CASH MANAGEMENT POOL. MANAGEMENT REPORT OF FUND PERFORMANCE for the year ended December 31, 2012

Transcription

1 This annual management report of fund performance contains financial highlights but does not contain the complete annual financial statements of the investment pool. You can get a copy of the annual financial statements at your request, and at no cost, by calling , by writing to us at United Financial, 2 Queen Street East, Twentieth Floor, Toronto, ON, M5C 3G7 or by visiting our website at or SEDAR at Securityholders may also contact us using one of these methods to request a copy of the investment pool s proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosure. INVESTMENT OBJECTIVE AND STRATEGIES Cash Management Pool earns an ongoing flow of current income while preserving invested capital and liquidity, primarily through investing in income-oriented investments such as treasury bills, bankers acceptances and commercial paper with maturities of less than one year. The portfolio advisor employs fundamental and technical analysis and other measures of value to analyze prospective income-oriented investments such as treasury bills, bankers acceptances and commercial paper with maturities not in excess of one year. The portfolio advisor selects such investments on the basis of the perceived relative risk and liquidity associated with the target investment and its impact on the balance of the portfolio while seeking to minimize both tax consequences and transaction costs. The Pool may use derivatives such as options, futures, forward contracts and swaps. RISK The risks of investing in the Pool remain as discussed in the prospectus. The Pool is suitable for investors who want a low-risk investment and/or have a short investment horizon. While the Pool seeks to maintain a constant unit price of $5.00, there is no guarantee that such price can be maintained. Data points from other geographies characterized a broader, more synchronous slowdown in economic momentum. Global cross-border trade volumes slowed dramatically (most worryingly Chinese imports), and corporate surveys indicated deepening defensive attitudes towards investment and hiring. In the U.S., the Federal Reserve expressed disappointment at an abrupt slowdown in the pace of job and income growth over the review period. In June, the Fed opted to extend its Operation Twist program of bond-buying to lower interest rates, and embarking on yet another mortgage purchase program of unlimited amount and indefinite duration, extending its commitment to keep rates low through Meanwhile, in commodity-producing countries, currency strength and declining trade with their respective major partners have become drags on growth. Though consumer activity and the labour market have been resilient, the economy is beginning to show some signs of weakness, particularly in central Canada. The new mortgage legislation aimed at cooling the housing market took effect in July and home sales have since slowed dramatically. Furthermore, the export sector continues to be a drag on growth as the country suffers disproportionately from broader trade weakness. The Bank of Canada, whose governor will soon be leaving to head the Bank of England, asserted that monetary conditions will eventually have to be tightened while downgrading its growth and inflation expectations in the near term. RESULTS OF OPERATIONS The Pool s net asset value decreased by $16.5 million to $44.7 million from December 31, 2011 to December 31, The Pool had net redemptions of $16.5 million for the period. The Pool paid distributions totalling $0.9 million while the portfolio s performance increased assets by $0.9 million. The Pool s one year return for Class A units, Class E units, Class F units, Class I units and Class W units was 0.4%, 0.5%, 0.5%, 1.8% and 1.6%, respectively, compared to the returns of the benchmarks of 3.6% and 1.0%, respectively, for the same period. The benchmarks are the DEX Universe Bond Total Return Index and the DEX 91 Day T-Bill Total Return Index. Signature Global Advisors, a division of CI Investments Inc. Risky assets were under pressure in the second quarter of Europe remained in focus, and the initial optimism spawned by the European Central Bank s LTRO lending operation in the first quarter gave way to the realization that fiscal austerity programs would weigh more heavily on growth than first estimates. Central Bank President Mario Draghi committed unlimited monetary support for the irrevocable Eurozone project, providing that embattled nations complied with Eurocrat expectations. For the time being however, the willingness of policymakers around the world to lend support through this period of slowing growth and geo-political turbulence was enough to spark a rally in risky assets and ease the safe haven bid to AAA government bonds. With increased confidence that they would eventually turn that willingness into action, the portfolio s allocation to sovereign debt was reduced over the quarter. An overweight position in corporate credit at the expense of government bonds is responsible for most of portfolio s performance. The corporate bond universe has returned almost six percent more than government bonds over the past twelve months. Overall, the portfolio outperformed the DEX 91 Day T-Bill Total Return Index during the period. In August, Quebec reported record trade deficit figures and had the highest rate of inflation in all of Canada, which also explained the lagged growth of personal disposable income in relation to the Canadian average. The budget deficit for fiscal would reach a bloated $2.6 billion, and the newly elected Marois government would implement spending cuts and new taxes to offset some of the budgetary imbalance. Altogether, front-end Quebec bond spreads would come CIG

2 under pressure as many were left wondering which section of the economy could give a lift to GDP. The portfolio has about 7% exposure to the Province of Quebec. This exposure detracted from the portfolio s performance. Improving risk appetite supported corporate bonds over the review period. Front end swap spreads moved higher as well. These two developments richened floating rate notes relative to fixed coupon securities. The portfolio has considerable exposure to securities in floating rate form. Top performers in the portfolio include Bank of Montreal Jun., 2013, CIBC Apr., 2013 and General Electric Feb., RECENT DEVELOPMENTS Signature Global Advisors, a division of CI Investments Inc. Slowing growth in Europe (a victim of its own political and currency construct) has clearly infected the outlook in other parts of the world. With fiscal flexibility in G7 fully exhausted by recent bailouts, monetary authorities have re-doubled their efforts to support a nascent recovery that has been slowed by political developments in Europe and the U.S. It seems that competitive currency devaluation is a popular tool amongst these policymakers. We have already witnessed sizeable and innovative monetary tools implemented around the world and we will see more of them. The Bank of Japan is considering purchases of equities, real estate and foreign bonds. While the economic recovery in the U.S. has momentum, further fiscal consolidation as a resolution to the debt ceiling and sequestration deadlines will weigh on growth, likely inspiring further monetary support. The biggest risk in pursuing these policies is a meaningful loss in the credibility of central banking institutions and the possibility, though unlikely, of currency and bond market non-sponsorship of their policies. RELATED PARTY TRANSACTIONS Manager, Trustee and Portfolio Advisor CI Investments Inc. is the Manager, Trustee and Portfolio Advisor of the Pool. CI Investments Inc. is a subsidiary of CI Financial Corp. The Manager, in consideration of management fees, provided management services required in the day-to-day operations of the Pool. The Manager bears all of the operating expenses of the Pool (other than taxes, borrowing costs and new governmental fees) in return for a fixed administration fee. Management fee and fixed administration fee rates as at December 31, 2012, for each of the classes are shown below: The Manager received $0.03 million in management for the period. Management Fees Approximately 23% of total management fees were used to pay for sales and trailing commissions and other services required. The remaining 77% of management fees were used to pay for investment management and other general administration. Annual management fee rate (%) Annual fixed administration fee rate (%) Class A 1.25 Class E 1.00 Class F 0.75 Class I Paid directly by investors Paid directly Class W by investors As most developed country policymakers are crafting further measures to support the deteriorating growth outlook, it is unlikely that the Bank of Canada will act alone and tighten monetary conditions. A strong currency and resurgent manufacturing sector in the U.S. signifies that closing the current account deficit may prove difficult. As a result, the portfolio will be increasingly positioned for a sustained period of monetary accommodation, irrespective of the idealistic intentions of the Bank of Canada. For now, markets remain sanguine about the ability of authorities to engineer lower interest rates and we fully expect risky assets to attract yield-hungry investors in the near-term. International Financial Reporting Standards As previously confirmed by the Canadian Accounting Standards Board ( AcSB ), most Canadian publicly accountable entities adopted International Financial Reporting Standards ( IFRS ), as published by the International Accounting Standards Board, on January 1, However, the AcSB has allowed most investment funds to defer adoption of IFRS until fiscal years beginning on or after January 1, Accordingly, the Pool will adopt IFRS for its fiscal period beginning January 1, 2014, and will issue its initial financial statements in accordance with IFRS, including comparative information, for the interim period ending June 30, Principal Distributor The Manager has the exclusive right to arrange for the distribution of units of the Pool. Pursuant to a series of agreements, the right to distribute such units has been granted, on a collective basis, to the following dealers, each of which is an affiliate of the Manager. Assante Capital Management Ltd. Assante Financial Management Ltd. Broker Commissions During the period, the Pool did not pay brokerage commissions to The Bank of Nova Scotia or its subsidiaries. The Bank of Nova Scotia has a significant interest in CI Financial Corp., the parent company of CI Investments Inc.

3 Independent Review Committee The Pool received standing instructions from the Board of Governors ( BoG ) in its capacity as the Independent Review Committee ( IRC ) with respect to the following Related Party Transactions: a) trades in securities of CI Financial Corp. and The Bank of Nova Scotia; b) purchases or sales of securities of an issuer from or to another investment fund managed by the Manager (referred to as Inter-Fund Trades ); and c) mergers of funds with another fund that is subject to National Instrument ( Fund Mergers ). The applicable standing instructions require that Related Party Transactions be conducted in accordance with the Manager s policies and procedures. The Manager is required to advise the BoG of any material breach of a condition of the standing instructions. The standing instructions require, among other things, that the investment decision in respect to Related Party Transactions (a) are made by the Manager free from any influence by any entities related to the Manager and without taking into account any consideration to any affiliate of the Manager; (b) represent the business judgment of the Manager uninfluenced by considerations other than the best interests of the Pool; and (c) are made in compliance with the Manager s policies and procedures. Transactions made by the Manager under the standing instructions are subsequently reviewed by the BoG on a quarterly basis to monitor compliance. The Pool relied on the BoG s standing instructions regarding Related Party Transactions during this reporting period.

4 FINANCIAL HIGHLIGHTS The following tables show selected key financial information about the Pool and are intended to help you understand the Pool s financial performance for the past five years, as applicable. The Ratios & Supplemental Data shown below are based on Net Asset Values. The Pool s Net Assets per Unit ($) (1) (2) * Class A (Commencement of operations December 28, 2006) Net assets, beginning of year (1, 7) Increase (decrease) in operations: Total revenue Total expenses Realized gains (losses) for the year Unrealized gains (losses) for the year Total increase (decrease) from operations (2) Year Ended Year Ended Year Ended Year Ended Year Ended December 31, 2012 December 31, 2011 December 31, 2010 December 31, 2009 December 31, 2008 $ $ $ $ $ (0.06) (0.06) (0.05) (0.05) (0.07) (0.01) (0.01) 0.01 (0.01) (0.03) (0.01) Distributions: From income (excluding dividends) From dividends From capital gains Return of capital Total annual distributions (2, 3) (0.02) (0.02) (0.01) (0.01) (0.09) (0.02) (0.02) (0.01) (0.01) (0.09) Net assets at end of year shown (2, 7) Ratios & Supplemental Data Total net asset value ($000 s) (7) Number of units outstanding (000 s) Portfolio turnover rate (%) (5) Trading expense ratio (%) (6) Net asset value per unit ($) (7) , Management Expense Ratio Management expense ratio before taxes (%) (4) Goods and services tax (GST)/Harmonized sales tax (HST) (%) (4) Management expense ratio after taxes (%) (4) Management expense ratio before waivers or absorption (%) (4) GST/Effective HST Rate, for the prior calendar year or period (%) (4) *Footnotes for the tables are found at the end of the Financial Highlights section.

5 FINANCIAL HIGHLIGHTS (cont d) The Pool s Net Assets per Unit ($) (1) (2) * Class E (Commencement of operations September 8, 2008) Net assets, beginning of year (1, 7) Increase (decrease) in operations: Total revenue Total expenses Realized gains (losses) for the year Unrealized gains (losses) for the year Total increase (decrease) from operations (2) Period from Year Ended Year Ended Year Ended Year Ended Inception to December 31, 2012 December 31, 2011 December 31, 2010 December 31, 2009 December 31, 2008 $ $ $ $ $ (0.05) (0.05) (0.05) (0.04) (0.01) (0.01) (0.01) 0.01 (0.01) Distributions: From income (excluding dividends) From dividends From capital gains Return of capital Total annual distributions (2, 3) (0.02) (0.02) (0.01) (0.02) (0.04) (0.02) (0.02) (0.01) (0.02) (0.04) Net assets at end of year shown (2, 7) Ratios & Supplemental Data Total net asset value ($000 s) (7) Number of units outstanding (000 s) Portfolio turnover rate (%) (5) Trading expense ratio (%) (6) Net asset value per unit ($) (7) 1,216 2,113 2,569 1, Management Expense Ratio Management expense ratio before taxes (%) (4) Goods and services tax (GST)/Harmonized sales tax (HST) (%) (4) Management expense ratio after taxes (%) (4) Management expense ratio before waivers or absorption (%) (4) GST/Effective HST Rate, for the prior calendar year or period (%) (4) *Footnotes for the tables are found at the end of the Financial Highlights section.

6 FINANCIAL HIGHLIGHTS (cont d) The Pool s Net Assets per Unit ($) (1) (2) * Class F (Commencement of operations May 30, 2008) Net assets, beginning of year (1, 7) Increase (decrease) in operations: Total revenue Total expenses Realized gains (losses) for the year Unrealized gains (losses) for the year Total increase (decrease) from operations (2) Period from Year Ended Year Ended Year Ended Year Ended Inception to December 31, 2012 December 31, 2011 December 31, 2010 December 31, 2009 December 31, 2008 $ $ $ $ $ (0.03) (0.02) (0.04) (0.04) (0.02) (0.01) (0.01) 0.01 (0.03) (0.04) 0.02 (0.01) (0.02) Distributions: From income (excluding dividends) From dividends From capital gains Return of capital Total annual distributions (2, 3) (0.02) (0.01) (0.02) (0.02) (0.06) (0.02) (0.01) (0.02) (0.02) (0.06) Net assets at end of year shown (2, 7) Ratios & Supplemental Data Total net asset value ($000 s) (7) Number of units outstanding (000 s) Portfolio turnover rate (%) (5) Trading expense ratio (%) (6) Net asset value per unit ($) (7) , Management Expense Ratio Management expense ratio before taxes (%) (4) Goods and services tax (GST)/Harmonized sales tax (HST) (%) (4) Management expense ratio after taxes (%) (4) Management expense ratio before waivers or absorption (%) (4) GST/Effective HST Rate, for the prior calendar year or period (%) (4) *Footnotes for the tables are found at the end of the Financial Highlights section.

7 FINANCIAL HIGHLIGHTS (cont d) The Pool s Net Assets per Unit ($) (1) (2) * Class I (Commencement of operations September 12, 2008) Net assets, beginning of year (1, 7) Increase (decrease) in operations: Total revenue Total expenses Realized gains (losses) for the year Unrealized gains (losses) for the year Total increase (decrease) from operations (2) Period from Year Ended Year Ended Year Ended Year Ended Inception to December 31, 2012 December 31, 2011 December 31, 2010 December 31, 2009 December 31, 2008 $ $ $ $ $ (0.01) (0.01) (0.01) 0.01 (0.01) (0.05) Distributions: From income (excluding dividends) From dividends From capital gains Return of capital Total annual distributions (2, 3) (0.09) (0.08) (0.06) (1.14) (0.04) (0.09) (0.08) (0.06) (1.14) (0.04) Net assets at end of year shown (2, 7) Ratios & Supplemental Data Total net asset value ($000 s) (7) Number of units outstanding (000 s) Portfolio turnover rate (%) (5) Trading expense ratio (%) (6) Net asset value per unit ($) (7) 899 1, , Management Expense Ratio Management expense ratio before taxes (%) (4) Goods and services tax (GST)/Harmonized sales tax (HST) (%) (4) Management expense ratio after taxes (%) (4) Management expense ratio before waivers or absorption (%) (4) GST/Effective HST Rate, for the prior calendar year or period (%) (4) *Footnotes for the tables are found at the end of the Financial Highlights section.

8 FINANCIAL HIGHLIGHTS (cont d) The Pool s Net Assets per Unit ($) (1) (2) Class W (Commencement of operations August 18, 1995) Net assets, beginning of year (1, 7) Increase (decrease) in operations: Total revenue Total expenses Realized gains (losses) for the year Unrealized gains (losses) for the year Total increase (decrease) from operations (2) Year Ended Year Ended Year Ended Year Ended Year Ended December 31, 2012 December 31, 2011 December 31, 2010 December 31, 2009 December 31, 2008 $ $ $ $ $ (0.01) (0.01) (0.01) 0.01 (0.01) (0.01) (0.01) (0.01) Distributions: From income (excluding dividends) From dividends From capital gains Return of capital Total annual distributions (2, 3) (0.08) (0.08) (0.06) (0.05) (0.16) (0.08) (0.08) (0.06) (0.05) (0.16) Net assets at end of year shown (2, 7) Ratios & Supplemental Data Total net asset value ($000 s) (7) Number of units outstanding (000 s) Portfolio turnover rate (%) (5) Trading expense ratio (%) (6) Net asset value per unit ($) (7) 42,471 57,558 66,744 65, ,172 8,494 11,512 13,349 13,124 30, Management Expense Ratio Management expense ratio before taxes (%) (4) Goods and services tax (GST)/Harmonized sales tax (HST) (%) (4) Management expense ratio after taxes (%) (4) Management expense ratio before waivers or absorption (%) (4) GST/Effective HST Rate, for the prior calendar year or period (%) (4) (1) This information is derived from the Pool s audited annual financial statements. The net assets per unit presented in the financial statements differs from the net asset value calculated for Pool pricing purposes. An explanation of these differences can be found in the notes to the financial statements or in footnote (7) below. (2) Net assets per unit and distributions per unit are based on the actual number of units outstanding for the relevant class at the relevant time. The increase (decrease) in net assets from operations per unit is based on the weighted average number of units outstanding for the relevant class over the fiscal year. (3) Distributions are automatically reinvested in additional units of the Pool. (4) Management expense ratio is calculated based on expenses charged to the Pool (excluding commissions and other portfolio transaction costs) and is expressed as an annualized percentage of daily average net asset value for the period. As of July 1, 2010, Ontario combined the federal goods and services tax ( GST - 5%) with the provincial retail sales tax ( PST - 8%). The combination resulted in a Harmonized sales tax ( HST ) rate of 13%. The Effective HST tax rate is calculated using the attribution percentage for each province based on unitholder residency and can be different from 13%. For any particular year, the rate shown will be prorated based on the different rates in effect during that year. For the year ended December 31, 2010, the rate applied is 5% for the period January 1, 2010 to June 30, 2010 and the Pool s Effective HST rate for the period from July 1, 2010 to December 31, The rate shown for the year ended December 31, 2010 is the time weighted average of these rates. Beginning January 1, 2011, the HST rate is based on the residency of the unitholder. (5) The Pool s portfolio turnover rate indicates how actively the Pool s portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Pool buying and selling all of the securities in its portfolio once in the course of the fiscal year. The higher a Pool s portfolio turnover rate in a year, the greater the trading costs payable by the Pool in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a higher turnover rate and the performance of a Pool. Portfolio turnover rate is calculated by dividing the lesser of the cost of purchases and the proceeds of sales of portfolio securities for the year, and excluding cash and short-term investments maturing in less than one year, and before assets acquired from a merger, if applicable, by the average of the monthly fair value of investments during the year. (6) The trading expense ratio represents total commissions and other portfolio transaction costs disclosed in the statements of operations expressed as an annualized percentage of daily average net asset value of the Pool during the year. (7) Section 14.2 of National Instrument requires the net assets of an investment fund to be calculated using the fair value of the fund s assets and liabilities. Canadian GAAP requires a different valuation method for calculating net assets for financial reporting purposes. For the purpose of processing unitholder transactions, net assets are calculated based on the closing market price (referred to as Net Asset Value ), while for financial statement purposes net assets are calculated based on bid/ask price (referred to as Net Assets ).

9 PAST PERFORMANCE This section describes how the Pool has performed in the past. Remember, past returns do not indicate how the Pool will perform in the future. The information shown assumes that distributions made by the Pool in the years shown were reinvested in additional units of the relevant classes of the Pool. In addition, the information does not take into account sales, redemption, distribution or other optional charges that would have reduced returns or performance. Year-by-Year Returns The following charts show the Pool s annual performance for each of the years shown and illustrate how the Pool s performance has changed from year to year. In percentage terms, the charts show how much an investment made on the first day of each financial year would have grown or decreased by the last day of each financial year, except where noted Dec. 2006* Dec Dec Dec Dec Dec Dec *For the period from December 28, 2006 to December 31, **For the period from September 8, 2008 to December 31, Dec. 2008** Dec Dec Dec Dec Class A Class E Annual Compound Returns The following table shows the Pool s annual compound returns for each period indicated, compared to the DEX Universe Bond Total Return Index, the DEX 91 Day T-Bill Total Return Index, and the Blended Index composed of: 50% - DEX Universe Bond Total Return Index, and 50% - DEX 91 Day T-Bill Total Return Index. The DEX Universe Bond Total Return Index is a market capitalization weighted index that measures the performance of the Canadian investment-grade fixed income market. The DEX Universe Bond Index consists of fixed rate bonds denominated in Canadian dollars, with a remaining effective term to maturity of at least one year, rated BBB or higher. The Index is comprised of four main credit or borrower categories: bonds issued by the Government of Canada (including Crown Corporations), Provincial bonds (including provinciallyguaranteed securities), Municipal Bonds and Corporate Bonds. The Corporate sector is further divided into sub-sectors based on major industry groups: Financial, Communication, Industrial, Energy, Infrastructure, Real Estate and Securitization. The Corporate sector is also divided into sub-indices based on credit rating: a combined AAA/AA sector, a single A sector, and a BBB sector. As of December 31, 2010, the Universe Bond Index consisted of 1,103 securities, with a total market value of approximately $1.031 trillion. The DEX 91 Day T-Bill Total Return Index measures the performance of the 91-day Treasury Bill market. Treasury Bills are secured by the full faith and credit of the Canadian Government and offer a fixed rate of return. A discussion of the performance of the Pool as compared to the benchmarks is 6 6 found in the Results of Operations section of this report Dec. 2008* Dec Dec Dec Dec *For the period from May 30, 2008 to December 31, **For the period from September 12, 2008 to December 31, Dec. 2008** 1.1 Dec Dec Dec Dec Class F Class I Class A One Three Five Ten Since Year Years Years Years Inception Cash Management Pool (%) N/A 1.0 Blended Index (%) N/A 3.8 DEX Universe Bond Total Return Index (%) N/A 5.8 DEX 91 Day T-Bill Total Return Index (%) N/A 1.8 Class E Cash Management Pool (%) N/A N/A 0.5 Blended Index (%) N/A N/A 3.9 DEX Universe Bond Total Return Index (%) N/A N/A DEX 91 Day T-Bill Total Return Index (%) N/A N/A 0.9 Class F Cash Management Pool (%) N/A N/A 0.6 Blended Index (%) N/A N/A 3.7 DEX Universe Bond Total Return Index (%) N/A N/A 6.3 DEX 91 Day T-Bill Total Return Index (%) N/A N/A 1.1 Dec Dec Dec Dec Dec Dec Dec Dec Dec Dec x.x Class W

10 Annual Compound Returns (cont d) One Three Five Ten Since Year Years Years Years Inception Class I Cash Management Pool (%) N/A N/A 1.4 Blended Index (%) N/A N/A 3.9 DEX Universe Bond Total Return Index (%) N/A N/A 6.9 DEX 91 Day T-Bill Total Return Index (%) N/A N/A 0.9 Class W Cash Management Pool (%) N/A Blended Index (%) N/A DEX Universe Bond Total Return Index (%) N/A DEX 91 Day T-Bill Total Return Index (%) N/A

11 SUMMARY OF INVESTMENT PORTFOLIO as at December 31, 2012 Portfolio Breakdown Percentage of Category Net Asset Value (%) Portfolio Breakdown (cont d) Percentage of Category Net Asset Value (%) Top 25 Holdings Percentage of Security Name Net Asset Value (%) Country allocation Canada 69.1 Cash & Equivalents 17.5 Short-Term Investments 10.5 U.S.A. 1.7 Other Net Assets (Liabilities) 1.2 Sector allocation Corporate Bonds 45.7 Provincial Bonds 24.8 Cash & Equivalents 17.5 Short-Term Investments 10.5 Other Net Assets (Liabilities) 1.2 Municipal Bonds 0.3 Cash & Equivalents 17.5 Province of Ontario, FRN, % 04/02/ The Bank of Nova Scotia, FRN, % 09/19/ Province of Ontario, FRN, % 04/02/ Province of Quebec, FRN, % 12/10/ Canadian Imperial Bank of Commerce, FRN, 1.645% 07/19/ HSBC Bank Canada 1.895% 08/09/ Province of Ontario, FRN, % 04/02/ Bank of Montreal, FRN, 1.445% 06/21/ Province of Ontario, FRN, % 04/02/ Enbridge Inc. 1.14% 01/11/ The Bank of Nova Scotia, FRN, 1.42% 11/08/ Alberta Capital Finance Authority, FRN, % 04/26/ Canada Housing Trust No % 09/15/ Bell Canada 1.15% 01/23/ Bank of Montreal % 10/15/ HSBC Bank Canada 1.28% 05/14/ The Bank of Nova Scotia, FRN, % 04/19/ Toronto-Dominion Bank 1.25% 06/17/ Canadian Imperial Bank of Commerce, FRN, % 03/14/ National Bank of Canada, FRN, 1.395% 02/27/ HSBC Bank Canada 1.3% 06/03/ Royal Bank of Canada, FRN, 1.39% 04/10/ Royal Bank of Canada, FRN, % 07/16/ Province of Quebec, FRN, % 12/10/ Total Net Asset Value (in $000 s) $44,705 The summary of investment portfolio may change due to ongoing portfolio transactions of the Pool and updates are available on a quarterly basis. A NOTE ON FORWARD-LOOKING STATEMENTS This report may contain forward-looking statements about the Pool, its future performance, strategies or prospects, and possible future Pool action. The words may, could, should, would, suspect, outlook, believe, plan, anticipate, estimate, expect, intend, forecast, objective, and similar expressions are intended to identify forward-looking statements. Forward-looking statements are not guarantees of future performance. Forward-looking statements involve inherent risks and uncertainties, both about the Pool and general economic factors, so it is possible that predictions, forecasts, projections and other forward-looking statements will not be achieved. We caution you not to place undue reliance on these statements as a number of important factors could cause actual events or results to differ materially from those expressed or implied in any forward-looking statement made by the Pool. These factors include, but are not limited to, general economic, political and market factors in Canada, the United States and internationally, interest and foreign exchanges rates, global equity and capital markets, business competition, technological changes, changes in laws and regulations, judicial or regulatory judgments, legal proceedings and catastrophic events. The above list of important factors that may affect future results is not exhaustive. Before making any investment decisions, we encourage you to consider these and other factors carefully. All opinions contained in forward-looking statements are subject to change without notice and are provided in good faith but without legal responsibility.