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 www. fidelity.ca or SEDAR at Securityholders 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 the 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 overall interest rate risk similar to that of 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. To invest in this Fund, investors must be willing to accept a low level of risk. The Fund was generally closed to new purchases and switches as of the close of business on April 2, 213. Results of Operations Fidelity Corporate Bond Class, Series B, returned 3.9%, 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 3.6%, in Canadian dollar terms, for the period under review. Market overview: Canadian investment-grade bonds, as represented by the FTSE TMX Canada Universe Bond Index, returned 2.4% for the one-year period ended November 3,. In the initial part of the review period, the Bank of Canada kept its monetary policy unchanged, even as the U.S. Federal Reserve (Fed) increased interest rates twice, once in March from.7% to 1.%, and again in June from 1.% to 1.2%. Subsequently, the Bank of Canada increased its target overnight rate by a quarter of a percentage point two times, to end the period at 1.%, citing stronger-than-expected economic data, while also highlighting such risks as continued excess capacity, subdued wage and price pressures, geopolitics and the higher Canadian dollar, along with a concern about the impact of rising interest rates on indebted households. Factors affecting performance: The Fund outperformed its benchmark, the FTSE TMX Canada All Corporate Bond Index (Capped), after fees and expenses during the period. The Underlying Fund s investments in high-yield bonds, government bonds and the financials, communication and industrials sectors contributed to relative performance. In contrast, investments in non-agency federal bonds and the infrastructure sector detracted from relative performance. Portfolio changes: The Underlying Fund s portfolio managers, Catriona Martin and Sri Tella, increased exposure to the financials and infrastructure sectors as valuations became relatively more attractive. The Underlying Fund continued to hold out-of-benchmark positions in government bonds as a measure to mitigate volatility. The Underlying Fund s exposure to Canadian government issues was decreased during the period, particularly in the federal sector, where the risk/reward profile has become less attractive. The Underlying Fund s allocation to the industrials sector was also decreased during the review period. 1

4 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Management Discussion of Fund Performance continued Effective August 1, 216, the Fund s management fee was reduced by another.1%. The management fee reduction applies across all series. Additionally, effective July 1,, the Fund s management fee was reduced by.%. The management fee reduction applies across all series. Derivative Disclosure: 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, lowinflation environment. They anticipate that Canadian government bond yields should remain relatively low in the near future, acknowledging that expecting volatility may increase over the coming months. They continue to keep the portfolio highly liquid in order to be positioned to take advantage of buying opportunities. They believe that despite the recent strong performance, corporate bonds continue to be supported by 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. 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, bookkeeping, record keeping and other administrative services for the Fund. Fidelity is the portfolio adviser to the Fund 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. The Fund pays Fidelity a monthly management and advisory fee for their services, based on the net asset value of each Series, calculated daily and payable monthly. The Fund paid Fidelity management and advisory fees of $377, 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 $4, for the period ended November 3,. 2

5 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, Net assets, beginning of period B $ $ 11.2 $ $.99 $ 11.7 Total revenue Total expenses (excluding distributions) (.22) (.23) (.24) (.24) (.23) Realized gains (losses).18 (.4)..93. Unrealized gains (losses).8.42 (.33) (.4).2 Total increase (decrease) from operations B (.2).6 (.11) From net investment income (excluding dividends) From dividends From capital gains (.3) Return of capital Total distributions B,C (.3) Net assets, end of period B $ $ $ 11.2 $ $.98 Net asset value (s) D $ 2,96 $ 4,874 $ 9,68 $ 17,243 $ 33,7 Securities outstanding D 21,8 4, ,42 1,482,348 3,13,627 Management expense ratio E,F 1.87% 1.97% 2.3% 2.6% 2.% Management expense ratio before waivers or absorptions E,F 1.92% 2.2% 2.6% 2.7% 2.% Trading expense ratio G % % % % % Portfolio turnover rate H 4.6% 1.99% 116.% 1,213.% 1,136.% Net asset value per security, end of period $ $ $ $ $.987 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series B Periods ended November 3, Net assets, beginning of period B $ $ $ $ 11.9 $ Total revenue Total expenses (excluding distributions) (.18) (.2) (.2) (.2) (.19) Realized gains (losses).17 (.) Unrealized gains (losses).7.31 (.39) (.1).1 Total increase (decrease) from operations B (.3).7 (.9) From net investment income (excluding dividends) From dividends From capital gains (.8) Return of capital Total distributions B,C (.8) Net assets, end of period B $ $ $ $ $ 11.9 Net asset value (s) D $ 9,3 $ 11,962 $ 24,689 $ 28,77 $ 38,181 Securities outstanding D 794, ,988 2,7,883 2,442,87 3,441,92 Management expense ratio E,I 1.% 1.6% 1.69% 1.7% 1.69% Management expense ratio before waivers or absorptions E,I 1.8% 1.67% 1.7% 1.7% 1.69% Trading expense ratio G % % % % % Portfolio turnover rate H 4.6% 1.99% 116.% 1,213.% 1,136.% Net asset value per security, end of period $ $ $ $ $

6 Financial Highlights continued Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series F Periods ended November 3, Net assets, beginning of period B $ 12.8 $ 12.8 $ 12.7 $ $ Total revenue Total expenses (excluding distributions) (.12) (.13) (.13) (.13) (.13) Realized gains (losses).17 (.4) Unrealized gains (losses).4.4 (.4) (.1).2 Total increase (decrease) from operations B (.4) From net investment income (excluding dividends) From dividends From capital gains (.68) Return of capital Total distributions B,C (.68) Net assets, end of period B $ 12.4 $ 12.8 $ 12.8 $ 12.7 $ 11.3 Net asset value (s) D $ 2,342 $ 3,33 $ 6,81 $ 7,84 $ 9,447 Securities outstanding D 188, ,6 3,198 86,736 83,43 Management expense ratio E,I.9% 1.% 1.8% 1.% 1.% Management expense ratio before waivers or absorptions E,I.97% 1.7% 1.% 1.% 1.% Trading expense ratio G % % % % % Portfolio turnover rate H 4.6% 1.99% 116.% 1,213.% 1,136.% Net asset value per security, end of period $ $ $ $ $ Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series F Periods ended November 3, Net assets, beginning of period B $ $ $ 14.6 $ $ 1.17 Total revenue Total expenses (excluding distributions) (.12) (.1) (.16) (.16) (.16) Realized gains (losses).17 (.) Unrealized gains (losses)..61 (.47).2 Total increase (decrease) from operations B (.3) From net investment income (excluding dividends) From dividends From capital gains (.74) Return of capital (.69) (.7) (.76) (.76) (.76) Total distributions B,C (1.43) (.7) (.76) (.76) (.76) Net assets, end of period B $ $ $ $ 14.6 $ Net asset value (s) D $ 23 $ 343 $ 97 $ 1,137 $ 1,66 Securities outstanding D 19,62 24,993 7,28 77,8 114,678 Management expense ratio E,I.94% 1.4% 1.7% 1.9% 1.9% Management expense ratio before waivers or absorptions E,I.96% 1.% 1.8% 1.9% 1.9% Trading expense ratio G % % % % % Portfolio turnover rate H 4.6% 1.99% 116.% 1,213.% 1,136.% Net asset value per security, end of period $ $ $ $ $

7 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series T Periods ended November 3, Net assets, beginning of period B $ $ 13.1 $ 14.1 $ $ 14.8 Total revenue Total expenses (excluding distributions) (.23) (.26) (.29) (.3) (.3) Realized gains (losses).18 (.6) Unrealized gains (losses).7.3 (.43) (.1).3 Total increase (decrease) from operations B (.6).8 (.17) From net investment income (excluding dividends) From dividends From capital gains (.7) Return of capital (.6) (.66) (.76) (.76) (.76) Total distributions B,C (1.22) (.66) (.76) (.76) (.76) Net assets, end of period B $ 12. $ $ 13.1 $ 14.1 $ Net asset value (s) D $ 1, $ 1,476 $ 3,93 $,712 $ 7,666 Securities outstanding D 91,29 114, 31,2 4,44 48,172 Management expense ratio E,F 1.89% 2.1% 2.6% 2.7% 2.% Management expense ratio before waivers or absorptions E,F 1.9% 2.7% 2.9% 2.8% 2.% Trading expense ratio G % % % % % Portfolio turnover rate H 4.6% 1.99% 116.% 1,213.% 1,136.% Net asset value per security, end of period $ $ $ $ 14. $ Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series S Periods ended November 3, Net assets, beginning of period B $ $ $ 14.2 $ $ Total revenue Total expenses (excluding distributions) (.2) (.22) (.24) (.2) (.2) Realized gains (losses).17 (.) Unrealized gains (losses) (.46).1.3 Total increase (decrease) from operations B.2.29 (.4).86 (.9) From net investment income (excluding dividends) From dividends From capital gains (.63) Return of capital (.67) (.67) (.76) (.76) (.76) Total distributions B,C (1.3) (.67) (.76) (.76) (.76) Net assets, end of period B $ $ $ $ 14.2 $ 14.1 Net asset value (s) D $ 972 $ 1,17 $ 2,76 $ 3,4 $ 3,23 Securities outstanding D 78,32 88,7 21,6 213,36 228,418 Management expense ratio E,I 1.% 1.6% 1.68% 1.71% 1.7% Management expense ratio before waivers or absorptions E,I 1.8% 1.67% 1.69% 1.71% 1.7% Trading expense ratio G % % % % % Portfolio turnover rate H 4.6% 1.99% 116.% 1,213.% 1,136.% Net asset value per security, end of period $ $ $ $ $

8 Financial Highlights continued Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E1 Periods ended November 3, 216 J Net assets, beginning of period B $.4 $. Total revenue Total expenses (excluding distributions) (.1) (.14) Realized gains (losses).13 (.1) Unrealized gains (losses).4.3 Total increase (decrease) from operations B.38.9 From net investment income (excluding dividends) From dividends From capital gains (.1) Return of capital Total distributions B,C (.1) Net assets, end of period B $.34 $.4 Net asset value (s) D $ 3,72 $ 4,649 Securities outstanding D 36, ,743 Management expense ratio E,K 1.1% 1.6% Management expense ratio before waivers or absorptions E,K 1.3% 1.62% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $.343 $.441 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E1T Periods ended November 3, 216 J Net assets, beginning of period B $ 2. $ 2. Total revenue.68.4 Total expenses (excluding distributions) (.3) (.27) Realized gains (losses).26 (.2) Unrealized gains (losses) Total increase (decrease) from operations B From net investment income (excluding dividends) From dividends From capital gains (.97) Return of capital (1.1) (.84) Total distributions B,C (1.98) (.84) Net assets, end of period B $ $ 2. Net asset value (s) D $ 764 $ 72 Securities outstanding D 4,711 36,23 Management expense ratio E,K 1.6% 1.61% Management expense ratio before waivers or absorptions E,K 1.9% 1.63% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $ $

9 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E2 Periods ended November 3, 216 J Net assets, beginning of period B $.46 $. Total revenue Total expenses (excluding distributions) (.1) (.13) Realized gains (losses).16 Unrealized gains (losses).4.3 Total increase (decrease) from operations B.39.4 From net investment income (excluding dividends) From dividends From capital gains (.1) Return of capital Total distributions B,C (.1) Net assets, end of period B $.34 $.46 Net asset value (s) D $ 661 $ 1,836 Securities outstanding D 63,9 17,4 Management expense ratio E,K 1.49% 1.6% Management expense ratio before waivers or absorptions E,K 1.2% 1.9% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $.3441 $.463 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E2T Periods ended November 3, 216 L Net assets, beginning of period B $ 19.8 $ 2. Total revenue.9.6 Total expenses (excluding distributions) (.27) (.6) Realized gains (losses).37.1 Unrealized gains (losses).4 (.19) Total increase (decrease) from operations B.73 (.17) From net investment income (excluding dividends) From dividends From capital gains (.97) Return of capital (.99) (.2) Total distributions B,C (1.96) (.2) Net assets, end of period B $ $ 19.8 Net asset value (s) D $ 1 $ 71 Securities outstanding D,961 36,493 Management expense ratio E,M 1.41% 1.47% Management expense ratio before waivers or absorptions E,M 1.43% 1.49% Trading expense ratio G % % Portfolio turnover rate H 4.6% 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 E3 Periods ended November 3, 216 J Net assets, beginning of period B $.46 $. Total revenue.3.24 Total expenses (excluding distributions) (.1) (.13) Realized gains (losses).1 Unrealized gains (losses).6.37 Total increase (decrease) from operations B From net investment income (excluding dividends) From dividends From capital gains (.1) Return of capital Total distributions B,C (.1) Net assets, end of period B $.3 $.46 Net asset value (s) D $ 1,336 $ 2,1 Securities outstanding D 129, ,399 Management expense ratio E,K 1.47% 1.% Management expense ratio before waivers or absorptions E,K 1.% 1.8% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $.349 $.46 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E3T Periods ended November 3, N Net assets, beginning of period B $ 2. Total revenue.36 Total expenses (excluding distributions) (.17) Realized gains (losses).8 Unrealized gains (losses) (2.77) Total increase (decrease) from operations B (2.) From net investment income (excluding dividends) From dividends From capital gains Return of capital (.92) Total distributions B,C (.92) Net assets, end of period B $ 19.8 Net asset value (s) D $ 1 Securities outstanding D 2 Management expense ratio E,O 1.31% Management expense ratio before waivers or absorptions E,O 1.31% Trading expense ratio G % Portfolio turnover rate H 4.6% Net asset value per security, end of period $

11 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E4 Periods ended November 3, 216 J Net assets, beginning of period B $.46 $. Total revenue Total expenses (excluding distributions) (.14) (.12) Realized gains (losses).6 Unrealized gains (losses).6 Total increase (decrease) from operations B From net investment income (excluding dividends) From dividends From capital gains (.2) Return of capital Total distributions B,C (.2) Net assets, end of period B $.34 $.46 Net asset value (s) D $ 829 $ 89 Securities outstanding D 8,181 8,2 Management expense ratio E,K 1.42% 1.47% Management expense ratio before waivers or absorptions E,K 1.4% 1.49% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $.3419 $.4623 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series E4T Periods ended November 3, N Net assets, beginning of period B $ 2. Total revenue 1.36 Total expenses (excluding distributions) (.2) Realized gains (losses).3 Unrealized gains (losses) 2.4 Total increase (decrease) from operations B 3.73 From net investment income (excluding dividends) From dividends From capital gains Return of capital (.92) Total distributions B,C (.92) Net assets, end of period B $ 19.8 Net asset value (s) D $ 1 Securities outstanding D 2 Management expense ratio E,O 1.46% Management expense ratio before waivers or absorptions E,O 1.48% Trading expense ratio G % Portfolio turnover rate H 4.6% 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, 216 P Net assets, beginning of period B $.41 $. Total revenue Total expenses (excluding distributions) (.9) (.) Realized gains (losses).14 (.1) Unrealized gains (losses).8 (.4) Total increase (decrease) from operations B.49.3 From net investment income (excluding dividends) From dividends From capital gains (.7) Return of capital Total distributions B,C (.7) Net assets, end of period B $.3 $.41 Net asset value (s) D $ 2,4 $ 2,449 Securities outstanding D 24,178 23,119 Management expense ratio E,Q.89%.99% Management expense ratio before waivers or absorptions E,Q.91% 1.% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $.32 $.414 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P1T Periods ended November 3, 216 P Net assets, beginning of period B $ $ 2. Total revenue Total expenses (excluding distributions) (.17) (.19) Realized gains (losses).2 (.3) Unrealized gains (losses) Total increase (decrease) from operations B From net investment income (excluding dividends) From dividends From capital gains (1.9) Return of capital (.99) (1.) Total distributions B,C (2.8) (1.) Net assets, end of period B $ 18.6 $ Net asset value (s) D $ $ 9 Securities outstanding D 29,98 28,228 Management expense ratio E,Q.89%.96% Management expense ratio before waivers or absorptions E,Q.9%.97% Trading expense ratio G % % Portfolio turnover rate H 4.6% 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, 216 P Net assets, beginning of period B $.42 $. Total revenue.3.23 Total expenses (excluding distributions) (.9) (.) Realized gains (losses).1 (.2) Unrealized gains (losses) Total increase (decrease) from operations B.3.49 From net investment income (excluding dividends) From dividends From capital gains (.7) Return of capital Total distributions B,C (.7) Net assets, end of period B $.31 $.42 Net asset value (s) D $ 12 $ 638 Securities outstanding D 49,7 61,244 Management expense ratio E,Q.87%.96% Management expense ratio before waivers or absorptions E,Q.88%.97% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $.379 $.42 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P2T Periods ended November 3, N Net assets, beginning of period B $ 2. Total revenue.6 Total expenses (excluding distributions) (.16) Realized gains (losses).6 Unrealized gains (losses).1 Total increase (decrease) from operations B.7 From net investment income (excluding dividends) From dividends From capital gains Return of capital (.92) Total distributions B,C (.92) Net assets, end of period B $ 19.9 Net asset value (s) D $ 1 Securities outstanding D 2 Management expense ratio E,O.94% Management expense ratio before waivers or absorptions E,O.96% Trading expense ratio G % Portfolio turnover rate H 4.6% Net asset value per security, end of period $

14 Financial Highlights continued Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P3 Periods ended November 3, 216 R Net assets, beginning of period B $.12 $. Total revenue Total expenses (excluding distributions) (.9) (.) Realized gains (losses).7.2 Unrealized gains (losses).6 (.) Total increase (decrease) from operations B From net investment income (excluding dividends) From dividends From capital gains (.6) Return of capital Total distributions B,C (.6) Net assets, end of period B $.1 $.12 Net asset value (s) D $ 118 $ 43 Securities outstanding D 11,828 4,297 Management expense ratio E,S.89%.96% Management expense ratio before waivers or absorptions E,S.9%.97% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $.11 $.1234 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P3T Periods ended November 3, T Net assets, beginning of period B $ 2. Total revenue.32 Total expenses (excluding distributions) (.6) Realized gains (losses).3 Unrealized gains (losses).2 Total increase (decrease) from operations B.31 From net investment income (excluding dividends) From dividends From capital gains Return of capital (.42) Total distributions B,C (.42) Net assets, end of period B $ 19.9 Net asset value (s) D $ 14 Securities outstanding D 7,733 Management expense ratio E,U.86% Management expense ratio before waivers or absorptions E,U.87% Trading expense ratio G % Portfolio turnover rate H 4.6% Net asset value per security, end of period $

15 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Series P4 Periods ended November 3, 216 R Net assets, beginning of period B $.13 $. Total revenue.3.21 Total expenses (excluding distributions) (.8) (.) Realized gains (losses).13.2 Unrealized gains (losses).6 (.) Total increase (decrease) from operations B From net investment income (excluding dividends) From dividends From capital gains (.7) Return of capital Total distributions B,C (.7) Net assets, end of period B $.2 $.13 Net asset value (s) D $ 2 $ 19 Securities outstanding D 2,24 1,911 Management expense ratio E,S.79%.86% Management expense ratio before waivers or absorptions E,S.81%.88% Trading expense ratio G % % Portfolio turnover rate H 4.6% 1.99% Net asset value per security, end of period $.161 $

16 Financial Highlights continued Financial Highlights Footnotes A B C D E F G H I 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 securityholders 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. For reporting periods ending after January 1, per security comparative figures (except for net asset value per security, end of period) have been conformed to the current rounding presentation of two decimal places. As a result, reporting periods ending prior to January 1, may not foot due to this rounding change. 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. Distributions were paid in cash or reinvested in additional securities of the Fund, or both, and excludes any applicable distributions of management fee reduction to securityholders. This information is provided as at period end of the year shown. 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. 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. The Fund s portfolio turnover rate indicates how actively the Fund s portfolio adviser manages its portfolio investments. A portfolio turnover rate of % 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. 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. J For the period February, 216 (commencement of sale of securities) to November 3, 216. K Effective February 9, 216, 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, 216 (commencement of sale of securities) to November 3, 216. M Effective September 2, 216, 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 January 26, (commencement of sale of securities) to November 3,. O Effective January 3,, 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 December 4, 21 (commencement of sale of securities) to November 3, 216. Q 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. R For the period May 13, 216 (commencement of sale of securities) to November 3, 216. S Effective May 17, 216, 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. T For the period July 14, (commencement of sale of securities) to November 3,. U Effective July 18,, 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. 14

17 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 % 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 1.4% 13.18% 86.82% Series B 1.2% 41.67% 8.33% Series F.7%.% Series F.7%.% Series T 1.4% 1.91% 84.9% Series S 1.2% 41.67% 8.33% Series E1 1.2% 41.67% 8.33% Series E1T 1.2% 41.67% 8.33% Series E2 1.17% 42.% 7.4% Series E2T 1.17% 42.% 7.4% Series E3 1.% 43.48% 6.2% Series E3T 1.% 43.48% 6.2% Series E4 1.% 43.48% 6.2% Series E4T 1.% 43.48% 6.2% Series P1.7%.% Series P1T.7%.% Series P2.67%.% Series P2T.67%.% Series P3.6%.% Series P3T.6%.% Series P4.6%.% 1

18 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. The performance data shown for the period occurring prior to the commencement of operations of a series P or E is that of the corresponding series F or F (for series P) or B or S (for series E). Series F, F, B and S have higher combined management and administration fees than the applicable series P and E. Had a series P or E existed since the commencement of operations of series F, F, B or S, the returns of the applicable series P or E would have been higher. 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 Series F Commencement of Operations is September 22, 2 Series B Commencement of Operations is September 22, 2 Series T Commencement of Operations is September 22, 2 Series F Commencement of Operations is September 22, 2 Series S Commencement of Operations is September 22, 2 Commencement of Operations is September 22, 2 16

19 Series E1 Series E Commencement of Operations is February, 216 Series E1T Commencement of Operations is February, 216 Series E3T Commencement of Operations is February, 216 Series E2 Commencement of Operations is January 26, Series E Commencement of Operations is February, 216 Series E2T Commencement of Operations is February, 216 Series E4T Commencement of Operations is September 16, 216 Commencement of Operations is January 26, 17

20 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Past Performance continued Series P1 Series P Commencement of Operations is December 4, 21 Series P1T Commencement of Operations is May 13, 216 Series P3T Commencement of Operations is December 4, 21 Series P2 Commencement of Operations is July 14, Series P Commencement of Operations is December 4, 21 Commencement of Operations is May 13, 216 Series P2T Commencement of Operations is January 26, 18

21 Annual Compound Returns This table shows the Fund s historical annual compound total returns for the periods indicated, compared with the Fund s 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 3.6% 1.9% 2.1% 2.9% Fidelity Corporate Bond Class Series B 3.9% 2.3% 2.4% 3.3% Fidelity Corporate Bond Class Series F 4.6% 2.9% 3.% 3.9% Fidelity Corporate Bond Class Series F 4.6% 2.9% 3.1% 3.9% Fidelity Corporate Bond Class Series T 3.6% 1.9% 2.1% 2.9% Fidelity Corporate Bond Class Series S 3.9% 2.3% 2.4% 3.3% Fidelity Corporate Bond Class Series E1 4.% 2.3% 2.4% 3.3% Fidelity Corporate Bond Class Series E1T 3.9% 2.3% 2.4% 3.3% Fidelity Corporate Bond Class Series E2 4.% 2.3% 2.% 3.3% Fidelity Corporate Bond Class Series E2T 4.1% 2.4% 2.% 3.3% Fidelity Corporate Bond Class Series E3 4.% 2.3% 2.% 3.3% Fidelity Corporate Bond Class Series E3T 4.3% 2.4% 2.% 3.3% Fidelity Corporate Bond Class Series E4 4.% 2.4% 2.% 3.3% Fidelity Corporate Bond Class Series E4T 4.3% 2.4% 2.% 3.3% Fidelity Corporate Bond Class Series P1 4.6% 2.9% 3.1% 3.9% Fidelity Corporate Bond Class Series P1T 4.6% 3.% 3.1% 3.9% Fidelity Corporate Bond Class Series P2 4.7% 3.% 3.1% 3.9% Fidelity Corporate Bond Class Series P2T 4.6% 2.9% 3.1% 3.9% Fidelity Corporate Bond Class Series P3 4.6% 2.9% 3.1% 3.9% Fidelity Corporate Bond Class Series P3T 4.6% 2.9% 3.1% 3.9% Fidelity Corporate Bond Class Series P4 4.7% 3.% 3.1% 3.9% FTSE TMX Canada All Corporate Bond Index (Capped) 3.6% 3.% 3.8% 4.6% The period used for the since inception FTSE TMX Canada All Corporate Bond Index (Capped) returns are based on Series A which has been in existence the longest compared to all Series with less than years of operations. A discussion of the performance of the Fund can be found in the Results of Operations section of this report. 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. 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. Each Series will have different returns because of differences in management fees and expenses. 19

22 Fidelity Corporate Bond Class of the Fidelity Capital Structure Corp. Summary of Investment Portfolio as at November 3, Derivative Exposure % of Fund s Net Assets as at 11/3/17 % of Fund s Net Assets as at 11/3/16 Futures Contracts Swaps. (.1) Futures Contracts percentage is calculated by dividing the sum of the notional amount by total net assets. Swaps percentage is calculated by dividing the sum of the notional and unrealized gain/loss by total net assets. Geographic Mix % of Fund s Net Assets as at 11/3/17 % of Fund s Net Assets as at 11/3/16 Canada United States of America Mexico United Kingdom Others (Individually Less Than 1%) Cash and Cash Equivalents.3.1 Net Other Assets (Liabilities).9.8 Maturity Diversification Years % of Fund s Net Assets as at 11/3/17 % of Fund s Net Assets as at 11/3/ Over Quality Diversification % of Fund s Net Assets as at 11/3/17 % of Fund s Net Assets as at 11/3/16 AAA.7.3 AA A BBB BB and Below Not Rated Equities.2. Short-Term Investments and Net Other Assets not available, we have used S&P ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Top Issuers % of Fund s Net Assets 1. American High Yield Fund Series O American High Yield Currency Neutral Fund Series O Royal Bank of Canada Bell Canada 3.3. Bank of Montreal Shaw Communications, Inc Canadian Imperial Bank of Commerce CBRE Group, Inc TELUS Corp The Toronto-Dominion Bank Petroleos Mexicanos Bank of Nova Scotia Rogers Communications, Inc Wells Fargo & Co Institutional Mortgage Securities Canada, Inc Enbridge Income Fund Holdings, Inc TransCanada PipeLines Ltd Choice Properties LP H&R (REIT) Pembina Pipeline Corp Canadian Natural Resources Ltd Sun Life Financial, Inc North West Redwater Partnership/NWR Finanancing Co. Ltd Morgan Stanley Granite REIT Holdings LP 1.2 Total Fund Net Assets $28,7, 61.2 We have used ratings from Moody s Investors Service, Inc. Where Moody s ratings are Where applicable, the information in the above tables includes the Fund s pro-rata share of the investment in any Fidelity Managed Underlying Fund. 2

23 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, Fidelity U.S. Money Market Fund or Fidelity U.S. Money Market Investment Trust 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-HUCB-CS-MRFPA-218