Annual Financial Statement– as at December 31, 2011 · Annual Financial Statementsas at December 31, 2011 – 4 – †The Underlying Fund is also managed by CI Investments Inc.,

Annual Financial Statement – as at December 31 , 2011

managed by CI Investments Inc. issued by Sun Life Assurance Company of Canada

Sun Life ofCanada Fund A

A look inside

Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Independent Auditor’s Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

Equity Fund

Sun Life of Canada Fund A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

Notes to the Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Legal Notice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

– 1 –

Enclosed are the Financial Statements for your CI Investments

segregated funds for the period ending December 31, 2011. Inside is

important information about each fund, including its financial

statements for the period and a list of the top portfolio holdings of the

underlying fund as of the end of the year.

Additional information about your funds can be found on our website,

www.ci.com.

If you have any questions about your investments, please contact your

financial advisor. CI is proud to partner with advisors across Canada.

We believe investors are most successful when they follow an investment

plan developed with the assistance of a qualified advisor.

You may also contact CI Client Services at 1-800-792-9355.

Thank you for investing with us.

ABOUT CI INVESTMENTS

CI has been investing on behalf of Canadians since 1965 and has grown

to become one of Canada’s largest investment fund companies. We

manage over $70 billion on behalf of two million Canadians. CI is a

subsidiary of CI Financial Corp., a TSX-listed financial services firm

with $91 billion in assets at December 31, 2011.

CI provides one of the industry’s widest selections of investment products

and services and a strong lineup of leading portfolio management teams.

Our portfolio management expertise is offered through several platforms,

including mutual funds, tax-efficient funds, segregated funds, and

managed solutions.

2 Queen Street East, Twentieth FloorToronto, Ontario M5C 3G7www.ci.com

Telephone: 416-364-1145Toll Free: 1-800-268-9374Facsimile: 416-364-6299

– 2 –

Sun Life of Canada Fund AIndependent Auditor’s Report

Annual Financial Statements as at December 31, 2011

To the Contractholders of:

Sun Life of Canada Fund A

(the Fund)

We have audited the accompanying financial statements of each of the Funds, which comprise the

statements of investment portfolio and net assets as at December 31, 2011, and the statements of

operations and changes in net assets for the year ended December 31, 2011, and the related notes,

which comprise of a summary of significant accounting policies and other explanatory information.

Management’s responsibility for the financial statements

Management is responsible for the preparation and fair presentation of the financial statements of

the Fund in accordance with Canadian generally accepted accounting principles, and for such internal

control as management determines is necessary to enable the preparation of financial statements that

are free from material misstatement, whether due to fraud or error.

Auditor’s responsibility

Our responsibility is to express an opinion on the financial statements of the Fund based on our audit.

We conducted our audit in accordance with Canadian generally accepted auditing standards. Those

standards require that we comply with ethical requirements and plan and perform an audit to obtain

reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures

in the financial statements. The procedures selected depend on the auditor’s judgment, including

the assessment of the risks of material misstatement of the financial statements, whether due to

fraud or error. In making those risk assessments, the auditor considers internal control relevant to

the entity’s preparation and fair presentation of the financial statements in order to design audit

procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion

on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness

of accounting policies used and the reasonableness of accounting estimates made by management,

as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained in our audit is sufficient and appropriate to

provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements the Fund present fairly, in all material respects, the financial

position of the Fund as at December 31, 2011, the results of each of its operations and the changes

in its net assets for the year ended December 31, 2011 in accordance with Canadian generally accepted

accounting principles.

Other Matters

Comparative financial statements

The financial statements of the Fund for the periods ended December 31, 2010, were audited by

another auditor who expressed an unqualified opinion on those statements on April 8, 2011.

Unaudited information

We have not audited the information in the Underlying Fund Information and in the Financial Highlights

and accordingly do not express an opinion on these schedules.

Chartered Accountants, Licensed Public Accountants

Toronto, Ontario

April 26, 2012

– 3 – CIG - 8885

No. of Shares/ Average FairPar Value Investment Cost ($) Value ($)

280,000,001 Short-Term Investments 280,000,000 280,011,123 Cash & Equivalents 82,047,035

811,500 Toronto-Dominion Bank 57,286,746 61,909,335 1,129,600 Canadian Natural Resources Ltd. 39,123,024 43,094,240

911,450 Eli Lilly and Co. 33,760,519 38,588,344 1,297,774 Suncor Energy Inc. 41,178,566 38,128,600

495,420 Canadian Imperial Bank of Commerce 35,488,896 36,557,042 987,400 Brookfield Asset Management Inc., Class A 26,472,361 27,686,696 787,900 Cenovus Energy Inc. 25,008,180 26,654,657 420,800 Novartis AG, Registered Shares 23,993,912 24,505,975 364,850 Bayer AG 22,519,782 23,766,222 511,400 Barrick Gold Corp. 23,115,594 23,601,110 512,650 Goldcorp Inc. 22,687,466 23,176,907 963,050 Power Corporation of Canada 22,998,690 22,939,851 250,400 Canadian National Railway Co. 16,389,433 20,069,560

1,502,200 Talisman Energy Inc. 25,512,265 19,498,556 827,000 Pfizer Inc. 18,194,365 18,231,001 275,180 Amgen Inc. 15,515,094 17,999,784 578,500 Wells Fargo & Co. 14,623,112 16,241,657 870,050 Seagate Technology 11,058,346 14,535,695

1,659,971 JPMorgan Chase & Co., Warrants (28Oct18) 20,409,630 14,373,654 204,200 National Oilwell Varco Inc. 13,614,632 14,143,228 148,100 Occidental Petroleum Corp. 12,086,787 14,136,516 228,500 Nestle SA, Registered Shares 12,326,659 13,381,412 482,350 Microsoft Corp. 12,693,798 12,756,006

Sun Life of Canada Fund ATop 25 Holdings of Underlying Mutual Fund (unaudited)


– 4 –Annual Financial Statements as at December 31, 2011

†The Underlying Fund is also managed by CI Investments Inc., the Manager of the Fund.Percentages shown in brackets in the Statement of Investment Portfolio relate investments at fair value to net assets of the Fund. The accompanying notes are an integral part of these financial statements.

Statement of Investment Portfolio as at December 31, 2011

No. of Average FairUnits/Shares Investment Cost ($) Value ($)

2,833,318 Signature Select Canadian Corporate Class (A Shares)† 51,376,020 53,124,704

Total Investments (99.9%) 51,376,020 53,124,704

Other Assets (net) (0.1%) 75,141

Net Assets (100.0%) 53,199,845

Sun Life of Canada Fund AFinancial Statements

AssetsInvestments at fair value* CashReceivable for unit subscriptionsReceivable for securities soldManagement fee rebate receivableReceivable for distributions and interest

LiabilitiesBank overdraftManagement fees payableAdministration fees payableFiling fees payableInsurance fees payablePayable for securities purchased Payable for unit redemptions

Net assets and unitholders’ equity

*Investments at cost

Net Assets per unit

Number of units outstanding (see Schedule of Fund Unit Transactions)

IncomeIncome distribution from investmentsInterestManagement fee rebate

Expenses (Note 5)Management feesAdministrative feesInsurance feesCustody feesLegal feesAudit feesHarmonized sales tax/Goods and services tax

Net investment income (loss) for the year

Realized and unrealized gain (loss) on investmentsRealized gain (loss) on investmentsCapital gain distribution

from investmentsChange in unrealized appreciation

(depreciation) of investmentsNet gain (loss) on investmentsIncrease (decrease) in net assets

from operations(Increase (decrease) in net assets from operations per unit – see Schedule of Increase (Decrease) in Net Assets from Operations per Unit)

Statements of Operations for the years ended December 31(in $000’s)

2011 2010

53,125 62,524- 211- -

201 -2 -- -

53,328 62,735

128 -- 2- -- -- -- -- 299

128 30153,200 62,434

51,376 47,339

502.65 543.47

105,839 114,880

Statements of Net Assets as at December 31 (in $000’s except for per unitamounts and units outstanding)

Net assets, beginning of year

Capital transactionsProceeds from units issued Payments for units redeemed

Increase (decrease) in net assetsfrom operations

Net assets, end of year

2011 2010

62,434 60,568

356 304(4,949) (4,882)(4,593) (4,578)

(4,641) 6,44453,200 62,434

Statements of Changes in Net Assets for the years ended December 31(in $000’s)

2011 2010

339 -1 1- -

340 1

155 618- 1

119 118- -- 1- 1

27 54301 793

39 (792)

8,756 856

- -

(13,436) 6,380(4,680) 7,236

(4,641) 6,444

– 5 –

Sun Life of Canada Fund ASupplementary Schedules and Financial Highlights (unaudited) (for the years ended December 31)


For inception date of the Fund, please refer to note 1 in the Notes to the Financial Statements.The accompanying notes are an integral part of these financial statements.

Financial Highlights (unaudited)The following table shows selected key financial information about the Fund and is intended to help you understand the Fund's financial performance for the past five years, as applicable.

2011 2010 2009 2008 2007The Fund’s Net Asset Value per UnitNet asset value at December 31,

of year shown ($)

Ratios and Supplemental DataNet assets ($000’s) (1)

Number of units outstanding (1)

Portfolio turnover rate (%) (2)

Management expense ratio Management expense ratio before taxes (%) (3)

Goods and services tax/Harmonized sales tax expenses (%) (3)

Management expense ratio after taxes (%) (3)

GST/Effective HST rate, for the prior calendar year or period (%) (3)

(1) This information is provided as at December 31, of the year shown.

(2) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in

the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily

a relationship between a high turnover rate and the performance of a fund.

(3) Management expense information is calculated based on expenses charged directly to the Fund plus, if applicable, expenses of the underlying mutual fund, calculated on a weighted average basis on the percentage weighting of the underlying

mutual fund and is expressed as an annualized percentage of average net assets for the years shown. As of July 1, 2010, Ontario combined the federal goods and services tax (“GST” - 5%) with the provincial retail sales tax (“PST” - 8%).

The combination resulted in a Harmonized sales tax (“HST”) rate of 13%. The Effective HST tax rate is calculated using the attribution percentage for each province based on unitholder residency and can be different from 13%. For any particular

year, the rate shown will be prorated based on the different rates in effect during that year. For the year ended December 31, 2010 the rate applied is 5% for the period January 1, 2010 to June 30, 2010 and the Fund's Effective HST rate for the

period from July 1, 2010 to December 31, 2010. The rate shown for the year ended December 31, 2010 is the time weighted average of these rates.

Supplementary Schedules

2011 2010Schedule of Fund Unit TransactionsNumber of units, beginning of yearUnits issued for cash Units redeemedNumber of units, end of year

Schedule of Increase (Decrease) in Net Assets from Operations per UnitIncrease (decrease) in net assets from

operations per unit ($) (1)

(1) Increase (decrease) in net assets from operations per unit of the class is calculated by dividing the increase (decrease) in net assets from operations for the relevant class by the weighted average number of units outstanding of the class during

the year.

114,880 124,089670 624

(9,711) (9,833)105,839 114,880

(41.46) 53.61

502.65 543.47 488.10 377.72 505.34

53,200 62,434 60,568 50,333 70,868105,839 114,880 124,089 133,255 140,237

91.92 - 0.29 2.54 6.63

1.25 1.25 1.25 1.25 1.25

0.13 0.09 0.06 0.06 0.081.38 1.34 1.31 1.31 1.33

10.02 7.34 5.00 5.00 6.00

– 6 –

The Signature Select Canadian Corporate Class’ investments were concentrated in the followingsegments:

as at December 31, 2011

Categories Net Assets (%)Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18.6Financials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17.1Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14.7Materials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.4Health Care . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.7Consumer Staples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.5Industrials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.1Information Technology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.5Cash & Equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.4Consumer Discretionary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.4Telecommunication Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.7Utilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.8Other Assets (net) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.4Health Care . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.3

The Signature Select Canadian Fund’s investments were concentrated in the following segments:

as at December 31, 2010

Categories Net Assets (%)Financials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23.5Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22.2Materials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12.3Industrials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.5Information Technology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.3Consumer Staples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.9Health Care . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.4Consumer Discretionary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.3Telecommunication Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.5Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.4Utilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.8Foreign Currency Forward Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.5Other Assets (net) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Cash & Equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1

Other Price Risk The Fund indirectly bears the other price risk exposure of the Underlying Fund. As at December 31,2011 and 2010, the Underlying Fund was exposed to other price risk as its holdings were sensitiveto changes in general economic conditions in Canada. The Underlying Fund was invested inCanadian stocks.

As at December 31, 2011, had the Canadian markets increased or decreased by 10% (December31, 2010 - 10%), with all other variables held constant, net assets of the Fund would haveincreased or decreased, respectively, by approximately $5,313,000 (December 31, 2010 -$6,252,000). In practice, actual results may differ from this analysis and the difference may bematerial.

Sun Life of Canada Fund AFund Specific Financial Instruments Risks (Note 9)

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

Credit Risk The Fund indirectly bears the credit risk exposure of the Underlying Fund. As at December 31, 2011 and2010, the Underlying Fund had insignificant exposure to credit risk as it invested predominantly instocks.

The Underlying Fund was invested in fixed income securities, preferred securities and derivativeinstruments, if any, with the following credit ratings, as per tables below.

as at December 31, 2011^Credit Rating Net Assets (%)AAA/Aaa/A++ 9.4 AA/Aa/A+ 9.4 A 0.1 Not Rated 0.6 Total 19.5

as at December 31, 2010^Credit Rating Net Assets (%)AAA/Aaa/A++ 2.2 AA/Aa/A+ 1.8 A 0.1 Total 4.1

^Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings areobtained from: Moody's Investors Service, Dominion Bond Rating Services or Canadian BondRating Services, respectively.

Currency Risk The Fund indirectly bears the currency risk exposure of the Underlying Fund. As at December 31,2011 and 2010, the Underlying Fund was exposed to currency risk, as some of its investments weredenominated in currencies other than Canadian dollars, the functional currency of the Fund and theUnderlying Fund. As a result, the Fund was affected by fluctuations in the value of such currenciesrelative to the Canadian dollar.

The tables below summarize the Underlying Fund’s exposure to currency risk.

as at December 31, 2011Currency Net Assets (%)US Dollar 15.9 Swiss Franc 2.3 Euro 1.4 Brazilian Real 0.9 British Pound 0.8 Thai Baht 0.8 Japanese Yen 0.6 Hong Kong Dollar 0.6 Mexican Peso 0.5 Australian Dollar 0.2 Total 24.0


– 7 –

Sun Life of Canada Fund AFund Specific Financial Instruments Risks (Note 9) (cont’d)

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


Currency Risk (cont’d)

as at December 31, 2010Currency Net Assets (%)US Dollar 15.0 British Pound 3.2 Swiss Franc 2.1 Euro 1.9 Brazilian Real 0.7 Singapore Dollar 0.7 Hong Kong Dollar 0.6 Japanese Yen 0.4 Mexican Peso 0.4 Australian Dollar 0.3 Thai Baht 0.3 Total 25.6

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December31, 2010 - 10%) in relation to all other foreign currencies held in the Underlying Fund, with allother variables held constant, net assets of the Fund would have indirectly decreased or increased,respectively, by approximately $1,275,000 (December 31, 2010 - $1,601,000). In practice, the actualresults may differ from this analysis and the difference may be material.

Interest Rate Risk The Fund indirectly bears the interest rate risk exposure of the Underlying Fund. As at December 31,2011 and 2010, the Underlying Fund had insignificant exposure to interest rate risk as substantially allof its assets were invested in stocks.

Fair Value HierarchyThe tables below summarize the inputs used by the Fund in valuing the Fund’s investments carriedat fair value.

Long Positions at fair value as at December 31, 2011Level 1 Level 2 Level 3 Total

(in $000's) (in $000's) (in $000's) (in $000's)Underlying Fund 53,125 - - 53,125 Total 53,125 - - 53,125

Long Positions at fair value as at December 31, 2010Level 1 Level 2 Level 3 Total

(in $000's) (in $000's) (in $000's) (in $000's)Underlying Fund 62,524 - - 62,524 Total 62,524 - - 62,524

1. THE FUND

Sun Life of Canada Fund A (the “Fund”) was created by Board resolution of Sun Life Assurance

Company of Canada (“Sun Life”) on April 1, 1969.

Sun Life, a wholly owned subsidiary of Sun Life Financial Inc., is the sole issuer of the individual

variable insurance contract providing for investment in the Fund. The assets of the Fund are owned

by Sun Life and are segregated from Sun Life’s other assets. The Fund is not a separate legal entity

but is a separate reporting entity. The Fund is managed by CI Investments Inc. (“CI” or the “Manager”)

who also provides certain administrative services to the Fund.

The Statement of Investment Portfolio for the Fund is as at December 31, 2011 and the Statements of

Net Assets are as at December 31, 2011 and 2010. The Statements of Operations and the Statements

of Changes in Net Assets are for the years ended December 31, 2011 and 2010. The Supplementary

Schedules are for years ended December 31, 2011 and 2010. The Financial Highlights (unaudited) are

for the most recent five years ended December 31, as applicable. The Fund Specific Financial Instruments

Risks are as at December 31, 2011 and 2010.

2. SIGNIFICANT ACCOUNTING POLICIES

These financial statements have been prepared in accordance with Canadian Generally Accepted

Accounting Principles (“Canadian GAAP”).

The following is a summary of significant accounting policies of the Fund:

(a) Valuation of Investments

The Fund invests only in units of an Underlying Fund. The Underlying Fund is valued at its net asset

value as reported by the Underlying Fund’s manager on the valuation date.

(b) Cost of Investments

Cost of investments represents the amount paid for each security, and is determined on an average

cost basis.

(c) Investment Transactions

Investment transactions are accounted for on trade date. Realized gains and losses on sales of

investments and unrealized appreciation or depreciation in value of investments are calculated on an

average cost basis.

(d) Income Recognition

Distributions from investments are recorded on the ex-distribution date and interest income is accrued

on a daily basis.

Distributions received from investment fund holdings are recognized by the Fund in the same form in

which they were received from the Underlying Fund.

(e) Net Asset Value per Unit

Net asset value per unit for the Fund is calculated at the end of each day on which the Toronto Stock

Exchange is open for business by dividing the total net asset value of the Fund by its outstanding units.

(f) Cash

Cash is comprised of cash on deposit.

(g) Increase (Decrease) in Net Assets from Operations per Unit

Increase (decrease) in net assets from operations per unit in the Supplementary Schedules is calculated

by dividing the increase (decrease) in net assets from operations of the Fund by the weighted average

number of units outstanding during the year.

(h) Use of Estimates

The preparation of financial statements in accordance with Canadian GAAP requires management to

make estimates and assumptions that affect the reported amounts of assets and liabilities and the

disclosure of assets and liabilities at the reporting date and the reported amounts of income and

expenses during the reporting period. Actual results could differ from those estimates.

3. INCOME TAXES

The Fund is deemed to be inter-vivos trust under the provisions of the Income Tax Act (Canada) and is

deemed to have allocated its income to the beneficiaries. The Fund’s net capital gains (losses) are

deemed to be those of the beneficiaries. Accordingly, the Fund is not subject to income tax on its net

income, including net realized capital gains for the year.

A Fund may elect each year to realize capital gains (losses) for the taxation year, where necessary to

allocate capital gains (losses) to redeeming beneficiaries.

4. UNITHOLDERS’ EQUITY

Units issued and outstanding represent the capital of the Fund.

The relevant changes pertaining to subscriptions and redemptions of the Fund’s units are disclosed in

the Statements of Changes in Net Assets. In accordance with the objectives and risk management

policies outlined in Note 9, the Fund endeavours to invest subscriptions received in appropriate

investments while maintaining sufficient liquidity to meet redemptions by disposal of investments

when necessary.

Unit Transactions information for the Fund appears under the Supplementary Schedules in the

Financial Statements.

5. MANAGEMENT FEES AND OTHER EXPENSES

The Manager, in consideration of management fees received, provides management services that are

required in the day-to-day operation of the Fund, including management of the investment portfolio of

the Fund that invest in an Underlying CI Fund.

The management fee is calculated as an annual percentage of the total net asset value of the Fund at

the end of each business day and is paid at the end of each month.

A Fund that invests in units of Underlying Fund will not pay a duplicate management and

administration fee on the portion of assets that are invested in units of Underlying Fund. During the

reporting period the Fund may receive management fee rebates from the Underlying Fund. The

management fee rebates are included in “Management fee rebate receivable” and in “Management

fee rebate” as reflected in the Statements of Net Assets and Statements of Operations of the Fund,

as applicable.

Management Expense Ratios (MER) information (unaudited) for the Fund appears in the Financial

Highlights (unaudited) in the Financial Statements.

Sun Life of Canada Fund A Notes to the Financial Statements


Sun Life of Canada Fund A Notes to the Financial Statements (cont’d)


In addition to the management fee, the Fund and the Underlying Fund also bear all operating and

administrative expenses including audit and legal fees, transfer agency fees, custody fees, expenses

relating to reporting and making distributions to unitholders, all other costs and fees imposed by

statute or regulation and expenses of all communications with unitholders.

The Fund pays an insurance fee to Sun Life. The insurance fee of the Fund is a charge by Sun Life for

the applicable Guarantee Option in respect of the Fund. The insurance fees payable at year-end are

included in the “Insurance fees payable” in the Statements of Net Assets, while insurance fees

expense for the year are included in the “Insurance fees” in the Statements of Operations.

As of July 1, 2010, Ontario combined the federal goods and services tax (“GST” - 5%) with the

provincial retail sales tax (“PST” - 8%). The combination resulted in a Harmonized sales tax (“HST”)

rate of 13%.

6. RELATED PARTY TRANSACTIONS

The Bank of Nova Scotia has a significant interest in CI Financial Corp., the parent company of the

Manager; therefore, The Bank of Nova Scotia is considered a related party to the Fund.

The Fund paid no brokerage commissions to The Bank of Nova Scotia during the years ended

December 31, 2011 and 2010.

During the years ended December 31, 2011 and 2010, the following related party transactions were

entered into:

a) Management fees paid to (management fee rebates received from) the Manager and Insurance

fees paid to Sun Life are disclosed in Note 5 and are presented separately in the Statements of

Operations of each Fund.

b) The management fees payable to (management fee rebates receivable from) the Manager and the

Insurance fees payable to Sun Life as at December 31, 2011 and 2010 are disclosed in Note 5 and

are presented separately in the Statements of Net Assets.

7. INTERNATIONAL FINANCIAL REPORTING STANDARDS

On February 13, 2008, the Canadian Accounting Standards Board (“AcSB”) confirmed that the use of

International Financial Reporting Standards (“IFRS”) will be required for all publicly accountable profit-

oriented enterprises for interim and annual financial statements relating to fiscal years beginning on

or after January 1, 2011. On December 12, 2011, the AcSB confirmed deferral of the IFRS changeover

date for investment funds. Based on the AcSB decision, IFRS will become effective for interim and

annual financial statements relating to fiscal years beginning on or after January 1, 2014.

Based on the Manager’s current evaluation of the differences between IFRS and Canadian GAAP, the

Manager currently does not expect any impact to net asset value or net asset value per unit, at this

time, as a result of the transition to IFRS, and expects that the main impact will be on the financial

statements, where additional disclosures or changes in presentation will be required. Further updates

on the progress in the implementation of the IFRS transition plan and any changes to reporting will be

provided during the implementation period leading up to the transition date.

8. FINANCIAL INSTRUMENTS

The categorization of financial instruments is as follows: investments are classified as held for trading

and are stated at fair value. Receivable for distributions and interest, receivable for unit subscriptions,

receivable for securities sold and management fee rebate receivable are designated as loans and

receivables. They are recorded at amortized cost which approximates their fair value due to their short-

term nature. Similarly, management fees payable, administration fees payable, insurance fees

payable, payable for securities purchased and payable for unit redemptions are designated as financial

liabilities and are carried at their amortized cost which approximates their fair value, due to their short-

term nature. Financial liabilities are generally paid within three months.

9. FINANCIAL INSTRUMENTS RISK

Risk Management

The Fund invests in units of an Underlying Fund and is exposed to a variety of financial instruments

risks: credit risk, liquidity risk and price risk (including interest rate risk, currency risk and other price

risk). The level of risk to which the Fund is exposed depends on the investment objective and the type

of investments held by the Underlying Fund. The value of investments within an Underlying Fund

portfolio can fluctuate daily as a result of changes in prevailing interest rates, economic and market

conditions and company specific news related to investments held by the Underlying Fund and this will

affect the value of the Fund. The Manager of the Underlying Fund may minimize potential adverse

effects of these risks by, but not limited to, regular monitoring of the Underlying Fund’s positions and

market events, diversification of the investment portfolio by asset type, country, sector, term to

maturity within the constraints of the stated objectives, and through the usage of derivatives to hedge

certain risk exposures.

Other Price Risk

Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes

in market prices (other than those arising from interest rate risk or currency risk). The value of each

investment is influenced by the outlook of the issuer and by general economic and political conditions,

as well as industry and market trends. All securities present a risk of loss of capital.

Other assets and liabilities are monetary items that are short-term in nature and therefore are not

subject to other price risk.

Interest Rate Risk

Interest rate risk is the risk that the fair value of interest-bearing investments will fluctuate due to

changes in prevailing levels of market interest rates. As a result, the value of the Underlying Fund that

invests in debt securities and/or income trusts will be affected by changes in applicable interest rates.

If interest rates fall, the fair value of existing debt securities may increase due to the increase in yield.

Alternatively, if interest rates rise, the yield of existing debt securities decrease which may then lead

to a decrease in their fair value. The magnitude of the decline will generally be greater for long-term

debt securities than for short-term debt securities.

Interest rate risk also applies to convertible securities. The fair value of these securities varies

inversely with interest rates, similar to other debt securities. However, since they may be converted

into common shares, convertible securities are generally less affected by interest rate fluctuations

than other debt securities.

Currency Risk

Currency risk arises from financial instruments that are denominated in a currency other than Canadian

dollars, the functional currency of the Fund and the Underlying Fund. As a result, the Underlying Fund

may be exposed to the risk that the value of securities denominated in other currencies will fluctuate

due to changes in exchange rates. Equities traded in foreign markets are also exposed to currency risk

as the prices denominated in foreign currencies are converted to Underlying Fund’s functional currency

to determine their fair value.

Credit Risk

Credit risk is the risk that a security issuer or counterparty to a financial instrument will fail to meet

its financial obligations. The fair value of a debt instrument includes consideration of the credit

worthiness of the debt issuer. The carrying amount of debt instruments represents the credit risk

exposure of the Underlying Fund. Credit risk exposure for derivative instruments is based on each

Underlying Fund’s unrealized gain on the contractual obligations with the counterparty as at the

reporting date. The credit risk exposure of Fund’s other assets are represented by their carrying amount

as disclosed in the Statements of Net Assets.

Liquidity Risk

Liquidity risk is the risk that a Fund may not be able to settle or meet its obligations, on time or at a

reasonable price. The Fund is exposed to daily cash redemption of redeemable units. The Fund invests

all of its assets in Underlying Fund which can be readily disposed of.

Fair Value Hierarchy

The Fund is required to classify financial instruments measured at fair value using a fair value

hierarchy. Investments whose values are based on quoted market prices in active markets are

classified as Level 1. This level includes publicly traded equities, exchange traded and retail mutual

funds, exchange traded warrants, futures contracts and traded options.

Financial instruments that trade in markets that are not considered to be active but are valued based

on quoted market prices, dealer quotations or alternative pricing sources supported by observable

inputs are classified as Level 2. These include, fixed income securities, mortgage backed securities

(“MBS”), short-term instruments, non-traded warrants, over-the-counter options, structured notes of

indexed securities, if applicable, foreign currency forward contracts and swap instruments.

Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments include

private equities, private term loans, private equity funds and certain derivatives. As observable prices

are not available for these securities, the Fund may use a variety of valuation techniques to derive the

fair value.

The Fund invests only in another investment fund and these investments are classified as Level 1.

Details of Fund’s exposure to financial instruments risks including the fair value hierarchy

classifications are available in the “Fund Specific Financial Instruments Risks” section of the financial

statements.

Sun Life of Canada Fund A Notes to the Financial Statements (cont’d)


– 11 –

Sun Life of Canada Fund A Legal Notice


NOTICE: Should you require additional copies of these Annual Financial Statements or have received

more than one copy, please contact CI Investments Inc. or your advisor.

Sun Life Assurance Company of Canada, a member of the Sun Life Financial group of companies, is

the sole issuer of the individual variable insurance contracts providing for investment in Sun Life of

Canada Fund A. A description of the key features of the applicable individual variable insurance

contract is contained in the Information Folder. SUBJECT TO ANY APPLICABLE DEATH AND

MATURITY GUARANTEES, ANY AMOUNT THAT IS ALLOCATED TO A SEGREGATED FUND IS

INVESTED AT THE RISK OF THE CONTRACTHOLDER AND MAY INCREASE OR DECREASE

IN VALUE.

®CI Investments and the CI Investments design are registered trademarks of CI Investments Inc.

INFORMATION FOLDER: CI would be pleased to provide, without charge, the most recent Information

Folder upon request to CI’s Toronto office.

Sun Life Assurance Company of Canada

227 King Street SouthP.O. Box 1601 STN WaterlooWaterloo, Ontario N2J 4C5

SUNLIFE_AR_05/12E

2 Queen Street East, Twentieth Floor, Toronto, Ontario M5C 3G7 I www.ci.comHead Office / Toronto416-364-1145 1-800-268-9374

Calgary 403-205-43961-800-776-9027

Montreal 514-875-00901-800-268-1602

Vancouver 604-681-33461-800-665-6994

Client Services English: 1-800-563-5181French: 1-800-668-3528

Documents

Annual Financial Statement– as at December 31, 2011 · Annual Financial Statementsas at December 31, 2011 – 4 – †The Underlying Fund is also managed by CI Investments Inc.,