Annual Financial Statement as at December 31, 2010 CI Segregated Funds managed by CI Investments Inc. issued by Unity Life of Canada
A look inside Overview... 1 Independent Auditor s Report... 2 Equity Funds CI Global Segregated Fund... 3 CI Global Value Segregated Fund... 8 CI Harbour Segregated Fund... 13 CI Harbour Growth & Income Segregated Fund... 18 CI Synergy American Segregated Fund... 23 Income Funds CI Money Market Segregated Fund... 27 Notes to the Financial Statements... 31 Legal Notice... 34
2 Queen Street East, Twentieth Floor Toronto, Ontario M5C 3G7 www.ci.com Telephone: 416-364-1145 Toll Free: 1-800-268-9374 Facsimile: 416-364-6299 Enclosed are the Financial Statements for your CI Investments segregated funds for the period ending December 31, 2010. 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, www.ci.com. 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 $71 billion on behalf of 1.6 million Canadians. CI is a subsidiary of CI Financial Corp., a TSX-listed financial services firm with $96 billion in fee-earning assets at December 31, 2010. 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 1-800-792-9355. Thank you for investing with us. 1
CI Segregated Funds Independent Auditor s Report INDEPENDENT AUDITOR S REPORT To the Unitholders of: CI Global Segregated Fund CI Global Value Segregated Fund CI Harbour Growth & Income Segregated Fund CI Harbour Segregated Fund CI Money Market Segregated Fund CI Synergy American Segregated Fund (collectively the Funds) We have audited the accompanying financial statements of each of the Funds, which comprise the statement of investment portfolio as at December 31, 2010, and the statements of net assets, operations and changes in net assets as at and for the periods indicated in the Note 1, and the related notes including a summary of significant accounting policies. Management s responsibility for the financial statements Management is responsible for the preparation and fair presentation of the financial statements of each of the Funds in accordance with Canadian generally accepted accounting principles, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor s responsibility Our responsibility is to express an opinion on the financial statements of each of the Funds based on each of our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform an audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained in each of our audits is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements of each of the Funds present fairly, in all material respects, the financial position of each of the Funds results of each of their operations and the changes in each of their net assets as at and for the periods indicated in Note 1 in accordance with Canadian generally accepted accounting principles. Other Matter Unaudited Information We have not audited the information in the Underlying Fund Information and accordingly do not express an opinion on this schedule. Chartered Accountants, Licensed Public Accountants Toronto, Ontario March 16, 2011 2
CI Global Segregated Fund Underlying Fund Information (unaudited) Top 25 Holdings of CI Global Fund No. of Shares/ Average Fair Par Value Investment Cost ($) Value ($) Cash & Equivalents 12,510,337 218,821 Sumitomo Mitsui Financial Group Inc. 6,964,822 7,770,978 12,645 Google Inc., Class A 6,577,568 7,490,452 98,846 Exxon Mobil Corp. 6,412,467 7,208,086 15,933 Samsung Electronics Co., Ltd., GDR 4,649,128 6,703,965 208,764 Oracle Corp. 4,386,182 6,516,653 492,303 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 5,151,548 6,156,795 219,159 Microsoft Corp. 6,707,881 6,102,382 301,490 Cisco Systems Inc. 7,366,076 6,082,659 150,845 Credit Suisse Group 6,703,946 6,065,488 67,907 3M Co. 5,721,563 5,844,535 134,228 JPMorgan Chase & Co. 5,334,109 5,678,563 56,028 Occidental Petroleum Corp. 4,538,447 5,481,492 203,332 US Bancorp 4,865,289 5,469,043 77,868 DaimlerChrysler AG, Registered Shares 3,467,672 5,266,992 121,694 Agilent Technologies Inc. 4,035,338 5,028,156 81,741 Medco Health Solutions Inc. 4,664,716 4,994,735 95,302 SAP AG 4,761,063 4,841,342 272,338 Volvo AB, Series B 1,863,382 4,789,908 94,643 Baxter International Inc. 4,433,139 4,777,881 137,633 Dow Chemical Co. 3,979,717 4,686,091 299,860 Petroleum Geo-Services ASA 3,070,340 4,662,946 130,300 Noble Corp. 4,142,313 4,648,234 110,000 Hewlett-Packard Co. 4,646,446 4,618,484 116,044 BHP Billiton PLC 3,464,235 4,605,723 3 CIG - 025
CI Global Segregated Fund Financial Statements Statement of Investment Portfolio as at December 31, 2010 No. of Average Fair Units Investment Cost ($) Value ($) 141,704 CI Global Fund (Class A)* 1,892,122 1,499,232 Total Investments (99.5%) 1,892,122 1,499,232 Other Assets (net) (0.5%) 7,897 Net Assets (100.0%) 1,507,129 Statements of Net Assets as at December 31 (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the years ended December 31 (in $000 s) Statements of Changes in Net Assets for the years ended December 31 (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 Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity 1,499 3,026 7-1 566 1,507 3,592-16 - 3-522 - 541 1,507 3,051 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios see Financial Highlights) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax/harmonized sales tax Net investment income (loss) for the year 1 2 19 34 20 36 (20) (36) Net assets, beginning of year Capital transactions Proceeds from units issued Payments for units redeemed Increase (decrease) in net assets from operations Net assets, end of year 3,051 3,704 4 94 (1,583) (1,257) (1,579) (1,163) 35 510 1,507 3,051 *Investments at cost Net Assets per unit (see Financial Highlights) Number of units outstanding (Unit transactions see Supplementary Schedule) 1,892 4,088 9.94 9.39 151,653 325,055 Realized and unrealized gain (loss) on investments Realized gain (loss) on investments Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments Increase (decrease) in net assets from operations (Increase (decrease) in net assets from operations per unit see Supplementary Schedule) (614) - 669 55 35 (511) - 1,057 546 510 *The Underlying Fund is also managed by CI Investments Inc., the Manager of the Fund. Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to net assets of the Fund. 4
CI Global Segregated Fund Financial Statements Supplementary Schedule Financial Highlights (for the years ended December 31) Supplementary Schedule Unit Transactions Number of units, beginning of year Units issued for cash Units redeemed Number of units, end of year 325,055 455,044 431 11,110 (173,833) (141,099) 151,653 325,055 Increase (decrease) in net assets from operation per unit (%) (1) 0.17 1.20 (1) Increase (decrease) in net assets from operations per unit is calculated by dividing the increase (decrease) in net assets from operations by the weighted average number of units outstanding during the year. Financial Highlights The following table shows selected key financial information about the Fund and is intended to help you understand the Fund's financial performance for the past five years, as applicable. The Fund s Net Asset Value per Unit Net asset value at December 31, of year shown ($) Ratios and Supplemental Data Net assets ($000 s) (1) Number of units outstanding (1) Portfolio turnover rate (%) (2) 2008 2007 2006 9.94 9.39 8.14 12.53 14.47 1,507 3,051 3,704 7,089 10,306 151,653 325,055 455,044 565,861 712,362 0.01-0.18 0.60 0.03 Management expense ratio Management expense ratio before taxes (%) (3) Goods and services tax/ Harmonized sales tax expenses (%) (3) Management expense ratio after taxes (%) (3) GST/Effective HST rate, for the prior calendar year or period (%) (3) 3.22 3.22 3.21 3.22 3.22 0.20 0.12 0.12 0.14 0.15 3.42 3.34 3.33 3.36 3.37 7.80 5.00 5.00 6.00 6.50 (1) This information is provided as at December 31, of the year shown. (2) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the fund 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 high turnover rate and the performance of a fund. (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 the underlying mutual fund and is expressed as an annualized percentage of average net assets for the years shown. 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 Fund's Effective HST rate for the period from July 1, 2010 to December 31, 2010. The rate shown for the year ended December 31, 2010 is the time weighted average of these rates. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. 5
CI Global Segregated Fund Fund Specific Financial Instruments Risks (Note 8) The CI Global Fund s investments were concentrated in the following segments: as at December 31, 2010 Categories Net Assets (%) U.S.A..................................................................... 42.4 U.K....................................................................... 9.9 Japan.................................................................... 8.8 Switzerland............................................................... 5.8 Germany.................................................................. 4.2 Norway................................................................... 2.9 Cash..................................................................... 2.8 Ireland................................................................... 2.5 South Korea............................................................... 2.5 Brazil.................................................................... 2.1 Hong Kong................................................................ 1.9 France.................................................................... 1.7 India..................................................................... 1.6 Taiwan................................................................... 1.4 China.................................................................... 1.3 Singapore................................................................. 1.2 Russia.................................................................... 1.2 Sweden.................................................................. 1.1 Jersey Island.............................................................. 0.9 Austria................................................................... 0.8 Spain.................................................................... 0.7 Portugal.................................................................. 0.7 Canada................................................................... 0.7 Other Assets (net).......................................................... 0.4 Australia.................................................................. 0.4 Foreign Currency Forward Contracts............................................ 0.1 as at December 31, 2009 Categories Net Assets (%) U.S.A..................................................................... 43.4 Japan.................................................................... 8.7 U.K....................................................................... 6.5 Hong Kong................................................................ 5.3 Germany.................................................................. 4.5 Switzerland............................................................... 3.4 France.................................................................... 3.1 Cash..................................................................... 3.1 Ireland................................................................... 2.5 Spain.................................................................... 2.0 Denmark.................................................................. 1.9 South Korea............................................................... 1.6 Taiwan................................................................... 1.5 Sweden.................................................................. 1.2 Portugal.................................................................. 1.1 Norway................................................................... 1.1 Netherlands............................................................... 1.1 Jersey Island.............................................................. 1.0 Finland................................................................... 0.9 Australia.................................................................. 0.9 Russia.................................................................... 0.8 Luxembourg............................................................... 0.8 China.................................................................... 0.8 Singapore................................................................. 0.7 India..................................................................... 0.7 Brazil.................................................................... 0.5 Czech Republic............................................................. 0.3 Other Assets (net).......................................................... 0.2 Peru..................................................................... 0.1 Israel.................................................................... 0.1 Long Future Contracts....................................................... 0.1 Argentina................................................................. 0.1 Other Price Risk The Fund indirectly bears the other price risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to other price risk as its holdings were sensitive to changes in general economic conditions across the world. The Underlying Fund was invested in foreign stocks. As at December 31, 2010, had the global markets increased or decreased by 10% (December 31, 2009-10%), with all other variables held constant, net assets of the Fund would have increased or decreased, respectively, by approximately $150,000 (December 31, 2009 - $303,000). In practice, actual results may differ from this analysis and the difference may be material. Credit Risk The Fund indirectly bears the credit risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund had insignificant exposure to credit risk as it invested predominantly in stocks. Currency Risk The Fund indirectly bears the currency risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to currency risk as it invested predominantly in stocks that were denominated in currencies other than Canadian dollars, the functional currency of the Fund and the Underlying Fund. As a result, the Fund would be affected by fluctuations in the value of such currencies relative to the Canadian dollar. The tables below summarize the Underlying Fund s exposure to currency risk. as at December 31, 2010 Assets Currency (%) US Dollar 40.7 British Pound 10.1 Japanese Yen 8.9 Swiss Franc 4.8 Norwegian Krone 2.9 Hong Kong Dollar 2.8 Singapore Dollar 1.2 Swedish Krona 1.1 Korean Won 0.6 Australian Dollar 0.4 Taiwan Dollar 0.2 Brazilian Real 0.1 Euro (1.5) Total 72.3 as at December 31, 2009 Assets Currency (%) US Dollar 55.4 Euro 14.7 Japanese Yen 8.7 British Pound 6.5 Hong Kong Dollar 5.4 Danish Krone 1.9 Swiss Franc 1.8 Swedish Krona 1.2 Norwegian Krone 1.1 Australian Dollar 0.9 Taiwan Dollar 0.9 Singapore Dollar 0.7 Korean Won 0.5 Czech Koruna 0.3 Total 100.0 As at December 31, 2010, had the Canadian dollar strengthened or weakened by 10% (December 31, 2009-10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets of the Fund would have indirectly decreased or increased, respectively, by approximately $108,000 (December 31, 2009 - $303,000). In practice, the actual results may differ from this analysis and the difference may be material. 6
CI Global Segregated Fund Fund Specific Financial Instruments Risks (Note 8) (cont d) Interest Rate Risk The Fund indirectly bears the interest rate risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund had insignificant exposure to interest rate risk as substantially all of its assets were invested in stocks. Fair Value Hierarchy The tables below summarize the inputs used by the Fund in valuing the Fund s investments carried at fair value. Long Positions at fair value as at December 31, 2010 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 1,499 1,499 Total 1,499 1,499 Long Positions at fair value as at December 31, 2009 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 3,026 3,026 Total 3,026 3,026 7
CI Global Value Segregated Fund Underlying Fund Information (unaudited) Top 25 Holdings of CI Global Value Fund No. of Shares/ Average Fair Par Value Investment Cost ($) Value ($) 13,440 Roche Holding AG 2,085,352 1,965,437 69,090 Mitsubishi Corp. 1,568,524 1,864,796 287,183 Sumitomo Trust & Banking Co., Ltd. 1,801,100 1,805,582 30,609 Nestle SA, Registered Shares 1,072,799 1,788,844 317,630 Bank of Yokohama Ltd. 1,819,896 1,642,071 24,320 Flour Corp. 1,196,500 1,607,088 90,073 Sumitomo Metal Mining Co., Ltd. 1,346,749 1,569,515 57,704 Seven & I Holdings Co., Ltd. 2,019,860 1,537,638 42,520 Merck & Co., Ltd. 1,404,097 1,528,279 4,948 Nintendo Co., Ltd. 1,376,067 1,447,912 73,693 GlaxoSmithKline PLC 2,092,576 1,421,715 26,080 Wal-Mart Stores Inc. 1,401,386 1,402,693 37,780 Marathon Oil Corp. 1,315,054 1,395,212 27,141 Molson Coors Brewing Co., Class B (USD) 1,125,861 1,358,525 25,483 Total SA 1,782,458 1,347,201 29,566 Covidien PLC 1,254,570 1,346,335 7,798 SMC Corp. 1,002,032 1,331,983 70,618 Diageo PLC 1,243,081 1,301,962 10,843 Apache Corp. 878,587 1,289,317 36,865 Foster Wheeler AG 960,994 1,269,140 21,720 Baker Hughes Inc. 888,835 1,238,376 60,937 Cisco Systems Inc. 1,328,841 1,229,424 85,040 Applied Materials Inc. 1,122,815 1,191,583 13,773 Noble Energy Inc. 819,437 1,182,376 43,110 BioMarin Pharmaceuticals Inc. 758,164 1,157,815 8 CIG - 024
CI Global Value Segregated Fund Financial Statements Statement of Investment Portfolio as at December 31, 2010 No. of Average Fair Units Investment Cost ($) Value ($) 66,500 CI Global Value Fund (Class A)* 739,002 712,215 Total Investments (99.7%) 739,002 712,215 Other Assets (net) (0.3%) 2,161 Net Assets (100.0%) 714,376 Statements of Net Assets as at December 31 (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the years ended December 31 (in $000 s) Statements of Changes in Net Assets for the years ended December 31 (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 Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity 712 866 2 4 714 870-1 - 1 714 869 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios see Financial Highlights) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax/harmonized sales tax Net investment income (loss) for the year - 3-3 7 8 7 8 (7) (5) Net assets, beginning of year Capital transactions Proceeds from units issued Payments for units redeemed Increase (decrease) in net assets from operations Net assets, end of year 869 1,011 33 54 (215) (258) (182) (204) 27 62 714 869 *Investments at cost Net Assets per unit (see Financial Highlights) Number of units outstanding (Unit transactions see Supplementary Schedule) 739 950 9.59 9.19 74,530 94,605 Realized and unrealized gain (loss) on investments Realized gain (loss) on investments Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments Increase (decrease) in net assets from operations (Increase (decrease) in net assets from operations per unit see Supplementary Schedule) (23) - 57 34 27 (43) - 110 67 62 *The Underlying Fund is also managed by CI Investments Inc., the Manager of the Fund. Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to net assets of the Fund. 9
CI Global Value Segregated Fund Financial Statements Supplementary Schedule Financial Highlights (for the years ended December 31) Supplementary Schedule Unit Transactions Number of units, beginning of year Units issued for cash Units redeemed Number of units, end of year 94,605 118,816 3,784 6,311 (23,859) (30,522) 74,530 94,605 Increase (decrease) in net assets from operation per unit (%) (1) 0.30 0.59 (1) Increase (decrease) in net assets from operations per unit is calculated by dividing the increase (decrease) in net assets from operations by the weighted average number of units outstanding during the year. Financial Highlights The following table shows selected key financial information about the Fund and is intended to help you understand the Fund's financial performance for the past five years, as applicable. The Fund s Net Asset Value per Unit Net asset value at December 31, of year shown ($) Ratios and Supplemental Data Net assets ($000 s) (1) Number of units outstanding (1) Portfolio turnover rate (%) (2) 2008 2007 2006 9.59 9.19 8.51 10.58 12.68 714 869 1,011 1,735 2,747 74,530 94,605 118,816 163,935 216,646 4.30 0.36 2.95 2.22 0.97 Management expense ratio Management expense ratio before taxes (%) (3) Goods and services tax/ Harmonized sales tax expenses (%) (3) Management expense ratio after taxes (%) (3) GST/Effective HST rate, for the prior calendar year or period (%) (3) 3.22 3.22 3.21 3.22 3.22 0.20 0.12 0.12 0.14 0.15 3.42 3.34 3.33 3.36 3.37 7.89 5.00 5.00 6.00 6.50 (1) This information is provided as at December 31, of the year shown. (2) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the fund 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 high turnover rate and the performance of a fund. (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 the underlying mutual fund and is expressed as an annualized percentage of average net assets for the years shown. 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 Fund's Effective HST rate for the period from July 1, 2010 to December 31, 2010. The rate shown for the year ended December 31, 2010 is the time weighted average of these rates. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. 10
CI Global Value Segregated Fund Fund Specific Financial Instruments Risks (Note 8) The CI Global Value Fund s investments were concentrated in the following segments: as at December 31, 2010 Categories Net Assets (%) U.S.A..................................................................... 38.7 Japan.................................................................... 21.2 U.K....................................................................... 9.8 Switzerland............................................................... 6.9 Germany.................................................................. 4.9 France.................................................................... 2.8 Ireland................................................................... 2.7 Canada................................................................... 2.4 Bermuda.................................................................. 2.1 Netherlands............................................................... 2.0 Hong Kong................................................................ 1.3 Finland................................................................... 1.3 Cash..................................................................... 1.0 Sweden.................................................................. 1.0 Singapore................................................................. 0.7 Malaysia................................................................. 0.5 Italy..................................................................... 0.5 Thailand.................................................................. 0.4 Other Assets (net).......................................................... 0.1 Foreign Currency Forward Contracts............................................ -0.3 as at December 31, 2009 Categories Net Assets (%) U.S.A..................................................................... 34.2 Japan.................................................................... 18.1 U.K....................................................................... 10.7 Germany.................................................................. 7.3 France.................................................................... 5.8 Switzerland............................................................... 3.2 Jersey Island.............................................................. 2.7 Ireland................................................................... 2.5 Canada................................................................... 2.4 Bermuda.................................................................. 2.3 Cash..................................................................... 1.6 Netherlands............................................................... 1.5 Hong Kong................................................................ 1.5 Finland................................................................... 1.2 Sweden.................................................................. 1.0 Singapore................................................................. 1.0 Thailand.................................................................. 0.8 Italy..................................................................... 0.6 South Korea............................................................... 0.5 Malaysia................................................................. 0.4 Other Assets (net).......................................................... 0.4 South Africa............................................................... 0.3 Other Price Risk The Fund indirectly bears the other price risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to other price risk as its holdings were sensitive to changes in general economic conditions across the world. The Underlying Fund was invested in foreign stocks. As at December 31, 2010, had the global markets increased or decreased by 10% (December 31, 2009-10%), with all other variables held constant, net assets of the Fund would have increased or decreased, respectively, by approximately $71,000 (December 31, 2009 - $87,000). In practice, actual results may differ from this analysis and the difference may be material. Credit Risk The Fund indirectly bears the credit risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund had insignificant exposure to credit risk as it invested predominantly in stocks. Currency Risk The Fund indirectly bears the currency risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to currency risk as it invested predominantly in stocks that were denominated in currencies other than Canadian dollars, the functional currency of the Fund and the Underlying Fund. As a result, the Fund would be affected by fluctuations in the value of such currencies relative to the Canadian dollar. The tables below summarize the Underlying Fund s exposure to currency risk. as at December 31, 2010 Assets Currency (%) US Dollar 59.4 Euro 12.4 Japanese Yen 12.2 British Pound 6.2 Swiss Franc 4.6 Hong Kong Dollar 1.3 Swedish Krona 1.0 Singapore Dollar 0.7 Malaysian Ringgit 0.5 Thai Baht 0.4 Total 98.7 as at December 31, 2009 Assets Currency (%) US Dollar 57.0 Euro 14.2 Japanese Yen 11.3 British Pound 7.6 Swiss Franc 2.5 Hong Kong Dollar 1.5 Swedish Krona 1.0 Singapore Dollar 1.0 Thai Baht 0.8 Korean Won 0.5 Malaysian Ringgit 0.4 Taiwan Dollar 0.4 Total 98.2 As at December 31, 2010, had the Canadian dollar strengthened or weakened by 10% (December 31, 2009-10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets of the Fund would have indirectly decreased or increased, respectively, by approximately $70,000 (December 31, 2009 - $85,000). In practice, the actual results may differ from this analysis and the difference may be material. 11
CI Global Value Segregated Fund Fund Specific Financial Instruments Risks (Note 8) (cont d) Interest Rate Risk The Fund indirectly bears the interest rate risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund had insignificant exposure to interest rate risk as substantially all of its assets were invested in stocks. Fair Value Hierarchy The tables below summarize the inputs used by the Fund in valuing the Fund s investments carried at fair value. Long Positions at fair value as at December 31, 2010 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 712 712 Total 712 712 Long Positions at fair value as at December 31, 2009 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 866 866 Total 866 866 12
CI Harbour Segregated Fund Underlying Fund Information (unaudited) Top 25 Holdings of Harbour Fund No. of Shares/ Average Fair Par Value Investment Cost ($) Value ($) 11,500,000 Suncor Energy Inc. 226,744,323 440,220,000 7,230,000 BHP Billiton Ltd. 122,700,894 333,354,561 4,000,000 Canadian National Railway Co. 121,127,631 265,400,000 3,500,000 Toronto-Dominion Bank 156,897,019 259,875,000 246,900,000 Short-Term Notes 246,194,502 246,735,007 12,000,000 Cisco Systems Inc. 309,704,284 242,103,898 3,000,000 Canadian Imperial Bank of Commerce 188,399,322 234,990,000 1,500,000 Potash Corp. of Saskatchewan Inc. 162,602,851 231,675,000 5,500,000 Cameco Corp. 123,235,021 221,650,000 10,000,000 Talisman Energy Inc. 77,795,168 221,200,000 2,500,000 George Weston Ltd. 176,095,814 210,500,000 5,000,000 Tim Hortons Inc. 166,188,593 205,500,000 3,500,000 Bank of Nova Scotia 93,625,623 199,850,000 3,500,000 Barrick Gold Corp. 107,028,899 185,920,000 4,000,000 Goldcorp Inc. 92,578,503 183,520,000 8,000,000 Dundee Wealth Management Inc. 38,292,113 171,600,000 10,000,000 Manulife Financial Corp. 287,010,527 171,500,000 4,000,000 JPMorgan Chase & Co. 178,203,503 169,221,410 1,675,000 Occidental Petroleum Corp. 143,414,166 163,873,403 4,000,000 PetSmart Inc. 93,526,154 158,849,518 2,210,000 Rio Tinto PLC 140,916,964 154,264,010 12,000,000 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 121,048,168 150,073,301 6,710,000 Dundee Corp., Class A 34,914,940 137,219,500 7,000,000 Discover Financial Services 128,345,997 129,359,436 7,000,000 General Electric Co. 241,472,470 127,683,976 13 CIG - 021
CI Harbour Segregated Fund Financial Statements Statement of Investment Portfolio as at December 31, 2010 No. of Average Fair Units Investment Cost ($) Value ($) 594,749 Harbour Fund (Class A)* 6,913,995 12,715,731 Total Investments (99.2%) 6,913,995 12,715,731 Other Assets (net) (0.8%) 100,107 Net Assets (100.0%) 12,815,838 Statements of Net Assets as at December 31 (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the years ended December 31 (in $000 s) Statements of Changes in Net Assets for the years ended December 31 (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 Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity 12,716 14,556 97 129 4 12 12,817 14,697-1 1 10-127 1 138 12,816 14,559 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios see Financial Highlights) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax/harmonized sales tax Net investment income (loss) for the year 7 7 108 117 1 1 116 125 (116) (125) Net assets, beginning of year Capital transactions Proceeds from units issued Payments for units redeemed Increase (decrease) in net assets from operations Net assets, end of year 14,559 13,585 884 652 (3,619) (2,901) (2,735) (2,249) 992 3,223 12,816 14,559 *Investments at cost Net Assets per unit (see Financial Highlights) Number of units outstanding (Unit transactions see Supplementary Schedule) 6,914 8,580 26.82 24.72 477,782 588,940 Realized and unrealized gain (loss) on investments Realized gain (loss) on investments Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments Increase (decrease) in net assets from operations (Increase (decrease) in net assets from operations per unit see Supplementary Schedule) 1,283 - (175) 1,108 992 807-2,541 3,348 3,223 *The Underlying Fund is also managed by CI Investments Inc., the Manager of the Fund. Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to net assets of the Fund. 14
CI Harbour Segregated Fund Financial Statements Supplementary Schedule Financial Highlights (for the years ended December 31) Supplementary Schedule Unit Transactions Number of units, beginning of year Units issued for cash Units redeemed Number of units, end of year 588,940 690,834 35,447 30,363 (146,605) (132,257) 477,782 588,940 Increase (decrease) in net assets from operation per unit (%) (1) 1.85 4.99 (1) Increase (decrease) in net assets from operations per unit is calculated by dividing the increase (decrease) in net assets from operations by the weighted average number of units outstanding during the year. Financial Highlights The following table shows selected key financial information about the Fund and is intended to help you understand the Fund's financial performance for the past five years, as applicable. The Fund s Net Asset Value per Unit Net asset value at December 31, of year shown ($) Ratios and Supplemental Data Net assets ($000 s) (1) Number of units outstanding (1) Portfolio turnover rate (%) (2) 2008 2007 2006 26.82 24.72 19.67 26.23 24.93 12,816 14,559 13,585 22,801 26,163 477,782 588,940 690,834 869,278 1,049,613 1.46 45.41 7.31 3.79 4.44 Management expense ratio Management expense ratio before taxes (%) (3) Goods and services tax/ Harmonized sales tax expenses (%) (3) Management expense ratio after taxes (%) (3) GST/Effective HST rate, for the prior calendar year or period (%) (3) 3.07 3.07 3.07 3.08 3.08 0.20 0.12 0.12 0.14 0.15 3.27 3.19 3.19 3.22 3.23 8.05 5.00 5.00 6.00 6.50 (1) This information is provided as at December 31, of the year shown. (2) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the fund 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 high turnover rate and the performance of a fund. (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 the underlying mutual fund and is expressed as an annualized percentage of average net assets for the years shown. 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 Fund's Effective HST rate for the period from July 1, 2010 to December 31, 2010. The rate shown for the year ended December 31, 2010 is the time weighted average of these rates. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. 15
CI Harbour Segregated Fund Fund Specific Financial Instruments Risks (Note 8) The Harbour Fund s investments were concentrated in the following segments: as at December 31, 2010 Categories Net Assets (%) Financials................................................................. 23.1 Materials................................................................. 21.2 Energy................................................................... 19.2 Information Technology...................................................... 10.1 Industrials................................................................ 7.6 Consumer Staples.......................................................... 6.3 Consumer Discretionary..................................................... 5.7 Short-Term Notes.......................................................... 3.9 Cash..................................................................... 1.8 Foreign Currency Forward Contracts............................................ 0.6 Telecommunication Services.................................................. 0.4 Other Assets (net).......................................................... 0.1 as at December 31, 2009 Categories Net Assets (%) Cash..................................................................... 22.5 Financials................................................................. 18.4 Materials................................................................. 17.8 Energy................................................................... 15.8 Information Technology...................................................... 8.2 Industrials................................................................ 7.1 Consumer Discretionary..................................................... 6.0 Consumer Staples.......................................................... 3.8 Warrants................................................................. 0.2 Other Assets (net).......................................................... 0.2 Credit Risk (cont d) The underlying mutual fund was invested in fixed income securities, preferred securities and derivative instruments, if any, with the following credit ratings, as per tables below. as at December 31, 2010* Net Assets Credit Rating (%) AAA/Aaa/A++ 4.4 AA/Aa/A+ 0.3 Total 4.7 *Credit ratings are obtained from Standard & Poor s, where available, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond Rating Services or Canadian Bond Rating Services, respectively. Currency Risk The Fund indirectly bears the currency risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to currency risk although the majority of the Underlying Fund s assets were invested in stocks denominated in Canadian dollars, the functional currency of the Underlying Fund. The tables below summarize the Underlying Fund s exposure to currency risk. as at December 31, 2010 Assets Currency (%) US Dollar 4.7 Australian Dollar 0.2 British Pound 0.2 Swiss Franc 0.1 Taiwan Dollar (2.3) Total 2.9 Other Price Risk The Fund indirectly bears the other price risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to other price risk as its holdings were sensitive to changes in general economic conditions in Canada and the U.S. As at December 31, 2010, had the Canadian and U.S. markets increased or decreased by 10% (December 31, 2009-10%), with all other variables held constant, net assets of the Fund would have increased or decreased, respectively, by approximately $1,272,000 (December 31, 2009 - $1,128,000). In practice, actual results may differ from this analysis and the difference may be material. Credit Risk The Fund indirectly bears the credit risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund did not have a significant exposure to credit risk as it invested predominantly in stocks. as at December 31, 2009 Assets Currency (%) US Dollar 3.5 Australian Dollar 0.4 British Pound 0.3 Swiss Franc 0.1 Taiwan Dollar (2.2) Total 2.1 As at December 31, 2010, had the Canadian dollar strengthened or weakened by 10% (December 31, 2009-10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets of the Fund would have indirectly decreased or increased, respectively, by approximately $36,000 (December 31, 2009 - $31,000). In practice, the actual results may differ from this analysis and the difference may be material. 16
CI Harbour Segregated Fund Fund Specific Financial Instruments Risks (Note 8) (cont d) Interest Rate Risk The Fund indirectly bears the interest rate risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund did not have a significant exposure to interest rate risk as substantially all its assets were invested in stocks. Fair Value Hierarchy The tables below summarize the inputs used by the Fund in valuing the Fund s investments carried at fair value. Long Positions at fair value as at December 31, 2010 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 12,716 12,716 Total 12,716 12,716 Long Positions at fair value as at December 31, 2009 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 14,556 14,556 Total 14,556 14,556 17
CI Harbour Growth & Income Segregated Fund Underlying Fund Information (unaudited) Top 25 Holdings of Harbour Growth & Income Fund No. of Shares/ Average Fair Par Value Investment Cost ($) Value ($) Cash & Equivalents 653,732,335 595,000,000 Short-Term Notes 593,298,250 594,602,470 15,000,000 Suncor Energy Inc. 460,901,898 574,200,000 8,000,000 Tim Hortons Inc. 258,058,912 328,800,000 7,000,000 BHP Billiton Ltd. 160,766,239 322,749,921 3,700,000 George Weston Ltd. 261,588,554 311,540,000 16,000,000 Manulife Financial Corp. 412,703,193 274,400,000 12,000,000 Talisman Energy Inc. 161,829,703 265,440,000 4,000,000 Canadian National Railway Co. 162,320,083 265,400,000 6,500,000 Cameco Corp. 146,940,589 261,950,000 4,500,000 Bank of Nova Scotia 181,974,199 256,950,000 5,000,000 Intact Financial Corp. 157,468,000 254,300,000 6,000,000 JPMorgan Chase & Co. 269,014,994 253,832,115 1,600,000 Potash Corp. of Saskatchewan Inc. 156,899,800 247,120,000 3,300,000 Toronto-Dominion Bank 162,803,758 245,025,000 12,000,000 Cisco Systems Inc. 307,705,733 242,103,898 4,500,000 Barrick Gold Corp. 141,206,849 239,040,000 3,000,000 Canadian Imperial Bank of Commerce 222,424,302 234,990,000 5,000,000 Baytex Energy Trust 96,021,354 233,050,000 3,000,000 Rio Tinto PLC 209,350,028 209,408,159 11,000,000 General Electric Co. 333,751,152 200,646,249 100,000,000 Canadian Government Bond 6.00504% 12/01/2021 172,814,422 190,249,127 4,000,000 Goldcorp Inc. 95,725,670 183,520,000 4,800,000 TMX Group Inc. 150,452,374 177,408,000 14,000,000 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 134,518,295 175,085,518 18 CIG - 022
CI Harbour Growth & Income Segregated Fund Financial Statements Statement of Investment Portfolio as at December 31, 2010 No. of Average Fair Units Investment Cost ($) Value ($) 612,519 Harbour Growth & Income Fund (Class A)* 6,766,717 11,460,231 Total Investments (99.8%) 6,766,717 11,460,231 Other Assets (net) (0.2%) 20,265 Net Assets (100.0%) 11,480,496 Statements of Net Assets as at December 31 (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the years ended December 31 (in $000 s) Statements of Changes in Net Assets for the years ended December 31 (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 Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity 11,460 13,266-25 42 37 11,502 13,328 19 - - 1-9 - 7 3-22 17 11,480 13,311 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios see Financial Highlights) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax/harmonized sales tax Net investment income (loss) for the year 6 6 87 94 1 1 94 101 (94) (101) Net assets, beginning of year Capital transactions Proceeds from units issued Payments for units redeemed Increase (decrease) in net assets from operations Net assets, end of year 13,311 12,537 629 885 (3,214) (2,436) (2,585) (1,551) 754 2,325 11,480 13,311 *Investments at cost Net Assets per unit (see Financial Highlights) Number of units outstanding (Unit transactions see Supplementary Schedule) 6,767 8,351 20.47 19.10 560,890 696,991 Realized and unrealized gain (loss) on investments Realized gain (loss) on investments Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments Increase (decrease) in net assets from operations (Increase (decrease) in net assets from operations per unit see Supplementary Schedule) 1,069 - (221) 848 754 522-1,904 2,426 2,325 *The Underlying Fund is also managed by CI Investments Inc., the Manager of the Fund. Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to net assets of the Fund. 19
CI Harbour Growth & Income Segregated Fund Financial Statements Supplementary Schedule Financial Highlights (for the years ended December 31) Supplementary Schedule Unit Transactions Number of units, beginning of year Units issued for cash Units redeemed Number of units, end of year 696,991 788,920 33,177 49,147 (169,278) (141,076) 560,890 696,991 Increase (decrease) in net assets from operation per unit (%) (1) 1.21 3.16 (1) Increase (decrease) in net assets from operations per unit is calculated by dividing the increase (decrease) in net assets from operations by the weighted average number of units outstanding during the year. Financial Highlights The following table shows selected key financial information about the Fund and is intended to help you understand the Fund's financial performance for the past five years, as applicable. The Fund s Net Asset Value per Unit Net asset value at December 31, of year shown ($) Ratios and Supplemental Data Net assets ($000 s) (1) Number of units outstanding (1) Portfolio turnover rate (%) (2) 2008 2007 2006 20.47 19.10 15.89 19.92 19.34 11,480 13,311 12,537 20,507 23,663 560,890 696,991 788,920 1,029,613 1,223,467 2.30 1.31 3.12 2.63 6.24 Management expense ratio Management expense ratio before taxes (%) (3) Goods and services tax/ Harmonized sales tax expenses (%) (3) Management expense ratio after taxes (%) (3) GST/Effective HST rate, for the prior calendar year or period (%) (3) 2.98 2.98 2.98 2.99 2.99 0.20 0.12 0.12 0.14 0.15 3.18 3.10 3.10 3.13 3.14 7.70 5.00 5.00 6.00 6.50 (1) This information is provided as at December 31, of the year shown. (2) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the fund 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 high turnover rate and the performance of a fund. (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 the underlying mutual fund and is expressed as an annualized percentage of average net assets for the years shown. 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 Fund's Effective HST rate for the period from July 1, 2010 to December 31, 2010. The rate shown for the year ended December 31, 2010 is the time weighted average of these rates. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. 20
CI Harbour Growth & Income Segregated Fund Fund Specific Financial Instruments Risks (Note 8) The Harbour Growth & Income Fund s investments were concentrated in the following segments: as at December 31, 2010 Categories Net Assets (%) Financials................................................................. 20.9 Energy................................................................... 19.2 Materials................................................................. 16.3 Information Technology...................................................... 7.9 Cash.................................................................... 7.1 Short-Term Notes.......................................................... 6.5 Industrials................................................................ 6.3 Consumer Staples.......................................................... 5.8 Canadian Government Bonds................................................. 5.6 Consumer Discretionary..................................................... 3.6 Foreign Currency Forward Contracts............................................ 0.4 Telecommunication Services.................................................. 0.3 Other Assets (net).......................................................... 0.1 as at December 31, 2009 Categories Net Assets (%) Cash..................................................................... 26.8 Energy................................................................... 18.6 Financials................................................................. 14.3 Materials................................................................. 14.3 Government Bonds......................................................... 7.0 Information Technology...................................................... 6.6 Industrials................................................................ 5.6 Consumer Discretionary..................................................... 3.6 Consumer Staples.......................................................... 2.8 Other Assets (net).......................................................... 0.3 Warrants................................................................. 0.1 Other Price Risk The Fund indirectly bears the other price risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund s holdings were sensitive to changes in general economic conditions in Canada. The Underlying Fund portfolio consisted of Canadian stocks and fixed income securities, thus an overall downturn in the Canadian economy may lead to a widening in credit spreads and a decrease in equity prices which would then lead to a decrease in the value of the Underlying Fund s holdings. As at December 31, 2010, had the Canadian markets increased or decreased by 10% (December 31, 2009-10%), with all other variables held constant, net assets of the Fund would have increased or decreased, respectively, by approximately $1,146,000 (December 31, 2009 - $971,000). In practice, actual results may differ from this analysis and the difference may be material. Credit Risk The Fund indirectly bears the credit risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to credit risk as some of its assets were invested in fixed income securities that bear an investment grade rating. Credit Risk (cont d) The Underlying Fund was invested in fixed income securities, preferred securities and derivative instruments, as applicable, with the following credit ratings: as at December 31, 2010* Net Assets Credit Rating (%) AAA/Aaa/A++ 12.4 AA/Aa/A+ 0.2 Total 12.6 as at December 31, 2009* Net Assets Credit Rating (%) AAA/Aaa/A++ 13.8 AA/Aa/A+ 0.1 Total 13.9 *Credit ratings are obtained from Standard & Poor s, where available, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond Rating Services or Canadian Bond Rating Services, respectively. Currency Risk The Fund indirectly bears the currency risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to currency risk, as some of its investments were denominated in currencies other than Canadian dollars, the functional currency of the Fund and the Underlying Fund. The tables below summarize the Underlying Fund s exposure to currency risk. as at December 31, 2010 Assets Currency (%) US Dollar 2.8 Australian Dollar 0.2 British Pound 0.1 Swiss Franc 0.1 Taiwan Dollar (1.8) Total 1.4 as at December 31, 2009 Assets Currency (%) US Dollar 2.5 Australian Dollar 0.3 British Pound 0.2 Swiss Franc 0.1 Taiwan Dollar (1.5) Total 1.6 As at December 31, 2010, had the Canadian dollar strengthened or weakened by 10% (December 31, 2009-10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets of the Fund would have indirectly decreased or increased, respectively, by approximately $16,000 (December 31, 2009 - $21,000). In practice, the actual results may differ from this analysis and the difference may be material. 21
CI Harbour Growth & Income Segregated Fund Fund Specific Financial Instruments Risks (Note 8) (cont d) Interest Rate Risk The Fund indirectly bears the interest rate risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund s held bonds that mature in one or more years. As a result, the Underlying Fund was exposed to interest rate risk. The tables below summarize the Underlying Fund s exposure to interest rate risk, categorized by the contractual maturity date. as at December 31, 2010 Less than 1-3 3-5 Greater than 1 Year Years Years 5 Years Total (%) (%) (%) (%) (%) Interest Rate Exposure 13.8 3.4-2.1 19.3 Fair Value Hierarchy The tables below summarize the inputs used by the Fund in valuing the Fund s investments carried at fair value. Long Positions at fair value as at December 31, 2010 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 11,460 11,460 Total 11,460 11,460 Long Positions at fair value as at December 31, 2009 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) as at December 31, 2009 Less than 1-3 3-5 Greater than 1 Year Years Years 5 Years Total (%) (%) (%) (%) (%) Underlying Fund 13,266 13,266 Total 13,266 13,266 Interest Rate Exposure 27.8 2.9 0.8 2.1 33.6 As at December 31, 2010, had the prevailing interest rates increased or decreased by 0.25% (December 31, 2009-0.25%), with all other variables held constant, net assets of the Fund would have indirectly decreased or increased, respectively, by approximately $8,000 (December 31, 2009 - $9,000). In practice, the actual results may differ from this analysis and the difference may be material. 22
CI Synergy American Segregated Fund Underlying Fund Information (unaudited) Top 25 Holdings of Synergy American Fund No. of Shares/ Average Fair Par Value Investment Cost ($) Value ($) Cash & Equivalents 3,977,625 7,300 Apple Computer Inc. 1,385,541 2,348,324 27,100 Noble Energy Inc. 1,732,537 2,326,463 51,400 JPMorgan Chase & Co. 2,208,940 2,174,495 22,800 Union Pacific Corp. 1,299,858 2,106,938 40,000 QUALCOMM Inc. 1,761,594 1,974,250 53,700 Oracle Corp. 1,537,666 1,676,267 53,600 Wells Fargo & Co. 1,498,926 1,656,575 9,700 Goldman Sachs Group Inc. 1,437,522 1,626,744 2,600 Google Inc., Class A 1,529,838 1,540,148 17,300 Pioneer Natural Resources Co. 960,833 1,497,927 36,600 SBA Communications Corp. 1,166,657 1,494,354 12,800 Eaton Corp. 1,037,791 1,295,816 26,700 Baytex Energy Trust 692,948 1,246,715 53,800 EMC Corp. 999,499 1,228,690 16,000 Agnico-Eagle Mines Ltd. 1,166,324 1,223,883 8,300 International Business Machines Corp. 1,108,149 1,214,816 16,000 Murphy Oil Corp. 955,450 1,189,576 23,000 Intuit Inc. 1,053,081 1,130,835 29,300 Edison International 1,039,548 1,127,923 23,200 Kansas City Southern de Mexico 875,236 1,107,351 12,100 Chevron Corp. 957,109 1,101,141 32,300 AmerisourceBergen Corp. 981,469 1,099,097 36,600 Archer-Daniels-Midland Co. 1,084,862 1,097,953 5,700 BlackRock Inc. (USD) 971,238 1,083,370 23 CIG - 023
CI Synergy American Segregated Fund Financial Statements Statement of Investment Portfolio as at December 31, 2010 No. of Average Fair Units Investment Cost ($) Value ($) 60,341 Synergy American Fund (Class A)* 994,324 660,738 Total Investments (99.8%) 994,324 660,738 Other Assets (net) (0.2%) 1,502 Net Assets (100.0%) 662,240 Statements of Net Assets as at December 31 (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the years ended December 31 (in $000 s) Statements of Changes in Net Assets for the years ended December 31 (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 Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity 661 934 1 52 662 986-17 - 1-34 - 52 662 934 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios see Financial Highlights) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax/harmonized sales tax Net investment income (loss) for the year - 9-9 - 1 6 8 6 9 (6) - Net assets, beginning of year Capital transactions Proceeds from units issued Payments for units redeemed Increase (decrease) in net assets from operations Net assets, end of year 934 1,170 3 30 (315) (299) (312) (269) 40 33 662 934 *Investments at cost Net Assets per unit (see Financial Highlights) Number of units outstanding (Unit transactions see Supplementary Schedule) 994 1,507 9.08 8.54 72,929 109,354 Realized and unrealized gain (loss) on investments Realized gain (loss) on investments Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments Increase (decrease) in net assets from operations (Increase (decrease) in net assets from operations per unit see Supplementary Schedule) (194) - 240 46 40 (239) - 272 33 33 *The Underlying Fund is also managed by CI Investments Inc., the Manager of the Fund. Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to net assets of the Fund. 24
CI Synergy American Segregated Fund Financial Statements Supplementary Schedule Financial Highlights (for the years ended December 31) Supplementary Schedule Unit Transactions Number of units, beginning of year Units issued for cash Units redeemed Number of units, end of year 109,354 142,653 387 3,863 (36,812) (37,162) 72,929 109,354 Increase (decrease) in net assets from operation per unit (%) (1) 0.45 0.25 (1) Increase (decrease) in net assets from operations per unit is calculated by dividing the increase (decrease) in net assets from operations by the weighted average number of units outstanding during the year. Financial Highlights The following table shows selected key financial information about the Fund and is intended to help you understand the Fund's financial performance for the past five years, as applicable. The Fund s Net Asset Value per Unit Net asset value at December 31, of year shown ($) Ratios and Supplemental Data Net assets ($000 s) (1) Number of units outstanding (1) Portfolio turnover rate (%) (2) 2008 2007 2006 9.08 8.54 8.21 11.12 11.83 662 934 1,170 2,443 3,272 72,929 109,354 142,653 219,600 276,676-6.70 0.48 1.60 - Management expense ratio Management expense ratio before taxes (%) (3) Goods and services tax/ Harmonized sales tax expenses (%) (3) Management expense ratio after taxes (%) (3) GST/Effective HST rate, for the prior calendar year or period (%) (3) 3.11 3.12 3.11 3.12 3.13 0.20 0.12 0.13 0.14 0.15 3.31 3.24 3.24 3.26 3.28 7.96 5.00 5.00 6.00 6.50 (1) This information is provided as at December 31, of the year shown. (2) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the fund 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 high turnover rate and the performance of a fund. (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 the underlying mutual fund and is expressed as an annualized percentage of average net assets for the years shown. 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 Fund's Effective HST rate for the period from July 1, 2010 to December 31, 2010. The rate shown for the year ended December 31, 2010 is the time weighted average of these rates. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. 25
CI Synergy American Segregated Fund Fund Specific Financial Instruments Risks (Note 8) The Synergy American Fund s investments were concentrated in the following segments: as at December 31, 2010 Categories Net Assets (%) Information Technology...................................................... 18.3 Financials................................................................. 14.6 Energy................................................................... 14.3 Industrials................................................................ 11.3 Consumer Discretionary..................................................... 10.7 Consumer Staples.......................................................... 8.8 Health Care............................................................... 8.7 Materials................................................................. 4.4 Cash..................................................................... 4.2 Telecommunication Services.................................................. 2.6 Utilities................................................................... 1.9 Foreign Currency Forward Contracts............................................ 0.2 as at December 31, 2009 Categories Net Assets (%) Information Technology...................................................... 19.5 Financials................................................................. 13.4 Energy................................................................... 12.3 Consumer Discretionary..................................................... 11.8 Health Care............................................................... 11.0 Industrials................................................................ 10.0 Consumer Staples.......................................................... 8.2 Materials................................................................. 6.0 Cash..................................................................... 3.8 Telecommunication Services.................................................. 3.1 Utilities................................................................... 1.8 Other Assets (net).......................................................... -0.9 Other Price Risk The Fund indirectly bears the other price risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to other price risk as its holdings were sensitive to changes in general economic conditions in the United States. The Underlying Fund was predominantly invested in U.S. stocks; as a result, an overall downturn in the American economy may have a negative impact on the value of the Underlying Fund s holdings. As at December 31, 2010, had the U.S. markets increased or decreased by 10% (December 31, 2009-10%), with all other variables held constant, net assets of the Fund would have increased or decreased, respectively, by approximately $66,000 (December 31, 2009 - $93,000). In practice, actual results may differ from this analysis and the difference may be material. Credit Risk The Fund indirectly bears the credit risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund had insignificant exposure to credit risk as it invested predominantly in stocks. Currency Risk The Fund indirectly bears the currency risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to currency risk as it invested predominantly in stocks that were denominated in U.S. dollars, whereas, the Canadian dollar is the functional currency of the Fund and the Underlying Fund. As a result, the Fund would be affected by fluctuations in the value of such currencies relative to the Canadian dollar. The tables below summarize the Underlying Fund s exposure to currency risk. as at December 31, 2010 Assets Currency (%) US Dollar 77.8 Total 77.8 as at December 31, 2009 Assets Currency (%) US Dollar 79.0 Total 79.0 As at December 31, 2010, had the Canadian dollar strengthened or weakened by 10% (December 31, 2009-10%) in relation to all other foreign currencies held in the Underlying Fund, with all other variables held constant, net assets of the Fund would have indirectly decreased or increased, respectively, by approximately $51,000 (December 31, 2009 - $74,000). In practice, the actual results may differ from this analysis and the difference may be material. Interest Rate Risk The Fund indirectly bears the interest rate risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund did not have significant exposure to interest rate risk as substantially all of its assets were invested in stocks. Fair Value Hierarchy The tables below summarize the inputs used by the Fund in valuing the Fund s investments carried at fair value. Long Positions at fair value as at December 31, 2010 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 661 661 Total 661 661 Long Positions at fair value as at December 31, 2009 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 934 934 Total 934 934 26
CI Money Market Segregated Fund Underlying Fund Information (unaudited) Top 25 Holdings of CI Money Market Fund No. of Shares/ Average Fair Par Value Investment Cost ($) Value ($) Cash & Equivalents 187,213,973 150,500,000 Government of Canada T-Bill 0.94% 2011/02/03 150,171,910 150,171,910 78,550,000 Province of Ontario, FRN 2.29% 04/02/2013 78,519,366 78,532,743 60,780,000 Canada Housing Trust No.1, FRN, Series 27 1.66571% 09/15/2014 60,780,000 60,780,000 40,000,000 Royal Bank of Canada BA 1.07% 2011/01/04 39,960,000 39,960,000 37,200,000 HSBC Bank Canada 1.88643% 08/09/2013 37,200,000 37,200,000 36,100,000 Toronto-Dominion Bank, FRN 2.3% 04/15/2011 35,763,909 36,054,406 35,000,000 Royal Bank of Canada 1.93429% 05/11/2012 35,000,000 35,000,000 34,700,000 Province of Ontario, FRN 2.29% 04/02/2013 34,693,407 34,696,287 33,500,000 Province of Ontario 1.89857% 07/15/2011 33,515,745 33,500,000 32,100,000 Canada Housing Trust No.1 1.25071% 06/15/2013 31,849,620 31,940,148 30,500,000 Bank of Nova Scotia, BDN 1.18% 2011/01/17 30,411,550 30,411,550 29,800,000 National Bank of Canada 1.55% 02/13/2012 29,800,000 29,800,000 29,500,000 Province of Ontario, FRN 2.29% 04/02/2013 29,889,105 29,725,356 28,360,000 MetLife Global Funding I 3.29929% 06/29/2011 28,360,000 28,360,000 27,200,000 Bank of Nova Scotia 1.74714% 04/20/2012 27,206,256 27,204,499 26,000,000 National Bank of Canada 1.37% 10/21/2011 26,000,000 26,000,000 22,000,000 Enbridge Inc. 1.25% 2011/01/25 21,979,760 21,979,760 21,330,000 International Bank for Reconstruction and Development 1.09286% 10/31/2012 21,330,000 21,330,000 18,660,000 Province of Quebec, FRN 1.36357% 08/06/2011 18,675,301 18,666,065 18,400,000 Canadian Imperial Bank of Commerce 1.68143% 04/08/2013 18,400,000 18,400,000 16,600,000 Bank of Nova Scotia 4.58% 02/15/2011 17,205,070 16,676,465 16,680,000 Canadian Imperial Bank of Commerce 2.25% 06/15/2011 16,436,525 16,630,530 15,000,000 National Bank of Canada, FRN 1.32% 03/08/2011 15,000,000 15,000,000 13,700,000 Toronto-Dominion Bank, FRN 2.3% 04/15/2011 13,573,202 13,682,776 27 CIG - 020
CI Money Market Segregated Fund Financial Statements Statement of Investment Portfolio as at December 31, 2010 No. of Average Fair Units Investment Cost ($) Value ($) 103,498 CI Money Market Fund (Class A)* 1,034,977 1,034,977 Total Investments (99.3%) 1,034,977 1,034,977 Other Assets (net) (0.7%) 7,442 Net Assets (100.0%) 1,042,419 Statements of Net Assets as at December 31 (in $000 s except for per unit amounts and units outstanding) Statements of Operations for the years ended December 31 (in $000 s) Statements of Changes in Net Assets for the years ended December 31 (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 Insurance fees payable Payable for securities purchased Payable for unit redemptions Net assets and unitholders equity 1,035 1,776 39 47-173 33-1 - 1,108 1,996 32 138 34 78 66 216 1,042 1,780 Income Income distribution from investments Interest Management fee rebate Expenses (Note 4) (Management expense ratios see Financial Highlights) Management fees Administrative fees Insurance fees Custody fees Legal fees Audit fees Goods and services tax/harmonized sales tax Net investment income (loss) for the year 5 3 5 3 4 4 1 1 5 5 10 10 (5) (7) Net assets, beginning of year Capital transactions Proceeds from units issued Payments for units redeemed Increase (decrease) in net assets from operations Net assets, end of year 1,780 1,525 3,451 2,350 (4,184) (2,088) (733) 262 (5) (7) 1,042 1,780 *Investments at cost Net Assets per unit (see Financial Highlights) Number of units outstanding (Unit transactions see Supplementary Schedule) 1,035 1,776 12.88 12.92 80,942 137,787 Realized and unrealized gain (loss) on investments Realized gain (loss) on investments Capital gain distribution from investments Change in unrealized appreciation (depreciation) of investments Net gain (loss) on investments Increase (decrease) in net assets from operations (Increase (decrease) in net assets from operations per unit see Supplementary Schedule) - - - - (5) - - - - (7) *The Underlying Fund is also managed by CI Investments Inc., the Manager of the Fund. Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to net assets of the Fund. 28
CI Money Market Segregated Fund Financial Statements Supplementary Schedule Financial Highlights (for the years ended December 31) Supplementary Schedule Unit Transactions Number of units, beginning of year Units issued for cash Units redeemed Number of units, end of year 137,787 117,539 267,658 181,531 (324,503) (161,283) 80,942 137,787 Increase (decrease) in net assets from operation per unit (%) (1) (0.04) (0.05) (1) Increase (decrease) in net assets from operations per unit is calculated by dividing the increase (decrease) in net assets from operations by the weighted average number of units outstanding during the year. Financial Highlights The following table shows selected key financial information about the Fund and is intended to help you understand the Fund's financial performance for the past five years, as applicable. The Fund s Net Asset Value per Unit Net asset value at December 31, of year shown ($) Ratios and Supplemental Data Net assets ($000 s) (1) Number of units outstanding (1) Portfolio turnover rate (%) (2) 2008 2007 2006 12.88 12.92 12.97 12.75 12.35 1,042 1,780 1,525 1,270 1,330 80,942 137,787 117,539 99,607 107,696 1.12 81.86 72.79 81.23 89.05 Management expense ratio Management expense ratio before taxes (%) (3) Goods and services tax/ Harmonized sales tax expenses (%) (3) Management expense ratio after taxes (%) (3) GST/Effective HST rate, for the prior calendar year or period (%) (3) 1.40 1.40 1.40 1.40 1.41 0.10 0.06 0.07 0.07 0.07 1.50 1.46 1.47 1.47 1.48 8.56 5.00 5.00 6.00 6.50 (1) This information is provided as at December 31, of the year shown. (2) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the fund 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 high turnover rate and the performance of a fund. (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 the underlying mutual fund and is expressed as an annualized percentage of average net assets for the years shown. 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 Fund's Effective HST rate for the period from July 1, 2010 to December 31, 2010. The rate shown for the year ended December 31, 2010 is the time weighted average of these rates. For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements. 29
CI Money Market Segregated Fund Fund Specific Financial Instruments Risks (Note 8) The CI Money Market Fund s investments were concentrated in the following segments: as at December 31, 2010 Categories Net Assets (%) Corporate Bonds........................................................... 41.2 Short-Term Notes.......................................................... 23.3 Provincial Bonds........................................................... 18.4 Cash.................................................................... 16.4 Other Assets (net).......................................................... 0.7 as at December 31, 2009 Categories Net Assets (%) Bonds.................................................................... 61.8 Cash..................................................................... 26.9 Short-Term Notes.......................................................... 11.4 Other Assets (net).......................................................... -0.1 Other Price Risk The Fund indirectly bears the other price risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund investments had high credit ratings and short-terms to maturity. As a result, the other price risk of the Underlying Fund was insignificant. Credit Risk The Fund indirectly bears the credit risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to credit risk as it invested predominantly in fixed income securities that bear an investment grade rating. The Underlying Fund was invested in fixed income securities, preferred securities and derivative instruments, as applicable, with the following credit ratings: as at December 31, 2010* Net Assets Credit Rating (%) AAA/Aaa/A++ 29.3 AA/Aa/A+ 46.6 A 6.8 BBB/Baa/B++ 0.2 Total 82.9 as at December 31, 2009* Net Assets Credit Rating (%) AAA/Aaa/A++ 18.2 AA/Aa/A+ 56.7 A 7.7 BBB/Baa/B++ 1.2 Not Rated 0.3 Total 84.1 Currency Risk The Fund indirectly bears the currency risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund s investments are denominated in Canadian dollars, the functional currency of the Fund and the Underlying Fund. As a result, the Fund was not exposed to currency risk. Interest Rate Risk The Fund indirectly bears the interest rate risk exposure of the Underlying Fund. As at December 31, 2010 and 2009, the Underlying Fund was exposed to interest rate risk. The tables below summarize the Underlying Fund s exposure to interest rate risk, categorized by the contractual maturity date. as at December 31, 2010 Less than 1-3 3-5 Greater than 1 Year Years Years 5 Years Total (%) (%) (%) (%) (%) Interest Rate Exposure 62.4 31.5 5.4-99.3 as at December 31, 2009 Less than 1-3 3-5 Greater than 1 Year Years Years 5 Years Total (%) (%) (%) (%) (%) Interest Rate Exposure 62.2 17.1 20.3-99.6 Fair Value Hierarchy The tables below summarize the inputs used by the Fund in valuing the Fund s investments carried at fair value. Long Positions at fair value as at December 31, 2010 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 1,035 1,035 Total 1,035 1,035 Long Positions at fair value as at December 31, 2009 Level 1 Level 2 Level 3 Total (in $000's) (in $000's) (in $000's) (in $000's) Underlying Fund 1,776 1,776 Total 1,776 1,776 *Credit ratings are obtained from Standard & Poor s, where available, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond Rating Services or Canadian Bond Rating Services, respectively. 30
CI Segregated Funds Notes to the Financial Statements 1. THE FUNDS The following funds were created by board resolution of Unity Life of Canada. Fund Names (the Fund or collectively the Funds or the CI Segregated Funds ) Dated CI Global Segregated Fund October 28, 1997 CI Global Value Segregated Fund October 28, 1997 CI Harbour Segregated Fund October 28, 1997 CI Harbour Growth & Income Segregated Fund October 28, 1997 CI Synergy American Segregated Fund October 28, 1997 CI Money Market Segregated Fund October 28, 1997 (d) Investment Transactions Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses on sales of investments and unrealized appreciation or depreciation in value of investments are calculated on an average cost basis. (e) Income Recognition Distributions from investments are recorded on the ex-distribution date and interest income is accrued on a daily basis. Distributions received from investment fund holdings are recognized by the Funds in the same form in which they were received from the underlying funds. Each Fund invests all of its net assets in a CI mutual fund (the Underlying Funds ). CI Investments Inc. is the Manager of each Fund and the Manager of each Underlying Fund. (f) Net Asset Value per Unit Net asset value per unit is calculated at the end of each day on which the Toronto Stock Exchange is open for business by dividing the total net asset value by outstanding units. The Statement of Investment Portfolio for each of the Funds is as at December 31, 2010 and the Statements of Net Assets are as at December 31, 2010 and 2009. The Statements of Operations and the Statements of Changes in Net Assets for each of the Funds are for the years ended December 31, 2010 and 2009. The Supplementary Schedules/Financial Highlights for each Fund are for years ended December 31, 2010 and 2009 for Supplementary Schedules and for the most recent five years ended December 31 for Financial Highlights. The Fund s Specific Financial Instruments Risks for each of the Funds are as at December 31, 20101 and 2009, where applicable. Effective December 31, 2000, the Funds were closed to new or additional contributions. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES These financial statements have been prepared in accordance with Canadian Generally Accepted Accounting Principles ( Canadian GAAP ). The following is a summary of significant accounting policies of the Funds: (a) Valuation of Investments Canadian GAAP requires the fair value of financial instruments traded in an active market to be measured based on an investment s bid/ask price depending on the investment position (long/short). For the purpose of processing unitholder transactions, net asset value is calculated based on the closing market price of investments (referred to as Net Asset Value ), while for financial statement purposes net assets are calculated based on bid/ask price of investments (referred to as Net Assets ). The Funds invest only in units of Underlying Funds. The Underlying Funds are valued at their net asset value as reported by the Underlying Funds manager on the valuation date. No Net Assets comparison schedule is presented for these Funds as there is no difference between Net Assets and Net Asset Value. (b) Commissions and Other Portfolio Transaction Costs The Funds invest only in units of Underlying Funds and are not subject to transaction costs. (c) Cost of Investments Cost of investments represents the amount paid for each security, and is determined on an average cost basis. (g) Use of Estimates The preparation of financial statements in accordance with Canadian GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the reporting date and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. 3. INCOME TAXES The Funds are deemed to be inter-vivos trusts under the provisions of the Income Tax Act (Canada) and are deemed to have allocated their income to the beneficiaries. Each Fund s net capital gains (losses) are deemed to be those of the beneficiaries. Accordingly, the Funds are not subject to income tax on their net income, including net realized capital gains for the year. A Fund may elect each year to realize capital gains (losses) for the taxation year, where necessary to allocate capital gains (losses) to redeeming beneficiaries. 4. MANAGEMENT FEES AND OTHER EXPENSES Unity Life of Canada charges the Funds an annual management fee. The management fee is calculated on the Net Asset Value of the Funds at the end of each business day and is paid at the end of each month. CI Investments Inc. is the Manager of the Funds and the Underlying Funds, and in consideration of management fees received, provides management services required in the day-to-day operations of the Funds and the Underlying Funds including the management of the investment portfolios of the Underlying Funds. In addition to the management fee payable, the Funds also bear all operating and administrative expenses including audit and legal fees, registry and transfer agency fees, insurance costs, custody fees, expenses relating to reporting and making distributions to unitholders, all other costs and fees imposed by statute or regulation and expenses of all communications with unitholders. The management fees reported in the Statements of Operations of each Fund are net of the management fees and operating expenses paid by its Underlying Fund, if any. Management Expense Ratio (MER) information appears in the Financial Highlights in the Financial Statements. 31
CI Segregated Funds Notes to the Financial Statements (cont d) 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%. 5. UNITHOLDERS EQUITY Units issued and outstanding represent the capital of each Fund. The relevant changes pertaining to subscriptions and redemptions of each Fund units are disclosed in the Statements of Changes in Net Assets. In accordance with the objectives and risk management polices outlined in Note 8, the Funds endeavour to invest subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions by disposal of investments when necessary. Unit Transactions information for each Fund appears under Supplementary Schedule in the Financial Statements. 6. 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 for all publicly accountable profitoriented enterprises for interim and annual financial statements relating to fiscal years beginning on or after January 1, 2011. On January 12, 2011, the AcSB confirmed further deferral of the IFRS changeover date for investment funds. Based on the AcSB decision IFRS will become effective for interim and annual financial statements relating to fiscal years beginning on or after January 1, 2013 instead of January 1, 2011. Based on the Manager s current evaluation of the differences between IFRS and Canadian GAAP, the Manager currently does not expect any impact to net asset value or net asset value per unit, at this time, as a result of the transition to IFRS, and expects that the main impact will be on the financial statements, where additional disclosures or changes in presentation will be required. Further updates on the progress in the implementation of the IFRS transition plan and any changes to reporting will be provided during the implementation period leading up to the transition date. 7. FINANCIAL INSTRUMENTS The categorization of financial instruments is as follows: investments are classified as held for trading and are stated at fair value. Receivable for dividends and accrued interest, receivable for unit subscriptions, receivable for securities sold and management fee rebate receivable are designated as loans and receivables. They are recorded at amortized cost which approximates their fair value due to their short-term nature. Similarly, management fees payable, administration fees payable, insurance fees payable, payable for securities purchased and payable for unit redemptions are designated as financial liabilities and are carried at their amortized cost which approximates their fair value, due to their short-term nature. Financial liabilities are generally paid within three months. 8. FINANCIAL INSTRUMENTS RISK Risk Management The Funds invest in units of Underlying Funds and are exposed to a variety of financial instruments risks: credit risk, liquidity risk and price 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 Fund. The value of investments within an Underlying 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 Fund and this will affect the value of the Funds. The Manager of the Underlying Fund may minimize potential adverse effects of these risks by, but not limited to, regular monitoring of the Underlying 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. 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 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 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. Alternatively, 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. Interest rate risk also applies to 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, Canadian dollars, the functional currency of the Funds and the Underlying Funds. As a result, the Underlying 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 traded in foreign markets are also exposed to currency risk as the prices denominated in foreign currencies are converted to Underlying 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 carrying amount of debt instruments represents the credit risk exposure of each Underlying Fund. Credit risk exposure for derivative instruments is based on each Underlying Funds unrealized gain on the contractual obligations with the counterparty as at the reporting date. The credit risk exposure of Funds other assets are represented by their carrying amount as disclosed in the Statements of Net Assets. Liquidity Risk Liquidity risk is the risk that a Fund may not be able to settle or meet its obligations, on time or at a reasonable price. The Funds are exposed to daily cash redemption of redeemable units. The Funds invest all of their assets in underlying funds which can be readily disposed of. 32
CI Segregated Funds Notes to the Financial Statements (cont d) Fair Value Hierarchy The Funds are required to classify financial instruments measured at fair value using a fair value hierarchy. Investments whose values are based on quoted market prices in active markets are classified as Level 1. This level includes publicly traded equities, exchange traded and retail mutual funds, exchange traded warrants, futures contracts, traded options, American depositary receipts ( ADRs ) and Global depositary receipts ( GDRs ). Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified as Level 2. These include, fixed income securities, mortgage backed securities ( MBS ), short-term instruments, non-traded warrants, over-the-counter options, structured notes of indexed securities, if applicable, foreign currency forward contracts and swap instruments. Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments include private equities, private term loans, private equity funds and certain derivatives. As observable prices are not available for these securities, the Funds may use a variety of valuation techniques to derive the fair value. The Funds invest only in other investment funds and these investments are classified as Level 1. Details of individual Fund s exposure to financial instruments risks including the fair value hierarchy classifications are available in the Fund Specific Financial Instruments Risks section of the financial statements of each Fund. 33
CI Segregated Funds Legal Notice NOTICE: Should you require additional copies of these Annual Financial Statements or have received more than one copy, please contact CI Investments Inc. or your adviser. Unity Life of Canada is the sole issuer of the individual variable annuity contract providing for investment in CI Segregated Funds. A description of the key features of the applicable individual variable annuity contract is contained in the CI Segregated Funds Information Folder. ANY AMOUNT THAT IS ALLOCATED TO A SEGREGATED FUND IS INVESTED AT THE RISK OF THE OWNER AND MAY INCREASE OR DECREASE IN VALUE. CI Investments and the CI Investments design are trademarks of CI Investments Inc. INFORMATION FOLDER: CI Investments Inc. would be pleased to provide, without charge, the most recent Information Folder upon request to its Toronto office. 34
Unity Life of Canada 50 Charles St. E. PO Box 1098, Station F Toronto, ON, M4Y 2T7 2 Queen Street East, Twentieth Floor, Toronto, Ontario M5C 3G7 I www.ci.com Head Office / Toronto 416-364-1145 1-800-268-9374 Calgary 403-205-4396 1-800-776-9027 Montreal 514-875-0090 1-800-268-1602 Vancouver 604-681-3346 1-800-665-6994 Client Services English: 1-800-563-5181 French: 1-800-668-3528 CISEG_AR_04/11E