2009 Semi-Annual Financial Statement as at June 30, 2009

Transcription

1 2009 Semi-Annual Financial Statement as at June 30, 2009 Clarica Segregated Funds managed by CI Investments Inc. issued by Sun Life Assurance Company of Canada

2 A look inside Overview...1 Equity Funds Clarica CI Dividend Equity Benefit Fund...2 Clarica CI Equity Fund B...6 Clarica CI North American Equity Fund...10 Income Funds Clarica Income Fund Notes to the Financial Statements...17 Legal Notice...19

3 2 Queen Street East, Twentieth Floor Toronto, Ontario M5C 3G7 Telephone: Toll Free: Facsimile: Enclosed are the Financial Statements for your CI Investments segregated funds for the period ending June 30, Inside is important information about each fund, including its financial statements for the period and a list of the top portfolio holdings of the underlying fund as of the end of the year. Additional information about your funds can be found on our website, If you have any questions about your investments, please contact your financial advisor. CI is proud to partner with advisors across Canada. We believe investors are most successful when they follow an investment plan developed with the assistance of a qualified advisor. ABOUT CI INVESTMENTS CI has been investing on behalf of Canadians since 1965 and has grown to become one of Canada s largest investment fund companies. We manage over $50 billion on behalf of two million Canadians. CI is a subsidiary of CI Financial Corp., a TSX-listed financial services firm with over $80 billion in fee-earning assets at June 30, CI provides one of the industry s widest selections of investment products and services and a strong lineup of leading portfolio management teams. Our portfolio management expertise is offered through several platforms, including mutual funds, tax-efficient funds, segregated funds, and managed solutions. You may also contact CI Client Services at Thank you for investing with us. 1

4 Clarica CI Dividend Equity Benefit Top 25 Holdings of Underlying Mutual Fund (unaudited) No. of Shares/ Average Fair Face Amount Investment Cost ($) Value ($) 2,320,600 Canadian Imperial Bank of Commerce 146,518, ,314,186 2,022,220 Royal Bank of Canada 77,424,884 96,197,005 2,223,600 Barrick Gold Corp. 87,206,453 87,053,940 1,400,483 Toronto-Dominion Bank 69,234,975 84,155,023 3,864,100 Manulife Financial Corp. 74,358,750 78,016,179 1,170,200 Canadian Natural Resources Ltd. 66,289,650 71,604,538 4,218,000 Talisman Energy Inc. 61,877,864 70,482,780 4,563,300 Bank of America Corp. 62,837,521 70,056,827 1,409,100 Petro-Canada 48,247,490 63,296,772 2,683,200 Principal Financial Group Inc. 53,571,916 58,793,789 1,522,345 Suncor Energy Inc. 52,529,664 53,845,343 1,240,100 Goldcorp Inc. 46,574,458 50,137,243 1,676,600 Rogers Communications Inc., Class B 47,035,982 50,130,340 1,066,800 Bank of Nova Scotia 36,844,005 46,320,456 1,865,400 BCE Inc. 58,864,694 44,769,600 1,109,400 Eli Lilly and Co., Rights 49,405,045 44,695, ,700 Union Pacific Corp. 38,925,758 43,637,131 1,271,841 Manitoba Telecom Services Inc. 49,489,925 43,331,623 1,432,380 TELUS Corp., Non-Voting Shares 58,316,331 42,971, ,500 Johnson & Johnson 44,836,522 42,246, ,400 Canadian Pacific Railway Ltd. 35,393,645 41,250,372 1,231,650 Thomson Reuters PLC 34,045,224 40,815,418 1,096,500 Intact Financial Corp. 27,412,500 37,335,825 1,896,900 Intel Corp. 38,749,833 36,512,363 1,752,620 Lincoln National Corp. 52,775,447 35,080,530 2 CIG

5 Clarica CI Dividend Equity Benefit Financial Statements Statement of Investment Portfolio as at June 30, 2009 (unaudited) No. of Average Fair Units/Shares Investment Cost ($) Value ($) 1,289,219 Signature Select Canadian Fund (Class I) 14,217,870 14,271,659 Total Investments (99.5%) 14,217,870 14,271,659 Other Assets (net) (0.5%) 78,069 Total Net Assets (100.0%) 14,349,728 Statements of Net Assets as at June 30, 2009 (unaudited) and December 31, 2008 (audited) (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the periods ended June 30 (unaudited) (in $000 s) Statements of Changes in Net Assets for the periods ended June 30 (unaudited) (in $000 s) Assets Investments at fair value* Cash Receivable for unit subscriptions Receivable for securities sold Management fee rebate receivable Receivable for dividends and accrued interest Liabilities Bank overdraft Management fees payable Administration fees payable Filing fees payable Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity *Investments at cost Net asset value per unit Schedule 1 Number of units outstanding (Unit transactions Schedule 2) 14,272 13, ,361 13, ,350 13,370 14,218 14, ,478 30,788 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios Schedule 3) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax Net investment income (loss) for the period Realized and unrealized gain (loss) on investments Realized gain (loss) on investments (a) Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments from operations ( from operations per unit Schedule 4) (55) (79) (71) 156 1,678 (11) 1, , Net assets, beginning of period Capital transactions Proceeds from units issued Payments for units redeemed from operations Net assets, end of period 13,370 19, (628) (910) (572) (851) 1, ,350 18,852 (a) Realized gain (loss) on investments Proceeds from sale of investments Investments at cost, beginning of period Investments purchased Investments at cost, end of period Cost of investments sold Realized gain (loss) on investments ,917 16, ,940 16,159 14,218 15, (71) 156 Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to total net assets of the Fund. The accompanying notes are an integral part of these financial statements. 3

6 Clarica CI Dividend Equity Benefit Financial Statements Supplementary Schedules (for the periods ended June 30 and December 31) (unaudited) Schedule Net asset value per unit, end of period ($) Schedule 2 Unit transactions Number of units, beginning of period Units issued for cash Units redeemed -Number of units, end of period 30,788 33, (1,438) (1,594) 29,478 32,476 Schedule 3 Management expense ratios 1, 2 (%) Management and operating expenses Goods and services tax expenses Total management expense ratio Schedule 4 - from operations per unit 3 ($) Management expense information is calculated based on expenses charged directly to the Fund plus, if applicable, expenses of the underlying mutual fund, calculated on a weighted average basis on the percentage weighting of underlying mutual fund and is expressed as an annualized percentage of average net assets for the periods shown. For 2009, the management expense information is calculated as above for the six months ended June 30, 2009 and is expressed as an annualized percentage of average net assets for the six-month period. 2 Effective fiscal 2005, the fiscal year end of the underlying mutual fund changed from December 31 to March 31, As a result, the MER of the underlying mutual fund was based on the most recent audited MER at December 31, It is expected that the MER of the underlying mutual fund at December 31, 2005 would have been less than the prior year MER due to a decline in fees that occurred in September For fiscal 2008, 2007 and 2006, the MER of the underlying mutual fund was based on the most recent MER at December 31, 2008, 2007 and 2006, respectively. 3 from operations per unit of the class is calculated by dividing the increase (decrease) in net assets from operations of the Fund by the weighted average number of units outstanding of the class during the period. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. The accompanying notes are an integral part of these financial statements. 4

7 Clarica CI Dividend Equity Benefit Fund Specific Financial Instruments Risks (Note 2) (unaudited) (Dollar amounts in thousands) During the six-month period the Fund s exposure to currency risk changed significantly as disclosed in the section below. For details relating to other price risk, credit risk, liquidity risk and interest rate risk, refer to the audited annual financial statements as at December 31, 2008, as the Fund s exposure to those risks remains unchanged. Currency Risk The Fund bears the currency risk exposure of the underlying mutual fund. The underlying mutual fund is exposed to currency risk as some of the underlying mutual fund s assets are invested in stocks denominated in currencies other than Canadian dollars, the functional currency of the underlying mutual fund. The tables below summarize the underlying mutual fund s exposure to currency risk, net of derivative instruments, as applicable. as at June 30, 2009 Net Assets Currency (%) US Dollar 15.3 British Pound 2.5 Euro 2.1 Japanese Yen 0.7 Australian Dollar 0.5 Israeli Shekel 0.4 Swiss Franc 0.2 Hong Kong Dollar 0.2 Mexican Peso 0.2 Total 22.1 as at December 31, 2008 Net Assets Currency (%) US Dollar 14.0 British Pound 1.2 Australian Dollar 0.5 Japanese Yen 0.4 Norwegian Krone 0.4 Israeli Shekel 0.4 Hong Kong Dollar 0.3 Mexican Peso 0.2 Swiss Franc 0.1 Total 17.5 As at June 30, 2009, 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, the Fund's net assets would have decreased or increased, respectively, by approximately $317 (December 31, $234). In practice, the actual results may differ materially from the sensitivity analysis due to other market circumstances and investment decisions made by the portfolio manager. The accompanying notes are an integral part of these financial statements. 5

8 Clarica CI Equity Fund B Top 25 Holdings of Underlying Mutual Fund (unaudited) No. of Shares/ Average Fair Face Amount Investment Cost ($) Value ($) 2,320,600 Canadian Imperial Bank of Commerce 146,518, ,314,186 2,022,220 Royal Bank of Canada 77,424,884 96,197,005 2,223,600 Barrick Gold Corp. 87,206,453 87,053,940 1,400,483 Toronto-Dominion Bank 69,234,975 84,155,023 3,864,100 Manulife Financial Corp. 74,358,750 78,016,179 1,170,200 Canadian Natural Resources Ltd. 66,289,650 71,604,538 4,218,000 Talisman Energy Inc. 61,877,864 70,482,780 4,563,300 Bank of America Corp. 62,837,521 70,056,827 1,409,100 Petro-Canada 48,247,490 63,296,772 2,683,200 Principal Financial Group Inc. 53,571,916 58,793,789 1,522,345 Suncor Energy Inc. 52,529,664 53,845,343 1,240,100 Goldcorp Inc. 46,574,458 50,137,243 1,676,600 Rogers Communications Inc., Class B 47,035,982 50,130,340 1,066,800 Bank of Nova Scotia 36,844,005 46,320,456 1,865,400 BCE Inc. 58,864,694 44,769,600 1,109,400 Eli Lilly and Co., Rights 49,405,045 44,695, ,700 Union Pacific Corp. 38,925,758 43,637,131 1,271,841 Manitoba Telecom Services Inc. 49,489,925 43,331,623 1,432,380 TELUS Corp., Non-Voting Shares 58,316,331 42,971, ,500 Johnson & Johnson 44,836,522 42,246, ,400 Canadian Pacific Railway Ltd. 35,393,645 41,250,372 1,231,650 Thomson Reuters PLC 34,045,224 40,815,418 1,096,500 Intact Financial Corp. 27,412,500 37,335,825 1,896,900 Intel Corp. 38,749,833 36,512,363 1,752,620 Lincoln National Corp. 52,775,447 35,080,530 6 CIG

9 Clarica CI Equity Fund B Financial Statements Statement of Investment Portfolio as at June 30, 2009 (unaudited) No. of Average Fair Units/Shares Investment Cost ($) Value ($) 1,411,409 Signature Select Canadian Fund (Class I) 15,609,959 15,624,295 Total Investments (99.7%) 15,609,959 15,624,295 Other Assets (net) (0.3%) 54,477 Total Net Assets (100.0%) 15,678,772 Statements of Net Assets as at June 30, 2009 (unaudited) and December 31, 2008 (audited) (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the periods ended June 30 (unaudited) (in $000 s) Statements of Changes in Net Assets for the periods ended June 30 (unaudited) (in $000 s) Assets Investments at fair value* Cash Receivable for unit subscriptions Receivable for securities sold Management fee rebate receivable Receivable for dividends and accrued interest Liabilities Bank overdraft Management fees payable Administration fees payable Filing fees payable Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity *Investments at cost Net asset value per unit Schedule 1 Number of units outstanding (Unit transactions Schedule 2) 15,624 14, ,717 14, ,679 14,319 15,610 16, ,557 56,782 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios Schedule 3) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax Net investment income (loss) for the period Realized and unrealized gain (loss) on investments Realized gain (loss) on investments (a) Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments from operations ( from operations per unit Schedule 4) (80) (109) (61) 104 1, , , Net assets, beginning of period Capital transactions Proceeds from units issued Payments for units redeemed from operations Net assets, end of period 14,319 19, (415) (497) (298) (343) 1, ,679 19,490 (a) Realized gain (loss) on investments Proceeds from sale of investments Investments at cost, beginning of period Investments purchased Investments at cost, end of period Cost of investments sold Realized gain (loss) on investments ,022 16, ,063 16,478 15,610 15, (61) 104 Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to total net assets of the Fund. The accompanying notes are an integral part of these financial statements. 7

10 Clarica CI Equity Fund B Financial Statements Supplementary Schedules (for the periods ended June 30 and December 31) (unaudited) Schedule Net asset value per unit, end of period ($) Schedule 2 Unit transactions Number of units, beginning of period Units issued for cash Units redeemed -Number of units, end of period 56,782 58, (1,679) (1,484) 55,557 57,716 Schedule 3 Management expense ratios 1, 2 (%) Management and operating expenses Goods and services tax expenses Total management expense ratio Schedule 4 - from operations per unit 3 ($) Management expense information is calculated based on expenses charged directly to the Fund plus, if applicable, expenses of the underlying mutual fund, calculated on a weighted average basis on the percentage weighting of underlying mutual fund and is expressed as an annualized percentage of average net assets for the periods shown. For 2009, the management expense information is calculated as above for the six months ended June 30, 2009 and is expressed as an annualized percentage of average net assets for the six-month period. 2 Effective fiscal 2005, the fiscal year end of the underlying mutual fund changed from December 31 to March 31, As a result, the MER of the underlying mutual fund was based on the most recent audited MER at December 31, It is expected that the MER of the underlying mutual fund at December 31, 2005 would have been less than the prior year MER due to a decline in fees that occurred in September For fiscal 2008, 2007 and 2006, the MER of the underlying mutual fund was based on the most recent MER at December 31, 2008, 2007 and 2006, respectively. 3 from operations per unit of the class is calculated by dividing the increase (decrease) in net assets from operations of the Fund by the weighted average number of units outstanding of the class during the period. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. The accompanying notes are an integral part of these financial statements. 8

11 Clarica CI Equity Fund B Fund Specific Financial Instruments Risks (Note 2) (unaudited) (Dollar amounts in thousands) During the six-month period the Fund s exposure to currency risk changed significantly as disclosed in the section below. For details relating to other price risk, credit risk, liquidity risk and interest rate risk, refer to the audited annual financial statements as at December 31, 2008, as the Fund s exposure to those risks remains unchanged. Currency Risk The Fund bears the currency risk exposure of the underlying mutual fund. The underlying mutual fund is exposed to currency risk as some of the underlying mutual fund s assets are invested in stocks denominated in currencies other than Canadian dollars, the functional currency of the underlying mutual fund. The tables below summarize the underlying mutual fund s exposure to currency risk, net of derivative instruments, as applicable. as at June 30, 2009 Net Assets Currency (%) US Dollar 15.3 British Pound 2.5 Euro 2.1 Japanese Yen 0.7 Australian Dollar 0.5 Israeli Shekel 0.4 Swiss Franc 0.2 Hong Kong Dollar 0.2 Mexican Peso 0.2 Total 22.1 as at December 31, 2008 Net Assets Currency (%) US Dollar 14.0 British Pound 1.2 Australian Dollar 0.5 Japanese Yen 0.4 Norwegian Krone 0.4 Israeli Shekel 0.4 Hong Kong Dollar 0.3 Mexican Peso 0.2 Swiss Franc 0.1 Total 17.5 As at June 30, 2009, 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, the Fund's net assets would have decreased or increased, respectively, by approximately $347 (December 31, $251). In practice, the actual results may differ materially from the sensitivity analysis due to other market circumstances and investment decisions made by the portfolio manager. The accompanying notes are an integral part of these financial statements. 9

12 Clarica CI North American Equity Fund Top 25 Holdings of Underlying Mutual Fund (unaudited) No. of Shares/ Average Fair Face Amount Investment Cost ($) Value ($) 2,320,600 Canadian Imperial Bank of Commerce 146,518, ,314,186 2,022,220 Royal Bank of Canada 77,424,884 96,197,005 2,223,600 Barrick Gold Corp. 87,206,453 87,053,940 1,400,483 Toronto-Dominion Bank 69,234,975 84,155,023 3,864,100 Manulife Financial Corp. 74,358,750 78,016,179 1,170,200 Canadian Natural Resources Ltd. 66,289,650 71,604,538 4,218,000 Talisman Energy Inc. 61,877,864 70,482,780 4,563,300 Bank of America Corp. 62,837,521 70,056,827 1,409,100 Petro-Canada 48,247,490 63,296,772 2,683,200 Principal Financial Group Inc. 53,571,916 58,793,789 1,522,345 Suncor Energy Inc. 52,529,664 53,845,343 1,240,100 Goldcorp Inc. 46,574,458 50,137,243 1,676,600 Rogers Communications Inc., Class B 47,035,982 50,130,340 1,066,800 Bank of Nova Scotia 36,844,005 46,320,456 1,865,400 BCE Inc. 58,864,694 44,769,600 1,109,400 Eli Lilly and Co., Rights 49,405,045 44,695, ,700 Union Pacific Corp. 38,925,758 43,637,131 1,271,841 Manitoba Telecom Services Inc. 49,489,925 43,331,623 1,432,380 TELUS Corp., Non-Voting Shares 58,316,331 42,971, ,500 Johnson & Johnson 44,836,522 42,246, ,400 Canadian Pacific Railway Ltd. 35,393,645 41,250,372 1,231,650 Thomson Reuters PLC 34,045,224 40,815,418 1,096,500 Intact Financial Corp. 27,412,500 37,335,825 1,896,900 Intel Corp. 38,749,833 36,512,363 1,752,620 Lincoln National Corp. 52,775,447 35,080, CIG

13 Clarica CI North American Equity Fund Financial Statements Statement of Investment Portfolio as at June 30, 2009 (unaudited) No. of Average Fair Units/Shares Investment Cost ($) Value ($) 2,366,456 Signature Select Canadian Fund (Class I) 26,590,270 26,196,672 Total Investments (99.4%) 26,590,270 26,196,672 Other Assets (net) (0.6%) 146,153 Total Net Assets (100.0%) 26,342,825 Statements of Net Assets as at June 30, 2009 (unaudited) and December 31, 2008 (audited) (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the periods ended June 30 (unaudited) (in $000 s) Statements of Changes in Net Assets for the periods ended June 30 (unaudited) (in $000 s) Assets Investments at fair value* Cash Receivable for unit subscriptions Receivable for securities sold Management fee rebate receivable Receivable for dividends and accrued interest Liabilities Bank overdraft Management fees payable Administration fees payable Filing fees payable Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity *Investments at cost Net asset value per unit Schedule 1 Number of units outstanding (Unit transactions Schedule 2) 26,197 23, ,366 24, ,343 24,086 26,590 27, ,612 63,103 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios Schedule 3) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax Net investment income (loss) for the period Realized and unrealized gain (loss) on investments Realized gain (loss) on investments (a) Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments from operations ( from operations per unit Schedule 4) (111) (151) (96) 215 3, , , Net assets, beginning of period Capital transactions Proceeds from units issued Payments for units redeemed from operations Net assets, end of period 24,086 34, (762) (1,483) (576) (1,268) 2, ,343 32,960 (a) Realized gain (loss) on investments Proceeds from sale of investments Investments at cost, beginning of period Investments purchased Investments at cost, end of period Cost of investments sold Realized gain (loss) on investments 730 1,469 27,369 28, ,416 28,816 26,590 27, ,254 (96) 215 Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to total net assets of the Fund. The accompanying notes are an integral part of these financial statements. 11

14 Clarica CI North American Equity Fund Financial Statements Supplementary Schedules (for the periods ended June 30 and December 31) (unaudited) Schedule Net asset value per unit, end of period ($) Schedule 2 Unit transactions Number of units, beginning of period Units issued for cash Units redeemed -Number of units, end of period 63,103 67, (1,980) (2,957) 61,612 64,530 Schedule 3 Management expense ratios 1, 2 (%) Management and operating expenses Goods and services tax expenses Total management expense ratio Schedule 4 - from operations per unit 3 ($) Management expense information is calculated based on expenses charged directly to the Fund plus, if applicable, expenses of the underlying mutual fund, calculated on a weighted average basis on the percentage weighting of underlying mutual fund and is expressed as an annualized percentage of average net assets for the periods shown. For 2009, the management expense information is calculated as above for the six months ended June 30, 2009 and is expressed as an annualized percentage of average net assets for the six-month period. 2 Effective fiscal 2005, the fiscal year end of the underlying mutual fund changed from December 31 to March 31, As a result, the MER of the underlying mutual fund was based on the most recent audited MER at December 31, It is expected that the MER of the underlying mutual fund at December 31, 2005 would have been less than the prior year MER due to a decline in fees that occurred in September For fiscal 2008, 2007 and 2006, the MER of the underlying mutual fund was based on the most recent MER at December 31, 2008, 2007 and 2006, respectively. 3 from operations per unit of the class is calculated by dividing the increase (decrease) in net assets from operations of the Fund by the weighted average number of units outstanding of the class during the period. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. The accompanying notes are an integral part of these financial statements. 12

15 Clarica CI North American Equity Fund Fund Specific Financial Instruments Risks (Note 2) (unaudited) (Dollar amounts in thousands) During the six-month period the Fund s exposure to currency risk changed significantly as disclosed in the section below. For details relating to other price risk, credit risk, liquidity risk and interest rate risk, refer to the audited annual financial statements as at December 31, 2008, as the Fund s exposure to those risks remains unchanged. Currency Risk The Fund bears the currency risk exposure of the underlying mutual fund. The underlying mutual fund is exposed to currency risk as some of the underlying mutual fund s assets are invested in stocks denominated in currencies other than Canadian dollars, the functional currency of the underlying mutual fund. The tables below summarize the underlying mutual fund s exposure to currency risk, net of derivative instruments, as applicable. as at June 30, 2009 Net Assets Currency (%) US Dollar 15.3 British Pound 2.5 Euro 2.1 Japanese Yen 0.7 Australian Dollar 0.5 Israeli Shekel 0.4 Swiss Franc 0.2 Hong Kong Dollar 0.2 Mexican Peso 0.2 Total 22.1 as at December 31, 2008 Net Assets Currency (%) US Dollar 14.0 British Pound 1.2 Australian Dollar 0.5 Japanese Yen 0.4 Norwegian Krone 0.4 Israeli Shekel 0.4 Hong Kong Dollar 0.3 Mexican Peso 0.2 Swiss Franc 0.1 Total 17.5 As at June 30, 2009, 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, the Fund's net assets would have decreased or increased, respectively, by approximately $582 (December 31, $422). In practice, the actual results may differ materially from the sensitivity analysis due to other market circumstances and investment decisions made by the portfolio manager. The accompanying notes are an integral part of these financial statements. 13

16 Clarica Income Fund 2 Top 25 Holdings of Underlying Mutual Fund (unaudited) No. of Shares/ Average Fair Face Amount Investment Cost ($) Value ($) 117,550,000 Canadian Government Bond 3% 06/01/ ,398, ,466,416 78,460,000 Canadian Government Bond, Series YN80 3.5% 06/01/ ,646,470 82,080,144 39,143,000 Canadian Government Bond, Series YF56 4% 06/01/ ,757,004 41,642,672 36,781,000 Canadian Government Bond 4.5% 06/01/ ,153,555 40,346,550 31,015,000 Canadian Government Bond, Series XW98 5% 06/01/ ,750,258 37,016,403 31,557, Ontario School Board Trust 5.9% 06/02/ ,282,087 33,098,244 30,392,000 Canadian Government Bond, Series YR % 06/01/ ,299,274 31,379,132 26,150,000 Province of Ontario 4.3% 03/08/ ,373,520 26,865,726 23,746,000 Canadian Government Bond 3.75% 09/01/ ,770,371 24,932,113 22,055,000 Province of Quebec 6% 10/01/ ,962,894 24,642,052 20,995,000 Canada Housing Trust No.1 4% 06/15/ ,327,553 22,076,243 20,500,000 Province of Quebec 4.5% 12/01/ ,166,598 21,367,150 18,657,000 Canadian Government Bond, Series YL % 06/01/ ,714,775 20,126,052 16,784,000 Canadian Government Bond 4% 06/01/ ,842,323 17,934,879 18,159,000 Austria Government International Bond 5.375% 12/01/ ,791,943 17,837,586 15,221,315 New Brunswick F-M Project Co., Inc., Callable 6.47% 11/30/ ,972,362 16,822,902 13,111,000 Canadian Government Bond 5.75% 06/01/ ,796,125 16,669,850 15,601,000 Canada Housing Trust No.1 4.6% 09/15/ ,891,084 16,614,909 16,350,000 Eurofima 5.15% 12/13/ ,817,284 16,427,009 14,980,000 Bank of Nova Scotia 6% 10/03/ ,032,926 16,152,634 15,770,000 Canadian Western Bank 5.55% 11/19/ ,845,077 15,900,096 14,500,626 Strait Crossing Development Inc. 6.17% 09/15/ ,036,112 14,730,461 13,720,000 Province of Quebec 4.5% 12/01/ ,621,920 14,139,146 13,485,000 Province of Ontario 4.4% 03/08/ ,203,251 14,098,298 13,450,000 Bank of Nova Scotia 4.58% 02/15/ ,488,909 14,073, CIG

17 Clarica Income Fund 2 Financial Statements Statement of Investment Portfolio as at June 30, 2009 (unaudited) No. of Average Fair Units/Shares Investment Cost ($) Value ($) 163,348 Signature Canadian Bond Fund (Class I) 1,601,801 1,617,144 Total Investments (99.9%) 1,601,801 1,617,144 Other Assets (net) (0.1%) 1,568 Total Net Assets (100.0%) 1,618,712 Statements of Net Assets as at June 30, 2009 (unaudited) and December 31, 2008 (audited) (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the periods ended June 30 (unaudited) (in $000 s) Statements of Changes in Net Assets for the periods ended June 30 (unaudited) (in $000 s) Assets Investments at fair value* Cash Receivable for unit subscriptions Receivable for securities sold Management fee rebate receivable Receivable for dividends and accrued interest Liabilities Bank overdraft Management fees payable Administration fees payable Filing fees payable Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity *Investments at cost Net asset value per unit Schedule 1 Number of units outstanding (Unit transactions Schedule 2) 1,617 1, ,620 1, ,619 1,601 1,602 1, ,539 8,610 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios Schedule 3) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax Net investment income (loss) for the period Realized and unrealized gain (loss) on investments Realized gain (loss) on investments (a) Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments from operations ( from operations per unit Schedule 4) (7) 1 (5) Net assets, beginning of period Capital transactions Proceeds from units issued Payments for units redeemed from operations Net assets, end of period 1,601 1, (14) (103) (13) (50) ,619 1,612 (a) Realized gain (loss) on investments Proceeds from sale of investments Investments at cost, beginning of period Investments purchased Investments at cost, end of period Cost of investments sold Realized gain (loss) on investments ,584 1, ,624 1,725 1,602 1, Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to total net assets of the Fund. The accompanying notes are an integral part of these financial statements. 15

18 Clarica Income Fund 2 Financial Statements Supplementary Schedules (for the periods ended June 30 and December 31) (unaudited) Schedule Net asset value per unit, end of period ($) Schedule 2 Unit transactions Number of units, beginning of period Units issued for cash Units redeemed -Number of units, end of period 8,610 9, (77) (564) 8,539 8,844 Schedule 3 Management expense ratios 1, 2 (%) Management and operating expenses Goods and services tax expenses Total management expense ratio Schedule 4 - from operations per unit 3 ($) Management expense information is calculated based on expenses charged directly to the Fund plus, if applicable, expenses of the underlying mutual fund, calculated on a weighted average basis on the percentage weighting of underlying mutual fund and is expressed as an annualized percentage of average net assets for the periods shown. For 2009, the management expense information is calculated as above for the six months ended June 30, 2009 and is expressed as an annualized percentage of average net assets for the six-month period. 2 Effective fiscal 2005, the fiscal year end of the underlying mutual fund changed from December 31 to March 31, As a result, the MER of the underlying mutual fund was based on the most recent audited MER at December 31, It is expected that the MER of the underlying mutual fund at December 31, 2005 would have been less than the prior year MER due to a decline in fees that occurred in September For fiscal 2008, 2007 and 2006, the MER of the underlying mutual fund was based on the most recent MER at December 31, 2008, 2007 and 2006, respectively. 3 from operations per unit of the class is calculated by dividing the increase (decrease) in net assets from operations of the Fund by the weighted average number of units outstanding of the class during the period. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. The accompanying notes are an integral part of these financial statements. 16

19 Clarica Segregated Funds Notes to the Financial Statements (unaudited) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES These financial statements have been prepared in accordance with Canadian Generally Accepted Accounting Principles ( GAAP ). Significant accounting policies used in preparing the semi-annual financial statements are consistent with those used in preparing the annual financial statements. The semi-annual financial statements should be read in conjunction with the Funds December 31, 2008 annual financial statements. The Statement of Investment Portfolio for each of the Funds is as at June 30, 2009 and the Statements of Net Assets are as at June 30, 2009 and December 31, The Statements of Operations and Statements of Changes in Net Assets for each Fund are for the periods ended June 30, 2009 and The Supplementary Schedules to the Financial Statements for each Fund are for six months ended June 30, 2009 and for each of the most recent five periods ended June 30 for schedule 1 and December 31 for schedule 3, and for periods ended June 30, 2009 and 2008 for schedules 2 and 4. The Fund s Specific Financial Instruments Risks for each of the Funds are as at June 30, 2009 and December 31, (a) Valuation of Investments Investments are categorized as held for trading in accordance with Section 3855, Financial Instruments Recognition and Measurement and are recorded at their fair value. Underlying mutual funds are valued on each business day at their Net Asset Value as reported by the fund manager. The Canadian Securities Administrators ("CSA") amended section 14.2 of National Instrument on September 5, The amended section 14.2 requires the Net Asset Value of an investment fund to be calculated using the fair value of the fund's assets and liabilities. The adoption of Section 3855 results in a different valuation method for calculating Net Asset Value for financial reporting purpose. For the purpose of processing unitholder transactions, Net Asset Value is calculated based on the closing market price (referred to as Net Asset Value ), while for financial statement purposes Net Asset Value is calculated based on bid/ask price (referred to as Net Assets ). The CSA requires investment funds to provide in their financial statements an explanation of the differences between the Net Asset Value per unit and the Net Assets per unit. As each of the Funds invest solely in units of an underlying mutual fund, Section 3855 does not impact the Fund s valuation of investments since the Fund s investments are priced based on the Net Asset Value per unit of the underlying mutual fund which reflects actual and regularly occurring market transactions on an arm s length basis. (b) Future Accounting Standards International Financial Reporting Standards On February 13, 2008, the Canadian Accounting Standards Board ( AcSB ) confirmed that the use of International Financial Reporting Standards ( IFRS ) will be required in 2011 for all publicly accountable profitoriented enterprises. IFRS will replace Canadian Generally Accepted Accounting Principles ( GAAP ). IFRS becomes effective for interim and annual financial statements relating to fiscal years beginning on or after January 1, At June 30, 2009, the Manager is taking the following steps to transition to IFRS: Identification of areas where changes in disclosure will be required under IFRS standards. Identification of operational areas impacted by the adoption of IFRS. Identification of major differences between current accounting policies and IFRS standards. Assessment of impact, if any, on Net Asset Value per unit. Assessment of current reporting systems and their readiness for IFRS implementation. Implementation of an IFRS transition plan. As at June 30, 2009, the Manager has determined that there is no expected impact to Net Asset Value per unit as a result of the transition to IFRS. Amendments to Section 3862, Financial Instruments - Disclosures Section 3862, was recently amended and requires publicly accountable enterprises to enhance their disclosures about fair value measurements and the liquidity risk of financial instruments. The amendments will be effective for annual financial statements relating to fiscal years ending after September 30, 2009, specifically the December 31, 2009 financial statements of the Funds. These amendments have been made to address the need for increased consistency and comparability in fair value measurements, and to expand the disclosure surrounding fair value measurements, and do not have any impact on the Net Assets of the Funds. 2. FINANCIAL INSTRUMENTS RISK AND CAPITAL MANAGEMENT Risk Management The Funds invest solely in units of underlying mutual funds and are exposed to a variety of financial instruments risks: credit risk, liquidity risk and market risk (including interest rate risk, currency risk and other price risk). The level of risk to which each Fund is exposed depends on the investment objective and the type of investments held by the underlying mutual fund. The value of investments within an underlying mutual fund 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 underlying mutual fund. The manager of the underlying mutual fund may minimize potential adverse effects of these risks by, but not limited to, regular monitoring of the underlying mutual fund s 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. During the six-month period some Funds exposure to financial instruments risks changed significantly as per details disclosed in the "Fund Specific Financial Instruments Risks" section of the financial statements. For details relating to financial instruments risks exposure for remaining Funds refer to the audited annual financial statements as at December 31, 2008, as these Funds exposure to financial instruments risks remained unchanged through the period. 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 interest rate risk or currency 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. Other assets and liabilities are monetary items that are short-term in nature and therefore are not subject to significant other price risk. 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 underlying mutual funds that invest in debt securities and/or income trusts will be affected by changes in applicable interest rates. If interest rates fall, the fair value of existing debt securities may increase due to the increase in yield. On the other hand, if interest rates rise, the yield of existing debt securities 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. 17

20 Clarica Segregated Funds Notes to the Financial Statements (unaudited) (cont d) Interest rate risk also applies to underlying mutual funds that invest in convertible securities. The fair value of these securities varies inversely with interest rates, similar to other debt securities. However, since they may be converted into common shares, convertible securities are generally less affected by interest rate fluctuations than other debt securities. Currency Risk Currency risk arises from financial instruments that are denominated in a currency other than the functional currency of the underlying mutual funds. As a result, the underlying mutual funds may be exposed to the risk that the value of securities denominated in other currencies will fluctuate due to changes in exchange rates. Equities in foreign markets are also exposed to currency risk as the prices denominated in foreign currencies are converted to the underlying mutual funds functional currency to determine their fair value. 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 of the credit worthiness of the debt issuer. The credit risk exposure of Funds other assets are represented by their carrying amount as disclosed in the Statements of Net Assets. Liquidity Risk The underlying mutual funds are exposed to daily cash redemption of redeemable units. Therefore, underlying mutual funds invest the majority of their assets in investments that are traded in active markets and can be readily disposed of. In addition, the underlying mutual funds retain sufficient cash and cash equivalents positions to maintain liquidity. From time to time, the underlying mutual funds may enter into derivative contracts or invest in unlisted securities that may not trade in an organized market and may be illiquid. The Funds are also exposed to daily cash redemption therefore the Funds retain sufficient cash position to maintain liquidity. Capital Management The Manager considers the Funds capital to consist of the net assets and unitholders equity. The Manager manages the capital of the Funds in accordance with the Funds investment objectives, policies and restrictions, as outlined in the Funds prospectus, while maintaining sufficient liquidity to meet unitholder redemptions. The Funds do not have any externally imposed capital requirements. 18

21 Clarica Segregated Funds Legal Notice NOTICE: Should you require additional copies of these Semi-Annual Financial Statements or have received more than one copy, please contact CI Investments Inc. or your advisor. Sun Life Assurance Company of Canada, a member of the Sun Life Financial group of companies, is the sole issuer of the individual variable insurance contracts providing for investment in Clarica Segregated Funds. A description of the key features of the applicable individual variable insurance contract is contained in the Information Folder. SUBJECT TO ANY APPLICABLE DEATH AND MATURITY GUARANTEES, ANY AMOUNT THAT IS ALLOCATED TO A SEGREGATED FUND IS INVESTED AT THE RISK OF THE CONTRACTHOLDER AND MAY INCREASE OR DECREASE IN VALUE. CI Investments and the CI Investments design are registered trademarks of CI Investments Inc. Clarica is a registered trademark of Sun Life Assurance Company of Canada. INFORMATION FOLDER: CI would be pleased to provide, without charge, the most recent Information Folder upon request to CI s Toronto office. 19

22 Sun Life Assurance Company of Canada 227 King Street South P.O. Box 1601 STN Waterloo Waterloo, Ontario N2J 4C5 2 Queen Street East, Twentieth Floor, Toronto, Ontario M5C 3G7 I Head Office / Toronto Calgary Montreal Vancouver Client Services English: French: CLARICASEG_SA-08-09