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

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1 Annual Financial Statements for the financial year ended December 31, 2015 Statements of Financial Position (in 000s, ecept per unit amounts) As at December 31, 2015 and 2014 (note 1) Assets December 31, 2015 December 31, 2014 Current assets Investments (non-derivative financial assets) (notes 2 and 3) $ 8,709,900 $ 8,117,362 Cash including foreign currency holdings, at fair value 5,072 4,108 Interest receivable 47,339 39,766 Receivable for units issued 5,049 6,754 Total Assets 8,767,360 8,167,990 Liabilities Current liabilities Payable for units redeemed 6,559 5,108 Derivative liabilities 4,015 3,010 Total Liabilities 10,574 8,118 Net Assets Attributable to Holders of Redeemable Units (note 5) $ 8,756,786 $ 8,159,872 Net Assets Attributable to Holders of Redeemable Units per Class Class A $ 8,756,786 $ 8,159,872 Net Assets Attributable to Holders of Redeemable Units per Unit (note 5) Class A $ 1043 $ 1046 Securities Lending The tables that follow indicate the Pool had assets involved in securities lending transactions outstanding as at December 31, 2015 and 2014 Aggregate Value of Securities on Loan ($000s) Aggregate Value of Collateral for Loan ($000s) December 31, ,866,544 1,915,881 December 31, ,088,192 2,143,160 Collateral Type* ($000s) i ii iii iv December 31, ,538, , December 31, ,771, ,061 * See note 2j for Collateral Type definitions Organization of the Fund (note 1) The Pool was established on February 1, 1991 (Date Established) Inception Date Class A October 15, 1998 The accompanying notes are an integral part of these financial statements 1

2 Statements of Comprehensive Income (in 000s, ecept per unit amounts) For the periods ended December 31, 2015 and 2014 (note 1) December 31, 2015 December 31, 2014 Net Gain (loss) on Financial Instruments Interest for distribution purposes $ 238,380 $ 208,999 Other changes in fair value of investments and derivatives Net realized gain (loss) on sale of investments and derivatives 15,509 (4,692) Net realized gain (loss) on foreign currency (notes 2f and g) (32,018) (11,006) Net change in unrealized appreciation (depreciation) of investments and derivatives (8,109) 46,335 Net Gain (loss) on Financial Instruments ±±± 213, ,636 Other Income Foreign echange gain (loss) on cash Securities lending revenue 3,100 1,251 3,671 1,332 Epenses (note 6) Management fees ± 23,548 19,645 Audit fees 9 14 Custodial fees Independent review committee fees Legal fees Regulatory fees Transaction costs Unitholder reporting costs 2,780 2,393 Other epenses ,992 22,579 Epenses waived/absorbed by the Manager (17,471) (14,725) 9,521 7,854 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (ecluding distributions) 207, ,114 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per Class (ecluding distributions) Class A $ 207,912 $ 233,114 Average Number of Units Outstanding for the period per Class Class A 813, ,172 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per Unit (ecluding distributions) Class A $ 026 $ 035 ± Maimum Chargeable Annual Management Fee Rates (note 6) Class A 025% Service Provider (note 9) The amounts paid by the Pool (including all applicable taes) to CIBC Mellon Trust Company for custodial fees, and to CIBC Mellon Global Securities Services Company (CIBC GSS) for securities lending, fund accounting and reporting, and portfolio valuation (all net of absorptions) for the periods ended December 31, 2015 and 2014 were as follows: ($000s) 1, ±±± Net Gain (Loss) on Financial Instruments (in 000s) Net gains (losses) Category December 31, 2015 December 31, 2014 Financial assets at FVTPL Held for Trading $ (33,084) $ (13,305) Designated at Inception 246, ,941 Total financial assets at FVTPL $ 213,762 $ 239,636 2 The accompanying notes are an integral part of these financial statements

3 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units (in 000s) For the periods ended December 31, 2015 and 2014 (note 1) December 31, 2015 Class A Units December 31, 2014 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (ecluding distributions) $ 207,912 $ 233,114 Distributions Paid or Payable to Holders of Redeemable Units From net investment income (231,828) (200,807) (231,828) (200,807) Redeemable Unit Transactions Amount received from the issuance of units 2,471,403 2,863,741 Amount received from reinvestment of distributions 216, ,132 Amount paid on redemptions of units (2,067,453) (1,559,212) 620,830 1,492,661 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 596,914 1,524,968 Net Assets Attributable to Holders of Redeemable Units at Beginning of Period 8,159,872 6,634,904 Net Assets Attributable to Holders of Redeemable Units at End of Period $ 8,756,786 $ 8,159,872 Redeemable Units Issued and Outstanding (note 5) As at December 31, 2015 and 2014 Balance - beginning of period 780, ,484 Redeemable units issued 235, ,023 Redeemable units issued on reinvestments 20,630 18,009 1,036, ,516 Redeemable units redeemed (196,865) (149,184) Balance - end of period 839, ,332 Net Capital and Non-Capital Losses (note 7) As at December 2015, the Pool had non-capital and capital losses (in $000s) for income ta purposes available to be carried forward as follows: Total Non-Capital Losses that Epire in: Total Net Capital Losses 2026 to ,964 The accompanying notes are an integral part of these financial statements 3

4 Statements of Cash Flows (in 000s) For the periods ended December 31, 2015 and 2014 (note 1) Cash Flows from Operating Activities December 31, 2015 December 31, 2014 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units from Operations (ecluding distributions) $ 207,912 $ 233,114 Adjustments for: Foreign echange loss (gain) on cash (571) (81) Net realized (gain) loss on sale of investments and derivatives (15,509) 4,692 Net change in unrealized (appreciation) depreciation of investments and derivatives 8,109 (46,335) Purchase of investments (15,856,830) (17,392,041) Proceeds from the sale of investments 15,272,697 15,912,620 Interest receivable (7,573) (8,482) (391,765) (1,296,513) Cash Flows from Financing Activities Amount received from the issuance of units 2,473,108 2,863,369 Amount paid on redemptions of units (2,066,002) (1,559,155) Distributions paid to unitholders (14,948) (12,675) 392,158 1,291,539 Increase (Decrease) in Cash during the Period 393 (4,974) Foreign echange loss (gain) on cash Cash (Bank Overdraft) at Beginning of Period 4,108 9,001 Cash (Bank Overdraft) at End of Period $ 5,072 $ 4,108 Interest received $ 230,807 $ 200,517 4 The accompanying notes are an integral part of these financial statements

5 Schedule of Investment Portfolio As at December 31, 2015 Security Coupon Rate (%) Maturity Date Additional Details Par Value Average Cost ($000s) Fair Value ($000s) % of Net Assets CANADIAN BONDS Government of Canada & Guaranteed Canada Housing Trust No 1 175% 2018/06/15 363,325, , ,766 Canada Housing Trust No 1 205% 2018/06/15 224,000, , ,824 Canada Housing Trust No 1 235% 2018/12/15 Series '56' 190,200, , ,304 Canada Housing Trust No 1 410% 2018/12/15 Series '23' 283,000, , ,414 Canada Housing Trust No 1 195% 2019/06/15 195,760, , ,193 Canada Housing Trust No 1 375% 2020/03/15 131,100, , ,204 CPPIB Capital Inc 140% 2020/06/04 Series 'A', Restricted, Callable 88,475,000 88,310 88,688 Government of Canada 175% 2019/03/01 240,900, , ,045 Government of Canada 175% 2019/09/01 221,275, , ,471 Government of Canada 150% 2020/03/01 354,200, , ,723 Government of Canada 350% 2020/06/01 120,000, , ,751 Government of Canada 075% 2020/09/01 316,985, , ,303 Government of Canada 275% 2022/06/01 139,900, , ,790 Government of Canada 150% 2023/06/01 170,000, , ,960 3,161,958 3,174, % Provincial Government & Guaranteed Newfoundland & Labrador Hydro 1025% 2017/07/14 Series 'X' 600, Province of Manitoba 185% 2017/06/01 150, Province of Manitoba 415% 2020/06/03 25,000,000 28,094 27,963 Province of Manitoba 160% 2020/09/05 25,000,000 25,012 25,197 Province of New Brunswick 470% 2016/07/21 200, Province of New Brunswick 450% 2020/06/02 17,375,000 18,303 19,645 Province of Ontario 420% 2018/03/08 74,775,000 81,692 80,178 Province of Quebec 450% 2016/12/01 Series 'B079' 150, Province of Quebec 450% 2017/12/01 Series 'B088' 79,125,000 87,074 84,689 Province of Quebec 450% 2018/12/01 40,875,000 46,211 44, , ,851 32% Municipal Government & Guaranteed City of Montreal 500% 2018/12/01 56,400,000 63,155 62,249 City of Montreal 545% 2019/12/01 88,450, , ,253 Greater Toronto Airports Authority 526% 2018/04/17 Callable 49,350,000 56,787 53,742 Municipal Finance Authority of British Columbia 465% 2016/04/19 82,350,000 90,005 83,284 Municipal Finance Authority of British Columbia 460% 2018/04/23 21,000,000 23,097 22,726 Municipal Finance Authority of British Columbia 235% 2018/12/03 12,800,000 13,173 13,249 Municipal Finance Authority of British Columbia 445% 2020/06/01 6,450,000 7,353 7,262 Municipality of York 500% 2019/04/29 22,600,000 25,646 25,295 Municipality of York 450% 2020/06/30 500, , ,624 42% Mortgage-Backed Securities Genesis Trust II 230% 2017/02/15 49,375,000 49,381 49,981 Genesis Trust II 170% 2020/04/15 Series '15-1' 44,500,000 44,499 44,267 Genesis Trust II 243% 2026/05/15 Class 'A', Series '2014-1' 152,370, , ,139 Institutional Mortgage Securities Canada Inc 255% 2020/12/12 Class 'A1', Series '2012-2', Callable 23,717,873 23,717 24,136 Institutional Mortgage Securities Canada Inc 284% 2023/04/12 Class 'A1', Series '2013-4', Variable Rate, Callable 34,329,312 34,329 35,213 Institutional Mortgage Securities Canada Inc 194% 2024/09/12 Class 'A1', Series '2015-6', Restricted, Callable 30,452,950 30,452 29,967 Real Estate Asset Liquidity Trust 478% 2017/03/12 Class 'A2', Series '2007-1' 21,350,000 22,901 22,114 Real Estate Asset Liquidity Trust 520% 2017/06/12 Class 'A2', Series '2007-2' 40,000,000 43,708 41,820 Real Estate Asset Liquidity Trust 460% 2023/04/12 Class 'A1', Series '2007-1' 191, Real Estate Asset Liquidity Trust 236% 2025/01/12 Class 'A1', Series '2015-1', Restricted, Callable 24,264,142 24,264 24, , ,054 49% Corporate 407 East Development Group General Partnership 281% 2016/12/18 Callable 38,000,000 38,133 38,043 Air Canada 763% 2019/10/01 Callable 5,000,000 5,345 5,256 Alimentation Couche-Tard Inc 286% 2017/11/01 45,000,000 45,003 45,907 Alimentation Couche-Tard Inc 332% 2019/11/01 15,715,000 15,872 16,387 AltaGas Ltd 407% 2020/06/01 Series '7', Callable 21,000,000 22,310 22,167 AutoCanada Inc 563% 2021/05/25 Restricted 5,050,000 5,050 4,943 Bank of Montreal 310% 2016/03/10 Callable 50,000,000 50,016 50,195 Bank of Montreal 239% 2017/07/12 Callable 30,000,000 30,653 30,526 Bank of Montreal 321% 2018/09/13 Callable 19,050,000 20,073 19,906 Bank of Montreal 243% 2019/03/04 26,400,000 27,236 27,068 Bank of Montreal 398% 2021/07/08 Variable Rate, Callable 79,625,000 79,639 80,696 Bank of Nova Scotia 361% 2016/02/22 28,550,000 28,546 28,646 Bank of Nova Scotia 180% 2016/05/09 30,090,000 30,084 30,179 Bank of Nova Scotia 210% 2016/11/08 36,900,000 36,896 37,215 Bank of Nova Scotia 410% 2017/06/08 15,000,000 15,981 15,607 Bank of Nova Scotia 237% 2018/01/11 14,275,000 14,600 14,548 Bank of Nova Scotia 224% 2018/03/22 39,525,000 39,950 40,215 Bank of Nova Scotia 133% 2018/05/01 48,675,000 48,587 48,519 Bank of Nova Scotia 275% 2018/08/13 19,000,000 19,695 19,592 Bank of Nova Scotia 246% 2019/03/14 30,000,000 30,259 30,737 Bank of Nova Scotia 240% 2019/10/28 15,000,000 15,019 15,317 Bank of Nova Scotia 290% 2022/08/03 Variable Rate, Callable 50,000,000 50,000 50,965 Bell Canada 541% 2016/09/26 Callable 5,000,000 5,440 5,146 The accompanying notes are an integral part of these financial statements 5

6 Schedule of Investment Portfolio As at December 31, 2015 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value Bell Canada 500% 2017/02/15 Callable 41,900,000 45,329 43,484 Bell Canada 440% 2018/03/16 Series 'M-22', Callable 22,000,000 23,506 23,254 Bell Canada 325% 2020/06/17 Callable 10,000,000 10,239 10,433 Bell Canada 315% 2021/09/29 Callable 10,000,000 10,296 10,299 Blackbird Infrastructure 407 General Partnership 171% 2021/10/08 Series 'B', Variable Rate, Callable 33,850,000 33,586 33,811 Caisse centrale Desjardins du Quebec 280% 2018/11/19 35,000,000 35,000 36,113 Canadian Credit Card Trust II 183% 2020/03/24 Series 'A' 46,150,000 46,174 46,093 Canadian Natural Resources Ltd 260% 2019/12/03 Callable 68,690,000 68,568 68,575 Cascades Inc 550% 2021/07/15 Restricted, Callable 12,575,000 12,586 12,262 Caterpillar Financial Services Ltd 263% 2017/06/01 25,000,000 25,450 25,439 Caterpillar Financial Services Ltd 175% 2019/06/03 20,000,000 19,996 19,996 Choice Properties LP 300% 2019/09/20 Series '7', Restricted, Callable 20,000,000 20,794 20,599 Choice Properties REIT 355% 2018/07/05 Series 'A', Callable 24,900,000 25,202 25,905 Choice Properties REIT 230% 2020/09/14 Series 'E', Callable 27,675,000 27,675 27,599 Daimler Canada Finance Inc 328% 2016/09/15 49,050,000 49,050 49,701 Daimler Canada Finance Inc 228% 2017/02/17 32,400,000 32,399 32,666 Daimler Canada Finance Inc 227% 2018/03/26 Restricted 30,000,000 29,998 30,325 Daimler Canada Finance Inc 142% 2018/10/02 20,000,000 19,996 19,772 Daimler Canada Finance Inc 178% 2019/08/19 24,325,000 24,317 24,125 DHX Media Ltd 588% 2021/12/02 Restricted, Callable 12,550,000 12,539 12,357 Dollarama Inc 310% 2018/11/05 Callable 39,200,000 39,439 40,310 Dream Office REIT 342% 2018/06/13 Series 'A', Callable 22,790,000 22,848 23,035 Dream Office REIT 407% 2020/01/21 Series 'C' 21,400,000 21,405 21,954 Enbridge Inc 453% 2020/03/09 Callable 9,000,000 9,852 9,500 Ford Credit Canada Ltd 263% 2016/11/21 Restricted 22,430,000 22,430 22,599 Ford Credit Canada Ltd 488% 2017/02/08 Callable 29,550,000 29,556 30,462 Ford Credit Canada Ltd 370% 2018/08/02 Callable 39,000,000 40,544 40,361 Ford Credit Canada Ltd 294% 2019/02/19 58,600,000 59,462 59,459 Ford Credit Canada Ltd 245% 2020/05/07 Restricted 18,000,000 17,755 17,784 GE Capital Canada Funding Co 335% 2016/11/23 29,200,000 29,170 29,789 GE Capital Canada Funding Co 553% 2017/08/17 Series 'A' 55,000,000 62,213 58,748 George Weston Ltd 378% 2016/10/25 Callable 15,000,000 15,631 15,286 Glacier Credit Card Trust 239% 2017/10/20 35,625,000 35,632 36,214 Glacier Credit Card Trust 276% 2018/11/20 Series '2013-1' 25,000,000 25,000 25,746 Glacier Credit Card Trust 257% 2019/09/20 46,750,000 46,883 47,910 Glacier Credit Card Trust 224% 2020/09/20 54,000,000 54,000 54,363 Golden Credit Card Trust 351% 2016/05/15 71,645,000 72,577 72,331 HCN Canadian Holdings-1 LP 335% 2020/11/25 Restricted 7,700,000 7,680 7,802 John Deere Canada Funding Inc 195% 2017/04/12 10,125,000 10,118 10,207 John Deere Canada Funding Inc 230% 2018/01/17 15,000,000 15,146 15,254 John Deere Canada Funding Inc 235% 2019/06/24 10,000,000 10,182 10,214 Loblaw Cos Ltd 710% 2016/06/01 23,000,000 27,246 23,537 Loblaw Cos Ltd 375% 2019/03/12 Callable 71,885,000 73,876 76,060 Manufacturers Life Insurance Co (The) 421% 2021/11/18 Variable Rate, Callable 36,200,000 36,200 37,036 Manufacturers Life Insurance Co (The) 239% 2026/01/05 Variable Rate, Callable 27,000,000 26,999 26,932 Master Credit Card Trust 350% 2016/05/21 Class 'A', Series '2011-1' 31,940,000 31,940 32,250 Master Credit Card Trust 263% 2017/01/21 31,075,000 31,079 31,554 Master Credit Card Trust II 272% 2018/11/21 89,600,000 90,068 92,577 Metro Inc 320% 2021/12/01 Series 'C', Restricted, Callable 11,000,000 10,999 11,384 National Bank of Canada 205% 2016/01/11 10,390,000 10,390 10,391 National Bank of Canada 270% 2016/12/15 36,660,000 36,666 37,203 National Bank of Canada 202% 2017/04/13 32,800,000 33,006 33,135 National Bank of Canada 240% 2019/10/28 40,400,000 41,412 41,285 National Bank of Canada 326% 2022/04/11 Variable Rate, Callable 13,100,000 13,100 13,348 NAV Canada 471% 2016/02/24 Callable 32,325,000 34,881 32,486 Parkland Fuel Corp 550% 2021/05/28 Restricted, Callable 5,000,000 5,000 4,952 Parkland Fuel Corp 600% 2022/11/21 Restricted, Callable 13,000,000 13,000 13,006 Penske Truck Leasing Canada Inc 365% 2018/02/01 Callable 20,000,000 19,986 20,640 Penske Truck Leasing Canada Inc 295% 2020/06/12 Callable 9,000,000 8,997 9,099 RioCan REIT 362% 2020/06/01 Series 'U' 8,900,000 8,917 9,338 Rogers Communications Inc 580% 2016/05/26 Callable 69,100,000 77,206 70,296 Rogers Communications Inc 300% 2017/06/06 Callable 25,000,000 25,664 25,473 Rogers Communications Inc 280% 2019/03/13 45,700,000 45,687 46,844 Rogers Communications Inc 470% 2020/09/29 Callable 48,000,000 53,575 52,867 Rogers Communications Inc 534% 2021/03/22 Callable 10,000,000 11,328 11,329 Royal Bank of Canada 336% 2016/01/11 15,140,000 15,081 15,143 Royal Bank of Canada 236% 2017/09/21 75,400,000 76,199 76,752 Royal Bank of Canada 226% 2018/03/12 30,000,000 29,993 30,540 Royal Bank of Canada 282% 2018/07/12 24,675,000 25,603 25,485 Royal Bank of Canada 289% 2018/10/11 33,825,000 35,262 35,059 Royal Bank of Canada 299% 2024/12/06 Variable Rate, Callable 42,100,000 42,100 43,442 Shaw Communications Inc 435% 2024/01/31 Callable 5,700,000 5,699 5,968 Shoppers Drug Mart Corp 201% 2016/05/24 Series '5' 19,500,000 19,497 19,557 Shoppers Drug Mart Corp 236% 2018/05/24 Series '6', Callable 25,700,000 25,690 26,107 Sobeys Inc 352% 2018/08/08 18,900,000 18,897 19,583 Sun Life Financial Inc 570% 2019/07/02 Series 'D', Callable 27,000,000 30,969 30,530 Sun Life Financial Inc 438% 2022/03/02 Series '2012-1', Variable Rate, Callable 38,310,000 38,322 39,443 Sun Life Financial Inc 559% 2023/01/30 Variable Rate, Callable 10,000,000 11,010 10,732 Sun Life Financial Inc 277% 2024/05/13 Series '14-1', Callable 15,500,000 15,494 15,751 Suncor Energy Inc 310% 2021/11/26 Series '5', Callable 26,300,000 26,211 27,031 TELUS Corp 150% 2018/03/27 40,000,000 39,985 39,802 TELUS Corp 505% 2020/07/23 Series 'CH', Callable 15,000,000 16,772 16,756 Teranet Holdings LP 481% 2020/12/16 Callable 30,000,000 33,532 32,951 Average Cost ($000s) Fair Value ($000s) % of Net Assets 6 The accompanying notes are an integral part of these financial statements

7 Schedule of Investment Portfolio As at December 31, 2015 (cont'd) Security Coupon Rate (%) Maturity Date Additional Details Par Value Thomson Reuters Corp 337% 2019/05/23 87,600,000 90,760 91,068 Thomson Reuters Corp 435% 2020/09/30 Callable 25,000,000 26,816 27,054 Thomson Reuters Corp 331% 2021/11/12 Callable 29,800,000 29,800 30,568 Toronto-Dominion Bank (The) 182% 2017/04/03 42,000,000 42,526 42,350 Toronto-Dominion Bank (The) 243% 2017/08/15 45,350,000 46,679 46,235 Toronto-Dominion Bank (The) 217% 2018/04/02 19,050,000 19,426 19,385 Toronto-Dominion Bank (The) 245% 2019/04/02 136,100, , ,639 Toronto-Dominion Bank (The) 169% 2020/04/02 60,100,000 60,100 59,772 Toyota Credit Canada Inc 220% 2017/10/19 20,400,000 20,380 20,674 Toyota Credit Canada Inc 280% 2018/11/21 23,000,000 23,724 23,767 Union Gas Ltd 535% 2018/04/27 Series '6', Callable 7,000,000 8,075 7,603 VW Credit Canada Inc 245% 2017/11/14 Restricted 46,200,000 46,268 45,919 Wells Fargo Financial Canada Corp 370% 2016/03/30 27,360,000 27,352 27,533 Wells Fargo Financial Canada Corp 304% 2021/01/29 10,000,000 10,447 10,479 West Edmonton Mall Property Inc 406% 2024/02/13 Series 'B2', Sinkable 41,247,957 42,045 43,663 3,800,398 3,809, % TOTAL CANADIAN BONDS 8,057,606 8,065, % INTERNATIONAL BONDS 1 Ireland (note 10) AerCap Ireland Capital Ltd 375% 2019/05/15 Callable, USD 30,000,000 32,469 41,563 32,469 41,563 05% 1 Netherlands (note 10) Fiat Chrysler Automobiles NV 450% 2020/04/15 Callable, USD 8,950,000 11,302 12,601 LyondellBasell Industries NV 500% 2019/04/15 Callable, USD 22,300,000 22,113 32,848 33,415 45,449 05% 1 United States (note 10) Ally Financial Inc 550% 2017/02/15 USD 15,550,000 16,540 22,216 Amsted Industries Inc 500% 2022/03/15 Callable, USD 10,000,000 11,128 13,906 Amsted Industries Inc 538% 2024/09/15 Callable, USD 18,000,000 19,573 24,533 Anheuser-Busch InBev Finance Inc 238% 2018/01/25 Callable 90,500,000 90,064 91,594 Fresenius Medical Care US Finance II Inc 563% 2019/07/31 Callable, USD 10,930,000 11,103 16,353 Frontier Communications Corp 888% 2020/09/15 Callable, USD 8,700,000 11,569 12,219 HCA Inc 375% 2019/03/15 USD 3,000,000 3,325 4,193 International Lease Finance Corp 388% 2018/04/15 USD 1,850,000 1,907 2,585 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / 575% 2020/10/15 Callable, USD Reynolds Group Issuer (Luembourg) SA 8,400,000 8,168 11,852 Triumph Group Inc 488% 2021/04/01 Callable, USD 9,150,000 9,195 10,263 Valeant Pharmaceuticals International Inc 675% 2018/08/15 Callable, USD 7,650,000 10,521 10, , ,257 25% TOTAL INTERNATIONAL BONDS 258, ,269 35% TOTAL BONDS 8,316,583 8,372, % TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS 8,316,583 8,372, % SHORT-TERM INVESTMENTS Government of Canada 042% 2016/02/11 Treasury Bill 113,600, , ,546 Government of Canada 051% 2016/03/10 Treasury Bill 50,300,000 50,231 50,252 Government of Canada 048% 2016/03/24 Treasury Bill 61,325,000 61,245 61,257 Government of Canada 052% 2016/04/07 Treasury Bill 25,000,000 24,965 24,965 Province of Ontario 054% 2016/02/03 Treasury Bill 50,000,000 49,936 49,976 Province of Quebec 053% 2016/01/22 Discount Note 29,500,000 29,448 29,491 Royal Bank of Canada 045% 2016/01/04 Term Deposit 7,900,000 7,900 7,900 TOTAL SHORT-TERM INVESTMENTS 337, ,387 39% Less: Transaction costs included in average cost TOTAL INVESTMENTS 8,653,780 8,709, % Derivative liabilities (4,015) 00% Other Assets, less Liabilities 50,901 05% TOTAL NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 8,756, % 1 Hedging reference number Refers to a corresponding number on the Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts Average Cost ($000s) Fair Value ($000s) % of Net Assets Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts (note 10) Hedging Ref No** Counterparty Credit Rating for Counterparty* Settlement Date Currency Buys Par Value Currency Sells Par Value Forward Rate Current Rate Unrealized Gain (Loss) ($000s) 1 Royal Bank of Canada A /03/11 CAD 203,758,561 USD 150,160, (3,980) 1 State Street Trust Co Canada A /03/11 CAD 10,859,468 USD 7,875, (35) Derivative Assets and Liabilities - Forwards (4,015) * The credit rating of each counterparty (as rated by Standard & Poor's, a division of McGraw-Hill Financial Inc) of the forward foreign currency contracts held by the Pool meets or eceeds the minimum approved credit rating ** See corresponding reference number on the Schedule of Investment Portfolio The accompanying notes are an integral part of these financial statements 7

8 Supplemental Schedule to Schedule of Investment Portfolio Offsetting Arrangements (note 2d) (in 000s) The Pool may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statements of Financial Position but still allow for the related amounts to be set off in certain circumstances, such as bankruptcy or the termination of the contracts The following table reconciles the net amount of Over-The-Counter derivatives presented in the Statements of Financial Position, as at December 31, 2015 and 2014, to: l l The gross amount before offsetting required under IFRS; and The net amount after offsetting under the terms of master netting arrangements or other similar arrangements, but which do not meet the criteria for offsetting under IFRS Financial Assets and Liabilities Amounts Offset Amounts Not Offset Net Gross Assets (Liabilities) Amounts Offset Under IFRS Net Amounts Presented on Statements of Financial Position Master Netting Arrangements Cash Collateral Received As at December 31, 2015 OTC Derivative Assets $ $ $ $ $ $ OTC Derivative Liabilities (4,015) (4,015) (4,015) Total $ (4,015) $ $ (4,015) $ $ $ (4,015) As at December 31, 2014 OTC Derivative Assets $ $ $ $ $ $ OTC Derivative Liabilities (3,010) (3,010) (3,010) Total $ (3,010) $ $ (3,010) $ $ $ (3,010) Interests in Underlying Funds (note 4) As at December 31, 2015 and 2014, the Pool had no significant investments in underlying funds 8 The accompanying notes are an integral part of these financial statements

9 Financial Instrument Risks Investment Objective: (the Pool) seeks to provide a high level of interest income and some capital growth, while attempting to preserve capital by investing primarily in bonds, debentures, notes, or other debt instruments of Canadian and non-canadian issuers, with a remaining term-to-maturity of one to five years Investment Strategies: The term-to-maturity of the Pool is adjusted to reflect the portfolio advisor s outlook for interest rates Pool assets are then allocated to those sectors of the bond market that are epected to outperform Adjustments to the portfolio are based on a review of macroeconomic and capital market conditions both inside and outside of North America, along with detailed issuer credit reviews Significant risks that are relevant to the Pool are discussed here General information on risk management and specific discussion on concentration, credit, currency, interest rate, liquidity, and other price/market risk can be found in note 2 of the financial statements In the following risk tables, Net Assets is defined as meaning Net assets attributable to holders of redeemable units" Concentration Risk as at December 31, 2015 and 2014 The Schedule of Investment Portfolio presents the securities held by the Pool as at December 31, 2015 The following table presents the investment sectors held by the Pool as at December 31, 2014 and groups the securities by asset type, industry sector, geographic region, or currency eposure: As at December 31, 2014 Portfolio Breakdown % of Net Assets Canadian Bonds Government of Canada & Guaranteed 352 Provincial Government & Guaranteed 30 Municipal Government & Guaranteed 39 Mortgage-Backed Securities 44 Corporate 451 International Bonds Ireland 04 Netherlands 03 United States 26 Short-Term Investments 45 Other Assets, less Liabilities 06 Total 1000 Credit Risk Credit ratings represent a consolidation of the ratings provided by various outside service providers and are subject to change, which could be material See the Schedule of Investment Portfolio for counterparty from over-the-counter derivative contracts, where applicable As at December 31, 2015 and 2014, the Pool invested in debt securities with the following credit ratings: % of Net Assets Debt Securities by Credit Rating December 31, 2015 December 31, 2014 'AAA' 'AA' 'A' 'BBB' Below 'BBB' Total Currency Risk The tables that follow indicate the currencies to which the Pool had significant eposure as at December 31, 2015 and 2014, based on the market value of the Pool's financial instruments (including cash and cash equivalents) and the underlying principal amounts of forward foreign currency contracts, as applicable As at December 31, 2015 Currency (note 2l) Total Currency Eposure* ($000s) % of Net Assets USD 4, * Amounts reflect the carrying value of monetary and non-monetary items (including the notional amount of forward foreign currency contracts, if any) As at December 31, 2014 Currency (note 2l) Total Currency Eposure* ($000s) % of Net Assets USD 8, * 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 December 31, 2015 and 2014 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 December 31, 2015 December 31, 2014 Impact on Net Assets ($000s) Interest Rate Risk The Pool s short-term assets and liabilities were not subject to significant amounts of risk due to fluctuations in the prevailing level of market interest rates The table that follows indicates the Pool s eposure to fied income securities by remaining term-to-maturity December 31, 2015 December 31, 2014 Remaining Term-to-Maturity ($000s) ($000s) Less than 1 year 731, , years 3,128,565 2,571, years 3,339,192 3,011,800 > 5 years 1,173,586 1,376,873 Total 8,372,513 7,749,715 The table that follows indicates how net assets as at December 31, 2015 and 2014 would have increased or decreased had the interest rate decreased or increased by 25 basis points and assuming a parallel shift in the yield curve This change is estimated using the weighted average duration of the fied income portfolio This analysis assumes that all other variables remain unchanged In practice, actual results may differ from this analysis and the difference could be material December 31, 2015 December 31, 2014 Impact on Net Assets ($000s) 69,066 65,917 Liquidity Risk Liquidity risk is the risk that the Pool will encounter difficulty in meeting obligations associated with financial liabilities The Pool is eposed to daily cash redemptions of redeemable units The Pool maintains sufficient cash on hand to fund anticipated redemptions With the eception of derivative contracts, where applicable, all of the Pool s financial liabilities are short-term liabilities maturing within 90 days after the period end For pools that hold derivative contracts with a term-to-maturity that eceeds 90 days from the period end, further information related to those contracts can be referenced in the derivative schedules following the Schedule of Investment Portfolio Other Price/Market Risk As at December 31, 2015 and 2014, the Pool did not have a significant eposure to other price/market risk Fair Value Measurement of Financial Instruments The following is a summary of the inputs used as at December 31, 2015 and 2014 in valuing the Pool s financial assets and financial liabilities, carried at fair value: The accompanying notes are an integral part of these financial statements 9

10 As at December 31, 2015 Level 1 (i) Level 2 (ii) Level 3 (iii) Total Classification ($000s) ($000s) ($000s) ($000s) Financial Assets Fied Income Securities 8,372,513 8,372,513 Short-Term Investments 337, ,387 Derivative assets 214, ,618 Total Financial Assets 8,924,518 8,924,518 Financial Liabilities Derivative liabilities (218,633) (218,633) Total Financial Liabilities (218,633) (218,633) Total Financial Assets and Liabilities 8,705,885 8,705,885 (i) Quoted prices in active markets for identical assets (ii) Significant other observable inputs (iii) Significant unobservable inputs As at December 31, 2014 Level 1 (i) Level 2 (ii) Level 3 (iii) Total Classification ($000s) ($000s) ($000s) ($000s) Financial Assets Fied Income Securities 7,749,715 7,749,715 Short-Term Investments 367, ,647 Derivative assets 194, ,179 Total Financial Assets 8,311,541 8,311,541 Financial Liabilities Derivative liabilities (197,189) (197,189) Total Financial Liabilities (197,189) (197,189) Total Financial Assets and Liabilities 8,114,352 8,114,352 (i) Quoted prices in active markets for identical assets (ii) Significant other observable inputs (iii) Significant unobservable inputs Transfer of assets between Level 1 and Level 2 Financial assets and liabilities transferred from Level 1 to Level 2 are the result of securities no longer being traded in an active market For the periods ended December 31, 2015 and 2014, 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 December 31, 2015 and 2014, there were no transfers of financial assets and liabilities from Level 2 to Level 1 Reconciliation of financial asset and liability movement Level 3 The Pool did not hold any significant positions of Level 3 investments at the beginning of, during, or at the end of either reporting period 10 The accompanying notes are an integral part of these financial statements

11 Notes to Financial Statements As at and for the periods as disclosed in the financial statements (note 1) 1Organization of the Funds and Financial Reporting Periods The Imperial Pools consist of Imperial Money Market Pool,, Imperial Canadian Bond Pool, Imperial Canadian Diversified Income Pool, Imperial International Bond Pool, Imperial Equity High Income Pool, Imperial Canadian Dividend Income Pool, Imperial Global Equity Income Pool, Imperial Canadian Equity Pool, Imperial US Equity Pool, Imperial International Equity Pool, Imperial Overseas Equity Pool, and Imperial Emerging Economies Pool (individually, a Pool, and collectively, the Pools) Conservative Income Portfolio, Balanced Income Portfolio and Enhanced Income Portfolio (individually, a Portfolio, and collectively, the Portfolios) were established on December 14, 2015 Each of the Imperial Pools and Portfolios (individually, a Fund, and collectively, the Funds) is a mutual fund trust organized under the laws of Ontario and governed by a declaration of trust (Declaration of Trust) The address of the Funds' registered office is 18 York Street, Suite 1300, Toronto, Ontario Canadian Imperial Bank of Commerce (CIBC) is the manager (the Manager) of the Funds and CIBC Trust Corporation is the trustee (the Trustee) of the Funds Each Fund may issue an unlimited number of classes of units and an unlimited number of units of each class As at the date of these financial statements, Class A units of each of the Pools are offered for sale In the future, the offering of any classes of a Fund may be terminated or additional classes may be offered The date upon which each Fund was established by Declaration of Trust (Date Established) and the date upon which units of each Fund was first sold to the public (Inception Date) are reported in footnote Organization of the Fund on the Statements of Financial Position The Schedule of Investment Portfolio of each Fund is as at December 31, 2015 The Statements of Financial Position of each of the Funds are as at December 31, 2015 and 2014 The Statements of Comprehensive Income, Statements of Changes in Net Assets Attributable to Holders of Redeemable Units, and Statements of Cash Flows of each of the Funds are for the years ended December 31, 2015 and 2014, ecept for Funds established during either year, in which case the information presented is from the Date Established or the Inception Date to December 31, 2015 or 2014 These financial statements were approved for issuance by the Manager on March 2, Summary of Significant Accounting Policies These financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB) The Funds adopted IFRS in 2014 as required by Canadian securities legislation and the Canadian Accounting Standards Board Previously, the Funds prepared their financial statements in accordance with Canadian generally accepted accounting principles (GAAP) as defined in Part V of the CPA Canada Handbook The financial statements have been prepared on a going concern basis using the historical cost convention However, each Fund is an investment entity and primarily all financial assets and financial liabilities are measured at fair value in accordance with IFRS Accordingly, the Funds accounting policies for measuring the fair value of investments and derivatives are consistent with those used in measuring the Net Asset Value for transactions with unitholders In applying IFRS, these financial statements include estimates and assumptions made by management that affect the reported amounts of assets, liabilities, income, and epenses during the reporting periods However, eisting circumstances and assumptions may change due to market changes or circumstances arising beyond the control of the Funds Such changes are reflected in the assumptions when they occur These financial statements have been presented in Canadian dollars, which is the Funds functional currency (unless otherwise noted) a) Financial Instruments Classification and recognition of financial instruments In accordance with IAS 39 Financial Instruments: Recognition and Measurement, financial assets and financial liabilities are classified at initial recognition into the following categories: Financial assets and liabilities at fair value through profit or loss (FVTPL) This category is sub-divided into: l l Financial instruments classified as Held For Trading: Financial assets and liabilities are classified as Held For Trading if they are acquired for the purpose of selling and/or repurchasing in the near term, and are acquired principally for the purpose of generating a profit from short-term fluctuations in price Derivatives and securities sold short held by the Funds are classified as Held For Trading and do not meet the definition of effective hedging instruments as defined by IAS 39 Financial instruments designated as FVTPL through inception: All investments held by the Funds, ecluding those classified as Held For Trading (discussed above), are designated as fair value through profit or loss upon initial recognition These financial assets are designated upon initial recognition on the basis that they are part of a group of financial assets that are managed and have their performance evaluated on a fair value basis, in accordance with risk management and investment strategies of the Funds, as set out in the Funds prospectus Loans and receivables The Funds include in this category receivable balances relating to portfolio investments and other short-term receivables such as receivable for units issued Other financial liabilities This category includes all financial liabilities, other than those classified as fair value through profit or loss The Funds include in this category amounts relating to payables for portfolio securities purchased and other accrued liabilities such as payable for units redeemed and distributions payable to holders of redeemable units All Funds have contractual obligations to distribute cash to the unitholders As a result, each Fund's obligation for net assets attributable to holders of redeemable units represents a financial liability and is presented at the redemption amount b) Risk management The Funds overall risk management approach includes formal guidelines that govern the etent of eposure to various types of risk, including diversification within asset classes and limits on the eposure to individual investments and counterparties In addition, derivative financial instruments may be used to manage certain risk eposures The Manager also has various internal controls to oversee the Funds investment activities, including monitoring compliance with the investment objectives and strategies, internal guidelines, and securities regulations Please refer to each Fund s Supplemental Schedule to Schedule of Investment Portfolio for specific risk disclosures Fair value of financial instruments by using valuation techniques Financial instruments are valued at their fair value which is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date Refer to note 3a to 3f for valuation of each specific type of financial instrument held by the Funds The fair value of financial assets and liabilities traded in active markets are based on quoted market prices at the close of trading on the reporting date The Funds use the last traded market price for both financial assets and financial liabilities where the last traded price falls within that day s bid-ask spread In circumstances where the last traded price is not within the bid-ask spread, the Manager determines the price that is most representative of fair value based on the specific facts and circumstances For financial assets and financial liabilities that are not traded in an active market, fair value is determined using valuation techniques The Funds classify fair value measurement within a hierarchy which gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3) The three levels of the fair value hierarchy are: Level 1: Level 2: Level 3: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date; Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and Inputs are unobservable for the asset or liability 11

12 p / 2 Notes to Financial Statements If inputs are used to measure an asset s or liability s fair value, the classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement Each Fund s fair value hierarchy classification of its assets and liabilities is included in the Supplemental Schedule to Schedule of Investment Portfolio The carrying values of all non-investment assets and liabilities approimate their fair values due to their short-term nature Fair values are classified as Level 1 when the related security or derivative is actively traded and a quoted price is available If an instrument classified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1 In such cases, instruments are reclassified into Level 2, unless the measurement of its fair value requires the use of significant unobservable inputs, in which case it is classified as Level 3 The Manager is responsible for performing the fair value measurements included in the financial statements of a Fund, including the Level 3 measurements The Manager obtains pricing from third-party pricing vendors and the pricing is reviewed daily At each financial reporting date, the Manager reviews and approves all Level 3 fair value measurements The Funds also have a Valuation Committee which meets quarterly to perform detailed reviews of the valuations of investments held by the Funds which includes discussion on Level 3 measurements Credit risk Credit risk is the risk that a counterparty to a financial instrument, such as a fied income security or a derivative contract, will fail to discharge an obligation or commitment that it has entered into with the Funds The value of fied income securities and derivatives as presented on the Schedule of Investment Portfolio includes consideration of the creditworthiness of the issuer and, accordingly, represents the maimum credit risk eposure of the Funds Certain Funds may invest in short-term fied income securities issued or guaranteed primarily by the Government of Canada or any Canadian provincial government, obligations of Canadian chartered banks or trust companies, and commercial paper with approved credit ratings The risk of default on these short-term fied income securities is considered low and these securities primarily have credit ratings of A-1 (Low) or higher (as rated by Standard & Poor s, a division of McGraw Hill Financial, Inc, or equivalent rating from another rating service) 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 echange rates Mutual funds may invest in securities denominated or traded in currencies other than the funds reporting currency Interest rate risk Prices of fied income securities generally increase when interest rates decline and decrease when interest rates rise This risk is known as interest rate risk Prices of longer-term fied income securities will generally fluctuate more in response to interest rate changes than would shorter-term securities Due to the nature of short-term fied income securities with a remaining term-to-maturity of less than one year, these investments are not generally eposed to a significant risk that their value will fluctuate in response to changes in the prevailing levels of market interest rates Liquidity risk The Funds are eposed to daily cash redemptions of redeemable units Generally, the Funds retain sufficient cash and cash equivalent positions to maintain adequate liquidity However, liquidity risk also involves the ability to sell an asset for cash easily and at a fair price Some securities are illiquid due to legal restrictions on their resale, the nature of the investment, or simply a lack of interested buyers for a particular security or security type Certain securities may become less liquid due to changes in market conditions, such as interest rate changes or market volatility, which could impair the ability of a Fund to sell such securities quickly or at a fair price Difficulty in selling securities could result in a loss or lower return for a Fund Other price/market risk Other price/market risk is the risk that the value of investments will fluctuate as a result of changes in market conditions Several factors can influence market trends, such as economic developments, changes in interest rates, political changes, and catastrophic events All investments are eposed to other price/market risk c) Investment Transactions, Income Recognition, and Recognition of Realized and Unrealized Gains and Losses i) Interest for distribution purposes shown on the Statements of Comprehensive Income represents the coupon interest received by the Fund accounted for on an accrual basis The Funds do not amortize premiums paid or discounts received on the purchase of fied income securities ecept for zero coupon bonds, which are amortized on a straight-line basis ii) iii) iv) Dividend income is recorded on the e-dividend date Securities that are echange-traded are recorded at fair value established by the last traded market price when that price falls within that day s bid-ask spread Debt securities are recorded at fair value, established by the last traded price on the over-the-counter market (OTC) when that price falls within that day s bid-ask spread In circumstances where the last traded price is not within the bid-ask spread, the Manager determines the price that is most representative of fair value based on the specific facts and circumstances Unlisted securities are recorded at fair value using fair valuation techniques established by the Manager in establishing a fair value Realized gains and losses on investments and unrealized appreciation or depreciation of investments are calculated using the average cost, ecluding transaction costs, of the related investments v) Other income is the sum of income, ecluding transaction costs, other than that which is separately classified on the Statements of Comprehensive Income d) Offsetting Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position, if there is a currently enforceable legal right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously Where applicable, additional information can be found in the table Offsetting Arrangements as part of the Supplemental Schedule to Schedule of Investment Portfolio This supplemental schedule discloses the OTC derivatives which are subject to offsetting e) Portfolio Securities The cost of securities of a Fund is determined in the following manner: securities are purchased and sold at a market-traded price to arrive at a value for the position traded The total purchased value represents the total cost of the security to the Fund When additional units of the same security are purchased, the cost of those additional units is added to the total security cost When units of the same security are sold, the proportionate cost of the units of the security sold is deducted from the total security cost If there is a return of capital paid by a security, the amount of this return of capital is deducted from the total security cost This method of tracking security cost is known as average cost and the current total for any one security is referred to as the adjusted cost base or ACB of the security Transaction costs incurred in portfolio transactions are ecluded from the average cost of investments and are recognized immediately in net income and are presented as a separate epense item in the financial statements The difference between the fair value of securities and their average cost, ecluding transaction costs, represents the unrealized appreciation (depreciation) in value of the portfolio investments The applicable period change in unrealized appreciation (depreciation) of investments is included on the Statements of Comprehensive Income Short-term investments on the Schedule of Investment Portfolio are presented at their amortized cost which approimates the fair value Accrued interest for bonds is disclosed separately on the Statements of Financial Position f) Foreign Echange The value of investments and other assets and liabilities denominated in foreign currencies is translated into Canadian dollars, which is the Funds functional and presentation currency at the current rates prevailing on each valuation date (unless otherwise indicated) Purchases and sales of investments, income, and epenses are translated into Canadian dollars, which is the Pools functional and presentation currency at the foreign echange rates prevailing on the dates of such transactions Foreign currency translation gains (losses) on investments and income transactions are included in Net realized gain (loss) on foreign currency on the Statements of Comprehensive Income 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 12