Fidelity Balanced Class Portfolio of the Fidelity Capital Structure Corp.

Transcription

1 Fidelity Balanced Class Portfolio of the Fidelity Capital Structure Corp. Annual Report November 30, 2016

2 Fidelity Balanced Class Portfolio of the Fidelity Capital Structure Corp. Schedule of Investments November 30, 2016 Showing Percentage of Net Assets Attributable to Holders of Redeemable Securities (Net Assets) Equity Funds 61.0% Shares / Units Cost (000s) Market Value (000s) Canadian Equity Funds 36.8% Fidelity Canadian Disciplined Equity Fund Series O 970,340 $ 36,686 $ 44,918 Fidelity Canadian Large Cap Fund Series O 866,080 38,519 40,749 Fidelity Canadian Opportunities Fund Series O 457,304 8,993 10,405 Fidelity True North Fund Series O 861,655 37,449 41,238 TOTAL CANADIAN EQUITY FUNDS 121, ,310 Global and International Equity Funds 13.4% Fidelity Emerging Markets Fund Series O 1,606,797 20,892 22,211 Fidelity Frontier Emerging Markets Fund Series O 208,725 1,240 1,237 Fidelity Global Real Estate Fund Series O 341,142 3,385 4,715 Fidelity International Disciplined Equity Currency Neutral Fund Series O Fidelity International Equity Investment Trust Series O 558,387 8,754 8,843 Fidelity International Growth Investment Trust Series O 734,604 8,427 9,568 Market Vectors Gold Miners ETF 122,746 3,594 3,435 TOTAL GLOBAL AND INTERNATIONAL EQUITY FUNDS 46,297 50,013 U.S. Equity Funds 10.8% Energy Select Sector SPDR ETF 20,450 1,994 2,045 Fidelity Small Cap America Fund Series O 27,492 1,769 2,542 Fidelity U.S. All Cap Fund Series O 1,004,030 14,602 17,965 Fidelity U.S. Focused Stock Fund Series O 362,314 14,602 17,806 TOTAL U.S. EQUITY FUNDS 32,967 40,358 TOTAL EQUITY FUNDS 200, ,681 Shares / Units Cost (000s) Market Value (000s) U.S. Fixed-Income Funds 6.4% Fidelity American High Yield Currency Neutral Fund Series O 45,781 $ 413 $ 407 Fidelity American High Yield Fund Series O 590,995 5,559 5,558 Fidelity Convertible Securities Investment Trust Series O 376,248 4,727 4,918 Fidelity Floating Rate High Income Fund Series O 442,896 4,995 5,548 Fidelity U.S. Bond Investment Trust Series O 630,636 6,819 7,328 TOTAL U.S. FIXED-INCOME FUNDS 22,513 23,759 TOTAL FIXED-INCOME FUNDS 125, ,536 Short-Term Funds 2.1% Fidelity Canadian Money Market Fund Series O 786,564 7,866 7,866 Short-Term Investments 2.9% Principal Amount (000s) Investments in reverse repurchase agreements in a joint trading account at 0.47%, dated 11/30/16 due 12/1/16 (Collateralized by Canadian Government Obligations) # $ 11,026 11,026 11,026 TOTAL INVESTMENT PORTFOLIO 99.9% $345, ,109 NET OTHER ASSETS (LIABILITIES) 0.1% 306 NET ASSETS 100% $ 373,415 Presentation Notes Cost amount includes broker commissions and other trading expenses, if any. Fixed-Income Funds 33.9% Canadian Fixed-Income Funds 14.9% Fidelity Canadian Bond Fund Series O 3,858,359 54,482 55,512 Global Fixed-Income Funds 12.6% Fidelity Global Bond Currency Neutral Fund Series O 34, Fidelity Global Bond Fund Series O 4,048,786 47,929 46,884 TOTAL GLOBAL FIXED-INCOME FUNDS 48,315 47,265 See accompanying notes which are an integral part of the financial statements. Annual Reportport 2

3 Investment Valuation The following is a summary of the inputs used, as of November 30, 2016 and November 30, 2015, 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 November 30, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equity Funds $227,681 $227,681 $ $ Fixed-Income Funds 126, ,536 Short-Term Funds 7,866 7,866 Short-Term Investments 11,026 11,026 Total Investments in Securities: $373,109 $362,083 $11,026 $ Valuation Inputs at November 30, 2015: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equity Funds $178,316 $178,316 $ $ Fixed-Income Funds 104, ,990 Short-Term Funds 7,129 7,129 Total Investments in Securities: $290,435 $290,435 $ $ Other Information # Additional information on each counterparty to the reverse repurchase agreement is as follows: Reverse Repurchase Agreement / Counterparty Value (000s) $11,026,000 due 12/01/16 at 0.47% Bank of Montreal $ 1,758 Royal Bank of Canada 3,321 Scotia Capital, Inc. 4,103 The Toronto-Dominion Bank 1,844 $ 11,026 See accompanying notes which are an integral part of the financial statements. 3 Annual Report

4 Financial Statements Statements of Financial Position Amounts in thousands of Canadian Dollars /thousands of securities (except per security amounts) As at November 30, 2016 November 30, 2015 Assets (Note 3) Current assets Investments at fair value through profit or loss (Note 8) $ 373,109 $ 290,435 Cash 1 Receivable for investments sold Other receivables 1 Distributions receivable Subscriptions receivable 1,655 1, , ,275 Liabilities (Note 3) Current liabilities Payable to custodian bank 104 Payable for investments purchased 1, Redemptions payable Distributions payable (Note 5) Management fee payable (Note 4) Other payables to affiliates (Note 4) Other payables and accrued expenses (Note 4) ,495 1,852 Net assets attributable to holders of redeemable securities (Notes 3 and 6) $ 373,415 $ 290,423 Net assets attributable to holders of redeemable securities per Series and per security (Note 6) Series A: ($66,527 / 4,698 securities and $59,382 / 4,236 securities, respectively) $ $ Series B: ($131,269 / 9,152 securities and $158,626 / 11,170 securities, respectively) $ $ Series F: ($34,336 / 2,257 securities and $20,829 / 1,382 securities, respectively) $ $ Series F5: ($4,558 / 304 securities and $4,915 / 315 securities, respectively) $ $ Series F8: ($3,402 / 302 securities and $1,245 / 102 securities, respectively) $ $ Series T5: ($8,376 / 599 securities and $7,630 / 524 securities, respectively) $ $ Series T8: ($5,082 / 482 securities and $4,597 / 404 securities, respectively) $ $ Series S5: ($14,458 / 1,021 securities and $20,168 / 1,367 securities, respectively) $ $ Series S8: ($11,281 / 1,054 securities and $13,031 / 1,128 securities, respectively) $ $ See accompanying notes which are an integral part of the financial statements. Annual Reportport 4

5 Statements of Financial Position continued Amounts in thousands of Canadian Dollars /thousands of securities (except per security amounts) As at November 30, 2016 November 30, 2015 Series E1: ($49,987 / 4,734 securities and $- / securities, respectively) $ $ Series E1T5: ($5,716 / 282 securities and $- / securities, respectively) $ $ Series E2: ($10,719 / 1,014 securities and $- / securities, respectively) $ $ Series E2T5: ($2,581 / 127 securities and $- / securities, respectively) $ $ Series E3: ($5,215 / 493 securities and $- / securities, respectively) $ $ Series E4: ($115 / 12 securities and $- / securities, respectively) $ $ Series P1: ($10,830 / 1,071 securities and $- / securities, respectively) $ $ Series P1T5: ($2,626 / 137 securities and $- / securities, respectively) $ $ Series P2: ($5,465 / 540 securities and $- / securities, respectively) $ $ Series P3: ($872 / 86 securities and $- / securities, respectively) $ $ See accompanying notes which are an integral part of the financial statements. 5 Annual Report

6 Financial Statements continued Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per security amounts) For the periods ended November 30, Investment income (Note 3) Interest $ 6 $ Income distributions from the underlying funds 7,123 5,414 Capital gain distributions from the underlying funds 7,157 3,317 Net gain (loss) on Investments Net realized gain (loss) on investments 5,104 12,522 Change in net unrealized appreciation (depreciation) on investments (365) 716 4,739 13,238 Net gain (loss) on Foreign Currencies Net realized gain (loss) on foreign currency transactions Net gain (loss) on Derivatives Net realized gain (loss) on derivatives (670) (670) Total investment income (loss) 18,356 21,978 Operating expenses (Note 4) Management fees 5,564 4,898 Administration fees Independent Review Committee fees 1 1 Commissions and other portfolio costs 2 Sales tax Total operating expenses 7,041 6,233 Expenses waived (Note 4) (97) (123) Net operating expenses 6,944 6,110 Net increase (decrease) in net assets attributable to holders of redeemable securities from operations $ 11,412 $ 15,868 Other information: Increase (decrease) in net assets attributable to holders of redeemable securities from operations per Series (Note 3) Series A $ 1,990 $ 3,628 Series B $ 3,477 $ 8,289 Series F $ 1,221 $ 962 Series F5 $ 197 $ 324 Series F8 $ 106 $ 90 Series T5 $ 181 $ 577 Series T8 $ 162 $ 344 Series S5 $ 386 $ 1,033 Series S8 $ 381 $ 621 Series E1 $ 2,144 $ Series E1T5 $ 287 $ Series E2 $ 369 $ Series E2T5 $ (9) $ Series E3 $ 19 $ Series E4 $ 17 $ Series P1 $ 246 $ Series P1T5 $ 44 $ Series P2 $ 178 $ Series P3 $ 16 $ See accompanying notes which are an integral part of the financial statements. Annual Reportport 6

7 Statements of Comprehensive Income continued Amounts in thousands of Canadian Dollars (except per security amounts) For the periods ended November 30, Increase (decrease) in net assets attributable to holders of redeemable securities from operations per Series per security (Note 3) Series A $.4476 $.8242 Series B $.3510 $.7883 Series F $.7079 $.9221 Series F5 $.7097 $ Series F8 $.5905 $.9316 Series T5 $.3404 $.8936 Series T8 $.3613 $.7592 Series S5 $.3407 $.8431 Series S8 $.3408 $.6035 Series E1 $.6096 $ Series E1T5 $ $ Series E2 $.5620 $ Series E2T5 $ (.2398) $ Series E3 $.0844 $ Series E4 $.0948 $ Series P1 $.4155 $ Series P1T5 $.7828 $ Series P2 $.5797 $ Series P3 $.5190 $ For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. 7 Annual Report

8 Financial Statements continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities Amounts in thousands of Canadian Dollars For the period ended November 30, 2016 Total Series A Series B Series F Series F5 Series F8 Net assets attributable to holders of redeemable securities, beginning of period $ 290,423 $ 59,382 $ 158,626 $ 20,829 $ 4,915 $ 1,245 Distributions to holders of redeemable securities (Note 5) From net investment income (1,134) (201) (401) (102) (15) (9) From net realized gain (5,655) (963) (3,023) (517) (120) (38) Return of capital (3,391) (211) (188) (10,180) (1,164) (3,424) (619) (346) (235) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 278,491 25,712 72,270 38,236 4,212 2,285 Reinvestment of distributions 7,170 1,125 3, Amounts paid upon redemption of redeemable securities (203,901) (20,518) (103,037) (25,882) (4,591) (64) 81,760 6,319 (27,410) 12,905 (208) 2,286 Increase (decrease) in net assets attributable to holders of redeemable securities from operations 11,412 1,990 3,477 1, Net increase (decrease) in net assets attributable to holders of redeemable securities 82,992 7,145 (27,357) 13,507 (357) 2,157 Net assets attributable to holders of redeemable securities, end of period $ 373,415 $ 66,527 $ 131,269 $ 34,336 $ 4,558 $ 3,402 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the period ended November 30, 2016 Series T5 Series T8 Series S5 Series S8 Series E1 Net assets attributable to holders of redeemable securities, beginning of period $ 7,630 $ 4,597 $ 20,168 $ 13,031 $ Distributions to holders of redeemable securities (Note 5) From net investment income (26) (15) (44) (35) (151) From net realized gain (124) (76) (364) (243) Return of capital (388) (426) (818) (1,062) (538) (517) (1,226) (1,340) (151) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 4,156 1,500 8,230 2,794 57,873 Reinvestment of distributions Amounts paid upon redemption of redeemable securities (3,278) (828) (13,636) (4,058) (10,025) 1, (4,870) (791) 47,994 Increase (decrease) in net assets attributable to holders of redeemable securities from operations ,144 Net increase (decrease) in net assets attributable to holders of redeemable securities (5,710) (1,750) 49,987 Net assets attributable to holders of redeemable securities, end of period $ 8,376 $ 5,082 $ 14,458 $ 11,281 $ 49,987 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. Annual Reportport 8

9 Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities continued Amounts in thousands of Canadian Dollars For the period ended November 30, 2016 Series E1T5 Series E2 Series E2T5 Series E3 Series E4 Net assets attributable to holders of redeemable securities, beginning of period $ $ $ $ $ Distributions to holders of redeemable securities (Note 5) From net investment income (17) (33) (8) (16) Return of capital (199) (39) (216) (33) (47) (16) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 6,426 12,280 2,622 10,407 5,211 Reinvestment of distributions Amounts paid upon redemption of redeemable securities (820) (1,930) (5) (5,211) (5,113) 5,645 10,383 2,637 5, Increase (decrease) in net assets attributable to holders of redeemable securities from operations (9) Net increase (decrease) in net assets attributable to holders of redeemable securities 5,716 10,719 2,581 5, Net assets attributable to holders of redeemable securities, end of period $ 5,716 $ 10,719 $ 2,581 $ 5,215 $ 115 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the period ended November 30, 2016 Series P1 Series P1T5 Series P2 Series P3 Net assets attributable to holders of redeemable securities, beginning of period $ $ $ $ Distributions to holders of redeemable securities (Note 5) From net investment income (34) (7) (17) (3) From net realized gain (125) (21) (41) Return of capital (60) (159) (88) (58) (3) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 13,781 3,666 5, Reinvestment of distributions Amounts paid upon redemption of redeemable securities (3,171) (1,050) (674) (10) 10,743 2,670 5, Increase (decrease) in net assets attributable to holders of redeemable securities from operations Net increase (decrease) in net assets attributable to holders of redeemable securities 10,830 2,626 5, Net assets attributable to holders of redeemable securities, end of period $ 10,830 $ 2,626 $ 5,465 $ 872 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. 9 Annual Report

10 Financial Statements continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities continued Amounts in thousands of Canadian Dollars For the period ended November 30, 2015 Total Series A Series B Series F Series F5 Series F8 Net assets attributable to holders of redeemable securities, beginning of period $ 260,110 $ 63,218 $ 135,007 $ 12,007 $ 4,124 $ 1,237 Distributions to holders of redeemable securities (Note 5) From net investment income (996) (204) (544) (71) (17) (4) Return of capital (3,022) (221) (92) (4,018) (204) (544) (71) (238) (96) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 82,352 12,382 45,400 9,588 1, Reinvestment of distributions 1, Amounts paid upon redemption of redeemable securities (65,397) (19,837) (30,062) (1,720) (1,222) (202) 18,463 (7,260) 15,874 7, Increase (decrease) in net assets attributable to holders of redeemable securities from operations 15,868 3,628 8, Net increase (decrease) in net assets attributable to holders of redeemable securities 30,313 (3,836) 23,619 8, Net assets attributable to holders of redeemable securities, end of period $ 290,423 $ 59,382 $ 158,626 $ 20,829 $ 4,915 $ 1,245 Amounts in thousands of Canadian Dollars For the period ended November 30, 2015 Series T5 Series T8 Series S5 Series S8 Net assets attributable to holders of redeemable securities, beginning of period $ 10,428 $ 6,724 $ 16,767 $ 10,598 Distributions to holders of redeemable securities (Note 5) From net investment income (27) (15) (69) (45) Return of capital (459) (404) (893) (953) (486) (419) (962) (998) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 1,020 1,191 6,088 4,631 Reinvestment of distributions Amounts paid upon redemption of redeemable securities (4,006) (3,346) (2,959) (2,043) (2,889) (2,052) 3,330 2,810 Increase (decrease) in net assets attributable to holders of redeemable securities from operations , Net increase (decrease) in net assets attributable to holders of redeemable securities (2,798) (2,127) 3,401 2,433 Net assets attributable to holders of redeemable securities, end of period $ 7,630 $ 4,597 $ 20,168 $ 13,031 See accompanying notes which are an integral part of the financial statements. Annual Reportport 10

11 Statements of Cash Flows Amounts in thousands of Canadian Dollars For the periods ended November 30, Cash, beginning of period $ $ 4 Cash flows from (used in) operating activities: Purchases of investments and derivatives (176,343) (140,626) Proceeds from sale and maturity of investments and derivatives 98, ,940 Cash receipts from interest income 6 Cash receipts from other investment income 14,117 8,615 Cash paid for operating expenses (6,830) (6,061) Net cash from (used in) operating activities (70,803) (14,132) Cash flows from (used in) financing activities: Distributions to holders of redeemable securities net of reinvestments (2,998) (2,490) Proceeds from sales of securities 132,163 81,597 Amounts paid upon redemption of securities (58,257) (65,083) Amounts borrowed from (repaid to) custodian bank (104) 104 Net cash from (used in) financing activities 70,804 14,128 Net change in cash 1 (4) Cash, end of period $ 1 $ See accompanying notes which are an integral part of the financial statements. 11 Annual Report

12 Notes to Financial Statements For the periods ended November 30, 2016 and 2015 (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 1. Formation of the Corporation Fidelity Capital Structure Corp. (Corporation) is a mutual fund corporation incorporated under the laws of Alberta on August 30, The authorized capital of the Corporation consists of an unlimited number of Class A voting securities and 300 classes of redeemable mutual fund special securities. Currently, 76 classes of the redeemable mutual fund special securities are available in Series A, Series B, Series F, Series F5, Series F8, Series I, Series I5, Series I8, Series S5, Series S8, Series T5, Series T8, Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5, Series E5T5, Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P4, Series P4T5, Series P5 and Series P5T5. Each of these 76 classes is a separate reporting entity. The registered office of the Corporation is located at 407 2nd Street S.W., Suite 820, Calgary, Alberta, T2P 2Y3. Fidelity Balanced Class Portfolio of the Fidelity Capital Structure Corp. (Fund) is a class of the Corporation and invests primarily in a combination of affiliated equity, fixed-income and money market funds (Underlying Funds) and external Exchange Traded Funds (ETFs). Currently, Fidelity mutual funds are offered in the following Series: Series A, Series B, Series C, Series D, Series F, Series F5, Series F8, Series I, Series I5, Series I8, Series O, Series T5, Series T8, Series S5, Series S8, Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5, Series E5T5, Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5. 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 T5 and Series T8 securities have substantially all the same attributes as the Series A securities with the exception that Series T5 and Series T8 securities distribute an amount comprised of net income and/or return of capital monthly, if available. Series B, Series D, Series S5 and Series S8 securities are available to all investors in an initial sales charge (ISC) option. Series S5 and Series S8 securities have substantially all the same attributes as the Series B securities with the exception that Series S5 and Series S8 securities distribute an amount comprised of net income and/or return of capital monthly, if available. 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 F5 and Series F8 securities have substantially all the same attributes as the Series F securities with the exception that Series F5 and Series F8 securities distribute an amount comprised of net income and/or return of capital monthly, if available. 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 E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5 and Series E5T5 securities have lower combined management and administration fees than Series B or Series S5 securities. Series E1T5, Series E2T5, Series E3T5, Series E4T5 and Series E5T5 securities have the same attributes as the other Series E securities with the exception that Series E1T5, Series E2T5, Series E3T5, Series E4T5 and Series E5T5 securities distribute an amount comprised of net income and/or return of capital monthly, if available. 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 P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5 securities have lower combined management and administration fees than Series F or Series F5 securities. Series P1T5, Series P2T5, Series P3T5, Series P4T5 and Series P5T5 securities have the same attributes as the other Series P securities with the exception that 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. Series O securities are only available to selected investors who have been approved by Fidelity and have entered into a Series O Account Agreement with Fidelity. 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 ISC option. Series I5 and Series I8 securities have substantially all the same attributes as the Series I securities with the exception that Series I5 and Series I8 securities distribute an amount comprised of net income and/or return of capital monthly, if available. The Fund offers Series A, Series B, Series F, Series F5, Series F8, Series T5, Series T8, Series S5, Series S8, Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E4, Series P1, Series P1T5, Series P2 and Series P3 securities. The Fund commenced the offering of Series E4 securities on September 16, 2016, commenced the offering of Series E1, Series E1T5, Series E2, Series E2T5 and Series E3 securities on February 5, 2016 and commenced the offering of Series P1, Series P1T5, Series P2 and Series P3 securities on December 4, 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. Fidelity is the Fund s and Underlying Funds investment manager. The investment advisor is responsible for the investment management of the Fund s and Underlying Funds portfolios. On December 31, 2015, the investment advisor changed from FIAM LLC (formerly Pyramis Global Advisors, LLC) to Fidelity. A special meeting of securityholders of the Fund was held on November 30, 2015, at which securityholders approved changes to the investment objectives of the Fund. From January, 15, 2016, the revised investment objectives permitted the Fund to invest in derivatives and exchangetraded funds in addition to its investments in other Fidelity Funds. Annual Reportport 12

13 2. Basis of Preparation Statement of Compliance These financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB). The accounting policies set out below have been applied consistently unless otherwise stated. The financial statements were authorized for issue by the Corporation s board of directors on February 7, Functional and Presentation Currency These financial statements are presented in Canadian dollars, which is the Fund s functional currency. 3. Summary of Significant Accounting Policies Basis of Measurement These financial statements have been prepared on the historical cost basis except for investments which are measured at fair value in the Statements of Financial Position. 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 November 30, 2016 and November 30, 2015, 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 s securities are classes in the Corporation. The classes will not participate pro rata in the residual net assets of the Corporation in the event of the Corporation s liquidation and they do not have identical features. Consequently, the Fund s outstanding redeemable securities are classified as financial liabilities in accordance with the requirements of IAS 32 Financial Instruments Presentation (IAS 32). Determination of Relationship with Underlying Funds The Fund has made significant judgments when determining the nature of its relationship with any 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 any Underlying Fund. In both determinations, the Fund looks at the relevant activities of any 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 any 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 any Underlying Fund. Investment Valuation Investments are designated at their fair value through profit or loss in accordance with IAS 39 and are carried at their fair value. The Fund categorizes the inputs to valuation techniques used to fair value its investments 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 November 30, 2016 and November 30, 2015, 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 by major category are as follows: 13 Annual Report

14 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) ETFs for which market quotations are readily available, are valued at last reported sales price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event that the last sales price or official closing price is not readily available, or is outside the bid-ask spread, the point within the bid-ask spread that is most representative of fair value based on specific facts and circumstances will be used. Investment in any Underlying Fund is valued at its closing net asset value per security (NAVPS) each business day and is categorized as Level 1 in the hierarchy. Short-term securities for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 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 November 30, 2016 and November 30, 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 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. Classification of redeemable securities issued by the Fund The Fund s redeemable securities are equally subordinated to each other, but have differing features as outlined in the notes below, and will not participate pro rata in the residual net assets of the Corporation in the event of the Corporation s liquidation. Therefore, in accordance with IAS 32, 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 holders of redeemable securities is recorded at the redemption amount. As at November 30, 2016 and November 30, 2015, the Fund s net asset value per Series per security may differ by less than $0.01 from its net assets attributable to holders of redeemable securities 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. However, for presentation purposes, the Schedule of Investments includes broker commissions and other trading expenses. Income from investments is recognized on an accrual basis. Interest income is accrued as earned. Distributions from any Underlying Fund, if any, are recognized on the ex-dividend date by the Fund in the same form that they were distributed. Net realized gains and losses from the sale of investments and change in net unrealized appreciation (depreciation) on investments are calculated with reference to average cost of the related investment securities which exclude transaction costs and may include proceeds received from litigation. Transaction costs, such as brokerage commissions, incurred in the purchase and sale of 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. Reverse Repurchase Agreements Uninvested cash balances may be transferred into one or more joint trading accounts where these balances are invested in reverse repurchase transactions. In reverse repurchase transactions, U.S. or Canadian Government securities are purchased from a counterparty who agrees to repurchase the securities at a higher price at a specified future date. The difference in price is reported as interest income. Credit risk arises from the potential for a counterparty to default on its obligation to repurchase the security. The risk is managed by the use of counterparties acceptable to Fidelity and by the receipt of the securities as collateral. The value of the collateral must be at least 102% of the daily fair value of the cash invested. Any reverse repurchase agreements open at period end are included in the Schedule of Investments. No reverse repurchase agreements were held as at November 30, The following tables summarize the securities pledged to the Fund as collateral: Annual Reportport 14

15 November 30, 2016 Collateral Description Interest Rate (%) Maturity Date % of Collateral Collateral Value as a % of CAD Cash Invested Canadian Treasury Bond /1/ /1/ Futures Contracts The Fund may invest in futures contracts to manage its exposure to the markets. Upon entering into a futures contract, the Fund is required to deposit with the clearing broker, no later than the following business day, an amount (initial margin) equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on the settlement date. Subsequent payments (variation margin) are made or received by the Fund depending on the daily fluctuations in the value of the futures contract and are accounted for as change in net unrealized appreciation (depreciation) on derivatives in the Statements of Comprehensive Income. Upon the expiration or closing of the futures contract, realized gains or losses are recognized, and are recorded in the Statements of Comprehensive Income as Net realized gain (loss) on derivatives. Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin reflected in the Statements of Financial Position. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption Futures Contracts. This amount reflects each contract s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract s terms. Valuation of Series Separate net assets attributable to holders of redeemable securities is calculated for each Series of securities in the Fund. The net assets attributable to holders of redeemable securities 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 holders of redeemable securities of each Series, except for items that can be specifically attributed to one or more Series. Per Security from Operations - The increase (decrease) in net assets attributable to holders of redeemable securities resulting from operations per security in the Statements of Comprehensive Income represent the increase (decrease) in net assets attributable to holders of redeemable securities resulting from operations for each Series of the Fund, divided by the weighted average securities outstanding for each Series of the Fund during the period as follows: 15 Annual Report

16 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) Weighted Average Securities Period ended November 30, 2016 Series A 4,447 Series B 9,901 Series F 1,726 Series F5 278 Series F8 178 Series T5 532 Series T8 447 Series S5 1,133 Series S8 1,121 Series E1 3,517 Series E1T5 222 Series E2 658 Series E2T5 38 Series E3 225 Series E4 176 Series P1 592 Series P1T5 56 Series P2 308 Series P3 31 Period ended November 30, 2015 Series A 4,400 Series B 10,519 Series F 1,044 Series F5 290 Series F8 97 Series T5 645 Series T8 454 Series S5 1,225 Series S8 1,029 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 recognised 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. The Fund 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 Fee Fidelity serves as manager of the Fund. Fidelity is part of a broader group of companies collectively known as Fidelity Investments. Fidelity has entered into sub-advisory agreements with a number of entities including FMR Co., Inc., to provide investment advice with respect to all or a portion of the investments of the Fund. The sub-advisors arrange for acquisition and disposition of portfolio investments, including all necessary brokerage arrangements. The Fund pays Fidelity a monthly management fee for its 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. To avoid duplication of fees, Series O securities of any Underlying Fund are not subject to a management fee. The annual management fee rates for each Series were as follows: Annual Reportport 16

17 Annual Management Fee Rate (%) Series A Series B Series F Series F Series F Series T Series T Series S Series S Series E Series E1T Series E Series E2T Series E Series E Series P Series P1T Series P Series P Administration Fee Fidelity charges the Fund a fixed administration fee in place of certain variable expenses and the provision of key management 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 (IRC), taxes, brokerage commissions and interest charges. The administration fee is in addition to the management fee. To avoid duplication of fees, Series O securities of any Underlying Fund are not subject to the Administration 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 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 Series E1T Series E Series E2T Series E Series E Series P Series P1T Series P Series P Prior to March 28, 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): 17 Annual Report

18 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 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 Series E1T Series E Series E2T Series E Series P Series P1T Series P Series P Prior to March 27, 2015, 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 Series T Series S Series S Independent Review Committee Fees The 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. Fidelity can terminate the absorption or waiver at any time. The manager of the Fund waived a portion of its administration fee. The expenses absorbed or waived during the periods are disclosed as Expenses waived in the Statements of Comprehensive Income, if applicable. Commissions and Other Portfolio Costs Commissions and other portfolio costs paid for security transactions during the period were $2 (November 30, 2015: $-), of which $- (November 30, 2015: $-) were paid to brokerage firms that are affiliates of Fidelity Investments. The Fund may execute certain portfolio trades with brokers who reimbursed a portion of their commissions to the Fund. Reimbursement estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. Commissions reimbursed under this arrangement were $2 (November 30, 2015: $-) and are included in Commissions and other portfolio costs in the Statements of Comprehensive Income. In addition, a portion of commissions may be paid for research. The total of such payments was $- (November 30, 2015: $-). Amounts paid for research provided to the Fund by executing brokers are estimates made by Fidelity. Fidelity has established procedures to assist them in making Annual Reportport 18

19 a good faith determination that the Fund received a reasonable benefit considering the value of research goods and services and the amount of brokerage commissions paid. 5. Taxation and Dividends The Corporation qualifies as a mutual fund corporation under the provisions of the Income Tax Act (Canada). The Corporation is a single legal entity for tax purposes and is not taxed on a class by class basis. The Corporation has a taxation year end of November 30 and will pay all Canadian dividends, if any, earned in the year on or about November 30. In addition, the Corporation will pay, if necessary, capital gains dividends within 60 days of year end, to ensure the Corporation is not subject to income tax on its net realized capital gains and other income earned during the year. As a result, the Corporation and each of its classes in substance is tax exempt and 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. Dividends, if any, are declared separately for each Series. Capital losses of the Corporation may be applied against the capital gains attributable to the Corporation as a whole irrespective of the class from which the gains or losses arise. Non-capital losses attributable to any particular series of a fund may be applied against income or taxable income attributable to any series of a fund. As at the last taxation year-end, the Corporation had no capital losses and no non-capital losses available to be carried forward for up to 20 tax years. 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 Holders of Redeemable Securities. 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 for each Series were as follows: 19 Annual Report

20 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) Securities Outstanding, Beginning of Period Issued Reinvested Redeemed Securities Outstanding, End of Period Period ended November 30, 2016 Series A 4,236 1, (1,470) 4,698 Series B 11,170 5, (7,381) 9,152 Series F 1,382 2, (1,723) 2,257 Series F (301) 304 Series F (6) 302 Series T (233) 599 Series T (76) 482 Series S5 1, (957) 1,021 Series S8 1, (368) 1,054 Series E1 5, (956) 4,734 Series E1T (40) 282 Series E2 1,194 3 (183) 1,014 Series E2T Series E (489) 493 Series E4 522 (510) 12 Series P1 1, (322) 1,071 Series P1T (53) 137 Series P (68) 540 Series P3 87 (1) 86 Period ended November 30, 2015 Series A 4, (1,420) 4,236 Series B 10,045 3, (2,121) 11,170 Series F (116) 1,382 Series F (77) 315 Series F (16) 102 Series T (271) 524 Series T (283) 404 Series S5 1, (196) 1,367 Series S (172) 1,128 Affiliated Ownership - As at November 30, 2016, Fidelity and its affiliates held less than 1% of the Fund. As at November 30, 2015, Fidelity and its affiliates held no outstanding securities 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 advisors, by daily monitoring of positions and market events, and by diversifying the investment portfolio within the constraints of the investment mandate. The Fund may use derivative financial instruments to moderate certain risk exposures. The Fund is more diversified and expected to be less risky than funds that invest primarily in equities or fixed income securities directly. The value can change when the price of equity or fixed-income securities change. There is greater risk when more of the Fund is invested in any one asset class. The Fund has the same risks as its Underlying Funds and ETFs. Fidelity s objective is to provide consistent value-added return over the benchmark. Unsystematic risk is mitigated primarily through investments in a diverse portfolio of securities across many sectors, styles or regions of the market. Fidelity s qualitative fundamental security selection is also well diversified across many analysts. Rather than relying on a single valuation process or quantitative model that implicitly assumes that past value-added returns of some sectors or styles will persist into the future, Fidelity s analysts select securities based on their own unique valuation processes. The Fund aims to achieve high total investment return. The Fund s benchmark is a blended benchmark consisting of 36.0% S&P/TSX Capped Composite Index, 24.0% MSCI ACWI (All Country World Index) ex Canada Index, 14.0% Barclays Global Aggregate Bond Index, 21.0% FTSE TMX Canada Universe Bond Index and 5.0% FTSE TMX Canada 91 Day T-Bill Index. Annual Reportport 20

21 The Fund uses a balanced approach. It invests primarily in Underlying Funds that generally invest in Canadian and foreign equity securities and fixed income securities, with generally more emphasis on Canadian equity securities and fixed income securities. Effective from January 15, 2016, the investment objective will allow the Fund to invest in exchange traded funds (ETFs) and derivatives. 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 in the case of financial assets are considered, where applicable, in determining the fair value of financial assets and financial liabilities, including derivative instruments. The Fund may be exposed to indirect credit risk through its investments in any Underlying Fund and ETF. 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 November 30, 2016 and November 30, Credit risk arising on Canadian debt securities held directly or indirectly, as applicable, is mitigated by investing primarily in rated instruments or instruments issued by rated counterparties with credit ratings of at least BB or better as determined by Moody s Investor Services, Inc. or S&P at the date of purchase. The following table summarizes the credit risk that is relevant for the Fund based on its investment objective, which it is exposed to, through its investments in any Underlying Fund. Quality Diversification % of Fund s Net Assets as at 11/30/16 % of Fund s Net Assets as at 11/30/15 AAA AA A BBB BB and Below Not Rated Equities Short-Term Investments and Net Other Assets We have used ratings from Moody s Investors Service, Inc. Where Moody s ratings are not available, we have used S&P ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Collateralized reverse repurchase agreements may result in credit exposure in the event that the counterparty to the transaction is unable to fulfill its contractual obligations. The risk is managed by the receipt of the underlying securities as collateral and use of counterparties whose credit worthiness is considered sufficient based on Fidelity s independent review. 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 November 30, 2016 and November 30, Concentration Risk - Fidelity analyzes credit concentration based on the counterparty, industry and/or geographical location of the financial assets that the Fund holds. The following tables summarize the investment concentration risks that are relevant for the Fund based on its investment objective, which it is exposed to, through its investment in any Underlying Fund and ETF. Asset Mix % of Fund s Net Assets as at 11/30/16 % of Fund s Net Assets as at 11/30/15 Canadian Equities Foreign Equities Foreign Bonds Canadian Bonds Annual Report

22 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) % of Fund s Net Assets as at 11/30/16 % of Fund s Net Assets as at 11/30/15 Exchange Traded Funds Foreign Preferred Securities Canadian Preferred Securities Cash and Short-Term Investments Net Other Assets (Liabilities) Geographic Mix % of Fund s Net Assets as at 11/30/16 % of Fund s Net Assets as at 11/30/15 Canada United States of America United Kingdom Japan Germany Ireland Others (Individually Less Than 1%) Cash and Short-Term Investments Net Other Assets (Liabilities) Fidelity regularly monitors the relative weights of individual securities, sectors, countries, and also monitors the market capitalization and trading liquidity of each holding. 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 redeemable securities. Redeemable securities are redeemed on demand at the securityholder s option based on the Fund s net asset value per security (NAVPS) at the time of redemption. The Fund may be exposed to indirect liquidity risk through its investment in any Underlying Fund and ETF. 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 Fund may, from time to time, invest in securities that are not traded in an active market and may be illiquid. Private and/or restricted securities held, if any, are identified in the Fund s Schedule of Investments as at their respective period ends. The liquidity position of the Fund is monitored on a daily basis. As at November 30, 2016 and November 30, 2015, the Fund did not have financial liabilities with maturities greater than 3 months. Indirect Exposure to Other Price Risk, Interest Rate Risk and Currency Risk - The Fund may be exposed to indirect other price risk, interest rate risk and currency risk through its investment in any Underlying Fund. 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), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. All securities present a risk of loss of capital. The Fund moderates this risk 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. The Fund s investments and derivatives are susceptible to other price risk arising from uncertainties about future prices of the instruments. The Fund may be exposed to indirect other price risk through its investments in the Underlying Funds and ETFs. Interest rate risk arises on interest-bearing financial instruments held 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 and cash equivalents are invested at short-term market interest rates. The Fund may be exposed to indirect interest rate risk through its investments in the Underlying Funds and ETFs. The following table summarizes the Fund s pro-rata portion of any Underlying Fund s investments at period end categorized by the earlier of contractual interest rate reset or maturity dates. Maturity Diversification Annual Reportport 22

23 % of Fund s Net Assets as at 11/30/16 % of Fund s Net Assets as at 11/30/15 Years Over Currency risk arises from financial instruments that are denominated in a currency other than Canadian dollars, which is the Fund s functional currency. The Fund is exposed to the risk that the fair value of financial instruments denominated in other currencies 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. The Fund considers the foreign exchange exposure relating to non-monetary assets and liabilities to be a component of other price risk, not foreign currency risk. The Fund may be exposed to indirect currency risk through its investments in the Underlying Funds and ETFs. The Underlying Funds may also hedge against other foreign currencies through the use of forward foreign currency contracts. For example, underlying currency hedged funds use derivatives to try to minimize the exposure to currency fluctuations between the foreign currencies (such as the U.S. dollar, the Euro or the Yen), and the Canadian dollar. The tables below summarize the impact on the Fund s net assets attributable to holders of redeemable securities, of reasonable possible changes in the returns of each of the strategies to which the Fund is exposed through any Underlying Fund and ETF in which it invests. The impact on net assets attributable to holders of redeemable securities is calculated by applying a 5% possible movement determined for each strategy as a percentage of the net assets attributable to holders of redeemable securities of the Fund. The analysis is based on the assumption that the returns on each strategy have increased or decreased as disclosed with all other variables held constant. Money market funds have minimal sensitivity to changes in interest rates since the securities tend to be short-term in nature. The impact on net assets attributable to holders of redeemable securities for the sensitivity analysis excludes money market funds. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. The indirect risk disclosures presented in the tables below represent the market risks to which the various strategies are exposed net of forward foreign currency contracts: I, C, O representing Interest rate, Currency and Other price risks, respectively. Underlying risk exposures Number of Underlying Funds and ETFs Impact on net assets based on 5% increase or decrease ($) Strategy As at November 30, 2016 Canadian Equity O 4 6,865 Global and International Equity O 7 2,501 U.S. Equity O 4 2,018 Canadian Fixed-Income I 1 2,776 Global Fixed-Income I,C 2 2,363 U.S. Fixed-Income I,C 5 1,188 Short-Term I 1 TOTAL 24 17,711 As at November 30, 2015 Canadian Equity O 4 4,689 Global and International Equity O 5 2,460 U.S. Equity O 3 1,767 Canadian Fixed-Income I 1 2,347 Global Fixed-Income I,C 2 1,788 U.S. Fixed-Income I,C 5 1,114 Short-Term I 1 TOTAL 21 14, Investment in Structured Entities The Fund s investment in any 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 23 Annual Report

24 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 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, the purpose of any Underlying Fund is to provide investment management services to its securityholders by investing its net assets for capital growth and/or investment income. The Fund has assessed its ability to control or significantly influence any Underlying Fund in accordance with IFRS 10 and IAS 28. 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. 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. In addition, the Fund may receive a distribution of income from an Underlying Fund as described above in the Investment Transactions, Income Recognition and Transaction Costs note. The Fund does not have any obligation or intention to provide financial support to an Underlying Fund. The following tables present additional information that is relevant to the Fund s investment in structured entities. Underlying Fund names presented in the tables reflect names in effect as at the dates shown: Total Net Assets ($) Fair Value of Investment ($) November 30, 2016 Fidelity American High Yield Currency Neutral Fund Series O 525, Fidelity American High Yield Fund Series O 4,249,983 5,558 Fidelity Canadian Bond Fund Series O 10,825,689 55,512 Fidelity Canadian Disciplined Equity Fund Series O 2,554,265 44,918 Fidelity Canadian Large Cap Fund Series O 5,791,356 40,749 Fidelity Canadian Money Market Fund Series O 1,890,404 7,866 Fidelity Canadian Opportunities Fund Series O 921,072 10,405 Fidelity Convertible Securities Investment Trust Series O 1,395,232 4,918 Fidelity Emerging Markets Fund Series O 898,115 22,211 Fidelity Floating Rate High Income Fund Series O 261,263 5,548 Fidelity Frontier Emerging Markets Fund Series O 42,253 1,237 Fidelity Global Bond Currency Neutral Fund Series O 185, Fidelity Global Bond Fund Series O 3,651,001 46,884 Fidelity Global Real Estate Fund Series O 537,843 4,715 Fidelity International Disciplined Equity Currency Neutral Fund Series O Fidelity International Equity Investment Trust Series O 733,910 8,843 Fidelity International Growth Investment Trust Series O 508,210 9,568 Fidelity Small Cap America Fund Series O 2,509,519 2,542 Fidelity True North Fund Series O 5,148,897 41,238 Fidelity U.S. All Cap Fund Series O 916,971 17,965 Fidelity U.S. Bond Investment Trust Series O 1,602,115 7,328 Fidelity U.S. Focused Stock Fund Series O 797,799 17,806 Annual Reportport 24

25 Total Net Assets ($) Fair Value of Investment ($) November 30, 2015 Fidelity American High Yield Currency Neutral Fund Series O 793,294 6,515 Fidelity American High Yield Fund Series O 3,552, Fidelity Canadian Bond Fund Series O 9,689,464 46,947 Fidelity Canadian Disciplined Equity Fund Series O 2,376,437 28,521 Fidelity Canadian Large Cap Fund Series O 4,415,752 30,266 Fidelity Canadian Money Market Fund Series O 1,442,099 7,129 Fidelity Canadian Opportunities Fund Series O 702,838 6,260 Fidelity Convertible Securities Investment Trust Series O 1,219,661 3,718 Fidelity Emerging Markets Fund Series O 420,242 18,591 Fidelity Floating Rate High Income Fund Series O 213,818 3,078 Fidelity Global Bond Currency Neutral Fund Series O 974,251 23,974 Fidelity Global Bond Fund Series O 2,601,056 11,792 Fidelity Global Real Estate Fund Series O 585,875 5,603 Fidelity International Disciplined Equity Currency Neutral Fund Series O Fidelity International Equity Investment Trust Series O 476,118 10,153 Fidelity International Growth Investment Trust Series O 495,249 14,857 Fidelity Small Cap America Fund Series O 2,297,847 2,081 Fidelity True North Fund Series O 4,945,172 28,713 Fidelity U.S. All Cap Fund Series O 839,105 17,141 Fidelity U.S. Bond Investment Trust Series O 1,392,581 8,944 Fidelity U.S. Focused Stock Fund Series O 765,857 16,126 The Fund also invests in ETFs which may be considered structured entities. As of November 30, 2016, the carrying value and maximum exposure to losses of such ETF holdings included in the Statements of Financial Position is $5,480 (November 30, 2015:$ -). The change in fair value of these ETF holdings is included in the Statements of Comprehensive Income in Change in net unrealized appreciation (depreciation) on investments. The ownership percentage of any ETF was less than 1%. 9. Federal Budget Legislative amendments have been introduced to implement the March 22, 2016 federal government proposals that would eliminate tax-deferred switching for investors between different corporate class funds. The budget proposal will treat switches between corporate class funds occurring on or after January 1, 2017 as a disposition at fair market value for tax purposes. Switches between different series of securities within the same class fund will not be affected by the budget proposal. 25 Annual Report

26 Management Report and Independent Auditor s Report Management Responsibility for Financial Reporting To the Securityholders of Fidelity Balanced Class Portfolio (Fund) of the Fidelity Capital Structure Corp. (Corporation) The accompanying financial statements have been prepared by management of the Corporation and approved by the Board of Directors of Fidelity Capital Structure Corp. Management is responsible for the information and representations contained in these financial statements. Fidelity maintains appropriate processes to ensure that relevant and reliable financial information is produced. The financial statements have been prepared in accordance with International Financial Reporting Standards and include certain amounts and disclosures that are based on estimates and judgments. The significant accounting policies, which management believes are appropriate for the Fund, are described in Note 3 to the financial statements. PricewaterhouseCoopers LLP is the external auditor of the Fund. They have audited the financial statements in accordance with Canadian generally accepted auditing standards to enable them to express to the securityholders their opinion on the financial statements. Their report is set out below. Philippe Potvin Chief Financial Officer February 7, 2017 Gordon Thomson Chief Executive Officer February 7, 2017 Independent Auditor s Report To the Securityholders of Fidelity Balanced Class Portfolio (Fund) of the Fidelity Capital Structure Corp. (Corporation) We have audited the accompanying financial statements of the Fund, which comprise the statements of financial position as at November 30, 2016 and 2015 and the statements of comprehensive income, changes in net assets attributable to holders of redeemable securities and cash flows for the years ended November 30, 2016 and 2015, and the related notes, which comprise a summary of significant accounting policies and other explanatory information. Management s responsibility for the financial statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with International Financial Reporting Standards, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor s responsibility Our responsibility is to express an opinion on the financial statements based on our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform the audits to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained in our audits is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as at November 30, 2016 and 2015 and its financial performance and its cash flows for the years ended November 30, 2016 and 2015 in accordance with International Financial Reporting Standards. PricewaterhouseCoopers LLP Chartered Professional Accountants, Licensed Public Accountants Toronto, Ontario February 7, 2017 Annual Reportport 26

27 27 Annual Report

28 Fidelity Capital Structure Corp nd Street S.W., Suite 820 Calgary, Alberta T2P 2Y3 Manager and Registrar Fidelity Investments Canada ULC 483 Bay Street, Suite 300 Toronto, Ontario M5G 2N7 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 FMR LLC E FICL-BAL-CS-ANN-0217