Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp.

Transcription

1 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Annual Management Report of Fund Performance November 3,

2 Caution Regarding Forward-looking Statements Certain portions of this report, including, but not limited to, Results of Operations and Recent Developments, may contain forward-looking statements about the Fund, including its strategy, risks, expected performance and condition. Forward-looking statements include statements that are predictive in nature, that depend upon or refer to future events or conditions, or that include words such as expects, anticipates, intends, plans, believes, estimates and similar forward-looking expressions or negative versions thereof. In addition, any statement that may be made concerning future performance, strategies or prospects, and possible future Fund action, is also a forward-looking statement. Forward-looking statements are based on current expectations and projections about future events and are inherently subject to, among other things, risks, uncertainties and assumptions about the Fund and economic factors. Accordingly, assumptions concerning future economic and other factors may prove to be incorrect at a future date. Forward-looking statements are not guarantees of future performance, and actual events and results could differ materially from those expressed or implied in any forward-looking statements made by the Fund. Any number of important factors could contribute to these digressions, including, but not limited to, general economic, political and market factors in North America and internationally, interest and foreign exchange rates, global equity and capital markets, business competition, technological change, changes in government regulations, unexpected judicial or regulatory proceedings, and catastrophic events. It should be stressed that the above-mentioned list of important factors is not exhaustive. You are encouraged to consider these and other factors carefully before making any investment decisions and you are urged to avoid placing undue reliance on forward-looking statements. Further, you should be aware of the fact that the Fund has no specific intention of updating any forward-looking statements whether as a result of new information, future events or otherwise, prior to the release of the next Management Report of Fund Performance.

3 Annual Management Report of Fund Performance as at November 3, Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. This annual management report of fund performance contains financial highlights but does not contain the complete annual financial statements for the investment fund. You can get a copy of the annual financial statements at your request, and at no cost, by calling , by writing to us at Fidelity Investments, 483 Bay St. Suite 3, Toronto ON MG 2N7 or by visiting our website at or SEDAR at Security holders may also contact us using one of these methods to request a copy of the investment fund s proxy voting policies and procedures, proxy voting disclosure record or quarterly portfolio disclosure relating to the investment fund. Management Discussion of Fund Performance Investment Objective and Strategies Investment Objective: Fidelity Corporate Bond Class (Fund) aims to provide a steady flow of income. It seeks a return similar to that of Fidelity Corporate Bond Fund (Underlying Fund), which is also managed by Fidelity, by investing substantially all of its assets in units of that Underlying Fund. The Underlying Fund aims to provide a steady flow of income by investing primarily in fixed-income securities issued by Canadian and foreign companies. Strategies: The Underlying Fund invests primarily in fixed income securities issued by Canadian and foreign companies. The portfolio managers of the Underlying Fund use the FTSE TMX Canada All Corporate Bond Index (Capped) as a guide to structuring the Underlying Fund and selecting investments. While the portfolio managers manage the Underlying Fund to have similar overall interest rate risk to the index, the Underlying Fund s specific investments may or may not be included in the index. The portfolio managers allocate the Underlying Fund s assets among issuers in different industries, like financials and industrials, and different maturities based on the portfolio managers view of the relative value of each issuer, industry or maturity. Risk The risks associated with investing in the Fund remain as discussed in the prospectus. The Fund has the same risks as an investment in Fidelity Corporate Bond Fund. The Fund was generally closed to new purchases and switches as of the close of business on April 2, 213. To invest in this Fund, investors must be willing to accept a low level of risk. Results of Operations Fidelity Corporate Bond Class Series B returned 3.% after fees and expenses for the one-year period ended November 3,. The net returns of the other series of this Fund are similar to those of Series B, except for differences attributable to expense structures. The broad Canadian corporate bond market, as represented by the FTSE TMX Canada All Corporate Bond Index (Capped), returned 4.6% in Canadian dollar terms for the period under review. Market overview: The Bank of Canada maintained the overnight interest rate at.% in response to the sharp drop in oil prices in 21. However, oil prices rebounded in the latter half of the review period and buoyed the performance of Canadian markets. The U.S. economy grew modestly, primarily due to strength in net exports and reduced weakness in business investments. The U.S. Federal Reserve kept its federal funds rate unchanged at.% given ongoing concerns about slowing global growth. However, after the U.S. Presidential election in November, global bond markets were negatively affected as a result of optimism surrounding the President-elect s fiscal policies, which were generally viewed as positive for equity markets. Factors affecting performance: The Fund underperformed its benchmark, the FTSE TMX Canada All Corporate Bond Index (Capped), after fees and expenses. However, before fees and expenses, it outperformed the benchmark. The Underlying Fund s investments in selected emerging markets securities detracted from relative performance. In contrast, investments in high-yield bonds, and the financial, real estate, communication and energy sectors contributed to relative performance. Portfolio changes: The Underlying Fund s portfolio managers, Catriona Martin and Sri Tella, increased exposure to the financial sector as valuations look attractive. The Underlying Fund continued to hold out-of-benchmark positions in government bonds in order to maintain liquidity. The portfolio s allocation to the real estate sector decreased during the review period. Effective August 1,, the Fund s management fee was reduced by.1%. The management fee reduction applies across all series. Derivative Disclosure: 1

4 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Management Discussion of Fund Performance continued During the period under review, the Underlying Fund invested in derivatives such as currency forwards, interest rate futures and swaps to manage various types of risk. More specifically, the portfolio managers used these derivatives primarily to hedge interest rate risk and foreign currency risk. Recent Developments The portfolio managers, Catriona Martin and Sri Tella, believe that the Canadian economy will continue to operate in a low growth, low inflation environment. They anticipate that Canadian government bond yields should remain low in the near future as volatility may increase, given the U.S. election and uncertainty over monetary policy. They continue to keep the portfolio highly liquid in order to be positioned to take advantage of buying opportunities. They believe corporate bonds continue to provide an attractive yield and exhibit stable fundamentals. As at November 3,, the Underlying Fund had its largest exposure to the financials sector, among corporate issues. The Underlying Fund also had investments in U.S. high-yield bonds that are not represented in the benchmark. Federal Budget Legislative amendments have been introduced to implement the March 22, 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, 217 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. 2

5 Related Party Transactions Manager and Portfolio Adviser The Fund is managed by Fidelity Investments Canada ULC (Fidelity). Fidelity is part of a broader group of companies collectively known as Fidelity Investments. Fidelity provides or arranges for the provision of all general management and administrative services required by the Fund in its day to day operations, including providing or arranging the provision of investment advice, establishment of brokerage arrangements relating to the purchase and sale of the investment portfolio, bookkeeping, record keeping and other administrative services for the Fund. The Fund s portfolio adviser is Fidelity and it provides investment advisory services to the Fund. Fidelity provides investment advice with respect to the Fund s investment portfolio and arranges for the acquisition and disposition of portfolio investments, including all necessary brokerage arrangements. As a result of providing investment advisory and management services, Fidelity receives a monthly management fee, based on the net asset value of each Series, calculated daily and payable monthly. The Fund paid Fidelity management fees of $31, for the period ended November 3,. Administration Fee Fidelity charges the Fund a fixed administration fee in place of certain variable expenses. Fidelity, in turn, pays all of the operating expenses of the Fund, other than certain specified fund costs (e.g. the fees and expenses of the Independent Review Committee, taxes, brokerage commissions and interest charges). The Fund pays an annual rate, which is calculated on a tiered basis, based on the net asset value of each Series, calculated daily and payable monthly. The Fund paid Fidelity administration fees of $61, for the period ended November 3,. 3

6 Financial Highlights The following tables show selected key financial information about the Fund and are intended to help you understand the Fund s financial performance for the period end of the years shown. This information is derived from the Fund s audited annual and/or unaudited semi-annual financial statements. Please see the front page for information about how you can obtain the Fund s annual or semi-annual financial statements. Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series A Periods ended November 3, The Series Net Assets per Security A Net assets, beginning of period B $ $ $ $ $ Total revenue Total expenses (excluding distributions) (.2312) (.2396) (.2382) (.229) (.2134) Realized gains (losses) (.418) Unrealized gains (losses).4212 (.332) (.421) Total increase (decrease) from operations B.3684 (.188).647 (.197).6477 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ $ $ $ $ Net asset value (s) D $ 4,874 $ 9,68 $ 17,243 $ 33,17 $ 46,3 Securities outstanding D 41, ,42 1,482,348 3,13,627 4,19,78 Management expense ratio E 1.97% 2.3% 2.6% 2.% 1.97% Management expense ratio before waivers or absorptions E 2.2% 2.6% 2.7% 2.% 1.97% Trading expense ratio F % % % % % Portfolio turnover rate G 1.99% 116.% 1,213.% 1,136.% 1,299.% Net asset value per security, end of period $ $ $ $ $ Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series B Periods ended November 3, The Series Net Assets per Security A Net assets, beginning of period B $ $ $ $ $ Total revenue Total expenses (excluding distributions) (.197) (.218) (.1993) (.196) (.182) Realized gains (losses) (.469) Unrealized gains (losses).3117 (.3927) (.63) Total increase (decrease) from operations B.2789 (.34).741 (.93).6822 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ $ $ $ $ Net asset value (s) D $ 11,962 $ 24,689 $ 28,77 $ 38,181 $ 6,432 Securities outstanding D 984,988 2,17,883 2,442,87 3,441,92,1,214 Management expense ratio H 1.6% 1.69% 1.7% 1.69% 1.67% Management expense ratio before waivers or absorptions H 1.67% 1.7% 1.7% 1.69% 1.67% Trading expense ratio F % % % % % Portfolio turnover rate G 1.99% 116.% 1,213.% 1,136.% 1,299.% Net asset value per security, end of period $ $ $ $ $

7 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series F Periods ended November 3, The Series Net Assets per Security A Net assets, beginning of period B $ $ $ $ $ Total revenue (.7).12 Total expenses (excluding distributions) (.133) (.1336) (.1331) (.1266) (.1194) Realized gains (losses) (.48) Unrealized gains (losses).41 (.42) (.1) Total increase (decrease) from operations B (.396).794 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ $ $ $ $ Net asset value (s) D $ 3,33 $ 6,81 $ 7,84 $ 9,447 $ 1,963 Securities outstanding D 262,6 3,198 86,736 83,43 968,186 Management expense ratio H 1.% 1.8% 1.1% 1.1% 1.9% Management expense ratio before waivers or absorptions H 1.7% 1.1% 1.1% 1.1% 1.9% Trading expense ratio F % % % % % Portfolio turnover rate G 1.99% 116.% 1,213.% 1,136.% 1,299.% Net asset value per security, end of period $ $ $ $ $ Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series F Periods ended November 3, The Series Net Assets per Security A Net assets, beginning of period B $ $ $ $ $ Total revenue (.1).16 Total expenses (excluding distributions) (.141) (.161) (.1644) (.1637) (.1668) Realized gains (losses) (.467) Unrealized gains (losses).6118 (.4712) (.29).2.18 Total increase (decrease) from operations B (.286) 1.62 From net investment income (excluding dividends) From dividends From capital gains Return of capital (.6966) (.76) (.76) (.76) (.76) Total distributions B,C (.6966) (.76) (.76) (.76) (.76) Net assets, end of period B $ $ $ $ $ Net asset value (s) D $ 343 $ 97 $ 1,137 $ 1,66 $ 1,742 Securities outstanding D 24,993 7,28 77,8 114, ,44 Management expense ratio H 1.4% 1.7% 1.9% 1.9% 1.1% Management expense ratio before waivers or absorptions H 1.% 1.8% 1.9% 1.9% 1.1% Trading expense ratio F % % % % % Portfolio turnover rate G 1.99% 116.% 1,213.% 1,136.% 1,299.% Net asset value per security, end of period $ $ $ $ $

8 Financial Highlights continued Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series T Periods ended November 3, The Series Net Assets per Security A Net assets, beginning of period B $ $ $ $ $ Total revenue Total expenses (excluding distributions) (.263) (.281) (.2979) (.313) (.293) Realized gains (losses) (.61) Unrealized gains (losses).31 (.422) (.144) Total increase (decrease) from operations B.2149 (.6).798 (.177).899 From net investment income (excluding dividends) From dividends From capital gains Return of capital (.6614) (.76) (.76) (.76) (.76) Total distributions B,C (.6614) (.76) (.76) (.76) (.76) Net assets, end of period B $ $ $ $ $ Net asset value (s) D $ 1,476 $ 3,93 $,712 $ 7,666 $ 11,129 Securities outstanding D 114, 31,2 4,44 48, ,8 Management expense ratio E 2.1% 2.6% 2.7% 2.% 1.99% Management expense ratio before waivers or absorptions E 2.7% 2.9% 2.8% 2.% 1.99% Trading expense ratio F % % % % % Portfolio turnover rate G 1.99% 116.% 1,213.% 1,136.% 1,299.% Net asset value per security, end of period $ $ $ 14.1 $ $ Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series S Periods ended November 3, The Series Net Assets per Security A Net assets, beginning of period B $ $ $ $ $ Total revenue Total expenses (excluding distributions) (.2196) (.2379) (.2496) (.22) (.246) Realized gains (losses) (.33) Unrealized gains (losses).3174 (.4626) Total increase (decrease) from operations B.288 (.372).8633 (.919).9722 From net investment income (excluding dividends) From dividends From capital gains Return of capital (.6746) (.76) (.76) (.76) (.76) Total distributions B,C (.6746) (.76) (.76) (.76) (.76) Net assets, end of period B $ $ $ $ $ Net asset value (s) D $ 1,17 $ 2,76 $ 3,4 $ 3,23 $,743 Securities outstanding D 88,7 21,6 213,36 228, ,313 Management expense ratio H 1.6% 1.68% 1.71% 1.7% 1.64% Management expense ratio before waivers or absorptions H 1.67% 1.69% 1.71% 1.7% 1.64% Trading expense ratio F % % % % % Portfolio turnover rate G 1.99% 116.% 1,213.% 1,136.% 1,299.% Net asset value per security, end of period $ $ $ $ $

9 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E1 Periods ended November 3, I The Series Net Assets per Security J Net assets, beginning of period B $ 1. Total revenue.272 Total expenses (excluding distributions) (.1361) Realized gains (losses) (.16) Unrealized gains (losses).2 Total increase (decrease) from operations B.8 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ Net asset value (s) D $ 4,649 Securities outstanding D 444,743 Management expense ratio K 1.6% Management expense ratio before waivers or absorptions K 1.62% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $ Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E1T Periods ended November 3, I The Series Net Assets per Security J Net assets, beginning of period B $ 2. Total revenue.4489 Total expenses (excluding distributions) (.27) Realized gains (losses) (.21) Unrealized gains (losses) Total increase (decrease) from operations B From net investment income (excluding dividends) From dividends From capital gains Return of capital (.843) Total distributions B,C (.843) Net assets, end of period B $ 2.47 Net asset value (s) D $ 72 Securities outstanding D 36,23 Management expense ratio K 1.61% Management expense ratio before waivers or absorptions K 1.63% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $

10 Financial Highlights continued Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E2 Periods ended November 3, I The Series Net Assets per Security J Net assets, beginning of period B $ 1. Total revenue.2376 Total expenses (excluding distributions) (.1329) Realized gains (losses). Unrealized gains (losses).349 Total increase (decrease) from operations B.442 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ Net asset value (s) D $ 1,836 Securities outstanding D 17,4 Management expense ratio K 1.6% Management expense ratio before waivers or absorptions K 1.9% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $ Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E2T Periods ended November 3, L The Series Net Assets per Security J Net assets, beginning of period B $ 2. Total revenue.637 Total expenses (excluding distributions) (.77) Realized gains (losses).119 Unrealized gains (losses) (.1887) Total increase (decrease) from operations B (.178) From net investment income (excluding dividends) From dividends From capital gains Return of capital (.2469) Total distributions B,C (.2469) Net assets, end of period B $ Net asset value (s) D $ 71 Securities outstanding D 36,493 Management expense ratio M 1.47% Management expense ratio before waivers or absorptions M 1.49% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $

11 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E3 Periods ended November 3, I The Series Net Assets per Security J Net assets, beginning of period B $ 1. Total revenue.2397 Total expenses (excluding distributions) (.1323) Realized gains (losses).13 Unrealized gains (losses).372 Total increase (decrease) from operations B.4812 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ 1.46 Net asset value (s) D $ 2,1 Securities outstanding D 191,399 Management expense ratio K 1.% Management expense ratio before waivers or absorptions K 1.8% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $ 1.46 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E4 Periods ended November 3, I The Series Net Assets per Security J Net assets, beginning of period B $ 1. Total revenue.169 Total expenses (excluding distributions) (.1247) Realized gains (losses).49 Unrealized gains (losses).63 Total increase (decrease) from operations B.1127 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ Net asset value (s) D $ 89 Securities outstanding D 8,2 Management expense ratio K 1.47% Management expense ratio before waivers or absorptions K 1.49% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $

12 Financial Highlights continued Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P1 Periods ended November 3, N The Series Net Assets per Security J Net assets, beginning of period B $ 1. Total revenue.171 Total expenses (excluding distributions) (.12) Realized gains (losses) (.78) Unrealized gains (losses) (.396) Total increase (decrease) from operations B.27 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ Net asset value (s) D $ 2,449 Securities outstanding D 23,119 Management expense ratio O.99% Management expense ratio before waivers or absorptions O 1.% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $ Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P1T Periods ended November 3, N The Series Net Assets per Security J Net assets, beginning of period B $ 2. Total revenue.374 Total expenses (excluding distributions) (.1891) Realized gains (losses) (.296) Unrealized gains (losses).2244 Total increase (decrease) from operations B.3811 From net investment income (excluding dividends) From dividends From capital gains Return of capital (1.13) Total distributions B,C (1.13) Net assets, end of period B $ Net asset value (s) D $ 9 Securities outstanding D 28,228 Management expense ratio O.96% Management expense ratio before waivers or absorptions O.97% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $

13 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P2 Periods ended November 3, N The Series Net Assets per Security J Net assets, beginning of period B $ 1. Total revenue.234 Total expenses (excluding distributions) (.973) Realized gains (losses) (.233) Unrealized gains (losses).3828 Total increase (decrease) from operations B.4926 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ 1.42 Net asset value (s) D $ 638 Securities outstanding D 61,244 Management expense ratio O.96% Management expense ratio before waivers or absorptions O.97% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $ 1.42 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P3 Periods ended November 3, P The Series Net Assets per Security J Net assets, beginning of period B $ 1. Total revenue.29 Total expenses (excluding distributions) (.28) Realized gains (losses).172 Unrealized gains (losses) (.) Total increase (decrease) from operations B.1234 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ Net asset value (s) D $ 43 Securities outstanding D 4,297 Management expense ratio Q.96% Management expense ratio before waivers or absorptions Q.97% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $

14 Financial Highlights continued Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P4 Periods ended November 3, P The Series Net Assets per Security J Net assets, beginning of period B $ 1. Total revenue.293 Total expenses (excluding distributions) (.476) Realized gains (losses).173 Unrealized gains (losses) (.8) Total increase (decrease) from operations B.1282 From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions B,C Net assets, end of period B $ Net asset value (s) D $ 19 Securities outstanding D 1,911 Management expense ratio Q.86% Management expense ratio before waivers or absorptions Q.88% Trading expense ratio F % Portfolio turnover rate G 1.99% Net asset value per security, end of period $

15 Financial Highlights Footnotes A This information is derived from the Fund s audited annual and/or unaudited interim financial statements. Periods beginning on or after January 1, 213 follow International Financial Reporting Standards (IFRS) and periods prior to January 1, 213 follow Canadian Generally Accepted Accounting Principles (Canadian GAAP). The net assets attributable to holders of redeemable securities per security presented in the financial statements may differ from the net asset value calculated for fund pricing purposes. An explanation of these differences can be found in the notes to financial statements. B Net assets and distributions are based on the actual number of securities outstanding at the relevant time. The increase (decrease) from operations is based on the weighted average number of securities outstanding over the financial period. This table is not intended to be a reconciliation of beginning to ending net assets per security. C Distributions were paid in cash or reinvested in additional securities of the Fund, or both. D This information is provided as at period end of the year shown. E Management expense ratio is based on total expenses (excluding distributions, commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset values during the period, including the Fund s pro-rata share of estimated expenses incurred in any underlying investment fund, if applicable. Effective November 1, 214, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. F The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the period, including the Fund s pro-rata share of estimated trading costs incurred in any underlying investment fund, if applicable. G The Fund s portfolio turnover rate indicates how actively the Fund s portfolio adviser manages its portfolio investments. A portfolio turnover rate of 1% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher the Fund s portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high portfolio turnover rate and the performance of the Fund. The portfolio turnover rate is calculated based on the lesser of purchases or sales of securities divided by the weighted average market value of the portfolio securities, excluding short-term securities. For periods greater than six months, but less than a full fiscal year, the portfolio turnover rate is annualized. H Management expense ratio is based on total expenses (excluding distributions, commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset values during the period, including the Fund s pro-rata share of estimated expenses incurred in any underlying investment fund, if applicable. Effective October 1, 21, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. I For the period February, (commencement of sale of securities) to November 3,. J This information is derived from the Fund s audited annual and/or unaudited interim financial statements. The net assets attributable to holders of redeemable securities per security presented in the financial statements may differ from the net asset value calculated for fund pricing purposes. An explanation of these differences can be found in the notes to financial statements. K Management expense ratio is based on total expenses (excluding distributions, commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset values during the period, including the Fund s pro-rata share of estimated expenses incurred in any underlying investment fund, if applicable. Effective February 9,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. L For the period September 16, (commencement of sale of securities) to November 3,. M Management expense ratio is based on total expenses (excluding distributions, commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset values during the period, including the Fund s pro-rata share of estimated expenses incurred in any underlying investment fund, if applicable. Effective September 2,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. N For the period December 4, 21 (commencement of sale of securities) to November 3,. O Management expense ratio is based on total expenses (excluding distributions, commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset values during the period, including the Fund s pro-rata share of estimated expenses incurred in any underlying investment fund, if applicable. Effective December 8, 21, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. P For the period May 13, (commencement of sale of securities) to November 3,. Q Management expense ratio is based on total expenses (excluding distributions, commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset values during the period, including the Fund s pro-rata share of estimated expenses incurred in any underlying investment fund, if applicable. Effective May 17,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. 13

16 Management and Advisory Fees Fidelity serves as manager of the Fund. The Fund pays Fidelity a monthly management fee for its services, based on the net asset value of each Series, calculated daily and payable monthly. Fidelity uses these management fees to pay for sales and trailing commissions to registered dealers on the distribution of the Fund securities, as well as for general investment management expenses. Dealer compensation represents cash commissions paid by Fidelity to registered dealers during the period and includes upfront deferred sales charge and trailing commissions. This amount may, in certain circumstances, exceed 1% of the fees earned by Fidelity during the period. For new Funds or Series the amounts presented may not be indicative of longer term operating periods. Management Fees Dealer Compensation Investment management, administration and other Series A 1.% 1.12% 84.88% Series B 1.2% 4.% 6.% Series F.7% 1.% Series F.7% 1.% Series T 1.% 14.13% 8.87% Series S 1.2% 4.% 6.% Series E1 1.2% 4.% 6.% Series E1T 1.2% 4.% 6.% Series E2 1.22% 4.82% 9.18% Series E2T 1.22% 4.82% 9.18% Series E3 1.2% 41.67% 8.33% Series E4 1.2% 41.67% 8.33% Series P1.7% 1.% Series P1T.7% 1.% Series P2.72% 1.% Series P3.7% 1.% Series P4.7% 1.% 14

17 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Past Performance The performance information shown assumes that all distributions made by the Fund in the periods shown were reinvested in additional securities of the Fund. The performance information does not take into account sales, redemption, distribution or other optional charges that would have reduced returns or performance. How the Fund has performed in the past does not necessarily indicate how it will perform in the future. Year-by-Year Returns The following bar chart shows the Fund s annual performance for each of the years shown, and illustrates how the Fund s performance was changed from year to year. In percentage terms, the bar chart shows how much an investment made on the first day of each financial year would have grown or decreased by the last day of each financial year. Series A Commencement of Operations is September 22, 21 Series B Commencement of Operations is September 22, 21 Series F Commencement of Operations is September 22, 21 1

18 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Past Performance continued Series F Commencement of Operations is September 22, 21 Series T Commencement of Operations is September 22, 21 Series S Commencement of Operations is September 22, 21 16

19 Series E Commencement of Operations is February, Series E1T Commencement of Operations is February, Series E Commencement of Operations is February, 17

20 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Past Performance continued Series E2T Commencement of Operations is September 16, Series E Commencement of Operations is February, Series E Commencement of Operations is February, 18

21 Series P Commencement of Operations is December 4, 21 Series P1T Commencement of Operations is December 4, 21 Series P Commencement of Operations is December 4, 21 19

22 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Past Performance continued Series P Commencement of Operations is May 13, Series P Commencement of Operations is May 13, Annual Compound Returns This table shows the Fund s historical annual compound total returns for the periods indicated, compared with its benchmark, the FTSE TMX Canada All Corporate Bond Index (Capped), as described below. Past 1 year Past 3 years Past years Since Inception Average Annual Total Returns Fidelity Corporate Bond Class Series A 3.2% 2.6% 2.7% 2.8% Fidelity Corporate Bond Class Series B 3.% 3.% 3.1% 3.2% Fidelity Corporate Bond Class Series F 4.1% 3.6% 3.7% 3.8% Fidelity Corporate Bond Class Series F 4.1% 3.6% 3.7% 3.8% Fidelity Corporate Bond Class Series T 3.1% 2.6% 2.7% 2.8% Fidelity Corporate Bond Class Series S 3.% 3.% 3.1% 3.2% FTSE TMX Canada All Corporate Bond Index (Capped) 4.6% 4.7% 4.% 4.8% A discussion of the performance of the Fund can be found in the Results of Operations section of this report. As of January 1, 214, DEX was rebranded FTSE TMX Canada as a result of a merger of fixed-income businesses between FTSE Group and TMX Group. The benchmark s methodology remains the same. The FTSE TMX Canada All Corporate Bond Index (Capped) comprises semi-annual pay fixed-rate corporate bonds issued domestically in Canada and denominated in Canadian dollars, with an investment-grade rating and a remaining effective term to maturity of at least one year. With a.% cap, the Index will see a maximum benchmark weighting of.% on all single issuers in the Index. Each Series will have different returns because of differences in management fees and expenses. 2

23 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Summary of Investment Portfolio as at November 3, Derivative Exposure as of November 3, % of Fund s Net Assets Futures Contracts 8.2 Swaps (.1) Futures Contracts percentage is calculated by dividing the sum of the underlying face amount at value by total net assets. Swaps percentage is calculated by dividing the sum of the notional and unrealized gain/loss by total net assets. Maturity Diversification as of November 3, % of Fund s Years Net Assets Over 73.4 Quality Diversification as of November 3, % of Fund s Net Assets AAA.3 AA 4.6 A 1.8 BBB 2. BB and Below 13.8 Not Rated 11.6 Equities. Short-Term Investments and Net Other Assets.9 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. Geographic Mix as of November 3, Top 2 Issuers % of Fund s Net Assets 1. Fidelity American High Yield Currency Neutral Fund Series O Canadian Government.3 3. Royal Bank of Canada Bell Canada 4.2. Enbridge Income Fund Holdings, Inc Rogers Communications, Inc Shaw Communications, Inc TELUS Corp RioCan (REIT) Bank of Montreal CBRE Group, Inc Petroleos Mexicanos The Toronto-Dominion Bank Canadian Imperial Bank of Commerce Loblaw Companies Ltd Enbridge, Inc First Capital Realty, Inc General Motors Co Institutional Mortgage Securities Canada, Inc Intact Financial Corp Choice Properties LP H&R (REIT) Pembina Pipeline Corp Wells Fargo Financial Canada Corp AltaGas Ltd Total Fund Net Assets $36,833, % of Fund s Net Assets Canada 76.1 United States of America 16.4 Mexico 2. United Kingdom 1.9 Australia 1.1 Others (Individually Less Than 1%) 1.6 Cash and Cash Equivalents.1 Net Other Assets (Liabilities).8 The information in the above tables includes the Fund s pro-rata share of the investment in the Fidelity Underlying Fund. The summary of investment portfolio may change due to ongoing portfolio transactions of the investment fund. The most recent annual report, semi-annual report, quarterly report, fund facts document or simplified prospectus for the investment fund and/or underlying fund is available at no cost, by calling , by writing to us at Fidelity Investments Canada ULC, 483 Bay St. Suite 3, Toronto ON MG 2N7 or by visiting our web site at or SEDAR at 21

24 Fidelity Capital Structure Corp. 47 2nd Street S.W., Suite 82 Calgary, Alberta T2P 2Y3 Manager and Registrar Fidelity Investments Canada ULC 483 Bay Street, Suite 3 Toronto, Ontario MG 2N7 Custodian State Street Trust Company of Canada 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-HUCB-CS-MRFPA-217