Fidelity Institutional Funds. Annual Report and Financial Statements

Transcription

1 Fidelity Institutional Funds Annual Report and Financial Statements For the year ended 30 June 2015

2 Fidelity Institutional Funds Annual Report and Financial Statements for the year ended 30 June 2015 Contents Director s report* 2 Statement of Authorised Corporate Director s responsibilities 2 Certification of the Annual Report and Financial Statements by Directors 3 Report of the Depositary 3 Independent Auditors report 3 General information* 5 Aggregated Financial Statements for Fidelity Institutional Funds 6 Fund Manager Reviews* and Financial Statements America Fund 14 Emerging Markets Fund 22 Europe (ex-uk) Fund 31 Global Focus Fund 39 Index-Linked Bond Fund 48 Japan Fund 59 Long Bond Fund 67 MoneyBuilder Income Reduced Duration Fund 77 Pacific (ex-japan) Fund 87 Pan European Fund 95 Pre-Retirement Bond Fund 103 Reduced Duration UK Corporate Bond Fund 112 Select Emerging Markets Equities Fund 123 Select Global Equities Fund 132 South East Asia Fund 141 Sterling Core Plus Bond Fund 149 UK Fund 159 UK Aggregate Bond Fund 167 UK Corporate Bond Fund 176 UK Gilt Fund 186 UK Investment Grade Long Credit Fund 195 UK Long Corporate Bond Fund 203 UK Specialist Fund 213 Select European Equities Fund** 221 Portfolio Statements 225 Derivative Counterparty Details 340 Risk and Reward Profiles 343 Further information* 345 *These collectively comprise the Authorised Corporate Director s (ACD) report. ** Fund manager reviews are not prepared for funds which are closed. 1

3 Fidelity Institutional Funds Annual Report and Financial Statements for the year ended 30 June 2015 Director s report We are pleased to present the annual report and financial statements for Fidelity Institutional Funds, covering the year to 30 June As required by the Collective Investment Schemes sourcebook (COLL), the Authorised Corporate Director (ACD) has issued a Short Report for the Company to investors. Reference in this document to specific securities should not be construed as a recommendation to buy or sell these securities; but is included for the purpose of illustration only. Investors should also note that the views expressed may no longer be current and may already have been acted upon by Fidelity. Company and status Fidelity Institutional Funds (the Company) is an open-ended investment company with variable capital incorporated in England and Wales under registered number IC3 and authorised by the Financial Conduct Authority (FCA) on 22 July The Company is structured as an umbrella company comprising various funds, each of which is operated as a distinct fund, with its own portfolio of investments. The funds in which shares are currently available are: Equity funds America Fund Emerging Markets Fund Europe (ex-uk) Fund Global Focus Fund Japan Fund Pacific (ex-japan) Fund Pan European Fund Select Emerging Markets Equities Fund Select Global Equities Fund South East Asia Fund UK Fund UK Specialist Fund Bond funds Index-Linked Bond Fund Long Bond Fund MoneyBuilder Income Reduced Duration Fund Pre-Retirement Bond Fund Reduced Duration UK Corporate Bond Fund Sterling Core Plus Bond Fund UK Aggregate Bond Fund UK Corporate Bond Fund UK Gilt Fund UK Investment Grade Long Credit Fund UK Long Corporate Bond Fund In the future additional funds or new classes of shares within the existing funds, may be launched by the ACD. Each fund has the investment powers equivalent to those of an undertaking for collective investment in transferable securities (a UCITS) scheme as per the Prospectus. Shareholders are not liable for the debts of the Company. A shareholder is not liable to make any further payment to the Company after they have paid the purchase price of the shares. The Company is governed by the requirements of the Open-Ended Investment Companies Regulations 2001 (SI 2001/1228) ( OEIC Regulations ) and the FCA s Handbook of rules and guidance, specifically the COLL. As permitted by the COLL, the Company no longer holds Annual General Meetings. The Company has segregated liability status between funds. This means that the assets of a fund belong exclusively to that fund and shall not be used to discharge directly or indirectly the liabilities of, or claims against, any other person or body, including the Company, or any other fund. Objectives The broad aim of the Company is to provide investors with revenue and/or capital growth over the medium to long term. The aim of the equity funds is to provide investors with long term capital growth from diversified and actively managed portfolios of securities in a wide range of stockmarkets. The revenue from these funds is expected to be low. The equity funds will invest primarily in equities in the markets reflected in the title of each individual fund and in companies established outside those markets but which derive a significant proportion of their earnings from those markets. The aim of the bond funds is to provide investors with relatively high revenue with the possibility of capital gains. In the case of Index-Linked Bond Fund, Long Bond Fund, Pre-Retirement Bond Fund, Reduced Duration UK Corporate Bond Fund, Sterling Core Plus Bond Fund, UK Aggregate Bond Fund and UK Gilt Fund only, up to 100% of the property of each fund may be invested in Government and public securities issued by or on behalf of or guaranteed by the Government of the UK. The investment objective and a review of the investment activities of each fund during the year under review are included within the Fund Manager Reviews. Changes to the prospectus For the year ended 30 June 2015 the following significant changes were made to the Prospectus and Instrument of Incorporation: UK Investment Grade Long Credit Fund launched on 13 January Statement of Authorised Corporate Director s (ACD) Responsibilities in relation to the Report and Financial Statements of the Company The Open-Ended Investment Companies Regulations 2001 (SI 2001/1228) and Collective Investment Schemes sourcebook (COLL) require the ACD to prepare financial statements for each annual and half-yearly accounting period which give a true and fair view of the financial position of the Company and of its net revenue and the net capital gains or losses on the property of the Company for the year. In preparing the financial statements the ACD is required to: Select suitable accounting policies and then apply them consistently Comply with the Statement of Recommended Practice for Authorised Funds issued by the Investment Management Association (IMA) in October 2010, the COLL, the Prospectus and the Instrument of Incorporation Follow generally accepted accounting principles and applicable accounting standards Keep proper accounting records which enable it to demonstrate that the financial statements as prepared comply with the above requirements Prepare the financial statements on the going concern basis unless it is inappropriate to presume the Company will continue in operation Take reasonable steps for the prevention and detection of fraud or other irregularities. 2

4 Fidelity Institutional Funds Annual Report and Financial Statements for the year ended 30 June 2015 Certification of the Annual Report and Financial Statements by Directors of the ACD In accordance with the requirements of the COLL, the report and financial statements are approved on behalf of the Directors of FIL Investment Services (UK) Limited, the ACD. Nishith Gandhi Director FIL Investment Services (UK) Limited 28 September 2015 Andrew Morris Director Report of the Depositary to the Shareholders of the Fidelity Institutional Funds The Depositary is responsible for the safekeeping of all the property of the Company (other than tangible moveable property) which is entrusted to it and for the collection of revenue that arises from that property. It is the duty of the Depositary to take reasonable care to ensure that the Company is managed by the Authorised Corporate Director (ACD) in accordance with the Financial Conduct Authority s Collective Investment Schemes sourcebook (COLL), OEIC Regulations, the Company s Instrument of Incorporation and Prospectus, as appropriate, in relation to the pricing of, and dealings in, shares in the Company; the application of revenue of the Company; and the investment and borrowing powers of the Company. Having carried out such procedures as we consider necessary to discharge our responsibilities as Depositary of the Company, it is our opinion, based on the information available to us and the explanations provided, that in all material respects the Authorised Corporate Director: (i) Has carried out the issue, sale, redemption and cancellation and calculation of the price of the Company s shares and the application of the Company s revenue in accordance with the COLL and, where applicable, the OEIC Regulations and the Company s Instrument of Incorporation and Prospectus; and (ii) Has observed the investment and borrowing powers and restrictions applicable to the Company. J.P. Morgan Europe Limited Bournemouth 28 September 2015 Independent Auditors Report to the Shareholders of Fidelity Institutional Funds Our Opinion In our opinion the financial statements defined below: Give a true and fair view of the financial position of the Company and each of the sub-funds as at 30 June 2015 and of the net revenue/(expenses) and the net capital gains/(losses) of the scheme property of the Company and each of the sub-funds for the period then ended; and Have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice, the Statement of Recommended Practice for Authorised Funds, the Collective Investment Schemes sourcebook and the Instrument of Incorporation. This opinion is to be read in the context of what we say in the remainder of this report. Emphasis of matter In forming our opinion on the financial statements, which is not modified, we have considered the adequacy of the disclosures made in Note 1(a) to the financial statements concerning the going concern basis of accounting of Select European Equities Fund and UK Specialist Fund. Select European Equities Fund ceased trading on 11 January 2012 and UK Specialist Fund is scheduled to cease trading on 13 October Accordingly, the going concern basis of accounting is no longer appropriate and the financial statements have been prepared on a basis other than going concern as described in Note 1 to the financial statements. No adjustments were necessary in these financial statements as a result of this decision. What we have audited The financial statements of Fidelity Institutional Funds (the Company ), which are prepared by FIL Investment Services (UK) Limited (the Authorised Corporate Director ), comprise: The Aggregated Balance Sheet of the Company as at 30 June 2015; The Aggregated Statement of Total Return of the Company for the year then ended; The Aggregated Statement of Change in Net Assets Attributable to Shareholders of the Company for the year then ended; The Balance Sheets as at 30 June 2015 together with the Statements of Total Return and Statements of Changes in Net Assets Attributable to Shareholders for each of the Company s sub-funds; The notes to the Company s financial statements and each of the Company s sub-funds, which include a summary of significant accounting policies and other explanatory information; and The Distribution Statements. The financial reporting framework that has been applied in their preparation is applicable law and United Kingdom Accounting Standards (United Kingdom Generally Accepted Accounting Practice), the Statement of Recommended Practice Financial Statements of Authorised Funds issued by the Investment Management Association (the Statement of Recommended Practice for Authorised Funds ), the Collective Investment Schemes sourcebook and the Instrument of Incorporation. In applying the financial reporting framework, the directors have made a number of subjective judgements, for example in respect of significant accounting estimates. In making such estimates, they have made assumptions and considered future events. 3

5 Fidelity Institutional Funds Annual Report and Financial Statements for the year ended 30 June 2015 What an audit of financial statements involves We conducted our audit in accordance with International Standards on Auditing (UK and Ireland) ( ISAs (UK & Ireland) ). An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of: Whether the accounting policies are appropriate to the Company s circumstances and have been consistently applied and adequately disclosed; The reasonableness of significant accounting estimates made by the Authorised Corporate Director; and The overall presentation of the financial statements. In addition, we read all the financial and non-financial information in the Fidelity Institutional Funds Annual Report and Financial Statements (the Annual Report ) to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report. Opinions on matters prescribed by the Collective Investment Schemes sourcebook Responsibilities for the financial statements and the audit Our responsibilities and those of the Authorised Corporate Director As explained more fully in the Authorised Corporate Director s Responsibilities Statement set out on page 2, the Authorised Corporate Director is responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view. Our responsibility is to audit and express an opinion on the financial statements in accordance with applicable law and ISAs (UK & Ireland). Those standards require us to comply with the Auditing Practices Board s Ethical Standards for Auditors. This report, including the opinions, has been prepared for and only for the Company s members as a body in accordance with paragraph of the Collective Investment Schemes sourcebook as required by paragraph 67(2) of the Open Ended Investment Companies Regulation and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing. In our opinion: We have obtained all the information and explanations we consider necessary for the purposes of the audit; and The information given in the Authorised Corporate Director s Report for the financial year for which the financial statements are prepared is consistent with the financial statements. Other matters on which we are required to report by exception Propriety of accounting records and information and explanations received Under the Collective Investment Schemes sourcebook we are required to report to you if, in our opinion: Proper accounting records have not been kept; or The financial statements are not in agreement with the accounting records and returns. We have no exceptions to report arising from this responsibility. PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors London 28 September 2015 Notes: a) The maintenance and integrity of the Fidelity website is the responsibility of the directors; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website. b) Legislation in the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions. 4

6 Fidelity Institutional Funds Annual Report and Financial Statements for the year ended 30 June 2015 General information Fidelity Institutional Funds Registered Office Oakhill House 130 Tonbridge Road Hildenborough Tonbridge Kent TN11 9DZ United Kingdom Authorised and regulated in the UK by the Financial Conduct Authority. Investment Advisors For funds managed wholly or principally in the United Kingdom: FIL Investment Services (UK) Limited Oakhill House 130 Tonbridge Road Hildenborough Tonbridge Kent TN11 9DZ United Kingdom Authorised and regulated in the UK by the Financial Conduct Authority. Registered in England and Wales No For other funds: FIL Fund Management Limited Pembroke Hall 42 Crow Lane Pembroke HM19 Bermuda Licensed by the Bermuda Monetary Authority under the Investment Business Act to conduct investment business. Depositary J.P. Morgan Europe Limited Registered Office: 25 Bank Street London E14 5JP United Kingdom Head Office: Chaseside Bournemouth Dorset BH7 7DA United Kingdom Authorised and regulated in the UK by the Financial Conduct Authority. Independent Auditors PricewaterhouseCoopers LLP 7 More London Riverside London SE1 2RT United Kingdom Authorised Corporate Director (ACD), General Distributor, Administrator and Registrar FIL Investment Services (UK) Limited Oakhill House 130 Tonbridge Road Hildenborough Tonbridge Kent TN11 9DZ United Kingdom The ACD is FIL Investment Services (UK) Limited and is the sole director. Authorised and regulated in the UK by the Financial Conduct Authority. Registered in England and Wales No Sub-Distributor Financial Administration Services Limited Oakhill House 130 Tonbridge Road Hildenborough Tonbridge Kent TN11 9DZ United Kingdom Authorised and regulated in the UK by the Financial Conduct Authority. 5

7 Aggregated Financial Statements for Fidelity Institutional Funds Statement of Total Return for the year ended 30 June /06/15 30/06/14 Notes Income Net capital gains/(losses) 4 445, ,362 Revenue 5 190, ,225 Expenses 6 (46,048) (43,109) Finance costs: Interest/other 8 (2,117) (3,995) Net revenue/(expense) before taxation 142, ,121 Taxation 7 (5,713) (142) Net revenue/(expense) after taxation 136, ,979 Total return before distributions 582, ,341 Finance costs: Distributions 8 (135,225) (130,936) Change in net assets attributable to shareholders from investment activities 447, ,405 Statement of Change in Net Assets Attributable to Shareholders for the year ended 30 June /06/15 30/06/14 Notes Opening net assets attributable to shareholders 6,206,504 5,927,204 Movement due to sales and repurchases of shares Amounts receivable on issue of shares 1,318,688 1,300,987 Amounts payable on cancellation of shares (1,527,824) (1,435,476) In specie issue of shares 215,282 91,377 In specie cancellation of shares (326,489) (110,540) (320,343) (153,652) Stamp duty reserve tax 15 - (251) Change in net assets attributable to shareholders from investment activities (see above) 447, ,405 Retained distribution on accumulation shares 8 113, ,798 Closing net assets attributable to shareholders 6,446,984 6,206,504 Balance Sheet as at 30 June /06/15 30/06/14 Notes Assets Investment assets 6,262,269 6,075,304 Derivative assets 61,781 33,880 Debtors 9 96,498 94,027 Cash and bank balances ,377 90,508 Total other assets 213, ,535 Total assets 6,537,925 6,293,719 Liabilities Derivative liabilities (22,835) (14,459) Creditors 11 (59,588) (43,850) Bank overdrafts (1,457) (21,604) Net distributions payable on income shares (7,061) (7,302) Total other liabilities (68,106) (72,756) Total liabilities (90,941) (87,215) Net assets attributable to shareholders 6,446,984 6,206,504 The aggregated financial statements represent the sum of the individual funds within the umbrella company. Further analysis of the distribution and the net asset position can be found within the financial statements of the individual funds. 6

8 Aggregated Financial Statements for Fidelity Institutional Funds Notes to the Aggregated Financial Statements for Fidelity Institutional Funds 1. Accounting policies a) Basis of accounting - These financial statements have been prepared under the historical cost convention, as modified by the revaluation of investments, and in accordance with applicable law and United Kingdom Generally Accepted Accounting Practice (UK GAAP) and the Statement of Recommended Practice (SORP) for Authorised Funds issued by the Investment Management Association (IMA) in October The accounts have been prepared on a going concern basis except as outlined below. Select European Equities Fund ceased trading on 11 January 2012 and UK Specialist Fund is scheduled to cease trading on 13 October Consequently, the Authorised Corporate Director no longer regards the going concern basis of accounting to be appropriate for these funds and their financial statements have been prepared on a basis other than going concern. No adjustments were required in the financial statements to reduce assets to their realised values, to provide for liabilities arising from the decision to cease trading or to reclassify non-current assets and liabilities as current. The comparative financial information for the Select European Equities Fund is also prepared on a non-going concern basis. The principal accounting policies, which have been applied consistently throughout the year, are set out below. b) Recognition of revenue - Dividends on quoted equities are recognised when the security is quoted ex-dividend. Interest from debt securities is accounted for on an effective yield basis. Distributions on underlying funds are recognised when the shares are quoted ex-distribution. Effective yield recognises any discount or premium on the purchase of an investment as revenue over its remaining life. For some securities that are valued at significantly distressed levels or where the ACD expects future cash flows to be uncertain, the discount or premium is not recognised as revenue. Other revenue is accounted for on an accruals basis. Underwriting commission is recognised when the issue takes place. Special dividends are treated as revenue or capital depending on the facts of each particular case. Share buy-backs are treated as a repayment of capital. c) Treatment of stock dividends - Where the fund manager has elected to receive a dividend in the form of shares rather than cash, the dividend is treated as revenue but does not form part of the distribution. d) Treatment of expenses: All expense are accounted for on an accruals basis. Management expenses - Investment management fees are charged against revenue for all the individual funds. Other expenses - All other expenses are chargeable against revenue for distribution purposes other than those relating to purchases and sales of investments which are excluded for the purpose of calculating the distribution. Underlying fund charges - MoneyBuilder Income Reduced Duration Fund (the feeder fund ) has at least 85% permanently invested in Fidelity MoneyBuilder Income Fund (the master fund ), a sub-fund of Fidelity Investment Funds managed by the same ACD. To avoid double charging, the ACD s charges of the master fund are waived by way of rebates to the feeder fund to the extent that such charges are attributable to investment in the master fund. e) Allocation to multiple share classes All charges and expenses which are directly attributable to a particular fund (or class within a fund) will be charged to that fund (or class). Otherwise, if there is more than one class within a fund, charges and expenses which are directly attributable to the fund (but not a particular class) will normally be allocated between the classes within the fund pro rata to the net asset value of the fund attributable to each class. Any charges and expenses not attributable to any one fund will normally be allocated by the ACD to all funds (and their classes) pro rata to the net asset values (and their classes), although the ACD has the discretion to allocate such charges and expenses in a different manner which it considers fair to shareholders generally. f) Distribution policy - The distribution policy of the individual funds is to distribute/accumulate all available revenue after deduction of expenses properly chargeable against revenue. Interest from debt securities has been distributed on an accrual of coupon basis where this exceeds the amount determined on an effective yield basis. In the case of Index-Linked Bond Fund, revenue from debt securities has been distributed on a coupon basis as permitted in the waiver provided by the Financial Conduct Authority (FCA). g) Taxation - Provision is made for corporation tax at the current rate on the excess of taxable revenue over allowable expenses, with relief for overseas tax taken where appropriate. Deferred tax is provided using the liability method on all timing differences arising from the different treatments of items for taxation and accounting purposes. Deferred tax assets are recognised to the extent that they are considered recoverable. h) Basis of valuation of investments - Investments in securities and underlying funds have been valued using the market price at the noon valuation point on the last business day of the accounting period. Market value is defined by the SORP as fair value which is generally the bid value for each security. Suspended and unquoted securities have been valued in accordance with the fair value policy operated by the ACD. Fair value adjustments may be implemented to protect the interests of the shareholder funds against market timing practices. Accordingly if a fund invests in markets that are closed for business at the time the fund is valued, the ACD may, by derogation from the provisions above, allow for the securities included in a particular portfolio to be adjusted to reflect more accurately the fair value of the fund s investments at the point of valuation. Fair value market adjustments were applied to investments in Greece, Japan and USA with the following effect on the fund midday prices as at 30 June 2015: America Fund 0.41% Emerging Markets Fund 0.09% Global Focus Fund 0.34% 7

9 Aggregated Financial Statements for Fidelity Institutional Funds Notes to the Aggregated Financial Statements for Fidelity Institutional Funds Japan Fund 0.58% Pacific ex-japan Fund 0.01% Select Emerging Markets Fund -0.12% Select Global Equities Fund 0.35% South East Asia 0.01% UK Fund 0.02% UK Specialist Fund 0.01%. The market value disclosed alongside each investment in the Portfolio Statement represents the fair value. Each derivative position is shown as a separate investment. The Portfolio Statement includes for each investment the percentage of the net assets. This may result in the geographical or sector allocations being different to the comparative index. The largest holdings disclosure is consistent with this basis, and therefore derivative positions may not appear in the list of largest holdings. A copy of the Fund factsheet report disclosing the sector/industry exposure, country exposure and top holdings including derivatives exposures may be obtained upon request from the ACD or alternatively from our website i) Derivatives - Where appropriate, certain permitted transactions such as derivatives are used. Where such transactions are used to protect or enhance revenue, the revenue and expenses derived from them are included in Revenue or Expenses in the Statement of Total Return. Where such transactions are used to protect or enhance capital, the gains or losses are included in Net capital gains/(losses) in the Statement of Total Return. Any positions on such transactions open at the year end are reflected in the Balance Sheet at their market value. All gains and losses in the value of futures contracts, interest rates swaps, credit default swaps, equity forwards, contracts for difference, equity linked notes and options are disclosed in the Statement of Total Return under Net capital gains/(losses). For futures, equity forwards and contracts for difference, the dividend element is included in revenue along with the associated finance costs of these contracts. Ongoing premia on credit default swaps are charged or credited to revenue/expenses on an accruals basis, depending on whether protection is bought or sold. Revenue receivable/payable on interest rate swaps is included in revenue on an accruals basis. The premium received on covered call options is taken to revenue over the life of the contract provided the strike price of the option is greater than the price of the underlying security at the time of trade. For all bond funds, where forward foreign contracts have been entered into to hedge the portfolio against currency exchange rate movements, any subsequent hedge gain or loss on income is taken to revenue. The reason for this is so that shareholders are not exposed to foreign exchange rate movements in their distributions. The difference between the spot and forward currency contract rate, when the contract is first acquired, is recognised as revenue within the fund over the duration of the contract. j) Exchange rates - Assets and liabilities denominated in foreign currencies have been translated into sterling at the rate of exchange ruling at the noon valuation point on the last business day of the accounting period. Revenue items denominated in foreign currency are translated into sterling at exchange rates ruling at the date of the transaction. Differences on exchange are dealt with in the Statement of Total Return. k) Price adjustment policy - The Board of Directors of the Company implemented a price adjustment policy in order to protect the interests of the Company s shareholders. The purpose of the price adjustment policy is to allocate the costs associated with large inflows and outflows to investors transacting that day, thereby protecting the long term shareholder from the worst effects of dilution. It achieves this purpose by adjusting the share class price at which deals in a fund are transacted. In other words, share class prices may be adjusted up or down depending on the level and type of investor transactions on a particular day within a fund. In this way the existing and remaining shareholders do not suffer an inappropriate level of dilution. The Company will only trigger an adjustment in the price when there are significant net flows likely to have a material impact on existing and remaining shareholders. The adjustment will be based on the normal dealing costs for the particular assets in which a sub-fund is invested. Once an adjustment is made to the share class price, that price is the official price for that share class for all deals that day. As at 30 June 2015, there were no price adjustments made on the individual funds as a result of this price adjustment policy (2014: none). 2. Equalisation Equalisation applies only to shares purchased during the distribution year (Group 2 shares). It is the average amount of revenue included in the purchase price of all Group 2 shares and is credited to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for Capital Gains Tax purposes. 3. Contingent liabilities At the year end there are no contingent liabilities or commitments (2014: nil). 8

10 Aggregated Financial Statements for Fidelity Institutional Funds Notes to the Aggregated Financial Statements for Fidelity Institutional Funds 4. Net capital gains/(losses) 30/06/15 30/06/14 Gains/(losses) on non-derivative securities 437, ,268 Gains/(losses) on derivative contracts 17,022 (7,123) Gains/(losses) on forward currency contracts (11,361) 49,142 Other currency gains/(losses) 4,323 (5,030) Broker fee rebates 1, Transaction charges (651) (588) Foreign capital gains tax (2,372) (83) Compensation payments - 5 Net net capital gains/(losses) 445, , Revenue 30/06/15 30/06/14 UK dividends 17,777 16,821 Overseas dividends 64,944 57,194 UK scrip dividends 749 1,548 Overseas scrip dividends 3,190 3,622 Overseas property income distributions Interest on securities 95, ,007 UK property income distributions Bank interest Taxable interest 823 2,259 Underwriting commission 11 4 Derivative revenue 5,720 1,642 ACD fee rebate/waiver to income Total revenue 190, , Expenses 30/06/15 30/06/14 Payable to the ACD, associates of the ACD, and agents of either of them: Investment management fees 40,088 37,606 Registrar fees Service charges 3,195 2,982 Foreign exchange administration fees ,816 40,824 Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary fees Custody fees 1, ,638 1,450 Other expenses: Audit fee Other operating expenses Total expenses 46,048 43, Taxation 30/06/15 30/06/14 Analysis of charge/(credit) for the year UK corporation tax 11 5 Double taxation relief (11) (4) Overseas taxation* 5, Prior year adjustment - 1 Total taxation 5, Factors affecting the tax charge/credit for the year are shown in the financial statements of the individual funds. * Includes amounts for the recovery of excess withholding tax suffered on dividends received in prior accounting periods. 9

11 Aggregated Financial Statements for Fidelity Institutional Funds Notes to the Aggregated Financial Statements for Fidelity Institutional Funds 8. Finance costs Further analysis of finance costs can be found within the financial statements of the individual funds. 9. Debtors 30/06/15 30/06/14 Amounts receivable for issue of shares 9,093 7,673 Sales awaiting settlement 16,837 16,380 Sales of currency awaiting settlement 17,071 15,671 Accrued revenue 45,984 44,363 Broker fee rebates receivable ACD fee rebate/waiver recoverable Overseas tax recoverable* 7,103 9,548 Foreign capital gains tax receivable Total debtors 96,498 94,027 *Includes amounts for the recovery of excess withholding tax suffered on dividends received in prior periods. 10. Cash and bank balances 30/06/15 30/06/14 Amounts held at futures clearing houses and brokers 18,159 18,076 Cash and bank balances 99,218 72,432 Total cash and bank balances 117,377 90, Creditors 30/06/15 30/06/14 Amounts payable for cancellation of shares 14,862 4,277 Purchases awaiting settlement 20,299 16,715 Purchases of currency awaiting settlement 17,060 15,659 Accrued expenses 4,526 4,179 UK corporation tax payable - 1 UK income tax payable 1,809 1,745 Foreign capital gains tax payable Amounts payable on closure of derivative contract Other creditors - 6 Total creditors 59,588 43, Related parties The ACD, FIL Investment Services (UK) Limited, is regarded as a related party under FRS 8 by virtue of the influence it has over the operations of the Company. The ACD acts as principal on all transactions of shares in the Company. The aggregate monies received through issues and paid through cancellations are disclosed in the Statement of Change in Net Assets Attributable to Shareholders, and the amounts due to, and from, the ACD in respect of share transactions at the year end are disclosed in Notes 9 and 11. Amounts paid to the ACD in respect of services provided are disclosed in Note 6. Amounts due at the year end of 3,623,000 (2014: 3,471,000) are included within accrued expenses in Note 11. Amounts rebated from the ACD in respect of management fee rebate/waiver to income are included in Note 6. Amounts due at the year end are included in ACD fee rebate/waiver recoverable in Note 9. Further details of related party transactions can be found in the financial statements of the individual funds. At the balance sheet date, any holdings in the Company by FIL Limited which is the ultimate parent company of FIL Investment Services (UK) Limited, are detailed below: As at 30/06/14 Net Movement As at 30/06/15 No. of Market No. of Proceeds No. of Market Fund Shares value Shares Shares Value Long Bond Fund Gross paying Income shares 320 3, ,497 Index-Linked Bond Fund Gross paying Income shares 320 3, ,901 Pre-Retirement Bond Fund Gross paying Y Accumulation shares 30 3,206 (30) 3,

12 Aggregated Financial Statements for Fidelity Institutional Funds Notes to the Aggregated Financial Statements for Fidelity Institutional Funds 13. Shareholders fund The share classes and annual management charge percentages for each fund are outlined in the financial statements of each of the individual funds. 14. Financial instruments exposure In pursuing its respective investment objectives and policies, each fund within the Company may hold a number of financial instruments which may comprise: Equity shares, fixed income securities and floating rate securities Cash, liquid assets and short term debts Derivative instruments which could include forward foreign exchange contracts, futures, options, swaps, structured notes and other derivatives. Generally, the purpose of using derivatives is to manage the currency and market risks arising from the fund's investment activities. However, and as outlined in the relevant funds' investment objectives, certain funds are permitted to use derivatives and forward transactions for investment purposes. Risk framework The Board of Directors of FIL Limited, the ultimate parent company of the ACD, has established a Risk Policy, a Risk Appetite statement and a number of other risk related policies for adoption throughout the Fidelity Worldwide Investment group of companies, including the ACD. There is a clearly defined structure operating within a corporate governance and management framework that is designed to address the related business risks, including those arising from financial instruments. Risk management policies and procedures are established by the Board and updated according to market, industry and government initiatives and regulatory developments. The Board monitors that a robust system of internal control exists to ensure compliance with rules, regulations and policies. It is the Board of Directors of the ACD that is ultimately responsible for monitoring risk but day to day management of the risk process has been delegated to other areas as appropriate. Fidelity operates a 'multiple lines of defence' approach to risk management; also the risk control processes are comprehensive, multi-layered, both quantitative and qualitative and do not rely on any one risk measure or system. The primary responsibility for financial instrument risk management rests with the portfolio manager of each fund who is overseen by the relevant Chief Investment Officer (CIO). On a regular basis each fund is formally reviewed in a meeting involving the portfolio manager, the relevant CIO, Investment Management Portfolio Analytics and others; the review covers multiple aspects of the fund's profile including trading activity, turnover, performance, structure, style profile, the use of derivatives and other relevant subjects such as yield curve exposure and sector and credit rating positioning in the case of Fixed Income funds. In addition to this review there is a formal Investment Risk Oversight Committee (IROC), chaired by the head of the Investment Management Risk function, whose remit includes review of various risk and performance measures, liquidity and other investment risks. Furthermore, there is a Derivative Risk Committee that focuses on all aspects of risk arising from the use of derivative instruments. The global exposure relating to derivatives held in a fund may not exceed the net value of that fund. Global exposure calculations for all funds, unless otherwise indicated, use the commitment approach as part of their risk management process, measure and limits. The funds in this umbrella OEIC are governed by EU UCITS rules. The rules and prospectus limits are monitored and reported on by an independent Investment Compliance function. Sterling Core Plus Bond Fund may use derivatives and forwards for specific investment purposes to achieve the investment objective of the fund. MoneyBuilder Income Reduced Duration Fund and Sterling Core Plus Bond Fund employ the relative Value-at-Risk (VaR) approach to measure their global risk exposures. The VaR benchmark of MoneyBuilder Income Reduced Duration Fund is BofA / ML Euro Sterling Index (E0L0) Hedged to 2 Years of Interest Rate Duration. The expected leverage is 200%. The VaR benchmark of Sterling Core Plus Bond Fund is 50% Gilt over 15 years and 50% non Gilt over 15 years using iboxx indices. The expected leverage is 100%. The Reduced Duration UK Corporate Bond Fund employs the absolute Value-at Risk (VaR) approach to measure its global risk exposure. The expected level of leverage of the fund is 250% of the Net Asset Value of the fund; this is however not a limit and higher levels may occur. The expected levels of leverage of the funds may be higher when volatility decreases sustainably, when interest rates are expected to change or when credit spreads are expected to widen or tighten. Risk factors The main risks arising from financial instruments are market price, foreign currency, interest rate, liquidity, counterparty and credit risks. There are policies in place to ensure each of these risks are managed in an appropriate manner. Market price risk Market price risk arises from the uncertainty about future price movements on financial instruments held. It represents the potential loss each fund might suffer through holding market positions in the face of adverse price movements. The value of investments (including derivatives) is not fixed and may go down as well as up. This may be as a result of a specific factor affecting the value of an individual investment, or may be caused by general market factors. Some of the funds may invest in securities of countries experiencing rapid economic growth. Investors should appreciate that these securities may be more volatile than securities in more developed markets with the result that there may be greater risk of price 11

13 Aggregated Financial Statements for Fidelity Institutional Funds Notes to the Aggregated Financial Statements for Fidelity Institutional Funds fluctuation and the suspension of redemptions in such funds compared with funds in more mature markets. This volatility may stem from political and economic factors, and be exacerbated by legal, trading liquidity, settlement, currency and other factors. Some emerging market countries may have relatively prosperous economies but may be sensitive to world commodity prices or other factors. Where derivatives are used for either efficient management of the fund or for investment purposes, market price risk will exist as for any other non-derivative investments. The volatility of option prices could be greater than for other derivatives. Foreign currency risk The funds' total returns and balance sheets can be significantly affected by foreign exchange movements if the funds' assets and revenue are denominated in currencies other than the funds' base currency. Three principal areas where foreign currency risk could impact each fund have been identified as: Movements in rates affecting the value of investments Movements in rates affecting short term timing differences Movements in rates affecting the revenue received The funds may hold forward foreign exchange contracts to hedge the funds' base currency. The funds may be exposed to short term exchange rate movements, for example between the date when an investment is bought or sold and the date when settlement of the transaction occurs. The ACD may seek to manage exposure to currency movements by using forward and spot foreign exchange contracts. Revenue received in other currencies is converted into base currency on or near the date of receipt. Interest rate risk Debt securities have varying levels of sensitivity to changes in interest rates. In general, the price of a fixed rate debt security can fall when interest rates rise and can rise when interest rates fall. Securities with longer maturities can be more sensitive to interest rate changes. The fixed rate component of an interest rate swap will have a similar interest rate risk profile to that of a fixed rate debt security where the currency, fixed rate and maturity are the same. All interest rate swaps are disclosed in the Portfolio statement of each fund. The funds' investment portfolio yield and more generally the interest rate profiles are monitored by the ACD using the tools and processes outlined above under 'Risk framework'. Interest earned and paid on bank balances in the current and preceding year were at variable rates provided by the Depositary. The average interest rates earned and paid were: 30/06/15 30/06/14 Average interest rates Average interest rates Currency Earned Paid Earned Paid UK Sterling 0.25% 1.65% 0.23% 1.67% Euro -0.08% 1.36% 0.06% 1.40% US Dollar 0.07% 1.34% 0.05% 1.35% Liquidity risk The funds' assets comprise mainly realisable securities which can be readily sold or redeemed in normal market conditions. The funds' main liability is the redemption of any shares that investors wish to sell. In general, the ACD manages the cash to ensure it can meet its liabilities. Assets from a fund may need to be sold if insufficient cash is available to finance such redemptions. The funds' holdings are reviewed on a regular basis, with particular emphasis on the market capitalisation of the issuer (securities issued by larger capitalised companies generally have greater liquidity) and the number of days it would take to trade out of a given security position or percentage of the fund as a whole (determined by reference to available market trading volumes). Where investments cannot be realised in time to meet any potential liability, the fund may borrow up to 10% of its value to ensure settlement. Counterparty risk All security transactions and derivatives are transacted with brokers and carry the risk that the counterparty to a transaction may not meet their financial obligations. All counterparties for any type of trading are assessed by an independent Credit Research and Analysis function and approved for use by any Fidelity company, including the ACD. Exposures to counterparties are monitored and reported frequently. Margin on exchange-traded derivatives mitigates counterparty risk exposure and in the case of over-the-counter derivatives, collateral is transferred to reduce counterparty risk exposure in accordance with the terms outlined in market standard (ISDA) derivative legal contracts. 12

14 Aggregated Financial Statements for Fidelity Institutional Funds Notes to the Aggregated Financial Statements for Fidelity Institutional Funds Credit risk Investments may be adversely affected if any of the institutions with which money is deposited suffers insolvency or other financial difficulties. The process outlined above under 'Counterparty risk' is used to review, approve and report on exposures to institutions with which money is deposited. Credit risk also arises from the uncertainty about the payment of interest and the repayment of principal bond investments. Default risk is based on the issuer's ability to make interest payments and to repay the loan at maturity. Due to the higher possibility of default, an investment in corporate bonds is generally less secure than an investment in government bonds. Default risk may therefore vary between different government issuers as well as between different corporate issuers. In certain cases, government bonds may have higher probability of default than specific corporate issuers. The funds may hold credit default swaps to manage their credit risk profile. Credit default swaps are transacted to take advantage of expected movements in credit spreads on either individual securities or baskets of securities. Fair values of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. The numerical information in respect of financial instruments disclosure is provided in the financial statements for the individual funds. 15. Stamp duty reserve tax (SDRT) HM Revenue and Customs introduced legislation in Schedule 19 of the Finance Act 1999 as a result of which the Company may become liable to a SDRT charge on the redemption of shares by investors. The maximum liability will be 0.5% of the value of the redemptions. As permitted by FCA Regulations, any SDRT arising under the regime will be charged to the capital account of the relevant fund. As announced in Budget 2013, legislation was introduced to abolish this special Stamp Duty Reserve Tax charge on collective investment schemes in Schedule 19 Finance Act This charge was abolished with effect from 30 March Post balance sheet event UK Specialiat Fund is scheduled to close on 13 October Subsequent to the year end below is the published net asset value per share (NAV) of funds that have moved more than 10% over the period: NAV as at NAV as at Increase/ 28/02/15 9/06/15* (decrease) (p) (p) % South East Asia Fund (11.83) Emerging Markets Fund Retail Accumulation Shares (11.65) W Accumulation Shares (11.49) Accumulation Shares (11.49) Pacific (ex-japan) Fund (12.04) Select Emerging Markets Equities Fund (15.55) * The latest practicable date prior to the publication of this report. 13

15 Fidelity Institutional America Fund Investment Objective and Policy The fund s investment objective is to achieve long term capital appreciation. The fund will invest primarily in the shares of companies in the United States of America. There is no policy to restrict investment to particular economic sectors. Fund Manager s Commentary Market Review US equities advanced over the review period, supported largely by an improving macroeconomic backdrop and robust corporate balance sheets. Although the US economy went through some weakness in early 2015, US consumer confidence improved significantly towards the end of the review period, as the labour market, retail sales and housing indicators improved. Markets received a further boost from merger and acquisition (M&A) activity and strong earnings announcements. However, geopolitical tensions and concerns over Greece moving closer to a default, which led to fears of a contagion in the broader eurozone region that could have a wider impact on global markets, led to periods of volatility. The Federal Reserve (Fed) ended its monthly bond buying programme in October Subsequently, uncertainty about the timing of a US interest rate increase caused some volatility. However, the Fed stressed that its decision on the implementation of interest rate hikes will remain dependent on US economic data. Portfolio Activity Strong stock selection by underlying managers and an overweight allocation to the health care sector supported performance. Biopharmaceutical firm Amgen was among the largest contributors to returns. It performed well on the back of better-than-expected earnings, a positive earnings outlook and a cost savings plan. An underweight position in the energy sector, specifically, not holding Exxon Mobil and Chevron, also added relative value as oil prices declined. Meanwhile, shares in media company Graham rose as investors welcomed its plan to split its cable service business into a separate entity. We increased the exposure to the company. The underweight allocation to consumer discretionary and financials weighed on relative returns, but was offset by stock selection in these sectors. Elsewhere, the underweight stance in information technology and stock selection in the materials sector detracted from performance. In particular the bias against Apple hurt relative returns. During the period, we purchased new positions in health insurance provider Anthem and clinical laboratory services company Quest Diagnostics. Anthem stands to benefit from health care reforms in the US as well as from an ageing population. Holdings were also purchased in brewers SABMiller and Anheuser- Busch. Consolidation in the beer sector is expected to continue, which is likely to strengthen the market positions of both companies. The exposure to health care stocks Express Scripts and VCA was reduced in order to lock-in profits. Meanwhile, the position in diversified health care company UnitedHealth Group was sold. Outlook US companies remain in sound financial health with strong balance sheets and significant cash holdings, which are expected to drive M&A activity. Going forward, US earnings growth rather than economic factors and external events could be a major driver of share price performance. The Fed has reiterated that it will only raise interest rates when data indicates that the economy is strong enough to withstand the hike. However, when the central bank does eventually raise interest rates, it is likely to bring some volatility to equity markets. Performance Record Discrete 1 year performance over the last 5 years to: 30/06/11 30/06/12 30/06/13 30/06/14 30/06/15 Accumulation Shares *Comparative Index * Comparative Index: S&P 500 Index (Net of UK tax). Source: Fidelity and RIMES, All performance returns are calculated using the quoted price of the relevant share class, UK, net income reinvested. Past performance is not a reliable indicator of future results. Risk Profile The value of your investment and the income from it can go down as well as up. You may not get back the amount you invested. What you get back is not guaranteed. It will depend on investment performance. This fund may invest in overseas markets. You may get back more or less as a result of currency fluctuations. This fund may invest in derivatives for the purpose of the efficient management of the fund. The use of financial derivative instruments may result in increased gains or losses within the fund. For funds that invest in derivative transactions, there is a risk that the counterparty to the transaction will wholly or partially fail to honour its contractual obligations. This may result in financial loss to the fund. For details of all the risks please see the Prospectus. Nick Peters & Ayesha Akbar Fund Managers 30 June 15 14

16 Fidelity Institutional America Fund Portfolio Information Fund Facts 30/06/15 30/06/14 % % Information Technology Health Care Consumer Discretionary Cash Funds/Money Market Funds Financials Industrials Consumer Staples Energy Other Cash and other net assets/(liabilities) Top Holdings The top ten holdings in the fund as at 30 June 2015 and at the previous year end are shown below. Top holdings as at 30/06/15 % of total net assets Fidelity Institutional Liquidity Fund (USD) 8.63 Oracle 1.67 Pfizer 1.67 Cisco Systems 1.61 Microsoft 1.51 ebay 1.51 CVS Health 1.40 Activision Blizzard 1.37 Express Scripts 1.34 Eli Lilly 1.20 Income (pence per share) XD date Accumulation Shares Final distribution 01/07/ Ongoing Charges (%) Accumulation Shares 30/06/ /06/ The Ongoing Charges figure is calculated as the ratio of the annual cost of managing and operating the fund to the average net asset value; it excludes portfolio transaction cost. Fund Size Total net Net asset assets value per Shares ( m) share (p) 1 in issue Accumulation Shares 30/06/ ,556,269 30/06/ ,563,576 30/06/ ,726,788 Income Per Share and Price History (pence) Calendar Income Lowest Highest year per share price price Accumulation Shares Top holdings as at 30/06/14 % of total net assets Fidelity Institutional Liquidity Fund (USD) 8.83 Microsoft 2.12 Oracle 2.01 Amgen 1.76 Express Scripts 1.75 CVS Caremark 1.73 Cisco Systems 1.60 JPMorgan Chase 1.56 Gilead Sciences 1.46 Anadarko Petroleum 1.44 Footnotes: 1. The net asset value is the accounting value at the year end on a fair value basis. 2. Figures represent distribution to 01/07/15. 15

17 Fidelity Institutional America Fund Statement of Total Return for the year ended 30 June /06/15 30/06/14 Notes Income Net capital gains/(losses) 4 39,223 21,234 Revenue 5 3,333 3,040 Expenses 6 (1,909) (1,740) Finance costs: Interest/other 8 1 (1) Net revenue/(expense) before taxation 1,425 1,299 Taxation 7 (325) (375) Net revenue/(expense) after taxation 1, Total return before distributions 40,323 22,158 Finance costs: Distributions 8 (1,100) (924) Change in net assets attributable to shareholders from investment activities 39,223 21,234 Statement of Change in Net Assets Attributable to Shareholders for the year ended 30 June /06/15 30/06/14 Note Opening net assets attributable to shareholders 199, ,804 Movement due to sales and repurchases of shares Amounts receivable on issue of shares 49,060 16,958 Amounts payable on cancellation of shares (64,679) (32,829) (15,619) (15,871) Stamp duty reserve tax - (1) Change in net assets attributable to shareholders from investment activities (see above) 39,223 21,234 Retained distribution on accumulation shares 8 1, Closing net assets attributable to shareholders 223, ,048 Balance Sheet as at 30 June /06/15 30/06/14 Notes Assets Investment assets 190, ,869 Derivative assets Debtors 9 3,756 1,801 Cash and bank balances 10 31,344 16,572 Total other assets 35,100 18,373 Total assets 225, ,566 Liabilities Derivative liabilities (796) - Creditors 11 (803) (2,284) Bank overdrafts - (234) Total other liabilities (803) (2,518) Total liabilities (1,599) (2,518) Net assets attributable to shareholders 223, ,048 16

18 Fidelity Institutional America Fund Notes to the financial statements 1. Accounting policies The fund s financial statements have been prepared on the same basis as the Company s financial statements as set out in the Notes to the Aggregated Financial Statements. 2. Equalisation Equalisation applies only to shares purchased during the distribution year (Group 2 shares). It is the average amount of revenue included in the purchase price of all Group 2 shares and is credited to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for Capital Gains Tax purposes. 3. Contingent liabilities At the year end there are no contingent liabilities or commitments (2014: nil). 4. Net capital gains/(losses) 30/06/15 30/06/14 Gains/(losses) on non-derivative securities 34,326 20,224 Gains/(losses) on derivative contracts 2,335 1,716 Other currency gains/(losses) 2,558 (685) Broker fee rebates 12 5 Transaction charges (8) (26) Net net capital gains/(losses) 39,223 21, Revenue 30/06/15 30/06/14 UK dividends Overseas dividends 2,419 2,703 Overseas property income distributions Interest on securities 13 2 Derivative revenue Bank interest 50 1 Total revenue 3,333 3, Expenses 30/06/15 30/06/14 Payable to the ACD, associates of the ACD, and agents of either of them: Investment management fees 1,747 1,583 Service charges Foreign exchange administration fees 7 8 1,863 1,690 Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary fees Custody fees Other expenses: Audit fee 8 7 Other operating expenses Total expenses 1,909 1,740 17

19 Fidelity Institutional America Fund Notes to the financial statements 7. Taxation 30/06/15 30/06/14 a) Analysis of charge/(credit) for the year Overseas taxation* Total current taxation b) Factors affecting tax charge/(credit) for the year Net revenue/(expense) before taxation 1,425 1,299 Net revenue/(expense) multiplied by the standard rate of corporation tax of 20% (2014: 20%) Effects of: Overseas taxation Increase/(decrease) in unutilised management expenses Revenue not included for tax purposes (500) (560) Expenses not deductible for tax purposes 1 1 Current tax charge/(credit) Open ended investment companies are exempt from UK tax on capital gains. The fund has unrelieved excess management expenses resulting in a potential deferred tax asset of 1,745,000 (2014: 1,537,000). It is unlikely that the fund will generate sufficient taxable profits in the future to utilise these and therefore no deferred tax asset has been recognised. *Includes amounts for the recovery of excess withholding tax suffered on dividends in prior accounting periods. 8. Finance costs 30/06/15 30/06/14 Distributions The distribution takes account of revenue received on the issue of shares and revenue deducted on cancellation of shares. Accumulation Shares Final 1, Add: Revenue deducted on cancellation of shares Deduct: Revenue received on issue of shares (130) (45) Net distribution for the year 1, Interest/other Interest (1) 1 Total finance costs 1, Details of the distribution per share are set out in the Distribution Statement. 9. Debtors 30/06/15 30/06/14 Amounts receivable for issue of shares 2, Sales awaiting settlement Sales of currency awaiting settlement Accrued revenue Broker fee rebates receivable 3 1 Overseas tax recoverable* Total debtors 3,756 1,801 *Includes amounts for the recovery of excess withholding tax suffered on dividends in prior accounting periods. 18

20 Fidelity Institutional America Fund Notes to the financial statements 10. Cash and bank balances 30/06/15 30/06/14 Amounts held at futures clearing houses and brokers 3,035 1,052 Cash and bank balances 28,309 15,520 Total cash and bank balances 31,344 16, Creditors 30/06/15 30/06/14 Amounts payable for cancellation of shares Purchases awaiting settlement 594 1,079 Purchases of currency awaiting settlement Accrued expenses Total creditors 803 2, Financial instruments exposure Currency exposures A substantial portion of the financial assets of the fund are denominated in currencies other than sterling, which is the fund s base currency, with the effect that the Balance Sheet and total return can be significantly affected by currency movements. The currency exposure of the fund was: Non-monetary exposures Monetary exposures Total exposure Currency Investments Cash balances Debtors/(Creditors) 30/06/15 Canadian Dollar Euro UK Sterling 2,194 2,145 2,786 7,125 US Dollar 186,548 29, ,902 Total 189,442 31,344 2, ,739 30/06/14 Canadian Dollar 1, ,714 Euro UK Sterling 697 1,148 (411) 1,434 US Dollar 180,858 15,160 (122) 195,896 Total 183,193 16,338 (483) 199,048 The currency disclosure provided is based on the trading currency of the investments and foreign currency contracts. Interest rate risk profile The only interest bearing financial instruments in the fund are its bank balances and/or amounts held at futures clearing houses and brokers. Interest earned and paid on bank balances in the current and preceding year were at variable rates provided by the Depositary. The average interest rates earned and paid are disclosed in the Aggregated Financial Statements. Due to the fact that the fund holds no material fixed interest securities there is minimal interest rate exposure on this fund (2014: minimal exposure). Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the Balance Sheet, and their fair value. Sensitivity analysis of derivatives exposure Futures exposure The fund invests into futures to gain exposure to the equity markets. A 10% change in the price of the futures would result in a 1.98% change (2014: 1.48%) in the fund s market value. See the Aggregated Financial Statements Note 14 for the narrative disclosure regarding financial instruments exposure. 19