Fidelity Tactical High Income Fund

Transcription

1 Fidelity Tactical High Income Fund Annual Report March 31, 2016

2 Fidelity Tactical High Income Fund Schedule of Investments March 31, 2016 Showing Percentage of Net Assets Attributable to Holders of Redeemable Units (Net Assets) Equities 32.6% Shares Cost Market Value Canada 1.4% CONSUMER STAPLES 1.2% Cott Corp. 157,600 $ 2,281 $ 2,845 ENERGY 0.2% Suncor Energy, Inc. 11, TOTAL CANADA 2,698 3,261 Ireland 0.7% HEALTH CARE 0.7% Allergan PLC 5.50% 1,320 1,810 1,576 Israel 1.0% HEALTH CARE 1.0% Teva Pharmaceutical Industries Ltd. 7% 1,950 2,451 2,239 Marshall Islands 2.1% ENERGY 2.1% Scorpio Tankers, Inc. 633,900 6,554 4,800 Netherlands 0.1% INDUSTRIALS 0.1% PostNL NV 55, Switzerland 0.1% FINANCIALS 0.1% Chubb Ltd. 2, United Kingdom 0.3% ENERGY 0.1% Ensco PLC Class A 17, HEALTH CARE 0.2% GlaxoSmithKline PLC 12, TOTAL UNITED KINGDOM United States of America 26.9% CONSUMER DISCRETIONARY 0.5% General Motors Co. 9, Stage Stores, Inc. 30, Target Corp. 3, TOTAL CONSUMER DISCRETIONARY 1,227 1,080 CONSUMER STAPLES 2.4% B&G Foods, Inc. Class A 108,200 5,071 4,892 Procter & Gamble Co. 3, The Coca Cola Co. 5, TOTAL CONSUMER STAPLES 5,654 5,560 ENERGY 0.8% Chevron Corp. 3, Kinder Morgan, Inc. Series A 9.75% 16,500 1, The Williams Companies, Inc. 21, TOTAL ENERGY 2,214 1,800 FINANCIALS 5.8% Ares Capital Corp. 17, Shares Cost Market Value First Niagara Financial Group, Inc. 26,900 $ 320 $ 338 GMAC Capital Trust I Series 2, 8.125% 112,205 3,680 3,572 Regions Financial Corp. 28, State Street Corp. 4, Wells Fargo & Co. 7.50% 2,830 4,606 4,429 Weyerhaeuser Co. Series A, 6.375% 57,900 3,591 3,844 TOTAL FINANCIALS 13,232 13,125 HEALTH CARE 3.1% AbbVie, Inc. 3, Anthem, Inc. 5.25% 29,000 1,788 1,759 Johnson & Johnson 35,600 4,677 5,003 TOTAL HEALTH CARE 6,754 7,044 INDUSTRIALS 0.3% Emerson Electric Co. 5, United Parcel Service, Inc. Class B 2, TOTAL INDUSTRIALS INFORMATION TECHNOLOGY 7.2% Apple, Inc. 50,235 7,118 7,112 Cisco Systems, Inc. 10, First Data Corp. Class A 21, IBM Corp. 23,865 4,524 4,694 Paychex, Inc. 5, Yahoo!, Inc. 72,600 3,149 3,471 TOTAL INFORMATION TECHNOLOGY 15,712 16,413 MATERIALS 0.7% Alcoa, Inc. Series 1, 5.375% 36,200 1,550 1,551 TELECOMMUNICATION SERVICES 2.2% AT&T, Inc. 89,000 4,037 4,528 Verizon Communications, Inc. 5, TOTAL TELECOMMUNICATION SERVICES 4,334 4,894 UTILITIES 3.9% CenterPoint Energy, Inc. 2.00% ZENS 68,300 5,780 5,599 Dynegy, Inc % 37,200 2,174 2,585 Exelon Corp. 8, Southern Co. 5, TOTAL UTILITIES 8,592 8,924 TOTAL UNITED STATES OF AMERICA 59,971 61,156 TOTAL EQUITIES 74,951 74,199 See accompanying notes which are an integral part of the financial statements. Annual Reportport 2

3 Bonds 59.8% Principal Amount Cost Market Value Domestic Bonds 2.4% Air Canada 7.75% 4/15/21 2,750 USD $ 3,794 $ 3,518 BlackBerry Ltd. 6% 11/13/20 (Reg. S) 990 USD 1,390 1,375 Garda World Security Corp. 7.25% 11/15/ USD TOTAL DOMESTIC BONDS 5,783 5,528 Foreign Bonds 57.4% 21st Century Fox America, Inc. 7.75% 12/1/45 75 USD ADT Corp. 6.25% 10/15/21 3,815 USD 5,078 4,980 Albertson s LLC Tranche B 3LN, term loan 5.125% 8/25/19 (a) 2,359 USD 3,159 3,060 Altice SA 7.75% 5/15/22 2,590 USD 3,300 3,310 AMAG Pharmaceuticals, Inc % 9/1/23 1,210 USD 1,421 1,387 Antero Resources Finance Corp % 11/1/ USD 1,130 1,141 APX Group, Inc % 12/1/19 2,825 USD 3,490 3,680 Ardagh Finance Holdings SA 8.625% 6/15/19 pay in kind (a) 1,338 USD 1,656 1,633 Argentine Republic 7% 4/17/17 2,360 USD 2,956 3,093 Argos Merger Sub, Inc % 3/15/23 1,435 USD 1,865 1,981 Avis Budget Car Rental LLC/ Avis Budget Finance, Inc % 4/1/24 1,810 USD 2,427 2,353 Blue Coat Systems, Inc % 6/1/ USD 1,166 1,151 Brazilian Federative Republic: 4.25% 1/7/25 2,450 USD 2,889 2,919 5% 1/27/45 1,300 USD 1,292 1,351 Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: 4.464% 7/23/22 9 USD % 7/23/25 25 USD % 10/23/45 12 USD Chesapeake Energy Corp % 2/15/ USD Chicago Gen. Oblig % 1/1/44 40 USD Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (a) 1,332 USD 1,754 1,683 Constellation Brands, Inc. 4.25% 5/1/ USD Corestates Capital III % 2/15/27 (a) 1,895 USD 2,220 1,981 See accompanying notes which are an integral part of the financial statements. Principal Amount Cost Market Value DCP Midstream LLC 5.35% 3/15/ USD $ 187 $ 168 Dolphin Subsidiary II, Inc. 7.25% 10/15/ USD Dynegy, Inc.: 7.375% 11/1/22 2,250 USD 2,772 2, % 11/1/ USD Ensco PLC: 5.2% 3/15/25 4 USD % 10/1/44 4 USD 5 3 Equity One, Inc. 3.75% 11/15/ USD FirstEnergy Corp % 11/15/ USD GE Capital Commercial Mortgage Corp. sequential payer Series 2007 C1 Class A4, 5.543% 12/10/ USD Goldman Sachs Group, Inc.: 5.15% 5/22/45 50 USD % 10/1/ USD Greenwich Capital Commercial Funding Corp. Series 2006 GG7 Class A4, % 7/10/38 (a) 46 USD HCA Holdings, Inc.: 3.75% 3/15/19 17 USD % 10/15/19 1,245 USD 1,558 1, % 2/15/20 35 USD Hertz Corp. 6.25% 10/15/22 1,075 USD 1,449 1,396 Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp % 10/15/21 2,040 USD 2,898 2,745 ILFC E Capital Trust I 4.24% 12/21/65 (a) 3,855 USD 4,719 4,055 Illinois Gen. Oblig.: Series 2003, 5.1% 6/1/33 75 USD Series 2011, 5.877% 3/1/19 5 USD 6 7 JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 5.75% 6/15/25 2,000 USD 2,467 2,273 JC Penney Corp., Inc % 10/1/19 2,650 USD 3,509 3,536 JLL/Delta Dutch Newco BV 7.5% 2/1/22 1,225 USD 1,609 1,583 JPMorgan Chase Capital XIII % 9/30/34 (a) 2,415 USD 2,682 2,470 JPMorgan Mortgage Trust Series 2005 A3 Class 6A3, % 6/25/35 (a) 247 USD Landry s Holdings II, Inc % 1/1/18 2,715 USD 3,458 3,508 3 Annual Report

4 Fidelity Tactical High Income Fund Schedule of Investments continued Bonds continued Principal Amount Cost Market Value Foreign Bonds continued Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (a) 1,743 USD $ 1,895 $ 1,947 Lazard Group LLC 4.25% 11/14/20 50 USD Liberty Media Corp. 3.5% 1/15/31 4,080 USD 2,724 2,807 Liberty Property LP 4.75% 10/1/ USD Merrill Lynch Mortgage Investors Trust Series 2004 A4 Class A3, % 8/25/34 (a) 223 USD MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay in kind (a) 2,880 USD 3,623 3,722 Micron Technology, Inc. 5.5% 2/1/25 2,310 USD 2,482 2,432 Morgan Stanley: 4.875% 11/1/ USD % 11/24/25 50 USD Neptune Finco Corp % 1/15/23 2,285 USD 3,125 3,175 Omega Healthcare Investors, Inc. 4.5% 4/1/27 91 USD Petrobras International Finance Co. Ltd. 5.75% 1/20/20 90 USD Petroleos Mexicanos: 3.5% 7/23/20 5 USD % 1/23/26 23 USD % 6/27/ USD % 1/23/46 3,087 USD 3,318 3,369 PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (a) 2,006 USD 2,744 2,593 Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 8.5% 5/15/18 (a) 2,685 USD 3,617 3,487 Royal Bank of Scotland Group PLC 6% 12/19/ USD Sabine Pass Liquefaction LLC 5.625% 3/1/25 2,440 USD 3,026 3,022 Sprint Communications, Inc.: 7% 3/1/ USD % 3/1/20 (Reg. S) 60 USD SunTrust Capital III % 3/15/28 (a) 2,735 USD 3,024 2,708 T Mobile U.S.A., Inc. 6.5% 1/15/24 2,265 USD 3,061 3,059 Tenet Healthcare Corp. 5% 3/1/19 2,565 USD 3,345 3,294 The Williams Companies, Inc. 5.75% 6/24/44 80 USD Time Warner Cable, Inc.: 5.875% 11/15/ USD Principal Amount Cost Market Value 6.55% 5/1/ USD $ 925 $ 980 TiVo, Inc. 2% 10/1/21 1,000 USD 1,230 1,209 Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 3,045 USD 3,990 3,658 TransDigm, Inc. 6.5% 5/15/ USD 1,155 1,124 Twitter, Inc. 1% 9/15/21 3,515 USD 4,002 3,823 U.S. Treasury Bonds: 2.5% 2/15/46 2,400 USD 3,080 3,040 3% 5/15/ USD % 11/15/ USD U.S. Treasury Inflation Indexed Bonds 1.375% 2/15/44 46 USD U.S. Treasury Inflation Indexed Notes: 0.125% 7/15/ USD % 1/15/25 50 USD U.S. Treasury Notes: 0.875% 8/15/17 1,100 USD 1,202 1, % 10/15/ USD % 5/15/18 1,239 USD 1,501 1, % 1/15/ USD % 6/30/ USD % 12/31/ USD % 8/15/ USD Vector Group Ltd. 7.75% 2/15/21 2,005 USD 2,703 2,734 VeriSign, Inc. 5.25% 4/1/25 1,165 USD 1,557 1,524 Verizon Communications, Inc.: 5.012% 8/21/54 84 USD % 9/15/ USD Wachovia Bank Commercial Mortgage Trust sequential payer Series 2007 C33 Class A4, % 2/15/51 (a) 94 USD Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 2,440 USD 3,215 2,820 Williams Partners LP 3.35% 8/15/ USD TOTAL FOREIGN BONDS 132, ,381 TOTAL BONDS 138, ,909 Preferred Securities 6.6% United States of America 6.6% FINANCIALS 5.0% BAC Capital Trust XIV 4% (a)(b) 1,220 USD 1,300 1,157 Goldman Sachs Capital II 4% (a)(b) 1,547 USD 1,480 1,445 See accompanying notes which are an integral part of the financial statements. Annual Reportport 4

5 Preferred Securities continued Principal Amount Cost Market Value United States of America continued FINANCIALS continued JPMorgan Chase & Co.: 6.75% (a)(b) 1,200 USD $ 1,673 $ 1, % (a)(b) 1,635 USD 2,291 2,198 USB Capital IX 3.5% (a)(b) 1,820 USD 1,801 1,767 Wells Fargo & Co. 7.98% (a)(b) 2,325 USD 3,314 3,136 11,859 11,432 INDUSTRIALS 1.6% General Electric Co. 5% (a)(b) 2,628 USD 3,746 3,551 TOTAL UNITED STATES OF AMERICA 15,605 14,983 TOTAL PREFERRED SECURITIES 15,605 14,983 Short-Term Investments 0.1% Canada 0.1% Investments in reverse repurchase agreements in a joint trading account at 0.46%, dated 3/31/16 due 4/1/16 (Collateralized by Canadian Government Obligations) # TOTAL INVESTMENT PORTFOLIO 99.1% $228, ,329 NET OTHER ASSETS (LIABILITIES) 0.9% 1,972 NET ASSETS 100% $227,301 Currency Abbreviations USD U.S. dollar Presentation Notes Cost amount includes broker commissions and other trading expenses, if any. Principal Amount is stated in Canadian dollars unless otherwise noted. Legend (a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. (b) Security is perpetual in nature with no stated maturity date. Investment Valuation The following is a summary of the inputs used, as of March 31, 2016 and March 31, 2015, involving the Fund s assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. Valuation Inputs at March 31, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equities: See accompanying notes which are an integral part of the financial statements. 5 Annual Report

6 Fidelity Tactical High Income Fund Schedule of Investments continued Valuation Inputs at March 31, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Consumer Discretionary $ 1,080 $ 1,080 $ $ Consumer Staples 8,405 8,405 Energy 7,249 7,249 Financials 13,441 13,441 Health Care 11,182 10, Industrials 1,060 1,060 Information Technology 16,413 16,413 Materials 1,551 1,551 Telecommunication Services 4,894 4,894 Utilities 8,924 3,325 5,599 Bonds 135, ,909 Preferred Securities 14,983 14,983 Short-Term Investments Total Investments in Securities: $225,329 $68,277 $157,052 $ Valuation Inputs at March 31, 2015: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equities: Consumer Discretionary $ 15,657 $15,337 $ 320 $ Consumer Staples 2,938 2,938 Energy 7,978 7,978 Financials 13,489 12, Health Care 5,274 4, Industrials 7,508 7,508 Information Technology 20,581 20,581 Materials 1,666 1,666 Telecommunication Services 4,295 4,295 Utilities 5,317 3,002 2,315 Bonds 105, ,461 Preferred Securities Short-Term Investments 1,904 1,904 Total Investments in Securities: $192,988 $80,909 $112,079 $ Other Information # Additional information on each counterparty to the reverse repurchase agreement is as follows: Reverse Repurchase Agreement / Counterparty Value $238,000 due 4/01/16 at 0.46% Bank of Montreal $ 47 Royal Bank of Canada 47 Scotia Capital, Inc. 82 The Toronto-Dominion Bank 62 $ 238 See accompanying notes which are an integral part of the financial statements. Annual Reportport 6

7 Financial Statements Statements of Financial Position Amounts in thousands of Canadian Dollars /thousands of units (except per unit amounts) As at March 31, 2016 March 31, 2015 Assets (Note 3) Current assets Investments at fair value through profit or loss $ 225,329 $ 192,988 Cash 1,312 4,396 Receivable for investments sold 3, Other receivables 1 Accrued interest and dividends receivable 2,331 1,525 Receivable on sale of units 394 1, , ,573 Liabilities (Note 3) Current liabilities Payable for investments purchased 4,181 3,595 Payable on redemption of units Distributions payable (Note 5) Management and advisory fees payable (Note 4) Other payables to affiliates (Note 4) Other payables and accrued expenses (Notes 4 and 5) ,260 3,974 Net assets attributable to holders of redeemable units (Notes 3 and 6) $ 227,301 $ 196,599 Net assets attributable to holders of redeemable units per Series and per unit (Note 6) Series A: ($37,318 / 3,420 units and $37,257 / 3,192 units, respectively) $ $ Series B: ($57,218 / 5,242 units and $66,205 / 5,669 units, respectively) $ $ Series F: ($37,349 / 3,422 units and $49,471 / 4,235 units, respectively) $ $ Series F5: ($2,181 / 103 units and $4,544 / 199 units, respectively) $ $ Series F8: ($1,015 / 51 units and $875 / 39 units, respectively) $ $ Series O: ($63,870 / 5,852 units and $26,038 / 2,229 units, respectively) $ $ Series T5: ($3,120 / 151 units and $3,135 / 139 units, respectively) $ $ Series T8: ($3,574 / 183 units and $3,639 / 165 units, respectively) $ $ Series S5: ($3,518 / 169 units and $4,281 / 189 units, respectively) $ $ See accompanying notes which are an integral part of the financial statements. 7 Annual Report

8 Financial Statements continued Statements of Financial Position continued Amounts in thousands of Canadian Dollars /thousands of units (except per unit amounts) As at March 31, 2016 March 31, 2015 Series S8: ($2,684 / 137 units and $1,154 / 52 units, respectively) $ $ Series E1: ($8,269 / 844 units and $- / units, respectively) $ $ Series E1T5: ($458 / 23 units and $- / units, respectively) $ $ Series E2: ($563 / 57 units and $- / units, respectively) $ $ Series E3: ($78 / 8 units and $- / units, respectively) $ $ Series E4: ($35 / 4 units and $- / units, respectively) $ $ Series P1: ($4,139 / 456 units and $- / units, respectively) $ $ Series P1T5: ($251 / 14 units and $- / units, respectively) $ $ Series P2: ($1,420 / 157 units and $- / units, respectively) $ $ Series P2T5: ($90 / 5 units and $- / units, respectively) $ $ Series P3: ($1 / units and $- / units, respectively) $ $ Series P4: ($149 / 16 units and $- / units, respectively) $ $ Series P5: ($1 / units and $- / units, respectively) $ $ See accompanying notes which are an integral part of the financial statements. Annual Reportport 8

9 Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per unit amounts) For the period ended March 31, 2016 and for the period May 15, 2014 (inception date) to March 31, Investment income (Note 3) Interest $ 6,791 $ 1,955 Dividends 5,340 1,453 Net gain (loss) on Investments Net realized gain (loss) on investments 14,976 7,757 Change in net unrealized appreciation (depreciation) on investments (19,975) 16,645 (4,999) 24,402 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 (146) Total investment income (loss) 7,868 28,329 Operating expenses (Note 4) Management and advisory fees 2,622 1,316 Administration fees Independent Review Committee fees Commissions and other portfolio costs Sales tax Foreign taxes withheld (Note 5) Total operating expenses 4,201 1,933 Expenses waived (Note 4) (22) (22) Net operating expenses 4,179 1,911 Net increase (decrease) in net assets attributable to holders of redeemable units from operations $ 3,689 $ 26,418 Other information: Increase (decrease) in net assets attributable to holders of redeemable units from operations per Series (Note 3) Series A $ 558 $ 4,851 Series B $ 1,029 $ 9,032 Series F $ 735 $ 6,584 Series F5 $ 5 $ 503 Series F8 $ 43 $ 91 Series O $ 1,198 $ 3,747 Series T5 $ 24 $ 401 Series T8 $ 64 $ 490 Series S5 $ 61 $ 628 Series S8 $ 25 $ 91 Series E1 $ 83 $ Series E1T5 $ 2 $ Series E2 $ 5 $ Series E3 $ $ Series E4 $ 1 $ Series P1 $ (110) $ Series P1T5 $ (11) $ Series P2 $ (18) $ Series P2T5 $ (5) $ Series P3 $ $ Series P4 $ $ See accompanying notes which are an integral part of the financial statements. 9 Annual Report

10 Financial Statements continued Statements of Comprehensive Income continued Amounts in thousands of Canadian Dollars (except per unit amounts) For the period ended March 31, 2016 and for the period May 15, 2014 (inception date) to March 31, Series P5 $ $ Increase (decrease) in net assets attributable to holders of redeemable units from operations per Series per unit (Note 3) Series A $.1563 $ Series B $.1688 $ Series F $.1970 $ Series F5 $.0232 $ Series F8 $.8066 $ Series O $.3520 $ Series T5 $.1646 $ Series T8 $.3424 $ Series S5 $.3489 $ Series S8 $.2554 $ Series E1 $.1107 $ Series E1T5 $.1863 $ Series E2 $.1176 $ Series E3 $.0933 $ Series E4 $.0088 $ Series P1 $ (.3005) $ Series P1T5 $ (.8582) $ Series P2 $ (.1988) $ Series P2T5 $ (1.3980) $ Series P3 $ (.2952) $ Series P4 $.0276 $ Series P5 $ (.2952) $ For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. Annual Reportport 10

11 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 Fund Series A Series B Series F Series F5 Series F8 Net assets attributable to holders of redeemable units, beginning of period $ 196,599 $ 37,257 $ 66,205 $ 49,471 $ 4,544 $ 875 Distributions to holders of redeemable units (Note 5) From net investment income (7,226) (1,067) (1,945) (1,638) (112) (46) From net realized gain (12,936) (2,489) (4,156) (2,299) (193) (85) Return of capital (524) (34) (46) Management fee reduction (36) (10) (25) (1) (20,722) (3,556) (6,111) (3,962) (340) (177) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 162,822 17,923 39,424 26,508 3, Reinvestment of distributions 17,923 3,151 5,478 3, Amounts paid upon redemption of redeemable units (133,010) (18,015) (48,807) (38,492) (5,740) (554) 47,735 3,059 (3,905) (8,895) (2,028) 274 Increase (decrease) in net assets attributable to holders of redeemable units from operations 3, , Net increase (decrease) in net assets attributable to holders of redeemable units 30, (8,987) (12,122) (2,363) 140 Net assets attributable to holders of redeemable units, end of period $ 227,301 $ 37,318 $ 57,218 $ 37,349 $ 2,181 $ 1,015 For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 Series O Series T5 Series T8 Series S5 Series S8 Net assets attributable to holders of redeemable units, beginning of period $ 26,038 $ 3,135 $ 3,639 $ 4,281 $ 1,154 Distributions to holders of redeemable units (Note 5) From net investment income (1,953) (80) (101) (110) (58) From net realized gain (2,725) (184) (243) (219) (119) Return of capital (66) (206) (70) (100) (4,678) (330) (550) (399) (277) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 46, ,542 1,328 2,120 Reinvestment of distributions 4, Amounts paid upon redemption of redeemable units (10,185) (862) (1,393) (1,997) (545) 41, (425) 1,782 Increase (decrease) in net assets attributable to holders of redeemable units from operations 1, Net increase (decrease) in net assets attributable to holders of redeemable units 37,832 (15) (65) (763) 1,530 Net assets attributable to holders of redeemable units, end of period $ 63,870 $ 3,120 $ 3,574 $ 3,518 $ 2,684 For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. 11 Annual Report

12 Financial Statements continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Units continued Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 Series E1 Series E1T5 Series E2 Series E3 Series E4 Net assets attributable to holders of redeemable units, beginning of period $ $ $ $ $ Distributions to holders of redeemable units (Note 5) From net investment income (48) (2) (3) (10) Return of capital (1) (48) (3) (3) (10) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 9, ,223 Reinvestment of distributions Amounts paid upon redemption of redeemable units (1,666) (1) (136) (3,189) 8, Increase (decrease) in net assets attributable to holders of redeemable units from operations Net increase (decrease) in net assets attributable to holders of redeemable units 8, Net assets attributable to holders of redeemable units, end of period $ 8,269 $ 458 $ 563 $ 78 $ 35 For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 Series P1 Series P1T5 Series P2 Series P2T5 Series P3 Net assets attributable to holders of redeemable units, beginning of period $ $ $ $ $ Distributions to holders of redeemable units (Note 5) From net investment income (38) (2) (11) (1) From net realized gain (186) (6) (32) Return of capital (1) (224) (9) (43) (1) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 5, , Reinvestment of distributions Amounts paid upon redemption of redeemable units (1,419) (9) 4, , Increase (decrease) in net assets attributable to holders of redeemable units from operations (110) (11) (18) (5) Net increase (decrease) in net assets attributable to holders of redeemable units 4, , Net assets attributable to holders of redeemable units, end of period $ 4,139 $ 251 $ 1,420 $ 90 $ 1 For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. Annual Reportport 12

13 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units continued Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 Series P4 Series P5 Net assets attributable to holders of redeemable units, beginning of period $ $ Distributions to holders of redeemable units (Note 5) From net investment income (1) (1) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units Reinvestment of distributions Increase (decrease) in net assets attributable to holders of redeemable units from operations Net increase (decrease) in net assets attributable to holders of redeemable units Net assets attributable to holders of redeemable units, end of period $ 149 $ 1 For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the period May 15, 2014 (inception date) to March 31, 2015 Fund Series A Series B Series F Series F5 Series F8 Net assets attributable to holders of redeemable units, beginning of period $ $ $ $ $ $ Distributions to holders of redeemable units (Note 5) From net investment income (1,843) (199) (445) (603) (45) (9) From net realized gain (1,655) (289) (572) (403) (33) (6) Return of capital (414) (53) (23) Management fee reduction (25) (3) (21) (1) (3,937) (488) (1,020) (1,027) (132) (38) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 234,418 55,915 83,645 48,694 4,521 1,012 Reinvestment of distributions 3, Amounts paid upon redemption of redeemable units (63,488) (23,451) (26,338) (5,649) (453) (202) 174,118 32,894 58,193 43,914 4, Increase (decrease) in net assets attributable to holders of redeemable unitsfrom operations 26,418 4,851 9,032 6, Net increase (decrease) in net assets attributable to holders of redeemable units 196,599 37,257 66,205 49,471 4, Net assets attributable to holders of redeemable units, end of period $ 196,599 $ 37,257 $ 66,205 $ 49,471 $ 4,544 $ 875 For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. 13 Annual Report

14 Financial Statements continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Units continued Amounts in thousands of Canadian Dollars For the period May 15, 2014 (inception date) to March 31, 2015 Series O Series T5 Series T8 Series S5 Series S8 Net assets attributable to holders of redeemable units, beginning of period $ $ $ $ $ Distributions to holders of redeemable units (Note 5) From net investment income (467) (16) (20) (33) (6) From net realized gain (256) (25) (28) (39) (4) Return of capital (64) (139) (102) (33) (723) (105) (187) (174) (43) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 27,901 3,082 3,674 4,397 1,577 Reinvestment of distributions Amounts paid upon redemption of redeemable units (5,610) (287) (380) (637) (481) 23,014 2,839 3,336 3,827 1,106 Increase (decrease) in net assets attributable to holders of redeemable units from operations 3, Net increase (decrease) in net assets attributable to holders of redeemable units 26,038 3,135 3,639 4,281 1,154 Net assets attributable to holders of redeemable units, end of period $ 26,038 $ 3,135 $ 3,639 $ 4,281 $ 1,154 For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. Annual Reportport 14

15 Statements of Cash Flows Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 and for the period May 15, 2014 (inception date) to March 31, Cash, beginning of period $ 4,396 $ Cash flows from (used in) operating activities: Purchases of investments (538,870) (371,739) Proceeds from sale and maturity of investments 500, ,089 Cash receipts from dividend income 4,717 1,313 Cash receipts from interest income 5,880 1,164 Cash paid for operating expenses (3,459) (1,652) Net cash from (used in) operating activities (31,442) (164,825) Cash flows from (used in) financing activities: Distributions to holders of redeemable units net of reinvestments (2,755) (661) Proceeds from sales of units 163, ,323 Amounts paid upon redemption of units (132,392) (63,454) Net cash from (used in) financing activities 28, ,208 Net change in cash (3,069) 4,383 Foreign exchange gain (loss) on cash (15) 13 Cash, end of period $ 1,312 $ 4,396 See accompanying notes which are an integral part of the financial statements. 15 Annual Report

16 Notes to Financial Statements For the periods ended March 31, 2016 and 2015 (Amounts in thousands of Canadian dollars except per unit amounts) 1. Formation of the Fund Fidelity Tactical High Income Fund (Fund) is an open end mutual fund trust formed under the laws of Ontario and governed by a Master Declaration of Trust dated May 15, 2014 (Inception Date), as amended thereafter from time to time. The Fund is authorized to issue an unlimited number of units. Fidelity Investments Canada ULC (Fidelity), as manager and trustee of the Fund, is responsible for the day-to-day operations and provides all general management and administrative services. The investment advisor is responsible for the investment management of the Fund s portfolio. On December 31, 2015, the investment advisor changed from FIAM LLC (formerly Pyramis Global Advisors, LLC) to Fidelity. The registered office of the Fund is located at 483 Bay Street, Suite 300, Toronto, Ontario, M5G 2N7. The Fund offers Series A, Series B, Series F, Series F5, Series F8, Series O, Series T5, Series T8, Series S5, Series S8, Series E1, Series E1T5, Series E2, Series E3, Series E4, Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P4 and Series P5 units. The Fund commenced the offering of Series E1, Series E1T5, Series E2, Series E3 and Series E4 units on February 5, The Fund commenced the offering of Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P4 and Series P5 units on December 4, Series A, Series T5 and Series T8 units are available to all investors in a deferred sales charge (DSC) option and will be converted to lower management and advisory fee Series B, Series S5 and Series S8 units, respectively, one year after completion of their redemption schedule. Series T5 and Series T8 units have substantially all the same attributes as the Series A units with the exception that Series T5 and Series T8 units distribute an amount comprised of net income and/or return of capital monthly, if available. Series B, Series S5 and Series S8 units are available to all investors in an initial sales charge (ISC) option. Series S5 and Series S8 units have substantially all the same attributes as the Series B units with the exception that Series S5 and Series S8 units distribute an amount comprised of net income and/or return of capital monthly, if available. Series F, Series F5 and Series F8 units are usually only available to investors who have fee based accounts with dealers who have signed an eligibility agreement with Fidelity. Series F5 and Series F8 units have substantially all the same attributes as the Series F units with the exception that Series F5 and Series F8 units distribute an amount comprised of net income and/or return of capital monthly, if available. Series E1, Series E1T5, Series E2, Series E3 and Series E4 units are available only to investors who initially hold Series B and/or Series S5 units and then become eligible to hold Series E units. Series E1, Series E2, Series E3 and Series E4 units have lower combined management and administration fees than Series B or Series S5 units. Series E1T5 has the same attributes as the other Series E units with the exception that Series E1T5 distributes an amount comprised of net income and/or return of capital monthly, if available. Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P4 and Series P5 units are available only to investors who initially hold Series F and/or Series F5 units and then become eligible to hold certain Series P units. Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P4 and Series P5 units have lower combined management and administration fees than Series F and Series F5 units. Series P1T5 and Series P2T5 have the same attributes as the other Series P units with the exception that Series P1T5 and Series P2T5 distribute an amount comprised of net income and/or return of capital monthly, if available. Series O units are only available to selected investors who have been approved by Fidelity and have entered into a Series O Account Agreement with Fidelity. The Fund meets the definition of an investment entity and its purpose is to provide investment management services to its unitholders by investing its net assets for capital growth and/or investment income and by measuring its investment performance on a fair value basis. Refer to the Financial Instruments Risk note below for the Fund s investment objective. The Fund commenced operations on May 28, Basis of Preparation Statement of Compliance These financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB).The accounting policies set out below have been applied consistently unless otherwise stated. The financial statements were authorized for issue by Fidelity s board of directors on June 7, Functional and Presentation Currency These financial statements are presented in Canadian dollars, which is the Fund s functional currency. 3. Summary of Significant Accounting Policies Basis of Measurement These financial statements have been prepared on the historical cost basis except for investments which are measured at fair value in the Statements of Financial Position. Use of Estimates and Judgments Under IFRS, management is required to make certain estimates and judgments at the date of the financial statements. The principal financial statement components subject to significant accounting estimates and judgments include: Fair value measurements The Fund may invest in financial instruments that are not quoted in an active market. Where applicable, these instruments are categorized in Level 2 and Level 3 of the fair value hierarchy explained below. When current market prices or quotations are not readily available or reliable, valuation techniques will be applied in good faith and in accordance with procedures adopted by the manager. Factors used in determining fair value may include, but are not limited to, broker quotes from reputable pricing sources, market or security Annual Reportport 16

17 specific events. 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 March 31, 2016 and March 31, 2015, is included at the end of the Fund s Schedule of Investments. The Fund invests a significant portion of its assets in below investment grade securities held directly or indirectly, as applicable. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions. 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 has made significant judgments when determining the classification of its redeemable units as financial liabilities in accordance with IAS 32 Financial Instruments Presentation (IAS 32). These judgments centre upon the determination that the Fund s redeemable units do not have identical features and their entitlements include a contractual obligation to distribute any net income and net realized capital gains at least annually in cash (at the request of the unitholder). Therefore, the ongoing redemption feature is not the units only contractual obligation. Investment Valuation Investments are designated at their fair value through profit or loss in accordance with IAS 39 and are carried at their fair value. The Fund categorizes the inputs to valuation techniques used to fair value its investments into a disclosure hierarchy consisting of three levels as shown below: Level 1 quoted prices in active markets for identical investments Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.) Level 3 unobservable inputs (including the Fund s own assumptions based on the best information available) Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. There were no significant transfers between Level 1 and Level 2 during the periods. The aggregate value of investments by input level, as at March 31, 2016 and March 31, 2015, as well as a roll forward of Level 3 securities, where applicable, is included at the end of the Fund s Schedule of Investments. Valuation techniques used to value the Fund s investments by major category are as follows: Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last 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. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy. Debt securities, including restricted securities, are valued based on prices received from independent pricing services or from dealers who make markets in such securities. Pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type, prepayment speed assumptions, attributes of the collateral as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy, but may be categorized as Level 3. 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. 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 March 31, 2016 and March 31, Annual Report

18 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars except per unit amounts) 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, unit 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 shortterm nature. Classification of redeemable units issued by the Fund In accordance with IAS 32, the Fund s redeemable units entitlements include a contractual obligation to distribute any net income and net realized capital gains at least annually in cash (at the request of the unitholder) and, therefore, the ongoing redemption feature is not the units only contractual obligation. In addition, each series of redeemable units are equally subordinated to each other, but have differing features as outlined in the notes below. Therefore, the Fund s redeemable units do not meet the criteria for classification as equity and have been classified as financial liabilities on the Statements of Financial Position. The Fund s obligation for net assets attributable to holders of redeemable units is recorded at the redemption amount. As at March 31, 2016 and March 31, 2015, the Fund s net asset value per Series per unit may differ by less than $0.01 from its net assets attributable to holders of redeemable units per Series per unit calculated in accordance with IFRS as a result of normal reporting period end procedures to close off the books and records. Investment Transactions, Income Recognition and Transaction Costs Regular way purchases and sales of financial assets are recognized at their trade date. The cost of investments is determined on an average cost basis, excluding commissions and other portfolio transaction costs. However, for presentation purposes, the Schedule of Investments includes broker commissions and other trading expenses. Income from investments is recognized on an accrual basis. Interest income is accrued as earned and includes coupon interest and accretion of discount and amortization of premium on debt securities using the effective interest rate. This is the rate that exactly discounts the estimated future cash receipts through the expected life of the relevant debt securities, to their net carrying amounts. Dividend income is recognized on the ex dividend date except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Distributions received from investment trusts are recorded as income, capital gains or a return of capital based on the best information available to the manager. 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. Net realized gains and losses from the sale of investments and change in net unrealized appreciation (depreciation) on investments are calculated with reference to average cost of the related investment securities which exclude transaction costs and may include proceeds received from litigation. Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities by the Fund are recognized as Commissions and other portfolio costs in the Statements of Comprehensive Income. Foreign taxes are estimated based on the Fund s understanding of the tax rules and actual rates that exist in the foreign markets in which it invests. Investment income is recorded gross of foreign taxes withheld. 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: March 31, 2016 Collateral Description Interest Rate Maturity Date % of Collateral Collateral Value as a % of CAD Cash Invested Canadian Treasury Bond 0.25% 5.75% 06/01/ /01/ % 100.0% 102.1% Annual Reportport 18

19 March 31, 2015 Collateral Description Interest Rate Maturity Date % of Collateral Collateral Value as a % of CAD Cash Invested Canada Housing Trust 1.47% 03/15/ % Canadian Treasury Bond 3.00% 8.00% 06/01/ /01/ % Canadian Treasury Bill n/a 05/21/ /02/ % 100.0% 102.2% March 31, 2015 Collateral Description Interest Rate Maturity Date % of Collateral Collateral Value as a % of USD Cash Invested U.S Treasury Note 0.08% 4.75% 04/15/ /15/ % U.S. Treasury Bond 3.00% 8.13% 05/15/ /15/ % U.S Treasury Bill n/a 05/07/ /04/ % 100.0% 102.1% Valuation of Series Separate net assets attributable to holders of redeemable units is calculated for each Series of units in the Fund. The net assets attributable to holders of redeemable units of a Series is computed by calculating the Series proportionate share of the assets and liabilities of the Fund common to all Series, adjusted for the assets and liabilities of the Fund attributable only to that Series. Expenses directly attributable to a Series are charged to that Series. Investment income and operating expenses are allocated proportionately to each Series based upon the relative net assets attributable to holders of redeemable units of each Series, except for items that can be specifically attributed to one or more Series. Per Unit from Operations - The increase (decrease) in net assets attributable to holders of redeemable units resulting from operations per unit in the Statements of Comprehensive Income represent the increase (decrease) in net assets attributable to holders of redeemable units resulting from operations for each Series of the Fund, divided by the weighted average units outstanding for each Series of the Fund during the period as follows: Weighted Average Units Period ended March 31, 2016 Series A 3,573 Series B 6,092 Series F 3,729 Series F5 145 Series F8 55 Series O 3,403 Series T5 143 Series T8 186 Series S5 177 Series S8 92 Series E1 747 Series E1T5 11 Series E2 42 Series E3 7 Series E4 65 Series P1 363 Series P1T5 11 Series P2 87 Series P2T5 4 Series P3 Series P4 6 Series P5 19 Annual Report

20 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars except per unit amounts) Weighted Average Units Period ended March 31, 2015 Series A 2,099 Series B 4,087 Series F 3,028 Series F5 103 Series F8 21 Series O 1,577 Series T5 86 Series T8 108 Series S5 152 Series S8 26 Statements of Cash Flows When preparing the Statements of Cash Flows, the Fund nets the rollover activity of its short-term investments, and includes only the net cash flow impact in Purchases of investments or Proceeds from sale and maturity of investments, as applicable. Additionally, in accordance with IFRS, the Fund s Statements of Cash Flows excludes non-cash transactions from its operating and financing activities. Recent Accounting Pronouncements The final version of IFRS 9, Financial Instruments, was issued by the IASB in July 2014 and will replace IAS 39 Financial Instruments: Recognition and Measurement. IFRS 9 introduces a model for classification and measurement, a single, forward-looking expected loss impairment model and a substantially reformed approach to hedge accounting. The new single, principle based approach for determining the classification of financial assets is driven by cash flow characteristics and the business model in which an asset is held. The new model also results in a single impairment model being applied to all financial instruments, which will require more timely recognition of expected credit losses. It also includes changes in respect of an entity s own credit risk in measuring liabilities elected to be measured at fair value, so that gains caused by the deterioration of an entity s own credit risk on such liabilities are no longer recognised in profit or loss. IFRS 9 is effective for annual periods beginning on or after January 1, 2018, however is available for early adoption. In addition, the entity s own credit risk changes can be early applied in isolation without otherwise changing the accounting for financial instruments. The Fund is in the process of assessing the impact of IFRS 9 and has not yet determined when it will adopt the new standard. 4. Expenses and Other Related Party Transactions Management and Advisory Fees Fidelity serves as the manager and investment advisor of the Fund. Fidelity has entered into sub-advisory agreements with Fidelity Investments Money Management, Inc. and FMR Co., Inc., affiliates of Fidelity, to provide investment advice with respect to all or a portion of the investments The Fund pays Fidelity a monthly management and advisory fee for their services and the provision of key management personnel to the Fund, based on the net asset value of each Series, calculated daily and payable monthly. Fidelity may reduce the management and advisory fee or fund expenses for certain investors by reducing the management and advisory fee it charges to the Fund or reducing the amount charged to the Fund for certain expenses and having the Fund pay out the amount of the reduction to the investors as a distribution. These distributions are disclosed as Management fee reduction in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. No management and advisory fees are charged with respect to the Series O units, but investors will be charged a negotiated management fee. The annual management and advisory fee rates for each Series were as follows: Annual Reportport 20