CIBCU.S.IndexFund InterimFinancialReports(unaudited) · Theaccompanyingnotesareanintegralpartofthesefinancialstatements. x CIBCU.S.IndexFund x StatementsofCashFlows(unaudited) (in000s)

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

CIBC U.S. Index Fund

Interim Financial Reports (unaudited)

for the period ended June 30, 2020

† Securities Lending

The tables that follow indicate the Fund had assets involved in securities lending transactions

outstanding as at June 30, 2020 and December 31, 2019.

Aggregate Value

of Securities

on Loan

($000s)

Aggregate

Value

of Collateral

for Loan

($000s)

x

x

June 30, 2020 58,613 61,617

x

December 31, 2019 24,362 25,741

x

Collateral Type* ($000s)

i ii iii iv

x

x

June 30, 2020 – 61,617 – –

x

December 31, 2019 – 25,741 – –

x

x

* See note 2j for Collateral Type definitions.

Organization of the Fund (note 1)

The Fund was established on July 8, 1996 (Date Established).

Inception Date

x

x

Class A July 25, 1996

x

Premium Class December 6, 2011

x

Institutional Class December 16, 2011

x

Class O May 22, 2013

x

x

Statements of Financial Position (unaudited)

(in 000s, except per unit amounts)

As at June 30, 2020 and December 31, 2019 (note 1)

June 30, 2020 December 31, 2019

x

x

x

x

Assets

x

x

x

Current assets

x

Investments (non-derivative financial assets) † (notes

2 and 3) $ 711,259 $ 684,542

x

Cash including foreign currency holdings, at fair value 889 23

x

Margin 227 173

x

Dividends receivable 526 629

x

Receivable for units issued 260 810

x

Other receivables 1 1

x

Derivative assets 28 70

x

x

x

Total Assets 713,190 686,248

x

x

x

Liabilities

x

x

x

Current liabilities

x

Payable for units redeemed 639 222

x

Other accrued expenses – 1

x

x

x

Total Liabilities 639 223

x

x

x

Net Assets Attributable to Holders of

Redeemable Units (note 5) $ 712,551 $ 686,025

x

x

x


Redeemable Units per Class

x

Class A $ 404,378 $ 399,073

x

Premium Class $ 256,848 $ 242,117

x

Institutional Class $ 13,295 $ 13,775

x

Class O $ 38,030 $ 31,060

x

x

x


Redeemable Units per Unit (note 5)

x

Class A $ 28.00 $ 27.81

x

Premium Class $ 36.64 $ 36.26

x

Institutional Class $ 37.19 $ 36.77

x

Class O $ 27.17 $ 26.83

x

1



Statements of Comprehensive Income (unaudited)

(in 000s, except per unit amounts)

For the periods ended June 30, 2020 and 2019 (note 1)

June 30, 2020 June 30, 2019

x

x

Net Gain (loss) on Financial Instruments

x

Interest for distribution purposes

$ 48

$ 254

x

Dividend revenue

7,151

7,675

x

Derivative income (loss)

(2,025)

2,130

x

Other changes in fair value of investments and

derivatives

x

Net realized gain (loss) on sale of investments and

derivatives

2,318

2,761

x

Net realized gain (loss) on foreign currency (notes 2f

and g)

893

(108)

x

Net change in unrealized appreciation (depreciation)

of investments and derivatives

(538)

62,863

x

x

x

Net Gain (loss) on Financial Instruments 7,847

75,575

xx

x

Other Income

x

Foreign exchange gain (loss) on cash

41

(69)

x

Securities lending revenue ±

36

27

x

x

x

77

(42)

xx

x

Expenses (note 6)

x

Management fees ±±

3,624

3,298

x

Audit fees

5

3

x

Custodial fees

34

38

x

Independent review committee fees

–

1

x

Legal fees

2

2

x

Regulatory fees

21

14

x

Transaction costs ±±±

6

7

x

Unitholder reporting costs

433

439

x

Withholding taxes (note 7)

1,146

838

x

Other expenses

4

4

x

x

x

5,275

4,644

xx

x

Expenses waived/absorbed by the Manager

(1,306)

(1,236)

xx

x

3,969

3,408

xx

x

Increase (Decrease) in Net Assets Attributable to

Holders of Redeemable Units (excluding

distributions) 3,955

72,125

xx

x


Holders of Redeemable Units per Class

(excluding distributions)

x

Class A

$ 2,437

$ 43,395

x

Premium Class

$ 1,530

$ 24,111

x

Institutional Class

$ 125

$ 1,630

x

Class O

$ (137)

$ 2,989

x

x

x

Average Number of Units Outstanding for the

period per Class

x

Class A

14,368

14,855

x

Premium Class

6,954

6,206

x

Institutional Class

372

399

x

Class O

1,366

1,018

x

x

x


Holders of Redeemable Units per Unit

(excluding distributions)

x

Class A

$ 0.18

$ 2.92

x

Premium Class

$ 0.23

$ 3.88

x

Institutional Class

$ 0.34

$ 4.10

x

Class O

$ (0.10)

$ 2.94

x

x

x

..

± Securities Lending Revenue (note 2j)

June 30, 2020 June 30, 2019

(in 000s)

% of Gross

securities

lending revenue (in 000s)

% of Gross

securities

lending revenue

x

x

Gross securities lending revenue $ 50 100.0 $ 37 100.0

x

Interest paid on collateral – – – –

x

Withholding taxes (2) (4.0) (1) (2.7)

x

Agent fees - Bank of New York

Mellon Corp. (The) (12) (24.0) (9) (24.3)

x

x

x

Securities lending revenue $ 36 72.0 $ 27 73.0

x

x

±± Maximum Chargeable Annual Management Fee Rates (note 6)

x

x

Class A 1.20%

x

Premium Class 0.75%

x

Institutional Class 0.60%

x

Class O 0.00%

x

x

±±± Brokerage Commissions and Fees (notes 8 and 9)

2020 2019

x

x

Brokerage commissions and other fees ($000s)

x

Total Paid

4

5

x

Paid to CIBC World Markets Inc.

–

–

x

Paid to CIBC World Markets Corp.

–

–

x

Soft dollars ($000s)

x

Total Paid

–

–

x

Paid to CIBC World Markets Inc. and CIBC World Markets Corp.

–

–

x

x

Administrative and Other Fund Operating Expenses (note 9)

2020 2019

x

x

($000s)

330

315

x

x

Service Provider (note 9)

The amounts paid by the Fund (including all applicable taxes) 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, 2020 and 2019 were as follows:

2020 2019

x

x

($000s)

45

42

x

x

2



x

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (unaudited)

(in 000s)


Class A Units Premium Class Units Institutional Class Units Class O Units

June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019

xx.


Holders of Redeemable Units (excluding

distributions) $ 2,437 $ 43,395 $ 1,530 $ 24,111 $ 125 $ 1,630 $ (137) $ 2,989

xxx.

Distributions Paid or Payable to Holders of

Redeemable Units ‡

x.

From net investment income (9) (9) – – – – – –

x.xx

(9) (9) – – – – – –

xxx.

Redeemable Unit Transactions

x.

Amount received from the issuance of units 48,255 39,834 42,966 34,867 156 56 16,675 2,737

x.

Amount received from reinvestment of distributions 9 9 – – – – – –

x.

Amount paid on redemptions of units (45,387) (42,638) (29,765) (22,395) (761) (1,309) (9,568) (3,020)

x.xx

2,877 (2,795) 13,201 12,472 (605) (1,253) 7,107 (283)

xxx.


Holders of Redeemable Units 5,305 40,591 14,731 36,583 (480) 377 6,970 2,706

x.

Net Assets Attributable to Holders of Redeemable Units

at Beginning of Period 399,073 336,802 242,117 174,981 13,775 12,519 31,060 22,266

x.xx

Net Assets Attributable to Holders of Redeemable Units

at End of Period $ 404,378 $ 377,393 $ 256,848 $ 211,564 $ 13,295 $ 12,896 $ 38,030 $ 24,972

xxx.

Redeemable Units Issued and Outstanding (note 5)

x.

As at June 30, 2020 and 2019

x.

Balance - beginning of period 14,348 14,812 6,676 5,904 375 417 1,158 1,016

x.

Redeemable units issued 1,776 1,603 1,200 1,080 4 2 614 112

x.

Redeemable units issued on reinvestments 1 1 – – – – – –

x.xx

16,125 16,416 7,876 6,984 379 419 1,772 1,128

x.

Redeemable units redeemed (1,681) (1,705) (867) (682) (21) (40) (372) (124)

x.xx

Balance - end of period 14,444 14,711 7,009 6,302 358 379 1,400 1,004

x

x

‡ Net Capital and Non-Capital Losses (note 7)

As at December 2019, the Fund had net capital and non-capital losses (in $000s) for income tax purposes available to be carried forward as follows:

Total Net Capital Losses

Total Non-Capital Losses

that Expire in:

2029 to 2039

x

..

158,399 –

.

.

3



x

x

Statements of Cash Flows (unaudited)

(in 000s)


June 30, 2020 June 30, 2019

xx.

Cash Flows from Operating Activities

x.

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units from Operations (excluding distributions) $ 3,955 $ 72,125

x.

Adjustments for:

x.

Foreign exchange loss (gain) on cash (41) 69

x.

Net realized (gain) loss on sale of investments and derivatives (2,318) (2,761)

x.

Net change in unrealized (appreciation) depreciation of investments and derivatives 538 (62,863)

x.

Purchase of investments (329,668) (280,258)

x.

Proceeds from the sale of investments 304,773 264,057

x.

Margin (54) 658

x.

Dividends receivable 103 79

x.

Other receivables – (2)

x.

Other accrued expenses and liabilities (1) (4)

x.xx

(22,713) (8,900)

xxx.

Cash Flows from Financing Activities

x.

Amount received from the issuance of units 108,602 78,038

x.

Amount paid on redemptions of units (85,064) (69,537)

x.xx

23,538 8,501

xxx.

Increase (Decrease) in Cash during the Period 825 (399)

xxx.

Foreign exchange loss (gain) on cash 41 (69)

xxx.

Cash (Bank Overdraft) at Beginning of Period 23 124

xxx.

Cash (Bank Overdraft) at End of Period $ 889 $ (344)

x

x.

Interest received $ 48 $ 254

x.

Dividends received, net of withholding taxes $ 6,108 $ 6,916

4



x

Schedule of Investment Portfolio (unaudited) As at June 30, 2020

Security

Number

of Shares

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

x

UNITED STATES EQUITIES

..

Communication Services

..

Activision Blizzard Inc. 15,266 790 1,573

..

Alphabet Inc., Class 'A' 5,991 4,554 11,534

..

Alphabet Inc., Class 'C' 5,841 1,885 11,210

..

AT&T Inc. 142,287 5,323 5,840

..

CenturyLink Inc. 19,497 574 265

..

Charter Communications Inc., Class 'A' 3,010 1,128 2,084

..

Comcast Corp., Class 'A' 90,211 1,814 4,774

..

Discovery Inc., Series 'A' 3,142 118 90

..

Discovery Inc., Series 'C' 6,665 117 174

..

DISH Network Corp., Class 'A' 5,087 388 238

..

Electronic Arts Inc. 5,801 314 1,040

..

Facebook Inc., Class 'A' 47,819 4,844 14,741

..

Fox Corp., Class 'A' 7,044 385 256

..

Fox Corp., Class 'B' 3,226 176 118

..

Interpublic Group of Cos. Inc. (The) 7,704 96 179

..

Live Nation Inc. 2,800 263 169

..

Netflix Inc. 8,708 826 5,379

..

News Corp., Class 'A' 7,721 129 124

..

News Corp., Class 'B' 2,419 42 39

..

Omnicom Group Inc. 4,326 222 321

..

Take-Two Interactive Software Inc. 2,248 318 426

..

T-Mobile US Inc. 11,363 1,408 1,607

..

T-Mobile US Inc., Rights, 2020/09/24 7,650 – 2

..

Twitter Inc. 15,427 762 624

..

Verizon Communications Inc. 82,182 3,859 6,151

..

ViacomCBS Inc., Class 'B' 10,738 391 340

..

Walt Disney Co. (The) 35,815 2,988 5,422

..

..

..

33,714 74,720 10.5%

.

.x

Consumer Discretionary

..

Advance Auto Parts Inc. 1,376 276 266

..

Amazon.com Inc. 8,366 4,986 31,334

..

AutoZone Inc. 473 126 724

..

Best Buy Co. Inc. 4,525 191 536

..

Booking Holdings Inc. 831 464 1,796

..

BorgWarner Inc. 4,103 156 197

..

CarMax Inc. 3,267 102 397

..

Carnival Corp. 7,959 345 177

..

Chipotle Mexican Grill Inc. 508 190 726

..

D.R. Horton Inc. 6,663 159 502

..

Darden Restaurants Inc. 2,436 129 251

..

Dollar General Corp. 5,059 348 1,309

..

Dollar Tree Inc. 4,702 285 592

..

Domino's Pizza Inc. 768 406 385

..

eBay Inc. 13,191 175 939

..

Expedia Group Inc. 2,776 241 310

..

Ford Motor Co. 77,379 706 639

..

Gap Inc. (The) 4,228 86 72

..

General Motors Co. 24,984 985 858

..

Genuine Parts Co. 2,887 164 341

..

H&R Block Inc. 3,879 96 75

..

Hanesbrands Inc. 7,187 288 110

..

Hasbro Inc. 2,528 159 257

..

Hilton Worldwide Holdings Inc. 5,606 536 559

..

Home Depot Inc. (The) 21,676 1,105 7,372

..

Kohl's Corp. 3,111 140 88

..

L Brands Inc. 4,614 120 94

..

Las Vegas Sands Corp. 6,715 508 415

..

Leggett & Platt Inc. 2,615 72 125

..

Lennar Corp., Class 'A' 5,561 256 465

..

LKQ Corp. 6,089 251 217

..

Lowe's Cos. Inc. 15,230 473 2,794

..

Marriott International Inc., Class 'A' 5,392 336 628

..

McDonald's Corp. 14,964 1,288 3,748

..

MGM Resorts International 10,233 436 233

..

Mohawk Industries Inc. 1,181 199 163

..

Newell Brands Inc. 7,572 280 163

..

Nike Inc., Class 'B' 24,759 608 3,296

..

Norwegian Cruise Line Holdings Ltd. 4,227 306 94

..

NVR Inc. 69 328 305

..

O'Reilly Automotive Inc. 1,503 91 860

..

PulteGroup Inc. 5,061 81 234

..

PVH Corp. 1,473 183 96

..

Ralph Lauren Corp. 988 84 97

..

Ross Stores Inc. 7,187 187 832

..

Royal Caribbean Cruises Ltd. 3,415 344 233

..

Starbucks Corp. 23,467 456 2,345

..

Tapestry Inc. 5,483 187 99

..

Target Corp. 10,069 537 1,639

..

Tiffany & Co. 2,145 132 355

..

TJX Cos. Inc. (The) 24,097 385 1,654

..

Tractor Supply Co. 2,352 191 421

5



Schedule of Investment Portfolio (unaudited) As at June 30, 2020 (cont'd)

Security

Number

of Shares

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

..

Ulta Beauty Inc. 1,135 313 314

..

Under Armour Inc., Class 'A' 3,739 184 49

..

Under Armour Inc., Class 'C' 3,866 20 46

..

V.F. Corp. 6,507 385 538

..

Whirlpool Corp. 1,255 127 221

..

Wynn Resorts Ltd. 1,919 208 194

..

Yum! Brands Inc. 6,010 273 709

..

..

..

22,673 74,488 10.5%

.

.x

Consumer Staples

..

Altria Group Inc. 37,121 1,129 1,978

..

Archer-Daniels-Midland Co. 11,061 373 599

..

Brown-Forman Corp., Class 'B' 3,620 129 313

..

Campbell Soup Co. 3,356 142 226

..

Church & Dwight Co. Inc. 4,876 310 512

..

Clorox Co. (The) 2,493 187 742

..

Coca-Cola Co. (The) 76,623 2,671 4,648

..

Colgate-Palmolive Co. 17,030 821 1,694

..

Conagra Brands Inc. 9,670 285 462

..

Constellation Brands Inc., Class 'A' 3,328 177 790

..

Costco Wholesale Corp. 8,778 1,027 3,613

..

Coty Inc., Class 'A' 5,873 177 36

..

Estée Lauder Cos. Inc. (The), Class 'A' 4,422 263 1,133

..

General Mills Inc. 12,009 490 1,005

..

Hershey Co. (The) 2,947 205 519

..

Hormel Foods Corp. 5,525 104 362

..

J.M. Smucker Co. (The) 2,266 164 325

..

Kellogg Co. 4,947 303 444

..

Kimberly-Clark Corp. 6,811 525 1,307

..

Kraft Heinz Co. (The) 12,375 518 536

..

Kroger Co. (The) 15,936 263 732

..

Lamb Weston Holdings Inc. 2,902 295 252

..

McCormick & Co. Inc. 2,455 173 598

..

Molson Coors Beverage Co., Class 'B' 3,732 262 174

..

Mondelez International Inc., Class 'A' 28,610 764 1,986

..

Monster Beverage Corp. 7,585 212 714

..

PepsiCo Inc. 27,708 2,256 4,975

..

Philip Morris International Inc. 30,916 2,134 2,941

..

Procter & Gamble Co. (The) 49,554 3,840 8,044

..

Sysco Corp. 10,138 432 752

..

Tyson Foods Inc., Class 'A' 5,865 178 475

..

Walgreens Boots Alliance Inc. 14,898 669 857

..

Walmart Inc. 28,188 1,965 4,584

..

..

..

23,443 48,328 6.8%

.

.x

Energy

..

Apache Corp. 7,472 766 137

..

Baker Hughes Co. 12,913 729 270

..

Cabot Oil & Gas Corp. 8,105 139 189

..

Chevron Corp. 37,573 3,800 4,552

..

Concho Resources Inc. 3,994 590 279

..

ConocoPhillips 21,803 1,213 1,244

..

Devon Energy Corp. 7,690 602 118

..

Diamondback Energy Inc. 3,202 458 182

..

EOG Resources Inc. 11,560 797 795

..

Exxon Mobil Corp. 84,076 7,209 5,104

..

Halliburton Co. 17,442 791 307

..

Hess Corp. 5,146 483 362

..

HollyFrontier Corp. 2,950 281 117

..

Kinder Morgan Inc. 38,706 1,471 797

..

Marathon Oil Corp. 15,895 623 132

..

Marathon Petroleum Corp. 12,902 665 655

..

National-Oilwell Varco Inc. 7,666 553 127

..

Noble Energy Inc. 9,504 400 116

..

Occidental Petroleum Corp. 17,751 1,380 441

..

ONEOK Inc. 8,208 433 370

..

Phillips 66 8,829 750 862

..

Pioneer Natural Resources Co. 3,291 397 436

..

Schlumberger Ltd. 27,509 2,512 687

..

Valero Energy Corp. 8,160 313 652

..

Williams Cos. Inc. (The) 24,084 792 622

..

..

..

28,147 19,553 2.7%

.

.x

Financials

..

Aflac Inc. 14,585 658 713

..

Allstate Corp. (The) 6,437 333 848

..

American Express Co. 13,333 643 1,723

..

American International Group Inc. 17,286 1,224 732

..

Ameriprise Financial Inc. 2,517 127 513

..

Arthur J. Gallagher & Co. 3,706 263 491

..

Assurant Inc. 1,204 90 169

..

Bank of America Corp. 155,927 3,800 5,028

..

Bank of New York Mellon Corp. (The) 16,675 603 875

..

Berkshire Hathaway Inc., Class 'B' 38,868 4,769 9,419

..

BlackRock Inc. 3,024 1,064 2,234

6




Security

Number

of Shares

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

..

Capital One Financial Corp. 9,254 501 786

..

Cboe Global Markets Inc. 2,202 247 279

..

Charles Schwab Corp. (The) 22,718 632 1,041

..

Cincinnati Financial Corp. 3,019 139 262

..

Citigroup Inc. 41,574 2,824 2,884

..

Citizens Financial Group Inc. 8,638 267 296

..

CME Group Inc. 7,121 776 1,571

..

Comerica Inc. 2,864 111 148

..

Discover Financial Services 6,228 122 424

..

E*TRADE Financial Corp. 4,489 115 303

..

Fifth Third Bancorp 14,101 252 369

..

First Republic Bank 3,348 404 482

..

Franklin Resources Inc. 5,542 204 158

..

Globe Life Inc. 1,979 68 199

..

Goldman Sachs Group Inc. (The) 6,332 1,202 1,699

..

Hartford Financial Services Group Inc. (The) 7,161 378 375

..

Huntington Bancshares Inc. 20,521 210 252

..

Intercontinental Exchange Inc. 11,065 479 1,376

..

Invesco Ltd. 7,395 196 108

..

JPMorgan Chase & Co. 60,849 3,328 7,770

..

KeyCorp 19,572 226 324

..

Lincoln National Corp. 3,941 180 197

..

Loews Corp. 5,082 242 237

..

M&T Bank Corp. 2,622 291 370

..

MarketAxess Holdings Inc. 753 319 512

..

Marsh & McLennan Cos. Inc. 10,028 431 1,462

..

MetLife Inc. 15,532 706 770

..

Moody's Corp. 3,226 202 1,203

..

Morgan Stanley 24,444 921 1,603

..

MSCI Inc. 1,683 327 763

..

Nasdaq Inc. 2,280 112 370

..

Northern Trust Corp. 4,210 332 453

..

People's United Financial Inc. 8,825 182 139

..

PNC Financial Services Group Inc. 8,706 692 1,244

..

Principal Financial Group Inc. 5,131 227 289

..

Progressive Corp. (The) 11,617 382 1,263

..

Prudential Financial Inc. 7,988 592 660

..

Raymond James Financial Inc. 2,453 256 229

..

Regions Financial Corp. 19,168 167 289

..

S&P Global Inc. 4,856 326 2,172

..

SPDR S&P 500 ETF Trust 34,317 13,574 14,366

..

State Street Corp. 7,225 515 623

..

SVB Financial Group 1,024 350 300

..

Synchrony Financial 11,813 480 355

..

T. Rowe Price Group Inc. 4,643 332 778

..

Travelers Cos. Inc. (The) 5,128 305 794

..

Truist Financial Corp. 26,648 951 1,358

..

U.S. Bancorp 28,242 977 1,412

..

Unum Group 4,098 109 92

..

W. R. Berkley Corp. 2,883 260 224

..

Wells Fargo & Co. 74,508 2,895 2,590

..

Zions Bancorporation NA 3,387 103 156

..

..

..

53,993 81,124 11.4%

.

.x

Health Care

..

Abbott Laboratories 35,120 1,468 4,359

..

AbbVie Inc. 35,033 1,969 4,670

..

ABIOMED Inc. 897 448 294

..

Agilent Technologies Inc. 6,149 270 738

..

Alexion Pharmaceuticals Inc. 4,397 560 670

..

Align Technology Inc. 1,425 298 531

..

AmerisourceBergen Corp. 2,987 87 409

..

Amgen Inc. 11,807 1,016 3,781

..

Anthem Inc. 5,038 477 1,799

..

Baxter International Inc. 10,145 495 1,186

..

Becton, Dickinson & Co. 5,888 1,019 1,913

..

Biogen Inc. 3,259 383 1,184

..

Bio-Rad Laboratories Inc., Class 'A' 426 262 261

..

Boston Scientific Corp. 27,696 474 1,320

..

Bristol-Myers Squibb Co. 45,186 2,087 3,607

..

Cardinal Health Inc. 5,812 325 412

..

Centene Corp. 11,600 773 1,001

..

Cerner Corp. 6,241 267 581

..

Cigna Corp. 7,420 952 1,890

..

Cooper Cos. Inc. (The) 985 260 379

..

CVS Health Corp. 25,851 1,739 2,280

..

Danaher Corp. 12,703 797 3,050

..

DaVita Inc. 1,782 59 191

..

Dentsply Sirona Inc. 4,419 258 264

..

Dexcom Inc. 1,811 1,070 997

..

Edwards Lifesciences Corp. 12,432 283 1,166

..

Eli Lilly and Co. 16,789 918 3,742

..

Gilead Sciences Inc. 25,139 912 2,626

..

HCA Healthcare Inc. 5,257 500 693

..

Henry Schein Inc. 2,915 207 231

7




Security

Number

of Shares

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

..

Hologic Inc. 5,328 253 412

..

Humana Inc. 2,631 202 1,385

..

IDEXX Laboratories Inc. 1,704 295 764

..

Illumina Inc. 2,921 744 1,469

..

Incyte Corp. 3,552 587 501

..

Intuitive Surgical Inc. 2,296 457 1,776

..

IQVIA Holdings Inc. 3,585 511 691

..

Johnson & Johnson 52,298 4,511 9,985

..

Laboratory Corp. of America Holdings 1,929 176 435

..

McKesson Corp. 3,233 223 673

..

Merck & Co. Inc. 50,591 2,099 5,311

..

Mettler-Toledo International Inc. 483 269 528

..

PerkinElmer Inc. 2,207 96 294

..

Pfizer Inc. 109,969 2,622 4,882

..

Quest Diagnostics Inc. 2,676 182 414

..

Regeneron Pharmaceuticals Inc. 2,001 758 1,694

..

ResMed Inc. 2,857 303 745

..

Stryker Corp. 6,398 633 1,565

..

Teleflex Inc. 919 320 454

..

Thermo Fisher Scientific Inc. 7,968 898 3,920

..

UnitedHealth Group Inc. 18,826 1,351 7,538

..

Universal Health Services Inc., Class 'B' 1,596 203 201

..

Varian Medical Systems Inc. 1,806 129 300

..

Vertex Pharmaceuticals Inc. 5,109 549 2,014

..

Waters Corp. 1,280 107 313

..

West Pharmaceutical Services Inc. 1,467 424 452

..

Zimmer Biomet Holdings Inc. 4,087 398 662

..

Zoetis Inc. 9,464 446 1,761

..

..

..

40,379 97,364 13.7%

.

.x

Industrials

..

3M Co. 11,426 1,124 2,420

..

A. O. Smith Corp. 2,723 188 174

..

Alaska Air Group Inc. 2,447 209 120

..

American Airlines Group Inc. 7,747 535 137

..

Ametek Inc. 4,542 253 551

..

Boeing Co. (The) 10,624 1,142 2,644

..

C.H. Robinson Worldwide Inc. 2,687 157 288

..

Carrier Global Corp. 16,121 276 486

..

Caterpillar Inc. 10,981 936 1,886

..

Cintas Corp. 1,665 102 602

..

Copart Inc. 4,064 319 459

..

CSX Corp. 15,452 482 1,463

..

Cummins Inc. 3,044 296 716

..

Deere & Co. 6,256 610 1,335

..

Delta Air Lines Inc. 11,437 315 436

..

Dover Corp. 2,886 151 378

..

Emerson Electric Co. 12,104 670 1,019

..

Equifax Inc. 2,406 152 561

..

Expeditors International of Washington Inc. 3,384 146 349

..

Fastenal Co. 11,396 221 663

..

FedEx Corp. 4,769 509 908

..

Flowserve Corp. 2,600 130 101

..

Fortive Corp. 5,872 190 539

..

Fortune Brands Home & Security Inc. 2,765 204 240

..

General Dynamics Corp. 4,656 508 945

..

General Electric Co. 173,545 4,629 1,609

..

Honeywell International Inc. 14,198 1,013 2,787

..

Howmet Aerospace Inc. 7,697 548 166

..

Huntington Ingalls Industries Inc. 812 234 192

..

Idex Corp. 1,511 324 324

..

Illinois Tool Works Inc. 5,811 372 1,379

..

Ingersoll Rand Inc. 6,905 291 264

..

J.B. Hunt Transport Services Inc. 1,694 180 277

..

Jacobs Engineering Group Inc. 2,692 224 310

..

Kansas City Southern Industries Inc. 1,969 236 399

..

L3Harris Technologies Inc. 4,392 419 1,012

..

Lockheed Martin Corp. 4,932 777 2,443

..

Masco Corp. 5,645 97 385

..

Norfolk Southern Corp. 5,181 427 1,235

..

Northrop Grumman Corp. 3,114 342 1,300

..

Old Dominion Freight Line Inc. 1,902 311 438

..

Otis Worldwide Corp. 8,060 383 622

..

PACCAR Inc. 6,872 351 698

..

Parker Hannifin Corp. 2,552 227 635

..

Quanta Services Inc. 2,827 80 151

..

Raytheon Technologies Corp. 29,039 1,378 2,429

..

Republic Services Inc. 4,185 145 466

..

Robert Half International Inc. 2,336 73 168

..

Rockwell Automation Inc. 2,296 153 664

..

Rollins Inc. 2,797 146 161

..

Roper Technologies Inc. 2,067 289 1,089

..

Snap-On Inc. 1,089 99 205

..

Southwest Airlines Inc. 9,411 184 437

..

Stanley Black & Decker Inc. 3,020 252 571

8




Security

Number

of Shares

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

..

Teledyne Technologies Inc. 732 320 309

..

Textron Inc. 4,535 201 203

..

TransDigm Group Inc. 989 390 594

..

Union Pacific Corp. 13,794 770 3,166

..

United Airlines Holdings Inc. 4,324 335 203

..

United Parcel Service Inc., Class 'B' 13,924 1,105 2,102

..

United Rentals Inc. 1,493 196 302

..

Verisk Analytics Inc. 3,256 387 752

..

W.W. Grainger Inc. 867 118 370

..

Wabtec Corp. 3,618 354 283

..

Waste Management Inc. 7,755 379 1,115

..

Xylem Inc. 3,578 138 316

..

..

..

28,702 51,951 7.3%

.

.x

Information Technology

..

Adobe Inc. 9,619 788 5,685

..

Advanced Micro Devices Inc. 23,388 737 1,670

..

Akamai Technologies Inc. 3,211 117 467

..

Amphenol Corp., Class 'A' 5,891 208 766

..

Analog Devices Inc. 7,318 447 1,218

..

ANSYS Inc. 1,700 303 673

..

Apple Inc. 81,364 4,888 40,296

..

Applied Materials Inc. 18,356 410 1,506

..

Arista Networks Inc. 1,077 410 307

..

Autodesk Inc. 4,372 310 1,420

..

Automatic Data Processing Inc. 8,598 542 1,738

..

Broadcom Inc. 7,882 1,309 3,377

..

Broadridge Financial Solutions Inc. 2,278 345 390

..

Cadence Design Systems Inc. 5,575 281 726

..

CDW Corp. 2,855 460 450

..

Cisco Systems Inc. 84,298 2,189 5,338

..

Citrix Systems Inc. 2,432 103 488

..

Cognizant Technology Solutions Corp., Class 'A' 10,880 313 839

..

Corning Inc. 15,283 330 537

..

DXC Technology Co. 5,086 437 114

..

F5 Network Inc. 1,208 166 229

..

Fidelity National Information Services Inc. 12,212 1,650 2,223

..

Fiserv Inc. 11,348 668 1,504

..

FleetCor Technologies Inc. 1,724 515 589

..

Flir Systems Inc. 2,665 103 147

..

Fortinet Inc. 2,820 294 526

..

Gartner Inc. 1,777 268 293

..

Global Payments Inc. 5,972 536 1,375

..

Hewlett Packard Enterprise Co. 25,713 280 340

..

HP Inc. 29,447 1,224 697

..

Intel Corp. 84,553 2,375 6,868

..

International Business Machines Corp. 17,598 2,637 2,885

..

Intuit Inc. 5,172 458 2,080

..

IPG Photonics Corp. 706 216 154

..

Jack Henry & Associates Inc. 1,528 276 382

..

Juniper Networks Inc. 6,651 185 206

..

Keysight Technologies Inc. 3,727 298 510

..

KLA Corp. 3,135 184 828

..

Lam Research Corp. 2,882 192 1,266

..

Leidos Holdings Inc. 2,644 293 336

..

MasterCard Inc., Class 'A' 17,640 1,002 7,081

..

Maxim Integrated Products Inc. 5,377 401 442

..

Microchip Technology Inc. 4,748 260 679

..

Micron Technology Inc. 21,998 385 1,539

..

Microsoft Corp. 151,592 7,092 41,883

..

Motorola Solutions Inc. 3,404 298 648

..

NetApp Inc. 4,535 141 273

..

NortonLifeLock Inc. 11,393 265 307

..

NVIDIA Corp. 12,161 806 6,272

..

Oracle Corp. 41,565 1,150 3,119

..

Paychex Inc. 6,330 280 651

..

Paycom Software Inc. 974 402 410

..

PayPal Holdings Inc. 23,332 861 5,519

..

Qorvo Inc. 2,308 233 346

..

QUALCOMM Inc. 22,689 1,407 2,809

..

salesforce.com Inc. 17,992 1,747 4,576

..

ServiceNow Inc. 3,747 1,422 2,060

..

Skyworks Solutions Inc. 3,385 404 588

..

Synopsys Inc. 2,987 306 791

..

Texas Instruments Inc. 18,575 770 3,202

..

Tyler Technologies Inc. 794 360 374

..

VeriSign Inc. 2,053 174 576

..

Visa Inc., Class 'A' 33,692 1,531 8,836

..

Western Digital Corp. 5,909 286 354

..

Western Union Co. (The) 8,331 220 244

..

Xerox Holdings Corp. 3,694 127 77

..

Xilinx Inc. 4,996 201 667

..

Zebra Technologies Corp., Class 'A' 1,071 355 372

..

..

..

50,631 186,138 26.1%

.

.

9




Security

Number

of Shares

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

x

Materials

..

Air Products and Chemicals Inc. 4,380 579 1,436

..

Albemarle Corp. 2,106 223 221

..

Avery Dennison Corp. 1,659 91 257

..

Ball Corp. 6,500 155 613

..

Celanese Corp. 2,401 284 281

..

CF Industries Holdings Inc. 4,320 133 165

..

Corteva Inc. 14,871 448 541

..

Dow Inc. 14,734 622 815

..

DuPont de Nemours Inc. 14,720 1,749 1,062

..

Eastman Chemical Co. 2,702 130 255

..

Ecolab Inc. 4,983 359 1,346

..

FMC Corp. 2,575 97 348

..

Freeport-McMoRan Inc. 28,831 947 453

..

International Flavors & Fragrances Inc. 2,121 210 353

..

International Paper Co. 7,791 264 372

..

Martin Marietta Materials Inc. 1,241 205 348

..

Mosaic Co. (The) 6,947 357 118

..

Newmont Corp. 16,291 770 1,365

..

Nucor Corp. 6,025 351 339

..

Packaging Corp. of America 1,880 254 255

..

PPG Industries Inc. 4,698 214 676

..

Sealed Air Corp. 3,070 102 137

..

Sherwin-Williams Co. (The) 1,632 251 1,280

..

Vulcan Materials Co. 2,630 220 414

..

WestRock Co. 5,124 268 197

..

..

..

9,283 13,647 1.9%

.

.x

Real Estate

..

Alexandria Real Estate Equities Inc. 2,436 394 537

..

American Tower Corp. 8,801 776 3,089

..

Apartment Investment & Management Co., Class 'A' 2,958 120 151

..

AvalonBay Communities Inc. 2,775 432 583

..

Boston Properties Inc. 2,857 328 351

..

CBRE Group Inc., Class 'A' 6,651 200 408

..

Crown Castle International Corp. 8,261 717 1,877

..

Digital Realty Trust Inc. 5,358 787 1,034

..

Duke Realty Corp. 7,304 262 351

..

Equinix Inc. 1,767 753 1,685

..

Equity Residential 6,936 413 554

..

Essex Property Trust Inc. 1,313 297 409

..

Extra Space Storage Inc. 2,573 323 323

..

Federal Realty Investment Trust 1,395 284 161

..

Healthpeak Properties Inc. 9,835 392 368

..

Host Hotels & Resorts Inc. 14,251 238 209

..

Iron Mountain Inc. 5,705 208 202

..

Kimco Realty Corp. 8,390 229 146

..

Mid-America Apartment Communities Inc. 2,266 279 353

..

Prologis Inc. 14,663 1,190 1,858

..

Public Storage Inc. 2,985 405 778

..

Realty Income Corp. 6,476 463 523

..

Regency Centers Corp. 3,329 300 207

..

SBA Communications Corp. 2,237 445 905

..

Simon Property Group Inc. 6,097 758 566

..

SL Green Realty Corp. 1,619 270 108

..

UDR Inc. 5,823 286 295

..

Ventas Inc. 7,406 440 368

..

Vornado Realty Trust 3,147 310 163

..

Welltower Inc. 8,062 584 566

..

Weyerhaeuser Co. 14,806 484 451

..

..

..

13,367 19,579 2.7%

.

.x

Utilities

..

AES Corp. (The) 13,192 218 260

..

Alliant Energy Corp. 4,776 257 310

..

Ameren Corp. 4,888 234 467

..

American Electric Power Co. Inc. 9,815 515 1,061

..

American Water Works Co. Inc. 3,592 356 627

..

Atmos Energy Corp. 2,371 307 321

..

CenterPoint Energy Inc. 9,980 226 253

..

CMS Energy Corp. 5,640 155 447

..

Consolidated Edison Inc. 6,605 402 645

..

Dominion Energy Inc. 16,355 1,081 1,803

..

DTE Energy Co. 3,817 279 557

..

Duke Energy Corp. 14,486 1,059 1,571

..

Edison International 7,125 432 525

..

Entergy Corp. 3,956 444 504

..

Evergy Inc. 4,528 307 364

..

Eversource Energy 6,433 289 727

..

Exelon Corp. 19,316 1,186 952

..

FirstEnergy Corp. 10,736 626 565

..

NextEra Energy Inc. 9,712 1,051 3,167

..

NiSource Inc. 7,422 184 229

..

NRG Energy Inc. 4,999 133 221

..

Pinnacle West Capital Corp. 2,233 117 222

10




Security

Number

of Shares

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

..

PPL Corp. 14,367 544 504

..

Public Services Enterprise Group Inc. 10,049 462 671

..

Sempra Energy 5,601 510 891

..

Southern Co. (The) 20,839 997 1,467

..

WEC Energy Group Inc. 6,268 291 746

..

Xcel Energy Inc. 10,420 342 884

..

..

..

13,004 20,961 2.9%

.

.

..

TOTAL UNITED STATES EQUITIES 317,336 687,853 96.5%

.

.x

INTERNATIONAL EQUITIES

..

Bermuda

..

Everest Re Group Ltd. 810 274 227

..

..

..

274 227 0.0%

.

.x

Ireland

..

Accenture PLC, Class 'A' 12,619 1,135 3,678

..

Allegion PLC 1,846 106 256

..

Aon PLC 4,652 293 1,216

..

Eaton Corp. PLC 8,214 498 976

..

Johnson Controls International PLC 15,328 809 710

..

Linde PLC 10,674 1,747 3,074

..

Medtronic PLC 26,634 1,948 3,316

..

Pentair PLC 3,340 170 172

..

Perrigo Co. PLC 2,704 413 203

..

Seagate Technology PLC 4,593 129 302

..

STERIS PLC 1,684 332 351

..

Trane Technologies PLC 4,761 263 575

..

Willis Towers Watson PLC 2,554 467 683

..

..

..

8,310 15,512 2.2%

.

.x

Netherlands

..

LyondellBasell Industries NV, Class 'A' 5,101 301 455

..

Mylan NV 10,256 191 224

..

..

..

492 679 0.1%

.

.x

Switzerland

..

Chubb Ltd. 9,005 939 1,548

..

Garmin Ltd. 2,870 193 380

..

TE Connectivity Ltd. 6,646 319 735

..

..

..

1,451 2,663 0.4%

.

.x

United Kingdom

..

Amcor PLC 32,194 476 446

..

Aptiv PLC 5,072 228 536

..

IHS Markit Ltd. 7,968 542 817

..

Nielsen Holdings PLC 7,070 310 143

..

TechnipFMC PLC 8,350 295 78

..

..

..

1,851 2,020 0.3%

.

.

..

TOTAL INTERNATIONAL EQUITIES 12,378 21,101 3.0%

.

.

..

TOTAL EQUITIES 329,714 708,954 99.5%

.

.

..

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS 329,714 708,954 99.5%

.

.

Security

Coupon

Rate (%)

Maturity

Date Additional Details Par Value

Average

Cost

($000s)

Fair

Value

($000s)

% of

Net

Assets

x

SHORT-TERM INVESTMENTS (note 11)

..

Province of Ontario 0.49% 2020/10/19 Discount Note, USD 1,700,000 2,405 2,305

..

..

..

TOTAL SHORT-TERM INVESTMENTS 2,405 2,305 0.3%

.

.

..

Less: Transaction costs included in average cost (23)

.

..

..

TOTAL INVESTMENTS 332,096 711,259 99.8%

.

.

..

Margin 227 0.0%

..

Derivative assets 28 0.0%

..

Other Assets, less Liabilities 1,037 0.2%

..

..

..

TOTAL NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS 712,551 100.0%

.

.

..

x

x

Schedule of Derivative Assets and Liabilities - Futures Contracts (note 11)

Contracted

Value ($) Name of Future Expiry Date

Number of

Contracts Currency

Contracted

Price

Fair

Value ($)

Unrealized Gain

(Loss) ($000s)

x

..

2,069,915 United States S&P 500 E-Mini Index September 2020 10 USD 3,049.37 2,097,628

28

..

..

..

2,069,915 2,097,628

28

.

.

..

As at June 30, 2020, $227,465 cash was deposited as margin for the futures contracts.

11



Supplemental Schedule to Schedule of Investment Portfolio (unaudited)

Offsetting Arrangements (note 2d)

The Fund 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.

As at June 30, 2020 and December 31, 2019, the Fund did not enter into any arrangements whereby the financial instruments were eligible for offset.

Interests in Underlying Funds (note 4)

As at June 30, 2020 and December 31, 2019, the Fund had no investments in underlying funds where the ownership exceeded 20% of each underlying fund.

12



Financial Instrument Risks

Investment Objective: CIBC U.S. Index Fund (the Fund) seeks to provide long-term growth

through capital appreciation. The Fund is managed to obtain a return that approximates

the performance of the S&P 500 Index calculated on a total return basis, which is a

capitalization-weighted index of 500 stocks, designed to measure performance of the

broad U.S. economy representing all major industries.

Investment Strategies: The Fund uses passive management strategies to create a

portfolio with characteristics similar to the S&P 500 Index, allowing the Fund to obtain a

return that approximates the performance of that index in Canadian dollars.

Significant risks that are relevant to the Fund 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 Assets is defined as meaning “Net assets attributable to

holders of redeemable units".

Concentration Risk as at June 30, 2020 and December 31, 2019

The Schedule of Investment Portfolio presents the securities held by the Fund as at June

30, 2020.

The following table presents the investment sectors held by the Fund as at December 31,

2019 and groups the securities by asset type, industry sector, geographic region, or

currency exposure:

As at December 31, 2019

Portfolio Breakdown

% of Net

Assets

x

x

United States Equities

x

Communication Services 10.1

x

Consumer Discretionary 9.4

x

Consumer Staples 7.0

x

Energy 4.2

x

Financials 13.7

x

Health Care 13.0

x

Industrials 8.2

x

Information Technology 21.9

x

Materials 2.0

x

Real Estate 2.8

x

Utilities 3.2

x

International Equities

x

Bermuda 0.1

x

Ireland 2.4

x

Netherlands 0.1

x

Switzerland 0.4

x

United Kingdom 0.5

x

Short-Term Investments 0.8

x

Other Assets, less Liabilities 0.2

x

x

x

Total 100.0

x

x

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 counterparties related to over-the-counter

derivative contracts, where applicable.

As at June 30, 2020 and December 31, 2019, the Fund invested in debt securities with the

following credit ratings:

.

% of Net Assets

Debt Securities by Credit Rating (note 2b) June 30, 2020 December 31, 2019

x

x

'AAA' – 0.4

x

'A' 0.3 0.4

x

x

x

Total 0.3 0.8

x

x

Currency Risk

The tables that follow indicate the currencies to which the Fund had significant exposure

as at June 30, 2020 and December 31, 2019, based on the market value of the Fund's

financial instruments (including cash and cash equivalents) and the underlying principal

amounts of forward foreign currency contracts, as applicable.

As at June 30, 2020

Currency (note 2m)

Total Currency

Exposure* ($000s)

% of

Net Assets

x

x

USD 712,921 100.1

x

x

x

* Amounts reflect the carrying value of monetary and non-monetary items (including the notional

amount of forward foreign currency contracts, if any).


Currency (note 2m)

Total Currency

Exposure* ($000s)

% of

Net Assets

x

x

USD 685,419 99.9

x

x

x

* 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, 2020 and December 31,

2019 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, 2020 December 31, 2019

x

x

Impact on Net Assets ($000s) 7,129 6,854

x

x

Interest Rate Risk

As at June 30, 2020 and December 31, 2019, the majority of the Fund’s financial assets

and liabilities are non-interest bearing and short-term in nature; accordingly, the Fund is

not subject to significant amounts of risk due to fluctuations in the prevailing levels of

market interest rates.

Liquidity Risk

Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations

associated with financial liabilities. The Fund is exposed to daily cash redemptions of

redeemable units. The Fund maintains sufficient cash on hand to fund anticipated

redemptions.

With the exception of derivative contracts, where applicable, all of the Fund’s financial

liabilities are short-term liabilities maturing within 90 days after the period end.

For funds that hold derivative contracts with a term-to-maturity that exceeds 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.

Other Price/Market Risk

The table that follows indicates how net assets as at June 30, 2020 and December 31,

2019 would have increased or decreased had the value of the Fund’s benchmark(s)

increased or decreased by 1%. This change is estimated based on the historical

correlation between the return of Class A units of the Fund as compared to the return of

the Fund’s benchmark(s), using 36 monthly data points, as available, based on the

monthly net returns of the Fund. This analysis assumes that all other variables remain

unchanged. The historical correlation may not be representative of the future correlation

and, accordingly, the impact on net assets could be materially different.

x

Impact on Net Assets ($000s)

Benchmark June 30, 2020 December 31, 2019

x

x

S&P 500 Index

7,328 6,844

x

x

Fair Value Measurement of Financial Instruments

The following is a summary of the inputs used as at June 30, 2020 and December 31,

2019 in valuing the Fund’s financial assets and financial liabilities, carried at fair value:

13



As at June 30, 2020

Level 1 (i) Level 2 (ii) Level 3 (iii) Total

Classification ($000s) ($000s) ($000s) ($000s)

x

x

Financial Assets

x

Short-Term Investments – 2,305 – 2,305

x

Equities 708,954 – – 708,954

x

Derivative assets 28 – – 28

x

x

x

Total Financial Assets 708,982 2,305 – 711,287

x

x

x

(i) Quoted prices in active markets for identical assets

x

(ii) Significant other observable inputs

x

(iii) Significant unobservable inputs


Level 1 (i) Level 2 (ii) Level 3 (iii) Total

Classification ($000s) ($000s) ($000s) ($000s)

x

x

Financial Assets

x

Short-Term Investments – 5,732 – 5,732

x

Equities 678,810 – – 678,810

x

Derivative assets 70 – – 70

x

x

x

Total Financial Assets 678,880 5,732 – 684,612

x

x

x

(i) Quoted prices in active markets for identical assets

x

(ii) Significant other observable inputs

x

(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, 2020 and December 31, 2019, 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, 2020 and December 31, 2019, 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 Fund did not hold any Level 3 investments at the beginning of, during, or at the end of

either reporting period.

14

Notes to Financial Statements (unaudited)

x

As at and for the periods as disclosed in the financial statements (see note 1)

1. Organization of the Funds and Financial Reporting Periods

Each of the CIBC Mutual Funds and CIBC Family of 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.

CIBC Securities Inc. is the principal distributor, Canadian Imperial Bank of Commerce (CIBC) is the manager (the Manager), and CIBC Trust Corporation is the trustee (the Trustee) of the Funds.

Each Fund is permitted to have an unlimited number of classes or series of units and may issue an unlimited number of units of each class or series. In the future, the offering of any classes or series of units of a Fund

may be terminated or additional classes or series of units may be offered. The following table indicates the classes or series of units offered for sale by each of the Funds, as at the date of these financial statements:

x

Funds Class A Class T4 Class T6 Class T8

Premium

Class Class D Class F

Institutional

Class Class O

x

x

CIBC Canadian T-Bill Fund

ü ü

x

CIBC Money Market Fund

ü ü ü

x

CIBC U.S. Dollar Money Market Fund

ü ü ü

x

CIBC Short-Term Income Fund

ü ü ü

x

CIBC Canadian Bond Fund

ü ü ü

x

CIBC Monthly Income Fund

ü ü

x

CIBC Global Bond Fund

ü ü

x

CIBC Global Monthly Income Fund

ü ü

x

CIBC Balanced Fund

ü

x

CIBC Dividend Income Fund

ü ü

x

CIBC Dividend Growth Fund

ü ü

x

CIBC Canadian Equity Fund

ü ü

x

CIBC Canadian Equity Value Fund

ü ü

x

CIBC Canadian Small-Cap Fund

ü

x

CIBC U.S. Equity Fund

ü ü

x

CIBC U.S. Small Companies Fund

ü ü

x

CIBC Global Equity Fund

ü

x

CIBC International Equity Fund

ü ü

x

CIBC European Equity Fund

ü ü

x

CIBC Emerging Markets Fund

ü ü

x

CIBC Asia Pacific Fund

ü ü

x

CIBC International Small Companies Fund

ü

x

CIBC Financial Companies Fund

ü

x

CIBC Canadian Resources Fund

ü ü

x

CIBC Energy Fund

ü ü

x

CIBC Canadian Real Estate Fund

ü ü

x

CIBC Precious Metals Fund

ü ü

x

CIBC Global Technology Fund

ü

x

CIBC Canadian Short-Term Bond Index Fund

ü ü ü ü

x

CIBC Canadian Bond Index Fund

ü ü ü ü

x

CIBC Global Bond Index Fund

ü ü ü ü

x

CIBC Balanced Index Fund

ü ü ü

x

CIBC Canadian Index Fund

ü ü ü ü

x

CIBC U.S. Broad Market Index Fund

ü ü ü ü

x


ü ü ü ü

x

CIBC International Index Fund

ü ü ü ü

x

CIBC European Index Fund

ü ü ü

x

CIBC Emerging Markets Index Fund

ü ü ü ü

x

CIBC Asia Pacific Index Fund

ü ü ü ü

x

CIBC Nasdaq Index Fund

ü ü ü

x

CIBC Managed Income Portfolio

ü ü ü

x

CIBC Managed Income Plus Portfolio

ü ü ü

x

CIBC Managed Balanced Portfolio

ü ü ü ü

x

CIBC Managed Monthly Income Balanced

Portfolio

ü ü ü

x

CIBC Managed Balanced Growth Portfolio

ü ü ü ü

x

CIBC Managed Growth Portfolio

ü ü ü ü

x

CIBC Managed Aggressive Growth Portfolio

ü ü ü ü

x

CIBC U.S. Dollar Managed Income Portfolio

ü ü ü

x

CIBC U.S. Dollar Managed Balanced Portfolio

ü ü ü ü

x

CIBC U.S. Dollar Managed Growth Portfolio

ü ü ü ü

15

p / 2 Notes to Financial Statements (unaudited)

x

Passive Portfolios Class A Class T4 Class T6 Class T8 Premium Class Class D Class F Institutional Class Class O

x

CIBC Conservative Passive Portfolio

ü ü ü ü

x

CIBC Balanced Passive Portfolio

ü ü ü ü

x

CIBC Balanced Growth Passive Portfolio

ü ü ü ü

x

x

Smart Investment Solutions Series A Series T5 Series F Series FT5 Series S Series ST5

x

x

CIBC Smart Income Solution

ü ü ü ü ü ü

x

CIBC Smart Balanced Income Solution

ü ü ü ü ü ü

x

CIBC Smart Balanced Solution

ü ü ü ü ü ü

x

CIBC Smart Balanced Growth Solution

ü ü ü ü ü ü

x

CIBC Smart Growth Solution

ü ü ü ü ü ü

x

Each class or series of units may charge a different management fee. Operating expenses can be either common, class-specific or series-specific. Class-specific or series-specific expenses are allocated on a

class-by-class or series-by-series basis. As a result, a separate net asset value per unit is calculated for each class or series of units.

Class A and Series A units are available to all investors on a no-load basis with a minimum investment of $500. Investors may have to pay a short-term trading fee if applicable.

Class T4, T6, and T8 units have the same characteristics as Class A units, except that they each intend to pay a fixed distribution amount per unit, which results in a separate net asset value per unit for each class, and

they may have different minimum investment requirements.

Class D units are available to investors who have accounts with CIBC Investor’s Edge (a division of CIBC Investor Services Inc.) or other discount brokers with a minimum investment of $500.

Class F units are available, subject to a minimum investment of $500, to investors participating in programs that do not require the payment of sales charges by investors and do not require the payment of service or

trailing commissions to dealers. For these investors, we “unbundle” the typical distribution costs and charge a lower management fee. Potential investors include clients of “fee-for-service” investment advisors,

dealer-sponsored “wrap accounts”, and others who pay an annual fee to their dealer instead of transactional sales charges and where the dealer does not receive service fees or trailing commissions from us.

Premium Class units are available to investors on a no-load basis with a minimum investment of $100,000 for CIBC Canadian T-Bill Fund and CIBC Money Market Fund, US$100,000 for CIBC U.S. Dollar Money Market

Fund, $50,000 for CIBC Short-Term Income Fund, CIBC Canadian Bond Fund, CIBC Canadian Short-Term Bond Index Fund, CIBC Canadian Bond Index Fund, CIBC Global Bond Index Fund, CIBC Balanced Index Fund,

CIBC Canadian Index Fund, CIBC U.S. Broad Market Index Fund, CIBC U.S. Index Fund, CIBC International Index Fund, CIBC European Index Fund, CIBC Emerging Markets Index Fund, CIBC Asia Pacific Index Fund, and

CIBC Nasdaq Index Fund, and US$50,000 for the U.S. dollar purchase option of CIBC U.S. Broad Market Index Fund and CIBC Nasdaq Index Fund. Management fees charged in respect of Premium Class units are lower

than those charged in respect of Class A units.

Institutional Class units are available to investors with a minimum investment of $50,000. Institutional Class units are available to investors participating in programs that do not require the payment of sales charges by

investors and do not require the payment of service or trailing commissions to dealers, and others who pay an annual fee to their dealer. For these investors, we “unbundle” the typical distribution costs and charge a

lower management fee. Potential investors include institutional clients, clients of “fee-for-service” investment advisors, dealer sponsored “wrap accounts”, and others who pay an annual fee to their dealer instead of

transactional sales charges and where the dealer does not receive service fees or trailing commissions from the Manager.

Class O units are only available to certain investors who have been approved by and have entered into a Class O unit account agreement with the Manager or whose dealer or discretionary manager offers separately

managed accounts or similar programs and has entered into a Class O unit account agreement with the Manager. These investors are typically financial services companies, including the Manager, that use Class O

units of a fund to facilitate offering other products to investors. No management fees or operating expenses are charged to a fund in respect of Class O units; instead, a negotiated management fee is charged by the

Manager directly to, or as directed by, Class O unitholders or dealers and discretionary managers on behalf of unitholders.

Series F units are available, subject to certain minimum investment requirements, to investors participating in programs that do not require the payment of sales charges by investors and do not require the payment of

service or trailing commissions to dealers. For these investors, we “unbundle” the typical distribution costs and charge a lower management fee. Potential investors include clients of “fee-for-service” investment

advisors, dealer-sponsored “wrap accounts”, and others who pay an annual fee to their dealer instead of transactional sales charges and where the dealer does not receive service fees or trailing commissions from us.

Series S units are only available for purchase by mutual funds, asset allocation services or discretionary managed accounts offered by the manager or its affiliates.

Series T5 units have the same characteristics as Series A units, FT5 units have the same characteristics as Series F units and ST5 units have the same characteristics as Series S units except that Series T5 units,

Series FT5 units and Series ST5 units may have different minimum investment requirements and they intend to pay a fixed distribution amount per unit, which results in a separate net asset value per unit for each

Series.

The date upon which each Fund was established by Declaration of Trust (Date Established) and the date upon which each class or series of units of each Fund was first sold to the public (Inception Date) are reported in

the footnote Organization of the Fund on the Statements of Financial Position.

The Schedule of Investment Portfolio of each of the Funds is as at June 30, 2020. The Statements of Financial Position of each of the Funds are as at June 30, 2020 and December 31, 2019. The Statements of

Comprehensive Income, Statements of Changes in Net Assets Attributable to Holders of Redeemable Units, and the Statements of Cash Flows of each of the Funds are for the six-month periods ended June 30, 2020

and 2019, except for Funds, classes or series established during either period, in which case the information presented is from the Date Established or the Inception Date to June 30, 2020 and 2019.

These financial statements were approved for issuance by the Manager on August 14, 2020.

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 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 International Financial Reporting Standards. 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 International Financial Reporting Standards (IFRS), these financial statements include estimates and assumptions made by

management that affect the reported amounts of assets, liabilities, income, and expenses during the reporting periods. However, existing 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

Under IFRS 9 Financial Instruments, the Funds classify financial assets into one of three categories based on the entity’s business model for managing financial assets and the contractual cash flow characteristics of

the financial assets. Those categories are:

l Amortized Cost - Assets held within a business model whose objective is to collect cash flows and where the contractual cash flows of the assets are solely payments of principal and interest (SPPI

criterion). Amortization of the asset is calculated utilizing the Effective Interest Rate Method.

l Fair Value Through Other Comprehensive Income (FVOCI) - Financial assets such as debt instruments that meet the SPPI criterion and are held within a business model with objectives that include both

collecting the associated contractual cash flows and selling financial assets. Gains and losses are reclassified to profit or loss upon derecognition for debt instruments but remain in other comprehensive

income for equity instruments.

l Fair Value Through Profit or Loss (FVTPL) - A financial asset is measured at FVTPL unless it is measured at Amortized Cost or FVOCI. Derivative contracts are measured at FVTPL. For all instruments classified

as FVTPL, the gains and losses are recognized in profit or loss.

16

Notes to Financial Statements (unaudited) p / 3

Financial liabilities are classified at FVTPL when they meet the definition of held-for-trading (HFT) or when they are designated as FVTPL on initial recognition using the fair value option.

The Manager has assessed the business models of the Funds and has determined that the Funds’ portfolio of financial assets and financial liabilities are managed and performance is evaluated on a fair value basis in

accordance with the Funds’ risk management and investment strategies; therefore, classification and measurement of financial assets is FVTPL.

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 extent of exposure to various types of risk, including diversification within asset classes and limits on the exposure to individual

investments and counterparties. In addition, derivative financial instruments may be used to manage certain risk exposures. 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 notes 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: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date;

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

Level 3: Inputs are unobservable for the asset or liability.

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 approximate 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 that 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 fixed 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 fixed income securities and derivatives as presented on the Schedule of Investment Portfolio includes consideration of the creditworthiness of the issuer and, accordingly, represents the maximum credit risk

exposure of the Funds. Certain Funds may invest in short-term fixed income securities issued or guaranteed primarily by the Government of Canada or, any Canadian provincial or Canadian municipal government,

obligations of Canadian chartered banks or trust companies, and commercial paper with approved credit ratings. The risk of default on these short-term fixed 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% of 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 exchange rates. Mutual funds may invest in securities denominated or traded in currencies other than the Funds’

reporting currency.

Interest rate risk

Prices of fixed 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 fixed income securities will generally

fluctuate more in response to interest rate changes than would shorter-term securities. Due to the nature of short-term fixed income securities with a remaining term-to-maturity of less than one year, these

investments are not generally exposed 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 exposed 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 a 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, such as pandemics or disasters which occur naturally or are exacerbated by climate change. Pandemics such as coronavirus disease 2019 (COVID-19) may

adversely affect global markets and the performance of the Funds. All investments are exposed 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 fixed income securities except for zero coupon bonds, which are amortized on a straight-line basis.

ii) Dividend income is recorded on the ex-dividend date.

iii) Investment transactions are recorded on a trade date basis. Securities that are exchange-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. Gold bullion recorded

at fair value established by the last traded market price when the price falls within that day’s bid-ask spread. Unlisted securities are recorded at fair value using fair valuation techniques established by the

Manager in establishing a fair value.

17

p / 4 Notes to Financial Statements (unaudited)

iv) Realized gains and losses on investments and unrealized appreciation or depreciation of investments are calculated using the average cost, excluding transaction costs, of the related investments.

v) Investment income is the sum of income paid to the Fund that is generated from a Fund’s investment fund holdings.

vi) Other income is the sum of income, excluding 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 excluded from the average cost of investments and are recognized immediately in Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units and are presented as a separate

expense item in the financial statements.

The difference between the fair value of securities and their average cost, excluding 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 approximates the fair value. Accrued interest for bonds is disclosed separately on the Statements of

Financial Position.

f) Foreign Exchange

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 (except for CIBC U.S. Dollar

Money Market Fund, CIBC U.S. Dollar Managed Income Portfolio, CIBC U.S. Dollar Managed Balanced Portfolio, and CIBC U.S. Dollar Managed Growth Portfolio, which are valued in U.S. dollars) at the current rates

prevailing on each valuation date.

Purchases and sales of investments, income, and expenses are translated into Canadian dollars, which is the Funds’ functional and presentation currency (with the exception of the above-mentioned Funds which are

valued in U.S. dollars) at the foreign exchange 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 and in Income, respectively, on the Statements of Comprehensive Income.

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 Funds that use the forward foreign currency contracts for hedging, or as Derivative income (loss) from forward foreign currency contracts for Funds that do not use the forward foreign currency

contracts for hedging.

h) Futures Contracts

The Funds may enter into futures 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.

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)

from futures contracts on the Statements of Comprehensive Income.

i) Options

The Funds may enter into options 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.

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 expires, 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 exercised, 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 expire unexercised 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 exceeds 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 exercised, 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 exceed 50% of the

fair value of the assets of that Fund (excluding collateral debt for the loaned securities). The minimum allowable collateral is 102% of 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) Qualified securities.

iii) Irrevocable letters of credit issued by a Canadian financial institution that is not the counterparty, or an affiliate counterparty, of the fund 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.

iv) 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 Fund on the next 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 the footnote Securities Lending on the Statements of Financial Position.

18

Notes to Financial Statements (unaudited) p / 5

National Instrument 81-106 – Investment Fund Continuous Disclosure requires a reconciliation of the gross income 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,

Documents

CIBCU.S.IndexFund InterimFinancialReports(unaudited) · Theaccompanyingnotesareanintegralpartofthesefinancialstatements. x CIBCU.S.IndexFund x StatementsofCashFlows(unaudited) (in000s)