Fidelity Balanced Income Currency Neutral Private Pool of the Fidelity Capital Structure Corp.

Transcription

1 Fidelity Balanced Income Currency Neutral Private Pool of the Fidelity Capital Structure Corp. Semi-Annual Report May 31, 2017

2 Fidelity Balanced Income Currency Neutral Private Pool of the Fidelity Capital Structure Corp. Schedule of Investments May 31, 2017 (Unaudited) Showing Percentage of Net Assets Attributable to Securityholders (Net Assets) Equity Funds 43.8% Shares / Units Cost (000s) Market Value (000s) Canadian Equity Funds 21.5% Fidelity Canadian Focused Equity Investment Trust Series O 396,417 $ 4,122 $ 4,684 Fidelity Canadian Growth Company Fund Series O 130,665 7,997 8,691 Fidelity Canadian Opportunities Fund Series O 432,245 8,938 9,992 Fidelity Concentrated Canadian Equity Investment Trust Series O 1,671,100 32,198 38,288 Fidelity Concentrated Value Investment Trust Series O 2,092,635 29,028 31,220 TOTAL CANADIAN EQUITY FUNDS 82,283 92,875 Global and International Equity Funds 15.0% Fidelity Emerging Markets Equity Investment Trust Series O 1,515,595 19,115 24,158 Fidelity Global Intrinsic Value Investment Trust Series O 390,454 4,853 5,058 Fidelity Global Real Estate Fund Series O 125,638 1,584 1,807 Fidelity International Equity Investment Trust Series O 1,011,965 16,066 18,440 ishares MSCI EAFE Index ETF 125,253 10,430 11,177 Market Vectors Gold Miners ETF 135,642 3,980 4,158 TOTAL GLOBAL AND INTERNATIONAL EQUITY FUNDS 56,028 64,798 U.S. Equity Funds 7.3% Energy Select Sector SPDR ETF 68,040 6,763 6,015 Fidelity U.S. Multi Cap Investment Trust Series O 1,413,436 18,732 21,951 Fidelity U.S. Small/Mid Cap Equity Investment Trust Series O 165,188 2,785 3,486 Shares / Units Cost (000s) Market Value (000s) Global Fixed-Income Funds 15.4% Fidelity Global Bond Currency Neutral Fund Series O 5,848,131 $ 64,845 $ 66,641 U.S. Fixed-Income Funds 6.2% Fidelity American High Yield Currency Neutral Fund Series O 671,258 5,941 6,167 Fidelity Convertible Securities Investment Trust Series O 433,099 5,426 5,775 Fidelity Floating Rate High Income Investment Trust Series O 523,132 6,304 6,638 Fidelity High Income Commercial Real Estate Investment Trust Series O 595,763 7,566 8,251 TOTAL U.S. FIXED-INCOME FUNDS 25,237 26,831 TOTAL FIXED-INCOME FUNDS 161, ,792 Short-Term Funds 17.1% Fidelity Canadian Money Market Fund Series O 1,962,318 19,623 19,623 Fidelity Canadian Short Term Fixed Income Investment Trust Series O 5,411,411 54,076 54,053 TOTAL SHORT-TERM FUNDS 73,699 73,676 Short-Term Investments 0.2% Principal Amount (000s) Investments in reverse repurchase agreements in a joint trading account at 0.47%, dated 5/31/17 due 6/1/17 (Collateralized by Canadian Government Obligations) # $ TOTAL INVESTMENT PORTFOLIO 99.5% $402, ,310 TOTAL U.S. EQUITY FUNDS 28,280 31,452 TOTAL EQUITY FUNDS 166, ,125 Fixed-Income Funds 38.4% Canadian Fixed-Income Funds 16.8% Fidelity Canadian Bond Fund Series O 4,044,342 58,827 59,231 Fidelity Canadian Real Return Bond Index Investment Trust Series O 1,290,841 12,909 13,089 NET OTHER ASSETS (LIABILITIES) 0.5% 2,057 NET ASSETS 100% $ 431,367 TOTAL CANADIAN FIXED-INCOME FUNDS 71,736 72,320 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 2

3 Futures Contracts Sold Expiration Date Underlying Face Amount at Value (000s) Unrealized Appreciation/ (Depreciation) (000s) Equity Index Contracts 133 CME E mini S&P 500 Index Contracts (United States) June 2017 $ 21,659 $ (464) The face value of futures sold as a percentage of Net Assets is 5.0% Forward Foreign Currency Contracts Amounts in thousands Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) Contracts to Sell 1,401 AUD (Receivable amount $1,430) Jun $ 1,405 $ 25 1,401 AUD (Receivable amount $1,407) Jul , CHF (Receivable amount $1,262) Jun ,280 (18) 918 CHF (Receivable amount $1,283) Jul , ,287 DKK (Receivable amount $258) Jun (5) 1,287 DKK (Receivable amount $263) Jul ,300 EUR (Receivable amount $1,936) Jun ,973 (37) 4,730 EUR (Receivable amount $7,193) Jul , ,814 GBP (Receivable amount $3,209) Jun , ,814 GBP (Receivable amount $3,164) Jul , GBP (Receivable amount $878) Jul ,246 HKD (Receivable amount $4,263) Jun , ,246 HKD (Receivable amount $4,203) Jul ,204 (1) 148,740 JPY (Receivable amount $1,824) Jun , ,944 JPY (Receivable amount $5,464) Jul , NOK (Receivable amount $128) Jun NOK (Receivable amount $128) Jul ,162 SEK (Receivable amount $643) Jun (4) 4,162 SEK (Receivable amount $649) Jul SGD (Receivable amount $194) Jun Amounts in thousands Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) 198 SGD (Receivable amount $193) Jul $ 193 $ USD (Receivable amount $751) Jun ,123 USD (Receivable amount $19,300) Jun , ,123 USD (Receivable amount $19,300) Jun , ,123 USD (Receivable amount $19,300) Jun , USD (Receivable amount $751) Jun ,733 USD (Receivable amount $18,537) Jul ,538 (1) 13,733 USD (Receivable amount $18,537) Jul ,538 (1) 13,733 USD (Receivable amount $18,537) Jul ,538 (1) 13,733 USD (Receivable amount $18,537) Jul ,538 (1) 13,733 USD (Receivable amount $18,537) Jul ,538 (1) TOTAL CONTRACTS TO SELL 190,833 1,226 Contracts to Buy 1,401 AUD (Payable amount $1,408) Jun ,405 (3) 918 CHF (Payable amount $1,281) Jun ,280 (1) 1,287 DKK (Payable amount $263) Jun ,300 EUR (Payable amount $2,073) Jun ,973 (100) 1,814 GBP (Payable amount $3,163) Jun ,157 (6) 24,246 HKD (Payable amount $4,203) Jun , ,740 JPY (Payable amount $1,799) Jun , NOK (Payable amount $128) Jun ,162 SEK (Payable amount $648) Jun (1) 198 SGD (Payable amount $194) Jun (1) 13,733 USD (Payable amount $18,548) Jun , ,733 USD (Payable amount $18,548) Jun , ,947 USD (Payable amount $2,658) Jun ,630 (28) 13,733 USD (Payable amount $18,548) Jun , ,669 USD (Payable amount $3,605) Jul ,603 (2) TOTAL CONTRACTS TO BUY 76,944 (123) See accompanying notes which are an integral part of the financial statements. 3 Semi-Annual Report

4 Fidelity Balanced Income Currency Neutral Private Pool of the Fidelity Capital Structure Corp. Schedule of Investments (Unaudited) continued Forward Foreign Currency Contracts continued Amounts in thousands Contracts to Buy continued Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) TOTAL FORWARD FOREIGN CURRENCY CONTRACTS $ 1,103 The value of contracts to buy as a percentage of Net Assets is 17.8% The value of contracts to sell as a percentage of Net Assets is 44.2%. Currency Abbreviations AUD CHF DKK Australian dollar Swiss franc Danish krone EUR European Monetary Unit GBP HKD British pound Hong Kong dollar JPY Japanese yen NOK Norwegian krone SEK Swedish krona SGD USD Singapore dollar U.S. dollar Presentation Notes Cost amount includes broker commissions and other trading expenses, if any. Investment Valuation The following is a summary of the inputs used, as of May 31, 2017 and November 30, 2016, 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 May 31, 2017: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equity Funds $189,125 $189,125 $ $ Fixed-Income Funds 165, ,792 Short-Term Funds 73,676 73,676 Short-Term Investments Total Investments in Securities: $429,310 $428,593 $ 717 $ Derivative Instruments: Assets Forward Foreign Currency Contracts $ 1,315 $ $1,315 $ Total Assets $ 1,315 $ $1,315 $ Liabilities Forward Foreign Currency Contracts $ (212) $ $ (212) $ Futures Contracts (464) (464) Total Liabilities $ (676) $ (464) $ (212) $ Total Derivative Instruments: $ 639 $ (464) $1,103 $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 4

5 Valuation Inputs at November 30, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equity Funds $189,813 $189,813 $ $ Fixed-Income Funds 206, ,006 Short-Term Funds 55,562 55,562 Short-Term Investments 10,542 10,542 Total Investments in Securities: $461,923 $451,381 $10,542 $ Derivative Instruments: Assets Forward Foreign Currency Contracts $ 711 $ $ 711 $ Total Assets $ 711 $ $ 711 $ Liabilities Forward Foreign Currency Contracts $ (440) $ $ (440) $ Total Liabilities $ (440) $ $ (440) $ Total Derivative Instruments: $ 271 $ $ 271 $ Other Information # Additional information on each counterparty to the reverse repurchase agreement is as follows: Reverse Repurchase Agreement / Counterparty Value (000s) $717,000 due 6/01/17 at 0.47% Bank of Montreal $ 110 CIBC World Markets, Inc. 61 Royal Bank of Canada 110 Scotia Capital, Inc. 343 The Toronto-Dominion Bank 93 $ 717 See accompanying notes which are an integral part of the financial statements. 5 Semi-Annual Report

6 Financial Statements (Unaudited) Statements of Financial Position Amounts in thousands of Canadian Dollars (except per security amounts) As at May 31, 2017 November 30, 2016 Current assets (Note 3) Investments at fair value through profit or loss (Note 8) $ 429,310 $ 461,923 Cash 1 Cash collateral (Note 9) 824 Receivable for investments sold Unrealized appreciation on forward foreign currency contracts (Note 9) 1, Other receivables 2 2 Accrued interest and dividends receivable Subscriptions receivable 836 1, , ,579 Current liabilities (Note 3) Payable for investments purchased Redemptions payable 507 1,140 Distributions payable (Note 5) Management fee payable (Note 4) Other payables to affiliates (Note 4) Payable for daily variation margin for derivative instruments (Note 9) 4 Unrealized depreciation on forward foreign currency contracts (Note 9) Other payables and accrued expenses (Note 4) ,046 3,301 Net assets attributable to securityholders (Notes 3 and 6) $ 431,367 $ 462,278 Net assets attributable to securityholders per Series and per security (Note 6) Series B: ($126,469 and $149,641, respectively) $ $ Series F: ($175,195 and $177,455, respectively) $ $ Series F5: ($38,019 and $37,557, respectively) $ $ Series F8: ($7,590 and $6,836, respectively) $ $ Series I: ($33,343 and $35,403, respectively) $ $ Series I5: ($7,715 and $8,476, respectively) $ $ Series I8: ($438 and $1,532, respectively) $ $ Series S5: ($35,159 and $37,519, respectively) $ $ Series S8: ($7,439 and $7,859, respectively) $ $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 6

7 Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per security amounts) For the six-month periods ended May 31, Investment income (Note 3) Interest $ 8 $ 2 Income distributions from underlying funds 6,626 6,491 Capital gain distributions from underlying funds 2,619 4,878 Net gain (loss) on investments Net realized gain (loss) on investments 6,387 14,372 Change in net unrealized appreciation (depreciation) on investments 5, ,348 14,677 Net gain (loss) on foreign currencies Net realized gain (loss) on foreign currency transactions Change in net unrealized appreciation (depreciation) on other net assets in foreign currencies (9) 59 1 Net gain (loss) on derivatives Net realized gain (loss) on derivatives (2,174) (7,255) Change in net unrealized appreciation (depreciation) on derivatives 368 (2,422) (1,806) (9,677) Total investment income (loss) 19,854 16,372 Operating expenses (Note 4) Management fees 2,448 2,420 Administration fees Independent Review Committee fees Commissions and other portfolio costs 3 3 Foreign taxes withheld (Note 5) 13 Sales tax Total operating expenses 3,184 3,116 Net increase (decrease) in net assets attributable to securityholders from operations $ 16,670 $ 13,256 Increase (decrease) in net assets attributable to securityholders from operations per Series (Note 3) Series B $ 4,750 $ 4,113 Series F $ 7,033 $ 5,557 Series F5 $ 1,590 $ 1,371 Series F8 $ 259 $ 210 Series I $ 1,161 $ 780 Series I5 $ 273 $ 138 Series I8 $ 19 $ 32 Series S5 $ 1,306 $ 863 Series S8 $ 279 $ 192 Increase (decrease) in net assets attributable to securityholders from operations per Series per security (Notes 3 and 6) Series B $.48 $.36 Series F $.59 $.56 Series F5 $.60 $.62 Series F8 $.47 $.31 Series I $.46 $.34 Series I5 $.47 $.30 Series I8 $.36 $.22 Series S5 $.50 $.28 Series S8 $.39 $.26 See accompanying notes which are an integral part of the financial statements. 7 Semi-Annual Report

8 Financial Statements (Unaudited) continued Statements of Changes in Net Assets Attributable to Securityholders Amounts in thousands of Canadian Dollars For the six-month period ended May 31, 2017 Total Series B Series F Series F5 Series F8 Series I Net assets attributable to securityholders, beginning of period $ 462,278 $ 149,641 $ 177,455 $ 37,557 $ 6,836 $ 35,403 Increase (decrease) in net assets attributable to securityholders from operations 16,670 4,750 7,033 1, ,161 Distributions to securityholders (Note 5) From net realized gain (1,304) (1,038) (233) (33) Return of capital (2,553) (917) (256) (3,857) (1,038) (1,150) (289) Security transactions (Note 6) Proceeds from sale of securities 54,951 14,054 30,090 4,047 3,548 1,816 Reinvestment of distributions 1, Amounts paid upon redemption of securities (100,320) (41,976) (39,239) (4,432) (2,807) (5,037) (43,724) (27,922) (8,255) (3,221) Net assets attributable to securityholders, end of period $ 431,367 $ 126,469 $ 175,195 $ 38,019 $ 7,590 $ 33,343 For the six-month period ended May 31, 2017 Series I5 Series I8 Series S5 Series S8 Net assets attributable to securityholders, beginning of period $ 8,476 $ 1,532 $ 37,519 $ 7,859 Increase (decrease) in net assets attributable to securityholders from operations , Distributions to securityholders (Note 5) From net realized gain Return of capital (189) (20) (867) (304) (189) (20) (867) (304) Security transactions (Note 6) Proceeds from sale of securities Reinvestment of distributions Amounts paid upon redemption of securities (946) (1,098) (3,872) (913) (845) (1,093) (2,799) (395) Net assets attributable to securityholders, end of period $ 7,715 $ 438 $ 35,159 $ 7,439 For the six-month period ended May 31, 2016 Total Series B Series F Series F5 Series F8 Series I Net assets attributable to securityholders, beginning of period $ 320,744 $ 124,097 $ 87,284 $ 19,532 $ 7,350 $ 23,910 Increase (decrease) in net assets attributable to securityholders from operations 13,256 4,113 5,557 1, Distributions to securityholders (Note 5) Return of capital (2,752) (822) (320) (2,752) (822) (320) Security transactions (Note 6) Proceeds from sale of securities 224,892 67, ,743 25,471 1,689 11,630 Reinvestment of distributions Amounts paid upon redemption of securities (68,276) (28,977) (20,488) (3,605) (1,141) (2,392) 157,154 38,908 84,255 22, ,238 Net assets attributable to securityholders, end of period $ 488,402 $ 167,118 $ 177,096 $ 42,125 $ 7,799 $ 33,928 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 8

9 Statements of Changes in Net Assets Attributable to Securityholders continued For the six-month period ended May 31, 2016 Series I5 Series I8 Series S5 Series S8 Net assets attributable to securityholders, beginning of period $ 5,883 $ 1,502 $ 43,336 $ 7,850 Increase (decrease) in net assets attributable to securityholders from operations Distributions to securityholders (Note 5) Return of capital (157) (66) (1,054) (333) (157) (66) (1,054) (333) Security transactions (Note 6) Proceeds from sale of securities 2,937 1,051 7,650 1,836 Reinvestment of distributions Amounts paid upon redemption of securities (991) (934) (8,319) (1,429) 2, (536) 527 Net assets attributable to securityholders, end of period $ 7,878 $ 1,613 $ 42,609 $ 8,236 See accompanying notes which are an integral part of the financial statements. 9 Semi-Annual Report

10 Financial Statements (Unaudited) continued Statements of Cash Flows Amounts in thousands of Canadian Dollars For the six-month periods ended May 31, Cash flows from (used in) operating activities: Purchases of investments and derivatives $ (133,217) $ (217,870) Proceeds from sale and maturity of investments and derivatives 175,418 51,368 Cash (deposited) returned for collateral (824) (461) Cash receipts from interest income 8 2 Cash receipts from other investment income 9,588 11,146 Cash paid for operating expenses (3,212) (2,935) Net cash from (used in) operating activities 47,761 (158,750) Cash flows from (used in) financing activities: Distributions to securityholders net of reinvestments (2,224) (2,207) Proceeds from sales of securities 41, ,979 Amounts paid upon redemption of securities (87,142) (52,028) Net cash from (used in) financing activities (47,762) 158,744 Net change in cash (1) (6) Cash, beginning of period 1 7 Cash, end of period $ $ 1 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 10

11 Notes to Financial Statements (Unaudited) For the period ended May 31, 2017 (Unaudited) (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 1. Formation of the Corporation Fidelity Capital Structure Corp. (Corporation) is a mutual fund corporation incorporated under the laws of Alberta on August 30, The authorized capital of the Corporation consists of an unlimited number of Class A voting securities and 300 classes of redeemable mutual fund special securities. Currently, 78 classes of the redeemable mutual fund special securities are available in Series A, Series B, Series F, Series F5, Series F8, Series I, Series I5, Series I8, Series S5, Series S8, Series T5, Series T8, Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5, Series E5T5, Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5. Each of these 78 classes is a separate reporting entity. The registered office of the Corporation is located at 407 2nd Street S.W., Suite 820, Calgary, Alberta, T2P 2Y3. Fidelity Investments Canada ULC (Fidelity) is the Fund s investment manager and 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. On December 31, 2015, the investment advisor changed from FIAM LLC (formerly Pyramis Global Advisors, LLC) to Fidelity. Fidelity Balanced Income Currency Neutral Private Pool of the Fidelity Capital Structure Corp. (Fund) is a class of the Corporation and invests primarily in a combination of Fidelity managed equity, fixed-income and money market funds and external Exchange Traded Funds (ETFs) (Underlying Funds). 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 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. 2. Basis of Preparation Statement of Compliance - These interim financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB) and as applicable to the preparation of interim financial statements, including IAS 34 Interim Financial Reporting. The accounting policies set out below have been applied consistently unless otherwise stated. The policies applied in these interim financial statements are based on IFRS issued as of July 11, 2017, which is the date on which the interim financial statements were authorized for issue by the Corporation s board of directors. Any subsequent changes to IFRS that are given effect in the Fund s annual financial statements for the period ending November 30, 2017 could result in restatement of these interim financial statements. Functional and Presentation Currency These financial statements are presented in Canadian dollars, which is the Fund s functional currency. Comparative Figures - Per security comparative figures have been conformed to the current rounding presentation of two decimal places. In addition, certain comparative figures in the Statements of Cash Flows have been reclassified to appropriately reflect the following non-cash items. Amounts related to Proceeds from sales of securities and Amounts paid upon redemption of securities have been adjusted to exclude noncash subscriptions and redemptions arising from switches between series within the fund. There is no net impact on cash flows from financing activities. 11 Semi-Annual Report

12 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 3. Summary of Significant Accounting Policies Basis of Measurement These financial statements have been prepared on the historical cost basis except for investments and derivatives which are measured at fair value in the Statements of Financial Position. 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 May 31, 2017 and November 30, 2016, is included at the end of the Fund s Schedule of Investments. Classification and measurement of financial instruments The Fund has made significant judgments when determining the classification and measurement of its financial instruments under IAS 39, Financial Instruments Recognition and Measurement (IAS 39). These judgments centre upon the determination that certain investments are held-for-trading and that the fair value measurement option can be applied to those that are not due to factors including performance evaluation and management of the Fund on a fair value basis. Presentation of financial instruments The Fund s securities are classes in the Corporation. The classes will not participate pro rata in the residual net assets of the Corporation in the event of the Corporation s liquidation and they do not have identical features. Consequently, the Fund s outstanding redeemable securities are classified as financial liabilities in accordance with the requirements of IAS 32 Financial Instruments Presentation (IAS 32). Determination of Relationship with Underlying Funds The Fund has made significant judgments when determining the nature of its relationship with an Underlying Fund in accordance with IFRS 10 Consolidated financial statements (IFRS 10) and IAS 28 Investment in associates and joint ventures (IAS 28). These judgments centre upon identifying the Fund s ability to control or significantly influence an Underlying Fund. In both determinations, the Fund looks at the relevant activities of an Underlying Fund such as voting rights, participation in policy choices and material cash flows such as subscription and redemption proceeds. The Fund has determined that it does not have the ability to control nor exercise significant influence on an Underlying Fund due to the Fund s inability to exercise its voting rights and direct or participate in the financial and operating policy decisions of an Underlying Fund. Investment and Derivative Valuation Investments, excluding derivatives, are designated at their fair value through profit or loss in accordance with IAS 39 and are carried at their fair value. Derivatives are classified as held-for-trading in accordance with IAS 39 and are carried at fair value. The Fund categorizes the inputs to valuation techniques used to fair value its investments and derivatives into a disclosure hierarchy consisting of three levels as shown below: Level 1 quoted prices in active markets for identical investments Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.) Level 3 unobservable inputs (including the Fund s own assumptions based on the best information available) Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. There were no significant transfers between Level 1 and Level 2 during the periods. The aggregate value of investments by input level, as at May 31, 2017 and November 30, 2016, as well as a roll forward of Level 3 securities, where applicable, is included at the end of the Fund s Schedule of Investments. Valuation techniques used to value the Fund s investments and derivatives by major category are as follows: ETFs for which market quotations are readily available, are valued at last reported sales price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event that the last sales price or official closing price is not readily available, or is outside the bid-ask spread, the point within the bid-ask spread that is most representative of fair value based on specific facts and circumstances will be used. The Canadian dollar value of forward foreign currency contracts is determined using the closing foreign currency exchange rates and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Fidelity managed Underlying Funds are valued at their closing net asset value per security (NAVPS) each business day and are categorized as Level 1 in the hierarchy. 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. Semi-Annual Reportport 12

13 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 May 31, 2017 and November 30, Impairment of Financial Assets At each reporting date, the Fund assesses whether there is objective evidence that a financial asset carried at amortized cost is impaired. If such impairment exists, the Fund recognizes the difference between the amortized cost of the financial assets and the present value of the estimated future cash flows, discounted using the instrument s original effective interest rate as an impairment loss on the Statements of Comprehensive Income. Such impairment losses are reversed in subsequent periods in the Statements of Comprehensive Income if the conditions that lead to the initial recognition of the loss diminish or cease to exist. Other Assets and Liabilities Other assets and liabilities may include amounts due to or from the custodian, affiliates or other counterparties for accrued income, investment transactions, Fund s security transactions, accrued expenses and other unsettled transactions at period end. These amounts are classified as loans and receivables or financial liabilities and are carried at amortized cost, which approximates fair value due to their short-term nature. Offsetting Financial Instruments Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously. Classification of redeemable securities issued by the Fund The Fund s redeemable securities are equally subordinated to each other, but have differing features as outlined in the notes below, and will not participate pro rata in the residual net assets of the Corporation in the event of the Corporation s liquidation. Therefore, in accordance with IAS 32, the Fund s redeemable securities do not meet the criteria for classification as equity and have been classified as financial liabilities on the Statements of Financial Position. The Fund s obligation for net assets attributable to securityholders is recorded at the redemption amount. As at May 31, 2017 and November 30, 2016, the Fund s net asset value per Series per security may differ by less than $0.01 from its net assets attributable to securityholders per Series per securities calculated in accordance with IFRS as a result of normal reporting period end procedures to close off the books and records. Investment Transactions, Income Recognition and Transaction Costs - Regular way purchases and sales of financial assets are recognized at their trade date. The cost of investments is determined on an average cost basis, excluding commissions and other portfolio transaction costs. Net realized gains and losses from the sale of investments (which may include proceeds received from litigation) and change in net unrealized appreciation (depreciation) on investments are calculated with reference to average cost of the related investment securities. Interest income is accrued as earned. Distributions received from investment trusts, including Underlying Funds, are recorded as income, capital gains or a return of capital based on the best information available. Due to the nature of these investments, actual allocations could vary from this information. Distributions from investment trusts treated as a return of capital reduce the average cost of the underlying investment trust. Transaction costs, such as brokerage commissions, incurred in the purchase and sale of investment securities by the Fund are recognized as Commissions and other portfolio costs in the Statements of Comprehensive Income. Foreign Currency Translation Securities and other assets and liabilities denominated in a foreign currency are translated into Canadian dollars at the period-end exchange rates. Purchases and sales of securities, income and expenses denominated in foreign currencies are translated into Canadian dollars at the exchange rate on the date of the respective transaction. The effects of exchange rate fluctuations on investments are included in the Net realized gain (loss) and change in net unrealized appreciation (depreciation) on investments and exchange rate fluctuations on other foreign currency transactions are included in the Net realized gain (loss) on foreign currency transactions and Change in net unrealized appreciation (depreciation) on other net assets in foreign currencies in the Statements of Comprehensive Income. 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: 13 Semi-Annual Report

14 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) May 31, 2017 Collateral Description Interest Rate (%) Maturity Date % of Collateral Collateral Value as a % of CAD Cash Invested Canadian Treasury Bonds /1/ /1/ Canadian Treasury Bill n/a 11/2/2017 3/8/ November 30, 2016 Collateral Description Interest Rate (%) Maturity Date % of Collateral Collateral Value as a % of CAD Cash Invested Canadian Treasury Bonds /1/ /1/ Forward Foreign Currency Contracts The Fund may use forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage its currency exposure. Contracts to sell generally are used to mitigate the risk of the Fund s investments against currency fluctuations, while contracts to buy generally are used to offset a previous contract to sell. Also, a contract to buy can be used to acquire exposure to foreign currencies and a contract to sell can be used to offset a previous contract to buy. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Statements of Financial Position. Fidelity monitors the credit rating of each counterparty with which it does business. All counterparties have a credit rating of at least A, as determined by Moody s Investor Services, Inc. or S&P at the date of purchase. The Canadian dollar value of any currencies the Fund has committed to buy or sell is shown in its Schedule of Investments under the caption Forward Foreign Currency Contracts. This amount represents the aggregate exposure to each currency the Fund has acquired or sold through currency contracts at period end. Losses may arise from changes in the value of foreign currency or if the counterparties do not perform under the contracts terms. Purchases and sales of forward foreign currency contracts having the same currency, settlement date and broker are offset and any realized gain (loss) is recognized on settlement date and settled with the counterparty on a net basis. Futures Contracts The Fund may invest in futures contracts to manage its exposure to the markets. Upon entering into a futures contract, the Fund is required to deposit with the clearing broker, no later than the following business day, an amount (initial margin) equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on the settlement date. Subsequent payments (variation margin) are made or received by the Fund depending on the daily fluctuations in the value of the futures contract and are accounted for as change in net unrealized appreciation (depreciation) on derivatives in the Statements of Comprehensive Income. Upon the expiration or closing of the futures contract, realized gains or losses are recognized, and are recorded in the Statements of Comprehensive Income as Net realized gain (loss) on derivatives. Securities deposited to meet margin requirements, if applicable, are identified in the Schedule of Investments and are included in Investments at fair value through profit or loss in the Statements of Financial Position. The Fund pledged $823,820 (November 30, 2016: $-) as cash collateral, which is included in Cash collateral in the Statements of Financial Position. Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin reflected in the Statements of Financial Position. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption Futures Contracts. This amount reflects each contract s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract s terms. Valuation of Series Separate net assets attributable to securityholders is calculated for each Series of securities of the Fund. The net assets attributable to securityholders of a Series is computed by calculating the Series proportionate share of the assets and liabilities of the Fund common to all Series, adjusted for the assets and liabilities of the Fund attributable only to that Series. Expenses directly attributable to a Series are charged to that Series. Investment income and operating expenses are allocated proportionately to each Series based upon the relative net assets attributable to securityholders of each Series, except for items that can be specifically attributed to one or more Series. Per Security from Operations - The increase (decrease) in net assets attributable to securityholders resulting from operations per security in the Statements of Comprehensive Income represent the operational increase (decrease) for each Series of the Fund, divided by the relevant weighted average securities outstanding during the period. Refer to the Security Transactions Note for the Fund s weighted average securities outstanding. Statements of Cash Flows When preparing the Statements of Cash Flows, the Fund nets the rollover activity of its short-term investments, and includes only the net cash flow impact in Purchases of investments and derivatives or Proceeds from sale and maturity of investments and derivatives, as applicable. Additionally, in accordance with IFRS, the Fund s Statements of Cash Flows excludes non-cash transactions from its operating and financing activities. Recent Accounting Pronouncements The final version of IFRS 9, Financial Instruments, was issued by the IASB in July 2014 and will replace IAS 39 Financial Instruments: Recognition and Measurement. IFRS 9 introduces a model for classification and measurement, a single, Semi-Annual Reportport 14

15 forward-looking expected loss impairment model and a substantially reformed approach to hedge accounting. The new single, principle based approach for determining the classification of financial assets is driven by cash flow characteristics and the business model in which an asset is held. The new model also results in a single impairment model being applied to all financial instruments, which will require more timely recognition of expected credit losses. It also includes changes in respect of an entity s own credit risk in measuring liabilities elected to be measured at fair value, so that gains caused by the deterioration of an entity s own credit risk on such liabilities are no longer recognised in profit or loss. IFRS 9 is effective for annual periods beginning on or after January 1, 2018, however is available for early adoption. In addition, the entity s own credit risk changes can be early applied in isolation without otherwise changing the accounting for financial instruments. The Fund is in the process of assessing the impact of IFRS 9 and does not plan to adopt the new standard early. 4. Expenses and Other Related Party Transactions Management Fee Fidelity serves as manager of the Fund. Fidelity is part of a broader group of companies collectively known as Fidelity Investments. Fidelity has entered into sub-advisory agreements with a number of entities including FMR Co., Inc., to provide investment advice with respect to all or a portion of the investments of the Fund. The sub-advisors arrange for acquisition and disposition of portfolio investments, including all necessary brokerage arrangements. The Fund pays Fidelity a monthly management fee for its services and the provision of key management personnel to the Fund, based on the net asset value of each Series, calculated daily and payable monthly. To avoid duplication of fees, Series O securities of any Fidelity managed Underlying Fund are not subject to a management fee. The annual management fee rates for each Series were as follows: Annual Management Fee Rate (%) Series B Series F Series F Series F Series I Series I Series I Series S Series S Administration Fee Fidelity charges the Fund a fixed administration fee in place of certain variable and administrative expenses, including the provision of key administrative personnel to the Fund. Fidelity, in turn, pays all of the operating expenses of the Fund, other than certain specified fund costs, including the fees and expenses of the Independent Review Committee, taxes, brokerage commissions and interest charges. The administration fee is in addition to the management fee. To avoid duplication of fees, Series O securities of any Fidelity managed Underlying Fund are not subject to the Administration fee. The Fund pays an annual rate of 0.18% based on the net asset value of each Series, calculated daily and payable monthly. Independent Review Committee Fees The Independent Review Committee (IRC), as required under National Instrument , reviews conflict of interest matters referred to it by the manager and provides recommendations or approves actions, as appropriate, that are in the best interest of the funds. There are currently four members of the IRC who are independent of Fidelity and its affiliates. IRC members are compensated by way of an annual retainer fee and a per meeting attendance fee, as well as reimbursed for expenses associated with IRC duties. These costs are allocated among the individual funds proportionately by assets. Sales Tax Certain provinces have harmonized their Provincial Sales Tax (PST) with the federal Goods and Services Tax (GST).The Harmonized Sales Tax (HST) combines the GST rate of 5% with the PST rate of certain provinces. The Provincial GST/HST liability or refund is calculated using the residency of securityholders and the value of their interests in the Fund as at specific times, rather than the physical location of the Fund. The effective GST/HST rate charged to each Series of the Fund is based on the securityholders proportionate investments by province, using each province s HST rate or GST rate in the case of non-participating provinces. All amounts are included in the Statements of Comprehensive Income as Sales tax. Commissions and Other Portfolio Costs Commissions and other portfolio costs paid for security transactions during the period were $3 (May 31, 2016: $3), of which $- (May 31, 2016: $-) were paid to brokerage firms that are affiliates of Fidelity Investments. The Fund may execute certain portfolio trades with brokers who reimbursed a portion of their commissions to the Fund. Reimbursement estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. Commissions reimbursed under this arrangement were $2 (May 31, 2016: $-) and are included in Commissions and other portfolio costs in the Statements of Comprehensive Income. 15 Semi-Annual Report

16 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) In addition, a portion of commissions may be paid for research. The total of such payments was $- (May 31, 2016: $-). Amounts paid for research provided to the Fund by executing brokers are estimates made by Fidelity. Fidelity has established procedures to assist them in making a good faith determination that the Fund received a reasonable benefit considering the value of research goods and services and the amount of brokerage commissions paid. 5. Taxation and Dividends The Corporation qualifies as a mutual fund corporation under the provisions of the Income Tax Act (Canada). The Corporation is a single legal entity for tax purposes and is not taxed on a class by class basis. The Corporation has a taxation year end of November 30 and will pay all Canadian dividends, if any, earned in the year on or about November 30. In addition, the Corporation will pay, if necessary, capital gains dividends within 60 days of year end, to ensure the Corporation is not subject to income tax on its net realized capital gains and other income earned during the year. As a result, the Corporation and each of its classes in substance is tax exempt and does not record income taxes under IAS 12 Income Taxes (IAS 12) and accordingly does not recognize the deferred tax benefit associated with tax loss carry forwards and other taxable temporary differences. 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. The taxes paid on realized gains from sales of securities paid and the accrued tax liability on unrealized gains on securities subject to withholding taxes are included in Foreign taxes withheld and Change in net unrealized appreciation (depreciation) on investments in the Statements of Comprehensive Income, respectively. At period end, the accrued tax liability on unrealized gains was as follows: Dividends, if any, are declared separately for each Series. Capital losses of the Corporation may be applied against the capital gains attributable to the Corporation as a whole irrespective of the class from which the gains or losses arise. Non-capital losses attributable to any particular series of a fund may be applied against income or taxable income attributable to any series of a fund. As at the last taxation year-end, the Corporation had no capital losses and no non-capital losses available for future taxation years. 6. Capital Risk Management Securities issued and outstanding are considered to be the capital of the Fund. The capital of each series of the Fund is divided into an unlimited number of securities of equal value, with no par value. All securities in a series of the Fund rank equally with respect to distributions. A securityholder of the Fund is entitled to one vote for each one dollar in value of securities owned. Fractional securities are proportionately entitled to these rights. The Fund generally has no restrictions or specific capital requirements on the subscriptions and redemptions of securities other than minimum subscription requirements; although, on rare occasions, Fidelity may temporarily suspend securityholders right to redeem securities and postpone paying sale proceeds. The relevant movements attributable to securityholders are shown in the Statements of Changes in Net Assets Attributable to 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: Semi-Annual Reportport 16

17 Securities Outstanding, Beginning of Period Issued Reinvested Redeemed Securities Outstanding, End of Period Weighted Average Securities Period ended May 31, 2017 Series B 11,337 1,050 (3,147) 9,240 9,823 Series F 12,850 2, (2,817) 12,243 12,004 Series F5 2, (307) 2,619 2,633 Series F (248) Series I 2, (383) 2,474 2,525 Series I (70) Series I8 146 (104) Series S5 2, (281) 2,542 2,605 Series S (85) Period ended May 31, 2016 Series B 9,743 5,389 (2,290) 12,842 11,421 Series F 6,623 8,018 (1,561) 13,080 9,976 Series F5 1,358 1, (255) 2,924 2,198 Series F (100) Series I 1, (191) 2,641 2,280 Series I (75) Series I (87) Series S5 3, (615) 3,087 3,086 Series S (131) 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. The Fund is more diversified and expected to be less risky than funds that invest primarily in equities or fixed income securities directly. The value can change when the price of equity or fixed-income securities change. There is greater risk when more of the Fund is invested in any one asset class. The Fund has the same risks as its Underlying Funds. The Fund is more diversified and expected to be less risky than funds that invest primarily in equities or fixed income securities directly. The value can change when the price of equity or fixed-income securities change. There is greater risk when more of the Fund is invested in any one asset class. The Fund has the same risks as its Underlying Funds. 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 combination of a steady flow of income with the potential for capital gains. The Fund is geared towards income. It invests primarily in Underlying Funds that generally invest in equity and fixed income securities. The Fund s benchmark is 24.0% S&P/TSX Capped Composite Index, 18.0% Bloomberg Barclays Global Aggregate Bond Index Hedged CAD, 16.0% MSCI ACWI (All Country World Index) ex Canada Index Hedged CAD, 27.0% FTSE TMX Canada Universe Bond Index and 15.0% FTSE TMX Canada 91 Day T-Bill Index. The Fund uses derivatives to try to minimize the exposure to currency fluctuations between foreign currencies in developed markets (such as the U.S. dollar, the Euro or the Yen) and the Canadian dollar. The Fund may also hedge against other foreign currencies. 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 17 Semi-Annual Report

18 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 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 May 31, 2017 and November 30, Credit risk arising on Canadian debt securities held directly or indirectly, as applicable, is mitigated by investing primarily in rated instruments or instruments issued by rated counterparties with credit ratings of at least BB or better as determined by Moody s Investor Services, Inc. or S&P at the date of purchase. Refer to the Quality Diversification tables in the Summary of Investment Portfolio of the Fund s Semi-annual Management Report of Fund Performance as at May 31, 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. Credit risk exposure for derivative instruments is based on the Fund s unrealized gain on the contractual obligations with the counterparty as at the reporting date. The Fund restricts its exposure to credit losses on derivative instruments by limiting its exposure to any one counterparty and by entering into transactions with counterparties who meet financial and non- financial criteria. Other than outlined above, there were no significant concentrations of credit risk to counterparties as at May 31, 2017 and November 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 Derivative Exposure, Geographic Mix and Asset Mix tables in the Summary of Investment Portfolio of the Fund s Semiannual Management Report of Fund Performance as at May 31, 2017, which summarize the investment concentration risks that are relevant for the Fund. Liquidity Risk - Liquidity risk is defined as the risk that the Fund may not be able to settle or meet its obligations on time or at a reasonable price. The Fund is exposed to daily cash redemptions of its redeemable securities. Redeemable securities are redeemed on demand at the securityholder s option based on the Fund s NAVPS at the time of redemption. The Fund may be exposed to indirect liquidity risk through its investments. In accordance with securities regulations, investment funds must maintain at least 90% of assets in liquid investments; investments that are traded in an active market and can be readily disposed of. In addition, the Fund aims to retain sufficient cash and short-term investments to maintain liquidity, and has the ability to borrow up to 5% of its net asset value from the custodian for the purpose of funding redemptions. The liquidity position is monitored on a daily basis. As at May 31, 2017 and November 30, 2016, the Fund did not have financial liabilities with maturities greater than 3 months. Indirect Exposure to Other Price Risk, Interest Rate Risk and Currency Risk - The Fund may be exposed to indirect other price risk, interest rate risk and currency risk through its investments in any Underlying Fund with an equity, fixed-income and U.S. and global fixed-income strategy, respectively. Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. All financial instruments present a risk of loss of capital. The Fund and any Underlying Fund moderate this risk through a careful selection of securities and other financial instruments within the parameters of the investment strategy. The maximum risk resulting from financial instruments is equivalent to their fair value. Accordingly, the Fund may be exposed to indirect other price risk through its investments in any Underlying Fund with an equity strategy. Interest rate risk arises on interest-bearing financial instruments held directly or indirectly in the investment portfolio such as bonds. The Fund and any Underlying Fund are 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 which are considered to have minimal sensitivity to changes in interest rates since the securities are short-term in nature. Accordingly, the Fund may be exposed to indirect interest rate risk through its investments in any Underlying Fund with a fixed-income strategy. Refer to the Maturity Diversification tables in the Summary of Investment Portfolio of the Fund s Semi-annual Management Report of Fund Performance as at May 31, 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. Currency risk arises from financial instruments that are denominated in a currency other than Canadian dollars, which is the Fund s and any Underlying Fund s functional currency. The Fund and any Underlying Fund are exposed to the risk that the fair value of financial instruments denominated in other currencies will fluctuate due to changes in exchange rates. Currency risk is not considered to arise from financial instruments that are non-monetary items such as equity investments, or forward foreign exchange contracts related to such non-monetary items. The Fund considers the foreign exchange exposure relating to non-monetary assets and liabilities to be a component of other price risk, not foreign Semi-Annual Reportport 18

19 currency risk. However, management monitors the exposure on all foreign currency denominated assets and liabilities, and enters into forward foreign currency contracts to manage the Fund s exposure to foreign exchange movements. In addition, an Underlying Fund may also hedge against other foreign currencies through the use of forward foreign currency contracts. For example, an underlying currency hedged fund uses derivatives to try to minimize the exposure to currency fluctuations between the foreign currencies (such as the U.S. dollar, the Euro or the Yen), and the Canadian dollar. Generally, the use of forward contracts to hedge currency fluctuations as completely as possible will not result in the impact of currency fluctuations being eliminated altogether. Furthermore, during times of extreme market stress or volatility, the Fund and any Underlying Fund may not be able to prevent losses from exposure to foreign currencies. Accordingly, the Fund may be exposed to indirect currency risk through its investments in any Underlying Fund with a U.S. or global fixed-income strategy. The impact on net assets attributable to securityholders, of a reasonable possible change in the returns of each Underlying Fund, would have increased or decreased by approximately $17,746 (November 30, 2016: $19,791). This change is calculated by applying a 5% possible movement for each strategy (excluding short-term) as a percentage of the net assets attributable to securityholders of each Underlying Fund. The analysis is based on the assumption that the returns on each strategy have increased or decreased as disclosed with all other variables held constant. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. 8. Investment in Structured Entities The Fund s investment in a Fidelity managed Underlying Fund represents an interest in a structured entity. A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements such as those agreements executed by a Fund with its manager and portfolio advisor. An Underlying Fund is financed through the issuance of its redeemable trust securities. In addition, its purpose is to provide investment management services to its securityholders by investing its net assets for capital growth and/or investment income. The Fund does not control nor significantly influence an Underlying Fund, as defined by IFRS 10 and IAS 28, due to the Fund s inability to exercise its voting rights and direct or participate in the financial and operating policy decisions. The maximum risk of loss in an investment in an Underlying Fund is equal to its fair value and carrying value which is outlined in the tables below and included in Investments on the Statements of Financial Position. There is no difference between the maximum risk of loss and the carrying amounts of the assets and liabilities of an Underlying Fund that relate to the Fund s interests. There are additional risks associated with an investment in an Underlying Fund. Refer to the Financial Instruments Risk note for further discussion. In the normal course of operations to fulfil its investment objective, the Fund will, from time to time, subscribe for additional securities issued by an Underlying Fund or redeem in whole or in part its investment in an Underlying Fund. However, the Fund does not have any obligation or intention to provide financial support to an Underlying Fund. In addition, the Fund may receive a distribution of income and/or capital gains from an Underlying Fund as described above in the Investment Transactions, Income Recognition and Transaction Costs note. The following tables present additional information that is relevant to the Fund s investment in structured entities. Total Net Assets Fair Value of Investment May 31, 2017 Fidelity American High Yield Currency Neutral Fund 472,158 6,167 Fidelity Canadian Bond Fund 11,004,558 59,231 Fidelity Canadian Focused Equity Investment Trust 269,007 4,684 Fidelity Canadian Growth Company Fund 2,960,543 8,691 Fidelity Canadian Money Market Fund 1,213,802 19,623 Fidelity Canadian Opportunities Fund 977,421 9,992 Fidelity Canadian Real Return Bond Index Institutional Trust 824,816 13,089 Fidelity Canadian Short Term Fixed Income Investment Trust 1,485,434 54,053 Fidelity Concentrated Canadian Equity Investment Trust 898,418 38,288 Fidelity Concentrated Value Investment Trust 1,426,446 31,220 Fidelity Convertible Securities Investment Trust 1,464,689 5,775 Fidelity Emerging Markets Equity Investment Trust 891,112 24,158 Fidelity Floating Rate High Income Investment Trust 865,500 6,638 Fidelity Global Bond Currency Neutral Fund 157,021 66,641 Fidelity Global Intrinsic Value Investment Trust 1,745,866 5,058 Fidelity Global Real Estate Fund 472,014 1,807 Fidelity High Income Commercial Real Estate Investment Trust 653,072 8,251 Fidelity International Equity Investment Trust 979,351 18, Semi-Annual Report

20 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) Total Net Assets Fair Value of Investment May 31, 2017 Fidelity U.S. Multi-Cap Investment Trust 479,798 21,951 Fidelity U.S. Small/Mid Cap Equity Investment Trust 66,001 3,486 Total Net Assets Fair Value of Investment November 30, 2016 Fidelity American High Yield Currency Neutral Fund 525,513 6,862 Fidelity Canadian Bond Fund 10,825,689 95,263 Fidelity Canadian Focused Equity Investment Trust 246,554 5,027 Fidelity Canadian Money Market Fund 1,890,404 55,562 Fidelity Canadian Opportunities Fund 921,072 11,641 Fidelity Concentrated Canadian Equity Investment Trust 912,858 53,916 Fidelity Concentrated Value Investment 1,429,160 41,688 Fidelity Convertible Securities Investment Trust 1,395,232 6,043 Fidelity Emerging Markets Equity Investment Trust 797,232 23,412 Fidelity Floating Rate High Income Investment Trust 731,160 6,943 Fidelity Global Bond Currency Neutral 185,367 72,824 Fidelity Global Real Estate Fund 537,843 4,219 Fidelity High Income Commercial Real Estate Investment Trust 579,485 9,223 Fidelity International Disciplined Equity Currency Neutral Fund Fidelity International Equity Investment Trust 733,910 13,356 Fidelity U.S. Bond Investment Trust 1,602,115 8,848 Fidelity U.S. Multi-Cap Investment Trust 454,779 25,951 Fidelity U.S. Small/Mid Cap Equity Investment Trust 55,250 3,562 Underlying Fund names presented in the tables reflect names in effect as at the dates shown. The Fund also invests in ETFs which may be considered structured entities. As of May 31, 2017, the carrying value and maximum exposure to losses of such ETF holdings included in the Statements of Financial Position is $21,350 (November 30, 2016: $7,039). The change in fair value of these ETF holdings is included in the Statements of Comprehensive Income in Change in net unrealized appreciation (depreciation) on investments. The ownership percentage of any ETF was less than 1%. 9. Offsetting of Financial Assets and Liabilities The Fund s derivatives noted below are subject to enforceable master netting arrangements in the form of foreign exchange netting agreements with its counterparties. The normal business terms of the foreign exchange netting agreements call for net settlement of transactions when contracts with the same counterparty and currency mature simultaneously. In the event of default or bankruptcy net settlement of contracts would be enforced. The following tables summarize financial instruments that are offset in the Statements of Financial Position, or are subject to enforceable master netting arrangements or other similar agreements but are not offset: As at May 31, 2017 Amounts offset Amounts not offset Assets Gross Gross assets/liabilities offset Net Master Netting Arrangements Financial Collateral Net Forward foreign currency contracts 1,321 (6) 1,315 (153) 1,162 Liabilities Forward foreign currency contracts (218) 6 (212) 153 (59) Payable for daily variation margin for derivative instruments: Futures (4) (4) 4 TOTAL (222) 6 (216) (59) As at November 30, 2016 Amounts offset Amounts Not offset Assets Gross Gross assets/liabilities offset Net Master Netting Arrangements Financial Collateral Forward foreign currency contracts 723 (12) 711 (262) 449 Liabilities Forward foreign currency contracts (452) 12 (440) 262 (178) Net Semi-Annual Reportport 20

21 10. NAV Error An error was detected and corrected on January 12, The error occurred between June 12, 2015 and January 12, Fidelity reimbursed the Fund for losses incurred in the amount of $12,207 which equated to 3.79% of the net asset value of the Fund on the correction date. Additionally, a small number of investors who redeemed during the error period also received reimbursement. 11. Federal Budget Legislative amendments have been passed into law which eliminates tax-deferred switching for investors between different corporate class funds. Switches between corporate class funds occurring on or after January 1, 2017 are treated as a disposition at fair market value for tax purposes. Switches between different series within the same class are not affected. 21 Semi-Annual Report

22 Semi-Annual Reportport 22

23 23 Semi-Annual Report

24 Fidelity Capital Structure Corp nd Street S.W., Suite 820 Calgary, Alberta T2P 2Y3 Manager and Registrar Fidelity Investments Canada ULC 483 Bay Street, Suite 300 Toronto, Ontario M5G 2N7 Custodian State Street Trust Company of Canada Toronto, Ontario Auditor PricewaterhouseCoopers LLP Toronto, Ontario Visit us online at or call Fidelity Client Services at Fidelity s mutual funds are sold by registered Investment Professionals. Each Fund has a simplified prospectus, which contains important information on the Fund, including its investment objective, purchase options, and applicable charges. Please obtain a copy of the prospectus, read it carefully, and consult your Investment Professional before investing. As with any investment, there are risks to investing in mutual funds. There is no assurance that any Fund will achieve its investment objective, and its net asset value, yield, and investment return will fluctuate from time to time with market conditions. Investors may experience a gain or loss when they sell their securities in any Fidelity Fund. Fidelity Global Funds may be more volatile than other Fidelity Funds as they concentrate investments in one sector and in fewer issuers; no single Fund is intended to be a complete diversified investment program. Past performance is no assurance or indicator of future returns. There is no assurance that either Fidelity Canadian Money Market Fund or Fidelity U.S. Money Market Fund will be able to maintain its net asset value at a constant amount. The breakdown of Fund investments is presented to illustrate the way in which a Fund may invest, and may not be representative of a Fund s current or future investments. A Fund s investments may change at any time. Fidelity Investments is a registered trademark of Fidelity Investments Canada ULC E FICL-BALICNPP-CS-SANN-0717