Fidelity Canadian Short Term Fixed Income Investment Trust

Transcription

1 Fidelity Canadian Short Term Fixed Income Investment Trust Annual Report June 30, 2017

2 Fidelity Canadian Short Term Fixed Income Investment Trust Schedule of Investments June 30, 2017 Showing Percentage of Net Assets Attributable to Securityholders (Net Assets) Bonds 98.5% Principal Amount Cost Market Value Domestic Bonds 94.6% Corporate 43.5% 407 International, Inc. 3.87% 11/24/17 $ 8,000 $ 8,081 $ 8,030 Alimentation Couche Tard, Inc % 11/1/19 8,000 8,282 8,251 AltaGas Ltd. 4.55% 1/17/19 2,000 2,085 2,081 AltaLink LP 5.243% 5/29/18 8,200 8,507 8,474 Aon Finance NS 1 ULC 4.76% 3/8/18 7,008 7,169 7,157 Bank of Montreal: 2.43% 3/4/19 12,000 12,197 12, % 9/19/24 (a) 13,920 14,148 14,185 Bank of Nova Scotia: 1.33% 5/1/18 3,600 3,603 3, % 10/28/19 30,000 30,544 30, % 3/14/19 4,090 4,163 4, % 12/8/25 (Reg. S) (a) 8,000 8,173 8,255 Bell Canada: 3.25% 6/17/20 10,000 10,394 10, % 6/12/20 4,000 4,179 4,170 BMW Canada Auto Trust Series Class A2, 1.677% 5/20/20 1,340 1,340 1,334 BMW Canada, Inc.: 1.552% 6/14/19 (a) 2,000 2,008 2, % 12/11/20 1,200 1,200 1, % 9/26/18 4,000 4,045 4,037 BP LP 3.244% 1/9/ Cameco Corp. 5.67% 9/2/19 5,500 5,853 5,810 Canadian Imperial Bank of Commerce: 1.66% 1/20/20 5,370 5,370 5, % 10/9/18 24,600 24,700 24,656 3% 10/28/24 (a) 14,450 14,654 14,706 Canadian Natural Resources Ltd.: 2.05% 6/1/20 2,840 2,839 2, % 12/3/19 7,500 7,579 7, % 6/19/19 7,500 7,658 7,623 Caterpillar Financial Services Ltd. 1.5% 6/8/20 2,350 2,347 2,320 Choice Properties LP 3% 9/20/19 4,800 4,913 4,902 CI Financial Corp % 12/7/20 12,500 12,593 12,626 CNH Capital Canada Receivables Trust: Series Class A2, 1.941% 10/15/ Series Class A2, 1.711% 5/15/23 2,000 2,000 1,989 Cominar (REIT): 3.62% 6/21/ Principal Amount Cost Market Value 4.941% 7/27/20 $ 4,850 $ 5,103 $ 4,931 CPPIB Capital, Inc. 1.4% 6/4/20 6,000 5,986 5,970 CU, Inc % 1/23/19 5,000 5,324 5,292 Daimler Canada Finance, Inc.: 1.42% 10/2/18 4,000 3,996 3, % 12/16/19 5,000 5,003 4,977 Dollarama, Inc.: 1.503% 3/16/20 (a) 6,700 6,705 6, % 11/5/18 4,700 4,789 4,778 Dream Office (REIT) 4.074% 1/21/ Emera, Inc. 4.83% 12/2/19 4,000 4,268 4,254 Enbridge Gas Distribution, Inc. 4.04% 11/23/20 2,605 2,800 2,787 Enbridge Pipelines, Inc. 4.45% 4/6/20 7,500 8,094 8,002 Enbridge, Inc.: 1.476% 5/24/19 (a) 3,500 3,500 3, % 3/9/ % 9/2/19 3,500 3,734 3,701 Financement Quebec 2.4% 12/1/18 11,800 12,024 11,988 First Capital Realty, Inc. 5.48% 7/30/19 4,000 4,287 4,262 Ford Auto Securitization Trust Series 2017 R2 Class A2, 1.423% 4/15/21 1,110 1,110 1,104 Ford Credit Canada Ltd.: 2.45% 5/7/20 3,500 3,526 3, % 6/14/19 9,400 9,649 9,571 General Motors Financial of Canada Ltd. 3.08% 5/22/20 2,000 2,031 2,035 Granite REIT Holdings LP 3.788% 7/5/21 3,000 3,094 3,065 Greater Toronto Airports Authority 5.26% 4/17/18 2,700 2,788 2,782 H&R (REIT): 2.329% 3/1/19 (a) 5,000 5,034 5, % 3/2/20 4,800 5,051 5,014 Honda Canada Finance, Inc % 4/17/20 (a) 6,000 6,010 6,019 HSBC Bank of Canada: 2.491% 5/13/19 8,000 8,127 8, % 1/14/20 3,071 3,160 3,152 Hydro One, Inc. 2.78% 10/9/18 4,000 4,078 4,066 IGM Financial, Inc. 7.35% 4/8/19 1,563 1,713 1,701 Institutional Mortgage Securities Canada, Inc.: sequential payer Series Class A1, 2.551% 7/12/45 2,796 2,817 2,805 See accompanying notes which are an integral part of the financial statements. Annual Reportport 2

3 Bonds continued Principal Amount Cost Market Value Domestic Bonds continued Corporate continued Institutional Mortgage Securities Canada, Inc.: continued Series Class A2, 2.607% 12/12/19 $ 5,170 $ 5,200 $ 5,181 Series Class A1, 2.837% 4/12/23 11,182 11,376 11,286 Intact Financial Corp. 5.41% 9/3/19 5,600 6,041 6,022 Inter Pipeline Ltd % 7/20/20 4,800 5,026 4,978 John Deere Canada Funding, Inc. 1.85% 3/24/21 1,720 1,720 1,706 Loblaw Companies Ltd. 5.22% 6/18/20 9,989 10,987 10,892 Manufacturers Life Insurance Co.: 2.811% 2/21/24 (a) 2,500 2,557 2, % 2/26/23 (a) 2,000 2,024 2,015 MBARC Credit Canada, Inc.: Series 2016 A: Class A2, 1.532% 6/17/19 3,700 3,699 3,694 Class A3, 1.716% 7/15/21 1,100 1,099 1,100 Series 2017 A Class A2, 1.457% 2/18/20 10,300 10,300 10,247 Metro, Inc % 2/27/20 (a) 10,000 10,000 10,016 NAV Canada: 1.949% 4/19/18 2,000 2,014 2, % 4/17/19 2,000 2,143 2,128 Omers Realty Corp. 3.04% 12/5/ Pembina Pipeline Corp. 4.89% 3/29/21 3,000 3,276 3,261 RioCan (REIT): 2.87% 3/5/18 2,500 2,524 2, % 6/28/19 4,600 4,782 4,769 Rogers Communications, Inc. 5.38% 11/4/19 11,200 12,139 12,092 Royal Bank of Canada: 1.428% 2/11/20 (a) 10,000 10,027 10, % 12/11/18 19,600 19,975 19, % 7/12/18 12,000 12,190 12, % 7/17/24 (a) 13,000 13,190 13,234 SCG Hotel Issuer, Inc. Series 2013 CWP Class A2, 3.442% 10/12/ Shaw Communications, Inc. 5.65% 10/1/19 12,500 13,496 13,499 Sobeys, Inc. 3.52% 8/8/18 5,000 5,044 5,051 SP LP/SP1 LP 3.21% 6/15/19 1,071 1,092 1,087 Sun Life Financial, Inc. 2.77% 5/13/24 (a) 4,000 4,063 4,055 See accompanying notes which are an integral part of the financial statements. Principal Amount Cost Market Value Suncor Energy, Inc. 5.8% 5/22/18 $ 5,762 $ 5,988 $ 5,977 TELUS Corp.: 5.05% 12/4/19 8,000 8,617 8, % 7/23/20 3,500 3,821 3,804 Teranet Holdings LP 4.807% 12/16/20 4,000 4,278 4,270 The Toronto Dominion Bank: 1.693% 4/2/20 5,740 5,781 5, % 4/2/19 (Reg. S) 25,160 25,598 25,522 Toyota Credit Canada, Inc.: 2.05% 5/20/20 2,400 2,418 2, % 5/23/19 9,000 9,123 9,091 Ventas Canada Finance Ltd. 3% 9/30/19 (Reg. S) 2,400 2,460 2,446 Veresen, Inc.: 3.06% 6/13/19 3,600 3,638 3, % 11/10/21 2,000 2,019 2,058 VW Credit Canada, Inc. 1.6% 4/4/18 4,000 4,002 4,001 Wells Fargo Financial Canada Corp % 7/25/19 10,000 10,276 10,244 Westcoast Energy, Inc.: 5.6% 1/16/19 5,300 5,607 5, % 9/4/18 3,000 3,242 3,214 WTH Car Rental ULC Series 2014, 2.542% 8/20/19 1,017 1,034 1, , ,653 Federal 34.3% Canada Housing Trust No. 1: 1.2% 6/15/20 44,000 43,947 43, % 6/15/19 67,500 68,713 68,405 2% 12/15/19 26,500 27,029 26, % 6/15/18 4,000 4,048 4, % 12/15/18 91,200 93,072 92,729 Canadian Government: 0.5% 8/1/18 26,600 26,535 26, % 5/1/19 48,000 47,929 47, % 8/1/19 101, , , % 9/1/20 25,000 24,886 24, % 3/1/20 38,000 38,544 38,303 Hydro One, Inc. 1.48% 11/18/19 8,000 7,995 7,968 NHA Mortgage Backed Securities: 1.42% 6/1/22 3,000 2,992 2, % 1/1/21 3,239 3,240 3, % 6/1/21 1,021 1,020 1, % 10/1/21 1,542 1,539 1, % 3/1/22 6,448 6,423 6, , ,108 Municipal 2.5% City of Montreal: 5% 12/1/18 4,000 4,205 4, % 12/1/19 7,000 7,632 7,637 3 Annual Report

4 Fidelity Canadian Short Term Fixed Income Investment Trust Schedule of Investments continued Bonds continued Principal Amount Cost Market Value Domestic Bonds continued Municipal continued City of Toronto 5.6% 12/18/18 $ 9,800 $ 10,417 $ 10,400 Durham District School Board 6.75% 11/19/ Municipal Finance Authority of British Columbia: 1.75% 10/15/20 4,500 4,530 4, % 6/2/19 8,600 8,716 8,684 36,103 36,019 Provincial 14.3% Alberta Province 2% 6/1/19 17,000 17,265 17,218 Manitoba Province 1.15% 11/21/19 3,000 2,991 2,982 New Brunswick Province: 2.15% 9/26/18 12,000 12,145 12, % 6/3/19 3,000 3,179 3, % 6/2/20 2,800 3,042 3,033 Nova Scotia Province 4.15% 11/25/19 5,700 6,082 6,063 Ontario Province: 2.1% 9/8/18 35,700 36,167 36, % 9/8/19 25,000 25,473 25, % 6/2/20 31,100 33,616 33, % 6/2/19 25,000 26,504 26,453 Prince Edward Island Province 4.25% 9/24/19 2,000 2,126 2,123 Province of British Columbia 4.65% 12/18/18 11,400 12,002 11,965 Province of Quebec 4.5% 12/1/18 11,400 11,955 11,917 Quebec Province 2.45% 12/1/19 13,700 14,066 14, , ,986 Principal Amount Cost Market Value National Grid Electricity Transmission PLC 2.9% 11/26/19 $ 9,000 $ 9,324 $ 9,203 Sydney Airport Finance Co. Property Ltd % 7/27/18 10,300 10,627 10,607 TOTAL FOREIGN BONDS 56,147 55,830 TOTAL BONDS 1,431,078 1,425,596 Short-Term Investments 1.0% Canada 1.0% Investments in reverse repurchase agreements in a joint trading account at 0.47%, dated 6/30/17 due 7/4/17 (Collateralized by Canadian Government Obligations) # 14,916 14,916 14,916 TOTAL INVESTMENT PORTFOLIO 99.5% $1,445,994 1,440,512 NET OTHER ASSETS (LIABILITIES) 0.5% 6,704 NET ASSETS 100% $ 1,447,216 Presentation Notes Cost amount includes broker commissions and other trading expenses, if any. Principal Amount is stated in Canadian dollars unless otherwise noted. Legend (a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. TOTAL DOMESTIC BONDS 1,374,931 1,369,766 Foreign Bonds 3.9% BP Capital Markets PLC 3.497% 11/9/20 3,400 3,572 3,529 Goldman Sachs Group, Inc. 3.55% 2/12/21 6,000 6,341 6,241 Metropolitan Life Global Funding I 2.682% 4/16/19 (Reg S.) 13,000 13,255 13,209 Molson Coors International LP 3.95% 10/6/17 4,000 4,028 4,024 Morgan Stanley 1.75% 12/29/20 (a) 9,000 9,000 9,017 See accompanying notes which are an integral part of the financial statements. Annual Reportport 4

5 Investment Valuation The following is a summary of the inputs used, as of June 30, 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 June 30, 2017: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Bonds $1,425,596 $ $1,425,596 $ Short-Term Investments 14,916 14,916 Total Investments in Securities: $1,440,512 $ $1,440,512 $ Other Information # Additional information on each counterparty to the reverse repurchase agreement is as follows: Reverse Repurchase Agreement / Counterparty Value $14,916,000 due 7/04/17 at 0.47% Bank of Montreal $ 1,526 CIBC World Markets, Inc. 1,780 Royal Bank of Canada 3,561 Scotia Capital, Inc. 6,359 The Toronto-Dominion Bank 1,690 $ 14,916 See accompanying notes which are an integral part of the financial statements. 5 Annual Report

6 Financial Statements Statements of Financial Position Amounts in thousands of Canadian Dollars (except per security amounts) As at June 30, 2017 Current assets (Note 3) Investments at fair value through profit or loss $ 1,440,512 Cash 1 Accrued interest and dividends receivable 9,361 Subscriptions receivable 8,051 1,457,925 Current liabilities (Note 3) Payable for investments purchased 5,928 Redemptions payable 1,773 Distributions payable (Note 5) 2,988 Other payables and accrued expenses (Notes 4 and 5) 20 10,709 Net assets attributable to securityholders (Notes 3 and 6) $ 1,447,216 Net assets attributable to securityholders per Series and per security (Note 6) Series O: ($1,447,216) $ 9.91 See accompanying notes which are an integral part of the financial statements. Annual Reportport 6

7 Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per security amounts) For the periods ended June 30, (Note 1) 2017 Investment income (Note 3) Interest $ 8,438 Net gain (loss) on investments Net realized gain (loss) on investments 114 Change in net unrealized appreciation (depreciation) on investments (5,482) (5,368) Total investment income (loss) 3,070 Operating expenses (Note 4) Management and advisory fees Other operating expenses Independent Review Committee fees Commissions and other portfolio costs Foreign taxes withheld (Note 5) 21 Sales tax Total operating expenses 21 Net increase (decrease) in net assets attributable to securityholders from operations $ 3,049 Increase (decrease) in net assets attributable to securityholders from operations per Series (Note 3) Series O $ 3,049 Increase (decrease) in net assets attributable to securityholders from operations per Series per security (Notes 3 and 6) Series O $.02 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 Securityholders Amounts in thousands of Canadian Dollars For the period ended June 30, 2017 (Note 1) Series O Net assets attributable to securityholders, beginning of period $ Increase (decrease) in net assets attributable to securityholders from operations 3,049 Distributions to securityholders (Note 5) From net investment income (15,180) (15,180) Security transactions (Note 6) Proceeds from sale of securities 1,726,824 Reinvestment of distributions 15,473 Amounts paid upon redemption of securities (282,950) 1,459,347 Net assets attributable to securityholders, end of period $ 1,447,216 See accompanying notes which are an integral part of the financial statements. Annual Reportport 8

9 Statements of Cash Flows Amounts in thousands of Canadian Dollars For the periods ended June 30, (Note 1) 2017 Cash flows from (used in) operating activities: Purchases of investments $ (1,992,324) Proceeds from sale and maturity of investments 545,630 Cash receipts from interest income 5,818 Cash paid for operating expenses Net cash from (used in) operating activities (1,440,876) Cash flows from (used in) financing activities: Distributions to securityholders net of reinvestments 3,281 Proceeds from sales of securities 1,718,773 Amounts paid upon redemption of securities (281,177) Net cash from (used in) financing activities 1,440,877 Net change in cash 1 Cash, beginning of period Cash, end of period $ 1 See accompanying notes which are an integral part of the financial statements. 9 Annual Report

10 Notes to Financial Statements For the period ended June 30, 2017 (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 1. Formation of the Fund Fidelity Canadian Short Term Fixed Income Investment Trust (Fund) is a unit trust formed under the laws of Ontario and governed by a Master Declaration of Trust dated January 3, 2017 (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. The investment advisor is responsible for the investment management of the Fund s portfolio. The registered office of the Fund is located at 483 Bay Street, Suite 300, Toronto, Ontario, M5G 2N7. 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 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 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 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 January 9, 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 Fidelity s board of directors on September 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 June 30, 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 Annual Reportport 10

11 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 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. 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 period. The aggregate value of investments by input level, as at June 30, 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 by major category are as follows: Debt securities, including restricted debt securities, are valued based on prices received from independent pricing services or from dealers who make markets in such securities. Pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type, prepayment speed assumptions, attributes of the collateral as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy, but may be categorized as Level 3. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Independent prices obtained from a single source or broker are evaluated by management and may be categorized as Level 3 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 June 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 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. 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 June 30, 2017, the Fund s net asset value per security may differ by less than $0.01 from its net assets attributable to securityholders per securities calculated in accordance with IFRS as a result of normal reporting period end procedures to close off the books and records. 11 Annual Report

12 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 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 and includes coupon interest and accretion of discount and amortization of premium on debt securities using the effective interest rate. This is the rate that exactly discounts the estimated future cash receipts through the expected life of the relevant debt securities, to their net carrying amounts. 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. 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. The following tables summarize the securities pledged to the Fund as collateral: June 30, 2017 Collateral Description Interest Rate (%) Maturity Date % of Collateral Collateral Value as a % of CAD Cash Invested Canada Housing Trust /15/ Canadian Treasury Bonds /1/ /1/ Canadian Treasury Bill n/a 3/8/2018 4/5/ 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 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 or Proceeds from sale and maturity of investments, 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 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 has entered into sub-advisory agreements with a number of entities including Fidelity Investments Money Management, 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 Annual Reportport 12

13 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 the Fund, calculated daily and payable monthly. No management and advisory fees are charged with respect to the Series O securities. 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. No IRC fees are charged with respect to the Series O securities. 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 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. Other Expenses - Fidelity is responsible for the payment of all expenses relating to the operation of the Fund except for its share of certain fund costs as outlined in the simplified prospectus. 5. Taxation and Distributions The Fund qualifies as a unit 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. Foreign withholding taxes are imposed by certain countries on investment income and are estimated based on the tax rules and actual rates that exist in the foreign markets. Investment income is recorded gross of foreign taxes withheld. Foreign withholding taxes are accrued for in conjunction with the accrual for the related investment income and are included in Foreign taxes withheld on the Statements of Comprehensive Income and Other payables and accrued expenses on the Statements of Financial Position. 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. Capital losses may be carried forward indefinitely to reduce future realized capital gains. Non capital losses may be carried forward for up to 20 tax years to reduce future taxable income. 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 June 30, 2017 Series O 172,820 1,551 (28,322) 146, ,615 Affiliated Ownership - As at June 30, 2017, Fidelity and its affiliates held 100% of the Fund. 13 Annual Report

14 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 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. Derivative financial instruments may be used to moderate certain risk exposures. Risk, as defined by Fidelity, is the mismatch of certain risk factors, such as the market capitalization, beta, common factors such as size, priceearnings ratio, price-to-book ratio and industry exposures, between a portfolio and its benchmark. Such mismatches may result in divergence of returns relative to the benchmark. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. A beta of 1 indicates that the security s price will move with the market. A beta of less than 1 means that the security will be less volatile than the market. A beta of greater than 1 indicates that 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. 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 a high level of current income while protecting capital. The Fund invests primarily in Canadian fixed income securities. The Fund s benchmark is the FTSE TMX Canada 1-3 Year Overall Bond Index. 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 June 30, Refer to the Quality Diversification tables in the Summary of Investment Portfolio of the Fund s Annual Management Report of Fund Performance as at June 30, 2017, which summarize the credit risk that is relevant for the Fund. 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. Other than outlined above, there were no significant concentrations of credit risk to counterparties as at June 30, 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 Sector Mix tables in the Summary of Investment Portfolio of the Fund s Annual Management Report of Fund Performance as at June 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 net asset value per security (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 June 30, 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 Annual Reportport 14

15 and future 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. If the benchmark had increased or decreased by 5% on June 30, 2017, with all other variables held constant, the net assets attributable to securityholders of the Fund would have increased or decreased by approximately $72,026. 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 return of the benchmark. 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. Refer to the Maturity Diversification tables in the Summary of Investment Portfolio of the Fund s Annual Management Report of Fund Performance as at June 30, 2017, which summarize the Fund s exposure to interest-bearing financial instruments at period end categorized by the earlier of contractual interest rate reset or maturity dates. 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 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. As at June 30, 2017, the majority of the Fund s monetary assets and liabilities are denominated in Canadian dollars. As a result, the Fund is not subject to significant amounts of risk due to fluctuations in exchange rates. 15 Annual Report

16 Management Report and Independent Auditor s Report Management Responsibility for Financial Reporting To the Securityholders and Trustee of Fidelity Canadian Short Term Fixed Income Investment Trust (Fund) The accompanying financial statements have been prepared by Fidelity Investments Canada ULC (Fidelity), as manager of the Fund. Fidelity is responsible for the information and representations contained in these financial statements. The Board of Directors of Fidelity is responsible for reviewing and approving the 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. Brock Dunlop Vice President and Fund Treasurer Fidelity Investments Canada ULC September 7, 2017 Independent Auditor s Report To the Securityholders and Trustee of Fidelity Canadian Short Term Fixed Income Investment Trust (Fund) We have audited the accompanying financial statements of the Fund, which comprise the statement of financial position as at June 30, 2017 and the statements of comprehensive income, changes in net assets attributable to securityholders and cash flows for the period from January 3, 2017 (inception date) to June 30, 2017, 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 audit. We conducted our audit in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform the audit 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 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 June 30, 2017 and its financial performance and its cash flows for the period from January 3, 2017 to June 30, 2017 in accordance with International Financial Reporting Standards. PricewaterhouseCoopers LLP Chartered Professional Accountants, Licensed Public Accountants Toronto, Ontario September 7, 2017 Annual Reportport 16

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20 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-SSFI-ANN-0917