How To Calculate Net Assets Of A Fund Of Funds (For A Portfolio)

Transcription

1 Fidelity International Disciplined Equity Currency Neutral Class of the Fidelity Capital Structure Corp. Semi-Annual Report May 31, 2016 Notice to Readers The accompanying interim financial statements have not been reviewed by the external auditor of the Class. The external auditor will be auditing the annual financial statements of the Class in accordance with Canadian generally accepted auditing standards.

2 Fidelity International Disciplined Equity Currency Neutral Class of the Fidelity Capital Structure Corp. Schedule of Investments May 31, 2016 (Unaudited) Showing Percentage of Net Assets Attributable to Holders of Redeemable Shares (Net Assets) Underlying Funds 101.9% Units (000s) Cost (000s) Market Value (000s) Fidelity International Disciplined Equity Fund Series O 672 $ 6,548 $ 6,692 TOTAL INVESTMENT PORTFOLIO 101.9% $6,548 6,692 NET OTHER ASSETS (LIABILITIES) (1.9)% (122) NET ASSETS 100% $ 6,570 Forward Foreign Currency Contracts (Amounts in thousands) Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) Contracts to Sell 77 AUD (Receivable amount $74) Jun $ 73 $ 1 98 AUD (Receivable amount $93) Jun AUD (Receivable amount $166) Jul CHF (Receivable amount $345) Jun (3) 25 CHF (Receivable amount $33) Jun CHF (Receivable amount $381) Jul (1) 941 DKK (Receivable amount $182) Jun (3) 61 DKK (Receivable amount $12) Jun ,002 DKK (Receivable amount $196) Jul (1) 688 EUR (Receivable amount $988) Jun ,004 (16) 688 EUR (Receivable amount $988) Jun ,004 (16) 16 EUR (Receivable amount $24) Jul EUR (Receivable amount $959) Jul (2) 658 EUR (Receivable amount $959) Jul (2) 291 GBP (Receivable amount $535) Jun (19) 12 GBP (Receivable amount $3) Jun (20) 279 GBP (Receivable amount $532) Jul GBP (Receivable amount $532) Jul HKD (Receivable amount $7) Jun (8) 1,092 HKD (Receivable amount $184) Jul ,249 JPY (Receivable amount $1,010) Jun ,022 (12) 1,182 JPY (Receivable amount $14) Jul (Amounts in thousands) Settlement Date Value (000 s) Appreciation/ (Depreciation) (000 s) 81,078 JPY (Receivable amount $957) Jul $ 961 $ (4) 13 NZD (Receivable amount $11) Jun NZD (Receivable amount $107) Jun (2) 135 NZD (Receivable amount $119) Jul (1) 1,391 SEK (Receivable amount $218) Jul (1) 142 SGD (Receivable amount $135) Jul USD (Receivable amount $155) Jun (7) 38 USD (Receivable amount $50) Jun USD (Receivable amount $155) Jun (7) 136 USD (Receivable amount $179) Jul USD (Receivable amount $179) Jul USD (Receivable amount $179) Jul TOTAL CONTRACTS TO SELL 10,783 (122) Contracts to Buy 176 AUD (Payable amount $166) Jun CHF (Payable amount $380) Jun ,002 DKK (Payable amount $197) Jun EUR (Payable amount $89) Jun (1) 658 EUR (Payable amount $958) Jun EUR (Payable amount $958) Jun GBP (Payable amount $44) Jun GBP (Payable amount $532) Jun (1) 89 HKD (Payable amount $15) Jun ,078 JPY (Payable amount $956) Jun ,171 JPY (Payable amount $61) Jun NZD (Payable amount $119) Jun SGD (Payable amount $3) Jun (3) 136 USD (Payable amount $179) Jun See accompanying notes which are an integral part of the financial statements. Semi-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 13 USD (Payable amount $24) Jun $ 17 $ (7) 136 USD (Payable amount $179) Jun TOTAL CONTRACTS TO BUY 4,860 0 TOTAL FORWARD FOREIGN CURRENCY CONTRACTS $ (122) The value of contracts to buy as a percentage of Net Assets is 74.0% The value of contracts to sell as a percentage of Net Assets is 164.1%. Currency Abbreviations AUD Australian dollar CHF Swiss franc DKK Danish krone EUR European Monetary Unit GBP British pound HKD Hong Kong dollar JPY Japanese yen NZD New Zealand dollar SEK Swedish krona SGD Singapore dollar USD U.S. dollar Investment Valuation The following is a summary of the inputs used, as of May 31, 2016 and November 30, 2015, 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 May 31, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Underlying Funds $6,692 $6,692 $ $ Total Investments in Securities: $6,692 $6,692 $ $ Derivative Instruments: Assets Forward Foreign Currency Contracts $ 15 $ $ 15 $ Total Assets $ 15 $ $ 15 $ Liabilities Forward Foreign Currency Contracts $ (137) $ $ (137) $ Total Liabilities $ (137) $ $ (137) $ Total Derivative Instruments: $ (122) $ $ (122) $ 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 $ $ See accompanying notes which are an integral part of the financial statements. 3 Semi-Annual Report

4 Fidelity International Disciplined Equity Currency Neutral Class of the Fidelity Capital Structure Corp. Schedule of Investments (Unaudited) continued Valuation Inputs at November 30, 2015: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Total Investments in Securities: $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. Semi-Annual Reportport 4

5 Financial Statements (Unaudited) Statements of Financial Position Amounts in thousands of Canadian Dollars /thousands of shares (except per share amounts) As at May 31, 2016 November 30, 2015 Assets (Note 3) Current assets Investments at fair value through profit or loss (Note 8) $ 6,692 $ 3,865 Receivable for investments sold 12 5 Unrealized appreciation on forward foreign currency contracts (Note 9) Receivable on sale of shares ,729 3,909 Liabilities (Note 3) Current liabilities Payable to custodian bank 4 Payable for investments purchased 6 1 Payable on redemption of shares 1 Distributions payable (Note 5) 1 1 Management fee payable (Note 4) 8 5 Other payables to affiliates (Note 4) 2 1 Unrealized depreciation on forward foreign currency contracts (Note 9) Other payables and accrued expenses (Note 4) Net assets attributable to holders of redeemable shares (Notes 3 and 6) $ 6,570 $ 3,874 Net assets attributable to holders of redeemable shares per Series and per share (Note 6) Series A: ($1,522 / 118 shares and $1,307 / 95 shares, respectively) $ $ Series B: ($1,594 / 123 shares and $1,748 / 126 shares, respectively) $ $ Series F: ($2,967 / 214 shares and $639 / 43 shares, respectively) $ $ Series T5: ($123 / 7 shares and $119 / 6 shares, respectively) $ $ Series T8: ($10 / 1 shares and $2 / shares, respectively) $ $ Series S5: ($10 / 1 shares and $11 / 1 shares, respectively) $ $ Series S8: ($36 / 2 shares and $48 / 3 shares, respectively) $ $ Series E1: ($20 / 2 shares and $ / shares, respectively) $ $ See accompanying notes which are an integral part of the financial statements. 5 Semi-Annual Report

6 Financial Statements (Unaudited) continued Statements of Financial Position continued Amounts in thousands of Canadian Dollars /thousands of shares (except per share amounts) As at May 31, 2016 November 30, 2015 Series E2: ($1 / shares and $ / shares, respectively) $ $ Series P1: ($287 / 30 shares and $- / shares, respectively) $ $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 6

7 Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per share amounts) For the six-month periods ended May 31, Investment income (Note 3) Interest $ $ Income distributions from the underlying funds Net gain (loss) on Investments Net realized gain (loss) on investments 4 47 Change in net unrealized appreciation (depreciation) on investments (315) 233 (311) 280 Net gain (loss) on Derivatives Net realized gain (loss) on derivatives 155 (17) Change in net unrealized appreciation (depreciation) on derivatives (131) (35) 24 (52) Total investment income (loss) (115) 326 Operating expenses (Note 4) Management fees Administration fees 10 5 Independent Review Committee fees Commissions and other portfolio costs Sales tax 7 6 Total operating expenses Expenses waived (Note 4) (2) (1) Net operating expenses Net increase (decrease) in net assets attributable to holders of redeemable shares from operations $ (169) $ 291 Other information: Increase (decrease) in net assets attributable to holders of redeemable shares from operations per Series (Note 3) Series A $ (72) $ 94 Series B $ (119) $ 162 Series F $ 49 $ 32 Series T5 $ (10) $ 1 Series T8 $ $ Series S5 $ (1) $ 1 Series S8 $ (3) $ 1 Series E1 $ 1 $ Series E2 $ $ Series P1 $ (14) $ Increase (decrease) in net assets attributable to holders of redeemable shares from operations per Series per share (Note 3) Series A $ (.6945) $ Series B $ (.9668) $ Series F $.2998 $ Series T5 $ (1.3302) $ Series T8 $ $ Series S5 $ (1.3379) $ Series S8 $ (1.2065) $ (.2859) Series E1 $ $ See accompanying notes which are an integral part of the financial statements. 7 Semi-Annual Report

8 Financial Statements (Unaudited) continued Statements of Comprehensive Income continued Amounts in thousands of Canadian Dollars (except per share amounts) For the six-month periods ended May 31, Series E2 $.6400 $ Series P1 $ (.5051) $ For certain Series the period shown is from the commencement of sale of shares 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. Semi-Annual Reportport 8

9 Statements of Changes in Net Assets Attributable to Holders of Redeemable Shares Amounts in thousands of Canadian Dollars For the six-month period ended May 31, 2016 Class Series A Series B Series F Series T5 Series T8 Net assets attributable to holders of redeemable shares, beginning of period $ 3,874 $ 1,307 $ 1,748 $ 639 $ 119 $ 2 Distributions to holders of redeemable shares (Note 5) Return of capital (5) (3) Redeemable share transactions (Note 6) Proceeds from sale of redeemable shares 4, , Reinvestment of distributions 1 1 Amounts paid upon redemption of redeemable shares (1,376) (224) (527) (617) (1) 2, (35) 2, Increase (decrease) in net assets attributable to holders of redeemable shares from operations (169) (72) (119) 49 (10) Net increase (decrease) in net assets attributable to holders of redeemable shares 2, (154) 2, Net assets attributable to holders of redeemable shares, end of period $ 6,570 $ 1,522 $ 1,594 $ 2,967 $ 123 $ 10 For certain Series the period shown is from the commencement of sale of shares to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the six-month period ended May 31, 2016 Series S5 Series S8 Series E1 Series E2 Series P1 Net assets attributable to holders of redeemable shares, beginning of period $ 11 $ 48 $ $ $ Distributions to holders of redeemable shares (Note 5) Return of capital (2) Redeemable share transactions (Note 6) Proceeds from sale of redeemable shares Amounts paid upon redemption of redeemable shares (7) (7) Increase (decrease) in net assets attributable to holders of redeemable shares from operations (1) (3) 1 (14) Net increase (decrease) in net assets attributable to holders of redeemable shares (1) (12) Net assets attributable to holders of redeemable shares, end of period $ 10 $ 36 $ 20 $ 1 $ 287 For certain Series the period shown is from the commencement of sale of shares to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the six-month period ended May 31, 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 (1) Redeemable share transactions (Note 6) Proceeds from sale of redeemable shares 1, Amounts paid upon redemption of redeemable shares (210) (95) (101) (14) 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 1, Net assets attributable to holders of redeemable shares, end of period $ 3,716 $ 1,136 $ 2,004 $ 516 $ 2 $ 2 See accompanying notes which are an integral part of the financial statements. 9 Semi-Annual Report

10 Financial Statements (Unaudited) continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Shares continued Amounts in thousands of Canadian Dollars For the six-month period ended May 31, 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 (1) Redeemable share transactions (Note 6) Proceeds from sale of redeemable shares Increase (decrease) in net assets attributable to holders of redeemable shares from operations 1 1 Net increase (decrease) in net assets attributable to holders of redeemable shares 1 53 Net assets attributable to holders of redeemable shares, end of period $ 2 $ 54 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 10

11 Statements of Cash Flows Amounts in thousands of Canadian Dollars For the six-month periods ended May 31, Cash, beginning of period $ $ Cash flows from (used in) operating activities: Purchases of investments and derivatives (3,742) (1,264) Proceeds from sale and maturity of investments and derivatives Cash receipts from other investment income Cash paid for operating expenses (50) (32) Net cash from (used in) operating activities (2,865) (957) Cash flows from (used in) financing activities: Distributions to holders of redeemable shares net of reinvestments (4) Proceeds from sales of shares 4,240 1,189 Amounts paid upon redemption of shares (1,375) (232) Amounts borrowed from (repaid to) custodian bank 4 Net cash from (used in) financing activities 2, Net change in cash Cash, end of period $ $ See accompanying notes which are an integral part of the financial statements. 11 Semi-Annual Report

12 Notes to Financial Statements (Unaudited) For the period ended May 31, 2016 (Unaudited) (Amounts in thousands of Canadian dollars except per share 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, 76 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 S5, Series S8, Series T5, Series T8, Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5, Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4 and Series P5. Each of these 76 classes is a separate reporting entity. The registered office of the Corporation is located at 407 2nd Street S.W., Suite 820, Calgary, Alberta, T2P 2Y3. Fidelity 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, Series S8, Series E1, Series E2 and Series P1 shares. The Class commenced the offering of Series E1 and Series E2 shares on February 5, 2016 and commenced the offering of Series P1 shares on December 4, 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). Series E1 and Series E2 shares are available only to investors who initially hold Series B and/or Series S5 shares and then become eligible to hold certain Series E shares. Series E1 and Series E2 shares have lower combined management and administration fees than Series B or Series S5 shares. Series P1 shares are available only to investors who initially hold Series F and/or Series F5 shares and then become eligible to hold certain Series P shares. Series P1 shares have lower combined management and administration fees than Series F shares. 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 and Underlying Fund s investment manager. The investment advisor is responsible for the investment management of the Class and Underlying Fund s portfolio. On December 31, 2015, the investment advisor changed from FIAM LLC (formerly Pyramis Global Advisors, LLC) to Fidelity. 2. Basis of Preparation Statement of Compliance - These interim financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB) and as applicable to the preparation of interim financial statements, including IAS 34 Interim Financial Reporting. The accounting policies set out below have been applied consistently unless otherwise stated. The policies applied in these interim financial statements are based on IFRS issued as of July 7, 2016, which is the date on which the interim financial statements were authorized for issue by the Corporation s board of directors. Any subsequent changes to IFRS that are given effect in the Class annual financial statements for the period ending November 30, 2016 could result in restatement of these interim financial statements. 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 and derivatives which are measured at fair value in the Statements of Financial Position. Use of Estimates and Judgments Under IFRS, management is required to make certain estimates and judgments at the date of the financial statements. The principal financial statement components subject to significant accounting estimates and judgments include: Fair value measurements The 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 Semi-Annual Reportport 12

13 of the financial instruments, and the impact could be material. The aggregate fair value of investments measured by valuation techniques as at May 31, 2016 and November 30, 2015, is included at the end of the Class Schedule of Investments. 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, excluding derivatives, are designated at their fair value through profit or loss in accordance with IAS 39 and are carried at their fair value. Derivatives are classified as held-for-trading in accordance with IAS 39 and are carried at fair value. The Class categorizes the inputs to valuation techniques used to fair value its investments and derivatives into a disclosure hierarchy consisting of three levels as shown below: Level 1 quoted prices in active markets for identical investments Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.) Level 3 unobservable inputs (including the 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. The aggregate value of investments by input level, as at May 31, 2016 and November 30, 2015, as well as a roll forward of Level 3 securities, where applicable, is included at the end of the Class Schedule of Investments. Valuation techniques used to value the Class investments and derivatives 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 May 31, 2016 and November 30, 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 13 Semi-Annual Report

14 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars except per share amounts) Corporation s liquidation. Therefore, in accordance with IAS 32, the Class redeemable shares do not meet the criteria for classification as equity 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 May 31, 2016 and November 30, 2015, 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. Interest income is accrued as earned. 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 May 31, 2016 Series A 104 Series B 125 Series F 158 Series T5 7 Series T8 Series S5 1 Series S8 3 Series E1 1 Series E2 Semi-Annual Reportport 14

15 Weighted Average Shares Series P1 26 Period ended May 31, 2015 Series A 65 Series B 110 Series F 20 Series T5 Series T8 Series S5 Series S8 1 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 Series B Series F Series T Series T Series S Series S Series E Series E Series P 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: 15 Semi-Annual Report

16 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars except per share amounts) Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series T Series T Series S Series S Series E Series E Series P Prior to March 28, 2016, 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 Series E Series E Series P 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. 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 Semi-Annual Reportport 16

17 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: Shares Outstanding, Beginning of Period Issued Reinvested Redeemed Shares Outstanding, End of Period Period ended May 31, 2016 Series A (18) 118 Series B (42) 123 Series F (45) 214 Series T Series T8 1 1 Series S5 1 1 Series S8 3 (1) 2 Series E1 2 2 Series E2 Series P Period ended May 31, 2015 Series A (7) 76 Series B (7) 133 Series F (1) 32 Series T5 Series T8 Series S5 Series S8 3 3 Affiliated Ownership - As at May 31, 2016 Fidelity and its affiliates held less than 1% of the outstanding shares of the Class. As at November 30, 2015, Fidelity and its affiliates held no 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. Fidelity seeks to minimize potential adverse effects of these performance risks by employing professional, experienced portfolio advisors, by 17 Semi-Annual Report

18 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars except per share amounts) daily monitoring of positions and market events, and by diversifying the investment portfolio within the constraints of the investment mandate. The Class and any Underlying Fund may use derivative financial instruments to moderate certain risk exposures. Risk, as defined by Fidelity, 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. Fidelity s objective is to provide consistent value-added return over the benchmark. Unsystematic risk is mitigated primarily through investments in a diverse portfolio of securities across many sectors, styles or regions of the market. Fidelity s qualitative fundamental security selection is also well diversified across many analysts. Rather than relying on a single valuation process or quantitative model that implicitly assumes that past value-added returns of some sectors or styles will persist into the future, Fidelity s analysts select securities based on their own unique valuation processes. The 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 Underlying Fund s benchmark is MSCI ACWI (All Country World Index) ex USA Index. 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 May 31, 2016 and November 30, Credit risk exposure for derivative instruments is based on the Class unrealized gain on the contractual obligations with the counterparty as at the reporting date.the Class restricts its exposure to credit losses on derivative instruments by limiting its exposure to any one counterparty and by entering into transactions with counterparties who meet the minimum approved credit rating under securities regulations and other pre-set financial and non- financial criteria. Other than outlined above, there were no significant concentrations of credit risk to counterparties as at May 31, 2016 and November 30, Concentration Risk - Fidelity 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 exposed to, through its investment in any Underlying Fund. Sector Mix % of Class Net Assets as at 5/31/16 % of Class Net Assets as at 11/30/15 Financials Consumer Discretionary Consumer Staples Industrials Health Care Information Technology Materials Energy Telecommunication Services Utilities Cash ans Short-Term Investments Exchange Traded Funds Semi-Annual Reportport 18

19 % of Class Net Assets as at 5/31/16 % of Class Net Assets as at 11/30/15 Net Other Assets (Liabilities) Derivative Exposure % of Class Net Assets as at 5/31/16 % of Class Net Assets as at 11/30/15 Forward Foreign Currency Contracts (1.9) 0.2 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 Net Assets as at 5/31/16 % of Class Net Assets as at 11/30/15 Japan United Kingdom Germany France Switzerland Belgium Austria Korea (South) Italy United States of America Bailiwick of Jersey Sweden Canada Denmark Hong Kong Netherlands Brazil Singapore New Zealand South Africa Australia Ireland Spain Others (Individually Less Than 1%) Cash and Short-Term Investments Net Other Assets (Liabilities) Fidelity 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 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 May 31, 2016 and November 30, 2015, the Class did not have financial liabilities with maturities greater than 3 months. 19 Semi-Annual Report