortgage-related and other asset-backed securities are included in

“Investments” in the Statements of Financial Position. The change in fair values of mortgage-related

and other asset-backed securities are included in the Statements of Comprehensive Income in “Change

in unrealized appreciation (depreciation) in value of investments and derivatives”.

p. Short selling

When a Fund sells a security short, it will borrow that security from a broker to complete the sale. As

the Fund borrows a security from the broker, the Fund is required to maintain a margin account with

the broker containing cash or liquid securities. The cash held on margin in respect of short sale activity

is included in the “Collateral on deposit for short sales” in the Statements of Financial Position. The

maximum loss on securities sold short can be unlimited. The Fund will incur a loss as a result of a short

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

security declines in price between those dates. The gain or loss that would be realized if the position

was to be closed out on the valuation date is reflected in the Statements of Comprehensive Income

as part of “Change in unrealized appreciation (depreciation) in value of investments and derivatives”.

When the short position is closed out, gains and losses are realized and included in “Net realized gain

(loss) on sale of investments and derivatives” in the Statements of Comprehensive Income. Fees paid

to a broker for borrowing a security are included in “Securities borrowing fees” in the Statements of

Comprehensive Income.

q. Offsetting of financial instruments

The disclosures set out in the Offsetting of Financial Instruments tables in the Fund Specific Notes

to Financial Statements of each Fund, where applicable, include foreign currency forward contracts

assets and liabilities that are subject to an enforceable master netting arrangement. Transactions

with individual Counterparties are governed by separate master netting agreements. Each agreement

allows for net settlement of certain open contracts where the Funds and respective counterparty both

elect to settle on a net basis. In the absence of such an election, contracts will be settled on a gross

basis. However, each party to the master netting agreement will have the option to settle all open

contracts on a net basis in the event of default of the other party.

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

ISDA Master Agreements maintain provisions for general obligations, representations, agreements,

collateral and events of default or termination. Events of termination include conditions that may

entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions

under the applicable ISDA Master Agreement. Any election to terminate early could be material to the

financial statements. The fair value of OTC financial derivative transactions net of collateral received in

or pledged by counterparty is disclosed in the Fund Specific Notes to Financial Statements.

Funds may be subject to various master agreements or netting arrangements with select counterparties.

These master agreements reduce the counterparty risk associated with relevant transactions by

specifying credit protection mechanisms and providing standardization that improves legal certainty.

Since different types of transactions have different mechanics and are sometimes traded out of

different legal entities of a particular counterparty organization, each type of transaction may be

covered by a different master agreement resulting in the need for multiple agreements with 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 a default with

respect to the transactions governed under a single agreement with a counterparty.

r. Investments in associates, joint ventures, subsidiaries and unconsolidated structured

entities

Subsidiaries are entities, including investments in other investment entities, over which a Fund has

control. A Fund controls an entity when it is exposed to, or has rights to, variable returns from its

involvement with the entity, and has the ability to affect those returns through its power over the entity.

Associates and joint ventures are investments over which a Fund has significant influence or joint

control. A structured entity is an entity that has been designed so that voting or similar rights are not

the dominant factors in deciding, who controls the entity, or when voting rights relate to administrative

tasks only and the relevant activities are directed by means of contractual arrangements.

The Manager has determined that underlying fund(s) or exchange-traded fund(s) (ETF(s)) held typically

by the Funds meet the definition of unconsolidated structured entities. Mortgage-backed securities

or asset-backed securities are also considered to be unconsolidated structured entities. The Funds

account for their investments in unconsolidated structured entities at FVTPL.

The Funds that invest in underlying fund(s) are subject to the terms and conditions of the respective

underlying fund(s)’ offering documents and are susceptible to market price risk arising from

uncertainties about future values of those underlying fund(s). All of the underlying fund(s) in the

investment portfolio are managed by portfolio managers who are compensated by the respective

underlying fund for their services. Such compensation generally consists of an asset-based fee and

is reflected in the valuation of each of the underlying fund(s), except when the Funds invest in certain

classes of the underlying fund(s) where the compensation to portfolio managers is negotiated and

paid outside of respective underlying fund. The underlying fund(s) finance their operations by issuing

redeemable units that entitle the holders to an equal beneficial interest in a respective underlying fund.

The Funds can redeem their investments in the underlying fund(s) on daily basis.




The Funds’ investments in underlying fund(s) or ETF(s) are accounted for at FVTPL and included in

“Investments” in the Statements of Financial Position. All unrealized gains (losses) arising from these

investments are recorded as part of “Change in unrealized appreciation (depreciation) in value of

investments and derivatives” in the Statements of Comprehensive Income until these investments are

sold, at which time the gains (losses) are realized and reflected in the Statements of Comprehensive

Income in “Net realized gain (loss) on sale of investments and derivatives”. The Funds’ maximum

exposure to loss from their interest in ETF(s), underlying fund(s) and mortgage/ asset-backed securities

is equal to the total fair value of their investments in these unconsolidated structured entities.

Additional information related to Interest in Unconsolidated Structured Entities for each of the Funds

appears under the Fund Specific Notes to Financial Statements, where applicable.

s. Withholding taxes

A Fund may, from time to time, incur withholding taxes imposed by certain countries on investment

income and capital gains. Such income and gains are recorded on a gross basis and the related

withholding taxes are shown separately in the Statements of Comprehensive Income.

t. Harmonized sales tax

Certain provinces including Ontario, Prince Edward Island, Nova Scotia, New Brunswick and

Newfoundland and Labrador (each a Participating Tax Jurisdiction) have harmonized their provincial

sales tax (PST) with the federal goods and services tax (GST). The Harmonized Sales Tax (HST) combines

the federal GST rate of 5% with the PST rate of the participating province. The province of Quebec also

applies the Quebec sales tax (QST) of 9.975%. The Provincial HST liability or refund is calculated using

the residency of unitholders and the value of their interest in the Fund as at specific times, rather than

the physical location of the Fund. The effective sales tax rate charged to each class of the Fund is based

on the unitholders’ proportionate investments by province, using each province’s HST rate, GST rate in

the case of non-participating provinces and/or QST rate. All amounts are presented as “Harmonized

sales tax” in the Statements of Comprehensive Income.

u. Non-cash transactions

The “Proceeds from issuance of redeemable units” and “Amounts paid on redemption of redeemable

units” in the Statements of Cash Flow exclude non-cash transactions.

3. CRITICAL ACCOUNTING JUDGMENTS AND ESTIMATES

The preparation of financial statements in accordance with IFRS requires management to make

judgments, estimates and assumptions that affect the application of accounting policies and reported

amounts of assets and liabilities at the reporting date and the reported amounts of income and

expenses during the reporting year. The following discusses the most significant accounting judgments

and estimates that the Funds have made in preparing their financial statements:

Fair value measurement of investments and derivatives not quoted in active market

The Funds may, from time to time, hold financial instruments that are not quoted in active

markets, such as unlisted securities, private securities or derivatives. Unlisted securities are

valued based on price quotations from recognized investment dealers, or failing that, their fair

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

part, on assumptions that are 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 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 that they are reasonable. However, because

of the inherent uncertainty of valuation, the estimated fair values for these securities may be

materially different from the values that would have been used had a ready market for the

investment existed. The fair values of private securities are affected by the perceived credit risks

of the issuer, predictability of cash flows and the length of time to maturity

Valuation models use observable data, to the extent practicable. However, areas such as credit

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

financial instruments.

The Funds consider observable data to be market data that is readily available, regularly

distributed and updated, reliable and verifiable, not proprietary, and provided by independent

sources that are actively involved in the relevant market.

The fair value of investments in underlying fund(s) that are not graded in active markets is

determined primarily by reference to the latest available net asset value of each units for each

underlying fund, as determined by the underlying fund(s)’ managers.

IFRS 10

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

one or more investors for the purpose of providing investment management services, commit to their

investors that their business purpose is to invest funds solely for returns from capital appreciation,

investment income, or both; and measure and evaluate the performance of their investments on a fair

value basis. Consequently, the Funds do not consolidate their investment in subsidiaries, if any, but

instead measure these at FVTPL, as required by the accounting standard.

4. REDEEMABLE UNITS

Redeemable units issued and outstanding represent the capital of each Fund.

Each Fund is authorized to issue an unlimited number of redeemable, transferable units of each class.

Generally, the Funds have no restrictions or specific capital requirements, except for the minimum

subscription/redemption amounts. The relevant changes pertaining to subscription and redemption of

each Fund’s units are disclosed in the Statements of Changes in Net Assets Attributable to Holders

of Redeemable Units. In accordance with the objectives and risk management policies outlined in

Notes 1 and 10, the Funds endeavour to invest subscriptions received in appropriate investments while

maintaining sufficient liquidity to meet redemptions through utilizing a short-term borrowing facility or

disposal of investments when necessary.

Redeemable unit transactions information appears in the Fund Specific Notes to Financial Statements

of each of the Funds.

In order to establish each individual class, the Manager has made initial investments in certain Funds.

As at December 31, the Manager held investments in the following Funds:

2019 2018

Fund (in $) (in $)

CI Lawrence Park Alternative Investment Grade Credit Fund 20,852 149,286

CI Munro Alternative Global Growth Fund 21,780 2,500,000

CI Marret Alternative Absolute Return Bond Fund 45,943 144,493




5. FEES AND OTHER EXPENSES

Management fees

The Manager of each Fund, in consideration of management fees, provides management services

required in the day-to-day operations of the Funds including management of the investment portfolio

of the Funds and provision of key management personnel.

The management fee is calculated based on a percentage of the net asset values of each class of a

Fund (other than Class I, Class IH and Class W) at the end of each business day and are subjected to

application taxes including HST, GST and QST.

Investors in Class I units and Class IH units are charged management fees directly as negotiated

between the investor and the Manager.

Investors in Class W units are charged management fees directly as negotiated between the investor

and the Manager.

Administration fees

The Manager bears all of the operating expenses of the Funds (other than certain taxes, borrowing

costs and new governmental fees) in return for an annual administration fee. Administration fees are

calculated as an annual percentage of the net asset value of each class of a Fund (other than Class I

and Class IH) at the end of each business day and are subjected to application taxes including HST,

GST and QST.

Investors in Class I units and Class IH units are charged administration fees directly as negotiated

between the investor and the Manager.

Refer to the Management and Administration Fees table in the Fund Specific Notes to the Financial

Statements for the management and administrative fee rates applicable to each class of each of the

Funds.

Performance fees

The Manager receives a performance fee in respect of each class of units of a Fund. Each class of

securities of a Fund will pay the Manager a performance fee at the end of each calendar year equal

to: (i) 10% (in the case of CI Lawrence Park Alternative Investment Grade Credit Fund and CI Marret

Alternative Absolute Return Bond Fund) or 15% (in the case of CI Munro Alternative Global Growth

Fund) of the amount by which the net asset value per unit at the end of such calendar year (before

giving effect to any distributions by the Fund since the High Water Mark (as defined below) was

determined, and adjusted to exclude the accrual of the performance fee during the calendar year)

exceeds the High Water Mark multiplied by one plus the Hurdle Rate (as defined below); multiplied by

the number of securities of that class outstanding at the end of such calendar year. For each class of

a Fund, the “High Water Mark” means (i) the initial net asset value per unit, or (ii) the net asset value

at the end of the most recent calendar year for which a performance fee was paid after giving effect

to all distributions in, and payments of performance fees for, such calendar year. The High Water Mark

will be reduced by the amount of any distribution paid in respect of units of a Fund that represents a

return of capital.

The “Hurdle Rate” for each Fund is as follows:

CI Lawrence Park Alternative Investment Grade Credit Fund: the return of the FTSE Canada All

Corporate Bond Index calculated since the last business day of the most recent calendar year for

which a performance fee was paid (except in cases where the Hurdle Rate is negative, as describe in

the paragraph below).

CI Marret Alternative Absolute Return Bond Fund: the 10-year Government of Canada bond yield plus

1.00%.

CI Munro Alternative Global Growth Fund: the 10-year Government of Canada bond yield plus 3.50%.

In the event that the Hurdle Rate for a Fund as determined in accordance with the foregoing is negative,

the Hurdle Rate will be assumed to be nil for the purposes of calculating the performance fee. If the

Hurdle Rate for CI Lawrence Park Alternative Investment Grade Credit Fund is negative, the Hurdle Rate

for subsequent year will be calculated as the return on the FTSE Canada All Corporate Bond Index from

the last business day of the calendar year where the Hurdle Rate was positive, and a performance fee

was paid. If any securities of a Fund are redeemed prior to the end of a calendar year, a performance

fee will be payable on the redemption date in respect of each such security, as if the redemption date

were the end of the calendar year, in the same manner as described above. For greater certainty, the

Hurdle Rate for CI Marret Alternative Absolute Return Bond Fund and CI Munro Alternative Global

Growth Fund will be prorated in the calculation of the performance fee on a security redeemed during

the calendar year. Performance fees will be calculated and accrued for each class on a daily basis

during each calendar year. Performance fees are subject to applicable taxes including G.S.T., H.S.T.

and any applicable provincial sales taxes. The Manager reserve the right, based on its discretion, to

discontinue, decrease or waive the performance fee payable by any Fund at any time.

6. SECURITIES LENDING

Certain Funds have entered into a securities lending program with their Custodian. The aggregate

market value of all securities loaned by a Fund cannot exceed 50% of the assets of the Fund. A Fund

will receive collateral of at least 102% of the value of securities on loan. Collateral will generally

be comprised of cash and obligations of or guaranteed by the Government of Canada or a province

thereof, or by the United States government or its agencies, but may include obligations of other

governments with appropriate credit ratings. For those Funds participating in the program, amounts for

securities loaned and the collateral received as well as reconciliation between gross securities lending

revenue and securities lending revenue received by each Fund appear on the Fund Specific Notes to

Financial Statements. Revenue from securities lending is included in “Securities lending revenue” in

the Statements of Comprehensive Income.

7. TAXATION

The Funds qualify as a mutual fund trust under the Income Tax Act (Canada). All of the Funds’ net income

for tax purposes and sufficient net capital gains realized in any year are required to be distributed to

unitholders such that no income tax is payable by each of the Funds. As a result, the Funds do not

record income taxes. Since the Funds do not record income taxes, the tax benefit of capital and non-

capital losses has not been reflected in the Statements of Financial Position 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, a Fund may distribute more than it earns. This excess

distribution is a return of capital and is not taxable to unitholders.

Refer to Loss Carry Forwards table in the Fund Specific Notes to Financial Statements for further

information relating to loss carry forwards.

8. REINVESTMENT OF DISTRIBUTIONS

When a Fund pays a distribution to a unitholder, it will be paid in the same currency in which the units

are held. Distributions are automatically reinvested without charge in the same Fund or paid out in cash

to the unitholder. The Manager may change the distribution policy at its discretion.




9. RELATED PARTY TRANSACTIONS

The Funds may have direct or indirect holdings in CI Financial Corp., or its affiliates or other investments

fund(s) managed by the Manager as identified in the Schedule of Investment Portfolio and the Fund

Specific Notes to the Financial Statements, where applicable.

The Manager of the Funds may, from time to time, make initial investments in certain classes of

certain Funds to help establish a class or a Fund. Details of the investments made by the Manager

are disclosed in Note 4.

Inter fund trading

Inter fund trading occurs when a Fund purchases or sells a security of any issuer from or to another

Fund managed by the Manager. These transactions are executed through market intermediaries and

under prevailing market terms and conditions. The Independent Review Committee (IRC) reviews

such transactions during scheduled meetings. During the year ended December 31, 2019, the Funds

executed inter fund trades.

Related issuer trading

Related issuer trading occurs when a Fund purchases or sells securities of CI Financial Corp.

These transactions are executed through market intermediaries and under prevailing market

terms and conditions. The IRC reviews such transactions during scheduled meetings. During the

year ended December 31, 2019, the Funds engaged in related issuer trading or held position(s) in

CI Financial Corp., at the end of the year.

10. FINANCIAL INSTRUMENTS RISK

Risk management

The Funds are exposed to a variety of financial instruments risks: leverage and short selling risk,

concentration risk, credit risk, liquidity risk and market risk (including other price risk, currency risk

and interest rate risk). The level of risk to which each Fund is exposed to depends on the investment

objective and the type of investments the Fund holds. The value of investments within a portfolio can

fluctuate daily as a result of changes in prevailing interest rates, economic and market conditions

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,

regular monitoring of the Funds’ positions and market events, diversification of the investment portfolio

by asset type, country, sector, term to maturity within the constraints of the stated objectives, and

through the usage of derivatives to hedge certain risk exposures.

Leverage and short selling risk

When a Fund makes investments in derivatives, borrows cash for investment purposes, or uses physical

short sales on equities or other portfolio assets, leverage may be introduced into the Fund. Leverage

occurs when the Fund’s notional exposure to underlying assets is greater than the amount invested. It

is an investment technique the magnifies gains and losses. Consequently, any adverse change in the

value or level of the underlying asset, rate or index may amplify losses compared to those that would

have been incurred if the underlying asset had been directly held by the Fund and may result in losses

greater than the amount invested in the derivative itself. Leverage may increase volatility, may impair

the Fund’s liquidity and may cause the Fund to liquidate positions at unfavorable times.

The CI Lawrence Park Alternative Investment Grade Credit Fund, CI Munro Alternative Global Growth

Fund and CI Marret Alternative Absolute Return Bond Fund, exercise 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

experience difficulties repurchasing and returning the borrowed securities if a liquid market for the

securities does not exist. The lender may also recall the borrowed securities at any time. The lender

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.

Each of the Funds may borrow cash up to a maximum of 50% of each Fund’s net asset value and may

sell securities short, whereby the aggregate market value of securities sold short will be limited to 50%

of each Fund’s net asset value. The combined use of short selling and cash borrowing by each of the

Funds is subject to an overall limit of 50% of each Fund’s net asset value.

During the year ended December 31, 2019, the lowest aggregate amount of leverage exercised by

the CI Lawrence Park Alternative Investment Grade Credit Fund was $28.0 million (32.4% of NAV)

(December 31, 2018 - $16.8 million, 19.9% of NAV) and the highest aggregate amount of leverage

used during the year was $555.4 million (140.4% of NAV) (December 31, 2018 - $40.2 million, 48.2%

of NAV).

During the year ended December 31, 2019, the lowest aggregate amount of leverage exercised

by the CI Munro Alternative Global Growth Fund was $4.9 million (5.3% of NAV) (December 31, 2018 -

$1.2 million, 2.4% of NAV) and the highest aggregate amount of leverage used during the year was

$59.8 million (11.4% NAV) (December 31, 2018 - $7.2 million, 9.7% of NAV).

During the year ended December 31, 2019, the lowest aggregate amount of leverage exercised by

the CI Marret Alternative Absolute Return Bond Fund was nil (nil of NAV) and the highest aggregate

amount of leverage used during the year was $4.0 million (4.7% NAV).

As at December 31, 2019, the CI Lawrence Park Alternative Investment Grade Credit Fund had pledged

securities as collateral to the prime broker equal to $366,612,179 (December 31, 2018 - $50,809,107)

in respect to short sales.

As at December 31, 2019, the CI Munro Alternative Global Growth Fund had pledged securities as

collateral to the prime broker equal to $18,621,866 (December 31, 2018 - $3,938,826) in respect to

short sales.

As at December 31, 2019, the CI Marret Absolute Return Bond Fund had pledged securities as collateral

to the prime broker equal to $1,398,082 (December 31, 2018 - nil) in respect to short sales.

Concentration risk

Concentration risk arises as a result of the concentration of exposures within the same category,

whether it is a geographical allocation, asset type, industry sector or counterparty.

Credit risk

Credit risk is the risk that a security issuer or counterparty to a financial instrument will fail to meet

its financial obligations. The fair value of a debt instrument includes consideration for the credit

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

derivative instruments is based on each Fund’s unrealized gain on the contractual obligations with the

counterparty as at the reporting date. The credit rating of a counterparty to a derivative instrument is

disclosed in Schedule of Investment Portfolio or in Fund Specific Notes to Financial Statements section




of the financial statements of each Fund, if applicable. The credit risk exposure of the Fund’s other

assets is represented by their carrying amount as disclosed in the Statements of Financial Position.

Credit ratings for debt securities, preferred securities and derivative instruments are obtained from

S&P Global Ratings, where available, otherwise ratings are obtained from: Moody’s Investors Service

or Dominion Bond Rating Service, respectively. Credit ratings can be either long-term or short-term.

Short-term credit ratings are generally assigned to those obligations and derivative instruments

considered short-term in nature. The table below provides a cross-reference between the long-term

credit ratings disclosed in the Credit Rating table inclusive of the short-term credit ratings disclosed in

the derivatives schedules in the Schedule of Investment Portfolio.

Credit Rating as per Credit Risk Table Credit Rating as per Derivative Schedules

AAA/Aaa/A++ A-1+

AA/Aa/A+ A-1, A-2, A-3

A B, B-1

BBB/Baa/B++ B-2

BB/Ba/B+ B-3

B C

CCC/Caa/C++ -

CC/Ca/C+ -

C and Lower D

Not Rated WR

Cash balances, with exception of restricted cash balances and margin accounts, 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. As at December 31, 2019, the credit rating of the

Custodian was AA- (December 31, 2018 – AA).

All transactions are made through approved brokers and are settled on delivery using each Fund’s

prime brokers Scotia Capital Inc. and the Canadian Imperial Bank of Commerce. The risk of default

is considered minimal as delivery of investments sold is made only when each Fund has received

payment. Payment is made on purchases once the investments have been received by each Fund.

Should either party not meet its obligation, the trade will fail.

The credit ratings of the Scotia Capital Inc. and the Canadian Imperial Bank of Commerce as at

December 31, 2019 were A+ and AA, respectively (December 31, 2018 – A+ and AA-, respectively).

All transactions executed by a Fund in listed securities are settled/paid for upon delivery using

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

received by the broker. The trade will fail if either party fails to meet its obligation.

Liquidity risk

Liquidity risk is the risk that a Fund may not be able to settle or meet its obligations, on time or at a

reasonable price. The Funds are exposed to daily cash redemption of redeemable units. Therefore,

the Funds invest majority of their assets in investments that are traded in active markets and can

be readily disposed of. In addition, the Funds retain sufficient cash and cash equivalents positions to

maintain liquidity. From time to time, the Funds may enter into derivative contracts or invest in unlisted

securities that may not trade in an organized market and may be illiquid. All financial liabilities are due

within three months.

Market risk

The Funds’ investments are subject to market risk which is the risk that the fair value of future cash

flows of a financial instrument will fluctuate due to changes in market conditions.

Other price risk

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

value of each investment is influenced by the outlook of the issuer and by general economic and

political conditions, as well as industry and market trends. All securities present a risk of loss of

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. On written call

options, short future positions and on equity and debt sold short, the maximum loss of capital

can be unlimited.

Other assets and liabilities are monetary items that are short-term in nature and therefore are not

subject to significant other price risk.

Currency risk

Currency risk arises from financial instruments that are denominated in a currency other than the

functional currency of the Funds. As a result, the Funds may be exposed to the risk that the value

of securities denominated in other currencies will fluctuate due to changes in exchange rates.

The Schedule of Investment Portfolio identifies all bonds and derivative 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 Funds’ functional currency to

determine their fair value.

Interest rate risk

Interest rate risk is the risk that the fair value of interest-bearing investments 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 trust(s) will be affected by changes in applicable interest rates.

If interest rates fall, the fair value of existing debt securities may increase due to the 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 units, convertible securities are generally less affected by interest

rate fluctuations than other debt securities.

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 funds,

exchange-traded warrants, futures contracts and traded options.

Financial instruments that trade in markets that are not considered to be active but are valued based

on quoted market prices, dealer quotations or alternative pricing sources supported by observable

inputs are classified as Level 2. These include fixed income securities, mortgage-backed securities,

short-term instruments, non-traded warrants, over-the-counter options, structured notes of indexed

securities, foreign currency forward contracts, swap instruments, American depositary receipts and

Global depositary receipts.




Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments include

private equities, private term-loans, private equity funds and certain derivatives. As observable prices

are not available for these securities, the Funds may use a variety of valuation techniques to derive

the fair value.

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 – 50 –

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Vous pouvez obtenir sur demande et sans frais des exemplaires supplémentaires de ces états

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