Fidelity American Balanced Currency Neutral Fund

Transcription

1 Fidelity American Balanced Currency Neutral Fund Semi-Annual Report September 30, 2017 Notice to Readers The accompanying interim financial statements have not been reviewed by the external auditor of the Fund. The external auditor will be auditing the annual financial statements of the Fund in accordance with Canadian generally accepted auditing standards.

2 Fidelity American Balanced Currency Neutral Fund Schedule of Investments September 30, 2017 (Unaudited) Showing Percentage of Net Assets Attributable to Securityholders (Net Assets) Underlying Funds 99.6% Shares / Units (000s) Cost (000s) Market Value (000s) Fidelity American Balanced Fund Series O 2,473 $ 28,330 $ 29,737 TOTAL INVESTMENT IN SECURITIES 99.6% $28,330 29,737 NET OTHER ASSETS (LIABILITIES) 0.4% 108 NET ASSETS 100% $ 29,845 Forward Foreign Currency Contracts Amounts In thousands Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) Contracts to Sell 179 AUD (Receivable amount $178) Oct $ 175 $ AUD (Receivable amount $176) Nov CHF (Receivable amount $21) Oct CHF (Receivable amount $21) Nov DKK (Receivable amount $64) Oct DKK (Receivable amount $64) Nov EUR (Receivable amount $50) Oct (1) 346 EUR (Receivable amount $517) Oct EUR (Receivable amount $563) Nov GBP (Receivable amount $336) Oct (11) 208 GBP (Receivable amount $348) Nov ,460 HKD (Receivable amount $234) Oct ,460 HKD (Receivable amount $234) Nov ,428 JPY (Receivable amount $137) Oct (1) 117,236 JPY (Receivable amount $1,337) Oct , ,135 JPY (Receivable amount $57) Nov ,664 JPY (Receivable amount $1,442) Nov , NOK (Receivable amount $36) Oct NOK (Receivable amount $36) Nov NZD (Receivable amount $29) Oct NZD (Receivable amount $29) Nov SEK (Receivable amount $39) Oct Amounts In thousands Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) 250 SEK (Receivable amount $38) Nov $ 38 $ 0 37 SGD (Receivable amount $34) Oct SGD (Receivable amount $34) Nov ,956 USD (Receivable amount $7,425) Oct ,431 (6) 4,651 USD (Receivable amount $5,829) Oct , ,977 USD (Receivable amount $6,223) Nov , USD (Receivable amount $157) Nov ,977 USD (Receivable amount $6,223) Nov , ,977 USD (Receivable amount $6,223) Nov , ,977 USD (Receivable amount $6,223) Nov , TOTAL CONTRACTS TO SELL 44, Contracts to Buy 179 AUD (Payable amount $175) Oct CHF (Payable amount $21) Oct DKK (Payable amount $63) Oct EUR (Payable amount $562) Oct (1) 208 GBP (Payable amount $348) Oct (1) 1,460 HKD (Payable amount $234) Oct (1) 129,664 JPY (Payable amount $1,441) Oct ,438 (3) 226 NOK (Payable amount $35) Oct NZD (Payable amount $29) Oct SEK (Payable amount $38) Oct SGD (Payable amount $34) Oct ,977 USD (Payable amount $6,225) Oct ,210 (15) 326 USD (Payable amount $396) Oct USD (Payable amount $396) Oct ,977 USD (Payable amount $6,224) Oct ,210 (14) TOTAL CONTRACTS TO BUY 16,208 (13) See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 2

3 Forward Foreign Currency Contracts continued Amounts In thousands Contracts to Buy continued Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) TOTAL FORWARD FOREIGN CURRENCY CONTRACTS $ 107 The value of contracts to buy as a percentage of Net Assets is 54.3% The value of contracts to sell as a percentage of Net Assets is 148.2%. Currency Abbreviations AUD Australian dollar CHF Swiss franc DKK Danish krone EUR European Monetary Unit GBP British pound HKD Hong Kong dollar JPY Japanese yen NOK Norwegian krone NZD New Zealand dollar SEK Swedish krona SGD Singapore dollar USD U.S. dollar Investment Valuation The following is a summary of the inputs used, as of September 30, 2017 and March 31, 2017, involving the Fund s assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. Valuation Inputs at September 30, 2017: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Underlying Funds $29,737 $29,737 $ $ Total Investments in Securities: $29,737 $29,737 $ $ Derivative Instruments: Assets Forward Foreign Currency Contracts $ 161 $ $ 161 $ Total Assets $ 161 $ $ 161 $ Liabilities Forward Foreign Currency Contracts $ (54) $ $ (54) $ Total Liabilities $ (54) $ $ (54) $ Total Derivative Instruments: $ 107 $ $ 107 $ Valuation Inputs at March 31, 2017: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Underlying Funds $17,420 $17,420 $ $ Total Investments in Securities: $17,420 $17,420 $ $ See accompanying notes which are an integral part of the financial statements. 3 Semi-Annual Report

4 Fidelity American Balanced Currency Neutral Fund Schedule of Investments (Unaudited) continued Valuation Inputs at March 31, 2017: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Derivative Instruments: Assets Forward Foreign Currency Contracts $ 50 $ $ 50 $ Total Assets $ 50 $ $ 50 $ Liabilities Forward Foreign Currency Contracts $ (133) $ $ (133) $ Total Liabilities $ (133) $ $ (133) $ Total Derivative Instruments: $ (83) $ $ (83) $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 4

5 Financial Statements (Unaudited) Statements of Financial Position Amounts in thousands of Canadian Dollars (except per security amounts) As at September 30, 2017 March 31, 2017 Current assets (Note 3) Investments at fair value through profit or loss (Note 8) $ 29,737 $ 17,420 Cash 1 1 Receivable for investments sold 27 Unrealized appreciation on forward foreign currency contracts (Note 9) Subscriptions receivable ,219 17,528 Current liabilities (Note 3) Payable for investments purchased 216 Redemptions payable Distributions payable (Note 5) Management and advisory fees payable (Note 4) Other payables to affiliates (Note 4) 5 3 Unrealized depreciation on forward foreign currency contracts (Note 9) Other payables and accrued expenses (Note 4) Net assets attributable to securityholders (Notes 3 and 6) $ 29,845 $ 17,338 Net assets attributable to securityholders per Series and per security (Note 6) Series A: ($3,013 and $2,054, respectively) $ $ Series B: ($5,695 and $3,136, respectively) $ $ Series F: ($6,396 and $3,396, respectively) $ $ Series F5: ($1,019 and $195, respectively) $ $ Series F8: ($8 and $8, respectively) $ $ Series T5: ($128 and $65, respectively) $ $ Series T8: ($482 and $308, respectively) $ $ Series S5: ($1,113 and $740, respectively) $ $ Series S8: ($468 and $312, respectively) $ $ Series E1: ($1,801 and $1,115, respectively) $ $ Series E1T5: ($643 and $462, respectively) $ $ Series E2: ($554 and $156, respectively) $ $ Series E2T5: ($1 and $187, respectively) $ $ Series E3: ($381 and $1, respectively) $ $ Series P1: ($2,469 and $1,387, respectively) $ $ Series P1T5: ($364 and $181, respectively) $ $ Series P2: ($1,283 and $963, respectively) $ $ Series P2T5: ($1,409 and $750, respectively) $ $ Series P3: ($2,307 and $1,622, respectively) $ $ Series P3T5: ($311 and $300, respectively) $ $ See accompanying notes which are an integral part of the financial statements. 5 Semi-Annual Report

6 Financial Statements (Unaudited) continued Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per security amounts) For the six-month periods ended September 30, (Note 1) Investment income (Note 3) Interest $ $ Net gain (loss) on investments Net realized gain (loss) on investments Change in net unrealized appreciation (depreciation) on investments Net gain (loss) on derivatives Net realized gain (loss) on derivatives 940 (294) Change in net unrealized appreciation (depreciation) on derivatives 190 (48) 1,130 (342) Total investment income (loss) 1, Operating expenses (Note 4) Management and advisory fees Administration fees Independent Review Committee fees Commissions and other portfolio costs Sales tax Total operating expenses Expenses waived (Note 4) (2) Net operating expenses Net increase (decrease) in net assets attributable to securityholders from operations $ 1,226 $ 482 Increase (decrease) in net assets attributable to securityholders from operations per Series (Note 3) Series A $ 123 $ 2 Series B $ 217 $ 83 Series F $ 274 $ 260 Series F5 $ 33 $ 80 Series F8 $ $ Series T5 $ 5 $ Series T8 $ 17 $ 1 Series S5 $ 46 $ 48 Series S8 $ 20 $ 2 Series E1 $ 68 $ 4 Series E1T5 $ 27 $ Series E2 $ 14 $ Series E2T5 $ 4 $ Series E3 $ 17 $ Series P1 $ 104 $ 2 Series P1T5 $ 14 $ Series P2 $ 45 $ Series P2T5 $ 62 $ Series P3 $ 118 $ Series P3T5 $ 18 $ Increase (decrease) in net assets attributable to securityholders from operations per Series per security (Notes 3 and 6) Series A $.58 $.04 Series B $.60 $.11 Series F $.67 $.26 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 6

7 Statements of Comprehensive Income continued Amounts in thousands of Canadian Dollars (except per security amounts) For the six-month periods ended September 30, (Note 1) Series F5 $ 1.24 $.59 Series F8 $ 1.22 $.11 Series T5 $ 1.19 $.10 Series T8 $ 1.01 $.14 Series S5 $ 1.17 $.36 Series S8 $ 1.07 $.04 Series E1 $.62 $.05 Series E1T5 $ 1.06 $ Series E2 $.58 $ Series E2T5 $ 1.49 $ Series E3 $.55 $ Series P1 $.66 $.34 Series P1T5 $ 1.20 $ Series P2 $.63 $ Series P2T5 $ 1.17 $ Series P3 $.64 $ Series P3T5 $ 1.24 $ See accompanying notes which are an integral part of the financial statements. 7 Semi-Annual Report

8 Financial Statements (Unaudited) continued Statements of Changes in Net Assets Attributable to Securityholders Amounts in thousands of Canadian Dollars For the six-month period ended September 30, 2017 (Note 1) Total Series A Series B Series F Series F5 Series F8 Net assets attributable to securityholders, beginning of period $ 17,338 $ 2,054 $ 3,136 $ 3,396 $ 195 $ 8 Increase (decrease) in net assets attributable to securityholders from operations 1, Distributions to securityholders (Note 5) Management fee reduction (4) (1) (2) Return of capital (124) (15) (128) (1) (2) (15) Security transactions (Note 6) Proceeds from sale of securities 20,014 1,389 4,120 5,654 1,638 Reinvestment of distributions Amounts paid upon redemption of securities (8,622) (553) (1,778) (2,928) (835) 11, ,343 2, Net assets attributable to securityholders, end of period $ 29,845 $ 3,013 $ 5,695 $ 6,396 $ 1,019 $ 8 For the six-month period ended September 30, 2017 (Note 1) Series T5 Series T8 Series S5 Series S8 Series E1 Net assets attributable to securityholders, beginning of period $ 65 $ 308 $ 740 $ 312 $ 1,115 Increase (decrease) in net assets attributable to securityholders from operations Distributions to securityholders (Note 5) Management fee reduction (1) Return of capital (2) (15) (20) (15) (2) (15) (21) (15) Security transactions (Note 6) Proceeds from sale of securities ,325 Reinvestment of distributions Amounts paid upon redemption of securities (1) (36) (372) (79) (707) Net assets attributable to securityholders, end of period $ 128 $ 482 $ 1,113 $ 468 $ 1,801 For the six-month period ended September 30, 2017 (Note 1) Series E1T5 Series E2 Series E2T5 Series E3 Series P1 Net assets attributable to securityholders, beginning of period $ 462 $ 156 $ 187 $ 1 $ 1,387 Increase (decrease) in net assets attributable to securityholders from operations Distributions to securityholders (Note 5) Management fee reduction Return of capital (14) (1) (14) (1) Security transactions (Note 6) Proceeds from sale of securities ,062 Reinvestment of distributions Amounts paid upon redemption of securities (102) (107) (189) (84) (189) Net assets attributable to securityholders, end of period $ 643 $ 554 $ 1 $ 381 $ 2,469 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 8

9 Statements of Changes in Net Assets Attributable to Securityholders continued For the six-month period ended September 30, 2017 (Note 1) Series P1T5 Series P2 Series P2T5 Series P3 Series P3T5 Net assets attributable to securityholders, beginning of period $ 181 $ 963 $ 750 $ 1,622 $ 300 Increase (decrease) in net assets attributable to securityholders from operations Distributions to securityholders (Note 5) Management fee reduction Return of capital (6) (29) (7) (6) (29) (7) Security transactions (Note 6) Proceeds from sale of securities Reinvestment of distributions Amounts paid upon redemption of securities (572) (278) (1) Net assets attributable to securityholders, end of period $ 364 $ 1,283 $ 1,409 $ 2,307 $ 311 For the six-month period ended September 30, 2016 (Note 1) Total Series A Series B Series F Series F5 Series F8 Net assets attributable to securityholders, beginning of period $ $ $ $ $ $ Increase (decrease) in net assets attributable to securityholders from operations Distributions to securityholders (Note 5) Management fee reduction (4) (2) (1) Return of capital (99) (34) (2) (103) (2) (1) (34) (2) Security transactions (Note 6) Proceeds from sale of securities 42,511 1,861 13,252 12,457 3, Reinvestment of distributions Amounts paid upon redemption of securities (10,825) (458) (7,685) (1,693) (448) (9) 31,710 1,403 5,569 10,765 2, Net assets attributable to securityholders, end of period $ 32,089 $ 1,405 $ 5,650 $ 11,024 $ 2,655 $ 123 For the six-month period ended September 30, 2016 (Note 1) Series T5 Series T8 Series S5 Series S8 Series E1 Net assets attributable to securityholders, beginning of period $ $ $ $ $ Increase (decrease) in net assets attributable to securityholders from operations Distributions to securityholders (Note 5) Management fee reduction (1) Return of capital (1) (5) (38) (19) (1) (5) (39) (19) Security transactions (Note 6) Proceeds from sale of securities ,394 1,156 6,554 Reinvestment of distributions Amounts paid upon redemption of securities (9) (10) (207) (32) (264) ,189 1,124 6,290 Net assets attributable to securityholders, end of period $ 93 $ 291 $ 3,198 $ 1,107 $ 6,294 See accompanying notes which are an integral part of the financial statements. 9 Semi-Annual Report

10 Financial Statements (Unaudited) continued Statements of Changes in Net Assets Attributable to Securityholders continued For the six-month period ended September 30, 2016 (Note 1) Series E1T5 Series E2 Series E2T5 Series E3 Series P1 Net assets attributable to securityholders, beginning of period $ $ $ $ $ Increase (decrease) in net assets attributable to securityholders from operations 2 Distributions to securityholders (Note 5) Management fee reduction Return of capital Security transactions (Note 6) Proceeds from sale of securities 257 Reinvestment of distributions Amounts paid upon redemption of securities (10) 247 Net assets attributable to securityholders, end of period $ $ $ $ $ 249 For the six-month period ended September 30, 2016 (Note 1) Series P1T5 Series P2 Series P2T5 Series P3 Series P3T5 Net assets attributable to securityholders, beginning of period $ $ $ $ $ Increase (decrease) in net assets attributable to securityholders from operations Distributions to securityholders (Note 5) Management fee reduction Return of capital Security transactions (Note 6) Proceeds from sale of securities Reinvestment of distributions Amounts paid upon redemption of securities Net assets attributable to securityholders, end of period $ $ $ $ $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 10

11 Statements of Cash Flows Amounts in thousands of Canadian Dollars For the six-month periods ended September 30, (Note 1) Cash flows from (used in) operating activities: Purchases of investments and derivatives $ (12,735) $ (32,409) Proceeds from sale and maturity of investments and derivatives 1, Cash receipts from interest income Cash paid for operating expenses (166) (66) Net cash from (used in) operating activities (11,025) (31,590) Cash flows from (used in) financing activities: Distributions to securityholders net of reinvestments (102) (50) Proceeds from sales of securities 13,759 34,502 Amounts paid upon redemption of securities (2,632) (2,828) Net cash from (used in) financing activities 11,025 31,624 Net change in cash 34 Cash, beginning of period 1 Cash, end of period $ 1 $ 34 See accompanying notes which are an integral part of the financial statements. 11 Semi-Annual Report

12 Notes to Financial Statements (Unaudited) For the period ended September 30, 2017 (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 1. Formation of the Fund Fidelity American Balanced Currency Neutral Fund (Fund) is an open end mutual fund trust formed under the laws of Ontario and governed by a Master Declaration of Trust dated April 22, 2016 (Inception Date), as amended thereafter from time to time. The Fund is authorized to issue an unlimited number of securities. Fidelity Investments Canada ULC (Fidelity), as manager and trustee of the Fund, is responsible for the day-to-day operations and provides all general management and administrative services. Fidelity, as the investment advisor, is responsible for the investment management of the Fund s portfolio. On December 31, 2015, the investment advisor changed from FIAM LLC (formerly Pyramis Global Advisors, LLC) to Fidelity. The registered office of the Fund is located at 483 Bay Street, Suite 300, Toronto, Ontario, M5G 2N7. The Fund invests substantially all of its assets in Fidelity American Balanced Fund (Underlying Fund). Currently, Fidelity mutual funds are offered in the following Series: Series A, Series C, Series T5 and Series T8 securities are available to all investors in a deferred sales charge (DSC) option. Series A, Series T5 and Series T8 securities will be converted to lower management and advisory fee Series B, Series S5 and Series S8 securities, respectively, one year after completion of their redemption schedule. Series B, Series D, Series S5 and Series S8 securities are available to all investors in an initial sales charge (ISC) option. Series C and Series D securities are available to investors who have enrolled in the rebalancing service. Series F, Series F5 and Series F8 securities are usually only available to investors who have fee based accounts with dealers who have signed an eligibility agreement with Fidelity. Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5 and Series E5T5 securities are available only to investors who initially hold Series B and/or Series S5 securities and then become eligible to hold certain Series E securities. Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5 securities are available only to investors who initially hold Series F and/or Series F5 securities and then become eligible to hold certain Series P securities. Series O securities are only available to other funds and accounts managed or advised by Fidelity and are not available for public purchase. Series I, Series I5 and Series I8 securities are available to all investors who have entered into a Series I Agreement with Fidelity and are available to all investors in an initial sales charge (ISC) option. In addition, Series F5, Series F8, Series I5, Series I8, Series T5, Series T8, Series S5, Series S8, Series E1T5, Series E2T5, Series E3T5, Series E4T5, Series E5T5, Series P1T5, Series P2T5, Series P3T5, Series P4T5 and Series P5T5 securities distribute an amount comprised of net income and/or return of capital monthly, if available. The Fund commenced the offering of Series Series E1T5, Series E2, Series E2T5, Series E3, Series P1T5, Series P2, Series P2T5, Series P3 and Series P3T5 securities on January 6, The Fund meets the definition of an investment entity and its purpose is to provide investment management services to its securityholders by investing its net assets for capital growth and/or investment income and by measuring its investment performance on a fair value basis. Refer to the Financial Instruments Risk note below for the Fund s investment objective. The Fund commenced operations on June 28, Basis of Preparation Statement of Compliance - These interim financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB) and as applicable to the preparation of interim financial statements, including IAS 34 Interim Financial Reporting. The accounting policies set out below have been applied consistently unless otherwise stated. The policies applied in these interim financial statements are based on IFRS issued as of November 7, 2017, which is the date on which the interim financial statements were authorized for issue by Fidelity s board of directors. Any subsequent changes to IFRS that are given effect in the Fund s annual financial statements for the period ending March 31, 2018 could result in restatement of these interim financial statements. Functional and Presentation Currency These financial statements are presented in Canadian dollars, which is the Fund s functional currency. Comparative Figures - Per security comparative figures have been conformed to the current rounding presentation of two decimal places. In addition, certain comparative figures in the Statements of Cash Flows have been revised to appropriately reflect the following non-cash items: Amounts related to Proceeds from sales of securities and Amounts paid upon redemption of securities have been revised to exclude noncash subscriptions and redemptions arising from switches between series within the Fund. There is no net impact on cash flows from financing activities. 3. Summary of Significant Accounting Policies Basis of Measurement These financial statements have been prepared on the historical cost basis except for investments and derivatives which are measured at fair value in the Statements of Financial Position. Semi-Annual Reportport 12

13 Use of Estimates and Judgments Under IFRS, management is required to make certain estimates and judgments at the date of the financial statements. The principal financial statement components subject to significant accounting estimates and judgments include: Fair value measurements -The Fund may invest in financial instruments that are not quoted in an active market. Where applicable, these instruments are categorized in Level 2 and Level 3 of the fair value hierarchy explained below. When current market prices or quotations are not readily available or reliable, valuation techniques will be applied in good faith and in accordance with procedures adopted by the manager. Factors used in determining fair value may include, but are not limited to, broker quotes from reputable pricing sources, market or security specific events, changes in interest rates and credit quality. Fair value models use observable data, to the extent practical; however, the manager is required from time to time to make estimates and assumptions that are based on the best information available at that particular time. Changes in these estimates could impact the fair values of the financial instruments, and the impact could be material. The aggregate fair value of investments measured by valuation techniques as at September 30, 2017 and March 31, 2017, is included at the end of the Fund s Schedule of Investments. Classification and measurement of financial instruments -The Fund has made significant judgments when determining the classification and measurement of its financial instruments under IAS 39, Financial Instruments Recognition and Measurement (IAS 39). These judgments centre upon the determination that certain investments are held-for-trading and that the fair value measurement option can be applied to those that are not due to factors including performance evaluation and management of the Fund on a fair value basis. Presentation of financial instruments -The Fund has made significant judgments when determining the classification of its redeemable securities as financial liabilities in accordance with IAS 32 Financial Instruments Presentation (IAS 32). These judgments centre upon the determination that the Fund s redeemable securities do not have identical features and their entitlements include a contractual obligation to distribute any net income and net realized capital gains at least annually in cash (at the request of the securityholder). Therefore, the ongoing redemption feature is not the securities only contractual obligation. Determination of Relationship with Underlying Funds -The Fund has made significant judgments when determining the nature of its relationship with an Underlying Fund in accordance with IFRS 10 Consolidated financial statements (IFRS 10) and IAS 28 Investment in associates and joint ventures (IAS 28). These judgments centre upon identifying the Fund s ability to control or significantly influence an Underlying Fund. In both determinations, the Fund looks at the relevant activities of an Underlying Fund such as voting rights, participation in policy choices and material cash flows such as subscription and redemption proceeds. The Fund has determined that it does not have the ability to control nor exercise significant influence on an Underlying Fund due to the Fund s inability to exercise its voting rights and direct or participate in the financial and operating policy decisions of an Underlying Fund. Investment and Derivative Valuation Investments, excluding derivatives, are designated at their fair value through profit or loss in accordance with IAS 39 and are carried at their fair value. Derivatives are classified as held-for-trading in accordance with IAS 39 and are carried at fair value. The Fund categorizes the inputs to valuation techniques used to fair value its investments and derivatives into a disclosure hierarchy consisting of three levels as shown below: Level 1 quoted prices in active markets for identical investments Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.) Level 3 unobservable inputs (including the Fund s own assumptions based on the best information available) Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. There were no significant transfers between Level 1 and Level 2 during the periods. The aggregate value of investments by input level, as at September 30, 2017 and March 31, 2017, as well as a roll forward of Level 3 securities, where applicable, is included at the end of the Fund s Schedule of Investments. Valuation techniques used to value the Fund s investments and derivatives by major category are as follows: The Canadian dollar value of forward foreign currency contracts is determined using the closing foreign currency exchange rates and are categorized as Level 2 in the hierarchy. Fidelity managed Underlying Funds are valued at their closing net asset value per security (NAVPS) each business day and are categorized as Level 1 in the hierarchy. Cash Cash is comprised of cash on deposit and may include cash equivalents which are short-term debt instruments with terms to maturity of less than 90 days at acquisition which are held for the purpose of meeting short-term cash commitments. Foreign currencies are comprised of cash amounts denominated in currencies other than Canadian dollars, which are on deposit with the custodian to facilitate the settlement of foreign denominated security transactions. Cash is carried at amortized cost which approximates its fair value. The Fund did not hold any cash equivalents as at September 30, 2017 and March 31, Impairment of Financial Assets At each reporting date, the Fund assesses whether there is objective evidence that a financial asset carried at amortized cost is impaired. If such impairment exists, the Fund recognizes the difference between the amortized cost of the financial 13 Semi-Annual Report

14 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) assets and the present value of the estimated future cash flows, discounted using the instrument s original effective interest rate as an impairment loss on the Statements of Comprehensive Income. Such impairment losses are reversed in subsequent periods in the Statements of Comprehensive Income if the conditions that lead to the initial recognition of the loss diminish or cease to exist. Other Assets and Liabilities Other assets and liabilities may include amounts due to or from the custodian, affiliates or other counterparties for accrued income, investment transactions, Fund s security transactions, accrued expenses and other unsettled transactions at period end. These amounts are classified as loans and receivables or financial liabilities and are carried at amortized cost, which approximates fair value due to their short-term nature. Offsetting Financial Instruments Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position when there is a legally enforceable 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. Classification of redeemable securities issued by the Fund In accordance with IAS 32, the Fund s redeemable securities entitlements include a contractual obligation to distribute any net income and net realized capital gains at least annually in cash (at the request of the securityholder) and, therefore, the ongoing redemption feature is not the securities only contractual obligation. In addition, each series of redeemable securities are equally subordinated to each other, but have differing features as outlined in the notes below. Therefore, the Fund s redeemable securities do not meet the criteria for classification as equity and have been classified as financial liabilities on the Statements of Financial Position. The Fund s obligation for net assets attributable to securityholders is recorded at the redemption amount. As at September 30, 2017 and March 31, 2017, the Fund s net asset value per Series per security may differ by less than $0.01 from its net assets attributable to securityholders per Series per securities calculated in accordance with IFRS as a result of normal reporting period end procedures to close off the books and records. Investment Transactions, Income Recognition and Transaction Costs - Regular way purchases and sales of financial assets are recognized at their trade date. The cost of investments is determined on an average cost basis, excluding commissions and other portfolio transaction costs. Net realized gains and losses from the sale of investments (which may include proceeds received from litigation) and change in net unrealized appreciation (depreciation) on investments are calculated with reference to average cost of the related investment securities. Interest income is accrued as earned. Distributions received from investment trusts, including Fidelity managed Underlying Funds, are recorded as income, capital gains or a return of capital based on the best information available. Due to the nature of these investments, actual allocations could vary from this information. Distributions from investment trusts treated as a return of capital reduce the average cost of the underlying investment trust. Transaction costs, such as brokerage commissions, incurred in the purchase and sale of investment securities by the Fund are recognized as Commissions and other portfolio costs in the Statements of Comprehensive Income. Foreign Currency Translation Securities and other assets and liabilities denominated in a foreign currency are translated into Canadian dollars at the period-end exchange rates. Purchases and sales of securities, income and expenses denominated in foreign currencies are translated into Canadian dollars at the exchange rate on the date of the respective transaction. The effects of exchange rate fluctuations on investments are included in the Net realized gain (loss) and change in net unrealized appreciation (depreciation) on investments and exchange rate fluctuations on other foreign currency transactions are included in the Net realized gain (loss) on foreign currency transactions and Change in net unrealized appreciation (depreciation) on other net assets in foreign currencies in the Statements of Comprehensive Income. Forward Foreign Currency Contracts The Fund may use forward foreign currency contracts to facilitate transactions in foreigndenominated securities and to manage its currency exposure. Contracts to sell generally are used to mitigate the risk of the Fund s investments against currency fluctuations, while contracts to buy generally are used to offset a previous contract to sell. Also, a contract to buy can be used to acquire exposure to foreign currencies and a contract to sell can be used to offset a previous contract to buy. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Statements of Financial Position. Fidelity monitors the credit rating of each counterparty with which it does business. All counterparties have a credit rating of at least A, as determined by Moody s Investor Services, Inc. or S&P at the date of purchase. The Canadian dollar value of any currencies the Fund has committed to buy or sell is shown in its Schedule of Investments under the caption Forward Foreign Currency Contracts. This amount represents the aggregate exposure to each currency the Fund has acquired or sold through currency contracts at period end. Losses may arise from changes in the value of foreign currency or if the counterparties do not perform under the contracts terms. Purchases and sales of forward foreign currency contracts having the same currency, settlement date and broker are offset and any realized gain (loss) is recognized on settlement date and settled with the counterparty on a net basis. Valuation of Series Separate net assets attributable to securityholders is calculated for each Series of securities of the Fund. The net assets attributable to securityholders of a Series is computed by calculating the Series proportionate share of the assets and liabilities of the Fund common to all Series, adjusted for the assets and liabilities of the Fund attributable only to that Series. Expenses directly attributable to a Series are charged to that Series. Investment income and operating expenses are allocated proportionately to each Series based upon the relative net assets attributable to securityholders of each Series, except for items that can be specifically attributed to one or more Series. Semi-Annual Reportport 14

15 Per Security from Operations - The increase (decrease) in net assets attributable to securityholders resulting from operations per security in the Statements of Comprehensive Income represent the operational increase (decrease) for each Series of the Fund, divided by the relevant weighted average securities outstanding during the period. Refer to the Security Transactions Note for the Fund s weighted average securities outstanding. Statements of Cash Flows When preparing the Statements of Cash Flows, the Fund nets the rollover activity of its short-term investments, and includes only the net cash flow impact in Purchases of investments and derivatives or Proceeds from sale and maturity of investments and derivatives, as applicable. Additionally, in accordance with IFRS, the Fund s Statements of Cash Flows excludes non-cash transactions from its operating and financing activities. Recent Accounting Pronouncements The final version of IFRS 9, Financial Instruments, was issued by the IASB in July 2014 and will replace IAS 39 Financial Instruments: 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 an entity s 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 is available for early adoption. In addition, the entity s own credit risk changes can be early applied in isolation without otherwise changing the accounting for financial instruments. Fidelity is in the process of assessing the impact of IFRS 9 and does not plan to adopt the new standard early. 4. Expenses and Other Related Party Transactions Management and Advisory Fees - Fidelity serves as the manager and investment advisor of the Fund. Fidelity is part of a broader group of companies collectively known as Fidelity Investments. Fidelity provides investment advice with respect to the Fund s investment portfolio and arranges for the acquisition and disposition of portfolio investments, including all necessary brokerage arrangements. The Fund pays Fidelity a monthly management and advisory fee for their services and the provision of key management personnel to the Fund, based on the net asset value of each Series, calculated daily and payable monthly. Fidelity may reduce the management and advisory fee or fund expenses for certain investors by reducing the management and advisory fee it charges to the Fund or reducing the amount charged to the Fund for certain expenses and having the Fund pay out the amount of the reduction to the investors as a distribution. These distributions are disclosed as Management fee reduction in the Statements of Changes in Net Assets Attributable to Securityholders. To avoid duplication of fees, Series O securities of any Fidelity managed Underlying Fund are not subject to management and advisory fees. The annual management and advisory fee rates for each Series were as follows: Annual Management and Advisory Fee Rate (%) Series A Series B Series F.850 Series F5.850 Series F8.850 Series T Series T Series S Series S Series E Annual Management and Advisory Fee Rate (%) Series E1T Series E Series E2T Series E Series P1.825 Series P1T5.825 Series P2.800 Series P2T5.800 Series P3.775 Series P3T5.775 Administration Fee Fidelity charges the Fund a fixed administration fee in place of certain variable and administrative expenses, including the provision of key administrative personnel to the Fund. Fidelity, in turn, pays all of the operating expenses of the Fund, other than certain specified fund costs, including the fees and expenses of the Independent Review Committee, taxes, brokerage commissions and interest charges. To avoid duplication of fees, Series O securities of any Fidelity managed Underlying Fund are not subject to the Administration fee. The administration fee is in addition to the management and advisory fee. The annual rate of the administration fee will fall under one of three tiers, depending on the net asset value of the Fund: Under $100 Million (Tier 1), $100 Million to $1 Billion (Tier 2) and Over $1 Billion (Tier 15 Semi-Annual Report

16 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 3). The administration fee is calculated as a fixed annual percentage, accrued daily and payable monthly, of the net asset value of each Series as follows: Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series F Series F Series T Series T Series S Series S Series E Tier 1 (%) Tier 2 (%) Tier 3 (%) Series E1T Series E Series E2T Series E Series P Series P1T Series P Series P2T Series P Series P3T Prior to November 1, 2016 the administration fee was calculated as a fixed annual percentage of the net asset value of each Series as follows (some or all Series administration fees may not have changed): Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series F Series F Series T Tier 1 (%) Tier 2 (%) Tier 3 (%) Series T Series S Series S Series E Series P Independent Review Committee Fees - The Independent Review Committee (IRC), as required under National Instrument , reviews conflict of interest matters referred to it by the manager and provides recommendations or approves actions, as appropriate, that are in the best interest of the funds. There are currently four members of the IRC who are independent of Fidelity and its affiliates. IRC members are compensated by way of an annual retainer fee and a per meeting attendance fee, as well as reimbursed for expenses associated with IRC duties. These costs are allocated among the individual funds proportionately by assets. Sales Tax - Certain provinces have harmonized their Provincial Sales Tax (PST) with the federal Goods and Services Tax (GST). The Harmonized Sales Tax (HST) combines the GST rate of 5% with the PST rate of certain provinces. The Provincial GST/HST liability or refund is calculated using the residency of securityholders and the value of their interests in the Fund as at specific times, rather than the physical location of the Fund. The effective GST/HST rate charged to each Series of the Fund is based on the securityholders proportionate investments by province, using each province s HST rate or GST rate in the case of non-participating provinces. All amounts are included in the Statements of Comprehensive Income as Sales tax. Expenses Waived - Fidelity may absorb or waive certain expenses at its sole discretion and can terminate the absorption or waiver at any time. Fidelity waived a portion of its administration fee which is disclosed as Expenses waived in the Statements of Comprehensive Income. 5. Taxation and Distributions The Fund qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada). For tax purposes, the Fund has a December year end. In each tax year, the Fund declares and credits as due and payable sufficient net investment income and net realized capital gains to securityholders such that the Fund will not be subject to income taxes. As a result, the Fund does not record income taxes under IAS 12 Income Taxes (IAS 12) and accordingly does not recognize the deferred tax benefit associated with tax loss carry forwards and other taxable temporary differences. Distributions are taxable in securityholders hands. At the end of each tax year, the character of the distributions is determined for tax purposes. Under the terms of the Declaration of Trust, the trustee may capitalize any distribution amount without any increase in the number of securities outstanding. Distributions, if any, are declared separately for each Series. Capital losses may be carried forward indefinitely to reduce future realized capital gains. As at the last taxation year-end, the Fund had $325 of capital losses available to be carried forward. Non capital losses may be carried forward for up to 20 tax years to reduce future taxable income, but expire in December of the year noted. As at the last taxation year-end, the Fund had the following non capital losses available to be carried forward: Expiration Date of Non Capital Losses ($) Semi-Annual Reportport 16

17 6. Capital Risk Management Securities issued and outstanding are considered to be the capital of the Fund. The capital of each series of the Fund is divided into an unlimited number of securities of equal value, with no par value. All securities in a series of the Fund rank equally with respect to distributions. A securityholder of the Fund is entitled to one vote for each one dollar in value of securities owned. Fractional securities are proportionately entitled to these rights. The Fund generally has no restrictions or specific capital requirements on the subscriptions and redemptions of securities other than minimum subscription requirements; although, on rare occasions, Fidelity may temporarily suspend securityholders right to redeem securities and postpone paying sale proceeds. The relevant movements attributable to securityholders are shown in the Statements of Changes in Net Assets Attributable to Securityholders. In accordance with the objectives and the risk management policies outlined in the Financial Instruments Risk notes, the Fund endeavors to invest the subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions. Such liquidity is managed by investing the majority of assets in investments that can be readily disposed and via the Fund s ability to borrow up to 5% of its net asset value. Security Transactions - Security transactions and weighted average securities for each Series were as follows: Securities Outstanding, Beginning of Period Issued Reinvested Redeemed Securities Outstanding, End of Period Weighted Average Securities Period ended September 30, 2017 Series A (49) Series B (161) Series F (260) Series F (39) Series F8 Series T Series T (2) Series S (18) Series S (4) Series E (64) Series E1T (5) Series E (10) Series E2T5 9 (9) 3 Series E Series P (8) Series P1T Series P (55) Series P2T (13) Series P Series P3T Period ended September 30, 2016 Series A 181 (46) Series B 1,285 (741) Series F 1,221 (163) 1,058 1,004 Series F (22) Series F Series T Series T8 15 (1) 14 9 Series S5 166 (10) Series S8 56 (2) Series E1 630 (25) Series P1 25 (1) 24 6 Affiliated Ownership - As at September 30, 2017, Fidelity and its affiliates held less than 1% of the Fund. As at March 31, 2017, Fidelity and its affiliates held less than 1% of the Fund. 7. Financial Instruments Risk The Fund s activities expose it to a variety of financial instruments risks: credit risk, liquidity risk, other price risk, interest rate risk and currency risk. Fidelity seeks to minimize potential adverse effects of these performance risks by employing professional, experienced portfolio 17 Semi-Annual Report

18 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) advisors, by daily monitoring of positions and market events, and by diversifying the investment portfolio within the constraints of the investment mandate. Derivative financial instruments may be used to moderate certain risk exposures. The Fund aims to achieve long term capital growth. It seeks a return similar to its underlying fund by investing substantially all of its assets in securities of the Underlying Fund, Fidelity American Balanced Fund. The Fund uses derivatives to try to minimize the exposure to currency fluctuations between developed market foreign currencies and the Canadian dollar. The Fund may also hedge against other foreign currencies. The underlying fund aims to achieve long term capital growth by investing primarily in a mix of equity securities, fixed income securities and money market instruments of U.S. issuers and other issuers from around the world. The underlying fund can invest in these securities either directly or indirectly through investments in other underlying funds. The Fund is not managed to a specific benchmark. Portfolio risk is monitored daily and reviewed monthly by an investment compliance group. In addition, there is a formal quarterly review of each fund. The investment compliance group, portfolio managers and the senior analysts attend a quarterly portfolio review. Portfolios within each strategy are reviewed relative to each other and to their benchmark. Active industry and security allocations are analyzed. Credit Risk - Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Fund. The Fund s own credit risk in the case of financial liabilities and a counterparty s credit risk, both indirect and direct, are considered, where applicable, in determining the fair value of financial assets and financial liabilities. In addition, as part of its cash management, the Fund limits its direct exposure to credit loss by placing its cash with high credit quality financial institutions. The carrying amount of investments and other assets represents the maximum credit risk exposure as at September 30, 2017 and March 31, Refer to the Quality Diversification tables in the Summary of Investment Portfolio of the Fund s Semi-Annual Management Report of Fund Performance as at September 30, 2017, which summarize the credit risk that is relevant for the Fund. Credit risk exposure for derivative instruments is based on the Fund s unrealized gain on the contractual obligations with the counterparty as at the reporting date. The Fund restricts its exposure to credit losses on derivative instruments by limiting its exposure to any one counterparty and by entering into transactions with counterparties who meet the minimum approved credit rating under securities regulations and other pre-set financial and non- financial criteria. Other than outlined above, there were no significant concentrations of credit risk to counterparties as at September 30, 2017 and March 31, Concentration Risk - The Fund may be exposed to risk based on the concentration levels of its financial instruments in various sectors, geographic regions, asset weightings and market capitalization, as applicable. Fidelity analyzes and monitors these concentration risks regularly. Refer to the Derivative Exposure, Geographic Mix and Asset Mix tables in the Summary of Investment Portfolio of the Fund s Semi-Annual Management Report of Fund Performance as at September 30, 2017, which summarize the investment concentration risks that are relevant for the Fund. Liquidity Risk - Liquidity risk is defined as the risk that the Fund may not be able to settle or meet its obligations on time or at a reasonable price. The Fund is exposed to daily cash redemptions of its redeemable securities. Redeemable securities are redeemed on demand at the securityholder s option based on the Fund s NAVPS at the time of redemption. The Fund may be exposed to indirect liquidity risk through its investments. In accordance with securities regulations, investment funds must maintain at least 90% of assets in liquid investments; investments that are traded in an active market and can be readily disposed of. In addition, the Fund aims to retain sufficient cash and short-term investments to maintain liquidity, and has the ability to borrow up to 5% of its net asset value from the custodian for the purpose of funding redemptions. The liquidity position is monitored on a daily basis. As at September 30, 2017 and March 31, 2017, the Fund did not have financial liabilities with maturities greater than 3 months. Other Price Risk - Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk on monetary instruments), whether caused by factors specific to an individual investment, its issuer, or other factors affecting all instruments traded in a market or market segment. All financial instruments present a risk of loss of capital. This risk is moderated through a careful selection of securities and other financial instruments within the parameters of the investment strategy. The maximum risk resulting from financial instruments is equivalent to their fair value except for possible losses from options written and futures contracts which can be unlimited. Investments and derivatives, if applicable, are susceptible to other price risk arising from uncertainties about future prices of the instruments. In determining a Fund s impact from exposure to other price risk, a beta may be used when applicable. Beta, a measure of the volatility of a security or a portfolio in comparison to the market as a whole, is derived from comparing 36 months of returns between the benchmark and a Fund. As such, beta inherently includes effects reflected in interest rate and currency risks. A beta of 1 indicates the security s price will move with the market. A beta of less than 1 means the security will be less volatile than the market. A beta of greater than 1 indicates the security s price will be more volatile than the market. For example, if a stock s beta is 1.2, it s theoretically 20% more volatile than the market. Beta may not be representative of future beta. Semi-Annual Reportport 18

19 If the market had increased or decreased by 5% on September 30, 2017 and March 31, 2017, with all other variables held constant, the net assets attributable to securityholders of the Fund would have increased or decreased by approximately $1,487 (March 31, 2017: $871). This change is estimated using the Fund s beta which is calculated based on the historical correlation between the return of the Fund as compared to the MSCI ACWI (All Country World Index) Index, which is used as a proxy for global equity market returns. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. Interest Rate Risk - Interest rate risk arises on interest-bearing financial instruments held directly or indirectly in the investment portfolio such as bonds. The Fund is exposed to the risk that the fair value or the future cash flows of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. Any excess cash may be invested in short-term investments at market interest rates. The fixed income investment strategy adheres to independent quantitative understanding of all benchmark and portfolio risk and return characteristics with an explicit understanding of all active exposures relative to the investment benchmark. Interest rate anticipation is not a significant component of the fixed income investment strategy. The Fund invests directly and/or indirectly in high yield securities, including, but not limited to, security types commonly known as: high yield bonds, floating rate debt instruments, floating rate loans, senior secured debt obligations, convertible securities, high yield commercial mortgage-backed securities (MBS) as well as some fixed income securities issued by corporations and governments in emerging market economies, which may be more or less sensitive to changes in market interest rates, depending upon the securities coupon rates, terms to maturity and other factors. However, the volatility associated with these high yield securities is not a result of interest rate risk; in fact, the interest rate risk of these securities tends to be lower than the investment grade bonds, which generally pay lower coupon rates and/or offer lower yields. High yield securities typically are issued by companies that tend to be less creditworthy than investment grade bond issuers. As such, they carry greater default risk than investment grade bonds and accordingly offer higher coupon payments to compensate investors for this additional risk. The Fund s exposure to interest-bearing financial instruments is such that a 25 basis point fluctuation in the prevailing levels of market interest rates would not subject the Fund to significant amounts of interest rate risk. Currency Risk - Currency risk arises from financial instruments that are denominated in a currency other than Canadian dollar, which is the Fund s functional currency. The Fund is exposed to the risk that the value of financial instruments will fluctuate due to changes in exchange rates. Currency risk is not considered to arise from financial instruments that are non-monetary items such as equity investments, or forward foreign exchange contracts related to such non-monetary items. Foreign exchange exposure relating to non-monetary assets and liabilities is considered to be a component of other price risk, not foreign currency risk. Management monitors the exposure on all foreign currency denominated assets and liabilities, and enters into forward foreign currency contracts to manage the Fund s exposure to foreign exchange movements (such as the U.S. dollar, the Euro or the Yen). Generally, the use of forward contracts to hedge currency fluctuations as completely as possible will not result in the impact of currency fluctuations being eliminated altogether. Furthermore, during times of extreme market stress or volatility, the Fund may not be able to prevent losses from exposure to foreign currencies. However, generally speaking, the use of forward currency contracts is effective in reducing exchange rate risk so that the Fund is not subject to a significant amount of currency risk. 8. Investment in Structured Entities The Fund s investment in a Fidelity managed Underlying Fund represents an interest in a structured entity. A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements such as those agreements executed by a Fund with its manager and portfolio advisor. An Underlying Fund is financed through the issuance of its redeemable trust securities. In addition, its purpose is to provide investment management services to its securityholders by investing its net assets for capital growth and/or investment income. The Fund does not control nor significantly influence an Underlying Fund, as defined by IFRS 10 and IAS 28, due to the Fund s inability to exercise its voting rights and direct or participate in the financial and operating policy decisions. The maximum risk of loss in an investment in an Underlying Fund is equal to its fair value and carrying value which is outlined in the tables below and included in Investments on the Statements of Financial Position. There is no difference between the maximum risk of loss and the carrying amounts of the assets and liabilities of an Underlying Fund that relate to the Fund s interests. There are additional risks associated with an investment in an Underlying Fund. Refer to the Financial Instruments Risk note for further discussion. In the normal course of operations to fulfil its investment objective, the Fund will, from time to time, subscribe for additional securities issued by an Underlying Fund or redeem in whole or in part its investment in an Underlying Fund. However, the Fund does not have any obligation or 19 Semi-Annual Report

20 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) intention to provide financial support to an Underlying Fund. In addition, the Fund may receive a distribution of income and/or capital gains from an Underlying Fund as described above in the Investment Transactions, Income Recognition and Transaction Costs note. The following tables present additional information that is relevant to the Fund s investment in structured entities. Total Net Fair Value of September 30, 2017 Assets ($) Investment ($) Fidelity American Balanced Fund 286,205 29,737 Total Net Fair Value of March 31, 2017 Assets ($) Investment ($) Fidelity American Balanced Fund 272,855 17, Offsetting of Financial Assets and Liabilities The Fund s derivatives noted below are subject to enforceable master netting arrangements in the form of foreign exchange netting agreements with its counterparties. The normal business terms of the foreign exchange netting agreements call for net settlement of transactions when contracts with the same counterparty and currency mature simultaneously. In the event of default or bankruptcy net settlement of contracts would be enforced. The following tables summarize financial instruments that are offset in the Statements of Financial Position, or are subject to enforceable master netting arrangements or other similar agreements but are not offset: As at September 30, 2017 Amounts offset Amounts not offset Assets Gross ($) Gross assets/liabilities offset ($) Net ($) Master Netting Arrangements ($) Financial Collateral ($) Forward foreign currency contracts 217 (56) 161 (46) 115 Liabilities Forward foreign currency contracts (110) 56 (54) 46 (8) Net ($) As at March 31, 2017 Amounts offset Amounts Not offset Assets Gross ($) Gross assets/liabilities offset ($) Net ($) Master Netting Arrangements ($) Financial Collateral ($) Forward foreign currency contracts 51 (1) 50 (50) Liabilities Forward foreign currency contracts (134) 1 (133) 50 (83) Net ($) Semi-Annual Reportport 20

21 21 Semi-Annual Report

22 Semi-Annual Reportport 22

23 23 Semi-Annual Report

24 Fidelity Investments Canada ULC 483 Bay Street, Suite 300 Toronto, Ontario M5G 2N7 Manager, Transfer Agent and Registrar Fidelity Investments Canada ULC 483 Bay Street, Suite 300 Toronto, Ontario M5G 2N7 Portfolio Adviser Fidelity Investments Canada ULC Toronto, Ontario Custodian State Street Trust Company of Canada Toronto, Ontario Auditor PricewaterhouseCoopers LLP Toronto, Ontario Visit us online at or call Fidelity Client Services at Fidelity s mutual funds are sold by registered Investment Professionals. Each Fund has a simplified prospectus, which contains important information on the Fund, including its investment objective, purchase options, and applicable charges. Please obtain a copy of the prospectus, read it carefully, and consult your Investment Professional before investing. As with any investment, there are risks to investing in mutual funds. There is no assurance that any Fund will achieve its investment objective, and its net asset value, yield, and investment return will fluctuate from time to time with market conditions. Investors may experience a gain or loss when they sell their securities in any Fidelity Fund. Fidelity Global Funds may be more volatile than other Fidelity Funds as they concentrate investments in one sector and in fewer issuers; no single Fund is intended to be a complete diversified investment program. Past performance is no assurance or indicator of future returns. There is no assurance that either Fidelity Canadian Money Market Fund or Fidelity U.S. Money Market Fund will be able to maintain its net asset value at a constant amount. The breakdown of Fund investments is presented to illustrate the way in which a Fund may invest, and may not be representative of a Fund s current or future investments. A Fund s investments may change at any time. Fidelity Investments is a registered trademark of Fidelity Investments Canada ULC E FICL-HGEB-SANN-1117