semi-annual financial statements – as at june 30, 2016 · 8,670 samsung electronics co., ltd....

Semi-Annual Financial Statements – a s a t J u n e 3 0 , 2 0 1 6

Clarica Segregated Funds

issued by Sun Life Assurance Company of Canada

A look inside

Equity Funds

Clarica CI Dividend Equity Benefit Fund ..................................................................................... 1

Clarica CI Equity Fund B .............................................................................................................. 7

Clarica CI North American Equity Fund ...................................................................................... 13

Income Funds

Clarica Income Fund 2 ................................................................................................................ 19

Notes to the Financial Statements ...................................................................................... 25

Legal Notice ............................................................................................................................. 29

CI Investments Inc., the Manager of the Funds, appoints independent auditors to audit the Funds’

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 Funds’ 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.

– 1 –Semi-Annual Financial Statements as at June 30, 2016

Clarica CI Dividend Equity Benefit Fund

2016 2015

- - 106 111 596 605 122 339

(767) (677)

- - 168 196 225 574

29 34 14 16 14 17 - - 57 67

168 507

9.81 27.27

17,161 18,601

as at as atJun. 30, 2016 Dec. 31, 2015

14,558 15,116 130 113 - - - - - - 58 - 1 1 14,747 15,230

- - - 3 62 - - - - - - - 62 3 14,685 15,227

11,795 11,586

878.35 866.72

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

Financial Statements (unaudited)

CIG - 8880

Statements of Financial Position (in $000’s except for per unit amounts)

Statements of Comprehensive Income for the periods ended June 30 (in $000’s except for per unit amounts and number of units)

Assets Current assets Investments* Cash Fees rebate receivable Dividends receivable Interest receivable Receivable for investments sold Receivable for unit subscriptions

Liabilities Current liabilities Bank overdraft Payable for investments purchased Payable for unit redemptions Management fees payable Administration fees payable Insurance fees payable

Net assets attributable to contractholders

*Investments at cost

Net assets attributable to contractholders per unit: Class A

Income Net gain (loss) on investments Dividends Income distributions from investments Capital gain distributions from investments Net realized gain (loss) on sale of investments Change in unrealized appreciation (depreciation) in value of

investments Other income Interest Fees rebate (Note 6)

Expenses (Note 6) Management fees Administration fees Insurance fees Harmonized sales tax

Increase (decrease) in net assets from operations attributable to contractholders

Increase (decrease) in net assets from operations attributable to contractholders per unit: Class A

Weighted average number of units: Class A



*Dividends and interest received as well as dividends and interest paid relate to operating activities of the Fund. The accompanying notes are an integral part of these financial statements.


2016 2015

15,227 16,818

168 507

38 41 (748) (1,149) (710) (1,108)

14,685 16,217

FundNet assets attributable to contractholders at the beginning of period Increase (decrease) in net assets from operations attributable to contractholders Unit transactions Proceeds from issuance of units Amounts paid on redemption of units

Net assets attributable to contractholders at the end of period

Statements of Changes in Net Assets Attributable to Contractholdersfor the periods ended June 30 (in $000’s)

2016 2015

168 507

(122) (339)

767 677 644 1,152 (792) (902) - - - - - - - - - - - 1 665 1,096

38 41 (686) (1,198) (648) (1,157)

17 (61) 113 161 130 100

- - - - - - - -

Statements of Cash Flowsfor the periods ended June 30 (in $000’s)

Cash flows from (used in) operating activities Increase (decrease) in net assets from operations attributable to contractholders Adjustments for: Net realized (gain) loss on sale of investments Change in unrealized (appreciation) depreciation in value of

investments Proceeds from sale of investments Purchase of investments (Increase) decrease in dividends receivable (Increase) decrease in interest receivable Increase (decrease) in management fees payable Increase (decrease) in administration fees payable Increase (decrease) in insurance fees payable (Increase) decrease in fees rebate receivable Net cash from (used in) operating activities

Cash flows from (used in) financing activities Proceeds from issuance of unitsAmounts paid on redemption of unitsNet cash from (used in) financing activities

Net increase (decrease) in cashCash (bank overdraft), beginning of periodCash (bank overdraft), end of period

Supplementary Information: Dividends received, net of withholding tax*Interest received*Dividends paid*Interest paid*



Schedule of Investment Portfolioas at June 30, 2016 (unaudited)

No. ofUnits/Shares Description

AverageCost ($)

FairValue ($)

618,950 Signature Select Canadian Corporate Class (A Shares)† 11,795,263 14,557,706 Total Investments (99.1%) 11,795,263 14,557,706 Other Net Assets (Liabilities) (0.9%) 127,377 Net Assets Attributable to Contractholders (100.0%) 14,685,083

Top 25 Holdings of the Underlying Fundas at June 30, 2016 (unaudited)


AverageCost ($)

FairValue ($)

Cash & Equivalents 99,842,022 593,500 SPDR Gold Trust 91,323,765 97,023,788 744,550 The Bank of Nova Scotia 45,121,433 47,137,461 712,100 Toronto-Dominion Bank 31,381,475 39,507,308 515,550 Royal Bank of Canada 34,845,413 39,357,087 504,400 Alimentation Couche-Tard Inc., Class B 7,287,600 27,984,112 415,200 Citigroup Inc. 21,717,229 22,741,499 426,600 Rogers Communications Inc., Class B 19,298,163 22,311,180 1,223,390 Manulife Financial Corp. 24,458,599 21,617,301 275,500 Canadian National Railway Co. 13,012,947 21,017,895 511,150 Canadian Natural Resources Ltd. 17,816,265 20,374,439 59,700 Roche Holding AG 13,613,775 20,232,602 421,300 Devon Energy Corp. 24,911,344 19,733,212 285,350 Loblaw Co., Ltd. 11,905,085 19,720,539 327,200 TransCanada Corp. 16,592,493 19,128,112 506,024 Suncor Energy Inc. 18,011,499 18,135,900 329,350 Enbridge Inc. 16,549,167 18,025,326 445,980 Saputo Inc. 9,865,362 17,112,253 440,500 Sony Corp. 14,108,164 16,470,764 18,341 Alphabet Inc., Class C 5,575,154 16,401,750 440,000 Suncor Energy Inc., (Restricted) 15,400,000 15,769,600 599,701 JPMorgan Chase & Co., Warrants (28Oct18) 8,488,377 15,691,271 159,300 Bristol-Myers Squibb Co. 13,485,719 15,138,985 511,450 Forest City Realty Trust Inc. 10,730,455 14,743,516 8,670 Samsung Electronics Co., Ltd. 12,950,139 13,851,386

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


Clarica CI Dividend Equity Benefit FundFund Specific Notes to Financial Statements (unaudited)

Interest in Underlying Fund (Note 2)

The following tables present the Fund’s interest in the Underlying Fund.

Unit Transactions (Note 5)for the periods ended June 30

Number of units at the beginning of periodUnits issued for cashUnits redeemed Number of units at the end of period

Class A 2016 2015 17,568 19,222 45 45 (894) (1,256) 16,719 18,011


as at June 30, 2016 Fair Value of

the Underlying FundFair Value of the Fund’s Investment

in the Underlying FundOwnership

in the Underlying Fund

Underlying Fund (in $000’s) (in $000’s) (%)Signature Select Canadian Corporate Class 1,323,587 14,558 1.1

as at December 31, 2015Fair Value of







Financial Highlights The following table shows selected key financial information about the Fund and is intended to help you understand the Fund’s financial performance for the past six periods, as applicable.

The Fund’s Net Asset Value per UnitNet assets at the end of the period shown ($) (1)

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

Number of units outstanding (1)

Portfolio turnover rate (%) (2)

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

Harmonized sales tax (%) (3)

Management expense ratio after taxes (%) (3)

Effective HST rate for the period (%) (3)

*Historical figures are based on Canadian GAAP, for more details refer to footnote 4.


Financial Information (for the period ended June 30, 2016 and the years ended December 31) (unaudited)

Class A 2016 2015 2014 2013 2012* 2011*

878.35 866.72 874.94 774.73 641.80 585.46

14,685 15,227 16,818 15,854 14,155 13,897 16,719 17,568 19,222 20,464 22,055 23,737 4.88 6.28 2.00 1.93 1.91 91.18

0.80 0.80 0.80 0.80 0.79 0.80 0.08 0.08 0.09 0.08 0.08 0.08 0.88 0.88 0.89 0.88 0.87 0.88 10.34 10.38 10.42 10.73 9.93 9.83

(1) This information is provided for the period ended June 30, 2016 and the years ended December 31.(2) The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the

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

necessarily a relationship between a high turnover rate and the performance of a fund.(3) Management expense information is calculated based on expenses charged directly to the Fund plus, if applicable, expenses of the underlying fund, calculated on a weighted average basis on the percentage weighting of the underlying fund and

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

in a Harmonized sales tax (“HST”) rate of 13%. The Effective HST tax rate is calculated using the attribution percentage for each province based on contractholders residency and can be different from 13%. (4) For financial periods beginning on or after January 1, 2013 the financial highlights are derived from the financial statements prepared in accordance with International Financial Reporting Standards (“IFRS”). IFRS requires net assets to be calculated

based on the last traded market price for financial assets and financial liabilities where the last traded price falls within the day’s bid-ask spread. Under IFRS there are no differences between the net assets calculated for purpose of processing

contractholders transactions and the net assets attributable to contractholders used for financial statement reporting purposes. For financial years before January 1, 2013, the financial highlights are derived from the financial statements prepared

in accordance with Canadian GAAP. Under Canadian GAAP net assets for financial statement purposes were calculated based on bid/ask price while for purpose of processing contractholders transactions net assets were calculated based on the

closing market price.



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

Concentration RiskThe Signature Select Canadian Corporate Class’ financial instruments were concentrated in the following segments:

as at June 30, 2016Categories Net Assets (%)Financials 21.7Energy 10.7Consumer Discretionary 9.6Health Care 9.0Consumer Staples 7.7Cash & Equivalents 7.5Exchange-Traded Funds 7.3Materials 5.8Information Technology 4.8Industrials 4.6Telecommunication Services 4.3Utilities 2.1Warrants 1.8Other Net Assets (Liabilities) 1.5Private Placements 1.2Funds 0.4

as at December 31, 2015Categories Net Assets (%)Financials 31.7Health Care 10.9Consumer Discretionary 10.8Energy 9.0Consumer Staples 8.8Cash & Equivalents 6.0Information Technology 4.9Industrials 4.7Telecommunication Services 4.3Materials 3.2Warrants 2.1Utilities 1.7Funds 1.2Other Net Assets (Liabilities) 1.1Foreign Currency Forward Contracts (0.4)

For details relating to credit risk, other price risk, currency risk, interest rate risk and fair value hierarchy, refer to the audited annual financial statements as at December 31, 2015, as the Fund’s exposure to those risks remains unchanged.

Fund Specific Notes to Financial Statements (unaudited)

Financial Instruments Risks (Note 8)


Clarica CI Equity Fund B

CIG - 8882


2016 2015

- - 148 147 834 799 79 155

(941) (624)

- 1 232 257 352 735

80 89 8 9 20 22 - - 108 120

244 615

5.80 14.24

41,918 43,197

as at as atJun. 30, 2016 Dec. 31, 2015

20,576 20,729 125 114 - - - - - - - - - 2 20,701 20,845

- - 5 5 - 1 - - - - - - 5 6 20,696 20,839

16,696 15,908

500.00 494.09



















2016 2015

20,839 21,820

244 615

109 110 (496) (572) (387) (462)

20,696 21,973




2016 2015

244 615

(79) (155)

941 624 423 501 (1,132) (1,106) - - - - - - - - - - - 1 397 480

111 112 (497) (572) (386) (460)

11 20 114 89 125 109

- - - - - - - -











AverageCost ($)

FairValue ($)

874,833 Signature Select Canadian Corporate Class (A Shares)† 16,696,031 20,576,075 Total Investments (99.4%) 16,696,031 20,576,075 Other Net Assets (Liabilities) (0.6%) 119,759 Net Assets Attributable to Contractholders (100.0%) 20,695,834



AverageCost ($)

FairValue ($)




Clarica CI Equity Fund BFund Specific Notes to Financial Statements (unaudited)





Class A 2016 2015 42,176 43,623 226 211 (1,011) (1,091) 41,391 42,743













Clarica CI Equity Fund BFinancial Information (for the period ended June 30, 2016 and the years ended December 31) (unaudited)












Class A 2016 2015 2014 2013 2012* 2011*

500.00 494.09 500.19 443.99 368.65 337.20

20,696 20,839 21,820 20,115 17,522 16,842 41,391 42,176 43,623 45,305 47,531 49,947 2.10 3.91 2.45 2.43 2.23 91.48

1.08 1.08 1.08 1.08 1.07 1.08 0.12 0.12 0.11 0.11 0.11 0.11 1.20 1.20 1.19 1.19 1.18 1.19 10.65 10.70 10.75 11.07 10.38 10.43











Clarica CI North American Equity Fund

CIG - 8881


2016 2015

- - 192 195 1,077 1,057 112 250

(1,229) (868)

- - 301 342 453 976

78 88 10 12 26 29 - - 114 129

339 847

9.63 22.77

35,216 37,201

as at as atJun. 30, 2016 Dec. 31, 2015

26,545 26,773 185 173 - - - - - - - - 2 1 26,732 26,947

- - 7 5 - - - - - - - - 7 5 26,725 26,942

21,502 20,501

768.85 758.94


















2016 2015

26,942 28,863

339 847

133 138 (689) (942) (556) (804)

26,725 28,906




2016 2015

339 847

(112) (250)

1,229 868 608 821 (1,495) (1,473) - - - - - - - - - - - 1 569 814

132 139 (689) (942) (557) (803)

12 11 173 159 185 170

- - - - - - - -












AverageCost ($)

FairValue ($)

1,128,633 Signature Select Canadian Corporate Class (A Shares)† 21,502,128 26,545,459 Total Investments (99.3%) 21,502,128 26,545,459 Other Net Assets (Liabilities) (0.7%) 179,343 Net Assets Attributable to Contractholders (100.0%) 26,724,802



AverageCost ($)

FairValue ($)




Clarica CI North American Equity FundFund Specific Notes to Financial Statements (unaudited)





Class A 2016 2015 35,500 37,647 181 173 (921) (1,173) 34,760 36,647













Clarica CI North American Equity FundFinancial Information (for the period ended June 30, 2016 and the years ended December 31) (unaudited)












Class A 2016 2015 2014 2013 2012* 2011*

768.85 758.94 766.66 679.13 562.78 513.63

26,725 26,942 28,863 27,305 24,648 24,690 34,760 35,500 37,647 40,206 43,796 48,069 2.35 5.84 2.18 2.14 1.91 91.21

0.88 0.88 0.88 0.88 0.88 0.88 0.09 0.09 0.09 0.09 0.08 0.09 0.97 0.97 0.97 0.97 0.96 0.97 10.57 10.63 10.60 10.79 10.79 10.73











Clarica Income Fund 2Financial Statements (unaudited)

CIG - 8883

2016 2015

- - 26 28 - - 2 2

33 8

- - - - 61 38

5 6 1 1 2 2 1 1 9 10

52 28

9.21 4.52

5,696 6,198

as at as atJun. 30, 2016 Dec. 31, 2015

1,488 1,461 5 5 - - - - - - - - - - 1,493 1,466

- - - - 1 - - - - - - - 1 - 1,492 1,466

1,364 1,370

263.30 254.10
















Clarica Income Fund 2



2016 2015

1,466 1,538

52 28

1 1 (27) (15) (26) (14)

1,492 1,552




2016 2015

52 28

(2) (2)

(33) (8) 34 24 (26) (28) - - - - - - - - - - - - 25 14

1 1 (26) (15) (25) (14)

- - 5 5 5 5

- - - - - - - -











AverageCost ($)

FairValue ($)

135,627 Signature Canadian Bond Fund (Class I)† 1,363,525 1,487,826 Total Investments (99.7%) 1,363,525 1,487,826 Other Net Assets (Liabilities) (0.3%) 4,538 Net Assets Attributable to Contractholders (100.0%) 1,492,364



AverageCost ($)

FairValue ($)

109,719,000 Province of Quebec 4.5% 12/01/2019 123,805,092 122,348,762 99,968,000 Province of Ontario 4.2% 06/02/2020 111,221,215 111,732,805 91,146,000 Province of Quebec 4.25% 12/01/2021 101,656,873 105,022,056 86,662,000 Province of Ontario 4% 06/02/2021 97,084,306 98,079,125 82,770,000 Province of Ontario 3.5% 06/02/2024 91,943,278 93,830,696 79,735,000 Province of Ontario 2.85% 06/02/2023 85,557,036 86,537,988 78,494,000 Province of British Columbia 3.2% 06/18/2044 76,387,470 86,506,210 76,697,000 Province of Ontario 3.15% 06/02/2022 82,848,969 84,357,933 71,925,000 Province of Quebec 3.75% 09/01/2024 78,463,563 82,924,076 69,511,000 Province of Ontario 2.9% 12/02/2046 68,407,505 71,739,638 64,158,000 Province of Quebec 2.75% 09/01/2025 65,931,072 68,865,918 56,654,000 Government of Canada 0.25% 05/01/2018 56,315,050 56,376,929 46,020,000 Province of Quebec 3.5% 12/01/2022 50,630,189 51,649,512 34,610,000 Province of British Columbia 6.35% 06/18/2031 48,689,605 51,570,287 48,485,000 Province of Ontario 2.6% 06/02/2025 49,786,538 51,534,770 35,839,000 Province of Quebec 6% 10/01/2029 44,182,247 50,365,481 35,072,000 Government of Canada 3.5% 12/01/2045 46,219,247 49,462,042 Cash & Equivalents 49,434,958 31,215,000 Government of Canada 2.75% 12/01/2064 36,976,035 42,112,517 28,210,000 55 Ontario School Board Trust 5.9% 06/02/2033 32,561,136 39,119,255 23,606,900 Government of Canada 5.75% 06/01/2033 36,869,246 38,096,797 35,650,000 Province of Ontario 2.1% 09/08/2018 36,168,523 36,599,666 31,170,000 Canada Housing Trust No.1, 1.95% 06/15/2019 31,427,491 32,189,295 31,830,000 The Royal Bank of Scotland PLC, Callable, 2.386% 11/29/2049 27,808,122 31,830,000 22,952,000 Province of Nova Scotia 4.7% 06/01/2041 28,079,205 29,803,852



Clarica Income Fund 2Fund Specific Notes to Financial Statements (unaudited)





Class A 2016 2015 5,769 6,216 2 2 (103) (58) 5,668 6,160






Underlying Fund (in $000’s) (in $000’s) (%)Signature Canadian Bond Fund 3,188,862 1,488 -





Underlying Fund (in $000’s) (in $000’s) (%)Signature Canadian Bond Fund 3,235,041 1,461 -














Financial Information (for the period ended June 30, 2016 and the years ended December 31) (unaudited)

Class A 2016 2015 2014 2013 2012* 2011*

263.30 254.10 247.46 228.82 232.31 223.79

1,492 1,466 1,538 1,503 1,691 1,806 5,668 5,769 6,216 6,569 7,280 8,069 1.81 5.19 4.05 7.85 7.09 4.28

1.12 1.12 1.12 1.12 1.12 1.12 0.12 0.12 0.12 0.12 0.11 0.11 1.24 1.24 1.24 1.24 1.23 1.23 10.73 10.75 10.68 11.02 9.76 9.46













Concentration RiskThe Signature Canadian Bond Fund’s financial instruments were concentrated in the following segments:

as at June 30, 2016Categories Net Assets (%)Provincial Bonds 47.9Corporate Bonds 36.2Canadian Government Bonds 10.6Municipal Bonds 1.8Cash & Equivalents 1.6Foreign Government Bonds 1.3Other Net Assets (Liabilities) 0.5Asset-Backed Securities 0.1

as at December 31, 2015Categories Net Assets (%)Provincial Bonds 44.2Corporate Bonds 36.2Canadian Government Bonds 15.1Municipal Bonds 1.8Foreign Government Bonds 1.5Cash & Equivalents 0.6Other Net Assets (Liabilities) 0.5Asset-Backed Securities 0.1






1. THE FUNDS

The following Clarica Segregated Funds were created by a board resolution of Sun Life Assurance

Company of Canada (“Sun Life”) or its predecessor; Clarica Life Insurance Company (“Clarica”) as the

dates as indicated below:

Funds Date

Clarica CI Dividend Equity Benefit Fund September 1, 1963

Clarica CI Equity Fund B October 1, 1971

Clarica CI North American Equity Fund March 1, 1962

Clarica Income Fund 2 June 1, 1974

(the “Fund” or collectively the “Funds” or “the Clarica Segregated Funds”)

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

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

owned by Sun Life and are segregated from Sun Life’s other assets. The Funds are not separate legal

entities but are separate reporting entities.

Sun Life has appointed CI Investments Inc. (“CI” or the “Manager”) to perform certain administrative

and management services on its behalf in relation to the Funds and the contracts. The head office

of CI Investments Inc. is located at 2 Queen Street East, Twentieth Floor, M5C 3G7, Toronto, Ontario.

CI Investments Inc. is a subsidiary of CI Financial Corp.

All Funds had a Retail Class and an Institutional Class, and effective January 17, 2003, the Institutional

Classes for all Funds were fully redeemed. The Funds were converted from an asset based fund

structure to a fund of fund structure on February 10, 2003.

These financial statements were authorized for issue by the Manager on September 30, 2016.

The Statements of Financial Position are as at June 30, 2016 and December 31, 2015. The Statements

of Comprehensive Income, Statements of Changes in Net Assets Attributable to Contractholders and

Statements of Cash Flows are for the periods ended June 30, 2016 and 2015. Schedules of Investment

Portfolio are as at June 30, 2016. The Fund Specific Notes to Financial Statements for each Fund

consist of Interest in Underlying Fund as at June 30, 2016 and December 31, 2015, Unit Transactions

for the periods ended June 30, 2016 and 2015 and Financial Instruments Risks as at June 30, 2016

and December 31, 2015.

2. SIGNIFICANT ACCOUNTING POLICIES

These financial statements are prepared in accordance with International Financial Reporting

Standards (“IFRS”) as published by the International Accounting Standards Board (“IASB”). The

following is a summary of the significant accounting policies of the Funds:

a. Classification and recognition of financial instruments

The Funds recognize financial instruments at fair value upon initial recognition, plus transaction costs

in the case of financial instruments measured at amortized cost. Purchases and sales of financial

assets are recognized at their trade date. The Funds’ investments are measured at fair value through

profit or loss (“FVTPL”). The Funds’ obligations for net assets attributable to contractholders are

presented at the redemption amount, which approximates their fair value. All other financial assets

and liabilities are measured at amortized cost, which approximates their fair value. Under this method,

financial assets and liabilities reflect the amount required to be received or paid, discounted, when

appropriate, at the effective rate of interest.

b. Fair value of financial investments

At the financial reporting date, listed securities are valued based on the last traded market price

for financial assets and financial liabilities where the last traded price falls within the day’s bid-ask

spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager

determines the point within the bid-ask spread that is most representative of fair value based on the

existing market conditions. 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. Underlying Funds are valued on each business day at their net

asset value as reported by the Underlying Funds’ manager.

c. Financial assets at fair value

The Funds classify their investments in Underlying Funds as financial assets at fair value through

profit or loss.

This category has two sub-categories: financial assets held for trading; and those designated at fair

value through profit or loss at inception.

Financial assets held for trading

A financial asset is classified as held for trading (“HFT”) if it is acquired or incurred principally

for the purpose of selling or repurchasing in the near term or if no initial recognition is part of

a portfolio of identifiable financial investments that are managed together and for which there

is evidence of a recent actual pattern of short-term profit taking. As at June 30, 2016 and

December 31, 2015, the Funds did not hold any financial assets categorized as HFT.

Financial assets designated at fair value through profit or loss at inception

Financial assets designated at fair value through profit or loss at inception, are financial

instruments that are not classified as HFT but are managed, and their performance is evaluated

on a fair value basis in accordance with the Funds’ documented investment strategy. As at

June 30, 2016 and December 31, 2015, all financial instruments held by the Funds were designated

as FVTPL.

d. Cash

Cash is comprised of cash on deposit.

e. Cost of investments

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

cost basis.

f. Investment transactions

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

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

average cost basis.

g. Income recognition

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

on a daily basis.

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

which they were received from the Underlying Funds.

Notes to the Financial Statements as at June 30, 2016 (unaudited)



h. Foreign exchange

The Funds’ subscriptions and redemptions are denominated in Canadian dollars, which is also the

Funds’ functional and presentation currency.

i. Net asset value per unit

Net asset value (“NAV”) per unit is calculated at the end of each day on which the Toronto Stock

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

j. Classification of units

The units of each of the Funds do not meet the criteria in IAS 32 for classification as equity and

therefore, have been classified as liabilities.

k. Increase (decrease) in net assets from operations attributable to contractholders per unit

Increase (decrease) in net assets from operations attributable to contractholders per unit is calculated

by dividing the increase (decrease) in net assets from operations attributable to contractholders by the

weighted average number of units outstanding of that class during the period.

l. Consolidated financial statements

Under IFRS 10, Consolidated Financial Statements, a Fund is required to provide consolidated financial

statements if it has control over the entities it invests in. In October 2013, the IASB issued an

“Investment Entity” amendment to IFRS 10, which provides an exception to consolidation for an entity

that meets the definition of Investment Entity. The Manager has determined that all Funds satisfy the

criteria of an Investment Entity.

m. Investments in associates, joint ventures, subsidiaries and structured entities

Subsidiaries are entities, including investments in other investment entities, over which the Fund

has control. A Fund controls an entity when it is exposed to, or has rights to, variable returns from

its involvement with the entity, and has the ability to affect those returns through its power over the

entity. Associates and joint ventures are investments over which a Fund has significant influence or

joint control. Conversely, structured entities are entities that have been designed such that voting

or similar rights are not the dominant factors in determining control over the entity, such as when

voting rights relate to administrative tasks only and the relevant activities are directed by means of

contractual arrangements.

For all Funds that invest in Underlying Funds, the Manager has determined that the bottom investee

funds meet the definition of a structured entity to the top (investing) Funds.

Information related to Funds’ interest in Underlying Funds for each Fund appears under the Fund

Specific Notes to Financial Statements.

n. Non-zero amounts

Some of the balances reported in the financial statements include amounts that are rounded to zero.

o. Future accounting changes

IFRS 9, Financial Instruments

The final version of IFRS 9, Financial Instruments, was issued by the IASB in July 2014 and will

replace IAS 39 Financial Instrument: Recognition and Measurement. IFRS 9 introduces a model for

classification and measurement, a single, forward-looking ‘expected loss’ impairment model and

a substantially reformed approach to hedge accounting. The new single, principle based approach

for determining the classification of financial assets is driven by cash flow characteristics and the

business model in which an asset is held. The new model also results in a single impairment model

being applied to all financial instruments, which will require more timely recognition of expected credit

losses. It also includes changes in respect of own credit risk in measuring liabilities elected to be

measured at fair value, so that gains caused by the deterioration of an entity’s own credit risk on such

liabilities are no longer recognized in profit or loss. IFRS 9 is effective for annual periods beginning on

or after January 1, 2018, however it is available for early adoption. In addition, the own credit changes

can be early applied in isolation without otherwise changing the accounting for financial instruments.

The Fund’s Manager is in the process of assessing the impact of IFRS 9 on the Fund and has not yet

determined when it will adopt the new standard.

3. USE OF ACCOUNTING JUDGMENTS AND ESTIMATES

The preparation of financial statements requires management to make judgments, estimates and

assumptions that affect the application of accounting policies and reported amounts of assets and

liabilities at the reporting date and the reported amounts of income and expenses during the reporting

period. The following discusses the most significant accounting judgments and estimates that the

Funds have made in preparing their financial statements:

Classification and measurement of investments and application of the fair value option

In classifying and measuring financial instruments held by the Funds, the Manager is required to

make significant judgments about whether or not the business of the Funds is to invest on a total

return basis for the purpose of applying the fair value option for the financial assets under IAS 39

Financial Instruments: Recognition and Measurement. The most significant judgment made includes

the determination that certain investments are held-for-trading and that the fair value option can

be applied to those which are not.

4. INCOME TAXES

The Funds are deemed to be inter-vivos trusts under the provisions of the Income Tax Act (Canada) and

are deemed to have allocated their income to the beneficiaries. Each Fund’s net capital gains/(losses)

are deemed to be those of the beneficiaries. Accordingly, the Funds are not subject to income tax on

their net income, including net realized capital gains for the year.

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

allocation of capital gains/(losses) between redeeming and continuing beneficiaries.

5. CONTRACTHOLDERS UNITS

Units issued and outstanding represent the capital of each Fund.

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

in the Statements of Changes in Net Assets Attributable to Contractholders. In accordance with the

objectives and risk management policies outlined in Note 8, the Funds endeavor to invest subscriptions

received in appropriate investments while maintaining sufficient liquidity to meet redemptions by

disposal of investments when necessary.

Unit Transactions information for each Fund appears under the Fund Specific Notes to Financial

Statements.

6. MANAGEMENT FEES AND OTHER EXPENSES

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

required in the day-to-day operations of the Funds.

Notes to the Financial Statements as at June 30, 2016 (unaudited) (cont’d)



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

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

CI Investments Inc. is the Manager of the Funds and the Underlying Funds, and in consideration of

management fees received, provides management services required in the day-to-day operations of

the Funds and the Underlying Funds including the management of the investment portfolios of the

Underlying Funds.

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

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

the reporting period, a Fund may have received a management and/or administration fee rebate from

the Manager relating to its investment in an Underlying Fund. The rebates are included in “Fees rebate

receivable” and in “Fees rebate” as reflected in the Statements of Financial Position and Statements

of Comprehensive Income of each Fund, as applicable.

The management fees and the fee rebates reported in the Statements of Comprehensive Income of

each Fund are each presented on a gross basis.

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

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

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

statute or regulation and expenses of all communications with contractholders.

The administration fee is calculated as an annual percentage of the total net asset value of each Fund

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

The Funds pay an insurance fee to Sun Life. The insurance fee of each class of the Fund is a charge by

Sun Life for the applicable Guarantee Option in respect of that Fund Class. The insurance fees payable

at period-end are included in the “Insurance fees payable” in the Statements of Financial Position,

while insurance fees expense for the period are included in the “Insurance fees” in the Statements

of Comprehensive Income.

7. RELATED PARTY TRANSACTIONS

A Fund may invest in an Underlying Fund that is also managed by CI Investments Inc., the Manager

of the Funds. For details refer to the Fund Specific Notes to Financial Statements or the Schedule of

Investment Portfolio of each Fund.

The management fees paid to CI Investments Inc. are also considered a related party transaction.

For more details refer to Note 6.

8. FINANCIAL INSTRUMENTS RISK

Risk management

The Funds invest in units of Underlying Funds and are exposed to a variety of financial instruments

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

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

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

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

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

affect the value of each of the Funds. The Manager of the Underlying Funds may minimize potential

adverse effects of these risks by, but not limited to, regular monitoring of the Underlying Funds’

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.

Concentration risk

Concentration risk arises as a result of the concentration of exposures within the same category,

whether it is a geographical allocation, asset type, industry sector or counterparty.

Details of each of the Funds’ exposure to concentration risk are available in the Fund Specific Notes

to Financial Statements.

Credit risk

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

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

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

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

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

reporting date. The credit risk exposure of the Funds’ other assets are represented by their carrying

amount as disclosed in the Statements of Financial Position.

Liquidity risk

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

reasonable price. The Funds are exposed to daily cash redemptions of redeemable units. The Funds

invest all of their assets in Underlying Funds which can be readily disposed of.

Market risk

The Funds’ investments are subject to market risk which is the risk that the fair value of future cash

flows of a financial instrument will fluctuate due to changes in market conditions.

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 currency risk or interest rate risk). The

value of each investment is influenced by the outlook of the issuer and by general economic and

political conditions, as well as industry and market trends. All securities present a risk of loss

of capital.

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

subject to other price risk.

Currency Risk

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

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

Underlying Funds may be exposed to the risk that the value of securities denominated in other

currencies will fluctuate due to changes in exchange rates. Equities traded in foreign markets are

also exposed to currency risk as the prices denominated in foreign currencies are converted to

Underlying Funds’ functional currency to determine their fair value.

Interest Rate Risk

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

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

Funds that invest in debt securities and/or income trusts will be affected by changes in applicable

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

increase in yield. Alternatively, if interest rates rise, the yield of existing debt securities decrease

which may then lead to a decrease in their fair value. The magnitude of the decline will generally

be greater for long-term debt securities than for short-term debt securities.




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

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

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

than other debt securities.

Fair value hierarchy

The Funds 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 includes publicly traded equities, exchange traded and retail mutual

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

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

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

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

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

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

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

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

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

the fair value.

The Funds invest only in other investment funds and these investments are classified as Level 1.

For details relating to financial instruments risks and fair value hierarchy classification exposure for

the Funds refer to the audited annual financial statements as at December 31, 2015, as the Funds’

exposure to financial instruments risks and fair value hierarchy classification remained the same

throughout the period.




You can get additional copies of these Financial Statements at your request, and at no cost, by calling

1-800-792-9374, by emailing [email protected], or by asking your representative.

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

is the sole issuer of the individual variable insurance contracts providing for investment in Clarica

Segregated Funds. A description of the key features of the applicable individual variable insurance

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

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

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

IN VALUE.

Certain names, words, phrases, graphics or designs in this document may constitute trade names,

registered or unregistered trademarks or service marks of CI Investments Inc. ®CI Financial,

CI Investments, and the CI Investments design are registered trademarks of CI Investments Inc. ®Clarica is a registered trademark of Sun Life Assurance Company of Canada.

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

Information Folder upon request to CI’s Toronto office.

Legal Notice

CLSEG_SA_09/16E

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 514-875-0090 1-800-268-1602

Vancouver 604-681-3346 1-800-665-6994

Client Services English: 1-800-792-9355 French: 1-800-668-3528

Sun Life Assurance Company of Canada

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

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