Securities Lending. Collateral Type* ($000s) Organization of the Fund (note 1) x x

Interim Financial Reports (unaudited) for the period ended June 30, 2016 Statements of Financial Position (unaudited) (in 000s, ecept per unit amounts) As at June 30, 2016 and December 31, 2015 (note 1) June 30, 2016 December 31, 2015 Current assets Investments (non-derivative financial assets) (notes 2 and 3) $ 1,294,018 $ 1,140,272 Cash including foreign currency holdings, at fair value 41,272 58,024 Margin 827 110 Interest receivable 8,713 7,905 Receivable for portfolio securities sold 6,721 4,667 Receivable for units issued 1,441 1,537 Derivative assets 3,066 4,996 Total 1,356,058 1,217,511 Liabilities Current liabilities Payable for portfolio securities purchased 11,220 16,147 Payable for units redeemed 591 508 Distributions payable to holders of redeemable units 438 Derivative liabilities 5,276 6,889 Total Liabilities 17,525 23,544 Net Attributable to Holders of Redeemable Units (note 5) $ 1,338,533 $ 1,193,967 Net Attributable to Holders of Redeemable Units per Class Class A $ 1,338,533 $ 1,193,967 Net Attributable to Holders of Redeemable Units per Unit (note 5) Class A $ 1185 $ 1179 Securities Lending The tables that follow indicate the Pool had assets involved in securities lending transactions outstanding as at June 30, 2016 and December 31, 2015 Aggregate Value of Securities on Loan Aggregate Value of Collateral for Loan June 30, 2016 12,471 12,982 December 31, 2015 54,786 57,458 Collateral Type* i ii iii iv June 30, 2016 4,281 8,701 December 31, 2015 2,758 54,579 121 * See note 2j for Collateral Type definitions Organization of the Fund (note 1) The Pool was established on June 28, 1999 (Date Established) Inception Date Class A June 28, 1999 The accompanying notes are an integral part of these financial statements 1

Statements of Comprehensive Income (unaudited) (in 000s, ecept per unit amounts) For the periods ended June 30, 2016 and 2015 (note 1) June 30, 2016 June 30, 2015 Net Gain (loss) on Financial Instruments Interest for distribution purposes $ 16,290 $ 11,553 Investment income 3,240 1,100 Derivative income (loss) 11,541 4,751 Other changes in fair value of investments and derivatives Net realized gain (loss) on sale of investments and derivatives 14,381 34,235 Net realized gain (loss) on foreign currency (notes 2f and g) (3,568) 2,877 Net change in unrealized appreciation (depreciation) of investments and derivatives (15,647) (17,640) Net Gain (loss) on Financial Instruments ± 26,237 36,876 Other Income Foreign echange gain (loss) on cash (969) (1,492) Securities lending revenue ±± 23 6 (946) (1,486) Epenses (note 6) Management fees ±±± 1,754 1,211 Audit fees 6 5 Custodial fees 184 180 Independent review committee fees 1 1 Legal fees 7 4 Regulatory fees 23 19 Transaction costs ±±±± 13 238 Unitholder reporting costs 922 659 Withholding taes (note 7) 197 129 Other epenses 6 3 3,113 2,449 Epenses waived/absorbed by the Manager (1,482) (1,114) 1,631 1,335 Increase (Decrease) in Net Attributable to Holders of Redeemable Units (ecluding distributions) 23,660 34,055 Increase (Decrease) in Net Attributable to Holders of Redeemable Units per Class (ecluding distributions) Class A $ 23,660 $ 34,055 Average Number of Units Outstanding for the period per Class Class A 108,011 76,676 Increase (Decrease) in Net Attributable to Holders of Redeemable Units per Unit (ecluding distributions) Class A $ 022 $ 044 ±±± Maimum Chargeable Annual Management Fee Rates (note 6) Class A 025% ±±±± Brokerage Commissions and Fees (notes 8 and 9) 2016 2015 Brokerage commissions and other fees Total Paid 233 Paid to CIBC World Markets Inc Paid to CIBC World Markets Corp Soft dollars Total Paid Paid to CIBC World Markets Inc and CIBC World Markets Corp Service Provider (note 9) The amounts paid by the Pool (including all applicable taes) to CIBC Mellon Trust Company for custodial fees, and to CIBC Mellon Global Securities Services Company (CIBC GSS) for securities lending, fund accounting and reporting, and portfolio valuation (all net of absorptions) for the periods ended June 30, 2016 and 2015 were as follows: 2016 2015 10 2 ± Net Gain (Loss) on Financial Instruments (in 000s) Net gains (losses) Category June 30, 2016 June 30, 2015 Financial assets at FVTPL Held for Trading $ 11,112 $ 5,452 Designated at Inception 15,125 31,424 Total financial assets at FVTPL $ 26,237 $ 36,876 ±± Securities Lending Revenue (note 2j) (in 000s) June 30, 2016 June 30, 2015 Gross securities lending revenue (in 000s) Gross securities lending revenue Gross securities lending revenue $ 39 1000 $ 11 1000 Interest paid on collateral 5 128 3 273 Withholding taes 1 26 Agent fees - Bank of New York Mellon Corp (The) 10 256 2 182 Securities lending revenue $ 23 590 $ 6 545 2 The accompanying notes are an integral part of these financial statements

Statements of Changes in Net Attributable to Holders of Redeemable Units (unaudited) (in 000s) For the periods ended June 30, 2016 and 2015 (note 1) Class A Units June 30, 2016 June 30, 2015 Increase (Decrease) in Net Attributable to Holders of Redeemable Units (ecluding distributions) $ 23,660 $ 34,055 Distributions Paid or Payable to Holders of Redeemable Units From net investment income (18,750) (12,859) (18,750) (12,859) Redeemable Unit Transactions Amount received from the issuance of units 219,952 221,108 Amount received from reinvestment of distributions 17,776 12,272 Amount paid on redemptions of units (98,072) (50,353) 139,656 183,027 Increase (Decrease) in Net Attributable to Holders of Redeemable Units 144,566 204,223 Net Attributable to Holders of Redeemable Units at Beginning of Period 1,193,967 756,886 Net Attributable to Holders of Redeemable Units at End of Period $ 1,338,533 $ 961,109 Redeemable Units Issued and Outstanding (note 5) As at June 30, 2016 and 2015 Balance - beginning of period 101,228 69,025 Redeemable units issued 18,502 19,129 Redeemable units issued on reinvestments 1,508 1,064 121,238 89,218 Redeemable units redeemed (8,279) (4,373) Balance - end of period 112,959 84,845 The accompanying notes are an integral part of these financial statements 3

Statements of Cash Flows (unaudited) (in 000s) For the periods ended June 30, 2016 and 2015 (note 1) Cash Flows from Operating Activities June 30, 2016 June 30, 2015 Increase (Decrease) in Net Attributable to Holders of Redeemable Units from Operations (ecluding distributions) $ 23,660 $ 34,055 Adjustments for: Foreign echange loss (gain) on cash 969 1,492 Net realized (gain) loss on sale of investments and derivatives (14,381) (34,235) Net change in unrealized (appreciation) depreciation of investments and derivatives 15,647 17,640 Purchase of investments (786,526) (1,101,712) Proceeds from the sale of investments 624,850 916,698 Margin (717) 1,471 Interest receivable (808) 679 Other receivables 5 (137,306) (163,907) Cash Flows from Financing Activities Amount received from the issuance of units 220,048 220,210 Amount paid on redemptions of units (97,989) (50,232) Distributions paid to unitholders (536) (303) 121,523 169,675 Increase (Decrease) in Cash during the Period (15,783) 5,768 Foreign echange loss (gain) on cash (969) (1,492) Cash (Bank Overdraft) at Beginning of Period 58,024 37,382 Cash (Bank Overdraft) at End of Period $ 41,272 $ 41,658 Interest received $ 15,482 $ 12,232 4 The accompanying notes are an integral part of these financial statements

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 Security MUTUAL FUNDS Renaissance Floating Rate Income Fund, Class 'O' 13,743,032 137,693 133,879 TOTAL MUTUAL FUNDS 137,693 133,879 100% Security Coupon Rate (%) Number of Units Maturity Date Additional Details Par Value INTERNATIONAL BONDS 1 Australian Dollar (note 10) Government of Australia 525% 2019/03/15 1,500,000 1,569 1,585 Government of Australia 175% 2020/11/21 Series '146' 4,005,000 3,798 3,883 Government of Australia 325% 2025/04/21 Series '139' 4,510,000 4,805 4,799 Government of Australia 425% 2026/04/21 Series '142' 1,300,000 1,462 1,503 Government of Australia 450% 2033/04/21 400,000 448 498 Government of Australia 375% 2037/04/21 Series '144' 150,000 163 172 New South Wales Treasury Corp 500% 2024/08/20 11,405,000 11,773 13,357 Queensland Treasury Corp 600% 2022/07/21 Series '22' 5,885,000 6,565 6,912 Queensland Treasury Corp 475% 2025/07/21 Series '25' 7,235,000 7,823 8,282 Queensland Treasury Corp 325% 2026/07/21 Series '26' 7,490,000 7,141 7,673 45,547 48,664 36% Brazilian Real Federative Republic of Brazil 1000% 2025/01/01 23,055,000 7,361 8,360 Federative Republic of Brazil 1000% 2027/01/01 Series 'NTNF' 30,360,000 9,036 10,841 16,397 19,201 14% British Pound Bank of America Corp 775% 2018/04/30 1,500,000 3,500 2,876 Canary Wharf Finance II PLC 595% 2037/10/22 Series 'A3' 45,000 113 101 Imperial Tobacco Group PLC 775% 2019/06/24 525,000 1,172 1,064 InterContinental Hotels Group PLC 388% 2022/11/28 Callable 650,000 1,065 1,199 Lloyds Bank PLC 513% 2025/03/07 900,000 2,177 1,976 Santander UK PLC 575% 2026/03/02 500,000 1,290 1,161 United Kingdom Treasury Bond 125% 2018/07/22 15,540,000 29,458 27,331 United Kingdom Treasury Bond 175% 2019/07/22 1,250,000 2,540 2,252 United Kingdom Treasury Bond 200% 2020/07/22 3,360,000 6,948 6,168 United Kingdom Treasury Bond 200% 2025/09/07 375,000 738 708 United Kingdom Treasury Bond 475% 2030/12/07 1,215,000 3,142 3,035 United Kingdom Treasury Bond 425% 2040/12/07 2,705,000 6,487 7,060 United Kingdom Treasury Bond 350% 2045/01/22 1,280,000 2,948 3,095 United Kingdom Treasury Bond 375% 2052/07/22 645,000 1,783 1,773 United Kingdom Treasury Bond 400% 2060/01/22 255,000 692 791 Virgin Media Secured Finance PLC 513% 2025/01/15 Callable 200,000 401 336 64,454 60,926 46% Canadian Dollar AltaLink Investments LP 521% 2016/12/16 Callable 1,200,000 1,262 1,220 Government of Canada 175% 2019/09/01 2,500,000 2,613 2,595 Government of Canada 225% 2025/06/01 1,105,000 1,206 1,228 Government of Canada 575% 2033/06/01 1,325,000 2,087 2,139 Government of Canada 400% 2041/06/01 940,000 1,282 1,369 Government of Canada 350% 2045/12/01 500,000 657 705 Principal Financial Global Funding II LLC 465% 2016/10/11 1,935,000 1,952 1,950 Province of British Columbia 480% 2021/06/15 1,150,000 1,341 1,347 Province of Ontario 350% 2024/06/02 2,175,000 2,404 2,467 Province of Ontario 345% 2045/06/02 350,000 347 399 Province of Quebec 375% 2024/09/01 Series 'B113' 500,000 536 577 Province of Quebec 350% 2045/12/01 Series 'B112' 590,000 636 672 16,323 16,668 12% 2 Czech Koruna (note 10) Czech Republic 385% 2021/09/29 Series '61' 13,160,000 824 834 824 834 01% Danish Krone Kingdom of Denmark 150% 2023/11/15 4,000,000 804 867 Kingdom of Denmark 450% 2039/11/15 1,725,000 595 632 1,399 1,499 01% Euro ABN AMRO Bank NV 063% 2022/05/31 435,000 640 632 ABN AMRO Bank NV 288% 2025/06/30 Variable Rate, Callable 685,000 1,016 1,004 Anheuser-Busch InBev NV 150% 2025/03/17 1,140,000 1,674 1,718 AXA SA 338% 2047/07/06 Variable Rate, Callable 890,000 1,312 1,267 AXA SA 621% 2049/10/29 Variable Rate, Perpetual 675,000 1,020 1,026 Bank of America Corp 238% 2024/06/19 425,000 671 667 Bank of Ireland Mortgage Bank 175% 2019/03/19 725,000 1,033 1,091 Bankia SA 450% 2022/04/26 400,000 682 715 Bankia SA 400% 2025/02/03 500,000 870 911 Barclays Bank PLC 663% 2022/03/30 125,000 213 210 BAT International Finance PLC 100% 2022/05/23 Callable 590,000 831 861 BAT International Finance PLC 275% 2025/03/25 525,000 815 861 Berkshire Hathaway Inc 075% 2023/03/16 Callable 325,000 434 469 Average Cost Average Cost Fair Value Fair Value Net Net The accompanying notes are an integral part of these financial statements 5

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value BPCE SA 463% 2023/07/18 600,000 1,019 987 British Sky Broadcasting Group PLC 150% 2021/09/15 425,000 591 627 British Telecommunications PLC 113% 2023/03/10 735,000 1,077 1,075 British Telecommunications PLC 175% 2026/03/10 400,000 587 598 Cedulas TDA 6 Fondo De Titulizacion de Activos 388% 2025/05/23 Series '6' 200,000 311 358 Cooperatieve Rabobank UA 125% 2026/03/23 410,000 601 602 CRH Funding BV 188% 2024/01/09 Callable 185,000 260 285 Daimler AG 150% 2026/03/09 525,000 760 804 Danske Bank AS 275% 2026/05/19 Variable Rate, Callable 875,000 1,334 1,307 Deutsche Telekom International Finance BV 063% 2023/04/03 520,000 759 760 Deutsche Telekom International Finance BV 150% 2028/04/03 280,000 409 421 European Stability Mechanism 213% 2023/11/20 1,600,000 2,230 2,676 FCE Bank PLC 153% 2020/11/09 640,000 924 945 Federal Republic of Germany 2021/04/09 Series '173', Zero Coupon 6,830,000 10,165 10,068 Federal Republic of Germany 150% 2022/09/04 1,895,000 3,215 3,059 Federal Republic of Germany 100% 2025/08/15 990,000 1,596 1,578 Federal Republic of Germany 400% 2037/01/04 Series '05' 250,000 598 633 Federal Republic of Germany 425% 2039/07/04 Series '2007' 170,000 414 461 Federal Republic of Germany 250% 2044/07/04 2,710,000 5,666 6,132 FGA Capital Ireland PLC 263% 2019/04/17 1,450,000 2,060 2,180 Fondo de Amortizacion del Deficit Electrico 188% 2017/09/17 1,500,000 2,091 2,199 Government of France 2020/05/25 Zero Coupon 5,685,000 7,934 8,282 Government of France 025% 2020/11/25 1,000,000 1,509 1,474 Government of France 050% 2025/05/25 4,220,000 5,708 6,285 Government of France 050% 2026/05/25 740,000 1,093 1,092 Government of France 475% 2035/04/25 1,400,000 3,201 3,483 Government of France 325% 2045/05/25 825,000 1,450 1,889 Imperial Brands Finance PLC 450% 2018/07/05 1,000,000 1,569 1,562 Imperial Tobacco Finance PLC 500% 2019/12/02 525,000 847 873 ISS Global AS 113% 2020/01/09 Callable 450,000 612 658 Kingdom of Belgium 300% 2019/09/28 Series '67' 1,135,000 1,731 1,815 Kingdom of Belgium 425% 2021/09/28 Series '61' 575,000 1,020 1,025 Kingdom of Belgium 080% 2025/06/22 Series '74' 960,000 1,386 1,457 Kingdom of Belgium 500% 2035/03/28 500,000 1,192 1,269 Kingdom of Belgium 375% 2045/06/22 Series '71' 195,000 436 480 Kingdom of Spain 050% 2017/10/31 1,560,000 2,104 2,260 Kingdom of Spain 140% 2020/01/31 2,160,000 3,135 3,249 Kingdom of Spain 480% 2024/01/31 900,000 1,581 1,667 Kingdom of Spain 160% 2025/04/30 2,405,000 3,442 3,603 Kingdom of Spain 420% 2037/01/31 690,000 1,330 1,362 Kingdom of Spain 290% 2046/10/31 375,000 563 607 Kingdom of the Netherlands 025% 2020/01/15 1,080,000 1,468 1,595 Kingdom of the Netherlands 200% 2024/07/15 500,000 776 842 Kingdom of the Netherlands 025% 2025/07/15 780,000 1,067 1,145 Kingdom of the Netherlands 400% 2037/01/15 115,000 264 286 Kingdom of the Netherlands 375% 2042/01/15 370,000 861 961 LeasePlan Corp NV 100% 2020/04/08 700,000 1,038 1,020 Lloyds Bank PLC 100% 2021/11/19 900,000 1,309 1,295 Morgan Stanley 175% 2025/01/30 450,000 618 663 Philip Morris International Inc 288% 2026/03/03 1,346,000 2,123 2,232 ProLogis LP 138% 2021/05/13 Callable 1,025,000 1,388 1,509 Repsol International Finance BV 363% 2021/10/07 100,000 159 163 Republic of Austria 195% 2019/06/18 1,600,000 2,372 2,460 Republic of Austria 165% 2024/10/21 Series '1' 370,000 559 607 Republic of Austria 120% 2025/10/20 435,000 694 691 Republic of Austria 415% 2037/03/15 150,000 347 363 Republic of Austria 315% 2044/06/20 95,000 207 217 Republic of Finland 200% 2024/04/15 480,000 744 801 Republic of Ireland 450% 2018/10/18 785,000 1,230 1,249 Republic of Ireland 340% 2024/03/18 315,000 522 558 Republic of Italy 150% 2019/08/01 2,585,000 3,626 3,874 Republic of Italy 070% 2020/05/01 2,860,000 4,317 4,187 Republic of Italy 375% 2024/09/01 2,900,000 4,608 5,029 Republic of Italy 250% 2024/12/01 1,810,000 2,823 2,885 Republic of Italy 160% 2026/06/01 1,340,000 1,959 1,973 Republic of Italy 350% 2030/03/01 250,000 444 440 Republic of Italy 400% 2037/02/01 1,320,000 2,393 2,537 Republic of Italy 475% 2044/09/01 685,000 1,413 1,478 Republic of Romania 463% 2020/09/18 200,000 315 332 RTE Reseau de transport d'electricite SA 100% 2026/10/19 Callable 300,000 444 434 RTE Reseau de transport d'electricite SA 200% 2036/04/18 Callable 500,000 739 770 Slovak Republic 338% 2024/11/15 Series '223' 90,000 154 164 Snam SPA 138% 2023/11/19 205,000 291 309 Telefonica Emisiones SAU 148% 2021/09/14 300,000 445 450 Total SA 263% 2049/12/29 Variable Rate, Perpetual 320,000 428 426 Total SA 388% 2049/12/29 Variable Rate, Perpetual 325,000 480 484 Valeo SA 163% 2026/03/18 Callable 200,000 292 302 Vonovia Finance BV 163% 2020/12/15 800,000 1,194 1,206 133,832 139,516 104% Hungarian Forint Republic of Hungary 750% 2020/11/12 Series '20/A' 884,500,000 4,506 4,904 Republic of Hungary 600% 2023/11/24 Series '23/A' 1,350,000,000 7,367 7,411 11,873 12,315 09% Average Cost Fair Value Net 6 The accompanying notes are an integral part of these financial statements

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value Indonesian Rupiah Republic of Indonesia 838% 2024/03/15 Series 'FR70' 17,900,000,000 1,752 1,838 Republic of Indonesia 900% 2029/03/15 Series 'FR71' 100,100,000,000 9,624 10,748 Republic of Indonesia 875% 2044/02/15 Series 'FR67' 26,600,000,000 2,472 2,740 13,848 15,326 11% 3 Israeli Shekel (note 10) State of Israel 425% 2023/03/31 Series '0323' 2,105,000 842 852 842 852 01% Japanese Yen Development Bank of Japan Inc 015% 2020/11/25 Series '25' 90,000,000 972 1,135 Development Bank of Japan Inc 170% 2022/09/20 392,000,000 5,265 5,453 European Investment Bank 190% 2026/01/26 220,000,000 3,215 3,368 General Electric Capital Corp 222% 2020/11/20 200,000,000 2,385 2,721 General Electric Co 200% 2017/02/22 142,000,000 1,711 1,802 Government of Japan 020% 2019/06/20 Series '118' 121,200,000 1,450 1,539 Government of Japan 110% 2021/03/20 Series '314' 589,750,000 6,696 7,875 Government of Japan 090% 2022/06/20 150,650,000 1,569 2,023 Government of Japan 030% 2024/12/20 Series '337' 1,492,200,000 16,291 19,609 Government of Japan 170% 2033/06/20 Series '145' 318,950,000 4,110 5,159 Government of Japan 140% 2034/09/20 Series '150' 978,600,000 10,711 15,337 Government of Japan 230% 2039/03/20 Series '30' 202,050,000 2,962 3,787 Government of Japan 180% 2043/03/20 Series '38' 155,850,000 2,169 2,817 Government of Japan 150% 2044/12/20 Series '45' 572,700,000 6,212 9,927 Japan Epressway Holding and Debt Repayment Agency 100% 2021/09/30 Series '145' 75,000,000 919 990 Japan Epressway Holding and Debt Repayment Agency 039% 2025/10/31 Series '258' 254,800,000 2,775 3,306 Japan Finance Organization for Municipalities 137% 2021/02/26 Series '21' 90,000,000 1,034 1,196 KfW 205% 2026/02/16 324,000,000 4,484 4,953 Province of Ontario 165% 2020/06/08 100,000,000 1,286 1,340 Tokyo Metropolitan Government 135% 2020/12/18 Series '692' 90,000,000 1,031 1,196 77,247 95,533 71% Malaysian Ringgit Government of Malaysia 366% 2020/10/15 Series '0315' 18,640,000 6,136 6,066 Government of Malaysia 405% 2021/09/30 Series '0314' 27,560,000 8,764 9,110 Government of Malaysia 362% 2021/11/30 7,770,000 2,479 2,522 Government of Malaysia 342% 2022/08/15 Series '0112' 3,875,000 1,282 1,231 Government of Malaysia 348% 2023/03/15 Series '0313' 18,040,000 5,856 5,726 Government of Malaysia 396% 2025/09/15 Series '0115' 1,235,000 399 404 24,916 25,059 19% Meican Peso United Meican States 650% 2021/06/10 Series 'M' 22,213,400 1,915 1,640 United Meican States 850% 2038/11/18 Series 'M30' 216,100,000 19,876 18,818 United Meican States 775% 2042/11/13 Series 'M' 402,600,000 35,276 32,856 57,067 53,314 40% 4 New Zealand Dollar (note 10) Government of New Zealand 300% 2020/04/15 Series '420' 5,735,000 5,266 5,474 Government of New Zealand 600% 2021/05/15 Series '521' 7,700,000 7,082 8,401 Government of New Zealand 550% 2023/04/15 Series '423' 8,400,000 8,237 9,419 20,585 23,294 17% Norwegian Krone Kingdom of Norway 450% 2019/05/22 Series '473' 1,695,000 299 292 Kingdom of Norway 300% 2024/03/14 Series '476' 3,000,000 556 538 855 830 01% 5 Polish Zloty (note 10) Republic of Poland 150% 2020/04/25 Series '0420' 3,070,000 973 991 Republic of Poland 400% 2023/10/25 10,145,000 3,599 3,634 Republic of Poland 325% 2025/07/25 Series '0725' 20,030,000 7,061 6,788 11,633 11,413 09% Singapore Dollar Republic of Singapore 350% 2027/03/01 770,000 800 846 800 846 01% 7 South African Rand (note 10) Republic of South Africa 675% 2021/03/31 Series 'R208' 14,880,000 1,343 1,228 Republic of South Africa 800% 2030/01/31 Series '2030' 5,515,000 545 439 Republic of South Africa 650% 2041/02/28 Series 'R214' 153,055,000 12,456 9,612 14,344 11,279 08% South Korean Won Republic of Korea 275% 2018/03/10 Series '1803' 1,769,500,000 2,017 2,033 Republic of Korea 300% 2023/03/10 Series '2303' 2,028,060,000 2,403 2,508 Republic of Korea 300% 2024/09/10 Series '2409' 558,580,000 688 701 Republic of Korea 550% 2028/03/10 Series '2803' 216,100,000 343 346 Republic of Korea 400% 2031/12/10 Series '3112' 926,230,000 1,300 1,388 Republic of Korea 275% 2044/12/10 Series '4412' 247,830,000 314 353 7,065 7,329 06% Average Cost Fair Value Net The accompanying notes are an integral part of these financial statements 7

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value Swedish Krona Government of Sweden 500% 2020/12/01 Series '1047' 4,000,000 837 761 Government of Sweden 100% 2026/11/12 Series '1059' 6,230,000 973 1,023 1,810 1,784 01% Swiss Franc Swiss Confederation 400% 2028/04/08 995,000 1,928 2,025 Swiss Confederation 350% 2033/04/08 205,000 447 448 Swiss Confederation 150% 2042/04/30 170,000 276 320 2,651 2,793 02% Thai Baht Government of Thailand 363% 2023/06/16 42,805,000 1,781 1,752 1,781 1,752 01% Turkish Lira Republic of Turkey 880% 2018/11/14 1,710,000 834 767 834 767 01% 6 United States Dollar (note 10) 21st Century Fo America Inc 300% 2022/09/15 675,000 868 910 ABN AMRO Bank NV 106% 2016/10/28 Variable Rate 3,320,000 3,448 4,292 ACE INA Holdings Inc 230% 2020/11/03 Callable 310,000 411 412 ACE INA Holdings Inc 288% 2022/11/03 Callable 725,000 961 981 Actavis Funding SCS 345% 2022/03/15 Callable 375,000 483 502 Aetna Inc 275% 2022/11/15 Callable 245,000 311 323 Aetna Inc 320% 2026/06/15 Callable 750,000 979 999 Altria Group Inc 400% 2024/01/31 1,600,000 2,173 2,316 Altria Group Inc 425% 2042/08/09 1,225,000 1,561 1,735 Anadarko Finance Co 750% 2031/05/01 Series 'B' 525,000 634 814 Anadarko Petroleum Corp 638% 2017/09/15 Callable 76,000 108 103 Anadarko Petroleum Corp 485% 2021/03/15 Callable 620,000 827 850 Anadarko Petroleum Corp 555% 2026/03/15 Callable 290,000 387 414 Anadarko Petroleum Corp 720% 2029/03/15 155,000 185 221 Anadarko Petroleum Corp 645% 2036/09/15 Callable 470,000 583 702 Anadarko Petroleum Corp 795% 2039/06/15 465,000 673 735 Anadarko Petroleum Corp 450% 2044/07/15 Callable 150,000 140 179 Anadarko Petroleum Corp 660% 2046/03/15 Callable 1,475,000 1,954 2,309 Anheuser-Busch InBev Finance Inc 330% 2023/02/01 Callable 225,000 322 307 Anheuser-Busch InBev Finance Inc 365% 2026/02/01 Callable 750,000 1,074 1,040 Anheuser-Busch InBev Finance Inc 470% 2036/02/01 Callable 280,000 398 408 Anheuser-Busch InBev Finance Inc 490% 2046/02/01 Callable 145,000 208 220 Apple Inc 450% 2036/02/23 Callable 2,640,000 3,651 3,846 Apple Inc 465% 2046/02/23 Callable 6,885,000 9,539 10,073 AT&T Inc 550% 2018/02/01 Callable 2,375,000 3,237 3,267 AT&T Inc 300% 2022/06/30 Callable 450,000 546 596 AT&T Inc 360% 2023/02/17 Callable 375,000 525 506 AT&T Inc 340% 2025/05/15 Callable 350,000 424 463 AT&T Inc 413% 2026/02/17 Callable 475,000 644 661 Baltimore Gas & Electric Co 350% 2021/11/15 Callable 705,000 963 980 Banc of America Commercial Mortgage Inc 549% 2017/10/10 Class 'A4', Series '2007-5', Callable 353,379 474 470 Bank Nederlandse Gemeenten NV 080% 2016/07/18 Floating Rate 4,522,000 4,891 5,843 Bank of America Corp 263% 2021/04/19 1,250,000 1,606 1,642 Bank of America Corp 330% 2023/01/11 500,000 638 666 Bank of America Corp 445% 2026/03/03 390,000 528 528 Bank of America National Association 530% 2017/03/15 500,000 616 664 Barclays Bank PLC 078% 2016/12/09 Variable Rate 2,370,000 2,522 3,058 BAT International Finance PLC 275% 2020/06/15 Callable 790,000 967 1,059 BAT International Finance PLC 350% 2022/06/15 Callable 280,000 343 387 Bear Stearns Commercial Mortgage Securities Trust 591% 2040/06/11 Class 'A4', Series '2007-PW16' 285,547 373 377 Bear Stearns Commercial Mortgage Securities Trust 569% 2050/06/11 Class 'A4', Series '2007-PW17', Callable 653,965 861 873 Berkshire Hathaway Finance Corp 275% 2023/03/15 Callable 670,000 897 895 Berkshire Hathaway Finance Corp 313% 2026/03/15 Callable 1,350,000 1,811 1,831 BMW US Capital LLC 200% 2021/04/11 Callable 995,000 1,297 1,303 BP Capital Markets PLC 275% 2023/05/10 675,000 864 882 BP Capital Markets PLC 381% 2024/02/10 1,150,000 1,285 1,600 BP Capital Markets PLC 312% 2026/05/04 Callable 535,000 674 704 Burlington Northern Santa Fe LLC 515% 2043/09/01 Callable 450,000 691 711 CD Commercial Mortgage Trust 589% 2044/11/15 Class 'A4', Series '2007-CD5', Variable Rate, Callable 196,747 260 264 CD Commerical Mortgage Trust 532% 2049/12/11 Class 'A4', Series '2007-CD4', Callable 228,619 295 298 Charter Communications Operating LLC / Charter 358% 2020/07/23 Callable Communications Operating Capital Corp 150,000 191 203 Charter Communications Operating LLC / Charter 446% 2022/07/23 Callable Communications Operating Capital Corp 435,000 574 605 Charter Communications Operating LLC / Charter 491% 2025/07/23 Callable Communications Operating Capital Corp 760,000 1,019 1,075 Chevron Corp 295% 2026/05/16 Callable 675,000 886 902 Citigroup Commercial Mortgage Trust 386% 2047/05/10 Class 'A5', Series '2014-GC21', Callable 15,000 21 21 Citigroup Commercial Mortgage Trust 294% 2048/04/10 Class 'A3', Series '2015-GC29', Callable 80,000 102 107 Average Cost Fair Value Net 8 The accompanying notes are an integral part of these financial statements

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value Citigroup Commercial Mortgage Trust 319% 2048/04/10 Class 'A4', Series '2015-GC29', Callable 40,000 53 55 Citigroup Commercial Mortgage Trust 376% 2048/06/10 Class 'A4', Series '2015-GC31', Callable 175,116 241 250 Citigroup Commercial Mortgage Trust 382% 2048/11/10 Class 'A4', Series '2015-GC35', Callable 135,000 185 193 Citigroup Commercial Mortgage Trust 590% 2049/12/10 Class 'A4', Series '2007-C6', Variable Rate, Callable 460,000 611 612 Citigroup Inc 132% 2018/04/27 Floating Rate 2,285,000 2,794 2,951 Citigroup Inc 240% 2020/02/18 675,000 857 882 Citigroup Inc 440% 2025/06/10 400,000 537 541 Citigroup Inc 445% 2027/09/29 405,000 538 540 CNA Financial Corp 588% 2020/08/15 Callable 600,000 883 875 CNA Financial Corp 725% 2023/11/15 275,000 433 432 Comcast Corp 570% 2019/07/01 450,000 662 658 Comcast Corp 275% 2023/03/01 Callable 605,000 803 819 COMM Mortgage Loan Trust 620% 2017/09/10 Class 'A4B', Series '2008-LS1', Variable Rate, Callable 510,925 683 685 COMM Mortgage Trust 318% 2035/02/10 Class 'A', Series '2015-3BP', Callable 150,000 197 205 COMM Mortgage Trust 329% 2044/12/10 Class 'A4', Series '2012-LC4', Callable 330,000 486 457 COMM Mortgage Trust 339% 2045/05/15 Class 'A3', Series '2012-CR1', Callable 40,062 60 56 COMM Mortgage Trust 430% 2045/07/10 Class 'A4', Series '2013-CR9', Variable Rate, Callable 315,000 430 462 COMM Mortgage Trust 282% 2045/10/15 Class 'A3', Series '2012-CR3', Callable 245,000 319 331 COMM Mortgage Trust 285% 2045/10/15 Class 'A3', Series '2012-CR4', Callable 360,000 465 488 COMM Mortgage Trust 254% 2045/12/10 Class 'A3', Series '2012-CR5', Callable 320,000 413 427 COMM Mortgage Trust 310% 2046/03/10 Class 'A4', Series '2013-CR6', Callable 400,000 544 549 COMM Mortgage Trust 321% 2046/03/10 Class 'A4', Series '2013-CR7', Callable 125,000 176 173 COMM Mortgage Trust 333% 2046/06/10 Class 'A4', Series '2013-CR8', Callable 95,000 129 132 COMM Mortgage Trust 361% 2046/06/10 Class 'A5', Series '2013-CR8', Variable Rate, Callable 195,000 275 275 COMM Mortgage Trust 421% 2046/08/10 Class 'A5', Callable 75,036 108 109 COMM Mortgage Trust 428% 2046/08/10 Class 'A4', Variable Rate, Callable 135,000 212 197 COMM Mortgage Trust 085% 2047/02/10 Class 'XA', Series '2014-CR14', Variable Rate, Callable 3,464,267 139 164 COMM Mortgage Trust 396% 2047/03/10 Class 'A5', Callable 55,000 77 78 COMM Mortgage Trust 405% 2047/04/10 Class 'A4', Series '2014-CR16', Callable 240,000 332 348 COMM Mortgage Trust 369% 2047/08/10 Class 'A5', Callable 325,000 442 455 COMM Mortgage Trust 380% 2047/08/10 Class 'A5', Series '2014-CR19', Callable 220,333 295 314 COMM Mortgage Trust 353% 2047/12/10 Class 'A3', Series '2014-CR21', Callable 210,000 283 294 COMM Mortgage Trust 318% 2048/02/10 Class 'A4', Callable 195,000 279 267 COMM Mortgage Trust 335% 2048/02/10 Class 'A5', Series '2015-DC1', Callable 300,000 422 413 COMM Mortgage Trust 350% 2048/05/10 Class 'A4', Callable 215,000 318 300 COMM Mortgage Trust 347% 2048/10/10 Class 'D', Series '2015-CR27', Callable 115,000 111 103 COMM Mortgage Trust 362% 2050/07/10 Class 'A4', Series '2015-PC1', Callable 120,000 162 168 COMM Mortgage Trust 346% 2055/08/10 Class 'D', Series '2015-CR24', Callable 100,000 99 90 COMM Mortgage Trust 370% 2055/08/10 Class 'A5', Series '2015-CR24', Callable 255,000 349 362 ConocoPhillips Co 495% 2026/03/15 Callable 770,000 1,031 1,130 ConocoPhillips Co 595% 2046/03/15 Callable 545,000 728 879 Constellation Energy Group Inc 515% 2020/12/01 Callable 650,000 952 935 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 463% 2023/12/01 950,000 1,305 1,306 Corporacion Andina de Fomento 119% 2018/01/29 Floating Rate 4,130,000 5,095 5,333 Corporacion Andina de Fomento 200% 2019/05/10 3,060,000 3,938 4,002 Countrywide Alternative Loan Trust 550% 2035/07/25 Class 'A6', Series '2005-26CB', Callable 479,179 398 539 Countrywide Alternative Loan Trust 550% 2035/11/25 Class '1A7', Series '2005-54CB', Callable 13,693 14 15 Countrywide Alternative Loan Trust 550% 2035/12/25 Class '1A7', Series '2005-64CB', Callable 48,317 47 62 Credit Suisse Commercial Mortgage Trust 579% 2039/06/15 Series '2007-C3', Variable Rate, Callable 402,866 521 530 Credit Suisse First Boston Mortgage Securities Corp 488% 2037/04/15 Class 'AMFX', Series '2005-C2', Callable 59,568 63 71 Credit Suisse Group Funding (Guernsey) Ltd 380% 2022/09/15 1,075,000 1,582 1,398 Credit Suisse Mortgage Capital Certificates 617% 2041/02/15 Class 'A-3', Series '2008-C1', Variable Rate, Callable 405,000 536 545 Credit Suisse of New York 363% 2024/09/09 New York 675,000 884 904 CSAIL Commercial Mortgage Trust 342% 2048/08/15 Class 'D', Series '2015-C3', Variable Rate, Callable 185,000 193 172 CSAIL Commercial Mortgage Trust 372% 2048/08/15 Class 'A4', Series '2015-C3', Callable 210,000 298 297 Average Cost Fair Value Net The accompanying notes are an integral part of these financial statements 9

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value CSAIL Commercial Mortgage Trust 108% 2048/11/15 Class 'XA', Series '2016-C5', Variable Rate, Callable 3,180,008 308 282 CSAIL Commercial Mortgage Trust 381% 2048/11/15 Class 'A4', Series '2015-C4', Callable 405,000 556 578 CSAIL Commercial Mortgage Trust 105% 2057/06/15 Class 'XA', Series '2015-C2', Variable Rate, Callable 2,302,092 178 162 CVS Health Corp 280% 2020/07/20 Callable 730,000 929 983 CVS Health Corp 213% 2021/06/01 Callable 575,000 739 753 Daimler North America Corp 263% 2016/09/15 Callable 2,525,000 3,235 3,273 Dell Inc 650% 2038/04/15 Callable 950,000 1,070 1,031 Demeter Investments BV for Swiss Re Ltd 575% 2050/08/15 Variable Rate, Callable 475,000 631 636 Deutsche Annington Finance BV 320% 2017/10/02 1,600,000 1,650 2,106 Deutsche Bank AG (London) 087% 2017/02/13 Variable Rate 5,025,000 5,763 6,475 Devon Energy Corp 630% 2019/01/15 725,000 1,007 1,015 Devon Energy Corp 560% 2041/07/15 Callable 1,290,000 1,279 1,616 Devon Energy Corp 475% 2042/05/15 Callable 150,000 137 174 Devon Energy Corp 500% 2045/06/15 Callable 120,000 106 145 Devon Financing Corp LLC 788% 2031/09/30 620,000 651 934 Deia Credit Local / New York 088% 2018/06/05 Floating Rate 3,500,000 4,353 4,488 Deia Credit Local SA 103% 2017/01/11 Floating Rate 5,430,000 5,799 7,021 Dominion Resources Inc 275% 2022/09/15 Callable 675,000 858 884 Emera US Finance LP 215% 2019/06/15 690,000 877 902 Enterprise Fleet Financing LLC 159% 2021/02/22 Class 'A2', Series '15-2' 1,754,060 2,286 2,270 Enterprise Products Operating LLC 595% 2041/02/01 Callable 155,000 237 236 European Investment Bank 071% 2018/10/09 Variable Rate 5,285,000 6,958 6,817 Eelon Corp 245% 2021/04/15 Callable 160,000 209 210 Eelon Generation Co LLC 620% 2017/10/01 1,925,000 2,608 2,629 Eport - Import Bank of Korea 100% 2017/01/14 Variable Rate 1,495,000 1,610 1,935 Eport - Import Bank of Korea 086% 2017/05/12 Variable Rate 6,040,000 6,746 7,805 Eport - Import Bank of Korea 088% 2017/08/14 Variable Rate 5,790,000 6,462 7,484 Eon Mobil Corp 273% 2023/03/01 Callable 130,000 176 175 Eon Mobil Corp 304% 2026/03/01 Callable 75,000 101 103 Fannie Mae 400% 2027/01/01 307,350 415 422 Fannie Mae 350% 2027/09/01 380,007 510 521 Fannie Mae 350% 2028/10/01 58,666 75 80 Fannie Mae 300% 2029/06/01 230,207 294 314 Fannie Mae 350% 2029/09/01 115,144 162 158 Fannie Mae 250% 2029/12/01 800,852 1,041 1,072 Fannie Mae 200% 2030/01/01 197,324 250 259 Fannie Mae 250% 2030/02/01 Series 'AS4485' 89,197 115 120 Fannie Mae 300% 2030/03/01 754,208 1,002 1,022 Fannie Mae 250% 2030/04/01 43,832 55 59 Fannie Mae 300% 2030/04/01 130,192 165 176 Fannie Mae 250% 2030/05/01 67,124 82 90 Fannie Mae 300% 2030/05/01 44,229 56 60 Fannie Mae 250% 2030/07/01 137,759 183 184 Fannie Mae 250% 2030/08/01 210,413 282 282 Fannie Mae 200% 2030/09/01 69,416 90 91 Fannie Mae 300% 2030/11/01 113,641 155 154 Fannie Mae 300% 2031/03/01 579,211 818 758 Fannie Mae 300% 2031/04/01 196,227 273 266 Fannie Mae 300% 2035/03/01 88,523 118 120 Fannie Mae 400% 2035/04/01 225,774 308 316 Fannie Mae 300% 2036/03/01 292,065 420 396 Fannie Mae 300% 2036/04/01 98,510 135 134 Fannie Mae 400% 2039/09/01 61,194 80 85 Fannie Mae 450% 2039/09/01 283,068 378 400 Fannie Mae 450% 2040/03/01 25,882 38 37 Fannie Mae 600% 2040/04/01 263,734 376 391 Fannie Mae 400% 2040/09/01 Series 'AE1761' 247,540 336 344 Fannie Mae 600% 2040/10/01 260,814 372 386 Fannie Mae 400% 2040/11/01 76,539 103 106 Fannie Mae 450% 2041/04/01 100,030 131 142 Fannie Mae 550% 2041/07/01 900,137 1,284 1,310 Fannie Mae 450% 2041/08/01 1,171,965 1,621 1,655 Fannie Mae 450% 2041/09/01 59,407 86 84 Fannie Mae 400% 2042/01/01 2,321,177 3,151 3,222 Fannie Mae 450% 2042/01/01 546,722 828 771 Fannie Mae 500% 2042/03/01 1,046,133 1,473 1,508 Fannie Mae 300% 2042/10/01 168,085 169 226 Fannie Mae 300% 2043/01/01 181,722 183 247 Fannie Mae 250% 2043/03/01 43,986 52 58 Fannie Mae 250% 2043/04/01 137,587 173 180 Fannie Mae 300% 2043/05/01 380,534 562 513 Fannie Mae 300% 2044/01/01 779,143 1,053 1,047 Fannie Mae 500% 2045/01/01 155,709 230 224 Fannie Mae 350% 2045/02/01 67,108 89 92 Fannie Mae 300% 2045/05/01 Series 'AY4205' 286,820 357 386 Fannie Mae 350% 2045/06/01 Series 'AZ1967' 92,997 120 128 Fannie Mae 300% 2045/08/01 261,703 347 351 Fannie Mae 400% 2045/10/01 256,843 367 356 Fannie Mae 400% 2045/11/01 138,826 209 192 Fannie Mae 300% 2046/01/01 685,414 975 920 Fannie Mae 400% 2046/01/01 804,983 1,186 1,116 Fannie Mae 350% 2046/02/01 1,265,292 1,844 1,678 Average Cost Fair Value Net 10 The accompanying notes are an integral part of these financial statements

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value Fannie Mae 400% 2046/02/01 66,315 97 92 Fannie Mae 300% 2046/03/01 1,761,666 2,410 2,365 Fannie Mae 350% 2046/03/01 3,493,316 5,039 4,766 Fannie Mae 350% 2046/04/01 198,021 272 270 Fannie Mae 350% 2046/05/01 698,622 959 953 Fannie Mae 300% 2046/07/01 300,000 403 403 Fifth Third Bank 225% 2021/06/14 Callable 1,305,000 1,658 1,713 First Investors Auto Owner Trust 121% 2019/04/15 Class 'A2', Series '2015-1A', Callable 408,714 498 527 Ford Motor Credit Co LLC 129% 2017/03/27 Variable Rate 2,000,000 2,500 2,585 Ford Motor Credit Co LLC 300% 2017/06/12 1,625,000 2,129 2,132 Ford Motor Credit Co LLC 663% 2017/08/15 1,850,000 2,532 2,524 Ford Motor Credit Co LLC 155% 2018/06/15 Floating Rate 2,740,000 3,364 3,539 Freddie Mac 350% 2029/11/01 221,960 298 304 Freddie Mac 250% 2029/12/01 41,206 53 55 Freddie Mac 250% 2030/03/01 648,540 842 868 Freddie Mac 300% 2030/03/01 574,185 761 779 Freddie Mac 250% 2030/04/01 43,966 55 59 Freddie Mac 350% 2030/10/01 96,074 141 132 Freddie Mac 250% 2031/02/01 386,469 551 517 Freddie Mac 300% 2031/02/01 290,245 421 394 Freddie Mac 450% 2031/07/01 701,521 968 989 Freddie Mac 300% 2035/04/01 423,041 556 575 Freddie Mac 350% 2035/04/01 395,935 530 545 Freddie Mac 350% 2035/07/01 Series 'C91841' 230,006 309 317 Freddie Mac 500% 2040/01/01 623,082 877 891 Freddie Mac 400% 2041/01/01 118,250 155 164 Freddie Mac 350% 2042/05/01 1,489,834 1,977 2,034 Freddie Mac 300% 2043/03/01 68,271 91 92 Freddie Mac 300% 2043/07/01 79,180 105 106 Freddie Mac 300% 2043/08/01 88,344 117 119 Freddie Mac 400% 2043/10/01 1,310,995 1,777 1,817 Freddie Mac 450% 2043/10/01 112,432 150 159 Freddie Mac 350% 2044/01/01 248,531 346 339 Freddie Mac 300% 2045/03/01 573,206 741 769 Freddie Mac 300% 2045/04/01 185,686 230 249 Freddie Mac 300% 2045/08/01 71,462 95 96 Freddie Mac 300% 2046/02/01 294,383 418 395 Freddie Mac 400% 2046/02/01 985,493 1,446 1,364 Freddie Mac 350% 2046/03/01 985,581 1,362 1,326 Freddie Mac 300% 2046/04/01 695,960 940 933 Freddie Mac 350% 2046/04/01 893,355 1,218 1,220 Freddie Mac 300% 2046/05/01 498,841 641 669 Freddie Mac 350% 2046/05/01 299,358 405 409 Freddie Mac 400% 2046/05/01 1,198,246 1,651 1,659 Freddie Mac 300% 2046/06/01 400,000 537 536 Freddie Mac 300% 2046/07/01 400,000 536 536 GCCFC Commercial Mortgage Trust 574% 2049/12/10 Class 'A4', Series '2007-GG11', Callable 555,888 724 746 GE Capital International Funding Co 234% 2020/11/15 1,407,000 2,120 1,876 GE Capital International Funding Co 442% 2035/11/15 369,000 496 536 General Electric Capital Corp 550% 2020/01/08 487,000 616 720 General Electric Capital Corp 675% 2032/03/15 Series 'A', Callable 108,000 190 196 General Motors Co 350% 2018/10/02 975,000 1,294 1,298 General Motors Financial Co Inc 310% 2019/01/15 1,250,000 1,632 1,651 General Motors Financial Co Inc 320% 2021/07/06 Callable 1,525,000 1,975 1,976 Goldman Sachs Group Inc (The) 136% 2018/11/15 Variable Rate 10,365,000 11,373 13,428 Goldman Sachs Group Inc (The) 255% 2019/10/23 1,000,000 1,285 1,323 Goldman Sachs Group Inc (The) 275% 2020/09/15 Callable 975,000 1,278 1,287 Goldman Sachs Group Inc (The) 263% 2021/04/25 Callable 440,000 556 577 Goldman Sachs Group Inc (The) 375% 2025/05/22 Callable 520,000 730 703 Goldman Sachs Group Inc (The) 425% 2025/10/21 1,425,000 1,881 1,907 Goldman Sachs Group Inc (The) 475% 2045/10/21 Callable 180,000 230 257 Government National Mortgage Association 400% 2041/03/15 138,570 198 193 Government National Mortgage Association 450% 2041/10/15 149,993 217 214 Government National Mortgage Association 400% 2043/10/20 1,552,449 2,185 2,144 Government National Mortgage Association 450% 2043/11/20 185,185 266 257 Government National Mortgage Association 350% 2045/04/15 351,060 480 482 Government National Mortgage Association 300% 2045/07/15 278,367 371 376 Government National Mortgage Association 400% 2045/10/20 175,795 249 243 Government National Mortgage Association 400% 2046/02/20 480,129 715 664 Government National Mortgage Association 300% 2046/03/20 296,060 406 401 Government National Mortgage Association 350% 2046/03/20 98,148 137 135 Government National Mortgage Association 300% 2046/04/20 99,411 130 134 Government National Mortgage Association 350% 2046/04/20 1,786,981 2,432 2,455 Government National Mortgage Association 300% 2046/06/20 2,200,000 2,971 2,977 Government National Mortgage Association 350% 2046/06/20 3,900,000 5,346 5,359 Government National Mortgage Association I 400% 2045/05/15 164,713 229 229 Government National Mortgage Association II 450% 2041/03/20 1,018,816 1,409 1,438 Government National Mortgage Association II 450% 2043/09/20 33,842 44 47 GS Mortgage Securities Trust 355% 2034/04/10 Class 'A', Series '2012-ALOH' 145,000 192 203 GS Mortgage Securities Trust 148% 2044/08/10 Class 'XA', Series '2011-GC5', Variable Rate, Callable 57,369 4 4 GS Mortgage Securities Trust 277% 2045/11/10 Class 'A3', Series '2012-GCJ9', Callable 40,000 54 54 Average Cost Fair Value Net The accompanying notes are an integral part of these financial statements 11

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value GS Mortgage Securities Trust 294% 2046/02/10 Class 'A5', Series '2013-GC10', Callable 15,000 20 20 GS Mortgage Securities Trust 027% 2046/07/10 Class 'XA', Series '2013-GC13', Variable Rate, Callable 13,693,170 138 129 GS Mortgage Securities Trust 407% 2047/01/10 Class 'A4', Series '2014-GC18' 225,000 317 326 GS Mortgage Securities Trust 400% 2047/04/10 Class 'A5', Series '2014-GC20', Callable 165,000 227 238 GS Mortgage Securities Trust 495% 2047/04/10 Class 'D', Series '2014-GC20', Variable Rate, Callable 120,000 145 118 GS Mortgage Securities Trust 327% 2048/11/10 Class 'D', Series '2015-GS1', Callable 135,041 134 127 GS Mortgage Securities Trust 338% 2050/05/10 Class 'A4', Series '2015-GC30' 420,000 561 582 HJ Heinz Co 280% 2020/07/02 Callable 425,000 523 571 HJ Heinz Co 350% 2022/07/15 Callable 530,000 652 728 Hartford Financial Services Group Inc (The) 513% 2022/04/15 300,000 439 441 Hess Corp 788% 2029/10/01 490,000 653 756 Hess Corp 730% 2031/08/15 465,000 594 692 Hess Corp 713% 2033/03/15 310,000 413 449 Hess Corp 600% 2040/01/15 500,000 554 670 Hess Corp 560% 2041/02/15 Callable 450,000 450 588 Hewlett Packard Enterprise Co 635% 2045/10/15 Callable 4,440,000 5,595 5,730 Howard Hughes Medical Institute 350% 2023/09/01 325,000 440 464 HSBC Holdings PLC 295% 2021/05/25 1,075,000 1,399 1,398 HSBC USA Inc 238% 2019/11/13 850,000 1,091 1,107 Hutchison Whampoa International 14 Ltd 363% 2024/10/31 500,000 646 691 ING Bank NV 413% 2023/11/21 Variable Rate, Callable 1,625,000 2,151 2,135 JP Morgan Alternative Loan Trust 600% 2036/12/27 Class '1-A-1', Series '2008-R4', Callable 1,151,722 977 1,200 JP Morgan Chase Commercial Mortgage Securities Trust 588% 2017/04/12 Class 'A4', Series '2007-CB19', Variable Rate 378,626 500 500 JP Morgan Chase Commercial Mortgage Securities Trust 541% 2046/08/15 Class 'D', Series '2011-C5', Variable Rate 180,000 247 237 JP Morgan Chase Commercial Mortgage Securities Trust 284% 2047/12/15 Class 'A5' 100,000 130 135 JP Morgan Chase Commercial Mortgage Securities Trust 198% 2051/02/12 Class 'A4FL', Series '2008-C2', Variable Rate 941,238 1,126 1,176 JP Morgan Chase Commercial Mortgage Securities Trust 607% 2051/02/12 Class 'A4', Series '2008-C2', Callable 451,794 604 606 JP Morgan Chase Commercial Mortgage Securities Trust 572% 2051/02/15 Class 'A4', Series '2007-C1' 354,453 463 473 JPMBB Commercial Mortgage Securities Trust 318% 2048/02/15 Series '2015-C27', Callable 280,000 363 382 JPMorgan Chase & Co 463% 2021/05/10 1,675,000 2,363 2,410 JPMorgan Chase & Co 270% 2023/05/18 Callable 725,000 929 947 JPMorgan Chase & Co 320% 2026/06/15 Callable 800,000 1,049 1,064 Kaiser Foundation Hospitals 488% 2042/04/01 Callable 150,000 205 232 Kerr-McGee Corp 695% 2024/07/01 65,000 90 97 Kinder Morgan Inc 563% 2023/11/15 Callable 450,000 604 624 Kommunalbanken AS 063% 2017/03/27 Variable Rate 6,850,000 7,434 8,870 Kommunalbanken AS 082% 2018/02/20 Floating Rate 6,714,000 7,345 8,662 LB-UBS Commercial Mortgage Trust 586% 2040/07/15 Class 'A4', Series '2007-C6', Variable Rate, Callable 68,775 88 91 LB-UBS Commercial Mortgage Trust 619% 2041/04/15 Class 'A2', Series '2008-C1', Variable Rate, Callable 142,427 190 194 Macquarie Bank Ltd 127% 2017/10/27 Floating Rate 2,010,000 2,259 2,586 Macquarie Group Ltd 164% 2017/01/31 Floating Rate 3,650,000 4,041 4,724 Macquarie Group Ltd 763% 2019/08/13 575,000 883 862 Marathon Oil Corp 680% 2032/03/15 445,000 522 585 Marathon Oil Corp 660% 2037/10/01 675,000 750 884 Marathon Oil Corp 520% 2045/06/01 Callable 1,130,000 1,048 1,275 MEAG Power 664% 2057/04/01 Callable 350,000 362 605 MEAG Power 666% 2057/04/01 Callable 1,950,000 2,194 3,363 Molson Coors Brewing Co 210% 2021/07/15 Callable 270,000 352 350 Molson Coors Brewing Co 300% 2026/07/15 Callable 615,000 800 795 Morgan Stanley 563% 2019/09/23 Callable 450,000 648 646 Morgan Stanley 250% 2021/04/21 1,285,000 1,639 1,679 Morgan Stanley 388% 2024/04/29 775,000 1,046 1,074 Morgan Stanley 435% 2026/09/08 325,000 433 440 Morgan Stanley 395% 2027/04/23 750,000 967 982 Morgan Stanley BAML Trust 415% 2046/07/15 Class 'A4', Series '2013-C10', Variable Rate, Callable 450,000 648 654 Morgan Stanley BAML Trust 433% 2046/10/15 Class 'A4', Series '2013-C12', Variable Rate, Callable 115,000 164 168 Morgan Stanley BAML Trust 353% 2047/12/15 Class 'A4', Series '2014-C19', Callable 175,005 239 245 Morgan Stanley BAML Trust 325% 2048/02/15 Class 'A4', Series '2015-C20', Callable 145,000 184 199 Morgan Stanley Bank of America Merrill Lynch Trust 318% 2045/08/15 Class 'A4', Series '2012-C5', Callable 130,000 174 179 Morgan Stanley Bank of America Merrill Lynch Trust 292% 2046/02/15 Class 'A4', Series '2013-C7', Callable 80,000 105 108 Morgan Stanley Bank of America Merrill Lynch Trust 406% 2047/02/15 Class 'A5', Series '2014-C14', Callable 50,000 71 72 Morgan Stanley Bank of America Merrill Lynch Trust 331% 2048/04/15 Class 'A4', Series '2015-C22', Callable 155,000 202 214 Morgan Stanley Bank of America Merrill Lynch Trust 115% 2048/10/15 Class 'XA', Series '2015-C26', Variable Rate 901,563 95 88 Average Cost Fair Value Net 12 The accompanying notes are an integral part of these financial statements

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value Morgan Stanley Bank of America Merrill Lynch Trust 313% 2048/12/15 Class 'A4', Series '2013-C8', Callable 120,000 160 164 Morgan Stanley Capital I Trust 569% 2017/04/15 Class 'A4', Series '2007-IQ14', Variable Rate, Callable 565,000 743 744 Morgan Stanley Capital I Trust 557% 2017/10/15 Class 'A3', Series '2007-HQ13', Callable 230,273 310 308 Morgan Stanley Capital I Trust 574% 2042/06/11 Class 'A4', Series '2007-T27', Variable Rate, Callable 380,303 509 508 Morgan Stanley Capital I Trust 324% 2045/03/15 Class 'A4', Series '2012-C4' 340,000 499 469 Morgan Stanley Re-REMIC Trust 589% 2045/08/15 Class 'A4A', Series '2010-GG10', Variable Rate, Callable 439,316 578 579 Nederlandse Waterschapsbank NV 048% 2018/02/14 Variable Rate 11,265,000 12,307 14,554 Nordea Bank AB 225% 2021/05/27 1,250,000 1,636 1,632 Oncor Electric Delivery Co LLC 700% 2022/09/01 Callable 490,000 802 807 Oncor Electric Delivery Co LLC 530% 2042/06/01 Callable 250,000 392 404 Oracle Corp 240% 2023/09/15 Callable 665,000 863 863 Peme Project Funding Master Trust 575% 2018/03/01 Callable 950,000 1,328 1,286 Penske Truck Leasing Co LP / PTL Finance Corp 320% 2020/07/15 Callable 1,160,000 1,498 1,534 Petroleos Meicanos 350% 2023/01/30 Callable 405,000 479 490 Petroleos Meicanos 488% 2024/01/18 Callable 215,000 272 279 Petroleos Meicanos 688% 2026/08/04 Callable 180,000 255 260 Pioneer Natural Resources Co 445% 2026/01/15 Callable 225,000 312 317 PNC Bank NA 270% 2022/11/01 Series 'BKNT', Callable 1,375,000 1,729 1,797 PNC Financial Services Group Inc 390% 2024/04/29 Callable 825,000 1,095 1,145 Province of Ontario 250% 2026/04/27 360,000 454 480 Province of Quebec 250% 2026/04/20 290,000 369 386 Qatar Government International Bond 238% 2021/06/02 1,000,000 1,288 1,284 Qatar Government International Bond 325% 2026/06/02 750,000 967 973 Regents of the University of California 655% 2048/05/15 Sinkable, Callable 500,000 841 944 Republic of Colombia 813% 2024/05/21 200,000 334 334 Republic of Indonesia 475% 2026/01/08 700,000 942 987 Republic of Peru 713% 2019/03/30 225,000 341 334 Republic of Poland 513% 2021/04/21 300,000 437 434 Republic of Poland 325% 2026/04/06 475,000 611 627 Republic of the Philippines 400% 2021/01/15 250,000 349 354 Republic of Turkey 575% 2024/03/22 300,000 424 433 Republic of Turkey 663% 2045/02/17 630,000 931 990 Republic Services Inc 290% 2026/07/01 Callable 220,000 281 289 Reynolds American Inc 485% 2023/09/15 1,000,000 1,031 1,477 Reynolds American Inc 445% 2025/06/12 Callable 1,425,000 2,010 2,066 Ryder System Inc 585% 2016/11/01 Callable 2,111,000 3,058 2,771 Santander UK PLC 235% 2019/09/10 1,000,000 1,280 1,309 SFAVE Commercial Mortgage Securities Trust 394% 2035/01/05 Series '2015-5AVE', Variable Rate, Callable 120,000 153 154 SFAVE Commercial Mortgage Securities Trust 421% 2035/01/05 Series '2015-5AVE', Variable Rate 390,000 495 507 Shell International Finance BV 225% 2023/01/06 1,050,000 1,300 1,360 Societe Generale SA 250% 2021/04/08 1,450,000 1,893 1,921 Statoil ASA 670% 2018/01/15 1,850,000 2,565 2,578 Sunoco Logistics Partners Operations LP 440% 2021/04/01 Callable 735,000 948 1,002 Svensk Eportkredit AB 094% 2017/01/23 Floating Rate 1,085,000 1,170 1,403 Svensk Eportkredit AB 084% 2017/06/12 Floating Rate 3,965,000 4,329 5,127 Svensk Eportkredit AB 063% 2017/11/09 Variable Rate 6,565,000 7,389 8,509 Time Warner Cable Enterprises LLC 838% 2023/03/15 Callable 375,000 642 633 Time Warner Cable Inc 585% 2017/05/01 Callable 2,700,000 3,591 3,612 Time Warner Entertainment Co LP 838% 2033/07/15 Callable 225,000 386 395 Time Warner Inc 355% 2024/06/01 Callable 325,000 426 447 Toyota Motor Credit Corp 140% 2019/05/20 2,550,000 3,276 3,315 Toyota Motor Credit Corp 190% 2021/04/08 1,445,000 1,898 1,897 UBS Group Funding (Jersey) Ltd 300% 2021/04/15 725,000 947 956 UBS Group Funding (Jersey) Ltd 413% 2025/09/24 375,000 496 502 UBS-Barclays Commercial Mortgage Trust 319% 2046/03/10 Class 'A4', Series '2013-C5' 310,000 389 425 UBS-Barclays Commercial Mortgage Trust 324% 2046/04/10 Class 'A4', Series '2013-C6', Callable 75,000 101 103 UBS-Barclays Commercial Mortgage Trust 309% 2049/08/10 Class 'A4', Series '2012-C3', Callable 180,000 231 247 Union Pacific Corp 275% 2026/03/01 Callable 230,000 309 310 United Meican States 400% 2023/10/02 2,176,000 2,991 3,034 United Meican States 605% 2040/01/11 Callable 626,000 963 1,017 United States Treasury Bond 029% 2017/04/30 Floating Rate 975,000 1,256 1,260 United States Treasury Bond 030% 2017/07/31 Floating Rate 15,825,000 21,466 20,449 United States Treasury Bond 049% 2018/01/31 Floating Rate 17,415,000 22,570 22,547 United States Treasury Bond 047% 2018/04/30 Variable Rate 8,415,000 10,865 10,876 United States Treasury Bond 150% 2018/08/31 3,130,000 4,368 4,121 United States Treasury Bond 313% 2021/05/15 1,370,000 1,911 1,948 United States Treasury Bond 213% 2021/08/15 Callable 4,925,000 6,683 6,707 United States Treasury Bond 225% 2025/11/15 2,860,000 3,970 3,944 United States Treasury Bond 450% 2036/02/15 5,415,000 9,563 10,080 United States Treasury Bond 300% 2044/11/15 1,365,000 1,744 2,028 United States Treasury Bond 250% 2045/02/15 22,175,000 25,868 29,837 United States Treasury Bond 300% 2045/05/15 9,670,000 13,630 14,365 United States Treasury Bond 300% 2045/11/15 8,660,000 12,587 12,865 United States Treasury Bond 250% 2046/05/15 2,350,000 3,188 3,167 UnitedHealth Group Inc 140% 2017/12/15 2,025,000 2,613 2,631 UnitedHealth Group Inc 270% 2020/07/15 Callable 755,000 981 1,016 UnitedHealth Group Inc 335% 2022/07/15 Callable 385,000 500 533 Average Cost Fair Value Net The accompanying notes are an integral part of these financial statements 13

Schedule of Investment Portfolio (unaudited) As at June 30, 2016 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value Unum Group 400% 2024/03/15 975,000 1,307 1,303 Verizon Communications Inc 241% 2018/09/14 Floating Rate 2,350,000 3,097 3,113 Verizon Communications Inc 515% 2023/09/15 1,300,000 1,608 1,959 Verizon Communications Inc 427% 2036/01/15 250,000 323 332 Virginia Electric & Power Co 595% 2017/09/15 1,977,000 2,686 2,705 Visa Inc 280% 2022/12/14 Callable 625,000 847 853 Visa Inc 315% 2025/12/14 Callable 440,000 595 608 Washington Mutual Inc 550% 2035/08/25 Class '2A1', Series '2005-6', Callable 129,993 103 154 WellPoint Inc 350% 2024/08/15 Callable 1,325,000 1,738 1,775 Wells Fargo & Co 413% 2023/08/15 650,000 886 905 Wells Fargo & Co 330% 2024/09/09 1,000,000 1,302 1,356 Wells Fargo & Co 300% 2026/04/22 400,000 502 527 Wells Fargo & Co 410% 2026/06/03 655,000 890 906 Wells Fargo & Co 430% 2027/07/22 1,445,000 2,031 2,018 Wells Fargo Bank NA 175% 2019/05/24 1,750,000 2,278 2,292 Wells Fargo Commercial Mortgage Trust 292% 2045/10/15 Class 'A3', Series '2012-LC5', Callable 25,000 33 34 Wells Fargo Commercial Mortgage Trust 486% 2045/10/15 Class 'D', Series '2012-LC5', Variable Rate, Callable 50,000 59 62 Wells Fargo Commercial Mortgage Trust 341% 2047/12/15 Class 'A5', Series '2014-LC18', Callable 220,000 300 305 Wells Fargo Commercial Mortgage Trust 384% 2058/09/15 Class 'A4', Series '2015-LC22', Callable 30,000 41 43 Wells Fargo Mortgage Backed Securities Trust 411% 2048/05/15 Class 'D', Series '2015-NXS1', Variable Rate, Callable 145,000 162 146 Westlake Automobile Receivables Trust 152% 2019/01/15 Class 'A2B', Series '16-1A', Variable Rate 815,000 1,170 1,056 Westlake Automobile Receivables Trust 182% 2019/01/15 Class 'A2A', Series '16-1A' 815,000 1,170 1,057 WFRBS Commercial Mortgage Trust 490% 2044/06/15 Class 'A4', Series '2011-C4' 150,000 218 220 WFRBS Commercial Mortgage Trust 367% 2044/11/15 Class 'A4', Series '2011-C5', Callable 125,000 174 175 WFRBS Commercial Mortgage Trust 307% 2045/03/15 Class 'A5', Series '2013-C11', Callable 310,000 411 424 WFRBS Commercial Mortgage Trust 343% 2045/06/15 Class 'A2', Series '2012-C7' 375,000 520 523 WFRBS Commercial Mortgage Trust 300% 2045/08/15 Class 'A3', Series '2012-C8', Callable 50,000 66 68 WFRBS Commercial Mortgage Trust 287% 2045/11/15 Class 'A3', Series '2012-9', Callable 280,000 352 379 WFRBS Commercial Mortgage Trust 288% 2045/12/15 Class 'A3', Series '2012-C10', Callable 360,115 478 489 WFRBS Commercial Mortgage Trust 410% 2047/03/15 Class 'A5', Series '2014-C19', Callable 140,000 197 203 WFRBS Commercial Mortgage Trust 368% 2047/08/15 Class 'A5', Series '2014-C21', Callable 150,000 194 212 576,941 608,345 455% TOTAL INTERNATIONAL BONDS 1,103,868 1,160,139 867% Less: Transaction costs included in average cost TOTAL INVESTMENTS 1,241,561 1,294,018 967% Margin 827 01% Derivative assets 3,066 02% Derivative liabilities (5,276) (04)% Other, less Liabilities 45,898 34% TOTAL NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1,338,533 1000% 1-7 Hedging reference number Refers to a corresponding number on the Schedule of Derivative and Liabilities - Forward Foreign Currency Contracts Average Cost Fair Value Net Schedule of Derivative and Liabilities - Futures Contracts (note 11) Contracted Value ($) Name of Future Epiry Date Number of Contracts Currency Contracted Price Fair Value ($) Unrealized Gain (Loss) 717,143 Euro-BUND September 2016 3 EUR 16673 718,821 2 (4,169,277) Euro-SCHATZ September 2016 (26) EUR 11185 (4,177,478) (8) (30,167,557) United States 10 Year Treasury Note September 2016 (180) USD 12972 (30,925,650) (758) (2,521,695) United States 5 Year Treasury Note September 2016 (16) USD 12199 (2,525,278) (4) (36,141,386) Derivative and Liabilities - Futures (36,909,585) (768) As at June 30, 2016, $827,816 cash was deposited as margin for the futures contracts Schedule of Derivative and Liabilities - Forward Foreign Currency Contracts (note 10) Hedging Ref No** Counterparty Credit Rating for Counterparty* Settlement Date Currency Buys Par Value Currency Sells Par Value Forward Rate Current Rate Unrealized Gain (Loss) 1 BNP Paribas SA, Paris A-1 2016/07/29 AUD 512,000 USD 381,955 0746 0745 (1) 1 HSBC Bank, New York A-1+ 2016/07/29 AUD 870,000 USD 642,371 0738 0745 7 1 HSBC Bank, New York A-1+ 2016/07/29 AUD 855,000 USD 629,193 0736 0745 10 1 Royal Bank of Canada A-1+ 2016/07/29 AUD 1,538,000 USD 1,145,805 0745 0745 1 Citibank NA, New York A-1 2016/07/29 USD 3,319,527 AUD 4,487,000 1352 1342 (31) 1 HSBC Bank, New York A-1+ 2016/07/29 USD 649,262 AUD 875,000 1348 1342 (3) 1 HSBC Bank, New York A-1+ 2016/07/29 USD 646,701 AUD 870,000 1345 1342 (2) 14 The accompanying notes are an integral part of these financial statements

Hedging Ref No** Counterparty Credit Rating for Counterparty* Settlement Date Currency Buys Par Value Currency Sells Par Value Forward Rate Current Rate Unrealized Gain (Loss) 1 HSBC Bank, New York A-1+ 2016/07/29 USD 634,384 AUD 855,000 1348 1342 (3) JPMorgan Chase & Co, New York A-2 2016/07/29 CHF 1,102,000 USD 1,136,551 1031 1026 (8) HSBC Bank, New York A-1+ 2016/07/08 CLP 4,594,000,000 CAD 8,931,661 0002 0002 33 HSBC Bank, New York A-1+ 2016/07/08 CLP 506,000,000 CAD 971,675 0002 0002 15 HSBC Bank, New York A-1+ 2016/09/26 CLP 8,824,000,000 CAD 16,477,166 0002 0002 614 HSBC Bank, New York A-1+ 2016/11/07 CLP 3,818,000,000 CAD 7,149,813 0002 0002 216 2 State Street Trust Co, Boston A-1+ 2016/07/29 USD 318,324 CZK 7,636,000 23988 24368 6 HSBC Bank, New York A-1+ 2016/07/29 DKK 1,507,000 USD 229,724 0152 0149 (6) Citibank NA, New York A-1 2016/08/10 EUR 35,160,000 CAD 52,089,364 1481 1435 (1,617) Citibank NA, New York A-1 2016/08/10 EUR 1,280,000 CAD 1,887,104 1474 1435 (50) Citibank NA, New York A-1 2016/08/10 EUR 1,000,000 CAD 1,463,960 1464 1435 (28) Citibank NA, New York A-1 2016/07/29 EUR 575,000 USD 640,714 1114 1111 (3) JPMorgan Chase & Co, New York A-2 2016/07/29 EUR 6,596,000 USD 7,277,565 1103 1111 64 JPMorgan Chase & Co, New York A-2 2016/07/29 EUR 5,267,000 USD 5,989,548 1137 1111 (179) Royal Bank of Canada A-1+ 2016/07/29 EUR 490,000 USD 544,805 1112 1111 (1) Standard Chartered Bank, New York A-1 2016/07/29 EUR 1,135,000 USD 1,257,143 1108 1111 5 UBS AG, Stamford A-1 2016/07/29 EUR 4,799,000 USD 5,294,929 1103 1111 46 UBS AG, Stamford A-1 2016/07/29 EUR 1,493,000 USD 1,660,097 1112 1111 (3) UBS AG, Stamford A-1 2016/07/29 EUR 183,000 USD 203,162 1110 1111 1 Westpac Banking Corp, Sydney A-1+ 2016/07/29 EUR 3,000 USD 3,396 1132 1111 Citibank NA, New York A-1 2016/07/29 USD 1,255,894 EUR 1,130,000 0900 0900 1 HSBC Bank, New York A-1+ 2016/07/29 USD 2,531,204 EUR 2,245,000 0887 0900 49 HSBC Bank, New York A-1+ 2016/07/29 USD 1,029,645 EUR 930,000 0903 0900 (4) HSBC Bank, New York A-1+ 2016/07/29 USD 848,743 EUR 766,000 0903 0900 (3) HSBC Bank, New York A-1+ 2016/07/29 USD 767,280 EUR 695,000 0906 0900 (6) HSBC Bank, New York A-1+ 2016/07/29 USD 512,266 EUR 460,000 0898 0900 2 JPMorgan Chase & Co, New York A-2 2016/07/29 USD 1,252,280 EUR 1,135,000 0906 0900 (11) JPMorgan Chase & Co, New York A-2 2016/07/29 USD 1,162,333 EUR 1,042,000 0896 0900 7 JPMorgan Chase & Co, New York A-2 2016/07/29 USD 647,133 EUR 583,000 0901 0900 (1) Toronto-Dominion Bank (The) A-1+ 2016/07/29 USD 438,415 EUR 394,000 0899 0900 1 Westpac Banking Corp, Sydney A-1+ 2016/07/29 USD 2,440,517 EUR 2,156,000 0883 0900 59 HSBC Bank, New York A-1+ 2016/07/29 GBP 575,000 USD 764,435 1329 1332 1 HSBC Bank, New York A-1+ 2016/07/29 GBP 471,000 USD 624,358 1326 1332 3 JPMorgan Chase & Co, New York A-2 2016/07/29 GBP 470,000 USD 623,643 1327 1332 2 Royal Bank of Canada A-1+ 2016/07/29 GBP 1,040,000 USD 1,384,422 1331 1332 1 BNP Paribas SA, Paris A-1 2016/07/29 USD 139,639 GBP 106,000 0759 0751 (2) HSBC Bank, New York A-1+ 2016/07/29 USD 757,439 GBP 565,000 0746 0751 7 HSBC Bank, New York A-1+ 2016/07/29 USD 746,238 GBP 565,000 0757 0751 (8) JPMorgan Chase & Co, New York A-2 2016/07/29 USD 618,934 GBP 453,000 0732 0751 21 JPMorgan Chase & Co, New York A-2 2016/07/29 USD 611,196 GBP 452,000 0740 0751 12 3 HSBC Bank, New York A-1+ 2016/07/29 USD 312,905 ILS 1,206,000 3854 3858 HSBC Bank, New York A-1+ 2016/08/24 INR 790,000,000 CAD 15,154,422 0019 0019 (174) BNP Paribas SA, Paris A-1 2016/07/29 JPY 2,315,338,000 USD 22,682,158 0010 0010 (315) Royal Bank of Canada A-1+ 2016/07/29 JPY 74,000,000 USD 709,074 0010 0010 10 BNP Paribas SA, Paris A-1 2016/07/29 USD 1,345,056 JPY 137,300,000 102078 103187 19 Morgan Stanley, London A-1 2016/07/29 USD 938,913 JPY 98,049,000 104428 103187 (15) Commonwealth Bank of Australia, Sydney A-1+ 2016/07/29 KRW 117,639,000 USD 101,606 0001 0001 1 Goldman Sachs Group Inc (The), London A-2 2016/07/29 KRW 128,667,000 USD 111,042 0001 0001 UBS AG, Stamford A-1 2016/07/29 KRW 121,315,000 USD 104,781 0001 0001 1 JPMorgan Chase Bank, New York A-1 2016/07/12 MXN 316,490,000 CAD 22,670,799 0072 0071 (322) HSBC Bank, New York A-1+ 2016/07/13 NOK 90,300,000 CAD 14,091,826 0156 0154 (152) JPMorgan Chase & Co, New York A-2 2016/07/29 NOK 5,475,000 USD 650,110 0119 0119 5 HSBC Bank, New York A-1+ 2016/07/29 USD 39,018 NOK 324,000 8304 8369 UBS AG, Stamford A-1 2016/07/29 USD 39,003 NOK 324,000 8307 8369 4 Commonwealth Bank of Australia, Sydney A-1+ 2016/07/29 USD 1,841,120 NZD 2,579,000 1401 1402 2 4 National Australia Bank Ltd, Melbourne A-1+ 2016/07/29 USD 919,854 NZD 1,289,000 1401 1402 1 4 State Street Trust Co, Boston A-1+ 2016/07/29 USD 919,529 NZD 1,289,000 1402 1402 1 5 UBS AG, Stamford A-1 2016/07/29 USD 6,683 PLN 26,000 3890 3948 Morgan Stanley, London A-1 2016/07/29 RUB 26,030,000 USD 400,357 0015 0016 5 Citibank NA, New York A-1 2016/07/14 SEK 71,300,000 CAD 11,168,896 0157 0153 (277) HSBC Bank, New York A-1+ 2016/07/14 SEK 160,500,000 CAD 25,528,057 0159 0153 (1,011) Citibank NA, New York A-1 2016/07/29 SEK 130,000 USD 15,209 0117 0118 Goldman Sachs Group Inc (The), London A-2 2016/07/29 SEK 9,093,000 USD 1,070,675 0118 0118 7 JPMorgan Chase & Co, New York A-2 2016/07/29 SEK 5,290,000 USD 624,008 0118 0118 3 JPMorgan Chase & Co, New York A-2 2016/07/29 SEK 5,290,000 USD 620,775 0117 0118 7 JPMorgan Chase & Co, New York A-2 2016/07/29 USD 637,667 SEK 5,420,000 8500 8452 (4) Standard Chartered Bank, New York A-1 2016/07/29 SGD 336,000 USD 250,373 0745 0742 (2) 6 Morgan Stanley, London A-1 2016/07/29 USD 1,538,966 CAD 1,971,000 1281 1292 17 6 Goldman Sachs & Co, New York A-1 2016/08/12 USD 69,547,225 CAD 90,080,000 1295 1292 (240) 6 Royal Bank of Canada A-1+ 2016/07/29 CAD 1,820,000 USD 1,419,583 0780 0774 (14) 6 Citibank NA, New York A-1 2016/08/10 CAD 1,890,000 USD 1,461,796 0773 0774 2 6 Citibank NA, New York A-1 2016/08/10 CAD 1,460,000 USD 1,137,949 0779 0774 (10) 6 Goldman Sachs & Co, New York A-1 2016/08/12 CAD 224,860,000 USD 173,099,055 0770 0774 1,254 6 Goldman Sachs & Co, New York A-1 2016/08/12 CAD 34,880,000 USD 26,579,896 0762 0774 545 7 HSBC Bank, New York A-1+ 2016/07/29 USD 397,997 ZAR 5,881,000 14777 14802 1 Derivative and Liabilities - Forwards (1,442) * The credit rating of each counterparty (as rated by S&P Global Ratings, a division of S&P Global) of the forward foreign currency contracts held by the Pool meets or eceeds the minimum approved credit rating ** See corresponding reference number on the Schedule of Investment Portfolio The accompanying notes are an integral part of these financial statements 15

Supplemental Schedule to Schedule of Investment Portfolio (unaudited) Offsetting Arrangements (note 2d) (in 000s) The Pool may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statements of Financial Position but still allow for the related amounts to be set off in certain circumstances, such as bankruptcy or the termination of the contracts The following table reconciles the net amount of Over-The-Counter derivatives presented in the Statements of Financial Position, as at June 30, 2016 and December 31, 2015, to: l l The gross amount before offsetting required under IFRS; and The net amount after offsetting under the terms of master netting arrangements or other similar arrangements, but which do not meet the criteria for offsetting under IFRS Financial and Liabilities Amounts Offset Amounts Not Offset Net Gross (Liabilities) Amounts Offset Under IFRS Net Amounts Presented on Statements of Financial Position Master Netting Arrangements Cash Collateral Received As at June 30, 2016 OTC Derivative $ 3,064 $ $ 3,064 $ (1,372) $ $ 1,692 OTC Derivative Liabilities (4,506) (4,506) 1,372 (3,134) Total $ (1,442) $ $ (1,442) $ $ $ (1,442) As at December 31, 2015 OTC Derivative $ 4,894 $ $ 4,894 $ (2,164) $ $ 2,730 OTC Derivative Liabilities (6,889) (6,889) 2,164 (4,725) Total $ (1,995) $ $ (1,995) $ $ $ (1,995) Interests in Underlying Funds (note 4) As at June 30, 2016 and December 31, 2015, the Pool had no investments in underlying funds where the ownership eceeded 20 each underlying fund 16 The accompanying notes are an integral part of these financial statements

Financial Instrument Risks Investment Objective: (the Pool) seeks to provide a high level of interest income and some capital growth, while attempting to preserve capital by investing primarily in bonds, debentures, notes, and other debt obligation securities denominated in foreign currencies of Canadian governments and companies, non-canadian issuers, and supranational organizations Investment Strategies: The Pool undertakes a value-based approach to buying bonds with higher real yields and uses a total-return based approach emphasizing fundamentals, valuations, and market sentiment to determine relative value across country, currency, and sector allocations, as well as active management in interest rate decisions based on a review of global macroeconomic, political, and capital market conditions Currency and country eposure are managed to protect principal and increase returns Significant risks that are relevant to the Pool are discussed here General information on risk management and specific discussion on concentration, credit, currency, interest rate, liquidity, and other price/market risk can be found in note 2 of the financial statements In the following risk tables, Net is defined as meaning Net assets attributable to holders of redeemable units" Concentration Risk as at June 30, 2016 and December 31, 2015 The Schedule of Investment Portfolio presents the securities held by the Pool as at June 30, 2016 The following table presents the investment sectors held by the Pool as at December 31, 2015 and groups the securities by asset type, industry sector, geographic region, or currency eposure: As at December 31, 2015 Portfolio Breakdown Net International Bonds Australian Dollar 43 Brazilian Real 10 British Pound 44 Canadian Dollar 12 Danish Krone 01 Euro 119 Hungarian Forint 10 Indonesian Rupiah 11 Japanese Yen 50 Malaysian Ringgit 15 Meican Peso 37 New Zealand Dollar 14 Norwegian Krone 03 Polish Zloty 09 Singapore Dollar 01 South African Rand 08 South Korean Won 08 Swedish Krona 01 Swiss Franc 02 Thai Baht 01 Turkish Lira 01 United States Dollar 454 Mutual Funds International Bond 101 Derivative (Liabilities) (02) Other, less Liabilities 47 Total 1000 Credit Risk Credit ratings represent a consolidation of the ratings provided by various outside service providers and are subject to change, which could be material See the Schedule of Investment Portfolio for counterparty from over-the-counter derivative contracts, where applicable As at June 30, 2016 and December 31, 2015, the Pool invested in debt securities with the following credit ratings: Net Debt Securities by Credit Rating (note 2b) June 30, 2016 December 31, 2015 'AAA' 266 303 'AA' 190 178 'A' 213 192 'BBB' 168 161 Below 'BBB' 27 20 Unrated 03 Total 867 854 Currency Risk The tables that follow indicate the currencies to which the Pool had significant eposure as at June 30, 2016 and December 31, 2015, based on the market value of the Pool's financial instruments (including cash and cash equivalents) and the underlying principal amounts of forward foreign currency contracts, as applicable As at June 30, 2016 Currency (note 2l) Total Currency Eposure* Net USD 427,988 320 EUR 207,745 155 JPY 122,713 92 MXN 75,813 57 GBP 62,051 46 AUD 46,095 34 SEK 39,415 29 CLP 34,409 26 MYR 25,283 19 BRL 20,184 15 NZD 18,721 14 IDR 15,675 12 NOK 15,520 12 INR 14,980 11 HUF 12,727 10 PLN 11,668 09 ZAR 11,096 08 KRW 7,786 06 * Amounts reflect the carrying value of monetary and non-monetary items (including the notional amount of forward foreign currency contracts, if any) As at December 31, 2015 Currency (note 2l) Total Currency Eposure* Net USD 441,689 370 EUR 144,592 121 JPY 119,047 100 MXN 66,293 56 AUD 40,943 34 SEK 31,806 27 CLP 31,483 26 GBP 31,156 26 NZD 19,257 16 MYR 18,147 15 INR 15,353 13 NOK 13,953 12 IDR 13,827 12 BRL 13,086 11 HUF 12,294 10 PLN 11,171 09 ZAR 10,198 09 KRW 6,913 06 * Amounts reflect the carrying value of monetary and non-monetary items (including the notional amount of forward foreign currency contracts, if any) The table that follows indicates how net assets as at June 30, 2016 and December 31, 2015 would have decreased or increased had the Canadian dollar strengthened or weakened by 1% in relation to all foreign currencies This analysis assumes that all other variables remain unchanged In practice, the actual results may differ from this analysis and the difference could be material June 30, 2016 December 31, 2015 Impact on Net 11,811 10,511 The accompanying notes are an integral part of these financial statements 17

Interest Rate Risk The Pool s short-term assets and liabilities were not subject to significant amounts of risk due to fluctuations in the prevailing level of market interest rates The table that follows indicates the Pool s eposure to fied income securities by remaining term-to-maturity June 30, 2016 December 31, 2015 Remaining Term-to-Maturity Less than 1 year 79,064 42,880 1-3 years 229,345 217,030 3-5 years 146,091 145,980 > 5 years 705,639 614,137 Total 1,160,139 1,020,027 The table that follows indicates how net assets as at June 30, 2016 and December 31, 2015 would have increased or decreased had the interest rate decreased or increased by 25 basis points and assuming a parallel shift in the yield curve This change is estimated using the weighted average duration of the fied income portfolio This analysis assumes that all other variables remain unchanged In practice, actual results may differ from this analysis and the difference could be material June 30, 2016 December 31, 2015 Impact on Net 21,519 18,955 Liquidity Risk Liquidity risk is the risk that the Pool will encounter difficulty in meeting obligations associated with financial liabilities The Pool is eposed to daily cash redemptions of redeemable units The Pool maintains sufficient cash on hand to fund anticipated redemptions With the eception of derivative contracts, where applicable, all of the Pool s financial liabilities are short-term liabilities maturing within 90 days after the period end For pools that hold derivative contracts with a term-to-maturity that eceeds 90 days from the period end, further information related to those contracts can be referenced in the derivative schedules following the Schedule of Investment Portfolio As at December 31, 2015 Level 1 (i) Level 2 (ii) Level 3 (iii) Total Classification Financial Fied Income Securities 1,020,027 1,020,027 Mutual Funds 120,245 120,245 Derivative assets 102 373,131 373,233 Total Financial 120,347 1,393,158 1,513,505 Financial Liabilities Derivative liabilities (375,126) (375,126) Total Financial Liabilities (375,126) (375,126) Total Financial and Liabilities 120,347 1,018,032 1,138,379 (i) Quoted prices in active markets for identical assets (ii) Significant other observable inputs (iii) Significant unobservable inputs Transfer of assets between Level 1 and Level 2 Financial assets and liabilities transferred from Level 1 to Level 2 are the result of securities no longer being traded in an active market For the periods ended June 30, 2016 and December 31, 2015, there were no transfers of financial assets and liabilities from Level 1 to Level 2 Financial assets and liabilities transferred from Level 2 to Level 1 are the result of securities now being traded in an active market For the periods ended June 30, 2016 and December 31, 2015, there were no transfers of financial assets and liabilities from Level 2 to Level 1 Reconciliation of financial asset and liability movement Level 3 The Pool did not hold any significant positions of Level 3 investments at the beginning of, during, or at the end of either reporting period Other Price/Market Risk As at June 30, 2016 and December 31, 2015, the Pool did not have a significant eposure to other price/market risk Fair Value Measurement of Financial Instruments The following is a summary of the inputs used as at June 30, 2016 and December 31, 2015 in valuing the Pool s financial assets and financial liabilities, carried at fair value: As at June 30, 2016 Level 1 (i) Level 2 (ii) Level 3 (iii) Total Classification Financial Fied Income Securities 1,160,139 1,160,139 Mutual Funds 133,879 133,879 Derivative assets 2 642,974 642,976 Total Financial 133,881 1,803,113 1,936,994 Financial Liabilities Derivative liabilities (770) (644,416) (645,186) Total Financial Liabilities (770) (644,416) (645,186) Total Financial and Liabilities 133,111 1,158,697 1,291,808 (i) Quoted prices in active markets for identical assets (ii) Significant other observable inputs (iii) Significant unobservable inputs 18 The accompanying notes are an integral part of these financial statements

Notes to Financial Statements (unaudited) As at and for the periods as disclosed in the financial statements (note 1) 1 Organization of the Funds and Financial Reporting Periods The Imperial Pools consist of Imperial Money Market Pool, Imperial Short-Term Bond Pool, Imperial Canadian Bond Pool, Imperial Canadian Diversified Income Pool,, Imperial Equity High Income Pool, Imperial Canadian Dividend Income Pool, Imperial Global Equity Income Pool, Imperial Canadian Equity Pool, Imperial US Equity Pool, Imperial International Equity Pool, Imperial Overseas Equity Pool, and Imperial Emerging Economies Pool (individually, a Pool, and collectively, the Pools) Conservative Income Portfolio, Balanced Income Portfolio and Enhanced Income Portfolio (individually, a Portfolio, and collectively, the Portfolios) were established on December 14, 2015 Each of the Imperial Pools and Portfolios (individually, a Fund, and collectively, the Funds) is a mutual fund trust organized under the laws of Ontario and governed by a declaration of trust (Declaration of Trust) The address of the Funds' registered office is 18 York Street, Suite 1300, Toronto, Ontario Canadian Imperial Bank of Commerce (CIBC) is the manager (the Manager) of the Funds and CIBC Trust Corporation is the trustee (the Trustee) of the Funds Each Fund may issue an unlimited number of classes of units and an unlimited number of units of each class As at the date of these financial statements, Class A units of each of the Funds are available for sale, ecept for the Conservative Income Portfolio which offers Class T3 and Class T4 units, the Balanced Income Portfolio which offers Class T4 and Class T5 units, and the Enhanced Income Portfolio which offers Class T5 and Class T6 units The date upon which each Fund was established by Declaration of Trust (Date Established) and the date upon which units of each Fund was first sold to the public (Inception Date) are reported in footnote Organization of the Fund on the Statements of Financial Position The Schedule of Investment Portfolio of each Fund is as at June 30, 2016 The Statements of Financial Position of each of the Funds are as at June 30, 2016 and December 31, 2015 The Statements of Comprehensive Income, Statements of Changes in Net Attributable to Holders of Redeemable Units, and Statements of Cash Flows of each of the Funds are for the si-month periods ended June 30, 2016 and December 31, 2015, ecept for Funds established during either year, in which case the information presented is from the Date Established or the Inception Date to June 30, 2016 or 2015 These financial statements were approved for issuance by the Manager on August 18, 2016 2 Summary of Significant Accounting Policies These financial statements have been prepared in accordance with International Accounting Standards Interim Financial Reporting (IAS 34) as published by the International Accounting Standards Board (IASB) The Funds adopted IFRS in 2014 as required by Canadian securities legislation and the Canadian Accounting Standards Board Previously, the Funds prepared their financial statements in accordance with Canadian generally accepted accounting principles (GAAP) as defined in Part V of the CPA Canada Handbook The financial statements have been prepared on a going concern basis using the historical cost convention However, each Fund is an investment entity and primarily all financial assets and financial liabilities are measured at fair value in accordance with IFRS Accordingly, the Funds accounting policies for measuring the fair value of investments and derivatives are consistent with those used in measuring the Net Asset Value for transactions with unitholders In applying IFRS, these financial statements include estimates and assumptions made by management that affect the reported amounts of assets, liabilities, income, and epenses during the reporting periods However, eisting circumstances and assumptions may change due to market changes or circumstances arising beyond the control of the Funds Such changes are reflected in the assumptions when they occur These financial statements have been presented in Canadian dollars, which is the Funds functional currency (unless otherwise noted) a) Financial Instruments Classification and recognition of financial instruments In accordance with IAS 39 Financial Instruments: Recognition and Measurement, financial assets and financial liabilities are classified at initial recognition into the following categories: Financial assets and liabilities at fair value through profit or loss (FVTPL) This category is sub-divided into: l l Financial instruments classified as Held For Trading: Financial assets and liabilities are classified as Held For Trading if they are acquired for the purpose of selling and/or repurchasing in the near term, and are acquired principally for the purpose of generating a profit from short-term fluctuations in price Derivatives and securities sold short held by the Funds are classified as Held For Trading and do not meet the definition of effective hedging instruments as defined by IAS 39 Financial instruments designated as FVTPL through inception: All investments held by the Funds, ecluding those classified as Held For Trading (discussed above), are designated as fair value through profit or loss upon initial recognition These financial assets are designated upon initial recognition on the basis that they are part of a group of financial assets that are managed and have their performance evaluated on a fair value basis, in accordance with risk management and investment strategies of the Funds, as set out in the Funds prospectus Loans and receivables The Funds include in this category receivable balances relating to portfolio investments and other short-term receivables such as receivable for units issued Other financial liabilities This category includes all financial liabilities, other than those classified as fair value through profit or loss The Funds include in this category amounts relating to payables for portfolio securities purchased and other accrued liabilities such as payable for units redeemed and distributions payable to holders of redeemable units All Funds have contractual obligations to distribute cash to the unitholders As a result, each Fund's obligation for net assets attributable to holders of redeemable units represents a financial liability and is presented at the redemption amount b) Risk Management The Funds overall risk management approach includes formal guidelines that govern the etent of eposure to various types of risk, including diversification within asset classes and limits on the eposure to individual investments and counterparties In addition, derivative financial instruments may be used to manage certain risk eposures The Manager also has various internal controls to oversee the Funds investment activities, including monitoring compliance with the investment objectives and strategies, internal guidelines, and securities regulations Please refer to each Fund s Supplemental Schedule to Schedule of Investment Portfolio for specific risk disclosures Fair value of financial instruments by using valuation techniques Financial instruments are valued at their fair value which is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date Refer to note 3a to 3f for valuation of each specific type of financial instrument held by the Funds The fair value of financial assets and liabilities traded in active markets are based on quoted market prices at the close of trading on the reporting date The Funds use the last traded market price for both financial assets and financial liabilities where the last traded price falls within that day s bid-ask spread In circumstances where the last traded price is not within the bid-ask spread, the Manager determines the price that is most representative of fair value based on the specific facts and circumstances For financial assets and financial liabilities that are not traded in an active market, fair value is determined using valuation techniques The Funds classify fair value measurement within a hierarchy which gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3) The three levels of the fair value hierarchy are: Level 1: Level 2: Level 3: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date; Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and Inputs are unobservable for the asset or liability 19

p / 2 Notes to Financial Statements (unaudited) If inputs are used to measure an asset s or liability s fair value, the classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement Each Fund s fair value hierarchy classification of its assets and liabilities is included in the Supplemental Schedule to Schedule of Investment Portfolio The carrying values of all non-investment assets and liabilities approimate their fair values due to their short-term nature Fair values are classified as Level 1 when the related security or derivative is actively traded and a quoted price is available If an instrument classified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1 In such cases, instruments are reclassified into Level 2, unless the measurement of its fair value requires the use of significant unobservable inputs, in which case it is classified as Level 3 The Manager is responsible for performing the fair value measurements included in the financial statements of a Fund, including the Level 3 measurements The Manager obtains pricing from third-party pricing vendors and the pricing is reviewed daily At each financial reporting date, the Manager reviews and approves all Level 3 fair value measurements The Funds also have a Valuation Committee which meets quarterly to perform detailed reviews of the valuations of investments held by the Funds, which includes discussion on Level 3 measurements Credit risk Credit risk is the risk that a counterparty to a financial instrument, such as a fied income security or a derivative contract, will fail to discharge an obligation or commitment that it has entered into with the Funds The value of fied income securities and derivatives as presented on the Schedule of Investment Portfolio includes consideration of the creditworthiness of the issuer and, accordingly, represents the maimum credit risk eposure of the Funds Certain Funds may invest in short-term fied income securities issued or guaranteed primarily by the Government of Canada or any Canadian provincial government, obligations of Canadian chartered banks or trust companies, and commercial paper with approved credit ratings The risk of default on these short-term fied income securities is considered low and these securities primarily have credit ratings of A-1 (Low) or higher (as rated by S&P Global Ratings, a division of S&P Global, or equivalent rating from another rating service) The bond ratings noted in the Funds Financial Instruments Risk under sub-section Credit Risk represent ratings collected and disseminated by recognized third party vendors These ratings utilized by the Manager, while obtained from vendors skilled and recognized for bond rating services, may not be the same as those used directly by the portfolio advisor or portfolio sub-advisors Ratings used by the portfolio advisor or portfolio sub-advisors could be higher or lower than those used for risk disclosure in the financial statements in compliance with their investment policy guidelines The Funds may engage in securities lending transactions The credit risk related to securities lending transactions is limited by the fact that the value of cash or securities held as collateral by the Funds in connection with these transactions is at least 102 the fair value of the securities loaned The collateral and loaned securities are marked to market on each business day Further information regarding the collateral and securities on loan can be found in the footnotes to the Statements of Financial Position and in note 2j Currency risk Currency risk is the risk that the value of an investment will fluctuate due to changes in foreign echange rates Mutual funds may invest in securities denominated or traded in currencies other than the funds reporting currency Interest rate risk Prices of fied income securities generally increase when interest rates decline and decrease when interest rates rise This risk is known as interest rate risk Prices of longer-term fied income securities will generally fluctuate more in response to interest rate changes than would shorter-term securities Due to the nature of short-term fied income securities with a remaining term-to-maturity of less than one year, these investments are not generally eposed to a significant risk that their value will fluctuate in response to changes in the prevailing levels of market interest rates Liquidity risk The Funds are eposed to daily cash redemptions of redeemable units Generally, the Funds retain sufficient cash and cash equivalent positions to maintain adequate liquidity However, liquidity risk also involves the ability to sell an asset for cash easily and at a fair price Some securities are illiquid due to legal restrictions on their resale, the nature of the investment, or simply a lack of interested buyers for a particular security or security type Certain securities may become less liquid due to changes in market conditions, such as interest rate changes or market volatility, which could impair the ability of a Fund to sell such securities quickly or at a fair price Difficulty in selling securities could result in a loss or lower return for a Fund Other price/market risk Other price/market risk is the risk that the value of investments will fluctuate as a result of changes in market conditions Several factors can influence market trends, such as economic developments, changes in interest rates, political changes, and catastrophic events All investments are eposed to other price/market risk c) Investment Transactions, Income Recognition, and Recognition of Realized and Unrealized Gains and Losses i) Interest for distribution purposes shown on the Statements of Comprehensive Income represents the coupon interest received by the Fund accounted for on an accrual basis The Funds do not amortize premiums paid or discounts received on the purchase of fied income securities ecept for zero coupon bonds, which are amortized on a straight-line basis ii) iii) iv) Dividend income is recorded on the e-dividend date Securities that are echange-traded are recorded at fair value established by the last traded market price when that price falls within that day s bid-ask spread Debt securities are recorded at fair value, established by the last traded price on the over-the-counter market (OTC) when that price falls within that day s bid-ask spread In circumstances where the last traded price is not within the bid-ask spread, the Manager determines the price that is most representative of fair value based on the specific facts and circumstances Unlisted securities are recorded at fair value using fair valuation techniques established by the Manager in establishing a fair value Realized gains and losses on investments and unrealized appreciation or depreciation of investments are calculated using the average cost, ecluding transaction costs, of the related investments v) Other income is the sum of income, ecluding transaction costs, other than that which is separately classified on the Statements of Comprehensive Income d) Offsetting Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position, if there is a currently enforceable legal right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously Where applicable, additional information can be found in the table Offsetting Arrangements as part of the Supplemental Schedule to Schedule of Investment Portfolio This supplemental schedule discloses the OTC derivatives which are subject to offsetting e) Portfolio Securities The cost of securities of a Fund is determined in the following manner: securities are purchased and sold at a market-traded price to arrive at a value for the position traded The total purchased value represents the total cost of the security to the Fund When additional units of the same security are purchased, the cost of those additional units is added to the total security cost When units of the same security are sold, the proportionate cost of the units of the security sold is deducted from the total security cost If there is a return of capital paid by a security, the amount of this return of capital is deducted from the total security cost This method of tracking security cost is known as average cost and the current total for any one security is referred to as the adjusted cost base or ACB of the security Transaction costs incurred in portfolio transactions are ecluded from the average cost of investments and are recognized immediately in net income and are presented as a separate epense item in the financial statements The difference between the fair value of securities and their average cost, ecluding transaction costs, represents the unrealized appreciation (depreciation) in value of the portfolio investments The applicable period change in unrealized appreciation (depreciation) of investments is included on the Statements of Comprehensive Income Short-term investments on the Schedule of Investment Portfolio are presented at their amortized cost which approimates the fair value Accrued interest for bonds is disclosed separately on the Statements of Financial Position f) Foreign Echange The value of investments and other assets and liabilities denominated in foreign currencies is translated into Canadian dollars, which is the Funds functional and presentation currency at the current rates prevailing on each valuation date (unless otherwise indicated) Purchases and sales of investments, income, and epenses are translated into Canadian dollars, which is the Funds functional and presentation currency at the foreign echange rates prevailing on the dates of such transactions Foreign currency translation gains (losses) on investments and income transactions are included in Net realized gain (loss) on foreign currency on the Statements of Comprehensive Income 20

Notes to Financial Statements (unaudited) p / 3 g) Forward Foreign Currency Contracts The Funds may enter into forward foreign currency contracts for either hedging or non-hedging purposes where such activity is consistent with their investment objectives and as permitted by the Canadian securities regulatory authorities Changes in the fair value of forward foreign currency contracts are included in derivative assets or derivative liabilities on the Statements of Financial Position and are recorded as an Increase (decrease) in unrealized appreciation (depreciation) of investments and derivatives during the applicable period on the Statements of Comprehensive Income The gain or loss arising from the difference between the value of the original forward foreign currency contract and the value of such contract at close or delivery is realized and recorded as Net realized gain (loss) on foreign currency for Pools that use the forward foreign currency contracts for hedging or as Derivative income (loss) for Pools that do not use the forward foreign currency contracts for hedging h) Futures Contracts The margin deposits with brokers relating to futures contracts are included in Margin on the Statements of Financial Position Any change in the margin requirement is settled daily and included in Receivable for portfolio securities sold or Payable for portfolio securities purchased on the Statements of Financial Position Any difference between the settlement value at the close of business on each valuation date and the settlement value at the close of business on the previous valuation date is recorded as Derivative income (loss) on the Statements of Comprehensive Income i) Options Premiums paid for purchased call and put options are included in derivative assets and subsequently measured at fair value on the Statements of Financial Position When a purchased option epires, the Fund will realize a loss in the amount of the cost of the option For a closing transaction, the Fund will realize a gain or loss depending on whether the proceeds are greater or less than the premium paid at the time of purchase When a purchased call option is eercised, the cost of the security purchased is increased by the premium paid at the time of purchase Premiums received from writing options are included in derivative liabilities and subsequently measured at fair value on the Statements of Financial Position as initial reductions in the value of investments Premiums received from writing options that epire uneercised are recorded as realized gains and reported as Net gain (loss) on sale of investments and derivatives on the Statements of Comprehensive Income For a closing transaction, if the cost of closing the transaction eceeds the premium received, the Fund will record a realized loss or, if the premium received at the time the option was written is greater than the amount paid, the Fund will record a realized gain and is reported as Net gain (loss) on sale of investments and derivatives If a written put option is eercised, the cost for the security delivered is reduced by the premiums received at the time the option was written j) Securities Lending A Fund may lend portfolio securities in order to earn additional revenue, which is disclosed on the Statements of Comprehensive Income The loaned assets of any one Fund are not permitted to eceed 50 the fair value of the assets of that Fund (ecluding collateral debt for the loaned securities) The minimum allowable collateral is 102 the fair value of the loaned securities as per the requirements of National Instrument 81-102 Investment Funds Collateral can consist of the following: i) Cash ii) iii) iv) Qualified securities Irrevocable letters of credit issued by a Canadian financial institution that is not the counterparty, or an affiliate counterparty, of the pool in the transaction, if evidences of indebtedness of the Canadian financial institution that are rated as short-term debt by an approved credit rating organization have an approved credit rating Securities that are immediately convertible into securities of the same issuer, class, or type, and the same term, as the securities loaned The fair value of the loaned securities is determined on the close of any valuation date and any additional required collateral is delivered to the Pool on the net business day The securities on loan continue to be included on the Schedule of Investment Portfolio, and are included in the total value on the Statements of Financial Position in Investments (non-derivative financial assets) at fair value Where applicable, a Fund s securities lending transactions are reported in footnote Securities Lending on the Statements of Financial Position Changes to National Instrument 81-106 Investment Fund Continuous Disclosure took effect for Funds with a financial year beginning on or after January 1, 2016 Those changes now require a reconciliation of the gross amount generated from the securities lending transactions of the Funds to the revenue from securities lending disclosed in the Funds Statements of Comprehensive Income The gross amount generated from securities lending includes interest paid on collateral, withholding taes deducted, the fees paid to the Funds lending agent and the securities lending revenue received by the Funds Where applicable, the reconciliation can be found in the footnotes to the Funds Statements of Comprehensive Income k) Loans and Receivables, Other and Liabilities Loans and Receivables, other assets and liabilities (other than those classified as FVTPL) are recorded at cost, which approimates their fair value, with the eception of Net Attributable to Holders of Redeemable Units which are presented at the redemption value l) Legend of Abbreviations The following is a list of abbreviations (foreign currency translation and others) that may be used in the Schedule of Investment Portfolio: Currency Abbreviations ARS Argentine Peso JPY Japanese Yen AUD Australian Dollar KES Kenyan Shilling BRL Brazilian Real KRW South Korean Won CAD Canadian Dollar MAD Morocco Dirham CHF Swiss Franc MXN Meican Peso CLP Chilean Peso MYR Malaysian Ringgit CNY Chinese Renminbi NOK Norwegian Krone COP Colombian Peso NZD New Zealand Dollar CZK Czech Koruna PHP Philippine Peso DKK Danish Krone PLN Polish Zloty EGP Egyptian Pound RUB Russian Ruble EUR Euro SEK Swedish Krona GBP British Pound SGD Singapore Dollar HKD Hong Kong Dollar THB Thai Baht HUF Hungarian Forint TRY New Turkish Lira IDR Indonesian Rupiah TWD Taiwan Dollar ILS Israeli Shekel USD United States Dollar INR Indian Rupee ZAR South African Rand 21

p / 4 Notes to Financial Statements (unaudited) Other Abbreviations ADR CVO ETF GDR NVDR American Depositary Receipt Contingent Value Obligations Echange-Traded Fund Global Depositary Receipt Securities Non-Voting Depositary Receipt m) Standards issued but not yet effective Standards issued but not yet effective up to the date of issuance of the Funds financial statements are listed below The Funds intend to adopt applicable standards when they become effective IFRS 9, Financial Instruments - Classification and Measurement In July 2014, the IASB issued the final version of IFRS 9, Financial Instruments which reflects all phases of the financial instruments project and replaces IAS 39, Financial Instruments: Recognition and Measurement and all previous versions of IFRS 9 The standard introduces new requirements for classification and measurement, impairment, and hedge accounting IFRS 9 is effective for annual periods beginning on or after January 1, 2018, with early application permitted The Funds are in the process of assessing the impact of IFRS 9 n) Increase (Decrease) in Net Attributable to Holders of Redeemable Units per Unit Increase (decrease) in net assets attributable to holders of redeemable units per unit of each class is calculated by dividing the Increase (decrease) in net assets attributable to holders of redeemable units (ecluding distributions), as reported on the Statements of Comprehensive Income, by the weighted average number of units in issue during the related period 3 Valuation of Investments The valuation date (Valuation Date) for a Fund is any day when the Manager s head office is open for business The Manager may, at its discretion, establish other Valuation Dates The fair value of the investments or assets of a Fund is determined as follows: a) Cash and Other Cash, accounts receivable, dividends receivable, distributions receivable, and interest receivable are valued at fair value or at their recorded cost, plus or minus any foreign echange between recognition of the asset by the Fund and the current Valuation Date, which approimates fair value b) Bonds, Debentures, and Other Debt Obligations Bonds, debentures, and other debt obligations are fair valued using the last traded price provided by a recognized vendor upon the close of trading on a Valuation Date, whereby the last traded price falls within that day s bid-ask spread If the last traded price does not fall within that day s bid-ask spread, then the Manager will determine the price that is most representative of fair value based on the specific facts and circumstances c) Listed Securities, Unlisted Securities, and Fair Value Pricing of Foreign Securities Any security that is listed or traded on a securities echange is fair valued using the last traded price, whereby the last traded price falls within that day s bid-ask spread or, if there is no traded price on that echange or the last traded price does not fall within that day s bid-ask spread and in the case of securities traded on an OTC market, at the fair value as determined by the Manager as an appropriate basis for valuation In such situations, a fair value will be determined by the Manager to establish current value If any securities are inter-listed or traded on more than one echange or market, the Manager will use the principal echange or market for the fair value of such securities Units of each mutual fund in which a Fund invests will be valued at fair value using the most recent net asset value quoted by the Trustee or Manager of the mutual fund on the Valuation Date Unlisted securities are fair valued using the last traded price quoted by a recognized dealer, or the Manager may determine a price that more accurately reflects the fair value of these securities if the Manager feels the last traded price does not reflect fair value Fair value pricing is designed to avoid stale prices and to provide a more accurate fair value, and may assist in the deterrence of harmful short-term or ecessive trading in the Fund When securities listed or traded on markets or echanges that close prior to North or South American markets or echanges are valued by the Manager at their fair market value, instead of using quoted or published prices, the prices of such securities used to calculate the Fund s net assets or net asset value may differ from quoted or published prices of such securities d) Derivatives Long positions in options, debt-like securities, and listed warrants are valued at fair value using the last traded price as established on either their principal trading echange or by a recognized dealer in such securities, whereby the last traded price falls within that day s bid-ask spread and the credit rating of each counterparty (as rated by S&P Global Ratings, a division of S&P Global) meets or eceeds the minimum approved credit rating When any option is written by any Fund, the premium received by the Fund will be reflected as a liability that will be valued at an amount equal to the current fair value of the option that would have the effect of closing the position Any difference resulting from revaluation shall be treated as an unrealized gain or loss on investment; the liability shall be deducted in arriving at the net assets attributable to holders of redeemable units of the Fund The securities that are the subject of a written option, if any, will be valued in the manner described above for listed securities Futures contracts, forward contracts, or swaps will be valued at fair value of the gain or loss, if any, that would be realized on the Valuation Date if the position in the futures contracts, forward contracts, or swaps were to be closed out Margin paid or deposited in respect of futures contracts and forward contracts will be reflected as an account receivable and margin consisting of assets other than cash will be noted as held as collateral Other derivatives and margin are fair valued in a manner that the Manager determines to represent their fair value e) Restricted Securities Restricted securities purchased by any Fund will be fair valued in a manner that the Manager determines to represent their fair value f) Other Investments All other investments of the Funds will be fair valued in accordance with the laws of the Canadian securities regulatory authorities, where applicable The value of any security or other property of a Fund for which a market quotation is not readily available or where the market quotations do not properly reflect the fair value of such securities will be determined by the Manager by valuing the securities at their fair value In such situations, fair value will be determined using the fair valuation technique that most accurately reflects the fair value as established by the Manager 4 Interest in Underlying Funds The Funds may invest in other investment funds (Underlying Funds) Each Underlying Fund invests in a portfolio of assets to generate returns in the form of investment income and capital appreciation for its unitholders Each Underlying Fund finances its operations primarily through the issuance of redeemable units, which are puttable at the unitholder's option and entitle the unitholder to a proportionate share of the underlying fund's net assets The Fund's interests in Underlying Funds held in the form of redeemable units, are reported in its Schedule of Investments at fair value, which represents the Funds maimum eposure on those investments The Funds' interests in underlying funds as at the prior year period ends are presented in the Financial Instruments Risks - Concentration Risk section in the Supplemental Schedule to Schedule of Investment Portfolio Distributions earned from Underlying Funds are included in Investment Income in the Statements of Comprehensive Income The total realized and change in unrealized gains (losses) arising from Underlying Funds are also included in the Statement of Comprehensive Income The Funds do not provide any additional significant financial or other support to Underlying Funds Where applicable, the table Interests in Underlying Funds presented as part of the Supplemental Schedule to Schedule of Investment Portfolio, provides additional information on the Funds investments in Underlying Funds where the ownership interest eceeds 20 each Underlying Fund 22

Notes to Financial Statements (unaudited) p / 5 5 Redeemable Units Issued and Outstanding Each Fund is permitted to have an unlimited number of classes of units and may issue an unlimited number of units of each class The outstanding units represent the capital of a Fund Each unit has no par value and the value of each unit is the net assets attributable to holders of redeemable units per unit net determined Settlement of the cost for units issued is completed as per security regulations in place at the time of issue Distributions made by a Fund and reinvested by unitholders in additional units also constitute issued redeemable units of a Fund Units are redeemed at the net assets attributable to holders of a redeemable unit per unit of a Fund A right to redeem units of a Fund may be suspended with the approval of the Canadian securities regulatory authorities or when normal trading is suspended on a stock, options, or futures echange within Canada or outside of Canada on which securities or derivatives that make up more than 50 the value or underlying eposure of the total assets of a Fund, not including any liabilities of a Fund, are traded and when those securities or derivatives are not traded on any other echange that represents a reasonably practical alternative for a Fund The Fund is not subject to any eternally imposed capital requirements The capital received by a Fund is utilized within the respective investment mandate of the Fund This includes the ability to make liquidity available to satisfy unitholder unit redemption requirements upon the unitholder s request Changes in issued and outstanding units for the si-month periods ended June 30, 2016 and 2015 can be found on the Statements of Changes in Net Attributable to Holders of Redeemable Units 6 Management Fees and Operating Epenses Management fees are based on the net asset value of the Funds and are calculated daily Management fees are paid to the Manager in consideration for providing, or arranging for the provision of, management, distribution, and portfolio advisory services The maimum annual management fee epressed as a percentage of the average net asset value that can be charged by a Fund is reported in footnote Maimum Chargeable Annual Management Fee Rates on the Statements of Comprehensive Income In addition to the management fees, the Funds are responsible for all epenses relating to the operation and conduct of the business of the Funds, which may include interest, operating, and administrative costs (other than advertising and promotional epenses, which are the responsibility of the Manager), brokerage fees, commissions, spreads, regulatory fees, Independent Review Committee fees, taes, audit and legal fees and epenses, safekeeping and custodial fees, investor servicing costs, and costs of unitholder reports, prospectuses, and other reports All such operating epenses are paid by the Manager and recovered from the Funds The Funds do not pay a fee to the Trustee The Manager may recover less than the actual operating epenses paid by the Manager, resulting in the Manager absorbing epenses The Manager may also charge to a Fund less than the maimum management fee in footnote Maimum Chargeable Annual Management Fee Rates on the Statements of Comprehensive Income, resulting in the Manager waiving management fees At its sole discretion, the Manager may stop absorbing operating epenses and/or waiving management fees at any time Operating epenses absorbed and/or management fees waived by the Manager are disclosed on the Statements of Comprehensive Income In some cases, the Manager may charge management fees to a Fund that are less than the management fees the Manager is entitled to charge in respect of certain investors in a Fund The difference in the amount of the management fees will be paid out by the Fund to the applicable investors as a distribution of additional units of the Fund (Management Fee Distributions) Management Fee Distributions are negotiable between the Manager and the investor and are dependent primarily on the size of the investor s investment in the Fund Management Fee Distributions paid to qualified investors do not adversely impact the Fund or any of the Fund s other investors The Manager may increase or decrease the amount of Management Fee Distributions to certain investors from time to time Where a Fund invests in units of an Underlying Fund, the Fund does not pay duplicate management fees on the portion of its assets that it invests in units of the Underlying Fund In addition, the Fund will not pay duplicate sales fees or redemption fees with respect to the purchase or redemption by it of units of the Underlying Fund Some of the Underlying Funds held by the Funds may offer Management Fee Distributions Such Management Fee Distributions of an Underlying Fund will be paid out as required for taable distribution payments by a Fund The manager of an Underlying Fund may, in some cases, waive a portion of an Underlying Fund s management fee and/or absorb a portion of an Underlying Fund s operating epenses 7 Income Taes and Withholding Taes The Funds qualify as mutual fund trusts under the Income Ta Act (Canada) No income ta is payable by the Funds on net income and/or net realized capital gains that are distributed to unitholders In addition, income taes payable on undistributed net realized capital gains are refundable on a formula basis when units of the Funds are redeemed Sufficient net income and realized capital gains of the Funds have been, or will be, distributed to the unitholders such that no ta is payable by the Funds and, accordingly, no provision for income taes has been made in the financial statements Occasionally, a Fund may pay distributions in ecess of the net income and net realized capital gains of the Fund This ecess distribution is called a return of capital and is non-taable to the unitholder However, a return of capital reduces the average cost of the unitholder s units for ta purposes, which may result in a capital gain to the unitholder to the etent the average cost becomes less than zero Non-capital losses that arose in 2006 and thereafter are available to be carried forward for 20 years Capital losses for income ta purposes may be carried forward indefinitely and applied against capital gains realized in future years Where applicable, a Fund s net capital and non-capital losses are reported in footnote Net Capital and Non-Capital Losses on the Statements of Changes in Net Attributable to Holders of Redeemable Units The Funds have a taation year-end of December 15 (ecept Imperial Money Market Pool, which has a taation year-end of December 31) The Funds currently incur withholding taes imposed by certain countries on investment income and capital gains Such income and gains are recorded on a gross basis and the related withholding taes are shown as a separate epense in the Statements of Comprehensive Income 8 Brokerage Commissions and Fees The total commissions paid by the Funds to brokers in connection with portfolio transactions are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each Fund In allocating brokerage business to a dealer, consideration may be given by the portfolio sub-advisors of the Funds for the provision of goods and services by the dealer or a third party, other than order eecution (referred to in the industry as soft dollar arrangements) These goods and services are paid for with a portion of brokerage commissions and assist the portfolio sub-advisors with their investment decision-making services to the Funds or relate directly to eecuting portfolio transactions on behalf of the Funds The total soft dollar payments paid by the Funds to brokers are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each Fund In addition, the Manager may enter into commission recapture arrangements with certain dealers with respect to the Fund Any commission recaptured will be paid to the applicable Fund Fied income and certain other securities are transacted in an OTC market, where participants are dealing as principals Such securities are generally traded on a net basis and do not normally involve brokerage commissions, but will typically include a spread (being the difference between the bid and the offer prices on the security of the applicable marketplace) Spreads associated with fied income securities trading and certain other securities are not ascertainable and, for that reason, are not included in the dollar amounts In addition, the soft dollar amounts only include the value of research and other services supplied by a third party to CIBC Asset Management Inc (CAMI or the Portfolio Advisor) and any portfolio sub-advisors, as the value of the services supplied to the Portfolio Advisor and any portfolio sub-advisors by the dealer is not ascertainable When these services benefit more than one Fund, the costs are allocated among the Funds based on transaction activity or some other fair basis as determined by the Portfolio Advisor and any portfolio sub-advisors 9 Related Party Transactions CIBC and its affiliates have the following roles and responsibilities with respect to the Funds and receive the fees described below in connection with their roles and responsibilities The Funds may hold securities of CIBC CIBC and its affiliates may also be involved in underwriting or lending to issuers of securities that may be held by the Funds, have purchased or sold securities from or to the Funds while acting as principal, have purchased or sold securities from or to the Funds on behalf of another investment fund managed by CIBC or an affiliate, and also may have been involved as a counterparty to derivative transactions Management fees payable and other accrued epenses on the Statements of Financial Position are amounts generally payable to a related party of the Fund Manager, Trustee, Portfolio Advisor, and certain Portfolio Sub-Advisors of the Funds CIBC is the Manager, CIBC Trust Corporation is the Trustee, and CAMI is the Portfolio Advisor of each of the Funds American Century Investment Management, Inc (ACI) is a portfolio sub-advisor to certain Funds Although not an affiliate, CIBC had previously owned a 41% equity interest in ACI On December 21, 2015, CIBC announced that it entered into a definitive agreement to sell its minority position in ACI The sale was completed on May 19, 2016 The Manager also arranges for fund administrative services (other than advertising and promotional, which are the responsibility of the Manager), legal, investor servicing, and costs of unitholder reports, prospectuses, and other reports The Manager is the registrar and transfer agent for the Funds and provides, or arranges for the provision of, all other administrative services required by the Funds The dollar amount 23

p / 6 Notes to Financial Statements (unaudited) (including all applicable taes) of all fund administrative epenses (net of absorptions) that the Manager recovers from a Fund is reported in footnote Administrative and Other Fund Operating Epenses on the Statements of Comprehensive Income Brokerage Arrangements and Soft Dollars The Portfolio Advisor generally delegates trading and eecution authority to the portfolio sub-advisors Where applicable, disclosure of the amounts of soft dollars can be found in the Brokerage Commission and Fees schedule on the Statements of Comprehensive Income for each Fund The Portfolio Advisor and portfolio sub-advisors make decisions, including the selection of markets and dealers and the negotiation of commissions, with respect to the purchase and sale of portfolio securities, certain derivative products (including futures and forwards), and the eecution of portfolio transactions Brokerage business may be allocated by the Portfolio Advisor and portfolio sub-advisors to CIBC World Markets Inc and or CIBC World Markets Corp, each a subsidiary of CIBC The total commissions paid to related brokers in connection with portfolio transactions are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each Fund CIBC World Markets Inc and CIBC World Markets Corp may also earn spreads on the sale of fied income and other securities, and certain derivative products (including futures and forwards) to the Funds Dealers, including CIBC World Markets Inc and CIBC World Markets Corp, may furnish goods and services, other than order eecution, to the Portfolio Advisor and portfolio sub-advisors that process trades through them (referred to in the industry as soft dollar arrangements) These goods and services are paid for with a portion of brokerage commissions and assist the Portfolio Advisor and portfolio sub-advisors with their investment decision-making services to the Fund or relate directly to eecuting portfolio transactions on behalf of the Fund As per terms of the portfolio sub-advisory agreements, such soft dollar arrangements are in compliance with applicable laws Custodial fees directly related to portfolio transactions incurred by a Fund, otherwise payable by the Fund, shall be paid by CAMI, and/or dealer(s) directed by CAMI, up to the amount of the credits generated under soft dollar arrangements from trading on behalf of the Fund, or a portion of the Fund, during that month The total soft dollar payments paid by the Fund to related brokers are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each Fund In addition, the Manager may enter into commission recapture arrangements with certain dealers with respect to the Funds Any commission recaptured will be paid to the relevant Fund Custodian The custodian holds all cash and securities for the Funds and ensures that those assets are kept separate from any other cash or securities that the custodian might be holding The custodian also provides other services to the Funds including record keeping and processing of foreign echange transactions CIBC Mellon Trust Company is the custodian of the Funds (the Custodian) The Custodian may hire sub-custodians for the Funds The fees and spreads for services of the Custodian directly related to the eecution of portfolio transactions by a Fund, or a portion of a Fund, are paid by CAMI and/or dealer(s) directed by CAMI up to the amount of the credits generated under soft dollar arrangements from trading on behalf of the Funds during that month All other fees for the services of the Custodian are paid by the Manager, and charged to the Funds on a recoverable basis CIBC owns a 50% interest in CIBC Mellon Trust Company Service Provider CIBC Mellon Global Securities Services Company (CIBC GSS) provides certain services to the Funds, including securities lending, fund accounting and reporting, and portfolio valuation Such servicing fees are paid by the Manager and charged to the Funds on a recoverable basis CIBC indirectly owns a 50% interest in CIBC GSS The dollar amount paid by the Funds (including all applicable taes) to CIBC Mellon Trust Company for custodial fees (net of absorptions) and to CIBC GSS for securities lending, fund accounting and reporting, and portfolio valuation (net of absorptions) for the si-month periods ended June 30, 2016 and 2015 is reported in footnote Service Provider on the Statements of Comprehensive Income 10 Hedging Certain foreign currency denominated positions have been hedged, or partially hedged, by forward foreign currency contracts as part of the investment strategies of certain Pools These hedges are indicated by a hedging reference number on the Schedule of Investment Portfolio and a corresponding hedging reference number on the Schedule of Derivative and Liabilities Forward Foreign Currency Contracts for those Pools 11 Collateral on Specified Derivatives Short-term investments may be used as collateral for futures contracts outstanding with brokers 24

Imperial Pools CIBC 18 York Street, Suite 1300 Toronto, Ontario M5J 2T8 1-888-357-8777 Website wwwcibccom/mutualfunds