Semi-Annual Financial Statements€¦ · Tourmaline oil Corp. (47,270) TransGlobe energy Corp. (459,993) Turquoise Hill resources Ltd. (6,240) Valeant Pharmaceuticals International

Trident Performance Corp.

Trident Performance Corp. II

Trident Performance Trust

Semi-Annual Financial Statementsfor the period ended June 30, 2013

2013

Table of Contents

TrIdeNT PerForMANCe CorP.

Financial Statements

Statement of Investment Portfolio . . . . . . . . . . . 1

Statements of Net Assets . . . . . . . . . . . . . . . . . . 3

Statements of operations and

retained earnings (deficit) . . . . . . . . . . . . . . 4

Statements of Changes in Net Assets . . . . . . . . . 5

Statements of Cash Flows . . . . . . . . . . . . . . . . . 6

Corporation Specific Financial

Instruments risks . . . . . . . . . . . . . . . . . . . . . 7

TrIdeNT PerForMANCe CorP. II








Corporation Specific Financial


TrIdeNT PerForMANCe TrUST








Trust Specific Financial


Notes to the Financial Statements . . . . . . . . . . . 29

Corporations and Trust Information . . . . . . . . . . 39

CI Investments Inc., the Manager of the Corporations and the Trust, appoints independent auditors to audit the Corporations’ and the

Trust’s Annual Financial Statements. Under Canadian securities laws (National Instrument 81-106), if an auditor has not reviewed the

Semi-Annual Financial Statements, this must be disclosed in an accompanying notice.

The Corporations’ and the Trust’s independent auditors have not performed a review of these Semi-Annual Financial Statements in

accordance with standards established by the Canadian Institute of Chartered Accountants.

11Semi-Annual Financial Statements as at June 30, 2013

Average Fair

Number of Shares Description Cost ($) Value ($)

Equities Subject to Forward Agreement (18.1%)

328 Catamaran Corp.* 15,951 16,774

1,463 CGI Group Inc.* 46,480 45,060

10,000 detour Gold Corp.* 314,300 82,400

4,319 First Majestic Silver Corp.* 46,472 47,941

104,478 Legacy oil & Gas Inc.* 1,750,007 516,121

2,680 MeG energy Corp.* 104,708 76,970

1,000 New Gold Inc.* 10,050 6,750

3,922 Sierra Wireless Inc.* 46,476 52,555

4,416 Tahoe resources Inc.* 88,717 65,092

1,122 Tourmaline oil Corp.* 46,473 47,124

70,551 TransGlobe energy Corp.* 1,016,640 459,993

1,000 Turquoise Hill resources Ltd.* 8,910 6,230

611 Valeant Pharmaceuticals International Inc.* 46,473 55,234

Commissions and other portfolio transaction costs –

Total Equities Subject to Forward Agreement (18.1%) 3,541,657 1,478,244

DERIVATIVE INSTRUMENTS

Forward Agreement (75.6%)

(see Schedule A) 6,162,923

Total Investments (93.7%) 3,541,657 7,641,167

Other Net Assets (Liabilities) (6.3%) 506,947

Net Assets (100.0%) 8,148,114

Statement of Investment Portfolio (as at June 30, 2013)

*Securities sold forward as part of the Forward Agreement.

Percentages shown in brackets relate investments at fair value to net assets of the Corporation.

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


Financial Statements (unaudited)


Schedule A


Investments sold forward Fair Value ($)

Catamaran Corp. (16,790)

CGI Group Inc. (45,060)

detour Gold Corp. (82,500)

First Majestic Silver Corp. (48,200)

Legacy oil & Gas Inc. (517,166)

MeG energy Corp. (77,264)

New Gold Inc. (6,810)

Sierra Wireless Inc. (52,672)

Tahoe resources Inc. (65,843)

Tourmaline oil Corp. (47,270)

TransGlobe energy Corp. (459,993)

Turquoise Hill resources Ltd. (6,240)

Valeant Pharmaceuticals International Inc. (55,405)

(1,481,213)

Notional Units Underlying Trust Fair Value ($)

586,954 Trident Performance Trust, Class A 7,644,136

Total Forward Agreement Value 6,162,923

Settlement Date 28-Feb.-2018

Credit Rating of the Counterparty‡ A-2

Statement of Investment Portfolio (as at June 30, 2013) (cont’d)

‡Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond Rating

Services or Canadian Bond Rating Services.

Percentages shown in brackets relate investments at fair value to net assets of the Corporation.



Financial Statements (unaudited) (cont’d)

ASSeTS

Investments at fair value*

Cash

Unrealized gain on forward agreement

receivable for securities sold

dividends and accrued interest receivable

LIAbILITIeS

Payable for securities purchased

Payable for share redemptions

Management fees payable

Unrealized loss on forward agreement

Service fees payable

Spread fee payable

Forward fee payable

Accrued expenses

Net assets and shareholders’ equity

SHAreHoLderS’ eqUITy

Share capital

Contributed surplus

retained earnings (deficit)


*Investments at cost

Net assets per class

Class A

Class F

Net assets per share (Note 8)

Class A

Class F

Number of shares outstanding (Note 3)

Class A

Class F

As at As at

June 30, 2013 December 31, 2012

1,478 2,120

523 526

6,163 5,423

– 3,260

– –

8,164 11,329

– –

– 3,228

2 3

– –

8 12

– –

3 5

3 4

16 3,252

8,148 8,077

7,102 7,103

– –

1,046 974

8,148 8,077

3,542 3,907

8,078 8,008

70 69

11.13 11.03

11.63 11.50

726,110 726,110

6,000 6,000


Statements of Net Assets (in $000’s except for per share amounts and number of shares outstanding)





Statements of Operations and Retained Earnings (Deficit) (in $000’s except for per share amounts)




INVeSTMeNT INCoMedividendsInterest derivative income (loss)Income distribution from investmentsFees rebateLess: Foreign withholding taxes

exPeNSeSManagement fees (Note 4)Administrative fees (Note 4)Service fees (Note 4)Legal feesAudit feesInterest expenseIndependent review committee feesHarmonized sales tax

Net investment income (loss) for the period

Realized and unrealized gain (loss) on investments and commissions and other portfolio transaction costs

realized gain (loss) on investmentsForeign exchange gain (loss)Commissions and other portfolio transaction costsForward fee (Note 4)Change in unrealized appreciation (depreciation) of investments and derivativesNet gain (loss) on investments

Increase (decrease) in net assets from operations

Increase (decrease) in net assets from operations per classClass AClass F

Increase (decrease) in net assets from operations per share (Note 2)Class AClass F

STATeMeNTS oF reTAINed eArNINGS (deFICIT)Retained earnings (deficit), beginning of periodIncrease (decrease) in net assets from operations(excess) deficiency on amounts paid on shares redeemeddividends from incomedividends from realized gainsRetained earnings (deficit), end of period

Contributed surplus, beginning of period(excess) deficiency on amounts paid on shares redeemedContributed surplus, end of period

For the periods ended June 30

2013 2012

– –2 4– –– –– –– –2 4

10 169 16

16 –– –1 21– –– –4 6

40 59

(38) (55)

(332) (1,459)– –– –

(21) (34) 463 1,317110 (176)

72 (231)

71 (227)1 (4)

0.09 (0.21)0.12 (0.25)

974 1,58772 (231)

– –– –– –

1,046 1,356

– –– –– –

CLASS A

Net assets, beginning of period

CAPITAL TrANSACTIoNS

Amounts paid for shares redeemed

(excess) deficiency on amounts paid on shares redeemed

Conversion of special shares

dIVIdeNdS To INVeSTorS

From realized gains

From net income

From return of capital


Net assets, end of period

CLASS F







From realized gains

From net income




ToTAL CorPorATIoN







From realized gains

From net income





Statements of Changes in Net Assets (in $000’s)


2013 2012

8,008 11,401

(1) –

– –

– –

(1) –

– –

– –

– –

– –

71 (227)

8,078 11,174

69 130

– –

– –

– –

– –

– –– –

– –

– –

1 (4)

70 126

8,077 11,531

(1) –

– –

– –

(1) –

– –

– –

– –

– –

72 (231)

8,148 11,300






Statements of Cash Flows (in $000’s)



CASH ProVIded by (USed IN)

oPerATING ACTIVITIeS

Net investment income (loss)

Proceeds from disposition of investments

Purchase of investments

Net change in non-cash balances related to operations

FINANCING ACTIVITIeS

Proceeds from shares issued

Cost of shares redeemed

Increase (decrease) in cash during the period

Cash (Bank overdraft), beginning of period

Cash (Bank overdraft), end of period


2013 2012

(38) (55)

3,502 17,882

(232) (349)

(6) (28)

3,226 17,450

– –

(3,229) (17,328)

(3,229) (17,328)

(3) 122

526 486

523 608




Corporation Specific Financial Instruments Risks (unaudited) (Note 12)

The Corporation is exposed to the financial instrument risks of the Trident Performance Trust (“the Trust”). The Corporation was created to obtain

exposure to the Global Macroeconomic Portfolio held by the Trust by virtue of the Forward Agreement. by entering into the Forward Agreement

the Corporation eliminated the direct risk exposure to its common share portfolio, and assumed the risk exposure of the Trust, as well as credit risk

to the Counterparty of the Forward Agreement in respect of any positive amount of the value of the Forward Agreement. details of the Trust’s financial

instruments risks exposure can be found in the Trust Specific Financial Instruments risks in the Trust’s financial statements. As at June 30, 2013, the

credit rating of the Counterparty to the Forward Agreement was A-2 (december 31, 2012 - A-2).

For details relating to other price risk and fair value hierarchy, refer to the audited annual financial statements as at december 31, 2012, as the

Corporation's exposure to those risks remains unchanged.


Average Fair

Number of Shares Description Cost ($) Value ($)

Equities Subject to Forward Agreement (41.3%)

29,042 Athabasca oil Corp.* 300,004 188,773

18,682 ATS Automation Tooling Systems Inc.* 191,117 207,370

10,933 Canfor Corp.* 191,109 203,354

1,000 Catamaran Corp.* 47,630 51,140

20,572 Celestica Inc.* 191,114 203,869

11,029 CGI Group Inc.* 299,989 339,693

217,868 Crew energy Inc.* 3,474,995 1,126,378

17,313 detour Gold Corp.* 533,240 142,659

12,366 First Majestic Silver Corp.* 275,020 137,263

33,670 Great Canadian Gaming Corp.* 300,000 334,006

27,273 Horizon S&P/TSx 60 Index eTF* 300,003 289,367

1,000 MeG energy Corp.* 33,970 28,720

50,174 research In Motion Ltd.* 2,951,235 550,911

16,060 Sierra Wireless Inc.* 191,114 215,204

19,645 Tahoe resources Inc.* 298,211 289,567

1,000 Tourmaline oil Corp.* 26,300 42,000

1,000 Valeant Pharmaceuticals International Inc.* 54,460 90,400

Commissions and other portfolio transaction costs –

Total Equities Subject to Forward Agreement (41.3%) 9,659,511 4,440,674



(see Schedule A) 6,041,857


Other Net Assets (Liabilities) (2.5%) 268,917

Net Assets (100.0%) 10,751,448


*Securities sold forward as part of the Forward Agreement.

Percentages shown in brackets relate investments at fair value to net assets of the Corporation II.





Schedule A


Investments sold forward Fair Value ($)

Athabasca oil Corp. (189,063)

ATS Automation Tooling Systems Inc. (207,370)

Canfor Corp. (203,354)

Catamaran Corp. (51,190)

Celestica Inc. (203,869)

CGI Group Inc. (339,693)

Crew energy Inc. (1,128,556)

detour Gold Corp. (142,832)

First Majestic Silver Corp. (138,005)

Great Canadian Gaming Corp. (336,700)

Horizon S&P/TSx 60 Index eTF (290,185)

MeG energy Corp. (28,830)

research In Motion Ltd. (555,928)

Sierra Wireless Inc. (215,686)

Tahoe resources Inc. (292,907)

Tourmaline oil Corp. (42,130)

Valeant Pharmaceuticals International Inc. (90,680)

(4,456,978)

Notional Units Underlying Trust Fair Value ($)

1,057,969 Trident Performance Trust, Class A II 10,498,835

Total Forward Agreement Value 6,041,857

Settlement Date 28-Feb.-2018

Credit Rating of the Counterparty‡ A-2


‡Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond Rating

Services or Canadian Bond Rating Services.

Percentages shown in brackets relate investments at fair value to net assets of the Corporation II.




ASSeTS


Cash

Unrealized gain on forward agreement


Income tax recoverable


LIAbILITIeS


Payable for share redemptions


Unrealized loss on forward agreement

Service fees payable

Forward fee payable

distribution payable

Accrued expenses


SHAreHoLderS’ eqUITy

Share capital

Contributed surplus




Net assets per share (Note 8)

Class A

Number of shares outstanding (Note 3)

Class A


Statements of Net Assets (in $000’s except for per share amounts and number of shares outstanding)




As at As at

June 30, 2013 December 31, 2012

4,441 4,169

256 1,816

6,042 4,696

– 2,600

35 35

– –

10,774 13,316

– –

– 2,578

2 3

– –

12 14

4 4

– –

5 5

23 2,604

10,751 10,712

11,650 11,651

2,164 2,164

(3,063) (3,103)

10,751 10,712

9,660 9,766

8.63 8.60

1,245,245 1,245,245


Statements of Operations and Retained Earnings (Deficit) (in $000’s except for per share amounts)





2013 2012

– –

4 –

– –

– –

– –

– –

4 –

14 18

12 18

– –

– –

21 25

– –

1 –

– –

1 7

49 68

(45) (68)

(1,607) –

– –

– –

(32) (33)

1,724 (148)

85 (181)

40 (249)

0.02 (0.15)

(3,103) (2,863)

40 (249)

– –

– –

– –

(3,063) (3,112)

2,164 1,942

– –

2,164 1,942

INVeSTMeNT INCoMe

dividends

Interest

derivative income (loss)

Income distribution from investments

Fees rebate

Less: Foreign withholding taxes

exPeNSeS

Management fees (Note 4)

Administrative fees (Note 4)

Interest expense

Custody fees

Service fees (Note 4)

Legal fees

Audit fees

Independent review committee fee

Harmonized sales tax


Realized and unrealized gain (loss) on investments and commissions

and other portfolio transaction costs

realized gain (loss) on investments

Foreign exchange gain (loss)

Commissions and other portfolio transaction costs

Forward fee (Note 4)

Change in unrealized appreciation (depreciation) of investments and derivatives

Net gain (loss) on investments


Increase (decrease) in net assets from operations per share

STATeMeNTS oF reTAINed eArNINGS (deFICIT)

Retained earnings (deficit), beginning of period



dividends from income

dividends from realized gains

Retained earnings (deficit), end of period

Contributed surplus, beginning of period


Contributed surplus, end of period






Proceeds from sale of investments




distribution paid





CLASS A



Proceeds from shares issued




From realized gains

From net income





2013 2012

10,712 13,533

– –

(1) –

– –

(1) –

– –

– –

– –

– –

40 (249)

10,751 13,284






2013 2012

(45) (68)

3,632 10,438

(2,565) –

(3) (20)

1,019 10,350

– (215)

(2,579) (10,046)

(2,579) (10,261)

(1,560) 89

1,816 227

256 316




Corporation II Specific Financial Instruments Risks (unaudited) (Note 12)

The Corporation II is exposed to the financial instrument risks of the Trident Performance Trust (“the Trust”). The Corporation II was created

to obtain exposure to the Global Macroeconomic Portfolio held by the Trust by virtue of the Forward Agreement. by entering into the Forward

Agreement the Corporation II eliminated the direct risk exposure to its common share portfolio, and assumed risk exposure of the Trust, as well

as credit risk to the Counterparty of the Forward Agreement in respect of any positive amount of the value of the Forward Agreement. details of

the Trust’s financial instruments risks exposure can be found in the Trust Specific Financial Instruments risks in the Trust’s financial statements.

As at June 30, 2013, the credit rating of the Counterparty to the Forward Agreement was A-2 (december 31, 2012 - A-2).

For details relating to other price risk and fair value hierarchy, refer to the audited annual financial statements as at december 31, 2012, as the

Corporation's II exposure to those risks remains unchanged.

10% (december 31, 2011 - 10%), with all other variables held constant, net assets of the may


Number of Shares/ Average Fair

Par Value Description Cost ($) Value ($)

LONG POSITIONS (72.9%)

JAPAN (33.2%)

4,000 Aeon Co., Ltd. 48,817 55,231

14,000 Aozora bank Ltd. 43,504 45,729

3,880 Asahi Group Holdings Ltd. 99,331 101,140

9,486 bank of Kyoto Ltd. 85,876 83,195

14,400 bank of yokohama Ltd. 75,209 77,730

2,568 Canon Inc. 96,378 87,964

1,300 Central Japan railway Co. 126,806 167,230

11,680 Chiba bank Ltd. 82,832 83,486

10,080 CHIyodA Corp. 117,542 124,429

1,800 east Japan railway Co. 131,906 146,985

644 FANUC Corp. 100,857 97,868

23 Fuji Media Holdings Inc. 41,070 48,685

1,840 Fujisoft Inc. 49,250 40,509

28,200 Fukuoka Financial Group Inc. 125,123 126,203

8,720 H2o retailing Corp. 94,698 83,505

26,800 Hitachi Ltd. 203,893 180,475

12,600 IHI Corp. 53,018 50,108

68 Inpex Corp. 422,982 297,830

5,160 IToCHU Corp. 52,746 62,656

960 IToCHU Techno-Solutions Corp. 45,649 41,792

2,652 Japan Tobacco Inc. 79,772 98,435

2,760 JGC Corp. 70,293 104,200

10,000 Jx Holdings Inc. 54,907 50,798

7,200 Kamigumi Co., Ltd. 61,705 60,856

13,600 Kawasaki Heavy Industries Ltd. 52,681 43,989

7,600 Kirin Holdings Co., Ltd 98,419 125,088

4,800 LIxIL Group Corp. 112,269 123,035

11,140 Mitsubishi Corp. 204,356 200,601

12,720 Mitsubishi Heavy Industries Ltd. 95,076 73,923

37,080 Mitsubishi UFJ Financial Group Inc. 218,103 240,265

8,800 Mitsubishi UFJ Lease & Finance Co., Ltd. 53,188 43,769

14,820 Mitsui & Co., Ltd. 203,279 195,671

88,120 Mizuho Financial Group Inc. 184,390 191,575

3,200 Modec Inc. 99,299 98,211

11,400 Nippon express Co., Ltd. 48,125 56,701

2,800 Nippon Television Network Corp. 39,230 53,776

11,800 Nisshinbo Holdings Inc. 88,235 88,223

1,640 Nomura research Institute Ltd. 49,944 56,003

31 NTT data Corp. 99,013 115,393

13,600 orIx Corp. 192,678 194,419

22,800 Sapporo Holdings Ltd. 101,187 87,529

1,840 SCSK Corp. 40,373 37,134

800 Secom Co., Ltd. 42,384 45,644

9,000 Senshu Ikeda Holdings Inc. 49,735 48,868

1,280 Seven & I Holdings Co., Ltd. 41,305 49,139

7,840 Shizuoka bank Ltd. 86,397 88,630

9,378 Showa Shell Sekiyu K.K. 83,599 81,055

2,080 Softbank Corp. 93,558 127,497

8,000 Sony Corp. 146,943 176,212

6,120 Sony Financial Holdings Inc. 95,756 101,378

7,970 Sumitomo Corp. 102,080 104,384

3,924 Sumitomo Mitsui Financial Group Inc. 165,524 188,927

1,820 Takeda Pharmaceutical Co., Ltd. 98,281 86,372

9,400 The 77th bank, Ltd. 42,827 46,753


Percentages shown in brackets relate investments at fair value to net assets of the Trust.




Semi-Annual Financial Statements as at June 30, 2013 15

††CI Investments Inc., the Manager, is a corporation controlled by CI Financial Corp. The Bank of Nova Scotia has a significant interest in CI Financial Corp.

Investments in The Bank of Nova Scotia are identified above.








LONG POSITIONS (72.9%) (cont’d)

JAPAN (33.2%) (cont’d)

64 The dai-ichi Life Insurance Co., Ltd. 108,575 97,057

3,000 Tokio Marine Holdings Inc. 93,763 99,581

2,716 Tokyo broadcasting System Holdings Inc. 30,239 38,481

9,400 Toshiba Corp. 51,641 47,451

1,200 Toyota Industries Corp. 44,030 51,604

3,400 West Japan railway Co. 146,836 151,439

2,600 yamato Holdings Co., Ltd. 41,983 57,627

5,909,465 6,030,443

INDIA (8.7%)

USd 600,000 NTPC Ltd., 5.625% 07/14/2021 569,388 638,130

USd 400,000 oNGC Videsh Ltd., 2.5% 05/07/2018 400,046 389,335

USd 500,000 State bank of India 4.5% 07/27/2015 503,007 547,725

1,472,441 1,575,190

CANADA (8.7%)

USd 300,000 enCana Corp., 6.5% 05/15/2019 364,364 369,668

USd 400,000 Goldcorp Inc., 3.7% 03/15/2023 413,420 374,736

USd 200,000 royal bank of Canada 1.5% 01/16/2018 196,903 205,242

USd 300,000 Suncor energy Inc., 6.1% 06/01/2018 332,388 367,841

USd 250,000 The bank of Nova Scotia 1.375% 12/18/2017†† 246,391 256,253

1,553,466 1,573,740

Number of Ounces BULLION (7.3%)

1,013 Gold bullion 1,656,467 1,315,714

USA (5.3%)

1,346 Guggenheim S&P Global Water Index eTF 31,707 33,043

1,439 iShares S&P Global Healthcare Sector Index Fund 77,464 112,411

1,121 Johnson & Johnson 71,143 101,235

USd 50,000 JPMorgan Chase & Co., 1.875% 03/20/2015 49,618 53,206

USd 200,000 Newmont Mining Corp., 5.125% 10/01/2019 214,328 221,379

USd 110,000 Pfizer Inc., 5.35% 03/15/2015 139,411 124,584

1,901 PowerShares Water resources Portfolio eTF 36,776 44,068

USd 250,000 The Walt disney Co., 2.35% 12/01/2022 247,336 242,913

532 Utilities Select Sector SPdr Fund 17,731 21,067

885,514 953,906

BRITISH VIRGIN ISLANDS (3.3%)

USd 250,000 CNooC Finance 2011 Ltd., 4.25% 01/26/2021 251,135 266,713

USd 300,000 CNPC HK overseas Capital Ltd., 4.5% 04/28/2021 281,714 324,028

532,849 590,741

NETHERLANDS (2.1%)

USd 400,000 Shell International Finance b.V., 2.25% 01/06/2023 391,140 385,948

THAILAND (2.1%)

USd 400,000 PTT PCL 3.375% 10/25/2022 392,170 381,593

LUXEMBOURG (1.3%)

USd 200,000 Gazprom Via Gaz Capital S.A., 8.146% 04/11/2018 227,591 243,934




LONG POSITIONS (72.9%) (cont’d)

SINGAPORE (0.9%)

USd 150,000 Temasek Financial I Ltd., 4.3% 10/25/2019 161,291 170,644

Total Long Positions 13,182,394 13,221,853

SHORT POSITIONS (-19.0%)

U.S.A. (-19.0%)

USd (250,000) Chesapeake energy Corp., 2.75% 11/15/2035 (243,850) (263,608)

(978) iShares dow Jones US Transportation Average Index Fund (87,639) (113,019)

(2,841) iShares russell 2000 Index Fund (237,441) (289,972)

(5,411) Materials Select Sector SPdr Fund (196,308) (218,204)

(15,211) SPdr S&P 500 eTF Trust (2,404,574) (2,563,191)

(3,169,812) (3,447,994)

Total Short Positions (3,169,812) (3,447,994)

Commissions and other portfolio transaction costs (10,094)

Total Bonds & Equities (53.9%) 10,002,488 9,773,859


Foreign Currency Forward Contracts (-2.9%)

(see Schedule A) (521,010)

Long Futures Contracts (0.0%)

(see Schedule B) (8,052)

Short Futures Contracts (0.9%)

(see Schedule C) 156,663

Long Option Contracts (3.6%)

(see Schedule D) 590,449 648,214

Short Option Contracts (-0.1%)

(see Schedule E) (9,538) (11,835)

Interest Rate Swap Contracts (1.2%)

(see Schedule F) – 210,331

Credit Default Swap Contracts (-1.6%)

(see Schedule G) 32,677 (282,205)


Other Net Assets (Liabilities) (45.0%) 8,163,069

Net Assets (100.0%) 18,129,034

Principal amounts stated in:

eUr - european Currency

USd - U.S. dollar







Schedule A

Foreign Currency Forward Contracts (-2.9%)

Credit Rating of Settlement Contract Unrealized

Contracts Counterparty the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)

1 Goldman Sachs Group Inc. A-2 18-Nov-13 0.01 (23,583,125) Japanese yen 250,000 US $ 12,590

1 Goldman Sachs Group Inc. A-2 18-Nov-13 0.01 (23,754,500) Japanese yen 250,000 US $ 10,773

1 Goldman Sachs Group Inc. A-2 18-Nov-13 99.28 (1,200,000) US $ 119,134,080 Japanese yen 2,496

1 Goldman Sachs Group Inc. A-2 12-Jul-13 0.98 (15,726,980) US $ 16,000,000 Canadian $ (546,869)

Total Foreign Currency Forward Contracts Value (521,010)

Schedule B

Long Futures Contracts (0.0%)

Fair

Contracts Future Expiry Date Price ($) Country Cost ($) Value ($)

5 CboT 5yr Treasury Note Futures 30-Sep-13 121.05 US $ 644,638 636,586

644,638 636,586

Exercise Price 644,638

Total Long Futures Contracts Value (8,052)

Schedule C

Short Futures Contracts (0.9%)

Fair

Contracts Future Expiry Date Price ($) Country Cost ($) Value ($)

(52) CboT 10yr Treasury Note Futures 19-Sep-13 126.56 US $ (7,081,577) (6,922,159)

(6) eUro-bobL Futures 6-Sep-13 125.20 euro (1,035,434) (1,028,370)

(10) Gold CoMex 100 oz Futures 28-Aug-13 1,223.70 US $ (1,388,144) (1,287,088)

(2) oSA NIKKeI 225 Index Futures 12-Sep-13 13,680.00 Japanese yen (286,844) (290,152)

(2) S&P500 Index e-mini Futures 20-Sep-13 1,599.25 US $ (173,053) (168,209)

(15) TSe ToPIx Stock Index Futures 12-Sep-13 1,131.00 Japanese yen (1,686,725) (1,799,136)

(11,651,777) (11,495,114)

(11,651,777)

Exercise Price 156,663

Total Short Futures Contracts Value

‡Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond Rating Services or

Canadian Bond Rating Services.












Schedule D

Long Option Contracts (3.6%)

No of .

underlying Expiry Strike Premium Paid Fair

Contracts Interest Underlying Interest Date Price ($) (Received) ($) Value ($)

40 4,000 barrick Gold Corp. Call @24 20-Jul-13 24.00 2,608 42

2,250,000 2,250,000 brIM Call USd [email protected] Gs 3-Sep-13 1.04 26,979 341

2,500,000 2,500,000 brIM Call USd [email protected] Gs 16-Sep-13 1.04 26,558 29

32 32,000 CbT USd 5yr [email protected] 26-Jul-13 123.25 7,724 526

1 100 Gold CoMex Call @1380 27-Aug-13 1,380.00 1,578 831

1 100 Gold CoMex Call @1475 25-Jul-13 1,475.00 2,629 53



12 1,200 iShares russell 2000 Put @90 17-Aug-13 90.00 2,499 1,224

40 4,000 iShares russell 2000 Put @92 20-Jul-13 92.00 6,332 2,146

20 2,000 iShares russell 2000 Put @95 20-Jul-13 95.00 2,417 2,419

2,000,000 2,000,000 JPy Put USd Call@105 Jpm 5-Jul-13 105.00 10,623 91

4,000,000 4,000,000 JPy Put USd Call@93 Gs 14-Nov-13 93.00 23,602 314,661

3 3,000 Mitsui Fudosan Co., Ltd. Call@3400 11-Jul-13 3,400.00 1,758 283

3 3,000 Nikkei 225 Call @14000 12-Jul-13 14,000.00 7,477 6,999

120 12,000 Nomura Holdings Inc. Call@850 11-Jul-13 850.00 6,124 305

2,500,000 2,500,000 oTC opt. eUr Put NoK [email protected] 19-Jul-13 7.50 19,166 191

2,000,000 2,000,000 oTC opt. INr Call USd [email protected] 6-Aug-13 51.50 6,647 1

28,032,500,000 28,032,500,000 oTC opt. KrW Put USd [email protected] 31-Jul-13 0.03 25,811 7,807

2,000,000,000 2,000,000,000 oTC opt. USd Call JPy Put@125 15-May-14 125.00 19,089 12,121

2,250,000 2,250,000 oTC opt. USd Put brIM [email protected] 4-Sep-13 1.04 27,807 282

3,000,000 3,000,000 oTC opt. USd Put NJA [email protected] 16-Sep-13 1.04 27,768 117

20,000,000 20,000,000 oTC Swaption Myr rec 2yr [email protected] barc 24-Sep-13 0.03 14,981 262

12 1,200 SPdr S&P 500 Trust Call @168 20-Jul-13 168.00 972 101

36 3,600 SPdr S&P 500 Trust Put @155 20-Jul-13 155.00 5,836 3,219





2,500,000,000 2,500,000,000 Swap Spread Cap [email protected] 7-Jan-15 0.02 22,536 18,539

30,000,000 30,000,000 Swap Spread Cap 2yr-10yr@200bps 15-Jul-15 0.02 52,695 101,025

15,000,000 15,000,000 Swap Spread Cap 2yr-10yr@200bps barc 16-dec-15 0.02 36,603 44,575

18,000,000 18,000,000 Swap Spread Cap 5yr-30yr@200bps 7-May-15 0.02 20,826 10,677

15,000,000 15,000,000 Swap Spread Cap 5yr-30yr@200bps 5-Jan-15 0.02 24,928 9,337

4,000,000 4,000,000 Swaption AUd @0.3 Gs 13-Nov-13 0.03 12,311 6,159

3,000,000 3,000,000 Swaption AUd @0.3 Gs 18-oct-13 0.03 10,243 3,759

3,000,000 3,000,000 Swaption AUd @0.3 Gs 24-Sep-13 0.03 10,748 2,778

2,000,000 2,000,000 Swaption AUd @0.35 barc 11-Jun-14 0.04 12,022 10,890

1,500,000 1,500,000 Swaption AUd @0.35 barc 18-dec-13 0.04 7,358 4,616

2,500,000 2,500,000 Swaption AUd @0.35 barc 10-Mar-14 0.04 12,503 11,158

4,500,000 4,500,000 Swaption AUd @5.15 barc 8-Jul-13 0.05 3,847 -

2,000,000 2,000,000 Swaption USd @1.35 barc 20-dec-13 0.01 5,995 5,939

2,000,000 2,000,000 Swaption USd @1.4 Cs 27-Jun-14 0.01 7,278 7,066

4,000,000 4,000,000 Swaption USd @1.45 Cs 24-Jun-14 0.01 14,725 16,583

4,000,000 4,000,000 Swaption USd @1.5 barc 24-Jun-14 0.02 13,516 19,105

1,000,000 1,000,000 Swaption USd @2 barc 18-dec-13 0.02 4,681 1,915

1,000,000 1,000,000 Swaption USd @2 barc 19-dec-13 0.02 3,050 1,924

12,000,000 12,000,000 Swaption USd rec @5 barc 22-Nov-13 0.02 10,097 860

Total Long Option Contracts Value 590,449 648,214








Schedule E

Short Option Contracts (-0.1%)

No of .

Underlying Expiry Strike Premium Paid Fair

Contracts Interest Underlying Interest Date Price ($) (Received) ($) Value ($)

(20) (2,000) iShares russell 2000 Call @97 20-Jul-13 97.00 (1,851) (3,113)

(32) (3,200) iShares russell 2000 Call @98 20-Jul-13 98.00 (2,604) (3,332)

(3) (3,000) Nikkei 225 Put @13000 12-Jul-13 13,000.00 (4,136) (4,772)

(12) (1,200) SPdr S&P 500 Trust Call @165 20-Jul-13 165.00 (947) (618)

Total Short Option Contracts Value (9,538) (11,835)

Schedule F

Interest Rate Swap Contracts (1.2%)

Credit Rating

No. Notional of the Fair

Contracts (Local) Swap Contracts Counterparty‡ Due Date Price ($) Cost ($) Value ($)

3,500,000 (290,002) AUd P-5.2225% Cs A-1 18-oct-21 (0.08) - (278,914)

8,000,000 510,826 AUd r-5% Gs A-1 22-Nov-21 0.06 - 491,295

100,000,000 (412,728) JPy 5yr P-0.4725% barc A-1 16-Mar-17 0.00 - (4,377)

100,000,000 956,205 JPy 7yr P-0.505% barc A-1 4-Jan-20 0.01 - 10,141

100,000,000 37,986 JPy P-0.395% Cs A-1 20-Aug-17 0.00 - 403

55,000,000 (376,208) JPy P-0.542% Gs A-1 30-Nov-16 (0.01) - (3,990)

100,000,000 (398,575) TrS JPy 5yr P-0.464% V. Libor V. Tokyo barc A-1 27-Feb-17 0.00 - (4,227)

Total Interest Rate Swap Contracts Value - 210,331





















































Schedule G

Credit Default Swap Contracts (-1.6%)

Credit Rating



500,000 1,751 Accor SA, 1% bp Cs A-1 20-Mar-16 (0.00) (3,495) (1,653)

500,000 (1,794) ACe INA Insurance, 1% bp bAr A-1 20-Sep-14 (0.01) (4,503) (6,959)

500,000 206 Allianz Se, -1% (Pay Cpn.) A-1 20-Sep-14 (0.01) (6,820) (6,538)

500,000 (3,345) AutoZone Inc., 5yr, 1% bp Gs A-1 20-Jun-17 (0.02) (8,250) (11,768)

400,000 1,687 Aviva PLC., 1% bp Gs A-1 20-Mar-16 (0.00) (512) 1,797

200,000 (10,109) barrick Gold Corp., 1% Sp Jpm A-1 20-Jun-18 (0.10) (9,940) (20,573)

400,000 (981) beam Inc., 1% bp Cs A-1 20-Sep-14 (0.01) (3,876) (4,908)

500,000 (15,552) black & decker Corp., 1% (Pay Cpn.) A-1 20-Jun-14 (0.01) 11,385 (4,973)

600,000 (4,125) black & decker Corp., -1.45% (Pay Cpn.) A-1 20-dec-13 (0.01) - (4,339)

400,000 (1,662) boA, 5yr, 1.38% bp Jpm A-1 20-Sep-18 (0.00) - (1,748)

200,000 (8,570) brazil, 5yr, 1% Sp barc A-1 20-Sep-18 (0.04) 29 (8,985)

500,000 (16,157) brunswick Corp., 5yr, 1% bp Gs A-1 20-Sep-15 (0.01) 13,493 (3,501)

1,200,000 1,152 Capital one Financial Corp., 1% (Pay Cpn.) A-1 20-Jun-14 (0.01) (11,232) (10,019)

750,000 (40,641) Carnival Corp., -1% (Pay Cpn.) A-1 20-Sep-14 (0.01) 34,291 (8,455)

500,000 (5,423) Caterpillar Financial Services Ltd., -1% (Pay Fix) bp Gs A-1 20-dec-14 (0.01) (834) (6,539)

250,000 (4,136) CdS, 3yr, 1% Gs A-1 20-Jun-15 (0.01) 1,596 (4,067)

500,000 (11,061) CdS, 5yr, 5.125% bp barc A-1 20-Jun-15 (0.01) 7,367 (7,776)

400,000 (5,819) Cdx Hy S20, 5yr, 1% bp barc A-1 20-Jun-18 (0.03) (5,449) (11,569)

500,000 (20,107) Cdx IG HVoL CdSI, 1% bp Gs A-1 20-Jun-15 (0.01) 15,523 (5,626)

800,000 (2,542) Cdx IG20, 5yr, 1% bp barc A-1 20-Jun-18 (0.01) (2,525) (5,199)

500,000 (2,550) Cie de St-Gobain, 1% bp bAr A-1 20-Mar-16 (0.01) (495) (3,177)

800,000 1,711 CI-TrIdeNT ITrAxx eUr S18, 1.2075% Cs A-1 20-dec-17 (0.00) 2,303 4,645

900,000 3,826 Commerzbank AG, 1% bp Gs A-1 20-Mar-15 (0.01) (9,542) (5,518)

350,000 (10,897) Commonwealth bank of Australia, 1% bp Gs A-1 20-Jun-15 (0.01) 6,941 (4,521)

250,000 (3,327) CSx Corp., 5.6% bp Gs A-1 20-Jun-17 (0.03) (4,101) (7,601)

600,000 (5,925) darden restaurants Inc., -2.13% (Pay Cpn.) A-1 20-dec-13 (0.01) - (6,232)

500,000 349 electrolux Ab, 1% bp Gs A-1 20-Sep-14 (0.01) (8,178) (7,699)

1,000,000 (33,473) Fedex Corp., 1% bp Gs A-1 20-dec-16 (0.02) 12,509 (22,698)

1,000,000 (18,938) HSbC bank PLC, 1% (Pay Fix) bp Gs A-1 20-dec-14 (0.01) 11,558 (8,361)

500,000 (9,049) HSbC bank PLC, 1% bp Gs A-1 20-dec-14 (0.01) 6,949 (5,439)

500,000 (7,190) HSbC bank PLC, 1.25% bp Cs A-1 20-Jun-15 (0.01) 5,055 (4,788)

500,000 (8,289) ING bank NV, 1% bp bAr A-1 20-Sep-16 (0.00) 11,176 (171)

500,000 1,556 Ingersoll rand Co., 1% bp Gs A-1 20-Jun-15 (0.02) (11,402) (9,765)

800,000 18,656 ITrx Asia S19, 5yr, 1% bp barc A-1 20-Jun-18 0.02 - 19,622

600,000 (2,657) ITrx Asia S19, 5yr, 1% bp barc A-1 20-Jun-18 0.02 17,512 14,717

400,000 3,423 ITrx Asia S19, 5yr, 1% bp Cs A-1 20-Jun-18 0.02 5,830 9,430

600,000 2,784 ITrx eUr S19, 5yr, 1% bp barc A-1 20-Jun-18 0.01 3,605 7,415

500,000 (3,616) John deere Credit Inc., 3yr, 1% bp Gs A-1 20-dec-14 (0.01) (3,347) (7,150)

1,100,000 (16,506) John Hancock Financial Services Inc., -2.10% (Pay Cpn.) A-1 20-Mar-14 (0.02) - (17,361)

500,000 15,947 Kingdom of Netherlands, 5yr, 0.25% Sp barc A-1 20-Mar-17 (0.01) (19,789) (3,016)

500,000 (3,934) Klepierre, 1% bp Cs A-1 20-Mar-16 (0.01) (248) (4,386)

1,200,000 (2,804) Macy's Inc., 1% bp Cs A-1 20-Sep-14 (0.01) (9,722) (12,671)

300,000 2,225 Münchener rückversicherungs-Gesellschaft AG, 1% bp Gs A-1 20-Mar-16 (0.02) (9,602) (6,556)

500,000 (788) Newell rubbermaid Inc., 3yr, 1% bp Cs A-1 20-Mar-15 (0.01) (5,706) (6,535)

400,000 (1,054) Nordstrom Inc., -1.17% (Pay Cpn.) A-1 20-Sep-13 (0.00) - (1,109)

800,000 (1,944) Pearson PLC, 1% bp Gs A-1 20-Mar-15 (0.01) (8,567) (10,611)

500,000 (1,668) Pitney bowes Inc., -1.09% (Pay Cpn.) A-1 20-dec-13 (0.00) - (1,754)

500,000 (2,408) PPr SA, 1% bp bAr A-1 20-Sep-14 (0.01) (2,720) (6,017)

500,000 (2,629) Publicis Groupe, 1% bp Cs A-1 20-Mar-16 (0.02) (6,161) (8,926)





















































Schedule G

Credit Default Swap Contracts (-1.6%) (cont’d)

Credit Rating



500,000 (1,741) SeS SA, 1% bp bAr A-1 20-dec-14 (0.01) (6,035) (8,419)

500,000 (2,776) Sherwin-Williams Co., -1.18% (Pay Cpn.) A-1 20-dec-13 (0.01) - (2,920)

500,000 (6,390) Target Corp., -1% (Pay Cpn.) A-1 20-Jun-14 (0.01) 1,733 (4,988)

1,200,000 (4,928) The Stanley Works, -0.90% (Pay Cpn.) A-1 20-dec-13 (0.00) - (5,183)

1,200,000 11,180 UbS, 1% bp bAr A-1 20-Jun-14 (0.01) (18,909) (7,150)

500,000 (11,726) Vinci SA, 1% bp Jpm A-1 20-dec-14 (0.01) 9,086 (6,966)

1,500,000 (20,471) Whirlpool Corp., 5yr, 1% bp Gs A-1 20-Mar-18 0.01 33,653 12,121

500,000 (11,516) xL Group PLC, 1% bp Gs A-1 20-Sep-17 (0.02) 3,043 (9,069)

Total Credit Default Swap Contracts Value 32,677 (282,205)














































ASSeTS


Cash

Short-term investments

Unrealized gain on futures and foreign currency forward contracts

daily variation margin on derivative investments

Swaps, swaptions and options at fair value

Margin for short sales


Fees rebate receivable


LIAbILITIeS


Payable for unit redemptions


Unrealized loss on futures and foreign currency forward contracts

Swaps, swaptions and options as fair value

dividend payable on securities sold short

Interest payable on securities sold short

Performance fees payable

Investments sold short at fair value**

Accrued expenses

Net assets and unitholders’ equity

UNITHoLderS’ eqUITy

Unit capital

Contributed surplus


Net assets and unitholders’ equity


**Investments sold short at cost

Net assets per class

Class A

Class A II

Net assets per unit (Note 8)

Class A

Class A II

Number of units outstanding (Note 3)

Class A

Class A II


Statements of Net Assets (in $000’s except for per unit amounts and number of units outstanding)




As at As at

June 30, 2013 December 31, 2012

13,222 14,904

1,918 3,245

– –

299 104

2,823 2,925

858 1,824

4,056 3,751

17 750

– 1

119 104

23,312 27,608

686 32

– 5,860

17 23

671 137

294 1,235

65 59

– 6

– –

3,448 3,815

2 3

5,183 11,170

18,129 16,438

17,124 15,624

– –

1,005 814

18,129 16,438

13,172 14,519

(3,170) (3,516)

7,638 7,551

10,491 8,887

13.01 12.87

9.91 9.80

586,954 586,954

1,057,969 906,706

INVeSTMeNT INCoMe

dividends

Interest

derivative income (loss)Securities lending

Fees rebate

Less: Foreign withholding taxes

exPeNSeS

Management fees (Note 4)

Administrative fees (Note 4)

Performance fees (Note 4)

Interest expense

dividend expense on securities sold short

Interest expense on securities sold short

Legal fees

Audit fees

Independent review committee fees

Harmonized sales tax


Realized and unrealized gain (loss) on investments

and commissions and other portfolio transaction costs

realized gain (loss) on investments

Foreign exchange gain (loss)

Commissions and other portfolio transaction costs

Change in unrealized appreciation (depreciation) of investments and derivatives

Net gain (loss) on investments


Increase (decrease) in net assets from operations per class

Class A

Class A II

Increase (decrease) in net assets from operations per unit

Class A

Class A II

STATeMeNTS oF reTAINed eArNINGS (deFICIT)

Retained earnings (deficit), beginning of period


(excess) deficiency on amounts paid on units redeemed

distribution from income

distribution from realized gains

Retained earnings (deficit), end of period

Contributed surplus, beginning of period


Contributed surplus, end of period


Statements of Operations and Retained Earnings (Deficit) (in $000’s except for per unit amounts)





2013 2012

61 58

145 140

(202) (148)

– –

– –

(6) (8)

(2) 42

99 133

24 32

– –

7 2

43 43

3 9

– –

1 –

– –

14 8

191 227

(193) (185)

391 645

914 116

(29) (13)

(892) (853)

384 (105)

191 (290)

87 (143)

104 (147)

0.14 (0.15)

0.10 (0.12)

814 1,281

191 (290)

– –

– –

– –

1,005 991

– –

– –

– –

2





CLASS A



Proceeds from units issued

Amounts paid for units redeemed


dISTrIbUTIoNS To INVeSTorS

From realized gains

From net income




CLASS A II







From realized gains

From net income




ToTAL TrUST







From realized gains

From net income





2013 2012

7,551 10,859

– –

– –

– –

– –

– –

– –

– –

– –

87 (143)

7,638 10,716

8,887 11,533

1,500 –

– –

– –

1,500 –

– –

– –

– –

– –

104 (147)

10,491 11,386

16,438 22,392

1,500 –

– –

– –

1,500 –

– –

– –

– –

– –

191 (290)

18,129 22,102










Proceeds from sale of investments

Proceeds from short sale of investments


Short cover of investments

(Increase) decrease in margin for short sales

(Increase) decrease in daily variation margin on derivative instruments



distributions paid


Cost of units redeemed





2013 2012

(193) (185)

19,923 3,344

(305) 2,974

(16,472) (6,400)

– (1,561)

– 750

102 (168)

(22) 196

3,033 (1,050)

– –

1,500 –

(5,860) (28,050)

(4,360) (28,050)

(1,327) (29,100)

3,245 32,438

1,918 3,338



Trust Specific Financial Instruments Risks (unaudited) (Note 12)

The Trust’s investments were concentrated in the following segments:

as at December 31, 2012

Category Net Assets (%)

Long Positions:

U.S.A. 35.7

other Net Assets (Liabilities) 29.2

Gold bullion 10.3

Japan 8.2

India 7.1

Canada 6.0

Singapore 6.0

Interest rate Swap Contracts 3.6

Malaysia 2.5

Long option Contracts 2.5

Thailand 2.4

Netherlands 2.4

Norway 2.2

China 2.0

british Virgin Islands 1.6

Cayman Islands 1.6

Luxembourg 1.5

Isle of Man 1.2

Long Futures Contracts 0.5

Credit default Swap Contracts (2.3)

Foreign Currency Forward Contracts (0.7)

Total Long Positions 123.5

Short Positions:

U.S.A. (22.8)

Ireland (0.4)

Short option Contracts (0.2)

Short Futures Contracts (0.1)

Total Short Positions (23.5)

during the six-month period the Trust's interest rate risk and credit risk exposure changed significantly as disclosed in the section below. For details relating

to other price risk, currency risk and fair value hierarchy, refer to the audited annual financial statements as at december 31, 2012, as the Trust's exposure

to those risks remains unchanged.



Interest Rate Risk


Trust Specific Financial Instruments Risks (unaudited) (Note 12) (cont’d)


Less than 1 - 3 3 - 5 Greater

1 Year Years Years than 5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)

Interest Rate Exposure 8,572 726 1,463 3,111 13,872

As at december 31, 2011, had the prevailing interest rates increased or decreased by 0.25% (december 31, 2010 - 0.25%), with all other variables

held constant, net assets of the Trust would have indirectly decreased or increased, respectively, by approximately $47,000 (december 31, 2010 - nil).

In practice, the actual results may differ from this analysis and the difcember 31, 2010, the Trust did not have significant exposure to interest rate risk

The tables below summarize the Trust’s exposure to interest rate risk, categorized by the contractual maturity date.

as at June 30, 2013

Less than 1 - 3 3 - 5 Greater

1 Year Years Years than 5 Years Total

(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)

Interest Rate Exposure 9,066 2,924 866 4,419 17,275

As at June 30, 2013, had the prevailing interest rates increased or decreased by 0.25% (december 31, 2012 - 0.25%), with all other variables held

constant, net assets of the Trust would have decreased or increased, respectively, by approximately $8,000 (december 31, 2012 - $98,000). In

practice, the actual results may differ from this analysis and the difference may be material.

As at december 31, 2010, the Trust did not have significant exposure to interest rate risk as most of its assets were invested in stocks.

as at December 31, 2012


Credit Risk

CredIT rATING^ Net Assets (%)

AAA/Aaa/A++ 1.0

AA/Aa/A+ 6.3

A 4.8

bbb/baa/b++ 19.5

Not rated 0.2

Total 31.8

As at June 30, 2013 and december 31, 2012, the Trust seeks to obtain a positive return on the default of low investment grade fixed income

investments mainly through the investments in credit default swaps with counterparties. These investments are exposed to the risk of impairment

when there is risk of credit default in the market. All fixed income securities rated bb/ba/b+ or lower are considered below investment grade and

have a higher credit risk than investment grade bonds.

The Trust was invested in fixed income securities, preferred securities and derivative instruments if any, with the following credit ratings:

as at June 30, 2013*

CredIT rATING^ Net Assets (%)

AAA/Aaa/A++ 10.6

AA/Aa/A+ 24.4

A 7.9

bbb/baa/b++ 21.7

Not rated 1.6

Total 66.2

as at December 31, 2012*


Trust Specific Financial Instruments Risks (unaudited) (Note 12) (cont’d)

*Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond

Rating Services or Canadian Bond Rating Services, respectively.

^Refer to Note 13 for Credit Rating cross reference.



1. THe CorPorATIoNS ANd THe TrUSTTrident Performance Corp. (the “Corporation”) is a mutual fund corporation established under the laws of the Province of

ontario on January 31, 2008. The Corporation commenced operations on February 22, 2008. The Corporation issued

Class A share and Class F Share. The Corporation’s Class A Shares are listed on the Toronto Stock exchange, under the

symbol TCP.

Trident Performance Corp. II (the “Corporation II”) is a corporation established under the laws of the Province of ontario on

March 30, 2009. on April 27, 2009, the Corporation II completed an initial public offering of 4,510,000 Class A shares at

$10 per share. The Corporation II’s Class A shares are listed on the Toronto Stock exchange, under the symbol TCZ.

CI Investment Inc. is the manager (the “Manager”) and the investment advisor (the “Investment Advisor”) to the Corporation

and Corporation II (the “Corporations”).

Through a Forward Agreement with National bank Correspondent Network (“NbCN”), (the “Forward Agreement”) the Corporations

provide shareholders with exposure to the performance of the Global Macroeconomic Portfolio that may consist of equity and

fixed-income securities, commodities, currencies and derivative instruments of global companies. The Corporations will partially

settle the Forward Agreement from time to time prior to the February 28, 2018 (the “Forward date) in order to fund redemptions

of Shares and the payment of expenses and other liabilities of the Corporations.

Trident Performance Trust (the “Trust”) is an investment trust established under the laws of the Province of ontario pursuant

to a declaration of trust dated January 31, 2008. The Trust commenced operations on February 22, 2008. The Trust is

authorized to issue an unlimited number of redeemable, transferable units (the “Trust Units”). There are Class A and

Class A II units to differentiate between the counterparties to the Forward Agreements with the Trust. The Trust holds the

global macroeconomic portfolio.

CI Investments Inc. is the trustee (the “Trustee”) of the Trust. The Trustee has retained Trident Investment Management LLC

as the investment advisor (the “Investment Advisor”) to the Trust. The Investment Advisor will manage the Trust’s investment

portfolio pursuant to an investment advisory agreement between the Trustee and Trident.

2. SUMMAry oF SIGNIFICANT ACCoUNTING PoLICIeSThese financial statements have been prepared in accordance with Canadian Generally Accepted Accounting Principles

(“Canadian GAAP”). Significant accounting policies used in preparing the semi-annual financial statement are consistent

with those used in preparing the annual financial statements. The semi-annual financial statement should be read in

conjunction with the Trust’s and Corporations’ december 31, 2012 annual financial statements.

(a) Valuation of Investments

Canadian GAAP requires the fair value of financial instruments traded in an active market to be measured based on an

investment’s bid/ask price depending on the investment position (long/short).

For the purpose of processing shareholder/unitholder transactions, net asset value is calculated based on the closing market

price of exchange-traded investments (referred to as “Net Asset Value”), while for financial statement purposes net assets are

calculated based on bid/ask price of such investments (referred to as “Net Assets”).

In accordance with National Instrument 81-106, a comparison between the Net Asset Value per share/unit and the

Net Assets per share/unit is disclosed in the Note 8.

Notes to the Financial Statements (unaudited)


At the financial reporting date, listed securities are valued based on the bid price for securities held long and the ask price

for securities held short. Unlisted securities are valued based on price quotations from recognized investment dealers, or

failing that, their fair value is determined by the Manager on the basis of the latest reported information available. Fixed

income securities, debentures, money market investments and other debt instruments including short-term investments, are

valued at the bid quotation from recognized investment dealers. Underlying funds are valued on each business day at their

net asset value as reported by the underlying funds’ manager.

(b) Futures Contracts

Futures Contracts are valued using the bid price posted on the related public exchange. All gains or losses arising from

futures contracts are recorded as part of “Change in unrealized appreciation (depreciation) of investments and derivatives”

until the contracts are closed out or expired, at which time the gains (losses) are realized and reported as “realized gain

(loss) on investments” in the Statements of operations.

(c) Forward Contracts

The Corporations or the Trust may enter into forward contracts. Forward foreign currency contracts are valued on each

valuation day based on the difference between the value of the contract on the date the contract originated and the value

of the contract on the valuation day.

All unrealized gains (losses) arising from forward foreign currency contracts are recorded as part of “Change in unrealized

appreciation (depreciation) of investments and derivatives” in the Statements of operations and “Unrealized gain (loss) on

futures and foreign currency forward contracts” in the Statements of Net Assets until the contracts are closed out or expire,

at which time the gains (losses) are realized and reported as “realized gain (loss) on investments” in the Statements of

operations.

The value of the Forward Agreements on the valuation date is equal to the gain or loss that would be realized if the contracts

were closed out or expired. Investments sold forward as part of the Forward Agreement are valued at the market close price,

and the underlying trust is valued at its net asset value as reported by the underlying trust’s manager on the valuation date for

purposes of determining the value of the Forward Agreement. All gains (losses) arising from the forward agreements are

recorded as part of “Change in unrealized appreciation (depreciation) of investments and derivatives” in the Statements of

operations and “Unrealized gain (loss) on forward agreement” in the Statements of Net Assets until the contracts are closed out

or expire; at which time the gains (losses) are realized and reported as “realized gain (loss) on investments” in the Statements of

operations.

(d) Credit Default Swaps

The fair value of credit default swaps with exposures to underlying marketable issuers are determined using indicative bid

values obtained from third-party broker-dealers. The broker-dealers determine the fair value using valuation models that are

based, on assumptions that are supported by observable market inputs. The indicative bid values are independently assessed

by the Manager to ensure that they are reasonable. The fair values of credit default swaps are affected by the perceived credit

risk of the underlying issuers, movements in credit spreads and the length of time to maturity.

entering into credit default swaps involves, to varying degrees, elements of credit and market risk. Such risks involve,

but are not limited to, the possibility that there will be no liquid market for the agreements, and that the counterparty to

the agreements may default on its obligations.

Any income received for credit default swaps contracts is recorded as “derivative income (loss) ” in the Statements of

operations, when the credit default swaps contracts are closed out or expire, any gains (losses) are recorded as “realized

gain (loss) on investments” in the Statements of operations.

Notes to the Financial Statements (unaudited) (cont’d)


(e) Short Selling

The Trust has obtained a relief from the regulators to engage in short selling.

When the Trust sells a security short, it will borrow that security from a broker to complete the sale. The Trust will incur a

loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date

on which the Trust closes out its short position by buying that security. The Trust will realize a gain if the security declines in

price between those dates. The gains or losses arising from short positions are reflected in the Statements of operations as

part of “Change in unrealized appreciation (depreciation) of investments and derivatives” and fair value of short positions is

reflected in the Statements of Net Assets in “Investments sold short at fair value”. When the short position is closed out,

gains or losses are realized and included in “realized gain (loss) on investments” in the Statements of operations.

(f) Options Contracts

option contracts are valued each valuation day according to the gain or loss that would be realized if the contracts were

closed out. All gains or losses arising from option contracts are recorded as part of “Change in unrealized appreciation

(depreciation) of investments and derivatives” in the Statements of operations until the contracts are closed out or expire,

at which time the gains (losses) are realized and reflected in the Statements of operations in “realized gain (loss) on

investments”.

over-the-counter options are valued using the black & Scholes model, whereas, exchange traded options are valued at

bid/ask price taken from the exchange.

(g) Bullion

Gold bullion is valued based on North America closing price of the spot price of the underlying commodity. All unrealized gains

(losses) arising from bullion holdings are recorded as part of “Change in unrealized appreciation (depreciation) of investments

and derivatives” in the Statements of operations until the bullion holdings are sold, at which time the gains (losses) are realized

and reflected in the Statements of operations in “realized gain (loss) on investments”.

(h) Private Placements

The fair value of private placements is determined by using valuation models that may be based, in part, on assumptions that a

re not supported by observable market inputs. These methods and procedures may include, but are not limited to, performing

comparisons with prices of comparable or similar securities, obtaining valuation related information from issuers and/or other

analytical data relating to the investment and using other available indications of value. These values are independently assessed

internally to ensure that they are reasonable. However, because of the inherent uncertainty of valuation, the estimated fair values

for the aforementioned securities and interests may be materially different from the values that would have been used had a ready

market for the investment existed. The fair values of private placements are affected by the perceived credit risks

of the issuer, predictability of cash flows and the length of time to maturity.

(i) Interest Rate Swaps

The fair value of interest rate swaps are determined using indicative bid values obtained from third-party broker-dealers. The

broker-dealers determine the fair value using valuation models that are based on assumptions that are supported by observable

market inputs, including the interest rates for that day. The indicative bid values are independently assessed internally to ensure

that they are reasonable.

Any income received for interest rate swaps contract in recorded as “derivative income (loss)” in the Statements of operations.



3. SHAreHoLderS’ ANd UNITHoLderS’ eqUITy

Trident Performance Corp.

Shares issued and outstanding represent the capital of the Corporation.

The relevant changes pertaining to subscription and redemption of the Corporation shares are disclosed in the Statements of

Changes in Net Assets. In accordance with the objectives and risk management polices outlined in Note 12 the Corporation

endeavors to invest subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions

through utilizing a short-term borrowing facility or partial settlement of the Forward Agreement.

The Corporation is authorized to issue Class A and Class F Units. each Class A Unit consists of one redeemable Class A

Share and one transferable Class A Share purchase warrant. each Class F Unit consists of one redeemable Class F Share

and one transferable Class F share purchase warrants.

The Corporation is authorized to issue an unlimited number of transferable and redeemable Class A and Class F Shares of

the Corporation. Class F Shares are convertible into Class A Shares at the last day of each month by delivering a notice and

surrendering such Class F Shares by 4:00 p.m. (Toronto time) at least 20 business days prior to such Monthly redemption date.

The Class A Shares and Class F Shares are referred to, collectively, as the “Shares”. Commencing in december 2009, shareholders

are entitled to redeem their shares outstanding at the end of each month (the “Monthly redemption”) or at the end of each year

(the “Annual redemption”). Monthly redemption price per Class A Share is equal to the lesser of, (a) 94% of the 15-day weighted

average trading price of the Class A Shares preceding the applicable monthly redemption date, and (b) of the “closing market price”

of Class A Shares on the applicable monthly redemption date less applicable redemption costs. The annual redemption price per

Class A Share is equal to net asset value per Class A Share as at the annual redemption date less any redemption costs. Monthly

redemption price per Class F Share is equal to the product of the monthly redemption price per Class A Share and a fraction of the

most recently calculated net asset value per Class F Share over the most recently calculated net asset value per Class A Share. The

annual redemption price per Class F Share is equal to the net asset value per Class F Share as at the annual redemption date less

any redemption costs.

The Corporation is authorized to issue 100 Class M Shares. The holders of Class M Shares are not entitled to receive

dividends. The holders of the Class M Shares will be entitled to one vote per share. The Class M Shares are redeemable at

the option of either the Corporation or a holder thereof at a price of $1.00 per share. The Class M Shares rank subsequent

to the Class A Shares and Class F Shares.

For the periods ended June 30, net capital transactions of Corporation consisted of the following:

Class A Class F

Share Transactions 2013 2012 2013 2012

Balance, beginning of period 726,110 1,013,460 6,000 11,000

Shares redeemed – – – –

Shares issued (redeemed) on conversion – – – –

Balance, end of period 726,110 1,013,460 6,000 11,000

Trident Performance Corp. II

Shares issued and outstanding represent the capital of the Corporation II.

The relevant changes pertaining to subscription and redemption of the Corporation II shares are disclosed in the Statements

of Changes in Net Assets. In accordance with the objectives and risk management polices outlined in Note 13 the Corporation II

endeavors to invest subscriptions received in appropriate investments while maintaining sufficient liquidity to meet

redemptions through utilizing a short-term borrowing facility or settlement of the Forward Agreement when necessary.

The Corporation II is authorized to issue an unlimited number of Class A shares of the Corporation II.



The Corporation II is authorized to issue 100 shares of the Corporation II designated as Class M Shares (“Class M Shares”) of which,

before giving effect to the offering, there are 100 Class M Shares issued and outstanding. The holders of Class M Shares are not

entitled to receive dividends. The holders of the Class M Shares are entitled to one vote per share. The Class M Shares are

redeemable at the option of either the Corporation II or a holder thereof at a price of $1.00 per share. The Class M Shares rank

subsequent to the Class A Shares with respect to distributions on the dissolution, liquidation or winding-up of the Corporation II.

Shareholders are entitled to redeem their shares outstanding monthly (the “Monthly redemption”) or on december 31 of any year

(the “december redemption”). Monthly redemption price per share is equal to lesser of (a) 94% of the weighted average trading

price of the shares on the TSx during the 15 trading days preceding the applicable monthly redemption date, and (b) the “closing

market price” of the shares on the TSx on the applicable monthly redemption date, less (c) applicable redemption costs. Annual

redemption price per share is equal to net asset value per share determined on the december redemption date less applicable

redemption costs.

For the periods ended June 30, net capital transactions of Corporation II consisted of the following:

Class A

Share Transactions 2013 2012

Balance, beginning of period 1,245,245 1,544,415

Shares issued for cash – –

Shares redeemed – –

Balance, end of period 1,245,245 1,544,415

Trident Performance Trust

The relevant changes pertaining to subscription and redemption of the Trust units are disclosed in the Statements of

Changes in Net Assets. In accordance with the objectives and risk management polices outlined in Note 13, the Trust

endeavors to invest subscriptions received in appropriate investments while maintaining sufficient liquidity to meet

redemptions through utilizing a short-term borrowing facility or disposal of investments when necessary.

The Trust is authorized to issue an unlimited number of redeemable, transferable units (“Trust Units”), each of which

represents an equal, undivided interest in the net assets of the Trust.

For the periods ended June 30, net capital transactions of the Trust consisted of the following:

Class A Class A II

Unit Transactions 2013 2012 2013 2012

Balance, beginning of period 586,954 840,449 906,706 1,172,072

Units issued for cash – – 151,263 –

Units redeemed – – – –

Balance, end of period 586,954 840,449 1,057,969 1,172,072

When shares/units of the Corporations and Trust are redeemed at a price per share/unit which is lower than the average cost

per share/unit of capital, the difference is included in “Contributed surplus” on the Statements of Net Assets. If the redemption

price is greater than the average cost of capital, the difference is first charged to “Contributed surplus” until the entire account

is eliminated, and the remaining amount is charged to “retained earnings (deficit)” in the Statements of Net Assets.

4. FeeS ANd oTHer exPeNSeS(a) Management Fees

CI Investments Inc. is the Manager of the Corporations and in consideration for management fees provides management

services required in the day-to-day operations. The Corporations pay to the Manager an annual fee (the “Management Fee”)

equal to 0.25% of the Net Asset Value of each of the Corporations calculated and paid monthly, plus an amount equal to

the service fees payable by to the Manager.



CI Investments Inc. is the Trustee and Manager of the Trust and in consideration of management fees provides management

services required in the day-to-day operations. The Trust pays to the Trustee an annual fee (the “Management Fee”) equal to

1.10% of the Net Asset Value of the Trust, calculated and paid monthly.

(b) Performance Fees

The Trust pays to the Trustee a performance fee (the “Performance Fee”) calculated as at december 31 of each year.

The performance fee will be an amount for each unit of the Trust then outstanding equal to 20% of the amount by which

the net asset value per unit of the Trust exceeds the Threshold Amount. The Threshold Amount is the greater of (i) the Net

Asset Value per unit of the Trust immediately following the closing of the offering, and (ii) the net asset value per unit of

the Trust on the most recent date that the performance fee was paid to the Trustee.

(c) Administrative Expenses

The Corporations and the Trust are also responsible for all expenses incurred in connection with their operations and administration

(fees shown as administration fees include: transfer agency, custody and accounting fees). Audit fees, legal fees and independent

review committee fees are disclosed separately.

(d) Service Fees

The Corporations pays the Manager an annual service fee (the “Service Fee”) equal to 0.40% of the Net Asset Value per

Class A Share for all Class A Shares then outstanding, calculated and paid quarterly. The Manager will pay a comparable

service fee to investment dealers on a pro rata basis based on the respective number of Class A Shares held by clients of

the sales representatives of such dealers.

(e) Advisory Fees

A portion of the Management Fee received by the Trustee will be paid to the Investment Advisor by the Trustee.

(f) Forward Fees

The Corporations each pay to the Counterparty under the Forward Agreement a fee of 0.50% per annum of the Net Asset

Value of an applicable number of units of the Trust.

5. SeCUrITIeS LeNdINGThe Corporations and the Trust may engage into a securities lending. The amounts for securities loaned and the collateral

received is disclosed in the Statements of Net Assets as “Cash collateral received (payable) for securities on loan” and income

from securities lending is included in “Securities lending” in the Statements of operations. As at June 30, 2013 and 2012 the

Corporations and the Trust were not engaged in securities lending.

6. INCoMe TAx LoSSeS CArry ForWArdNet capital losses may be carried forward indefinitely to reduce future net realized capital gains. Non-capital losses arising

in taxation years after 2005 may be carried forward twenty years. Non-capital losses carried forward may reduce future

taxable income.

Trident Performance Corp. Losses carry forwards (in $000’s) as at December 31, 2012

2012Net capital losses carry forward 3,405

Year of expiry 2014 2015 2026 2027 2028 2029 2030 2031 2032 TotalNon-capital losses carry forward – – – – 712 842 – – – 1,554



Trident Performance Corp. II Losses carry forwards (in $000’s) as at December 31, 2012

2012Net capital losses carry forward 5,642

Year of expiry 2014 2015 2026 2027 2028 2029 2030 2031 2032 TotalNon-capital losses carry forward – – – – – – – 350 705 1,055

Trident Performance TrustLosses carry forwards (in $000’s) as at December 31, 2012

2012Net capital losses carry forward – –

Year of expiry 2014 2015 2026 2027 2028 2029 2030 2031 2032 TotalNon-capital losses carry forward – – – – – 118 5,275 – 53 5,446

7. broKerAGe ANd oTHer CoMMISSIoNSCommissions paid for security transactions during the periods ended June 30, were as follows:

2013 2012(in $000’s) (in $000’s)

Brokerage Commissions

Trident Performance Corp. – –

Trident Performance Corp. II – –

Trident Performance Trust 20 10

Soft Dollar Commissions†

Trident Performance Corp. – –

Trident Performance Corp. II – –

Trident Performance Trust 141 90

†A portion of brokerage commissions paid was used to cover research and market data services, termed soft dollar commissions. These amounts

have been estimated by the Manager.

8. NeT ASSeTS CoMPArISoNIn accordance with National Instrument 81-106, a comparison of net assets per share/unit and net asset value share/unit as

at June 30, is as follows:

Trident Performance Corp. Class A Class F

2013 ($) 2012 ($) 2013 ($) 2012 ($)

Net assets per share 11.13 11.03 11.63 11.47

Net asset value per share 11.13 11.03 11.63 11.48

Trident Performance Corp. II Class A

2013 ($) 2012 ($)

Net assets per share 8.63 8.60

Net asset value per share 8.65 8.62

Trident Performance Trust Class A Class A II

2013 ($) 2012 ($) 2013 ($) 2012 ($)

Net assets per unit 13.01 12.75 9.91 9.71

Net asset value per unit 13.02 12.75 9.92 9.72




9. reLATed PArTy TrANSACTIoNSThe bank of Nova Scotia has a significant interest in CI Financial Corp., the parent company of the Manager/Trustee.

The Corporations and the Trust may have direct or indirect holdings in The bank of Nova Scotia and/or CI Financial Corp.

as identified in the Statement of Investment Portfolio of the Corporations and of the Trust, if applicable.

10. INTerNATIoNAL FINANCIAL rePorTING STANdArdSAs previously confirmed by the Canadian Accounting Standards board (“AcSb”), most Canadian publicly accountable entities

adopted International Financial reporting Standards (“IFrS”), as published by the International Accounting Standards board, on

January 1, 2011. However, the AcSb has allowed investment funds to defer adoption of IFrS until fiscal years beginning on or

after January 1, 2014. Accordingly, the Trust and the Corporations will adopt IFrS for their fiscal period beginning January 1,

2014, and will issue their initial financial statements in accordance with IFrS, including comparative information, for the interim

period ending June 30, 2014.

11. FINANCIAL INSTrUMeNTS The categorization of financial instruments is as follows: investments and derivatives are classified as held for trading and

are stated at fair value. receivable for securities sold, dividends and accrued interest receivable, margin for short sales

and other receivables are designated as loans and receivables. They are recorded at amortized cost which approximates

their fair value due to their short-term nature. Similarly, payable for unit/share redemptions, payable for securities purchased,

management fees payable, accrued expenses, service fees payable, forward fee payable, spread fee payable, performance

fees payable, dividend payable on securities sold short and interest payable on securities sold short 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 settled within three months.

12. FINANCIAL INSTrUMeNTS rISK Risk Management

The Corporations and the Trust are exposed to a variety of financial instruments risks: credit risk, liquidity risk and market risk

(including interest rate risk, currency risk and other price risk). The level of risk to which the Corporations and the Trust are exposed

to depends on the investment objective and the type of investments held by the Corporations and the Trust. The value of the

investments within the 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 Corporations and the Trust. The Manager of the

Corporations and the Trust may minimize potential adverse effects of these risks on the Corporations’ and the Trust’s performance

by, but not limited to, regular monitoring of the Corporations’ and the Trust’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. except for options written, future contracts and investments sold short, the maximum risk resulting

from financial instruments is equivalent to their fair value.

other assets and liabilities are monetary items that are short-term in nature and therefore are not subject to significant other

price risk.



Interest Rate Risk

Interest rate risk is the risk that the fair value of interest-bearing investments and interest rate derivative instruments will

fluctuate due to changes in prevailing levels of market interest rates. As a result, the value of the Corporations or the Trust

will be affected by changes in applicable interest rates as they invest in debt securities and income trusts. 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 rather 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 the Canadian dollar, the

functional currency of the Corporations or the Trust. As a result, the Trust may be exposed to the risk that the value of

securities denominated in other currencies will fluctuate due to changes in exchange rates. The Statement of Investment

Portfolio identifies all bonds and derivative instruments denominated in foreign currencies. equities traded in foreign

markets are exposed to currency risk as the prices denominated in foreign currencies are converted to the Trust’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 debt instruments includes consideration of the credit worthiness of the debt issuer. Credit risk exposure for

derivative instruments is based on the Trust’s unrealized gain of the contractual obligations with the counterparty as at the

reporting date.

The credit risk exposure of the Corporations’ and the Trust’s other assets are represented by their carrying amount as

disclosed in the Statements of Net Assets.

Credit ratings for fixed income securities, preferred securities and derivative instruments are obtained from Standard & Poor’s,

where available, otherwise ratings are obtained from: Moody's Investors Service, dominion bond rating Services or Canadian

bond rating Services.

Credit ratings can be either long-term or short-term. Short-term credit ratings are generally assigned to those obligations

and derivative instruments considered short-term in nature.

The table below provides a cross-reference between the long-term credit ratings disclosed in the Credit rating table

inclusive of the short-term credit ratings disclosed in the derivatives schedules in the Statement of Investment Portfolio.

Credit Rating as per Credit Risk table Credit Rating as per derivatives schedules

AAA/Aaa/A++ A-1+

AA/Aa/A+ A-1, A-2, A-3

A b, b-1

bbb/baa/b++ b-2

bb/ba/b+ b-3

b C

CCC/Caa/C++ -

CC/Ca/C+ -

C and Lower d

Not rated Wr



Significant cash balances as disclosed in the Statements of Net Assets are maintained by the Custodian, rbC Investor Services

Trust. The Manager monitors the credit worthiness of the custodian on a regular basis.

All transactions executed by the Corporations and the Trust in listed securities are settled / paid for upon delivery using approved

brokers. The risk of default is considered minimal, as delivery of securities sold is only made once the broker has received payment.

Payment is made on a purchase once the securities have been received by the broker. The trade will fail if either party fails to meet

its obligation.

Liquidity Risk

Liquidity risk is the risk that the Corporations or the Trust may not be able to settle or meet their obligations, on time or at a

reasonable price. The Corporations are exposed to monthly and annual cash redemptions of redeemable shares. To finance

redemptions the Corporations will dispose of their assets. The Trust is exposed to daily cash redemption of redeemable units.

Therefore, the Trust aims to invest the majority of its assets in investments that are traded in active markets and can be readily

disposed of. In addition, the Trust aims to retain sufficient cash and cash equivalent positions to maintain liquidity. From time

to time, the Trust may enter into derivative contracts or invest in unlisted securities that may not trade in an organized market

and may be illiquid. Illiquid securities are identified in the Statement of Investment Portfolio of the Trust, if applicable.

Fair Value Hierarchy

The Corporations and the Trust are required to classify financial instruments measured at fair value using a fair value hierarchy.

Investments whose values are based on quoted market prices in active markets are classified as Level 1. This level may include

publicly traded equities, exchange traded and retail mutual funds, exchange traded warrants, futures contracts, traded options,

American depositary receipts (“Adrs”) and Global depositary receipts (“Gdrs”).

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

prices, dealer quotations or alternative pricing sources supported by observable inputs are classified as Level 2.

These may include fixed income securities, mortgage backed securities (“MbS”), short-term instruments, non-traded

warrants, over-the-counter options, structured notes of indexed securities, foreign currency forward contracts and swap

instruments.

Investments classified as Level 3 have significant unobservable inputs. Level 3 instruments may include private equities,

private term loans, private equity funds and certain derivatives. As observable prices are not available for these securities,

the Corporations and the Trust may use a variety of valuation techniques to derive the fair value.

details of the Corporations’ and the Trust’s exposure to financial instruments risks including the fair value hierarchy

classification are available in the “Corporation and Trust Specific Financial Instruments risks” section of the financial

statements.


Manager and Trustee

CI Investments Inc.2 queen Street east, 20th FloorToronto, ontarioM5C 3G7Phone: (416) 364-1145Fax: (416) 364-6299Toll Free: [email protected]

Custodian

rbC Investor Services Trust155 Wellington Street West5th FloorToronto, ontarioM5V 3L3

Auditor

PricewaterhouseCoopers LLP18 york StreetSuite 2600Toronto, ontarioM5J 0b2

registrar & Transfer Agent

Computershare Investor Services Inc.100 University Avenue8th FloorToronto, ontarioM5J 2y1

Listed

The Toronto Stock exchange

Ticker Symbol

TCP

TCZ

For more information on the Corporations and Trust, visit us online at www.ci.com.

Corporations and Trust Information

TridentPerf_SA_08_13

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

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