imperialu.s.equitypool interimfinancialreports(unaudited) · 2021. 1. 14. · xc ur en ta s xi nv...

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

Imperial U.S. Equity Pool

Interim Financial Reports (unaudited)for the period ended June 30, 2016

† Securities LendingThe tables that follow indicate the Pool had assets involved in securities lending transactionsoutstanding as at June 30, 2016 and December 31, 2015.

Aggregate Valueof Securities

on Loan($000s)

AggregateValue

of Collateralfor Loan

($000s)x

x

June 30, 2016 534,556 563,311x

December 31, 2015 528,216 557,106x

Collateral Type* ($000s)i ii iii iv

xx

June 30, 2016 – 563,311 – –x

December 31, 2015 – 555,877 – 1,229x

x

* See note 2j for Collateral Type definitions.

Organization of the Fund (note 1)The Pool was established on February 1, 1991 (Date Established).

Inception Datexx

Class A October 15, 1998xx

Statements of Financial Position (unaudited)(in 000s, except per unit amounts)

As at June 30, 2016 and December 31, 2015 (note 1)

June 30, 2016 December 31, 2015x

xxx

Assetsxxx

Current assetsx

Investments (non-derivative financial assets) † (notes2 and 3) $ 4,911,659 $ 5,053,631

x

Cash including foreign currency holdings, at fair value 117,125 129,114x

Margin 9,089 2,501x

Dividends receivable 5,563 6,195x

Receivable for portfolio securities sold 31,545 4,845x

Receivable for units issued 3,555 3,083x

Other receivables 115 93x

Derivative assets 1,496 2,195xxx

Total Assets 5,080,147 5,201,657xxx

Liabilitiesxxx

Current liabilitiesx

Payable for portfolio securities purchased 32,009 16,400x

Payable for units redeemed 1,686 2,541x

Other accrued expenses 1 –x

Derivative liabilities 368 217xxx

Total Liabilities 34,064 19,158xxx

Net Assets Attributable to Holders ofRedeemable Units (note 5) $ 5,046,083 $ 5,182,499

xxx

Net Assets Attributable to Holders ofRedeemable Units per Class

x

Class A $ 5,046,083 $ 5,182,499xxx

Net Assets Attributable to Holders ofRedeemable Units per Unit (note 5)

x

Class A $ 24.48 $ 25.92x

1



Statements of Comprehensive Income (unaudited)(in 000s, except per unit amounts)

For the periods ended June 30, 2016 and 2015 (note 1)

June 30, 2016 June 30, 2015x

x

Net Gain (loss) on Financial Instrumentsx

Interest for distribution purposes $ 356 $ 108x

Dividend revenue 44,869 37,897x

Derivative income (loss) 3,674 12,017x

Other changes in fair value of investments andderivatives

x

Net realized gain (loss) on sale of investments andderivatives 134,504 270,105

x

Net realized gain (loss) on foreign currency (notes 2fand g) (6,030) (43,960)

x

Net change in unrealized appreciation (depreciation)of investments and derivatives (448,042) 141,064

xxx

Net Gain (loss) on Financial Instruments ± (270,669) 417,231xx

x

Other Incomex

Foreign exchange gain (loss) on cash (4,174) 3,740x

Securities lending revenue ±± 423 417xxx

(3,751) 4,157xx

x

Expenses (note 6)x

Management fees ±±± 6,744 6,222x

Audit fees 6 5x

Custodial fees 106 106x

Independent review committee fees 5 7x

Legal fees 26 18x

Regulatory fees 62 46x

Transaction costs ±±±± 1,095 980x

Unitholder reporting costs 1,239 1,104x

Withholding taxes (note 7) 5,755 5,386x

Other expenses 22 17xxx

15,060 13,891xx

x

Expenses waived/absorbed by the Manager (4,095) (3,794)xx

x

10,965 10,097xx

x

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units (excludingdistributions) (285,385) 411,291

xx

x

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units per Class(excluding distributions)

x

Class A $ (285,385) $ 411,291xxx

Average Number of Units Outstanding for theperiod per Class

x

Class A 203,294 192,094xxx

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units per Unit(excluding distributions)

x

Class A $ (1.40) $ 2.14x

x

± Net Gain (Loss) on Financial Instruments(in 000s)

Net gains (losses)

Category June 30, 2016 June 30, 2015x..

Financial assets at FVTPL..

Held for Trading $ 2,520 $ 4,460..

Designated at Inception (273,189) 412,771......

Total financial assets at FVTPL $ (270,669) $ 417,231..

±± Securities Lending Revenue (note 2j)June 30, 2016 June 30, 2015

(in 000s)

% of Grosssecurities

lending revenue (in 000s)

% of Grosssecurities

lending revenuexx

Gross securities lending revenue $ 702 100.0 $ 737 100.0x

Interest paid on collateral – – – –x

Withholding taxes 98 14.0 142 19.3x

Agent fees - Bank of New YorkMellon Corp. (The) 181 25.8 178 24.2

xxx

Securities lending revenue $ 423 60.2 $ 417 56.5xx

±±± Maximum Chargeable Annual Management Fee Rates (note 6)xx

Class A 0.25%xx

±±±± Brokerage Commissions and Fees (notes 8 and 9)

2016 2015x

x

Brokerage commissions and other fees ($000s)x

Total Paid 1,058 942x

Paid to CIBC World Markets Inc. – –x

Paid to CIBC World Markets Corp. – –x

Soft dollars ($000s)x

Total Paid 294 186x

Paid to CIBC World Markets Inc. and CIBC World Markets Corp. – –xx

Service Provider (note 9)The amounts paid by the Pool (including all applicable taxes) to CIBC Mellon Trust Company forcustodial fees, and to CIBC Mellon Global Securities Services Company (CIBC GSS) for securitieslending, fund accounting and reporting, and portfolio valuation (all net of absorptions) for the periodsended June 30, 2016 and 2015 were as follows:

2016 2015x

x

($000s) 181 179xx

2


Imperial U.S. Equity Poolx

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (unaudited)(in 000s)For the periods ended June 30, 2016 and 2015 (note 1)

Class A Units

June 30, 2016 June 30, 2015xx.

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units (excludingdistributions) $ (285,385) $ 411,291

xxx.

Redeemable Unit Transactionsx.

Amount received from the issuance of units 518,538 593,520x.

Amount paid on redemptions of units (369,569) (335,867)x.xx

148,969 257,653xxx.

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units (136,416) 668,944

x.

Net Assets Attributable to Holders of Redeemable Unitsat Beginning of Period 5,182,499 4,094,232

x.xx

Net Assets Attributable to Holders of Redeemable Unitsat End of Period $ 5,046,083 $ 4,763,176

xxx.

Redeemable Units Issued and Outstanding (note 5)x.

As at June 30, 2016 and 2015x.

Balance - beginning of period 199,955 187,548x.

Redeemable units issued 21,459 25,022x.xx

221,414 212,570x.

Redeemable units redeemed (15,278) (14,247)x.xx

Balance - end of period 206,136 198,323xx

x

Net Capital and Non-Capital Losses (note 7)As at December 2015, the Pool had non-capital and capital losses (in $000s) for income tax purposes available to be carried forward as follows:

Total Net Capital Losses

Total Non-Capital Lossesthat Expire in:

2026 to 2035x..

33,046 –.

.

3


Imperial U.S. Equity Poolx

x

Statements of Cash Flows (unaudited)(in 000s)For the periods ended June 30, 2016 and 2015 (note 1)

June 30, 2016 June 30, 2015xx.

Cash Flows from Operating Activitiesx.

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units from Operations (excluding distributions) $ (285,385) $ 411,291x.

Adjustments for:x.

Foreign exchange loss (gain) on cash 4,174 (3,740)x.

Net realized (gain) loss on sale of investments and derivatives (134,504) (270,105)x.

Net change in unrealized (appreciation) depreciation of investments and derivatives 448,042 (141,064)x.

Purchase of investments (1,477,519) (1,391,159)x.

Proceeds from the sale of investments 1,295,712 1,184,597x.

Margin (6,588) (6,056)x.

Dividends receivable 632 (748)x.

Other receivables (22) (1)x.

Other liabilities 1 –x.xx

(155,457) (216,985)xxx.

Cash Flows from Financing Activitiesx.

Amount received from the issuance of units 518,066 591,604x.

Amount paid on redemptions of units (370,424) (335,815)x.xx

147,642 255,789xxx.

Increase (Decrease) in Cash during the Period (7,815) 38,804xxx.

Foreign exchange loss (gain) on cash (4,174) 3,740xxx.

Cash (Bank Overdraft) at Beginning of Period 129,114 86,670xxx.

Cash (Bank Overdraft) at End of Period $ 117,125 $ 129,214x

x.

Interest received $ 356 $ 108x.

Dividends received, net of withholding taxes $ 39,746 $ 31,763

4



x

Schedule of Investment Portfolio (unaudited) As at June 30, 2016

SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assetsx

UNITED STATES EQUITIES..

Consumer Discretionary..

Advance Auto Parts Inc. 63,472 12,547 13,254..

Amazon.com Inc. 97,167 51,316 89,835..

AutoNation Inc. 1,817 83 110..

AutoZone Inc. 9,874 7,167 10,127..

Bed Bath & Beyond Inc. 3,942 215 220..

Best Buy Co. Inc. 7,199 270 285..

BorgWarner Inc. 5,556 255 212..

Burlington Stores Inc. 39,115 2,671 3,371..

CarMax Inc. 4,949 196 314..

Carnival Corp. 65,030 2,855 3,714..

CBS Corp., Class 'B' 186,330 13,108 13,105..

Chipotle Mexican Grill Inc., Class 'A' 44,356 29,095 23,080..

Coach Inc. 424,501 21,278 22,343..

Comcast Corp., Class 'A' 317,366 17,704 26,729..

CST Brands Inc. 142,886 7,091 7,953..

D.R. Horton Inc. 8,428 203 343..

Darden Restaurants Inc. 2,912 148 238..

Discovery Communications Inc., Series 'A' 71,432 2,732 2,328..

Discovery Communications Inc., Series 'C' 6,096 264 188..

Dollar General Corp. 7,245 456 880..

Dollar Tree Stores Inc. 104,209 9,196 12,688..

Expedia Inc. 28,137 4,139 3,864..

Foot Locker Inc. 3,474 287 246..

Ford Motor Co. 759,727 13,578 12,338..

Gap Inc. (The) 5,791 179 159..

General Motors Co. 219,583 7,963 8,028..

Genuine Parts Co. 3,820 269 500..

Goodyear Tire & Rubber Co. (The) 6,790 150 225..

H&R Block Inc. 5,729 160 170..

Hanesbrands Inc. 9,639 412 313..

Harley-Davidson Inc. 4,624 262 271..

Harman International Industries Inc. 1,801 150 167..

Hasbro Inc. 2,865 139 311..

Home Depot Inc. 264,791 29,358 43,682..

Interpublic Group of Cos. Inc. 270,924 5,658 8,086..

Johnson Controls Inc. 16,554 668 947..

Kohl's Corp. 4,691 294 230..

L Brands Inc. 6,459 311 560..

Leggett & Platt Inc. 3,429 115 226..

Lennar Corp., Class 'A' 4,682 198 279..

LKQ Corp. 88,511 3,602 3,625..

Lowe's Cos. Inc. 601,366 30,552 61,510..

Macy's Inc. 7,875 315 342..

Marriott International Inc., Class 'A' 4,868 220 418..

Mattel Inc. 66,349 2,286 2,682..

McDonald's Corp. 117,235 15,507 18,227..

MGM Resorts International 210,727 6,104 6,161..

Mohawk Industries Inc. 1,626 274 399..

Netflix Inc. 10,935 613 1,292..

Newell Brands Inc. 234,947 12,386 14,743..

News Corp., Class 'A' 648,722 11,972 9,513..

News Corp., Class 'B' 35,302 608 532..

Nike Inc., Class 'B' 464,886 35,600 33,154..

Nordstrom Inc. 3,277 157 161..

Omnicom Group Inc. 146,238 8,647 15,396..

O'Reilly Automotive Inc. 2,462 263 862..

Panera Bread Co., Class 'A' 16,884 4,691 4,623..

Polaris Industries Inc. 25,458 2,708 2,689..

Priceline Group Inc. (The) 19,921 25,424 32,130..

PulteGroup Inc. 686,298 15,027 17,281..

PVH Corp. 2,069 262 252..

Ralph Lauren Corp. 28,605 4,431 3,312..

Ross Stores Inc. 220,661 14,293 16,161..

Scripps Networks Interactive Inc. 2,426 144 195..

Signet Jewelers Ltd. 27,148 3,634 2,890..

Staples Inc. 729,151 10,304 8,120..

Starbucks Corp. 356,495 13,570 26,308..

Starwood Hotels & Resorts Worldwide Inc. 4,303 269 411..

Target Corp. 110,849 8,710 9,999..

TEGNA Inc. 5,555 228 166..

Tesla Motors Inc. 21,761 6,098 5,968..

Tiffany & Co. 2,799 187 219..

Time Warner Inc. 20,078 1,381 1,908..

TJX Cos. Inc. 237,414 19,427 23,689..

Tractor Supply Co. 3,406 286 401..

TripAdvisor Inc. 2,918 183 242..

Twenty-First Century Fox Inc., Class 'A' 27,976 680 978..

Twenty-First Century Fox Inc., Class 'B' 11,009 386 388..

Ulta Salon, Cosmetics & Fragrance Inc. 1,594 419 502..

Under Armour Inc., Class 'A' 4,676 293 242..

Under Armour Inc., Class 'C' 4,479 241 211..

Urban Outfitters Inc. 2,213 81 79

5



Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd)

SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

V.F. Corp. 43,425 3,550 3,450..

Viacom Inc., Class 'B' 8,849 484 474..

Walt Disney Co. (The) 372,010 34,776 47,014..

Whirlpool Corp. 15,416 3,314 3,319..

Wyndham Worldwide Corp. 2,858 138 263..

Wynn Resorts Ltd. 2,079 258 243..

Yum! Brands Inc. 10,404 567 1,115..

....

548,690 696,178 13.8%..x

Consumer Staples..

Altria Group Inc. 49,952 2,317 4,450..

Amplify Snack Brands Inc. 254,079 4,523 4,842..

Archer-Daniels-Midland Co. 15,002 579 831..

Blue Buffalo Pet Products Inc. 90,174 2,623 2,719..

Brown-Forman Corp., Class 'B' 2,566 162 331..

Campbell Soup Co. 4,578 197 393..

Church & Dwight Co. Inc. 3,276 392 435..

Clorox Co. 3,302 288 590..

Coca-Cola Co. (The) 99,413 3,778 5,822..

Colgate-Palmolive Co. 287,455 17,914 27,185..

ConAgra Foods Inc. 92,633 3,867 5,722..

Constellation Brands Inc., Class 'A' 84,810 8,541 18,123..

Costco Wholesale Corp. 94,544 10,431 19,182..

CVS Health Corp. 27,422 1,539 3,392..

Dr. Pepper Snapple Group Inc. 4,744 220 592..

Estée Lauder Cos. Inc., Class 'A' 5,683 321 668..

Flowers Foods Inc. 112,406 2,659 2,723..

General Mills Inc. 15,176 682 1,398..

Hershey Co. (The) 3,588 264 526..

Hormel Foods Corp. 6,899 139 326..

J.M. Smucker Co. (The) 3,055 285 602..

Kellogg Co. 189,708 17,253 20,012..

Kimberly-Clark Corp. 9,195 833 1,633..

Kroger Co. (The) 24,352 488 1,157..

McCormick & Co. Inc. 2,943 179 406..

Mead Johnson Nutrition Co., Class 'A' 53,194 5,632 6,237..

Molson Coors Brewing Co., Class 'B' 4,701 339 614..

Mondelez International Inc., Class 'A' 1,087,863 46,452 63,963..

Monster Beverage Corp. 16,576 2,460 3,442..

PepsiCo Inc. 182,865 14,903 25,029..

Philip Morris International Inc. 72,516 6,471 9,530..

Pinnacle Foods Inc. 177,443 9,844 10,612..

Procter & Gamble Co. (The) 466,838 39,261 51,067..

Reynolds American Inc. 21,137 621 1,473..

Sysco Corp. 105,504 4,251 6,916..

The Kraft Heinz Corp. 15,212 805 1,739..

TreeHouse Foods Inc. 50,649 5,773 6,717..

Tyson Foods Inc., Class 'A' 7,673 233 662..

Walgreens Boots Alliance Inc. 22,065 1,304 2,374..

Wal-Mart Stores Inc. 323,138 28,366 30,484..

Whole Foods Market Inc. 461,707 23,094 19,100..

....

270,283 364,019 7.2%..x

Energy..

Anadarko Petroleum Corp. 485,631 38,797 33,410..

Apache Corp. 61,082 4,728 4,393..

Baker Hughes Inc. 11,181 721 652..

Cabot Oil & Gas Corp. 11,872 284 395..

Chesapeake Energy Corp. 14,932 370 83..

Chevron Corp. 214,244 23,654 29,016..

Cimarex Energy Co. 44,158 5,911 6,807..

Columbia Pipeline Group Inc. 10,208 350 336..

Concho Resources Inc. 54,899 6,383 8,459..

ConocoPhillips 137,591 7,718 7,750..

Devon Energy Corp. 318,101 15,713 14,898..

Diamond Offshore Drilling Inc. 1,646 104 52..

EOG Resources Inc. 292,072 29,044 31,478..

EQT Corp. 90,347 7,897 9,038..

Exxon Mobil Corp. 421,615 39,213 51,061..

FMC Technologies Inc. 444,492 21,305 15,316..

Halliburton Co. 373,040 17,427 21,827..

Helmerich & Payne Inc. 51,073 3,870 4,429..

Hess Corp. 82,982 5,612 6,443..

Kinder Morgan Inc. 46,721 1,922 1,130..

Marathon Oil Corp. 21,642 681 420..

Marathon Petroleum Corp. 13,528 413 663..

Murphy Oil Corp. 262,457 12,438 10,766..

National-Oilwell Varco Inc. 9,627 604 419..

Newfield Exploration Co. 13,660 721 780..

Noble Energy Inc. 230,448 10,945 10,679..

Occidental Petroleum Corp. 222,021 19,619 21,674..

ONEOK Inc. 5,364 213 329..

Phillips 66 11,943 670 1,224..

Pioneer Natural Resources Co. 25,516 4,354 4,985..

Range Resources Corp. 4,334 255 242

6




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Schlumberger Ltd. 513,285 46,928 52,441..

Southwestern Energy Co. 9,889 363 161..

Spectra Energy Corp. 17,469 601 827..

Tesoro Corp. 3,063 148 296..

Valero Energy Corp. 11,996 462 790..

Williams Cos. Inc. (The) 17,439 611 487..

....

331,049 354,156 7.0%..x

Financials..

Affiliated Managers Group Inc. 106,889 22,498 19,440..

Aflac Inc. 59,741 4,001 5,569..

Allstate Corp. (The) 263,470 21,513 23,810..

American Express Co. 20,639 1,337 1,620..

American International Group Inc. 225,721 10,094 15,424..

American Tower Corp. 10,840 831 1,591..

Ameriprise Financial Inc. 40,055 4,920 4,650..

Annaly Mortgage Management Inc. 215,598 2,865 3,083..

Apartment Investment & Management Co., Class 'A' 3,998 157 228..

Arthur J. Gallagher & Co. 4,522 284 278..

Assurant Inc. 1,582 91 176..

Avalonbay Communities Inc. 3,502 569 816..

Bank of America Corp. 2,095,237 37,618 35,921..

Bank of New York Mellon Corp. (The) 27,500 1,077 1,380..

BankUnited Inc. 67,802 2,831 2,691..

BB&T Corp. 651,123 28,812 29,956..

Berkshire Hathaway Inc., Class 'A' 40 6,938 11,213..

Berkshire Hathaway Inc., Class 'B' 72,470 8,800 13,556..

BlackRock Inc. 3,211 856 1,421..

BOK Financial Corp. 30,082 2,243 2,437..

Boston Properties Inc. 3,922 456 668..

Capital One Financial Corp. 13,076 895 1,073..

CBRE Group Inc. 7,451 216 255..

Charles Schwab Corp. (The) 1,070,323 32,251 34,999..

Cincinnati Financial Corp. 3,776 179 365..

CIT Group Inc. 322,632 18,131 13,301..

Citigroup Inc. 388,261 21,462 21,263..

Citizens Financial Group Inc. 13,506 400 349..

CME Group Inc. 58,454 7,030 7,356..

Comerica Inc. 81,016 4,245 4,305..

Commerce Bancshares Inc. 62,937 2,545 3,895..

Corrections Corp. of America 126,780 4,631 5,736..

Crown Castle International Corp. 155,113 16,544 20,326..

Cullen/Frost Bankers Inc. 24,717 1,872 2,035..

Digital Realty Trust Inc. 3,748 464 528..

Discover Financial Services 139,660 7,794 9,669..

E*TRADE Financial Corp. 7,116 222 216..

Equinix Inc. 49,338 11,900 24,715..

Equity Residential 9,332 608 830..

Essex Property Trust Inc. 1,670 359 492..

Extra Space Storage Inc. 3,196 397 382..

Federal Realty Investment Trust 1,810 381 387..

Fifth Third Bancorp 19,601 513 445..

First Republic Bank 199,406 14,364 18,031..

Franklin Resources Inc. 478,094 25,161 20,612..

General Growth Properties Inc. 14,883 407 573..

Goldman Sachs Group Inc. (The) 123,286 21,070 23,666..

Hartford Financial Services Group Inc. (The) 10,044 463 576..

HCP Inc. 11,925 506 545..

Host Hotels & Resorts Inc. 19,080 411 400..

Huntington Bancshares Inc. 20,397 219 236..

Intercontinental Exchange Inc. 3,039 653 1,005..

Invesco Ltd. 10,653 328 352..

Iron Mountain Inc. 6,102 219 314..

iShares Russell 1000 Growth ETF 67,580 8,723 8,762..

JPMorgan Chase & Co. 559,187 29,819 44,893..

KeyCorp 21,507 312 307..

Kimco Realty Corp. 10,714 265 434..

Legg Mason Inc. 2,691 137 103..

Leucadia National Corp. 8,511 271 191..

Lincoln National Corp. 6,102 284 306..

Loews Corp. 6,839 294 363..

M&T Bank Corp. 32,298 4,160 4,933..

Macerich Co. (The) 3,223 247 356..

Marsh & McLennan Cos. Inc. 13,308 654 1,177..

MetLife Inc. 435,014 20,634 22,385..

Moody's Corp. 4,316 242 523..

Morgan Stanley 492,901 14,290 16,544..

Nasdaq Inc. 2,940 118 246..

Navient Corp. 8,439 157 130..

Northern Trust Corp. 139,087 6,923 11,907..

People's United Financial Inc. 7,937 140 150..

PNC Financial Services Group Inc. 171,467 12,043 18,030..

Principal Financial Group Inc. 6,882 302 366..

Progressive Corp. (The) 14,885 393 644..

Prologis Inc. 13,413 562 850

7




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Prudential Financial Inc. 11,285 823 1,040..

Public Storage Inc. 3,762 574 1,242..

Realty Income Corp. 6,577 424 589..

Regions Financial Corp. 1,196,742 15,127 13,158..

Reinsurance Group of America Inc. 45,585 3,744 5,712..

S&P Global Inc. 43,771 5,076 6,066..

SEI Investments Co. 78,811 4,529 4,899..

Simon Property Group Inc. 7,900 1,136 2,214..

SL Green Realty Corp. 2,559 419 352..

SPDR S&P 500 ETF Trust 22,233 5,990 6,019..

State Street Corp. 547,058 35,652 38,109..

SunTrust Banks Inc. 12,795 580 679..

SVB Financial Group 31,838 2,794 3,914..

Synchrony Financial 422,215 17,067 13,790..

T. Rowe Price Group Inc. 6,337 425 597..

Torchmark Corp. 2,864 110 229..

Travelers Cos. Inc. (The) 7,466 516 1,148..

U.S. Bancorp 675,963 31,114 35,221..

UDR Inc. 6,820 315 325..

UMB Financial Corp. 44,619 2,918 3,067..

Unum Group 109,817 4,384 4,510..

Ventas Inc. 8,633 552 812..

Vornado Realty Trust 4,530 448 586..

Voya Financial Inc. 335,775 9,713 10,741..

Wells Fargo & Co. 431,450 19,647 26,382..

Welltower Inc. 9,115 621 897..

Weyerhaeuser Co. 107,450 4,051 4,133..

Zions Bancorp 5,224 186 170..

....

625,536 715,361 14.3%..x

Health Care..

Abbott Laboratories 698,861 26,848 35,493..

AbbVie Inc. 89,838 5,434 7,186..

Aetna Inc. 8,951 565 1,412..

Agilent Technologies Inc. 8,368 402 480..

Alexion Pharmaceuticals Inc. 190,411 36,885 28,723..

AmerisourceBergen Corp. 4,685 243 480..

Amgen Inc. 131,120 18,419 25,774..

Anthem Inc. 6,713 603 1,139..

Baxter International Inc. 534,986 27,089 31,255..

Becton, Dickinson & Co. 5,418 610 1,187..

Biogen Inc. 26,309 7,277 8,219..

Boston Scientific Corp. 163,178 1,763 4,927..

Bristol-Myers Squibb Co. 296,082 25,555 28,135..

C.R. Bard Inc. 1,872 223 569..

Cardinal Health Inc. 8,318 593 838..

Celgene Corp. 19,777 1,163 2,520..

Centene Corp. 4,352 357 401..

Cerner Corp. 365,498 20,366 27,671..

Cigna Corp. 151,202 15,497 25,002..

DaVita HealthCare Partners Inc. 4,165 209 416..

Dentsply Sirona Inc. 5,980 355 479..

Dexcom Inc. 35,519 3,081 3,640..

Edwards Lifesciences Corp. 5,406 280 697..

Eli Lilly and Co. 24,801 1,658 2,523..

Envision Healthcare Holdings Inc. 621,394 23,912 20,367..

Express Scripts Holding Co. 219,438 17,649 21,490..

Gilead Sciences Inc. 569,583 61,306 61,387..

HCA Holdings Inc. 7,689 719 765..

Henry Schein Inc. 2,095 375 479..

HMS Holdings Corp. 371,181 7,216 8,445..

Hologic Inc. 6,193 279 277..

Humana Inc. 3,805 338 884..

Illumina Inc. 3,758 863 682..

Intuitive Surgical Inc. 9,050 5,360 7,733..

Johnson & Johnson 211,670 19,414 33,172..

Laboratory Corp. of America Holdings 2,614 254 440..

LifePoint Hospitals Inc. 66,313 4,864 5,600..

McKesson Corp. 5,745 721 1,385..

Merck & Co. Inc. 579,158 36,235 43,106..

Patterson Cos. Inc. 2,125 87 131..

PerkinElmer Inc. 2,783 97 188..

Pfizer Inc. 710,679 23,228 32,328..

Quest Diagnostics Inc. 3,611 234 380..

Regeneron Pharmaceuticals Inc. 52,844 20,111 23,843..

St. Jude Medical Inc. 42,162 2,980 4,249..

Stryker Corp. 8,020 631 1,242..

Teleflex Inc. 72,007 8,594 16,495..

Thermo Fisher Scientific Inc. 10,047 915 1,918..

UnitedHealth Group Inc. 24,276 1,688 4,429..

Universal Health Services Inc., Class 'B' 2,291 301 397..

Varian Medical Systems Inc. 2,431 178 258..

VCA Inc. 59,899 4,357 5,232..

Vertex Pharmaceuticals Inc. 273,334 37,704 30,377..

Waters Corp. 2,066 183 375

8




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

West Pharmaceutical Services Inc. 36,484 3,027 3,577..

Zimmer Biomet Holdings Inc. 90,453 11,121 14,068..

Zoetis Inc. 223,369 9,169 13,696..

....

499,585 598,561 11.9%..x

Industrials..

3M Co. 15,485 1,880 3,503..

Acuity Brands Inc. 1,119 344 358..

Alaska Air Group Inc. 3,146 265 237..

American Airlines Group Inc. 154,884 8,048 5,665..

Ametek Inc. 118,267 8,081 7,064..

Boeing Co. (The) 108,448 10,270 18,196..

C.H. Robinson Worldwide Inc. 3,645 245 350..

Caterpillar Inc. 14,907 1,261 1,460..

Cintas Corp. 2,212 123 280..

CSX Corp. 137,679 4,349 4,639..

Cummins Inc. 4,045 384 588..

Danaher Corp. 15,298 1,024 1,996..

Deere & Co. 7,622 588 798..

Delta Air Lines Inc. 214,576 12,266 10,099..

Dover Corp. 168,636 13,836 15,103..

Emerson Electric Co. 151,506 9,944 10,210..

Equifax Inc. 3,038 193 504..

Expeditors International of Washington Inc. 4,648 221 294..

Fastenal Co. 115,207 6,541 6,607..

FedEx Corp. 71,687 13,021 14,057..

Flowserve Corp. 3,328 189 194..

Fluor Corp. 3,554 218 226..

Fortune Brands Home & Security Inc. 3,913 284 293..

General Dynamics Corp. 7,335 675 1,320..

General Electric Co. 1,011,723 29,986 41,147..

HD Supply Holdings Inc. 319,538 12,888 14,375..

Heartland Express Inc. 304,234 7,735 6,835..

Honeywell International Inc. 164,285 13,840 24,689..

Hubbell Inc. 12,001 1,572 1,635..

Illinois Tool Works Inc. 8,258 541 1,111..

J.B. Hunt Transport Services Inc. 148,313 15,669 15,507..

Jacobs Engineering Group Inc. 3,113 192 200..

Kansas City Southern Industries Inc. 105,285 10,740 12,254..

KAR Auction Services Inc. 54,370 2,507 2,932..

L-3 Communications Holdings Inc. 1,964 191 372..

Lockheed Martin Corp. 85,136 19,829 27,297..

Masco Corp. 360,733 13,364 14,420..

Middleby Corp. (The) 75,032 5,691 11,172..

Norfolk Southern Corp. 128,058 13,498 14,084..

Northrop Grumman Corp. 4,607 448 1,323..

Oshkosh Truck Corp., Class 'B' 44,429 2,190 2,739..

Paccar Inc. 8,948 464 600..

Parker Hannifin Corp. 123,838 15,071 17,287..

Pitney Bowes Inc. 4,816 154 111..

Quanta Services Inc. 3,857 108 115..

Raytheon Co. 7,582 570 1,332..

Republic Services Inc. 110,497 3,586 7,325..

Robert Half International Inc. 3,352 132 165..

Rockwell Automation Inc. 3,325 289 493..

Rockwell Collins Inc. 3,324 227 366..

Roper Industries Inc. 2,583 315 569..

Ryder System Inc. 1,371 96 108..

Snap-On Inc. 37,244 7,765 7,594..

Southwest Airlines Inc. 16,307 360 826..

Spirit Airlines Inc. 56,189 3,742 3,257..

Stanley Black & Decker Inc. 98,457 11,131 14,147..

Stericycle Inc. 2,168 233 292..

Textron Inc. 91,188 3,942 4,307..

The Dun & Bradstreet Corp. 925 98 146..

TransDigm Group Inc. 1,352 470 461..

Union Pacific Corp. 21,473 1,317 2,421..

United Continental Holdings Inc. 8,572 652 455..

United Parcel Service Inc., Class 'B' 121,365 10,225 16,890..

United Rentals Inc. 2,260 280 196..

United Technologies Corp. 47,375 5,400 6,277..

Verisk Analytics Inc., Class 'A' 3,950 416 414..

W.W. Grainger Inc. 1,441 256 423..

Waste Management Inc. 10,549 469 903..

Werner Enterprises Inc. 113,441 3,707 3,366..

Xylem Inc. 92,335 4,881 5,326..

....

321,487 392,305 7.8%..x

Information Technology..

Activision Blizzard Inc. 13,005 511 666..

Adobe Systems Inc. 108,594 9,679 13,439..

Akamai Technologies Inc. 4,483 250 324..

Alliance Data Systems Corp. 84,177 22,210 21,307..

Alphabet Inc., Class 'A' 94,545 76,827 85,934..

Alphabet Inc., Class 'C' 65,730 32,132 58,773

9




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Amphenol Corp., Class 'A' 7,862 287 582..

Analog Devices Inc. 7,847 442 574..

Apple Inc. 696,029 61,476 85,967..

Applied Materials Inc. 532,159 12,384 16,480..

Autodesk Inc. 5,734 260 401..

Automatic Data Processing Inc. 206,705 13,820 24,534..

CA Inc. 7,556 202 320..

Cisco Systems Inc. 1,077,383 33,441 39,934..

Citrix Systems Inc. 3,960 222 410..

Cognizant Technology Solutions Corp., Class 'A' 15,469 634 1,144..

Corning Inc. 413,056 8,689 10,929..

CoStar Group Inc. 70,174 14,549 19,824..

CSRA Inc. 3,502 135 106..

eBay Inc. 26,988 279 816..

Electronic Arts Inc. 217,887 7,045 21,326..

EMC Corp. 403,086 12,043 14,149..

F5 Network Inc. 1,711 219 252..

Facebook Inc. 559,217 43,583 82,565..

Fidelity National Information Services Inc. 7,084 366 674..

First Solar Inc. 1,957 196 123..

Fiserv Inc. 5,676 238 797..

FleetCor Technologies Inc. 119,867 23,062 22,165..

Flir Systems Inc. 3,514 122 141..

Global Payments Inc. 3,931 365 363..

Harris Corp. 3,184 217 343..

Hewlett Packard Enterprise Co. 748,820 14,564 17,675..

HP Inc. 622,968 15,903 10,101..

Imperva Inc. 89,597 7,693 4,979..

Intel Corp. 806,372 23,797 34,171..

International Business Machines Corp. 22,549 3,727 4,422..

Intuit Inc. 6,534 405 942..

Juniper Networks Inc. 9,018 260 262..

Keysight Technologies Inc. 184,899 6,967 6,949..

KLA Tencor Corp. 3,975 238 376..

Lam Research Corp. 4,075 236 443..

Linear Technology Corp. 6,104 296 367..

MasterCard Inc., Class 'A' 180,570 11,608 20,543..

Microchip Technology Inc. 5,484 256 360..

Micron Technology Inc. 26,478 581 471..

Microsoft Corp. 807,558 38,464 53,387..

Motorola Solutions Inc. 231,708 18,840 19,748..

NetApp Inc. 7,381 291 234..

NVIDIA Corp. 12,952 251 787..

Oracle Corp. 1,211,289 50,001 64,052..

Pandora Media Inc. 1,241,215 20,449 19,965..

Paychex Inc. 8,183 372 629..

PayPal Holdings Inc. 28,161 902 1,328..

Qorvo Inc. 3,257 319 233..

Qualcomm Inc. 135,087 9,681 9,349..

Red Hat Inc. 269,696 22,065 25,296..

salesforce.com inc. 516,953 35,989 53,036..

Skyworks Solutions Inc. 4,857 566 397..

Symantec Corp. 15,634 404 415..

Take-Two Interactive Software Inc. 58,927 2,424 2,887..

Teradata Corp. 3,320 133 108..

Teradyne Inc. 119,093 2,575 3,030..

Texas Instruments Inc. 25,640 1,075 2,075..

Total System Service Inc. 4,312 134 296..

VeriSign Inc. 2,437 98 272..

Visa Inc., Class 'A' 420,055 22,041 40,251..

Western Digital Corp. 7,186 402 439..

Western Union Co. 711,538 14,298 17,632..

Xerox Corp. 24,312 289 298..

Xilinx Inc. 6,478 291 386..

Yahoo! Inc. 22,313 613 1,083..

....

705,383 945,036 18.7%..x

Materials..

Air Products and Chemicals Inc. 4,965 544 911..

Alcoa Inc. 33,578 663 402..

Avery Dennison Corp. 2,276 128 220..

Axalta Coating Systems Ltd. 128,913 4,835 4,419..

Ball Corp. 58,142 5,159 5,430..

CF Industries Holdings Inc. 5,951 214 185..

Dow Chemical Co. (The) 28,668 1,267 1,841..

E.I. du Pont de Nemours & Co. 22,303 1,395 1,867..

Eastman Chemical Co. 3,795 230 333..

Ecolab Inc. 179,079 16,419 27,439..

FMC Corp. 3,415 160 204..

Freeport-McMoRan Inc., Class 'B' 31,970 1,061 460..

International Flavors and Fragrances Inc. 2,035 170 332..

International Paper Co. 10,498 477 575..

Martin Marietta Materials Inc. 1,622 239 402..

Monsanto Co. 60,556 5,764 8,090..

Mosaic Co. (The) 8,931 494 302

10




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Newmont Mining Corp. Holding Co. 13,545 577 685..

Nucor Corp. 8,117 395 518..

Owens Illinois Inc. 4,134 126 96..

PPG Industries Inc. 6,793 462 914..

Praxair Inc. 7,283 739 1,058..

Scotts Miracle-Gro Co. (The), Class 'A' 40,527 3,832 3,660..

Sealed Air Corp. 5,033 199 299..

Sherwin-Williams Co. 2,007 269 762..

Sonoco Products Co. 35,157 1,093 2,256..

Vulcan Materials Co. 41,473 5,926 6,449..

WestRock Co. 6,449 407 324..

....

53,244 70,433 1.4%..x

Telecommunication Services..

AT&T Inc. 432,068 16,724 24,120..

CenturyLink Inc. 126,268 4,694 4,733..

Frontier Communications Corp. 29,951 239 191..

Level 3 Communications Inc. 7,402 422 493..

SBA Communications Corp. 81,626 8,928 11,383..

Verizon Communications Inc. 309,697 16,902 22,342..

....

47,909 63,262 1.3%..x

Utilities..

AES Corp. (The) 16,826 233 271..

AGL Resources Inc. 3,081 152 263..

Ameren Corp. 69,311 3,936 4,798..

American Electric Power Co. Inc. 12,544 633 1,136..

American Water Works Co. Inc. 4,537 415 495..

CenterPoint Energy Inc. 10,994 223 341..

CMS Energy Corp. 7,127 195 422..

Consolidated Edison Inc. 7,070 407 735..

Dominion Resources Inc. 15,733 967 1,584..

DTE Energy Co. 4,581 316 587..

Duke Energy Corp. 17,589 1,387 1,949..

Edison International 103,308 7,566 10,366..

Entergy Corp. 4,563 372 480..

Eversource Energy 8,099 352 627..

Exelon Corp. 23,535 1,028 1,106..

FirstEnergy Corp. 10,844 479 489..

NextEra Energy Inc. 149,617 11,354 25,206..

NiSource Inc. 8,209 244 281..

NRG Energy Inc. 8,040 219 156..

PG&E Corp. 97,313 4,487 8,036..

Pinnacle West Capital Corp. 2,837 157 297..

PPL Corp. 17,284 593 843..

Public Services Enterprise Group Inc. 12,917 496 778..

SCANA Corp. 3,649 193 357..

Sempra Energy Inc. 6,051 470 891..

Southern Co. 23,963 1,090 1,660..

Teco Energy Inc. 6,014 128 215..

WEC Energy Group Inc. 212,007 13,576 17,886..

Xcel Energy Inc. 12,969 387 750..

....

52,055 83,005 1.6%..

..

TOTAL UNITED STATES EQUITIES 3,455,221 4,282,316 85.0%..x

INTERNATIONAL EQUITIES..

1Australia (note 10)..

BHP Billiton Ltd. 170,138 4,342 3,057..

....

4,342 3,057 0.1%..

x2Belgium (note 10)..

Anheuser-Busch InBev NV, ADR 133,484 16,217 22,709..

....

16,217 22,709 0.4%..x

Bermuda..

Axis Capital Holdings Ltd. 133,850 5,238 9,511..

....

5,238 9,511 0.2%..x

Canada..

Canadian Pacific Railway Ltd. 69,773 10,976 11,610..

Cenovus Energy Inc. 565,125 10,020 10,090..

Imperial Oil Ltd. 100,490 4,506 4,108..

....

25,502 25,808 0.5%..x

China..

Alibaba Group Holding Ltd. 42,334 4,372 4,350..

....

4,372 4,350 0.1%..

x2France (note 10)..

Criteo SA, ADR 123,305 5,984 7,315..

Total SA 275,140 16,422 17,113..

....

22,406 24,428 0.5%..

11




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assetsx2Germany (note 10)

..

SAP SE, ADR 159,941 13,189 15,502..

....

13,189 15,502 0.3%..

x2Ireland (note 10)..

Accenture PLC, Class 'A' 148,351 19,941 21,713..

Allegion PLC 2,444 130 219..

Allergan PLC 94,264 28,325 28,143..

Eaton Corp. PLC 34,935 2,369 2,696..

Endo International PLC 5,230 511 105..

Ingersoll-Rand PLC 97,575 6,800 8,028..

Mallinckrodt PLC 2,792 254 219..

Medtronic PLC 155,908 9,369 17,478..

Pentair PLC 4,614 258 348..

Perrigo Co. PLC 139,515 24,867 16,343..

Seagate Technology 411,321 16,166 12,945..

Tyco International PLC 142,882 6,067 7,864..

Willis Towers Watson PLC 3,534 619 568..

XL Group PLC 7,269 265 313..

....

115,941 116,982 2.3%..x

Israel..

Teva Pharmaceutical Industries Ltd., ADR 65,990 4,530 4,282..

....

4,530 4,282 0.1%..

x3Japan (note 10)..

Honda Motor Co. Ltd. 91,500 3,495 2,945..

....

3,495 2,945 0.0%..x

Liberia..

Royal Caribbean Cruises Ltd. 187,085 18,475 16,230..

....

18,475 16,230 0.3%..x

Mexico..

Grupo Televisa SA, ADR 241,755 9,089 8,133..

....

9,089 8,133 0.2%..

x2Netherlands (note 10)..

AerCap Holdings NV 409,885 22,033 17,787..

Core Laboratories NV 101,035 14,311 16,172..

Koninklijke Philips NV 119,951 3,578 3,851..

LyondellBasell Industries NV, Class 'A' 8,716 587 838..

Mobileye NV 303,013 15,413 18,063..

Mylan NV 10,903 408 609..

NXP Semiconductors NV 144,457 16,285 14,621..

Royal Dutch Shell PLC, ADR, Class 'A' 471,915 32,288 33,667..

Sensata Technologies Holding NV 305,435 13,691 13,768..

....

118,594 119,376 2.4%..x

Singapore..

Broadcom Ltd. 41,540 4,145 8,340..

....

4,145 8,340 0.2%..x

Switzerland..

Chubb Ltd. 63,566 7,882 10,734..

Garmin Ltd. 2,994 145 164..

Nestlé SA, ADR, Registered 183,538 18,544 18,332..

TE Connectivity Ltd. 111,359 7,944 8,216..

Transocean Ltd. 8,765 358 135..

UBS Group AG 1,112,985 19,727 18,635..

....

54,600 56,216 1.0%..x

United Kingdom..

Aon PLC 6,764 416 955..

ARM Holdings PLC 288,134 17,212 16,941..

BP PLC, ADR 350,914 15,382 16,099..

Delphi Automotive PLC 6,969 363 564..

Michael Kors Holdings Ltd. 4,506 385 288..

Nielsen Holdings PLC 147,570 7,579 9,908..

STERIS PLC 41,196 3,643 3,659..

....

44,980 48,414 0.9%..

..

TOTAL INTERNATIONAL EQUITIES 465,115 486,283 9.5%..

..

TOTAL EQUITIES 3,920,336 4,768,599 94.5%..

..

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS 3,920,336 4,768,599 94.5%..

12




SecurityCoupon

Rate (%)Maturity

Date Additional Details Par Value

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assetsx

SHORT-TERM INVESTMENTS (note 11)..

Bank of Nova Scotia 0.40% 2016/07/05 Term Deposit 4,750,000 6,137 6,137..

Province of Alberta 0.54% 2016/07/13 Discount Note 17,000,000 21,611 21,959..

Province of Alberta 0.53% 2016/07/21 Discount Note 8,000,000 10,017 10,333..

Province of British Columbia 0.46% 2016/09/23 Discount Note 10,000,000 13,058 12,906..

Province of Quebec 0.42% 2016/07/25 Discount Note 2,550,000 3,266 3,293..



..

..

TOTAL SHORT-TERM INVESTMENTS 142,975 143,060 2.8%..

..

Less: Transaction costs included in average cost (2,118).

..

..

TOTAL INVESTMENTS 4,061,193 4,911,659 97.3%..

..

Margin 9,089 0.2%..

Derivative assets 1,496 0.0%..

Derivative liabilities (368) 0.0%..

Other Assets, less Liabilities 124,207 2.5%..

..

..

TOTAL NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE UNITS 5,046,083 100.0%

.

...

1-3Hedging reference number. Refers to a corresponding number on the Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts...

x

x

Schedule of Derivative Assets and Liabilities - Futures Contracts (note 11)Contracted

Value ($) Name of Future Expiry DateNumber ofContracts Currency

ContractedPrice

FairValue ($)

Unrealized Gain(Loss) ($000s)

x..

148,679,137 United States S&P 500 E-Mini Index September 2016 1,112 USD 2,069.81 150,147,716 1,469......

148,679,137 Derivative Assets and Liabilities - Futures 150,147,716 1,469..

..

As at June 30, 2016, $9,088,666 cash was deposited as margin for the futures contracts.

x

Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts (note 10)Hedging Ref.No.** Counterparty

Credit Rating forCounterparty*

SettlementDate

CurrencyBuys Par Value

CurrencySells Par Value Forward Rate Current Rate

Unrealized Gain(Loss) ($000s)

x..

1 Credit Suisse, New York A-1 2016/09/30 USD 2,119,596 AUD 2,894,694 1.366 1.345 (42)..

1 Credit Suisse, New York A-1 2016/09/30 USD 65,716 AUD 89,118 1.356 1.345 –..

2 UBS AG, Stamford A-1 2016/09/30 USD 15,013,919 EUR 13,585,105 0.905 0.898 (145)..

3 Credit Suisse, New York A-1 2016/09/30 USD 2,207,340 JPY 225,038,303 101.950 102.942 27..

Morgan Stanley & Co. LLC, New York A-1 2016/09/30 USD 8,325,459 CAD 10,888,701 1.308 1.292 (134)..

Morgan Stanley & Co. LLC, New York A-1 2016/09/30 USD 2,946,141 CAD 3,853,199 1.308 1.292 (47)......

Derivative Assets and Liabilities - Forwards (341)..

..

* The credit rating of each counterparty (as rated by S&P Global Ratings, a division of S&P Global) of the forward foreign currency contracts held by the Pool meets or exceeds the minimum approved credit rating...

** See corresponding reference number on the Schedule of Investment Portfolio.

13



Supplemental Schedule to Schedule of Investment Portfolio (unaudited)

Offsetting Arrangements (note 2d)(in 000s)

The Pool may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statements of Financial Position but still allowfor the related amounts to be set off in certain circumstances, such as bankruptcy or the termination of the contracts.

The following table reconciles the net amount of “Over-The-Counter” derivatives presented in the Statements of Financial Position, as at June 30, 2016 and December 31, 2015, to:

l The gross amount before offsetting required under IFRS; and

l The net amount after offsetting under the terms of master netting arrangements or other similar arrangements, but which do not meet the criteria for offsetting under IFRS.

x

Financial Assets and Liabilities Amounts Offset Amounts Not Offset Net

Gross Assets(Liabilities)

Amounts Offset UnderIFRS

Net AmountsPresented onStatements of

Financial PositionMaster NettingArrangements

Cash CollateralReceived

x..

As at June 30, 2016..

OTC Derivative Assets $ 27 $ – $ 27 $ (27) $ – $ –..

OTC Derivative Liabilities (368) – (368) 27 – (341)......

Total $ (341) $ – $ (341) $ – $ – $ (341)..

..

As at December 31, 2015..

OTC Derivative Assets $ 163 $ – $ 163 $ – $ – $ 163..

OTC Derivative Liabilities (217) – (217) – – (217)......

Total $ (54) $ – $ (54) $ – $ – $ (54)..

Interests in Underlying Funds (note 4)As at June 30, 2016 and December 31, 2015, the Pool had no investments in underlying funds where the ownership exceeded 20% of each underlying fund.

14



Financial Instrument RisksInvestment Objective: Imperial U.S. Equity Pool (the Pool) seeks to provide long-termgrowth through capital appreciation by investing primarily in equity securities of U.S.issuers including preferred shares, warrants, securities convertible into equity securities,and other common share equivalents.

Investment Strategies: The Pool invests primarily in high-quality small-, medium-, andlarge-capitalization U.S. corporations in order to achieve its investment objectives andemploys a combination of investment styles that may include core, growth,value-oriented, and passive strategies when making investment decisions.

Significant risks that are relevant to the Pool are discussed here. General information onrisk management and specific discussion on concentration, credit, currency, interest rate,liquidity, and other price/market risk can be found in note 2 of the financial statements.

In the following risk tables, Net Assets is defined as meaning “Net assets attributable toholders of redeemable units".

Concentration Risk as at June 30, 2016 and December 31, 2015The Schedule of Investment Portfolio presents the securities held by the Pool as at June30, 2016.The following table presents the investment sectors held by the Pool as at December 31,2015 and groups the securities by asset type, industry sector, geographic region, orcurrency exposure:

As at December 31, 2015

Portfolio Breakdown% of Net

Assetsx

x

International Equitiesx

Belgium 0.4x

Bermuda 0.3x

Canada 0.6x

France 0.4x

Germany 0.3x

Ireland 2.4x

Japan 0.1x

Mexico 0.1x

Netherlands 1.9x

Singapore 0.2x

Switzerland 0.8x

United Kingdom 1.1x

United States Equitiesx

Consumer Discretionary 14.3x

Consumer Staples 6.9x

Energy 6.1x

Financials 14.4x

Health Care 12.2x

Industrials 7.3x

Information Technology 20.3x

Materials 1.6x

Telecommunication Services 1.3x

Utilities 1.5x

Short-Term Investments 3.0x

Margin 0.1x

Other Assets, less Liabilities 2.4xxx

Total 100.0xx

Credit RiskCredit ratings represent a consolidation of the ratings provided by various outside serviceproviders and are subject to change, which could be material.

See the Schedule of Investment Portfolio for counterparty from over-the-counterderivative contracts, where applicable.

As at June 30, 2016 and December 31, 2015, the Pool invested in debt securities with thefollowing credit ratings:

.

% of Net Assets

Debt Securities by Credit Rating (note 2b) June 30, 2016 December 31, 2015x

x

'AAA' 0.3 0.4x

'AA' 0.6 0.6x

'A' 1.9 2.0xxx

Total 2.8 3.0xx

Currency RiskThe tables that follow indicate the currencies to which the Pool had significant exposureas at June 30, 2016 and December 31, 2015, based on the market value of the Pool'sfinancial instruments (including cash and cash equivalents) and the underlying principalamounts of forward foreign currency contracts, as applicable.

As at June 30, 2016

Currency (note 2l)Total Currency

Exposure* ($000s)% of

Net Assetsx

x

USD 5,051,946 100.1xxx

* Amounts reflect the carrying value of monetary and non-monetary items (including the notionalamount of forward foreign currency contracts, if any).

As at December 31, 2015

Currency (note 2l)Total Currency

Exposure* ($000s)% of

Net Assetsx

x

USD 5,195,772 100.3xxx

* Amounts reflect the carrying value of monetary and non-monetary items (including the notionalamount of forward foreign currency contracts, if any).

The table that follows indicates how net assets as at June 30, 2016 and December 31,2015 would have decreased or increased had the Canadian dollar strengthened orweakened by 1% in relation to all foreign currencies. This analysis assumes that all othervariables remain unchanged. In practice, the actual results may differ from this analysisand the difference could be material.

June 30, 2016 December 31, 2015x

x

Impact on Net Assets ($000s) 50,541 51,965xx

Interest Rate RiskAs at June 30, 2016 and December 31, 2015, the majority of the Pool’s financial assetsand liabilities are non-interest bearing and short-term in nature; accordingly, the Pool isnot subject to significant amounts of risk due to fluctuations in the prevailing levels ofmarket interest rates.

Liquidity RiskLiquidity risk is the risk that the Pool will encounter difficulty in meeting obligationsassociated with financial liabilities. The Pool is exposed to daily cash redemptions ofredeemable units. The Pool maintains sufficient cash on hand to fund anticipatedredemptions.

With the exception of derivative contracts, where applicable, all of the Pool’s financialliabilities are short-term liabilities maturing within 90 days after the period end.

For pools that hold derivative contracts with a term-to-maturity that exceeds 90 days fromthe period end, further information related to those contracts can be referenced in thederivative schedules following the Schedule of Investment Portfolio.

Other Price/Market RiskThe table that follows indicates how net assets as at June 30, 2016 and December 31,2015 would have increased or decreased had the value of the Pool’s benchmark(s)increased or decreased by 1%. This change is estimated based on the historicalcorrelation between the return of Class A units of the Pool as compared to the return ofthe Pool’s benchmark(s), using 36 monthly data points, as available, based on the monthlynet returns of the Pool. This analysis assumes that all other variables remain unchanged.The historical correlation may not be representative of the future correlation and,accordingly, the impact on net assets could be materially different..

Impact on Net Assets ($000s)

Benchmark June 30, 2016 December 31, 2015x

x

S&P 500 Index 52,766 52,998xx

Fair Value Measurement of Financial InstrumentsThe following is a summary of the inputs used as at June 30, 2016 and December 31,2015 in valuing the Pool’s financial assets and financial liabilities, carried at fair value:

15



As at June 30, 2016Level 1 (i) Level 2 (ii) Level 3 (iii) Total

Classification ($000s) ($000s) ($000s) ($000s)xx

Financial Assetsx

Short-Term Investments – 143,060 – 143,060x

Equities 4,768,599 – – 4,768,599x

Derivative assets 1,469 39,629 – 41,098xxx

Total Financial Assets 4,770,068 182,689 – 4,952,757xx

x

Financial Liabilitiesx

Derivative liabilities – (39,970) – (39,970)xxx

Total Financial Liabilities – (39,970) – (39,970)xx

x

Total Financial Assets and Liabilities 4,770,068 142,719 – 4,912,787xx

x

(i) Quoted prices in active markets for identical assetsx

(ii) Significant other observable inputsx

(iii) Significant unobservable inputs

As at December 31, 2015Level 1 (i) Level 2 (ii) Level 3 (iii) Total

Classification ($000s) ($000s) ($000s) ($000s)xx

Financial Assetsx

Short-Term Investments – 155,262 – 155,262x

Equities 4,898,369 – – 4,898,369x

Derivative assets 2,032 48,462 – 50,494xxx

Total Financial Assets 4,900,401 203,724 – 5,104,125xx

x

Financial Liabilitiesx

Derivative liabilities – (48,516) – (48,516)xxx

Total Financial Liabilities – (48,516) – (48,516)xx

x

Total Financial Assets and Liabilities 4,900,401 155,208 – 5,055,609xx

x

(i) Quoted prices in active markets for identical assetsx

(ii) Significant other observable inputsx

(iii) Significant unobservable inputs

Transfer of assets between Level 1 and Level 2Financial assets and liabilities transferred from Level 1 to Level 2 are the result ofsecurities no longer being traded in an active market.

For the periods ended June 30, 2016 and December 31, 2015, there were no transfers offinancial assets and liabilities from Level 1 to Level 2.

Financial assets and liabilities transferred from Level 2 to Level 1 are the result ofsecurities now being traded in an active market.

For the periods ended June 30, 2016 and December 31, 2015, there were no transfers offinancial assets and liabilities from Level 2 to Level 1.

Reconciliation of financial asset and liability movement – Level 3The Pool did not hold any significant positions of Level 3 investments at the beginning of,during, or at the end of either reporting period.

16

Notes to Financial Statements (unaudited)

x

As at and for the periods as disclosed in the financial statements (note 1)

1. Organization of the Funds and Financial Reporting Periods

The Imperial Pools consist of Imperial Money Market Pool, Imperial Short-Term Bond Pool, Imperial Canadian Bond Pool, Imperial Canadian Diversified Income Pool, Imperial International Bond Pool, Imperial EquityHigh Income Pool, Imperial Canadian Dividend Income Pool, Imperial Global Equity Income Pool, Imperial Canadian Equity Pool, Imperial U.S. Equity Pool, Imperial International Equity Pool, Imperial Overseas Equity Pool,and Imperial Emerging Economies Pool (individually, a Pool, and collectively, the Pools).

Conservative Income Portfolio, Balanced Income Portfolio and Enhanced Income Portfolio (individually, a Portfolio, and collectively, the Portfolios) were established on December 14, 2015.

Each of the Imperial Pools and Portfolios (individually, a Fund, and collectively, the Funds) is a mutual fund trust organized under the laws of Ontario and governed by a declaration of trust (Declaration of Trust). Theaddress of the Funds' registered office is 18 York Street, Suite 1300, Toronto, Ontario.

Canadian Imperial Bank of Commerce (CIBC) is the manager (the Manager) of the Funds and CIBC Trust Corporation is the trustee (the Trustee) of the Funds. Each Fund may issue an unlimited number of classes ofunits and an unlimited number of units of each class. As at the date of these financial statements, Class A units of each of the Funds are available for sale, except for the Conservative Income Portfolio which offersClass T3 and Class T4 units, the Balanced Income Portfolio which offers Class T4 and Class T5 units, and the Enhanced Income Portfolio which offers Class T5 and Class T6 units.

The date upon which each Fund was established by Declaration of Trust (Date Established) and the date upon which units of each Fund was first sold to the public (Inception Date) are reported in footnote Organizationof the Fund on the Statements of Financial Position.

The Schedule of Investment Portfolio of each Fund is as at June 30, 2016. The Statements of Financial Position of each of the Funds are as at June 30, 2016 and December 31, 2015. The Statements of ComprehensiveIncome, Statements of Changes in Net Assets Attributable to Holders of Redeemable Units, and Statements of Cash Flows of each of the Funds are for the six-month periods ended June 30, 2016 and December 31,2015, except for Funds established during either year, in which case the information presented is from the Date Established or the Inception Date to June 30, 2016 or 2015.

These financial statements were approved for issuance by the Manager on August 18, 2016.xx

2. Summary of Significant Accounting Policies

These financial statements have been prepared in accordance with International Accounting Standards Interim Financial Reporting (IAS 34) as published by the International Accounting Standards Board (IASB).The Funds adopted IFRS in 2014 as required by Canadian securities legislation and the Canadian Accounting Standards Board. Previously, the Funds prepared their financial statements in accordance with Canadiangenerally accepted accounting principles (GAAP) as defined in Part V of the CPA Canada Handbook.

The financial statements have been prepared on a going concern basis using the historical cost convention. However, each Fund is an investment entity and primarily all financial assets and financial liabilities aremeasured at fair value in accordance with IFRS. Accordingly, the Funds’ accounting policies for measuring the fair value of investments and derivatives are consistent with those used in measuring the Net Asset Valuefor transactions with unitholders. In applying IFRS, these financial statements include estimates and assumptions made by management that affect the reported amounts of assets, liabilities, income, and expensesduring the reporting periods. However, existing circumstances and assumptions may change due to market changes or circumstances arising beyond the control of the Funds. Such changes are reflected in theassumptions when they occur.

These financial statements have been presented in Canadian dollars, which is the Funds’ functional currency (unless otherwise noted).

a) Financial Instruments

Classification and recognition of financial instruments

In accordance with IAS 39 Financial Instruments: Recognition and Measurement, financial assets and financial liabilities are classified at initial recognition into the following categories:

Financial assets and liabilities at fair value through profit or loss (FVTPL)

This category is sub-divided into:

l Financial instruments classified as Held For Trading: Financial assets and liabilities are classified as Held For Trading if they are acquired for the purpose of selling and/or repurchasing in the near term, andare acquired principally for the purpose of generating a profit from short-term fluctuations in price. Derivatives and securities sold short held by the Funds are classified as Held For Trading and do not meetthe definition of effective hedging instruments as defined by IAS 39.

l Financial instruments designated as FVTPL through inception: All investments held by the Funds, excluding those classified as Held For Trading (discussed above), are designated as fair value through profitor loss upon initial recognition. These financial assets are designated upon initial recognition on the basis that they are part of a group of financial assets that are managed and have their performanceevaluated on a fair value basis, in accordance with risk management and investment strategies of the Funds, as set out in the Funds’ prospectus.

Loans and receivables

The Funds include in this category receivable balances relating to portfolio investments and other short-term receivables such as receivable for units issued.

Other financial liabilities

This category includes all financial liabilities, other than those classified as fair value through profit or loss. The Funds include in this category amounts relating to payables for portfolio securities purchased and otheraccrued liabilities such as payable for units redeemed and distributions payable to holders of redeemable units.

All Funds have contractual obligations to distribute cash to the unitholders. As a result, each Fund's obligation for net assets attributable to holders of redeemable units represents a financial liability and is presentedat the redemption amount.

b) Risk Management

The Funds’ overall risk management approach includes formal guidelines that govern the extent of exposure to various types of risk, including diversification within asset classes and limits on the exposure to individualinvestments and counterparties. In addition, derivative financial instruments may be used to manage certain risk exposures. The Manager also has various internal controls to oversee the Funds’ investment activities,including monitoring compliance with the investment objectives and strategies, internal guidelines, and securities regulations. Please refer to each Fund’s Supplemental Schedule to Schedule of InvestmentPortfolio for specific risk disclosures.

Fair value of financial instruments by using valuation techniques

Financial instruments are valued at their fair value which is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at themeasurement date. Refer to note 3a to 3f for valuation of each specific type of financial instrument held by the Funds. The fair value of financial assets and liabilities traded in active markets are based on quotedmarket prices at the close of trading on the reporting date. The Funds use the last traded market price for both financial assets and financial liabilities where the last traded price falls within that day’s bid-ask spread.In circumstances where the last traded price is not within the bid-ask spread, the Manager determines the price that is most representative of fair value based on the specific facts and circumstances.

For financial assets and financial liabilities that are not traded in an active market, fair value is determined using valuation techniques.

The Funds classify fair value measurement within a hierarchy which gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority tounobservable inputs (Level 3). The three levels of the fair value hierarchy are:

Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date;

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

Level 3: Inputs are unobservable for the asset or liability.

17

p / 2 Notes to Financial Statements (unaudited)

If inputs are used to measure an asset’s or liability’s fair value, the classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement. Each Fund’s fair value hierarchyclassification of its assets and liabilities is included in the Supplemental Schedule to Schedule of Investment Portfolio.

The carrying values of all non-investment assets and liabilities approximate their fair values due to their short-term nature. Fair values are classified as Level 1 when the related security or derivative is actively tradedand a quoted price is available. If an instrument classified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1. In such cases, instruments are reclassified into Level 2, unless themeasurement of its fair value requires the use of significant unobservable inputs, in which case it is classified as Level 3.

The Manager is responsible for performing the fair value measurements included in the financial statements of a Fund, including the Level 3 measurements. The Manager obtains pricing from third-party pricingvendors and the pricing is reviewed daily. At each financial reporting date, the Manager reviews and approves all Level 3 fair value measurements. The Funds also have a Valuation Committee which meets quarterly toperform detailed reviews of the valuations of investments held by the Funds, which includes discussion on Level 3 measurements.

Credit risk

Credit risk is the risk that a counterparty to a financial instrument, such as a fixed income security or a derivative contract, will fail to discharge an obligation or commitment that it has entered into with the Funds. Thevalue of fixed income securities and derivatives as presented on the Schedule of Investment Portfolio includes consideration of the creditworthiness of the issuer and, accordingly, represents the maximum credit riskexposure of the Funds. Certain Funds may invest in short-term fixed income securities issued or guaranteed primarily by the Government of Canada or any Canadian provincial government, obligations of Canadianchartered banks or trust companies, and commercial paper with approved credit ratings. The risk of default on these short-term fixed income securities is considered low and these securities primarily have creditratings of ‘A-1 (Low)’ or higher (as rated by S&P Global Ratings, a division of S&P Global, or equivalent rating from another rating service).

The bond ratings noted in the Funds’ ‘Financial Instruments Risk’ under sub-section ‘Credit Risk’ represent ratings collected and disseminated by recognized third party vendors. These ratings utilized by the Manager,while obtained from vendors skilled and recognized for bond rating services, may not be the same as those used directly by the portfolio advisor or portfolio sub-advisors. Ratings used by the portfolio advisor orportfolio sub-advisors could be higher or lower than those used for risk disclosure in the financial statements in compliance with their investment policy guidelines.

The Funds may engage in securities lending transactions. The credit risk related to securities lending transactions is limited by the fact that the value of cash or securities held as collateral by the Funds in connectionwith these transactions is at least 102% of the fair value of the securities loaned. The collateral and loaned securities are marked to market on each business day. Further information regarding the collateral andsecurities on loan can be found in the footnotes to the Statements of Financial Position and in note 2j.

Currency risk

Currency risk is the risk that the value of an investment will fluctuate due to changes in foreign exchange rates. Mutual funds may invest in securities denominated or traded in currencies other than the funds’reporting currency.

Interest rate risk

Prices of fixed income securities generally increase when interest rates decline and decrease when interest rates rise. This risk is known as interest rate risk. Prices of longer-term fixed income securities will generallyfluctuate more in response to interest rate changes than would shorter-term securities. Due to the nature of short-term fixed income securities with a remaining term-to-maturity of less than one year, theseinvestments are not generally exposed to a significant risk that their value will fluctuate in response to changes in the prevailing levels of market interest rates.

Liquidity risk

The Funds are exposed to daily cash redemptions of redeemable units. Generally, the Funds retain sufficient cash and cash equivalent positions to maintain adequate liquidity. However, liquidity risk also involves theability to sell an asset for cash easily and at a fair price. Some securities are illiquid due to legal restrictions on their resale, the nature of the investment, or simply a lack of interested buyers for a particular security orsecurity type. Certain securities may become less liquid due to changes in market conditions, such as interest rate changes or market volatility, which could impair the ability of a Fund to sell such securities quickly or ata fair price. Difficulty in selling securities could result in a loss or lower return for a Fund.

Other price/market risk

Other price/market risk is the risk that the value of investments will fluctuate as a result of changes in market conditions. Several factors can influence market trends, such as economic developments, changes ininterest rates, political changes, and catastrophic events. All investments are exposed to other price/market risk.

c) Investment Transactions, Income Recognition, and Recognition of Realized and Unrealized Gains and Losses

i) Interest for distribution purposes shown on the Statements of Comprehensive Income represents the coupon interest received by the Fund accounted for on an accrual basis. The Funds do not amortizepremiums paid or discounts received on the purchase of fixed income securities except for zero coupon bonds, which are amortized on a straight-line basis.

ii) Dividend income is recorded on the ex-dividend date.

iii) Securities that are exchange-traded are recorded at fair value established by the last traded market price when that price falls within that day’s bid-ask spread. Debt securities are recorded at fair value,established by the last traded price on the over-the-counter market (OTC) when that price falls within that day’s bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread,the Manager determines the price that is most representative of fair value based on the specific facts and circumstances. Unlisted securities are recorded at fair value using fair valuation techniquesestablished by the Manager in establishing a fair value.

iv) Realized gains and losses on investments and unrealized appreciation or depreciation of investments are calculated using the average cost, excluding transaction costs, of the related investments.

v) Other income is the sum of income, excluding transaction costs, other than that which is separately classified on the Statements of Comprehensive Income.

d) Offsetting

Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position, if there is a currently enforceable legal right to offset the recognized amounts and there is an intention tosettle on a net basis, or to realize the asset and settle the liability simultaneously.

Where applicable, additional information can be found in the table Offsetting Arrangements as part of the Supplemental Schedule to Schedule of Investment Portfolio. This supplemental schedule discloses the OTCderivatives which are subject to offsetting.

e) Portfolio Securities

The cost of securities of a Fund is determined in the following manner: securities are purchased and sold at a market-traded price to arrive at a value for the position traded. The total purchased value represents thetotal cost of the security to the Fund. When additional units of the same security are purchased, the cost of those additional units is added to the total security cost. When units of the same security are sold, theproportionate cost of the units of the security sold is deducted from the total security cost. If there is a return of capital paid by a security, the amount of this return of capital is deducted from the total security cost.This method of tracking security cost is known as “average cost” and the current total for any one security is referred to as the “adjusted cost base” or “ACB” of the security. Transaction costs incurred in portfoliotransactions are excluded from the average cost of investments and are recognized immediately in net income and are presented as a separate expense item in the financial statements.

The difference between the fair value of securities and their average cost, excluding transaction costs, represents the unrealized appreciation (depreciation) in value of the portfolio investments. The applicable periodchange in unrealized appreciation (depreciation) of investments is included on the Statements of Comprehensive Income.

Short-term investments on the Schedule of Investment Portfolio are presented at their amortized cost which approximates the fair value. Accrued interest for bonds is disclosed separately on the Statements ofFinancial Position.

f) Foreign Exchange

The value of investments and other assets and liabilities denominated in foreign currencies is translated into Canadian dollars, which is the Funds’ functional and presentation currency at the current rates prevailing oneach valuation date (unless otherwise indicated).

Purchases and sales of investments, income, and expenses are translated into Canadian dollars, which is the Funds’ functional and presentation currency at the foreign exchange rates prevailing on the dates of suchtransactions. Foreign currency translation gains (losses) on investments and income transactions are included in Net realized gain (loss) on foreign currency on the Statements of Comprehensive Income.

18

Notes to Financial Statements (unaudited) p / 3

g) Forward Foreign Currency Contracts

The Funds may enter into forward foreign currency contracts for either hedging or non-hedging purposes where such activity is consistent with their investment objectives and as permitted by the Canadian securitiesregulatory authorities.

Changes in the fair value of forward foreign currency contracts are included in derivative assets or derivative liabilities on the Statements of Financial Position and are recorded as an Increase (decrease) in unrealizedappreciation (depreciation) of investments and derivatives during the applicable period on the Statements of Comprehensive Income.

The gain or loss arising from the difference between the value of the original forward foreign currency contract and the value of such contract at close or delivery is realized and recorded as Net realized gain (loss) onforeign currency for Pools that use the forward foreign currency contracts for hedging or as Derivative income (loss) for Pools that do not use the forward foreign currency contracts for hedging.

h) Futures Contracts

The margin deposits with brokers relating to futures contracts are included in Margin on the Statements of Financial Position. Any change in the margin requirement is settled daily and included in Receivable forportfolio securities sold or Payable for portfolio securities purchased on the Statements of Financial Position.

Any difference between the settlement value at the close of business on each valuation date and the settlement value at the close of business on the previous valuation date is recorded as Derivative income (loss) onthe Statements of Comprehensive Income.

i) Options

Premiums paid for purchased call and put options are included in derivative assets and subsequently measured at fair value on the Statements of Financial Position. When a purchased option expires, the Fund willrealize a loss in the amount of the cost of the option. For a closing transaction, the Fund will realize a gain or loss depending on whether the proceeds are greater or less than the premium paid at the time of purchase.When a purchased call option is exercised, the cost of the security purchased is increased by the premium paid at the time of purchase.

Premiums received from writing options are included in derivative liabilities and subsequently measured at fair value on the Statements of Financial Position as initial reductions in the value of investments. Premiumsreceived from writing options that expire unexercised are recorded as realized gains and reported as Net gain (loss) on sale of investments and derivatives on the Statements of Comprehensive Income. For a closingtransaction, if the cost of closing the transaction exceeds the premium received, the Fund will record a realized loss or, if the premium received at the time the option was written is greater than the amount paid,the Fund will record a realized gain and is reported as Net gain (loss) on sale of investments and derivatives. If a written put option is exercised, the cost for the security delivered is reduced by the premiums received atthe time the option was written.

j) Securities Lending

A Fund may lend portfolio securities in order to earn additional revenue, which is disclosed on the Statements of Comprehensive Income. The loaned assets of any one Fund are not permitted to exceed 50% of thefair value of the assets of that Fund (excluding collateral debt for the loaned securities). The minimum allowable collateral is 102% of the fair value of the loaned securities as per the requirements of NationalInstrument 81-102 – Investment Funds. Collateral can consist of the following:

i) Cash.

ii) Qualified securities.

iii) Irrevocable letters of credit issued by a Canadian financial institution that is not the counterparty, or an affiliate counterparty, of the pool in the transaction, if evidences of indebtedness of the Canadianfinancial institution that are rated as short-term debt by an approved credit rating organization have an approved credit rating.

iv) Securities that are immediately convertible into securities of the same issuer, class, or type, and the same term, as the securities loaned.

The fair value of the loaned securities is determined on the close of any valuation date and any additional required collateral is delivered to the Pool on the next business day. The securities on loan continue to beincluded on the Schedule of Investment Portfolio, and are included in the total value on the Statements of Financial Position in Investments (non-derivative financial assets) at fair value. Where applicable, a Fund’ssecurities lending transactions are reported in footnote Securities Lending on the Statements of Financial Position.

Changes to National Instrument 81-106 – Investment Fund Continuous Disclosure took effect for Funds with a financial year beginning on or after January 1, 2016. Those changes now require a reconciliation of thegross amount generated from the securities lending transactions of the Funds to the revenue from securities lending disclosed in the Funds’ Statements of Comprehensive Income. The gross amount generated fromsecurities lending includes interest paid on collateral, withholding taxes deducted, the fees paid to the Funds’ lending agent and the securities lending revenue received by the Funds. Where applicable, thereconciliation can be found in the footnotes to the Funds’ Statements of Comprehensive Income.

k) Loans and Receivables, Other Assets and Liabilities

Loans and Receivables, other assets and liabilities (other than those classified as FVTPL) are recorded at cost, which approximates their fair value, with the exception of Net Assets Attributable to Holders ofRedeemable Units which are presented at the redemption value.

l) Legend of Abbreviations

The following is a list of abbreviations (foreign currency translation and others) that may be used in the Schedule of Investment Portfolio:x

x..x

x

Currency Abbreviations

x..

ARS – Argentine Peso JPY – Japanese Yen..

AUD – Australian Dollar KES – Kenyan Shilling..

BRL – Brazilian Real KRW – South Korean Won..

CAD – Canadian Dollar MAD – Morocco Dirham..

CHF – Swiss Franc MXN – Mexican Peso..

CLP – Chilean Peso MYR – Malaysian Ringgit..

CNY – Chinese Renminbi NOK – Norwegian Krone..

COP – Colombian Peso NZD – New Zealand Dollar..

CZK – Czech Koruna PHP – Philippine Peso..

DKK – Danish Krone PLN – Polish Zloty..

EGP – Egyptian Pound RUB – Russian Ruble..

EUR – Euro SEK – Swedish Krona..

GBP – British Pound SGD – Singapore Dollar..

HKD – Hong Kong Dollar THB – Thai Baht..

HUF – Hungarian Forint TRY – New Turkish Lira..

IDR – Indonesian Rupiah TWD – Taiwan Dollar..

ILS – Israeli Shekel USD – United States Dollar..

INR – Indian Rupee ZAR – South African Rand

19

p / 4 Notes to Financial Statements (unaudited)

..

Other Abbreviations

..

ADR – American Depositary Receipt..

CVO – Contingent Value Obligations..

ETF – Exchange-Traded Fund..

GDR – Global Depositary Receipt Securities..

NVDR – Non-Voting Depositary Receiptxxxxxxxx

m) Standards issued but not yet effective

Standards issued but not yet effective up to the date of issuance of the Funds’ financial statements are listed below. The Funds intend to adopt applicable standards when they become effective.

IFRS 9, Financial Instruments - Classification and Measurement

In July 2014, the IASB issued the final version of IFRS 9, Financial Instruments which reflects all phases of the financial instruments project and replaces IAS 39, Financial Instruments: Recognition and Measurementand all previous versions of IFRS 9. The standard introduces new requirements for classification and measurement, impairment, and hedge accounting. IFRS 9 is effective for annual periods beginning on or afterJanuary 1, 2018, with early application permitted. The Funds are in the process of assessing the impact of IFRS 9.

n) Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per Unit

Increase (decrease) in net assets attributable to holders of redeemable units per unit of each class is calculated by dividing the Increase (decrease) in net assets attributable to holders of redeemable units (excludingdistributions), as reported on the Statements of Comprehensive Income, by the weighted average number of units in issue during the related period.

3. Valuation of Investments

The valuation date (Valuation Date) for a Fund is any day when the Manager’s head office is open for business. The Manager may, at its discretion, establish other Valuation Dates.

The fair value of the investments or assets of a Fund is determined as follows:

a) Cash and Other Assets

Cash, accounts receivable, dividends receivable, distributions receivable, and interest receivable are valued at fair value or at their recorded cost, plus or minus any foreign exchange between recognition of the assetby the Fund and the current Valuation Date, which approximates fair value.

b) Bonds, Debentures, and Other Debt Obligations

Bonds, debentures, and other debt obligations are fair valued using the last traded price provided by a recognized vendor upon the close of trading on a Valuation Date, whereby the last traded price falls within thatday’s bid-ask spread. If the last traded price does not fall within that day’s bid-ask spread, then the Manager will determine the price that is most representative of fair value based on the specific facts andcircumstances.

c) Listed Securities, Unlisted Securities, and Fair Value Pricing of Foreign Securities

Any security that is listed or traded on a securities exchange is fair valued using the last traded price, whereby the last traded price falls within that day’s bid-ask spread or, if there is no traded price on that exchangeor the last traded price does not fall within that day’s bid-ask spread and in the case of securities traded on an OTC market, at the fair value as determined by the Manager as an appropriate basis for valuation. In suchsituations, a fair value will be determined by the Manager to establish current value. If any securities are inter-listed or traded on more than one exchange or market, the Manager will use the principal exchange ormarket for the fair value of such securities.

Units of each mutual fund in which a Fund invests will be valued at fair value using the most recent net asset value quoted by the Trustee or Manager of the mutual fund on the Valuation Date.

Unlisted securities are fair valued using the last traded price quoted by a recognized dealer, or the Manager may determine a price that more accurately reflects the fair value of these securities if the Manager feelsthe last traded price does not reflect fair value.

Fair value pricing is designed to avoid stale prices and to provide a more accurate fair value, and may assist in the deterrence of harmful short-term or excessive trading in the Fund. When securities listed or traded onmarkets or exchanges that close prior to North or South American markets or exchanges are valued by the Manager at their fair market value, instead of using quoted or published prices, the prices of such securitiesused to calculate the Fund’s net assets or net asset value may differ from quoted or published prices of such securities.

d) Derivatives

Long positions in options, debt-like securities, and listed warrants are valued at fair value using the last traded price as established on either their principal trading exchange or by a recognized dealer in such securities,whereby the last traded price falls within that day’s bid-ask spread and the credit rating of each counterparty (as rated by S&P Global Ratings, a division of S&P Global) meets or exceeds the minimum approved creditrating.

When any option is written by any Fund, the premium received by the Fund will be reflected as a liability that will be valued at an amount equal to the current fair value of the option that would have the effect ofclosing the position. Any difference resulting from revaluation shall be treated as an unrealized gain or loss on investment; the liability shall be deducted in arriving at the net assets attributable to holders ofredeemable units of the Fund. The securities that are the subject of a written option, if any, will be valued in the manner described above for listed securities.

Futures contracts, forward contracts, or swaps will be valued at fair value of the gain or loss, if any, that would be realized on the Valuation Date if the position in the futures contracts, forward contracts, or swapswere to be closed out.

Margin paid or deposited in respect of futures contracts and forward contracts will be reflected as an account receivable and margin consisting of assets other than cash will be noted as held as collateral.

Other derivatives and margin are fair valued in a manner that the Manager determines to represent their fair value.

e) Restricted Securities

Restricted securities purchased by any Fund will be fair valued in a manner that the Manager determines to represent their fair value.

f) Other Investments

All other investments of the Funds will be fair valued in accordance with the laws of the Canadian securities regulatory authorities, where applicable.

The value of any security or other property of a Fund for which a market quotation is not readily available or where the market quotations do not properly reflect the fair value of such securities will be determined bythe Manager by valuing the securities at their fair value. In such situations, fair value will be determined using the fair valuation technique that most accurately reflects the fair value as established by the Manager.

4. Interest in Underlying Funds

The Funds may invest in other investment funds (Underlying Funds). Each Underlying Fund invests i

imperialu.s.equitypool interimfinancialreports(unaudited) · 2021. 1. 14. · xc ur en ta s xi nv...

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