Fidelity International Disciplined Equity Currency Neutral Class of the Fidelity Capital Structure Corp.

Transcription

1 Fidelity International Disciplined Equity Currency Neutral Class of the Fidelity Capital Structure Corp. Annual Report November 30, 2015

2 Fidelity International Disciplined Equity Currency Neutral Class of the Fidelity Capital Structure Corp. Schedule of Investments November 30, 2015 Showing Percentage of Net Assets Attributable to Holders of Redeemable Shares (Net Assets) Underlying Funds 99.8% Units (000s) Cost (000s) Market Value (000s) Fidelity International Disciplined Equity Fund Series O 355 $ 3,406 $ 3,865 TOTAL INVESTMENT PORTFOLIO 99.8% $3,406 3,865 NET OTHER ASSETS (LIABILITIES) 0.2% 9 NET ASSETS 100% $ 3,874 Forward Foreign Currency Contracts Amounts in thousands Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) Contracts to Sell 13 AUD (Receivable amount $12) Dec $ 12 $ AUD (Receivable amount $163) Jan CHF (Receivable amount $29) Dec CHF (Receivable amount $219) Dec CHF (Receivable amount $243) Jan DKK (Receivable amount $38) Jan EUR (Receivable amount $45) Dec EUR (Receivable amount $369) Dec EUR (Receivable amount $382) Jan (1) 271 EUR (Receivable amount $382) Jan (1) 13 EUR (Receivable amount $18) Jan GBP (Receivable amount $39) Dec GBP (Receivable amount $243) Dec GBP (Receivable amount $260) Jan (1) 130 GBP (Receivable amount $260) Jan ,381 HKD (Receivable amount $233) Dec (5) 1,381 HKD (Receivable amount $237) Jan (1) 62 ILS (Receivable amount $21) Dec ILS (Receivable amount $21) Jan ,254 JPY (Receivable amount $46) Dec ,707 JPY (Receivable amount $613) Jan (3) 100 NOK (Receivable amount $15) Jan Amounts in thousands Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) 72 SEK (Receivable amount $11) Dec $ 11 $ SEK (Receivable amount $110) Jan SGD (Receivable amount $6) Dec SGD (Receivable amount $25) Dec (1) 33 SGD (Receivable amount $32) Jan USD (Receivable amount $12) Dec (2) 11 USD (Receivable amount $12) Dec (2) 89 USD (Receivable amount $117) Dec (2) 78 USD (Receivable amount $104) Jan (1) 78 USD (Receivable amount $104) Jan (1) 78 USD (Receivable amount $105) Jan TOTAL CONTRACTS TO SELL $ 4,532 $ (5) Contracts to Buy 13 AUD (Payable amount $17) Dec (5) 187 CHF (Payable amount $241) Dec DKK (Payable amount $1) Dec EUR (Payable amount $12) Dec EUR (Payable amount $382) Dec GBP (Payable amount $18) Dec GBP (Payable amount $261) Dec ,381 HKD (Payable amount $237) Dec ILS (Payable amount $21) Dec ,254 JPY (Payable amount $44) Dec NOK (Payable amount $0) Dec SEK (Payable amount $10) Dec SGD (Payable amount $32) Dec SGD (Payable amount $6) Jan See accompanying notes which are an integral part of the financial statements. Annual Reportport 2

3 Forward Foreign Currency Contracts continued Amounts in thousands Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) Contracts to Buy continued 32 USD (Payable amount $43) Dec $ 43 $ 0 78 USD (Payable amount $105) Dec TOTAL CONTRACTS TO BUY $ 1,442 $ 14 TOTAL FORWARD FOREIGN CURRENCY CONTRACTS $ 9 The value of contracts to buy as a percentage of Net Assets is 37.3% The value of contracts to sell as a percentage of Net Assets is 117.0%. Currency Abbreviations AUD Australian dollar CHF Swiss franc DKK Danish krone EUR European Monetary Unit GBP British pound HKD Hong Kong dollar ILS Israeli Shekel JPY Japanese yen NOK Norwegian krone NZD New Zealand dollar SEK Swedish krona SGD Singapore dollar USD United States dollar Investment Valuation The following is a summary of the inputs used, as of November 30, 2015, November 30, 2014 and December 1, 2013 involving the Class 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 November 30, 2015: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Underlying Funds $3,865 $3,865 $ $ Derivative Instruments: Assets Forward Foreign Currency Contracts $ 35 $ $ 35 $ Total Assets $ 35 $ $ 35 $ Liabilities Forward Foreign Currency Contracts $ (26) $ $ (26) $ Total Liabilities $ (26) $ $ (26) $ Total Derivative Instruments: $ 9 $ $ 9 $ See accompanying notes which are an integral part of the financial statements. 3 Annual Report

4 Fidelity International Disciplined Equity Currency Neutral Class of the Fidelity Capital Structure Corp. Schedule of Investments continued Valuation Inputs at November 30, 2014: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Underlying Funds $2,434 $2,434 $ $ Derivative Instruments: Assets: Forward Foreign Currency Contracts $ 21 $ $ 21 $ Total Assets $ 21 $ $ 21 $ Liabilities: Forward Foreign Currency Contracts $ (12) $ $ (12) $ Total Liabilities $ (12) $ $ (12) $ Total Derivative Instruments: $ 9 $ $ 9 $ Valuation Inputs at December 1, 2013: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Underlying Funds $2,408 $2,408 $ $ Derivative Instruments: Assets: Forward Foreign Currency Contracts $ 11 $ $ 11 $ Total Assets $ 11 $ $ 11 $ Liabilities: Forward Foreign Currency Contracts $ (30) $ $ (30) $ Total Liabilities $ (30) $ $ (30) $ Total Derivative Instruments: $ (19) $ $ (19) $ See accompanying notes which are an integral part of the financial statements. Annual Reportport 4

5 Financial Statements Statements of Financial Position Amounts in thousands of Canadian Dollars /thousands of shares (except per share amounts) As at Assets (Note 3) November 30, 2015 November 30, 2014 (Note 8) December 1, 2013 (Note 8) Current assets Investments at fair value through profit or loss (Note 9) $ 3,865 $ 2,434 $ 2,408 Cash 5 Receivable for investments sold Unrealized appreciation on forward foreign currency contracts (Note 10) Receivable on sale of shares ,909 2,488 2,434 Liabilities (Note 3) Current liabilities Payable for investments purchased 1 6 Payable on redemption of shares 22 8 Distributions payable (Note 5) 1 Management fee payable (Note 4) Other payables to affiliates (Note 4) Unrealized depreciation on forward foreign currency contracts (Note 10) Other payables and accrued expenses (Note 4) Net assets attributable to holders of redeemable shares (Notes 3 and 6) $ 3,874 $ 2,443 $ 2,392 Net assets attributable to holders of redeemable shares per Series and per share (Note 6) Series A: ($1,307 / 95 shares, $828 / 61 shares and $722 / 57 shares, respectively) $ $ $ Series B: ($1,748 / 126 shares, $1,407 / 104 shares and $1,491 / 118 shares, respectively) $ $ $ Series F: ($639 / 43 shares, $203 / 14 shares and $174 / 13 shares, respectively) $ $ $ Series T5: ($119 / 6 shares, $1 / shares and $1 / shares, respectively) $ $ $ Series T8: ($2 / shares, $2 / shares and $2 / shares, respectively) $ $ $ Series S5: ($11 / 1 shares, $1 / shares and $1 / shares, respectively) $ $ $ Series S8: ($48 / 3 shares, $1 / shares and $1 / shares, respectively) $ $ $ See accompanying notes which are an integral part of the financial statements. 5 Annual Report

6 Financial Statements continued Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per share amounts) For the periods ended November 30, Investment income (Note 3) (Note 8) Income distributions from the underlying funds $ 98 $ 76 Net gain (loss) on Investments Net realized gain (loss) on investments Change in net unrealized appreciation (depreciation) on investments Net gain (loss) on Derivatives Net realized gain (loss) on derivatives (206) (19) Change in net unrealized appreciation (depreciation) on derivatives 28 (206) 9 Total investment income (loss) Operating expenses (Note 4) Management fees Administration fees 12 9 Independent Review Committee fees Commissions and other portfolio costs Sales tax 10 8 Total operating expenses Expenses waived (Note 4) (1) Net operating expenses Net increase (decrease) in net assets attributable to holders of redeemable shares from operations $ (25) $ 172 Other information: Increase (decrease) in net assets attributable to holders of redeemable shares from operations per Series (Note 3) Series A $ 1 $ 50 Series B $ 1 $ 106 Series F $ (24) $ 16 Series T5 $ $ Series T8 $ $ Series S5 $ $ Series S8 $ (3) $ Increase (decrease) in net assets attributable to holders of redeemable shares from operations per Series per share (Note 3) Series A $.0213 $.8709 Series B $.0261 $.9142 Series F $ (.7622) $ Series T5 $ (1.4032) $ Series T8 $.3474 $ Series S5 $ (2.9020) $ Series S8 $ (2.5228) $ See accompanying notes which are an integral part of the financial statements. Annual Reportport 6

7 Statements of Changes in Net Assets Attributable to Holders of Redeemable Shares Amounts in thousands of Canadian Dollars For the period ended November 30, 2015 Class Series A Series B Series F Series T5 Series T8 Net assets attributable to holders of redeemable shares, beginning of period $ 2,443 $ 828 $ 1,407 $ 203 $ 1 $ 2 Distributions to holders of redeemable shares (Note 5) Return of capital (4) (1) (4) (1) Redeemable share transactions (Note 6) Proceeds from sale of redeemable shares 2, Amounts paid upon redemption of redeemable shares (754) (155) (483) (116) 1, Increase (decrease) in net assets attributable to holders of redeemable shares from operations (25) 1 1 (24) Net increase (decrease) in net assets attributable to holders of redeemable shares 1, Net assets attributable to holders of redeemable shares, end of period $ 3,874 $ 1,307 $ 1,748 $ 639 $ 119 $ 2 Amounts in thousands of Canadian Dollars For the period ended November 30, 2015 Series S5 Series S8 Net assets attributable to holders of redeemable shares, beginning of period $ 1 $ 1 Distributions to holders of redeemable shares (Note 5) Return of capital (3) (3) Redeemable share transactions (Note 6) Proceeds from sale of redeemable shares Increase (decrease) in net assets attributable to holders of redeemable shares from operations (3) Net increase (decrease) in net assets attributable to holders of redeemable shares Net assets attributable to holders of redeemable shares, end of period $ 11 $ 48 Amounts in thousands of Canadian Dollars For the period ended November 30, 2014 (Note 8) Class Series A Series B Series F Series T5 Series T8 Net assets attributable to holders of redeemable shares, beginning of period $ 2,392 $ 722 $ 1,491 $ 174 $ 1 $ 2 Redeemable share transactions (Note 6) Proceeds from sale of redeemable shares Amounts paid upon redemption of redeemable shares (826) (229) (500) (87) (121) 56 (190) 13 Increase (decrease) in net assets attributable to holders of redeemable shares from operations Net increase (decrease) in net assets attributable to holders of redeemable shares (84) 29 Net assets attributable to holders of redeemable shares, end of period $ 2,443 $ 828 $ 1,407 $ 203 $ 1 $ 2 See accompanying notes which are an integral part of the financial statements. 7 Annual Report

8 Financial Statements continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Shares continued Amounts in thousands of Canadian Dollars For the period ended November 30, 2014 (Note 8) Series S5 Series S8 Net assets attributable to holders of redeemable shares, beginning of period $ 1 $ 1 Redeemable share transactions (Note 6) Proceeds from sale of redeemable shares 10 Amounts paid upon redemption of redeemable shares (10) Increase (decrease) in net assets attributable to holders of redeemable shares from operations Increase (decrease) in net assets attributable to holders of redeemable shares Net assets attributable to holders of redeemable shares, end of period $ 1 $ 1 See accompanying notes which are an integral part of the financial statements. Annual Reportport 8

9 Statements of Cash Flows Amounts in thousands of Canadian Dollars For the periods ended November 30, Cash, beginning of period $ $ 5 Cash flows from (used in) operating activities: Purchases of investments and derivatives (2,204) (676) Proceeds from sale and maturity of investments and derivatives Cash receipts from other investment income Cash paid for operating expenses (74) (60) Net cash from (used in) operating activities (1,446) 117 Cash flows from (used in) financing activities: Distributions to holders of redeemable shares net of reinvestments (3) Proceeds from sales of shares 2, Amounts paid upon redemption of shares (776) (812) Net cash from (used in) financing activities 1,446 (122) Net change in cash (5) Cash, end of period $ $ See accompanying notes which are an integral part of the financial statements. 9 Annual Report

10 Notes to Financial Statements For the periods ended November 30, 2015 and 2014 (Amounts in thousands of Canadian dollars except per unit 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 shares and 300 classes of redeemable mutual fund special shares. Currently, 77 classes of the redeemable mutual fund special shares are available in Series A, Series B, Series F, Series F5, Series F8, Series I, Series I5, Series I8, Series P1, Series P2, Series P3, Series P4, Series P5, Series P1T5, Series P2T5, Series S5, Series S8, Series T5 and Series T8. Each of these 77 classes is a separate reporting entity. The registered office of the Corporation is located at nd Street S.W., Suite 820, Calgary, Alberta, T2P 2Y3. Fidelity International Disciplined Equity Currency Neutral Class of the Fidelity Capital Structure Corp. (Class) is a class of the Corporation and invests substantially all of its assets in Fidelity International Disciplined Equity Fund Series O (Underlying Fund). The Class offers Series A, Series B, Series F, Series T5, Series T8, Series S5 and Series S8 shares. Series A, Series T5 and Series T8 shares are available to all investors in a deferred sales charge (DSC) option and will be converted to lower management fee Series B, Series S5 and Series S8 shares one year after completion of their redemption schedule. Series T5 and Series T8 shares have substantially all the same attributes as the Series A shares with the exception that Series T5 and Series T8 shares distribute an amount comprised of net income and/or return of capital monthly, if available. Series B, Series S5 and Series S8 shares are available to all investors in an initial sales charge (ISC) option.. Series S5 and Series S8 shares have substantially all the same attributes as the Series B shares with the exception that Series S5 and Series S8 shares distribute an amount comprised of net income and/or return of capital monthly, if available. Series F shares are usually only available to investors who have fee based accounts with dealers who have signed an eligibility agreement with Fidelity Investments Canada ULC (Fidelity). The Class meets the definition of an investment entity and its purpose is to provide investment management services to its shareholders 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 Class investment objective. Fidelity is the Class investment manager. FIAM LLC (FIAM) (formerly Pyramis Global Advisors, LLC), an affiliate of Fidelity, is the investment adviser of the Underlying Fund. Effective December 31, 2015, the investment adviser of the Underlying Fund was changed from FIAM to Fidelity. There were no changes to the sub-advisers of the Underlying Fund. 2. 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) including IFRS 1- First-time Adoption of International Financial Reporting Standards. The Class adopted this basis of accounting in 2015 with an effective date of December 1, 2013 (transition date), as required by Canadian securities legislation and the Canadian Accounting Standards Board. Previously, the Class prepared its financial statements in accordance with Canadian Generally Accepted Accounting Principles (Canadian GAAP) as defined under Part V of the Chartered Professional Accountants (CPA) Canada Handbook. Refer to the IFRS Transition note below for further discussion on the impact of adopting IFRS. The accounting policies set out below have been applied consistently in the preparation of its opening IFRS statement of financial position and throughout all periods presented as if these policies had always been in effect, unless otherwise stated. The financial statements were authorized for issue by the Corporation s board of directors on February 9, Functional and Presentation Currency These financial statements are presented in Canadian dollars, which is the Class 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 Class 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. 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 November 30, 2015, November 30, 2014 and December 1, 2013, is included at the end of the Class Schedule of Investments. Annual Reportport 10

11 Classification and measurement of financial instruments The Class 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 Class on a fair value basis. Presentation of financial instruments The Class shares 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 Class outstanding redeemable shares 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 Class has made significant judgments when determining the nature of its relationship with any 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 Class ability to control or significantly influence any Underlying Fund. In both determinations, the Class looks at the relevant activities of any Underlying Fund such as voting rights, participation in policy choices and material cash flows such as subscription and redemption proceeds. The Class has determined that it does not have the ability to control nor exercise significant influence on any Underlying Fund due to the Class inability to exercise its voting rights and direct or participate in the financial and operating policy decisions of any Underlying Fund. Investment and Derivative Valuation Investments 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 Class 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 Class 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. Valuation techniques used to value the Class investments by major category are as follows: 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. Investment in any Underlying Fund is valued at its closing net asset value per unit (NAVPU) each business day and is categorized as Level 1 in the hierarchy. Cash Cash is comprised of cash on deposit and may include cash equivalents which are short-term debt instruments with terms to maturity of less than 90 days at acquisition which are held for the purpose of meeting short-term cash commitments. Foreign currencies are comprised of cash amounts denominated in currencies other than Canadian dollars, which are on deposit with the custodian to facilitate the settlement of foreign denominated security transactions. Cash is carried at amortized cost which approximates its fair value. The Class did not hold any cash equivalents as at November 30, 2015, November 30, 2014 and December 1, Impairment of Financial Assets At each reporting date, the Class assesses whether there is objective evidence that a financial asset carried at amortized cost is impaired. If such impairment exists, the Class 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, share 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 shares issued by the Class The Class redeemable shares 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 Class redeemable shares do not meet the criteria for classification as equity 11 Annual Report

12 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars except per unit amounts) and have been classified as financial liabilities on the Statements of Financial Position. The Class obligation for net assets attributable to holders of redeemable shares is recorded at the redemption amount. As at November 30, 2015, November 30, 2014 and December 1, 2013, the Class net asset value per Series per share may differ by less than $0.01 from its net assets attributable to holders of redeemable shares per Series per share 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. Income from investments is recognized on an accrual basis. Distributions from any Underlying Fund, if any, are recognized on the ex-dividend date by the Class in the same form that they were distributed. 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 Class 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. Forward Foreign Currency Contracts The Class may use forward foreign currency contracts to manage its currency exposure in any Underlying Fund. Contracts to sell generally are used to mitigate the risk of the Class 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 Class 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 Class 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. Valuation of Series Separate net assets attributable to holders of redeemable shares is calculated for each Series of shares in the Class. The net assets attributable to holders of redeemable shares of a Series is computed by calculating the Series proportionate share of the assets and liabilities of the Class common to all Series, adjusted for the assets and liabilities of the Class 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 shares of each Series, except for items that can be specifically attributed to one or more Series. Per Share from Operations - The increase (decrease) in net assets attributable to holders of redeemable shares resulting from operations per share in the Statements of Comprehensive Income represent the increase (decrease) in net assets attributable to holders of redeemable shares resulting from operations for each Series of the Class, divided by the weighted average shares outstanding for each Series of the Class during the period as follows: Weighted Average Shares Period ended November 30, 2015 Series A 76 Series B 118 Series F 31 Series T5 1 Series T8 Series S5 Series S8 2 Period ended November 30, 2014 Series A 57 Series B 117 Annual Reportport 12

13 Weighted Average Shares Series F 15 Series T5 Series T8 Series S5 Series S8 Statements of Cash Flows When preparing the Statements of Cash Flows, the Class 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 Class 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 Class 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 Fee Fidelity serves as manager of the Class. The Class pays Fidelity a monthly management fee for its services and the provision of key management personnel to the Class, based on the net asset value of each Series, calculated daily and payable monthly. To avoid duplication of fees, Series O units of any 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 A 2.00 Series B 1.85 Series F 0.85 Series T Series T Series S Series S Administration Fee - Fidelity charges the Class a fixed administration fee in place of certain variable expenses and the provision of key management personnel to the Class. Fidelity, in turn, pays all of the operating expenses of the Class, other than certain specified class costs, including the fees and expenses of the Independent Review Committee (IRC), taxes, brokerage commissions and interest charges. The administration fee is in addition to the management fee. To avoid duplication of fees, Series O units of any Underlying Fund are not subject to the Administration fee. The annual rate of the administration fee will fall under one of three tiers, depending on the net asset value of the Class: Under $100 Million (Tier 1), $100 Million to $1 Billion (Tier 2) and Over $1 Billion (Tier 3). The administration fee is calculated as a fixed annual percentage, accrued daily and payable monthly, of the net asset value of each Series as follows: Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series T Series T Series S Series S Annual Report

14 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars except per unit amounts) Prior to March 27, 2015, the administration fee was calculated as a fixed annual percentage of the net asset value of each Series as follows: Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series T Series T Series S Series S Independent Review Committee Fees The 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 classes 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 HST liability or refund is calculated using the residency of shareholders and the value of their interests in the Class as at specific times, rather than the physical location of the Class. The effective GST/HST rate charged to each Series of the Class is based on the shareholders 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. Expenses Waived Fidelity may absorb or waive certain expenses at its sole discretion. Fidelity can terminate the absorption or waiver at any time. Effective November 1, 2014, the manager of the Class waived a portion of its administration fee. The expenses absorbed or waived during the periods are disclosed as Expenses waived in the Statements of Comprehensive Income, if applicable. 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 Class 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. 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 class may be applied against income or taxable income attributable to any series of a class. As at the last taxation year-end, the Corporation had no capital losses and no non-capital losses available to be carried forward for up to 20 tax years. 6. Capital Risk Management Shares issued and outstanding are considered to be the capital of the Class. The capital of each series of the Class is divided into an unlimited number of shares of equal value, with no par value. All shares in a series of the Class rank equally with respect to distributions. A shareholder of the Class is entitled to one vote for each one dollar in value of shares owned. Fractional shares are proportionately entitled to these rights. The Class generally has no restrictions or specific capital requirements on the subscriptions and redemptions of shares other than minimum subscription requirements; although, on rare occasions, Fidelity may temporarily suspend shareholders right to redeem shares and postpone paying sale proceeds. The relevant movements attributable to shareholders are shown in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Shares. In accordance with the objectives and the risk management policies outlined in the Financial Instruments Risk notes, the Class 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 Class ability to borrow up to 5% of its net asset value. Share Transactions - Share transactions for each Series were as follows: Annual Reportport 14

15 Shares Outstanding, Beginning of Period Issued Reinvested Redeemed Shares Outstanding, End of Period Period ended November 30, 2015 Series A (11) 95 Series B (34) 126 Series F (8) 43 Series T5 6 6 Series T8 Series S5 1 1 Series S8 3 3 Period ended November 30, 2014 Series A (18) 61 Series B (38) 104 Series F 13 7 (6) 14 Series T5 Series T8 Series S5 1 (1) Series S8 Affiliated Ownership - As at November 30, 2015, November 30, 2014 and December 1, 2013, Fidelity and its affiliates held less than 1% of the outstanding shares of the Class. 7. Financial Instruments Risk The Class activities expose it to a variety of financial instruments risks: credit risk, liquidity risk, other price risk, interest rate risk and currency risk. FIAM 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. Risk, as defined by FIAM, is the mismatch of certain risk factors, such as the market capitalization, beta, common factors such as size, priceearnings ratio, price-to-book ratio and industry exposures, between a portfolio and its benchmark. Such mismatches may result in divergence of returns relative to the benchmark. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. A beta of 1 indicates that the security s price will move with the market. A beta of less than 1 means that the security will be less volatile than the market. A beta of greater than 1 indicates that the security s price will be more volatile than the market. For example, if a stock s beta is 1.2, it s theoretically 20% more volatile than the market. FIAM 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. FIAM 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, FIAM s analysts select securities based on their own unique valuation processes. The Class aims to achieve long-term capital growth and seeks a similar return to its Underlying Fund, Fidelity International Disciplined Equity Fund, by investing substantially all of its assets in units of the Underlying Fund. The Class benchmark is the MSCI ACWI (All Country World Index) ex USA Index-Hedged CAD. The Class uses derivatives to try to minimize the exposure to currency fluctuations between foreign currencies in developed markets (such as the Euro or the Yen) and the Canadian dollar. The Class may also hedge against other foreign currencies. The Underlying Fund aims to achieve long-term capital growth by investing primarily in equity securities of companies located outside of the United States. 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 Class. The Class own credit risk in the case of financial liabilities and a counterparty s credit risk in the case of financial assets are considered, where applicable, in determining the fair value of financial assets and financial liabilities, including derivative instruments. The Class may be exposed to indirect credit risk through its investments in any Underlying Fund. In addition, as part of its cash management, the Class 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 November 30, 2015, November 30, 2014 and December 1, Annual Report

16 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars except per unit amounts) Other than outlined above, there were no significant concentrations of credit risk to counterparties as at November 30, 2015, November 30, 2014 and December 1, Concentration Risk - FIAM analyzes credit concentration based on the counterparty, industry and/or geographical location of the financial assets that the Class holds. The following tables summarize the investment concentration risks that are relevant for the Class based on its investment objective, which it is indirectly exposed to, in part, through its investment in any Underlying Fund. Sector Mix % of Class at 11/30/15 % of Class at 11/30/14 % of Class at 12/1/13 Financials Consumer Discretionary Consumer Staples Health Care Industrials Energy Information Technology Telecommunication Services Materials Exchange Traded Funds Utilities Cash and Short-Term Investments Net Other Assets (Liabilities) (1.5) Derivative Exposure % of Class at 11/30/15 % of Class at 11/30/14 % of Class at 12/1/13 Forward Foreign Currency Contracts (0.8) Forward Foreign Currency Contracts percentage is calculated by dividing the net unrealized gain/loss of all contracts held by total net assets. Geographic Mix % of Class at 11/30/15 % of Class at 11/30/14 % of Class at 12/1/13 Japan United Kingdom France Switzerland Canada Germany United States of America Australia Korea (South) Sweden Cayman Islands Taiwan China Hong Kong Italy India Netherlands Spain Brazil South Africa Bailiwick of Jersey Belgium Annual Reportport 16

17 % of Class at 11/30/15 % of Class at 11/30/14 % of Class at 12/1/13 Denmark Israel Others (Individually Less Than 1%) Cash and Short-Term Investments Net Other Assets (Liabilities) (1.5) FIAM regularly monitors the relative weights of individual securities, sectors, countries, and also monitors the market capitalization and trading liquidity of each holding. Liquidity Risk - Liquidity risk is defined as the risk that the Class may not be able to settle or meet its obligations on time or at a reasonable price. The Class is exposed to daily cash redemptions of redeemable shares. Redeemable shares are redeemed on demand at the shareholder s option based on the Class net asset value per share (NAVPS) at the time of redemption. 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 Class 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 Class and any Underlying Fund may, from time to time, invest in securities that are not traded in an active market and may be illiquid. Private and/or restricted securities held, if any, are identified in the Fund s and any Underlying Fund s Schedule of Investments as at their respective period ends. The liquidity position of the Class and any Underlying Fund is monitored on a daily basis. As at November 30, 2015, November 30, 2014 and December 1, 2013, the Class did not have financial liabilities with maturities greater than 3 months. Other Price Risk - Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk on monetary instruments), whether caused by factors specific to an individual investment, its issuer, or other factors affecting all instruments traded in a market or market segment. All securities present a risk of loss of capital. The Class and any Underlying Fund moderates 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. The Class and any Underlying Fund s investments are susceptible to other price risk arising from uncertainties about future prices of the instruments. The Class may be exposed to indirect other price risk through its investments in any Underlying Fund. If the benchmark had increased or decreased by 5% on November 30, 2015, November 30, 2014 and December 1, 2013, with all other variables held constant, the net assets attributable to holders of redeemable shares of the Class would have increased or decreased by approximately $185 (November 30, 2014: $123 and December 1, 2013: $124). This change is estimated using the Class beta which is calculated based on the historical correlation between the return of the Class as compared to the return of the benchmark. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. Interest Rate Risk - Interest rate risk arises on interest-bearing financial instruments held in the investment portfolio such as bonds. The Class and any Underlying Fund is exposed to the risk that the fair value or the future cash flows of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. Any excess cash and cash equivalents are invested in short-term investments at market interest rates. The majority of the Class and any Underlying Fund s financial assets and liabilities are non-interest bearing. As a result, the Class is not subject to significant amounts of risk due to fluctuations in the prevailing levels of market interest rates. Currency Risk - Currency risk arises from financial instruments that are denominated in a currency other than Canadian dollar, which is the Class and any Underlying Fund s functional currency. The Class and any Underlying Fund is exposed to the risk that the 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 Class considers the foreign exchange exposure relating to non-monetary assets and liabilities to be a component of other price risk, not foreign currency risk. As a result, the Class is not subject to significant amounts of risk due to fluctuations in exchange rates. The Class may be exposed to indirect currency risk through its investments in any Underlying Fund. Generally, the use of forward contracts to hedge as completely as possible currency fluctuations between developed market currencies and the Canadian dollar will not result in the impact of currency fluctuations being eliminated altogether. The Class returns will differ from the local currency returns of any Underlying Fund investments. Furthermore, during times of extreme market stress or volatility, the Class may not be able to prevent losses from exposure to foreign currency. 17 Annual Report